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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| John Pak, 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: | 4 /30 /2014 |
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Dreyfus International
Stock Index Fund
SEMIANNUAL REPORT April 30, 2014
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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.
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Contents | |
THE FUND | |
2 | A Letter from the President |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
36 | Statement of Financial Futures |
37 | Statement of Assets and Liabilities |
38 | Statement of Operations |
39 | Statement of Changes in Net Assets |
40 | Financial Highlights |
41 | Notes to Financial Statements |
56 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus International
Stock Index Fund
The Fund
A LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2013, through April 30, 2014. 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.
The mild gains produced by most broad measures of international equity performance over the reporting period masked what we believe to be a major change in market leadership. Over the reporting period’s first half, relatively speculative, growth-oriented companies gained value in response to reports of accelerating economic growth in the United States and Europe. However, more disappointing economic data, several geopolitical crises, and persistent weakness in the world’s emerging markets weighed on investor sentiment over the reporting period’s second half, causing growth-oriented stocks to fall out of favor. Instead, investors preferred the stocks of value-oriented companies that tend to fare relatively well under a variety of economic climates.
We believe that the global economic recovery is likely to persist, led by the more developed markets. However, we may see stark differences in the investment prospects of individual countries, industry groups, and companies depending on their underlying fundamentals. In our judgment, extensive and professional research may be the best way to identify the likely winners and losers. As always, we encourage you to discuss our observations and appropriate investment strategies with your financial advisor.
Thank you for your continued confidence and support.
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J. Charles Cardona
President
The Dreyfus Corporation
May 15, 2014
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2013, through April 30, 2014, as provided by Thomas J. Durante, CFA, Karen Q.Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended April 30, 2014, Dreyfus International Stock Index Fund produced a total return of 4.34%.1 This compares with a 4.44% total return for the fund’s benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East Index (the “MSCI EAFE® Index”), during the same period.2
Improving economic conditions in the world’s more developed markets helped support moderate gains in international stock markets for the reporting period overall. The difference in returns between the fund and the MSCI EAFE® Index was primarily the result of transaction costs and operating expenses that are not reflected in the MSCI EAFE® Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the MSCI EAFE® Index, a broadly diversified, international index composed of approximately 1,000 companies located in developed markets outside the United States and Canada. To pursue its goal, the fund is generally fully invested in stocks included in the MSCI EAFE® Index. The fund’s investments are selected to match the benchmark composition along individual name, country, and industry weighting, and other benchmark characteristics. Under these circumstances, the fund maintains approximately the same weighting for each stock as the MSCI EAFE® Index does.
The fund employed futures contracts and currency forward contracts during the reporting period in its efforts to replicate the returns of the MSCI EAFE® Index.
Recovering European Economy Fueled Markets’ Gains
Investors in the world’s more developed markets generally responded positively to improving global economic conditions over the reporting period.After several years of economic weakness in Europe, investors have warmed to the equity markets’ opportunities as growth picked up in core countries, such as Germany, France, and
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
Switzerland. Moreover, long-awaited signs of recovery emerged in some of Europe’s peripheral economies, including Spain and Italy. In the United Kingdom, investor sentiment improved and stocks rallied when employment trends strengthened and economic growth proved more robust than expected. Meanwhile, the gradual U.S. economic recovery continued as employment data improved despite the dampening effects of harsh winter weather.
However, the Japanese stock market pulled back during the reporting period as it digested earlier gains stemming from aggressively stimulative monetary and fiscal policies. Investors in Japan also responded cautiously to the potentially dampening effects of an increase in the nation’s value added tax. With some exceptions, the world’s emerging markets generally struggled due to sluggish growth trends, rising geopolitical tensions, and weakening currency values.
Market Leadership Shifted to More Defensive Stocks
In this environment, the MSCI EAFE® Index advanced moderately over the reporting period despite experiencing a sharp sell-off in January 2014.The rally was paced by U.K. and European stocks, while markets in the Pacific Rim generally declined. Smaller and lower quality stocks outperformed market averages in the first three months of the reporting period but lagged over the final three months when market leadership shifted from smaller, economically sensitive growth stocks toward large, high-quality, globally dominant companies with consistent earnings under a variety of economic conditions. From a market sector perspective, the consumer discretionary sector trailed during the reporting period after leading the market higher for much of 2013, while the health care, energy, and financials sectors were among the reporting period’s top performers.
In the health care sector, investors throughout the world responded positively when a number of large pharmaceutical developers repositioned themselves strategically through the sales and purchases of various business units. New product launches and robust research-and-development activity also helped drive earnings of drug companies higher, while greater immunization activity in the emerging markets is expected to support future sales.
4
The energy sector also fared well despite range-bound oil prices as many companies reduced their capital expenditures in order to boost earnings. Among financial companies, banks in several markets experienced a solid increase in fee revenues while controlling costs effectively, and U.K. financial institutions benefited from wider profit margins in a more robust housing market recovery.
Although disappointments proved relatively mild over the reporting period, the industrials sector was undermined to a degree by weakness among Japanese automakers that encountered weaker sales domestically, in the United States, and in China. In addition, some Japanese carmakers suffered through production disruptions inThailand due to local political unrest.
Replicating the Performance of the MSCI EAFE Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that economic growth in developed markets and some emerging markets showed signs by the end of the reporting period of renewed strength. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2014
Equity funds are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund’s performance will be influenced by political, social, and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability, and differing auditing and legal standards.
1 Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future |
results. Share price, yield, and investment return fluctuate such that upon redemption, fund shares may be worth more |
or less than their original cost. |
2 SOURCE: LIPPER INC. — Reflects reinvestment of net dividends and, where applicable, capital gain |
distributions.The Morgan Stanley Capital International Europe,Australasia, Far East (MSCI EAFE) Index is an |
unmanaged index composed of a sample of companies representative of the market structure of European and Pacific |
Basin countries.The index reflects actual investable opportunities for global investors for stocks that are free of foreign |
ownership limits or legal restrictions at the country level. Investors cannot invest directly in any index. |
The Fund 5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from November 1, 2013 to April 30, 2014. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2014
Expenses paid per $1,000† | $ | 3.04 |
Ending value (after expenses) | $ | 1,043.40 |
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 April 30, 2014
Expenses paid per $1,000† | $ | 3.01 |
Ending value (after expenses) | $ | 1,021.82 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2014 (Unaudited)
Common Stocks—97.1% | Shares | Value ($) | |
Australia—7.8% | |||
AGL Energy | 22,251 | 325,983 | |
ALS | 15,390 | 107,229 | |
Alumina | 112,290 | a | 140,828 |
Amcor | 48,684 | 465,389 | |
AMP | 118,818 | 557,427 | |
APA Group | 35,806 | 221,536 | |
Asciano | 38,402 | 193,004 | |
ASX | 7,859 | 259,477 | |
Aurizon Holdings | 81,648 | 392,907 | |
Australia & New Zealand Banking Group | 112,867 | 3,614,286 | |
Bank of Queensland | 14,039 | 159,897 | |
Bendigo and Adelaide Bank | 17,917 | 191,582 | |
BHP Billiton | 132,019 | 4,629,857 | |
Boral | 34,041 | 179,940 | |
Brambles | 62,869 | 550,760 | |
Caltex Australia | 5,098 | 105,471 | |
CFS Retail Property Trust Group | 87,781 | 163,912 | |
Coca-Cola Amatil | 22,927 | 197,017 | |
Cochlear | 2,549 | 138,979 | |
Commonwealth Bank of Australia | 66,254 | 4,856,275 | |
Computershare | 20,349 | 233,466 | |
Crown | 16,028 | 238,835 | |
CSL | 20,134 | 1,279,944 | |
Dexus Property Group | 238,060 | 251,013 | |
Echo Entertainment Group | 30,084 | 78,813 | |
Federation Centres | 64,376 | 148,915 | |
Flight Centre Travel Group | 2,140 | 106,858 | |
Fortescue Metals Group | 62,569 | 293,538 | |
Goodman Group | 68,804 | 318,315 | |
GPT Group | 71,651 | 260,929 | |
Harvey Norman Holdings | 21,349 | 65,053 | |
Iluka Resources | 16,289 | 134,527 | |
Incitec Pivot | 64,208 | 171,789 | |
Insurance Australia Group | 96,381 | 513,946 | |
James Hardie Industries-CDI | 18,114 | 230,878 | |
Leighton Holdings | 7,421 | 131,539 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Australia (continued) | |||
Lend Lease Group | 22,150 | 266,476 | |
Macquarie Group | 11,662 | 625,119 | |
Metcash | 34,689 | 89,588 | |
Mirvac Group | 148,466 | 241,368 | |
National Australia Bank | 96,677 | 3,170,385 | |
Newcrest Mining | 32,706 | 317,814 | |
Orica | 14,736 | a | 299,394 |
Origin Energy | 44,358 | 614,006 | |
Qantas Airways | 41,721 | a | 47,286 |
QBE Insurance Group | 51,232 | 551,143 | |
Ramsay Health Care | 5,278 | 219,714 | |
REA Group | 2,402 | 104,365 | |
Rio Tinto | 17,659 | 1,012,198 | |
Santos | 39,029 | 498,545 | |
Seek | 13,527 | 210,113 | |
Sonic Healthcare | 16,149 | 265,542 | |
SP AusNet | 72,030 | 93,682 | |
Stockland | 92,696 | 334,985 | |
Suncorp Group | 52,007 | 629,053 | |
Sydney Airport | 41,632 | 163,213 | |
Tabcorp Holdings | 33,277 | 115,001 | |
Tatts Group | 60,376 | 169,389 | |
Telstra | 176,310 | 854,991 | |
Toll Holdings | 28,622 | 140,660 | |
Transurban Group | 56,635 | b | 382,502 |
Treasury Wine Estates | 25,721 | 91,039 | |
Wesfarmers | 47,168 | 1,871,506 | |
Westfield Group | 84,391 | 858,469 | |
Westfield Retail Trust | 122,810 | 363,947 | |
Westpac Banking | 127,835 | 4,170,792 | |
Woodside Petroleum | 26,702 | 1,012,088 | |
Woolworths | 51,773 | 1,794,978 | |
WorleyParsons | 8,268 | 129,117 | |
43,618,582 |
8
Common Stocks (continued) | Shares | Value ($) | |
Austria—.3% | |||
Andritz | 3,077 | 190,968 | |
BUWOG | 1,876 | a | 34,446 |
Erste Group Bank | 10,365 | 347,849 | |
IMMOFINANZ | 37,529 | a | 139,120 |
OMV | 6,042 | 282,611 | |
Raiffeisen Bank International | 4,550 | 143,608 | |
Telekom Austria | 9,805 | 97,261 | |
Vienna Insurance Group | 1,670 | 89,026 | |
Voestalpine | 4,474 | 204,210 | |
1,529,099 | |||
Belgium—1.2% | |||
Ageas | 9,297 | 399,650 | |
Anheuser-Busch InBev | 33,057 | 3,597,379 | |
Belgacom | 6,323 | 193,515 | |
Colruyt | 3,021 | 170,749 | |
Delhaize Group | 4,075 | 302,685 | |
Groupe Bruxelles Lambert | 3,234 | 326,944 | |
Groupe Bruxelles Lambert (STRIP) | 236 | a,b | 0 |
KBC Groep | 10,433 | 635,562 | |
Solvay | 2,385 | 386,140 | |
Telenet Group Holding | 2,008 | 117,686 | |
UCB | 4,414 | 361,852 | |
Umicore | 4,888 | 239,551 | |
6,731,713 | |||
China—.0% | |||
Yangzijiang Shipbuilding Holdings | 91,000 | 79,844 | |
Denmark—1.3% | |||
AP Moller—Maersk, Cl. A | 110 | 249,442 | |
AP Moller—Maersk, Cl. B | 270 | 643,383 | |
Carlsberg, Cl. B | 4,310 | 430,599 | |
Coloplast, Cl. B | 4,688 | 393,339 | |
Danske Bank | 26,485 | 748,275 | |
DSV | 7,535 | 251,400 | |
Novo Nordisk, Cl. B | 81,898 | 3,694,544 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Denmark (continued) | ||||
Novozymes, Cl. B | 9,088 | 435,312 | ||
TDC | 34,484 | 323,688 | ||
Tryg | 1,152 | 109,419 | ||
William Demant Holding | 1,152 | a | 103,145 | |
7,382,546 | ||||
Finland—.9% | ||||
Elisa | 6,146 | 183,578 | ||
Fortum | 17,886 | 403,725 | ||
Kone, Cl. B | 12,582 | 537,982 | ||
Metso | 5,095 | 204,139 | ||
Neste Oil | 5,014 | 102,951 | ||
Nokia | 151,833 | a | 1,136,430 | |
Nokian Renkaat | 4,503 | 178,796 | ||
Orion, Cl. B | 4,426 | 134,905 | ||
Sampo, Cl. A | 18,538 | 920,470 | ||
Stora Enso, Cl. R | 21,950 | 223,672 | ||
UPM-Kymmene | 21,691 | 379,171 | ||
Wartsila | 7,129 | 397,001 | ||
4,802,820 | ||||
France—10.0% | ||||
Accor | 6,674 | 326,293 | ||
Aeroports de Paris | 1,169 | 145,363 | ||
Air Liquide | 12,872 | 1,841,153 | ||
Airbus Group | 24,220 | 1,662,941 | ||
Alcatel-Lucent | 117,037 | a | 467,953 | |
Alstom | 9,218 | 377,519 | ||
Arkema | 2,516 | 280,537 | ||
Atos | 2,739 | 236,471 | ||
AXA | 74,016 | 1,927,928 | ||
BNP Paribas | 40,963 | 3,075,066 | ||
Bouygues | 7,680 | 345,376 | ||
Bureau Veritas | 8,844 | 269,933 | ||
Cap Gemini | 6,021 | 425,262 | ||
Carrefour | 25,512 | 992,094 | ||
Casino Guichard Perrachon | 2,256 | 287,164 | ||
CGG | 6,154 | a | 106,380 |
10
Common Stocks (continued) | Shares | Value ($) | |
France (continued) | |||
Christian Dior | 2,196 | 451,356 | |
Cie de St-Gobain | 17,232 | 1,052,376 | |
Cie Generale des Etablissements Michelin | 7,762 | 947,636 | |
CNP Assurances | 6,982 | 160,892 | |
Credit Agricole | 40,304 | a | 634,922 |
Danone | 23,443 | 1,728,954 | |
Dassault Systemes | 2,515 | 309,246 | |
Edenred | 8,329 | 280,907 | |
Electricite de France | 9,659 | 370,454 | |
Essilor International | 8,259 | 883,305 | |
Eurazeo | 1,386 | 116,756 | |
Eutelsat Communications | 5,692 | 195,287 | |
Fonciere Des Regions | 1,253 | 127,195 | |
GDF Suez | 54,820 | 1,382,288 | |
Gecina | 1,000 | 134,642 | |
Groupe Eurotunnel | 21,961 | 294,591 | |
ICADE | 1,405 | 143,268 | |
Iliad | 1,107 | 298,712 | |
Imerys | 1,513 | 132,807 | |
JCDecaux | 2,555 | 104,745 | |
Kering | 3,060 | 676,698 | |
Klepierre | 3,966 | 181,821 | |
L’Oreal | 9,982 | 1,717,214 | |
Lafarge | 7,536 | 688,465 | |
Lagardere | 4,339 | 181,644 | |
Legrand | 10,700 | 690,275 | |
LVMH Moet Hennessy Louis Vuitton | 10,469 | 2,058,797 | |
Natixis | 36,958 | 262,367 | |
Orange | 75,118 | 1,216,707 | |
Pernod-Ricard | 8,600 | 1,032,167 | |
Publicis Groupe | 7,553 | 643,388 | |
Remy Cointreau | 966 | 84,954 | |
Renault | 7,769 | 756,098 | |
Rexel | 10,283 | 259,643 | |
Safran | 10,997 | 739,109 | |
Sanofi | 49,105 | 5,315,167 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
France (continued) | |||
Schneider Electric | 22,640 | 2,121,715 | |
SCOR | 6,401 | 233,599 | |
Societe BIC | 1,136 | 150,637 | |
Societe Generale | 29,645 | 1,842,531 | |
Sodexo | 3,971 | 428,061 | |
Suez Environnement | 11,173 | 219,337 | |
Technip | 4,100 | 461,307 | |
Thales | 3,664 | 233,067 | |
Total | 87,883 | 6,276,660 | |
Unibail-Rodamco | 4,030 | 1,087,172 | |
Valeo | 3,172 | 434,522 | |
Vallourec | 4,360 | 257,711 | |
Veolia Environnement | 15,170 | 282,859 | |
Vinci | 19,874 | 1,498,270 | |
Vivendi | 49,811 | 1,336,494 | |
Wendel | 1,280 | 192,764 | |
Zodiac Aerospace | 7,215 | 239,783 | |
56,318,775 | |||
Germany—8.5% | |||
Adidas | 8,476 | 904,632 | |
Allianz | 18,784 | 3,253,583 | |
Axel Springer | 1,517 | 92,603 | |
BASF | 37,763 | 4,370,931 | |
Bayer | 33,992 | 4,715,871 | |
Bayerische Motoren Werke | 13,662 | 1,709,266 | |
Beiersdorf | 4,059 | 406,914 | |
Brenntag | 2,070 | 374,340 | |
Celesio | 2,801 | 97,110 | |
Commerzbank | 39,065 | a | 693,989 |
Continental | 4,555 | 1,067,025 | |
Daimler | 39,594 | 3,665,521 | |
Deutsche Bank | 42,045 | 1,852,593 | |
Deutsche Boerse | 7,795 | 570,891 | |
Deutsche Lufthansa | 9,327 | 233,951 | |
Deutsche Post | 37,463 | 1,410,320 | |
Deutsche Telekom | 119,324 | 2,000,597 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
Deutsche Wohnen-BR | 12,104 | 259,359 | ||
E.ON | 74,406 | 1,422,984 | ||
Fraport Frankfurt Airport Services Worldwide | 1,609 | 118,733 | ||
Fresenius & Co. | 5,049 | 767,367 | ||
Fresenius Medical Care & Co. | 8,694 | 597,652 | ||
GEA Group | 7,622 | 340,970 | ||
Hannover Rueck | 2,427 | 225,966 | ||
HeidelbergCement | 5,666 | 491,452 | ||
Henkel & Co. | 5,241 | 537,915 | ||
Hochtief | 1,402 | 130,300 | ||
Hugo Boss | 1,386 | 192,286 | ||
Infineon Technologies | 43,525 | 505,960 | ||
K+S | 7,058 | 246,805 | ||
Kabel Deutschland Holding | 981 | 132,860 | ||
LANXESS | 3,554 | 270,199 | ||
Linde | 7,667 | 1,589,669 | ||
MAN | 1,399 | 179,281 | ||
Merck | 2,604 | 439,118 | ||
Metro | 5,401 | 215,800 | ||
Muenchener Rueckversicherungs | 7,404 | 1,709,761 | ||
OSRAM Licht | 3,329 | a | 174,255 | |
ProSiebenSat.1 Media | 9,209 | 402,638 | ||
RWE | 19,796 | 754,846 | ||
SAP | 37,918 | 3,053,220 | ||
Siemens | 32,595 | 4,295,956 | ||
Sky Deutschland | 19,167 | a | 164,015 | |
Suedzucker | 3,784 | 80,636 | ||
Telefonica Deutschland Holding | 11,353 | 94,299 | ||
ThyssenKrupp | 18,381 | a | 523,277 | |
United Internet | 4,460 | 191,443 | ||
Volkswagen | 1,184 | 316,204 | ||
47,845,363 | ||||
Hong Kong—2.6% | ||||
AIA Group | 496,200 | 2,406,454 | ||
ASM Pacific Technology | 10,800 | 120,078 | ||
Bank of East Asia | 49,750 | 205,020 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Hong Kong (continued) | |||
BOC Hong Kong Holdings | 149,500 | 437,724 | |
Cathay Pacific Airways | 52,000 | 98,192 | |
Cheung Kong Holdings | 58,000 | 987,495 | |
Cheung Kong Infrastructure Holdings | 27,000 | 176,217 | |
CLP Holdings | 71,288 | 570,087 | |
First Pacific | 92,250 | 102,210 | |
Galaxy Entertainment Group | 85,000 | a | 667,133 |
Hang Lung Properties | 90,000 | 267,576 | |
Hang Seng Bank | 30,900 | 503,379 | |
Henderson Land Development | 42,038 | 250,505 | |
HKT Trust | 87,000 | 91,007 | |
Hong Kong & China Gas | 231,661 | 534,261 | |
Hong Kong Exchanges & Clearing | 44,300 | 798,239 | |
Hopewell Holdings | 26,000 | 89,540 | |
Hutchison Whampoa | 86,800 | 1,186,748 | |
Hysan Development | 28,000 | 119,722 | |
Kerry Properties | 29,500 | 96,837 | |
Li & Fung | 235,200 | 341,593 | |
Link REIT | 92,500 | 459,938 | |
MGM China Holdings | 40,000 | 139,302 | |
MTR | 58,000 | 218,820 | |
New World Development | 217,048 | 223,964 | |
Noble Group | 161,963 | 166,007 | |
NWS Holdings | 60,000 | 102,774 | |
PCCW | 167,000 | 89,176 | |
Power Assets Holdings | 56,000 | 483,945 | |
Shangri-La Asia | 65,000 | 107,146 | |
