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 | 811-05883 | |||||
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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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| Bennett A. MacDougall, Esq. 200 Park Avenue New York, New York 10166 |
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| (Name and address of agent for service) |
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Registrant's telephone number, including area code: | (212) 922-6000 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 10/31/2015 |
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Dreyfus International Stock Index Fund
ANNUAL REPORT October 31, 2015 |
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The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
T H E F U N D
With Those of Other Funds | |
Public Accounting Firm | |
F O R M O R E I N F O R M AT I O N
Back Cover
| The Fund |
Dear Shareholder:
We are pleased to present this annual report for Dreyfus International Stock Index Fund, covering the 12-month period from November 1, 2014, through October 31, 2015. 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.
Financial markets proved volatile over the reporting period amid choppy U.S. and global economic growth. U.S. stocks advanced over the final months of 2014 and the spring of 2015, with some broad measures of market performance setting new record highs. Those gains were largely erased over the summer when global economic instability undermined investor sentiment, but a renewed rally in October enabled most broad stock indices to end the reporting period in positive territory. In contrast, international stocks generally lost a degree of value, with developed markets faring far better than emerging markets amid falling commodity prices and depreciating currency values. U.S. bonds generally produced modestly positive total returns, with municipal bonds and longer term U.S. government securities faring better, on average, than corporate-backed bonds.
We expect market volatility to persist over the near term until investors see greater clarity regarding short-term U.S. interest rates and global economic conditions. Our investment strategists and portfolio managers are monitoring developments carefully, keeping a close watch on credit spreads, currency values, commodity prices, corporate profits, economic trends in the emerging markets, and other developments that could influence investor sentiment. Over the longer term, we remain confident that markets are likely to benefit as investors increasingly recognize that inflation is likely to stay low, economic growth expectations are stabilizing, and monetary policies remain accommodative in most regions of the world. In our view, investors will continue to be well served under these circumstances by a long-term perspective and a disciplined investment approach.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
November 16, 2015
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2014, through October 31, 2015, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2015, Dreyfus International Stock Index Fund produced a total return of -1.46%.1 This compares with a -0.07% 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
International equities produced flat to slightly negative returns, on average, amid changing global economic sentiment. The difference in returns between the fund and the MSCI EAFE® Index is due to temporary price differences arising from the application of fair-value pricing policies during the year3, and 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.
Flat Returns Masked Heightened Volatility
International equities encountered heightened volatility during the reporting period in response to shifting economic trends and diverging monetary policies from major central banks. After dropping sharply in the weeks prior to the reporting period, the MSCI EAFE® Index recovered much of that ground in November 2014. Markets again declined in December and early January 2015 in the midst of plummeting prices of oil, metals, and other commodities. A subsequent recovery through the spring of 2015 was supported by aggressive quantitative easing from central banks in Europe and Japan, while the Federal Reserve Board (the “Fed”) in the United States held short-term interest rates steady at historical lows despite previously ending its quantitative easing program. Consequently, investor sentiment generally turned positive in anticipation of improved economic growth.
In late June and early July, however, investor sentiment deteriorated and international stocks declined amid contentious debt relief negotiations between Greece and the European Union. Over the summer, international stocks came under additional pressure after a plunging Chinese stock market sparked renewed concerns about the world’s second largest economy. Those worries were exacerbated when the Chinese central bank devaluated the country’s currency in August, sending the MSCI EAFE® Index into negative territory. Fortunately, developed international markets rallied over the final two months of the reporting period when the European Central Bank suggested the possibility of further monetary easing and the Fed refrained from implementing short-term interest rate hikes.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Finally, returns from unhedged foreign investments for U.S. residents were dampened by an appreciating U.S. dollar against most other currencies.
Index Components Produced Divergent Results
Although the MSCI EAFE® Index posted flat results for the reporting period overall, the economic sectors that comprise the index delivered disparate results. The consumer staples sector ranked as the reporting period’s top market sector, as lower packaging and fuel costs helped producers of consumer goods contain costs and enhance their marketing efforts. In addition, depreciating currency values against the U.S. dollar helped boost exports to the United States. Consumer discretionary stocks also fared relatively well, with automobile manufacturers benefiting from a trade agreement that made their products more affordable for U.S. consumers, and lower fuel prices helped spur sales of larger vehicles. The health care sector continued to see rising government spending on medical services for an aging population, including new technologies for diagnostic testing. European drugmakers benefited from the strong U.S. dollar, and a variety of health care equipment and service providers expanded their operations in Asia and the Middle East.
In contrast, the energy sector lost considerable value over the reporting period. A glut of supply of crude oil was met with tepid global demand, causing petroleum prices to fall sharply. Offshore drillers were hit especially hard. The materials sector also was hurt by declining commodity prices amid reduced demand from the emerging markets, which hindered earnings for Australian metals-and-mining companies. Finally, the financials sector suffered with weakness among banks in Spain, where high unemployment constrained loan growth, and in Australia, where a stricter regulatory environment and rising competitive pressures weighed on earnings.
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 aggressively accommodative monetary policies remain at work in international markets. As always, we intend to continue to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 16, 2015
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, 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.
3 Additional information on fair value pricing is included in this report under Notes to Financial Statements.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus International Stock Index Fund and the Morgan Stanley Capital International Europe, Australasia, Far East Index
Average Annual Total Returns as of 10/31/15 | |||
| 1 Year | 5 Years | 10 Years |
Fund | -1.46% | 4.30% | 3.58% |
Morgan Stanley Capital International Europe, Australasia, Far East Index | -0.07% | 4.81% | 4.05% |
† Source: Lipper Inc.
Past performance is not predictive of future performance. The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The above graph compares a $10,000 investment made in Dreyfus International Stock Index Fund on 10/31/05 to a $10,000 investment made in the Morgan Stanley Capital International Europe, Australasia, Far East Index (the “Index”) on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is an unmanaged index composed of a sample of companies representative of the market structure of European and Pacific Basin countries. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
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 May 1, 2015 to October 31, 2015. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||
assuming actual returns for the six months ended October 31, 2015 | ||||||||
Expenses paid per $1,000† | $ 2.93 | |||||||
Ending value (after expenses) | $ 934.60 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2015 | ||||||||
Expenses paid per $1,000† | $ 3.06 | |||||||
Ending value (after expenses) | $ 1,022.18 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2015
Common Stocks - 98.2% | Shares | Value ($) | |||
Australia - 6.3% | |||||
AGL Energy | 30,304 | 361,531 | |||
Alumina | 112,290 | 86,880 | |||
Amcor | 54,243 | 527,991 | |||
AMP | 131,408 | 536,941 | |||
APA Group | 48,299 | 316,866 | |||
Aristocrat Leisure | 23,345 | 155,153 | |||
Asciano | 43,860 | 256,467 | |||
ASX | 8,643 | 254,052 | |||
Aurizon Holdings | 93,932 | 346,301 | |||
AusNet Services | 72,030 | 74,222 | |||
Australia & New Zealand Banking Group | 124,217 | 2,410,235 | |||
Bank of Queensland | 16,530 | 154,063 | |||
Bendigo & Adelaide Bank | 21,277 | 162,347 | |||
BHP Billiton | 144,240 | 2,367,777 | |||
Boral | 34,041 | 130,840 | |||
Brambles | 69,585 | 515,066 | |||
Caltex Australia | 12,163 | 274,080 | |||
CIMIC Group | 3,781 | 74,739 | |||
Coca-Cola Amatil | 25,822 | 167,748 | |||
Cochlear | 2,549 | 161,683 | |||
Commonwealth Bank of Australia | 76,383 | 4,179,378 | |||
Computershare | 20,349 | 156,862 | |||
Crown Resorts | 16,028 | 130,983 | |||
CSL | 21,167 | 1,415,682 | |||
Dexus Property Group | 45,220 | 249,587 | |||
Federation Centres | 148,531 | a | 308,219 | ||
Flight Centre Travel Group | 2,140 | 57,913 | |||
Fortescue Metals Group | 69,153 | 103,064 | |||
Goodman Group | 82,405 | 356,691 | |||
GPT Group | 83,352 | 283,520 | |||
Harvey Norman Holdings | 21,349 | 60,591 | |||
Healthscope | 46,800 | 90,107 | |||
Iluka Resources | 20,315 | 93,004 | |||
Incitec Pivot | 75,161 | 211,709 | |||
Insurance Australia Group | 102,340 | 409,410 | |||
James Hardie Industries-CDI | 20,721 | 270,403 | |||
Lend Lease Group | 24,424 | 226,417 | |||
Macquarie Group | 13,673 | 835,592 |
7
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Australia - 6.3% (continued) | |||||
Medibank Private | 120,463 | 202,729 | |||
Mirvac Group | 165,195 | 212,630 | |||
National Australia Bank | 117,459 | 2,525,361 | |||
Newcrest Mining | 36,307 | a | 318,712 | ||
Orica | 16,497 | 193,871 | |||
Origin Energy | 79,512 | 311,850 | |||
Platinum Asset Management | 9,947 | 52,490 | |||
Qantas Airways | 18,369 | a | 51,741 | ||
QBE Insurance Group | 63,513 | 600,106 | |||
Ramsay Health Care | 6,608 | 292,201 | |||
REA Group | 2,402 | 82,269 | |||
Rio Tinto | 18,923 | 683,470 | |||
Santos | 43,776 | 182,305 | |||
Scentre Group | 242,941 | 717,218 | |||
Seek | 15,531 | 142,094 | |||
Sonic Healthcare | 18,262 | 251,076 | |||
South32 | 172,507 | a,b | 180,216 | ||
South32 | 50,800 | a,c | 52,470 | ||
Stockland | 102,579 | 296,253 | |||
Suncorp Group | 57,088 | 533,700 | |||
Sydney Airport | 50,012 | 230,030 | |||
Tabcorp Holdings | 42,599 | 143,381 | |||
Tatts Group | 72,729 | 205,377 | |||
Telstra | 194,684 | 749,676 | |||
TPG Telecom | 11,417 | 90,044 | |||
Transurban Group | 88,733 | 660,595 | |||
Treasury Wine Estates | 32,787 | 165,533 | |||
Wesfarmers | 50,323 | 1,414,239 | |||
Westfield | 88,537 | 647,140 | |||
Westpac Banking | 146,424 | 3,272,420 | |||
Woodside Petroleum | 33,766 | 712,964 | |||
Woolworths | 56,590 | 972,941 | |||
WorleyParsons | 8,268 | 38,441 | |||
35,959,657 | |||||
Austria - .2% | |||||
ANDRITZ | 3,802 | 191,484 | |||
Erste Group Bank | 12,908 | a | 378,562 | ||
OMV | 6,042 | 160,787 | |||
Raiffeisen Bank International | 4,550 | a | 71,949 |
8
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Austria - .2% (continued) | |||||
Voestalpine | 5,210 | 188,690 | |||
991,472 | |||||
Belgium - 1.3% | |||||
Ageas | 9,383 | 414,630 | |||
Anheuser-Busch | 36,165 | 4,322,874 | |||
Colruyt | 3,021 | 149,608 | |||
Delhaize Group | 4,768 | 442,573 | |||
Groupe Bruxelles Lambert | 3,568 | 289,990 | |||
KBC Groep | 11,410 | 695,104 | |||
Proximus | 7,132 | 247,163 | |||
Solvay | 2,795 | 315,958 | |||
Telenet Group Holding | 2,488 | a | 144,785 | ||
UCB | 5,652 | 489,262 | |||
Umicore | 4,734 | 201,202 | |||
7,713,149 | |||||
Chile - .0% | |||||
Antofagasta | 18,804 | 152,622 | |||
China - .0% | |||||
Yangzijiang Shipbuilding Holdings | 91,000 | 81,198 | |||
Denmark - 1.7% | |||||
AP Moller - Maersk, Cl. A | 172 | 246,372 | |||
AP Moller - Maersk, Cl. B | 317 | 467,390 | |||
Carlsberg, Cl. B | 4,628 | 379,392 | |||
Coloplast, Cl. B | 5,208 | 373,648 | |||
Danske Bank | 31,499 | 866,155 | |||
DSV | 8,290 | 336,130 | |||
ISS | 6,985 | 245,832 | |||
Novo Nordisk, Cl. B | 88,154 | 4,683,021 | |||
Novozymes, Cl. B | 10,484 | 486,147 | |||
Pandora | 5,100 | 588,402 | |||
TDC | 39,782 | 208,519 | |||
Tryg | 5,250 | 94,436 | |||
Vestas Wind Systems | 10,409 | 606,674 | |||
William Demant Holding | 1,152 | a | 100,043 | ||
9,682,161 | |||||
Finland - .9% | |||||
Elisa | 6,146 | 231,680 | |||
Fortum | 20,880 | 313,414 | |||
Kone, Cl. B | 15,623 | 667,608 |
9
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Finland - .9% (continued) | |||||
Metso | 5,095 | 124,773 | |||
Neste Oil | 6,289 | 153,459 | |||
Nokia | 164,365 | 1,223,637 | |||
Nokian Renkaat | 5,391 | 203,516 | |||
Orion, Cl. B | 4,426 | 158,277 | |||
Sampo, Cl. A | 20,269 | 991,406 | |||
Stora Enso, Cl. R | 25,073 | 232,842 | |||
UPM-Kymmene | 24,084 | 451,552 | |||
Wartsila | 6,890 | 294,426 | |||
5,046,590 | |||||
France - 9.9% | |||||
Accor | 9,535 | 474,349 | |||
Aeroports de Paris | 1,397 | 175,666 | |||
Air Liquide | 15,425 | 1,999,832 | |||
Airbus Group | 26,468 | 1,844,127 | |||
Alcatel-Lucent | 129,963 | a | 528,638 | ||
Alstom | 10,083 | a | 328,863 | ||
Altice, Cl. A | 16,816 | a | 291,245 | ||
Altice, Cl. B | 3,963 | a | 70,380 | ||
Arkema | 2,875 | 210,587 | |||
Atos | 4,021 | 320,794 | |||
AXA | 88,077 | 2,355,971 | |||
BNP Paribas | 47,581 | 2,891,339 | |||
Bollore | 38,356 | 189,886 | |||
Bouygues | 8,879 | 336,509 | |||
Bureau Veritas | 12,417 | 280,870 | |||
Cap Gemini | 7,198 | 641,375 | |||
Carrefour | 25,066 | 817,819 | |||
Casino Guichard Perrachon | 2,511 | 144,522 | |||
Christian Dior | 2,506 | 493,550 | |||
Cie de St-Gobain | 21,307 | 894,567 | |||
Cie Generale des Etablissements Michelin | 8,467 | 843,553 | |||
CNP Assurances | 6,982 | 99,734 | |||
Credit Agricole | 47,492 | 601,627 | |||
Danone | 25,969 | 1,810,788 | |||
Dassault Systemes | 5,955 | 470,438 | |||
Edenred | 9,836 | 180,900 | |||
Electricite de France | 10,350 | 192,744 | |||
ENGIE | 65,272 | 1,145,192 |
10
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
France - 9.9% (continued) | |||||
Essilor International | 9,164 | 1,205,233 | |||
Eurazeo | 1,999 | 140,861 | |||
Eutelsat Communications | 8,003 | 264,103 | |||
Fonciere Des Regions | 1,331 | 125,507 | |||
Gecina | 1,518 | 194,303 | |||
Groupe Eurotunnel | 21,449 | 300,609 | |||
Hermes International | 1,231 | 474,258 | |||
ICADE | 1,292 | 95,702 | |||
Iliad | 1,231 | 259,025 | |||
Imerys | 1,513 | 103,636 | |||
Ingenico | 2,556 | 301,870 | |||
JCDecaux | 3,359 | 136,853 | |||
Kering | 3,368 | 624,246 | |||
Klepierre | 8,283 | 393,255 | |||
Lagardere | 5,470 | 159,460 | |||
Legrand | 11,818 | 649,004 | |||
L'Oreal | 11,301 | 2,063,528 | |||
LVMH Moet Hennessy Louis Vuitton | 12,539 | 2,338,532 | |||
Natixis | 41,535 | 254,861 | |||
Numericable - SFR | 4,262 | a | 193,092 | ||
Orange | 89,754 | 1,582,623 | |||
Pernod-Ricard | 9,482 | 1,117,762 | |||
Peugeot | 19,087 | a | 336,349 | ||
Publicis Groupe | 8,607 | 558,985 | |||
Remy Cointreau | 971 | 67,685 | |||
Renault | 8,555 | 806,506 | |||
Rexel | 12,502 | 170,886 | |||
Safran | 13,031 | 990,315 | |||
Sanofi | 52,960 | 5,349,113 | |||
Schneider Electric | 25,072 | 1,518,579 | |||
SCOR | 7,281 | 271,182 | |||
Societe BIC | 1,362 | 217,245 | |||
Societe Generale | 32,492 | 1,511,729 | |||
Sodexo | 4,420 | 393,551 | |||
Suez Environnement | 12,933 | 246,179 | |||
Technip | 4,917 | 256,859 | |||
Thales | 4,591 | 332,847 | |||
Total | 97,012 | 4,709,357 | |||
Unibail-Rodamco | 4,402 | 1,230,012 |
11
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
France - 9.9% (continued) | |||||
Valeo | 3,509 | 542,915 | |||
Veolia Environnement | 19,858 | 462,395 | |||
Vinci | 21,586 | 1,456,980 | |||
Vivendi | 52,384 | 1,262,393 | |||
Wendel | 1,271 | 152,554 | |||
Zodiac Aerospace | 9,412 | 238,048 | |||
56,696,852 | |||||
Germany - 8.5% | |||||
adidas | 9,314 | 835,247 | |||
Allianz | 20,542 | 3,599,560 | |||
Axel Springer | 1,985 | 111,629 | |||
BASF | 41,285 | 3,383,592 | |||
Bayer | 37,201 | 4,964,197 | |||
Bayerische Motoren Werke | 14,827 | 1,522,190 | |||
Beiersdorf | 4,656 | 442,519 | |||
Brenntag | 7,229 | 436,818 | |||
Commerzbank | 47,842 | a | 526,621 | ||
Continental | 4,915 | 1,182,026 | |||
Daimler | 43,287 | 3,759,016 | |||
Deutsche Bank | 61,836 | 1,731,908 | |||
Deutsche Boerse | 8,664 | 797,917 | |||
Deutsche Lufthansa | 11,009 | a | 162,584 | ||
Deutsche Post | 43,339 | 1,290,095 | |||
Deutsche Telekom | 142,542 | 2,665,472 | |||
Deutsche Wohnen-BR | 14,748 | 416,064 | |||
E.ON | 89,249 | 941,875 | |||
Evonik Industries | 6,181 | 224,639 | |||
Fraport Frankfurt Airport Services Worldwide | 2,086 | 132,356 | |||
Fresenius & Co. | 17,193 | 1,261,995 | |||
Fresenius Medical Care & Co. | 10,076 | 907,347 | |||
GEA Group | 8,253 | 330,935 | |||
Hannover Rueck | 2,781 | 321,715 | |||
HeidelbergCement | 6,473 | 482,461 | |||
Henkel & Co. | 4,614 | 426,249 | |||
HUGO BOSS | 3,014 | 310,190 | |||
Infineon Technologies | 52,428 | 645,419 | |||
K+S | 8,440 | 213,046 | |||
Kabel Deutschland Holding | 981 | 124,866 | |||
LANXESS | 3,947 | 212,025 |
12
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Germany - 8.5% (continued) | |||||
Linde | 8,315 | 1,442,402 | |||
MAN | 1,628 | 169,785 | |||
Merck | 5,914 | 577,691 | |||
METRO | 7,793 | 240,205 | |||
Muenchener Rueckversicherungs | 7,469 | 1,490,712 | |||
OSRAM Licht | 4,089 | 240,606 | |||
ProSiebenSat.1 Media | 10,040 | 543,082 | |||
RWE | 21,707 | 302,076 | |||
SAP | 44,170 | 3,491,323 | |||
Siemens | 35,643 | 3,586,328 | |||
Symrise | 5,653 | 372,358 | |||
Telefonica Deutschland Holding | 28,741 | 185,079 | |||
ThyssenKrupp | 16,364 | 330,112 | |||
TUI | 21,866 | 407,535 | |||
United Internet | 5,268 | 273,746 | |||
Volkswagen | 1,561 | 216,457 | |||
Vonovia | 21,230 | 708,305 | |||
48,940,375 | |||||
Hong Kong - 2.9% | |||||
AIA Group | 541,400 | 3,185,281 | |||
ASM Pacific Technology | 10,800 | 77,057 | |||
Bank of East Asia | 49,550 | 185,718 | |||
BOC Hong Kong Holdings | 169,500 | 544,545 | |||
Cathay Pacific Airways | 52,000 | 103,589 | |||
Cheung Kong Infrastructure Holdings | 27,000 | 251,342 | |||
Cheung Kong Property Holdings | 124,475 | 875,273 | |||
CK Hutchison Holdings | 121,975 | 1,676,043 | |||
CLP Holdings | 86,288 | 751,482 | |||
First Pacific | 120,250 | 82,384 | |||
Galaxy Entertainment Group | 110,277 | 379,181 | |||
Hang Lung Properties | 99,000 | 242,946 | |||
Hang Seng Bank | 34,400 | 632,911 | |||
Henderson Land Development | 54,545 | 349,413 | |||
HKT Trust | 125,660 | 150,618 | |||
Hong Kong & China Gas | 311,439 | 632,474 | |||
Hong Kong Exchanges & Clearing | 50,700 | 1,333,143 | |||
Hysan Development | 28,000 | 124,455 | |||
Kerry Properties | 29,500 | 87,542 | |||
Li & Fung | 259,200 | 210,688 |
13
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Hong Kong - 2.9% (continued) | |||||
Link REIT | 105,000 | 629,274 | |||
MTR | 64,500 | 292,932 | |||
New World Development | 254,048 | 272,384 | |||
Noble Group | 188,963 | 68,118 | |||
NWS Holdings | 60,000 | 90,574 | |||
PCCW | 167,000 | 90,496 | |||
Power Assets Holdings | 62,500 | 623,742 | |||
