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 / 2010 |
FORM N-CSR
Item 1. Reports to Stockholders.
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/isincsrpdfx1x1.jpg)
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
36 | Statement of Financial Futures |
37 | Statement of Assets and Liabilities |
38 | Statement of Operations |
39 | Statement of Changes in Net Assets |
40 | Financial Highlights |
41 | Notes to Financial Statements |
54 | Information About the Review and Approval of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
The Fund
Dreyfus International
Stock Index Fund
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/isincsrpdfx4x1.jpg)
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus International Stock Index Fund covering the six-month period from November 1, 2009, through April 30, 2010.
Psychology plays a very important role in how investors — especially retail investors — perceive the markets and make asset allocation decisions. Unlike in an ideal world populated by the purely rational investor who would seek out investments that deliver the best risk/ return characteristics, the everyday investor is generally influenced by emotions. Currently, investor emotions appear to be deeply divided, with a large amount of investors still seeking low risk investments (such as cash instruments) and others seeking high risk investments (such as smaller-cap and emerging market securities), while the investment classes in the middle of the risk spectrum have seemingly been ignored.
It is important to note that the investor sentiment cycle usually lags the economic cycle.That’s why we continue to stress the importance of a long-term, well-balanced asset allocation strategy that can help cushion the volatility produced by the emotional swings of the financial markets. If you have not revisited your investment portfolio in the past year, we urge you to speak with your financial advisor about positioning your portfolio to take advantage of long-term market fundamentals rather than lie susceptible to short-term emotions.
For information about how the fund performed during the reporting period, as well as general market perspectives, we have provided a Discussion of Fund Performance.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/isincsrpdfx4x2.jpg)
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 17, 2010
2
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/isincsrpdfx5x1.jpg)
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2009, through April 30, 2010, 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, 2010, Dreyfus International Stock Index Fund produced a total return of 2.36%.1 This compares with a 2.48% total return for the fund’s benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East Index (the “MSCI EAFE Index” or the “Index”), during the same period.2
International stock markets encountered heightened volatility during the reporting period, as the worldwide economy gradually recovered but Europe suffered through a sovereign debt crisis.As a result, international stocks produced disparate results from one region of the world to another.The difference in returns between the fund and the Index was primarily the result of 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 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 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 Index.
Economic Recovery, Debt Crisis Sparked Volatility
Although unemployment has remained stubbornly high and credit availability has been relatively tight in many regions of the world, improved manufacturing activity and robust demand for energy and industrial commodities, particularly from the emerging markets, gener-
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
ally helped boost confidence among businesses,consumers and investors. However, market conditions differed significantly from one region to another.While the emerging markets of Asia and Latin America seemed to thrive, Europe was mired in a sovereign debt crisis.The United States showed encouraging signs of economic growth, but Japan continued to struggle with persistent economic weakness and deflationary forces.
The global stock market rally began to lose momentum during the final months of 2009, and investors appeared to shift their focus from bargain-hunting among beaten-down stocks to fundamental research into higher-quality companies with predictable earnings. However, stocks pulled back sharply in January 2010 when Greece’s debt crisis dominated the headlines, and investors again sought attractive values among stocks that may have been punished too severely. Still, rising corporate earnings helped most non-European markets bounce back by the reporting period’s end, largely erasing previous losses.
International Banks Produced Mixed Results
The Index’s results were bolstered by its holdings in Japan, where large exporters such as Nintendo, Canon, Hitachi and Sony benefited from economic recoveries in overseas markets. An increase in commodity prices helped fuel gains for metals-and-mining giants Rio Tinto and BHP Billiton, both of which are dual-listed in the United Kingdom and Australia, as well as for U.K.-based mining company Anglo American. In Sweden, the Index’s returns were enhanced by apparel retailer Hennes & Mauritz, wireless telecommunications company Sandvik and automakerVolvo, which was recently sold by Ford Motor Company to Chinese carmaker Zhejiang Geely Holding Group.
Results among the Index’s bank holdings proved to be more varied. Several Australian banks produced solid results during the reporting period, most notably Commonwealth Bank of Australia, Westpac Banking, and Australia and New Zealand Banking Group. On the other hand, banks in Spain, Italy, France and Greece undermineded the Index’s performance as the European debt crisis intensified. In Spain, laggards included Banco Santander, Banco BilbaoVizcaya Argentaria and Banco Popular Español. UniCredit and Societe Generale disappointed in Italy
4
and France, respectively. On an absolute basis, banks in Greece produced the most significant declines for the Index, as National Bank of Greece, Alpha Bank, Piraeus Bank and EFG Eurobank Ergasias posted stock price declines of 50% or more.While these developments certainly were significant, Greece comprises a relatively small portion of the Index, helping to cushion its impact on overall performance.
From a market sector standpoint, stocks in the distribution services, producer manufacturing, non-energy minerals, electronic technology and process industries industry groups contributed positively to the Index’s performance, while the communications, finance, utilities and energy minerals sectors generally lost value.
Index Funds Offer Diversification Benefits
An as index fund, we attempt to replicate the returns of the MSCI EAFE 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 17, 2010
Equity funds are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.
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) 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. Investors cannot invest directly in any index. |
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, 2009 to April 30, 2010. 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, 2010
Expenses paid per $1,000† | $ 3.01 |
Ending value (after expenses) | $1,023.60 |
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, 2010
Expenses paid per $1,000† | $ 3.01 |
Ending value (after expenses) | $1,021.82 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
April 30, 2010 (Unaudited)
Common Stocks—97.9% | Shares | Value ($) |
Australia—8.6% | ||
AGL Energy | 24,804 | 345,199 |
Alumina | 132,098 | 188,083 |
Amcor | 71,084 | 430,728 |
AMP | 118,310 | 684,333 |
Aristocrat Leisure | 22,601 | 89,492 |
Arrow Energy | 34,661 a | 164,316 |
Asciano Group | 163,493 a | 254,854 |
ASX | 9,522 | 289,932 |
Australia & New Zealand Banking Group | 143,187 | 3,177,627 |
AXA Asia Pacific Holdings | 59,313 | 341,564 |
Bendigo and Adelaide Bank | 20,652 | 188,482 |
BHP Billiton | 191,566 | 7,040,340 |
Billabong International | 12,364 | 130,671 |
BlueScope Steel | 102,901 | 248,436 |
Boral | 31,989 | 174,013 |
Brambles | 81,800 | 547,955 |
Caltex Australia | 8,498 | 90,845 |
CFS Retail Property Trust | 94,834 | 168,129 |
Coca-Cola Amatil | 30,901 | 320,172 |
Cochlear | 3,264 | 223,745 |
Commonwealth Bank of Australia | 87,635 | 4,718,082 |
Computershare | 24,153 | 263,620 |
Crown | 28,313 | 215,409 |
CSL | 32,682 | 986,565 |
CSR | 87,375 | 141,904 |
Dexus Property Group | 280,769 | 210,561 |
Energy Resources of Australia | 2,999 | 43,576 |
Fairfax Media | 122,604 | 194,398 |
Fortescue Metals Group | 72,459 a | 306,851 |
Foster’s Group | 107,931 | 544,983 |
Goodman Fielder | 84,351 | 114,103 |
Goodman Group | 359,557 | 237,655 |
GPT Group | 531,642 | 288,213 |
Harvey Norman Holdings | 31,092 | 97,576 |
Incitec Pivot | 94,877 | 281,107 |
Insurance Australia Group | 119,347 | 422,104 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Australia (continued) | ||
Intoll Group | 128,485 | 134,326 |
James Hardie Industries | 26,587 a | 187,240 |
Leighton Holdings | 8,503 | 289,307 |
Lend Lease | 31,216 | 247,558 |
Macquarie Group | 18,738 | 859,964 |
Map Group | 41,877 | 120,666 |
Metcash | 45,918 | 172,718 |
Mirvac Group | 185,167 | 238,837 |
National Australia Bank | 119,812 | 3,080,559 |
Newcrest Mining | 27,238 | 823,782 |
Nufarm | 8,335 | 58,867 |
OneSteel | 73,726 | 237,960 |
Orica | 20,654 | 502,160 |
Origin Energy | 50,645 | 764,264 |
OZ Minerals | 164,157 a | 172,784 |
Paladin Energy | 33,468 a | 121,983 |
Qantas Airways | 65,555 a | 171,303 |
QBE Insurance Group | 57,564 | 1,126,786 |
Rio Tinto | 24,968 | 1,634,067 |
Santos | 48,111 | 617,272 |
Sims Metal Management | 9,692 | 183,696 |
Sonic Healthcare | 20,859 | 267,393 |
SP Ausnet | 62,635 | 51,428 |
Stockland | 136,629 | 501,839 |
Suncorp-Metway | 73,515 | 610,765 |
TABCORP Holdings | 33,673 | 213,972 |
Tatts Group | 70,864 | 163,248 |
Telstra | 251,274 | 739,955 |
Toll Holdings | 39,193 | 257,666 |
Transurban Group | 63,094 a | 299,753 |
Wesfarmers | 57,622 | 1,552,146 |
Wesfarmers-PPS | 8,823 | 238,789 |
Westfield Group | 119,177 | 1,418,461 |
Westpac Banking | 168,103 | 4,202,869 |
Woodside Petroleum | 31,221 | 1,302,201 |
Woolworths | 71,016 | 1,781,040 |
8
Common Stocks (continued) | Shares | Value ($) |
Australia (continued) | ||
WorleyParsons | 8,855 | 216,266 |
49,729,513 | ||
Austria—.3% | ||
Erste Group Bank | 10,873 | 484,951 |
IMMOFINANZ | 56,542 a | 241,657 |
OMV | 8,174 | 293,789 |
Raiffeisen International Bank Holding | 3,091 | 150,645 |
Telekom Austria | 17,644 | 233,897 |
Verbund-Oesterreichische | ||
Elektrizitaetswirtschafts, Cl. A | 4,433 | 165,411 |
Vienna Insurance Group | 2,207 | 108,070 |
Voestalpine | 6,921 | 260,928 |
1,939,348 | ||
Belgium—.9% | ||
Ageas | 129,950 a | 399,098 |
Anheuser-Busch InBev | 41,313 | 2,007,455 |
Anheuser-Busch InBev (STRIP) | 12,680 a | 84 |
Belgacom | 8,421 | 294,929 |
Cia Nationale e Portefeuille | 1,980 | 102,556 |
Colruyt | 821 | 201,869 |
Delhaize Group | 5,854 | 484,625 |
Dexia | 30,228 a | 163,689 |
Groupe Bruxelles Lambert | 4,421 | 374,194 |
Groupe Bruxelles Lambert (STRIP) | 236 a | 3 |
KBC Groep | 9,065 a | 409,872 |
Mobistar | 1,807 | 110,456 |
Solvay | 3,347 | 317,985 |
UCB | 5,954 | 228,874 |
Umicore | 6,361 | 231,019 |
5,326,708 | ||
China—.1% | ||
Foxconn International Holdings | 132,000 a | 117,717 |
Sands China | 109,813 | 177,929 |
Yangzijiang Shipbuilding Holdings | 81,000 | 78,151 |
373,797 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Denmark—1.0% | ||
AP Moller—Maersk, Cl. A | 30 | 241,651 |
AP Moller—Maersk, Cl. B | 75 | 621,352 |
Carlsberg, Cl. B | 6,007 | 488,199 |
Coloplast, Cl. B | 1,443 | 161,131 |
Danske Bank | 26,230 a | 680,739 |
DSV | 12,099 | 215,140 |
H Lundbeck | 2,653 | 43,383 |
Novo Nordisk, Cl. B | 24,947 | 2,034,913 |
Novozymes, Cl. B | 2,706 | 323,193 |
Topdanmark | 849 a | 104,353 |
TrygVesta | 1,536 | 94,250 |
Vestas Wind Systems | 11,757 a | 716,298 |
William Demant Holding | 1,278 a | 87,550 |
5,812,152 | ||
Finland—1.1% | ||
Elisa | 7,550 a | 144,964 |
Fortum | 25,670 | 664,185 |
Kesko, Cl. B | 3,623 | 140,299 |
Kone, Cl. B | 8,719 | 384,663 |
Metso | 7,011 | 270,226 |
Neste Oil | 6,406 | 104,101 |
Nokia | 214,202 | 2,603,352 |
Nokian Renkaat | 6,411 | 150,385 |
Orion, Cl. B | 4,426 | 83,730 |
Outokumpu | 7,143 | 151,405 |
Pohjola Bank | 7,347 | 80,737 |
Rautaruukki | 4,060 | 85,310 |
Sampo, Cl. A | 24,319 | 599,247 |
Sanoma | 4,669 | 90,527 |
Stora Enso, Cl. R | 33,336 | 279,161 |
UPM-Kymmene | 28,870 | 416,252 |
Wartsila | 4,824 | 247,333 |
6,495,877 | ||
France—9.6% | ||
Accor | 8,496 | 484,855 |
Aeroports de Paris | 1,537 | 126,056 |
10
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Air France | 7,338 a | 114,654 |
Air Liquide | 14,380 | 1,661,789 |
Alcatel-Lucent | 128,316 a | 408,958 |
Alstom | 11,398 | 672,797 |
Atos Origin | 2,389 a | 120,431 |
AXA | 97,185 | 1,929,123 |
BioMerieux | 882 | 95,479 |
BNP Paribas | 54,134 | 3,715,649 |
Bouygues | 12,444 | 619,077 |
Bureau Veritas | 2,938 | 166,162 |
Cap Gemini | 8,064 | 408,579 |
Carrefour | 36,343 | 1,778,271 |
Casino Guichard Perrachon | 3,007 | 265,400 |
Christian Dior | 3,498 | 369,546 |
Cie Generale d’Optique Essilor International | 11,337 | 691,852 |
Cie Generale de Geophysique-Veritas | 8,008 a | 237,238 |
CNP Assurances | 2,037 | 170,329 |
Compagnie de Saint-Gobain | 21,623 | 1,054,666 |
Compagnie Generale des | ||
Etablissements Michelin, Cl. B | 8,388 | 606,084 |
Credit Agricole | 52,222 | 743,960 |
Danone | 31,501 | 1,856,791 |
Dassault Systemes | 3,726 | 242,774 |
EDF | 13,667 | 734,280 |
Eiffage | 2,009 | 103,744 |
Eramet | 324 | 118,036 |
Eurazeo | 1,602 | 111,271 |
Eutelsat Communications | 5,942 | 211,547 |
Fonciere des Regions | 1,404 | 145,010 |
France Telecom | 106,087 | 2,322,308 |
GDF Suez | 71,109 | 2,530,292 |
Gecina | 1,151 | 117,971 |
Groupe Eurotunnel | 26,075 | 238,419 |
Hermes International | 3,074 | 406,860 |
ICADE | 1,365 | 132,743 |
Iliad | 988 | 98,557 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Imerys | 1,905 | 116,921 |
Ipsen | 1,640 | 78,044 |
JC Decaux | 4,335 a | 124,714 |
Klepierre | 5,270 | 180,820 |
L’Oreal | 13,728 | 1,418,553 |
Lafarge | 11,251 | 817,269 |
Lagardere | 6,936 | 279,737 |
Legrand | 6,356 | 205,909 |
LVMH Moet Hennessy Louis Vuitton | 14,047 | 1,603,668 |
Metropole Television | 3,249 | 83,589 |
Natixis | 52,231 a | 267,971 |
Neopost | 1,569 | 124,556 |
PagesJaunes Groupe | 6,051 | 72,732 |
Pernod-Ricard | 11,130 | 945,580 |
Peugeot | 8,876 a | 264,310 |
PPR | 4,389 | 586,543 |
Publicis Groupe | 6,530 | 288,489 |
Renault | 10,738 a | 504,155 |
Safran | 10,751 | 274,742 |
Sanofi-Aventis | 60,154 | 4,113,367 |
Schneider Electric | 13,515 | 1,541,755 |
SCOR | 9,808 | 230,780 |
Societe BIC | 1,432 | 110,710 |
Societe Des Autoroutes Paris-Rhin-Rhone | 1,152 | 80,029 |
Societe Generale | 36,004 | 1,913,044 |
Societe Television Francaise 1 | 6,190 | 114,008 |
Sodexo | 5,273 | 323,477 |
Suez Environnement | 14,917 | 323,123 |
Technip | 5,860 | 467,662 |
Thales | 5,117 | 190,194 |
Total | 120,583 | 6,525,173 |
Unibail-Rodamco | 5,129 | 965,283 |
Vallourec | 3,234 | 645,629 |
Veolia Environnement | 22,258 | 698,455 |
Vinci | 25,351 | 1,417,866 |
Vivendi | 70,380 | 1,849,866 |
55,560,281 |
12
Common Stocks (continued) | Shares | Value ($) |
Germany—7.3% | ||
Adidas | 12,075 | 708,091 |
Allianz | 25,951 | 2,975,182 |
BASF | 52,502 | 3,065,656 |
Bayer | 47,274 | 3,020,502 |
Bayerische Motoren Werke | 18,644 | 912,300 |
Beiersdorf | 5,026 | 282,651 |
Celesio | 5,111 | 167,200 |
Commerzbank | 39,753 a | 311,504 |
Daimler | 51,584 a | 2,658,211 |
Deutsche Bank | 33,749 | 2,329,175 |
Deutsche Boerse | 10,984 | 854,534 |
Deutsche Lufthansa | 13,572 a | 226,197 |
Deutsche Post | 47,639 | 770,385 |
Deutsche Postbank | 4,595 a | 157,735 |
Deutsche Telekom | 162,285 | 2,107,353 |
E.ON | 108,611 | 4,005,277 |
Fraport AG Frankfurt Airport | ||
Services Worldwide | 2,261 | 117,010 |
Fresenius | 1,729 | 123,073 |
Fresenius Medical Care & Co. | 11,099 | 600,705 |
GEA Group | 9,030 | 200,628 |
Hannover Rueckversicherung | 3,618 a | 169,656 |
HeidelbergCement | 8,035 | 498,772 |
Henkel & Co. | 7,334 | 330,497 |
Hochtief | 2,305 | 190,471 |
Infineon Technologies | 61,221 a | 433,620 |
K+S | 9,970 | 571,501 |
Linde | 8,719 | 1,041,180 |
MAN | 6,121 | 578,798 |
Merck | 3,653 | 299,743 |
Metro | 6,418 | 385,164 |
Muenchener Rueckversicherungs | 11,309 | 1,596,062 |
Puma | 351 | 117,353 |
RWE | 23,978 | 1,959,404 |
Salzgitter | 2,195 | 178,233 |
SAP | 49,105 | 2,362,461 |
Siemens | 46,999 | 4,640,152 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Germany (continued) | ||
Solarworld | 4,122 | 59,611 |
Suedzucker | 4,185 | 84,618 |
ThyssenKrupp | 19,329 | 632,244 |
TUI | 7,370 a | 81,616 |
United Internet | 7,726 a | 116,413 |
Volkswagen | 2,304 | 216,870 |
Wacker Chemie | 906 | 132,694 |
42,270,502 | ||
Greece—.4% | ||
Alpha Bank | 25,409 a | 203,450 |
Bank of Cyprus Public | 29,985 | 173,197 |
Coca-Cola Hellenic Bottling | 10,464 | 283,164 |
EFG Eurobank Ergasias | 16,597 a | 133,899 |
Hellenic Petroleum | 6,087 | 65,459 |
Hellenic Telecommunications Organization | 13,152 | 146,988 |
Marfin Investment Group | 31,997 a | 61,446 |
National Bank of Greece | 34,213 a | 559,572 |
OPAP | 12,668 | 257,082 |
Piraeus Bank | 16,634 a | 125,407 |
Public Power | 6,826 a | 110,669 |
Titan Cement | 3,357 | 89,602 |
2,209,935 | ||
Hong Kong—2.2% | ||
ASM Pacific Technology | 12,500 | 119,076 |
Bank of East Asia | 86,750 | 308,861 |
BOC Hong Kong Holdings | 214,500 | 517,831 |