Sino Land | 127,730 | 191,110 | |
SJM Holdings | 78,530 | 217,775 | |
Sun Hung Kai Properties | 64,699 | 814,897 | |
Swire Pacific, Cl. A | 27,500 | 317,460 | |
Swire Properties | 46,400 | 139,446 | |
Wharf Holdings | 61,311 | 429,014 | |
Wheelock & Co. | 37,000 | 152,239 | |
Yue Yuen Industrial Holdings | 32,300 | 99,779 | |
14,402,809 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Ireland—.3% | ||||
Bank of Ireland | 857,556 | a | 336,693 | |
CRH | 30,449 | 883,308 | ||
Irish Bank Resolution | 35,225 | a,b | 0 | |
Kerry Group, Cl. A | 6,268 | 491,318 | ||
Ryanair Holdings | 4,000 | a | 37,958 | |
1,749,277 | ||||
Israel—.5% | ||||
Bank Hapoalim | 42,826 | 241,697 | ||
Bank Leumi Le-Israel | 49,865 | a | 194,964 | |
Bezeq The Israeli Telecommunication | 76,662 | 138,902 | ||
Delek Group | 202 | 81,781 | ||
Israel | 117 | a | 65,964 | |
Israel Chemicals | 18,647 | 165,212 | ||
Israel Discount Bank, Cl. A | 1 | a | 2 | |
Mizrahi Tefahot Bank | 6,222 | 83,140 | ||
NICE Systems | 2,452 | 106,427 | ||
Teva Pharmaceutical Industries | 35,139 | 1,751,619 | ||
2,829,708 | ||||
Italy—2.6% | ||||
Assicurazioni Generali | 47,318 | 1,104,831 | ||
Atlantia | 14,661 | 381,373 | ||
Banca Monte dei Paschi di Siena | 281,163 | a | 93,578 | |
Banco Popolare | 14,582 | a | 300,218 | |
CNH Industrial | 39,669 | 462,291 | ||
Enel | 271,888 | 1,536,725 | ||
Enel Green Power | 70,150 | 200,484 | ||
Eni | 104,756 | 2,719,180 | ||
EXOR | 3,898 | 177,811 | ||
Fiat | 35,936 | a | 432,748 | |
Finmeccanica | 15,364 | a | 141,853 | |
Intesa Sanpaolo | 479,959 | 1,638,040 | ||
Luxottica Group | 6,699 | 383,557 | ||
Mediobanca | 20,510 | a | 227,067 | |
Pirelli & C | 9,607 | 161,005 | ||
Prysmian | 8,493 | 220,809 | ||
Saipem | 10,910 | 292,124 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Italy (continued) | |||
Snam | 81,733 | 491,214 | |
STMicroelectronics | 26,028 | 249,014 | |
Telecom Italia | 404,803 | 518,640 | |
Telecom Italia-RSP | 235,972 | 234,237 | |
Tenaris | 19,026 | 426,026 | |
Terna Rete Elettrica Nazionale | 61,801 | 334,384 | |
UniCredit | 179,252 | 1,601,530 | |
Unione di Banche Italiane | 33,961 | 323,214 | |
UnipolSai Assicurazioni | 36,547 | a | 134,161 |
14,786,114 | |||
Japan—18.5% | |||
ABC-Mart | 1,000 | 44,848 | |
Acom | 15,500 | a | 52,761 |
Advantest | 6,400 | 70,489 | |
Aeon | 26,800 | 309,589 | |
AEON Financial Service | 4,160 | 104,615 | |
AEON Mall | 4,480 | 106,659 | |
Air Water | 7,000 | 98,254 | |
Aisin Seiki | 7,700 | 271,893 | |
Ajinomoto | 23,800 | 349,661 | |
Alfresa Holdings | 1,900 | 118,198 | |
Amada | 14,000 | 101,198 | |
ANA Holdings | 53,000 | 115,606 | |
Aozora Bank | 46,959 | 139,635 | |
Asahi Glass | 40,800 | 231,068 | |
Asahi Group Holdings | 15,600 | 429,998 | |
Asahi Kasei | 50,900 | 346,021 | |
Asics | 7,000 | 136,186 | |
Astellas Pharma | 87,895 | 977,519 | |
Bank of Kyoto | 14,000 | 113,934 | |
Bank of Yokohama | 50,000 | 250,893 | |
Benesse Holdings | 3,200 | 121,602 | |
Bridgestone | 26,300 | 941,537 | |
Brother Industries | 9,100 | 127,018 | |
CALBEE | 2,700 | 66,130 | |
Canon | 46,850 | 1,473,299 |
16
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Casio Computer | 9,300 | 106,067 | |
Central Japan Railway | 5,800 | 711,420 | |
Chiba Bank | 30,000 | 190,444 | |
Chiyoda | 6,000 | 80,344 | |
Chubu Electric Power | 25,900 | a | 294,632 |
Chugai Pharmaceutical | 8,928 | 225,045 | |
Chugoku Bank | 6,000 | 79,464 | |
Chugoku Electric Power | 11,800 | 154,317 | |
Citizen Holdings | 12,400 | 90,967 | |
Coca-Cola West | 2,700 | 46,956 | |
Credit Saison | 6,200 | 131,841 | |
Dai Nippon Printing | 22,800 | 205,620 | |
Dai-ichi Life Insurance | 35,200 | 486,847 | |
Daicel | 11,000 | 91,886 | |
Daido Steel | 12,200 | 59,547 | |
Daihatsu Motor | 8,000 | 132,323 | |
Daiichi Sankyo | 27,183 | 455,465 | |
Daikin Industries | 9,500 | 548,340 | |
Dainippon Sumitomo Pharma | 6,900 | 104,679 | |
Daito Trust Construction | 3,000 | 304,886 | |
Daiwa House Industry | 25,400 | 428,075 | |
Daiwa Securities Group | 67,000 | 501,345 | |
DeNA | 4,300 | 72,343 | |
Denso | 19,700 | 896,409 | |
Dentsu | 8,600 | 353,304 | |
Don Quijote Holdings | 2,100 | 110,510 | |
East Japan Railway | 13,600 | 991,449 | |
Eisai | 10,200 | 393,394 | |
Electric Power Development | 4,480 | 118,929 | |
FamilyMart | 2,617 | 108,663 | |
FANUC | 7,929 | 1,427,042 | |
Fast Retailing | 2,158 | 670,608 | |
Fuji Electric | 21,000 | 95,104 | |
Fuji Heavy Industries | 23,700 | 622,434 | |
FUJIFILM Holdings | 18,700 | 482,887 | |
Fujitsu | 74,800 | 438,989 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Fukuoka Financial Group | 33,000 | 134,602 | |
Gree | 4,300 | 41,892 | |
GungHo Online Entertainment | 14,000 | 79,836 | |
Gunma Bank | 14,000 | 74,358 | |
Hachijuni Bank | 16,000 | 87,328 | |
Hakuhodo DY Holdings | 8,400 | 65,156 | |
Hamamatsu Photonics | 3,200 | 143,982 | |
Hankyu Hanshin Holdings | 48,000 | 262,924 | |
Hino Motors | 10,000 | 131,657 | |
Hirose Electric | 1,300 | 183,235 | |
Hiroshima Bank | 19,000 | 78,055 | |
Hisamitsu Pharmaceutical | 2,400 | 100,474 | |
Hitachi | 199,900 | 1,421,502 | |
Hitachi Chemical | 4,000 | 58,806 | |
Hitachi Construction Machinery | 5,000 | 92,776 | |
Hitachi High-Technologies | 2,700 | 61,693 | |
Hitachi Metals | 8,000 | 108,456 | |
Hokkaido Electric Power | 8,200 | a | 50,130 |
Hokuhoku Financial Group | 51,000 | 98,274 | |
Hokuriku Electric Power | 7,700 | 95,502 | |
Honda Motor | 67,159 | 2,220,349 | |
Hoya | 17,500 | 515,919 | |
Hulic | 10,800 | 129,830 | |
Ibiden | 4,200 | 75,632 | |
Idemitsu Kosan | 3,600 | 79,405 | |
IHI | 53,000 | 210,994 | |
Iida Group Holdings | 5,800 | 86,233 | |
INPEX | 36,400 | 529,791 | |
Isetan Mitsukoshi Holdings | 15,020 | 186,584 | |
Isuzu Motors | 49,000 | 284,218 | |
ITOCHU | 60,900 | 681,465 | |
Itochu Techno-Solutions | 900 | 37,458 | |
Iyo Bank | 11,000 | 98,880 | |
J Front Retailing | 19,800 | 125,499 | |
Japan Airlines | 2,600 | 134,533 | |
Japan Exchange Group | 10,000 | 197,388 |
18
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Japan Petroleum Exploration | 1,400 | 52,037 | |
Japan Prime Realty Investment | 31 | 109,009 | |
Japan Real Estate Investment | 48 | 254,003 | |
Japan Retail Fund Investment | 94 | 188,855 | |
Japan Steel Works | 13,000 | 54,805 | |
Japan Tobacco | 45,500 | 1,493,598 | |
JFE Holdings | 19,860 | 367,148 | |
JGC | 9,000 | 291,387 | |
Joyo Bank | 26,462 | 128,641 | |
JSR | 7,700 | 126,155 | |
JTEKT | 8,000 | 116,594 | |
JX Holdings | 90,576 | 469,558 | |
Kajima | 32,800 | 124,803 | |
Kakaku.com | 6,700 | 95,354 | |
Kamigumi | 9,400 | 89,554 | |
Kaneka | 12,000 | 70,426 | |
Kansai Electric Power | 29,899 | a | 250,340 |
Kansai Paint | 10,000 | 139,972 | |
Kao | 21,300 | 801,498 | |
Kawasaki Heavy Industries | 58,000 | 215,014 | |
KDDI | 21,800 | 1,160,421 | |
Keikyu | 20,000 | 165,892 | |
Keio | 25,000 | 176,799 | |
Keisei Electric Railway | 11,000 | 95,652 | |
Keyence | 1,885 | 726,177 | |
Kikkoman | 6,000 | 121,661 | |
Kinden | 6,000 | 55,167 | |
Kintetsu | 71,354 | 250,561 | |
Kirin Holdings | 35,000 | 484,423 | |
Kobe Steel | 133,000 | 174,324 | |
Koito Manufacturing | 4,000 | 87,172 | |
Komatsu | 37,800 | 832,646 | |
Konami | 4,400 | 100,279 | |
Konica Minolta | 19,500 | 181,009 | |
Kubota | 43,000 | 552,668 | |
Kuraray | 14,000 | 157,069 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Kurita Water Industries | 4,800 | 100,944 |
Kyocera | 13,100 | 615,950 |
Kyowa Hakko Kirin | 8,705 | 99,111 |
Kyushu Electric Power | 18,000 | 181,523 |
Lawson | 2,600 | 180,564 |
LIXIL Group | 10,624 | 280,889 |
M3 | 5,200 | 71,310 |
Mabuchi Motor | 1,000 | 68,372 |
Makita | 4,600 | 243,870 |
Marubeni | 67,000 | 446,951 |
Marui Group | 8,300 | 73,635 |
Maruichi Steel Tube | 2,000 | 50,687 |
Mazda Motor | 109,000 | 487,240 |
McDonald’s Holdings Japan | 3,000 | 83,015 |
Medipal Holdings | 5,800 | 81,467 |
MEIJI Holdings | 2,521 | 154,611 |
Miraca Holdings | 2,100 | 90,996 |
Mitsubishi | 56,998 | 1,019,146 |
Mitsubishi Chemical Holdings | 54,380 | 217,552 |
Mitsubishi Electric | 78,000 | 887,309 |
Mitsubishi Estate | 52,000 | 1,176,975 |
Mitsubishi Gas Chemical | 16,000 | 92,336 |
Mitsubishi Heavy Industries | 122,700 | 645,695 |
Mitsubishi Logistics | 6,000 | 86,037 |
Mitsubishi Materials | 45,000 | 130,288 |
Mitsubishi Motors | 25,400 | 274,783 |
Mitsubishi Tanabe Pharma | 9,200 | 125,984 |
Mitsubishi UFJ Financial Group | 524,690 | 2,781,650 |
Mitsubishi UFJ Lease & Finance | 25,500 | 125,461 |
Mitsui & Co. | 70,400 | 997,795 |
Mitsui Chemicals | 38,000 | 92,551 |
Mitsui Fudosan | 34,286 | 1,013,136 |
Mitsui OSK Lines | 43,000 | 143,424 |
Mizuho Financial Group | 948,200 | 1,854,942 |
MS&AD Insurance Group Holdings | 20,457 | 458,224 |
Murata Manufacturing | 8,200 | 681,763 |
20
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Nabtesco | 4,500 | 96,792 |
Namco Bandai Holdings | 7,750 | 167,076 |
NEC | 103,800 | 291,393 |
NEXON | 4,600 | 35,905 |
NGK Insulators | 11,000 | 207,551 |
NGK Spark Plug | 6,926 | 158,593 |
NHK Spring | 7,000 | 63,129 |
Nidec | 8,500 | 483,553 |
Nikon | 14,160 | 222,023 |
Nintendo | 4,325 | 454,350 |
Nippon Building Fund | 56 | 310,031 |
Nippon Electric Glass | 17,085 | 83,390 |
Nippon Express | 32,000 | 151,181 |
Nippon Meat Packers | 7,000 | 121,260 |
Nippon Paint | 8,000 | 123,637 |
Nippon Prologis REIT | 55 | 116,310 |
Nippon Steel & Sumitomo Metal | 307,615 | 806,385 |
Nippon Telegraph & Telephone | 15,600 | 863,810�� |
Nippon Yusen | 69,800 | 189,119 |
Nishi-Nippon City Bank | 26,000 | 59,001 |
Nissan Motor | 100,700 | 863,832 |
Nisshin Seifun Group | 8,580 | 99,786 |
Nissin Foods Holdings | 2,600 | 124,361 |
Nitori Holdings | 2,800 | 128,312 |
Nitto Denko | 6,600 | 284,697 |
NKSJ Holdings | 13,370 | 333,351 |
NOK | 3,400 | 55,605 |
Nomura Holdings | 147,200 | 846,614 |
Nomura Real Estate Holdings | 4,800 | 89,488 |
Nomura Research Institute | 3,900 | 112,726 |
NSK | 20,000 | 210,300 |
NTT Data | 5,500 | 212,770 |
NTT DoCoMo | 61,900 | 982,069 |
NTT Urban Development | 5,500 | 48,310 |
Obayashi | 25,000 | 161,148 |
Odakyu Electric Railway | 25,000 | 219,348 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Oji Holdings | 35,000 | 146,867 | |
Olympus | 10,000 | a | 305,179 |
Omron | 8,400 | 296,611 | |
Ono Pharmaceutical | 3,400 | 269,047 | |
ORACLE JAPAN | 1,400 | 64,430 | |
Oriental Land | 2,100 | 314,379 | |
ORIX | 54,000 | 780,144 | |
Osaka Gas | 75,000 | 282,438 | |
OTSUKA | 700 | 82,780 | |
Otsuka Holdings | 14,600 | 420,285 | |
Panasonic | 89,395 | 978,461 | |
Park24 | 3,800 | 69,358 | |
Rakuten | 29,300 | 378,878 | |
Resona Holdings | 92,800 | 473,826 | |
Ricoh | 28,000 | 321,808 | |
Rinnai | 1,500 | 124,713 | |
Rohm | 3,800 | 181,200 | |
Sankyo | 2,200 | 87,905 | |
Sanrio | 2,100 | 66,450 | |
Santen Pharmaceutical | 3,300 | 147,190 | |
SBI Holdings | 7,830 | 89,225 | |
Secom | 8,500 | 489,123 | |
Sega Sammy Holdings | 7,484 | 150,507 | |
Seiko Epson | 5,700 | 155,330 | |
Sekisui Chemical | 17,000 | 172,436 | |
Sekisui House | 23,000 | 276,040 | |
Seven & I Holdings | 30,560 | 1,204,943 | |
Seven Bank | 26,000 | 98,420 | |
Sharp | 59,000 | a | 147,738 |
Shikoku Electric Power | 6,900 | a | 80,720 |
Shimadzu | 9,000 | 76,852 | |
Shimamura | 1,000 | 93,119 | |
Shimano | 3,300 | 329,241 | |
Shimizu | 23,000 | 130,259 | |
Shin-Etsu Chemical | 16,600 | 973,901 | |
Shinsei Bank | 67,000 | 130,415 |
22
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Shionogi & Co. | 12,000 | 210,104 |
Shiseido | 14,400 | 256,914 |
Shizuoka Bank | 23,400 | 223,391 |
Showa Denko | 57,000 | 75,825 |
Showa Shell Sekiyu | 8,500 | 86,218 |
SMC | 2,100 | 498,631 |
SoftBank | 39,500 | 2,932,508 |
Sojitz | 54,600 | 85,984 |
Sony | 43,180 | 756,870 |
Sony Financial Holdings | 7,000 | 112,153 |
Stanley Electric | 5,500 | 121,583 |
Sumco | 4,900 | 37,576 |
Sumitomo | 45,500 | 590,585 |
Sumitomo Chemical | 60,000 | 224,776 |
Sumitomo Electric Industries | 30,400 | 419,567 |
Sumitomo Heavy Industries | 25,000 | 106,128 |
Sumitomo Metal Mining | 21,000 | 316,535 |
Sumitomo Mitsui Financial Group | 52,400 | 2,067,092 |
Sumitomo Mitsui Trust Holdings | 134,640 | 554,443 |
Sumitomo Realty & Development | 15,000 | 581,014 |
Sumitomo Rubber Industries | 7,600 | 105,486 |
Suntory Beverage & Food | 6,000 | 209,224 |
Suruga Bank | 8,000 | 137,096 |
Suzuken | 2,920 | 105,107 |
Suzuki Motor | 14,700 | 378,877 |
Sysmex | 6,300 | 199,350 |
T&D Holdings | 23,800 | 283,780 |
Taiheiyo Cement | 47,000 | 164,582 |
Taisei | 39,000 | 180,437 |
Taisho Pharmaceutical Holdings | 1,500 | 110,481 |
Taiyo Nippon Sanso | 9,000 | 71,658 |
Takashimaya | 12,000 | 113,621 |
Takeda Pharmaceutical | 32,600 | 1,462,990 |
TDK | 4,900 | 208,970 |
Teijin | 40,000 | 98,205 |
Terumo | 12,200 | 242,126 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
THK | 4,400 | 93,091 | |
Tobu Railway | 41,000 | 200,518 | |
Toho | 4,300 | 82,816 | |
Toho Gas | 18,000 | 88,209 | |
Tohoku Electric Power | 19,700 | 187,298 | |
Tokio Marine Holdings | 28,000 | 824,649 | |
Tokyo Electric Power | 58,072 | a | 219,257 |
Tokyo Electron | 6,900 | 391,654 | |
Tokyo Gas | 99,000 | 518,071 | |
Tokyo Tatemono | 17,000 | 135,355 | |
Tokyu | 45,820 | 288,182 | |
Tokyu Fudosan Holdings | 20,900 | 151,688 | |
TonenGeneral Sekiyu | 13,000 | 122,707 | |
Toppan Printing | 22,000 | 151,279 | |
Toray Industries | 59,000 | 384,927 | |
Toshiba | 163,000 | 637,746 | |
TOTO | 12,000 | 169,609 | |
Toyo Seikan Group Holdings | 7,100 | 105,491 | |
Toyo Suisan Kaisha | 4,000 | 127,941 | |
Toyoda Gosei | 2,400 | 44,228 | |
Toyota Boshoku | 2,600 | 26,830 | |
Toyota Industries | 6,700 | 308,671 | |
Toyota Motor | 113,357 | 6,116,078 | |
Toyota Tsusho | 8,700 | 228,829 | |
Trend Micro | 4,100 | 132,543 | |
Tsumura & Co. | 2,300 | 54,578 | |
Ube Industries | 46,600 | 78,856 | |
Unicharm | 4,600 | 249,269 | |
United Urban Investment | 97 | 146,114 | |
USS | 9,800 | 142,732 | |
West Japan Railway | 6,800 | 275,565 | |
Yahoo! Japan | 61,100 | 265,353 | |
Yakult Honsha | 3,600 | 194,376 | |
Yamada Denki | 36,200 | 133,490 | |
Yamaguchi Financial Group | 9,000 | 82,927 | |
Yamaha | 7,200 | 96,343 |
24
Common Stocks (continued) | Shares | Value ($) | |
Japan (continued) | |||
Yamaha Motor | 11,200 | 172,763 | |
Yamato Holdings | 15,600 | 320,743 | |
Yamato Kogyo | 1,800 | 51,834 | |
Yamazaki Baking | 4,000 | 48,829 | |
Yaskawa Electric | 9,000 | 101,501 | |
Yokogawa Electric | 8,800 | 120,076 | |
Yokohama Rubber | 9,000 | 80,374 | |
104,003,560 | |||
Luxembourg—.1% | |||
RTL Group | 1,680 | 186,949 | |
SES | 12,754 | 480,310 | |
667,259 | |||
Macau—.2% | |||
Sands China | 97,813 | 714,079 | |
Wynn Macau | 62,000 | 244,307 | |
958,386 | |||
Mexico—.0% | |||
Fresnillo | 8,530 | 122,633 | |
Netherlands—2.6% | |||
Aegon | 75,464 | 684,180 | |
Akzo Nobel | 9,700 | 746,744 | |
ASML Holding | 14,493 | 1,194,949 | |
Corio | 2,835 | 132,684 | |
Delta Lloyd | 7,390 | 194,336 | |
Fugro | 2,756 | 182,440 | |
Gemalto | 3,324 | 372,151 | |
Heineken | 9,313 | 646,018 | |
Heineken Holding | 4,035 | 257,506 | |
ING Groep | 158,188 | a | 2,246,191 |
Koninklijke Ahold | 37,644 | 726,193 | |
Koninklijke Boskalis Westminster | 3,270 | 185,230 | |
Koninklijke DSM | 6,221 | 446,034 | |
Koninklijke KPN | 129,050 | a | 458,693 |
Koninklijke Philips | 38,820 | 1,242,746 | |
Koninklijke Vopak | 2,912 | 144,974 | |
OCI | 3,786 | a | 161,908 |
The Fund 25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Netherlands (continued) | ||||
QIAGEN | 9,940 | a | 217,886 | |
Randstad Holding | 5,158 | 299,870 | ||
Reed Elsevier | 27,971 | 570,635 | ||
TNT Express | 18,973 | 170,831 | ||
Unilever | 67,067 | 2,873,702 | ||
Wolters Kluwer | 12,132 | 337,804 | ||
Ziggo | 6,005 | 260,594 | ||
14,754,299 | ||||
New Zealand—.1% | ||||
Auckland International Airport | 38,034 | 130,203 | ||
Contact Energy | 16,082 | 78,906 | ||
Fletcher Building | 27,701 | 235,283 | ||
Ryman Healthcare | 16,781 | 125,168 | ||
Telecom Corporation of New Zealand | 78,060 | 186,452 | ||
756,012 | ||||
Norway—.8% | ||||
Aker Solutions | 6,700 | 107,246 | ||
DNB | 39,514 | 698,639 | ||
Gjensidige Forsikring | 8,002 | 147,540 | ||
Norsk Hydro | 57,338 | 306,835 | ||
Orkla | 31,249 | 258,065 | ||
Seadrill | 15,180 | 529,894 | ||
Statoil | 45,219 | 1,372,324 | ||
Telenor | 28,483 | 668,435 | ||
Yara International | 7,417 | 350,119 | ||
4,439,097 | ||||
Portugal—.2% | ||||
Banco Espirito Santo | 66,352 | a | 117,460 | |
Energias de Portugal | 80,517 | 390,968 | ||
Galp Energia | 13,867 | 240,191 | ||
Jeronimo Martins | 10,446 | 182,675 | ||
Portugal Telecom | 27,519 | 114,535 | ||
1,045,829 |
26
Common Stocks (continued) | Shares | Value ($) |
Singapore—1.4% | ||
Ascendas Real Estate Investment Trust | 78,912 | 144,140 |
CapitaCommercial Trust | 76,000 | 96,993 |
CapitaLand | 105,500 | 269,283 |
CapitaMall Trust | 97,000 | 154,355 |
CapitaMalls Asia | 65,000 | 114,581 |
City Developments | 17,000 | 146,853 |
ComfortDelGro | 78,700 | 133,081 |
DBS Group Holdings | 69,588 | 940,273 |
Genting Singapore | 250,527 | 264,775 |
Global Logistic Properties | 123,843 | 281,529 |
Golden Agri-Resources | 278,440 | 135,478 |
Hutchison Port Holdings Trust | 227,000 | 154,360 |
Jardine Cycle & Carriage | 4,422 | 165,459 |
Keppel | 58,700 | 493,029 |
Keppel Land | 26,000 | 71,756 |
Olam International | 62,995 | 112,051 |
Oversea-Chinese Banking | 104,942 | 807,761 |
SembCorp Industries | 43,254 | 185,271 |
SembCorp Marine | 38,000 | 123,363 |
Singapore Airlines | 21,733 | 179,938 |
Singapore Exchange | 35,000 | 193,188 |
Singapore Press Holdings | 69,075 | 230,856 |
Singapore Technologies Engineering | 68,000 | 207,195 |
Singapore Telecommunications | 322,951 | 986,602 |
StarHub | 26,918 | 89,104 |
United Overseas Bank | 53,112 | 921,845 |
UOL Group | 21,111 | 108,106 |
Wilmar International | 77,000 | 208,822 |
7,920,047 | ||
Spain—3.5% | ||
Abertis Infraestructuras | 15,807 | 355,372 |
ACS Actividades de Construccion y Servicios | 7,490 | 320,829 |
Amadeus IT Holding, Cl. A | 15,366 | 638,580 |
The Fund 27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Spain (continued) | |||
Banco Bilbao Vizcaya Argentaria | 242,808 | 2,979,518 | |
Banco de Sabadell | 137,806 | 468,403 | |
Banco Popular Espanol | 68,967 | 507,110 | |
Banco Santander | 476,691 | 4,739,795 | |
Bankia | 161,084 | a | 328,291 |
CaixaBank | 69,616 | 423,993 | |
Distribuidora Internacional de Alimentacion | 24,682 | 220,453 | |
Enagas | 7,612 | 234,443 | |
Ferrovial | 16,561 | 367,614 | |
Gas Natural SDG | 14,079 | 403,638 | |
Grifols | 5,971 | 318,928 | |
Iberdrola | 197,982 | 1,382,962 | |
Inditex | 8,849 | 1,327,718 | |
Mapfre | 46,762 | 196,896 | |
Red Electrica | 4,424 | 363,838 | |
Repsol | 35,574 | 957,458 | |
Telefonica | 168,652 | 2,824,125 | |
Zardoya Otis | 6,340 | 111,179 | |
19,471,143 | |||
Sweden—3.2% | |||
Alfa Laval | 13,304 | 352,948 | |
Assa Abloy, Cl. B | 13,506 | 714,953 | |
Atlas Copco, Cl. A | 27,167 | 786,323 | |
Atlas Copco, Cl. B | 15,703 | 426,494 | |
Boliden | 11,860 | 180,211 | |
Electrolux, Ser. B | 9,611 | 266,356 | |
Elekta, Cl. B | 14,946 | 209,173 | |
Ericsson, Cl. B | 125,610 | 1,516,469 | |
Getinge, Cl. B | 8,218 | 241,527 | |
Hennes & Mauritz, Cl. B | 39,187 | 1,595,878 | |
Hexagon, Cl. B | 9,712 | 309,484 | |
Husqvarna, Cl. B | 16,174 | 134,323 | |
Industrivarden, Cl. C | 5,510 | 115,247 | |
Investment AB Kinnevik, Cl. B | 8,981 | 315,610 | |
Investor, Cl. B | 18,395 | 711,504 |
28
Common Stocks (continued) | Shares | Value ($) | ||
Sweden (continued) | ||||
Lundin Petroleum | 8,991 | a | 192,066 | |
Millicom International Cellular, SDR | 2,643 | 261,365 | ||
Nordea Bank | 125,315 | 1,810,671 | ||
Sandvik | 43,073 | 607,786 | ||
Scania, Cl. B | 13,131 | 397,836 | ||
Securitas, Cl. B | 13,206 | 159,332 | ||
Skandinaviska Enskilda Banken, Cl. A | 61,441 | 846,182 | ||
