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 | |||||
|
| |||||
| Dreyfus Index Funds, Inc. |
| ||||
| (Exact name of Registrant as specified in charter) |
| ||||
|
|
| ||||
|
c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 |
| ||||
| (Address of principal executive offices) (Zip code) |
| ||||
|
|
| ||||
| Bennett A. MacDougall, Esq. 200 Park Avenue New York, New York 10166 |
| ||||
| (Name and address of agent for service) |
| ||||
| ||||||
Registrant's telephone number, including area code: | (212) 922-6400 | |||||
|
| |||||
Date of fiscal year end:
| 10/31 |
| ||||
Date of reporting period: | 10/31/18
|
| ||||
FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus International Stock Index Fund
ANNUAL REPORT October 31, 2018 |
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 | |
Currency Exchange Contracts | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus International Stock Index Fund, covering the 12-month period from November 1, 2017 through October 31, 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.
Markets began the reporting period on solid footing as major global economies experienced above-trend growth across the board. In the United States, the Federal Reserve continued to move away from its accommodative monetary policy while other major central banks also began to consider monetary tightening. In the equity markets, both U.S. and non-U.S. markets enjoyed an upward trend, though investor concerns about volatility and inflation later began to weigh on returns. Interest rates rose across the curve, putting pressure on bond prices.
Later in the reporting period, global growth trends began to diverge. While a strong economic performance continued to bolster U.S. equity markets, slower growth and political concerns pressured markets in the Eurozone. Emerging markets also came under pressure as weakness in their currencies added to investors’ uneasiness. Fixed income markets continued to struggle as interest rates rose; the yield on the benchmark 10-year Treasury bond surged late in the reporting period, but growing investor concerns about global growth helped keep it from rising further.
Despite continuing doubts regarding trade, U.S. inflationary pressures, and global growth, we are optimistic that the U.S. economy will remain strong in the near term. However, we will stay attentive to signs that signal potential changes on the horizon. 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
November 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through October 31, 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 12-month period ended October 31, 2018, Dreyfus International Stock Index Fund’s Class I shares produced a total return of -7.06%, and its Investor shares returned -7.30%.1 This compares with a -6.85% total return for the fund’s benchmark, the MSCI EAFE Index (the “Index”), during the same period.2
International stocks fell during the reporting period amid geopolitical pressures, slowing economic growth, and a strengthening dollar. 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 and 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.
Volatility and Geopolitical Concerns Pressure Non-U.S. Markets
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.
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. Despite increasing commodity prices, a strengthening dollar and weak exports pressured emerging-market commodity prices. Downward revisions to growth expectations also weighed on performance. Financial issues in Turkey and Argentina, the installation of a nationalist party into leadership in Italy, and Brexit uncertainty all converged towards the end of the reporting period to tamp down international market returns.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Financials Stocks Weigh on Results
Financials stocks came under pressure during the reporting period, as Brexit depressed returns for British banks. In addition, financial difficulties in Turkey and Italy hurt the European region. Banks with exposure to these countries generally saw their stock prices fall over the latter half of the period. Australian financial companies also suffered, as rising rates and increased regulatory costs hurt results. Industrials also lagged the broader market. Hurricanes and earthquakes in Japan slowed industrial production, as did a slowdown in trade with China. Industrial growth rates in the Eurozone also fell. In the industrials sector, Germany-based industrial conglomerate Siemens was a detractor during the period. In the consumer discretionary sector, the automotive industry has suffered from trade issues with China and increased costs due to tightening emission testing standards in Europe.
Conversely, international markets results were buoyed by returns in the energy sector. The price of oil increased during the latter half of the reporting period. Companies saw increases in their earnings and continued to benefit from growing production and cost controls implemented when the price of oil was lower. Oil company BP was among the top contributors for the period. The stock price rose on the back of increased production. Elsewhere in the sector, renewable energy companies also contributed to returns. Results in health care also helped during the period, particularly for companies based in Switzerland and Japan, such as Roche Holding and Novartis. A primary driver of growth was increased drug sales in emerging markets.
Replicating the Performance of the Index
Although non-U.S. developed markets seemed to stall in February and remain under fire due to geopolitical issues, the underlying fundamentals remain neutral. The market’s currently constructive conditions could be undermined by unexpected political and economic developments as geopolitical tensions potentially escalate. As always, we have continued to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 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. — 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. It reflects reinvestment of net dividends and, where applicable, capital gain distributions. 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.
Currencies are subject to the risk that those currencies will decline in value relative to a local currency, or, in the case of hedged positions, that the local currency will decline relative to the currency being hedged. Each of these risks could increase the fund’s volatility.
Investing in foreign denominated and/or domiciled securities involves special risks, including changes in currency exchange rates, political, economic, and social instability, limited company information, differing auditing and legal standards, and less market liquidity. These risks generally are greater with emerging market countries.
Diversification cannot assure a profit or protect against loss.
4
FUND PERFORMANCE (Unaudited)
Comparison of change in value of $10,000 investment in Dreyfus International Stock Index Fund Investor shares and Class I shares and the MSCI EAFE Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Investor and Class I shares of Dreyfus International Stock Index Fund on 10/31/08 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested. The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/18 | |||||
| Inception Date | 1 Year | 5 Years | 10 Years | |
Investor Shares | 6/30/97 | -7.30% | 1.59% | 6.32% | |
Class I Shares | 8/31/16 | -7.06% | 1.71%† | 6.38%† | |
MSCI EAFE Index | -6.85% | 2.02% | 6.89% |
† The total return performance figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus International Stock Index Fund from May 1, 2018 to October 31, 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 October 31, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $2.87 | $1.68 | ||||
Ending value (after expenses) | $900.70 | $902.30 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $3.06 | $1.79 | ||||
Ending value (after expenses) | $1,022.18 | $1,023.44 |
† Expenses are equal to the fund’s annualized expense ratio of .60% for Investor Shares and .35% for Class I, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2018
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% | |||||||
Australia - 6.8% | |||||||
AGL Energy | 27,215 | 348,215 | |||||
Alumina | 103,183 | 186,053 | |||||
Amcor | 46,457 | 437,830 | |||||
AMP | 121,540 | 212,801 | |||||
APA Group | 49,225 | 335,164 | |||||
Aristocrat Leisure | 23,095 | 435,752 | |||||
ASX | 7,717 | 323,114 | |||||
Aurizon Holdings | 78,505 | 233,805 | |||||
AusNet Services | 72,030 | 87,412 | |||||
Australia & New Zealand Banking Group | 117,850 | 2,178,757 | |||||
Bank of Queensland | 16,881 | 115,293 | |||||
Bendigo & Adelaide Bank | 19,475 | 141,466 | |||||
BHP Billiton | 86,778 | 1,733,580 | |||||
BHP Billiton | 130,922 | 3,029,592 | |||||
BlueScope Steel | 22,644 | 232,070 | |||||
Boral | 49,992 | 199,087 | |||||
Brambles | 65,037 | 486,612 | |||||
Caltex Australia | 10,948 | 219,329 | |||||
Challenger | 23,612 | 172,084 | |||||
CIMIC Group | 4,044 | 135,678 | |||||
Coca-Cola Amatil | 22,091 | 155,255 | |||||
Cochlear | 2,328 | 294,071 | |||||
Commonwealth Bank of Australia | 71,757 | 3,529,347 | |||||
Computershare | 19,354 | 271,480 | |||||
Crown Resorts | 16,014 | 142,082 | |||||
CSL | 18,429 | 2,471,593 | |||||
Dexus Property Group | 40,437 | a | 292,833 | ||||
Domino's Pizza Enterprises | 2,506 | 95,989 | |||||
Flight Centre Travel Group | 2,140 | 70,439 | |||||
Fortescue Metals Group | 62,149 | 175,812 | |||||
Goodman Group | 66,254 | 487,594 | |||||
GPT Group | 73,335 | 268,177 | |||||
Harvey Norman Holdings | 21,349 | 48,216 | |||||
Healthscope | 74,351 | 111,079 | |||||
Incitec Pivot | 69,755 | 193,096 | |||||
Insurance Australia Group | 92,877 | 449,912 | |||||
LendLease Group | 23,510 | 293,385 | |||||
Macquarie Group | 13,255 | 1,103,351 | |||||
Medibank Private | 115,472 | 228,530 | |||||
Mirvac Group | 150,475 | 231,566 | |||||
National Australia Bank | 110,843 | 1,984,626 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Australia - 6.8% (continued) | |||||||
Newcrest Mining | 30,814 | 452,522 | |||||
Oil Search | 55,220 | 304,510 | |||||
Orica | 15,372 | 187,140 | |||||
Origin Energy | 70,446 | b | 364,346 | ||||
QBE Insurance Group | 55,136 | 442,702 | |||||
Ramsay Health Care | 5,670 | 226,093 | |||||
REA Group | 2,250 | 114,380 | |||||
Santos | 70,714 | 332,969 | |||||
Scentre Group | 219,936 | 618,518 | |||||
SEEK | 13,743 | 174,194 | |||||
Sonic Healthcare | 16,171 | 258,749 | |||||
South32 | 209,023 | 534,769 | |||||
Stockland | 100,018 | 255,983 | |||||
Suncorp Group | 52,251 | 519,324 | |||||
Sydney Airport | 46,218 | 211,120 | |||||
Tabcorp Holdings | 79,303 | 259,941 | |||||
Telstra | 173,287 | 378,989 | |||||
TPG Telecom | 14,383 | 73,156 | |||||
Transurban Group | 105,897 | 849,910 | |||||
Treasury Wine Estates | 30,068 | 322,903 | |||||
Vicinity Centres | 137,818 | 258,257 | |||||
Wesfarmers | 46,562 | 1,541,695 | |||||
Westpac Banking | 139,487 | 2,667,758 | |||||
Woodside Petroleum | 37,940 | 938,226 | |||||
Woolworths | 53,264 | 1,073,364 | |||||
37,503,645 | |||||||
Austria - .2% | |||||||
ANDRITZ | 3,131 | 161,862 | |||||
Erste Group Bank | 12,465 | b | 507,211 | ||||
OMV | 6,042 | 336,096 | |||||
Raiffeisen Bank International | 5,860 | 159,792 | |||||
Voestalpine | 4,531 | 160,857 | |||||
1,325,818 | |||||||
Belgium - 1.0% | |||||||
Ageas | 7,405 | 370,513 | |||||
Anheuser-Busch InBev | 31,045 | 2,287,610 | |||||
Colruyt | 2,524 | 146,670 | |||||
Groupe Bruxelles Lambert | 3,239 | 301,403 | |||||
KBC Groep | 10,363 | 713,569 | |||||
Proximus | 6,406 | 163,581 | |||||
Solvay | 2,960 | 337,286 | |||||
Telenet Group Holding | 2,038 | 99,038 | |||||
UCB | 5,069 | 425,482 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Belgium - 1.0% (continued) | |||||||
Umicore | 8,575 | 403,693 | |||||
5,248,845 | |||||||
Chile - .0% | |||||||
Antofagasta | 16,439 | 164,720 | |||||
China - .0% | |||||||
Minth Group | 28,000 | 91,192 | |||||
Yangzijiang Shipbuilding Holdings | 91,000 | 81,735 | |||||
172,927 | |||||||
Denmark - 1.6% | |||||||
AP Moller - Maersk, Cl. A | 154 | 182,970 | |||||
AP Moller - Maersk, Cl. B | 272 | 345,329 | |||||
Carlsberg, Cl. B | 4,300 | 474,295 | |||||
Charles Hansen Holding | 3,963 | 400,149 | |||||
Coloplast, Cl. B | 4,773 | 444,922 | |||||
Danske Bank | 28,899 | 552,767 | |||||
DSV | 7,673 | 616,200 | |||||
Genmab | 2,584 | b | 353,973 | ||||
H Lundbeck | 2,953 | 137,637 | |||||
ISS | 6,826 | 224,150 | |||||
Novo Nordisk, Cl. B | 74,074 | 3,199,222 | |||||
Novozymes, Cl. B | 8,788 | 434,074 | |||||
Orsted | 7,602 | c | 482,981 | ||||
Pandora | 4,530 | 283,348 | |||||
Tryg | 5,238 | 126,083 | |||||
Vestas Wind Systems | 7,956 | 498,276 | |||||
William Demant Holding | 4,279 | b | 140,654 | ||||
8,897,030 | |||||||
Finland - 1.2% | |||||||
Elisa | 5,958 | 237,186 | |||||
Fortum | 18,444 | 388,418 | |||||
Kone, Cl. B | 13,972 | 680,634 | |||||
Metso | 4,141 | 130,478 | |||||
Neste | 5,198 | 428,280 | |||||
Nokia | 231,011 | 1,301,967 | |||||
Nokian Renkaat | 4,816 | 152,793 | |||||
Nordea Bank | 126,941 | 1,104,040 | |||||
Orion, Cl. B | 4,244 | 145,795 | |||||
Sampo, Cl. A | 18,140 | 835,168 | |||||
Stora Enso, Cl. R | 22,540 | 339,473 | |||||
UPM-Kymmene | 21,573 | 693,803 | |||||
Wartsila | 17,967 | 305,093 | |||||
6,743,128 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
France - 10.5% | |||||||
Accor | 7,811 | 357,398 | |||||
Aeroports de Paris | 1,220 | 255,342 | |||||
Air Liquide | 17,456 | 2,114,503 | |||||
Airbus Group | 23,724 | 2,614,781 | |||||
Alstom | 6,261 | 274,005 | |||||
Amundi | 2,557 | c | 152,071 | ||||
Arkema | 2,846 | 298,015 | |||||
Atos | 3,916 | 335,204 | |||||
AXA | 79,006 | 1,977,796 | |||||
BioMerieux | 1,765 | 134,642 | |||||
BNP Paribas | 45,793 | 2,387,841 | |||||
Bollore | 37,683 | 159,382 | |||||
Bouygues | 8,759 | 319,675 | |||||
Bureau Veritas | 11,256 | 254,326 | |||||
Capgemini | 6,600 | 806,929 | |||||
Carrefour | 24,125 | 468,004 | |||||
Casino Guichard Perrachon | 2,041 | 90,013 | |||||
Cie de St-Gobain | 20,523 | 772,260 | |||||
Cie Generale des Etablissements Michelin | 7,031 | 720,351 | |||||
CNP Assurances | 6,982 | 155,612 | |||||
Covivio | 1,506 | 151,205 | |||||
Credit Agricole | 47,059 | 602,781 | |||||
Danone | 25,301 | 1,792,599 | |||||
Dassault Aviation | 105 | 174,197 | |||||
Dassault Systemes | 5,262 | 657,985 | |||||
Edenred | 9,395 | 355,994 | |||||
Eiffage | 3,157 | 308,740 | |||||
Electricite de France | 24,507 | 406,584 | |||||
Engie | 75,179 | 1,002,334 | |||||
Essilor International | 8,534 | 1,166,721 | |||||
Eurazeo | 1,930 | 141,073 | |||||
Eutelsat Communications | 6,845 | 139,084 | |||||
Faurecia | 3,057 | 147,768 | |||||
Gecina | 1,887 | 276,732 | |||||
Getlink | 19,532 | 245,838 | |||||
Hermes International | 1,279 | 728,922 | |||||
ICADE | 1,449 | 122,906 | |||||
Iliad | 1,145 | 132,391 | |||||
Imerys | 1,513 | 93,356 | |||||
Ingenico Group | 2,442 | 173,169 | |||||
Ipsen | 1,515 | 210,119 | |||||
JCDecaux | 3,285 | 108,068 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
France - 10.5% (continued) | |||||||
Kering | 3,110 | 1,379,001 | |||||
Klepierre | 8,463 | 287,067 | |||||
Legrand | 10,779 | 704,558 | |||||
L'Oreal | 10,294 | 2,318,137 | |||||
LVMH Moet Hennessy Louis Vuitton | 11,341 | 3,435,830 | |||||
Natixis | 40,044 | 233,943 | |||||
Orange | 81,854 | 1,279,581 | |||||
Pernod Ricard | 8,712 | 1,329,334 | |||||
Peugeot | 23,690 | 562,026 | |||||
Publicis Groupe | 8,360 | 484,957 | |||||
Remy Cointreau | 855 | 101,515 | |||||
Renault | 7,752 | 578,980 | |||||
Rexel | 12,502 | 159,539 | |||||
Safran | 13,706 | 1,765,492 | |||||
Sanofi | 45,852 | 4,098,285 | |||||
Schneider Electric | 22,432 | 1,626,811 | |||||
SCOR | 6,634 | 306,941 | |||||
SEB | 924 | 132,243 | |||||
Societe BIC | 980 | 93,784 | |||||
Societe Generale | 31,488 | 1,156,643 | |||||
Sodexo | 3,616 | 368,937 | |||||
Suez Environnement | 14,672 | 212,212 | |||||
Teleperformance | 2,368 | 390,230 | |||||
Thales | 4,284 | 546,946 | |||||
Total | 97,658 | 5,731,468 | |||||
Ubisoft Entertainment | 3,110 | b | 278,882 | ||||
Unibail-Rodamco-Westfield | 4,200 | 761,809 | |||||
Unibail-Rodamco-Westfield-CDI | 29,680 | b | 268,675 | ||||
Valeo | 9,750 | 314,775 | |||||
Veolia Environnement | 21,445 | 427,843 | |||||
Vinci | 20,624 | 1,841,578 | |||||
Vivendi | 42,701 | 1,031,715 | |||||
Wendel | 1,070 | 138,702 | |||||
58,135,155 | |||||||
Germany - 8.3% | |||||||
1&1 Drillisch | 2,258 | 100,792 | |||||
adidas | 7,737 | 1,822,538 | |||||
Allianz | 17,955 | 3,749,294 | |||||
Axel Springer | 1,985 | 131,973 | |||||
BASF | 37,435 | 2,883,713 | |||||
Bayer | 38,024 | 2,919,337 | |||||
Bayerische Motoren Werke | 13,577 | 1,171,146 | |||||
Beiersdorf | 4,042 | 418,385 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Germany - 8.3% (continued) | |||||||
Brenntag | 6,431 | 336,239 | |||||
Commerzbank | 41,905 | b | 395,621 | ||||
Continental | 4,528 | 748,517 | |||||
Covestro | 7,742 | c | 500,577 | ||||
Daimler | 37,030 | 2,195,298 | |||||
Delivery Hero | 3,669 | b,c | 148,202 | ||||
Deutsche Bank | 80,377 | 787,286 | |||||
Deutsche Boerse | 7,949 | 1,006,655 | |||||
Deutsche Lufthansa | 10,025 | 201,690 | |||||
Deutsche Post | 40,103 | 1,269,687 | |||||
Deutsche Telekom | 135,735 | 2,228,770 | |||||
Deutsche Wohnen-BR | 14,320 | 655,743 | |||||
E.ON | 90,708 | 878,833 | |||||
Evonik Industries | 6,850 | 212,419 | |||||
Fraport Frankfurt Airport Services Worldwide | 1,702 | 131,639 | |||||
Fresenius & Co. | 17,070 | 1,087,873 | |||||
Fresenius Medical Care & Co. | 8,893 | 699,995 | |||||
GEA Group | 7,022 | 213,555 | |||||
Hannover Rueck | 2,517 | 339,507 | |||||
HeidelbergCement | 6,162 | 418,657 | |||||
Henkel & Co. | 4,244 | 416,080 | |||||
HOCHTIEF | 849 | 126,010 | |||||
HUGO BOSS | 2,589 | 185,276 | |||||
Infineon Technologies | 46,561 | 933,416 | |||||
Innogy | 5,409 | b | 225,635 | ||||
K+S | 8,061 | 150,318 | |||||
KION Group | 3,038 | 178,146 | |||||
LANXESS | 3,429 | 212,803 | |||||
MAN | 1,521 | 158,441 | |||||
Merck | 5,204 | 557,653 | |||||
METRO | 7,713 | 116,112 | |||||
MTU Aero Engines Holding | 2,124 | 451,566 | |||||
Muenchener Rueckversicherungs | 6,136 | 1,320,822 | |||||
OSRAM Licht | 3,983 | 161,423 | |||||
ProSiebenSat.1 Media | 9,404 | 217,409 | |||||
Puma | 333 | 171,195 | |||||
RWE | 21,113 | 411,645 | |||||
SAP | 40,094 | 4,296,879 | |||||
Siemens | 31,197 | 3,594,876 | |||||
Siemens Healthineers | 6,239 | c | 258,514 | ||||
Symrise | 4,940 | 414,872 | |||||
Telefonica Deutschland Holding | 30,497 | 118,620 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Germany - 8.3% (continued) | |||||||
ThyssenKrupp | 17,712 | 372,410 | |||||
TUI | 18,059 | 299,686 | |||||
Uniper | 8,104 | 234,207 | |||||
United Internet | 5,130 | 212,651 | |||||
Volkswagen | 1,388 | 229,115 | |||||
Vonovia | 20,012 | 916,389 | |||||
Wirecard | 4,808 | 899,949 | |||||
Zalando | 4,413 | b,c | 170,945 | ||||
45,667,004 | |||||||
Hong Kong - 3.2% | |||||||
AIA Group | 492,600 | 3,746,726 | |||||
ASM Pacific Technology | 12,900 | 111,730 | |||||
Bank of East Asia | 49,550 | 160,107 | |||||
BOC Hong Kong Holdings | 152,500 | 568,243 | |||||
CK Asset Holdings | 106,475 | 689,395 | |||||
CK Hutchison Holdings | 110,475 | 1,109,948 | |||||
CK Infrastructure Holdings | 28,000 | 205,071 | |||||
CLP Holdings | 66,288 | 742,618 | |||||
Dairy Farm International Holdings | 13,500 | 122,087 | |||||
Galaxy Entertainment Group | 98,277 | 528,408 | |||||
Hang Lung Group | 36,000 | 88,460 | |||||
Hang Lung Properties | 84,000 | 152,028 | |||||
Hang Seng Bank | 31,600 | 738,118 | |||||
Henderson Land Development | 55,217 | 257,644 | |||||
HK Electric Investments | 106,500 | 101,242 | |||||
HKT Trust | 161,660 | 223,107 | |||||
Hong Kong & China Gas | 372,964 | 710,512 | |||||
Hong Kong Exchanges & Clearing | 48,335 | 1,288,889 | |||||
Hongkong Land Holdings | 49,000 | 290,465 | |||||
Hysan Development | 27,000 | 126,455 | |||||
Jardine Matheson Holdings | 9,146 | 528,622 | |||||
Jardine Strategic Holdings | 9,200 | 308,747 | |||||
Kerry Properties | 28,500 | 89,936 | |||||
Li & Fung | 251,200 | 49,837 | |||||
Link REIT | 87,000 | 770,046 | |||||
Melco Crown Entertainment, ADR | 9,830 | 163,473 | |||||
MTR | 59,895 | 289,866 | |||||
New World Development | 246,566 | 312,090 | |||||