Cathay Pacific Airways | 63,000 | 130,802 |
Cheung Kong Holdings | 78,000 | 967,122 |
Cheung Kong Infrastructure Holdings | 27,000 | 100,676 |
Chinese Estates Holdings | 44,000 | 74,230 |
CLP Holdings | 115,288 | 806,742 |
Esprit Holdings | 64,659 | 462,723 |
Hang Lung Group | 46,000 | 224,474 |
Hang Lung Properties | 121,000 | 432,583 |
Hang Seng Bank | 44,200 | 603,044 |
14
Common Stocks (continued) | Shares | Value ($) |
Hong Kong (continued) | ||
Henderson Land Development | 58,762 | 369,743 |
Hong Kong & China Gas | 217,483 | 527,626 |
Hong Kong Aircraft Engineerg | 4,400 | 55,686 |
Hong Kong Exchanges & Clearing | 58,800 | 962,611 |
HongKong Electric Holdings | 80,500 | 474,516 |
Hopewell Holdings | 33,000 | 96,613 |
Hutchison Whampoa | 119,800 | 820,889 |
Hysan Development | 39,000 | 114,487 |
Kerry Properties | 40,500 | 186,570 |
Li & Fung | 128,600 | 624,912 |
Lifestyle International Holdings | 38,000 | 74,076 |
Link REIT | 120,500 | 296,597 |
Mongolia Energy | 190,000 a | 86,970 |
MTR | 83,500 | 292,255 |
New World Development | 138,191 | 244,566 |
NWS Holdings | 52,000 | 90,464 |
Orient Overseas International | 14,800 a | 111,872 |
PCCW | 167,000 | 50,514 |
Shangri-La Asia | 73,000 | 140,776 |
Sino Land | 90,664 | 162,716 |
Sun Hung Kai Properties | 79,699 | 1,112,772 |
Swire Pacific, Cl. A | 43,000 | 479,879 |
Television Broadcasts | 13,000 | 62,746 |
Wharf Holdings | 77,192 | 416,528 |
Wheelock & Co. | 49,000 | 151,312 |
Wing Hang Bank | 10,500 | 105,934 |
Yue Yuen Industrial Holdings | 39,800 | 138,181 |
12,999,975 | ||
Ireland—.3% | ||
Anglo Irish Bank | 35,225 a,b | 6,684 |
CRH | 40,079 | 1,122,871 |
Elan | 28,687 a | 194,293 |
Kerry Group, Cl. A | 8,041 | 257,225 |
Ryanair Holdings | 4,000 a | 19,792 |
1,600,865 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Italy—2.9% | ||
A2A | 55,689 | 94,315 |
Assicurazioni Generali | 66,963 | 1,409,656 |
Atlantia | 14,220 | 303,067 |
Autogrill | 6,976 a | 84,488 |
Banca Carige | 32,548 | 82,743 |
Banca Monte dei Paschi di Siena | 132,194 | 182,903 |
Banca Popolare di Milano Scarl | 20,979 | 117,725 |
Banco Popolare | 36,217 | 231,383 |
Enel | 376,866 | 1,962,817 |
ENI | 148,803 | 3,331,260 |
EXOR | 4,104 | 74,982 |
Fiat | 44,210 | 583,522 |
Finmeccanica | 22,299 | 284,922 |
Fondiaria-Sai | 3,923 | 54,576 |
Intesa Sanpaolo | 441,548 a | 1,451,175 |
Intesa Sanpaolo-RSP | 47,999 | 126,954 |
Italcementi | 4,571 | 52,156 |
Luxottica Group | 6,995 | 190,588 |
Mediaset | 41,472 | 328,917 |
Mediobanca | 26,763 a | 246,728 |
Mediolanum | 14,252 | 72,288 |
Parmalat | 95,993 | 252,019 |
Pirelli & C | 168,095 a | 97,034 |
Prysmian | 5,280 | 94,732 |
Saipem | 15,324 | 574,057 |
Snam Rete Gas | 78,433 | 371,138 |
Telecom Italia | 565,152 | 789,946 |
Telecom Italia-RSP | 333,781 | 376,504 |
Terna Rete Elettrica Nazionale | 72,873 | 295,079 |
UniCredit | 936,826 a | 2,453,815 |
Unione di Banche Italiane | 32,249 | 398,332 |
Unipol Gruppo Finanziario | 44,236 a | 46,098 |
17,015,919 | ||
Japan—22.3% | ||
77 Bank | 17,000 | 96,715 |
ABC-Mart | 1,600 | 57,178 |
16
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Acom | 2,736 | 43,107 |
Advantest | 9,200 | 238,045 |
Aeon | 35,500 | 408,109 |
Aeon Credit Service | 3,960 | 43,071 |
Aeon Mall | 3,900 | 82,495 |
Air Water | 9,000 | 99,033 |
Aisin Seiki | 10,900 | 328,012 |
Ajinomoto | 36,800 | 345,275 |
Alfresa Holdings | 1,900 | 95,408 |
All Nippon Airways | 48,000 | 151,719 |
Amada | 20,000 | 164,175 |
Aozora Bank | 47,959 | 68,600 |
Asahi Breweries | 21,500 | 386,712 |
Asahi Glass | 56,800 | 671,184 |
Asahi Kasei | 69,900 | 390,181 |
Asics | 9,000 | 86,352 |
Astellas Pharma | 25,479 | 893,466 |
Bank of Kyoto | 17,000 | 149,471 |
Bank of Yokohama | 69,000 | 360,300 |
Benesse Holdings | 4,400 | 202,651 |
Bridgestone | 34,000 | 566,914 |
Brother Industries | 12,900 | 156,578 |
Canon | 61,050 | 2,785,012 |
Canon Marketing Japan | 4,500 | 70,328 |
Casio Computer | 13,100 | 102,692 |
Central Japan Railway | 85 | 691,954 |
Chiba Bank | 43,000 | 273,475 |
Chiyoda | 8,000 | 74,266 |
Chubu Electric Power | 37,200 | 862,858 |
Chugai Pharmaceutical | 12,828 | 232,498 |
Chugoku Bank | 9,000 | 115,445 |
Chugoku Electric Power | 15,700 | 299,564 |
Chuo Mitsui Trust Holdings | 52,380 | 200,531 |
Citizen Holdings | 17,800 | 123,085 |
COCA-COLA WEST | 2,700 | 47,754 |
Cosmo Oil | 36,000 | 97,245 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Credit Saison | 8,800 | 128,865 |
Dai Nippon Printing | 30,800 | 424,557 |
Dai-ichi Life Insurance | 461 a | 787,049 |
Daicel Chemical Industries | 15,000 | 95,664 |
Daido Steel | 14,200 | 60,697 |
Daihatsu Motor | 12,000 | 115,815 |
Daiichi Sankyo | 37,983 | 660,289 |
Daikin Industries | 13,600 | 514,876 |
Dainippon Sumitomo Pharma | 9,000 | 74,170 |
Daito Trust Construction | 4,200 | 224,681 |
Daiwa House Industry | 29,400 | 315,567 |
Daiwa Securities Group | 94,000 | 486,404 |
Dena | 18 | 144,927 |
Denki Kagaku Kogyo Kabushiki Kaisha | 27,600 | 123,249 |
Denso | 27,400 | 793,252 |
Dentsu | 9,200 | 247,923 |
Dowa Holdings | 16,350 | 90,872 |
East Japan Railway | 19,500 | 1,301,406 |
Eisai | 14,600 | 499,765 |
Electric Power Development | 7,680 | 236,482 |
Elpida Memory | 10,800 a | 226,344 |
FamilyMart | 3,000 | 103,228 |
Fanuc | 10,800 | 1,276,505 |
Fast Retailing | 2,700 | 408,350 |
Fuji Electric Holdings | 38,000 | 114,567 |
Fuji Heavy Industries | 37,000 a | 207,388 |
Fuji Media Holdings | 11 | 17,805 |
FUJIFILM Holdings | 26,100 | 895,278 |
Fujitsu | 103,800 | 734,116 |
Fukuoka Financial Group | 46,000 | 197,693 |
Furukawa Electric | 35,000 | 172,634 |
GS Yuasa | 21,000 | 147,708 |
Gunma Bank | 22,000 | 118,574 |
Hachijuni Bank | 26,000 | 146,281 |
Hakuhodo DY Holdings | 1,170 | 66,363 |
Hankyu Hashin Holdings | 62,000 | 288,434 |
18
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Hino Motors | 17,000 | 85,170 |
Hirose Electric | 1,600 | 172,719 |
Hiroshima Bank | 30,000 | 122,799 |
Hisamitsu Pharmaceutical | 3,400 | 125,488 |
Hitachi | 250,900 a | 1,100,182 |
Hitachi Chemical | 6,300 | 135,981 |
Hitachi Construction Machinery | 6,600 | 140,186 |
Hitachi High-Technologies | 3,900 | 85,613 |
Hitachi Metals | 10,000 | 107,839 |
Hokkaido Electric Power | 9,600 | 186,217 |
Hokuhoku Financial Group | 76,000 | 150,752 |
Hokuriku Electric Power | 10,000 | 206,258 |
Honda Motor | 94,420 | 3,187,932 |
HOYA | 23,900 | 656,875 |
Ibiden | 7,100 | 253,374 |
Idemitsu Kosan | 1,100 | 91,607 |
IHI | 73,000 | 145,282 |
INPEX | 45 | 317,853 |
Isetan Mitsukoshi Holdings | 20,020 | 231,748 |
Isuzu Motors | 69,000 | 217,639 |
Ito En | 3,300 | 50,915 |
ITOCHU | 84,500 | 734,347 |
Itochu Techno-Solutions | 1,400 | 53,009 |
Iyo Bank | 14,000 | 130,510 |
J Front Retailing | 26,800 | 155,570 |
Jafco | 1,600 | 49,162 |
Japan Petroleum Exploration | 1,400 | 71,643 |
Japan Prime Realty Investment | 36 | 85,472 |
Japan Real Estate Investment | 29 | 241,935 |
Japan Retail Fund Investment | 96 | 128,972 |
Japan Steel Works | 20,000 | 220,777 |
Japan Tobacco | 253 | 874,057 |
JFE Holdings | 27,660 | 995,713 |
JGC | 11,000 | 188,323 |
Joyo Bank | 37,462 | 155,026 |
JS Group | 14,324 | 281,844 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
JSR | 10,600 | 215,348 |
JTEKT | 10,800 | 124,468 |
Jupiter Telecommunications | 142 | 143,210 |
JX Holdings | 129,576 a | 722,240 |
Kajima | 50,800 | 128,614 |
Kamigumi | 15,400 | 126,843 |
Kaneka | 16,000 | 100,058 |
Kansai Electric Power | 42,899 | 953,577 |
Kansai Paint | 11,000 | 83,443 |
Kao | 30,400 | 735,247 |
Kawasaki Heavy Industries | 84,000 | 260,793 |
Kawasaki Kisen Kaisha | 41,000 | 175,713 |
KDDI | 164 | 794,479 |
Keihin Electric Express Railway | 26,000 | 217,840 |
Keio | 31,000 | 200,304 |
Keisei Electric Railway | 17,000 | 100,650 |
Keyence | 2,305 | 549,288 |
Kikkoman | 8,000 | 88,206 |
Kinden | 6,000 | 53,166 |
Kintetsu | 89,354 | 281,843 |
Kirin Holdings | 47,000 | 674,318 |
Kobe Steel | 138,000 | 311,121 |
Koito Manufacturing | 6,000 | 98,781 |
Komatsu | 53,300 | 1,074,827 |
Konami | 5,200 | 101,128 |
Konica Minolta Holdings | 27,500 | 345,902 |
Kubota | 63,000 | 553,619 |
Kuraray | 20,500 | 268,634 |
Kurita Water Industries | 6,700 | 192,962 |
Kyocera | 9,200 | 904,166 |
Kyowa Hakko Kirin | 14,705 | 153,455 |
Kyushu Electric Power | 22,100 | 446,776 |
Lawson | 3,800 | 168,046 |
Mabuchi Motor | 1,500 | 82,496 |
Makita | 6,500 | 201,366 |
Marubeni | 96,000 | 568,313 |
20
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Marui Group | 14,100 | 111,469 |
Maruichi Steel Tube | 2,000 | 38,505 |
Matsui Securities | 8,000 | 60,060 |
Mazda Motor | 87,000 | 259,051 |
McDonald’s Holdings Japan | 3,000 | 63,708 |
Medipal Holdings | 7,700 | 95,711 |
MEIJI Holdings | 3,521 | 127,114 |
Minebea | 18,000 | 103,975 |
Mitsubishi | 72,900 | 1,728,519 |
Mitsubishi Chemical Holdings | 68,600 | 365,689 |
Mitsubishi Electric | 109,000 | 972,321 |
Mitsubishi Estate | 68,000 | 1,228,196 |
Mitsubishi Gas Chemical | 20,000 | 120,700 |
Mitsubishi Heavy Industries | 175,700 | 706,656 |
Mitsubishi Logistics | 6,000 | 78,687 |
Mitsubishi Materials | 61,000 a | 181,161 |
Mitsubishi Motors | 203,000 a | 277,698 |
Mitsubishi Tanabe Pharma | 13,000 | 172,288 |
Mitsubishi UFJ Financial Group | 719,290 | 3,739,428 |
Mitsubishi UFJ Lease & Finance | 3,550 | 137,469 |
Mitsui & Co. | 99,600 | 1,501,684 |
Mitsui Chemicals | 50,000 | 165,367 |
Mitsui Engineering & Shipbuilding | 45,000 | 118,936 |
Mitsui Fudosan | 47,000 | 874,189 |
Mitsui Mining & Smelting | 34,000 | 93,478 |
Mitsui OSK Lines | 67,000 | 504,429 |
Mitsui Sumitomo Insurance Group Holdings | 31,657 | 908,684 |
Mitsumi Electric | 4,800 | 104,844 |
Mizuho Financial Group | 785,600 | 1,511,610 |
Mizuho Securities | 34,000 | 94,779 |
Mizuho Trust & Banking | 92,000 | 89,808 |
Murata Manufacturing | 12,000 | 705,784 |
Namco Bandai Holdings | 10,350 | 103,474 |
NEC | 148,800 | 491,162 |
NGK Insulators | 15,000 | 295,035 |
NGK Spark Plug | 10,000 | 135,419 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
NHK Spring | 11,000 | 105,672 |
Nidec | 6,300 | 652,312 |
Nikon | 17,600 | 395,238 |
Nintendo | 5,650 | 1,897,395 |
Nippon Building Fund | 29 | 243,240 |
Nippon Electric Glass | 20,085 | 306,211 |
Nippon Express | 49,000 | 230,205 |
Nippon Meat Packers | 11,000 | 137,809 |
Nippon Paper Group | 4,900 | 137,846 |
Nippon Sheet Glass | 34,000 | 112,453 |
Nippon Steel | 287,100 | 1,025,899 |
Nippon Telegraph & Telephone | 29,800 | 1,208,648 |
Nippon Yusen | 81,800 | 335,763 |
Nishi-Nippon City Bank | 41,000 | 117,933 |
Nissan Chemical Industries | 9,000 | 120,138 |
Nissan Motor | 142,800 a | 1,249,760 |
Nissha Printing | 1,400 | 48,901 |
Nisshin Seifun Group | 11,300 | 139,012 |
Nisshin Steel | 42,000 | 88,365 |
Nisshinbo Holdings | 7,000 | 74,549 |
Nissin Foods Holdings | 3,900 | 130,728 |
Nitori | 2,250 | 176,474 |
Nitto Denko | 9,200 | 359,894 |
NKSJ Holdings | 80,500 a | 583,991 |
NOK | 6,900 | 117,998 |
Nomura Holdings | 211,900 | 1,460,558 |
Nomura Real Estate Holdings | 5,400 | 95,564 |
Nomura Real Estate Office Fund | 17 | 96,016 |
Nomura Research Institute | 5,700 | 146,166 |
NSK | 28,000 | 214,023 |
NTN | 25,000 | 110,105 |
NTT Data | 71 | 257,873 |
NTT DoCoMo | 883 | 1,372,398 |
NTT Urban Development | 55 | 53,346 |
Obayashi | 35,000 | 156,151 |
Obic | 350 | 70,186 |
22
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Odakyu Electric Railway | 35,000 | 291,774 |
OJI Paper | 49,000 | 230,923 |
Olympus | 12,000 | 359,973 |
Omron | 11,700 | 272,199 |
Ono Pharmaceutical | 4,800 | 198,181 |
ORACLE JAPAN | 2,300 | 113,876 |
Oriental Land | 3,000 | 212,448 |
ORIX | 5,800 | 530,774 |
Osaka Gas | 110,000 | 382,209 |
OTSUKA | 1,000 | 70,916 |
Panasonic | 112,495 | 1,643,189 |
Panasonic Electric Works | 22,000 | 271,309 |
Rakuten | 412 | 318,419 |
Resona Holdings | 28,400 | 347,038 |
Ricoh | 39,000 | 666,087 |
Rinnai | 2,400 | 117,605 |
Rohm | 5,500 | 408,715 |
Sankyo | 2,800 | 128,598 |
Santen Pharmaceutical | 3,800 | 121,257 |
Sanyo Electric | 108,000 a | 173,270 |
Sapporo Hokuyo Holdings | 15,000 | 68,966 |
Sapporo Holdings | 13,000 | 64,012 |
SBI Holdings | 887 | 191,345 |
Secom | 11,700 | 505,711 |
Sega Sammy Holdings | 11,984 | 156,673 |
Seiko Epson | 8,500 | 150,952 |
Sekisui Chemical | 26,000 | 177,454 |
Sekisui House | 31,000 | 295,594 |
Senshu Ikeda Holdings | 41,600 a | 71,094 |
Seven & I Holdings | 43,360 | 1,106,250 |
Seven Bank | 26 | 50,820 |
Sharp | 58,000 | 756,207 |
Shikoku Electric Power | 10,100 | 270,136 |
Shimadzu | 15,000 | 124,364 |
Shimamura | 1,200 | 120,707 |
Shimano | 3,500 | 159,195 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Shimizu | 35,000 | 139,735 |
Shin-Etsu Chemical | 23,600 | 1,361,675 |
Shinko Electric Industries | 4,200 | 74,322 |
Shinsei Bank | 50,000 | 64,548 |
Shionogi & Co. | 17,000 | 305,541 |
Shiseido | 20,300 | 424,141 |
Shizuoka Bank | 33,400 | 280,162 |
Showa Denko | 84,000 | 192,020 |
Showa Shell Sekiyu | 11,300 | 76,746 |
SMC | 3,100 | 444,567 |
Softbank | 42,600 | 952,687 |
Sojitz | 66,600 | 120,554 |
Sony | 57,480 | 1,963,385 |
Sony Financial Holdings | 50 | 180,276 |
Square Enix Holdings | 3,700 | 78,153 |
Stanley Electric | 8,200 | 168,074 |
SUMCO | 6,800 a | 150,386 |
Sumitomo | 63,500 | 767,853 |
Sumitomo Chemical | 87,000 | 410,870 |
Sumitomo Electric Industries | 43,700 | 539,136 |
Sumitomo Heavy Industries | 34,000 | 225,247 |
Sumitomo Metal Industries | 195,000 | 530,342 |
Sumitomo Metal Mining | 29,000 | 429,407 |
Sumitomo Mitsui Financial Group | 73,800 | 2,432,825 |
Sumitomo Realty & Development | 21,000 | 432,008 |
Sumitomo Rubber Industries | 9,400 | 84,111 |
Sumitomo Trust & Banking | 80,000 | 484,957 |
Suruga Bank | 12,000 | 117,741 |
Suzuken | 3,720 | 142,042 |
Suzuki Motor | 19,800 | 417,654 |
Sysmex | 2,000 | 120,183 |
T & D Holdings | 16,050 | 417,825 |
Taiheiyo Cement | 50,000 a | 70,891 |
Taisei | 58,000 | 132,149 |
Taisho Pharmaceutical | 6,000 | 109,215 |
Taiyo Nippon Sanso | 15,000 | 134,780 |
24
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Takashimaya | 18,000 | 171,709 |
Takeda Pharmaceutical | 43,000 | 1,849,067 |
TDK | 6,700 | 423,844 |
Teijin | 56,000 | 177,303 |
Terumo | 9,800 | 499,003 |
THK | 6,700 | 145,270 |
Tobu Railway | 45,000 | 236,977 |
Toho | 5,800 | 100,123 |
Toho Gas | 27,000 | 136,402 |
Tohoku Electric Power | 23,900 | 486,803 |
Tokio Marine Holdings | 41,600 | 1,237,971 |
Tokuyama | 18,000 | 101,083 |
Tokyo Electric Power | 69,772 | 1,749,138 |
Tokyo Electron | 9,900 | 653,775 |
Tokyo Gas | 134,000 | 568,052 |
Tokyo Steel Manufacturing | 5,500 | 73,939 |
Tokyo Tatemono | 25,000 | 115,374 |
Tokyu | 62,820 | 262,729 |
Tokyu Land | 28,000 | 119,967 |
TonenGeneral Sekiyu | 17,000 | 144,932 |
Toppan Printing | 31,000 | 282,913 |
Toray Industries | 74,000 | 421,874 |
Toshiba | 231,000 a | 1,323,493 |
Tosoh | 29,000 | 81,511 |
TOTO | 14,000 | 93,428 |
Toyo Suisan Kaisha | 13,800 | 270,737 |
Toyoda Gosei | 3,600 | 98,788 |
Toyota Boshoku | 4,200 | 74,290 |
Toyota Industries | 10,500 | 305,949 |
Toyota Motor | 167,314 | 6,456,527 |
Toyota Tsusho | 11,600 | 173,636 |
Trend Micro | 6,300 | 211,747 |
Tsumura & Co. | 3,100 | 90,193 |
Ube Industries | 55,600 | 139,736 |
UNICHARM | 2,400 | 232,838 |
UNY | 9,000 | 81,627 |
The Fund 25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Ushio | 5,900 | 97,645 |
USS | 1,330 | 90,750 |
West Japan Railway | 96 | 349,206 |
Yahoo! Japan | 828 | 316,166 |
Yakult Honsha | 5,100 | 133,372 |
Yamada Denki | 4,820 | 374,595 |
Yamaguchi Financial Group | 11,000 | 110,034 |
Yamaha | 9,200 | 113,289 |
Yamaha Motor | 15,200 a | 223,789 |
Yamato Holdings | 22,700 | 326,155 |
Yamato Kogyo | 2,800 | 88,868 |
Yamazaki Baking | 6,000 | 76,291 |
Yaskawa Electric | 15,000 | 132,768 |
Yokogawa Electric | 11,500 | 98,047 |
129,373,343 | ||
Luxembourg—.6% | ||
ArcelorMittal | 49,155 | 1,933,793 |
Millicom International Cellular, SDR | 4,207 | 368,209 |
SES | 16,018 | 367,499 |
Tenaris | 27,350 | 554,022 |
3,223,523 | ||
Netherlands—2.8% | ||
Aegon | 88,301 a | 617,301 |
Akzo Nobel | 13,351 | 783,710 |
ASML Holding | 24,836 | 808,482 |
Corio | 3,457 | 200,570 |
European Aeronautic Defence and Space | 23,461 | 434,198 |
Fugro | 3,791 | 247,022 |
Heineken | 14,146 | 655,743 |
Heineken Holding | 6,469 | 264,730 |
ING Groep | 208,435 a | 1,863,250 |
Koninklijke Ahold | 67,072 | 919,643 |
Koninklijke Boskalis Westminster | 3,558 | 161,333 |
Koninklijke DSM | 8,571 | 381,575 |
Koninklijke KPN | 95,847 | 1,431,102 |
Koninklijke Philips Electronics | 55,689 | 1,879,278 |
Koninklijke Vopak | 1,916 | 156,416 |
26
Common Stocks (continued) | Shares | Value ($) |
Netherlands (continued) | ||
QIAGEN | 13,253 a | 304,424 |
Randstad Holding | 5,958 a | 303,322 |
Reed Elsevier | 40,595 | 481,269 |
SBM Offshore | 9,902 | 195,964 |
STMicroelectronics | 39,825 | 372,024 |
TNT | 21,431 | 656,986 |
Unilever | 93,159 | 2,843,160 |
Wolters Kluwer | 15,164 | 310,557 |
16,272,059 | ||
New Zealand—.1% | ||
Auckland International Airport | 37,613 | 54,893 |
Contact Energy | 15,698 a | 71,561 |
Fletcher Building | 36,011 | 219,115 |
Sky City Entertainment Group | 33,202 | 76,110 |
Telecom Corporation of New Zealand | 109,502 | 173,064 |
594,743 | ||
Norway—.8% | ||
DNB NOR | 50,399 | 592,449 |
Norsk Hydro | 37,703 a | 297,481 |
Orkla | 45,019 | 380,830 |
Renewable Energy | 18,350 a | 62,895 |
Renewable Energy (Rights) | 18,350 a | 25,419 |
SeaDrill | 16,135 | 407,495 |
Statoil | 64,385 | 1,552,656 |
Telenor | 47,859 a | 683,057 |
Yara International | 10,737 | 374,962 |
4,377,244 | ||
Portugal—.3% | ||
Banco Comercial Portugues, Cl. R | 120,349 | 111,286 |
Banco Espirito Santo | 27,218 | 129,669 |
Brisa Auto-Estradas de Portugal | 9,633 | 67,985 |
Cimpor-Cimentos de Portugal | 12,398 | 89,291 |
Energias de Portugal | 99,918 | 354,696 |