Skanska, Cl. B | 15,609 | 356,965 | ||
SKF, Cl. B | 15,801 | 408,257 | ||
Svenska Cellulosa, Cl. B | 23,595 | 660,799 | ||
Svenska Handelsbanken, Cl. A | 20,201 | 1,013,747 | ||
Swedbank, Cl. A | 36,676 | 974,123 | ||
Swedish Match | 8,494 | 291,180 | ||
Tele2, Cl. B | 12,374 | 157,953 | ||
TeliaSonera | 96,371 | 698,972 | ||
Volvo, Cl. B | 63,268 | 997,350 | ||
17,711,084 | ||||
Switzerland—9.4% | ||||
ABB | 90,593 | a | 2,176,044 | |
Actelion | 4,304 | a | 422,771 | |
Adecco | 5,336 | a | 445,930 | |
Aryzta | 3,491 | a | 322,286 | |
Baloise Holding | 1,897 | 230,632 | ||
Barry Callebaut | 84 | a | 114,055 | |
Cie Financiere Richemont | 21,518 | 2,183,340 | ||
Coca-Cola HBC-CDI | 8,469 | a | 214,199 | |
Credit Suisse Group | 62,486 | a | 1,981,575 | |
EMS-Chemie Holding | 319 | 124,233 | ||
Geberit | 1,565 | 521,548 | ||
Givaudan | 386 | a | 608,319 | |
Glencore Xstrata | 437,209 | a | 2,351,102 | |
Holcim | 9,258 | a | 847,852 | |
Julius Baer Group | 9,014 | a | 421,459 | |
Kuehne + Nagel International | 2,216 | 302,651 | ||
Lindt & Spruengli | 4 | 233,292 |
The Fund 29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Switzerland (continued) | |||
Lindt & Spruengli-PC | 37 | 179,934 | |
Lonza Group | 2,276 | a | 237,789 |
Nestle | 132,383 | 10,220,912 | |
Novartis | 94,457 | 8,188,921 | |
Pargesa Holding-BR | 1,256 | 113,883 | |
Partners Group Holding | 689 | 188,514 | |
Roche Holding | 28,847 | 8,456,455 | |
Schindler Holding | 876 | 133,575 | |
Schindler Holding-PC | 1,967 | 304,403 | |
SGS | 221 | 551,182 | |
Sika-BR | 91 | 367,991 | |
Sonova Holding | 2,104 | a | 303,611 |
Sulzer | 959 | 147,538 | |
Swatch Group | 1,746 | 210,290 | |
Swatch Group-BR | 1,248 | a | 800,473 |
Swiss Life Holding | 1,301 | a | 319,596 |
Swiss Prime Site | 2,107 | a | 177,040 |
Swiss Re | 14,281 | a | 1,247,012 |
Swisscom | 940 | 571,412 | |
Syngenta | 3,778 | 1,496,433 | |
UBS | 150,180 | a | 3,139,770 |
Zurich Insurance Group | 6,141 | a | 1,759,057 |
52,617,079 | |||
United Kingdom—21.0% | |||
3i Group | 40,656 | 260,707 | |
Aberdeen Asset Management | 39,934 | 294,509 | |
Admiral Group | 7,931 | 187,201 | |
Aggreko | 11,359 | 302,444 | |
AMEC | 12,404 | 258,644 | |
Anglo American | 57,594 | 1,538,355 | |
Antofagasta | 16,062 | 213,426 | |
ArcelorMittal | 40,401 | 656,068 | |
ARM Holdings | 56,579 | 851,627 | |
ASOS | 2,351 | a | 169,652 |
Associated British Foods | 14,380 | 721,331 |
30
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
AstraZeneca | 51,647 | 4,067,022 |
Aviva | 119,290 | 1,058,400 |
Babcock International Group | 14,531 | 292,936 |
BAE Systems | 131,168 | 885,851 |
Barclays | 630,043 | 2,682,799 |
BG Group | 140,372 | 2,839,293 |
BHP Billiton | 86,952 | 2,817,264 |
BP | 766,112 | 6,457,134 |
British American Tobacco | 77,663 | 4,480,558 |
British Land | 37,922 | 442,107 |
British Sky Broadcasting Group | 41,849 | 621,786 |
BT Group | 325,984 | 2,028,181 |
Bunzl | 13,346 | 378,784 |
Burberry Group | 17,817 | 446,719 |
Capita | 26,492 | 485,308 |
Carnival | 7,529 | 300,763 |
Centrica | 209,861 | 1,169,280 |
Cobham | 42,313 | 220,538 |
Compass Group | 73,756 | 1,173,063 |
Croda International | 5,720 | 248,780 |
Diageo | 103,292 | 3,169,670 |
Direct Line Insurance Group | 43,263 | 182,831 |
easyJet | 6,447 | 178,188 |
Experian | 40,858 | 783,661 |
G4S | 62,114 | 247,500 |
GKN | 65,866 | 427,037 |
GlaxoSmithKline | 199,782 | 5,504,900 |
Hammerson | 30,395 | 292,773 |
Hargreaves Lansdown | 8,738 | 172,612 |
HSBC Holdings | 769,899 | 7,852,637 |
ICAP | 23,517 | 164,422 |
IMI | 11,166 | 282,789 |
Imperial Tobacco Group | 39,908 | 1,722,914 |
Inmarsat | 19,204 | 236,046 |
InterContinental Hotels Group | 10,964 | 373,562 |
The Fund 31
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
International Consolidated Airlines Group | 43,329 | a | 296,354 | |
Intertek Group | 6,481 | 317,988 | ||
Intu Properties | 33,390 | 164,616 | ||
Investec | 22,476 | 197,900 | ||
ITV | 160,167 | 492,172 | ||
J Sainsbury | 49,594 | 281,095 | ||
Johnson Matthey | 8,251 | 455,959 | ||
Kingfisher | 95,869 | 676,755 | ||
Land Securities Group | 31,597 | 566,557 | ||
Legal & General Group | 239,396 | 856,083 | ||
Lloyds Banking Group | 2,057,149 | a | 2,617,457 | |
London Stock Exchange Group | 7,003 | 214,247 | ||
Marks & Spencer Group | 65,191 | 485,509 | ||
Meggitt | 31,584 | 254,206 | ||
Melrose Industries | 45,173 | 217,750 | ||
National Grid | 153,764 | 2,182,053 | ||
Next | 6,453 | 710,366 | ||
Old Mutual | 197,838 | 667,054 | ||
Pearson | 33,060 | 619,024 | ||
Persimmon | 12,138 | a | 268,877 | |
Petrofac | 10,370 | 254,400 | ||
Prudential | 105,446 | 2,418,592 | ||
Randgold Resources | 3,506 | 282,952 | ||
Reckitt Benckiser Group | 26,699 | 2,152,491 | ||
Reed Elsevier | 48,020 | 706,987 | ||
Resolution | 59,778 | 301,070 | ||
Rexam | 32,104 | 268,852 | ||
Rio Tinto | 52,331 | 2,849,012 | ||
Rolls-Royce Holdings | 76,281 | a | 1,352,317 | |
Royal Bank of Scotland Group | 86,347 | a | 435,613 | |
Royal Dutch Shell, Cl. A | 158,615 | 6,285,362 | ||
Royal Dutch Shell, Cl. B | 101,949 | 4,337,669 | ||
Royal Mail | 27,821 | 248,721 |
32
Common Stocks (continued) | Shares | Value ($) | |
United Kingdom (continued) | |||
RSA Insurance Group | 206,322 | a | 341,908 |
SABMiller | 39,695 | 2,158,401 | |
Sage Group | 46,544 | 335,084 | |
Schroders | 4,200 | 181,252 | |
Segro | 28,963 | 171,104 | |
Serco Group | 19,474 | 111,824 | |
Severn Trent | 10,096 | 314,499 | |
Shire | 24,325 | 1,387,348 | |
Smith & Nephew | 36,491 | 566,514 | |
Smiths Group | 15,834 | 356,899 | |
SSE | 39,048 | 1,005,406 | |
Standard Chartered | 100,020 | 2,164,105 | |
Standard Life | 95,167 | 614,115 | |
Subsea 7 | 11,106 | 222,146 | |
Tate & Lyle | 18,866 | 223,291 | |
Tesco | 333,758 | 1,650,814 | |
Travis Perkins | 9,819 | 282,660 | |
TUI Travel | 20,087 | 145,087 | |
Tullow Oil | 36,652 | 544,569 | |
Unilever | 52,888 | 2,360,976 | |
United Utilities Group | 27,367 | 367,801 | |
Vodafone Group | 1,086,988 | 4,110,066 | |
Weir Group | 8,553 | 388,458 | |
Whitbread | 7,218 | 497,222 | |
William Hill | 35,017 | 209,707 | |
WM Morrison Supermarkets | 88,859 | 301,408 | |
Wolseley | 10,719 | 619,128 | |
WPP | 55,680 | 1,197,682 | |
117,407,606 | |||
United States—.1% | |||
Transocean | 14,585 | 621,946 | |
Total Common Stocks | |||
(cost $442,953,086) | 544,572,630 |
The Fund 33
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Participation | ||||||
Participation Notes—.0% | Notes | Value ($) | ||||
Hong Kong | ||||||
Sun Hung Kai Properties | ||||||
(cost $18,008) | 5,391 | a | 3,630 | |||
Preferred Stocks—.6% | Shares | Value ($) | ||||
Germany | ||||||
Bayerische Motoren Werke | 2,117 | 208,234 | ||||
Fuchs Petrolub | 1,499 | 150,503 | ||||
Henkel & Co. | 7,210 | 802,923 | ||||
Porsche Automobil Holding | 6,185 | 680,882 | ||||
Volkswagen | 5,972 | 1,608,165 | ||||
Total Preferred Stocks | ||||||
(cost $1,728,776) | 3,450,707 | |||||
Number of | ||||||
Rights—.0% | Rights | Value ($) | ||||
Australia—.0% | ||||||
Bank of Queensland | 1,620 | a | 2,272 | |||
Transurban Group | 13,171 | a,b | 6,363 | |||
8,635 | ||||||
Spain—.0% | ||||||
Banco Santander | 476,691 | a | 99,200 | |||
United Kingdom—.0% | ||||||
Babcock International Group | 5,588 | a | 37,739 | |||
Total Rights | ||||||
(cost $108,298) | 145,574 | |||||
Principal | ||||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||||
U.S. Treasury Bills: | ||||||
0.04%, 6/26/14 | 620,000 | c | 619,993 | |||
0.02%, 9/11/14 | 75,000 | c | 74,993 | |||
Total Short-Term Investments | ||||||
(cost $694,952) | 694,986 |
34
Other Investment—1.4% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $8,114,925) | 8,114,925 | d | 8,114,925 |
Total Investments (cost $453,618,045) | 99.2 | % | 556,982,452 |
Cash and Receivables (Net) | .8 | % | 4,237,932 |
Net Assets | 100.0 | % | 561,220,384 |
BR—Bearer Certificate |
CDI—Chess Depository Interest |
PC—Participation Certificate |
REIT—Real Estate Investment Trust |
RSP—Risparmio (Savings) Shares |
SDR—Swedish Depository Receipts |
STRIP—Separate Trading of Registered Interest and Principal of Securities |
a Non-income producing security. |
b The valuation of this security has been determined in good faith by management under the direction of the Board of |
Directors.At April 30, 2014, the value of these securities amounted to $388,865 or .07% of net assets. |
c Held by or on behalf of a counterparty for open financial futures contracts. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Financial | 24.9 | Energy | 7.1 |
Industrial | 12.4 | Telecommunication Services | 4.9 |
Consumer Discretionary | 11.3 | Information Technology | 4.2 |
Consumer Staples | 10.9 | Utilities | 3.6 |
Health Care | 10.3 | Short-Term/Money Market Investments | 1.5 |
Materials | 8.1 | 99.2 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 35
STATEMENT OF FINANCIAL FUTURES
April 30, 2014 (Unaudited)
Unrealized | |||||
Market Value | Appreciation | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2014 | ($) | |
Financial Futures Long | |||||
ASX SPI 200 Index | 11 | 1,397,188 | June 2014 | 11,659 | |
Euro STOXX 50 | 89 | 3,883,255 | June 2014 | 52,264 | |
FTSE 100 Index | 33 | 3,757,826 | June 2014 | 89,511 | |
TOPIX | 23 | 2,599,550 | June 2014 | (47,694 | ) |
Gross Unrealized Appreciation | 153,434 | ||||
Gross Unrealized Depreciation | (47,694 | ) | |||
See notes to financial statements. |
36
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2014 (Unaudited)
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments: | |||
Unaffiliated issuers | 445,503,120 | 548,867,527 | |
Affiliated issuers | 8,114,925 | 8,114,925 | |
Cash | 586,891 | ||
Cash denominated in foreign currencies | 1,011,782 | 1,016,487 | |
Dividends receivable | 3,092,304 | ||
Unrealized appreciation on forward foreign | |||
currency exchange contracts—Note 4 | 170,739 | ||
Receivable for shares of Common Stock subscribed | 116,496 | ||
561,965,369 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 267,201 | ||
Payable for shares of Common Stock redeemed | 327,367 | ||
Unrealized depreciation on forward foreign | |||
currency exchange contracts—Note 4 | 146,736 | ||
Payable for futures variation margin—Note 4 | 3,681 | ||
744,985 | |||
Net Assets ($) | 561,220,384 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 487,036,136 | ||
Accumulated undistributed investment income—net | 5,172,552 | ||
Accumulated net realized gain (loss) on investments | (34,533,086 | ) | |
Accumulated net unrealized appreciation (depreciation) on | |||
investments and foreign currency transactions (including | |||
$105,740 net unrealized appreciation on financial futures) | 103,544,782 | ||
Net Assets ($) | 561,220,384 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 32,469,683 | ||
Net Asset Value, offering and redemption price per share ($) | 17.28 | ||
See notes to financial statements. |
The Fund 37
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2014 (Unaudited)
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $744,729 foreign taxes withheld at source): | ||
Unaffiliated issuers | 10,601,170 | |
Affiliated issuers | 2,080 | |
Total Income | 10,603,250 | |
Expenses: | ||
Management fee—Note 3(a) | 937,092 | |
Shareholder servicing costs—Note 3(b) | 669,351 | |
Directors’ fees—Note 3(a,c) | 18,783 | |
Interest expense—Note 2 | 5,100 | |
Loan commitment fees—Note 2 | 2,171 | |
Total Expenses | 1,632,497 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (18,783 | ) |
Net Expenses | 1,613,714 | |
Investment Income—Net | 8,989,536 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | (9,406,361 | ) |
Net realized gain (loss) on financial futures | 234,833 | |
Net realized gain (loss) on forward foreign currency exchange contracts | 96,914 | |
Net Realized Gain (Loss) | (9,074,614 | ) |
Net unrealized appreciation (depreciation) on | ||
investments and foreign currency transactions | 23,358,394 | |
Net unrealized appreciation (depreciation) on financial futures | (133,028 | ) |
Net unrealized appreciation (depreciation) on | ||
forward foreign currency exchange contracts | (20,260 | ) |
Net Unrealized Appreciation (Depreciation) | 23,205,106 | |
Net Realized and Unrealized Gain (Loss) on Investments | 14,130,492 | |
Net Increase in Net Assets Resulting from Operations | 23,120,028 | |
See notes to financial statements. |
38
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2014 | Year Ended | |||
(Unaudited) | October 31, 2013 | |||
Operations ($): | ||||
Investment income—net | 8,989,536 | 11,492,953 | ||
Net realized gain (loss) on investments | (9,074,614 | ) | 13,223,232 | |
Net unrealized appreciation | ||||
(depreciation) on investments | 23,205,106 | 90,947,772 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 23,120,028 | 115,663,957 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (11,610,746 | ) | (12,705,604 | ) |
Net realized gain on investments | (5,883,193 | ) | — | |
Total Dividends | (17,493,939 | ) | (12,705,604 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 82,422,718 | 275,778,066 | ||
Dividends reinvested | 16,860,058 | 12,035,945 | ||
Cost of shares redeemed | (116,293,263 | ) | (273,185,774 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (17,010,487 | ) | 14,628,237 | |
Total Increase (Decrease) in Net Assets | (11,384,398 | ) | 117,586,590 | |
Net Assets ($): | ||||
Beginning of Period | 572,604,782 | 455,018,192 | ||
End of Period | 561,220,384 | 572,604,782 | ||
Undistributed investment income—net | 5,172,552 | 7,793,762 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 4,883,410 | 17,713,613 | ||
Shares issued for dividends reinvested | 1,013,225 | 839,912 | ||
Shares redeemed | (6,881,033 | ) | (17,683,082 | ) |
Net Increase (Decrease) in Shares Outstanding | (984,398 | ) | 870,443 | |
See notes to financial statements. |
The Fund 39
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||||
April 30, 2014 | Year Ended October 31, | |||||||||||
(Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 17.12 | 13.96 | 13.79 | 14.84 | 14.05 | 11.51 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .28 | .35 | .37 | .38 | .31 | .30 | ||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | .44 | 3.20 | .24 | (1.10 | ) | .89 | 2.51 | |||||
Total from Investment Operations | .72 | 3.55 | .61 | (.72 | ) | 1.20 | 2.81 | |||||
Distributions: | ||||||||||||
Dividends from | ||||||||||||
investment income—net | (.37 | ) | (.39 | ) | (.44 | ) | (.33 | ) | (.33 | ) | (.25 | ) |
Dividends from net realized | ||||||||||||
gain on investments | (.19 | ) | — | — | — | (.08 | ) | (.02 | ) | |||
Total Distributions | (.56 | ) | (.39 | ) | (.44 | ) | (.33 | ) | (.41 | ) | (.27 | ) |
Net asset value, end of period | 17.28 | 17.12 | 13.96 | 13.79 | 14.84 | 14.05 | ||||||
Total Return (%) | 4.34 | b | 26.01 | 4.79 | (5.03 | ) | 8.73 | 25.13 | ||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | ||||||||||||
to average net assets | .61 | c | .61 | .61 | .61 | .61 | .61 | |||||
Ratio of net expenses | ||||||||||||
to average net assets | .60 | c | .60 | .60 | .60 | .60 | .60 | |||||
Ratio of net investment income | ||||||||||||
to average net assets | 3.36 | c | 2.25 | 2.75 | 2.52 | 2.25 | 2.53 | |||||
Portfolio Turnover Rate | 3.29 | b | 23.12 | 11.11 | 6.14 | 10.49 | 17.26 | |||||
Net Assets, end of period | ||||||||||||
($ x 1,000) | 561,220 | 572,605 | 455,018 | 491,377 | 561,428 | 547,282 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
40
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective seeks to match the performance of the Morgan Stanley Capital International Europe,Australasia, Far East Index (MSCI EAFE ®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official clos-
42
ing 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 generally 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
The Fund 43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally 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 and are generally categorized within Level 1 of the fair value hierarchy. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2014 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Unadjusted | Observable | Unobservable | ||
Quoted Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | ||||
Domestic | ||||
Common Stocks† | 621,946 | — | — | 621,946 |
Equity Securities— | ||||
Foreign | ||||
Common Stocks† | 543,568,182 | 382,502 | — | 543,950,684 |
Equity Securities— | ||||
Foreign | ||||
Preferred Stocks† | 3,450,707 | — | — | 3,450,707 |
Mutual Funds | 8,114,925 | — | — | 8,114,925 |
Participation Notes† | 3,630 | — | — | 3,630 |
Rights† | 139,211 | 6,363 | — | 145,574 |
U.S. Treasury | — | 694,986 | — | 694,986 |
44
Level 2—Other | Level 3— | ||||||
Level 1— | Significant | Significant | |||||
Unadjusted | Observable | Unobservable | |||||
Quoted Prices | Inputs | Inputs | Total | ||||
Assets ($) (continued) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Financial Futures†† | 153,434 | — | — | 153,434 | |||
Forward Foreign | |||||||
Currency Exchange | |||||||
Contracts†† | — | 170,739 | — | 170,739 | |||
Liabilities ($) | |||||||
Other Financial | |||||||
Instruments: | |||||||
Financial Futures†† | (47,694 | ) | — | — | (47,694 | ) | |
Forward Foreign | |||||||
Currency Exchange | |||||||
Contracts†† | — | (146,736 | ) | — | (146,736 | ) |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation (depreciation) at period end. |
At April 30, 2014, there were no transfers between Level 1 and Level 2 of the fair value hierarchy.
(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 the 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 foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
The Fund 45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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” under the Act. Investments in affiliated investment companies during the period ended April 30, 2014 were as follows:
Affiliated | |||||||
Investment | Value | Value | Net | ||||
Company | 10/31/2013 | ($) | Purchases ($) | Sales ($) | 4/30/2014 | ($) | Assets (%) |
Dreyfus | |||||||
Institutional | |||||||
Preferred | |||||||
Plus Money | |||||||
Market Fund | 5,735,539 | 42,132,539 | 39,753,153 | 8,114,925 | 1.4 |
(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.
46
(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 April 30, 2014, 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 ended April 30, 2014, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2013 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2013 was as follows: ordinary income $12,705,604. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $265 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2014 was approximately $933,100 with a related weighted average annualized interest rate of 1.10%.
The Fund 47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “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 April 30, 2014, fees reimbursed by the Manager amounted to $18,783.
(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) with respect to these services.The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2014, the fund was charged $669,351 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 $156,881 and Shareholder Services Plan fees $113,329, which are offset against an expense reimbursement currently in effect in the amount of $3,009.
48
(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 April 30, 2014, amounted to $17,645,700 and $46,992,439, 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 April 30, 2014 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 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 guarantees the financial futures against default. Financial futures open at April 30, 2014 are set forth in the Statement of Financial Futures.
