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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| (Exact name of Registrant as specified in charter) |
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c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 |
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| (Address of principal executive offices) (Zip code) |
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| Janette E. Farragher, Esq. 200 Park Avenue New York, New York 10166 |
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| (Name and address of agent for service) |
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Registrant's telephone number, including area code: | (212) 922-6000 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 04/30/2012 |
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DREYFUS INDEX FUNDS, INC.
-DREYFUS INTERNATIONAL STOCK INDEX FUND
-DREYFUS S&P 500 INDEX FUND
-DREYFUS SMALL CAP STOCK INDEX FUND
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Dreyfus International |
Stock Index Fund |
SEMIANNUAL REPORT April 30, 2012
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The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
36 | Statement of Financial Futures |
37 | Statement of Assets and Liabilities |
38 | Statement of Operations |
39 | Statement of Changes in Net Assets |
40 | Financial Highlights |
41 | Notes to Financial Statements |
56 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus International
Stock Index Fund
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2011, through April 30, 2012. 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.
International stock markets had declined sharply by the start of the reporting period due to the sovereign debt crisis in Europe, an unprecedented downgrade of long-term U.S. debt securities and recession fears in China. Fortunately, over the final months of 2011, European policymakers seemed to make progress toward addressing the region’s crisis, China’s economy appeared headed for a “soft landing” and the U.S. economy was bolstered by employment gains and increased manufacturing activity. Improved investor sentiment over the opening months of 2012 sparked market rallies that generally offset weakness earlier in the reporting period.
Our economic forecast calls for sluggish growth for the global economy over the remainder of 2012, but with sharp differences among individual markets. Accommodative monetary policies throughout the world should help avoid a full-blown global recession, but risks remain with regard to financial stresses in Europe, the Chinese property market and oil supply vulnerabilities in the Middle East. As always, we encourage you to talk with your financial adviser about how these developments may affect your investments.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through April 30, 2012, 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 six-month period ended April 30, 2012, Dreyfus International Stock Index Fund produced a total return of 2.69%.1 This compares with a 2.44% 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
Despite the dampening effects of a persistent sovereign debt crisis in Europe, improving economic fundamentals in other parts of the world helped stabilize international stock markets, enabling them to post modest gains, on average, by the reporting period’s end.
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.
Markets Bolstered by Improving Economic Fundamentals
Global stock markets had floundered in the months prior to the reporting period due to a number of macroeconomic concerns, including a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, fears of inflation and an economic slowdown in China, an unprecedented downgrade of one agency’s credit-rating of
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
long-term U.S. government debt, and uncertainties regarding the strength and sustainability of the U.S. economic recovery.These issues led investors to avoid the international markets’ riskier areas, and they focused instead on traditionally defensive markets, industry groups and companies with track records of consistent earnings growth, financial stability and dividend payments.
Fortunately, global economic conditions appeared to improve over the final months of 2011 and early 2012. In the United States, a declining U.S. employment rate, increased manufacturing activity, higher levels of consumer confidence and greater capital spending by businesses benefited exporters in overseas markets. In China, inflationary pressures and economic concerns moderated, reducing worries about a major engine of global growth.Although the European Central Bank took what were regarded as credible steps to address problems in the region’s banking system, austerity measures adopted by several governments weighed on Europe’s economic health. In response to these developments, investors gradually shifted their attention to more growth-oriented markets and industry groups.
European Stocks Lagged amid a Sovereign Debt Crisis
In this changing environment, the MSCI EAFE Index received positive contributions to performance from the consumer discretionary sector, where automobile manufacturers and their suppliers advanced as production recovered in the wake of the 2011 earthquake and tsunami in Japan. Major automakers such as Toyota Motor, Honda Motor, Daimler and Bayerische Motoren Werke (BMW) posted significant gains for the reporting period. In addition, providers of consumer services benefited from rising exports to the United States.
In the traditionally defensive consumer staples sector, food, beverage and tobacco companies encountered stronger sales and greater pricing power in Latin America and other emerging markets, boosting the stock prices of global giants such as brewer Anheuser-Busch InBev and food producer Nestle.The health care sector also fared relatively well,
4
primarily due to strength among pharmaceutical developers that enhanced their new product pipelines through acquisitions of smaller biotechnology firms.
On the other hand, the utilities sector generally was undermined by lower commercial demand for electricity stemming from the economic slump in Europe. In the information technology sector, a number of hardware and equipment manufacturers, most prominently Finland’s Nokia and its suppliers, suffered from a lack of viable smartphone products at a time when consumer demand for lower-end cellular telephones fell sharply.
Index Funds Offer Diversification Benefits
An as index fund, we attempt to replicate the returns of the MSCI EAFE Index by closely approximating its composition. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single country, industry group or holding.
May 15, 2012
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund’s performance will be influenced by political, social and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability and differing auditing and legal standards.
1 | Total return includes reinvestment of dividends and any capital gains paid. Past performance is no |
guarantee of future results. Share price, yield and investment return fluctuate such that upon | |
redemption, fund shares may be worth more or less than their original cost. | |
2 | SOURCE: LIPPER INC. — Reflects reinvestment of net dividends and, where applicable, |
capital gain distributions.The Morgan Stanley Capital International Europe,Australasia, Far | |
East (MSCI EAFE) Index is an unmanaged index composed of a sample of companies | |
representative of the market structure of European and Pacific Basin countries.The index reflects | |
actual investable opportunities for global investors for stocks that are free of foreign ownership | |
limits or legal restrictions at the country level. Investors cannot invest directly in any index. |
The Fund | 5 |
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from November 1, 2011 to April 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2012
Expenses paid per $1,000† | $ | 3.02 |
Ending value (after expenses) | $ | 1,026.90 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended April 30, 2012
Expenses paid per $1,000† | $ | 3.02 |
Ending value (after expenses) | $ | 1,021.88 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the |
period, multiplied by 182/366 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2012 (Unaudited)
Common Stocks—97.3 % | Shares | Value ($) | |
Australia—8.7% | |||
AGL Energy | 20,205 | 315,095 | |
Alumina | 112,290 | 135,603 | |
Amcor | 53,288 | 417,175 | |
AMP | 129,341 | 574,957 | |
APA Group | 22,637 | 123,016 | |
Asciano | 42,600 | 209,769 | |
ASX | 7,737 | 257,747 | |
Australia & New Zealand Banking Group | 117,894 | 2,934,555 | |
Bendigo and Adelaide Bank | 17,917 | 140,453 | |
BHP Billiton | 143,490 | 5,310,461 | |
Boral | 34,041 | 133,957 | |
Brambles | 64,156 | 482,888 | |
Caltex Australia | 6,352 | 91,057 | |
Campbell Brothers | 3,078 | 219,722 | |
CFS Retail Property Trust | 75,071 | 150,444 | |
Coca-Cola Amatil | 25,497 | 330,468 | |
Cochlear | 2,583 | 176,535 | |
Commonwealth Bank of Australia | 70,477 | 3,813,038 | |
Computershare | 20,287 | 177,617 | |
Crown | 20,990 | 198,850 | |
CSL | 23,581 | 899,965 | |
Dexus Property Group | 210,826 | 205,214 | |
Echo Entertainment Group | 32,820 | 153,752 | |
Fairfax Media | 105,013 | 75,433 | |
Fortescue Metals Group | 55,280 | 324,577 | |
Goodman Group | 63,366 | 237,481 | |
GPT Group | 77,338 | 263,276 | |
Harvey Norman Holdings | 21,349 | 44,895 | |
Iluka Resources | 18,724 | 331,374 | |
Incitec Pivot | 73,343 | 249,676 | |
Insurance Australia Group | 92,243 | 339,944 | |
James Hardie Industries-CDI | 18,518 | 144,393 | |
Leighton Holdings | 7,148 | 153,219 | |
Lend Lease Group | 24,666 | 191,305 | |
Lynas | 79,728a | 93,376 |
The Fund | 7 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Australia (continued) | ||
Macquarie Group | 15,216 | 462,704 |
Metcash | 32,769 | 135,092 |
Mirvac Group | 148,930 | 200,781 |
National Australia Bank | 98,661 | 2,591,396 |
Newcrest Mining | 33,747 | 923,979 |
Orica | 15,797 | 441,889 |
Origin Energy | 49,089 | 677,639 |
OZ Minerals | 14,661 | 142,402 |
Qantas Airways | 41,721 a | 71,014 |
QBE Insurance Group | 50,401 | 726,183 |
QR National | 75,896 | 287,602 |
Ramsay Health Care | 6,148 | 128,199 |
Rio Tinto | 19,567 | 1,351,563 |
Santos | 42,747 | 623,914 |
Sims Metal Management | 8,030 | 118,874 |
Sonic Healthcare | 16,149 | 211,998 |
SP Ausnet | 62,635 | 72,053 |
Stockland | 104,109 | 335,986 |
Suncorp Group | 55,767 | 472,577 |
Sydney Airport | 14,652 | 44,387 |
TABCORP Holdings | 33,277 | 99,425 |
Tatts Group | 60,376 | 162,164 |
Telstra | 196,824 | 725,358 |
Toll Holdings | 28,622 | 174,610 |
Transurban Group | 57,139 | 349,174 |
Wesfarmers | 45,163 | 1,423,671 |
Westfield Group | 98,806 | 950,443 |
Westfield Retail Trust | 126,912 | 359,371 |
Westpac Banking | 135,577 | 3,208,163 |
Whitehaven Coal | 19,528 | 108,153 |
Woodside Petroleum | 28,997 | 1,054,140 |
Woolworths | 54,987 | 1,484,913 |
WorleyParsons | 8,533 | 250,952 |
40,272,056 |
8
Common Stocks (continued) | Shares | Value ($) |
Austria—.3% | ||
Erste Group Bank | 8,858 | 203,940 |
IMMOFINANZ | 42,985 a | 151,108 |
OMV | 7,371 | 249,508 |
Raiffeisen Bank International | 2,344 | 77,824 |
Telekom Austria | 15,244 | 167,181 |
Verbund | 3,340 | 93,475 |
Vienna Insurance Group | 1,670 | 68,078 |
Voestalpine | 5,020 | 162,485 |
1,173,599 | ||
Belgium—1.0% | ||
Ageas | 95,646 | 174,065 |
Anheuser-Busch InBev | 35,933 | 2,589,607 |
Bekaert | 1,729 | 51,215 |
Belgacom | 7,081 | 201,125 |
Colruyt | 3,063 | 125,473 |
Delhaize Group | 4,505 | 219,275 |
Groupe Bruxelles Lambert | 3,633 | 252,013 |
Groupe Bruxelles Lambert (STRIP) | 236 a | 2 |
KBC Groep | 7,431 | 143,694 |
Mobistar | 1,360 | 51,427 |
Solvay | 2,666 | 324,384 |
UCB | 4,586 | 214,174 |
Umicore | 4,980 | 270,211 |
4,616,665 | ||
China—.0% | ||
Foxconn International Holdings | 86,000 a | 40,795 |
Yangzijiang Shipbuilding Holdings | 91,000 | 86,786 |
127,581 | ||
Denmark—1.2% | ||
AP Moller—Maersk, Cl. A | 25 | 186,281 |
AP Moller—Maersk, Cl. B | 59 | 461,457 |
Carlsberg, Cl. B | 4,679 | 403,254 |
Coloplast, Cl. B | 1,044 | 193,177 |
Danske Bank | 29,045 a | 471,547 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Denmark (continued) | ||
DSV | 9,265 | 210,997 |
Novo Nordisk, Cl. B | 19,028 | 2,806,525 |
Novozymes, Cl. B | 10,348 | 271,378 |
TDC | 21,423 | 153,605 |
Tryg | 1,152 | 64,256 |
Vestas Wind Systems | 7,867 a | 69,438 |
William Demant Holding | 997 a | 94,103 |
5,386,018 | ||
Finland—.8% | ||
Elisa | 6,364 | 143,530 |
Fortum | 19,279 | 414,649 |
Kesko, Cl. B | 2,995 | 79,995 |
Kone, Cl. B | 6,949 | 429,978 |
Metso | 5,760 | 247,007 |
Neste Oil | 6,406 | 75,715 |
Nokia | 169,388 | 608,464 |
Nokian Renkaat | 4,986 | 236,451 |
Orion, Cl. B | 4,426 | 90,273 |
Pohjola Bank, Cl. A | 5,029 | 54,115 |
Sampo, Cl. A | 18,219 | 484,689 |
Sanoma | 2,743 | 28,645 |
Stora Enso, Cl. R | 25,512 | 173,898 |
UPM-Kymmene | 23,543 | 301,322 |
Wartsila | 7,376 | 298,539 |
3,667,270 | ||
France—8.3% | ||
Accor | 6,674 | 230,508 |
Aeroports de Paris | 1,389 | 116,850 |
Air Liquide | 12,727 | 1,636,819 |
Alcatel-Lucent | 101,640 a | 156,589 |
Alstom | 9,164 | 327,242 |
Arkema | 2,392 | 211,834 |
Atos | 2,389 | 153,846 |
AXA | 76,763 | 1,087,122 |
BNP Paribas | 43,335 | 1,740,765 |
Bouygues | 8,391 | 227,894 |
10
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Bureau Veritas | 2,539 | 226,196 |
Cap Gemini | 6,669 | 260,302 |
Carrefour | 25,014 | 502,406 |
Casino Guichard Perrachon | 2,560 | 251,378 |
Christian Dior | 2,425 | 365,416 |
Cie de St-Gobain | 18,142 | 759,859 |
Cie Generale d’Optique Essilor International | 9,073 | 799,054 |
Cie Generale de Geophysique-Veritas | 6,334 a | 180,327 |
Cie Generale des Etablissements Michelin, Cl. B | 8,160 | 609,349 |
CNP Assurances | 6,982 | 97,955 |
Credit Agricole | 44,794 | 230,213 |
Danone | 26,173 | 1,841,193 |
Dassault Systemes | 2,498 | 242,414 |
Edenred | 6,904 | 220,496 |
EDF | 10,738 | 227,184 |
Eiffage | 2,009 | 68,284 |
Eurazeo | 1,324 | 67,844 |
Eutelsat Communications | 5,705 | 203,043 |
Fonciere Des Regions | 1,253 | 97,100 |
France Telecom | 81,799 | 1,118,925 |
GDF Suez | 55,614 | 1,280,048 |
Gecina | 1,000 | 92,689 |
Groupe Eurotunnel | 24,439 | 205,626 |
ICADE | 1,094 | 92,279 |
Iliad | 767 | 98,725 |
Imerys | 1,513 | 85,989 |
JC Decaux | 3,387 a | 96,091 |
Klepierre | 4,665 | 147,691 |
L’Oreal | 10,609 | 1,276,242 |
Lafarge | 8,981 | 350,128 |
Lagardere | 4,997 | 151,456 |
Legrand | 9,796 | 330,622 |
LVMH Moet Hennessy Louis Vuitton | 11,379 | 1,884,853 |
Natixis | 41,498 | 126,437 |
Neopost | 1,569 | 90,200 |
Pernod-Ricard | 8,943 | 928,105 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Peugeot | 10,393 | 124,764 |
PPR | 3,451 | 577,116 |
Publicis Groupe | 6,401 | 330,072 |
Renault | 8,556 | 388,708 |
Safran | 7,708 | 285,655 |
Sanofi | 50,940 | 3,887,551 |
Schneider Electric | 21,979 | 1,350,088 |
SCOR | 7,841 | 207,301 |
Societe BIC | 1,140 | 125,552 |
Societe Generale | 29,833 | 705,214 |
Societe Television Francaise 1 | 6,190 | 59,808 |
Sodexo | 4,195 | 334,028 |
Suez Environnement | 13,144 | 185,363 |
Technip | 4,307 | 486,999 |
Thales | 4,486 | 155,413 |
Total | 94,868 | 4,529,064 |
Unibail-Rodamco | 4,149 | 775,391 |
Vallourec | 4,946 | 297,399 |
Veolia Environnement | 16,290 | 238,570 |
Vinci | 19,935 | 923,479 |
Vivendi | 55,024 | 1,017,034 |
Wendel | 1,527 | 114,231 |
38,594,388 | ||
Germany—7.7% | ||
Adidas | 9,447 | 787,729 |
Allianz | 20,354 | 2,267,782 |
Axel Springer | 1,517 | 69,170 |
BASF | 41,073 | 3,380,800 |
Bayer | 37,016 | 2,606,905 |
Bayerische Motoren Werke | 14,868 | 1,413,123 |
Beiersdorf | 4,473 | 313,774 |
Brenntag | 2,007 | 249,965 |
Celesio | 3,952 | 68,130 |
Commerzbank | 159,134a | 344,368 |
Continental | 3,588 | 347,716 |
Daimler | 40,594 | 2,243,969 |
12
Common Stocks (continued) | Shares | Value ($) |
Germany (continued) | ||
Deutsche Bank | 41,661 | 1,812,475 |
Deutsche Boerse | 8,455 | 530,774 |
Deutsche Lufthansa | 9,238 | 120,204 |
Deutsche Post | 38,236 | 713,566 |
Deutsche Telekom | 126,092 | 1,421,401 |
E.ON | 80,735 | 1,828,863 |
Fraport Frankfurt Airport Services Worldwide | 1,609 | 104,542 |
Fresenius & Co. | 4,930 | 491,995 |
Fresenius Medical Care & Co. | 9,485 | 673,268 |
GEA Group | 7,622 | 251,498 |
Hannover Rueckversicherung | 2,441 | 147,535 |
HeidelbergCement | 6,304 | 346,556 |
Henkel & Co. | 5,774 | 353,376 |
Hochtief | 1,996 | 117,006 |
Infineon Technologies | 47,170 | 469,552 |
K+S | 7,687 | 384,126 |
Kabel Deutschland Holding | 3,938 a | 248,099 |
Lanxess | 3,616 | 287,877 |
Linde | 7,533 | 1,289,167 |
MAN | 2,846 | 359,507 |
Merck | 2,898 | 318,360 |
Metro | 5,363 | 173,019 |
Muenchener Rueckversicherungs | 7,916 | 1,148,833 |
RWE | 22,020 | 946,475 |
Salzgitter | 1,819 | 94,954 |
SAP | 41,179 | 2,730,042 |
Siemens | 36,797 | 3,407,743 |
Suedzucker | 3,046 | 92,706 |
ThyssenKrupp | 16,741 | 396,622 |
United Internet | 4,460 | 88,192 |
Volkswagen | 1,298 | 221,533 |
Wacker Chemie | 762 | 61,411 |
35,724,708 | ||
Greece—.1% | ||
Coca-Cola Hellenic Bottling | 8,251 a | 163,810 |
Hellenic Telecommunications Organization | 13,152 | 42,996 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Greece (continued) | ||
National Bank of Greece | 45,918 a | 102,102 |
OPAP | 8,540 | 76,296 |
385,204 | ||
Hong Kong—2.7% | ||
AIA Group | 378,600 | 1,346,958 |
ASM Pacific Technology | 7,800 | 105,672 |
Bank of East Asia | 69,550 | 259,543 |
BOC Hong Kong Holdings | 160,500 | 497,570 |
Cathay Pacific Airways | 52,000 | 88,211 |
Cheung Kong Holdings | 63,000 | 838,078 |
Cheung Kong Infrastructure Holdings | 21,000 | 124,656 |
CLP Holdings | 86,788 | 743,394 |
First Pacific | 100,000 | 108,666 |