NWS Holdings | 64,918 | 128,612 | |||||
PCCW | 167,000 | 91,512 | |||||
Power Assets Holdings | 55,500 | 370,125 | |||||
Shangri-La Asia | 49,000 | 66,780 | |||||
Sino Land | 127,730 | 200,099 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Hong Kong - 3.2% (continued) | |||||||
SJM Holdings | 78,530 | 63,800 | |||||
Sun Hung Kai Properties | 65,699 | 856,245 | |||||
Swire Pacific, Cl. A | 21,000 | 217,656 | |||||
Swire Properties | 48,800 | 167,123 | |||||
Techtronic Industries | 57,365 | 269,310 | |||||
WH Group | 362,000 | c | 252,919 | ||||
Wharf Holdings | 50,311 | 125,205 | |||||
Wharf Real Estate Investment | 50,311 | 312,483 | |||||
Wheelock & Co. | 34,000 | 181,915 | |||||
Yue Yuen Industrial Holdings | 26,800 | 73,525 | |||||
17,851,179 | |||||||
Ireland - .7% | |||||||
AerCap Holdings | 4,955 | b | 248,146 | ||||
AIB Group | 34,440 | 166,529 | |||||
Bank of Ireland Group | 38,943 | 276,166 | |||||
CRH | 34,429 | 1,028,751 | |||||
DCC | 3,616 | 310,044 | |||||
James Hardie Industries-CDI | 18,436 | 245,596 | |||||
Kerry Group, Cl. A | 6,404 | 656,481 | |||||
Paddy Power Betfair | 3,405 | 293,746 | |||||
Ryanair Holdings | 3,900 | b | 52,698 | ||||
Smurfit Kappa Group | 9,519 | 310,478 | |||||
3,588,635 | |||||||
Isle Of Man - .1% | |||||||
GVC Holdings | 22,439 | 268,674 | |||||
Israel - .5% | |||||||
Azrieli Group | 1,603 | 77,769 | |||||
Bank Hapoalim | 42,466 | 286,834 | |||||
Bank Leumi Le-Israel | 59,125 | 368,504 | |||||
Bezeq The Israeli Telecommunication Corporation | 79,342 | 91,068 | |||||
Check Point Software Technologies | 5,187 | b | 575,757 | ||||
Elbit Systems | 962 | 114,776 | |||||
Israel Chemicals | 30,384 | 174,676 | |||||
Israel Discount Bank, Cl. A | 1 | 3 | |||||
Mizrahi Tefahot Bank | 6,222 | 104,556 | |||||
NICE | 2,452 | b | 259,587 | ||||
Teva Pharmaceutical Industries, ADR | 39,147 | 782,157 | |||||
2,835,687 | |||||||
Italy - 1.9% | |||||||
Assicurazioni Generali | 47,465 | 765,703 | |||||
Atlantia | 19,839 | 398,399 | |||||
Davide Campari-Milano | 24,584 | 188,972 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Italy - 1.9% (continued) | |||||||
Enel | 334,105 | 1,639,296 | |||||
Eni | 104,540 | 1,859,325 | |||||
Ferrari | 4,940 | 577,711 | |||||
Intesa Sanpaolo | 610,842 | 1,350,455 | |||||
Leonardo | 17,321 | 188,045 | |||||
Luxottica Group | 6,952 | 436,415 | |||||
Mediobanca | 25,563 | 223,431 | |||||
Moncler | 7,581 | 262,981 | |||||
Pirelli & C | 15,955 | c | 116,931 | ||||
Poste Italiane | 21,336 | c | 153,329 | ||||
Prysmian | 10,097 | 196,224 | |||||
Recordati | 4,207 | 142,307 | |||||
Snam | 93,215 | 384,658 | |||||
Telecom Italia | 474,399 | b | 279,428 | ||||
Telecom Italia-RSP | 232,484 | 117,338 | |||||
Terna Rete Elettrica Nazionale | 58,277 | 301,268 | |||||
UniCredit | 82,292 | 1,051,950 | |||||
10,634,166 | |||||||
Japan - 24.0% | |||||||
ABC-Mart | 1,500 | 87,874 | |||||
Acom | 15,500 | 57,078 | |||||
Aeon | 25,300 | 579,292 | |||||
AEON Financial Service | 4,860 | 95,051 | |||||
AEON Mall | 4,480 | 82,843 | |||||
AGC | 7,760 | 254,116 | |||||
Air Water | 5,500 | 88,808 | |||||
Aisin Seiki | 6,600 | 258,297 | |||||
Ajinomoto | 18,900 | 305,370 | |||||
Alfresa Holdings | 7,600 | 204,077 | |||||
Alps Electric | 7,700 | 181,989 | |||||
Amada Holdings | 13,900 | 131,836 | |||||
ANA Holdings | 4,900 | 165,200 | |||||
Aozora Bank | 4,795 | 165,016 | |||||
Asahi Group Holdings | 14,600 | 644,714 | |||||
Asahi Kasei | 51,000 | 610,854 | |||||
Asics | 5,900 | 85,410 | |||||
Astellas Pharma | 77,195 | 1,190,812 | |||||
Bandai Namco Holdings | 8,250 | 292,816 | |||||
Bank of Kyoto | 2,000 | 89,794 | |||||
Benesse Holdings | 3,200 | 89,462 | |||||
Bridgestone | 25,000 | 963,154 | |||||
Brother Industries | 9,400 | 171,570 | |||||
CALBEE | 3,500 | 115,996 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Canon | 41,017 | 1,165,620 | |||||
Casio Computer | 8,500 | 127,970 | |||||
Central Japan Railway | 5,900 | 1,136,274 | |||||
Chiba Bank | 25,000 | 157,861 | |||||
Chubu Electric Power | 24,700 | 355,861 | |||||
Chugai Pharmaceutical | 9,128 | 534,963 | |||||
Chugoku Electric Power | 12,000 | 154,158 | |||||
Coca-Cola Bottlers Japan Holdings | 5,400 | 140,851 | |||||
Concordia Financial Group | 45,000 | 205,710 | |||||
Credit Saison | 6,200 | 98,340 | |||||
CyberAgent | 4,000 | 171,207 | |||||
CYBERDYNE | 4,200 | b | 29,557 | ||||
Dai Nippon Printing | 9,900 | 221,853 | |||||
Daicel | 10,000 | 105,537 | |||||
Daifuku Co. | 4,300 | 183,795 | |||||
Dai-ichi Life Insurance | 44,500 | 837,740 | |||||
Daiichi Sankyo | 23,183 | 883,759 | |||||
Daikin Industries | 10,100 | 1,169,044 | |||||
Daito Trust Construction | 2,900 | 381,855 | |||||
Daiwa House Industry | 23,400 | 704,116 | |||||
Daiwa House REIT Investment Corporation | 73 | 160,081 | |||||
Daiwa Securities Group | 64,600 | 371,968 | |||||
DeNA | 4,300 | 71,592 | |||||
Denso | 17,900 | 797,782 | |||||
Dentsu | 8,800 | 407,869 | |||||
Disco | 1,200 | 189,704 | |||||
Don Quijote Holdings | 5,000 | 299,156 | |||||
East Japan Railway | 12,600 | 1,100,208 | |||||
Eisai | 10,300 | 856,198 | |||||
Electric Power Development | 6,080 | 165,428 | |||||
FamilyMart | 2,617 | 303,472 | |||||
FANUC | 7,929 | 1,377,970 | |||||
Fast Retailing | 2,358 | 1,189,822 | |||||
Fuji Electric | 4,700 | 143,218 | |||||
FUJIFILM Holdings | 15,600 | 673,737 | |||||
Fujitsu | 7,880 | 477,112 | |||||
Fukuoka Financial Group | 5,800 | 142,242 | |||||
Hakuhodo DY Holdings | 9,900 | 164,730 | |||||
Hamamatsu Photonics | 5,500 | 183,537 | |||||
Hankyu Hanshin Holdings | 9,300 | 305,785 | |||||
Hikari Tsushin | 900 | 156,900 | |||||
Hino Motors | 11,300 | 108,173 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Hirose Electric | 1,233 | 118,525 | |||||
Hisamitsu Pharmaceutical | 2,400 | 134,983 | |||||
Hitachi | 39,680 | 1,211,893 | |||||
Hitachi Chemical | 4,000 | 62,836 | |||||
Hitachi Construction Machinery | 4,600 | 121,852 | |||||
Hitachi High-Technologies | 2,700 | 101,109 | |||||
Hitachi Metals | 7,900 | 92,792 | |||||
Honda Motor | 66,959 | 1,915,273 | |||||
Hoshizaki | 2,200 | 177,049 | |||||
Hoya | 15,700 | 889,166 | |||||
Hulic | 11,200 | 103,122 | |||||
Idemitsu Kosan | 5,400 | 245,557 | |||||
IHI | 6,000 | 218,908 | |||||
Iida Group Holdings | 5,800 | 105,254 | |||||
INPEX | 41,200 | 475,255 | |||||
Isetan Mitsukoshi Holdings | 14,520 | 170,621 | |||||
Isuzu Motors | 23,000 | 300,705 | |||||
ITOCHU | 57,900 | 1,070,893 | |||||
J Front Retailing | 9,200 | 120,461 | |||||
Japan Airlines | 5,000 | 177,709 | |||||
Japan Airport Terminal | 1,800 | 68,800 | |||||
Japan Exchange Group | 20,800 | 371,814 | |||||
Japan Post Bank | 17,400 | 202,636 | |||||
Japan Post Holdings | 63,700 | 757,991 | |||||
Japan Prime Realty Investment | 35 | 124,921 | |||||
Japan Real Estate Investment | 55 | 283,882 | |||||
Japan Retail Fund Investment | 112 | 206,784 | |||||
Japan Tobacco | 45,100 | 1,159,706 | |||||
JFE Holdings | 19,960 | 375,281 | |||||
JGC | 8,700 | 168,239 | |||||
JSR | 8,100 | 120,432 | |||||
JTEKT | 8,200 | 101,864 | |||||
JXTG Holdings | 134,226 | 910,128 | |||||
Kajima | 18,400 | 236,206 | |||||
Kakaku.com | 5,100 | 92,116 | |||||
Kamigumi | 4,700 | 96,878 | |||||
Kaneka | 2,000 | 83,283 | |||||
Kansai Electric Power | 28,199 | 433,606 | |||||
Kansai Paint | 7,800 | 114,904 | |||||
Kao | 20,300 | 1,349,900 | |||||
Kawasaki Heavy Industries | 5,900 | 139,553 | |||||
KDDI | 72,163 | 1,795,703 | |||||
Keihan Holdings | 4,200 | 158,897 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Keikyu | 8,700 | 128,487 | |||||
Keio | 4,000 | 216,728 | |||||
Keisei Electric Railway | 5,100 | 156,591 | |||||
Keyence | 3,970 | 1,934,200 | |||||
Kikkoman | 6,000 | 329,326 | |||||
Kintetsu Group Holdings | 6,835 | 263,106 | |||||
Kirin Holdings | 33,600 | 801,210 | |||||
Kobayashi Pharmaceutical Co. | 2,000 | 130,608 | |||||
Kobe Steel | 13,300 | 106,533 | |||||
Koito Manufacturing | 4,300 | 206,648 | |||||
Komatsu | 38,000 | 985,342 | |||||
Konami Holdings | 3,900 | 148,441 | |||||
Konica Minolta | 18,000 | 177,980 | |||||
Kose | 1,300 | 193,118 | |||||
Kubota | 40,300 | 633,488 | |||||
Kuraray | 13,000 | 178,394 | |||||
Kurita Water Industries | 4,300 | 105,563 | |||||
Kyocera | 13,200 | 714,843 | |||||
Kyowa Hakko Kirin | 10,705 | 207,546 | |||||
Kyushu Electric Power | 16,000 | 185,944 | |||||
Kyushu Railway Co. | 6,700 | 204,900 | |||||
Lawson | 2,100 | 132,987 | |||||
LINE | 2,800 | b | 89,076 | ||||
Lion | 9,400 | 177,766 | |||||
LIXIL Group | 10,824 | 169,900 | |||||
M3 | 17,000 | 275,906 | |||||
Mabuchi Motor | 1,900 | 67,431 | |||||
Makita | 9,300 | 320,409 | |||||
Marubeni | 63,000 | 509,121 | |||||
Marui Group | 7,500 | 162,294 | |||||
Maruichi Steel Tube | 2,000 | 57,556 | |||||
Mazda Motor | 23,800 | 257,376 | |||||
McDonald's Holdings Co. Japan | 2,800 | 123,601 | |||||
Mebuki Financial Group | 34,130 | 103,904 | |||||
Medipal Holdings | 7,300 | 156,302 | |||||
MEIJI Holdings | 4,942 | 327,852 | |||||
MinebeaMitsumi | 15,900 | 241,748 | |||||
MISUMI Group | 11,638 | 235,575 | |||||
Mitsubishi | 55,498 | 1,557,765 | |||||
Mitsubishi Chemical Holdings | 52,480 | 407,744 | |||||
Mitsubishi Electric | 74,700 | 944,758 | |||||
Mitsubishi Estate | 47,800 | 762,629 | |||||
Mitsubishi Gas Chemical | 6,700 | 112,256 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Mitsubishi Heavy Industries | 12,470 | 439,388 | |||||
Mitsubishi Materials | 4,600 | 127,142 | |||||
Mitsubishi Motors | 28,600 | 179,491 | |||||
Mitsubishi Tanabe Pharma | 10,700 | 158,704 | |||||
Mitsubishi UFJ Financial Group | 481,590 | 2,914,836 | |||||
Mitsubishi UFJ Lease & Finance | 15,000 | 76,861 | |||||
Mitsui & Co. | 67,900 | 1,141,069 | |||||
Mitsui Chemicals | 7,600 | 171,773 | |||||
Mitsui Fudosan | 36,786 | 826,559 | |||||
Mitsui OSK Lines | 5,000 | 121,540 | |||||
Mizuho Financial Group | 990,800 | 1,699,676 | |||||
MS&AD Insurance Group Holdings | 19,657 | 591,793 | |||||
Murata Manufacturing | 7,300 | 1,132,741 | |||||
Nabtesco | 4,700 | 103,020 | |||||
Nagoya Railroad | 7,600 | 183,055 | |||||
NEC | 10,480 | 300,413 | |||||
NEXON | 17,700 | b | 200,611 | ||||
NGK Insulators | 11,100 | 156,928 | |||||
NGK Spark Plug | 6,626 | 133,923 | |||||
NH Foods | 3,500 | 120,666 | |||||
Nidec | 9,100 | 1,177,753 | |||||
Nikon | 13,460 | 233,480 | |||||
Nintendo | 4,625 | 1,433,762 | |||||
Nippon Building Fund | 56 | 319,885 | |||||
Nippon Electric Glass | 3,417 | 85,960 | |||||
Nippon Express | 3,000 | 189,330 | |||||
Nippon Paint Holdings | 6,000 | 187,025 | |||||
Nippon Prologis REIT | 74 | 149,134 | |||||
Nippon Steel & Sumitomo Metal | 31,461 | 579,389 | |||||
Nippon Telegraph & Telephone | 28,400 | 1,192,710 | |||||
Nippon Yusen | 5,880 | 94,779 | |||||
Nissan Chemical | 5,100 | 240,214 | |||||
Nissan Motor | 95,700 | 873,994 | |||||
Nisshin Seifun Group | 8,138 | 161,916 | |||||
Nissin Foods Holdings | 2,500 | 161,124 | |||||
Nitori Holdings | 3,300 | 432,799 | |||||
Nitto Denko | 6,600 | 411,421 | |||||
NOK | 3,600 | 51,558 | |||||
Nomura Holdings | 139,800 | 659,442 | |||||
Nomura Real Estate Holdings | 5,500 | 102,908 | |||||
Nomura Real Estate Master Fund | 158 | 204,778 | |||||
Nomura Research Institute | 4,583 | 204,022 | |||||
NSK | 14,200 | 140,051 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
NTT Data | 26,400 | 339,175 | |||||
NTT DOCOMO | 54,300 | 1,365,409 | |||||
Obayashi | 27,600 | 242,733 | |||||
Obic | 2,600 | 239,382 | |||||
Odakyu Electric Railway | 12,500 | 263,542 | |||||
Oji Holdings | 36,000 | 255,641 | |||||
Olympus | 12,100 | 402,604 | |||||
Omron | 7,800 | 315,098 | |||||
Ono Pharmaceutical | 15,900 | 361,093 | |||||
Oracle Japan | 1,600 | 108,218 | |||||
Oriental Land | 8,200 | 774,454 | |||||
ORIX | 54,600 | 887,630 | |||||
Osaka Gas | 15,400 | 282,088 | |||||
OTSUKA | 4,400 | 145,636 | |||||
Otsuka Holdings | 16,000 | 764,466 | |||||
Panasonic | 90,895 | 1,002,186 | |||||
Park24 | 4,700 | 123,411 | |||||
Persol Holdings Co. | 7,500 | 142,103 | |||||
Pola Orbis Holdings | 3,900 | 103,765 | |||||
Rakuten | 35,100 | 239,123 | |||||
Recruit Holdings | 45,200 | 1,211,411 | |||||
Renesas Electronics | 33,400 | b | 175,963 | ||||
Resona Holdings | 84,000 | 441,441 | |||||
Ricoh | 27,200 | 271,357 | |||||
Rinnai | 1,400 | 101,610 | |||||
Rohm | 3,900 | 277,201 | |||||
Ryohin Keikaku | 1,000 | 264,086 | |||||
Sankyo | 2,000 | 76,149 | |||||
Santen Pharmaceutical | 14,600 | 216,034 | |||||
SBI Holdings | 9,030 | 235,537 | |||||
Secom | 8,500 | 695,072 | |||||
Sega Sammy Holdings | 7,484 | 96,033 | |||||
Seibu Holdings | 8,900 | 160,972 | |||||
Seiko Epson | 11,800 | 190,023 | |||||
Sekisui Chemical | 15,400 | 240,922 | |||||
Sekisui House | 24,900 | 365,769 | |||||
Seven & i Holdings | 30,960 | 1,339,763 | |||||
Seven Bank | 26,000 | 81,168 | |||||
SG Holdings Co. | 3,800 | 96,158 | |||||
Sharp | 7,000 | 108,356 | |||||
Shimadzu | 9,100 | 229,052 | |||||
Shimamura | 1,000 | 84,284 | |||||
Shimano | 3,100 | 425,481 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Shimizu | 22,000 | 179,515 | |||||
Shin-Etsu Chemical | 14,900 | 1,244,302 | |||||
Shinsei Bank | 6,900 | 104,788 | |||||
Shionogi & Co. | 11,300 | 722,029 | |||||
Shiseido | 15,600 | 981,272 | |||||
Shizuoka Bank | 17,000 | 148,649 | |||||
Showa Denko | 5,300 | 229,689 | |||||
Showa Shell Sekiyu | 7,500 | 144,207 | |||||
SMC | 2,300 | 731,606 | |||||
SoftBank Group | 33,600 | 2,724,236 | |||||
Sohgo Security Services | 3,100 | 138,622 | |||||
Sompo Japan Nipponkoa Holdings | 13,370 | 552,913 | |||||
Sony | 51,680 | 2,781,423 | |||||
Sony Financial Holdings | 7,000 | 162,131 | |||||
Stanley Electric | 5,500 | 162,324 | |||||
Subaru Corporation | 25,400 | 685,087 | |||||
Sumco | 9,900 | 134,122 | |||||
Sumitomo | 45,500 | 688,108 | |||||
Sumitomo Chemical | 61,000 | 304,335 | |||||
Sumitomo Dainippon Pharma | 6,900 | 143,736 | |||||
Sumitomo Electric Industries | 30,200 | 410,983 | |||||
Sumitomo Heavy Industries | 4,300 | 135,189 | |||||
Sumitomo Metal Mining | 9,800 | 307,629 | |||||
Sumitomo Mitsui Financial Group | 54,700 | 2,125,050 | |||||
Sumitomo Mitsui Trust Holdings | 13,364 | 538,395 | |||||
Sumitomo Realty & Development Co. | 14,400 | 494,051 | |||||
Sumitomo Rubber Industries | 7,400 | 106,135 | |||||
Sundrug | 3,000 | 108,671 | |||||
Suntory Beverage & Food | 5,800 | 236,039 | |||||
Suzuken | 2,812 | 142,157 | |||||
Suzuki Motor | 13,900 | 693,517 | |||||
Sysmex | 6,700 | 468,821 | |||||
T&D Holdings | 23,200 | 372,108 | |||||
Taiheiyo Cement | 5,200 | 153,136 | |||||
Taisei | 8,800 | 375,567 | |||||
Taisho Pharmaceutical Holdings | 1,400 | 149,025 | |||||
Taiyo Nippon Sanso | 4,800 | 76,988 | |||||
Takashimaya | 6,000 | 94,414 | |||||
Takeda Pharmaceutical | 29,000 | 1,171,852 | |||||
TDK | 5,400 | 462,831 | |||||
Teijin | 7,000 | 121,151 | |||||
Terumo | 12,300 | 661,399 | |||||
THK | 5,100 | 112,172 |
21
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Japan - 24.0% (continued) | |||||||
Tobu Railway | 8,000 | 223,069 | |||||
Toho | 4,700 | 153,172 | |||||
Toho Gas | 3,200 | 110,383 | |||||
Tohoku Electric Power | 17,400 | 220,779 | |||||
Tokio Marine Holdings | 27,600 | 1,303,038 | |||||
Tokyo Century | 1,700 | 90,735 | |||||
Tokyo Electric Power Co. Holdings | 57,972 | b | 296,304 | ||||
Tokyo Electron | 6,500 | 907,344 | |||||
Tokyo Gas | 16,000 | 393,335 | |||||
Tokyo Tatemono | 8,500 | 91,333 | |||||
Tokyu | 20,810 | 342,424 | |||||
Tokyu Fudosan Holdings | 21,900 | 123,988 | |||||
Toppan Printing | 9,600 | 135,559 | |||||
Toray Industries | 57,500 | 407,343 | |||||
Toshiba | 26,400 | b | 788,213 | ||||
Tosoh | 10,600 | 139,563 | |||||
TOTO | 5,800 | 207,401 | |||||
Toyo Seikan Group Holdings | 6,000 | 122,473 | |||||
Toyo Suisan Kaisha | 3,400 | 117,000 | |||||
Toyoda Gosei | 2,400 | 52,053 | |||||
Toyota Industries | 6,000 | 296,804 | |||||
Toyota Motor | 93,255 | 5,460,444 | |||||
Toyota Tsusho | 8,900 | 320,759 | |||||
Trend Micro | 4,800 | 276,046 | |||||
Tsuruha Holdings | 1,500 | 155,769 | |||||
Unicharm | 16,500 | 447,736 | |||||
United Urban Investment | 116 | 176,574 | |||||
USS | 9,100 | 163,795 | |||||
West Japan Railway | 6,600 | 442,355 | |||||
Yahoo! Japan | 110,000 | 344,912 | |||||
Yakult Honsha | 4,400 | 311,418 | |||||
Yamada Denki | 26,900 | 126,649 | |||||
Yamaguchi Financial Group | 8,800 | 92,799 | |||||
Yamaha | 5,700 | 250,290 | |||||
Yamaha Motor | 11,200 | 264,750 | |||||
Yamato Holdings | 12,600 | 343,788 | |||||
Yamazaki Baking | 5,000 | 90,031 | |||||
Yaskawa Electric | 9,800 | 281,944 | |||||
Yokogawa Electric | 9,500 | 186,168 | |||||
Yokohama Rubber | 4,500 | 87,018 | |||||
ZOZO | 8,100 | 194,240 | |||||
132,524,017 |
22
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Jersey - .1% | |||||||
Randgold Resources | 3,786 | 297,757 | |||||
Luxembourg - .3% | |||||||
ArcelorMittal | 27,158 | 677,150 | |||||
Eurofins Scientific | 476 | 240,531 | |||||
Millicom International Cellular, SDR | 2,847 | 160,810 | |||||
RTL Group | 1,680 | 107,831 | |||||
SES | 14,758 | 317,093 | |||||
Tenaris | 19,671 | 290,313 | |||||
1,793,728 | |||||||
Macau - .1% | |||||||
MGM China Holdings | 40,000 | 56,840 | |||||
Sands China | 100,213 | 397,447 | |||||
Wynn Macau | 65,200 | 133,766 | |||||
588,053 | |||||||
Mexico - .0% | |||||||
Fresnillo | 9,224 | 100,010 | |||||
Netherlands - 4.6% | |||||||
ABN AMRO Group | 16,967 | c | 416,833 | ||||
Aegon | 71,451 | 438,970 | |||||
Akzo Nobel | 10,341 | 869,725 | |||||
ASML Holding | 16,707 | 2,856,804 | |||||
EXOR | 4,524 | 256,278 | |||||
Heineken | 10,675 | 962,043 | |||||
Heineken Holding | 4,614 | 399,568 | |||||
ING Groep | 158,370 | 1,873,666 | |||||
Koninklijke Ahold Delhaize | 51,120 | 1,171,147 | |||||
Koninklijke DSM | 7,324 | 641,342 | |||||
Koninklijke KPN | 139,890 | 369,984 | |||||
Koninklijke Philips | 38,641 | 1,440,543 | |||||
Koninklijke Vopak | 2,912 | 131,852 | |||||
NN Group | 12,267 | 527,571 | |||||
NXP Semiconductors | 14,088 | 1,056,459 | |||||
QIAGEN | 9,188 | b | 333,688 | ||||
Randstad Holding | 4,812 | 242,697 | |||||
Royal Dutch Shell, Cl. A | 187,644 | 5,994,670 | |||||
Royal Dutch Shell, Cl. B | 152,838 | 4,976,355 | |||||
Wolters Kluwer | 11,996 | 681,128 | |||||
25,641,323 | |||||||
New Zealand - .2% | |||||||
a2 Milk Co. | 29,178 | b | 200,277 | ||||
Auckland International Airport | 41,164 | 187,643 | |||||
Fisher & Paykel Healthcare Corporation | 24,032 | 214,126 | |||||
Fletcher Building | 34,315 | b | 135,573 |
23
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
New Zealand - .2% (continued) | |||||||
Meridian Energy | 52,186 | 106,711 | |||||
Ryman Healthcare | 16,781 | 132,441 | |||||
Spark New Zealand | 75,655 | 195,413 | |||||
1,172,184 | |||||||
Norway - .8% | |||||||
Aker | 4,309 | 141,547 | |||||
DNB | 39,964 | 720,690 | |||||
Equinor | 47,449 | 1,222,558 | |||||
Gjensidige Forsikring | 8,353 | 129,185 | |||||
Marine Harvest | 17,119 | 413,838 | |||||
Norsk Hydro | 54,441 | 281,607 | |||||
Orkla | 33,180 | 285,975 | |||||
Schibsted, Cl. B | 4,266 | 134,867 | |||||
Telenor | 31,035 | 568,406 | |||||
Yara International | 7,257 | 311,518 | |||||
4,210,191 | |||||||
Portugal - .2% | |||||||
Banco Espirito Santo | 118,053 | b,d | 0 | ||||
Energias de Portugal | 102,316 | 359,485 | |||||
Galp Energia | 20,573 | 358,653 | |||||
Jeronimo Martins | 10,446 | 128,440 | |||||
846,578 | |||||||
Singapore - 1.2% | |||||||
Ascendas Real Estate Investment Trust | 97,433 | 176,957 | |||||
CapitaLand | 106,800 | 242,476 | |||||
CapitaLand Commercial Trust | 107,851 | 134,844 | |||||
CapitaLand Mall Trust | 103,800 | 158,255 | |||||
City Developments | 17,000 | 96,951 | |||||
ComfortDelGro | 93,200 | 151,429 | |||||
DBS Group Holdings | 73,688 | 1,250,330 | |||||
Genting Singapore | 251,927 | 159,923 | |||||
Golden Agri-Resources | 278,440 | 51,369 | |||||
Jardine Cycle & Carriage | 4,113 | 90,020 | |||||
Keppel | 60,600 | 271,758 | |||||
Oversea-Chinese Banking | 128,838 | 1,001,375 | |||||
SATS | 27,600 | 99,089 | |||||
Sembcorp Industries | 43,254 | 88,237 | |||||
Singapore Airlines | 22,833 | 156,415 | |||||
Singapore Exchange | 34,000 | 168,114 | |||||
Singapore Press Holdings | 69,075 | 132,342 | |||||
Singapore Technologies Engineering | 67,400 | 173,045 | |||||
Singapore Telecommunications | 330,051 | 753,884 | |||||
Suntec Real Estate Investment Trust | 82,800 | 105,929 |
24
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Singapore - 1.2% (continued) | |||||||