The Fund 49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract increases between those dates. Any realized 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 generally limited to the unrealized gain on each open contract.The following summarizes open forward contracts at April 30, 2014:
Foreign | Unrealized | |||||
Forward Foreign Currency | Currency | Appreciation | ||||
Exchange Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) | ||
Purchases: | ||||||
Australian Dollar, | ||||||
Expiring: | ||||||
5/1/2014a | 46,177 | 42,898 | 42,898 | — | ||
6/18/2014b | 751,381 | 679,218 | 695,651 | 16,433 | ||
6/18/2014c | 176,665 | 163,449 | 163,562 | 113 | ||
6/18/2014d | 797,324 | 728,701 | 738,186 | 9,485 | ||
6/18/2014e | 497,551 | 461,652 | 460,648 | (1,004 | ) | |
6/18/2014f | 540,465 | 481,021 | 500,379 | 19,358 | ||
British Pound, | ||||||
Expiring: | ||||||
6/18/2014b | 326,200 | 538,529 | 550,546 | 12,017 | ||
6/18/2014c | 196,500 | 327,683 | 331,645 | 3,962 | ||
6/18/2014d | 1,437,208 | 2,403,425 | 2,425,658 | 22,233 |
50
Foreign | Unrealized | |||||
Forward Foreign Currency | Currency | Appreciation | ||||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation) ($) | |||
Purchases (continued): | ||||||
British Pound, | ||||||
Expiring (continued): | ||||||
6/18/2014e | 343,389 | 573,848 | 579,558 | 5,710 | ||
6/18/2014g | 801,396 | 1,330,212 | 1,352,562 | 22,350 | ||
6/18/2014h | 882,208 | 1,464,465 | 1,488,953 | 24,488 | ||
Euro, | ||||||
Expiring: | ||||||
6/18/2014b | 730,619 | 1,011,960 | 1,013,498 | 1,538 | ||
6/18/2014c | 520,500 | 717,551 | 722,027 | 4,476 | ||
6/18/2014d | 652,800 | 901,122 | 905,550 | 4,428 | ||
6/18/2014e | 469,430 | 649,549 | 651,183 | 1,634 | ||
6/18/2014g | 2,003,952 | 2,783,289 | 2,779,838 | (3,451 | ) | |
6/18/2014i | 555,862 | 766,291 | 771,080 | 4,789 | ||
Japanese Yen, | ||||||
Expiring: | ||||||
6/18/2014b | 35,430,000 | 343,819 | 346,657 | 2,838 | ||
6/18/2014c | 253,006,390 | 2,469,162 | 2,475,487 | 6,325 | ||
6/18/2014d | 166,413,942 | 1,621,072 | 1,628,241 | 7,169 | ||
6/18/2014e | 29,174,322 | 286,857 | 285,450 | (1,407 | ) | |
Sales: | Proceeds ($) | |||||
Australian Dollar, | ||||||
Expiring | ||||||
6/18/2014b | 1,546,004 | 1,447,771 | 1,448,003 | (232 | ) | |
British Pound, | ||||||
Expiring: | ||||||
5/1/2014a | 25,372 | 42,898 | 42,837 | 61 | ||
6/18/2014b | 1,916,200 | 3,177,221 | 3,234,080 | (56,859 | ) | |
6/18/2014c | 16,057 | 26,491 | 27,100 | (609 | ) | |
6/18/2014d | 389,974 | 652,000 | 658,181 | (6,181 | ) | |
Euro, | ||||||
Expiring: | ||||||
5/2/2014c | 412,615 | 572,376 | 572,440 | (64 | ) | |
6/18/2014b | 2,436,700 | 3,336,059 | 3,380,137 | (44,078 | ) | |
6/18/2014c | 7,215 | 9,943 | 10,008 | (65 | ) | |
6/18/2014i | 509,461 | 703,023 | 706,713 | (3,690 | ) | |
Japanese Yen, | ||||||
Expiring: | ||||||
6/18/2014b | 230,565,000 | 2,226,879 | 2,255,914 | (29,035 | ) | |
6/18/2014c | 4,304,853 | 42,059 | 42,120 | (61 | ) | |
6/18/2014d | 45,946,863 | 450,877 | 449,557 | 1,320 |
The Fund 51
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Foreign | Unrealized | ||||
Forward Foreign Currency | Currency | Appreciation | |||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) | (Depreciation) ($) | |
Sales (continued): | |||||
Swiss Franc, | |||||
Expiring | |||||
5/2/2014b | 31,054 | 35,296 | 35,284 | 12 | |
Gross Unrealized | |||||
Appreciation | 170,739 | ||||
Gross Unrealized | |||||
Depreciation | (146,736 | ) |
Counterparties:
a | Morgan Stanley Capital Services |
b | Bank of America |
c | Citigroup |
d | Royal Bank of Canada |
e | UBS |
f | Westpac Bank |
g | Bank of Montreal |
h | HSBC |
i | Goldman Sachs International |
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2014 is shown below:
Derivative | Derivative | |||
Assets ($) | Liabilities ($) | |||
Foreign exchange risk1 | 170,739 | Foreign exchange risk2 | (146,736 | ) |
Equity risk3 | 153,434 | Equity risk3 | (47,694 | ) |
Gross fair value of | ||||
derivatives contracts | 324,173 | (194,430 | ) |
Statement of Assets and Liabilities location:
1 | Unrealized appreciation on forward foreign currency exchange contracts. |
2 | Unrealized depreciation on forward foreign currency exchange contracts. |
3 | Includes cumulative appreciation (depreciation) on financial futures as reported in the Statement of |
Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets | |
and Liabilities. |
52
The effect of derivative instruments in the Statement of Operations during the period ended April 30,2014 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($)
Financial | Forward | ||
Underlying risk | Futures4 | Contracts5 | Total |
Equity | 234,833 | — | 234,833 |
Foreign exchange | — | 96,914 | 96,914 |
Total | 234,833 | 96,914 | 331,747 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($)
Financial | Forward | |||||
Underlying risk | Futures6 | Contracts7 | Total | |||
Equity | (133,028 | ) | — | (133,028 | ) | |
Foreign exchange | — | (20,260 | ) | (20,260 | ) | |
Total | (133,028 | ) | (20,260 | ) | (153,288 | ) |
Statement of Operations location:
4 | Net realized gain (loss) on financial futures. |
5 | Net realized gain (loss) on forward foreign currency exchange contracts. |
6 | Net unrealized appreciation (depreciation) on financial futures. |
7 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
In December 2011, with clarification in January 2013, FASB issued guidance that expands disclosure requirements with respect to the offsetting of certain assets and liabilities.The fund adopted these disclosure provisions during the current reporting period.These disclosures are required for certain investments, including derivative financial instruments subject to master netting arrangements (“MNA”) or similar agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to MNA in the Statement of Assets and Liabilities.
The Fund 53
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2014, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: | Assets ($) | Liabilities ($) | |
Forward contracts | 170,739 | (146,736 | ) |
Total gross amount of derivative assets | |||
and liabilities in the Statement of | |||
Assets and Liabilities | 170,739 | (146,736 | ) |
Derivatives not subject to | |||
MNA or similar agreements | — | — | |
Total gross amount of assets and | |||
liabilities subject to MNA or | |||
similar agreements | 170,739 | (146,736 | ) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under MNA and net of related collateral received or pledged, if any, as of April 30, 2014:
Financial | ||||||
Instruments | ||||||
and | ||||||
Derivatives | Securities | Cash | ||||
Gross Amount of | Available | Collateral | Collateral | Net Amount | ||
Counterparties | Assets ($)1 | for Offset ($) | Received ($)2 | Received ($)2 | of Assets ($) | |
Bank of America | 32,838 | (32,838 | ) | — | — | — |
Bank of Montreal | 22,350 | (3,451 | ) | — | — | 18,899 |
Citigroup | 14,876 | (799 | ) | — | — | 14,077 |
Goldman Sachs | ||||||
International | 4,789 | (3,690 | ) | — | — | 1,099 |
HSBC | 24,488 | — | — | — | 24,488 | |
Morgan Stanley | ||||||
Capital Services | 61 | — | — | — | 61 | |
Royal Bank of | ||||||
Canada | 44,635 | (6,181 | ) | — | — | 38,454 |
UBS | 7,344 | (2,411 | ) | — | — | 4,933 |
Westpac Bank | 19,358 | — | — | — | 19,358 | |
Total | 170,739 | (49,370 | ) | — | — | 121,369 |
54
Financial | |||||||
Instruments | |||||||
and | |||||||
Derivatives | Securities | Cash | |||||
Gross Amount of | Available | Collateral | Collateral | Net Amount of | |||
Counterparties | Liabilities ($)1 | for Offset ($) | Pledged ($)2 | Pledged ($)2 | Liabilities ($) | ||
Bank of America | (130,204 | ) | 32,838 | — | — | (97,366 | ) |
Bank of Montreal | (3,451 | ) | 3,451 | — | — | — | |
Citigroup | (799 | ) | 799 | — | — | — | |
Goldman Sachs | |||||||
International | (3,690 | ) | 3,690 | — | — | — | |
Royal Bank of | |||||||
Canada | (6,181 | ) | 6,181 | — | — | — | |
UBS | (2,411 | ) | 2,411 | — | — | — | |
Total | (146,736 | ) | 49,370 | — | — | (97,366 | ) |
1 | Absent a default event or early termination, over-the-counter derivative assets and liabilities are |
presented at gross amounts and are not offset in the Statement of Assets and Liabilities. | |
2 | In some instances, the actual collateral received and/or pledged may be more than the amount |
shown due to overcollateralization. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2014:
Average Market Value ($) | |
Equity financial futures | 9,438,854 |
Forward contracts | 8,372,735 |
At April 30, 2014, accumulated net unrealized appreciation on investments was $103,364,407, consisting of $138,609,967 gross unrealized appreciation and $35,245,560 gross unrealized depreciation.
At April 30, 2014, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
The Fund 55
INFORMATION ABOUT THE RENEWAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 4-5, 2014, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund.The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
56
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2013, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was at or above the Performance Group median for three of the six periods and above the Performance Universe median for four of the six periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median, the fund’s actual management fee was above the Expense Group and Expense Universe medians and the fund’s total expenses were at the Expense Group and Expense Universe medians.
The Fund 57
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus of managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex.The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the
58
benefit of fund shareholders. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level.The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board generally was satisfied with the fund’s overall performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus.The Board
The Fund 59
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
60
For More Information
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Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
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Dreyfus
S&P 500
Index Fund
SEMIANNUAL REPORT April 30, 2014
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Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
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Contents | |
THE FUND | |
2 | A Letter from the President |
3 | Discussion of Fund Performance |
6 | UnderstandingYour Fund’s Expenses |
6 | ComparingYour Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
24 | Statement of Financial Futures |
25 | Statement of Assets and Liabilities |
26 | Statement of Operations |
27 | Statement of Changes in Net Assets |
28 | Financial Highlights |
29 | Notes to Financial Statements |
41 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus
S&P 500 Index Fund
The Fund
A LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2013, through April 30, 2014. 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.
The final two months of 2013 witnessed a firming U.S. labor market, further improvements in housing data, and generally strong corporate earnings growth, but U.S. GDP growth over the opening months of 2014 generally stalled due to harsh winter weather, the expiration of extended unemployment benefits, and the deceleration of inventory accumulation by businesses. Although stocks encountered volatility under these mixed conditions, investors largely appeared to shrug off recent economic shortfalls as some broad measures of U.S. stock market performance either achieved or approached new all-time highs on the reporting period’s final day.
We believe that the economic recovery’s pause over the winter of 2014 will prove temporary, and we currently expect to see accelerating growth over the next few years as past financial stresses continue to fade and fiscal drags abate in the public sector. However, stock valuations have generally risen after the sustained market rally, and in our judgment, selectivity is likely to be key to successful equity investing in the months ahead. As always, we encourage you to discuss our observations and appropriate investment strategies with your financial advisor.
Thank you for your continued confidence and support.
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J. Charles Cardona
President
The Dreyfus Corporation
May 15, 2014
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2013, through April 30, 2014, as provided by Thomas J. Durante, CFA, Karen Q.Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended April 30, 2014, Dreyfus S&P 500 Index Fund produced a total return of 8.11%.1 In comparison, the Standard & Poor’s® 500 Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, returned 8.35% for the same period.2,3
Despite anemic growth in the midst of harsh winter weather over the opening months of 2014, sustained improvement in U.S. economic conditions generally helped support stock market gains for the reporting period overall. 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.
The fund employed futures contracts during the reporting period in its efforts to replicate the returns of the S&P 500 Index.
Stocks Advanced Despite Economic Uncertainty
Despite occasional bouts of weakness, stocks generally continued to climb over the reporting period during an economic recovery fueled by falling unemployment and low short-term interest rates. These factors proved especially supportive of stock prices over the final months of 2013, when the market rally was led by smaller, more speculative companies that tend to be more sensitive to changes in economic conditions.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
Market sentiment appeared to change in January 2014, when U.S. equities gave back some of their previous gains amid concerns about economic slowdowns in the emerging markets, but stocks rebounded in February and maintained their value in March and April when those worries proved to be overblown. Nonetheless, the U.S. Department of Commerce estimated that U.S. GDP grew at a very sluggish annualized rate of just 0.01% over the first quarter of 2014 due to the dampening effects of severe winter weather on corporate spending and housing market activity, as well as by reduced export activity and slowing inventory accumulation by businesses.
Despite these troublesome economic developments, U.S. large-cap stocks generally posted solid gains for the reporting period. In fact, some broad measures of large-cap stock market performance either established or approached new record highs by the reporting period’s end.
Most Market Sectors Post Positive Absolute Returns
Of the 10 economic segments represented in the S&P 500 Index, only the telecommunications services sector lost a degree of value over the reporting period. Results were especially robust in the information technology, health care, and financials sectors.
Among technology companies, hardware producers benefited from a wave of upgrade activity after Microsoft ended support for its Windows XP operating system. Consumer electronics giant Apple rebounded from earlier weakness amid strong sales of its smartphones and streaming video device, as well as due to its growing presence in China and Japan. A number of software producers benefited from rising licensing revenue as more consumers and businesses migrated to cloud computing. In the health care sector, investors responded positively when a number of large pharmaceutical developers repositioned themselves strategically through the sales and purchases of various business units. New product launches and robust research-and-development activity also helped drive earnings of drug companies higher.
Banks in the financials sector experienced increases in deposits and lending volumes, as well as decreases in nonperforming loans, in the recovering U.S. economy. In the industrials sector, aerospace-and-defense contractors benefited from pent-up government demand after Congress passed a budget with increased allocations to defense spending.
4
Although disappointments proved relatively mild over the reporting period, the telecommunications services sector fell modestly due to intensifying competitive pressures affecting major telephone service providers. The consumer discretionary sector achieved a modest overall gain but lagged market averages due to weak sales during the winter and company-specific issues among specialty retailers and Internet catalog companies. In addition, automakers were hurt by a massive safety-related recall by General Motors.
Replicating the Performance of the S&P 500 Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that U.S. economic growth showed signs by the end of the reporting period of rebounding from previous weather-related weakness. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2014
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from November 1, 2013 to April 30, 2014. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2014
Expenses paid per $1,000† | $ | 2.58 |
Ending value (after expenses) | $ | 1,081.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended April 30, 2014
Expenses paid per $1,000† | $ | 2.51 |
Ending value (after expenses) | $ | 1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2014 (Unaudited)
Common Stocks—99.5% | Shares | Value ($) |
Automobiles & Components—1.1% | ||
BorgWarner | 37,825 | 2,350,446 |
Delphi Automotive | 47,688 | 3,187,466 |
Ford Motor | 663,964 | 10,723,019 |
General Motors | 217,745 | 7,507,848 |
Goodyear Tire & Rubber | 43,150 | 1,087,380 |
Harley-Davidson | 36,765 | 2,718,404 |
Johnson Controls | 112,007 | 5,055,996 |
32,630,559 | ||
Banks—6.0% | ||
Bank of America | 1,782,108 | 26,981,115 |
BB&T | 118,074 | 4,407,702 |
Citigroup | 511,984 | 24,529,153 |
Comerica | 31,141 | 1,502,242 |
Fifth Third Bancorp | 146,225 | 3,013,697 |
Hudson City Bancorp | 77,460 | 771,502 |
Huntington Bancshares | 139,975 | 1,282,171 |
JPMorgan Chase & Co | 638,470 | 35,741,551 |
KeyCorp | 150,677 | 2,055,234 |
M&T Bank | 22,179 | 2,706,060 |
People’s United Financial | 52,854 | 754,755 |
PNC Financial Services Group | 90,044 | 7,567,298 |
Regions Financial | 239,246 | 2,425,954 |
SunTrust Banks | 89,404 | 3,420,597 |
U.S. Bancorp | 305,674 | 12,465,386 |
Wells Fargo & Co. | 807,386 | 40,078,641 |
Zions Bancorporation | 29,727 | 859,705 |
170,562,763 | ||
Capital Goods—8.1% | ||
3M | 106,174 | 14,767,742 |
Allegion | 15,633 | 771,489 |
AMETEK | 40,673 | 2,144,281 |
Boeing | 115,339 | 14,881,038 |
Caterpillar | 107,541 | 11,334,821 |
Cummins | 29,274 | 4,415,983 |
Danaher | 101,400 | 7,440,732 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Deere & Co. | 62,359 | 5,820,589 | ||
Dover | 28,370 | 2,451,168 | ||
Eaton | 79,097 | 5,745,606 | ||
Emerson Electric | 118,351 | 8,069,171 | ||
Fastenal | 45,296 | a | 2,268,424 | |
Flowserve | 23,082 | 1,686,140 | ||
Fluor | 27,096 | 2,051,167 | ||
General Dynamics | 54,840 | 6,002,238 | ||
General Electric | 1,691,884 | 45,494,761 | ||
Honeywell International | 131,328 | 12,200,371 | ||
Illinois Tool Works | 65,938 | 5,619,896 | ||
Ingersoll-Rand | 45,200 | 2,702,960 | ||
Jacobs Engineering Group | 22,340 | b | 1,289,018 | |
Joy Global | 18,859 | a | 1,138,706 | |
L-3 Communications Holdings | 15,119 | 1,744,279 | ||
Lockheed Martin | 45,222 | 7,422,739 | ||
Masco | 61,285 | 1,231,216 | ||
Northrop Grumman | 36,558 | 4,442,163 | ||
PACCAR | 58,794 | 3,761,640 | ||
Pall | 19,090 | 1,606,423 | ||
Parker Hannifin | 24,971 | 3,168,320 | ||
Pentair | 32,929 | 2,446,295 | ||
Precision Castparts | 24,533 | 6,209,057 | ||
Quanta Services | 37,851 | b | 1,335,383 | |
Raytheon | 53,582 | 5,116,009 | ||
Rockwell Automation | 23,111 | 2,754,369 | ||
Rockwell Collins | 22,353 | 1,735,710 | ||
Roper Industries | 16,869 | 2,343,948 | ||
Snap-on | 10,081 | 1,169,396 | ||
Stanley Black & Decker | 25,529 | 2,192,686 | ||
Textron | 48,699 | 1,991,789 | ||
United Technologies | 142,310 | 16,839,542 | ||
W.W. Grainger | 10,557 | 2,685,701 | ||
Xylem | 30,812 | 1,158,223 | ||
229,651,189 |
8
Common Stocks (continued) | Shares | Value ($) | |
Commercial & | |||
Professional Services—.7% | |||
ADT | 29,692 | a | 897,886 |
Cintas | 17,248 | 1,016,425 | |
Dun & Bradstreet | 6,424 | 711,522 | |
Equifax | 20,748 | 1,469,166 | |
Iron Mountain | 30,330 | 862,585 | |
Nielsen Holdings | 47,850 | 2,246,558 | |
Pitney Bowes | 34,177 | 915,944 | |
Republic Services | 45,540 | 1,597,999 | |
Robert Half International | 22,456 | 1,006,029 | |
Stericycle | 14,882 | b | 1,732,860 |
Tyco International | 78,000 | 3,190,200 | |
Waste Management | 74,655 | 3,318,415 | |
18,965,589 | |||
Consumer Durables & Apparel—1.3% | |||
Coach | 47,335 | 2,113,508 | |
D.R. Horton | 48,521 | 1,081,048 | |
Fossil Group | 8,635 | b | 920,923 |
Garmin | 19,839 | a | 1,132,807 |
Harman International Industries | 11,678 | 1,280,026 | |
Hasbro | 19,752 | 1,091,496 | |
Leggett & Platt | 25,041 | 822,847 | |
Lennar, Cl. A | 29,000 | 1,119,110 | |
Mattel | 57,594 | 2,258,549 | |
Michael Kors Holdings | 29,911 | b | 2,727,883 |
Mohawk Industries | 10,474 | b | 1,386,862 |
Newell Rubbermaid | 48,439 | 1,458,498 | |
NIKE, Cl. B | 125,762 | 9,174,338 | |
PulteGroup | 60,015 | 1,103,676 | |
PVH | 13,933 | 1,749,567 | |
Ralph Lauren | 10,084 | 1,526,415 | |
Under Armour, Cl. A | 27,124 | b | 1,326,092 |
VF | 58,407 | 3,568,084 | |
Whirlpool | 13,313 | 2,041,948 | |
37,883,677 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Services—1.7% | ||||
Carnival | 72,422 | 2,846,909 | ||
Chipotle Mexican Grill | 5,179 | b | 2,581,732 | |
Darden Restaurants | 21,807 | 1,084,026 | ||
Graham Holdings, Cl. B | 721 | 483,957 | ||
H&R Block | 44,509 | 1,264,946 | ||
International Game Technology | 44,710 | 561,110 | ||
Marriott International, Cl. A | 38,023 | 2,202,672 | ||
McDonald’s | 167,725 | 17,003,960 | ||
Starbucks | 126,787 | 8,953,698 | ||
Starwood Hotels & Resorts Worldwide | 31,883 | c | 2,443,832 | |
Wyndham Worldwide | 21,492 | 1,533,239 | ||
