UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number | 811-05883 | |||||
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| BNY Mellon Index Funds, Inc. |
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| (Exact name of Registrant as specified in charter) |
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c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286 |
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| (Address of principal executive offices) (Zip code) |
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| Bennett A. MacDougall, Esq. 240 Greenwich Street New York, New York 10286 |
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| (Name and address of agent for service) |
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Registrant's telephone number, including area code: | (212) 922-6400 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 04/30/19 |
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FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon International Stock Index Fund
SEMIANNUAL REPORT April 30, 2019 |
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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
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BNY Mellon Investment Adviser, Inc. | |
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With Those of Other Funds | |
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in Affiliated Issuers | |
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Currency Exchange Contracts | |
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the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this semiannual report for BNY Mellon International Stock Index Fund (formerly Dreyfus International Stock Index Fund), covering the six-month period from November 1, 2018 through April 30, 2019. 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.
The U.S. and many other developed economies continued their pattern of moderate growth during the six months. Equity markets experienced a sharp sell-off in the fourth quarter of 2018, triggered in part by interest-rate increases, trade tensions and slowing global growth. The sell-off partially reduced prior gains on U.S. indices, while losses deepened in international developed and emerging markets. Global equities continued their general decline through the end of 2018. However, comments made in January by the U.S. Federal Reserve (the “Fed”) that it might slow the pace of interest-rate increases in 2019 helped stimulate a rebound across equity markets. In a similar stance, other central banks pledged to continue policies that support economic growth, helping to further ease investor concerns. Talk of a potential trade agreement between the U.S. and China also helped to buoy equity markets, which continued their upward trajectory through the end of the period.
Equity volatility and global growth concerns triggered a flight to quality in many areas of the bond market, raising Treasury prices and flattening the yield curve. Corporate bonds, however, were hindered somewhat by concerns about economic growth, resulting in widening spreads and lower prices through November. After encouraging comments by the Fed in January, bond markets rebounded, and most U.S. indices continued to post positive returns through the end of April.
We remain positive on the near-term economic outlook for the U.S. but will monitor relevant data for any signs of a change. As always, we encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
June 3, 2019
2
DISCUSSION OF FUND PERFORMANCE(Unaudited)
For the period from November 1, 2018 through April 30, 2019, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2019, BNY Mellon International Stock Index Fund’s (formerly Dreyfus International Stock Index Fund) Class I shares produced a total return of 7.64%, and its Investor shares returned 7.50%.1 This compares with a 7.45% total return for the fund’s benchmark, the MSCI EAFE Index (the “Index”), during the same period.2
International stocks recovered from fourth-quarter 2018 volatility to advance during the reporting period, bolstered by supportive central bank policies. The fund slightly outperformed its benchmark, due primarily to fair-value pricing.
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.
A Tale of Two Markets
Markets delivered two drastically different periods of behavior over the six-month reporting period, but gained ground over the period as a whole. Through the fourth quarter of 2018, many equity markets felt pressure from slowing global growth, escalating trade issues between the U.S. and China, Brexit difficulties, and additional geopolitical issues elsewhere in Europe and the emerging markets. Renewed articulation of hawkish narratives by U.S. Federal Reserve (“Fed”) officials alarmed investors and stoked volatility. In December, equities reached new lows for the year, as economic and political news continued to unnerve investors. Investors also feared the European Central Bank (ECB) would proceed with its plan to conclude stimulus measures in January, despite moderating growth rates.
January marked a turnaround in markets. Talk of a potential trade deal between the U.S. and China helped fuel investor optimism, as equity prices recovered. The ECB announced it would provide additional stimulus to support the Eurozone economy. China also announced plans to stoke its slowing economic growth rate, bolstering prospects for businesses in Japan, its largest trading partner. At its first meeting of the year, the Fed emphasized its focus on data as a primary driver for rate-hike decisions, and its ability to suspend additional rate increases when the data is not supportive. These sentiments reassured investors of central bankers’ commitments to support flagging growth. In addition, the continued delay of a Brexit resolution has given businesses located in the United Kingdom (UK) time to change their locations and business models in order to mitigate the negative effects of a hard Brexit. The market rebound continued through the month of January, and stocks maintained an upward trajectory through the remainder of the reporting period.
3
DISCUSSION OF FUND PERFORMANCE(Unaudited) (continued)
Industrials Sector Drives Index Returns
The industrials sector benefited from increased exports to China during the first several months of 2019. In February, effects of the Chinese government’s stimulus efforts increased demand for industrial goods, boosting exports from Japan and Australia. Japanese manufacturing activity expanded in April for the first time in many months. In addition, economic growth within the Eurozone started to pick up in February, which also increased demand for industrial goods. UK banks also performed well during the period, bolstering returns within the financials sector. Lending increased in Europe and the UK during the period, and Brexit tensions decreased. Stress tests were also conducted by the Bank of England, and it was determined that banks could safely withstand several months of financial disruption. Chinese demand for insurance products also helped increase revenues for issuers. The consumer staples sector was bolstered by strong consumer cash flows during the six months. Companies selling consumer and household goods in emerging markets did well. In addition, organizations that have been able to mold their product lineups to changing consumer tastes, a challenge for many product manufacturers, have benefited from increased sales. From a country perspective, the top-performing countries were the UK, Hong Kong, and Australia.
Conversely, the energy sector provided a headwind for international markets. Volatility in the price of oil and concerns over slowing demand growth from large importers is fueling investor concern. Proposed regulation may additionally curb future demand, as many areas impose taxes on gasoline-fueled vehicles and are trying to push towns and municipalities to use electric transportation to curb pollution. Communication services also struggled during the period. Companies working to build their 5G networks have incurred significant costs, which have reduced margins. European governments have been slow to deliver promised subsidies, which are intended to help support companies during these buildouts. The health care industry has been hampered by government concerns over drug prices in parts of the Eurozone. Over-the-counter drug sales have also slowed, as has foot traffic in drug stores, hurting revenues.
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 while non-U.S. developed markets appear supported by central bank activities, trade frictions and other geopolitical issues may have the potential to impact the markets. As always, we continue to monitor factors which affect the fund’s investments.
June 3, 2019
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
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 BNY Mellon International Stock Index Fund from November 1, 2018 to April 30, 2019. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended April 30, 2019 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $3.09 | $1.80 | ||||