Galp Energia, Cl. B | 7,905 | 125,865 |
Jeronimo Martins | 13,816 | 142,559 |
Portugal Telecom | 33,584 | 340,064 |
1,361,415 |
The Fund 27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Singapore—1.5% | ||
Ascendas Real Estate Investment Trust | 91,281 | 128,736 |
CapitaLand | 143,500 | 387,238 |
CapitaMall Trust | 120,000 | 168,728 |
Capitamalls Asia | 74,000 | 116,741 |
City Developments | 30,000 | 231,071 |
ComfortDelgro | 93,700 | 106,644 |
Cosco Singapore | 48,000 | 59,910 |
DBS Group Holdings | 96,588 | 1,069,965 |
Fraser and Neave | 58,150 | 205,953 |
Genting Singapore | 246,527 a | 169,452 |
Golden Agri-Resources | 275,440 a | 115,932 |
Jardine Cycle & Carriage | 6,422 | 141,076 |
Keppel | 72,000 | 511,425 |
Neptune Orient Lines | 56,000 a | 88,605 |
Noble Group | 104,800 | 226,749 |
Olam International | 72,300 | 136,250 |
Oversea-Chinese Banking | 145,942 | 926,375 |
SembCorp Industries | 53,254 | 161,980 |
SembCorp Marine | 50,000 | 153,581 |
Singapore Airlines | 30,733 | 337,264 |
Singapore Exchange | 50,000 | 296,827 |
Singapore Press Holdings | 91,075 | 272,131 |
Singapore Technologies Engineering | 78,000 | 179,081 |
Singapore Telecommunications | 447,951 | 993,835 |
StarHub | 26,918 | 45,612 |
United Overseas Bank | 69,112 | 1,012,496 |
UOL Group | 32,111 | 89,187 |
Wilmar International | 74,000 | 371,049 |
8,703,893 | ||
Spain—3.7% | ||
Abertis Infraestructuras | 15,454 | 266,272 |
Acciona | 1,296 | 128,774 |
Acerinox | 7,125 | 141,992 |
ACS Actividades de Construccion y Servicios | 8,069 | 362,483 |
Banco Bilbao Vizcaya Argentaria | 203,616 | 2,662,541 |
Banco de Sabadell | 50,919 | 256,702 |
28
Common Stocks (continued) | Shares | Value ($) |
Spain (continued) | ||
Banco de Valencia | 10,791 | 62,418 |
Banco de Valencia (Rights) | 10,791 a | 1,263 |
Banco Popular Espanol | 49,339 | 348,150 |
Banco Santander | 469,809 | 5,894,453 |
Bankinter | 16,421 | 120,744 |
Criteria Caixacorp | 49,653 | 246,810 |
EDP Renovaveis | 13,006 a | 92,263 |
Enagas | 10,301 | 205,520 |
Ferrovial | 25,490 | 224,388 |
Fomento de Construcciones y Contratas | 1,877 | 61,454 |
Gamesa Tecnologica | 10,468 | 129,208 |
Gas Natural | 13,140 | 224,757 |
Gestevision Telecinco | 5,695 | 81,127 |
Grifols | 6,640 | 83,533 |
Iberdrola | 210,657 | 1,675,799 |
Iberdrola Renovables | 48,509 | 187,942 |
Iberia Lineas Aereas de Espana | 23,577 a | 78,070 |
Inditex | 12,572 | 771,766 |
Indra Sistemas | 5,136 | 102,282 |
Mapfre | 40,701 | 132,632 |
Red Electrica | 6,028 | 284,817 |
Repsol | 41,189 | 965,457 |
Sacyr Vallehermoso | 4,444 a | 33,642 |
Telefonica | 241,798 | 5,422,653 |
Zardoya Otis | 7,387 | 115,331 |
21,365,243 | ||
Sweden—2.8% | ||
Alfa Laval | 18,893 | 283,557 |
Assa Abloy, Cl. B | 17,744 | 412,395 |
Atlas Copco, Cl. A | 38,804 | 629,766 |
Atlas Copco, Cl. B | 22,311 | 326,429 |
Electrolux, Ser. B | 13,397 | 346,065 |
Getinge, Cl. B | 11,481 | 257,922 |
Hennes & Mauritz, Cl. B | 29,274 | 1,864,722 |
Holmen, Cl. B | 3,004 | 76,107 |
Husqvarna, Cl. B | 24,387 | 180,220 |
The Fund 29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Sweden (continued) | ||
Investor, Cl. B | 26,125 | 496,079 |
Kinnevik Investment, Cl. B | 11,875 | 217,811 |
Lundin Petroleum | 10,567 a | 64,220 |
Nordea Bank | 185,050 | 1,814,834 |
Ratos, Cl. B | 5,558 | 173,010 |
Sandvik | 58,087 | 840,203 |
Scania, Cl. B | 18,378 | 323,360 |
Securitas, Cl. B | 18,674 | 197,432 |
Skandinaviska Enskilda Banken, Cl. A | 87,934 | 605,357 |
Skanska, Cl. B | 22,668 | 377,365 |
SKF, Cl. B | 21,471 | 431,789 |
SSAB, Cl. A | 9,760 | 172,703 |
SSAB, Cl. B | 5,288 | 82,956 |
Svenska Cellulosa, Cl. B | 33,126 | 433,599 |
Svenska Handelsbanken, Cl. A | 28,197 | 794,342 |
Swedbank, Cl. A | 35,705 a | 386,617 |
Swedish Match | 14,428 | 329,118 |
Tele2, Cl. B | 17,812 | 302,541 |
Telefonaktiebolaget LM Ericsson, Cl. B | 172,414 | 2,003,385 |
TeliaSonera | 126,318 | 866,994 |
Volvo, Cl. A | 25,826 a | 312,398 |
Volvo, Cl. B | 62,734 a | 775,894 |
16,379,190 | ||
Switzerland—7.5% | ||
ABB | 126,227 a | 2,425,051 |
Actelion | 5,566 a | 223,600 |
Adecco | 6,790 | 399,491 |
Aryzta | 4,712 | 180,200 |
Baloise Holding | 2,856 | 224,078 |
BKW FMB Energie | 818 | 54,374 |
Compagnie Financiere Richemont, Cl. A | 29,326 | 1,082,248 |
Credit Suisse Group | 64,346 | 2,938,567 |
GAM Holding | 11,520 a | 142,983 |
Geberit | 2,211 | 392,589 |
Givaudan | 446 | 387,570 |
Holcim | 13,795 a | 1,032,673 |
30
Common Stocks (continued) | Shares | Value ($) |
Switzerland (continued) | ||
Julius Baer Group | 11,520 | 397,173 |
Kuehne & Nagel International | 3,152 | 327,342 |
Lindt & Spruengli | 6 | 155,990 |
Lindt & Spruengli-PC | 47 | 103,781 |
Logitech International | 10,887 a | 177,791 |
Lonza Group | 2,538 | 198,762 |
Nestle | 197,870 | 9,640,372 |
Nobel Biocare Holding | 7,372 | 161,664 |
Novartis | 120,471 | 6,136,029 |
Pargesa Holding | 1,539 | 125,125 |
Roche Holding | 40,110 | 6,323,824 |
Schindler Holding | 2,701 | 237,058 |
Schindler Holding-PC | 1,324 | 114,565 |
SGS | 318 | 411,842 |
Sonova Holding | 2,649 | 329,837 |
Straumann Holding | 380 | 94,024 |
Swatch Group | 2,547 | 139,410 |
Swatch Group-BR | 1,712 | 503,785 |
Swiss Life Holding | 1,524 a | 185,227 |
Swiss Reinsurance | 19,877 | 865,012 |
Swisscom | 1,321 | 447,046 |
Syngenta | 5,428 | 1,375,951 |
Synthes | 3,341 | 379,917 |
UBS | 203,406 a | 3,137,130 |
Zurich Financial Services | 8,436 | 1,877,620 |
43,329,701 | ||
United Kingdom—20.8% | ||
3i Group | 54,848 | 227,111 |
Admiral Group | 10,809 | 216,486 |
AMEC | 19,578 | 247,045 |
Anglo American | 75,256 a | 3,224,377 |
Antofagasta | 22,493 | 343,122 |
Associated British Foods | 19,775 | 304,255 |
AstraZeneca | 82,856 | 3,664,891 |
Autonomy | 12,236 a | 336,829 |
Aviva | 159,278 | 843,217 |
The Fund 31
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
BAE Systems | 198,900 | 1,045,907 |
Balfour Beatty | 39,910 | 169,036 |
Barclays | 652,139 | 3,340,255 |
BG Group | 192,659 | 3,235,918 |
BHP Billiton | 126,099 | 3,875,571 |
BP | 1,070,584 | 9,330,134 |
British Airways | 29,271 a | 100,827 |
British American Tobacco | 114,082 | 3,584,484 |
British Land | 47,174 | 336,806 |
British Sky Broadcasting Group | 65,864 | 617,967 |
BT Group | 436,514 | 845,664 |
Bunzl | 19,449 | 227,179 |
Burberry Group | 23,186 | 238,780 |
Cable & Wireless Worldwide | 140,485 a | 185,788 |
Cairn Energy | 76,360 a | 466,368 |
Capita Group | 35,860 | 438,004 |
Carnival | 9,179 | 398,078 |
Centrica | 294,334 | 1,319,631 |
Cobham | 65,746 | 266,692 |
Compass Group | 104,498 | 853,280 |
Diageo | 143,182 | 2,442,741 |
Drax Group | 21,337 | 118,032 |
EnQuest | 14,238 a | 21,901 |
Eurasian Natural Resources | 14,781 | 275,217 |
Experian | 59,412 | 549,932 |
Firstgroup | 25,087 | 146,419 |
Fresnillo | 10,749 | 131,144 |
G4S | 70,746 | 289,301 |
GlaxoSmithKline | 296,306 | 5,489,681 |
Hammerson | 39,651 | 231,838 |
Home Retail Group | 51,960 | 218,984 |
HSBC Holdings | 993,283 | 10,122,890 |
ICAP | 31,269 | 180,063 |
Imperial Tobacco Group | 58,244 | 1,663,204 |
Inmarsat | 25,622 | 297,247 |
Intercontinental Hotels Group | 13,743 | 241,830 |
32
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
International Power | 84,104 | 425,095 |
Invensys | 46,432 | 239,620 |
Investec | 22,001 | 174,492 |
J Sainsbury | 69,535 | 357,351 |
Johnson Matthey | 12,153 | 323,799 |
Kazakhmys | 12,328 | 264,169 |
Kingfisher | 136,905 | 523,321 |
Land Securities Group | 41,874 | 418,255 |
Legal & General Group | 330,163 | 427,818 |
Liberty International | 29,580 | 221,444 |
Lloyds Banking Group | 2,182,520 a | 2,183,419 |
London Stock Exchange Group | 7,101 | 74,069 |
Lonmin | 8,845 a | 256,795 |
Man Group | 96,029 | 357,141 |
Marks & Spencer Group | 88,313 | 494,887 |
National Grid | 141,143 | 1,363,384 |
Next | 10,932 | 383,664 |
Old Mutual | 305,758 | 540,539 |
Pearson | 45,255 | 726,787 |
Petrofac | 12,040 | 209,313 |
Prudential | 145,410 | 1,288,320 |
Randgold Resources | 5,159 | 436,365 |
Reckitt Benckiser Group | 34,879 | 1,810,917 |
Reed Elsevier | 69,303 | 546,056 |
Resolution | 145,299 | 161,392 |
Rexam | 51,766 | 254,513 |
Rio Tinto | 78,346 | 3,953,648 |
Rolls-Royce Group | 104,326 a | 921,690 |
Royal Bank of Scotland Group | 954,911 a | 784,678 |
Royal Dutch Shell, Cl. A | 202,435 | 6,336,298 |
Royal Dutch Shell, Cl. B | 153,994 | 4,648,707 |
RSA Insurance Group | 199,187 | 368,521 |
SABMiller | 54,125 | 1,700,224 |
Sage Group | 74,721 | 280,165 |
Schroders | 7,484 | 157,781 |
Scottish & Southern Energy | 51,953 | 857,409 |
The Fund 33
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
Segro | 42,037 | 197,576 |
Serco Group | 28,183 | 269,478 |
Severn Trent | 13,603 | 241,158 |
Shire | 32,385 | 714,863 |
Smith & Nephew | 49,609 | 515,187 |
Smiths Group | 22,538 | 388,271 |
Standard Chartered | 115,654 | 3,084,029 |
Standard Life | 130,361 | 395,243 |
Tesco | 453,983 | 3,021,115 |
Thomas Cook Group | 51,600 | 196,456 |
Tomkins | 52,596 | 200,214 |
Tui Travel | 29,455 | 126,023 |
Tullow Oil | 49,761 | 861,104 |
Unilever | 73,464 | 2,201,561 |
United Utilities Group | 37,832 | 310,500 |
Vedanta Resources | 7,560 | 291,435 |
Vodafone Group | 3,002,772 | 6,677,766 |
Whitbread | 10,339 | 243,070 |
WM Morrison Supermarkets | 122,761 | 543,586 |
Wolseley | 15,733 a | 395,837 |
WPP | 72,245 | 768,384 |
Xstrata | 109,182 | 1,808,731 |
120,627,759 | ||
Total Common Stocks | ||
(cost $580,683,516) | 566,942,985 | |
Preferred Stocks—.4% | ||
Germany | ||
Bayerische Motoren Werke | 3,061 | 109,853 |
Fresenius | 4,693 | 339,143 |
Henkel & Co. | 10,319 | 551,437 |
Porsche Automobil Holding | 5,132 | 297,776 |
RWE | 2,338 | 180,169 |
Volkswagen | 9,789 | 942,579 |
Total Preferred Stocks | ||
(cost $2,232,242) | 2,420,957 |
34
Principal | ||
Short-Term Investments—.1% | Amount ($) | Value ($) |
U.S. Treasury Bills; | ||
0.15%, 6/10/10 | ||
(cost $489,920) | 490,000 c | 489,920 |
Other Investment—1.4% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred Plus Money Market Fund | ||
(cost $8,050,000) | 8,050,000 d | 8,050,000 |
Total Investments (cost $591,455,678) | 99.8% | 577,903,862 |
Cash and Receivables (Net) | .2% | 1,424,708 |
Net Assets | 100.0% | 579,328,570 |
PC—Participation Certificate
PPS—Price Protected Shares
RSP—Risparmio (Savings) Shares
SDR—Swedish Depository Receipts
a | Non-income producing security. |
b | Fair valued by management.At the period end, the value of this security amounted to $6,684 or 0.001% of net assets.The valuation of this security has been determined in good faith under the direction of the Board of Directors. |
c | Held by a broker as collateral for open financial futures positions. |
d | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Banking | 13.8 | Diversified Financials | 4.3 |
Materials | 10.3 | Automobiles & Components | 4.0 |
Capital Goods | 8.4 | Insurance | 4.0 |
Energy | 8.0 | Technology Hardware & Equipment | 3.2 |
Food, Beverage & Tobacco | 6.4 | Real Estate | 3.0 |
Pharmaceuticals & Biotechnology | 6.2 | Short-Term/Money Market Investments | 1.5 |
Telecommunications | 5.3 | Other | 16.1 |
Utilities | 5.3 | 99.8 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 35
STATEMENT OF FINANCIAL FUTURES
April 30, 2010 (Unaudited)
Market Value | Unrealized | |||
Covered by | (Depreciation) | |||
Contracts | Contracts ($) | Expiration | at 4/30/2010 ($) | |
Financial Futures Long | ||||
DJ Euro Stoxx 50 | 96 | 3,507,712 | June 2010 | (147,084) |
FTSE 100 | 23 | 1,938,904 | June 2010 | (62,848) |
SPI 200 Index | 6 | 672,863 | June 2010 | (20,547) |
TOPIX | 20 | 2,091,267 | June 2010 | (18,331) |
(248,810) | ||||
See notes to financial statements. |
36
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2010 (Unaudited)
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments: | ||
Unaffiliated issuers | 583,405,678 | 569,853,862 |
Affiliated issuers | 8,050,000 | 8,050,000 |
Cash | 964,778 | |
Cash denominated in foreign currencies | 440,318 | 441,294 |
Dividends and interest receivable | 2,494,863 | |
Receivable for shares of Common Stock subscribed | 1,201,933 | |
Receivable for investment securities sold | 95,675 | |
Unrealized appreciation on forward foreign | ||
currency exchange contracts—Note 4 | 7,330 | |
583,109,735 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 292,688 | |
Payable for investment securities purchased | 3,044,926 | |
Payable for shares of Common Stock redeemed | 346,883 | |
Unrealized depreciation on forward foreign | ||
currency exchange contracts—Note 4 | 63,785 | |
Payable for futures variation margin—Note 4 | 32,883 | |
3,781,165 | ||
Net Assets ($) | 579,328,570 | |
Composition of Net Assets ($): | ||
Paid-in capital | 603,143,533 | |
Accumulated undistributed investment income—net | 2,893,401 | |
Accumulated net realized gain (loss) on investments | (12,835,934) | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments [including ($248,810) net unrealized | ||
(depreciation) on financial futures] | (13,872,430) | |
Net Assets ($) | 579,328,570 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 41,466,442 | |
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 13.97 | |
See notes to financial statements. |
The Fund 37
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2010 (Unaudited)
Investment Income ($): | |
Income: | |
Dividends (net of $644,177 foreign taxes withheld at source): | |
Unaffiliated issuers | 7,369,906 |
Affiliated issuers | 6,009 |
Interest | 5,042 |
Total Income | 7,380,957 |
Expenses: | |
Management fee—Note 3(a) | 986,428 |
Shareholder servicing costs—Note 3(b) | 704,592 |
Directors’ fees—Note 3(a) | 18,272 |
Loan commitment fees—Note 2 | 6,396 |
Total Expenses | 1,715,688 |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (18,272) |
Net Expenses | 1,697,416 |
Investment Income—Net | 5,683,541 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments and foreign currency transactions | (6,453,825) |
Net realized gain (loss) on financial futures | 964,452 |
Net realized gain (loss) on forward foreign currency exchange contracts | (716,915) |
Net Realized Gain (Loss) | (6,206,288) |
Net unrealized appreciation (depreciation) | |
on investments and foreign currency transactions | 13,136,415 |
Net unrealized appreciation (depreciation) on financial futures | 225,700 |
Net unrealized appreciation (depreciation) on | |
forward foreign currency exchange contracts | (139,043) |
Net Unrealized Appreciation (Depreciation) | 13,223,072 |
Net Realized and Unrealized Gain (Loss) on Investments | 7,016,784 |
Net Increase in Net Assets Resulting from Operations | 12,700,325 |
See notes to financial statements. |
38
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2010 | Year Ended | |
(Unaudited) | October 31, 2009 | |
Operations ($): | ||
Investment income—net | 5,683,541 | 10,748,143 |
Net realized gain (loss) on investments | (6,206,288) | 4,497,773 |
Net unrealized appreciation | ||
(depreciation) on investments | 13,223,072 | 82,489,486 |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 12,700,325 | 97,735,402 |
Dividends to Shareholders from ($): | ||
Investment income—net | (13,103,285) | (9,805,885) |
Net realized gain on investments | (3,322,070) | (778,245) |
Total Dividends | (16,425,355) | (10,584,130) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 102,813,738 | 349,050,223 |
Dividends reinvested | 15,535,964 | 9,310,050 |
Cost of shares redeemed | (82,577,671) | (225,160,976) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | 35,772,031 | 133,199,297 |
Total Increase (Decrease) in Net Assets | 32,047,001 | 220,350,569 |
Net Assets ($): | ||
Beginning of Period | 547,281,569 | 326,931,000 |
End of Period | 579,328,570 | 547,281,569 |
Undistributed investment income—net | 2,893,401 | 10,313,145 |
Capital Share Transactions (Shares): | ||
Shares sold | 7,233,689 | 31,692,805 |
Shares issued for dividends reinvested | 1,097,173 | 858,486 |
Shares redeemed | (5,816,220) | (21,995,482) |
Net Increase (Decrease) in Shares Outstanding | 2,514,642 | 10,555,809 |
See notes to financial statements. |
The Fund 39
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, 2010 | Year Ended October 31, | |||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 14.05 | 11.51 | 21.98 | 18.03 | 14.47 | 12.57 |
Investment Operations: | ||||||
Investment income—neta | .14 | .30 | .49 | .43 | .38 | .29 |
Net realized and unrealized | ||||||
gain (loss) on investments | .19 | 2.51 | (10.47) | 3.90 | 3.45 | 1.88 |
Total from Investment Operations | .33 | 2.81 | (9.98) | 4.33 | 3.83 | 2.17 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (.33) | (.25) | (.49) | (.38) | (.27) | (.27) |
Dividends from net realized | ||||||
gain on investments | (.08) | (.02) | — | — | — | — |
Total Distributions | (.41) | (.27) | (.49) | (.38) | (.27) | (.27) |
Net asset value, end of period | 13.97 | 14.05 | 11.51 | 21.98 | 18.03 | 14.47 |
Total Return (%) | 2.36b | 25.13 | (46.37) | 24.40 | 26.83 | 17.40 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | .61c | .61 | .61 | .61 | .60 | .60 |
Ratio of net expenses | ||||||
to average net assets | .60c | .60 | .60 | .60 | .60 | .60 |
Ratio of net investment income | ||||||
to average net assets | 2.02c | 2.53 | 2.72 | 2.20 | 2.30 | 2.07 |
Portfolio Turnover Rate | 2.40b | 17.26 | 7.17 | 3.31 | 4.12 | 3.46 |
Net Assets, end of period | ||||||
($ x 1,000) | 579,329 | 547,282 | 326,931 | 561,653 | 355,608 | 200,674 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
40
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 “Dist ributor”), 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 Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities.Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company 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.