Galaxy Entertainment Group | 59,000 a | 184,428 |
Hang Lung Group | 39,000 | 244,826 |
Hang Lung Properties | 110,000 | 406,948 |
Hang Seng Bank | 33,200 | 456,204 |
Henderson Land Development | 42,762 | 243,638 |
HKT Trust | 3,630 | 2,822 |
Hong Kong & China Gas | 205,754 | 526,204 |
Hong Kong Exchanges & Clearing | 46,300 | 740,657 |
Hopewell Holdings | 26,000 | 69,879 |
Hutchison Whampoa | 93,800 | 902,603 |
Hysan Development | 28,000 | 126,867 |
Kerry Properties | 34,000 | 155,367 |
Li & Fung | 257,200 | 550,355 |
Lifestyle International Holdings | 27,500 | 64,516 |
Link REIT | 98,500 | 410,112 |
MTR | 67,000 | 238,368 |
New World Development | 162,786 | 202,912 |
NWS Holdings | 60,000 | 90,645 |
Orient Overseas International | 11,300 | 77,200 |
PCCW | 167,000 | 62,213 |
Power Assets Holdings | 60,000 | 448,584 |
Shangri-La Asia | 63,000 | 133,833 |
Sino Land | 127,730 | 220,629 |
14
Common Stocks (continued) | Shares | Value ($) |
Hong Kong (continued) | ||
SJM Holdings | 74,530 | 163,706 |
Sun Hung Kai Properties | 62,699 | 756,486 |
Swire Pacific, Cl. A | 32,500 | 383,955 |
Wharf Holdings | 67,311 | 401,727 |
Wheelock & Co. | 42,000 | 141,845 |
Wing Hang Bank | 8,000 | 85,128 |
Yue Yuen Industrial Holdings | 32,300 | 108,253 |
12,713,658 | ||
Ireland—.3% | ||
CRH | 32,530 | 659,392 |
Elan | 21,908 a | 303,013 |
Irish Bank Resolution | 35,225 a,b | 47 |
Kerry Group, Cl. A | 6,337 | 286,597 |
Ryanair Holdings | 4,000 a | 22,522 |
1,271,571 | ||
Israel—.6% | ||
Bank Hapoalim | 49,644 | 184,611 |
Bank Leumi Le-Israel | 55,519 | 174,015 |
Bezeq Israeli Telecommunication | 76,662 | 128,288 |
Cellcom Israel | 2,512 | 31,594 |
Delek Group | 202 | 39,437 |
Elbit Systems | 1,178 | 43,024 |
Israel | 117 | 76,451 |
Israel Chemicals | 20,621 | 236,568 |
Israel Discount Bank, Cl. A | 31,733 a | 41,218 |
Mizrahi Tefahot Bank | 6,222 | 56,192 |
NICE Systems | 2,452 a | 93,006 |
Partner Communications | 4,318 | 32,356 |
Teva Pharmaceutical Industries | 42,187 | 1,909,467 |
3,046,227 | ||
Italy—2.0% | ||
A2A | 55,689 | 35,350 |
Assicurazioni Generali | 52,756 | 718,505 |
Atlantia | 13,932 | 211,136 |
Autogrill | 5,146 | 51,219 |
Banca Carige | 32,548 | 34,033 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Italy (continued) | |||
Banca Monte dei Paschi di Siena | 191,415 | 67,973 | |
Banco Popolare | 72,942 | 108,321 | |
Enel | 290,343 | 953,028 | |
Enel Green Power | 80,792 | 130,458 | |
ENI | 107,614 | 2,388,605 | |
EXOR | 2,723 | 63,323 | |
Fiat | 33,065a | 159,649 | |
Fiat Industrial | 34,213 | 388,074 | |
Finmeccanica | 19,919 | 85,577 | |
Intesa Sanpaolo | 455,418 | 688,968 | |
Intesa Sanpaolo-RSP | 47,999 | 64,101 | |
Luxottica Group | 5,098 | 182,520 | |
Mediaset | 31,881 | 75,827 | |
Mediobanca | 23,963 | 117,033 | |
Pirelli & C | 11,503 | 140,069 | |
Prysmian | 8,559 | 139,338 | |
Saipem | 11,993 | 592,396 | |
Snam Rete Gas | 71,950 | 342,256 | |
Telecom Italia | 407,312 | 462,818 | |
Telecom Italia-RSP | 266,227 | 250,180 | |
Terna Rete Elettrica Nazionale | 56,257 | 209,231 | |
Unicredit | 178,780 | 711,296 | |
Unione di Banche Italiane | 34,541 | 128,282 | |
9,499,566 | |||
Japan—20.9% | |||
ABC-Mart | 1,000 | 36,408 | |
Advantest | 6,400 | 107,408 | |
Aeon | 26,900 | 351,726 | |
Aeon Credit Service | 3,960 | 69,435 | |
AEON Mall | 2,800 | 62,456 | |
Air Water | 7,000 | 88,547 | |
Aisin Seiki | 8,600 | 306,324 | |
Ajinomoto | 28,800 | 372,602 | |
Alfresa Holdings | 1,900 | 87,927 | |
All Nippon Airways | 34,000 | 99,643 | |
Amada | 17,000 | 116,250 |
16
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Aozora Bank | 21,959 | 56,654 |
Asahi Glass | 43,800 | 347,240 |
Asahi Group Holdings | 16,800 | 379,365 |
Asahi Kasei | 55,900 | 347,253 |
Asics | 7,000 | 76,010 |
Astellas Pharma | 20,079 | 816,036 |
Bank of Kyoto | 14,000 | 119,056 |
Bank of Yokohama | 57,000 | 277,701 |
Benesse Holdings | 3,100 | 153,748 |
Bridgestone | 29,400 | 701,447 |
Brother Industries | 11,200 | 151,774 |
Canon | 50,750 | 2,332,676 |
Casio Computer | 9,300 | 62,314 |
Central Japan Railway | 68 | 565,496 |
Chiba Bank | 34,000 | 207,377 |
Chiyoda | 6,000 | 72,816 |
Chubu Electric Power | 30,900 | 506,196 |
Chugai Pharmaceutical | 10,128 | 183,165 |
Chugoku Bank | 7,000 | 88,722 |
Chugoku Electric Power | 13,400 | 230,424 |
Citizen Holdings | 12,400 | 78,116 |
Coca-Cola West | 2,700 | 48,965 |
Cosmo Oil | 27,000 | 75,070 |
Credit Saison | 7,100 | 153,302 |
Dai Nippon Printing | 24,800 | 221,459 |
Dai-ichi Life Insurance | 401 | 508,250 |
Daicel Chemical Industries | 11,000 | 69,986 |
Daido Steel | 12,200 | 76,245 |
Daihatsu Motor | 9,000 | 171,107 |
Daiichi Sankyo | 29,183 | 502,191 |
Daikin Industries | 10,400 | 276,656 |
Dainippon Sumitomo Pharma | 6,900 | 69,307 |
Daito Trust Construction | 3,200 | 288,960 |
Daiwa House Industry | 21,400 | 277,132 |
Daiwa Securities Group | 75,000 | 285,553 |
DeNA | 3,900 | 122,258 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Denki Kagaku Kogyo | 22,600 | 88,311 |
Denso | 22,000 | 718,868 |
Dentsu | 8,400 | 259,117 |
East Japan Railway | 15,000 | 935,563 |
Eisai | 10,900 | 425,925 |
Electric Power Development | 5,280 | 146,540 |
FamilyMart | 3,000 | 133,759 |
FANUC | 8,600 | 1,463,761 |
Fast Retailing | 2,300 | 516,488 |
Fuji Electric | 21,000 | 56,284 |
Fuji Heavy Industries | 27,000 | 207,289 |
FUJIFILM Holdings | 20,100 | 429,716 |
Fujitsu | 80,800 | 394,665 |
Fukuoka Financial Group | 33,000 | 138,042 |
Furukawa Electric | 28,000 | 76,448 |
Gree | 4,300 | 115,841 |
GS Yuasa | 16,000 | 82,961 |
Gunma Bank | 18,000 | 91,527 |
Hachijuni Bank | 20,000 | 109,212 |
Hakuhodo DY Holdings | 1,170 | 73,413 |
Hamamatsu Photonics | 3,200 | 128,048 |
Hino Motors | 12,000 | 85,666 |
Hirose Electric | 1,300 | 136,928 |
Hiroshima Bank | 19,000 | 77,337 |
Hisamitsu Pharmaceutical | 2,900 | 129,301 |
Hitachi | 199,900 | 1,281,844 |
Hitachi Chemical | 4,000 | 74,695 |
Hitachi Construction Machinery | 5,000 | 109,399 |
Hitachi High-Technologies | 2,700 | 68,206 |
Hitachi Metals | 8,000 | 100,395 |
Hokkaido Electric Power | 8,200 | 115,434 |
Hokuhoku Financial Group | 49,000 | 85,916 |
Hokuriku Electric Power | 7,700 | 131,829 |
Honda Motor | 73,020 | 2,648,455 |
Hoya | 18,900 | 435,544 |
Ibiden | 5,600 | 115,654 |
18
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Idemitsu Kosan | 900 | 83,186 |
IHI | 61,000 | 148,212 |
INPEX | 97 | 643,873 |
Isetan Mitsukoshi Holdings | 17,020 | 186,304 |
Isuzu Motors | 52,000 | 298,929 |
ITOCHU | 68,000 | 771,595 |
Itochu Techno-Solutions | 1,400 | 63,911 |
Iyo Bank | 11,000 | 91,477 |
J Front Retailing | 22,800 | 117,648 |
Japan Petroleum Exploration | 1,400 | 64,262 |
Japan Prime Realty Investment | 27 | 77,742 |
Japan Real Estate Investment | 24 | 212,812 |
Japan Retail Fund Investment | 79 | 126,151 |
Japan Steel Works | 13,000 | 79,454 |
Japan Tobacco | 203 | 1,127,566 |
JFE Holdings | 20,560 | 389,081 |
JGC | 9,000 | 260,605 |
Joyo Bank | 26,462 | 115,996 |
JS Group | 11,724 | 230,971 |
JSR | 7,700 | 152,949 |
JTEKT | 10,800 | 119,436 |
Jupiter Telecommunications | 77 | 81,586 |
JX Holdings | 101,676 | 576,858 |
Kajima | 38,800 | 110,795 |
Kamigumi | 9,400 | 75,699 |
Kaneka | 12,000 | 74,544 |
Kansai Electric Power | 34,099 | 494,541 |
Kansai Paint | 10,000 | 107,959 |
Kao | 23,800 | 639,972 |
Kawasaki Heavy Industries | 65,000 | 197,007 |
Kawasaki Kisen Kaisha | 35,000 | 74,519 |
KDDI | 131 | 861,356 |
Keikyu | 20,000 | 171,833 |
Keio | 25,000 | 180,976 |
Keisei Electric Railway | 13,000 | 100,620 |
Keyence | 1,985 | 471,358 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Kikkoman | 6,000 | 70,562 |
Kinden | 6,000 | 41,706 |
Kintetsu | 73,354 | 259,075 |
Kirin Holdings | 36,000 | 460,793 |
Kobe Steel | 113,000 | 162,753 |
Koito Manufacturing | 4,000 | 62,120 |
Komatsu | 41,900 | 1,214,835 |
Konami | 3,700 | 107,972 |
Konica Minolta Holdings | 19,500 | 159,722 |
Kubota | 53,000 | 515,098 |
Kuraray | 16,000 | 229,244 |
Kurita Water Industries | 4,800 | 117,888 |
Kyocera | 6,900 | 679,241 |
Kyowa Hakko Kirin | 11,705 | 123,581 |
Kyushu Electric Power | 17,800 | 236,531 |
Lawson | 2,600 | 172,259 |
Mabuchi Motor | 1,000 | 42,144 |
Makita | 5,100 | 197,370 |
Marubeni | 72,000 | 503,175 |
Marui Group | 10,900 | 86,823 |
Maruichi Steel Tube | 2,000 | 44,186 |
Mazda Motor | 114,000a | 187,037 |
McDonald’s Holdings Japan | 3,000 | 85,215 |
Medipal Holdings | 5,400 | 68,578 |
MEIJI Holdings | 2,921 | 129,688 |
Miraca Holdings | 2,600 | 102,737 |
Mitsubishi | 63,098 | 1,377,416 |
Mitsubishi Chemical Holdings | 59,380 | 313,838 |
Mitsubishi Electric | 87,000 | 770,355 |
Mitsubishi Estate | 56,000 | 998,735 |
Mitsubishi Gas Chemical | 16,000 | 105,404 |
Mitsubishi Heavy Industries | 137,700 | 627,751 |
Mitsubishi Logistics | 4,000 | 44,136 |
Mitsubishi Materials | 51,000 | 153,297 |
Mitsubishi Motors | 181,000a | 204,020 |
Mitsubishi Tanabe Pharma | 9,200 | 128,128 |
20
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Mitsubishi UFJ Financial Group | 570,090 | 2,763,164 |
Mitsubishi UFJ Lease & Finance | 2,840 | 118,444 |
Mitsui & Co. | 76,600 | 1,203,036 |
Mitsui Chemicals | 38,000 | 109,938 |
Mitsui Fudosan | 38,000 | 702,937 |
Mitsui OSK Lines | 50,000 | 195,379 |
Mizuho Financial Group | 1,023,400 | 1,627,801 |
MS&AD Insurance Group Holdings | 24,757 | 459,824 |
Murata Manufacturing | 9,000 | 517,941 |
Nabtesco | 4,500 | 97,051 |
Namco Bandai Holdings | 8,650 | 124,368 |
NEC | 120,800a | 219,375 |
NGK Insulators | 11,000 | 138,456 |
NGK Spark Plug | 6,000 | 86,117 |
NHK Spring | 7,000 | 73,643 |
Nidec | 4,700 | 423,821 |
Nikon | 15,160 | 454,354 |
Nintendo | 4,450 | 607,490 |
Nippon Building Fund | 28 | 266,867 |
Nippon Electric Glass | 17,085 | 139,513 |
Nippon Express | 38,000 | 144,204 |
Nippon Meat Packers | 7,000 | 89,862 |
Nippon Paper Group | 3,800 | 76,148 |
Nippon Sheet Glass | 42,000 | 54,706 |
Nippon Steel | 231,100 | 581,766 |
Nippon Telegraph & Telephone | 19,200 | 871,689 |
Nippon Yusen | 69,800 | 208,058 |
Nishi-Nippon City Bank | 26,000 | 68,708 |
Nissan Motor | 109,800 | 1,149,637 |
Nisshin Seifun Group | 7,800 | 95,540 |
Nisshin Steel | 29,000 | 41,042 |
Nissin Foods Holdings | 2,600 | 97,852 |
Nitori Holdings | 1,700 | 156,491 |
Nitto Denko | 7,300 | 302,624 |
NKSJ Holdings | 16,670 | 345,530 |
NOK | 5,100 | 106,222 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Nomura Holdings | 164,100 | 678,227 |
Nomura Real Estate Holdings | 4,000 | 70,487 |
Nomura Real Estate Office Fund | 12 | 69,810 |
Nomura Research Institute | 4,700 | 108,604 |
NSK | 20,000 | 138,769 |
NTN | 19,000 | 72,578 |
NTT Data | 55 | 191,703 |
NTT DoCoMo | 674 | 1,149,713 |
NTT Urban Development | 55 | 42,501 |
Obayashi | 26,000 | 110,389 |
Odakyu Electric Railway | 28,000 | 259,503 |
OJI Paper | 35,000 | 160,874 |
Olympus | 9,500 a | 149,915 |
Omron | 9,200 | 196,686 |
Ono Pharmaceutical | 3,800 | 215,117 |
ORACLE JAPAN | 2,000 | 77,400 |
Oriental Land | 2,100 | 233,026 |
ORIX | 4,550 | 437,648 |
Osaka Gas | 82,000 | 331,718 |
OTSUKA | 700 | 56,372 |
Otsuka Holdings | 11,300 | 341,073 |
Panasonic | 99,595 | 775,854 |
Rakuten | 325 | 362,264 |
Resona Holdings | 84,200 | 359,599 |
Ricoh | 30,000 | 272,027 |
Rinnai | 1,500 | 109,900 |
Rohm | 4,400 | 199,487 |
Sankyo | 2,400 | 116,025 |
Sanrio | 2,100 | 92,448 |
Santen Pharmaceutical | 3,300 | 137,836 |
SBI Holdings | 843 | 68,627 |
Secom | 9,400 | 447,367 |
Sega Sammy Holdings | 8,784 | 184,272 |
Seiko Epson | 4,900 | 66,033 |
Sekisui Chemical | 19,000 | 171,332 |
Sekisui House | 25,000 | 233,264 |
22
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Seven & I Holdings | 33,260 | 1,009,318 |
Seven Bank | 26,000 | 64,475 |
Sharp | 46,000 | 297,276 |
Shikoku Electric Power | 8,200 | 211,868 |
Shimadzu | 9,000 | 80,706 |
Shimamura | 1,000 | 113,595 |
Shimano | 3,400 | 223,984 |
Shimizu | 23,000 | 87,570 |
Shin-Etsu Chemical | 18,100 | 1,051,838 |
Shinsei Bank | 54,000 | 70,336 |
Shionogi & Co. | 14,000 | 183,230 |
Shiseido | 16,200 | 284,456 |
Shizuoka Bank | 25,400 | 266,263 |
Showa Denko | 69,000 | 154,687 |
Showa Shell Sekiyu | 8,500 | 53,760 |
SMC | 2,500 | 419,876 |
Softbank | 39,100 | 1,173,318 |
Sojitz | 54,600 | 92,316 |
Sony | 45,380 | 747,950 |
Sony Financial Holdings | 7,000 | 114,672 |
Square Enix Holdings | 2,700 | 52,955 |
Stanley Electric | 6,700 | 103,296 |
Sumco | 4,900a | 52,655 |
Sumitomo | 50,800 | 725,305 |
Sumitomo Chemical | 70,000 | 290,187 |
Sumitomo Electric Industries | 33,000 | 450,085 |
Sumitomo Heavy Industries | 25,000 | 129,626 |
Sumitomo Metal Industries | 149,000 | 270,587 |
Sumitomo Metal Mining | 23,000 | 304,189 |
Sumitomo Mitsui Financial Group | 60,200 | 1,948,235 |
Sumitomo Mitsui Trust Holdings | 135,640 | 400,915 |
Sumitomo Realty & Development | 16,000 | 385,547 |
Sumitomo Rubber Industries | 7,600 | 105,845 |
Suruga Bank | 8,000 | 80,155 |
Suzuken | 2,920 | 88,501 |
Suzuki Motor | 15,100 | 358,754 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Sysmex | 3,200 | 129,451 |
T&D Holdings | 26,000 | 282,322 |
Taisei | 48,000 | 122,036 |
Taisho Pharmaceutical Holdings | 1,500 | 119,857 |
Taiyo Nippon Sanso | 12,000 | 83,261 |
Takashimaya | 12,000 | 91,377 |
Takeda Pharmaceutical | 35,400 | 1,545,106 |
TDK | 5,500 | 290,688 |
Teijin | 40,000 | 135,262 |
Terumo | 7,500 | 345,200 |
THK | 5,600 | 112,498 |
Tobu Railway | 45,000 | 229,382 |
Toho | 4,300 | 77,335 |
Toho Gas | 18,000 | 108,661 |
Tohoku Electric Power | 19,800 | 208,056 |
Tokio Marine Holdings | 32,600 | 840,671 |
Tokyo Electric Power | 68,472a | 171,512 |
Tokyo Electron | 7,700 | 429,626 |
Tokyo Gas | 107,000 | 517,277 |
Tokyu | 50,820 | 238,045 |
Tokyu Land | 19,000 | 92,329 |
TonenGeneral Sekiyu | 11,000 | 103,325 |
Toppan Printing | 25,000 | 170,017 |
Toray Industries | 64,000 | 494,558 |
Toshiba | 182,000 | 749,928 |
Tosoh | 22,000 | 61,444 |
TOTO | 14,000 | 103,801 |
Toyo Seikan Kaisha | 7,100 | 95,325 |
Toyo Suisan Kaisha | 4,000 | 102,699 |
Toyoda Gosei | 2,300 | 47,357 |
Toyota Boshoku | 2,600 | 32,140 |
Toyota Industries | 8,100 | 230,588 |
Toyota Motor | 123,214 | 5,100,160 |
Toyota Tsusho | 9,900 | 197,516 |
Trend Micro | 4,200 | 128,033 |
Tsumura & Co. | 2,300 | 61,443 |
24
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Ube Industries | 46,600 | 119,644 |
UNICHARM | 5,000 | 279,291 |
Ushio | 4,600 | 60,435 |
USS | 980 | 99,786 |
West Japan Railway | 7,600 | 312,681 |
Yahoo! Japan | 601 | 180,725 |
Yakult Honsha | 4,300 | 158,763 |
Yamada Denki | 3,630 | 236,408 |
Yamaguchi Financial Group | 9,000 | 77,550 |
Yamaha | 7,200 | 70,246 |
Yamaha Motor | 13,200 | 177,719 |
Yamato Holdings | 17,700 | 274,218 |
Yamato Kogyo | 1,800 | 51,490 |
Yamazaki Baking | 6,000 | 88,897 |
Yaskawa Electric | 9,000 | 78,790 |
Yokogawa Electric | 8,800 | 85,085 |
97,208,721 | ||
Luxembourg—.4% | ||
ArcelorMittal | 38,827 | 671,407 |
Millicom International Cellular, SDR | 3,412 | 362,344 |
SES | 13,430 | 321,556 |
Subsea 7 | 12,655a | 327,623 |
Tenaris | 20,491 | 396,780 |
2,079,710 | ||
Macau—.1% | ||
Sands China | 107,413 | 422,300 |
Wynn Macau | 71,200 | 228,530 |
650,830 | ||
Netherlands—2.6% | ||
Aegon | 76,511 | 353,319 |
Akzo Nobel | 10,629 | 569,546 |
ASML Holding | 19,416 | 987,838 |
Corio | 2,374 | 106,235 |
Delta Lloyd | 3,857 | 65,012 |
European Aeronautic Defence and Space | 18,513 | 730,802 |
Fugro | 3,133 | 228,317 |
The Fund | 25 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Netherlands (continued) | ||
Heineken | 11,721 | 640,936 |
Heineken Holding | 5,328 | 246,676 |
ING Groep | 168,822 a | 1,190,294 |
Koninklijke Ahold | 52,519 | 666,063 |
Koninklijke Boskalis Westminster | 3,270 | 119,281 |
Koninklijke DSM | 6,749 | 386,919 |
Koninklijke KPN | 66,930 | 600,699 |
Koninklijke Philips Electronics | 45,490 | 903,129 |
Koninklijke Vopak | 3,280 | 211,398 |
QIAGEN | 9,940 a | 164,268 |
Randstad Holding | 5,158 | 178,592 |
Reed Elsevier | 30,068 | 354,549 |
SBM Offshore | 6,898 | 125,308 |
STMicroelectronics | 28,962 | 164,256 |
TNT Express | 16,492 | 199,945 |
Unilever | 72,928 | 2,497,085 |
Wolters Kluwer | 13,602 | 234,759 |
11,925,226 | ||
New Zealand—.1% | ||
Auckland International Airport | 42,260 | 87,475 |
Contact Energy | 16,082 a | 63,814 |
Fletcher Building | 30,980 | 158,668 |
Sky City Entertainment Group | 26,289 | 82,592 |
Telecom Corporation of New Zealand | 88,233 | 189,854 |
582,403 | ||
Norway—.9% | ||
Aker Solutions | 7,694 | 130,621 |
DNB | 42,391 | 456,593 |
Gjensidige Forsikring | 8,002 | 90,101 |
Norsk Hydro | 43,296 | 210,420 |
Orkla | 34,223 | 251,160 |
SeaDrill | 14,886 | 575,602 |
Statoil | 50,116 | 1,336,812 |
Telenor | 32,795 | 602,274 |
Yara International | 8,388 | 411,028 |
4,064,611 |
26
Common Stocks (continued) | Shares | Value ($) |
Portugal—.2% | ||
Banco Espirito Santo | 27,218 | 23,056 |
Cimpor-Cimentos de Portugal | 9,151 | 66,858 |
Energias de Portugal | 88,413 | 252,762 |
Galp Energia, Cl. B | 9,504 | 149,565 |
Jeronimo Martins | 10,165 | 190,373 |
Portugal Telecom | 27,519 | 148,096 |
830,710 | ||
Singapore—1.8% | ||
Ascendas Real Estate Investment Trust | 78,912 | 132,657 |
CapitaLand | 115,500 | 274,444 |
CapitaMall Trust | 89,000 | 129,475 |
Capitamalls Asia | 50,000 | 62,232 |
City Developments | 23,000 | 188,491 |
ComfortDelgro | 72,700 | 89,898 |
Cosco Singapore | 48,000 | 40,152 |
DBS Group Holdings | 77,588 | 875,397 |
Fraser and Neave | 41,150 | 234,136 |
Genting Singapore | 272,527 a | 381,049 |
Global Logistic Properties | 73,843 a | 122,942 |
Golden Agri-Resources | 272,440 | 161,839 |
Hutchison Port Holdings Trust | 227,000 | 171,385 |
Jardine Cycle & Carriage | 4,422 | 168,581 |
Keppel | 64,700 | 577,819 |
Keppel Land | 36,000 | 92,233 |
Neptune Orient Lines | 31,000 a | 30,942 |
Noble Group | 178,963 | 170,675 |
Olam International | 61,995 | 113,739 |
Oversea-Chinese Banking | 115,942 | 839,603 |
SembCorp Industries | 46,254 | 188,784 |
