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: | 10/31/2017
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FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus International Stock Index Fund
ANNUAL REPORT October 31, 2017 |
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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
in Affiliated Issuers | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus International Stock Index Fund, covering the 12-month period from November 1, 2016 through October 31, 2017. 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.
Stocks set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 2017, 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 12-month period ended October 31, 2017, Dreyfus International Stock Index Fund’s Class I shares produced a total return of 23.04%, and its Investor shares returned 22.71%.1 This compares with a 23.44% total return for the fund’s benchmark, the MSCI EAFE Index (the “Index”), during the same period.2
International equity markets gained ground during the reporting period, supported by improving economic data, better-than-expected corporate earnings, and positive political developments. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the Index and, to pursue its goal, the fund is generally fully invested in stocks included in the Index and in futures whose performance is tied to certain countries included in the Index. The fund generally invests in all stocks included in the 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 Index.
The Index is an unmanaged, free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada. Each stock in the Index is weighted by its float-adjusted market capitalization.
Political Stability and Improving Economics Buoyed Markets
Investors over the final months of 2016 responded cautiously to political uncertainty in the United States stemming from the unexpected election of a new presidential administration. As a result, the Index began the reporting period with mild declines. However, investor sentiment changed dramatically in early 2017 when international markets were cheered by encouraging global economic data and waning fears of U.S. protectionism.
Stocks in the Eurozone were bolstered by an improving regional economy, better-than-expected corporate earnings, and encouraging statements from the European Central Bank, which upgraded growth forecasts while pledging to keep stimulus programs in place for the time being. At the same time, Dutch and French election results reaffirmed regional unity by rejecting nationalist candidates opposed to membership in the European Union. The United Kingdom participated in the market’s rise but lagged its neighbors as the country began the process of exiting the European Union, and local political turmoil continued when elections in June resulted in a hung parliament. In Japan, solid corporate financial results bolstered returns, the Bank of Japan issued a positive revision to its economic forecast, and investors responded enthusiastically to the reelection of the country’s pro-business prime minister.
3
DISCUSSION OF FUND PERFORMANCE (continued)
These developments enabled the Index to produce returns that were roughly in line with broad-based measures of large-cap U.S. stock market performance.
Financial Stocks Led Global Markets Higher
The Index’s gains over the reporting period were led by a rebounding financials sector. Banks, insurance companies, and capital market firms benefited from rising lending margins, waning political concerns in developed markets, and accelerating global economic growth. Japanese and European banks particularly benefited from higher interest rates, which supported positive bond yields and wider lending margins. Industrial stocks fared quite well across a wide range of countries, boosted by rising demand for machinery and electronic components in the recovering economy. Most notably, demand for industrial products and services rebounded strongly in China as local economic conditions improved, benefiting a number of manufacturers in Europe and Japan. Aerospace-related companies also fared well in an environment of rising demand for commercial aircraft.
From a country perspective, Japan contributed significantly to the Index’s gains amid the nation’s strongest economic growth in two years. A weakening U.S. dollar and robust demand for Japanese goods from China and the United States helped boost business conditions for exporters of semiconductors and factory automation technology.
Although all 11 of the industry groups represented in the Index produced positive absolute returns over the reporting period, the telecommunication services sector posted only a mild gain due to weakness among landline providers, heavy debt loads, and intensifying competitive pressures. The real estate sector also lagged market averages, mainly due to soft Japanese and Australian property markets.
Replicating the Performance of the Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that the global economic recovery appears to have gained momentum, and corporate earnings have continued to exceed many analysts’ expectations. However, the market’s currently constructive conditions could be undermined by unexpected economic and political developments. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 15, 2017
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 MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in any index.
Equities 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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus International Stock Index Fund Investor shares and Class I shares and the MSCI EAFE Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Investor and Class I shares of Dreyfus International Stock Index Fund on 10/31/07 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (continued)
Average Annual Total Returns as of 10/31/17 | |||||
| Inception Date | 1 Year | 5 Years | 10 Years | |
Investor Shares | 6/30/97 | 22.71% | 8.02% | 0.66% | |
Class I Shares | 8/31/16 | 23.04% | 8.09%† | 0.69%† | |
MSCI EAFE Index | 23.44% | 8.53% | 1.10% |
† The total return performance figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from May 1, 2017 to October 31, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended October 31, 2017 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $3.18 | $1.86 | ||||
Ending value (after expenses) | $1,104.30 | $1,105.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2017 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $3.06 | $1.79 | ||||
Ending value (after expenses) | $1,022.18 | $1,023.44 |
† Expenses are equal to the fund’s annualized expense ratio of .60% for Investor Shares and .35% for Class I, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
7
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% | |||||||
Australia - 6.6% | |||||||
AGL Energy | 27,149 | 525,073 | |||||
Alumina | 90,532 | 162,136 | |||||
Amcor | 46,575 | 564,636 | |||||
AMP | 119,496 | 454,538 | |||||
APA Group | 45,190 | 296,058 | |||||
Aristocrat Leisure | 22,606 | 407,451 | |||||
ASX | 8,086 | 334,062 | |||||
Aurizon Holdings | 85,479 | 338,883 | |||||
AusNet Services | 72,030 | 97,577 | |||||
Australia & New Zealand Banking Group | 119,393 | 2,734,016 | |||||
Bank of Queensland | 16,881 | 172,610 | |||||
Bendigo & Adelaide Bank | 20,921 | 182,216 | |||||
BHP Billiton | 130,542 | 2,651,623 | |||||
BlueScope Steel | 20,308 | 199,569 | |||||
Boral | 50,759 | 277,766 | |||||
Brambles | 65,384 | 473,395 | |||||
Caltex Australia | 10,982 | 287,958 | |||||
Challenger | 23,612 | 240,351 | |||||
CIMIC Group | 4,044 | 149,647 | |||||
Coca-Cola Amatil | 22,091 | 137,795 | |||||
Cochlear | 2,328 | 313,443 | |||||
Commonwealth Bank of Australia | 70,589 | 4,193,989 | |||||
Computershare | 19,692 | 234,811 | |||||
Crown Resorts | 16,014 | 142,296 | |||||
CSL | 18,473 | 1,964,238 | |||||
Dexus | 40,447 | 302,442 | |||||
Domino's Pizza Enterprises | 2,506 | 89,358 | |||||
Flight Centre Travel Group | 2,140 | 76,651 | |||||
Fortescue Metals Group | 62,149 | 220,705 | |||||
Goodman Group | 71,675 | 458,601 | |||||
GPT Group | 73,335 | 285,687 | |||||
Harvey Norman Holdings | 21,349 | 61,763 | |||||
Healthscope | 74,351 | 111,533 | |||||
Incitec Pivot | 69,755 | 203,939 | |||||
Insurance Australia Group | 97,973 | 491,893 | |||||
James Hardie Industries-CDI | 18,915 | 287,940 | |||||
LendLease Group | 21,737 | 269,677 | |||||
Macquarie Group | 13,224 | 995,401 | |||||
Medibank Private | 115,899 | 272,319 | |||||
Mirvac Group | 150,475 | 277,551 | |||||
National Australia Bank | 109,822 | 2,745,151 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Australia - 6.6% (continued) | |||||||
Newcrest Mining | 30,798 | 528,232 | |||||
Oil Search | 57,186 | 323,003 | |||||
Orica | 15,372 | 245,535 | |||||
Origin Energy | 70,777 | a | 430,104 | ||||
Qantas Airways | 18,369 | 86,461 | |||||
QBE Insurance Group | 55,136 | 450,679 | |||||
Ramsay Health Care | 5,670 | 290,359 | |||||
REA Group | 2,402 | 132,878 | |||||
Rio Tinto | 17,681 | 939,809 | |||||
Santos | 74,951 | a | 258,137 | ||||
Scentre Group | 222,910 | 685,830 | |||||
SEEK | 13,743 | 193,220 | |||||
Sonic Healthcare | 16,995 | 283,165 | |||||
South32 | 219,113 | 565,143 | |||||
Stockland | 100,018 | 346,001 | |||||
Suncorp Group | 51,741 | 537,768 | |||||
Sydney Airport | 46,218 | 251,502 | |||||
Tabcorp Holdings | 30,122 | 103,512 | |||||
Tatts Group | 49,555 | 158,155 | |||||
Telstra | 171,658 | 465,080 | |||||
TPG Telecom | 14,383 | 59,443 | |||||
Transurban Group | 85,157 | 790,573 | |||||
Treasury Wine Estates | 30,068 | 360,147 | |||||
Vicinity Centres | 137,818 | 279,520 | |||||
Wesfarmers | 45,774 | 1,464,387 | |||||
Westfield | 81,220 | 482,997 | |||||
Westpac Banking | 136,622 | 3,449,559 | |||||
Woodside Petroleum | 31,615 | 743,561 | |||||
Woolworths | 52,656 | 1,042,972 | |||||
40,634,480 | |||||||
Austria - .3% | |||||||
ANDRITZ | 3,175 | 179,520 | |||||
Erste Group Bank | 12,469 | a | 535,809 | ||||
OMV | 6,042 | 363,021 | |||||
Raiffeisen Bank International | 5,860 | a | 204,166 | ||||
Voestalpine | 4,531 | 249,303 | |||||
1,531,819 | |||||||
Belgium - 1.2% | |||||||
Ageas | 7,979 | 387,063 | |||||
Anheuser-Busch InBev | 31,189 | 3,816,518 | |||||
Colruyt | 2,524 | 129,099 | |||||
Groupe Bruxelles Lambert | 3,239 | 347,790 | |||||
KBC Group | 10,453 | 868,283 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Belgium - 1.2% (continued) | |||||||
Proximus | 6,406 | 212,742 | |||||
Solvay | 2,982 | 443,055 | |||||
Telenet Group Holding | 2,038 | a | 140,966 | ||||
UCB | 5,232 | 380,845 | |||||
Umicore | 7,824 | 349,696 | |||||
7,076,057 | |||||||
Bermuda - .1% | |||||||
Jardine Strategic Holdings | 9,200 | 385,848 | |||||
Cayman Islands - .1% | |||||||
CK Asset Holdings | 107,975 | 887,866 | |||||
China - .0% | |||||||
Yangzijiang Shipbuilding Holdings | 91,000 | 105,146 | |||||
Denmark - 1.8% | |||||||
AP Moller - Maersk, Cl. A | 154 | 285,424 | |||||
AP Moller - Maersk, Cl. B | 270 | 518,593 | |||||
Carlsberg, Cl. B | 4,315 | 492,747 | |||||
Chr. Hansen Holding | 4,149 | 363,056 | |||||
Coloplast, Cl. B | 4,922 | 433,008 | |||||
Danske Bank | 30,106 | 1,148,489 | |||||
DONG Energy | 6,818 | b | 382,083 | ||||
DSV | 7,672 | 593,272 | |||||
Genmab | 2,302 | a | 464,850 | ||||
H Lundbeck A/S | 2,420 | 143,800 | |||||
ISS | 6,826 | 288,929 | |||||
Novo Nordisk, Cl. B | 76,117 | 3,786,637 | |||||
Novozymes, Cl. B | 9,311 | 514,213 | |||||
Pandora | 4,591 | 433,354 | |||||
TDC | 33,595 | 198,628 | |||||
Tryg | 3,988 | 94,952 | |||||
Vestas Wind Systems | 8,830 | 778,884 | |||||
William Demant Holding | 4,877 | a | 140,701 | ||||
11,061,620 | |||||||
Finland - .9% | |||||||
Elisa | 6,022 | 242,639 | |||||
Fortum | 19,062 | 404,785 | |||||
Kone, Cl. B | 13,894 | 752,090 | |||||
Metso | 4,971 | 180,720 | |||||
Neste | 5,198 | 289,605 | |||||
Nokia | 238,076 | 1,169,193 | |||||
Nokian Renkaat | 4,816 | 220,862 | |||||
Orion, Cl. B | 4,244 | 174,015 | |||||
Sampo, Cl. A | 18,573 | 973,131 | |||||
Stora Enso, Cl. R | 22,540 | 352,614 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Finland - .9% (continued) | |||||||
UPM-Kymmene | 21,468 | 645,180 | |||||
Wartsila | 5,989 | 385,788 | |||||
5,790,622 | |||||||
France - 10.3% | |||||||
Accor | 7,311 | 364,792 | |||||
Aeroports de Paris | 1,220 | 205,493 | |||||
Air Liquide | 17,366 | 2,211,005 | |||||
Airbus | 23,539 | 2,406,052 | |||||
Alstom | 5,912 | 239,240 | |||||
Altice, Cl. A | 19,330 | a | 364,655 | ||||
Altice, Cl. B | 3,963 | a | 74,738 | ||||
Arkema | 2,916 | 368,372 | |||||
Atos | 3,854 | 598,877 | |||||
AXA | 78,838 | 2,381,266 | |||||
BNP Paribas | 45,695 | 3,568,392 | |||||
Bollore | 38,721 | 187,182 | |||||
Bollore | 188 | a | 891 | ||||
Bouygues | 8,649 | 415,232 | |||||
Bureau Veritas | 11,441 | 306,455 | |||||
Capgemini | 6,695 | 813,791 | |||||
Carrefour | 22,631 | 455,530 | |||||
Casino Guichard Perrachon | 2,041 | 116,579 | |||||
Cie de Saint-Gobain | 20,699 | 1,214,241 | |||||
Cie Generale des Etablissements Michelin | 7,085 | 1,025,017 | |||||
CNP Assurances | 6,982 | 162,456 | |||||
Credit Agricole | 46,593 | 813,022 | |||||
Danone | 24,353 | 1,989,702 | |||||
Dassault Aviation | 93 | 145,055 | |||||
Dassault Systemes | 5,236 | 556,060 | |||||
Edenred | 8,683 | 250,331 | |||||
Eiffage | 2,922 | 305,277 | |||||
Electricite de France | 21,516 | 281,707 | |||||
Engie | 74,238 | 1,254,768 | |||||
Essilor International | 8,595 | 1,088,292 | |||||
Eurazeo | 1,483 | 137,870 | |||||
Eurofins Scientific | 427 | 267,099 | |||||
Eutelsat Communications | 6,845 | 171,508 | |||||
Fonciere Des Regions | 1,331 | 135,553 | |||||
Gecina | 1,784 | 289,478 | |||||
Groupe Eurotunnel | 19,532 | 245,492 | |||||
Hermes International | 1,294 | 671,584 | |||||
ICADE | 1,543 | 134,802 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
France - 10.3% (continued) | |||||||
Iliad | 1,135 | 283,393 | |||||
Imerys | 1,513 | 137,803 | |||||
Ingenico Group | 2,382 | 231,241 | |||||
Ipsen | 1,317 | 159,240 | |||||
JCDecaux | 3,359 | 128,533 | |||||
Kering | 3,059 | 1,402,149 | |||||
Klepierre | 9,148 | 363,851 | |||||
Lagardere | 4,384 | 144,392 | |||||
Legrand | 10,721 | 796,382 | |||||
L'Oreal | 10,232 | 2,277,075 | |||||
LVMH Moet Hennessy Louis Vuitton | 11,405 | 3,402,316 | |||||
Natixis | 36,653 | 287,424 | |||||
Orange | 80,742 | 1,324,726 | |||||
Pernod Ricard | 8,816 | 1,322,174 | |||||
Peugeot | 21,013 | 498,474 | |||||
Publicis Groupe | 8,508 | 554,594 | |||||
Remy Cointreau | 1,005 | 130,530 | |||||
Renault | 7,335 | 727,451 | |||||
Rexel | 12,502 | 223,177 | |||||
Safran | 12,644 | 1,331,885 | |||||
Sanofi | 46,406 | 4,394,213 | |||||
Schneider Electric | 22,832 | a | 2,006,656 | ||||
SCOR | 6,634 | 275,451 | |||||
SEB | 924 | 172,211 | |||||
Societe BIC | 1,212 | 128,008 | |||||
Societe Generale | 31,248 | 1,739,883 | |||||
Sodexo | 3,822 | 486,387 | |||||
Suez | 14,618 | 257,119 | |||||
Thales | 4,298 | 447,984 | |||||
Total | 97,619 | 5,443,367 | |||||
Unibail-Rodamco | 4,128 | 1,033,106 | |||||
Valeo | 9,814 | 664,189 | |||||
Veolia Environnement | 19,068 | 451,779 | |||||
Vinci | 20,666 | 2,023,317 | |||||
Vivendi | 42,839 | 1,064,139 | |||||
Wendel | 1,242 | 209,488 | |||||
Zodiac Aerospace | 8,639 | 247,050 | |||||
62,989,013 | |||||||
Germany - 9.0% | |||||||
adidas | 7,671 | 1,707,139 | |||||
Allianz | 18,710 | 4,344,701 | |||||
Axel Springer | 1,985 | 133,878 | |||||
BASF | 37,595 | 4,099,855 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Germany - 9.0% (continued) | |||||||
Bayer | 33,869 | 4,406,821 | |||||
Bayerische Motoren Werke | 13,715 | 1,397,892 | |||||
Beiersdorf | 4,077 | 457,337 | |||||
Brenntag | 6,419 | 363,503 | |||||
Commerzbank | 43,977 | a | 602,681 | ||||
Continental | 4,569 | 1,159,707 | |||||
Covestro | 4,583 | b | 439,679 | ||||
Daimler | 39,138 | 3,250,103 | |||||
Deutsche Bank | 84,303 | 1,369,894 | |||||
Deutsche Boerse | 7,923 | 818,437 | |||||
Deutsche Lufthansa | 10,331 | 329,733 | |||||
Deutsche Post | 40,206 | 1,841,510 | |||||
Deutsche Telekom | 132,970 | 2,422,480 | |||||
Deutsche Wohnen-BR | 14,637 | 623,430 | |||||
E.ON | 88,424 | 1,043,397 | |||||
Evonik Industries | 7,030 | 256,149 | |||||
Fraport Frankfurt Airport Services Worldwide | 1,702 | 161,500 | |||||
Fresenius & Co. | 17,023 | 1,421,954 | |||||
Fresenius Medical Care & Co. | 8,943 | 864,840 | |||||
GEA Group | 7,619 | 367,380 | |||||
Hannover Rueck | 2,568 | 322,017 | |||||
HeidelbergCement | 6,135 | 625,091 | |||||
Henkel & Co. | 4,299 | 541,832 | |||||
HOCHTIEF | 849 | 149,827 | |||||
HUGO BOSS | 2,589 | 231,734 | |||||
Infineon Technologies | 47,095 | 1,289,451 | |||||
Innogy | 5,409 | b | 251,712 | ||||
K+S | 8,383 | 203,306 | |||||
KION Group AG | 2,752 | 220,261 | |||||
LANXESS | 3,733 | 291,690 | |||||
Linde | 7,576 | 1,636,136 | |||||
MAN | 1,351 | 149,314 | |||||
Merck | 5,192 | 555,741 | |||||
METRO | 7,713 | a | 147,301 | ||||
Muenchener Rueckversicherungs | 6,350 | 1,420,554 | |||||
OSRAM Licht | 3,299 | 252,398 | |||||
ProSiebenSat.1 Media | 9,404 | 328,025 | |||||
RWE | 21,113 | a | 527,776 | ||||
SAP | 40,249 | 4,578,694 | |||||
Siemens | 31,330 | 4,470,605 | |||||
Symrise | 5,137 | 399,780 | |||||
Telefonica Deutschland Holding | 30,497 | 154,993 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Germany - 9.0% (continued) | |||||||
thyssenkrupp | 17,712 | 472,572 | |||||
TUI | 18,252 | 329,682 | |||||
United Internet | 4,779 | 302,334 | |||||
Volkswagen | 1,388 | 257,720 | |||||
Vonovia | 19,476 | 856,646 | |||||
Zalando | 4,413 | a,b | 220,809 | ||||
55,072,001 | |||||||
Hong Kong - 3.0% | |||||||
AIA Group | 493,600 | 3,713,990 | |||||
ASM Pacific Technology | 10,300 | 149,851 | |||||
Bank of East Asia | 49,550 | 217,219 | |||||
BOC Hong Kong Holdings | 148,500 | 707,152 | |||||
CK Hutchison Holdings | 109,975 | 1,396,291 | |||||
CK Infrastructure Holdings | 28,000 | 243,700 | |||||
CLP Holdings | 68,288 | 694,574 | |||||
First Pacific | 84,250 | 64,148 | |||||
Galaxy Entertainment Group | 94,277 | 641,694 | |||||
Hang Lung Group | 36,000 | 126,439 | |||||
Hang Lung Properties | 84,000 | 192,950 | |||||
Hang Seng Bank | 30,700 | 726,830 | |||||
Henderson Land Development | 46,198 | 301,121 | |||||
HK Electric Investments | 106,500 | b | 98,017 | ||||
HKT Trust | 146,660 | 179,156 | |||||
Hong Kong & China Gas | 337,240 | 638,912 | |||||
Hong Kong Exchanges & Clearing | 47,500 | 1,322,455 | |||||
Hongkong Land Holdings | 49,900 | 361,775 | |||||
Hysan Development | 27,000 | 130,477 | |||||
I-CABLE Communications | 8,639 | a | 270 | ||||
Jardine Matheson Holdings | 8,946 | 573,081 | |||||
Kerry Properties | 28,500 | 128,227 | |||||
Li & Fung | 251,200 | 126,543 | |||||
Link REIT | 90,000 | 756,210 | |||||
Melco Resorts & Entertainment, ADR | 9,830 | 248,502 | |||||
MTR | 59,500 | 344,733 | |||||
New World Development | 236,048 | 351,588 | |||||
NWS Holdings | 64,918 | 131,311 | |||||
PCCW | 167,000 | 92,048 | |||||