United Overseas Bank | 55,063 | 971,276 | |||||
UOL Group | 21,111 | 91,785 | |||||
Venture Corporation | 10,900 | 120,929 | |||||
Wilmar International | 77,300 | 176,058 | |||||
6,822,790 | |||||||
South Africa - .0% | |||||||
Investec | 26,558 | 164,072 | |||||
Mediclinic International | 14,249 | 68,525 | |||||
232,597 | |||||||
Spain - 2.9% | |||||||
ACS Actividades de Construccion y Servicios | 10,453 | 391,355 | |||||
Aena | 2,795 | c | 446,305 | ||||
Amadeus IT Group | 18,017 | 1,452,762 | |||||
Banco Bilbao Vizcaya Argentaria | 273,889 | 1,511,950 | |||||
Banco de Sabadell | 233,993 | 307,966 | |||||
Banco Santander | 664,105 | 3,148,364 | |||||
Bankia | 48,254 | 151,569 | |||||
Bankinter | 28,227 | 231,468 | |||||
CaixaBank | 148,383 | 600,641 | |||||
Enagas | 9,056 | 240,164 | |||||
Endesa | 12,790 | 267,617 | |||||
Ferrovial | 19,406 | 388,512 | |||||
Grifols | 12,418 | 354,203 | |||||
Iberdrola | 244,856 | 1,732,870 | |||||
Inditex | 44,750 | 1,262,136 | |||||
Mapfre | 46,873 | 140,118 | |||||
Naturgy Energy Group | 14,587 | 358,723 | |||||
Red Electrica | 17,696 | 366,504 | |||||
Repsol | 56,097 | 1,004,952 | |||||
Siemens Gamesa Renewable Energy | 10,111 | b | 112,026 | ||||
Telefonica | 191,876 | 1,570,962 | |||||
16,041,167 | |||||||
Sweden - 2.4% | |||||||
Alfa Laval | 11,798 | 301,148 | |||||
Assa Abloy, Cl. B | 41,326 | 823,821 | |||||
Atlas Copco, Cl. A | 27,123 | 670,496 | |||||
Atlas Copco, Cl. B | 15,597 | 357,017 | |||||
Boliden | 11,015 | 250,535 | |||||
Electrolux, Ser. B | 9,785 | 202,669 | |||||
Epiroc | 27,151 | b | 238,140 | ||||
Epiroc | 15,710 | b | 129,288 | ||||
Ericsson, Cl. B | 126,651 | 1,100,183 |
25
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Sweden - 2.4% (continued) | |||||||
Essity | 25,067 | 571,808 | |||||
Hennes & Mauritz, Cl. B | 35,744 | 629,113 | |||||
Hexagon, Cl. B | 10,407 | 509,466 | |||||
Husqvarna, Cl. B | 17,528 | 132,084 | |||||
ICA Gruppen | 3,218 | 113,937 | |||||
Industrivarden, Cl. C | 6,910 | 143,473 | |||||
Investment AB Kinnevik, Cl. B | 9,938 | 274,768 | |||||
Investor, Cl. B | 18,798 | 814,175 | |||||
L E Lundbergforetagen | 3,112 | 95,945 | |||||
Lundin Petroleum | 7,919 | 240,721 | |||||
Sandvik | 45,616 | 721,415 | |||||
Securitas, Cl. B | 13,365 | 229,073 | |||||
Skandinaviska Enskilda Banken, Cl. A | 65,698 | 678,929 | |||||
Skanska, Cl. B | 14,100 | 221,726 | |||||
SKF, Cl. B | 15,606 | 250,386 | |||||
Svenska Handelsbanken, Cl. A | 63,087 | 684,713 | |||||
Swedbank, Cl. A | 37,041 | 832,866 | |||||
Swedish Match | �� | 7,114 | 362,658 | ||||
Tele2, Cl. B | 14,711 | 166,741 | |||||
Telia | 114,927 | 517,220 | |||||
Volvo, Cl. B | 64,483 | 962,495 | |||||
13,227,009 | |||||||
Switzerland - 9.0% | |||||||
ABB | 75,689 | 1,521,576 | |||||
Adecco Group | 6,479 | 316,993 | |||||
Baloise Holding | 2,039 | 291,271 | |||||
Barry Callebaut | 92 | 179,482 | |||||
Cie Financiere Richemont | 21,435 | 1,563,144 | |||||
Clariant | 7,914 | b | 170,131 | ||||
Coca-Cola HBC | 8,135 | b | 240,110 | ||||
Credit Suisse Group | 104,916 | b | 1,367,353 | ||||
Dufry | 1,417 | b | 159,325 | ||||
EMS-Chemie Holding | 344 | 189,361 | |||||
Ferguson | 9,488 | 640,190 | |||||
Geberit | 1,495 | 585,107 | |||||
Givaudan | 381 | 922,348 | |||||
Glencore | 469,619 | b | 1,911,542 | ||||
Julius Baer Group | 8,966 | b | 408,835 | ||||
Kuehne + Nagel International | 2,251 | 312,600 | |||||
LafargeHolcim | 20,001 | b | 927,589 | ||||
Lindt & Spruengli | 4 | 319,246 | |||||
Lindt & Spruengli-PC | 42 | 289,337 | |||||
Lonza Group | 3,050 | b | 956,364 |
26
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
Switzerland - 9.0% (continued) | |||||||
Nestle | 127,100 | 10,719,432 | |||||
Novartis | 88,518 | 7,729,940 | |||||
Pargesa Holding-BR | 1,544 | 113,049 | |||||
Partners Group Holding | 708 | 502,963 | |||||
Roche Holding | 28,681 | 6,959,392 | |||||
Schindler Holding | 853 | 177,047 | |||||
Schindler Holding-PC | 1,696 | 356,171 | |||||
SGS | 221 | 523,597 | |||||
Sika | 5,229 | 670,456 | |||||
Sonova Holding | 2,218 | 361,770 | |||||
STMicroelectronics | 27,403 | 416,630 | |||||
Straumann Holding | 428 | 291,236 | |||||
Swatch Group | 2,353 | 156,623 | |||||
Swatch Group-BR | 1,236 | 416,837 | |||||
Swiss Life Holding | 1,377 | b | 518,854 | ||||
Swiss Prime Site | 2,854 | b | 231,448 | ||||
Swiss Re | 12,896 | 1,163,140 | |||||
Swisscom | 1,074 | 491,383 | |||||
Temenos | 2,540 | b | 347,010 | ||||
UBS Group | 156,951 | b | 2,190,009 | ||||
Vifor Pharma | 1,803 | 260,419 | |||||
Zurich Insurance Group | 6,220 | 1,930,001 | |||||
49,799,311 | |||||||
United Arab Emirates - .0% | |||||||
NMC Health | 4,147 | 187,005 | |||||
United Kingdom - 14.6% | |||||||
3i Group | 39,026 | 437,576 | |||||
Admiral Group | 8,590 | 220,858 | |||||
Anglo American | 43,318 | 926,425 | |||||
Ashtead Group | 20,215 | 499,684 | |||||
Associated British Foods | 14,759 | 450,029 | |||||
AstraZeneca | 51,663 | 3,946,327 | |||||
Auto Trader Group | 37,214 | c | 194,707 | ||||
Aviva | 165,237 | 904,019 | |||||
Babcock International Group | 10,761 | 84,013 | |||||
BAE Systems | 131,215 | 881,413 | |||||
Barclays | 702,393 | 1,544,984 | |||||
Barratt Developments | 40,982 | 268,855 | |||||
Berkeley Group Holdings | 5,356 | 239,491 | |||||
BP | 814,268 | 5,898,167 | |||||
British American Tobacco | 93,555 | 4,059,707 | |||||
British Land Co. | 39,207 | 296,474 | |||||
BT Group | 347,580 | 1,068,075 |
27
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
United Kingdom - 14.6% (continued) | |||||||
Bunzl | 13,569 | 400,489 | |||||
Burberry Group | 16,727 | 386,950 | |||||
Centrica | 228,930 | 430,193 | |||||
CNH Industrial | 42,395 | 440,820 | |||||
Coca-Cola European Partners | 8,738 | 397,492 | |||||
Compass Group | 64,972 | 1,278,409 | |||||
ConvaTec Group | 55,965 | c | 115,838 | ||||
Croda International | 5,291 | 325,802 | |||||
Diageo | 100,340 | 3,470,475 | |||||
Direct Line Insurance Group | 56,151 | 236,326 | |||||
easyJet | 6,768 | 103,727 | |||||
Experian | 37,868 | 871,705 | |||||
Fiat Chrysler Automobiles | 44,415 | b | 673,439 | ||||
G4S | 66,375 | 182,163 | |||||
GlaxoSmithKline | 202,282 | 3,911,512 | |||||
Hammerson | 32,066 | 179,565 | |||||
Hargreaves Lansdown | 11,889 | 282,903 | |||||
HSBC Holdings | 818,465 | 6,742,718 | |||||
Imperial Brands | 39,133 | 1,325,984 | |||||
Informa | 50,253 | 457,970 | |||||
InterContinental Hotels Group | 7,254 | 380,640 | |||||
International Consolidated Airlines Group | 25,819 | 199,169 | |||||
Intertek Group | 6,547 | 391,965 | |||||
ITV | 146,301 | 278,320 | |||||
J Sainsbury | 70,525 | 280,445 | |||||
John Wood Group | 27,264 | 248,686 | |||||
Johnson Matthey | 7,793 | 295,757 | |||||
Kingfisher | 89,958 | 292,670 | |||||
Land Securities Group | 29,898 | 325,947 | |||||
Legal & General Group | 245,689 | 789,131 | |||||
Lloyds Banking Group | 2,935,898 | 2,146,401 | |||||
London Stock Exchange Group | 12,653 | 697,301 | |||||
Marks & Spencer Group | 68,114 | 257,548 | |||||
Meggitt | 32,324 | 218,648 | |||||
Melrose Industries | 194,110 | 417,703 | |||||
Merlin Entertainments | 31,172 | c | 128,666 | ||||
Micro Focus International | 17,392 | 269,535 | |||||
Mondi | 14,663 | 345,093 | |||||
National Grid | 137,782 | 1,460,145 | |||||
Next | 5,633 | 374,591 | |||||
Pearson | 32,788 | 376,119 | |||||
Persimmon | 13,038 | 381,998 |
28
Description | Shares | Value ($) | |||||
Common Stocks - 96.9% (continued) | |||||||
United Kingdom - 14.6% (continued) | |||||||
Prudential | 105,518 | 2,116,691 | |||||
Reckitt Benckiser Group | 27,260 | 2,204,206 | |||||
RELX | 40,456 | 800,519 | |||||
RELX | 39,929 | 790,412 | |||||
Rio Tinto | 16,985 | 920,994 | |||||
Rio Tinto | 48,372 | 2,353,059 | |||||
Rolls-Royce Holdings | 68,740 | b | 736,324 | ||||
Rolls-Royce Holdings | 3,162,040 | b,d | 0 | ||||
Royal Bank of Scotland Group | 193,964 | 585,566 | |||||
Royal Mail | 38,434 | 176,169 | |||||
RSA Insurance Group | 43,273 | 312,023 | |||||
Sage Group | 43,146 | 300,257 | |||||
Schroders | 5,179 | 177,168 | |||||
Segro | 41,218 | 323,576 | |||||
Severn Trent | 9,605 | 228,636 | |||||
Smith & Nephew | 35,244 | 573,169 | |||||
Smiths Group | 15,938 | 284,465 | |||||
SSE | 40,931 | 596,318 | |||||
St James's Place | 21,386 | 276,668 | |||||
Standard Chartered | 113,615 | 797,518 | |||||
Standard Life Aberdeen | 97,197 | 335,737 | |||||
Taylor Wimpey | 132,556 | 273,436 | |||||
Tesco | 396,848 | 1,081,431 | |||||
Travis Perkins | 10,350 | 146,424 | |||||
Unilever | 62,921 | 3,387,525 | |||||
Unilever | 49,751 | 2,634,492 | |||||
United Utilities Group | 27,251 | 253,019 | |||||
Vodafone Group | 1,086,148 | 2,051,492 | |||||
Weir Group | 9,698 | 196,442 | |||||
Whitbread | 7,508 | 421,985 | |||||
Wm Morrison Supermarkets | 88,930 | 281,863 | |||||
WPP | 52,373 | 594,302 | |||||
80,903,648 | |||||||
United States - .5% | |||||||
Carnival | 7,315 | 399,377 | |||||
Shire | 37,215 | 2,225,958 | |||||
2,625,335 | |||||||
Total Common Stocks (cost $433,219,062) | 536,049,316 |
29
STATEMENT OF INVESTMENTS (continued)
Description | Preferred Dividend | Shares | Value ($) | ||||
Preferred Stocks - .6% | |||||||
Germany - .6% | |||||||
Bayerische Motoren Werke | 6.24 | 2,325 | 175,509 | ||||
Fuchs Petrolub | 2.24 | 2,998 | 138,988 | ||||
Henkel & Co. | 1.82 | 7,345 | 803,328 | ||||
Porsche Automobil Holding | 3.08 | 6,352 | 404,789 | ||||
Sartorius | 0.4 | 1,419 | 205,551 | ||||
Schaeffler | 6.59 | 6,779 | 71,637 | ||||
Volkswagen | 2.67 | 7,614 | 1,282,357 | ||||
Total Preferred Stocks (cost $2,283,111) | 3,082,159 | ||||||
Number of Rights | |||||||
Rights - .0% | |||||||
Spain - .0% | |||||||
Banco Santander | 672,493 | 26,126 | |||||
Principal Amount ($) | |||||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills - .1% | |||||||
2.09%, 12/6/18 | 655,000 | e | 653,641 | ||||
7-Day | |||||||
Investment Companies - 1.8% | |||||||
Registered Investment Companies - 1.8% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.21 | 9,952,974 | f | 9,952,974 | |||
Total Investments (cost $446,135,879) | 99.4% | 549,764,216 | |||||
Cash and Receivables (Net) | .6% | 3,401,840 | |||||
Net Assets | 100.0% | 553,166,056 |
ADR—American Depository Receipt
BR—Bearer Certificate
CDI—Chess Depository Interest
PC—Participation Certificate
REIT—Real Estate Investment Trust
RSP—Risparmio (Savings) Shares
SDR—Swedish Depository Receipts
a Investment in real estate investment trust.
b Non-income producing security.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2018, these securities were valued at $3,538,818 or .64% of net assets.
d The fund held Level 3 securities at October 31, 2018, these securities were valued at $0 or .0% of net assets.
e Security is a discount security. Income is recognized through the accretion of discount.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
30
Portfolio Summary (Unaudited) † | Value (%) |
Banks | 10.7 |
Capital Goods | 9.7 |
Pharmaceuticals Biotechnology & Life Sciences | 9.0 |
Materials | 7.4 |
Food, Beverage & Tobacco | 6.7 |
Energy | 6.0 |
Insurance | 5.4 |
Automobiles & Components | 4.4 |
Telecommunication Services | 3.7 |
Consumer Durables & Apparel | 3.5 |
Real Estate | 3.4 |
Utilities | 3.3 |
Diversified Financials | 3.2 |
Household & Personal Products | 2.9 |
Transportation | 2.5 |
Technology Hardware & Equipment | 2.4 |
Software & Services | 2.2 |
Health Care Equipment & Services | 2.1 |
Registered Investment Companies | 1.8 |
Commercial & Professional Services | 1.8 |
Food & Staples Retailing | 1.7 |
Media & Entertainment | 1.5 |
Consumer Services | 1.4 |
Retailing | 1.3 |
Semiconductors & Semiconductor Equipment | 1.3 |
U.S. Treasury Bills | .1 |
99.4 |
† Based on net assets.
See notes to financial statements.
31
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 10,193,671 | 107,791,821 | 108,032,518 | 9,952,974 | 1.8 | 165,102 |
See notes to financial statements.
32
STATEMENT OF FUTURES
October 31, 2018
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
MSCI EAFE Index | 144 | 12/18 | 13,158,416 | 13,050,000 | (108,416) | |
Gross Unrealized Depreciation | (108,416) |
See notes to financial statements.
33
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS October 31, 2018
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized (Depreciation)($) |
Bank of Montreal | |||||
Swedish Krona | 20,714 | Euro | 1,999 | 11/1/18 | (1) |
Gross Unrealized Depreciation | (1) |
See notes to financial statements.
34
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2018
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 436,182,905 |
| 539,811,242 |
| ||
Affiliated issuers |
| 9,952,974 |
| 9,952,974 |
| |
Cash |
|
|
|
| 148,240 |
|
Cash denominated in foreign currency |
|
| 74,610 |
| 74,206 |
|
Receivable for shares of Common Stock subscribed |
| 3,377,010 |
| |||
Tax reclaim receivable |
| 1,762,731 |
| |||
Dividends and interest receivable |
| 1,477,408 |
| |||
Receivable for futures variation margin—Note 4 |
| 96,400 |
| |||
Cash collateral held by broker—Note 4 |
| 36 |
| |||
|
|
|
|
| 556,700,247 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
| 242,500 |
| |
Payable for shares of Common Stock redeemed |
| 3,229,173 |
| |||
Unrealized depreciation on foreign currency transactions |
| 60,472 |
| |||
Interest payable—Note 2 |
| 2,045 |
| |||
Unrealized depreciation on forward foreign |
| 1 |
| |||
|
|
|
|
| 3,534,191 |
|
Net Assets ($) |
|
| 553,166,056 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 512,220,997 |
|
Total distributable earnings (loss) |
|
|
|
| 40,945,059 |
|
Net Assets ($) |
|
| 553,166,056 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 338,147,403 | 215,018,653 |
|
Shares Outstanding | 20,821,950 | 13,223,804 |
|
Net Asset Value Per Share ($) | 16.24 | 16.26 |
|
See notes to financial statements. |
35
STATEMENT OF OPERATIONS
Year Ended October 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $1,668,592 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 17,292,764 |
| ||
Affiliated issuers |
|
| 165,102 |
| ||
Interest |
|
| 10,622 |
| ||
Total Income |
|
| 17,468,488 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,136,221 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 1,020,685 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 47,035 |
| ||
Loan commitment fees—Note 2 |
|
| 13,841 |
| ||
Interest expense—Note 2 |
|
| 2,125 |
| ||
Total Expenses |
|
| 3,219,907 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (47,035) |
| ||
Net Expenses |
|
| 3,172,872 |
| ||
Investment Income—Net |
|
| 14,295,616 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (2,277,276) |
| ||||
Net realized gain (loss) on futures | (787,994) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 27,069 |
| ||||
Net Realized Gain (Loss) |
|
| (3,038,201) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (53,962,068) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (285,489) |
| ||
Net unrealized appreciation (depreciation) on |
|
| (1) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (54,247,558) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (57,285,759) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (42,990,143) |
| |||
See notes to financial statements. |
36
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2018 |
| 2017 | a | ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 14,295,616 |
|
|
| 12,373,830 |
| |
Net realized gain (loss) on investments |
| (3,038,201) |
|
|
| (7,527,169) |
| ||
Net unrealized appreciation (depreciation) |
| (54,247,558) |
|
|
| 107,791,708 |
| ||
Net Increase (Decrease) in Net Assets | (42,990,143) |
|
|
| 112,638,369 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
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 ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 129,568,834 |
|
|
| 127,962,171 |
| |
Class I |
|
| 113,058,264 |
|
|
| 150,697,819 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 9,622,337 |
|
|
| 11,361,926 |
| |
Class I |
|
| - |
|
|
| 775,259 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (222,344,569) |
|
|
| (274,560,705) |
| |
Class I |
|
| (31,706,560) |
|
|
| (19,063,941) |
| |
Increase (Decrease) in Net Assets | (1,801,694) |
|
|
| (2,827,471) |
| |||
Total Increase (Decrease) in Net Assets | (58,593,009) |
|
|
| 96,110,571 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 611,759,065 |
|
|
| 515,648,494 |
| |
End of Period |
|
| 553,166,056 |
|
|
| 611,759,065 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 7,291,243 |
|
|
| 7,885,800 |
| |
Shares issued for distributions reinvested |
|
| 539,671 |
|
|
| 776,088 |
| |
Shares redeemed |
|
| (12,492,543) |
|
|
| (17,480,862) |
| |
Net Increase (Decrease) in Shares Outstanding | (4,661,629) |
|
|
| (8,818,974) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 6,270,089 |
|
|
| 9,742,214 |
| |
Shares issued for distributions reinvested |
|
| 74,652 |
|
|
| 52,991 |
| |
Shares redeemed |
|
| (1,800,643) |
|
|
| (1,160,307) |
| |
Net Increase (Decrease) in Shares Outstanding | 4,544,098 |
|
|
| 8,634,898 |
| |||
aDistributions to shareholders include $11,437,032 Investor Shares and $2,263,295 Class I of distributions from net investment income. Undistributed investment income—net was $7,844,126 in 2017 and is no longer presented as a result of the adoption of SEC’s Disclosure Update and Simplification Rule.
| |||||||||
bDuring the period ended October 31, 2018, 844,229 Investor shares representing $15,382,638 were exchanged for 844,719 Class I shares.
| |||||||||
See notes to financial statements. |
37
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Investor Shares | 2018 | 2017 | 2016a | 2015 | 2014 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 17.90 | 15.01 | 15.86 | 16.54 | 17.12 | |
Investment Operations: | ||||||
Investment income—netb | .40 | .35 | .36 | .35 | .47 | |
Net realized and unrealized | (1.67) | 2.96 | (.89) | (.60) | (.49) | |
Total from Investment Operations | (1.27) | 3.31 | (.53) | (.25) | (.02) | |
Distributions: | ||||||
Dividends from | (.39) | (.42) | (.32) | (.43) | (.37) | |
Dividends from net realized | - | - | - | - | (.19) | |
Total Distributions | (.39) | (.42) | (.32) | (.43) | (.56) | |
Net asset value, end of period | 16.24 | 17.90 | 15.01 | 15.86 | 16.54 | |
Total Return (%) | (7.30) | 22.71 | (3.37) | (1.46) | (.13) | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .61 | .61 | .61 | .61 | .61 | |
Ratio of net expenses | .60 | .60 | .60 | .60 | .60 | |
Ratio of net investment income | 2.24 | 2.20 | 2.43 | 2.14 | 2.76 | |
Portfolio Turnover Rate | 7.48 | 9.18 | 5.53 | 8.44 | 10.26 | |
Net Assets, end of period ($ x 1,000) | 338,147 | 456,213 | 514,975 | 575,306 | 567,711 |
a On August 31, 2016, the fund redesignated existing shares as Investor shares.
b Based on average shares outstanding.
See notes to financial statements.
38
Year Ended October 31, | |||||
Class I Shares | 2018 | 2017 | 2016a | ||
Per Share Data ($): | |||||
Net asset value, beginning of period | 17.92 | 15.02 | 15.15 | ||
Investment Operations: | |||||
Investment income—netb | .46 | .42 | .02 | ||
Net realized and unrealized | (1.69) | 2.94 | (.15) | ||
Total from Investment Operations | (1.23) | 3.36 | (.13) | ||
Distributions: | |||||
Dividends from | (.43) | (.46) | - | ||
Net asset value, end of period | 16.26 | 17.92 | 15.02 | ||
Total Return (%) | (7.06) | 23.04 | (.86)c | ||
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .36 | .36 | .40d | ||
Ratio of net expenses | .35 | .35 | .39d | ||
Ratio of net investment income | 2.55 | 2.48 | 1.95d | ||
Portfolio Turnover Rate | 7.48 | 9.18 | 5.53 | ||
Net Assets, end of period ($ x 1,000) | 215,019 | 155,546 | 673 |
a From August 31, 2016 (commencement of initial offering) to October 31, 2016.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
39
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares which are sold to the public without a sales charge. The fund is authorized to issue 300 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Investor shares (200 million shares authorized) and Class I (100 million shares authorized). Investor shares are sold primarily to retail investors through financial intermediaries and bear Shareholder Services Plan fees. Class I shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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.