SembCorp Marine | 38,000 | 156,017 |
Singapore Airlines | 24,733 | 213,888 |
Singapore Exchange | 39,000 | 211,186 |
Singapore Press Holdings | 69,075 | 221,634 |
Singapore Technologies Engineering | 72,000 | 175,156 |
Singapore Telecommunications | 358,951 | 905,138 |
StarHub | 26,918 | 69,400 |
The Fund | 27 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Singapore (continued) | ||
United Overseas Bank | 56,112 | 872,994 |
UOL Group | 23,111 | 84,427 |
Wilmar International | 86,000 | 338,495 |
8,294,808 | ||
Spain—2.5% | ||
Abertis Infraestructuras | 17,240 | 266,744 |
Acciona | 1,014 | 62,273 |
Acerinox | 5,086 | 61,816 |
ACS Actividades de Construccion y Servicios | 5,842 | 107,091 |
Amadeus IT Holding, Cl. A | 14,102 | 288,184 |
Banco Bilbao Vizcaya Argentaria | 209,151 | 1,413,459 |
Banco de Sabadell | 89,357 | 210,992 |
Banco Popular Espanol | 47,284 | 151,138 |
Banco Santander | 384,364 | 2,401,194 |
Bankia | 35,723 | 122,601 |
Bankinter | 9,093 | 40,450 |
CaixaBank | 31,065 | 107,067 |
Distribuidora Internacional de Alimentacion | 24,080 a | 115,374 |
EDP Renovaveis | 9,222 a | 39,278 |
Enagas | 7,711 | 135,484 |
Ferrovial | 15,148 | 168,654 |
Fomento de Construcciones y Contratas | 2,269 | 38,756 |
Gas Natural SDG | 15,540 | 216,376 |
Grifols | 6,152 a | 154,911 |
Iberdrola | 168,838 | 785,932 |
Inditex | 9,831 | 884,158 |
Indra Sistemas | 3,571 | 37,046 |
International Consolidated Airlines Group | 38,774 a | 111,364 |
Mapfre | 35,362 | 102,172 |
Red Electrica | 4,892 | 212,957 |
Repsol | 35,059 | 670,517 |
Telefonica | 183,850 | 2,679,128 |
Zardoya Otis | 6,097 | 74,645 |
11,659,761 |
28
Common Stocks (continued) | Shares | Value ($) |
Sweden—3.0% | ||
Alfa Laval | 14,802 | 295,012 |
Assa Abloy, Cl. B | 14,014 | 408,330 |
Atlas Copco, Cl. A | 30,322 | 721,593 |
Atlas Copco, Cl. B | 17,066 | 358,157 |
Boliden | 11,860 | 189,807 |
Electrolux, Ser. B | 10,875 | 242,786 |
Getinge, Cl. B | 9,020 | 242,023 |
Hennes & Mauritz, Cl. B | 45,866 | 1,575,176 |
Hexagon, Cl. B | 11,468 | 232,828 |
Holmen, Cl. B | 2,181 | 57,904 |
Husqvarna, Cl. B | 20,545 | 118,197 |
Industrivarden, Cl. C | 5,510 | 84,166 |
Investor, Cl. B | 19,774 | 394,107 |
Kinnevik Investment, Cl. B | 9,340 | 189,902 |
Lundin Petroleum | 9,216 a | 183,269 |
Modern Times Group, Cl. B | 2,012 | 97,797 |
Nordea Bank | 116,152 | 1,029,644 |
Ratos, Cl. B | 9,138 | 106,965 |
Sandvik | 45,434 | 719,689 |
Scania, Cl. B | 14,423 | 294,752 |
Securitas, Cl. B | 13,206 | 120,995 |
Skandinaviska Enskilda Banken, Cl. A | 62,818 | 423,810 |
Skanska, Cl. B | 17,719 | 288,317 |
SKF, Cl. B | 17,448 | 413,924 |
SSAB, Cl. A | 7,127 | 72,719 |
Svenska Cellulosa, Cl. B | 25,742 | 407,761 |
Svenska Handelsbanken, Cl. A | 22,141 | 717,248 |
Swedbank, Cl. A | 37,178 | 615,454 |
Swedish Match | 9,323 | 378,835 |
Tele2, Cl. B | 14,263 | 271,753 |
Telefonaktiebolaget LM Ericsson, Cl. B | 132,827 | 1,315,755 |
TeliaSonera | 98,012 | 654,983 |
Volvo, Cl. B | 62,756 | 869,932 |
14,093,590 |
The Fund | 29 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Switzerland—8.4% | ||
ABB | 98,221 a | 1,789,870 |
Actelion | 5,031 a | 212,847 |
Adecco | 5,947 a | 289,602 |
Aryzta | 3,825 a | 192,588 |
Baloise Holding | 2,170 | 167,953 |
Barry Callebaut | 84 a | 80,840 |
Cie Financiere Richemont, Cl. A | 23,431 | 1,448,222 |
Credit Suisse Group | 51,235 a | 1,225,485 |
GAM Holding | 9,125 a | 117,122 |
Geberit | 1,712 a | 361,960 |
Givaudan | 364 a | 353,312 |
Holcim | 11,092 a | 690,462 |
Julius Baer Group | 9,034 a | 345,873 |
Kuehne & Nagel International | 2,399 | 291,533 |
Lindt & Spruengli | 5 | 195,890 |
Lindt & Spruengli-PC | 38 | 123,924 |
Lonza Group | 2,290 a | 103,266 |
Nestle | 147,335 | 9,025,314 |
Novartis | 104,256 | 5,748,926 |
Pargesa Holding-BR | 1,256 | 84,065 |
Partners Group Holding | 624 | 118,729 |
Roche Holding | 31,387 | 5,733,449 |
Schindler Holding | 876 | 111,955 |
Schindler Holding-PC | 2,190 | 283,266 |
SGS | 238 | 459,664 |
Sika-BR | 92 | 194,917 |
Sonova Holding | 2,217 a | 244,746 |
Straumann Holding | 380 | 63,051 |
Sulzer | 1,104 | 158,731 |
Swatch Group | 1,771 | 141,266 |
Swatch Group-BR | 1,396 | 643,823 |
Swiss Life Holding | 1,289 a | 131,861 |
Swiss Re | 15,547 a | 974,632 |
Swisscom | 1,040 | 387,400�� |
Syngenta | 4,245 | 1,490,532 |
Synthes | 2,831 c | 488,130 |
30
Common Stocks (continued) | Shares | Value ($) | |
Switzerland (continued) | |||
Transocean | 15,609 | 779,031 | |
UBS | 163,051a | 2,035,331 | |
Zurich Financial Services | 6,610a | 1,616,724 | |
38,906,292 | |||
United Kingdom—22.7% | |||
3i Group | 40,776 | 126,535 | |
Admiral Group | 9,339 | 183,650 | |
Aggreko | 11,620 | 424,745 | |
AMEC | 14,964 | 275,797 | |
Anglo American | 59,271 | 2,279,136 | |
Antofagasta | 17,624 | 337,987 | |
ARM Holdings | 61,191 | 520,673 | |
Associated British Foods | 15,834 | 313,430 | |
AstraZeneca | 58,315 | 2,556,288 | |
Aviva | 131,449 | 657,651 | |
Babcock International Group | 16,328 | 220,333 | |
BAE Systems | 145,464 | 697,297 | |
Balfour Beatty | 31,657 | 134,170 | |
Barclays | 519,445 | 1,840,942 | |
BG Group | 151,772 | 3,574,832 | |
BHP Billiton | 94,495 | 3,029,788 | |
BP | 847,103 | 6,121,283 | |
British American Tobacco | 88,022 | 4,515,305 | |
British Land | 37,405 | 297,262 | |
British Sky Broadcasting Group | 51,626 | 568,387 | |
BT Group | 343,028 | 1,174,212 | |
Bunzl | 14,415 | 239,462 | |
Burberry Group | 19,136 | 461,449 | |
Capita Group | 27,583 | 296,962 | |
Capital Shopping Centres Group | 25,428 | 134,197 | |
Carnival | 8,120 | 264,109 | |
Centrica | 228,362 | 1,138,065 | |
Cobham | 50,711 | 186,516 | |
Compass Group | 85,589 | 895,056 | |
Diageo | 111,790 | 2,815,535 | |
Essar Energy | 13,305a | 31,652 |
The Fund | 31 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
Eurasian Natural Resources | 10,473 | 95,152 | |
Experian | 45,384 | 716,702 | |
Fresnillo | 8,342 | 211,320 | |
G4S | 62,366 | 283,160 | |
GKN | 67,624 | 223,686 | |
GlaxoSmithKline | 225,545 | 5,219,084 | |
Glencore International | 59,545 | 411,522 | |
Hammerson | 30,961 | 209,953 | |
HSBC Holdings | 797,977 | 7,192,963 | |
ICAP | 23,517 | 145,000 | |
Imperial Tobacco Group | 44,630 | 1,785,722 | |
Inmarsat | 19,204 | 137,149 | |
Intercontinental Hotels Group | 13,041 | 310,661 | |
International Power | 68,339 | 462,755 | |
Intertek Group | 7,223 | 294,986 | |
Invensys | 33,995 | 122,605 | |
Investec | 22,879 | 131,964 | |
ITV | 159,866 | 217,284 | |
J Sainsbury | 56,234 | 281,161 | |
Johnson Matthey | 9,506 | 357,197 | |
Kazakhmys | 9,643 | 134,822 | |
Kingfisher | 102,626 | 484,116 | |
Land Securities Group | 33,926 | 400,785 | |
Legal & General Group | 254,631 | 486,256 | |
Lloyds Banking Group | 1,821,439a | 917,197 | |
London Stock Exchange Group | 7,101 | 125,457 | |
Lonmin | 7,843 | 132,708 | |
Man Group | 76,168 | 128,014 | |
Marks & Spencer Group | 69,329 | 401,911 | |
Meggitt | 35,266 | 233,935 | |
National Grid | 159,641 | 1,725,197 | |
Next | 7,723 | 367,326 | |
Old Mutual | 220,327 | 528,796 | |
Pearson | 36,883 | 694,753 |
32
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
Petrofac | 11,661 | 328,535 |
Prudential | 114,386 | 1,401,452 |
Randgold Resources | 3,968 | 349,557 |
Reckitt Benckiser Group | 27,775 | 1,617,825 |
Reed Elsevier | 52,769 | 437,014 |
Resolution | 63,012 | 228,997 |
Rexam | 39,603 | 276,530 |
Rio Tinto | 61,344 | 3,419,234 |
Rolls-Royce Holdings | 82,689 a | 1,105,752 |
Royal Bank of Scotland Group | 736,343 a | 290,199 |
Royal Dutch Shell, Cl. A | 162,156 | 5,774,546 |
Royal Dutch Shell, Cl. B | 119,002 | 4,341,171 |
RSA Insurance Group | 158,518 | 270,280 |
SABMiller | 42,763 | 1,797,474 |
Sage Group | 59,498 | 276,418 |
Schroders | 4,440 | 102,236 |
Segro | 34,395 | 123,490 |
Serco Group | 22,385 | 197,198 |
Severn Trent | 10,704 | 293,751 |
Shire | 25,369 | 828,029 |
Smith & Nephew | 39,008 | 384,176 |
Smiths Group | 17,626 | 306,255 |
SSE | 42,276 | 906,866 |
Standard Chartered | 106,585 | 2,606,557 |
Standard Life | 101,893 | 369,966 |
Tate & Lyle | 21,129 | 236,913 |
Tesco | 359,367 | 1,851,923 |
Tui Travel | 20,087 | 62,301 |
Tullow Oil | 39,934 | 994,751 |
Unilever | 57,518 | 1,964,216 |
United Utilities Group | 30,234 | 303,656 |
Vedanta Resources | 5,422 | 107,151 |
Vodafone Group | 2,245,707 | 6,217,613 |
Weir Group | 9,375 | 259,562 |
The Fund | 33 |
STATEMENT OF INVESTMENTS (Unaudited) (continued) | ||||
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Whitbread | 7,724 | 241,696 | ||
WM Morrison Supermarkets | 94,977 | 432,765 | ||
Wolseley | 12,365 | 470,449 | ||
WPP | 56,931 | 770,550 | ||
Xstrata | 93,057 | 1,779,329 | ||
105,610,388 | ||||
Total Common Stocks | ||||
(cost $463,269,339) | 452,385,561 | |||
Preferred Stocks—.6% | ||||
Germany | ||||
Bayerische Motoren Werke | 2,460 | 153,030 | ||
Henkel & Co. | 8,070 | 600,278 | ||
Porsche Automobil Holding | 6,688 | 408,208 | ||
ProSiebenSat.1 Media | 3,585 | 91,008 | ||
RWE | 1,967 | 77,765 | ||
Volkswagen | 6,381 | 1,208,568 | ||
Total Preferred Stocks | ||||
(cost $1,693,197) | 2,538,857 | |||
Rights—.0% | ||||
Portugal | ||||
Banco Espirito Santo | ||||
(cost $80,858) | 27,216 | a | 11,815 | |
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
0.05%, 6/21/12 | 435,000 | d | 434,956 | |
0.16%, 5/24/12 | 45,000 | d | 44,998 | |
Total Short-Term Investments | ||||
(cost $479,964) | 479,954 |
34
Other Investment—.9% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $4,368,801) | 4,368,801e | 4,368,801 | |
Total Investments (cost $469,892,159) | 98.9% | 459,784,988 | |
Cash and Receivables (Net) | 1.1% | 4,999,827 | |
Net Assets | 100.0% | 464,784,815 |
BR—Bearer Certificate |
CDI—Chess Depository Interest |
PC—Participation Certificate |
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 April 30, 2012, the value of this security amounted to $47 or less than .01% of net assets. |
c Security exempt from registration under Rule 144A of the Securities Act of 1933.This security may be resold in |
transactions exempt from registration, normally to qualified institutional buyers.At April 30, 2012, this security was |
valued at $488,130 or .1% of net assets. |
d Held by a broker as collateral for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 21.6 | Energy | 8.5 |
Industrial | 12.4 | Telecommunication Services | 5.1 |
Consumer Staples | 11.2 | Information Technology | 4.5 |
Consumer Discretionary | 10.8 | Utilities | 4.2 |
Materials | 10.1 | Short-term/Money Market Investments | 1.0 |
Health Care | 9.5 | 98.9 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund | 35 |
STATEMENT OF FINANCIAL FUTURES |
April 30, 2012 (Unaudited) |
Unrealized | |||||
Market Value | Appreciation | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2012($) | ||
Financial Futures Long | |||||
ASX SPI 200 Index | 7 | 801,061 | June 2012 | 10,760 | |
Euro STOXX 50 | 99 | 2,960,015 | June 2012 | (72,482) | |
FTSE 100 Index | 26 | 2,412,880 | June 2012 | 3,103 | |
TOPIX | 20 | 2,010,145 | June 2012 | (60,495) | |
Gross Unrealized Appreciation | 13,863 | ||||
Gross Unrealized Depreciation | (132,977) | ||||
See notes to financial statements. |
36
STATEMENT OF ASSETS AND LIABILITIES |
April 30, 2012 (Unaudited) |
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments: | |||
Unaffiliated issuers | 465,523,358 | 455,416,187 | |
Affiliated issuers | 4,368,801 | 4,368,801 | |
Cash | 452,403 | ||
Cash denominated in foreign currencies | 780,089 | 782,087 | |
Dividends receivable | 3,470,713 | ||
Receivable for shares of Common Stock subscribed | 643,448 | ||
Unrealized appreciation on forward foreign | |||
currency exchange contracts—Note 4 | 247,411 | ||
465,381,050 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 224,372 | ||
Payable for shares of Common Stock redeemed | 264,858 | ||
Unrealized depreciation on forward foreign | |||
currency exchange contracts—Note 4 | 66,405 | ||
Payable for futures variation margin—Note 4 | 38,807 | ||
Accrued expenses | 1,793 | ||
596,235 | |||
Net Assets ($) | 464,784,815 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 507,997,592 | ||
Accumulated undistributed investment income—net | 2,976,934 | ||
Accumulated net realized gain (loss) on investments | (36,196,927) | ||
Accumulated net unrealized appreciation (depreciation) | |||
on investments [including ($119,114) net unrealized | |||
(depreciation) on financial futures] | (9,992,784) | ||
Net Assets ($) | 464,784,815 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 33,970,920 | ||
Net Asset Value, offering and redemption price per share ($) | 13.68 | ||
See notes to financial statements. |
The Fund | 37 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2012 (Unaudited)
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $665,829 foreign taxes withheld at source): | ||
Unaffiliated issuers | 7,633,510 | |
Affiliated issuers | 2,944 | |
Total Income | 7,636,454 | |
Expenses: | ||
Management fee—Note 3(a) | 790,427 | |
Shareholder servicing costs—Note 3(b) | 564,591 | |
Directors’ fees—Note 3(a) | 9,376 | |
Loan commitment fees—Note 2 | 1,661 | |
Total Expenses | 1,366,055 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (9,376) | |
Net Expenses | 1,356,679 | |
Investment Income—Net | 6,279,775 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | 9,313,325 | |
Net realized gain (loss) on financial futures | 1,250,594 | |
Net realized gain (loss) on forward foreign currency exchange contracts | (85,268) | |
Net Realized Gain (Loss) | 10,478,651 | |
Net unrealized appreciation (depreciation) on | ||
investments and foreign currency transactions | (8,077,468) | |
Net unrealized appreciation (depreciation) on financial futures | (768,305) | |
Net unrealized appreciation (depreciation) | ||
on forward foreign currency exchange contracts | 168,390 | |
Net Unrealized Appreciation (Depreciation) | (8,677,383) | |
Net Realized and Unrealized Gain (Loss) on Investments | 1,801,268 | |
Net Increase in Net Assets Resulting from Operations | 8,081,043 | |
See notes to financial statements. |
38
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2012 | Year Ended | |||
(Unaudited) | October 31, 2011 | |||
Operations ($): | ||||
Investment income—net | 6,279,775 | 14,300,386 | ||
Net realized gain (loss) on investments | 10,478,651 | 6,280,411 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | (8,677,383) | (48,600,242) | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 8,081,043 | (28,019,445) | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (14,103,072) | (12,701,894) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 92,189,371 | 178,868,522 | ||
Dividends reinvested | 13,170,185 | 12,108,195 | ||
Cost of shares redeemed | (125,929,561) | (220,306,199) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (20,570,005) | (29,329,482) | ||
Total Increase (Decrease) in Net Assets | (26,592,034) | (70,050,821) | ||
Net Assets ($): | ||||
Beginning of Period | 491,376,849 | 561,427,670 | ||
End of Period | 464,784,815 | 491,376,849 | ||
Undistributed investment income—net | 2,976,934 | 10,800,231 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 6,947,582 | 12,085,920 | ||
Shares issued for dividends reinvested | 1,053,615 | 818,675 | ||
Shares redeemed | (9,658,183) | (15,112,364) | ||
Net Increase (Decrease) in Shares Outstanding | (1,656,986) | (2,207,769) | ||
See notes to financial statements. |
The Fund | 39 |
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||||
April 30, 2012 | Year Ended October 31, | |||||||||||
(Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 13.79 | 14.84 | 14.05 | 11.51 | 21.98 | 18.03 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .18 | .38 | .31 | .30 | .49 | .43 | ||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | .15 | (1.10) | .89 | 2.51 | (10.47) | 3.90 | ||||||
Total from Investment Operations | .33 | (.72) | 1.20 | 2.81 | (9.98) | 4.33 | ||||||
Distributions: | ||||||||||||
Dividends from | ||||||||||||
investment income—net | (.44) | (.33) | (.33) | (.25) | (.49) | (.38) | ||||||
Dividends from net realized | ||||||||||||
gain on investments | — | — | (.08) | (.02) | — | — | ||||||
Total Distributions | (.44) | (.33) | (.41) | (.27) | (.49) | (.38) | ||||||
Net asset value, end of period | 13.68 | 13.79 | 14.84 | 14.05 | 11.51 | 21.98 | ||||||
Total Return (%) | 2.69b | (5.03) | 8.73 | 25.13 | (46.37) | 24.40 | ||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | ||||||||||||
to average net assets | .60c | .61 | .61 | .61 | .61 | .61 | ||||||
Ratio of net expenses | ||||||||||||
to average net assets | .60c | .60 | .60 | .60 | .60 | .60 | ||||||
Ratio of net investment income | ||||||||||||
to average net assets | 2.78c | 2.52 | 2.25 | 2.53 | 2.72 | 2.20 | ||||||
Portfolio Turnover Rate | 7.93b | 6.14 | 10.49 | 17.26 | 7.17 | 3.31 | ||||||
Net Assets, end of period | ||||||||||||
($ x 1,000) | 464,785 | 491,377 | 561,428 | 547,282 | 326,931 | 561,653 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
40
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective seeks 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 is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications.The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
The Fund | 41 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(a) Portfolio valuation: 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
42
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 of the 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 (the “Service”) approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Board of Directors.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. 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 evalua-
The Fund | 43 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
tion 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.
