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: | 04/30/2018 |
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FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus International Stock Index Fund
SEMIANNUAL REPORT |
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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 | |
Currency Exchange Contracts | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus International Stock Index Fund’s Class I shares produced a total return of 3.00%, and its Investor shares returned 2.92%.1 This compares with a 3.41% total return for the fund’s benchmark, the MSCI EAFE Index (the “Index”), during the same period.2
International stocks advanced during the reporting period amid improving economic prospects and better-than-expected corporate earnings in developed and emerging markets. 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. To pursue its goal, the fund generally is 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, industry weighting, and other benchmark characteristics. Under these circumstances, the fund maintains approximately the same weighting for each stock as the Index does.
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.
Positive Economic Trends in the Face of Rising Volatility
International equity markets gained ground over the first half of the reporting period, enabling the Index to reach new record highs in January 2018. The market rally was broadly supported by improving economic conditions and rising corporate earnings. Asian equity markets led the advance at the time as Japanese equities responded positively to upward revisions of domestic growth forecasts and better-than-expected corporate earnings. Global growth trends enabled U.K. equities to climb despite a relatively lackluster local economy and concerns regarding the country’s exit from the European Union. Eurozone markets trailed global market averages despite improving regional economic fundamentals. While they are not represented in the Index, U.S. stocks also posted gains when tax reform legislation reduced corporate tax rates.
February 2018 and March 2018 saw heightened market volatility and declining stock prices sparked by rising interest rates, perceived U.S. inflationary pressures, and uncertainties surrounding the possibility of more protectionist U.S. trade policies. However, some of these concerns eased in April 2018, and higher crude oil and industrial metal prices benefited energy stocks toward the reporting period’s end.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Consumer Discretionary Stocks Led the Market’s Rise
For the reporting period overall, consumer discretionary stocks posted the highest returns of the Index’s various market segments, supported by robust demand for textiles, apparel, and luxury goods from a growing Chinese middle class of consumers. At the same time, sales of automobiles made in Japan and Germany increased as Asian economies rebounded. The energy sector surged later in the reporting period when rising crude oil prices sparked increased production among large energy companies that increased capital investments and raised their stock dividends.
The Index’s largest market segment, the financials sector, also posted above-average returns, largely due to strength in insurance and capital markets companies. An expanding middle class in the emerging markets is buying life insurance policies, many for the first time, supporting sales volumes for global insurers. Meanwhile, relaxed ownership rules governing Chinese financial institutions attracted capital from developed-market firms eager to invest in joint ventures. Security exchanges further benefited from higher trading volumes amid heightened market volatility.
Laggards for the reporting period included the telecommunication services sector, where revenues fell due to the slow pace of infrastructure upgrades and intensifying competitive pressures from large, global companies. SoftBank Group Corp. was the largest detractor within wireless telecommunication services industry, falling after news that Sprint had walked away from months of merger talks. The information technology sector lagged market averages after more stringent regulations in Europe slowed Internet-based business development, and sales of personal computers have slowed globally as consumers switch to lower-margin devices. From a country perspective, a housing market crash in Sweden negatively affected consumer-oriented companies.
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 remain intact, supported by stimulative monetary and fiscal policies that have helped boost corporate earnings. However, the market’s currently constructive conditions could be undermined by unexpected political and economic developments as geopolitical tensions potentially escalate and central banks move gradually away from the aggressively accommodative policies of the past decade. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2018
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended April 30, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† |
| $3.02 |
| $1.76 | ||
Ending value (after expenses) |
| $1,029.20 |
| $1,030.00 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† |
| $3.01 |
| $1.76 | ||
Ending value (after expenses) |
| $1,021.82 |
| $1,023.06 |
† Expenses are equal to the fund’s annualized expense ratio of .60% for Investor Shares and .35% for Class I, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% | |||||||
Australia - 6.4% | |||||||
AGL Energy | 25,514 | 416,055 | |||||
Alumina | 90,532 | 178,407 | |||||
Amcor | 46,575 | 480,639 | |||||
AMP | 113,142 | 342,554 | |||||
APA Group | 45,190 | 283,299 | |||||
Aristocrat Leisure | 20,987 | 421,422 | |||||
ASX | 7,433 | 326,951 | |||||
Aurizon Holdings | 85,479 | 288,569 | |||||
AusNet Services | 72,030 | 92,777 | |||||
Australia & New Zealand Banking Group | 118,286 | 2,381,866 | |||||
Bank of Queensland | 16,881 | 127,235 | |||||
Bendigo & Adelaide Bank | 17,540 | 139,528 | |||||
BHP Billiton | 129,240 | 3,008,450 | |||||
BlueScope Steel | 22,644 | 278,383 | |||||
Boral | 45,387 | 233,402 | |||||
Brambles | 65,037 | 482,012 | |||||
Caltex Australia | 9,932 | 231,171 | |||||
Challenger | 23,612 | 190,637 | |||||
CIMIC Group | 4,044 | 137,142 | |||||
Coca-Cola Amatil | 22,091 | 154,061 | |||||
Cochlear | 2,328 | 338,820 | |||||
Commonwealth Bank of Australia | 70,480 | 3,797,794 | |||||
Computershare | 17,644 | 224,482 | |||||
Crown Resorts | 16,014 | 155,466 | |||||
CSL | 18,218 | 2,326,248 | |||||
Dexus | 40,447 | 288,225 | |||||
Domino's Pizza Enterprises | 2,506 | 79,381 | |||||
Flight Centre Travel Group | 2,140 | 89,806 | |||||
Fortescue Metals Group | 62,149 | 212,543 | |||||
Goodman Group | 71,675 | 488,385 | |||||
GPT Group | 73,335 | 266,561 | |||||
Harvey Norman Holdings | 21,349 | 56,355 | |||||
Healthscope | 74,351 | 135,743 | |||||
Incitec Pivot | 69,755 | 198,434 | |||||
Insurance Australia Group | 92,302 | 547,115 | |||||
James Hardie Industries-CDI | 17,135 | 303,538 | |||||
LendLease Group | 21,737 | 291,676 | |||||
Macquarie Group | 12,779 | 1,037,943 | |||||
Medibank Private | 104,892 | 230,199 | |||||
Mirvac Group | 150,475 | 253,111 | |||||
National Australia Bank | 108,154 | 2,349,127 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Australia - 6.4% (continued) | |||||||
Newcrest Mining | 30,798 | 488,591 | |||||
Oil Search | 52,546 | 308,900 | |||||
Orica | 15,372 | 229,414 | |||||
Origin Energy | 70,777 | a | 516,276 | ||||
QBE Insurance Group | 55,136 | 412,262 | |||||
Ramsay Health Care | 5,670 | 275,143 | |||||
REA Group | 1,913 | 116,098 | |||||
Rio Tinto | 16,416 | 983,047 | |||||
Santos | 74,951 | a | 344,624 | ||||
Scentre Group | 211,914 | 641,359 | |||||
SEEK | 13,743 | 200,089 | |||||
Sonic Healthcare | 15,230 | 270,305 | |||||
South32 | 207,032 | 576,669 | |||||
Stockland | 100,018 | 311,209 | |||||
Suncorp Group | 51,741 | 544,671 | |||||
Sydney Airport | 46,218 | 247,149 | |||||
Tabcorp Holdings | 79,303 | 260,385 | |||||
Telstra | 161,032 | 383,913 | |||||
TPG Telecom | 14,383 | 60,153 | |||||
Transurban Group | 90,169 | 785,524 | |||||
Treasury Wine Estates | 30,068 | 428,724 | |||||
Vicinity Centres | 137,818 | 252,713 | |||||
Wesfarmers | 45,772 | 1,503,180 | |||||
Westfield | 80,529 | 556,380 | |||||
Westpac Banking | 136,587 | 2,933,964 | |||||
Woodside Petroleum | 38,011 | 918,592 | |||||
Woolworths | 52,784 | 1,104,457 | |||||
39,519,303 | |||||||
Austria - .2% | |||||||
ANDRITZ | 2,705 | 145,369 | |||||
Erste Group Bank | 11,811 | a | 577,016 | ||||
OMV | 6,042 | 374,163 | |||||
Raiffeisen Bank International | 5,860 | a | 197,031 | ||||
voestalpine | 4,531 | 238,356 | |||||
1,531,935 | |||||||
Belgium - 1.0% | |||||||
Ageas | 7,318 | 391,289 | |||||
Anheuser-Busch InBev | 30,654 | 3,035,030 | |||||
Colruyt | 2,524 | 141,930 | |||||
Groupe Bruxelles Lambert | 3,239 | 369,836 | |||||
KBC Group | 10,014 | 872,610 | |||||
Proximus | 6,406 | 195,512 | |||||
Solvay | 2,982 | 414,473 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Belgium - 1.0% (continued) | |||||||
Telenet Group Holding | 2,038 | a | 118,969 | ||||
UCB | 4,880 | 367,748 | |||||
Umicore | 8,575 | 476,886 | |||||
6,384,283 | |||||||
China - .0% | |||||||
Minth Group | 28,000 | 133,051 | |||||
Yangzijiang Shipbuilding Holdings | 91,000 | 79,456 | |||||
212,507 | |||||||
Denmark - 1.7% | |||||||
AP Moller - Maersk, Cl. A | 154 | 235,535 | |||||
AP Moller - Maersk, Cl. B | 253 | 405,121 | |||||
Carlsberg, Cl. B | 4,315 | 482,438 | |||||
Chr. Hansen Holding | 3,805 | 344,945 | |||||
Coloplast, Cl. B | 4,583 | 388,353 | |||||
Danske Bank | 30,312 | 1,056,054 | |||||
DSV | 7,672 | 607,274 | |||||
Genmab | 2,302 | a | 465,504 | ||||
H Lundbeck | 2,953 | 171,648 | |||||
ISS | 6,826 | 238,332 | |||||
Novo Nordisk, Cl. B | 74,987 | 3,520,701 | |||||
Novozymes, Cl. B | 9,247 | 435,948 | |||||
Orsted | 7,631 | b | 501,948 | ||||
Pandora | 4,220 | 468,946 | |||||
TDC | 33,595 | a | 273,240 | ||||
Tryg | 5,238 | 124,083 | |||||
Vestas Wind Systems | 8,780 | 567,196 | |||||
William Demant Holding | 4,877 | a | 189,780 | ||||
10,477,046 | |||||||
Finland - 1.0% | |||||||
Elisa | 5,389 | 238,571 | |||||
Fortum | 17,411 | 400,910 | |||||
Kone, Cl. B | 13,327 | 661,796 | |||||
Metso | 4,141 | 147,431 | |||||
Neste | 5,198 | 437,050 | |||||
Nokia | 235,823 | 1,422,704 | |||||
Nokian Renkaat | 4,816 | 192,634 | |||||
Orion, Cl. B | 4,244 | 128,796 | |||||
Sampo, Cl. A | 17,872 | 961,341 | |||||
Stora Enso, Cl. R | 22,540 | 445,246 | |||||
UPM-Kymmene | 21,468 | 765,793 | |||||
Wartsila | 17,967 | 380,877 | |||||
6,183,149 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
France - 10.7% | |||||||
Accor | 7,311 | 412,925 | |||||
Aeroports de Paris | 1,220 | 267,829 | |||||
Air Liquide | 17,252 | 2,241,441 | |||||
Airbus | 23,384 | 2,739,390 | |||||
Alstom | 5,912 | 268,010 | |||||
Altice, Cl. A | 22,661 | a | 216,258 | ||||
Amundi | 2,256 | b | 191,287 | ||||
Arkema | 2,666 | 348,447 | |||||
Atos | 3,854 | 519,264 | |||||
AXA | 78,196 | 2,235,302 | |||||
BioMerieux | 1,522 | 120,209 | |||||
BNP Paribas | 45,195 | 3,483,342 | |||||
Bollore | 33,102 | 164,164 | |||||
Bollore | 188 | a | 926 | ||||
Bouygues | 8,649 | 439,180 | |||||
Bureau Veritas | 10,332 | 269,126 | |||||
Capgemini | 6,406 | 879,183 | |||||
Carrefour | 22,631 | 463,104 | |||||
Casino Guichard Perrachon | 2,041 | 105,703 | |||||
Cie de Saint-Gobain | 19,977 | 1,043,283 | |||||
Cie Generale des Etablissements Michelin | 6,850 | 961,291 | |||||
CNP Assurances | 6,982 | 178,500 | |||||
Credit Agricole | 44,939 | 738,327 | |||||
Danone | 24,327 | 1,961,224 | |||||
Dassault Aviation | 93 | 185,457 | |||||
Dassault Systemes | 5,236 | 676,187 | |||||
Edenred | 8,683 | 298,090 | |||||
Eiffage | 2,922 | 347,043 | |||||
Electricite de France | 23,787 | 332,579 | |||||
Engie | 72,409 | 1,269,009 | |||||
Essilor International | 8,308 | 1,130,656 | |||||
Eurazeo | 1,839 | 161,040 | |||||
Eurofins Scientific | 476 | 255,965 | |||||
Eutelsat Communications | 6,845 | 148,006 | |||||
Faurecia | 2,859 | 233,211 | |||||
Fonciere Des Regions | 1,331 | 148,711 | |||||
Gecina | 2,014 | 348,062 | |||||
Groupe Eurotunnel | 19,532 | 275,562 | |||||
Hermes International | 1,285 | 830,258 | |||||
ICADE | 1,225 | 121,457 | |||||
Iliad | 1,015 | 202,980 | |||||
Imerys | 1,513 | 137,670 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
France - 10.7% (continued) | |||||||
Ingenico Group | 2,382 | 207,678 | |||||
Ipsen | 1,515 | 245,286 | |||||
JCDecaux | 2,684 | 95,749 | |||||
Kering | 3,057 | 1,763,458 | |||||
Klepierre | 8,463 | 345,885 | |||||
Lagardere | 4,384 | 125,241 | |||||
Legrand | 10,721 | 831,415 | |||||
L'Oreal | 10,147 | 2,430,149 | |||||
LVMH Moet Hennessy Louis Vuitton | 11,213 | 3,902,992 | |||||
Natixis | 36,653 | 299,708 | |||||
Orange | 80,547 | 1,464,133 | |||||
Pernod Ricard | 8,572 | 1,421,773 | |||||
Peugeot | 23,707 | 583,379 | |||||
Publicis Groupe | 8,447 | 631,324 | |||||
Remy Cointreau | 1,005 | 138,200 | |||||
Renault | 7,790 | 842,841 | |||||
Rexel | 12,502 | 193,356 | |||||
Safran | 13,467 | 1,579,418 | |||||
Sanofi | 45,720 | 3,608,787 | |||||
Schneider Electric | 22,841 | a | 2,063,221 | ||||
SCOR | 6,634 | 269,217 | |||||
SEB | 924 | 176,944 | |||||
Societe BIC | 1,212 | 123,490 | |||||
Societe Generale | 30,948 | 1,695,175 | |||||
Sodexo | 3,577 | 353,487 | |||||
Suez | 14,618 | 210,770 | |||||
Teleperformance | 2,368 | 379,503 | |||||
Thales | 4,298 | 543,750 | |||||
Total | 96,227 | 6,042,701 | |||||
Ubisoft Entertainment | 3,098 | a | 295,260 | ||||
Unibail-Rodamco | 3,995 | 956,400 | |||||
Valeo | 9,750 | 648,815 | |||||
Veolia Environnement | 19,068 | 451,495 | |||||
Vinci | 20,440 | 2,041,001 | |||||
Vivendi | 41,372 | 1,091,240 | |||||
Wendel | 1,070 | 161,125 | |||||
65,564,024 | |||||||
Germany - 8.9% | |||||||
1&1 Drillisch | 1,948 | 141,355 | |||||
adidas | 7,589 | 1,866,005 | |||||
Allianz | 17,935 | 4,242,815 | |||||
Axel Springer | 1,985 | 162,343 | |||||
BASF | 36,935 | 3,837,225 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Germany - 8.9% (continued) | |||||||
Bayer | 33,250 | 3,980,339 | |||||
Bayerische Motoren Werke | 13,364 | 1,491,547 | |||||
Beiersdorf | 4,077 | 461,980 | |||||
Brenntag | 5,957 | 340,889 | |||||
Commerzbank | 41,905 | a | 540,420 | ||||
Continental | 4,407 | 1,177,212 | |||||
Covestro | 6,607 | b | 600,443 | ||||
Daimler | 38,742 | 3,054,029 | |||||
Deutsche Bank | 82,073 | 1,124,320 | |||||
Deutsche Boerse | 7,629 | 1,026,459 | |||||
Deutsche Lufthansa | 9,210 | 268,320 | |||||
Deutsche Post | 39,147 | 1,704,681 | |||||
Deutsche Telekom | 134,245 | 2,347,246 | |||||
Deutsche Wohnen | 13,936 | 658,092 | |||||
E.ON | 88,424 | 966,966 | |||||
Evonik Industries | 6,248 | 222,072 | |||||
Fraport Frankfurt Airport Services Worldwide | 1,702 | 164,798 | |||||
Fresenius & Co. | 16,493 | 1,259,168 | |||||
Fresenius Medical Care & Co. | 8,610 | 876,781 | |||||
GEA Group | 7,022 | 274,387 | |||||
Hannover Rueck | 2,332 | 327,791 | |||||
HeidelbergCement | 5,854 | 574,002 | |||||
Henkel & Co. | 4,244 | 506,275 | |||||
HOCHTIEF | 849 | 154,945 | |||||
HUGO BOSS | 2,589 | 242,775 | |||||
Infineon Technologies | 45,536 | 1,166,243 | |||||
Innogy | 5,409 | b | 238,415 | ||||
K+S | 7,199 | 211,866 | |||||
KION Group | 2,752 | 229,626 | |||||
LANXESS | 3,733 | 276,439 | |||||
Linde | 7,576 | a | 1,683,480 | ||||
MAN | 1,351 | 155,760 | |||||
Merck | 5,192 | 508,397 | |||||
METRO | 7,713 | 111,839 | |||||
MTU Aero Engines | 2,124 | 365,483 | |||||
Muenchener Rueckversicherungs | 6,162 | 1,411,947 | |||||
OSRAM Licht | 3,983 | 228,996 | |||||
ProSiebenSat.1 Media | 9,404 | 341,622 | |||||
RWE | 21,113 | 506,161 | |||||
SAP | 39,512 | 4,403,938 | |||||
Siemens | 30,761 | 3,913,096 | |||||
Siemens Healthineers | 6,239 | b | 243,242 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Germany - 8.9% (continued) | |||||||
Symrise | 4,757 | 384,215 | |||||
Telefonica Deutschland Holding | 30,497 | 145,715 | |||||
thyssenkrupp | 17,712 | 461,898 | |||||
TUI | 18,059 | 407,287 | |||||
Uniper | 7,584 | 234,669 | |||||
United Internet | 4,779 | 309,146 | |||||
Volkswagen | 1,250 | 255,672 | |||||
Vonovia | 19,476 | 976,733 | |||||
Wirecard | 4,776 | 649,325 | |||||
Zalando | 4,413 | a,b | 227,014 | ||||
54,643,904 | |||||||
Hong Kong - 3.4% | |||||||
AIA Group | 485,400 | 4,333,734 | |||||
ASM Pacific Technology | 12,900 | 176,241 | |||||
Bank of East Asia | 49,550 | 217,346 | |||||
BOC Hong Kong Holdings | 148,500 | 767,016 | |||||
CK Asset Holdings | 103,475 | 892,026 | |||||
CK Hutchison Holdings | 106,975 | 1,263,440 | |||||
CK Infrastructure Holdings | 28,000 | 220,895 | |||||
CLP Holdings | 66,788 | 691,459 | |||||
First Pacific | 84,250 | 43,260 | |||||
Galaxy Entertainment Group | 94,277 | 824,909 | |||||
Hang Lung Group | 36,000 | 108,818 | |||||
Hang Lung Properties | 84,000 | 198,446 | |||||
Hang Seng Bank | 30,700 | 776,586 | |||||
Henderson Land Development | 46,198 | 292,755 | |||||
HK Electric Investments | 106,500 | b | 98,979 | ||||
HKT Trust & HKT | 146,660 | 192,884 | |||||
Hong Kong & China Gas | 337,240 | 704,456 | |||||
Hong Kong Exchanges & Clearing | 47,500 | 1,539,664 | |||||
Hongkong Land Holdings | 45,300 | 328,634 | |||||
Hysan Development | 27,000 | 157,223 | |||||
Jardine Matheson Holdings | 8,846 | 536,941 | |||||
Jardine Strategic Holdings | 8,500 | 321,628 | |||||
Kerry Properties | 28,500 | 136,246 | |||||
Kingston Financial Group | 150,000 | 76,033 | |||||
Li & Fung | 251,200 | 126,435 | |||||
Link REIT | 89,500 | 790,752 | |||||
Melco Resorts & Entertainment, ADR | 9,830 | 306,794 | |||||
MTR | 59,500 | 334,163 | |||||
New World Development | 243,358 | 357,237 | |||||
NWS Holdings | 64,918 | 127,806 | |||||
PCCW | 167,000 | 103,367 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Hong Kong - 3.4% (continued) | |||||||
Power Assets Holdings | 56,000 | 415,786 | |||||
Shangri-La Asia | 49,000 | 95,592 | |||||
Sino Land | 127,730 | 220,691 | |||||
SJM Holdings | 78,530 | 78,596 | |||||
Sun Hung Kai Properties | 58,699 | 942,312 | |||||
Swire Pacific, Cl. A | 21,000 | 207,779 | |||||
Swire Properties | 48,800 | 173,181 | |||||
Techtronic Industries | 53,865 | 315,021 | |||||
WH Group | 362,000 | b | 375,266 | ||||
Wharf Holdings | 50,311 | 167,518 | |||||
Wharf Real Estate Investment Co. | 50,311 | 377,679 | |||||
Wheelock & Co. | 34,000 | 252,456 | |||||
Yue Yuen Industrial Holdings | 26,800 | 76,065 | |||||
20,744,115 | |||||||
Ireland - .5% | |||||||
AIB Group | 30,313 | 180,530 | |||||
Bank of Ireland Group | 36,520 | 327,430 | |||||
CRH | 33,919 | 1,203,784 | |||||