Power Assets Holdings | 56,000 | 485,246 | |||||
Shangri-La Asia | 49,000 | 97,480 | |||||
Sino Land | 127,730 | 220,049 | |||||
SJM Holdings | 78,530 | 67,443 | |||||
Sun Hung Kai Properties | 58,699 | 960,083 | |||||
Swire Pacific, Cl. A | 21,000 | 207,405 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Hong Kong - 3.0% (continued) | |||||||
Swire Properties | 48,800 | 164,827 | |||||
Techtronic Industries | 59,865 | 351,068 | |||||
WH Group | 337,000 | b | 341,259 | ||||
Wharf Holdings | 50,311 | 457,554 | |||||
Wheelock & Co. | 34,000 | 236,650 | |||||
Yue Yuen Industrial Holdings | 33,300 | 127,627 | |||||
18,375,955 | |||||||
Ireland - .5% | |||||||
Bank of Ireland Group | 36,520 | a | 286,211 | ||||
CRH | 33,995 | 1,281,822 | |||||
DCC | 3,616 | 342,904 | |||||
Kerry Group, Cl. A | 6,378 | 641,748 | |||||
Paddy Power Betfair | 3,314 | 338,935 | |||||
Ryanair Holdings | 3,900 | a | 76,457 | ||||
2,968,077 | |||||||
Israel - .4% | |||||||
Azrieli Group | 1,603 | 90,455 | |||||
Bank Hapoalim | 46,011 | 325,621 | |||||
Bank Leumi Le-Israel | 59,125 | 326,919 | |||||
Bezeq The Israeli Telecommunication Corporation | 79,342 | 118,475 | |||||
Check Point Software Technologies | 5,510 | a | 648,582 | ||||
Elbit Systems | 962 | 142,610 | |||||
Frutarom Industries | 1,569 | 129,174 | |||||
Israel Chemicals | 17,611 | 73,420 | |||||
Israel Discount Bank, Cl. A | 1 | a | 2 | ||||
Mizrahi Tefahot Bank | 6,222 | 112,257 | |||||
NICE | 2,452 | 202,079 | |||||
Taro Pharmaceutical Industries | 636 | a | 71,499 | ||||
Teva Pharmaceutical Industries, ADR | 36,876 | 508,889 | |||||
2,749,982 | |||||||
Italy - 2.4% | |||||||
Assicurazioni Generali | 50,959 | 928,384 | |||||
Atlantia | 18,448 | 601,696 | |||||
CNH Industrial | 42,337 | 540,999 | |||||
Enel | 331,088 | 2,053,680 | |||||
Eni | 103,543 | 1,693,393 | |||||
Ferrari | 4,926 | 590,445 | |||||
Fiat Chrysler Automobiles | 42,806 | a | 739,960 | ||||
Intesa Sanpaolo | 551,445 | 1,853,823 | |||||
Intesa Sanpaolo-RSP | 38,108 | 120,208 | |||||
Leonardo | 17,321 | 299,215 | |||||
Luxottica Group | 7,051 | 404,426 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Italy - 2.4% (continued) | |||||||
Mediobanca | 24,647 | 270,162 | |||||
Poste Italiane | 21,336 | b | 155,954 | ||||
Prysmian | 8,403 | 289,732 | |||||
Recordati | 3,658 | 170,057 | |||||
Saipem | 25,093 | a | 105,460 | ||||
Snam | 94,247 | 481,511 | |||||
STMicroelectronics | 26,057 | 613,120 | |||||
Telecom Italia | 481,732 | a | 418,053 | ||||
Telecom Italia-RSP | 232,484 | 165,329 | |||||
Tenaris | 18,307 | 250,568 | |||||
Terna Rete Elettrica Nazionale | 58,277 | 351,639 | |||||
UniCredit | 81,590 | a | 1,561,508 | ||||
UnipolSai | 48,164 | 109,739 | |||||
14,769,061 | |||||||
Japan - 23.3% | |||||||
ABC-Mart | 1,500 | 75,458 | |||||
Acom | 15,500 | a | 64,069 | ||||
Aeon | 24,000 | 369,482 | |||||
AEON Financial Service | 5,160 | 110,139 | |||||
AEON Mall | 4,480 | 79,391 | |||||
Air Water | 5,500 | 104,674 | |||||
Aisin Seiki | 7,300 | 374,935 | |||||
Ajinomoto | 21,900 | 438,462 | |||||
Alfresa Holdings | 7,600 | 144,440 | |||||
Alps Electric | 7,700 | 233,292 | |||||
Amada Holdings | 13,900 | 171,267 | |||||
ANA Holdings | 4,300 | 164,353 | |||||
Aozora Bank | 4,795 | 186,605 | |||||
Asahi Glass | 8,560 | 333,502 | |||||
Asahi Group Holdings | 15,500 | 703,535 | |||||
Asahi Kasei | 51,900 | 624,872 | |||||
Asics | 5,900 | 89,612 | |||||
Astellas Pharma | 84,795 | 1,124,957 | |||||
Bandai Namco Holdings | 8,450 | 287,971 | |||||
Bank of Kyoto | 2,400 | 124,955 | |||||
Benesse Holdings | 3,200 | 107,928 | |||||
Bridgestone | 26,200 | 1,241,968 | |||||
Brother Industries | 9,400 | 226,433 | |||||
CALBEE | 3,500 | 117,431 | |||||
Canon | 43,217 | 1,612,680 | |||||
Casio Computer | 7,200 | 105,621 | |||||
Central Japan Railway | 6,000 | 1,085,440 | |||||
Chiba Bank | 29,000 | 219,850 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Chubu Electric Power | 26,700 | 342,130 | |||||
Chugai Pharmaceutical | 9,128 | 433,501 | |||||
Chugoku Bank | 7,200 | 102,138 | |||||
Chugoku Electric Power | 10,400 | 115,337 | |||||
Coca-Cola Bottlers Japan | 4,900 | 170,221 | |||||
Concordia Financial Group | 51,000 | 266,875 | |||||
Credit Saison | 6,200 | 123,995 | |||||
CYBERDYNE | 4,200 | a | 55,333 | ||||
Dai Nippon Printing | 10,900 | 259,307 | |||||
Daicel | 11,800 | 145,911 | |||||
Dai-ichi Life Holdings | 45,000 | 847,918 | |||||
Daiichi Sankyo | 22,783 | 520,960 | |||||
Daikin Industries | 10,200 | 1,118,632 | |||||
Daito Trust Construction | 2,900 | 505,884 | |||||
Daiwa House Industry | 22,700 | 826,507 | |||||
Daiwa House REIT Investment | 63 | 146,827 | |||||
Daiwa Securities Group | 69,000 | 428,242 | |||||
DeNA | 4,300 | 100,480 | |||||
Denso | 19,100 | 1,040,123 | |||||
Dentsu | 8,800 | 373,422 | |||||
Disco | 1,200 | 275,766 | |||||
Don Quijote Holdings | 5,000 | 208,214 | |||||
East Japan Railway | 13,500 | 1,302,449 | |||||
Eisai | 10,900 | 603,644 | |||||
Electric Power Development | 6,080 | 152,127 | |||||
FamilyMart UNY Holdings | 3,617 | 204,859 | |||||
FANUC | 7,929 | 1,838,861 | |||||
Fast Retailing | 2,158 | 713,798 | |||||
Fuji Electric | 23,000 | 165,261 | |||||
FUJIFILM Holdings | 17,100 | 695,700 | |||||
Fujitsu | 79,800 | 616,475 | |||||
Fukuoka Financial Group | 33,000 | 168,621 | |||||
Hachijuni Bank | 16,500 | 102,449 | |||||
Hakuhodo DY Holdings | 9,900 | 135,912 | |||||
Hamamatsu Photonics | 5,500 | 176,795 | |||||
Hankyu Hanshin Holdings | 9,800 | 379,658 | |||||
Hikari Tsushin | 900 | 116,037 | |||||
Hino Motors | 9,600 | 122,506 | |||||
Hirose Electric | 1,365 | 203,961 | |||||
Hiroshima Bank | 10,000 | 83,901 | |||||
Hisamitsu Pharmaceutical | 2,400 | 131,498 | |||||
Hitachi | 197,900 | 1,561,200 | |||||
Hitachi Chemical | 4,000 | 113,100 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Hitachi Construction Machinery | 4,800 | 163,159 | |||||
Hitachi High-Technologies | 2,700 | 111,961 | |||||
Hitachi Metals | 7,900 | 101,577 | |||||
Honda Motor | 70,359 | 2,179,981 | |||||
Hoshizaki | 2,200 | 207,220 | |||||
Hoya | 15,900 | 858,450 | |||||
Hulic | 11,200 | 114,753 | |||||
Idemitsu Kosan | 5,400 | 156,484 | |||||
IHI | 6,000 | 214,502 | |||||
Iida Group Holdings | 5,800 | 110,486 | |||||
INPEX | 38,700 | 409,957 | |||||
Isetan Mitsukoshi Holdings | 15,220 | 164,374 | |||||
Isuzu Motors | 22,900 | 332,005 | |||||
ITOCHU | 62,300 | 1,083,764 | |||||
J Front Retailing | 10,900 | 159,898 | |||||
Japan Airlines | 5,200 | 176,984 | |||||
Japan Airport Terminal | 1,800 | 63,480 | |||||
Japan Exchange Group | 20,800 | 371,530 | |||||
Japan Post Bank | 15,500 | 195,071 | |||||
Japan Post Holdings | 61,900 | 712,064 | |||||
Japan Prime Realty Investment | 35 | 112,506 | |||||
Japan Real Estate Investment | 53 | 247,975 | |||||
Japan Retail Fund Investment | 100 | 177,125 | |||||
Japan Tobacco | 44,800 | 1,476,326 | |||||
JFE Holdings | 21,060 | 448,223 | |||||
JGC | 9,100 | 151,180 | |||||
JSR | 8,100 | 155,867 | |||||
JTEKT | 8,200 | 133,848 | |||||
JXTG Holdings | 126,726 | 649,986 | |||||
Kajima | 36,800 | 379,635 | |||||
Kakaku.com | 5,100 | 69,657 | |||||
Kamigumi | 4,700 | 111,811 | |||||
Kaneka | 12,000 | 98,360 | |||||
Kansai Electric Power | 28,099 | 382,421 | |||||
Kansai Paint | 9,100 | 232,652 | |||||
Kao | 20,400 | 1,226,458 | |||||
Kawasaki Heavy Industries | 5,900 | 203,922 | |||||
KDDI | 74,363 | 1,977,694 | |||||
Keihan Holdings | 4,200 | 127,804 | |||||
Keikyu | 10,000 | 205,708 | |||||
Keio | 4,400 | 190,774 | |||||
Keisei Electric Railway | 6,100 | 182,938 | |||||
Keyence | 3,970 | 2,193,704 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Kikkoman | 6,000 | 204,740 | |||||
Kintetsu Group Holdings | 7,335 | 280,614 | |||||
Kirin Holdings | 35,300 | 839,619 | |||||
Kobe Steel | 13,300 | a | 111,121 | ||||
Koito Manufacturing | 4,500 | 298,404 | |||||
Komatsu | 38,400 | 1,248,536 | |||||
Konami Holdings | 3,900 | 188,646 | |||||
Konica Minolta | 20,200 | 175,521 | |||||
Kose | 1,300 | 156,976 | |||||
Kubota | 42,400 | 791,096 | |||||
Kuraray | 14,500 | 283,484 | |||||
Kurita Water Industries | 3,600 | 113,663 | |||||
Kyocera | 13,400 | 888,934 | |||||
Kyowa Hakko Kirin | 10,705 | 196,579 | |||||
Kyushu Electric Power | 18,400 | 208,751 | |||||
Kyushu Financial Group | 12,400 | 78,192 | |||||
Kyushu Railway | 5,700 | 181,720 | |||||
Lawson | 2,100 | 136,669 | |||||
LINE | 1,800 | a | 73,849 | ||||
Lion | 10,000 | 191,372 | |||||
LIXIL Group | 10,824 | 296,052 | |||||
M3 | 8,100 | 240,425 | |||||
Mabuchi Motor | 1,900 | 98,756 | |||||
Makita | 9,600 | 401,038 | |||||
Marubeni | 66,400 | 441,888 | |||||
Marui Group | 7,600 | 115,298 | |||||
Maruichi Steel Tube | 2,000 | 60,683 | |||||
Mazda Motor | 23,800 | 339,507 | |||||
McDonald's Holdings Co. Japan | 3,000 | 128,490 | |||||
Mebuki Financial Group | 41,230 | 170,424 | |||||
Medipal Holdings | 7,300 | 134,694 | |||||
MEIJI Holdings | 4,942 | 402,471 | |||||
MINEBEA MITSUMI | 15,900 | 288,341 | |||||
Miraca Holdings | 2,200 | 101,966 | |||||
MISUMI Group | 10,738 | 292,756 | |||||
Mitsubishi | 61,598 | 1,434,786 | |||||
Mitsubishi Chemical Holdings | 58,280 | 603,533 | |||||
Mitsubishi Electric | 78,000 | 1,324,981 | |||||
Mitsubishi Estate | 52,000 | 935,456 | |||||
Mitsubishi Gas Chemical | 7,600 | 184,411 | |||||
Mitsubishi Heavy Industries | 13,270 | 515,722 | |||||
Mitsubishi Materials | 4,600 | 173,554 | |||||
Mitsubishi Motors | 28,600 | 226,627 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Mitsubishi Tanabe Pharma | 9,500 | 208,373 | |||||
Mitsubishi UFJ Financial Group | 492,790 | 3,304,625 | |||||
Mitsubishi UFJ Lease & Finance | 18,700 | 97,690 | |||||
Mitsui & Co. | 71,000 | 1,054,650 | |||||
Mitsui Chemicals | 7,600 | 232,602 | |||||
Mitsui Fudosan | 36,586 | 844,948 | |||||
Mitsui OSK Lines | 5,000 | 151,708 | |||||
Mixi | 1,600 | 77,675 | |||||
Mizuho Financial Group | 977,500 | 1,761,486 | |||||
MS&AD Insurance Group Holdings | 19,657 | 662,984 | |||||
Murata Manufacturing | 7,800 | 1,213,509 | |||||
Nabtesco | 4,700 | 185,594 | |||||
Nagoya Railroad | 7,600 | 170,040 | |||||
NEC | 10,480 | 285,722 | |||||
NEXON | 8,000 | a | 213,887 | ||||
NGK Insulators | 11,400 | 223,077 | |||||
NGK Spark Plug | 7,726 | 173,878 | |||||
NH Foods | 7,000 | 200,695 | |||||
Nidec | 9,800 | 1,292,388 | |||||
Nikon | 13,460 | 253,681 | |||||
Nintendo | 4,625 | 1,781,584 | |||||
Nippon Building Fund | 56 | 269,891 | |||||
Nippon Electric Glass | 3,417 | 138,387 | |||||
Nippon Express | 3,500 | 220,703 | |||||
Nippon Paint Holdings | 6,900 | 241,520 | |||||
Nippon Prologis REIT | 74 | 155,413 | |||||
Nippon Steel & Sumitomo Metal | 31,461 | 747,339 | |||||
Nippon Telegraph & Telephone | 28,200 | 1,357,360 | |||||
Nippon Yusen | 7,080 | a | 148,381 | ||||
Nissan Chemical Industries | 5,000 | 185,348 | |||||
Nissan Motor | 96,600 | 933,249 | |||||
Nisshin Seifun Group | 8,138 | 142,355 | |||||
Nissin Foods Holdings | 2,600 | 163,036 | |||||
Nitori Holdings | 3,300 | 477,565 | |||||
Nitto Denko | 6,600 | 609,762 | |||||
NOK | 3,600 | 87,606 | |||||
Nomura Holdings | 151,300 | 863,317 | |||||
Nomura Real Estate Holdings | 5,600 | 122,436 | |||||
Nomura Real Estate Master Fund | 158 | 197,457 | |||||
Nomura Research Institute | 5,783 | 243,364 | |||||
NSK | 16,000 | 227,255 | |||||
NTT Data | 24,500 | 283,774 | |||||
NTT DOCOMO | 56,000 | 1,349,949 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Obayashi | 28,000 | 364,452 | |||||
Obic | 2,600 | 170,810 | |||||
Odakyu Electric Railway | 11,600 | 225,461 | |||||
Oji Holdings | 36,000 | 209,595 | |||||
Olympus | 12,100 | 445,882 | |||||
Omron | 7,800 | 433,543 | |||||
Ono Pharmaceutical | 17,200 | 392,920 | |||||
Oracle Japan | 1,600 | 134,383 | |||||
Oriental Land | 9,000 | 716,644 | |||||
ORIX | 55,200 | 941,077 | |||||
Osaka Gas | 15,400 | 296,406 | |||||
OTSUKA | 1,900 | 128,666 | |||||
Otsuka Holdings | 15,700 | 653,378 | |||||
Panasonic | 89,195 | 1,333,944 | |||||
Park24 | 3,800 | 87,526 | |||||
Pola Orbis Holdings | 4,000 | 126,644 | |||||
Rakuten | 38,600 | 410,425 | |||||
Recruit Holdings | 45,900 | 1,120,605 | |||||
Renesas Electronics | 19,400 | a | 247,395 | ||||
Resona Holdings | 88,900 | 475,520 | |||||
Ricoh | 29,200 | 268,618 | |||||
Rinnai | 1,400 | 119,309 | |||||
Rohm | 3,600 | 331,173 | |||||
Ryohin Keikaku | 1,000 | 293,743 | |||||
Sankyo | 1,500 | 48,217 | |||||
Santen Pharmaceutical | 14,600 | 230,996 | |||||
SBI Holdings | 8,830 | 138,152 | |||||
Secom | 8,600 | 648,716 | |||||
Sega Sammy Holdings | 7,484 | 104,587 | |||||
Seibu Holdings | 7,500 | 133,174 | |||||
Seiko Epson | 11,800 | 279,784 | |||||
Sekisui Chemical | 17,100 | 342,286 | |||||
Sekisui House | 24,500 | 454,857 | |||||
Seven & i Holdings | 30,460 | 1,224,776 | |||||
Seven Bank | 26,000 | 95,581 | |||||
Sharp | 6,600 | a | 208,091 | ||||
Shimadzu | 10,200 | 210,629 | |||||
Shimamura | 1,000 | 110,989 | |||||
Shimano | 3,100 | 421,767 | |||||
Shimizu | 22,000 | 257,139 | |||||
Shin-Etsu Chemical | 15,900 | 1,665,441 | |||||
Shinsei Bank | 6,900 | 115,359 | |||||
Shionogi & Co. | 12,000 | 642,399 |
21
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Shiseido | 15,300 | 628,793 | |||||
Shizuoka Bank | 22,400 | 216,110 | |||||
Showa Shell Sekiyu | 8,500 | 99,573 | |||||
SMC | 2,300 | 874,649 | |||||
SoftBank Group | 33,600 | 2,939,354 | |||||
Sohgo Security Services | 2,600 | 124,392 | |||||
Sompo Holdings | 14,570 | 581,621 | |||||
Sony | 51,280 | 1,990,226 | |||||
Sony Financial Holdings | 7,000 | 114,999 | |||||
Stanley Electric | 5,500 | 201,464 | |||||
Start Today | 7,200 | 195,664 | |||||
Subaru | 25,600 | 875,360 | |||||
Sumitomo | 47,700 | 685,264 | |||||
Sumitomo Chemical | 64,000 | 446,911 | |||||
Sumitomo Dainippon Pharma | 6,900 | 98,125 | |||||
Sumitomo Electric Industries | 30,400 | 513,729 | |||||
Sumitomo Heavy Industries | 4,200 | 175,085 | |||||
Sumitomo Metal Mining | 10,500 | 411,486 | |||||
Sumitomo Mitsui Financial Group | 54,500 | 2,165,046 | |||||
Sumitomo Mitsui Trust Holdings | 13,764 | 538,068 | |||||
Sumitomo Realty & Development Co. | 15,000 | 496,680 | |||||
Sumitomo Rubber Industries | 7,800 | 147,075 | |||||
Sundrug | 3,000 | 130,205 | |||||
Suntory Beverage & Food | 6,000 | 273,867 | |||||
Suruga Bank | 7,200 | 162,610 | |||||
Suzuken | 3,212 | 115,113 | |||||
Suzuki Motor | 14,200 | 771,162 | |||||
Sysmex | 6,400 | 435,091 | |||||
T&D Holdings | 23,400 | 359,834 | |||||
Taiheiyo Cement | 5,400 | 214,661 | |||||
Taisei | 8,400 | 463,199 | |||||
Taisho Pharmaceutical Holdings | 1,500 | 113,583 | |||||
Taiyo Nippon Sanso | 6,000 | 71,395 | |||||
Takashimaya | 12,000 | 109,547 | |||||
Takeda Pharmaceutical | 29,000 | 1,631,019 | |||||
TDK | 5,100 | 388,875 | |||||
Teijin | 8,400 | 176,784 | |||||
Terumo | 13,300 | 550,341 | |||||
THK | 5,100 | 184,794 | |||||
Tobu Railway | 8,000 | 233,587 | |||||
Toho | 4,700 | 155,006 | |||||
Toho Gas | 3,200 | 89,073 | |||||
Tohoku Electric Power | 19,100 | 248,944 |
22
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Japan - 23.3% (continued) | |||||||
Tokio Marine Holdings | 27,500 | 1,174,201 | |||||
Tokyo Electric Power | 62,872 | a | 256,564 | ||||
Tokyo Electron | 6,500 | 1,129,304 | |||||
Tokyo Gas | 16,200 | 401,848 | |||||
Tokyo Tatemono | 8,500 | 118,187 | |||||
Tokyu | 22,910 | 344,542 | |||||
Tokyu Fudosan Holdings | 21,900 | 142,527 | |||||
Toppan Printing | 23,000 | 232,215 | |||||
Toray Industries | 60,500 | 608,432 | |||||
Toshiba | 171,000 | a | 494,780 | ||||
Tosoh | 12,000 | 257,297 | |||||
TOTO | 5,400 | 262,627 | |||||
Toyo Seikan Group Holdings | 7,100 | 124,447 | |||||
Toyo Suisan Kaisha | 3,400 | 130,223 | |||||
Toyoda Gosei | 2,400 | 58,003 | |||||
Toyota Industries | 6,400 | 388,936 | |||||
Toyota Motor | 106,955 | 6,575,045 | |||||
Toyota Tsusho | 8,900 | 320,918 | |||||
Trend Micro | 4,800 | 255,398 | |||||
Tsuruha Holdings | 1,500 | 185,084 | |||||
Unicharm | 16,700 | 377,826 | |||||
United Urban Investment | 116 | 166,596 | |||||
USS | 9,100 | 182,472 | |||||
West Japan Railway | 6,600 | 462,792 | |||||
Yahoo! Japan | 55,100 | 245,686 | |||||
Yakult Honsha | 3,700 | 303,927 | |||||
Yamada Denki | 28,600 | 151,420 | |||||
Yamaguchi Financial Group | 7,000 | 84,218 | |||||
Yamaha | 7,300 | 285,053 | |||||
Yamaha Motor | 11,200 | 331,947 | |||||
Yamato Holdings | 14,000 | 284,605 | |||||
Yamazaki Baking | 5,900 | 105,853 | |||||
Yaskawa Electric | 9,800 | 348,199 | |||||
Yokogawa Electric | 9,500 | 178,629 | |||||
Yokohama Rubber | 4,500 | 100,128 | |||||
142,390,091 | |||||||
Luxembourg - .2% | |||||||
ArcelorMittal | 27,013 | a | 774,538 | ||||
RTL Group | 1,680 | 124,779 | |||||
SES | 14,758 | 239,984 | |||||
1,139,301 | |||||||
Macau - .1% | |||||||
MGM China Holdings | 40,000 | 90,138 |
23
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Macau - .1% (continued) | |||||||
Sands China | 100,213 | 472,073 | |||||
Wynn Macau | 70,400 | 180,480 | |||||
742,691 | |||||||
Mexico - .0% | |||||||
Fresnillo | 9,224 | 159,506 | |||||
Netherlands - 3.5% | |||||||
ABN AMRO Group | 15,473 | b | 477,899 | ||||
Aegon | 71,398 | 421,495 | |||||
AerCap Holdings | 6,102 | a | 321,209 | ||||
Akzo Nobel | 10,495 | 950,379 | |||||
ASML Holding | 15,164 | 2,734,353 | |||||
Boskalis Westminster | 3,784 | 135,319 | |||||
EXOR | 4,572 | 293,179 | |||||
Gemalto | 3,085 | 122,109 | |||||
Heineken | 10,579 | 1,030,937 | |||||
Heineken Holding | 4,253 | 394,842 | |||||
ING Groep | 157,728 | 2,913,948 | |||||
Koninklijke Ahold Delhaize | 53,148 | 1,000,147 | |||||
Koninklijke DSM | 7,496 | 639,511 | |||||
Koninklijke KPN | 141,432 | 488,310 | |||||
Koninklijke Philips | 37,857 | 1,541,435 | |||||
Koninklijke Vopak | 2,912 | 126,099 | |||||
NN Group | 12,306 | 515,474 | |||||
NXP Semiconductors | 13,976 | a | 1,635,891 | ||||
QIAGEN | 8,524 | a | 288,304 | �� | |||
Randstad Holding | 4,812 | 296,070 | |||||
RELX | 39,882 | 900,792 | |||||
Unilever | 66,693 | 3,876,985 | |||||
Wolters Kluwer | 12,152 | 595,653 | |||||
21,700,340 | |||||||
New Zealand - .1% | |||||||
Auckland International Airport | 36,928 | 157,431 | |||||
Contact Energy | 31,118 | 122,441 | |||||
Fletcher Building | 27,941 | 140,723 | |||||
Mercury NZ | 29,098 | 65,510 | |||||
Meridian Energy | 52,186 | 101,776 | |||||
Ryman Healthcare | 16,781 | 106,794 | |||||
Spark New Zealand | 75,655 | 190,516 | |||||
885,191 | |||||||
Norway - .7% | |||||||
DNB | 39,204 | 755,954 | |||||
Gjensidige Forsikring | 8,353 | 157,181 | |||||
Marine Harvest | 15,623 | a | 305,077 |
24
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Norway - .7% (continued) | |||||||
Norsk Hydro | 54,441 | 420,905 | |||||
Orkla | 33,180 | 324,772 | |||||
Schibsted, Cl. A | 3,036 | 78,279 | |||||
Schibsted, Cl. B | 3,578 | 83,887 | |||||
Statoil | 47,420 | 960,243 | |||||
Telenor | 30,962 | 657,677 | |||||
Yara International | 7,257 | 344,548 | |||||
4,088,523 | |||||||
Portugal - .2% | |||||||
Banco Espirito Santo | 118,053 | a,c | 14 | ||||
Energias de Portugal | 98,986 | 353,176 | |||||
Galp Energia | 20,908 | 388,701 | |||||
Jeronimo Martins | 10,446 | 189,821 | |||||
