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: | 10/31/12 |
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Dreyfus International |
Stock Index Fund |
ANNUAL REPORT October 31, 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 | Fund Performance |
7 | UnderstandingYour Fund’s Expenses |
7 | ComparingYour Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
37 | Statement of Financial Futures |
38 | Statement of Assets and Liabilities |
39 | Statement of Operations |
40 | Statement of Changes in Net Assets |
41 | Financial Highlights |
42 | Notes to Financial Statements |
57 | Report of Independent Registered Public Accounting Firm |
58 | Important Tax Information |
59 | Proxy Results |
60 | Board Members Information |
62 | Officers of the Fund |
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 annual report for Dreyfus International Stock Index Fund, covering the 12-month period from November 1, 2011, through October 31, 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.
Despite pronounced stock market weakness during the spring of 2012, stocks generally advanced over the reporting period as investors responded to encouraging macroeconomic developments throughout the world. Employment gains in the United States, credible measures to prevent a more severe banking crisis in Europe, and the likelihood of a “soft landing” for China’s economy buoyed investor sentiment, as did aggressively accommodative monetary policies from central banks in the United States, Europe, Japan and China. Consequently, U.S. stocks across all capitalization ranges posted double-digit returns, on average, for the reporting period.
In light of the easy monetary policies adopted by many countries, we expect global growth to be slightly more robust in 2013 than in 2012.The U.S. economic recovery is likely to persist at subpar levels over the first half of the new year, as growth may remain constrained by uncertainties surrounding fiscal policy and tax reforms. However, successful resolution of the current fiscal debate may prompt corporate decision-makers to increase capital spending, which could have positive implications for the U.S. economy and domestic equity markets.As always, we encourage you to stay in touch with your financial advisor as new developments unfold.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through October 31, 2012,Thomas J. Durante, CFA, Karen Q.Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2012, Dreyfus International Stock Index Fund produced a total return of 4.79%.1 This compares with a 4.61% 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 heightened market volatility, improving economic sentiment in many parts of the world generally supported non-U.S. stock prices over the reporting period.
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 Reacted to Macroeconomic Developments
The reporting period began in the wake of major stock market declines throughout the world, resulting in attractive valuations across a number of geographic regions and market sectors in November 2011. Indeed, by the beginning of 2012 stocks in many markets were rallying amid more encouraging macroeconomic developments, including U.S. employment gains, a quantitative easing program in Europe that forestalled a more severe banking crisis in the region, and less restrictive monetary and fiscal policies in China in an environment of reduced inflationary pressures. Meanwhile, corporate earnings generally remained strong, and many companies had shored up their balance sheets. Consequently, investors grew more tolerant of risks, and were able to focus more intently on company fundamentals and less on news headlines.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
These positive influences were called into question during the spring, when the U.S. labor market’s rebound slowed, measures designed to relieve fiscal pressures in Europe encountered resistance, and the Chinese economy remained sluggish. The summer saw the market rally resume amid more encouraging economic news, and global stocks ended the reporting period with mild gains, on average. However, international stocks generally lagged their U.S. counterparts.
Financial, Health Care and Consumer Staples Stocks Led International Markets Higher
The international stock markets’ advance was supported by robust returns from the financials sector, which rebounded from relatively depressed levels over the reporting period. Banks in Asia and Australia fared especially well, as they saw growing deposits and lending volumes, low loan losses, and relatively little exposure to the troubled European banking system. In addition, a U.K.-based insurance company gained value on the strength of robust annuity sales in the United States.
In the health care sector, French and Swiss pharmaceutical developers advanced, in part due to their expansion into faster-growing U.S. and emerging markets. Meanwhile, crop science specialists benefited from rising demand for seeds for genetically modified organisms (GMOs) stemming from widespread droughts that hurt non-GMO crops in 2012.Among consumer staples companies, European producers of alcoholic beverages, tobacco products and chocolate achieved greater penetration of emerging markets, particularly in Latin America and China. Spirits producers also benefited from greater pricing power in a consolidating industry.
The information technology sector achieved less robust gains during the reporting period, as a number of Japanese consumer electronics companies and their suppliers were hurt by a sluggish domestic economy. Moreover, a Finland-based handset maker struggled to compete with more innovative companies in producing smartphones that appeal to fickle consumers.The materials sector was undermined by declining iron ore and copper prices, which had an especially severe impact on Australia-based metals-and-mining companies. Finally, results from the telecommunications services sector were hampered by the effects of economic weakness and more stringent regulation on carriers in Italy, Spain and France.
4
From a regional perspective, the United Kingdom, Switzerland and Australia generally produced some of the international markets’ stronger returns, while Japan, Spain and Italy lagged market averages.
The fund successfully employed stock index futures over the reporting period to increase exposure to international equity markets. In addition, the fund used forward contracts to protect the fund from unexpected fluctuations in currency exchange rates.
Macroeconomic Headwinds Remain
In light of ongoing macroeconomic challenges, we believe that heightened market volatility is likely to persist until the strength of the global economy becomes clearer. We have continued to monitor the fund’s investments in light of current market conditions. In our experience, the fund’s broadly diversified portfolio may help limit the impact on the overall portfolio of unexpected losses in individual sectors or holdings.
November 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 |
FUND PERFORMANCE
Average Annual Total Returns as of 10/31/12 | ||||||
1 Year | 5 Years | 10 Years | ||||
Fund | 4.79 | % | –6.20 | % | 7.17 | % |
Morgan Stanley Capital International | ||||||
Europe, Australasia, Far East Index | 4.61 | % | –5.81 | % | 7.73 | % |
† Source: Lipper Inc.
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The above graph compares a $10,000 investment made in Dreyfus International Stock Index Fund on 10/31/02 to a $10,000 investment made in the Morgan Stanley Capital International Europe,Australasia, Far East Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is an unmanaged index composed of a sample of companies representative of the market structure of European and Pacific Basin countries. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from May 1, 2012 to October 31, 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 October 31, 2012
Expenses paid per $1,000† | $ | 3.05 |
Ending value (after expenses) | $ | 1,020.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2012
Expenses paid per $1,000† | $ | 3.05 |
Ending value (after expenses) | $ | 1,022.12 |
† Expenses are equal to the fund’s annualized expense ratio of .60%; multiplied by the average account value over the |
period, multiplied by 184/366 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS
October 31, 2012
Common Stocks—97.8% | Shares | Value ($) |
Australia—8.9% | ||
AGL Energy | 24,119 | 364,036 |
ALS | 15,390 | 148,094 |
Alumina | 112,290 | 112,483 |
Amcor | 53,288 | 436,995 |
AMP | 122,892 | 585,540 |
APA Group | 28,377 | 151,998 |
Asciano | 42,600 | 201,648 |
ASX | 7,737 | 238,534 |
Australia & New Zealand Banking Group | 115,654 | 3,055,405 |
Bendigo and Adelaide Bank | 17,917 | 150,279 |
BHP Billiton | 139,316 | 4,953,156 |
Boral | 34,041 | 126,858 |
Brambles | 67,326 | 507,388 |
Caltex Australia | 6,352 | 112,357 |
Centro Retail Australia | 53,843 | 120,168 |
CFS Retail Property Trust | 87,781 | 178,143 |
Coca-Cola Amatil | 25,497 | 355,985 |
Cochlear | 2,583 | 190,881 |
Commonwealth Bank of Australia | 68,765 | 4,122,302 |
Computershare | 20,287 | 183,003 |
Crown | 17,985 | 181,467 |
CSL | 21,916 | 1,080,626 |
Dexus Property Group | 210,826 | 215,566 |
Echo Entertainment Group | 30,084 | 109,613 |
Fairfax Media | 105,013 | 43,059 |
Fortescue Metals Group | 61,998 | 262,578 |
Goodman Group | 65,969 | 303,364 |
GPT Group | 65,060 | 240,428 |
Harvey Norman Holdings | 21,349 | 42,218 |
Iluka Resources | 18,724 | 192,811 |
Incitec Pivot | 73,343 | 240,584 |
Insurance Australia Group | 92,243 | 439,508 |
James Hardie Industries-CDI | 18,518 | 177,426 |
Leighton Holdings | 7,148 | 132,818 |
Lend Lease Group | 24,666 | 221,992 |
8
Common Stocks (continued) | Shares | Value ($) | |
Australia (continued) | |||
Lynas | 79,728 | a | 60,416 |
Macquarie Group | 14,145 | 468,397 | |
Metcash | 32,769 | 124,499 | |
Mirvac Group | 148,930 | 232,669 | |
National Australia Bank | 96,610 | 2,586,389 | |
Newcrest Mining | 33,465 | 918,139 | |
Orica | 15,789 | 411,713 | |
Origin Energy | 46,878 | 552,800 | |
OZ Minerals | 14,661 | 124,643 | |
Qantas Airways | 41,721 | a | 57,601 |
QBE Insurance Group | 50,623 | 692,602 | |
QR National | 75,896 | 294,653 | |
Ramsay Health Care | 6,148 | 151,635 | |
Rio Tinto | 18,951 | 1,120,134 | |
Santos | 40,562 | 484,635 | |
Sims Metal Management | 8,030 | 78,521 | |
Sonic Healthcare | 16,149 | 217,926 | |
SP Ausnet | 72,030 | 79,257 | |
Stockland | 98,598 | 354,132 | |
Suncorp Group | 55,863 | 545,095 | |
Sydney Airport | 14,652 | 51,560 | |
Tabcorp Holdings | 33,277 | 98,103 | |
Tatts Group | 60,376 | 175,486 | |
Telstra | 188,608 | 810,552 | |
Toll Holdings | 28,622 | 131,918 | |
Transurban Group | 57,139 | 360,626 | |
Wesfarmers | 43,340 | 1,564,278 | |
Westfield Group | 92,600 | 1,024,681 | |
Westfield Retail Trust | 126,912 | 408,399 | |
Westpac Banking | 131,896 | 3,492,710 | |
Whitehaven Coal | 19,528 | 61,827 | |
Woodside Petroleum | 28,008 | 1,000,140 | |
Woolworths | 53,523 | 1,634,014 | |
WorleyParsons | 8,630 | 221,004 | |
40,770,465 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Austria—.3% | |||
Andritz | 3,077 | 185,333 | |
Erste Group Bank | 8,866 | a | 222,650 |
IMMOFINANZ | 42,985 | a | 166,030 |
OMV | 6,594 | 241,019 | |
Raiffeisen Bank International | 2,344 | 93,727 | |
Telekom Austria | 9,805 | 61,764 | |
Verbund | 3,340 | 77,729 | |
Vienna Insurance Group | 1,670 | 71,712 | |
Voestalpine | 5,020 | 158,111 | |
1,278,075 | |||
Belgium—1.1% | |||
Ageas | 9,833 | 250,248 | |
Anheuser-Busch InBev | 34,662 | 2,898,234 | |
Belgacom | 6,323 | 184,809 | |
Colruyt | 3,099 | 141,550 | |
Delhaize Group | 4,505 | 172,225 | |
Groupe Bruxelles Lambert | 3,633 | 268,218 | |
Groupe Bruxelles Lambert (STRIP) | 236 | a | 1 |
KBC Groep | 7,431 | 174,429 | |
Mobistar | 1,360 | 35,978 | |
Solvay | 2,666 | 320,534 | |
Telenet Group Holding | 2,398 | 109,951 | |
UCB | 4,672 | 272,501 | |
Umicore | 4,980 | 255,577 | |
5,084,255 | |||
China—.0% | |||
Foxconn International Holdings | 86,000 | a | 29,961 |
Yangzijiang Shipbuilding Holdings | 91,000 | 67,515 | |
97,476 | |||
Denmark—1.1% | |||
AP Moller—Maersk, Cl. A | 25 | 165,585 | |
AP Moller—Maersk, Cl. B | 56 | 390,760 | |
Carlsberg, Cl. B | 4,679 | 403,646 | |
Coloplast, Cl. B | 946 | 207,433 | |
Danske Bank | 27,790 | a | 434,570 |
DSV | 8,495 | 190,997 |
10
Common Stocks (continued) | Shares | Value ($) | |
Denmark (continued) | |||
Novo Nordisk, Cl. B | 17,576 | 2,832,450 | |
Novozymes, Cl. B | 10,284 | 284,111 | |
TDC | 21,423 | 147,588 | |
Tryg | 1,152 | 75,261 | |
William Demant Holding | 1,152 | a | 99,080 |
5,231,481 | |||
Finland—.8% | |||
Elisa | 6,364 | 136,433 | |
Fortum | 19,128 | 353,791 | |
Kesko, Cl. B | 2,995 | 93,749 | |
Kone, Cl. B | 6,618 | 473,927 | |
Metso | 5,760 | 202,099 | |
Neste Oil | 6,406 | 80,083 | |
Nokia | 164,017 | 441,761 | |
Nokian Renkaat | 4,986 | 206,802 | |
Orion, Cl. B | 4,426 | 109,457 | |
Pohjola Bank, Cl. A | 5,029 | 68,442 | |
Sampo, Cl. A | 18,201 | 570,433 | |
Stora Enso, Cl. R | 25,512 | 160,971 | |
UPM-Kymmene | 23,543 | 252,055 | |
Wartsila | 7,376 | 298,378 | |
3,448,381 | |||
France—8.7% | |||
Accor | 6,674 | 208,216 | |
Aeroports de Paris | 1,389 | 107,390 | |
Air Liquide | 13,450 | 1,586,414 | |
Alcatel-Lucent | 101,640 | a | 103,416 |
Alstom | 9,164 | 312,981 | |
Arkema | 2,734 | 249,261 | |
Atos | 2,389 | 160,429 | |
AXA | 76,016 | 1,208,441 | |
BNP Paribas | 41,656 | 2,095,434 | |
Bouygues | 8,391 | 201,803 | |
Bureau Veritas | 2,309 | 245,200 | |
Cap Gemini | 6,669 | 280,324 | |
Carrefour | 25,035 | 604,848 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
France (continued) | |||
Casino Guichard Perrachon | 2,306 | 201,392 | |
Christian Dior | 2,425 | 348,103 | |
Cie de St-Gobain | 17,306 | 609,900 | |
Cie Generale d’Optique Essilor International | 8,805 | 793,742 | |
Cie Generale de Geophysique-Veritas | 5,669 | a | 185,239 |
Cie Generale des Etablissements Michelin | 7,753 | 665,846 | |
CNP Assurances | 6,982 | 98,641 | |
Credit Agricole | 44,794 | a | 337,209 |
Danone | 24,925 | 1,532,129 | |
Dassault Systemes | 2,597 | 273,629 | |
Edenred | 7,041 | 203,741 | |
EDF | 10,738 | 227,211 | |
Eurazeo | 1,390 | 63,625 | |
Eutelsat Communications | 5,705 | 182,644 | |
Fonciere Des Regions | 1,253 | 100,725 | |
France Telecom | 79,656 | 888,118 | |
GDF Suez | 53,969 | 1,238,492 | |
Gecina | 1,000 | 110,742 | |
Groupe Eurotunnel | 24,439 | 185,814 | |
ICADE | 1,094 | 98,450 | |
Iliad | 1,003 | 154,509 | |
Imerys | 1,513 | 85,002 | |
JCDecaux | 3,387 | 71,689 | |
Klepierre | 3,884 | 144,004 | |
L’Oreal | 10,375 | 1,321,484 | |
Lafarge | 7,929 | 464,320 | |
Lagardere | 4,997 | 136,564 | |
Legrand | 10,537 | 405,900 | |
LVMH Moet Hennessy Louis Vuitton | 10,945 | 1,778,960 | |
Natixis | 41,498 | 135,974 | |
Pernod-Ricard | 9,094 | 978,685 | |
Peugeot | 10,393 | a | 66,492 |
PPR | 3,273 | 575,465 | |
Publicis Groupe | 7,525 | 405,403 | |
Remy Cointreau | 943 | 97,805 | |
Renault | 8,556 | 382,709 |
12
Common Stocks (continued) | Shares | Value ($) | |
France (continued) | |||
Rexel | 4,545 | 82,267 | |
Safran | 10,082 | 401,113 | |
Sanofi | 51,359 | 4,514,682 | |
Schneider Electric | 22,447 | 1,403,374 | |
SCOR | 6,713 | 179,154 | |
Societe BIC | 1,157 | 141,086 | |
Societe Generale | 29,975 | a | 952,842 |
Sodexo | 4,195 | 322,814 | |
Suez Environnement | 11,482 | 121,931 | |
Technip | 4,304 | 484,780 | |
Thales | 3,659 | a | 128,690 |
Total | 91,919 | 4,625,020 | |
Unibail-Rodamco | 3,979 | 896,606 | |
Vallourec | 4,321 | 177,736 | |
Veolia Environnement | 13,764 | 136,245 | |
Vinci | 19,888 | 880,179 | |
Vivendi | 55,384 | 1,133,135 | |
Wendel | 1,527 | 134,566 | |
Zodiac Aerospace | 1,443 | 147,719 | |
39,778,453 | |||
Germany—7.9% | |||
Adidas | 9,047 | 770,763 | |
Allianz | 19,638 | 2,434,896 | |
Axel Springer | 1,517 | 65,063 | |
BASF | 39,656 | 3,285,991 | |
Bayer | 35,694 | 3,108,513 | |
Bayerische Motoren Werke | 14,392 | 1,146,294 | |
Beiersdorf | 4,473 | 325,306 | |
Brenntag | 2,007 | 252,956 | |
Celesio | 3,952 | 76,502 | |
Commerzbank | 159,134 | a | 304,853 |
Continental | 3,384 | 339,181 | |
Daimler | 39,071 | 1,824,363 | |
Deutsche Bank | 40,473 | 1,834,484 | |
Deutsche Boerse | 8,454 | 457,589 | |
Deutsche Lufthansa | 9,238 | 141,171 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Germany (continued) | |||
Deutsche Post | 36,606 | 725,696 | |
Deutsche Telekom | 120,928 | 1,380,722 | |
E.ON | 77,618 | 1,763,588 | |
Fraport Frankfurt Airport Services Worldwide | 1,609 | 94,348 | |
Fresenius & Co. | 5,292 | 603,608 | |
Fresenius Medical Care & Co. | 9,063 | 636,567 | |
GEA Group | 7,622 | 237,990 | |
Hannover Rueckversicherung | 2,468 | 173,603 | |
HeidelbergCement | 5,942 | 314,922 | |
Henkel & Co. | 5,774 | 373,598 | |
Hochtief | 1,402 | a | 69,526 |
Hugo Boss | 978 | 97,899 | |
Infineon Technologies | 46,230 | 314,584 | |
K+S | 7,687 | 363,666 | |
Kabel Deutschland Holding | 3,938 | 283,743 | |
Lanxess | 3,616 | 298,693 | |
Linde | 7,959 | 1,338,501 | |
MAN | 1,930 | 194,646 | |
Merck | 2,731 | 349,021 | |
Metro | 5,316 | 153,137 | |
Muenchener Rueckversicherungs | 7,710 | 1,239,164 | |
RWE | 21,226 | 969,933 | |
Salzgitter | 1,819 | 78,711 | |
SAP | 39,746 | 2,895,227 | |
Siemens | 35,529 | 3,570,768 | |
Suedzucker | 3,046 | 118,027 | |
ThyssenKrupp | 16,741 | 380,921 | |
United Internet | 4,460 | 89,227 | |
Volkswagen | 1,298 | 253,032 | |
Wacker Chemie | 762 | 43,042 | |
35,774,035 | |||
Greece—.1% | |||
Coca-Cola Hellenic Bottling | 8,251 | a | 176,459 |
OPAP | 8,540 | 54,570 | |
231,029 |
14
Common Stocks (continued) | Shares | Value ($) | |
Hong Kong—3.0% | |||
AIA Group | 440,800 | 1,746,126 | |
ASM Pacific Technology | 7,900 | 88,072 | |
Bank of East Asia | 60,550 | 224,620 | |
BOC Hong Kong Holdings | 161,000 | 495,461 | |
Cathay Pacific Airways | 52,000 | 94,203 | |
Cheung Kong Holdings | 61,000 | 901,220 | |
Cheung Kong Infrastructure Holdings | 21,000 | 123,019 | |
CLP Holdings | 79,288 | 676,246 | |
First Pacific | 100,000 | 111,354 | |
Galaxy Entertainment Group | 60,000 | a | 206,321 |
Hang Lung Group | 39,000 | 230,979 | |
Hang Lung Properties | 100,000 | 347,740 | |
Hang Seng Bank | 33,200 | 509,777 | |
Henderson Land Development | 42,762 | 296,297 | |
Hong Kong & China Gas | 227,329 | 604,251 | |
Hong Kong Exchanges & Clearing | 44,300 | 731,088 | |
Hopewell Holdings | 26,000 | 93,767 | |
Hutchison Whampoa | 91,800 | 903,188 | |
Hysan Development | 28,000 | 123,741 | |
Kerry Properties | 29,500 | 146,357 | |
Li & Fung | 257,200 | 431,429 | |
Lifestyle International Holdings | 18,000 | 38,462 | |
Link REIT | 98,000 | 487,468 | |
MGM China Holdings | 40,000 | 72,258 | |
MTR | 60,500 | 236,534�� | |
New World Development | 162,786 | 251,634 | |
NWS Holdings | 60,000 | 90,580 | |
Orient Overseas International | 11,300 | 71,445 | |
PCCW | 167,000 | 67,446 | |
Power Assets Holdings | 60,000 | 510,190 | |
Shangri-La Asia | 65,000 | 125,806 | |
Sino Land | 127,730 | 228,759 | |
SJM Holdings | 80,530 | 175,398 | |
Sun Hung Kai Properties | 68,699 | 956,461 | |
Swire Pacific, Cl. A | 28,500 | a | 338,137 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Hong Kong (continued) | ||||
Wharf Holdings | 67,311 | 460,752 | ||
Wheelock & Co. | 42,000 | 183,715 | ||
Wing Hang Bank | 8,000 | 84,851 | ||
Wynn Macau | 71,200 | 201,655 | ||
Yue Yuen Industrial Holdings | 32,300 | 111,486 | ||
13,778,293 | ||||
Ireland—.3% | ||||
CRH | 30,961 | 576,265 | ||
Elan | 21,908 | a | 241,933 | |
Irish Bank Resolution | 35,225 | a,b | 46 | |
Kerry Group, Cl. A | 6,393 | 335,178 | ||
Ryanair Holdings | 4,000 | a | 23,175 | |
1,176,597 | ||||
Israel—.6% | ||||
Bank Hapoalim | 43,216 | a | 169,808 | |
Bank Leumi Le-Israel | 55,519 | a | 178,695 | |