Shangri-La Asia | 71,000 | 65,223 | |||
Sino Land | 127,730 | 198,090 | |||
SJM Holdings | 78,530 | 65,555 | |||
Sun Hung Kai Properties | 78,699 | 1,054,993 | |||
Swire Pacific, Cl. A | 27,500 | 319,330 | |||
Swire Properties | 56,000 | 168,710 | |||
Techtronic Industries | 65,365 | 239,934 | |||
WH Group | 257,000 | a,d | 142,251 | ||
Wharf Holdings | 60,311 | 360,671 | |||
Wheelock & Co. | 43,000 | 201,113 | |||
Yue Yuen Industrial Holdings | 32,300 | 118,146 | |||
16,877,621 | |||||
Ireland - .4% | |||||
Bank of Ireland | 1,228,951 | a | 458,130 | ||
CRH | 37,209 | 1,017,194 | |||
Kerry Group, Cl. A | 7,351 | 597,777 | |||
Ryanair Holdings | 3,900 | a | 57,789 | ||
2,130,890 | |||||
Israel - .6% | |||||
Azrieli Group | 1,603 | 62,808 | |||
Bank Hapoalim | 48,286 | 251,467 | |||
Bank Leumi Le-Israel | 60,234 | a | 228,535 | ||
Bezeq The Israeli Telecommunication | 79,342 | 170,592 | |||
Delek Group | 202 | 48,814 | |||
Israel | 117 | 30,145 | |||
Israel Chemicals | 24,674 | 136,534 | |||
Israel Discount Bank, Cl. A | 1 | a | 2 | ||
Mizrahi Tefahot Bank | 6,222 | 75,484 | |||
NICE Systems | 2,452 | 150,638 | |||
Teva Pharmaceutical Industries | 38,876 | 2,382,306 | |||
3,537,325 |
14
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Italy - 2.5% | |||||
Assicurazioni Generali | 52,959 | 1,003,995 | |||
Atlantia | 18,499 | 512,629 | |||
Banca Monte dei Paschi di Siena | 119,067 | a | 218,918 | ||
Banco Popolare | 16,630 | a | 248,889 | ||
CNH Industrial | 43,714 | 295,631 | |||
Enel | 318,629 | 1,470,196 | |||
Enel Green Power | 81,547 | 172,621 | |||
Eni | 114,117 | 1,864,763 | |||
EXOR | 4,701 | 233,401 | |||
Fiat Chrysler Automobiles | 40,560 | a | 598,556 | ||
Finmeccanica | 18,554 | a | 242,795 | ||
Intesa Sanpaolo | 568,743 | 1,981,326 | |||
Intesa Sanpaolo-RSP | 47,321 | 151,218 | |||
Luxottica Group | 7,731 | 541,964 | |||
Mediobanca | 25,082 | 252,370 | |||
Prysmian | 8,493 | 183,518 | |||
Saipem | 10,910 | a | 102,516 | ||
Snam | 93,495 | 484,244 | |||
STMicroelectronics | 30,765 | 213,032 | |||
Telecom Italia | 523,305 | a | 730,249 | ||
Telecom Italia-RSP | 270,919 | 304,768 | |||
Tenaris | 20,192 | 253,571 | |||
Terna Rete Elettrica Nazionale | 68,305 | 347,617 | |||
UniCredit | 216,225 | 1,398,099 | |||
Unione di Banche Italiane | 41,889 | 313,691 | |||
UnipolSai | 48,164 | 116,308 | |||
14,236,885 | |||||
Japan - 22.8% | |||||
ABC-Mart | 1,000 | 56,103 | |||
Acom | 15,500 | a | 85,547 | ||
Aeon | 30,100 | 448,744 | |||
AEON Financial Service | 5,360 | 135,255 | |||
AEON Mall | 4,480 | 75,477 | |||
Air Water | 7,000 | 115,497 | |||
Aisin Seiki | 8,500 | 340,578 | |||
Ajinomoto | 25,800 | 578,774 | |||
Alfresa Holdings | 7,600 | 146,936 | |||
Alps Electric | 8,100 | 254,405 | |||
Amada Holdings | 17,600 | 157,958 |
15
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
ANA Holdings | 53,000 | 159,127 | |||
Aozora Bank | 54,959 | 201,764 | |||
Asahi Glass | 42,800 | 247,216 | |||
Asahi Group Holdings | 17,700 | 549,614 | |||
Asahi Kasei | 55,900 | 345,814 | |||
Asics | 7,000 | 195,202 | |||
Astellas Pharma | 95,695 | 1,399,699 | |||
Bandai Namco Holdings | 7,750 | 191,711 | |||
Bank of Kyoto | 17,000 | 173,423 | |||
Bank of Yokohama | 50,000 | 314,618 | |||
Benesse Holdings | 3,200 | 86,318 | |||
Bridgestone | 29,000 | 1,075,694 | |||
Brother Industries | 10,800 | 139,441 | |||
CALBEE | 3,500 | 127,911 | |||
Canon | 47,817 | 1,442,396 | |||
Casio Computer | 9,300 | 176,644 | |||
Central Japan Railway | 6,600 | 1,214,221 | |||
Chiba Bank | 29,000 | 213,408 | |||
Chubu Electric Power | 28,500 | 441,541 | |||
Chugai Pharmaceutical | 9,928 | 321,691 | |||
Chugoku Bank | 8,400 | 120,080 | |||
Chugoku Electric Power | 14,000 | 212,779 | |||
Citizen Holdings | 12,400 | 94,744 | |||
Colopl | 2,100 | 34,579 | |||
Credit Saison | 6,200 | 128,501 | |||
Dai Nippon Printing | 25,800 | 268,968 | |||
Daicel | 13,400 | 178,563 | |||
Daihatsu Motor | 8,000 | 98,782 | |||
Dai-ichi Life Insurance | 48,900 | 857,077 | |||
Daiichi Sankyo | 28,683 | 566,791 | |||
Daikin Industries | 10,500 | 682,191 | |||
Daito Trust Construction | 3,300 | 359,344 | |||
Daiwa House Industry | 27,400 | 725,701 | |||
Daiwa Securities Group | 76,000 | 524,071 | |||
Denso | 21,700 | 1,018,193 | |||
Dentsu | 9,900 | 561,987 | |||
Don Quijote Holdings | 5,600 | 207,674 | |||
East Japan Railway | 15,000 | 1,438,220 | |||
Eisai | 11,600 | 731,357 |
16
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Electric Power Development | 6,080 | 201,793 | |||
FamilyMart | 2,617 | 107,677 | |||
FANUC | 9,229 | 1,648,555 | |||
Fast Retailing | 2,358 | 867,225 | |||
Fuji Electric | 27,000 | 121,497 | |||
Fuji Heavy Industries | 26,200 | 1,026,548 | |||
FUJIFILM Holdings | 20,800 | 836,344 | |||
Fujitsu | 85,800 | 408,984 | |||
Fukuoka Financial Group | 33,000 | 175,296 | |||
GungHo Online Entertainment | 19,400 | 63,504 | |||
Gunma Bank | 19,000 | 120,452 | |||
Hachijuni Bank | 20,000 | 137,565 | |||
Hakuhodo DY Holdings | 11,200 | 118,803 | |||
Hamamatsu Photonics | 6,400 | 164,415 | |||
Hankyu Hanshin Holdings | 53,000 | 347,419 | |||
Hikari Tsushin | 1,100 | 84,321 | |||
Hino Motors | 12,100 | 139,581 | |||
Hirose Electric | 1,365 | 166,963 | |||
Hiroshima Bank | 25,000 | 140,259 | |||
Hisamitsu Pharmaceutical | 2,400 | 93,677 | |||
Hitachi | 215,900 | 1,257,613 | |||
Hitachi Chemical | 4,000 | 64,042 | |||
Hitachi Construction Machinery | 5,000 | 77,981 | |||
Hitachi High-Technologies | 2,700 | 73,278 | |||
Hitachi Metals | 10,000 | 114,279 | |||
Hokuhoku Financial Group | 51,000 | 114,113 | |||
Hokuriku Electric Power | 7,700 | 115,624 | |||
Honda Motor | 73,159 | 2,451,769 | |||
Hoya | 19,400 | 808,507 | |||
Hulic | 14,000 | 131,797 | |||
Ibiden | 6,300 | 87,606 | |||
Idemitsu Kosan | 3,600 | 59,339 | |||
IHI | 60,000 | 171,045 | |||
Iida Group Holdings | 5,800 | 109,684 | |||
INPEX | 42,000 | 402,179 | |||
Isetan Mitsukoshi Holdings | 15,020 | 243,342 | |||
Isuzu Motors | 26,900 | 316,884 | |||
ITOCHU | 71,800 | 906,797 | |||
Itochu Techno-Solutions | 1,800 | 39,678 |
17
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Iyo Bank | 11,000 | 119,325 | |||
J Front Retailing | 11,800 | 195,770 | |||
Japan Airlines | 5,200 | 197,365 | |||
Japan Airport Terminal | 1,800 | 98,450 | |||
Japan Exchange Group | 25,400 | 413,405 | |||
Japan Prime Realty Investment | 39 | 127,501 | |||
Japan Real Estate Investment | 58 | 269,164 | |||
Japan Retail Fund Investment | 113 | 219,688 | |||
Japan Tobacco | 49,300 | 1,720,414 | |||
JFE Holdings | 21,560 | 342,330 | |||
JGC | 9,000 | 143,499 | |||
Joyo Bank | 27,462 | 143,830 | |||
JSR | 9,700 | 154,419 | |||
JTEKT | 9,800 | 170,710 | |||
JX Holdings | 97,376 | 384,113 | |||
Kajima | 38,800 | 224,112 | |||
Kakaku.com | 6,700 | 126,260 | |||
Kamigumi | 9,400 | 81,482 | |||
Kaneka | 12,000 | 107,201 | |||
Kansai Electric Power | 32,499 | a | 419,603 | ||
Kansai Paint | 10,000 | 153,559 | |||
Kao | 22,500 | 1,163,317 | |||
Kawasaki Heavy Industries | 65,000 | 263,404 | |||
KDDI | 78,363 | 1,913,130 | |||
Keihan Electric Railway | 21,000 | 149,838 | |||
Keikyu | 20,000 | 165,576 | |||
Keio | 25,000 | 204,898 | |||
Keisei Electric Railway | 13,000 | 161,490 | |||
Keyence | 2,085 | 1,098,569 | |||
Kikkoman | 7,000 | 221,306 | |||
Kintetsu Group Holdings | 80,354 | 312,307 | |||
Kirin Holdings | 36,700 | 523,417 | |||
Kobe Steel | 133,000 | 169,736 | |||
Koito Manufacturing | 5,000 | 191,638 | |||
Komatsu | 41,700 | 691,832 | |||
Konami | 4,400 | 100,565 | |||
Konica Minolta | 21,700 | 224,966 | |||
Kose | 1,500 | 147,800 | |||
Kubota | 51,000 | 799,213 |
18
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Kuraray | 17,000 | 211,320 | |||
Kurita Water Industries | 4,800 | 109,111 | |||
Kyocera | 14,600 | 665,814 | |||
Kyowa Hakko Kirin | 10,705 | 177,603 | |||
Kyushu Electric Power | 20,500 | a | 249,391 | ||
Kyushu Financial Group | 16,000 | a | 123,046 | ||
Lawson | 3,000 | 223,502 | |||
LIXIL Group | 11,924 | 257,018 | |||
M3 | 8,100 | 158,214 | |||
Mabuchi Motor | 2,600 | 130,140 | |||
Makita | 5,300 | 292,956 | |||
Marubeni | 71,700 | 417,354 | |||
Marui Group | 9,500 | 123,838 | |||
Maruichi Steel Tube | 2,000 | 51,546 | |||
Mazda Motor | 25,200 | 502,141 | |||
McDonald's Holdings Co. Japan | 3,000 | 71,078 | |||
Medipal Holdings | 5,800 | 102,090 | |||
MEIJI Holdings | 5,642 | 448,386 | |||
Minebea | 15,000 | 167,316 | |||
Miraca Holdings | 2,700 | 121,049 | |||
Mitsubishi | 61,698 | 1,131,241 | |||
Mitsubishi Chemical Holdings | 60,580 | 381,744 | |||
Mitsubishi Electric | 89,000 | 936,687 | |||
Mitsubishi Estate | 56,000 | 1,209,845 | |||
Mitsubishi Gas Chemical | 16,000 | 89,898 | |||
Mitsubishi Heavy Industries | 140,700 | 716,034 | |||
Mitsubishi Logistics | 6,000 | 86,815 | |||
Mitsubishi Materials | 56,000 | 196,768 | |||
Mitsubishi Motors | 28,600 | 255,971 | |||
Mitsubishi Tanabe Pharma | 10,800 | 184,013 | |||
Mitsubishi UFJ Financial Group | 573,290 | 3,756,054 | |||
Mitsubishi UFJ Lease & Finance | 24,300 | 128,679 | |||
Mitsui & Co. | 77,400 | 988,106 | |||
Mitsui Chemicals | 38,000 | 145,173 | |||
Mitsui Fudosan | 42,286 | 1,159,913 | |||
Mitsui OSK Lines | 52,000 | 140,051 | |||
mixi | 1,600 | 61,523 | |||
Mizuho Financial Group | 1,049,600 | 2,177,135 | |||
MS&AD Insurance Group Holdings | 23,057 | 686,341 |
19
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Murata Manufacturing | 9,100 | 1,308,780 | |||
Nabtesco | 5,600 | 113,327 | |||
Nagoya Railroad | 42,000 | 174,724 | |||
NEC | 114,800 | 356,758 | |||
NEXON | 6,700 | 93,723 | |||
NGK Insulators | 12,000 | 262,136 | |||
NGK Spark Plug | 7,926 | 195,145 | |||
NH Foods | 8,000 | 167,796 | |||
NHK Spring | 7,000 | 71,990 | |||
Nidec | 10,200 | 775,376 | |||
Nikon | 16,260 | 211,823 | |||
Nintendo | 4,825 | 778,909 | |||
Nippon Building Fund | 61 | 290,669 | |||
Nippon Electric Glass | 17,085 | 84,526 | |||
Nippon Express | 39,000 | 202,644 | |||
Nippon Paint Holdings | 6,900 | 147,355 | |||
Nippon Prologis REIT | 70 | 123,734 | |||
Nippon Steel & Sumitomo Metal | 35,161 | 720,004 | |||
Nippon Telegraph & Telephone | 33,500 | 1,245,388 | |||
Nippon Yusen | 69,800 | 183,943 | |||
Nissan Motor | 111,100 | 1,166,057 | |||
Nisshin Seifun Group | 9,438 | 145,320 | |||
Nissin Foods Holdings | 2,600 | 120,875 | |||
Nitori Holdings | 3,200 | 251,662 | |||
Nitto Denko | 7,700 | 499,253 | |||
NOK | 4,600 | 109,482 | |||
Nomura Holdings | 164,600 | 1,044,317 | |||
Nomura Real Estate Holdings | 6,400 | 137,844 | |||
Nomura Real Estate Master Fund | 158 | a | 200,201 | ||
Nomura Research Institute | 5,830 | 240,119 | |||
NSK | 20,000 | 238,999 | |||
NTT Data | 5,500 | 275,752 | |||
NTT DOCOMO | 63,900 | 1,248,399 | |||
NTT Urban Development | 5,500 | 55,014 | |||
Obayashi | 30,000 | 264,523 | |||
Odakyu Electric Railway | 28,000 | 275,661 | |||
Oji Holdings | 35,000 | 182,440 | |||
Olympus | 12,800 | 435,435 | |||
Omron | 9,000 | 300,945 |
20
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Ono Pharmaceutical | 3,700 | 511,444 | |||
Oracle Japan | 1,400 | 64,042 | |||
Oriental Land | 9,300 | 568,928 | |||
ORIX | 60,200 | 888,757 | |||
Osaka Gas | 83,000 | 328,919 | |||
OTSUKA | 2,700 | 131,342 | |||
Otsuka Holdings | 18,100 | 606,583 | |||
Panasonic | 98,595 | 1,172,485 | |||
Park24 | 3,800 | 80,113 | |||
Rakuten | 41,100 | 574,760 | |||
Recruit Holdings | 6,300 | 203,613 | |||
Resona Holdings | 98,400 | 524,822 | |||
Ricoh | 31,300 | 339,535 | |||
Rinnai | 1,500 | 119,707 | |||
Rohm | 4,300 | 214,875 | |||
Ryohin Keikaku | 1,100 | 222,698 | |||
Sankyo | 2,200 | 85,324 | |||
Sanrio | 2,100 | 56,124 | |||
Santen Pharmaceutical | 16,500 | 225,752 | |||
SBI Holdings | 10,830 | 123,943 | |||
Secom | 9,400 | 632,301 | |||
Sega Sammy Holdings | 7,484 | 79,324 | |||
Seibu Holdings | 5,900 | 120,327 | |||
Seiko Epson | 13,300 | 204,675 | |||
Sekisui Chemical | 19,000 | 226,104 | |||
Sekisui House | 28,100 | 471,438 | |||
Seven & I Holdings | 33,760 | 1,541,820 | |||
Seven Bank | 26,000 | 119,367 | |||
Sharp | 70,000 | a | 77,153 | ||
Shikoku Electric Power | 8,900 | 152,230 | |||
Shimadzu | 12,000 | 188,448 | |||
Shimamura | 1,000 | 113,284 | |||
Shimano | 3,500 | 556,311 | |||
Shimizu | 27,000 | 237,847 | |||
Shin-Etsu Chemical | 18,600 | 1,115,044 | |||
Shinsei Bank | 78,000 | 164,830 | |||
Shionogi & Co. | 13,300 | 550,098 | |||
Shiseido | 16,000 | 383,326 | |||
Shizuoka Bank | 23,400 | 236,967 |
21
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Showa Shell Sekiyu | 8,500 | 75,371 | |||
SMC | 2,400 | 623,320 | |||
SoftBank | 43,100 | 2,427,701 | |||
Sompo Japan Nipponkoa Holdings | 14,670 | 465,375 | |||
Sony | 56,780 | 1,637,477 | |||
Sony Financial Holdings | 7,000 | 126,693 | |||
Stanley Electric | 6,600 | 127,110 | |||
Sumitomo | 51,500 | 567,836 | |||
Sumitomo Chemical | 64,000 | 370,730 | |||
Sumitomo Dainippon Pharma | 6,900 | 76,794 | |||
Sumitomo Electric Industries | 34,700 | 478,645 | |||
Sumitomo Heavy Industries | 25,000 | 113,947 | |||
Sumitomo Metal Mining | 23,000 | 287,905 | |||
Sumitomo Mitsui Financial Group | 57,100 | 2,299,710 | |||
Sumitomo Mitsui Trust Holdings | 151,640 | 587,735 | |||
Sumitomo Realty & Development | 16,000 | 530,902 | |||
Sumitomo Rubber Industries | 7,600 | 114,123 | |||
Suntory Beverage & Food | 6,000 | 244,137 | |||
Suruga Bank | 8,000 | 158,979 | |||
Suzuken | 3,212 | 123,907 | |||
Suzuki Motor | 16,900 | 558,805 | |||
Sysmex | 6,800 | 392,774 | |||
T&D Holdings | 26,300 | 349,156 | |||
Taiheiyo Cement | 54,000 | 179,001 | |||
Taisei | 46,000 | 301,152 | |||
Taisho Pharmaceutical Holdings | 1,500 | 94,224 | |||
Taiyo Nippon Sanso | 6,000 | 62,501 | |||
Takashimaya | 12,000 | 108,096 | |||
Takeda Pharmaceutical | 35,400 | 1,739,637 | |||
TDK | 5,500 | 354,148 | |||
Teijin | 40,000 | 142,538 | |||
Terumo | 13,500 | 403,870 | |||
THK | 5,500 | 104,695 | |||
Tobu Railway | 46,000 | 223,767 | |||
Toho | 5,400 | 141,410 | |||
Toho Gas | 18,000 | 110,980 | |||
Tohoku Electric Power | 19,700 | 278,840 | |||
Tokio Marine Holdings | 30,500 | 1,185,929 | |||
Tokyo Electric Power | 64,972 | a | 446,356 |
22
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Japan - 22.8% (continued) | |||||
Tokyo Electron | 7,700 | 466,071 | |||
Tokyo Gas | 104,000 | 518,492 | |||
Tokyo Tatemono | 8,500 | 106,294 | |||
Tokyu | 49,820 | 406,669 | |||
Tokyu Fudosan Holdings | 25,100 | 177,845 | |||
TonenGeneral Sekiyu | 13,000 | 135,634 | |||
Toppan Printing | 22,000 | 198,724 | |||
Toray Industries | 67,000 | 589,935 | |||
Toshiba | 180,000 | a | 511,792 | ||
TOTO | 6,000 | 205,353 | |||
Toyo Seikan Group Holdings | 7,100 | 138,387 | |||
Toyo Suisan Kaisha | 4,000 | 148,504 | |||
Toyoda Gosei | 2,400 | 55,649 | |||
Toyota Industries | 7,300 | 387,777 | |||
Toyota Motor | 123,157 | 7,622,936 | |||
Toyota Tsusho | 10,100 | 233,019 | |||
Trend Micro | 4,900 | 192,272 | |||
Unicharm | 16,900 | 363,433 | |||
United Urban Investment | 114 | 158,808 | |||
USS | 9,800 | 174,690 | |||
West Japan Railway | 7,500 | 530,165 | |||
Yahoo! Japan | 61,100 | 260,765 | |||
Yakult Honsha | 4,100 | 218,812 | |||
Yamada Denki | 28,300 | 128,285 | |||
Yamaguchi Financial Group | 9,000 | 111,502 | |||
Yamaha | 7,200 | 180,492 | |||
Yamaha Motor | 11,200 | 254,499 | |||
Yamato Holdings | 16,100 | 318,945 | |||
Yamazaki Baking | 6,000 | 116,500 | |||
Yaskawa Electric | 11,300 | 135,503 | |||
Yokogawa Electric | 11,500 | 129,514 | |||
Yokohama Rubber | 4,500 | 87,263 | |||
130,885,383 | |||||
Luxembourg - .1% | |||||
RTL Group | 1,680 | 147,109 | |||
SES | 14,758 | 436,307 | |||
583,416 | |||||
Macau - .1% | |||||
MGM China Holdings | 40,000 | 58,628 |
23
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Macau - .1% (continued) | |||||
Sands China | 107,813 | 391,574 | |||
Wynn Macau | 69,200 | 95,712 | |||
545,914 | |||||
Mexico - .0% | |||||
Fresnillo | 10,059 | 113,200 | |||
Netherlands - 2.8% | |||||
Aegon | 81,552 | 502,559 | |||
Akzo Nobel | 11,171 | 791,716 | |||
ASML Holding | 15,508 | 1,442,886 | |||
Boskalis Westminster | 4,086 | 198,755 | |||
Delta Lloyd | 10,069 | 79,500 | |||
Gemalto | 3,825 | 239,962 | |||
Heineken | 10,269 | 938,617 | |||
Heineken Holding | 4,485 | 359,686 | |||
ING Groep | 173,649 | 2,527,265 | |||
Koninklijke Ahold | 40,073 | 816,108 | |||
Koninklijke DSM | 7,981 | 426,178 | |||
Koninklijke KPN | 146,421 | 537,780 | |||
Koninklijke Philips | 41,747 | 1,128,856 | |||
Koninklijke Vopak | 2,912 | 117,120 | |||
NN Group | 10,893 | 342,225 | |||
OCI | 3,786 | a | 107,100 | ||
QIAGEN | 9,940 | a | 240,308 | ||
Randstad Holding | 5,773 | 344,902 | |||
RELX | 47,119 | 805,714 | |||
TNT Express | 23,803 | 200,239 | |||
Unilever | 73,208 | 3,310,292 | |||
Wolters Kluwer | 13,883 | 470,130 | |||
15,927,898 | |||||
New Zealand - .1% | |||||
Auckland International Airport | 46,910 | 167,084 | |||
Contact Energy | 31,118 | 109,361 | |||
Fletcher Building | 31,140 | 157,305 | |||
Meridian Energy | 52,186 | 78,450 | |||
Mighty River Power | 29,098 | 55,170 | |||
Ryman Healthcare | 16,781 | 89,656 | |||
Spark New Zealand | 78,060 | 177,604 | |||
834,630 |
24
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Norway - .6% | |||||
DNB | 45,292 | 576,761 | |||
Gjensidige Forsikring | 9,640 | 146,584 | |||
Norsk Hydro | 62,574 | 224,322 | |||
Orkla | 36,127 | 307,197 | |||
Seadrill | 16,377 | a | 102,540 | ||
Statoil | 50,799 | 814,291 | |||
Telenor | 34,744 | 655,482 | |||
Yara International | 7,988 | 362,606 | |||
3,189,783 | |||||
Portugal - .1% | |||||
Banco Comercial Portugues, Cl. R | 1,375,710 | a | 79,119 | ||
Banco Espirito Santo | 118,053 | a,e | 13 | ||
Energias de Portugal | 103,730 | 384,177 | |||
Galp Energia | 16,122 | 174,396 | |||
Jeronimo Martins | 10,446 | 146,861 | |||
784,566 | |||||
Singapore - 1.2% | |||||
Ascendas Real Estate Investment Trust | 93,912 | 160,218 | |||
CapitaLand | 116,500 | 257,799 | |||
CapitaLand Commercial Trust | 96,000 | 96,624 | |||
CapitaLand Mall Trust | 117,000 | 165,365 | |||
City Developments | 17,000 | 96,352 | |||
ComfortDelGro | 92,700 | 201,162 | |||
DBS Group Holdings | 78,388 | 966,351 | |||
Genting Singapore | 289,327 | 168,321 | |||
Global Logistic Properties | 136,843 | 218,808 | |||
Golden Agri-Resources | 278,440 | 77,516 | |||
Hutchison Port Holdings Trust | 265,000 | 147,075 | |||
Jardine Cycle & Carriage | 4,913 | 114,399 | |||
Keppel | 68,300 | 345,181 | |||
Oversea-Chinese Banking | 133,487 | 860,438 | |||
Sembcorp Industries | 43,254 | 110,536 | |||
Sembcorp Marine | 38,000 | 63,473 | |||
Singapore Airlines | 25,933 | 199,926 | |||
Singapore Exchange | 35,000 | 184,381 | |||
Singapore Press Holdings | 69,075 | 196,737 | |||
Singapore Technologies Engineering | 68,000 | 160,668 | |||
Singapore Telecommunications | 361,651 | 1,027,462 | |||
StarHub | 26,918 | 69,173 |
25
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Singapore - 1.2% (continued) | |||||
Suntec Real Estate Investment Trust | 99,000 | 116,604 | |||
United Overseas Bank | 58,712 | 852,034 | |||
UOL Group | 21,111 | 98,857 | |||
Wilmar International | 88,000 | 196,616 | |||
7,152,076 | |||||
South Africa - .1% | |||||
Mondi | 17,108 | 396,658 | |||
Spain - 3.3% | |||||
Abertis Infraestructuras | 20,818 | 345,906 | |||
ACS Actividades de Construccion y Servicios | 9,025 | 307,109 | |||
Aena | 2,977 | d | 332,276 | ||
Amadeus IT Holding, Cl. A | 20,344 | 867,111 | |||
Banco Bilbao Vizcaya Argentaria | 283,094 | 2,440,627 | |||
Banco de Sabadell | 219,241 | 424,075 | |||
Banco Popular Espanol | 78,242 | 298,211 | |||
Banco Santander | 643,729 | 3,610,172 | |||
Bankia | 207,019 | 266,804 | |||
Bankinter | 32,065 | 232,612 | |||
CaixaBank | 115,983 | 445,372 | |||
Distribuidora Internacional de Alimentacion | 28,026 | a | 178,379 | ||
Enagas | 10,045 | 304,372 | |||
Endesa | 14,949 | 332,883 | |||
Ferrovial | 20,592 | 519,906 | |||
Gas Natural SDG | 16,467 | 356,908 | |||
Grifols | 6,799 | 315,360 | |||
Iberdrola | 243,853 | 1,742,190 | |||
Industria de Diseno Textil | 48,893 | 1,833,662 | |||
Mapfre | 47,485 | 141,247 | |||
Red Electrica | 4,768 | 420,499 | |||
Repsol | 48,023 | 605,978 | |||
Telefonica | 199,602 | 2,640,494 | |||
Zardoya Otis | 6,905 | 85,043 | |||
19,047,196 | |||||
Sweden - 2.8% | |||||
Alfa Laval | 13,304 | 234,047 | |||
Assa Abloy, Cl. B | 46,251 | 920,305 | |||
Atlas Copco, Cl. A | 31,033 | 810,010 | |||
Atlas Copco, Cl. B | 16,947 | 410,606 | |||
Boliden | 11,860 | 227,107 |
26
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Sweden - 2.8% (continued) | |||||
Electrolux, Ser. B | 10,732 | 316,550 | |||