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(a) Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value.When market quotations or officia l closing prices are not readily available, or are determined not to reflect accurately fair value,such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. For other 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 secur ities 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 foreign currency exchange contracts (“forward contracts”) are valued at the forward rate.
42
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2010 in valuing the fund’s investments:
The Fund 43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 2—Other | Level 3— | ||||
Level 1— | Significant | Significant | |||
Unadjusted | Observable | Unobservable | |||
Quoted Prices | Inputs | Inputs | Total | ||
Assets ($) | |||||
Investments in Securities: | |||||
Equity Securities— | |||||
Foreign† | 25,419 | 569,338,523†† | — | 569,363,942 | |
U.S. Treasury | — | 489,920 | — | 489,920 | |
Mutual Funds | 8,050,000 | — | — | 8,050,000 | |
Other Financial | |||||
Instruments††† | — | 7,330 | — | 7,330 | |
Liabilities ($) | |||||
Other Financial | |||||
Instruments††† | (248,810) | (63,785) | — | (312,595) |
† | See Statement of Investments for country and industry classification. |
†† | To adjust for the market difference between local market close and the calculation of the net asset |
value, the fund may utilize fair value model prices for international equities provided by an | |
independent service resulting in a level 2 classification. | |
††† | Other financial instruments include derivative instruments, such as futures, forward foreign |
currency exchange contracts, swap contracts and options contracts.Amounts shown represent | |
unrealized appreciation (depreciation), or in the case of options, market value at period end. |
In January 2010, FASB issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements”. ASU 2010-06 will require reporting entities to make new disclosures about amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures are required to be implemented for fiscal years beginning after December 15, 2009 except for the disclosures surrounding purchases,sales,issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements, which are effective f or fiscal years beginning after December 15, 2010. Management is currently evaluating the impact the adoption of ASU No. 2010-06 may have on the fund’s financial statement disclosures.
44
(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 between trade and settlement date, 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.
(d) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
The Fund 45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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 GAAP.
(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, 2010, 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, 2009 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, 2009 was as follows: ordinary income $9,805,885 and long-term capital gains $778,245.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 $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, (each,
46
a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2010, 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 .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 fees, 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 7;Fund Group”). Currently, the Company and 10 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 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
The Fund 47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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, 2010, the fund was charged $704,592 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 $170,735 and shareholder services plan fees $121,953.
(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, 2010, redemption fees charged and retained by the fund amounted to $19,183.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward contracts and financial futures, during the period ended April 30, 2010, amounted to $44,191,672 and $13,188,489, respectively.
The fund may invest in shares of certain affiliated investment companies also advised or managed by the adviser. Investments in affiliated investment companies for the period ended April 30, 2010 were as follows:
48
Affiliated | ||||
Investment | Value | Value | Net | |
Company | 10/31/2009 ($) | Purchases ($) | Sales ($) 4/30/2010 ($) | Assets (%) |
Dreyfus | ||||
Institutional | ||||
Preferred | ||||
Plus Money | ||||
Market | ||||
Fund | 11,950,000 | 39,300,000 | 43,200,000 8,050,000 | 1.4 |
The provisions of ASC Topic 815 “Derivatives and Hedging” require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives, which are accounted for as “hedges” and those that do not qualify for hedge accounting. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for such accounting. Accordingly, even though a fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of this disclosure.The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2010 is shown below:
Derivative | Derivative | ||
Assets ($) | Liabilities ($) | ||
Equity risk | — | Equity risk1 | (248,810) |
Foreign exchange risk2 | 7,330 | Foreign exchange risk3 | (63,785) |
Gross fair value of | |||
derivatives contracts | 7,330 | (312,595) |
Statement of Assets and Liabilities location:
1 | Includes cumulative appreciation/depreciation of futures contracts as reported in the Statement of Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. |
2 | Unrealized appreciation on forward foreign currency exchange contracts. |
3 | Unrealized depreciation on forward foreign currency exchange contracts. |
The Fund 49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2010 is shown below:
Amount of realized gain or (loss) on derivatives recognized in income ($)
Forward | |||
Underlying risk | Futures4 | Contracts5 | Total |
Equity | 964,452 | — | 964,452 |
Foreign exchange | — | (716,915) | (716,915) |
Total | 964,452 | (716,915) | 247,537 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($)6
Forward | |||
Underlying risk | Futures | Contracts | Total |
Equity | 225,700 | — | 225,700 |
Foreign exchange | — | (139,043) | (139,043) |
Total | 225,700 | (139,043) | 86,657 |
Statement of Operations location:
4 | Net realized gain (loss) on financial futures. |
5 | Net realized gain (loss) on forward foreign currency exchange contracts. |
6 | Net unrealized appreciation (depreciation) on financial futures and forward foreign currency exchange contracts. |
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market.A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures, since futures are exchange traded and the
50
exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at April 30, 2010 are set forth in the Statement of Financial Futures.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward 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 contracts, the fund incurs 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 contracts, the fund incurs 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. Any realized gain or loss which occurred during the period is reflected in the Statement of Operations.The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.The following summarizes open forward contracts at April 30, 2010:
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases: | ||||
Australian Dollar, | ||||
Expiring 6/16/2010 | 59,140 | 53,951 | 54,416 | 465 |
Australian Dollar, | ||||
Expiring 6/16/2010 | 247,100 | 228,611 | 227,360 | (1,251) |
Australian Dollar, | ||||
Expiring 6/16/2010 | 125,200 | 115,295 | 115,198 | (97) |
Australian Dollar, | ||||
Expiring 6/16/2010 | 122,900 | 113,600 | 113,082 | (518) |
The Fund 51
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases (continued): | ||||
Australian Dollar, | ||||
Expiring 6/16/2010 | 120,100 | 111,054 | 110,506 | (548) |
British Pound, | ||||
Expiring 6/16/2010 | 63,242 | 96,044 | 96,744 | 700 |
British Pound, | ||||
Expiring 6/16/2010 | 226,500 | 347,698 | 346,486 | (1,212) |
British Pound, | ||||
Expiring 6/16/2010 | 114,500 | 176,120 | 175,155 | (965) |
British Pound, | ||||
Expiring 6/16/2010 | 114,700 | 176,659 | 175,461 | (1,198) |
British Pound, | ||||
Expiring 6/16/2010 | 113,900 | 174,026 | 174,238 | 212 |
British Pound, | ||||
Expiring 6/16/2010 | 56,900 | 87,340 | 87,042 | (298) |
British Pound, | ||||
Expiring 6/16/2010 | 169,000 | 258,794 | 258,526 | (268) |
British Pound, | ||||
Expiring 6/16/2010 | 55,900 | 84,935 | 85,512 | 577 |
British Pound, | ||||
Expiring 6/16/2010 | 110,900 | 169,006 | 169,648 | 642 |
British Pound, | ||||
Expiring 6/16/2010 | 56,000 | 85,476 | 85,666 | 190 |
Danish Krone, | ||||
Expiring 5/3/2010 | 738,762 | 131,303 | 131,982 | 679 |
Euro, | ||||
Expiring 6/16/2010 | 425,762 | 572,522 | 566,972 | (5,550) |
Euro, | ||||
Expiring 6/16/2010 | 175,400 | 238,509 | 233,574 | (4,935) |
Euro, | ||||
Expiring 6/16/2010 | 234,600 | 318,683 | 312,408 | (6,275) |
Euro, | ||||
Expiring 6/16/2010 | 259,000 | 348,505 | 344,901 | (3,604) |
Euro, | ||||
Expiring 6/16/2010 | 172,000 | 231,585 | 229,046 | (2,539) |
Euro, | ||||
Expiring 6/16/2010 | 481,300 | 641,157 | 640,930 | (227) |
Euro, | ||||
Expiring 6/16/2010 | 55,600 | 73,377 | 74,041 | 664 |
Euro, | ||||
Expiring 6/16/2010 | 217,400 | 287,663 | 289,504 | 1,841 |
52
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases (continued): | ||||
Euro, | ||||
Expiring 6/16/2010 | 138,100 | 183,696 | 183,903 | 207 |
Japanese Yen, | ||||
Expiring 5/6/2010 | 243,669,565 | 2,618,250 | 2,591,953 | (26,297) |
Japanese Yen, | ||||
Expiring 6/16/2010 | 20,443,014 | 218,746 | 217,730 | (1,016) |
Japanese Yen, | ||||
Expiring 6/16/2010 | 19,780,000 | 212,100 | 210,669 | (1,431) |
Japanese Yen, | ||||
Expiring 6/16/2010 | 29,805,000 | 321,037 | 317,441 | (3,596) |
Japanese Yen, | ||||
Expiring 6/16/2010 | 19,410,000 | 208,688 | 206,728 | (1,960) |
Japanese Yen, | ||||
Expiring 6/16/2010 | 29,355,000 | 312,113 | 312,648 | 535 |
Japanese Yen, | ||||
Expiring 6/16/2010 | 19,520,000 | 207,494 | 207,900 | 406 |
Japanese Yen, | ||||
Expiring 6/16/2010 | 9,760,000 | 103,738 | 103,950 | 212 |
Gross Unrealized | ||||
Appreciation | 7,330 | |||
Gross Unrealized | ||||
Depreciation | (63,785) |
At April 30, 2010, accumulated net unrealized depreciation on investments was $13,551,816, consisting of $58,687,361 gross unrealized appreciation and $72,239,177 gross unrealized depreciation.
At April 30, 2010, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
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 2, 2010, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2011. 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 it 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 tho se 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.
54
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 front-end load and no-load pure index international large-cap core funds 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 large-cap core funds (the “Performance Universe”) selected and provided by Lipper, Inc. (“Lipper”), 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 was variously below, above and at the Performance Group medians for all periods, and was above the Performance Universe medians for all periods, except the three- and ten-year periods ended December 31, 2009 when it was below the Performance Universe medians. 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 fees 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 Board members noted that the fund’s contractual management fee was below the Expense Group median, the fund’s actual management fee was at the Expense Group and Expense Universe medians and the fund’s total expense ratio was below the Expense Group and Expense Universe medians. Management noted that, pursuant to the fund’s Management Agreement, Dreyfus pays all of the fund’s expenses, except management fees, shareholder services fees, and certain other
The Fund 55
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
expenses, including the fees and expenses of the independent Board members and their counsel.Additionally, Dreyfus has agreed to reduce its management fee in an amount equal to the fees and expenses of the independent Board members and their counsel.
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. 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.
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 also considered potential benefits to Dreyfus from acting as invest ment 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 relation-
56
ship 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 did not realize a profit on the fund’s operations.
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 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 services 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 Management Agreement was in the best interests of the fund and its shareholders.
The Fund 57
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/isincsrpdfx60x1.jpg)
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/spincsrx1x1.jpg)
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
23 | Statement of Financial Futures |
24 | Statement of Assets and Liabilities |
25 | Statement of Operations |
26 | Statement of Changes in Net Assets |
27 | Financial Highlights |
28 | Notes to Financial Statements |
37 | 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
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/spincsrx4x1.jpg)
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2009, through April 30, 2010.
Psychology plays a very important role in how investors — especially retail investors — perceive the markets and make asset allocation decisions. Unlike in an ideal world populated by the purely rational investor who would seek out investments that deliver the best risk/ return characteristics, the everyday investor is generally influenced by emotions. Currently, investor emotions appear to be deeply divided, with a large amount of investors still seeking low risk investments (such as cash instruments) and others seeking high risk investments (such as smaller-cap and emerging market securities), while the investment classes in the middle of the risk spectrum have seemingly been ignored.
It is important to note that the investor sentiment cycle usually lags the economic cycle.That’s why we continue to stress the importance of a long-term, well-balanced asset allocation strategy that can help cushion the volatility produced by the emotional swings of the financial markets. If you have not revisited your investment portfolio in the past year, we urge you to speak with your financial advisor about positioning your portfolio to take advantage of long-term market fundamentals rather than lie susceptible to short-term emotions.
For information about how the fund performed during the reporting period, as well as general market perspectives, we have provided a Discussion of Fund Performance.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/spincsrx4x2.jpg)
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 17, 2010
2
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/spincsrx5x1.jpg)
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2009, through April 30, 2010, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended April 30, 2010, Dreyfus S&P 500 Index Fund produced a total return of 15.46%.1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), the fund’s benchmark, produced a 15.66% return for the same period.2,3
Large-cap stocks generally produced positive absolute returns during the reporting period, as investor sentiment was buoyed by a sustained U.S. economic recovery. 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.
Economic Rebound Helped Buoy the Equity Markets
When the reporting period began, the U.S. economy had returned to growth, aided in large part by a number of fiscal and monetary stimulus programs. Improving manufacturing activity and an apparent bottoming of housing prices helped to bolster confidence among businesses, consumers and investors. In this environment, consumer and corporate spending improved, and stock and commodity prices rose sharply. However, a number of economic headwinds remained—including stubbornly high unemployment and foreclosure rates—and the economic rebound so far has proved to be less robust than most previous recoveries.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
Indeed, faced with the subpar recovery and low inflation, the Federal Reserve Board (the “Fed”) made it clear throughout the reporting period that it would continue to employ all available tools to stimulate economic growth. In each of five meetings of its Federal Open Market Committee from November 2009 through April 2010, the Fed maintained the overnight federal funds rate in an unprecedented low range between 0% and 0.25%.The Fed consistently reiterated at the conclusion of those meetings that it intended to keep interest rates low for an “extended period.”
S&P 500 Index Posted Gains in All Market Sectors
All 10 of the economic sectors that comprise the S&P 500 Index produced positive absolute returns during the reporting period, a testament to the breadth of the economic recovery. Much of the S&P 500 Index’s positive performance stemmed from the information technology sector, where stocks generally gained value after posting steep declines in the previous year. Results from technology companies were further fueled by an uptick in consumer and corporate spending. Cost-cutting measures, such as staff reductions, factory closures and moving operations to lower-cost sites, also helped boost performance within the sector. Hardware and software companies with significant exposure to overseas markets fared especially well. In fact, many technology firms expanded their overseas presence during the reporting period, made possible, in part, by their ability to borrow money at low interest rates. Videoconferencing providers, which helped their business customers reduce travel costs, also ranked among the sector’s top performers.
Industrial stocks posted above-average results, as aerospace and defense companies performed well amid continued geopolitical uncertainty. Railroad stocks benefited when shipping volumes increased in the improving economy. Industrial companies that create fuel efficiencies for corporate customers also gained substantial value.
A number of consumer discretionary stocks posted relatively strong results, as specialty retailers, automotive retailers and department stores rebounded from previously beaten-down levels. Improved consumer
4
spending during the reporting period created a “barbell” of positive performance from low-cost casual dining chains on one end to upscale hotels on the other. Media companies advanced in anticipation of greater advertising spending.
Returns were less impressive in the telecommunications services and utilities sectors.The S&P 500 Index’s greater laggards included some of its traditionally defensive components, including companies with large cash reserves that had held up relatively well during the recession. Investors felt more comfortable assuming greater risks as the economy recovered, and they turned away from defensive companies in favor of more speculative stocks.
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 17, 2010
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
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. Investors cannot invest directly in | |
any index. | |
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, 2009 to April 30, 2010. 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, 2010
Expenses paid per $1,000† | $2.67 |
Ending value (after expenses) | $1,154.60 |
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, 2010
Expenses paid per $1,000† | $2.51 |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
April 30, 2010 (Unaudited)
Common Stocks—99.3% | Shares | Value ($) |
Consumer Discretionary—10.5% | ||
Abercrombie & Fitch, Cl. A | 19,926 | 871,364 |
Amazon.com | 76,777 a | 10,523,055 |
Apollo Group, Cl. A | 27,793 a,b | 1,595,596 |
AutoNation | 21,044 a,b | 425,089 |
AutoZone | 6,774 a,b | 1,253,258 |
Bed Bath & Beyond | 58,648 a | 2,695,462 |
Best Buy | 77,235 | 3,521,916 |
Big Lots | 18,921 a,b | 722,782 |
Carnival | 98,697 | 4,115,665 |
CBS, Cl. B | 153,376 | 2,486,225 |
Coach | 71,905 b | 3,002,034 |
Comcast, Cl. A | 637,622 b | 12,586,658 |
D.R. Horton | 63,547 b | 933,505 |
Darden Restaurants | 31,481 b | 1,408,775 |
DeVry | 14,015 | 874,396 |
DIRECTV, Cl. A | 212,055 a | 7,682,753 |
Discovery Communications, Cl. A | 63,644 a | 2,463,023 |
Eastman Kodak | 61,037 a,b | 373,546 |
Expedia | 48,425 | 1,143,314 |
Family Dollar Stores | 31,306 b | 1,238,465 |
Ford Motor | 755,853 a,b | 9,841,206 |
Fortune Brands | 33,780 | 1,770,748 |
GameStop, Cl. A | 37,352 a,b | 908,027 |
Gannett | 53,294 b | 907,064 |
Gap | 107,101 | 2,648,608 |
Genuine Parts | 36,902 | 1,579,406 |
Goodyear Tire & Rubber | 55,762 a | 748,884 |
H & R Block | 75,414 | 1,380,830 |
Harley-Davidson | 53,755 b | 1,818,532 |