931,712 | |||||||
Singapore - 1.3% | |||||||
Ascendas Real Estate Investment Trust | 97,433 | 195,852 | |||||
CapitaLand | 106,800 | 287,548 | |||||
CapitaLand Commercial Trust | 85,351 | 108,638 | |||||
CapitaLand Mall Trust | 103,800 | 153,823 | |||||
City Developments | 17,000 | 161,382 | |||||
ComfortDelGro | 93,200 | 138,115 | |||||
DBS Group Holdings | 72,888 | 1,218,097 | |||||
Genting Singapore | 251,927 | 225,479 | |||||
Global Logistic Properties | 102,643 | 250,000 | |||||
Golden Agri-Resources | 278,440 | 80,687 | |||||
Hutchison Port Holdings Trust | 214,800 | 92,364 | |||||
Jardine Cycle & Carriage | 4,113 | 118,855 | |||||
Keppel | 60,800 | 334,532 | |||||
Oversea-Chinese Banking | 126,787 | 1,106,863 | |||||
SATS | 27,600 | 95,165 | |||||
Sembcorp Industries | 43,254 | 104,716 | |||||
Singapore Airlines | 24,033 | 181,072 | |||||
Singapore Exchange | 35,400 | 199,192 | |||||
Singapore Press Holdings | 69,075 | 136,822 | |||||
Singapore Technologies Engineering | 58,600 | 149,606 | |||||
Singapore Telecommunications | 333,851 | 918,452 | |||||
StarHub | 26,918 | 51,936 | |||||
Suntec Real Estate Investment Trust | 99,000 | 141,626 | |||||
United Overseas Bank | 53,963 | 974,667 | |||||
UOL Group | 21,111 | 140,007 | |||||
Wilmar International | 67,000 | 166,628 | |||||
7,732,124 |
25
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
South Africa - .1% | |||||||
Mondi | 14,634 | 353,931 | |||||
Spain - 3.3% | |||||||
Abertis Infraestructuras | 28,240 | 610,867 | |||||
ACS Actividades de Construccion y Servicios | 9,754 | 384,659 | |||||
Aena | 2,791 | b | 512,047 | ||||
Amadeus IT Group | 17,697 | 1,200,785 | |||||
Banco Bilbao Vizcaya Argentaria | 271,728 | 2,378,031 | |||||
Banco de Sabadell | 220,431 | 441,386 | |||||
Banco Santander | 656,949 | 4,456,032 | |||||
Bankia | 42,139 | 201,202 | |||||
Bankinter | 29,130 | 274,952 | |||||
CaixaBank | 147,503 | 690,368 | |||||
Distribuidora Internacional de Alimentacion | 27,654 | 135,294 | |||||
Enagas | 9,056 | 260,874 | |||||
Endesa | 13,393 | 306,556 | |||||
Ferrovial | 20,012 | 434,750 | |||||
Gas Natural SDG | 14,848 | 317,722 | |||||
Grifols | 12,730 | 398,517 | |||||
Iberdrola | 234,864 | 1,898,106 | |||||
Inditex | 44,213 | 1,652,940 | |||||
Mapfre | 40,366 | 132,080 | |||||
Red Electrica | 17,696 | 391,856 | |||||
Repsol | 50,093 | 938,573 | |||||
Siemens Gamesa Renewable Energy | 8,568 | 124,256 | |||||
Telefonica | 183,994 | 1,930,214 | |||||
20,072,067 | |||||||
Sweden - 2.8% | |||||||
Alfa Laval | 11,798 | 298,908 | |||||
Assa Abloy, Cl. B | 41,684 | 879,822 | |||||
Atlas Copco, Cl. A | 27,010 | 1,184,721 | |||||
Atlas Copco, Cl. B | 15,710 | 623,960 | |||||
Boliden | 11,384 | 398,429 | |||||
Electrolux, Ser. B | 9,785 | 345,972 | |||||
Ericsson, Cl. B | 127,845 | 804,791 | |||||
Essity, Cl. B | 25,343 | a | 757,718 | ||||
Getinge, Cl. B | 8,415 | 165,653 | |||||
Hennes & Mauritz, Cl. B | 38,206 | 959,297 | |||||
Hexagon, Cl. B | 10,410 | 533,827 | |||||
Husqvarna, Cl. B | 17,528 | 171,267 | |||||
ICA Gruppen | 3,218 | 118,700 | |||||
Industrivarden, Cl. C | 6,910 | 177,627 |
26
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Sweden - 2.8% (continued) | |||||||
Investor, Cl. B | 18,963 | 939,809 | |||||
Kinnevik, Cl. B | 9,274 | 304,309 | |||||
L E Lundbergforetagen, Cl. B | 1,556 | 121,463 | |||||
Lundin Petroleum | 7,919 | a | 186,254 | ||||
Millicom International Cellular, SDR | 2,847 | 182,111 | |||||
Nordea Bank | 122,911 | 1,485,799 | |||||
Sandvik | 45,912 | 838,538 | |||||
Securitas, Cl. B | 13,749 | 241,258 | |||||
Skandinaviska Enskilda Banken, Cl. A | 61,080 | 752,953 | |||||
Skanska, Cl. B | 14,100 | 309,398 | |||||
SKF, Cl. B | 15,606 | 362,950 | |||||
Svenska Handelsbanken, Cl. A | 63,511 | 910,373 | |||||
Swedbank, Cl. A | 36,390 | 903,268 | |||||
Swedish Match | 7,707 | 290,359 | |||||
Tele2, Cl. B | 14,711 | 187,146 | |||||
Telia | 107,343 | 496,860 | |||||
Volvo, Cl. B | 64,376 | 1,275,732 | |||||
17,209,272 | |||||||
Switzerland - 8.2% | |||||||
ABB | 81,399 | 2,127,886 | |||||
Adecco Group | 6,546 | 519,336 | |||||
Baloise Holding | 2,039 | 321,490 | |||||
Barry Callebaut | 92 | a | 143,581 | ||||
Cie Financiere Richemont | 21,194 | 1,954,441 | |||||
Coca-Cola HBC | 7,609 | a | 257,194 | ||||
Credit Suisse Group | 99,086 | a | 1,562,294 | ||||
Dufry | 1,417 | a | 210,920 | ||||
EMS-Chemie Holding | 349 | 228,784 | |||||
Geberit | 1,487 | 673,111 | |||||
Givaudan | 387 | 864,267 | |||||
Glencore | 496,712 | a | 2,394,731 | ||||
Julius Baer Group | 9,021 | a | 533,493 | ||||
Kuehne + Nagel International | 2,283 | 398,635 | |||||
LafargeHolcim | 18,926 | a | 1,068,992 | ||||
Lindt & Spruengli | 4 | 277,693 | |||||
Lindt & Spruengli-PC | 41 | 237,333 | |||||
Lonza Group | 3,001 | a | 797,138 | ||||
Nestle | 127,055 | 10,685,024 | |||||
Novartis | 91,125 | 7,508,119 | |||||
Pargesa Holding-BR | 1,256 | 105,186 | |||||
Partners Group Holding | 711 | 478,205 | |||||
Roche Holding | 28,668 | 6,623,539 | |||||
Schindler Holding | 876 | 193,437 |
27
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
Switzerland - 8.2% (continued) | |||||||
Schindler Holding-PC | 1,697 | 384,595 | |||||
SGS | 226 | 558,176 | |||||
Sika-BR | 87 | 644,008 | |||||
Sonova Holding | 2,243 | 404,916 | |||||
Straumann Holding | 387 | 270,180 | |||||
Swatch Group | 2,074 | 156,332 | |||||
Swatch Group-BR | 1,243 | 487,158 | |||||
Swiss Life Holding | 1,305 | a | 453,640 | ||||
Swiss Prime Site | 2,854 | a | 243,591 | ||||
Swiss Re | 13,460 | 1,266,197 | |||||
Swisscom | 1,069 | 540,045 | |||||
UBS Group | 148,877 | a | 2,533,886 | ||||
Vifor Pharma | 1,950 | 250,774 | |||||
Zurich Insurance Group | 6,119 | 1,867,624 | |||||
50,225,951 | |||||||
United Arab Emirates - .0% | |||||||
Mediclinic International | 14,249 | 110,142 | |||||
United Kingdom - 16.7% | |||||||
3i Group | 38,886 | 496,320 | |||||
Admiral Group | 7,739 | 197,759 | |||||
Anglo American | 55,109 | 1,039,337 | |||||
Antofagasta | 16,439 | 208,400 | |||||
Ashtead Group | 20,215 | 520,860 | |||||
Associated British Foods | 14,718 | 651,327 | |||||
AstraZeneca | 51,783 | 3,460,774 | |||||
Auto Trader Group | 40,948 | b | 186,268 | ||||
Aviva | 168,432 | 1,129,695 | |||||
Babcock International Group | 10,761 | 116,052 | |||||
Bae Systems | 131,874 | 1,039,502 | |||||
Barclays | 688,145 | 1,699,501 | |||||
Barratt Developments | 40,982 | 356,245 | |||||
Berkeley Group Holdings | 5,436 | 270,093 | |||||
BHP Billiton | 86,121 | 1,558,443 | |||||
BP | 801,382 | 5,430,320 | |||||
British American Tobacco | 94,249 | 6,097,338 | |||||
British Land | 39,207 | 312,956 | |||||
BT Group | 344,988 | 1,192,679 | |||||
Bunzl | 13,569 | 422,606 | |||||
Burberry Group | 18,203 | 459,832 | |||||
Capita | 27,747 | 193,105 | |||||
Carnival | 7,679 | 505,964 | |||||
Centrica | 230,787 | 520,468 | |||||
Cobham | 105,437 | 194,649 |
28
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
United Kingdom - 16.7% (continued) | |||||||
Coca-Cola European Partners | 9,069 | 372,012 | |||||
Compass Group | 64,433 | 1,414,577 | |||||
ConvaTec Group | 55,122 | b | 143,418 | ||||
Croda International | 5,464 | 303,632 | |||||
Diageo | 102,404 | 3,498,109 | |||||
Direct Line Insurance Group | 56,151 | 277,201 | |||||
Dixons Carphone | 41,243 | 94,983 | |||||
easyJet | 7,273 | 129,342 | |||||
Experian | 38,398 | 808,830 | |||||
Ferguson | 10,574 | 739,406 | |||||
G4S | 60,183 | 224,608 | |||||
GKN | 71,502 | 301,039 | |||||
GlaxoSmithKline | 201,359 | 3,630,415 | |||||
Hammerson | 32,066 | 223,163 | |||||
Hargreaves Lansdown | 10,863 | 228,245 | |||||
Hikma Pharmaceuticals | 5,866 | 90,686 | |||||
HSBC Holdings | 819,224 | 7,989,537 | |||||
IMI | 11,426 | 185,443 | |||||
Imperial Brands | 38,861 | 1,584,778 | |||||
Inmarsat | 19,351 | 159,603 | |||||
InterContinental Hotels Group | 7,426 | 411,476 | |||||
International Consolidated Airlines Group | 26,868 | 226,905 | |||||
Intertek Group | 6,547 | 471,723 | |||||
Intu Properties | 34,945 | 100,250 | |||||
Investec | 26,558 | 181,832 | |||||
ITV | 146,301 | 319,638 | |||||
J Sainsbury | 63,395 | 204,180 | |||||
John Wood Group | 24,437 | 230,924 | |||||
Johnson Matthey | 8,082 | 362,919 | |||||
Kingfisher | 90,842 | 377,156 | |||||
Land Securities Group | 29,898 | 383,588 | |||||
Legal & General Group | 248,050 | 879,622 | |||||
Lloyds Banking Group | 2,910,745 | 2,640,017 | |||||
London Stock Exchange Group | 12,684 | 633,585 | |||||
Marks & Spencer Group | 69,648 | 318,302 | |||||
Meggitt | 32,324 | 222,597 | |||||
Merlin Entertainments | 31,172 | b | 156,827 | ||||
Micro Focus International | 9,731 | 341,844 | |||||
Micro Focus International, ADR | 7,661 | a | 267,599 | ||||
National Grid | 140,204 | 1,687,073 | |||||
Next | 5,992 | 391,625 | |||||
Old Mutual | 198,244 | 502,897 |
29
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
United Kingdom - 16.7% (continued) | |||||||
Pearson | 32,788 | 306,355 | |||||
Persimmon | 12,280 | 456,995 | |||||
Provident Financial | 6,223 | 76,989 | |||||
Prudential | 104,887 | 2,579,931 | |||||
Randgold Resources | 3,786 | 371,847 | |||||
Reckitt Benckiser Group | 27,173 | 2,430,640 | |||||
RELX | 43,487 | 1,000,929 | |||||
Rio Tinto | 50,253 | 2,368,384 | |||||
Rolls-Royce Holdings | 68,772 | a | 888,730 | ||||
Royal Bank of Scotland Group | 142,274 | a | 533,813 | ||||
Royal Dutch Shell, Cl. A | 183,533 | 5,766,105 | |||||
Royal Dutch Shell, Cl. B | 153,383 | 4,932,954 | |||||
Royal Mail | 35,349 | 175,776 | |||||
RSA Insurance Group | 40,705 | 340,051 | |||||
Sage Group | 43,497 | 430,678 | |||||
Schroders | 5,179 | 240,265 | |||||
Segro | 41,985 | 302,789 | |||||
Severn Trent | 9,605 | 269,297 | |||||
Shire | 36,715 | 1,814,465 | |||||
Sky | 42,612 | a | 533,690 | ||||
Smith & Nephew | 35,854 | 676,670 | |||||
Smiths Group | 16,473 | 343,712 | |||||
SSE | 41,469 | 761,162 | |||||
St. James's Place | 21,386 | 334,312 | |||||
Standard Chartered | 133,984 | a | 1,335,338 | ||||
Standard Life | 112,329 | 641,215 | |||||
Tate & Lyle | 19,675 | 168,939 | |||||
Taylor Wimpey | 132,556 | 351,227 | |||||
Tesco | 340,604 | 820,602 | |||||
Travis Perkins | 10,350 | 208,944 | |||||
Unilever | 52,501 | 2,977,076 | |||||
United Utilities Group | 27,251 | 301,490 | |||||
Vodafone Group | 1,089,114 | 3,118,656 | |||||
Weir Group | 8,871 | 230,102 | |||||
Whitbread | 7,610 | 373,258 | |||||
WM Morrison Supermarkets | 88,115 | 262,380 | |||||
Worldpay Group | 80,655 | b | 434,913 |
30
Description | Shares | Value ($) | |||||
Common Stocks - 97.1% (continued) | |||||||
United Kingdom - 16.7% (continued) | |||||||
WPP | 53,092 | 940,655 | |||||
102,073,433 | |||||||
Total Common Stocks (cost $437,952,882) | 594,211,822 | ||||||
Preferred Dividend | |||||||
Preferred Stocks - .5% | |||||||
Germany - .5% | |||||||
Bayerische Motoren Werke | 4.81 | 2,084 | 181,872 | ||||
Fuchs Petrolub | 1.93 | 2,998 | 168,307 | ||||
Henkel & Co. | 1.43 | 7,405 | 1,039,398 | ||||
Porsche Automobil Holding | 1.52 | 6,372 | 462,491 | ||||
Schaeffler | 3.53 | 6,779 | 107,274 | ||||
Volkswagen | 1.22 | 7,491 | 1,360,366 | ||||
Total Preferred Stocks (cost $2,052,107) | 3,319,708 | ||||||
Number of Rights | |||||||
Rights - .0% | |||||||
Spain - .0% | |||||||
Banco Santander | 656,949 | a | 31,375 | ||||
Ferrovial | 20,012 | a | 9,627 | ||||
Total Rights (cost $33,817) | 41,002 | ||||||
Principal Amount ($) | |||||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills | |||||||
1.04%, 12/7/17 | 465,000 | d | 464,544 |
31
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Other Investment - 1.7% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 10,193,671 | e | 10,193,671 | ||||
Total Investments (cost $450,696,994) | 99.4% | 608,230,747 | |||||
Cash and Receivables (Net) | .6% | 3,528,318 | |||||
Net Assets | 100.0% | 611,759,065 |
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 exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2017, these securities were valued at $3,800,885 or .62% of net assets.
c The fund held Level 3 securities at October 31, 2017, these securities were valued at $14 or .0% of net assets. The valuation of this security has been determined in good faith by management under the direction of the Board of Directors.
d Held by or on behalf of a counterparty for open futures contracts.
e Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Financials | 20.7 |
Industrials | 14.3 |
Consumer Discretionary | 12.0 |
Consumer Staples | 10.9 |
Health Care | 9.9 |
Materials | 7.8 |
Information Technology | 6.3 |
Energy | 5.1 |
Telecommunication Services | 3.9 |
Real Estate | 3.4 |
Utilities | 3.3 |
Short-Term/Money Market Investments | 1.8 |
99.4 |
† Based on net assets.
See notes to financial statements.
32
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 4,129,950 | 108,797,876 | 102,734,155 | 10,193,671 | 1.7 | 53,222 |
See notes to financial statements.
33
STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
MSCI EAFE Index | 122 | 12/2017 | 12,068,067 | 12,245,140 | 177,073 | |
Gross Unrealized Appreciation | 177,073 |
See notes to financial statements.
34
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 440,503,323 |
| 598,037,076 |
| ||
Affiliated issuers |
| 10,193,671 |
| 10,193,671 |
| |
Cash |
|
|
|
| 626,752 |
|
Cash denominated in foreign currency |
|
| 184,705 |
| 182,894 |
|
Dividends receivable |
| 2,446,049 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,257,532 |
| |||
Receivable for futures variation margin—Note 4 |
| 45,786 |
| |||
|
|
|
|
| 612,789,760 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 270,868 |
|
Payable for shares of Common Stock redeemed |
| 759,827 |
| |||
|
|
|
|
| 1,030,695 |
|
Net Assets ($) |
|
| 611,759,065 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 514,022,691 |
|
Accumulated undistributed investment income—net |
| 7,844,126 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (67,814,354) |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 157,706,602 |
| |
Net Assets ($) |
|
| 611,759,065 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 456,213,159 | 155,545,906 |
|
Shares Outstanding | 25,483,579 | 8,679,706 |
|
Net Asset Value Per Share ($) | 17.90 | 17.92 |
|
See notes to financial statements. |
35
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $1,350,324 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 15,351,546 |
| ||
Affiliated issuers |
|
| 53,222 |
| ||
Interest |
|
| 6,188 |
| ||
Total Income |
|
| 15,410,956 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,918,653 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 1,101,010 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 44,327 |
| ||
Loan commitment fees—Note 2 |
|
| 12,339 |
| ||
Interest expense—Note 2 |
|
| 5,124 |
| ||
Total Expenses |
|
| 3,081,453 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (44,327) |
| ||
Net Expenses |
|
| 3,037,126 |
| ||
Investment Income—Net |
|
| 12,373,830 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (9,321,224) |
| ||||
Net realized gain (loss) on futures | 1,861,120 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (67,065) |
| ||||
Net Realized Gain (Loss) |
|
| (7,527,169) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 107,646,017 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 131,770 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 13,921 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 107,791,708 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 100,264,539 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 112,638,369 |
| |||
See notes to financial statements. |
36
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 | a | ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 12,373,830 |
|
|
| 13,061,397 |
| |
Net realized gain (loss) on investments |
| (7,527,169) |
|
|
| (13,735,963) |
| ||
Net unrealized appreciation (depreciation) |
| 107,791,708 |
|
|
| (17,902,679) |
| ||
Net Increase (Decrease) in Net Assets | 112,638,369 |
|
|
| (18,577,245) |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (11,437,032) |
|
|
| (11,600,695) |
| |
Class I |
|
| (2,263,295) |
|
|
| - |
| |
Total Distributions |
|
| (13,700,327) |
|
|
| (11,600,695) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 127,962,171 |
|
|
| 178,446,277 |
| |
Class I |
|
| 150,697,819 |
|
|
| 676,220 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 11,361,926 |
|
|
| 10,763,989 |
| |
Class I |
|
| 775,259 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (274,560,705) |
|
|
| (219,365,806) |
| |
Class I |
|
| (19,063,941) |
|
|
| (100) |
| |
Increase (Decrease) in Net Assets | (2,827,471) |
|
|
| (29,479,420) |
| |||
Total Increase (Decrease) in Net Assets | 96,110,571 |
|
|
| (59,657,360) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 515,648,494 |
|
|
| 575,305,854 |
| |
End of Period |
|
| 611,759,065 |
|
|
| 515,648,494 |
| |
Undistributed investment income—net | 7,844,126 |
|
|
| 9,307,727 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Investor Shares |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 7,885,800 |
|
|
| 12,115,683 |
| |
Shares issued for distributions reinvested |
|
| 776,088 |
|
|
| 709,558 |
| |
Shares redeemed |
|
| (17,480,862) |
|
|
| (14,802,879) |
| |
Net Increase (Decrease) in Shares Outstanding | (8,818,974) |
|
|
| (1,977,638) |
| |||
Class I |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 9,742,214 |
|
|
| 44,814 |
| |
Shares issued for distributions reinvested |
|
| 52,991 |
|
|
| - |
| |
Shares redeemed |
|
| (1,160,307) |
|
|
| (6) |
| |
Net Increase (Decrease) in Shares Outstanding | 8,634,898 |
|
|
| 44,808 |
| |||
a On August 31, 2016, the fund redesignated existing shares as Investor shares and commenced offering Class I shares. | |||||||||
See notes to financial statements. |
37
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Investor Shares | 2017 | 2016a | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.01 | 15.86 | 16.54 | 17.12 | 13.96 | |
Investment Operations: | ||||||
Investment income—netb | .35 | .36 | .35 | .47 | .35 | |
Net realized and unrealized | 2.96 | (.89) | (.60) | (.49) | 3.20 | |
Total from Investment Operations | 3.31 | (.53) | (.25) | (.02) | 3.55 | |
Distributions: | ||||||
Dividends from | (.42) | (.32) | (.43) | (.37) | (.39) | |
Dividends from net realized | - | - | - | (.19) | - | |
Total Distributions | (.42) | (.32) | (.43) | (.56) | (.39) | |
Net asset value, end of period | 17.90 | 15.01 | 15.86 | 16.54 | 17.12 | |
Total Return (%) | 22.71 | (3.37) | (1.46) | (.13) | 26.01 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .61 | .61 | .61 | .61 | .61 | |
Ratio of net expenses | .60 | .60 | .60 | .60 | .60 | |
Ratio of net investment income | 2.20 | 2.43 | 2.14 | 2.76 | 2.25 | |
Portfolio Turnover Rate | 9.18 | 5.53 | 8.44 | 10.26 | 23.12 | |
Net Assets, end of period ($ x 1,000) | 456,213 | 514,975 | 575,306 | 567,711 | 572,605 |
a On August 31, 2016, the fund redesignated existing shares as Investor shares.
b Based on average shares outstanding.
See notes to financial statements.