Ericsson, Cl. B | 136,238 | 1,329,124 | |||
Getinge, Cl. B | 9,499 | 237,821 | |||
Hennes & Mauritz, Cl. B | 42,545 | 1,654,781 | |||
Hexagon, Cl. B | 11,240 | 390,474 | |||
Husqvarna, Cl. B | 20,372 | 134,366 | |||
ICA Gruppen | 3,218 | 114,579 | |||
Industrivarden, Cl. C | 7,189 | 130,846 | |||
Investment AB Kinnevik, Cl. B | 10,364 | 331,171 | |||
Investor, Cl. B | 21,055 | 782,211 | |||
Lundin Petroleum | 9,154 | a | 132,324 | ||
Millicom International Cellular, SDR | 2,952 | 164,815 | |||
Nordea Bank | 136,084 | 1,505,222 | |||
Sandvik | 49,025 | 458,486 | |||
Securitas, Cl. B | 15,493 | 202,377 | |||
Skandinaviska Enskilda Banken, Cl. A | 67,990 | 715,429 | |||
Skanska, Cl. B | 17,185 | 334,908 | |||
SKF, Cl. B | 18,687 | 328,965 | |||
Svenska Cellulosa, Cl. B | 27,192 | 802,053 | |||
Svenska Handelsbanken, Cl. A | 67,881 | 923,243 | |||
Swedbank, Cl. A | 41,094 | 943,230 | |||
Swedish Match | 8,504 | 267,456 | |||
Tele2, Cl. B | 14,711 | 147,221 | |||
TeliaSonera | 116,315 | 595,356 | |||
Volvo, Cl. B | 69,979 | 726,939 | |||
16,272,022 | |||||
Switzerland - 9.4% | |||||
ABB | 98,597 | a | 1,861,318 | ||
Actelion | 4,558 | a | 633,587 | ||
Adecco | 7,606 | a | 566,343 | ||
Aryzta | 3,764 | a | 169,836 | ||
Baloise Holding | 2,379 | 285,687 | |||
Barry Callebaut | 110 | a | 132,096 | ||
Cie Financiere Richemont | 23,417 | 2,008,965 | |||
Coca-Cola HBC-CDI | 8,469 | a | 202,364 | ||
Credit Suisse Group | 69,770 | a | 1,742,044 | ||
Dufry AG | 1,787 | a | 209,172 | ||
EMS-Chemie Holding | 396 | 167,663 | |||
Geberit | 1,756 | 567,242 |
27
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
Switzerland - 9.4% (continued) | |||||
Givaudan | 421 | a | 753,877 | ||
Glencore | 548,295 | a | 950,903 | ||
Julius Baer Group | 10,272 | a | 510,456 | ||
Kuehne + Nagel International | 2,440 | 338,433 | |||
LafargeHolcim | 19,667 | a | 1,109,247 | ||
Lindt & Spruengli | 5 | 370,909 | |||
Lindt & Spruengli-PC | 44 | 268,643 | |||
Lonza Group | 2,485 | a | 365,038 | ||
Nestle | 145,258 | 11,109,823 | |||
Novartis | 102,477 | 9,315,148 | |||
Pargesa Holding-BR | 1,256 | 79,798 | |||
Partners Group Holding | 711 | 257,512 | |||
Roche Holding | 31,636 | 8,587,120 | |||
Schindler Holding | 876 | 142,507 | |||
Schindler Holding-PC | 1,967 | 319,591 | |||
SGS | 251 | 478,410 | |||
Sika-BR | 99 | 324,909 | |||
Sonova Holding | 2,370 | 323,689 | |||
Sulzer | 1,245 | 125,829 | |||
Swatch Group | 2,074 | 150,024 | |||
Swatch Group-BR | 1,371 | 536,638 | |||
Swiss Life Holding | 1,420 | a | 339,180 | ||
Swiss Prime Site | 3,113 | a | 238,093 | ||
Swiss Re | 15,764 | 1,465,640 | |||
Swisscom | 1,201 | 619,667 | |||
Syngenta | 4,158 | 1,399,952 | |||
Transocean | 15,437 | 235,822 | |||
UBS Group | 164,131 | 3,284,447 | |||
Zurich Insurance Group | 6,739 | a | 1,781,477 | ||
54,329,099 | |||||
United Kingdom - 19.6% | |||||
3i Group | 45,621 | 352,348 | |||
Aberdeen Asset Management | 39,934 | 213,435 | |||
Admiral Group | 9,276 | 230,656 | |||
Aggreko | 10,853 | 153,171 | |||
Amec Foster Wheeler | 16,968 | 185,982 | |||
Anglo American | 62,300 | 524,961 | |||
ArcelorMittal | 42,990 | 239,821 | |||
ARM Holdings | 64,028 | 1,011,727 |
28
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
United Kingdom - 19.6% (continued) | |||||
Ashtead Group | 23,009 | 354,705 | |||
Associated British Foods | 16,440 | 875,627 | |||
AstraZeneca | 56,809 | 3,634,855 | |||
Aviva | 182,920 | 1,370,462 | |||
Babcock International Group | 10,761 | 159,919 | |||
BAE Systems | 141,217 | 958,529 | |||
Barclays | 752,619 | 2,691,737 | |||
Barratt Developments | 46,168 | 435,930 | |||
BG Group | 153,348 | 2,423,101 | |||
BHP Billiton | 94,652 | 1,518,243 | |||
BP | 821,465 | 4,893,230 | |||
British American Tobacco | 83,869 | 4,990,017 | |||
British Land | 43,080 | 578,115 | |||
BT Group | 375,688 | 2,693,083 | |||
Bunzl | 15,442 | 442,540 | |||
Burberry Group | 20,477 | 419,212 | |||
Capita | 30,393 | 597,384 | |||
Carnival | 8,328 | 464,364 | |||
Centrica | 226,131 | 788,189 | |||
Cobham | 51,208 | 219,064 | |||
Compass Group | 74,186 | 1,279,739 | |||
Croda International | 6,455 | 288,379 | |||
Diageo | 113,011 | 3,272,664 | |||
Direct Line Insurance Group | 63,227 | 384,423 | |||
Dixons Carphone | 45,648 | 324,620 | |||
easyJet | 7,546 | 203,575 | |||
Experian | 44,387 | 758,167 | |||
G4S | 69,165 | 258,777 | |||
GKN | 77,871 | 344,770 | |||
GlaxoSmithKline | 218,893 | 4,741,084 | |||
Hammerson | 35,471 | 348,050 | |||
Hargreaves Lansdown | 12,395 | 275,920 | |||
HSBC Holdings | 878,587 | 6,875,050 | |||
ICAP | 23,517 | 159,516 | |||
IMI | 12,873 | 189,122 | |||
Imperial Tobacco Group | 42,958 | 2,317,168 | |||
Inmarsat | 21,105 | 320,473 | |||
InterContinental Hotels Group | 10,892 | 436,734 | |||
International Consolidated Airlines Group | 37,752 | a | 338,339 |
29
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
United Kingdom - 19.6% (continued) | |||||
Intertek Group | 6,956 | 281,487 | |||
Intu Properties | 43,243 | 230,721 | |||
Investec | 26,558 | 221,903 | |||
ITV | 170,697 | 664,178 | |||
J Sainsbury | 63,395 | 260,351 | |||
Johnson Matthey | 9,326 | 371,643 | |||
Kingfisher | 107,825 | 586,930 | |||
Land Securities Group | 35,155 | 725,667 | |||
Legal & General Group | 265,250 | 1,069,702 | |||
Lloyds Banking Group | 2,565,413 | 2,915,889 | |||
London Stock Exchange Group | 14,071 | 552,055 | |||
Marks & Spencer Group | 73,189 | 578,806 | |||
Meggitt | 35,607 | 194,096 | |||
Melrose Industries | 49,000 | 201,082 | |||
Merlin Entertainments | 33,913 | d | 216,857 | ||
National Grid | 167,950 | 2,394,403 | |||
Next | 6,626 | 817,167 | |||
Old Mutual | 227,798 | 745,537 | |||
Pearson | 37,949 | 503,994 | |||
Persimmon | 13,614 | a | 418,485 | ||
Petrofac | 12,065 | 156,792 | |||
Prudential | 115,471 | 2,703,960 | |||
Randgold Resources | 4,376 | 294,666 | |||
Reckitt Benckiser Group | 28,856 | 2,822,077 | |||
RELX | 50,514 | 904,872 | |||
Rexam | 32,409 | 269,792 | |||
Rio Tinto | 56,762 | 2,063,778 | |||
Rolls-Royce Holdings | 82,227 | a | 871,478 | ||
Royal Bank of Scotland Group | 149,465 | a | 731,795 | ||
Royal Dutch Shell, Cl. A | 175,212 | 4,564,782 | |||
Royal Dutch Shell, Cl. B | 109,656 | 2,873,762 | |||
Royal Mail | 34,768 | 238,672 | |||
RSA Insurance Group | 44,836 | 290,921 | |||
SABMiller | 43,567 | 2,683,144 | |||
Sage Group | 50,343 | 422,966 | |||
Schroders | 5,838 | 268,464 | |||
Segro | 33,856 | 234,760 | |||
Severn Trent | 11,127 | 384,748 | |||
Shire | 26,531 | 2,014,324 |
30
Common Stocks - 98.2% (continued) | Shares | Value ($) | |||
United Kingdom - 19.6% (continued) | |||||
Sky | 47,678 | 805,560 | |||
Smith & Nephew | 40,722 | 696,822 | |||
Smiths Group | 18,686 | 277,116 | |||
Sports Direct International | 11,250 | a | 120,880 | ||
SSE | 44,344 | 1,035,659 | |||
St. James's Place | 24,309 | 361,442 | |||
Standard Chartered | 115,161 | 1,280,711 | |||
Standard Life | 86,897 | 563,837 | |||
Subsea 7 | 12,720 | a | 99,179 | ||
Tate & Lyle | 21,771 | 200,533 | |||
Taylor Wimpey | 151,385 | 462,080 | |||
Tesco | 363,421 | a | 1,026,933 | ||
Travis Perkins | 11,023 | 325,585 | |||
Tullow Oil | 38,752 | a | 121,212 | ||
Unilever | 57,629 | 2,570,153 | |||
United Utilities Group | 31,427 | 478,905 | |||
Vodafone Group | 1,192,211 | 3,937,707 | |||
Weir Group | 9,166 | 150,770 | |||
Whitbread | 8,082 | 618,721 | |||
William Hill | 40,472 | 197,843 | |||
WM Morrison Supermarkets | 97,954 | 254,444 | |||
Wolseley | 11,842 | 696,814 | |||
WPP | 58,687 | 1,319,073 | |||
112,885,662 | |||||
Total Common Stocks (cost $497,254,419) | 564,994,300 | ||||
Preferred Stocks - .4% | Shares | Value ($) | |||
Germany - .4% | |||||
Bayerische Motoren Werke | 2,457 | 198,883 | |||
Fuchs Petrolub | 2,998 | 143,788 | |||
Henkel & Co. | 7,964 | 864,377 | |||
Porsche Automobil Holding | 6,890 | 322,763 | |||
Volkswagen | 7,493 | 900,597 | |||
2,430,408 | |||||
Total Preferred Stocks (cost $2,239,951) | |||||
Rights - .0% | Number of Rights | Value ($) | |||
Australia - .0% | |||||
Treasury Wine Estates | 4,371 | a | 5,144 | ||
Spain - .0% | |||||
Banco Bilbao Vizcaya Argentaria | 288,696 | a | 27,302 |
31
STATEMENT OF INVESTMENTS (continued)
Rights - .0% (continued) | Number of Rights | Value ($) | |||
Spain - .0% (continued) | |||||
Banco Santander | 643,647 | a | 35,389 | ||
62,691 | |||||
Total Rights (cost $78,834) | 67,835 | ||||
Short-Term Investments - .1% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.03%, 3/17/16 | 510,000 | f | 509,807 | ||
Other Investment - .8% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 4,211,240 | g | 4,211,240 | ||
Total Investments (cost $504,294,383) | 99.5% | 572,213,590 | |||
Cash and Receivables (Net) | 0.5% | 3,092,264 | |||
Net Assets | 100.0% | 575,305,854 |
BR—Bearer Certificate
CDI—Chess Depository Interest
PC—Participation Certificate
REIT—Real Estate Investment Trust
RSP—Risparmio (Savings) Shares
SDR—Swedish Depository Receipts
a Non-income producing security.
b Security is traded on the Australian Exchange.
c Security is traded on the London Exchange.
d Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2015, these securities were valued at $691,384 or 0.1% of net assets.
e The valuation of this security has been determined in good faith by management under the direction of the Board of Directors. At October 31, 2015, the value of this security amounted to $13 or 0.0% of net assets.
f Held by or on behalf of a counterparty for open financial futures contracts.
g Investment in affiliated money market mutual fund.
32
Portfolio Summary (Unaudited) † | Value (%) |
Financials | 25.1 |
Consumer Discretionary | 13.1 |
Industrials | 12.3 |
Consumer Staples | 11.7 |
Health Care | 11.6 |
Materials | 6.6 |
Telecommunication Services | 4.9 |
Energy | 4.8 |
Information Technology | 4.8 |
Utilities | 3.7 |
Short-Term/Money Market Investments | .9 |
99.5 |
†Based on net assets.
See notes to financial statements.
33
STATEMENT OF FINANCIAL FUTURES
October 31, 2015
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation (Depreciation) at 10/31/2015 ($) | ||
Financial Futures Long | |||||
ASX SPI 200 | 8 | 746,757 | December 2015 | 1,957 | |
DJ Euro Stoxx 50 | 55 | 2,058,161 | December 2015 | 79,267 | |
FTSE 100 | 21 | 2,046,001 | December 2015 | (1,007) | |
Topix | 10 | 1,291,539 | December 2015 | 35,043 | |
Gross Unrealized Appreciation | 116,267 | ||||
Gross Unrealized Depreciation | (1,007) |
See notes to financial statements.
34
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2015
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments: |
|
|
|
| ||||
Unaffiliated issuers |
| 500,083,143 |
| 568,002,350 |
| |||
Affiliated issuers |
| 4,211,240 |
| 4,211,240 |
| |||
Cash |
|
|
|
| 969,047 |
| ||
Cash denominated in foreign currency |
|
| 524,661 |
| 515,217 |
| ||
Dividends receivable |
|
|
|
| 2,107,867 |
| ||
Unrealized appreciation on forward foreign |
|
|
|
| 282,448 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 166,610 |
| ||
|
|
|
|
| 576,254,779 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 286,584 |
| ||
Unrealized depreciation on forward foreign |
|
|
|
| 420,898 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 238,650 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 2,445 |
| ||
Interest payable—Note 2 |
|
|
|
| 348 |
| ||
|
|
|
|
| 948,925 |
| ||
Net Assets ($) |
|
| 575,305,854 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 546,329,582 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 8,282,329 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| (47,123,630) |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 67,817,573 |
| ||
Net Assets ($) |
|
| 575,305,854 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 36,280,191 |
| |||||
Net Asset Value Per Share ($) |
| 15.86 |
|
See notes to financial statements.
35
STATEMENT OF OPERATIONS
Year Ended October 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 3,711 |
| ||
Cash dividends (net of $1,406,641 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 15,921,954 |
| ||
Affiliated issuers |
|
| 6,946 |
| ||
Total Income |
|
| 15,932,611 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,033,873 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 1,452,766 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 39,893 |
| ||
Loan commitment fees—Note 2 |
|
| 6,093 |
| ||
Interest expense—Note 2 |
|
| 2,975 |
| ||
Total Expenses |
|
| 3,535,600 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (39,893) |
| ||
Net Expenses |
|
| 3,495,707 |
| ||
Investment Income—Net |
|
| 12,436,904 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (11,558,144) |
| ||||
Net realized gain (loss) on financial futures |
|
| 1,596,735 |
| ||
Net realized gain (loss) on forward foreign currency exchange contracts | (658,157) |
| ||||
Net Realized Gain (Loss) |
|
| (10,619,566) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (7,586,015) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| (277,795) |
| ||
Net unrealized appreciation (depreciation) on |
|
| 138,969 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (7,724,841) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (18,344,407) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (5,907,503) |
|
See notes to financial statements.
36
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2015 |
|
|
| 2014 |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 12,436,904 |
|
|
| 15,409,956 |
| |
Net realized gain (loss) on investments |
| (10,619,566) |
|
|
| (11,987,182) |
| ||
Net unrealized appreciation (depreciation) |
| (7,724,841) |
|
|
| (4,797,262) |
| ||
Net Increase (Decrease) in Net Assets | (5,907,503) |
|
|
| (1,374,488) |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (14,805,957) |
|
|
| (11,610,746) |
| |
Net realized gain on investments |
|
| - |
|
|
| (5,883,193) |
| |
Total Dividends |
|
| (14,805,957) |
|
|
| (17,493,939) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 249,531,941 |
|
|
| 201,588,720 |
| |
Dividends reinvested |
|
| 13,678,033 |
|
|
| 16,860,058 |
| |
Cost of shares redeemed |
|
| (234,901,772) |
|
|
| (204,474,021) |
| |
Increase (Decrease) in Net Assets | 28,308,202 |
|
|
| 13,974,757 |
| |||
Total Increase (Decrease) in Net Assets | 7,594,742 |
|
|
| (4,893,670) |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 567,711,112 |
|
|
| 572,604,782 |
| |
End of Period |
|
| 575,305,854 |
|
|
| 567,711,112 |
| |
Undistributed investment income—net | 8,282,329 |
|
|
| 11,305,745 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 15,560,352 |
|
|
| 11,864,108 |
| |
Shares issued for dividends reinvested |
|
| 872,323 |
|
|
| 1,013,225 |
| |
Shares redeemed |
|
| (14,466,003) |
|
|
| (12,017,895) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,966,672 |
|
|
| 859,438 |
| |||
See notes to financial statements.
37
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.54 | 17.12 | 13.96 | 13.79 | 14.84 | |
Investment Operations: | ||||||
Investment income—neta | .35 | .47 | .35 | .37 | .38 | |
Net realized and unrealized | (.60) | (.49) | 3.20 | .24 | (1.10) | |
Total from Investment Operations | (.25) | (.02) | 3.55 | .61 | (.72) | |
Distributions: | ||||||
Dividends from investment income—net | (.43) | (.37) | (.39) | (.44) | (.33) | |
Dividends from net realized gain on investments | - | (.19) | - | - | - | |
Total Distributions | (.43) | (.56) | (.39) | (.44) | (.33) | |
Net asset value, end of period | 15.86 | 16.54 | 17.12 | 13.96 | 13.79 | |
Total Return (%) | (1.46) | (.13) | 26.01 | 4.79 | (5.03) | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .61 | .61 | .61 | .61 | .61 | |
Ratio of net expenses | .60 | .60 | .60 | .60 | .60 | |
Ratio of net investment income | 2.14 | 2.76 | 2.25 | 2.75 | 2.52 | |
Portfolio Turnover Rate | 8.44 | 10.26 | 23.12 | 11.11 | 6.14 | |
Net Assets, end of period ($ x 1,000) | 575,306 | 567,711 | 572,605 | 455,018 | 491,377 |
a Based on average shares outstanding.
See notes to financial statements.
38
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek 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 Dreyfus, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: 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
39
NOTES TO FINANCIAL STATEMENTS (continued)
active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are 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.
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. 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
40
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 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 October 31, 2015 in valuing the fund’s investments:
41
NOTES TO FINANCIAL STATEMENTS (continued)
Assets ($) | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Investments in Securities: |
|
|
|
|
Equity Securities - Foreign Common Stocks† | 564,994,287 | - | 13 | 564,994,300 |
Equity Securities - Foreign Preferred Stocks† | 2,430,408 | - | - | 2,430,408 |
Mutual Funds | 4,211,240 | - | - | 4,211,240 |
U.S. Treasury | - | 509,807 | - | 509,807 |
Rights† | 67,835 | - | - | 67,835 |
Other Financial Instruments: |
|
|
|
|
Financial Futures†† | 116,267 | - | - | 116,267 |
Forward Foreign Currency Exchange Contracts†† | - | 282,448 | - | 282,448 |
Liabilities ($) |
|
|
|
|
Other Financial Instruments: |
|
|
|
|
Financial Futures†† | (1,007) | - | - | (1,007) |
Forward Foreign Currency Exchange Contracts†† | - | (420,898) | - | (420,898) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At October 31, 2014, $560,468,111 of exchange traded foreign equity securities were classified within Level 2 of the fair value hierarchy pursuant to the fund’s fair valuation procedures.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Equity Securities— |
Balance as of 10/31/2014 | 15 |
Realized gain (loss) | - |
Change in unrealized apprecition (depreciation) | (2) |
Purchases | - |
Sales | - |
Transfers into Level 3 | - |
Transfers out of Level 3 | - |
Balance as of 10/31/2015 | 13 |
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to investments still held at 10/31/2015 | (2) |
42
(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.
(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 October 31, 2015 were as follows:
Affiliated Investment Company | Value 10/31/2014 ($) | Purchases ($) | Sales ($) | Value 10/31/2015 ($) | Net Assets (%) |
Dreyfus Institutional Preferred Plus Money Market Fund | 8,461,549 | 121,410,683 | 125,660,992 | 4,211,240 | .8 |
(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.
43
NOTES TO FINANCIAL STATEMENTS (continued)
(f) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2015, 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 October 31, 2015, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2015, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $10,587,286, accumulated capital losses $12,957,726 and unrealized appreciation $31,346,712.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2015. The fund has $12,957,726 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2015 and October 31, 2014 were as follows: ordinary income $14,805,957 and $11,615,926, and long-term capital gains $0 and $5,878,013, respectively.
44
During the period ended October 31, 2015, as a result of permanent book to tax differences, primarily due to the tax treatment for passive foreign investment companies and foreign currency gains and losses, the fund decreased accumulated undistributed investment income-net by $654,363 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $480 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. Prior to October 7, 2015, the unsecured credit facility with Citibank, N.A. was $430 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2015 was approximately $266,600 with a related weighted average annualized interest rate of 1.12%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with Dreyfus, 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, Dreyfus 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. Dreyfus has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to non-interested Board members. During the period ended October 31, 2015, fees reimbursed by Dreyfus amounted to $39,893.
(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
45
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2015, the fund was charged $1,452,766 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 $169,789 and Shareholder Services Plan fees $121,278, which are offset against an expense reimbursement currently in effect in the amount of $4,483.