DCC | 3,616 | 347,828 | |||||
Kerry Group, Cl. A | 6,378 | 648,246 | |||||
Paddy Power Betfair | 3,085 | 305,014 | |||||
Ryanair Holdings | 3,900 | a | 72,683 | ||||
3,085,515 | |||||||
Israel - .4% | |||||||
Azrieli Group | 1,603 | 73,364 | |||||
Bank Hapoalim | 41,644 | 284,286 | |||||
Bank Leumi Le-Israel | 59,125 | 348,516 | |||||
Bezeq The Israeli Telecommunication Corporation | 79,342 | 99,952 | |||||
Check Point Software Technologies | 5,181 | a | 500,018 | ||||
Elbit Systems | 962 | 110,820 | |||||
Frutarom Industries | 1,569 | 149,805 | |||||
Israel Chemicals | 26,855 | 120,126 | |||||
Israel Discount Bank, Cl. A | 1 | a | 2 | ||||
Mizrahi Tefahot Bank | 6,222 | 113,731 | |||||
NICE | 2,452 | a | 232,969 | ||||
Teva Pharmaceutical Industries, ADR | 36,876 | 663,030 | |||||
2,696,619 | |||||||
Italy - 2.6% | |||||||
Assicurazioni Generali | 49,402 | 996,109 | |||||
Atlantia | 18,448 | 610,023 | |||||
CNH Industrial | 40,179 | 494,661 | |||||
Davide Campari-Milano | 21,349 | 160,067 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Italy - 2.6% (continued) | |||||||
Enel | 327,722 | 2,075,772 | |||||
Eni | 102,527 | 2,000,793 | |||||
Ferrari | 4,926 | 605,205 | |||||
Fiat Chrysler Automobiles | 42,806 | a | 953,935 | ||||
Intesa Sanpaolo | 543,209 | 2,065,164 | |||||
Intesa Sanpaolo-RSP | 38,108 | 151,049 | |||||
Leonardo | 17,321 | 199,950 | |||||
Luxottica Group | 6,952 | 433,751 | |||||
Mediobanca | 25,563 | 310,121 | |||||
Poste Italiane | 21,336 | b | 208,385 | ||||
Prysmian | 8,403 | 246,724 | |||||
Recordati | 4,207 | 150,226 | |||||
Snam | 93,215 | 446,988 | |||||
STMicroelectronics | 26,051 | 567,234 | |||||
Telecom Italia | 442,544 | a | 435,714 | ||||
Telecom Italia-RSP | 232,484 | 199,492 | |||||
Tenaris | 18,307 | 342,651 | |||||
Terna Rete Elettrica Nazionale | 58,277 | 349,215 | |||||
UniCredit | 79,816 | 1,727,072 | |||||
UnipolSai | 34,816 | 93,599 | |||||
15,823,900 | |||||||
Japan - 23.8% | |||||||
ABC-Mart | 1,500 | 98,796 | |||||
Acom | 15,500 | 70,250 | |||||
Aeon | 24,000 | 479,147 | |||||
AEON Financial Service | 3,960 | 92,857 | |||||
AEON Mall | 4,480 | 90,247 | |||||
Air Water | 5,500 | 106,232 | |||||
Aisin Seiki | 7,300 | 396,217 | |||||
Ajinomoto | 21,900 | 401,112 | |||||
Alfresa Holdings | 7,600 | 167,822 | |||||
Alps Electric | 7,700 | 170,795 | |||||
Amada Holdings | 13,900 | 167,224 | |||||
ANA Holdings | 4,300 | 170,438 | |||||
Aozora Bank | 4,795 | 193,935 | |||||
Asahi Glass | 7,760 | 321,888 | |||||
Asahi Group Holdings | 15,500 | 784,292 | |||||
Asahi Kasei | 49,600 | 683,067 | |||||
Asics | 5,900 | 111,169 | |||||
Astellas Pharma | 83,595 | 1,225,092 | |||||
Bandai Namco Holdings | 8,250 | 279,798 | |||||
Bank of Kyoto | 2,400 | 144,270 | |||||
Benesse Holdings | 3,200 | 116,681 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Bridgestone | 26,300 | 1,097,279 | |||||
Brother Industries | 9,400 | 201,734 | |||||
CALBEE | 3,500 | 118,045 | |||||
Canon | 43,117 | 1,493,926 | |||||
Casio Computer | 7,200 | 107,263 | |||||
Central Japan Railway | 5,800 | 1,164,893 | |||||
Chiba Bank | 29,000 | 233,691 | |||||
Chubu Electric Power | 26,700 | 418,298 | |||||
Chugai Pharmaceutical | 9,128 | 482,117 | |||||
Chugoku Electric Power | 10,400 | 130,020 | |||||
Coca-Cola Bottlers Japan Holdings | 4,900 | 210,791 | |||||
Concordia Financial Group | 51,000 | 296,825 | |||||
Credit Saison | 6,200 | 111,193 | |||||
CYBERDYNE | 4,200 | a | 53,653 | ||||
Dai Nippon Printing | 10,900 | 234,366 | |||||
Daicel | 11,800 | 136,500 | |||||
Daifuku Co. | 3,700 | 198,633 | |||||
Dai-ichi Life Holdings | 43,100 | 854,426 | |||||
Daiichi Sankyo | 22,783 | 779,536 | |||||
Daikin Industries | 9,900 | 1,158,162 | |||||
Daito Trust Construction | 2,700 | 454,365 | |||||
Daiwa House Industry | 22,700 | 831,772 | |||||
Daiwa House REIT Investment | 63 | 151,118 | |||||
Daiwa Securities Group | 64,000 | 393,418 | |||||
DeNA | 4,300 | 81,913 | |||||
Denso | 19,100 | 1,004,779 | |||||
Dentsu | 8,800 | 415,781 | |||||
Disco | 1,200 | 211,251 | |||||
Don Quijote Holdings | 4,500 | 242,293 | |||||
East Japan Railway | 13,100 | 1,256,881 | |||||
Eisai | 10,900 | 729,103 | |||||
Electric Power Development | 6,080 | 164,915 | |||||
FamilyMart UNY Holdings | 3,417 | 331,963 | |||||
FANUC | 7,729 | 1,663,266 | |||||
Fast Retailing | 2,158 | 950,270 | |||||
Fuji Electric | 23,000 | 164,675 | |||||
FUJIFILM Holdings | 16,200 | 652,040 | |||||
Fujitsu | 79,800 | 483,647 | |||||
Fukuoka Financial Group | 33,000 | 176,705 | |||||
Hachijuni Bank | 16,500 | 87,304 | |||||
Hakuhodo DY Holdings | 9,900 | 138,554 | |||||
Hamamatsu Photonics | 5,500 | 212,166 | |||||
Hankyu Hanshin Holdings | 9,800 | 386,551 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Hikari Tsushin | 900 | 145,789 | |||||
Hino Motors | 9,600 | 117,248 | |||||
Hirose Electric | 1,433 | 201,956 | |||||
Hisamitsu Pharmaceutical | 2,400 | 187,067 | |||||
Hitachi | 194,900 | 1,424,202 | |||||
Hitachi Chemical | 4,000 | 87,927 | |||||
Hitachi Construction Machinery | 4,000 | 145,200 | |||||
Hitachi High-Technologies | 2,700 | 125,784 | |||||
Hitachi Metals | 7,900 | 90,677 | |||||
Honda Motor | 69,359 | 2,382,223 | |||||
Hoshizaki | 2,200 | 204,212 | |||||
Hoya | 15,700 | 839,371 | |||||
Hulic | 11,200 | 120,473 | |||||
Idemitsu Kosan | 5,400 | 211,352 | |||||
IHI | 6,000 | 196,795 | |||||
Iida Group Holdings | 5,800 | 113,494 | |||||
INPEX | 38,700 | 495,656 | |||||
Isetan Mitsukoshi Holdings | 12,620 | 140,468 | |||||
Isuzu Motors | 21,200 | 324,245 | |||||
ITOCHU | 59,900 | 1,198,922 | |||||
J Front Retailing | 9,200 | 149,208 | |||||
Japan Airlines | 4,400 | 173,355 | |||||
Japan Airport Terminal | 1,800 | 73,757 | |||||
Japan Exchange Group | 20,800 | 385,847 | |||||
Japan Post Bank | 15,500 | 210,569 | |||||
Japan Post Holdings | 64,000 | 777,647 | |||||
Japan Prime Realty Investment | 35 | 126,979 | |||||
Japan Real Estate Investment | 55 | 285,652 | |||||
Japan Retail Fund Investment | 100 | 187,464 | |||||
Japan Tobacco | 43,600 | 1,170,765 | |||||
JFE Holdings | 21,060 | 433,826 | |||||
JGC | 8,700 | 212,851 | |||||
JSR | 8,100 | 152,661 | |||||
JTEKT | 8,200 | 132,929 | |||||
JXTG Holdings | 125,426 | 818,416 | |||||
Kajima | 36,800 | 354,768 | |||||
Kakaku.com | 5,100 | 97,245 | |||||
Kamigumi | 4,700 | 105,911 | |||||
Kaneka | 12,000 | 118,231 | |||||
Kansai Electric Power | 28,099 | 392,280 | |||||
Kansai Paint | 7,800 | 175,370 | |||||
Kao | 19,800 | 1,421,399 | |||||
Kawasaki Heavy Industries | 5,900 | 197,822 | �� |
16
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
KDDI | 73,063 | 1,961,419 | |||||
Keihan Holdings | 4,200 | 135,771 | |||||
Keikyu | 10,000 | 183,489 | |||||
Keio | 4,400 | 201,492 | |||||
Keisei Electric Railway | 5,100 | 166,393 | |||||
Keyence | 3,870 | 2,362,435 | |||||
Kikkoman | 6,000 | 260,149 | |||||
Kintetsu Group Holdings | 7,335 | 298,777 | |||||
Kirin Holdings | 35,200 | 986,680 | |||||
Kobe Steel | 13,300 | 136,669 | |||||
Koito Manufacturing | 4,500 | 302,158 | |||||
Komatsu | 37,000 | 1,264,000 | |||||
Konami Holdings | 3,900 | 191,713 | |||||
Konica Minolta | 20,200 | 173,195 | |||||
Kose | 1,300 | 240,279 | |||||
Kubota | 42,400 | 716,366 | |||||
Kuraray | 14,500 | 241,364 | |||||
Kurita Water Industries | 3,600 | 116,770 | |||||
Kyocera | 12,800 | 818,201 | |||||
Kyowa Hakko Kirin | 10,705 | 232,233 | |||||
Kyushu Electric Power | 16,000 | 197,778 | |||||
Kyushu Financial Group | 12,400 | 60,969 | |||||
Kyushu Railway | 6,700 | 214,359 | |||||
Lawson | 2,100 | 138,819 | |||||
LINE | 1,800 | a | 65,086 | ||||
Lion | 9,400 | 201,980 | |||||
LIXIL Group | 10,824 | 242,676 | |||||
M3 | 8,100 | 304,972 | |||||
Mabuchi Motor | 1,900 | 95,231 | |||||
Makita | 8,800 | 394,547 | |||||
Marubeni | 66,400 | 500,077 | |||||
Marui Group | 7,600 | 157,661 | |||||
Maruichi Steel Tube | 2,000 | 68,283 | |||||
Mazda Motor | 21,800 | 303,153 | |||||
McDonald's Holdings Co. Japan | 2,400 | 112,254 | |||||
Mebuki Financial Group | 41,230 | 160,124 | |||||
Medipal Holdings | 7,300 | 156,856 | |||||
MEIJI Holdings | 4,942 | 396,700 | |||||
MINEBEA MITSUMI | 15,900 | 318,970 | |||||
MISUMI Group | 11,638 | 322,080 | |||||
Mitsubishi | 60,998 | 1,687,185 | |||||
Mitsubishi Chemical Holdings | 58,380 | 554,352 | |||||
Mitsubishi Electric | 78,100 | 1,199,141 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Mitsubishi Estate | 50,000 | 915,076 | |||||
Mitsubishi Gas Chemical | 7,600 | 178,657 | |||||
Mitsubishi Heavy Industries | 12,470 | 492,974 | |||||
Mitsubishi Materials | 4,600 | 140,370 | |||||
Mitsubishi Motors | 28,600 | 212,963 | |||||
Mitsubishi Tanabe Pharma | 9,500 | 180,488 | |||||
Mitsubishi UFJ Financial Group | 479,790 | 3,214,391 | |||||
Mitsubishi UFJ Lease & Finance | 18,700 | 119,084 | |||||
Mitsui & Co. | 68,300 | 1,233,626 | |||||
Mitsui Chemicals | 7,600 | 218,008 | |||||
Mitsui Fudosan | 35,186 | 902,148 | |||||
Mitsui OSK Lines | 5,000 | 148,252 | |||||
Mixi | 1,600 | 52,741 | |||||
Mizuho Financial Group | 972,900 | 1,764,269 | |||||
MS&AD Insurance Group Holdings | 18,657 | 626,165 | |||||
Murata Manufacturing | 7,600 | 960,236 | |||||
Nabtesco | 4,700 | 169,754 | |||||
Nagoya Railroad | 7,600 | 199,236 | |||||
NEC | 10,480 | 287,852 | |||||
NEXON | 16,000 | a | 232,698 | ||||
NGK Insulators | 9,900 | 181,558 | |||||
NGK Spark Plug | 6,626 | 170,712 | |||||
NH Foods | 3,500 | 153,105 | |||||
Nidec | 9,500 | 1,487,261 | |||||
Nikon | 13,460 | 234,705 | |||||
Nintendo | 4,525 | 1,908,553 | |||||
Nippon Building Fund | 56 | 314,638 | |||||
Nippon Electric Glass | 3,417 | 98,451 | |||||
Nippon Express | 3,000 | 226,740 | |||||
Nippon Paint Holdings | 6,900 | 280,726 | |||||
Nippon Prologis REIT | 74 | 155,822 | |||||
Nippon Steel & Sumitomo Metal | 30,261 | 659,498 | |||||
Nippon Telegraph & Telephone | 28,000 | 1,332,578 | |||||
Nippon Yusen | 7,080 | 150,972 | |||||
Nissan Chemical Industries | 5,000 | 222,685 | |||||
Nissan Motor | 92,800 | 975,972 | |||||
Nisshin Seifun Group | 8,138 | 177,987 | |||||
Nissin Foods Holdings | 2,200 | 161,664 | |||||
Nitori Holdings | 3,300 | 555,334 | |||||
Nitto Denko | 6,600 | 490,371 | |||||
NOK | 3,600 | 73,825 | |||||
Nomura Holdings | 145,000 | 836,053 | |||||
Nomura Real Estate Holdings | 4,500 | 111,782 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Nomura Real Estate Master Fund | 158 | 221,302 | |||||
Nomura Research Institute | 5,083 | 262,406 | |||||
NSK | 16,000 | 214,783 | |||||
NTT Data | 24,500 | 263,986 | |||||
NTT DOCOMO | 54,700 | 1,417,750 | |||||
Obayashi | 25,300 | 291,755 | |||||
Obic | 2,600 | 217,359 | |||||
Odakyu Electric Railway | 11,600 | 250,355 | |||||
Oji Holdings | 36,000 | 253,343 | |||||
Olympus | 11,300 | 421,010 | |||||
Omron | 7,800 | 421,990 | |||||
Ono Pharmaceutical | 15,900 | 368,272 | |||||
Oracle Japan | 1,600 | 131,311 | |||||
Oriental Land | 8,600 | 856,873 | |||||
ORIX | 52,900 | 929,911 | |||||
Osaka Gas | 15,400 | 331,392 | |||||
OTSUKA | 4,400 | 204,698 | |||||
Otsuka Holdings | 15,700 | 820,962 | |||||
Panasonic | 89,195 | 1,321,821 | |||||
Park24 | 4,700 | 133,215 | |||||
Persol Holdings | 7,500 | 178,153 | |||||
Pola Orbis Holdings | 3,400 | 148,243 | |||||
Rakuten | 38,600 | 274,112 | |||||
Recruit Holdings | 44,100 | 1,015,682 | |||||
Renesas Electronics | 33,400 | a | 350,122 | ||||
Resona Holdings | 88,900 | 505,754 | |||||
Ricoh | 29,200 | 285,297 | |||||
Rinnai | 1,400 | 139,166 | |||||
Rohm | 3,900 | 357,334 | |||||
Ryohin Keikaku | 1,000 | 341,786 | |||||
Sankyo | 1,500 | 52,713 | |||||
Santen Pharmaceutical | 14,600 | 245,548 | |||||
SBI Holdings | 7,530 | 190,200 | |||||
Secom | 8,500 | 637,185 | |||||
Sega Sammy Holdings | 7,484 | 122,795 | |||||
Seibu Holdings | 8,900 | 150,385 | |||||
Seiko Epson | 11,800 | 221,223 | |||||
Sekisui Chemical | 15,400 | 273,024 | |||||
Sekisui House | 22,800 | 416,932 | |||||
Seven & i Holdings | 30,460 | 1,338,013 | |||||
Seven Bank | 26,000 | 87,443 | |||||
Sharp | 5,700 | 166,134 | |||||
Shimadzu | 10,200 | 276,499 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Shimamura | 1,000 | 116,597 | |||||
Shimano | 2,900 | 385,439 | |||||
Shimizu | 22,000 | 217,479 | |||||
Shin-Etsu Chemical | 15,700 | 1,563,426 | |||||
Shinsei Bank | 6,900 | 107,267 | |||||
Shionogi & Co. | 12,000 | 617,826 | |||||
Shiseido | 15,300 | 992,613 | |||||
Shizuoka Bank | 19,400 | 197,091 | |||||
Showa Shell Sekiyu | 8,500 | 120,158 | |||||
SMC | 2,300 | 876,365 | |||||
SoftBank Group | 33,200 | 2,573,847 | |||||
Sohgo Security Services | 2,600 | 128,538 | |||||
Sompo Holdings | 13,870 | 581,704 | |||||
Sony | 50,880 | 2,505,720 | |||||
Sony Financial Holdings | 7,000 | 127,623 | |||||
Stanley Electric | 5,500 | 199,182 | |||||
Start Today | 7,200 | 207,822 | |||||
Subaru | 24,500 | 822,788 | |||||
SUMCO | 8,900 | 216,716 | |||||
Sumitomo | 47,700 | 858,483 | |||||
Sumitomo Chemical | 64,000 | 367,755 | |||||
Sumitomo Dainippon Pharma | 6,900 | 125,788 | |||||
Sumitomo Electric Industries | 30,400 | 466,457 | |||||
Sumitomo Heavy Industries | 4,900 | 187,137 | |||||
Sumitomo Metal Mining | 9,800 | 417,603 | |||||
Sumitomo Mitsui Financial Group | 54,100 | 2,245,437 | |||||
Sumitomo Mitsui Trust Holdings | 12,964 | 550,422 | |||||
Sumitomo Realty & Development Co. | 14,000 | 555,139 | |||||
Sumitomo Rubber Industries | 6,100 | 109,086 | |||||
Sundrug | 3,000 | 154,133 | |||||
Suntory Beverage & Food | 5,300 | 260,792 | |||||
Suruga Bank | 7,200 | 97,847 | |||||
Suzuken | 3,212 | 138,279 | |||||
Suzuki Motor | 14,000 | 753,637 | |||||
Sysmex | 6,400 | 565,041 | |||||
T&D Holdings | 21,600 | 366,166 | |||||
Taiheiyo Cement | 4,600 | 174,187 | |||||
Taisei | 8,400 | 452,646 | |||||
Taisho Pharmaceutical Holdings | 1,400 | 134,058 | |||||
Taiyo Nippon Sanso | 6,000 | 88,994 | |||||
Takashimaya | 12,000 | 103,103 | |||||
Takeda Pharmaceutical | 28,300 | 1,189,724 | |||||
TDK | 5,100 | 434,633 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Japan - 23.8% (continued) | |||||||
Teijin | 7,000 | 131,840 | |||||
Terumo | 12,700 | 718,698 | |||||
THK | 5,100 | 178,338 | |||||
Tobu Railway | 8,000 | 255,206 | |||||
Toho | 4,700 | 157,213 | |||||
Toho Gas | 3,200 | 97,099 | |||||
Tohoku Electric Power | 19,100 | 246,387 | |||||
Tokio Marine Holdings | 26,800 | 1,264,212 | |||||
Tokyo Electric Power Co. Holdings | 54,472 | a | 258,410 | ||||
Tokyo Electron | 6,300 | 1,208,536 | |||||
Tokyo Gas | 16,000 | 428,847 | |||||
Tokyo Tatemono | 8,500 | 129,513 | |||||
Tokyu | 20,810 | 350,247 | |||||
Tokyu Fudosan Holdings | 21,900 | 172,147 | |||||
Toppan Printing | 22,000 | 184,163 | |||||
Toray Industries | 57,500 | 537,024 | |||||
Toshiba | 265,000 | a | 708,778 | ||||
Tosoh | 12,000 | 212,881 | |||||
TOTO | 5,800 | 328,262 | |||||
Toyo Seikan Group Holdings | 7,100 | 111,798 | |||||
Toyo Suisan Kaisha | 3,400 | 133,958 | |||||
Toyoda Gosei | 2,400 | 60,831 | |||||
Toyota Industries | 6,400 | 378,356 | |||||
Toyota Motor | 104,855 | 6,868,294 | |||||
Toyota Tsusho | 8,100 | 291,187 | |||||
Trend Micro | 4,800 | 287,667 | |||||
Tsuruha Holdings | 1,500 | 215,355 | |||||
Unicharm | 16,500 | 463,770 | |||||
United Urban Investment | 116 | 179,021 | |||||
USS | 9,100 | 191,344 | |||||
West Japan Railway | 6,600 | 467,591 | |||||
Yahoo! Japan | 55,100 | 226,654 | |||||
Yakult Honsha | 4,400 | 313,727 | |||||
Yamada Denki | 22,700 | 119,031 | |||||
Yamaguchi Financial Group | 7,000 | 87,523 | |||||
Yamaha | 6,400 | 309,488 | |||||
Yamaha Motor | 11,200 | 357,060 | |||||
Yamato Holdings | �� | 14,000 | 360,550 | ||||
Yamazaki Baking | 5,900 | 129,197 | |||||
Yaskawa Electric | 10,400 | 424,441 | |||||
Yokogawa Electric | 9,500 | 209,478 | |||||
Yokohama Rubber | 4,500 | 106,003 | |||||
146,221,319 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Luxembourg - .2% | |||||||
ArcelorMittal | 26,911 | a | 906,019 | ||||
RTL Group | 1,680 | 137,270 | |||||
SES | 14,758 | 227,570 | |||||
1,270,859 | |||||||
Macau - .1% | |||||||
MGM China Holdings | 40,000 | 109,668 | |||||
Sands China | 95,013 | 548,266 | |||||
Wynn Macau | 59,600 | 220,215 | |||||
878,149 | |||||||
Mexico - .0% | |||||||
Fresnillo | 9,224 | 161,702 | |||||
Netherlands - 3.5% | |||||||
ABN AMRO Group | 17,087 | b | 529,857 | ||||
Aegon | 71,398 | 521,760 | |||||
AerCap Holdings | 5,384 | a | 280,668 | ||||
Akzo Nobel | 10,070 | 906,487 | |||||
ASML Holding | 15,623 | 2,952,860 | |||||
Boskalis Westminster | 3,784 | 111,873 | |||||
EXOR | 4,154 | 306,947 | |||||
Heineken | 10,265 | 1,079,434 | |||||
Heineken Holding | 4,658 | 471,902 | |||||
ING Groep | 156,409 | 2,624,051 | |||||
Koninklijke Ahold Delhaize | 51,304 | 1,236,803 | |||||
Koninklijke DSM | 7,149 | 737,711 | |||||
Koninklijke KPN | 132,045 | 409,356 | |||||
Koninklijke Philips | 37,972 | 1,602,974 | |||||
Koninklijke Vopak | 2,912 | 143,016 | |||||
NN Group | 12,306 | 587,180 | |||||
NXP Semiconductors | 13,693 | a | 1,436,396 | ||||
QIAGEN | 8,524 | a | 281,807 | ||||
Randstad | 4,812 | 309,075 | |||||
RELX | 38,132 | 808,687 | |||||
Unilever | 65,514 | 3,737,380 | |||||
Wolters Kluwer | 11,577 | 624,619 | |||||
21,700,843 | |||||||
New Zealand - .2% | |||||||
Auckland International Airport | 36,928 | 165,066 | |||||
Fisher & Paykel Healthcare | 21,300 | 189,865 | |||||
Fletcher Building | 27,941 | 123,831 | |||||
Mercury NZ | 29,098 | 65,269 | |||||
Meridian Energy | 52,186 | 107,869 | |||||
Ryman Healthcare | 16,781 | 125,062 |
22
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
New Zealand - .2% (continued) | |||||||
Spark New Zealand | 75,655 | 183,576 | |||||
960,538 | |||||||
Norway - .7% | |||||||
DNB | 39,204 | 731,275 | |||||
Gjensidige Forsikring | 8,353 | 132,099 | |||||
Marine Harvest | 17,119 | 371,818 | |||||
Norsk Hydro | 54,441 | 337,571 | |||||
Orkla | 33,180 | 306,715 | |||||
Schibsted, Cl. B | 3,578 | 95,951 | |||||
Statoil | 46,368 | 1,186,696 | |||||
Telenor | 29,505 | 652,550 | |||||
Yara International | 7,257 | 304,783 | |||||
4,119,458 | |||||||
Portugal - .2% | |||||||
Banco Espirito Santo | 118,053 | a,c | 14 | ||||
EDP - Energias de Portugal | 97,677 | 362,530 | |||||
Galp Energia | 20,573 | 394,004 | |||||
Jeronimo Martins | 10,446 | 182,674 | |||||
939,222 | |||||||
Singapore - 1.4% | |||||||
Ascendas Real Estate Investment Trust | 97,433 | 195,449 | |||||
CapitaLand | 106,800 | 301,190 | |||||
CapitaLand Commercial Trust | 107,851 | 147,630 | |||||
CapitaLand Mall Trust | 103,800 | 164,083 | |||||
City Developments | 17,000 | 161,960 | |||||
ComfortDelGro | 93,200 | 158,387 | |||||
DBS Group Holdings | 72,388 | 1,672,247 | |||||
Genting Singapore | 251,927 | 222,834 | |||||
Golden Agri-Resources | 278,440 | 72,313 | |||||
Hutchison Port Holdings Trust | 214,800 | 71,787 | |||||