38
Year Ended October 31, | ||||
Class I Shares | 2017 | 2016a | ||
Per Share Data ($): | ||||
Net asset value, beginning of period | 15.02 | 15.15 | ||
Investment Operations: | ||||
Investment income—netb | .42 | .02 | ||
Net realized and unrealized | 2.94 | (.15) | ||
Total from Investment Operations | 3.36 | (.13) | ||
Distributions: | ||||
Dividends from | (.46) | - | ||
Net asset value, end of period | 17.92 | 15.02 | ||
Total Return (%) | 23.04 | (.86)c | ||
Ratios/Supplemental Data (%): | ||||
Ratio of total expenses | .36 | .40d | ||
Ratio of net expenses | .35 | .39d | ||
Ratio of net investment income | 2.48 | 1.95d | ||
Portfolio Turnover Rate | 9.18 | 5.53 | ||
Net Assets, end of period ($ x 1,000) | 155,546 | 673 |
a From August 31, 2016 (commencement of initial offering) to October 31, 2016.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
39
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares which are sold to the public without a sales charge. The fund is authorized to issue 300 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Investor shares (200 million shares authorized) and Class I (100 million shares authorized). Investor shares are sold primarily to retail investors through financial intermediaries and bear Shareholder Services Plan fees. Class I shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
40
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).
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
41
NOTES TO FINANCIAL STATEMENTS (continued)
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.
The Service is engaged 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 ADRs and 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 to not accurately reflect 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.
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
42
and are generally categorized within Level 1 of the fair value hierarchy. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2017 in valuing the fund’s investments:
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 | 594,211,808 | - | 14 | 594,211,822 |
Equity Securities - Foreign Preferred Stocks | 3,319,708 | - | - | 3,319,708 |
Registered Investment Company | 10,193,671 | - | - | 10,193,671 |
U.S. Treasury | - | 464,544 | - | 464,544 |
Rights | 41,002 | - | - | 41,002 |
Other Financial Instruments: |
|
|
|
|
Futures† | 177,073 | - | - | 177,073 |
† Amount shown represents unrealized appreciation at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
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 10/31/2016 | 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 10/31/2017 | 14 |
The amount of total gains (losses) for the period | 1 |
43
NOTES TO FINANCIAL STATEMENTS (continued)
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act.
(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 and distributions to shareholders: Dividends and distributions 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
44
gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2017, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $12,462,521, accumulated capital losses $34,441,479 and unrealized appreciation $119,715,332.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2017. The fund has $34,441,479 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $13,700,327 and $11,600,695, respectively.
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for passive foreign investment companies and foreign currency gains and losses, the fund decreased accumulated undistributed investment income-net by $137,104 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
45
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2017 was approximately $337,500 with a related weighted average annualized interest rate of 1.52%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management 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. Out of its fee, Dreyfus pays all of the expenses of the fund, except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of interested Directors (including counsel fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2017, fees reimbursed by Dreyfus amounted to $44,327.
(b) Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. 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, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2017, the fund was charged $1,101,010 pursuant to the Shareholder Services Plan.
46
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $180,490 and Shareholder Services Plan fees $96,856, which are offset against an expense reimbursement currently in effect in the amount of $6,478.
(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, futures and forward contracts, during the period ended October 31, 2017, amounted to $49,357,784 and $60,116,043, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its over-the-counter (“OTC”) derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended October 31, 2017 is discussed below.
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 futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a 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
47
NOTES TO FINANCIAL STATEMENTS (continued)
credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2017, are set forth in the Statement of Futures.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. At October 31, 2017, there were no forward contracts outstanding.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
|
| Average Market Value ($) |
Equity futures | 10,898,858 | |
Forward contracts | 853,393 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $488,511,191; accordingly, accumulated net unrealized appreciation on investments was $119,719,556, consisting of $188,464,412 gross unrealized appreciation and $68,744,856 gross unrealized depreciation.
48
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus International Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers and futures, of Dreyfus International Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the indicated periods in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
49
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2017:
- the total amount of taxes paid to foreign countries was $1,320,863
- the total amount of income sourced from foreign countries was $16,701,870
Where required by Federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2017 calendar year with Form 1099-DIV which will be mailed in early 2018. For the fiscal year ended October 31, 2017, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $13,700,327 represents the maximum amount that may be considered qualified dividend income.
50
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
51
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Ehud Houminer (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
52
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
53
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
54
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
55
NOTES
56
NOTES
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 Symbols: | Investor: DIISX Class I: DINIX |
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, D.C. (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.
© 2017 MBSC Securities Corporation |
Dreyfus S&P 500 Index Fund
ANNUAL REPORT October 31, 2017 |
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(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
in Affiliated Issuers | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2016 through October 31, 2017. 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.
Stocks set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2016 through October 31, 2017, 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 12-month period ended October 31, 2017, Dreyfus S&P 500 Index Fund produced a total return of 23.03%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 23.61% for the same period.2,3
Large-cap stocks gained ground amid better-than-expected corporate earnings, improving global economic prospects, and expectations of more stimulative U.S. government policies. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the Index by generally fully investing in stocks included in the Index and in futures whose performance is tied to the Index. The fund generally invests in all 500 stocks in the Index in proportion to their weighting in the Index.
The Index is an unmanaged index of 500 common stocks chosen to reflect the industries of the U.S. economy and is often considered a proxy for the stock market in general. S&P weights each company’s stock in the Index by its market capitalization (i.e., the share price times the number of shares outstanding), adjusted by the number of available float shares (i.e., those shares available to public investors). Companies included in the Index generally must have market capitalizations in excess of $5.3 billion, to the extent consistent with market conditions.
Rising Corporate Earnings Drove Markets Higher
Equity markets were reenergized in late 2016 when investors began to anticipate more robust economic growth stemming from lower corporate taxes, reduced regulatory constraints on business, and increased infrastructure spending from a new presidential administration. In early 2017, better-than-expected corporate earnings and encouraging global economic developments drove the Index to a series of new highs. While concerns about the new presidential administration’s ability to implement its business-friendly policy proposals slowed the market’s advance in the spring, most broad measures of stock market performance quickly shrugged off those concerns and reached new all-time highs by the reporting period’s end.
The market’s advance was supported throughout the reporting period by measured, well-telegraphed shifts in monetary policy from the Federal Reserve Board (the “Fed”). Although rising interest rates historically have tended to undermine investor sentiment toward stocks, the Fed’s gradual approach to withdrawing economic stimulus—including three short-term interest-rate hikes and the start of balance-sheet reduction—was received calmly by investors, who focused more on rising corporate earnings and improving business conditions.
Technology Stocks Led the Market’s Advance
The Index’s robust results over the reporting period were largely driven by impressive earnings growth in the information technology sector. Ongoing trends in favor of cloud computing, e-commerce, digital advertising, and mobile communications helped support revenues and earnings for a variety of large technology companies, most notably industry leaders such as Apple, Amazon.com, Facebook, Microsoft, and Alphabet (the parent of Google). Some of these industry giants moved into new lines of business, disrupting other areas, such as retail sales. Technological
3
DISCUSSION OF FUND PERFORMANCE (continued)
innovations also generated robust demand for semiconductor companies, which further benefited from renewed pricing power in a consolidating industry.
The financials sector also produced impressive results. Higher short-term interest rates helped banks and capital market firms expand their lending margins and revenues from currency trading. Deregulation of the financials sector helped boost profits further, and the previous cost-cutting efforts of many financial institutions positioned them well for the 2017 upturn.
Despite uncertainty surrounding government efforts to repeal and replace the Affordable Care Act, the health care sector posted strong gains over the reporting period. Indeed, Congress’s inability to repeal Obamacare helped support the outlook for a number of hospital operators and insurers. Moreover, concerns waned regarding government intervention to control drug costs, removing an impediment to gains among large biotechnology firms and pharmaceutical developers. Finally, the industry has been successful in obtaining regulatory approval of a record number of new drugs so far in 2017, further bolstering their prospects in the eyes of investors. Very large drug companies with diversified revenue sources fared especially well.
Only the telecommunication services sector posted negative absolute returns over the reporting period. Comprised of just four companies, the Index’s telecommunications components confronted challenges presented by “cord cutting” when more customers disconnected landlines and replaced cable television with Internet-based entertainment services. The energy sector posted a mildly positive return, as low oil prices early in the reporting period, reduced production volumes, and heavy debt burdens weighed on drilling equipment and oil service providers.
Replicating the Performance of the Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that the U.S. and global economic recoveries appear to have gained momentum, and corporate earnings have continued to exceed many analysts’ expectations. However, the market’s currently constructive conditions could be undermined by unexpected political and economic developments. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 15, 2017
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. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. 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.
Equities 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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index Fund shares and the S&P 500® Index (the “Index”)
† Source: Lipper Inc.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in Dreyfus S&P 500 Index Fund on 10/31/07 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/17 | |||
| 1 Year | 5 Years | 10 Years |
Fund | 23.03% | 14.61% | 7.02% |
S&P 500® Index | 23.61% | 15.17% | 7.51% |
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from May 1, 2017 to October 31, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended October 31, 2017 | |||||||||
Expenses paid per $1,000† | $2.63 | ||||||||
Ending value (after expenses) | $1,088.40 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2017 | |||||||||||||||
|
|
| |||||||||||||
Expenses paid per $1,000† | $2.55 | ||||||||||||||
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% | |||||||
Automobiles & Components - .7% | |||||||
BorgWarner | 23,827 | 1,256,159 | |||||
Delphi Automotive | 32,190 | 3,199,042 | |||||
Ford Motor | 471,871 | 5,789,857 | |||||
General Motors | 158,424 | 6,809,064 | |||||
Goodyear Tire & Rubber | 29,075 | 889,404 | |||||
Harley-Davidson | 21,393 | a | 1,012,745 | ||||
18,956,271 | |||||||
Banks - 6.5% | |||||||
Bank of America | 1,181,909 | 32,372,488 | |||||
BB&T | 98,162 | 4,833,497 | |||||
Citigroup | 328,141 | 24,118,363 | |||||
Citizens Financial Group | 61,266 | 2,328,721 | |||||
Comerica | 20,279 | 1,593,321 | |||||
Fifth Third Bancorp | 88,991 | 2,571,840 | |||||
Huntington Bancshares | 134,670 | 1,858,446 | |||||
JPMorgan Chase & Co. | 423,689 | 42,627,350 | |||||
KeyCorp | 131,332 | 2,396,809 | |||||
M&T Bank | 18,770 | 3,130,273 | |||||
People's United Financial | 40,424 | 754,312 | |||||
PNC Financial Services Group | 57,749 | 7,899,486 | |||||
Regions Financial | 142,461 | 2,205,296 | |||||
SunTrust Banks | 59,027 | 3,554,016 | |||||
U.S. Bancorp | 190,441 | 10,356,182 | |||||
Wells Fargo & Co. | 537,637 | 30,182,941 | |||||
Zions Bancorporation | 23,407 | 1,087,489 | |||||
173,870,830 | |||||||
Capital Goods - 7.3% | |||||||
3M | 71,807 | 16,529,253 | |||||
A.O. Smith | 17,706 | 1,048,195 | |||||
Acuity Brands | 5,412 | a | 904,886 | ||||
Allegion | 12,246 | 1,021,194 | |||||
AMETEK | 27,455 | 1,852,938 | |||||
Arconic | 47,056 | 1,182,047 | |||||
Boeing | 66,906 | 17,260,410 | |||||
Caterpillar | 70,751 | 9,607,986 | |||||
Cummins | 18,794 | 3,324,283 | |||||
Deere & Co. | 38,099 | 5,062,595 | |||||
Dover | 18,599 | 1,776,019 | |||||
Eaton | 53,627 | 4,291,233 | |||||
Emerson Electric | 77,403 | 4,989,397 | |||||
Fastenal | 35,297 | 1,657,900 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Capital Goods - 7.3% (continued) | |||||||
Flowserve | 15,885 | 700,052 | |||||
Fluor | 16,443 | 708,529 | |||||
Fortive | 36,888 | 2,665,527 | |||||
Fortune Brands Home & Security | 19,081 | 1,260,491 | |||||
General Dynamics | 33,547 | 6,809,370 | |||||
General Electric | 1,041,906 | 21,004,825 | |||||
Honeywell International | 91,601 | 13,205,200 | |||||
Illinois Tool Works | 37,183 | 5,819,883 | |||||
Ingersoll-Rand | 30,700 | 2,720,020 | |||||
Jacobs Engineering Group | 14,914 | 868,144 | |||||
Johnson Controls International | 112,879 | 4,672,062 | |||||
L3 Technologies | 9,649 | 1,806,100 | |||||
Lockheed Martin | 30,107 | 9,277,773 | |||||
Masco | 39,239 | 1,562,497 | |||||
Northrop Grumman | 20,812 | 6,150,570 | |||||
PACCAR | 41,977 | 3,011,010 | |||||
Parker-Hannifin | 15,985 | 2,919,021 | |||||
Pentair | 20,907 | 1,473,107 | |||||
Quanta Services | 17,396 | b | 656,351 | ||||
Raytheon | 34,939 | 6,296,008 | |||||
Rockwell Automation | 15,420 | 3,096,644 | |||||
Rockwell Collins | 19,463 | 2,639,183 | |||||
Roper Technologies | 12,319 | 3,180,396 | |||||
Snap-on | 7,116 | 1,122,762 | |||||
Stanley Black & Decker | 18,393 | 2,971,389 | |||||
Textron | 32,307 | 1,703,871 | |||||
TransDigm Group | 5,785 | 1,605,338 | |||||
United Rentals | 10,160 | b | 1,437,437 | ||||
United Technologies | 89,650 | 10,736,484 | |||||
W.W. Grainger | 6,506 | a | 1,286,236 | ||||
Xylem | 20,797 | 1,383,624 | |||||
195,258,240 | |||||||
Commercial & Professional Services - .6% | |||||||
Cintas | 10,029 | 1,494,722 | |||||
Equifax | 14,607 | 1,585,298 | |||||
IHS Markit | 43,063 | b | 1,834,914 | ||||
Nielsen Holdings | 40,147 | a | 1,488,249 | ||||
Republic Services | 28,039 | 1,824,498 | |||||
Robert Half International | 15,847 | 820,399 | |||||
Stericycle | 10,155 | b | 719,482 | ||||
Verisk Analytics | 18,891 | b | 1,606,680 | ||||
Waste Management | 48,079 | 3,950,651 | |||||
15,324,893 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Consumer Durables & Apparel - 1.1% | |||||||
D.R. Horton | 42,037 | 1,858,456 | |||||
Garmin | 13,508 | a | 764,688 | ||||
Hanesbrands | 45,250 | a | 1,018,125 | ||||
Hasbro | 13,329 | 1,234,132 | |||||
Leggett & Platt | 16,944 | 800,773 | |||||
Lennar, Cl. A | 24,483 | 1,362,969 | |||||
Mattel | 40,988 | a | 578,751 | ||||
Michael Kors Holdings | 18,304 | b | 893,418 | ||||
Mohawk Industries | 7,779 | b | 2,036,231 | ||||
Newell Brands | 57,916 | 2,361,814 | |||||
NIKE, Cl. B | 158,423 | 8,711,681 | |||||
PulteGroup | 33,502 | 1,012,765 | |||||
PVH | 9,792 | 1,241,724 | |||||
Ralph Lauren | 7,266 | 649,798 | |||||
Tapestry | 33,954 | 1,390,416 | |||||
Under Armour, Cl. A | 21,794 | a,b | 272,861 | ||||
Under Armour, Cl. C | 21,958 | a,b | 253,176 | ||||
VF | 39,127 | 2,725,196 | |||||
Whirlpool | 9,085 | 1,489,304 | |||||
30,656,278 | |||||||
Consumer Services - 1.9% | |||||||
Carnival | 49,171 | 3,264,463 | |||||
Chipotle Mexican Grill | 3,036 | a,b | 825,488 | ||||
Darden Restaurants | 14,419 | 1,186,251 | |||||
H&R Block | 24,988 | 618,203 | |||||
Hilton Worldwide Holdings | 24,638 | 1,780,835 | |||||
Marriott International, Cl. A | 37,409 | 4,469,627 | |||||
McDonald's | 97,495 | 16,272,890 | |||||
MGM Resorts International | 61,801 | 1,937,461 | |||||
Norwegian Cruise Line Holdings | 21,400 | b | 1,193,050 | ||||
Royal Caribbean Cruises | 20,268 | 2,508,570 | |||||
Starbucks | 174,318 | 9,559,599 | |||||
Wyndham Worldwide | 12,673 | 1,354,110 | |||||
Wynn Resorts | 9,430 | 1,390,831 | |||||
Yum! Brands | 41,299 | 3,074,711 | |||||
49,436,089 | |||||||
Diversified Financials - 5.4% | |||||||
Affiliated Managers Group | 6,623 | 1,235,190 | |||||
American Express | 88,465 | 8,450,177 | |||||
Ameriprise Financial | 18,111 | 2,835,096 | |||||
Bank of New York Mellon | 123,774 | 6,368,172 | |||||
Berkshire Hathaway, Cl. B | 231,116 | b | 43,204,825 | ||||
BlackRock | 14,883 | 7,007,363 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||||
Common Stocks - 99.7% (continued) | |||||||||||
Diversified Financials - 5.4% (continued) | |||||||||||
Capital One Financial | 57,265 | 5,278,688 | |||||||||
Cboe Global Markets | 13,232 | 1,496,010 | |||||||||
Charles Schwab | 143,737 | 6,445,167 | |||||||||
CME Group | 40,875 | 5,606,824 | |||||||||
Discover Financial Services | 45,766 | 3,044,812 | |||||||||
E*TRADE Financial | 34,617 | b | 1,508,955 | ||||||||
Franklin Resources | 41,380 | 1,743,339 | |||||||||
Goldman Sachs Group | 43,379 | 10,518,540 | |||||||||
Intercontinental Exchange | 70,958 | 4,690,324 | |||||||||
Invesco | 48,607 | 1,739,645 | |||||||||
Leucadia National | 40,672 | 1,029,002 | |||||||||
Moody's | 20,274 | 2,887,220 | |||||||||
Morgan Stanley | 171,742 | 8,587,100 | |||||||||
Nasdaq | 13,785 | 1,001,480 | |||||||||
Navient | 32,330 | 402,832 | |||||||||
Northern Trust | 25,444 | 2,379,523 | |||||||||
Raymond James Financial | 14,542 | 1,232,871 | |||||||||
S&P Global | 30,760 | 4,813,017 | |||||||||
State Street | 44,729 | 4,115,068 | |||||||||
Synchrony Financial | 90,306 | 2,945,782 | |||||||||
T. Rowe Price Group | 29,855 | 2,773,530 | |||||||||
143,340,552 | |||||||||||
Energy - 5.9% | |||||||||||
Anadarko Petroleum | 66,531 | 3,284,635 | |||||||||
Andeavor | 18,147 | 1,927,937 | |||||||||
Apache | 44,920 | 1,858,340 | |||||||||
Baker Hughes | 51,348 | 1,613,868 | |||||||||
Cabot Oil & Gas | 56,390 | 1,562,003 | |||||||||
Chesapeake Energy | 89,988 | a,b | 350,953 | ||||||||