(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, financial futures and forward contracts, during the period ended October 31, 2015, amounted to $74,490,578 and $48,154,991, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its over-the-counter (“OTC”) derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended October 31, 2015 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
46
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 October 31, 2015 are set forth in the Statement of Financial Futures.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The following summarizes open forward contracts at October 31, 2015:
47
NOTES TO FINANCIAL STATEMENTS (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Bank of America | ||||
British Pound, | ||||
Expiring | ||||
12/16/2015 | 442,400 | 682,162 | 681,867 | (295) |
BNP Paribas | ||||
Australian Dollar, | ||||
Expiring | ||||
12/16/2015 | 130,900 | 95,004 | 93,119 | (1,885) |
Euro, | ||||
Expiring | ||||
12/16/2015 | 68,400 | 75,442 | 75,277 | (165) |
Japanese Yen, | ||||
Expiring | ||||
12/16/2015 | 208,034,336 | 1,731,094 | 1,725,440 | (5,654) |
Citigroup | ||||
Euro, | ||||
Expiring | ||||
12/16/2015 | 468,300 | 530,790 | 515,380 | (15,410) |
Japanese Yen, | ||||
Expiring | ||||
12/16/2015 | 28,770,000 | 242,064 | 238,619 | (3,445) |
Credit Suisse International | ||||
British Pound, | ||||
Expiring | ||||
12/16/2015 | 63,400 | 96,441 | 97,718 | 1,277 |
Euro, | ||||
Expiring | ||||
12/16/2015 | 97,700 | 110,761 | 107,522 | (3,239) |
Deutsche Bank | ||||
Euro, | ||||
Expiring | ||||
12/16/2015 | 604,213 | 676,679 | 664,958 | (11,721) |
Goldman Sachs International | ||||
Australian Dollar, | ||||
Expiring | ||||
12/16/2015 | 1,288,748 | 940,407 | 916,786 | (23,621) |
British Pound, | ||||
Expiring | ||||
12/16/2015 | 1,471,685 | 2,274,750 | 2,268,294 | (6,456) |
Euro, | ||||
Expiring | ||||
12/16/2015 | 4,800,861 | 5,433,574 | 5,283,516 | (150,058) |
48
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ Proceeds ($) | Value ($) | Unrealized Appreciation (Depreciation)($) |
| ||
Purchases: (continued) | |||||||
Goldman Sachs International (continued) | |||||||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 187,304,416 | 1,581,508 | 1,553,506 | (28,002) | |||
HSBC | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 293,603 | 206,026 | 208,862 | 2,836 | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 1,548,137 | 2,378,034 | 2,386,129 | 8,095 | |||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 397,400 | 447,424 | 437,353 | (10,071) | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 60,085,000 | 501,382 | 498,346 | (3,036) | |||
JP Morgan Chase Bank | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 880,809 | 618,517 | 626,587 | 8,070 | |||
Royal Bank of Canada | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 457,902 | 325,082 | 325,741 | 659 | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 61,700 | 96,331 | 95,098 | (1,233) | |||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 715,400 | 813,336 | 787,323 | (26,013) | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 157,111,085 | 1,311,610 | 1,303,082 | (8,528) | |||
Standard Chartered Bank | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 1,535,519 | 1,084,281 | 1,092,333 | 8,052 | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 2,408,639 | 3,696,497 | 3,712,412 | 15,915 |
49
NOTES TO FINANCIAL STATEMENTS (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
| ||
Purchases: (continued) | |||||||
Standard Chartered Bank (continued) | |||||||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 1,675,591 | 1,875,757 | 1,844,047 | (31,710) | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 210,346,662 | 1,753,828 | 1,744,618 | (9,210) | |||
UBS | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 391,000 | 281,448 | 278,148 | (3,300) | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 253,000 | 391,380 | 389,946 | (1,434) | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 14,935,000 | 124,768 | 123,871 | (897) | |||
Sales: | |||||||
Bank of America | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 2,762,236 | 1,961,759 | 1,964,991 | (3,232) | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 125,200 | 190,068 | 192,969 | (2,901) | |||
12/16/2015 | 1,897,950 | 2,879,184 | 2,925,292 | (46,108) | |||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 4,822,774 | 5,433,854 | 5,307,632 | 126,222 | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 274,558,424 | 2,275,498 | 2,277,192 | (1,694) | |||
Citigroup | |||||||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 278,300 | 312,077 | 306,279 | 5,798 | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 29,405,000 | 245,707 | 243,886 | 1,821 | |||
Credit Suisse International | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 51,445 | 37,006 | 36,597 | 409 |
50
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
| ||
Sales: (continued) | |||||||
Credit Suisse International (continued) | |||||||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 98,890 | 154,108 | 152,419 | 1,689 | |||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 148,920 | 169,657 | 163,892 | 5,765 | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 195,164,723 | 1,639,874 | 1,618,699 | 21,175 | |||
Goldman Sachs International | |||||||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 217,600 | 245,142 | 239,477 | 5,665 | |||
HSBC | |||||||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 1,517,300 | 2,343,057 | 2,338,600 | 4,457 | |||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 409,600 | 452,766 | 450,779 | 1,987 | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 62,180,000 | 515,429 | 515,722 | (293) | |||
Royal Bank of Canada | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 128,500 | 91,347 | 91,412 | (65) | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 62,900 | 96,147 | 96,947 | (800) | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 73,380,000 | 609,299 | 608,615 | 684 | |||
Standard Chartered Bank | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 382,900 | 268,737 | 272,386 | (3,649) | |||
British Pound, | |||||||
Expiring | |||||||
12/16/2015 | 1,629,100 | 2,494,143 | 2,510,916 | (16,773) |
51
NOTES TO FINANCIAL STATEMENTS (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
| ||
Sales: (continued) | |||||||
Standard Chartered Bank (continued) | |||||||
Euro, | |||||||
Expiring | |||||||
12/16/2015 | 1,687,400 | 1,902,129 | 1,857,043 | 45,086 | |||
UBS | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
12/16/2015 | 915,900 | 665,870 | 651,550 | 14,320 | |||
Japanese Yen, | |||||||
Expiring | |||||||
12/16/2015 | 103,880,000 | 864,048 | 861,582 | 2,466 | |||
Gross Unrealized Appreciation | 282,448 | ||||||
Gross Unrealized Depreciation | (420,898) |
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of October 31, 2015 is shown below:
| Derivative Assets ($) |
| Derivative Liabilities ($) |
Foreign exchange risk 1 | 282,448 | Foreign exchange risk 1 |
|
Equity risk 2 | 116,267 | Equity risk 2 | (1,007) |
Gross fair value of | 398,715 | (421,905) | |
Statement of Assets and Liabilities location: | |||
1 Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. 2 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. |
The effect of derivative instruments in the Statement of Operations during the period ended October 31, 2015 is shown below:
52
Amount of realized gain (loss) on derivatives recognized in income ($) | |||
Underlying risk | Financial Futures 3 | Forward Contracts 4 | Total |
Equity | 1,596,735 | - | 1,596,735 |
Foreign exchange | - | (658,157) | (658,157) |
Total | 1,596,735 | (658,157) | 938,578 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($) | |||
Underlying risk | Financial Futures 5 | Forward Contracts 6 | Total |
Equity | (277,795) | - | (277,795) |
Foreign exchange | - | 138,969 | 138,969 |
Total | (277,795) | 138,969 | (138,826) |
Statement of Operations location: | |||
3 Net realized gain (loss) on financial futures. 4 Net realized gain (loss) on forward foreign currency exchange contracts. 5 Net unrealized appreciation (depreciation) on financial futures. 6 Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master 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 Master Agreements in the Statement of Assets and Liabilities.
At October 31, 2015, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) | |
Financial futures | 116,267 | (1,007) | |||
Forward contracts | 282,448 | (420,898) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 398,715 | (421,905) | |||
Derivatives not subject to | |||||
Master Agreements | (146,582) | 4,246 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 252,133 | (417,659) |
53
NOTES TO FINANCIAL STATEMENTS (continued)
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of October 31, 2015:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | Assets ($) | |
Bank of America | 126,222 | (54,230) | - | 71,992 | ||
Citigroup | 7,619 | (7,619) | - | - | ||
Goldman Sachs | 5,665 | (5,665) | - | - | ||
HSBC | 17,375 | (13,400) | - | 3,975 | ||
JP Morgan | 8,070 | - | - | 8,070 | ||
Royal Bank | 1,343 | (1,343) | - | - | ||
Standard | 69,053 | (61,342) | - | 7,711 | ||
UBS | 16,786 | (5,631) | - | 11,155 | ||
Total | 252,133 | (149,230) | - | 102,903 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | Liabilities ($) | |
Bank of America | (54,230) | 54,230 | - | - | ||
BNP Paribas | (7,704) | - | - | (7,704) | ||
Citigroup | (18,855) | 7,619 | - | (11,236) | ||
Deutsche Bank | (11,721) | - | - | (11,721) | ||
Goldman Sachs | (208,137) | 5,665 | - | (202,472) | ||
HSBC | (13,400) | 13,400 | - | - | ||
Royal Bank | (36,639) | 1,343 | - | (35,296) | ||
Standard | (61,342) | 61,342 | - | - | ||
UBS | (5,631) | 5,631 | - | - | ||
Total | (417,659) | 149,230 | - | (268,429) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented | ||||||
† See Statement of Investments for detailed information regarding collateral held for open |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2015:
54
| Average Market Value ($) |
Equity financial futures | 7,678,737 |
Forward contracts | 7,473,817 |
At October 31, 2015, the cost of investments for federal income tax purposes was $540,824,984; accordingly, accumulated net unrealized appreciation on investments was $31,388,606, consisting of $124,779,140 gross unrealized appreciation and $93,390,534 gross unrealized depreciation.
55
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus International Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus International Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2015, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 29, 2015
56
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2015:
- the total amount of taxes paid to foreign countries was $1,344,583.
- the total amount of income sourced from foreign countries was $17,328,594.
Where required by federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2015 calendar year with Form 1099-DIV which will be mailed in early 2016. For the fiscal year ended October 31, 2015, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $14,805,957 represents the maximum amount that may be considered qualified dividend income.
57
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
· The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director (2000-2010)
No. of Portfolios for which Board Member Serves: 140
———————
Peggy C. Davis (72)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 51
———————
David P. Feldman (75)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 37
———————
Ehud Houminer (75)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Executive-in-Residence at the Columbia Business School, Columbia
University (1992-present)
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 61
———————
58
Lynn Martin (75)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Robin A. Melvin (52)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; a board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 111
———————
Dr. Martin Peretz (76)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Director of TheStreet.com, a financial information service on the web (1996-2010)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund's Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
59
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Executive Vice President of the Distributor since June 2007. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 66 investment companies (comprised of 140 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015
Chief Legal Officer of the Manager since June 2015; from June 2005 to June 2015, Director and Associate General Counsel of Deutsche Bank – Asset & Wealth Management Division, and Chief Legal Officer of Deutsche Investment Management Americas Inc. He is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 52 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 59 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1991.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 53 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager; from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is 40 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since April 1985.
60
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (67 investment companies, comprised of 165 portfolios). He is 58 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
61
NOTES
62
NOTES
63
NOTES
64
NOTES
65
Dreyfus International Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbol: | DIISX |
Telephone Call your financial representative or 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 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 www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. (phone 1-800-SEC-0330 for information).
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 www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2015 MBSC Securities Corporation |
Dreyfus S&P 500 Index Fund
ANNUAL REPORT October 31, 2015 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
T H E F U N D
With Those of Other Funds | |
Public Accounting Firm | |
F O R M O R E I N F O R M AT I O N
Back Cover
| The Fund |
Dear Shareholder:
We are pleased to present this annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2014, through October 31, 2015. 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.
Financial markets proved volatile over the reporting period amid choppy U.S. and global economic growth. U.S. stocks advanced over the final months of 2014 and the spring of 2015, with some broad measures of market performance setting new record highs. Those gains were largely erased over the summer when global economic instability undermined investor sentiment, but a renewed rally in October enabled most broad stock indices to end the reporting period in positive territory. In contrast, international stocks generally lost a degree of value, with developed markets faring far better than emerging markets amid falling commodity prices and depreciating currency values. U.S. bonds generally produced modestly positive total returns, with municipal bonds and longer term U.S. government securities faring better, on average, than corporate-backed bonds.
We expect market volatility to persist over the near term until investors see greater clarity regarding short-term U.S. interest rates and global economic conditions. Our investment strategists and portfolio managers are monitoring developments carefully, keeping a close watch on credit spreads, currency values, commodity prices, corporate profits, economic trends in the emerging markets, and other developments that could influence investor sentiment. Over the longer term, we remain confident that markets are likely to benefit as investors increasingly recognize that inflation is likely to stay low, economic growth expectations are stabilizing, and monetary policies remain accommodative in most regions of the world. In our view, investors will continue to be well served under these circumstances by a long-term perspective and a disciplined investment approach.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
November 16, 2015
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2014, through October 31, 2015, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2015, Dreyfus S&P 500 Index Fund produced a total return of 4.70%.1 In comparison, the Standard & Poor’s 500® Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, returned 5.21% for the same period.2,3
Moderately positive stock market results for the reporting period masked heightened volatility stemming from shifting economic sentiment. 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.
Global Economic Concerns Sparked Market Turmoil
After experiencing sharp declines in the early fall, the reporting period began in the midst of a stock market rally driven by robust employment gains and improved consumer and business confidence. The S&P 500 Index climbed through the end of February 2015 despite ongoing global economic weakness and plummeting prices of oil and other commodities.
Investors responded negatively in March to sluggish domestic economic growth stemming from severe winter weather and an appreciating U.S. dollar. Indeed, U.S. GDP expanded at an anemic 0.6% annualized rate during the first quarter of 2015, but stocks resumed their advance and the S&P 500 Index set new record highs in May as the U.S. economy regained traction with a 3.9% annualized growth rate for the second quarter.
Uncertainty regarding a debt crisis in Greece and slowing economic growth in China again sent U.S. stock prices lower over the summer. In mid-August, the Chinese central bank unexpectedly devalued the country’s currency, intensifying concerns that the world’s second largest economy could be slowing more than anticipated and sending commodity prices lower. In fact, the impact of global economic headwinds on U.S. exports was cited as a primary factor behind a deceleration of U.S. economic growth to an annualized 1.5% rate for the third quarter. Stocks briefly dipped into negative territory as investors grew more risk-averse, but a strong rally in October enabled the S&P 500 Index to end the reporting period with a moderate gain after several large companies reported better-than-expected financial results.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Consumer Discretionary Stocks Led Markets Higher
Although the S&P 500 Index posted a single-digit gain for the reporting period overall, the economic sectors that comprise the index delivered widely disparate results. The consumer discretionary sector led the market’s advance, driven higher by gains from Internet retailers such as Amazon.com. Meanwhile, home improvement retailers including The Home Depot and Lowe’s benefited from recovering housing markets, and more affordable fuel prices boosted business for hotels and restaurants.
The information technology sector gained value amid the ongoing trend toward cloud computing, which has enabled businesses across a variety of industries to enhance their technology capabilities at an affordable cost. Increased adoption of smartphones helped boost earnings for providers of electronic components and mobile software. Some of the sector’s top performers included technology giants Apple, Facebook, Alphabet (formerly Google), and Microsoft. The health care sector continued to see rising spending on medical services from an aging population, and the industry group increasingly sought to control costs and achieve economies of scale through mergers and acquisitions.
In contrast, the energy sector lost considerable value over the reporting period. A glut of supply of crude oil was met with tepid demand, causing petroleum prices to fall sharply. Offshore drillers were hit especially hard during the downturn when their contracts with major energy producers were canceled. The materials sector also was hurt by declining commodity prices stemming mainly from reduced demand from the emerging markets, which weighed on earnings for metals-and-mining companies. Finally, results from the telecommunications services sector were undermined by heightened competitive pressures affecting traditional telephone companies.
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 the U.S. economic recovery appears to remain on track, and aggressively accommodative monetary policies are at work in international markets. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 16, 2015
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index Fund and the Standard & Poor’s 500 Composite Stock Price Index
Average Annual Total Returns as of 10/31/15 | |||
| 1 Year | 5 Years | 10 Years |
Fund | 4.70% | 13.80% | 7.37% |
Standard & Poor’s 500 Composite Stock Price Index | 5.21% | 14.32% | 7.84% |
† Source: Lipper Inc.
Past performance is not predictive of future performance. The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The above graph compares a $10,000 investment made in Dreyfus S&P 500 Stock Index Fund on 10/31/05 to a $10,000 investment made in the Standard & Poor’s 500 Composite Stock Price Index (the “Index”) on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is a widely accepted, unmanaged index of U.S. stock market performance. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
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 May 1, 2015 to October 31, 2015. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||
assuming actual returns for the six months ended October 31, 2015 | ||||||||
Expenses paid per $1,000† | $ 2.53 | |||||||
Ending value (after expenses) | $ 1,005.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2015 | ||||||||
Expenses paid per $1,000† | $ 2.55 | |||||||
Ending value (after expenses) | $ 1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2015
Common Stocks - 98.7% | Shares | Value ($) | |||
Automobiles & Components - 1.0% | |||||
BorgWarner | 33,296 | 1,425,735 | |||
Delphi Automotive | 42,608 | 3,544,560 | |||
Ford Motor | 581,980 | 8,619,124 | |||
General Motors | 214,746 | 7,496,783 | |||
Goodyear Tire & Rubber | 39,117 | 1,284,602 | |||
Harley-Davidson | 30,802 | 1,523,159 | |||
Johnson Controls | 97,277 | 4,394,975 | |||
28,288,938 | |||||
Banks - 5.8% | |||||
Bank of America | 1,562,736 | 26,222,710 | |||
BB&T | 117,302 | 4,357,769 | |||
Citigroup | 449,409 | 23,895,077 | |||
Comerica | 27,349 | 1,186,947 | |||
Fifth Third Bancorp | 121,602 | 2,316,518 | |||
Hudson City Bancorp | 73,481 | 743,628 | |||
Huntington Bancshares | 118,609 | 1,301,141 | |||
JPMorgan Chase & Co. | 552,409 | 35,492,278 | |||
KeyCorp | 128,890 | 1,600,814 | |||
M&T Bank | 19,944 | a | 2,390,288 | ||
People's United Financial | 43,680 | 696,696 | |||
PNC Financial Services Group | 76,701 | 6,923,032 | |||
Regions Financial | 202,513 | 1,893,497 | |||
SunTrust Banks | 77,728 | 3,227,267 | |||
U.S. Bancorp | 247,470 | 10,438,285 | |||
Wells Fargo & Co. | 697,527 | 37,764,112 | |||
Zions Bancorporation | 28,993 | 834,129 | |||
161,284,188 | |||||
Capital Goods - 7.2% | |||||
3M | 93,295 | 14,666,907 | |||
Allegion | 14,868 | 968,948 | |||
AMETEK | 36,065 | 1,977,083 | |||
Boeing | 95,584 | 14,153,123 | |||
Caterpillar | 89,510 | a | 6,533,335 | ||
Cummins | 24,991 | a | 2,586,818 | ||
Danaher | 88,849 | 8,290,500 | |||
Deere & Co. | 46,614 | a | 3,635,892 | ||
Dover | 24,381 | 1,570,868 | |||
Eaton | 69,034 | 3,859,691 |
7
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Capital Goods - 7.2% (continued) | |||||
Emerson Electric | 98,913 | 4,671,661 | |||
Fastenal | 43,220 | a | 1,692,495 | ||
Flowserve | 19,468 | 902,536 | |||
Fluor | 22,399 | 1,070,896 | |||
General Dynamics | 45,319 | 6,733,497 | |||