Ending value (after expenses) | $1,075.00 | $1,076.40 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS(Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2019 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $3.01 | $1.76 | ||||
Ending value (after expenses) | $1,021.82 | $1,023.06 |
† Expenses are equal to the fund’s annualized expense ratio of .60% for Investor Shares and .35% for Class I, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2019 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% | |||||||
Australia - 6.7% | |||||||
AGL Energy | 28,446 | 445,778 | |||||
Alumina | 103,183 | 162,935 | |||||
Amcor | 50,914 | 575,346 | |||||
AMP | 121,540 | 194,493 | |||||
APA Group | 52,288 | 354,597 | |||||
Aristocrat Leisure | 25,628 | 471,173 | |||||
ASX | 8,620 | 452,712 | |||||
Aurizon Holdings | 85,599 | 287,233 | |||||
AusNet Services | 72,030 | 90,130 | |||||
Australia & New Zealand Banking Group | 126,553 | 2,426,608 | |||||
Bank of Queensland | 16,881 | 110,315 | |||||
Bendigo & Adelaide Bank | 22,413 | 162,740 | |||||
BHP Group | 129,894 | 3,424,672 | |||||
BHP Group | 93,348 | 2,202,506 | |||||
BlueScope Steel | 22,644 | 214,701 | |||||
Boral | 49,992 | 170,923 | |||||
Brambles | 68,887 | 585,171 | |||||
Caltex Australia | 10,948 | 210,001 | |||||
Challenger | 23,612 | 136,824 | |||||
CIMIC Group | 4,044 | 144,223 | |||||
Coca-Cola Amatil | 22,091 | 137,043 | |||||
Cochlear | 2,507 | 331,070 | |||||
Coles Group | 49,174 | a | 437,128 | ||||
Commonwealth Bank of Australia | 78,038 | 4,099,560 | |||||
Computershare | 19,354 | 243,265 | |||||
Crown Resorts | 16,014 | 150,032 | |||||
CSL | 19,984 | 2,797,399 | |||||
Dexus | 45,456 | b | 400,553 | ||||
Domino's Pizza Enterprises | 2,506 | 75,964 | |||||
Flight Centre Travel Group | 2,140 | 57,930 | |||||
Fortescue Metals Group | 68,099 | 343,246 | |||||
Goodman Group | 71,528 | 663,575 | |||||
GPT Group | 78,800 | 318,302 | |||||
Harvey Norman Holdings | 29,031 | c | 85,341 | ||||
Incitec Pivot | 69,755 | 165,716 | |||||
Insurance Australia Group | 101,506 | 563,866 | |||||
LendLease Group | 23,510 | 220,426 | |||||
Macquarie Group | 14,194 | 1,347,816 | |||||
Medibank Private | 115,472 | 232,810 | |||||
Mirvac Group | 162,824 | 324,835 | |||||
National Australia Bank | 120,695 | 2,156,878 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Australia - 6.7% (continued) | |||||||
Newcrest Mining | 33,727 | 594,634 | |||||
Oil Search | 59,640 | 327,096 | |||||
Orica | 17,089 | 224,072 | |||||
Origin Energy | 75,060 | 389,973 | |||||
QBE Insurance Group | 58,333 | 531,705 | |||||
Ramsay Health Care | 6,187 | 284,895 | |||||
REA Group | 2,250 | c | 126,732 | ||||
Santos | 75,788 | 384,138 | |||||
Scentre Group | 229,340 | 617,592 | |||||
SEEK | 13,743 | 176,421 | |||||
Sonic Healthcare | 18,401 | 332,726 | |||||
South32 | 221,351 | 521,178 | |||||
Stockland | 108,281 | 287,774 | |||||
Suncorp Group | 57,049 | 533,675 | |||||
Sydney Airport | 46,218 | 248,270 | |||||
Tabcorp Holdings | 85,447 | 288,530 | |||||
Telstra | 183,892 | 438,165 | |||||
TPG Telecom | 14,383 | 68,339 | |||||
Transurban Group | 116,493 | 1,103,716 | |||||
Treasury Wine Estates | 32,195 | 390,369 | |||||
Vicinity Centres | 137,818 | 246,773 | |||||
Washington H Soul Pattinson & Co. | 4,963 | 80,434 | |||||
Wesfarmers | 49,800 | 1,264,185 | |||||
Westpac Banking | 151,509 | 2,938,240 | |||||
Woodside Petroleum | 41,183 | 1,027,441 | |||||
Woolworths Group | 57,849 | 1,298,864 | |||||
WorleyParsons | 14,225 | 143,600 | |||||
42,845,373 | |||||||
Austria - .3% | |||||||
ANDRITZ | 3,131 | 149,249 | |||||
Erste Group Bank | 13,029 | 521,696 | |||||
OMV | 6,412 | 343,404 | |||||
Raiffeisen Bank International | 6,805 | 181,424 | |||||
Verbund | 2,984 | 147,998 | |||||
Voestalpine | 5,116 | a | 164,282 | ||||
1,508,053 | |||||||
Belgium - 1.0% | |||||||
Ageas | 7,936 | 418,348 | |||||
Anheuser-Busch InBev | 33,642 | 2,990,707 | |||||
Colruyt | 2,524 | a | 181,915 | ||||
Groupe Bruxelles Lambert | 3,510 | 335,495 | |||||
KBC Group | 10,911 | 807,938 | |||||
Proximus | 6,406 | 179,265 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Belgium - 1.0% (continued) | |||||||
Solvay | 3,170 | 380,969 | |||||
Telenet Group Holding | 2,481 | a | 131,677 | ||||
UCB | 5,568 | 441,651 | |||||
Umicore | 9,104 | 352,281 | |||||
6,220,246 | |||||||
Chile - .0% | |||||||
Antofagasta | 18,089 | 214,180 | |||||
China - .1% | |||||||
BeiGene, ADR | 1,403 | a,c | 174,295 | ||||
Minth Group | 34,000 | 107,269 | |||||
Yangzijiang Shipbuilding Holdings | 111,800 | 129,054 | |||||
410,618 | |||||||
Denmark - 1.7% | |||||||
AP Moller - Maersk, Cl. A | 172 | 209,564 | |||||
AP Moller - Maersk, Cl. B | 290 | 377,819 | |||||
Carlsberg, Cl. B | 4,695 | 606,457 | |||||
Charles Hansen Holding | 4,446 | 453,530 | |||||
Coloplast, Cl. B | 5,221 | 563,334 | |||||
Danske Bank | 31,434 | 557,484 | |||||
Demant | 4,279 | a | 134,998 | ||||
DSV | 8,232 | 760,585 | |||||
Genmab | 2,708 | a | 449,550 | ||||
H Lundbeck | 2,953 | 124,219 | |||||
ISS | 7,509 | 233,518 | |||||
Novo Nordisk, Cl. B | 80,165 | 3,920,152 | |||||
Novozymes, Cl. B | 9,831 | 458,149 | |||||
Orsted | 8,297 | d | 635,210 | ||||
Pandora | 4,928 | 206,706 | |||||
Tryg | 5,238 | 160,060 | |||||
Vestas Wind Systems | 8,556 | 773,810 | |||||
10,625,145 | |||||||
Finland - 1.1% | |||||||
Elisa | 6,479 | 274,905 | |||||
Fortum | 19,603 | 414,230 | |||||
Kone, Cl. B | 15,088 | 826,843 | |||||
Metso | 4,810 | 179,164 | |||||
Neste | 17,012 | 561,735 | |||||
Nokia | 249,684 | 1,310,333 | |||||
Nokian Renkaat | 5,430 | 181,612 | |||||
Nordea Bank | 133,511 | 1,050,836 | |||||
Orion, Cl. B | 4,849 | 161,147 | |||||
Sampo, Cl. A | 19,515 | 892,156 | |||||
Stora Enso, Cl. R | 23,989 | 297,716 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Finland - 1.1% (continued) | |||||||
UPM-Kymmene | 23,813 | 670,654 | |||||
Wartsila | 19,362 | 308,807 | |||||
7,130,138 | |||||||
France - 10.8% | |||||||
Accor | 8,366 | a | 352,437 | ||||
Aeroports de Paris | 1,329 | 270,694 | |||||
Air Liquide | 18,924 | 2,516,243 | |||||
Airbus Group | 25,697 | 3,512,796 | |||||
Alstom | 6,795 | a | 298,754 | ||||
Amundi | 2,557 | d | 183,691 | ||||
Arkema | 3,062 | 314,105 | |||||
Atos | 4,173 | 429,570 | |||||
AXA | 85,721 | 2,282,955 | |||||
BioMerieux | 1,765 | 140,058 | |||||
BNP Paribas | 49,682 | 2,644,072 | |||||
Bollore | 37,683 | 179,036 | |||||
Bouygues | 9,387 | 353,125 | |||||
Bureau Veritas | 11,256 | 285,066 | |||||
Capgemini | 7,132 | 864,719 | |||||
Carrefour | 25,600 | 498,744 | |||||
Casino Guichard Perrachon | 2,484 | c | 101,691 | ||||
Cie de Saint-Gobain | 22,124 | 904,232 | |||||
Cie Generale des Etablissements Michelin | 7,517 | 970,837 | |||||
CNP Assurances | 7,875 | 185,838 | |||||
Covivio | 1,962 | 212,356 | |||||
Credit Agricole | 51,145 | 701,565 | |||||
Danone | 27,255 | 2,203,428 | |||||
Dassault Aviation | 105 | a | 158,869 | ||||
Dassault Systemes | 5,816 | 920,101 | |||||
Edenred | 10,625 | 500,633 | |||||
Eiffage | 3,414 | 356,493 | |||||
Electricite de France | 26,090 | 375,731 | |||||
Engie | 80,220 | 1,188,117 | |||||
EssilorLuxottica | 12,634 | a | 1,537,477 | ||||
Eurazeo | 1,930 | 151,420 | |||||
Eutelsat Communications | 7,788 | 140,546 | |||||
Faurecia | 3,492 | 177,345 | |||||
Gecina | 2,037 | 304,093 | |||||
Getlink | 20,964 | 337,415 | |||||
Hermes International | 1,395 | 981,337 | |||||
ICADE | 1,449 | 123,840 | |||||
Iliad | 1,145 | 116,480 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
France - 10.8% (continued) | |||||||
Imerys | 1,513 | 80,573 | |||||
Ingenico Group | 2,736 | 230,643 | |||||
Ipsen | 1,662 | 194,053 | |||||
JCDecaux | 3,285 | 107,586 | |||||
Kering | 3,350 | 1,980,129 | |||||
Klepierre | 9,088 | 322,815 | |||||
Legrand | 11,871 | a | 872,367 | ||||
L'Oreal | 11,133 | 3,060,508 | |||||
LVMH Moet Hennessy Louis Vuitton | 12,250 | 4,795,807 | |||||
Natixis | 40,044 | a | 235,705 | ||||
Orange | 87,512 | 1,370,713 | |||||
Pernod Ricard | 9,307 | 1,621,657 | |||||
Peugeot | 25,775 | 675,320 | |||||
Publicis Groupe | 9,403 | 557,694 | |||||
Remy Cointreau | 1,025 | a | 136,577 | ||||
Renault | 8,509 | 580,447 | |||||
Rexel | 12,502 | 167,986 | |||||
Safran | 14,751 | 2,149,159 | |||||
Sanofi | 49,709 | 4,320,348 | |||||
Sartorius Stedim Biotech | 1,221 | 165,706 | |||||
Schneider Electric | 24,318 | 2,058,177 | |||||
SCOR | 7,107 | 289,833 | |||||
SEB | 1,044 | 191,099 | |||||
Societe BIC | 1,164 | 100,331 | |||||
Societe Generale | 33,762 | 1,068,620 | |||||
Sodexo | 3,813 | 437,289 | |||||
Suez | 16,160 | 227,016 | |||||
Teleperformance | 2,507 | 481,670 | |||||
Thales | 4,668 | 557,333 | |||||
Total | 106,453 | 5,915,558 | |||||
Ubisoft Entertainment | 3,730 | a | 355,771 | ||||
Unibail-Rodamco-Westfield | 5,254 | 903,085 | |||||
Unibail-Rodamco-Westfield-CDI | 21,629 | 186,475 | |||||
Valeo | 10,492 | a | 380,925 | ||||
Veolia Environnement | 23,627 | 558,091 | |||||
Vinci | 22,446 | 2,266,293 | |||||
Vivendi | 45,824 | 1,329,620 | |||||
Wendel | 1,243 | 172,038 | |||||
68,880,926 | |||||||
Germany - 8.0% | |||||||
1&1 Drillisch | 2,258 | 84,183 | |||||
adidas | 7,976 | 2,049,501 | |||||
Allianz | 18,721 | 4,510,257 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Germany - 8.0% (continued) | |||||||
Axel Springer | 1,985 | 112,432 | |||||
BASF | 40,539 | 3,296,015 | |||||
