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 | |||||
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| DREYFUS INDEX FUNDS, INC. |
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c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 |
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| Janette Farragher, Esq. 200 Park Avenue New York, New York 10166 |
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Registrant's telephone number, including area code: | (212) 922-6000 | |||||
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Date of fiscal year end:
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Date of reporting period: | 10/31/11 |
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Dreyfus International |
Stock Index Fund |
ANNUAL REPORT October 31, 2011
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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 | Fund Performance |
7 | Understanding Your Fund’s Expenses |
7 | Comparing Your Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
37 | Statement Financial Futures |
38 | Statement of Assets and Liabilities |
39 | Statement of Operations |
40 | Statement of Changes in Net Assets |
41 | Financial Highlights |
42 | Notes to Financial Statements |
59 | Report of Independent Registered Public Accounting Firm |
60 | Important Tax Information |
61 | Board Members Information |
63 | Officers of the Fund |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus International
Stock Index Fund
The Fund
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A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We present to you this annual report for Dreyfus International Stock Index Fund, covering the 12-month period from November 1, 2010, through October 31, 2011. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Investors were encouraged by expectations of a more robust economic recovery during the final months of 2010, but sentiment deteriorated in 2011 due to disappointing global economic data, rising commodity prices, an escalating sovereign debt crisis in Europe and a contentious debate regarding taxes, spending and borrowing in the United States. International stocks proved sensitive to these macroeconomic developments, often regardless of underlying company fundamentals, and most international equity market indices ended the reporting period with mildly negative absolute returns.
The global economic outlook currently remains clouded by market turbulence and political infighting, but we believe that a continued subpar global expansion is more likely than a return to recession. Although Europe continues to struggle with a debt crisis, inflationary pressures appear to be waning in most countries as energy prices recently have retreated from their highs. In Asia, China seems to have averted an economic contraction after implementing measures to dampen inflationary pressures. In the United States, moderately low core inflation and an accommodative monetary policy could help support near-trend growth despite ongoing deleveraging activity in the private sector.To assess the potential impact of these and other developments on your investments, we encourage you, as always, to speak with your financial advisor.
Thank you for your continued confidence and support.
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Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2011
2
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DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2010, through October 31, 2011, as provided by Thomas J. Durante, CFA, Richard A. Brown, CFA and Karen Q.Wong, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2011, Dreyfus International Stock Index Fund produced a total return of –5.03%.1 This compares with a –4.08% 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
Strong corporate earnings drove international stocks higher over the reporting period’s first half, but macroeconomic challenges later drove the MSCI EAFE Index into negative territory.The fund produced a lower return than its benchmark.The difference in return between the fund and the MSCI EAFE Index was primarily the result of transaction costs and operating expenses that are not reflected in the MSCI EAFE Index’s results.
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.
Macroeconomic Developments Challenged Global Growth
Positive market sentiment generally prevailed through the first quarter of 2011 amid expectations of continued global economic recovery. In addition, a weaker U.S. dollar supported exports to the United States, fueling corporate earnings growth for international companies.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
While global markets continued to advance over the first few months of 2011, investors grew increasingly concerned about a sovereign debt crisis in Europe, inflationary pressures in China and rising energy prices stemming from political unrest in the Middle East. In March, catastrophic natural and nuclear disasters struck Japan, disrupting the global industrial supply chain. However, most equity markets rebounded quickly, and the MSCI EAFE Index hit new highs for the reporting period in April.
By May, investor sentiment began to deteriorate in earnest. U.S. economic growth proved more sluggish than expected, and investors worried about a contentious debate regarding U.S. government spending, borrowing and taxes. In Europe, the debt problems facing Ireland, Portugal, Spain and Italy intensified, and Greece faced the possibility of default. Consequently, international markets lost all of the ground they had gained earlier, ending the reporting period with a mild loss. In a reversal of the trend over the past several years, the developed markets represented in the MSCI EAFE Index generally fared better than the emerging markets.
Energy Producers Led Global Markets
The energy, consumer staples and health care sectors held up relatively well in this challenging environment. Major integrated energy producers such as BP and Royal Dutch Shell encountered rising oil prices, improvements in their refinery operations and higher profits from liquefied natural gas.The traditionally defensive consumer staples sector benefited as investors turned to companies and industry groups that historically have been relatively insensitive to economic conditions. Consumer staples companies with attractive dividends and track records of stable cash flows proved particularly attractive to skittish investors, boosting British American Tobacco, Unilever and Nestle. Similarly, investors favored health care companies that historically have demonstrated earnings stability during economic downturns. For example, U.K.-based GlaxoSmithKline benefited from stronger exports of beauty products to the emerging markets, and Roche Holding achieved higher sales of key drugs.
Generally strong results from these areas were more than offset by weakness in other market sectors. The financials sector proved espe-
4
cially disappointing, largely due to the European debt crisis and the dampening effects of austerity measures on loan demand. Banks with exposure to the debt of Spain, Italy and Greece were punished by investors, derailing financial institutions in those nations, including Spain’s Banco Santander and Italy’s UniCredit. Banks in other markets also suffered from exposure to questionable debt securities, including France-based BNP Paribas and Societe Generale.
Results in the utilities sector were hurt by Tokyo Electric Power, whose Fukushima nuclear power plant was at the center of Japan’s nuclear disaster. Other utilities with nuclear operations also suffered as government authorities sought alternatives to nuclear power. In the materials sector, metals-and-mining companies Rio Tinto and Anglo American declined when production fell short of expectations.
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.
November 15, 2011
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund’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 |
FUND PERFORMANCE
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Average Annual Total Returns as of 10/31/11 | ||||||
1 Year | 5 Years | 10 Years | ||||
Fund | –5.03 | % | –2.92 | % | 4.93 | % |
Morgan Stanley Capital International | ||||||
Europe, Australasia, Far East Index | –4.08 | % | –2.41 | % | 5.73 | % |
† Source: Lipper Inc. |
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not |
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
The above graph compares a $10,000 investment made in Dreyfus International Stock Index Fund on 10/31/01 to a |
$10,000 investment made in the Morgan Stanley Capital International Europe,Australasia, Far East Index (the |
“Index”) on that date.All dividends and capital gain distributions are reinvested. |
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is |
an unmanaged index composed of a sample of companies representative of the market structure of European and Pacific |
Basin countries. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest |
directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is |
contained in the Financial Highlights section of the prospectus and elsewhere in this report. |
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from May 1, 2011 to October 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended October 31, 2011
Expenses paid per $1,000† | $2.79 | |
Ending value (after expenses) | $844.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2011
Expenses paid per $1,000† | $3.06 | |
Ending value (after expenses) | $1,022.18 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the |
period, multiplied by 184/365 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS |
October 31, 2011 |
Common Stocks—96.9% | Shares | Value ($) | ||
Australia—8.7% | ||||
AGL Energy | 21,347 | 323,982 | ||
Alumina | 116,808 | 176,876 | ||
Amcor | 57,891 | 427,035 | ||
AMP | 133,374 | 597,434 | ||
Asciano | 133,578 | 212,346 | ||
ASX | 8,615 | 278,292 | ||
Australia & New Zealand Banking Group | 122,930 | 2,790,980 | ||
Bendigo and Adelaide Bank | 17,291 | 171,759 | ||
BHP Billiton | 152,323 | 6,003,198 | ||
BlueScope Steel | 91,697 | 80,744 | ||
Boral | 34,041 | 139,997 | ||
Brambles | 69,015 | 479,471 | ||
Caltex Australia | 6,352 | 88,609 | ||
CFS Retail Property Trust | 87,677 | 168,112 | ||
Coca-Cola Amatil | 26,305 | 342,014 | ||
Cochlear | 2,583 | 158,853 | ||
Commonwealth Bank of Australia | 73,857 | 3,818,265 | ||
Computershare | 21,082 | 167,878 | ||
Crown | 20,990 | 176,421 | ||
CSL | 25,027 | 754,511 | ||
Dexus Property Group | 242,514 | 216,089 | ||
Echo Entertainment Group | 33,277 | a | 129,807 | |
Fairfax Media | 105,013 | 101,110 | ||
Fortescue Metals Group | 60,284 | 302,226 | ||
Foster’s Group | 94,104 | 531,063 | ||
Goodman Group | 316,833 | 204,775 | ||
GPT Group | 84,841 | 281,311 | ||
Harvey Norman Holdings | 21,349 | 48,513 | ||
Iluka Resources | 19,688 | 329,481 | ||
Incitec Pivot | 76,376 | 274,412 | ||
Insurance Australia Group | 100,454 | 330,424 | ||
James Hardie Industries-CDI | 22,829 | a | 148,535 | |
Leighton Holdings | 7,148 | 161,028 | ||
Lend Lease Group | 24,700 | 199,639 | ||
Lynas | 85,497 | a | 101,771 | |
MacArthur Coal | 7,332 | 124,895 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Australia (continued) | ||||
Macquarie Group | 16,830 | 428,162 | ||
Map Group | 31,449 | 113,059 | ||
Metcash | 38,630 | 169,820 | ||
Mirvac Group | 165,941 | 218,579 | ||
National Australia Bank | 102,707 | 2,759,844 | ||
Newcrest Mining | 36,592 | 1,297,654 | ||
OneSteel | 59,325 | 74,558 | ||
Orica | 17,151 | 463,525 | ||
Origin Energy | 49,918 | 754,497 | ||
OZ Minerals | 14,661 | 173,979 | ||
Paladin Energy | 33,468 | a | 50,747 | |
Qantas Airways | 55,702 | a | 94,031 | |
QBE Insurance Group | 51,956 | 802,771 | ||
QR National | 83,580 | 288,676 | ||
Ramsay Health Care | 6,148 | 121,302 | ||
Rio Tinto | 20,835 | 1,503,963 | ||
Santos | 40,790 | 545,863 | ||
Sims Metal Management | 8,218 | 119,200 | ||
Sonic Healthcare | 18,514 | 215,171 | ||
SP Ausnet | 62,635 | 65,757 | ||
Stockland | 112,087 | 368,694 | ||
Suncorp Group | 60,940 | 548,702 | ||
TABCORP Holdings | 33,277 | 103,090 | ||
Tatts Group | 61,493 | 150,364 | ||
Telstra | 204,168 | 668,486 | ||
Toll Holdings | 33,878 | 170,511 | ||
Transurban Group | 60,190 | 331,915 | ||
Wesfarmers | 48,059 | 1,627,473 | ||
Wesfarmers-PPS | 7,070 | 243,556 | ||
Westfield Group | 104,473 | 845,770 | ||
Westfield Retail Trust | 134,457 | 358,532 | ||
Westpac Banking | 142,539 | 3,339,790 | ||
Woodside Petroleum | 29,895 | 1,132,611 | ||
Woolworths | 58,161 | 1,456,069 | ||
WorleyParsons | 9,422 | 274,468 | ||
42,723,045 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Austria—.3% | ||||
Erste Group Bank | 8,858 | 192,740 | ||
IMMOFINANZ | 42,985 | a | 143,113 | |
OMV | 7,541 | 265,847 | ||
Raiffeisen Bank International | 2,344 | 66,369 | ||
Telekom Austria | 15,244 | 174,989 | ||
Verbund | 3,340 | 97,994 | ||
Vienna Insurance Group | 1,670 | 70,741 | ||
Voestalpine | 5,248 | 182,997 | ||
1,194,790 | ||||
Belgium—.9% | ||||
Ageas | 111,877 | 227,827 | ||
Anheuser-Busch InBev | 37,961 | 2,129,300 | ||
Anheuser-Busch InBev (STRIP) | 12,680 | a | 18 | |
Bekaert | 1,729 | 77,919 | ||
Belgacom | 7,074 | 216,280 | ||
Colruyt | 3,611 | 150,091 | ||
Delhaize Group | 4,911 | 324,272 | ||
Dexia | 33,426 | a | 26,575 | |
Groupe Bruxelles Lambert | 3,776 | 294,096 | ||
Groupe Bruxelles Lambert (STRIP) | 236 | a | 1 | |
KBC Groep | 7,431 | 168,220 | ||
Mobistar | 1,360 | 78,277 | ||
Solvay | 2,868 | 296,301 | ||
UCB | 4,586 | 204,050 | ||
Umicore | 5,210 | 226,109 | ||
4,419,336 | ||||
China—.0% | ||||
Foxconn International Holdings | 132,000 | a | 88,505 | |
Yangzijiang Shipbuilding Holdings | 99,000 | 73,299 | ||
161,804 | ||||
Cyprus—.0% | ||||
Bank of Cyprus | 46,122 | 64,331 | ||
Denmark—1.0% | ||||
AP Moller—Maersk, Cl. A | 26 | 169,902 | ||
AP Moller—Maersk, Cl. B | 64 | 440,055 | ||
Carlsberg, Cl. B | 5,179 | 355,324 |
10
Common Stocks (continued) | Shares | Value ($) | |
Denmark (continued) | |||
Coloplast, Cl. B | 1,044 | 153,725 | |
Danske Bank | 31,691 | a | 442,579 |
DSV | 9,415 | 191,844 | |
Novo Nordisk, Cl. B | 20,116 | 2,168,241 | |
Novozymes, Cl. B | 2,228 | 336,418 | |
Pandora | 2,876 | 27,980 | |
TDC | 18,800 | 156,579 | |
Tryg | 1,152 | 64,957 | |
Vestas Wind Systems | 10,261 | a | 162,246 |
William Demant Holding | 997 | a | 80,177 |
4,750,027 | |||
Finland—.9% | |||
Elisa | 6,364 | 135,544 | |
Fortum | 20,740 | 510,002 | |
Kesko, Cl. B | 2,995 | 107,610 | |
Kone, Cl. B | 7,554 | 420,820 | |
Metso | 6,120 | 240,208 | |
Neste Oil | 6,406 | 78,495 | |
Nokia | 178,749 | 1,214,182 | |
Nokian Renkaat | 5,429 | 201,046 | |
Orion, Cl. B | 4,426 | 93,033 | |
Outokumpu | 7,143 | 60,974 | |
Pohjola Bank, Cl. A | 7,347 | 85,721 | |
Rautaruukki | 4,060 | 43,774 | |
Sampo, Cl. A | 19,616 | 546,386 | |
Sanoma | 4,669 | 63,365 | |
Stora Enso, Cl. R | 26,820 | 172,004 | |
UPM-Kymmene | 25,102 | 296,903 | |
Wartsila | 8,360 | 257,347 | |
4,527,414 | |||
France—8.8% | |||
Accor | 7,079 | 234,551 | |
Aeroports de Paris | 1,783 | 141,780 | |
Air France | 7,338 | a | 56,385 |
Air Liquide | 13,561 | 1,773,267 | |
Alcatel-Lucent | 112,365 | a | 311,415 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
France (continued) | |||
Alstom | 10,002 | 378,066 | |
Arkema | 2,799 | 192,996 | |
Atos | 2,389 | 116,693 | |
AXA | 83,071 | 1,363,757 | |
BNP Paribas | 45,316 | 2,076,338 | |
Bouygues | 11,223 | 425,158 | |
Bureau Veritas | 2,531 | 198,470 | |
Cap Gemini | 6,898 | 266,703 | |
Carrefour | 27,029 | 724,971 | |
Casino Guichard Perrachon | 2,650 | 251,047 | |
Christian Dior | 2,638 | 376,410 | |
Cie de St-Gobain | 18,959 | 890,897 | |
Cie Generale d’Optique Essilor International | 9,439 | 689,872 | |
Cie Generale de Geophysique-Veritas | 7,003 | a | 153,403 |
Cie Generale des Etablissements Michelin, Cl. B | 8,248 | 606,046 | |
CNP Assurances | 6,982 | 107,805 | |
Credit Agricole | 46,605 | 368,966 | |
Danone | 27,599 | 1,936,299 | |
Dassault Systemes | 2,837 | 241,261 | |
Edenred | 7,894 | 225,716 | |
EDF | 11,094 | 335,938 | |
Eiffage | 2,009 | 68,989 | |
Eramet | 238 | 37,844 | |
Eurazeo | 1,324 | 64,053 | |
Eutelsat Communications | 4,735 | 197,140 | |
Fonciere des Regions | 1,253 | 93,326 | |
France Telecom | 88,640 | 1,612,198 | |
GDF Suez | 59,216 | 1,694,423 | |
Gecina | 1,000 | 99,840 | |
Groupe Eurotunnel | 26,075 | 238,074 | |
ICADE | 1,094 | 99,215 | |
Iliad | 981 | 115,731 | |
Imerys | 1,513 | 87,452 | |
JC Decaux | 3,387 | a | 91,484 |
Klepierre | 4,665 | 147,150 | |
L’Oreal | 11,476 | 1,277,494 |
12
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Lafarge | 9,720 | 399,605 |
Lagardere | 6,046 | 164,189 |
Legrand | 9,552 | 341,937 |
LVMH Moet Hennessy Louis Vuitton | 11,981 | 2,009,506 |
Metropole Television | 3,249 | 56,284 |
Natixis | 41,498 | 134,053 |
Neopost | 1,569 | 120,670 |
Pernod-Ricard | 9,433 | 888,106 |
Peugeot | 6,857 | 151,831 |
PPR | 3,556 | 559,973 |
Publicis Groupe | 6,001 | 293,249 |
Renault | 9,297 | 394,793 |
Safran | 7,817 | 258,077 |
Sanofi | 52,828 | 3,828,639 |
Schneider Electric | 23,387 | 1,391,248 |
SCOR | 8,435 | 198,948 |
Societe BIC | 1,432 | 128,969 |
Societe Generale | 30,205 | 888,940 |
Societe Television Francaise 1 | 6,190 | 84,326 |
Sodexo | 4,559 | 332,633 |
Suez Environnement | 13,276 | 210,079 |
Technip | 4,687 | 449,251 |
Thales | 4,486 | 160,024 |
Total | 100,637 | 5,308,024 |
Unibail-Rodamco | 4,371 | 880,967 |
Vallourec | 5,293 | 324,689 |
Veolia Environnement | 16,290 | 233,461 |
Vinci | 21,211 | 1,056,186 |
Vivendi | 59,123 | 1,340,050 |
Wendel | 1,660 | 124,937 |
43,082,267 | ||
Germany—7.5% | ||
Adidas | 9,804 | 699,592 |
Allianz | 21,454 | 2,430,127 |
Axel Springer | 2,085 | 85,151 |
BASF | 43,487 | 3,226,269 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
Bayer | 39,121 | 2,526,127 | ||
Bayerische Motoren Werke | 15,805 | 1,301,964 | ||
Beiersdorf | 4,862 | 283,365 | ||
Brenntag | 1,624 | 165,356 | ||
Celesio | 3,952 | 63,060 | ||
Commerzbank | 173,972 | a | 432,655 | |
Continental | 3,726 | a | 281,626 | |
Daimler | 42,833 | 2,210,504 | ||
Deutsche Bank | 44,438 | 1,880,844 | ||
Deutsche Boerse | 9,103 | a | 507,874 | |
Deutsche Lufthansa | 11,634 | 160,194 | ||
Deutsche Post | 39,570 | 607,665 | ||
Deutsche Telekom | 134,306 | 1,722,309 | ||
E.ON | 86,137 | 2,103,716 | ||
Fraport Frankfurt Airport Services Worldwide | 1,609 | 102,662 | ||
Fresenius & Co. | 5,389 | 536,006 | ||
Fresenius Medical Care & Co. | 9,581 | 705,195 | ||
GEA Group | 8,107 | 225,757 | ||
Hannover Rueckversicherung | 3,039 | 151,982 | ||
HeidelbergCement | 6,570 | 302,223 | ||
Henkel & Co. | 6,271 | 309,811 | ||
Hochtief | 1,996 | 146,968 | ||
Infineon Technologies | 52,752 | 480,393 | ||
K+S | 8,044 | 516,052 | ||
Kabel Deutschland Holding | 3,704 | a | 213,163 | |
Lanxess | 4,118 | 244,627 | ||
Linde | 8,070 | 1,293,879 | ||
MAN | 2,955 | 264,155 | ||
Merck | 3,016 | 284,374 | ||
Metro | 6,246 | 293,504 | ||
Muenchener Rueckversicherungs | 8,991 | 1,222,209 | ||
RWE | 19,609 | 846,364 | ||
Salzgitter | 1,819 | 103,870 | ||
SAP | 43,534 | 2,648,958 | ||
Siemens | 38,987 | 4,144,765 | ||
Suedzucker | 3,046 | 90,048 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
ThyssenKrupp | 18,595 | 540,901 | ||
TUI | 7,370 | a | 48,756 | |
United Internet | 5,818 | 115,759 | ||
Volkswagen | 1,464 | 232,378 | ||
Wacker Chemie | 762 | 77,704 | ||
36,830,861 | ||||
Greece—.1% | ||||
Alpha Bank | 25,409 | a | 35,086 | |
Coca-Cola Hellenic Bottling | 8,251 | a | 163,996 | |
EFG Eurobank Ergasias | 16,597 | a | 15,742 | |
Hellenic Telecommunications Organization | 13,152 | 73,377 | ||
National Bank of Greece | 45,918 | a | 110,160 | |
OPAP | 10,949 | 128,282 | ||
Public Power | 6,826 | 59,125 | ||
585,768 | ||||
Hong Kong—2.5% | ||||
AIA Group | 402,800 | 1,215,499 | ||
ASM Pacific Technology | 9,600 | 105,498 | ||
Bank of East Asia | 72,150 | 261,038 | ||
BOC Hong Kong Holdings | 180,000 | 422,070 | ||
Cathay Pacific Airways | 52,000 | 93,619 | ||