40
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is
41
NOTES TO FINANCIAL STATEMENTS (continued)
used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to 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
42
and are generally categorized within Level 1 of the fair value hierarchy. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 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 - Common Stocks | 3,223,484 | 532,825,832† | 536,049,316 | |
Equity Securities - Preferred Stocks | - | 3,082,159† | - | 3,082,159 |
Investment Company | 9,952,974 | - | - | 9,952,974 |
U.S. Treasury | - | 653,641 | - | 653,641 |
Rights | - | 26,126† | - | 26,126 |
Other Financial Instruments: |
|
|
|
|
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (108,416) | - | - | (108,416) |
Forward Foreign Currency | - | (1) | - | (1) |
† 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 (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives are reported in the Statement of Assets and Liabilities.
At October 31, 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:
43
NOTES TO FINANCIAL STATEMENTS (continued)
| Equity Securities— |
Balance as of 10/31/2017 | 14 |
Realized gain (loss) | - |
Change in unrealized appreciation (depreciation) | (14) |
Purchases/Issuances | - |
Sales/Dispositions | - |
Transfers into Level 3 | - |
Transfers out of Level 3 | - |
Balance as of 10/31/2018† | 0 |
The amount of total gains (losses) for the period included in | (14) |
† Securities deemed as Level 3 have been determined to be worthless by managements own assessment.
(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 considered “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
44
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 and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 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 October 31, 2018, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2018, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $12,539,333, accumulated capital losses $40,095,256 and unrealized appreciation $68,500,982.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2018. The fund has $40,610 of short-
45
NOTES TO FINANCIAL STATEMENTS (continued)
term capital losses and $40,054,646 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2018 and October 31, 2017 were as follows: ordinary income $13,801,172 and $13,700,327, respectively.
(h) New Accounting Pronouncements: In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.
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 October 31, 2018 was approximately $67,700 with a related weighted average annualized interest rate of 3.14%.
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
46
(including counsel fees). During the period ended October 31, 2018, fees reimbursed by Dreyfus amounted to $47,035.
(b) Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2018, the fund was charged $1,020,685 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 $170,852 and Shareholder Services Plan fees $75,741, which are offset against an expense reimbursement currently in effect in the amount of $4,093.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures and forward contracts, during the period ended October 31, 2018, amounted to $44,460,920 and $46,256,720, 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.
47
NOTES TO FINANCIAL STATEMENTS (continued)
Each type of derivative instrument that was held by the fund during the period ended October 31, 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 October 31, 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
48
counterparty. Forward contracts open at October 31, 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 October 31, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Equity risk | - | Equity risk | (108,416) | 1 | |||
Foreign exchange risk | - | Foreign exchange risk | (1) | 2 | |||
Gross fair value of | - | (108,417) | |||||
Statement of Assets and Liabilities location: | |||||||
1Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. | |||||||
2Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended October 31, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | |||||||||
Underlying | Futures | 1 | Forward | 2 | Total | ||||
Equity | (787,994) | - | (787,994) | ||||||
Foreign | - | 27,069 | 27,069 | ||||||
Total | (787,994) | 27,069 | (760,925) | ||||||
Change in unrealized appreciation (depreciation) | |||||||||
Underlying | Futures | 3 | Forward | 4 | Total | ||||
Equity | (285,489) | - | (285,489) | ||||||
Foreign | - | (1) | (1) | ||||||
Total | (285,489) | (1) | (285,490) | ||||||
| |||||||||
Statement of Operations location:
| |||||||||
1Net realized gain (loss) on futures.
| |||||||||
2Net realized gain (loss) on forward foreign currency exchange contracts.
| |||||||||
3Net unrealized appreciation (depreciation) on futures.
| |||||||||
4Net 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
49
NOTES TO FINANCIAL STATEMENTS (continued)
derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At October 31, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | - | (108,416) | |||
Forward contracts | - | (1) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | - | (108,417) | |||
Derivatives not subject to | |||||
Master Agreements | - | 108,416 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | - | (1) |
The following table presents derivative liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of October 31, 2018:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Bank of Montreal | (1) | - | - | (1) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2018:
|
| Average Market Value ($) |
Equity futures | 13,157,849 | |
Forward contracts | 39,447 | |
At October 31, 2018, the cost of investments for federal income tax purposes was $481,202,357; accordingly, accumulated net unrealized appreciation on investments inclusive of derivative contracts was
50
$68,561,858, consisting of $147,000,471 gross unrealized appreciation and $78,438,613 gross unrealized depreciation.
51
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Directors of Dreyfus International Stock Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Dreyfus International Stock Index Fund (the “Fund”) (one of the funds constituting Dreyfus Index Funds, Inc.), including the statements of investments, investments in affiliated issuers, futures and forward foreign currency exchange contracts, as of October 31, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Dreyfus Index Funds, Inc.) at October 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2018, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Dreyfus investment companies since at least 1957, but we are unable to determine the specific year.
New York, New York
December 28, 2018
52
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2018:
- the total amount of taxes paid to foreign countries was $1,613,533
- the total amount of income sourced from foreign countries was $19,002,621
Where required by Federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2018 calendar year with Form 1099-DIV which will be mailed in early 2019. For the fiscal year ended October 31, 2018, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $13,801,172 represents the maximum amount that may be considered qualified dividend income.
53
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 124
———————
Peggy C. Davis (75)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (78)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (71)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014), Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
54
Ehud Houminer (78)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (78)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (55)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
No. of Portfolios for which Board Member Serves: 99
———————
Dr. Martin Peretz (79)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1968-2010)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
55
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 124 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since June 2015.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since June 2000.
SONALEE CROSS, Vice President and Assistant Secretary since March 2018.
Counsel of BNY Mellon since October 2016; Associate at Proskauer Rose LLP from April 2016 to September 2016; Attorney at EnTrust Capital from August 2015 to February 2016; Associate at Sidley Austin LLP from September 2013 until August 2015. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 31 years old and has been an employee of the Manager since October 2016.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Managing Counsel of BNY Mellon since December 2017, from March 2013 to December 2017, Senior Counsel of BNY Mellon. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 43 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 33 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since April 1985.
56
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager, the Dreyfus Family of Funds and BNY Mellon Funds Trust (63 investment companies, comprised of 149 portfolios). He is 61 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 143 portfolios) managed by the Manager. She is 50 years old and has been an employee of the Distributor since 1997.
57
Dreyfus International Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
240 Greenwich 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.
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
ANNUAL REPORT October 31, 2018 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
in Affiliated Issuers | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2017 through October 31, 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.
Markets began the reporting period on solid footing as major global economies experienced above-trend growth across the board. In the United States, the Federal Reserve continued to move away from its accommodative monetary policy while other major central banks also began to consider monetary tightening. In the equity markets, both U.S. and non-U.S. markets enjoyed an upward trend, though investor concerns about volatility and inflation later began to weigh on returns. Interest rates rose across the curve, putting pressure on bond prices.
Later in the reporting period, global growth trends began to diverge. While a strong economic performance continued to bolster U.S. equity markets, slower growth and political concerns pressured markets in the Eurozone. Emerging markets also came under pressure as weakness in their currencies added to investors’ uneasiness. Fixed income markets continued to struggle as interest rates rose; the yield on the benchmark 10-year Treasury bond surged late in the reporting period, but growing investor concerns about global growth helped keep it from rising further.
Despite continuing doubts regarding trade, U.S. inflationary pressures, and global growth, we are optimistic that the U.S. economy will remain strong in the near term. However, we will stay attentive to signs that signal potential changes on the horizon. 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
November 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through October 31, 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 12-month period ended October 31, 2018, Dreyfus S&P 500 Index Fund produced a total return of 6.83%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 7.35% 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 during the reporting period 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.
In the first few months of 2018, volatility entered the picture, as concerns over inflation and the potential for trade disputes roiled markets. However, U.S. markets were able to stabilize, and the upward trend continued, on the back of sustained positive economic data, corporate balance-sheet strength, and robust consumer spending. Non-U.S. markets, however, slowed as the rate of economic improvement in areas such as the Eurozone stalled. In late summer, continued political rhetoric in the U.S. regarding trade and midterm elections, and concerns over issues abroad in areas such as Italy, Turkey, Argentina, and the United Kingdom weighed on sentiment. Despite strong underlying fundamentals, volatility crept back into the picture in U.S. markets.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Information Technology Stocks Lead the Market
The information technology sector led the index 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. Consumer discretionary stocks also posted high returns, 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, travel, and health care. Home improvement companies, such as Lowe’s and Home Depot, also helped the sector. Automotive parts companies also benefited from the trend, as consumers have been tending to purchase parts to fix the cars they already own rather than buying new ones. Health care also rebounded to become one of the top-performing sectors during the period.
Laggards for the reporting period included sectors negatively affected by trade disputes, such as materials and industrials. In general, materials companies were affected by the U.S. trade issues with China. China has traditionally been one of the biggest purchasers of raw materials, and the trade disputes have led them to purchase less. Metals and mining companies were also affected. Elsewhere in the sector, the rising price of oil has put pressure on profit margins of chemical companies that use oil-based products as an input for many of their goods. Higher freight costs also hurt returns. Companies such as General Electric also lagged, which led to industrials being the worst-performing sector during the reporting period. Due to diminishing global demand, machinery companies were also under pressure because of trade tensions, rising costs of raw materials, and revenue delays caused by labor shortages, which prolonged the completion of projects.
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 intact, supported by a strong labor market and sound corporate balance sheets. Although the recovery progress of non-U.S. developed markets seemed to stall in February and remains under fire due to geopolitical issues, the underlying fundamentals remain neutral. The market’s currently constructive conditions could be undermined by unexpected political and economic developments as geopolitical tensions potentially escalate. As always, we continue to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 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
FUND PERFORMANCE (Unaudited)
Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index Fund shares and the S&P 500® Index (the “Index”)
† Source: Lipper Inc.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in Dreyfus S&P 500 Index Fund on 10/31/08 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/18 | |||
| 1 Year | 5 Years | 10 Years |
Fund | 6.83% | 10.80% | 12.71% |
S&P 500® Index | 7.35% | 11.33% | 13.23% |
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus S&P 500 Index Fund from May 1, 2018 to October 31, 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 October 31, 2018 | |||||||||
Expenses paid per $1,000† | $2.56 | ||||||||
Ending value (after expenses) | $1,031.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2018 | |||||||||||||||
|
|
| |||||||||||||
Expenses paid per $1,000† | $2.55 | ||||||||||||||
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2018
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% | |||||||
Automobiles & Components - .5% | |||||||
Aptiv | 28,365 | 2,178,432 | |||||
BorgWarner | 21,946 | 864,892 | |||||
Ford Motor | 412,767 | 3,941,925 | |||||
General Motors | 138,211 | 5,057,141 | |||||
Goodyear Tire & Rubber | 26,752 | 563,397 | |||||
Harley-Davidson | 17,670 | 675,347 | |||||
13,281,134 | |||||||
Banks - 6.0% | |||||||
Bank of America | 981,368 | 26,987,620 | |||||
BB&T | 81,120 | 3,987,859 | |||||
Citigroup | 265,868 | 17,403,719 | |||||
Citizens Financial Group | 51,439 | 1,921,247 | |||||
Comerica | 18,616 | 1,518,321 | |||||
Fifth Third Bancorp | 71,555 | 1,931,269 | |||||
Huntington Bancshares | 116,491 | 1,669,316 | |||||
JPMorgan Chase & Co. | 354,989 | 38,700,901 | |||||
KeyCorp | 109,422 | 1,987,104 | |||||
M&T Bank | 15,295 | 2,529,946 | |||||
People's United Financial | 37,055 | a | 580,281 | ||||
PNC Financial Services | 49,125 | 6,312,071 | |||||
Regions Financial | 119,019 | 2,019,752 | |||||
SunTrust Banks | 48,689 | 3,050,853 | |||||
SVB Financial Group | 5,584 | b | 1,324,692 | ||||
U.S. Bancorp | 161,854 | 8,460,109 | |||||
Wells Fargo & Co. | 457,757 | 24,366,405 | |||||
Zions Bancorporation | 21,507 | a | 1,011,904 | ||||
145,763,369 | |||||||
Capital Goods - 6.5% | |||||||
3M | 62,157 | 11,825,991 | |||||
A.O. Smith | 14,760 | 672,023 | |||||
Allegion | 9,952 | 853,185 | |||||
AMETEK | 24,423 | 1,638,295 | |||||
Arconic | 42,956 | 873,295 | |||||
Boeing | 56,496 | 20,048,171 | |||||
Caterpillar | 62,289 | 7,556,902 | |||||
Cummins | 16,085 | 2,198,659 | |||||
Deere & Co. | 34,223 | 4,635,163 | |||||
Dover | 16,144 | 1,337,369 | |||||
Eaton | 46,460 | 3,329,788 | |||||
Emerson Electric | 66,198 | 4,493,520 | |||||
Fastenal | 30,336 | a | 1,559,574 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 6.5% (continued) | |||||||
Flowserve | 14,622 | 671,150 | |||||
Fluor | 15,090 | 661,847 | |||||
Fortive | 32,842 | 2,438,519 | |||||
Fortune Brands Home & Security | 16,131 | 723,153 | |||||
General Dynamics | 29,359 | 5,066,776 | |||||
General Electric | 912,073 | 9,211,937 | |||||
Harris | 12,619 | 1,876,572 | |||||
Honeywell International | 78,808 | 11,412,975 | |||||
Huntington Ingalls Industries | 4,619 | 1,009,159 | |||||
Illinois Tool Works | 32,119 | 4,097,421 | |||||
Ingersoll-Rand | 25,842 | 2,479,282 | |||||
Jacobs Engineering Group | 12,178 | 914,446 | |||||
Johnson Controls International | 98,158 | 3,138,111 | |||||
L3 Technologies | 8,357 | 1,583,401 | |||||
Lockheed Martin | 26,116 | 7,674,187 | |||||
Masco | 33,586 | 1,007,580 | |||||
Northrop Grumman | 18,341 | 4,804,425 | |||||
PACCAR | 37,111 | 2,123,120 | |||||
Parker-Hannifin | 14,111 | 2,139,651 | |||||
Pentair | 17,548 | 704,552 | |||||
Quanta Services | 15,939 | b | 497,297 | ||||
Raytheon | 30,231 | 5,291,634 | |||||
Resideo Technologies | 50 | b | 1,067 | ||||
Rockwell Automation | 13,055 | 2,150,550 | |||||
Rockwell Collins | 17,062 | 2,184,277 | |||||
Roper Technologies | 10,913 | 3,087,288 | |||||
Snap-on | 5,907 | 909,324 | |||||
Stanley Black & Decker | 16,224 | 1,890,420 | |||||
Textron | 26,362 | 1,413,794 | |||||
TransDigm Group | 5,128 | b | 1,693,522 | ||||
United Rentals | 8,742 | b | 1,049,652 | ||||
United Technologies | 79,282 | 9,847,617 | |||||
W.W. Grainger | 4,865 | a | 1,381,514 | ||||
Xylem | 19,065 | 1,250,283 | |||||
157,408,438 | |||||||
Commercial & Professional Services - .7% | |||||||
Cintas | 9,199 | 1,673,022 | |||||
Copart | 21,206 | a,b | 1,037,185 | ||||
Equifax | 12,530 | 1,271,043 | |||||
IHS Markit | 37,529 | b | 1,971,398 | ||||
Nielsen Holdings | 37,412 | a | 971,964 | ||||
Republic Services | 24,265 | 1,763,580 | |||||
Robert Half International | 12,855 | 778,113 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Commercial & Professional Services - .7% (continued) | |||||||
Rollins | 8,198 | 485,322 | |||||
Stericycle | 9,330 | b | 466,220 | ||||
Verisk Analytics | 17,325 | b | 2,076,228 | ||||
Waste Management | 41,701 | 3,730,988 | |||||
16,225,063 | |||||||
Consumer Durables & Apparel - 1.1% | |||||||
D.R. Horton | 36,489 | 1,312,144 | |||||
Garmin | 12,419 | 821,641 | |||||
Hanesbrands | 36,495 | a | 626,254 | ||||
Hasbro | 12,229 | a | 1,121,522 | ||||
Leggett & Platt | 13,243 | a | 480,853 | ||||
Lennar, Cl. A | 30,698 | 1,319,400 | |||||
Mattel | 37,674 | a,b | 511,613 | ||||
Michael Kors Holdings | 15,410 | b | 853,868 | ||||
Mohawk Industries | 6,778 | b | 845,420 | ||||
Newell Brands | 49,617 | 787,918 | |||||
NIKE, Cl. B | 134,853 | 10,119,369 | |||||
PulteGroup | 27,747 | 681,744 | |||||
PVH | 8,191 | 989,391 | |||||
Ralph Lauren | 5,678 | 735,926 | |||||
Tapestry | 29,208 | 1,235,790 | |||||
Under Armour, Cl. A | 20,005 | a,b | 442,311 | ||||
Under Armour, Cl. C | 20,154 | b | 399,654 | ||||
VF | 34,630 | 2,870,134 | |||||
Whirlpool | 6,738 | 739,563 | |||||
26,894,515 | |||||||
Consumer Services - 1.7% | |||||||
Carnival | 42,255 | 2,367,970 | |||||
Chipotle Mexican Grill | 2,437 | b | 1,121,824 | ||||
Darden Restaurants | 13,224 | 1,409,017 | |||||
H&R Block | 22,978 | a | 609,836 | ||||
Hilton Worldwide Holdings | 31,387 | 2,233,813 | |||||
Marriott International, Cl. A | 30,466 | 3,561,171 | |||||
McDonald's | 81,939 | 14,495,009 | |||||
MGM Resorts International | 53,540 | 1,428,447 | |||||
Norwegian Cruise Line Holdings | 21,990 | b | 969,099 | ||||
Royal Caribbean Cruises | 17,732 | 1,857,072 | |||||
Starbucks | 142,633 | 8,311,225 | |||||
Wynn Resorts | 10,234 | 1,029,540 | |||||
Yum! Brands | 34,521 | 3,121,044 | |||||
42,515,067 | |||||||
Diversified Financials - 5.2% | |||||||
Affiliated Managers Group | 5,476 | 622,402 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Diversified Financials - 5.2% (continued) | |||||||
American Express | 74,623 | 7,666,021 | |||||
Ameriprise Financial | 15,379 | 1,956,824 | |||||
Bank of New York Mellon | 97,813 | 4,629,489 | |||||
Berkshire Hathaway | 205,561 | b | 42,197,562 | ||||
BlackRock | 13,018 | 5,355,866 | |||||
Capital One Financial | 51,423 | 4,592,074 | |||||