Bayer | 41,181 | 2,740,832 | |||||
Bayerische Motoren Werke | 14,543 | 1,238,037 | |||||
Beiersdorf | 4,449 | 486,225 | |||||
Brenntag | 6,849 | 369,189 | |||||
Commerzbank | 44,749 | 402,126 | |||||
Continental | 4,896 | 809,206 | |||||
Covestro | 8,539 | d | 466,895 | ||||
Daimler | 40,166 | 2,628,228 | |||||
Delivery Hero | 4,238 | a,d | 195,315 | ||||
Deutsche Bank | 85,829 | 709,383 | |||||
Deutsche Boerse | 8,296 | 1,106,340 | |||||
Deutsche Lufthansa | 10,025 | 241,972 | |||||
Deutsche Post | 43,392 | 1,503,856 | |||||
Deutsche Telekom | 147,258 | 2,463,264 | |||||
Deutsche Wohnen | 15,915 | 715,260 | |||||
E.ON | 96,757 | 1,038,345 | |||||
Evonik Industries | 6,850 | 204,059 | |||||
Fraport Frankfurt Airport Services Worldwide | 1,702 | 140,958 | |||||
Fresenius & Co. | 18,340 | 1,040,438 | |||||
Fresenius Medical Care & Co. | 9,634 | 809,980 | |||||
GEA Group | 7,022 | 196,267 | |||||
Hannover Rueck | 2,666 | 401,881 | |||||
HeidelbergCement | 6,454 | 521,194 | |||||
Henkel & Co. | 4,506 | 429,331 | |||||
HOCHTIEF | 1,139 | 169,908 | |||||
HUGO BOSS | 2,893 | 201,696 | |||||
Infineon Technologies | 49,967 | 1,178,304 | |||||
Innogy | 5,409 | 234,783 | |||||
KION Group | 3,038 | 207,989 | |||||
LANXESS | 3,842 | 221,923 | |||||
Merck | 5,587 | 594,554 | |||||
METRO | 7,713 | 130,629 | |||||
MTU Aero Engines | 2,253 | 529,905 | |||||
Muenchener Rueckversicherungs | 6,556 | 1,639,766 | |||||
OSRAM Licht | 4,413 | c | 150,914 | ||||
ProSiebenSat.1 Media | 10,556 | 166,169 | |||||
Puma | 375 | 231,961 | |||||
RWE | 22,411 | 572,351 | |||||
SAP | 43,341 | 5,569,879 | |||||
Siemens | 33,751 | 4,040,656 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Germany - 8.0% (continued) | |||||||
Siemens Healthineers | 6,760 | d | 288,268 | ||||
Symrise | 5,431 | 522,034 | |||||
Telefonica Deutschland Holding | 30,497 | 99,059 | |||||
ThyssenKrupp | 18,988 | 266,957 | |||||
TUI | 20,240 | 225,343 | |||||
Uniper | 8,823 | 267,288 | |||||
United Internet | 5,576 | 223,457 | |||||
Volkswagen | 1,388 | 248,151 | |||||
Vonovia | 21,631 | 1,078,901 | |||||
Wirecard | 5,140 | c | 770,784 | ||||
Zalando | 5,101 | a,d | 239,951 | ||||
50,982,549 | |||||||
Hong Kong - 3.8% | |||||||
AIA Group | 532,400 | 5,425,936 | |||||
ASM Pacific Technology | 12,900 | 149,394 | |||||
Bank of East Asia | 57,258 | 180,646 | |||||
BOC Hong Kong Holdings | 165,000 | 738,260 | |||||
CK Asset Holdings | 114,975 | 923,341 | |||||
CK Hutchison Holdings | 118,475 | 1,244,435 | |||||
CK Infrastructure Holdings | 28,000 | 227,361 | |||||
CLP Holdings | 73,288 | 830,992 | |||||
Dairy Farm International Holdings | 13,500 | 105,705 | |||||
Galaxy Entertainment Group | 106,277 | 794,558 | |||||
Hang Lung Group | 36,000 | 107,154 | |||||
Hang Lung Properties | 93,000 | 218,606 | |||||
Hang Seng Bank | 34,000 | 892,821 | |||||
Henderson Land Development | 59,217 | 364,596 | |||||
HK Electric Investments | 106,500 | 104,263 | |||||
HKT Trust | 161,660 | 250,585 | |||||
Hong Kong & China Gas | 405,964 | 968,749 | |||||
Hong Kong Exchanges & Clearing | 52,242 | 1,811,369 | |||||
Hongkong Land Holdings | 52,100 | 363,137 | |||||
Hysan Development | 27,000 | 151,094 | |||||
Jardine Matheson Holdings | 9,846 | 647,867 | |||||
Jardine Strategic Holdings | 9,800 | 370,636 | |||||
Kerry Properties | 28,500 | 121,705 | |||||
Link REIT | 93,000 | 1,084,731 | |||||
Melco Resorts & Entertainment, ADR | 10,860 | 272,586 | |||||
MTR | 68,395 | 407,155 | |||||
New World Development | 274,566 | 454,297 | |||||
NWS Holdings | 64,918 | 134,887 | |||||
PCCW | 202,000 | 121,795 | |||||
Power Assets Holdings | 62,000 | 432,312 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Hong Kong - 3.8% (continued) | |||||||
Shangri-La Asia | 49,000 | 69,457 | |||||
Sino Land | 141,730 | 249,321 | |||||
SJM Holdings | 78,530 | 94,799 | |||||
Sun Hung Kai Properties | 70,199 | 1,211,624 | |||||
Swire Pacific, Cl. A | 22,500 | 284,806 | |||||
Swire Properties | 48,800 | 198,129 | |||||
Techtronic Industries | 60,365 | 436,301 | |||||
WH Group | 384,000 | d | 455,231 | ||||
Wharf Holdings | 50,311 | 144,620 | |||||
Wharf Real Estate Investment | 53,311 | 408,422 | |||||
Wheelock & Co. | 37,000 | 263,417 | |||||
Yue Yuen Industrial Holdings | 32,800 | 105,991 | |||||
23,823,091 | |||||||
Ireland - .7% | |||||||
AerCap Holdings | 5,446 | a | 270,339 | ||||
AIB Group | 34,440 | 159,842 | |||||
Bank of Ireland Group | 42,659 | 272,246 | |||||
CRH | 35,759 | 1,200,411 | |||||
DCC | 4,271 | 381,392 | |||||
James Hardie Industries-CDI | 18,436 | 250,572 | |||||
Kerry Group, Cl. A | 7,068 | 791,161 | |||||
Kingspan Group | 6,922 | 363,963 | |||||
Paddy Power Betfair | 3,405 | 285,206 | |||||
Ryanair Holdings | 3,900 | a | 52,207 | ||||
Smurfit Kappa Group | 10,215 | 299,375 | |||||
4,326,714 | |||||||
Isle Of Man - .0% | |||||||
GVC Holdings | 24,832 | 211,383 | |||||
Israel - .5% | |||||||
Azrieli Group | 1,992 | 113,387 | |||||
Bank Hapoalim | 45,734 | a | 336,209 | ||||
Bank Leumi Le-Israel | 67,105 | 458,999 | |||||
Bezeq The Israeli Telecommunication Corporation | 79,342 | a | 54,248 | ||||
Check Point Software Technologies | 5,579 | a,c | 673,720 | ||||
Elbit Systems | 962 | 133,901 | |||||
Israel Chemicals | 30,384 | 160,874 | |||||
Israel Discount Bank, Cl. A | 1 | 3 | |||||
Mizrahi Tefahot Bank | 6,222 | a | 134,524 | ||||
NICE | 2,787 | a | 384,515 | ||||
Teva Pharmaceutical Industries, ADR | 43,217 | a | 657,763 | ||||
Wix.com | 1,882 | a,c | 252,489 | ||||
3,360,632 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Italy - 2.0% | |||||||
Assicurazioni Generali | 51,658 | 1,002,355 | |||||
Atlantia | 21,775 | 593,963 | |||||
Davide Campari-Milano | 24,584 | 247,747 | |||||
Enel | 359,497 | 2,273,712 | |||||
Eni | 112,497 | 1,920,156 | |||||
Ferrari | 5,464 | 740,007 | |||||
Intesa Sanpaolo | 652,393 | 1,710,039 | |||||
Leonardo | 17,321 | 200,003 | |||||
Mediobanca Banca di Credito Finanziario | 27,718 | 293,786 | |||||
Moncler | 8,097 | 332,114 | |||||
Pirelli & C | 18,888 | d | 137,871 | ||||
Poste Italiane | 23,696 | d | 252,751 | ||||
Prysmian | 10,097 | 194,673 | |||||
Recordati | 4,751 | 191,781 | |||||
Snam | 97,616 | 496,738 | |||||
Telecom Italia | 506,706 | a | 283,365 | ||||
Telecom Italia-RSP | 271,717 | 141,682 | |||||
Terna Rete Elettrica Nazionale | 62,268 | 372,805 | |||||
UniCredit | 88,168 | 1,219,304 | |||||
12,604,852 | |||||||
Japan - 22.9% | |||||||
ABC-Mart | 1,500 | 93,400 | |||||
Acom | 15,500 | 54,524 | |||||
Aeon | 26,400 | 488,828 | |||||
AEON Financial Service | 4,860 | 100,954 | |||||
AEON Mall | 4,480 | 68,541 | |||||
AGC | 7,760 | 263,732 | |||||
Air Water | 6,800 | 103,317 | |||||
Aisin Seiki | 7,100 | 274,472 | |||||
Ajinomoto | 18,900 | 304,169 | |||||
Alfresa Holdings | 8,300 | 231,220 | |||||
Alps Alpine | 9,200 | 193,896 | |||||
Amada Holdings | 15,800 | 175,364 | |||||
ANA Holdings | 4,900 | 171,045 | |||||
Aozora Bank | 4,795 | 116,633 | |||||
Asahi Group Holdings | 16,200 | 702,430 | |||||
Asahi Intecc | 4,200 | 212,799 | |||||
Asahi Kasei | 55,400 | 568,646 | |||||
Asics | 7,300 | 89,480 | |||||
Astellas Pharma | 82,595 | 1,121,830 | |||||
Bandai Namco Holdings | 8,650 | 412,749 | |||||
Bank of Kyoto | 2,400 | 103,446 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Benesse Holdings | 3,200 | 88,067 | |||||
Bridgestone | 26,800 | 1,060,231 | |||||
Brother Industries | 9,400 | 184,275 | |||||
CALBEE | 3,500 | 96,351 | |||||
Canon | 43,917 | 1,218,077 | |||||
Casio Computer | 8,500 | 107,286 | |||||
Central Japan Railway | 6,300 | 1,354,063 | |||||
Chiba Bank | 25,000 | 130,424 | |||||
Chubu Electric Power | 26,300 | 382,157 | |||||
Chugai Pharmaceutical | 9,828 | 621,229 | |||||
Chugoku Electric Power | 12,000 | 142,962 | |||||
Coca-Cola Bottlers Japan Holdings | 6,300 | 154,821 | |||||
Concordia Financial Group | 45,000 | 175,194 | |||||
Credit Saison | 6,200 | 79,352 | |||||
CyberAgent | 4,600 | 184,112 | |||||
Dai Nippon Printing | 10,700 | 253,602 | |||||
Daicel | 11,900 | 132,709 | |||||
Daifuku | 4,300 | 261,821 | |||||
Dai-ichi Life Insurance | 48,100 | 691,582 | |||||
Daiichi Sankyo | 24,883 | 1,224,748 | |||||
Daikin Industries | 10,900 | 1,388,453 | |||||
Daito Trust Construction | 3,100 | 414,209 | |||||
Daiwa House Industry | 25,300 | 707,794 | |||||
Daiwa House REIT Investment | 84 | 192,820 | |||||
Daiwa Securities Group | 68,800 | 318,211 | |||||
Dena | 4,300 | 66,981 | |||||
Denso | 19,300 | 841,033 | |||||
Dentsu | 9,400 | 382,780 | |||||
Disco | 1,200 | 205,613 | |||||
East Japan Railway | 13,400 | 1,262,450 | |||||
Eisai | 10,900 | 631,742 | |||||
Electric Power Development | 6,080 | 140,843 | |||||
FamilyMart UNY Holdings | 11,268 | 301,150 | |||||
FANUC | 8,529 | 1,591,062 | |||||
Fast Retailing | 2,558 | 1,480,183 | |||||
Fuji Electric | 5,300 | 186,814 | |||||
FUJIFILM Holdings | 17,200 | 802,836 | |||||
Fujitsu | 8,580 | 626,707 | |||||
Fukuoka Financial Group | 7,900 | 183,459 | |||||
Hakuhodo DY Holdings | 9,900 | 166,514 | |||||
Hamamatsu Photonics | 6,100 | 246,765 | |||||
Hankyu Hanshin Holdings | 9,900 | 369,664 | |||||
Hikari Tsushin | 900 | 166,601 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Hino Motors | 11,300 | 106,337 | |||||
Hirose Electric | 1,433 | 165,485 | |||||