Wynn Resorts | 13,385 | 2,729,068 | ||
Yum! Brands | 74,719 | 5,752,616 | ||
49,441,765 | ||||
Diversified Financials—4.9% | ||||
American Express | 155,247 | 13,573,245 | ||
Ameriprise Financial | 32,651 | 3,644,831 | ||
Bank of New York Mellon | 193,962 | 6,569,493 | ||
Berkshire Hathaway, Cl. B | 303,538 | b | 39,110,871 | |
BlackRock | 21,468 | 6,461,868 | ||
Capital One Financial | 96,230 | 7,111,397 | ||
Charles Schwab | 194,578 | 5,166,046 | ||
CME Group | 52,734 | 3,711,946 | ||
Discover Financial Services | 81,296 | 4,544,446 | ||
E*TRADE Financial | 48,546 | b | 1,089,858 | |
Franklin Resources | 66,970 | 3,505,879 | ||
Goldman Sachs Group | 70,988 | 11,345,302 | ||
IntercontinentalExchange Group | 19,605 | 4,008,046 | ||
Invesco | 75,464 | 2,657,087 | ||
Legg Mason | 16,917 | 793,238 | ||
Leucadia National | 52,336 | 1,335,615 | ||
McGraw-Hill Financial | 46,232 | 3,417,932 | ||
Moody’s | 31,916 | 2,505,406 | ||
Morgan Stanley | 236,496 | 7,314,821 | ||
NASDAQ OMX Group | 19,811 | 731,026 | ||
Navient | 72,256 | 1,195,837 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Diversified Financials (continued) | ||||
Northern Trust | 38,540 | 2,322,035 | ||
State Street | 72,802 | 4,700,097 | ||
T. Rowe Price Group | 43,268 | 3,553,601 | ||
140,369,923 | ||||
Energy—10.5% | ||||
Anadarko Petroleum | 84,573 | 8,374,418 | ||
Apache | 66,504 | 5,772,547 | ||
Baker Hughes | 73,746 | 5,154,845 | ||
Cabot Oil & Gas | 71,103 | 2,792,926 | ||
Cameron International | 36,584 | b | 2,376,497 | |
Chesapeake Energy | 83,169 | 2,391,109 | ||
Chevron | 322,651 | 40,499,154 | ||
ConocoPhillips | 206,423 | 15,339,293 | ||
CONSOL Energy | 38,205 | 1,700,505 | ||
Denbury Resources | 61,126 | 1,028,139 | ||
Devon Energy | 63,877 | 4,471,390 | ||
Diamond Offshore Drilling | 12,503 | a | 682,789 | |
Ensco, Cl. A | 38,792 | 1,957,056 | ||
EOG Resources | 92,334 | 9,048,732 | ||
EQT | 25,128 | 2,738,701 | ||
Exxon Mobil | 728,711 | 74,627,294 | ||
FMC Technologies | 40,135 | b | 2,275,655 | |
Halliburton | 142,641 | 8,996,368 | ||
Helmerich & Payne | 17,889 | 1,943,640 | ||
Hess | 47,219 | 4,210,046 | ||
Kinder Morgan | 112,536 | 3,675,426 | ||
Marathon Oil | 115,689 | 4,182,157 | ||
Marathon Petroleum | 49,684 | 4,618,128 | ||
Murphy Oil | 30,154 | 1,912,668 | ||
Nabors Industries | 46,161 | 1,178,029 | ||
National Oilwell Varco | 71,331 | 5,601,623 | ||
Newfield Exploration | 23,525 | b | 796,321 | |
Noble | 42,363 | 1,305,204 | ||
Noble Energy | 60,923 | 4,373,053 | ||
Occidental Petroleum | 134,031 | 12,833,468 | ||
ONEOK | 34,401 | 2,174,831 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Peabody Energy | 42,755 | 812,773 | ||
Phillips 66 | 100,111 | 8,331,237 | ||
Pioneer Natural Resources | 24,222 | 4,681,386 | ||
QEP Resources | 28,937 | 888,077 | ||
Range Resources | 27,515 | 2,488,732 | ||
Rowan, Cl. A | 22,488 | 695,329 | ||
Schlumberger | 220,724 | 22,414,522 | ||
Southwestern Energy | 59,852 | b | 2,865,714 | |
Spectra Energy | 111,346 | 4,421,550 | ||
Tesoro | 22,791 | 1,282,905 | ||
Transocean | 56,359 | a | 2,427,382 | |
Valero Energy | 91,586 | 5,235,972 | ||
Williams | 115,979 | 4,890,834 | ||
300,468,425 | ||||
Food & Staples Retailing—2.4% | ||||
Costco Wholesale | 73,494 | 8,501,786 | ||
CVS Caremark | 200,589 | 14,586,832 | ||
Kroger | 88,113 | 4,056,723 | ||
Safeway | 41,753 | 1,422,107 | ||
Sysco | 97,600 | 3,555,568 | ||
Wal-Mart Stores | 272,797 | 21,744,649 | ||
Walgreen | 147,385 | 10,007,441 | ||
Whole Foods Market | 62,154 | 3,089,054 | ||
66,964,161 | ||||
Food, Beverage & Tobacco—5.3% | ||||
Altria Group | 336,873 | 13,511,976 | ||
Archer-Daniels-Midland | 110,212 | 4,819,571 | ||
Beam | 27,453 | 2,291,502 | ||
Brown-Forman, Cl. B | 27,480 | 2,465,506 | ||
Campbell Soup | 31,488 | 1,432,389 | ||
Coca-Cola | 636,738 | 25,972,543 | ||
Coca-Cola Enterprises | 40,840 | 1,855,770 | ||
ConAgra Foods | 69,298 | 2,114,282 | ||
Constellation Brands, Cl. A | 27,982 | b | 2,234,083 | |
Dr. Pepper Snapple Group | 33,133 | 1,836,231 | ||
General Mills | 105,647 | 5,601,404 |
12
Common Stocks (continued) | Shares | Value ($) | |
Food, Beverage & Tobacco (continued) | |||
Hershey | 25,252 | 2,430,252 | |
Hormel Foods | 22,888 | 1,091,529 | |
J.M. Smucker | 17,792 | 1,720,131 | |
Kellogg | 42,931 | 2,869,079 | |
Keurig Green Mountain | 21,559 | 2,019,647 | |
Kraft Foods Group | 100,490 | 5,713,861 | |
Lorillard | 62,816 | 3,732,527 | |
McCormick & Co. | 22,409 | 1,595,521 | |
Mead Johnson Nutrition | 34,408 | 3,036,850 | |
Molson Coors Brewing, Cl. B | 25,774 | 1,545,667 | |
Mondelez International, Cl. A | 286,888 | 10,227,557 | |
Monster Beverage | 22,911 | b | 1,534,121 |
PepsiCo | 257,042 | 22,077,337 | |
Philip Morris International | 268,566 | 22,943,593 | |
Reynolds American | 52,193 | 2,945,251 | |
Tyson Foods, Cl. A | 45,803 | 1,922,352 | |
151,540,532 | |||
Health Care Equipment & Services—4.1% | |||
Abbott Laboratories | 258,585 | 10,017,583 | |
Aetna | 61,838 | 4,418,325 | |
AmerisourceBergen | 38,289 | 2,495,677 | |
Baxter International | 91,658 | 6,671,786 | |
Becton Dickinson & Co. | 32,215 | 3,641,261 | |
Boston Scientific | 225,392 | b | 2,842,193 |
C.R. Bard | 12,889 | 1,770,046 | |
Cardinal Health | 57,874 | 4,022,822 | |
CareFusion | 34,395 | b | 1,343,469 |
Cerner | 48,854 | b | 2,506,210 |
Cigna | 46,482 | 3,720,419 | |
Covidien | 76,640 | 5,460,600 | |
DaVita HealthCare Partners | 29,644 | b | 2,054,329 |
DENTSPLY International | 24,840 | 1,108,609 | |
Edwards Lifesciences | 18,817 | b | 1,533,021 |
Express Scripts Holding | 130,896 | b | 8,715,056 |
Humana | 26,702 | 2,930,544 | |
Intuitive Surgical | 6,468 | b | 2,339,476 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care Equipment & Services (continued) | ||||
Laboratory Corp. of America Holdings | 14,550 | b | 1,436,085 | |
McKesson | 38,593 | 6,529,550 | ||
Medtronic | 168,743 | 9,925,463 | ||
Patterson | 15,412 | 627,268 | ||
Quest Diagnostics | 25,238 | 1,411,561 | ||
St. Jude Medical | 49,061 | 3,113,902 | ||
Stryker | 49,612 | 3,857,333 | ||
Tenet Healthcare | 16,842 | b | 759,237 | |
UnitedHealth Group | 166,829 | 12,518,848 | ||
Varian Medical Systems | 17,394 | b | 1,383,693 | |
WellPoint | 47,654 | 4,797,805 | ||
Zimmer Holdings | 29,086 | 2,815,525 | ||
116,767,696 | ||||
Household & Personal Products—2.1% | ||||
Avon Products | 69,907 | 1,068,179 | ||
Clorox | 22,165 | 2,010,366 | ||
Colgate-Palmolive | 147,897 | 9,953,468 | ||
Estee Lauder, Cl. A | 43,756 | 3,175,373 | ||
Kimberly-Clark | 63,697 | 7,149,988 | ||
Procter & Gamble | 457,196 | 37,741,530 | ||
61,098,904 | ||||
Insurance—2.9% | ||||
ACE | 56,700 | 5,801,544 | ||
Aflac | 76,884 | 4,822,164 | ||
Allstate | 76,467 | 4,354,796 | ||
American International Group | 248,003 | 13,176,399 | ||
Aon | 50,635 | 4,297,899 | ||
Assurant | 12,368 | 833,727 | ||
Chubb | 41,777 | 3,846,826 | ||
Cincinnati Financial | 26,035 | 1,268,946 | ||
Genworth Financial, Cl. A | 83,117 | b | 1,483,638 | |
Hartford Financial Services Group | 75,465 | 2,706,930 | ||
Lincoln National | 44,563 | 2,161,751 | ||
Loews | 52,171 | 2,293,959 | ||
Marsh & McLennan | 91,247 | 4,499,390 | ||
MetLife | 188,657 | 9,876,194 |
14
Common Stocks (continued) | Shares | Value ($) | |
Insurance (continued) | |||
Principal Financial Group | 45,478 | 2,130,190 | |
Progressive | 94,831 | 2,299,652 | |
Prudential Financial | 77,771 | 6,274,564 | |
Torchmark | 15,514 | 1,236,466 | |
Travelers | 60,619 | 5,490,869 | |
Unum Group | 42,939 | 1,426,434 | |
XL Group | 47,665 | 1,494,298 | |
81,776,636 | |||
Materials—3.5% | |||
Air Products & Chemicals | 35,119 | 4,127,185 | |
Airgas | 11,135 | 1,183,205 | |
Alcoa | 180,823 | 2,435,686 | |
Allegheny Technologies | 18,808 | 774,890 | |
Avery Dennison | 17,132 | 833,643 | |
Ball | 24,565 | 1,380,307 | |
Bemis | 17,582 | 707,500 | |
CF Industries Holdings | 9,528 | 2,335,980 | |
Dow Chemical | 204,996 | 10,229,300 | |
E.I. du Pont de Nemours & Co. | 155,900 | 10,495,188 | |
Eastman Chemical | 25,558 | 2,227,891 | |
Ecolab | 45,456 | 4,756,516 | |
FMC | 22,314 | 1,718,178 | |
Freeport-McMoRan Copper & Gold | 173,027 | 5,946,938 | |
International Flavors & Fragrances | 14,164 | 1,395,437 | |
International Paper | 75,156 | 3,506,027 | |
LyondellBasell Industries, Cl. A | 72,876 | 6,741,030 | |
MeadWestvaco | 30,975 | 1,210,193 | |
Monsanto | 87,926 | 9,733,408 | |
Mosaic | 58,149 | 2,909,776 | |
Newmont Mining | 83,664 | 2,077,377 | |
Nucor | 52,554 | 2,719,669 | |
Owens-Illinois | 27,469 | b | 872,965 |
PPG Industries | 23,631 | 4,575,434 | |
Praxair | 49,712 | 6,489,902 | |
Sealed Air | 34,582 | 1,186,508 | |
Sherwin-Williams | 14,661 | 2,929,854 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Sigma-Aldrich | 20,478 | 1,970,188 | ||
United States Steel | 26,106 | 679,278 | ||
Vulcan Materials | 21,789 | 1,406,044 | ||
99,555,497 | ||||
Media—3.5% | ||||
Cablevision Systems (NY Group), Cl. A | 34,947 | 583,615 | ||
CBS, Cl. B | 93,067 | 5,375,550 | ||
Comcast, Cl. A | 439,499 | 22,748,468 | ||
DIRECTV | 79,912 | b | 6,201,171 | |
Discovery Communications, Cl. A | 38,514 | b | 2,923,213 | |
Gannett | 37,184 | 1,010,289 | ||
Interpublic Group of Cos | 70,523 | 1,228,511 | ||
News Corp., Cl. A | 83,146 | b | 1,415,145 | |
Omnicom Group | 43,541 | 2,946,855 | ||
Scripps Networks Interactive, Cl. A | 18,028 | 1,353,362 | ||
Time Warner | 151,299 | 10,055,332 | ||
Time Warner Cable | 47,030 | 6,652,864 | ||
Twenty-First Century Fox, Cl. A | 328,275 | 10,511,365 | ||
Viacom, Cl. B | 68,130 | 5,789,687 | ||
Walt Disney | 273,951 | 21,735,272 | ||
100,530,699 | ||||
Pharmaceuticals, Biotech & | ||||
Life Sciences—9.0% | ||||
AbbVie | 268,048 | 13,959,940 | ||
Actavis | 29,232 | b | 5,972,975 | |
Agilent Technologies | 55,949 | 3,023,484 | ||
Alexion Pharmaceuticals | 33,274 | b | 5,263,947 | |
Allergan | 50,321 | 8,345,235 | ||
Amgen | 127,113 | 14,204,878 | ||
Biogen Idec | 39,859 | b | 11,444,316 | |
Bristol-Myers Squibb | 277,498 | 13,899,875 | ||
Celgene | 68,939 | b | 10,134,722 | |
Eli Lilly & Co. | 166,873 | 9,862,194 | ||
Forest Laboratories | 39,657 | b | 3,644,875 | |
Gilead Sciences | 259,362 | b | 20,357,323 | |
Hospira | 27,494 | b | 1,259,225 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Pharmaceuticals, Biotech & | ||||
Life Sciences (continued) | ||||
Johnson & Johnson | 476,985 | 48,313,811 | ||
Merck & Co. | 495,801 | 29,034,107 | ||
Mylan | 62,738 | b | 3,185,836 | |
PerkinElmer | 18,122 | 760,580 | ||
Perrigo Company | 22,333 | 3,235,158 | ||
Pfizer | 1,076,423 | 33,670,511 | ||
Regeneron Pharmaceuticals | 13,199 | b | 3,918,651 | |
Thermo Fisher Scientific | 66,201 | 7,546,914 | ||
Vertex Pharmaceuticals | 39,501 | b | 2,674,218 | |
Waters | 14,360 | b | 1,415,034 | |
Zoetis | 85,346 | 2,582,570 | ||
257,710,379 | ||||
Real Estate—2.2% | ||||
American Tower | 65,743 | c | 5,490,855 | |
Apartment Investment & Management, Cl. A | 23,338 | c | 719,511 | |
AvalonBay Communities | 20,684 | c | 2,824,400 | |
Boston Properties | 25,570 | c | 2,995,270 | |
CBRE Group, Cl. A | 45,628 | b | 1,215,530 | |
Crown Castle International | 56,174 | 4,085,535 | ||
Equity Residential | 55,542 | c | 3,301,416 | |
Essex Property Trust | 10,381 | c | 1,798,612 | |
General Growth Properties | 91,012 | c | 2,090,546 | |
HCP | 75,493 | c | 3,160,137 | |
Health Care | 47,733 | c | 3,011,475 | |
Host Hotels & Resorts | 127,505 | c | 2,734,982 | |
Kimco Realty | 68,950 | c | 1,580,334 | |
Macerich | 24,295 | c | 1,576,988 | |
Plum Creek Timber | 28,023 | c | 1,221,803 | |
Prologis | 82,685 | c | 3,359,492 | |
Public Storage | 24,015 | c | 4,214,873 | |
Simon Property Group | 52,984 | c | 9,176,829 | |
Ventas | 49,675 | c | 3,282,524 | |
Vornado Realty Trust | 29,837 | c | 3,061,276 | |
Weyerhaeuser | 99,813 | c | 2,979,418 | |
63,881,806 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Retailing—4.1% | |||
Amazon.com | 62,723 | b | 19,075,946 |
AutoNation | 11,377 | b | 602,867 |
AutoZone | 5,678 | b | 3,031,427 |
Bed Bath & Beyond | 36,578 | b | 2,272,591 |
Best Buy | 45,619 | 1,182,901 | |
CarMax | 37,907 | b | 1,659,568 |
Dollar General | 50,223 | b | 2,834,586 |
Dollar Tree | 34,142 | b | 1,777,774 |
Expedia | 17,253 | 1,224,790 | |
Family Dollar Stores | 16,391 | 962,971 | |
GameStop, Cl. A | 19,268 | a | 764,554 |
Gap | 43,467 | 1,708,253 | |
Genuine Parts | 25,965 | 2,262,071 | |
Home Depot | 237,446 | 18,879,331 | |
Kohl’s | 34,082 | 1,867,353 | |
L Brands | 41,129 | 2,229,192 | |
Lowe’s | 175,935 | 8,077,176 | |
Macy’s | 61,802 | 3,549,289 | |
Netflix | 10,083 | b | 3,247,129 |
Nordstrom | 24,113 | 1,477,645 | |
O’Reilly Automotive | 18,080 | b | 2,690,123 |
PetSmart | 16,940 | a | 1,146,499 |
Priceline Group | 8,790 | b | 10,176,622 |
Ross Stores | 35,782 | 2,436,039 | |
Staples | 114,694 | a | 1,433,675 |
Target | 106,179 | 6,556,553 | |
The TJX Companies | 119,536 | 6,954,604 | |
Tiffany & Co. | 18,448 | 1,614,016 | |
Tractor Supply | 23,868 | 1,604,884 | |
TripAdvisor | 18,331 | b | 1,480,045 |
Urban Outfitters | 19,231 | b | 685,681 |
115,466,155 | |||
Semiconductors & Semiconductor | |||
Equipment—2.1% | |||
Altera | 54,958 | 1,787,234 | |
Analog Devices | 52,479 | 2,691,648 |
18
Common Stocks (continued) | Shares | Value ($) | |
Semiconductors & Semiconductor | |||
Equipment (continued) | |||
Applied Materials | 199,893 | 3,809,961 | |
Broadcom, Cl. A | 93,043 | 2,866,655 | |
First Solar | 10,675 | b | 720,456 |
Intel | 838,346 | 22,375,455 | |
KLA-Tencor | 28,256 | 1,808,101 | |
Lam Research | 27,672 | 1,594,184 | |
Linear Technology | 40,484 | 1,801,538 | |
LSI | 90,852 | 1,012,091 | |
Microchip Technology | 33,824 | a | 1,607,993 |
Micron Technology | 176,918 | b | 4,621,098 |
NVIDIA | 96,700 | 1,786,049 | |
Texas Instruments | 184,082 | 8,366,527 | |
Xilinx | 46,090 | 2,174,987 | |
59,023,977 | |||
Software & Services—10.0% | |||
Accenture, Cl. A | 106,952 | 8,579,689 | |
Adobe Systems | 77,983 | b | 4,810,771 |
Akamai Technologies | 30,772 | b | 1,633,070 |
Alliance Data Systems | 8,960 | b | 2,167,424 |
Autodesk | 38,698 | b | 1,858,278 |
Automatic Data Processing | 80,843 | 6,302,520 | |
CA | 53,728 | 1,619,362 | |
Citrix Systems | 30,566 | b | 1,812,869 |
Cognizant Technology Solutions, Cl. A | 101,472 | b | 4,861,016 |
Computer Sciences | 24,826 | 1,469,203 | |
eBay | 196,212 | b | 10,169,668 |
Electronic Arts | 50,857 | b | 1,439,253 |
Facebook, Cl. A | 287,940 | b | 17,213,053 |
Fidelity National Information Services | 48,098 | 2,569,876 | |
Fiserv | 42,907 | b | 2,607,887 |
Google, Cl. A | 47,595 | b | 25,457,614 |
Google, Cl. C | 47,595 | b | 25,066,383 |
International Business Machines | 165,120 | 32,441,126 | |
Intuit | 47,819 | 3,622,289 | |
MasterCard, Cl. A | 172,092 | 12,657,367 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Software & Services (continued) | |||
Microsoft | 1,274,844 | 51,503,698 | |
Oracle | 583,989 | 23,873,470 | |
Paychex | 53,515 | 2,237,462 | |
Red Hat | 32,818 | b | 1,596,596 |
salesforce.com | 94,625 | b | 4,887,381 |
Symantec | 116,194 | 2,356,414 | |
Teradata | 28,299 | b | 1,286,473 |
Total System Services | 28,103 | 892,832 | |
VeriSign | 22,359 | b | 1,054,898 |
Visa, Cl. A | 85,337 | 17,290,130 | |
Western Union | 95,917 | 1,522,203 | |
Xerox | 196,633 | 2,377,293 | |
Yahoo! | 157,307 | b | 5,655,187 |
284,892,755 | |||
Technology Hardware & Equipment—6.4% | |||
Amphenol, Cl. A | 26,080 | 2,486,728 | |
Apple | 150,417 | 88,759,568 | |
Cisco Systems | 868,902 | 20,080,325 | |
Corning | 234,853 | 4,910,776 | |
EMC | 341,617 | 8,813,719 | |
F5 Networks | 12,755 | b | 1,341,443 |
FLIR Systems | 25,374 | 863,731 | |
Harris | 17,893 | 1,315,493 | |
Hewlett-Packard | 321,317 | 10,622,740 | |
Jabil Circuit | 32,358 | 558,499 | |
Juniper Networks | 83,861 | b | 2,070,528 |
Motorola Solutions | 38,847 | 2,469,892 | |
NetApp | 57,918 | 2,062,460 | |
QUALCOMM | 285,136 | 22,443,055 | |
SanDisk | 38,536 | 3,274,404 | |
Seagate Technology | 54,356 | 2,858,038 | |
TE Connectivity | 68,200 | 4,022,436 | |
Western Digital | 35,118 | 3,094,949 | |
182,048,784 |
20
Common Stocks (continued) | Shares | Value ($) | |
Telecommunication Services—2.4% | |||
AT&T | 878,054 | 31,346,528 | |
CenturyLink | 99,978 | 3,490,232 | |
Frontier Communications | 165,132 | a | 982,535 |
Verizon Communications | 698,251 | 32,629,269 | |
Windstream Holdings | 106,795 | a | 968,631 |
69,417,195 | |||
Transportation—2.0% | |||
C.H. Robinson Worldwide | 25,541 | 1,504,365 | |
CSX | 172,145 | 4,857,932 | |
Delta Air Lines | 142,344 | 5,242,530 | |
Expeditors International of Washington | 35,804 | 1,476,557 | |
FedEx | 46,870 | 6,386,037 | |
Kansas City Southern | 18,719 | 1,888,373 | |
Norfolk Southern | 51,770 | 4,893,818 | |
Ryder System | 8,268 | 679,464 | |
Southwest Airlines | 115,975 | 2,803,116 | |
Union Pacific | 76,743 | 14,614,169 | |
United Parcel Service, Cl. B | 119,607 | 11,781,289 | |
56,127,650 | |||
Utilities—3.2% | |||
AES | 108,632 | 1,569,732 | |
AGL Resources | 19,005 | 1,026,270 | |
Ameren | 41,415 | 1,710,854 | |
American Electric Power | 80,957 | 4,356,296 | |
CenterPoint Energy | 72,434 | 1,793,466 | |
CMS Energy | 45,572 | 1,381,287 | |
Consolidated Edison | 49,868 | 2,893,840 | |
Dominion Resources | 98,077 | 7,114,506 | |
DTE Energy | 30,234 | 2,362,485 | |
Duke Energy | 118,742 | 8,845,092 | |
Edison International | 54,443 | 3,079,296 | |
Entergy | 29,515 | 2,139,838 | |
Exelon | 143,502 | 5,026,875 | |
FirstEnergy | 71,055 | 2,398,106 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Utilities (continued) | ||||
Integrys Energy Group | 13,486 | 826,422 | ||
NextEra Energy | 73,405 | 7,329,489 | ||
NiSource | 51,907 | 1,885,262 | ||
Northeast Utilities | 52,519 | 2,482,048 | ||
NRG Energy | 54,842 | 1,794,430 | ||
Pepco Holdings | 42,315 | 1,132,349 | ||
PG&E | 75,954 | 3,461,983 | ||
Pinnacle West Capital | 18,129 | 1,014,318 | ||
PPL | 105,278 | 3,509,969 | ||
Public Service Enterprise Group | 86,131 | 3,528,787 | ||
SCANA | 24,197 | 1,298,895 | ||
Sempra Energy | 38,477 | 3,794,217 | ||
Southern | 148,065 | 6,785,819 | ||
TECO Energy | 37,265 | 669,279 | ||
Wisconsin Energy | 38,946 | 1,888,102 | ||
Xcel Energy | 82,108 | 2,616,782 | ||
89,716,094 | ||||
Total Common Stocks | ||||
(cost $1,176,672,927) | 2,836,492,809 | |||
Principal | ||||
Short-Term Investments—.0% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
0.08%, 6/26/14 | 860,000 | d | 859,990 | |
0.03%, 9/11/14 | 15,000 | d | 14,999 | |
Total Short-Term Investments | ||||
(cost $874,888) | 874,989 | |||
Other Investment—.5% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $15,180,386) | 15,180,386 | e | 15,180,386 |
22
Investment of Cash Collateral | ||||
for Securities Loaned—.4% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $10,488,752) | 10,488,752 | e | 10,488,752 | |
Total Investments (cost $1,203,216,953) | 100.4 | % | 2,863,036,936 | |
Liabilities, Less Cash and Receivables | (.4 | %) | (12,156,522 | ) |
Net Assets | 100.0 | % | 2,850,880,414 |
a Security, or portion thereof, on loan.At April 30, 2014, the value of the fund’s securities on loan was $13,988,486 |
and the value of the collateral held by the fund was $14,185,909, consisting of cash collateral of $10,488,752 and |
U.S. Government and Agency securities valued at $3,697,157. |
b Non-income producing security. |
c Investment in real estate investment trust. |
d Held by or on behalf of a counterparty for open financial futures contracts. |
e Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Energy | 10.5 | Insurance | 2.9 |
Software & Services | 10.0 | Food & Staples Retailing | 2.4 |
Pharmaceuticals, | Telecommunication Services | 2.4 | |
Biotech & Life Sciences | 9.0 | Real Estate | 2.2 |
Capital Goods | 8.1 | Household & Personal Products | 2.1 |
Technology Hardware & Equipment | 6.4 | Semiconductors & | |
Banks | 6.0 | Semiconductor Equipment | 2.1 |
Food, Beverage & Tobacco | 5.3 | Transportation | 2.0 |
Diversified Financials | 4.9 | Consumer Services | 1.7 |
Health Care Equipment & Services | 4.1 | Consumer Durables & Apparel | 1.3 |
Retailing | 4.1 | Automobiles & Components | 1.1 |
Materials | 3.5 | Short-Term/Money Market Investments | .9 |
Media | 3.5 | Commercial & Professional Services | .7 |
Utilities | 3.2 | 100.4 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 23
STATEMENT OF FINANCIAL FUTURES
April 30, 2014 (Unaudited)
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2014 | ($) | |
Financial Futures Long | |||||
Standard & Poor’s 500 E-mini | 207 | 19,436,265 | June 2014 | 192,525 | |
See notes to financial statements. |
24
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2014 (Unaudited)
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments (including | |||
securities on loan, valued at $13,988,486)—Notes 1(b): | |||
Unaffiliated issuers | 1,177,547,815 | 2,837,367,798 | |
Affiliated issuers | 25,669,138 | 25,669,138 | |
Cash | 2,137,227 | ||
Dividends, interest and securities lending income receivable | 2,628,542 | ||
Receivable for investment securities sold | 1,929,459 | ||
Receivable for shares of Common Stock subscribed | 223,845 | ||
Receivable for futures variation margin—Note 4 | 60,319 | ||
2,870,016,328 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 1,143,124 | ||
Liability for securities on loan—Note 1(b) | 10,488,752 | ||
Payable for shares of Common Stock redeemed | 4,979,018 | ||
Payable for investment securities purchased | 2,520,854 | ||
Accrued expenses | 4,166 | ||
19,135,914 | |||
Net Assets ($) | 2,850,880,414 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 1,180,979,316 | ||
Accumulated undistributed investment income—net | 13,240,803 | ||
Accumulated net realized gain (loss) on investments | (3,352,213 | ) | |
Accumulated net unrealized appreciation (depreciation) | |||
on investments (including $192,525 net unrealized | |||
appreciation on financial futures) | 1,660,012,508 | ||
Net Assets ($) | 2,850,880,414 | ||
Shares Outstanding | |||
(200 million shares of $.001 par value Common Stock authorized) | 56,999,069 | ||
Net Asset Value, offering and redemption price per share ($) | 50.02 | ||