Bezeq Israeli Telecommunication | 76,662 | 93,487 | ||
Delek Group | 202 | 38,412 | ||
Israel | 117 | 79,533 | ||
Israel Chemicals | 18,572 | 232,410 | ||
Israel Discount Bank, Cl. A | 1 | a | 1 | |
Mellanox Technologies | 1,373 | a | 104,186 | |
Mizrahi Tefahot Bank | 6,222 | a | 56,474 | |
NICE Systems | 2,452 | a | 81,130 | |
Teva Pharmaceutical Industries | 40,606 | 1,649,898 | ||
2,684,034 | ||||
Italy—2.3% | ||||
Assicurazioni Generali | 50,461 | 820,174 | ||
Atlantia | 14,628 | 241,360 | ||
Autogrill | 5,146 | 52,593 | ||
Banca Monte dei Paschi di Siena | 281,163 | a | 77,623 | |
Banco Popolare | 72,942 | a | 116,288 | |
Enel | 282,712 | 1,062,662 | ||
Enel Green Power | 80,792 | 137,390 | ||
Eni | 110,468 | 2,535,758 | ||
EXOR | 2,723 | 70,164 |
16
Common Stocks (continued) | Shares | Value ($) | |
Italy (continued) | |||
Fiat | 38,655 | a | 188,385 |
Fiat Industrial | 37,889 | 410,310 | |
Finmeccanica | 19,919 | a | 98,676 |
Intesa Sanpaolo | 434,572 | 697,888 | |
Intesa Sanpaolo-RSP | 47,999 | 63,333 | |
Luxottica Group | 5,098 | 193,937 | |
Mediaset | 31,881 | 55,785 | |
Mediobanca | 23,963 | 136,537 | |
Pirelli & C | 9,607 | 111,259 | |
Prysmian | 8,559 | 164,630 | |
Saipem | 11,398 | 512,047 | |
Snam | 71,950 | 318,381 | |
STMicroelectronics | 28,962 | 170,314 | |
Telecom Italia | 407,312 | 375,097 | |
Telecom Italia-RSP | 266,227 | 212,562 | |
Tenaris | 20,365 | 380,893 | |
Terna Rete Elettrica Nazionale | 56,257 | 211,460 | |
Unicredit | 173,641 | a | 766,566 |
Unione di Banche Italiane | 34,541 | 135,743 | |
10,317,815 | |||
Japan—19.2% | |||
ABC-Mart | 1,000 | 43,843 | |
Advantest | 6,400 | 80,812 | |
Aeon | 26,900 | 293,497 | |
Aeon Credit Service | 2,860 | 60,689 | |
AEON Mall | 2,800 | 72,639 | |
Air Water | 7,000 | 87,686 | |
Aisin Seiki | 8,600 | 250,147 | |
Ajinomoto | 28,800 | 439,775 | |
Alfresa Holdings | 1,900 | 85,920 | |
All Nippon Airways | 34,000 | 71,978 | |
Amada | 17,000 | 86,246 | |
Aozora Bank | 21,959 | 61,891 | |
Asahi Glass | 43,800 | 297,377 | |
Asahi Group Holdings | 16,800 | 382,803 | |
Asahi Kasei | 55,900 | 307,404 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Asics | 7,000 | 101,628 |
Astellas Pharma | 19,079 | 947,617 |
Bank of Kyoto | 14,000 | 120,306 |
Bank of Yokohama | 52,000 | 239,058 |
Benesse Holdings | 3,100 | 149,311 |
Bridgestone | 28,100 | 654,364 |
Brother Industries | 11,200 | 105,504 |
Canon | 48,850 | 1,577,544 |
Casio Computer | 9,300 | 71,064 |
Central Japan Railway | 6,100 | 524,953 |
Chiba Bank | 34,000 | 198,472 |
Chiyoda | 6,000 | 96,806 |
Chubu Electric Power | 28,800 | 296,911 |
Chugai Pharmaceutical | 10,128 | 205,275 |
Chugoku Bank | 7,000 | 96,280 |
Chugoku Electric Power | 13,400 | 144,021 |
Citizen Holdings | 12,400 | 62,909 |
Coca-Cola West | 2,700 | 41,364 |
Cosmo Oil | 27,000 | 48,027 |
Credit Saison | 7,100 | 155,910 |
Dai Nippon Printing | 24,800 | 175,523 |
Dai-ichi Life Insurance | 361 | 416,034 |
Daicel | 11,000 | 66,003 |
Daido Steel | 12,200 | 52,877 |
Daihatsu Motor | 9,000 | 157,610 |
Daiichi Sankyo | 29,283 | 447,517 |
Daikin Industries | 10,400 | 287,651 |
Dainippon Sumitomo Pharma | 6,900 | 79,260 |
Daito Trust Construction | 3,200 | 323,087 |
Daiwa House Industry | 22,400 | 339,241 |
Daiwa Securities Group | 75,000 | 298,760 |
DeNA | 4,300 | 134,176 |
Denki Kagaku Kogyo | 22,600 | 69,643 |
Denso | 21,000 | 657,384 |
Dentsu | 7,500 | 176,907 |
East Japan Railway | 14,600 | 1,002,230 |
18
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Eisai | 11,000 | 489,853 |
Electric Power Development | 5,280 | 135,125 |
FamilyMart | 2,617 | 126,867 |
FANUC | 8,229 | 1,310,166 |
Fast Retailing | 2,258 | 502,909 |
Fuji Electric | 21,000 | 42,616 |
Fuji Heavy Industries | 24,000 | 230,590 |
FUJIFILM Holdings | 20,000 | 337,217 |
Fujitsu | 80,800 | 310,730 |
Fukuoka Financial Group | 33,000 | 128,974 |
Furukawa Electric | 28,000 | 55,769 |
Gree | 4,300 | 74,979 |
GS Yuasa | 16,000 | 62,533 |
Gunma Bank | 18,000 | 86,809 |
Hachijuni Bank | 20,000 | 103,219 |
Hakuhodo DY Holdings | 1,170 | 70,056 |
Hamamatsu Photonics | 3,200 | 110,836 |
Hankyu Hanshin Holdings | 49,000 | 271,302 |
Hino Motors | 12,000 | 92,597 |
Hirose Electric | 1,300 | 139,071 |
Hisamitsu Pharmaceutical | 2,500 | 129,337 |
Hitachi | 198,900 | 1,053,923 |
Hitachi Chemical | 4,000 | 56,370 |
Hitachi Construction Machinery | 5,000 | 82,112 |
Hitachi High-Technologies | 2,700 | 59,087 |
Hitachi Metals | 8,000 | 74,859 |
Hokkaido Electric Power | 8,200 | 67,486 |
Hokuriku Electric Power | 7,700 | 76,489 |
Honda Motor | 70,359 | 2,106,451 |
Hoya | 18,800 | 380,569 |
HULIC | 10,800 | 85,637 |
Ibiden | 5,600 | 70,500 |
Idemitsu Kosan | 900 | 77,452 |
IHI | 61,000 | 128,373 |
INPEX | 97 | 552,862 |
Isetan Mitsukoshi Holdings | 14,620 | 143,032 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Isuzu Motors | 52,000 | 274,884 |
ITOCHU | 65,100 | 651,571 |
Itochu Techno-Solutions | 900 | 46,561 |
Iyo Bank | 11,000 | 85,018 |
J Front Retailing | 22,800 | 118,527 |
Japan Airlines | 2,600 | 123,763 |
Japan Petroleum Exploration | 1,400 | 52,699 |
Japan Prime Realty Investment | 27 | 81,274 |
Japan Real Estate Investment | 24 | 240,210 |
Japan Retail Fund Investment | 79 | 143,987 |
Japan Steel Works | 13,000 | 77,026 |
Japan Tobacco | 39,200 | 1,083,242 |
JFE Holdings | 20,560 | 289,741 |
JGC | 9,000 | 309,470 |
Joyo Bank | 26,462 | 127,951 |
JSR | 7,700 | 131,950 |
JTEKT | 10,800 | 81,172 |
Jupiter Telecommunications | 92 | 125,041 |
JX Holdings | 96,576 | 514,153 |
Kajima | 38,800 | 107,413 |
Kamigumi | 9,400 | 75,831 |
Kaneka | 12,000 | 58,474 |
Kansai Electric Power | 34,099 | 262,267 |
Kansai Paint | 10,000 | 107,604 |
Kao | 22,700 | 637,522 |
Kawasaki Heavy Industries | 65,000 | 133,534 |
Kawasaki Kisen Kaisha | 35,000 | 44,282 |
KDDI | 11,600 | 900,914 |
Keikyu | 20,000 | 188,400 |
Keio | 25,000 | 189,778 |
Keisei Electric Railway | 13,000 | 119,203 |
Keyence | 1,985 | 526,648 |
Kikkoman | 8,000 | 106,226 |
Kinden | 6,000 | 37,580 |
Kintetsu | 68,354 | 268,005 |
Kirin Holdings | 37,000 | 464,412 |
20
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Kobe Steel | 113,000 | 99,086 | |
Koito Manufacturing | 4,000 | 49,656 | |
Komatsu | 40,500 | 848,253 | |
Konami | 4,400 | 100,809 | |
Konica Minolta Holdings | 19,500 | 129,463 | |
Kubota | 47,000 | 480,421 | |
Kuraray | 14,200 | 164,893 | |
Kurita Water Industries | 4,800 | 108,952 | |
Kyocera | 6,600 | 579,557 | |
Kyowa Hakko Kirin | 11,705 | 124,484 | |
Kyushu Electric Power | 18,000 | 136,415 | |
Lawson | 2,600 | 191,181 | |
LIXIL Group | 11,724 | 259,212 | |
Mabuchi Motor | 1,000 | 42,340 | |
Makita | 5,100 | 201,560 | |
Marubeni | 72,000 | 466,291 | |
Marui Group | 10,900 | 78,374 | |
Maruichi Steel Tube | 2,000 | 41,588 | |
Mazda Motor | 114,000 | a | 135,663 |
McDonald’s Holdings Japan | 3,000 | 83,352 | |
Medipal Holdings | 5,800 | 73,817 | |
MEIJI Holdings | 2,521 | 115,423 | |
Miraca Holdings | 2,600 | 109,921 | |
Mitsubishi | 61,198 | 1,092,411 | |
Mitsubishi Chemical Holdings | 59,380 | 235,050 | |
Mitsubishi Electric | 84,000 | 627,133 | |
Mitsubishi Estate | 54,000 | 1,068,095 | |
Mitsubishi Gas Chemical | 16,000 | 78,968 | |
Mitsubishi Heavy Industries | 130,700 | 550,109 | |
Mitsubishi Logistics | 4,000 | 51,560 | |
Mitsubishi Materials | 51,000 | 148,215 | |
Mitsubishi Motors | 159,000 | a | 137,430 |
Mitsubishi Tanabe Pharma | 9,200 | 132,647 | |
Mitsubishi UFJ Financial Group | 549,590 | 2,485,306 | |
Mitsubishi UFJ Lease & Finance | 2,550 | 109,884 | |
Mitsui & Co. | 74,600 | 1,051,297 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Mitsui Chemicals | 38,000 | 78,542 | |
Mitsui Fudosan | 36,286 | 733,174 | |
Mitsui OSK Lines | 50,000 | 119,629 | |
Mizuho Financial Group | 984,000 | 1,540,774 | |
MS&AD Insurance Group Holdings | 21,457 | 363,664 | |
Murata Manufacturing | 9,000 | 437,430 | |
Nabtesco | 4,500 | 83,766 | |
Namco Bandai Holdings | 7,850 | 123,311 | |
NEC | 120,800 | 231,522 | |
NEXON | 4,600 | 56,067 | |
NGK Insulators | 11,000 | 122,636 | |
NGK Spark Plug | 7,926 | 88,563 | |
NHK Spring | 7,000 | 58,311 | |
Nidec | 4,600 | 327,296 | |
Nikon | 15,160 | 385,504 | |
Nintendo | 4,525 | 582,701 | |
Nippon Building Fund | 26 | 279,118 | |
Nippon Electric Glass | 17,085 | 86,891 | |
Nippon Express | 38,000 | 138,995 | |
Nippon Meat Packers | 7,000 | 86,809 | |
Nippon Paper Group | 3,800 | 43,460 | |
Nippon Steel | 333,615 | 735,516 | |
Nippon Telegraph & Telephone | 18,700 | 851,491 | |
Nippon Yusen | 69,800 | 132,902 | |
Nishi-Nippon City Bank | 26,000 | 59,276 | |
Nissan Motor | 106,800 | 893,679 | |
Nisshin Seifun Group | 7,800 | 97,415 | |
Nisshin Steel Holdings | 2,900 | a | 19,217 |
Nissin Foods Holdings | 2,600 | 98,359 | |
Nitori Holdings | 1,400 | 114,343 | |
Nitto Denko | 7,300 | 331,028 | |
NKSJ Holdings | 16,670 | 303,831 | |
NOK | 5,100 | 81,646 | |
Nomura Holdings | 156,300 | 563,878 | |
Nomura Real Estate Holdings | 4,000 | 71,803 | |
Nomura Real Estate Office Fund | 12 | 75,460 |
22
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Nomura Research Institute | 4,700 | 99,793 | |
NSK | 20,000 | 109,733 | |
NTN | 19,000 | 34,035 | |
NTT Data | 55 | 179,062 | |
NTT DoCoMo | 656 | 963,908 | |
NTT Urban Development | 55 | 45,265 | |
Obayashi | 26,000 | 116,272 | |
Odakyu Electric Railway | 28,000 | 297,081 | |
OJI Paper | 35,000 | 102,593 | |
Olympus | 9,500 | a | 165,890 |
Omron | 9,200 | 183,239 | |
Ono Pharmaceutical | 3,400 | 205,286 | |
ORACLE JAPAN | 1,400 | 62,257 | |
Oriental Land | 2,100 | 286,471 | |
ORIX | 4,540 | 466,341 | |
Osaka Gas | 82,000 | 337,943 | |
OTSUKA | 700 | 57,084 | |
Otsuka Holdings | 15,800 | 486,687 | |
Panasonic | 95,395 | 614,218 | |
Rakuten | 32,500 | 292,309 | |
Resona Holdings | 84,200 | 363,886 | |
Ricoh | 27,000 | 225,592 | |
Rinnai | 1,500 | 102,405 | |
Rohm | 4,400 | 141,927 | |
Sankyo | 2,200 | 99,624 | |
Sanrio | 2,100 | 69,158 | |
Santen Pharmaceutical | 3,300 | 144,476 | |
SBI Holdings | 8,430 | 58,924 | |
Secom | 8,900 | 453,194 | |
Sega Sammy Holdings | 8,784 | 165,601 | |
Seiko Epson | 4,900 | 27,192 | |
Sekisui Chemical | 19,000 | 155,894 | |
Sekisui House | 23,000 | 234,811 | |
Seven & I Holdings | 32,360 | 998,000 | |
Seven Bank | 26,000 | 74,258 | |
Sharp | 46,000 | 99,111 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Shikoku Electric Power | 8,200 | 87,619 | |
Shimadzu | 9,000 | 60,541 | |
Shimamura | 1,000 | 104,221 | |
Shimano | 3,300 | 207,929 | |
Shimizu | 23,000 | 76,926 | |
Shin-Etsu Chemical | 17,600 | 992,108 | |
Shinsei Bank | 67,000 | 98,196 | |
Shionogi & Co. | 13,100 | 217,267 | |
Shiseido | 16,200 | 204,961 | |
Shizuoka Bank | 23,400 | 239,188 | |
Showa Denko | 57,000 | 87,110 | |
Showa Shell Sekiyu | 8,500 | 47,275 | |
SMC | 2,400 | 378,204 | |
Softbank | 38,200 | 1,209,212 | |
Sojitz | 54,600 | 67,711 | |
Sony | 43,980 | 525,578 | |
Sony Financial Holdings | 7,000 | 124,865 | |
Square Enix Holdings | 2,700 | 38,050 | |
Stanley Electric | 6,700 | 92,321 | |
Sumco | 4,900 | a | 33,514 |
Sumitomo | 48,600 | 662,368 | |
Sumitomo Chemical | 66,000 | 185,194 | |
Sumitomo Electric Industries | 33,000 | 354,679 | |
Sumitomo Heavy Industries | 25,000 | 89,565 | |
Sumitomo Metal Mining | 23,000 | 302,806 | |
Sumitomo Mitsui Financial Group | 57,900 | 1,772,612 | |
Sumitomo Mitsui Trust Holdings | 135,640 | 411,185 | |
Sumitomo Realty & Development | 15,000 | 414,130 | |
Sumitomo Rubber Industries | 7,600 | 89,395 | |
Suruga Bank | 8,000 | 96,004 | |
Suzuken | 2,920 | 92,139 | |
Suzuki Motor | 16,200 | 366,900 | |
Sysmex | 3,200 | 150,520 | |
T&D Holdings | 26,000 | 284,004 | |
Taiheiyo Cement | 47,000 | 100,088 | |
Taisei | 48,000 | 132,281 |
24
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Taisho Pharmaceutical Holdings | 1,500 | 121,007 | |
Taiyo Nippon Sanso | 12,000 | 65,840 | |
Takashimaya | 12,000 | 78,918 | |
Takeda Pharmaceutical | 34,000 | 1,580,108 | |
TDK | 5,500 | 206,483 | |
Teijin | 40,000 | 91,695 | |
Terumo | 6,800 | 293,023 | |
THK | 5,600 | 93,088 | |
Tobu Railway | 45,000 | 239,008 | |
Toho | 4,300 | 74,925 | |
Toho Gas | 18,000 | 109,132 | |
Tohoku Electric Power | 19,800 | a | 145,840 |
Tokio Marine Holdings | 31,300 | 828,472 | |
Tokyo Electric Power | 68,472 | a | 111,504 |
Tokyo Electron | 7,200 | 323,337 | |
Tokyo Gas | 107,000 | 566,967 | |
Tokyu | 50,820 | 258,461 | |
Tokyu Land | 19,000 | 106,627 | |
TonenGeneral Sekiyu | 13,000 | 117,901 | |
Toppan Printing | 25,000 | 144,369 | |
Toray Industries | 64,000 | 373,594 | |
Toshiba | 174,000 | 645,171 | |
Tosoh | 22,000 | 42,991 | |
TOTO | 13,000 | 97,382 | |
Toyo Seikan Kaisha | 7,100 | 75,420 | |
Toyo Suisan Kaisha | 4,000 | 99,662 | |
Toyoda Gosei | 2,300 | 45,234 | |
Toyota Boshoku | 2,600 | 24,590 | |
Toyota Industries | 7,300 | 208,493 | |
Toyota Motor | 119,157 | 4,574,924 | |
Toyota Tsusho | 8,800 | 192,028 | |
Trend Micro | 4,700 | 131,645 | |
Tsumura & Co. | 2,300 | 73,469 | |
Ube Industries | 46,600 | 106,241 | |
UNICHARM | 5,000 | 270,575 | |
Ushio | 4,600 | 48,518 |
The Fund | 25 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
USS | 980 | 102,996 | |
West Japan Railway | 7,600 | 331,780 | |
Yahoo! Japan | 616 | 211,969 | |
Yakult Honsha | 4,300 | 200,376 | |
Yamada Denki | 3,620 | 156,898 | |
Yamaguchi Financial Group | 9,000 | 74,521 | |
Yamaha | 7,200 | 64,667 | |
Yamaha Motor | 13,200 | 126,163 | |
Yamato Holdings | 16,000 | 243,517 | |
Yamato Kogyo | 1,800 | 50,530 | |
Yamazaki Baking | 4,000 | 48,102 | |
Yaskawa Electric | 9,000 | 64,487 | |
Yokogawa Electric | 8,800 | 100,093 | |
87,802,774 | |||
Luxembourg—.1% | |||
SES | 12,637 | 349,699 | |
Macau—.1% | |||
Sands China | 107,413 | 404,009 | |
Mexico—.1% | |||
Fresnillo | 7,467 | 231,239 | |
Netherlands—2.7% | |||
Aegon | 76,511 | 427,221 | |
Akzo Nobel | 10,107 | 549,812 | |
ASML Holding | 18,253 | 1,004,303 | |
Corio | 2,835 | 126,313 | |
DE Master Blenders 1753 | 24,938 | a | 304,775 |
Delta Lloyd | 3,857 | 64,140 | |
European Aeronautic Defence and Space | 17,744 | 630,396 | |
Fugro | 3,133 | 211,812 | |
Gemalto | 3,377 | 304,732 | |
Heineken | 10,089 | 621,997 | |
Heineken Holding | 4,528 | 229,769 | |
ING Groep | 164,830 | a | 1,456,192 |
Koninklijke Ahold | 45,795 | 583,062 | |
Koninklijke Boskalis Westminster | 3,270 | 124,566 | |
Koninklijke DSM | 6,749 | 346,539 |
26
Common Stocks (continued) | Shares | Value ($) | |
Netherlands (continued) | |||
Koninklijke KPN | 42,421 | 267,825 | |
Koninklijke Philips Electronics | 43,844 | 1,096,214 | |
Koninklijke Vopak | 2,922 | 203,417 | |
QIAGEN | 9,940 | a | 172,705 |
Randstad Holding | 5,158 | 168,374 | |
Reed Elsevier | 30,068 | 403,949 | |
SBM Offshore | 6,898 | a | 90,123 |
TNT Express | 14,602 | 153,795 | |
Unilever | 70,274 | 2,580,442 | |
Wolters Kluwer | 13,602 | 263,218 | |
12,385,691 | |||
New Zealand—.1% | |||
Auckland International Airport | 42,260 | 93,316 | |
Contact Energy | 16,082 | a | 73,271 |
Fletcher Building | 30,980 | 179,365 | |
SKYCITY Entertainment Group | 26,289 | 83,886 | |
Telecom Corporation of New Zealand | 78,060 | 154,393 | |
584,231 | |||
Norway—.9% | |||
Aker Solutions | 7,694 | 151,146 | |
DNB | 42,372 | 529,158 | |
Gjensidige Forsikring | 8,002 | 116,915 | |
Norsk Hydro | 38,580 | 173,706 | |
Orkla | 34,223 | 270,720 | |
Seadrill | 15,031 | 608,485 | |
Statoil | 48,587 | 1,200,763 | |
Telenor | 31,159 | 612,654 | |
Yara International | 7,934 | 373,787 | |
4,037,334 | |||
Portugal—.2% | |||
Banco Espirito Santo | 74,846 | a | 72,758 |
Energias de Portugal | 79,751 | 216,661 | |
Galp Energia | 9,504 | 152,134 | |
Jeronimo Martins | 10,165 | 177,866 | |
Portugal Telecom | 27,519 | 138,430 | |
757,849 |
The Fund | 27 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Singapore—1.8% | |||
Ascendas Real Estate Investment Trust | 78,912 | 152,674 | |
CapitaLand | 115,500 | 309,629 | |
CapitaMall Trust | 97,000 | 167,790 | |
Capitamalls Asia | 50,000 | 75,832 | |
City Developments | 21,000 | 197,295 | |
ComfortDelgro | 74,700 | 103,495 | |
Cosco Singapore | 48,000 | 34,629 | |
DBS Group Holdings | 79,588 | 906,930 | |
Fraser and Neave | 41,150 | 309,013 | |
Genting Singapore | 272,527 | 297,148 | |
Global Logistic Properties | 90,843 | 191,397 | |
Golden Agri-Resources | 272,440 | 139,593 | |
Hutchison Port Holdings Trust | 227,000 | 177,060 | |
Jardine Cycle & Carriage | 4,422 | 178,504 | |
Keppel | 61,700 | 539,205 | |
Keppel Land | 36,000 | 100,344 | |
Neptune Orient Lines | 31,000 | a | 29,480 |
Noble Group | 158,963 | 170,718 | |
Olam International | 62,995 | 101,738 | |
Oversea-Chinese Banking | 111,942 | 835,114 | |
SembCorp Industries | 43,254 | 192,902 | |
SembCorp Marine | 38,000 | 146,729 | |
Singapore Airlines | 24,733 | 214,929 | |
Singapore Exchange | 39,000 | 215,175 | |
Singapore Press Holdings | 69,075 | 228,778 | |
Singapore Technologies Engineering | 68,000 | 196,229 | |
Singapore Telecommunications | 345,951 | 913,233 | |
StarHub | 26,918 | 81,209 | |
United Overseas Bank | 54,112 | 810,482 | |
UOL Group | 21,111 | 97,957 | |
Wilmar International | 86,000 | 217,855 | |
8,333,066 | |||
Spain—2.9% | |||
Abertis Infraestructuras | 16,405 | 247,079 | |
Acciona | 1,014 | 62,218 | |
Acerinox | 5,086 | 53,001 |
28
Common Stocks (continued) | Shares | Value ($) | |
Spain (continued) | |||
ACS Actividades de Construccion y Servicios | 6,259 | 133,614 | |
Amadeus IT Holding, Cl. A | 13,206 | 326,932 | |
Banco Bilbao Vizcaya Argentaria | 234,589 | 1,957,239 | |
Banco de Sabadell | 117,704 | a | 286,510 |
Banco Popular Espanol | 47,284 | 73,728 | |
Banco Santander | 427,320 | 3,206,340 | |
Bankia | 35,723 | a | 53,710 |
CaixaBank | 32,432 | 122,747 | |
Distribuidora Internacional de Alimentacion | 24,738 | 149,739 | |
Enagas | 7,711 | 153,316 | |
Ferrovial | 17,812 | 251,647 | |
Gas Natural SDG | 15,540 | 241,100 | |
Grifols | 6,155 | a | 213,485 |
Iberdrola | 169,677 | 877,503 | |
Inditex | 9,479 | 1,209,447 | |
International Consolidated Airlines Group | 38,774 | a | 101,870 |
Mapfre | 35,362 | 97,993 | |
Red Electrica | 4,892 | 229,376 | |
Repsol | 35,059 | 700,707 | |
Telefonica | 173,936 | 2,290,530 | |
Zardoya Otis | 6,097 | 75,391 | |
13,115,222 | |||
Sweden—3.1% | |||
Alfa Laval | 14,802 | 257,081 | |
Assa Abloy, Cl. B | 14,353 | 478,441 | |
Atlas Copco, Cl. A | 29,025 | 713,712 | |
Atlas Copco, Cl. B | 17,066 | 373,847 | |
Boliden | 11,860 | 207,236 | |
Electrolux, Ser. B | 10,875 | 278,232 | |
Elekta, Cl. B | 15,496 | 220,774 | |
Ericsson, Cl. B | 129,479 | 1,138,058 | |
Getinge, Cl. B | 9,020 | 277,417 | |
Hennes & Mauritz, Cl. B | 40,872 | 1,383,371 | |
Hexagon, Cl. B | 10,584 | 243,501 | |
Holmen, Cl. B | 2,181 | 64,283 | |
Husqvarna, Cl. B | 15,540 | 90,154 |
The Fund | 29 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Sweden (continued) | |||
Industrivarden, Cl. C | 5,510 | 77,713 | |
Investment AB Kinnevik, Cl. B | 9,340 | 178,410 | |
Investor, Cl. B | 19,676 | 433,988 | |
Lundin Petroleum | 9,277 | a | 222,103 |
Millicom International Cellular, SDR | 2,824 | 243,958 | |
Modern Times Group, Cl. B | 2,012 | 61,274 | |
Nordea Bank | 113,100 | 1,027,345 | |
Ratos, Cl. B | 9,138 | 78,459 | |
Sandvik | 43,304 | 600,637 | |
Scania, Cl. B | 14,423 | 274,635 | |
Securitas, Cl. B | 13,206 | 96,045 | |
Skandinaviska Enskilda Banken, Cl. A | 60,015 | 497,644 | |
Skanska, Cl. B | 15,979 | 249,819 | |
SKF, Cl. B | 17,448 | 393,263 | |
SSAB, Cl. A | 7,127 | 50,995 | |
Svenska Cellulosa, Cl. B | 24,614 | 479,448 | |
Svenska Handelsbanken, Cl. A | 21,223 | 726,962 | |
Swedbank, Cl. A | 35,429 | 656,993 | |
Swedish Match | 8,718 | 297,045 | |
Tele2, Cl. B | 14,263 | 238,043 | |
TeliaSonera | 93,517 | 615,702 | |
Volvo, Cl. B | 60,282 | 811,134 | |
14,037,722 | |||
Switzerland—8.8% | |||
ABB | 94,746 | a | 1,707,117 |
Actelion | 5,031 | a | 242,663 |