Hisamitsu Pharmaceutical | 2,400 | 101,510 | |||||
Hitachi | 42,380 | 1,403,923 | |||||
Hitachi Chemical | 4,900 | 129,796 | |||||
Hitachi Construction Machinery | 4,600 | 121,861 | |||||
Hitachi High-Technologies | 3,200 | 142,856 | |||||
Hitachi Metals | 9,800 | 113,096 | |||||
Honda Motor | 72,059 | 2,006,405 | |||||
Hoshizaki | 2,500 | 162,614 | |||||
Hoya | 16,800 | 1,182,644 | |||||
Hulic | 13,500 | 116,123 | |||||
Idemitsu Kosan | 9,075 | 293,798 | |||||
IHI | 6,800 | 161,701 | |||||
Iida Group Holdings | 7,000 | 118,103 | |||||
INPEX | 46,000 | 449,503 | |||||
Isetan Mitsukoshi Holdings | 14,520 | 138,062 | |||||
Isuzu Motors | 24,500 | 351,029 | |||||
ITOCHU | 60,800 | 1,091,819 | |||||
J Front Retailing | 9,200 | 111,933 | |||||
Japan Airlines | 5,000 | 167,567 | |||||
Japan Airport Terminal | 1,800 | 75,726 | |||||
Japan Exchange Group | 22,100 | 359,768 | |||||
Japan Post Bank | 17,400 | 191,061 | |||||
Japan Post Holdings | 70,200 | 783,406 | |||||
Japan Prime Realty Investment | 35 | 139,992 | |||||
Japan Real Estate Investment | 59 | 326,960 | |||||
Japan Retail Fund Investment | 112 | 214,395 | |||||
Japan Tobacco | 48,300 | 1,117,140 | |||||
JFE Holdings | 21,360 | 366,605 | |||||
JGC | 8,700 | 124,073 | |||||
JSR | 8,100 | 122,774 | |||||
JTEKT | 9,800 | 125,759 | |||||
JXTG Holdings | 140,226 | 680,854 | |||||
Kajima | 19,700 | 291,840 | |||||
Kakaku.com | 6,200 | 127,381 | |||||
Kamigumi | 4,700 | 111,919 | |||||
Kaneka | 2,000 | 76,868 | |||||
Kansai Electric Power | 30,999 | 374,462 | |||||
Kansai Paint | 7,800 | 148,126 | |||||
Kao | 21,600 | 1,659,630 | |||||
Kawasaki Heavy Industries | 5,900 | 137,013 | |||||
KDDI | 78,463 | 1,792,799 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Keihan Holdings | 4,200 | 178,491 | |||||
Keikyu | 9,800 | 167,168 | |||||
Keio | 4,400 | 265,156 | |||||
Keisei Electric Railway | 5,700 | 199,506 | |||||
Keyence | 4,270 | 2,650,222 | |||||
Kikkoman | 6,500 | 301,165 | |||||
Kintetsu Group Holdings | 7,335 | 325,537 | |||||
Kirin Holdings | 36,000 | 814,412 | |||||
Kobayashi Pharmaceutical | 2,300 | 184,259 | |||||
Kobe Steel | 13,300 | 101,393 | |||||
Koito Manufacturing | 4,700 | 280,376 | |||||
Komatsu | 40,600 | 1,049,261 | |||||
Konami Holdings | 3,900 | 177,183 | |||||
Konica Minolta | 20,000 | 200,708 | |||||
Kose | 1,300 | 243,390 | |||||
Kubota | 43,300 | 654,392 | |||||
Kuraray | 14,600 | 194,941 | |||||
Kurita Water Industries | 4,300 | 111,847 | |||||
Kyocera | 14,100 | 910,313 | |||||
Kyowa Hakko Kirin | 11,705 | 226,574 | |||||
Kyushu Electric Power | 16,000 | 154,709 | |||||
Kyushu Railway | 6,700 | 218,116 | |||||
Lawson | 2,100 | 97,852 | |||||
LINE | 3,400 | a | 113,649 | ||||
Lion | 9,400 | 193,098 | |||||
LIXIL Group | 12,224 | 158,833 | |||||
M3 | 18,400 | 325,355 | |||||
Makita | 9,900 | 361,211 | |||||
Marubeni | 68,900 | 493,368 | |||||
Marui Group | 8,500 | 172,249 | |||||
Maruichi Steel Tube | 2,600 | 72,007 | |||||
Mazda Motor | 25,600 | 303,426 | |||||
McDonald's Holdings Co. Japan | 2,800 | 129,460 | |||||
Mebuki Financial Group | 34,130 | 86,729 | |||||
Medipal Holdings | 7,300 | 163,537 | |||||
MEIJI Holdings | 5,242 | 412,289 | |||||
MinebeaMitsumi | 17,300 | 306,069 | |||||
MISUMI Group | 12,638 | 326,640 | |||||
Mitsubishi | 59,798 | 1,648,139 | |||||
Mitsubishi Chemical Holdings | 55,480 | 393,118 | |||||
Mitsubishi Electric | 80,200 | 1,139,318 | |||||
Mitsubishi Estate | 52,600 | 885,789 | |||||
Mitsubishi Gas Chemical | 6,700 | 99,878 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Mitsubishi Heavy Industries | 13,170 | 547,699 | |||||
Mitsubishi Materials | 4,600 | 119,420 | |||||
Mitsubishi Motors | 28,600 | 159,999 | |||||
Mitsubishi Tanabe Pharma | 10,700 | 134,573 | |||||
Mitsubishi UFJ Financial Group | 519,190 | 2,581,877 | |||||
Mitsubishi UFJ Lease & Finance | 18,600 | 94,198 | |||||
Mitsui & Co. | 72,700 | 1,174,153 | |||||
Mitsui Chemicals | 8,500 | 207,457 | |||||
Mitsui Fudosan | 39,286 | 905,499 | |||||
Mitsui OSK Lines | 5,000 | 126,620 | |||||
Mizuho Financial Group | 1,067,700 | 1,673,139 | |||||
Monotaro | 5,500 | 126,541 | |||||
MS&AD Insurance Group Holdings | 21,157 | 653,072 | |||||
Murata Manufacturing | 24,000 | 1,284,534 | |||||
Nabtesco | 4,700 | 143,102 | |||||
Nagoya Railroad | 7,600 | 205,743 | |||||
NEC | 11,780 | 397,564 | |||||
NEXON | 19,200 | a | 275,137 | ||||
NGK Insulators | 11,100 | 163,858 | |||||
NGK Spark Plug | 6,626 | 128,347 | |||||
NH Foods | 4,000 | 160,760 | |||||
Nidec | 9,800 | 1,402,174 | |||||
Nikon | 13,460 | 187,917 | |||||
Nintendo | 5,025 | 1,714,659 | |||||
Nippon Building Fund | 59 | 379,961 | |||||
Nippon Electric Glass | 3,417 | 93,588 | |||||
Nippon Express | 3,300 | 181,178 | |||||
Nippon Paint Holdings | 6,600 | 249,791 | |||||
Nippon Prologis REIT | 74 | 158,930 | |||||
Nippon Steel | 36,061 | 643,269 | |||||
Nippon Telegraph & Telephone | 28,200 | 1,170,385 | |||||
Nippon Yusen | 7,180 | 122,994 | |||||
Nissan Chemical | 5,500 | 244,061 | |||||
Nissan Motor | 103,300 | 828,526 | |||||
Nisshin Seifun Group | 9,138 | 212,434 | |||||
Nissin Foods Holdings | 2,800 | 184,297 | |||||
Nitori Holdings | 3,500 | 416,365 | |||||
Nitto Denko | 7,400 | 398,022 | |||||
Nomura Holdings | 149,600 | 564,177 | |||||
Nomura Real Estate Holdings | 5,500 | 116,603 | |||||
Nomura Real Estate Master Fund | 171 | 250,630 | |||||
Nomura Research Institute | 5,083 | 247,834 | |||||
NSK | 16,500 | 170,384 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
NTT Data | 28,400 | 329,979 | |||||
NTT DOCOMO | 59,200 | 1,283,917 | |||||
Obayashi | 27,600 | 269,885 | |||||
Obic | 2,800 | 323,336 | |||||
Odakyu Electric Railway | 12,500 | 293,384 | |||||
Oji Holdings | 36,000 | 215,990 | |||||
Olympus | 50,400 | 565,190 | |||||
Omron | 8,400 | 448,847 | |||||
Ono Pharmaceutical | 17,100 | 319,309 | |||||
Oracle Japan | 1,600 | 109,781 | |||||
Oriental Land | 8,800 | 973,164 | |||||
ORIX | 59,000 | 832,505 | �� | ||||
Osaka Gas | 16,300 | 300,747 | |||||
OTSUKA | 4,400 | 172,663 | |||||
Otsuka Holdings | 17,100 | 611,809 | |||||
Pan Pacific International Holdings | 5,400 | 347,625 | |||||
Panasonic | 98,195 | 900,272 | |||||
Park24 | 4,700 | 98,815 | |||||
Persol Holdings | 7,500 | 140,371 | |||||
Pigeon | 5,000 | 211,697 | |||||
Pola Orbis Holdings | 3,900 | 122,562 | |||||
Rakuten | 37,600 | 418,549 | |||||
Recruit Holdings | 48,400 | 1,446,870 | |||||
Renesas Electronics | 36,700 | a | 195,467 | ||||
Resona Holdings | 92,400 | 390,780 | |||||
Ricoh | 29,200 | 294,437 | |||||
Rinnai | 1,400 | 94,024 | |||||
Rohm | 4,200 | 309,428 | |||||
Ryohin Keikaku | 1,000 | 189,830 | |||||
Sankyo | 2,000 | 78,741 | |||||
Santen Pharmaceutical | 16,200 | 247,093 | |||||
SBI Holdings | 9,930 | 211,605 | |||||
Secom | 9,300 | 779,706 | |||||
Sega Sammy Holdings | 7,484 | 94,347 | |||||
Seibu Holdings | 10,100 | 163,869 | |||||
Seiko Epson | 11,800 | 188,484 | |||||
Sekisui Chemical | 16,600 | 265,479 | |||||
Sekisui House | 27,700 | 445,672 | |||||
Seven & i Holdings | 33,060 | 1,146,699 | |||||
Seven Bank | 26,000 | 70,702 | |||||
SG Holdings | 4,600 | 123,097 | |||||
Sharp | 8,500 | 94,359 | |||||
Shimadzu | 9,900 | 264,394 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Shimamura | 1,000 | 74,437 | |||||
Shimano | 3,300 | 482,702 | |||||
Shimizu | 24,400 | 207,921 | |||||
Shin-Etsu Chemical | 15,900 | 1,489,113 | |||||
Shinsei Bank | 6,900 | 95,889 | |||||
Shionogi & Co. | 12,300 | 717,249 | |||||
Shiseido | 16,700 | 1,312,322 | |||||
Shizuoka Bank | 19,200 | 146,540 | |||||
Showa Denko | 6,000 | 202,876 | |||||
SMC | 2,500 | 1,034,108 | |||||
Softbank | 74,500 | 880,672 | |||||
SoftBank Group | 36,400 | 3,794,574 | |||||
Sohgo Security Services | 3,100 | 137,919 | |||||
Sompo Holdings | 13,970 | 521,944 | |||||
Sony | 56,080 | 2,624,469 | |||||
Sony Financial Holdings | 8,000 | 162,843 | |||||
Stanley Electric | 5,500 | 148,660 | |||||
Subaru | 27,500 | 671,782 | |||||
Sumco | 9,900 | 129,815 | |||||
Sumitomo | 50,200 | 716,483 | |||||
Sumitomo Chemical | 64,800 | 321,200 | |||||
Sumitomo Dainippon Pharma | 6,500 | 142,994 | |||||
Sumitomo Electric Industries | 33,300 | 440,900 | |||||
Sumitomo Heavy Industries | 4,900 | 172,712 | |||||
Sumitomo Metal Mining | 10,500 | 330,709 | |||||
Sumitomo Mitsui Financial Group | 58,800 | 2,136,490 | |||||
Sumitomo Mitsui Trust Holdings | 14,364 | 499,615 | |||||
Sumitomo Realty & Development Co. | 15,700 | 579,434 | |||||
Sumitomo Rubber Industries | 7,400 | 90,833 | |||||
Sundrug | 3,000 | 80,436 | |||||
Suntory Beverage & Food | 6,300 | 277,451 | |||||
Suzuken | 3,212 | 185,241 | |||||
Suzuki Motor | 15,300 | 695,789 | |||||
Sysmex | 7,500 | 427,796 | |||||
T&D Holdings | 25,100 | 269,691 | |||||
Taiheiyo Cement | 5,200 | 167,251 | |||||
Taisei | 9,300 | 407,084 | |||||
Taisho Pharmaceutical Holdings | 1,600 | 147,701 | |||||
Taiyo Nippon Sanso | 6,000 | 99,935 | |||||
Takashimaya | 6,000 | 67,283 | |||||
Takeda Pharmaceutical | 65,523 | 2,426,631 | |||||
TDK | 5,700 | 495,999 | |||||
Teijin | 8,200 | 140,406 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
Terumo | 27,100 | 814,377 | |||||
THK | 5,100 | 133,102 | |||||
Tobu Railway | 8,000 | 225,548 | |||||
Toho | 4,700 | 196,765 | |||||
Toho Gas | 3,200 | 131,587 | |||||