Harman International Industries | 13,898 a | 548,693 |
Hasbro | 28,174 | 1,080,755 |
Home Depot | 382,045 | 13,467,086 |
International Game Technology | 69,687 | 1,469,002 |
Interpublic Group of Cos. | 109,219 a,b | 973,141 |
J.C. Penney | 52,656 | 1,535,976 |
Johnson Controls | 150,705 | 5,062,181 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
Kohl’s | 68,745 a | 3,780,288 |
Leggett & Platt | 36,482 b | 894,903 |
Lennar, Cl. A | 31,982 b | 636,442 |
Limited Brands | 60,405 | 1,618,854 |
Lowe’s | 331,482 | 8,989,792 |
Macy’s | 94,664 | 2,196,205 |
Marriott International, Cl. A | 57,195 b | 2,102,488 |
Mattel | 81,130 | 1,870,047 |
McDonald’s | 241,739 | 17,064,356 |
McGraw-Hill | 72,626 | 2,448,949 |
Meredith | 8,744 b | 314,172 |
New York Times, Cl. A | 27,333 a,b | 271,143 |
Newell Rubbermaid | 64,285 | 1,097,345 |
News, Cl. A | 510,853 | 7,877,353 |
NIKE, Cl. B | 87,732 | 6,659,736 |
Nordstrom | 35,673 | 1,474,365 |
O’Reilly Automotive | 30,738 a,b | 1,502,781 |
Office Depot | 63,374 a | 434,746 |
Omnicom Group | 70,655 | 3,014,142 |
Polo Ralph Lauren | 12,866 | 1,156,653 |
Priceline.com | 10,203 a | 2,673,696 |
Pulte Group | 77,602 a,b | 1,015,810 |
RadioShack | 30,532 | 657,965 |
Ross Stores | 26,656 b | 1,492,736 |
Scripps Networks Interactive, Cl. A | 20,794 | 942,800 |
Sears Holdings | 11,021 a,b | 1,332,990 |
Sherwin-Williams | 21,485 | 1,677,334 |
Stanley Black and Decker | 35,287 | 2,193,087 |
Staples | 160,436 | 3,775,059 |
Starbucks | 164,643 | 4,277,425 |
Starwood Hotels & Resorts Worldwide | 41,917 c | 2,284,896 |
Target | 169,374 | 9,632,299 |
Tiffany & Co. | 28,136 | 1,364,033 |
Time Warner | 258,593 | 8,554,256 |
Time Warner Cable | 80,078 | 4,504,388 |
TJX | 94,706 | 4,388,676 |
8
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
Urban Outfitters | 28,798 a | 1,080,213 |
VF | 19,585 | 1,692,536 |
Viacom, Cl. B | 136,793 a | 4,832,897 |
Walt Disney | 432,639 | 15,938,421 |
Washington Post, Cl. B | 1,349 | 684,159 |
Whirlpool | 16,951 b | 1,845,455 |
Wyndham Worldwide | 41,055 | 1,100,685 |
Wynn Resorts | 15,258 b | 1,346,366 |
Yum! Brands | 105,883 | 4,491,557 |
254,841,519 | ||
Consumer Staples—10.9% | ||
Altria Group | 466,556 | 9,886,321 |
Archer-Daniels-Midland | 145,491 | 4,065,019 |
Avon Products | 96,179 | 3,109,467 |
Brown-Forman, Cl. B | 24,498 | 1,425,294 |
Campbell Soup | 42,953 b | 1,540,295 |
Clorox | 31,112 | 2,012,946 |
Coca-Cola | 517,939 | 27,683,840 |
Coca-Cola Enterprises | 71,225 | 1,975,069 |
Colgate-Palmolive | 110,952 | 9,331,063 |
ConAgra Foods | 99,873 | 2,443,892 |
Constellation Brands, Cl. A | 44,945 a | 821,145 |
Costco Wholesale | 98,329 b | 5,809,277 |
CVS Caremark | 312,600 | 11,544,318 |
Dean Foods | 39,928 a,b | 626,870 |
Dr. Pepper Snapple Group | 58,362 | 1,910,188 |
Estee Lauder, Cl. A | 26,396 b | 1,740,024 |
General Mills | 74,119 | 5,275,790 |
H.J. Heinz | 70,525 | 3,305,507 |
Hershey | 37,758 | 1,775,004 |
Hormel Foods | 15,916 | 648,736 |
J.M. Smucker | 26,701 | 1,630,630 |
Kellogg | 56,514 b | 3,104,879 |
Kimberly-Clark | 93,918 | 5,753,417 |
Kraft Foods, Cl. A | 389,422 | 11,526,891 |
Kroger | 148,084 | 3,291,907 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Consumer Staples (continued) | ||
Lorillard | 34,845 | 2,730,803 |
McCormick & Co. | 29,659 b | 1,173,607 |
Mead Johnson Nutrition | 45,785 | 2,362,964 |
Molson Coors Brewing, Cl. B | 34,255 | 1,519,552 |
PepsiCo | 366,781 | 23,921,457 |
Philip Morris International | 422,812 | 20,751,613 |
Procter & Gamble | 652,654 | 40,568,973 |
Reynolds American | 38,820 b | 2,073,764 |
Safeway | 87,549 b | 2,066,156 |
Sara Lee | 161,464 | 2,296,018 |
SUPERVALU | 49,110 | 731,739 |
SYSCO | 133,339 b | 4,205,512 |
Tyson Foods, Cl. A | 67,133 | 1,315,135 |
Wal-Mart Stores | 479,319 | 25,715,464 |
Walgreen | 221,409 | 7,782,526 |
Whole Foods Market | 37,968 a,b | 1,481,511 |
262,934,583 | ||
Energy—11.1% | ||
Anadarko Petroleum | 111,472 | 6,929,099 |
Apache | 75,642 | 7,697,330 |
Baker Hughes | 96,844 b | 4,818,958 |
Cabot Oil & Gas | 24,214 | 874,852 |
Cameron International | 54,684 a | 2,157,831 |
Chesapeake Energy | 146,164 b | 3,478,703 |
Chevron | 451,636 | 36,781,236 |
ConocoPhillips | 334,044 | 19,772,064 |
Consol Energy | 49,360 | 2,205,405 |
Denbury Resources | 88,874 a | 1,701,937 |
Devon Energy | 100,000 | 6,733,000 |
Diamond Offshore Drilling | 15,787 b | 1,248,752 |
El Paso | 157,966 | 1,911,389 |
EOG Resources | 56,196 | 6,300,696 |
Exxon Mobil | 1,060,880 | 71,980,708 |
FMC Technologies | 27,552 a,b | 1,864,995 |
Halliburton | 203,081 | 6,224,433 |
Helmerich & Payne | 23,721 b | 963,547 |
10
Common Stocks (continued) | Shares | Value ($) |
Energy (continued) | ||
Hess | 63,883 | 4,059,765 |
Marathon Oil | 159,540 | 5,129,211 |
Massey Energy | 18,670 | 683,882 |
Murphy Oil | 42,968 | 2,584,525 |
Nabors Industries | 62,961 a | 1,358,069 |
National Oilwell Varco | 94,299 | 4,151,985 |
Noble Energy | 38,902 | 2,972,113 |
Occidental Petroleum | 182,730 | 16,200,842 |
Peabody Energy | 60,603 | 2,831,372 |
Pioneer Natural Resources | 26,967 b | 1,729,394 |
Range Resources | 34,797 b | 1,661,905 |
Rowan | 25,763 a,b | 767,737 |
Schlumberger | 268,837 | 19,200,339 |
Smith International | 55,308 | 2,641,510 |
Southwestern Energy | 77,396 a | 3,071,073 |
Spectra Energy | 146,586 b | 3,421,317 |
Sunoco | 27,304 b | 895,025 |
Tesoro | 31,894 b | 419,406 |
Valero Energy | 126,568 | 2,631,349 |
Williams | 129,944 | 3,067,978 |
XTO Energy | 131,091 | 6,229,444 |
269,353,176 | ||
Financial—16.3% | ||
Aflac | 105,949 | 5,399,161 |
Allstate | 122,535 | 4,003,218 |
American Express | 266,658 | 12,298,267 |
American International Group | 30,337 a,b | 1,180,109 |
Ameriprise Financial | 58,005 | 2,689,112 |
AON | 61,277 | 2,601,821 |
Apartment Investment & | ||
Management, Cl. A | 26,071 b,c | 584,251 |
Assurant | 26,701 | 972,717 |
AvalonBay Communities | 17,866 b,c | 1,858,779 |
Bank of America | 2,252,421 | 40,160,666 |
Bank of New York Mellon | 271,112 | 8,439,717 |
BB & T | 154,460 b | 5,134,250 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
Berkshire Hathaway, Cl. B | 371,492 a | 28,604,884 |
Boston Properties | 30,987 c | 2,443,635 |
Capital One Financial | 101,937 | 4,425,085 |
CB Richard Ellis Group, Cl. A | 60,183 a | 1,042,370 |
Charles Schwab | 219,130 | 4,227,018 |
Chubb | 73,961 | 3,910,318 |
Cincinnati Financial | 36,869 b | 1,047,080 |
Citigroup | 4,408,072 a | 19,263,275 |
CME Group | 14,980 | 4,919,582 |
Comerica | 38,878 | 1,632,876 |
Discover Financial Services | 118,248 | 1,828,114 |
E*TRADE FINANCIAL | 340,165 a | 571,477 |
Equity Residential | 61,070 c | 2,764,639 |
Federated Investors, Cl. B | 20,020 b | 482,882 |
Fifth Third Bancorp | 176,802 | 2,636,118 |
First Horizon National | 49,322 a,b | 697,906 |
Franklin Resources | 33,578 | 3,882,960 |
Genworth Financial, Cl. A | 109,339 a | 1,806,280 |
Goldman Sachs Group | 118,056 | 17,141,731 |
Hartford Financial Services Group | 95,479 | 2,727,835 |
HCP | 65,333 b,c | 2,098,496 |
Health Care REIT | 27,645 b,c | 1,242,090 |
Host Hotels & Resorts | 146,286 b,c | 2,378,610 |
Hudson City Bancorp | 108,936 | 1,448,849 |
Huntington Bancshares | 158,820 | 1,075,211 |
IntercontinentalExchange | 16,411 a | 1,914,015 |
Invesco | 92,943 | 2,136,759 |
Janus Capital Group | 37,134 b | 522,847 |
JPMorgan Chase & Co. | 892,090 | 37,985,192 |
KeyCorp | 190,202 | 1,715,622 |
Kimco Realty | 90,638 b,c | 1,413,046 |
Legg Mason | 35,905 b | 1,137,829 |
Leucadia National | 39,675 a,b | 1,004,174 |
Lincoln National | 66,779 | 2,042,770 |
Loews | 79,804 | 2,971,901 |
M & T Bank | 18,591 b | 1,623,924 |
12
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
Marsh & McLennan | 115,690 | 2,802,012 |
Marshall & Ilsley | 115,996 | 1,055,564 |
MetLife | 184,371 | 8,403,630 |
Moody’s | 44,415 b | 1,097,939 |
Morgan Stanley | 313,650 | 9,478,503 |
Nasdaq OMX Group | 30,615 a | 642,915 |
Northern Trust | 54,563 b | 2,999,874 |
NYSE Euronext | 60,061 | 1,959,790 |
People’s United Financial | 78,512 | 1,219,291 |
Plum Creek Timber | 36,741 b,c | 1,462,292 |
PNC Financial Services Group | 115,921 | 7,791,050 |
Principal Financial Group | 70,509 b | 2,060,273 |
Progressive | 154,543 | 3,104,769 |
ProLogis | 105,907 c | 1,394,795 |
Prudential Financial | 103,734 | 6,593,333 |
Public Storage | 30,167 c | 2,923,484 |
Regions Financial | 264,641 b | 2,339,426 |
Simon Property Group | 65,033 c | 5,789,238 |
SLM | 108,217 a | 1,324,576 |
State Street | 112,133 | 4,877,786 |
SunTrust Banks | 111,346 | 3,295,842 |
T. Rowe Price Group | 58,457 | 3,361,862 |
Torchmark | 19,997 b | 1,070,639 |
Travelers | 115,749 | 5,873,104 |
U.S. Bancorp | 430,866 | 11,534,283 |
Unum Group | 75,271 | 1,841,881 |
Ventas | 35,423 b,c | 1,673,028 |
Vornado Realty Trust | 35,333 c | 2,945,712 |
Wells Fargo & Co. | 1,162,705 | 38,497,163 |
XL Capital, Cl. A | 77,383 | 1,377,417 |
Zions Bancorporation | 33,363 b | 958,519 |
395,839,458 | ||
Health Care—11.5% | ||
Abbott Laboratories | 348,192 | 17,813,502 |
Aetna | 97,776 | 2,889,281 |
Allergan | 69,458 | 4,423,780 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Health Care (continued) | ||
AmerisourceBergen | 65,009 | 2,005,527 |
Amgen | 220,355 a | 12,639,563 |
Baxter International | 135,774 | 6,411,248 |
Becton Dickinson & Co. | 53,451 | 4,082,053 |
Biogen Idec | 60,812 a | 3,238,239 |
Boston Scientific | 338,954 a | 2,332,004 |
Bristol-Myers Squibb | 385,254 | 9,743,074 |
C.R. Bard | 21,776 | 1,884,277 |
Cardinal Health | 81,120 | 2,814,053 |
CareFusion | 40,619 a | 1,120,272 |
Celgene | 104,149 a | 6,452,031 |
Cephalon | 16,702 a,b | 1,072,268 |
Cerner | 15,266 a | 1,296,236 |
CIGNA | 62,814 | 2,013,817 |
Coventry Health Care | 33,800 a | 802,412 |
DaVita | 23,499 a | 1,467,043 |
Dentsply International | 33,604 b | 1,231,251 |
Eli Lilly & Co. | 227,693 b | 7,962,424 |
Express Scripts | 61,294 a | 6,137,368 |
Forest Laboratories | 68,734 a | 1,873,689 |
Genzyme | 59,815 a | 3,184,551 |
Gilead Sciences | 202,710 a | 8,041,506 |
Hospira | 36,772 a | 1,977,966 |
Humana | 38,673 a | 1,768,130 |
Intuitive Surgical | 8,762 a,b | 3,159,227 |
Johnson & Johnson | 618,249 | 39,753,411 |
King Pharmaceuticals | 57,122 a,b | 559,796 |
Laboratory Corp. of America Holdings | 23,961 a,b | 1,882,616 |
Life Technologies | 39,150 a | 2,141,897 |
McKesson | 60,631 | 3,929,495 |
Medco Health Solutions | 104,404 a | 6,151,484 |
Medtronic | 249,182 | 10,886,762 |
Merck & Co. | 699,113 | 24,496,920 |
Millipore | 12,805 a | 1,359,251 |
Mylan | 70,625 a,b | 1,555,869 |
Patterson | 21,340 | 682,667 |
14
Common Stocks (continued) | Shares | Value ($) |
Health Care (continued) | ||
PerkinElmer | 27,295 | 683,740 |
Pfizer | 1,816,562 | 30,372,917 |
Quest Diagnostics | 34,147 b | 1,951,843 |
St. Jude Medical | 73,210 a | 2,988,432 |
Stryker | 62,163 | 3,570,643 |
Tenet Healthcare | 97,059 a | 606,619 |
Thermo Fisher Scientific | 92,849 a | 5,132,693 |
UnitedHealth Group | 261,656 | 7,930,793 |
Varian Medical Systems | 28,109 a,b | 1,584,785 |
Waters | 21,361 a | 1,537,778 |
Watson Pharmaceuticals | 24,003 a,b | 1,027,808 |
WellPoint | 99,895 a | 5,374,351 |
Zimmer Holdings | 47,984 a | 2,922,705 |
278,922,067 | ||
Industrial—10.7% | ||
3M | 159,219 | 14,117,949 |
Avery Dennison | 24,602 | 960,216 |
Boeing | 169,700 | 12,291,371 |
C.H. Robinson Worldwide | 37,804 b | 2,279,581 |
Caterpillar | 139,938 b | 9,528,378 |
Cintas | 30,339 b | 826,738 |
CSX | 88,409 | 4,955,324 |
Cummins | 45,684 | 3,299,755 |
Danaher | 57,585 | 4,853,264 |
Deere & Co. | 95,249 | 5,697,795 |
Dover | 42,881 | 2,239,246 |
Dun & Bradstreet | 12,233 | 941,574 |
Eaton | 37,470 | 2,891,185 |
Emerson Electric | 169,351 | 8,845,203 |
Equifax | 28,780 b | 967,008 |
Expeditors International | ||
of Washington | 47,992 b | 1,955,194 |
Fastenal | 29,012 b | 1,586,666 |
FedEx | 70,362 | 6,333,284 |
First Solar | 10,971 a,b | 1,574,887 |
Flowserve | 12,609 | 1,444,739 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | ||
Fluor | 41,301 | 2,182,345 |
General Dynamics | 86,914 | 6,636,753 |
General Electric | 2,396,598 | 45,199,838 |
Goodrich | 27,969 | 2,074,740 |
Honeywell International | 169,427 | 8,042,700 |
Illinois Tool Works | 87,560 | 4,474,316 |
Iron Mountain | 40,815 | 1,026,497 |
ITT | 40,976 | 2,277,036 |
Jacobs Engineering Group | 28,178 a,b | 1,358,743 |
L-3 Communications Holdings | 26,207 | 2,452,189 |
Lockheed Martin | 70,896 | 6,018,361 |
Masco | 82,039 | 1,331,493 |
Norfolk Southern | 82,898 | 4,918,338 |
Northrop Grumman | 68,139 | 4,621,868 |
Paccar | 82,039 b | 3,816,454 |
Pall | 27,224 | 1,061,464 |
Parker Hannifin | 36,646 | 2,535,170 |
Pitney Bowes | 47,381 b | 1,203,477 |
Precision Castparts | 31,415 | 4,031,801 |
Quanta Services | 44,099 a,b | 887,713 |
R.R. Donnelley & Sons | 47,811 | 1,027,458 |
Raytheon | 86,422 | 5,038,403 |
Republic Services | 72,623 | 2,253,492 |
Robert Half International | 34,962 b | 957,260 |
Rockwell Automation | 33,167 b | 2,013,900 |
Rockwell Collins | 36,404 b | 2,366,260 |
Roper Industries | 20,474 | 1,249,323 |
Ryder System | 12,776 | 594,340 |
Snap-On | 13,366 | 643,974 |
Southwest Airlines | 167,683 | 2,210,062 |
Stericycle | 19,355 a,b | 1,140,010 |
Textron | 60,951 b | 1,392,121 |
Union Pacific | 113,629 | 8,597,170 |
United Parcel Service, Cl. B | 223,565 | 15,457,284 |
United Technologies | 211,154 | 15,825,992 |
16
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | ||
W.W. Grainger | 14,247 | 1,574,863 |
Waste Management | 110,836 b | 3,843,792 |
259,926,357 | ||
Information Technology—18.8% | ||
Adobe Systems | 117,971 a | 3,962,646 |
Advanced Micro Devices | 127,435 a | 1,154,561 |
Agilent Technologies | 77,823 a | 2,821,862 |
Akamai Technologies | 38,737 a,b | 1,504,158 |
Altera | 68,598 | 1,739,645 |
Amphenol, Cl. A | 39,864 | 1,842,115 |
Analog Devices | 66,249 | 1,982,832 |
Apple | 203,630 a | 53,171,865 |
Applied Materials | 303,394 | 4,180,769 |
Autodesk | 50,577 a | 1,720,124 |
Automatic Data Processing | 113,639 | 4,927,387 |
BMC Software | 42,786 a | 1,684,057 |
Broadcom, Cl. A | 97,328 | 3,356,843 |
CA | 90,528 | 2,064,944 |
Cisco Systems | 1,286,473 a | 34,631,853 |
Citrix Systems | 40,867 a | 1,920,749 |
Cognizant Technology Solutions, Cl. A | 66,826 a | 3,420,155 |
Computer Sciences | 34,012 a | 1,781,889 |
Compuware | 57,491 a | 494,423 |
Corning | 350,531 | 6,747,722 |
Dell | 387,839 a | 6,275,235 |
eBay | 251,792 a | 5,995,168 |
Electronic Arts | 72,833 a | 1,410,775 |
EMC | 457,661 a | 8,700,136 |
Fidelity National Information Services | 70,317 b | 1,848,634 |
Fiserv | 34,756 a | 1,775,684 |
FLIR Systems | 34,357 a,b | 1,050,981 |
Google, Cl. A | 54,280 a | 28,520,883 |
Harris | 30,211 | 1,555,262 |
Hewlett-Packard | 528,995 | 27,491,870 |
Intel | 1,244,064 | 28,401,981 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | ||
International Business Machines | 291,961 | 37,662,969 |
Intuit | 72,447 a | 2,619,684 |
Jabil Circuit | 43,178 | 661,487 |
JDS Uniphase | 47,239 a | 613,635 |
Juniper Networks | 120,065 a,b | 3,411,047 |
KLA-Tencor | 39,427 | 1,342,884 |
Lexmark International, Cl. A | 17,828 a,b | 660,527 |
Linear Technology | 49,836 b | 1,498,070 |
LSI | 145,419 a | 875,422 |
MasterCard, Cl. A | 21,558 b | 5,347,246 |
McAfee | 34,607 a | 1,202,593 |
MEMC Electronic Materials | 51,500 a | 667,955 |
Microchip Technology | 41,893 b | 1,223,695 |
Micron Technology | 191,621 a,b | 1,791,656 |
Microsoft | 1,715,076 | 52,378,421 |
Molex | 32,742 b | 733,748 |
Monster Worldwide | 29,152 a,b | 508,119 |
Motorola | 511,099 a | 3,613,470 |
National Semiconductor | 51,364 b | 759,160 |
NetApp | 77,208 a | 2,676,801 |
Novell | 81,887 a | 459,386 |
Novellus Systems | 23,752 a,b | 622,302 |
NVIDIA | 121,850 a,b | 1,915,482 |
Oracle | 878,894 | 22,710,621 |
Paychex | 73,343 | 2,244,296 |
QLogic | 26,076 a,b | 505,092 |
QUALCOMM | 376,165 | 14,572,632 |
Red Hat | 42,941 a | 1,282,648 |
SAIC | 65,243 a | 1,135,881 |
Salesforce.com | 24,616 a,b | 2,107,130 |
SanDisk | 50,434 a | 2,011,812 |
Symantec | 182,785 a | 3,065,304 |
Tellabs | 86,839 | 788,498 |
Teradata | 38,691 a | 1,124,747 |
Teradyne | 40,486 a,b | 495,144 |
Texas Instruments | 279,098 b | 7,259,339 |
18
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | ||
Total System Services | 46,162 | 739,054 |
VeriSign | 43,406 a,b | 1,183,682 |
Visa, Cl. A | 100,152 b | 9,036,715 |
Western Digital | 50,552 a | 2,077,182 |
Western Union | 155,959 | 2,846,252 |
Xerox | 309,204 | 3,370,324 |
Xilinx | 63,378 b | 1,633,885 |
Yahoo! | 268,602 a | 4,439,991 |
456,013,196 | ||
Materials—3.4% | ||
Air Products & Chemicals | 47,847 | 3,673,692 |
Airgas | 18,553 | 1,177,188 |
AK Steel Holding | 26,128 b | 437,644 |
Alcoa | 228,515 | 3,071,241 |
Allegheny Technologies | 21,867 b | 1,169,228 |
Ball | 21,679 | 1,153,540 |
Bemis | 22,993 | 699,217 |
CF Industries Holdings | 15,576 | 1,303,244 |
Cliffs Natural Resources | 30,249 | 1,891,470 |
Dow Chemical | 257,504 | 7,938,848 |
E.I. du Pont de Nemours & Co. | 204,119 | 8,132,101 |
Eastman Chemical | 16,491 b | 1,103,578 |
Ecolab | 53,301 b | 2,603,221 |
FMC | 15,590 | 992,148 |
Freeport-McMoRan Copper & Gold | 96,563 b | 7,293,403 |
International Flavors & Fragrances | 17,726 | 887,895 |
International Paper | 96,416 | 2,578,164 |
MeadWestvaco | 38,277 | 1,039,986 |
Monsanto | 122,754 | 7,740,867 |
Newmont Mining | 111,487 | 6,252,191 |
Nucor | 71,366 b | 3,234,307 |
Owens-Illinois | 37,819 a | 1,340,305 |
Pactiv | 30,232 a | 768,195 |
PPG Industries | 36,975 | 2,601,931 |
Praxair | 69,098 | 5,788,339 |
Sealed Air | 35,368 | 760,412 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Materials (continued) | ||
Sigma-Aldrich | 27,455 b | 1,628,082 |
Titanium Metals | 18,451 a,b | 284,514 |
United States Steel | 32,266 b | 1,763,660 |
Vulcan Materials | 27,522 b | 1,576,460 |
Weyerhaeuser | 47,698 | 2,362,005 |
83,247,076 | ||
Telecommunication Services—2.7% | ||
American Tower, Cl. A | 88,869 a | 3,626,744 |
AT & T | 1,328,401 | 34,618,130 |
CenturyTel | 67,889 b | 2,315,694 |
Frontier Communications | 71,563 b | 569,641 |
Metropcs Communications | 57,458 a | 438,405 |
Qwest Communications International | 337,194 b | 1,763,525 |
Sprint Nextel | 643,278 a | 2,733,932 |
Verizon Communications | 637,050 | 18,404,375 |
Windstream | 99,911 b | 1,104,017 |
65,574,463 | ||
Utilities—3.4% | ||
AES | 150,492 a | 1,736,677 |
Allegheny Energy | 38,762 | 844,236 |
Ameren | 51,597 | 1,339,458 |
American Electric Power | 106,045 | 3,637,343 |
CenterPoint Energy | 85,100 | 1,222,036 |
CMS Energy | 52,199 b | 848,756 |
Consolidated Edison | 61,574 b | 2,783,145 |
Constellation Energy Group | 45,361 | 1,603,511 |
Dominion Resources | 132,797 | 5,550,915 |
DTE Energy | 36,682 | 1,766,972 |
Duke Energy | 291,677 | 4,894,340 |
Edison International | 73,568 | 2,528,532 |
Entergy | 42,623 | 3,464,824 |
EQT | 29,628 | 1,288,522 |
Exelon | 149,560 | 6,519,320 |
FirstEnergy | 68,900 | 2,609,243 |
20
Common Stocks (continued) | Shares | Value ($) |
Utilities (continued) | ||
FPL Group | 92,272 | 4,802,758 |
Integrys Energy | 17,704 b | 878,295 |
Nicor | 10,490 b | 456,420 |
NiSource | 63,660 | 1,037,658 |
Northeast Utilities | 39,202 | 1,089,424 |
NRG Energy | 57,644 a | 1,393,255 |
ONEOK | 23,446 b | 1,152,136 |
Pepco Holdings | 49,078 | 821,566 |
PG & E | 83,295 | 3,648,321 |
Pinnacle West Capital | 23,286 | 869,499 |
PPL | 84,534 | 2,093,062 |
Progress Energy | 62,757 | 2,505,259 |
Public Service Enterprise Group | 114,925 | 3,692,540 |
Questar | 40,077 | 1,921,692 |
SCANA | 25,029 | 987,895 |
Sempra Energy | 55,618 | 2,735,293 |
Southern | 184,007 | 6,359,282 |
TECO Energy | 48,971 b | 829,079 |
Wisconsin Energy | 26,472 | 1,390,045 |
Xcel Energy | 101,714 | 2,212,280 |
83,513,589 | ||
Total Common Stocks | ||
(cost $1,737,895,520) | 2,410,165,484 | |
Principal | ||
Short-Term Investments—.1% | Amount ($) | Value ($) |
U.S. Treasury Bills; | ||
0.15%, 6/10/10 | ||
(cost $1,424,761) | 1,425,000 d | 1,424,798 |
Other Investment—.6% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred | ||
Plus Money Market Fund | ||
(cost $13,728,000) | 13,728,000 e | 13,728,000 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Investment of Cash Collateral | ||
for Securities Loaned—5.6% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash | ||
Advantage Plus Fund | ||
(cost $135,301,393) | 135,301,393 e | 135,301,393 |
Total Investments (cost $1,888,349,674) | 105.6% | 2,560,619,675 |
Liabilities, Less Cash and Receivables | (5.6%) | (135,077,993) |
Net Assets | 100.0% | 2,425,541,682 |
a | Non-income producing security. |
b | Security, or portion thereof, on loan.At April 30, 2010, the total market value of the fund’s securities on loan is $142,195,097 and the total market value of the collateral held by the fund is $148,878,896, consisting of cash collateral of $135,301,393 and U.S. Government and Agency securities valued at $13,577,503. |
c | Investment in real estate investment trust. |
d | Held by a broker as collateral for open financial futures positions. |
e | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Information Technology | 18.8 | Short-Term/ | |
Financial | 16.3 | Money Market Investments | 6.3 |
Health Care | 11.5 | Materials | 3.4 |
Energy | 11.1 | Utilities | 3.4 |