Adecco | 5,947 | a | 287,612 |
Aryzta | 3,825 | a | 190,983 |
Baloise Holding | 2,170 | 181,280 | |
Banque Cantonale Vaudoise | 127 | 67,298 | |
Barry Callebaut | 84 | a | 80,185 |
Cie Financiere Richemont, Cl. A | 22,754 | 1,475,724 | |
Credit Suisse Group | 51,042 | a | 1,183,289 |
GAM Holding | 7,441 | a | 103,869 |
Geberit | 1,601 | a | 330,068 |
Givaudan | 364 | a | 364,274 |
30
Common Stocks (continued) | Shares | Value ($) | |
Switzerland (continued) | |||
Glencore International | 159,396 | 882,418 | |
Holcim | 9,787 | a | 667,845 |
Julius Baer Group | 9,034 | a | 313,324 |
Kuehne & Nagel International | 2,399 | 280,008 | |
Lindt & Spruengli | 5 | a | 181,950 |
Lindt & Spruengli-PC | 38 | a | 120,084 |
Lonza Group | 2,290 | a | 116,086 |
Nestle | 142,693 | 9,055,252 | |
Novartis | 99,418 | 5,983,441 | |
Pargesa Holding-BR | 1,256 | 84,695 | |
Partners Group Holding | 624 | 132,063 | |
Roche Holding | 30,363 | 5,839,164 | |
Schindler Holding | 876 | 113,345 | |
Schindler Holding-PC | 2,190 | 288,535 | |
SGS | 237 | 501,840 | |
Sika-BR | 92 | 191,942 | |
Sonova Holding | 2,217 | a | 222,938 |
Straumann Holding | 380 | 46,883 | |
Sulzer | 1,104 | 159,797 | |
Swatch Group | 1,771 | 128,646 | |
Swatch Group-BR | 1,329 | 549,980 | |
Swiss Life Holding | 1,289 | a | 162,215 |
Swiss Prime Site | 2,068 | a | 172,648 |
Swiss Re | 15,120 | a | 1,044,746 |
Swisscom | 989 | 410,871 | |
Syngenta | 4,071 | 1,590,282 | |
Transocean | 15,346 | 698,504 | |
UBS | 156,958 | a | 2,352,769 |
Zurich Insurance Group | 6,346 | a | 1,563,843 |
40,070,476 | |||
United Kingdom—22.7% | |||
3i Group | 40,776 | 141,739 | |
Aberdeen Asset Management | 36,295 | 190,065 | |
Admiral Group | 9,339 | 166,986 | |
Aggreko | 11,537 | 400,286 | |
AMEC | 14,115 | 241,449 |
The Fund | 31 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
Anglo American | 60,461 | 1,856,751 |
Antofagasta | 17,624 | 357,503 |
ArcelorMittal | 40,037 | 593,145 |
ARM Holdings | 58,687 | 629,801 |
Associated British Foods | 15,834 | 353,899 |
AstraZeneca | 54,507 | 2,531,087 |
Aviva | 125,490 | 671,122 |
Babcock International Group | 16,328 | 257,698 |
BAE Systems | 140,004 | 705,363 |
Balfour Beatty | 31,657 | 161,026 |
Barclays | 505,358 | 1,855,325 |
BG Group | 146,618 | 2,715,061 |
BHP Billiton | 91,148 | 2,920,496 |
BP | 822,329 | 5,882,784 |
British American Tobacco | 84,488 | 4,185,065 |
British Land | 37,405 | 319,017 |
British Sky Broadcasting Group | 47,924 | 548,326 |
BT Group | 335,616 | 1,150,909 |
Bunzl | 14,415 | 238,439 |
Burberry Group | 18,765 | 353,091 |
Capita | 28,119 | 328,078 |
Capital Shopping Centres Group | 25,428 | 136,646 |
Carnival | 8,120 | 322,876 |
Centrica | 222,853 | 1,165,566 |
Cobham | 44,399 | 154,046 |
Compass Group | 80,562 | 884,054 |
Croda International | 5,720 | 203,168 |
Diageo | 108,133 | 3,090,412 |
Eurasian Natural Resources | 10,473 | 55,384 |
Evraz | 14,161 | 53,978 |
Experian | 43,449 | 750,245 |
G4S | 62,366 | 262,177 |
GKN | 67,624 | 226,552 |
GlaxoSmithKline | 216,745 | 4,849,629 |
Hammerson | 30,961 | 235,729 |
HSBC Holdings | 785,134 | 7,713,615 |
32
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
ICAP | 23,517 | 123,378 | |
IMI | 13,573 | 209,070 | |
Imperial Tobacco Group | 42,862 | 1,618,556 | |
Inmarsat | 19,204 | 175,562 | |
InterContinental Hotels Group | 12,171 | 300,509 | |
Intertek Group | 6,807 | 309,664 | |
Invensys | 33,995 | 124,971 | |
Investec | 22,879 | 134,541 | |
ITV | 159,866 | 223,287 | |
J Sainsbury | 53,650 | 307,007 | |
Johnson Matthey | 9,073 | 329,291 | |
Kazakhmys | 9,643 | 110,331 | |
Kingfisher | 102,858 | 480,536 | |
Land Securities Group | 33,793 | 438,452 | |
Legal & General Group | 255,867 | 553,297 | |
Lloyds Banking Group | 1,821,439 | a | 1,192,649 |
London Stock | |||
Exchange Group | 7,101 | 111,786 | |
Lonmin | 7,843 | 64,929 | |
Man Group | 76,168 | 96,428 | |
Marks & Spencer Group | 69,241 | 440,026 | |
Meggitt | 35,266 | 219,676 | |
Melrose | 53,387 | 207,631 | |
National Grid | 153,744 | 1,752,871 | |
Next | 7,197 | 414,164 | |
Old Mutual | 209,695 | 582,044 | |
Pearson | 35,266 | 708,541 | |
Petrofac | 11,661 | 301,842 | |
Prudential | 111,080 | 1,520,993 | |
Randgold Resources | 3,820 | 456,178 | |
Reckitt Benckiser Group | 28,021 | 1,695,721 | |
Reed Elsevier | 52,850 | 516,841 | |
Resolution | 63,012 | 221,981 | |
Rexam | 39,603 | 285,485 | |
Rio Tinto | 57,849 | 2,898,191 | |
Rolls-Royce Holdings | 80,427 | a | 1,109,056 |
The Fund | 33 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
Royal Bank of Scotland Group | 91,390 | a | 407,050 |
Royal Dutch Shell, Cl. A | 159,738 | 5,477,807 | |
Royal Dutch Shell, Cl. B | 114,218 | 4,037,545 | |
RSA Insurance Group | 158,518 | 287,275 | |
SABMiller | 41,170 | 1,763,612 | |
Sage Group | 55,544 | 278,495 | |
Schroders | 4,440 | 109,196 | |
Segro | 34,395 | 131,881 | |
Serco Group | 22,385 | 204,643 | |
Severn Trent | 10,704 | 277,416 | |
Shire | 24,364 | 685,308 | |
Smith & Nephew | 39,008 | 412,320 | |
Smiths Group | 17,626 | 300,370 | |
SSE | 40,697 | 950,978 | |
Standard Chartered | 103,169 | 2,436,584 | |
Standard Life | 101,829 | 479,837 | |
Subsea 7 | 12,655 | 277,681 | |
Tate & Lyle | 21,129 | 247,546 | |
Tesco | 346,497 | 1,788,485 | |
TUI Travel | 20,087 | 81,363 | |
Tullow Oil | 39,748 | 900,579 | |
Unilever | 55,325 | 2,063,293 | |
United Utilities Group | 30,234 | 330,312 | |
Vedanta Resources | 4,090 | 74,847 | |
Vodafone Group | 2,132,937 | 5,791,254 | |
Weir Group | 9,375 | 263,548 | |
Whitbread | 7,724 | 292,920 | |
WM Morrison Supermarkets | 102,408 | 442,737 |
34
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Wolseley | 12,392 | 541,739 | ||
WPP | 54,544 | 703,728 | ||
Xstrata | 90,406 | 1,428,446 | ||
103,562,868 | ||||
Total Common Stocks | ||||
(cost $456,766,437) | 445,322,569 | |||
Preferred Stocks—.6% | ||||
Germany | ||||
Bayerische Motoren Werke | 2,460 | 136,149 | ||
Henkel & Co. | 7,678 | 613,129 | ||
Porsche Automobil Holding | 6,688 | 444,006 | ||
ProSiebenSat.1 Media | 3,585 | 99,903 | ||
RWE | 1,967 | 81,470 | ||
Volkswagen | 6,215 | 1,285,662 | ||
Total Preferred Stocks | ||||
(cost $1,697,840) | 2,660,319 | |||
Rights—.0% | Rights | Value ($) | ||
Spain | ||||
Banco Santander | ||||
(cost $108,141) | 427,320 | a | 84,188 | |
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills; | ||||
0.10%, 12/20/12 | ||||
(cost $399,944) | 400,000 | c | 399,947 |
The Fund | 35 |
STATEMENT OF INVESTMENTS (continued)
Other Investment—.9% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $3,979,648) | 3,979,648 | d | 3,979,648 |
Total Investments (cost $462,952,010) | 99.4 | % | 452,446,671 |
Cash and Receivables (Net) | .6 | % | 2,571,521 |
Net Assets | 100.0 | % | 455,018,192 |
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 October 31, 2012, the value of this security amounted to $46 or less than .01% of net assets. |
c Held by or on behalf of a counterparty for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 23.7 | Energy | 8.1 |
Industrial | 12.1 | Telecommunication Services | 5.0 |
Consumer Staples | 11.6 | Information Technology | 4.2 |
Consumer Discretionary | 10.1 | Utilities | 4.0 |
Health Care | 9.9 | Short-Term/Money Market Investment | 1.0 |
Materials | 9.7 | 99.4 | |
† Based on net assets. | |||
See notes to financial statements. |
36
STATEMENT OF FINANCIAL FUTURES
October 31, 2012
Unrealized | |||||
Market Value | Appreciation | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2012 | ($) | |
Financial Futures Long | |||||
ASX SPI 200 Index | 7 | 818,195 | December 2012 | 14,897 | |
Euro STOXX 50 | 65 | 2,109,602 | December 2012 | (9,786 | ) |
FTSE 100 Index | 23 | 2,139,397 | December 2012 | (14,173 | ) |
TOPIX | 18 | 1,670,800 | December 2012 | (3,147 | ) |
Gross Unrealized Appreciation | 14,897 | ||||
Gross Unrealized Depreciation | (27,106 | ) | |||
See notes to financial statements. |
The Fund | 37 |
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2012
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments: | |||
Unaffiliated issuers | 458,972,362 | 448,467,023 | |
Affiliated issuers | 3,979,648 | 3,979,648 | |
Cash | 288,975 | ||
Cash denominated in foreign currencies | 1,467,847 | 1,464,225 | |
Dividends receivable | 2,257,837 | ||
Receivable for shares of Common Stock subscribed | 121,316 | ||
Unrealized appreciation on forward foreign | |||
currency exchange contracts—Note 4 | 61,927 | ||
Receivable for futures variation margin—Note 4 | 30,641 | ||
456,671,592 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 227,776 | ||
Payable for shares of Common Stock redeemed | 1,324,971 | ||
Unrealized depreciation on forward foreign | |||
currency exchange contracts—Note 4 | 100,653 | ||
1,653,400 | |||
Net Assets ($) | 455,018,192 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 489,418,386 | ||
Accumulated undistributed investment income—net | 9,405,608 | ||
Accumulated net realized gain (loss) on investments | (33,197,706 | ) | |
Accumulated net unrealized appreciation (depreciation) on investments | |||
and foreign currency transactions [including ($12,209) | |||
net unrealized (depreciation) on financial futures] | (10,608,096 | ) | |
Net Assets ($) | 455,018,192 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 32,583,638 | ||
Net Asset Value, offering and redemption price per share ($) | 13.96 | ||
See notes to financial statements. |
38
STATEMENT OF OPERATIONS
Year Ended October 31, 2012
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $1,295,709 foreign taxes withheld at source): | ||
Unaffiliated issuers | 15,014,158 | |
Affiliated issuers | 5,058 | |
Interest | 338 | |
Total Income | 15,019,554 | |
Expenses: | ||
Management fee—Note 3(a) | 1,567,962 | |
Shareholder servicing costs—Note 3(b) | 1,119,973 | |
Directors’ fees—Note 3(a,c) | 21,406 | |
Loan commitment fees—Note 2 | 4,280 | |
Interest expense—Note 2 | 272 | |
Total Expenses | 2,713,893 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (21,406 | ) |
Net Expenses | 2,692,487 | |
Investment Income—Net | 12,327,067 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | 12,442,275 | |
Net realized gain (loss) on financial futures | 1,432,052 | |
Net realized gain (loss) on forward foreign currency exchange contracts | (15,073 | ) |
Net Realized Gain (Loss) | 13,859,254 | |
Net unrealized appreciation (depreciation) on | ||
investments and foreign currency transactions | (8,579,953 | ) |
Net unrealized appreciation (depreciation) on financial futures | (661,400 | ) |
Net unrealized appreciation (depreciation) on | ||
forward foreign currency exchange contracts | (51,342 | ) |
Net Unrealized Appreciation (Depreciation) | (9,292,695 | ) |
Net Realized and Unrealized Gain (Loss) on Investments | 4,566,559 | |
Net Increase in Net Assets Resulting from Operations | 16,893,626 | |
See notes to financial statements. |
The Fund | 39 |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2012 | 2011 | |||
Operations ($): | ||||
Investment income—net | 12,327,067 | 14,300,386 | ||
Net realized gain (loss) on investments | 13,859,254 | 6,280,411 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | (9,292,695 | ) | (48,600,242 | ) |
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 16,893,626 | (28,019,445 | ) | |
Dividends to Shareholders from ($): | ||||
Investment income—net | (14,103,072 | ) | (12,701,894 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 158,345,329 | 178,868,522 | ||
Dividends reinvested | 13,170,185 | 12,108,195 | ||
Cost of shares redeemed | (210,664,725 | ) | (220,306,199 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (39,149,211 | ) | (29,329,482 | ) |
Total Increase (Decrease) in Net Assets | (36,358,657 | ) | (70,050,821 | ) |
Net Assets ($): | ||||
Beginning of Period | 491,376,849 | 561,427,670 | ||
End of Period | 455,018,192 | 491,376,849 | ||
Undistributed investment income—net | 9,405,608 | 10,800,231 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 11,940,137 | 12,085,920 | ||
Shares issued for dividends reinvested | 1,053,615 | 818,675 | ||
Shares redeemed | (16,038,020 | ) | (15,112,364 | ) |
Net Increase (Decrease) in Shares Outstanding | (3,044,268 | ) | (2,207,769 | ) |
See notes to financial statements. |
40
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 13.79 | 14.84 | 14.05 | 11.51 | 21.98 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .37 | .38 | .31 | .30 | .49 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | .24 | (1.10 | ) | .89 | 2.51 | (10.47 | ) | |||
Total from Investment Operations | .61 | (.72 | ) | 1.20 | 2.81 | (9.98 | ) | |||
Distributions: | ||||||||||
Dividends from investment income—net | (.44 | ) | (.33 | ) | (.33 | ) | (.25 | ) | (.49 | ) |
Dividends from net realized | ||||||||||
gain on investments | — | — | (.08 | ) | (.02 | ) | — | |||
Total Distributions | (.44 | ) | (.33 | ) | (.41 | ) | (.27 | ) | (.49 | ) |
Net asset value, end of period | 13.96 | 13.79 | 14.84 | 14.05 | 11.51 | |||||
Total Return (%) | 4.79 | (5.03 | ) | 8.73 | 25.13 | (46.37 | ) | |||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .61 | .61 | .61 | .61 | .61 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .60 | .60 | .60 | .60 | .60 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 2.75 | 2.52 | 2.25 | 2.53 | 2.72 | |||||
Portfolio Turnover Rate | 11.11 | 6.14 | 10.49 | 17.26 | 7.17 | |||||
Net Assets, end of period ($ x 1,000) | 455,018 | 491,377 | 561,428 | 547,282 | 326,931 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
The Fund | 41 |
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective is to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East 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.
42
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Fund | 43 |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All 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 Company’s Board of Directors (the “Board”).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.
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 financial futures. 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 proce-
44
dures approved by the Board. 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.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
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. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate. These securities are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 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 ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Foreign Common | ||||
Stocks† | 445,322,523 | — | 46 | 445,322,569 |
Mutual Funds | 3,979,648 | — | — | 3,979,648 |
Preferred Stocks† | 2,660,319 | — | — | 2,660,319 |
U.S. Treasury | — | 399,947 | — | 399,947 |
Rights† | 84,188 | — | — | 84,188 |
The Fund | 45 |
NOTES TO FINANCIAL STATEMENTS (continued)
Level 2—Other | Level 3— | ||||||
Level 1— | Significant | Significant | |||||
Unadjusted | Observable | Unobservable | |||||
Quoted Prices | Inputs | Inputs | Total | ||||
Assets ($) (continued) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Financial Futures†† | 14,897 | — | — | 14,897 | |||
Forward Foreign | |||||||
Currency Exchange | |||||||
Contracts†† | — | 61,927 | — | 61,927 | |||
Liabilities ($) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Financial Futures†† | (27,106 | ) | — | — | (27,106 | ) | |
Forward Foreign | |||||||
Currency Exchange | |||||||
Contracts†† | — | (100,653 | ) | — | (100,653 | ) |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation (depreciation) at period end. |
At October 31, 2011, $164,308,816 of exchange traded foreign equity securities were classified within Level 2 of the fair value hierarchy pursuant to the fund’s fair valuation procedures.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Equity Securities— | ||
Foreign ($) | ||
Balance as of 10/31/2011 | 49 | |
Realized gain (loss) | — | |
Change in unrealized appreciation (depreciation) | (3 | ) |
Purchases | — | |
Sales | — | |
Transfers into Level 3 | — | |
Transfers out of Level 3 | — | |
Balance as of 10/31/2012 | 46 | |
The amount of total gains (losses) for the | ||
period included in earnings attributable | ||
to the change in unrealized gains (losses) | ||
relating to investments still held at 10/31/2012 | (3 | ) |
46
(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 also 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.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act. Investments in affiliated investment companies for the period ended October 31, 2012 were as follows:
Affiliated | ||||||
Investment | Value | Value | Net | |||
Company | 10/31/2011 ($) | Purchases ($) | Sales ($) | 10/31/2012 ($) | Assets (%) | |
Dreyfus | ||||||
Institutional | ||||||
Preferred | ||||||
Plus Money | ||||||
Market Fund | 6,339,082 | 105,400,416 | 107,759,850 | 3,979,648 | .9 |
The Fund | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
(e) Risk: 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.
(f) 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.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 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 four-year period ended October 31, 2012 remains subject to examination by the Internal Revenue Service and state taxing authorities.
48
At October 31, 2012, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $11,585,536, accumulated capital losses $18,068,037 and unrealized depreciation $27,917,693.
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 accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2012. If not applied, the carryover expires in fiscal year 2018.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2012 and October 31, 2011 were as follows: ordinary income $14,103,072 and $12,701,894, respectively.
During the period ended October 31, 2012, as a result of permanent book to tax differences, primarily due to the tax treatment for passive foreign investment companies and foreign currency gains and losses, the fund increased accumulated undistributed investment income-net by $381,382 and decreased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
(h) New Accounting Pronouncement: In December 2011, FASB issued Accounting Standards Update No. 2011-11 “Disclosures about
The Fund | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position.They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition,ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial statements; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. At this time, management is evaluating the implications of ASU 2011-11 and its impact on the fund’s financial statement disclosures.
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. Effective October 10, 2012, the $225 million unsecured credit facility with Citibank, N.A., was decreased to $210 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2012, was approximately $23,000 with a related weighted average annualized interest rate of 1.19%.
50
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, Shareholder Services Plan 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 and 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. During the period ended October 31, 2012, fees reimbursed by the Manager amounted to $21,406.
(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 (securities dealers, financial institutions or other industry professionals) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2012, the fund was charged $1,119,973, pursuant to the Shareholder Services Plan.
The Fund | 51 |
NOTES TO FINANCIAL STATEMENTS (continued)
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $135,271 and Shareholder Services Plan fees $96,622, which are offset against an expense reimbursement currently in effect in the amount of $4,117.