Cheung Kong Holdings | 66,000 | 819,916 | ||
Cheung Kong Infrastructure Holdings | 21,000 | 112,379 | ||
CLP Holdings | 91,788 | 817,515 | ||
Esprit Holdings | 59,759 | 86,416 | ||
Galaxy Entertainment Group | 63,000 | a | 122,856 | |
Hang Lung Group | 41,000 | 249,535 | ||
Hang Lung Properties | 116,000 | 422,397 | ||
Hang Seng Bank | 35,700 | 460,010 | ||
Henderson Land Development | 43,762 | 236,787 | ||
Hong Kong & China Gas | 221,754 | 500,242 | ||
Hong Kong Exchanges & Clearing | 48,800 | 818,397 | ||
Hopewell Holdings | 26,000 | 67,195 | ||
Hutchison Whampoa | 99,800 | 912,280 | ||
Hysan Development | 28,000 | 97,974 | ||
Kerry Properties | 36,000 | 132,544 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Hong Kong (continued) | ||||
Li & Fung | 275,200 | 531,503 | ||
Lifestyle International Holdings | 27,500 | 73,628 | ||
Link REIT | 105,000 | 359,063 | ||
MTR | 69,500 | 223,364 | ||
New World Development | 113,191 | 119,286 | ||
NWS Holdings | 60,000 | 91,118 | ||
Orient Overseas International | 11,300 | 51,022 | ||
PCCW | 167,000 | 66,380 | ||
Power Assets Holdings | 65,000 | 496,089 | ||
Shangri-La Asia | 63,000 | 125,675 | ||
Sino Land | 130,664 | 206,445 | ||
SJM Holdings | 74,530 | 126,108 | ||
Sun Hung Kai Properties | 66,699 | 909,752 | ||
Swire Pacific, Cl. A | 34,000 | 393,500 | ||
Wharf Holdings | 73,311 | 390,054 | ||
Wheelock & Co. | 42,000 | 121,182 | ||
Wing Hang Bank | 8,000 | 72,388 | ||
Yue Yuen Industrial Holdings | 32,300 | 91,537 | ||
12,402,261 | ||||
Ireland—.2% | ||||
Anglo Irish Bank | 35,225 | a,b | 49 | |
CRH | 34,539 | 630,369 | ||
Elan | 23,710 | a | 281,762 | |
Kerry Group, Cl. A | 6,761 | 256,024 | ||
Ryanair Holdings | 4,000 | a | 19,086 | |
1,187,290 | ||||
Israel—.6% | ||||
Bank Hapoalim | 50,958 | 199,474 | ||
Bank Leumi Le-Israel | 54,305 | 190,255 | ||
Bezeq Israeli Telecommunication | 88,933 | 189,642 | ||
Cellcom Israel | 2,512 | 55,721 | ||
Delek Group | 202 | 40,121 | ||
Elbit Systems | 1,178 | 52,482 | ||
Israel | 117 | 86,177 | ||
Israel Chemicals | 20,717 | 249,290 | ||
Israel Discount Bank, Cl. A | 31,733 | a | 52,944 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Israel (continued) | ||||
Mizrahi Tefahot Bank | 6,222 | 54,067 | ||
NICE Systems | 3,141 | a | 112,729 | |
Partner Communications | 4,318 | 51,768 | ||
Teva Pharmaceutical Industries | 44,426 | 1,819,934 | ||
3,154,604 | ||||
Italy—2.3% | ||||
A2A | 55,689 | 76,898 | ||
Assicurazioni Generali | 55,629 | 1,011,013 | ||
Atlantia | 14,360 | 221,324 | ||
Autogrill | 5,146 | 60,149 | ||
Banca Carige | 32,548 | 64,465 | ||
Banca Monte dei Paschi di Siena | 191,415 | 90,321 | ||
Banco Popolare | 90,799 | 136,778 | ||
Enel | 314,541 | 1,496,038 | ||
Enel Green Power | 80,792 | 187,288 | ||
ENI | 113,684 | 2,535,473 | ||
EXOR | 2,723 | 60,389 | ||
Fiat | 37,943 | 234,977 | ||
Fiat Industrial | 35,849 | a | 315,263 | |
Finmeccanica | 19,919 | 137,970 | ||
Intesa Sanpaolo | 471,576 | 849,159 | ||
Intesa Sanpaolo-RSP | 47,999 | 70,363 | ||
Luxottica Group | 5,885 | 175,249 | ||
Mediaset | 31,881 | 119,084 | ||
Mediobanca | 23,963 | 192,520 | ||
Parmalat | 17,764 | 39,866 | ||
Pirelli & C | 11,503 | 102,684 | ||
Prysmian | 10,503 | 160,413 | ||
Saipem | 12,361 | 558,611 | ||
Snam Rete Gas | 77,854 | 382,456 | ||
Telecom Italia | 444,226 | 557,335 | ||
Telecom Italia-RSP | 291,140 | 307,607 | ||
Terna Rete Elettrica Nazionale | 58,703 | 226,477 | ||
UniCredit | 641,763 | 759,070 | ||
Unione di Banche Italiane | 32,249 | 124,147 | ||
11,253,387 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan—20.3% | ||
ABC-Mart | 1,000 | 39,291 |
Advantest | 6,400 | 74,627 |
Aeon | 28,200 | 371,319 |
Aeon Credit Service | 3,960 | 59,384 |
AEON Mall | 3,900 | 91,192 |
Air Water | 7,000 | 89,111 |
Aisin Seiki | 9,200 | 293,036 |
Ajinomoto | 31,800 | 356,561 |
Alfresa Holdings | 1,900 | 71,825 |
All Nippon Airways | 41,000 | 124,027 |
Amada | 17,000 | 112,315 |
Aozora Bank | 21,959 | 55,550 |
Asahi Glass | 48,800 | 428,452 |
Asahi Group Holdings | 18,800 | 386,689 |
Asahi Kasei | 60,900 | 361,612 |
Asics | 7,000 | 93,133 |
Astellas Pharma | 20,879 | 763,818 |
Bank of Kyoto | 14,000 | 119,290 |
Bank of Yokohama | 57,000 | 261,844 |
Benesse Holdings | 3,100 | 135,746 |
Bridgestone | 30,500 | 715,393 |
Brother Industries | 11,100 | 145,262 |
Canon | 53,650 | 2,456,431 |
Casio Computer | 13,100 | 80,537 |
Central Japan Railway | 70 | 596,792 |
Chiba Bank | 35,000 | 215,137 |
Chiyoda | 8,000 | 92,049 |
Chubu Electric Power | 32,400 | 594,784 |
Chugai Pharmaceutical | 10,128 | 158,944 |
Chugoku Bank | 9,000 | 118,078 |
Chugoku Electric Power | 14,300 | 214,214 |
Citizen Holdings | 12,400 | 65,890 |
Coca-Cola West | 2,700 | 48,272 |
Cosmo Oil | 27,000 | 67,434 |
Credit Saison | 7,000 | 137,934 |
Dai Nippon Printing | 25,800 | 270,845 |
18
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Dai-ichi Life Insurance | 438 | 497,572 | |
Daicel Chemical Industries | 15,000 | 85,367 | |
Daido Steel | 14,200 | 86,693 | |
Daihatsu Motor | 9,000 | 159,771 | |
Daiichi Sankyo | 31,983 | 623,567 | |
Daikin Industries | 10,800 | 320,796 | |
Dainippon Sumitomo Pharma | 6,900 | 75,746 | |
Daito Trust Construction | 3,400 | 302,752 | |
Daiwa House Industry | 23,400 | 291,637 | |
Daiwa Securities Group | 80,000 | 280,649 | |
Dena | 4,600 | 200,485 | |
Denki Kagaku Kogyo | 22,600 | 86,407 | |
Denso | 22,800 | 705,923 | |
Dentsu | 8,400 | 256,016 | |
East Japan Railway | 16,200 | 986,323 | |
Eisai | 11,800 | 470,240 | |
Electric Power Development | 5,280 | 131,905 | |
Elpida Memory | 9,400 | a | 58,996 |
FamilyMart | 3,000 | 118,479 | |
FANUC | 9,000 | 1,457,090 | |
Fast Retailing | 2,500 | 450,247 | |
Fuji Electric | 29,000 | 84,677 | |
Fuji Heavy Industries | 27,000 | 172,883 | |
FUJIFILM Holdings | 21,600 | 531,074 | |
Fujitsu | 90,800 | 486,212 | |
Fukuoka Financial Group | 39,000 | 151,394 | |
Furukawa Electric | 28,000 | 78,531 | |
Gree | 4,300 | 140,607 | |
GS Yuasa | 16,000 | 83,390 | |
Gunma Bank | 18,000 | 92,819 | |
Hachijuni Bank | 21,000 | 117,025 | |
Hakuhodo DY Holdings | 1,170 | 63,758 | |
Hamamatsu Photonics | 3,200 | 122,334 | |
Hino Motors | 12,000 | 71,307 | |
Hirose Electric | 1,600 | 153,977 | |
Hiroshima Bank | 24,000 | 107,114 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Hisamitsu Pharmaceutical | 2,900 | 117,170 |
Hitachi | 215,900 | 1,161,831 |
Hitachi Chemical | 5,200 | 93,127 |
Hitachi Construction Machinery | 5,000 | 96,401 |
Hitachi High-Technologies | 2,700 | 56,591 |
Hitachi Metals | 8,000 | 91,108 |
Hokkaido Electric Power | 8,200 | 103,562 |
Hokuhoku Financial Group | 63,000 | 118,032 |
Hokuriku Electric Power | 7,700 | 123,467 |
Honda Motor | 77,120 | 2,330,631 |
Hoya | 21,100 | 464,089 |
Ibiden | 5,700 | 125,365 |
Idemitsu Kosan | 1,100 | 102,709 |
IHI | 62,000 | 141,655 |
INPEX | 103 | 679,422 |
Isetan Mitsukoshi Holdings | 17,920 | 183,450 |
Isuzu Motors | 55,000 | 234,517 |
ITOCHU | 70,700 | 699,112 |
Itochu Techno-Solutions | 1,400 | 60,711 |
Iyo Bank | 11,000 | 103,417 |
J Front Retailing | 22,800 | 100,829 |
Japan Petroleum Exploration | 1,400 | 55,481 |
Japan Prime Realty Investment | 36 | 86,808 |
Japan Real Estate Investment | 22 | 188,815 |
Japan Retail Fund Investment | 78 | 122,002 |
Japan Steel Works | 17,000 | 116,592 |
Japan Tobacco | 214 | 1,075,663 |
JFE Holdings | 21,760 | 411,109 |
JGC | 10,000 | 281,499 |
Joyo Bank | 31,462 | 132,118 |
JS Group | 12,924 | 271,178 |
JSR | 9,100 | 174,130 |
JTEKT | 10,800 | 119,101 |
Jupiter Telecommunications | 77 | 75,436 |
JX Holdings | 105,176 | 613,596 |
Kajima | 40,800 | 130,579 |
20
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Kamigumi | 12,400 | 108,328 | |
Kaneka | 12,000 | 65,199 | |
Kansai Electric Power | 35,199 | 522,271 | |
Kansai Paint | 11,000 | 103,751 | |
Kao | 25,000 | 657,133 | |
Kawasaki Heavy Industries | 68,000 | 174,559 | |
Kawasaki Kisen Kaisha | 35,000 | 71,447 | |
KDDI | 139 | 1,019,556 | |
Keikyu | 21,000 | 189,428 | |
Keio | 27,000 | 185,985 | |
Keisei Electric Railway | 13,000 | 88,051 | |
Keyence | 2,005 | 511,312 | |
Kikkoman | 8,000 | 88,708 | |
Kinden | 6,000 | 49,358 | |
Kintetsu | 76,354 | 268,648 | |
Kirin Holdings | 38,000 | 466,882 | |
Kobe Steel | 114,000 | 190,796 | |
Koito Manufacturing | 4,000 | 60,558 | |
Komatsu | 45,300 | 1,118,306 | |
Konami | 4,400 | 144,395 | |
Konica Minolta Holdings | 22,000 | 160,675 | |
Kubota | 56,000 | 461,793 | |
Kuraray | 16,500 | 231,617 | |
Kurita Water Industries | 5,700 | 157,598 | |
Kyocera | 7,200 | 635,683 | |
Kyowa Hakko Kirin | 11,705 | 132,511 | |
Kyushu Electric Power | 19,500 | 259,502 | |
Lawson | 2,700 | 152,837 | |
Mabuchi Motor | 1,000 | 43,979 | |
Makita | 5,100 | 190,755 | |
Marubeni | 80,000 | 464,530 | |
Marui Group | 10,900 | 85,524 | |
Maruichi Steel Tube | 2,000 | 44,938 | |
Mazda Motor | 78,000 | a | 165,368 |
McDonald’s Holdings Japan | 3,000 | 79,556 | |
Medipal Holdings | 7,700 | 71,995 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
MEIJI Holdings | 3,521 | 155,153 | |
Minebea | 18,000 | 64,350 | |
Miraca Holdings | 2,600 | 99,133 | |
Mitsubishi | 67,098 | 1,384,797 | |
Mitsubishi Chemical Holdings | 65,880 | 401,506 | |
Mitsubishi Electric | 91,000 | 840,137 | |
Mitsubishi Estate | 59,000 | 1,001,999 | |
Mitsubishi Gas Chemical | 20,000 | 130,811 | |
Mitsubishi Heavy Industries | 141,700 | 580,511 | |
Mitsubishi Logistics | 6,000 | 66,253 | |
Mitsubishi Materials | 53,000 | 141,671 | |
Mitsubishi Motors | 186,000 | a | 247,500 |
Mitsubishi Tanabe Pharma | 11,000 | 191,331 | |
Mitsubishi UFJ Financial Group | 602,990 | 2,619,053 | |
Mitsubishi UFJ Lease & Finance | 2,910 | 113,006 | |
Mitsui & Co | 83,000 | 1,214,278 | |
Mitsui Chemicals | 38,000 | 125,624 | |
Mitsui Engineering & Shipbuilding | 34,000 | 54,459 | |
Mitsui Fudosan | 39,000 | 646,712 | |
Mitsui OSK Lines | 57,000 | 220,754 | |
Mizuho Financial Group | 1,077,700 | 1,515,448 | |
MS&AD Insurance Group Holdings | 27,057 | 533,457 | |
Murata Manufacturing | 9,500 | 530,352 | |
Nabtesco | 4,500 | 98,558 | |
Namco Bandai Holdings | 8,650 | 126,385 | |
NEC | 124,800 | a | 280,148 |
NGK Insulators | 11,000 | 127,090 | |
NGK Spark Plug | 8,000 | 99,680 | |
NHK Spring | 7,000 | 64,198 | |
Nidec | 5,300 | 437,334 | |
Nikon | 16,460 | 370,412 | |
Nintendo | 4,650 | 705,138 | |
Nippon Building Fund | 27 | 262,398 | |
Nippon Electric Glass | 20,085 | 179,545 | |
Nippon Express | 38,000 | 147,747 | |
Nippon Meat Packers | 9,000 | 112,754 |
22
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Nippon Paper Group | 4,900 | 112,943 |
Nippon Sheet Glass | 42,000 | 90,665 |
Nippon Steel | 239,100 | 626,393 |
Nippon Telegraph & Telephone | 22,800 | 1,168,667 |
Nippon Yusen | 73,800 | 187,252 |
Nishi-Nippon City Bank | 33,000 | 90,136 |
Nissan Motor | 118,600 | 1,095,518 |
Nisshin Seifun Group | 9,800 | 120,919 |
Nisshin Steel | 29,000 | 46,012 |
Nissin Foods Holdings | 2,600 | 100,088 |
Nitori Holdings | 1,700 | 163,031 |
Nitto Denko | 8,000 | 337,594 |
NKSJ Holdings | 18,270 | 368,268 |
NOK | 5,300 | 90,894 |
Nomura Holdings | 165,600 | 630,940 |
Nomura Real Estate Holdings | 4,000 | 64,883 |
Nomura Real Estate Office Fund | 12 | 64,562 |
Nomura Research Institute | 4,700 | 106,432 |
NSK | 20,000 | 151,494 |
NTN | 25,000 | 110,625 |
NTT Data | 57 | 191,910 |
NTT DoCoMo | 730 | 1,292,836 |
NTT Urban Development | 55 | 37,942 |
Obayashi | 31,000 | 141,505 |
Odakyu Electric Railway | 29,000 | 272,864 |
OJI Paper | 39,000 | 193,768 |
Olympus | 10,200 | 155,778 |
Omron | 9,400 | 201,843 |
Ono Pharmaceutical | 3,800 | 199,437 |
ORACLE JAPAN | 2,000 | 69,125 |
Oriental Land | 2,400 | 239,665 |
ORIX | 5,090 | 445,909 |
Osaka Gas | 88,000 | 334,356 |
OTSUKA | 700 | 49,124 |
Otsuka Holdings | 12,100 | 312,320 |
Panasonic | 105,295 | 1,075,592 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Rakuten | 352 | 387,885 | |
Resona Holdings | 88,800 | 397,738 | |
Ricoh | 33,000 | 271,418 | |
Rinnai | 1,500 | 112,393 | |
Rohm | 4,500 | 229,837 | |
Sankyo | 2,400 | 125,756 | |
Santen Pharmaceutical | 3,300 | 123,378 | |
SBI Holdings | 1,112 | 92,656 | |
Secom | 10,200 | 485,488 | |
Sega Sammy Holdings | 9,984 | 217,939 | |
Seiko Epson | 6,700 | 88,992 | |
Sekisui Chemical | 22,000 | 172,935 | |
Sekisui House | 28,000 | 249,972 | |
Seven & I Holdings | 35,960 | 964,265 | |
Seven Bank | 26 | 46,576 | |
Sharp | 48,000 | 444,015 | |
Shikoku Electric Power | 8,400 | 215,255 | |
Shimadzu | 12,000 | 102,713 | |
Shimamura | 1,000 | 100,431 | |
Shimano | 3,500 | 173,700 | |
Shimizu | 29,000 | 123,893 | |
Shin-Etsu Chemical | 19,600 | 1,009,385 | |
Shinsei Bank | 50,000 | 55,271 | |
Shionogi & Co. | 13,800 | 188,052 | |
Shiseido | 16,900 | 310,374 | |
Shizuoka Bank | 28,400 | 277,409 | |
Showa Denko | 72,000 | 131,811 | |
Showa Shell Sekiyu | 8,500 | 61,620 | |
SMC | 2,500 | 390,538 | |
Softbank | 41,400 | 1,350,410 | |
Sojitz | 54,600 | 93,514 | |
Sony | 47,880 | 1,009,450 | |
Sony Financial Holdings | 8,600 | 142,495 | |
Square Enix Holdings | 2,700 | 51,501 | |
Stanley Electric | 6,700 | 98,104 | |
Sumco | 4,900 | a | 49,445 |
24
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Sumitomo | 52,800 | 656,649 | |
Sumitomo Chemical | 76,000 | 282,348 | |
Sumitomo Electric Industries | 36,600 | 409,318 | |
Sumitomo Heavy Industries | 25,000 | 141,403 | |
Sumitomo Metal Industries | 163,000 | 307,815 | |
Sumitomo Metal Mining | 25,000 | 345,362 | |
Sumitomo Mitsui Financial Group | 63,500 | 1,774,972 | |
Sumitomo Mitsui Trust Holdings | 151,640 | 519,225 | |
Sumitomo Realty & Development | 17,000 | 353,461 | |
Sumitomo Rubber Industries | 7,600 | 94,942 | |
Suruga Bank | 8,000 | 66,995 | |
Suzuken | 3,720 | 89,385 | |
Suzuki Motor | 15,800 | 337,793 | |
Sysmex | 3,200 | 105,657 | |
T&D Holdings | 27,000 | 267,964 | |
Taisei | 48,000 | 128,281 | |
Taisho Pharmaceutical Holdings | 1,800 | 127,425 | |
Taiyo Nippon Sanso | 12,000 | 86,236 | |
Takashimaya | 12,000 | 85,678 | |
Takeda Pharmaceutical | 37,300 | 1,687,399 | |
TDK | 5,900 | 241,838 | |
Teijin | 47,000 | 164,908 | |
Terumo | 8,000 | 407,221 | |
THK | 5,600 | 108,922 | |
Tobu Railway | 51,000 | 244,803 | |
Toho | 5,800 | 100,482 | |
Toho Gas | 18,000 | 102,336 | |
Tohoku Electric Power | 22,300 | 246,936 | |
Tokio Marine Holdings | 34,500 | 823,295 | |
Tokyo Electric Power | 70,172 | a | 254,942 |
Tokyo Electron | 8,300 | 444,343 | |
Tokyo Gas | 121,000 | 521,099 | |
Tokyu | 52,820 | 256,222 | |
Tokyu Land | 19,000 | 80,163 | |
TonenGeneral Sekiyu | 14,000 | 158,294 | |
Toppan Printing | 28,000 | 218,099 |
The Fund | 25 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Toray Industries | 71,000 | 506,411 | |
Toshiba | 191,000 | 843,343 | |
Tosoh | 22,000 | 71,734 | |
TOTO | 14,000 | 116,101 | |
Toyo Seikan Kaisha | 7,100 | 108,119 | |
Toyo Suisan Kaisha | 4,000 | 102,726 | |
Toyoda Gosei | 3,600 | 64,157 | |
Toyota Boshoku | 2,600 | 31,752 | |
Toyota Industries | 8,600 | 243,809 | |
Toyota Motor | 130,814 | 4,385,354 | |
Toyota Tsusho | 10,100 | 159,685 | |
Trend Micro | 5,200 | 186,573 | |
Tsumura & Co. | 3,100 | 87,594 | |
Ube Industries | 46,600 | 137,435 | |
UNICHARM | 5,500 | 247,692 | |
Ushio | 4,600 | 68,600 | |
USS | 980 | 81,314 | |
West Japan Railway | 8,200 | 348,492 | |
Yahoo! Japan | 675 | 218,350 | |
Yakult Honsha | 4,300 | 122,281 | |
Yamada Denki | 3,960 | 286,151 | |
Yamaguchi Financial Group | 11,000 | 98,288 | |
Yamaha | 7,200 | a | 73,260 |
Yamaha Motor | 13,600 | 194,678 | |
Yamato Holdings | 19,200 | 319,104 | |
Yamato Kogyo | 1,800 | 45,929 | |
Yamazaki Baking | 6,000 | 79,590 | |
Yaskawa Electric | 9,000 | 78,689 | |
Yokogawa Electric | 11,500 | 108,830 | |
99,671,254 | |||
Luxembourg—.5% | |||
ArcelorMittal | 40,861 | 856,602 | |
Millicom International Cellular, SDR | 3,689 | 409,914 | |
SES | 13,891 | 358,440 | |
Subsea 7 | 13,577 | a | 298,158 |
Tenaris | 22,206 | 357,737 | |
2,280,851 |
26
Common Stocks (continued) | Shares | Value ($) | |
Macau—.1% | |||
Sands China | 111,813 | a | 329,145 |
Wynn Macau | 71,200 | 195,622 | |
524,767 | |||
Netherlands—2.6% | |||
Aegon | 83,177 | a | 403,152 |
Akzo Nobel | 10,968 | 584,618 | |
ASML Holding | 20,246 | 854,797 | |
Corio | 2,950 | 151,831 | |
Delta Lloyd | 5,160 | 92,016 | |
European Aeronautic Defence and Space | 19,119 | 569,877 | |
Fugro | 3,362 | 200,374 | |
Heineken | 12,128 | 593,924 | |
Heineken Holding | 5,350 | 231,588 | |
ING Groep | 182,990 | a | 1,597,765 |
Koninklijke Ahold | 55,175 | 713,015 | |
Koninklijke Boskalis Westminster | 3,558 | 126,052 | |
Koninklijke DSM | 7,462 | 387,385 | |
Koninklijke KPN | 72,881 | 965,309 | |
Koninklijke Philips Electronics | 48,223 | 1,015,310 | |
Koninklijke Vopak | 3,329 | 173,659 | |
PostNL | 15,639 | 80,295 | |
QIAGEN | 11,934 | a | 167,620 |
Randstad Holding | 5,958 | 214,195 | |
Reed Elsevier | 32,384 | 402,547 | |
SBM Offshore | 8,291 | 185,028 | |
STMicroelectronics | 29,389 | 204,958 | |
TNT Express | 16,689 | 143,694 | |
Unilever | 77,104 | 2,685,385 | |
Wolters Kluwer | 13,922 | 248,652 | |
12,993,046 | |||
New Zealand—.1% | |||
Auckland International Airport | 42,260 | 80,082 | |
Contact Energy | 16,082 | a | 72,738 |
Fletcher Building | 32,253 | 172,527 | |
Sky City Entertainment Group | 26,289 | 74,978 | |
Telecom Corporation of New Zealand | 91,970 | 189,545 | |
589,870 |
The Fund | 27 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Norway—.9% | ||||
Aker Solutions | 8,329 | 97,798 | ||
DnB NOR | 47,565 | 560,228 | ||
Gjensidige Forsikring | 10,117 | 112,280 | ||
Norsk Hydro | 43,421 | 228,898 | ||
Orkla | 38,138 | 335,427 | ||
Renewable Energy | 29,300 | a | 28,745 | |
SeaDrill | 15,328 | 511,726 | ||
Statoil | 53,296 | 1,373,367 | ||
Telenor | 34,887 | 628,851 | ||
Yara International | 9,201 | 442,493 | ||
4,319,813 | ||||
Portugal—.2% | ||||
Banco Comercial Portugues, Cl. R | 161,539 | a | 34,924 | |
Banco Espirito Santo | 27,218 | 59,603 | ||
Cimpor-Cimentos de Portugal | 9,151 | 68,771 | ||
Energias de Portugal | 89,356 | 284,788 | ||
Galp Energia, Cl. B | 11,081 | 231,527 | ||
Jeronimo Martins | 10,165 | 177,226 | ||
Portugal Telecom | 31,391 | 227,677 | ||
1,084,516 | ||||
Singapore—1.7% | ||||
Ascendas Real Estate Investment Trust | 78,912 | 128,662 | ||
CapitaLand | 119,500 | 257,731 | ||
CapitaMall Trust | 89,000 | 132,072 | ||
Capitamalls Asia | 74,000 | 79,865 | ||
City Developments | 24,000 | 207,969 | ||
ComfortDelgro | 93,700 | 104,132 | ||
Cosco Singapore | 48,000 | 38,405 | ||
DBS Group Holdings | 82,588 | 807,672 | ||
Fraser and Neave | 44,150 | 215,139 | ||
Genting Singapore | 295,527 | a | 404,541 | |
Global Logistic Properties | 90,843 | 126,876 | ||
Golden Agri-Resources | 317,440 | 161,248 | ||
Hutchison Port Holdings Trust | 269,000 | 177,883 | ||
Jardine Cycle & Carriage | 4,422 | 159,694 | ||
Keppel | 68,700 | 514,635 |
28
Common Stocks (continued) | Shares | Value ($) | ||
Singapore (continued) | ||||
Keppel Land | 36,000 | 79,524 | ||
Neptune Orient Lines | 56,000 | 50,259 | ||
Noble Group | 178,963 | 218,443 | ||
Olam International | 61,995 | 124,258 | ||
Oversea-Chinese Banking | 118,942 | 796,964 | ||
SembCorp Industries | 46,254 | 152,719 | ||
SembCorp Marine | 41,000 | 135,946 | ||
Singapore Airlines | 24,733 | 229,404 | ||
Singapore Exchange | 41,000 | 219,626 | ||
Singapore Press Holdings | 73,075 | 226,583 | ||
Singapore Technologies Engineering | 72,000 | 161,669 | ||
Singapore Telecommunications | 379,951 | 964,790 | ||
StarHub | 26,918 | 60,431 | ||
United Overseas Bank | 60,112 | 816,694 | ||
UOL Group | 23,111 | 81,759 | ||
Wilmar International | 93,000 | 400,222 | ||
8,235,815 | ||||
Spain—3.4% | ||||
Abertis Infraestructuras | 19,931 | 331,790 | ||
Acciona | 1,296 | 124,060 | ||
Acerinox | 5,086 | 68,244 | ||
ACS Actividades de Construccion y Servicios | 6,604 | 252,849 | ||
Amadeus IT Holding, Cl. A | 12,646 | 240,943 | ||
Banco Bilbao Vizcaya Argentaria | 207,850 | 1,902,380 | ||
Banco de Sabadell | 51,395 | 187,099 | ||
Banco Popular Espanol | 46,316 | 215,187 | ||
Banco Santander | 399,751 | 3,444,120 | ||
Bankia | 40,160 | 204,735 | ||
Bankinter | 9,093 | 56,439 | ||
CaixaBank | 36,285 | 179,363 | ||