Consumer Staples | 10.9 | Telecommunication Services | 2.7 |
Industrial | 10.7 | ||
Consumer Discretionary | 10.5 | 105.6 | |
† Based on net assets. | |||
See notes to financial statements. |
22
STATEMENT OF FINANCIAL FUTURES
April 30, 2010 (Unaudited)
Market Value | Unrealized | |||
Covered by | Appreciation | |||
Contracts | Contracts ($) | Expiration | at 4/30/2010 ($) | |
Financial Futures Long | ||||
Standard & Poor’s 500 E-mini | 270 | 15,975,900 | June 2010 | 35,820 |
See notes to financial statements. |
The Fund 23
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2010 (Unaudited)
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of | ||
Investments (including securities on loan, | ||
valued at $142,195,097)—Note 1(b): | ||
Unaffiliated issuers | 1,739,320,281 | 2,411,590,282 |
Affiliated issuers | 149,029,393 | 149,029,393 |
Cash | 1,909,882 | |
Dividends and interest receivable | 2,437,744 | |
Receivable for shares of Common Stock subscribed | 2,030,793 | |
2,566,998,094 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 1,005,776 | |
Liability for securities on loan—Note 1(b) | 135,301,393 | |
Payable for shares of Common Stock redeemed | 3,495,788 | |
Payable for investment securities purchased | 1,335,454 | |
Payable for futures variation margin—Note 4 | 318,001 | |
141,456,412 | ||
Net Assets ($) | 2,425,541,682 | |
Composition of Net Assets ($): | ||
Paid-in capital | 1,758,831,436 | |
Accumulated undistributed investment income—net | 7,754,276 | |
Accumulated net realized gain (loss) on investments | (13,349,851) | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments (including $35,820 net unrealized | ||
appreciation on financial futures) | 672,305,821 | |
Net Assets ($) | 2,425,541,682 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 72,499,714 | |
Net Asset Value, offering and redemption price per share ($) | 33.46 | |
See notes to financial statements. |
24
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2010 (Unaudited)
Investment Income ($): | |
Income: | |
Cash dividends: | |
Unaffiliated issuers | 23,152,891 |
Affiliated issuers | 14,258 |
Income from securities lending—Note 1(b) | 96,515 |
Interest | 1,958 |
Total Income | 23,265,622 |
Expenses: | |
Management fee—Note 3(a) | 2,918,371 |
Shareholder servicing costs—Note 3(b) | 2,918,371 |
Directors’ fees—Note 3(a) | 76,625 |
Loan commitment fees—Note 2 | 27,205 |
Total Expenses | 5,940,572 |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (76,625) |
Net Expenses | 5,863,947 |
Investment Income—Net | 17,401,675 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments | 87,792,707 |
Net realized gain (loss) on financial futures | 3,092,110 |
Net Realized Gain (Loss) | 90,884,817 |
Net unrealized appreciation (depreciation) on investments | 226,241,397 |
Net unrealized appreication (depreciation) on financial futures | 329,189 |
Net Unrealized Appreication (Depreciation) | 226,570,586 |
Net Realized and Unrealized Gain (Loss) on Investments | 317,455,403 |
Net Increase in Net Assets Resulting from Operations | 334,857,078 |
See notes to financial statements. |
The Fund 25
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2010 | Year Ended | |
(Unaudited) | October 31, 2009 | |
Operations ($): | ||
Investment income—net | 17,401,675 | 40,962,342 |
Net realized gain (loss) on investments | 90,884,817 | 4,165,418 |
Net unrealized appreciation | ||
(depreciation) on investments | 226,570,586 | 150,873,785 |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 334,857,078 | 196,001,545 |
Dividends to Shareholders from ($): | ||
Investment income—net | (38,533,901) | (50,992,476) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 253,055,298 | 540,506,562 |
Dividends reinvested | 37,789,348 | 49,807,203 |
Cost of shares redeemed | (400,511,063) | (586,615,451) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | (109,666,417) | 3,698,314 |
Total Increase (Decrease) in Net Assets | 186,656,760 | 148,707,383 |
Net Assets ($): | ||
Beginning of Period | 2,238,884,922 | 2,090,177,539 |
End of Period | 2,425,541,682 | 2,238,884,922 |
Undistributed investment income—net | 7,754,276 | 28,886,502 |
Capital Share Transactions (Shares): | ||
Shares sold | 7,932,153 | 21,472,196 |
Shares issued for dividends reinvested | 1,196,247 | 2,051,372 |
Shares redeemed | (12,660,912) | (23,057,764) |
Net Increase (Decrease) in Shares Outstanding | (3,532,512) | 465,804 |
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, 2010 | Year Ended October 31, | ||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||
Per Share Data ($): | |||||||
Net asset value, | |||||||
beginning of period | 29.45 | 27.66 | 44.18 | 40.57 | 35.50 | 33.30 | |
Investment Operations: | |||||||
Investment income—neta | .23 | .53 | .66 | .61 | .54 | .56 | |
Net realized and | |||||||
unrealized gain | |||||||
(loss) on investments | 4.29 | 1.93 | (16.51) | 4.90 | 5.01 | 2.16 | |
Total from | |||||||
Investment Operations | 4.52 | 2.46 | (15.85) | 5.51 | 5.55 | 2.72 | |
Distributions: | |||||||
Dividends from | |||||||
investment income—net | (.51) | (.67) | (.67) | (.56) | (.48) | (.52) | |
Dividends from net realized | |||||||
gain on investments | — | — | — | (1.34) | — | — | |
Total Distributions | (.51) | (.67) | (.67) | (1.90) | (.48) | (.52) | |
Net asset value, | |||||||
end of period | 33.46 | 29.45 | 27.66 | 44.18 | 40.57 | 35.50 | |
Total Return (%) | 15.46b | 9.42 | (36.38) | 14.05 | 15.79 | 8.20 | |
Ratios/Supplemental | |||||||
Data (%): | |||||||
Ratio of total expenses | |||||||
to average net assets | .51c | .51 | .51 | .51 | .50 | .50 | |
Ratio of net expenses | |||||||
to average net assets | .50c | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment | |||||||
income to average | |||||||
net assets | 1.49c | 2.06 | 1.77 | 1.47 | 1.45 | 1.60 | |
Portfolio Turnover Rate | 3.66b | 4.36 | 4.95 | 4.71 | 5.04 | 7.24 | |
Net Assets, | |||||||
end of period | |||||||
($ x 1,000) | 2,425,542 | 2,238,885 | 2,090,178 | 3,735,372 | 3,656,990 | 3,310,961 |
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 Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities.Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company 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 exc hange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
The Fund 29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2010 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Domestic† | 2,410,165,484 | — | — | 2,410,165,484 |
U.S. Treasury | — | 1,424,798 | — | 1,424,798 |
Mutual Funds | 149,029,393 | — | — | 149,029,393 |
Other Financial | ||||
Instruments†† | 35,820 | — | — | 35,820 |
† | See Statement of Investments for industry classification. |
†† | Other financial instruments include derivative instruments, such as futures, forward foreign currency |
exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized | |
appreciation (depreciation), or in the case of options, market value at period end. |
30
In January 2010, FASB issued Accounting Standards Update ("ASU") No. 2010-06 “Improving Disclosures about Fair Value Measurements". ASU 2010-06 will require reporting entities to make new disclosures about amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures are required to be implemented for fiscal years beginning after December 15, 2009 except for the disclosures surrounding purchases,sales,issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010. Management is currently evaluating the impact the adoption of ASU No. 2010-06 may 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
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended April 30, 2010, The Bank of New York Mellon earned $41,364 from lending 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 GAAP.
(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, 2010, 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, 2009 remains subject to examination by the Internal Revenue Service and state taxing authorities.
32
The fund has an unused capital loss carryover of $49,545,241 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 2009. If not applied, $9,724,313 of the carryover expires in fiscal 2015, $39,787,647 expires in fiscal 2016 and $33,281 expires in fiscal 2017.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2009 was as follows: ordinary income $50,992,476. 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 $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2010, 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 fees, commitment fees, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In addition, the Manager
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 10 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 committee meeting that is conducted by telephone. The Chairman of the Board receives an additional 25% of such compensation and the Audit Comm ittee 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, 2010, the fund was charged $2,918,371 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 $502,888 and shareholder services plan fees $502,888.
34
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2010, amounted to $83,923,803 and $182,721,645, respectively.
The fund may invest in shares of certain affiliated investment companies also advised or managed by the adviser. Investments in affiliated investment companies for the period ended April 30, 2010 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2009 ($) | Purchases ($) | Sales ($) | 4/30/2010 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred Plus | |||||
Money Market | |||||
Fund | 38,872,000 | 193,959,000 | 219,103,000 | 13,728,000 | .6 |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Plus Fund | 131,454,189 | 1,231,077,393 | 1,227,230,189 | 135,301,393 | 5.6 |
Total | 170,326,189 | 1,425,036,393 | 1,446,333,189 | 149,029,393 | 6.2 |
The provisions of ASC Topic 815 “Derivatives and Hedging” require 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 agreements. The disclosure requirements distinguish between derivatives, which are accounted for as “hedges” and those that do not qualify for hedge accounting. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for such accounting. Accordingly, even though a fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of this disclosure.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or lo ss. There is minimal counterparty credit risk to the fund with futures, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at April 30, 2010 are set forth in the Statement of Financial Futures.
At April 30, 2010, accumulated net unrealized appreciation on investments was $672,270,001, consisting of $915,476,631 gross unrealized appreciation and $243,206,630 gross unrealized depreciation.
At April 30, 2010, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
36
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 2, 2010, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2011. 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 members considered all factors that they believed to be relevant, including, among other things, the factors discussed below. In evaluating the Management Agreement, the Board members relied on their knowledge, gained through their meetings and other interactions with Dreyfus, its affiliates, the fund, and the services provided to the fund.The Board also relied on ma terials regularly received throughout the year relating to the investment management and other services provided under the Management Agreement, including (a) information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the fund invests; (c) compliance reports; and (d) fund expenses.
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 th ose of the fund. Dreyfus also provided the number of accounts investing in the fund, as well as the fund’s asset size.
The Fund 37
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
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 and the standards applied in seeking best execution.
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 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. (“Lipper”), 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 was slightly below the median of its Performance Group and Performance Universe for the one- and two-year periods ended December 31, 2009. The Board considered the narrow range of returns of funds included in the Performance Group, and observed that the difference between the highest and lowest returns was only 43 basis points. 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 the same group of funds included in the Performance Group (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
38
expense ratio was higher than the Expense Group and Expense Universe medians. Management noted that, pursuant to the fund’s Management Agreement, Dreyfus pays all of the fund’s expenses, except management fees, shareholder services fees, and certain other expenses, including the fees and expenses of the independent Board members and their counsel. Additionally, Dreyfus voluntarily has agreed to reduce its management fee in an amount equal to the fees and expenses of the independent Board members and their counsel.
Representatives of Dreyfus reviewed with the Board members the fees paid to Dreyfus or its affiliates by a mutual fund and 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. 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. Representatives of Dreyfus noted that mutual fund shares can be sold through different types of distribution channels, including retail direct, intermediary and separate accounts, and that this fund is sold primarily through the intermediary channel in which the intermediaries are paid for their services through a R ule 12b-1 fee and/or revenue sharing payments. The Board reviewed differences in fees paid to Dreyfus and discussed the relationship of the advisory fees and other fees paid in light of the services provided. The Board acknowledged that differences in fees paid by the Similar Accounts and the fund seemed to be consistent with the services provided, which were described in detail in materials previously provided to the Board.
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
The Fund 39
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
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.
The Board then considered 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 considered 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
40
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 services 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 manage- ment 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 41
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/spincsrx44x1.jpg)
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/scsincsrx1x1.jpg)
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
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 |
41 | Information About the Review and Approval of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
The Fund
Dreyfus
Smallcap Stock Index Fund
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/scsincsrx4x1.jpg)
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2009, through April 30, 2010.
Psychology plays a very important role in how investors — especially retail investors — perceive the markets and make asset allocation decisions. Unlike in an ideal world populated by the purely rational investor who would seek out investments that deliver the best risk/ return characteristics, the everyday investor is generally influenced by emotions. Currently, investor emotions appear to be deeply divided, with a large amount of investors still seeking low risk investments (such as cash instruments) and others seeking high risk investments (such as smaller-cap and emerging market securities), while the investment classes in the middle of the risk spectrum have seemingly been ignored.
It is important to note that the investor sentiment cycle usually lags the economic cycle.That’s why we continue to stress the importance of a long-term, well-balanced asset allocation strategy that can help cushion the volatility produced by the emotional swings of the financial markets. If you have not revisited your investment portfolio in the past year, we urge you to speak with your financial advisor about positioning your portfolio to take advantage of long-term market fundamentals rather than lie susceptible to short-term emotions.
For information about how the fund performed during the reporting period, as well as general market perspectives, we have provided a Discussion of Fund Performance.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/scsincsrx4x2.jpg)
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 17, 2010
2
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/scsincsrx5x1.jpg)
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2009, through April 30, 2010, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended April 30, 2010, Dreyfus Smallcap Stock Index Fund produced a total return of 27.96%.1 In comparison, the Standard & Poor’s SmallCap 600 Index (the “S&P 600 Index”), the fund’s benchmark, produced a 28.14% return for the same period.2,3
Small-cap stocks generally rallied during the reporting period, as investor sentiment was buoyed by sustained economic recovery. In addition, small-cap stocks posted higher returns, on average, than mid-and large-cap stocks.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.
Economic Recovery Helped Buoy the Equity Markets
When the reporting period began, the U.S. economy had returned to growth, aided in large part by a number of fiscal and monetary stimulus programs. As the recovery gained traction, improving manufacturing activity and an apparent bottoming of housing prices helped to bolster confidence among businesses, consumers and investors. In this environment, consumer and corporate spending improved, and stock and commodity prices rose sharply. However, a number of economic headwinds remained—including stubbornly high unemployment and
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
foreclosure rates—and the economic rebound so far has proved to be less robust than most previous recoveries.
Indeed, faced with the subpar recovery and low inflation, the Federal Reserve Board (the“Fed”) made it clear throughout the reporting period that it would continue to employ all available tools to stimulate the economy. In each of five meetings of its Federal Open Market Committee from November 2009 through April 2010, the Fed maintained the overnight federal funds rate in an unprecedented low range between 0% and 0.25%. The Fed consistently reiterated at the conclusion of those meetings that it intended to keep interest rates low for an “extended period.”
S&P 600 Index Posted Gains in All Market Sectors
All of the market sectors represented in the S&P 600 Index posted gains for the reporting period. Relative performance was particularly strong in the consumer discretionary sector, where specialty retailers, farming equipment suppliers, office supply stores and department stores rebounded from previously beaten-down levels. Many of these companies also benefited from cost-cutting measures implemented during the recession. A number of textile, apparel and luxury goods companies also advanced due to improved consumer spending, as did casual dining chains.
Financial stocks generated especially robust returns when mending credit markets and low interest rates helped regional banks and other small-cap financial institutions rebound from their previous lows. Real estate investment trusts (REITs) benefited from the combination of a reduction in supply and a less restrictive lending environment.The most robust gains among REITs were produced by those specializing in the apartment, self storage and industrial segments. Commercial banks, thrifts and mortgage finance companies also fared well when housing markets began to stabilize.
A significant portion of the reporting period’s gains in the technology sector can be attributed to semiconductor equipment producers and software developers that cut costs by halting production early in the
4
downturn, selling off unsold inventories at reduced prices and waiting for demand to return before restocking. Electronic equipment makers also fared well, largely in anticipation of future growth.
Returns were less impressive from the telecommunications services, consumer staples and utilities areas. All three sectors traditionally are considered defensive investments, and they comprise a relatively small portion of the benchmark. Indeed, the S&P 600 Index’s greater laggards included a number of traditionally defensive companies with ample cash reserves that had held up relatively well during the recession. Investors felt more comfortable assuming greater risks as the economy recovered, and they turned away from defensive companies in favor of more speculative stocks.
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 17, 2010
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus. Stocks of small-cap companies often experience sharper price fluctuations than stocks of larger-cap companies.