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 April 30, 2012 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Foreign† | 454,924,371 | — | 47 | 454,924,418 |
Mutual Funds | 4,368,801 | — | — | 4,368,801 |
U.S. Treasury | — | 479,954 | — | 479,954 |
Rights† | 11,815 | 11,815 | ||
Other Financial | ||||
Instruments: | ||||
Forward Foreign | ||||
Currency Exchange | ||||
Contracts†† | — | 247,411 | — | 247,411 |
Futures†† | 13,863 | — | — | 13,863 |
44
Level 2—Other | Level 3— | ||||||
Level 1— | Significant | Significant | |||||
Unadjusted | Observable | Unobservable | |||||
Quoted Prices | Inputs | Inputs | Total | ||||
Liabilities ($) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Forward Foreign | |||||||
Currency Exchange | |||||||
Contracts†† | — | (66,405) | — | (66,405) | |||
Futures†† | (132,977) | — | — | (132,977) |
† | See Statement of Investments for additional detailed categorizations. |
†† | 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:
Investments in | ||
Equity Securities—Foreign ($) | ||
Balance as of 10/31/2011 | 49 | |
Realized gain (loss) | — | |
Change in unrealized appreciation (depreciation) | (2) | |
Purchases | — | |
Sales | ||
Transfers into Level 3 | — | |
Transfers out of Level 3 | ||
Balance as of 4/30/2012 | 47 | |
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 4/30/2012 | (2) |
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common FairValue 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:
The Fund | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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) 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.
46
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: Other investment companies advised by Dreyfus are considered to be “affiliated” with the fund.
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 April 30, 2012 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2011 ($) | Purchases ($) | Sales ($) | 4/30/2012 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred | |||||
Plus Money | |||||
Market | |||||
Fund | 6,339,082 | 73,229,415 | 75,199,696 | 4,368,801 | .9 |
(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.
The Fund | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(f) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2012, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), the fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than short-term as they were under previous statute.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 (“pre-enactment losses”).As a result of this ordering rule, pre-enactment losses may be more likely to expire unused.
The fund has an unused capital loss carryover of $30,624,629 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent October 31, 2011. If not applied, the carryover expires in fiscal 2018.
48
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2011 was as follows: ordinary income $12,701,894. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2012, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement (“Agreement”) with the Manager, the management fee is computed at the annual rate of .35% of the value of the fund’s average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all of the fund’s direct expenses, except management fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund, Shareholder Services Plan fees and extraordinary expenses.The Manager has also agreed to reduce its man-
The Fund | 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
agement fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members. 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 April 30, 2012, fees reimbursed by the Manager amounted to $9,376.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, at the annual rate of .25% of the value of the fund’s average daily net assets.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts.The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services.The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2012, the fund was charged $564,591 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 $131,930 and shareholder services plan fees $94,235, which are offset against a directors’ fee reimbursement currently in effect in the amount of $1,793.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward contracts and financial futures, during the period ended April 30, 2012, amounted to $35,709,746 and $60,438,930, respectively.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
50
Fair value of derivative instruments as of April 30, 2012 is shown below:
Derivative | Derivative | |||
Assets ($) | Liabilities ($) | |||
Equity risk1 | 13,863 | Equity risk1 | (132,977) | |
Foreign exchange risk2 | 247,411 | Foreign exchange risk3 | (66,405) | |
Gross fair value of | ||||
derivatives contracts | 261,274 | (199,382) |
Statement of Assets and Liabilities location: | |
1 | Includes cumulative appreciation (depreciation) on futures contracts as reported in the Statement |
Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets | |
and Liabilities. | |
2 | Unrealized appreciation on forward foreign currency exchange contracts. |
3 | Unrealized depreciation on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2012 is shown below:
Amount of realized gain or (loss) on derivatives recognized in income ($) | |||||
Forward | |||||
Underlying risk | Futures4 | Contracts5 | Total | ||
Equity | 1,250,594 | — | 1,250,594 | ||
Foreign exchange | — | (85,268) | (85,268) | ||
Total | 1,250,594 | (85,268) | 1,165,326 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($) | |||||
Forward | |||||
Underlying risk | Futures6 | Contracts7 | Total | ||
Equity | (768,305) | — | (768,305) | ||
Foreign exchange | — | 168,390 | 168,390 | ||
Total | (768,305) | 168,390 | (599,915) |
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
The Fund | 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 ofTrade 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 counter-party 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 April 30, 2012 are set forth in the Statement of Financial Futures.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract increases between those dates. Any realized gain or loss which occurred during the period is reflected in
52
the Statement of Operations.The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.The following summarizes open forward contracts at April 30, 2012:
Forward Foreign | ||||||||
Currency | Number | Foreign | Unrealized | |||||
Exchange | of | Currency | Appreciation | |||||
Contracts | Contracts | Amounts | Cost ($) | Value ($) (Depreciation) ($) | ||||
Purchases: | ||||||||
Australian Dollar, | ||||||||
Expiring: | ||||||||
6/20/2012 a | 1 | 244,832 | 254,163 | 253,706 | (457) | |||
6/20/2012 b | 1 | 105,300 | 109,482 | 109,116 | (366) | |||
6/20/2012 c | 2 | 205,491 | 213,702 | 212,939 | (763) | |||
6/20/2012 d | 1 | 326,200 | 332,926 | 338,023 | 5,097 | |||
6/20/2012 e | 1 | 107,600 | 110,904 | 111,500 | 596 | |||
British Pound, | ||||||||
Expiring: | ||||||||
6/20/2012 d | 2 | 1,376,828 | 2,170,121 | 2,233,732 | 63,611 | |||
6/20/2012 b | 4 | 303,199 | 481,916 | 491,902 | 9,986 | |||
6/20/2012 c | 1 | 263,619 | 414,206 | 427,689 | 13,483 | |||
6/20/2012 f | 4 | 214,100 | 339,255 | 347,351 | 8,096 | |||
6/20/2012 e | 1 | 56,300 | 89,687 | 91,340 | 1,653 | |||
Euro, | ||||||||
Expiring: | ||||||||
6/20/2012 g | 1 | 714,487 | 936,639 | 945,991 | 9,352 | |||
6/20/2012 b | 4 | 323,887 | 428,076 | 428,831 | 755 | |||
6/20/2012 f | 5 | 611,000 | 802,723 | 808,973 | 6,250 | |||
6/20/2012 c | 1 | 567,268 | 743,537 | 751,071 | 7,534 | |||
6/20/2012 d | 1 | 1,186,300 | 1,549,249 | 1,570,678 | 21,429 | |||
6/20/2012 e | 1 | 67,400 | 88,507 | 89,239 | 732 | |||
Japanese Yen, | ||||||||
Expiring: | ||||||||
6/20/2012 g | 1 | 46,305,079 | 559,940 | 580,245 | 20,305 | |||
6/20/2012 f | 5 | 44,219,628 | 535,387 | 554,112 | 18,725 | |||
6/20/2012 b | 3 | 30,025,748 | 361,776 | 376,250 | 14,474 | |||
6/20/2012 c | 1 | 18,527,800 | 222,569 | 232,170 | 9,601 | |||
6/20/2012 d | 1 | 91,960,000 | 1,117,674 | 1,152,342 | 34,668 | |||
6/20/2012 e | 1 | 8,030,000 | 99,559 | 100,623 | 1,064 |
The Fund | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign | ||||||||
Currency | Number | Foreign | Unrealized | |||||
Exchange | of | Currency | Appreciation | |||||
Contracts | Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation) ($) | ||||
Sales: | ||||||||
Australian Dollar, | ||||||||
Expiring | ||||||||
6/20/2012 f | 1 | 502,299 | 515,026 | 520,505 | (5,479) | |||
British Pound, | ||||||||
Expiring: | ||||||||
6/20/2012 h | 1 | 57,900 | 91,600 | 93,935 | (2,335) | |||
6/20/2012 f | 2 | 1,067,067 | 1,717,313 | 1,731,184 | (13,871) | |||
6/20/2012 b | 1 | 55,600 | 88,483 | 90,204 | (1,721) | |||
Euro, | ||||||||
Expiring: | ||||||||
6/20/2012 b | 2 | 141,100 | 185,693 | 186,818 | (1,125) | |||
6/20/2012 f | 2 | 1,520,728 | 1,999,793 | 2,013,465 | (13,672) | |||
Japanese Yen, | ||||||||
Expiring: | ||||||||
6/20/2012 h | 1 | 8,525,000 | 103,540 | 106,826 | (3,286) | |||
6/20/2012 f | 2 107,883,433 | 1,330,085 | 1,351,877 | (21,792) | ||||
6/20/2012 b | 1 | 8,130,000 | 100,338 | 101,876 | (1,538) | |||
Gross Unrealized | ||||||||
Appreciation | 247,411 | |||||||
Gross Unrealized | ||||||||
Depreciation | (66,405) |
Counterparties: | |
a | Westpac Bank |
b | UBS |
c | Goldman Sachs |
d | HSBC |
e | Citigroup |
f | Citicorp |
g | Standard Chartered Bank |
h | Credit Suisse First Boston |
54
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2012:
Average Market Value ($) | |
Equity futures contracts | 9,604,924 |
Forward contracts | 7,012,278 |
At April 30, 2012, accumulated net unrealized depreciation on investments was $10,107,171, consisting of $75,949,807 gross unrealized appreciation and $86,056,978 gross unrealized depreciation.
At April 30, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
The Fund | 55 |
INFORMATION ABOUT THE RENEWAL OF THE |
FUND’S MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Directors held on March 6, 2012, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund.The Board considered information previously provided to them in presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex, and Dreyfus representatives confirmed that there had been no material changes in this information. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including the distribution channel(s) for the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
56
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2011, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was above the Performance Group median for all periods, except for the ten-year period, and was variously above and below the Performance Universe medians. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons.Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median, the fund’s actual management fee was above the Expense Group and Expense Universe medians and the fund’s total expense ratio was below the Expense Group median and at the Expense Universe median.
The Fund | 57 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus.The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board’s counsel stated that the Board should consider the profitability analysis (1) as part of their evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a
58
discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board generally was satisfied with the fund’s performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
The Fund | 59 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
The Board considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year. In addition, it should be noted that the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
60
For More Information
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.
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
23 | Statement of Financial Futures |
24 | Statement of Assets and Liabilities |
25 | Statement of Operations |
26 | Statement of Changes in Net Assets |
27 | Financial Highlights |
28 | Notes to Financial Statements |
39 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus
S&P 500 Index Fund
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2011, through April 30, 2012. 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.
U.S. stock markets had stabilized at the start of the reporting period in the wake of sharp declines stemming from the sovereign debt crisis in Europe, an unprecedented downgrade of long-term U.S. debt securities and disappointing economic data. Fortunately, employment gains, increased manufacturing activity and other positive economic news over the final months of 2011 alleviated investors’ most serious concerns, and better business fundamentals during the first four months of 2012 sparked strong market rallies.As a result, most broad measures of U.S. stock market performance produced double-digit gains for the reporting period.
Our economic forecast calls for near-trend growth over the remainder of 2012, and we expect the United States to continue to post better economic data than most of the rest of the developed world. An aggressively accommodative monetary policy, pent-up demand in several industry groups and gradual improvement in housing prices appear likely to balance risks stemming from the ongoing European debt crisis and volatile energy prices. As always, we encourage you to talk with your financial adviser about how these developments may affect your investments.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through April 30, 2012, 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 six-month period ended April 30, 2012, Dreyfus S&P 500 Index Fund produced a total return of 12.50%.1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, produced a 12.76% return for the same period.2,3
Improving economic fundamentals in the United States and progress in forestalling a banking crisis in Europe drove stocks broadly higher over the reporting period.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.
Markets Bolstered by Improving Economic Fundamentals
Large-cap U.S. stocks had floundered in the months prior to the reporting period amid a number of macroeconomic concerns, including an unprecedented downgrade of one agency’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, fears of inflation and an economic slowdown in China, and uncertainties regarding the strength and sustainability of the U.S. economic recovery.These issues led
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
investors to focus on traditional safe havens including U.S. Treasury securities and well-established companies with track records of consistent earnings growth, financial stability and dividend payments.
Fortunately, economic conditions appeared to improve over the final months of 2011 and early 2012, driven by a declining U.S. unemployment rate, increased manufacturing activity, higher levels of consumer confidence and greater capital spending by businesses. In addition, the Federal Reserve Board launched Operation Twist, a stimulative program designed to boost lending activity by reducing longer term interest rates. In Europe, the European Central Bank took what were regarded as credible steps to address problems in the region’s banking system, forestalling a more serious financial crisis through the Long Term Refinancing Operation (LTRO). Meanwhile, inflationary pressures and economic concerns moderated in China. In response, many of investors’ previous worries eased, and they shifted their attention to more speculative, growth-oriented segments of the equity markets.
Investors Favored Technology and Financial Stocks
In this environment, all 10 of the sectors represented in the S&P 500 Index posted positive absolute returns for the reporting period. The information technology sector led the market’s advance, with robust gains posted by companies in the enterprise storage, cloud computing and network security industries. In addition, consumer electronics innovator Apple and its suppliers continued to gain value on the strength of the company’s popular smartphone and tablet computer products.
The financials sector also fared well as it continued to recover from the global debt crisis of several years ago. Stocks of commercial banks climbed amid a more active mortgage lending market, lower loan delinquencies and accelerating deposits. To a lesser degree, large, diversified financial institutions benefited from the same factors. In the consumer discretionary sector, pent-up demand fueled higher sales of automobiles, major appliances and other costly household products. Media companies also gained value in response to rising demand for entertainment programming and in anticipation of higher advertising
4
spending related to the 2012 presidential election and Summer Olympics. Although housing markets generally have remained weak, “big box” home improvement retailers benefited from homeowners’ efforts to upgrade their existing residences.
On the other hand, the utilities sector generally lagged other market segments, as a mild winter throughout the United States reduced the need for heating. In addition, a glut of natural gas drove its price sharply lower.Although the materials sector produced positive returns, on average, some metals-and-mining companies lost value due to weaker demand from the emerging markets for the commodities used in construction.
Index Funds Offer Diversification Benefits
As an index fund, we attempt to replicate the returns of the S&P 500 Index by closely approximating its composition. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
May 15, 2012
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 and, where applicable, capital |
gain distributions.The Standard & Poor’s 500 Composite Stock Price Index is a widely accepted, | |
unmanaged index of U.S. stock market performance. Investors cannot invest directly in any index. | |
3 | “Standard & Poor’s®,” “S&P®,” “Standard & Poor’s 500™” and “S&P 500®” are |
trademarks of Standard & Poor’s Financial Services LLC (“Standard & Poor’s”) and have | |
been licensed for use by the fund.The fund is not sponsored, endorsed, sold or promoted by | |
Standard & Poor’s and Standard & Poor’s does not make any representation regarding the | |
advisability of investing in the fund. |
The Fund | 5 |
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from November 1, 2011 to April 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||
assuming actual returns for the six months ended April 30, 2012 | ||
Expenses paid per $1,000† | $ | 2.64 |
Ending value (after expenses) | $ | 1,125.00 |
COMPARING YOUR FUND’S EXPENSES |
WITH THOSE OF OTHER FUNDS (Unaudited) |
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2012 | ||
Expenses paid per $1,000† | $ | 2.51 |
Ending value (after expenses) | $ | 1,022.38 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS |
A p r i l 3 0 , 2 0 1 2 ( U n a u d i t e d ) |
Common Stocks—97.6% | Shares | Value ($) | |
Consumer Discretionary—11.0% | |||
Abercrombie & Fitch, Cl. A | 16,123 | 808,891 | |
Amazon.com | 66,757 | a | 15,480,948 |
Apollo Group, Cl. A | 21,957 | a | 773,326 |
AutoNation | 9,114 | a,b | 315,162 |
AutoZone | 5,027 | a | 1,991,496 |
Bed Bath & Beyond | 44,922 | a | 3,162,060 |
Best Buy | 53,940 | 1,190,456 | |
Big Lots | 12,052 | a | 441,585 |
BorgWarner | 19,928 | a | 1,575,109 |
Cablevision Systems (NY Group), Cl. A | 40,411 | 598,891 | |
CarMax | 40,103 | a | 1,237,980 |
Carnival | 84,231 | 2,736,665 | |
CBS, Cl. B | 121,265 | 4,044,188 | |
Chipotle Mexican Grill | 5,679 | a | 2,351,958 |
Coach | 53,224 | 3,893,868 | |
Comcast, Cl. A | 496,563 | 15,060,756 | |
D.R. Horton | 48,521 | 793,318 | |
Darden Restaurants | 23,707 | 1,187,247 | |
DeVry | 10,572 | 339,890 | |
DIRECTV, Cl. A | 124,662 | a | 6,142,097 |
Discovery Communications, Cl. A | 48,547 | a | 2,641,928 |
Dollar Tree | 21,616 | a | 2,197,483 |
Expedia | 17,984 | b | 766,658 |
Family Dollar Stores | 21,859 | 1,476,575 | |
Ford Motor | 699,673 | 7,892,311 | |
Fossil | 9,547 | a | 1,247,506 |
GameStop, Cl. A | 25,532 | b | 581,108 |
Gannett | 46,122 | 637,406 | |
Gap | 63,481 | 1,809,208 | |
Genuine Parts | 28,587 | 1,851,866 | |
Goodyear Tire & Rubber | 43,150 | a | 473,787 |
H&R Block | 53,721 | 789,699 | |
Harley-Davidson | 42,291 | 2,213,088 | |
Harman International Industries | 13,432 | 665,959 | |
Hasbro | 22,154 | 813,938 |
The Fund | 7 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Home Depot | 282,929 | 14,652,893 | |
International Game Technology | 56,516 | 880,519 | |
Interpublic Group of Cos. | 85,851 | 1,013,900 | |
J.C. Penney | 26,323 | b | 949,207 |