(c) 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.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward contracts and financial futures, during the period ended October 31, 2012, amounted to $49,129,605 and $83,185,421, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2012 is discussed below.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of October 31, 2012 is shown below:
Derivative | Derivative | |||
Assets ($) | Liabilities ($) | |||
Equity risk1 | 14,897 | Equity risk1 | (27,106 | ) |
Foreign exchange risk2 | 61,927 | Foreign exchange risk3 | (100,653 | ) |
Gross fair value of | ||||
derivatives contracts | 76,824 | (127,759 | ) |
Statement of Assets and Liabilities location:
1 | Includes cumulative appreciation (depreciation) on financial futures as reported in the Statement of |
Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets | |
and Liabilities. | |
2 | Unrealized appreciation on forward foreign currency exchange contracts. |
3 | Unrealized depreciation on forward foreign currency exchange contracts. |
52
The effect of derivative instruments in the Statement of Operations during the period ended October 31, 2012 is shown below:
Amount of realized gain or (loss) on derivatives recognized in income ($)
Financial | Forward | ||||
Underlying risk | Futures4 | Contracts5 | Total | ||
Equity | 1,432,052 | — | 1,432,052 | ||
Foreign exchange | — | (15,073 | ) | (15,073 | ) |
Total | 1,432,052 | (15,073 | ) | 1,416,979 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($)
Financial | Forward | |||||
Underlying risk | Futures6 | Contracts7 | Total | |||
Equity | (661,400 | ) | — | (661,400 | ) | |
Foreign exchange | — | (51,342 | ) | (51,342 | ) | |
Total | (661,400 | ) | (51,342 | ) | (712,742 | ) |
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. |
Financial Futures: 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 in order to manage its exposure to or protect against changes in the market.A financial 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 counterparty, which consist of cash or cash equiv-alents.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.When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange’s clearinghouse guarantees
The Fund | 53 |
NOTES TO FINANCIAL STATEMENTS (continued)
the financial futures against default. Financial futures open at October 31, 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 or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments.The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.The following summarizes open forward contracts at October 31, 2012:
Foreign | Unrealized | |||||
Forward Foreign Currency | Currency | Appreciation | ||||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |||
Purchases: | ||||||
Australian Dollar, | ||||||
Expiring: | ||||||
12/19/2012 | a | 136,500 | 139,256 | 141,122 | 1,866 | |
12/19/2012 | b | 659,700 | 687,733 | 682,039 | (5,694 | ) |
12/19/2012 | c | 60,752 | 63,018 | 62,809 | (209 | ) |
12/19/2012 | d | 383,000 | 397,720 | 395,969 | (1,751 | ) |
12/19/2012 | e | 65,065 | 67,488 | 67,268 | (220 | ) |
54
Foreign | Unrealized | |||||
Forward Foreign Currency | Currency | Appreciation | ||||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |||
Purchases: | ||||||
British Pound, | ||||||
Expiring: | ||||||
12/19/2012a | 167,900 | 270,193 | 270,906 | 713 | ||
12/19/2012b | 1,560,600 | 2,515,916 | 2,518,024 | 2,108 | ||
12/19/2012c | 106,941 | 173,567 | 172,549 | (1,018 | ) | |
12/19/2012d | 575,200 | 932,401 | 928,084 | (4,317 | ) | |
12/19/2012e | 116,800 | 187,194 | 188,457 | 1,263 | ||
Euro, | ||||||
Expiring: | ||||||
12/19/2012a | 214,400 | 279,365 | 278,035 | (1,330 | ) | |
12/19/2012b | 1,667,600 | 2,164,863 | 2,162,551 | (2,312 | ) | |
12/19/2012c | 295,823 | 382,310 | 383,625 | 1,315 | ||
12/19/2012d | 778,200 | 1,016,208 | 1,009,173 | (7,035 | ) | |
12/19/2012e | 101,000 | 131,135 | 130,977 | (158 | ) | |
12/19/2012f | 76,000 | 99,274 | 98,557 | (717 | ) | |
Japanese Yen, | ||||||
Expiring: | ||||||
12/19/2012a | 14,345,000 | 181,909 | 179,789 | (2,120 | ) | |
12/19/2012b | 122,694,000 | 1,577,899 | 1,537,750 | (40,149 | ) | |
12/19/2012c | 13,944,800 | 179,777 | 174,773 | (5,004 | ) | |
12/19/2012d | 78,997,364 | 1,007,782 | 990,091 | (17,691 | ) | |
12/19/2012e | 14,780,000 | 189,092 | 185,241 | (3,851 | ) | |
12/19/2012f | 7,520,000 | 94,252 | 94,250 | (2 | ) | |
Sales: | Proceeds($) | |||||
Australian Dollar, | ||||||
Expiring: | ||||||
12/19/2012a | 112,100 | 114,479 | 115,896 | (1,417 | ) | |
12/19/2012b | 624,500 | 647,653 | 645,646 | 2,007 | ||
12/19/2012d | 110,100 | 111,693 | 113,828 | (2,135 | ) | |
British Pound, | ||||||
Expiring: | ||||||
12/19/2012a | 57,600 | 92,324 | 92,937 | (613 | ) | |
12/19/2012b | 1,285,200 | 2,082,750 | 2,073,667 | 9,083 | ||
12/19/2012c | 15,560 | 25,036 | 25,106 | (70 | ) | |
12/19/2012d | 293,000 | 472,039 | 472,755 | (716 | ) |
The Fund | 55 |
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign | Unrealized | |||||
Forward Foreign Currency | Currency | Appreciation | ||||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation)($) | |||
Sales (continued): | ||||||
Euro, | ||||||
Expiring: | ||||||
12/19/2012a | 73,700 | 95,412 | 95,574 | (162 | ) | |
12/19/2012b | 1,514,200 | 1,966,847 | 1,963,621 | 3,226 | ||
12/19/2012d | 318,900 | 412,095 | 413,551 | (1,456 | ) | |
12/19/2012e | 96,743 | 124,951 | 125,457 | (506 | ) | |
12/19/2012f | 24,800 | 32,191 | 32,161 | 30 | ||
Japanese Yen, | ||||||
Expiring: | ||||||
12/19/2012b | 132,372,000 | 1,691,316 | 1,659,046 | 32,270 | ||
12/19/2012d | 25,399,000 | 324,718 | 318,331 | 6,387 | ||
12/19/2012f | 7,150,000 | 91,271 | 89,612 | 1,659 | ||
Gross Unrealized | ||||||
Appreciation | 61,927 | |||||
Gross Unrealized | ||||||
Depreciation | (100,653 | ) |
Counterparties:
a | BNP Paribas |
b | Citigroup |
c | Goldman Sachs |
d | UBS |
e | Westpac Bank |
f | Credit Suisse First Boston |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2012:
Average Market Value ($) | |
Equity financial futures | 8,254,312 |
Forward contracts | 5,981,877 |
At October 31, 2012, the cost of investments for federal income tax purposes was $480,314,050; accordingly, accumulated net unrealized depreciation on investments was $27,867,379, consisting of $75,571,371 gross unrealized appreciation and $103,438,750 gross unrealized depreciation.
56
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors Dreyfus International Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus International Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting.Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2012 by correspondence with the custodian and others.We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York |
December 27, 2012 |
The Fund | 57 |
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2012:
—the total amount of taxes paid to foreign countries was $914,099.
—the total amount of income sourced from foreign countries was $16,315,491.
Where required by federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2012 calendar year with Form 1099-DIV which will be mailed in early 2013. For the fiscal year ended October 31, 2012, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $14,103,072 represents the maximum amount that may be considered qualified dividend income.
58
PROXY RESULTS (Unaudited)
The Company held a special meeting of shareholders on August 3, 2012.The proposal considered at the meeting, and the results, are as follows:
Shares | |||
Votes For | Authority Withheld | ||
To elect additional Board Members: | |||
Lynn Martin† | 55,806,306 | 2,507,179 | |
Robin A. Melvin† | 55,971,347 | 2,342,138 | |
Philip L. Toia† | 55,914,482 | 2,399,003 |
† Each new Board Member’s term commenced on September 1, 2012. |
In addition Peggy C. Davis, Joseph S. DiMartino, David P. Feldman, Ehud Houminer and Dr. Martin Peretz continue |
as Board Members of the Company. |
The Fund | 59 |
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (69) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and busi- |
nesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 157 |
——————— |
Peggy C. Davis (69) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law (1983-present) |
No. of Portfolios for which Board Member Serves: 63 |
——————— |
David P. Feldman (72) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Ehud Houminer (72) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-2012) |
No. of Portfolios for which Board Member Serves: 73 |
60
Lynn Martin (72) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• President of The Martin Hall Group LLC, a human resources consulting firm, from January |
2005-present |
Other Public Company Board Memberships During Past 5Years: |
• AT&T Inc., a telecommunications company, Director (1999-2012) |
• Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012) |
• The Proctor & Gamble Co., a consumer products company, Director (1994-2009) |
• Constellation Energy Group Inc., Director (2003-2009) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Robin A. Melvin (49) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Director, Boisi Family Foundation, a private family foundation that supports youth-serving organi- |
zations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012) |
No. of Portfolios for which Board Member Serves: 83 |
——————— |
Dr. Martin Peretz (73) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Philip L. Toia (79) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Private Investor |
No. of Portfolios for which Board Member Serves: 56 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
The Fund | 61 |
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009; from April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 72 investment companies (comprised of 156 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since February 1988.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Manager since February 1984.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 39 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since February 1991.
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since April 1985.
62
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (73 investment companies, comprised of 183 portfolios). He is 55 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
MATTHEW D. CONNOLLY, Anti-Money Laundering Compliance Officer since April 2012.
Anti-Money Laundering Compliance Officer of the Distributor since October 2011; from March 2010 to September 2011, Global Head, KYC Reviews and Director, UBS Investment Bank; until March 2010,AML Compliance Officer and SeniorVice President, Citi Global Wealth Management. He is an officer of 69 investment companies (comprised of 179 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Distributor since October 2011.
The Fund | 63 |
NOTES
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.
Dreyfus |
S&P 500 |
Index Fund |
ANNUAL REPORT October 31, 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 | Fund Performance |
7 | UnderstandingYour Fund’s Expenses |
7 | ComparingYour Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
25 | Statement of Financial Futures |
26 | Statement of Assets and Liabilities |
27 | Statement of Operations |
28 | Statement of Changes in Net Assets |
29 | Financial Highlights |
30 | Notes to Financial Statements |
42 | Report of Independent Registered Public Accounting Firm |
43 | Important Tax Information |
44 | Proxy Results |
45 | Board Members Information |
47 | Officers of the Fund |
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 annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2011, through October 31, 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.
Despite pronounced stock market weakness during the spring of 2012, stocks generally advanced over the reporting period as investors responded to encouraging macroeconomic developments throughout the world. Employment gains in the United States, credible measures to prevent a more severe banking crisis in Europe, and the likelihood of a “soft landing” for China’s economy buoyed investor sentiment, as did aggressively accommodative monetary policies from central banks in the United States, Europe, Japan and China. Consequently, U.S. stocks across all capitalization ranges posted double-digit returns, on average, for the reporting period.
In light of the easy monetary policies adopted by many countries, we expect global growth to be slightly more robust in 2013 than in 2012.The U.S. economic recovery is likely to persist at subpar levels over the first half of the new year, as growth may remain constrained by uncertainties surrounding fiscal policy and tax reforms. However, successful resolution of the current fiscal debate may prompt corporate decision-makers to increase capital spending, which could have positive implications for the U.S. economy and domestic equity markets.As always, we encourage you to stay in touch with your financial advisor as new developments unfold.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through October 31, 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 12-month period ended October 31, 2012, Dreyfus S&P 500 Index Fund produced a total return of 14.67%.1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, produced a 15.19% return for the same period.2,3
Despite bouts of heightened volatility, U.S. large-cap stocks generally advanced over the reporting period as domestic and global macroeconomic conditions gradually improved.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 Reacted to Shifting Macroeconomic Developments
The reporting period began in the wake of major stock market declines, resulting in attractive valuations across a number of market sectors in November 2011. By the beginning of 2012, U.S. stocks were rallying strongly amid encouraging macroeconomic developments, including domestic employment gains, a quantitative easing program in Europe that forestalled a more severe regional banking crisis, and less restrictive monetary and fiscal policies in China as local inflationary pressures waned. Meanwhile, corporate earnings generally remained strong among major corporations, and many companies had shored up their balance sheets. Consequently, investors grew more tolerant of risks, and were able to focus more on company fundamentals and less on the latest news headlines.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
These positive influences were called into question during the spring, when the U.S. labor market’s rebound slowed, uncertainty intensified regarding the future of U.S. fiscal policy, and measures designed to relieve fiscal pressures in Europe encountered political resistance in some countries.The summer saw the market rally resume amid more encouraging economic news, including a falling U.S. unemployment rate and the apparent start of a recovery in domestic housing markets.As a result, the S&P 500 Index ended the reporting period with solid gains, and all ten of its economic sectors posted positive absolute returns. In addition, large-cap stocks generally produced higher returns than their small- and midcap counterparts.
Financial, Health Care and Technology Stocks Led the Market Higher
The U.S. stock market’s advance was supported by robust returns from the financials sector, which rebounded from relatively depressed levels. Commercial banks reported improved earnings amid reduced regulatory uncertainty, recovering housing markets and higher lending volumes. Insurance companies also fared relatively well due to their ability to bolster revenues through price increases greater than the rate of inflation. In the health care sector, large pharmaceutical developers gained value as they diversified their business lines to cushion the potential impact of expiring patents on blockbuster drugs. In a related development, some biotechnology firms were the targets of acquisition offers from larger drug companies seeking new products, lifting stock prices throughout the industry.
The information technology sector also produced strong relative results, led by the S&P 500 Index’s largest individual component, electronics innovator Apple, which continued to score impressive success with its smartphone and tablet computer products. In addition, a number of large technology providers benefited from a growing presence in the emerging markets, while software and service providers encountered higher levels of domestic consumer spending and increased retail traffic.
The materials sector achieved less robust gains during the reporting period, as iron ore producers and steelmakers were hurt by lower commodity prices stemming from slackening demand for construction materials from China and other emerging markets. Returns from the energy sector were dampened by equipment providers as historically
4
low natural gas prices led to a slowdown in drilling activity. Finally, makers of semiconductors used in televisions, personal computers and industrial applications suffered due to soft economic conditions in key European and Asian markets.
The fund successfully employed stock index futures over the reporting period to increase exposure to large-cap stocks during periods of cash inflows.
Macroeconomic Headwinds Remain
Although we have been encouraged recently by positive U.S. economic developments, we believe that heightened market volatility is likely to persist in the face of ongoing global challenges.We have continued to monitor the fund’s investments in light of current market conditions. In our experience, the fund’s broadly diversified portfolio may help limit the impact on the overall portfolio of unexpected losses in individual sectors or holdings.
November 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 registered trademarks of |
Standard & Poor’s Financial Services LLC, and have been licensed for use on behalf of the fund.The fund is not |
sponsored, managed, advised, sold or promoted by Standard & Poor’s and its affiliates and Standard & Poor’s and its |
affiliates make no representation regarding the advisability of investing in the fund. |
The Fund | 5 |
FUND PERFORMANCE
Average Annual Total Returns as of 10/31/12 | ||||||
1 Year | 5 Years | 10 Years | ||||
Fund | 14.67 | % | –0.07 | % | 6.43 | % |
Standard & Poor’s 500 | ||||||
Composite Stock Price Index | 15.19 | % | 0.36 | % | 6.90 | % |
† Source: Lipper Inc.
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The above graph compares a $10,000 investment made in Dreyfus S&P 500 Index Fund on 10/31/02 to a $10,000 investment made in the Standard & Poor’s 500 Composite Stock Price Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is a widely accepted, unmanaged index of U.S. stock market performance. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from May 1, 2012 to October 31, 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 October 31, 2012
Expenses paid per $1,000† | $ | 2.54 |
Ending value (after expenses) | $ | 1,019.30 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2012
Expenses paid per $1,000† | $ | 2.54 |
Ending value (after expenses) | $ | 1,022.62 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 184/366 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS |
October 31, 2012 |
Common Stocks—99.5% | Shares | Value ($) | ||
Automobiles & Components—.6% | ||||
BorgWarner | 21,120 | a | 1,390,118 | |
Ford Motor | 699,673 | 7,808,351 | ||
Goodyear Tire & Rubber | 43,150 | a | 492,342 | |
Harley-Davidson | 42,291 | 1,977,527 | ||
Johnson Controls | 125,311 | 3,226,758 | ||
14,895,096 | ||||
Banks—2.9% | ||||
BB&T | 128,343 | 3,715,530 | ||
Comerica | 36,592 | 1,090,808 | ||
Fifth Third Bancorp | 164,452 | 2,389,488 | ||
First Horizon National | 50,810 | 473,041 | ||
Hudson City Bancorp | 87,836 | 745,288 | ||
Huntington Bancshares | 151,668 | 969,159 | ||
KeyCorp | 178,069 | 1,499,341 | ||
M&T Bank | 22,214 | 2,312,477 | ||
People’s United Financial | 66,286 | 797,421 | ||
PNC Financial Services Group | 97,115 | 5,651,122 | ||
Regions Financial | 260,144 | 1,696,139 | ||
SunTrust Banks | 99,313 | 2,701,314 | ||
U.S. Bancorp | 346,202 | 11,497,368 | ||
Wells Fargo & Co. | 898,641 | 30,275,215 | ||
Zions Bancorporation | 33,419 | 717,506 | ||
66,531,217 | ||||
Capital Goods—7.6% | ||||
3M | 116,147 | 10,174,477 | ||
Boeing | 123,481 | 8,698,002 | ||
Caterpillar | 119,284 | 10,116,476 | ||
Cooper Industries | 28,844 | 2,161,569 | ||
Cummins | 32,696 | 3,059,692 | ||
Danaher | 107,736 | 5,573,183 | ||
Deere & Co. | 71,371 | 6,097,938 | ||
Dover | 33,448 | 1,947,343 | ||
Eaton | 63,005 b | 2,975,096 | ||
Emerson Electric | 132,586 | 6,421,140 | ||
Fastenal | 49,770 | 2,224,719 | ||
Flowserve | 9,190 | 1,245,153 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Fluor | 30,068 | 1,679,298 | ||
General Dynamics | 61,227 | 4,168,334 | ||
General Electric | 1,932,067 | 40,689,331 | ||
Honeywell International | 142,447 | 8,723,454 | ||
Illinois Tool Works | 79,647 | 4,884,751 | ||
Ingersoll-Rand | 52,900 | 2,487,887 | ||
Jacobs Engineering Group | 22,340 | a | 862,101 | |
Joy Global | 18,859 | 1,177,745 | ||
L-3 Communications Holdings | 18,345 | 1,353,861 | ||
Lockheed Martin | 49,666 | 4,652,214 | ||
Masco | 65,787 | 992,726 | ||
Northrop Grumman | 44,838 | 3,079,922 | ||
PACCAR | 64,819 | 2,809,255 | ||
Pall | 20,536 | 1,292,947 | ||
Parker Hannifin | 27,024 | 2,125,708 | ||
Pentair | 37,512 | 1,584,507 | ||
Precision Castparts | 26,719 | 4,624,257 | ||
Quanta Services | 40,906 | a | 1,060,693 | |
Raytheon | 60,690 | 3,432,626 | ||
Rockwell Automation | 26,194 | 1,861,346 | ||
Rockwell Collins | 25,500 | 1,366,290 | ||
Roper Industries | 17,614 | 1,922,920 | ||
Snap-on | 10,081 | 779,564 | ||
Stanley Black & Decker | 31,113 | 2,156,131 | ||
Textron | 52,664 | 1,327,659 | ||
United Technologies | 153,229 | 11,976,379 | ||
W.W. Grainger | 11,072 | 2,230,012 | ||
Xylem | 33,763 | 819,090 | ||
176,815,796 | ||||
Commercial & Professional Services—.7% | ||||
ADT | 42,900 a | 1,780,779 | ||
Avery Dennison | 19,587 | 634,227 | ||
Cintas | 19,386 | 810,529 | ||
Dun & Bradstreet | 8,292 | 671,984 | ||
Equifax | 22,490 | 1,125,400 | ||
Iron Mountain | 27,856 | 963,818 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Commercial & Professional Services (continued) | ||||
Pitney Bowes | 37,470 | b | 538,069 | |
R.R. Donnelley & Sons | 33,171 | b | 332,373 | |
Republic Services | 55,290 | 1,567,472 | ||
Robert Half International | 28,050 | 754,265 | ||
Stericycle | 15,838 | a | 1,500,809 | |
Tyco International | 83,700 | 2,249,019 | ||
Waste Management | 80,450 | 2,633,933 | ||
15,562,677 | ||||
Consumer Durables & Apparel—1.0% | ||||
Coach | 51,712 | 2,898,458 | ||
D.R. Horton | 48,521 | 1,017,000 | ||
Fossil | 9,547 | a | 831,544 | |
Harman International Industries | 13,432 | 563,204 | ||
Hasbro | 22,154 | b | 797,322 | |
Leggett & Platt | 25,041 | 664,338 | ||
Lennar, Cl. A | 30,981 | b | 1,160,858 | |
Mattel | 62,604 | 2,302,575 | ||
Newell Rubbermaid | 55,553 | 1,146,614 | ||
NIKE, Cl. B | 67,816 | 6,197,026 | ||
PulteGroup | 60,015 | a | 1,040,660 | |
Ralph Lauren | 11,274 | 1,732,701 | ||
VF | 16,075 | 2,515,416 | ||
Whirlpool | 13,383 | 1,307,251 | ||
24,174,967 | ||||
Consumer Services—1.8% | ||||
Apollo Group, Cl. A | 17,675 | a | 354,914 | |
Carnival | 81,099 | 3,072,030 | ||
Chipotle Mexican Grill | 5,679 | a | 1,445,476 | |
Darden Restaurants | 23,707 | b | 1,247,462 | |
H&R Block | 48,006 | 849,706 | ||
International Game Technology | 49,348 | 633,628 | ||
Marriott International, Cl. A | 46,475 | 1,695,408 | ||
McDonald’s | 184,335 | 16,000,278 | ||
Starbucks | 138,684 | 6,365,596 | ||
Starwood Hotels & Resorts Worldwide | 36,160 | c | 1,874,896 | |
Wyndham Worldwide | 26,289 | 1,324,966 |
10
Common Stocks (continued) | Shares | Value ($) | |
Consumer Services (continued) | |||
Wynn Resorts | 14,570 | 1,763,844 | |
Yum! Brands | 83,038 | 5,821,794 | |
42,449,998 | |||
Diversified Financials—6.2% | |||
American Express | 180,088 | 10,079,525 | |
Ameriprise Financial | 38,897 | 2,270,418 | |
Bank of America | 1,970,041 | 18,360,782 | |
Bank of New York Mellon | 215,043 | 5,313,713 | |
BlackRock | 23,512 | 4,459,756 | |
Capital One Financial | 106,949 | 6,435,121 | |
Charles Schwab | 202,090 | 2,744,382 | |
Citigroup | 536,069 | 20,043,620 | |
CME Group | 56,490 | 3,159,486 | |
Discover Financial Services | 95,033 | 3,896,353 | |
E*TRADE Financial | 42,286 | a | 353,511 |
Federated Investors, Cl. B | 17,280 | b | 401,587 |
Franklin Resources | 25,505 | 3,259,539 | |
Goldman Sachs Group | 82,265 | 10,068,413 | |
IntercontinentalExchange | 13,442 | a | 1,760,902 |
Invesco | 82,623 | 2,009,391 | |
JPMorgan Chase & Co. | 694,849 | 28,961,306 | |
Legg Mason | 22,865 | 582,600 | |
Leucadia National | 35,092 | 796,588 | |
Moody’s | 36,551 | 1,760,296 | |
Morgan Stanley | 255,374 | 4,438,400 | |
NASDAQ OMX Group | 23,314 | 555,106 | |
Northern Trust | 40,408 | 1,930,694 | |
NYSE Euronext | 46,928 | 1,161,937 | |
SLM | 84,146 | 1,479,287 | |
State Street | 88,415 | 3,940,657 | |
T. Rowe Price Group | 46,375 | 3,011,592 | |
143,234,962 | |||
Energy—11.2% | |||
Anadarko Petroleum | 91,371 | 6,287,239 | |
