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) 922-6400 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 4/30/16 |
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FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus International Stock Index Fund
SEMIANNUAL REPORT April 30, 2016 |
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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 | |
the Fund’s Management Agreement |
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 semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2015 through April 30, 2016. 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.
A choppy U.S. economic recovery remained intact over the reporting period. Steady job growth, declining unemployment claims, improved consumer confidence, and higher housing prices supported an economic expansion that so far has lasted nearly seven years. These factors, along with low inflation, prompted the Federal Reserve Board in December 2015 to raise short-term interest rates for the first time in nearly a decade.
On the other hand, the global economy continued to stagnate despite historically aggressive monetary policies, including negative short-term interest rates in Europe and Japan. Global growth has been hampered by weak demand, volatile commodity prices, the lingering effects of various financial crises, unfavorable demographic trends, and low productivity growth. These developments proved especially challenging for financial markets in early 2016, but stocks and riskier sectors of the bond market later rallied strongly to post positive total returns, on average, for the reporting period overall.
While we are encouraged by the recent resilience of the financial markets, we expect volatility to persist over the foreseeable future until global economic uncertainty abates. In addition, wide differences in underlying fundamental and technical influences across various asset classes, economic sectors, and regional markets suggest that selectivity may be an important determinant of investment success over the months ahead. We encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
May 16, 2016
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2015 through April 30, 2016, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended April 30, 2016, Dreyfus International Stock Index Fund produced a total return of -4.14%.1 This compares with a -3.07% 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 ended the reporting period with moderate losses, on average, stemming from a variety of fiscal and economic challenges. 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 policies3, 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.
Volatility Buffeted International Equity Markets
International equity markets slipped lower in choppy trading during the last two months of 2015 under pressure from weakening commodity prices and concerns that the European Central Bank (“ECB”) did not more substantially expand its policy of monetary easing. Investor sentiment turned more sharply negative in January 2016 in response to further deterioration in commodity prices, disappointing economic data in China, and worries that higher short-term rates in the United States might weigh on global economic activity. These concerns drove the benchmark broadly lower through the first two weeks of February.
International stocks began a dramatic recovery in mid-February when investors responded positively to encouraging European and U.S. economic data, a rebound in commodity prices, another round of monetary easing from the ECB, and indications from U.S. monetary policymakers that they would delay additional rate hikes. By the end of the reporting period, small-cap international equities had recouped many, but not all, of their previous losses.
Investors Favored Traditionally Defensive Market Sectors
The MSCI EAFE® Index’s relatively moderate loss over the reporting period masked heightened market volatility and disparate results across market sectors. The financials sector led the market’s decline by a significant margin when fears intensified that negative interest rates in Europe and Japan would undermine banks’ earnings. Security trading issues and a
3
DISCUSSION OF FUND PERFORMANCE (continued)
slowdown in investment banking activity also weighed on financial stocks. Financial institutions in Hong Kong, Singapore, and Japan struggled with their exposure to a slowing and highly leveraged Chinese economy, while European banks encountered slowing loan growth, a more stringent regulatory environment, and uncertainty surrounding Britain’s potential exit from the European Union.
The consumer discretionary sector lost value to a lesser degree, primarily due to weakness among automobile manufacturers. In Germany, Volkswagen continued to contend with the consequences of a high-profile emissions scandal, and similar allegations arose against a carmaker in Japan. Meanwhile, stronger currency values for the euro and yen against the U.S. dollar made Korean and domestic car companies more competitive in the United States. In the health care sector, pharmaceutical developers in Switzerland and other European countries saw disappointing initial sales of new products due to high prices and litigation fears among prescribers. Pharmacy benefit managers were hurt by pressure on reimbursement rates in several regional markets.
International stocks fared better in the consumer staples sector, which was supported by strong investor demand for traditionally defensive companies with steady earnings and high dividend yields. Tobacco stocks fared particularly well in a consolidating industry that achieved higher sales in the emerging markets. The materials sector also fared relatively well after China moved to stimulate its economy and commodity prices began to rebound. Stocks of metals-and-mining companies and agricultural commodity producers recouped some of their earlier losses as prices improved and after such companies had shored up their finances by cutting costs and reducing debt.
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 and we recently have seen signs of gradual economic improvement in some regions. As always, we intend to continue to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 16, 2016
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from November 1, 2015 to April 30, 2016. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended April 30, 2016 | |||||||||
Expenses paid per $1,000† |
| $2.92 | |||||||
Ending value (after expenses) | $958.60 |
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 April 30, 2016 | |||||||||
Expenses paid per $1,000† |
| $3.02 | |||||||
Ending value (after expenses) | $1,021.88 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2016 (Unaudited)
Common Stocks - 97.7% | Shares | Value ($) | |||
Australia - 7.1% | |||||
AGL Energy | 30,304 | 420,094 | |||
Alumina | 112,290 | 126,797 | |||
Amcor | 51,832 | 606,416 | |||
AMP | 131,408 | 585,022 | |||
APA Group | 48,299 | 320,212 | |||
Aristocrat Leisure | 23,345 | 177,281 | |||
Asciano | 28,592 | 191,888 | |||
ASX | 8,643 | 286,983 | |||
Aurizon Holdings | 93,932 | 303,927 | |||
AusNet Services | 72,030 | 84,031 | |||
Australia & New Zealand Banking Group | 130,658 | 2,405,203 | |||
Bank of Queensland | 16,530 | 141,033 | |||
Bendigo & Adelaide Bank | 21,277 | 150,453 | |||
BHP Billiton | 144,535 | 2,264,349 | |||
Boral | 34,041 | 165,881 | |||
Brambles | 69,585 | 659,603 | |||
Caltex Australia | 12,163 | 298,930 | |||
Challenger | 27,625 | 187,734 | |||
CIMIC Group | 4,953 | 134,221 | |||
Coca-Cola Amatil | 25,822 | 168,685 | |||
Cochlear | 2,549 | 209,148 | |||
Commonwealth Bank of Australia | 76,560 | 4,281,772 | |||
Computershare | 20,349 | 156,224 | |||
Crown Resorts | 16,028 | 143,735 | |||
CSL | 20,935 | 1,670,407 | |||
Dexus Property Group | 45,220 | 289,228 | |||
DUET Group | 111,804 | 191,241 | |||
Flight Centre Travel Group | 2,140 | 63,904 | |||
Fortescue Metals Group | 69,153 | 176,335 | |||
Goodman Group | 81,427 | 426,206 | |||
GPT Group | 83,352 | 318,540 | |||
Harvey Norman Holdings | 21,349 | 72,637 | |||
Healthscope | 74,351 | 153,677 | |||
Iluka Resources | 20,315 | 98,625 | |||
Incitec Pivot | 75,161 | 183,669 | |||
Insurance Australia Group | 111,481 | 488,231 | |||
James Hardie Industries-CDI | 20,721 | 291,566 |
6
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Australia - 7.1% (continued) | |||||
LendLease Group | 24,424 | 235,552 | |||
Macquarie Group | 13,673 | 658,711 | |||
Medibank Private | 120,463 | 287,163 | |||
Mirvac Group | 165,195 | 234,665 | |||
National Australia Bank | 118,009 | 2,434,028 | |||
Newcrest Mining | 35,175 | a | 515,649 | ||
Oil Search | 63,639 | 335,213 | |||
Orica | 16,497 | 191,575 | |||
Origin Energy | 79,512 | 330,529 | |||
Platinum Asset Management | 9,947 | 45,749 | |||
Qantas Airways | 18,369 | a | 44,958 | ||
QBE Insurance Group | 63,095 | 533,794 | |||
Ramsay Health Care | 6,139 | 302,844 | |||
REA Group | 2,402 | 92,884 | |||
Rio Tinto | 18,923 | 732,592 | |||
Santos | 71,342 | 255,163 | |||
Scentre Group | 237,708 | 846,970 | |||
SEEK | 15,531 | 193,040 | |||
Sonic Healthcare | 18,383 | 269,581 | |||
South32 | 50,800 | a,b | 64,115 | ||
South32 | 223,721 | a,c | 281,358 | ||
Stockland | 102,579 | 340,548 | |||
Suncorp Group | 57,088 | 541,614 | |||
Sydney Airport | 50,012 | 258,814 | |||
Tabcorp Holdings | 37,451 | 126,094 | |||
Tatts Group | 59,893 | 171,540 | |||
Telstra | 187,563 | 763,847 | |||
TPG Telecom | 11,417 | 92,885 | |||
Transurban Group | 89,787 | 790,155 | |||
Treasury Wine Estates | 32,787 | 232,122 | |||
Vicinity Centres | 148,531 | 372,876 | |||
Vocus Communications | 20,174 | 132,254 | |||
Wesfarmers | 50,724 | 1,644,028 | |||
Westfield | 88,537 | 677,133 | |||
Westpac Banking | 149,100 | 3,511,845 | |||
Woodside Petroleum | 32,506 | 692,693 | |||
Woolworths | 56,590 | 948,790 | |||
39,077,259 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Austria - .2% | |||||
ANDRITZ | 3,152 | 176,661 | |||
Erste Group Bank | 12,908 | a | 372,432 | ||
OMV | 6,042 | 182,011 | |||
Raiffeisen Bank International | 4,550 | a | 72,843 | ||
Voestalpine | 5,210 | 188,111 | |||
992,058 | |||||
Belgium - 1.4% | |||||
Ageas | 8,600 | 337,723 | |||
Anheuser-Busch InBev | 36,046 | 4,471,711 | |||
Colruyt | 3,021 | 174,154 | |||
Delhaize Group | 4,526 | 474,726 | |||
Groupe Bruxelles Lambert | 3,568 | 314,760 | |||
KBC Groep | 10,974 | 618,278 | |||
Proximus | 7,132 | 239,576 | |||
Solvay | 3,435 | 347,751 | |||
Telenet Group Holding | 2,488 | a | 123,948 | ||
UCB | 5,652 | 424,632 | |||
Umicore | 3,912 | 195,187 | |||
7,722,446 | |||||
China - .0% | |||||
Yangzijiang Shipbuilding Holdings | 91,000 | 66,696 | |||
Denmark - 2.0% | |||||
AP Moller - Maersk, Cl. A | 172 | 234,476 | |||
AP Moller - Maersk, Cl. B | 317 | 446,318 | |||
Carlsberg, Cl. B | 4,628 | 451,345 | |||
Charles Hansen Holding | 4,591 | 284,795 | |||
Coloplast, Cl. B | 4,745 | 356,034 | |||
Danske Bank | 31,499 | 886,986 | |||
DSV | 8,470 | 356,704 | |||
Genmab | 2,478 | a | 367,418 | ||
ISS | 6,985 | 265,354 | |||
Novo Nordisk, Cl. B | 87,814 | 4,907,181 | |||
Novozymes, Cl. B | 10,484 | 502,748 | |||
Pandora | 5,005 | 650,908 | |||
TDC | 33,595 | 172,035 | |||
Tryg | 5,250 | 98,728 | |||
Vestas Wind Systems | 10,182 | 729,103 | |||
William Demant Holding | 1,152 | a | 118,466 | ||
10,828,599 |
8
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Finland - .9% | |||||
Elisa | 6,146 | 229,652 | |||
Fortum | 19,209 | 289,789 | |||
Kone, Cl. B | 15,309 | 698,925 | |||
Metso | 5,095 | 122,589 | |||
Neste | 5,763 | 185,066 | |||
Nokia | 259,916 | 1,530,525 | |||
Nokian Renkaat | 5,391 | 198,626 | |||
Orion, Cl. B | 4,426 | 154,471 | |||
Sampo, Cl. A | 19,947 | 871,584 | |||
Stora Enso, Cl. R | 25,073 | 219,152 | |||
UPM-Kymmene | 24,084 | 460,938 | |||
Wartsila | 6,890 | 295,631 | |||
5,256,948 | |||||
France - 9.7% | |||||
Accor | 9,535 | 422,709 | |||
Aeroports de Paris | 1,397 | 175,878 | |||
Air Liquide | 15,489 | 1,758,143 | |||
Airbus Group | 26,604 | 1,664,822 | |||
Alstom | 6,914 | a | 176,864 | ||
Altice, Cl. A | 16,816 | a | 254,489 | ||
Altice, Cl. B | 3,963 | a | 60,390 | ||
Arkema | 2,875 | 229,746 | |||
Atos | 4,021 | 358,811 | |||
AXA | 88,646 | 2,236,592 | |||
BNP Paribas | 47,595 | 2,522,354 | |||
Bollore | 38,356 | 152,061 | |||
Bouygues | 8,879 | 295,548 | |||
Bureau Veritas | 12,417 | 294,455 | |||
Cap Gemini | 7,244 | 676,719 | |||
Carrefour | 24,275 | 688,478 | |||
Casino Guichard Perrachon | 2,511 | 149,483 | |||
Christian Dior | 2,378 | 416,875 | |||
Cie de St-Gobain | 21,307 | 977,013 | |||
Cie Generale des Etablissements Michelin | 8,184 | 854,661 | |||
CNP Assurances | 6,982 | 119,204 | |||
Credit Agricole | 48,304 | 534,817 | |||
Danone | 26,519 | 1,858,256 | |||
Dassault Systemes | 5,876 | 459,790 | |||
Edenred | 9,836 | 193,654 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
France - 9.7% (continued) | |||||
Electricite de France | 10,350 | 148,817 | |||
Engie | 65,272 | 1,077,009 | |||
Essilor International | 9,164 | 1,186,914 | |||
Eurazeo | 1,999 | 140,826 | |||
Eutelsat Communications | 8,003 | 248,240 | |||
Fonciere Des Regions | 1,331 | 126,020 | |||
Gecina | 1,518 | 219,256 | |||
Groupe Eurotunnel | 21,449 | 274,466 | |||
Hermes International | 1,133 | 402,886 | |||
ICADE | 1,292 | 101,761 | |||
Iliad | 1,231 | 268,593 | |||
Imerys | 1,513 | 111,990 | |||
Ingenico Group | 2,556 | 301,650 | |||
JCDecaux | 3,359 | 148,530 | |||
Kering | 3,368 | 577,862 | |||
Klepierre | 9,920 | 468,012 | |||
Lagardere | 5,470 | 145,210 | |||
Legrand | 11,818 | 673,504 | |||
L'Oreal | 11,326 | 2,056,024 | |||
LVMH Moet Hennessy Louis Vuitton | 12,565 | 2,083,648 | |||
Natixis | 41,535 | 229,443 | |||
Numericable - SFR | 5,241 | 171,650 | |||
Orange | 89,534 | 1,486,817 | |||
Pernod Ricard | 9,482 | 1,024,223 | |||
Peugeot | 19,087 | a | 307,429 | ||
Publicis Groupe | 8,607 | 635,980 | |||
Remy Cointreau | 971 | 80,506 | |||
Renault | 8,555 | 826,366 | |||
Rexel | 12,502 | 189,563 | |||
Safran | 13,964 | 962,673 | |||
Sanofi | 52,666 | 4,350,987 | |||
Schneider Electric | 25,148 | 1,638,195 | |||
SCOR | 6,634 | 225,548 | |||
Societe BIC | 1,362 | 193,123 | |||
Societe Generale | 32,764 | 1,286,496 | |||
Sodexo | 4,321 | 436,929 | |||
Suez Environnement | 12,933 | 238,542 | |||
Technip | 4,917 | 289,478 | |||
Thales | 4,591 | 397,126 |
10
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
France - 9.7% (continued) | |||||
Total | 98,200 | 4,965,831 | |||
Unibail-Rodamco | 4,402 | 1,179,963 | |||
Valeo | 3,509 | 555,253 | |||
Veolia Environnement | 19,858 | 488,066 | |||
Vinci | 21,609 | 1,616,397 | |||
Vivendi | 52,529 | 1,006,547 | |||
Wendel | 1,271 | 146,701 | |||
Zodiac Aerospace | 9,412 | 220,276 | |||
53,443,138 | |||||
Germany - 8.4% | |||||
adidas | 9,314 | 1,201,042 | |||
Allianz | 20,506 | 3,477,915 | |||
Axel Springer | 1,985 | 111,020 | |||
BASF | 41,226 | 3,408,332 | |||
Bayer | 37,074 | 4,278,177 | |||
Bayerische Motoren Werke | 14,938 | 1,375,812 | |||
Beiersdorf | 4,391 | 393,764 | |||
Brenntag | 7,104 | 417,105 | |||
Commerzbank | 47,842 | 446,681 | |||
Continental | 4,915 | 1,079,572 | |||
Daimler | 43,211 | 2,999,992 | |||
Deutsche Bank | 60,640 | 1,143,288 | |||
Deutsche Boerse | 8,664 | 710,768 | |||
Deutsche Lufthansa | 11,009 | 170,914 | |||
Deutsche Post | 43,339 | 1,271,388 | |||
Deutsche Telekom | 144,842 | 2,532,860 | |||
Deutsche Wohnen-BR | 14,748 | 451,470 | |||
E.ON | 89,249 | 920,510 | |||
Evonik Industries | 6,181 | 195,710 | |||
Fraport Frankfurt Airport Services Worldwide | 2,086 | 126,418 | |||
Fresenius & Co. | 17,215 | 1,252,962 | |||
Fresenius Medical Care & Co. | 9,906 | 859,227 | |||
GEA Group | 8,253 | 383,211 | |||
Hannover Rueck | 2,781 | 316,859 | |||
HeidelbergCement | 6,162 | 547,845 | |||
Henkel & Co. | 4,614 | 468,646 | |||
HUGO BOSS | 3,014 | 192,074 | |||
Infineon Technologies | 51,307 | 729,502 | |||
K+S | 8,440 | 210,330 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Germany - 8.4% (continued) | |||||
LANXESS | 3,947 | 206,239 | |||
Linde | 8,315 | 1,270,648 | |||
MAN | 1,628 | 176,627 | |||
Merck | 5,641 | 529,680 | |||
METRO | 7,793 | 247,830 | |||
Muenchener Rueckversicherungs | 7,517 | 1,394,459 | |||
OSRAM Licht | 4,089 | 213,668 | |||
ProSiebenSat.1 Media | 9,548 | 486,913 | |||
RWE | 21,707 | a | 323,945 | ||
SAP | 44,088 | 3,448,665 | |||
Siemens | 35,563 | 3,711,674 | |||
Symrise | 5,653 | 374,302 | |||
Telefonica Deutschland Holding | 35,416 | 180,061 | |||
ThyssenKrupp | 16,364 | 380,592 | |||
TUI | 21,866 | 316,886 | |||
United Internet | 5,268 | 256,952 | |||
Volkswagen | 1,561 | 247,241 | |||
Vonovia | 20,430 | 687,707 | |||
Zalando | 3,469 | a,d | 115,157 | ||
46,242,640 | |||||
Hong Kong - 3.1% | |||||
AIA Group | 540,800 | 3,235,492 | |||
ASM Pacific Technology | 10,800 | 77,922 | |||
Bank of East Asia | 49,550 | 179,598 | |||
BOC Hong Kong Holdings | 161,500 | 482,347 | |||
Cathay Pacific Airways | 52,000 | 82,918 | |||
Cheung Kong Infrastructure Holdings | 31,000 | 292,741 | |||
Cheung Kong Property Holdings | 118,475 | 809,202 | |||
CK Hutchison Holdings | 120,475 | 1,440,737 | |||
CLP Holdings | 83,288 | 769,568 | |||
First Pacific | 120,250 | 76,172 | |||
Galaxy Entertainment Group | 108,277 | 362,739 | |||
Hang Lung Properties | 99,000 | 196,297 | |||
Hang Seng Bank | 34,400 | 623,177 | |||
Henderson Land Development | 53,545 | 332,750 | |||
HK Electric Investments | 106,500 | d | 95,797 | ||
HKT Trust | 125,660 | 181,608 | |||
Hong Kong & China Gas | 311,439 | 577,550 | |||
Hong Kong Exchanges & Clearing | 50,700 | 1,277,852 |
12
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Hong Kong - 3.1% (continued) | |||||
Hongkong Land Holdings | 23,600 | 149,539 | |||
Hysan Development | 28,000 | 123,773 | |||
Jardine Matheson Holdings | 10,946 | 604,817 | |||
Kerry Properties | 29,500 | 80,313 | |||
Li & Fung | 259,200 | 160,338 | |||
Link REIT | 101,000 | 611,755 | |||
Melco Crown Entertainment, ADR | 3,821 | 56,551 | |||
MTR | 64,500 | 318,044 | |||
New World Development | 254,048 | 251,981 | |||
Noble Group | 188,963 | a | 64,075 | ||
NWS Holdings | 60,000 | 91,209 | |||
PCCW | 167,000 | 113,015 | |||
Power Assets Holdings | 62,500 | 592,455 | |||
Shangri-La Asia | 71,000 | 86,701 | |||
Sino Land | 127,730 | 200,189 | |||
SJM Holdings | 78,530 | 52,216 | |||
Sun Hung Kai Properties | 78,699 | 986,055 | |||
Swire Pacific, Cl. A | 27,500 | 298,660 | |||
Swire Properties | 56,000 | 145,118 | |||
Techtronic Industries | 59,365 | 221,969 | |||
WH Group | 257,000 | a,d | 207,209 | ||
Wharf Holdings | 60,311 | 326,475 | |||
Wheelock & Co. | 43,000 | 198,957 | |||
Yue Yuen Industrial Holdings | 32,300 | 117,237 | |||
17,153,118 | |||||
Ireland - .5% | |||||
Bank of Ireland | 1,228,951 | a | 372,254 | ||
CRH | 37,196 | 1,079,001 | |||
Kerry Group, Cl. A | 7,197 | 635,923 | |||
Paddy Power Betfair | 3,609 | 484,892 | |||
Ryanair Holdings | 3,900 | 59,286 | |||
2,631,356 | |||||
Israel - .7% | |||||
Azrieli Group | 1,603 | 63,420 | |||