Johnson Controls | 125,311 | 4,006,193 | |
Kohl’s | 46,565 | 2,334,303 | |
Leggett & Platt | 25,041 | 545,143 | |
Lennar, Cl. A | 30,981 | b | 859,413 |
Limited Brands | 46,431 | 2,307,621 | |
Lowe’s | 230,047 | 7,239,579 | |
Macy’s | 76,343 | 3,131,590 | |
Marriott International, Cl. A | 49,237 | 1,924,674 | |
Mattel | 62,604 | 2,103,494 | |
McDonald’s | 188,409 | 18,360,457 | |
McGraw-Hill | 51,264 | 2,520,651 | |
Netflix | 10,196 | a | 817,107 |
Newell Rubbermaid | 55,553 | 1,011,065 | |
News, Cl. A | 396,478 | 7,770,969 | |
NIKE, Cl. B | 68,099 | 7,618,235 | |
Nordstrom | 29,482 | 1,646,865 | |
O’Reilly Automotive | 23,570 | a | 2,485,692 |
Omnicom Group | 51,059 | 2,619,837 | |
Priceline.com | 9,168 | a | 6,975,198 |
Pulte Group | 67,650 | a | 665,676 |
Ralph Lauren | 11,964 | 2,061,038 | |
Ross Stores | 42,094 | 2,592,569 | |
Scripps Networks Interactive, Cl. A | 16,539 | 830,589 | |
Sears Holdings | 7,044 | a,b | 378,826 |
Staples | 128,717 | 1,982,242 | |
Starbucks | 138,684 | 7,957,688 | |
Starwood Hotels & Resorts Worldwide | 36,160 | c | 2,140,672 |
Target | 123,168 | 7,136,354 | |
Tiffany & Co. | 23,164 | 1,585,807 | |
Time Warner | 178,681 | 6,693,390 | |
Time Warner Cable | 57,873 | 4,655,883 | |
TJX | 140,338 | 5,853,498 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
TripAdvisor | 17,984 | a | 674,580 |
Urban Outfitters | 22,110 | a | 640,306 |
VF | 16,075 | 2,444,204 | |
Viacom, Cl. B | 99,506 | 4,616,083 | |
Walt Disney | 329,800 | 14,217,678 | |
Washington Post, Cl. B | 941 | b | 355,858 |
Whirlpool | 13,383 | 856,780 | |
Wyndham Worldwide | 28,063 | 1,412,691 | |
Wynn Resorts | 14,570 | 1,943,638 | |
Yum! Brands | 84,640 | 6,155,867 | |
261,810,933 | |||
Consumer Staples—10.6% | |||
Altria Group | 377,826 | 12,169,775 | |
Archer-Daniels-Midland | 121,902 | 3,758,239 | |
Avon Products | 77,007 | 1,663,351 | |
Beam | 27,697 | 1,572,636 | |
Brown-Forman, Cl. B | 18,826 | 1,625,625 | |
Campbell Soup | 34,033 | b | 1,151,336 |
Clorox | 24,264 | 1,700,906 | |
Coca-Cola | 416,861 | 31,814,832 | |
Coca-Cola Enterprises | 55,392 | 1,668,407 | |
Colgate-Palmolive | 89,110 | 8,816,543 | |
ConAgra Foods | 73,629 | 1,901,101 | |
Constellation Brands, Cl. A | 31,297 | a | 676,015 |
Costco Wholesale | 79,526 | 7,011,807 | |
CVS Caremark | 238,953 | 10,662,083 | |
Dean Foods | 34,436 | a | 422,874 |
Dr. Pepper Snapple Group | 39,830 | 1,616,301 | |
Estee Lauder, Cl. A | 41,703 | 2,725,291 | |
General Mills | 117,852 | 4,583,264 | |
H.J. Heinz | 59,114 | 3,151,367 | |
Hershey | 27,432 | 1,838,218 | |
Hormel Foods | 25,301 | 735,247 | |
J.M. Smucker | 20,910 | 1,665,063 | |
Kellogg | 45,578 | 2,304,879 | |
Kimberly-Clark | 72,470 | 5,686,721 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Staples (continued) | |||
Kraft Foods, Cl. A | 324,183 | 12,925,176 | |
Kroger | 105,988 | 2,466,341 | |
Lorillard | 24,332 | 3,291,876 | |
McCormick & Co. | 23,885 | 1,335,410 | |
Mead Johnson Nutrition | 36,977 | 3,163,752 | |
Molson Coors Brewing, Cl. B | 29,502 | 1,226,693 | |
PepsiCo | 289,147 | 19,083,702 | |
Philip Morris International | 317,069 | 28,380,846 | |
Procter & Gamble | 507,088 | 32,271,080 | |
Reynolds American | 60,783 | 2,481,770 | |
Safeway | 49,153 | b | 999,280 |
Sara Lee | 108,876 | 2,399,627 | |
Sysco | 106,537 | 3,078,919 | |
Tyson Foods, Cl. A | 52,973 | 966,757 | |
Wal-Mart Stores | 321,075 | 18,914,528 | |
Walgreen | 163,304 | 5,725,438 | |
Whole Foods Market | 29,871 | 2,481,384 | |
252,114,460 | |||
Energy—10.9% | |||
Alpha Natural Resources | 40,578 | a | 654,523 |
Anadarko Petroleum | 91,371 | 6,689,271 | |
Apache | 70,749 | 6,787,659 | |
Baker Hughes | 80,541 | 3,552,664 | |
Cabot Oil & Gas | 38,446 | 1,350,992 | |
Cameron International | 45,310 | a | 2,322,138 |
Chesapeake Energy | 120,186 | 2,216,230 | |
Chevron | 364,017 | 38,789,652 | |
ConocoPhillips | 235,854 | 16,894,222 | |
Consol Energy | 40,833 | 1,357,289 | |
Denbury Resources | 71,900 | a | 1,368,976 |
Devon Energy | 74,151 | 5,179,447 | |
Diamond Offshore Drilling | 12,503 | b | 857,081 |
El Paso | 142,258 | 4,220,795 | |
EOG Resources | 49,210 | 5,403,750 | |
EQT | 27,792 | 1,384,597 | |
Exxon Mobil | 868,120 | 74,953,481 |
10
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
FMC Technologies | 44,141 | a | 2,074,627 |
Halliburton | 169,896 | 5,813,841 | |
Helmerich & Payne | 19,077 | 980,367 | |
Hess | 54,819 | 2,858,263 | |
Marathon Oil | 129,218 | 3,791,256 | |
Marathon Petroleum | 64,376 | 2,678,685 | |
Murphy Oil | 34,659 | 1,905,205 | |
Nabors Industries | 54,361 | a | 905,111 |
National Oilwell Varco | 77,767 | 5,891,628 | |
Newfield Exploration | 23,525 | a | 844,547 |
Noble | 45,097 | a | 1,716,392 |
Noble Energy | 32,568 | 3,234,654 | |
Occidental Petroleum | 148,964 | 13,588,496 | |
Peabody Energy | 48,931 | 1,522,243 | |
Pioneer Natural Resources | 22,444 | 2,599,464 | |
QEP Resources | 32,621 | 1,005,053 | |
Range Resources | 28,835 | 1,922,141 | |
Rowan | 22,488 | a | 776,511 |
Schlumberger | 246,413 | 18,269,060 | |
Southwestern Energy | 62,547 | a | 1,975,234 |
Spectra Energy | 117,779 | 3,620,526 | |
Sunoco | 19,613 | 966,725 | |
Tesoro | 27,628 | a | 642,351 |
Valero Energy | 102,648 | 2,535,406 | |
Williams | 109,000 | 3,709,270 | |
WPX Energy | 35,479 | 623,366 | |
260,433,189 | |||
Financial—14.3% | |||
ACE | 61,200 | 4,649,364 | |
Aflac | 86,082 | 3,877,133 | |
Allstate | 91,829 | 3,060,661 | |
American Express | 186,827 | 11,248,854 | |
American International Group | 98,866 | a | 3,364,410 |
American Tower | 72,020 | c | 4,723,072 |
Ameriprise Financial | 40,924 | 2,218,490 | |
Aon | 60,732 | 3,145,918 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Apartment Investment & Management, Cl. A | 22,507 | c | 611,065 |
Assurant | 16,179 | 652,661 | |
AvalonBay Communities | 17,111 | c | 2,487,939 |
Bank of America | 1,968,128 | 15,961,518 | |
Bank of New York Mellon | 224,674 | 5,313,540 | |
BB&T | 128,343 | 4,112,110 | |
Berkshire Hathaway, Cl. B | 323,691 | a | 26,040,941 |
BlackRock | 18,379 | 3,521,049 | |
Boston Properties | 26,643 | c | 2,884,105 |
Capital One Financial | 101,543 | 5,633,606 | |
CBRE Group, Cl. A | 59,125 | a | 1,112,141 |
Charles Schwab | 196,159 | 2,805,074 | |
Chubb | 51,073 | 3,731,904 | |
Cincinnati Financial | 28,493 | 1,014,921 | |
Citigroup | 539,168 | 17,814,111 | |
CME Group | 12,336 | 3,279,156 | |
Comerica | 36,592 | 1,171,676 | |
Discover Financial Services | 98,714 | 3,346,405 | |
E*TRADE Financial | 42,286 | a | 449,500 |
Equity Residential | 55,258 | c | 3,395,052 |
Federated Investors, Cl. B | 17,280 | b | 381,542 |
Fifth Third Bancorp | 164,452 | 2,340,152 | |
First Horizon National | 50,810 | 466,436 | |
Franklin Resources | 26,514 | 3,327,772 | |
Genworth Financial, Cl. A | 94,598 | a | 568,534 |
Goldman Sachs Group | 91,109 | 10,491,201 | |
Hartford Financial Services Group | 83,066 | 1,707,006 | |
HCP | 75,377 | c | 3,124,377 |
Health Care REIT | 38,673 | c | 2,191,212 |
Host Hotels & Resorts | 126,430 | c | 2,103,795 |
Hudson City Bancorp | 102,364 | 722,690 | |
Huntington Bancshares | 151,668 | 1,014,659 | |
IntercontinentalExchange | 13,442 | a | 1,788,324 |
Invesco | 82,623 | 2,052,355 | |
JPMorgan Chase & Co. | 702,759 | 30,204,582 | |
KeyCorp | 178,069 | 1,431,675 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Kimco Realty | 73,713c | 1,430,769 | |
Legg Mason | 22,865 | 596,091 | |
Leucadia National | 35,092 | 872,387 | |
Lincoln National | 53,795 | 1,332,502 | |
Loews | 56,396 | 2,319,567 | |
M&T Bank | 23,172 | 1,999,048 | |
Marsh & McLennan | 99,285 | 3,321,083 | |
MetLife | 195,187 | 7,032,588 | |
Moody’s | 36,551 | 1,496,763 | |
Morgan Stanley | 280,378 | 4,844,932 | |
NASDAQ OMX Group | 23,314 | 572,825 | |
Northern Trust | 43,257 | 2,058,601 | |
NYSE Euronext | 46,928 | 1,208,396 | |
People’s United Financial | 66,286 | 817,969 | |
Plum Creek Timber | 29,895c | 1,256,786 | |
PNC Financial Services Group | 97,115 | 6,440,667 | |
Principal Financial Group | 57,803 | 1,599,409 | |
Progressive | 113,249 | 2,412,204 | |
ProLogis | 83,531c | 2,988,739 | |
Prudential Financial | 86,658 | 5,246,275 | |
Public Storage | 26,167c | 3,748,684 | |
Regions Financial | 232,527 | 1,567,232 | |
Simon Property Group | 56,352c | 8,768,371 | |
SLM | 96,570 | 1,432,133 | |
State Street | 90,958 | 4,204,079 | |
SunTrust Banks | 96,263 | 2,337,266 | |
T. Rowe Price Group | 46,375 | 2,926,958 | |
Torchmark | 18,549 | 903,522 | |
Travelers | 72,482 | 4,662,042 | |
U.S. Bancorp | 351,079 | 11,294,211 | |
Unum Group | 53,705 | 1,274,957 | |
Ventas | 52,039c | 3,059,373 | |
Vornado Realty Trust | 33,535c | 2,878,644 | |
Wells Fargo & Co. | 970,824 | 32,454,646 | |
Weyerhaeuser | 96,956c | 1,974,024 | |
XL Group | 57,727 | 1,241,708 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Zions Bancorporation | 33,419 | 681,413 | |
340,799,552 | |||
Health Care—11.1% | |||
Abbott Laboratories | 289,449 | 17,963,205 | |
Aetna | 64,573 | 2,843,795 | |
Agilent Technologies | 62,883 | 2,652,405 | |
Allergan | 55,374 | 5,315,904 | |
AmerisourceBergen | 49,283 | 1,833,820 | |
Amgen | 144,713 | 10,290,541 | |
Baxter International | 103,829 | 5,753,165 | |
Becton Dickinson & Co. | 39,484 | 3,097,520 | |
Biogen Idec | 44,590 | a | 5,975,506 |
Boston Scientific | 267,703 | a | 1,675,821 |
Bristol-Myers Squibb | 310,986 | 10,377,603 | |
C.R. Bard | 15,795 | 1,563,073 | |
Cardinal Health | 63,493 | 2,683,849 | |
CareFusion | 39,802 | a | 1,031,270 |
Celgene | 81,515 | a | 5,944,074 |
Cerner | 26,272 | a | 2,130,396 |
Cigna | 52,344 | 2,419,863 | |
Coventry Health Care | 27,079 | 812,099 | |
Covidien | 90,195 | 4,981,470 | |
DaVita | 17,028 | a | 1,508,340 |
DENTSPLY International | 24,840 | 1,019,930 | |
Edwards Lifesciences | 21,353 | a | 1,771,658 |
Eli Lilly & Co. | 187,979 | 7,780,451 | |
Express Scripts Holding | 146,550 | a | 8,176,025 |
Forest Laboratories | 51,423 | a | 1,791,063 |
Gilead Sciences | 139,412 | a | 7,250,818 |
Hospira | 29,933 | a | 1,051,247 |
Humana | 30,014 | 2,421,530 | |
Intuitive Surgical | 7,110 | a | 4,111,002 |
Johnson & Johnson | 505,353 | 32,893,427 | |
Laboratory Corp. of America Holdings | 17,933 | a | 1,576,131 |
Life Technologies | 31,860 | a | 1,477,030 |
McKesson | 45,544 | 4,163,177 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Medtronic | 193,785 | 7,402,587 | |
Merck & Co. | 560,477 | 21,993,117 | |
Mylan | 77,777 | a | 1,688,539 |
Patterson | 18,540 | 632,029 | |
PerkinElmer | 20,343 | 561,467 | |
Perrigo | 16,922 | 1,775,118 | |
Pfizer | 1,388,621 | 31,841,080 | |
Quest Diagnostics | 28,543 | 1,646,646 | |
St. Jude Medical | 59,608 | 2,308,022 | |
Stryker | 60,505 | 3,301,758 | |
Tenet Healthcare | 76,044 | a | 394,668 |
Thermo Fisher Scientific | 67,426 | 3,752,257 | |
UnitedHealth Group | 192,489 | 10,808,257 | |
Varian Medical Systems | 21,518 | a | 1,364,672 |
Waters | 16,443 | a | 1,383,021 |
Watson Pharmaceuticals | 22,990 | a | 1,732,526 |
WellPoint | 61,699 | 4,184,426 | |
Zimmer Holdings | 32,906 | 2,070,775 | |
265,178,173 | |||
Industrial—10.3% | |||
3M | 128,654 | 11,496,521 | |
Avery Dennison | 19,587 | 626,392 | |
Boeing | 136,366 | 10,472,909 | |
C.H. Robinson Worldwide | 29,405 | 1,756,655 | |
Caterpillar | 118,650 | 12,193,661 | |
Cintas | 19,386 | 759,350 | |
Cooper Industries | 30,123 | 1,884,796 | |
CSX | 192,742 | 4,300,074 | |
Cummins | 35,414 | 4,102,004 | |
Danaher | 105,314 | 5,710,125 | |
Deere & Co. | 74,027 | 6,096,864 | |
Dover | 33,448 | 2,095,852 | |
Dun & Bradstreet | 9,497 | 738,677 | |
Eaton | 63,005 | 3,035,581 | |
Emerson Electric | 135,047 | 7,095,369 | |
Equifax | 22,490 | 1,030,492 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Expeditors International of Washington | 38,012 | 1,520,480 | |
Fastenal | 54,761 | 2,563,910 | |
FedEx | 58,214 | 5,136,803 | |
Flowserve | 10,298 | 1,183,549 | |
Fluor | 31,856 | 1,839,684 | |
General Dynamics | 66,017 | 4,456,148 | |
General Electric | 1,948,005 | 38,141,938 | |
Goodrich | 23,153 | 2,904,775 | |
Honeywell International | 142,574 | 8,648,539 | |
Illinois Tool Works | 88,694 | 5,089,262 | |
Ingersoll-Rand | 54,800 | 2,330,096 | |
Iron Mountain | 34,156 | 1,037,318 | |
Jacobs Engineering Group | 22,340 | a | 979,162 |
Joy Global | 18,859 | 1,334,651 | |
L-3 Communications Holdings | 18,345 | 1,349,091 | |
Lockheed Martin | 48,702 | 4,409,479 | |
Masco | 65,787 | 867,073 | |
Norfolk Southern | 61,725 | 4,501,604 | |
Northrop Grumman | 46,557 | 2,946,127 | |
PACCAR | 67,216 | 2,887,599 | |
Pall | 20,536 | 1,224,151 | |
Parker Hannifin | 28,334 | 2,484,608 | |
Pitney Bowes | 37,470 | b | 641,861 |
Precision Castparts | 26,719 | 4,712,430 | |
Quanta Services | 40,906 | a | 904,841 |
R.R. Donnelley & Sons | 33,171 | b | 414,969 |
Raytheon | 62,635 | 3,391,059 | |
Republic Services | 58,309 | 1,595,917 | |
Robert Half International | 28,050 | 835,890 | |
Rockwell Automation | 26,194 | 2,025,844 | |
Rockwell Collins | 27,514 | 1,537,757 | |
Roper Industries | 17,614 | 1,794,867 | |
Ryder System | 9,785 | 476,725 | |
Snap-on | 10,081 | 630,466 | |
Southwest Airlines | 144,838 | 1,199,259 | |
Stanley Black & Decker | 31,113 | 2,276,227 |
16
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Stericycle | 15,838 | a | 1,371,571 |
Textron | 52,664 | 1,402,969 | |
Tyco International | 85,800 | 4,815,954 | |
Union Pacific | 88,416 | 9,941,495 | |
United Parcel Service, Cl. B | 177,137 | 13,841,485 | |
United Technologies | 167,554 | 13,679,109 | |
W.W. Grainger | 11,072 | 2,300,983 | |
Waste Management | 86,425 | 2,955,735 | |
Xylem | 33,763 | 941,312 | |
244,920,094 | |||
Information Technology—19.8% | |||
Accenture, Cl. A | 118,198 | 7,676,960 | |
Adobe Systems | 92,575 | a | 3,106,817 |
Advanced Micro Devices | 110,175 | a | 810,888 |
Akamai Technologies | 32,814 | a | 1,069,736 |
Altera | 57,845 | 2,057,547 | |
Amphenol, Cl. A | 30,121 | 1,751,235 | |
Analog Devices | 55,180 | 2,150,916 | |
Apple | 171,648 | a | 100,283,628 |
Applied Materials | 237,407 | 2,846,510 | |
Autodesk | 41,049 | a | 1,616,099 |
Automatic Data Processing | 89,298 | 4,966,755 | |
BMC Software | 32,251 | a | 1,330,676 |
Broadcom, Cl. A | 90,266 | a | 3,303,736 |
CA | 67,833 | 1,792,148 | |
Cisco Systems | 991,555 | 19,979,833 | |
Citrix Systems | 33,913 | a | 2,903,292 |
Cognizant Technology Solutions, Cl. A | 55,655 | a | 4,080,625 |
Computer Sciences | 29,363 | 823,926 | |
Corning | 285,327 | 4,094,442 | |
Dell | 283,215 | a | 4,636,230 |
eBay | 210,833 | a | 8,654,695 |
Electronic Arts | 59,282 | a | 911,757 |
EMC | 377,962 | a | 10,662,308 |
F5 Networks | 14,796 | a | 1,981,628 |
Fidelity National Information Services | 45,349 | 1,526,901 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
First Solar | 10,675 | a,b | 196,420 |
Fiserv | 25,810 | a | 1,814,185 |
FLIR Systems | 29,664 | 666,253 | |
Google, Cl. A | 46,689 | a | 28,257,583 |
Harris | 21,250 | 967,725 | |
Hewlett-Packard | 364,828 | 9,033,141 | |
Intel | 920,271 | 26,135,696 | |
International Business Machines | 213,413 | 44,193,564 | |
Intuit | 55,362 | 3,209,335 | |
Jabil Circuit | 32,358 | 758,795 | |
JDS Uniphase | 40,459 | a | 491,577 |
Juniper Networks | 97,886 | a | 2,097,697 |
KLA-Tencor | 29,810 | 1,554,592 | |
Lexmark International, Cl. A | 13,117 | 394,822 | |
Linear Technology | 40,484 | 1,324,232 | |
LSI | 100,482 | a | 807,875 |
MasterCard, Cl. A | 19,410 | 8,778,561 | |
Microchip Technology | 33,824 | b | 1,195,340 |
Micron Technology | 182,598 | a | 1,203,321 |
Microsoft | 1,373,890 | 43,991,958 | |
Molex | 25,992 | b | 717,119 |
Motorola Mobility Holdings | 47,770 | a | 1,854,431 |
Motorola Solutions | 54,154 | 2,763,479 | |
NetApp | 67,662 | a | 2,627,315 |
Novellus Systems | 11,816 | a | 552,398 |
NVIDIA | 110,722 | a | 1,439,386 |
Oracle | 720,269 | 21,168,706 | |
Paychex | 58,642 | 1,816,729 | |
QUALCOMM | 311,377 | 19,878,308 | |
Red Hat | 35,282 | a | 2,103,160 |
SAIC | 50,355 | 612,317 | |
Salesforce.com | 24,643 | a | 3,837,654 |
SanDisk | 43,445 | a | 1,607,899 |
Symantec | 135,957 | a | 2,246,010 |
TE Connectivity | 78,900 | 2,876,694 | |
Teradata | 30,339 | a | 2,117,055 |
18
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Teradyne | 35,007 | a | 602,470 |
Texas Instruments | 211,341 | 6,750,232 | |
Total System Services | 28,103 | 660,983 | |
VeriSign | 29,950 | 1,231,245 | |
Visa, Cl. A | 91,633 | 11,269,026 | |
Western Digital | 43,053 | a | 1,670,887 |
Western Union | 116,723 | 2,145,369 | |
Xerox | 245,612 | 1,910,861 | |
Xilinx | 48,440 | 1,762,247 | |
Yahoo! | 223,677 | a | 3,475,941 |
471,789,881 | |||
Materials—3.4% | |||
Air Products & Chemicals | 38,209 | 3,266,487 | |
Airgas | 13,017 | 1,192,878 | |
Alcoa | 192,245 | 1,870,544 | |
Allegheny Technologies | 18,808 | 807,616 | |
Ball | 28,829 | 1,203,899 | |
Bemis | 19,779 | 640,642 | |
CF Industries Holdings | 12,008 | 2,318,264 | |
Cliffs Natural Resources | 26,122 | 1,626,356 | |
Dow Chemical | 216,835 | 7,346,370 | |
E.I. du Pont de Nemours & Co. | 171,612 | 9,174,378 | |
Eastman Chemical | 26,549 | 1,432,850 | |
Ecolab | 54,724 | 3,485,372 | |
FMC | 13,429 | 1,483,233 | |
Freeport-McMoRan Copper & Gold | 174,493 | 6,683,082 | |
International Flavors & Fragrances | 14,164 | 852,814 | |
International Paper | 80,009 | 2,665,100 | |
MeadWestvaco | 30,975 | 985,625 | |
Monsanto | 98,564 | 7,508,606 | |
Mosaic | 54,262 | 2,866,119 | |
Newmont Mining | 90,790 | 4,326,144 | |
Nucor | 57,017 | 2,235,637 | |
Owens-Illinois | 30,119 | a | 700,267 |
PPG Industries | 28,025 | 2,949,351 | |
Praxair | 55,339 | 6,402,722 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Materials (continued) | |||
Sealed Air | 35,307 | 677,188 | |
Sherwin-Williams | 16,519 | 1,986,905 | |
Sigma-Aldrich | 22,654 | 1,606,169 | |
Titanium Metals | 15,856 | 234,193 | |
United States Steel | 26,106 | b | 739,583 |
Vulcan Materials | 23,664 | 1,013,056 | |
80,281,450 | |||
Telecommunication Services—2.8% | |||
AT&T | 1,091,500 | 35,921,265 | |
CenturyLink | 113,302 | 4,368,925 | |
Crown Castle International | 45,878 | a | 2,597,154 |
Frontier Communications | 184,604 | b | 745,800 |
MetroPCS Communications | 49,310 | a | 359,963 |
Sprint Nextel | 536,323 | a | 1,330,081 |
Verizon Communications | 522,022 | 21,079,248 | |
Windstream | 106,795 | b | 1,200,376 |
67,602,812 | |||
Utilities—3.4% | |||
AES | 117,122 | a | 1,466,367 |
AGL Resources | 21,260 | 838,282 | |
Ameren | 44,379 | 1,455,187 | |
American Electric Power | 88,982 | 3,456,061 | |
CenterPoint Energy | 76,447 | 1,544,994 | |
CMS Energy | 44,930 | 1,032,941 | |
Consolidated Edison | 53,336 | 3,170,825 | |
Dominion Resources | 104,162 | 5,436,215 | |
DTE Energy | 30,264 | 1,706,284 | |
Duke Energy | 245,899 | 5,269,616 | |
Edison International | 58,838 | 2,589,460 | |
Entergy | 32,538 | 2,133,191 | |
Exelon | 156,048 | 6,087,432 | |
FirstEnergy | 76,981 | 3,604,250 |
20
Common Stocks (continued) | Shares | Value ($) | |
Utilities (continued) | |||
Integrys Energy Group | 13,486 | 736,875 | |
NextEra Energy | 76,242 | 4,906,173 | |
NiSource | 51,415 | 1,267,380 | |
Northeast Utilities | 57,606 | 2,118,173 | |
NRG Energy | 42,844a | 728,348 | |
ONEOK | 19,127 | 1,642,818 | |
Pepco Holdings | 42,315 | 800,600 | |
PG&E | 74,435 | 3,288,538 | |
Pinnacle West Capital | 20,017 | 967,822 | |
PPL | 105,542 | 2,886,574 | |
Progress Energy | 53,286 | 2,835,881 | |
Public Service Enterprise Group | 91,685 | 2,855,988 | |
SCANA | 21,607b | 996,515 | |
Sempra Energy | 43,256 | 2,800,393 | |
Southern | 158,139 | 7,264,906 | |
TECO Energy | 37,265 | 671,515 | |
Wisconsin Energy | 43,306 | 1,595,393 | |
Xcel Energy | 89,603 | 2,424,657 | |
80,579,654 | |||
Total Common Stocks | |||
(cost $1,314,988,874) | 2,325,510,198 | ||
Principal | |||
Short-Term Investments—.1% | Amount ($) | Value ($) | |
U.S. Treasury Bills; | |||
0.08%, 6/21/12 | |||
(cost $3,099,651) | 3,100,000d | 3,099,687 | |
Other Investment—.0% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $11,804) | 11,804e | 11,804 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Investment of Cash Collateral | |||
for Securities Loaned—.5% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Cash Advantage Fund | |||
(cost $11,362,098) | 11,362,098e | 11,362,098 | |
Total Investments (cost $1,329,462,427) | 98.2% | 2,339,983,787 | |
Cash and Receivables (Net) | 1.8% | 42,171,145 | |
Net Assets | 100.0% | 2,382,154,932 |
REIT—Real Estate Investment Trust |
a Non-income producing security. |
b Security, or portion thereof, on loan.At April 30, 2012, the value of the fund’s securities on loan was $10,800,991 |
and the value of the collateral held by the fund was $11,362,098. |
c Investment in real estate investment trust. |
d Held by a broker as collateral for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Information Technology | 19.8 | Materials | 3.4 |