Distribuidora Internacional de Alimentacion | 30,647 | a | 141,277 | |
EDP Renovaveis | 9,222 | a | 55,825 | |
Enagas | 8,939 | 177,920 | ||
Ferrovial | 17,724 | 227,437 | ||
Fomento de Construcciones y Contratas | 2,269 | 59,435 | ||
Gas Natural SDG | 15,540 | 292,289 |
The Fund | 29 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Spain (continued) | ||||
Grifols | 6,640 | a | 124,891 | |
Iberdrola | 188,537 | 1,382,701 | ||
Inditex | 10,391 | 953,082 | ||
Indra Sistemas | 5,136 | 87,110 | ||
International Consolidated Airlines Group | 24,060 | a | 64,366 | |
Mapfre | 35,362 | 131,248 | ||
Mediaset Espana Comunicacion | 6,652 | 44,535 | ||
Red Electrica | 5,040 | 245,867 | ||
Repsol | 37,850 | 1,156,168 | ||
Telefonica | 194,629 | 4,175,178 | ||
Zardoya Otis | 7,756 | 105,692 | ||
16,632,230 | ||||
Sweden—2.9% | ||||
Alfa Laval | 15,815 | 298,636 | ||
Assa Abloy, Cl. B | 15,118 | 371,982 | ||
Atlas Copco, Cl. A | 31,489 | 694,929 | ||
Atlas Copco, Cl. B | 18,886 | 372,106 | ||
Boliden | 13,856 | 199,715 | ||
Electrolux, Ser. B | 11,071 | 208,541 | ||
Getinge, Cl. B | 9,311 | 243,931 | ||
Hennes & Mauritz, Cl. B | 48,869 | 1,631,713 | ||
Hexagon, Cl. B | 12,498 | 194,445 | ||
Holmen, Cl. B | 2,181 | 62,333 | ||
Husqvarna, Cl. B | 20,545 | 105,329 | ||
Industrivarden, Cl. C | 5,510 | 69,577 | ||
Investor, Cl. B | 22,101 | 437,843 | ||
Kinnevik Investment, Cl. B | 9,939 | 210,428 | ||
Modern Times Group, Cl. B | 2,552 | 136,478 | ||
Nordea Bank | 125,516 | 1,157,890 | ||
Ratos, Cl. B | 9,138 | 123,232 | ||
Sandvik | 47,195 | 657,990 | ||
Scania, Cl. B | 14,916 | 253,748 | ||
Securitas, Cl. B | 15,857 | 146,404 | ||
Skandinaviska Enskilda Banken, Cl. A | 68,381 | 435,385 | ||
Skanska, Cl. B | 19,267 | 318,827 | ||
SKF, Cl. B | 18,912 | 425,850 |
30
Common Stocks (continued) | Shares | Value ($) | |
Sweden (continued) | |||
SSAB, Cl. A | 7,127 | 69,770 | |
Svenska Cellulosa, Cl. B | 27,158 | 400,266 | |
Svenska Handelsbanken, Cl. A | 22,877 | 664,788 | |
Swedbank, Cl. A | 39,376 | 559,330 | |
Swedish Match | 10,023 | 349,699 | |
Tele2, Cl. B | 14,884 | 316,735 | |
Telefonaktiebolaget LM Ericsson, Cl. B | 144,001 | 1,516,597 | |
TeliaSonera | 101,522 | 713,595 | |
Volvo, Cl. B | 64,740 | 817,498 | |
14,165,590 | |||
Switzerland—8.3% | |||
ABB | 103,658 | a | 1,990,310 |
Actelion | 5,118 | a | 192,013 |
Adecco | 6,181 | a | 301,029 |
Aryzta | 4,068 | 198,308 | |
Baloise Holding | 2,270 | 187,298 | |
Cie Financiere Richemont, Cl. A | 24,940 | 1,439,177 | |
Credit Suisse Group | 53,825 | a | 1,582,361 |
GAM Holding | 9,719 | a | 117,749 |
Geberit | 1,781 | a | 369,167 |
Givaudan | 403 | a | 371,160 |
Holcim | 11,486 | a | 738,650 |
Julius Baer Group | 10,011 | a | 383,287 |
Kuehne & Nagel International | 2,494 | 313,039 | |
Lindt & Spruengli | 5 | 186,036 | |
Lindt & Spruengli-PC | 39 | 121,461 | |
Lonza Group | 2,290 | a | 154,104 |
Nestle | 164,436 | 9,611,613 | |
Novartis | 110,700 | 6,306,646 | |
Pargesa Holding-BR | 1,256 | 99,306 | |
Roche Holding | 33,317 | 5,536,254 | |
Schindler Holding | 1,057 | 125,388 | |
Schindler Holding-PC | 2,266 | 268,548 | |
SGS | 266 | 461,254 | |
Sika-BR | 92 | 182,458 | |
Sonova Holding | 2,369 | a | 254,366 |
The Fund | 31 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Switzerland (continued) | |||
Straumann Holding | 380 | 67,639 | |
Sulzer | 1,213 | 143,476 | |
Swatch Group | 2,143 | 160,331 | |
Swatch Group-BR | 1,444 | 616,204 | |
Swiss Life Holding | 1,524 | a | 190,412 |
Swiss Re | 16,756 | a | 928,045 |
Swisscom | 1,134 | 461,908 | |
Syngenta | 4,519 | a | 1,393,376 |
Synthes | 3,050 | 515,572 | |
Transocean | 15,219 | 873,852 | |
UBS | 172,157 | a | 2,216,215 |
Zurich Financial Services | 6,960 | a | 1,628,902 |
40,686,914 | |||
United Kingdom—22.1% | |||
3i Group | 49,824 | 165,345 | |
Admiral Group | 9,682 | 184,251 | |
Aggreko | 12,882 | 355,974 | |
AMEC | 15,436 | 230,591 | |
Anglo American | 62,597 | 2,317,303 | |
Antofagasta | 19,115 | 360,061 | |
ARM Holdings | 63,876 | 602,633 | |
Associated British Foods | 17,194 | 306,947 | |
AstraZeneca | 65,306 | 3,147,557 | |
Aviva | 137,667 | 757,286 | |
Babcock International Group | 17,050 | 193,881 | |
BAE Systems | 160,397 | 716,109 | |
Balfour Beatty | 33,777 | 137,335 | |
Barclays | 553,306 | 1,744,208 | |
BG Group | 160,562 | 3,515,549 | |
BHP Billiton | 101,298 | 3,216,964 | |
BP | 895,056 | 6,660,116 | |
British American Tobacco | 94,227 | 4,356,672 | |
British Land | 40,748 | 335,763 | |
British Sky Broadcasting Group | 54,035 | 614,014 | |
BT Group | 370,214 | 1,124,015 | |
Bunzl | 15,003 | 195,184 |
32
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
Burberry Group | 20,588 | 445,629 | |
Cairn Energy | 67,699 | a | 321,918 |
Capita Group | 28,812 | 337,862 | |
Capital Shopping Centres Group | 25,428 | 135,156 | |
Carnival | 8,430 | 310,645 | |
Centrica | 246,506 | 1,180,526 | |
Cobham | 51,138 | 148,575 | |
Compass Group | 89,012 | 813,197 | |
Diageo | 118,474 | 2,464,941 | |
Essar Energy | 13,305 | a | 66,059 |
Eurasian Natural Resources | 13,200 | 140,194 | |
Experian | 47,535 | 621,867 | |
Fresnillo | 8,396 | 230,113 | |
G4S | 67,975 | 267,933 | |
GKN | 61,055 | 187,539 | |
GlaxoSmithKline | 244,666 | 5,528,818 | |
Glencore International | 38,836 | 274,561 | |
Hammerson | 35,663 | 234,342 | |
HSBC Holdings | 845,253 | 7,434,199 | |
ICAP | 27,917 | 182,091 | |
Imperial Tobacco Group | 48,709 | 1,787,847 | |
Inmarsat | 23,343 | 176,785 | |
Intercontinental Hotels Group | 13,905 | 257,882 | |
International Power | 74,010 | 404,012 | |
Intertek Group | 7,662 | 254,147 | |
Invensys | 41,117 | 149,658 | |
Investec | 22,879 | 139,739 | |
ITV | 187,172 | 193,504 | |
J Sainsbury | 58,524 | 282,541 | |
Johnson Matthey | 10,351 | 313,935 | |
Kazakhmys | 9,643 | 144,363 | |
Kingfisher | 114,758 | 479,563 | |
Land Securities Group | 37,411 | 413,034 | |
Legal & General Group | 285,074 | 508,453 | |
Lloyds Banking Group | 1,997,048 | a | 1,047,456 |
London Stock Exchange Group | 7,101 | 103,156 |
The Fund | 33 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
Lonmin | 7,657 | 134,468 | |
Man Group | 88,531 | 214,204 | |
Marks & Spencer Group | 76,917 | 399,645 | |
National Grid | 167,942 | 1,673,890 | |
Next | 8,141 | 335,868 | |
Old Mutual | 265,266 | 470,983 | |
Pearson | 38,138 | 704,846 | |
Petrofac | 12,118 | 280,877 | |
Prudential | 121,604 | 1,270,920 | |
Randgold Resources | 4,308 | 472,493 | |
Reckitt Benckiser Group | 29,593 | 1,527,559 | |
Reed Elsevier | 59,084 | 509,739 | |
Resolution | 71,775 | 318,593 | |
Rexam | 42,121 | 235,305 | |
Rio Tinto | 67,567 | 3,691,679 | |
Rolls-Royce Holdings | 89,204 | a | 1,011,489 |
Royal Bank of Scotland Group | 845,950 | a | 330,848 |
Royal Dutch Shell, Cl. A | 170,501 | 6,071,040 | |
Royal Dutch Shell, Cl. B | 127,790 | 4,611,075 | |
RSA Insurance Group | 169,012 | 304,720 | |
SABMiller | 45,547 | 1,669,949 | |
Sage Group | 61,711 | 277,009 | |
Schroders | 5,805 | 133,895 | |
Scottish & Southern Energy | 44,086 | 956,380 | |
Segro | 35,573 | 139,986 | |
Serco Group | 22,385 | 187,704 | |
Severn Trent | 11,088 | 271,321 | |
Shire | 26,782 | 843,395 | |
Smith & Nephew | 43,274 | 398,486 | |
Smiths Group | 18,357 | 283,560 | |
Standard Chartered | 112,533 | 2,650,122 | |
Standard Life | 110,544 | 385,050 | |
Tesco | 380,869 | 2,469,802 | |
Tui Travel | 20,087 | 55,345 | |
Tullow Oil | 41,890 | 948,634 |
34
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Unilever | 60,694 | 2,043,576 | ||
United Utilities Group | 32,936 | 322,428 | ||
Vedanta Resources | 5,422 | 111,846 | ||
Vodafone Group | 2,432,175 | 6,785,703 | ||
Weir Group | 10,377 | 321,423 | ||
Whitbread | 8,076 | 215,998 | ||
WM Morrison Supermarkets | 105,546 | 514,834 | ||
Wolseley | 13,756 | 399,220 | ||
WPP | 59,224 | 617,534 | ||
Xstrata | 99,252 | 1,674,920 | ||
108,468,359 | ||||
Total Common Stocks | ||||
(cost $478,890,030) | 475,990,210 | |||
Preferred Stocks—.5% | ||||
Germany—.5% | ||||
Bayerische Motoren Werke | 2,460 | 135,755 | ||
Henkel & Co. | 8,669 | 521,265 | ||
Porsche Automobil Holding | 7,438 | 439,723 | ||
ProSiebenSat.1 Media | 3,585 | 77,505 | ||
RWE | 1,967 | 74,488 | ||
Volkswagen | 6,898 | 1,219,982 | ||
Total Preferred Stocks | ||||
(cost $1,685,758) | 2,468,718 | |||
Rights—.0% | ||||
New World Development | ||||
(cost $13,974) | 56,596 | a | 19,315 | |
Principal | ||||
Short-Term Investments—.2% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
0.02%, 3/8/12 | 780,000 | c | 779,938 | |
0.03%, 3/22/12 | 200,000 | c | 199,974 | |
Total Short-Term Investments | ||||
(cost $979,928) | 979,912 |
The Fund | 35 |
STATEMENT OF INVESTMENTS (continued)
Other Investment—1.3% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $6,339,082) | 6,339,082 | d | 6,339,082 |
Total Investments (cost $487,908,772) | 98.9 | % | 485,797,237 |
Cash and Receivables (Net) | 1.1 | % | 5,579,612 |
Net Assets | 100.0 | % | 491,376,849 |
BR—Bearer Certificate |
CDI—Chess Depository Interest |
PC—Participation Certificate |
PPS—Price Protected Shares |
REIT—Real Estate Investment Trust |
RSP—Risparmio (Savings) Shares |
SDR—Swedish Depository Receipts |
STRIP—Separate Trading of Registered Interest and Principal of Securities |
a Non-income producing security. |
b The valuation of this security has been determined in good faith by management under the direction of the Board of |
Directors.At October 31, 2011, the value of this security amounted to $49 or less than .01% of net assets. |
c Held by a broker as collateral for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 21.8 | Telecommunication Services | 5.7 |
Industrial | 12.1 | Information Technology | 4.6 |
Consumer Staples | 11.0 | Utilities | 4.4 |
Materials | 10.2 | Short-Term/ | |
Consumer Discretionary | 10.1 | Money Market Investments | 1.5 |
Health Care | 9.0 | ||
Energy | 8.5 | 98.9 | |
† Based on net assets. | |||
See notes to financial statements. |
36
STATEMENT OF FINANCIAL FUTURES |
October 31, 2011 |
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2011 | ($) | |
Financial Futures Long | |||||
DJ Euro Stoxx 50 | 122 | 4,063,547 | December 2011 | 407,325 | |
FTSE 100 | 37 | 3,307,688 | December 2011 | 151,300 | |
SPI ASX 200 Index | 10 | 1,136,279 | December 2011 | 50,631 | |
TOPIX | 29 | 2,822,828 | December 2011 | 39,935 | |
649,191 | |||||
See notes to financial statements. |
The Fund | 37 |
STATEMENT OF ASSETS AND LIABILITIES |
October 31, 2011 |
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments: | |||
Unaffiliated issuers | 481,569,690 | 479,458,155 | |
Affiliated issuers | 6,339,082 | 6,339,082 | |
Cash | 882,340 | ||
Cash denominated in foreign currencies | 2,936,693 | 3,048,614 | |
Dividends receivable | 2,007,981 | ||
Receivable for shares of Common Stock subscribed | 537,987 | ||
Unrealized appreciation on forward foreign | |||
currency exchange contracts—Note 4 | 260,145 | ||
492,534,304 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 241,729 | ||
Payable for shares of Common Stock redeemed | 398,663 | ||
Payable for futures variation margin—Note 4 | 269,534 | ||
Unrealized depreciation on forward foreign | |||
currency exchange contracts—Note 4 | 247,529 | ||
1,157,455 | |||
Net Assets ($) | 491,376,849 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 528,567,597 | ||
Accumulated undistributed investment income—net | 10,800,231 | ||
Accumulated net realized gain (loss) on investments | (46,675,578 | ) | |
Accumulated net unrealized appreciation (depreciation) | |||
on investments (including $649,191 net unrealized | |||
appreciation on financial futures) | (1,315,401 | ) | |
Net Assets ($) | 491,376,849 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 35,627,906 | ||
Net Asset Value, offering and redemption price per share ($) | 13.79 | ||
See notes to financial statements. |
38
STATEMENT OF OPERATIONS |
Year Ended October 31, 2011 |
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $1,666,487 foreign taxes withheld at source): | ||
Unaffiliated issuers | 17,709,799 | |
Affiliated issuers | 9,625 | |
Interest | 538 | |
Total Income | 17,719,962 | |
Expenses: | ||
Management fee—Note 3(a) | 1,988,274 | |
Shareholder servicing costs—Note 3(b) | 1,420,196 | |
Directors’ fees—Note 3(a) | 27,675 | |
Loan commitment fees—Note 2 | 9,540 | |
Interest expense—Note 2 | 1,566 | |
Total Expenses | 3,447,251 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (27,675 | ) |
Net Expenses | 3,419,576 | |
Investment Income—Net | 14,300,386 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | 7,906,127 | |
Net realized gain (loss) on financial futures | (1,454,199 | ) |
Net realized gain (loss) on forward foreign currency exchange contracts | (171,517 | ) |
Net Realized Gain (Loss) | 6,280,411 | |
Net unrealized appreciation (depreciation) on | ||
investments and foreign currency transactions | (49,378,548 | ) |
Net unrealized appreciation (depreciation) on financial futures | 761,549 | |
Net unrealized appreciation (depreciation) on | ||
forward foreign currency exchange contracts | 16,757 | |
Net Unrealized Appreciation (Depreciation) | (48,600,242 | ) |
Net Realized and Unrealized Gain (Loss) on Investments | (42,319,831 | ) |
Net (Decrease) in Net Assets Resulting from Operations | (28,019,445 | ) |
See notes to financial statements. |
The Fund | 39 |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2011 | 2010 | |||
Operations ($): | ||||
Investment income—net | 14,300,386 | 12,261,382 | ||
Net realized gain (loss) on investments | 6,280,411 | (46,595,846 | ) | |
Net unrealized appreciation | ||||
(depreciation) on investments | (48,600,242 | ) | 74,380,343 | |
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | (28,019,445 | ) | 40,045,879 | |
Dividends to Shareholders from ($): | ||||
Investment income—net | (12,701,894 | ) | (13,103,285 | ) |
Net realized gain on investments | — | (3,322,070 | ) | |
Total Dividends | (12,701,894 | ) | (16,425,355 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 178,868,522 | 181,100,102 | ||
Dividends reinvested | 12,108,195 | 15,535,963 | ||
Cost of shares redeemed | (220,306,199 | ) | (206,110,488 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (29,329,482 | ) | (9,474,423 | ) |
Total Increase (Decrease) in Net Assets | (70,050,821 | ) | 14,146,101 | |
Net Assets ($): | ||||
Beginning of Period | 561,427,670 | 547,281,569 | ||
End of Period | 491,376,849 | 561,427,670 | ||
Undistributed investment income—net | 10,800,231 | 9,034,846 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 12,085,920 | 13,033,884 | ||
Shares issued for dividends reinvested | 818,675 | 1,097,173 | ||
Shares redeemed | (15,112,364 | ) | (15,247,182 | ) |
Net Increase (Decrease) in Shares Outstanding | (2,207,769 | ) | (1,116,125 | ) |
See notes to financial statements. |
40
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 14.84 | 14.05 | 11.51 | 21.98 | 18.03 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .38 | .31 | .30 | .49 | .43 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | (1.10 | ) | .89 | 2.51 | (10.47 | ) | 3.90 | |||
Total from Investment Operations | (.72 | ) | 1.20 | 2.81 | (9.98 | ) | 4.33 | |||
Distributions: | ||||||||||
Dividends from investment income—net | (.33 | ) | (.33 | ) | (.25 | ) | (.49 | ) | (.38 | ) |
Dividends from net realized | ||||||||||
gain on investments | — | (.08 | ) | (.02 | ) | — | — | |||
Total Distributions | (.33 | ) | (.41 | ) | (.27 | ) | (.49 | ) | (.38 | ) |
Net asset value, end of period | 13.79 | 14.84 | 14.05 | 11.51 | 21.98 | |||||
Total Return (%) | (5.03 | ) | 8.73 | 25.13 | (46.37 | ) | 24.40 | |||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .61 | .61 | .61 | .61 | .61 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .60 | .60 | .60 | .60 | .60 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 2.52 | 2.25 | 2.53 | 2.72 | 2.20 | |||||
Portfolio Turnover Rate | 6.14 | 10.49 | 17.26 | 7.17 | 3.31 | |||||
Net Assets, end of period ($ x 1,000) | 491,377 | 561,428 | 547,282 | 326,931 | 561,653 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
The Fund | 41 |
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective is to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East Free Index (MSCI EAFE®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The 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.
42
(a) Portfolio valuation: 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Fund | 43 |
NOTES TO FINANCIAL STATEMENTS (continued)
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.All preceding securities are categorized within Level 1 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
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. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that
44
influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.These securities are generally categorized within Level 1 of the fair value hierarchy. 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.These securities are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2011 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||||
Level 1— | Significant | Significant | ||||
Unadjusted | Observable | Unobservable | ||||
Quoted Prices | Inputs | Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities: | ||||||
Equity Securities— | ||||||
Foreign† | 314,150,063 | 164,308,816 | †† | 49 | 478,458,928 | |
Mutual Funds | 6,339,082 | — | — | 6,339,082 | ||
U.S. Treasury | — | 979,912 | — | 979,912 | ||
Rights† | 19,315 | — | — | 19,315 | ||
Other Financial | ||||||
Instruments: | ||||||
Forward Foreign | ||||||
Currency Exchange | ||||||
Contracts††† | — | 260,145 | — | 260,145 | ||
Futures††† | 649,191 | — | — | 649,191 |
The Fund | 45 |
NOTES TO FINANCIAL STATEMENTS (continued)
Level 2—Other | Level 3— | |||||
Level 1— | Significant | Significant | ||||
Unadjusted | Observable | Unobservable | ||||
Quoted Prices | Inputs | Inputs | Total | |||
Liabilities ($) | ||||||
Other Financial | ||||||
Instruments: | ||||||
Forward Foreign | ||||||
Currency Exchange | ||||||
Contracts††† | — | (247,529 | ) | — | (247,529 | ) |
† | See Statement of Investments for additional detailed categorizations. |
†† | Securities classified as Level 2 at period end as the values were determined pursuant to the fund’s |
fair valuation procedures. | |
††† Amount shown represents unrealized appreciation (depreciation) at period end. |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Equity Securities— | |
Foreign ($) | |
Balance as of 10/31/2010 | 49 |
Realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Purchases | — |
Sales | |
Transfers into Level 3 | — |
Transfers out of Level 3 | |
Balance as of 10/31/2011 | 49 |
The amount of total gains (losses) for the | |
period included in earnings attributable | |
to the change in unrealized gains (losses) | |
relating to investments still held at 10/31/2011 | — |
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair
46
value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(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.
The Fund | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 Dreyfus are defined as “affiliated” in the Act.
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended October 31, 2011 were as follows:
Affiliated | |||||||
Investment | Value | Value | Net | ||||
Company | 10/31/2010 | ($) | Purchases ($) | Sales ($) | 10/31/2011 | ($) | Assets (%) |
Dreyfus | |||||||
Institutional | |||||||
Preferred | |||||||
Plus Money | |||||||
Market | |||||||
Fund | 7,800,000 | 77,769,991 | 79,230,909 | 6,339,082 | 1.3 |
(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 pro-
48
visions 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 October 31, 2011, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the four-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2011, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $12,392,781, accumulated capital losses $30,624,629 and unrealized depreciation $18,958,900.
The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent October 31, 2011. If not applied, the carryover expires in fiscal 2018.