Bank Hapoalim | 48,286 | 247,455 | |||
Bank Leumi Le-Israel | 60,234 | a | 220,643 | ||
Bezeq The Israeli Telecommunication | 79,342 | 168,710 | |||
Check Point Software Technologies | 3,164 | a | 262,201 | ||
Delek Group | 202 | 35,628 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Israel - .7% (continued) | |||||
Israel Chemicals | 24,674 | 121,917 | |||
Israel Discount Bank, Cl. A | 1 | a | 1 | ||
Mizrahi Tefahot Bank | 6,222 | 71,749 | |||
Mobileye | 3,263 | a | 124,483 | ||
NICE Systems | 2,452 | 155,674 | |||
Taro Pharmaceutical Industries | 301 | a | 42,062 | ||
Teva Pharmaceutical Industries | 41,056 | 2,262,413 | |||
3,776,356 | |||||
Italy - 2.2% | |||||
Assicurazioni Generali | 51,191 | 782,471 | |||
Atlantia | 18,499 | 515,718 | |||
Banco Popolare | 16,630 | 117,159 | |||
CNH Industrial | 43,714 | 336,020 | |||
Enel | 342,707 | 1,555,462 | |||
Eni | 114,542 | 1,872,384 | |||
EXOR | 4,701 | 177,312 | |||
Ferrari | 5,913 | a | 267,850 | ||
Fiat Chrysler Automobiles | 40,560 | 326,613 | |||
Finmeccanica | 18,554 | a | 234,719 | ||
Intesa Sanpaolo | 571,630 | 1,589,218 | |||
Intesa Sanpaolo-RSP | 47,321 | 124,785 | |||
Luxottica Group | 7,731 | 423,668 | |||
Mediobanca | 25,082 | 206,620 | |||
Prysmian | 8,493 | 200,596 | |||
Saipem | 250,930 | a | 120,421 | ||
Snam | 93,495 | 572,139 | |||
STMicroelectronics | 26,057 | 160,168 | |||
Telecom Italia | 502,470 | a | 490,395 | ||
Telecom Italia-RSP | 270,919 | 212,992 | |||
Tenaris | 20,192 | 273,319 | |||
Terna Rete Elettrica Nazionale | 68,305 | 386,048 | |||
UniCredit | 213,246 | 822,240 | |||
Unione di Banche Italiane | 41,889 | 178,328 | |||
UnipolSai | 48,164 | 112,235 | |||
12,058,880 | |||||
Japan - 21.8% | |||||
ABC-Mart | 1,500 | 97,276 | |||
Acom | 15,500 | a | 79,774 | ||
Aeon | 28,400 | 420,382 |
14
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
AEON Financial Service | 5,360 | 117,535 | |||
AEON Mall | 4,480 | 61,662 | |||
Air Water | 7,000 | 103,743 | |||
Aisin Seiki | 8,500 | 327,621 | |||
Ajinomoto | 24,800 | 575,688 | |||
Alfresa Holdings | 7,600 | 144,502 | |||
Alps Electric | 8,100 | 138,076 | |||
Amada Holdings | 13,900 | 137,590 | |||
ANA Holdings | 53,000 | 148,246 | |||
Aozora Bank | 47,959 | 170,030 | |||
Asahi Glass | 42,800 | 248,401 | |||
Asahi Group Holdings | 16,900 | 539,406 | |||
Asahi Kasei | 55,900 | 378,441 | |||
Asics | 7,000 | 138,379 | |||
Astellas Pharma | 93,295 | 1,258,932 | |||
Bandai Namco Holdings | 7,750 | 164,326 | |||
Bank of Kyoto | 16,000 | 106,786 | |||
Benesse Holdings | 3,200 | 90,688 | |||
Bridgestone | 29,000 | 1,071,886 | |||
Brother Industries | 10,800 | 122,981 | |||
CALBEE | 3,500 | 137,634 | |||
Canon | 48,117 | 1,348,678 | |||
Casio Computer | 9,300 | 175,597 | |||
Central Japan Railway | 6,400 | 1,120,941 | |||
Chiba Bank | 29,000 | 145,335 | |||
Chubu Electric Power | 28,500 | 373,130 | |||
Chugai Pharmaceutical | 9,928 | 336,560 | |||
Chugoku Bank | 7,200 | 74,330 | |||
Chugoku Electric Power | 14,000 | 179,896 | |||
Citizen Holdings | 12,400 | 69,334 | |||
Concordia Financial Group | 50,000 | a | 240,789 | ||
Credit Saison | 6,200 | 113,461 | |||
Dai Nippon Printing | 25,800 | 240,485 | |||
Daicel | 13,400 | 164,657 | |||
Daihatsu Motor | 8,000 | 106,731 | |||
Dai-ichi Life Insurance | 48,900 | 582,465 | |||
Daiichi Sankyo | 28,683 | 671,773 | |||
Daikin Industries | 10,500 | 826,860 | |||
Daito Trust Construction | 3,300 | 468,955 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
Daiwa House Industry | 26,800 | 708,037 | |||
Daiwa Securities Group | 72,000 | 413,890 | |||
Denso | 21,700 | 813,038 | |||
Dentsu | 9,900 | 498,164 | |||
Don Quijote Holdings | 5,600 | 199,601 | |||
East Japan Railway | 15,100 | 1,336,173 | |||
Eisai | 11,000 | 678,882 | |||
Electric Power Development | 6,080 | 181,617 | |||
FamilyMart | 2,617 | 139,031 | |||
FANUC | 8,729 | 1,280,589 | |||
Fast Retailing | 2,358 | 608,336 | |||
Fuji Electric | 27,000 | 113,566 | |||
Fuji Heavy Industries | 26,200 | 860,583 | |||
FUJIFILM Holdings | 20,800 | 851,227 | |||
Fujitsu | 85,800 | 298,360 | |||
Fukuoka Financial Group | 33,000 | 110,986 | |||
GungHo Online Entertainment | 19,400 | 49,808 | |||
Gunma Bank | 19,000 | 74,756 | |||
Hachijuni Bank | 20,000 | 86,858 | |||
Hakuhodo DY Holdings | 11,200 | 126,673 | |||
Hamamatsu Photonics | 6,400 | 176,653 | |||
Hankyu Hanshin Holdings | 53,000 | 333,863 | |||
Hikari Tsushin | 700 | 52,477 | |||
Hino Motors | 12,100 | 115,998 | |||
Hirose Electric | 1,365 | 163,569 | |||
Hiroshima Bank | 25,000 | 90,376 | |||
Hisamitsu Pharmaceutical | 2,400 | 113,734 | |||
Hitachi | 215,900 | 977,272 | |||
Hitachi Chemical | 4,000 | 66,761 | |||
Hitachi Construction Machinery | 5,000 | 78,160 | |||
Hitachi High-Technologies | 2,700 | 72,724 | |||
Hitachi Metals | 10,000 | 100,643 | |||
Hokuhoku Financial Group | 51,000 | 63,862 | |||
Hokuriku Electric Power | 7,700 | 100,183 | |||
Honda Motor | 73,359 | 1,949,371 | |||
Hoshizaki Electric | 1,600 | 134,139 | |||
Hoya | 18,600 | 708,150 | |||
Hulic | 14,000 | 136,644 | |||
Idemitsu Kosan | 3,600 | 75,967 |
16
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
IHI | 60,000 | 126,549 | |||
Iida Group Holdings | 5,800 | 108,199 | |||
INPEX | 42,000 | 326,343 | |||
Isetan Mitsukoshi Holdings | 15,020 | 159,205 | |||
Isuzu Motors | 26,900 | 286,348 | |||
ITOCHU | 70,500 | 888,286 | |||
Itochu Techno-Solutions | 1,800 | 35,148 | |||
Iyo Bank | 11,000 | 71,915 | |||
J Front Retailing | 10,800 | 129,314 | |||
Japan Airlines | 5,200 | 188,126 | |||
Japan Airport Terminal | 1,800 | 63,701 | |||
Japan Exchange Group | 24,500 | 364,076 | |||
Japan Post Bank | 18,100 | 218,971 | |||
Japan Post Holdings | 20,100 | 268,504 | |||
Japan Prime Realty Investment | 39 | 171,812 | |||
Japan Real Estate Investment | 58 | 360,064 | |||
Japan Retail Fund Investment | 113 | 276,915 | |||
Japan Tobacco | 49,500 | 2,027,592 | |||
JFE Holdings | 21,560 | 294,393 | |||
JGC | 9,000 | 151,029 | |||
Joyo Bank | 27,462 | 95,559 | |||
JSR | 8,600 | 117,481 | |||
JTEKT | 9,800 | 123,058 | |||
JX Holdings | 97,376 | 410,759 | |||
Kajima | 38,800 | 241,035 | |||
Kakaku.com | 6,700 | 120,575 | |||
Kamigumi | 9,400 | 84,660 | |||
Kaneka | 12,000 | 99,133 | |||
Kansai Electric Power | 30,599 | a | 270,132 | ||
Kansai Paint | 10,000 | 172,643 | |||
Kao | 22,500 | 1,235,076 | |||
Kawasaki Heavy Industries | 65,000 | 179,140 | |||
KDDI | 78,663 | 2,237,521 | |||
Keihan Electric Railway | 21,000 | 151,482 | |||
Keikyu | 20,000 | 181,175 | |||
Keio | 25,000 | 220,762 | |||
Keisei Electric Railway | 12,000 | 164,678 | |||
Keyence | 2,085 | 1,241,744 | |||
Kikkoman | 7,000 | 221,916 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
Kintetsu Group Holdings | 80,354 | 329,466 | |||
Kirin Holdings | 36,700 | 533,122 | |||
Kobe Steel | 133,000 | 125,570 | |||
Koito Manufacturing | 4,500 | 193,578 | |||
Komatsu | 41,700 | 706,682 | |||
Konami Holdings | 4,400 | 137,992 | |||
Konica Minolta | 21,700 | 188,157 | |||
Kose | 1,500 | 136,397 | |||
Kubota | 49,200 | 718,710 | |||
Kuraray | 17,200 | 217,397 | |||
Kurita Water Industries | 4,800 | 114,948 | |||
Kyocera | 14,100 | 690,913 | |||
Kyowa Hakko Kirin | 10,705 | 190,196 | |||
Kyushu Electric Power | 20,600 | a | 205,606 | ||
Kyushu Financial Group | 16,000 | 83,379 | |||
Lawson | 3,000 | 234,184 | |||
LIXIL Group | 11,924 | 248,804 | |||
M3 | 8,100 | 218,897 | |||
Mabuchi Motor | 1,900 | 94,063 | |||
Makita | 5,300 | 329,779 | |||
Marubeni | 71,700 | 376,454 | |||
Marui Group | 9,500 | 143,776 | |||
Maruichi Steel Tube | 2,000 | 57,938 | |||
Mazda Motor | 23,300 | 352,297 | |||
McDonald's Holdings Co. Japan | 3,000 | 74,852 | |||
Medipal Holdings | 5,800 | 91,379 | |||
MEIJI Holdings | 5,542 | 432,763 | |||
Minebea | 15,000 | 120,485 | |||
Miraca Holdings | 2,700 | 114,363 | |||
Mitsubishi | 60,398 | 993,667 | |||
Mitsubishi Chemical Holdings | 60,580 | 312,658 | |||
Mitsubishi Electric | 85,000 | 897,063 | |||
Mitsubishi Estate | 56,000 | 1,064,337 | |||
Mitsubishi Gas Chemical | 16,000 | 86,963 | |||
Mitsubishi Heavy Industries | 132,700 | 463,519 | |||
Mitsubishi Logistics | 6,000 | 80,825 | |||
Mitsubishi Materials | 46,000 | 143,856 | |||
Mitsubishi Motors | 28,600 | 114,752 | |||
Mitsubishi Tanabe Pharma | 10,800 | 193,511 |
18
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
Mitsubishi UFJ Financial Group | 573,090 | 2,613,249 | |||
Mitsubishi UFJ Lease & Finance | 24,300 | 104,783 | |||
Mitsui & Co. | 76,200 | 913,301 | |||
Mitsui Chemicals | 38,000 | 124,650 | |||
Mitsui Fudosan | 42,286 | 1,016,307 | |||
Mitsui OSK Lines | 52,000 | 108,387 | |||
mixi | 1,600 | 53,496 | |||
Mizuho Financial Group | 1,049,600 | 1,560,267 | |||
MS&AD Insurance Group Holdings | 22,157 | 576,258 | |||
Murata Manufacturing | 9,200 | 1,189,695 | |||
Nabtesco | 5,600 | 125,993 | |||
Nagoya Railroad | 39,000 | 197,924 | |||
NEC | 114,800 | 276,535 | |||
NEXON | 6,700 | 98,790 | |||
NGK Insulators | 12,000 | 244,637 | |||
NGK Spark Plug | 7,926 | 156,613 | |||
NH Foods | 8,000 | 177,305 | |||
NHK Spring | 7,000 | 61,608 | |||
Nidec | 10,200 | 737,648 | |||
Nikon | 15,260 | 224,694 | |||
Nintendo | 4,725 | 635,593 | |||
Nippon Building Fund | 61 | 383,887 | |||
Nippon Electric Glass | 17,085 | 89,959 | |||
Nippon Express | 39,000 | 177,960 | |||
Nippon Paint Holdings | 6,900 | 179,845 | |||
Nippon Prologis REIT | 70 | 168,137 | |||
Nippon Steel & Sumitomo Metal | 33,161 | 680,416 | |||
Nippon Telegraph & Telephone | 31,200 | 1,381,162 | |||
Nippon Yusen | 69,800 | 134,112 | |||
Nissan Motor | 111,100 | 988,993 | |||
Nisshin Seifun Group | 9,438 | 153,919 | |||
Nissin Foods Holdings | 2,600 | 120,808 | |||
Nitori Holdings | 3,200 | 294,917 | |||
Nitto Denko | 7,100 | 379,321 | |||
NOK | 4,600 | 75,482 | |||
Nomura Holdings | 159,200 | 668,698 | |||
Nomura Real Estate Holdings | 5,600 | 101,140 | |||
Nomura Real Estate Master Fund | 158 | 246,504 | |||
Nomura Research Institute | 5,830 | 204,730 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
NSK | 20,000 | 172,712 | |||
NTT Data | 5,500 | 285,896 | |||
NTT DOCOMO | 64,500 | 1,521,929 | |||
NTT Urban Development | 5,500 | 51,523 | |||
Obayashi | 30,000 | 296,554 | |||
Obic | 2,600 | 135,038 | |||
Odakyu Electric Railway | 28,000 | 302,469 | |||
Oji Holdings | 35,000 | 141,682 | |||
Olympus | 12,700 | 490,976 | |||
Omron | 9,000 | 284,109 | |||
Ono Pharmaceutical | 18,500 | 825,899 | |||
Oracle Japan | 1,900 | 101,407 | |||
Oriental Land | 9,100 | 633,420 | |||
ORIX | 59,100 | 824,265 | |||
Osaka Gas | 83,000 | 298,274 | |||
OTSUKA | 2,400 | 116,163 | |||
Otsuka Holdings | 17,500 | 682,193 | |||
Panasonic | 98,595 | 868,983 | |||
Park24 | 3,800 | 106,969 | |||
Rakuten | 41,100 | 445,914 | |||
Recruit Holdings | 6,300 | 194,954 | |||
Resona Holdings | 98,400 | 344,286 | |||
Ricoh | 31,300 | 319,560 | |||
Rinnai | 1,500 | 131,792 | |||
Rohm | 4,300 | 186,473 | |||
Ryohin Keikaku | 1,100 | 244,912 | |||
Sankyo | 2,200 | 83,328 | |||
Sanrio | 2,100 | 40,437 | |||
Santen Pharmaceutical | 16,500 | 235,841 | |||
SBI Holdings | 10,830 | 110,413 | |||
Secom | 9,400 | 717,886 | |||
Sega Sammy Holdings | 7,484 | 81,092 | |||
Seibu Holdings | 5,900 | 124,297 | |||
Seiko Epson | 12,100 | 197,839 | |||
Sekisui Chemical | 19,000 | 236,391 | |||
Sekisui House | 27,900 | 481,598 | |||
Seven & I Holdings | 33,960 | 1,390,970 | |||
Seven Bank | 26,000 | 110,384 | |||
Shikoku Electric Power | 8,900 | 109,021 |
20
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
Shimadzu | 11,000 | 164,931 | |||
Shimamura | 1,000 | 134,942 | |||
Shimano | 3,500 | 505,720 | |||
Shimizu | 27,000 | 239,831 | |||
Shin-Etsu Chemical | 18,300 | 1,015,667 | |||
Shinsei Bank | 78,000 | 108,102 | |||
Shionogi & Co. | 13,300 | 676,000 | |||
Shiseido | 16,000 | 357,334 | |||
Shizuoka Bank | 23,400 | 172,552 | |||
Showa Shell Sekiyu | 8,500 | 87,825 | |||
SMC | 2,400 | 581,096 | |||
SoftBank Group | 43,200 | 2,272,287 | |||
Sohgo Security Services | 2,500 | 138,908 | |||
Sompo Japan Nipponkoa Holdings | 14,670 | 380,641 | |||
Sony | 56,980 | 1,385,201 | |||
Sony Financial Holdings | 7,000 | 85,938 | |||
Stanley Electric | 6,600 | 134,393 | |||
Sumitomo | 49,300 | 511,356 | |||
Sumitomo Chemical | 64,000 | 285,575 | |||
Sumitomo Dainippon Pharma | 6,900 | 88,217 | |||
Sumitomo Electric Industries | 32,900 | 391,040 | |||
Sumitomo Heavy Industries | 25,000 | 103,750 | |||
Sumitomo Metal Mining | 23,000 | 253,646 | |||
Sumitomo Mitsui Financial Group | 57,400 | 1,725,453 | |||
Sumitomo Mitsui Trust Holdings | 144,640 | 439,512 | |||
Sumitomo Realty & Development | 16,000 | 456,533 | |||
Sumitomo Rubber Industries | 7,600 | 115,072 | |||
Suntory Beverage & Food | 6,000 | 267,911 | |||
Suruga Bank | 8,000 | 155,091 | |||
Suzuken | 3,212 | 109,204 | |||
Suzuki Motor | 15,800 | 426,312 | |||
Sysmex | 6,800 | 421,835 | |||
T&D Holdings | 26,300 | 250,689 | |||
Taiheiyo Cement | 54,000 | 141,440 | |||
Taisei | 46,000 | 313,157 | |||
Taisho Pharmaceutical Holdings | 1,500 | 122,679 | |||
Taiyo Nippon Sanso | 6,000 | 57,870 | |||
Takashimaya | 12,000 | 87,819 | |||
Takeda Pharmaceutical | 35,600 | 1,692,957 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
TDK | 5,500 | 319,151 | |||
Teijin | 40,000 | 141,814 | |||
Terumo | 13,500 | 514,722 | |||
THK | 5,500 | 111,234 | |||
Tobu Railway | 46,000 | 235,432 | |||
Toho | 5,400 | 137,719 | |||
Toho Gas | 18,000 | 122,942 | |||
Tohoku Electric Power | 19,700 | 251,117 | |||
Tokio Marine Holdings | 30,500 | 983,819 | |||
Tokyo Electric Power Co. Holdings | 64,972 | a | 343,792 | ||
Tokyo Electron | 7,700 | 508,660 | |||
Tokyo Gas | 99,000 | 434,199 | |||
Tokyo Tatemono | 8,500 | 109,915 | |||
Tokyu | 49,820 | 427,854 | |||
Tokyu Fudosan Holdings | 21,900 | 146,636 | |||
TonenGeneral Sekiyu | 13,000 | 123,182 | |||
Toppan Printing | 22,000 | 188,238 | |||
Toray Industries | 64,000 | 534,219 | |||
Toshiba | 180,000 | a | 376,311 | ||
TOTO | 6,000 | 203,897 | |||
Toyo Seikan Group Holdings | 7,100 | 138,512 | |||
Toyo Suisan Kaisha | 4,000 | 141,319 | |||
Toyoda Gosei | 2,400 | 43,796 | |||
Toyota Industries | 7,300 | 314,233 | |||
Toyota Motor | 121,357 | 6,121,654 | |||
Toyota Tsusho | 10,100 | 225,578 | |||
Trend Micro | 4,900 | 184,216 | |||
Unicharm | 16,900 | 347,967 | |||
United Urban Investment | 132 | 228,327 | |||
USS | 9,800 | 154,992 | |||
West Japan Railway | 7,500 | 451,433 | |||
Yahoo! Japan | 61,100 | 273,028 | |||
Yakult Honsha | 4,100 | 204,857 | |||
Yamada Denki | 28,300 | 141,590 | |||
Yamaguchi Financial Group | 9,000 | 83,577 | |||
Yamaha | 7,200 | 207,247 | |||
Yamaha Motor | 11,200 | 181,294 | |||
Yamato Holdings | 15,200 | 303,036 | |||
Yamazaki Baking | 6,000 | 146,562 |
22
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Japan - 21.8% (continued) | |||||
Yaskawa Electric | 11,300 | 131,259 | |||
Yokogawa Electric | 11,500 | 124,402 | |||
Yokohama Rubber | 4,500 | 74,952 | |||
119,711,742 | |||||
Luxembourg - .1% | |||||
RTL Group | 1,680 | 140,536 | |||
SES | 14,758 | 402,809 | |||
543,345 | |||||
Macau - .1% | |||||
MGM China Holdings | 40,000 | 56,043 | |||
Sands China | 107,813 | 384,221 | |||
Wynn Macau | 69,200 | 98,464 | |||
538,728 | |||||
Mexico - .0% | |||||
Fresnillo | 10,059 | 163,998 | |||
Netherlands - 3.0% | |||||
Aegon | 81,552 | 468,367 | |||
AerCap Holdings | 3,567 | a | 142,716 | ||
Akzo Nobel | 10,856 | 770,383 | |||
ASML Holding | 15,614 | 1,509,690 | |||
Boskalis Westminster | 4,086 | 170,412 | |||
Gemalto | 3,592 | 233,740 | |||
Heineken | 10,269 | 962,792 | |||
Heineken Holding | 4,485 | 370,377 | |||
ING Groep | 173,998 | 2,133,836 | |||
Koninklijke Ahold | 37,455 | 815,601 | |||
Koninklijke DSM | 7,981 | 490,169 | |||
Koninklijke KPN | 140,022 | 550,978 | |||
Koninklijke Philips | 43,008 | 1,182,509 | |||
Koninklijke Vopak | 2,912 | 158,311 | |||
NN Group | 14,126 | 489,696 | |||
NXP Semiconductors | 6,050 | a | 515,944 | ||
OCI | 3,786 | a | 74,946 | ||
QIAGEN | 9,940 | a | 223,892 | ||
Randstad Holding | 5,773 | 310,259 | |||
RELX | 44,578 | 748,409 | |||
TNT Express | 23,803 | a | 216,057 | ||
Unilever | 73,088 | 3,212,256 |
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Netherlands - 3.0% (continued) | |||||
Wolters Kluwer | 13,488 | 513,722 | |||
16,265,062 | |||||
New Zealand - .2% | |||||
Auckland International Airport | 42,840 | 183,761 | |||
Contact Energy | 31,118 | 110,520 | |||
Fletcher Building | 31,140 | 181,027 | |||
Meridian Energy | 52,186 | 96,325 | |||
Mighty River Power | 29,098 | 61,286 | |||
Ryman Healthcare | 16,781 | 104,573 | |||
Spark New Zealand | 78,060 | 201,956 | |||
939,448 | |||||
Norway - .6% | |||||
DNB | 42,411 | 543,028 | |||
Gjensidige Forsikring | 9,640 | 165,204 | |||
Norsk Hydro | 62,574 | 272,063 | |||
Orkla | 36,127 | 315,695 | |||
Schibsted, Cl. A | 3,036 | 88,590 | |||
Schibsted, Cl. B | 3,578 | a | 101,183 | ||
Statoil | 48,978 | 861,253 | |||
Telenor | 32,617 | 558,869 | |||
Yara International | 7,988 | 319,701 | |||
3,225,586 | |||||
Portugal - .2% | |||||
Banco Comercial Portugues, Cl. R | 1,375,710 | a | 61,052 | ||
Banco Espirito Santo | 118,053 | a,e | 14 | ||
Energias de Portugal | 103,730 | 368,942 | |||
Galp Energia | 20,343 | 280,542 | |||
Jeronimo Martins | 10,446 | 171,113 | |||
881,663 | |||||
Singapore - 1.3% | |||||
Ascendas Real Estate Investment Trust | 97,433 | 177,868 | |||
CapitaLand | 116,500 | 268,617 | |||
CapitaLand Commercial Trust | 96,000 | 101,864 | |||
CapitaLand Mall Trust | 117,000 | 179,907 | |||
City Developments | 17,000 | 105,167 | |||
ComfortDelGro | 92,700 | 198,817 | |||
DBS Group Holdings | 78,388 | 886,978 | |||
Genting Singapore | 289,327 | 174,825 | |||
Global Logistic Properties | 136,843 | 194,372 |
24
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Singapore - 1.3% (continued) | |||||
Golden Agri-Resources | 278,440 | 82,531 | |||
Hutchison Port Holdings Trust | 265,000 | 117,480 | |||
Jardine Cycle & Carriage | 4,913 | 140,594 | |||
Keppel | 61,500 | 244,764 | |||
Oversea-Chinese Banking | 139,987 | 910,186 | |||
Sembcorp Industries | 43,254 | 92,035 | |||
Sembcorp Marine | 38,000 | 46,903 | |||
Singapore Airlines | 24,233 | 206,926 | |||
Singapore Exchange | 35,000 | 195,444 | |||
Singapore Press Holdings | 69,075 | 208,064 | |||
Singapore Technologies Engineering | 68,000 | 162,377 | |||
Singapore Telecommunications | 355,751 | 1,018,403 | |||
StarHub | 26,918 | 66,043 | |||
Suntec Real Estate Investment Trust | 99,000 | 123,789 | |||
United Overseas Bank | 56,612 | 780,862 | |||
UOL Group | 21,111 | 96,139 | |||
Wilmar International | 88,000 | 241,899 | |||
7,022,854 | |||||
South Africa - .0% | |||||
Mondi | 15,942 | 305,597 | |||
Spain - 3.2% | |||||
Abertis Infraestructuras | 22,614 | 382,326 | |||
ACS Actividades de Construccion y Servicios | 8,622 | 285,562 | |||
Aena | 2,977 | a,d | 425,357 | ||
Amadeus IT Holding, Cl. A | 19,640 | 895,578 | |||
Banco Bilbao Vizcaya Argentaria | 291,124 | 2,004,678 | |||
Banco de Sabadell | 228,322 | 438,533 | |||
Banco Popular Espanol | 79,492 | 217,478 | |||
Banco Santander | 648,149 | 3,300,356 | |||
Bankia | 207,019 | 193,229 | |||