Financial | 14.3 | Utilities | 3.4 |
Health Care | 11.1 | Telecommunication Services | 2.8 |
Consumer Discretionary | 11.0 | Short-Term/ | |
Energy | 10.9 | Money Market Investments | .6 |
Consumer Staples | 10.6 | ||
Industrial | 10.3 | 98.2 | |
† Based on net assets. | |||
See notes to financial statements. |
22
STATEMENT OF FINANCIAL FUTURES |
A p r i l 3 0 , 2 0 1 2 ( U n a u d i t e d ) |
Market Value | Unrealized | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2012 | ($) | |
Financial Futures Long | |||||
Standard & Poor’s 500 E-mini | 841 | 58,600,880 | June 2012 | (197,276 | ) |
See notes to financial statements. |
The Fund | 23 |
STATEMENT OF ASSETS AND LIABILITIES |
A p r i l 3 0 , 2 0 1 2 ( U n a u d i t e d ) |
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments (including | |||
securities on loan, valued at $10,800,991)—Notes 1(b): | |||
Unaffiliated issuers | 1,318,088,525 | 2,328,609,885 | |
Affiliated issuers | 11,373,902 | 11,373,902 | |
Cash | 2,124,459 | ||
Receivable for investment securities sold | 55,390,698 | ||
Dividends and securities lending income receivable | 2,401,538 | ||
Receivable for shares of Common Stock subscribed | 1,723,649 | ||
2,401,624,131 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3 (b) | 959,190 | ||
Liability for securities on loan—Note 1(b) | 11,362,098 | ||
Payable for shares of Common Stock redeemed | 4,531,489 | ||
Bank note payable—Note 2 | 2,400,000 | ||
Payable for futures variation margin—Note 4 | 206,045 | ||
Interest payable—Note 2 | 77 | ||
Accrued expenses | 10,300 | ||
19,469,199 | |||
Net Assets ($) | 2,382,154,932 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 1,396,594,186 | ||
Accumulated undistributed investment income—net | 11,709,233 | ||
Accumulated net realized gain (loss) on investments | (36,472,571) | ||
Accumulated net unrealized appreciation (depreciation) | |||
on investments [including ($197,276) net unrealized | |||
(depreciation) on financial futures] | 1,010,324,084 | ||
Net Assets ($) | 2,382,154,932 | ||
Shares Outstanding | |||
(200 million shares $.001 par value Common Stock authorized) | 62,049,544 | ||
Net Asset Value, offering and redemption price per share ($) | 38.39 | ||
See notes to financial statements. |
24
STATEMENT OF OPERATIONS |
S i x M o n t h s E n d e d A p r i l 3 0 , 2 0 1 2 ( U n a u d i t e d ) |
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 24,937,374 | |
Affiliated issuers | 13,127 | |
Income from securities lending—Note 1(b) | 72,307 | |
Interest | 341 | |
Total Income | 25,023,149 | |
Expenses: | ||
Management fee—Note 3(a) | 2,848,361 | |
Shareholder servicing costs—Note 3(b) | 2,848,361 | |
Directors’ fees —Note 3(a) | 49,179 | |
Loan commitment fees—Note 2 | 8,241 | |
Interest expense—Note 2 | 77 | |
Total Expenses | 5,754,219 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (49,179) | |
Net Expenses | 5,705,040 | |
Investment Income—Net | 19,318,109 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 9,364,374 | |
Net realized gain (loss) on financial futures | 8,012,666 | |
Net Realized Gain (Loss) | 17,377,040 | |
Net unrealized appreciation (depreciation) on investments | 237,796,292 | |
Net unrealized appreciation (depreciation) on financial futures | (3,536,201) | |
Net Unrealized Appreciation (Depreciation) | 234,260,091 | |
Net Realized and Unrealized Gain (Loss) on Investments | 251,637,131 | |
Net Increase in Net Assets Resulting from Operations | 270,955,240 | |
See notes to financial statements. |
The Fund | 25 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2012 | Year Ended | |||
(Unaudited) | October 31, 2011 | |||
Operations ($): | ||||
Investment income—net | 19,318,109 | 36,757,856 | ||
Net realized gain (loss) on investments | 17,377,040 | 9,649,483 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 234,260,091 | 131,088,444 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 270,955,240 | 177,495,783 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (35,011,267) | (34,804,705) | ||
Net realized gain on investments | (13,904,370) | (51,832,641) | ||
Total Dividends | (48,915,637) | (86,637,346) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 250,930,825 | 531,886,911 | ||
Dividends reinvested | 47,707,705 | 84,742,937 | ||
Cost of shares redeemed | (369,047,257) | (804,836,248) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (70,408,727) | (188,206,400) | ||
Total Increase (Decrease) in Net Assets | 151,630,876 | (97,347,963) | ||
Net Assets ($): | ||||
Beginning of Period | 2,230,524,056 | 2,327,872,019 | ||
End of Period | 2,382,154,932 | 2,230,524,056 | ||
Undistributed investment income—net | 11,709,233 | 27,402,391 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 6,937,184 | 15,132,550 | ||
Shares issued for dividends reinvested | 1,396,383 | 2,446,143 | ||
Shares redeemed | (10,204,206) | (22,893,993) | ||
Net Increase (Decrease) in Shares Outstanding | (1,870,639) | (5,315,300) | ||
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||||||||
April 30, 2012 | Year Ended October 31, | ||||||||||||
(Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||
Per Share Data ($): | |||||||||||||
Net asset value, | |||||||||||||
beginning of period | 34.90 | 33.62 | 29.45 | 27.66 | 44.18 | 40.57 | |||||||
Investment Operations: | |||||||||||||
Investment income—neta | .31 | .55 | .49 | .53 | .66 | .61 | |||||||
Net realized and | |||||||||||||
unrealized gain | |||||||||||||
(loss) on investments | 3.96 | 2.00 | 4.19 | 1.93 | (16.51 | ) | 4.90 | ||||||
Total from | |||||||||||||
Investment Operations | 4.27 | 2.55 | 4.68 | 2.46 | (15.85 | ) | 5.51 | ||||||
Distributions: | |||||||||||||
Dividends from | |||||||||||||
investment income—net | (.56 | ) | (.51 | ) | (.51 | ) | (.67 | ) | (.67 | ) | (.56 | ) | |
Dividends from net | |||||||||||||
realized gain | |||||||||||||
on investments | (.22 | ) | (.76 | ) | — | — | — | (1.34 | ) | ||||
Total Distributions | (.78 | ) | (1.27 | ) | (.51 | ) | (.67 | ) | (.67 | ) | (1.90 | ) | |
Net asset value, | |||||||||||||
end of period | 38.39 | 34.90 | 33.62 | 29.45 | 27.66 | 44.18 | |||||||
Total Return (%) | 12.50 | b | 7.61 | 16.02 | 9.42 | (36.38 | ) | 14.05 | |||||
Ratios/Supplemental | |||||||||||||
Data (%): | |||||||||||||
Ratio of total expenses | |||||||||||||
to average net assets | .51 | c | .51 | .51 | .51 | .51 | .51 | ||||||
Ratio of net expenses | |||||||||||||
to average net assets | .50 | c | .50 | .50 | .50 | .50 | .50 | ||||||
Ratio of net investment | |||||||||||||
income to average | |||||||||||||
net assets | 1.70 | c | 1.55 | 1.55 | 2.06 | 1.77 | 1.47 | ||||||
Portfolio Turnover Rate | 1.44 | b | 3.38 | 5.45 | 4.36 | 4.95 | 4.71 | ||||||
Net Assets, | |||||||||||||
end of period | |||||||||||||
($ x 1,000) | 2,382,155 | 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. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements. |
The Fund | 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective seeks 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 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.
28
(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 | 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 of the 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 (the “Service”) approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Board of Directors.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. 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
30
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.
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. Options traded over-the-counter are valued at the mean between the bid and asked price.These securities are generally categorized within Level 2 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 Fund | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the inputs used as of April 30, 2012 in valuing the fund’s investments:
Level 2—Other | Level 3— | ||||||
Level 1— | Significant | Significant | |||||
Unadjusted | Observable | Unobservable | |||||
Quoted Prices | Inputs | Inputs | Total | ||||
Assets ($) | |||||||
Investments in Securities: | |||||||
Equity Securities— | |||||||
Domestic† | 2,325,510,198 | — | — | 2,325,510,198 | |||
Mutual Funds | 11,373,902 | — | — | 11,373,902 | |||
U.S. Treasury | — | 3,099,687 | — | 3,099,687 | |||
Liabilities ($) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Futures†† | (197,276) | — | — | (197,276 | ) | ||
† | See Statement of Investments for additional detailed categorizations. | ||||||
†† | Amount shown represents unrealized (depreciation) at period end. |
In May 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common FairValue 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 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
32
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 rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended April 30, 2012, The Bank of NewYork Mellon earned $30,989 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Other investment companies advised by Dreyfus are considered to be “affiliated” with the fund.
The Fund | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 April 30, 2012 were as follows:
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2012, 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.
34
Each of the tax years in the three-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2011 was as follows: ordinary income $34,804,705 and long-term capital gain $51,832,641 .The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2012, was approximately $13,200 with a related weighted average annualized interest rate of 1.18%.
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 of the fund’s direct expenses, except management fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund, Shareholder Services Plan fees and extraordinary expenses.The Manager has also agreed to reduce
The Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to non-interested Board members. 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 April 30, 2012, fees reimbursed by the Manager amounted to $49,179.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, at an annual rate of .25% of the value of the fund’s average daily net assets.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2012, the fund was charged $2,848,361 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 $489,135 and shareholder services plan fees $489,135, which are offset against a directors’ fee reimbursement currently in effect in the amount of $19,080.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2012, amounted to $32,414,404 and $128,513,771, respectively.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments.The
36
fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market.A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at April 30, 2012 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2012:
Average Market Value ($) | |
Equity futures contracts | 44,743,754 |
At April 30, 2012, accumulated net unrealized appreciation on investments was $1,010,521,360, consisting of $1,147,908,891 gross unrealized appreciation and $137,387,531 gross unrealized depreciation.
At April 30, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—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 Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
the Southern District of New York, and Niese et al. v. AllianceBernstein 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 buy-out 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.These cases have been consolidated for pre-trial proceedings in a multi-district litigation in the United States District Court for the Southern District of New York (S.D.N.Y. No. 11-md-2296 (WHP)). In Deutsche Bank v. Adaly, the fund and eleven other defendants are named as shareholder defendants class representatives.
In addition, there was a case pending in United States Bankruptcy Court for the District of Delaware brought by the Unsecured Creditors Committee of the Tribune Company that has since been transferred to the multi-district litigation in the United States District Court for the Southern District of NewYork (The Official Committee of Unsecured Creditors of Tribune Co. v. Fitzsimons et al., formerly Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC) and now S.D.N.Y. No. 12-cv-2652 (WHP)). The case was originally filed on November 1, 2010. In this case, the Creditors Committee seeks recovery for alleged “fraudulent conveyances” from more than 32,000 Tribune shareholders, including the fund, in a Third Amended Complaint filed in January 2012.
At this 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 that may result.
38
INFORMATION ABOUT THE RENEWAL OF THE |
FUND’S MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Directors held on March 6, 2012, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund.The Board considered information previously provided to them in presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex, and Dreyfus representatives confirmed that there had been no material changes in this information. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered
The Fund | 39 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
Dreyfus’ extensive administrative, accounting, and compliance infra-structures.The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2011, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was below the Performance Group median and noted the close proximity of the fund’s total return performance to the Performance Group median during the reported time periods. The Board noted the fund’s total return performance was variously at or above the Performance Universe medians. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense
40
Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expense ratio were above the Expense Group and Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board’s counsel stated that the Board should consider the profitability analysis (1) as part of their evaluation of whether the fees
The Fund | 41 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the ser- vices provided by Dreyfus are adequate and appropriate.
The Board generally was satisfied with the fund’s performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the manage- ment of the fund had been adequately considered by Dreyfus in
42
connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus.The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, it should be noted that the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
The Fund | 43 |
NOTES
Dreyfus |
Smallcap |
Stock Index Fund |
SEMIANNUAL REPORT April 30, 2012
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
26 | Statement of Financial Futures |
27 | Statement of Assets and Liabilities |
28 | Statement of Operations |
29 | Statement of Changes in Net Assets |
30 | Financial Highlights |
31 | Notes to Financial Statements |
41 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus
Smallcap Stock Index Fund
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2011, through April 30, 2012. 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.
U.S. stock markets had stabilized at the start of the reporting period in the wake of sharp declines stemming from the sovereign debt crisis in Europe, an unprecedented downgrade of long-term U.S. debt securities and disappointing economic data. Fortunately, employment gains, increased manufacturing activity and other positive economic news over the final months of 2011 alleviated investors’ most serious concerns, and better business fundamentals during the first four months of 2012 sparked strong market rallies. As a result, most broad measures of U.S. stock market performance produced double-digit gains for the reporting period.
Our economic forecast calls for near-trend growth over the remainder of 2012, and we expect the United States to continue to post better economic data than most of the rest of the developed world. An aggressively accommodative monetary policy, pent-up demand in several industry groups and gradual improvement in housing prices appear likely to balance risks stemming from the ongoing European debt crisis and volatile energy prices. As always, we encourage you to talk with your financial adviser about how these developments may affect your investments.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through April 30, 2012, 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 six-month period ended April 30, 2012, Dreyfus Smallcap Stock Index Fund produced a total return of 12.51%.1 In comparison, the Standard & Poor’s SmallCap 600 Index (“S&P 600 Index”), the fund’s benchmark, produced a 12.67% total return for the same period.2,3
Improving economic fundamentals in the United States and progress in forestalling a banking crisis in Europe drove stocks of small-cap companies broadly higher over the reporting period.The difference in returns 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.
Markets Bolstered by Improving Economic Fundamentals
Stocks across all capitalization ranges had floundered in the months prior to the reporting period due to a number of macroeconomic concerns, including an unprecedented downgrade of Standard & Poor’s credit-rating of long-term U.S. government debt, a sovereign debt crisis in Greece that threatened to spread to other members of the European Union, fears of inflation and an economic slowdown in China, and uncertainties regarding the strength and sustainability of the U.S. economic recovery.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
These issues led investors to focus on traditional safe havens, including U.S.Treasury securities and well-established companies with track records of consistent earnings growth, financial stability and dividend payments.
Fortunately, economic conditions appeared to improve over the final months of 2011 and early 2012, driven by a declining U.S. unemployment rate, increased manufacturing activity, higher levels of consumer confidence and greater capital spending by businesses. In addition, the Federal Reserve Board launched Operation Twist, a stimulative program designed to boost lending activity by reducing longer term interest rates through massive purchases of long-term U.S. Treasury securities. The European Central Bank took what were regarded as credible steps to address problems in the region’s banking system, forestalling a more serious financial crisis through the Long Term Refinancing Operation (LTRO). Meanwhile, inflationary pressures and economic concerns moderated in China. In response, investors became more tolerant of risks, and they shifted their attention to more speculative, growth-oriented segments of the equity markets, including small-cap stocks.
Investors Favored Financial and Consumer-Oriented Stocks
In this environment, most of the economic sectors represented in the S&P 600 Index posted positive absolute returns for the reporting period.The financials sector led the market’s advance, fueled by gains among real estate investment trusts (REITs) that encountered better business conditions for commercial tenants, higher occupancy rates in urban areas, and rising investor demand for dividend income. Smaller banks and insurers also fared well amid rising mergers-and-acquisitions activity, and small-cap financial institutions were mostly unaffected by weakness in overseas markets and a more stringent U.S. regulatory environment for their larger counterparts.
In the consumer discretionary sector, retailers benefited from greater consumer spending on a variety of goods and services, including sporting goods, mattresses and other products that tend to be absent from “big-box” chains. Casino equipment makers, restaurants, timeshare properties and other providers of leisure services saw business improve along with consumers’ disposable incomes. Among health
4
care companies, businesses producing medical equipment and supplies gained value when some of the sector’s small-cap companies received acquisition offers at premiums to their stock prices at the time. Finally, results from the information technology sector were bolstered by gains among suppliers of baggage inspection equipment, network security equipment and microchips.
On the other hand, the telecommunications services and utilities sectors posted relatively disappointing returns for the reporting period. Telecommunications companies comprise a very small portion of the index, so the sector’s weakness had a negligible impact on the fund’s performance. Among utilities, natural gas providers were hurt by plummeting commodity prices during an unusually mild winter.