Chevron | 227,694 | 26,387,458 | |||||||||
Cimarex Energy | 11,803 | 1,380,125 | |||||||||
Concho Resources | 17,566 | b | 2,357,533 | ||||||||
ConocoPhillips | 147,648 | 7,552,195 | |||||||||
Devon Energy | 62,829 | 2,318,390 | |||||||||
EOG Resources | 68,861 | 6,877,148 | |||||||||
EQT | 21,390 | a | 1,337,731 | ||||||||
Exxon Mobil | 509,474 | 42,464,658 | |||||||||
Halliburton | 103,341 | 4,416,794 | |||||||||
Helmerich & Payne | 12,689 | a | 689,140 | ||||||||
Hess | 32,637 | 1,441,250 | |||||||||
Kinder Morgan | 232,053 | 4,202,480 | |||||||||
Marathon Oil | 103,904 | 1,477,515 | |||||||||
Marathon Petroleum | 61,054 | 3,647,366 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.7% (continued) | |||||||
Energy - 5.9% (continued) | |||||||
National Oilwell Varco | 45,408 | a | 1,552,500 | ||||
Newfield Exploration | 24,429 | b | 752,169 | ||||
Noble Energy | 58,066 | 1,618,299 | |||||
Occidental Petroleum | 91,178 | 5,887,363 | |||||
ONEOK | 45,673 | 2,478,674 | |||||
Phillips 66 | 52,558 | 4,786,983 | |||||
Pioneer Natural Resources | 20,435 | 3,058,506 | |||||
Range Resources | 26,235 | 475,116 | |||||
Schlumberger | 166,846 | 10,678,144 | |||||
TechnipFMC | 53,171 | 1,456,354 | |||||
Valero Energy | 53,673 | 4,234,263 | |||||
Williams Cos. | 99,904 | 2,847,264 | |||||
156,973,154 | |||||||
Food & Staples Retailing - 1.7% | |||||||
Costco Wholesale | 52,461 | 8,450,418 | |||||
CVS Health | 122,683 | 8,407,466 | |||||
Kroger | 110,084 | 2,278,739 | |||||
Sysco | 58,618 | 3,260,333 | |||||
Walgreens Boots Alliance | 110,073 | 7,294,538 | |||||
Wal-Mart Stores | 176,249 | 15,388,300 | |||||
45,079,794 | |||||||
Food, Beverage & Tobacco - 4.5% | |||||||
Altria Group | 230,932 | 14,830,453 | |||||
Archer-Daniels-Midland | 67,843 | 2,772,743 | |||||
Brown-Forman, Cl. B | 23,112 | 1,317,846 | |||||
Campbell Soup | 24,159 | 1,144,412 | |||||
Coca-Cola | 462,893 | 21,283,820 | |||||
Conagra Brands | 50,523 | 1,725,866 | |||||
Constellation Brands, Cl. A | 20,661 | 4,526,618 | |||||
Dr Pepper Snapple Group | 21,944 | 1,879,723 | |||||
General Mills | 69,060 | 3,585,595 | |||||
Hershey | 16,457 | 1,747,404 | |||||
Hormel Foods | 33,377 | a | 1,040,027 | ||||
J.M. Smucker | 13,851 | 1,468,899 | |||||
Kellogg | 29,836 | a | 1,865,645 | ||||
Kraft Heinz | 72,107 | 5,576,034 | |||||
McCormick & Co. | 14,197 | 1,413,027 | |||||
Molson Coors Brewing, Cl. B | 22,233 | 1,797,983 | |||||
Mondelez International, Cl. A | 182,477 | 7,560,022 | |||||
Monster Beverage | 48,526 | b | 2,811,111 | ||||
PepsiCo | 171,675 | 18,923,735 | |||||
Philip Morris International | 186,653 | 19,531,370 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Food, Beverage & Tobacco - 4.5% (continued) | ||||||||
Tyson Foods, Cl. A | 33,900 | 2,471,649 | ||||||
119,273,982 | ||||||||
Health Care Equipment & Services - 5.7% | ||||||||
Abbott Laboratories | 208,433 | 11,303,322 | ||||||
Aetna | 39,797 | 6,766,684 | ||||||
Align Technology | 9,090 | b | 2,172,328 | |||||
AmerisourceBergen | 19,599 | 1,508,143 | ||||||
Anthem | 31,721 | 6,636,350 | ||||||
Baxter International | 59,434 | 3,831,710 | ||||||
Becton Dickinson & Co. | 27,041 | 5,642,645 | ||||||
Boston Scientific | 162,233 | b | 4,565,237 | |||||
C.R. Bard | 8,891 | 2,907,979 | ||||||
Cardinal Health | 37,380 | 2,313,822 | ||||||
Centene | 20,980 | b | 1,965,197 | |||||
Cerner | 37,532 | b | 2,534,161 | |||||
Cigna | 30,339 | 5,983,458 | ||||||
Cooper | 5,931 | 1,424,982 | ||||||
Danaher | 72,804 | 6,717,625 | ||||||
DaVita | 19,409 | b | 1,178,903 | |||||
Dentsply Sirona | 28,121 | 1,717,349 | ||||||
Edwards Lifesciences | 25,604 | b | 2,617,497 | |||||
Envision Healthcare | 14,240 | b | 606,624 | |||||
Express Scripts Holding | 69,733 | b | 4,273,936 | |||||
HCA Healthcare | 34,292 | b | 2,594,190 | |||||
Henry Schein | 19,463 | b | 1,529,792 | |||||
Hologic | 34,365 | b | 1,300,715 | |||||
Humana | 17,413 | 4,446,410 | ||||||
IDEXX Laboratories | 10,885 | b | 1,808,760 | |||||
Intuitive Surgical | 13,477 | b | 5,058,727 | |||||
Laboratory Corporation of America Holdings | 12,227 | b | 1,879,412 | |||||
McKesson | 25,731 | 3,547,790 | ||||||
Medtronic | 163,845 | 13,192,799 | ||||||
Patterson | 9,432 | 348,984 | ||||||
Quest Diagnostics | 16,718 | 1,567,814 | ||||||
ResMed | 17,082 | 1,437,963 | ||||||
Stryker | 38,563 | 5,972,252 | ||||||
UnitedHealth Group | 116,254 | 24,438,916 | ||||||
Universal Health Services, Cl. B | 10,400 | 1,068,080 | ||||||
Varian Medical Systems | 11,062 | b | 1,152,550 | |||||
Zimmer Biomet Holdings | 24,028 | 2,922,285 | ||||||
150,935,391 |
12
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Household & Personal Products - 1.7% | ||||||||
Church & Dwight | 29,796 | 1,345,885 | ||||||
Clorox | 15,353 | 1,942,615 | ||||||
Colgate-Palmolive | 105,470 | 7,430,361 | ||||||
Coty, Cl. A | 57,480 | 885,192 | ||||||
Estee Lauder, Cl. A | 26,411 | 2,953,014 | ||||||
Kimberly-Clark | 42,441 | 4,775,037 | ||||||
Procter & Gamble | 307,423 | 26,542,902 | ||||||
45,875,006 | ||||||||
Insurance - 2.8% | ||||||||
Aflac | 47,756 | 4,006,251 | ||||||
Allstate | 43,425 | 4,075,870 | ||||||
American International Group | 108,321 | 6,998,620 | ||||||
Aon | 30,656 | 4,396,990 | ||||||
Arthur J. Gallagher & Co. | 21,901 | 1,386,990 | ||||||
Assurant | 7,042 | 708,777 | ||||||
Brighthouse Financial | 11,813 | 734,532 | ||||||
Chubb | 56,312 | 8,492,976 | ||||||
Cincinnati Financial | 18,061 | 1,267,340 | ||||||
Everest Re Group | 4,939 | 1,172,766 | ||||||
Hartford Financial Services Group | 44,253 | 2,436,128 | ||||||
Lincoln National | 27,547 | 2,087,512 | ||||||
Loews | 33,046 | 1,636,107 | ||||||
Marsh & McLennan Cos. | 61,350 | 4,965,055 | ||||||
MetLife | 128,046 | 6,860,705 | ||||||
Principal Financial Group | 32,732 | 2,155,402 | ||||||
Progressive | 69,214 | 3,367,261 | ||||||
Prudential Financial | 51,873 | 5,729,892 | ||||||
Torchmark | 13,198 | 1,110,348 | ||||||
Travelers | 33,298 | 4,410,320 | ||||||
Unum Group | 27,425 | 1,427,197 | ||||||
Willis Towers Watson | 16,064 | 2,587,589 | ||||||
XL Group | 31,798 | 1,286,865 | ||||||
73,301,493 | ||||||||
Materials - 3.0% | ||||||||
Air Products & Chemicals | 26,091 | 4,159,688 | ||||||
Albemarle | 13,349 | 1,880,741 | ||||||
Avery Dennison | 11,194 | 1,188,467 | ||||||
Ball | 43,300 | 1,858,869 | ||||||
CF Industries Holdings | 29,364 | 1,115,245 | ||||||
DowDuPont | 279,094 | 20,181,287 | ||||||
Eastman Chemical | 17,334 | 1,574,101 | ||||||
Ecolab | 31,581 | 4,126,373 | ||||||
FMC | 15,643 | 1,452,609 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Materials - 3.0% (continued) | ||||||||
Freeport-McMoRan | 160,768 | b | 2,247,537 | |||||
International Flavors & Fragrances | 9,183 | 1,353,758 | ||||||
International Paper | 49,205 | 2,817,970 | ||||||
LyondellBasell Industries, Cl. A | 39,150 | 4,053,199 | ||||||
Martin Marietta Materials | 7,623 | 1,653,048 | ||||||
Monsanto | 52,315 | 6,335,346 | ||||||
Mosaic | 43,566 | 973,264 | ||||||
Newmont Mining | 65,266 | 2,360,019 | ||||||
Nucor | 38,246 | 2,211,766 | ||||||
Packaging Corporation of America | 11,342 | 1,318,734 | ||||||
PPG Industries | 31,407 | 3,650,750 | ||||||
Praxair | 33,922 | 4,956,683 | ||||||
Sealed Air | 22,733 | 1,005,481 | ||||||
Sherwin-Williams | 9,860 | 3,896,179 | ||||||
Vulcan Materials | 15,834 | 1,927,790 | ||||||
WestRock | 30,213 | 1,852,963 | ||||||
80,151,867 | ||||||||
Media - 2.7% | ||||||||
CBS, Cl. B | 43,956 | 2,466,811 | ||||||
Charter Communications, Cl. A | 24,274 | b | 8,111,643 | |||||
Comcast, Cl. A | 566,145 | 20,398,204 | ||||||
Discovery Communications, Cl. A | 19,678 | a,b | 371,521 | |||||
Discovery Communications, Cl. C | 24,548 | b | 437,200 | |||||
DISH Network, Cl. A | 27,461 | b | 1,332,957 | |||||
Interpublic Group of Companies | 48,888 | 941,094 | ||||||
News Corp., Cl. A | 46,732 | 638,359 | ||||||
News Corp., Cl. B | 12,486 | 173,555 | ||||||
Omnicom Group | 28,279 | 1,900,066 | ||||||
Scripps Networks Interactive, Cl. A | 11,094 | 923,908 | ||||||
Time Warner | 93,455 | 9,185,692 | ||||||
Twenty-First Century Fox, Cl. A | 128,010 | 3,347,462 | ||||||
Twenty-First Century Fox, Cl. B | 53,521 | 1,362,109 | ||||||
Viacom, Cl. B | 40,954 | 984,125 | ||||||
Walt Disney | 184,979 | 18,092,796 | ||||||
70,667,502 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 8.3% | ||||||||
AbbVie | 191,649 | 17,296,322 | ||||||
Agilent Technologies | 38,042 | 2,587,997 | ||||||
Alexion Pharmaceuticals | 26,684 | b | 3,193,007 | |||||
Allergan | 40,076 | 7,102,669 | ||||||
Amgen | 88,165 | 15,448,271 | ||||||
Biogen | 25,468 | b | 7,937,357 | |||||
Bristol-Myers Squibb | 198,321 | 12,228,473 |
14
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 8.3% (continued) | ||||||||
Celgene | 93,800 | b | 9,470,986 | |||||
Eli Lilly & Co. | 116,094 | 9,512,742 | ||||||
Gilead Sciences | 156,314 | 11,717,297 | ||||||
Illumina | 17,336 | b | 3,557,174 | |||||
Incyte | 20,519 | b | 2,323,777 | |||||
Johnson & Johnson | 322,986 | 45,027,478 | ||||||
Merck & Co. | 328,897 | 18,118,936 | ||||||
Mettler-Toledo International | 3,101 | b | 2,116,836 | |||||
Mylan | 63,379 | b | 2,263,264 | |||||
PerkinElmer | 14,154 | 1,023,617 | ||||||
Perrigo | 16,053 | a | 1,300,132 | |||||
Pfizer | 717,104 | 25,141,666 | ||||||
Quintiles IMS Holdings | 18,036 | b | 1,949,692 | |||||
Regeneron Pharmaceuticals | 9,083 | b | 3,656,997 | |||||
Thermo Fisher Scientific | 47,974 | 9,298,800 | ||||||
Vertex Pharmaceuticals | 30,069 | b | 4,396,990 | |||||
Waters | 9,357 | b | 1,834,440 | |||||
Zoetis | 59,327 | 3,786,249 | ||||||
222,291,169 | ||||||||
Real Estate - 2.9% | ||||||||
Alexandria Real Estate Equities | 11,092 | c | 1,374,964 | |||||
American Tower | 51,458 | c | 7,392,971 | |||||
Apartment Investment & Management, Cl. A | 17,797 | c | 782,712 | |||||
AvalonBay Communities | 16,736 | c | 3,034,739 | |||||
Boston Properties | 18,216 | c | 2,207,415 | |||||
CBRE Group, Cl. A | 35,189 | b,c | 1,383,631 | |||||
Crown Castle International | 48,390 | c | 5,181,601 | |||||
Digital Realty Trust | 24,022 | c | 2,845,166 | |||||
Duke Realty | 42,761 | c | 1,217,833 | |||||
Equinix | 9,452 | c | 4,381,002 | |||||
Equity Residential | 44,200 | c | 2,972,892 | |||||
Essex Property Trust | 8,051 | c | 2,112,824 | |||||
Extra Space Storage | 15,118 | c | 1,233,478 | |||||
Federal Realty Investment Trust | 8,491 | c | 1,023,335 | |||||
GGP | 71,314 | c | 1,387,770 | |||||
HCP | 54,892 | c | 1,418,409 | |||||
Host Hotels & Resorts | 87,848 | c | 1,718,307 | |||||
Iron Mountain | 29,679 | c | 1,187,160 | |||||
Kimco Realty | 51,937 | c | 943,176 | |||||
Macerich | 13,199 | a,c | 720,665 | |||||
Mid-America Apartment Communities | 13,812 | c | 1,413,658 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Real Estate - 2.9% (continued) | ||||||||
Prologis | 62,879 | c | 4,060,726 | |||||
Public Storage | 17,981 | c | 3,726,562 | |||||
Realty Income | 31,798 | c | 1,706,599 | |||||
Regency Centers | 17,699 | c | 1,089,373 | |||||
SBA Communications | 14,574 | b,c | 2,290,741 | |||||
Simon Property Group | 37,612 | c | 5,842,272 | |||||
SL Green Realty | 12,154 | c | 1,162,895 | |||||
UDR | 32,056 | c | 1,243,452 | |||||
Ventas | 42,185 | c | 2,647,109 | |||||
Vornado Realty Trust | 20,793 | c | 1,556,564 | |||||
Welltower | 44,180 | c | 2,958,293 | |||||
Weyerhaeuser | 89,679 | c | 3,220,373 | |||||
77,438,667 | ||||||||
Retailing - 5.5% | ||||||||
Advance Auto Parts | 9,080 | 742,199 | ||||||
Amazon.com | 47,933 | b | 52,979,386 | |||||
AutoZone | 3,373 | b | 1,988,384 | |||||
Best Buy | 32,397 | 1,813,584 | ||||||
CarMax | 22,553 | b | 1,693,730 | |||||
Dollar General | 31,025 | 2,508,061 | ||||||
Dollar Tree | 28,703 | b | 2,619,149 | |||||
Expedia | 14,970 | 1,866,160 | ||||||
Foot Locker | 15,366 | 462,209 | ||||||
Gap | 25,199 | 654,922 | ||||||
Genuine Parts | 17,985 | 1,586,817 | ||||||
Home Depot | 142,010 | 23,542,418 | ||||||
Kohl's | 20,809 | a | 868,984 | |||||
L Brands | 28,655 | a | 1,233,311 | |||||
LKQ | 37,811 | b | 1,425,097 | |||||
Lowe's | 101,742 | 8,134,273 | ||||||
Macy's | 38,470 | 721,697 | ||||||
Netflix | 51,879 | b | 10,190,592 | |||||
Nordstrom | 13,673 | a | 542,134 | |||||
O'Reilly Automotive | 10,865 | b | 2,291,972 | |||||
Priceline Group | 5,881 | b | 11,244,237 | |||||
Ross Stores | 46,949 | 2,980,792 | ||||||
Signet Jewelers | 7,324 | a | 480,235 | |||||
Target | 66,177 | 3,907,090 | ||||||
The TJX Companies | 77,503 | 5,409,709 | ||||||
Tiffany & Co. | 12,382 | 1,159,203 | ||||||
Tractor Supply | 16,134 | 972,235 | ||||||
TripAdvisor | 14,316 | a,b | 536,850 |
16
Description | Shares | Value ($) | ||||||
Common Stocks - 99.7% (continued) | ||||||||
Retailing - 5.5% (continued) | ||||||||
Ulta Beauty | 6,993 | b | 1,411,117 | |||||
145,966,547 | ||||||||
Semiconductors & Semiconductor Equipment - 4.0% | ||||||||
Advanced Micro Devices | 95,471 | a,b | 1,048,749 | |||||
Analog Devices | 43,970 | 4,014,461 | ||||||
Applied Materials | 128,774 | 7,266,717 | ||||||
Broadcom | 48,805 | 12,880,128 | ||||||
Intel | 566,397 | 25,765,400 | ||||||
KLA-Tencor | 19,259 | 2,097,113 | ||||||
Lam Research | 19,908 | 4,152,212 | ||||||
Microchip Technology | 27,505 | a | 2,607,474 | |||||
Micron Technology | 133,090 | b | 5,897,218 | |||||
NVIDIA | 72,101 | 14,911,208 | ||||||
Qorvo | 16,041 | a,b | 1,216,068 | |||||
QUALCOMM | 176,603 | 9,008,519 | ||||||
Skyworks Solutions | 22,082 | 2,514,257 | ||||||
Texas Instruments | 119,555 | 11,559,773 | ||||||
Xilinx | 30,151 | 2,221,827 | ||||||
107,161,124 | ||||||||
Software & Services - 14.5% | ||||||||
Accenture, Cl. A | 74,439 | 10,597,136 | ||||||
Activision Blizzard | 90,030 | 5,896,064 | ||||||
Adobe Systems | 59,220 | b | 10,372,975 | |||||
Akamai Technologies | 20,517 | b | 1,072,013 | |||||
Alliance Data Systems | 5,876 | 1,314,637 | ||||||
Alphabet, Cl. A | 35,767 | b | 36,948,742 | |||||
Alphabet, Cl. C | 36,264 | b | 36,867,433 | |||||
ANSYS | 10,282 | b | 1,405,652 | |||||
Autodesk | 26,013 | b | 3,250,584 | |||||
Automatic Data Processing | 53,547 | 6,225,374 | ||||||
CA | 38,098 | 1,233,613 | ||||||
Cadence Design Systems | 33,706 | b | 1,454,751 | |||||
Citrix Systems | 17,342 | b | 1,432,623 | |||||
Cognizant Technology Solutions, Cl. A | 70,992 | 5,371,965 | ||||||
CSRA | 19,142 | 612,353 | ||||||
DXC Technology | 34,410 | 3,149,203 | ||||||
eBay | 120,396 | b | 4,531,705 | |||||
Electronic Arts | 37,398 | b | 4,472,801 | |||||
Facebook, Cl. A | 285,042 | b | 51,324,663 | |||||
Fidelity National Information Services | 39,883 | 3,699,547 | ||||||
Fiserv | 25,441 | b | 3,292,829 | |||||
Gartner | 10,945 | b | 1,371,518 | |||||
Global Payments | 17,768 | 1,846,984 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 99.7% (continued) | |||||||||
Software & Services - 14.5% (continued) | |||||||||
International Business Machines | 104,098 | 16,037,338 | |||||||
Intuit | 29,491 | 4,453,731 | |||||||
MasterCard, Cl. A | 112,770 | 16,776,793 | |||||||
Microsoft | 926,707 | 77,083,488 | |||||||
Oracle | 363,008 | 18,477,107 | |||||||
Paychex | 37,680 | 2,403,607 | |||||||
PayPal Holdings | 135,748 | b | 9,849,875 | ||||||
Red Hat | 21,349 | b | 2,579,600 | ||||||
salesforce.com | 81,928 | b | 8,384,512 | ||||||
Symantec | 73,418 | 2,386,085 | |||||||
Synopsys | 18,132 | b | 1,568,781 | ||||||
Total System Services | 19,042 | 1,371,976 | |||||||
VeriSign | 10,837 | a,b | 1,165,194 | ||||||
Visa, Cl. A | 220,301 | a | 24,228,704 | ||||||
Western Union | 58,479 | 1,161,393 | |||||||
385,673,349 | |||||||||
Technology Hardware & Equipment - 5.9% | |||||||||
Amphenol, Cl. A | 36,399 | 3,166,713 | |||||||
Apple | 621,548 | 105,066,474 | |||||||
Cisco Systems | 599,786 | 20,482,692 | |||||||
Corning | 109,074 | 3,415,107 | |||||||
F5 Networks | 7,700 | b | 933,779 | ||||||
FLIR Systems | 16,913 | 791,867 | |||||||
Harris | 14,472 | 2,016,239 | |||||||
Hewlett Packard Enterprise | 200,650 | 2,793,048 | |||||||
HP | 201,383 | 4,339,804 | |||||||
Juniper Networks | 47,463 | 1,178,506 | |||||||
Motorola Solutions | 19,310 | 1,748,327 | |||||||
NetApp | 32,526 | 1,444,805 | |||||||
Seagate Technology | 34,555 | a | 1,277,498 | ||||||
TE Connectivity | 42,800 | 3,893,516 | |||||||
Western Digital | 34,898 | 3,115,344 | |||||||
Xerox | 26,896 | 815,218 | |||||||
156,478,937 | |||||||||
Telecommunication Services - 1.9% | |||||||||
AT&T | 738,916 | 24,864,523 | |||||||
CenturyLink | 117,753 | a | 2,236,129 | ||||||
Verizon Communications | 490,277 | 23,469,560 | |||||||
50,570,212 | |||||||||
Transportation - 2.1% | |||||||||
Alaska Air Group | 15,259 | 1,007,552 | |||||||
American Airlines Group | 52,817 | 2,472,892 | |||||||
C.H. Robinson Worldwide | 17,299 | a | 1,358,490 |
18
Description | Shares | Value ($) | |||||||
Common Stocks - 99.7% (continued) | |||||||||
Transportation - 2.1% (continued) | |||||||||
CSX | 110,506 | 5,572,818 | |||||||
Delta Air Lines | 80,890 | 4,046,927 | |||||||
Expeditors International of Washington | 21,254 | 1,240,809 | |||||||
FedEx | 29,641 | 6,693,234 | |||||||
J.B. Hunt Transport Services | 10,211 | 1,086,348 | |||||||
Kansas City Southern | 12,934 | 1,347,981 | |||||||
Norfolk Southern | 34,585 | 4,545,161 | |||||||
Southwest Airlines | 66,895 | 3,602,965 | |||||||
Union Pacific | 96,384 | 11,160,303 | |||||||
United Continental Holdings | 31,373 | b | 1,834,693 | ||||||
United Parcel Service, Cl. B | 82,378 | 9,681,886 | |||||||
55,652,059 | |||||||||
Utilities - 3.1% | |||||||||
AES | 75,560 | 803,203 | |||||||
Alliant Energy | 28,162 | 1,218,288 | |||||||
Ameren | 30,088 | 1,865,155 | |||||||
American Electric Power | 59,144 | 4,400,905 | |||||||
American Water Works | 22,069 | 1,936,775 | |||||||
CenterPoint Energy | 50,234 | 1,485,922 | |||||||
CMS Energy | 34,182 | 1,653,383 | |||||||
Consolidated Edison | 37,143 | 3,196,155 | |||||||
Dominion Energy | 77,037 | 6,250,782 | |||||||
DTE Energy | 21,213 | 2,343,188 | |||||||
Duke Energy | 84,154 | 7,431,640 | |||||||
Edison International | 39,085 | 3,124,846 | |||||||
Entergy | 21,496 | 1,854,245 | |||||||
Eversource Energy | 38,061 | 2,384,141 | |||||||
Exelon | 115,008 | 4,624,472 | |||||||
FirstEnergy | 51,592 | 1,699,956 | |||||||
NextEra Energy | 55,836 | 8,658,489 | |||||||
NiSource | 40,468 | 1,067,141 | |||||||
NRG Energy | 35,685 | 892,125 | |||||||
PG&E | 60,671 | 3,504,964 | |||||||
Pinnacle West Capital | 12,885 | 1,130,143 | |||||||
PPL | 83,135 | 3,122,551 | |||||||
Public Service Enterprise Group | 61,525 | 3,027,030 | |||||||
SCANA | 17,713 | 764,139 | |||||||
Sempra Energy | 30,034 | 3,528,995 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | ||||||||||
Common Stocks - 99.7% (continued) | ||||||||||||
Utilities - 3.1% (continued) | ||||||||||||
Southern | 119,488 | 6,237,274 | ||||||||||
WEC Energy Group | 37,336 | 2,516,073 | ||||||||||
Xcel Energy | 60,012 | 2,971,794 | ||||||||||
83,693,774 | ||||||||||||
Total Common Stocks (cost $816,396,804) | 2,654,027,180 | |||||||||||
Principal Amount ($) | ||||||||||||
Short-Term Investments - .0% | ||||||||||||
U.S. Treasury Bills | ||||||||||||
1.02%, 12/7/17 | 725,000 | d | 724,290 | |||||||||
Other Investment - .5% | ||||||||||||
Registered Investment Company; | ||||||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 12,605,928 | e | 12,605,928 | |||||||||
Investment of Cash Collateral for Securities Loaned - .5% | ||||||||||||
Registered Investment Company; | ||||||||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 11,760,856 | e | 11,760,856 | |||||||||
Total Investments (cost $841,487,851) | 100.7% | 2,679,118,254 | ||||||||||
Liabilities, Less Cash and Receivables | (.7%) | (17,836,569) | ||||||||||
Net Assets | 100.0% | 2,661,281,685 |
a Security, or portion thereof, on loan. At October 31, 2017, the value of the fund’s securities on loan was $53,283,232 and the value of the collateral held by the fund was $54,581,317, consisting of cash collateral of $11,760,856 and U.S. Government & Agency securities valued at $42,820,461.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by a counterparty for open futures contracts.
e Investment in affiliated money market mutual fund.
20
Portfolio Summary (Unaudited) † | Value (%) |
Software & Services | 14.5 |
Pharmaceuticals, Biotechnology & Life Sciences | 8.3 |
Capital Goods | 7.3 |
Banks | 6.5 |
Energy | 5.9 |
Technology Hardware & Equipment | 5.9 |
Health Care Equipment & Services | 5.7 |
Retailing | 5.5 |
Diversified Financials | 5.4 |
Food, Beverage & Tobacco | 4.5 |
Semiconductors & Semiconductor Equipment | 4.0 |
Utilities | 3.1 |
Materials | 3.0 |
Real Estate | 2.9 |
Insurance | 2.8 |
Media | 2.7 |
Transportation | 2.1 |
Telecommunication Services | 1.9 |
Consumer Services | 1.9 |
Household & Personal Products | 1.7 |
Food & Staples Retailing | 1.7 |
Consumer Durables & Apparel | 1.1 |
Short-Term/Money Market Investments | 1.0 |
Automobiles & Components | .7 |
Commercial & Professional Services | .6 |
100.7 |
† Based on net assets.
See notes to financial statements.
21
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Companies | Value | Purchases($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 7,299,157 | 202,704,407 | 198,242,708 | 11,760,856 | .5 | – |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 29,140,371 | 345,225,209 | 361,759,652 | 12,605,928 | .5 | 108,076 |
Total | 36,439,528 | 547,929,616 | 560,002,360 | 24,366,784 | 1.0 | 108,076 |
See notes to financial statements.