CBOE Holdings | 12,146 | 1,370,676 | |||||
Charles Schwab | 125,694 | 5,812,091 | |||||
CME Group | 35,917 | 6,581,431 | |||||
Discover Financial Services | 36,293 | 2,528,533 | |||||
E*TRADE Financial | 27,210 | 1,344,718 | |||||
Franklin Resources | 35,198 | 1,073,539 | |||||
Goldman Sachs | 36,835 | 8,301,504 | |||||
Intercontinental Exchange | 60,693 | 4,675,789 | |||||
Invesco | 41,737 | 906,110 | |||||
Jefferies Financial Group | 33,318 | 715,337 | |||||
Moody's | 17,302 | 2,517,095 | |||||
Morgan Stanley | 140,300 | 6,406,098 | |||||
MSCI | 9,500 | 1,428,610 | |||||
Nasdaq | 12,664 | 1,098,095 | |||||
Northern Trust | 23,507 | 2,211,304 | |||||
Raymond James Financial | 13,290 | 1,019,210 | |||||
S&P Global | 26,391 | 4,811,607 | |||||
State Street | 39,989 | 2,749,244 | |||||
Synchrony Financial | 72,263 | 2,086,955 | |||||
T. Rowe Price Group | 25,895 | 2,511,556 | |||||
127,169,740 | |||||||
Energy - 5.7% | |||||||
Anadarko Petroleum | 54,386 | 2,893,335 | |||||
Apache | 41,242 | a | 1,560,185 | ||||
Baker Hughes | 43,843 | a | 1,170,170 | ||||
Cabot Oil & Gas | 48,116 | 1,165,851 | |||||
Chevron | 202,153 | 22,570,382 | |||||
Cimarex Energy | 9,940 | 789,932 | |||||
Concho Resources | 21,076 | b | 2,931,461 | ||||
ConocoPhillips | 122,356 | 8,552,684 | |||||
Devon Energy | 55,119 | 1,785,856 | |||||
EOG Resources | 60,917 | 6,416,997 | |||||
EQT | 26,426 | 897,691 | |||||
Exxon Mobil | 446,728 | 35,595,287 | |||||
Halliburton | 92,767 | 3,217,160 | |||||
Helmerich & Payne | 11,640 | 725,056 | |||||
Hess | 27,848 | 1,598,475 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Energy - 5.7% (continued) | |||||||
HollyFrontier | 17,238 | 1,162,531 | |||||
Kinder Morgan | 201,402 | 3,427,862 | |||||
Marathon Oil | 89,589 | 1,701,295 | |||||
Marathon Petroleum | 72,405 | 5,100,932 | |||||
National Oilwell Varco | 38,984 | 1,434,611 | |||||
Newfield Exploration | 22,504 | b | 454,581 | ||||
Noble Energy | 49,670 | 1,234,300 | |||||
Occidental Petroleum | 80,540 | 5,401,818 | |||||
ONEOK | 42,598 | 2,794,429 | |||||
Phillips 66 | 45,003 | 4,627,208 | |||||
Pioneer Natural Resources | 17,620 | 2,594,897 | |||||
Schlumberger | 145,452 | 7,463,142 | |||||
TechnipFMC | 45,606 | 1,199,438 | |||||
Valero Energy | 45,211 | 4,118,270 | |||||
Williams Cos. | 127,267 | 3,096,406 | |||||
137,682,242 | |||||||
Food & Staples Retailing - 1.6% | |||||||
Costco Wholesale | 46,112 | 10,542,587 | |||||
Kroger | 84,102 | 2,502,876 | |||||
Sysco | 50,835 | 3,626,061 | |||||
Walgreens Boots Alliance | 88,586 | 7,066,505 | |||||
Wal-Mart Stores | 152,165 | 15,259,106 | |||||
38,997,135 | |||||||
Food, Beverage & Tobacco - 4.1% | |||||||
Altria Group | 198,311 | 12,898,147 | |||||
Archer-Daniels-Midland | 59,606 | 2,816,384 | |||||
Brown-Forman, Cl. B | 18,716 | 867,299 | |||||
Campbell Soup | 19,843 | a | 742,327 | ||||
Coca-Cola | 402,705 | 19,281,515 | |||||
ConAgra Brands | 47,814 | 1,702,178 | |||||
Constellation Brands, Cl. A | 17,674 | 3,521,191 | |||||
General Mills | 62,133 | 2,721,425 | |||||
Hershey | 15,105 | 1,618,501 | |||||
Hormel Foods | 28,005 | a | 1,222,138 | ||||
J.M. Smucker | 11,838 | 1,282,292 | |||||
Kellogg | 25,753 | 1,686,306 | |||||
Kraft Heinz | 65,508 | 3,600,975 | |||||
McCormick & Co. | 13,033 | a | 1,876,752 | ||||
Molson Coors Brewing, Cl. B | 19,404 | 1,241,856 | |||||
Mondelez International, Cl. A | 156,224 | 6,558,284 | |||||
Monster Beverage | 42,759 | b | 2,259,813 | ||||
PepsiCo | 149,279 | 16,775,974 | |||||
Philip Morris International | 164,010 | 14,444,361 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Food, Beverage & Tobacco - 4.1% (continued) | |||||||
Tyson Foods, Cl. A | 31,089 | 1,862,853 | |||||
98,980,571 | |||||||
Health Care Equipment & Services - 6.7% | |||||||
Abbott Laboratories | 185,094 | 12,760,380 | |||||
ABIOMED | 4,719 | b | 1,610,123 | ||||
Aetna | 34,346 | 6,814,246 | |||||
Align Technology | 7,700 | b | 1,703,240 | ||||
AmerisourceBergen | 16,887 | 1,486,056 | |||||
Anthem | 27,392 | 7,548,413 | |||||
Baxter International | 52,390 | 3,274,899 | |||||
Becton Dickinson and Co. | 28,050 | 6,465,525 | |||||
Boston Scientific | 144,691 | b | 5,229,133 | ||||
Cardinal Health | 32,808 | 1,660,085 | |||||
Centene | 21,510 | b | 2,803,183 | ||||
Cerner | 34,627 | b | 1,983,435 | ||||
Cigna | 25,702 | 5,495,345 | |||||
Cooper | 5,017 | 1,295,941 | |||||
CVS Health | 106,738 | 7,726,764 | |||||
Danaher | 64,473 | 6,408,616 | |||||
DaVita | 14,719 | b | 991,177 | ||||
Dentsply Sirona | 24,272 | 840,539 | |||||
Edwards Lifesciences | 21,794 | b | 3,216,794 | ||||
Express Scripts Holding | 59,292 | b | 5,749,545 | ||||
HCA Healthcare | 29,067 | 3,881,317 | |||||
Henry Schein | 16,444 | a,b | 1,364,852 | ||||
Hologic | 29,199 | b | 1,138,469 | ||||
Humana | 14,574 | 4,669,655 | |||||
IDEXX Laboratories | 9,315 | b | 1,975,898 | ||||
Intuitive Surgical | 11,891 | b | 6,197,351 | ||||
Laboratory Corporation of America Holdings | 10,609 | b | 1,703,275 | ||||
McKesson | 21,445 | 2,675,478 | |||||
Medtronic | 142,474 | 12,797,015 | |||||
Quest Diagnostics | 14,342 | 1,349,726 | |||||
ResMed | 14,623 | 1,548,868 | |||||
Stryker | 32,876 | 5,333,145 | |||||
UnitedHealth Group | 101,556 | 26,541,661 | |||||
Universal Health Services, Cl. B | 8,805 | 1,070,336 | |||||
Varian Medical Systems | 9,270 | b | 1,106,560 | ||||
WellCare Health Plans | 5,248 | b | 1,448,396 | ||||
Zimmer Biomet Holdings | 21,115 | 2,398,453 | |||||
162,263,894 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Household & Personal Products - 1.6% | |||||||
Church & Dwight | 24,736 | 1,468,576 | |||||
Clorox | 13,371 | 1,984,925 | |||||
Colgate-Palmolive | 92,316 | 5,497,418 | |||||
Coty | 47,752 | a,b | 503,784 | ||||
Estee Lauder, Cl. A | 23,452 | 3,223,243 | |||||
Kimberly-Clark | 37,134 | 3,873,076 | |||||
Procter & Gamble | 263,364 | 23,355,120 | |||||
39,906,142 | |||||||
Insurance - 2.3% | |||||||
Aflac | 80,773 | 3,478,893 | |||||
Allstate | 36,737 | 3,516,466 | |||||
American International Group | 94,183 | 3,888,816 | |||||
Aon | 25,670 | 4,009,141 | |||||
Arthur J. Gallagher & Co. | 18,524 | 1,370,961 | |||||
Assurant | 5,538 | 538,349 | |||||
Brighthouse Financial | 12,577 | b | 498,427 | ||||
Chubb | 48,938 | 6,112,846 | |||||
Cincinnati Financial | 15,293 | 1,202,642 | |||||
Everest Re Group | 4,112 | 895,840 | |||||
Hartford Financial Services | 37,335 | 1,695,756 | |||||
Lincoln National | 22,380 | 1,347,052 | |||||
Loews | 28,238 | 1,314,761 | |||||
Marsh & McLennan Cos. | 53,661 | 4,547,770 | |||||
MetLife | 105,303 | 4,337,431 | |||||
Principal Financial Group | 28,516 | 1,342,248 | |||||
Progressive | 61,561 | 4,290,802 | |||||
Prudential Financial | 44,611 | 4,183,620 | |||||
Torchmark | 10,962 | 928,043 | |||||
Travelers | 28,624 | 3,581,721 | |||||
Unum | 23,299 | 844,822 | |||||
Willis Towers Watson | 14,033 | 2,008,964 | |||||
55,935,371 | |||||||
Materials - 2.5% | |||||||
Air Products & Chemicals | 23,137 | 3,571,196 | |||||
Albemarle | 10,902 | a,b | 1,081,696 | ||||
Avery Dennison | 9,339 | 847,234 | |||||
Ball | 37,634 | a | 1,686,003 | ||||
CF Industries Holdings | 24,617 | 1,182,355 | |||||
DowDuPont | 243,939 | 13,153,191 | |||||
Eastman Chemical | 14,832 | 1,162,087 | |||||
Ecolab | 27,397 | 4,195,851 | |||||
FMC | 14,345 | 1,120,058 | |||||
Freeport-McMoRan | 152,375 | 1,775,169 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Materials - 2.5% (continued) | |||||||
International Flavors & Fragrances | 8,402 | a | 1,215,433 | ||||
International Paper | 43,401 | 1,968,669 | |||||
Linde | 57,276 | 9,477,460 | |||||
LyondellBasell Industries, Cl. A | 33,948 | 3,030,538 | |||||
Martin Marietta Materials | 6,535 | a | 1,119,315 | ||||
Mosaic | 35,792 | 1,107,404 | |||||
Newmont Mining | 54,927 | 1,698,343 | |||||
Nucor | 33,511 | 1,981,170 | |||||
Packaging Corporation of America | 9,390 | 862,096 | |||||
PPG Industries | 25,662 | 2,696,820 | |||||
Sealed Air | 18,707 | 605,359 | |||||
Sherwin-Williams | 8,566 | 3,370,464 | |||||
Vulcan Materials | 13,690 | 1,384,607 | |||||
WestRock | 26,244 | 1,127,705 | |||||
61,420,223 | |||||||
Media & Entertainment - 8.0% | |||||||
Activision Blizzard | 79,588 | 5,495,551 | |||||
Alphabet, Cl. A | 31,547 | b | 34,404,527 | ||||
Alphabet, Cl. C | 32,495 | b | 34,989,641 | ||||
CBS, Cl. B | 36,619 | 2,100,100 | |||||
Charter Communications, Cl. A | 18,890 | b | 6,051,789 | ||||
Comcast, Cl. A | 484,091 | 18,463,231 | |||||
Discovery Communications, Cl. A | 18,177 | a,b | 588,753 | ||||
Discovery Communications, Cl. C | 35,539 | b | 1,041,648 | ||||
DISH Network, Cl. A | 22,928 | b | 704,807 | ||||
Electronic Arts | 31,797 | b | 2,892,891 | ||||
Facebook, Cl. A | 254,528 | b | 38,634,805 | ||||
Interpublic Group of Companies | 40,085 | 928,369 | |||||
Netflix | 45,942 | b | 13,864,377 | ||||
News Corp., Cl. A | 43,040 | 567,698 | |||||
News Corp., Cl. B | 11,308 | 150,849 | |||||
Omnicom Group | 24,661 | a | 1,832,806 | ||||
Take-Two Interactive Software | 12,084 | b | 1,557,265 | ||||
TripAdvisor | 10,144 | b | 528,908 | ||||
Twenty-First Century Fox, Cl. A | 110,663 | 5,037,380 | |||||
Twenty-First Century Fox, Cl. B | 51,152 | 2,311,047 | |||||
75,554 | b | 2,625,502 | |||||
Viacom, Cl. B | 37,551 | 1,200,881 | |||||
Walt Disney | 156,929 | 18,020,157 | |||||
193,992,982 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 8.3% | |||||||
AbbVie | 159,709 | 12,433,346 | |||||
Agilent Technologies | 33,303 | 2,157,701 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 8.3% (continued) | |||||||
Alexion Pharmaceuticals | 23,597 | b | 2,644,516 | ||||
Allergan | 33,850 | 5,348,639 | |||||
Amgen | 68,492 | 13,204,573 | |||||
Biogen | 21,354 | b | 6,497,382 | ||||
Bristol-Myers Squibb | 172,164 | 8,701,169 | |||||
Celgene | 74,539 | b | 5,336,992 | ||||
Eli Lilly & Co. | 100,893 | 10,940,837 | |||||
Gilead Sciences | 136,629 | 9,315,365 | |||||
Illumina | 15,406 | b | 4,793,577 | ||||
Incyte | 18,830 | b | 1,220,561 | ||||
IQVIA Holdings | 16,999 | b | 2,089,687 | ||||
Johnson & Johnson | 283,067 | 39,626,549 | |||||
Merck & Co. | 280,897 | 20,676,828 | |||||
Mettler-Toledo International | 2,680 | b | 1,465,478 | ||||
Mylan | 53,156 | b | 1,661,125 | ||||
Nektar Therapeutics | 18,132 | b | 701,346 | ||||
PerkinElmer | 11,547 | a | 998,585 | ||||
Perrigo Co | 13,588 | a | 955,236 | ||||
Pfizer | 618,500 | 26,632,610 | |||||
Regeneron Pharmaceuticals | 8,083 | b | 2,742,077 | ||||
Thermo Fisher Scientific | 42,245 | 9,870,544 | |||||
Vertex Pharmaceuticals | 26,940 | b | 4,565,252 | ||||
Waters | 7,986 | b | 1,514,864 | ||||
Zoetis | 50,960 | 4,594,044 | |||||
200,688,883 | |||||||
Real Estate - 2.8% | |||||||
Alexandria Real Estate Equities | 10,778 | c | 1,317,395 | ||||
American Tower | 46,492 | c | 7,243,919 | ||||
Apartment Investment & Management, Cl. A | 16,280 | c | 700,691 | ||||
AvalonBay Communities | 14,746 | c | 2,586,154 | ||||
Boston Properties | 15,907 | c | 1,920,929 | ||||
CBRE Group, Cl. A | 32,250 | b | 1,299,353 | ||||
Crown Castle International | 43,232 | c | 4,701,048 | ||||
Digital Realty Trust | 21,721 | c | 2,242,910 | ||||
Duke Realty | 39,320 | c | 1,084,052 | ||||
Equinix | 8,381 | c | 3,174,220 | ||||
Equity Residential | 38,756 | c | 2,517,590 | ||||
Essex Property Trust | 6,978 | c | 1,749,943 | ||||
Extra Space Storage | 12,810 | c | 1,153,669 | ||||
Federal Realty Investment Trust | 7,784 | c | 965,605 | ||||
HCP | 50,367 | c | 1,387,611 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Real Estate - 2.8% (continued) | |||||||
Host Hotels & Resorts | 78,098 | c | 1,492,453 | ||||
Iron Mountain | 29,712 | c | 909,484 | ||||
Kimco Realty | 47,846 | c | 769,842 | ||||
Macerich | 12,160 | c | 627,699 | ||||
Mid-America Apartment Communities | 11,590 | c | 1,132,459 | ||||
Prologis | 66,324 | c | 4,275,908 | ||||
Public Storage | 15,495 | c | 3,183,758 | ||||
Realty Income | 30,531 | a,c | 1,840,103 | ||||
Regency Centers | 17,801 | c | 1,127,871 | ||||
SBA Communications | 12,264 | b,c | 1,988,853 | ||||
Simon Property Group | 32,465 | c | 5,957,977 | ||||
SL Green Realty | 9,107 | c | 831,105 | ||||
UDR | 29,474 | c | 1,155,086 | ||||
Ventas | 36,777 | c | 2,134,537 | ||||
Vornado Realty Trust | 17,464 | c | 1,188,949 | ||||
Welltower | 38,639 | c | 2,552,879 | ||||
Weyerhaeuser | 79,132 | c | 2,107,285 | ||||
67,321,337 | |||||||
Retailing - 6.4% | |||||||
Advance Auto Parts | 7,504 | 1,198,839 | |||||
Amazon.com | 43,199 | b | 69,032,434 | ||||
AutoZone | 2,806 | b | 2,058,117 | ||||
Best Buy | 26,459 | 1,856,363 | |||||
Booking Holdings | 5,016 | b | 9,402,893 | ||||
CarMax | 19,060 | a,b | 1,294,365 | ||||
Dollar General | 27,421 | 3,054,151 | |||||
Dollar Tree | 25,331 | b | 2,135,403 | ||||
eBay | 97,258 | b | 2,823,400 | ||||
Expedia | 12,866 | 1,613,782 | |||||
Foot Locker | 11,739 | 553,376 | |||||
Gap | 23,104 | 630,739 | |||||
Genuine Parts | 15,446 | 1,512,472 | |||||
Home Depot | 120,797 | 21,245,776 | |||||
Kohl's | 17,432 | 1,320,125 | |||||
L Brands | 26,326 | a | 853,489 | ||||
LKQ | 32,096 | b | 875,258 | ||||
Lowe's | 85,732 | 8,163,401 | |||||
Macy's | 31,411 | a | 1,077,083 | ||||
Nordstrom | 12,550 | a | 825,414 | ||||
O'Reilly Automotive | 8,642 | b | 2,771,922 | ||||
Ross Stores | 40,431 | 4,002,669 | |||||
Target | 56,116 | 4,692,981 | |||||
The TJX Companies | 66,182 | 7,272,078 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Retailing - 6.4% (continued) | |||||||
Tiffany & Co. | 11,444 | 1,273,717 | |||||
Tractor Supply | 13,316 | 1,223,607 | |||||
Ulta Beauty | 5,870 | b | 1,611,432 | ||||
154,375,286 | |||||||
Semiconductors & Semiconductor Equipment - 3.6% | |||||||
Advanced Micro Devices | 90,388 | a,b | 1,645,965 | ||||
Analog Devices | 39,165 | 3,278,502 | |||||
Applied Materials | 103,965 | 3,418,369 | |||||
Broadcom | 45,386 | 10,143,317 | |||||
Intel | 486,868 | 22,824,372 | |||||
KLA-Tencor | 16,750 | 1,533,295 | |||||
Lam Research | 17,010 | 2,410,827 | |||||
Microchip Technology | 23,989 | a | 1,577,996 | ||||
Micron Technology | 121,413 | b | 4,579,698 | ||||
NVIDIA | 64,147 | 13,524,112 | |||||
Qorvo | 13,460 | b | 989,445 | ||||
Qualcomm | 147,723 | 9,290,299 | |||||
Skyworks Solutions | 19,208 | 1,666,486 | |||||
Texas Instruments | 103,063 | 9,567,338 | |||||
Xilinx | 26,159 | 2,233,194 | |||||
88,683,215 | |||||||
Software & Services - 10.6% | |||||||
Accenture | 67,391 | 10,622,169 | |||||
Adobe Systems | 51,496 | b | 12,655,657 | ||||
Akamai Technologies | 17,352 | b | 1,253,682 | ||||
Alliance Data Systems | 4,984 | 1,027,601 | |||||
ANSYS | 8,786 | b | 1,313,946 | ||||
Autodesk | 22,946 | b | 2,965,771 | ||||
Automatic Data Processing | 46,482 | 6,697,127 | |||||
Broadridge Financial Solutions | 12,392 | 1,449,120 | |||||
CA | 32,183 | 1,427,638 | |||||
Cadence Design Systems | 30,985 | b | 1,381,001 | ||||
Citrix Systems | 13,129 | 1,345,329 | |||||
Cognizant Technology Solutions, Cl. A | 62,069 | 4,284,623 | |||||
DXC Technology | 29,509 | 2,149,140 | |||||
Fidelity National Information Services | 34,415 | 3,582,602 | |||||
Fiserv | 43,698 | b | 3,465,251 | ||||
FleetCor Technologies | 9,413 | b | 1,882,882 | ||||
Fortinet | 13,619 | b | 1,119,209 | ||||
Gartner | 9,554 | b | 1,409,406 | ||||
Global Payments | 16,393 | 1,872,572 | |||||
International Business Machines | 95,981 | 11,079,087 | |||||
Intuit | 27,217 | 5,742,787 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Software & Services - 10.6% (continued) | |||||||
Mastercard, Cl. A | 96,415 | 19,058,353 | |||||
Microsoft | 809,193 | 86,429,904 | |||||
Oracle | 299,696 | 14,637,153 | |||||
Paychex | 33,732 | 2,209,109 | |||||
PayPal Holdings | 124,554 | b | 10,486,201 | ||||
Red Hat | 18,811 | b | 3,228,720 | ||||
salesforce.com | 79,565 | b | 10,919,501 | ||||
Symantec | 63,731 | 1,156,718 | |||||
Synopsys | 15,471 | b | 1,385,119 | ||||
Total System Services | 17,439 | 1,589,565 | |||||
VeriSign | 11,258 | b | 1,604,715 | ||||
Visa, Cl. A | 187,704 | a | 25,874,996 | ||||
Western Union | 48,981 | a | 883,617 | ||||
258,190,271 | |||||||
Technology Hardware & Equipment - 6.4% | |||||||
Amphenol | 32,292 | 2,890,134 | |||||
Apple | 484,263 | 105,985,800 | |||||
Arista Networks | 5,403 | b | 1,244,581 | ||||
Cisco Systems | 483,577 | 22,123,648 | |||||
Corning | 87,576 | 2,798,053 | |||||
F5 Networks | 6,316 | b | 1,107,068 | ||||
FLIR Systems | 13,847 | 641,255 | |||||
Hewlett Packard Enterprise | 156,006 | 2,379,092 | |||||
HP | 170,424 | 4,114,035 | |||||
IPG Photonics | 3,976 | b | 530,995 | ||||
Juniper Networks | 36,497 | 1,068,267 | |||||
Motorola Solutions | 16,808 | 2,059,989 | |||||
NetApp | 28,110 | 2,206,354 | |||||
Seagate Technology | 27,801 | a | 1,118,434 | ||||
TE Connectivity | 37,189 | 2,804,794 | |||||
Western Digital | 30,905 | 1,331,078 | |||||
Xerox | 21,428 | 597,198 | |||||
155,000,775 | |||||||
Telecommunication Services - 2.1% | |||||||
AT&T | 766,432 | 23,514,134 | |||||
CenturyLink | 101,873 | 2,102,659 | |||||
Verizon Communications | 436,085 | 24,896,093 | |||||
50,512,886 | |||||||
Transportation - 2.1% | |||||||
Alaska Air Group | 12,317 | a | 756,510 | ||||
American Airlines Group | 44,743 | a | 1,569,584 | ||||
CH Robinson Worldwide | 14,781 | 1,315,952 | |||||
CSX | 86,722 | 5,971,677 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Transportation - 2.1% (continued) | |||||||
Delta Air Lines | 66,548 | 3,642,172 | |||||
Expeditors International of Washington | 17,931 | 1,204,605 | |||||
FedEx | 25,933 | 5,714,077 | |||||
J.B. Hunt Transport Services | 9,383 | 1,037,854 | |||||
Kansas City Southern | 10,943 | 1,115,748 | |||||
Norfolk Southern | 29,588 | 4,965,754 | |||||
Southwest Airlines | 54,570 | 2,679,387 | |||||
Union Pacific | 78,366 | 11,458,677 | |||||
United Continental Holdings | 24,823 | b | 2,122,615 | ||||
United Parcel Service, Cl. B | 73,145 | 7,792,868 | |||||
51,347,480 | |||||||
Utilities - 3.1% | |||||||
AES | 69,187 | 1,008,747 | |||||
Alliant Energy | 23,327 | 1,002,594 | |||||
Ameren | 25,980 | 1,677,788 | |||||
American Electric Power | 51,145 | 3,751,997 | |||||
American Water Works | 19,101 | 1,691,012 | |||||
CenterPoint Energy | 46,025 | 1,243,135 | |||||
CMS Energy | 28,908 | 1,431,524 | |||||
Consolidated Edison | 32,758 | 2,489,608 | |||||
Dominion Resources | 68,851 | 4,917,338 | |||||
DTE Energy | 19,146 | 2,152,010 | |||||
Duke Energy | 75,088 | 6,204,521 | |||||
Edison International | 34,208 | 2,373,693 | |||||
Entergy | 19,039 | a | 1,598,324 | ||||
Evergy | 28,352 | 1,587,428 | |||||
Eversource Energy | 33,257 | 2,103,838 | |||||
Exelon | 101,854 | 4,462,224 | |||||
FirstEnergy | 51,091 | 1,904,672 | |||||
NextEra Energy | 49,744 | 8,580,840 | |||||
NiSource | 37,178 | 942,834 | |||||
NRG Energy | 32,782 | 1,186,381 | |||||
PG&E | 53,042 | b | 2,482,896 | ||||
Pinnacle West Capital | 11,808 | 971,208 | |||||
PPL | 73,656 | 2,239,142 | |||||
Public Service Enterprise Group | 52,545 | 2,807,479 | |||||
SCANA | 16,338 | 654,337 | |||||
Sempra Energy | 28,799 | a | 3,171,346 | ||||
Southern | 106,911 | 4,814,202 | |||||
WEC Energy Group | 32,630 | 2,231,892 | |||||
Xcel Energy | 52,551 | 2,575,525 | |||||
74,258,535 | |||||||
Total Common Stocks (cost $718,253,494) | 2,418,814,554 |
19
STATEMENT OF INVESTMENTS (continued)
Principal Amount ($) | |||||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills - .1% | |||||||
2.09%, 12/6/18 | 745,000 | d,e | 743,455 | ||||
7-Day | |||||||
Investment Companies - .5% | |||||||
Registered Investment Companies - .5% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.21 | 12,832,140 | f | 12,832,140 | |||
Investment of Cash Collateral for Securities Loaned - .1% | |||||||
Registered Investment Companies - .1% | |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 2.12 | 2,004,282 | f | 2,004,282 | |||
Total Investments (cost $733,833,374) | 100.3% | 2,434,394,431 | |||||
Liabilities, Less Cash and Receivables | (.3%) | (6,382,846) | |||||
Net Assets | 100.0% | 2,428,011,585 |
a Security, or portion thereof, on loan. At October 31, 2018, the value of the fund’s securities on loan was $64,565,198 and the value of the collateral held by the fund was $69,938,710, consisting of cash collateral of $2,004,282 and U.S. Government & Agency securities valued at $67,934,428.
b Non-income producing security.
c Investment in real estate investment trust.
d Security is a discount security. Income is recognized through the accretion of discount.
e Held by a broker as collateral for open short positions.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
20
Portfolio Summary (Unaudited) † | Value (%) |
Information Technology | 20.7 |
Health Care | 14.9 |
Financials | 13.5 |
Communication Services | 10.1 |
Consumer Discretionary | 9.8 |
Industrials | 9.3 |
Consumer Staples | 7.3 |
Energy | 5.7 |
Utilities | 3.1 |
Real Estate | 2.8 |
Materials | 2.5 |
Investment Companies | .6 |
Government | .0 |
Basic Materials | .0 |
Consumer, Non-cyclical | .0 |
100.3 |
† Based on net assets.
See notes to financial statements.
21
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Companies | Value | Purchases($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 12,605,928 | 342,578,622 | 342,352,410 | 12,832,140 | .5 | 187,992 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 11,760,856 | 57,087,109 | 66,843,683 | 2,004,282 | .1 | – |
Total | 24,366,784 | 399,665,731 | 409,196,093 | 14,836,422 | .6 | 187,992 |
See notes to financial statements.
22
STATEMENT OF FUTURES
October 31, 2018
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 88 | 12/18 | 12,190,826 | 11,928,840 | (261,986) | |
Gross Unrealized Depreciation | (261,986) |
See notes to financial statements.