Index Funds Offer Diversification Benefits
As an index fund, we attempt to replicate the returns of the S&P 600 Index by closely approximating its composition. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
May 15, 2012
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 |
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from November 1, 2011 to April 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2012
Expenses paid per $1,000† | $ | 2.64 |
Ending value (after expenses) | $ | 1,125.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended April 30, 2012
Expenses paid per $1,000† | $ | 2.51 |
Ending value (after expenses) | $ | 1,022.38 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 182/366 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS |
April 30, 2012 (Unaudited) |
Common Stocks—99.3% | Shares | Value ($) | |
Consumer Discretionary—15.9% | |||
American Greetings, Cl. A | 87,158 | 1,394,528 | |
American Public Education | 46,983a,b | 1,631,250 | |
Arbitron | 69,122 | 2,630,092 | |
Arctic Cat | 32,539b | 1,439,525 | |
Big 5 Sporting Goods | 46,114 | 385,974 | |
Biglari Holdings | 2,550b | 1,036,142 | |
BJ’s Restaurants | 50,913b | 2,198,932 | |
Blue Nile | 31,911a,b | 966,265 | |
Blyth | 12,616 | 1,109,830 | |
Boyd Gaming | 125,588a,b | 965,772 | |
Brown Shoe | 82,224 | 749,061 | |
Brunswick | 201,219 | 5,290,048 | |
Buckle | 60,171a | 2,778,697 | |
Buffalo Wild Wings | 38,619b | 3,238,203 | |
Cabela’s | 89,525b | 3,384,940 | |
Callaway Golf | 97,773 | 599,348 | |
Capella Education | 35,639b | 1,165,752 | |
Career Education | 106,256b | 757,605 | |
Cato, Cl. A | 68,122 | 1,895,835 | |
CEC Entertainment | 53,391 | 2,040,604 | |
Children’s Place Retail Stores | 57,271b | 2,633,321 | |
Christopher & Banks | 79,127 | 147,967 | |
Coinstar | 73,997a,b | 4,646,272 | |
Corinthian Colleges | 192,110a,b | 737,702 | |
Cracker Barrel Old Country Store | 55,525 | 3,193,798 | |
Crocs | 208,072b | 4,203,054 | |
Digital Generation | 57,114b | 530,018 | |
DineEquity | 28,978b | 1,407,751 | |
Drew Industries | 34,192b | 1,018,238 | |
E.W. Scripps, Cl. A | 81,503b | 746,567 | |
Ethan Allen Interiors | 63,676a | 1,477,283 | |
Finish Line, Cl. A | 117,208 | 2,609,050 | |
Fred’s, Cl. A | 90,744 | 1,299,454 | |
Genesco | 54,750b | 4,106,250 | |
Group 1 Automotive | 52,098 | 3,015,432 |
The Fund | 7 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Harte-Hanks | 94,389 | 792,868 | |
Haverty Furniture | 28,942 | 347,304 | |
Helen of Troy | 66,418b | 2,298,063 | |
Hibbett Sports | 67,016b | 4,002,196 | |
Hillenbrand | 137,666 | 2,882,726 | |
Hot Topic | 97,740 | 957,852 | |
Iconix Brand Group | 168,626b | 2,586,723 | |
Interval Leisure Group | 79,095 | 1,366,762 | |
iRobot | 49,862a,b | 1,177,242 | |
Jack in the Box | 107,854b | 2,450,443 | |
JAKKS Pacific | 77,883a | 1,485,229 | |
JOS. A. Bank Clothiers | 60,361b | 2,870,166 | |
K-Swiss, Cl. A | 38,118a,b | 140,274 | |
Kirkland’s | 33,038b | 483,676 | |
La-Z-Boy | 118,817b | 1,790,572 | |
Lincoln Educational Services | 51,385 | 377,166 | |
Lithia Motors, Cl. A | 49,306 | 1,322,880 | |
Live Nation | 338,557b | 3,067,326 | |
Liz Claiborne | 215,309b | 2,885,141 | |
Lumber Liquidators Holdings | 60,574a,b | 1,752,406 | |
M/I Homes | 43,006b | 571,980 | |
Maidenform Brands | 51,560b | 1,177,115 | |
Marcus | 58,032 | 725,980 | |
MarineMax | 45,416b | 484,135 | |
Marriott Vacations Worldwide | 63,994b | 1,889,743 | |
Men’s Wearhouse | 113,950 | 4,220,708 | |
Meritage Homes | 54,658b | 1,551,741 | |
Midas | 23,051b | 265,087 | |
Monarch Casino & Resort | 17,578b | 170,155 | |
Monro Muffler Brake | 71,894 | 2,966,346 | |
Movado Group | 40,592 | 1,150,783 | |
Multimedia Games Holding Company | 80,390b | 913,230 | |
NutriSystem | 69,598a | 805,945 | |
OfficeMax | 152,121b | 707,363 | |
Oxford Industries | 31,942 | 1,532,897 | |
P.F. Chang’s China Bistro | 57,920 | 2,298,845 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Papa John’s International | 50,690b | 2,041,793 | |
Peet’s Coffee & Tea | 23,349a,b | 1,793,670 | |
PEP Boys-Manny Moe & Jack | 116,891 | 1,745,183 | |
Perry Ellis International | 24,744b | 462,960 | |
PetMed Express | 49,956a | 672,907 | |
Pinnacle Entertainment | 151,863b | 1,685,679 | |
Pool | 111,197 | 4,104,281 | |
Quiksilver | 260,815b | 902,420 | |
Red Robin Gourmet Burgers | 35,991b | 1,283,439 | |
Ruby Tuesday | 146,894b | 998,879 | |
Rue21 | 34,618a,b | 1,050,656 | |
Ruth’s Hospitality Group | 69,909b | 483,770 | |
Ryland Group | 95,387 | 2,147,161 | |
Select Comfort | 123,426b | 3,564,543 | |
Shuffle Master | 146,090b | 2,581,410 | |
Skechers USA, Cl. A | 62,976b | 1,175,762 | |
Sonic | 157,231a,b | 1,135,208 | |
Sonic Automotive, Cl. A | 76,237 | 1,282,306 | |
Spartan Motors | 84,289 | 366,657 | |
Stage Stores | 81,037 | 1,237,435 | |
Standard Motor Products | 58,665 | 884,082 | |
Standard Pacific | 188,229a,b | 952,439 | |
Stein Mart | 53,935b | 346,263 | |
Steven Madden | 83,234b | 3,596,541 | |
Sturm Ruger & Co. | 46,811 | 2,671,504 | |
Superior Industries International | 64,277 | 1,099,779 | |
Texas Roadhouse | 140,628 | 2,425,833 | |
True Religion Apparel | 64,428b | 1,749,864 | |
Tuesday Morning | 107,609b | 434,740 | |
Universal Electronics | 30,673b | 518,987 | |
Universal Technical Institute | 60,959 | 731,508 | |
Vitamin Shoppe | 72,354b | 3,405,703 | |
VOXX International | 48,992b | 621,708 | |
Winnebago Industries | 43,391a,b | 423,062 | |
Wolverine World Wide | 112,309 | 4,711,363 | |
Zale | 60,203b | 164,956 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Zumiez | 49,385b | 1,810,454 | |
181,164,533 | |||
Consumer Staples—4.2% | |||
Alliance One International | 154,713b | 547,684 | |
Andersons | 44,059 | 2,220,574 | |
B&G Foods | 97,692 | 2,172,670 | |
Boston Beer, Cl. A | 21,713a,b | 2,243,387 | |
Cal-Maine Foods | 29,253 | 1,053,986 | |
Calavo Growers | 25,423a | 729,132 | |
Casey’s General Stores | 88,346 | 4,978,297 | |
Central Garden & Pet, Cl. A | 135,783b | 1,451,520 | |
Darling International | 276,617b | 4,530,986 | |
Diamond Foods | 51,389a | 1,074,030 | |
Hain Celestial Group | 99,903b | 4,725,412 | |
Inter Parfums | 35,136 | 553,392 | |
J&J Snack Foods | 32,700 | 1,833,162 | |
Medifast | 52,606a,b | 1,011,087 | |
Nash Finch | 28,940 | 726,394 | |
Prestige Brands Holdings | 96,638b | 1,641,880 | |
Sanderson Farms | 34,548 | 1,783,022 | |
Seneca Foods, Cl. A | 20,597b | 479,704 | |
Snyders-Lance | 91,597 | 2,370,530 | |
Spartan Stores | 55,528 | 1,012,275 | |
TreeHouse Foods | 76,911b | 4,423,152 | |
United Natural Foods | 102,555b | 5,054,936 | |
WD-40 | 35,334 | 1,592,857 | |
48,210,069 | |||
Energy—4.4% | |||
Approach Resources | 57,959b | 2,079,569 | |
Basic Energy Services | 61,478b | 885,283 | |
Bristow Group | 87,059 | 4,252,832 | |
Cloud Peak Energy | 145,217b | 2,234,890 | |
Comstock Resources | 87,454b | 1,536,567 | |
Contango Oil & Gas | 36,205b | 1,964,483 | |
Exterran Holdings | 141,829b | 1,916,110 | |
GeoResources | 49,366b | 1,861,592 |
10
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Gulf Island Fabrication | 30,108 | 843,626 | |
Gulfport Energy | 103,704b | 2,718,082 | |
Hornbeck Offshore Services | 81,423b | 3,389,639 | |
ION Geophysical | 304,714b | 1,898,368 | |
Lufkin Industries | 69,991 | 5,378,108 | |
Matrix Service | 65,606b | 895,522 | |
Overseas Shipholding Group | 57,539a | 673,206 | |
OYO Geospace | 14,128b | 1,627,828 | |
Penn Virginia | 89,945 | 460,518 | |
Petroleum Development | 46,568b | 1,601,474 | |
PetroQuest Energy | 127,710b | 771,368 | |
Pioneer Drilling | 143,053b | 1,127,258 | |
SEACOR Holdings | 50,932b | 4,733,111 | |
Stone Energy | 115,006b | 3,225,918 | |
Swift Energy | 102,030b | 3,086,407 | |
Tetra Technologies | 178,813b | 1,557,461 | |
50,719,220 | |||
Financial—20.0% | |||
Acadia Realty Trust�� | 87,326c | 2,024,217 | |
AMERISAFE | 38,602b | 1,031,445 | |
Bank Mutual | 52,675 | 205,433 | |
Bank of the Ozarks | 52,618 | 1,625,896 | |
BBCN Bancorp | 182,564b | 2,004,553 | |
Boston Private Financial Holdings | 208,184 | 1,940,275 | |
Brookline Bancorp | 167,538 | 1,504,491 | |
Calamos Asset Management, Cl. A | 45,930 | 593,416 | |
Cash America International | 75,599 | 3,534,253 | |
Cedar Realty Trust | 117,318c | 612,400 | |
City Holding | 34,277a | 1,143,138 | |
Colonial Properties Trust | 209,468c | 4,685,799 | |
Columbia Banking System | 94,081 | 1,927,720 | |
Community Bank System | 73,402 | 2,064,064 | |
Cousins Properties | 241,669c | 1,899,518 | |
CVB Financial | 196,482 | 2,273,297 | |
Delphi Financial Group, Cl. A | 122,534 | 5,565,494 | |
DiamondRock Hospitality | 377,202c | 4,009,657 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Dime Community Bancshares | 39,459 | 546,902 | |
EastGroup Properties | 55,224c | 2,777,767 | |
eHealth | 60,882b | 1,078,829 | |
Employers Holdings | 61,224 | 1,060,400 | |
Entertainment Properties Trust | 115,582c | 5,546,780 | |
Extra Space Storage | 237,983c | 7,222,784 | |
EZCORP, Cl. A | 107,610b | 2,882,872 | |
F.N.B | 308,136 | 3,497,344 | |
Financial Engines | 83,774b | 1,913,398 | |
First BanCorp | 31,147b | 132,686 | |
First Cash Financial Services | 63,805b | 2,613,453 | |
First Commonwealth Financial | 238,126 | 1,531,150 | |
First Financial Bancorp | 128,613 | 2,161,985 | |
First Financial Bankshares | 67,081a | 2,270,021 | |
First Midwest Bancorp | 183,276 | 1,951,889 | |
Forestar Group | 86,174b | 1,325,356 | |
Franklin Street Properties | 175,034c | 1,762,592 | |
Getty Realty | 60,721a,c | 960,606 | |
Glacier Bancorp | 144,197 | 2,148,535 | |
Hanmi Financial | 79,749b | 831,782 | |
Healthcare Realty Trust | 163,204c | 3,505,622 | |
Home Bancshares | 56,531 | 1,647,313 | |
Horace Mann Educators | 90,463 | 1,587,626 | |
Independent Bank/MA | 47,127 | 1,322,855 | |
Infinity Property & Casualty | 27,991 | 1,494,999 | |
Inland Real Estate | 187,826c | 1,615,304 | |
Interactive Brokers Group, Cl. A | 108,033 | 1,638,861 | |
Investment Technology Group | 105,821b | 1,079,374 | |
Kilroy Realty | 147,962c | 7,020,797 | |
Kite Realty Group Trust | 162,092c | 828,290 | |
LaSalle Hotel Properties | 208,921c | 6,144,367 | |
Lexington Realty Trust | 341,102a,c | 3,035,808 | |
LTC Properties | 68,601c | 2,283,041 | |
Meadowbrook Insurance Group | 114,665 | 1,012,492 | |
Medical Properties Trust | 285,539c | 2,678,356 | |
Mid-America Apartment Communities | 87,807c | 5,977,022 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
National Financial Partners | 108,774b | 1,604,417 | |
National Penn Bancshares | 321,951 | 2,968,388 | |
Navigators Group | 27,164b | 1,290,290 | |
NBT Bankcorp | 74,121 | 1,523,187 | |
Northwest Bancshares | 226,830 | 2,794,546 | |
Old National Bancorp | 239,661 | 3,072,454 | |
Oritani Financial | 129,356 | 1,917,056 | |
PacWest Bancorp | 74,396 | 1,772,113 | |
Parkway Properties | 55,873c | 552,584 | |
Pennsylvania Real | |||
Estate Investment Trust | 134,683c | 1,897,683 | |
Pinnacle Financial Partners | 86,674b | 1,586,134 | |
Piper Jaffray | 29,132b | 706,451 | |
Post Properties | 125,377c | 6,105,860 | |
Presidential Life | 45,610 | 528,164 | |
PrivateBancorp | 155,439 | 2,445,055 | |
ProAssurance | 69,989 | 6,165,331 | |
Prospect Capital | 240,476a | 2,625,998 | |
Provident Financial Services | 102,359 | 1,504,677 | |
PS Business Parks | 47,423c | 3,236,620 | |
RLI | 40,295 | 2,775,520 | |
S&T Bancorp | 49,864a | 933,454 | |
Safety Insurance Group | 28,970 | 1,154,454 | |
Saul Centers | 17,847c | 714,058 | |
Selective Insurance Group | 120,416 | 2,106,076 | |
Simmons First National, Cl. A | 35,400 | 861,636 | |
Sovran Self Storage | 66,736c | 3,516,987 | |
Sterling Bancorp | 92,716 | 881,729 | |
Stewart Information Services | 58,941a | 867,612 | |
Stifel Financial | 113,168b | 4,121,579 | |
Susquehanna Bancshares | 445,697 | 4,621,878 | |
SWS Group | 69,389 | 391,354 | |
Tanger Factory Outlet Centers | 194,592c | 6,094,621 | |
Texas Capital Bancshares | 91,197b | 3,439,039 | |
Tompkins Financial | 20,054 | 759,044 | |
Tower Group | 83,113 | 1,793,579 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Trustco Bank | 238,811 | 1,306,296 | |
UMB Financial | 70,312 | 3,378,492 | |
Umpqua Holdings | 284,195 | 3,762,742 | |
United Bankshares | 100,537a | 2,657,193 | |
United Community Banks | 51,750a,b | 486,968 | |
United Fire Group | 44,689 | 769,545 | |
Universal Health Realty Income Trust | 27,265c | 1,102,597 | |
Urstadt Biddle Properties, Cl. A | 59,422c | 1,143,279 | |
ViewPoint Financial Group | 76,679 | 1,219,963 | |
Virtus Investment Partners | 13,823b | 1,166,661 | |
Wilshire Bancorp | 139,791b | 749,280 | |
Wintrust Financial | 69,852 | 2,523,753 | |
World Acceptance | 36,834a,b | 2,449,829 | |
227,780,550 | |||
Health Care—10.6% | |||
Abaxis | 43,744b | 1,558,161 | |
Affymetrix | 220,583b | 974,977 | |
Air Methods | 22,525b | 1,894,578 | |
Akorn | 151,939b | 1,843,020 | |
Align Technology | 155,152b | 4,919,870 | |
Almost Family | 20,005b | 487,722 | |
Amedisys | 52,896b | 779,158 | |
AMN Healthcare Services | 54,350b | 364,689 | |
AmSurg | 81,641b | 2,347,995 | |
Analogic | 31,671 | 2,160,279 | |
ArQule | 98,879b | 697,097 | |
Bio-Reference Labs | 55,850b | 1,190,722 | |
Cambrex | 82,427b | 534,127 | |
Cantel Medical | 50,595 | 1,187,971 | |
Centene | 112,302b | 4,446,036 | |
Chemed | 50,845 | 3,067,987 | |
Computer Programs & Systems | 18,947 | 1,129,052 | |
CONMED | 77,646 | 2,219,899 | |
CorVel | 18,192b | 791,170 | |
Cross Country Healthcare | 71,128b | 327,900 | |
CryoLife | 117,742b | 622,855 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Cubist Pharmaceuticals | 131,083b | 5,542,189 | |
Cyberonics | 61,365b | 2,350,280 | |
Emergent BioSolutions | 53,750b | 755,725 | |
Ensign Group | 22,415 | 598,705 | |
Enzo Biochem | 76,337b | 209,163 | |
eResearch Technology | 130,080b | 1,027,632 | |
Gentiva Health Services | 55,975b | 463,473 | |
Greatbatch | 69,251b | 1,612,856 | |
Haemonetics | 61,186b | 4,379,082 | |
Hanger Orthopedic Group | 67,804b | 1,596,784 | |
Healthways | 83,876b | 559,453 | |
Hi-Tech Pharmacal | 17,970b | 585,642 | |
ICU Medical | 31,890b | 1,673,906 | |
Integra LifeSciences Holdings | 51,539b | 1,918,797 | |
Invacare | 94,269 | 1,494,164 | |
IPC The Hospitalist | 28,880b | 1,109,281 | |
Kensey Nash | 30,524 | 867,797 | |
Kindred Healthcare | 96,310b | 928,428 | |
Landauer | 16,638 | 877,155 | |
LHC Group | 35,571b | 629,962 | |
Magellan Health Services | 66,512b | 2,945,151 | |
Medicines | 139,589b | 3,083,521 | |
Medidata Solutions | 49,925b | 1,293,557 | |
Meridian Bioscience | 77,987 | 1,602,633 | |
Merit Medical Systems | 75,147b | 993,443 | |
Molina Healthcare | 63,892b | 1,638,830 | |
Momenta Pharmaceuticals | 100,470a,b | 1,595,464 | |
MWI Veterinary Supply | 24,132b | 2,278,061 | |
Natus Medical | 61,408b | 751,634 | |
Neogen | 44,575b | 1,737,979 | |
NuVasive | 82,986b | 1,375,078 | |
Omnicell | 75,893b | 1,082,993 | |
Palomar Medical Technologies | 27,654b | 240,590 | |
Par Pharmaceutical Cos | 87,321b | 3,697,171 | |
PAREXEL International | 138,734b | 3,737,494 | |
PharMerica | 80,886b | 960,117 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
PSS World Medical | 129,810b | 3,106,353 | |
Quality Systems | 84,599 | 3,164,003 | |
Questcor Pharmaceuticals | 147,430a,b | 6,619,607 | |
Salix Pharmaceuticals | 133,137b | 6,576,968 | |
Savient Pharmaceuticals | 136,436a,b | 323,353 | |
Spectrum Pharmaceuticals | 114,974a,b | 1,222,174 | |
SurModics | 31,651b | 468,118 | |
Symmetry Medical | 86,143b | 612,477 | |
ViroPharma | 171,588b | 3,732,039 | |
West Pharmaceutical Services | 79,881 | 3,586,657 | |
121,151,204 | |||
Industrial—15.4% | |||
A.O. Smith | 90,628 | 4,313,893 | |
AAON | 42,472 | 866,429 | |
AAR | 80,184 | 1,238,843 | |
ABM Industries | 95,874 | 2,231,947 | |
Actuant, Cl. A | 155,792 | 4,248,448 | |
Aegion | 91,284b | 1,665,933 | |
Aerovironment | 30,047b | 730,743 | |
Albany International, Cl. A | 68,803 | 1,658,152 | |
Allegiant Travel | 31,317a,b | 1,840,187 | |
American Science & Engineering | 24,552 | 1,603,491 | |
Apogee Enterprises | 54,538 | 837,704 | |
Applied Industrial Technologies | 88,563 | 3,480,526 | |
Arkansas Best | 64,001 | 981,775 | |
Astec Industries | 36,227b | 1,133,543 | |
AZZ | 25,481 | 1,317,623 | |
Barnes Group | 114,678 | 3,027,499 | |
Belden | 110,816 | 3,854,180 | |
Brady, Cl. A | 130,445 | 4,047,708 | |
Briggs & Stratton | 115,710 | 2,094,351 | |
Cascade | 18,192 | 856,297 | |
CDI | 13,960 | 247,650 | |
Ceradyne | 59,962 | 1,518,238 | |
CIRCOR International | 36,637 | 1,140,143 | |
Comfort Systems USA | 81,614 | 863,476 |
16
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Consolidated Graphics | 27,207b | 1,088,008 | |
Cubic | 41,999 | 1,941,614 | |
Curtiss-Wright | 103,890 | 3,666,278 | |
Dolan | 82,924b | 664,221 | |
Dycom Industries | 79,666b | 1,863,388 | |
EMCOR Group | 156,695 | 4,594,297 | |
Encore Capital Group | 48,326b | 1,145,326 | |
Encore Wire | 39,583 | 1,008,971 | |
EnerSys | 117,641b | 4,111,553 | |
EnPro Industries | 41,678b | 1,725,886 | |
ESCO Technologies | 65,163 | 2,241,607 | |
Exponent | 29,920b | 1,430,176 | |
Federal Signal | 187,032b | 965,085 | |
Forward Air | 75,016 | 2,534,040 | |
Franklin Electric | 41,186 | 2,065,478 | |
G&K Services, Cl. A | 42,098 | 1,383,340 | |
GenCorp | 157,322b | 1,080,802 | |
Geo Group | 132,692b | 2,748,051 | |
Gibraltar Industries | 76,805b | 1,038,404 | |
Griffon | 71,506 | 708,624 | |
Healthcare Services Group | 133,393 | 2,830,599 | |
Heartland Express | 128,519 | 1,777,418 | |
Heidrick & Struggles International | 38,474 | 750,243 | |
Hub Group, Cl. A | 77,613b | 2,716,455 | |
II-VI | 107,628b | 2,196,687 | |
Insperity | 60,207 | 1,641,845 | |
Interface, Cl. A | 128,984 | 1,826,413 | |
John Bean Technologies | 62,068 | 992,467 | |
Kaman | 55,156 | 1,896,263 | |
Kaydon | 82,265 | 2,017,960 | |
Kelly Services, Cl. A | 48,724 | 681,649 | |
Knight Transportation | 146,557 | 2,406,466 | |
Lindsay | 27,326 | 1,825,104 | |
Lydall | 33,250b | 350,788 | |
Mobile Mini | 87,170b | 1,644,026 | |
Moog, Cl. A | 105,281b | 4,450,228 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Mueller Industries | 84,148 | 3,846,405 | |
National Presto Industries | 8,056a | 593,888 | |
Navigant Consulting | 134,546b | 1,872,880 | |
NCI Building Systems | 44,187b | 529,802 | |
Old Dominion Freight Line | 101,706b | 4,522,866 | |
On Assignment | 83,886b | 1,569,507 | |
Orbital Sciences | 130,844b | 1,643,401 | |
Orion Marine Group | 23,200b | 160,544 | |
Portfolio Recovery Associates | 41,702b | 2,869,932 | |
Powell Industries | 18,807b | 613,296 | |
Quanex Building Products | 102,379 | 1,886,845 | |
Resources Connection | 99,479 | 1,291,237 | |
Robbins & Myers | 106,444 | 5,184,887 | |
Simpson Manufacturing | 82,845 | 2,570,680 | |
SkyWest | 126,068 | 1,133,351 | |
Standex International | 24,955 | 1,099,517 | |
SYKES Enterprises | 104,455b | 1,655,612 | |
Teledyne Technologies | 82,349b | 5,321,392 | |
Tennant | 43,904 | 1,944,947 | |
Tetra Tech | 151,538b | 4,046,065 | |
Toro | 71,678 | 5,122,110 | |
TrueBlue | 102,923b | 1,776,451 | |
UniFirst | 35,899 | 2,181,223 | |
United Stationers | 103,742 | 2,942,123 | |
Universal Forest Products | 34,644 | 1,295,686 | |
Viad | 38,260 | 691,741 | |
Vicor | 37,801 | 263,473 | |
Watts Water Technologies, Cl. A | 75,552 | 2,781,825 | |
175,220,225 | |||
Information Technology—18.9% | |||
3D Systems | 75,468a,b | 2,225,551 | |
Advanced Energy Industries | 73,524b | 877,877 | |
Agilysys | 56,250b | 492,750 | |
Anixter International | 64,458a,b | 4,420,530 | |
Arris Group | 278,212b | 3,597,281 | |
ATMI | 84,720b | 1,779,967 |
18
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Avid Technology | 57,943b | 503,525 | |
Badger Meter | 32,008 | 1,182,376 | |
Bel Fuse, Cl. B | 27,512 | 489,438 | |
Benchmark Electronics | 116,662b | 1,852,593 | |
Black Box | 34,697 | 784,499 | |
Blackbaud | 94,021 | 2,912,771 | |
Bottomline Technologies | 72,167b | 1,698,090 | |
Brightpoint | 149,922b | 917,523 | |
Brooks Automation | 162,429 | 1,910,165 | |
Cabot Microelectronics | 57,380 | 1,972,724 | |
CACI International, Cl. A | 67,301b | 4,114,110 | |
Cardtronics | 85,927b | 2,265,036 | |
Ceva | 59,795b | 1,320,872 | |
Checkpoint Systems | 82,131b | 900,156 | |
CIBER | 177,403b | 737,996 | |
Cirrus Logic | 140,710b | 3,852,640 | |
Cognex | 88,573 | 3,565,063 | |
Cohu | 46,209 | 507,375 | |
CommVault Systems | 95,309b | 4,962,740 | |
comScore | 57,357b | 1,142,551 | |
Comtech Telecommunications | 58,380 | 1,805,110 | |
CSG Systems International | 93,498b | 1,346,371 | |
CTS | 90,241 | 968,286 | |
Cymer | 67,893b | 3,519,573 | |
Daktronics | 92,118 | 749,841 | |
DealerTrack Holdings | 86,353b | 2,575,910 | |
Digi International | 54,924b | 509,695 | |
Digital River | 94,559b | 1,778,655 | |
Diodes | 78,672b | 1,753,599 | |
DSP Group | 61,946b | 405,127 | |
DTS | 40,920b | 1,276,704 | |
Ebix | 86,333a | 1,765,510 | |
Electro Scientific Industries | 58,052 | 827,822 | |
Entropic Communications | 229,214a,b | 969,575 | |
EPIQ Systems | 74,058 | 841,299 | |
Exar | 73,738b | 584,005 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
FARO Technologies | 31,222b | 1,747,808 | |