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 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. Investors cannot invest directly in any index. |
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, 2009 to April 30, 2010. 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, 2010
Expenses paid per $1,000† | $ 2.83 |
Ending value (after expenses) | $1,279.60 |
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, 2010
Expenses paid per $1,000† | $ 2.51 |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
April 30, 2010 (Unaudited)
Common Stocks—98.5% | Shares | Value ($) |
Consumer Discretionary—16.7% | ||
American Public Education | 36,549 a | 1,547,850 |
Arbitron | 57,054 b | 1,757,834 |
Arctic Cat | 27,687 a | 408,383 |
Audiovox, Cl. A | 46,242 a | 430,513 |
Big 5 Sporting Goods | 46,114 | 781,632 |
Biglari Holdings | 2,550 a | 997,687 |
BJ’s Restaurants | 37,946 a,b | 915,637 |
Blue Nile | 28,687 a,b | 1,548,811 |
Blyth | 15,978 | 920,972 |
Brown Shoe | 95,487 | 1,795,156 |
Brunswick | 190,012 | 3,971,251 |
Buckle | 52,078 b | 1,884,182 |
Buffalo Wild Wings | 38,432 a,b | 1,588,779 |
Cabela’s | 86,888 a,b | 1,577,886 |
California Pizza Kitchen | 57,195 a | 1,172,497 |
Callaway Golf | 104,522 b | 981,462 |
Capella Education | 29,696 a,b | 2,691,052 |
Carter’s | 127,018 a | 4,092,520 |
Cato, Cl. A | 75,236 | 1,786,855 |
CEC Entertainment | 52,756 a | 2,060,122 |
Children’s Place Retail Stores | 62,914 a | 2,882,719 |
Christopher & Banks | 58,089 b | 568,691 |
CKE Restaurants | 133,693 | 1,649,772 |
Coinstar | 71,325 a,b | 3,163,977 |
Cracker Barrel Old Country Store | 50,436 | 2,490,025 |
Crocs | 212,087 a,b | 2,048,760 |
Deckers Outdoor | 30,477 a | 4,284,457 |
DineEquity | 30,237 a,b | 1,243,648 |
Dolan Media | 69,648 a | 828,115 |
Drew Industries | 47,973 a | 1,230,507 |
E.W. Scripps, Cl. A | 65,733 a,b | 719,119 |
Ethan Allen Interiors | 42,333 b | 855,127 |
Finish Line, Cl. A | 134,015 | 2,158,982 |
Fred’s, Cl. A | 90,344 b | 1,254,878 |
Genesco | 49,270 a | 1,640,198 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
Group 1 Automotive | 55,563 a,b | 1,725,231 |
Gymboree | 69,017 a | 3,390,805 |
Haverty Furniture | 47,647 b | 776,646 |
Helen of Troy | 70,905 a | 1,915,144 |
Hibbett Sports | 61,292 a,b | 1,685,530 |
Hillenbrand | 125,601 | 3,087,273 |
Hot Topic | 100,703 | 769,371 |
HSN | 90,364 a,b | 2,722,667 |
Iconix Brand Group | 148,034 a | 2,555,067 |
Interval Leisure Group | 81,559 a | 1,206,258 |
Jack in the Box | 127,350 a,b | 2,995,272 |
JAKKS Pacific | 61,081 a,b | 933,928 |
Jo-Ann Stores | 66,584 a,b | 2,937,686 |
JOS. A. Bank Clothiers | 42,007 a | 2,556,546 |
K-Swiss, Cl. A | 38,118 a,b | 474,188 |
Kid Brands | 33,442 a | 333,417 |
La-Z-Boy | 124,824 a,b | 1,627,705 |
Landry’s Restaurants | 11,895 a,b | 274,656 |
Lithia Motors, Cl. A | 49,979 a,b | 398,832 |
Live Nation | 303,114 a | 4,755,859 |
Liz Claiborne | 205,603 a,b | 1,796,970 |
Lumber Liquidators Holdings | 25,435 a,b | 774,750 |
M/I Homes | 57,928 a | 903,677 |
Maidenform Brands | 44,152 a | 1,007,549 |
Marcus | 43,059 | 553,308 |
MarineMax | 20,031 a | 223,346 |
Men’s Wearhouse | 115,444 b | 2,727,942 |
Meritage Homes | 76,574 a | 1,820,930 |
Midas | 23,051 a | 265,317 |
Monarch Casino & Resort | 17,578 a | 204,256 |
Monro Muffler Brake | 43,213 b | 1,549,618 |
Movado Group | 10,392 a | 128,965 |
Multimedia Games | 70,008 a,b | 319,937 |
National Presto Industries | 9,446 | 1,057,669 |
Nautilus | 49,889 a | 170,620 |
NutriSystem | 64,152 b | 1,240,058 |
8
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
O’Charleys | 49,617 a | 473,842 |
OfficeMax | 165,423 a | 3,143,037 |
Oxford Industries | 35,584 | 768,259 |
P.F. Chang’s China Bistro | 54,467 a,b | 2,376,940 |
Papa John’s International | 54,621 a | 1,496,615 |
Peet’s Coffee & Tea | 22,029 a,b | 872,789 |
PEP Boys-Manny Moe & Jack | 102,221 b | 1,280,829 |
Perry Ellis International | 24,744 a | 597,073 |
PetMed Express | 52,768 b | 1,168,284 |
Pinnacle Entertainment | 104,544 a | 1,414,480 |
Polaris Industries | 73,880 | 4,371,480 |
Pool | 102,123 b | 2,505,077 |
Pre-Paid Legal Services | 16,876 a,b | 750,476 |
Quiksilver | 262,642 a | 1,399,882 |
RC2 | 62,487 a | 1,147,886 |
Red Robin Gourmet Burgers | 36,358 a | 887,499 |
Ruby Tuesday | 143,587 a | 1,606,739 |
Ruth’s Hospitality Group | 41,212 a,b | 223,781 |
Shuffle Master | 128,271 a | 1,231,402 |
Skechers USA, Cl. A | 74,096 a | 2,841,582 |
Sonic | 127,736 a,b | 1,495,789 |
Sonic Automotive, Cl. A | 93,072 a,b | 994,009 |
Spartan Motors | 80,057 | 493,952 |
Stage Stores | 92,094 | 1,404,434 |
Standard Motor Products | 58,876 | 627,618 |
Standard-Pacific | 276,504 a,b | 1,772,391 |
Stein Mart | 59,288 a | 562,050 |
Sturm Ruger & Co. | 66,825 b | 1,115,309 |
Superior Industries International | 59,393 b | 1,001,366 |
Texas Roadhouse | 126,744 a,b | 1,873,276 |
Tractor Supply | 76,596 b | 5,144,953 |
True Religion Apparel | 56,455 a,b | 1,764,219 |
Tuesday Morning | 87,589 a | 494,878 |
UniFirst | 35,481 | 1,733,956 |
Universal Electronics | 30,673 a | 650,881 |
Universal Technical Institute | 54,556 a,b | 1,307,162 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
Volcom | 35,549 a,b | 847,488 |
Winnebago Industries | 52,708 a,b | 876,534 |
Wolverine World Wide | 111,403 | 3,410,046 |
Zale | 33,242 a,b | 108,369 |
Zumiez | 37,806 a,b | 701,679 |
170,735,360 | ||
Consumer Staples—3.2% | ||
Alliance One International | 207,615 a,b | 1,056,760 |
Andersons | 45,068 | 1,628,758 |
Boston Beer, Cl. A | 24,614 a | 1,403,244 |
Cal-Maine Foods | 18,559 b | 619,499 |
Calavo Growers | 25,423 b | 440,835 |
Casey’s General Stores | 117,281 | 4,530,565 |
Central Garden & Pet, Cl. A | 164,897 a | 1,703,386 |
Darling International | 189,725 a | 1,800,490 |
Diamond Foods | 52,153 b | 2,227,455 |
Great Atlantic & Pacific Tea | 54,737 a,b | 440,633 |
Hain Celestial Group | 83,093 a | 1,643,580 |
J & J Snack Foods | 32,700 | 1,523,493 |
Lance | 65,731 | 1,523,645 |
Mannatech | 14,606 b | 56,379 |
Nash Finch | 28,940 | 1,013,479 |
Sanderson Farms | 46,688 b | 2,645,809 |
Spartan Stores | 55,528 | 837,918 |
TreeHouse Foods | 76,639 a,b | 3,241,063 |
United Natural Foods | 94,580 a,b | 2,902,660 |
WD-40 | 35,334 | 1,244,817 |
32,484,468 | ||
Energy—5.0% | ||
Basic Energy Services | 45,047 a,b | 459,930 |
Bristow Group | 79,427 a | 3,074,619 |
CARBO Ceramics | 37,578 b | 2,752,588 |
Dril-Quip | 61,573 a | 3,566,924 |
Gulf Island Fabrication | 30,108 | 721,689 |
Holly | 88,486 b | 2,389,122 |
Hornbeck Offshore Services | 55,801 a | 1,365,450 |
10
Common Stocks (continued) | Shares | Value ($) |
Energy (continued) | ||
ION Geophysical | 280,682 a | 1,686,899 |
Lufkin Industries | 31,999 b | 2,724,075 |
Matrix Service | 61,606 a | 654,872 |
Oil States International | 112,543 a | 5,436,952 |
Penn Virginia | 102,511 b | 2,615,056 |
Petroleum Development | 44,962 a | 1,052,560 |
PetroQuest Energy | 143,040 a,b | 845,366 |
Pioneer Drilling | 134,587 a | 987,869 |
SEACOR Holdings | 45,199 a | 3,804,400 |
Seahawk Drilling | 26,370 a | 439,324 |
St. Mary Land & Exploration | 134,930 | 5,429,583 |
Stone Energy | 111,637 a,b | 1,819,683 |
Superior Well Services | 23,817 a,b | 345,347 |
Swift Energy | 79,276 a,b | 2,868,206 |
Tetra Technologies | 178,781 a | 2,197,218 |
World Fuel Services | 136,508 b | 3,880,922 |
51,118,654 | ||
Financial—18.3% | ||
Acadia Realty Trust | 82,957 b,c | 1,582,820 |
American Physicians Capital | 21,881 | 731,701 |
Amerisafe | 38,602 a | 660,094 |
Bank Mutual | 67,216 | 478,578 |
Bank of the Ozarks | 26,441 b | 1,017,185 |
BioMed Realty Trust | 237,779 c | 4,401,289 |
Boston Private Financial Holdings | 178,061 | 1,412,024 |
Brookline Bancorp | 152,705 | 1,678,228 |
Cash America International | 69,765 b | 2,585,491 |
Cedar Shopping Centers | 97,590 c | 776,816 |
City Holding | 34,277 b | 1,201,066 |
Colonial Properties Trust | 134,249 c | 2,117,107 |
Columbia Banking System | 75,503 | 1,697,307 |
Community Bank System | 86,657 b | 2,137,828 |
Delphi Financial Group, Cl. A | 109,155 | 3,001,762 |
DiamondRock Hospitality | 265,904 a,b | 2,922,285 |
Dime Community Bancshares | 55,897 | 712,687 |
East West Bancorp | 221,751 | 4,344,102 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
EastGroup Properties | 54,992 b,c | 2,248,073 |
eHealth | 55,881 a,b | 766,129 |
Employers Holdings | 92,284 | 1,520,840 |
Entertainment Properties Trust | 90,910 b,c | 3,974,585 |
Extra Space Storage | 175,997 b,c | 2,643,475 |
EZCORP, Cl. A | 108,865 a | 2,254,594 |
First BanCorp/Puerto Rico | 164,517 b | 348,776 |
First Cash Financial Services | 58,374 a | 1,287,730 |
First Commonwealth Financial | 118,098 b | 773,542 |
First Financial Bancorp | 100,269 | 1,916,141 |
First Financial Bankshares | 44,721 b | 2,391,679 |
First Midwest Bancorp | 148,078 b | 2,250,786 |
Forestar Group | 85,687 a | 1,931,385 |
Franklin Street Properties | 135,853 b | 2,002,473 |
Glacier Bancorp | 147,078 b | 2,719,472 |
Hancock Holding | 59,651 | 2,438,533 |
Hanmi Financial | 117,132 a,b | 349,053 |
Healthcare Realty Trust | 143,069 b,c | 3,453,686 |
Home Bancshares | 41,278 | 1,160,737 |
Home Properties | 74,815 b,c | 3,717,557 |
Independent Bank/MA | 47,127 b | 1,222,474 |
Infinity Property & Casualty | 27,991 | 1,291,225 |
Inland Real Estate | 149,697 b,c | 1,410,146 |
Investment Technology Group | 101,772 a | 1,767,780 |
Kilroy Realty | 115,304 b,c | 4,042,558 |
Kite Realty Group Trust | 76,742 c | 415,942 |
LaBranche & Co. | 89,321 a,b | 441,246 |
LaSalle Hotel Properties | 160,810 c | 4,237,343 |
Lexington Realty Trust | 246,285 b,c | 1,743,698 |
LTC Properties | 51,336 c | 1,432,274 |
Medical Properties Trust | 242,028 c | 2,432,381 |
Mid-America Apartment Communities | 65,410 | 3,615,211 |
Nara Bancorp | 65,169 a | 586,521 |
National Financial Partners | 101,139 a | 1,556,529 |
National Penn Bancshares | 269,582 b | 1,973,340 |
National Retail Properties | 190,671 b,c | 4,486,489 |
12
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
Navigators Group | 27,164 a | 1,090,091 |
NBT Bankcorp | 74,121 b | 1,813,741 |
Old National Bancorp | 183,314 b | 2,458,241 |
optionsXpress Holdings | 111,095 a | 1,971,936 |
Parkway Properties | 49,361 c | 972,412 |
Pennsylvania Real Estate Investment Trust | 96,412 b,c | 1,522,345 |
Pinnacle Financial Partners | 69,705 a,b | 1,065,092 |
Piper Jaffray | 34,511 a | 1,358,353 |
Portfolio Recovery Associates | 32,756 a,b | 2,177,291 |
Post Properties | 104,613 c | 2,694,831 |
Presidential Life | 45,610 | 537,286 |
PrivateBancorp | 119,707 | 1,714,204 |
ProAssurance | 70,359 a | 4,288,381 |
PS Business Parks | 44,949 c | 2,696,940 |
Rewards Network | 23,191 b | 301,947 |
RLI | 37,037 b | 2,148,146 |
S&T Bancorp | 49,864 b | 1,199,229 |
Safety Insurance Group | 30,866 | 1,150,993 |
Selective Insurance Group | 113,175 | 1,891,154 |
Signature Bank | 95,658 a | 3,862,670 |
Simmons First National, Cl. A | 35,400 | 994,032 |
South Financial Group | 337,454 b | 259,840 |
Sovran Self Storage | 60,056 b,c | 2,215,466 |
Sterling Bancorp | 55,352 | 592,820 |
Sterling Bancshares | 207,777 | 1,221,729 |
Stewart Information Services | 44,511 b | 506,535 |
Stifel Financial | 64,051 a,b | 3,672,044 |
Susquehanna Bancshares | 264,836 b | 2,886,712 |
SWS Group | 80,758 b | 893,991 |
Tanger Factory Outlet Centers | 92,062 b,c | 3,829,779 |
Tompkins Financial | 23,327 b | 947,543 |
Tower Group | 100,037 | 2,306,853 |
TradeStation Group | 71,448 a | 597,305 |
Trustco Bank | 212,455 b | 1,412,826 |
UMB Financial | 66,885 | 2,817,196 |
Umpqua Holdings | 245,872 | 3,673,328 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
United Bankshares | 83,566 b | 2,426,757 |
United Community Banks | 239,348 a,b | 1,397,792 |
United Fire & Casualty | 44,689 | 1,022,037 |
Urstadt Biddle Properties, Cl. A | 49,188 | 829,310 |
Whitney Holding | 192,268 | 2,634,072 |
Wilshire Bancorp | 42,002 b | 456,142 |
Wintrust Financial | 73,209 | 2,730,696 |
World Acceptance | 41,304 a,b | 1,457,205 |
Zenith National Insurance | 73,950 b | 2,796,789 |
187,756,855 | ||
Health Care—12.4% | ||
Abaxis | 47,950 a | 1,242,384 |
Air Methods | 24,742 a,b | 818,465 |
Align Technology | 149,769 a,b | 2,543,078 |
Almost Family | 14,145 a | 599,182 |
Amedisys | 66,134 a,b | 3,807,996 |
American Medical Systems Holdings | 180,618 a,b | 3,236,675 |
AMERIGROUP | 118,529 a,b | 4,295,491 |
AMN Healthcare Services | 85,246 a,b | 779,148 |
AmSurg | 79,422 a | 1,645,624 |
Analogic | 24,227 | 1,158,535 |
ArQule | 77,430 a | 493,229 |
Bio-Reference Laboratories | 49,050 a | 1,147,770 |
Cambrex | 68,855 a | 302,273 |
Cantel Medical | 29,019 | 579,219 |
Catalyst Health Solutions | 80,333 a | 3,398,889 |
Centene | 109,790 a | 2,514,191 |
Chemed | 48,259 | 2,654,728 |
Computer Programs & Systems | 13,245 b | 596,820 |
CONMED | 50,302 a | 1,118,716 |
Cooper | 102,486 | 3,985,681 |
CorVel | 18,192 a | 605,794 |
Cross Country Healthcare | 71,128 a | 712,703 |
CryoLife | 69,424 a | 424,181 |
Cubist Pharmaceuticals | 143,239 a | 3,211,418 |
Cyberonics | 54,155 a | 1,057,647 |
14
Common Stocks (continued) | Shares | Value ($) |
Health Care (continued) | ||
Dionex | 40,051 a,b | 3,266,960 |
Eclipsys | 129,667 a | 2,681,514 |
Emergent Biosolutions | 37,706 a | 613,854 |
Enzo Biochem | 60,725 a,b | 362,528 |
eResearch Technology | 101,512 a | 748,143 |
Genoptix | 31,991 a,b | 1,237,732 |
Gentiva Health Services | 61,294 a | 1,757,912 |
Greatbatch | 55,354 a,b | 1,236,608 |
Haemonetics | 60,084 a | 3,476,460 |
Hanger Orthopedic Group | 68,637 a | 1,279,394 |
HealthSpring | 117,814 a | 2,073,526 |
Healthways | 71,290 a | 1,161,314 |
HMS Holdings | 53,081 a | 2,839,834 |
ICU Medical | 26,663 a,b | 949,469 |
Integra LifeSciences Holdings | 50,041 a | 2,273,363 |
Invacare | 84,304 b | 2,228,155 |
Inventiv Health | 73,357 a | 1,689,412 |
IPC The Hospitalist | 22,450 a | 696,848 |
Kendle International | 44,150 a | 730,682 |
Kensey Nash | 34,499 a,b | 781,402 |
Landauer | 18,173 b | 1,238,490 |
LCA-Vision | 30,215 a,b | 254,712 |
LHC Group | 31,052 a,b | 1,058,873 |
Magellan Health Services | 82,843 a | 3,496,803 |
Martek Biosciences | 73,883 a,b | 1,627,642 |
MedCath | 30,716 a | 305,317 |
Meridian Bioscience | 84,016 b | 1,679,480 |
Merit Medical Systems | 58,194 a | 940,997 |
Molina Healthcare | 41,796 a,b | 1,219,189 |
MWI Veterinary Supply | 27,486 a | 1,153,038 |
Natus Medical | 57,593 a | 981,385 |
Neogen | 43,475 a | 1,142,958 |
Odyssey HealthCare | 76,826 a | 1,600,286 |
Omnicell | 64,706 a | 863,825 |
Osteotech | 27,000 a,b | 114,750 |
Palomar Medical Technologies | 27,654 a,b | 347,334 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Health Care (continued) | ||
Par Pharmaceutical Cos. | 88,361 a | 2,398,118 |
PAREXEL International | 127,030 a | 2,995,367 |
PharMerica | 66,800 a,b | 1,289,240 |
Phase Forward | 90,518 a | 1,521,608 |
PSS World Medical | 131,606 a,b | 3,083,529 |
Quality Systems | 37,539 b | 2,402,871 |
Regeneron Pharmaceuticals | 134,033 a | 3,421,862 |
RehabCare Group | 55,901 a | 1,594,297 |
Res-Care | 59,774 a | 695,769 |
Salix Pharmaceuticals | 123,120 a,b | 4,949,424 |
Savient Pharmaceuticals | 131,255 a,b | 1,903,198 |
SurModics | 31,651 a,b | 588,709 |
Symmetry Medical | 80,817 a | 934,245 |
Theragenics | 88,265 a | 135,928 |
ViroPharma | 159,016 a | 2,022,684 |
West Pharmaceutical Services | 70,198 b | 2,937,786 |
Zoll Medical | 43,329 a | 1,323,701 |
127,238,362 | ||
Industrial—16.8% | ||
A.O. Smith | 51,111 | 2,638,861 |
AAON | 28,315 b | 683,524 |
AAR | 85,655 a,b | 2,088,269 |
ABM Industries | 112,171 b | 2,410,555 |
Actuant, Cl. A | 147,451 | 3,381,051 |
Acuity Brands | 95,418 b | 4,313,848 |
Administaff | 48,305 | 1,069,473 |
Aerovironment | 20,051 a,b | 524,935 |
Albany International, Cl. A | 58,494 | 1,489,842 |
Allegiant Travel | 38,724 a,b | 1,991,575 |
American Science & Engineering | 21,559 | 1,620,159 |
Apogee Enterprises | 69,750 | 958,365 |
Applied Industrial Technologies | 81,670 | 2,513,803 |
Applied Signal Technology | 27,208 | 508,518 |
Arkansas Best | 48,874 b | 1,488,702 |
Astec Industries | 34,399 a,b | 1,139,295 |
ATC Technology | 54,095 a | 1,105,702 |
16
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | ||
AZZ | 28,938 | 1,175,462 |
Badger Meter | 32,564 b | 1,346,847 |
Baldor Electric | 101,592 b | 3,902,149 |
Barnes Group | 97,502 b | 2,028,042 |
Belden | 106,705 | 2,930,119 |
Bowne & Co. | 84,266 | 942,094 |
Brady, Cl. A | 113,841 | 3,911,577 |
Briggs & Stratton | 125,421 b | 2,977,495 |
Cascade | 18,192 | 634,173 |
CDI | 8,124 | 141,601 |
Ceradyne | 52,297 a | 1,160,993 |
CIRCOR International | 36,637 | 1,262,511 |
CLARCOR | 104,778 | 3,962,704 |
Comfort Systems USA | 85,717 | 1,206,895 |
Consolidated Graphics | 28,324 a | 1,187,059 |
Cubic | 40,474 | 1,510,085 |
Curtiss-Wright | 95,782 | 3,416,544 |
Dycom Industries | 103,162 a | 1,095,580 |
EMCOR Group | 157,553 a | 4,499,714 |
Encore Wire | 41,508 | 921,893 |
EnPro Industries | 49,140 a,b | 1,551,841 |
ESCO Technologies | 53,213 b | 1,641,621 |
Esterline Technologies | 62,631 a | 3,493,557 |
Exponent | 29,920 a | 891,915 |
Forward Air | 61,491 b | 1,722,978 |
G & K Services, Cl. A | 42,098 | 1,157,274 |
Gardner Denver | 109,737 | 5,518,674 |
GenCorp | 171,640 a,b | 1,067,601 |
Geo Group | 125,745 a,b | 2,663,279 |
Gibraltar Industries | 64,310 a | 965,936 |
Griffon | 101,159 a | 1,426,342 |
Healthcare Services Group | 86,277 b | 1,854,093 |
Heartland Express | 102,771 b | 1,699,832 |
Heidrick & Struggles International | 31,594 b | 834,398 |
Hub Group, Cl. A | 81,702 a | 2,615,281 |
II-VI | 52,514 a | 1,883,152 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | ||
Insituform Technologies, Cl. A | 84,057 a | 2,014,846 |
Interface, Cl. A | 118,961 | 1,556,010 |
John Bean Technologies | 47,458 | 871,803 |
Kaman | 54,206 | 1,485,786 |
Kaydon | 69,179 b | 2,879,922 |
Kelly Services, Cl. A | 38,354 a | 616,732 |
Knight Transportation | 128,292 b | 2,731,337 |
Lawson Products | 9,558 | 155,317 |
Lindsay | 30,732 b | 1,168,738 |
Lydall | 26,950 a | 217,217 |
Magnetek | 37,153 a | 73,191 |
Mobile Mini | 75,843 a | 1,260,511 |
Moog, Cl. A | 93,071 a | 3,459,449 |
Mueller Industries | 81,462 | 2,415,348 |
NCI Building Systems | 39,515 a,b | 544,517 |
Old Dominion Freight Line | 54,117 a | 1,941,718 |
On Assignment | 81,072 a | 569,936 |
Orbital Sciences | 144,677 a | 2,659,163 |
Powell Industries | 18,807 a | 631,539 |
Quanex Building Products | 80,815 | 1,535,485 |
Robbins & Myers | 75,696 b | 1,961,283 |
School Specialty | 37,846 a,b | 887,867 |
SFN Group | 116,817 a | 998,785 |
Simpson Manufacturing | 77,762 | 2,643,130 |
SkyWest | 130,007 | 1,947,505 |
Standard Register | 31,354 b | 161,473 |
Standex International | 29,773 | 710,682 |
Stanley | 30,960 a | 979,265 |
Sykes Enterprises | 87,826 a | 1,996,285 |
Teledyne Technologies | 75,175 a | 3,277,630 |
Tetra Tech | 148,100 a | 3,606,235 |
Toro | 79,205 b | 4,509,933 |
Tredegar | 63,157 | 1,077,458 |
Triumph Group | 37,396 b | 2,900,434 |
TrueBlue | 90,428 a | 1,427,858 |
United Stationers | 52,892 a | 3,238,048 |
18
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | ||
Universal Forest Products | 44,659 | 1,877,911 |
Viad | 30,219 | 707,125 |
Vicor | 37,801 a,b | 571,551 |
Volt Information Sciences | 19,732 a | 247,439 |
Watsco | 64,992 b | 3,848,826 |
Watts Water Technologies, Cl. A | 74,789 b | 2,653,514 |
172,146,590 | ||
Information Technology—17.7% | ||
Actel | 62,893 a | 976,099 |
Adaptec | 310,382 a | 959,080 |
Advanced Energy Industries | 81,402 a | 1,198,237 |
Agilysys | 61,584 | 668,186 |
Anixter International | 69,857 a | 3,660,507 |
Arris Group | 305,116 a | 3,749,876 |
ATMI | 72,936 a | 1,322,330 |
Avid Technology | 53,685 a,b | 783,801 |
Bel Fuse, Cl. B | 27,512 b | 644,331 |
Benchmark Electronics | 143,111 a | 3,096,922 |
Black Box | 34,697 | 1,082,199 |
Blackbaud | 92,604 | 2,134,522 |
Blue Coat Systems | 86,238 a,b | 2,805,322 |
Brightpoint | 143,097 a | 1,157,655 |
Brooks Automation | 137,880 a | 1,340,194 |
Cabot Microelectronics | 53,391 a,b | 2,048,079 |
CACI International, Cl. A | 70,612 a | 3,349,127 |
Checkpoint Systems | 88,392 a | 1,996,775 |
CIBER | 172,726 a | 685,722 |
Cognex | 69,525 | 1,453,768 |
Cohu | 46,209 | 746,275 |
Commvault Systems | 84,802 a | 1,776,602 |
Compellent Technologies | 37,673 a,b | 473,550 |
comScore | 38,263 a | 694,473 |
Comtech Telecommunications | 63,278 a,b | 1,976,805 |
Concur Technologies | 87,432 a,b | 3,664,275 |
CSG Systems International | 88,288 a | 2,005,903 |
CTS | 76,747 | 805,843 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | ||
CyberSource | 147,158 a | 3,779,017 |
Cymer | 66,143 a | 2,258,783 |
Cypress Semiconductor | 383,671 a | 4,945,519 |
Daktronics | 86,058 b | 721,166 |
DealerTrack Holdings | 83,184 a | 1,268,556 |
Digi International | 54,924 a | 588,236 |
Diodes | 72,291 a | 1,552,088 |
DSP Group | 67,591 a | 552,218 |
DTS | 30,502 a,b | 1,013,886 |
Ebix | 62,002 a,b | 1,008,773 |
Electro Scientific Industries | 58,052 a | 799,376 |
EMS Technologies | 33,613 a | 534,111 |
Epicor Software | 118,371 a | 1,086,646 |
EPIQ Systems | 74,058 a,b | 892,399 |
Exar | 70,438 a | 520,537 |
FARO Technologies | 31,222 a | 787,107 |