Bankinter | 32,065 | 245,209 | |||
CaixaBank | 117,824 | 353,935 | |||
Distribuidora Internacional de Alimentacion | 28,026 | a | 155,969 | ||
Enagas | 10,045 | 306,335 | |||
Endesa | 13,393 | 281,613 | |||
Ferrovial | 21,094 | 455,698 | |||
Gas Natural SDG | 14,848 | 308,455 | |||
Grifols | 13,598 | 296,220 | |||
Iberdrola | 247,384 | 1,759,505 |
25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Spain - 3.2% (continued) | |||||
Inditex | 49,123 | 1,578,882 | |||
Mapfre | 47,485 | 120,645 | |||
Red Electrica | 4,768 | 426,131 | |||
Repsol | 48,080 | 634,597 | |||
Telefonica | 202,602 | 2,218,440 | |||
Zardoya Otis | 6,905 | 73,495 | |||
17,358,226 | |||||
Sweden - 2.8% | |||||
Alfa Laval | 13,304 | 209,566 | |||
Assa Abloy, Cl. B | 43,979 | 921,598 | |||
Atlas Copco, Cl. A | 29,387 | 759,780 | |||
Atlas Copco, Cl. B | 16,947 | 408,166 | |||
Boliden | 11,860 | 206,551 | |||
Electrolux, Ser. B | 10,732 | 311,808 | |||
Ericsson, Cl. B | 137,383 | 1,111,233 | |||
Getinge, Cl. B | 9,499 | 200,735 | |||
Hennes & Mauritz, Cl. B | 42,828 | 1,521,679 | |||
Hexagon, Cl. B | 11,240 | 447,477 | |||
Husqvarna, Cl. B | 20,372 | 162,211 | |||
ICA Gruppen | 3,218 | 105,853 | |||
Industrivarden, Cl. C | 7,189 | 131,056 | |||
Investment AB Kinnevik, Cl. B | 10,364 | 297,618 | |||
Investor, Cl. B | 19,913 | 729,698 | |||
Lundin Petroleum | 9,154 | a | 172,067 | ||
Millicom International Cellular, SDR | 2,952 | 170,449 | |||
Nordea Bank | 137,208 | 1,329,548 | |||
Sandvik | 46,479 | 477,331 | |||
Securitas, Cl. B | 14,786 | 233,336 | |||
Skandinaviska Enskilda Banken, Cl. A | 67,990 | 648,899 | |||
Skanska, Cl. B | 17,185 | 377,726 | |||
SKF, Cl. B | 18,560 | 342,110 | |||
Svenska Cellulosa, Cl. B | 26,911 | 847,067 | |||
Svenska Handelsbanken, Cl. A | 65,712 | 874,109 | |||
Swedbank, Cl. A | 39,736 | 856,470 | |||
Swedish Match | 8,504 | 269,640 | |||
Tele2, Cl. B | 14,711 | 140,230 | |||
Telia | 116,315 | 554,662 | |||
Volvo, Cl. B | 67,580 | 789,573 | |||
15,608,246 |
26
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Switzerland - 9.2% | |||||
ABB | 98,916 | a | 2,092,712 | ||
Actelion | 4,558 | a | 736,896 | ||
Adecco | 7,226 | 465,546 | |||
Aryzta | 3,764 | a | 146,272 | ||
Baloise Holding | 2,327 | 288,117 | |||
Barry Callebaut | 110 | a | 128,999 | ||
Cie Financiere Richemont | 23,519 | 1,566,078 | |||
Coca-Cola HBC-CDI | 8,469 | a | 173,549 | ||
Credit Suisse Group | 78,966 | a | 1,196,428 | ||
Dufry | 1,787 | a | 235,087 | ||
EMS-Chemie Holding | 349 | 172,703 | |||
Galenica | 181 | a | 264,730 | ||
Geberit | 1,721 | 661,172 | |||
Givaudan | 412 | 812,125 | |||
Glencore | 537,981 | a | 1,294,285 | ||
Julius Baer Group | 9,762 | a | 417,767 | ||
Kuehne + Nagel International | 2,440 | a | 351,716 | ||
LafargeHolcim | 20,326 | a | 1,027,491 | ||
Lindt & Spruengli | 5 | 365,609 | |||
Lindt & Spruengli-PC | 44 | 268,712 | |||
Lonza Group | 2,432 | a | 404,890 | ||
Nestle | 142,712 | 10,625,584 | |||
Novartis | 101,894 | 7,780,281 | |||
Pargesa Holding-BR | 1,256 | 87,082 | |||
Partners Group Holding | 711 | 292,517 | |||
Roche Holding | 31,458 | 7,957,095 | |||
Schindler Holding | 876 | 160,819 | |||
Schindler Holding-PC | 1,967 | 358,450 | |||
SGS | 239 | 526,280 | |||
Sika-BR | 99 | 421,589 | |||
Sonova Holding | 2,370 | 316,909 | |||
Sulzer | 668 | 61,090 | |||
Swatch Group | 2,074 | 138,385 | |||
Swatch Group-BR | 1,371 | 468,811 | |||
Swiss Life Holding | 1,420 | a | 358,647 | ||
Swiss Prime Site | 2,854 | a | 249,882 | ||
Swiss Re | 15,871 | 1,409,006 | |||
Swisscom | 1,125 | 570,916 | |||
Syngenta | 4,183 | 1,686,157 |
27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
Switzerland - 9.2% (continued) | |||||
UBS Group | 164,254 | 2,836,213 | |||
Zurich Insurance Group | 6,780 | a | 1,519,070 | ||
50,895,667 | |||||
United Kingdom - 19.0% | |||||
3i Group | 42,030 | 291,772 | |||
Aberdeen Asset Management | 39,934 | 175,288 | |||
Admiral Group | 9,276 | 252,127 | |||
Aggreko | 10,853 | 172,925 | |||
Anglo American | 62,300 | 700,924 | |||
Antofagasta | 18,804 | 133,441 | |||
ArcelorMittal | 73,083 | 413,974 | |||
ARM Holdings | 62,769 | 862,007 | |||
Ashtead Group | 23,009 | 306,294 | |||
Associated British Foods | 15,604 | 699,920 | |||
AstraZeneca | 56,707 | 3,261,376 | |||
Auto Trader Group | 41,632 | d | 228,651 | ||
Aviva | 180,702 | 1,146,051 | |||
Babcock International Group | 10,761 | 149,345 | |||
BAE Systems | 141,217 | 986,720 | |||
Barclays | 756,455 | 1,904,242 | |||
Barratt Developments | 46,168 | 359,988 | |||
Berkeley Group Holdings | 5,436 | 238,473 | |||
BHP Billiton | 92,837 | 1,267,233 | |||
BP | 821,355 | 4,530,590 | |||
British American Tobacco | 83,549 | 5,098,739 | |||
British Land | 43,080 | 453,634 | |||
BT Group | 380,439 | 2,471,908 | |||
Bunzl | 14,612 | 436,191 | |||
Burberry Group | 20,477 | 355,299 | |||
Capita | 30,393 | 445,422 | |||
Carnival | 8,328 | 414,626 | |||
Centrica | 226,131 | 789,603 | |||
Cobham | 51,208 | 115,560 | |||
Compass Group | 73,348 | 1,308,945 | |||
Croda International | 5,660 | a | 249,305 | ||
Diageo | 112,892 | 3,050,222 | |||
Direct Line Insurance Group | 63,227 | 335,175 | |||
Dixons Carphone | 45,648 | 284,340 | |||
easyJet | 7,546 | 162,607 |
28
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
United Kingdom - 19.0% (continued) | |||||
Experian | 43,203 | 791,822 | |||
G4S | 69,165 | 190,988 | |||
GKN | 79,488 | 323,170 | |||
GlaxoSmithKline | 218,167 | 4,645,172 | |||
Hammerson | 35,471 | 303,555 | |||
Hargreaves Lansdown | 10,863 | 204,885 | |||
HSBC Holdings | 877,618 | 5,823,344 | |||
ICAP | 23,517 | 161,348 | |||
IMI | 12,873 | 176,452 | |||
Imperial Brands | 43,076 | 2,337,979 | |||
Inmarsat | 19,415 | 263,422 | |||
InterContinental Hotels Group | 10,291 | 411,584 | |||
International Consolidated Airlines Group | 37,752 | 290,645 | |||
Intertek Group | 6,956 | 331,709 | |||
Intu Properties | 43,243 | 192,732 | |||
Investec | 26,558 | 203,777 | |||
ITV | 170,697 | 562,963 | |||
J Sainsbury | 63,395 | 267,885 | |||
Johnson Matthey | 8,807 | 372,541 | |||
Kingfisher | 100,822 | 537,098 | |||
Land Securities Group | 35,155 | 582,820 | |||
Legal & General Group | 265,250 | 868,232 | |||
Lloyds Banking Group | 2,564,894 | 2,523,398 | |||
London Stock Exchange Group | 14,071 | 556,973 | |||
Marks & Spencer Group | 73,189 | 453,808 | |||
Mediclinic International | 16,555 | 219,514 | |||
Meggitt | 35,607 | 214,245 | |||
Merlin Entertainments | 30,520 | d | 192,882 | ||
National Grid | 168,204 | 2,400,799 | |||
Next | 6,362 | 473,543 | |||
Old Mutual | 214,716 | 584,623 | |||
Pearson | 35,830 | 422,853 | |||
Persimmon | 13,614 | 395,994 | |||
Petrofac | 12,065 | 149,658 | |||
Provident Financial | 6,844 | 292,163 | |||
Prudential | 115,600 | 2,286,863 | |||
Randgold Resources | 4,176 | 415,687 | |||
Reckitt Benckiser Group | 28,609 | 2,777,292 | |||
RELX | 49,625 | 879,163 |
29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 97.7% (continued) | Shares | Value ($) | |||
United Kingdom - 19.0% (continued) | |||||
Rexam | 32,409 | 296,173 | |||
Rio Tinto | 55,344 | 1,859,052 | |||
Rolls-Royce Holdings | 82,227 | a | 807,442 | ||
Royal Bank of Scotland Group | 153,539 | a | 517,928 | ||
Royal Dutch Shell, Cl. A | 176,736 | 4,624,882 | |||
Royal Dutch Shell, Cl. B | 177,678 | 4,665,317 | |||
Royal Mail | 39,615 | 282,570 | |||
RSA Insurance Group | 44,836 | 301,740 | |||
SABMiller | 43,636 | 2,670,103 | |||
Sage Group | 49,517 | 429,330 | |||
Schroders | 5,838 | 215,145 | |||
Segro | 33,856 | 206,990 | |||
Severn Trent | 10,089 | 328,747 | |||
Shire | 26,678 | 1,665,550 | |||
Sky | 45,131 | 620,266 | |||
Smith & Nephew | 39,278 | 664,922 | |||
Smiths Group | 17,061 | 277,085 | |||
Sports Direct International | 11,250 | a | 63,532 | ||
SSE | 44,344 | 980,289 | |||
St. James's Place | 24,309 | 309,059 | |||
Standard Chartered | 143,830 | 1,167,094 | |||
Standard Life | 86,897 | 415,426 | |||
Tate & Lyle | 21,771 | 186,839 | |||
Taylor Wimpey | 145,518 | 392,792 | |||
Tesco | 363,421 | a | 912,859 | ||
Travis Perkins | 11,023 | 298,329 | |||
Unilever | 57,635 | 2,584,561 | |||
United Utilities Group | 29,703 | 408,319 | |||
Vodafone Group | 1,190,985 | 3,851,535 | |||
Weir Group | 9,166 | 161,476 | |||
Whitbread | 8,082 | 458,345 | |||
William Hill | 40,472 | 185,156 | |||
WM Morrison Supermarkets | 97,954 | 273,977 | |||
Wolseley | 11,411 | 638,926 | |||
Worldpay Group | 62,546 | d | 244,574 | ||
WPP | 57,863 | 1,352,672 | |||
104,455,500 | |||||
Total Common Stocks (cost $492,486,651) | 537,165,156 |
30
Preferred Stocks - .5% | Shares | Value ($) | |||
Germany - .5% | |||||
Bayerische Motoren Werke | 2,457 | 195,206 | |||
Fuchs Petrolub | 2,998 | 128,431 | |||
Henkel & Co. | 7,964 | 909,558 | |||
Porsche Automobil Holding | 6,890 | 384,385 | |||
Volkswagen | 8,163 | 1,180,828 | |||
(cost $2,285,766) | 2,798,408 | ||||
Short-Term Investments - .1% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.30%, 6/23/16 | 695,000 | f | 694,862 | ||
Other Investment - .9% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 4,904,680 | g | 4,904,680 | ||
Total Investments (cost $500,371,791) | 99.2% | 545,563,106 | |||
Cash and Receivables (Net) | .8% | 4,329,164 | |||
Net Assets | 100.0% | 549,892,270 |
ADR—American Depository Receipt
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 London Exchange.
c Security is traded on the Australian Exchange.
d Security 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 April 30, 2016, these securities were valued at $1,509,627 or .27% 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 April 30, 2016, the value of this security amounted to $14 or 0.0% of net assets.
f Held by or on behalf of a counterparty for open financial futures contracts.
g Investment in affiliated money market mutual fund.
31
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Financials | 23.8 |
Consumer Discretionary | 12.4 |
Industrials | 12.4 |
Consumer Staples | 12.2 |
Health Care | 11.7 |
Materials | 7.0 |
Information Technology | 5.0 |
Telecommunication Services | 5.0 |
Energy | 4.9 |
Utilities | 3.8 |
Short-Term/Money Market Investments | 1.0 |
99.2 |
† Based on net assets.
See notes to financial statements.
32
STATEMENT OF FINANCIAL FUTURES
April 30, 2016 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation (Depreciation) at 04/30/2016 ($) | ||
Financial Futures Long | |||||
ASX SPI 200 | 9 | 894,915 | June 2016 | 36,575 | |
DJ Euro Stoxx 50 | 97 | 3,306,566 | June 2016 | 64,442 | |
FTSE 100 | 26 | 2,359,941 | June 2016 | 33,472 | |
Topix | 18 | 2,244,079 | June 2016 | (4,941) | |
Gross Unrealized Appreciation | 134,489 | ||||
Gross Unrealized Depreciation | (4,941) |
See notes to financial statements.
33
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2016 (Unaudited)
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments: |
|
|
|
| ||||
Unaffiliated issuers |
| 495,467,111 |
| 540,658,426 |
| |||
Affiliated issuers |
| 4,904,680 |
| 4,904,680 |
| |||
Cash |
|
|
|
| 673,166 |
| ||
Cash denominated in foreign currency |
|
| 793,822 |
| 805,080 |
| ||
Dividends and interest receivable |
|
|
|
| 3,393,937 |
| ||
Unrealized appreciation on forward foreign |
|
|
|
| 475,638 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 103,041 |
| ||
|
|
|
|
| 551,013,968 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 263,477 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 561,446 |
| ||
Unrealized depreciation on forward foreign |
|
|
|
| 188,797 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 107,848 |
| ||
Interest payable—Note 2 |
|
|
|
| 130 |
| ||
|
|
|
|
| 1,121,698 |
| ||
Net Assets ($) |
|
| 549,892,270 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 556,221,521 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 2,891,911 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| (54,907,139) |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 45,685,977 |
| ||
Net Assets ($) |
|
| 549,892,270 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 36,924,938 |
| |||||
Net Asset Value Per Share ($) |
| 14.89 |
|
See notes to financial statements.
34
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2016 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $740,096 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 7,809,780 |
| ||
Affiliated issuers |
|
| 5,833 |
| ||
Interest |
|
| 1,245 |
| ||
Total Income |
|
| 7,816,858 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 935,321 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 668,087 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 19,260 |
| ||
Loan commitment fees—Note 2 |
|
| 2,977 |
| ||
Interest expense—Note 2 |
|
| 130 |
| ||
Total Expenses |
|
| 1,625,775 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (19,260) |
| ||
Net Expenses |
|
| 1,606,515 |
| ||
Investment Income—Net |
|
| 6,210,343 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (6,977,409) |
| ||||
Net realized gain (loss) on financial futures |
|
| (536,483) |
| ||
Net realized gain (loss) on forward foreign currency exchange contracts | (269,617) |
| ||||
Net Realized Gain (Loss) |
|
| (7,783,509) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (22,571,175) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| 14,288 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 425,291 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (22,131,596) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (29,915,105) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (23,704,762) |
|
See notes to financial statements.
35
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 6,210,343 |
|
|
| 12,436,904 |
| |
Net realized gain (loss) on investments |
| (7,783,509) |
|
|
| (10,619,566) |
| ||
Net unrealized appreciation (depreciation) |
| (22,131,596) |
|
|
| (7,724,841) |
| ||
Net Increase (Decrease) in Net Assets | (23,704,762) |
|
|
| (5,907,503) |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (11,600,761) |
|
|
| (14,805,957) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 110,492,273 |
|
|
| 249,531,941 |
| |
Dividends reinvested |
|
| 10,764,055 |
|
|
| 13,678,033 |
| |
Cost of shares redeemed |
|
| (111,364,389) |
|
|
| (234,901,772) |
| |
Increase (Decrease) in Net Assets | 9,891,939 |
|
|
| 28,308,202 |
| |||
Total Increase (Decrease) in Net Assets | (25,413,584) |
|
|
| 7,594,742 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 575,305,854 |
|
|
| 567,711,112 |
| |
End of Period |
|
| 549,892,270 |
|
|
| 575,305,854 |
| |
Undistributed investment income—net | 2,891,911 |
|
|
| 8,282,329 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 7,530,756 |
|
|
| 15,560,352 |
| |
Shares issued for dividends reinvested |
|
| 709,562 |
|
|
| 872,323 |
| |
Shares redeemed |
|
| (7,595,571) |
|
|
| (14,466,003) |
| |
Net Increase (Decrease) in Shares Outstanding | 644,747 |
|
|
| 1,966,672 |
| |||
See notes to financial statements.
36
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||
April 30, 2016 | Year Ended October 31, | |||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||
Per Share Data ($): | ||||||||
Net asset value, beginning of period | 15.86 | 16.54 | 17.12 | 13.96 | 13.79 | 14.84 | ||
Investment Operations: | ||||||||
Investment income—neta | .17 | .35 | .47 | .35 | .37 | .38 | ||
Net realized and unrealized | (.82) | (.60) | (.49) | 3.20 | .24 | (1.10) | ||
Total from Investment Operations | (.65) | (.25) | (.02) | 3.55 | .61 | (.72) | ||
Distributions: | ||||||||
Dividends from | (.32) | (.43) | (.37) | (.39) | (.44) | (.33) | ||
Dividends from net realized | - | - | (.19) | - | - | - | ||
Total Distributions | (.32) | (.43) | (.56) | (.39) | (.44) | (.33) | ||
Net asset value, end of period | 14.89 | 15.86 | 16.54 | 17.12 | 13.96 | 13.79 | ||
Total Return (%) | (4.14)b | (1.46) | (.13) | 26.01 | 4.79 | (5.03) | ||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses | .61c | .61 | .61 | .61 | .61 | .61 | ||
Ratio of net expenses | .60c | .60 | .60 | .60 | .60 | .60 | ||
Ratio of net investment income | 2.32c | 2.14 | 2.76 | 2.25 | 2.75 | 2.52 | ||
Portfolio Turnover Rate | 2.56b | 8.44 | 10.26 | 23.12 | 11.11 | 6.14 | ||
Net Assets, end of period ($ x 1,000) | 549,892 | 575,306 | 567,711 | 572,605 | 455,018 | 491,377 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective 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
38
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
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 April 30, 2016 in valuing the fund’s investments:
40
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: |
|
|
|
|
Equity Securities - Foreign Common Stocks† | 1,143,957 | 536,021,185†† | 14 | 537,165,156 |
Equity Securities - Foreign Preferred Stocks† | - | 2,798,408†† | - | 2,798,408 |
Mutual Funds | 4,904,680 | - | - | 4,904,680 |
U.S. Treasury | - | 694,862 | - | 694,862 |
Other Financial Instruments: |
|
|
|
|
Financial Futures††† | 134,489 | - | - | 134,489 |
Forward Foreign Currency Exchange Contracts††† | - | 475,638 | - | 475,638 |
Liabilities ($) |
|
|
|
|
Other Financial Instruments: |
|
|
|
|
Financial Futures††† | (4,941) | - | - | (4,941) |
Forward Foreign Currency | - | (188,797) | - | (188,797) |
† See Statement of Investments for additional detailed categorizations.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures. See note above for additional information.
††† Amount shown represents unrealized appreciation (depreciation) at period end.
At October 31, 2015, no 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 10/31/2015 | 13 |
Realized gain (loss) | - |
Change in unrealized appreciation (depreciation) | 1 |
Purchases/Issuances | - |
Sales/Dispositions | - |
Transfers into Level 3 | - |
Transfers out of Level 3 | - |
Balance as of 4/30/2016 | 14 |
The amount of total gains (losses) for the period | 1 |
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 April 30, 2016 were as follows:
Affiliated Investment Company | Value | Purchases ($) | Sales ($) | Value | Net |
Dreyfus Institutional Preferred Plus Money Market Fund | 4,211,240 | 46,286,720 | 45,593,280 | 4,904,680 | .9 |
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
(f) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from
42
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 April 30, 2016, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2016, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
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 fund has an unused capital loss carryover of $12,957,726 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2015. These long-term capital losses can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2015 was as follows: ordinary income $14,805,957. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $555 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 January 11, 2016, the
43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
unsecured credit facility with Citibank, N.A. was $480 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 April 30, 2016 was approximately $19,200 with a related weighted average annualized interest rate of 1.36%.