23
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2018
|
|
|
|
|
|
| ||
|
|
| Cost |
| Value |
| ||
Assets ($): |
|
|
|
| ||||
Investments in securities—See Statement of Investments |
|
|
| |||||
Unaffiliated issuers | 718,996,952 |
| 2,419,558,009 |
| ||||
Affiliated issuers |
| 14,836,422 |
| 14,836,422 |
| |||
Cash |
|
|
|
| 159,517 |
| ||
Dividends and securities lending income receivable |
| 2,214,505 |
| |||||
Receivable for shares of Common Stock subscribed |
| 1,124,450 |
| |||||
Receivable for investment securities sold |
| 337,825 |
| |||||
Receivable for futures variation margin—Note 4 |
| 133,183 |
| |||||
|
|
|
|
| 2,438,363,911 |
| ||
Liabilities ($): |
|
|
|
| ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
| 953,378 |
| |||
Payable for investment securities purchased |
| 4,432,801 |
| |||||
Payable for shares of Common Stock redeemed |
| 2,921,278 |
| |||||
Liability for securities on loan—Note 1(b) |
| 2,004,282 |
| |||||
Directors fees and expenses payable |
| 40,587 |
| |||||
|
|
|
|
| 10,352,326 |
| ||
Net Assets ($) |
|
| 2,428,011,585 |
| ||||
Composition of Net Assets ($): |
|
|
|
| ||||
Paid-in capital |
|
|
|
| 451,153,587 |
| ||
Total distributable earnings (loss) |
|
|
|
| 1,976,857,998 |
| ||
Net Assets ($) |
|
| 2,428,011,585 |
| ||||
Shares Outstanding |
|
| ||||||
(200 million shares of $.001 par value Common Stock authorized) | 43,798,091 |
| ||||||
Net Asset Value Per Share ($) |
| 55.44 |
| |||||
See notes to financial statements. |
24
STATEMENT OF OPERATIONS
Year Ended October 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends: |
| |||||
Unaffiliated issuers |
|
| 49,394,776 |
| ||
Affiliated issuers |
|
| 187,992 |
| ||
Income from securities lending—Note 1(b) |
|
| 106,400 |
| ||
Interest |
|
| 14,125 |
| ||
Total Income |
|
| 49,703,293 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 6,569,178 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 6,569,178 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 237,971 |
| ||
Loan commitment fees—Note 2 |
|
| 59,960 |
| ||
Interest expense—Note 2 |
|
| 9,589 |
| ||
Total Expenses |
|
| 13,445,876 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (237,971) |
| ||
Net Expenses |
|
| 13,207,905 |
| ||
Investment Income—Net |
|
| 36,495,388 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 281,164,062 |
| ||||
Net realized gain (loss) on futures | 2,635,351 |
| ||||
Net Realized Gain (Loss) |
|
| 283,799,413 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (137,069,346) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (359,143) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (137,428,489) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 146,370,924 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 182,866,312 |
| |||
See notes to financial statements. |
25
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2018 |
| 2017a |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 36,495,388 |
|
|
| 40,072,150 |
| |
Net realized gain (loss) on investments |
| 283,799,413 |
|
|
| 192,182,977 |
| ||
Net unrealized appreciation (depreciation) |
| (137,428,489) |
|
|
| 309,601,974 |
| ||
Net Increase (Decrease) in Net Assets | 182,866,312 |
|
|
| 541,857,101 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
| (229,394,166) |
|
|
| (254,530,976) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 349,636,970 |
|
|
| 414,809,180 |
| |
Distributions reinvested |
|
| 224,832,393 |
|
|
| 249,887,372 |
| |
Cost of shares redeemed |
|
| (761,211,609) |
|
|
| (769,466,150) |
| |
Increase (Decrease) in Net Assets | (186,742,246) |
|
|
| (104,769,598) |
| |||
Total Increase (Decrease) in Net Assets | (233,270,100) |
|
|
| 182,556,527 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,661,281,685 |
|
|
| 2,478,725,158 |
| |
End of Period |
|
| 2,428,011,585 |
|
|
| 2,661,281,685 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 6,220,785 |
|
|
| 7,917,756 |
| |
Shares issued for distributions reinvested |
|
| 4,146,551 |
|
|
| 5,108,846 |
| |
Shares redeemed |
|
| (13,537,891) |
|
|
| (14,622,407) |
| |
Net Increase (Decrease) in Shares Outstanding | (3,170,555) |
|
|
| (1,595,805) |
| |||
aDistributions to shareholders include $43,501,163 of distributions from net investment income and $211,029,813 distributions from net realized gains. Undistributed investment income—net was $31,980,484 in 2017 and is no longer presented as a result of the adoption of SEC’s Disclosure Update and Simplification Rule.
| |||||||||
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||
Per Share Data ($): | ||||||||
Net asset value, | 56.66 | 51.04 | 52.88 | 54.00 | 47.94 | |||
Investment Operations: | ||||||||
Investment income—neta | .78 | .80 | .84 | .83 | .77 | |||
Net realized and unrealized gain | 2.97 | 10.12 | 1.11 | 1.68 | 7.05 | |||
Total from Investment Operations | 3.75 | 10.92 | 1.95 | 2.51 | 7.82 | |||
Distributions: | ||||||||
Dividends from investment | (.86) | (.91) | (.87) | (.83) | (.74) | |||
Dividends from net realized gain | (4.11) | (4.39) | (2.92) | (2.80) | (1.02) | |||
Total Distributions | (4.97) | (5.30) | (3.79) | (3.63) | (1.76) | |||
Net asset value, end of period | 55.44 | 56.66 | 51.04 | 52.88 | 54.00 | |||
Total Return (%) | 6.83 | 23.03 | 3.95 | 4.70 | 16.71 | |||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses to | .51 | .51 | .51 | .51 | .51 | |||
Ratio of net expenses to | .50 | .50 | .50 | .50 | .50 | |||
Ratio of net investment | 1.39 | 1.52 | 1.68 | 1.59 | 1.54 | |||
Portfolio Turnover Rate | 3.06 | 2.88 | 4.25 | 3.72 | 3.56 | |||
Net Assets, end of period | 2,428,012 | 2,661,282 | 2,478,725 | 2,771,235 | 2,894,071 |
a Based on average shares outstanding.
See notes to financial statements.
27
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the S&P 500® Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
28
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
29
NOTES TO FINANCIAL STATEMENTS (continued)
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to 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 October 31, 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 ($) | ||||
Investments in Securities: | ||||
Equity Securities—Common Stocks† | 2,418,814,554 | - | - | 2,418,814,554 |
30
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) (continued) | ||||
Investment Companies | 14,836,422 | - | - | 14,836,422 |
U.S. Treasury | - | 743,455 | - | 743,455 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (261,986) | - | - | (261,986) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives are reported in the Statement of Assets and Liabilities.
At October 31, 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 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
31
NOTES TO FINANCIAL STATEMENTS (continued)
security lending transactions are on an overnight and continuous basis. During the period ended October 31, 2018, The Bank of New York Mellon earned $19,119 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are considered “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 and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 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 October 31, 2018, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2018, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $30,288,187, undistributed capital gains $275,191,181 and unrealized appreciation $1,671,378,630.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2018 and October 31, 2017 were as follows: ordinary income $42,582,612 and $45,178,724, and long-term capital gains $186,811,554 and $209,352,252, respectively.
32
(f) New Accounting Pronouncements: In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.
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 October 31, 2018 was approximately $371,000 with a related weighted average annualized interest rate of 2.58%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with Dreyfus, the management fee is computed at the annual rate of .25% of the value of the fund’s average daily net assets and is payable monthly. Out of its fee, Dreyfus pays all of the expenses of the fund except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of interested Directors (including counsel fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2018, fees reimbursed by Dreyfus amounted to $237,971.
(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
33
NOTES TO FINANCIAL STATEMENTS (continued)
accounts such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2018, the fund was charged $6,569,178 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 $531,149 and Shareholder Services Plan fees $531,149, which are offset against an expense reimbursement currently in effect in the amount of $108,920.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended October 31, 2018, amounted to $79,739,923 and $457,772,646, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2018 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2018 are set forth in the Statement of Futures.
34
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2018:
|
| Average Market Value ($) |
Equity futures | 18,054,500 | |
At October 31, 2018, the cost of investments for federal income tax purposes was $763,015,801; accordingly, accumulated net unrealized appreciation on investments was $1,671,378,630, consisting of $1,728,588,471 gross unrealized appreciation and $57,209,841 gross unrealized depreciation.
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”).
The 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.
35
NOTES TO FINANCIAL STATEMENTS (continued)
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 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 December 13, 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
36
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.
On March 8, 2018, following the U.S. Supreme Court’s decision in Merit Management, the Plaintiff in the FitzSimons Case submitted a letter to the Court seeking permission to file another amended complaint or a motion for leave to amend in order to add a claim of constructive fraudulent transfer. On June 18, 2018, the Court issued an order staying the Trustee’s request pending further action by the Second Circuit in the state law cases. The Court also ordered counsel for all of the parties to file a joint letter “indicating how they wish to proceed with respect to a potential global resolution of this multi-district litigation.” On July 9, 2018, the parties submitted the joint letter requested by the Court expressing their views regarding a potential mediation. On November 30, 2018, the Court issued an Opinion and Order resolving the remaining motions by dismissing most, but not all, of the claims asserted against the individual defendants. After Judge Richard J. Sullivan issued the Opinion and Order, the U.S. Judicial Panel on Multidistrict Litigation reassigned the entire litigation to Judge Denise Cote.
37
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Directors of Dreyfus S&P 500 Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Dreyfus S&P 500 Index Fund (the “Fund”) (one of the funds constituting Dreyfus Index Funds, Inc.), including the statements of investments, investments in affiliated issuers and futures, as of October 31, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Dreyfus Index Funds, Inc.) at October 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2018, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Dreyfus investment companies since at least 1957, but we are unable to determine the specific year.
New York, New York
December 28, 2018
38
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports 100% of the ordinary dividends paid during the fiscal year ended October 31, 2018 as qualifying for the corporate dividends received deduction. Also, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $42,582,612 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2019 of the percentage applicable to the preparation of their 2018 income tax returns. The fund also hereby reports $.0086 per share as a long-term capital gain distribution paid on March 20, 2018 and also $.0603 per share as a short-term capital gain distribution and $4.046 per share as a long-term capital gain distribution paid on December 27, 2017.
39
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 124
———————
Peggy C. Davis (75)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (78)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (71)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014), Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
40
Ehud Houminer (78)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (78)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (55)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
No. of Portfolios for which Board Member Serves: 99
———————
Dr. Martin Peretz (79)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1968-2010)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
41
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 124 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since June 2015.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since June 2000.
SONALEE CROSS, Vice President and Assistant Secretary since March 2018.
Counsel of BNY Mellon since October 2016; Associate at Proskauer Rose LLP from April 2016 to September 2016; Attorney at EnTrust Capital from August 2015 to February 2016; Associate at Sidley Austin LLP from September 2013 until August 2015. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 31 years old and has been an employee of the Manager since October 2016.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Managing Counsel of BNY Mellon since December 2017, from March 2013 to December 2017, Senior Counsel of BNY Mellon. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 43 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 33 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since April 1985.
42
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager, the Dreyfus Family of Funds and BNY Mellon Funds Trust (63 investment companies, comprised of 149 portfolios). He is 61 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 143 portfolios) managed by the Manager. She is 50 years old and has been an employee of the Distributor since 1997.
43
NOTES
44
NOTES
45
Dreyfus S&P 500 Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
240 Greenwich 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.
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
ANNUAL REPORT October 31, 2018 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
in Affiliated Issuers | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2017 through October 31, 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.
Markets began the reporting period on solid footing as major global economies experienced above-trend growth across the board. In the United States, the Federal Reserve continued to move away from its accommodative monetary policy while other major central banks also began to consider monetary tightening. In the equity markets, both U.S. and non-U.S. markets enjoyed an upward trend, though investor concerns about volatility and inflation later began to weigh on returns. Interest rates rose across the curve, putting pressure on bond prices.
Later in the reporting period, global growth trends began to diverge. While a strong economic performance continued to bolster U.S. equity markets, slower growth and political concerns pressured markets in the Eurozone. Emerging markets also came under pressure as weakness in their currencies added to investors’ uneasiness. Fixed income markets continued to struggle as interest rates rose; the yield on the benchmark 10-year Treasury bond surged late in the reporting period, but growing investor concerns about global growth helped keep it from rising further.
Despite continuing doubts regarding trade, U.S. inflationary pressures, and global growth, we are optimistic that the U.S. economy will remain strong in the near term. However, we will stay attentive to signs that signal potential changes on the horizon. 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
November 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through October 31, 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 12-month period ended October 31, 2018, Dreyfus Smallcap Stock Index Fund’s Class I shares produced a total return of 5.37%, and its Investor shares returned 5.07%.1 In comparison, the S&P SmallCap 600® Index (the “Index”), the fund’s benchmark, produced a 5.60% total return for the same period.2,3
Small-cap stocks advanced modestly 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 during the reporting period 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”) 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.
In the first few months of 2018, volatility entered the picture, as concerns over inflation and the potential for trade disputes roiled markets. However, U.S. markets were able to stabilize, and the upward trend continued, on the back of sustained positive economic data, corporate balance-sheet strength, and robust consumer spending. Non-U.S. markets, however, slowed as the rate of economic improvement in areas such as the Eurozone stalled. In late summer, continued political rhetoric in the U.S. regarding trade and midterm elections, and concerns over issues abroad in areas such as Italy, Turkey, Argentina, and the United Kingdom weighed on sentiment. Despite strong underlying fundamentals, volatility crept back into the picture in U.S. markets.
In this environment, small-cap stocks trailed their large-cap counterparts, but outperformed mid-cap stocks.
Health Care Stocks Lead the Market
For the reporting period, health care stocks posted the highest overall returns of the Index’s various market segments. Small pharmaceutical and medical equipment companies led the advance. Prices were buoyed by speedy Food and Drug Administration (FDA) approvals and mergers-and-acquisitions
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
activity. Several product breakthroughs during the period also helped returns. The consumer discretionary sector was bolstered by robust consumer confidence. Specialty retailers, particularly those that have invested in their online presence, rebounded from previous weakness. Among brick-and-mortar establishments, discount company Five Below announced plans to expand its footprint in new markets. The communication services sector was another top contributor, driven by one stock in particular. World Wrestling Entertainment was up over 150% for the period, with most of the increase coming after the company announced its contract for performances in Saudi Arabia. Elsewhere in the sector, diversified telecom companies also helped results.
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 have generally fallen out of favor. Moreover, concerns about potential trade disputes hurt technology producers, such as semiconductor manufacturers, that export to China. Semiconductor companies were severely hurt in October during a sell-off. Other relatively weak areas included the energy and materials sectors. In energy, hydraulic fracturing (fracking) companies generally fell due to increased concern regarding regulation and the upcoming U.S. midterm election. In materials, the rising price of oil has put pressure on profit margins of chemical companies and companies making plastics and sealants that use oil-based products as an input for their goods. Higher freight costs also hurt returns.
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 intact, supported by a strong labor market and sound corporate balance sheets. Although the recovery progress of non-U.S. developed markets seemed to stall in February and remains under fire due to geopolitical issues, the underlying fundamentals remain neutral. The market’s currently constructive conditions could be undermined by unexpected political and economic developments, as geopolitical tensions potentially escalate. As always, we continue to monitor the factors considered by the fund’s investment model in light of current market conditions.
November 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.
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
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.
The prices of small company stocks tend to be more volatile than the prices of large company stocks, mainly because these companies have less established and more volatile earnings histories. They also tend to be less liquid than larger company stocks.
4
FUND PERFORMANCE (Unaudited)
Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock Index Fund Investor shares and Class I shares and the S&P SmallCap 600® Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Investor and Class I shares of Dreyfus Smallcap Stock Index Fund on 10/31/08 to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account all applicable fees and expenses. The Index measures the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
Average Annual Total Returns as of 10/31/18 | ||||
Inception | 1 Year | 5 Years | 10 Years | |
Investor shares | 6/30/97 | 5.07% | 9.54% | 13.76% |
Class I Shares | 8/31/16 | 5.37% | 9.66%† | 13.82%† |
S&P SmallCap 600® Index | 5.60% | 10.06% | 14.16% |
† The total return performance figures presented for Class I shares of the fund reflect the performance of the fund’s Investor shares for the period prior to 8/31/16 (the inception date for Class I shares).
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Smallcap Stock Index Fund from May 1, 2018 to October 31, 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 October 31, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $ 2.53 | $ 1.27 | ||||
Ending value (after expenses) | $ 1,006.90 | $ 1,008.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2018 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $ 2.55 | $ 1.28 | ||||
Ending value (after expenses) | $ 1,022.68 | $ 1,023.95 |
† Expenses are equal to the fund’s annualized expense ratio of .50% for Investor Shares and .25% for Class I, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
October 31, 2018
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% | |||||||
Automobiles & Components - 2.1% | |||||||
American Axle & Manufacturing Holdings | 336,250 | a,b | 5,100,912 | ||||
Cooper Tire & Rubber Co. | 153,661 | a | 4,746,588 | ||||
Cooper-Standard Holding | 49,991 | b | 4,631,666 | ||||
Dorman Products | 89,664 | a,b | 7,084,353 | ||||
Fox Factory Holding | 116,020 | b | 6,233,755 | ||||
Garrett Motion | 227,940 | 3,457,850 | |||||
Gentherm | 111,903 | a,b | 4,883,447 | ||||
LCI Industries | 77,696 | a | 5,388,218 | ||||
Motorcar Parts of America | 59,047 | a,b | 1,250,615 | ||||
Standard Motor Products | 61,948 | 3,352,006 | |||||
Superior Industries International | 69,662 | a | 684,777 | ||||
Winnebago Industries | 89,144 | a | 2,456,809 | ||||
49,270,996 | |||||||
Banks - 10.5% | |||||||
Ameris Bancorp | 123,521 | 5,297,816 | |||||
Axos Financial | 169,418 | b | 5,143,530 | ||||
Banc of California | 133,879 | a | 2,135,370 | ||||
Banner | 99,183 | 5,734,761 | |||||
Berkshire Hills Bancorp | 125,961 | a | 4,203,319 | ||||
Boston Private Financial Holdings | 260,368 | 3,514,968 | |||||
Brookline Bancorp | 248,144 | 3,846,232 | |||||
Central Pacific Financial | 91,895 | 2,484,841 | |||||
City Holding | 47,134 | a | 3,477,547 | ||||
Columbia Banking System | 224,745 | 8,335,792 | |||||
Community Bank System | 156,744 | a | 9,152,282 | ||||
Customers Bancorp | 91,925 | b | 1,883,543 | ||||
CVB Financial | 314,194 | a | 6,865,139 | ||||
Dime Community Bancshares | 97,689 | a | 1,574,747 | ||||
Fidelity Southern | 68,148 | 1,582,397 | |||||
First BanCorp | 655,587 | b | 6,051,068 | ||||
First Commonwealth Financial | 309,921 | 4,183,933 | |||||
First Financial Bancorp | 300,287 | 7,858,511 | |||||
First Financial Bankshares | 207,551 | a | 12,243,433 | ||||
First Midwest Bancorp | 317,533 | 7,290,558 | |||||
Flagstar Bancorp | 90,452 | b | 2,785,017 | ||||
Franklin Financial Network | 38,260 | a,b | 1,297,014 | ||||
Glacier Bancorp | 257,115 | a | 10,901,676 | ||||
Great Western Bancorp | 181,489 | 6,651,572 | |||||
Green Bancorp | 82,636 | 1,528,766 | |||||
Hanmi Financial | 100,837 | 2,115,560 |
7
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Banks - 10.5% (continued) | |||||||
Heritage Financial | 103,824 | a | 3,397,121 | ||||
HomeStreet | 82,898 | b | 2,153,690 | ||||
Hope Bancorp | 379,247 | a | 5,491,497 | ||||
Independent Bank | 84,479 | 6,627,378 | |||||