Jardine Cycle & Carriage | 4,113 | 105,724 | |||||
Keppel | 56,100 | 343,655 | |||||
Oversea-Chinese Banking | 127,087 | 1,311,549 | |||||
SATS | 27,600 | 114,656 | |||||
Sembcorp Industries | 43,254 | 100,362 | |||||
Singapore Airlines | 20,033 | 163,533 | |||||
Singapore Exchange | 30,100 | 175,495 | |||||
Singapore Press Holdings | 69,075 | 141,037 | |||||
Singapore Technologies Engineering | 58,600 | 153,380 | |||||
Singapore Telecommunications | 321,951 | 855,590 | |||||
StarHub | 26,918 | 46,092 | |||||
Suntec REIT | 99,000 | 145,483 | |||||
United Overseas Bank | 54,063 | 1,221,127 |
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Singapore - 1.4% (continued) | |||||||
UOL Group | 21,111 | 139,396 | |||||
Wilmar International | 67,000 | 163,917 | |||||
8,348,876 | |||||||
South Africa - .1% | |||||||
Mondi | 14,634 | 407,339 | |||||
Spain - 3.1% | |||||||
Abertis Infraestructuras | 28,297 | 623,807 | |||||
ACS Actividades de Construccion y Servicios | 9,884 | 415,530 | |||||
Aena | 2,649 | b | 545,991 | ||||
Amadeus IT Group | 17,724 | 1,291,645 | |||||
Banco Bilbao Vizcaya Argentaria | 268,646 | 2,175,984 | |||||
Banco de Sabadell | 218,776 | 427,441 | |||||
Banco Santander | 648,717 | 4,182,718 | |||||
Bankia | 48,254 | 211,827 | |||||
Bankinter | 25,880 | 270,389 | |||||
CaixaBank | 141,459 | 687,595 | |||||
Enagas | 9,056 | 263,347 | |||||
Endesa | 12,084 | 281,954 | |||||
Ferrovial | 18,981 | 404,572 | |||||
Gas Natural SDG | 13,566 | 341,332 | |||||
Grifols | 11,694 | 327,256 | |||||
Iberdrola | 234,237 | 1,805,728 | |||||
Inditex | 43,307 | 1,341,444 | |||||
Mapfre | 40,366 | 140,190 | |||||
Red Electrica | 17,696 | 368,333 | |||||
Repsol | 49,547 | 943,126 | |||||
Siemens Gamesa Renewable Energy | 10,111 | 173,103 | |||||
Telefonica | 188,376 | 1,917,959 | |||||
19,141,271 | |||||||
Sweden - 2.5% | |||||||
Alfa Laval | 11,798 | 292,732 | |||||
Assa Abloy, Cl. B | 39,995 | 835,530 | |||||
Atlas Copco, Cl. A | 27,151 | 1,056,561 | |||||
Atlas Copco, Cl. B | 15,710 | 554,731 | |||||
Boliden | 10,538 | 366,323 | |||||
Electrolux, Ser. B | 9,785 | 257,232 | |||||
Ericsson, Cl. B | 122,568 | 929,491 | |||||
Essity, Cl. B | 24,116 | 610,501 | |||||
Getinge, Cl. B | 8,415 | 78,356 | |||||
Hennes & Mauritz, Cl. B | 38,206 | 653,302 | |||||
Hexagon, Cl. B | 10,410 | 599,445 | |||||
Husqvarna, Cl. B | 17,528 | 168,823 |
24
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Sweden - 2.5% (continued) | |||||||
ICA Gruppen | 3,218 | 100,051 | |||||
Industrivarden, Cl. C | 6,910 | 145,852 | |||||
Investor, Cl. B | 18,178 | 788,874 | |||||
Kinnevik, Cl. B | 9,274 | 335,188 | |||||
L E Lundbergforetagen, Cl. B | 1,556 | 105,534 | |||||
Lundin Petroleum | 7,919 | a | 218,701 | ||||
Millicom International Cellular, SDR | 2,847 | 189,597 | |||||
Nordea Bank | 120,486 | 1,222,162 | |||||
Sandvik | 45,860 | 780,188 | |||||
Securitas, Cl. B | 11,961 | 192,869 | |||||
Skandinaviska Enskilda Banken, Cl. A | 61,080 | 574,556 | |||||
Skanska, Cl. B | 14,100 | 275,494 | |||||
SKF, Cl. B | 15,606 | 316,698 | |||||
Svenska Handelsbanken, Cl. A | 60,934 | 680,287 | |||||
Swedbank, Cl. A | 36,390 | 792,421 | |||||
Swedish Match | 6,965 | 311,305 | |||||
Tele2, Cl. B | 14,711 | 191,218 | |||||
Telia | 114,927 | 563,573 | |||||
Volvo, Cl. B | 62,441 | 1,054,751 | |||||
15,242,346 | |||||||
Switzerland - 7.8% | |||||||
ABB | 74,328 | 1,731,709 | |||||
Adecco Group | 6,546 | 433,264 | |||||
Baloise Holding | 1,866 | 295,336 | |||||
Barry Callebaut | 92 | 165,230 | |||||
Cie Financiere Richemont | 21,036 | 1,997,731 | |||||
Clariant | 8,817 | a | 203,578 | ||||
Coca-Cola HBC | 7,609 | a | 255,586 | ||||
Credit Suisse Group | 96,450 | a | 1,620,492 | ||||
Dufry | 1,417 | a | 200,456 | ||||
EMS-Chemie Holding | 309 | 190,624 | |||||
Geberit | 1,487 | 634,717 | |||||
Givaudan | 368 | 820,375 | |||||
Glencore | 492,536 | a | 2,371,225 | ||||
Julius Baer Group | 9,021 | a | 535,546 | ||||
Kuehne + Nagel International | 2,093 | 325,796 | |||||
LafargeHolcim | 18,211 | a | 1,010,799 | ||||
Lindt & Spruengli | 4 | a | 303,645 | ||||
Lindt & Spruengli-PC | 41 | a | 263,048 | ||||
Lonza Group | 3,001 | a | 733,525 | ||||
Nestle | 124,974 | 9,661,621 | |||||
Novartis | 89,350 | 6,872,460 | |||||
Pargesa Holding-BR | 1,544 | 144,371 |
25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
Switzerland - 7.8% (continued) | |||||||
Partners Group Holding | 708 | 515,765 | |||||
Roche Holding | 28,227 | 6,262,492 | |||||
Schindler Holding | 752 | 150,584 | |||||
Schindler Holding-PC | 1,569 | 323,619 | |||||
SGS | 212 | 514,221 | |||||
Sika-BR | 87 | 630,518 | |||||
Sonova Holding | 2,046 | 338,143 | |||||
Straumann Holding | 428 | 290,385 | |||||
Swatch Group | 2,074 | a | 184,470 | ||||
Swatch Group-BR | 1,243 | 598,341 | |||||
Swiss Life Holding | 1,305 | a | 456,743 | ||||
Swiss Prime Site | 2,854 | a | 267,758 | ||||
Swiss Re | 12,710 | 1,209,426 | |||||
Swisscom | 1,014 | 486,272 | |||||
UBS Group | 147,353 | a | 2,475,743 | ||||
Vifor Pharma | 1,950 | 307,206 | |||||
Zurich Insurance Group | 6,100 | 1,945,846 | |||||
47,728,666 | |||||||
United Arab Emirates - .0% | |||||||
Mediclinic International | 14,249 | 131,208 | |||||
United Kingdom - 16.8% | |||||||
3i Group | 38,886 | 502,764 | |||||
Admiral Group | 7,739 | 211,579 | |||||
Anglo American | 53,433 | 1,254,047 | |||||
Antofagasta | 16,439 | 218,672 | |||||
Ashtead Group | 20,215 | 562,045 | |||||
Associated British Foods | 13,928 | 516,796 | |||||
AstraZeneca | 50,914 | 3,569,605 | |||||
Auto Trader Group | 40,948 | b | 198,748 | ||||
Aviva | 161,372 | 1,173,136 | |||||
Babcock International Group | 10,761 | 108,764 | |||||
BAE Systems | 127,354 | 1,068,738 | |||||
Barclays | 686,704 | 1,959,735 | |||||
Barratt Developments | 40,982 | 314,304 | |||||
Berkeley Group Holdings | 4,935 | 276,341 | |||||
BHP Billiton | 85,140 | 1,804,772 | |||||
BP | 794,954 | 5,873,449 | |||||
British American Tobacco | 92,179 | 5,065,478 | |||||
British Land | 39,207 | 361,372 | |||||
BT Group | 333,776 | 1,142,796 | |||||
Bunzl | 13,569 | 392,869 | |||||
Burberry Group | 16,662 | 417,758 | |||||
Capita | 27,747 | 72,913 |
26
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
United Kingdom - 16.8% (continued) | |||||||
Carnival | 7,269 | 469,763 | |||||
Centrica | 228,930 | 483,759 | |||||
Cobham | 88,246 | a | 139,195 | ||||
Coca-Cola European Partners | 8,360 | 327,712 | |||||
Compass Group | 63,933 | 1,371,325 | |||||
ConvaTec Group | 55,122 | b | 164,036 | ||||
Croda International | 5,036 | 307,679 | |||||
Diageo | 100,352 | 3,569,524 | |||||
Direct Line Insurance Group | 56,151 | 288,758 | |||||
easyJet | 5,798 | 126,281 | |||||
Experian | 36,692 | 837,669 | |||||
Ferguson | 10,088 | 770,696 | |||||
G4S | 60,183 | 213,935 | |||||
GlaxoSmithKline | 197,769 | 3,968,629 | |||||
GVC Holdings | 22,439 | 274,643 | |||||
Hammerson | 32,066 | 241,330 | |||||
Hargreaves Lansdown | 10,863 | 266,057 | |||||
HSBC Holdings | 803,085 | 8,004,125 | |||||
IMI | 11,426 | 171,279 | |||||
Imperial Brands | 38,039 | 1,358,278 | |||||
InterContinental Hotels Group | 6,986 | 440,375 | |||||
International Consolidated Airlines Group | 23,420 | 201,583 | |||||
Intertek Group | 6,547 | 439,457 | |||||
Investec | 26,558 | 210,605 | |||||
ITV | 146,301 | 303,893 | |||||
J Sainsbury | 63,395 | 268,614 | |||||
John Wood Group | 27,264 | 212,345 | |||||
Johnson Matthey | 7,428 | 336,059 | |||||
Kingfisher | 84,368 | 351,489 | |||||
Land Securities Group | 29,898 | 405,015 | |||||
Legal & General Group | 237,818 | 882,046 | |||||
Lloyds Banking Group | 2,896,438 | 2,574,352 | |||||
London Stock Exchange Group | 12,697 | 750,298 | |||||
Marks & Spencer Group | 61,996 | 244,573 | |||||
Meggitt | 32,324 | 209,853 | |||||
Melrose Industries | 187,830 | 588,390 | |||||
Merlin Entertainments | 31,172 | b | 157,631 | ||||
Micro Focus International | 17,392 | 301,215 | |||||
National Grid | 134,494 | 1,557,745 | |||||
Next | 5,992 | 431,709 | |||||
Old Mutual | 198,244 | 684,970 | |||||
Pearson | 32,788 | 374,823 |
27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.2% (continued) | |||||||
United Kingdom - 16.8% (continued) | |||||||
Persimmon | 12,280 | 458,295 | |||||
Prudential | 104,078 | 2,669,345 | |||||
Randgold Resources | 3,786 | 306,583 | |||||
Reckitt Benckiser Group | 26,921 | 2,110,609 | |||||
RELX | 42,120 | 899,739 | |||||
Rio Tinto | 48,795 | 2,643,965 | |||||
Rolls-Royce Holdings | 66,015 | a | 759,584 | ||||
Royal Bank of Scotland Group | 142,274 | a | 528,235 | ||||
Royal Dutch Shell, Cl. A | 182,571 | 6,345,780 | |||||
Royal Dutch Shell, Cl. B | 150,515 | 5,376,713 | |||||
Royal Mail | 35,349 | 282,315 | |||||
RSA Insurance Group | 40,705 | 367,913 | |||||
Sage Group | 43,497 | 378,192 | |||||
Schroders | 5,179 | 234,825 | |||||
Segro | 41,218 | 366,014 | |||||
Severn Trent | 9,605 | 256,055 | |||||
Shire | 36,619 | 1,946,053 | |||||
Sky | 41,853 | 793,975 | |||||
Smith & Nephew | 35,553 | 681,986 | |||||
Smiths Group | 15,199 | 333,451 | |||||
SSE | 41,243 | 782,712 | |||||
St. James's Place | 21,386 | 333,829 | |||||
Standard Chartered | 133,083 | 1,401,844 | |||||
Standard Life Aberdeen | 106,403 | 532,518 | |||||
Taylor Wimpey | 132,556 | 349,422 | |||||
Tesco | 392,908 | 1,274,342 | |||||
Travis Perkins | 10,350 | 180,087 | |||||
Unilever | 49,584 | 2,778,625 | |||||
United Utilities Group | 27,251 | 278,324 | |||||
Vodafone Group | 1,073,127 | 3,122,439 | |||||
Weir Group | 8,871 | 260,072 | |||||
Whitbread | 7,508 | 441,990 | |||||
WM Morrison Supermarkets | 88,115 | 294,416 | |||||
WPP | 50,759 | 869,316 | |||||
102,987,957 | |||||||
Total Common Stocks (cost $429,700,488) | 597,106,053 | ||||||
Preferred Dividend | |||||||
Preferred Stocks - .6% | |||||||
Germany - .6% | |||||||
Bayerische Motoren Werke | 5.19 | 2,084 | 201,593 | ||||
Fuchs Petrolub | 1.99 | 2,998 | 161,081 |
28
Description | Preferred Dividend | Shares | Value ($) | ||||
Preferred Stocks - .6% (continued) | |||||||
Germany - .6% (continued) | |||||||
Henkel & Co. | 1.71 | 7,120 | 905,739 | ||||
Porsche Automobil Holding | 2.55 | 6,009 | 512,371 | ||||
Schaeffler | 4.06 | 6,779 | 105,154 | ||||
Volkswagen | 2.28 | 7,487 | 1,550,442 | ||||
Total Preferred Stocks (cost $1,984,421) | 3,436,380 | ||||||
Number of Rights | |||||||
Rights - .0% | |||||||
New Zealand - .0% | |||||||
Fletcher Building | 6,264 | a | 6,479 | ||||
Principal Amount ($) | |||||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills | |||||||
1.66%, 6/7/18 | 650,000 | d,e | 648,909 | ||||
Current | Shares | Value ($) | |||||
Other Investment - 1.4% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 8,727,038 | f | 8,727,038 | |||
Total Investments (cost $441,067,355) | 99.3% | 609,924,859 | |||||
Cash and Receivables (Net) | .7% | 4,282,342 | |||||
Net Assets | 100.0% | 614,207,201 |
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
aNon-income producing security.
bSecurity exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2018, these securities were valued at $4,281,242 or .7% of net assets.
cThe fund held Level 3 securities at April 30, 2018, these securities were valued at $14 or .0% of net assets.
dHeld by a counterparty for open exchange traded derivative contracts.
eSecurity is a discount security. Income is recognized through the accretion of discount.
fInvestment in affiliated money market mutual fund.
29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Financials | 20.5 |
Industrials | 14.2 |
Consumer Discretionary | 12.3 |
Consumer Staples | 10.6 |
Health Care | 9.8 |
Materials | 7.9 |
Information Technology | 6.4 |
Energy | 5.6 |
Telecommunication Services | 3.8 |
Real Estate | 3.5 |
Utilities | 3.2 |
Short-Term/Money Market Investment | 1.5 |
99.3 |
† Based on net assets.
See notes to financial statements.
30
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 10,193,671 | 59,755,242 | 61,221,875 | 8,727,038 | 1.4 | 61,524 |
See notes to financial statements.
31
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
MSCI EAFE Index | 122 | 6/2018 | 12,289,809 | 12,361,650 | 71,841 | |
Gross Unrealized Appreciation | 71,841 |
See notes to financial statements.
32
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Goldman Sachs International | |||||
Japanese Yen | 7,389,117 | United States Dollar | 67,747 | 5/2/18† | (155) |
United States Dollar | 67,747 | Swiss Franc | 66,931 | 5/2/18 | 208 |
Standard Chartered Bank | |||||
Euro | 309,000 | United States Dollar | 371,770 | 5/2/18† | 1,378 |
Gross Unrealized Appreciation | 1,586 | ||||
Gross Unrealized Depreciation | (155) |
† Cross currency forward exchange contracts.
See notes to financial statements.
33
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 432,340,317 |
| 601,197,821 |
| ||
Affiliated issuers |
| 8,727,038 |
| 8,727,038 |
| |
Cash |
|
|
|
| 477,619 |
|
Cash denominated in foreign currency |
|
| 610,426 |
| 606,012 |
|
Dividends receivable |
| 2,535,446 |
| |||
Tax reclaim receivable |
| 1,299,928 |
| |||
Receivable for shares of Common Stock subscribed |
| 82,014 |
| |||
Unrealized appreciation on forward foreign |
| 1,586 |
| |||
|
|
|
|
| 614,927,464 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 252,496 |
|
Payable for shares of Common Stock redeemed |
| 337,085 |
| |||
Payable for investment securities purchased |
| 79,936 |
| |||
Payable for futures variation margin—Note 4 |
| 50,591 |
| |||
Unrealized depreciation on forward foreign |
| 155 |
| |||
|
|
|
|
| 720,263 |
|
Net Assets ($) |
|
| 614,207,201 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 511,906,517 |
|
Accumulated undistributed investment income—net |
| 1,123,738 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (67,695,951) |
|
Accumulated net unrealized appreciation (depreciation) |
| 168,872,897 |
| |||
Net Assets ($) |
|
| 614,207,201 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 408,628,306 | 205,578,895 |
|
Shares Outstanding | 22,666,694 | 11,405,560 |
|
Net Asset Value Per Share ($) | 18.03 | 18.02 |
|
See notes to financial statements. |
34
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $846,270 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 8,623,748 |
| ||
Affiliated issuers |
|
| 61,524 |
| ||
Interest |
|
| 3,369 |
| ||
Total Income |
|
| 8,688,641 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,070,381 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 531,329 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 26,081 |
| ||
Loan commitment fees—Note 2 |
|
| 6,067 |
| ||
Interest expense—Note 2 |
|
| 80 |
| ||
Total Expenses |
|
| 1,633,938 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (26,081) |
| ||
Net Expenses |
|
| 1,607,857 |
| ||
Investment Income—Net |
|
| 7,080,784 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (225,749) |
| ||||
Net realized gain (loss) on futures | 392,635 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (48,483) |
| ||||
Net Realized Gain (Loss) |
|
| 118,403 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 11,270,096 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (105,232) |
| ||
Net unrealized appreciation (depreciation) on |
|
| 1,431 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 11,166,295 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 11,284,698 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 18,365,482 |
| |||
See notes to financial statements. |
35
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 7,080,784 |
|
|
| 12,373,830 |
| |
Net realized gain (loss) on investments |
| 118,403 |
|
|
| (7,527,169) |
| ||
Net unrealized appreciation (depreciation) |
| 11,166,295 |
|
|
| 107,791,708 |
| ||
Net Increase (Decrease) in Net Assets | 18,365,482 |
|
|
| 112,638,369 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (9,690,563) |
|
|
| (11,437,032) |
| |
Class I |
|
| (4,110,609) |
|
|
| (2,263,295) |
| |
Total Distributions |
|
| (13,801,172) |
|
|
| (13,700,327) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 63,070,456 |
|
|
| 127,962,171 |
| |
Class I |
|
| 61,944,619 |
|
|
| 150,697,819 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 9,622,337 |
|
|
| 11,361,926 |
| |
Class I |
|
| 1,329,547 |
|
|
| 775,259 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (124,267,621) |
|
|
| (274,560,705) |
| |
Class I |
|
| (13,815,512) |
|
|
| (19,063,941) |
| |
Increase (Decrease) in Net Assets | (2,116,174) |
|
|
| (2,827,471) |
| |||
Total Increase (Decrease) in Net Assets | 2,448,136 |
|
|
| 96,110,571 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 611,759,065 |
|
|
| 515,648,494 |
| |
End of Period |
|
| 614,207,201 |
|
|
| 611,759,065 |
| |
Undistributed investment income—net | 1,123,738 |
|
|
| 7,844,126 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,486,522 |
|
|
| 7,885,800 |
| |
Shares issued for distributions reinvested |
|
| 539,671 |
|
|
| 776,088 |
| |
Shares redeemed |
|
| (6,843,078) |
|
|
| (17,480,862) |
| |
Net Increase (Decrease) in Shares Outstanding | (2,816,885) |
|
|
| (8,818,974) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,417,185 |
|
|
| 9,742,214 |
| |
Shares issued for distributions reinvested |
|
| 74,652 |
|
|
| 52,991 |
| |
Shares redeemed |
|
| (765,983) |
|
|
| (1,160,307) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,725,854 |
|
|
| 8,634,898 |
| |||
a | During the period ending April 30, 2018, 332,760 Investor shares representing $6,026,290 were exchanged for 332,393 Class I shares. | ||||||||
See notes to financial statements. |
36
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2017 | 2016a | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 17.90 | 15.01 | 15.86 | 16.54 | 17.12 | 13.96 |
Investment Operations: | ||||||
Investment income—netb | .19 | .35 | .36 | .35 | .47 | .35 |
Net realized and unrealized | .33 | 2.96 | (.89) | (.60) | (.49) | 3.20 |
Total from Investment Operations | .52 | 3.31 | (.53) | (.25) | (.02) | 3.55 |
Distributions: | ||||||
Dividends from | (.39) | (.42) | (.32) | (.43) | (.37) | (.39) |
Dividends from net realized | - | - | - | - | (.19) | - |
Total Distributions | (.39) | (.42) | (.32) | (.43) | (.56) | (.39) |
Net asset value, end of period | 18.03 | 17.90 | 15.01 | 15.86 | 16.54 | 17.12 |
Total Return (%) | 2.92c | 22.71 | (3.37) | (1.46) | (.13) | 26.01 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .61d | .61 | .61 | .61 | .61 | .61 |
Ratio of net expenses | .60d | .60 | .60 | .60 | .60 | .60 |
Ratio of net investment income | 2.18d | 2.20 | 2.43 | 2.14 | 2.76 | 2.25 |
Portfolio Turnover Rate | 2.47c | 9.18 | 5.53 | 8.44 | 10.26 | 23.12 |
Net Assets, end of period ($ x 1,000) | 408,628 | 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.
c Not annualized.
d Annualized.
See notes to financial statements.