General Electric | 1,507,162 | 43,587,125 | |||
Honeywell International | 116,146 | 11,995,559 | |||
Illinois Tool Works | 50,039 | 4,600,586 | |||
Ingersoll-Rand | 40,500 | 2,400,030 | |||
Jacobs Engineering Group | 18,248 | b | 732,475 | ||
L-3 Communications Holdings | 12,507 | 1,580,885 | |||
Lockheed Martin | 39,709 | 8,729,229 | |||
Masco | 53,808 | 1,560,432 | |||
Northrop Grumman | 27,991 | 5,255,310 | |||
PACCAR | 53,825 | 2,833,886 | |||
Parker Hannifin | 20,560 | 2,152,632 | |||
Pentair | 27,374 | 1,530,754 | |||
Precision Castparts | 20,650 | 4,766,226 | |||
Quanta Services | 32,628 | a,b | 656,149 | ||
Raytheon | 45,168 | 5,302,723 | |||
Rockwell Automation | 19,976 | 2,180,580 | |||
Rockwell Collins | 19,409 | 1,683,148 | |||
Roper Technologies | 15,095 | 2,812,953 | |||
Snap-on | 8,706 | 1,444,238 | |||
Stanley Black & Decker | 23,347 | 2,474,315 | |||
Textron | 42,671 | 1,799,436 | |||
United Rentals | 15,214 | b | 1,138,920 | ||
United Technologies | 123,001 | 12,104,528 | |||
W.W. Grainger | 8,938 | a | 1,876,980 | ||
Xylem | 25,716 | 936,320 | |||
199,449,669 | |||||
Commercial & Professional Services - .7% | |||||
ADT | 24,529 | a | 810,438 | ||
Cintas | 13,351 | 1,242,845 | |||
Dun & Bradstreet | 4,966 | 565,478 | |||
Equifax | 17,878 | 1,905,258 | |||
Nielsen Holdings | 56,113 | 2,665,929 | |||
Pitney Bowes | 32,494 | 671,001 | |||
Republic Services | 36,754 | 1,607,620 |
8
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Commercial & Professional Services - .7% (continued) | |||||
Robert Half International | 19,411 | 1,022,183 | |||
Stericycle | 12,489 | b | 1,515,790 | ||
Tyco International | 63,369 | 2,309,166 | |||
Verisk Analytics, Cl. A | 23,145 | b | 1,657,413 | ||
Waste Management | 63,486 | 3,413,007 | |||
19,386,128 | |||||
Consumer Durables & Apparel - 1.5% | |||||
Coach | 41,606 | 1,298,107 | |||
D.R. Horton | 47,422 | 1,396,104 | |||
Fossil Group | 6,988 | b | 380,217 | ||
Garmin | 18,829 | 667,865 | |||
Hanesbrands | 60,561 | 1,934,318 | |||
Harman International Industries | 10,355 | 1,138,636 | |||
Hasbro | 16,411 | 1,260,857 | |||
Leggett & Platt | 20,626 | 928,789 | |||
Lennar, Cl. A | 27,537 | 1,378,778 | |||
Mattel | 50,329 | 1,237,087 | |||
Michael Kors Holdings | 28,787 | b | 1,112,330 | ||
Mohawk Industries | 8,991 | b | 1,757,741 | ||
Newell Rubbermaid | 39,549 | 1,678,064 | |||
NIKE, Cl. B | 101,254 | 13,267,312 | |||
PulteGroup | 50,580 | 927,131 | |||
PVH | 11,994 | 1,090,854 | |||
Ralph Lauren | 8,831 | 978,210 | |||
Under Armour, Cl. A | 26,803 | b | 2,548,429 | ||
VF | 50,214 | 3,390,449 | |||
Whirlpool | 11,962 | 1,915,595 | |||
40,286,873 | |||||
Consumer Services - 1.9% | |||||
Carnival | 67,252 | 3,636,988 | |||
Chipotle Mexican Grill | 4,700 | b | 3,009,081 | ||
Darden Restaurants | 17,056 | 1,055,596 | |||
H&R Block | 42,290 | 1,575,725 | |||
Marriott International, Cl. A | 29,805 | 2,288,428 | |||
McDonald's | 140,650 | 15,787,962 | |||
Royal Caribbean Cruises | 24,915 | 2,450,390 | |||
Starbucks | 223,006 | 13,953,485 | |||
Starwood Hotels & Resorts Worldwide | 25,293 | c | 2,020,152 | ||
Wyndham Worldwide | 18,253 | 1,484,882 |
9
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Consumer Services - 1.9% (continued) | |||||
Wynn Resorts | 12,710 | a | 889,065 | ||
Yum! Brands | 64,038 | 4,540,935 | |||
52,692,689 | |||||
Diversified Financials - 4.8% | |||||
Affiliated Managers Group | 8,125 | b | 1,464,613 | ||
American Express | 127,121 | 9,312,884 | |||
Ameriprise Financial | 26,745 | 3,085,303 | |||
Bank of New York Mellon | 165,267 | 6,883,371 | |||
Berkshire Hathaway, Cl. B | 279,447 | b | 38,010,381 | ||
BlackRock | 18,813 | 6,621,612 | |||
Capital One Financial | 82,040 | 6,472,956 | |||
Charles Schwab | 178,515 | 5,448,278 | |||
CME Group | 50,321 | 4,753,825 | |||
Discover Financial Services | 65,844 | 3,701,750 | |||
E*TRADE Financial | 42,314 | b | 1,206,372 | ||
Franklin Resources | 58,598 | 2,388,454 | |||
Goldman Sachs Group | 59,687 | 11,191,312 | |||
Intercontinental Exchange | 16,639 | 4,199,684 | |||
Invesco | 63,571 | 2,108,650 | |||
Legg Mason | 16,300 | 729,425 | |||
Leucadia National | 49,667 | 993,837 | |||
McGraw-Hill Financial | 41,165 | 3,813,526 | |||
Moody's | 26,035 | 2,503,526 | |||
Morgan Stanley | 227,529 | 7,501,631 | |||
Nasdaq | 16,938 | 980,541 | |||
Navient | 56,169 | 740,869 | |||
Northern Trust | 32,582 | 2,293,447 | |||
State Street | 60,904 | 4,202,376 | |||
T. Rowe Price Group | 39,379 | 2,977,840 | |||
133,586,463 | |||||
Energy - 7.0% | |||||
Anadarko Petroleum | 75,981 | 5,081,609 | |||
Apache | 55,568 | 2,618,920 | |||
Baker Hughes | 65,757 | 3,464,079 | |||
Cabot Oil & Gas | 60,013 | 1,302,882 | |||
Cameron International | 28,482 | b | 1,937,061 | ||
Chesapeake Energy | 75,492 | a | 538,258 | ||
Chevron | 279,746 | 25,423,317 | |||
Cimarex Energy | 13,632 | 1,609,394 |
10
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Energy - 7.0% (continued) | |||||
Columbia Pipeline Group | 49,279 | 1,023,525 | |||
ConocoPhillips | 184,296 | 9,832,192 | |||
CONSOL Energy | 36,297 | a | 241,738 | ||
Devon Energy | 58,413 | 2,449,257 | |||
Diamond Offshore Drilling | 8,398 | a | 166,952 | ||
Ensco | 36,843 | 612,699 | |||
EOG Resources | 82,587 | 7,090,094 | |||
EQT | 22,142 | 1,462,922 | |||
Exxon Mobil | 622,502 | 51,505,816 | |||
FMC Technologies | 36,102 | b | 1,221,331 | ||
Halliburton | 125,930 | 4,833,193 | |||
Helmerich & Payne | 16,991 | a | 956,084 | ||
Hess | 36,773 | 2,067,010 | |||
Kinder Morgan | 268,071 | 7,331,742 | |||
Marathon Oil | 99,844 | 1,835,133 | |||
Marathon Petroleum | 81,299 | 4,211,288 | |||
Murphy Oil | 23,873 | 678,709 | |||
National Oilwell Varco | 58,961 | 2,219,292 | |||
Newfield Exploration | 24,578 | b | 987,790 | ||
Noble Energy | 63,307 | 2,268,923 | |||
Occidental Petroleum | 114,896 | 8,564,348 | |||
ONEOK | 32,669 | 1,108,132 | |||
Phillips 66 | 71,688 | 6,383,816 | |||
Pioneer Natural Resources | 22,196 | 3,043,959 | |||
Range Resources | 26,115 | a | 794,941 | ||
Schlumberger | 188,758 | 14,753,325 | |||
Southwestern Energy | 58,015 | b | 640,486 | ||
Spectra Energy | 102,002 | 2,914,197 | |||
Tesoro | 18,581 | 1,986,866 | |||
Transocean | 53,476 | a | 846,525 | ||
Valero Energy | 74,257 | 4,895,021 | |||
Williams | 100,361 | 3,958,238 | |||
194,861,064 | |||||
Food & Staples Retailing - 2.2% | |||||
Costco Wholesale | 65,253 | 10,317,804 | |||
CVS Health | 166,421 | 16,439,066 | |||
Kroger | 147,161 | 5,562,686 | |||
Sysco | 82,735 | 3,412,819 | |||
Walgreens Boots Alliance | 129,651 | 10,978,847 |
11
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Food & Staples Retailing - 2.2% (continued) | |||||
Wal-Mart Stores | 234,630 | 13,430,221 | |||
Whole Foods Market | 53,158 | 1,592,614 | |||
61,734,057 | |||||
Food, Beverage & Tobacco - 5.5% | |||||
Altria Group | 292,404 | 17,681,670 | |||
Archer-Daniels-Midland | 91,725 | 4,188,164 | |||
Brown-Forman, Cl. B | 15,985 | 1,697,287 | |||
Campbell Soup | 25,836 | a | 1,312,210 | ||
Coca-Cola | 583,636 | 24,716,985 | |||
Coca-Cola Enterprises | 33,080 | 1,698,327 | |||
ConAgra Foods | 63,289 | 2,566,369 | |||
Constellation Brands, Cl. A | 25,635 | 3,455,598 | |||
Dr. Pepper Snapple Group | 29,349 | 2,622,920 | |||
General Mills | 88,252 | 5,128,324 | |||
Hershey | 22,481 | 1,993,840 | |||
Hormel Foods | 19,215 | 1,297,973 | |||
J.M. Smucker | 17,864 | 2,097,055 | |||
Kellogg | 36,890 | 2,601,483 | |||
Keurig Green Mountain | 16,804 | a | 852,803 | ||
Kraft Heinz | 87,811 | 6,846,624 | |||
McCormick & Co. | 17,361 | 1,457,977 | |||
Mead Johnson Nutrition | 30,081 | 2,466,642 | |||
Molson Coors Brewing, Cl. B | 24,453 | 2,154,309 | |||
Mondelez International, Cl. A | 241,631 | 11,153,687 | |||
Monster Beverage | 22,672 | b | 3,090,647 | ||
PepsiCo | 219,577 | 22,438,574 | |||
Philip Morris International | 230,401 | 20,367,448 | |||
Reynolds American | 124,193 | 6,001,006 | |||
Tyson Foods, Cl. A | 45,361 | 2,012,214 | |||
151,900,136 | |||||
Health Care Equipment & Services - 4.8% | |||||
Abbott Laboratories | 221,081 | 9,904,429 | |||
Aetna | 51,760 | 5,941,013 | |||
AmerisourceBergen | 31,439 | 3,034,178 | |||
Anthem | 39,067 | 5,436,173 | |||
Baxter International | 81,289 | 3,039,396 | |||
Becton Dickinson & Co. | 30,965 | 4,413,132 | |||
Boston Scientific | 197,877 | b | 3,617,192 | ||
C.R. Bard | 10,899 | 2,031,029 |
12
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Health Care Equipment & Services - 4.8% (continued) | |||||
Cardinal Health | 49,536 | 4,071,859 | |||
Cerner | 45,117 | b | 2,990,806 | ||
Cigna | 38,329 | 5,137,619 | |||
DaVita HealthCare Partners | 26,450 | b | 2,050,140 | ||
DENTSPLY International | 21,179 | 1,288,742 | |||
Edwards Lifesciences | 15,792 | b | 2,481,713 | ||
Express Scripts Holding | 100,300 | b | 8,663,914 | ||
HCA Holdings | 47,597 | b | 3,274,198 | ||
Henry Schein | 12,622 | b | 1,914,884 | ||
Humana | 22,128 | 3,952,725 | |||
Intuitive Surgical | 5,547 | b | 2,754,640 | ||
Laboratory Corporation of America Holdings | 15,020 | b | 1,843,555 | ||
McKesson | 34,335 | 6,139,098 | |||
Medtronic | 211,884 | 15,662,465 | |||
Patterson | 11,711 | 555,101 | |||
Quest Diagnostics | 21,971 | 1,492,929 | |||
St. Jude Medical | 42,284 | 2,698,142 | |||
Stryker | 47,134 | 4,506,953 | |||
Tenet Healthcare | 14,264 | b | 447,462 | ||
UnitedHealth Group | 141,543 | 16,670,935 | |||
Universal Health Services, Cl. B | 13,787 | 1,683,255 | |||
Varian Medical Systems | 15,536 | a,b | 1,220,042 | ||
Zimmer Biomet Holdings | 25,794 | 2,697,279 | |||
131,614,998 | |||||
Household & Personal Products - 1.9% | |||||
Clorox | 19,798 | 2,414,168 | |||
Colgate-Palmolive | 134,139 | 8,900,123 | |||
Estee Lauder, Cl. A | 33,734 | 2,714,238 | |||
Kimberly-Clark | 54,592 | 6,535,208 | |||
Procter & Gamble | 403,740 | 30,837,661 | |||
51,401,398 | |||||
Insurance - 2.7% | |||||
ACE | 48,700 | 5,529,398 | |||
Aflac | 64,654 | 4,121,693 | |||
Allstate | 60,410 | 3,738,171 | |||
American International Group | 193,276 | 12,187,985 | |||
Aon | 42,379 | 3,954,384 | |||
Assurant | 9,644 | 786,275 | |||
Chubb | 33,975 | 4,394,666 |
13
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Insurance - 2.7% (continued) | |||||
Cincinnati Financial | 22,139 | 1,333,432 | |||
Genworth Financial, Cl. A | 78,985 | b | 369,650 | ||
Hartford Financial Services Group | 61,973 | 2,866,871 | |||
Lincoln National | 38,804 | 2,076,402 | |||
Loews | 43,773 | 1,595,964 | |||
Marsh & McLennan | 79,165 | 4,412,657 | |||
MetLife | 165,595 | 8,342,676 | |||
Principal Financial Group | 40,128 | 2,012,820 | |||
Progressive | 87,280 | 2,891,586 | |||
Prudential Financial | 67,099 | 5,535,667 | |||
Torchmark | 18,177 | 1,054,448 | |||
Travelers | 46,485 | 5,247,692 | |||
Unum Group | 36,132 | 1,251,974 | |||
XL Group | 46,097 | 1,755,374 | |||
75,459,785 | |||||
Materials - 2.9% | |||||
Air Products & Chemicals | 28,791 | 4,001,373 | |||
Airgas | 10,577 | 1,017,084 | |||
Alcoa | 184,335 | 1,646,112 | |||
Avery Dennison | 13,649 | 886,776 | |||
Ball | 21,372 | 1,463,982 | |||
CF Industries Holdings | 35,753 | 1,815,180 | |||
Dow Chemical | 172,574 | 8,916,899 | |||
E.I. du Pont de Nemours & Co. | 134,231 | 8,510,245 | |||
Eastman Chemical | 22,898 | 1,652,549 | |||
Ecolab | 39,667 | 4,773,923 | |||
FMC | 21,204 | 863,215 | |||
Freeport-McMoRan | 158,575 | 1,866,428 | |||
International Flavors & Fragrances | 12,206 | 1,416,628 | |||
International Paper | 63,168 | 2,696,642 | |||
LyondellBasell Industries, Cl. A | 55,705 | 5,175,552 | |||
Martin Marietta Materials | 9,983 | 1,548,862 | |||
Monsanto | 69,880 | 6,514,214 | |||
Mosaic | 50,219 | 1,696,900 | |||
Newmont Mining | 79,815 | 1,553,200 | |||
Nucor | 46,987 | 1,987,550 | |||
Owens-Illinois | 26,109 | b | 562,649 | ||
PPG Industries | 41,132 | 4,288,422 | |||
Praxair | 42,656 | 4,738,655 |
14
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Materials - 2.9% (continued) | |||||
Sealed Air | 30,322 | 1,489,417 | |||
Sherwin-Williams | 11,807 | 3,150,462 | |||
Sigma-Aldrich | 17,567 | 2,454,461 | |||
Vulcan Materials | 19,475 | 1,880,896 | |||
WestRock | 39,490 | 2,122,982 | |||
80,691,258 | |||||
Media - 3.2% | |||||
Cablevision Systems (NY Group), Cl. A | 33,131 | 1,079,739 | |||
CBS, Cl. B | 66,748 | 3,105,117 | |||
Comcast, Cl. A | 315,764 | 19,773,142 | |||
Comcast, Cl. A (Special) | 54,977 | a | 3,447,608 | ||
Discovery Communications, Cl. A | 23,825 | a,b | 701,408 | ||
Discovery Communications, Cl. C | 39,298 | b | 1,081,481 | ||
Interpublic Group of Companies | 59,864 | 1,372,682 | |||
News Corp., Cl. A | 57,184 | 880,634 | |||
News Corp., Cl. B | 15,607 | 241,596 | |||
Omnicom Group | 35,938 | 2,692,475 | |||
Scripps Networks Interactive | 13,704 | 823,336 | |||
TEGNA | 35,299 | 954,485 | |||
Time Warner | 121,805 | 9,176,789 | |||
Time Warner Cable | 41,949 | 7,945,141 | |||
Twenty-First Century Fox, Cl. A | 182,301 | 5,594,818 | |||
Twenty-First Century Fox, Cl. B | 64,383 | 1,988,147 | |||
Viacom, Cl. B | 53,261 | 2,626,300 | |||
Walt Disney | 232,276 | 26,419,072 | |||
89,903,970 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 9.6% | |||||
AbbVie | 247,304 | 14,726,953 | |||
Agilent Technologies | 48,951 | 1,848,390 | |||
Alexion Pharmaceuticals | 33,175 | b | 5,838,800 | ||
Allergan | 58,757 | b | 18,124,772 | ||
Amgen | 113,075 | 17,886,204 | |||
Baxalta | 81,296 | 2,801,460 | |||
Biogen | 33,290 | b | 9,671,078 | ||
Bristol-Myers Squibb | 247,815 | 16,343,399 | |||
Celgene | 117,913 | b | 14,469,104 | ||
Eli Lilly & Co. | 145,114 | 11,836,949 | |||
Endo International | 30,562 | b | 1,833,414 | ||
Gilead Sciences | 218,649 | 23,642,516 |
15
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 9.6% (continued) | |||||
Johnson & Johnson | 412,806 | 41,705,790 | |||
Mallinckrodt | 17,195 | b | 1,129,196 | ||
Merck & Co. | 420,325 | 22,974,964 | |||
Mylan | 61,459 | b | 2,709,727 | ||
PerkinElmer | 17,180 | 887,175 | |||
Perrigo Company | 22,119 | 3,489,051 | |||
Pfizer | 920,648 | 31,136,315 | |||
Regeneron Pharmaceuticals | 11,533 | b | 6,428,379 | ||
Thermo Fisher Scientific | 59,049 | 7,722,428 | |||
Vertex Pharmaceuticals | 36,078 | b | 4,500,370 | ||
Waters | 12,318 | b | 1,574,240 | ||
Zoetis | 68,658 | 2,952,981 | |||
266,233,655 | |||||
Real Estate - 2.6% | |||||
American Tower | 63,258 | c | 6,466,865 | ||
Apartment Investment & Management, Cl. A | 22,090 | c | 865,707 | ||
AvalonBay Communities | 19,603 | c | 3,427,192 | ||
Boston Properties | 23,198 | c | 2,919,468 | ||
CBRE Group, Cl. A | 43,289 | b | 1,613,814 | ||
Crown Castle International | 49,903 | c | 4,264,710 | ||
Equinix | 8,528 | c | 2,530,087 | ||
Equity Residential | 54,224 | c | 4,192,600 | ||
Essex Property Trust | 9,852 | c | 2,171,775 | ||
General Growth Properties | 87,424 | c | 2,530,925 | ||
HCP | 68,392 | a,c | 2,544,182 | ||
Host Hotels & Resorts | 114,607 | c | 1,986,139 | ||
Iron Mountain | 28,428 | c | 871,034 | ||
Kimco Realty | 59,907 | c | 1,603,710 | ||
Macerich | 20,116 | c | 1,704,630 | ||
Plum Creek Timber | 26,557 | c | 1,081,932 | ||
Prologis | 77,314 | c | 3,303,627 | ||
Public Storage | 21,480 | c | 4,928,801 | ||
Realty Income | 33,958 | a,c | 1,679,563 | ||
Simon Property Group | 46,200 | c | 9,307,452 | ||
SL Green Realty | 14,902 | c | 1,767,675 | ||
Ventas | 49,962 | c | 2,683,959 | ||
Vornado Realty Trust | 25,906 | c | 2,604,848 | ||
Welltower | 52,767 | c | 3,422,995 |
16
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Real Estate - 2.6% (continued) | |||||
Weyerhaeuser | 77,575 | c | 2,275,275 | ||
72,748,965 | |||||
Retailing - 5.4% | |||||
Advance Auto Parts | 11,096 | 2,201,779 | |||
Amazon.com | 57,246 | b | 35,830,271 | ||
AutoNation | 10,807 | b | 682,894 | ||
AutoZone | 4,684 | b | 3,674,176 | ||
Bed Bath & Beyond | 26,061 | a,b | 1,554,017 | ||
Best Buy | 45,721 | 1,601,607 | |||
CarMax | 31,682 | b | 1,869,555 | ||
Dollar General | 43,838 | 2,970,901 | |||
Dollar Tree | 33,630 | b | 2,202,429 | ||
Expedia | 14,968 | 2,040,138 | |||
GameStop, Cl. A | 14,449 | a | 665,665 | ||
Gap | 35,586 | a | 968,651 | ||
Genuine Parts | 23,106 | 2,097,101 | |||
Home Depot | 191,747 | 23,707,599 | |||
Kohl's | 30,253 | 1,395,268 | |||
L Brands | 38,294 | 3,675,458 | |||
Lowe's | 138,170 | 10,201,091 | |||
Macy's | 49,448 | 2,520,859 | |||
Netflix | 63,638 | b | 6,897,086 | ||
Nordstrom | 20,996 | 1,369,149 | |||
O'Reilly Automotive | 14,917 | b | 4,120,970 | ||
Priceline Group | 7,573 | b | 11,012,960 | ||
Ross Stores | 62,626 | 3,167,623 | |||
Signet Jewelers | 12,107 | 1,827,431 | |||
Staples | 93,387 | 1,213,097 | |||
Target | 94,740 | 7,312,033 | |||
The TJX Companies | 100,712 | 7,371,111 | |||
Tiffany & Co. | 16,357 | 1,348,471 | |||
Tractor Supply | 20,783 | 1,920,141 | |||
TripAdvisor | 17,403 | b | 1,458,023 | ||
Urban Outfitters | 15,147 | b | 433,204 | ||
149,310,758 | |||||
Semiconductors & Semiconductor Equipment - 2.4% | |||||
Altera | 45,525 | 2,392,339 | |||
Analog Devices | 47,488 | 2,854,979 | |||
Applied Materials | 182,508 | 3,060,659 |
17
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Semiconductors & Semiconductor Equipment - 2.4% (continued) | |||||
Avago Technologies | 38,749 | 4,771,164 | |||
Broadcom, Cl. A | 83,365 | 4,284,961 | |||
First Solar | 11,351 | b | 647,802 | ||
Intel | 709,645 | 24,028,580 | |||
KLA-Tencor | 23,366 | 1,568,326 | |||
Lam Research | 23,366 | a | 1,789,602 | ||
Linear Technology | 35,579 | 1,580,419 | |||
Microchip Technology | 30,564 | a | 1,475,936 | ||
Micron Technology | 160,961 | b | 2,665,514 | ||
NVIDIA | 74,532 | 2,114,473 | |||
Qorvo | 22,497 | b | 988,293 | ||
Skyworks Solutions | 28,713 | 2,217,792 | |||
Texas Instruments | 153,298 | 8,695,063 | |||
Xilinx | 39,294 | 1,871,180 | |||
67,007,082 | |||||
Software & Services - 11.8% | |||||
Accenture, Cl. A | 92,980 | 9,967,456 | |||
Activision Blizzard | 75,329 | 2,618,436 | |||
Adobe Systems | 74,198 | b | 6,578,395 | ||
Akamai Technologies | 27,299 | b | 1,660,325 | ||
Alliance Data Systems | 9,123 | b | 2,712,359 | ||
Alphabet, Cl. A | 43,259 | b | 31,898,754 | ||
Alphabet, Cl. C | 44,116 | b | 31,358,094 | ||
Autodesk | 34,954 | b | 1,929,111 | ||
Automatic Data Processing | 69,555 | 6,050,589 | |||
CA | 46,556 | 1,290,067 | |||
Citrix Systems | 23,544 | b | 1,932,962 | ||
Cognizant Technology Solutions, Cl. A | 91,246 | b | 6,214,765 | ||
Computer Sciences | 20,154 | 1,342,055 | |||
eBay | 166,462 | b | 4,644,290 | ||
Electronic Arts | 46,356 | b | 3,340,877 | ||
Facebook, Cl. A | 336,651 | b | 34,328,302 | ||
Fidelity National Information Services | 41,781 | 3,046,671 | |||
Fiserv | 35,265 | b | 3,403,425 | ||
International Business Machines | 134,578 | 18,851,686 | |||
Intuit | 40,709 | 3,966,278 | |||
MasterCard Cl. A | 148,850 | 14,734,661 | |||
Microsoft | 1,194,302 | 62,868,057 | |||
Oracle | 485,183 | 18,844,508 |
18
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Software & Services - 11.8% (continued) | |||||
Paychex | 48,471 | 2,500,134 | |||
PayPal Holdings | 166,482 | 5,995,017 | |||
Red Hat | 27,757 | b | 2,195,856 | ||
salesforce.com | 91,353 | b | 7,099,042 | ||
Symantec | 99,845 | 2,056,807 | |||
Teradata | 21,627 | b | 607,935 | ||
Total System Services | 23,766 | 1,246,527 | |||
VeriSign | 15,850 | a,b | 1,277,510 | ||
Visa, Cl. A | 291,225 | 22,593,235 | |||
Western Union | 77,499 | 1,491,856 | |||
Xerox | 150,162 | 1,410,021 | |||
Yahoo! | 129,018 | b | 4,595,621 | ||
326,651,684 | |||||
Technology Hardware & Equipment - 6.4% | |||||
Amphenol, Cl. A | 46,726 | 2,533,484 | |||
Apple | 851,546 | 101,759,747 | |||
Cisco Systems | 756,512 | 21,825,371 | |||
Corning | 183,191 | 3,407,353 | |||
EMC | 290,032 | 7,604,639 | |||
F5 Networks | 10,417 | b | 1,147,953 | ||
FLIR Systems | 20,680 | 551,536 | |||
Harris | 18,521 | 1,465,567 | |||
Hewlett-Packard | 270,602 | 7,295,430 | |||
Juniper Networks | 50,914 | 1,598,190 | |||
Motorola Solutions | 23,928 | 1,674,242 | |||
NetApp | 45,709 | 1,554,106 | |||
QUALCOMM | 234,734 | 13,947,894 | |||
SanDisk | 30,619 | 2,357,663 | |||
Seagate Technology | 45,132 | a | 1,717,724 | ||
TE Connectivity | 60,700 | 3,911,508 | |||
Western Digital | 34,345 | 2,294,933 | |||
176,647,340 | |||||
Telecommunication Services - 2.3% | |||||
AT&T | 918,222 | 30,769,619 | |||
CenturyLink | 85,696 | 2,417,484 | |||
Frontier Communications | 174,030 | 894,514 | |||
Level 3 Communications | 43,345 | b | 2,208,428 | ||
Verizon Communications | 606,958 | 28,454,191 | |||
64,744,236 |
19
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Transportation - 2.2% | |||||
American Airlines Group | 100,347 | 4,638,038 | |||
C.H. Robinson Worldwide | 21,197 | 1,470,648 | |||
CSX | 149,263 | 4,028,608 | |||
Delta Air Lines | 118,839 | 6,041,775 | |||
Expeditors International of Washington | 28,504 | 1,419,214 | |||
FedEx | 39,070 | 6,096,874 | |||
J.B. Hunt Transport Services | 13,950 | 1,065,362 | |||
Kansas City Southern | 16,977 | 1,405,017 | |||
Norfolk Southern | 45,024 | 3,603,271 | |||
Ryder System | 7,826 | 561,750 | |||
Southwest Airlines | 98,754 | 4,571,323 | |||
Union Pacific | 130,103 | 11,624,703 | |||
United Continential Holdings | 57,438 | b | 3,464,086 | ||
United Parcel Service, Cl. B | 104,241 | 10,738,908 | |||
60,729,577 | |||||
Utilities - 2.9% | |||||
AES | 103,070 | 1,128,617 | |||
AGL Resources | 18,011 | 1,125,687 | |||
Ameren | 36,740 | 1,604,803 | |||
American Electric Power | 72,410 | 4,102,027 | |||
CenterPoint Energy | 62,040 | 1,150,842 | |||
CMS Energy | 39,612 | 1,428,805 | |||
Consolidated Edison | 43,405 | 2,853,879 | |||
Dominion Resources | 87,958 | 6,282,840 | |||
DTE Energy | 27,231 | 2,221,777 | |||
Duke Energy | 103,279 | 7,381,350 | |||
Edison International | 49,412 | 2,990,414 | |||
Entergy | 26,403 | 1,799,628 | |||
Eversource Energy | 46,751 | 2,381,496 | |||
Exelon | 128,776 | 3,595,426 | |||
FirstEnergy | 63,387 | 1,977,674 | |||
NextEra Energy | 68,631 | 7,045,658 | |||
NiSource | 49,279 | 944,186 | |||
NRG Energy | 52,053 | 670,963 | |||
Pepco Holdings | 36,044 | 959,852 | |||
PG&E | 72,686 | 3,881,432 | |||
Pinnacle West Capital | 17,210 | 1,093,007 | |||
PPL | 99,217 | 3,413,065 | |||
Public Service Enterprise Group | 75,395 | 3,113,060 |
20
Common Stocks - 98.7% (continued) | Shares | Value ($) | |||
Utilities - 2.9% (continued) | |||||
SCANA | 20,420 | 1,209,272 | |||
Sempra Energy | 35,262 | 3,611,181 | |||
Southern | 134,579 | 6,069,513 | |||
TECO Energy | 35,417 | 956,259 | |||
WEC Energy Group | 46,341 | 2,389,342 | |||
Xcel Energy | 74,570 | 2,656,929 | |||
80,038,984 | |||||
Total Common Stocks (cost $1,048,900,180) | 2,736,653,895 | ||||
Short-Term Investments - .1% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.02%, 3/17/16 | 790,000 | d | 789,701 | ||
0.03%, 2/25/16 | 1,120,000 | d | 1,119,722 | ||
Total Short-Term Investments (cost $1,909,830) | 1,909,423 | ||||
Other Investment - 1.2% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 32,369,055 | e | 32,369,055 | ||
Investment of Cash Collateral for Securities Loaned - .2% | |||||
Registered Investment Company; | |||||
Dreyfus Institutional Cash Advantage Fund | 5,640,559 | e | 5,640,559 | ||
Total Investments (cost $1,088,819,624) | 100.2% | 2,776,572,932 | |||
Liabilities, Less Cash and Receivables | (0.2%) | (5,338,120) | |||
Net Assets | 100.0% | 2,771,234,812 |
a Security, or portion thereof, on loan. At October 31, 2015, the value of the fund’s securities on loan was $43,766,215 and the value of the collateral held by the fund was $44,567,785 consisting of cash collateral of $5,640,559 and U.S. Government & Agency securities valued at $38,927,226.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by or on behalf of a counterparty for open financial futures contracts.
e Investment in affiliated money market mutual fund.