FEI | 81,640 a | 1,836,900 |
Forrester Research | 32,692 a | 1,049,740 |
Gerber Scientific | 47,929 a | 345,089 |
Harmonic | 204,343 a | 1,397,706 |
Heartland Payment Systems | 73,954 | 1,359,275 |
Hittite Microwave | 40,018 a | 2,052,123 |
Hutchinson Technology | 58,472 a | 356,094 |
Infospace | 75,945 a | 795,144 |
Insight Enterprises | 119,847 a | 1,801,300 |
Integral Systems | 27,042 a | 235,806 |
Interactive Intelligence | 27,739 a | 548,400 |
Intermec | 103,753 a,b | 1,190,047 |
Intevac | 43,299 a | 602,722 |
j2 Global Communications | 111,020 a,b | 2,673,362 |
JDA Software Group | 78,585 a | 2,271,106 |
Keithley Instruments | 27,984 | 238,144 |
Knot | 52,488 a | 425,678 |
Kopin | 156,935 a | 660,696 |
Kulicke & Soffa Industries | 167,685 a | 1,375,017 |
Littelfuse | 40,388 a | 1,705,585 |
20
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | ||
LoJack | 51,541 a | 215,441 |
Manhattan Associates | 52,697 a | 1,510,296 |
MAXIMUS | 36,057 | 2,232,289 |
Mercury Computer Systems | 49,370 a | 634,898 |
Methode Electronics | 104,235 | 1,157,008 |
Micrel | 102,075 b | 1,191,215 |
Microsemi | 184,716 a | 3,058,897 |
MicroStrategy, Cl. A | 20,155 a | 1,543,873 |
MKS Instruments | 109,442 a | 2,482,145 |
MTS Systems | 35,026 | 1,046,227 |
NCI, Cl. A | 14,934 a | 424,275 |
NETGEAR | 85,254 a | 2,306,973 |
NetScout Systems | 73,950 a | 1,073,754 |
Network Equipment Technologies | 50,382 a,b | 258,460 |
Newport | 85,086 a | 1,006,567 |
Novatel Wireless | 99,585 a,b | 682,157 |
Park Electrochemical | 44,808 | 1,353,650 |
PC-Tel | 37,611 a | 244,848 |
Perficient | 65,150 a | 812,420 |
Pericom Semiconductor | 59,007 a | 689,202 |
Phoenix Technologies | 43,930 a,b | 131,351 |
Plexus | 88,414 a,b | 3,275,739 |
Progress Software | 95,735 a | 3,087,454 |
Radiant Systems | 77,924 a | 1,096,391 |
Radisys | 59,131 a,b | 578,892 |
Rogers | 32,475 a,b | 1,086,938 |
Rudolph Technologies | 75,536 a | 719,858 |
ScanSource | 55,384 a,b | 1,542,998 |
Sigma Designs | 80,406 a,b | 953,615 |
Skyworks Solutions | 383,197 a,b | 6,453,037 |
Smith Micro Software | 65,174 a | 618,501 |
Sonic Solutions | 63,550 a,b | 797,553 |
Stamps.com | 28,963 a | 307,008 |
Standard Microsystems | 51,099 a | 1,312,222 |
StarTek | 14,899 a | 101,015 |
Stratasys | 37,974 a,b | 905,300 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | ||
Supertex | 15,470 a,b | 417,845 |
Symmetricom | 108,096 a | 716,676 |
Synaptics | 79,338 a,b | 2,429,330 |
SYNNEX | 45,823 a,b | 1,256,467 |
Take-Two Interactive Software | 172,994 a,b | 1,880,445 |
Taleo, Cl. A | 82,308 a | 2,138,362 |
Technitrol | 126,967 b | 685,622 |
Tekelec | 142,665 a | 2,586,516 |
TeleTech Holdings | 87,367 a | 1,445,924 |
Tessera Technologies | 110,178 a | 2,234,410 |
THQ | 173,685 a | 1,320,006 |
Tollgrade Communications | 43,010 a | 273,544 |
Triquint Semiconductor | 379,351 a | 2,860,307 |
TTM Technologies | 94,424 a,b | 1,025,445 |
Tyler Technologies | 52,702 a,b | 898,042 |
Ultratech | 35,794 a | 525,814 |
United Online | 222,882 | 1,776,370 |
Varian Semiconductor Equipment Associates | 165,994 a | 5,467,842 |
Veeco Instruments | 89,058 a,b | 3,917,661 |
ViaSat | 73,729 a,b | 2,613,693 |
Websense | 104,613 a,b | 2,382,038 |
Wright Express | 90,042 a | 3,058,727 |
181,288,363 | ||
Materials—4.3% | ||
A.M. Castle & Co. | 27,581 a | 378,411 |
AMCOL International | 53,202 b | 1,529,025 |
American Vanguard | 26,884 b | 217,760 |
Arch Chemicals | 54,327 | 1,847,661 |
Balchem | 57,370 | 1,488,178 |
Brush Engineered Materials | 38,969 a | 1,158,548 |
Buckeye Technologies | 94,522 a | 1,334,651 |
Calgon Carbon | 130,574 a,b | 2,023,897 |
Century Aluminum | 123,180 a | 1,660,466 |
22
Common Stocks (continued) | Shares | Value ($) |
Materials (continued) | ||
Clearwater Paper | 26,509 a,b | 1,688,093 |
Deltic Timber | 16,636 | 875,386 |
Eagle Materials | 87,626 | 2,792,641 |
H.B. Fuller | 103,585 | 2,429,068 |
Headwaters | 85,178 a | 511,068 |
Myers Industries | 60,413 | 656,085 |
Neenah Paper | 39,450 | 690,375 |
Olympic Steel | 27,727 | 881,164 |
OM Group | 69,501 a | 2,623,663 |
Penford | 13,720 a | 126,910 |
PolyOne | 236,109 a | 2,670,393 |
Quaker Chemical | 23,770 | 748,042 |
Rock-Tenn, Cl. A | 88,498 | 4,566,497 |
RTI International Metals | 54,656 a | 1,478,445 |
Schulman (A.) | 78,775 | 2,048,938 |
Schweitzer-Mauduit International | 38,937 | 2,216,294 |
Stepan | 20,439 | 1,548,254 |
Texas Industries | 51,788 b | 1,959,658 |
Wausau Paper | 121,258 a | 1,073,133 |
Zep | 44,916 | 828,251 |
44,050,955 | ||
Telecommunication Services—.5% | ||
Cbeyond | 44,857 a,b | 689,901 |
General Communication, Cl. A | 89,181 a | 548,463 |
Iowa Telecommunications Services | 51,208 b | 862,343 |
Neutral Tandem | 76,688 a,b | 1,299,862 |
NTELOS Holdings | 60,809 | 1,193,681 |
USA Mobility | 61,809 a | 861,617 |
5,455,867 | ||
Utilities—3.6% | ||
Allete | 56,228 b | 2,050,635 |
American States Water | 48,703 | 1,817,596 |
Avista | 136,922 | 2,961,623 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Utilities (continued) | ||
Central Vermont Public Service | 20,581 | 448,872 |
CH Energy Group | 40,454 | 1,675,605 |
El Paso Electric | 99,518 a | 2,114,757 |
Laclede Group | 45,328 | 1,544,778 |
New Jersey Resources | 84,917 | 3,203,918 |
Northwest Natural Gas | 63,676 b | 3,017,606 |
NorthWestern | 78,180 | 2,362,600 |
Piedmont Natural Gas | 154,175 b | 4,239,812 |
South Jersey Industries | 58,151 | 2,623,192 |
Southwest Gas | 109,458 | 3,404,144 |
UIL Holdings | 68,905 | 2,000,312 |
UniSource Energy | 87,771 | 2,924,530 |
36,389,980 | ||
Total Common Stocks | ||
(cost $917,341,583) | 1,008,665,454 | |
Principal | ||
Short-Term Investments—.1% | Amount ($) | Value ($) |
U.S. Treasury Bills; | ||
0.15%, 6/10/10 | ||
(cost $894,854) | 895,000 d | 894,873 |
Other Investment—1.9% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred | ||
Plus Money Market Fund | ||
(cost $19,944,000) | 19,944,000 e | 19,944,000 |
24
Investment of Cash Collateral | ||
for Securities Loaned—22.2% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash | ||
Advantage Plus Fund | ||
(cost $227,118,866) | 227,118,866 e | 227,118,866 |
Total Investments (cost $1,165,299,303) | 122.7% | 1,256,623,193 |
Liabilities, Less Cash and Receivables | (22.7%) | (232,827,688) |
Net Assets | 100.0% | 1,023,795,505 |
a | Non-income producing security. |
b | Security, or portion thereof, on loan.At April 30, 2010, the total market value of the fund’s securities on loan is $214,842,080 and the total market value of the collateral held by the fund is $227,118,866. |
c | Investment in real estate investment trust. |
d | Held by a broker as collateral for open financial futures positions. |
e | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Short-Term/Money Market Investments | 24.2 | Energy | 5.0 |
Financial | 18.3 | Materials | 4.3 |
Information Technology | 17.7 | Utilities | 3.6 |
Industrial | 16.8 | Consumer Staples | 3.2 |
Consumer Discretionary | 16.7 | Telecommunication Services | .5 |
Health Care | 12.4 | 122.7 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 25
STATEMENT OF FINANCIAL FUTURES
April 30, 2010 (Unaudited)
Market Value | Unrealized | |||
Covered by | (Depreciation) | |||
Contracts | Contracts ($) | Expiration | at 4/30/2010 ($) | |
Financial Futures Long | ||||
Russell 2000 Mini | 205 | 14,667,750 | June 2010 | (183,655) |
See notes to financial statements. |
26
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2010 (Unaudited)
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $214,842,080)—Note 1(b): | ||
Unaffiliated issuers | 918,236,437 | 1,009,560,327 |
Affiliated issuers | 247,062,866 | 247,062,866 |
Cash | 1,081,923 | |
Receivable for investment securities sold | 5,910,738 | |
Receivable for shares of Common Stock subscribed | 1,704,660 | |
Dividends and interest receivable | 672,717 | |
1,265,993,231 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 415,088 | |
Liability for securities on loan—Note 1(b) | 227,118,866 | |
Payable for investment securities purchased | 12,889,673 | |
Payable for shares of Common Stock redeemed | 1,324,899 | |
Payable for futures variation margin—Note 4 | 449,200 | |
242,197,726 | ||
Net Assets ($) | 1,023,795,505 | |
Composition of Net Assets ($): | ||
Paid-in capital | 952,019,599 | |
Accumulated undistributed investment income—net | 1,438,202 | |
Accumulated net realized gain (loss) on investments | (20,802,531) | |
Accumulated net unrealized appreciation (depreciation) on | ||
investments [including ($183,655) net unrealized | ||
(depreciation) on financial futures] | 91,140,235 | |
Net Assets ($) | 1,023,795,505 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 53,609,084 | |
Net Asset Value, offering and redemption price per share ($) | 19.10 | |
See notes to financial statements. |
The Fund 27
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2010 (Unaudited)
Investment Income ($): | |
Income: | |
Cash dividends: | |
Unaffiliated issuers | 5,021,770 |
Affiliated issuers | 5,179 |
Income from securities lending—Note 1(b) | 398,465 |
Interest | 234 |
Total Income | 5,425,648 |
Expenses: | |
Management fee—Note 3(a) | 1,114,142 |
Shareholder servicing costs—Note 3(b) | 1,114,142 |
Directors’ fees—Note 3(a) | 32,315 |
Loan commitment fees—Note 2 | 9,882 |
Interest expense—Note 2 | 130 |
Total Expenses | 2,270,611 |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (32,315) |
Net Expenses | 2,238,296 |
Investment Income—Net | 3,187,352 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments | (93,470) |
Net realized gain (loss) on financial futures | 1,678,671 |
Net Realized Gain (Loss) | 1,585,201 |
Net unrealized appreciation (depreciation) on investments | 215,224,276 |
Net unrealized appreication (depreciation) on financial futures | 524,760 |
Net Unrealized Appreication (Depreciation) | 215,749,036 |
Net Realized and Unrealized Gain (Loss) on Investments | 217,334,237 |
Net Increase in Net Assets Resulting from Operations | 220,521,589 |
See notes to financial statements. |
28
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2010 | Year Ended | |
(Unaudited) | October 31, 2009 | |
Operations ($): | ||
Investment income—net | 3,187,352 | 7,575,106 |
Net realized gain (loss) on investments | 1,585,201 | (8,411,902) |
Net unrealized appreciation | ||
(depreciation) on investments | 215,749,036 | 44,063,643 |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 220,521,589 | 43,226,847 |
Dividends to Shareholders from ($): | ||
Investment income—net | (6,764,974) | (10,985,105) |
Net realized gain on investments | — | (49,270,636) |
Total Dividends | (6,764,974) | (60,255,741) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 149,043,791 | 326,095,099 |
Dividends reinvested | 6,274,003 | 57,513,861 |
Cost of shares redeemed | (149,462,871) | (297,041,023) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | 5,854,923 | 86,567,937 |
Total Increase (Decrease) in Net Assets | 219,611,538 | 69,539,043 |
Net Assets ($): | ||
Beginning of Period | 804,183,967 | 734,644,924 |
End of Period | 1,023,795,505 | 804,183,967 |
Undistributed investment income—net | 1,438,202 | 5,015,824 |
Capital Share Transactions (Shares): | ||
Shares sold | 8,624,283 | 24,497,782 |
Shares issued for dividends reinvested | 372,345 | 4,593,801 |
Shares redeemed | (8,853,599) | (22,393,768) |
Net Increase (Decrease) in Shares Outstanding | 143,029 | 6,697,815 |
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, 2010 | Year Ended October 31, | ||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||
Per Share Data ($): | |||||||
Net asset value, | |||||||
beginning of period | 15.04 | 15.71 | 25.45 | 23.93 | 21.06 | 18.91 | |
Investment Operations: | |||||||
Investment income—neta | .06 | .15 | .22 | .15 | .12 | .11 | |
Net realized and unrealized | |||||||
gain (loss) on investments | 4.13 | .45 | (7.85) | 2.45 | 3.11 | 2.68 | |
Total from Investment Operations | 4.19 | .60 | (7.63) | 2.60 | 3.23 | 2.79 | |
Distributions: | |||||||
Dividends from | |||||||
investment income—net | (.13) | (.23) | (.15) | (.12) | (.11) | (.10) | |
Dividends from net realized | |||||||
gain on investments | — | (1.04) | (1.96) | (.96) | (.25) | (.54) | |
Total Distributions | (.13) | (1.27) | (2.11) | (1.08) | (.36) | (.64) | |
Net asset value, end of period | 19.10 | 15.04 | 15.71 | 25.45 | 23.93 | 21.06 | |
Total Return (%) | 27.96b | 5.43 | (32.21) | 11.15 | 15.53 | 14.88 | |
Ratios/Supplemental Data (%): | |||||||
Ratio of total expenses | |||||||
to average net assets | .51c | .51 | .51 | .51 | .50 | .50 | |
Ratio of net expenses | |||||||
to average net assets | .50c | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment income | |||||||
to average net assets | .72c | 1.11 | 1.09 | .60 | .52 | .55 | |
Portfolio Turnover Rate | 8.29b | 25.48 | 31.84 | 25.08 | 25.05 | 13.64 | |
Net Assets, end of period | |||||||
($ x 1,000) | 1,023,796 | 804,184 | 734,645 | 998,016 | 888,354 | 724,909 |
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 NewYork 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 Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities.Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company 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
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 exc hange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as:fundamental analytical data,the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and
32
whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2010 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Domestic† | 1,008,316,678 | — | — 1,008,316,678 | |
Equity Securities— | ||||
Foreign† | 348,776 | — | — | 348,776 |
U.S. Treasury | — | 894,873 | — | 894,873 |
Mutual Funds | 247,062,866 | — | — | 247,062,866 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments†† | (183,655) | — | — | (183,655) |
† | See Statement of Investments for industry classification. |
†† | Other financial instruments include derivative instruments, such as futures, forward foreign currency |
exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized | |
appreciation (depreciation), or in the case of options, market value at period end. |
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
In January 2010, FASB issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about FairValue Measurements”. ASU 2010-06 will require reporting entities to make new disclosures about amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecur-ring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures are required to be implemented for fiscal years beginning after December 15, 2009 except for the disclosures surrounding purchases, sales, issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010. Management is currently evaluating the impact the adoption of ASU No. 2010-06 may 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
34
Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended April 30, 2010, The Bank of New York Mellon earned $132,822 from lending 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 GAAP.
(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, 2010, 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.
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Each of the tax years in the three-year period ended October 31, 2009 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund has an unused capital loss carryover of $9,572,587 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 2009. If not applied, the carryover expires in fiscal 2017.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2009 was as follows: ordinary income $10,989,421 and long-term capital gains $49,266,320.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 $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2010, was approximately $18,800 with a related weighted average annualized interest rate of 1.40%.
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
36
to pay all the expenses of the fund, except management fees, brokerage fees and commissions, taxes, interest fees, 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 10 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 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 indus-
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
try professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2010, the fund was charged $1,114,142 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 $207,544 and shareholder services plan fees $207,544.
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, 2010, amounted to $72,851,364 and $74,699,085, respectively.
The fund may invest in shares of certain affiliated investment companies also advised or managed by the adviser. Investments in affiliated investment companies for the period ended April 30, 2010 were as follows:
Affiliated | ||||
Investment | Value | Value | Net | |
Company | 10/31/2009 ($) Purchases ($) | Sales ($) | 4/30/2010 ($) Assets (%) | |
Dreyfus | ||||
Institutional | ||||
Preferred | ||||
Plus Money | ||||
Market | ||||
Fund | 7,316,000 73,403,000 | 60,775,000 | 19,944,000 | 1.9 |
Dreyfus | ||||
Institutional | ||||
Cash | ||||
Advantage | ||||
Plus | ||||
Fund | 151,450,309 314,219,226 | 238,550,669 | 227,118,866 | 22.2 |
Total | 158,766,309 387,622,226 | 299,325,669 | 247,062,866 | 24.1 |
The provisions of ASC Topic 815 “Derivatives and Hedging” require 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 con-
38
tingent features in derivative agreements. The disclosure requirements distinguish between derivatives, which are accounted for as “hedges” and those that do not qualify for hedge accounting. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for such accounting.Accordingly,even though a fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of this disclosure.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at April 30, 2010 are set forth in the Statement of Financial Futures.
At April 30, 2010, accumulated net unrealized appreciation on investments was $91,323,890, consisting of $190,576,170 gross unrealized appreciation and $99,252,280 gross unrealized depreciation.
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2010, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
40
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 2, 2010, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2011. 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 it 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 tho se 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.
The Fund 41
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 retail no-load pure index small-cap core funds and one small-cap growth fund 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. (“Lipper”), 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 was at or above the Performance Group and Performance Universe medians for all periods, except the one-year period ended December 31, 2009 when it was below the Performance Group and Performance Universe medians. 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 fees 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 Board members noted that the fund’s contractual management fee was below the Expense Group median, the fund’s actual management fee was at the Expense Group and Expense Universe medians and the fund’s total expense ratio was below the Expense Group median and at the Expense Universe median. Management noted that, pursuant to the Management Agreement, Dreyfus pays all of the fund’s expenses, except management fees, shareholder services fees, and certain other expenses, including the fees and expenses of the independent Board members and their counsel.Additionally, Dr eyfus has agreed to reduce its management fee in an amount equal to the fees and expenses of the independent Board members and their counsel.
42
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.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.
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 also considered potential benefits to Dreyfus from acting as invest ment 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 decreas-
The Fund 43
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
ing, the possibility that Dreyfus may have realized any economies of scale would be less. It also was noted that Dreyfus did not realize a profit on the fund’s operations.
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 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 services 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 manage- ment 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 Management Agreement was in the best interests of the fund and its shareholders.
44
![](https://capedge.com/proxy/N-CSRS/0000857114-10-000007/scsincsrx48x1.jpg)
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/ Bradley J. Skapyak |
Bradley J. Skapyak, | |
President | |
Date: | June 23, 2010 |
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/ Bradley J. Skapyak |
Bradley J. Skapyak, | |
President | |
Date: | June 23, 2010 |
By: | /s/ James Windels |
James Windels, | |
Treasurer | |
Date: | June 23, 2010 |
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)