LegacyTexas Financial Group | 135,905 | 5,236,420 | |||||
Meta Financial Group | 83,700 | a | 2,112,588 | ||||
National Bank Holdings, Cl. A | 79,323 | 2,677,944 | |||||
NBT Bancorp | 131,803 | a | 4,809,491 | ||||
NMI Holdings, Cl. A | 197,666 | b | 4,178,659 | ||||
Northfield Bancorp | 147,002 | a | 1,936,016 | ||||
Northwest Bancshares | 316,426 | a | 5,107,116 | ||||
OFG Bancorp | 138,662 | 2,369,734 | |||||
Old National Bancorp | 462,330 | 8,252,590 | |||||
Opus Bank | 68,551 | a | 1,301,783 | ||||
Oritani Financial | 124,772 | a | 1,822,919 | ||||
Pacific Premier Bancorp | 134,608 | b | 3,934,592 | ||||
Preferred Bank | 43,947 | a | 2,259,315 | ||||
Provident Financial Services | 190,391 | 4,645,540 | |||||
S&T Bancorp | 107,395 | a | 4,307,613 | ||||
Seacoast Banking Corporation of Florida | 146,957 | a,b | 3,866,439 | ||||
ServisFirst Bancshares | 139,344 | a | 5,013,597 | ||||
Simmons First National, Cl. A | 279,440 | a | 7,483,403 | ||||
Southside Bancshares | 103,212 | a | 3,269,756 | ||||
Tompkins Financial | 38,349 | a | 2,804,462 | ||||
Triumph Bancorp | 71,059 | b | 2,548,176 | ||||
TrustCo Bank | 299,203 | 2,241,030 | |||||
United Community Banks | 239,610 | 5,959,101 | |||||
Veritex Holdings | 74,272 | a,b | 1,749,848 | ||||
Walker & Dunlop | 86,656 | 3,636,086 | |||||
Westamerica Bancorporation | 82,238 | a | 4,787,074 | ||||
244,120,370 | |||||||
Capital Goods - 11.6% | |||||||
AAON | 125,790 | a | 4,338,497 | ||||
AAR | 97,447 | 4,636,528 | |||||
Actuant, Cl. A | 187,324 | a | 4,467,677 | ||||
Aegion | 98,573 | b | 1,908,373 | ||||
Aerojet Rocketdyne Holdings | 213,555 | a,b | 7,542,763 | ||||
AeroVironment | 65,331 | a,b | 5,877,830 | ||||
Alamo Group | 29,527 | 2,531,054 | |||||
Albany International | 88,975 | 6,226,470 | |||||
American Woodmark | 47,369 | a,b | 2,862,982 | ||||
Apogee Enterprises | 86,761 | a | 3,132,072 | ||||
Applied Industrial Technologies | 118,767 | 7,806,555 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Capital Goods - 11.6% (continued) | |||||||
Astec Industries | 72,247 | 2,717,210 | |||||
Axon Enterprise | 178,813 | b | 11,036,338 | ||||
AZZ | 80,431 | 3,567,115 | |||||
Barnes Group | 144,540 | 8,180,964 | |||||
Briggs & Stratton | 130,742 | 1,899,681 | |||||
Chart Industries | 95,510 | b | 6,499,455 | ||||
CIRCOR International | 60,919 | a | 1,980,477 | ||||
Comfort Systems USA | 114,243 | 6,109,716 | |||||
Cubic | 76,901 | 5,045,475 | |||||
DXP Enterprises | 48,505 | b | 1,541,489 | ||||
Encore Wire | 64,598 | 2,855,232 | |||||
Engility Holdings | 54,549 | b | 1,692,655 | ||||
EnPro Industries | 64,970 | 4,041,134 | |||||
ESCO Technologies | 79,483 | 4,865,949 | |||||
Federal Signal | 187,537 | 4,123,939 | |||||
Franklin Electric | 120,096 | 5,094,472 | |||||
Gibraltar Industries | 98,248 | a,b | 3,501,559 | ||||
Griffon | 102,781 | 1,245,706 | |||||
Harsco | 248,599 | b | 6,829,015 | ||||
Hillenbrand | 191,160 | 9,156,564 | |||||
Insteel Industries | 54,724 | 1,429,391 | |||||
John Bean Technologies | 96,961 | a | 10,081,035 | ||||
Kaman | 86,123 | a | 5,470,533 | ||||
Lindsay | 32,871 | a | 3,143,125 | ||||
Lydall | 54,006 | b | 1,613,159 | ||||
Mercury Systems | 148,496 | a,b | 6,958,523 | ||||
Moog, Cl. A | 99,945 | 7,151,065 | |||||
Mueller Industries | 179,051 | 4,359,892 | |||||
MYR Group | 49,497 | b | 1,652,705 | ||||
National Presto Industries | 15,424 | a | 1,922,910 | ||||
Orion Marine Group | 84,705 | b | 399,808 | ||||
Patrick Industries | 71,536 | a,b | 3,112,531 | ||||
PGT | 173,817 | b | 3,521,532 | ||||
Powell Industries | 26,159 | 762,796 | |||||
Proto Labs | 82,200 | b | 9,818,790 | ||||
Quanex Building Products | 110,756 | 1,641,404 | |||||
Raven Industries | 110,922 | 4,822,889 | |||||
Simpson Manufacturing | 128,336 | a | 7,325,419 | ||||
SPX | 132,709 | b | 3,891,028 | ||||
SPX FLOW | 130,529 | b | 4,468,008 | ||||
Standex International | 39,684 | 3,219,166 | |||||
Tennant | 56,259 | a | 3,438,550 | ||||
The Greenbrier Companies | 97,078 | 4,606,351 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Capital Goods - 11.6% (continued) | |||||||
Titan International | 149,241 | 1,053,641 | |||||
Trex | 180,144 | b | 11,042,827 | ||||
Triumph Group | 154,139 | a | 2,813,037 | ||||
Universal Forest Products | 189,662 | 5,361,745 | |||||
Veritiv | 40,644 | b | 1,355,071 | ||||
Vicor | 49,282 | a,b | 1,976,208 | ||||
Wabash National | 178,889 | 2,701,224 | |||||
Watts Water Technologies, Cl. A | 85,298 | 5,975,125 | |||||
270,404,434 | |||||||
Commercial & Professional Services - 4.9% | |||||||
ABM Industries | 202,665 | a | 6,231,949 | ||||
Brady, Cl. A | 147,892 | 5,958,569 | |||||
Essendant | 101,456 | 1,292,549 | |||||
Exponent | 159,618 | 8,054,324 | |||||
Forrester Research | 30,318 | a | 1,221,209 | ||||
FTI Consulting | 117,630 | b | 8,129,409 | ||||
Heidrick & Struggles International | 58,258 | 2,010,484 | |||||
Insperity | 116,309 | 12,776,544 | |||||
Interface | 182,533 | 2,973,463 | |||||
Kelly Services, Cl. A | 95,722 | 2,248,510 | |||||
Korn/Ferry International | 176,054 | 7,947,078 | |||||
LSC Communications | 104,907 | 989,273 | |||||
Matthews International, Cl. A | 98,458 | a | 4,097,822 | ||||
Mobile Mini | 137,570 | a | 5,656,878 | ||||
Multi-Color | 43,152 | a | 2,293,960 | ||||
Navigant Consulting | 140,126 | 3,026,722 | |||||
R.R. Donnelley & Sons Co. | 209,369 | a,b | 1,228,996 | ||||
Resources Connection | 88,711 | 1,447,764 | |||||
Team | 94,828 | a,b | 1,887,077 | ||||
Tetra Tech | 169,766 | 11,211,347 | |||||
TrueBlue | 125,753 | b | 2,933,817 | ||||
UniFirst | 47,323 | 7,065,324 | |||||
US Ecology | 66,306 | 4,636,779 | |||||
Viad | 63,328 | 3,032,778 | |||||
WageWorks | 121,602 | b | 4,840,976 | ||||
113,193,601 | |||||||
Consumer Durables & Apparel - 4.0% | |||||||
Callaway Golf | 272,657 | a | 5,834,860 | ||||
Cavco Industries | 26,142 | b | 5,244,347 | ||||
Crocs | 208,945 | b | 4,291,730 | ||||
Ethan Allen Interiors | 76,026 | a | 1,455,138 | ||||
Fossil Group | 134,025 | b | 2,909,683 | ||||
G-III Apparel Group | 128,853 | a,b | 5,136,081 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Consumer Durables & Apparel - 4.0% (continued) | |||||||
Installed Building Products | 69,638 | a,b | 2,121,173 | ||||
iRobot | 84,112 | a,b | 7,416,155 | ||||
La-Z-Boy | 143,266 | 3,982,795 | |||||
LGI Homes | 58,509 | a,b | 2,503,600 | ||||
M.D.C. Holdings | 140,682 | a | 3,953,164 | ||||
M/I Homes | 86,676 | b | 2,094,959 | ||||
Meritage Homes | 117,897 | b | 4,391,663 | ||||
Movado Group | 52,263 | 2,012,648 | |||||
Nautilus | 92,347 | a,b | 1,129,404 | ||||
Oxford Industries | 51,963 | a | 4,623,668 | ||||
Steven Madden | 245,785 | 7,685,697 | |||||
Sturm Ruger & Co. | 54,081 | a | 3,211,871 | ||||
TopBuild | 109,794 | b | 5,008,802 | ||||
Unifi | 44,729 | b | 1,023,847 | ||||
Universal Electronics | 42,993 | a,b | 1,344,391 | ||||
Vera Bradley | 58,300 | b | 768,977 | ||||
Vista Outdoor | 178,252 | b | 2,228,150 | ||||
William Lyon Homes, Cl. A | 98,998 | b | 1,342,413 | ||||
Wolverine World Wide | 291,607 | 10,255,818 | |||||
91,971,034 | |||||||
Consumer Services - 2.5% | |||||||
American Public Education | 49,314 | b | 1,614,047 | ||||
Belmond | 270,204 | a,b | 4,625,892 | ||||
BJ's Restaurants | 63,239 | 3,868,962 | |||||
Career Education | 206,432 | b | 2,968,492 | ||||
Chuy's Holdings | 52,072 | a,b | 1,268,995 | ||||
Dave & Buster's Entertainment | 120,804 | 7,193,878 | |||||
DineEquity | 54,314 | a | 4,401,607 | ||||
El Pollo Loco Holdings | 66,016 | a,b | 825,860 | ||||
Fiesta Restaurant Group | 72,354 | a,b | 1,867,457 | ||||
Monarch Casino & Resort | 37,563 | b | 1,456,317 | ||||
Red Robin Gourmet Burgers | 38,974 | a,b | 1,177,015 | ||||
Regis | 105,326 | b | 1,773,690 | ||||
Ruth's Hospitality Group | 87,490 | 2,364,855 | |||||
Shake Shack, Cl. A | 77,008 | b | 4,072,953 | ||||
Sonic | 105,431 | 4,563,054 | |||||
Strategic Education | 65,358 | 8,223,344 | |||||
Wingstop | 90,230 | 5,650,203 | |||||
57,916,621 | |||||||
Diversified Financials - 3.8% | |||||||
Apollo Commercial Real Estate Finance | 345,186 | a,c | 6,458,430 | ||||
ARMOUR Residential | 129,924 | a,c | 2,829,745 | ||||
Blucora | 146,286 | b | 4,230,591 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Diversified Financials - 3.8% (continued) | |||||||
Capstead Mortgage | 287,309 | c | 1,970,940 | ||||
Donnelley Financial Solutions | 106,963 | b | 1,663,275 | ||||
Encore Capital Group | 80,366 | a,b | 2,042,100 | ||||
Enova International | 103,414 | b | 2,445,741 | ||||
EZCORP, Cl. A | 160,206 | a,b | 1,592,448 | ||||
FirstCash | 136,023 | 10,936,249 | |||||
Granite Point Mortgage Trust | 133,294 | a,c | 2,480,601 | ||||
Green Dot, Cl. A | 145,366 | b | 11,010,021 | ||||
Greenhill & Co. | 59,280 | 1,307,124 | |||||
INTL. FCStone | 48,651 | b | 2,202,917 | ||||
Invesco Mortgage Capital | 342,538 | a,c | 5,165,473 | ||||
Investment Technology Group | 98,359 | 2,702,905 | |||||
New York Mortgage Trust | 430,621 | a,c | 2,644,013 | ||||
PennyMac Mortgage Investment Trust | 182,966 | a,c | 3,533,073 | ||||
Piper Jaffray | 45,095 | 3,128,691 | |||||
PRA Group | 139,668 | a,b | 4,307,361 | ||||
Redwood Trust | 255,161 | c | 4,189,744 | ||||
Virtus Investment Partners | 22,076 | a | 2,193,030 | ||||
Waddell & Reed Financial, Cl. A | 244,901 | a | 4,670,262 | ||||
WisdomTree Investments | 355,467 | a | 2,761,979 | ||||
World Acceptance | 19,187 | b | 1,947,289 | ||||
88,414,002 | |||||||
Energy - 3.9% | |||||||
Archrock | 402,462 | 4,129,260 | |||||
Bonanza Creek Energy | 57,573 | b | 1,482,505 | ||||
Bristow Group | 100,600 | a,b | 1,107,606 | ||||
C&J Energy Services | 196,580 | a,b | 3,691,772 | ||||
CARBO Ceramics | 64,206 | a,b | 310,115 | ||||
Carrizo Oil & Gas | 261,641 | a,b | 4,764,483 | ||||
Cloud Peak Energy | 230,038 | b | 393,365 | ||||
CONSOL Energy | 83,928 | 3,343,692 | |||||
Denbury Resources | 1,395,269 | a,b | 4,813,678 | ||||
Era Group | 60,740 | b | 687,577 | ||||
Exterran | 98,468 | b | 2,056,997 | ||||
Geospace Technologies | 43,239 | a,b | 550,432 | ||||
Green Plains | 122,126 | a | 2,081,027 | ||||
Gulf Island Fabrication | 36,080 | a | 306,680 | ||||
Helix Energy Solutions Group | 430,742 | b | 3,669,922 | ||||
HighPoint Resources | 311,770 | a,b | 1,159,784 | ||||
KLX Energy Services Holdings | 62,897 | 1,817,094 | |||||
Laredo Petroleum | 478,718 | a,b | 2,508,482 | ||||
Matrix Service | 82,586 | b | 1,678,973 | ||||
Newpark Resources | 285,126 | a,b | 2,340,884 |
12
��
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Energy - 3.9% (continued) | |||||||
Noble | 762,323 | a,b | 3,826,861 | ||||
Oil States International | 184,020 | a,b | 4,098,125 | ||||
Par Pacific Holdings | 79,995 | b | 1,414,312 | ||||
PDC Energy | 202,667 | a,b | 8,603,214 | ||||
Penn Virginia | 41,952 | b | 2,885,459 | ||||
Pioneer Energy Services | 233,902 | b | 694,689 | ||||
ProPetro Holding | 221,095 | a,b | 3,902,327 | ||||
Renewable Energy Group | 111,830 | b | 3,475,676 | ||||
REX American Resources | 17,366 | a,b | 1,288,036 | ||||
Ring Energy | 171,952 | a,b | 1,226,018 | ||||
SEACOR Holdings | 52,252 | a,b | 2,507,573 | ||||
SRC Energy | 745,727 | a,b | 5,279,747 | ||||
TETRA Technologies | 377,295 | a,b | 1,120,566 | ||||
Unit | 167,013 | a,b | 3,863,011 | ||||
US Silica Holdings | 239,703 | a | 3,355,842 | ||||
90,435,784 | |||||||
Food & Staples Retailing - .3% | |||||||
Andersons | 82,148 | 2,957,328 | |||||
Chefs' Warehouse | 70,864 | b | 2,383,156 | ||||
SpartanNash | 113,306 | 2,022,512 | |||||
7,362,996 | |||||||
Food, Beverage & Tobacco - 2.0% | |||||||
B&G Foods | 202,240 | a | 5,266,330 | ||||
Calavo Growers | 47,990 | a | 4,655,030 | ||||
Cal-Maine Foods | 93,196 | a | 4,535,849 | ||||
Coca-Cola Bottling Co Consolidated | 13,801 | a,b | 2,382,467 | ||||
Darling Ingredients | 505,055 | b | 10,434,436 | ||||
Dean Foods | 279,345 | a | 2,231,967 | ||||
J&J Snack Foods | 46,111 | a | 7,200,694 | ||||
John B. Sanfilippo & Son | 26,840 | a | 1,692,530 | ||||
MGP Ingredients | 38,585 | a | 2,746,094 | ||||
Seneca Foods, Cl. A | 20,299 | b | 642,057 | ||||
Universal | 76,885 | 5,217,416 | |||||
47,004,870 | |||||||
Health Care Equipment & Services - 6.8% | |||||||
Amedisys | 88,849 | b | 9,773,390 | ||||
AMN Healthcare Services | 145,653 | b | 7,372,955 | ||||
AngioDynamics | 113,723 | b | 2,323,361 | ||||
Anika Therapeutics | 42,626 | b | 1,524,306 | ||||
BioTelemetry | 99,735 | a,b | 5,794,603 | ||||
Community Health Systems | 344,731 | a,b | 1,089,350 | ||||
Computer Programs & Systems | 34,988 | 874,700 | |||||
CONMED | 77,970 | 5,257,517 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Health Care Equipment & Services - 6.8% (continued) | |||||||
CorVel | 28,961 | b | 1,678,580 | ||||
Cross Country Healthcare | 109,544 | a,b | 967,274 | ||||
CryoLife | 103,051 | b | 3,192,520 | ||||
Cutera | 41,678 | a,b | 846,063 | ||||
Diplomat Pharmacy | 169,569 | a,b | 3,364,249 | ||||
Ensign Group | 150,221 | 5,564,186 | |||||
HealthStream | 78,453 | b | 2,064,098 | ||||
Heska | 20,387 | a,b | 2,043,185 | ||||
HMS Holdings | 256,645 | b | 7,396,509 | ||||
Integer Holdings | 89,712 | b | 6,680,853 | ||||
Invacare | 104,203 | a | 1,346,303 | ||||
Lantheus Holdings | 113,167 | b | 1,580,943 | ||||
LeMaitre Vascular | 50,575 | a | 1,350,352 | ||||
LHC Group | 90,031 | b | 8,231,534 | ||||
Magellan Health | 75,898 | b | 4,937,924 | ||||
Meridian Bioscience | 129,901 | 2,105,695 | |||||
Merit Medical Systems | 167,804 | a,b | 9,584,964 | ||||
Natus Medical | 100,029 | a,b | 2,988,867 | ||||
Neogen | 158,943 | a,b | 9,651,019 | ||||
NextGen Healthcare | 146,550 | b | 2,164,543 | ||||
Omnicell | 119,319 | a,b | 8,435,853 | ||||
OraSure Technologies | 186,656 | b | 2,594,518 | ||||
Orthofix Medical | 58,023 | b | 3,528,959 | ||||
Owens & Minor | 188,863 | a | 1,492,018 | ||||
Providence Service | 33,618 | b | 2,221,814 | ||||
Quorum Health | 81,369 | a,b | 323,849 | ||||
Select Medical Holdings | 330,730 | b | 5,483,503 | ||||
SurModics | 40,620 | b | 2,576,527 | ||||
Tabula Rasa HealthCare | 50,274 | a,b | 3,714,243 | ||||
Tactile Systems Technology | 50,323 | a,b | 3,295,150 | ||||
Tivity Health | 120,445 | a,b | 4,144,512 | ||||
U.S. Physical Therapy | 38,918 | 4,184,463 | |||||
Varex Imaging | 117,297 | b | 3,045,030 | ||||
156,790,282 | |||||||
Household & Personal Products - 1.1% | |||||||
Avon Products | 1,385,600 | b | 2,715,776 | ||||
Central Garden & Pet | 31,083 | a,b | 1,009,576 | ||||
Central Garden & Pet, Cl. A | 122,711 | b | 3,638,381 | ||||
Inter Parfums | 53,351 | 3,147,175 | |||||
Medifast | 36,223 | 7,667,685 | |||||
WD-40 | 42,562 | a | 7,111,259 | ||||
25,289,852 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Insurance - 3.6% | |||||||
Ambac Financial Group | 138,724 | b | 2,854,940 | ||||
American Equity Investment Life Holding | 276,890 | 8,644,506 | |||||
AMERISAFE | 58,844 | 3,830,156 | |||||
eHealth | 51,238 | b | 1,760,538 | ||||
Employers Holdings | 101,261 | 4,653,956 | |||||
HCI Group | 23,777 | 1,038,342 | |||||
Horace Mann Educators | 126,172 | 4,956,036 | |||||
James River Group Holdings | 89,828 | 3,458,378 | |||||
Maiden Holdings | 206,177 | 723,681 | |||||
Navigators Group | 70,599 | 4,881,921 | |||||
ProAssurance | 165,288 | 7,259,449 | |||||
RLI | 119,678 | a | 8,847,795 | ||||
Safety Insurance Group | 44,653 | 3,718,702 | |||||
Selective Insurance Group | 180,447 | 11,701,988 | |||||
Stewart Information Services | 73,532 | 3,035,401 | |||||
Third Point Reinsurance | 241,991 | b | 2,676,420 | ||||
United Fire Group | 65,566 | a | 3,529,418 | ||||
United Insurance Holdings | 63,001 | 1,242,380 | |||||
Universal Insurance Holdings | 98,511 | 4,135,492 | |||||
82,949,499 | |||||||
Materials - 4.7% | |||||||
AdvanSix | 94,396 | b | 2,618,545 | ||||
AK Steel Holding | 967,994 | a,b | 3,581,578 | ||||
American Vanguard | 85,275 | 1,372,927 | |||||
Balchem | 98,783 | 9,251,028 | |||||
Boise Cascade | 119,960 | a | 3,693,568 | ||||
Century Aluminum | 150,169 | a,b | 1,192,342 | ||||
Clearwater Paper | 49,479 | b | 1,194,423 | ||||
Flotek Industries | 164,637 | a,b | 297,993 | ||||
FutureFuel | 81,065 | 1,329,466 | |||||
Glatfelter | 134,442 | a | 2,406,512 | ||||
H.B. Fuller | 155,238 | a | 6,901,881 | ||||
Hawkins | 28,601 | 962,710 | |||||
Haynes International | 37,636 | 1,089,939 | |||||
Ingevity | 128,972 | b | 11,746,770 | ||||
Innophos Holdings | 60,586 | 1,775,170 | |||||
Innospec | 75,259 | 5,036,332 | |||||
Kaiser Aluminum | 51,050 | 4,868,638 | |||||
KapStone Paper and Packaging | 274,054 | 9,591,890 | |||||
Koppers Holdings | 64,652 | b | 1,729,441 | ||||
Kraton | 98,532 | b | 2,713,571 | ||||
LSB Industries | 57,740 | a,b | 438,824 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Materials - 4.7% (continued) | |||||||
Materion | 61,684 | 3,505,502 | |||||
Myers Industries | 111,622 | 1,770,325 | |||||
Neeah Paper | 51,953 | a | 4,180,138 | ||||
Olympic Steel | 27,412 | a | 516,990 | ||||
Quaker Chemical | 41,079 | a | 7,390,112 | ||||
Rayonier Advanced Materials | 160,854 | a | 1,991,373 | ||||
Schweitzer-Mauduit International | 95,088 | 3,035,209 | |||||
Stepan | 62,019 | a | 5,122,149 | ||||
SunCoke Energy | 200,765 | b | 2,248,568 | ||||
TimkenSteel | 117,739 | a,b | 1,369,305 | ||||
Tredegar | 80,855 | 1,503,903 | |||||
US Concrete | 48,378 | b | 1,579,058 | ||||
108,006,180 | |||||||
Media & Entertainment - .9% | |||||||
E.W. Scripps, Cl. A | 173,856 | a | 2,924,258 | ||||
Gannet Company | 349,590 | a | 3,391,023 | ||||
Marcus | 59,940 | 2,338,859 | |||||
New Media Investment Group | 167,155 | 2,348,528 | |||||
QuinStreet | 113,201 | b | 1,799,896 | ||||
Scholastic | 84,913 | 3,683,526 | |||||
TechTarget | 67,165 | b | 1,364,793 | ||||
XO Group | 74,580 | b | 2,581,214 | ||||
20,432,097 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% | |||||||
Acorda Therapeutics | 121,533 | a,b | 2,322,496 | ||||
Akorn | 289,082 | b | 1,928,177 | ||||
AMAG Pharmaceuticals | 105,287 | b | 2,263,670 | ||||
Amphastar Pharmaceuticals | 104,826 | a,b | 1,881,627 | ||||
ANI Pharmaceuticals | 25,503 | a,b | 1,237,661 | ||||
Assertio Therapeutics | 200,397 | b | 972,927 | ||||
Cambrex | 102,996 | b | 5,488,657 | ||||
Corcept Therapeutics | 329,522 | a,b | 3,871,883 | ||||
Cytokinetics | 175,106 | a,b | 1,171,459 | ||||
Eagle Pharmaceuticals | 35,190 | b | 1,732,756 | ||||
Emergent BioSolutions | 133,533 | b | 8,170,884 | ||||
Enanta Pharmaceuticals | 47,606 | b | 3,673,279 | ||||
Endo International | 611,664 | a,b | 10,361,588 | ||||
Innoviva | 208,858 | b | 2,915,658 | ||||
Lannett | 92,146 | a,b | 337,254 | ||||
Ligand Pharmaceuticals, Cl. B | 64,313 | a,b | 10,599,426 | ||||
Luminex | 127,766 | 3,675,828 | |||||
Medicines | 198,179 | a,b | 4,609,644 | ||||
MiMedx Group | 300,120 | a,b | 1,746,698 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% (continued) | |||||||
Momenta Pharmaceuticals | 239,176 | b | 2,992,092 | ||||
Myriad Genetics | 229,300 | a,b | 10,325,379 | ||||
Phibro Animal Health, Cl. A | 60,595 | 2,600,737 | |||||
Progenics Pharmaceuticals | 253,137 | a,b | 1,268,216 | ||||
REGENXBIO | 89,718 | b | 5,981,499 | ||||
Repligen | 118,148 | a,b | 6,405,985 | ||||
Spectrum Pharmaceuticals | 300,474 | a,b | 3,575,641 | ||||
Supernus Pharmaceuticals | 159,524 | a,b | 7,586,961 | ||||
Vanda Pharmaceuticals | 160,283 | b | 3,040,568 | ||||
112,738,650 | |||||||
Real Estate - 6.0% | |||||||
Acadia Realty Trust | 249,983 | a,c | 6,959,527 | ||||
Agree Realty | 95,193 | c | 5,451,703 | ||||
American Assets Trust | 116,131 | c | 4,454,785 | ||||
Armada Hoffler Properties | 154,293 | c | 2,311,309 | ||||
CareTrust | 250,172 | c | 4,418,038 | ||||
CBL & Associates Properties | 530,259 | a,c | 1,749,855 | ||||
Cedar Realty Trust | 273,969 | c | 1,032,863 | ||||
Chatham Lodging Trust | 142,187 | a,c | 2,772,646 | ||||
Chesapeake Lodging Trust | 186,259 | c | 5,474,152 | ||||
Community Healthcare Trust | 52,623 | a,c | 1,563,956 | ||||
DiamondRock Hospitality | 630,011 | a,c | 6,583,615 | ||||
Easterly Government Properties | 186,856 | a,c | 3,395,174 | ||||
EastGroup Properties | 108,707 | a,c | 10,413,044 | ||||
Four Corners Property Trust | 201,205 | c | 5,247,426 | ||||
Franklin Street Properties | 329,277 | a,c | 2,291,768 | ||||
Getty Realty | 102,444 | c | 2,748,573 | ||||
Global Net Lease | 220,993 | a,c | 4,475,108 | ||||
Government Properties Income Trust | 306,245 | a,c | 2,704,143 | ||||
Hersha Hospitality Trust | 111,310 | a,c | 1,954,604 | ||||
HFF, Cl. A | 117,252 | b | 4,309,011 | ||||
Independence Realty Trust | 266,122 | a,c | 2,637,269 | ||||
iStar | 209,102 | a,c | 2,195,571 | ||||
Kite Realty Group Trust | 258,620 | a,c | 4,096,541 | ||||
Lexington Realty Trust | 655,464 | c | 5,092,955 | ||||
LTC Properties | 121,580 | a,c | 5,199,977 | ||||
National Storage Affiliates Trust | 174,203 | c | 4,639,026 | ||||
Pennsylvania Real Estate Investment Trust | 197,775 | a,c | 1,770,086 | ||||
PS Business Parks | 61,435 | c | 8,023,411 | ||||
Ramco-Gershenson Properties Trust | 244,570 | a,c | 3,247,890 | ||||
RE/MAX Holdings, Cl. A | 55,017 | 2,057,086 |
17
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Real Estate - 6.0% (continued) | |||||||
Retail Opportunity Investments | 347,529 | a,c | 6,113,035 | ||||
Saul Centers | 35,332 | a,c | 1,687,456 | ||||
Summit Hotel Properties | 323,510 | a,c | 3,726,835 | ||||
Universal Health Realty Income Trust | 38,834 | c | 2,489,259 | ||||
Urstadt Biddle Properties, Cl. A | 91,467 | c | 1,821,108 | ||||
Washington Prime Group | 570,811 | a,c | 3,653,190 | ||||
Whitestone | 125,545 | a,c | 1,689,836 | ||||
140,451,831 | |||||||
Retailing - 5.5% | |||||||
Abercrombie & Fitch, Cl. A | 201,658 | a | 3,972,663 | ||||
Asbury Automotive Group | 61,244 | a,b | 3,986,984 | ||||
Ascena Retail Group | 538,679 | b | 2,073,914 | ||||
Barnes & Noble | 166,558 | a | 1,054,312 | ||||
Barnes and Noble Education | 112,685 | b | 643,431 | ||||
Buckle | 88,594 | a | 1,807,318 | ||||
Caleres | 133,434 | a | 4,563,443 | ||||
Cato, Cl. A | 70,692 | 1,362,942 | |||||
Chico's FAS | 376,302 | a | 2,886,236 | ||||
Core-Mark Holding | 138,917 | 5,335,802 | |||||
DSW, Cl. A | 209,472 | a | 5,561,482 | ||||
Express | 228,839 | a,b | 2,016,072 | ||||
Francesca's Holdings | 106,924 | a,b | 325,049 | ||||
GameStop, Cl. A | 312,523 | a | 4,562,836 | ||||
Genesco | 59,377 | a,b | 2,540,742 | ||||
Group 1 Automotive | 58,116 | a | 3,355,618 | ||||
Guess? | 174,154 | a | 3,699,031 | ||||
Haverty Furniture | 58,543 | 1,187,252 | |||||
Hibbett Sports | 60,080 | b | 1,049,598 | ||||
J.C. Penney | 977,386 | a,b | 1,436,757 | ||||
Kirkland's | 50,437 | a,b | 509,918 | ||||
Liquidity Services | 72,290 | b | 429,403 | ||||
Lithia Motors, Cl. A | 71,282 | a | 6,349,801 | ||||
Lumber Liquidators Holdings | 87,528 | a,b | 1,046,835 | ||||
MarineMax | 68,604 | b | 1,561,427 | ||||
Monro Muffler Brake | 101,297 | a | 7,536,497 | ||||
NutriSystem | 90,861 | a | 3,231,017 | ||||
Office Depot | 1,670,705 | 4,277,005 | |||||
PetMed Express | 65,042 | a | 1,817,273 | ||||
Rent-A-Center | 137,025 | b | 1,952,606 | ||||
RH | 59,147 | a,b | 6,843,899 | ||||
Shoe Carnival | 32,578 | a | 1,326,902 | ||||
Shutterfly | 102,100 | a,b | 5,105,000 | ||||
Shutterstock | 56,539 | b | 2,311,314 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Retailing - 5.5% (continued) | |||||||
Sleep Number | 107,298 | a,b | 3,902,428 | ||||
Sonic Automotive, Cl. A | 74,527 | a | 1,350,429 | ||||
Stamps.com | 51,921 | a,b | 10,496,869 | ||||
Tailored Brands | 152,881 | a | 3,212,030 | ||||
The Children's Place | 50,318 | 7,517,509 | |||||
Tile Shop Holdings | 128,519 | a | 835,373 | ||||
Vitamin Shoppe | 49,014 | b | 380,839 | ||||
Zumiez | 58,162 | a,b | 1,352,848 | ||||
126,768,704 | |||||||
Semiconductors & Semiconductor Equipment - 3.3% | |||||||
Advanced Energy Industries | 121,204 | b | 5,215,408 | ||||
Axcelis Technologies | 101,359 | b | 1,749,456 | ||||
Brooks Automation | 216,687 | a | 6,723,798 | ||||
Cabot Microelectronics | 78,396 | 7,653,018 | |||||
CEVA | 68,184 | b | 1,680,054 | ||||
Cohu | 125,327 | 2,606,802 | |||||
Diodes | 121,099 | b | 3,655,979 | ||||
DSP Group | 60,373 | b | 738,362 | ||||
FormFactor | 223,285 | b | 2,733,008 | ||||
Ichor Holdings | 75,027 | a,b | 1,331,729 | ||||
Kopin | 183,224 | b | 408,590 | ||||
Kulicke & Soffa Industries | 207,367 | 4,215,771 | |||||
MaxLinear, Cl. A | 194,064 | a,b | 3,766,782 | ||||
Nanometrics | 73,136 | b | 2,344,740 | ||||
PDF Solutions | 85,324 | a,b | 682,592 | ||||
Photronics | 210,098 | b | 2,046,355 | ||||
Power Integrations | 90,239 | 5,082,260 | |||||
Rambus | 329,455 | b | 2,869,553 | ||||
Rudolph Technologies | 97,286 | b | 2,022,576 | ||||
Semtech | 203,113 | b | 9,127,898 | ||||