Apache | 72,049 | 5,962,055 | |
Baker Hughes | 80,541 | 3,380,306 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Cabot Oil & Gas | 38,446 | 1,806,193 | ||
Cameron International | 45,310 | a | 2,294,498 | |
Chesapeake Energy | 95,996 | b | 1,944,879 | |
Chevron | 359,023 | 39,567,925 | ||
ConocoPhillips | 221,887 | 12,836,163 | ||
CONSOL Energy | 40,833 | 1,435,688 | ||
Denbury Resources | 71,900 | a | 1,102,227 | |
Devon Energy | 69,449 | 4,042,626 | ||
Diamond Offshore Drilling | 12,503 | b | 865,708 | |
Ensco, Cl. A | 42,587 | 2,462,380 | ||
EOG Resources | 49,210 | 5,732,473 | ||
EQT | 27,792 | 1,685,029 | ||
Exxon Mobil | 844,865 | 77,026,342 | ||
FMC Technologies | 44,141 a | 1,805,367 | ||
Halliburton | 169,896 | 5,485,942 | ||
Helmerich & Payne | 19,077 | 911,881 | ||
Hess | 54,819 | 2,864,841 | ||
Kinder Morgan | 115,829 | 4,020,425 | ||
Marathon Oil | 129,218 | 3,884,293 | ||
Marathon Petroleum | 61,987 | 3,404,946 | ||
Murphy Oil | 34,659 | 2,079,540 | ||
Nabors Industries | 54,361 | a | 733,330 | |
National Oilwell Varco | 77,767 | 5,731,428 | ||
Newfield Exploration | 23,525 | a | 637,998 | |
Noble | 45,097 | 1,701,961 | ||
Noble Energy | 32,568 | 3,094,286 | ||
Occidental Petroleum | 147,971 | 11,683,790 | ||
Peabody Energy | 48,931 | 1,365,175 | ||
Phillips 66 | 115,420 | 5,443,207 | ||
Pioneer Natural Resources | 22,444 | 2,371,209 | ||
QEP Resources | 32,621 | 946,009 | ||
Range Resources | 28,835 | 1,884,656 | ||
Rowan Companies, Cl. A | 22,488 | a | 713,094 | |
Schlumberger | 242,586 | 16,867,005 | ||
Southwestern Energy | 62,547 a | 2,170,381 | ||
Spectra Energy | 117,779 | 3,400,280 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Tesoro | 25,125 | 947,464 | ||
Valero Energy | 102,648 | 2,987,057 | ||
Williams | 115,294 | 4,034,137 | ||
WPX Energy | 35,479 | 601,014 | ||
260,202,447 | ||||
Food & Staples Retailing—2.4% | ||||
Costco Wholesale | 79,526 | 7,827,744 | ||
CVS Caremark | 232,360 | 10,781,504 | ||
Kroger | 101,793 | 2,567,219 | ||
Safeway | 44,553 b | 726,659 | ||
Sysco | 106,537 | 3,310,105 | ||
Wal-Mart Stores | 307,355 | 23,057,772 | ||
Walgreen | 156,155 | 5,501,341 | ||
Whole Foods Market | 31,666 | 2,999,720 | ||
56,772,064 | ||||
Food, Beverage & Tobacco—6.1% | ||||
Altria Group | 371,361 | 11,809,280 | ||
Archer-Daniels-Midland | 121,902 | 3,271,850 | ||
Beam | 29,044 | 1,613,685 | ||
Brown-Forman, Cl. B | 28,239 | 1,808,990 | ||
Campbell Soup | 34,033 | b | 1,200,344 | |
Coca-Cola | 708,149 | 26,328,980 | ||
Coca-Cola Enterprises | 51,115 | 1,607,056 | ||
ConAgra Foods | 73,325 | 2,041,368 | ||
Constellation Brands, Cl. A | 27,123 | a | 958,527 | |
Dean Foods | 34,436 a | 579,902 | ||
Dr. Pepper Snapple Group | 37,916 | 1,624,701 | ||
General Mills | 117,852 | 4,723,508 | ||
H.J. Heinz | 59,114 | 3,399,646 | ||
Hershey | 27,432 | 1,888,693 | ||
Hormel Foods | 25,301 | 747,139 | ||
J.M. Smucker | 19,713 | 1,688,221 | ||
Kellogg | 45,578 | 2,384,641 | ||
Kraft Foods Group | 108,084 a | 4,915,660 | ||
Lorillard | 24,332 | 2,822,755 | ||
McCormick & Co. | 23,885 | 1,471,794 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Food, Beverage & Tobacco (continued) | ||||
Mead Johnson Nutrition | 36,977 | 2,280,002 | ||
Molson Coors Brewing, Cl. B | 29,502 | 1,272,716 | ||
Mondelez International, Cl. A | 324,252 | 8,605,648 | ||
Monster Beverage | 28,251 a | 1,261,972 | ||
PepsiCo | 284,552 | 19,702,380 | ||
Philip Morris International | 308,339 | 27,306,502 | ||
Reynolds American | 60,783 | 2,531,004 | ||
Tyson Foods, Cl. A | 52,973 | 890,476 | ||
140,737,440 | ||||
Health Care Equipment & Services—3.8% | ||||
Aetna | 61,685 | 2,695,634 | ||
AmerisourceBergen | 46,394 | 1,829,779 | ||
Baxter International | 99,727 | 6,245,902 | ||
Becton Dickinson & Co. | 36,178 | 2,737,951 | ||
Boston Scientific | 267,703 a | 1,375,993 | ||
C.R. Bard | 14,397 | 1,384,847 | ||
Cardinal Health | 63,493 | 2,611,467 | ||
CareFusion | 39,802 a | 1,057,141 | ||
Cerner | 26,272 a | 2,001,664 | ||
Cigna | 52,344 | 2,669,544 | ||
Coventry Health Care | 24,718 | 1,078,694 | ||
Covidien | 87,998 | 4,835,490 | ||
DaVita HealthCare Partners | 15,720 | a | 1,768,814 | |
DENTSPLY International | 24,840 | 915,106 | ||
Edwards Lifesciences | 21,353 | a | 1,854,081 | |
Express Scripts Holding | 148,495 | a | 9,138,382 | |
Humana | 30,014 | 2,229,140 | ||
Intuitive Surgical | 7,318 | a | 3,967,966 | |
Laboratory Corp. of America Holdings | 17,933 | a | 1,519,463 | |
McKesson | 43,510 | 4,059,918 | ||
Medtronic | 186,130 | 7,739,285 | ||
Patterson | 15,412 | 514,761 | ||
Quest Diagnostics | 28,543 | 1,647,502 | ||
St. Jude Medical | 56,917 | 2,177,644 | ||
Stryker | 53,398 | 2,808,735 | ||
Tenet Healthcare | 19,011 | a | 448,660 | |
UnitedHealth Group | 189,725 | 10,624,600 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care Equipment & | |||
Services (continued) | |||
Varian Medical Systems | 20,036 | a | 1,337,603 |
WellPoint | 60,235 | 3,691,201 | |
Zimmer Holdings | 31,567 | 2,026,917 | |
88,993,884 | |||
Household & Personal Products—2.4% | |||
Avon Products | 77,007 | 1,192,838 | |
Clorox | 24,264 | 1,754,287 | |
Colgate-Palmolive | 81,347 | 8,538,181 | |
Estee Lauder, Cl. A | 44,263 | 2,727,486 | |
Kimberly-Clark | 72,470 | 6,047,621 | |
Procter & Gamble | 503,897 | 34,889,828 | |
55,150,241 | |||
Insurance—3.9% | |||
ACE | 62,400 | 4,907,760 | |
Aflac | 86,082 | 4,285,162 | |
Allstate | 89,457 | 3,576,491 | |
American International Group | 213,605 | a | 7,461,223 |
Aon | 58,491 | 3,155,589 | |
Assurant | 16,179 | 611,728 | |
Berkshire Hathaway, Cl. B | 335,452 | a | 28,966,280 |
Chubb | 48,305 | 3,718,519 | |
Cincinnati Financial | 26,035 | 1,037,234 | |
Genworth Financial, Cl. A | 94,598 | a | 563,804 |
Hartford Financial Services Group | 78,341 | 1,700,783 | |
Lincoln National | 49,946 | 1,238,161 | |
Loews | 56,396 | 2,384,423 | |
Marsh & McLennan | 99,285 | 3,378,669 | |
MetLife | 195,187 | 6,927,187 | |
Principal Financial Group | 51,203 | 1,410,131 | |
Progressive | 103,491 | 2,307,849 | |
Prudential Financial | 84,805 | 4,838,125 | |
Torchmark | 18,549 | 938,394 | |
Travelers | 70,949 | 5,033,122 | |
Unum Group | 53,705 | 1,089,137 | |
XL Group | 57,727 | 1,428,166 | |
90,957,937 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Materials—3.5% | ||||
Air Products & Chemicals | 38,209 | 2,962,344 | ||
Airgas | 13,017 | 1,158,122 | ||
Alcoa | 192,245 | 1,647,540 | ||
Allegheny Technologies | 18,808 | 495,591 | ||
Ball | 28,829 | 1,234,746 | ||
Bemis | 19,779 | 653,696 | ||
CF Industries Holdings | 11,571 | 2,374,253 | ||
Cliffs Natural Resources | 26,122 | b | 947,445 | |
Dow Chemical | 220,369 | 6,456,812 | ||
E.I. du Pont de Nemours & Co. | 169,787 | 7,558,917 | ||
Eastman Chemical | 28,195 | 1,670,272 | ||
Ecolab | 48,615 | 3,383,604 | ||
FMC | 25,364 | 1,357,481 | ||
Freeport-McMoRan Copper & Gold | 174,493 | 6,784,288 | ||
International Flavors & Fragrances | 14,164 | 915,278 | ||
International Paper | 80,009 | 2,866,722 | ||
LyondellBasell Industries, Cl. A | 62,536 | 3,338,797 | ||
MeadWestvaco | 30,975 | 919,648 | ||
Monsanto | 97,515 | 8,393,116 | ||
Mosaic | 50,146 | 2,624,642 | ||
Newmont Mining | 90,790 | 4,952,595 | ||
Nucor | 57,017 | 2,288,092 | ||
Owens-Illinois | 30,119 | a | 587,019 | |
PPG Industries | 28,025 | 3,281,167 | ||
Praxair | 54,536 | 5,792,269 | ||
Sealed Air | 35,307 | 572,680 | ||
Sherwin-Williams | 15,841 | 2,258,610 | ||
Sigma-Aldrich | 22,654 | 1,588,952 | ||
Titanium Metals | 15,856 | b | 185,674 | |
United States Steel | 26,106 b | 532,301 | ||
Vulcan Materials | 23,664 | 1,087,834 | ||
80,870,507 | ||||
Media—3.5% | ||||
Cablevision Systems (NY Group), Cl. A | 40,411 | 703,960 | ||
CBS, Cl. B | 109,896 | 3,560,630 | ||
Comcast, Cl. A | 489,150 | 18,348,017 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Media (continued) | ||||
DIRECTV | 115,883 a | 5,922,780 | ||
Discovery Communications, Cl. A | 45,611 | a | 2,691,961 | |
Gannett | 40,778 | 689,148 | ||
Interpublic Group of Cos. | 77,492 | 782,669 | ||
McGraw-Hill | 51,264 | 2,833,874 | ||
News, Cl. A | 371,619 | 8,889,126 | ||
Omnicom Group | 49,025 | 2,348,788 | ||
Scripps Networks Interactive, Cl. A | 16,539 | 1,004,248 | ||
Time Warner | 173,123 | 7,522,194 | ||
Time Warner Cable | 56,535 | 5,603,184 | ||
Viacom, Cl. B | 87,442 | 4,483,151 | ||
Walt Disney | 327,989 | 16,094,420 | ||
Washington Post, Cl. B | 941 | b | 313,833 | |
81,791,983 | ||||
Pharmaceuticals, Biotech & Life Sciences—8.3% | ||||
Abbott Laboratories | 286,930 | 18,799,654 | ||
Agilent Technologies | 62,883 | 2,263,159 | ||
Alexion Pharmaceuticals | 35,406 | a | 3,199,994 | |
Allergan | 56,689 | 5,097,475 | ||
Amgen | 140,791 | 12,184,757 | ||
Biogen Idec | 43,085 | a | 5,955,209 | |
Bristol-Myers Squibb | 306,588 | 10,194,051 | ||
Celgene | 79,612 a | 5,837,152 | ||
Eli Lilly & Co. | 187,979 | 9,141,419 | ||
Forest Laboratories | 43,195 a | 1,456,103 | ||
Gilead Sciences | 138,100 a | 9,274,796 | ||
Hospira | 29,933 a | 918,644 | ||
Johnson & Johnson | 504,400 | 35,721,608 | ||
Life Technologies | 31,860 a | 1,558,273 | ||
Merck & Co. | 557,024 | 25,417,005 | ||
Mylan | 73,411 a | 1,860,235 | ||
PerkinElmer | 20,343 | 629,209 | ||
Perrigo | 16,222 | 1,865,692 | ||
Pfizer | 1,366,516 | 33,985,253 | ||
Thermo Fisher Scientific | 67,426 | 4,117,032 | ||
Waters | 16,443 a | 1,345,202 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Pharmaceuticals, Biotech & | ||||
Life Sciences (continued) | ||||
Watson Pharmaceuticals | 22,990 | a | 1,975,990 | |
192,797,912 | ||||
Real Estate—2.2% | ||||
American Tower | 72,020 | c | 5,422,386 | |
Apartment Investment & Management, Cl. A | 26,808 | c | 715,506 | |
AvalonBay Communities | 17,871 | c | 2,422,593 | |
Boston Properties | 27,613 | c | 2,935,262 | |
CBRE Group, Cl. A | 53,752 | a | 968,611 | |
Equity Residential | 55,258 | c | 3,172,362 | |
HCP | 79,223 | c | 3,509,579 | |
Health Care REIT | 46,945 | c | 2,789,941 | |
Host Hotels & Resorts | 132,398 | c | 1,914,475 | |
Kimco Realty | 73,713 | c | 1,438,878 | |
Plum Creek Timber | 29,895 | c | 1,312,390 | |
ProLogis | 83,531 | c | 2,864,278 | |
Public Storage | 26,167 | c | 3,627,531 | |
Simon Property Group | 55,353 | c | 8,425,280 | |
Ventas | 54,468 | c | 3,446,190 | |
Vornado Realty Trust | 31,219 | c | 2,504,076 | |
Weyerhaeuser | 96,956 | c | 2,684,712 | |
50,154,050 | ||||
Retailing—4.0% | ||||
Abercrombie & Fitch, Cl. A | 16,123 | 493,041 | ||
Amazon.com | 66,107 | a | 15,391,032 | |
AutoNation | 7,145 | a,b | 317,238 | |
AutoZone | 6,887 | a | 2,582,625 | |
Bed Bath & Beyond | 42,968 | a | 2,478,394 | |
Best Buy | 49,614 | 754,629 | ||
Big Lots | 12,052 | a | 351,075 | |
CarMax | 40,103 | a | 1,353,476 | |
Dollar Tree | 43,232 | a | 1,723,660 | |
Expedia | 17,984 | 1,063,754 | ||
Family Dollar Stores | 17,934 | 1,182,927 | ||
GameStop, Cl. A | 21,251 | b | 485,160 | |
Gap | 55,064 | 1,966,886 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Retailing (continued) | ||||
Genuine Parts | 28,587 | 1,788,974 | ||
Home Depot | 275,542 | 16,912,768 | ||
J.C. Penney | 26,323 | b | 632,015 | |
Kohl’s | 39,848 | 2,123,101 | ||
Limited Brands | 44,646 | 2,138,097 | ||
Lowe’s | 210,494 | 6,815,796 | ||
Macy’s | 72,949 | 2,777,168 | ||
Netflix | 10,196 | a,b | 806,402 | |
Nordstrom | 27,456 | 1,558,677 | ||
O’Reilly Automotive | 21,950 | a | 1,880,676 | |
PetSmart | 19,805 | 1,314,854 | ||
priceline.com | 9,168 | a | 5,260,323 | |
Ross Stores | 40,563 | 2,472,315 | ||
Staples | 128,717 | 1,482,176 | ||
Target | 119,463 | 7,615,766 | ||
Tiffany & Co. | 21,339 | 1,349,052 | ||
TJX | 134,147 | 5,584,540 | ||
TripAdvisor | 17,984 | a | 544,735 | |
Urban Outfitters | 19,231 | a | 687,701 | |
93,889,033 | ||||
Semiconductors & Semiconductor | ||||
Equipment—2.0% | ||||
Advanced Micro Devices | 110,175 | a,b | 225,859 | |
Altera | 57,845 | 1,763,116 | ||
Analog Devices | 55,180 | 2,158,090 | ||
Applied Materials | 228,394 | 2,420,976 | ||
Broadcom, Cl. A | 94,833 | a | 2,990,559 | |
First Solar | 10,675 | a,b | 259,509 | |
Intel | 914,796 | 19,782,463 | ||
KLA-Tencor | 29,810 | 1,386,761 | ||
Lam Research | 33,663 | a | 1,191,670 | |
Linear Technology | 40,484 | 1,265,530 | ||
LSI | 100,482 | a | 688,302 | |
Microchip Technology | 33,824 | b | 1,060,382 | |
Micron Technology | 182,598 | a | 990,594 | |
NVIDIA | 110,722 | a | 1,325,342 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Semiconductors & Semiconductor | ||||
Equipment (continued) | ||||
Teradyne | 35,007 | a | 511,802 | |
Texas Instruments | 207,295 | 5,822,917 | ||
Xilinx | 48,440 | 1,586,894 | ||
45,430,766 | ||||
Software & Services—9.4% | ||||
Accenture, Cl. A | 115,827 | 7,807,898 | ||
Adobe Systems | 89,169 | a | 3,031,746 | |
Akamai Technologies | 32,814 | a | 1,246,604 | |
Autodesk | 41,049 | a | 1,307,000 | |
Automatic Data Processing | 89,298 | 5,160,531 | ||
BMC Software | 27,094 | a | 1,102,726 | |
CA | 63,950 | 1,440,154 | ||
Citrix Systems | 33,913 | a | 2,096,163 | |
Cognizant Technology Solutions, Cl. A | 54,262 | a | 3,616,562 | |
Computer Sciences | 29,363 | 894,103 | ||
eBay | 211,774 | a | 10,226,566 | |
Electronic Arts | 59,282 | a | 732,133 | |
Fidelity National Information Services | 45,349 | 1,490,622 | ||
Fiserv | 24,459 | a | 1,832,957 | |
Google, Cl. A | 48,500 | a | 32,968,845 | |
International Business Machines | 196,551 | 38,235,066 | ||
Intuit | 50,953 | 3,027,627 | ||
MasterCard, Cl. A | 19,588 | 9,028,697 | ||
Microsoft | 1,380,542 | 39,393,766 | ||
Oracle | 696,407 | 21,623,437 | ||
Paychex | 58,642 | 1,901,760 | ||
Red Hat | 35,282 | a | 1,734,816 | |
SAIC | 50,355 | 553,401 | ||
Salesforce.com | 23,610 | a | 3,446,588 | |
Symantec | 130,767 | a | 2,378,652 | |
Teradata | 30,339 | a | 2,072,457 | |
Total System Services | 28,103 | 632,036 | ||
VeriSign | 28,054 | a | 1,039,962 | |
Visa, Cl. A | 95,490 | 13,250,192 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Software & Services (continued) | ||||
Western Union | 111,031 | 1,410,094 | ||
Yahoo! | 192,636 | a | 3,238,211 | |
217,921,372 | ||||
Technology Hardware & | ||||
Equipment—7.7% | ||||
Amphenol, Cl. A | 30,121 | 1,811,176 | ||
Apple | 171,596 | 102,116,780 | ||
Cisco Systems | 967,122 | 16,576,471 | ||
Corning | 276,166 | 3,244,951 | ||
Dell | 263,915 | 2,435,935 | ||
EMC | 383,235 | a | 9,358,599 | |
F5 Networks | 14,796 | a | 1,220,374 | |
FLIR Systems | 29,664 | 576,372 | ||
Harris | 21,250 | 972,825 | ||
Hewlett-Packard | 358,343 | 4,963,051 | ||
Jabil Circuit | 32,358 | 561,088 | ||
JDS Uniphase | 40,459 | a | 392,048 | |
Juniper Networks | 97,886 | a | 1,621,971 | |
Molex | 25,992 | b | 675,012 | |
Motorola Solutions | 51,862 | 2,680,228 | ||
NetApp | 67,662 | a | 1,820,108 | |
QUALCOMM | 311,428 | 18,241,895 | ||
SanDisk | 43,445 | a | 1,814,263 | |
Seagate Technology | 65,275 | 1,783,313 | ||
TE Connectivity | 78,900 | 2,539,002 | ||
Western Digital | 40,015 | 1,369,713 | ||
Xerox | 245,612 | 1,581,741 | ||
178,356,916 | ||||
Telecommunication Services—3.1% | ||||
AT&T | 1,055,547 | 36,511,371 | ||
CenturyLink | 113,302 | 4,348,531 | ||
Crown Castle International | 53,997 | a | 3,604,300 | |
Frontier Communications | 184,604 | b | 871,331 | |
MetroPCS Communications | 58,241 | a | 594,641 | |
Sprint Nextel | 553,365 | a | 3,065,642 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | |
Telecommunication Services (continued) | |||
Verizon Communications | 521,005 | 23,257,663 | |
Windstream | 106,795 | b | 1,018,824 |
73,272,303 | |||
Transportation—1.6% | |||
C.H. Robinson Worldwide | 29,405 | 1,774,004 | |
CSX | 192,742 | 3,945,429 | |
Expeditors International of Washington | 38,012 | 1,391,619 | |
FedEx | 53,917 | 4,959,825 | |
Norfolk Southern | 58,959 | 3,617,135 | |
Ryder System | 9,785 | 441,499 | |
Southwest Airlines | 132,827 | 1,171,534 | |
Union Pacific | 87,104 | 10,716,405 | |
United Parcel Service, Cl. B | 131,222 | 9,612,011 | |
37,629,461 | |||
Utilities—3.6% | |||
AES | 117,122 | 1,223,925 | |
AGL Resources | 21,260 | 868,046 | |
Ameren | 44,379 | 1,459,182 | |
American Electric Power | 88,982 | 3,954,360 | |
CenterPoint Energy | 76,447 | 1,656,606 | |
CMS Energy | 48,846 | 1,187,935 | |
Consolidated Edison | 53,336 | 3,220,428 | |
Dominion Resources | 105,761 | 5,582,066 | |
DTE Energy | 31,673 | 1,966,893 | |
Duke Energy | 129,485 | 8,505,870 | |
Edison International | 58,838 | 2,761,856 | |
Entergy | 32,538 | 2,361,608 | |
Exelon | 156,048 | 5,583,397 | |
FirstEnergy | 76,981 | 3,519,571 | |
Integrys Energy Group | 13,486 | 728,783 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Utilities (continued) | ||||
NextEra Energy | 77,976 | 5,462,999 | ||
NiSource | 51,415 | 1,309,540 | ||
Northeast Utilities | 57,606 | 2,263,916 | ||
NRG Energy | 42,844 | 923,717 | ||
ONEOK | 38,254 | 1,809,414 | ||
Pepco Holdings | 42,315 | b | 840,799 | |
PG&E | 77,834 | 3,309,502 | ||
Pinnacle West Capital | 20,017 | 1,060,300 | ||
PPL | 105,542 | 3,121,932 | ||
Public Service Enterprise Group | 91,685 | 2,937,587 | ||
SCANA | 24,197 | 1,187,589 | ||
Sempra Energy | 41,488 | 2,893,788 | ||
Southern | 160,149 | 7,501,379 | ||
TECO Energy | 37,265 | 665,926 | ||
Wisconsin Energy | 43,306 | 1,665,982 | ||
Xcel Energy | 89,603 | 2,531,285 | ||
84,066,181 | ||||
Total Common Stocks | ||||
(cost $1,294,543,996) | 2,312,659,210 | |||
Principal | ||||
Short-Term Investments—.0% | Amount ($) | Value ($) | ||
U.S. Treasury Bills; | ||||
0.10%, 12/20/12 | ||||
(cost $869,883) | 870,000 | d | 869,884 | |
Other Investment—.5% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $12,331,059) | 12,331,059 | e | 12,331,059 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (continued)
Investment of Cash Collateral | ||||
for Securities Loaned—.6% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $14,944,677) | 14,944,677 | e | 14,944,677 | |
Total Investments (cost $1,322,689,615) | 100.6 | % | 2,340,804,830 | |
Liabilities, Less Cash and Receivables | (.6 | %) | (13,903,852 | ) |
Net Assets | 100.0 | % | 2,326,900,978 |
REIT—Real Estate Investment Trust
a Non-income producing security. |
b Security, or portion thereof, on loan.At October 31, 2012, the value of the fund’s securities on loan was |
$15,819,796 and the value of the collateral held by the fund was $16,088,226, consisting of cash collateral of |
$14,944,677 and U.S. Government & Agency securities valued at $1,143,549. |
c Investment in real estate investment trust. |
d Held by or on behalf of a counterparty for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Energy | 11.2 | Telecommunication Services | 3.1 |
Software & Services | 9.4 | Banks | 2.9 |
Pharmaceuticals, | Food & Staples Retailing | 2.4 | |
Biotech & Life Sciences | 8.3 | Household & Personal Products | 2.4 |
Technology Hardware & Equipment | 7.7 | Real Estate | 2.2 |
Capital Goods | 7.6 | Semiconductors & | |
Diversified Financials | 6.2 | Semiconductor Equipment | 2.0 |
Food, Beverage & Tobacco | 6.1 | Consumer Services | 1.8 |
Retailing | 4.0 | Transportation | 1.6 |
Insurance | 3.9 | Short-Term/Money Market Investments | 1.1 |
Health Care Equipment & Services | 3.8 | Consumer Durables & Apparel | 1.0 |
Utilities | 3.6 | Commercial & Professional Services | .7 |
Materials | 3.5 | Automobiles & Components | .6 |
Media | 3.5 | 100.6 | |
† Based on net assets. | |||
See notes to financial statements. |
24
STATEMENT OF FINANCIAL FUTURES
October 31, 2012
Market Value | Unrealized | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2012 | ($) | |
Financial Futures Long | |||||
Standard & Poor’s 500 E-mini | 225 | 15,826,500 | December 2012 | (379,991 | ) |
See notes to financial statements. |
The Fund | 25 |
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2012
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments (including | |||
securities on loan, valued at $15,819,796)—Note 1(b): | |||
Unaffiliated issuers | 1,295,413,879 | 2,313,529,094 | |
Affiliated issuers | 27,275,736 | 27,275,736 | |
Cash | 2,202,088 | ||
Dividends and securities lending income receivable | 2,747,945 | ||
Receivable for shares of Common Stock subscribed | 488,872 | ||
2,346,243,735 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 990,558 | ||
Liability for securities on loan—Note 1(b) | 14,944,677 | ||
Payable for shares of Common Stock redeemed | 3,398,126 | ||
Payable for futures variation margin—Note 4 | 9,000 | ||
Accrued expenses | 396 | ||
19,342,757 | |||
Net Assets ($) | 2,326,900,978 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 1,297,117,656 | ||
Accumulated undistributed investment income—net | 31,416,211 | ||
Accumulated net realized gain (loss) on investments | (19,368,113 | ) | |
Accumulated net unrealized appreciation (depreciation) | |||
on investments [including ($379,991) net unrealized | |||
(depreciation) on financial futures] | 1,017,735,224 | ||
Net Assets ($) | 2,326,900,978 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 59,469,938 | ||
Net Asset Value, offering and redemption price per share ($) | 39.13 | ||
See notes to financial statements. |
26
STATEMENT OF OPERATIONS
Year Ended October 31, 2012
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $2,888 foreign taxes withheld at source): | ||
Unaffiliated issuers | 50,735,674 | |
Affiliated issuers | 26,551 | |
Income from securities lending—Note 1(b) | 158,818 | |
Interest | 959 | |
Total Income | 50,922,002 | |
Expenses: | ||
Management fee—Note 3(a) | 5,769,159 | |
Shareholder servicing costs—Note 3(b) | 5,769,159 | |
Directors’ fees —Note 3(a,c) | 111,458 | |
Loan commitment fees—Note 2 | 21,854 | |
Interest expense—Note 2 | 235 | |
Total Expenses | 11,671,865 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (111,458 | ) |
Net Expenses | 11,560,407 | |
Investment Income—Net | 39,361,595 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 26,807,851 | |
Net realized gain (loss) on financial futures | 7,337,140 | |
Net Realized Gain (Loss) | 34,144,991 | |
Net unrealized appreciation (depreciation) on investments | 245,390,147 | |
Net unrealized appreciation (depreciation) on financial futures | (3,718,916 | ) |
Net Unrealized Appreciation (Depreciation) | 241,671,231 | |
Net Realized and Unrealized Gain (Loss) on Investments | 275,816,222 | |
Net Increase in Net Assets Resulting from Operations | 315,177,817 | |
See notes to financial statements. |
The Fund | 27 |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2012 | 2011 | |||
Operations ($): | ||||
Investment income—net | 39,361,595 | 36,757,856 | ||
Net realized gain (loss) on investments | 34,144,991 | 9,649,483 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 241,671,231 | 131,088,444 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 315,177,817 | 177,495,783 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (35,011,268 | ) | (34,804,705 | ) |
Net realized gain on investments | (13,904,370 | ) | (51,832,641 | ) |
Total Dividends | (48,915,638 | ) | (86,637,346 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 489,324,679 | 531,886,911 | ||
Dividends reinvested | 47,707,705 | 84,742,937 | ||
Cost of shares redeemed | (706,917,641 | ) | (804,836,248 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (169,885,257 | ) | (188,206,400 | ) |
Total Increase (Decrease) in Net Assets | 96,376,922 | (97,347,963 | ) | |
Net Assets ($): | ||||
Beginning of Period | 2,230,524,056 | 2,327,872,019 | ||
End of Period | 2,326,900,978 | 2,230,524,056 | ||
Undistributed investment income—net | 31,416,211 | 27,402,391 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 13,183,860 | 15,132,550 | ||
Shares issued for dividends reinvested | 1,396,382 | 2,446,143 | ||
Shares redeemed | (19,030,487 | ) | (22,893,993 | ) |
Net Increase (Decrease) in Shares Outstanding | (4,450,245 | ) | (5,315,300 | ) |
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, | ||||||||||
beginning of period | 34.90 | 33.62 | 29.45 | 27.66 | 44.18 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .63 | .55 | .49 | .53 | .66 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 4.38 | 2.00 | 4.19 | 1.93 | (16.51 | ) | ||||
Total from Investment Operations | 5.01 | 2.55 | 4.68 | 2.46 | (15.85 | ) | ||||
Distributions: | ||||||||||
Dividends from | ||||||||||
investment income—net | (.56 | ) | (.51 | ) | (.51 | ) | (.67 | ) | (.67 | ) |
Dividends from net realized | ||||||||||
gain on investments | (.22 | ) | (.76 | ) | — | — | — | |||
Total Distributions | (.78 | ) | (1.27 | ) | (.51 | ) | (.67 | ) | (.67 | ) |
Net asset value, end of period | 39.13 | 34.90 | 33.62 | 29.45 | 27.66 | |||||
Total Return (%) | 14.67 | 7.61 | 16.02 | 9.42 | (36.38 | ) | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .51 | .51 | .51 | .51 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 1.71 | 1.55 | 1.55 | 2.06 | 1.77 | |||||
Portfolio Turnover Rate | 3.20 | 3.38 | 5.45 | 4.36 | 4.95 | |||||
Net Assets, end of period | ||||||||||
($ x 1,000) | 2,326,901 | 2,230,524 | 2,327,872 | 2,238,885 | 2,090,178 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
The Fund | 29 |
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective is to match the performance of the Standard & Poor’s® 500 Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 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.