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 April 30, 2016, fees reimbursed by Dreyfus amounted to $19,260.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, at an annual rate of .25% of the value of the fund’s average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2016, the fund was charged $668,087 pursuant to the Shareholder Services Plan.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $156,561 and Shareholder Services Plan fees $111,829, which are offset against an expense reimbursement currently in effect in the amount of $4,913.
44
(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 April 30, 2016, amounted to $16,988,776 and $13,706,774, 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 April 30, 2016 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at April 30, 2016 are set forth in the Statement of Financial Futures.
45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. 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 April 30, 2016:
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Bank of America | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 126,000 | 178,333 | 184,131 | 5,798 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 13,385,000 | 118,243 | 125,966 | 7,723 |
Bank of Montreal | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 172,481 | 245,896 | 252,057 | 6,161 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 13,620,000 | 124,652 | 128,177 | 3,525 |
46
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: (continued) | ||||
BNP Paribas | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 129,100 | 97,121 | 97,964 | 843 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 184,200 | 264,250 | 269,182 | 4,932 |
Euro, | ||||
Expiring | ||||
6/15/2016 | 330,600 | 368,164 | 379,116 | 10,952 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 27,290,000 | 241,140 | 256,825 | 15,685 |
Citigroup | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 385,800 | 287,212 | 292,754 | 5,542 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 736,200 | 1,049,309 | 1,075,852 | 26,543 |
Euro, | ||||
Expiring | ||||
6/15/2016 | 1,389,256 | 1,561,441 | 1,593,132 | 31,691 |
Credit Suisse International | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 202,830 | 288,567 | 296,407 | 7,840 |
Goldman Sachs International | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 61,919 | 46,845 | 46,986 | 141 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 20,856 | 30,042 | 30,478 | 436 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 36,052,138 | 319,831 | 339,285 | 19,454 |
HSBC | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 298,914 | 222,655 | 226,823 | 4,168 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 321,722 | 457,825 | 470,151 | 12,326 |
47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: (continued) | ||||
HSBC (continued) | ||||
Euro, | ||||
Expiring | ||||
6/15/2016 | 591,772 | 653,422 | 678,615 | 25,193 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 203,524,275 | 1,817,894 | 1,915,358 | 97,464 |
JP Morgan Chase Bank | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 402,151 | 572,345 | 587,687 | 15,342 |
Royal Bank of Canada | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 629,800 | 477,294 | 477,907 | 613 |
Euro, | ||||
Expiring | ||||
6/15/2016 | 1,792,103 | 2,004,927 | 2,055,097 | 50,170 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 89,238,994 | 801,903 | 839,824 | 37,921 |
Standard Chartered Bank | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 127,000 | 95,414 | 96,371 | 957 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 428,100 | 613,088 | 625,608 | 12,520 |
Euro, | ||||
Expiring | ||||
6/15/2016 | 479,400 | 540,694 | 549,753 | 9,059 |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 40,485,000 | 357,209 | 381,003 | 23,794 |
UBS | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 298,913 | 222,651 | 226,822 | 4,171 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 121,200 | 172,296 | 177,117 | 4,821 |
Euro, | ||||
Expiring | ||||
6/15/2016 | 530,800 | 602,583 | 608,696 | 6,113 |
48
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: (continued) | ||||
UBS (continued) | ||||
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 41,660,854 | 371,263 | 392,068 | 20,805 |
Sales: | ||||
Bank of America | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 61,300 | 88,823 | 89,581 | (758) |
Euro, | ||||
Expiring | ||||
6/15/2016 | 239,100 | 265,229 | 274,188 | (8,959) |
Bank of Montreal | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 185,700 | 263,883 | 271,374 | (7,491) |
Danish Krone, | ||||
Expiring | ||||
5/2/2016 | 193,164 | 29,374 | 29,719 | (345) |
BNP Paribas | ||||
Australian Dollar, | ||||
Expiring | ||||
5/2/2016 | 204,886 | 156,146 | 155,786 | 360 |
Citigroup | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 932,506 | 702,887 | 707,607 | (4,720) |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 1,102,219 | 1,559,185 | 1,610,737 | (51,552) |
Euro, | ||||
Expiring | ||||
6/15/2016 | 2,444,053 | 2,786,185 | 2,802,722 | (16,537) |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 142,019,020 | 1,312,172 | 1,336,535 | (24,363) |
Credit Suisse International | ||||
Swiss Franc, | ||||
Expiring | ||||
5/2/2016 | 41,981 | 43,320 | 43,762 | (442) |
Goldman Sachs International | ||||
Euro, | ||||
Expiring | ||||
6/15/2016 | 61,002 | 68,855 | 69,954 | (1,099) |
49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Sales: (continued) | ||||
Goldman Sachs International (continued) | ||||
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 32,258,330 | 289,800 | 303,582 | (13,782) |
HSBC | ||||
British Pound, | ||||
Expiring | ||||
6/15/2016 | 121,500 | 170,975 | 177,555 | (6,580) |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 54,475,000 | 486,097 | 512,662 | (26,565) |
Royal Bank of Canada | ||||
Australian Dollar, | ||||
Expiring | ||||
6/15/2016 | 129,500 | 100,843 | 98,268 | 2,575 |
British Pound, | ||||
Expiring | ||||
6/15/2016 | 189,500 | 274,010 | 276,927 | (2,917) |
Euro, | ||||
Expiring | ||||
6/15/2016 | 306,400 | 347,054 | 351,365 | (4,311) |
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 26,850,000 | 244,138 | 252,684 | (8,546) |
Societe Generale | ||||
British Pound, | ||||
Expiring | ||||
5/3/2016 | 270,250 | 393,351 | 394,877 | (1,526) |
Euro, | ||||
Expiring | ||||
5/2/2016 | 39,572 | 44,793 | 45,312 | (519) |
Standard Chartered Bank | ||||
Japanese Yen, | ||||
Expiring | ||||
6/15/2016 | 25,360,000 | 230,877 | 238,662 | (7,785) |
Gross Unrealized Appreciation | 475,638 | |||
Gross Unrealized Depreciation | (188,797) |
50
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2016 is shown below:
|
| Derivative |
|
|
| Derivative | |
Equity risk | 134,489 | 1 | Equity risk | (4,941) | 1 | ||
Foreign exchange risk | 475,638 | 2 | Foreign exchange risk | (188,797) | 2 | ||
Gross fair value of | 610,127 | (193,738) | |||||
Statement of Assets and Liabilities location: | |||||||
1 | Includes cumulative appreciation (depreciation) on financial futures as reported in the Statement | ||||||
2 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2016 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | |||||||||
Underlying | Financial | 1 | Forward | 2 | Total | ||||
Equity | (536,483) | - | (536,483) | ||||||
Foreign | - | (269,617) | (269,617) | ||||||
Total | (536,483) | (269,617) | (806,100) | ||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($) | |||||||||
Underlying | Financial | 3 | Forward | 4 | Total | ||||
Equity | 14,288 | - | 14,288 | ||||||
Foreign | - | 425,291 | 425,291 | ||||||
Total | 14,288 | 425,291 | 439,579 | ||||||
Statement of Operations location: | |||||||||
1 | Net realized gain (loss) on financial futures. | ||||||||
2 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||
3 | Net unrealized appreciation (depreciation) on financial futures. | ||||||||
4 | Net unrealized appreciation (depreciation) on forward foreign |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such
51
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2016, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) | |
Financial futures | 134,489 | (4,941) | |||
Forward contracts | 475,638 | (188,797) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 610,127 | (193,738) | |||
Derivatives not subject to | |||||
Master Agreements | (142,329) | 5,383 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 467,798 | (188,355) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2016:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Bank of America | 13,521 | (9,717) | - | 3,804 | ||
Bank of Montreal | 9,686 | (7,836) | - | 1,850 | ||
BNP Paribas | 32,772 | - | - | 32,772 | ||
Citigroup | 63,776 | (63,776) | - | - | ||
Goldman Sachs | 20,031 | (14,881) | - | 5,150 | ||
HSBC | 139,151 | (33,145) | - | 106,006 | ||
JP Morgan | 15,342 | - | - | 15,342 | ||
Royal Bank | 91,279 | (15,774) | - | 75,505 | ||
Standard | 46,330 | (7,785) | - | 38,545 | ||
UBS | 35,910 | - | - | 35,910 | ||
Total | 467,798 | (152,914) | - | 314,884 | ||
52
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Bank of America | (9,717) | 9,717 | - | - | ||
Bank of Montreal | (7,836) | 7,836 | - | - | ||
Citigroup | (97,172) | 63,776 | - | (33,396) | ||
Goldman Sachs | (14,881) | 14,881 | - | - | ||
HSBC | (33,145) | 33,145 | - | - | ||
Royal Bank | (15,774) | 15,774 | - | - | ||
Societe Generale | (2,045) | - | - | (2,045) | ||
Standard | (7,785) | 7,785 | - | - | ||
Total | (188,355) | 152,914 | - | (35,441) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented | ||||||
† See Statement of Investments for detailed information regarding collateral held for open |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2016:
|
| Average Market Value ($) |
Equity financial futures | 8,751,078 | |
Forward contracts | 7,100,225 | |
At April 30, 2016, accumulated net unrealized appreciation on investments was $45,191,315, consisting of $113,609,902 gross unrealized appreciation and $68,418,587 gross unrealized depreciation.
At April 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Subsequent Event:
On May 17, 2016, the Board approved, effective on or about August 31, 2016, a proposal to commence offering Class I shares as a new class of shares of the fund, and the redesignation of existing shares as Investor shares.
53
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 17-18, 2016, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2015, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the
54
“Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was variously above, at or below the Performance Group medians and at or below the Performance Universe medians for the periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median, the fund’s actual management fee was above the Expense Group and Expense Universe medians and that the fund’s total expenses were below the Expense Group median and above the Expense Universe median.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus
55
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board generally was satisfied with the fund’s relative performance.
· The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through
56
meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years. The Board determined to renew the Agreement.
57
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.
© 2016 MBSC Securities Corporation |
Dreyfus S&P 500 Index Fund
SEMIANNUAL REPORT April 30, 2016 |
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 | |
the Fund’s Management Agreement |
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 semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2015 through April 30, 2016. 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.
A choppy U.S. economic recovery remained intact over the reporting period. Steady job growth, declining unemployment claims, improved consumer confidence, and higher housing prices supported an economic expansion that so far has lasted nearly seven years. These factors, along with low inflation, prompted the Federal Reserve Board in December 2015 to raise short-term interest rates for the first time in nearly a decade.
On the other hand, the global economy continued to stagnate despite historically aggressive monetary policies, including negative short-term interest rates in Europe and Japan. Global growth has been hampered by weak demand, volatile commodity prices, the lingering effects of various financial crises, unfavorable demographic trends, and low productivity growth. These developments proved especially challenging for financial markets in early 2016, but stocks and riskier sectors of the bond market later rallied strongly to post positive total returns, on average, for the reporting period overall.
While we are encouraged by the recent resilience of the financial markets, we expect volatility to persist over the foreseeable future until global economic uncertainty abates. In addition, wide differences in underlying fundamental and technical influences across various asset classes, economic sectors, and regional markets suggest that selectivity may be an important determinant of investment success over the months ahead. We encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
May 16, 2016
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2015 through April 30, 2016, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2016, Dreyfus S&P 500 Index Fund produced a total return of 0.16%.1 In comparison, the Standard & Poor’s 500® Composite Stock Price Index (“S&P 500 Index”), the fund’s benchmark, returned 0.43% for the same period.2,3
U.S. equities posted roughly flat total returns, on average, over the reporting period amid shifting investor sentiment stemming from various global and domestic economic developments. 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.
Flat Market Returns Masked Heightened Volatility
U.S. stock prices proved volatile over the last two months of 2015 when investor sentiment vacillated between concerns about the global economy and optimism regarding job growth and other positive developments in the United States. In January 2016, disappointing economic data from China sparked renewed weakness in commodity prices, and investors again grew concerned about the potential impact of China’s economic troubles on the United States. Moreover, U.S. investors worried that a December 2015 increase in short-term interest rates might weigh on the domestic economic recovery, and Japan surprised investors by adopting negative short-term interest rates for the first time. Consequently, U.S. stocks declined particularly sharply in January.
The market’s slide continued into February, but strong U.S. economic data and better-than-expected corporate earnings helped trigger a rebound later in the month. The rally continued through March and, to a lesser extent, April after the Federal Reserve Board (the “Fed”) indicated that it would proceed cautiously with regard to additional 2016 rate hikes, commodity prices rebounded, and central banks in China and Europe adopted additional monetary easing programs. Investors responded to these developments with renewed confidence, enabling the S&P 500 Index to end the reporting period with a slightly positive total return.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Divergent Returns across Market Sectors
The various sectors that comprise the S&P 500 Index produced widely disparate returns over the reporting period. The consumer staples sector led the broader market, supported by strong investor demand for traditionally defensive companies with steady earnings and high dividend yields. Tobacco stocks fared particularly well in a consolidating industry that achieved higher sales in the emerging markets. Industrials stocks also fared relatively well, particularly over the reporting period’s second half when rising commodity prices appeared likely to drive greater demand from the energy sector for industrial products and services. A weakening U.S. dollar against most foreign currencies also proved beneficial to industrial companies as investors looked forward to more robust export activity. Finally, the utilities sector benefited from investors’ preference for companies with stable earnings and attractive dividend payouts.
On the other hand, health care stocks lost significant value, on average, giving back a portion of the gains achieved earlier in 2015. The industry group was hurt during the reporting period by intensifying political rhetoric regarding high drug prices, efforts by insurance companies to control reimbursement rates, and U.S. regulatory changes that put a damper on mergers-and-acquisitions activity. In the financials sector, sluggish global growth and low interest-rates weighed on bank stocks. Investors grew concerned that the Fed’s deferral of U.S. interest rate hikes and negative rates in Japan and Europe would put downward pressure on banks’ profit margins. Moreover, distressed loans to troubled oil-and-gas companies threatened future lending volumes and earnings. Finally, the information technology sector lost value when large U.S. technology companies encountered softer revenues in the emerging markets and consumer electronics giant Apple reported lower revenues stemming from declining smartphone sales.
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, commodity prices have stabilized, and aggressively accommodative monetary policies remain 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.
May 16, 2016
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from November 1, 2015 to April 30, 2016. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended April 30, 2016 | |||||||||
Expenses paid per $1,000† | $2.49 | ||||||||
Ending value (after expenses) | $1,001.60 |
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 April 30, 2016 | |||||||||
Expenses paid per $1,000† | $2.51 | ||||||||
Ending value (after expenses) | $1,022.38 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2016 (Unaudited)
Common Stocks - 99.5% | Shares | Value ($) | |||
Automobiles & Components - .9% | |||||
BorgWarner | 31,363 | 1,126,559 | |||
Delphi Automotive | 40,183 | 2,958,674 | |||
Ford Motor | 554,893 | 7,524,349 | |||
General Motors | 202,481 | 6,438,896 | |||
Goodyear Tire & Rubber | 36,796 | 1,065,980 | |||
Harley-Davidson | 27,194 | 1,300,689 | |||
Johnson Controls | 91,671 | 3,795,179 | |||
24,210,326 | |||||
Banks - 5.6% | |||||
Bank of America | 1,472,783 | 21,443,720 | |||
BB&T | 110,527 | 3,910,445 | |||
Citigroup | 419,701 | 19,423,762 | |||
Citizens Financial Group | 74,642 | 1,705,570 | |||
Comerica | 25,822 | 1,146,497 | |||
Fifth Third Bancorp | 114,737 | 2,100,834 | |||
Huntington Bancshares | 111,716 | 1,123,863 | |||
JPMorgan Chase & Co. | 522,430 | 33,017,576 | |||
KeyCorp | 121,665 | 1,495,263 | |||
M&T Bank | 22,728 | 2,689,177 | |||
People's United Financial | 41,000 | a | 635,500 | ||
PNC Financial Services Group | 72,312 | 6,347,547 | |||
Regions Financial | 191,223 | 1,793,672 | |||
SunTrust Banks | 73,317 | 3,060,252 | |||
U.S. Bancorp | 233,259 | 9,957,827 | |||
Wells Fargo & Co. | 657,363 | 32,855,003 | |||
Zions Bancorporation | 27,228 | 749,315 | |||
143,455,823 | |||||
Capital Goods - 7.3% | |||||
3M | 86,147 | 14,419,285 | |||
Allegion | 14,040 | 918,918 | |||
AMETEK | 34,006 | 1,635,349 | |||
Boeing | 89,239 | 12,029,417 | |||
Caterpillar | 82,551 | 6,415,864 | |||
Cummins | 23,571 | 2,758,514 | |||
Danaher | 85,085 | 8,231,974 | |||
Deere & Co. | 42,667 | a | 3,588,721 | ||
Dover | 23,040 | 1,513,728 |
6
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Capital Goods - 7.3% (continued) | |||||
Eaton | 65,033 | 4,114,638 | |||
Emerson Electric | 91,579 | 5,002,961 | |||
Fastenal | 40,718 | a | 1,905,195 | ||
Flowserve | 18,334 | a | 894,883 | ||
Fluor | 21,174 | 1,157,371 | |||
General Dynamics | 42,119 | 5,918,562 | |||
General Electric | 1,328,332 | 40,846,209 | |||
Honeywell International | 109,471 | 12,509,251 | |||
Illinois Tool Works | 47,209 | 4,934,285 | |||
Ingersoll-Rand | 36,600 | 2,398,764 | |||
Jacobs Engineering Group | 17,187 | b | 766,196 | ||
L-3 Communications Holdings | 11,104 | 1,460,509 | |||
Lockheed Martin | 37,423 | 8,696,357 | |||
Masco | 47,682 | 1,464,314 | |||
Northrop Grumman | 25,859 | 5,333,677 | |||
PACCAR | 50,770 | 2,990,861 | |||
Parker Hannifin | 19,382 | 2,248,700 | |||
Pentair | 25,814 | 1,499,277 | |||
Quanta Services | 22,868 | b | 542,429 | ||
Raytheon | 42,566 | 5,378,214 | |||
Rockwell Automation | 18,832 | 2,136,867 | |||
Rockwell Collins | 18,273 | 1,611,496 | |||
Roper Technologies | 14,225 | 2,504,880 | |||
Snap-on | 8,204 | 1,306,733 | |||
Stanley Black & Decker | 21,242 | 2,377,405 | |||
Textron | 40,305 | 1,558,997 | |||
United Rentals | 13,155 | b | 880,464 | ||
United Technologies | 110,082 | 11,489,258 | |||
W.W. Grainger | 8,435 | a | 1,978,176 | ||
Xylem | 24,164 | 1,009,572 | |||
188,428,271 | |||||
Commercial & Professional Services - .9% | |||||
ADT | 23,096 | 969,570 | |||
Cintas | 12,593 | 1,130,600 | |||
Dun & Bradstreet | 4,654 | 513,848 | |||
Equifax | 16,854 | 2,026,693 | |||
Nielsen Holdings | 52,965 | 2,761,595 | |||
Pitney Bowes | 30,789 | 645,645 | |||
Republic Services | 34,684 | 1,632,576 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Commercial & Professional Services - .9% (continued) | |||||
Robert Half International | 18,264 | 699,694 | |||
S&P Global | 37,786 | 4,037,434 | |||
Stericycle | 11,755 | a,b | 1,123,308 | ||
Tyco International | 59,716 | 2,300,260 | |||
Verisk Analytics | 21,801 | b | 1,691,322 | ||
Waste Management | 59,892 | 3,521,051 | |||
23,053,596 | |||||
Consumer Durables & Apparel - 1.5% | |||||
Coach | 39,210 | 1,578,987 | |||
D.R. Horton | 44,590 | 1,340,375 | |||