37
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||
April 30, 2018 | Year Ended October 31, | |||
Class I Shares | (Unaudited) | 2017 | 2016a | |
Per Share Data ($): | ||||
Net asset value, beginning of period | 17.92 | 15.02 | 15.15 | |
Investment Operations: | ||||
Investment income—netb | .24 | .42 | .02 | |
Net realized and unrealized | .29 | 2.94 | (.15) | |
Total from Investment Operations | .53 | 3.36 | (.13) | |
Distributions: | ||||
Dividends from | (.43) | (.46) | - | |
Net asset value, end of period | 18.02 | 17.92 | 15.02 | |
Total Return (%) | 3.00c | 23.04 | (.86)c | |
Ratios/Supplemental Data (%): | ||||
Ratio of total expenses | .36d | .36 | .40d | |
Ratio of net expenses | .35d | .35 | .39d | |
Ratio of net investment income | 2.62d | 2.48 | 1.95d | |
Portfolio Turnover Rate | 2.47c | 9.18 | 5.53 | |
Net Assets, end of period ($ x 1,000) | 205,579 | 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.
38
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares which are sold to the public without a sales charge. The 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 (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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
40
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 such securities 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
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
and are generally categorized within Level 1 of the fair value hierarchy. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2018 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 | 3,514,618 | 593,591,421† | 14 | 597,106,053 |
Equity Securities - Foreign Preferred Stocks | - | 3,436,380† | - | 3,436,380 |
Registered Investment Company | 8,727,038 | - | - | 8,727,038 |
U.S. Treasury | - | 648,909 | - | 648,909 |
Rights | - | 6,479† | - | 6,479 |
Other Financial Instruments: |
|
|
|
|
Futures†† | 71,841 | - | - | 71,841 |
Forward Foreign Currency | - | 1,586 | 1,586 | |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency | - | (155) | - | (155) |
† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
†† Amount shown represents unrealized appreciation at period end.
At April 30, 2018, the amount of securities transferred between levels equals fair value of exchange traded equity securities and rights reported as Level 2 in the table above. 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:
42
| Equity Securities— |
Balance as of 10/31/2017 | 14 |
Realized gain (loss) | - |
Change in unrealized appreciation (depreciation) | - |
Purchases/Issuances | - |
Sales/Dispositions | - |
Transfers into Level 3 | - |
Transfers out of Level 3 | - |
Balance as of 4/30/2018 | 14 |
The amount of total gains (losses) for the period included in | - |
(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
43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $34,441,479 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2017. These long-term capital losses can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: ordinary income $13,700,327. The tax character of current year distributions will be determined at the end of the current fiscal year.
44
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. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2018 was approximately $6,630 with a related weighted average annualized interest rate of 2.43%.
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 April 30, 2018, fees reimbursed by Dreyfus amounted to $26,081.
(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 April 30, 2018, the fund was charged $531,329 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
45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
$175,819 and Shareholder Services Plan fees $83,406, which are offset against an expense reimbursement currently in effect in the amount of $6,729.
(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 April 30, 2018, amounted to $14,930,521 and $22,698,130, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its over-the-counter (“OTC”) derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 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
46
exchange guarantees the futures against default. Futures open at April 30, 2018, 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. Forward contracts open at April 30, 2018, are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Equity risk | 71,841 | 1 | Equity risk | - | |||
Foreign exchange risk | 1,586 | 2 | Foreign exchange risk | (155) | 2 | ||
Gross fair value of | 73,427 | (155) | |||||
Statement of Assets and Liabilities location: | |||||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the | ||||||
2 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | |||||||||
Underlying | Futures | 1 | Forward | 2 | Total | ||||
Equity | 392,635 | - | 392,635 | ||||||
Foreign | - | (48,483) | (48,483) | ||||||
Total | 392,635 | (48,483) | 344,152 | ||||||
Change in unrealized appreciation (depreciation) | |||||||||
Underlying | Futures | 3 | Forward | 4 | Total | ||||
Equity | (105,232) | - | (105,232) | ||||||
Foreign | - | 1,431 | 1,431 | ||||||
Total | (105,232) | 1,431 | (103,801) | ||||||
Statement of Operations location: | |||||||||
1 | Net realized gain (loss) on futures. | ||||||||
2 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||
3 | Net unrealized appreciation (depreciation) on futures. | ||||||||
4 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 71,841 | - | |||
Forward contracts | 1,586 | (155) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 73,427 | (155) | |||
Derivatives not subject to | |||||
Master Agreements | (71,841) | - | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 1,586 | (155) |
48
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2018:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Goldman Sachs | 208 | (155) | - | 53 | ||
Standard | 1,378 | - | - | 1,378 | ||
Total | 1,586 | (155) | - | 1,431 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Goldman Sachs | (155) | 155 | - | - | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts | ||||||
† See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity futures | 11,643,945 | |
Forward contracts | 72,611 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $168,930,776, consisting of $194,835,868 gross unrealized appreciation and $25,905,092 gross unrealized depreciation.
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
49
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select
50
the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was at or below the Performance Group median for all periods and the fund’s performance was below the Performance Universe median for all periods. The Board considered the relative proximity of the fund’s performance to the Performance Group and/or Performance Universe median in certain periods when performance was below median. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that: the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the
51
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
mix of services provided by Dreyfus, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board expressed some concern with the fund’s performance and agreed to closely monitor performance.
· The Board concluded that the fee paid to Dreyfus continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of Dreyfus and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other
52
Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
53
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.
© 2018 MBSC Securities Corporation |
Dreyfus S&P 500 Index Fund
SEMIANNUAL REPORT |
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 | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus S&P 500 Index Fund produced a total return of 3.58%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 3.82% for the same period.2
U.S. equities advanced moderately during the reporting period amid improving economic prospects and reports of better-than-expected corporate earnings. 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. To pursue its goal, the fund generally is fully invested 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.
Positive Economic Trends in the Face of Rising Volatility
A positive economic backdrop supported U.S. equity markets in late 2017, including sustained GDP growth, robust labor markets, and higher growth forecasts from the Federal Reserve Board (the “Fed”) for 2018. Passage of tax reform legislation in December 2017 sparked additional market gains, driving the Index to new all-time highs in January 2018. Some of the more economically sensitive market segments, such as the information technology and financials sectors, led the market’s advance at the time.
Economic data in January 2018 indicated robust levels of consumer spending during the critical year-end shopping season, and long-awaited signs of wage growth began to appear. However, concerns about rising inflationary pressures and prospects for more aggressive interest-rate hikes by the Fed began to weigh on market sentiment. In March 2018, political rhetoric regarding potentially more protectionist U.S. trade policies took a toll on stocks of U.S. companies with substantial overseas exposure, including industrial firms and exporters. As a result, markets remained volatile through the remainder of the reporting period.
Consumer Discretionary Stocks Led the Market’s Rise
For the reporting period overall, consumer discretionary stocks posted the highest returns of the Index’s various market segments, supported primarily by gains in a small number of mega-cap growth stocks. Most notably, online retailer Amazon.com continued to surge as investors responded positively to its expansion into other industries, such as groceries and health care. Internet-based media company Netflix also posted impressive gains amid greater adoption of streaming technology by entertainment consumers. After enduring an extended period of
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
weakness, many specialty retailers rallied amid high levels of consumer confidence, robust employment trends, and the impact of tax reform legislation on spending.
The information technology sector continued to fare well over the reporting period, driven higher by software developers and technology service companies. However, investors appeared to become more selective in an industry group with rich valuations, favoring profitable companies with sustainable growth rates such as cloud computing specialists, payment processors, and IT consulting firms. The energy sector surged later in the reporting period when rising crude oil prices sparked increased production among large, integrated energy companies that had reduced costs and streamlined operations during the previous downturn.
Laggards for the reporting period included traditionally defensive market sectors whose dividend yields became less attractive to investors in a rising interest-rate environment. The consumer staples sector also was hurt by rising costs for food producers and online competition for some of the major retail chains, such as Walmart Inc., and tobacco companies struggled with declining smoking trends worldwide. The utilities sector was hurt by tax reform legislation that eliminated tax deferrals and reduced cash flows. The real estate sector encountered higher financing costs and softness among retail properties.
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 remain intact, supported by stimulative monetary and fiscal policies that have helped boost corporate earnings. However, the market’s currently constructive conditions could be undermined by unexpected political and economic developments as geopolitical tensions potentially escalate and monetary policymakers move away from the aggressively accommodative policies of the past decade. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2018
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended April 30, 2018 | |||||||||
Expenses paid per $1,000† |
| $2.52 | |||||||
Ending value (after expenses) |
| $1,035.80 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | |||||||||||||||
|
|
| |||||||||||||
Expenses paid per $1,000† |
| $2.51 | |||||||||||||
Ending value (after expenses) |
| $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% | |||||||
Automobiles & Components - .6% | |||||||
Aptiv | 30,183 | 2,552,878 | |||||
BorgWarner | 21,467 | 1,050,595 | |||||
Ford Motor | 432,375 | 4,859,895 | |||||
General Motors | 140,189 | 5,150,544 | |||||
Goodyear Tire & Rubber | 28,422 | 713,676 | |||||
Harley-Davidson | 18,837 | a | 774,766 | ||||
15,102,354 | |||||||
Banks - 6.5% | |||||||
Bank of America | 1,066,575 | 31,911,924 | |||||
BB&T | 86,555 | 4,570,104 | |||||
Citigroup | 286,335 | 19,548,090 | |||||
Citizens Financial Group | 54,814 | 2,274,233 | |||||
Comerica | 19,818 | 1,874,386 | |||||
Fifth Third Bancorp | 76,323 | 2,531,634 | |||||
Huntington Bancshares | 124,205 | 1,851,897 | |||||
JPMorgan Chase & Co. | 382,707 | 41,630,867 | |||||
KeyCorp | 116,821 | 2,327,074 | |||||
M&T Bank | 16,843 | 3,069,974 | |||||
People's United Financial | 39,507 | 722,583 | |||||
PNC Financial Services Group | 52,398 | 7,629,673 | |||||
Regions Financial | 126,827 | 2,371,665 | |||||
SunTrust Banks | 51,935 | 3,469,258 | |||||
SVB Financial Group | 5,955 | b | 1,784,178 | ||||
U.S. Bancorp | 175,146 | 8,836,116 | |||||
Wells Fargo & Co. | 489,264 | 25,422,157 | |||||
Zions Bancorporation | 22,878 | 1,252,570 | |||||
163,078,383 | |||||||
Capital Goods - 7.1% | |||||||
3M | 66,295 | 12,887,085 | |||||
A.O. Smith | 15,774 | 967,735 | |||||
Acuity Brands | 4,677 | a | 560,164 | ||||
Allegion | 10,615 | 819,266 | |||||
AMETEK | 25,031 | 1,747,164 | |||||
Arconic | 45,933 | 818,067 | |||||
Boeing | 61,631 | 20,557,636 | |||||
Caterpillar | 66,459 | 9,594,021 | |||||
Cummins | 17,161 | 2,743,357 | |||||
Deere & Co. | 36,483 | 4,937,244 | |||||
Dover | 17,209 | 1,595,274 | |||||
Eaton | 49,512 | 3,714,885 | |||||
Emerson Electric | 70,605 | 4,688,878 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 7.1% (continued) | |||||||
Fastenal | 32,344 | 1,616,877 | |||||
Flowserve | 15,538 | 690,043 | |||||
Fluor | 16,071 | 947,385 | |||||
Fortive | 34,673 | 2,437,859 | |||||
Fortune Brands Home & Security | 17,155 | 938,207 | |||||
General Dynamics | 30,655 | 6,171,158 | |||||
General Electric | 966,300 | 13,595,841 | |||||
Harris | 13,446 | 2,103,223 | |||||
Honeywell International | 84,027 | 12,157,026 | |||||
Huntington Ingalls Industries | 4,929 | 1,198,782 | |||||
Illinois Tool Works | 34,260 | 4,865,605 | |||||
Ingersoll-Rand | 27,551 | 2,311,253 | |||||
Jacobs Engineering Group | 13,017 | 756,158 | |||||
Johnson Controls International | 104,627 | 3,543,716 | |||||
L3 Technologies | 8,904 | 1,744,116 | |||||
Lockheed Martin | 27,850 | 8,935,394 | |||||
Masco | 35,755 | 1,354,042 | |||||
Northrop Grumman | 19,558 | 6,298,458 | |||||
PACCAR | 39,567 | 2,519,231 | |||||
Parker-Hannifin | 15,038 | 2,475,556 | |||||
Pentair | 18,686 | 1,257,194 | |||||
Quanta Services | 16,989 | b | 552,143 | ||||
Raytheon | 32,239 | 6,607,061 | |||||
Rockwell Automation | 14,492 | 2,384,369 | |||||
Rockwell Collins | 18,209 | 2,413,421 | |||||
Roper Technologies | 11,635 | 3,073,851 | |||||
Snap-on | 6,302 | 915,366 | |||||
Stanley Black & Decker | 17,298 | 2,449,224 | |||||
Textron | 29,599 | 1,839,282 | |||||
TransDigm Group | 5,467 | 1,752,556 | |||||
United Rentals | 9,326 | b | 1,398,900 | ||||
United Technologies | 82,721 | 9,938,928 | |||||
W.W. Grainger | 5,874 | a | 1,652,650 | ||||
Xylem | 20,320 | 1,481,328 | |||||
180,006,979 | |||||||
Commercial & Professional Services - .6% | |||||||
Cintas | 9,801 | 1,669,110 | |||||
Equifax | 13,369 | 1,497,996 | |||||
IHS Markit | 40,029 | b | 1,966,625 | ||||
Nielsen Holdings | 36,314 | a | 1,142,075 | ||||
Republic Services | 25,817 | 1,669,844 | |||||
Robert Half International | 13,717 | 833,308 | |||||
Stericycle | 9,929 | a,b | 582,932 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Commercial & Professional Services - .6% (continued) | |||||||
Verisk Analytics | 17,317 | b | 1,843,395 | ||||
Waste Management | 44,477 | 3,615,535 | |||||
14,820,820 | |||||||
Consumer Durables & Apparel - 1.2% | |||||||
D.R. Horton | 38,885 | 1,716,384 | |||||
Garmin | 13,214 | 775,265 | |||||
Hanesbrands | 39,011 | a | 720,533 | ||||
Hasbro | 13,028 | 1,147,637 | |||||
Leggett & Platt | 14,159 | 574,147 | |||||
Lennar, Cl. A | 30,920 | 1,635,359 | |||||
Mattel | 40,077 | a | 593,140 | ||||
Michael Kors Holdings | 16,460 | b | 1,126,193 | ||||
Mohawk Industries | 7,220 | b | 1,515,334 | ||||
Newell Brands | 52,913 | 1,461,986 | |||||
NIKE, Cl. B | 145,373 | 9,942,059 | |||||
PulteGroup | 29,581 | 898,079 | |||||
PVH | 8,729 | 1,393,759 | |||||
Ralph Lauren | 6,065 | 666,240 | |||||
Tapestry | 31,213 | 1,678,323 | |||||
Under Armour, Cl. A | 21,303 | a,b | 378,341 | ||||
Under Armour, Cl. C | 21,467 | a,b | 329,518 | ||||
VF | 36,916 | 2,985,397 | |||||
Whirlpool | 7,649 | 1,185,213 | |||||
30,722,907 | |||||||
Consumer Services - 1.9% | |||||||
Carnival | 45,086 | 2,843,123 | |||||
Chipotle Mexican Grill | 2,608 | a,b | 1,104,045 | ||||
Darden Restaurants | 14,089 | 1,308,305 | |||||
H&R Block | 24,433 | 675,572 | |||||
Hilton Worldwide Holdings | 31,808 | 2,507,743 | |||||
Marriott International, Cl. A | 33,240 | 4,543,243 | |||||
McDonald's | 89,121 | 14,922,420 | |||||
MGM Resorts International | 57,074 | 1,793,265 | |||||
Norwegian Cruise Line Holdings | 23,428 | b | 1,252,695 | ||||
Royal Caribbean Cruises | 18,921 | 2,047,063 | |||||
Starbucks | 156,798 | 9,026,861 | |||||
Wyndham Worldwide | 11,459 | 1,308,732 | |||||
Wynn Resorts | 9,213 | 1,715,368 | |||||
Yum! Brands | 36,784 | 3,203,886 | |||||
48,252,321 | |||||||
Diversified Financials - 5.6% | |||||||
Affiliated Managers Group | 5,853 | 964,926 | |||||
American Express | 80,655 | 7,964,681 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Diversified Financials - 5.6% (continued) | |||||||
Ameriprise Financial | 16,387 | 2,297,621 | |||||
Bank of New York Mellon | 112,005 | 6,105,393 | |||||
Berkshire Hathaway, Cl. B | 214,615 | b | 41,577,364 | ||||
BlackRock | 13,879 | 7,237,898 | |||||
Capital One Financial | 54,807 | 4,966,610 | |||||
Cboe Global Markets | 12,932 | 1,380,879 | |||||
Charles Schwab | 134,082 | 7,465,686 | |||||
CME Group | 37,770 | 5,955,574 | |||||
Discover Financial Services | 40,047 | 2,853,349 | |||||
E*TRADE Financial | 29,050 | b | 1,762,754 | ||||
Franklin Resources | 37,413 | 1,258,573 | |||||
Goldman Sachs Group | 39,291 | 9,364,224 | |||||
Intercontinental Exchange | 64,734 | 4,690,626 | |||||
Invesco | 44,600 | 1,292,062 | |||||
Leucadia National | 35,429 | 851,713 | |||||
Moody's | 18,467 | 2,995,347 | |||||
Morgan Stanley | 153,319 | 7,914,327 | |||||
MSCI | 10,122 | 1,516,579 | |||||
Nasdaq | 13,476 | 1,190,200 | |||||
Navient | 31,623 | 419,321 | |||||
Northern Trust | 23,898 | 2,551,111 | |||||
Raymond James Financial | 14,200 | 1,274,450 | |||||
S&P Global | 28,151 | 5,309,279 | |||||
State Street | 41,539 | 4,144,761 | |||||
Synchrony Financial | 80,661 | 2,675,525 | |||||
T. Rowe Price Group | 27,592 | 3,140,521 | |||||
141,121,354 | |||||||
Energy - 6.2% | |||||||
Anadarko Petroleum | 57,979 | 3,903,146 | |||||
Andeavor | 15,432 | 2,134,554 | |||||
Apache | 43,910 | a | 1,798,114 | ||||
Baker Hughes a GE | 46,790 | a | 1,689,587 | ||||
Cabot Oil & Gas | 51,267 | 1,225,794 | |||||
Chevron | 212,893 | 26,635,043 | |||||
Cimarex Energy | 10,606 | 1,066,858 | |||||
Concho Resources | 16,440 | b | 2,584,532 | ||||
ConocoPhillips | 130,523 | 8,549,256 | |||||
Devon Energy | 58,753 | 2,134,496 | |||||
EOG Resources | 64,960 | 7,676,323 | |||||
EQT | 28,197 | 1,415,207 | |||||
Exxon Mobil | 472,435 | 36,731,821 | |||||
Halliburton | 97,032 | 5,141,726 | |||||
Helmerich & Payne | 12,402 | 862,559 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Energy - 6.2% (continued) | |||||||
Hess | 29,670 | 1,690,893 | |||||