22
STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 114 | 12/2017 | 14,567,233 | 14,664,390 | 97,157 | |
Gross Unrealized Appreciation | 97,157 |
See notes to financial statements.
23
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
| ||||
|
|
| Cost |
| Value |
| ||||
Assets ($): |
|
|
|
| ||||||
Investments in securities—See Statement of Investments |
|
|
| |||||||
Unaffiliated issuers | 817,121,067 |
| 2,654,751,470 |
| ||||||
Affiliated issuers |
| 24,366,784 |
| 24,366,784 |
| |||||
Cash |
|
|
|
| 533,870 |
| ||||
Dividends and securities lending income receivable |
| 2,247,755 |
| |||||||
Receivable for shares of Common Stock subscribed |
| 159,731 |
| |||||||
Receivable for futures variation margin—Note 4 |
| 28,778 |
| |||||||
Other assets |
|
|
|
| 55,450 |
| ||||
|
|
|
|
| 2,682,143,838 |
| ||||
Liabilities ($): |
|
|
|
| ||||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 1,116,413 |
| ||||
Liability for securities on loan—Note 1(b) |
| 11,760,856 |
| |||||||
Payable for shares of Common Stock redeemed |
| 7,978,664 |
| |||||||
Interest payable—Note 2 |
| 220 |
| |||||||
Accrued expenses |
|
|
|
| 6,000 |
| ||||
|
|
|
|
| 20,862,153 |
| ||||
Net Assets ($) |
|
| 2,661,281,685 |
| ||||||
Composition of Net Assets ($): |
|
|
|
| ||||||
Paid-in capital |
|
|
|
| 637,895,833 |
| ||||
Accumulated undistributed investment income—net |
| 31,980,484 |
| |||||||
Accumulated net realized gain (loss) on investments |
|
|
|
| 153,677,808 |
| ||||
Accumulated net unrealized appreciation (depreciation) |
|
|
| 1,837,727,560 |
| |||||
Net Assets ($) |
|
| 2,661,281,685 |
| ||||||
Shares Outstanding |
|
| ||||||||
(200 million shares of $.001 par value Common Stock authorized) | 46,968,646 |
| ||||||||
Net Asset Value Per Share ($) |
| 56.66 |
| |||||||
See notes to financial statements. |
24
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends: |
| |||||
Unaffiliated issuers |
|
| 53,078,789 |
| ||
Affiliated issuers |
|
| 108,076 |
| ||
Income from securities lending—Note 1(b) |
|
| 107,161 |
| ||
Interest |
|
| 7,861 |
| ||
Total Income |
|
| 53,301,887 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 6,584,888 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 6,584,888 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 214,237 |
| ||
Loan commitment fees—Note 2 |
|
| 58,800 |
| ||
Interest expense—Note 2 |
|
| 1,161 |
| ||
Total Expenses |
|
| 13,443,974 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (214,237) |
| ||
Net Expenses |
|
| 13,229,737 |
| ||
Investment Income—Net |
|
| 40,072,150 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 187,996,432 |
| ||||
Net realized gain (loss) on futures | 4,186,545 |
| ||||
Net Realized Gain (Loss) |
|
| 192,182,977 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 309,127,782 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 474,192 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 309,601,974 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 501,784,951 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 541,857,101 |
| |||
See notes to financial statements. |
25
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 40,072,150 |
|
|
| 43,471,415 |
| |
Net realized gain (loss) on investments |
| 192,182,977 |
|
|
| 216,335,827 |
| ||
Net unrealized appreciation (depreciation) |
| 309,601,974 |
|
|
| (160,662,819) |
| ||
Net Increase (Decrease) in Net Assets | 541,857,101 |
|
|
| 99,144,423 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net |
|
| (43,501,163) |
|
|
| (44,703,136) |
| |
Net realized gain on investments |
|
| (211,029,813) |
|
|
| (150,090,899) |
| |
Total Distributions |
|
| (254,530,976) |
|
|
| (194,794,035) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 414,809,180 |
|
|
| 484,041,087 |
| |
Distributions reinvested |
|
| 249,887,372 |
|
|
| 191,696,924 |
| |
Cost of shares redeemed |
|
| (769,466,150) |
|
|
| (872,598,053) |
| |
Increase (Decrease) in Net Assets | (104,769,598) |
|
|
| (196,860,042) |
| |||
Total Increase (Decrease) in Net Assets | 182,556,527 |
|
|
| (292,509,654) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,478,725,158 |
|
|
| 2,771,234,812 |
| |
End of Period |
|
| 2,661,281,685 |
|
|
| 2,478,725,158 |
| |
Undistributed investment income—net | 31,980,484 |
|
|
| 34,422,230 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 7,917,756 |
|
|
| 9,761,306 |
| |
Shares issued for distributions reinvested |
|
| 5,108,846 |
|
|
| 3,891,683 |
| |
Shares redeemed |
|
| (14,622,407) |
|
|
| (17,490,556) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,595,805) |
|
|
| (3,837,567) |
| |||
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||
Per Share Data ($): | ||||||||
Net asset value, beginning of period | 51.04 | 52.88 | 54.00 | 47.94 | 39.13 | |||
Investment Operations: | ||||||||
Investment income—neta | .80 | .84 | .83 | .77 | .75 | |||
Net realized and unrealized gain | 10.12 | 1.11 | 1.68 | 7.05 | 9.32 | |||
Total from Investment Operations | 10.92 | 1.95 | 2.51 | 7.82 | 10.07 | |||
Distributions: | ||||||||
Dividends from investment | (.91) | (.87) | (.83) | (.74) | (.71) | |||
Dividends from net realized gain | (4.39) | (2.92) | (2.80) | (1.02) | (.55) | |||
Total Distributions | (5.30) | (3.79) | (3.63) | (1.76) | (1.26) | |||
Net asset value, end of period | 56.66 | 51.04 | 52.88 | 54.00 | 47.94 | |||
Total Return (%) | 23.03 | 3.95 | 4.70 | 16.71 | 26.56 | |||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses to | .51 | .51 | .51 | .51 | .51 | |||
Ratio of net expenses to | .50 | .50 | .50 | .50 | .50 | |||
Ratio of net investment income to | 1.52 | 1.68 | 1.59 | 1.54 | 1.75 | |||
Portfolio Turnover Rate | 2.88 | 4.25 | 3.72 | 3.56 | 2.92 | |||
Net Assets, end of period ($ x 1,000) | 2,661,282 | 2,478,725 | 2,771,235 | 2,894,071 | 2,755,400 |
a Based on average shares outstanding.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the S&P 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 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).
28
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.
The Service is engaged under the general supervision of the Board.
29
NOTES TO FINANCIAL STATEMENTS (continued)
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. 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 to not accurately reflect 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.
Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2017 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities—Domestic Common Stocks† | 2,633,894,542 | - | - | 2,633,894,542 |
30
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) (continued) | ||||
Equity Securities—Foreign Common Stocks† | 20,132,638 | - | - | 20,132,638 |
Registered Investment Companies | 24,366,784 | - | - | 24,366,784 |
U.S. Treasury | - | 724,290 | - | 724,290 |
Other Financial Instruments: | ||||
Futures†† | 97,157 | - | - | 97,157 |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
(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
31
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2017, The Bank of New York Mellon earned $21,101 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.
(d) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2017, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $34,755,397, undistributed capital gains $186,873,405 and unrealized appreciation $1,801,757,050.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $45,178,724 and $47,619,236, and long-term capital gains $209,352,252 and $147,174,799, respectively.
32
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to prior year corporate actions, the fund increased accumulated undistributed investment income-net by $987,267 and decreased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2017 was approximately $58,900 with a related weighted average annualized interest rate of 1.97%.
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. Out of its fee, Dreyfus pays all of the expenses of the fund except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of interested Directors (including counsel fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2017, fees reimbursed by Dreyfus amounted to $214,237.
(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 such as recordkeeping and sub-accounting services. The
33
NOTES TO FINANCIAL STATEMENTS (continued)
Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2017, the fund was charged $6,584,888 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 $566,672 and Shareholder Services Plan fees $566,672, which are offset against an expense reimbursement currently in effect in the amount of $16,931.
(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 futures, during the period ended October 31, 2017, amounted to $74,861,206 and $362,876,477, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2017 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2017 are set forth in the Statement of Futures.
34
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
|
| Average Market Value ($) |
Equity futures | 24,885,923 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $877,361,204; accordingly, accumulated net unrealized appreciation on investments was $1,801,757,050, consisting of $1,858,474,668 gross unrealized appreciation and $56,717,618 gross unrealized depreciation.
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”). The cases allege that Tribune took on billions of dollars of debt in the LBO to purchase its own stock from shareholders at $34 per share. The LBO was executed in a two-step transaction: shares were repurchased by Tribune in a tender offer in June 2007 and then 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 were 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”)).
In addition, there was a case pending in United States Bankruptcy Court for the District of Delaware brought by the Unsecured Creditors Committee of the Tribune Company that has since been transferred to the Tribune MDL (formerly The Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, et al., Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC)) (“FitzSimons case”). The case was originally filed on November 1, 2010. In a Fourth Amended Complaint filed in November 2012, among other claims, the Creditors Committee sought recovery under the Bankruptcy Code for alleged “fraudulent conveyances” from more than 5,000 Tribune shareholders (“Shareholder Defendants”), including the fund, and a
35
NOTES TO FINANCIAL STATEMENTS (continued)
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 did 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 that applied to most, but not all, of the cases in the Tribune MDL. 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 banc by all judges on the Second Circuit. On July 22, 2016, the Second Circuit denied both requests for rehearing. On September 9, 2016, Plaintiffs filed a petition for certiorari with the U.S. Supreme Court. A brief in opposition to the petition was filed on behalf of defendants on October 24, 2016. Plaintiffs filed a reply brief on November 4, 2016. As of December 6, 2017, the Supreme Court had not ruled on the petition.
In the FitzSimons case, a “global” motion to dismiss the fraudulent transfer claim asserted against the Shareholder Defendants, which applies equally to
36
all Shareholder Defendants including the fund, was filed on May 23, 2014 and briefing was completed in July 2014. On January 9, 2017, Judge Sullivan entered an order granting the “global” motion and dismissing the claim against all the Shareholder Defendants. On February 2, 2017, the plaintiff filed a request to seek leave to appeal with the court. On February 23, 2017, the Court entered an order stating that it would permit the Plaintiff to make an interlocutory appeal of the dismissal of the claim, but only after the Court decided other pending motions to dismiss that do not involve the Shareholder Defendants. As of December 6, 2017, the Court had not decided those other motions.
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.
37
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers and futures, of Dreyfus S&P 500 Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus S&P 500 Index Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
38
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports 100% of the ordinary dividends paid during the fiscal year ended October 31, 2017 as qualifying for the corporate dividends received deduction. Also, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $45,178,724 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2018 of the percentage applicable to the preparation of their 2017 income tax returns. The fund also hereby reports $.0062 per share as a long-term capital gain distribution paid on March 21, 2017 and also $.0349 per share as a short-term capital gain distribution and $4.3487 per share as a long-term capital gain distribution paid on December 28, 2016.
39
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
40
Ehud Houminer (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
41
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
42
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
43
OFFICERS OF THE FUND (Unaudited) (continued)
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
44
NOTES
45
Dreyfus S&P 500 Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbol: | PEOPX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (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.
© 2017 MBSC Securities Corporation |
Dreyfus Smallcap Stock Index Fund
ANNUAL REPORT October 31, 2017 |
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(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
in Affiliated Issuers | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2016 through October 31, 2017. 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.
Stocks set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 2017, 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 12-month period ended October 31, 2017, Dreyfus Smallcap Stock Index Fund’s Class I shares produced a total return of 27.38%, and its Investor shares returned 27.11%.1 In comparison, the S&P SmallCap 600® Index (the “Index”), the fund’s benchmark, produced a 27.92% total return for the same period.2,3
Small-cap stocks gained ground amid better-than-expected corporate earnings and in anticipation of more stimulative U.S. government policies. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the Index by generally investing in a representative sample of stocks included in the Index and in futures whose performance is tied to the Index. However, at times, the fund may be fully invested in all the stocks that comprise the Index. Under these circumstances, the fund maintains approximately the same weighting for each stock as the Index does. The fund expects to invest in approximately 500 or more of the stocks in the Index.
The Index is an unmanaged index composed of 600 domestic stocks. S&P weights each company’s stock in the Index by its market capitalization (i.e., the share price times the number of shares outstanding), adjusted by the number of available float shares (i.e., those shares available to public investors). Companies included in the Index generally have market capitalizations ranging between approximately $400 million and $1.8 billion, to the extent consistent with market conditions.
Rising Corporate Earnings Drove Markets Higher
Equity markets across all capitalization ranges were reenergized in November and December 2016 when investors began to anticipate greater economic growth stemming from lower corporate taxes, reduced regulatory constraints on business, and increased infrastructure spending from a new presidential administration. In early 2017, better-than-expected corporate earnings and encouraging global economic developments drove the Index to a series of new highs. While concerns about the government’s ability to implement its business-friendly policy proposals slowed the market’s advance in the spring, most broad measures of stock market performance quickly shrugged off those concerns and reached new all-time highs by the reporting period’s end.
The market’s advance was supported throughout the reporting period by measured, well-telegraphed shifts in monetary policy from the Federal Reserve Board (the “Fed”). Although rising interest rates historically have tended to undermine investor sentiment toward stocks, the Fed’s gradual approach to withdrawing economic stimulus—including short-term interest-rate hikes in December, March, and June and the start of asset sales in October—was received calmly by investors, who focused more on rising corporate earnings. In this environment, small-cap stocks generally produce higher returns than their large- and mid-cap counterparts.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Technology Stocks Led the Market’s Advance
The Index’s robust results over the reporting period were driven, in part, by better-than-expected earnings in the industrials sector, where expectations of better domestic business conditions helped propel small-cap stock prices higher. Strong commercial demand bolstered sales and earnings for manufacturing and machinery companies. Other winners in the industrials sector included suppliers to the aerospace industry, manufacturers of 3-D printing equipment, logistics companies, providers of hospital laundry and dietary services, water pollution control companies, and producers of robotics and other factory automation technologies.
The financials sector also achieved impressive results. Higher short-term interest rates helped regional banks expand their lending margins, and volumes of new commercial and mortgage loans increased for thrifts and mortgage companies. Deregulation of the financials sector helped further boost profits for banks and insurance companies.
In the information technology sector, ongoing trends in favor of cloud computing, smartphones, Internet-connected automobiles and appliances, and factory automation and robotics helped support revenues and earnings for a variety of small-cap technology companies. Most notably, technological innovations generated robust demand for producers of semiconductors and electronic equipment responding to the increasing popularity of Internet-connected automobiles and appliances. Semiconductor manufacturers also benefited from greater pricing power amid industry consolidation. Meanwhile, the prospect of higher military spending supported gains among defense-related businesses.
On a more negative note, the energy sector lost value in light of low oil prices early in the reporting period, a trade dispute with Canada that undermined coal export volumes, and the rising cost of materials used in North American shale oil-and-gas production. Finally, the consumer staples sector struggled with online competition affecting brick-and-mortar grocery retailers.
Replicating the Performance of the Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is worth noting that the U.S. and global economic recoveries appear to have gained momentum, and corporate earnings have continued to exceed many analysts’ expectations. However, the small-cap stock market’s currently constructive conditions could be undermined by unexpected political and economic developments. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 15, 2017
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. — The S&P SmallCap 600® Index measures the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. 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.
Equities 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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock Index Fund Investor shares and Class I shares and the S&P SmallCap 600® Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Investor and Class I shares of Dreyfus Smallcap Stock Index Fund on 10/31/07 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index measures the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/17 | ||||
Inception | 1 Year | 5 Years | 10 Years | |
Investor shares | 6/30/97 | 27.11% | 15.78% | 8.88% |
Class I Shares | 8/31/16 | 27.38% | 15.85%† | 8.91%† |
S&P SmallCap 600® Index | 27.92% | 16.29% | 9.17% |
† The total return performance figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from May 1, 2017 to October 31, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended October 31, 2017 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $2.61 | $1.31 | ||||
Ending value (after expenses) | $1,073.80 | $1,075.10 |
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 October 31, 2017 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $2.55 | $1.28 | ||||
Ending value (after expenses) | $1,022.68 | $1,023.95 |
† Expenses are equal to the fund’s annualized expense ratio of .50% for Investor Shares and .25% for Class I, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% | |||||||
Automobiles & Components - 1.9% | |||||||
American Axle & Manufacturing Holdings | 238,155 | a | 4,236,777 | ||||
Cooper-Standard Holding | 50,116 | a | 5,586,932 | ||||
Dorman Products | 100,123 | a | 6,919,501 | ||||
Fox Factory Holding | 121,766 | a | 5,181,143 | ||||
Gentherm | 114,440 | a | 3,833,740 | ||||
LCI Industries | 75,723 | 9,374,507 | |||||
Motorcar Parts of America | 67,080 | a | 1,939,283 | ||||
Standard Motor Products | 68,565 | 2,994,234 | |||||
Superior Industries International | 74,349 | 1,156,127 | |||||
Winnebago Industries | 90,017 | 4,424,336 | |||||
45,646,580 | |||||||
Banks - 9.5% | |||||||
Ameris Bancorp | 120,194 | 5,757,293 | |||||
Banc of California | 128,227 | 2,699,178 | |||||
Bank Mutual | 140,780 | 1,488,749 | |||||
Banner | 106,298 | 6,093,001 | |||||
BofI Holding | 163,535 | a | 4,399,092 | ||||
Boston Private Financial Holdings | 289,467 | 4,602,525 | |||||
Brookline Bancorp | 204,352 | 3,147,021 | |||||
Central Pacific Financial | 108,807 | 3,386,074 | |||||
City Holding | 46,346 | 3,266,930 | |||||
Columbia Banking System | 189,316 | 8,237,139 | |||||
Community Bank System | 160,191 | 8,856,960 | |||||
Customers Bancorp | 101,743 | a | 2,781,654 | ||||
CVB Financial | 335,233 | 7,998,659 | |||||
Dime Community Bancshares | 78,792 | 1,737,364 | |||||
Fidelity Southern | 47,725 | 1,046,609 | |||||
First BanCorp | 637,646 | a | 3,283,877 | ||||
First Commonwealth Financial | 301,691 | 4,392,621 | |||||
First Financial Bancorp | 211,070 | 5,762,211 | |||||
First Financial Bankshares | 207,611 | 9,477,442 | |||||
First Midwest Bancorp | 296,082 | 6,836,533 | |||||
Glacier Bancorp | 259,101 | 9,835,474 | |||||