Garmin | 17,809 | 759,198 | |||
Hanesbrands | 57,159 | 1,659,326 | |||
Harman International Industries | 9,741 | 747,719 | |||
Hasbro | 15,441 | 1,306,926 | |||
Leggett & Platt | 19,450 | 958,691 | |||
Lennar, Cl. A | 25,998 | 1,177,969 | |||
Mattel | 47,399 | 1,473,635 | |||
Michael Kors Holdings | 25,574 | b | 1,321,153 | ||
Mohawk Industries | 8,965 | b | 1,726,928 | ||
Newell Rubbermaid | 62,038 | 2,825,211 | |||
NIKE, Cl. B | 190,836 | 11,247,874 | |||
PulteGroup | 47,830 | 879,594 | |||
PVH | 11,282 | 1,078,559 | |||
Ralph Lauren | 8,323 | 775,787 | |||
Under Armour, Cl. A | 25,244 | a,b | 1,109,221 | ||
Under Armour, Cl. C | 25,244 | b | 1,029,955 | ||
VF | 47,270 | 2,980,373 | |||
Whirlpool | 11,288 | 1,965,692 | |||
37,943,173 | |||||
Consumer Services - 1.8% | |||||
Carnival | 65,060 | 3,191,193 | |||
Chipotle Mexican Grill | 4,432 | a,b | 1,865,739 | ||
Darden Restaurants | 16,063 | 999,922 | |||
H&R Block | 33,627 | 680,610 | |||
Marriott International, Cl. A | 28,132 | a | 1,971,772 | ||
McDonald's | 128,378 | 16,238,533 | |||
Royal Caribbean Cruises | 23,435 | 1,813,869 | |||
Starbucks | 210,185 | 11,818,703 | |||
Starwood Hotels & Resorts Worldwide | 23,832 | c | 1,951,364 |
8
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Consumer Services - 1.8% (continued) | |||||
Wyndham Worldwide | 16,040 | a | 1,138,038 | ||
Wynn Resorts | 12,008 | 1,060,306 | |||
Yum! Brands | 58,223 | 4,632,222 | |||
47,362,271 | |||||
Diversified Financials - 4.7% | |||||
Affiliated Managers Group | 7,657 | b | 1,304,140 | ||
American Express | 116,682 | 7,634,503 | |||
Ameriprise Financial | 24,076 | 2,308,888 | |||
Bank of New York Mellon | 153,190 | 6,164,366 | |||
Berkshire Hathaway, Cl. B | 266,678 | b | 38,796,315 | ||
BlackRock | 17,966 | 6,401,825 | |||
Capital One Financial | 75,452 | 5,461,970 | |||
Charles Schwab | 168,162 | 4,777,482 | |||
CME Group | 47,399 | 4,356,442 | |||
Discover Financial Services | 59,024 | 3,321,280 | |||
E*TRADE Financial | 39,800 | b | 1,002,164 | ||
Franklin Resources | 55,318 | 2,065,574 | |||
Goldman Sachs Group | 56,255 | 9,232,008 | |||
Intercontinental Exchange | 16,814 | 4,035,864 | |||
Invesco | 59,909 | 1,857,778 | |||
Legg Mason | 15,365 | 493,370 | |||
Leucadia National | 46,781 | 780,307 | |||
Moody's | 24,548 | 2,349,735 | |||
Morgan Stanley | 214,441 | 5,802,773 | |||
Nasdaq | 15,939 | 983,596 | |||
Navient | 53,040 | 725,057 | |||
Northern Trust | 30,704 | 2,182,440 | |||
State Street | 57,414 | 3,576,892 | |||
Synchrony Financial | 117,156 | b | 3,581,459 | ||
T. Rowe Price Group | 35,643 | 2,683,561 | |||
121,879,789 | |||||
Energy - 7.3% | |||||
Anadarko Petroleum | 71,591 | 3,777,141 | |||
Apache | 52,302 | 2,845,229 | |||
Baker Hughes | 61,988 | 2,997,740 | |||
Cabot Oil & Gas | 65,114 | 1,523,668 | |||
Chesapeake Energy | 71,022 | a,b | 487,921 | ||
Chevron | 268,042 | 27,388,532 | |||
Cimarex Energy | 12,815 | 1,395,297 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Energy - 7.3% (continued) | |||||
Columbia Pipeline Group | 54,263 | 1,390,218 | |||
Concho Resources | 18,283 | b | 2,123,936 | ||
ConocoPhillips | 175,946 | 8,408,459 | |||
Devon Energy | 72,460 | 2,512,913 | |||
Diamond Offshore Drilling | 7,841 | 190,223 | |||
EOG Resources | 77,838 | 6,430,976 | |||
EQT | 22,709 | 1,591,901 | |||
Exxon Mobil | 591,111 | 52,254,212 | |||
FMC Technologies | 34,131 | b | 1,040,654 | ||
Halliburton | 121,004 | 4,998,675 | |||
Helmerich & Payne | 16,059 | a | 1,061,821 | ||
Hess | 37,663 | 2,245,468 | |||
Kinder Morgan | 258,649 | 4,593,606 | |||
Marathon Oil | 119,824 | 1,688,320 | |||
Marathon Petroleum | 76,694 | 2,997,202 | |||
Murphy Oil | 22,475 | a | 803,257 | ||
National Oilwell Varco | 55,701 | a | 2,007,464 | ||
Newfield Exploration | 28,152 | b | 1,020,510 | ||
Noble Energy | 59,628 | 2,153,167 | |||
Occidental Petroleum | 108,298 | 8,301,042 | |||
ONEOK | 30,861 | a | 1,115,625 | ||
Phillips 66 | 67,586 | a | 5,549,486 | ||
Pioneer Natural Resources | 23,216 | 3,856,178 | |||
Range Resources | 24,652 | a | 1,087,400 | ||
Schlumberger | 197,075 | 15,833,005 | |||
Southwestern Energy | 54,689 | b | 734,473 | ||
Spectra Energy | 96,202 | 3,008,237 | |||
Tesoro | 17,538 | 1,397,603 | |||
Transocean | 50,522 | a | 559,784 | ||
Valero Energy | 68,293 | 4,020,409 | |||
Williams | 94,467 | 1,831,715 | |||
187,223,467 | |||||
Food & Staples Retailing - 2.3% | |||||
Costco Wholesale | 62,590 | 9,271,457 | |||
CVS Health | 156,851 | 15,763,525 | |||
Kroger | 138,753 | 4,910,469 | |||
Sysco | 74,538 | 3,433,966 | |||
Walgreens Boots Alliance | 123,271 | 9,772,925 | |||
Wal-Mart Stores | 223,308 | 14,932,606 |
10
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Food & Staples Retailing - 2.3% (continued) | |||||
Whole Foods Market | 46,287 | a | 1,346,026 | ||
59,430,974 | |||||
Food, Beverage & Tobacco - 5.8% | |||||
Altria Group | 277,505 | 17,402,339 | |||
Archer-Daniels-Midland | 86,551 | 3,456,847 | |||
Brown-Forman, Cl. B | 15,100 | 1,454,432 | |||
Campbell Soup | 25,583 | a | 1,578,727 | ||
Coca-Cola | 553,987 | 24,818,618 | |||
Coca-Cola Enterprises | 29,578 | 1,552,253 | |||
ConAgra Foods | 61,775 | 2,752,694 | |||
Constellation Brands, Cl. A | 25,027 | 3,905,714 | |||
Dr. Pepper Snapple Group | 26,690 | 2,426,388 | |||
General Mills | 84,535 | 5,185,377 | |||
Hershey | 21,237 | 1,977,377 | |||
Hormel Foods | 38,446 | 1,482,093 | |||
J.M. Smucker | 16,830 | 2,137,073 | |||
Kellogg | 36,037 | 2,768,002 | |||
Kraft Heinz | 84,094 | 6,565,219 | |||
McCormick & Co. | 16,359 | 1,534,147 | |||
Mead Johnson Nutrition | 26,578 | 2,316,273 | |||
Molson Coors Brewing, Cl. B | 25,693 | 2,457,022 | |||
Mondelez International, Cl. A | 225,207 | 9,674,893 | |||
Monster Beverage | 21,372 | b | 3,082,270 | ||
PepsiCo | 205,774 | 21,186,491 | |||
Philip Morris International | 220,531 | 21,638,502 | |||
Reynolds American | 117,033 | 5,804,837 | |||
Tyson Foods, Cl. A | 42,796 | 2,816,833 | |||
149,974,421 | |||||
Health Care Equipment & Services - 5.1% | |||||
Abbott Laboratories | 211,051 | 8,209,884 | |||
Aetna | 49,754 | 5,585,882 | |||
AmerisourceBergen | 27,772 | 2,363,397 | |||
Anthem | 36,810 | 5,181,744 | |||
Baxter International | 76,566 | 3,385,749 | |||
Becton Dickinson & Co. | 29,794 | 4,804,580 | |||
Boston Scientific | 191,874 | b | 4,205,878 | ||
C.R. Bard | 10,260 | 2,176,864 | |||
Cardinal Health | 46,696 | 3,663,768 | |||
Centene | 24,197 | b | 1,499,246 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Health Care Equipment & Services - 5.1% (continued) | |||||
Cerner | 42,485 | b | 2,385,108 | ||
Cigna | 36,106 | 5,002,125 | |||
DaVita HealthCare Partners | 23,676 | b | 1,749,656 | ||
Dentsply Sirona | 34,149 | 2,035,280 | |||
Edwards Lifesciences | 29,723 | b | 3,156,880 | ||
Express Scripts Holding | 91,983 | b | 6,781,907 | ||
HCA Holdings | 43,537 | b | 3,509,953 | ||
Henry Schein | 11,905 | b | 2,008,374 | ||
Hologic | 35,136 | b | 1,180,218 | ||
Humana | 20,847 | 3,691,378 | |||
Intuitive Surgical | 5,226 | b | 3,273,357 | ||
Laboratory Corporation of America Holdings | 14,147 | b | 1,772,902 | ||
McKesson | 32,344 | 5,427,970 | |||
Medtronic | 199,721 | 15,807,917 | |||
Patterson | 10,983 | 476,113 | |||
Quest Diagnostics | 20,733 | 1,558,500 | |||
St. Jude Medical | 39,842 | 3,035,960 | |||
Stryker | 44,407 | 4,840,807 | |||
UnitedHealth Group | 134,857 | 17,757,970 | |||
Universal Health Services, Cl. B | 12,998 | 1,737,573 | |||
Varian Medical Systems | 14,697 | a,b | 1,193,102 | ||
Zimmer Biomet Holdings | 25,461 | 2,947,620 | |||
132,407,662 | |||||
Household & Personal Products - 2.1% | |||||
Church & Dwight | 18,570 | 1,721,439 | |||
Clorox | 18,682 | 2,339,547 | |||
Colgate-Palmolive | 126,390 | 8,963,579 | |||
Estee Lauder, Cl. A | 31,807 | 3,049,337 | |||
Kimberly-Clark | 51,458 | 6,442,027 | |||
Procter & Gamble | 377,732 | 30,263,888 | |||
52,779,817 | |||||
Insurance - 2.6% | |||||
Aflac | 60,969 | 4,205,032 | |||
Allstate | 54,966 | 3,575,538 | |||
American International Group | 162,784 | 9,086,603 | |||
Aon | 38,855 | 4,084,438 | |||
Assurant | 9,075 | 767,473 | |||
Chubb | 65,145 | 7,677,990 | |||
Cincinnati Financial | 20,863 | 1,377,167 |
12
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Insurance - 2.6% (continued) | |||||
Hartford Financial Services Group | 56,505 | 2,507,692 | |||
Lincoln National | 34,346 | 1,492,334 | |||
Loews | 38,186 | 1,515,220 | |||
Marsh & McLennan Cos. | 74,646 | 4,713,895 | |||
MetLife | 155,998 | 7,035,510 | |||
Principal Financial Group | 37,774 | 1,612,194 | |||
Progressive | 82,228 | 2,680,633 | |||
Prudential Financial | 63,219 | 4,908,323 | |||
Torchmark | 17,186 | 994,898 | |||
Travelers | 42,026 | 4,618,657 | |||
Unum Group | 34,029 | 1,164,132 | |||
Willis Towers Watson | 19,466 | 2,431,303 | |||
XL Group | 43,524 | 1,424,541 | |||
67,873,573 | |||||
Materials - 2.9% | |||||
Air Products & Chemicals | 27,116 | 3,955,953 | |||
Airgas | 9,196 | 1,309,878 | |||
Alcoa | 184,239 | 2,057,950 | |||
Avery Dennison | 12,864 | 934,055 | |||
Ball | 20,186 | 1,440,877 | |||
CF Industries Holdings | 33,739 | 1,115,749 | |||
Dow Chemical | 159,431 | 8,387,665 | |||
E.I. du Pont de Nemours & Co. | 124,239 | 8,188,592 | |||
Eastman Chemical | 21,615 | 1,650,954 | |||
Ecolab | 37,371 | 4,296,918 | |||
FMC | 20,049 | 867,320 | |||
Freeport-McMoRan | 178,033 | a | 2,492,462 | ||
International Flavors & Fragrances | 11,513 | 1,375,458 | |||
International Paper | 59,585 | 2,578,243 | |||
LyondellBasell Industries, Cl. A | 49,253 | 4,071,746 | |||
Martin Marietta Materials | 9,412 | 1,592,793 | |||
Monsanto | 61,902 | 5,798,979 | |||
Mosaic | 50,150 | a | 1,403,699 | ||
Newmont Mining | 75,244 | 2,631,283 | |||
Nucor | 44,228 | 2,201,670 | |||
Owens-Illinois | 24,720 | b | 456,331 | ||
PPG Industries | 38,806 | 4,283,794 | |||
Praxair | 40,192 | 4,720,952 | |||
Sealed Air | 28,605 | 1,354,733 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Materials - 2.9% (continued) | |||||
Sherwin-Williams | 11,125 | 3,196,324 | |||
Vulcan Materials | 18,324 | 1,972,212 | |||
WestRock | 37,264 | 1,559,498 | |||
75,896,088 | |||||
Media - 3.2% | |||||
Cablevision Systems, Cl. A | 31,208 | 1,042,035 | |||
CBS, Cl. B | 60,102 | 3,360,303 | |||
Comcast, Cl. A | 345,993 | 21,022,535 | |||
Discovery Communications, Cl. A | 22,533 | b | 615,376 | ||
Discovery Communications, Cl. C | 37,090 | b | 993,270 | ||
Interpublic Group of Companies | 56,352 | 1,292,715 | |||
News Corp., Cl. A | 53,892 | 669,339 | |||
News Corp., Cl. B | 14,675 | 190,188 | |||
Omnicom Group | 33,847 | 2,808,286 | |||
Scripps Networks Interactive, Cl. A | 12,887 | a | 803,504 | ||
TEGNA | 33,379 | 779,733 | |||
Time Warner | 113,308 | 8,513,963 | |||
Time Warner Cable | 40,063 | 8,497,763 | |||
Twenty-First Century Fox, Cl. A | 159,484 | 4,825,986 | |||
Twenty-First Century Fox, Cl. B | 60,658 | 1,827,019 | |||
Viacom, Cl. B | 50,262 | 2,055,716 | |||
Walt Disney | 213,706 | 22,067,282 | |||
81,365,013 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 9.4% | |||||
AbbVie | 229,399 | 13,993,339 | |||
Agilent Technologies | 46,091 | 1,886,044 | |||
Alexion Pharmaceuticals | 31,861 | b | 4,437,600 | ||
Allergan | 56,178 | b | 12,165,908 | ||
Amgen | 106,553 | 16,867,340 | |||
Baxalta | 96,950 | 4,067,052 | |||
Biogen | 31,368 | b | 8,625,886 | ||
Bristol-Myers Squibb | 237,625 | 17,151,772 | |||
Celgene | 111,121 | b | 11,491,023 | ||
Eli Lilly & Co. | 138,107 | 10,431,222 | |||
Endo International | 28,768 | b | 776,736 | ||
Gilead Sciences | 194,557 | 17,161,873 | |||
Illumina | 20,919 | b | 2,823,856 | ||
Johnson & Johnson | 392,773 | 44,021,998 | |||
Mallinckrodt | 16,196 | b | 1,012,574 |
14
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 9.4% (continued) | |||||
Merck & Co. | 396,174 | 21,726,182 | |||
Mylan | 57,892 | b | 2,414,675 | ||
PerkinElmer | 16,213 | 817,459 | |||
Perrigo | 20,853 | 2,015,860 | |||
Pfizer | 861,189 | 28,169,492 | |||
Regeneron Pharmaceuticals | 11,111 | b | 4,185,625 | ||
Thermo Fisher Scientific | 56,457 | 8,143,922 | |||
Vertex Pharmaceuticals | 34,737 | b | 2,929,719 | ||
Waters | 11,614 | b | 1,511,678 | ||
Zoetis | 64,699 | 3,042,794 | |||
241,871,629 | |||||
Real Estate - 2.9% | |||||
American Tower | 59,600 | c | 6,250,848 | ||
Apartment Investment & Management, Cl. A | 20,739 | c | 830,804 | ||
AvalonBay Communities | 19,317 | c | 3,415,052 | ||
Boston Properties | 21,872 | c | 2,818,426 | ||
CBRE Group, Cl. A | 40,778 | b,c | 1,208,252 | ||
Crown Castle International | 47,020 | c | 4,085,098 | ||
Equinix | 9,703 | c | 3,205,386 | ||
Equity Residential | 51,077 | c | 3,476,811 | ||
Essex Property Trust | 9,282 | c | 2,046,217 | ||
Extra Space Storage | 17,477 | c | 1,484,671 | ||
Federal Realty Investment Trust | 9,832 | c | 1,495,251 | ||
General Growth Properties | 82,391 | c | 2,309,420 | ||
HCP | 64,376 | a,c | 2,177,840 | ||
Host Hotels & Resorts | 108,113 | c | 1,710,348 | ||
Iron Mountain | 26,769 | c | 977,872 | ||
Kimco Realty | 56,336 | c | 1,584,168 | ||
Macerich | 18,971 | c | 1,443,314 | ||
Prologis | 72,785 | c | 3,305,167 | ||
Public Storage | 20,799 | c | 5,091,803 | ||
Realty Income | 35,024 | a,c | 2,073,421 | ||
Simon Property Group | 44,039 | c | 8,859,326 | ||
SL Green Realty | 14,041 | c | 1,475,428 | ||
UDR | 37,072 | c | 1,294,554 | ||
Ventas | 47,084 | c | 2,924,858 | ||
Vornado Realty Trust | 24,376 | c | 2,333,514 | ||
Welltower | 49,713 | c | 3,451,076 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Real Estate - 2.9% (continued) | |||||
Weyerhaeuser | 113,246 | c | 3,637,462 | ||
74,966,387 | |||||
Retailing - 5.5% | |||||
Advance Auto Parts | 10,463 | 1,633,274 | |||
Amazon.com | 54,953 | b | 36,246,449 | ||
AutoNation | 10,148 | b | 513,996 | ||
AutoZone | 4,302 | b | 3,292,019 | ||
Bed Bath & Beyond | 24,618 | 1,162,462 | |||
Best Buy | 40,164 | 1,288,461 | |||
CarMax | 27,901 | a,b | 1,477,358 | ||
Dollar General | 41,319 | 3,384,439 | |||
Dollar Tree | 33,134 | b | 2,641,111 | ||
Expedia | 16,468 | 1,906,500 | |||
Foot Locker | 19,536 | a | 1,200,292 | ||
Gap | 33,595 | a | 778,732 | ||
Genuine Parts | 21,804 | 2,092,530 | |||
Home Depot | 180,470 | 24,163,128 | |||
Kohl's | 28,599 | 1,266,936 | |||
L Brands | 36,090 | 2,825,486 | |||
Lowe's | 130,247 | 9,901,377 | |||
Macy's | 44,221 | 1,750,709 | |||
Netflix | 60,926 | a,b | 5,485,168 | ||
Nordstrom | 18,307 | a | 936,037 | ||
O'Reilly Automotive | 14,065 | b | 3,694,594 | ||
Priceline Group | 7,055 | b | 9,479,521 | ||
Ross Stores | 57,441 | 3,261,500 | |||
Signet Jewelers | 11,419 | 1,239,647 | |||
Staples | 87,824 | 895,805 | |||
Target | 85,758 | 6,817,761 | |||
The TJX Companies | 94,920 | 7,196,834 | |||
Tiffany & Co. | 15,392 | a | 1,098,219 | ||
Tractor Supply | 19,621 | 1,857,324 | |||
TripAdvisor | 16,426 | a,b | 1,060,955 | ||
Ulta Salon Cosmetics & Fragrance | 9,066 | b | 1,888,266 | ||
Urban Outfitters | 14,384 | b | 436,123 | ||
142,873,013 | |||||
Semiconductors & Semiconductor Equipment - 2.6% | |||||
Analog Devices | 44,792 | 2,522,685 | |||
Applied Materials | 163,238 | 3,341,482 |
16
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Semiconductors & Semiconductor Equipment - 2.6% (continued) | |||||
Broadcom | 52,828 | 7,699,681 | |||
First Solar | 10,696 | b | 597,265 | ||
Intel | 672,408 | 20,360,514 | |||
KLA-Tencor | 22,193 | 1,552,178 | |||
Lam Research | 21,998 | 1,680,647 | |||
Linear Technology | 33,512 | 1,490,614 | |||
Microchip Technology | 28,786 | a | 1,398,712 | ||
Micron Technology | 151,647 | b | 1,630,205 | ||
NVIDIA | 72,727 | a | 2,583,990 | ||
Qorvo | 18,436 | b | 830,173 | ||
QUALCOMM | 213,304 | 10,776,118 | |||
Skyworks Solutions | 27,062 | 1,808,283 | |||
Texas Instruments | 144,524 | 8,243,649 | |||
Xilinx | 37,072 | 1,597,062 | |||
68,113,258 | |||||
Software & Services - 12.0% | |||||
Accenture, Cl. A | 89,371 | 10,091,773 | |||
Activision Blizzard | 70,971 | 2,446,370 | |||
Adobe Systems | 70,925 | b | 6,682,553 | ||
Akamai Technologies | 25,762 | b | 1,313,604 | ||
Alliance Data Systems | 8,598 | b | 1,748,059 | ||
Alphabet, Cl. A | 41,644 | b | 29,478,955 | ||
Alphabet, Cl. C | 42,297 | b | 29,312,244 | ||
Autodesk | 33,001 | b | 1,974,120 | ||
Automatic Data Processing | 65,568 | 5,798,834 | |||
CA | 43,896 | 1,301,955 | |||
Citrix Systems | 22,204 | b | 1,817,175 | ||
Cognizant Technology Solutions, Cl. A | 85,990 | b | 5,019,236 | ||
CSRA | 18,964 | 492,305 | |||
eBay | 156,915 | b | 3,833,433 | ||
Electronic Arts | 43,672 | b | 2,701,113 | ||
Facebook, Cl. A | 326,622 | b | 38,404,215 | ||
Fidelity National Information Services | 39,379 | 2,591,138 | |||
Fiserv | 31,765 | b | 3,104,076 | ||
Global Payments | 21,931 | 1,582,980 | |||
International Business Machines | 125,856 | 18,367,425 | |||
Intuit | 36,575 | 3,690,052 | |||
MasterCard, Cl. A | 140,292 | 13,606,921 | |||
Microsoft | 1,125,960 | 56,151,625 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Software & Services - 12.0% (continued) | |||||
Oracle | 448,623 | 17,882,113 | |||
Paychex | 45,698 | 2,381,780 | |||
PayPal Holdings | 156,881 | 6,146,598 | |||
Red Hat | 26,177 | b | 1,920,606 | ||
salesforce.com | 89,754 | b | 6,803,353 | ||
Symantec | 94,068 | 1,565,762 | |||
Teradata | 20,478 | b | 518,093 | ||
Total System Services | 22,304 | 1,140,627 | |||
VeriSign | 13,909 | a,b | 1,201,738 | ||
Visa, Cl. A | 273,229 | 21,104,208 | |||
Western Union | 73,127 | 1,462,540 | |||
Xerox | 141,939 | 1,362,614 | |||
Yahoo! | 123,968 | b | 4,537,229 | ||
309,537,422 | |||||
Technology Hardware & Equipment - 5.0% | |||||
Amphenol, Cl. A | 44,062 | 2,459,981 | |||
Apple | 789,272 | 73,986,357 | |||
Cisco Systems | 718,445 | 19,750,053 | |||
Corning | 158,599 | 2,961,043 | |||
EMC | 277,116 | 7,235,499 | |||
F5 Networks | 9,809 | b | 1,027,493 | ||
FLIR Systems | 19,484 | 588,612 | |||
Harris | 17,447 | 1,395,934 | |||
Hewlett Packard Enterprise | 244,563 | 4,074,420 | |||
HP | 245,968 | 3,018,027 | |||
Juniper Networks | 47,853 | 1,119,760 | |||
Motorola Solutions | 22,542 | 1,694,933 | |||
NetApp | 43,175 | 1,020,657 | |||
SanDisk | 28,879 | 2,169,679 | |||
Seagate Technology | 42,547 | a | 926,248 | ||
TE Connectivity | 52,700 | 3,134,596 | |||
Western Digital | 32,345 | 1,321,778 | |||
127,885,070 | |||||
Telecommunication Services - 2.7% | |||||
AT&T | 875,555 | 33,989,045 | |||
CenturyLink | 77,485 | 2,398,161 | |||
Frontier Communications | 163,938 | a | 911,495 | ||
Level 3 Communications | 40,853 | b | 2,134,978 |
18
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Telecommunication Services - 2.7% (continued) | |||||
Verizon Communications | 579,856 | 29,537,865 | |||
68,971,544 | |||||
Transportation - 2.1% | |||||
American Airlines Group | 85,895 | 2,979,698 | |||
CH Robinson Worldwide | 19,960 | a | 1,416,561 | ||
CSX | 137,176 | 3,740,790 | |||
Delta Air Lines | 112,039 | 4,668,665 | |||
Expeditors International of Washington | 26,893 | 1,334,162 | |||
FedEx | 36,808 | 6,077,369 | |||
J.B. Hunt Transport Services | 13,168 | 1,091,364 | |||
Kansas City Southern | 16,034 | 1,519,222 | |||
Norfolk Southern | 42,441 | 3,824,359 | |||
Ryder System | 7,365 | 507,596 | |||
Southwest Airlines | 90,872 | 4,053,800 | |||
Union Pacific | 121,048 | 10,559,017 | |||
United Continental Holdings | 51,232 | b | 2,346,938 | ||
United Parcel Service, Cl. B | 98,230 | 10,321,026 | |||
54,440,567 | |||||
Utilities - 3.3% | |||||
AES | 97,255 | 1,085,366 | |||
AGL Resources | 16,971 | 1,117,710 | |||
Ameren | 34,644 | 1,662,912 | |||
American Electric Power | 69,882 | 4,437,507 | |||
American Water Works | 25,412 | 1,848,977 | |||
CenterPoint Energy | 58,323 | 1,251,028 | |||
CMS Energy | 39,432 | 1,604,094 | |||
Consolidated Edison | 40,873 | 3,049,126 | |||
Dominion Resources | 84,200 | 6,017,774 | |||
DTE Energy | 25,679 | 2,289,540 | |||
Duke Energy | 97,333 | 7,667,894 | |||
Edison International | 46,598 | 3,294,945 | |||
Entergy | 24,859 | 1,868,900 | |||
Eversource Energy | 44,012 | 2,484,037 | |||
Exelon | 129,562 | 4,546,331 | |||
FirstEnergy | 59,733 | 1,946,698 | |||
NextEra Energy | 65,556 | 7,708,074 | |||
NiSource | 46,527 | 1,056,628 | |||
NRG Energy | 49,312 | 744,611 | |||
PG&E | 70,135 | 4,081,857 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 99.5% (continued) | Shares | Value ($) | |||
Utilities - 3.3% (continued) | |||||
Pinnacle West Capital | 16,252 | 1,180,708 | |||
PPL | 95,896 | 3,609,525 | |||
Public Service Enterprise Group | 71,023 | 3,276,291 | |||
SCANA | 19,185 | 1,317,818 | |||
Sempra Energy | 33,225 | 3,433,804 | |||
Southern | 128,572 | 6,441,457 | |||
TECO Energy | 33,385 | 927,101 | |||
WEC Energy Group | 43,614 | 2,538,771 | |||
Xcel Energy | 72,227 | 2,891,247 | |||
85,380,731 | |||||
Total Common Stocks (cost $987,287,814) | 2,567,323,885 | ||||
Short-Term Investments - .0% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.26%, 6/23/16 | 1,005,000 | d | 1,004,800 | ||
Other Investment - .6% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 14,241,801 | e | 14,241,801 | ||
Investment of Cash Collateral for Securities Loaned - .4% | |||||
Registered Investment Company; | |||||
Dreyfus Institutional Cash Advantage Fund | 11,573,064 | e | 11,573,064 | ||
Total Investments (cost $1,014,107,287) | 100.5% | 2,594,143,550 | |||
Liabilities, Less Cash and Receivables | (.5%) | (12,638,257) | |||
Net Assets | 100.0% | 2,581,505,293 |
a Security, or portion thereof, on loan. At April 30, 2016, the value of the fund’s securities on loan was $51,030,475 and the value of the collateral held by the fund was $53,160,038, consisting of cash collateral of $11,573,064 and U.S. Government & Agency securities valued at $41,586,974.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by or on behalf of a counterparty for open financial futures contracts.
e Investment in affiliated money market mutual fund.