Tohoku Electric Power | 18,800 | 214,961 | |||||
Tokio Marine Holdings | 28,300 | 1,426,559 | |||||
Tokyo Century | 1,700 | 78,159 | |||||
Tokyo Electric Power Co. Holdings | 65,272 | a | 368,815 | ||||
Tokyo Electron | 7,000 | 1,109,152 | |||||
Tokyo Gas | 16,900 | 428,934 | |||||
Tokyu | 22,110 | 359,721 | |||||
Tokyu Fudosan Holdings | 26,500 | 148,953 | |||||
Toppan Printing | 10,900 | 176,267 | |||||
Toray Industries | 60,100 | 409,066 | |||||
Toshiba | 29,000 | 966,717 | |||||
Tosoh | 11,900 | 191,419 | |||||
TOTO | 6,400 | 270,301 | |||||
Toyo Seikan Group Holdings | 7,000 | 140,253 | |||||
Toyo Suisan Kaisha | 4,000 | 152,297 | |||||
Toyoda Gosei | 2,400 | 49,785 | |||||
Toyota Industries | 6,400 | 362,047 | |||||
Toyota Motor | 100,655 | 6,240,549 | |||||
Toyota Tsusho | 9,500 | 314,808 | |||||
Trend Micro | 5,200 | 260,322 | |||||
Tsuruha Holdings | 1,500 | 127,549 | |||||
Unicharm | 18,000 | 591,439 | |||||
United Urban Investment | 128 | 204,508 | |||||
USS | 9,100 | 173,718 | |||||
Welcia Holdings | 2,100 | 82,925 | |||||
West Japan Railway | 7,200 | 535,087 | |||||
Yahoo! Japan | 123,900 | 329,289 | |||||
Yakult Honsha | 5,100 | 345,747 | |||||
Yamada Denki | 26,900 | 127,480 | |||||
Yamaguchi Financial Group | 8,800 | 64,796 | |||||
Yamaha | 5,700 | 294,299 | |||||
Yamaha Motor | 12,300 | 252,717 | |||||
Yamato Holdings | 13,400 | 291,000 | |||||
Yamazaki Baking | 5,000 | 74,345 | |||||
Yaskawa Electric | 10,500 | 386,174 | |||||
Yokogawa Electric | 9,500 | 197,747 | |||||
Yokohama Rubber | 5,400 | 101,492 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Japan - 22.9% (continued) | |||||||
ZOZO | 9,200 | 163,578 | |||||
145,802,275 | |||||||
Luxembourg - .3% | |||||||
ArcelorMittal | 29,104 | a | 630,925 | ||||
Aroundtown | 35,647 | 288,908 | |||||
Eurofins Scientific | 526 | a | 240,704 | ||||
Millicom International Cellular, SDR | 2,847 | 166,525 | |||||
RTL Group | 1,680 | 94,403 | |||||
SES | 15,857 | 269,802 | |||||
Tenaris | 21,215 | 294,579 | |||||
1,985,846 | |||||||
Macau - .1% | |||||||
MGM China Holdings | 40,000 | 82,399 | |||||
Sands China | 105,013 | 576,950 | |||||
Wynn Macau | 65,200 | 187,003 | |||||
846,352 | |||||||
Mexico - .0% | |||||||
Fresnillo | 9,224 | 90,066 | |||||
Netherlands - 4.7% | |||||||
ABN AMRO Group | 18,657 | d | 438,812 | ||||
Adyen | 447 | d | 363,783 | ||||
Aegon | 80,200 | 418,818 | |||||
Akzo Nobel | 9,987 | 847,947 | |||||
ASML Holding | 18,087 | 3,763,935 | |||||
EXOR | 4,861 | 323,637 | |||||
Heineken | 11,384 | 1,228,821 | |||||
Heineken Holding | 5,070 | 514,914 | |||||
ING Groep | 171,987 | 2,190,579 | |||||
Koninklijke Ahold Delhaize | 51,798 | 1,246,754 | |||||
Koninklijke DSM | 8,066 | 921,419 | |||||
Koninklijke KPN | 145,814 | 447,459 | |||||
Koninklijke Philips | 40,788 | 1,736,816 | |||||
Koninklijke Vopak | 2,912 | 129,827 | |||||
NN Group | 13,473 | 586,621 | |||||
NXP Semiconductors | 15,103 | 1,595,179 | |||||
QIAGEN | 10,398 | a | 401,536 | ||||
Randstad | 5,213 | 297,724 | |||||
Royal Dutch Shell, Cl. A | 198,634 | 6,345,959 | |||||
Royal Dutch Shell, Cl. B | 165,145 | 5,307,278 | |||||
Wolters Kluwer | 12,506 | 872,182 | |||||
29,980,000 | |||||||
New Zealand - .2% | |||||||
a2 Milk | 32,196 | a | 360,617 |
22
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
New Zealand - .2% (continued) | |||||||
Auckland International Airport | 41,164 | 219,123 | |||||
Fisher & Paykel Healthcare | 26,119 | 275,804 | |||||
Fletcher Building | 34,315 | 118,262 | |||||
Meridian Energy | 52,186 | 141,511 | |||||
Ryman Healthcare | 16,781 | 136,178 | |||||
Spark New Zealand | 84,529 | 207,197 | |||||
1,458,692 | |||||||
Norway - .7% | |||||||
Aker | 4,923 | 162,342 | |||||
DNB | 42,844 | 822,619 | |||||
Equinor | 51,345 | 1,145,338 | |||||
Gjensidige Forsikring | 8,353 | 162,220 | |||||
Mowi | 19,329 | 418,732 | |||||
Norsk Hydro | 58,743 | 251,655 | |||||
Orkla | 35,565 | 278,833 | |||||
Schibsted, Cl. B | 4,266 | 102,058 | |||||
Telenor | 32,849 | 659,459 | |||||
Yara International | 7,746 | 349,346 | |||||
4,352,602 | |||||||
Portugal - .2% | |||||||
Banco Espirito Santo | 118,053 | a,e | 0 | ||||
Energias de Portugal | 113,882 | a | 431,600 | ||||
Galp Energia | 21,836 | 366,634 | |||||
Jeronimo Martins | 10,446 | 170,120 | |||||
968,354 | |||||||
Singapore - 1.3% | |||||||
Ascendas Real Estate Investment Trust | 116,333 | 256,598 | |||||
CapitaLand | 115,200 | 298,990 | |||||
CapitaLand Commercial Trust | 107,851 | 153,835 | |||||
CapitaLand Mall Trust | 116,600 | 207,464 | |||||
City Developments | 17,000 | 111,742 | |||||
ComfortDelGro | 93,200 | 184,331 | |||||
DBS Group Holdings | 78,688 | 1,634,392 | |||||
Genting Singapore | 251,927 | 182,448 | |||||
Golden Agri-Resources | 278,440 | 59,369 | |||||
Jardine Cycle & Carriage | 4,113 | 107,414 | |||||
Keppel | 65,300 | 325,036 | |||||
Oversea-Chinese Banking | 141,538 | 1,259,179 | |||||
SATS | 27,600 | 106,130 | |||||
Sembcorp Industries | 43,254 | 84,594 | |||||
Singapore Airlines | 22,833 | 162,505 | |||||
Singapore Exchange | 34,000 | 184,486 | |||||
Singapore Press Holdings | 69,075 | 127,475 |
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Singapore - 1.3% (continued) | |||||||
Singapore Technologies Engineering | 67,400 | 196,239 | |||||
Singapore Telecommunications | 363,351 | 846,866 | |||||
Suntec Real Estate Investment Trust | 96,000 | 130,579 | |||||
United Overseas Bank | 59,063 | 1,208,531 | |||||
UOL Group | 21,111 | 117,654 | |||||
Venture | 12,500 | 155,963 | |||||
Wilmar International | 86,800 | 232,301 | |||||
8,334,121 | |||||||
South Africa - .0% | |||||||
Investec | 30,160 | 190,744 | |||||
Spain - 2.9% | |||||||
ACS Actividades de Construccion y Servicios | 11,058 | 507,641 | |||||
Aena Sme | 2,920 | d | 541,533 | ||||
Amadeus IT Group | 19,242 | 1,530,583 | |||||
Banco Bilbao Vizcaya Argentaria | 295,002 | 1,792,677 | |||||
Banco de Sabadell | 253,721 | 294,818 | |||||
Banco Santander | 716,496 | 3,625,540 | |||||
Bankia | 54,722 | 151,292 | |||||
Bankinter | 30,826 | 246,101 | |||||
CaixaBank | 154,978 | 493,484 | |||||
Enagas | 9,933 | 282,978 | |||||
Endesa | 13,810 | 344,017 | |||||
Ferrovial | 21,816 | 537,335 | |||||
Grifols | 13,223 | 366,917 | |||||
Iberdrola | 274,520 | 2,493,387 | |||||
Industria de Diseno Textil | 47,854 | 1,447,562 | |||||
Mapfre | 46,873 | 140,632 | |||||
Naturgy Energy Group | 15,467 | 439,246 | |||||
Red Electrica | 18,783 | 389,424 | |||||
Repsol | 61,359 | a | 1,041,250 | ||||
Siemens Gamesa Renewable Energy | 10,111 | 181,335 | |||||
Telefonica | 206,795 | 1,723,788 | |||||
18,571,540 | |||||||
Sweden - 2.4% | |||||||
Alfa Laval | 12,808 | 297,235 | |||||
Assa Abloy, Cl. B | 44,529 | 949,924 | |||||
Atlas Copco, Cl. A | 29,862 | 928,201 | |||||
Atlas Copco, Cl. B | 17,505 | 498,213 | |||||
Boliden | 11,970 | 355,427 | |||||
Electrolux, Ser. B | 10,577 | 259,827 | |||||
Epiroc, Cl. A | 29,339 | 303,364 | |||||
Epiroc, Cl. B | 17,899 | 177,065 |
24
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Sweden - 2.4% (continued) | |||||||
Ericsson, Cl. B | 134,877 | 1,334,973 | |||||
Essity, Cl. B | 27,014 | 801,561 | |||||
Hennes & Mauritz, Cl. B | 38,723 | 675,124 | |||||
Hexagon, Cl. B | 11,425 | 623,150 | |||||
Husqvarna, Cl. B | 17,528 | 159,940 | |||||
ICA Gruppen | 3,794 | 137,224 | |||||
Industrivarden, Cl. C | 6,910 | 155,413 | |||||
Investor, Cl. B | 20,050 | 955,722 | |||||
Kinnevik, Cl. B | 10,806 | 314,606 | |||||
L E Lundbergforetagen, Cl. B | 3,112 | 106,364 | |||||
Lundin Petroleum | 7,919 | 259,154 | |||||
Sandvik | 50,188 | 928,228 | |||||
Securitas, Cl. B | 13,365 | 233,606 | |||||
Skandinaviska Enskilda Banken, Cl. A | 72,585 | 692,592 | |||||
Skanska, Cl. B | 15,311 | 266,491 | |||||
SKF, Cl. B | 16,944 | 313,558 | |||||
Svenska Handelsbanken, Cl. A | 68,041 | 742,586 | |||||
Swedbank, Cl. A | 40,421 | 655,655 | |||||
Swedish Match | 7,651 | 372,675 | |||||
Tele2, Cl. B | 22,256 | 296,914 | |||||
Telia | 124,688 | 530,936 | |||||
Volvo, Cl. B | 68,900 | 1,102,731 | |||||
15,428,459 | |||||||
Switzerland - 9.0% | |||||||
ABB | 80,799 | 1,662,844 | |||||
Adecco Group | 6,881 | 395,187 | |||||
Alcon | 19,254 | a | 1,108,813 | ||||
Baloise Holding | 2,163 | 370,636 | |||||
Barry Callebaut | 92 | 168,479 | |||||
Cie Financiere Richemont | 23,100 | a | 1,688,944 | ||||
Clariant | 8,861 | 182,099 | |||||
Coca-Cola HBC | 8,846 | a | 316,179 | ||||
Credit Suisse Group | 112,160 | a | 1,497,008 | ||||
Dufry | 1,417 | a | 138,425 | ||||
EMS-Chemie Holding | 344 | 208,301 | |||||
Ferguson | 10,148 | 719,875 | |||||
Geberit | 1,652 | 692,772 | |||||
Givaudan | 407 | 1,054,098 | |||||
Glencore | 497,439 | 1,974,198 | |||||
Julius Baer Group | 10,045 | 484,234 | |||||
Kuehne + Nagel International | 2,418 | 351,327 | |||||
LafargeHolcim | 21,344 | a | 1,097,207 | ||||
Lindt & Spruengli | 4 | a | 303,450 |
25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
Switzerland - 9.0% (continued) | |||||||
Lindt & Spruengli-PC | 48 | a | 319,152 | ||||
Lonza Group | 3,275 | 1,011,475 | |||||
Nestle | 134,921 | 12,982,977 | |||||
Novartis | 95,551 | 7,802,933 | |||||
Pargesa Holding-BR | 1,815 | 142,856 | |||||
Partners Group Holding | 750 | 564,993 | |||||
Roche Holding | 30,960 | 8,161,201 | |||||
Schindler Holding | 853 | 181,156 | |||||