FEI | 87,219b | 4,375,777 | |
Forrester Research | 31,469 | 1,115,576 | |
GT Advanced Technologies | 271,748a,b | 1,769,079 | |
Harmonic | 288,578b | 1,362,088 | |
Heartland Payment Systems | 92,524 | 2,819,206 | |
Higher One Holdings | 70,298a,b | 1,108,599 | |
Hittite Microwave | 56,422b | 3,020,834 | |
iGATE | 73,292b | 1,426,262 | |
InfoSpace | 93,046b | 1,035,602 | |
Insight Enterprises | 114,107b | 2,317,513 | |
Interactive Intelligence Group | 27,739b | 822,739 | |
Intermec | 98,729b | 525,238 | |
Intevac | 49,429b | 398,398 | |
j2 Global | 119,916a | 3,097,430 | |
JDA Software Group | 103,093b | 2,977,326 | |
Kopin | 154,486b | 551,515 | |
Kulicke & Soffa Industries | 191,971b | 2,514,820 | |
Liquidity Services | 45,396b | 2,420,969 | |
Littelfuse | 50,406 | 3,158,944 | |
LivePerson | 97,299b | 1,545,108 | |
LogMeIn | 44,876b | 1,615,985 | |
Manhattan Associates | 53,917b | 2,703,938 | |
MAXIMUS | 83,009 | 3,673,148 | |
Measurement Specialties | 32,837b | 1,173,266 | |
Mercury Computer Systems | 68,529b | 904,583 | |
Methode Electronics | 105,986 | 895,582 | |
Micrel | 130,523 | 1,421,395 | |
Microsemi | 189,851b | 4,085,594 | |
MicroStrategy, Cl. A | 18,979b | 2,652,885 | |
MKS Instruments | 123,669 | 3,419,448 | |
Monolithic Power Systems | 81,514b | 1,688,970 | |
Monotype Imaging Holdings | 75,966b | 1,077,958 | |
MTS Systems | 35,026 | 1,680,197 | |
Nanometrics | 37,448b | 580,818 |
20
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
NCI, Cl. A | 14,934b | 74,073 | |
Netgear | 84,529b | 3,254,367 | |
NetScout Systems | 82,282b | 1,702,415 | |
Newport | 103,802b | 1,771,900 | |
Novatel Wireless | 71,100b | 205,479 | |
OpenTable | 51,494a,b | 2,303,327 | |
Oplink Communications | 46,704b | 739,791 | |
Opnet Technologies | 31,907 | 738,966 | |
OSI Systems | 42,753b | 2,858,466 | |
Park Electrochemical | 51,185 | 1,476,687 | |
PC-Tel | 37,611 | 256,883 | |
Perficient | 67,178b | 806,808 | |
Pericom Semiconductor | 59,007b | 463,795 | |
Plexus | 81,270b | 2,630,710 | |
Power Integrations | 62,683 | 2,374,432 | |
Progress Software | 159,923b | 3,700,618 | |
Pulse Electronics | 130,389 | 267,297 | |
Radisys | 59,131b | 375,482 | |
Rofin-Sinar Technologies | 65,333b | 1,646,392 | |
Rogers | 37,148b | 1,422,397 | |
Rubicon Technology | 23,377a,b | 220,913 | |
Rudolph Technologies | 87,315b | 943,002 | |
ScanSource | 51,569b | 1,699,714 | |
Sigma Designs | 82,778b | 456,107 | |
Sourcefire | 63,869b | 3,256,680 | |
Stamps.com | 28,963b | 840,796 | |
Standard Microsystems | 52,499b | 1,390,174 | |
STR Holdings | 91,120a,b | 348,078 | |
Stratasys | 43,761b | 2,241,001 | |
Super Micro Computer | 50,528b | 891,819 | |
Supertex | 18,652b | 381,806 | |
Symmetricom | 111,780b | 621,497 | |
Synaptics | 81,835a,b | 2,513,153 | |
Synchronoss Technologies | 59,538b | 1,863,539 | |
SYNNEX | 63,986b | 2,437,227 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Take-Two Interactive Software | 196,577b | 2,771,736 | |
TeleTech Holdings | 74,350b | 1,126,402 | |
Tessera Technologies | 129,702 | 2,028,539 | |
TriQuint Semiconductor | 340,245b | 1,660,396 | |
TTM Technologies | 103,029b | 1,064,290 | |
Tyler Technologies | 64,930b | 2,593,953 | |
Ultratech | 55,116b | 1,760,405 | |
United Online | 252,584 | 1,197,248 | |
VASCO Data Security International | 64,015b | 498,677 | |
Veeco Instruments | 82,738a,b | 2,497,860 | |
ViaSat | 88,257b | 4,262,813 | |
Virtusa | 33,896b | 511,491 | |
Volterra Semiconductor | 59,970b | 1,972,413 | |
Websense | 105,612b | 2,190,393 | |
XO Group | 56,476b | 523,533 | |
216,183,819 | |||
Materials—5.4% | |||
A. Schulman | 69,849 | 1,718,984 | |
A.M. Castle & Co. | 32,272a,b | 432,122 | |
AK Steel Holding | 235,148a | 1,744,798 | |
AMCOL International | 48,698 | 1,605,086 | |
American Vanguard | 47,724 | 1,193,100 | |
Balchem | 57,370 | 1,657,993 | |
Buckeye Technologies | 102,292 | 3,315,284 | |
Calgon Carbon | 107,351b | 1,485,738 | |
Century Aluminum | 139,770b | 1,285,884 | |
Clearwater Paper | 47,598b | 1,569,306 | |
Deltic Timber | 19,414 | 1,185,807 | |
Eagle Materials | 90,961 | 3,203,646 | |
H.B. Fuller | 115,704 | 3,806,662 | |
Hawkins | 19,754a | 686,056 | |
Haynes International | 28,237 | 1,761,142 | |
Headwaters | 128,136b | 556,110 |
22
Common Stocks (continued) | Shares | Value ($) | |
Materials (continued) | |||
Innophos Holdings | 48,682 | 2,393,694 | |
Kaiser Aluminum | 39,449a | 2,073,834 | |
KapStone Paper and Packaging | 104,417b | 1,885,771 | |
Koppers Holdings | 48,875 | 1,900,260 | |
Kraton Performance Polymers | 68,680b | 1,785,680 | |
LSB Industries | 48,120b | 1,632,230 | |
Materion | 52,121b | 1,287,910 | |
Myers Industries | 96,620 | 1,597,129 | |
Neenah Paper | 43,859 | 1,252,613 | |
Olympic Steel | 22,802 | 481,806 | |
OM Group | 68,380b | 1,649,326 | |
PolyOne | 207,865 | 2,881,009 | |
Quaker Chemical | 28,901 | 1,254,303 | |
RTI International Metals | 64,780b | 1,590,349 | |
Schweitzer-Mauduit International | 40,062 | 2,717,005 | |
Stepan | 18,655 | 1,694,993 | |
SunCoke Energy | 154,906a | 2,357,669 | |
Texas Industries | 61,863a | 2,079,215 | |
Tredegar | 46,188 | 801,362 | |
Wausau Paper | 99,415 | 900,700 | |
Zep | 49,942 | 711,673 | |
62,136,249 | |||
Telecommunication | |||
Services—.5% | |||
Atlantic Tele-Network | 18,694 | 636,718 | |
Cbeyond | 58,985b | 379,274 | |
Cincinnati Bell | 405,347b | 1,540,319 | |
General Communication, Cl. A | 93,140b | 707,864 | |
Lumos Networks | 30,404 | 274,852 | |
Neutral Tandem | 83,526b | 970,572 | |
NTELOS Holdings | 30,404 | 614,769 | |
USA Mobility | 63,385 | 818,934 | |
5,943,302 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Utilities—4.0% | ||||
Allete | 85,541 | 3,525,145 | ||
American States Water | 44,552 | 1,623,475 | ||
Avista | 126,549 | 3,345,956 | ||
Central Vermont Public Service | 19,883 | 700,876 | ||
CH Energy Group | 38,408 | 2,520,333 | ||
El Paso Electric | 101,392 | 3,106,651 | ||
Laclede Group | 52,551 | 2,069,458 | ||
New Jersey Resources | 87,110 | 3,766,636 | ||
Northwest Natural Gas | 63,421 | 2,898,340 | ||
NorthWestern | 91,674 | 3,256,260 | ||
Piedmont Natural Gas | 153,354 | 4,674,230 | ||
South Jersey Industries | 60,848 | 2,996,764 | ||
Southwest Gas | 104,773 | 4,402,561 | ||
UIL Holdings | 103,003 | 3,540,213 | ||
UniSource Energy | 85,655 | 3,117,842 | ||
45,544,740 | ||||
Total Common Stocks | ||||
(cost $940,248,421) | 1,134,053,911 | |||
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills; | ||||
0.09%, 6/21/12 | ||||
(cost $844,891) | 845,000d | 844,915 | ||
Other Investment—.8% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $8,572,192) | 8,572,192e | 8,572,192 |
24
Investment of Cash Collateral | ||||
for Securities Loaned—6.1% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $70,108,205) | 70,108,205e | 70,108,205 | ||
Total Investments (cost $1,019,773,709) | 106.3% | 1,213,579,223 | ||
Liabilities, Less Cash and Receivables | (6.3%) | (72,222,231) | ||
Net Assets | 100.0% | 1,141,356,992 |
a Security, or portion thereof, on loan.At April 30, 2012, the value of the fund’s securities on loan was $68,011,211 |
and the value of the collateral held by the fund was $70,360,742, consisting of cash collateral of $70,108,205 and |
U.S. Government & Agency securities valued at $252,537. |
b Non-income producing security. |
c Investment in real estate investment trust. |
d Held by a broker as collateral for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 20.0 | Materials | 5.4 |
Information Technology | 18.9 | Energy | 4.4 |
Consumer Discretionary | 15.9 | Consumer Staples | 4.2 |
Industrial | 15.4 | Utilities | 4.0 |
Health Care | 10.6 | Telecommunication Services | .5 |
Short-Term/ | |||
Money Market Investments | 7.0 | 106.3 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund | 25 |
STATEMENT OF FINANCIAL FUTURES |
April 30, 2012 (Unaudited) |
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2012 | ($) | |
Financial Futures Long | |||||
Russell 2000 Mini | 117 | 9,534,330 | June 2012 | 169,734 | |
See notes to financial statements. |
26
STATEMENT OF ASSETS AND LIABILITIES |
April 30, 2012 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $68,011,211)—Note 1(b): | ||
Unaffiliated issuers | 941,093,312 | 1,134,898,826 |
Affiliated issuers | 78,680,397 | 78,680,397 |
Cash | 1,416,100 | |
Receivable for shares of Common Stock subscribed | 1,669,235 | |
Dividends and securities lending income receivable | 500,160 | |
Receivable for investment securities sold | 32,565 | |
1,217,197,283 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 456,690 | |
Liability for securities on loan—Note 1(b) | 70,108,205 | |
Payable for shares of Common Stock redeemed | 3,758,803 | |
Payable for investment securities purchased | 1,393,220 | |
Payable for futures variation margin—Note 4 | 118,573 | |
Accrued expenses | 4,800 | |
75,840,291 | ||
Net Assets ($) | 1,141,356,992 | |
Composition of Net Assets ($): | ||
Paid-in capital | 931,129,293 | |
Accumulated undistributed investment income—net | 4,433,029 | |
Accumulated net realized gain (loss) on investments | 11,819,422 | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments (including $169,734 net unrealized | ||
appreciation on financial futures) | 193,975,248 | |
Net Assets ($) | 1,141,356,992 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 52,330,925 | |
Net Asset Value, offering and redemption price per share ($) | 21.81 | |
See notes to financial statements. |
The Fund | 27 |
STATEMENT OF OPERATIONS |
Six Months Ended April 30, 2012 (Unaudited) |
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 8,747,028 | |
Affiliated issuers | 4,156 | |
Income from securities lending—Note 1(b) | 240,538 | |
Interest | 225 | |
Total Income | 8,991,947 | |
Expenses: | ||
Management fee—Note 3(a) | 1,340,798 | |
Shareholder servicing costs—Note 3(b) | 1,340,798 | |
Directors’ fees—Note 3(a) | 23,411 | |
Loan commitment fees—Note 2 | 3,892 | |
Total Expenses | 2,708,899 | |
Less—Director’s fees reimbursed by the Manager—Note 3(a) | (23,411) | |
Net Expenses | 2,685,488 | |
Investment Income—Net | 6,306,459 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 23,263,891 | |
Net realized gain (loss) on financial futures | 1,693,694 | |
Net Realized Gain (Loss) | 24,957,585 | |
Net unrealized appreciation (depreciation) on investments | 94,182,998 | |
Net unrealized appreciation (depreciation) on financial futures | (978,034) | |
Net Unrealized Appreciation (Depreciation) | 93,204,964 | |
Net Realized and Unrealized Gain (Loss) on Investments | 118,162,549 | |
Net Increase in Net Assets Resulting from Operations | 124,469,008 | |
See notes to financial statements. |
28
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2012 | Year Ended | |||
(Unaudited) | October 31, 2011 | |||
Operations ($): | ||||
Investment income—net | 6,306,459 | 7,571,495 | ||
Net realized gain (loss) on investments | 24,957,585 | 34,205,799 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 93,204,964 | 64,210,755 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 124,469,008 | 105,988,049 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (5,417,284) | (8,350,465) | ||
Net realized gain on investments | (36,365,943) | (21,136,380) | ||
Total Dividends | (41,783,227) | (29,486,845) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 215,194,854 | 427,754,804 | ||
Dividends reinvested | 40,209,530 | 28,316,048 | ||
Cost of shares redeemed | (222,389,766) | (509,615,242) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 33,014,618 | (53,544,390) | ||
Total Increase (Decrease) in Net Assets | 115,700,399 | 22,956,814 | ||
Net Assets ($): | ||||
Beginning of Period | 1,025,656,593 | 1,002,699,779 | ||
End of Period | 1,141,356,992 | 1,025,656,593 | ||
Undistributed investment income—net | 4,433,029 | 3,543,854 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 10,219,953 | 20,720,978 | ||
Shares issued for dividends reinvested | 2,043,682 | 1,370,453 | ||
Shares redeemed | (10,670,146) | (24,634,466) | ||
Net Increase (Decrease) in Shares Outstanding | 1,593,489 | (2,543,035) | ||
See notes to financial statements. |
The Fund | 29 |
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||||||||
April 30, 2012 | Year Ended October 31, | ||||||||||||
(Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||
Per Share Data ($): | |||||||||||||
Net asset value, | |||||||||||||
beginning of period | 20.21 | 18.82 | 15.04 | 15.71 | 25.45 | 23.93 | |||||||
Investment Operations: | |||||||||||||
Investment income—neta | .12 | .14 | .11 | .15 | .22 | .15 | |||||||
Net realized and unrealized | |||||||||||||
gain (loss) on investments | 2.33 | 1.80 | 3.80 | .45 | (7.85) | 2.45 | |||||||
Total from | |||||||||||||
Investment Operations | 2.45 | 1.94 | 3.91 | .60 | (7.63) | 2.60 | |||||||
Distributions: | |||||||||||||
Dividends from | |||||||||||||
investment income—net | (.11) | (.16) | (.13) | (.23) | (.15) | (.12) | |||||||
Dividends from net realized | |||||||||||||
gain on investments | (.74) | (.39) | — | (1.04) | (1.96) | (.96) | |||||||
Total Distributions | (.85) | (.55) | (.13) | (1.27) | (2.11) | (1.08) | |||||||
Net asset value, | |||||||||||||
end of period | 21.81 | 20.21 | 18.82 | 15.04 | 15.71 | 25.45 | |||||||
Total Return (%) | 12.51b | 10.29 | 26.08 | 5.43 | (32.21) | 11.15 | |||||||
Ratios/Supplemental Data (%): | |||||||||||||
Ratio of total expenses | |||||||||||||
to average net assets | .51c | .51 | .51 | .51 | .51 | .51 | |||||||
Ratio of net expenses | |||||||||||||
to average net assets | .50c | .50 | .50 | .50 | .50 | .50 | |||||||
Ratio of net investment | |||||||||||||
income to average | |||||||||||||
net assets | 1.18c | .68 | .65 | 1.11 | 1.09 | .60 | |||||||
Portfolio Turnover Rate | 11.24b | 22.25 | 20.72 | 25.48 | 31.84 | 25.08 | |||||||
Net Assets, end of period | |||||||||||||
($ x 1,000) | 1,141,357 | 1,025,657 | 1,002,700 | 804,184 | 734,645 | 998,016 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
30
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective seeks to match the performance of the Standard & Poor’s® SmallCap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by 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 | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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:
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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 of the 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 (the “Service”) approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Board of Directors.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. 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
The Fund | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
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 April 30, 2012 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† | 1,134,053,911 | — | — | 1,134,053,911 |
Mutual Funds | 78,680,397 | — | — | 78,680,397 |
U.S. Treasury | — | 844,915 | — | 844,915 |
Other Financial | ||||
Instruments: | ||||
Futures†† | 169,734 | — | — | 169,734 |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation at period end. |
34
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 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
The Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 April 30, 2012, The Bank of NewYork Mellon earned $80,179 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Other investment companies advised by Dreyfus are considered to be “affiliated” with the fund.
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended April 30, 2012 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2011 ($) | Purchases ($) | Sales ($) | 4/30/2012 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred | |||||
Plus Money | |||||
Market | |||||
Fund | 10,549,280 | 128,847,760 | 130,824,848 | 8,572,192 | .8 |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Fund | — | 181,812,766 | 111,704,561 | 70,108,205 | 6.1 |
Total | 10,549,280 | 310,660,526 | 242,529,409 | 78,680,397 | 6.9 |
(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
36
capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2012, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended October 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2011 was as follows: ordinary income $8,350,465 and long-term capital gains $21,136,380.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund
The Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2012, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement (“Agreement”) with the Manager, the management fee is computed at the annual rate of .25% of the value of the fund’s average daily net assets and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all of the fund’s direct expenses, except management fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund, Shareholder Services Plan fees, extraordinary expenses.The Manager has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to non-interested Board members. 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 April 30, 2012, fees reimbursed by the Manager amounted to $23,411.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, at the annual rate of .25% of the value of the fund’s average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts.The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services.The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2012, the fund was charged $1,340,798 pursuant to the Shareholder Services Plan.
38
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $232,875 and shareholder services plan fees $232,875, which are offset against a directors’ fee reimbursement currently in effect in the amount of $9,060.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2012, amounted to $122,610,949 and $120,099,665, respectively.
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at April 30, 2012 are set forth in the Statement of Financial Futures.
The Fund | 39 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2012:
Average Market Value ($) | |
Equity futures contracts | 14,107,259 |
At April 30, 2012, accumulated net unrealized appreciation on investments was $193,805,514, consisting of $285,606,742 gross unrealized appreciation and $91,801,228 gross unrealized depreciation.
At April 30, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
40
INFORMATION ABOUT THE RENEWAL OF THE |
FUND’S MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Directors held on March 6, 2012, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information previously provided to them in presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex, and Dreyfus representatives confirmed that there had been no material changes in this information. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including the distribution channel(s) for the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures.The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
The Fund | 41 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2011, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds.The Board discussed the results of the comparisons and noted that the fund’s total return performance was ranked first of the three funds in the Performance Group and was above the median of the Performance Universe in all periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee, actual management fee and total expenses ranked second of the three funds in the Expense Group and the actual management fee and total expenses were above the Expense Universe medians.
42
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board’s counsel stated that the Board should consider the profitability analysis (1) as part of their evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the
The Fund | 43 |
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board was satisfied with the fund’s performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
44
The Board considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year. In addition, it should be noted that the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
The Fund | 45 |
For More Information
Ticker Symbol: DISSX
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.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
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(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
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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
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Date: | 06/26/2012 |
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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. | |
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By: /s/ Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: | 06/26/2012 |
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By: /s/ James Windels | |
James Windels, Treasurer
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Date: | 06/26/2012 |
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EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)