30
(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 | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value.All 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 Company’s Board of Directors (the “Board”).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.
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 financial futures. 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. Certain factors may be considered when
32
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 October 31, 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 ($) | ||||||
Investments in Securities: | ||||||
Equity Securities— | ||||||
Domestic | ||||||
Common Stocks† | 2,310,196,830 | — | — | 2,310,196,830 | ||
Equity Securities— | ||||||
Foreign | ||||||
Common Stocks† | 2,462,380 | — | — | 2,462,380 | ||
Mutual Funds | 27,275,736 | — | — | 27,275,736 | ||
U.S. Treasury | — | 869,884 | — | 869,884 | ||
Liabilities ($) | ||||||
Other Financial | ||||||
Instruments: | ||||||
Financial Futures†† | (379,991 | ) | — | — | (379,991 | ) |
† See Statement of Investments for additional detailed categorizations. |
†† Amount shown represents unrealized (depreciation) at period end. |
The Fund | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
At October 31, 2012, there were no transfers between Level 1 and Level 2 of the fair value hierarchy.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit. The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2012, The Bank of New York Mellon earned $68,065 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act. Investments
34
in affiliated investment companies for the period ended October 31, 2012 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2011 | Purchases ($) | Sales ($) | 10/31/2012 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred | |||||
Plus Money | |||||
Market | |||||
Fund | 51,146,476 | 235,562,729 | 274,378,146 | 12,331,059 | .5 |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Fund | 32,662,023 | 134,663,895 | 152,381,241 | 14,944,677 | .6 |
Total | 83,808,499 | 370,226,624 | 426,759,387 | 27,275,736 | 1.1 |
(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.
The Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
As of and during the period ended October 31, 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 four-year period ended October 31, 2012 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2012, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $33,262,099, undistributed capital gains $29,872,241 and unrealized appreciation $966,648,982.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2012 and October 31, 2011 were as follows: ordinary income $38,184,950 and $34,804,705 and long-term capital gains $10,730,688 and $51,832,641, respectively.
During the period ended October 31, 2012, as a result of permanent book to tax differences, primarily due to the tax treatment for real estate investment trusts, the fund decreased accumulated undistributed investment income-net by $336,507 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
(f) New Accounting Pronouncement: In December 2011, FASB issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position.They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition,ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting
36
Standards (“IFRS”). ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial statements; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods.At this time, management is evaluating the implications of ASU 2011-11 and its impact on the fund’s financial statement disclosures.
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. Effective October 10, 2012, the $225 million unsecured credit facility with Citibank, N.A., was decreased to $210 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2012, was approximately $19,900 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, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest
The Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
expense, commitment fees on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and 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. During the period ended October 31, 2012, fees reimbursed by the Manager amounted to $111,458.
(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 (securities dealers, financial institutions or other industry professionals) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2012, the fund was charged $5,769,159 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 $501,809 and Shareholder Services Plan fees $501,809, which are offset against an expense reimbursement currently in effect in the amount of $13,060.
(c) 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.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2012, amounted to $72,878,766 and $206,690,799, respectively.
38
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2012 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures in order to manage its exposure to or protect against changes in the market.A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board ofTrade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange’s clearinghouse guarantees the financial futures against default. Financial futures open at October 31, 2012 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2012:
Average Market Value ($) | |
Equity financial futures | 35,689,723 |
At October 31, 2012, the cost of investments for federal income tax purposes was $1,374,155,848; accordingly, accumulated net unrealized appreciation on investments was $966,648,982, consisting of $1,141,697,601 gross unrealized appreciation and $175,048,619 gross unrealized depreciation.
The Fund | 39 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE 5—Pending Legal Matters:
The fund and more than two hundred other entities have been named as defendants in two litigations pending in the U.S. District Court for the Southern District of NewYork (Deutsche BankTrust Co.Americas, et al. v. Adaly Opportunity Fund TD Secs. Inc., et al., No. 11-cv-04784 and Niese, et al. v. AllianceBernstein L.P., et al., No. 11-cv-04538) against shareholders of the Tribune Company who received payment for their shares in June or December 2007, as part of a leveraged buyout of the company (the “LBO”). Approximately one year after the LBO was concluded, the Tribune Company filed for bankruptcy. Thereafter, in approximately June 2011, certain Tribune Company creditors filed dozens of complaints in various courts throughout the country, including complaints in the two actions referred to above, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances” under state law, 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 coordinated pre-trial proceedings in a multi-district litigation in the United States District Court for the Southern District of New York titled In re Tribune Company Fraudulent Conveyance Litigation (S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (WHP) (“Tribune MDL”)).
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 Tribune MDL (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 a Fourth Amended Complaint filed in November 2012,
40
among other claims, the Creditors Committee seeks recovery under the Bankruptcy Code for alleged “fraudulent conveyances” from more than 6,000 Tribune Company shareholders, including the fund, and a defendants class of all shareholders who tendered their Tribune Company stock in the LBO and received more than $1,175 in payments by the Tribune Company. There are 35 other counts in the Fourth Amended Complaint that do not relate to claims against shareholder defendants, but instead are brought against parties directly involved in approval or execution of the leveraged buyout.
On November 6, 2012, a motion to dismiss was filed in the Tribune MDL, which applies to all defendants (including the fund) in cases with Deutsche Bank Trust Company Americas or William A. Niese as the lead plaintiff, including the two cases listed in the first paragraph above. Briefing on this motion is scheduled to be completed in February 2013, with argument scheduled for March 2013. If successful, the motion would dismiss all cases in the Tribune MDL, except the Creditors Committee v. FitzSimons case, in full.
Per order of the Court, the Creditors Committee v. FitzSimons case remains stayed until a decision is rendered on the motion to dismiss in the other cases in the Tribune MDL. No response to that Fourth Amended Complaint is currently required.
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.
The Fund | 41 |
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus S&P 500 Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2012 by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus S&P 500 Index Fund at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 27, 2012
42
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby reports 100% of the ordinary dividends paid during the fiscal year ended October 31, 2012 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2012, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $38,184,950 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2013 of the percentage applicable to the preparation of their 2012 income tax returns.
Also, the fund hereby designates $.1675 per share as a long-term capital gain and $.0504 per share as a short-term capital gain distribution paid on December 28, 2011 and also designates $.0029 per share as a long-term capital gain distribution paid on March 27, 2012.
The Fund | 43 |
PROXY RESULTS (Unaudited)
The Company held a special meeting of shareholders on August 3, 2012.The proposal considered at the meeting, and the results, are as follows:
Shares | |||
Votes For | Authority Withheld | ||
To elect additional Board Members: | |||
Lynn Martin† | 55,806,306 | 2,507,179 | |
Robin A. Melvin† | 55,971,347 | 2,342,138 | |
Philip L. Toia† | 55,914,482 | 2,399,003 |
† Each new Board Member’s term commenced on September 1, 2012. |
In addition Peggy C. Davis, Joseph S. DiMartino, David P. Feldman, Ehud Houminer and Dr. Martin Peretz continue |
as Board Members of the Company. |
44
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (69) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 157 |
——————— |
Peggy C. Davis (69) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law (1983-present) |
No. of Portfolios for which Board Member Serves: 63 |
——————— |
David P. Feldman (72) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Ehud Houminer (72) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-2012) |
No. of Portfolios for which Board Member Serves: 73 |
The Fund | 45 |
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Lynn Martin (72) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• President of The Martin Hall Group LLC, a human resources consulting firm, from January |
2005-present |
Other Public Company Board Memberships During Past 5Years: |
• AT&T Inc., a telecommunications company, Director (1999-2012) |
• Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012) |
• The Proctor & Gamble Co., a consumer products company, Director (1994-2009) |
• Constellation Energy Group Inc., Director (2003-2009) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Robin A. Melvin (49) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Director, Boisi Family Foundation, a private family foundation that supports youth-serving orga- |
nizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012) |
No. of Portfolios for which Board Member Serves: 83 |
——————— |
Dr. Martin Peretz (73) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Philip L. Toia (79) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Private Investor |
No. of Portfolios for which Board Member Serves: 56 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
46
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009; from April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 72 investment companies (comprised of 156 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since February 1988.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Manager since February 1984.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 39 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since February 1991.
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since April 1985.
The Fund | 47 |
OFFICERS OF THE FUND (Unaudited) (continued)
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (73 investment companies, comprised of 183 portfolios). He is 55 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
MATTHEW D. CONNOLLY, Anti-Money Laundering Compliance Officer since April 2012.
Anti-Money Laundering Compliance Officer of the Distributor since October 2011; from March 2010 to September 2011, Global Head, KYC Reviews and Director, UBS Investment Bank; until March 2010,AML Compliance Officer and SeniorVice President, Citi Global Wealth Management. He is an officer of 69 investment companies (comprised of 179 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Distributor since October 2011.
48
For More Information
Ticker Symbol: PEOPX
Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
Dreyfus |
Smallcap |
Stock Index Fund |
ANNUAL REPORT October 31, 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 | Fund Performance |
7 | UnderstandingYour Fund’s Expenses |
7 | ComparingYour Fund’s Expenses With Those of Other Funds |
8 | Statement of Investments |
28 | Statement of Financial Futures |
29 | Statement of Assets and Liabilities |
30 | Statement of Operations |
31 | Statement of Changes in Net Assets |
32 | Financial Highlights |
33 | Notes to Financial Statements |
43 | Report of Independent Registered Public Accounting Firm |
44 | Important Tax Information |
45 | Proxy Results |
46 | Board Members Information |
48 | Officers of the Fund |
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 annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2011, through October 31, 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.
Despite pronounced stock market weakness during the spring of 2012, stocks generally advanced over the reporting period as investors responded to encouraging macroeconomic developments throughout the world. Employment gains in the United States, credible measures to prevent a more severe banking crisis in Europe, and the likelihood of a “soft landing” for China’s economy buoyed investor sentiment, as did aggressively accommodative monetary policies from central banks in the United States, Europe, Japan and China. Consequently, U.S. stocks across all capitalization ranges posted double-digit returns, on average, for the reporting period.
In light of the easy monetary policies adopted by many countries, we expect global growth to be slightly more robust in 2013 than in 2012.The U.S. economic recovery is likely to persist at subpar levels over the first half of the new year, as growth may remain constrained by uncertainties surrounding fiscal policy and tax reforms. However, successful resolution of the current fiscal debate may prompt corporate decision-makers to increase capital spending, which could have positive implications for the U.S. economy and domestic equity markets.As always, we encourage you to stay in touch with your financial advisor as new developments unfold.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 15, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2011, through October 31, 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 12-month period ended October 31, 2012, Dreyfus Smallcap Stock Index Fund produced a total return of 13.24%.1 In comparison, the Standard & Poor’s SmallCap 600 Index (“S&P 600 Index”), the fund’s benchmark, produced a 13.60% total return for the same period.2,3
Despite bouts of heightened volatility, U.S. small-cap stocks generally advanced over the reporting period as domestic and global macroeconomic conditions gradually improved.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 Reacted to Shifting Macroeconomic Developments
The reporting period began in the wake of major stock market declines, resulting in attractive valuations across a number of market sectors and capitalization ranges in November 2011. By the beginning of 2012, U.S. stocks were rallying strongly amid encouraging macroeconomic developments, including domestic employment gains, a quantitative easing program in Europe that forestalled a more severe regional banking crisis, and less restrictive monetary and fiscal policies in China as local inflationary pressures waned. Meanwhile, corporate earnings generally remained strong for most corporations, and many companies had shored up their balance sheets. Consequently, investors grew more tolerant of risks, and were able to focus more on company fundamentals and less on the latest news headlines.
The Fund | 3 |
DISCUSSION OF FUND PERFORMANCE (continued)
These positive influences were called into question during the spring, when the U.S. labor market’s rebound slowed, uncertainty intensified regarding the future of U.S. fiscal policy, and measures designed to relieve fiscal pressures in Europe encountered political resistance in some countries. The summer saw the market rally resume amid more encouraging economic news, including a falling U.S. unemployment rate and the apparent start of a recovery in domestic housing markets.As a result, the S&P 600 Index ended the reporting period with solid gains. Small-cap stocks generally produced higher returns than their midcap counterparts, but they lagged large-cap stocks.
Financial, Consumer Discretionary and Health Care Stocks Led the Small-Cap Market Higher
The small-cap stock market’s advance was supported by robust returns from the financials sector, which rebounded from relatively depressed levels during the reporting period. Real estate investment trusts (REITs) fared especially well as income-oriented investors turned to their high dividend yields in a low interest rate environment. REITs focusing on retail properties and rental apartments also benefited from greater consumer spending and downsizing by an aging U.S. population, respectively. Finally, smaller banks rallied on the strength of higher lending volumes, recovering housing markets, lack of exposure to the European financial crisis, and few regulatory concerns compared to most major banking institutions.
In the consumer discretionary sector, improved consumer spending and confidence proved beneficial to certain retailers, including those in the sporting goods, auto parts, lumber liquidation and office supplies categories. In addition, hotels and other leisure companies encountered recovering demand from more confident consumers. The health care sector climbed as a result of increased mergers-and-acquisitions activity among providers of medical equipment and supplies.
The energy sector ranked as the only segment of the S&P 600 Index to produce negative absolute returns for the reporting period, as oil drillers were undermined by declining oil and gas prices. In addition, the consumer finance industry fared relatively poorly over the reporting period when falling gold prices adversely affected pawn shops
4
and regulatory concerns hurt payday lenders.The for-profit education industry suffered amid greater regulatory scrutiny into their admission practices and graduation rates. Mergers-and-acquisitions activity waned among biotechnology firms, hurting their stock prices.
The fund successfully employed stock index futures over the reporting period to increase exposure to small-cap stocks during periods of cash inflows.
Macroeconomic Headwinds Remain
Although we have been encouraged recently by positive U.S. economic developments, we believe that heightened market volatility is likely to persist in the face of ongoing domestic and global challenges.We have continued to monitor the fund’s investments in light of current market conditions. In our experience, the fund’s broadly diversified portfolio may help limit the impact on the overall portfolio of unexpected losses in individual sectors or holdings.
November 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 |
FUND PERFORMANCE
Average Annual Total Returns as of 10/31/12 | ||||||
1 Year | 5 Years | 10 Years | ||||
Fund | 13.24 | % | 2.39 | % | 9.86 | % |
Standard & Poor’s SmallCap 600 Index | 13.60 | % | 2.49 | % | 10.17 | % |
† Source: Lipper Inc.