21
STATEMENT OF INVESTMENTS (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Software & Services | 11.8 |
Pharmaceuticals, Biotechnology & Life Sciences | 9.6 |
Capital Goods | 7.2 |
Energy | 7.0 |
Technology Hardware & Equipment | 6.4 |
Banks | 5.8 |
Food, Beverage & Tobacco | 5.5 |
Retailing | 5.4 |
Diversified Financials | 4.8 |
Health Care Equipment & Services | 4.8 |
Media | 3.2 |
Materials | 2.9 |
Utilities | 2.9 |
Insurance | 2.7 |
Real Estate | 2.6 |
Semiconductors & Semiconductor Equipment | 2.4 |
Telecommunication Services | 2.3 |
Food & Staples Retailing | 2.2 |
Transportation | 2.2 |
Consumer Services | 1.9 |
Household & Personal Products | 1.9 |
Consumer Durables & Apparel | 1.5 |
Short-Term/Money Market Investments | 1.5 |
Automobiles & Components | 1.0 |
Commercial & Professional Services | .7 |
100.2 |
†Based on net assets.
See notes to financial statements.
22
STATEMENT OF FINANCIAL FUTURES
October 31, 2015
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation at 10/31/2015 ($) | ||
Financial Futures Long | |||||
Standard & Poor's 500 E-mini | 350 | 36,289,750 | December 2015 | 1,035,097 | |
Gross Unrealized Appreciation | 1,035,097 |
See notes to financial statements.
23
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2015
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments |
|
|
|
| ||||
Unaffiliated issuers |
| 1,050,810,010 |
| 2,738,563,318 |
| |||
Affiliated issuers |
| 38,009,614 |
| 38,009,614 |
| |||
Cash |
|
|
|
| 1,405,580 |
| ||
Dividends and securities lending income receivable |
|
|
|
| 3,184,856 |
| ||
Receivable for investment securities sold |
|
|
|
| 480,267 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 336,552 |
| ||
Other assets |
|
|
|
| 17,181 |
| ||
|
|
|
|
| 2,781,997,368 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 1,137,023 |
| ||
Liability for securities on loan—Note 1(b) |
|
|
|
| 5,640,559 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 3,816,897 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 164,577 |
| ||
Accrued expenses |
|
|
|
| 3,500 |
| ||
|
|
|
|
| 10,762,556 |
| ||
Net Assets ($) |
|
| 2,771,234,812 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 939,525,473 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 35,653,951 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| 107,266,983 |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 1,688,788,405 |
| ||
Net Assets ($) |
|
| 2,771,234,812 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 52,402,018 |
| |||||
Net Asset Value Per Share ($) |
| 52.88 |
|
See notes to financial statements.
24
STATEMENT OF OPERATIONS
Year Ended October 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 1,062 |
| ||
Cash dividends (net of $6,116 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 59,369,548 |
| ||
Affiliated issuers |
|
| 31,767 |
| ||
Income from securities lending—Note 1(b) |
|
| 155,496 |
| ||
Total Income |
|
| 59,557,873 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 7,124,228 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 7,124,228 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 198,480 |
| ||
Loan commitment fees—Note 2 |
|
| 29,912 |
| ||
Interest expense—Note 2 |
|
| 275 |
| ||
Total Expenses |
|
| 14,477,123 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (198,480) |
| ||
Net Expenses |
|
| 14,278,643 |
| ||
Investment Income—Net |
|
| 45,279,230 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 146,603,943 |
| ||||
Net realized gain (loss) on financial futures |
|
| 5,668,970 |
| ||
Net Realized Gain (Loss) |
|
| 152,272,913 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (66,680,337) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| (595,382) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (67,275,719) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 84,997,194 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 130,276,424 |
|
See notes to financial statements.
25
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2015 |
|
|
| 2014 |
|
|
|
|
|
|
|
|
|
|
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 45,279,230 |
|
|
| 43,863,099 |
| |
Net realized gain (loss) on investments |
| 152,272,913 |
|
|
| 156,114,514 |
| ||
Net unrealized appreciation (depreciation) |
| (67,275,719) |
|
|
| 240,746,816 |
| ||
Net Increase (Decrease) in Net Assets | 130,276,424 |
|
|
| 440,724,429 |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (43,803,479) |
|
|
| (42,005,434) |
| |
Net realized gain on investments |
|
| (147,186,971) |
|
|
| (58,045,862) |
| |
Total Dividends |
|
| (190,990,450) |
|
|
| (100,051,296) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 635,872,552 |
|
|
| 531,021,816 |
| |
Dividends reinvested |
|
| 187,893,229 |
|
|
| 98,667,522 |
| |
Cost of shares redeemed |
|
| (885,887,538) |
|
|
| (831,692,232) |
| |
Increase (Decrease) in Net Assets | (62,121,757) |
|
|
| (202,002,894) |
| |||
Total Increase (Decrease) in Net Assets | (122,835,783) |
|
|
| 138,670,239 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 2,894,070,595 |
|
|
| 2,755,400,356 |
| |
End of Period |
|
| 2,771,234,812 |
|
|
| 2,894,070,595 |
| |
Undistributed investment income—net | 35,653,951 |
|
|
| 34,710,216 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 12,149,383 |
|
|
| 10,547,420 |
| |
Shares issued for dividends reinvested |
|
| 3,579,559 |
|
|
| 2,027,090 |
| |
Shares redeemed |
|
| (16,924,957) |
|
|
| (16,447,951) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,196,015) |
|
|
| (3,873,441) |
|
See notes to financial statements.
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 54.00 | 47.94 | 39.13 | 34.90 | 33.62 | |
Investment Operations: | ||||||
Investment income—neta | .83 | .77 | .75 | .63 | .55 | |
Net realized and unrealized gain (loss) on investments | 1.68 | 7.05 | 9.32 | 4.38 | 2.00 | |
Total from Investment Operations | 2.51 | 7.82 | 10.07 | 5.01 | 2.55 | |
Distributions: | ||||||
Dividends from investment income—net | (.83) | (.74) | (.71) | (.56) | (.51) | |
Dividends from net realized gain on investments | (2.80) | (1.02) | (.55) | (.22) | (.76) | |
Total Distributions | (3.63) | (1.76) | (1.26) | (.78) | (1.27) | |
Net asset value, end of period | 52.88 | 54.00 | 47.94 | 39.13 | 34.90 | |
Total Return (%) | 4.70 | 16.71 | 26.56 | 14.67 | 7.61 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses to average net assets | .51 | .51 | .51 | .51 | .51 | |
Ratio of net expenses to average net assets | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment income to average net assets | 1.59 | 1.54 | 1.75 | 1.71 | 1.55 | |
Portfolio Turnover Rate | 3.72 | 3.56 | 2.92 | 3.20 | 3.38 | |
Net Assets, end of period ($ x 1,000) | 2,771,235 | 2,894,071 | 2,755,400 | 2,326,901 | 2,230,524 |
a Based on average shares outstanding.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek 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 Dreyfus, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: 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).
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Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are 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.
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. 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.
29
NOTES TO FINANCIAL STATEMENTS (continued)
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 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 October 31, 2015 in valuing the fund’s investments:
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Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities—Domestic Common Stocks† | 2,728,330,271 | - | - | 2,728,330,271 |
Equity Securities—Foreign Common Stocks† | 8,323,624 | - | - | 8,323,624 |
Mutual Funds | 38,009,614 | - | - | 38,009,614 |
U.S. Treasury | - | 1,909,423 | - | 1,909,423 |
Other Financial Instruments: | ||||
Financial Futures†† | 1,035,097 | - | - | 1,035,097 |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At October 31, 2015, there were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by Dreyfus, 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
31
NOTES TO FINANCIAL STATEMENTS (continued)
borrower and the collateral. During the period ended October 31, 2015, The Bank of New York Mellon earned $39,053 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended October 31, 2015 were as follows:
Affiliated Investment Company | Value 10/31/2014 ($) | Purchases ($) | Sales ($) | Value 10/31/2015 ($) | Net Assets (%) |
Dreyfus Institutional Preferred Plus Money Market Fund | 52,285,140 | 334,502,023 | 354,418,108 | 32,369,055 | 1.2 |
Dreyfus Institutional Cash Advantage Fund | 9,077,652 | 129,894,509 | 133,331,602 | 5,640,559 | .2 |
Total | 61,362,792 | 464,396,532 | 487,749,710 | 38,009,614 | 1.4 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2015, 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 October 31, 2015, the fund did not incur any interest or penalties.
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Each tax year in the four-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2015, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $37,998,608, undistributed capital gains $147,012,721 and unrealized appreciation $1,646,698,010.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2015 and October 31, 2014 were as follows: ordinary income $47,641,087 and $45,566,567, and long-term capital gains $143,349,363 and $54,484,729, respectively.
During the period ended October 31, 2015, as a result of permanent book to tax differences, primarily due to the tax treatment for real estate investment trusts, the fund decreased accumulated undistributed investment income-net by $532,016 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $480 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. Prior to October 7, 2015, the unsecured credit facility with Citibank, N.A. was $430 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2015 was approximately $25,000 with a related weighted average annualized interest rate of 1.10%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with Dreyfus, 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, Dreyfus 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
33
NOTES TO FINANCIAL STATEMENTS (continued)
on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and extraordinary expenses. Dreyfus has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to non-interested Board members. During the period ended October 31, 2015, fees reimbursed by Dreyfus amounted to $198,480.
(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 October 31, 2015, the fund was charged $7,124,228 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 $576,010 and Shareholder Services Plan fees $576,010, which are offset against an expense reimbursement currently in effect in the amount of $14,997.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2015, amounted to $104,241,483 and $302,377,182, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2015 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund
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invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at October 31, 2015 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2015:
Average Market Value ($) | ||||
Equity financial futures | 39,545,327 |
At October 31, 2015, the cost of investments for federal income tax purposes was $1,129,874,922; accordingly, accumulated net unrealized appreciation on investments was $1,646,698,010, consisting of $1,725,001,958 gross unrealized appreciation and $78,303,948 gross unrealized depreciation.
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 by Tribune in a tender offer in June 2007 and in a go-private merger in December 2007. 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
35
NOTES TO FINANCIAL STATEMENTS (continued)
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 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 leveraged buyout. 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.
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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. Oral argument before the Second Circuit took place on November 5, 2014.
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. Plaintiffs’ response brief was filed on June 23, 2014, and the reply brief was filed on July 3, 2014. No date for oral argument has been scheduled. 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.
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.
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REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus S&P 500 Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2015, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus S&P 500 Index Fund at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 29, 2015
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IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby reports 100% of the ordinary dividends paid during the fiscal year ended October 31, 2015 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2015, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $47,641,087 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2016 of the percentage applicable to the preparation of their 2015 income tax returns. Also, the fund hereby designates $2.7121 per share as a long-term capital gain distribution and $.0729 per share as a short-term capital gain distribution paid on December 29, 2014 and the fund also reports $.0105 per share as a long-term capital gain distribution paid on March 24, 2015.
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BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
· The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director (2000-2010)
No. of Portfolios for which Board Member Serves: 140
———————
Peggy C. Davis (72)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 51
———————
David P. Feldman (75)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 37
———————
Ehud Houminer (75)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Executive-in-Residence at the Columbia Business School, Columbia
University (1992-present)
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 61
———————
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Lynn Martin (75)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Robin A. Melvin (52)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; a board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 111
———————
Dr. Martin Peretz (76)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Director of TheStreet.com, a financial information service on the web (1996-2010)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
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OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Executive Vice President of the Distributor since June 2007. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 66 investment companies (comprised of 140 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015
Chief Legal Officer of the Manager since June 2015; from June 2005 to June 2015, Director and Associate General Counsel of Deutsche Bank – Asset & Wealth Management Division, and Chief Legal Officer of Deutsche Investment Management Americas Inc. He is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 52 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 59 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1991.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 53 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager; from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is 40 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since April 1985.
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RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (67 investment companies, comprised of 165 portfolios). He is 58 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
43
NOTES
44
NOTES
45
Dreyfus S&P 500 Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbol: | PEOPX |
Telephone Call your financial representative or 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 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 www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. (phone 1-800-SEC-0330 for information).
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 www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2015 MBSC Securities Corporation |
Dreyfus Smallcap Stock Index Fund
ANNUAL REPORT October 31, 2015 |
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The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
T H E F U N D
With Those of Other Funds | |
Public Accounting Firm | |
F O R M O R E I N F O R M AT I O N
Back Cover
| The Fund |
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2014, through October 31, 2015. 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.
Financial markets proved volatile over the reporting period amid choppy U.S. and global economic growth. U.S. stocks advanced over the final months of 2014 and the spring of 2015, with some broad measures of market performance setting new record highs. Those gains were largely erased over the summer when global economic instability undermined investor sentiment, but a renewed rally in October enabled most broad stock indices to end the reporting period in positive territory. In contrast, international stocks generally lost a degree of value, with developed markets faring far better than emerging markets amid falling commodity prices and depreciating currency values. U.S. bonds generally produced modestly positive total returns, with municipal bonds and longer term U.S. government securities faring better, on average, than corporate-backed bonds.
We expect market volatility to persist over the near term until investors see greater clarity regarding short-term U.S. interest rates and global economic conditions. Our investment strategists and portfolio managers are monitoring developments carefully, keeping a close watch on credit spreads, currency values, commodity prices, corporate profits, economic trends in the emerging markets, and other developments that could influence investor sentiment. Over the longer term, we remain confident that markets are likely to benefit as investors increasingly recognize that inflation is likely to stay low, economic growth expectations are stabilizing, and monetary policies remain accommodative in most regions of the world. In our view, investors will continue to be well served under these circumstances by a long-term perspective and a disciplined investment approach.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
November 16, 2015
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2014, through October 31, 2015, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the 12-month period ended October 31, 2015, Dreyfus Smallcap Stock Index Fund produced a total return of 2.54%.1 In comparison, the Standard & Poor’s SmallCap 600® Index (“S&P 600 Index”), the fund’s benchmark, produced a 2.85% total return for the same period.2,3
Modestly positive results from small-cap stocks for the reporting period masked heightened volatility stemming from shifting economic sentiment. 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.
Global Economic Concerns Sparked Market Turmoil
After experiencing sharp declines in the early fall, the reporting period began in the midst of a stock market rally driven by robust employment gains and improved consumer and business confidence. The S&P 600 Index climbed through the end of January 2015 despite global economic concerns and plummeting commodity prices.
Investors responded negatively in February to sluggish domestic economic growth stemming from severe winter weather and an appreciating U.S. dollar. Indeed, U.S. GDP expanded at an anemic 0.6% annualized rate during the first quarter of 2015, but the S&P 600 Index soon resumed its advance, setting a new record high in late June as the U.S. economy regained traction with a 3.9% annualized growth rate for the second quarter.
Uncertainty regarding a debt crisis in Greece and slowing economic growth in China again sent U.S. stock prices lower over the summer. In mid-August, the Chinese central bank unexpectedly devalued the country’s currency, sending commodity prices lower. In fact, reduced U.S. export activity stemming from global economic weakness was cited as a primary factor behind a deceleration of U.S. economic growth to an annualized 1.5% rate for the third quarter. Small-cap stocks dipped into negative territory in late August and through most of September, but a strong rally in October enabled the S&P 600 Index to end the reporting period with a modest gain.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Technology Stocks Led Small-Cap Stocks Slightly Higher
Although the S&P 600 Index posted a mild gain for the reporting period overall, the economic sectors that comprise the index delivered widely disparate results. The information technology sector led the small-cap market’s advance, as cost containment efforts helped support earnings growth, and some small technology companies gained value in the wake of acquisition offers. Credit card processors prospered amid rising consumer spending, while makers of semiconductors and other electronic components benefited from greater adoption of smartphones. Companies providing IT outsourcing services to businesses and government agencies also fared particularly well over the reporting period.
The health care sector continued to see rising spending on medical services for an aging population, and the market sector benefited from the release of new generic drugs when patent protections expired for their branded counterparts. The utilities sector also produced relatively strong returns when interest rates remained low and smaller electricity producers were acquired by larger ones at premiums to their stock prices at the time.
In contrast, the energy sector lost considerable value over the reporting period. A glut of supply of crude oil was met with tepid global demand, causing petroleum prices to fall sharply. Offshore drillers, exploration-and-production companies, and coal producers were hit especially hard. The materials sector also was hurt by declining commodity prices due to reduced demand from the emerging markets and a strengthening U.S. dollar, which weighed on earnings for metals-and-mining companies. In addition, producers of paper and forest products were hurt over the winter of 2015 by bad weather and labor unrest in West Coast ports. Finally, results from the industrials sector were undermined by weakness among trucking firms and railroads that struggled with lower demand from the energy and timber industries.
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 the U.S. economic recovery appears to remain on track, and aggressively accommodative monetary policies are at work in international markets. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 16, 2015
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock Index Fund and the Standard & Poor's SmallCap 600 Index
Average Annual Total Returns as of 10/31/15 | |||
| 1 Year | 5 Years | 10 Years |
Fund | 2.54% | 14.10% | 8.39% |
Standard & Poor’s SmallCap 600 Index | 2.85% | 14.44% | 8.64% |
† Source: Lipper Inc.