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. However, the 2010 Act requires post-enactment losses to be utilized before the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act. As a result of this ordering rule, capital loss carryovers related to taxable years beginning prior to the effective date of the 2010 Act may be more likely to expire unused.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2011 and October 31, 2010 were as follows: ordinary income $12,701,894 and $13,109,592 and long-term capital gains $0 and $3,315,763, respectively.
The Fund | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
During the period ended October 31, 2011, as a result of permanent book to tax differences, primarily due to the tax treatment for passive foreign investment companies and foreign currency gains and losses, the fund increased accumulated undistributed investment income-net by $166,893 and decreased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank 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, 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 October 31, 2011, was approximately $112,300 with a related weighted average annualized interest rate of 1.39%.
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 expense, commitment fees on borrowings, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In
50
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.Annual retainer fees and attendance fees are allocated to each fund based on net assets. During the period ended October 31, 2011, fees reimbursed by the Manager amounted to $27,675.
(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 October 31, 2011, the fund was charged $1,420,196 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 $141,009 and shareholder services plan fees $100,720.
(c) A 2% redemption fee was 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 October 31, 2011, redemption fees charged and retained by the fund amounted to $20,353. Effective December 15, 2010, the fund no longer charges a redemption fee on shares that are redeemed or exchanged before the end of the required holding period. The fund reserves the right to reimpose a redemption fee in the future.
The Fund | 51 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2011, amounted to $34,230,492 and $61,528,270, respectively.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of October 31, 2011 is shown below:
Derivative | Derivative | |||
Assets ($) | Liabilities ($) | |||
Equity risk1 | 649,191 | Equity risk | — | |
Foreign exchange risk2 | 260,145 | Foreign exchange risk3 | (247,529 | ) |
Gross fair value of | ||||
derivatives contracts | 909,336 | (247,529 | ) |
Statement of Assets and Liabilities location: | |
1 | Includes cumulative appreciation (depreciation) on futures contracts as reported in the Statement of |
Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets | |
and Liabilities. | |
2 | Unrealized appreciation on forward foreign currency exchange contracts. |
3 | Unrealized depreciation on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended October 31, 2011 is shown below:
Amount of realized gain or (loss) on derivatives recognized in income ($) | ||||||
Forward | ||||||
Underlying risk | Futures4 | Contracts5 | Total | |||
Equity | (1,454,199 | ) | — | (1,454,199 | ) | |
Foreign exchange | — | (171,517 | ) | (171,517 | ) | |
Total | (1,454,199 | ) | (171,517 | ) | (1,625,716 | ) |
52
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($) | |||
Forward | |||
Underlying risk | Futures6 | Contracts7 | Total |
Equity | 761,549 | — | 761,549 |
Foreign exchange | — | 16,757 | 16,757 |
Total | 761,549 | 16,757 | 778,306 |
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. |
7 | Net unrealized appreciation (depreciation) on 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 exchange’s clearinghouse guarantees the futures against default. Contracts open at October 31, 2011 are set forth in the Statement of Financial Futures.
The Fund | 53 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2011:
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases: | ||||
Australian Dollar, | ||||
Expiring 12/21/2011 | 533,854 | 544,756 | 559,087 | 14,331 |
Australian Dollar, | ||||
Expiring 12/21/2011 | 207,517 | 209,783 | 217,325 | 7,542 |
Australian Dollar, | ||||
Expiring 12/21/2011 | 276,915 | 280,956 | 290,003 | 9,047 |
Australian Dollar, | ||||
Expiring 12/21/2011 | 102,100 | 99,019 | 106,926 | 7,907 |
British Pound, | ||||
Expiring 12/21/2011 | 1,039,348 | 1,633,542 | 1,670,250 | 36,708 |
British Pound, | ||||
Expiring 12/21/2011 | 349,890 | 551,630 | 562,279 | 10,649 |
54
Foreign | Unrealized | ||||
Forward Foreign Currency | Currency | Appreciation | |||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | ||
Purchases (continued): | |||||
British Pound, | |||||
Expiring 12/21/2011 | 589,304 | 924,568 | 947,022 | 22,454 | |
British Pound, | |||||
Expiring 12/21/2011 | 53,400 | 83,247 | 85,815 | 2,568 | |
British Pound, | |||||
Expiring 12/21/2011 | 157,400 | 241,896 | 252,944 | 11,048 | |
British Pound, | |||||
Expiring 12/21/2011 | 52,600 | 82,230 | 84,529 | 2,299 | |
British Pound, | |||||
Expiring 12/21/2011 | 106,140 | 165,154 | 170,569 | 5,415 | |
British Pound, | |||||
Expiring 12/21/2011 | 53,800 | 84,978 | 86,458 | 1,480 | |
British Pound, | |||||
Expiring 12/21/2011 | 303,429 | 483,202 | 487,616 | 4,414 | |
British Pound, | |||||
Expiring 12/21/2011 | 54,600 | 86,976 | 87,743 | 767 | |
Euro, | |||||
Expiring 12/21/2011 | 266,866 | 365,556 | 369,109 | 3,553 | |
Euro, | |||||
Expiring 12/21/2011 | 593,991 | 813,295 | 821,563 | 8,268 | |
Euro, | |||||
Expiring 12/21/2011 | 1,498,081 | 2,040,761 | 2,072,032 | 31,271 | |
Euro, | |||||
Expiring 12/21/2011 | 852,710 | 1,166,796 | 1,179,404 | 12,608 | |
Euro, | |||||
Expiring 12/21/2011 | 106,500 | 145,537 | 147,303 | 1,766 | |
Euro, | |||||
Expiring 12/21/2011 | 167,000 | 224,894 | 230,982 | 6,088 | |
Euro, | |||||
Expiring 12/21/2011 | 67,800 | 92,374 | 93,776 | 1,402 | |
Euro, | |||||
Expiring 12/21/2011 | 68,900 | 94,917 | 95,297 | 380 | |
Euro, | |||||
Expiring 12/21/2011 | 490,667 | 681,394 | 678,653 | (2,741 | ) |
Euro, | |||||
Expiring 12/21/2011 | 69,800 | 96,626 | 96,542 | (84 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,493,606 | 189,367 | 185,580 | (3,787 | ) |
The Fund | 55 |
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign | Unrealized | ||||
Forward Foreign Currency | Currency | Appreciation | |||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | ||
Purchases (continued): | |||||
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,786,406 | 193,051 | 189,329 | (3,722 | ) |
Japanese Yen, | |||||
Expiring | |||||
12/21/2011 | 109,019,903 | 1,418,950 | 1,395,923 | (23,027 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 69,671,574 | 911,402 | 892,095 | (19,307 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,900,000 | 195,311 | 190,784 | (4,527 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,940,000 | 195,546 | 191,296 | (4,250 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 8,809,764 | 114,887 | 112,803 | (2,084 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 7,410,000 | 96,659 | 94,880 | (1,779 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 36,045,890 | 474,101 | 461,542 | (12,559 | ) |
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,860,000 | 195,438 | 190,272 | (5,166 | ) |
Sales: | Proceeds($) | ||||
Australian Dollar, | |||||
Expiring 12/21/2011 | 96,807 | 97,799 | 101,382 | (3,583 | ) |
Australian Dollar, | |||||
Expiring 12/21/2011 | 198,300 | 192,167 | 207,673 | (15,506 | ) |
Australian Dollar, | |||||
Expiring 12/21/2011 | 98,300 | 94,560 | 102,946 | (8,386 | ) |
Australian Dollar, | |||||
Expiring 12/21/2011 | 62,850 | 66,895 | 65,821 | 1,074 | |
British Pound, | |||||
Expiring 12/21/2011 | 103,000 | 162,386 | 165,523 | (3,137 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 126,182 | 197,008 | 202,777 | (5,769 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 501,500 | 774,203 | 805,919 | (31,716 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 201,200 | 311,957 | 323,332 | (11,375 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 50,600 | 79,216 | 81,315 | (2,099 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 51,600 | 80,245 | 82,922 | (2,677 | ) |
56
Foreign | Unrealized | ||||
Forward Foreign Currency | Currency | Appreciation | |||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation)($) | ||
Sales (continued): | |||||
British Pound, | |||||
Expiring 12/21/2011 | 131,028 | 203,211 | 210,564 | (7,353 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 98,300 | 151,822 | 157,970 | (6,148 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 53,700 | 84,971 | 86,297 | (1,326 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 55,200 | 88,537 | 88,707 | (170 | ) |
British Pound, | |||||
Expiring 12/21/2011 | 105,730 | 170,166 | 169,910 | 256 | |
Euro, | |||||
Expiring 12/21/2011 | 120,900 | 165,337 | 167,220 | (1,883 | ) |
Euro, | |||||
Expiring 12/21/2011 | 124,000 | 171,884 | 171,507 | 377 | |
Euro, | |||||
Expiring 12/21/2011 | 591,213 | 811,162 | 817,721 | (6,559 | ) |
Euro, | |||||
Expiring 12/21/2011 | 635,800 | 857,586 | 879,390 | (21,804 | ) |
Euro, | |||||
Expiring 12/21/2011 | 382,500 | 513,490 | 529,045 | (15,555 | ) |
Euro, | |||||
Expiring 12/21/2011 | 20,700 | 28,194 | 28,630 | (436 | ) |
Euro, | |||||
Expiring 12/21/2011 | 44,000 | 59,089 | 60,858 | (1,769 | ) |
Euro, | |||||
Expiring 12/21/2011 | 279,165 | 372,435 | 386,120 | (13,685 | ) |
Euro, | |||||
Expiring 12/21/2011 | 20,800 | 27,702 | 28,769 | (1,067 | ) |
Euro, | |||||
Expiring 12/21/2011 | 165,100 | 225,861 | 228,354 | (2,493 | ) |
Euro, | |||||
Expiring 12/21/2011 | 23,200 | 32,200 | 32,088 | 112 | |
Euro, | |||||
Expiring 12/21/2011 | 46,700 | 64,921 | 64,592 | 329 | |
Euro, | |||||
Expiring 12/21/2011 | 46,500 | 65,625 | 64,315 | 1,310 | |
Euro, | |||||
Expiring 12/21/2011 | 219,113 | 310,178 | 303,060 | 7,118 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 14,870,000 | 194,067 | 190,400 | 3,667 |
The Fund | 57 |
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign | Unrealized | ||||
Forward Foreign Currency | Currency | Appreciation | |||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation)($) | ||
Sales (continued): | |||||
Japanese Yen, | |||||
Expiring 12/21/2011 | 7,335,000 | 95,610 | 93,919 | 1,691 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 10,713,800 | 140,419 | 137,182 | 3,237 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 51,590,000 | 677,575 | 660,574 | 17,001 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 22,110,000 | 289,903 | 283,103 | 6,800 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 22,950,000 | 299,145 | 293,858 | 5,287 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 9,252,169 | 120,688 | 118,467 | 2,221 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 7,570,000 | 98,471 | 96,928 | 1,543 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 7,475,000 | 98,449 | 95,712 | 2,737 | |
Japanese Yen, | |||||
Expiring 12/21/2011 | 8,301,486 | 109,715 | 106,295 | 3,420 | |
Gross Unrealized | |||||
Appreciation | 260,145 | ||||
Gross Unrealized | |||||
Depreciation | (247,529 | ) |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2011:
Average Market Value ($) | |
Equity futures contracts | 10,177,194 |
Forward contracts | 7,092,016 |
At October 31, 2011, the cost of investments for federal income tax purposes was $505,386,424; accordingly, accumulated net unrealized depreciation on investments was $19,589,187, consisting of $79,082,557 gross unrealized appreciation and $98,671,744 gross unrealized depreciation.
58
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors Dreyfus International Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus International Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and financial highlights for each of the years indicated therein.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011 by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the indicated years, in conformity with U.S. generally accepted accounting principles.
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/isincsrx61x1.jpg)
New York, New York |
December 29, 2011 |
The Fund | 59 |
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby makes the following designations regarding its fiscal year ended October 31, 2011:
—the total amount of taxes paid to foreign countries was $1,520,247
—the total amount of income sourced from foreign countries was $19,400,316.
Where required by federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2011 calendar year with Form 1099-DIV which will be mailed in early 2012. For the fiscal year ended October 31, 2011, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $12,701,894 represents the maximum amount that may be considered qualified dividend income.
60
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (68) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 167 |
——————— |
Peggy C. Davis (68) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law |
• Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences |
and the law, legal process and professional methodology and training |
No. of Portfolios for which Board Member Serves: 53 |
——————— |
David P. Feldman (71) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 50 |
The Fund | 61 |
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Ehud Houminer (71) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-present) |
No. of Portfolios for which Board Member Serves: 64 |
——————— |
Dr. Martin Peretz (72) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 35 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
62
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 75 investment companies (comprised of 167 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1988.
MICHAEL A. ROSENBERG, Vice President and Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1991.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 38 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 2000.
KATHLEEN DENICHOLAS, Vice President and Assistant Secretary since January 2010.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 37 years old and has been an employee of the Manager since February 2001.
JANETTE E. FARRAGHER, Vice President and Assistant Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 48 years old and has been an employee of the Manager since February 1984.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since February 1991.
M. CRISTINA MEISER, Vice President and Assistant Secretary since January 2010.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 41 years old and has been an employee of the Manager since August 2001.
The Fund | 63 |
OFFICERS OF THE FUND (Unaudited) (continued)
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since April 1991.
ROBERT ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since November 1990.
64
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (76 investment companies, comprised of 192 portfolios). From November 2001 through March 2004, Mr. Connolly was first Vice-President, Mutual Fund Servicing for Mellon Global Securities Services. In that capacity, Mr. Connolly was responsible for managing Mellon’s Custody, Fund Accounting and Fund Administration services to third-party mutual fund clients. He is 54 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
STEPHEN J. STOREN, Anti-Money Laundering Compliance Officer since May 2011.
Chief Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 72 investment companies (comprised of 188 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Distributor since October 1999.
The Fund | 65 |
For More Information
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/isincsrx68x1.jpg)
Ticker Symbol: DIISX
Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/isincsrx68x2.jpg)
Dreyfus |
S&P 500 |
Index Fund |
ANNUAL REPORT October 31, 2011
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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 | Fund Performance |
7 | Understanding Your Fund’s Expenses |
7 | Comparing Your Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
24 | Statement of Financial Futures |
25 | Statement of Assets and Liabilities |
26 | Statement of Operations |
27 | Statement of Changes in Net Assets |
28 | Financial Highlights |
29 | Notes to Financial Statements |
39 | Report of Independent Registered Public Accounting Firm |
40 | Important Tax Information |
41 | Board Members Information |
43 | Officers of the Fund |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus |
S&P 500 Index Fund |
The Fund
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/spincsrx4x1.jpg)
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We present to you this annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2010, through October 31, 2011. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Investors were encouraged by expectations of a more robust economic recovery into the first quarter of 2011, but sentiment subsequently deteriorated due to disappointing economic data, rising commodity prices, an escalating sovereign debt crisis in Europe and a contentious debate regarding taxes, spending and borrowing in the United States. Stocks have been sensitive to these macroeconomic developments, often regardless of underlying company fundamentals. Indeed, market declines were particularly severe during August and September after a major credit rating agency downgraded U.S. long-term debt, while October ranked as one of the best months of the past decade.
The economic outlook currently remains clouded by market turbulence and political infighting, but we believe that a continued subpar global expansion is more likely than a return to recession. Although Europe continues to struggle with a debt crisis, inflationary pressures appear to be waning in most countries as energy prices recently have retreated from their highs. In the United States, moderately low core inflation and an accommodative monetary policy could help support near-trend growth despite ongoing deleveraging activity in the private sector.To assess the potential impact of these and other developments on your investments, we encourage you, as always, to speak with your financial advisor.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/spincsrx4x2.jpg)
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2011
2
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DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2010, through October 31, 2011, as provided by Thomas J. Durante, CFA, Karen Q.Wong, CFA and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2011, Dreyfus S&P 500 Index Fund produced a total return of 7.61%.1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), the fund’s benchmark, produced an 8.07% return for the same period.2, 3
Although U.S. stocks rallied through the first quarter of 2011 as an economic recovery appeared to gain traction, renewed macroeconomic concerns later caused the market to give back many of its previous gains.The fund produced a lower return than its benchmark.The difference in returns between the fund and the S&P 500 Index was primarily the result of transaction costs and operating expenses that are not reflected in the S&P 500 Index’s results.
The Fund’s Investment Approach
The fund seeks to match the total return of the S&P 500 Index by generally investing in all 500 stocks in the S&P 500 Index in proportion to their respective weightings. 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.
Global Economic Concerns Weighed on Equities
Gains in employment, consumer spending and corporate earnings supported a U.S. stock market rally over the first several months of the reporting period. However, the rally was interrupted in February 2011 when political unrest in the Middle East led to sharply rising crude oil prices, and again in March when catastrophic natural and nuclear disasters in Japan disrupted the global industrial supply chain.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
Nonetheless, investors proved resilient, and stocks rebounded quickly from these unexpected shocks.
Investor sentiment began to deteriorate in earnest in late April when Greece appeared headed for default on its sovereign debt and pressures mounted on the banking systems of other European nations. In addition, U.S. economic data proved more disappointing than expected, and investors reacted cautiously to a contentious political debate regarding U.S. government spending and borrowing. Stocks suffered bouts of heightened volatility when newly risk-averse investors shifted their focus to industry groups that historically have held up well under uncertain economic conditions. Volatility was particularly severe in August and September, after a major credit-rating agency downgraded its assessment of long-term U.S. government debt. In contrast, the market rebounded strongly in October when some macroeconomic worries seemed to ease.
Large-Cap Stocks Produced Mixed Results
The energy and information technology sectors led the S&P 500 Index’s advance over the reporting period. In the energy sector, major integrated energy producers benefited from rising crude oil prices and improved results from their refinery operations. Energy giants Exxon Mobil and Chevron also were buoyed by increased domestic production of natural gas. Among information technology companies, resilient consumer spending helped support sales and earnings for a number of software and service companies. In addition, electronics innovator Apple continued to gain value on the success of its popular smartphone and tablet computer products, International Business Machines continued to grow its global consulting business and Intel captured market share from other semiconductor manufacturers.
The consumer discretionary sector also ranked among the market’s better performing industry groups for the reporting period. Casual dining leader McDonald’s fared well as consumers throughout the world, including Europe, opted for lower-cost restaurants. McDonald’s also did a good job of containing costs during the economic downturn. Internet retailer Amazon.com achieved strong sales growth,
4
including greater market penetration of its Kindle e-book reader. Other winners in the consumer discretionary sector included ubiquitous coffee chain Starbucks and big-box retailer Home Depot.
The financials sector proved to be the only component of the S&P 500 Index to post negative absolute returns for the reporting period, as large commercial and custodial banks lost value amid fears of contagion from Europe’s debt crisis. Indeed, Bank of America ranked at the bottom of the S&P 500 Index for the reporting period, as the company and several of its large rivals struggled with anemic loan demand, higher regulatory costs, investment write-offs and revenue shortfalls from investment banking operations. Although the industrials sector eked out a positive absolute return, its results were undermined by weakness among automobile manufacturers, most notably Ford Motor.
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.