See notes to financial statements. |
The Fund 25
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2014 (Unaudited)
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $2,428 foreign taxes withheld at source): | ||
Unaffiliated issuers | 28,635,730 | |
Affiliated issuers | 7,100 | |
Income from securities lending—Note 1(b) | 29,649 | |
Interest | 160 | |
Total Income | 28,672,639 | |
Expenses: | ||
Management fee—Note 3(a) | 3,483,239 | |
Shareholder servicing costs—Note 3(b) | 3,483,239 | |
Directors’ fees —Note 3(a,c) | 106,294 | |
Loan commitment fees—Note 2 | 11,118 | |
Interest expense—Note 2 | 473 | |
Total Expenses | 7,084,363 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (106,294 | ) |
Net Expenses | 6,978,069 | |
Investment Income—Net | 21,694,570 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 49,871,239 | |
Net realized gain (loss) on financial futures | 1,941,174 | |
Net Realized Gain (Loss) | 51,812,413 | |
Net unrealized appreciation (depreciation) on investments | 144,723,969 | |
Net unrealized appreciation (depreciation) on financial futures | (28,769 | ) |
Net Unrealized Appreciation (Depreciation) | 144,695,200 | |
Net Realized and Unrealized Gain (Loss) on Investments | 196,507,613 | |
Net Increase in Net Assets Resulting from Operations | 218,202,183 | |
See notes to financial statements. |
26
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2014 | Year Ended | |||
(Unaudited) | October 31, 2013 | |||
Operations ($): | ||||
Investment income—net | 21,694,570 | 44,315,533 | ||
Net realized gain (loss) on investments | 51,812,413 | 54,132,849 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 144,695,200 | 497,582,084 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 218,202,183 | 596,030,466 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (42,005,443 | ) | (41,840,455 | ) |
Net realized gain on investments | (58,045,874 | ) | (32,223,101 | ) |
Total Dividends | (100,051,317 | ) | (74,063,556 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 267,660,308 | 622,424,752 | ||
Dividends reinvested | 98,667,543 | 72,174,741 | ||
Cost of shares redeemed | (388,998,659 | ) | (788,067,025 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (22,670,808 | ) | (93,467,532 | ) |
Total Increase (Decrease) in Net Assets | 95,480,058 | 428,499,378 | ||
Net Assets ($): | ||||
Beginning of Period | 2,755,400,356 | 2,326,900,978 | ||
End of Period | 2,850,880,414 | 2,755,400,356 | ||
Undistributed investment income—net | 13,240,803 | 33,551,676 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 5,482,215 | 14,520,000 | ||
Shares issued for dividends reinvested | 2,027,090 | 1,889,752 | ||
Shares redeemed | (7,981,710 | ) | (18,408,216 | ) |
Net Increase (Decrease) in Shares Outstanding | (472,405 | ) | (1,998,464 | ) |
See notes to financial statements. |
The Fund 27
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||||||||
April 30, 2014 | Year Ended October 31, | ||||||||||||
(Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||
Per Share Data ($): | |||||||||||||
Net asset value, | |||||||||||||
beginning of period | 47.94 | 39.13 | 34.90 | 33.62 | 29.45 | 27.66 | |||||||
Investment Operations: | |||||||||||||
Investment income—neta | .38 | .75 | .63 | .55 | .49 | .53 | |||||||
Net realized and | |||||||||||||
unrealized gain (loss) | |||||||||||||
on investments | 3.46 | 9.32 | 4.38 | 2.00 | 4.19 | 1.93 | |||||||
Total from | |||||||||||||
Investment Operations | 3.84 | 10.07 | 5.01 | 2.55 | 4.68 | 2.46 | |||||||
Distributions: | |||||||||||||
Dividends from | |||||||||||||
investment income—net | (.74 | ) | (.71 | ) | (.56 | ) | (.51 | ) | (.51 | ) | (.67 | ) | |
Dividends from net realized | |||||||||||||
gain on investments | (1.02 | ) | (.55 | ) | (.22 | ) | (.76 | ) | — | — | |||
Total Distributions | (1.76 | ) | (1.26 | ) | (.78 | ) | (1.27 | ) | (.51 | ) | (.67 | ) | |
Net asset value, | |||||||||||||
end of period | 50.02 | 47.94 | 39.13 | 34.90 | 33.62 | 29.45 | |||||||
Total Return (%) | 8.11 | b | 26.56 | 14.67 | 7.61 | 16.02 | 9.42 | ||||||
Ratios/Supplemental | |||||||||||||
Data (%): | |||||||||||||
Ratio of total expenses | |||||||||||||
to average net assets | .51 | c | .51 | .51 | .51 | .51 | .51 | ||||||
Ratio of net expenses | |||||||||||||
to average net assets | .50 | c | .50 | .50 | .50 | .50 | .50 | ||||||
Ratio of net investment | |||||||||||||
income to average | |||||||||||||
net assets | 1.56 | c | 1.75 | 1.71 | 1.55 | 1.55 | 2.06 | ||||||
Portfolio Turnover Rate | 2.19 | b | 2.92 | 3.20 | 3.38 | 5.45 | 4.36 | ||||||
Net Assets, | |||||||||||||
end of period | |||||||||||||
($ x 1,000) | 2,850,880 | 2,755,400 | 2,326,901 | 2,230,524 | 2,327,872 | 2,238,885 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
28
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective seeks to match the performance of the Standard & Poor’s ® 500 Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
The Fund 29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official clos-
30
ing 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 generally 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 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally 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 and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2014 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† | 2,831,807,870 | — | — | 2,831,807,870 |
Equity Securities— | ||||
Foreign | ||||
Common Stocks† | 4,684,939 | — | — | 4,684,939 |
Mutual Funds | 25,669,138 | — | — | 25,669,138 |
U.S. Treasury | — | 874,989 | — | 874,989 |
Other Financial | ||||
Instruments: | ||||
Financial Futures†† | 192,525 | — | — | 192,525 |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation at period end. |
At April 30, 2014, 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
32
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 or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. During the period ended April 30, 2014, The Bank of New York Mellon earned $8,118 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2014 were as follows:
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2013($) | Purchases ($) | Sales($) | 4/30/2014 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Preferred | |||||
Plus Money | |||||
Market | |||||
Fund | 16,179,554 | 151,317,815 | 152,316,983 | 15,180,386 | .5 |
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2013 ($) | Purchases ($) | Sales ($) | 4/30/2014 ($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Fund | 9,096,284 | 64,452,694 | 63,060,226 | 10,488,752 | .4 |
Total | 25,275,838 | 215,770,509 | 215,377,209 | 25,669,138 | .9 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2014, 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 ended April 30, 2014, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2013 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2013 was as follows: ordinary income
34
$44,234,704 and long-term capital gains $29,828,852.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $265 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2014 was approximately $87,300 with a related weighted average annualized interest rate of 1.09 %.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement (the “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
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
members and fees and expenses of independent counsel to the fund and to non-interested Board members. During the period ended April 30, 2014, fees reimbursed by the Manager amounted to $106,294.
(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) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2014, the fund was charged $3,483,239 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 $579,389 and Shareholder Services Plan fees $579,389, which are offset against an expense reimbursement currently in effect in the amount of $15,654.
(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 April 30, 2014, amounted to $61,309,802 and $158,087,482, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of deriv-
36
ative instrument that was held by the fund during the period ended April 30, 2014 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations.When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at April 30, 2014 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2014:
Average Market Value ($) | |
Equity financial futures | 25,853,702 |
At April 30, 2014, accumulated net unrealized appreciation on investments was $1,659,819,983, consisting of $1,685,516,872 gross unrealized appreciation and $25,696,889 gross unrealized depreciation.
At April 30, 2014, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”).The cases allege that Tribune took on billions of dollars of debt in the LBO to purchase its own stock from shareholders at $34 per share.The LBO was closed in a two-step transaction with shares being repurchased byTribune in a tender offer in June 2007 (“Step One”) and in a go-private merger in December 2007 (“Step Two”). In 2008, approximately one year after the LBO was concluded,Tribune filed for bankruptcy protection under Chapter 11. Thereafter, in approximately June 2011, certain Tribune creditors filed dozens of complaints in various courts throughout the country alleging that the payments made to shareholders in the LBO were “fraudulent conveyances” under state and/or federal 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 (RJS) (“Tribune MDL”)). On March 27, 2013, the Tribune MDL was reassigned from Judge William H. Pauley to Judge Richard J. Sullivan. No explanation was given for the reassignment.
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 (formerly The Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, et al., Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC)) (“FitzSimons case”).The case was originally filed on November 1, 2010. In a Fourth Amended Complaint filed in November 2012, among other claims, the Creditors Committee sought recovery under the Bankruptcy Code for alleged “fraudulent conveyances” from more
38
than 5,000 Tribune shareholders (“Shareholder Defendants”), including the fund, and a defendants’ class of all shareholders who tendered their Tribune stock in the LBO and received cash in exchange.There were 35 other counts in the Fourth Amended Complaint that did not relate to claims against Shareholder Defendants, but instead were brought against parties directly involved in approval or execution of the LBO. On January 10, 2013, pursuant to the Tribune bankruptcy plan, Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust, became the successor plaintiff to the Creditors Committee in this case.The case is now proceeding as: Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust v. FitzSimons, et al., S.D.N.Y. No. 12-cv-2652 (RJS). On August 1, 2013, the plaintiff filed a Fifth Amended Complaint with the Court. The Fifth Amended Complaint contains more detailed allegations regarding the steps Tribune took in consideration and execution of the LBO, but does not change the legal basis for the claim previously alleged against the Shareholder Defendants.
On November 6, 2012, a motion to dismiss was filed in the Tribune MDL. Oral argument on the motion to dismiss was held on May 23, 2013. On September 23, 2013 Judge Sullivan granted the motion to dismiss on standing grounds, after rejecting defendants’ preemption arguments. By granting the motion, Judge Sullivan dismissed nearly 50 cases in the Tribune MDL.The fund was a defendant in at least one of the dismissed cases.The motion had no effect on the FitzSimons case, which had been stayed.
On September 30, 2013, plaintiffs appealed the motion to dismiss decision to the U.S. Court of Appeals for the Second Circuit. On October 28, 2013, certain defendants cross-appealed from Judge Sullivan’s decision, seeking review of the arguments that Judge Sullivan rejected in his decision. Briefing on the appeal and cross appeal was completed in April 2014.As of June 2, 2014, the Second Circuit had not yet set a date for oral argument.
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
On November 11, 2013, Judge Sullivan entered Master Case Order No. 4 in the Tribune MDL. Master Case Order No. 4 addressed numerous procedural and administrative tasks for the cases that remain in the Tribune MDL, including the FitzSimons case. Pursuant to Master Case Order No. 4, the parties – through their executive committees and liaison counsel – attempted to negotiate a protocol for motions to dismiss and other procedural issues, and submitted rival proposals to the Court. On April 24, 2014 the Court entered an order setting a schedule for the first motions to dismiss in the FitzSimons case. Pursuant to that schedule, a “global” motion to dismiss the fraudulent transfer claim asserted against the Shareholder Defendants, which applies equally to all Shareholder Defendants including the fund, was filed on May 23, 2014. Plaintiff’s reponse brief is due on June 23, 2014, and the reply brief, if any, is due on July 3, 2014. No date for oral argument has been scheduled, as of June 2, 2014. The Court also preserved Shareholder Defendants’ rights to file nineteen motions to dismiss enumerated in their proposal and motions pursuant to Rules 12(b)(2)-(5) of the Federal Rules of Civil Procedure. If these various motions are necessary after the Court decides the global motion to dismiss, the Court will set further guidelines and briefing schedules.
As of June 2, 2014, no answers to the Fifth Amended Complaint in the FitzSimons case may be filed.
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.
40
INFORMATION ABOUT THE RENEWAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 4-5, 2014, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures.
The Fund 41
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2013, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was below the Performance Group for all periods, and at or above the Performance Universe median for three of the six one-year periods.The Board noted that, in periods when the fund’s performance was below the medians, it was only below the median by one to six basis points. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons.Taking into
42
account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median, and the fund’s actual management fee (highest in the Expense Group) and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus of managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex.The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Fund 43
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level.The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board generally was satisfied with the fund’s overall performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
44
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
The Fund 45
For More Information
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Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
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Dreyfus
Smallcap
Stock Index Fund
SEMIANNUAL REPORT April 30, 2014
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Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
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Contents | |
THE FUND | |
2 | A Letter from the President |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
27 | Statement of Financial Futures |
28 | Statement of Assets and Liabilities |
29 | Statement of Operations |
30 | Statement of Changes in Net Assets |
31 | Financial Highlights |
32 | Notes to Financial Statements |
41 | Information About the Renewal of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus
Smallcap Stock Index Fund
The Fund
A LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2013, through April 30, 2014. 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.
The final two months of 2013 witnessed a firming U.S. labor market, further improvements in housing data, and generally strong corporate earnings growth, but U.S. GDP growth over the opening months of 2014 generally stalled due to harsh winter weather, the expiration of extended unemployment benefits, and the deceleration of inventory accumulation by businesses.Although stocks encountered volatility under these mixed conditions, investors largely appeared to shrug off recent economic shortfalls as some broad measures of U.S. stock market performance either achieved or approached new all-time highs on the reporting period’s final day.
We believe that the economic recovery’s pause over the winter of 2014 will prove temporary, and we currently expect to see accelerating growth over the next few years as past financial stresses continue to fade and fiscal drags abate in the public sector. However, stock valuations have generally risen after the sustained market rally, and in our judgment, selectivity is likely to be key to successful equity investing in the months ahead. As always, we encourage you to discuss our observations and appropriate investment strategies with your financial advisor.
Thank you for your continued confidence and support.
![](https://capedge.com/proxy/N-CSRS/0000857114-14-000019/gssif-csr3x4x1.jpg)
J. Charles Cardona
President
The Dreyfus Corporation
May 15, 2014
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2013, through April 30, 2014, as provided by Thomas J. Durante, CFA, Karen Q.Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended April 30, 2014, Dreyfus Smallcap Stock Index Fund produced a total return of 4.05%.1 In comparison, the Standard & Poor’s SmallCap 600® Index (“S&P 600 Index”), the fund’s benchmark, produced a 4.21% total return for the same period.2,3
Despite anemic growth in the midst of harsh winter weather over the opening months of 2014, general improvement in U.S. economic conditions generally helped support modest gains for small-cap stocks for the reporting period overall. 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.
The fund employed futures contracts during the reporting period in its efforts to replicate the returns of the S&P 600 Index.
Stocks Advanced Despite Economic Uncertainty
Despite occasional bouts of weakness, stocks generally continued to climb over the reporting period during an economic recovery fueled by falling unemployment and low short-term interest rates. These factors proved especially supportive of stock prices over the final months of 2013, when the market rally was led by smaller, more speculative companies that tend to be more sensitive to changes in economic conditions.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
However, market sentiment appeared to change in January 2014, when U.S. equities gave back some of their previous gains amid concerns about economic slowdowns in the emerging markets. Stocks rebounded in February and maintained their value in March and April when those worries proved to be overblown. Nonetheless, the U.S. Department of Commerce estimated that U.S. GDP grew at a very sluggish annualized rate of just 0.01% over the first quarter of 2014 due to the dampening effects of severe winter weather on corporate spending and housing market activity, as well as by reduced export activity and slowing inventory accumulation by businesses.
Despite these troublesome economic developments, U.S. small-cap stocks generally posted positive results for the reporting period. However, large-cap and midcap stocks produced higher returns than their small-cap counterparts, on average.Value-oriented small-cap stocks typically fared better than growth-oriented stocks over the reporting period as investors turned their attention from economically sensitive companies to those with steady earnings and underlying businesses that tend to do consistently well under a variety of economic conditions.
All Market Sectors Post Positive Absolute Returns
All 10 of the economic segments represented in the S&P 600 Index produced positive absolute returns over the reporting period.The industrials, information technology, and materials sectors led the small-cap market’s advance.
In the industrials sector, midsize aerospace-and-defense contractors benefited from pent-up government demand after Congress passed a budget with increased allocations to defense spending. Larger defense companies also acquired smaller firms at a premium to their stock prices at the time. Machinery companies fared well, particularly makers of railcars and tanker trucks that saw orders rise amid a boom in domestic energy production.Among information technology companies, semiconductor manufacturers that serve the supply chain of consumer electronics giant Apple gained value as sales of smartphones and streaming video devices climbed. Producers of electrical equipment and instruments benefited from intensifying mergers-and-acquisitions activity, and makers of equipment for the health care industry fared relatively well due to higher demand. Small-cap metals-and-mining companies in the materials sector rebounded from earlier weakness, and gains among suppliers of sand and gravel for hydraulic fracturing helped drive the sector’s advance.
4
Although disappointments proved relatively mild over the reporting period, the telecommunications services sector lagged market averages due to intensifying competitive pressures, higher network access costs, and rising labor costs.The health care sector also eked out just a modest overall gain when some companies missed earnings targets due to operational problems surrounding the rollout of the Affordable Care Act early in the reporting period.
Replicating the Performance of the S&P 600 Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that U.S. economic growth showed signs by the end of the reporting period of rebounding from previous weather-related weakness. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2014
Equity funds are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus. Stocks of small-cap companies often experience sharper price fluctuations than stocks of larger-cap companies.