Past performance is not predictive of future performance. The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
The above graph compares a $10,000 investment made in Dreyfus Smallcap Stock Index Fund on 10/31/05 to a $10,000 investment made in the Standard & Poor’s SmallCap 600 Index (the “Index”) on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is a broad-based index and a widely accepted, unmanaged index of overall small-cap stock market performance. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
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 May 1, 2015 to October 31, 2015. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended October 31, 2015 | |||||||||
Expenses paid per $1,000† | $ | 2.50 | |||||||
Ending value (after expenses) | $ | 985.00 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2015 | |||||||||
Expenses paid per $1,000† | $ | 2.55 | |||||||
Ending value (after expenses) | $ | 1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2015
Common Stocks - 98.9% | Shares | Value ($) | |||
Automobiles & Components - 1.0% | |||||
Dorman Products | 78,281 | a,b | 3,654,157 | ||
Drew Industries | 57,280 | 3,427,062 | |||
Gentherm | 96,640 | a,b | 4,750,822 | ||
Motorcar Parts of America | 48,370 | b | 1,628,134 | ||
Standard Motor Products | 44,619 | 1,974,391 | |||
Superior Industries International | 33,960 | 668,333 | |||
Winnebago Industries | 66,696 | a | 1,399,949 | ||
17,502,848 | |||||
Banks - 10.7% | |||||
Ameris Bancorp | 68,671 | 2,163,136 | |||
Astoria Financial | 209,680 | 3,346,493 | |||
Bank Mutual | 165,021 | 1,194,752 | |||
Banner | 57,568 | 2,824,862 | |||
BBCN Bancorp | 185,555 | 3,115,468 | |||
BofI Holding | 34,039 | a,b | 2,723,460 | ||
Boston Private Financial Holdings | 253,456 | 2,904,606 | |||
Brookline Bancorp | 202,075 | 2,293,551 | |||
Cardinal Financial | 110,650 | 2,515,074 | |||
Central Pacific Financial | 111,433 | 2,491,642 | |||
City Holding | 37,313 | 1,784,681 | |||
Columbia Banking System | 146,458 | 4,879,981 | |||
Community Bank System | 105,503 | 4,300,302 | |||
CVB Financial | 290,229 | 5,064,496 | |||
Dime Community Bancshares | 106,133 | 1,841,408 | |||
F.N.B. | 436,818 | a | 5,883,938 | ||
First BanCorp | 250,421 | b | 949,096 | ||
First Commonwealth Financial | 295,442 | 2,715,112 | |||
First Financial Bancorp | 153,551 | 2,960,463 | |||
First Financial Bankshares | 189,102 | 6,289,533 | |||
First Midwest Bancorp | 221,187 | 3,941,552 | |||
First NBC Bank Holding | 41,995 | b | 1,561,794 | ||
Glacier Bancorp | 214,617 | 5,871,921 | |||
Hanmi Financial | 88,090 | 2,246,295 | |||
Home BancShares | 170,293 | 7,308,976 | |||
Independent Bank | 59,434 | 2,777,945 | |||
LegacyTexas Financial Group | 105,269 | 3,021,220 | |||
LendingTree | 16,925 | b | 2,054,018 | ||
MB Financial | 169,358 | 5,460,102 |
7
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Banks - 10.7% (continued) | |||||
National Penn Bancshares | 386,838 | 4,657,530 | |||
NBT Bancorp | 101,459 | 2,852,012 | |||
Northfield Bancorp | 160,854 | 2,464,283 | |||
Northwest Bancshares | 272,241 | 3,664,364 | |||
OFG Bancorp | 117,146 | 1,078,915 | |||
Old National Bancorp | 275,138 | 3,851,932 | |||
Oritani Financial | 136,475 | 2,172,682 | |||
Pinnacle Financial Partners | 96,997 | 5,103,982 | |||
PrivateBancorp | 224,305 | 9,382,678 | |||
Provident Financial Services | 162,688 | 3,305,820 | |||
S&T Bancorp | 88,482 | a | 2,820,806 | ||
Simmons First National, Cl. A | 77,355 | 3,986,877 | |||
Southside Bancshares | 42,528 | 1,144,003 | |||
Sterling Bancorp | 299,373 | 4,607,350 | |||
Talmer Bancorp, Cl. A | 194,126 | 3,265,199 | |||
Texas Capital Bancshares | 113,382 | b | 6,258,686 | ||
Tompkins Financial | 32,296 | 1,753,027 | |||
TrustCo Bank | 184,658 | 1,150,419 | |||
UMB Financial | 100,774 | 4,945,988 | |||
United Bankshares | 160,950 | a | 6,365,572 | ||
United Community Banks | 183,819 | 3,705,791 | |||
Walker & Dunlop | 73,408 | b | 2,129,566 | ||
Westamerica Bancorporation | 56,729 | a | 2,507,989 | ||
Wilshire Bancorp | 191,750 | 2,049,807 | |||
Wintrust Financial | 123,525 | 6,236,777 | |||
187,947,932 | |||||
Capital Goods - 9.6% | |||||
AAON | 125,576 | 2,570,541 | |||
AAR | 92,005 | 2,087,593 | |||
Actuant, Cl. A | 159,069 | 3,626,773 | |||
Aegion | 106,318 | b | 2,050,874 | ||
Aerojet Rocketdyne Holdings | 174,356 | b | 2,953,591 | ||
AeroVironment | 30,188 | a,b | 696,437 | ||
Albany International, Cl. A | 81,615 | 3,066,276 | |||
American Science & Engineering | 9,504 | 356,210 | |||
American Woodmark | 41,178 | b | 2,993,641 | ||
Apogee Enterprises | 88,721 | 4,394,351 | |||
Applied Industrial Technologies | 108,155 | 4,467,883 | |||
Astec Industries | 46,089 | 1,497,892 |
8
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Capital Goods - 9.6% (continued) | |||||
AZZ | 60,207 | 3,331,253 | |||
Barnes Group | 138,658 | 5,212,154 | |||
Briggs & Stratton | 141,916 | 2,521,847 | |||
Chart Industries | 79,817 | a,b | 1,372,054 | ||
CIRCOR International | 43,576 | a | 2,001,010 | ||
Comfort Systems USA | 103,809 | 3,314,621 | |||
Cubic | 70,296 | 3,152,776 | |||
Curtiss-Wright | 124,718 | 8,675,384 | |||
DXP Enterprises | 32,979 | b | 997,945 | ||
Dycom Industries | 89,516 | b | 6,811,272 | ||
EMCOR Group | 173,425 | 8,372,959 | |||
Encore Wire | 54,756 | 2,341,914 | |||
EnerSys | 124,098 | a | 7,568,737 | ||
Engility Holdings | 28,849 | 928,649 | |||
EnPro Industries | 50,100 | 2,460,411 | |||
ESCO Technologies | 70,407 | 2,611,396 | |||
Federal Signal | 201,311 | 3,031,744 | |||
Franklin Electric | 104,707 | 3,451,143 | |||
General Cable | 173,287 | 2,666,887 | |||
Gibraltar Industries | 61,327 | b | 1,552,800 | ||
Griffon | 120,012 | 2,061,806 | |||
Harsco | 208,348 | 2,235,574 | |||
Hillenbrand | 166,028 | 4,926,051 | |||
John Bean Technologies | 83,222 | 3,733,339 | |||
Kaman | 88,259 | 3,432,393 | |||
Lindsay | 25,828 | a | 1,750,622 | ||
Lydall | 49,238 | b | 1,685,417 | ||
Moog, Cl. A | 97,912 | b | 6,047,045 | ||
Mueller Industries | 164,182 | 5,175,017 | |||
MYR Group | 54,413 | b | 1,224,293 | ||
National Presto Industries | 15,580 | 1,371,819 | |||
Orion Marine Group | 50,589 | b | 197,803 | ||
PGT | 89,622 | b | 1,080,841 | ||
Powell Industries | 9,293 | 309,643 | |||
Quanex Building Products | 96,845 | 1,827,465 | |||
Simpson Manufacturing | 123,380 | 4,685,972 | |||
SPX | 109,107 | 1,336,561 | |||
SPX FLOW | 109,107 | b | 3,698,727 | ||
Standex International | 29,301 | 2,628,886 |
9
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Capital Goods - 9.6% (continued) | |||||
TASER International | 135,743 | a,b | 3,177,744 | ||
Tennant | 46,071 | 2,668,432 | |||
Titan International | 125,092 | 888,153 | |||
Universal Forest Products | 60,167 | 4,369,929 | |||
Veritiv | 11,749 | b | 493,458 | ||
Vicor | 60,931 | b | 588,593 | ||
Watts Water Technologies, Cl. A | 76,801 | 4,181,046 | |||
168,915,647 | |||||
Commercial & Professional Services - 4.8% | |||||
ABM Industries | 131,286 | 3,728,522 | |||
Brady, Cl. A | 120,903 | 2,750,543 | |||
CDI | 46,063 | 368,504 | |||
Essendant | 107,777 | 3,725,851 | |||
Exponent | 68,056 | 3,498,759 | |||
G&K Services, Cl. A | 52,956 | 3,485,564 | |||
Healthcare Services Group | 180,034 | a | 6,708,067 | ||
Heidrick & Struggles International | 36,877 | 979,453 | |||
HMS Holdings | 233,355 | b | 2,457,228 | ||
Insperity | 57,339 | 2,663,970 | |||
Interface | 199,386 | 3,897,996 | |||
Kelly Services, Cl. A | 84,461 | 1,334,484 | |||
Korn/Ferry International | 143,007 | 5,201,165 | |||
Matthews International, Cl. A | 80,040 | 4,620,709 | |||
Mobile Mini | 112,661 | 3,857,513 | |||
Navigant Consulting | 146,509 | b | 2,519,955 | ||
On Assignment | 134,628 | b | 6,073,069 | ||
Resources Connection | 104,396 | 1,873,908 | |||
Tetra Tech | 156,083 | 4,198,633 | |||
The Brink's Company | 127,628 | 3,953,915 | |||
TrueBlue | 128,040 | b | 3,709,319 | ||
UniFirst | 45,099 | 4,738,552 | |||
US Ecology | 61,855 | 2,425,335 | |||
Viad | 49,706 | 1,496,648 | |||
WageWorks | 93,162 | b | 4,473,639 | ||
84,741,301 | |||||
Consumer Durables & Apparel - 2.9% | |||||
Arctic Cat | 13,910 | 285,711 | |||
CalAtlantic Group | 2 | b | 69 | ||
Callaway Golf | 218,118 | 2,170,274 |
10
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Consumer Durables & Apparel - 2.9% (continued) | |||||
Crocs | 197,221 | b | 2,129,987 | ||
Ethan Allen Interiors | 78,233 | a | 2,128,720 | ||
G-III Apparel Group | 106,778 | b | 5,882,400 | ||
Iconix Brand Group | 133,749 | b | 2,049,035 | ||
iRobot | 78,466 | a,b | 2,354,765 | ||
La-Z-Boy | 143,825 | 4,106,204 | |||
M/I Homes | 58,256 | b | 1,336,975 | ||
Meritage Homes | 89,988 | b | 3,172,977 | ||
Movado Group | 55,420 | 1,426,511 | |||
Oxford Industries | 43,681 | 3,180,850 | |||
Perry Ellis International | 53,824 | b | 1,155,601 | ||
Steven Madden | 145,102 | b | 5,056,805 | ||
Sturm Ruger & Co. | 49,988 | a | 2,846,317 | ||
TopBuild | 97,722 | b | 2,748,920 | ||
Unifi | 37,348 | b | 1,142,475 | ||
Universal Electronics | 45,404 | b | 2,159,868 | ||
Wolverine World Wide | 301,574 | 5,600,229 | |||
50,934,693 | |||||
Consumer Services - 3.4% | |||||
American Public Education | 54,730 | b | 1,189,283 | ||
Biglari Holdings | 1,401 | b | 538,166 | ||
BJ's Restaurants | 56,633 | b | 2,431,255 | ||
Bob Evans Farms | 60,777 | 2,629,821 | |||
Boyd Gaming | 229,028 | b | 4,578,270 | ||
Capella Education | 29,091 | 1,313,459 | |||
Career Education | 123,606 | b | 446,218 | ||
DineEquity | 41,448 | 3,458,836 | |||
Interval Leisure Group | 105,292 | 1,858,404 | |||
Marcus | 68,456 | 1,416,355 | |||
Marriott Vacations Worldwide | 79,289 | 5,106,212 | |||
Monarch Casino & Resort | 31,926 | b | 700,456 | ||
Papa John's International | 75,924 | a | 5,327,587 | ||
Pinnacle Entertainment | 176,711 | b | 6,186,652 | ||
Popeyes Louisiana Kitchen | 60,264 | a,b | 3,401,300 | ||
Red Robin Gourmet Burgers | 34,034 | b | 2,548,806 | ||
Regis | 107,799 | b | 1,780,839 | ||
Ruby Tuesday | 150,203 | b | 785,562 | ||
Ruth's Hospitality Group | 110,912 | 1,720,245 | |||
Scientific Games, Cl. A | 123,192 | a,b | 1,366,199 |
11
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Consumer Services - 3.4% (continued) | |||||
Sonic | 161,813 | 4,618,143 | |||
Strayer Education | 29,270 | b | 1,548,968 | ||
Texas Roadhouse | 163,233 | 5,607,054 | |||
60,558,090 | |||||
Diversified Financials - 2.8% | |||||
Calamos Asset Management, Cl. A | 67,277 | 631,731 | |||
Cash America International | 80,202 | a | 2,769,375 | ||
Encore Capital Group | 54,162 | a,b | 2,204,393 | ||
Enova International | 73,384 | b | 953,992 | ||
Evercore Partners, Cl. A | 100,866 | 5,446,764 | |||
EZCORP, Cl. A | 102,152 | b | 680,332 | ||
Financial Engines | 145,190 | a | 4,669,310 | ||
First Cash Financial Services | 78,462 | b | 2,993,325 | ||
Green Dot, Cl. A | 107,320 | b | 1,989,713 | ||
Greenhill & Co. | 81,156 | 2,095,448 | |||
HFF, Cl. A | 96,273 | 3,323,344 | |||
Interactive Brokers Group, Cl. A | 139,717 | 5,747,957 | |||
INTL. FCStone | 40,965 | b | 1,310,470 | ||
Investment Technology Group | 109,814 | 1,758,122 | |||
Piper Jaffray | 49,556 | b | 1,762,707 | ||
PRA Group | 137,401 | a,b | 7,529,575 | ||
Virtus Investment Partners | 14,312 | 1,675,076 | |||
World Acceptance | 36,055 | a,b | 1,374,777 | ||
48,916,411 | |||||
Energy - 2.8% | |||||
Approach Resources | 137,721 | b | 325,021 | ||
Basic Energy Services | 135,673 | a,b | 503,347 | ||
Bill Barrett | 130,406 | a,b | 635,077 | ||
Bonanza Creek Energy | 97,720 | a | 556,027 | ||
Bristow Group | 99,249 | a | 3,446,918 | ||
CARBO Ceramics | 45,998 | a | 805,885 | ||
Carrizo Oil & Gas | 144,229 | b | 5,427,337 | ||
Cloud Peak Energy | 188,586 | a,b | 560,100 | ||
Contango Oil & Gas | 41,176 | b | 314,996 | ||
Era Group | 55,725 | b | 775,135 | ||
Exterran Holdings | 168,049 | 3,653,385 | |||
Geospace Technologies | 25,022 | b | 384,338 | ||
Green Plains | 99,435 | 2,039,412 | |||
Gulf Island Fabrication | 45,208 | 457,053 |
12
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Energy - 2.8% (continued) | |||||
GulfMark Offshore, Cl. A | 105,000 | a | 655,200 | ||
Helix Energy Solutions Group | 261,076 | b | 1,509,019 | ||
Hornbeck Offshore Services | 80,923 | a,b | 1,093,270 | ||
ION Geophysical | 416,928 | b | 154,263 | ||
Matrix Service | 84,414 | b | 1,916,198 | ||
Newpark Resources | 252,175 | b | 1,427,311 | ||
Northern Oil and Gas | 145,444 | a,b | 733,038 | ||
PDC Energy | 109,783 | b | 6,624,306 | ||
Penn Virginia | 506,192 | a,b | 313,282 | ||
Pioneer Energy Services | 273,578 | b | 631,965 | ||
REX American Resources | 21,103 | b | 1,158,766 | ||
Rex Energy | 149,914 | a,b | 338,806 | ||
SEACOR Holdings | 48,342 | b | 2,824,140 | ||
Stone Energy | 156,326 | a,b | 873,862 | ||
Synergy Resources | 215,833 | a,b | 2,415,171 | ||
Tesco | 90,330 | 722,640 | |||
TETRA Technologies | 167,471 | b | 1,128,755 | ||
Tidewater | 124,472 | a | 1,537,229 | ||
Unit | 122,161 | b | 1,540,450 | ||
US Silica Holdings | 140,805 | a | 2,542,938 | ||
50,024,640 | |||||
Food, Beverage & Tobacco - 2.4% | |||||
Andersons | 71,061 | 2,515,559 | |||
B&G Foods | 152,851 | 5,546,963 | |||
Calavo Growers | 30,948 | 1,591,037 | |||
Cal-Maine Foods | 88,472 | a | 4,729,713 | ||
Darling Ingredients | 419,273 | b | 4,243,043 | ||
Diamond Foods | 60,946 | b | 2,414,681 | ||
J&J Snack Foods | 37,416 | 4,594,311 | |||
Sanderson Farms | 60,237 | a | 4,187,074 | ||
Seneca Foods, Cl. A | 18,438 | b | 538,021 | ||
Snyder's-Lance | 144,276 | a | 5,127,569 | ||
SpartanNash | 95,214 | 2,656,471 | |||
Universal | 66,990 | a | 3,618,130 | ||
41,762,572 | |||||
Health Care Equipment & Services - 8.4% | |||||
Abaxis | 65,938 | a | 3,310,747 | ||
ABIOMED | 99,125 | b | 7,301,547 | ||
Aceto | 66,875 | 2,016,950 |
13
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Health Care Equipment & Services - 8.4% (continued) | |||||
Air Methods | 108,564 | a,b | 4,443,525 | ||
Almost Family | 16,403 | b | 678,756 | ||
Amedisys | 85,108 | b | 3,368,575 | ||
AMN Healthcare Services | 124,131 | b | 3,521,596 | ||
Analogic | 38,499 | 3,373,282 | |||
AngioDynamics | 81,437 | b | 1,024,477 | ||
Anika Therapeutics | 48,227 | a,b | 1,857,704 | ||
Cantel Medical | 87,372 | 5,179,412 | |||
Chemed | 48,149 | a | 7,573,356 | ||
CONMED | 78,023 | 3,164,613 | |||
CorVel | 31,789 | b | 1,055,395 | ||
Cross Country Healthcare | 58,622 | b | 791,397 | ||
CryoLife | 75,803 | 798,964 | |||
Cynosure, Cl. A | 59,634 | a,b | 2,244,624 | ||
Ensign Group | 57,493 | 2,423,905 | |||
ExamWorks Group | 88,509 | a,b | 2,499,494 | ||
Greatbatch | 68,597 | b | 3,666,510 | ||
Haemonetics | 133,757 | b | 4,518,311 | ||
Hanger | 94,700 | b | 1,365,574 | ||
HealthEquity | 88,700 | a,b | 2,901,377 | ||
HealthStream | 53,985 | b | 1,285,383 | ||
Healthways | 92,002 | b | 1,082,864 | ||
ICU Medical | 37,464 | b | 4,119,916 | ||
Inogen | 28,019 | a,b | 1,197,532 | ||
Integra LifeSciences Holdings | 72,836 | b | 4,338,841 | ||
Invacare | 78,435 | 1,355,357 | |||
IPC Healthcare | 43,410 | b | 3,407,685 | ||
Kindred Healthcare | 212,947 | 2,853,490 | |||
Landauer | 29,920 | 1,181,541 | |||
LHC Group | 45,193 | b | 2,036,623 | ||
Magellan Health | 63,518 | b | 3,391,861 | ||
Masimo | 124,660 | b | 4,946,509 | ||
MedAssets | 162,212 | a,b | 3,841,180 | ||
Medidata Solutions | 147,861 | b | 6,358,023 | ||
Meridian Bioscience | 120,398 | 2,288,766 | |||
Merit Medical Systems | 115,906 | b | 2,148,897 | ||
MiMedx Group | 278,775 | a,b | 2,029,482 | ||
Natus Medical | 94,607 | b | 4,307,457 | ||
Neogen | 96,829 | b | 5,233,607 |
14
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Health Care Equipment & Services - 8.4% (continued) | |||||
NuVasive | 119,465 | b | 5,633,969 | ||
Omnicell | 103,551 | b | 2,816,587 | ||
PharMerica | 82,941 | b | 2,369,624 | ||
Providence Service | 23,613 | b | 1,219,611 | ||
Quality Systems | 149,813 | 2,104,873 | |||
Select Medical Holdings | 251,243 | 2,839,046 | |||
SurModics | 53,791 | b | 1,147,362 | ||
U.S. Physical Therapy | 32,992 | 1,618,588 | |||
Vascular Solutions | 40,565 | b | 1,302,948 | ||
147,537,713 | |||||
Household & Personal Products - .9% | |||||
Central Garden & Pet | 23,678 | b | 376,717 | ||
Central Garden & Pet, Cl. A | 103,199 | b | 1,741,999 | ||
Helen of Troy | 80,247 | b | 7,961,305 | ||
Inter Parfums | 52,355 | 1,446,045 | |||
Medifast | 42,236 | b | 1,181,341 | ||
WD-40 | 34,348 | 3,282,982 | |||
15,990,389 | |||||
Insurance - 2.8% | |||||
American Equity Investment Life Holding | 225,916 | 5,801,523 | |||
AMERISAFE | 47,757 | 2,613,741 | |||
eHealth | 29,773 | b | 355,787 | ||
Employers Holdings | 105,239 | 2,785,676 | |||
HCI Group | 24,807 | 1,081,833 | |||
Horace Mann Educators | 93,406 | 3,198,221 | |||
Infinity Property & Casualty | 27,988 | 2,253,594 | |||
Navigators Group | 32,336 | b | 2,759,878 | ||
ProAssurance | 137,046 | 7,257,956 | |||
RLI | 92,350 | 5,619,497 | |||
Safety Insurance Group | 27,648 | 1,602,202 | |||
Selective Insurance Group | 152,070 | 5,549,034 | |||
Stewart Information Services | 60,370 | 2,425,063 | |||
United Fire Group | 60,477 | 2,249,140 | |||
United Insurance Holdings | 41,653 | 688,108 | |||
Universal Insurance Holdings | 103,673 | a | 3,270,883 | ||
49,512,136 | |||||
Materials - 4.7% | |||||
A. Schulman | 83,506 | 2,997,030 | |||
AK Steel Holding | 438,033 | a,b | 1,265,915 |
15
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Materials - 4.7% (continued) | |||||
American Vanguard | 46,599 | 624,893 | |||
Balchem | 81,930 | 5,595,819 | |||
Boise Cascade | 96,961 | b | 2,902,043 | ||
Calgon Carbon | 154,613 | 2,659,344 | |||
Century Aluminum | 144,418 | a,b | 522,793 | ||
Clearwater Paper | 58,781 | b | 2,964,326 | ||
Deltic Timber | 21,708 | 1,345,028 | |||
Flotek Industries | 127,771 | a,b | 2,312,655 | ||
FutureFuel | 83,275 | 1,283,268 | |||
Glatfelter | 103,789 | 2,013,507 | |||
Globe Specialty Metals | 165,976 | 2,094,617 | |||
H.B. Fuller | 131,538 | 4,997,129 | |||
Hawkins | 12,042 | 499,020 | |||
Haynes International | 24,753 | 976,506 | |||
Headwaters | 198,039 | b | 4,069,701 | ||
Innophos Holdings | 55,315 | 2,350,334 | |||
Innospec | 64,537 | 3,565,024 | |||
Intrepid Potash | 170,228 | b | 657,080 | ||
Kaiser Aluminum | 51,815 | 4,212,041 | |||
KapStone Paper and Packaging | 208,390 | 4,532,482 | |||
Koppers Holdings | 43,275 | 820,494 | |||
Kraton Performance Polymers | 104,264 | b | 2,125,943 | ||
LSB Industries | 31,408 | b | 491,535 | ||
Materion | 69,921 | 2,108,118 | |||
Myers Industries | 70,969 | 1,107,826 | |||
Neenah Paper | 49,555 | a | 3,340,503 | ||
Olympic Steel | 32,416 | 310,221 | |||
Quaker Chemical | 37,269 | 2,958,413 | |||
Rayonier Advanced Materials | 128,095 | 1,181,036 | |||
Schweitzer-Mauduit International | 96,883 | 3,760,998 | |||
Stepan | 53,146 | 2,813,018 | |||
Stillwater Mining | 360,795 | a,b | 3,369,825 | ||
SunCoke Energy | 177,976 | 882,761 | |||
TimkenSteel | 88,708 | 943,853 | |||
Tredegar | 46,188 | 658,641 | |||
Wausau Paper | 154,403 | 1,576,455 | |||
82,890,195 | |||||
Media - .7% | |||||
E.W. Scripps, Cl. A | 129,479 | 2,856,307 |
16
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Media - .7% (continued) | |||||
Gannet Company | 304,751 | 4,821,161 | |||
Harte-Hanks | 143,675 | 610,619 | |||
Scholastic | 65,804 | 2,689,409 | |||
Sizmek | 73,893 | b | 438,185 | ||
11,415,681 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 3.5% | |||||
Acorda Therapeutics | 111,092 | a,b | 4,003,756 | ||
Affymetrix | 241,423 | a,b | 2,221,092 | ||
Albany Molecular Research | 48,747 | b | 879,396 | ||
ANI Pharmaceuticals | 21,086 | a,b | 882,238 | ||
Cambrex | 92,927 | b | 4,271,854 | ||
DepoMed | 162,773 | b | 2,848,527 | ||
Emergent BioSolutions | 93,731 | b | 3,013,452 | ||
Enanta Pharmaceuticals | 37,748 | a,b | 1,060,341 | ||
Impax Laboratories | 172,726 | b | 5,981,501 | ||
Lannett Company | 80,023 | a,b | 3,582,630 | ||
Ligand Pharmaceuticals | 52,229 | a,b | 4,718,890 | ||
Luminex | 102,315 | b | 1,862,133 | ||
Medicines | 164,466 | b | 5,631,316 | ||
Momenta Pharmaceuticals | 148,306 | b | 2,433,701 | ||
Nektar Therapeutics | 354,013 | a,b | 4,202,134 | ||
Prestige Brands Holdings | 146,337 | b | 7,171,976 | ||
Repligen | 83,884 | b | 2,788,304 | ||
Sagent Pharmaceuticals | 45,955 | b | 772,504 | ||
Spectrum Pharmaceuticals | 167,925 | a,b | 874,889 | ||
Supernus Pharmaceuticals | 101,961 | b | 1,682,356 | ||
60,882,990 | |||||
Real Estate - 7.4% | |||||
Acadia Realty Trust | 167,791 | c | 5,518,646 | ||
Agree Realty | 45,236 | c | 1,464,742 | ||
American Assets Trust | 116,663 | c | 4,918,512 | ||
Capstead Mortgage | 289,004 | a,c | 2,788,889 | ||
CareTrust | 111,313 | 1,260,063 | |||
Cedar Realty Trust | 228,442 | c | 1,596,810 | ||
Chesapeake Lodging Trust | 155,387 | c | 4,279,358 | ||
CoreSite Realty | 64,725 | c | 3,556,639 | ||
Cousins Properties | 551,792 | c | 5,539,992 | ||
DiamondRock Hospitality | 577,332 | c | 6,743,238 | ||
EastGroup Properties | 95,300 | c | 5,352,048 |
17
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Real Estate - 7.4% (continued) | |||||
Education Realty Trust | 133,368 | a,c | 4,789,245 | ||
EPR Properties | 153,927 | c | 8,744,593 | ||
Forestar Group | 74,024 | b,c | 1,047,440 | ||
Franklin Street Properties | 193,396 | c | 2,015,186 | ||
GEO Group | 193,525 | 6,245,052 | |||
Getty Realty | 76,028 | c | 1,283,353 | ||
Government Properties Income Trust | 170,723 | a,c | 2,779,370 | ||
Healthcare Realty Trust | 251,987 | c | 6,642,377 | ||
Inland Real Estate | 255,035 | c | 2,257,060 | ||
Kite Realty Group Trust | 203,550 | c | 5,375,755 | ||
Lexington Realty Trust | 603,743 | c | 5,337,088 | ||
LTC Properties | 106,889 | c | 4,580,194 | ||
Medical Properties Trust | 653,627 | c | 7,385,985 | ||
Parkway Properties | 191,549 | c | 3,204,615 | ||
Pennsylvania Real Estate Investment Trust | 169,457 | c | 3,809,393 | ||
PS Business Parks | 58,714 | c | 5,037,074 | ||
Retail Opportunity Investments | 237,412 | c | 4,304,280 | ||
Sabra Health Care | 152,505 | c | 3,458,813 | ||
Saul Centers | 31,599 | c | 1,771,756 | ||
Summit Hotel Properties | 231,366 | c | 3,026,267 | ||
Universal Health Realty Income Trust | 43,779 | c | 2,175,379 | ||
Urstadt Biddle Properties, Cl. A | 68,697 | c | 1,380,810 | ||
129,670,022 | |||||
Retailing - 5.4% | |||||
Barnes & Noble | 152,242 | a,b | 1,977,624 | ||
Barnes and Noble Education | 82,236 | 1,212,981 | |||
Big 5 Sporting Goods | 52,516 | 480,521 | |||
Blue Nile | 34,216 | b | 1,166,766 | ||
Buckle | 76,831 | a | 2,722,891 | ||
Caleres | 114,211 | 3,490,288 | |||
Cato, Cl. A | 78,711 | 2,972,127 | |||
Core-Mark Holding | 60,782 | 4,940,969 | |||
Express | 224,506 | b | 4,332,966 | ||
Finish Line, Cl. A | 103,940 | 1,936,402 | |||
Francesca's Holdings | 139,327 | b | 1,979,837 | ||
Fred's, Cl. A | 60,235 | 833,050 | |||
FTD Companies | 44,529 | b | 1,261,061 | ||
Genesco | 59,617 | b | 3,735,005 | ||
Group 1 Automotive | 57,100 | 4,964,845 |
18
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Retailing - 5.4% (continued) | |||||
Haverty Furniture | 40,221 | 941,574 | |||
Hibbett Sports | 68,196 | a,b | 2,329,575 | ||
Kirkland's | 50,437 | 1,159,547 | |||
Lithia Motors, Cl. A | 63,736 | 7,481,969 | |||
Lumber Liquidators Holdings | 66,072 | a,b | 913,115 | ||
MarineMax | 74,604 | b | 1,178,743 | ||
Men's Wearhouse | 131,192 | 5,245,056 | |||
Monro Muffler Brake | 82,272 | a | 6,102,114 | ||
NutriSystem | 81,506 | 1,885,234 | |||
Outerwall | 55,998 | a | 3,359,880 | ||
PEP Boys-Manny Moe & Jack | 109,514 | b | 1,647,091 | ||
PetMed Express | 59,167 | a | 995,189 | ||
Pool | 114,377 | 9,326,301 | |||
Select Comfort | 157,980 | b | 3,349,176 | ||
Sonic Automotive, Cl. A | 82,850 | 2,066,279 | |||
Stage Stores | 67,430 | a | 656,094 | ||
Stein Mart | 53,935 | 477,864 | |||
The Children's Place | 62,568 | 3,358,025 | |||
Tuesday Morning | 98,094 | b | 530,689 | ||
Vitamin Shoppe | 76,066 | b | 2,182,334 | ||
VOXX International | 37,300 | b | 192,468 | ||
Zumiez | 51,508 | a,b | 900,360 | ||
94,286,010 | |||||
Semiconductors & Semiconductor Equipment - 3.6% | |||||
Advanced Energy Industries | 122,437 | b | 3,462,518 | ||
Brooks Automation | 178,317 | 1,968,620 | |||
Cabot Microelectronics | 72,313 | b | 3,049,439 | ||
CEVA | 36,324 | b | 848,892 | ||
Cirrus Logic | 172,027 | b | 5,303,592 | ||
Cohu | 91,189 | 1,148,070 | |||
Diodes | 87,985 | b | 2,014,856 | ||
DSP Group | 61,946 | b | 625,655 | ||
Exar | 105,222 | b | 598,713 | ||
Kopin | 154,486 | b | 412,478 | ||
Kulicke & Soffa Industries | 178,729 | b | 1,894,527 | ||
Microsemi | 260,986 | b | 9,398,106 | ||
MKS Instruments | 141,855 | 4,998,970 | |||
Monolithic Power Systems | 96,878 | 6,047,125 | |||
Nanometrics | 42,212 | b | 644,999 |
19
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Semiconductors & Semiconductor Equipment - 3.6% (continued) | |||||