Kinder Morgan | 214,660 | 3,395,921 | |||||
Marathon Oil | 95,547 | 1,743,733 | |||||
Marathon Petroleum | 53,571 | 4,013,004 | |||||
National Oilwell Varco | 41,649 | 1,610,567 | |||||
Newfield Exploration | 23,900 | b | 712,220 | ||||
Noble Energy | 53,066 | 1,795,223 | |||||
Occidental Petroleum | 85,887 | 6,635,630 | |||||
ONEOK | 45,470 | 2,738,203 | |||||
Phillips 66 | 46,521 | 5,178,253 | |||||
Pioneer Natural Resources | 18,811 | 3,791,357 | |||||
Range Resources | 25,636 | a | 355,059 | ||||
Schlumberger | 153,924 | 10,553,029 | |||||
TechnipFMC | 48,634 | 1,602,977 | |||||
Valero Energy | 48,218 | 5,348,823 | |||||
Williams | 93,933 | 2,416,896 | |||||
157,130,804 | |||||||
Food & Staples Retailing - 1.7% | |||||||
Costco Wholesale | 49,176 | 9,695,540 | |||||
CVS Health | 112,667 | 7,867,537 | |||||
Kroger | 99,113 | 2,496,656 | |||||
Sysco | 54,182 | 3,388,542 | |||||
Walgreens Boots Alliance | 94,526 | 6,281,253 | |||||
Walmart | 162,260 | 14,353,520 | |||||
44,083,048 | |||||||
Food, Beverage & Tobacco - 4.0% | |||||||
Altria Group | 211,535 | 11,869,229 | |||||
Archer-Daniels-Midland | 63,512 | 2,882,175 | |||||
Brown-Forman, Cl. B | 29,753 | 1,667,358 | |||||
Campbell Soup | 21,187 | a | 864,006 | ||||
Coca-Cola | 429,476 | 18,557,658 | |||||
Conagra Brands | 43,870 | 1,626,261 | |||||
Constellation Brands, Cl. A | 19,208 | 4,477,961 | |||||
Dr Pepper Snapple Group | 20,372 | a | 2,443,825 | ||||
General Mills | 63,456 | 2,775,565 | |||||
Hershey | 16,083 | 1,478,671 | |||||
Hormel Foods | 29,896 | a | 1,083,730 | ||||
J.M. Smucker | 12,632 | a | 1,441,059 | ||||
Kellogg | 27,502 | 1,619,868 | |||||
Kraft Heinz | 67,459 | 3,803,338 | |||||
McCormick & Co. | 13,879 | a | 1,462,985 | ||||
Molson Coors Brewing, Cl. B | 20,701 | 1,474,739 | |||||
Mondelez International, Cl. A | 166,535 | 6,578,132 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Food, Beverage & Tobacco - 4.0% (continued) | |||||||
Monster Beverage | 45,609 | b | 2,508,495 | ||||
PepsiCo | 159,187 | 16,068,336 | |||||
Philip Morris International | 173,853 | 14,255,946 | |||||
Tyson Foods, Cl. A | 33,163 | 2,324,726 | |||||
101,264,063 | |||||||
Health Care Equipment & Services - 5.8% | |||||||
Abbott Laboratories | 193,651 | 11,256,933 | |||||
Aetna | 36,631 | 6,558,781 | |||||
Align Technology | 7,913 | b | 1,977,063 | ||||
AmerisourceBergen | 18,018 | 1,632,070 | |||||
Anthem | 28,378 | 6,696,924 | |||||
Baxter International | 54,916 | 3,816,662 | |||||
Becton Dickinson & Co. | 29,554 | 6,852,686 | |||||
Boston Scientific | 154,328 | b | 4,432,300 | ||||
Cardinal Health | 34,982 | 2,244,795 | |||||
Centene | 19,473 | b | 2,114,378 | ||||
Cerner | 35,062 | b | 2,042,361 | ||||
Cigna | 27,400 | 4,707,868 | |||||
Cooper | 5,360 | 1,225,886 | |||||
Danaher | 68,770 | 6,899,006 | |||||
DaVita | 15,680 | b | 984,547 | ||||
Dentsply Sirona | 25,855 | 1,301,541 | |||||
Edwards Lifesciences | 23,263 | b | 2,962,776 | ||||
Envision Healthcare | 13,919 | b | 517,369 | ||||
Express Scripts Holding | 63,221 | b | 4,785,830 | ||||
HCA Healthcare | 31,002 | 2,968,131 | |||||
Henry Schein | 17,517 | a,b | 1,331,292 | ||||
Hologic | 31,110 | b | 1,206,757 | ||||
Humana | 15,537 | 4,570,675 | |||||
IDEXX Laboratories | 9,921 | b | 1,929,535 | ||||
Intuitive Surgical | 12,447 | b | 5,486,389 | ||||
Laboratory Corporation of America Holdings | 11,322 | b | 1,933,231 | ||||
McKesson | 22,861 | 3,571,117 | |||||
Medtronic | 150,805 | 12,084,005 | |||||
Quest Diagnostics | 15,293 | 1,547,652 | |||||
ResMed | 15,620 | 1,478,277 | |||||
Stryker | 36,278 | 6,146,219 | |||||
UnitedHealth Group | 107,836 | 25,492,430 | |||||
Universal Health Services, Cl. B | 9,411 | 1,074,736 | |||||
Varian Medical Systems | 9,910 | b | 1,145,497 | ||||
Zimmer Biomet Holdings | 22,537 | 2,595,586 | |||||
147,571,305 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Household & Personal Products - 1.5% | |||||||
Church & Dwight | 26,445 | 1,221,759 | |||||
Clorox | 14,271 | 1,672,561 | |||||
Colgate-Palmolive | 98,409 | 6,419,219 | |||||
Coty, Cl. A | 51,012 | 885,058 | |||||
Estee Lauder, Cl. A | 25,017 | 3,704,768 | |||||
Kimberly-Clark | 39,573 | 4,097,388 | |||||
Procter & Gamble | 280,896 | 20,320,017 | |||||
38,320,770 | |||||||
Insurance - 2.6% | |||||||
Aflac | 86,179 | 3,927,177 | |||||
Allstate | 39,188 | 3,833,370 | |||||
American International Group | 100,441 | 5,624,696 | |||||
Aon | 27,359 | 3,897,837 | |||||
Arthur J. Gallagher & Co. | 19,794 | 1,385,382 | |||||
Assurant | 5,907 | 548,288 | |||||
Brighthouse Financial | 11,559 | 586,966 | |||||
Chubb | 52,184 | 7,079,803 | |||||
Cincinnati Financial | 16,341 | 1,149,426 | |||||
Everest Re Group | 4,396 | 1,022,817 | |||||
Hartford Financial Services Group | 39,835 | 2,144,716 | |||||
Lincoln National | 23,903 | 1,688,508 | |||||
Loews | 30,111 | 1,579,623 | |||||
Marsh & McLennan Cos. | 57,202 | 4,661,963 | |||||
MetLife | 115,511 | 5,506,409 | |||||
Principal Financial Group | 30,379 | 1,799,044 | |||||
Progressive | 65,632 | 3,956,953 | |||||
Prudential Financial | 47,543 | 5,054,772 | |||||
Torchmark | 11,697 | 1,014,598 | |||||
Travelers | 30,510 | 4,015,116 | |||||
Unum Group | 24,840 | 1,201,759 | |||||
Willis Towers Watson | 14,954 | 2,220,819 | |||||
XL Group | 27,991 | 1,556,020 | |||||
65,456,062 | |||||||
Materials - 2.8% | |||||||
Air Products & Chemicals | 24,667 | 4,003,207 | |||||
Albemarle | 11,670 | 1,131,523 | |||||
Avery Dennison | 9,953 | 1,043,174 | |||||
Ball | 40,065 | a | 1,606,206 | ||||
CF Industries Holdings | 26,247 | 1,018,384 | |||||
DowDuPont | 261,883 | 16,561,481 | |||||
Eastman Chemical | 15,826 | 1,615,518 | |||||
Ecolab | 29,202 | 4,227,574 | |||||
FMC | 15,286 | 1,218,753 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Materials - 2.8% (continued) | |||||||
Freeport-McMoRan | 151,500 | 2,304,315 | |||||
International Flavors & Fragrances | 8,973 | 1,267,526 | |||||
International Paper | 46,282 | 2,386,300 | |||||
LyondellBasell Industries, Cl. A | 36,193 | 3,826,686 | |||||
Martin Marietta Materials | 6,975 | 1,358,521 | |||||
Monsanto | 49,330 | 6,184,502 | |||||
Mosaic | 38,250 | 1,030,838 | |||||
Newmont Mining | 58,654 | 2,304,516 | |||||
Nucor | 35,730 | 2,201,683 | |||||
Packaging Corporation of America | 10,048 | 1,162,453 | |||||
PPG Industries | 28,599 | 3,028,062 | |||||
Praxair | 31,802 | 4,850,441 | |||||
Sealed Air | 19,839 | 869,940 | |||||
Sherwin-Williams | 9,140 | 3,360,412 | |||||
Vulcan Materials | 14,614 | 1,632,238 | |||||
WestRock | 28,032 | 1,658,373 | |||||
71,852,626 | |||||||
Media - 2.5% | |||||||
CBS, Cl. B | 39,006 | 1,919,095 | |||||
Charter Communications, Cl. A | 20,645 | b | 5,600,782 | ||||
Comcast, Cl. A | 516,214 | 16,203,957 | |||||
Discovery, Cl. A | 19,268 | a,b | 455,688 | ||||
Discovery, Cl. C | 37,957 | b | 843,405 | ||||
DISH Network, Cl. A | 24,526 | b | 822,847 | ||||
Interpublic Group of Companies | 42,773 | 1,009,015 | |||||
News Corp., Cl. A | 45,717 | 730,558 | |||||
News Corp., Cl. B | 12,163 | 197,649 | |||||
Omnicom Group | 26,248 | a | 1,933,428 | ||||
Time Warner | 87,571 | 8,301,731 | |||||
Twenty-First Century Fox, Cl. A | 118,028 | 4,315,104 | |||||
Twenty-First Century Fox, Cl. B | 49,447 | 1,783,553 | |||||
Viacom, Cl. B | 40,018 | 1,206,943 | |||||
Walt Disney | 168,165 | 16,871,994 | |||||
62,195,749 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 7.9% | |||||||
AbbVie | 178,272 | 17,212,162 | |||||
Agilent Technologies | 35,542 | 2,336,531 | |||||
Alexion Pharmaceuticals | 25,150 | b | 2,958,394 | ||||
Allergan | 37,164 | 5,710,249 | |||||
Amgen | 74,909 | 13,070,122 | |||||
Biogen | 23,757 | b | 6,499,915 | ||||
Bristol-Myers Squibb | 182,361 | 9,506,479 | |||||
Celgene | 83,880 | b | 7,305,948 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 7.9% (continued) | |||||||
Eli Lilly & Co. | 107,582 | 8,721,673 | |||||
Gilead Sciences | 145,723 | 10,525,572 | |||||
Illumina | 16,434 | b | 3,959,444 | ||||
Incyte | 20,058 | b | 1,242,393 | ||||
IQVIA Holdings | 16,588 | b | 1,588,467 | ||||
Johnson & Johnson | 299,150 | 37,839,483 | |||||
Merck & Co. | 301,766 | 17,764,964 | |||||
Mettler-Toledo International | 2,858 | b | 1,600,280 | ||||
Mylan | 56,756 | b | 2,199,863 | ||||
Nektar Therapeutics | 17,952 | b | 1,501,864 | ||||
PerkinElmer | 12,319 | 903,722 | |||||
Perrigo | 14,486 | 1,131,936 | |||||
Pfizer | 663,382 | 24,286,415 | |||||
Regeneron Pharmaceuticals | 8,623 | b | 2,618,633 | ||||
Thermo Fisher Scientific | 44,673 | 9,396,966 | |||||
Vertex Pharmaceuticals | 28,115 | b | 4,306,093 | ||||
Waters | 8,532 | b | 1,607,514 | ||||
Zoetis | 54,343 | 4,536,554 | |||||
200,331,636 | |||||||
Real Estate - 2.7% | |||||||
Alexandria Real Estate Equities | 10,835 | c | 1,349,716 | ||||
American Tower | 48,943 | c | 6,673,867 | ||||
Apartment Investment & Management, Cl. A | 17,380 | c | 705,628 | ||||
AvalonBay Communities | 15,711 | c | 2,560,893 | ||||
Boston Properties | 16,985 | c | 2,062,149 | ||||
CBRE Group, Cl. A | 34,388 | b,c | 1,558,120 | ||||
Crown Castle International | 46,130 | c | 4,653,133 | ||||
Digital Realty Trust | 22,574 | c | 2,385,846 | ||||
Duke Realty | 41,816 | c | 1,133,214 | ||||
Equinix | 8,740 | c | 3,677,705 | ||||
Equity Residential | 41,329 | c | 2,550,413 | ||||
Essex Property Trust | 7,439 | c | 1,783,054 | ||||
Extra Space Storage | 13,692 | c | 1,226,666 | ||||
Federal Realty Investment Trust | 8,298 | c | 961,323 | ||||
GGP | 69,648 | c | 1,392,264 | ||||
HCP | 53,648 | c | 1,253,217 | ||||
Host Hotels & Resorts | 79,872 | c | 1,562,296 | ||||
Iron Mountain | 31,688 | c | 1,075,491 | ||||
Kimco Realty | 50,808 | c | 737,224 | ||||
Macerich | 12,911 | a,c | 743,932 | ||||
Mid-America Apartment Communities | 12,386 | c | 1,132,824 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Real Estate - 2.7% (continued) | |||||||
Prologis | 59,712 | c | 3,875,906 | ||||
Public Storage | 16,540 | c | 3,337,441 | ||||
Realty Income | 31,015 | c | 1,566,568 | ||||
Regency Centers | 17,306 | c | 1,018,458 | ||||
SBA Communications | 13,071 | b,c | 2,094,366 | ||||
Simon Property Group | 34,630 | c | 5,414,054 | ||||
SL Green Realty | 9,724 | a,c | 950,424 | ||||
UDR | 31,345 | c | 1,133,122 | ||||
Ventas | 39,268 | c | 2,019,161 | ||||
Vornado Realty Trust | 18,673 | c | 1,270,324 | ||||
Welltower | 41,235 | c | 2,203,598 | ||||
Weyerhaeuser | 84,421 | c | 3,105,004 | ||||
69,167,401 | |||||||
Retailing - 6.7% | |||||||
Advance Auto Parts | 8,019 | 917,775 | |||||
Amazon.com | 44,819 | b | 70,192,380 | ||||
AutoZone | 2,992 | b | 1,868,564 | ||||
Best Buy | 28,184 | a | 2,156,922 | ||||
Booking Holdings | 5,426 | b | 11,817,828 | ||||
CarMax | 20,306 | a,b | 1,269,125 | ||||
Dollar General | 29,226 | 2,821,186 | |||||
Dollar Tree | 26,993 | b | 2,588,359 | ||||
Expedia | 13,708 | 1,578,339 | |||||
Foot Locker | 12,567 | 541,386 | |||||
Gap | 24,620 | 719,889 | |||||
Genuine Parts | 16,470 | 1,454,630 | |||||
Home Depot | 130,120 | 24,046,176 | |||||
Kohl's | 18,603 | 1,155,618 | |||||
L Brands | 27,999 | 977,445 | |||||
LKQ | 34,275 | b | 1,063,210 | ||||
Lowe's | 92,869 | 7,655,192 | |||||
Macy's | 33,551 | a | 1,042,430 | ||||
Netflix | 48,315 | b | 15,096,505 | ||||
Nordstrom | 13,365 | a | 675,734 | ||||
O'Reilly Automotive | 9,215 | b | 2,359,685 | ||||
Ross Stores | 43,078 | 3,482,856 | |||||
Target | 61,329 | 4,452,485 | |||||
The TJX Companies | 70,574 | 5,988,204 | |||||
Tiffany & Co. | 11,154 | 1,146,966 | |||||
Tractor Supply | 14,174 | 963,832 | |||||
TripAdvisor | 10,885 | a,b | 407,317 | ||||
Ulta Beauty | 6,270 | b | 1,573,206 | ||||
170,013,244 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Semiconductors & Semiconductor Equipment - 4.0% | |||||||
Advanced Micro Devices | 93,305 | a,b | 1,015,158 | ||||
Analog Devices | 41,756 | 3,647,387 | |||||
Applied Materials | 117,285 | 5,825,546 | |||||
Broadcom | 45,852 | 10,519,366 | |||||
Intel | 521,631 | 26,926,592 | |||||
KLA-Tencor | 17,840 | 1,815,042 | |||||
Lam Research | 18,141 | 3,357,173 | |||||
Microchip Technology | 25,630 | a | 2,144,206 | ||||
Micron Technology | 129,509 | b | 5,954,824 | ||||
NVIDIA | 67,369 | 15,151,288 | |||||
Qorvo | 14,342 | b | 966,651 | ||||
QUALCOMM | 165,668 | 8,450,725 | |||||
Skyworks Solutions | 20,473 | 1,776,237 | |||||
Texas Instruments | 109,898 | 11,146,954 | |||||
Xilinx | 27,930 | 1,794,223 | |||||
100,491,372 | |||||||
Software & Services - 14.9% | |||||||
Accenture, Cl. A | 68,585 | 10,370,052 | |||||
Activision Blizzard | 84,904 | 5,633,380 | |||||
Adobe Systems | 54,929 | b | 12,172,266 | ||||
Akamai Technologies | 18,540 | b | 1,328,391 | ||||
Alliance Data Systems | 5,320 | 1,080,226 | |||||
Alphabet, Cl. A | 33,279 | b | 33,897,324 | ||||
Alphabet, Cl. C | 33,933 | b | 34,521,059 | ||||
ANSYS | 9,373 | b | 1,515,239 | ||||
Autodesk | 24,477 | b | 3,081,654 | ||||
Automatic Data Processing | 49,561 | 5,852,163 | |||||
CA | 34,367 | 1,195,972 | |||||
Cadence Design Systems | 32,959 | b | 1,320,338 | ||||
Citrix Systems | 14,029 | b | 1,443,724 | ||||
Cognizant Technology Solutions, Cl. A | 66,155 | 5,412,802 | |||||
DXC Technology | 31,493 | 3,245,669 | |||||
eBay | 106,231 | b | 4,024,030 | ||||
Electronic Arts | 33,937 | b | 4,003,887 | ||||
Facebook, Cl. A | 267,177 | b | 45,954,444 | ||||
Fidelity National Information Services | 36,725 | 3,487,773 | |||||
Fiserv | 46,556 | b | 3,298,958 | ||||
Gartner | 9,579 | a,b | 1,161,837 | ||||
Global Payments | 17,505 | 1,978,940 | |||||
International Business Machines | 95,384 | 13,826,865 | |||||
Intuit | 27,398 | 5,062,876 | |||||
Mastercard, Cl. A | 102,823 | 18,330,256 | |||||
Microsoft | 858,950 | 80,329,004 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Software & Services - 14.9% (continued) | |||||||
Oracle | 337,884 | 15,431,162 | |||||
Paychex | 34,950 | 2,116,921 | |||||
PayPal Holdings | 125,444 | b | 9,359,377 | ||||
Red Hat | 20,049 | b | 3,269,190 | ||||
salesforce.com | 76,287 | b | 9,229,964 | ||||
Symantec | 68,071 | 1,891,693 | |||||
Synopsys | 16,509 | b | 1,411,685 | ||||
Take-Two Interactive Software | 12,882 | b | 1,284,464 | ||||
Total System Services | 18,600 | 1,563,516 | |||||
VeriSign | 9,678 | a,b | 1,136,391 | ||||
Visa, Cl. A | 200,886 | a | 25,488,416 | ||||
Western Union | 52,172 | 1,030,397 | |||||
376,742,305 | |||||||
Technology Hardware & Equipment - 5.8% | |||||||
Amphenol, Cl. A | 34,403 | 2,879,875 | |||||
Apple | 566,078 | 93,550,050 | |||||
Cisco Systems | 536,831 | 23,776,245 | |||||
Corning | 98,212 | 2,653,688 | |||||
F5 Networks | 6,744 | b | 1,099,879 | ||||
FLIR Systems | 14,810 | 793,076 | |||||
Hewlett Packard Enterprise | 173,595 | 2,959,795 | |||||
HP | 181,773 | 3,906,302 | |||||
IPG Photonics | 4,237 | b | 902,608 | ||||
Juniper Networks | 38,919 | 957,018 | |||||
Motorola Solutions | 17,941 | 1,970,460 | |||||
NetApp | 29,966 | 1,995,136 | |||||
Seagate Technology | 31,977 | 1,851,149 | |||||
TE Connectivity | 39,624 | 3,635,502 | |||||
Western Digital | 32,979 | 2,598,415 | |||||
Xerox | 22,937 | 721,369 | |||||
146,250,567 | |||||||
Telecommunication Services - 1.9% | |||||||
AT&T | 684,234 | 22,374,452 | |||||
CenturyLink | 108,660 | 2,018,903 | |||||
Verizon Communications | 459,951 | 22,698,582 | |||||
47,091,937 | |||||||
Transportation - 2.2% | |||||||
Alaska Air Group | 13,177 | 855,583 | |||||
American Airlines Group | 47,648 | a | 2,045,529 | ||||
C.H. Robinson Worldwide | 15,753 | a | 1,449,749 | ||||
CSX | 98,977 | 5,878,244 | |||||
Delta Air Lines | 72,566 | 3,789,397 | |||||
Expeditors International of Washington | 19,153 | 1,223,111 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Transportation - 2.2% (continued) | |||||||
FedEx | 27,646 | 6,834,091 | |||||
J.B. Hunt Transport Services | 9,985 | 1,172,539 | |||||
Kansas City Southern | 11,660 | 1,243,306 | |||||
Norfolk Southern | 31,560 | 4,527,913 | |||||
Southwest Airlines | 59,717 | 3,154,849 | |||||
Union Pacific | 87,585 | 11,703,984 | |||||
United Continental Holdings | 26,467 | b | 1,787,581 | ||||
United Parcel Service, Cl. B | 77,278 | 8,771,053 | |||||
54,436,929 | |||||||
Utilities - 2.9% | |||||||
AES | 73,807 | 903,398 | |||||
Alliant Energy | 24,947 | 1,071,474 | |||||
Ameren | 27,680 | 1,622,602 | |||||
American Electric Power | 54,585 | 3,819,858 | |||||
American Water Works | 20,351 | 1,761,990 | |||||
CenterPoint Energy | 49,090 | 1,243,450 | |||||
CMS Energy | 30,884 | 1,457,416 | |||||
Consolidated Edison | 34,928 | 2,798,781 | |||||
Dominion Energy | 73,411 | 4,886,236 | |||||
DTE Energy | 19,682 | 2,074,483 | |||||
Duke Energy | 78,226 | 6,270,596 | |||||
Edison International | 36,485 | 2,390,497 | |||||
Entergy | 19,397 | 1,582,601 | |||||
Eversource Energy | 35,471 | 2,137,128 | |||||
Exelon | 106,948 | 4,243,697 | |||||
FirstEnergy | 50,410 | 1,734,104 | |||||
NextEra Energy | 52,489 | 8,603,472 | |||||
NiSource | 39,584 | a | 965,454 | ||||
NRG Energy | 34,886 | 1,081,466 | |||||
PG&E | 56,649 | 2,611,519 | |||||
Pinnacle West Capital | 12,589 | 1,013,415 | |||||
PPL | 78,532 | 2,285,281 | |||||
Public Service Enterprise Group | 56,074 | 2,924,259 | |||||
SCANA | 17,334 | 637,371 | |||||
Sempra Energy | 28,317 | a | 3,165,841 | ||||
Southern | 111,699 | 5,151,558 | |||||
WEC Energy Group | 34,834 | 2,239,130 | |||||
Xcel Energy | 56,105 | 2,627,958 | |||||
73,305,035 | |||||||
Total Common Stocks (cost $744,948,532) | 2,518,809,971 |
18
Description | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills | |||||||
1.63%, 6/7/18 | 665,000 | d,e | 663,883 | ||||
Current | Shares | ||||||
Other Investment - .4% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 9,828,026 | f | 9,828,026 | |||
Investment of Cash Collateral for Securities Loaned - .1% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 1.67 | 2,483,702 | f | 2,483,702 | |||
Total Investments (cost $757,924,143) | 100.1% | 2,531,785,582 | |||||
Liabilities, Less Cash and Receivables | (.1%) | (2,083,608) | |||||
Net Assets | 100.0% | 2,529,701,974 |
aSecurity, or portion thereof, on loan. At April 30, 2018, the value of the fund’s securities on loan was $62,906,175 and the value of the collateral held by the fund was $64,292,757, consisting of cash collateral of $2,483,702 and U.S. Government & Agency securities valued at $61,809,055.
bNon-income producing security.
cInvestment in real estate investment trust.
dHeld by a counterparty for open exchange traded derivative contracts.
eSecurity is a discount security. Income is recognized through the accretion of discount.
fInvestment in affiliated money market mutual fund.
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Software & Services | 14.9 |
Pharmaceuticals, Biotechnology & Life Sciences | 7.9 |
Capital Goods | 7.1 |
Retailing | 6.7 |
Banks | 6.5 |
Energy | 6.2 |
Health Care Equipment & Services | 5.8 |
Technology Hardware & Equipment | 5.8 |
Diversified Financials | 5.6 |
Food, Beverage & Tobacco | 4.0 |
Semiconductors & Semiconductor Equipment | 4.0 |
Utilities | 2.9 |
Materials | 2.8 |
Real Estate | 2.7 |
Insurance | 2.6 |
Media | 2.5 |
Transportation | 2.2 |
Consumer Services | 1.9 |
Telecommunication Services | 1.9 |
Food & Staples Retailing | 1.7 |
Household & Personal Products | 1.5 |
Consumer Durables & Apparel | 1.2 |
Automobiles & Components | .6 |
Commercial & Professional Services | .6 |
Short-Term/Money Market Investments | .5 |
100.1 |
† Based on net assets.
See notes to financial statements.
20
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Companies | Value | Purchases($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 11,760,856 | 35,928,555 | 45,205,709 | 2,483,702 | .1 | – |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 12,605,928 | 168,870,672 | 171,648,574 | 9,828,026 | .4 | 72,766 |
Total | 24,366,784 | 204,799,227 | 216,854,283 | 12,311,728 | .5 | 72,766 |
See notes to financial statements.
21
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 94 | 6/2018 | 12,715,652 | 12,440,900 | (274,752) | |
Gross Unrealized Depreciation | (274,752) |
See notes to financial statements.