Schindler Holding-PC | 1,798 | 387,851 | |||||
SGS | 231 | 609,607 | |||||
Sika | 5,583 | 854,750 | |||||
Sonova Holding | 2,466 | a | 497,338 | ||||
STMicroelectronics | 30,289 | 556,294 | |||||
Straumann Holding | 457 | 368,937 | |||||
Swatch Group | 2,353 | 138,093 | |||||
Swatch Group-BR | 1,387 | 423,607 | |||||
Swiss Life Holding | 1,526 | a | 717,510 | ||||
Swiss Prime Site | 3,329 | 267,248 | |||||
Swiss Re | 13,376 | 1,287,257 | |||||
Swisscom | 1,120 | 521,776 | |||||
Temenos | 2,691 | a | 447,378 | ||||
UBS Group | 170,399 | a | 2,285,198 | ||||
Vifor Pharma | 1,991 | 260,269 | |||||
Zurich Insurance Group | 6,691 | 2,133,477 | |||||
57,337,409 | |||||||
United Arab Emirates - .0% | |||||||
NMC Health | 4,724 | 173,838 | |||||
United Kingdom - 14.6% | |||||||
3i Group | 42,753 | 596,803 | |||||
Admiral Group | 8,590 | 246,878 | |||||
Anglo American | 46,251 | 1,195,008 | |||||
Ashtead Group | 21,018 | 581,587 | |||||
Associated British Foods | 15,416 | 514,422 | |||||
AstraZeneca | 55,881 | 4,172,469 | |||||
Auto Trader Group | 40,945 | d | 301,880 | ||||
Aviva | 173,406 | 971,192 | |||||
Babcock International Group | 10,761 | 73,670 | |||||
BAE Systems | 140,678 | 906,214 | |||||
Barclays | 758,345 | 1,624,535 | |||||
Barratt Developments | 44,315 | 347,761 | |||||
Berkeley Group Holdings | 5,356 | 262,327 | |||||
BP | 884,055 | 6,444,195 | |||||
British American Tobacco | 101,196 | 3,945,592 |
26
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
United Kingdom - 14.6% (continued) | |||||||
British Land | 39,207 | 303,688 | |||||
BT Group | 370,750 | 1,107,361 | |||||
Bunzl | 14,940 | 449,834 | |||||
Burberry Group | 18,466 | 485,687 | |||||
Centrica | 244,779 | 339,141 | |||||
CNH Industrial | 44,702 | 484,732 | |||||
Coca-Cola European Partners | 9,689 | 519,233 | |||||
Compass Group | 70,216 | 1,595,920 | |||||
ConvaTec Group | 55,965 | d | 101,112 | ||||
Croda International | 5,488 | 370,780 | |||||
Diageo | 107,056 | 4,513,999 | |||||
Direct Line Insurance Group | 60,342 | 259,192 | |||||
easyJet | 6,768 | 102,684 | |||||
Experian | 40,385 | 1,171,730 | |||||
Fiat Chrysler Automobiles | 47,502 | 731,723 | |||||
G4S | 66,375 | 187,128 | |||||
GlaxoSmithKline | 218,835 | 4,489,867 | |||||
Hammerson | 32,066 | 134,599 | |||||
Hargreaves Lansdown | 12,745 | 375,102 | |||||
HSBC Holdings | 882,914 | 7,680,455 | |||||
Imperial Brands | 41,847 | 1,329,288 | |||||
Informa | 55,462 | 563,392 | |||||
InterContinental Hotels Group | 7,585 | 491,377 | |||||
Intertek Group | 6,999 | 488,278 | |||||
ITV | 158,945 | 283,227 | |||||
J Sainsbury | 76,796 | 222,816 | |||||
John Wood Group | 29,942 | 183,704 | |||||
Johnson Matthey | 8,418 | 366,305 | |||||
Kingfisher | 96,525 | 332,419 | |||||
Land Securities Group | 32,207 | 387,641 | |||||
Legal & General Group | 262,269 | 951,441 | |||||
Lloyds Banking Group | 3,142,903 | 2,564,335 | |||||
London Stock Exchange Group | 13,935 | 911,106 | |||||
Marks & Spencer Group | 74,042 | 276,039 | |||||
Meggitt | 35,566 | 252,482 | |||||
Melrose Industries | 213,737 | 563,558 | |||||
Merlin Entertainments | 31,172 | d | 148,854 | ||||
Micro Focus International | 15,454 | 390,500 | |||||
Mondi | 15,694 | 343,914 | |||||
National Grid | 150,470 | 1,640,536 | |||||
Next | 6,062 | 455,794 | |||||
Pearson | 34,881 | 377,615 | |||||
Persimmon | 13,934 | 406,280 |
27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 96.1% (continued) | |||||||
United Kingdom - 14.6% (continued) | |||||||
Prudential | 114,490 | 2,590,268 | |||||
Reckitt Benckiser Group | 29,699 | 2,399,943 | |||||
RELX | 86,251 | 1,978,370 | |||||
Rio Tinto | 16,310 | 1,096,539 | |||||
Rio Tinto | 51,017 | 2,970,393 | |||||
Rolls-Royce Holdings | 5,261,171 | a | 6,861 | ||||
Rolls-Royce Holdings | 74,101 | a | 883,757 | ||||
Royal Bank of Scotland Group | 214,878 | 671,361 | |||||
Royal Mail | 38,434 | 126,698 | |||||
RSA Insurance Group | 46,504 | 328,675 | |||||
Sage Group | 48,291 | 456,795 | |||||
Schroders | 5,696 | 235,232 | |||||
Segro | 47,905 | 423,784 | |||||
Severn Trent | 10,397 | 276,035 | |||||
Smith & Nephew | 38,977 | 752,479 | |||||
Smiths Group | 17,284 | 343,146 | |||||
SSE | 45,352 | 676,846 | |||||
St James's Place | 23,189 | 339,124 | |||||
Standard Chartered | 123,626 | 1,128,458 | |||||
Standard Life Aberdeen | 110,853 | 403,156 | |||||
Taylor Wimpey | 143,266 | 338,889 | |||||
Tesco | 429,858 | 1,400,216 | |||||
Unilever | 49,021 | 2,977,232 | |||||
Unilever-CVA | 68,087 | 4,120,730 | |||||
United Utilities Group | 29,785 | 321,903 | |||||
Vodafone Group | 1,181,150 | 2,187,112 | |||||
Weir Group | 10,884 | 235,528 | |||||
Whitbread | 7,950 | 462,359 | |||||
Wm Morrison Supermarkets | 96,648 | 272,097 | |||||
WPP | 56,302 | 702,168 | |||||
92,625,555 | |||||||
United States - .1% | |||||||
Carnival | 7,531 | 396,254 | |||||
Total Common Stocks(cost $475,351,979) | 611,686,007 | ||||||
Preferred Dividend | |||||||
Preferred Stocks - .5% | |||||||
Germany - .5% | |||||||
Bayerische Motoren Werke | 6.61 | 2,325 | 171,588 | ||||
Fuchs Petrolub | 2.67 | 2,998 | 130,400 | ||||
Henkel & Co. | 2.11 | 7,935 | 803,127 | ||||
Porsche Automobil Holding | 2.92 | 6,644 | 460,826 |
28
Description | Preferred Dividend | Shares | Value ($) | ||||
Preferred Stocks - .5% (continued) | |||||||
Germany - .5% (continued) | |||||||
Sartorius | .38 | 1,567 | 286,832 | ||||
Volkswagen | 2.62 | 8,144 | 1,416,183 | ||||
Total Preferred Stocks(cost $2,362,775) | 3,268,956 | ||||||
Principal Amount ($) | |||||||
Short-Term Investments - .2% | |||||||
U.S. Treasury Bills - .2% | |||||||
2.44%, 6/6/19 | 935,000 | f,g | 932,772 | ||||
1-Day | Shares | ||||||
Investment Companies - 2.4% | |||||||
Registered Investment Companies - 2.4% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 15,045,216 | h | 15,045,216 | |||
Investment of Cash Collateral for Securities Loaned - .1% | |||||||
Registered Investment Companies - .1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 786,230 | h | 786,230 | |||
Total Investments(cost $494,478,957) | 99.3% | 631,719,181 | |||||
Cash and Receivables (Net) | .7% | 4,659,636 | |||||
Net Assets | 100.0% | 636,378,817 |
ADR—American Depository Receipt
BR—Bearer Certificate
CDI—Chess Depository Interest
CVA—Company Voluntary Arrangement
PC—Participation Certificate
RSP—Risparmio (Savings) Shares
SDR—Swedish Depository Receipts
a Non-income producing security.
b Investment in real estate investment trust within the United States.
c Security, or portion thereof, on loan. At April 30, 2019, the value of the fund’s securities on loan was $1,953,184 and the value of the collateral held by the fund was $2,077,923, consisting of cash collateral of $786,230 and U.S. Government & Agency securities valued at $1,291,693.
d Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2019, these securities were valued at $4,751,157 or .75% of net assets.
e The fund held Level 3 securities at April 30, 2019, these securities were valued at $ or .0% of net assets.
f Held by a counterparty for open exchange traded derivative contracts.
g Security is a discount security. Income is recognized through the accretion of discount.
h Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited)† | Value (%) |
Banks | 10.2 |
Capital Goods | 9.8 |
Pharmaceuticals Biotechnology & Life Sciences | 8.3 |
Materials | 7.2 |
Food, Beverage & Tobacco | 6.8 |
Energy | 5.5 |
Insurance | 5.5 |
Automobiles & Components | 4.2 |
Consumer Durables & Apparel | 3.8 |
Telecommunication Services | 3.7 |
Real Estate | 3.5 |
Utilities | 3.4 |
Household & Personal Products | 3.1 |
Diversified Financials | 3.1 |
Investment Companies | 2.5 |
Technology Hardware & Equipment | 2.5 |
Transportation | 2.5 |
Software & Services | 2.4 |
Health Care Equipment & Services | 2.1 |
Commercial & Professional Services | 1.8 |
Media & Entertainment | 1.5 |
Retailing | 1.5 |
Semiconductors & Semiconductor Equipment | 1.5 |
Consumer Services | 1.4 |
Food & Staples Retailing | 1.3 |
U.S. Treasury Bills | .2 |
99.3 |
† Based on net assets.
See notes to financial statements.
30
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS(Unaudited)
Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Registered Investment Companies: | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 9,952,974 | 69,767,244 | 64,675,002 | 15,045,216 | 2.4 | 150,207 |
Investment of Cash Collateral for Securities Loaned: | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | - | 19,879,298 | 19,093,068 | 786,230 | .1 | - |
Total | 9,952,974 | 89,646,542 | 83,768,070 | 15,831,446 | 2.5 | 150,207 |
See notes to financial statements.
31
STATEMENT OF FUTURES
April 30, 2019 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
MSCI EAFE Index | 197 | 6/19 | 18,656,233 | 18,882,450 | 226,217 | |
Gross Unrealized Appreciation | 226,217 |
See notes to financial statements.
32
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTSApril 30, 2019 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation ($) |
Goldman Sachs | |||||
Japanese Yen | 146,284,754 | United States Dollar | 1,312,708 | 5/8/19 | 1,374 |
Societe Generale | |||||
Japanese Yen | 2,601,020 | United States Dollar | 23,339 | 5/8/19 | 26 |
Gross Unrealized Appreciation | 1,400 |
See notes to financial statements.