November 15, 2011
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
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 registered |
trademarks of Standard & Poor’s Financial Services LLC, and have been licensed for use on behalf | |
of the fund.The fund is not sponsored, managed, advised, sold or promoted by Standard & Poor’s | |
and its affiliates and Standard & Poor’s and its affiliates make no representation regarding the | |
advisability of investing in the fund. |
The Fund | 5 |
FUND PERFORMANCE
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/spincsrx8x1.jpg)
Average Annual Total Returns as of 10/31/11 | ||||||
1 | Year | 5 Years | 10 Years | |||
Fund | 7.61 | % | –0.18 | % | 3.22 | % |
Standard & Poor’s 500 | ||||||
Composite Stock Price Index | 8.07 | % | 0.25 | % | 3.69 | % |
† Source: Lipper Inc. |
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not |
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
The above graph compares a $10,000 investment made in Dreyfus S&P 500 Index Fund on 10/31/01 to a |
$10,000 investment made in the Standard & Poor’s 500 Composite Stock Price Index (the “Index”) on that date.All |
dividends and capital gain distributions are reinvested. |
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is a |
widely accepted, unmanaged index of U.S. stock market performance. Unlike a mutual fund, the Index is not subject to |
charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund |
performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the |
prospectus and elsewhere in this report. |
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from May 1, 2011 to October 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended October 31, 2011
Expenses paid per $1,000† | $2.43 | |
Ending value (after expenses) | $926.70 |
COMPARING YOUR FUND’S EXPENSES |
WITH THOSE OF OTHER FUNDS (Unaudited) |
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2011
Expenses paid per $1,000† | $2.55 |
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 184/365 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS |
October 31, 2011 |
Common Stocks—97.4% | Shares | Value ($) | |
Consumer Discretionary—10.1% | |||
Abercrombie & Fitch, Cl. A | 16,830 | 1,252,152 | |
Amazon.com | 69,170 | a | 14,768,487 |
Apollo Group, Cl. A | 22,898 | a | 1,084,220 |
AutoNation | 9,483 | a | 369,268 |
AutoZone | 5,529 | a | 1,789,129 |
Bed Bath & Beyond | 46,886 | a | 2,899,430 |
Best Buy | 60,600 | b | 1,589,538 |
Big Lots | 14,746 | a | 555,777 |
Cablevision Systems (NY Group), Cl. A | 42,212 | 610,808 | |
CarMax | 41,969 | a | 1,261,588 |
Carnival | 87,962 | 3,097,142 | |
CBS, Cl. B | 126,634 | 3,268,424 | |
Chipotle Mexican Grill | 5,937 | a | 1,995,544 |
Coach | 55,611 | 3,618,608 | |
Comcast, Cl. A | 527,043 | 12,359,158 | |
D.R. Horton | 50,816 | 565,582 | |
Darden Restaurants | 26,685 | b | 1,277,678 |
DeVry | 11,068 | 417,042 | |
DIRECTV, Cl. A | 140,775 | a | 6,399,632 |
Discovery Communications, Cl. A | 53,177 | a | 2,311,072 |
Expedia | 37,531 | b | 985,564 |
Family Dollar Stores | 22,828 | 1,338,406 | |
GameStop, Cl. A | 26,664 | a,b | 681,798 |
Gannett | 48,080 | 562,055 | |
Gap | 66,275 | 1,252,597 | |
Genuine Parts | 29,870 | 1,715,434 | |
Goodyear Tire & Rubber | 45,164 | a | 648,555 |
H&R Block | 56,134 | b | 858,289 |
Harley-Davidson | 44,189 | 1,718,952 | |
Harman International Industries | 14,010 | 604,672 | |
Hasbro | 23,109 | 879,529 | |
Home Depot | 298,156 | 10,673,985 | |
International Game Technology | 58,968 | 1,037,247 | |
Interpublic Group of Cos. | 89,585 | 849,266 | |
J.C. Penney | 27,508 | b | 882,457 |
Johnson Controls | 128,734 | 4,239,211 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Kohl’s | 54,267 | 2,876,694 | |
Leggett & Platt | 26,192 | 573,605 | |
Lennar, Cl. A | 32,312 | 534,440 | |
Limited Brands | 48,458 | 2,069,641 | |
Lowe’s | 240,317 | 5,051,463 | |
Macy’s | 82,534 | 2,519,763 | |
Marriott International, Cl. A | 54,585 | b | 1,719,427 |
Mattel | 65,395 | 1,846,755 | |
McDonald’s | 196,819 | 18,274,644 | |
McGraw-Hill | 58,258 | 2,475,965 | |
Netflix | 9,981 | a,b | 819,240 |
Newell Rubbermaid | 57,933 | 857,408 | |
News, Cl. A | 434,914 | 7,619,693 | |
NIKE, Cl. B | 72,145 | 6,951,171 | |
Nordstrom | 32,496 | 1,647,222 | |
O’Reilly Automotive | 26,183 | a | 1,991,217 |
Omnicom Group | 53,319 | 2,371,629 | |
Priceline.com | 9,432 | a | 4,788,815 |
Pulte Group | 70,424 | a,b | 364,796 |
Ralph Lauren | 12,496 | 1,984,240 | |
Ross Stores | 21,994 | 1,929,534 | |
Scripps Networks Interactive, Cl. A | 17,333 | 736,306 | |
Sears Holdings | 7,360 | a,b | 575,405 |
Stanley Black & Decker | 32,508 | 2,075,636 | |
Staples | 134,457 | 2,011,477 | |
Starbucks | 142,480 | 6,032,603 | |
Starwood Hotels & | |||
Resorts Worldwide | 37,760 | c | 1,892,154 |
Target | 128,702 | 7,046,434 | |
Tiffany & Co. | 24,210 | 1,930,263 | |
Time Warner | 199,157 | b | 6,968,503 |
Time Warner Cable | 61,996 | 3,948,525 | |
TJX | 73,276 | 4,318,155 | |
Urban Outfitters | 23,025 | a | 627,431 |
VF | 16,794 | b | 2,321,267 |
Viacom, Cl. B | 109,514 | 4,802,189 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Walt Disney | 353,762 | 12,339,219 | |
Washington Post, Cl. B | 981 | b | 333,697 |
Whirlpool | 14,014 | 712,051 | |
Wyndham Worldwide | 31,901 | 1,074,107 | |
Wynn Resorts | 15,223 | 2,021,614 | |
Yum! Brands | 88,434 | 4,737,409 | |
226,190,103 | |||
Consumer Staples—10.8% | |||
Altria Group | 394,723 | 10,874,619 | |
Archer-Daniels-Midland | 130,291 | 3,770,622 | |
Avon Products | 80,557 | 1,472,582 | |
Beam | 28,983 | 1,432,630 | |
Brown-Forman, Cl. B | 19,651 | b | 1,468,519 |
Campbell Soup | 35,507 | 1,180,608 | |
Clorox | 25,342 | 1,696,393 | |
Coca-Cola | 437,424 | 29,884,808 | |
Coca-Cola Enterprises | 61,117 | 1,639,158 | |
Colgate-Palmolive | 93,078 | 8,411,459 | |
ConAgra Foods | 77,036 | 1,951,322 | |
Constellation Brands, Cl. A | 32,721 | a | 661,619 |
Costco Wholesale | 83,103 | 6,918,325 | |
CVS Caremark | 258,214 | 9,373,168 | |
Dean Foods | 35,952 | a | 349,453 |
Dr. Pepper Snapple Group | 41,587 | 1,557,433 | |
Estee Lauder, Cl. A | 21,775 | 2,143,749 | |
General Mills | 123,159 | 4,745,316 | |
H.J. Heinz | 61,751 | 3,299,973 | |
Hershey | 28,695 | 1,642,215 | |
Hormel Foods | 26,435 | 779,039 | |
J.M. Smucker | 21,846 | 1,682,579 | |
Kellogg | 47,614 | 2,581,155 | |
Kimberly-Clark | 74,658 | 5,204,409 | |
Kraft Foods, Cl. A | 334,964 | 11,784,034 | |
Kroger | 116,228 | 2,694,165 | |
Lorillard | 26,390 | 2,920,317 | |
McCormick & Co. | 24,979 | 1,212,980 |
10
Common Stocks (continued) | Shares | Value ($) | |
Consumer Staples (continued) | |||
Mead Johnson Nutrition | 38,654 | 2,777,290 | |
Molson Coors Brewing, Cl. B | 30,798 | 1,303,987 | |
PepsiCo | 301,505 | 18,979,740 | |
Philip Morris International | 334,728 | 23,387,445 | |
Procter & Gamble | 523,668 | 33,509,515 | |
Reynolds American | 63,551 | 2,458,153 | |
Safeway | 67,189 | b | 1,301,451 |
Sara Lee | 109,729 | 1,953,176 | |
SUPERVALU | 44,476 | b | 356,698 |
Sysco | 111,374 | 3,087,287 | |
Tyson Foods, Cl. A | 55,377 | 1,068,776 | |
Wal-Mart Stores | 335,465 | 19,027,575 | |
Walgreen | 174,098 | 5,780,054 | |
Whole Foods Market | 30,018 | 2,164,898 | |
240,488,694 | |||
Energy—11.9% | |||
Alpha Natural Resources | 42,390 | a | 1,019,056 |
Anadarko Petroleum | 94,163 | 7,391,795 | |
Apache�� | 72,978 | 7,270,798 | |
Baker Hughes | 82,138 | 4,763,183 | |
Cabot Oil & Gas | 20,086 | 1,561,084 | |
Cameron International | 46,041 | a | 2,262,455 |
Chesapeake Energy | 125,631 | 3,532,744 | |
Chevron | 381,622 | 40,089,391 | |
ConocoPhillips | 261,738 | 18,230,052 | |
Consol Energy | 42,703 | 1,825,980 | |
Denbury Resources | 75,143 | a | 1,179,745 |
Devon Energy | 80,390 | 5,221,331 | |
Diamond Offshore Drilling | 13,076 | b | 857,001 |
El Paso | 145,469 | 3,638,180 | |
EOG Resources | 51,427 | 4,599,117 | |
EQT | 29,024 | 1,843,024 | |
Exxon Mobil | 926,577 | 72,356,398 | |
FMC Technologies | 46,108 | a | 2,066,561 |
Halliburton | 174,136 | 6,505,721 | |
Helmerich & Payne | 19,961 | b | 1,061,526 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Hess | 57,294 | 3,584,313 | |
Marathon Oil | 135,018 | 3,514,519 | |
Marathon Petroleum | 67,275 | 2,415,173 | |
Murphy Oil | 36,255 | 2,007,439 | |
Nabors Industries | 56,761 | a | 1,040,429 |
National Oilwell Varco | 79,982 | 5,705,116 | |
Newfield Exploration | 24,617 | a | 991,080 |
Noble | 47,176 | a | 1,695,505 |
Noble Energy | 33,223 | 2,968,143 | |
Occidental Petroleum | 154,113 | 14,323,262 | |
Peabody Energy | 51,169 | 2,219,200 | |
Pioneer Natural Resources | 22,355 | 1,875,585 | |
QEP Resources | 34,081 | 1,211,580 | |
Range Resources | 30,130 | 2,074,149 | |
Rowan | 23,512 | a | 810,929 |
Schlumberger | 257,435 | 18,913,749 | |
Southwestern Energy | 65,416 | a | 2,750,089 |
Spectra Energy | 123,141 | 3,525,527 | |
Sunoco | 22,710 | 845,493 | |
Tesoro | 28,786 | a | 746,709 |
Valero Energy | 107,240 | 2,638,104 | |
Williams | 111,323 | 3,351,936 | |
266,483,171 | |||
Financial—13.6% | |||
ACE | 64,000 | 4,617,600 | |
Aflac | 89,929 | 4,054,899 | |
Allstate | 98,843 | 2,603,525 | |
American Express | 199,214 | 10,084,213 | |
American International Group | 82,231 | a | 2,030,283 |
Ameriprise Financial | 45,017 | 2,101,394 | |
Aon | 63,404 | 2,955,894 | |
Apartment Investment & | |||
Management, Cl. A | 23,505 | c | 579,868 |
Assurant | 19,137 | 737,540 | |
AvalonBay Communities | 17,895 | c | 2,392,383 |
Bank of America | 1,921,401 | 13,123,169 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Bank of New York Mellon | 234,631 | 4,992,948 | |
BB&T | 131,793 | 3,076,049 | |
Berkshire Hathaway, Cl. B | 334,980 | a | 26,081,543 |
BlackRock | 18,699 | 2,950,515 | |
Boston Properties | 27,862 | c | 2,758,059 |
Capital One Financial | 86,631 | b | 3,955,571 |
CBRE Group, | 61,813 | a | 1,099,035 |
Charles Schwab | 205,058 | 2,518,112 | |
Chubb | 54,512 | b | 3,655,030 |
Cincinnati Financial | 29,829 | b | 863,251 |
Citigroup | 553,917 | 17,498,238 | |
CME Group | 12,883 | 3,550,039 | |
Comerica | 38,224 | 976,623 | |
Discover Financial Services | 103,158 | 2,430,402 | |
E*TRADE Financial | 44,378 | a | 481,501 |
Equity Residential | 55,842 | c | 3,276,809 |
Federated Investors, Cl. B | 18,041 | 352,521 | |
Fifth Third Bancorp | 172,031 | 2,066,092 | |
First Horizon National | 52,950 | b | 370,121 |
Franklin Resources | 27,700 | 2,953,651 | |
Genworth Financial, Cl. A | 98,645 | a | 629,355 |
Goldman Sachs Group | 96,417 | 10,562,482 | |
Hartford Financial | |||
Services Group | 86,714 | 1,669,245 | |
HCP | 76,838 | b,c | 3,061,994 |
Health Care REIT | 34,183 | c | 1,801,102 |
Host Hotels & Resorts | 132,254 | c | 1,887,265 |
Hudson City Bancorp | 106,710 | b | 666,938 |
Huntington Bancshares | 158,789 | 822,527 | |
IntercontinentalExchange | 14,041 | a | 1,823,645 |
Invesco | 86,318 | 1,732,402 | |
Janus Capital Group | 33,111 | b | 217,208 |
JPMorgan Chase & Co. | 743,124 | 25,830,990 | |
KeyCorp | 185,921 | 1,312,602 | |
Kimco Realty | 77,066 | c | 1,346,343 |
Legg Mason | 27,487 | b | 755,893 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Leucadia National | 36,724 | 985,305 | |
Lincoln National | 61,344 | 1,168,603 | |
Loews | 58,913 | 2,338,846 | |
M&T Bank | 24,210 | 1,842,623 | |
Marsh & McLennan | 103,741 | 3,176,549 | |
MetLife | 201,066 | 7,069,481 | |
Moody’s | 38,165 | b | 1,354,476 |
Morgan Stanley | 280,734 | 4,952,148 | |
NASDAQ OMX Group | 24,354 | a | 610,068 |
Northern Trust | 45,243 | 1,830,984 | |
NYSE Euronext | 49,071 | 1,303,816 | |
People’s United Financial | 69,251 | 882,950 | |
Plum Creek Timber | 31,225 | b,c | 1,175,934 |
PNC Financial Services Group | 99,968 | 5,369,281 | |
Principal Financial Group | 60,301 | 1,554,560 | |
Progressive | 123,461 | 2,346,994 | |
ProLogis | 87,310 | c | 2,598,346 |
Prudential Financial | 93,483 | 5,066,779 | |
Public Storage | 26,648 | c | 3,438,924 |
Regions Financial | 243,569 | 957,226 | |
Simon Property Group | 55,795 | c | 7,166,310 |
SLM | 100,764 | 1,377,444 | |
State Street | 94,993 | 3,836,767 | |
SunTrust Banks | 100,668 | 1,986,180 | |
T. Rowe Price Group | 49,999 | 2,641,947 | |
Torchmark | 19,381 | 793,264 | |
Travelers | 79,472 | 4,637,191 | |
U.S. Bancorp | 366,814 | 9,386,770 | |
Unum Group | 60,207 | 1,435,335 | |
Ventas | 54,416 | c | 3,026,074 |
Vornado Realty Trust | 35,057 | c | 2,903,070 |
Wells Fargo & Co. | 1,003,706 | 26,006,022 | |
Weyerhaeuser | 101,376 | c | 1,822,740 |
XL Group | 60,347 | 1,311,944 | |
Zions Bancorporation | 34,936 | b | 606,489 |
304,268,309 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care—11.2% | |||
Abbott Laboratories | 296,544 | 15,974,825 | |
Aetna | 71,450 | 2,840,852 | |
Agilent Technologies | 65,746 | a | 2,437,204 |
Allergan | 57,884 | 4,869,202 | |
AmerisourceBergen | 51,410 | 2,097,528 | |
Amgen | 177,088 | 10,141,830 | |
Baxter International | 108,459 | 5,963,076 | |
Becton Dickinson & Co. | 41,234 | 3,225,736 | |
Biogen Idec | 45,873 | a | 5,337,782 |
Boston Scientific | 295,908 | a | 1,742,898 |
Bristol-Myers Squibb | 324,920 | 10,264,223 | |
C.R. Bard | 16,494 | 1,417,659 | |
Cardinal Health | 66,340 | 2,936,872 | |
CareFusion | 41,653 | a | 1,066,317 |
Celgene | 87,501 | a | 5,672,690 |
Cerner | 27,473 | a | 1,742,612 |
Cigna | 50,841 | 2,254,290 | |
Coventry Health Care | 28,255 | a | 898,792 |
Covidien | 94,174 | 4,429,945 | |
DaVita | 17,799 | a | 1,245,930 |
DENTSPLY International | 26,008 | b | 961,256 |
Edwards Lifesciences | 22,297 | a | 1,681,640 |
Eli Lilly & Co. | 193,849 | b | 7,203,429 |
Express Scripts | 92,680 | a,b | 4,238,256 |
Forest Laboratories | 53,617 | a | 1,678,212 |
Gilead Sciences | 147,041 | a | 6,125,728 |
Hospira | 31,290 | a | 984,071 |
Humana | 32,495 | 2,758,501 | |
Intuitive Surgical | 7,433 | a | 3,224,881 |
Johnson & Johnson | 522,094 | 33,617,633 | |
Laboratory Corp. of America Holdings | 18,741 | a,b | 1,571,433 |
Life Technologies | 33,329 | a | 1,355,490 |
McKesson | 47,570 | 3,879,334 | |
Medco Health Solutions | 73,518 | a | 4,033,197 |
Medtronic | 202,416 | 7,031,932 | |
Merck & Co. | 585,572 | 20,202,234 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Mylan | 81,293 | a | 1,590,904 |
Patterson | 19,262 | 606,175 | |
PerkinElmer | 21,276 | 439,775 | |
Pfizer | 1,486,828 | 28,636,307 | |
Quest Diagnostics | 29,845 | 1,665,351 | |
St. Jude Medical | 62,243 | 2,427,477 | |
Stryker | 63,179 | 3,026,906 | |
Tenet Healthcare | 97,717 | a | 462,201 |
Thermo Fisher Scientific | 72,721 | a | 3,655,685 |
UnitedHealth Group | 206,357 | 9,903,072 | |
Varian Medical Systems | 22,447 | a,b | 1,318,088 |
Waters | 17,179 | a | 1,376,381 |
Watson Pharmaceuticals | 24,038 | a | 1,614,392 |
WellPoint | 69,701 | 4,802,399 | |
Zimmer Holdings | 36,354 | a | 1,913,311 |
250,545,914 | |||
Industrial—10.6% | |||
3M | 135,386 | b | 10,698,202 |
Avery Dennison | 20,459 | 544,209 | |
Boeing | 140,590 | 9,249,416 | |
C.H. Robinson Worldwide | 30,754 | 2,135,250 | |
Caterpillar | 122,777 | 11,597,515 | |
Cintas | 20,294 | b | 606,588 |
CSX | 208,239 | 4,624,988 | |
Cummins | 36,999 | 3,678,811 | |
Danaher | 108,346 | 5,238,529 | |
Deere & Co. | 78,885 | 5,987,372 | |
Dover | 34,968 | 1,941,773 | |
Dun & Bradstreet | 9,893 | 661,446 | |
Eaton | 65,761 | 2,947,408 | |
Emerson Electric | 142,995 | 6,880,919 | |
Equifax | 23,482 | 825,392 | |
Expeditors International of Washington | 39,759 | 1,813,010 | |
Fastenal | 57,193 | b | 2,178,481 |
FedEx | 59,628 | 4,879,359 | |
Flowserve | 10,751 | 996,510 | |
Fluor | 33,251 | 1,890,319 |
16
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Ford Motor | 722,930 | a | 8,443,822 |
General Dynamics | 68,954 | 4,426,157 | |
General Electric | 2,019,586 | 33,747,282 | |
Goodrich | 23,432 | 2,873,466 | |
Honeywell International | 148,955 | 7,805,242 | |
Illinois Tool Works | 94,934 | 4,616,640 | |
Ingersoll-Rand | 62,400 | 1,942,512 | |
Iron Mountain | 38,640 | b | 1,195,135 |
Jacobs Engineering Group | 23,397 | a | 907,804 |
Joy Global | 19,728 | 1,720,282 | |
L-3 Communications | |||
Holdings | 20,600 | 1,396,268 | |
Lockheed Martin | 52,469 | b | 3,982,397 |
Masco | 68,733 | 659,837 | |
Norfolk Southern | 66,290 | 4,904,797 | |
Northrop Grumman | 52,620 | 3,038,805 | |
PACCAR | 70,162 | b | 3,033,805 |
Pall | 21,486 | 1,099,439 | |
Parker Hannifin | 29,578 | 2,412,086 | |
Pitney Bowes | 39,115 | b | 797,164 |
Precision Castparts | 27,173 | 4,433,275 | |
Quanta Services | 42,643 | a | 890,812 |
R.R. Donnelley & Sons | 34,678 | b | 565,251 |
Raytheon | 67,416 | 2,979,113 | |
Republic Services | 60,902 | 1,733,271 | |
Robert Half International | 29,225 | b | 772,417 |
Rockwell Automation | 27,365 | 1,851,242 | |
Rockwell Collins | 28,749 | 1,605,057 | |
Roper Industries | 18,411 | 1,493,132 | |
Ryder System | 10,206 | 519,894 | |
Snap-on | 10,561 | 566,809 | |
Southwest Airlines | 151,228 | 1,292,999 | |
Stericycle | 16,537 | a,b | 1,382,162 |
Textron | 54,962 | b | 1,067,362 |
Tyco International | 89,600 | 4,081,280 | |
Union Pacific | 93,395 | 9,299,340 | |
United Parcel Service, Cl. B | 186,958 | 13,131,930 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
United Technologies | 173,520 | 13,531,090 | |
W.W. Grainger | 11,573 | 1,982,571 | |
Waste Management | 90,222 | b | 2,971,010 |
Xylem | 35,285 | a | 943,521 |
235,471,975 | |||
Information Technology—19.2% | |||
Accenture, Cl. A | 123,506 | 7,442,472 | |
Adobe Systems | 96,632 | a | 2,841,947 |
Advanced Micro Devices | 115,004 | a,b | 670,473 |
Akamai Technologies | 36,831 | a | 992,227 |
Altera | 60,495 | 2,293,970 | |
Amphenol, Cl. A | 33,076 | b | 1,570,779 |
Analog Devices | 57,634 | 2,107,675 | |
Apple | 176,537 | a | 71,458,647 |
Applied Materials | 248,102 | 3,056,617 | |
Autodesk | 42,914 | a | 1,484,824 |
Automatic Data Processing | 93,332 | 4,884,064 | |
BMC Software | 33,628 | a | 1,168,909 |
Broadcom, Cl. A | 90,378 | a | 3,261,742 |
CA | 70,857 | 1,534,763 | |
Cisco Systems | 1,047,876 | 19,417,142 | |
Citrix Systems | 35,446 | a | 2,581,532 |
Cognizant Technology Solutions, Cl. A | 58,150 | a | 4,230,413 |
Computer Sciences | 30,641 | 963,966 | |
Compuware | 44,846 | a | 378,949 |
Corning | 298,060 | 4,259,277 | |
Dell | 295,797 | a | 4,676,551 |
eBay | 217,266 | a | 6,915,577 |
Electronic Arts | 62,012 | a | 1,447,980 |
EMC | 391,775 | a | 9,602,405 |
F5 Networks | 15,449 | a | 1,605,924 |
Fidelity National Information Services | 47,312 | 1,238,628 | |
First Solar | 11,160 | a,b | 555,433 |
Fiserv | 26,960 | a | 1,587,135 |
FLIR Systems | 30,941 | 813,748 | |
Google, Cl. A | 47,980 | a | 28,434,867 |
18
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Harris | 22,196 | 837,899 | |
Hewlett-Packard | 395,093 | 10,513,425 | |
Intel | 1,000,601 | 24,554,749 | |
International Business Machines | 227,598 | 42,021,419 | |
Intuit | 57,801 | 3,102,180 | |
Jabil Circuit | 33,872 | 696,408 | |
JDS Uniphase | 42,350 | a | 508,200 |
Juniper Networks | 102,222 | a | 2,501,372 |
KLA-Tencor | 31,184 | 1,468,455 | |
Lexmark International, Cl. A | 16,111 | 510,719 | |
Linear Technology | 42,366 | 1,368,845 | |
LSI | 105,139 | a | 657,119 |
MasterCard, Cl. A | 20,287 | 7,044,458 | |
MEMC Electronic Materials | 46,520 | a,b | 278,655 |
Microchip Technology | 35,403 | b | 1,280,172 |
Micron Technology | 190,736 | a | 1,066,214 |
Microsoft | 1,420,652 | 37,831,963 | |
Molex | 27,123 | b | 669,667 |
Monster Worldwide | 26,353 | a | 243,238 |
Motorola Mobility Holdings | 49,942 | a | 1,941,745 |
Motorola Solutions | 57,661 | 2,704,878 | |
NetApp | 70,636 | a | 2,893,251 |
Novellus Systems | 12,382 | a,b | 427,798 |
NVIDIA | 115,753 | a | 1,713,144 |
Oracle | 752,625 | 24,663,521 | |
Paychex | 61,300 | 1,786,282 | |
QUALCOMM | 319,979 | 16,510,916 | |
Red Hat | 36,872 | a | 1,830,695 |
SAIC | 52,631 | a,b | 654,203 |
Salesforce.com | 25,763 | a | 3,430,859 |
SanDisk | 45,434 | a | 2,302,141 |
Symantec | 141,997 | a | 2,415,369 |
TE Connectivity | 82,500 | 2,932,875 | |
Tellabs | 78,596 | 340,321 | |
Teradata | 31,719 | a | 1,892,356 |
Teradyne | 36,533 | a,b | 523,153 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Texas Instruments | 220,765 | 6,784,108 | |
Total System Services | 29,432 | 585,402 | |
VeriSign | 31,262 | 1,003,198 | |
Visa, Cl. A | 97,338 | b | 9,077,742 |
Western Digital | 43,259 | a | 1,152,420 |
Western Union | 121,829 | 2,128,353 | |
Xerox | 269,783 | 2,206,825 | |
Xilinx | 50,600 | 1,693,076 | |
Yahoo! | 240,723 | a | 3,764,908 |
427,993,332 | |||
Materials—3.5% | |||
Air Products & Chemicals | 39,943 | 3,440,690 | |
Airgas | 13,582 | 936,479 | |
AK Steel Holding | 23,726 | b | 197,638 |
Alcoa | 201,022 | 2,162,997 | |
Allegheny Technologies | 19,686 | 913,430 | |
Ball | 32,946 | 1,138,943 | |
Bemis | 20,628 | b | 579,853 |
CF Industries Holdings | 13,512 | 2,192,592 | |
Cliffs Natural Resources | 27,296 | 1,862,133 | |
Dow Chemical | 223,566 | 6,233,020 | |
E.I. du Pont de Nemours & Co. | 176,812 | 8,499,353 | |
Eastman Chemical | 27,680 | 1,087,547 | |
Ecolab | 43,589 | b | 2,346,832 |
FMC | 14,007 | 1,105,012 | |
Freeport-McMoRan Copper & Gold | 180,346 | 7,260,730 | |
International Flavors & Fragrances | 14,831 | 898,165 | |
International Paper | 83,611 | 2,316,025 | |
MeadWestvaco | 32,383 | 903,810 | |
Monsanto | 102,002 | 7,420,646 | |
Mosaic | 52,691 | 3,085,585 | |
Newmont Mining | 93,399 | 6,241,855 | |
Nucor | 59,627 | 2,252,708 | |
Owens-Illinois | 31,473 | a | 631,978 |
20
Common Stocks (continued) | Shares | Value ($) | |
Materials (continued) | |||
PPG Industries | 30,532 | 2,638,270 | |
Praxair | 57,803 | 5,876,831 | |
Sealed Air | 31,883 | 567,517 | |
Sherwin-Williams | 17,230 | 1,425,093 | |
Sigma-Aldrich | 23,648 | 1,548,471 | |
Titanium Metals | 16,535 | b | 276,961 |
United States Steel | 27,293 | b | 692,150 |
Vulcan Materials | 24,729 | 773,770 | |
77,507,084 | |||
Telecommunication Services—2.9% | |||
American Tower, Cl. A | 75,261 | a | 4,146,881 |
AT&T | 1,129,001 | 33,091,019 | |
CenturyLink | 115,454 | 4,070,908 | |
Frontier Communications | 192,803 | b | 1,206,947 |
MetroPCS Communications | 51,728 | a | 439,688 |
Sprint Nextel | 561,014 | a | 1,441,806 |
Verizon Communications | 539,269 | 19,942,168 | |
Windstream | 97,606 | 1,187,865 | |
65,527,282 | |||
Utilities—3.6% | |||
AES | 122,428 | a | 1,373,642 |
Ameren | 46,377 | 1,478,499 | |
American Electric Power | 90,854 | 3,568,745 | |
CenterPoint Energy | 79,957 | 1,666,304 | |
CMS Energy | 47,029 | 979,144 | |
Consolidated Edison | 55,749 | 3,226,195 | |
Constellation Energy Group | 38,647 | 1,534,286 | |
Dominion Resources | 108,857 | 5,615,933 | |
DTE Energy | 31,659 | 1,649,750 | |
Duke Energy | 252,893 | 5,164,075 | |
Edison International | 61,522 | 2,497,793 | |
Entergy | 33,992 | 2,351,227 | |
Exelon | 125,244 | 5,559,581 | |
FirstEnergy | 78,873 | 3,546,130 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Utilities (continued) | |||
Integrys Energy Group | 14,129 | 747,565 | |
NextEra Energy | 79,696 | b | 4,494,854 |
Nicor | 8,194 | 460,913 | |
NiSource | 53,735 | 1,187,006 | |
Northeast Utilities | 33,023 | 1,141,605 | |
NRG Energy | 44,729 | a | 958,095 |
ONEOK | 19,980 | 1,519,479 | |
Pepco Holdings | 44,188 | 874,922 | |
PG&E | 75,385 | 3,234,017 | |
Pinnacle West Capital | 20,917 | 953,397 | |
PPL | 110,311 | 3,239,834 | |
Progress Energy | 55,717 | 2,902,856 | |
Public Service Enterprise Group | 95,853 | 3,230,246 | |
SCANA | 22,560 | b | 953,837 |
Sempra Energy | 45,235 | 2,430,477 | |
Southern | 163,375 | 7,057,800 | |
TECO Energy | 39,043 | b | 725,029 |
Wisconsin Energy | 45,208 | 1,466,095 | |
Xcel Energy | 90,937 | 2,350,720 | |
80,140,051 | |||
Total Common Stocks | |||
(cost $1,401,890,956) | 2,174,615,915 | ||
Principal | |||
Short-Term Investments—.2% | Amount ($) | Value ($) | |
U.S. Treasury Bills: | |||
0.04%, 3/8/12 | 2,680,000 | d | 2,679,786 |
0.03%, 3/22/12 | 1,270,000 | d | 1,269,837 |
Total Short-Term Investments | |||
(cost $3,949,514) | 3,949,623 | ||
Other Investment—2.3% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $51,146,476) | 51,146,476 | e | 51,146,476 |
22
Investment of Cash Collateral | ||||
for Securities Loaned—1.5% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash | ||||
Advantage Fund | ||||
(cost $32,662,023) | 32,662,023 | e | 32,662,023 | |
Total Investments (cost $1,489,648,969) | 101.4 | % | 2,262,374,037 | |
Liabilities, Less Cash and Receivables | (1.4 | %) | (31,849,981 | ) |
Net Assets | 100.0 | % | 2,230,524,056 |
REIT—Real Estate Investment Trust
a Non-income producing security. |
b Security, or portion thereof, on loan.At October 31, 2011, the value of the fund’s securities on loan was |
$31,238,831 and the value of the collateral held by the fund was $32,909,422, consisting of cash collateral of |
$32,662,023 and U.S. Government and Agency securities valued at $247,399. |
c Investment in real estate investment trust. |