22
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
| ||||
|
|
| Cost |
| Value |
| ||||
Assets ($): |
|
|
|
| ||||||
Investments in securities—See Statement of Investments |
|
|
| |||||||
Unaffiliated issuers | 745,612,415 |
| 2,519,473,854 |
| ||||||
Affiliated issuers |
| 12,311,728 |
| 12,311,728 |
| |||||
Cash |
|
|
|
| 2,277,264 |
| ||||
Dividends and securities lending income receivable |
| 2,215,480 |
| |||||||
Receivable for shares of Common Stock subscribed |
| 194,578 |
| |||||||
Other assets |
|
|
|
| 66,731 |
| ||||
|
|
|
|
| 2,536,539,635 |
| ||||
Liabilities ($): |
|
|
|
| ||||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 1,032,776 |
| ||||
Payable for shares of Common Stock redeemed |
| 3,144,742 |
| |||||||
Liability for securities on loan—Note 1(b) |
| 2,483,702 |
| |||||||
Payable for futures variation margin—Note 4 |
| 114,680 |
| |||||||
Payable for investment securities purchased |
| 55,750 |
| |||||||
Interest payable—Note 2 |
| 1,747 |
| |||||||
Accrued expenses |
|
|
|
| 4,264 |
| ||||
|
|
|
|
| 6,837,661 |
| ||||
Net Assets ($) |
|
| 2,529,701,974 |
| ||||||
Composition of Net Assets ($): |
|
|
|
| ||||||
Paid-in capital |
|
|
|
| 637,680,699 |
| ||||
Accumulated undistributed investment income—net |
| 10,540,471 |
| |||||||
Accumulated net realized gain (loss) on investments |
|
|
|
| 107,894,117 |
| ||||
Accumulated net unrealized appreciation (depreciation) |
|
|
| 1,773,586,687 |
| |||||
Net Assets ($) |
|
| 2,529,701,974 |
| ||||||
Shares Outstanding |
|
| ||||||||
(200 million shares of $.001 par value Common Stock authorized) | 47,065,557 |
| ||||||||
Net Asset Value Per Share ($) |
| 53.75 |
| |||||||
See notes to financial statements. |
23
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends: |
| |||||
Unaffiliated issuers |
|
| 24,887,481 |
| ||
Affiliated issuers |
|
| 72,766 |
| ||
Income from securities lending—Note 1(b) |
|
| 49,355 |
| ||
Interest |
|
| 5,389 |
| ||
Total Income |
|
| 25,014,991 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 3,306,814 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 3,306,814 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 112,261 |
| ||
Loan commitment fees—Note 2 |
|
| 28,493 |
| ||
Interest expense—Note 2 |
|
| 8,299 |
| ||
Total Expenses |
|
| 6,762,681 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (112,261) |
| ||
Net Expenses |
|
| 6,650,420 |
| ||
Investment Income—Net |
|
| 18,364,571 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 141,948,640 |
| ||||
Net realized gain (loss) on futures | 1,857,251 |
| ||||
Net Realized Gain (Loss) |
|
| 143,805,891 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (63,768,964) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (371,909) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (64,140,873) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 79,665,018 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 98,029,589 |
| |||
See notes to financial statements. |
24
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 18,364,571 |
|
|
| 40,072,150 |
| |
Net realized gain (loss) on investments |
| 143,805,891 |
|
|
| 192,182,977 |
| ||
Net unrealized appreciation (depreciation) |
| (64,140,873) |
|
|
| 309,601,974 |
| ||
Net Increase (Decrease) in Net Assets | 98,029,589 |
|
|
| 541,857,101 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net |
|
| (39,804,584) |
|
|
| (43,501,163) |
| |
Net realized gain on investments |
|
| (189,589,582) |
|
|
| (211,029,813) |
| |
Total Distributions |
|
| (229,394,166) |
|
|
| (254,530,976) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 217,335,220 |
|
|
| 414,809,180 |
| |
Distributions reinvested |
|
| 224,832,392 |
|
|
| 249,887,372 |
| |
Cost of shares redeemed |
|
| (442,382,746) |
|
|
| (769,466,150) |
| |
Increase (Decrease) in Net Assets | (215,134) |
|
|
| (104,769,598) |
| |||
Total Increase (Decrease) in Net Assets | (131,579,711) |
|
|
| 182,556,527 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,661,281,685 |
|
|
| 2,478,725,158 |
| |
End of Period |
|
| 2,529,701,974 |
|
|
| 2,661,281,685 |
| |
Undistributed investment income—net | 10,540,471 |
|
|
| 31,980,484 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 3,895,572 |
|
|
| 7,917,756 |
| |
Shares issued for distributions reinvested |
|
| 4,146,551 |
|
|
| 5,108,846 |
| |
Shares redeemed |
|
| (7,945,212) |
|
|
| (14,622,407) |
| |
Net Increase (Decrease) in Shares Outstanding | 96,911 |
|
|
| (1,595,805) |
| |||
See notes to financial statements. |
25
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | Year Ended October 31, | ||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||
Per Share Data ($): | |||||||||
Net asset value, | 56.66 | 51.04 | 52.88 | 54.00 | 47.94 | 39.13 | |||
Investment Operations: | |||||||||
Investment income—neta | .38 | .80 | .84 | .83 | .77 | .75 | |||
Net realized and unrealized gain | 1.68 | 10.12 | 1.11 | 1.68 | 7.05 | 9.32 | |||
Total from Investment Operations | 2.06 | 10.92 | 1.95 | 2.51 | 7.82 | 10.07 | |||
Distributions: | |||||||||
Dividends from investment | (.86) | (.91) | (.87) | (.83) | (.74) | (.71) | |||
Dividends from net realized gain | (4.11) | (4.39) | (2.92) | (2.80) | (1.02) | (.55) | |||
Total Distributions | (4.97) | (5.30) | (3.79) | (3.63) | (1.76) | (1.26) | |||
Net asset value, end of period | 53.75 | 56.66 | 51.04 | 52.88 | 54.00 | 47.94 | |||
Total Return (%) | 3.58b | 23.03 | 3.95 | 4.70 | 16.71 | 26.56 | |||
Ratios/Supplemental Data (%): | |||||||||
Ratio of total expenses to | .51c | .51 | .51 | .51 | .51 | .51 | |||
Ratio of net expenses to | .50c | .50 | .50 | .50 | .50 | .50 | |||
Ratio of net investment | 1.39c | 1.52 | 1.68 | 1.59 | 1.54 | 1.75 | |||
Portfolio Turnover Rate | .81b | 2.88 | 4.25 | 3.72 | 3.56 | 2.92 | |||
Net Assets, end of period | 2,529,702 | 2,661,282 | 2,478,725 | 2,771,235 | 2,894,071 | 2,755,400 |
a Based on average shares outstanding.
b Not annualized
c Annualized
See notes to financial statements.
26
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the 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).
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
28
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 such securities 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 April 30, 2018 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† | 2,511,893,357 | - | - | 2,511,893,357 |
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) (continued) | ||||
Equity Securities—Foreign Common Stocks† | 6,916,614 | - | - | 6,916,614 |
Registered Investment Companies | 12,311,728 | - | - | 12,311,728 |
U.S. Treasury | - | 663,883 | - | 663,883 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (274,752) | - | - | (274,752) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized (depreciation) at period end.
At April 30, 2018, 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
30
benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2018, The Bank of New York Mellon earned $8,958 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 April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: ordinary income $45,178,724 and long-term capital gains $209,352,252. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2018 was approximately $663,000 with a related weighted average annualized interest rate of 2.52%.
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 April 30, 2018, fees reimbursed by Dreyfus amounted to $112,261.
(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 Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2018, the fund was charged $3,306,814 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 $524,624 and Shareholder Services Plan fees $524,624, which are offset against an expense reimbursement currently in effect in the amount of $16,472.
32
(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 April 30, 2018, amounted to $21,544,284 and $234,094,570, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2018 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity futures | 15,306,069 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $1,773,586,687, consisting of $1,796,006,409 gross unrealized appreciation and $22,419,722 gross unrealized depreciation.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”)
The State Law Cases: The Tribune LBO was executed in two-steps - a voluntary tender offer in June 2007, and a mandatory go-private merger in December 2007. In 2008, approximately one year after the LBO was concluded, Tribune filed for bankruptcy protection under Chapter 11 of the Bankruptcy Code (the “Code”). Beginning in June 2011, Tribune creditors filed complaints in various courts throughout the country, which alleged 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 (collectively, “the state law cases”). The state law cases were consolidated for pre-trial proceedings in the United States District Court for the Southern District of New York, in a case styled In re Tribune Company Fraudulent Conveyance Litigation (S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (RJS) (“Tribune MDL”)). On November 6, 2012, the defendants filed a motion to dismiss most of the cases in the Tribune MDL. On September 23, 2013, the Court dismissed 50 cases, including at least one case in which the fund was a defendant. On September 30, 2013, plaintiffs appealed the District Court’s decision to the U.S. Court of Appeals for the Second Circuit. On March 29, 2016, the Second Circuit affirmed the dismissal on the ground that the plaintiffs’ claims were preempted by section 546(e) of the Code, which exempts qualified transfers that were made “… by or to (or for the benefit of),” among other specified entities, “a financial institution …” On September 9, 2016, Plaintiffs filed a petition for certiorari to the U.S. Supreme Court.
During the pendency of the plaintiffs’ cert. petition, the Supreme Court agreed to hear the appeal of Merit Management Group, LP v. FTI Consulting, Inc. (“Merit Mgmt.”), a Seventh Circuit case that concerned the scope of Section 546(e) of the Code. In contrast to the Second Circuit, the Seventh Circuit had held that Section 546(e) does not exempt qualified transfers from avoidance that passed through “financial institutions.”
On February 27, 2018, the Supreme Court affirmed the Seventh Circuit’s decision. Noting that “the parties … d[id] not contend that either the
34
debtor or petitioner … qualified as a ‘financial institution,’” the Court declined to address the effect that such an assertion would have had on the application Section 546(e). While the Merit Mgmt. decision likely will make it more difficult for some defendants to assert a defense under Section 546(e), the decision appears to be less consequential for registered investment company defendants, such as the Dreyfus Fund defendants, which are specifically defined as “financial institutions” under Section 101(22)(B) of the Code.
On April 3, 2018, Justices Kennedy and Thomas issued a Statement stating that “consideration of [the petition for certiorari filed by the Tribune plaintiffs] will be deferred for an additional period of time” to allow the Second Circuit or the District Court to consider whether to vacate the earlier judgment or provide other relief in light of Merit Mgmt. On April 10, 2018, the plaintiffs/appellants moved the Second Circuit to recall its mandate, vacate its decision, and remand the case to the district court for further proceedings. The defendants’ filed an opposition brief on April 20, 2018; plaintiffs/appellants filed their reply on April 27, 2018. On May 15, 2018, the Second Circuit issued an Order stating that “the mandate in this case is recalled in anticipation of further panel review.” As of June 6, 2018, there has been no subsequent activity in the state law cases.
The FitzSimons Litigation: On November 1, 2010, a case styled The Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, et al., Adv. Pro. No-10-54010(KJC) was filed in the United States Bankruptcy Court for the District of Delaware. (“the FitzSimons Litigation”). The case was subsequently transferred to the Tribune MDL. Count One of the multi-count Complaint sought recovery of alleged “fraudulent conveyances” from more than 5,000 Tribune shareholders (“Shareholder Defendants”), including the fund, that participated in the Tribune LBO. On January 10, 2013, Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust, became the successor plaintiff to the Creditors Committee. 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, which did not change the legal basis of the claims against the Shareholder Defendants. On May 23, 2014, the defendants filed a motion to dismiss Count One against the Shareholder Defendants, which the Court granted on January 9, 2017. The plaintiff then sought leave to file an interlocutory appeal. On February 23, 2017, the Court entered an order stating that it would permit the plaintiff to file an interlocutory appeal after the Court decided other pending motions. As of June 6, 2018, those other motions are still pending.
35
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
36
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was below the Performance Group and Performance Universe medians for all periods, except for the ten-year period when it was above the Performance Group median. The Board considered the relative proximity of the fund’s performance to the Performance Group and/or Performance Universe median in the periods when performance was below median (no more than 16 basis points, and in several periods just a few basis points, below median). Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that: the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by Dreyfus, including the nature, extent and quality of such
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board was somewhat concerned with the fund’s performance and agreed to closely monitor performance.
· The Board concluded that the fee paid to Dreyfus continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of Dreyfus and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements
38
may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
39
NOTES
40
NOTES
41
Dreyfus S&P 500 Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbol: | PEOPX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, 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.
© 2018 MBSC Securities Corporation |
Dreyfus Smallcap Stock Index Fund
SEMIANNUAL REPORT |
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 | |
the Fund’s Management Agreement |
FOR MORE IN FORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus Smallcap Stock Index Fund’s Class I shares produced a total return of 4.52%, and its Investor shares returned 4.35%.1 In comparison, the S&P SmallCap 600® Index (the “Index”), the fund’s benchmark, produced a 4.63% total return for the same period.2,3
Small-cap stocks advanced during the reporting period amid improving economic prospects and reports of better-than-expected corporate earnings. 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. To pursue its goal, the fund generally is fully invested in all of the stocks that comprise the Index and in futures whose performance is tied to the Index. The fund generally invests in all 600 stocks in the Index in proportion to their weighting in the Index; however, at times, the fund may invest in a representative sample of stocks included in the Index and in futures whose performance is tied to the Index. Under these circumstances, 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.
Positive Economic Trends in the Face of Rising Volatility
A positive economic backdrop supported U.S. equity markets in late 2017, including sustained GDP growth, robust labor markets, and higher growth forecasts from the Federal Reserve Board (the “Fed”). Passage of tax reform legislation in December 2017 sparked additional market gains, driving the Index to new all-time highs in January 2018.
Economic data in January 2018 indicated robust levels of consumer spending during the critical year-end shopping season, and long-awaited signs of wage growth began to appear. However, concerns about rising inflationary pressures and prospects for more aggressive interest-rate hikes by the Fed began to weigh on market sentiment. In March 2018, political rhetoric regarding potentially protectionist U.S. trade policies took a toll on stocks of U.S. companies with substantial overseas exposure, including exporters. Markets remained volatile through the remainder of the reporting period.
In this environment, small-cap stocks produced higher returns than their large- and mid-cap counterparts.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Financial Stocks Led the Market’s Rise
For the reporting period overall, health care stocks posted the highest returns of the Index’s various market segments, supported by renewed investor attention after an extended period of underperformance and amid a desire among investors to focus on domestic-oriented companies. Small pharmaceutical companies led the advance. Other companies contributing to the sector’s gains included those exhibiting strong growth trends and those that became subject to mergers-and-acquisitions speculation. In addition, makers of medical equipment and supplies benefited from faster regulatory approvals of new products.
The consumer discretionary sector was bolstered by robust consumer confidence. Specialty retailers rebounded from previous weakness, and casual dining chains fared well when tax reform legislation and strong labor markets helped boost consumer spending. In the financials sector, consumer finance companies and banks benefited from greater credit stability, reduced regulatory burdens, and rising lending volumes.
Laggards for the reporting period included the information technology sector, where investors have grown increasingly selective due to richer valuations. Consequently, investors have focused mainly on larger companies, and smaller technology firms generally fell out of favor. Moreover, concerns about potential trade disputes hurt technology producers, such as semiconductor manufacturers, that export to China. Other relatively weak areas included the traditionally defensive utilities and real estate sectors, whose dividend yields became less attractive to investors in the rising interest-rate environment. The utilities sector also was hurt by tax reform legislation that eliminated tax deferrals and reduced cash flows, and the real estate sector encountered higher financing costs and softness among retail and office properties.
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. economic recovery appears to remain intact, supported by stimulative monetary and fiscal policies that have helped boost corporate earnings. However, the market’s currently constructive conditions could be undermined by unexpected political and economic developments as geopolitical tensions potentially escalate and monetary policymakers move gradually away from the aggressively accommodative policies of the past decade. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
May 15, 2018
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended April 30, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† |
| $ 2.53 |
| $ 1.27 | ||
Ending value (after expenses) |
| $ 1,043.50 |
| $ 1,045.20 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† |
| $ 2.51 |
| $ 1.25 | ||
Ending value (after expenses) |
| $ 1,022.32 |
| $ 1,023.55 |
† 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 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% | |||||||
Automobiles & Components - 1.7% | |||||||
American Axle & Manufacturing Holdings | 294,195 | a | 4,512,951 | ||||
Cooper-Standard Holding | 48,474 | a | 6,001,081 | ||||
Dorman Products | 89,815 | a,b | 5,771,512 | ||||
Fox Factory Holding | 113,151 | a | 3,762,271 | ||||
Gentherm | 110,372 | a,b | 3,730,574 | ||||
LCI Industries | 75,101 | 7,157,125 | |||||
Motorcar Parts of America | 55,601 | a,b | 1,058,643 | ||||
Standard Motor Products | 61,243 | b | 2,777,370 | ||||
Superior Industries International | 69,662 | b | 916,055 | ||||
Winnebago Industries | 86,657 | 3,284,300 | |||||
38,971,882 | |||||||
Banks - 9.9% | |||||||
Ameris Bancorp | 114,986 | b | 5,944,776 | ||||
Banc of California | 128,227 | b | 2,461,958 | ||||
Banner | 98,139 | 5,633,179 | |||||
BofI Holding | 165,291 | a,b | 6,657,921 | ||||
Boston Private Financial Holdings | 253,555 | 4,069,558 | |||||
Brookline Bancorp | 231,089 | 3,836,077 | |||||
Central Pacific Financial | 88,388 | 2,570,323 | |||||
City Holding | 46,008 | b | 3,293,253 | ||||
Columbia Banking System | 219,291 | 8,817,691 | |||||
Community Bank System | 151,633 | b | 8,529,356 | ||||
Customers Bancorp | 88,748 | a,b | 2,557,717 | ||||
CVB Financial | 307,887 | 6,819,697 | |||||
Dime Community Bancshares | 92,097 | b | 1,818,916 | ||||
Fidelity Southern | 64,502 | 1,466,130 | |||||
First BanCorp | 546,407 | a | 3,945,059 | ||||
First Commonwealth Financial | 289,514 | 4,383,242 | |||||
First Financial Bancorp | 291,388 | 9,018,459 | |||||
First Financial Bankshares | 202,877 | b | 10,052,555 | ||||
First Midwest Bancorp | 307,410 | b | 7,473,137 | ||||
Glacier Bancorp | 238,339 | b | 8,825,693 | ||||
Great Western Bancorp | 176,801 | 7,273,593 | |||||
Green Bancorp | 72,098 | 1,625,810 | |||||
Hanmi Financial | 97,637 | 2,694,781 | |||||
HomeStreet | 80,889 | a,b | 2,062,670 | ||||
Hope Bancorp | 386,824 | 6,688,187 | |||||
Independent Bank | 82,704 | 5,979,499 | |||||
LegacyTexas Financial Group | 127,591 | 5,240,162 | |||||
Meta Financial Group | 26,928 | b | 2,993,047 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Banks - 9.9% (continued) | |||||||
National Bank Holdings, Cl. A | 81,153 | 2,854,963 | |||||
NBT Bancorp | 129,475 | 4,731,017 | |||||
NMI Holdings, Cl. A | 173,504 | a | 2,403,030 | ||||
Northfield Bancorp | 140,201 | b | 2,220,784 | ||||
Northwest Bancshares | 304,894 | b | 5,061,240 | ||||
OFG Bancorp | 132,204 | 1,784,754 | |||||
Old National Bancorp | 402,164 | b | 6,917,221 | ||||