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The above graph compares a $10,000 investment made in Dreyfus Smallcap Stock Index Fund on 10/31/02 to a $10,000 investment made in the Standard & Poor’s SmallCap 600 Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses.The Index is a broad-based index and a widely accepted, unmanaged index of overall small-cap stock market performance. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from May 1, 2012 to October 31, 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 October 31, 2012
Expenses paid per $1,000† | $ | 2.52 |
Ending value (after expenses) | $ | 1,006.40 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended October 31, 2012
Expenses paid per $1,000† | $ | 2.54 |
Ending value (after expenses) | $ | 1,022.62 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 184/366 (to reflect the one-half year period). |
The Fund | 7 |
STATEMENT OF INVESTMENTS
October 31, 2012
Common Stocks—98.5% | Shares | Value ($) | ||
Automobiles & Components—.4% | ||||
Drew Industries | 34,192 | a | 1,082,861 | |
Spartan Motors | 84,289 | 396,158 | ||
Standard Motor Products | 53,229 | 999,641 | ||
Superior Industries International | 64,277 | 1,098,494 | ||
Winnebago Industries | 43,391 | a | 546,727 | |
4,123,881 | ||||
Banks—7.3% | ||||
Bank Mutual | 52,675 | 237,564 | ||
Bank of the Ozarks | 52,618 | 1,722,713 | ||
BBCN Bancorp | 175,069 | 2,088,573 | ||
Boston Private Financial Holdings | 187,901 | 1,732,447 | ||
Brookline Bancorp | 130,665 | 1,108,039 | ||
City Holding | 34,277 | b | 1,203,808 | |
Columbia Banking System | 94,081 | 1,666,175 | ||
Community Bank System | 73,402 | 2,025,161 | ||
CVB Financial | 196,482 | 2,125,935 | ||
Dime Community Bancshares | 39,459 | 572,156 | ||
F.N.B | 308,136 | 3,306,299 | ||
First BanCorp | 129,472 | a,b | 548,961 | |
First Commonwealth Financial | 238,126 | 1,559,725 | ||
First Financial Bancorp | 128,613 | 2,019,224 | ||
First Financial Bankshares | 67,081 | b | 2,430,345 | |
First Midwest Bancorp | 183,276 | 2,267,124 | ||
Glacier Bancorp | 144,197 | 2,090,857 | ||
Hanmi Financial | 79,749 | a | 989,685 | |
Home Bancshares | 56,531 | b | 1,958,234 | |
Independent Bank | 47,127 | b | 1,390,718 | |
National Penn Bancshares | 306,263 | 2,734,929 | ||
NBT Bankcorp | 74,121 | b | 1,576,554 | |
Northwest Bancshares | 201,643 | 2,399,552 | ||
Old National Bancorp | 254,066 | 3,117,390 | ||
Oritani Financial | 113,365 | 1,732,217 | ||
PacWest Bancorp | 74,396 | 1,673,910 | ||
Pinnacle Financial Partners | 86,674 | a | 1,694,477 | |
PrivateBancorp | 163,828 | 2,647,460 | ||
Provident Financial Services | 95,144 | 1,427,160 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Banks (continued) | ||||
RLI | 40,295 | 2,747,313 | ||
S&T Bancorp | 49,864 b | 876,110 | ||
Simmons First National, Cl. A | 35,400 | 881,106 | ||
Sterling Bancorp | 92,716 | 885,438 | ||
Susquehanna Bancshares | 445,697 | 4,621,878 | ||
Texas Capital Bancshares | 83,158 | a | 3,947,510 | |
Tompkins Financial | 23,416 | 947,880 | ||
Trustco Bank | 212,764 | 1,187,223 | ||
UMB Financial | 67,627 | 3,011,430 | ||
Umpqua Holdings | 276,459 | 3,342,389 | ||
United Bankshares | 96,162 | b | 2,291,540 | |
United Community Banks | 95,543 | a | 831,224 | |
ViewPoint Financial Group | 70,823 | 1,473,118 | ||
Wilshire Bancorp | 139,791 | a | 910,039 | |
Wintrust Financial | 69,852 | 2,581,031 | ||
82,582,621 | ||||
Capital Goods—10.7% | ||||
A.O. Smith | 90,628 | 5,507,464 | ||
AAON | 42,472 | 891,063 | ||
AAR | 80,184 | 1,209,977 | ||
Actuant, Cl. A | 166,065 | 4,689,676 | ||
Aegion | 91,284 a | 1,686,016 | ||
Aerovironment | 25,492 a | 560,569 | ||
Albany International, Cl. A | 64,852 | 1,424,798 | ||
American Science & Engineering | 24,552 | 1,561,016 | ||
Apogee Enterprises | 54,538 | 1,110,939 | ||
Applied Industrial Technologies | 86,393 | 3,506,692 | ||
Astec Industries | 36,227 a | 1,043,338 | ||
AZZ | 50,962 | 2,009,941 | ||
Barnes Group | 111,423 | 2,549,358 | ||
Belden | 107,868 | 3,861,674 | ||
Brady, Cl. A | 111,396 | 3,426,541 | ||
Briggs & Stratton | 115,710 | b | 2,285,273 | |
Cascade | 18,192 | 1,182,298 | ||
Ceradyne | 59,962 | 2,096,272 | ||
CIRCOR International | 36,637 | 1,263,610 |
The Fund | 9 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Comfort Systems USA | 81,614 | 889,593 | ||
Consolidated Graphics | 27,207 | a | 802,879 | |
Cubic | 41,999 | b | 2,049,551 | |
Curtiss-Wright | 103,890 | 3,207,084 | ||
Dycom Industries | 79,666 | a | 1,134,444 | |
EMCOR Group | 156,695 | 5,039,311 | ||
Encore Wire | 39,583 | 1,221,531 | ||
EnerSys | 115,537 | a | 3,983,716 | |
Engility Holdings | 36,581 | a,b | 695,039 | |
EnPro Industries | 41,678 | a | 1,523,748 | |
ESCO Technologies | 65,163 | 2,439,703 | ||
Federal Signal | 172,382 | a | 994,644 | |
Franklin Electric | 41,186 | 2,386,317 | ||
GenCorp | 157,322 | a,b | 1,387,580 | |
Gibraltar Industries | 76,805 | a | 956,990 | |
Griffon | 71,506 | 725,786 | ||
II-VI | 107,628 | a | 1,776,938 | |
John Bean Technologies | 62,068 | 957,089 | ||
Kaman | 55,156 | 2,051,803 | ||
Kaydon | 75,819 | 1,695,313 | ||
Lindsay | 25,980 | b | 1,984,093 | |
Lydall | 33,250 | a | 429,258 | |
Moog, Cl. A | 105,281 | a | 3,896,450 | |
Mueller Industries | 84,148 | 3,685,682 | ||
National Presto Industries | 8,056 | b | 598,964 | |
NCI Building Systems | 44,187 | a | 495,336 | |
Orbital Sciences | 130,844 | a | 1,753,310 | |
Orion Marine Group | 23,200 | a | 155,208 | |
Powell Industries | 18,807 | a | 748,142 | |
Quanex Building Products | 83,310 | 1,647,039 | ||
Robbins & Myers | 101,573 | 6,021,247 | ||
Simpson Manufacturing | 82,845 | 2,523,459 | ||
Standex International | 24,955 | 1,153,919 | ||
Teledyne Technologies | 82,349 | a | 5,272,806 | |
Tennant | 43,904 | 1,642,888 | ||
Toro | 141,209 | 5,961,844 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Universal Forest Products | 34,644 | 1,333,794 | ||
Vicor | 37,801 | a | 241,170 | |
Watts Water Technologies, Cl. A | 72,038 | 2,898,089 | ||
120,228,272 | ||||
Commercial & Professional Services—3.7% | ||||
ABM Industries | 95,874 | 1,821,606 | ||
CDI | 13,960 | 239,972 | ||
Dolan | 82,924 | a | 383,938 | |
Encore Capital Group | 48,326 | a | 1,401,454 | |
Exponent | 29,920 | a | 1,645,002 | |
G&K Services, Cl. A | 42,098 | 1,357,661 | ||
Geo Group | 124,676 | 3,456,019 | ||
Healthcare Services Group | 133,393 | 3,188,093 | ||
Heidrick & Struggles International | 38,474 | 455,532 | ||
Insperity | 60,207 | 1,572,005 | ||
Interface | 122,546 | 1,753,633 | ||
Kelly Services, Cl. A | 48,724 | 647,542 | ||
Korn/Ferry International | 106,923 | a | 1,431,699 | |
Mobile Mini | 82,212 | a | 1,432,133 | |
Navigant Consulting | 127,617 | a | 1,325,941 | |
On Assignment | 96,489 | a | 1,841,010 | |
Portfolio Recovery Associates | 40,079 | a | 4,194,267 | |
Resources Connection | 99,479 | 1,227,571 | ||
SYKES Enterprises | 104,455 | a | 1,422,677 | |
Tetra Tech | 140,882 | a | 3,654,479 | |
TrueBlue | 96,996 | a | 1,265,798 | |
UniFirst | 35,899 | 2,497,493 | ||
United Stationers | 103,742 | 3,010,593 | ||
Viad | 38,260 | 811,495 | ||
42,037,613 | ||||
Consumer Durables & Apparel—4.5% | ||||
American Greetings, Cl. A | 79,720 | b | 1,368,792 | |
Arctic Cat | 32,539 | a | 1,180,190 | |
Blyth | 25,232 | b | 576,299 | |
Brunswick | 201,219 | 4,746,756 | ||
Callaway Golf | 97,773 | 533,841 |
The Fund | 11 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Durables & Apparel (continued) | ||||
Crocs | 208,072 | a | 2,621,707 | |
Ethan Allen Interiors | 58,758 | b | 1,728,073 | |
Fifth & Pacific | 232,517 | a | 2,553,037 | |
Helen of Troy | 66,418 | a | 2,007,152 | |
Iconix Brand Group | 168,626 | a | 3,121,267 | |
iRobot | 49,862 | a,b | 896,020 | |
JAKKS Pacific | 64,419 | b | 831,649 | |
K-Swiss, Cl. A | 38,118 | a,b | 86,909 | |
La-Z-Boy | 118,817 | a | 1,927,212 | |
M/I Homes | 43,006 | a | 956,884 | |
Maidenform Brands | 51,560 | a | 964,688 | |
Meritage Homes | 59,006 | a | 2,182,042 | |
Movado Group | 40,592 | 1,286,360 | ||
Oxford Industries | 31,942 | 1,772,142 | ||
Perry Ellis International | 24,744 | a | 510,716 | |
Quiksilver | 260,815 | a | 834,608 | |
Ryland Group | 95,387 | 3,230,758 | ||
Skechers USA, Cl. A | 65,685 | a | 1,090,371 | |
Standard Pacific | 188,229 | a,b | 1,298,780 | |
Steven Madden | 83,234 | a | 3,572,403 | |
Sturm Ruger & Co | 41,488 | b | 1,959,478 | |
True Religion Apparel | 64,428 | 1,652,578 | ||
Universal Electronics | 30,673 | a | 526,349 | |
Wolverine World Wide | 105,458 | 4,415,526 | ||
50,432,587 | ||||
Consumer Services—4.0% | ||||
American Public Education | 46,983 | a,b | 1,711,591 | |
Biglari Holdings | 2,550 | a | 901,706 | |
BJ’s Restaurants | 45,968 | a,b | 1,519,242 | |
Boyd Gaming | 125,588 | a,b | 774,878 | |
Buffalo Wild Wings | 37,171 | a,b | 2,823,137 | |
Capella Education | 35,639 | a | 1,112,650 | |
Career Education | 106,256 | a | 361,270 | |
CEC Entertainment | 50,602 | 1,568,662 | ||
Coinstar | 73,997 | a,b | 3,473,419 | |
Corinthian Colleges | 192,110 | a,b | 524,460 | |
Cracker Barrel Old Country Store | 52,634 | 3,350,154 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Services (continued) | ||||
DineEquity | 28,978 | a | 1,816,921 | |
Hillenbrand | 137,666 | 2,818,023 | ||
Interval Leisure Group | 79,095 | 1,507,551 | ||
Jack in the Box | 102,058 | a | 2,654,529 | |
Lincoln Educational Services | 51,385 | 190,638 | ||
Marcus | 58,032 | 632,549 | ||
Marriott Vacations Worldwide | 63,994 | a | 2,517,524 | |
Monarch Casino & Resort | 17,578 a | 160,311 | ||
Multimedia Games | ||||
Holding Company | 75,051 | a | 1,193,311 | |
Papa John’s International | 46,648 | a | 2,487,271 | |
Pinnacle Entertainment | 143,133 | a | 1,826,377 | |
Red Robin Gourmet Burgers | 35,991 | a | 1,202,099 | |
Ruby Tuesday | 146,894 a | 1,060,575 | ||
Ruth’s Hospitality Group | 69,909 | a | 464,895 | |
SHFL entertainment | 146,090 | a | 2,064,252 | |
Sonic | 157,231 a | 1,567,593 | ||
Texas Roadhouse | 134,797 | 2,194,495 | ||
Universal Technical Institute | 60,959 | 781,494 | ||
45,261,577 | ||||
Diversified Financials—2.5% | ||||
Calamos Asset Management, Cl. A | 45,930 | 496,044 | ||
Cash America International | 75,599 | 2,955,165 | ||
EZCORP, Cl. A | 99,992 | a | 1,965,843 | |
Financial Engines | 83,774 | a,b | 2,011,414 | |
First Cash Financial Services | 61,709 | a | 2,755,924 | |
HFF, Cl. A | 66,453 | a | 925,690 | |
Interactive Brokers Group, Cl. A | 108,033 | 1,539,470 | ||
Investment Technology Group | 89,578 | a | 756,038 | |
MarketAxess Holdings | 83,330 | 2,603,229 | ||
Piper Jaffray | 29,132 | a | 782,194 | |
Prospect Capital | 298,061 b | 3,529,042 | ||
Stifel Financial | 113,168 | a | 3,587,426 | |
SWS Group | 69,389 a | 394,823 | ||
Virtus Investment Partners | 13,823 | a,b | 1,327,008 | |
World Acceptance | 33,778 a,b | 2,255,019 | ||
27,884,329 |
The Fund | 13 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Energy—4.0% | ||||
Approach Resources | 67,605 | a,b | 1,665,111 | |
Basic Energy Services | 61,478 | a,b | 638,756 | |
Bristow Group | 84,583 | 4,222,383 | ||
Carrizo Oil & Gas | 81,166 | a | 2,176,872 | |
Cloud Peak Energy | 114,485 | a | 2,415,634 | |
Comstock Resources | 87,454 | a | 1,497,213 | |
Contango Oil & Gas | 34,390 | a | 1,690,612 | |
Exterran Holdings | 141,829 | a | 2,833,743 | |
Geospace Technologies | 28,256 | a | 1,829,011 | |
Gulf Island Fabrication | 30,108 | 714,463 | ||
Gulfport Energy | 103,704 | a | 3,440,899 | |
Hornbeck Offshore Services | 74,032 | a | 2,564,468 | |
ION Geophysical | 304,714 | a | 1,968,452 | |
Lufkin Industries | 69,991 | b | 3,500,250 | |
Matrix Service | 65,606 | a | 688,207 | |
PDC Energy | 61,300 | a | 1,855,551 | |
Penn Virginia | 89,945 | 406,551 | ||
PetroQuest Energy | 105,144 | a,b | 641,378 | |
Pioneer Energy Services | 123,484 | a | 814,994 | |
SEACOR Holdings | 48,562 | a | 4,259,373 | |
Stone Energy | 115,006 | a | 2,712,992 | |
Swift Energy | 97,977 | a | 1,637,196 | |
TETRA Technologies | 178,813 | a | 956,650 | |
45,130,759 | ||||
Food & Staples Retailing—1.1% | ||||
Andersons | 44,059 | 1,730,638 | ||
Casey’s General Stores | 85,735 | 4,419,639 | ||
Nash Finch | 28,940 | 556,516 | ||
Spartan Stores | 55,528 | 797,382 | ||
United Natural Foods | 102,555 | a | 5,460,028 | |
12,964,203 | ||||
Food, Beverage & Tobacco—2.6% | ||||
Alliance One International | 154,713 | a | 470,328 | |
B&G Foods | 103,208 | 3,124,106 | ||
Boston Beer, Cl. A | 21,713 | a,b | 2,335,885 | |
Cal-Maine Foods | 29,253 | b | 1,261,682 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Food, Beverage & Tobacco (continued) | ||||
Calavo Growers | 25,423 | b | 600,237 | |
Darling International | 268,335 | a | 4,435,578 | |
Diamond Foods | 43,906 | b | 813,139 | |
Hain Celestial Group | 94,650 | a | 5,470,770 | |
J&J Snack Foods | 32,700 | 1,872,729 | ||
Sanderson Farms | 39,564 | 1,791,854 | ||
Seneca Foods, Cl. A | 20,597 | a | 588,765 | |
Snyders-Lance | 91,597 | 2,321,068 | ||
TreeHouse Foods | 76,911 | a | 4,118,584 | |
29,204,725 | ||||
Health Care Equipment & Services—7.1% | ||||
Abaxis | 43,744 | a | 1,608,904 | |
Air Methods | 22,525 | a | 2,469,416 | |
Align Technology | 149,880 | a | 3,983,810 | |
Almost Family | 20,005 | a | 414,704 | |
Amedisys | 52,896 | a,b | 583,972 | |
AMN Healthcare Services | 54,350 | a | 539,152 | |
AmSurg | 78,542 | a | 2,240,018 | |
Analogic | 31,671 | 2,332,886 | ||
Bio-Reference Labs | 55,850 | a,b | 1,550,396 | |
Cantel Medical | 50,595 | 1,315,976 | ||
Centene | 112,302 | a | 4,265,230 | |
Chemed | 47,576 | 3,199,486 | ||
Computer Programs & Systems | 18,947 | 924,803 | ||
CONMED | 77,646 | 2,147,688 | ||
CorVel | 18,192 | a | 773,706 | |
Cross Country Healthcare | 71,128 | a | 312,963 | |
CryoLife | 117,742 | 728,823 | ||
Cyberonics | 59,025 | a | 2,729,906 | |
Ensign Group | 25,389 | 740,343 | ||
Gentiva Health Services | 55,975 | a | 526,165 | |
Greatbatch | 69,251 | a | 1,522,137 | |
Haemonetics | 61,186 | a | 4,998,896 | |
Hanger | 67,804 | a | 1,718,831 | |
HealthStream | 44,056 | a | 1,125,190 | |
Healthways | 75,293 | a | 732,601 |
The Fund | 15 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care Equipment & Services (continued) | ||||
ICU Medical | 31,890 | a | 1,892,034 | |
Integra LifeSciences Holdings | 51,539 | a | 1,971,367 | |
Invacare | 90,409 | 1,234,083 | ||
IPC The Hospitalist | 28,880 | a | 996,071 | |
Kindred Healthcare | 96,310 | a | 943,838 | |
Landauer | 16,638 | b | 964,172 | |
LHC Group | 35,571 | a | 623,204 | |
Magellan Health Services | 66,512 | a | 3,335,577 | |
Medidata Solutions | 49,925 | a | 2,097,849 | |
Meridian Bioscience | 77,987 | 1,540,243 | ||
Merit Medical Systems | 75,147 | a | 1,085,123 | |
Molina Healthcare | 63,892 | a | 1,601,772 | |
MWI Veterinary Supply | 24,132 | a | 2,534,343 | |
Natus Medical | 61,408 | a | 693,910 | |
Neogen | 44,575 | a | 1,907,364 | |
NuVasive | 82,986 | a | 1,196,658 | |
Omnicell | 75,893 | a | 1,106,520 | |
Palomar Medical Technologies | 27,654 | a | 238,654 | |
PharMerica | 80,886 | a | 988,427 | |
PSS World Medical | 106,821 | a | 3,057,217 | |
Quality Systems | 84,599 | b | 1,476,253 | |
SurModics | 25,403 | a | 456,746 | |
Symmetry Medical | 86,143 | a | 789,070 | |
West Pharmaceutical Services | 79,881 | 4,303,189 | ||
80,519,686 | ||||
Household & Personal Products—.6% | ||||
Central Garden & Pet, Cl. A | 124,624 | a | 1,404,513 | |
Inter Parfums | 35,136 | 641,583 | ||
Medifast | 43,955 | a,b | 1,121,732 | |
Prestige Brands Holdings | 96,638 | a | 1,680,535 | |
WD-40 | 35,334 | b | 1,691,085 | |
6,539,448 | ||||
Insurance—2.2% | ||||
AMERISAFE | 38,602 | a | 1,013,303 | |
eHealth | 60,882 | a | 1,321,139 | |
Employers Holdings | 61,224 | 1,117,338 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Insurance (continued) | ||||
Horace Mann Educators | 90,463 | 1,737,794 | ||
Infinity Property & Casualty | 27,991 | 1,598,566 | ||
Meadowbrook Insurance Group | 114,665 | 644,417 | ||
National Financial Partners | 103,295 | a,b | 1,895,463 | |
Navigators Group | 27,164 a | 1,441,865 | ||
Presidential Life | 45,610 | b | 637,628 | |
ProAssurance | 68,633 | 6,135,790 | ||
Safety Insurance Group | 28,970 | 1,342,760 | ||
Selective Insurance Group | 108,384 | 2,004,020 | ||
Stewart Information Services | 58,941 | b | 1,374,504 | |
Tower Group | 83,113 | 1,497,696 | ||
United Fire Group | 44,689 | 1,062,258 | ||
24,824,541 | ||||
Materials—6.0% | ||||
A. Schulman | 69,849 | 1,792,325 | ||
A.M. Castle & Co. | 32,272 a,b | 392,105 | ||
AK Steel Holding | 235,148 b | 1,185,146 | ||
AMCOL International | 48,698 | 1,537,883 | ||
American Vanguard | 47,724 | 1,705,179 | ||
Balchem | 57,370 | 1,998,197 | ||
Buckeye Technologies | 98,074 | 2,569,539 | ||
Calgon Carbon | 107,351 | a | 1,330,079 | |
Century Aluminum | 139,770 | a | 999,356 | |
Clearwater Paper | 47,598 a | 1,882,025 | ||
Deltic Timber | 19,414 | 1,317,434 | ||
Eagle Materials | 97,441 | 5,161,450 | ||
Glatfelter | 95,424 | 1,699,501 | ||
Globe Specialty Metals | 135,173 | 2,031,650 | ||
H.B. Fuller | 103,071 | 3,133,358 | ||
Hawkins | 19,754 b | 772,381 | ||
Haynes International | 28,237 | 1,431,051 | ||
Headwaters | 128,136 a | 921,298 | ||
Innophos Holdings | 48,682 | 2,319,697 | ||
Kaiser Aluminum | 39,449 | 2,389,820 | ||
KapStone Paper and Packaging | 87,960 | a | 1,932,481 | |
Koppers Holdings | 48,875 | 1,744,838 |
The Fund | 17 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Kraton Performance Polymers | 68,680 | a | 1,498,598 | |
LSB Industries | 48,120 | a | 1,937,792 | |
Materion | 52,121 | 1,091,935 | ||
Myers Industries | 93,098 | 1,380,643 | ||
Neenah Paper | 43,859 | 1,135,948 | ||
Olympic Steel | 22,802 | 410,436 | ||
OM Group | 68,380 | a | 1,383,327 | |
PolyOne | 192,877 | 3,651,162 | ||
Quaker Chemical | 28,901 | 1,531,464 | ||
RTI International Metals | 64,780 | a | 1,476,336 | |
Schweitzer-Mauduit International | 80,124 | 2,806,744 | ||
Stepan | 18,655 | 1,787,149 | ||
SunCoke Energy | 154,906 | a | 2,489,339 | |
Texas Industries | 54,053 | a,b | 2,331,306 | |
Tredegar | 46,188 | 783,810 | ||
Wausau Paper | 99,415 | 822,162 | ||
Zep | 49,942 | b | 715,669 | |
67,480,613 | ||||
Media—.6% | ||||
Arbitron | 67,570 | 2,456,845 | ||
Digital Generation | 40,838 | a,b | 379,793 | |
E.W. Scripps, Cl. A | 81,503 | a | 864,747 | |
Harte-Hanks | 94,389 | 525,747 | ||
Live Nation | 329,170 | a | 3,011,906 | |
7,239,038 | ||||
Pharmaceuticals, Biotech & | ||||
Life Sciences—3.2% | ||||
Acorda Therapeutics | 89,362 | a | 2,140,220 | |
Affymetrix | 167,431 | a,b | 530,756 | |
Akorn | 151,939 | a | 1,824,787 | |
ArQule | 98,879 | a | 248,186 | |
Cambrex | 82,427 | a | 995,718 | |
Cubist Pharmaceuticals | 134,326 | a | 5,762,585 | |
Emergent BioSolutions | 53,750 | a | 714,338 | |
Enzo Biochem | 76,337 | a | 152,674 | |
Hi-Tech Pharmacal | 17,970 | a | 563,360 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Pharmaceuticals, Biotech & | ||||
Life Sciences (continued) | ||||
Luminex | 85,692 | a | 1,377,927 | |
Medicines | 125,947 | a | 2,760,758 | |
Momenta Pharmaceuticals | 100,470 | a,b | 1,273,960 | |
PAREXEL International | 138,734 | a | 4,257,746 | |
Questcor Pharmaceuticals | 139,730 | b | 3,560,320 | |
Salix Pharmaceuticals | 114,329 | a | 4,463,404 | |
Spectrum Pharmaceuticals | 114,974 | a,b | 1,283,110 | |
ViroPharma | 160,387 | a | 4,049,772 | |
35,959,621 | ||||
Real Estate—8.4% | ||||
Acadia Realty Trust | 98,831 | c | 2,537,980 | |
Cedar Realty Trust | 117,318 | c | 620,612 | |
Colonial Properties Trust | 203,555 | c | 4,402,895 | |
Cousins Properties | 241,669 | c | 2,032,436 | |
DiamondRock Hospitality | 421,585 | c | 3,575,041 | |
EastGroup Properties | 57,521 | c | 2,994,543 | |
Entertainment Properties Trust | 111,547 | c | 4,958,264 | |
Extra Space Storage | 219,903 | c | 7,584,455 | |
Forestar Group | 86,174 | a | 1,379,646 | |
Franklin Street Properties | 163,753 | c | 1,868,422 | |
Getty Realty | 60,721 | b,c | 1,111,802 | |
Government Properties Income Trust | 96,238 | b,c | 2,135,521 | |
Healthcare Realty Trust | 174,061 | c | 4,088,693 | |
Inland Real Estate | 187,826 | c | 1,534,538 | |
Kilroy Realty | 156,328 | c | 6,942,526 | |
Kite Realty Group Trust | 184,967 | c | 1,011,769 | |
LaSalle Hotel Properties | 204,697 | c | 4,900,446 | |
Lexington Realty Trust | 362,446 | b,c | 3,439,613 | |
LTC Properties | 64,594 | c | 2,132,248 | |
Medical Properties Trust | 285,539 | c | 3,277,988 | |
Mid-America Apartment Communities | 87,807 | c | 5,681,991 | |
Parkway Properties | 55,873 | c | 769,371 | |
Pennsylvania Real Estate Investment Trust | 134,683 | c | 2,226,310 | |
Post Properties | 125,377 | c | 6,119,651 | |
PS Business Parks | 45,955 | c | 2,947,094 |
The Fund | 19 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Real Estate (continued) | ||||
Sabra Healthcare REIT | 80,067 | c | 1,779,089 | |
Saul Centers | 19,393 | c | 839,135 | |
Sovran Self Storage | 64,282 | c | 3,715,500 | |
Tanger Factory Outlet Centers | 197,175 | c | 6,205,097 | |
Universal Health Realty Income Trust | 27,265 | c | 1,347,982 | |
Urstadt Biddle Properties, Cl. A | 59,422 | c | 1,125,453 | |
95,286,111 | ||||
Retailing—5.5% | ||||
Big 5 Sporting Goods | 46,114 | 411,798 | ||
Blue Nile | 28,738 | a,b | 1,085,434 | |
Brown Shoe | 82,224 | 1,297,495 | ||
Buckle | 60,171 | 2,717,924 | ||
Cato, Cl. A | 68,122 | 1,933,302 | ||
Children’s Place Retail Stores | 57,271 | a | 3,346,345 | |
Christopher & Banks | 79,127 | a | 246,876 | |
Finish Line, Cl. A | 117,208 | 2,438,512 | ||
Fred’s, Cl. A | 85,599 | 1,159,866 | ||
Genesco | 54,750 | a | 3,137,175 | |
Group 1 Automotive | 49,532 | b | 3,071,479 | |
Haverty Furniture | 28,942 | 434,419 | ||
Hibbett Sports | 64,051 | a | 3,458,114 | |
Hot Topic | 97,740 | 840,564 | ||
JOS. A. Bank Clothiers | 54,235 | a | 2,537,656 | |
Kirkland’s | 33,038 | a | 316,834 | |
Lithia Motors, Cl. A | 44,011 | 1,505,176 | ||
Lumber Liquidators Holdings | 60,574 | a,b | 3,381,241 | |
MarineMax | 45,416 | a | 373,774 | |
Men’s Wearhouse | 113,950 | 3,736,421 | ||
Monro Muffler Brake | 68,014 | b | 2,307,035 | |
NutriSystem | 69,598 | b | 670,229 | |
OfficeMax | 152,121 | 1,118,089 | ||
PEP Boys-Manny Moe & Jack | 116,891 | b | 1,167,741 | |
PetMed Express | 49,956 | b | 544,520 | |
Pool | 107,916 | 4,545,422 | ||
Rue21 | 34,618 | a,b | 1,042,348 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Retailing (continued) | ||||
Select Comfort | 123,426 | a | 3,434,946 | |
Sonic Automotive, Cl. A | 82,396 | 1,598,482 | ||
Stage Stores | 75,269 | 1,844,091 | ||
Stein Mart | 53,935 | a | 423,929 | |
Tuesday Morning | 107,609 | a | 642,426 | |
Vitamin Shoppe | 65,418 | a | 3,744,526 | |
VOXX International | 48,992 | a | 304,730 | |
Zale | 60,203 | a | 432,258 | |
Zumiez | 49,385 | a,b | 1,249,934 | |
62,501,111 | ||||
Semiconductors & Semiconductor | ||||
Equipment—4.7% | ||||
Advanced Energy Industries | 73,524 | a | 868,318 | |
ATMI | 84,720 | a | 1,673,220 | |
Brooks Automation | 152,803 | 1,103,238 | ||
Cabot Microelectronics | 54,929 | 1,636,884 | ||
Ceva | 59,795 | a | 905,894 | |
Cirrus Logic | 140,710 | a | 5,735,340 | |
Coherent | 52,816 | a | 2,411,050 | |
Cohu | 46,209 | 406,639 | ||
Cymer | 63,183 | a | 5,035,053 | |
Diodes | 74,566 | a | 1,130,421 | |
DSP Group | 61,946 | a | 340,703 | |
Entropic Communications | 229,214 | a,b | 1,102,519 | |
Exar | 73,738 | a | 630,460 | |
GT Advanced Technologies | 271,748 | a,b | 1,179,386 | |
Hittite Microwave | 56,422 | a | 3,195,742 | |
Kopin | 154,486 | a | 580,867 | |
Kulicke & Soffa Industries | 191,971 | a | 1,969,622 | |
Micrel | 130,523 | 1,264,768 | ||
Microsemi | 189,851 | a | 3,645,139 | |
MKS Instruments | 123,669 | 2,922,298 | ||
Monolithic Power Systems | 71,226 | a | 1,383,921 | |
Nanometrics | 37,448 | a | 515,284 | |
Pericom Semiconductor | 59,007 | a | 456,124 |
The Fund | 21 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Semiconductors & Semiconductor | ||||
Equipment (continued) | ||||
Power Integrations | 62,683 | 1,854,163 | ||
Rubicon Technology | 23,377 | a,b | 203,146 | |
Rudolph Technologies | 87,315 | a | 830,366 | |
Sigma Designs | 82,778 | a | 491,701 | |
STR Holdings | 91,120 | a,b | 195,908 | |
Supertex | 18,652 | a | 356,440 | |
Tessera Technologies | 120,287 | 1,704,467 | ||
TriQuint Semiconductor | 340,245 | a | 1,599,152 | |
Ultratech | 55,116 | a | 1,703,636 | |
Veeco Instruments | 82,738 | a,b | 2,540,057 | |
Volterra Semiconductor | 59,970 | a | 1,089,655 | |
52,661,581 | ||||
Software & Services—7.2% | ||||
Blackbaud | 90,103 | 2,141,748 | ||
Blucora | 87,988 | a | 1,544,189 | |
Bottomline Technologies | 72,167 | a | 1,688,708 | |
CACI International, Cl. A | 55,581 | a,b | 2,802,950 | |
Cardtronics | 85,927 | a | 2,441,186 | |
CIBER | 177,403 | a | 553,497 | |
CommVault Systems | 95,309 | a | 5,953,953 | |
comScore | 57,357 | a | 812,749 | |
CSG Systems International | 90,957 | a | 1,874,624 | |
DealerTrack Holdings | 86,353 | a | 2,360,028 | |
Dice Holdings | 123,211 | a,b | 1,087,953 | |
Digital River | 94,559 | a | 1,355,976 | |
Ebix | 81,229 | b | 1,769,980 | |
EPIQ Systems | 74,058 | 904,248 | ||
ExlService Holdings | 56,505 | a | 1,674,808 | |
Forrester Research | 31,469 | 910,713 | ||
Heartland Payment Systems | 92,524 | 2,413,026 | ||
Higher One Holdings | 59,248 | a,b | 748,302 | |
iGATE | 73,292 | a | 1,176,337 | |
Interactive Intelligence Group | 27,739 | a | 879,604 | |
j2 Global | 99,621 | b | 2,992,615 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Software & Services (continued) | ||||
JDA Software Group | 98,728 | a | 3,765,486 | |
Liquidity Services | 46,551 | a | 1,919,298 | |
LivePerson | 97,299 | a | 1,526,621 | |
LogMeIn | 44,876 | a | 1,107,540 | |