d Held by a broker as collateral for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Information Technology | 19.2 | Short-Term/ | |
Financial | 13.6 | Money Market Investments | 4.0 |
Energy | 11.9 | Utilities | 3.6 |
Health Care | 11.2 | Materials | 3.5 |
Consumer Staples | 10.8 | Telecommunication Services | 2.9 |
Industrial | 10.6 | ||
Consumer Discretionary | 10.1 | 101.4 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund | 23 |
STATEMENT OF FINANCIAL FUTURES |
October 31, 2011 |
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2011 | ($) | |
Financial Futures Long | |||||
Standard & Poor’s 500 E-mini | 917 | 57,280,405 | December 2011 | 3,338,925 | |
See notes to financial statements. |
24
STATEMENT OF ASSETS AND LIABILITIES |
October 31, 2011 |
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments (including | |||
securities on loan, valued at $31,238,831)—Note 1(b): | |||
Unaffiliated issuers | 1,405,840,470 | 2,178,565,538 | |
Affiliated issuers | 83,808,499 | 83,808,499 | |
Cash | 1,836,894 | ||
Dividends and securities lending income receivable | 2,494,077 | ||
Receivable for investment securities sold | 1,627,234 | ||
Receivable for shares of Common Stock subscribed | 1,422,588 | ||
2,269,754,830 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 912,150 | ||
Liability for securities on loan—Note 1(b) | 32,662,023 | ||
Payable for shares of Common Stock redeemed | 3,256,288 | ||
Payable for futures variation margin—Note 4 | 1,457,498 | ||
Payable for investment securities purchased | 942,815 | ||
39,230,774 | |||
Net Assets ($) | 2,230,524,056 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 1,467,002,913 | ||
Accumulated undistributed investment income—net | 27,402,391 | ||
Accumulated net realized gain (loss) on investments | (39,945,241 | ) | |
Accumulated net unrealized appreciation (depreciation) | |||
on investments (including $3,338,925 net unrealized | |||
appreciation on financial futures) | 776,063,993 | ||
Net Assets ($) | 2,230,524,056 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 63,920,183 | ||
Net Asset Value, offering and redemption price per share ($) | 34.90 | ||
See notes to financial statements. |
The Fund | 25 |
STATEMENT OF OPERATIONS |
Year Ended October 31, 2011 |
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 48,447,240 | |
Affiliated issuers | 27,666 | |
Income from securities lending—Note 1(b) | 169,803 | |
Interest | 1,647 | |
Total Income | 48,646,356 | |
Expenses: | ||
Management fee—Note 3(a) | 5,926,662 | |
Shareholder servicing costs—Note 3(b) | 5,926,662 | |
Directors’ fees—Note 3(a) | 125,859 | |
Loan commitment fees—Note 2 | 31,851 | |
Interest expense—Note 2 | 3,325 | |
Total Expenses | 12,014,359 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (125,859 | ) |
Net Expenses | 11,888,500 | |
Investment Income—Net | 36,757,856 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 8,634,392 | |
Net realized gain (loss) on financial futures | 1,015,091 | |
Net Realized Gain (Loss) | 9,649,483 | |
Net unrealized appreciation (depreciation) on investments | 128,035,451 | |
Net unrealized appreciation (depreciation) on financial futures | 3,052,993 | |
Net Unrealized Appreciation (Depreciation) | 131,088,444 | |
Net Realized and Unrealized Gain (Loss) on Investments | 140,737,927 | |
Net Increase in Net Assets Resulting from Operations | 177,495,783 | |
See notes to financial statements. |
26
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2011 | 2010 | |||
Operations ($): | ||||
Investment income—net | 36,757,856 | 35,571,695 | ||
Net realized gain (loss) on investments | 9,649,483 | 105,997,529 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 131,088,444 | 199,240,314 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 177,495,783 | 340,809,538 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (34,804,705 | ) | (38,533,901 | ) |
Net realized gain on investments | (51,832,641 | ) | — | |
Total Dividends | (86,637,346 | ) | (38,533,901 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 531,886,911 | 485,529,471 | ||
Dividends reinvested | 84,742,937 | 37,789,348 | ||
Cost of shares redeemed | (804,836,248 | ) | (736,607,359 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (188,206,400 | ) | (213,288,540 | ) |
Total Increase (Decrease) in Net Assets | (97,347,963 | ) | 88,987,097 | |
Net Assets ($): | ||||
Beginning of Period | 2,327,872,019 | 2,238,884,922 | ||
End of Period | 2,230,524,056 | 2,327,872,019 | ||
Undistributed investment income—net | 27,402,391 | 25,855,411 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 15,132,550 | 15,329,187 | ||
Shares issued for dividends reinvested | 2,446,143 | 1,196,255 | ||
Shares redeemed | (22,893,993 | ) | (23,322,185 | ) |
Net Increase (Decrease) in Shares Outstanding | (5,315,300 | ) | (6,796,743 | ) |
See notes to financial statements. |
The Fund | 27 |
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, | ||||||||||
beginning of period | 33.62 | 29.45 | 27.66 | 44.18 | 40.57 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .55 | .49 | .53 | .66 | .61 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 2.00 | 4.19 | 1.93 | (16.51 | ) | 4.90 | ||||
Total from Investment Operations | 2.55 | 4.68 | 2.46 | (15.85 | ) | 5.51 | ||||
Distributions: | ||||||||||
Dividends from | ||||||||||
investment income—net | (.51 | ) | (.51 | ) | (.67 | ) | (.67 | ) | (.56 | ) |
Dividends from net realized | ||||||||||
gain on investments | (.76 | ) | — | — | — | (1.34 | ) | |||
Total Distributions | (1.27 | ) | (.51 | ) | (.67 | ) | (.67 | ) | (1.90 | ) |
Net asset value, end of period | 34.90 | 33.62 | 29.45 | 27.66 | 44.18 | |||||
Total Return (%) | 7.61 | 16.02 | 9.42 | (36.38 | ) | 14.05 | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .51 | .51 | .51 | .51 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 1.55 | 1.55 | 2.06 | 1.77 | 1.47 | |||||
Portfolio Turnover Rate | 3.38 | 5.45 | 4.36 | 4.95 | 4.71 | |||||
Net Assets, end of period | ||||||||||
($ x 1,000) | 2,230,524 | 2,327,872 | 2,238,885 | 2,090,178 | 3,735,372 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
28
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective is to match the performance of the Standard & Poor’s 500 Composite Stock Price Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”), 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.
The Fund | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
(a) Portfolio valuation: 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
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
30
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.All preceding securities are categorized within Level 1 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
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. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Certain factors may be considered when fair valuing investments 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. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
The Fund | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.These securities are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2011 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Domestic† | 2,174,615,915 | — | — | 2,174,615,915 |
Mutual Funds | 83,808,499 | — | — | 83,808,499 |
U.S. Treasury | — | 3,949,623 | — | 3,949,623 |
Other Financial | ||||
Instruments: | ||||
Futures†† | 3,338,925 | — | — | 3,338,925 |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation at period end. |
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measure-
32
ment to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value mea-surements.The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2011, The Bank of New York Mellon earned $72,775 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act.
The Fund | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended October 31, 2011 were as follows:
Affiliated | |||||||
Investment | Value | Value | Net | ||||
Company | 10/31/2010 | ($) | Purchases ($) | Sales ($) | 10/31/2011 | ($) | Assets (%) |
Dreyfus | |||||||
Institutional | |||||||
Preferred | |||||||
Plus Money | |||||||
Market | |||||||
Fund | 4,865,000 | 393,785,258 | 347,503,782 | 51,146,476 | 2.3 | ||
Dreyfus | |||||||
Institutional | |||||||
Cash | |||||||
Advantage | |||||||
Fund† | 51,226,301 | 1,098,897,011 | 1,117,461,289 | 32,662,023 | 1.5 | ||
Total | 56,091,301 | 1,492,682,269 | 1,464,965,071 | 83,808,499 | 3.8 |
† | On June 7, 2011, Dreyfus Institutional Cash Advantage Plus Fund was acquired by Dreyfus |
Institutional Cash Advantage Fund, resulting in a transfer of shares. |
(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 October 31, 2011, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes
34
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 four-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2011, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $30,073,291, undistributed capital gains $10,739,883 and unrealized appreciation $722,707,969.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2011 and October 31, 2010 were as follows: ordinary income $34,804,705 and $38,533,901 and long-term capital gains $51,832,641 and $0, respectively.
During the period ended October 31, 2011, as a result of permanent book to tax differences, primarily due to the tax treatment for real estate investment trusts, the fund decreased accumulated undistributed investment income-net by $406,171 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank 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 Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2011, was approximately $240,500 with a related weighted average annualized interest rate of 1.38%.
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 expense, commitment fees on borrowings, 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.Annual retainer fees and attendance fees are allocated to each fund based on net assets. During the period ended October 31, 2011, fees reimbursed by the Manager amounted to $125,859.
(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 October 31, 2011, the fund was charged $5,926,662 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 $456,075 and shareholder services plan fees $456,075.
36
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2011, amounted to $79,445,940 and $359,304,653, respectively.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at October 31, 2011 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2011:
Average Market Value ($) | |
Equity futures contracts | 28,428,213 |
At October 31, 2011, the cost of investments for federal income tax purposes was $1,539,666,068; accordingly, accumulated net unrealized appreciation on investments was $722,707,969, consisting of $962,223,416 gross unrealized appreciation and $239,515,447 gross unrealized depreciation.
The Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE 5—Pending Legal Matters:
The fund and more than two hundred other entities have been named as defendants in two pending litigations (Deutsche Bank Trust Co., Americas et al. v.Adaly Opportunity Fund TD Secs. Inc. et al., No. 11-cv-04784, filed July 12, 2011 in the United States District Court for the Southern District of NewYork (“Deutsche Bank v.Adaly”), and Niese et al. v.Alliance Bernstein L.P. et al., No. 11-cv-04538, filed July 1, 2011 in the United States District Court for the Southern District of New York) against shareholders of the Tribune Company who received payment for their shares in June or December 2007, as part of a leveraged buyout of the company (the “LBO”).Approximately one year after the LBO was concluded, the Tribune Company filed for bankruptcy. Thereafter, in approximately June 2011, certain Tribune Company creditors filed dozens of complaints in various courts throughout the country, including complaints in the two actions referred to above, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances,” and that the shareholders must return the payments they received for their shares to satisfy the plaintiffs’ unpaid claims. In Deutsche Bank v.Adaly, the fund and eleven other defendants are named as shareholder defendants class representatives.
In addition, there is a case pending in United States Bankruptcy Court for the District of Delaware brought by the Unsecured Creditors Committee of the Tribune Company (The Official Committee of Unsecured Creditors of Tribune Co. v. Fitzsimons et al., Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC), filed Nov. 1, 2010). In this case, the Creditors Committee seeks recovery for alleged “fraudulent conveyances” from approximately 27,000 Tribune shareholders, including the fund, in an Amended Complaint filed in December 2010.
At this early stage in the proceedings, it is not possible to assess with any reasonable certainty the probable outcomes of the pending litigations. Consequently, at this time, management is unable to estimate the possible loss or range of loss that may result.
38
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors
Dreyfus S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus S&P 500 Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and financial highlights for each of the years indicated therein.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011 by correspondence with the custodian and others.We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus S&P 500 Index Fund at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the indicated years, in conformity with U.S. generally accepted accounting principles.
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New York, New York |
December 29, 2011 |
The Fund | 39 |
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby designates 100% of the ordinary dividends paid during the fiscal year ended October 31, 2011 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2011, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $34,804,705 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2012 of the percentage applicable to the preparation of their 2011 income tax returns.Also, the fund hereby designates $.7573 per share as a long-term capital gain distribution paid on December 29, 2010 and also designates $.0026 per share as a long-term capital gain distribution paid on March 29, 2011.
40
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (68) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 167 |
——————— |
Peggy C. Davis (68) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law |
• Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences |
and the law, legal process and professional methodology and training |
No. of Portfolios for which Board Member Serves: 53 |
——————— |
David P. Feldman (71) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 50 |
The Fund | 41 |
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Ehud Houminer (71) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-present) |
No. of Portfolios for which Board Member Serves: 64 |
——————— |
Dr. Martin Peretz (72) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 35 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
42
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 75 investment companies (comprised of 167 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1988.
MICHAEL A. ROSENBERG, Vice President and Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1991.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 38 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 2000.
KATHLEEN DENICHOLAS, Vice President and Assistant Secretary since January 2010.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 37 years old and has been an employee of the Manager since February 2001.
JANETTE E. FARRAGHER, Vice President and Assistant Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 48 years old and has been an employee of the Manager since February 1984.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since February 1991.
M. CRISTINA MEISER, Vice President and Assistant Secretary since January 2010.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 41 years old and has been an employee of the Manager since August 2001.
The Fund | 43 |
OFFICERS OF THE FUND (Unaudited) (continued)
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since April 1991.
ROBERT ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since November 1990.
44
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (76 investment companies, comprised of 192 portfolios). From November 2001 through March 2004, Mr. Connolly was first Vice-President, Mutual Fund Servicing for Mellon Global Securities Services. In that capacity, Mr. Connolly was responsible for managing Mellon’s Custody, Fund Accounting and Fund Administration services to third-party mutual fund clients. He is 54 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
STEPHEN J. STOREN, Anti-Money Laundering Compliance Officer since May 2011.
Chief Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 72 investment companies (comprised of 188 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Distributor since October 1999.
The Fund | 45 |
`
For More Information
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/spincsrx48x1.jpg)
Ticker Symbol: PEOPX
Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
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Dreyfus |
Smallcap |
Stock Index Fund |
ANNUAL REPORT October 31, 2011
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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 | Fund Performance |
7 | Understanding Your Fund’s Expenses |
7 | Comparing Your Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
27 | Statement of Financial Futures |
28 | Statement of Assets and Liabilities |
29 | Statement of Operations |
30 | Statement of Changes in Net Assets |
31 | Financial Highlights |
32 | Notes to Financial Statements |
42 | Report of Independent Registered Public Accounting Firm |
43 | Important Tax Information |
44 | Board Members Information |
46 | Officers of the Fund |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus
Smallcap Stock Index Fund
The Fund
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A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We present to you this annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2010, through October 31, 2011. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Investors were encouraged by expectations of a more robust economic recovery into the first quarter of 2011, but sentiment subsequently deteriorated due to disappointing economic data, rising commodity prices, an escalating sovereign debt crisis in Europe and a contentious debate regarding taxes, spending and borrowing in the United States. Stocks have been sensitive to these macroeconomic developments, often regardless of underlying company fundamentals. Indeed, market declines were particularly severe during August and September after a major credit rating agency downgraded U.S. long-term debt, while October ranked as one of the best months of the past decade.
The economic outlook currently remains clouded by market turbulence and political infighting, but we believe that a continued subpar global expansion is more likely than a return to recession. Although Europe continues to struggle with a debt crisis, inflationary pressures appear to be waning in most countries as energy prices recently have retreated from their highs. In the United States, moderately low core inflation and an accommodative monetary policy could help support near-trend growth despite ongoing deleveraging activity in the private sector.To assess the potential impact of these and other developments on your investments, we encourage you, as always, to speak with your financial advisor.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/scsincsrx4x2.jpg)
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2011
2
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DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2010, through October 31, 2011, as provided by Thomas J. Durante, CFA, Karen Q.Wong, CFA and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2011, Dreyfus Smallcap Stock Index Fund produced a total return of 10.29%.1 In comparison, the Standard & Poor’s SmallCap 600 Index (the “S&P 600 Index”), the fund’s benchmark, produced a 10.54% total return for the same period.2,3
Although small-cap stocks rallied through the first quarter of 2011 as an economic recovery appeared to gain traction, renewed macroeconomic concerns later caused the market to give back many of its previous gains. The fund produced a lower return than its benchmark.The difference in return between the fund and the S&P 600 Index was primarily the result of transaction costs and operating expenses that are not reflected in the S&P 600 Index’s results.
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.
Global Economic Concerns Weighed on Equities
Gains in employment, consumer spending and corporate earnings supported a U.S. stock market rally over the first several months of the reporting period as investors looked forward to better business conditions. However, the rally was interrupted in February 2011 when political unrest in the Middle East led to sharply rising crude oil prices, and again in March when catastrophic natural and nuclear disasters in Japan disrupted the global industrial supply chain and derailed one of the world’s larger economies. Nonetheless, investors proved
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
resilient at the time, and stocks rebounded quickly from these unexpected shocks.
Investor sentiment began to deteriorate in earnest in late April when Greece appeared headed for default on its sovereign debt and pressures mounted on the banking systems of other peripheral members of the European Union. In addition, U.S. economic data proved more disappointing than expected, and investors reacted cautiously to a contentious political debate regarding U.S. government spending, borrowing and taxes. Stocks suffered bouts of heightened volatility when newly risk-averse investors shifted their focus from more speculative companies and market sectors to industry groups that historically have held up well under uncertain economic conditions.Volatility was particularly severe in August and September, after a major credit-rating agency downgraded its assessment of long-term U.S. government debt. In contrast, the market rebounded strongly in October when some macroeconomic worries seemed to ease. Small-cap stocks produced higher returns than mid- and large-cap stocks for the reporting period overall.
Small-Cap Stocks Produced Mixed Results
The health care, information technology and energy sectors led the S&P 600 Index’s advance over the reporting period. In the health care sector, heightened mergers-and-acquisitions activity lifted stock prices of small pharmaceutical developers as large-cap drug companies sought to fill their product development pipelines. In addition, some biotechnology firms—such as Regeneron Pharmaceuticals and Questcor Pharmaceuticals—announced progress toward the introduction of new products, boosting their value as potential takeover targets. Meanwhile, health care providers Healthspring and AMERIGROUP also benefited from takeover speculation as larger insurers try to grow their subscriber bases and achieve greater economies of scale.
Among information technology companies, several small-cap companies, including microchip maker Cypress Semiconductor, benefited from trends toward touch-screen technology and “cloud computing,” in which business enterprises maintain data and applications over the Internet. Varian Semiconductor gained substantial value after receiving a takeover offer from industry giant Applied Materials. In the energy
4
sector, better-than-expected revenues from refinery operations buoyed HollyFrontier, while rising demand for domestic natural gas production lifted the stocks of service provider Oil States International and hydraulic fracturing specialist CARBO Ceramics.
Disappointments during the reporting period included the telecommunications services sector, which comprises a relatively small portion of the S&P 600 Index.The sector was hurt by competitive pressures from large-cap companies, which adversely affected small-cap service providers such as Neutral Tandem and Cbeyond. Results from the materials sector were undermined by weakness among chemical companies, including plastic producers PolyOne and Kraton Performance Polymers, that proved unable to pass along higher input costs to their customers.
Index Funds Offer 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.
November 15, 2011
Please note, the position in any security highlighted in italicized typeface was sold during the reporting period.