Opus Bank | 50,498 | b | 1,424,044 | ||||
Oritani Financial | 118,418 | 1,811,795 | |||||
Pacific Premier Bancorp | 115,323 | a | 4,584,089 | ||||
Provident Financial Services | 180,667 | 4,719,022 | |||||
S&T Bancorp | 103,832 | b | 4,431,550 | ||||
Seacoast Banking Corporation of Florida | 141,162 | a,b | 3,900,306 | ||||
ServisFirst Bancshares | 135,674 | b | 5,692,881 | ||||
Simmons First National, Cl. A | 235,553 | 7,113,701 | |||||
Southside Bancshares | 83,183 | b | 2,897,264 | ||||
Tompkins Financial | 37,167 | b | 2,887,876 | ||||
TrustCo Bank | 289,010 | 2,471,036 | |||||
United Community Banks | 221,094 | 7,059,531 | |||||
Walker & Dunlop | 83,450 | 4,765,830 | |||||
Westamerica Bancorporation | 78,905 | b | 4,403,688 | ||||
226,868,068 | |||||||
Capital Goods - 11.4% | |||||||
AAON | 119,847 | b | 4,074,798 | ||||
AAR | 95,889 | b | 4,151,994 | ||||
Actuant, Cl. A | 178,405 | b | 4,201,438 | ||||
Aegion | 98,573 | a | 2,236,621 | ||||
Aerojet Rocketdyne Holdings | 225,682 | a,b | 6,305,555 | ||||
Aerovironment | 63,915 | a,b | 3,483,368 | ||||
Alamo Group | 28,733 | b | 3,145,402 | ||||
Albany International, Cl. A | 87,218 | b | 5,158,945 | ||||
American Woodmark | 42,076 | a,b | 3,458,647 | ||||
Apogee Enterprises | 85,494 | b | 3,514,658 | ||||
Applied Industrial Technologies | 115,456 | 7,383,411 | |||||
Astec Industries | 57,621 | 3,201,423 | |||||
Axon Enterprise | 159,383 | a,b | 6,690,898 | ||||
AZZ | 78,108 | b | 3,479,711 | ||||
Barnes Group | 146,244 | 8,120,929 | |||||
Briggs & Stratton | 127,046 | b | 2,290,639 | ||||
Chart Industries | 93,000 | a,b | 5,276,820 | ||||
CIRCOR International | 49,407 | b | 2,093,375 | ||||
Comfort Systems USA | 110,399 | 4,658,838 | |||||
Cubic | 74,389 | b | 4,593,521 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 11.4% (continued) | |||||||
DXP Enterprises | 46,581 | a | 1,690,890 | ||||
Encore Wire | 62,691 | 3,300,681 | |||||
Engility Holdings | 51,520 | a,b | 1,309,638 | ||||
EnPro Industries | 64,970 | 4,882,496 | |||||
ESCO Technologies | 76,748 | b | 4,286,376 | ||||
Federal Signal | 178,357 | 3,863,213 | |||||
Franklin Electric | 116,455 | 4,774,655 | |||||
General Cable | 150,324 | b | 4,457,107 | ||||
Gibraltar Industries | 95,500 | a | 3,356,825 | ||||
Griffon | 89,226 | 1,775,597 | |||||
Harsco | 242,034 | a | 4,949,595 | ||||
Hillenbrand | 188,191 | 8,722,653 | |||||
Insteel Industries | 54,724 | b | 1,643,362 | ||||
John Bean Technologies | 94,769 | b | 10,211,360 | ||||
Kaman | 83,609 | b | 5,070,050 | ||||
Lindsay | 31,975 | 2,809,324 | |||||
Lydall | 51,871 | a | 2,313,447 | ||||
Mercury Systems | 144,992 | a,b | 4,651,343 | ||||
Moog, Cl. A | 96,700 | 7,926,499 | |||||
Mueller Industries | 170,953 | 4,646,503 | |||||
MYR Group | 49,497 | a | 1,484,910 | ||||
National Presto Industries | 15,285 | b | 1,463,539 | ||||
Orion Group Holdings | 84,705 | a | 513,312 | ||||
Patrick Industries | 71,829 | a | 4,087,070 | ||||
PGT Innovations | 149,345 | a | 2,606,070 | ||||
Powell Industries | 26,159 | 786,078 | |||||
Proto Labs | 74,699 | a,b | 8,900,386 | ||||
Quanex Building Products | 105,509 | b | 1,809,479 | ||||
Raven Industries | 106,224 | 3,887,798 | |||||
Simpson Manufacturing | 124,851 | 6,826,853 | |||||
SPX | 127,004 | a | 4,018,407 | ||||
SPX FLOW | 127,733 | a | 5,747,985 | ||||
Standex International | 38,588 | 3,741,107 | |||||
Tennant | 53,788 | b | 3,980,312 | ||||
The Greenbrier Companies | 85,344 | b | 3,742,334 | ||||
Titan International | 149,241 | 1,537,182 | |||||
Trex | 87,908 | a,b | 9,131,883 | ||||
Triumph Group | 149,424 | b | 3,533,878 | ||||
Universal Forest Products | 184,021 | 5,866,589 | |||||
Veritiv | 33,189 | a,b | 1,262,841 | ||||
Vicor | 48,938 | a,b | 1,754,427 | ||||
Wabash National | 171,009 | b | 3,430,441 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 11.4% (continued) | |||||||
Watts Water Technologies, Cl. A | 83,232 | 6,200,784 | |||||
260,476,270 | |||||||
Commercial & Professional Services - 5.2% | |||||||
ABM Industries | 197,079 | b | 6,135,069 | ||||
ASGN | 146,265 | a | 11,793,347 | ||||
Brady, Cl. A | 145,005 | 5,278,182 | |||||
Essendant | 112,277 | 835,341 | |||||
Exponent | 77,460 | 6,692,544 | |||||
Forrester Research | 28,850 | 1,148,230 | |||||
FTI Consulting | 111,538 | a | 6,513,819 | ||||
Heidrick & Struggles International | 56,511 | 2,127,639 | |||||
Insperity | 110,191 | 8,842,828 | |||||
Interface | 176,201 | 3,876,422 | |||||
Kelly Services, Cl. A | 91,578 | 2,679,572 | |||||
Korn/Ferry International | 169,625 | 9,068,152 | |||||
LSC Communications | 104,907 | 1,833,774 | |||||
Matthews International, Cl. A | 95,927 | 4,714,812 | |||||
Mobile Mini | 133,416 | b | 5,603,472 | ||||
Multi-Color | 41,674 | b | 2,706,726 | ||||
Navigant Consulting | 135,587 | a | 2,900,206 | ||||
R.R. Donnelley & Sons Co. | 209,369 | 1,769,168 | |||||
Resources Connection | 88,711 | b | 1,388,327 | ||||
Team | 89,991 | a,b | 1,525,347 | ||||
Tetra Tech | 166,740 | 8,070,216 | |||||
TrueBlue | 123,638 | a | 3,294,953 | ||||
UniFirst | 46,491 | 7,466,455 | |||||
US Ecology | 65,777 | b | 3,505,914 | ||||
Viad | 61,446 | 3,118,385 | |||||
WageWorks | 119,429 | a | 4,974,218 | ||||
117,863,118 | |||||||
Consumer Durables & Apparel - 4.1% | |||||||
Callaway Golf | 281,119 | b | 4,852,114 | ||||
Cavco Industries | 25,224 | a | 4,296,908 | ||||
Crocs | 204,319 | a,b | 3,228,240 | ||||
Ethan Allen Interiors | 76,026 | b | 1,676,373 | ||||
Fossil Group | 130,215 | a,b | 1,946,714 | ||||
G-III Apparel Group | 123,929 | a | 4,522,169 | ||||
Installed Building Products | 63,273 | a,b | 3,650,852 | ||||
iRobot | 83,056 | a,b | 4,847,148 | ||||
La-Z-Boy | 139,981 | 4,031,453 | |||||
LGI Homes | 53,734 | a,b | 3,718,393 | ||||
M.D.C. Holdings | 135,093 | 3,919,048 | |||||
M/I Homes | 82,496 | a | 2,514,478 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Consumer Durables & Apparel - 4.1% (continued) | |||||||
Meritage Homes | 114,060 | a | 5,075,670 | ||||
Movado Group | 45,529 | 1,796,119 | |||||
Nautilus | 92,347 | a,b | 1,343,649 | ||||
Oxford Industries | 50,648 | b | 3,901,922 | ||||
Perry Ellis International | 36,873 | a | 956,854 | ||||
Steven Madden | 158,949 | 7,669,289 | |||||
Sturm Ruger & Co. | 52,436 | b | 2,897,089 | ||||
TopBuild | 106,083 | a | 8,454,815 | ||||
Unifi | 51,083 | a,b | 1,512,568 | ||||
Universal Electronics | 42,993 | a,b | 1,990,576 | ||||
Vera Bradley | 53,266 | a | 606,167 | ||||
Vista Outdoor | 172,469 | a,b | 2,888,856 | ||||
William Lyon Homes, Cl. A | 86,580 | a,b | 2,325,539 | ||||
Wolverine World Wide | 286,614 | b | 8,586,955 | ||||
93,209,958 | |||||||
Consumer Services - 2.9% | |||||||
American Public Education | 49,314 | a | 1,987,354 | ||||
Belmond, Cl. A | 252,570 | a,b | 2,702,499 | ||||
BJ's Restaurants | 52,777 | b | 2,947,595 | ||||
Capella Education | 35,105 | 3,220,884 | |||||
Career Education | 197,017 | a,b | 2,555,310 | ||||
Chuy's Holdings | 49,460 | a,b | 1,414,556 | ||||
Dave & Buster's Entertainment | 121,163 | a,b | 5,148,216 | ||||
DineEquity | 54,153 | b | 4,296,499 | ||||
El Pollo Loco Holdings | 66,016 | a,b | 660,160 | ||||
Fiesta Restaurant Group | 79,316 | a,b | 1,665,636 | ||||
Marcus | 57,878 | 1,724,764 | |||||
Marriott Vacations Worldwide | 70,907 | b | 8,693,907 | ||||
Monarch Casino & Resort | 34,183 | a | 1,458,247 | ||||
Penn National Gaming | 253,482 | a,b | 7,683,039 | ||||
Red Robin Gourmet Burgers | 38,974 | a,b | 2,430,029 | ||||
Regis | 105,326 | a,b | 1,645,192 | ||||
Ruth's Hospitality Group | 87,490 | 2,349,107 | |||||
Shake Shack, Cl. A | 56,966 | a,b | 2,712,151 | ||||
Sonic | 113,982 | b | 2,953,274 | ||||
Strayer Education | 31,898 | 3,351,523 | |||||
Wingstop | 86,504 | b | 4,226,585 | ||||
65,826,527 | |||||||
Diversified Financials - 3.8% | |||||||
Apollo Commercial Real Estate Finance | 331,006 | b,c | 5,964,728 | ||||
ARMOUR Residential | 125,980 | c | 2,850,927 | ||||
Capstead Mortgage | 276,571 | b,c | 2,433,825 | ||||
Donnelley Financial Solutions | 101,815 | a | 1,873,396 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Diversified Financials - 3.8% (continued) | |||||||
Encore Capital Group | 71,410 | a,b | 3,184,886 | ||||
Enova International | 101,199 | a | 2,965,131 | ||||
EZCORP, Cl. A | 154,330 | a,b | 2,114,321 | ||||
Financial Engines | 189,559 | 8,463,809 | |||||
FirstCash | 139,710 | 12,112,857 | |||||
Green Dot, Cl. A | 137,818 | a | 8,380,713 | ||||
Greenhill & Co. | 76,372 | b | 1,550,352 | ||||
INTL. FCStone | 47,018 | a | 2,107,347 | ||||
Invesco Mortgage Capital | 335,627 | b,c | 5,447,226 | ||||
Investment Technology Group | 99,520 | 2,012,294 | |||||
New York Mortgage Trust Inc | 336,694 | b,c | 2,040,366 | ||||
PennyMac Mortgage Investment Trust | 182,543 | b,c | 3,210,931 | ||||
Piper Jaffray | 42,986 | 3,011,169 | |||||
PRA Group | 134,214 | a,b | 4,778,018 | ||||
Virtus Investment Partners | 21,574 | b | 2,488,561 | ||||
Waddell & Reed Financial, Cl. A | 247,544 | b | 5,010,291 | ||||
WisdomTree Investments | 348,081 | b | 3,679,216 | ||||
World Acceptance | 18,299 | a,b | 1,875,648 | ||||
87,556,012 | |||||||
Energy - 4.3% | |||||||
Archrock | 388,058 | 4,191,026 | |||||
Bristow Group | 93,977 | 1,508,331 | |||||
C&J Energy Services | 191,660 | a,b | 5,722,968 | ||||
CARBO Ceramics | 64,206 | a,b | 567,581 | ||||
Carrizo Oil & Gas | 232,791 | a,b | 4,672,115 | ||||
Cloud Peak Energy | 213,882 | a | 682,284 | ||||
CONSOL Energy | 75,893 | b | 2,386,835 | ||||
Denbury Resources | 1,192,232 | a | 3,922,443 | ||||
Era Group | 60,740 | a | 640,807 | ||||
Exterran | 95,840 | a | 2,807,154 | ||||
Geospace Technologies | 43,239 | a | 455,739 | ||||
Green Plains | 116,031 | b | 2,158,177 | ||||
Gulf Island Fabrication | 36,080 | b | 360,800 | ||||
Helix Energy Solutions Group | 418,651 | a | 3,231,986 | ||||
HighPoint Resources | 295,318 | a | 2,040,647 | ||||
Matrix Service | 78,053 | a | 1,202,016 | ||||
McDermott International | 854,337 | a,b | 5,638,624 | ||||
Newpark Resources | 268,353 | a | 2,817,707 | ||||
Noble | 742,372 | a,b | 3,466,877 | ||||
Oil States International | 180,505 | a,b | 6,489,155 | ||||
Par Pacific Holdings | 73,597 | a,b | 1,241,581 | ||||
PDC Energy | 196,763 | a,b | 10,534,691 | ||||
Pioneer Energy Services | 233,902 | a | 806,962 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Energy - 4.3% (continued) | |||||||
ProPetro Holding | 173,131 | a,b | 3,168,297 | ||||
REX American Resources | 17,366 | a | 1,298,629 | ||||
Ring Energy | 163,287 | a,b | 2,730,159 | ||||
SEACOR Holdings | 50,500 | a | 2,769,420 | ||||
SRC Energy | 726,422 | a | 8,019,699 | ||||
TETRA Technologies | 377,295 | a | 1,482,769 | ||||
U.S. Silica Holdings | 240,045 | b | 7,227,755 | ||||
Unit | 159,645 | a,b | 3,620,749 | ||||
97,863,983 | |||||||
Food & Staples Retailing - .3% | |||||||
Andersons | 79,322 | b | 2,589,863 | ||||
SpartanNash | 108,417 | 1,971,021 | |||||
SUPERVALU | 113,187 | a,b | 1,981,904 | ||||
6,542,788 | |||||||
Food, Beverage & Tobacco - 1.8% | |||||||
B&G Foods | 200,052 | b | 4,551,183 | ||||
Calavo Growers | 46,856 | b | 4,390,407 | ||||
Cal-Maine Foods | 88,356 | a,b | 4,302,937 | ||||
Coca-Cola Bottling Co Consolidated | 13,974 | b | 2,353,082 | ||||
Darling Ingredients | 491,785 | a,b | 8,429,195 | ||||
Dean Foods | 273,117 | b | 2,351,537 | ||||
J&J Snack Foods | 44,915 | 6,171,770 | |||||
John B. Sanfilippo & Son | 25,632 | b | 1,458,204 | ||||
MGP Ingredients | 37,676 | 3,608,984 | |||||
Seneca Foods, Cl. A | 20,299 | a | 559,237 | ||||
Universal | 75,347 | 3,545,076 | |||||
41,721,612 | |||||||
Health Care Equipment & Services - 8.9% | |||||||
Abaxis | 67,423 | b | 4,488,349 | ||||
Aceto | 93,498 | b | 235,615 | ||||
Amedisys | 85,853 | a,b | 5,674,025 | ||||
AMN Healthcare Services | 142,273 | a,b | 9,510,950 | ||||
Analogic | 37,073 | 3,080,766 | |||||
AngioDynamics | 110,780 | a,b | 2,146,916 | ||||
Anika Therapeutics | 44,194 | a,b | 1,944,978 | ||||
BioTelemetry | 92,968 | a,b | 3,551,378 | ||||
Chemed | 48,482 | 14,943,122 | |||||
Community Health Systems | 344,731 | a,b | 1,303,083 | ||||
Computer Programs & Systems | 32,273 | 963,349 | |||||
CONMED | 73,943 | 4,808,513 | |||||
CorVel | 28,961 | a | 1,420,537 | ||||
Cross Country Healthcare | 109,544 | a,b | 1,378,064 | ||||
CryoLife | 99,964 | a,b | 2,244,192 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Health Care Equipment & Services - 8.9% (continued) | |||||||
Cutera | 41,678 | a | 2,090,152 | ||||
Diplomat Pharmacy | 144,825 | a | 3,155,737 | ||||
Ensign Group | 145,564 | 4,056,869 | |||||
Haemonetics | 160,386 | a | 12,516,523 | ||||
HealthEquity | 154,051 | a,b | 10,116,529 | ||||
HealthStream | 75,465 | 1,750,033 | |||||
Heska | 19,417 | a | 1,584,816 | ||||
HMS Holdings | 246,103 | a | 4,432,315 | ||||
Inogen | 51,971 | a,b | 7,306,083 | ||||
Integer Holdings | 84,336 | a | 4,630,046 | ||||
Integra LifeSciences Holdings | 190,796 | a,b | 11,758,757 | ||||
Invacare | 98,750 | b | 1,797,250 | ||||
Kindred Healthcare | 274,770 | a | 2,445,453 | ||||
Lantheus Holdings | 87,506 | a | 1,557,607 | ||||
LeMaitre Vascular | 45,732 | b | 1,438,271 | ||||
LHC Group | 83,122 | a | 6,185,939 | ||||
Magellan Health | 73,063 | a | 6,126,333 | ||||
Meridian Bioscience | 124,494 | b | 1,817,612 | ||||
Merit Medical Systems | 151,063 | a | 7,326,556 | ||||
Natus Medical | 99,714 | a,b | 3,295,548 | ||||
Neogen | 154,647 | a,b | 10,539,193 | ||||
Omnicell | 115,239 | a,b | 4,966,801 | ||||
OraSure Technologies | 180,778 | a | 3,205,194 | ||||
Orthofix International | 54,675 | a | 3,336,269 | ||||
Owens & Minor | 184,461 | b | 2,997,491 | ||||
Providence Service | 33,618 | a | 2,550,934 | ||||
Quality Systems | 141,799 | a,b | 1,904,361 | ||||
Quorum Health | 81,369 | a | 573,651 | ||||
Select Medical Holdings | 321,928 | a | 5,810,800 | ||||
Surmodics | 38,635 | a | 1,443,017 | ||||
Tabula Rasa HealthCare | 39,282 | a | 1,610,169 | ||||
Tactile Systems Technology | 44,759 | a,b | 1,558,061 | ||||
Tivity Health | 102,921 | a,b | 3,700,010 | ||||
U.S. Physical Therapy | 37,837 | b | 3,452,626 | ||||
Varex Imaging | 112,030 | a | 4,031,960 | ||||
204,762,803 | |||||||
Household & Personal Products - .9% | |||||||
Avon Products | 1,321,200 | a | 3,342,636 | ||||
Central Garden & Pet | 31,083 | a,b | 1,165,302 | ||||
Central Garden & Pet, Cl. A | 103,960 | a | 3,690,580 | ||||
Inter Parfums | 51,589 | 2,641,357 | |||||
Medifast | 31,596 | 3,171,606 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Household & Personal Products - .9% (continued) | |||||||
WD-40 | 42,025 | b | 5,543,098 | ||||
19,554,579 | |||||||
Insurance - 3.4% | |||||||
American Equity Investment Life Holding | 268,277 | 8,101,965 | |||||
AMERISAFE | 57,091 | 3,385,496 | |||||
eHealth | 47,048 | a | 886,384 | ||||
Employers Holdings | 98,390 | 4,024,151 | |||||
HCI Group | 23,777 | 996,019 | |||||
Horace Mann Educators | 122,661 | 5,482,947 | |||||
Infinity Property & Casualty | 32,892 | 4,341,744 | |||||
James River Group Holdings | 75,055 | 2,725,998 | |||||
Maiden Holdings | 206,177 | b | 1,577,254 | ||||
Navigators Group | 67,535 | 3,815,728 | |||||
ProAssurance | 159,362 | 7,537,823 | |||||
RLI | 116,960 | b | 7,401,229 | ||||
Safety Insurance Group | 45,778 | b | 3,662,240 | ||||
Selective Insurance Group | 176,244 | b | 10,433,645 | ||||
Stewart Information Services | 71,431 | 2,979,387 | |||||
Third Point Reinsurance | 248,279 | a,b | 3,302,111 | ||||
United Fire Group | 63,686 | b | 3,202,769 | ||||
United Insurance Holdings | 59,738 | b | 1,126,659 | ||||
Universal Insurance Holdings | 97,530 | 3,164,849 | |||||
78,148,398 | |||||||
Materials - 5.1% | |||||||
A. Schulman | 88,544 | 3,798,538 | |||||
AdvanSix | 91,567 | a | 3,279,930 | ||||
AK Steel Holding | 934,515 | a,b | 4,289,424 | ||||
American Vanguard | 78,033 | 1,681,611 | |||||
Balchem | 95,618 | 8,437,332 | |||||
Boise Cascade | 114,455 | 4,761,328 | |||||
Century Aluminum | 150,169 | a,b | 2,623,452 | ||||
Clearwater Paper | 49,479 | a,b | 1,170,178 | ||||
Flotek Industries | 164,637 | a,b | 587,754 | ||||
FutureFuel | 74,749 | 874,563 | |||||
H.B. Fuller | 151,778 | b | 7,508,458 | ||||
Hawkins | 28,601 | 929,533 | |||||
Haynes International | 37,636 | b | 1,573,561 | ||||
Ingevity | 125,741 | a | 9,660,681 | ||||
Innophos Holdings | 58,790 | 2,432,730 | |||||
Innospec | 73,253 | 5,325,493 | |||||
Kaiser Aluminum | 50,409 | b | 4,967,303 | ||||
KapStone Paper and Packaging | 263,166 | 9,058,174 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Materials - 5.1% (continued) | |||||||
Koppers Holdings | 62,471 | a | 2,736,230 | ||||
Kraton | 94,138 | a | 4,299,282 | ||||
LSB Industries | 57,740 | a,b | 319,302 | ||||
Materion | 60,307 | b | 3,060,580 | ||||
Myers Industries | 64,103 | 1,493,600 | |||||
Neenah | 50,786 | 3,961,308 | |||||
Olympic Steel | 27,412 | b | 642,811 | ||||
P.H. Glatfelter | 131,406 | b | 2,745,071 | ||||
Quaker Chemical | 40,005 | b | 5,880,335 | ||||
Rayonier Advanced Materials | 155,508 | b | 3,327,871 | ||||
Schweitzer-Mauduit International | 92,578 | b | 3,613,319 | ||||
Stepan | 59,489 | 4,183,266 | |||||
SunCoke Energy | 193,455 | a | 2,222,798 | ||||
TimkenSteel | 117,739 | a,b | 1,976,838 | ||||
Tredegar | 76,403 | b | 1,344,693 | ||||
US Concrete | 47,108 | a,b | 2,753,463 | ||||
117,520,810 | |||||||
Media - .7% | |||||||
E.W. Scripps, Cl. A | 165,361 | b | 1,840,468 | ||||
Gannet Company | 339,445 | b | 3,282,433 | ||||
New Media Investment Group | 176,045 | 2,918,826 | |||||
Scholastic | 83,014 | b | 3,436,780 | ||||
World Wrestling Entertainment, Cl. A | 118,758 | b | 4,725,381 | ||||
16,203,888 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 4.0% | |||||||
Acorda Therapeutics | 141,159 | a,b | 3,260,773 | ||||
AMAG Pharmaceuticals | 101,963 | a | 2,095,340 | ||||
Amphastar Pharmaceuticals | 104,340 | a,b | 1,991,851 | ||||
ANI Pharmaceuticals | 26,957 | a,b | 1,599,898 | ||||
Cambrex | 98,802 | a | 5,231,566 | ||||
Corcept Therapeutics | 286,792 | a,b | 4,783,691 | ||||
Cytokinetics | 147,103 | a,b | 1,220,955 | ||||
Depomed | 187,571 | a | 1,177,946 | ||||
Eagle Pharmaceuticals | 24,786 | a,b | 1,289,120 | ||||
Emergent BioSolutions | 105,486 | a | 5,470,504 | ||||
Enanta Pharmaceuticals | 43,204 | a,b | 4,020,132 | ||||
Impax Laboratories | 222,430 | a,b | 4,181,684 | ||||
Innoviva | 208,856 | a,b | 3,028,412 | ||||
Lannett | 92,146 | a,b | 1,437,478 | ||||
Ligand Pharmaceuticals | 63,345 | a,b | 9,808,973 | ||||
Luminex | 121,421 | 2,592,338 | |||||
Medicines | 193,921 | a,b | 5,835,083 | ||||
MiMedx Group | 301,449 | a,b | 2,474,896 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 4.0% (continued) | |||||||
Momenta Pharmaceuticals | 228,238 | a | 4,747,350 | ||||
Myriad Genetics | 210,005 | a,b | 5,941,041 | ||||
Phibro Animal Health, Cl. A | 58,571 | 2,477,553 | |||||
Progenics Pharmaceuticals | 211,356 | a,b | 1,375,928 | ||||
Repligen | 111,285 | a,b | 4,117,545 | ||||
Spectrum Pharmaceuticals | 272,520 | a,b | 4,338,518 | ||||
Supernus Pharmaceuticals | 154,860 | a,b | 7,262,934 | ||||
91,761,509 | |||||||
Real Estate - 5.6% | |||||||
Acadia Realty Trust | 251,767 | c | 5,941,701 | ||||
Agree Realty | 92,029 | c | 4,498,378 | ||||
American Assets Trust | 123,073 | c | 4,131,561 | ||||
Armada Hoffler Properties | 132,761 | b,c | 1,801,567 | ||||
CareTrust | 229,012 | c | 3,025,249 | ||||
CBL & Associates Properties | 519,383 | b,c | 2,171,021 | ||||
Cedar Realty Trust | 228,021 | c | 887,002 | ||||
Chatham Lodging Trust | 137,978 | b,c | 2,628,481 | ||||
Chesapeake Lodging Trust | 180,790 | c | 5,340,537 | ||||
Community Healthcare Trust | 52,623 | b,c | 1,341,887 | ||||
DiamondRock Hospitality | 602,713 | c | 6,659,979 | ||||
Easterly Government Properties | 135,233 | b,c | 2,787,152 | ||||
EastGroup Properties | 104,320 | c | 9,365,850 | ||||
Four Corners Property Trust | 181,638 | c | 4,115,917 | ||||
Franklin Street Properties | 323,289 | b,c | 2,515,188 | ||||
Getty Realty | 99,124 | c | 2,483,056 | ||||
Global Net Lease Inc | 202,587 | b,c | 3,770,144 | ||||
Government Properties Income Trust | 298,328 | b,c | 3,726,117 | ||||
Hersha Hospitality Trust | 111,491 | c | 2,093,801 | ||||
HFF, Cl. A | 110,674 | 3,889,084 | |||||
Independence Realty Trust | 255,616 | b,c | 2,402,790 | ||||
Kite Realty Group Trust | 251,547 | c | 3,702,772 | ||||
Lexington Realty Trust | 651,575 | b,c | 5,238,663 | ||||
LTC Properties | 117,658 | b,c | 4,253,337 | ||||
National Storage Affiliates Trust | 151,222 | c | 3,980,163 | ||||
Pennsylvania Real Estate Investment Trust | 211,609 | b,c | 2,048,375 | ||||
PS Business Parks | 59,789 | c | 6,892,476 | ||||
Ramco-Gershenson Properties Trust | 238,816 | b,c | 2,853,851 | ||||
RE/MAX Holdings, Cl. A | 53,245 | 2,883,217 | |||||
Retail Opportunity Investments | 338,068 | b,c | 5,814,770 | ||||
Saul Centers | 36,400 | b,c | 1,741,740 | ||||
Summit Hotel Properties | 309,499 | b,c | 4,481,546 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Real Estate - 5.6% (continued) | |||||||
Universal Health Realty Income Trust | 38,014 | c | 2,278,179 | ||||
Urstadt Biddle Properties, Cl. A | 87,693 | c | 1,742,460 | ||||
Washington Prime Group | 555,464 | c | 3,593,852 | ||||
Whitestone | 117,812 | b,c | 1,278,260 | ||||
128,360,123 | |||||||
Retailing - 5.0% | |||||||
Abercrombie & Fitch, Cl. A | 204,533 | 5,240,135 | |||||
Asbury Automotive Group | 55,797 | a | 3,741,189 | ||||
Ascena Retail Group | 512,013 | a | 1,136,669 | ||||
Barnes & Noble | 166,558 | b | 924,397 | ||||
Barnes & Noble Education | 112,685 | a | 810,205 | ||||
Big 5 Sporting Goods | 59,988 | b | 503,899 | ||||
Buckle | 84,801 | b | 1,954,663 | ||||
Caleres | 127,624 | 4,177,134 | |||||
Cato, Cl. A | 70,692 | 1,145,917 | |||||
Chico's FAS | 382,776 | b | 3,800,966 | ||||
Core-Mark Holding | 138,847 | b | 2,861,637 | ||||
DHI Group | 98,401 | b | 235,670 | ||||
DSW, Cl. A | 214,646 | b | 4,786,606 | ||||
Express | 236,994 | a,b | 1,858,033 | ||||
Finish Line, Cl. A | 118,425 | b | 1,607,027 | ||||
Francesca's Holdings | 106,924 | a,b | 529,274 | ||||
FTD Cos. | 54,027 | a,b | 347,934 | ||||