Manhattan Associates | 49,699 | a | 2,981,940 | |
MAXIMUS | 81,150 | 4,477,857 | ||
MicroStrategy, Cl. A | 18,979 | a | 1,792,946 | |
Monotype Imaging Holdings | 75,966 | 1,163,039 | ||
NCI, Cl. A | 14,934 | a,b | 83,929 | |
NetScout Systems | 82,282 | a | 2,034,834 | |
OpenTable | 51,494 | a,b | 2,418,673 | |
Opnet Technologies | 31,907 | b | 1,353,814 | |
Perficient | 67,178 | a | 763,814 | |
Progress Software | 142,093 | a | 2,802,074 | |
QuinStreet | 58,354 | a,b | 357,126 | |
Sourcefire | 63,869 | a | 2,732,955 | |
Stamps.com | 28,963 | a | 797,062 | |
Synchronoss Technologies | 59,538 | a | 1,219,934 | |
Take-Two Interactive Software | 184,004 | a | 2,051,645 | |
TeleTech Holdings | 74,350 | a | 1,252,054 | |
Tyler Technologies | 64,930 | a | 3,104,303 | |
United Online | 202,857 | 1,087,314 | ||
VASCO Data Security International | 64,015 | a | 453,226 | |
Virtusa | 33,896 | a | 581,655 | |
Websense | 105,612 | a | 1,396,191 | |
XO Group | 56,476 | a | 454,632 | |
81,767,156 | ||||
Technology Hardware & | ||||
Equipment—6.0% | ||||
3D Systems | 100,445 | a,b | 4,369,358 | |
Agilysys | 56,250 | a,b | 459,563 | |
Anixter International | 63,065 | 3,696,870 | ||
Arris Group | 258,333 | a | 3,549,495 | |
Avid Technology | 57,943 | a | 340,125 | |
Badger Meter | 32,008 | 1,371,223 |
The Fund | 23 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Technology Hardware & | ||||
Equipment (continued) | ||||
Bel Fuse, Cl. B | 27,512 | 455,599 | ||
Benchmark Electronics | 116,662 | a | 1,728,931 | |
Black Box | 34,697 | 760,558 | ||
Checkpoint Systems | 82,131 | a | 666,904 | |
Cognex | 88,573 | 3,229,372 | ||
Comtech Telecommunications | 53,484 | 1,346,192 | ||
CTS | 90,241 | 747,196 | ||
Daktronics | 92,118 | 807,875 | ||
Digi International | 54,924 | a | 517,384 | |
DTS | 40,920 | a | 858,502 | |
Electro Scientific Industries | 58,052 | 619,995 | ||
FARO Technologies | 31,222 | a | 1,255,124 | |
FEI | 84,303 | 4,640,880 | ||
Harmonic | 288,578 | a | 1,252,429 | |
Insight Enterprises | 114,107 | a | 1,845,110 | |
Intermec | 98,729 | a | 669,383 | |
Intevac | 49,429 | a | 247,145 | |
Littelfuse | 50,406 | 2,701,762 | ||
Measurement Specialties | 32,837 | a | 1,070,815 | |
Mercury Computer Systems | 68,529 | a | 561,595 | |
Methode Electronics | 105,986 | 1,072,578 | ||
MTS Systems | 35,026 | 1,765,661 | ||
NETGEAR | 84,529 | a | 3,001,625 | |
Newport | 92,000 | a | 995,440 | |
Novatel Wireless | 71,100 | a | 117,315 | |
Oplink Communications | 41,051 | a | 610,018 | |
OSI Systems | 42,753 | a | 3,388,175 | |
Park Electrochemical | 51,185 | 1,270,412 | ||
PC-Tel | 37,611 | 245,224 | ||
Plexus | 81,270 | a | 2,186,976 | |
Radisys | 59,131 | a | 167,932 |
24
Common Stocks (continued) | Shares | Value ($) | ||
Technology Hardware & | ||||
Equipment (continued) | ||||
Rofin-Sinar Technologies | 65,333 | a | 1,189,714 | |
Rogers | 37,148 | a | 1,464,003 | |
ScanSource | 51,569 | a | 1,508,393 | |
Super Micro Computer | 50,528 | a | 399,676 | |
Symmetricom | 111,780 | a | 687,447 | |
Synaptics | 74,971 | a,b | 1,736,328 | |
SYNNEX | 63,986 | a | 2,072,507 | |
TTM Technologies | 103,029 | a | 927,261 | |
ViaSat | 84,994 | a,b | 3,301,167 | |
67,877,237 | ||||
Telecommunication | ||||
Services—.5% | ||||
Atlantic Tele-Network | 18,694 | 774,679 | ||
Cbeyond | 58,985 | a | 451,825 | |
Cincinnati Bell | 369,153 | a | 1,923,287 | |
General Communication, Cl. A | 93,140 | a | 814,044 | |
Lumos Networks | 30,404 | 239,279 | ||
Neutral Tandem | 83,526 | 385,890 | ||
NTELOS Holdings | 30,404 | 463,661 | ||
USA Mobility | 63,385 | 700,404 | ||
5,753,069 | ||||
Transportation—1.6% | ||||
Allegiant Travel | 31,317 | a | 2,277,999 | |
Arkansas Best | 64,001 | 515,208 | ||
Forward Air | 75,016 | 2,503,284 | ||
Heartland Express | 116,072 | 1,619,204 | ||
Hub Group, Cl. A | 74,305 | a | 2,304,198 | |
Knight Transportation | 127,037 | 1,920,799 | ||
Old Dominion Freight Line | 152,559 | a | 5,116,829 | |
SkyWest | 116,730 | 1,278,194 | ||
17,535,715 |
The Fund | 25 |
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Utilities—4.1% | ||||
Allete | 82,943 | 3,452,088 | ||
American States Water | 44,552 | 1,961,179 | ||
Avista | 122,327 | 3,109,552 | ||
CH Energy Group | 38,408 | b | 2,497,672 | |
El Paso Electric | 94,718 | 3,219,465 | ||
Laclede Group | 52,551 | 2,188,224 | ||
New Jersey Resources | 84,292 | 3,747,622 | ||
Northwest Natural Gas | 60,465 | 2,813,436 | ||
NorthWestern | 87,901 | 3,147,735 | ||
Piedmont Natural Gas | 147,365 | 4,696,523 | ||
South Jersey Industries | 60,848 | 3,078,300 | ||
Southwest Gas | 104,773 | 4,554,482 | ||
UIL Holdings | 103,003 | 3,725,619 | ||
UNS Energy | 82,319 | 3,510,082 | ||
45,701,979 | ||||
Total Common Stocks | ||||
(cost $922,404,528) | 1,111,497,473 | |||
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills; | ||||
0.10%, 12/20/12 | ||||
(cost $934,869) | 935,000 | d | 934,876 | |
Other Investment—1.3% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $14,458,071) | 14,458,071 | e | 14,458,071 |
26
Investment of Cash Collateral | ||||
for Securities Loaned—8.3% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $93,317,744) | 93,317,744 | e | 93,317,744 | |
Total Investments (cost $1,031,115,212) | 108.2 | % | 1,220,208,164 | |
Liabilities, Less Cash and Receivables | (8.2 | %) | (92,278,133 | ) |
Net Assets | 100.0 | % | 1,127,930,031 |
REIT—Real Estate Investment Trust
a Non-income producing security. |
b Security, or portion thereof, on loan.At October 31, 2012, the value of the fund’s securities on loan was |
$93,607,518 and the value of the collateral held by the fund was $95,441,687, consisting of cash collateral of |
$93,317,744 and U.S. Government and Agency securities valued at $2,123,943. |
c Investment in real estate investment trust. |
d Held by or on behalf of a counterparty for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Capital Goods | 10.7 | Energy | 4.0 |
Short-Term/ | Commercial & Professional Services | 3.7 | |
Money Market Investments | 9.7 | Pharmaceuticals, | |
Real Estate | 8.4 | Biotech & Life Sciences | 3.2 |
Banks | 7.3 | Food, Beverage & Tobacco | 2.6 |
Software & Services | 7.2 | Diversified Financials | 2.5 |
Health Care Equipment & Services | 7.1 | Insurance | 2.2 |
Materials | 6.0 | Transportation | 1.6 |
Technology Hardware & Equipment | 6.0 | Food & Staples Retailing | 1.1 |
Retailing | 5.5 | Media | .6 |
Semiconductors & | Household & Personal Products | .6 | |
Semiconductor Equipment | 4.7 | Telecommunication Services | .5 |
Consumer Durables & Apparel | 4.5 | Automobiles & Components | .4 |
Utilities | 4.1 | ||
Consumer Services | 4.0 | 108.2 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund | 27 |
STATEMENT OF FINANCIAL FUTURES
October 31, 2012
Market Value | Unrealized | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 10/31/2012 | ($) | |
Financial Futures Long | |||||
Russell 2000 Mini | 187 | 15,264,810 | December 2012 | (353,360 | ) |
See notes to financial statements. |
28
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2012
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $93,607,518)—Note 1(b): | ||
Unaffiliated issuers | 923,339,397 | 1,112,432,349 |
Affiliated issuers | 107,775,815 | 107,775,815 |
Cash | 3,237,312 | |
Receivable for shares of Common Stock subscribed | 927,995 | |
Dividends and securities lending income receivable | 657,052 | |
Receivable for futures variation margin—Note 4 | 90,264 | |
Receivable for investment securities sold | 65,305 | |
1,225,186,092 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3 (b) | 473,511 | |
Liability for securities on loan—Note 1(b) | 93,317,744 | |
Payable for investment securities purchased | 2,175,655 | |
Payable for shares of Common Stock redeemed | 1,288,960 | |
Accrued expenses | 191 | |
97,256,061 | ||
Net Assets ($) | 1,127,930,031 | |
Composition of Net Assets ($): | ||
Paid-in capital | 911,136,393 | |
Accumulated undistributed investment income—net | 8,698,697 | |
Accumulated net realized gain (loss) on investments | 19,355,349 | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments [including ($353,360) net unrealized | ||
(depreciation) on financial futures] | 188,739,592 | |
Net Assets ($) | 1,127,930,031 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 51,379,164 | |
Net Asset Value, offering and redemption price per share ($) | 21.95 | |
See notes to financial statements. |
The Fund | 29 |
STATEMENT OF OPERATIONS
Year Ended October 31, 2012
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 15,125,947 | |
Affiliated issuers | 9,409 | |
Income from securities lending—Note 1(b) | 919,898 | |
Interest | 651 | |
Total Income | 16,055,905 | |
Expenses: | ||
Management fee—Note 3(a) | 2,736,705 | |
Shareholder servicing costs—Note 3(b) | 2,736,705 | |
Directors’ fees —Note 3(a,c) | 53,111 | |
Loan commitment fees—Note 2 | 10,368 | |
Total Expenses | 5,536,889 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (53,111 | ) |
Net Expenses | 5,483,778 | |
Investment Income—Net | 10,572,127 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 30,412,534 | |
Net realized gain (loss) on financial futures | 2,080,978 | |
Net Realized Gain (Loss) | 32,493,512 | |
Net unrealized appreciation (depreciation) on investments | 89,470,436 | |
Net unrealized appreciation (depreciation) on financial futures | (1,501,128 | ) |
Net Unrealized Appreciation (Depreciation) | 87,969,308 | |
Net Realized and Unrealized Gain (Loss) on Investments | 120,462,820 | |
Net Increase in Net Assets Resulting from Operations | 131,034,947 | |
See notes to financial statements. |
30
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2012 | 2011 | |||
Operations ($): | ||||
Investment income—net | 10,572,127 | 7,571,495 | ||
Net realized gain (loss) on investments | 32,493,512 | 34,205,799 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 87,969,308 | 64,210,755 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 131,034,947 | 105,988,049 | ||
Dividends to Shareholders from ($): | ||||
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 ($): | ||||
Net proceeds from shares sold | 367,884,451 | 427,754,804 | ||
Dividends reinvested | 40,209,530 | 28,316,048 | ||
Cost of shares redeemed | (395,072,263 | ) | (509,615,242 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 13,021,718 | (53,544,390 | ) | |
Total Increase (Decrease) in Net Assets | 102,273,438 | 22,956,814 | ||
Net Assets ($): | ||||
Beginning of Period | 1,025,656,593 | 1,002,699,779 | ||
End of Period | 1,127,930,031 | 1,025,656,593 | ||
Undistributed investment income—net | 8,698,697 | 3,543,854 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 17,292,143 | 20,720,978 | ||
Shares issued for dividends reinvested | 2,043,682 | 1,370,453 | ||
Shares redeemed | (18,694,097 | ) | (24,634,466 | ) |
Net Increase (Decrease) in Shares Outstanding | 641,728 | (2,543,035 | ) | |
See notes to financial statements. |
The Fund | 31 |
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 20.21 | 18.82 | 15.04 | 15.71 | 25.45 | |||||
Investment Operations: | ||||||||||
Investment income—neta | .20 | .14 | .11 | .15 | .22 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 2.39 | 1.80 | 3.80 | .45 | (7.85 | ) | ||||
Total from Investment Operations | 2.59 | 1.94 | 3.91 | .60 | (7.63 | ) | ||||
Distributions: | ||||||||||
Dividends from | ||||||||||
investment income—net | (.11 | ) | (.16 | ) | (.13 | ) | (.23 | ) | (.15 | ) |
Dividends from net realized | ||||||||||
gain on investments | (.74 | ) | (.39 | ) | — | (1.04 | ) | (1.96 | ) | |
Total Distributions | (.85 | ) | (.55 | ) | (.13 | ) | (1.27 | ) | (2.11 | ) |
Net asset value, end of period | 21.95 | 20.21 | 18.82 | 15.04 | 15.71 | |||||
Total Return (%) | 13.24 | 10.29 | 26.08 | 5.43 | (32.21 | ) | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .51 | .51 | .51 | .51 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment income | ||||||||||
to average net assets | .97 | .68 | .65 | 1.11 | 1.09 | |||||
Portfolio Turnover Rate | 14.64 | 22.25 | 20.72 | 25.48 | 31.84 | |||||
Net Assets, end of period | ||||||||||
($ x 1,000) | 1,127,930 | 1,025,657 | 1,002,700 | 804,184 | 734,645 | |||||
a Based on average shares outstanding at each month end. | ||||||||||
See notes to financial statements. |
32
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to match the performance of the Standard & Poor’s® SmallCap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of NewYork Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 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 | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing
34
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 Company’s Board of Directors (the “Board”).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.
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 financial futures. 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. 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
The Fund | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
sold, and public trading in similar securities of the issuer or comparable issuers.These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.These securities are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 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 ($) | ||||||
Investments in Securities: | ||||||
Equity Securities— | ||||||
Domestic | ||||||
Common | ||||||
Stocks† | 1,111,497,473 | — | — | 1,111,497,473 | ||
Mutual Funds | 107,775,815 | — | — | 107,775,815 | ||
U.S. Treasury | — | 934,876 | — | 934,876 | ||
Liabilities ($) | ||||||
Other Financial | ||||||
Instruments: | ||||||
Financial Futures†† | (353,360 | ) | — | — | (353,360 | ) |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized (depreciation) at period end. |
36
At October 31, 2012, there were no transfers between Level 1 and Level 2 of the fair value hierarchy.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2012,The Bank of New York Mellon earned $306,633 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act. Investments
The Fund | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
in affiliated investment companies for the period ended October 31, 2012 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2011 ($) | Purchases ($) | Sales ($) | 10/31/2012( $) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred | |||||
Plus Money | |||||
Market | |||||
Fund | 10,549,280 | 190,311,917 | 186,403,126 | 14,458,071 | 1.3 |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Fund | — | 334,200,106 | 240,882,362 | 93,317,744 | 8.3 |
Total | 10,549,280 | 524,512,023 | 427,285,488 | 107,775,815 | 9.6 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 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.
38
Each of the tax years in the four-year period ended October 31, 2012 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2012, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $10,446,016, undistributed captain gains $30,280,675 and unrealized appreciation $176,066,947.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2012 and October 31, 2011 were as follows: ordinary income $11,863,852 and $8,350,465 and long-term capital gains $29,919,375 and $21,136,380, respectively.
(f) New Accounting Pronouncement: In December 2011, FASB issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position.They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition,ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”).ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial statements; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. At this time, management is evaluating the implications of ASU 2011-11 and its impact on the fund’s financial statement disclosures.
The Fund | 39 |
NOTES TO FINANCIAL STATEMENTS (continued)
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. Effective October 10, 2012, the $225 million unsecured credit facility with Citibank, N.A., was decreased to $210 million. 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 October 31, 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, Shareholder Services Plan 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 and 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. During the period ended October 31, 2012, fees reimbursed by the Manager amounted to $53,111.
(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
40
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 (securities dealers, financial institutions or other industry professionals) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2012, the fund was charged $2,736,705 pursuant to the Shareholder Services Plan.
The components of “Due toThe Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $239,778 and Shareholder Services Plan fees $239,778, which are offset against an expense reimbursement currently in effect in the amount of $6,045.
(c) 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.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2012, amounted to $158,531,139 and $179,728,328, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2012 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments.The fund invests in financial futures in order to manage its exposure to or
The Fund | 41 |
NOTES TO FINANCIAL STATEMENTS (continued)
protect against changes in the market.A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations.When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange’s clearinghouse guarantees the financial futures against default. Financial futures open at October 31, 2012 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2012:
Average Market Value ($) | |
Equity financial futures | 12,884,642 |
At October 31, 2012, the cost of investments for federal income tax purposes was $1,044,141,217; accordingly, accumulated net unrealized appreciation on investments was $176,066,947, consisting of $288,992,286 gross unrealized appreciation and $112,925,339 gross unrealized depreciation.
42
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Smallcap Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus Smallcap Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2012 by correspondence with the custodian and others.We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Smallcap Stock Index Fund at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York |
December 27, 2012 |
The Fund | 43 |
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby reports 92.83% of the ordinary dividends paid during the fiscal year ended October 31, 2012 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2012, certain dividends paid by the Fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $7,077,270 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2013 of the percentage applicable to the preparation of their 2012 income tax returns.Also, the fund hereby designates $.6021 per share as a long-term capital gain and $.1309 per share as a short-term capital gain distribution paid on December 28, 2011 and also designates $.0051 per share as a long-term capital gain distribution paid on March 27, 2012.
44
PROXY RESULTS (Unaudited)
The Company held a special meeting of shareholders on August 3, 2012.The proposal considered at the meeting, and the results, are as follows:
Shares | |||
Votes For | Authority Withheld | ||
To elect additional Board Members: | |||
Lynn Martin† | 55,806,306 | 2,507,179 | |
Robin A. Melvin† | 55,971,347 | 2,342,138 | |
Philip L. Toia† | 55,914,482 | 2,399,003 |
† Each new Board Member’s term commenced on September 1, 2012. |
In addition Peggy C. Davis, Joseph S. DiMartino, David P. Feldman, Ehud Houminer and Dr. Martin Peretz continue |
as Board Members of the Company. |
The Fund | 45 |
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (69) |
Chairman of the Board (1995) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small |
and medium size companies, Director (1997-present) |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director (2005-2009) |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director (2000-2010) |
No. of Portfolios for which Board Member Serves: 157 |
——————— |
Peggy C. Davis (69) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Shad Professor of Law, New York University School of Law (1983-present) |
No. of Portfolios for which Board Member Serves: 63 |
——————— |
David P. Feldman (72) |
Board Member (1989) |
Principal Occupation During Past 5Years: |
• Corporate Director and Trustee |
Other Public Company Board Memberships During Past 5Years: |
• BBH Mutual Funds Group (4 registered mutual funds), Director (1992-present) |
• QMed, Inc. a healthcare company, Director (1999-2007) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Ehud Houminer (72) |
Board Member (1996) |
Principal Occupation During Past 5Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University (1992-present) |
Other Public Company Board Memberships During Past 5Years: |
• Avnet Inc., an electronics distributor, Director (1993-2012) |
No. of Portfolios for which Board Member Serves: 73 |
46
Lynn Martin (72) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• President of The Martin Hall Group LLC, a human resources consulting firm, from January |
2005-present |
Other Public Company Board Memberships During Past 5Years: |
• AT&T Inc., a telecommunications company, Director (1999-2012) |
• Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012) |
• The Proctor & Gamble Co., a consumer products company, Director (1994-2009) |
• Constellation Energy Group Inc., Director (2003-2009) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Robin A. Melvin (49) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Director, Boisi Family Foundation, a private family foundation that supports youth-serving orga- |
nizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012) |
No. of Portfolios for which Board Member Serves: 83 |
——————— |
Dr. Martin Peretz (73) |
Board Member (2006) |
Principal Occupation During Past 5Years: |
• Editor-in-Chief Emeritus of The New Republic Magazine (2010-present) (previously, |
Editor-in-Chief, 1974-2010) |
• Director of TheStreet.com, a financial information service on the web (1996-present) |
No. of Portfolios for which Board Member Serves: 46 |
——————— |
Philip L. Toia (79) |
Board Member (2012) |
Principal Occupation During Past 5Years: |
• Private Investor |
No. of Portfolios for which Board Member Serves: 56 |
——————— |
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Gloria Messinger, Emeritus Board Member
The Fund | 47 |
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009; from April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 72 investment companies (comprised of 156 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since February 1988.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Manager since February 1984.
KIESHA ASTWOOD, Vice President and Assistant Secretary since January 2010.
Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 39 years old and has been an employee of the Manager since July 1995.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon and Secretary of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Senior Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since February 1991.
ROBERT R. MULLERY, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since May 1986.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since April 1985.
48
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 73 investment companies (comprised of 183 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (73 investment companies, comprised of 183 portfolios). He is 55 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
MATTHEW D. CONNOLLY, Anti-Money Laundering Compliance Officer since April 2012.
Anti-Money Laundering Compliance Officer of the Distributor since October 2011; from March 2010 to September 2011, Global Head, KYC Reviews and Director, UBS Investment Bank; until March 2010,AML Compliance Officer and SeniorVice President, Citi Global Wealth Management. He is an officer of 69 investment companies (comprised of 179 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Distributor since October 2011.
The Fund | 49 |
For More Information
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.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). David P. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $101,544 in 2011 and $103,338 in 2012.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $18,000 in 2011 and $18,000 in 2012. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2011 and $0 in 2012.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $23,422 in 2011 and $30,188 in 2012. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2011 and $0 in 2012.
3
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $1,393 in 2011 and $3,907 in 2012. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2011 and $200,000 in 2012.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note: None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $18,299,198 in 2011 and $47,346,640 in 2012.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY, beginning with reports for periods ended on and after December 31, 2005]
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
4
Not applicable. [CLOSED-END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
5
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: | December 19, 2012 |
| |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. | |
| |
By: /s/ Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: | December 19, 2012 |
| |
By: /s/ James Windels | |
James Windels, Treasurer
| |
Date: | December 19, 2012 |
|
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)