1 Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future |
results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less |
than their original cost. |
2 SOURCE: LIPPER INC. — Reflects the reinvestment of dividends and, where applicable, capital gain |
distributions.The Standard & Poor’s SmallCap 600 Index is a broad-based index and a widely accepted, |
unmanaged index of overall small-cap stock market performance. Investors cannot invest directly in any index. |
3 “Standard & Poor’s®,” “S&P®,” and “S&P SmallCap 600®” are registered trademarks of Standard & Poor’s |
Financial Services LLC, and have been licensed for use on behalf of the fund.The fund is not sponsored, endorsed, |
managed, advised, sold or promoted by Standard & Poor’s and its affiliates, and Standard & Poor’s and its affiliates |
make no representation regarding the advisability of investing in the fund. |
The Fund 5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from November 1, 2013 to April 30, 2014. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2014
Expenses paid per $1,000† | $ | 2.53 |
Ending value (after expenses) | $ | 1,040.50 |
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 April 30, 2014
Expenses paid per $1,000† | $ | 2.51 |
Ending value (after expenses) | $ | 1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2014 (Unaudited)
Common Stocks—99.6% | Shares | Value ($) | ||
Automobiles & Components—.7% | ||||
Dorman Products | 78,281 | a | 4,505,072 | |
Drew Industries | 57,365 | 2,886,607 | ||
Spartan Motors | 35,411 | 188,032 | ||
Standard Motor Products | 53,229 | 2,022,170 | ||
Superior Industries International | 37,955 | 802,369 | ||
Winnebago Industries | 70,269 | a | 1,679,429 | |
12,083,679 | ||||
Banks—7.8% | ||||
Bank Mutual | 153,521 | 924,196 | ||
Bank of the Ozarks | 76,470 | 4,580,553 | ||
Banner | 65,865 | 2,604,302 | ||
BBCN Bancorp | 185,555 | 2,859,403 | ||
BofI Holding | 29,392 | a | 2,369,289 | |
Boston Private Financial Holdings | 256,195 | 3,204,999 | ||
Brookline Bancorp | 126,998 | 1,153,142 | ||
Cardinal Financial | 75,620 | 1,270,416 | ||
City Holding | 37,313 | 1,604,086 | ||
Columbia Banking System | 121,171 | 3,007,464 | ||
Community Bank System | 92,193 | 3,428,658 | ||
CVB Financial | 288,470 | 4,171,276 | ||
Dime Community Bancshares | 49,857 | 812,669 | ||
F.N.B | 397,774 | 4,948,309 | ||
First BanCorp | 336,333 | a | 1,728,752 | |
First Commonwealth Financial | 283,544 | 2,435,643 | ||
First Financial Bancorp | 143,697 | 2,326,454 | ||
First Financial Bankshares | 79,388 | 4,687,861 | ||
First Midwest Bancorp | 235,135 | 3,849,160 | ||
Glacier Bancorp | 218,583 | 5,608,840 | ||
Hanmi Financial | 103,277 | 2,196,702 | ||
Home BancShares | 119,700 | 3,795,687 | ||
Independent Bank | 47,972 | 1,780,721 | ||
MB Financial | 149,666 | 4,017,035 | ||
National Penn Bancshares | 350,723 | 3,426,564 | ||
NBT Bankcorp | 91,610 | 2,074,966 | ||
Northwest Bancshares | 219,534 | 2,917,607 | ||
Old National Bancorp | 315,480 | 4,454,578 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Banks (continued) | ||||
Oritani Financial | 136,475 | 2,023,924 | ||
Pinnacle Financial Partners | 101,121 | 3,495,753 | ||
PrivateBancorp | 193,057 | 5,322,581 | ||
Provident Financial Services | 152,036 | 2,642,386 | ||
S&T Bancorp | 103,728 | 2,412,713 | ||
Simmons First National, Cl. A | 54,265 | 1,962,222 | ||
Sterling Bancorp | 190,113 | 2,273,751 | ||
Susquehanna Bancshares | 459,246 | 4,757,789 | ||
Taylor Capital Group | 19,934 | a | 424,395 | |
Texas Capital Bancshares | 104,390 | a | 5,865,674 | |
Tompkins Financial | 18,914 | 891,606 | ||
TrustCo Bank | 184,658 | 1,220,589 | ||
UMB Financial | 91,057 | 5,345,956 | ||
United Bankshares | 153,943 | 4,502,833 | ||
United Community Banks | 132,546 | a | 2,140,618 | |
ViewPoint Financial Group | 105,269 | 2,744,363 | ||
Wilshire Bancorp | 169,402 | 1,694,020 | ||
Wintrust Financial | 123,525 | 5,536,390 | ||
137,496,895 | ||||
Capital Goods—10.1% | ||||
AAON | 87,893 | 2,491,767 | ||
AAR | 124,587 | 3,226,803 | ||
Actuant, Cl. A | 206,078 | 6,977,801 | ||
Aegion | 91,284 | a | 2,326,829 | |
Aerovironment | 36,172 | a | 1,221,528 | |
Albany International, Cl. A | 81,615 | 2,936,508 | ||
American Science & Engineering | 22,657 | 1,522,550 | ||
American Woodmark | 43,628 | a | 1,309,276 | |
Apogee Enterprises | 69,254 | 2,200,200 | ||
Applied Industrial Technologies | 114,890 | 5,505,529 | ||
Astec Industries | 52,446 | 2,095,218 | ||
AZZ | 53,342 | 2,316,110 | ||
Barnes Group | 124,422 | 4,792,735 | ||
Brady, Cl. A | 120,903 | 3,118,088 | ||
Briggs & Stratton | 150,849 | 3,223,643 | ||
CIRCOR International | 47,937 | 3,892,964 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Comfort Systems USA | 110,011 | 1,650,165 | ||
Cubic | 47,076 | 2,232,815 | ||
Curtiss-Wright | 129,134 | 8,256,828 | ||
DXP Enterprises | 28,587 | a | 3,236,334 | |
Dycom Industries | 84,214 | a | 2,644,320 | |
EMCOR Group | 172,840 | 7,948,912 | ||
Encore Wire | 58,770 | 2,863,862 | ||
EnerSys | 126,861 | 8,573,266 | ||
Engility Holdings | 58,195 | a | 2,539,630 | |
EnPro Industries | 51,344 | a | 3,656,206 | |
ESCO Technologies | 59,988 | 2,004,799 | ||
Federal Signal | 198,664 | 3,015,720 | ||
Franklin Electric | 92,574 | 3,579,837 | ||
GenCorp | 132,148 | a | 2,320,519 | |
Gibraltar Industries | 67,653 | a | 1,155,513 | |
Griffon | 120,012 | 1,276,928 | ||
John Bean Technologies | 83,222 | 2,412,606 | ||
Kaman | 62,967 | 2,642,725 | ||
Lindsay | 37,246 | 3,282,490 | ||
Lydall | 70,360 | a | 1,647,128 | |
Moog, Cl. A | 129,330 | a | 8,464,648 | |
Mueller Industries | 138,050 | 3,995,167 | ||
National Presto Industries | 9,225 | 666,598 | ||
Orbital Sciences | 164,483 | a | 4,835,800 | |
Orion Marine Group | 50,589 | a | 593,409 | |
Powell Industries | 17,611 | 1,115,129 | ||
Quanex Building Products | 105,966 | 1,996,399 | ||
Simpson Manufacturing | 126,568 | 4,150,165 | ||
Standex International | 35,494 | 2,107,279 | ||
Taser International | 137,146 | a | 2,214,908 | |
Teledyne Technologies | 97,996 | a | 9,099,909 | |
Tennant | 46,071 | 2,938,869 | ||
Titan International | 117,588 | 2,058,966 | ||
Toro | 154,234 | 9,800,028 | ||
Universal Forest Products | 54,647 | 2,759,127 | ||
Vicor | 30,461 | a | 254,654 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Watts Water Technologies, Cl. A | 73,570 | 3,913,924 | ||
177,063,131 | ||||
Commercial & Professional Services—3.3% | ||||
ABM Industries | 122,066 | 3,306,768 | ||
CDI | 36,364 | 557,096 | ||
Exponent | 34,028 | 2,396,252 | ||
G&K Services, Cl. A | 55,458 | 2,935,947 | ||
Healthcare Services Group | 166,387 | 4,841,862 | ||
Heidrick & Struggles International | 36,877 | 695,131 | ||
Insperity | 57,339 | 1,838,288 | ||
Interface | 153,035 | 2,753,100 | ||
Kelly Services, Cl. A | 90,009 | 1,895,590 | ||
Korn/Ferry International | 128,979 | a | 3,746,840 | |
Mobile Mini | 101,295 | 4,475,213 | ||
Navigant Consulting | 146,509 | a | 2,461,351 | |
On Assignment | 124,296 | a | 4,350,360 | |
Resources Connection | 104,396 | 1,420,830 | ||
Tetra Tech | 156,083 | a | 4,474,900 | |
TrueBlue | 130,118 | a | 3,480,656 | |
UniFirst | 46,434 | 4,468,808 | ||
United Stationers | 107,777 | 4,044,871 | ||
Viad | 41,695 | 961,070 | ||
WageWorks | 70,876 | a | 3,003,016 | |
58,107,949 | ||||
Consumer Durables & Apparel—4.0% | ||||
Arctic Cat | 41,737 | 1,706,626 | ||
Blyth | 25,232 | 236,424 | ||
Callaway Golf | 148,917 | 1,297,067 | ||
Crocs | 219,329 | a | 3,318,448 | |
Ethan Allen Interiors | 84,606 | 2,054,234 | ||
G-III Apparel Group | 45,489 | a | 3,264,746 | |
Helen of Troy | 62,129 | a | 3,895,488 | |
Iconix Brand Group | 139,924 | a | 5,946,770 | |
iRobot | 71,546 | a | 2,396,791 | |
JAKKS Pacific | 54,153 | 474,380 | ||
La-Z-Boy | 147,611 | 3,576,615 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Durables & Apparel (continued) | ||||
M/I Homes | 58,256 | a | 1,297,361 | |
Meritage Homes | 93,735 | a | 3,616,296 | |
Movado Group | 51,799 | 2,034,665 | ||
Oxford Industries | 32,469 | 2,143,279 | ||
Perry Ellis International | 28,940 | a | 436,994 | |
Quiksilver | 318,458 | a | 2,044,500 | |
Ryland Group | 122,574 | 4,705,616 | ||
Skechers USA, Cl. A | 114,735 | a | 4,702,988 | |
Standard Pacific | 379,595 | a | 3,032,964 | |
Steven Madden | 162,307 | a | 5,779,752 | |
Sturm Ruger & Co. | 52,900 | 3,404,115 | ||
Universal Electronics | 45,404 | a | 1,695,839 | |
Wolverine World Wide | 275,531 | 7,742,421 | ||
70,804,379 | ||||
Consumer Services—4.2% | ||||
American Public Education | 54,730 | a | 1,893,658 | |
Biglari Holdings | 2,576 | a | 1,105,156 | |
BJ’s Restaurants | 48,683 | a | 1,389,900 | |
Boyd Gaming | 181,231 | a | 2,142,150 | |
Buffalo Wild Wings | 52,334 | a | 7,647,044 | |
Capella Education | 29,091 | 1,697,751 | ||
Career Education | 123,606 | a | 892,435 | |
Cracker Barrel Old Country Store | 65,810 | 6,234,839 | ||
DineEquity | 44,028 | 3,337,763 | ||
Hillenbrand | 162,403 | 4,937,051 | ||
Interval Leisure Group | 110,766 | 2,854,440 | ||
ITT Educational Services | 56,861 | a | 1,535,247 | |
Jack in the Box | 119,079 | a | 6,375,490 | |
Marcus | 79,304 | 1,326,756 | ||
Marriott Vacations Worldwide | 84,754 | a | 4,617,398 | |
Monarch Casino & Resort | 38,400 | a | 615,936 | |
Multimedia Games Holding Company | 86,522 | a | 2,526,442 | |
Papa John’s International | 72,765 | 3,191,473 | ||
Pinnacle Entertainment | 146,619 | a | 3,411,824 | |
Red Robin Gourmet Burgers | 34,034 | a | 2,313,631 | |
Regis | 86,008 | 1,130,145 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Services (continued) | ||||
Ruby Tuesday | 125,927 | a | 970,897 | |
Ruth’s Hospitality Group | 110,912 | 1,396,382 | ||
Scientific Games, Cl. A | 126,942 | a | 1,520,765 | |
Sonic | 149,562 | a | 2,847,660 | |
Strayer Education | 29,270 | a | 1,247,780 | |
Texas Roadhouse | 170,426 | 4,216,339 | ||
Universal Technical Institute | 43,320 | 520,273 | ||
73,896,625 | ||||
Diversified Financials—3.6% | ||||
Calamos Asset Management, Cl. A | 67,277 | 819,434 | ||
Cash America International | 86,001 | 3,745,344 | ||
Encore Capital Group | 49,212 | a | 2,126,943 | |
Evercore Partners, Cl. A | 102,823 | 5,493,833 | ||
EZCORP, Cl. A | 120,166 | a | 1,253,331 | |
Financial Engines | 137,292 | 6,075,171 | ||
First Cash Financial Services | 78,462 | a | 3,826,592 | |
FXCM, Cl. A | 86,656 | 1,341,435 | ||
Green Dot, Cl. A | 65,955 | a | 1,145,638 | |
HFF, Cl. A | 99,935 | 3,397,790 | ||
Interactive Brokers Group, Cl. A | 111,902 | 2,674,458 | ||
Investment Technology Group | 108,966 | a | 2,249,058 | |
MarketAxess Holdings | 110,742 | 5,966,779 | ||
Piper Jaffray | 34,121 | a | 1,496,547 | |
Portfolio Recovery Associates | 138,258 | a | 7,901,445 | |
Stifel Financial | 154,892 | a | 7,244,299 | |
Virtus Investment Partners | 19,816 | a | 3,665,762 | |
World Acceptance | 34,137 | a | 2,478,346 | |
62,902,205 | ||||
Energy—4.9% | ||||
Approach Resources | 87,128 | a | 1,807,906 | |
Arch Coal | 529,617 | 2,425,646 | ||
Basic Energy Services | 54,213 | a | 1,432,307 | |
Bristow Group | 91,541 | 7,030,349 | ||
C&J Energy Services | 121,299 | a | 3,646,248 | |
Carrizo Oil & Gas | 108,861 | a | 5,989,532 | |
Cloud Peak Energy | 134,641 | a | 2,651,081 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Comstock Resources | 131,714 | 3,661,649 | ||
Contango Oil & Gas | 41,176 | a | 1,978,095 | |
ERA Group | 61,168 | a | 1,746,346 | |
Exterran Holdings | 158,565 | 6,821,466 | ||
Forest Oil | 389,066 | a | 723,663 | |
Geospace Technologies | 29,863 | a | 1,735,936 | |
Green Plains Renewable Energy | 92,148 | 2,755,225 | ||
Gulf Island Fabrication | 35,016 | 702,421 | ||
Hornbeck Offshore Services | 80,923 | a | 3,352,640 | |
ION Geophysical | 322,877 | a | 1,420,659 | |
Matrix Service | 76,699 | a | 2,375,368 | |
Newpark Resources | 252,175 | a | 3,036,187 | |
Northern Oil and Gas | 145,444 | a | 2,244,201 | |
PDC Energy | 93,252 | a | 5,937,355 | |
Penn Virginia | 123,345 | a | 2,052,461 | |
PetroQuest Energy | 161,289 | a | 970,960 | |
Pioneer Energy Services | 138,701 | a | 2,076,354 | |
SEACOR Holdings | 56,943 | a | 4,748,477 | |
Stone Energy | 139,853 | a | 6,859,790 | |
Swift Energy | 97,977 | a | 1,208,056 | |
Tesco | 99,484 | a | 1,989,680 | |
TETRA Technologies | 203,646 | a | 2,545,575 | |
85,925,633 | ||||
Food & Staples Retailing—.8% | ||||
Andersons | 76,816 | 4,784,869 | ||
Casey’s General Stores | 101,424 | 6,963,772 | ||
Spartan Stores | 112,950 | 2,432,943 | ||
14,181,584 | ||||
Food, Beverage & Tobacco—2.5% | ||||
Alliance One International | 295,313 | a | 758,954 | |
Annie’s | 40,385 | a | 1,312,916 | |
B&G Foods | 125,611 | 4,120,041 | ||
Boston Beer, Cl. A | 20,847 | a | 5,129,196 | |
Cal-Maine Foods | 35,694 | 2,128,433 | ||
Calavo Growers | 25,423 | 790,401 | ||
Darling International | 407,428 | a | 8,152,634 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Food, Beverage & Tobacco (continued) | ||||
Diamond Foods | 47,018 | a | 1,437,340 | |
J&J Snack Foods | 37,416 | 3,502,138 | ||
Sanderson Farms | 58,494 | 4,812,301 | ||
Seneca Foods, Cl. A | 22,294 | a | 633,150 | |
Snyders-Lance | 144,276 | 3,831,971 | ||
TreeHouse Foods | 96,483 | a | 7,220,788 | |
43,830,263 | ||||
Health Care Equipment & Services—7.2% | ||||
Abaxis | 56,193 | 2,281,998 | ||
ABIOMED | 84,454 | a | 2,000,715 | |
Air Methods | 87,516 | a | 4,872,016 | |
Almost Family | 13,758 | a | 295,384 | |
Amedisys | 78,623 | a | 1,071,631 | |
AMN Healthcare Services | 124,131 | a | 1,549,155 | |
AmSurg | 85,976 | a | 3,723,621 | |
Analogic | 38,121 | 2,862,125 | ||
Anika Therapeutics | 30,594 | a | 1,307,588 | |
Bio-Reference Labs | 55,869 | a | 1,419,073 | |
Cantel Medical | 84,349 | 2,797,013 | ||
Centene | 161,710 | a | 10,737,544 | |
Chemed | 52,189 | 4,345,778 | ||
Computer Programs & Systems | 24,403 | 1,540,561 | ||
CONMED | 78,023 | 3,614,806 | ||
CorVel | 34,141 | a | 1,554,781 | |
Cross Country Healthcare | 75,159 | a | 532,877 | |
CryoLife | 87,117 | 791,022 | ||
Cyberonics | 62,683 | a | 3,708,326 | |
Cynosure, Cl. A | 34,603 | a | 849,158 | |
Ensign Group | 47,865 | 2,034,263 | ||
Gentiva Health Services | 78,108 | a | 588,153 | |
Greatbatch | 63,133 | a | 2,906,012 | |
Haemonetics | 133,757 | a | 4,060,863 | |
Hanger | 82,302 | a | 2,853,410 | |
HealthStream | 47,212 | a | 1,069,352 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Health Care Equipment & Services (continued) | ||||
Healthways | 83,531 | a | 1,503,558 | |
ICU Medical | 37,464 | a | 2,089,742 | |
Integra LifeSciences Holdings | 49,120 | a | 2,238,890 | |
Invacare | 67,234 | 1,062,297 | ||
IPC The Hospitalist | 41,222 | a | 1,669,491 | |
Kindred Healthcare | 128,486 | 3,224,999 | ||
Landauer | 26,254 | 1,135,223 | ||
LHC Group | 45,193 | a | 939,111 | |
Magellan Health Services | 80,568 | a | 4,650,385 | |
Medidata Solutions | 122,576 | a | 4,450,735 | |
Meridian Bioscience | 120,398 | 2,404,348 | ||
Merit Medical Systems | 89,044 | a | 1,145,996 | |
Molina Healthcare | 74,919 | a | 2,801,971 | |
MWI Veterinary Supply | 32,118 | a | 5,030,964 | |
Natus Medical | 73,007 | a | 1,812,764 | |
Neogen | 88,482 | a | 3,696,336 | |
NuVasive | 116,837 | a | 3,938,575 | |
Omnicell | 100,677 | a | 2,665,927 | |
PharMerica | 87,688 | a | 2,384,237 | |
Quality Systems | 140,252 | 2,071,522 | ||
SurModics | 49,312 | a | 1,073,029 | |
Symmetry Medical | 124,679 | a | 1,029,849 | |
West Pharmaceutical Services | 197,004 | 8,546,034 | ||
126,933,208 | ||||
Household & Personal Products—.4% | ||||
Central Garden & Pet, Cl. A | 56,448 | a | 466,825 | |
Inter Parfums | 50,373 | 1,843,148 | ||
Medifast | 45,985 | a | 1,455,425 | |
WD-40 | 39,322 | 2,864,214 | ||
6,629,612 | ||||
Insurance—1.9% | ||||
AMERISAFE | 41,460 | 1,768,269 | ||
eHealth | 42,233 | a | 1,769,140 | |
Employers Holdings | 97,538 | 1,984,898 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Insurance (continued) | ||||
HCI Group | 23,906 | 924,684 | ||
Horace Mann Educators | 90,463 | 2,720,222 | ||
Infinity Property & Casualty | 27,988 | 1,795,990 | ||
Meadowbrook Insurance Group | 69,905 | 391,468 | ||
Navigators Group | 32,336 | a | 1,842,182 | |
ProAssurance | 149,551 | 6,792,606 | ||
RLI | 77,843 | 3,351,920 | ||
Safety Insurance Group | 28,939 | 1,554,314 | ||
Selective Insurance Group | 158,735 | 3,641,381 | ||
Stewart Information Services | 68,040 | 2,075,220 | ||
Tower Group International | 71,359 | 175,543 | ||
United Fire Group | 60,477 | 1,682,470 | ||
Universal Insurance Holdings | 81,508 | 1,192,462 | ||
33,662,769 | ||||
Materials—6.5% | ||||
A. Schulman | 78,696 | 2,826,760 | ||
A.M. Castle & Co. | 79,534 | a | 976,678 | |
AK Steel Holding | 364,172 | a | 2,549,204 | |
AMCOL International | 73,432 | 3,366,857 | ||
American Vanguard | 69,461 | 1,237,100 | ||
Balchem | 84,634 | 5,243,076 | ||
Boise Cascade | 84,069 | a | 2,103,406 | |
Calgon Carbon | 168,642 | a | 3,377,899 | |
Century Aluminum | 127,164 | a | 1,748,505 | |
Clearwater Paper | 53,714 | a | 3,297,502 | |
Deltic Timber | 21,708 | 1,318,761 | ||
Flotek Industries | 106,331 | a | 2,978,331 | |
FutureFuel | 78,541 | 1,576,318 | ||
Glatfelter | 103,789 | 2,648,695 | ||
Globe Specialty Metals | 198,337 | 3,843,771 | ||
H.B. Fuller | 132,210 | 6,125,289 | ||
Hawkins | 9,943 | 359,937 | ||
Haynes International | 24,753 | 1,313,147 | ||
Headwaters | 191,759 | a | 2,393,152 | |
Innophos Holdings | 51,498 | 2,906,547 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Kaiser Aluminum | 52,833 | 3,719,443 | ||
KapStone Paper and Packaging | 199,060 | a | 5,251,203 | |
Koppers Holdings | 59,774 | 2,552,350 | ||
Kraton Performance Polymers | 74,046 | a | 1,928,898 | |
LSB Industries | 40,348 | a | 1,540,890 | |
Materion | 69,483 | 2,338,103 | ||
Myers Industries | 86,122 | 1,610,481 | ||
Neenah Paper | 49,555 | 2,496,085 | ||
Olympic Steel | 40,857 | 1,076,991 | ||
OM Group | 82,017 | 2,402,278 | ||
Quaker Chemical | 38,920 | 2,896,816 | ||
RTI International Metals | 75,424 | a | 2,123,940 | |
Schweitzer-Mauduit International | 91,294 | 3,984,070 | ||
Stepan | 53,146 | 3,073,433 | ||
Stillwater Mining | 335,924 | a | 5,300,881 | |
SunCoke Energy | 194,125 | a | 4,051,389 | |
Texas Industries | 53,741 | a | 4,659,345 | |
Tredegar | 46,188 | 961,172 | ||
US Silica Holdings | 136,831 | 6,180,656 | ||
Wausau Paper | 154,403 | 1,846,660 | ||
Zep | 56,036 | 968,862 | ||
113,154,881 | ||||
Media—.8% | ||||
E.W. Scripps, Cl. A | 70,159 | a | 1,201,824 | |
Harte-Hanks | 165,879 | 1,333,667 | ||
Live Nation Entertainment | 375,090 | a | 7,831,879 | |
Scholastic | 59,370 | 1,953,867 | ||
Sizmek | 73,893 | a | 707,895 | |
13,029,132 | ||||
Pharmaceuticals, Biotech & | ||||
Life Sciences—3.4% | ||||
Aceto | 70,596 | 1,544,640 | ||
Acorda Therapeutics | 106,841 | a | 3,787,513 | |
Affymetrix | 246,109 | a | 1,828,590 | |
Akorn | 212,115 | a | 5,349,540 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Pharmaceuticals, Biotech & | ||||
Life Sciences (continued) | ||||
Albany Molecular Research | 48,747 | a | 782,877 | |
ArQule | 98,879 | a | 160,184 | |
Cambrex | 66,534 | a | 1,363,282 | |
Emergent BioSolutions | 97,957 | a | 2,582,147 | |
Impax Laboratories | 188,055 | a | 4,917,638 | |
Ligand Pharmaceuticals | 60,446 | a | 3,818,374 | |
Luminex | 102,315 | a | 1,965,471 | |
Medicines | 152,029 | a | 4,043,971 | |
Momenta Pharmaceuticals | 121,863 | a | 1,391,675 | |
PAREXEL International | 161,938 | a | 7,343,888 | |
Prestige Brands Holdings | 139,447 | a | 4,674,263 | |
Questcor Pharmaceuticals | 149,167 | 12,258,544 | ||
Repligen | 78,465 | a | 1,243,670 | |
Spectrum Pharmaceuticals | 114,974 | a | 789,871 | |
59,846,138 | ||||
Real Estate—7.7% | ||||
Acadia Realty Trust | 124,544 | b | 3,378,879 | |
Agree Realty | 35,984 | b | 1,074,842 | |
American Assets Trust | 100,319 | b | 3,405,830 | |
Associated Estates Realty | 134,133 | b | 2,250,752 | |
Capstead Mortgage | 278,946 | b | 3,564,930 | |
Cedar Realty Trust | 228,442 | b | 1,414,056 | |
CoreSite Realty | 48,998 | b | 1,490,519 | |
Cousins Properties | 475,968 | b | 5,535,508 | |
DiamondRock Hospitality | 540,287 | b | 6,629,321 | |
EastGroup Properties | 86,522 | b | 5,472,517 | |
EPR Properties | 151,064 | b | 8,098,541 | |
Forestar Group | 74,024 | a,b | 1,262,109 | |
Franklin Street Properties | 178,998 | b | 2,180,196 | |
Geo Group | 204,421 | 6,854,236 | ||
Getty Realty | 68,419 | b | 1,294,487 | |
Government Properties Income Trust | 163,826 | b | 4,169,372 | |
Healthcare Realty Trust | 231,501 | b | 5,822,250 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Real Estate (continued) | ||||
Inland Real Estate | 255,035 | b | 2,665,116 | |
Kite Realty Group Trust | 244,648 | b | 1,516,818 | |
LaSalle Hotel Properties | 272,560 | b | 9,016,285 | |
Lexington Realty Trust | 537,238 | b | 5,780,681 | |
LTC Properties | 104,394 | b | 4,032,740 | |
Medical Properties Trust | 416,270 | b | 5,619,645 | |
Parkway Properties | 167,002 | b | 3,149,658 | |
Pennsylvania Real Estate | ||||
Investment Trust | 169,457 | b | 2,804,513 | |
Post Properties | 148,176 | b | 7,439,917 | |
PS Business Parks | 60,163 | b | 5,160,181 | |
Sabra Health Care | 94,517 | b | 2,832,674 | |
Saul Centers | 28,831 | b | 1,323,055 | |
Sovran Self Storage | 94,041 | b | 7,137,712 | |
Tanger Factory Outlet Centers | 269,354 | b | 9,610,551 | |
Universal Health Realty Income Trust | 30,109 | b | 1,277,525 | |
Urstadt Biddle Properties, Cl. A | 68,697 | b | 1,402,106 | |
134,667,522 | ||||
Retailing—5.4% | ||||
Aeropostale | 175,763 | a | 873,542 | |
Barnes & Noble | 109,406 | a | 1,794,258 | |
Big 5 Sporting Goods | 52,516 | 641,220 | ||
Blue Nile | 33,014 | a | 1,146,576 | |
Brown Shoe Company | 114,211 | 2,694,237 | ||
Buckle | 76,831 | 3,610,289 | ||
Cato, Cl. A | 78,711 | 2,242,476 | ||
Children’s Place Retail Stores | 70,917 | 3,404,016 | ||
Christopher & Banks | 128,538 | a | 802,077 | |
Finish Line, Cl. A | 113,383 | 3,121,434 | ||
Francesca’s Holdings | 117,440 | a | 1,921,318 | |
Fred’s, Cl. A | 79,659 | 1,451,387 | ||
FTD Companies | 44,529 | a | 1,351,010 | |
Genesco | 59,617 | a | 4,552,950 | |
Group 1 Automotive | 51,281 | 3,698,899 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Retailing (continued) | ||||
Haverty Furniture | 72,621 | 1,854,740 | ||
Hibbett Sports | 59,262 | a | 3,191,259 | |
JOS. A. Bank Clothiers | 73,177 | a | 4,723,575 | |
Kirkland’s | 55,971 | a | 957,664 | |
Lithia Motors, Cl. A | 65,151 | 4,839,416 | ||