33
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 478,647,511 |
| 615,887,735 |
| ||
Affiliated issuers |
| 15,831,446 |
| 15,831,446 |
| |
Cash |
|
|
|
| 78,678 |
|
Cash denominated in foreign currency |
|
| 235,107 |
| 236,135 |
|
Dividends, interest and securities lending income receivable |
| 2,752,793 |
| |||
Tax reclaim receivable |
| 2,112,059 |
| |||
Receivable for shares of Common Stock subscribed |
| 2,092,356 |
| |||
Receivable for futures variation margin—Note 4 |
| 3,134 |
| |||
Unrealized appreciation on forward foreign |
| 1,400 |
| |||
Cash collateral held by broker—Note 4 |
| 36 |
| |||
|
|
|
|
| 638,995,772 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 251,624 |
| |||
Payable for investment securities purchased |
| 1,333,385 |
| |||
Liability for securities on loan—Note 1(c) |
| 786,230 |
| |||
Payable for shares of Common Stock redeemed |
| 152,264 |
| |||
Unrealized depreciation on foreign currency transactions |
| 84,746 |
| |||
Directors fees and expenses payable |
| 932 |
| |||
Accrued expenses |
|
|
|
| 7,774 |
|
|
|
|
|
| 2,616,955 |
|
Net Assets ($) |
|
| 636,378,817 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 565,854,585 |
|
Total distributable earnings (loss) |
|
|
|
| 70,524,232 |
|
Net Assets ($) |
|
| 636,378,817 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 370,416,683 | 265,962,134 |
|
Shares Outstanding | 21,793,973 | 15,657,296 |
|
Net Asset Value Per Share ($) | 17.00 | 16.99 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
34
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $944,685 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 10,066,254 |
| ||
Affiliated issuers |
|
| 150,207 |
| ||
Interest |
|
| 9,636 |
| ||
Income from securities lending—Note 1(c) |
|
| 5,879 |
| ||
Total Income |
|
| 10,231,976 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,002,773 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 424,833 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 23,926 |
| ||
Loan commitment fees—Note 2 |
|
| 13,962 |
| ||
Total Expenses |
|
| 1,465,494 |
| ||
Less—Directors’ fees reimbursed by |
|
| (23,926) |
| ||
Net Expenses |
|
| 1,441,568 |
| ||
Investment Income—Net |
|
| 8,790,408 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 357,750 |
| ||||
Net realized gain (loss) on futures | 807,612 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (1,421) |
| ||||
Net Realized Gain (Loss) |
|
| 1,163,941 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 33,589,045 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 334,633 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 1,401 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 33,925,079 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 35,089,020 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 43,879,428 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
35
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 8,790,408 |
|
|
| 14,295,616 |
| |
Net realized gain (loss) on investments |
| 1,163,941 |
|
|
| (3,038,201) |
| ||
Net unrealized appreciation (depreciation) |
| 33,925,079 |
|
|
| (54,247,558) |
| ||
Net Increase (Decrease) in Net Assets | 43,879,428 |
|
|
| (42,990,143) |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (8,364,440) |
|
|
| (9,690,563) |
| |
Class I |
|
| (5,935,815) |
|
|
| (4,110,609) |
| |
Total Distributions |
|
| (14,300,255) |
|
|
| (13,801,172) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 65,554,374 |
|
|
| 129,568,834 |
| |
Class I |
|
| 91,681,004 |
|
|
| 113,058,264 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 8,283,721 |
|
|
| 9,622,337 |
| |
Class I |
|
| 2,613,946 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (58,459,388) |
|
|
| (222,344,569) |
| |
Class I |
|
| (56,040,069) |
|
|
| (31,706,560) |
| |
Increase (Decrease) in Net Assets | 53,633,588 |
|
|
| (1,801,694) |
| |||
Total Increase (Decrease) in Net Assets | 83,212,761 |
|
|
| (58,593,009) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 553,166,056 |
|
|
| 611,759,065 |
| |
End of Period |
|
| 636,378,817 |
|
|
| 553,166,056 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 4,066,202 |
|
|
| 7,291,243 |
| |
Shares issued for distributions reinvested |
|
| 557,451 |
|
|
| 539,671 |
| |
Shares redeemed |
|
| (3,651,630) |
|
|
| (12,492,543) |
| |
Net Increase (Decrease) in Shares Outstanding | 972,023 |
|
|
| (4,661,629) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,790,501 |
|
|
| 6,270,089 |
| |
Shares issued for distributions reinvested |
|
| 176,142 |
|
|
| 74,652 |
| |
Shares redeemed |
|
| (3,533,151) |
|
|
| (1,800,643) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,433,492 |
|
|
| 4,544,098 |
| |||
|
|
|
|
|
|
|
|
|
|
aDuring the period ended April 30, 2019, 2,842 Class I shares representing $48,283 were exchanged for 2,839 Investor shares and during the period ended October 31, 2018, 844,229 Investor shares representing $15,382,638 were exchanged for 844,719 Class I shares. | |||||||||
See notes to financial statements. |
36
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2019 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2018 | 2017 | 2016a | 2015 | 2014 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.24 | 17.90 | 15.01 | 15.86 | 16.54 | 17.12 |
Investment Operations: | ||||||
Investment income—netb | .24 | .40 | .35 | .36 | .35 | .47 |
Net realized and unrealized | .92 | (1.67) | 2.96 | (.89) | (.60) | (.49) |
Total from Investment Operations | 1.16 | (1.27) | 3.31 | (.53) | (.25) | (.02) |
Distributions: | ||||||
Dividends from | (.40) | (.39) | (.42) | (.32) | (.43) | (.37) |
Dividends from net realized | - | - | - | - | - | (.19) |
Total Distributions | (.40) | (.39) | (.42) | (.32) | (.43) | (.56) |
Net asset value, end of period | 17.00 | 16.24 | 17.90 | 15.01 | 15.86 | 16.54 |
Total Return (%) | 7.50c | (7.30) | 22.71 | (3.37) | (1.46) | (.13) |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .61d | .61 | .61 | .61 | .61 | .61 |
Ratio of net expenses | .60d | .60 | .60 | .60 | .60 | .60 |
Ratio of net investment income | 2.95d | 2.24 | 2.20 | 2.43 | 2.14 | 2.76 |
Portfolio Turnover Rate | 1.03c | 7.48 | 9.18 | 5.53 | 8.44 | 10.26 |
Net Assets, end of period ($ x 1,000) | 370,417 | 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.
c Not annualized.
d Annualized.
See notes to financial statements.
37
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||
April 30, 2019 | Year Ended October 31, | ||||
Class I Shares | (Unaudited) | 2018 | 2017 | 2016a | |
Per Share Data ($): | |||||
Net asset value, beginning of period | 16.26 | 17.92 | 15.02 | 15.15 | |
Investment Operations: | |||||
Investment income—netb | .26 | .46 | .42 | .02 | |
Net realized and unrealized | .92 | (1.69) | 2.94 | (.15) | |
Total from Investment Operations | 1.18 | (1.23) | 3.36 | (.13) | |
Distributions: | |||||
Dividends from | (.45) | (.43) | (.46) | - | |
Net asset value, end of period | 16.99 | 16.26 | 17.92 | 15.02 | |
Total Return (%) | 7.64c | (7.06) | 23.04 | (.86)c | |
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .36d | .36 | .36 | .40d | |
Ratio of net expenses | .35d | .35 | .35 | .39d | |
Ratio of net investment income | 3.24d | 2.55 | 2.48 | 1.95d | |
Portfolio Turnover Rate | 1.03c | 7.48 | 9.18 | 5.53 | |
Net Assets, end of period ($ x 1,000) | 265,962 | 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.
38
NOTES TO FINANCIAL STATEMENTS(Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon International Stock Index Fund (the “fund”) is a separate non-diversified series of BNY Mellon 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®). BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
Effective June 3, 2019, the fund changed its name from Dreyfus International Stock Index Fund to BNY Mellon International Stock Index Fund and the Company changed its name from Dreyfus Index Funds, Inc. to BNY Mellon Index Funds, Inc. In addition, The Dreyfus Corporation, the fund’s investment adviser and administrator, changed its name to “BNY Mellon Investment Adviser, Inc.”, MBSC Securities Corporation, the fund’s distributor, changed its name to “BNY Mellon Securities Corporation” and Dreyfus Transfer, Inc., the fund’s transfer agent, changed its name to “BNY Mellon Transfer, Inc.”
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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.
39
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Companyenters 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.
40
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 oversight 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.
41
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
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 and are generally categorized within Level 1 of the fair value hierarchy. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2019in 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 | 611,679,146 | 6,861† | 0 | 611,686,007 |
Equity Securities - Preferred Stocks | 3,268,956 | - | - | 3,268,956 |
Investment Companies | 15,831,446 | - | - | 15,831,446 |
U.S. Treasury | - | 932,772 | - | 932,772 |
Other Financial Instruments: | ||||
Futures†† | 226,217 | - | - | 226,217 |
Forward Foreign Currency | - | 1,400 | - | 1,400 |
† 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 April 30, 2019, the amount of securities transferred between levels equals fair value of exchange traded equity securities reported as Level 2 in the table above. At October 31, 2018, $532,825,832 of exchange traded equity securities were classified within Level 2 of the fair value hierarchy pursuant to the fund’s fair valuation procedures. It is the fund's policy to recognize transfers between levels at the end of the reporting period.
42
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Equity Securities— |
Balance as of 10/31/2018 | 0 |
Realized gain (loss) | (37) |
Change in unrealized appreciation (depreciation) | 4,074 |
Purchases/Issuances | - |
Sales/Dispositions | (4,037) |
Transfers into Level 3† | 0 |
Transfers out of Level 3† | 0 |
Balance as of 4/30/2019†† | 0 |
The amount of total gains (losses) for the period included in | - |
† Transfers into or out of Level 3 represent the value at the date of transfer. The transfer into Level 3 for the current period was due to the lack of observable inputs following the issuer's default. The transfer out of Level 3 for the current period was due to the resumption of trading of a security.
†† Securities deemed as Level 3 have been determined to be worthless by management 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.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, the
43
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
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 the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2019, The Bank of New York Mellon earned $1,470 from lending portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Adviser 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 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
44
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 April 30, 2019, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2019, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $40,095,256 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-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 year ended October 31, 2018 was as follows: ordinary income $13,801,172. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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 fiscal years 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 long-term open-end funds managed by the Adviser in a $1.030 billion unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), a subsidiary of BNY Mellon and an affiliate of the Adviser, each to be utilized primarily for temporary or emergency purposes, including the
45
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $830 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is in amount equal to $200 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2019, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a)Pursuant to a management agreement with the Adviser, 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, the Adviser 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, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended April 30, 2019, fees reimbursed by the Adviser amounted to $23,926.
(b)Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2019,the fund was charged $424,833 pursuant to the Shareholder Services Plan.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees $180,558 and Shareholder Services Plan fees $75,374, which are offset against an expense reimbursement currently in effect in the amount of $4,308.
46
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures and forward contracts, during the period ended April 30, 2019, amounted to $47,622,997 and $5,801,718, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its over-the-counter (“OTC”) derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2019 is discussed below.
Futures:In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk,as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2019, 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
47
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2019, are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2019 is shown below:
|
| Derivative |
|
|
| Derivative |
|
Equity risk | 226,217 | 1 | Equity risk | - |
| ||
Foreign exchange risk | 1,400 | 2 | Foreign exchange risk | - |
| ||
Gross fair value of | 227,617 |
|
|
| - |
| |
|
|
|
|
|
|
| |
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. |
48
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2019 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| ||||||||
Underlying | Futures | 1 | Forward | 2 | Total |
| |||
Equity | 807,612 |
| - |
| 807,612 |
|
|
| |
Foreign | - |
| (1,421) |
| (1,421) |
|
|
| |
Total | 807,612 |
| (1,421) |
| 806,191 |
|
|
| |
|
|
|
|
|
|
|
|
| |
Change in unrealized appreciation (depreciation) |
| ||||||||
Underlying | Futures | 3 | Forward | 4 | Total | 4 |
| ||
Equity | 334,633 |
| - |
| 334,633 |
|
|
| |
Foreign | - |
| 1,401 |
| 1,401 |
|
|
| |
Total | 334,633 |
| 1,401 |
| 336,034 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
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 derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2019, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures |
| 226,217 |
| - |
|
Forward contracts |
| 1,400 |
| - |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Statement of Assets and Liabilities |
| 227,617 |
| - |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| (226,217) |
| - |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 1,400 |
| - |
|
49
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
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 April 30, 2019:†
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Goldman Sachs | 1,374 |
| - | - |
| 1,374 |
Societe Generale | 26 |
| - | - |
| 26 |
Total | 1,400 |
| - | - |
| 1,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Absent 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. | ||||||
†See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding duringthe period ended April 30, 2019:
|
| Average Market Value ($) |
Equity futures |
| 16,470,451 |
Forward contracts |
| 191,711 |
|
|
|
At April 30, 2019, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $137,467,841, consisting of $180,279,208 gross unrealized appreciation and $42,811,367 gross unrealized depreciation.