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 “S&P SmallCap 600®” are registered trademarks of |
Standard & Poor’s Financial Services LLC, and have been licensed for use on behalf of the fund. | |
The fund is not sponsored, endorsed, managed, advised, sold or promoted by Standard & Poor’s | |
and its affiliates and Standard & Poor’s and its affiliates make no representation regarding the | |
advisability of investing in the fund. |
The Fund | 5 |
FUND PERFORMANCE
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Average Annual Total Returns as of 10/31/11 | ||||||
1 | Year | 5 Years | 10 Years | |||
Fund | 10.29 | % | 2.01 | % | 8.07 | % |
Standard & Poor’s SmallCap 600 Index | 10.54 | % | 2.12 | % | 8.35 | % |
† Source: Lipper Inc. |
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not |
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
The above graph compares a $10,000 investment made in Dreyfus Smallcap Stock Index Fund on 10/31/01 to a |
$10,000 investment made in the Standard & Poor’s SmallCap 600 Index (the “Index”) on that date.All dividends |
and capital gain distributions are reinvested. |
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is a |
broad-based index and a widely accepted, unmanaged index of overall small-cap stock market performance. Unlike a |
mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. |
Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the |
Financial Highlights section of the prospectus and elsewhere in this report. |
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from May 1, 2011 to October 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended October 31, 2011
Expenses paid per $1,000† | $2.39 | |
Ending value (after expenses) | $896.30 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2011
Expenses paid per $1,000† | $2.55 | |
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 184/365 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS |
October 31, 2011 |
Common Stocks—98.9% | Shares | Value ($) | ||
Consumer Discretionary—14.8% | ||||
American Public Education | 40,666 | a | 1,456,249 | |
Arbitron | 67,910 | 2,698,064 | ||
Arctic Cat | 27,687 | a | 562,323 | |
Audiovox, Cl. A | 48,992 | a | 348,333 | |
Big 5 Sporting Goods | 46,114 | 356,461 | ||
Biglari Holdings | 2,550 | a | 880,056 | |
BJ’s Restaurants | 49,939 | a | 2,643,271 | |
Blue Nile | 30,806 | a | 1,390,275 | |
Blyth | 12,616 | 704,351 | ||
Boyd Gaming | 125,588 | a | 813,810 | |
Brown Shoe | 70,621 | 629,233 | ||
Brunswick | 213,490 | 3,770,233 | ||
Buckle | 52,950 | 2,359,452 | ||
Buffalo Wild Wings | 37,976 | a | 2,514,771 | |
Cabela’s | 76,623 | a | 1,909,445 | |
Callaway Golf | 81,253 | 472,080 | ||
Capella Education | 35,013 a | 1,218,803 | ||
Carter’s | 114,079 | a | 4,345,269 | |
Cato, Cl. A | 68,682 | 1,760,320 | ||
CEC Entertainment | 52,103 | 1,647,497 | ||
Children’s Place Retail Stores | 58,499 | a | 2,746,528 | |
Christopher & Banks | 79,127 | 263,493 | ||
Coinstar | 73,783 | a | 3,522,400 | |
Corinthian Colleges | 71,585 a | 136,727 | ||
Cracker Barrel Old Country Store | 54,642 | 2,316,274 | ||
Crocs | 201,209 | a | 3,555,363 | |
DineEquity | 28,096 | a | 1,319,388 | |
Drew Industries | 34,192 | 821,634 | ||
E.W. Scripps, Cl. A | 84,039 | a | 700,885 | |
Ethan Allen Interiors | 70,180 | 1,389,564 | ||
Finish Line, Cl. A | 112,112 | 2,253,451 | ||
Fred’s, Cl. A | 92,219 | 1,124,150 | ||
Genesco | 52,058 | a | 3,068,299 | |
Group 1 Automotive | 52,137 | 2,375,362 | ||
Haverty Furniture | 28,942 | 336,306 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Helen of Troy | 65,695 | a | 1,900,556 |
Hibbett Sports | 66,648 | a | 2,745,231 |
Hillenbrand | 125,187 | 2,642,698 | |
Hot Topic | 70,920 | 536,155 | |
HSN | 81,853 | 2,919,697 | |
Iconix Brand Group | 173,997 | a | 3,123,246 |
Interval Leisure Group | 77,377 | a | 1,068,576 |
iRobot | 46,245 | a | 1,565,856 |
Jack in the Box | 110,260 | a | 2,269,151 |
JAKKS Pacific | 78,377 | 1,486,812 | |
JOS. A. Bank Clothiers | 59,718 | a | 3,191,330 |
K-Swiss, Cl. A | 38,118 | a | 171,531 |
Kirkland’s | 31,269 | a | 351,464 |
La-Z-Boy | 124,334 | a | 1,263,233 |
Lincoln Educational Services | 51,385 | 480,450 | |
Lithia Motors, Cl. A | 49,075 | 1,009,473 | |
Live Nation | 327,776 | a | 3,077,817 |
Liz Claiborne | 140,802 | a | 1,127,824 |
Lumber Liquidators Holdings | 43,522 | a | 651,524 |
M/I Homes | 43,006 | a | 321,255 |
Maidenform Brands | 54,252 | a | 1,333,514 |
Marcus | 46,739 | 557,129 | |
MarineMax | 45,416 | a | 369,686 |
Men’s Wearhouse | 118,586 | 3,661,936 | |
Meritage Homes | 60,621 | a | 1,076,023 |
Midas | 23,051 | a | 210,225 |
Monarch Casino & Resort | 17,578 | a | 180,878 |
Monro Muffler Brake | 71,894 | 2,666,548 | |
Movado Group | 39,189 | 655,632 | |
Multimedia Games Holding Company | 80,390 | a | 531,378 |
NutriSystem | 66,894 | 826,810 | |
O’Charleys | 49,617 | a | 308,122 |
OfficeMax | 152,121 | a | 778,860 |
Oxford Industries | 31,942 | 1,261,709 | |
P.F. Chang’s China Bistro | 56,984 | 1,772,202 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Discretionary (continued) | ||||
Papa John’s International | 52,103 a | 1,758,997 | ||
Peet’s Coffee & Tea | 22,859 | a | 1,456,575 | |
PEP Boys-Manny Moe & Jack | 128,290 | 1,475,335 | ||
Perry Ellis International | 24,744 | a | 621,074 | |
PetMed Express | 49,956 | 498,061 | ||
Pinnacle Entertainment | 141,567 | a | 1,602,538 | |
Pool | 111,197 | 3,249,176 | ||
Quiksilver | 249,816 | a | 836,884 | |
Red Robin Gourmet Burgers | 38,055 | a | 954,039 | |
Ruby Tuesday | 159,593 | a | 1,338,985 | |
Rue21 | 34,618 | a | 922,224 | |
Ruth’s Hospitality Group | 69,909 | a | 329,970 | |
Select Comfort | 131,188 | a | 2,724,775 | |
Shuffle Master | 143,363 | a | 1,521,081 | |
Skechers USA, Cl. A | 57,796 | a | 824,171 | |
Sonic | 151,197 | a | 1,120,370 | |
Sonic Automotive, Cl. A | 68,643 | 1,006,993 | ||
Spartan Motors | 84,289 | 413,016 | ||
Stage Stores | 81,737 | 1,277,549 | ||
Standard Motor Products | 52,014 | 808,818 | ||
Standard-Pacific | 104,840 | a | 318,714 | |
Stein Mart | 53,935 | 391,029 | ||
Steven Madden | 84,264 | a | 3,109,342 | |
Sturm Ruger & Co. | 45,673 | 1,384,805 | ||
Superior Industries International | 64,277 | 1,175,626 | ||
Texas Roadhouse | 136,613 | 1,957,664 | ||
True Religion Apparel | 62,993 | a | 2,136,723 | |
Tuesday Morning | 100,089 | a | 362,322 | |
Universal Electronics | 30,673 | a | 570,211 | |
Universal Technical Institute | 60,959 | a | 870,495 | |
Vitamin Shoppe | 61,052 | a | 2,302,271 | |
Winnebago Industries | 43,391 | a | 353,203 | |
Wolverine World Wide | 100,971 | 3,829,830 | ||
Zale | 60,203 | a | 222,149 | |
Zumiez | 49,385 | a | 1,123,509 | |
151,353,175 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Staples—4.2% | ||||
Alliance One International | 116,613 | a | 311,357 | |
Andersons | 43,476 | 1,605,134 | ||
B&G Foods | 92,575 | 1,964,441 | ||
Boston Beer, Cl. A | 23,354 | a | 2,066,362 | |
Cal-Maine Foods | 29,253 | 974,710 | ||
Calavo Growers | 25,423 | 573,797 | ||
Casey’s General Stores | 91,126 | 4,515,293 | ||
Central Garden & Pet, Cl. A | 148,949 | a | 1,309,262 | |
Darling International | 239,511 a | 3,357,944 | ||
Diamond Foods | 45,545 | 2,994,584 | ||
Hain Celestial Group | 99,877 | a | 3,351,872 | |
Inter Parfums | 35,136 | 647,908 | ||
J&J Snack Foods | 32,700 | 1,686,339 | ||
Medifast | 39,455 | a | 648,640 | |
Nash Finch | 28,940 | 761,701 | ||
Prestige Brands Holdings | 86,773 | a | 918,058 | |
Sanderson Farms | 33,972 | 1,681,614 | ||
Seneca Foods, Cl. A | 20,597 | a | 433,567 | |
Snyders-Lance | 91,597 | 1,943,688 | ||
Spartan Stores | 55,528 | 950,639 | ||
TreeHouse Foods | 76,878 | a | 4,715,697 | |
United Natural Foods | 102,555 | a | 3,744,283 | |
WD-40 | 35,334 | 1,555,403 | ||
42,712,293 | ||||
Energy—4.4% | ||||
Approach Resources | 54,434 | a | 1,328,734 | |
Basic Energy Services | 56,930 | a | 1,044,096 | |
Bristow Group | 85,851 | 4,273,663 | ||
Contango Oil & Gas | 29,079 | a | 1,870,943 | |
Georesources | 43,261 | a | 1,148,147 | |
Gulf Island Fabrication | 30,108 | 838,508 | ||
Gulfport Energy | 84,790 | a | 2,640,361 | |
Hornbeck Offshore Services | 53,839 | a | 1,768,073 | |
ION Geophysical | 330,249 | a | 2,516,497 | |
Lufkin Industries | 66,795 | 3,946,917 | ||
Matrix Service | 65,606 | a | 696,736 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Overseas Shipholding Group | 50,866 | 634,808 | |
OYO Geospace | 10,243 | a | 804,895 |
Penn Virginia | 67,336 | 410,076 | |
Petroleum Development | 44,296 | a | 1,156,569 |
PetroQuest Energy | 142,646 | a | 1,039,889 |
Pioneer Drilling | 137,408 | a | 1,358,965 |
SEACOR Holdings | 50,932 | 4,336,860 | |
Stone Energy | 120,082 | a | 2,916,792 |
Swift Energy | 98,452 | a | 3,014,600 |
Tetra Technologies | 178,224 | a | 1,693,128 |
World Fuel Services | 146,407 | 5,834,319 | |
45,273,576 | |||
Financial—19.7% | |||
Acadia Realty Trust | 72,296 | b | 1,497,973 |
AMERISAFE | 38,602 | a | 831,873 |
Bank Mutual | 52,675 | 175,408 | |
Bank of the Ozarks | 47,782 | 1,188,338 | |
BioMed Realty Trust | 276,347 | b | 5,004,644 |
Boston Private Financial Holdings | 188,207 | 1,426,609 | |
Brookline Bancorp | 143,586 | 1,200,379 | |
Calamos Asset Management, Cl. A | 45,930 | 573,666 | |
Cash America International | 64,471 | 3,529,787 | |
Cedar Shopping Centers | 103,125 | b | 378,469 |
City Holding | 34,277 | 1,126,342 | |
Colonial Properties Trust | 184,066 | b | 3,732,858 |
Columbia Banking System | 92,895 | 1,771,508 | |
Community Bank System | 69,282 | 1,770,848 | |
Delphi Financial Group, Cl. A | 123,805 | 3,278,356 | |
DiamondRock Hospitality | 400,170 | b | 3,621,538 |
Dime Community Bancshares | 39,459 | 470,351 | |
EastGroup Properties | 55,245 | b | 2,409,234 |
eHealth | 60,882 | a | 904,098 |
Employers Holdings | 60,945 | 988,528 | |
Encore Capital Group | 32,501 | a | 880,452 |
Entertainment Properties Trust | 105,196 | b | 4,712,781 |
Extra Space Storage | 207,836 | b | 4,682,545 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
EZCORP, Cl. A | 104,072 | a | 2,891,120 |
F.N.B | 272,035 | 2,744,833 | |
Financial Engines | 69,027 | a | 1,567,603 |
First BanCorp | 20,765 | a | 73,923 |
First Cash Financial Services | 62,513 | a | 2,594,289 |
First Commonwealth Financial | 245,573 | 1,132,092 | |
First Financial Bancorp | 109,114 | 1,789,470 | |
First Financial Bankshares | 67,081 | 2,130,493 | |
First Midwest Bancorp | 160,781 | 1,448,637 | |
Forestar Group | 60,146 | a | 781,898 |
Franklin Street Properties | 153,850 | b | 1,953,895 |
Getty Realty | 60,721 | b | 967,893 |
Glacier Bancorp | 136,861 | 1,553,372 | |
Hanmi Financial | 348,323 | a | 348,323 |
Healthcare Realty Trust | 151,357 | b | 2,859,134 |
Home Bancshares | 48,869 | 1,145,978 | |
Horace Mann Educators | 97,215 | 1,307,542 | |
Independent Bank/MA | 47,127 | 1,221,532 | |
Infinity Property & Casualty | 27,991 | 1,622,358 | |
Inland Real Estate | 212,830 | b | 1,596,225 |
Interactive Brokers Group, Cl. A | 103,509 | 1,591,968 | |
Investment Technology Group | 120,826 | a | 1,378,625 |
Kilroy Realty | 119,626 | b | 4,389,078 |
Kite Realty Group Trust | 162,092 | b | 669,440 |
LaSalle Hotel Properties | 199,731 | b | 4,775,568 |
Lexington Realty Trust | 346,448 | b | 2,723,081 |
LTC Properties | 68,508 | b | 1,942,887 |
Meadowbrook Insurance Group | 98,691 | 1,022,439 | |
Medical Properties Trust | 235,709 | b | 2,380,661 |
Mid-America Apartment Communities | 76,548 | b | 4,776,595 |
Nara Bancorp | 111,425 | a | 944,884 |
National Financial Partners | 103,384 | a | 1,413,259 |
National Penn Bancshares | 287,438 | 2,242,016 | |
National Retail Properties | 194,869 | b | 5,310,180 |
Navigators Group | 27,164 | a | 1,239,222 |
NBT Bankcorp | 74,121 | 1,595,084 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Northwest Bancshares | 213,455 | 2,661,784 | |
Old National Bancorp | 221,216 | 2,559,469 | |
Oritani Financial | 125,918 | 1,631,897 | |
PacWest Bancorp | 64,287 | 1,134,023 | |
Parkway Properties | 55,873 | b | 717,968 |
Pennsylvania Real Estate Investment Trust | 144,931 | b | 1,486,992 |
Pinnacle Financial Partners | 71,304 | a | 1,070,273 |
Piper Jaffray | 29,132 | a | 604,780 |
Portfolio Recovery Associates | 36,989 | a | 2,594,408 |
Post Properties | 118,253 | b | 4,857,833 |
Presidential Life | 45,610 | 452,451 | |
PrivateBancorp | 148,111 | 1,614,410 | |
ProAssurance | 70,814 | 5,420,812 | |
Prospect Capital | 198,161 | 1,896,401 | |
Provident Financial Services | 101,305 | 1,311,900 | |
PS Business Parks | 47,423 | b | 2,524,326 |
RLI | 42,014 | 2,955,265 | |
S&T Bancorp | 49,864 | 930,961 | |
Safety Insurance Group | 28,970 | 1,234,701 | |
Saul Centers | 17,847 | b | 639,636 |
Selective Insurance Group | 120,416 | 1,930,268 | |
Signature Bank | 106,223 | a | 5,921,932 |
Simmons First National, Cl. A | 35,400 | 918,984 | |
Sovran Self Storage | 66,736 | b | 2,949,731 |
Sterling Bancorp | 92,716 | 764,907 | |
Stewart Information Services | 58,941 | 591,768 | |
Stifel Financial | 108,375 | a | 3,453,911 |
Susquehanna Bancshares | 383,212 | 2,782,119 | |
SWS Group | 66,150 | a | 364,487 |
Tanger Factory Outlet Centers | 176,649 | b | 4,974,436 |
Texas Capital Bancshares | 91,197 | a | 2,553,516 |
Tompkins Financial | 20,054 | 790,729 | |
Tower Group | 83,113 | 1,972,271 | |
Trustco Bank | 239,762 | 1,189,220 | |
UMB Financial | 70,312 | 2,592,403 | |
Umpqua Holdings | 279,909 | 3,204,958 |
14
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
United Bankshares | 102,587 | 2,435,415 | |
United Community Banks | 51,750 | a | 382,433 |
United Fire & Casualty | 44,689 | 840,600 | |
Universal Health Realty Income Trust | 27,265 | b | 1,035,252 |
Urstadt Biddle Properties, Cl. A | 59,422 | b | 1,060,088 |
Wilshire Bancorp | 132,733 | a | 453,947 |
Wintrust Financial | 68,194 | 1,969,443 | |
World Acceptance | 38,226 | a | 2,585,989 |
202,301,279 | |||
Health Care—12.0% | |||
Abaxis | 43,744 | a | 1,227,457 |
Affymetrix | 205,373 | a | 1,148,035 |
Air Methods | 22,525 | a | 1,820,470 |
Align Technology | 162,248 | a | 3,736,571 |
Almost Family | 20,005 | a | 372,893 |
Amedisys | 46,752 | a | 613,854 |
AMN Healthcare Services | 54,350 | a | 257,619 |
AmSurg | 81,641 | a | 2,067,967 |
Analogic | 26,377 | 1,426,468 | |
ArQule | 94,202 | a | 547,314 |
Bio-Reference Labs | 50,224 | a | 1,006,489 |
Cambrex | 76,858 | a | 423,488 |
Cantel Medical | 33,730 | 930,948 | |
Centene | 109,618 | a | 3,853,073 |
Chemed | 51,407 | 3,051,520 | |
Computer Programs & Systems | 18,947 | 967,623 | |
CONMED | 53,206 | a | 1,397,722 |
CorVel | 18,192 | a | 938,161 |
Cross Country Healthcare | 71,128 | a | 355,640 |
CryoLife | 111,987 | a | 516,260 |
Cubist Pharmaceuticals | 122,629 | a | 4,636,602 |
Cyberonics | 61,365 | a | 1,767,312 |
Emergent BioSolutions | 57,047 | a | 1,075,906 |
Ensign Group | 20,145 | 458,500 | |
Enzo Biochem | 76,337 | a | 218,324 |
eResearch Technology | 130,080 | a | 664,709 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Gentiva Health Services | 45,610 | a | 188,825 | |
Greatbatch | 68,235 | a | 1,523,688 | |
Haemonetics | 62,383 | a | 3,802,244 | |
Hanger Orthopedic Group | 67,793 | a | 1,177,564 | |
Healthspring | 141,030 | a | 7,607,158 | |
Healthways | 83,876 | a | 600,552 | |
Hi-Tech Pharmacal | 17,387 | a | 617,586 | |
HMS Holdings | 174,337 | a | 4,260,796 | |
ICU Medical | 24,931 | a | 980,038 | |
Integra LifeSciences Holdings | 51,539 | a | 1,652,340 | |
Invacare | 85,125 | 1,911,056 | ||
IPC The Hospitalist | 28,880 | a | 1,210,938 | |
Kensey Nash | 30,524 | a | 820,485 | |
Kindred Healthcare | 95,813 | a | 1,116,221 | |
Landauer | 16,638 | 852,698 | ||
LHC Group | 35,571 | a | 558,109 | |
Magellan Health Services | 74,194 | a | 3,818,765 | |
Medicines | 127,666 | a | 2,389,908 | |
Meridian Bioscience | 77,987 | 1,420,923 | ||
Merit Medical Systems | 72,742 | a | 976,198 | |
Molina Healthcare | 66,987 | a | 1,418,785 | |
MWI Veterinary Supply | 24,132 | a | 1,821,966 | |
Natus Medical | 61,408 | a | 528,109 | |
Neogen | 44,575 | a | 1,722,824 | |
NuVasive | 74,802 | a | 1,108,566 | |
Omnicell | 75,893 | a | 1,134,600 | |
Palomar Medical Technologies | 27,654 | a | 235,336 | |
Par Pharmaceutical Cos | 88,504 | a | 2,708,222 | |
PAREXEL International | 125,690 | a | 2,768,951 | |
PharMerica | 64,781 | a | 1,010,584 | |
PSS World Medical | 129,123 | a | 2,872,987 | |
Quality Systems | 82,916 | 3,226,262 | ||
Questcor Pharmaceuticals | 134,426 | a | 5,459,040 | |
Regeneron Pharmaceuticals | 159,378 | a | 8,813,603 | |
Salix Pharmaceuticals | 133,917 | a | 4,587,327 | |
Savient Pharmaceuticals | 115,036 | a | 431,385 |
16
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
SonoSite | 31,944 | a | 989,945 |
SurModics | 31,651 | a | 333,602 |
Symmetry Medical | 93,779 | a | 852,451 |
ViroPharma | 159,291 | a | 3,224,050 |
West Pharmaceutical Services | 78,930 | 3,068,009 | |
Zoll Medical | 51,906 | a | 1,962,566 |
123,246,187 | |||
Industrial—15.3% | |||
A.O. Smith | 76,113 | 2,828,359 | |
AAON | 42,472 | 899,132 | |
AAR | 74,792 | 1,490,605 | |
ABM Industries | 97,961 | 1,980,771 | |
Actuant, Cl. A | 164,283 | 3,696,367 | |
Aegion | 91,284 | a | 1,350,090 |
Aerovironment | 30,047 | a | 992,452 |
Albany International, Cl. A | 66,677 | 1,506,233 | |
Allegiant Travel | 31,317 | a | 1,627,231 |
American Science & Engineering | 20,595 | 1,400,872 | |
Apogee Enterprises | 54,538 | 595,555 | |
Applied Industrial Technologies | 82,042 | 2,758,252 | |
Arkansas Best | 54,658 | 1,125,955 | |
Astec Industries | 36,227 | a | 1,204,548 |
AZZ | 25,481 | 1,137,981 | |
Badger Meter | 32,008 | 1,047,942 | |
Barnes Group | 104,886 | 2,440,697 | |
Belden | 113,638 | 3,668,235 | |
Brady, Cl. A | 124,395 | 3,821,414 | |
Briggs & Stratton | 124,364 | 1,815,714 | |
Cascade | 18,192 | 784,075 | |
CDI | 13,960 | 183,295 | |
Ceradyne | 59,092 | a | 1,977,218 |
CIRCOR International | 36,637 | 1,275,700 | |
CLARCOR | 113,990 | 5,526,235 | |
Comfort Systems USA | 78,052 | 858,572 | |
Consolidated Graphics | 27,207 | a | 1,239,551 |
Cubic | 41,999 | 1,978,993 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Curtiss-Wright | 106,049 | 3,476,286 | |
Dolan | 82,924 | a | 725,585 |
Dycom Industries | 85,831 | a | 1,667,696 |
EMCOR Group | 150,824 | 3,781,158 | |
Encore Wire | 39,583 | 1,052,116 | |
EnPro Industries | 41,678 | a | 1,435,390 |
ESCO Technologies | 54,963 | 1,680,219 | |
Exponent | 29,920 | a | 1,441,546 |
Federal Signal | 174,941 | 825,722 | |
Forward Air | 62,326 | 2,041,176 | |
Franklin Electric | 41,186 | 1,891,261 | |
G&K Services, Cl. A | 42,098 | 1,278,095 | |
GenCorp | 164,230 | a | 798,158 |
Geo Group | 127,377 | a | 2,322,083 |
Gibraltar Industries | 76,805 | a | 857,144 |
Griffon | 66,973 | a | 634,234 |
Healthcare Services Group | 136,090 | 2,361,162 | |
Heartland Express | 119,908 | 1,607,966 | |
Heidrick & Struggles International | 38,474 | 761,016 | |
Hub Group, Cl. A | 76,407 | a | 2,388,483 |
II-VI | 107,628 | a | 2,046,008 |
Insperity | 60,207 | 1,552,136 | |
Interface, Cl. A | 128,984 | 1,681,951 | |
John Bean Technologies | 59,296 | 957,037 | |
Kaman | 54,206 | 1,802,350 | |
Kaydon | 78,588 | 2,472,378 | |
Kelly Services, Cl. A | 48,724 | 796,637 | |
Knight Transportation | 147,908 | 2,248,202 | |
Lawson Products | 9,558 | 159,332 | |
Lindsay | 27,326 | 1,587,641 | |
Lydall | 33,250 | a | 364,420 |
Mobile Mini | 87,170 | a | 1,581,264 |
Moog, Cl. A | 104,706 | a | 4,055,263 |
Mueller Industries | 78,759 | 3,185,802 | |
National Presto Industries | 8,056 | 769,348 | |
Navigant Consulting | 114,057 | a | 1,292,266 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Industrial (continued) | ||||
NCI Building Systems | 44,187 | a | 402,544 | |
Old Dominion Freight Line | 100,452 | a | 3,673,530 | |
On Assignment | 83,886 | a | 905,130 | |
Orbital Sciences | 115,470 | a | 1,785,166 | |
Orion Marine Group | 46,396 | a | 315,029 | |
Powell Industries | 18,807 | a | 632,103 | |
Quanex Building Products | 110,033 | 1,622,987 | ||
Resources Connection | 99,479 | 1,103,222 | ||
Robbins & Myers | 93,391 | 4,173,644 | ||
School Specialty | 37,846 | a | 289,522 | |
Simpson Manufacturing | 77,960 | 2,390,254 | ||
SkyWest | 122,414 | 1,641,572 | ||
Standard Register | 37,007 | 95,848 | ||
Standex International | 24,955 | 963,513 | ||
SYKES Enterprises | 88,534 | a | 1,410,347 | |
Teledyne Technologies | 80,816 | a | 4,402,048 | |
Tennant | 43,161 | 1,669,899 | ||
Tetra Tech | 152,353 | a | 3,325,866 | |
Toro | 71,250 | 3,850,350 | ||
Tredegar | 44,735 | 866,517 | ||
TrueBlue | 109,056 | a | 1,441,720 | |
UniFirst | 35,899 | 1,879,313 | ||
United Stationers | 102,740 | 3,268,159 | ||
Universal Forest Products | 34,644 | 972,457 | ||
Viad | 37,183 | 778,240 | ||
Vicor | 37,801 | 345,879 | ||
Watts Water Technologies, Cl. A | 69,734 | 2,195,924 | ||
157,191,358 | ||||
Information Technology—18.9% | ||||
Advanced Energy Industries | 73,524 | a | 686,714 | |
Agilysys | 56,250 | a | 477,562 | |
Anixter International | 65,471 | a | 3,842,493 | |
Arris Group | 257,172 | a | 2,767,171 | |
ATMI | 84,720 | a | 1,728,288 | |
Avid Technology | 57,943 | a | 359,247 | |
Bel Fuse, Cl. B | 27,512 | 491,915 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Benchmark Electronics | 120,891 | a | 1,661,042 | |
Black Box | 34,697 | 971,169 | ||
Blackbaud | 94,021 | 2,635,409 | ||
Blue Coat Systems | 93,810 | a | 1,510,341 | |
Bottomline Technologies | 72,167 | a | 1,752,936 | |
Brightpoint | 159,979 | a | 1,623,787 | |
Brooks Automation | 160,932 | 1,681,739 | ||
Cabot Microelectronics | 60,243 | a | 2,320,560 | |
CACI International, Cl. A | 60,240 | a | 3,306,574 | |
Cardtronics | 81,347 | a | 2,027,981 | |
Ceva | 49,267 | a | 1,530,726 | |
Checkpoint Systems | 76,140 | a | 1,008,855 | |
CIBER | 177,403 | a | 617,362 | |
Cirrus Logic | 131,311 | a | 2,185,015 | |
Cognex | 87,839 | 2,976,864 | ||
Cohu | 46,209 | 512,458 | ||
Commvault Systems | 91,534 | a | 3,897,518 | |
comScore | 50,466 | a | 1,065,337 | |
Comtech Telecommunications | 69,480 | 2,300,483 | ||
CSG Systems International | 93,498 | a | 1,331,412 | |
CTS | 90,241 | 837,436 | ||
Cymer | 67,893 | a | 2,949,951 | |
Daktronics | 92,118 | 930,392 | ||
DealerTrack Holdings | 84,370 | a | 1,829,985 | |
DG Fastchannel | 57,114 | a | 1,064,605 | |
Digi International | 54,924 a | 702,478 | ||
Diodes | 76,868 | a | 1,719,537 | |
DSP Group | 61,946 | a | 382,826 | |
DTS | 32,642 | a | 916,914 | |
Ebix | 87,987 | 1,505,458 | ||
Electro Scientific Industries | 58,052 | a | 713,459 | |
Entropic Communications | 186,507 | a | 1,085,471 | |
EPIQ Systems | 74,058 | 1,056,067 | ||
Exar | 73,738 | a | 450,539 | |
FARO Technologies | 31,222 | a | 1,304,455 |
20
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
FEI | 86,162 | a | 3,425,801 |
Forrester Research | 31,469 | 1,126,905 | |
GT Advanced Technologies | 272,338 | a | 2,233,172 |
Harmonic | 183,463 | a | 1,009,047 |
Heartland Payment Systems | 78,847 | 1,715,711 | |
Hittite Microwave | 54,982 | a | 2,892,053 |