20
Portfolio Summary (Unaudited) † | Value (%) |
Software & Services | 12.0 |
Pharmaceuticals, Biotechnology & Life Sciences | 9.4 |
Capital Goods | 7.3 |
Energy | 7.3 |
Food, Beverage & Tobacco | 5.8 |
Banks | 5.6 |
Retailing | 5.5 |
Health Care Equipment & Services | 5.1 |
Technology Hardware & Equipment | 5.0 |
Diversified Financials | 4.7 |
Utilities | 3.3 |
Media | 3.2 |
Materials | 2.9 |
Real Estate | 2.9 |
Telecommunication Services | 2.7 |
Insurance | 2.6 |
Semiconductors & Semiconductor Equipment | 2.6 |
Food & Staples Retailing | 2.3 |
Household & Personal Products | 2.1 |
Transportation | 2.1 |
Consumer Services | 1.8 |
Consumer Durables & Apparel | 1.5 |
Short-Term/Money Market Investments | 1.0 |
Automobiles & Components | .9 |
Commercial & Professional Services | .9 |
100.5 |
† Based on net assets.
See notes to financial statements.
21
STATEMENT OF FINANCIAL FUTURES
April 30, 2016 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized (Depreciation) at 04/30/2016 ($) | ||
Financial Futures Long | |||||
Standard & Poor's 500 E-mini | 177 | 18,223,035 | June 2016 | (161,078) | |
Gross Unrealized Depreciation | (161,078) |
See notes to financial statements.
22
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2016 (Unaudited)
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments |
|
|
|
| ||||
Unaffiliated issuers |
| 988,292,422 |
| 2,568,328,685 |
| |||
Affiliated issuers |
| 25,814,865 |
| 25,814,865 |
| |||
Cash |
|
|
|
| 2,282,860 |
| ||
Dividends, interest and securities lending income receivable |
|
|
|
| 2,720,287 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 240,006 |
| ||
Other assets |
|
|
|
| 26,588 |
| ||
|
|
|
|
| 2,599,413,291 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 1,052,422 |
| ||
Liability for securities on loan—Note 1(b) |
|
|
|
| 11,573,064 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 5,154,265 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 124,547 |
| ||
Accrued expenses |
|
|
|
| 3,700 |
| ||
|
|
|
|
| 17,907,998 |
| ||
Net Assets ($) |
|
| 2,581,505,293 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 943,895,133 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 14,074,136 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| 43,660,839 |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 1,579,875,185 |
| ||
Net Assets ($) |
|
| 2,581,505,293 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 52,491,633 |
| |||||
Net Asset Value Per Share ($) |
| 49.18 |
|
See notes to financial statements.
23
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2016 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends: |
|
|
|
| ||
Unaffiliated issuers |
|
| 29,451,259 |
| ||
Affiliated issuers |
|
| 22,325 |
| ||
Income from securities lending—Note 1(b) |
|
| 90,853 |
| ||
Interest |
|
| 1,414 |
| ||
Total Income |
|
| 29,565,851 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 3,213,640 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 3,213,640 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 101,512 |
| ||
Loan commitment fees—Note 2 |
|
| 14,214 |
| ||
Interest expense—Note 2 |
|
| 926 |
| ||
Total Expenses |
|
| 6,543,932 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (101,512) |
| ||
Net Expenses |
|
| 6,442,420 |
| ||
Investment Income—Net |
|
| 23,123,431 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 85,729,766 |
| ||||
Net realized gain (loss) on financial futures |
|
| 755,357 |
| ||
Net Realized Gain (Loss) |
|
| 86,485,123 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (107,717,045) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| (1,196,175) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (108,913,220) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (22,428,097) |
| ||
Net Increase in Net Assets Resulting from Operations |
| 695,334 |
|
See notes to financial statements.
24
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 23,123,431 |
|
|
| 45,279,230 |
| |
Net realized gain (loss) on investments |
| 86,485,123 |
|
|
| 152,272,913 |
| ||
Net unrealized appreciation (depreciation) |
| (108,913,220) |
|
|
| (67,275,719) |
| ||
Net Increase (Decrease) in Net Assets | 695,334 |
|
|
| 130,276,424 |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (44,703,246) |
|
|
| (43,803,479) |
| |
Net realized gain on investments |
|
| (150,091,267) |
|
|
| (147,186,971) |
| |
Total Dividends |
|
| (194,794,513) |
|
|
| (190,990,450) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 260,747,846 |
|
|
| 635,872,552 |
| |
Dividends reinvested |
|
| 191,697,401 |
|
|
| 187,893,229 |
| |
Cost of shares redeemed |
|
| (448,075,587) |
|
|
| (885,887,538) |
| |
Increase (Decrease) in Net Assets | 4,369,660 |
|
|
| (62,121,757) |
| |||
Total Increase (Decrease) in Net Assets | (189,729,519) |
|
|
| (122,835,783) |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 2,771,234,812 |
|
|
| 2,894,070,595 |
| |
End of Period |
|
| 2,581,505,293 |
|
|
| 2,771,234,812 |
| |
Undistributed investment income—net | 14,074,136 |
|
|
| 35,653,951 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,370,511 |
|
|
| 12,149,383 |
| |
Shares issued for dividends reinvested |
|
| 3,891,692 |
|
|
| 3,579,559 |
| |
Shares redeemed |
|
| (9,172,588) |
|
|
| (16,924,957) |
| |
Net Increase (Decrease) in Shares Outstanding | 89,615 |
|
|
| (1,196,015) |
| |||
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2016 | Year Ended October 31, | |||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 52.88 | 54.00 | 47.94 | 39.13 | 34.90 | 33.62 |
Investment Operations: | ||||||
Investment income—neta | .44 | .83 | .77 | .75 | .63 | .55 |
Net realized and unrealized gain | (.35) | 1.68 | 7.05 | 9.32 | 4.38 | 2.00 |
Total from Investment Operations | .09 | 2.51 | 7.82 | 10.07 | 5.01 | 2.55 |
Distributions: | ||||||
Dividends from investment income—net | (.87) | (.83) | (.74) | (.71) | (.56) | (.51) |
Dividends from net realized gain | (2.92) | (2.80) | (1.02) | (.55) | (.22) | (.76) |
Total Distributions | (3.79) | (3.63) | (1.76) | (1.26) | (.78) | (1.27) |
Net asset value, end of period | 49.18 | 52.88 | 54.00 | 47.94 | 39.13 | 34.90 |
Total Return (%) | .16b | 4.70 | 16.71 | 26.56 | 14.67 | 7.61 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses to | .51c | .51 | .51 | .51 | .51 | .51 |
Ratio of net expenses to | .50c | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment income to | 1.80c | 1.59 | 1.54 | 1.75 | 1.71 | 1.55 |
Portfolio Turnover Rate | 2.14b | 3.72 | 3.56 | 2.92 | 3.20 | 3.38 |
Net Assets, end of period | 2,581,505 | 2,771,235 | 2,894,071 | 2,755,400 | 2,326,901 | 2,230,524 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
26
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective 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).
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
28
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 April 30, 2016 in valuing the fund’s investments:
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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† | 2,554,072,317 | - | - | 2,554,072,317 |
Equity Securities—Foreign Common Stocks† | 13,251,568 | - | - | 13,251,568 |
Mutual Funds | 25,814,865 | - | - | 25,814,865 |
U.S. Treasury | - | 1,004,800 | - | 1,004,800 |
Other Financial Instruments: | ||||
Financial Futures†† | (161,078) | - | - | (161,078) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized depreciation at period end.
At April 30, 2016, there were no transfers between levels 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
30
borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2016, The Bank of New York Mellon earned $24,232 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2016 were as follows:
Affiliated Investment Company | Value 10/31/2015 ($) | Purchases ($) | Sales ($) | Value 4/30/2016 ($) | Net Assets (%) |
Dreyfus Institutional Preferred Plus Money Market Fund | 32,369,055 | 183,808,203 | 201,935,457 | 14,241,801 | .6 |
Dreyfus Institutional Cash Advantage Fund | 5,640,559 | 121,169,034 | 115,236,529 | 11,573,064 | .4 |
Total | 38,009,614 | 304,977,237 | 317,171,986 | 25,814,865 | 1.0 |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2016, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2016, the fund did not incur any interest or penalties.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Each tax year in the three-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2015 was as follows: ordinary income $47,641,087 and long-term capital gains $143,349,363. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $555 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 January 11, 2016, the unsecured credit facility with Citibank, N.A. was $480 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 April 30, 2016 was approximately $138,500 with a related weighted average annualized interest rate of 1.34%.
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 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 April 30, 2016, fees reimbursed by Dreyfus amounted to $101,512.
(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
32
the fund’s average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2016, the fund was charged $3,213,640 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 $533,829 and Shareholder Services Plan fees $533,829, which are offset against an expense reimbursement currently in effect in the amount of $15,236.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2016, amounted to $55,478,003 and $202,292,333, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2016 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at April 30, 2016 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2016:
|
| Average Market Value ($) |
Foreign currency financial futures | 25,917,614 | |
At April 30, 2016, accumulated net unrealized appreciation on investments was $1,580,036,263, consisting of $1,615,207,689 gross unrealized appreciation and $35,171,426 gross unrealized depreciation.
At April 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Pending Legal Matters:
The fund and 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 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
34
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.
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. On March 29, 2016, the Second Circuit issued its decision on the appeal and cross-appeal. A panel of three judges unanimously affirmed the dismissal on the ground that the plaintiffs’ claims were preempted by section 546(e) of the Bankruptcy Code. On April 12, 2016, the plaintiffs/appellants filed a petition with the Second Circuit requesting rehearing of the appeal by the same panel of judges and/or rehearing en
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
banc by all judges on the Second Circuit. As of May 20, 2016, the Second Circuit has not ruled on either request.
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.
36
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 17-18, 2016, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
various periods ended December 31, 2015, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was at or slightly below the Performance Group and Performance Universe medians by one to five basis points. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median and that the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients/Funds”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to
38
determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance.
· The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
39
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years. The Board determined to renew the Agreement.
40
NOTES
41
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.
© 2016 MBSC Securities Corporation |
Dreyfus Smallcap Stock Index Fund
SEMIANNUAL REPORT April 30, 2016 |
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 | |
the Fund’s Management Agreement |
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 semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2015 through April 30, 2016. 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.
A choppy U.S. economic recovery remained intact over the reporting period. Steady job growth, declining unemployment claims, improved consumer confidence, and higher housing prices supported an economic expansion that so far has lasted nearly seven years. These factors, along with low inflation, prompted the Federal Reserve Board in December 2015 to raise short-term interest rates for the first time in nearly a decade.
On the other hand, the global economy continued to stagnate despite historically aggressive monetary policies, including negative short-term interest rates in Europe and Japan. Global growth has been hampered by weak demand, volatile commodity prices, the lingering effects of various financial crises, unfavorable demographic trends, and low productivity growth. These developments proved especially challenging for financial markets in early 2016, but stocks and riskier sectors of the bond market later rallied strongly to post positive total returns, on average, for the reporting period overall.
While we are encouraged by the recent resilience of the financial markets, we expect volatility to persist over the foreseeable future until global economic uncertainty abates. In addition, wide differences in underlying fundamental and technical influences across various asset classes, economic sectors, and regional markets suggest that selectivity may be an important determinant of investment success over the months ahead. We encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
J. Charles Cardona
President
The Dreyfus Corporation
May 16, 2016
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2015 through April 30, 2016, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2016, Dreyfus Smallcap Stock Index Fund produced a total return of 1.31%.1 In comparison, the Standard & Poor’s SmallCap 600® Index (“S&P 600 Index”), the fund’s benchmark, produced a 1.54% total return for the same period.2,3
Small-cap stocks posted mildly positive total returns, on average, over the reporting period, masking heightened market volatility stemming from various global and domestic economic developments. 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.
Mildly Positive Returns Masked Heightened Volatility
Small-cap stock prices generally proved volatile over the last two months of 2015, losing a degree of value when investor sentiment vacillated between concerns about the global economy and optimism regarding job growth and other positive developments in the United States. In January 2016, disappointing economic data in China sparked renewed weakness in commodity prices, and investors again grew concerned about the potential impact of China’s economic troubles on the United States. Moreover, U.S. investors worried that a December 2015 increase in short-term interest rates from the Federal Reserve Board (the “Fed”) might weigh on the domestic economic recovery, and Japan surprised investors by adopting negative short-term interest rates for the first time. Consequently, U.S. stocks declined particularly sharply in January.
The market’s slide continued into February, but strong U.S. economic data and better-than-expected corporate earnings helped trigger a rebound later in the month. The rally continued through March and, to a lesser extent, April after the Fed indicated that it would proceed cautiously in implementing additional 2016 rate hikes, commodity prices began to rebound, and central banks in China and Europe adopted additional monetary easing programs. Investors responded to these developments with renewed confidence, enabling the S&P 600 Index to end the reporting period with a modestly positive total return.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Divergent Returns across Market Sectors
The various sectors that comprise the S&P 600 Index produced disparate returns over the reporting period. Information technology stocks fared best, bolstered by small-cap companies that provide components for smartphones and cloud computing infrastructure. Producers of communications equipment also gained significant value due to intensifying demand from airline reservations systems and cloud computing providers. The utilities sector benefited during the reporting period’s low interest-rate environment from investors’ preferences for traditionally defensive companies with competitive dividend yields, stable earnings, and strong cash flows. The materials sector experienced a sharp rebound from earlier weakness when fears of a more severe economic slowdown in China moderated and commodity prices began to recover. In particular, U.S. steelmakers benefited from higher prices, and chemicals producers advanced on the strength of a growing domestic housing market and greater mergers-and-acquisitions activity.
Detractors from the S&P 600 Index’s results over the reporting period included the consumer discretionary sector, where specialty retailers weighed on performance amid intensifying competitive pressures from online sellers. Apparel retailers were especially hard hit by internet competition, as were broadcasters and publishing companies in the media industry group. In addition, auto parts retailers were hurt by rising new car sales, which reduced demand from those seeking to repair older vehicles. In the energy sector, low oil-and-gas prices resulted in falling demand for small-cap energy services providers, such as offshore drillers, and demand had not yet returned to previous levels when commodity prices later began to rebound. Finally, the financials sector struggled with the impact of regulatory changes on consumer finance companies and rising claims on the insurance industry.
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, commodity prices have stabilized, and aggressively accommodative monetary policies remain 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.