Great Western Bancorp | 183,061 | 7,430,446 | |||||
Hanmi Financial | 107,941 | 3,319,186 | |||||
HomeStreet | 77,727 | a | 2,257,969 | ||||
Hope Bancorp | 390,732 | 7,209,005 | |||||
Independent Bank | 81,030 | 5,842,263 | |||||
LegacyTexas Financial Group | 128,161 | 5,112,342 | |||||
LendingTree | 23,884 | a | 6,402,106 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Banks - 9.5% (continued) | |||||||
Meta Financial Group | 24,557 | 2,142,598 | |||||
National Bank Holdings, Cl. A | 99,261 | 3,257,746 | |||||
NBT Bancorp | 138,913 | 5,298,142 | |||||
NMI Holdings, Cl. A | 182,767 | a | 2,659,260 | ||||
Northfield Bancorp | 177,233 | 3,023,595 | |||||
Northwest Bancshares | 298,208 | 5,030,769 | |||||
OFG Bancorp | 174,228 | 1,550,629 | |||||
Old National Bancorp | 432,814 | 7,877,215 | |||||
Opus Bank | 37,609 | a | 974,073 | ||||
Oritani Financial | 144,342 | 2,446,597 | |||||
Pacific Premier Bancorp | 124,016 | a | 5,010,246 | ||||
Provident Financial Services | 180,056 | 4,897,523 | |||||
S&T Bancorp | 98,465 | 4,026,234 | |||||
ServisFirst Bancshares | 138,537 | 5,681,402 | |||||
Simmons First National, Cl. A | 116,630 | 6,729,551 | |||||
Southside Bancshares | 92,039 | 3,259,101 | |||||
Tompkins Financial | 34,389 | 2,995,970 | |||||
TrustCo Bank | 313,655 | 2,877,785 | |||||
United Community Banks | 237,971 | 6,525,165 | |||||
Walker & Dunlop | 93,067 | a | 5,108,448 | ||||
Westamerica Bancorporation | 76,563 | 4,458,263 | |||||
228,490,035 | |||||||
Capital Goods - 11.4% | |||||||
AAON | 128,207 | 4,487,245 | |||||
AAR | 102,453 | 3,984,397 | |||||
Actuant, Cl. A | 179,015 | 4,564,882 | |||||
Aegion | 98,573 | a | 2,295,765 | ||||
Aerojet Rocketdyne Holdings | 240,472 | a | 7,594,106 | ||||
Aerovironment | 65,648 | a | 3,358,552 | ||||
Alamo Group | 34,242 | 3,612,531 | |||||
Albany International, Cl. A | 83,474 | 5,037,656 | |||||
American Woodmark | 44,589 | a | 4,307,297 | ||||
Apogee Enterprises | 91,205 | 4,353,215 | |||||
Applied Industrial Technologies | 125,093 | 7,962,169 | |||||
Astec Industries | 59,326 | 3,081,986 | |||||
Axon Enterprise | 156,397 | a | 3,592,439 | ||||
AZZ | 76,357 | 3,649,865 | |||||
Barnes Group | 155,770 | 10,139,069 | |||||
Briggs & Stratton | 128,112 | 3,228,422 | |||||
Chart Industries | 95,751 | a | 4,165,169 | ||||
CIRCOR International | 53,248 | 2,340,250 | |||||
Comfort Systems USA | 114,860 | 5,088,298 | |||||
Cubic | 73,171 | 3,991,478 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 11.4% (continued) | |||||||
DXP Enterprises | 50,754 | a | 1,627,681 | ||||
Encore Wire | 64,704 | 2,921,386 | |||||
Engility Holdings | 61,337 | a | 2,065,217 | ||||
EnPro Industries | 67,368 | 5,641,396 | |||||
ESCO Technologies | 74,493 | 4,316,869 | |||||
Federal Signal | 179,024 | 3,822,162 | |||||
Franklin Electric | 118,180 | 5,377,190 | |||||
General Cable | 149,844 | 3,139,232 | |||||
Gibraltar Industries | 105,410 | a | 3,504,883 | ||||
Griffon | 99,869 | 2,252,046 | |||||
Harsco | 261,655 | a | 5,560,169 | ||||
Hillenbrand | 210,856 | 8,339,355 | |||||
Insteel Industries | 54,724 | 1,398,198 | |||||
John Bean Technologies | 94,039 | 10,052,769 | |||||
Kaman | 79,932 | 4,471,396 | |||||
Lindsay | 35,573 | 3,257,064 | |||||
Lydall | 51,871 | a | 2,998,144 | ||||
Mercury Systems | 149,922 | a | 7,566,563 | ||||
Moog, Cl. A | 104,155 | a | 9,140,643 | ||||
Mueller Industries | 181,444 | 6,305,179 | |||||
MYR Group | 51,556 | a | 1,644,121 | ||||
National Presto Industries | 15,285 | 1,786,817 | |||||
Orion Marine Group | 73,747 | a | 530,978 | ||||
Patrick Industries | 50,403 | a | 4,687,479 | ||||
PGT | 141,449 | a | 1,994,431 | ||||
Powell Industries | 29,413 | 852,389 | |||||
Proto Labs | 78,622 | a | 6,859,769 | ||||
Quanex Building Products | 102,840 | 2,257,338 | |||||
Raven Industries | 121,425 | 4,085,951 | |||||
Simpson Manufacturing | 123,316 | 6,873,634 | |||||
SPX | 140,380 | a | 4,111,730 | ||||
SPX FLOW | 140,855 | a | 5,807,452 | ||||
Standex International | 36,543 | 3,784,028 | |||||
Tennant | 49,621 | 3,441,216 | |||||
The Greenbrier Companies | 85,682 | 4,472,600 | |||||
Titan International | 138,122 | 1,345,308 | |||||
Trex | 92,007 | a | 10,070,166 | ||||
Triumph Group | 156,576 | 4,861,685 | |||||
Universal Forest Products | 63,563 | 7,176,263 | |||||
Veritiv | 33,189 | a | 1,067,026 | ||||
Vicor | 25,576 | a | 551,163 | ||||
Wabash National | 193,216 | 4,347,360 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 11.4% (continued) | |||||||
Watts Water Technologies, Cl. A | 92,807 | 6,255,192 | |||||
273,456,429 | |||||||
Commercial & Professional Services - 5.3% | |||||||
ABM Industries | 169,371 | 7,108,501 | |||||
Brady, Cl. A | 161,634 | 6,150,174 | |||||
Essendant | 143,548 | 1,389,545 | |||||
Exponent | 75,914 | 5,606,249 | |||||
FTI Consulting | 124,772 | a | 5,334,003 | ||||
Healthcare Services Group | 220,779 | 11,677,001 | |||||
Heidrick & Struggles International | 54,834 | 1,362,625 | |||||
Insperity | 58,581 | 5,559,337 | |||||
Interface | 191,631 | 4,369,187 | |||||
Kelly Services, Cl. A | 99,865 | 2,627,448 | |||||
Korn/Ferry International | 182,096 | 7,617,076 | |||||
LSC Communications | 109,317 | 1,768,749 | |||||
Matthews International, Cl. A | 101,118 | 6,355,266 | |||||
Mobile Mini | 138,525 | 4,585,177 | |||||
Multi-Color | 41,674 | 3,446,440 | |||||
Navigant Consulting | 154,002 | a | 2,665,775 | ||||
On Assignment | 157,833 | a | 9,662,536 | ||||
R.R. Donnelley & Sons Co. | 228,855 | 2,105,466 | |||||
Resources Connection | 95,625 | 1,506,094 | |||||
Team | 87,280 | a | 1,073,544 | ||||
Tetra Tech | 175,859 | 8,661,056 | |||||
TrueBlue | 135,099 | a | 3,661,183 | ||||
UniFirst | 45,753 | 7,206,097 | |||||
US Ecology | 61,855 | 2,941,205 | |||||
Viad | 62,872 | 3,649,720 | |||||
WageWorks | 124,288 | a | 7,923,360 | ||||
126,012,814 | |||||||
Consumer Durables & Apparel - 3.9% | |||||||
Callaway Golf | 302,117 | 4,359,548 | |||||
Cavco Industries | 24,094 | a | 3,780,349 | ||||
Crocs | 233,582 | a | 2,382,536 | ||||
Ethan Allen Interiors | 84,459 | 2,512,655 | |||||
Fossil Group | 135,584 | a | 1,068,402 | ||||
G-III Apparel Group | 126,499 | a | 3,205,485 | ||||
Iconix Brand Group | 163,334 | a | 267,868 | ||||
Installed Building Products | 59,086 | a | 4,118,294 | ||||
iRobot | 88,228 | a | 5,928,039 | ||||
La-Z-Boy | 153,212 | 4,129,063 | |||||
LGI Homes | 53,631 | a | 3,235,558 | ||||
M.D.C. Holdings | 146,346 | 5,420,656 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Consumer Durables & Apparel - 3.9% (continued) | |||||||
M/I Homes | 81,935 | a | 2,736,629 | ||||
Meritage Homes | 117,197 | a | 5,707,494 | ||||
Movado Group | 54,271 | 1,503,307 | |||||
Nautilus | 99,892 | a | 1,298,596 | ||||
Oxford Industries | 61,772 | 3,990,471 | |||||
Perry Ellis International | 43,708 | a | 1,017,959 | ||||
Steven Madden | 169,041 | a | 6,592,599 | ||||
Sturm Ruger & Co. | 55,045 | 2,727,480 | |||||
TopBuild | 110,481 | a | 7,290,641 | ||||
Unifi | 44,260 | a | 1,684,093 | ||||
Universal Electronics | 38,791 | a | 2,327,460 | ||||
Vera Bradley | 61,717 | a | 444,362 | ||||
Vista Outdoor | 180,113 | a | 3,766,163 | ||||
William Lyon Homes, Cl. A | 75,158 | a | 2,085,635 | ||||
Wolverine World Wide | 316,969 | 8,653,254 | |||||
92,234,596 | |||||||
Consumer Services - 3.3% | |||||||
American Public Education | 54,730 | a | 1,094,600 | ||||
Belmond, Cl. A | 235,104 | a | 3,091,618 | ||||
Biglari Holdings | 2,754 | a | 984,390 | ||||
BJ's Restaurants | 60,306 | 1,911,700 | |||||
Boyd Gaming | 253,596 | 7,412,611 | |||||
Capella Education | 36,458 | 2,969,504 | |||||
Career Education | 213,793 | a | 2,283,309 | ||||
Chuy's Holdings | 52,734 | a | 1,186,515 | ||||
Dave & Buster's Entertainment | 139,812 | a | 6,738,938 | ||||
DineEquity | 53,081 | 2,527,186 | |||||
El Pollo Loco Holdings | 66,016 | a | 759,184 | ||||
Fiesta Restaurant Group | 83,725 | a | 1,385,649 | ||||
Marcus | 55,414 | 1,504,490 | |||||
Marriott Vacations Worldwide | 75,527 | 9,940,864 | |||||
Monarch Casino & Resort | 37,681 | a | 1,680,949 | ||||
Penn National Gaming | 270,565 | a | 7,059,041 | ||||
Red Robin Gourmet Burgers | 39,786 | a | 2,721,362 | ||||
Regis | 100,042 | a | 1,493,627 | ||||
Ruby Tuesday | 150,203 | a | 355,981 | ||||
Ruth's Hospitality Group | 108,601 | 2,291,481 | |||||
Scientific Games, Cl. A | 167,184 | a | 7,957,958 | ||||
Shake Shack, Cl. A | 51,507 | a | 1,955,206 | ||||
Sonic | 134,629 | 3,419,577 | |||||
Strayer Education | 33,542 | 3,143,892 | |||||
Wingstop | 91,676 | 3,105,066 | |||||
78,974,698 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Diversified Financials - 3.9% | |||||||
Apollo Commercial Real Estate Finance | 331,328 | b | 5,987,097 | ||||
ARMOUR Residential | 130,045 | b | 3,257,627 | ||||
Capstead Mortgage | 289,004 | b | 2,549,015 | ||||
Donnelley Financial Solutions | 106,130 | a | 2,281,795 | ||||
Encore Capital Group | 72,184 | a | 3,352,947 | ||||
Enova International | 118,128 | a | 1,754,201 | ||||
Evercore, Cl. A | 127,765 | 10,233,976 | |||||
EZCORP, Cl. A | 131,952 | a | 1,352,508 | ||||
Financial Engines | 201,287 | 7,266,461 | |||||
FirstCash | 148,949 | 9,510,394 | |||||
Green Dot, Cl. A | 140,980 | a | 7,982,288 | ||||
Greenhill & Co. | 84,431 | 1,545,087 | |||||
Interactive Brokers Group, Cl. A | 212,035 | 11,454,131 | |||||
INTL. FCStone | 43,274 | a | 1,796,304 | ||||
Investment Technology Group | 104,540 | 2,453,554 | |||||
Piper Jaffray | 46,747 | 3,417,206 | |||||
PRA Group | 134,454 | a | 3,751,267 | ||||
Virtus Investment Partners | 22,184 | 2,582,218 | |||||
Waddell & Reed Financial, Cl. A | 256,399 | 4,792,097 | |||||
WisdomTree Investments | 375,805 | 4,167,677 | |||||
World Acceptance | 19,850 | a | 1,736,875 | ||||
93,224,725 | |||||||
Energy - 3.1% | |||||||
Archrock | 235,593 | 2,827,116 | |||||
Bill Barrett | 240,699 | a | 1,186,646 | ||||
Bristow Group | 99,249 | 936,911 | |||||
CARBO Ceramics | 64,206 | a | 531,626 | ||||
Carrizo Oil & Gas | 243,664 | a | 4,310,416 | ||||
Cloud Peak Energy | 234,841 | a | 998,074 | ||||
Contango Oil & Gas | 113,784 | a | 453,998 | ||||
Denbury Resources | 1,280,238 | a | 1,574,693 | ||||
Era Group | 55,725 | a | 599,601 | ||||
Exterran | 104,040 | a | 3,357,371 | ||||
Geospace Technologies | 49,202 | a | 739,014 | ||||
Green Plains | 108,388 | 1,994,339 | |||||
Gulf Island Fabrication | 45,208 | 594,485 | |||||
Helix Energy Solutions Group | 420,614 | a | 2,868,587 | ||||
Matrix Service | 78,821 | a | 1,111,376 | ||||
McDermott International | 911,033 | a | 6,031,038 | ||||
Newpark Resources | 276,401 | a | 2,418,509 | ||||
Noble | 747,487 | a | 3,109,546 | ||||
Oil States International | 167,607 | a | 3,863,341 | ||||
Par Pacific Holdings | 89,790 | a | 1,884,692 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Energy - 3.1% (continued) | |||||||
PDC Energy | 202,552 | a | 10,315,973 | ||||
Pioneer Energy Services | 257,652 | a | 489,539 | ||||
REX American Resources | 18,833 | a | 1,660,694 | ||||
SEACOR Holdings | 56,315 | a | 2,658,068 | ||||
SRC Energy | 608,790 | a | 5,807,857 | ||||
Tesco | 152,989 | a | 589,008 | ||||
TETRA Technologies | 393,005 | a | 1,116,134 | ||||
Unit | 161,808 | a | 3,029,046 | ||||
US Silica Holdings | 250,211 | 7,633,938 | |||||
74,691,636 | |||||||
Food & Staples Retailing - .3% | |||||||
Andersons | 80,789 | 3,025,548 | |||||
SpartanNash | 114,518 | 2,811,417 | |||||
SUPERVALU | 116,677 | a | 1,900,668 | ||||
7,737,633 | |||||||
Food, Beverage & Tobacco - 1.9% | |||||||
B&G Foods | 192,388 | 6,117,938 | |||||
Bob Evans Farms | 62,320 | 4,810,481 | |||||
Calavo Growers | 51,213 | 3,774,398 | |||||
Cal-Maine Foods | 82,208 | a | 3,699,360 | ||||
Coca-Cola Bottling Co Consolidated | 14,880 | 3,356,333 | |||||
Darling Ingredients | 517,354 | a | 9,441,710 | ||||
J&J Snack Foods | 47,094 | 6,271,508 | |||||
John B. Sanfilippo & Son | 28,321 | 1,666,691 | |||||
Seneca Foods, Cl. A | 18,438 | a | 663,768 | ||||
Universal | 79,098 | 4,536,270 | |||||
44,338,457 | |||||||
Health Care Equipment & Services - 8.3% | |||||||
Abaxis | 65,938 | 3,191,399 | |||||
Aceto | 93,498 | 941,525 | |||||
Almost Family | 34,707 | a | 1,535,785 | ||||
Amedisys | 89,697 | a | 4,315,323 | ||||
AMN Healthcare Services | 153,147 | a | 6,723,153 | ||||
Analogic | 39,396 | 3,163,499 | |||||
AngioDynamics | 128,315 | a | 2,177,506 | ||||
Anika Therapeutics | 45,022 | a | 2,459,552 | ||||
BioTelemetry | 94,326 | a | 2,740,170 | ||||
Cantel Medical | 111,963 | 10,981,331 | |||||
Chemed | 50,453 | 11,272,714 | |||||
Community Health Systems | 352,706 | a | 2,080,965 | ||||
Computer Programs & Systems | 37,287 | 1,124,203 | |||||
CONMED | 76,597 | 3,999,895 | |||||
CorVel | 36,185 | a | 2,171,100 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Health Care Equipment & Services - 8.3% (continued) | |||||||
Cross Country Healthcare | 115,714 | a | 1,579,496 | ||||
CryoLife | 95,016 | a | 1,848,061 | ||||
Diplomat Pharmacy | 145,776 | a | 3,068,585 | ||||
Ensign Group | 139,368 | 3,216,613 | |||||
Haemonetics | 172,004 | a | 8,180,510 | ||||
HealthEquity | 158,805 | a | 7,975,187 | ||||
HealthStream | 83,419 | a | 2,040,429 | ||||
Heska | 21,651 | a | 2,110,973 | ||||
HMS Holdings | 262,531 | a | 5,051,096 | ||||
ICU Medical | 43,607 | a | 8,333,298 | ||||
Inogen | 55,109 | a | 5,451,933 | ||||
Integer Holdings | 88,062 | a | 4,279,813 | ||||
Integra LifeSciences Holdings | 200,272 | a | 9,368,724 | ||||
Invacare | 102,914 | 1,595,167 | |||||
Kindred Healthcare | 267,452 | 1,618,085 | |||||
Lantheus Holdings | 99,391 | a | 1,977,881 | ||||
LeMaitre Vascular | 40,915 | 1,309,689 | |||||
LHC Group | 51,085 | a | 3,412,989 | ||||
Magellan Health | 75,956 | a | 6,479,047 | ||||
Meridian Bioscience | 153,753 | 2,298,607 | |||||
Merit Medical Systems | 155,955 | a | 5,934,088 | ||||
Natus Medical | 104,601 | a | 4,435,082 | ||||
Neogen | 119,744 | a | 9,603,469 | ||||
Omnicell | 119,519 | a | 5,952,046 | ||||
OraSure Technologies | 181,803 | a | 3,590,609 | ||||
Orthofix International | 57,203 | a | 3,073,517 | ||||
PharMerica | 99,353 | a | 2,911,043 | ||||
Providence Service | 34,346 | a | 1,909,638 | ||||
Quality Systems | 160,242 | a | 2,254,605 | ||||
Quorum Health | 109,598 | a | 626,901 | ||||
Select Medical Holdings | 318,191 | a | 6,093,358 | ||||
Surmodics | 47,797 | a | 1,421,961 | ||||
Tivity Health | 108,597 | a | 5,022,611 | ||||
U.S. Physical Therapy | 35,970 | 2,444,162 | |||||
Varex Imaging | 116,983 | 4,020,706 | |||||
199,368,099 | |||||||
Household & Personal Products - .6% | |||||||
Central Garden & Pet | 33,615 | a | 1,283,421 | ||||
Central Garden & Pet, Cl. A | 107,077 | a | 3,952,212 | ||||
Inter Parfums | 52,355 | 2,424,037 | |||||
Medifast | 33,448 | 2,087,155 | |||||
WD-40 | 41,123 | 4,558,485 | |||||
14,305,310 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Insurance - 3.2% | |||||||
American Equity Investment Life Holding | 284,002 | 8,380,899 | |||||
AMERISAFE | 57,453 | 3,717,209 | |||||
eHealth | 47,226 | a | 1,198,596 | ||||
Employers Holdings | 93,530 | 4,461,381 | |||||
HCI Group | 23,777 | 890,686 | |||||
Horace Mann Educators | 125,609 | 5,501,674 | |||||
Infinity Property & Casualty | 32,922 | 3,106,191 | |||||
Maiden Holdings | 232,765 | 1,920,311 | |||||
Navigators Group | 70,175 | 4,070,150 | |||||
ProAssurance | 171,027 | 9,586,063 | |||||
RLI | 122,196 | 7,220,562 | |||||
Safety Insurance Group | 48,787 | 4,010,291 | |||||
Selective Insurance Group | 181,024 | 10,789,030 | |||||
Stewart Information Services | 78,776 | 2,988,761 | |||||
Third Point Reinsurance | 216,350 | a | 3,613,045 | ||||
United Fire Group | 60,770 | 2,800,889 | |||||
United Insurance Holdings | 43,401 | 683,132 | |||||
Universal Insurance Holdings | 108,825 | 2,595,476 | |||||
77,534,346 | |||||||
Materials - 5.3% | |||||||
A. Schulman | 90,726 | 3,565,532 | |||||
AdvanSix | 100,720 | a | 4,660,315 | ||||
AK Steel Holding | 982,297 | a | 4,508,743 | ||||
American Vanguard | 98,959 | 2,226,578 | |||||
Balchem | 96,326 | 8,119,319 | |||||
Boise Cascade | 122,998 | a | 4,360,279 | ||||
Calgon Carbon | 149,142 | 3,236,381 | |||||
Century Aluminum | 155,320 | a | 2,174,480 | ||||
Clearwater Paper | 50,955 | a | 2,351,573 | ||||
Deltic Timber | 34,598 | 3,204,121 | |||||
Flotek Industries | 209,143 | a | 1,028,984 | ||||
FutureFuel | 86,661 | 1,315,514 | |||||
H.B. Fuller | 155,559 | 8,846,640 | |||||
Hawkins | 28,601 | 1,089,698 | |||||
Haynes International | 34,649 | 1,236,276 | |||||
Ingevity | 137,418 | a | 9,788,284 | ||||
Innophos Holdings | 67,095 | 3,282,958 | |||||
Innospec | 71,174 | 4,402,112 | |||||
Kaiser Aluminum | 52,638 | 5,220,637 | |||||
KapStone Paper and Packaging | 271,499 | 6,097,868 | |||||
Koppers Holdings | 65,729 | a | 3,191,143 | ||||
Kraton | 91,894 | a | 4,505,563 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Materials - 5.3% (continued) | |||||||
LSB Industries | 57,740 | a | 435,937 | ||||
Materion | 64,489 | 3,311,510 | |||||
Myers Industries | 79,751 | 1,722,622 | |||||
Neenah Paper | 50,788 | 4,408,398 | |||||
Olympic Steel | 23,456 | 442,849 | |||||
P.H. Glatfelter | 125,800 | 2,636,768 | |||||
Quaker Chemical | 40,592 | 6,304,749 | |||||
Rayonier Advanced Materials | 134,235 | 1,928,957 | |||||
Schweitzer-Mauduit International | 86,661 | 3,659,694 | |||||
Stepan | 64,904 | 5,183,233 | |||||
SunCoke Energy | 199,353 | a | 2,210,825 | ||||
TimkenSteel | 121,988 | a | 1,707,832 | ||||
Tredegar | 69,181 | 1,338,652 | |||||
US Concrete | 48,162 | a | 3,766,268 | ||||
127,471,292 | |||||||
Media - .8% | |||||||
E.W. Scripps, Cl. A | 168,997 | a | 2,930,408 | ||||
Gannet Company | 348,386 | 3,030,958 | |||||
New Media Investment Group | 167,329 | 2,672,244 | |||||
Scholastic | 90,241 | 3,333,503 | |||||
Time | 320,616 | 3,719,146 | |||||
World Wrestling Entertainment, Cl. A | 120,387 | 3,193,867 | |||||
18,880,126 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 4.2% | |||||||
Acorda Therapeutics | 147,597 | a | 3,922,390 | ||||
AMAG Pharmaceuticals | 112,169 | a | 1,761,053 | ||||
Amphastar Pharmaceuticals | 120,768 | a | 2,182,278 | ||||
ANI Pharmaceuticals | 28,548 | a | 1,658,068 | ||||
Cambrex | 105,275 | a | 4,553,144 | ||||
Cytokinetics | 158,472 | a | 2,163,143 | ||||
Depomed | 210,720 | a | 1,019,885 | ||||
Eagle Pharmaceuticals | 28,221 | a | 1,516,879 | ||||
Emergent BioSolutions | 114,382 | a | 4,688,518 | ||||
Enanta Pharmaceuticals | 38,810 | a | 1,927,693 | ||||
Impax Laboratories | 234,281 | a | 4,252,200 | ||||
Innoviva | 246,512 | a | 3,017,307 | ||||
Lannett | 92,146 | a | 1,833,705 | ||||
Ligand Pharmaceuticals | 65,506 | a | 9,521,297 | ||||
Luminex | 131,112 | 2,799,241 | |||||
Medicines | 194,998 | a | 5,604,243 | ||||
MiMedx Group | 335,987 | a | 4,260,315 | ||||
Momenta Pharmaceuticals | 239,586 | a | 3,378,163 | ||||
Myriad Genetics | 212,940 | a | 7,299,583 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 4.2% (continued) | |||||||
Nektar Therapeutics | 483,079 | a | 11,637,373 | ||||
Phibro Animal Health, Cl. A | 65,028 | 2,448,304 | |||||
Progenics Pharmaceuticals | 224,953 | a | 1,392,459 | ||||
Repligen | 115,498 | a | 4,296,526 | ||||
Spectrum Pharmaceuticals | 260,098 | a | 5,095,320 | ||||
Sucampo Pharmaceuticals, Cl. A | 79,425 | a | 794,250 | ||||
Supernus Pharmaceuticals | 159,801 | a | 6,647,722 | ||||
99,671,059 | |||||||
Real Estate - 5.7% | |||||||
Acadia Realty Trust | 246,390 | b | 6,935,878 | ||||
Agree Realty | 84,088 | b | 3,976,522 | ||||
American Assets Trust | 130,980 | b | 5,080,714 | ||||
Armada Hoffler Properties | 103,447 | b | 1,476,189 | ||||
CareTrust | 243,605 | b | 4,604,134 | ||||
CBL & Associates Properties | 532,379 | b | 4,173,851 | ||||
Cedar Realty Trust | 228,442 | b | 1,242,724 | ||||
Chatham Lodging Trust | 124,469 | b | 2,707,201 | ||||
Chesapeake Lodging Trust | 189,771 | b | 5,294,611 | ||||
DiamondRock Hospitality | 651,978 | b | 7,080,481 | ||||
EastGroup Properties | 106,502 | b | 9,648,016 | ||||
Four Corners Property Trust | 200,482 | b | 4,947,896 | ||||
Franklin Street Properties | 285,117 | b | 2,851,170 | ||||
Getty Realty | 119,663 | b | 3,399,626 | ||||
Government Properties Income Trust | 299,413 | b | 5,440,334 | ||||
Hersha Hospitality Trust | 134,565 | b | 2,380,455 | ||||
HFF, Cl. A | 111,218 | 4,878,021 | |||||
Independence Realty Trust | 206,119 | b | 2,092,108 | ||||
Kite Realty Group Trust | 257,904 | b | 4,820,226 | ||||
Lexington Realty Trust | 652,240 | b | 6,600,669 | ||||
LTC Properties | 133,812 | b | 6,223,596 | ||||
National Storage Affiliates Trust | 120,282 | b | 2,981,791 | ||||
Pennsylvania Real Estate Investment Trust | 199,185 | b | 1,936,078 | ||||
PS Business Parks | 65,287 | b | 8,639,429 | ||||
Ramco-Gershenson Properties Trust | 260,279 | b | 3,287,324 | ||||
RE/MAX Holdings, Cl. A | 56,143 | 3,733,510 | |||||
Retail Opportunity Investments | 369,778 | b | 6,648,608 | ||||
Saul Centers | 38,010 | b | 2,323,171 | ||||
Summit Hotel Properties | 338,503 | b | 5,351,732 | ||||
Universal Health Realty Income Trust | 41,827 | b | 3,062,155 | ||||
Urstadt Biddle Properties, Cl. A | 117,726 | b | 2,558,186 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Real Estate - 5.7% (continued) | |||||||
Whitestone | 102,348 | b | 1,367,369 | ||||
137,743,775 | |||||||
Retailing - 4.9% | |||||||
Abercrombie & Fitch, Cl. A | 199,022 | 2,672,865 | |||||
Asbury Automotive Group | 64,361 | a | 3,951,765 | ||||
Ascena Retail Group | 426,045 | a | 826,527 | ||||
Barnes & Noble | 197,919 | 1,385,433 | |||||
Barnes and Noble Education | 94,989 | a | 517,690 | ||||
Big 5 Sporting Goods | 47,284 | 300,253 | |||||
Buckle | 93,441 | 1,537,104 | |||||
Caleres | 140,961 | 3,852,464 | |||||
Cato, Cl. A | 83,389 | 1,072,383 | |||||
Chico's FAS | 402,571 | 3,216,542 | |||||
Core-Mark Holding | 142,636 | 4,858,182 | |||||
DSW, Cl. A | 240,453 | 4,604,675 | |||||
Express | 245,903 | a | 1,664,763 | ||||
Finish Line, Cl. A | 124,910 | 1,157,916 | |||||
Five Below | 171,951 | a | 9,500,293 | ||||
Francesca's Holdings | 131,828 | a | 852,927 | ||||
Fred's, Cl. A | 98,401 | 433,948 | |||||
FTD Cos. | 62,843 | a | 678,704 | ||||
Genesco | 55,758 | a | 1,366,071 | ||||
Group 1 Automotive | 59,733 | 4,693,222 | |||||
Guess? | 177,014 | 2,869,397 | |||||
Haverty Furniture Cos. | 71,041 | 1,694,328 | |||||
Hibbett Sports | 68,196 | a | 872,909 | ||||
J.C. Penney | 998,217 | a | 2,795,008 | ||||
Kirkland's | 50,437 | a | 590,113 | ||||
Lithia Motors, Cl. A | 76,713 | 8,682,377 | |||||
Lumber Liquidators Holdings | 89,007 | a | 2,739,635 | ||||
MarineMax | 64,258 | a | 1,191,986 | ||||
Monro | 101,876 | 5,027,581 | |||||
NutriSystem | 91,226 | 4,556,739 | |||||
Ollie's Bargain Outlet Holdings | 152,684 | a | 6,817,341 | ||||