iGATE | 73,292 | a | 987,976 |
Infospace | 90,510 | a | 792,868 |
Insight Enterprises | 112,156 | a | 1,895,436 |
Interactive Intelligence Group | 27,739 | a | 769,757 |
Intermec | 80,584 | a | 650,313 |
Intevac | 49,429 | a | 397,903 |
j2 Global Communications | 112,621 | 3,466,474 | |
JDA Software Group | 93,551 | a | 2,981,470 |
Kopin | 147,790 | a | 598,550 |
Kulicke & Soffa Industries | 174,886 | a | 1,687,650 |
Liquidity Services | 38,223 | a | 1,244,541 |
Littelfuse | 46,456 | 2,274,486 | |
LivePerson | 94,054 | a | 1,184,140 |
LogMeIn | 35,812 | a | 1,456,474 |
LoJack | 55,755 | a | 185,107 |
Manhattan Associates | 54,238 | a | 2,296,979 |
MAXIMUS | 73,660 | 2,971,444 | |
Measurement Specialties | 32,837 | a | 1,024,843 |
Mercury Computer Systems | 49,370 | a | 720,802 |
Methode Electronics | 111,286 | 1,033,847 | |
Micrel | 125,809 | 1,386,415 | |
Microsemi | 190,735 | a | 3,520,968 |
MicroStrategy, Cl. A | 18,979 | a | 2,500,863 |
MKS Instruments | 121,852 | 3,246,137 | |
Monolithic Power Systems | 81,514 | a | 1,015,664 |
Monotype Imaging Holdings | 74,294 | a | 1,008,170 |
MTS Systems | 35,026 | 1,284,403 | |
Nanometrics | 37,448 | a | 632,122 |
NCI, Cl. A | 14,934 | a | 203,849 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Netgear | 83,430 | a | 2,958,428 |
NetScout Systems | 82,282 | a | 1,348,602 |
Network Equipment Technologies | 56,733 | a | 108,360 |
Newport | 106,946 | a | 1,481,202 |
Novatel Wireless | 71,100 | a | 282,267 |
Oplink Communications | 46,704 | a | 757,539 |
OSI Systems | 42,753 | a | 1,893,958 |
Park Electrochemical | 51,185 | 1,448,536 | |
PC-Tel | 37,611 | 272,304 | |
Perficient | 67,178 | a | 640,206 |
Pericom Semiconductor | 59,007 | a | 500,969 |
Plexus | 80,230 | a | 2,061,911 |
Power Integrations | 61,626 | 2,195,734 | |
Progress Software | 159,923 | a | 3,367,978 |
Pulse Electronics | 130,389 | 460,273 | |
Radisys | 59,131 | a | 346,508 |
RightNow Technologies | 46,154 | a | 1,985,084 |
Rofin-Sinar Technologies | 65,333 | a | 1,698,658 |
Rogers | 37,148 | a | 1,603,679 |
Rubicon Technology | 23,377 | a | 243,588 |
Rudolph Technologies | 84,932 | a | 625,949 |
ScanSource | 51,569 | a | 1,792,538 |
Sigma Designs | 82,778 | a | 690,369 |
Sourcefire | 62,377 | a | 1,718,486 |
Stamps.com | 28,963 | 943,035 | |
Standard Microsystems | 52,499 | a | 1,299,875 |
Stratasys | 43,761 | a | 1,227,058 |
Super Micro Computer | 50,528 | a | 808,448 |
Supertex | 18,652 | a | 344,316 |
Symmetricom | 111,780 | a | 575,667 |
Synaptics | 85,446 | a | 2,887,220 |
Synchronoss Technologies | 45,537 | a | 1,368,842 |
SYNNEX | 53,726 | a | 1,551,070 |
Take-Two Interactive Software | 194,358 | a | 3,066,969 |
Taleo, Cl. A | 84,609 | a | 2,741,332 |
22
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Tekelec | 110,465 | a | 1,084,766 |
TeleTech Holdings | 77,214 | a | 1,349,701 |
Tessera Technologies | 123,491 | a | 1,700,471 |
THQ | 191,317 | a | 407,505 |
TriQuint Semiconductor | 326,270 | a | 1,735,756 |
TTM Technologies | 99,434 | a | 1,110,678 |
Tyler Technologies | 67,408 | a | 2,128,071 |
Ultratech | 45,292 | a | 987,366 |
United Online | 208,083 | 1,229,771 | |
Veeco Instruments | 88,360 | a | 2,358,328 |
ViaSat | 88,257 | a | 3,758,866 |
Virtusa | 33,896 | a | 552,166 |
Volterra Semiconductor | 59,970 | a | 1,421,289 |
Websense | 106,431 | a | 1,898,729 |
Wright Express | 81,367 | a | 3,814,485 |
XO Group | 52,488 | a | 484,464 |
193,862,241 | |||
Materials—4.7% | |||
A. Schulman | 68,436 | 1,444,684 | |
A.M. Castle & Co. | 32,272 | a | 441,804 |
AMCOL International | 48,698 | 1,470,193 | |
American Vanguard | 45,896 | 567,734 | |
Balchem | 57,370 | 2,115,232 | |
Buckeye Technologies | 93,515 | 2,827,894 | |
Calgon Carbon | 104,671 | a | 1,669,502 |
Century Aluminum | 150,847 | a | 1,683,453 |
Clearwater Paper | 49,166 | a | 1,628,870 |
Deltic Timber | 19,414 | 1,314,134 | |
Eagle Materials | 80,681 | 1,660,415 | |
H.B. Fuller | 113,795 | 2,445,455 | |
Hawkins | 19,754 | 756,183 | |
Haynes International | 28,237 | 1,651,582 | |
Headwaters | 128,136 | a | 225,519 |
Kaiser Aluminum | 30,738 | 1,428,087 | |
KapStone Paper and Packaging | 97,002 | a | 1,590,833 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Koppers Holdings | 48,875 | 1,617,274 | ||
Kraton Performance Polymers | 66,234 | a | 1,303,485 | |
LSB Industries | 40,581 | a | 1,437,785 | |
Materion | 52,121 | a | 1,378,079 | |
Myers Industries | 93,688 | 1,144,867 | ||
Neenah Paper | 43,859 | 723,674 | ||
Olympic Steel | 22,802 | 466,301 | ||
OM Group | 75,899 | a | 2,194,240 | |
PolyOne | 210,351 | 2,353,828 | ||
Quaker Chemical | 28,901 | 1,005,466 | ||
RTI International Metals | 57,529 | a | 1,518,190 | |
Schweitzer-Mauduit International | 39,722 | 2,793,251 | ||
Stepan | 18,655 | 1,441,845 | ||
STR Holdings | 88,493 | a | 756,615 | |
Texas Industries | 58,584 | 1,757,520 | ||
Wausau Paper | 62,601 | 469,508 | ||
Zep | 49,942 | 761,116 | ||
48,044,618 | ||||
Telecommunication Services—.6% | ||||
Atlantic Tele-Network | 18,694 | 709,437 | ||
Cbeyond | 58,985 | a | 486,036 | |
Cincinnati Bell | 355,145 | a | 1,143,567 | |
General Communication, Cl. A | 93,140 | a | 880,173 | |
Neutral Tandem | 81,281 | a | 856,702 | |
NTELOS Holdings | 60,809 | a | 1,156,587 | |
USA Mobility | 61,809 | 807,844 | ||
6,040,346 | ||||
Utilities—4.3% | ||||
Allete | 68,799 | 2,718,248 | ||
American States Water | 41,259 | 1,441,589 |
24
Common Stocks (continued) | Shares | Value ($) | ||
Utilities (continued) | ||||
Avista | 117,839 | 2,999,003 | ||
Central Vermont Public Service | 19,883 | 703,262 | ||
CH Energy Group | 40,454 | 2,233,465 | ||
El Paso Electric | 97,132 | 3,111,138 | ||
Harte-Hanks | 74,693 | 655,805 | ||
Laclede Group | 50,006 | 2,006,241 | ||
New Jersey Resources | 87,003 | 4,090,881 | ||
Northwest Natural Gas | 51,194 | 2,391,784 | ||
NorthWestern | 85,753 | 2,954,191 | ||
Piedmont Natural Gas | 152,806 | 4,995,228 | ||
South Jersey Industries | 59,714 | 3,362,495 | ||
Southwest Gas | 105,992 | 4,184,564 | ||
UIL Holdings | 102,611 | 3,496,983 | ||
UniSource Energy | 78,123 | 2,912,425 | ||
44,257,302 | ||||
Total Common Stocks | ||||
(cost $914,660,570) | 1,014,282,375 | |||
Rights—.0% | ||||
Financial | ||||
First Bancorp | ||||
(cost $0) | 20,765 | 623 | ||
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
0.04%, 3/8/12 | 1,215,000 | c | 1,214,903 | |
0.04%, 3/22/12 | 85,000 | c | 84,989 | |
Total Short-Term Investments | ||||
(cost $1,299,804) | 1,299,892 |
The Fund | 25 |
STATEMENT OF INVESTMENTS (continued)
Other Investment—1.0% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $10,549,280) | 10,549,280 | d | 10,549,280 | |
Total Investments (cost $926,509,654) | 100.0 | % | 1,026,132,170 | |
Liabilities, Less Cash and Receivables | (.0 | %) | (475,577 | ) |
Net Assets | 100.0 | % | 1,025,656,593 |
a | Non-income producing security. |
b | Investment in real estate investment trust. |
c | Held by a broker as collateral for open financial futures positions. |
d | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 19.7 | Utilities | 4.3 |
Information Technology | 18.9 | Consumer Staples | 4.2 |
Industrial | 15.3 | Short-Term/ | |
Consumer Discretionary | 14.8 | Money Market Investments | 1.1 |
Health Care | 12.0 | Telecommunication Services | .6 |
Materials | 4.7 | ||
Energy | 4.4 | 100.0 |
† Based on net assets. |
See notes to financial statements. |
26
STATEMENT OF FINANCIAL FUTURES |
October 31, 2011 |
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2011 | ($) | |
Financial Futures Long | |||||
Russell 2000 Mini | 163 | 12,050,590 | December 2011 | 1,147,768 | |
See notes to financial statements. |
The Fund | 27 |
STATEMENT OF ASSETS AND LIABILITIES |
October 31, 2011 |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments: | ||
Unaffiliated issuers | 915,960,374 | 1,015,582,890 |
Affiliated issuers | 10,549,280 | 10,549,280 |
Cash | 1,075,251 | |
Receivable for shares of Common Stock subscribed | 1,298,623 | |
Dividends receivable | 434,472 | |
Receivable for investment securities sold | 222,454 | |
1,029,162,970 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 411,148 | |
Payable for shares of Common Stock redeemed | 1,626,407 | |
Payable for investment securities purchased | 1,116,222 | |
Payable for futures variation margin—Note 4 | 352,600 | |
3,506,377 | ||
Net Assets ($) | 1,025,656,593 | |
Composition of Net Assets ($): | ||
Paid-in capital | 898,114,675 | |
Accumulated undistributed investment income—net | 3,543,854 | |
Accumulated net realized gain (loss) on investments | 23,227,780 | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments (including $1,147,768 net unrealized | ||
appreciation on financial futures) | 100,770,284 | |
Net Assets ($) | 1,025,656,593 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 50,737,436 | |
Net Asset Value, offering and redemption price per share ($) | 20.21 | |
See notes to financial statements. |
28
STATEMENT OF OPERATIONS |
Year Ended October 31, 2011 |
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 12,984,588 | |
Affiliated issuers | 14,352 | |
Income from securities lending—Note 1(b) | 162,918 | |
Interest | 643 | |
Total Income | 13,162,501 | |
Expenses: | ||
Management fee—Note 3(a) | 2,784,654 | |
Shareholder servicing costs—Note 3(b) | 2,784,654 | |
Directors’ fees—Note 3(a) | 57,857 | |
Loan commitment fees—Note 2 | 14,565 | |
Interest expense—Note 2 | 7,133 | |
Total Expenses | 5,648,863 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (57,857 | ) |
Net Expenses | 5,591,006 | |
Investment Income—Net | 7,571,495 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 33,420,514 | |
Net realized gain (loss) on financial futures | 785,285 | |
Net Realized Gain (Loss) | 34,205,799 | |
Net unrealized appreciation (depreciation) on investments | 63,250,125 | |
Net unrealized appreciation (depreciation) on financial futures | 960,630 | |
Net Unrealized Appreciation (Depreciation) | 64,210,755 | |
Net Realized and Unrealized Gain (Loss) on Investments | 98,416,554 | |
Net Increase in Net Assets Resulting from Operations | 105,988,049 | |
See notes to financial statements. |
The Fund | 29 |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2011 | 2010 | |||
Operations ($): | ||||
Investment income—net | 7,571,495 | 6,071,974 | ||
Net realized gain (loss) on investments | 34,205,799 | 32,546,093 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 64,210,755 | 161,168,330 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 105,988,049 | 199,786,397 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (8,350,465 | ) | (6,764,974 | ) |
Net realized gain on investments | (21,136,380 | ) | — | |
Total Dividends | (29,486,845 | ) | (6,764,974 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 427,754,804 | 347,835,916 | ||
Dividends reinvested | 28,316,048 | 6,274,003 | ||
Cost of shares redeemed | (509,615,242 | ) | (348,615,530 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (53,544,390 | ) | 5,494,389 | |
Total Increase (Decrease) in Net Assets | 22,956,814 | 198,515,812 | ||
Net Assets ($): | ||||
Beginning of Period | 1,002,699,779 | 804,183,967 | ||
End of Period | 1,025,656,593 | 1,002,699,779 | ||
Undistributed investment income—net | 3,543,854 | 4,322,824 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 20,720,978 | 19,731,208 | ||
Shares issued for dividends reinvested | 1,370,453 | 372,356 | ||
Shares redeemed | (24,634,466 | ) | (20,289,148 | ) |
Net Increase (Decrease) in Shares Outstanding | (2,543,035 | ) | (185,584 | ) |
See notes to financial statements. |
30
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 18.82 | 15.04 | 15.71 | 25.45 | 23.93 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .14 | .11 | .15 | .22 | .15 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 1.80 | 3.80 | .45 | (7.85 | ) | 2.45 | ||||
Total from Investment Operations | 1.94 | 3.91 | .60 | (7.63 | ) | 2.60 | ||||
Distributions: | ||||||||||
Dividends from investment income—net | (.16 | ) | (.13 | ) | (.23 | ) | (.15 | ) | (.12 | ) |
Dividends from net realized | ||||||||||
gain on investments | (.39 | ) | — | (1.04 | ) | (1.96 | ) | (.96 | ) | |
Total Distributions | (.55 | ) | (.13 | ) | (1.27 | ) | (2.11 | ) | (1.08 | ) |
Net asset value, end of period | 20.21 | 18.82 | 15.04 | 15.71 | 25.45 | |||||
Total Return (%) | 10.29 | 26.08 | 5.43 | (32.21 | ) | 11.15 | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .51 | .51 | .51 | .51 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment income | ||||||||||
to average net assets | .68 | .65 | 1.11 | 1.09 | .60 | |||||
Portfolio Turnover Rate | 22.25 | 20.72 | 25.48 | 31.84 | 25.08 | |||||
Net Assets, end of period | ||||||||||
($ x 1,000) | 1,025,657 | 1,002,700 | 804,184 | 734,645 | 998,016 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
The Fund | 31 |
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to match the performance of the Standard & Poor’s SmallCap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”), 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.
32
(a) Portfolio valuation: 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Fund | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
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.All preceding securities are categorized within Level 1 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
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. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that
34
influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.These securities are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2011 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Domestic† | 1,014,282,375 | — | — | 1,014,282,375 |
Mutual Funds | 10,549,280 | — | — | 10,549,280 |
U.S. Treasury | — | 1,299,892 | — | 1,299,892 |
Rights† | 623 | — | — | 623 |
Other Financial | ||||
Instruments: | ||||
Futures†† | 1,147,768 | — | — | 1,147,768 |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation at period end. |
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04
The Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of
36
rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2011, The Bank of New York Mellon earned $54,306 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act.
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended October 31, 2011 were as follows:
Affiliated | �� | |||||
Investment | Value | Value | Net | |||
Company | 10/31/2010 ($) | Purchases ($) | Sales ($) | 10/31/2011 ($) | Assets (%) | |
Dreyfus | ||||||
Institutional | ||||||
Preferred | ||||||
Plus Money | ||||||
Market | ||||||
Fund | 10,179,000 | 259,255,928 | 258,885,648 | 10,549,280 | 1.0 | |
Dreyfus | ||||||
Institutional | ||||||
Cash | ||||||
Advantage | ||||||
Fund† | 123,776,219 | 163,382,330 | 287,158,549 | — | — | |
Total | 133,955,219 | 422,638,258 | 546,044,197 | 10,549,280 | 1.0 |
† | On June 7, 2011, Dreyfus Institutional Cash Advantage Plus Fund was acquired by Dreyfus |
Institutional Cash Advantage Fund, resulting in a transfer of shares. |
(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.
The Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2011, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the four-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2011, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $9,989,001, undistributed capital gains $29,871,105 and unrealized appreciation $87,681,812.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2011 and October 31, 2010 were as follows: ordinary income $8,350,465 and $6,764,974 and long-term capital gains $21,136,380 and $0, respectively.
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.
38
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2011, was approximately $506,000 with a related weighted average annualized interest rate of 1.41%.
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 expense, commitment fees on borrowings, 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.Annual retainer fees and attendance fees are allocated to each fund based on net assets. During the period ended October 31, 2011, fees reimbursed by the Manager amounted to $57,857.
(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 October 31, 2011, the fund was charged $2,784,654 pursuant to the Shareholder Services Plan.
The Fund | 39 |
NOTES TO FINANCIAL STATEMENTS (continued)
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $205,574 and shareholder services plan fees $205,574.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2011, amounted to $245,879,472 and $317,359,188, respectively.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at October 31, 2011 are set forth in the Statement of Financial Futures.
40
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2011:
Average Market Value ($) | |
Equity futures contracts | 12,384,981 |
At October 31, 2011, the cost of investments for federal income tax purposes was $938,450,358; accordingly, accumulated net unrealized appreciation on investments was $87,681,812, consisting of $214,186,408 gross unrealized appreciation and $126,504,596 gross unrealized depreciation.
The Fund | 41 |
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors
Dreyfus Smallcap Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus Smallcap Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and financial highlights for each of the years indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011 by correspondence with the custodian and others.We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Smallcap Stock Index Fund at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the indicated years, in conformity with U.S. generally accepted accounting principles.
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New York, New York |
December 29, 2011 |
42
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby designates 95.68% of the ordinary dividends paid during the fiscal year ended October 31, 2011 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2011, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $7,989,946 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2012 of the percentage applicable to the preparation of their 2011 income tax returns.Also, the fund hereby designates $.3925 per share as a long-term capital gain distribution paid on December 29, 2010 and also designates $.0008 per share as a long-term capital gain distribution paid on March 30, 2011.
The Fund | 43 |
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (68) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 167 |
——————— |
Peggy C. Davis (68) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law |
• Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences |
and the law, legal process and professional methodology and training |
No. of Portfolios for which Board Member Serves: 53 |
——————— |
David P. Feldman (71) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 50 |
44
Ehud Houminer (71) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-present) |
No. of Portfolios for which Board Member Serves: 64 |
——————— |
Dr. Martin Peretz (72) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 35 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
The Fund | 45 |
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 75 investment companies (comprised of 167 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1988.
MICHAEL A. ROSENBERG, Vice President and Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1991.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 38 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 2000.
KATHLEEN DENICHOLAS, Vice President and Assistant Secretary since January 2010.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 37 years old and has been an employee of the Manager since February 2001.
JANETTE E. FARRAGHER, Vice President and Assistant Secretary since August 2005.
Assistant General Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 48 years old and has been an employee of the Manager since February 1984.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since February 1991.
M. CRISTINA MEISER, Vice President and Assistant Secretary since January 2010.
Senior Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. She is 41 years old and has been an employee of the Manager since August 2001.
46
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since April 1991.
ROBERT ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 76 investment companies (comprised of 192 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since November 1990.
The Fund | 47 |
OFFICERS OF THE FUND (Unaudited) (continued)
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (76 investment companies, comprised of 192 portfolios). From November 2001 through March 2004, Mr. Connolly was first Vice-President, Mutual Fund Servicing for Mellon Global Securities Services. In that capacity, Mr. Connolly was responsible for managing Mellon’s Custody, Fund Accounting and Fund Administration services to third-party mutual fund clients. He is 54 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
STEPHEN J. STOREN, Anti-Money Laundering Compliance Officer since May 2011.
Chief Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 72 investment companies (comprised of 188 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Distributor since October 1999.
48
For More Information
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![](https://capedge.com/proxy/N-CSR/0000857114-12-000002/scsincsrx52x2.jpg)
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. David P. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for profession0al services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $126,072 in 2010 and $101,544 in 2011.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $18,608 in 2010 and $18,000 in 2011. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $-0- in 2010 and $-0- in 2011.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $9,549 in 2010 and $23,422 in 2011. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $-0- in 2010 and $-0- in 2011.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $1,346 in 2010 and $1,393 in 2011. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $-0- in 2010 and $-0- in 2011.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note: None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $31,544,905 in 2010 and $16,139,606 in 2011.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY, beginning with reports for periods ended on and after December 31, 2005]
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
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) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: | December 19, 2011 |
| |
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: | December 19, 2011 |
| |
By: /s/ James Windels | |
James Windels, Treasurer
| |
Date: | December 19, 2011 |
|
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)