Genesco | 59,869 | a,b | 2,559,400 | ||||
Group 1 Automotive | 59,143 | 3,864,995 | |||||
Guess? | 176,052 | b | 4,100,251 | ||||
Haverty Furniture Cos. | 58,543 | 1,062,555 | |||||
Hibbett Sports | 55,882 | a | 1,519,990 | ||||
J.C. Penney | 938,442 | a,b | 2,730,866 | ||||
Kirkland's | 50,437 | a,b | 534,128 | ||||
Lithia Motors, Cl. A | 72,177 | b | 6,918,887 | ||||
Lumber Liquidators Holdings | 83,913 | a,b | 2,019,786 | ||||
MarineMax | 64,353 | a,b | 1,390,025 | ||||
Monro | 97,472 | b | 5,453,558 | ||||
Nutrisystem | 90,861 | b | 2,634,969 | ||||
Ollie's Bargain Outlet Holdings | 148,105 | a,b | 9,212,131 | ||||
PetMed Express | 61,978 | b | 2,073,784 | ||||
Rent-A-Center | 156,575 | b | 1,582,973 | ||||
RH | 56,341 | a,b | 5,377,748 | ||||
Shoe Carnival | 32,578 | b | 793,926 | ||||
Shutterfly | 97,671 | a | 7,903,537 | ||||
Sleep Number | 115,909 | a | 3,284,861 | ||||
Sonic Automotive, Cl. A | 71,226 | b | 1,410,275 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Retailing - 5.0% (continued) | |||||||
Tailored Brands | 146,187 | 4,612,200 | |||||
The Children's Place | 49,643 | b | 6,331,965 | ||||
Tile Shop Holdings | 104,749 | 717,531 | |||||
Vitamin Shoppe | 70,182 | a,b | 347,401 | ||||
Zumiez | 54,669 | a,b | 1,279,255 | ||||
115,378,352 | |||||||
Semiconductors & Semiconductor Equipment - 3.5% | |||||||
Advanced Energy Industries | 118,252 | a | 7,041,907 | ||||
Axcelis Technologies | 96,397 | a | 2,120,734 | ||||
Brooks Automation | 211,772 | b | 5,268,887 | ||||
Cabot Microelectronics | 76,447 | 7,755,548 | |||||
CEVA | 65,684 | a | 2,141,298 | ||||
Cohu | 85,854 | 1,837,276 | |||||
Diodes | 115,324 | a | 3,292,500 | ||||
DSP Group | 64,591 | a | 771,862 | ||||
FormFactor | 218,242 | a | 2,504,327 | ||||
Kopin | 183,224 | a,b | 606,471 | ||||
Kulicke & Soffa Industries | 212,379 | a | 4,861,355 | ||||
MaxLinear | 180,895 | a,b | 4,039,385 | ||||
Nanometrics | 72,036 | a | 1,787,934 | ||||
PDF Solutions | 79,470 | a,b | 886,091 | ||||
Photronics | 208,577 | a | 1,595,614 | ||||
Power Integrations | 89,685 | b | 6,080,643 | ||||
Rambus | 326,206 | a | 4,403,781 | ||||
Rudolph Technologies | 94,713 | a | 2,400,975 | ||||
Semtech | 198,038 | a | 7,782,893 | ||||
SolarEdge Technologies | 108,647 | a | 5,720,265 | ||||
Ultra Clean Holdings | 116,171 | a,b | 2,034,154 | ||||
Veeco Instruments | 145,310 | a,b | 2,245,040 | ||||
Xperi | 148,203 | 3,260,466 | |||||
80,439,406 | |||||||
Software & Services - 5.5% | |||||||
8x8 | 277,246 | a | 5,614,232 | ||||
Agilysys | 45,484 | a | 535,802 | ||||
Alarm.com Holdings | 75,256 | a,b | 3,038,837 | ||||
Blucora | 140,509 | a,b | 3,653,234 | ||||
Bottomline Technologies | 103,465 | a | 4,088,937 | ||||
CACI International, Cl. A | 73,908 | a | 11,163,803 | ||||
Cardtronics, Cl. A | 138,107 | a,b | 3,625,309 | ||||
CSG Systems International | 99,300 | 4,249,047 | |||||
DHI Group | 168,336 | a | 235,670 | ||||
Ebix | 66,320 | b | 5,139,800 | ||||
EVERTEC | 180,769 | 3,299,034 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Software & Services - 5.5% (continued) | |||||||
ExlService Holdings | 102,824 | a | 5,944,255 | ||||
Liquidity Services | 72,290 | a | 466,271 | ||||
LivePerson | 164,731 | a | 2,767,481 | ||||
ManTech International, Cl. A | 77,338 | 4,569,902 | |||||
MicroStrategy, Cl. A | 28,317 | a | 3,609,285 | ||||
Monotype Imaging Holdings | 124,995 | b | 2,768,639 | ||||
NIC | 200,077 | b | 2,971,143 | ||||
Perficient | 104,706 | a | 2,589,379 | ||||
Progress Software | 139,537 | 5,153,101 | |||||
Qualys | 97,465 | a | 7,499,932 | ||||
QuinStreet | 108,344 | a | 1,217,787 | ||||
Shutterstock | 55,186 | a | 2,325,538 | ||||
SPS Commerce | 51,896 | a | 3,558,509 | ||||
Stamps.com | 49,028 | a,b | 11,166,127 | ||||
Sykes Enterprises | 120,044 | a | 3,452,465 | ||||
Synchronoss Technologies | 131,468 | a | 1,472,442 | ||||
TiVo | 369,341 | 5,226,175 | |||||
Travelport Worldwide | 376,681 | b | 6,456,312 | ||||
TTEC Holdings | 42,748 | 1,367,936 | |||||
VASCO Data Security International | 87,674 | a | 1,358,947 | ||||
Virtusa | 82,354 | a | 3,964,522 | ||||
XO Group | 70,830 | a | 1,535,594 | ||||
126,085,447 | |||||||
Technology Hardware & Equipment - 5.6% | |||||||
ADTRAN | 145,685 | 2,134,285 | |||||
Anixter International | 87,048 | a | 5,127,127 | ||||
Applied Optoelectronics | 58,658 | a,b | 1,874,709 | ||||
Badger Meter | 87,584 | b | 3,717,941 | ||||
Bel Fuse, Cl. B | 30,704 | 594,122 | |||||
Benchmark Electronics | 144,940 | 3,811,922 | |||||
CalAmp | 105,313 | a | 2,079,932 | ||||
Comtech Telecommunications | 69,675 | 2,131,358 | |||||
Control4 | 60,606 | a,b | 1,263,029 | ||||
Cray | 121,785 | a,b | 2,904,572 | ||||
CTS | 98,955 | b | 2,963,702 | ||||
Daktronics | 117,566 | 1,059,270 | |||||
Digi International | 80,405 | a | 924,658 | ||||
Electro Scientific Industries | 100,930 | a,b | 1,816,740 | ||||
Electronics For Imaging | 137,449 | a | 3,807,337 | ||||
ePlus | 41,381 | a | 3,304,273 | ||||
Extreme Networks | 346,752 | a,b | 3,710,246 | ||||
Fabrinet | 112,227 | a,b | 3,165,924 | ||||
FARO Technologies | 49,784 | a | 2,514,092 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Technology Hardware & Equipment - 5.6% (continued) | |||||||
Finisar | 342,986 | a,b | 5,343,722 | ||||
Harmonic | 247,690 | a,b | 904,069 | ||||
II-VI | 165,239 | a,b | 6,295,606 | ||||
Insight Enterprises | 106,436 | a | 3,773,156 | ||||
Itron | 102,548 | a,b | 6,706,639 | ||||
KEMET | 148,152 | a,b | 2,551,177 | ||||
Methode Electronics | 109,393 | b | 4,364,781 | ||||
MTS Systems | 53,499 | b | 2,717,749 | ||||
NETGEAR | 94,357 | a,b | 5,217,942 | ||||
Oclaro | 503,271 | a | 3,985,906 | ||||
OSI Systems | 53,761 | a,b | 3,441,779 | ||||
Park Electrochemical | 55,060 | 937,672 | |||||
Plexus | 101,277 | a | 5,554,031 | ||||
Rogers | 55,048 | a | 5,873,622 | ||||
Sanmina | 214,209 | a | 6,319,166 | ||||
ScanSource | 76,935 | a | 2,638,871 | ||||
Super Micro Computer | 114,240 | a,b | 2,022,048 | ||||
TTM Technologies | 273,460 | a | 3,812,032 | ||||
Viavi Solutions | 678,937 | a | 6,415,955 | ||||
127,781,162 | |||||||
Telecommunication Services - 1.1% | |||||||
ATN International | 32,106 | b | 1,701,618 | ||||
Cincinnati Bell | 126,130 | a | 1,910,870 | ||||
Cogent Communications Holdings | 124,403 | b | 5,865,601 | ||||
Consolidated Communications Holdings | 189,961 | b | 2,146,559 | ||||
Frontier Communications | 235,782 | b | 1,956,991 | ||||
Iridium Communications | 245,925 | a,b | 2,926,508 | ||||
Spok Holdings | 60,334 | 898,977 | |||||
Vonage Holdings | 625,343 | a | 6,991,335 | ||||
24,398,459 | |||||||
Transportation - 2.3% | |||||||
Allegiant Travel | 37,258 | b | 5,970,595 | ||||
ArcBest | 77,130 | 2,475,873 | |||||
Atlas Air Worldwide Holdings | 75,549 | a,b | 4,789,807 | ||||
Echo Global Logistics | 79,234 | a | 2,163,088 | ||||
Forward Air | 87,874 | 4,744,317 | |||||
Hawaiian Holdings | 152,943 | b | 6,301,252 | ||||
Heartland Express | 148,035 | b | 2,639,464 | ||||
Hub Group, Cl. A | 100,104 | a | 4,399,571 | ||||
Marten Transport | 116,328 | 2,268,396 | |||||
Matson | 127,698 | 3,732,613 | |||||
Roadrunner Transportation Systems | 98,176 | a | 211,078 | ||||
Saia | 77,204 | a | 5,099,324 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Transportation - 2.3% (continued) | |||||||
SkyWest | 154,612 | 8,797,423 | |||||
53,592,801 | |||||||
Utilities - 2.3% | |||||||
American States Water | 110,392 | b | 6,151,042 | ||||
Avista | 197,003 | 10,216,575 | |||||
California Water Service Group | 144,283 | b | 5,590,966 | ||||
El Paso Electric | 122,249 | 6,240,811 | |||||
Northwest Natural Gas | 86,503 | b | 5,302,634 | ||||
South Jersey Industries | 251,554 | b | 7,773,019 | ||||
Spire | 145,115 | b | 10,470,047 | ||||
51,745,094 | |||||||
Total Common Stocks (cost $1,555,491,291) | 2,272,633,049 | ||||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills | |||||||
1.64%, 6/7/18 | 1,060,000 | d,e | 1,058,220 | ||||
Current | |||||||
Other Investment - .9% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 20,000,901 | f | 20,000,901 | |||
Investment of Cash Collateral for Securities Loaned - 6.2% | |||||||
Registered Investment Company; | |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 1.67 | 143,012,889 | f | 143,012,889 | |||
Total Investments (cost $1,719,563,294) | 106.4% | 2,436,705,059 | |||||
Liabilities, Less Cash and Receivables | (6.4%) | (147,148,751) | |||||
Net Assets | 100.0% | 2,289,556,308 |
aNon-income producing security.
bSecurity, or portion thereof, on loan. At April 30, 2018, the value of the fund’s securities on loan was $538,358,892 and the value of the collateral held by the fund was $556,980,043, consisting of cash collateral of $143,012,889 and U.S. Government & Agency securities valued at $413,967,154.
cInvestment in real estate investment trust.
dHeld by a counterparty for open exchange traded derivative contracts.
eSecurity is a discount security. Income is recognized through the accretion of discount.
fInvestment in affiliated money market mutual fund.
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Capital Goods | 11.4 |
Banks | 9.9 |
Health Care Equipment & Services | 8.9 |
Short-Term/Money Market Investments | 7.1 |
Real Estate | 5.6 |
Technology Hardware & Equipment | 5.6 |
Software & Services | 5.5 |
Commercial & Professional Services | 5.2 |
Materials | 5.1 |
Retailing | 5.0 |
Energy | 4.3 |
Consumer Durables & Apparel | 4.1 |
Pharmaceuticals, Biotechnology & Life Sciences | 4.0 |
Diversified Financials | 3.8 |
Semiconductors & Semiconductor Equipment | 3.5 |
Insurance | 3.4 |
Consumer Services | 2.9 |
Transportation | 2.3 |
Utilities | 2.3 |
Food, Beverage & Tobacco | 1.8 |
Automobiles & Components | 1.7 |
Telecommunication Services | 1.1 |
Household & Personal Products | .9 |
Media | .7 |
Food & Staples Retailing | .3 |
106.4 |
† Based on net assets.
See notes to financial statements.
22
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividend/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 11,628,182 | 186,222,350 | 177,849,631 | 20,000,901 | .9 | 68,145 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | - | 374,040,272 | 231,027,383 | 143,012,889 | 6.2 | - |
Total | 11,628,182 | 560,262,622 | 408,877,014 | 163,013,790 | 7.1 | 68,145 |
See notes to financial statements.
23
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 229 | 6/2018 | 17,817,922 | 17,676,510 | (141,412) | |
Gross Unrealized Depreciation | (141,412) |
See notes to financial statements.
24
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 1,556,549,504 |
| 2,273,691,269 |
| ||
Affiliated issuers |
| 163,013,790 |
| 163,013,790 |
| |
Cash |
|
|
|
| 1,518,435 |
|
Receivable for shares of Common Stock subscribed |
| 1,377,092 |
| |||
Receivable for investment securities sold |
| 1,042,158 |
| |||
Dividends, interest and securities lending income receivable |
| 972,534 |
| |||
Other assets |
|
|
|
| 40,871 |
|
|
|
|
|
| 2,441,656,149 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
|
| 886,059 |
|
Liability for securities on loan—Note 1(b) |
| 143,012,889 |
| |||
Payable for investment securities purchased |
| 5,531,741 |
| |||
Payable for shares of Common Stock redeemed |
| 2,472,010 |
| |||
Payable for futures variation margin—Note 4 |
| 195,967 |
| |||
Accrued expenses |
|
|
|
| 1,175 |
|
|
|
|
|
| 152,099,841 |
|
Net Assets ($) |
|
| 2,289,556,308 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,445,867,591 |
|
Accumulated undistributed investment income—net |
| 5,887,659 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| 120,800,705 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 717,000,353 |
| |
Net Assets ($) |
|
| 2,289,556,308 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 2,069,654,246 | 219,902,062 |
|
Shares Outstanding | 64,747,524 | 6,883,443 |
|
Net Asset Value Per Share ($) | 31.96 | 31.95 |
|
See notes to financial statements. |
25
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $1,678 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 16,704,790 |
| ||
Affiliated issuers |
|
| 68,145 |
| ||
Income from securities lending—Note 1(b) |
|
| 782,394 |
| ||
Interest |
|
| 5,871 |
| ||
Total Income |
|
| 17,561,200 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,923,698 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 2,667,809 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 98,421 |
| ||
Loan commitment fees—Note 2 |
|
| 23,262 |
| ||
Interest expense—Note 2 |
|
| 6,369 |
| ||
Total Expenses |
|
| 5,719,559 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (98,421) |
| ||
Net Expenses |
|
| 5,621,138 |
| ||
Investment Income—Net |
|
| 11,940,062 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 135,657,127 |
| ||||
Net realized gain (loss) on futures | (358,341) |
| ||||
Net Realized Gain (Loss) |
|
| 135,298,786 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (43,754,221) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (147,098) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (43,901,319) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 91,397,467 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 103,337,529 |
| |||
See notes to financial statements. |
26
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 11,940,062 |
|
|
| 21,021,664 |
| |
Net realized gain (loss) on investments |
| 135,298,786 |
|
|
| 143,881,663 |
| ||
Net unrealized appreciation (depreciation) |
| (43,901,319) |
|
|
| 365,838,887 |
| ||
Net Increase (Decrease) in Net Assets | 103,337,529 |
|
|
| 530,742,214 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (18,591,561) |
|
|
| (19,494,564) |
| |
Class I |
|
| (2,159,339) |
|
|
| (1,254,803) |
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (134,712,275) |
|
|
| (116,963,357) |
| |
Class I |
|
| (12,100,675) |
|
|
| (6,053,760) |
| |
Total Distributions |
|
| (167,563,850) |
|
|
| (143,766,484) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 187,726,152 |
|
|
| 588,678,557 |
| |
Class I |
|
| 44,916,984 |
|
|
| 181,799,843 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 152,716,931 |
|
|
| 136,043,927 |
| |
Class I |
|
| 7,584,098 |
|
|
| 3,948,468 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (426,374,436) |
|
|
| (875,095,404) |
| |
Class I |
|
| (14,346,268) |
|
|
| (15,581,746) |
| |
Increase (Decrease) in Net Assets | (47,776,539) |
|
|
| 19,793,645 |
| |||
Total Increase (Decrease) in Net Assets | (112,002,860) |
|
|
| 406,769,375 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,401,559,168 |
|
|
| 1,994,789,793 |
| |
End of Period |
|
| 2,289,556,308 |
|
|
| 2,401,559,168 |
| |
Undistributed investment income—net | 5,887,659 |
|
|
| 14,698,497 |
| |||
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,817,436 |
|
|
| 19,107,622 |
| |
Shares issued for distributions reinvested |
|
| 4,829,136 |
|
|
| 4,509,771 |
| |
Shares redeemed |
|
| (13,227,066) |
|
|
| (28,598,982) |
| |
Net Increase (Decrease) in Shares Outstanding | (2,580,494) |
|
|
| (4,981,589) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 1,397,986 |
|
|
| 5,970,795 |
| |
Shares issued for distributions reinvested |
|
| 240,116 |
|
|
| 131,065 |
| |
Shares redeemed |
|
| (446,802) |
|
|
| (503,796) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,191,300 |
|
|
| 5,598,064 |
| |||
a | During the period ending April 30, 2018, 1,411 Investor shares representing $46,243were exchanged for 1,409 Class I shares and during the period ending October 31, 2017, 19,770 Investor shares representing $615,344 were exchanged for 19,768 Class I shares. | ||||||||
See notes to financial statements. |
27
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2017 | 2016a | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 32.89 | 27.55 | 28.94 | 30.45 | 29.16 | 21.95 |
Investment Operations: | ||||||
Investment income—netb | .16 | .27 | .29 | .28 | .22 | .28 |
Net realized and unrealized | 1.24 | 7.02 | 1.20 | .52 | 2.34 | 7.88 |
Total from Investment Operations | 1.40 | 7.29 | 1.49 | .80 | 2.56 | 8.16 |
Distributions: | ||||||
Dividends from | (.28) | (.28) | (.28) | (.24) | (.21) | (.32) |
Dividends from net realized | (2.05) | (1.67) | (2.60) | (2.07) | (1.06) | (.63) |
Total Distributions | (2.33) | (1.95) | (2.88) | (2.31) | (1.27) | (.95) |
Net asset value, end of period | 31.96 | 32.89 | 27.55 | 28.94 | 30.45 | 29.16 |
Total Return (%) | 4.35c | 27.11 | 5.73 | 2.54 | 8.91 | 38.63 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .51d | .51 | .51 | .51 | .51 | .51 |
Ratio of net expenses | .50d | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment income | 1.00d | .89 | 1.06 | .94 | .75 | 1.13 |
Portfolio Turnover Rate | 8.58c | 20.63 | 23.86 | 16.53 | 18.22 | 20.89 |
Net Assets, end of period ($ x 1,000) | 2,069,654 | 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.
c Not annualized.
d Annualized.
See notes to financial statements.
28
Six Months Ended | ||||
April 30, 2018, | Year Ended October 31, | |||
Class I Shares | (Unaudited) | 2017 | 2016a | |
Per Share Data ($): | ||||
Net asset value, beginning of period | 32.91 | 27.57 | 28.69 | |
Investment Operations: | ||||
Investment income—netb | .20 | .35 | .01 | |
Net realized and unrealized | 1.26 | 7.01 | (1.13) | |
Total from Investment Operations | 1.46 | 7.36 | (1.12) | |
Dividends from | (.37) | (.35) | - | |
Dividends from net realized | (2.05) | (1.67) | - | |
Total Distributions | (2.42) | (2.02) | - | |
Net asset value, end of period | 31.95 | 32.91 | 27.57 | |
Total Return (%) | 4.52c | 27.38 | (3.91)c | |
Ratios/Supplemental Data (%): | ||||
Ratio of total expenses | .26d | .26 | .27d | |
Ratio of net expenses | .25d | .25 | .26d | |
Ratio of net investment income | 1.24d | 1.10 | .55d | |
Portfolio Turnover Rate | 8.58c | 20.63 | 23.86 | |
Net Assets, end of period ($ x 1,000) | 219,902 | 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.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the 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.
30
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
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 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 such securities 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.
32
The following is a summary of the inputs used as of April 30, 2018 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— | 2,251,980,082 | - | - | 2,251,980,082 |
Equity Securities— | 20,652,967 | - | - | 20,652,967 |
Registered Investment Companies | 163,013,790 | - | - | 163,013,790 |
U.S. Treasury | - | 1,058,220 | - | 1,058,220 |
Liabilities ($) | ||||
Other Financial | ||||
Futures†† | (141,412) | - | - | (141,412) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation at period end.
At April 30, 2018, 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
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2018, The Bank of New York Mellon earned $184,354 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 April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: ordinary income $25,364,545, and long-term capital gains $118,401,939. The tax character of current year distributions will be determined at the end of the current fiscal year.
34
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. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2018 was approximately $530,400 with a related weighted average annualized interest rate of 2.42%.
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 April 30, 2018, fees reimbursed by Dreyfus amounted to $98,421.
(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 April 30, 2018, the fund was charged $2,667,809 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 $472,968 and Shareholder Services Plan fees $428,175, which are offset
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
against an expense reimbursement currently in effect in the amount of $15,084.
(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 April 30, 2018, amounted to $200,912,035 and $409,811,832, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2018 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity futures | 15,183,883 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $717,000,353, consisting of $825,764,209 gross unrealized appreciation and $108,763,856 gross unrealized depreciation.
36
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
37
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select
38
the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus and/or its affiliates the results of the comparisons and considered that the fund’s total return performance for the different periods variously ranked first, second, third or fourth compared to the other three funds in the Performance Group (generally with a narrow range of returns among the four funds) and above the Performance Universe median for all periods, except for the one-year period when it was below the median. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that: the fund’s contractual management fee was slightly above the Expense Group median and the fund’s actual management fee and total expenses were slightly above the Expense Group medians and were above the Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the
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INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
mix of services provided by Dreyfus, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· While expressing some concern about the fund’s relative total return in recent periods, the Board generally was satisfied with the fund’s performance.
· The Board concluded that the fee paid to Dreyfus continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of Dreyfus and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar
40
mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
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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.
© 2018 MBSC Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 27, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 27, 2018
By: /s/ James Windels
James Windels
Treasurer
Date: June 27, 2018
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)