May 16, 2016
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from November 1, 2015 to April 30, 2016. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended April 30, 2016 | |||||||||
Expenses paid per $1,000† | $ 2.50 | ||||||||
Ending value (after expenses) | $1,013.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2016 | |||||||||
Expenses paid per $1,000† | $ 2.51 | ||||||||
Ending value (after expenses) | $1,022.38 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2016 (Unaudited)
Common Stocks - 98.4% | Shares | Value ($) | |||
Automobiles & Components - 1.1% | |||||
Dorman Products | 93,958 | a,b | 5,054,001 | ||
Drew Industries | 62,680 | 4,063,544 | |||
Gentherm | 100,500 | b | 3,692,370 | ||
Motorcar Parts of America | 48,370 | b | 1,551,226 | ||
Standard Motor Products | 53,375 | 1,895,346 | |||
Superior Industries International | 58,073 | 1,516,867 | |||
Winnebago Industries | 97,087 | a | 2,100,963 | ||
19,874,317 | |||||
Banks - 10.6% | |||||
Ameris Bancorp | 74,631 | 2,343,413 | |||
Astoria Financial | 231,331 | 3,479,218 | |||
Banc of California | 127,587 | 2,596,395 | |||
Bank Mutual | 165,021 | a | 1,333,370 | ||
Banner | 57,568 | 2,462,759 | |||
BBCN Bancorp | 263,162 | 4,110,590 | |||
BofI Holding | 189,306 | a,b | 3,856,163 | ||
Boston Private Financial Holdings | 253,456 | 3,097,232 | |||
Brookline Bancorp | 216,572 | a | 2,464,589 | ||
Cardinal Financial | 122,028 | 2,700,480 | |||
Central Pacific Financial | 121,364 | 2,832,636 | |||
City Holding | 37,313 | 1,832,815 | |||
Columbia Banking System | 166,828 | 4,919,758 | |||
Community Bank System | 137,374 | a | 5,435,889 | ||
CVB Financial | 313,452 | a | 5,385,105 | ||
Dime Community Bancshares | 106,133 | 1,922,069 | |||
First BanCorp | 304,366 | b | 1,187,027 | ||
First Commonwealth Financial | 295,442 | 2,712,158 | |||
First Financial Bancorp | 168,602 | 3,287,739 | |||
First Financial Bankshares | 196,778 | a | 6,371,672 | ||
First Midwest Bancorp | 238,493 | 4,407,351 | |||
First NBC Bank Holding | 70,896 | b | 1,541,279 | ||
Glacier Bancorp | 221,491 | 5,734,402 | |||
Great Western Bancorp | 168,592 | 5,314,020 | |||
Hanmi Financial | 121,785 | 2,815,669 | |||
Home BancShares | 170,293 | 7,320,896 | |||
Independent Bank | 62,547 | 2,941,585 | |||
LegacyTexas Financial Group | 106,365 | a | 2,622,961 |
6
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Banks - 10.6% (continued) | |||||
LendingTree | 20,323 | a,b | 1,818,299 | ||
MB Financial | 179,747 | a | 6,248,006 | ||
NBT Bancorp | 101,459 | 2,875,348 | |||
Northfield Bancorp | 142,477 | 2,259,685 | |||
Northwest Bancshares | 272,241 | a | 3,816,819 | ||
OFG Bancorp | 117,146 | 1,034,399 | |||
Old National Bancorp | 407,608 | a | 5,461,947 | ||
Opus Bank | 51,252 | 1,851,222 | |||
Oritani Financial | 137,570 | 2,384,088 | |||
Pinnacle Financial Partners | 101,166 | 4,974,332 | |||
Provident Financial Services | 162,688 | 3,250,506 | |||
S&T Bancorp | 81,919 | 2,102,861 | |||
ServisFirst Bancshares | 61,670 | a | 3,039,098 | ||
Simmons First National, Cl. A | 77,355 | 3,612,478 | |||
Southside Bancshares | 49,120 | a | 1,434,795 | ||
Sterling Bancorp | 310,827 | 5,078,913 | |||
Talmer Bancorp, Cl. A | 194,126 | 3,766,044 | |||
Texas Capital Bancshares | 120,761 | b | 5,533,269 | ||
Tompkins Financial | 32,296 | 2,110,221 | |||
TrustCo Bank | 213,180 | 1,366,484 | |||
UMB Financial | 110,902 | a | 6,182,786 | ||
United Bankshares | 169,499 | a | 6,557,916 | ||
United Community Banks | 183,819 | 3,700,276 | |||
Walker & Dunlop | 73,408 | b | 1,618,646 | ||
Westamerica Bancorporation | 63,883 | a | 3,112,380 | ||
Wilshire Bancorp | 247,673 | 2,667,438 | |||
Wintrust Financial | 127,460 | 6,630,469 | |||
191,517,965 | |||||
Capital Goods - 9.9% | |||||
AAON | 108,761 | 2,884,342 | |||
AAR | 105,935 | 2,546,677 | |||
Actuant, Cl. A | 166,644 | 4,451,061 | |||
Aegion | 115,638 | b | 2,454,995 | ||
Aerojet Rocketdyne Holdings | 174,356 | b | 3,159,331 | ||
AeroVironment | 42,295 | b | 1,221,480 | ||
Albany International, Cl. A | 81,615 | 3,288,268 | |||
American Science & Engineering | 26,377 | 755,701 | |||
American Woodmark | 41,178 | b | 2,999,406 | ||
Apogee Enterprises | 96,508 | 3,999,292 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Capital Goods - 9.9% (continued) | |||||
Applied Industrial Technologies | 116,893 | 5,357,206 | |||
Astec Industries | 46,089 | 2,230,708 | |||
AZZ | 73,965 | 4,062,158 | |||
Barnes Group | 143,549 | 4,663,907 | |||
Briggs & Stratton | 141,916 | 3,004,362 | |||
Chart Industries | 79,817 | b | 2,054,490 | ||
CIRCOR International | 43,576 | 2,459,865 | |||
Comfort Systems USA | 128,285 | 3,783,125 | |||
Cubic | 59,604 | 2,477,738 | |||
DXP Enterprises | 32,979 | a,b | 720,591 | ||
Dycom Industries | 89,516 | b | 6,319,830 | ||
EMCOR Group | 173,425 | 8,407,644 | |||
Encore Wire | 54,756 | 2,094,417 | |||
EnerSys | 132,387 | 7,727,429 | |||
Engility Holdings | 34,034 | b | 669,449 | ||
EnPro Industries | 52,993 | 3,104,330 | |||
ESCO Technologies | 70,407 | 2,709,261 | |||
Federal Signal | 201,311 | 2,755,948 | |||
Franklin Electric | 118,706 | 3,749,923 | |||
General Cable | 180,370 | 2,820,987 | |||
Gibraltar Industries | 88,896 | b | 2,351,299 | ||
Griffon | 102,127 | a | 1,614,628 | ||
Harsco | 208,348 | 1,477,187 | |||
Hillenbrand | 178,833 | 5,420,428 | |||
John Bean Technologies | 83,103 | 4,332,990 | |||
Kaman | 87,828 | a | 3,696,681 | ||
Lindsay | 25,828 | a | 1,974,809 | ||
Lydall | 49,238 | b | 1,811,466 | ||
Moog, Cl. A | 101,022 | b | 4,935,935 | ||
Mueller Industries | 170,572 | 5,383,252 | |||
MYR Group | 36,448 | b | 929,788 | ||
National Presto Industries | 15,580 | a | 1,358,420 | ||
Orion Marine Group | 50,589 | a,b | 295,440 | ||
PGT | 104,697 | b | 1,096,178 | ||
Powell Industries | 25,609 | 796,952 | |||
Proto Labs | 65,450 | a,b | 3,915,873 | ||
Quanex Building Products | 114,108 | 2,149,795 | |||
Simpson Manufacturing | 130,666 | 4,913,042 | |||
SPX | 109,107 | b | 1,756,623 |
8
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Capital Goods - 9.9% (continued) | |||||
SPX FLOW | 115,362 | b | 3,456,246 | ||
Standex International | 36,761 | 2,819,201 | |||
TASER International | 145,279 | a,b | 2,652,795 | ||
Tennant | 46,071 | 2,460,652 | |||
The Greenbrier Companies | 87,493 | a | 2,623,915 | ||
Titan International | 125,092 | 829,360 | |||
Trex | 85,083 | a,b | 4,037,188 | ||
Universal Forest Products | 65,469 | 5,018,199 | |||
Veritiv | 21,582 | a,b | 885,294 | ||
Vicor | 60,931 | a,b | 584,328 | ||
Watts Water Technologies, Cl. A | 76,801 | 4,290,872 | |||
178,802,757 | |||||
Commercial & Professional Services - 4.6% | |||||
ABM Industries | 147,711 | a | 4,751,863 | ||
Brady, Cl. A | 128,523 | 3,404,574 | |||
CDI | 46,063 | 329,350 | |||
Essendant | 107,777 | 3,318,454 | |||
Exponent | 74,922 | 3,734,112 | |||
G&K Services, Cl. A | 52,956 | 3,741,341 | |||
Healthcare Services Group | 190,331 | a | 7,204,028 | ||
Heidrick & Struggles International | 54,834 | 1,081,875 | |||
Insperity | 51,022 | a | 2,692,431 | ||
Interface | 225,184 | 3,832,632 | |||
Kelly Services, Cl. A | 84,461 | 1,585,333 | |||
Korn/Ferry International | 148,697 | 4,035,637 | |||
Matthews International, Cl. A | 83,476 | a | 4,394,177 | ||
Mobile Mini | 118,201 | 3,811,982 | |||
Navigant Consulting | 146,509 | b | 2,338,284 | ||
On Assignment | 134,628 | b | 4,854,686 | ||
Resources Connection | 104,396 | 1,541,929 | |||
Tetra Tech | 170,160 | 5,002,704 | |||
The Brink's Company | 153,981 | 5,210,717 | |||
TrueBlue | 128,040 | b | 2,393,068 | ||
UniFirst | 45,099 | 4,887,830 | |||
US Ecology | 61,855 | 2,785,331 | |||
Viad | 43,274 | 1,287,402 | |||
WageWorks | 97,065 | b | 5,227,921 | ||
83,447,661 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Consumer Durables & Apparel - 3.6% | |||||
Arctic Cat | 13,910 | 231,323 | |||
Callaway Golf | 266,425 | 2,488,409 | |||
Crocs | 197,221 | b | 1,646,795 | ||
Ethan Allen Interiors | 78,233 | a | 2,663,051 | ||
G-III Apparel Group | 106,778 | b | 4,831,704 | ||
Helen of Troy | 80,247 | b | 7,986,984 | ||
Iconix Brand Group | 133,749 | a,b | 1,134,192 | ||
Installed Building Products | 44,670 | b | 1,187,329 | ||
iRobot | 78,466 | a,b | 2,933,059 | ||
La-Z-Boy | 158,782 | 4,107,690 | |||
M/I Homes | 67,744 | b | 1,361,654 | ||
Meritage Homes | 94,309 | b | 3,209,335 | ||
Movado Group | 61,906 | 1,746,368 | |||
Oxford Industries | 51,643 | 3,430,128 | |||
Perry Ellis International | 53,824 | b | 1,025,347 | ||
Steven Madden | 145,102 | b | 5,080,021 | ||
Sturm Ruger & Co. | 55,673 | a | 3,564,742 | ||
TopBuild | 97,722 | b | 3,050,881 | ||
Tumi Holdings | 150,898 | b | 4,025,959 | ||
Unifi | 37,348 | a,b | 962,084 | ||
Universal Electronics | 40,412 | b | 2,683,761 | ||
Vera Bradley | 57,088 | a,b | 1,001,324 | ||
Wolverine World Wide | 301,574 | 5,714,827 | |||
66,066,967 | |||||
Consumer Services - 3.6% | |||||
American Public Education | 54,730 | b | 1,267,547 | ||
Belmond, Cl. A | 241,368 | b | 2,210,931 | ||
Biglari Holdings | 2,862 | b | 1,070,216 | ||
BJ's Restaurants | 60,996 | b | 2,720,422 | ||
Bob Evans Farms | 60,777 | 2,767,785 | |||
Boyd Gaming | 229,028 | b | 4,269,082 | ||
Capella Education | 29,091 | 1,609,023 | |||
Career Education | 225,878 | b | 1,206,189 | ||
Chuy's Holdings | 47,310 | a,b | 1,444,847 | ||
DineEquity | 52,678 | 4,530,308 | |||
Interval Leisure Group | 145,895 | a | 2,060,037 | ||
Krispy Kreme Doughnuts | 180,776 | b | 3,147,310 | ||
Marcus | 68,456 | 1,324,624 | |||
Marriott Vacations Worldwide | 73,939 | 4,631,539 |
10
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Consumer Services - 3.6% (continued) | |||||
Monarch Casino & Resort | 31,926 | b | 606,594 | ||
Papa John's International | 86,586 | 4,899,902 | |||
Popeyes Louisiana Kitchen | 63,624 | b | 3,420,426 | ||
Red Robin Gourmet Burgers | 34,034 | b | 2,207,445 | ||
Regis | 96,776 | a,b | 1,322,928 | ||
Ruby Tuesday | 150,203 | b | 660,893 | ||
Ruth's Hospitality Group | 110,912 | 1,761,283 | |||
Scientific Games, Cl. A | 157,688 | a,b | 1,564,265 | ||
Sonic | 150,251 | 5,164,127 | |||
Strayer Education | 36,916 | a,b | 1,832,510 | ||
Texas Roadhouse | 167,313 | a | 6,812,985 | ||
64,513,218 | |||||
Diversified Financials - 2.6% | |||||
Calamos Asset Management, Cl. A | 67,277 | a | 554,362 | ||
Cash America International | 80,202 | a | 2,964,266 | ||
Encore Capital Group | 54,162 | a,b | 1,524,660 | ||
Enova International | 73,384 | b | 646,513 | ||
Evercore Partners, Cl. A | 117,659 | 6,075,911 | |||
EZCORP, Cl. A | 102,152 | a,b | 505,652 | ||
Financial Engines | 154,605 | a | 4,979,827 | ||
First Cash Financial Services | 78,462 | 3,588,067 | |||
Green Dot, Cl. A | 107,320 | b | 2,385,724 | ||
Greenhill & Co. | 81,156 | 1,787,055 | |||
HFF, Cl. A | 112,418 | 3,578,265 | |||
Interactive Brokers Group, Cl. A | 152,904 | 5,810,352 | |||
INTL. FCStone | 40,965 | b | 1,118,345 | ||
Investment Technology Group | 94,719 | 1,848,915 | |||
Piper Jaffray | 49,556 | b | 2,066,981 | ||
PRA Group | 142,893 | a,b | 4,741,190 | ||
Virtus Investment Partners | 14,312 | a | 1,119,485 | ||
World Acceptance | 36,055 | b | 1,564,426 | ||
46,859,996 | |||||
Energy - 3.0% | |||||
Archrock | 215,161 | 2,119,336 | |||
Atwood Oceanics | 182,784 | a | 1,765,693 | ||
Basic Energy Services | 219,958 | a,b | 703,866 | ||
Bill Barrett | 187,955 | a,b | 1,496,122 | ||
Bonanza Creek Energy | 157,662 | a,b | 611,729 | ||
Bristow Group | 99,249 | a | 2,274,787 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Energy - 3.0% (continued) | |||||
CARBO Ceramics | 64,206 | a | 953,459 | ||
Carrizo Oil & Gas | 155,792 | a,b | 5,510,363 | ||
Cloud Peak Energy | 292,322 | a,b | 646,032 | ||
Contango Oil & Gas | 41,176 | b | 517,994 | ||
Era Group | 55,725 | a,b | 531,059 | ||
Exterran | 95,295 | 1,458,014 | |||
Geospace Technologies | 25,022 | a,b | 409,360 | ||
Green Plains | 91,925 | a | 1,663,843 | ||
Gulf Island Fabrication | 45,208 | 339,512 | |||
GulfMark Offshore, Cl. A | 105,000 | a,b | 711,900 | ||
Helix Energy Solutions Group | 261,076 | b | 2,253,086 | ||
Hornbeck Offshore Services | 80,923 | a,b | 950,036 | ||
Matrix Service | 84,414 | b | 1,590,360 | ||
Newpark Resources | 252,175 | b | 1,177,657 | ||
Northern Oil and Gas | 145,444 | a,b | 794,124 | ||
PDC Energy | 124,135 | a,b | 7,794,437 | ||
Pioneer Energy Services | 273,578 | b | 850,828 | ||
REX American Resources | 21,103 | a,b | 1,147,370 | ||
Rex Energy | 463,912 | a,b | 468,551 | ||
SEACOR Holdings | 48,342 | b | 2,841,059 | ||
Stone Energy | 303,326 | a,b | 297,290 | ||
Synergy Resources | 357,840 | a,b | 2,583,605 | ||
Tesco | 90,330 | 854,522 | |||
TETRA Technologies | 230,320 | b | 1,658,304 | ||
Tidewater | 124,472 | a | 1,090,375 | ||
Unit | 149,726 | a,b | 1,895,531 | ||
US Silica Holdings | 165,664 | 4,232,715 | |||
54,192,919 | |||||
Food & Staples Retailing - .3% | |||||
Andersons | 71,061 | 2,381,254 | |||
SpartanNash | 103,499 | 2,866,922 | |||
5,248,176 | |||||
Food, Beverage & Tobacco - 1.9% | |||||
B&G Foods | 173,045 | a | 7,131,184 | ||
Calavo Growers | 41,113 | a | 2,350,430 | ||
Cal-Maine Foods | 99,427 | a | 5,046,915 | ||
Darling Ingredients | 446,139 | b | 6,464,554 | ||
J&J Snack Foods | 37,416 | 3,783,880 | |||
Sanderson Farms | 60,237 | a | 5,526,142 |
12
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Food, Beverage & Tobacco - 1.9% (continued) | |||||
Seneca Foods, Cl. A | 18,438 | b | 600,894 | ||
Universal | 71,868 | a | 3,920,399 | ||
34,824,398 | |||||
Health Care Equipment & Services - 8.8% | |||||
Abaxis | 65,938 | 2,988,310 | |||
Aceto | 82,643 | a | 1,853,682 | ||
Adeptus Health, Cl. A | 32,333 | a,b | 2,202,524 | ||
Air Methods | 108,564 | b | 4,014,697 | ||
Almost Family | 16,403 | b | 689,090 | ||
Amedisys | 85,108 | b | 4,382,211 | ||
AMN Healthcare Services | 134,558 | b | 4,778,155 | ||
Analogic | 38,499 | 3,041,036 | |||
AngioDynamics | 119,317 | b | 1,461,633 | ||
Anika Therapeutics | 48,227 | b | 2,202,045 | ||
Cantel Medical | 100,386 | 6,724,858 | |||
Chemed | 53,239 | a | 6,909,357 | ||
Computer Programs & Systems | 36,712 | a | 1,884,427 | ||
CONMED | 78,023 | 3,231,713 | |||
CorVel | 31,789 | b | 1,436,863 | ||
Cross Country Healthcare | 83,267 | b | 1,035,009 | ||
CryoLife | 75,803 | 939,957 | |||
Cynosure, Cl. A | 63,719 | a,b | 3,118,408 | ||
Diplomat Pharmacy | 100,640 | a,b | 3,048,386 | ||
Ensign Group | 114,986 | 2,594,084 | |||
ExamWorks Group | 100,099 | b | 3,608,569 | ||
Greatbatch | 68,597 | b | 2,387,176 | ||
Haemonetics | 146,565 | b | 4,753,103 | ||
HealthEquity | 102,748 | a,b | 2,584,112 | ||
HealthStream | 53,985 | b | 1,221,141 | ||
Healthways | 92,002 | b | 1,071,823 | ||
HMS Holdings | 245,721 | b | 4,150,228 | ||
ICU Medical | 37,464 | b | 3,721,674 | ||
Inogen | 48,850 | b | 2,386,811 | ||
Integra LifeSciences Holdings | 88,776 | b | 6,287,116 | ||
Invacare | 78,435 | a | 881,609 | ||
Kindred Healthcare | 212,947 | 3,143,098 | |||
Landauer | 29,920 | a | 1,039,421 | ||
LHC Group | 41,371 | b | 1,668,906 | ||
Magellan Health | 75,472 | b | 5,317,757 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Health Care Equipment & Services - 8.8% (continued) | |||||
Masimo | 141,446 | b | 6,131,684 | ||
Medidata Solutions | 167,963 | b | 7,328,226 | ||
Meridian Bioscience | 120,398 | 2,300,806 | |||
Merit Medical Systems | 134,637 | b | 2,726,399 | ||
Natus Medical | 94,607 | b | 3,015,125 | ||
Neogen | 104,049 | b | 4,915,275 | ||
NuVasive | 133,071 | b | 7,044,779 | ||
Omnicell | 103,551 | b | 3,299,135 | ||
PharMerica | 102,870 | b | 2,431,847 | ||
Providence Service | 26,815 | b | 1,336,460 | ||
Quality Systems | 149,813 | 2,109,367 | |||
Select Medical Holdings | 264,833 | b | 3,543,466 | ||
Surgical Care Affiliates | 73,934 | b | 3,574,709 | ||
SurModics | 53,791 | b | 1,082,275 | ||
U.S. Physical Therapy | 32,992 | 1,644,981 | |||
Vascular Solutions | 40,565 | b | 1,417,747 | ||
Zeltiq Aesthetics | 88,219 | b | 2,637,748 | ||
159,299,018 | |||||
Household & Personal Products - .5% | |||||
Central Garden & Pet | 23,678 | b | 385,241 | ||
Central Garden & Pet, Cl. A | 103,199 | b | 1,681,112 | ||
Inter Parfums | 52,355 | 1,603,110 | |||
Medifast | 50,252 | 1,584,446 | |||
WD-40 | 35,972 | 3,679,936 | |||
8,933,845 | |||||
Insurance - 2.6% | |||||
American Equity Investment Life Holding | 263,183 | 3,684,562 | |||
AMERISAFE | 47,757 | 2,573,147 | |||
eHealth | 29,773 | b | 333,160 | ||
Employers Holdings | 105,239 | 3,125,598 | |||
HCI Group | 29,990 | a | 898,500 | ||
Horace Mann Educators | 111,865 | 3,479,001 | |||
Infinity Property & Casualty | 27,988 | 2,243,518 | |||
Navigators Group | 32,336 | b | 2,671,277 | ||
ProAssurance | 141,212 | 6,740,049 | |||
RLI | 102,803 | a | 6,392,291 | ||
Safety Insurance Group | 30,473 | 1,725,077 | |||
Selective Insurance Group | 174,503 | 6,056,999 | |||
Stewart Information Services | 60,370 | 2,102,083 |
14
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Insurance - 2.6% (continued) | |||||
United Fire Group | 60,477 | a | 2,710,579 | ||
United Insurance Holdings | 41,653 | a | 679,360 | ||
Universal Insurance Holdings | 114,258 | 2,012,083 | |||
47,427,284 | |||||
Materials - 5.1% | |||||
A. Schulman | 76,749 | 2,140,530 | |||
AK Steel Holding | 624,720 | a,b | 2,923,690 | ||
American Vanguard | 92,364 | b | 1,528,624 | ||
Balchem | 84,481 | 5,183,754 | |||
Boise Cascade | 96,961 | b | 2,023,576 | ||
Calgon Carbon | 154,613 | 2,534,107 | |||
Century Aluminum | 144,418 | a,b | 1,273,767 | ||
Chemours | 498,424 | 4,545,627 | |||
Clearwater Paper | 55,365 | b | 3,307,505 | ||
Deltic Timber | 21,708 | a | 1,356,750 | ||
Flotek Industries | 127,771 | a,b | 1,207,436 | ||
FutureFuel | 100,294 | 1,127,305 | |||
Glatfelter | 103,789 | 2,379,882 | |||
H.B. Fuller | 156,616 | 7,003,868 | |||
Hawkins | 12,042 | 471,203 | |||
Haynes International | 35,024 | a | 1,314,451 | ||
Headwaters | 230,598 | b | 4,614,266 | ||
Innophos Holdings | 55,315 | 2,044,442 | |||
Innospec | 73,073 | 3,533,810 | |||
Intrepid Potash | 113,071 | b | 144,731 | ||
Kaiser Aluminum | 59,161 | 5,610,238 | |||
KapStone Paper and Packaging | 221,863 | 3,525,403 | |||
Koppers Holdings | 72,093 | b | 1,811,697 | ||
Kraton Performance Polymers | 113,970 | b | 2,588,259 | ||
LSB Industries | 31,408 | b | 413,329 | ||
Materion | 69,921 | 2,027,010 | |||
Myers Industries | 70,969 | a | 956,662 | ||
Neenah Paper | 49,555 | a | 3,225,535 | ||
Olympic Steel | 32,416 | 733,250 | |||
Quaker Chemical | 37,269 | 3,319,177 | |||
Rayonier Advanced Materials | 143,603 | 1,471,931 | |||
Schweitzer-Mauduit International | 92,629 | 3,185,511 | |||
Stepan | 56,296 | 3,450,382 | |||
Stillwater Mining | 315,297 | a,b | 3,846,623 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Materials - 5.1% (continued) | |||||
SunCoke Energy | 177,976 | 1,322,362 | |||
TimkenSteel | 111,556 | 1,421,223 | |||
Tredegar | 46,188 | a | 737,160 | ||
US Concrete | 42,404 | a,b | 2,618,871 | ||
92,923,947 | |||||
Media - .7% | |||||
E.W. Scripps, Cl. A | 121,370 | a,b | 1,842,397 | ||
Gannet Company | 326,146 | 5,495,560 | |||
Harte-Hanks | 143,675 | 261,489 | |||
Scholastic | 65,804 | a | 2,393,950 | ||
Sizmek | 73,893 | b | 195,816 | ||
World Wrestling Entertainment, Cl. A | 105,796 | a | 1,760,445 | ||
11,949,657 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 3.5% | |||||
Acorda Therapeutics | 129,271 | b | 3,341,655 | ||
Albany Molecular Research | 83,520 | a,b | 1,256,976 | ||
AMAG Pharmaceuticals | 103,298 | a,b | 2,739,463 | ||
ANI Pharmaceuticals | 21,086 | b | 958,780 | ||
Cambrex | 96,993 | b | 4,678,942 | ||
DepoMed | 173,140 | a,b | 3,009,173 | ||
Emergent BioSolutions | 93,731 | b | 3,610,518 | ||
Enanta Pharmaceuticals | 37,748 | a,b | 1,102,242 | ||
Impax Laboratories | 190,712 | b | 6,360,245 | ||
Lannett | 85,671 | a,b | 1,643,170 | ||
Ligand Pharmaceuticals, Cl. B | 53,946 | a,b | 6,520,453 | ||
Luminex | 138,826 | b | 2,790,403 | ||
Medicines | 196,370 | a,b | 6,988,808 | ||
MiMedx Group | 278,775 | a,b | 2,099,176 | ||
Momenta Pharmaceuticals | 148,306 | b | 1,410,390 | ||
Nektar Therapeutics | 385,264 | a,b | 6,040,940 | ||
Phibro Animal Health, Cl. A | 59,034 | a | 1,224,365 | ||
Repligen | 90,808 | b | 2,419,125 | ||
Sagent Pharmaceuticals | 45,955 | b | 534,916 | ||
SciClone Pharmaceuticals | 140,333 | b | 1,852,396 | ||
Spectrum Pharmaceuticals | 167,925 | a,b | 1,190,588 | ||
Supernus Pharmaceuticals | 101,961 | b | 1,749,651 | ||
63,522,375 | |||||
Real Estate - 7.3% | |||||
Acadia Realty Trust | 187,012 | c | 6,302,304 |
16
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Real Estate - 7.3% (continued) | |||||
Agree Realty | 45,236 | c | 1,754,252 | ||
American Assets Trust | 129,949 | c | 5,155,077 | ||
Capstead Mortgage | 289,004 | a,c | 2,809,119 | ||
CareTrust | 134,560 | c | 1,711,603 | ||
Cedar Realty Trust | 228,442 | c | 1,580,819 | ||
Chesapeake Lodging Trust | 194,994 | c | 4,802,702 | ||
CoreSite Realty | 78,137 | c | 5,854,805 | ||
Cousins Properties | 638,054 | c | 6,603,859 | ||
DiamondRock Hospitality | 612,951 | c | 5,461,393 | ||
EastGroup Properties | 98,618 | c | 5,892,425 | ||
Education Realty Trust | 166,307 | c | 6,614,029 | ||
Forestar Group | 74,024 | a,b,c | 999,324 | ||
Four Corners Property Trust | 159,692 | c | 2,834,533 | ||
Franklin Street Properties | 244,155 | c | 2,592,926 | ||
GEO Group | 193,525 | 6,198,606 | |||
Getty Realty | 76,449 | c | 1,504,516 | ||
Government Properties Income Trust | 170,723 | a,c | 3,230,079 | ||
Kite Realty Group Trust | 233,744 | c | 6,364,849 | ||
Lexington Realty Trust | 679,831 | c | 5,968,916 | ||
LTC Properties | 112,515 | c | 5,219,571 | ||
Medical Properties Trust | 653,627 | c | 8,699,775 | ||
Parkway Properties | 227,246 | c | 3,738,197 | ||
Pennsylvania Real Estate Investment Trust | 191,125 | a,c | 4,384,407 | ||
PS Business Parks | 62,075 | c | 5,944,302 | ||
RE/MAX Holdings, Cl. A | 51,314 | 1,888,355 | |||
Retail Opportunity Investments | 254,877 | c | 5,013,431 | ||