SolarEdge Technologies | 129,140 | a,b | 5,001,592 | ||||
Tessera Holding | 154,535 | 2,008,955 | |||||
Ultra Clean Holdings | 116,171 | a,b | 1,222,119 | ||||
Veeco Instruments | 151,386 | a,b | 1,439,681 | ||||
76,327,078 | |||||||
Software & Services - 4.9% | |||||||
8x8 | 286,254 | b | 4,920,706 | ||||
Agilysys | 55,511 | b | 903,164 | ||||
Alarm.com Holdings | 104,665 | a,b | 4,655,499 | ||||
Bottomline Technologies | 111,023 | b | 7,398,573 | ||||
CACI International, Cl. A | 75,356 | b | 13,448,032 | ||||
Cardtronics | 114,832 | b | 3,118,837 | ||||
CSG Systems International | 104,022 | 3,651,172 |
19
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Software & Services - 4.9% (continued) | |||||||
Ebix | 68,653 | a | 3,934,503 | ||||
EVERTEC | 181,696 | 4,738,632 | |||||
ExlService Holdings | 106,053 | b | 6,797,997 | ||||
LivePerson | 172,623 | b | 3,901,280 | ||||
ManTech International, Cl. A | 81,379 | 4,661,389 | |||||
MicroStrategy, Cl. A | 29,111 | b | 3,667,113 | ||||
Monotype Imaging Holdings | 129,078 | a | 2,262,737 | ||||
NIC | 206,041 | 2,742,406 | |||||
OneSpan | 92,865 | b | 1,362,794 | ||||
Perficient | 107,243 | b | 2,683,220 | ||||
Progress Software | 138,083 | 4,437,988 | |||||
Qualys | 101,833 | b | 7,254,583 | ||||
SPS Commerce | 54,156 | b | 5,041,382 | ||||
SYKES Enterprises | 123,174 | b | 3,777,747 | ||||
TiVo | 379,755 | 4,177,305 | |||||
Travelport Worldwide | 388,356 | 5,809,806 | |||||
TTEC Holdings | 42,748 | 1,065,280 | |||||
Unisys | 156,916 | b | 2,888,824 | ||||
Virtusa | 83,982 | b | 4,164,667 | ||||
113,465,636 | |||||||
Technology Hardware & Equipment - 6.1% | |||||||
3D Systems | 349,717 | a,b | 4,224,581 | ||||
ADTRAN | 145,685 | 1,958,006 | |||||
Anixter International | 88,339 | b | 5,802,989 | ||||
Applied Optoelectronics | 57,523 | a,b | 1,129,176 | ||||
Badger Meter | 90,015 | a | 4,420,637 | ||||
Bel Fuse | 30,704 | 675,488 | |||||
Benchmark Electronics | 143,080 | 3,123,436 | |||||
CalAmp | 109,459 | b | 2,182,612 | ||||
Comtech Telecommunications | 72,377 | 2,020,766 | |||||
Control4 | 82,205 | b | 2,295,164 | ||||
Cray | 125,958 | a,b | 2,857,987 | ||||
CTS | 100,827 | 2,691,073 | |||||
Daktronics | 117,566 | 859,407 | |||||
Diebold | 232,370 | a,b | 906,243 | ||||
Digi International | 80,405 | b | 932,698 | ||||
Electro Scientific Industries | 105,812 | a,b | 3,068,548 | ||||
Electronics For Imaging | 137,449 | b | 4,185,322 | ||||
ePlus | 42,347 | b | 3,594,413 | ||||
Extreme Networks | 359,206 | b | 1,993,593 | ||||
Fabrinet | 111,896 | a,b | 4,847,335 | ||||
FARO Technologies | 53,041 | b | 2,680,692 | ||||
Finisar | 354,093 | a,b | 5,909,812 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Technology Hardware & Equipment - 6.1% (continued) | |||||||
Harmonic | 263,319 | b | 1,450,888 | ||||
II-VI | 178,162 | a,b | 6,632,971 | ||||
Insight Enterprises | 109,368 | b | 5,653,232 | ||||
Itron | 102,581 | b | 5,348,573 | ||||
KEMET | 172,205 | 3,750,625 | |||||
Knowles | 276,408 | a,b | 4,472,281 | ||||
Methode Electronics | 115,262 | 3,411,755 | |||||
MTS Systems | 55,289 | a | 2,617,934 | ||||
NETGEAR | 97,219 | a,b | 5,393,710 | ||||
Oclaro | 527,126 | b | 4,332,976 | ||||
OSI Systems | 51,680 | b | 3,574,189 | ||||
Park Electrochemical | 58,706 | 1,036,748 | |||||
Plexus | 98,940 | b | 5,778,096 | ||||
Rogers | 56,621 | a,b | 6,967,780 | ||||
Sanmina | 208,480 | b | 5,274,544 | ||||
ScanSource | 79,223 | b | 3,080,190 | ||||
TTM Technologies | 287,379 | a,b | 3,362,334 | ||||
Viavi Solutions | 697,441 | b | 8,041,495 | ||||
142,540,299 | |||||||
Telecommunication Services - 1.3% | |||||||
ATN International | 33,399 | a | 2,821,881 | ||||
Cincinnati Bell | 153,120 | b | 2,172,773 | ||||
Cogent Communications Holdings | 128,235 | a | 6,665,655 | ||||
Consolidated Communications Holdings | 214,584 | a | 2,686,592 | ||||
Frontier Communications | 333,736 | a,b | 1,605,270 | ||||
Iridium Communications | 290,652 | b | 5,757,816 | ||||
Spok Holdings | 60,334 | 845,883 | |||||
Vonage Holdings | 668,204 | a,b | 8,860,385 | ||||
31,416,255 | |||||||
Transportation - 2.3% | |||||||
Allegiant Travel | 38,875 | a | 4,437,192 | ||||
ArcBest | 79,375 | a | 2,946,400 | ||||
Atlas Air Worldwide Holdings | 78,888 | a,b | 4,072,199 | ||||
Echo Global Logistics | 86,483 | b | 2,223,478 | ||||
Forward Air | 90,030 | 5,400,900 | |||||
Hawaiian Holdings | 155,666 | a | 5,387,600 | ||||
Heartland Express | 146,018 | a | 2,842,970 | ||||
Hub Group, Cl. A | 101,763 | b | 4,662,781 | ||||
Marten Transport | 120,331 | 2,317,575 | |||||
Matson | 130,976 | 4,594,638 | |||||
Saia | 79,209 | b | 4,979,078 | ||||
SkyWest | 159,735 | 9,151,218 | |||||
53,016,029 |
21
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.4% (continued) | |||||||
Utilities - 2.4% | |||||||
American States Water | 113,235 | a | 6,932,247 | ||||
Avista | 201,482 | 10,360,204 | |||||
California Water Service Group | 148,283 | a | 6,227,886 | ||||
El Paso Electric | 125,302 | 7,148,479 | |||||
Northwest Natural Holding Co. | 88,360 | a | 5,724,844 | ||||
South Jersey Industries | 262,278 | a | 7,747,692 | ||||
Spire | 155,365 | 11,276,392 | |||||
55,417,744 | |||||||
Total Common Stocks (cost $1,661,639,763) | 2,305,704,844 | ||||||
Number of Rights | |||||||
Rights - .0% | |||||||
Materials - .0% | |||||||
A. Schulman | 90,112 | 0 | |||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills - .0% | |||||||
2.09%, 12/6/18 | 640,000 | d,e | 638,672 | ||||
7-Day | |||||||
Investment Companies - .4% | |||||||
Registered Investment Companies - .4% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.21 | 7,733,798 | f | 7,733,798 |
22
Description | 7-Day | Shares | Value ($) | ||||
Investment of Cash Collateral for Securities Loaned - 2.9% | |||||||
Registered Investment Companies - 2.9% | |||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 2.12 | 67,579,114 | f | 67,579,114 | |||
Total Investments (cost $1,737,591,356) | 102.7% | 2,381,656,428 | |||||
Liabilities, Less Cash and Receivables | (2.7%) | (61,536,883) | |||||
Net Assets | 100.0% | 2,320,119,545 |
a Security, or portion thereof, on loan. At October 31, 2018, the value of the fund’s securities on loan was $605,196,892 and the value of the collateral held by the fund was $622,122,762, consisting of cash collateral of $67,579,114 and U.S. Government & Agency securities valued at $554,543,648.
b Non-income producing security.
c Investment in real estate investment trust.
d Held by a counterparty for open exchange traded derivative contracts.
e Security is a discount security. Income is recognized through the accretion of discount.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † | Value (%) |
Industrials | 18.8 |
Financials | 17.9 |
Information Technology | 14.3 |
Consumer Discretionary | 14.1 |
Health Care | 11.6 |
Real Estate | 6.1 |
Materials | 4.7 |
Energy | 3.9 |
Consumer Staples | 3.4 |
Investment Companies | 3.3 |
Utilities | 2.4 |
Communication Services | 2.2 |
Government | .0 |
102.7 |
† Based on net assets.
See notes to financial statements.
23
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividend/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 11,628,182 | 338,337,972 | 342,232,356 | 7,733,798 | .4 | 250,887 |
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | - | 613,497,451 | 545,918,337 | 67,579,114 | 2.9 | - |
Total | 11,628,182 | 951,835,423 | 888,150,693 | 75,312,912 | 3.3 | 250,887 |
See notes to financial statements.
24
STATEMENT OF FUTURES
October 31, 2018
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 224 | 12/18 | 17,158,953 | 16,933,280 | (225,673) | |
Gross Unrealized Depreciation | (225,673) |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2018
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 1,662,278,444 |
| 2,306,343,516 |
| ||
Affiliated issuers |
| 75,312,912 |
| 75,312,912 |
| |
Cash |
|
|
|
| 844 |
|
Receivable for investment securities sold |
| 7,268,471 |
| |||
Receivable for shares of Common Stock subscribed |
| 2,431,250 |
| |||
Dividends, interest and securities lending income receivable |
| 1,116,926 |
| |||
Receivable for futures variation margin—Note 4 |
| 3,290 |
| |||
|
|
|
|
| 2,392,477,209 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) |
|
|
| 908,838 |
| |
Liability for securities on loan—Note 1(b) |
| 67,579,114 |
| |||
Payable for shares of Common Stock redeemed |
| 3,865,026 |
| |||
Directors fees and expenses payable |
| 4,686 |
| |||
|
|
|
|
| 72,357,664 |
|
Net Assets ($) |
|
| 2,320,119,545 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,462,843,860 |
|
Total distributable earnings (loss) |
|
|
|
| 857,275,685 |
|
Net Assets ($) |
|
| 2,320,119,545 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 2,027,830,619 | 292,288,926 |
|
Shares Outstanding | 63,009,665 | 9,075,714 |
|
Net Asset Value Per Share ($) | 32.18 | 32.21 |
|
See notes to financial statements. |
26
STATEMENT OF OPERATIONS
Year Ended October 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $4,222 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 30,618,576 |
| ||
Affiliated issuers |
|
| 250,887 |
| ||
Income from securities lending—Note 1(b) |
|
| 1,925,124 |
| ||
Interest |
|
| 116,638 |
| ||
Total Income |
|
| 32,911,225 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 6,108,631 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 5,488,214 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 187,954 |
| ||
Loan commitment fees—Note 2 |
|
| 56,010 |
| ||
Interest expense—Note 2 |
|
| 6,838 |
| ||
Total Expenses |
|
| 11,847,647 |
| ||
Less—Directors’ fees reimbursed by Dreyfus—Note 3(a) |
|
| (187,954) |
| ||
Net Expenses |
|
| 11,659,693 |
| ||
Investment Income—Net |
|
| 21,251,532 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 213,832,631 |
| ||||
Net realized gain (loss) on futures | (1,097,393) |
| ||||
Net Realized Gain (Loss) |
|
| 212,735,238 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (116,830,914) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (231,359) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (117,062,273) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 95,672,965 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 116,924,497 |
| |||
See notes to financial statements. |
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2018 |
| 2017 | a | ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 21,251,532 |
|
|
| 21,021,664 |
| |
Net realized gain (loss) on investments |
| 212,735,238 |
|
|
| 143,881,663 |
| ||
Net unrealized appreciation (depreciation) |
| (117,062,273) |
|
|
| 365,838,887 |
| ||
Net Increase (Decrease) in Net Assets | 116,924,497 |
|
|
| 530,742,214 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (153,303,837) |
|
|
| (136,457,921) |
| |
Class I |
|
| (14,260,013) |
|
|
| (7,308,563) |
| |
Total Distributions |
|
| (167,563,850) |
|
|
| (143,766,484) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 505,644,744 |
|
|
| 588,678,557 |
| |
Class I |
|
| 160,424,441 |
|
|
| 181,799,843 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 152,716,931 |
|
|
| 136,043,927 |
| |
Class I |
|
| 7,584,098 |
|
|
| 3,948,468 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (804,345,104) |
|
|
| (875,095,404) |
| |
Class I |
|
| (52,825,380) |
|
|
| (15,581,746) |
| |
Increase (Decrease) in Net Assets | (30,800,270) |
|
|
| 19,793,645 |
| |||
Total Increase (Decrease) in Net Assets | (81,439,623) |
|
|
| 406,769,375 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,401,559,168 |
|
|
| 1,994,789,793 |
| |
End of Period |
|
| 2,320,119,545 |
|
|
| 2,401,559,168 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 14,895,154 |
|
|
| 19,107,622 |
| |
Shares issued for distributions reinvested |
|
| 4,829,136 |
|
|
| 4,509,771 |
| |
Shares redeemed |
|
| (24,042,643) |
|
|
| (28,598,982) |
| |
Net Increase (Decrease) in Shares Outstanding | (4,318,353) |
|
|
| (4,981,589) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 4,693,159 |
|
|
| 5,970,795 |
| |
Shares issued for distributions reinvested |
|
| 240,116 |
|
|
| 131,065 |
| |
Shares redeemed |
|
| (1,549,704) |
|
|
| (503,796) |
| |
Net Increase (Decrease) in Shares Outstanding | 3,383,571 |
|
|
| 5,598,064 |
| |||
aDistributions to shareholders include $19,494,564 Investor Shares and $1,254,803 Class I of distributions from net investment income and $116,963,357 Investor Shares and $6,053,760 Class I of distributions from net realized gains. Undistributed investment income—net was $14,698,497 in 2017 and is no longer presented as a result of the adoption of SEC’s Disclosure Update and Simplification Rule.
| |||||||||
bDuring the period ended October 31, 2018, 11,090 Investor shares representing $382,272 were exchanged for 11,086 Class I shares and during the period ending October 31, 2017, 19,770 Investor shares representing $615,344 were exchanged for 19,768 Class I shares.
| |||||||||
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Investor Shares | 2018 | 2017 | 2016a | 2015 | 2014 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 32.89 | 27.55 | 28.94 | 30.45 | 29.16 | |
Investment Operations: | ||||||
Investment income—netb | .28 | .27 | .29 | .28 | .22 | |
Net realized and unrealized | 1.34 | 7.02 | 1.20 | .52 | 2.34 | |
Total from Investment Operations | 1.62 | 7.29 | 1.49 | .80 | 2.56 | |
Distributions: | ||||||
Dividends from | (.28) | (.28) | (.28) | (.24) | (.21) | |
Dividends from net realized | (2.05) | (1.67) | (2.60) | (2.07) | (1.06) | |
Total Distributions | (2.33) | (1.95) | (2.88) | (2.31) | (1.27) | |
Net asset value, end of period | 32.18 | 32.89 | 27.55 | 28.94 | 30.45 | |
Total Return (%) | 5.07 | 27.11 | 5.73 | 2.54 | 8.91 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .51 | .51 | .51 | .51 | .51 | |
Ratio of net expenses | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment income | .85 | .89 | 1.06 | .94 | .75 | |
Portfolio Turnover Rate | 19.60 | 20.63 | 23.86 | 16.53 | 18.22 | |
Net Assets, end of period ($ x 1,000) | 2,027,831 | 2,214,225 | 1,992,196 | 1,755,575 | 1,809,956 |
a On August 31, 2016, the fund redesignated existing shares as Investor shares.
b Based on average shares outstanding.
See notes to financial statements.
29
FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | |||||
Class I Shares | 2018 | 2017 | 2016a | ||
Per Share Data ($): | |||||
Net asset value, beginning of period | 32.91 | 27.57 | 28.69 | ||
Investment Operations: | |||||
Investment income—netb | .35 | .35 | .01 | ||
Net realized and unrealized | 1.37 | 7.01 | (1.13) | ||
Total from Investment Operations | 1.72 | 7.36 | (1.12) | ||
Dividends from | (.37) | (.35) | - | ||
Dividends from net realized | (2.05) | (1.67) | - | ||
Total Distributions | (2.42) | (2.02) | - | ||
Net asset value, end of period | 32.21 | 32.91 | 27.57 | ||
Total Return (%) | 5.37 | 27.38 | (3.91)c | ||
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .26 | .26 | .27d | ||
Ratio of net expenses | .25 | .25 | .26d | ||
Ratio of net investment income | 1.05 | 1.10 | .55d | ||
Portfolio Turnover Rate | 19.60 | 20.63 | 23.86 | ||
Net Assets, end of period ($ x 1,000) | 292,289 | 187,334 | 2,594 |
a From August 31, 2016 (commencement of initial offering) to October 31, 2016.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
30
NOTES TO FINANCIAL STATEMENTS
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to match the performance of the S&P SmallCap 600® Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares, which are sold to the public without a sales charge. The fund is authorized to issue 300 million shares of $.001 par value Common Stock. The fund currently has authorized two classes of shares: Investor shares (200 million shares authorized) and Class I (100 million shares authorized). Investor shares are sold primarily to retail investors through financial intermediaries and bear Shareholder Services Plan fees. Class I shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
31
NOTES TO FINANCIAL STATEMENTS (continued)
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is
32
used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to 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.
33
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the inputs used as of October 31, 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— | 2,305,704,844 | - | - | 2,305,704,844 |
Rights | - | 0 | - | 0 |
U.S. Treasury | - | 638,672 | - | 638,672 |
Investment Companies | 75,312,912 | - | - | 75,312,912 |
Liabilities ($) | ||||
Other Financial | ||||
Futures†† | (225,673) | - | - | (225,673) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives are reported in the Statement of Assets and Liabilities.
At October 31, 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
34
benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended October 31, 2018, The Bank of New York Mellon earned $383,957 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are considered “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 and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended October 31, 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 October 31, 2018, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2018, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $26,524,841, undistributed capital gains $205,055,878 and unrealized appreciation $625,694,966.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2018 and October 31, 2017 were as follows:
35
NOTES TO FINANCIAL STATEMENTS (continued)
ordinary income $43,122,084 and $25,364,545, and long-term capital gains $124,441,766 and $118,401,939, respectively.
(f) New Accounting Pronouncements: In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for annual periods beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.
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 October 31, 2018 was approximately $278,900 with a related weighted average annualized interest rate of 2.45%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement (the “Agreement”) with Dreyfus, the management fee is computed at the annual rate of .25% of the value of the fund’s average daily net assets and is payable monthly. Out of its fee, Dreyfus pays all of the expenses of the fund, except management fees, Shareholder Services Plan fees, brokerage fees and commissions, taxes, interest expense, commitment fees on borrowings, fees and expenses of interested Directors (including counsel fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended October 31, 2018, fees reimbursed by Dreyfus amounted to $187,954.
(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
36
include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2018, the fund was charged $5,488,214 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 $509,955 and Shareholder Services Plan fees $446,680, which are offset against an expense reimbursement currently in effect in the amount of $47,797.
(c) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended October 31, 2018, amounted to $473,226,342 and $651,029,823, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended October 31, 2018 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty
37
NOTES TO FINANCIAL STATEMENTS (continued)
credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 2018 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2018:
|
| Average Market Value ($) |
Equity futures | 18,193,997 | |
At October 31, 2018, the cost of investments for federal income tax purposes was $1,755,961,462; accordingly, accumulated net unrealized appreciation on investments was $625,694,966, consisting of $797,331,587 gross unrealized appreciation and $171,636,621 gross unrealized depreciation.
38
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Directors of Dreyfus Smallcap Stock Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Dreyfus Smallcap Stock Index Fund (the “Fund”) (one of the funds constituting Dreyfus Index Funds, Inc.), including the statements of investments, investments in affiliated issuers and futures, as of October 31, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Dreyfus Index Funds, Inc.) at October 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2018, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Dreyfus investment companies since at least 1957, but we are unable to determine the specific year.
New York, New York
December 28, 2018
39
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports 75.58% of the ordinary dividends paid during the fiscal year ended October 31, 2018 as qualifying for the corporate dividends received deduction. Also certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $24,458,557 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in early 2019 of the percentage applicable to the preparation of their 2018 income tax returns. The fund also hereby reports $.0135 per share as a long-term capital gain distribution paid on March 20, 2018 and also $.3126 per share as a short-term capital gain distribution and $1.7252 per share as a long-term capital gain distribution paid on December 27, 2017.
40
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 124
———————
Peggy C. Davis (75)
Board Member (71)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (78)
Board Member (1989)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (71)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014), Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
41
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Ehud Houminer (78)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (78)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (55)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
No. of Portfolios for which Board Member Serves: 99
———————
Dr. Martin Peretz (79)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1968-2010)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
42
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 124 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since June 2015.
JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 56 years old and has been an employee of the Manager since June 2000.
SONALEE CROSS, Vice President and Assistant Secretary since March 2018.
Counsel of BNY Mellon since October 2016; Associate at Proskauer Rose LLP from April 2016 to September 2016; Attorney at EnTrust Capital from August 2015 to February 2016; Associate at Sidley Austin LLP from September 2013 until August 2015. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 31 years old and has been an employee of the Manager since October 2016.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 56 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Managing Counsel of BNY Mellon since December 2017, from March 2013 to December 2017, Senior Counsel of BNY Mellon. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. She is 43 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014. She is an officer of 63 investment companies (comprised of 149 portfolios) managed by Dreyfus. She is 33 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 60 years old and has been an employee of the Manager since April 1985.
43
OFFICERS OF THE FUND (Unaudited) (continued)
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 149 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager, the Dreyfus Family of Funds and BNY Mellon Funds Trust (63 investment companies, comprised of 149 portfolios). He is 61 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 143 portfolios) managed by the Manager. She is 50 years old and has been an employee of the Distributor since 1997.
44
NOTES
45
Dreyfus Smallcap Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
240 Greenwich 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.
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.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $116,170 in 2017 and $117,911 in 2018.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $31,021 in 2017 and $25,645 in 2018. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2017 and $0 in 2018.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $32,659 in 2017 and $33,630 in 2018. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2017 and $0 in 2018.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $3,393 in 2017 and $3,588 in 2018. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2017 and $0 in 2018.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $32,905,415 in 2017 and $30,820,284 in 2018.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: January 2, 2019
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: January 2, 2019
By: /s/ James Windels
James Windels
Treasurer
Date: January 2, 2019
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)