Pericom Semiconductor | 61,482 | 1,072,861 | |||
Power Integrations | 86,291 | 4,367,188 | |||
Rambus | 322,687 | b | 3,330,130 | ||
Rudolph Technologies | 69,674 | b | 891,130 | ||
Semtech | 172,911 | b | 3,025,942 | ||
Tessera Technologies | 147,050 | 5,142,338 | |||
Ultratech | 56,921 | b | 889,675 | ||
Veeco Instruments | 102,666 | b | 1,850,041 | ||
62,985,865 | |||||
Software & Services - 6.5% | |||||
Blackbaud | 131,739 | 8,258,718 | |||
Blucora | 114,102 | b | 1,118,200 | ||
Bottomline Technologies | 106,414 | b | 2,945,540 | ||
CACI International, Cl. A | 66,923 | b | 6,494,208 | ||
Cardtronics | 134,856 | b | 4,652,532 | ||
Ciber | 187,916 | b | 670,860 | ||
Computer Programs & Systems | 36,712 | 1,395,423 | |||
comScore | 86,451 | b | 3,698,374 | ||
Constant Contact | 98,521 | b | 2,571,398 | ||
CSG Systems International | 99,355 | 3,330,380 | |||
DHI Group | 114,991 | b | 1,040,669 | ||
Ebix | 64,798 | a | 1,796,849 | ||
Epiq Systems | 81,158 | 1,119,980 | |||
ePlus | 15,752 | b | 1,329,784 | ||
ExlService Holdings | 86,516 | b | 3,829,198 | ||
Forrester Research | 35,925 | 1,159,300 | |||
Heartland Payment Systems | 91,460 | 6,768,040 | |||
Interactive Intelligence Group | 36,297 | b | 1,173,845 | ||
j2 Global | 117,467 | 9,109,566 | |||
Liquidity Services | 73,782 | b | 604,275 | ||
LivePerson | 117,131 | b | 913,622 | ||
LogMeIn | 67,885 | b | 4,572,734 | ||
ManTech International, Cl. A | 61,944 | 1,790,182 | |||
MicroStrategy, Cl. A | 26,641 | b | 4,584,117 | ||
Monotype Imaging Holdings | 104,669 | 2,861,650 | |||
Monster Worldwide | 310,359 | a,b | 1,945,951 | ||
NIC | 164,750 | b | 3,125,307 | ||
Perficient | 93,584 | b | 1,564,724 | ||
Progress Software | 152,872 | b | 3,711,732 |
20
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Software & Services - 6.5% (continued) | |||||
QuinStreet | 77,713 | b | 431,307 | ||
Stamps.com | 44,308 | b | 3,350,128 | ||
SYKES Enterprises | 110,581 | b | 3,206,849 | ||
Synchronoss Technologies | 96,260 | b | 3,386,427 | ||
Take-Two Interactive Software | 227,862 | b | 7,565,018 | ||
Tangoe | 79,921 | b | 661,746 | ||
TeleTech Holdings | 51,424 | 1,496,438 | |||
VASCO Data Security International | 74,580 | a,b | 1,417,766 | ||
Virtusa | 64,841 | b | 3,723,819 | ||
XO Group | 82,868 | b | 1,253,793 | ||
114,630,449 | |||||
Technology Hardware & Equipment - 6.6% | |||||
ADTRAN | 131,917 | 2,048,671 | |||
Agilysys | 45,484 | b | 517,153 | ||
Anixter International | 76,714 | b | 5,261,046 | ||
Badger Meter | 33,852 | 2,050,754 | |||
Bel Fuse, Cl. B | 27,512 | 496,041 | |||
Benchmark Electronics | 157,619 | b | 3,117,704 | ||
Black Box | 47,417 | 578,962 | |||
CalAmp | 78,553 | a,b | 1,489,365 | ||
Checkpoint Systems | 130,074 | 972,954 | |||
Coherent | 72,761 | b | 3,943,646 | ||
Comtech Telecommunications | 48,609 | 1,174,393 | |||
CTS | 96,354 | 1,751,716 | |||
Daktronics | 71,502 | 693,569 | |||
DTS | 63,878 | b | 1,901,009 | ||
Electro Scientific Industries | 40,589 | a | 189,551 | ||
Electronics For Imaging | 117,218 | b | 5,443,604 | ||
Fabrinet | 75,279 | b | 1,631,296 | ||
FARO Technologies | 33,168 | b | 1,120,747 | ||
Harmonic | 271,781 | b | 1,565,459 | ||
II-VI | 166,379 | b | 3,014,787 | ||
Insight Enterprises | 113,620 | b | 2,885,948 | ||
Itron | 99,729 | b | 3,663,046 | ||
Ixia | 169,103 | b | 2,436,774 | ||
Littelfuse | 61,951 | 6,190,763 | |||
Lumentum Holdings | 124,295 | b | 1,782,390 | ||
Mercury Systems | 89,384 | b | 1,533,829 | ||
Methode Electronics | 117,162 | 3,905,009 |
21
STATEMENT OF INVESTMENTS (continued)
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Technology Hardware & Equipment - 6.6% (continued) | |||||
MTS Systems | 36,343 | 2,399,728 | |||
NETGEAR | 84,803 | b | 3,510,844 | ||
Newport | 107,545 | b | 1,625,005 | ||
OSI Systems | 50,734 | b | 4,372,256 | ||
Park Electrochemical | 43,156 | 705,169 | |||
Plexus | 91,297 | b | 3,160,702 | ||
QLogic | 233,029 | b | 2,889,560 | ||
Rofin-Sinar Technologies | 88,549 | b | 2,564,379 | ||
Rogers | 49,430 | b | 2,299,484 | ||
Ruckus Wireless | 231,191 | b | 2,607,834 | ||
Sanmina | 233,119 | b | 4,818,570 | ||
ScanSource | 63,819 | b | 2,202,394 | ||
Super Micro Computer | 90,501 | a,b | 2,553,033 | ||
SYNNEX | 77,291 | 6,835,616 | |||
TTM Technologies | 203,573 | b | 1,486,083 | ||
ViaSat | 110,184 | a,b | 7,267,737 | ||
Viavi Solutions | 558,824 | b | 3,325,003 | ||
115,983,583 | |||||
Telecommunication Services - .9% | |||||
8x8 | 204,374 | b | 2,178,627 | ||
Atlantic Tele-Network | 34,231 | 2,615,933 | |||
Cincinnati Bell | 588,362 | b | 2,218,125 | ||
Consolidated Communications Holdings | 113,561 | 2,509,698 | |||
General Communication, Cl. A | 107,982 | b | 2,199,053 | ||
Iridium Communications | 222,870 | a,b | 1,829,763 | ||
Lumos Networks | 34,062 | 441,444 | |||
Spok Holdings | 63,569 | 1,146,149 | |||
15,138,792 | |||||
Transportation - 2.7% | |||||
Allegiant Travel | 34,427 | a | 6,797,611 | ||
ArcBest | 80,064 | 2,073,658 | |||
Atlas Air Worldwide Holdings | 71,143 | b | 2,933,937 | ||
Celadon Group | 46,099 | 667,514 | |||
Echo Global Logistics | 62,380 | b | 1,484,020 | ||
Forward Air | 72,218 | 3,275,808 | |||
Hawaiian Holdings | 149,308 | a,b | 5,180,988 | ||
Heartland Express | 159,747 | a | 3,008,036 | ||
Hub Group, Cl. A | 99,181 | b | 3,965,256 | ||
Knight Transportation | 171,879 | 4,369,164 |
22
Common Stocks - 98.9% (continued) | Shares | Value ($) | |||
Transportation - 2.7% (continued) | |||||
Marten Transport | 62,388 | 1,022,539 | |||
Matson | 124,332 | 5,698,136 | |||
Republic Airways Holdings | 136,582 | b | 786,712 | ||
Roadrunner Transportation Systems | 59,188 | b | 629,760 | ||
Saia | 74,551 | b | 1,760,149 | ||
SkyWest | 132,869 | 2,529,826 | |||
UTi Worldwide | 221,558 | a,b | 1,579,709 | ||
47,762,823 | |||||
Utilities - 4.4% | |||||
ALLETE | 131,620 | 6,608,640 | |||
American States Water | 112,702 | 4,592,606 | |||
Avista | 151,609 | 5,131,965 | |||
El Paso Electric | 93,082 | 3,599,481 | |||
Laclede Group | 105,931 | a | 6,204,379 | ||
New Jersey Resources | 211,213 | 6,691,228 | |||
Northwest Natural Gas | 78,135 | a | 3,732,509 | ||
NorthWestern | 119,841 | 6,494,184 | |||
Piedmont Natural Gas | 216,191 | 12,389,906 | |||
South Jersey Industries | 199,207 | 5,280,978 | |||
Southwest Gas | 132,509 | 8,144,003 | |||
UIL Holdings | 156,374 | 7,973,510 | |||
76,843,389 | |||||
Total Common Stocks (cost $1,308,692,656) | 1,736,834,171 | ||||
Short-Term Investments - .1% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.04%, 3/17/16 | 590,000 | d | 589,777 | ||
0.03%, 2/25/16 | 370,000 | d | 369,908 | ||
959,685 | |||||
Total Short-Term Investments (cost $959,868) | |||||
Other Investment - 1.0% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 16,423,463 | e | 16,423,463 |
23
STATEMENT OF INVESTMENTS (continued)
Investment of Cash Collateral for Securities Loaned - 4.1% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Cash Advantage Fund | 72,484,358 | e | 72,484,358 | ||
Total Investments (cost $1,398,560,345) | 104.1% | 1,826,701,677 | |||
Liabilities, Less Cash and Receivables | (4.1%) | (71,126,457) | |||
Net Assets | 100.0% | 1,755,575,220 |
a Security, or portion thereof, on loan. At October 31, 2015, the value of the fund’s securities on loan was $169,171,552 and the value of the collateral held by the fund was $173,944,192, consisting of cash collateral of $72,484,358 and U.S. Government & Agency securities valued at $101,459,834.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by or on behalf of a counterparty for open financial futures contracts.
e Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Banks | 10.7 |
Capital Goods | 9.6 |
Health Care Equipment & Services | 8.4 |
Real Estate | 7.4 |
Technology Hardware & Equipment | 6.6 |
Software & Services | 6.5 |
Retailing | 5.4 |
Short-Term/ Money Market Investments | 5.2 |
Commercial & Professional Services | 4.8 |
Materials | 4.7 |
Utilities | 4.4 |
Semiconductors & Semiconductor Equipment | 3.6 |
Pharmaceuticals, Biotechnology & Life Sciences | 3.5 |
Consumer Services | 3.4 |
Consumer Durables & Apparel | 2.9 |
Diversified Financials | 2.8 |
Energy | 2.8 |
Insurance | 2.8 |
Transportation | 2.7 |
Food, Beverage & Tobacco | 2.4 |
Automobiles & Components | 1.0 |
Household & Personal Products | .9 |
Telecommunication Services | .9 |
Media | .7 |
104.1 |
†Based on net assets.
See notes to financial statements.
24
STATEMENT OF FINANCIAL FUTURES
October 31, 2015
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation at 10/31/2015 ($) | ||
Financial Futures Long | |||||
Russell 2000 Mini | 155 | 17,953,650 | December 2015 | 418,280 | |
Gross Unrealized Appreciation | 418,280 |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2015
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments |
|
|
|
| ||||
Unaffiliated issuers |
| 1,309,652,524 |
| 1,737,793,856 |
| |||
Affiliated issuers |
| 88,907,821 |
| 88,907,821 |
| |||
Cash |
|
|
|
| 1,675,840 |
| ||
Receivable for investment securities sold |
|
|
|
| 10,460,985 |
| ||
Dividends, interest and securities lending income receivable |
|
|
|
| 889,976 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 508,578 |
| ||
Other assets |
|
|
|
| 6,367 |
| ||
|
|
|
|
| 1,840,243,423 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 727,422 |
| ||
Liability for securities on loan—Note 1(b) |
|
|
|
| 72,484,358 |
| ||
Payable for investment securities purchased |
|
|
|
| 10,364,904 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 1,048,626 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 40,593 |
| ||
Accrued expenses |
|
|
|
| 2,300 |
| ||
|
|
|
|
| 84,668,203 |
| ||
Net Assets ($) |
|
| 1,755,575,220 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 1,166,711,918 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 12,157,325 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| 148,146,365 |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 428,559,612 |
| ||
Net Assets ($) |
|
| 1,755,575,220 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 60,672,270 |
| |||||
Net Asset Value Per Share ($) |
| 28.94 |
|
See notes to financial statements.
26
STATEMENT OF OPERATIONS
Year Ended October 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 8,256 |
| ||
Cash dividends (net of $6,006 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 24,891,481 |
| ||
Affiliated issuers |
|
| 15,121 |
| ||
Income from securities lending—Note 1(b) |
|
| 1,200,807 |
| ||
Total Income |
|
| 26,115,665 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 4,520,109 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 4,520,109 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 121,366 |
| ||
Loan commitment fees—Note 2 |
|
| 19,026 |
| ||
Interest expense—Note 2 |
|
| 320 |
| ||
Total Expenses |
|
| 9,180,930 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (121,366) |
| ||
Net Expenses |
|
| 9,059,564 |
| ||
Investment Income—Net |
|
| 17,056,101 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 160,109,615 |
| ||||
Net realized gain (loss) on financial futures |
|
| 357,359 |
| ||
Net Realized Gain (Loss) |
|
| 160,466,974 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (132,067,576) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| (13,022) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (132,080,598) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 28,386,376 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 45,442,477 |
|
See notes to financial statements.
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2015 |
|
|
| 2014 |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 17,056,101 |
|
|
| 13,189,664 |
| |
Net realized gain (loss) on investments |
| 160,466,974 |
|
|
| 120,864,966 |
| ||
Net unrealized appreciation (depreciation) |
| (132,080,598) |
|
|
| 11,871,540 |
| ||
Net Increase (Decrease) in Net Assets | 45,442,477 |
|
|
| 145,926,170 |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (14,103,759) |
|
|
| (12,000,269) |
| |
Net realized gain on investments |
|
| (120,880,643) |
|
|
| (60,182,073) |
| |
Total Dividends |
|
| (134,984,402) |
|
|
| (72,182,342) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 414,048,767 |
|
|
| 546,188,952 |
| |
Dividends reinvested |
|
| 131,149,954 |
|
|
| 70,431,094 |
| |
Cost of shares redeemed |
|
| (510,037,310) |
|
|
| (508,773,280) |
| |
Increase (Decrease) in Net Assets | 35,161,411 |
|
|
| 107,846,766 |
| |||
Total Increase (Decrease) in Net Assets | (54,380,514) |
|
|
| 181,590,594 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 1,809,955,734 |
|
|
| 1,628,365,140 |
| |
End of Period |
|
| 1,755,575,220 |
|
|
| 1,809,955,734 |
| |
Undistributed investment income—net | 12,157,325 |
|
|
| 9,198,943 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 14,079,398 |
|
|
| 18,566,243 |
| |
Shares issued for dividends reinvested |
|
| 4,481,405 |
|
|
| 2,377,558 |
| |
Shares redeemed |
|
| (17,330,175) |
|
|
| (17,350,819) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,230,628 |
|
|
| 3,592,982 |
| |||
See notes to financial statements.
28
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||
Per Share Data ($): | ||||||||
Net asset value, beginning of period | 30.45 | 29.16 | 21.95 | 20.21 | 18.82 | |||
Investment Operations: | ||||||||
Investment income—neta | .28 | .22 | .28 | .20 | .14 | |||
Net realized and unrealized | .52 | 2.34 | 7.88 | 2.39 | 1.80 | |||
Total from Investment Operations | .80 | 2.56 | 8.16 | 2.59 | 1.94 | |||
Distributions: | ||||||||
Dividends from | (.24) | (.21) | (.32) | (.11) | (.16) | |||
Dividends from net realized | (2.07) | (1.06) | (.63) | (.74) | (.39) | |||
Total Distributions | (2.31) | (1.27) | (.95) | (.85) | (.55) | |||
Net asset value, end of period | 28.94 | 30.45 | 29.16 | 21.95 | 20.21 | |||
Total Return (%) | 2.54 | 8.91 | 38.63 | 13.24 | 10.29 | |||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses | .51 | .51 | .51 | .51 | .51 | |||
Ratio of net expenses | .50 | .50 | .50 | .50 | .50 | |||
Ratio of net investment | .94 | .75 | 1.13 | .97 | .68 | |||
Portfolio Turnover Rate | 16.53 | 18.22 | 20.89 | 14.64 | 22.25 | |||
Net Assets, end of period ($ x 1,000) | 1,755,575 | 1,809,956 | 1,628,365 | 1,127,930 | 1,025,657 |
a Based on average shares outstanding.
See notes to financial statements.
29
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek 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 Dreyfus, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: 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).
30
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are 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.
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. 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.
31
NOTES TO FINANCIAL STATEMENTS (continued)
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 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 October 31, 2015 in valuing the fund’s investments:
32
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities—Domestic Common Stocks† | 1,731,728,639 | - | - | 1,731,728,639 |
Equity Securities—Foreign Common Stocks† | 5,105,532 | - | - | 5,105,532 |
Mutual Funds | 88,907,821 | - | - | 88,907,821 |
U.S. Treasury | - | 959,685 | - | 959,685 |
Other Financial Instruments: | ||||
Financial Futures†† | 418,280 | - | - | 418,280 |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At October 31, 2015, there were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by Dreyfus, 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
33
NOTES TO FINANCIAL STATEMENTS (continued)
borrower and the collateral. During the period ended October 31, 2015, The Bank of New York Mellon earned $294,042 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended October 31, 2015 were as follows:
Affiliated Investment Company | Value 10/31/2014 ($) | Purchases ($) | Sales ($) | Value 10/31/2015 ($) | Net Assets (%) |
Dreyfus Institutional Preferred Plus Money Market Fund | 12,857,901 | 211,495,851 | 207,930,289 | 16,423,463 | 1.0 |
Dreyfus Institutional Cash Advantage Fund | - | 584,182,545 | 511,698,187 | 72,484,358 | 4.1 |
Total | 12,857,901 | 795,678,396 | 719,628,476 | 88,907,821 | 5.1 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2015, 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 October 31, 2015, the fund did not incur any interest or penalties.
34
Each tax year in the four-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2015, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $12,189,480, undistributed capital gains $158,485,393 and unrealized appreciation $418,188,429.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2015 and October 31, 2014 were as follows: ordinary income $18,988,306 and $19,508,826, and long-term capital gains $115,996,096 and $52,673,516, respectively.
During the period ended October 31, 2015, as a result of permanent book to tax differences, primarily due to the tax treatment for dividend reclassification, the fund increased accumulated undistributed investment income-net by $6,040 and decreased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $480 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. Prior to October 7, 2015, the unsecured credit facility with Citibank, N.A. was $430 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2015 was approximately $29,000 with a related weighted average annualized interest rate of 1.10%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with Dreyfus, 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, Dreyfus 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
35
NOTES TO FINANCIAL STATEMENTS (continued)
on borrowings, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and extraordinary expenses. Dreyfus has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of the non-interested Board members and fees and expenses of independent counsel to the fund and to non-interested Board members. During the period ended October 31, 2015, fees reimbursed by Dreyfus amounted to $121,366.
(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 October 31, 2015, the fund was charged $4,520,109 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 $368,420 and Shareholder Services Plan fees $368,420, which are offset against an expense reimbursement currently in effect in the amount of $9,418.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2015, amounted to $294,371,786 and $383,359,132, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2015 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund
36
invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at October 31, 2015 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2015:
Average Market Value ($) | |
Equity financial futures | 18,642,704 |
At October 31, 2015, the cost of investments for federal income tax purposes was $1,408,513,248; accordingly, accumulated net unrealized appreciation on investments was $418,188,429, consisting of $540,488,971 gross unrealized appreciation and $122,300,542 gross unrealized depreciation.
37
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Smallcap Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus Smallcap Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) as of October 31, 2015, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Smallcap Stock Index Fund at October 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 29, 2015
38
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby reports 100% of the ordinary dividends paid during the fiscal year ended October 31, 2015 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2015, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $17,696,034 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2016 of the percentage applicable to the preparation of their 2015 income tax returns. Also, the fund hereby designates $1.9716 per share as a long-term capital gain distribution and $.0835 per share as a short-term capital gain distribution paid on December 29, 2014 and the fund also reports $.0106 per share as a long-term capital gain distribution paid on March 24, 2015.
39
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
· The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director (2000-2010)
No. of Portfolios for which Board Member Serves: 140
———————
Peggy C. Davis (72)
Board Member (71)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 51
———————
David P. Feldman (75)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 37
———————
Ehud Houminer (75)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Executive-in-Residence at the Columbia Business School, Columbia
University (1992-present)
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 61
———————
40
Lynn Martin (75)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Robin A. Melvin (52)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; a board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 111
———————
Dr. Martin Peretz (76)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Director of TheStreet.com, a financial information service on the web (1996-2010)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 37
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund's Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
41
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Executive Vice President of the Distributor since June 2007. From April 2003 to June 2009, Mr. Skapyak was the head of the Investment Accounting and Support Department of the Manager. He is an officer of 66 investment companies (comprised of 140 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015
Chief Legal Officer of the Manager since June 2015; from June 2005 to June 2015, Director and Associate General Counsel of Deutsche Bank – Asset & Wealth Management Division, and Chief Legal Officer of Deutsche Investment Management Americas Inc. He is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Assistant General Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 52 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 59 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since June 2000.
JOHN B. HAMMALIAN, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since February 1991.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. She is 53 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager; from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is 40 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since April 1985.
42
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Fixed Income Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 67 investment companies (comprised of 165 portfolios) managed by the Manager. He is 48 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (67 investment companies, comprised of 165 portfolios). He is 58 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
43
NOTES
44
NOTES
45
Dreyfus Smallcap Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbol: | DISSX |
Telephone Call your financial representative or 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 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 www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. (phone 1-800-SEC-0330 for information).
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 www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2015 MBSC Securities Corporation |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). David P. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $107,880 in 2014 and $110,575 in 2015.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $36,360 in 2014 and $18,819 in 2015. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $ -0- in 2014 and $ -0- in 2015.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $37,316 in 2014 and $28,314 in 2015. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $ -0- in 2014 and $ -0- in 2015.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $5,294 in 2014 and $2,963 in 2015. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $ -0- in 2014 and $ -0- in 2015.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note: None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $26,822,186 in 2014 and $19,591,507 in 2015.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable. [CLOSED-END FUNDS ONLY, beginning with reports for periods ended on and after December 31, 2005]
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED-END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak,
President
Date: December 22, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak,
President
Date: December 22, 2015
By: /s/ James Windels
James Windels,
Treasurer
Date: December 22, 2015
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)