Sabra Health Care | 183,279 | c | 3,865,354 | ||
Saul Centers | 31,599 | c | 1,680,435 | ||
Summit Hotel Properties | 300,039 | c | 3,420,445 | ||
Universal Health Realty Income Trust | 43,779 | c | 2,390,333 | ||
Urstadt Biddle Properties, Cl. A | 68,697 | c | 1,412,410 | ||
131,893,151 | |||||
Retailing - 5.0% | |||||
Asbury Automotive Group | 80,288 | b | 4,867,059 | ||
Barnes & Noble | 168,581 | 1,980,827 | |||
Barnes and Noble Education | 82,236 | a,b | 769,729 | ||
Big 5 Sporting Goods | 52,516 | 634,918 | |||
Blue Nile | 34,216 | 882,088 | |||
Buckle | 76,831 | a | 2,223,489 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Retailing - 5.0% (continued) | |||||
Caleres | 125,101 | 3,153,796 | |||
Cato, Cl. A | 78,711 | 2,880,035 | |||
Core-Mark Holding | 63,043 | 5,148,091 | |||
Express | 233,373 | b | 4,242,721 | ||
Finish Line, Cl. A | 111,942 | 2,210,854 | |||
Five Below | 151,542 | a,b | 6,319,301 | ||
Francesca's Holdings | 131,010 | a,b | 2,174,766 | ||
Fred's, Cl. A | 92,496 | a | 1,356,916 | ||
FTD Companies | 52,785 | b | 1,467,951 | ||
Genesco | 59,617 | b | 4,124,304 | ||
Group 1 Automotive | 59,939 | 3,946,384 | |||
Haverty Furniture | 49,950 | a | 932,567 | ||
Hibbett Sports | 68,196 | a,b | 2,461,876 | ||
Kirkland's | 50,437 | 828,176 | |||
Lithia Motors, Cl. A | 69,993 | a | 5,810,819 | ||
Lumber Liquidators Holdings | 66,072 | a,b | 985,134 | ||
MarineMax | 64,842 | b | 1,232,646 | ||
Monro Muffler Brake | 84,690 | a | 5,862,242 | ||
NutriSystem | 81,506 | 1,794,762 | |||
Outerwall | 51,563 | a | 2,130,068 | ||
PetMed Express | 59,167 | a | 1,082,756 | ||
Rent-A-Center | 168,840 | a | 2,481,948 | ||
Select Comfort | 157,980 | b | 3,898,946 | ||
Sonic Automotive, Cl. A | 82,850 | 1,554,266 | |||
Stage Stores | 67,430 | a | 496,285 | ||
Stein Mart | 53,935 | 390,489 | |||
Tailored Brands | 131,192 | a | 2,285,365 | ||
The Children's Place | 62,568 | 4,874,673 | |||
Tuesday Morning | 98,094 | b | 851,456 | ||
Vitamin Shoppe | 66,907 | a,b | 1,831,245 | ||
VOXX International | 37,300 | a,b | 167,477 | ||
Zumiez | 51,508 | a,b | 864,304 | ||
91,200,729 | |||||
Semiconductors & Semiconductor Equipment - 3.1% | |||||
Advanced Energy Industries | 133,359 | b | 4,314,164 | ||
Brooks Automation | 162,361 | 1,535,935 | |||
Cabot Microelectronics | 72,313 | 3,029,192 | |||
CEVA | 64,416 | b | 1,485,433 | ||
Cirrus Logic | 181,596 | a,b | 6,555,616 |
18
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Semiconductors & Semiconductor Equipment - 3.1% (continued) | |||||
Cohu | 91,189 | 1,054,145 | |||
Diodes | 80,346 | b | 1,496,043 | ||
DSP Group | 61,946 | b | 588,487 | ||
Exar | 105,222 | b | 641,854 | ||
Kopin | 154,486 | b | 256,447 | ||
Kulicke & Soffa Industries | 178,729 | b | 1,915,975 | ||
MKS Instruments | 146,806 | 5,264,463 | |||
Monolithic Power Systems | 96,878 | 6,047,125 | |||
Nanometrics | 42,212 | b | 753,906 | ||
Power Integrations | 88,022 | 4,247,061 | |||
Rambus | 316,569 | b | 3,678,532 | ||
Rudolph Technologies | 103,918 | b | 1,441,343 | ||
Semtech | 184,981 | b | 4,002,989 | ||
Tessera Technologies | 156,030 | 4,481,182 | |||
Ultratech | 56,921 | b | 1,234,616 | ||
Veeco Instruments | 111,049 | b | 2,044,412 | ||
56,068,920 | |||||
Software & Services - 5.5% | |||||
Blackbaud | 131,739 | 8,137,518 | |||
Blucora | 114,102 | b | 913,957 | ||
Bottomline Technologies | 106,414 | b | 2,613,528 | ||
CACI International, Cl. A | 71,387 | b | 6,863,860 | ||
Cardtronics | 140,677 | a,b | 5,545,487 | ||
Ciber | 187,916 | b | 435,965 | ||
CSG Systems International | 99,355 | a | 4,409,375 | ||
DHI Group | 168,336 | b | 1,196,869 | ||
Ebix | 64,798 | a | 3,118,080 | ||
Epiq Systems | 81,158 | 1,198,704 | |||
ExlService Holdings | 92,378 | b | 4,470,171 | ||
Forrester Research | 35,925 | 1,207,799 | |||
Interactive Intelligence Group | 36,297 | b | 1,349,159 | ||
Liquidity Services | 73,782 | a,b | 411,704 | ||
LivePerson | 117,131 | b | 708,643 | ||
LogMeIn | 67,885 | b | 4,052,734 | ||
ManTech International, Cl. A | 61,944 | 2,093,707 | |||
MicroStrategy, Cl. A | 30,448 | b | 5,459,935 | ||
Monotype Imaging Holdings | 97,533 | 2,148,652 | |||
Monster Worldwide | 310,359 | a,b | 993,149 | ||
NIC | 164,750 | 2,917,722 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Software & Services - 5.5% (continued) | |||||
Perficient | 104,521 | b | 2,182,398 | ||
Progress Software | 152,872 | a,b | 3,901,293 | ||
Qualys | 79,848 | a,b | 2,010,573 | ||
QuinStreet | 77,713 | a,b | 273,550 | ||
Rovi | 232,878 | a,b | 4,103,310 | ||
Stamps.com | 40,695 | a,b | 3,351,640 | ||
SYKES Enterprises | 122,691 | b | 3,576,443 | ||
Synchronoss Technologies | 119,721 | a,b | 3,719,731 | ||
Take-Two Interactive Software | 254,589 | a,b | 8,701,852 | ||
Tangoe | 79,921 | a,b | 704,903 | ||
TeleTech Holdings | 51,424 | 1,429,073 | |||
VASCO Data Security International | 95,311 | b | 1,651,740 | ||
Virtusa | 82,298 | a,b | 2,924,871 | ||
XO Group | 82,868 | b | 1,463,449 | ||
100,241,544 | |||||
Technology Hardware & Equipment - 7.1% | |||||
ADTRAN | 131,917 | 2,548,636 | |||
Agilysys | 45,484 | a,b | 485,769 | ||
Anixter International | 79,650 | b | 4,962,195 | ||
Badger Meter | 33,852 | a | 2,414,663 | ||
Bel Fuse, Cl. B | 27,512 | 458,350 | |||
Benchmark Electronics | 157,619 | b | 3,060,961 | ||
Black Box | 47,417 | 693,237 | |||
CalAmp | 124,508 | a,b | 1,863,885 | ||
Checkpoint Systems | 130,074 | b | 1,316,349 | ||
Coherent | 72,761 | b | 6,795,877 | ||
Comtech Telecommunications | 48,609 | 1,176,338 | |||
Cray | 126,171 | b | 4,778,096 | ||
CTS | 121,660 | 2,015,906 | |||
Daktronics | 71,502 | 622,067 | |||
DTS | 63,878 | b | 1,393,818 | ||
Electro Scientific Industries | 40,589 | b | 286,152 | ||
Electronics For Imaging | 120,890 | b | 4,816,258 | ||
ePlus | 15,752 | b | 1,266,303 | ||
Fabrinet | 75,279 | b | 2,406,670 | ||
FARO Technologies | 42,451 | b | 1,232,777 | ||
Harmonic | 271,781 | b | 940,362 | ||
II-VI | 166,379 | b | 3,472,330 | ||
Insight Enterprises | 113,620 | b | 2,807,550 |
20
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Technology Hardware & Equipment - 7.1% (continued) | |||||
Itron | 99,729 | b | 4,100,856 | ||
Ixia | 202,316 | b | 2,047,438 | ||
Littelfuse | 61,951 | 7,216,052 | |||
Lumentum Holdings | 124,295 | 3,144,663 | |||
Mercury Systems | 102,489 | b | 2,154,319 | ||
Methode Electronics | 117,162 | 3,483,226 | |||
MTS Systems | 44,027 | a | 2,475,198 | ||
NETGEAR | 102,029 | a,b | 4,326,030 | ||
Newport | 107,545 | b | 2,472,460 | ||
OSI Systems | 50,734 | a,b | 2,581,853 | ||
Park Electrochemical | 43,156 | 703,874 | |||
Plexus | 95,704 | b | 3,996,599 | ||
QLogic | 246,206 | b | 3,222,837 | ||
Rofin-Sinar Technologies | 88,549 | b | 2,850,392 | ||
Rogers | 49,430 | a,b | 2,835,305 | ||
Ruckus Wireless | 231,191 | b | 3,176,564 | ||
Sanmina | 224,464 | b | 5,308,574 | ||
ScanSource | 68,077 | b | 2,769,372 | ||
Super Micro Computer | 95,435 | a,b | 2,568,156 | ||
TTM Technologies | 203,573 | b | 1,327,296 | ||
ViaSat | 126,866 | a,b | 9,730,622 | ||
Viavi Solutions | 707,760 | b | 4,607,518 | ||
128,913,753 | |||||
Telecommunication Services - 1.1% | |||||
8x8 | 236,324 | b | 2,679,914 | ||
Atlantic Tele-Network | 37,072 | a | 2,665,848 | ||
Cincinnati Bell | 588,362 | b | 2,247,543 | ||
Cogent Communications Holdings | 128,700 | a | 4,980,690 | ||
Consolidated Communications Holdings | 121,155 | 2,864,104 | |||
General Communication, Cl. A | 107,982 | b | 1,824,896 | ||
Iridium Communications | 222,870 | a,b | 1,798,561 | ||
Lumos Networks | 34,062 | b | 434,291 | ||
Spok Holdings | 63,569 | 1,080,037 | |||
20,575,884 | |||||
Transportation - 2.6% | |||||
Allegiant Travel | 36,390 | 5,843,142 | |||
ArcBest | 80,064 | 1,528,422 | |||
Atlas Air Worldwide Holdings | 84,126 | b | 3,359,992 | ||
Celadon Group | 46,099 | 464,217 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 98.4% (continued) | Shares | Value ($) | |||
Transportation - 2.6% (continued) | |||||
Echo Global Logistics | 62,380 | a,b | 1,457,821 | ||
Forward Air | 89,212 | 4,066,283 | |||
Hawaiian Holdings | 139,915 | a,b | 5,886,224 | ||
Heartland Express | 144,551 | a | 2,617,819 | ||
Hub Group, Cl. A | 110,372 | b | 4,251,529 | ||
Knight Transportation | 165,041 | a | 4,385,139 | ||
Marten Transport | 62,388 | 1,164,160 | |||
Matson | 124,332 | 4,834,028 | |||
Roadrunner Transportation Systems | 59,188 | a,b | 699,602 | ||
Saia | 74,551 | b | 2,156,015 | ||
SkyWest | 168,250 | 3,953,875 | |||
46,668,268 | |||||
Utilities - 4.3% | |||||
ALLETE | 141,926 | 7,974,822 | |||
American States Water | 108,449 | 4,521,239 | |||
Avista | 183,223 | 7,341,746 | |||
California Water Service Group | 133,435 | a | 3,726,840 | ||
El Paso Electric | 123,307 | 5,561,146 | |||
Northwest Natural Gas | 84,694 | 4,365,129 | |||
NorthWestern | 147,794 | 8,400,611 | |||
Piedmont Natural Gas | 224,823 | 13,444,415 | |||
South Jersey Industries | 199,207 | 5,559,867 | |||
Southwest Gas | 140,212 | 9,101,161 | |||
Spire | 116,539 | 7,453,834 | |||
77,450,810 | |||||
Total Common Stocks (cost $1,401,482,548) | 1,782,417,559 | ||||
Short-Term Investments - .1% | Principal Amount ($) | Value ($) | |||
U.S. Treasury Bills | |||||
0.26%, 6/23/16 | 1,595,000 | d | 1,594,683 |
22
Other Investment - 1.6% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | 29,527,876 | e | 29,527,876 | ||
Investment of Cash Collateral for Securities Loaned - 9.8% | |||||
Registered Investment Company; | |||||
Dreyfus Institutional Cash Advantage Fund | 176,364,240 | e | 176,364,240 | ||
Total Investments (cost $1,608,969,059) | 109.9% | 1,989,904,358 | |||
Liabilities, Less Cash and Receivables | (9.9%) | (178,628,072) | |||
Net Assets | 100.0% | 1,811,276,286 |
a Security, or portion thereof, on loan. At April 30, 2016, the value of the fund’s securities on loan was $223,833,919 and the value of the collateral held by the fund was $229,631,891, consisting of cash collateral of $176,364,240 and U.S. Government & Agency securities valued at $53,267,651.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by or on behalf of a counterparty for open financial futures contracts.
e Investment in affiliated money market mutual fund.
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Short-Term/Money Market Investments | 11.5 |
Banks | 10.6 |
Capital Goods | 9.9 |
Health Care Equipment & Services | 8.8 |
Real Estate | 7.3 |
Technology Hardware & Equipment | 7.1 |
Software & Services | 5.5 |
Materials | 5.1 |
Retailing | 5.0 |
Commercial & Professional Services | 4.6 |
Utilities | 4.3 |
Consumer Durables & Apparel | 3.6 |
Consumer Services | 3.6 |
Pharmaceuticals, Biotechnology & Life Sciences | 3.5 |
Semiconductors & Semiconductor Equipment | 3.1 |
Energy | 3.0 |
Diversified Financials | 2.6 |
Insurance | 2.6 |
Transportation | 2.6 |
Food, Beverage & Tobacco | 1.9 |
Automobiles & Components | 1.1 |
Telecommunication Services | 1.1 |
Media | .7 |
Household & Personal Products | .5 |
Food & Staples Retailing | .3 |
109.9 |
† Based on net assets.
See notes to financial statements.
24
STATEMENT OF FINANCIAL FUTURES
April 30, 2016 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation at 04/30/2016 ($) | ||
Financial Futures Long | |||||
Russell 2000 Mini | 289 | 32,587,640 | June 2016 | 647,917 | |
Gross Unrealized Appreciation | 647,917 |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2016 (Unaudited)
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments |
|
|
|
| ||||
Unaffiliated issuers |
| 1,403,076,943 |
| 1,784,012,242 |
| |||
Affiliated issuers |
| 205,892,116 |
| 205,892,116 |
| |||
Cash |
|
|
|
| 2,364,297 |
| ||
Dividends, interest and securities lending income receivable |
|
|
|
| 1,199,920 |
| ||
Receivable for shares of Common Stock subscribed |
|
|
|
| 859,027 |
| ||
Other assets |
|
|
|
| 13,052 |
| ||
|
|
|
|
| 1,994,340,654 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 723,070 |
| ||
Liability for securities on loan—Note 1(b) |
|
|
|
| 176,364,240 |
| ||
Payable for investment securities purchased |
|
|
|
| 3,337,207 |
| ||
Payable for shares of Common Stock redeemed |
|
|
|
| 2,292,353 |
| ||
Payable for futures variation margin—Note 4 |
|
|
|
| 344,198 |
| ||
Accrued expenses |
|
|
|
| 3,300 |
| ||
|
|
|
|
| 183,064,368 |
| ||
Net Assets ($) |
|
| 1,811,276,286 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 1,372,236,980 |
| ||
Accumulated undistributed investment income—net |
|
|
|
| 6,348,101 |
| ||
Accumulated net realized gain (loss) on investments |
|
|
|
| 51,107,989 |
| ||
Accumulated net unrealized appreciation (depreciation) |
|
|
|
| 381,583,216 |
| ||
Net Assets ($) |
|
| 1,811,276,286 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) |
| 68,596,976 |
| |||||
Net Asset Value Per Share ($) |
| 26.40 |
|
See notes to financial statements.
26
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2016 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $2,083 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 14,581,584 |
| ||
Affiliated issuers |
|
| 23,218 |
| ||
Income from securities lending—Note 1(b) |
|
| 1,114,717 |
| ||
Interest |
|
| 1,145 |
| ||
Total Income |
|
| 15,720,664 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,108,080 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 2,108,080 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 67,222 |
| ||
Loan commitment fees—Note 2 |
|
| 9,328 |
| ||
Total Expenses |
|
| 4,292,710 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (67,222) |
| ||
Net Expenses |
|
| 4,225,488 |
| ||
Investment Income—Net |
|
| 11,495,176 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 61,150,117 |
| ||||
Net realized gain (loss) on financial futures |
|
| 200,900 |
| ||
Net Realized Gain (Loss) |
|
| 61,351,017 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (47,206,033) |
| ||
Net unrealized appreciation (depreciation) on financial futures |
|
| 229,637 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (46,976,396) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 14,374,621 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 25,869,797 |
|
See notes to financial statements.
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 11,495,176 |
|
|
| 17,056,101 |
| |
Net realized gain (loss) on investments |
| 61,351,017 |
|
|
| 160,466,974 |
| ||
Net unrealized appreciation (depreciation) |
| (46,976,396) |
|
|
| (132,080,598) |
| ||
Net Increase (Decrease) in Net Assets | 25,869,797 |
|
|
| 45,442,477 |
| |||
Dividends to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| (17,304,400) |
|
|
| (14,103,759) |
| |
Net realized gain on investments |
|
| (158,389,393) |
|
|
| (120,880,643) |
| |
Total Dividends |
|
| (175,693,793) |
|
|
| (134,984,402) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold |
|
| 257,061,867 |
|
|
| 414,048,767 |
| |
Dividends reinvested |
|
| 171,570,603 |
|
|
| 131,149,954 |
| |
Cost of shares redeemed |
|
| (223,107,408) |
|
|
| (510,037,310) |
| |
Increase (Decrease) in Net Assets | 205,525,062 |
|
|
| 35,161,411 |
| |||
Total Increase (Decrease) in Net Assets | 55,701,066 |
|
|
| (54,380,514) |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 1,755,575,220 |
|
|
| 1,809,955,734 |
| |
End of Period |
|
| 1,811,276,286 |
|
|
| 1,755,575,220 |
| |
Undistributed investment income—net | 6,348,101 |
|
|
| 12,157,325 |
| |||
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 9,928,177 |
|
|
| 14,079,398 |
| |
Shares issued for dividends reinvested |
|
| 6,581,713 |
|
|
| 4,481,405 |
| |
Shares redeemed |
|
| (8,585,184) |
|
|
| (17,330,175) |
| |
Net Increase (Decrease) in Shares Outstanding | 7,924,706 |
|
|
| 1,230,628 |
| |||
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.
Six months Ended | ||||||
April 30, 2016 | Year Ended October 31, | |||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |
Per Share Data ($): | ||||||
Net asset value, | 28.94 | 30.45 | 29.16 | 21.95 | 20.21 | 18.82 |
Investment Operations: | ||||||
Investment income—neta | .18 | .28 | .22 | .28 | .20 | .14 |
Net realized and unrealized | .16 | .52 | 2.34 | 7.88 | 2.39 | 1.80 |
Total from | .34 | .80 | 2.56 | 8.16 | 2.59 | 1.94 |
Distributions: | ||||||
Dividends from | (.28) | (.24) | (.21) | (.32) | (.11) | (.16) |
Dividends from net realized | (2.60) | (2.07) | (1.06) | (.63) | (.74) | (.39) |
Total Distributions | (2.88) | (2.31) | (1.27) | (.95) | (.85) | (.55) |
Net asset value, end of period | 26.40 | 28.94 | 30.45 | 29.16 | 21.95 | 20.21 |
Total Return (%) | 1.31b | 2.54 | 8.91 | 38.63 | 13.24 | 10.29 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .51c | .51 | .51 | .51 | .51 | .51 |
Ratio of net expenses | .50c | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment | 1.36c | .94 | .75 | 1.13 | .97 | .68 |
Portfolio Turnover Rate | 10.82b | 16.53 | 18.22 | 20.89 | 14.64 | 22.25 |
Net Assets, end of period ($ x 1,000) | 1,811,276 | 1,755,575 | 1,809,956 | 1,628,365 | 1,127,930 | 1,025,657 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective 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 (Unaudited) (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 April 30, 2016 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— | 1,775,883,983 | - | - | 1,775,883,983 |
Equity Securities— | 6,533,576 | - | - | 6,533,576 |
Mutual Funds | 205,892,116 | - | - | 205,892,116 |
U.S. Treasury | - | 1,594,683 | - | 1,594,683 |
Other Financial | ||||
Financial Futures†† | 647,917 | - | - | 647,917 |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At April 30, 2016, there were no transfers between levels 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 borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2016, The Bank of New York Mellon
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
earned $304,438 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2016 were as follows:
Affiliated Investment Company | Value | Purchases ($) | Sales ($) | Value | Net |
Dreyfus Institutional Preferred Plus Money Market Fund | 16,423,463 | 128,603,003 | 115,498,590 | 29,527,876 | 1.6 |
Dreyfus Institutional Cash Advantage Fund | 72,484,358 | 436,263,533 | 332,383,651 | 176,364,240 | 9.8 |
Total | 88,907,821 | 564,866,536 | 447,882,241 | 205,892,116 | 11.4 |
(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 April 30, 2016, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2016, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2015 remains subject to examination by the Internal Revenue Service and state taxing authorities.
34
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2015 was as follows: ordinary income $18,988,306, and long-term capital gains $115,996,096. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $555 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 January 11, 2016, the unsecured credit facility with Citibank, N.A. was $480 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2016, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with 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 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 April 30, 2016, fees reimbursed by Dreyfus amounted to $67,222.
(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)
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2016, the fund was charged $2,108,080 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 $366,881 and Shareholder Services Plan fees $366,881, which are offset against an expense reimbursement currently in effect in the amount of $10,692.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2016, amounted to $216,634,873 and $184,793,023, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2016 is discussed below.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange guarantees the financial futures against default. Financial futures open at April 30, 2016 are set forth in the Statement of Financial Futures.
36
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2016:
|
| Average Market Value ($) |
Equity financial futures | 17,708,993 | |
At April 30, 2016, accumulated net unrealized appreciation on investments was $380,935,299, consisting of $493,851,029 gross unrealized appreciation and $112,915,730 gross unrealized depreciation.
At April 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5- Subsequent Event:
On May 17, 2016, the Board approved, effective on or about August 31, 2016, a proposal to commence offering Class I shares as a new class of shares of the fund, and the redesignation of existing shares as Investor shares.
37
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 17-18, 2016, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for
38
various periods ended December 31, 2015, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed the results of the comparisons and noted that the fund’s total return performance was above the Performance Group and Performance Universe medians for all periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board noted that the fund’s contractual management fee was above the Expense Group median, the fund’s actual management fee was above the Expense Group and the Expense Universe medians and that the fund’s total expenses were below the Expense Group median and above the Expense Universe median.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for
39
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and noted the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board was satisfied with the fund’s relative performance.
· The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
40
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of the fund and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years. The Board determined to renew the Agreement.
41
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.
© 2016 MBSC Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 22, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 22, 2016
By: /s/ James Windels
James Windels
Treasurer
Date: June 22, 2016
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)