PetMed Express | 67,073 | 2,371,701 | |||||
Rent-A-Center | 163,690 | 1,627,079 | |||||
RH | 60,145 | a | 5,408,238 | ||||
Select Comfort | 136,567 | a | 4,438,427 | ||||
Shoe Carnival | 32,190 | 604,206 | |||||
Shutterfly | 106,461 | a | 4,545,885 | ||||
Sonic Automotive, Cl. A | 80,343 | 1,594,809 | |||||
Tailored Brands | 161,188 | 2,490,355 | |||||
The Children's Place | 55,275 | 6,013,920 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Retailing - 4.9% (continued) | |||||||
Tile Shop Holdings | 104,749 | 895,604 | |||||
Vitamin Shoppe | 70,182 | a | 322,837 | ||||
Zumiez | 51,508 | a | 909,116 | ||||
118,203,318 | |||||||
Semiconductors & Semiconductor Equipment - 4.5% | |||||||
Advanced Energy Industries | 127,883 | a | 10,834,248 | ||||
Axcelis Technologies | 98,030 | a | 3,225,187 | ||||
Brooks Automation | 219,639 | 7,553,385 | |||||
Cabot Microelectronics | 84,095 | 8,129,464 | |||||
CEVA | 70,993 | a | 3,428,962 | ||||
Cohu | 83,022 | 2,141,968 | |||||
Diodes | 128,530 | a | 4,413,720 | ||||
DSP Group | 90,548 | a | 1,213,343 | ||||
Kopin | 154,486 | a | 542,246 | ||||
Kulicke & Soffa Industries | 219,069 | a | 4,961,913 | ||||
MaxLinear | 186,285 | a | 4,558,394 | ||||
MKS Instruments | 173,379 | 18,837,628 | |||||
Nanometrics | 89,464 | a | 2,529,147 | ||||
Photronics | 213,465 | a | 2,070,611 | ||||
Power Integrations | 92,445 | 7,427,956 | |||||
Rambus | 347,400 | a | 5,110,254 | ||||
Rudolph Technologies | 112,245 | a | 3,114,799 | ||||
Semtech | 205,839 | a | 8,449,691 | ||||
SolarEdge Technologies | 113,556 | a | 3,730,315 | ||||
Veeco Instruments | 151,423 | a | 2,733,185 | ||||
Xperi | 148,203 | 3,408,669 | |||||
108,415,085 | |||||||
Software & Services - 4.9% | |||||||
8x8 | 284,393 | a | 3,796,647 | ||||
Agilysys | 45,484 | a | 558,089 | ||||
Barracuda Networks | 125,731 | a | 2,930,790 | ||||
Blucora | 142,739 | a | 3,097,436 | ||||
Bottomline Technologies | 115,775 | a | 3,769,634 | ||||
CACI International, Cl. A | 77,982 | a | 11,209,912 | ||||
Cardtronics, Cl. A | 136,110 | a | 3,116,919 | ||||
CSG Systems International | 105,199 | 4,454,126 | |||||
DHI Group | 168,336 | a | 370,339 | ||||
Ebix | 68,285 | 4,639,966 | |||||
ExlService Holdings | 107,083 | a | 6,684,121 | ||||
Forrester Research | 30,506 | 1,333,112 | |||||
Gigamon | 117,542 | a | 4,525,367 | ||||
Liquidity Services | 73,782 | a | 420,557 | ||||
LivePerson | 170,901 | a | 2,401,159 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Software & Services - 4.9% (continued) | |||||||
ManTech International, Cl. A | 77,727 | 3,607,310 | |||||
MicroStrategy, Cl. A | 28,697 | a | 3,795,465 | ||||
Monotype Imaging Holdings | 105,453 | 2,430,692 | |||||
NIC | 212,461 | 3,611,837 | |||||
Perficient | 131,205 | a | 2,551,937 | ||||
Progress Software | 158,111 | 6,692,839 | |||||
Qualys | 98,039 | a | 5,186,263 | ||||
QuinStreet | 95,615 | a | 850,974 | ||||
Shutterstock | 60,420 | a | 2,355,776 | ||||
SPS Commerce | 56,973 | a | 2,800,793 | ||||
Stamps.com | 48,510 | a | 10,885,644 | ||||
Sykes Enterprises | 123,559 | a | 3,575,797 | ||||
Synchronoss Technologies | 141,911 | a | 1,607,852 | ||||
TeleTech Holdings | 49,843 | 2,075,961 | |||||
TiVo | 375,408 | 6,813,655 | |||||
VASCO Data Security International | 104,096 | a | 1,415,706 | ||||
Virtusa | 84,631 | a | 3,229,519 | ||||
XO Group | 82,868 | a | 1,654,045 | ||||
118,450,239 | |||||||
Technology Hardware & Equipment - 6.4% | |||||||
ADTRAN | 141,990 | 2,995,989 | |||||
Anixter International | 93,315 | a | 6,410,740 | ||||
Applied Optoelectronics | 60,907 | a | 2,481,351 | ||||
Badger Meter | 92,630 | 4,057,194 | |||||
Bel Fuse, Cl. B | 27,512 | 890,013 | |||||
Benchmark Electronics | 161,358 | a | 4,994,030 | ||||
Black Box | 72,254 | 223,987 | |||||
CalAmp | 106,148 | a | 2,412,744 | ||||
Comtech Telecommunications | 77,415 | 1,665,197 | |||||
Control4 | 57,981 | a | 1,707,540 | ||||
Cray | 127,489 | a | 2,632,648 | ||||
CTS | 106,816 | 2,905,395 | |||||
Daktronics | 137,357 | 1,410,656 | |||||
Digi International | 93,090 | a | 968,136 | ||||
Electro Scientific Industries | 97,545 | a | 1,745,080 | ||||
Electronics For Imaging | 145,570 | a | 4,492,290 | ||||
ePlus | 43,395 | a | 4,148,562 | ||||
Fabrinet | 115,073 | a | 4,278,414 | ||||
FARO Technologies | 43,141 | a | 2,234,704 | ||||
Harmonic | 196,985 | a | 728,845 | ||||
II-VI | 166,379 | a | 7,520,331 | ||||
Insight Enterprises | 107,236 | a | 4,830,982 | ||||
Itron | 109,960 | a | 8,593,374 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Technology Hardware & Equipment - 6.4% (continued) | |||||||
KEMET | 151,648 | a | 3,895,837 | ||||
Lumentum Holdings | 188,232 | a | 11,886,851 | ||||
Methode Electronics | 115,303 | 5,407,711 | |||||
MTS Systems | 52,593 | 2,737,466 | |||||
NETGEAR | 94,708 | a | 4,418,128 | ||||
Oclaro | 521,490 | a | 4,312,722 | ||||
OSI Systems | 50,734 | a | 4,483,871 | ||||
Park Electrochemical | 70,282 | 1,326,924 | |||||
Plexus | 104,106 | a | 6,395,232 | ||||
Rogers | 58,056 | a | 8,829,156 | ||||
Sanmina | 234,497 | a | 7,673,914 | ||||
ScanSource | 84,827 | a | 3,643,320 | ||||
Super Micro Computer | 109,500 | a | 2,179,050 | ||||
TTM Technologies | 300,099 | a | 4,735,562 | ||||
Viavi Solutions | 725,812 | a | 6,735,535 | ||||
152,989,481 | |||||||
Telecommunication Services - 1.2% | |||||||
ATN International | 33,311 | 1,808,454 | |||||
Cincinnati Bell | 138,615 | a | 2,647,547 | ||||
Cogent Communications Holdings | 132,821 | 7,159,052 | |||||
Consolidated Communications Holdings | 208,538 | 3,997,673 | |||||
General Communication, Cl. A | 80,737 | a | 3,301,336 | ||||
Iridium Communications | 255,143 | a | 3,061,716 | ||||
Lumos Networks | 71,016 | a | 1,275,447 | ||||
Spok Holdings | 60,334 | 1,022,661 | |||||
Vonage Holdings | 648,573 | a | 5,272,898 | ||||
29,546,784 | |||||||
Transportation - 2.2% | |||||||
Allegiant Travel | 37,709 | 5,143,508 | |||||
ArcBest | 78,181 | 2,548,701 | |||||
Atlas Air Worldwide Holdings | 80,190 | a | 4,919,656 | ||||
Echo Global Logistics | 80,354 | a | 1,932,514 | ||||
Forward Air | 102,826 | 5,906,325 | |||||
Hawaiian Holdings | 171,780 | 5,754,630 | |||||
Heartland Express | 168,979 | 3,604,322 | |||||
Hub Group, Cl. A | 102,307 | a | 4,429,893 | ||||
Marten Transport | 110,404 | 2,169,439 | |||||
Matson | 134,272 | 3,656,227 | |||||
Roadrunner Transportation Systems | 125,716 | a | 1,106,301 | ||||
Saia | 76,311 | a | 4,944,953 | ||||
SkyWest | 160,122 | 7,541,746 | |||||
53,658,215 |
21
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Utilities - 2.9% | |||||||
ALLETE | 164,463 | 12,885,676 | |||||
American States Water | 107,385 | 5,771,944 | |||||
Avista | 196,940 | 10,288,146 | |||||
California Water Service Group | 151,653 | 6,369,426 | |||||
El Paso Electric | 136,491 | 7,848,232 | |||||
Northwest Natural Gas | 86,333 | 5,728,195 | |||||
South Jersey Industries | 258,050 | 8,765,958 | |||||
Spire | 155,438 | 12,271,830 | |||||
69,929,407 | |||||||
Total Common Stocks (cost $1,630,078,196) | 2,390,974,139 | ||||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills | |||||||
1.05%, 12/7/17 | 650,000 | c | 649,363 | ||||
Shares | |||||||
Other Investment - .5% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 11,628,182 | d | 11,628,182 | ||||
Total Investments (cost $1,642,355,698) | 100.1% | 2,403,251,684 | |||||
Liabilities, Less Cash and Receivables | (.1%) | (1,692,516) | |||||
Net Assets | 100.0% | 2,401,559,168 |
a Non-income producing security.
b Investment in real estate investment trust.
c Held by a counterparty for open futures contracts.
d Investment in affiliated money market mutual fund.
22
Portfolio Summary (Unaudited) † | Value (%) |
Capital Goods | 11.4 |
Banks | 9.5 |
Health Care Equipment & Services | 8.3 |
Technology Hardware & Equipment | 6.4 |
Real Estate | 5.7 |
Materials | 5.3 |
Commercial & Professional Services | 5.3 |
Software & Services | 4.9 |
Retailing | 4.9 |
Semiconductors & Semiconductor Equipment | 4.5 |
Pharmaceuticals, Biotechnology & Life Sciences | 4.2 |
Diversified Financials | 3.9 |
Consumer Durables & Apparel | 3.9 |
Consumer Services | 3.3 |
Insurance | 3.2 |
Energy | 3.1 |
Utilities | 2.9 |
Transportation | 2.2 |
Automobiles & Components | 1.9 |
Food, Beverage & Tobacco | 1.9 |
Telecommunication Services | 1.2 |
Media | .8 |
Household & Personal Products | .6 |
Short-Term/Money Market Investments | .5 |
Food & Staples Retailing | .3 |
100.1 |
† Based on net assets.
See notes to financial statements.
23
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividend/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 12,260,965 | 385,567,111 | 386,199,894 | 11,628,182 | .5 | 97,297 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 139,710,183 | 368,867,788 | 508,577,971 | - | - | - |
Total | 151,971,148 | 754,434,899 | 894,777,865 | 11,628,182 | .5 | 97,297 |
See notes to financial statements.
24
STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 178 | 12/2017 | 13,368,344 | 13,374,030 | 5,686 | |
Gross Unrealized Appreciation | 5,686 |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 1,630,727,516 |
| 2,391,623,502 |
| ||
Affiliated issuers |
| 11,628,182 |
| 11,628,182 |
| |
Cash |
|
|
|
| 1,688,665 |
|
Dividends receivable |
| 875,121 |
| |||
Receivable for shares of Common Stock subscribed |
| 695,670 |
| |||
Receivable for futures variation margin—Note 4 |
| 90,845 |
| |||
Other assets |
|
|
|
| 32,103 |
|
|
|
|
|
| 2,406,634,088 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 966,472 |
|
Payable for shares of Common Stock redeemed |
| 4,103,448 |
| |||
Accrued expenses |
|
|
|
| 5,000 |
|
|
|
|
|
| 5,074,920 |
|
Net Assets ($) |
|
| 2,401,559,168 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,493,644,130 |
|
Accumulated undistributed investment income—net |
| 14,698,497 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| 132,314,869 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 760,901,672 |
| |
Net Assets ($) |
|
| 2,401,559,168 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 2,214,225,171 | 187,333,997 |
|
Shares Outstanding | 67,328,018 | 5,692,143 |
|
Net Asset Value Per Share ($) | 32.89 | 32.91 |
|
See notes to financial statements. |
26
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $4,469 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 31,581,991 |
| ||
Affiliated issuers |
|
| 97,297 |
| ||
Income from securities lending—Note 1(b) |
|
| 630,511 |
| ||
Interest |
|
| 14,836 |
| ||
Total Income |
|
| 32,324,635 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 5,797,850 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 5,450,759 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 186,828 |
| ||
Loan commitment fees—Note 2 |
|
| 51,174 |
| ||
Interest expense—Note 2 |
|
| 3,188 |
| ||
Total Expenses |
|
| 11,489,799 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (186,828) |
| ||
Net Expenses |
|
| 11,302,971 |
| ||
Investment Income—Net |
|
| 21,021,664 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 140,832,980 |
| ||||
Net realized gain (loss) on futures | 3,048,683 |
| ||||
Net Realized Gain (Loss) |
|
| 143,881,663 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 365,453,319 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 385,568 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 365,838,887 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 509,720,550 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 530,742,214 |
| |||
See notes to financial statements. |
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 | a | ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 21,021,664 |
|
|
| 19,540,895 |
| |
Net realized gain (loss) on investments |
| 143,881,663 |
|
|
| 121,725,403 |
| ||
Net unrealized appreciation (depreciation) |
| 365,838,887 |
|
|
| (33,496,827) |
| ||
Net Increase (Decrease) in Net Assets | 530,742,214 |
|
|
| 107,769,471 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (19,494,564) |
|
|
| (17,304,367) |
| |
Class I |
|
| (1,254,803) |
|
|
| - |
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (116,963,357) |
|
|
| (158,389,098) |
| |
Class I |
|
| (6,053,760) |
|
|
| - |
| |
Total Distributions |
|
| (143,766,484) |
|
|
| (175,693,465) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 588,678,557 |
|
|
| 638,104,376 |
| |
Class I |
|
| 181,799,843 |
|
|
| 2,748,571 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 136,043,927 |
|
|
| 171,570,276 |
| |
Class I |
|
| 3,948,468 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (875,095,404) |
|
|
| (505,221,828) |
| |
Class I |
|
| (15,581,746) |
|
|
| (62,828) |
| |
Increase (Decrease) in Net Assets | 19,793,645 |
|
|
| 307,138,567 |
| |||
Total Increase (Decrease) in Net Assets | 406,769,375 |
|
|
| 239,214,573 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,994,789,793 |
|
|
| 1,755,575,220 |
| |
End of Period |
|
| 2,401,559,168 |
|
|
| 1,994,789,793 |
| |
Undistributed investment income—net | 14,698,497 |
|
|
| 14,426,200 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 19,107,622 |
|
|
| 23,778,799 |
| |
Shares issued for distributions reinvested |
|
| 4,509,771 |
|
|
| 6,581,700 |
| |
Shares redeemed |
|
| (28,598,982) |
|
|
| (18,723,162) |
| |
Net Increase (Decrease) in Shares Outstanding | (4,981,589) |
|
|
| 11,637,337 |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,970,795 |
|
|
| 96,313 |
| |
Shares issued for distributions reinvested |
|
| 131,065 |
|
|
| - |
| |
Shares redeemed |
|
| (503,796) |
|
|
| (2,234) |
| |
Net Increase (Decrease) in Shares Outstanding | 5,598,064 |
|
|
| 94,079 |
| |||
a On August 31, 2016, the fund redesignated existing shares as Investors shares and commenced offering Class I shares. | |||||||||
b During the period ending October 31, 2017, 19,770 Investor shares representing $615,344 were exchanged for 19,768 Class I shares. | |||||||||
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Investor Shares | 2017 | 2016a | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 27.55 | 28.94 | 30.45 | 29.16 | 21.95 | |
Investment Operations: | ||||||
Investment income—netb | .27 | .29 | .28 | .22 | .28 | |
Net realized and unrealized | 7.02 | 1.20 | .52 | 2.34 | 7.88 | |
Total from Investment Operations | 7.29 | 1.49 | .80 | 2.56 | 8.16 | |
Distributions: | ||||||
Dividends from | (.28) | (.28) | (.24) | (.21) | (.32) | |
Dividends from net realized | (1.67) | (2.60) | (2.07) | (1.06) | (.63) | |
Total Distributions | (1.95) | (2.88) | (2.31) | (1.27) | (.95) | |
Net asset value, end of period | 32.89 | 27.55 | 28.94 | 30.45 | 29.16 | |
Total Return (%) | 27.11 | 5.73 | 2.54 | 8.91 | 38.63 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .51 | .51 | .51 | .51 | .51 | |
Ratio of net expenses | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment income | .89 | 1.06 | .94 | .75 | 1.13 | |
Portfolio Turnover Rate | 20.63 | 23.86 | 16.53 | 18.22 | 20.89 | |
Net Assets, end of period ($ x 1,000) | 2,214,225 | 1,992,196 | 1,755,575 | 1,809,956 | 1,628,365 |
a On August 31, 2016, the fund redesignated existing shares as Investor shares.
b Based on average shares outstanding.
See notes to financial statements.
29
FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | ||||
Class I Shares | 2017 | 2016a | ||
Per Share Data ($): | ||||
Net asset value, beginning of period | 27.57 | 28.69 | ||
Investment Operations: | ||||
Investment income—netb | .35 | .01 | ||
Net realized and unrealized | 7.01 | (1.13) | ||
Total from Investment Operations | 7.36 | (1.12) | ||
Dividends from | (.35) | - | ||
Dividends from net realized | (1.67) | - | ||
Total Distributions | (2.02) | - | ||
Net asset value, end of period | 32.91 | 27.57 | ||
Total Return (%) | 27.38 | (3.91)c | ||
Ratios/Supplemental Data (%): | ||||
Ratio of total expenses | .26 | .27d | ||
Ratio of net expenses | .25 | .26d | ||
Ratio of net investment income | 1.10 | .55d | ||
Portfolio Turnover Rate | 20.63 | 23.86 | ||
Net Assets, end of period ($ x 1,000) | 187,334 | 2,594 |
a From August 31, 2016 (commencement of initial offering) to October 31, 2016.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
30
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the S&P 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 fund is authorized to issue 300 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Investor shares (200 million shares authorized) and Class I (100 million shares authorized). Investor shares are sold primarily to retail investors through financial intermediaries and bear Shareholder Services Plan fees. Class I shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
31
NOTES TO FINANCIAL STATEMENTS (continued)
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).
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
32
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.
The Service is engaged 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 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 to not accurately reflect 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.
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.
33
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the inputs used as of October 31, 2017 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities— | 2,380,494,561 | - | - | 2,380,494,561 |
Equity Securities— | 10,479,578 | - | - | 10,479,578 |
Registered Investment Companies | 11,628,182 | - | - | 11,628,182 |
U.S. Treasury | - | 649,363 | - | 649,363 |
Liabilities ($) | ||||
Other Financial | ||||
Futures†† | 5,686 | - | - | 5,686 |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
(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
34
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 October 31, 2017, The Bank of New York Mellon earned $140,834 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.
(d) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 2017, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $37,117,061, undistributed capital gains $124,089,338 and unrealized appreciation $746,708,639.
35
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $25,364,545 and $17,304,367, and long-term capital gains $118,401,939 and $158,389,098, respectively.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2017 was approximately $169,300 with a related weighted average annualized interest rate of 1.88%.
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. Out of its fee, Dreyfus pays all of the expenses of the fund, except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of interested Directors (including counsel fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2017, fees reimbursed by Dreyfus amounted to $186,828.
(b) Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. 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, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these
36
services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2017, the fund was charged $5,450,759 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 $510,497 and Shareholder Services Plan fees $471,247, which are offset against an expense reimbursement currently in effect in the amount of $15,272.
(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 futures, during the period ended October 31, 2017, amounted to $473,409,235 and $566,878,867, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2017 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2017 are set forth in the Statement of Futures.
37
NOTES TO FINANCIAL STATEMENTS (continued)
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
|
| Average Market Value ($) |
Equity futures | 17,254,102 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $1,656,543,045; accordingly, accumulated net unrealized appreciation on investments was $746,708,639, consisting of $878,483,929 gross unrealized appreciation and $131,775,290 gross unrealized depreciation.
38
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Smallcap Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers and futures, of Dreyfus Smallcap Stock Index Fund (one of the series comprising Dreyfus Index Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Smallcap Stock Index Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
39
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports 92.74% of the ordinary dividends paid during the fiscal year ended October 31, 2017 as qualifying for the corporate dividends received deduction. Also certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $20,076,679 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2018 of the percentage applicable to the preparation of their 2017 income tax returns. The fund also hereby reports $.0013 per share as a short-term capital gain distribution and $.0090 per share as a long-term capital gain distribution paid on March 21, 2017 and also $.0614 per share as a short-term capital gain distribution and $1.6011 per share as a long-term capital gain distribution paid on December 28, 2016.
40
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (71)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
41
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Ehud Houminer (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
42
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
43
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
44
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
45
Dreyfus Smallcap Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbols: | Investor: DISSX Class I: DISIX |
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, D.C. (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.
© 2017 MBSC Securities Corporation |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $113,337 in 2016 and $116,170 in 2017.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $19,290 in 2016 and $31,021 in 2017. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2016 and $0 in 2017.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $19,550 in 2016 and $32,659 in 2017. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2016 and $0 in 2017.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $3,095 in 2016 and $3,393 in 2017. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2016 and $0 in 2017.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $20,423,084 in 2016 and $32,905,415 in 2017.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
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) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: December 21, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: December 21, 2017
By: /s/ James Windels
James Windels
Treasurer
Date: December 21, 2017
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)