Lumber Liquidators Holdings | 71,917 | a | 6,268,286 | |
MarineMax | 67,158 | a | 1,078,557 | |
Men’s Wearhouse | 121,870 | 5,774,201 | ||
Monro Muffler Brake | 70,654 | 3,984,886 | ||
NutriSystem | 81,506 | 1,222,590 | ||
Outerwall | 52,114 | a | 3,614,106 | |
PEP Boys-Manny Moe & Jack | 103,277 | a | 1,055,491 | |
PetMed Express | 59,167 | 774,496 | ||
Pool | 121,101 | 7,147,381 | ||
Select Comfort | 136,587 | a | 2,513,201 | |
Sonic Automotive, Cl. A | 82,850 | 2,016,569 | ||
Stage Stores | 59,858 | 1,148,076 | ||
Stein Mart | 53,935 | 674,188 | ||
Tuesday Morning | 92,686 | a | 1,295,750 | |
Vitamin Shoppe | 72,017 | a | 3,448,174 | |
VOXX International | 67,218 | a | 789,812 | |
Zale | 91,153 | a | 1,949,763 | |
Zumiez | 51,508 | a | 1,259,371 | |
94,887,241 | ||||
Semiconductors & Semiconductor | ||||
Equipment—4.1% | ||||
Advanced Energy Industries | 108,587 | a | 2,375,884 | |
Brooks Automation | 225,574 | 2,307,622 | ||
Cabot Microelectronics | 62,900 | a | 2,727,973 | |
Ceva | 41,608 | a | 675,298 | |
Cirrus Logic | 193,408 | a | 4,312,998 | |
Cohu | 53,365 | 549,660 | ||
Diodes | 112,117 | a | 2,956,525 | |
DSP Group | 61,946 | a | 493,090 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Semiconductors & Semiconductor | ||||
Equipment (continued) | ||||
Entropic Communications | 229,667 | a | 847,471 | |
Exar | 158,844 | a | 1,718,692 | |
GT Advanced Technologies | 338,512 | a | 5,622,684 | |
Hittite Microwave | 73,086 | 4,338,385 | ||
Kopin | 154,486 | a | 503,624 | |
Kulicke & Soffa Industries | 211,891 | a | 3,116,917 | |
Micrel | 73,470 | 731,761 | ||
Microsemi | 250,325 | a | 5,887,644 | |
MKS Instruments | 147,182 | 4,143,173 | ||
Monolithic Power Systems | 96,878 | a | 3,594,174 | |
Nanometrics | 42,212 | a | 686,367 | |
Pericom Semiconductor | 88,145 | a | 711,330 | |
Power Integrations | 88,741 | 4,191,237 | ||
Rubicon Technology | 33,191 | a | 336,225 | |
Rudolph Technologies | 49,107 | a | 447,365 | |
Sigma Designs | 82,778 | a | 312,073 | |
Synaptics | 86,261 | a | 5,361,121 | |
Tessera Technologies | 114,229 | 2,505,042 | ||
TriQuint Semiconductor | 412,751 | a | 5,852,809 | |
Ultratech | 56,921 | a | 1,515,237 | |
Veeco Instruments | 90,348 | a | 3,340,166 | |
72,162,547 | ||||
Software & Services—6.9% | ||||
Blackbaud | 136,630 | 4,160,384 | ||
Blucora | 114,102 | a | 2,196,464 | |
Bottomline Technologies | 90,300 | a | 2,857,092 | |
CACI International, Cl. A | 64,283 | a | 4,477,311 | |
Cardtronics | 129,735 | a | 4,343,528 | |
CIBER | 274,288 | a | 1,184,924 | |
comScore | 78,377 | a | 2,455,551 | |
CSG Systems International | 110,324 | 2,908,141 | ||
Dealertrack Technologies | 113,006 | a | 5,163,244 | |
Dice Holdings | 141,160 | a | 1,079,874 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Software & Services (continued) | ||||
Digital River | 94,559 | a | 1,445,807 | |
Ebix | 86,028 | 1,357,522 | ||
Epiq Systems | 51,307 | 656,217 | ||
ExlService Holdings | 94,310 | a | 2,668,501 | |
Forrester Research | 35,925 | 1,272,823 | ||
Heartland Payment Systems | 99,950 | 4,091,953 | ||
Higher One Holdings | 145,213 | a | 869,826 | |
iGATE | 80,422 | a | 2,943,445 | |
Interactive Intelligence Group | 36,297 | a | 2,271,103 | |
j2 Global | 111,882 | 5,186,850 | ||
Liquidity Services | 64,143 | a | 1,106,467 | |
LivePerson | 104,328 | a | 1,032,847 | |
LogMeIn | 53,045 | a | 2,410,895 | |
Manhattan Associates | 206,716 | a | 6,517,755 | |
ManTech International, Cl. A | 61,944 | 1,847,790 | ||
MAXIMUS | 172,482 | 7,342,559 | ||
MicroStrategy, Cl. A | 23,213 | a | 2,818,755 | |
Monotype Imaging Holdings | 102,111 | 2,696,752 | ||
Monster Worldwide | 244,688 | a | 1,685,900 | |
NetScout Systems | 103,210 | a | 4,021,062 | |
NIC | 167,620 | 3,074,151 | ||
OpenTable | 57,314 | a | 3,849,208 | |
Perficient | 84,161 | a | 1,537,621 | |
Progress Software | 159,110 | a | 3,414,501 | |
QuinStreet | 99,921 | a | 609,518 | |
Stamps.com | 52,824 | a | 1,833,521 | |
SYKES Enterprises | 96,558 | a | 1,910,883 | |
Synchronoss Technologies | 73,331 | a | 2,232,196 | |
Take-Two Interactive Software | 256,494 | a | 5,227,348 | |
Tangoe | 79,921 | a | 1,202,012 | |
TeleTech Holdings | 71,705 | a | 1,730,242 | |
Tyler Technologies | 73,553 | a | 6,005,602 | |
VASCO Data Security International | 74,580 | a | 850,958 | |
Virtusa | 63,017 | a | 2,077,670 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Software & Services (continued) | ||||
XO Group | 98,520 | a | 1,046,282 | |
121,673,055 | ||||
Technology Hardware & | ||||
Equipment—7.3% | ||||
Agilysys | 45,484 | a | 570,369 | |
Anixter International | 74,472 | 7,296,767 | ||
ARRIS Group | 297,637 | a | 7,765,349 | |
Badger Meter | 33,852 | 1,677,367 | ||
Bel Fuse, Cl. B | 27,512 | 598,661 | ||
Belden | 112,961 | 8,337,651 | ||
Benchmark Electronics | 163,347 | a | 3,786,383 | |
Black Box | 43,791 | 930,997 | ||
CalAmp | 78,553 | a | 1,394,316 | |
Checkpoint Systems | 130,074 | a | 1,661,045 | |
Cognex | 219,365 | a | 7,552,737 | |
Coherent | 70,362 | a | 4,201,315 | |
Comtech Telecommunications | 53,524 | 1,699,387 | ||
CTS | 106,248 | 1,890,152 | ||
Daktronics | 120,842 | 1,573,363 | ||
Digi International | 45,297 | a | 401,331 | |
DTS | 49,343 | a | 918,273 | |
Electro Scientific Industries | 60,473 | 512,811 | ||
Electronics For Imaging | 113,454 | a | 4,287,427 | |
Fabrinet | 91,148 | a | 1,968,797 | |
FARO Technologies | 44,819 | a | 1,788,278 | |
Harmonic | 322,275 | a | 2,265,593 | |
II-VI | 150,601 | a | 2,168,654 | |
Insight Enterprises | 117,003 | a | 3,056,118 | |
Ixia | 158,286 | a | 1,965,912 | |
Littelfuse | 53,877 | 4,878,562 | ||
Measurement Specialties | 36,778 | a | 2,366,664 | |
Mercury Systems | 60,623 | a | 846,297 | |
Methode Electronics | 101,302 | 2,810,117 | ||
MTS Systems | 31,966 | 2,060,848 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Technology Hardware & | ||||
Equipment (continued) | ||||
NETGEAR | 91,379 | a | 2,951,542 | |
Newport | 103,424 | a | 1,931,960 | |
Oplink Communications | 45,066 | a | 772,431 | |
OSI Systems | 43,380 | a | 2,421,038 | |
Park Electrochemical | 43,156 | 1,150,539 | ||
PC-Tel | 50,618 | 417,599 | ||
Plexus | 102,426 | a | 4,293,698 | |
Procera Networks | 26,210 | a | 242,705 | |
QLogic | 220,204 | a | 2,549,962 | |
Rofin-Sinar Technologies | 80,079 | a | 1,777,754 | |
Rogers | 55,811 | a | 3,349,776 | |
Sanmina | 248,451 | a | 5,031,133 | |
ScanSource | 90,289 | a | 3,468,000 | |
Super Micro Computer | 110,548 | a | 2,250,757 | |
SYNNEX | 65,014 | a | 4,380,643 | |
TTM Technologies | 154,662 | a | 1,220,283 | |
ViaSat | 103,228 | a | 6,628,270 | |
128,069,631 | ||||
Telecommunication Services—.6% | ||||
8x8 | 204,374 | a | 1,982,428 | |
Atlantic Tele-Network | 35,165 | 2,080,713 | ||
Cbeyond | 86,151 | a | 852,033 | |
Cincinnati Bell | 439,366 | a | 1,471,876 | |
General Communication, Cl. A | 124,143 | a | 1,296,053 | |
Lumos Networks | 34,062 | 449,959 | ||
NTELOS Holdings | 46,856 | 646,144 | ||
USA Mobility | 79,135 | 1,355,583 | ||
10,134,789 | ||||
Transportation—1.8% | ||||
Allegiant Travel | 34,384 | 4,038,401 | ||
Arkansas Best | 78,374 | 3,089,503 | ||
Atlas Air Worldwide Holdings | 53,205 | a | 1,861,643 |
24
Common Stocks (continued) | Shares | Value ($) | ||
Transportation (continued) | ||||
Forward Air | 80,990 | 3,582,188 | ||
Heartland Express | 133,798 | 2,911,444 | ||
Hub Group, Cl. A | 80,728 | a | 3,604,505 | |
Knight Transportation | 171,879 | 4,078,689 | ||
Matson | 134,867 | 3,194,999 | ||
Roadrunner Transportation Systems | 63,787 | a | 1,571,074 | |
Saia | 57,719 | a | 2,376,291 | |
SkyWest | 149,698 | 1,736,497 | ||
32,045,234 | ||||
Utilities—3.7% | ||||
Allete | 89,379 | 4,626,257 | ||
American States Water | 102,513 | 3,112,295 | ||
Avista | 174,635 | 5,614,515 | ||
El Paso Electric | 93,743 | 3,545,360 | ||
Laclede Group | 68,323 | 3,239,193 | ||
New Jersey Resources | 114,346 | 5,686,427 | ||
Northwest Natural Gas | 78,135 | 3,459,036 | ||
NorthWestern | 102,268 | 4,947,726 | ||
Piedmont Natural Gas | 190,448 | 6,816,134 | ||
South Jersey Industries | 76,299 | 4,383,378 | ||
Southwest Gas | 124,519 | 6,849,790 | ||
UIL Holdings | 164,916 | 6,057,365 | ||
UNS Energy | 111,116 | 6,673,627 | ||
65,011,103 | ||||
Total Common Stocks | ||||
(cost $1,213,087,584) | 1,748,199,205 | |||
Principal | ||||
Short-Term Investments—.0% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
0.07%, 6/26/14 | 585,000 | c | 584,993 | |
0.02%, 9/11/14 | 20,000 | c | 19,998 | |
Total Short-Term Investments | ||||
(cost $604,930) | 604,991 |
The Fund 25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Other Investment—.8% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $13,493,781) | 13,493,781 | d | 13,493,781 | |
Total Investments (cost $1,227,186,295) | 100.4 | % | 1,762,297,977 | |
Liabilities, Less Cash and Receivables | (.4 | %) | (7,010,801 | ) |
Net Assets | 100.0 | % | 1,755,287,176 |
a | Non-income producing security. |
b | Investment in real estate investment trust. |
c | Held by or on behalf of a counterparty for open financial futures contracts. |
d | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Capital Goods | 10.1 | Diversified Financials | 3.6 |
Banks | 7.8 | Pharmaceuticals, | |
Real Estate | 7.7 | Biotech & Life Sciences | 3.4 |
Technology Hardware & Equipment | 7.3 | Commercial & Professional Services | 3.3 |
Health Care Equipment & Services | 7.2 | Food, Beverage & Tobacco | 2.5 |
Software & Services | 6.9 | Insurance | 1.9 |
Materials | 6.5 | Transportation | 1.8 |
Retailing | 5.4 | Food & Staples Retailing | .8 |
Energy | 4.9 | Media | .8 |
Consumer Services | 4.2 | Short-Term/Money Market Investments | .8 |
Semiconductors & | Automobiles & Components | .7 | |
Semiconductor Equipment | 4.1 | Telecommunication Services�� | .6 |
Consumer Durables & Apparel | 4.0 | Household & Personal Products | .4 |
Utilities | 3.7 | 100.4 | |
† Based on net assets. | |||
See notes to financial statements. |
26
STATEMENT OF FINANCIAL FUTURES
April 30, 2014 (Unaudited)
Market Value | Unrealized | ||||
Covered by | (Depreciation) | ||||
Contracts | Contracts ($) | Expiration | at 4/30/2014 | ($) | |
Financial Futures Long | |||||
Russell 2000 Mini | 181 | 20,337,160 | June 2014 | (102,709 | ) |
See notes to financial statements. |
The Fund 27
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2014 (Unaudited)
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments: | ||
Unaffiliated issuers | 1,213,692,514 | 1,748,804,196 |
Affiliated issuers | 13,493,781 | 13,493,781 |
Cash | 722,760 | |
Receivable for investment securities sold | 10,487,681 | |
Dividends and interest receivable | 989,754 | |
Receivable for shares of Common Stock subscribed | 651,951 | |
Receivable for futures variation margin—Note 4 | 92,639 | |
1,775,242,762 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3 (b) | 721,735 | |
Payable for shares of Common Stock redeemed | 17,684,570 | |
Payable for investment securities purchased | 1,543,581 | |
Accrued expenses | 5,700 | |
19,955,586 | ||
Net Assets ($) | 1,755,287,176 | |
Composition of Net Assets ($): | ||
Paid-in capital | 1,156,767,999 | |
Accumulated undistributed investment income—net | 3,407,466 | |
Accumulated net realized gain (loss) on investments | 60,102,738 | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments [including ($102,709) net unrealized | ||
(depreciation) on financial futures] | 535,008,973 | |
Net Assets ($) | 1,755,287,176 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 60,341,222 | |
Net Asset Value, offering and redemption price per share ($) | 29.09 | |
See notes to financial statements. |
28
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2014 (Unaudited)
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 11,148,370 | |
Affiliated issuers | 8,147 | |
Income from securities lending—Note 1(b) | 559,587 | |
Interest | 305 | |
Total Income | 11,716,409 | |
Expenses: | ||
Management fee—Note 3(a) | 2,155,717 | |
Shareholder servicing costs—Note 3(b) | 2,155,717 | |
Directors’ fees —Note 3(a,c) | 66,075 | |
Loan commitment fees—Note 2 | 6,788 | |
Total Expenses | 4,384,297 | |
Less—Directors’ fees reimbursed by the Manager—Note 3(a) | (66,075 | ) |
Net Expenses | 4,318,222 | |
Investment Income—Net | 7,398,187 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 72,175,178 | |
Net realized gain (loss) on financial futures | 226,451 | |
Net Realized Gain (Loss) | 72,401,629 | |
Net unrealized appreciation (depreciation) on investments | (13,933,651 | ) |
Net unrealized appreciation (depreciation) on financial futures | 173,954 | |
Net Unrealized Appreciation (Depreciation) | (13,759,697 | ) |
Net Realized and Unrealized Gain (Loss) on Investments | 58,641,932 | |
Net Increase in Net Assets Resulting from Operations | 66,040,119 | |
See notes to financial statements. |
The Fund 29
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2014 | Year Ended | |||
(Unaudited) | October 31, 2013 | |||
Operations ($): | ||||
Investment income—net | 7,398,187 | 15,297,947 | ||
Net realized gain (loss) on investments | 72,401,629 | 60,539,012 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | (13,759,697 | ) | 360,029,078 | |
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 66,040,119 | 435,866,037 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (12,000,269 | ) | (16,002,743 | ) |
Net realized gain on investments | (60,182,072 | ) | (31,995,533 | ) |
Total Dividends | (72,182,341 | ) | (47,998,276 | ) |
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 319,729,728 | 592,851,557 | ||
Dividends reinvested | 70,431,093 | 45,945,653 | ||
Cost of shares redeemed | (257,096,563 | ) | (526,229,862 | ) |
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 133,064,258 | 112,567,348 | ||
Total Increase (Decrease) in Net Assets | 126,922,036 | 500,435,109 | ||
Net Assets ($): | ||||
Beginning of Period | 1,628,365,140 | 1,127,930,031 | ||
End of Period | 1,755,287,176 | 1,628,365,140 | ||
Undistributed investment income—net | 3,407,466 | 8,009,548 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 10,854,429 | 23,441,246 | ||
Shares issued for dividends reinvested | 2,377,558 | 2,118,524 | ||
Shares redeemed | (8,739,425 | ) | (21,090,274 | ) |
Net Increase (Decrease) in Shares Outstanding | 4,492,562 | 4,469,496 | ||
See notes to financial statements. |
30
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||||
April 30, 2014 | Year Ended October 31, | |||||||||||
(Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 29.16 | 21.95 | 20.21 | 18.82 | 15.04 | 15.71 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .13 | .28 | .20 | .14 | .11 | .15 | ||||||
Net realized and | ||||||||||||
unrealized gain (loss) | ||||||||||||
on investments | 1.07 | 7.88 | 2.39 | 1.80 | 3.80 | .45 | ||||||
Total from | ||||||||||||
Investment Operations | 1.20 | 8.16 | 2.59 | 1.94 | 3.91 | .60 | ||||||
Distributions: | ||||||||||||
Dividends from | ||||||||||||
investment income—net | (.21 | ) | (.32 | ) | (.11 | ) | (.16 | ) | (.13 | ) | (.23 | ) |
Dividends from net realized | ||||||||||||
gain on investments | (1.06 | ) | (.63 | ) | (.74 | ) | (.39 | ) | — | (1.04 | ) | |
Total Distributions | (1.27 | ) | (.95 | ) | (.85 | ) | (.55 | ) | (.13 | ) | (1.27 | ) |
Net asset value, | ||||||||||||
end of period | 29.09 | 29.16 | 21.95 | 20.21 | 18.82 | 15.04 | ||||||
Total Return (%) | 4.05 | b | 38.63 | 13.24 | 10.29 | 26.08 | 5.43 | |||||
Ratios/Supplemental | ||||||||||||
Data (%): | ||||||||||||
Ratio of total expenses | ||||||||||||
to average net assets | .51 | c | .51 | .51 | .51 | .51 | .51 | |||||
Ratio of net expenses | ||||||||||||
to average net assets | .50 | c | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment | ||||||||||||
income to average | ||||||||||||
net assets | .86 | c | 1.13 | .97 | .68 | .65 | 1.11 | |||||
Portfolio Turnover Rate | 8.44 | b | 20.89 | 14.64 | 22.25 | 20.72 | 25.48 | |||||
Net Assets, end of period | ||||||||||||
($ x 1,000) | 1,755,287 | 1,628,365 | 1,127,930 | 1,025,657 | 1,002,700 | 804,184 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective seeks to match the performance of the Standard & Poor’s ® SmallCap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a lia-
32
bility 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 clos-
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
ing 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 generally 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
34
sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally 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 and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2014 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||||
Level 1— | Significant | Significant | ||||
Unadjusted | Observable | Unobservable | ||||
Quoted Prices | Inputs | Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities: | ||||||
Equity Securities— | ||||||
Domestic | ||||||
Common | ||||||
Stocks† | 1,743,113,491 | — | — | 1,743,113,491 | ||
Equity Securities— | ||||||
Foreign | ||||||
Common Stocks† | 5,085,714 | — | — | 5,085,714 | ||
Mutual Funds | 13,493,781 | — | — | 13,493,781 | ||
U.S. Treasury | — | 604,991 | — | 604,991 | ||
Liabilities ($) | ||||||
Other Financial | ||||||
Instruments: | ||||||
Financial Futures†† | (102,709 | ) | — | — | (102,709 | ) |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized (depreciation) at period end. |
At April 30, 2014, there were no transfers between Level 1 and Level 2 of the fair value hierarchy.
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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 NewYork 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 or U.S. Government and Agency secu-rities.The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner,The Bank of NewYork Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. During the period ended April 30, 2014,The Bank of NewYork Mellon earned $139,767 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2014 were as follows:
Affiliated | |||||||
Investment | Value | Value | Net | ||||
Company | 10/31/2013 | ($) | Purchases ($) | Sales ($) | 4/30/2014 | ($) | Assets (%) |
Dreyfus | |||||||
Institutional | |||||||
Preferred | |||||||
Plus Money | |||||||
Market | |||||||
Fund | 25,904,984 | 166,029,595 | 178,440,798 | 13,493,781 | .8 |
36
Affiliated | |||||
Investment | Value | Value | Net | ||
Company | 10/31/2013($) | Purchases ($) | Sales ($) | 4/30/2014($) | Assets (%) |
Dreyfus | |||||
Institutional | |||||
Cash | |||||
Advantage | |||||
Fund | 78,759,292 | 239,216,629 | 317,975,921 | — | — |
Total | 104,664,276 | 405,246,224 | 496,416,719 | 13,493,781 | .8 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2014, 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 ended April 30, 2014, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2013 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2013 was as follows: ordinary income
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
$17,724,942 and long-term capital gains $30,273,334.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $265 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2014, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement (the “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 April 30, 2014, fees reimbursed by the Manager amounted to $66,075.
(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
38
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) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2014, the fund was charged $2,155,717 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 $365,770 and Shareholder Services Plan fees $365,770, which are offset against an expense reimbursement currently in effect in the amount of $9,805.
(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 April 30, 2014, amounted to $236,760,569 and $144,725,272, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2014 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations.When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at April 30, 2014 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2014:
Average Market Value ($) | |
Equity financial futures | 24,169,690 |
At April 30, 2014, accumulated net unrealized appreciation on investments was $535,111,682, consisting of $575,670,869 gross unrealized appreciation and $40,559,187 gross unrealized depreciation.
At April 30, 2014, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
40
INFORMATION ABOUT THE RENEWAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 4-5, 2014, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures.The
The Fund 41
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2013, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds.The Board discussed the results of the comparisons and noted that the fund’s total return performance ranked second of the three funds in the Performance Group except the two year period (when it ranked third) and was above the Performance Universe median for all periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee, actual management fee and
42
total expenses ranked second of the three funds in the Expense Group, and the fund’s actual management fee and total expenses were above the Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus of managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit.The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus.The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex.The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided
The Fund 43
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level.The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board generally was satisfied with the fund’s performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
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In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus.The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
The Fund 45
For More Information
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Telephone 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By /s/Bradley J. Skapyak
Bradley J. Skapyak,
President
Date: June 25, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/Bradley J. Skapyak
Bradley J. Skapyak,
President
Date: June 25, 2014
By: /s/James Windels
James Windels,
Treasurer
Date: June 25, 2014
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)