At April 30, 2019, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
50
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 12-13, 2019, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to
51
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds. The Board discussed with representatives of the Adviser and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was at or below the Performance Group median for all periods and below the Performance Universe median for all periods, except the one- and two-year periods when it was above the median. The Board considered the relative proximity of the fund’s performance to the Performance Group and/or Performance Universe median in certain periods when performance was below median. The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by the Adviser that are in the same Lipper category as the fund and (2) paid to the Adviser, or the primary employer of the fund’s primary portfolio manager(s) that is affiliated with the Adviser, for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by the Adviser. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
52
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by the Adviser, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser are adequate and appropriate.
· While the Board noted the fund’s improved performance relative to the Performance Universe in the most recent one- and two-year periods, the Board expressed some concern about relative performance and agreed to closely monitor performance.
· The Board concluded that the fee paid to the Adviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates, of the Adviser and the services
53
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
provided to the fund by the Adviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
54
NOTES
55
NOTES
56
NOTES
57
BNY Mellon International Stock Index Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbols: | Investor: DIISX Class I: DINIX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mailSend your request toinfo@bnymellon.com
InternetInformation can be viewed online or downloaded atwww.bnymellonim.com/us
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-PORT. The fund’s Forms N-PORT are available on the SEC’s website atwww.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 atwww.bnymellonim.com/us and on the SEC’s website atwww.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2019 BNY Mellon Securities Corporation |
BNY Mellon S&P 500 Index Fund
SEMIANNUAL REPORT April 30, 2019 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.bnymellonim.com/us and sign up for 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 BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
BNY Mellon Investment Adviser, Inc. | |
With Those of Other Funds | |
in Affiliated Issuers | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this semiannual report for BNY Mellon S&P 500 Index Fund (formerly Dreyfus S&P 500 Index Fund), covering the six-month period from November 1, 2018 through April 30, 2019. 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.
The U.S. and many other developed economies continued their pattern of moderate growth during the six months. Equity markets experienced a sharp sell-off in the fourth quarter of 2018, triggered in part by interest-rate increases, trade tensions and slowing global growth. The sell-off partially reduced prior gains on U.S. indices, while losses deepened in international developed and emerging markets. Global equities continued their general decline through the end of 2018. However, comments made in January by the U.S. Federal Reserve (the “Fed”) that it might slow the pace of interest-rate increases in 2019 helped stimulate a rebound across equity markets. In a similar stance, other central banks pledged to continue policies that support economic growth, helping to further ease investor concerns. Talk of a potential trade agreement between the U.S. and China also helped to buoy equity markets, which continued their upward trajectory through the end of the period.
Equity volatility and global growth concerns triggered a flight to quality in many areas of the bond market, raising Treasury prices and flattening the yield curve. Corporate bonds, however, were hindered somewhat by concerns about economic growth, resulting in widening spreads and lower prices through November. After encouraging comments by the Fed in January, bond markets rebounded, and most U.S. indices continued to post positive returns through the end of April.
We remain positive on the near-term economic outlook for the U.S. but will monitor relevant data for any signs of a change. As always, we encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
June 3, 2019
2
DISCUSSION OF FUND PERFORMANCE(Unaudited)
For the period from November 1, 2018 through April 30, 2019, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2019, BNY Mellon S&P 500 Index Fund (formerly Dreyfus S&P 500 Index Fund) produced a total return of 9.48%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned 9.75% for the same period.2,3
U.S. equities recovered from fourth-quarter 2018 volatility to advance during the reporting period, bolstered by strong economic fundamentals and supportive central bank policy. 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 $8.2 billion, to the extent consistent with market conditions.
A Tale of Two Markets
Markets delivered two drastically different periods of behavior over the six-month reporting period, but gained ground over the period as a whole. Through the fourth quarter of 2018, many equity markets felt pressure from slowing global growth, escalating trade issues between the U.S. and China, Brexit difficulties, and additional geopolitical issues elsewhere in Europe and the emerging markets. Renewed articulation of hawkish narratives by U.S. Federal Reserve (“Fed”) officials alarmed investors and stoked volatility. In December, equities reached new lows for the year, as economic and political news continued to unnerve investors. Investors also feared the European Central Bank (ECB) would proceed with its plan to conclude stimulus measures in January, despite moderating growth rates.
January marked a turnaround in the markets. Talk of a potential trade deal between the U.S. and China helped fuel investor optimism, as equity prices recovered. The ECB announced it would provide additional stimulus to support the Eurozone economy. China also announced plans to stoke its slowing economic growth rate. At its first meeting of the year, the Fed emphasized its focus on data as a primary driver for rate-hike decisions, and its ability to suspend additional rate increases when the data is not supportive. These sentiments reassured investors of central bankers’ commitments to support flagging growth. The rebound continued through the month of January, and equity markets maintained an upward trajectory through the remainder of the reporting period.
Information Technology Stocks Led the Market
The information technology sector led the index over the reporting period. Money that exited the markets during the fourth-quarter volatility came back in early 2019 and went into the fastest-growing companies in the software, cloud computing, online advertising, and payment services industries. Companies that create products which assist in automation saw strong returns during the period, particularly within the information technology sector. In the face of slowing economic growth, companies are looking for ways to increase their top-line revenue, and investors are rewarding
3
DISCUSSION OF FUND PERFORMANCE(Unaudited) (continued)
organizations that can accomplish this. Consumer discretionary stocks also posted high returns. Some workers are enjoying increases in pay that exceed the rate of inflation, which is supportive of strong consumer spending. Fast-food businesses which employ streamlined ordering software and improved loyalty programs led the sector. Home-improvement retailers, such as Lowe’s and Home Depot, also performed well during the period as consumers made upgrades to their homes. The industrials sector was also a leading contributor during the six months, particularly within the machinery and aerospace and defense industries. Optimism towards a possible resolution of to the U.S.-China trade disagreements helped boost returns, as did increased demand for these goods from a stimulated Chinese economy.
Laggards for the reporting period included the energy sector. Oil prices were volatile during the period, hurting companies involved with shale oil. Organizations that make equipment for drilling, as well as the drilling companies themselves, were negatively affected. Large increases in production, coupled with a new drilling technique which did not perform as expected, caused a difficult environment. Investors are also concerned over future regulatory actions that may be passed by large importers, such as China and India, which would restrict the use of fossil fuels. The health care and consumer staples sectors also saw headwinds during the period. Health care providers and prescription drug companies suffered due to uncertainty surrounding the future of health care regulation. Tobacco was the biggest weight on consumer staples performance, as cigarette sales continue to decline dramatically in the U.S. In addition, the Food and Drug Administration is investigating the link between electronic cigarettes and seizures, and some U.S. cities and other countries are looking to ban the battery-powered smoking devices.
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 while the U.S. economic picture remains supported by a strong labor market and sound corporate balance sheets, trade frictions and other geopolitical issues may have the potential to impact the markets. As always, we continue to monitor factors which affect the fund’s investments.
June 3, 2019
¹ Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
² Source: Lipper Inc. — The S&P 500® Index is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. Investors cannot invest directly in any index.
³ “Standard & Poor’s®,” “S&P®,” “Standard & Poor’s® 500,” and “S&P 500®” are registered trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use on behalf of the fund. The fund is not sponsored, managed, advised, sold, or promoted by Standard & Poor’s and its affiliates, and Standard & Poor’s and its affiliates make no representation regarding the advisability of investing in the fund.
Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
4
UNDERSTANDING YOUR FUND’S EXPENSES(Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon S&P 500 Index Fund from November 1, 2018 to April 30, 2019. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||
assuming actual returns for the six months ended April 30, 2019 | |||||||||
Expenses paid per $1,000† | $2.60 | ||||||||
Ending value (after expenses) | $1,094.80 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS(Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2019 | |||||||||||||||
|
|
| |||||||||||||
Expenses paid per $1,000† | $2.51 | ||||||||||||||
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2019 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% | |||||||
Automobiles & Components - .5% | |||||||
Aptiv | 26,571 | 2,277,135 | |||||
BorgWarner | 20,525 | 857,329 | |||||
Ford Motor | 386,101 | 4,034,755 | |||||
General Motors | 129,264 | 5,034,833 | |||||
Harley-Davidson | 16,557 | a | 616,417 | ||||
12,820,469 | |||||||
Banks - 5.7% | |||||||
Bank of America | 889,706 | 27,207,209 | |||||
BB&T | 75,867 | a | 3,884,390 | ||||
Citigroup | 233,528 | 16,510,430 | |||||
Citizens Financial Group | 45,934 | 1,662,811 | |||||
Comerica | 16,057 | 1,261,920 | |||||
Fifth Third Bancorp | 76,137 | 2,194,268 | |||||
First Republic Bank | 16,086 | 1,699,003 | |||||
Huntington Bancshares | 104,176 | 1,450,130 | |||||
JPMorgan Chase & Co. | 324,262 | 37,630,605 | |||||
KeyCorp | 102,366 | 1,796,523 | |||||
M&T Bank | 13,851 | 2,355,640 | |||||
People's United Financial | 34,468 | a | 595,952 | ||||
PNC Financial Services Group | 45,236 | 6,194,165 | |||||
Regions Financial | 101,355 | 1,574,043 | |||||
SunTrust Banks | 44,310 | 2,901,419 | |||||
SVB Financial Group | 5,221 | b | 1,314,230 | ||||
U.S. Bancorp | 149,332 | 7,962,382 | |||||
Wells Fargo & Co. | 406,409 | 19,674,260 | |||||
Zions Bancorporation | 18,612 | 918,130 | |||||
138,787,510 | |||||||
Capital Goods - 6.6% | |||||||
3M | 57,258 | 10,850,964 | |||||
A.O. Smith | 13,780 | 724,415 | |||||
Allegion | 9,305 | a | 923,335 | ||||
AMETEK | 22,850 | 2,014,684 | |||||
Arconic | 40,068 | 860,661 | |||||
Boeing | 51,940 | 19,617,219 | |||||
Caterpillar | 57,085 | 7,958,791 | |||||
Cummins | 14,403 | 2,395,075 | |||||
Deere & Co. | 31,285 | 5,181,735 | |||||
Dover | 14,159 | 1,388,148 | |||||
Eaton | 42,052 | 3,482,747 | |||||
Emerson Electric | 60,928 | 4,325,279 | |||||
Fastenal | 28,381 | a | 2,002,280 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Capital Goods - 6.6% (continued) | |||||||
Flowserve | 13,730 | 673,182 | |||||
Fluor | 14,132 | 561,464 | |||||
Fortive | 29,075 | 2,510,335 | |||||
Fortune Brands Home & Security | 13,415 | 708,044 | |||||
General Dynamics | 26,877 | 4,803,457 | |||||
General Electric | 860,333 | 8,749,587 | |||||
Harris | 11,817 | 1,991,164 | |||||
Honeywell International | 72,467 | 12,582,445 | |||||
Huntington Ingalls Industries | 4,327 | 963,104 | |||||
Illinois Tool Works | 30,034 | 4,674,191 | |||||
Ingersoll-Rand | 24,205 | 2,967,775 | |||||
Jacobs Engineering Group | 11,368 | 886,022 | |||||
Johnson Controls International | 91,874 | 3,445,275 | |||||
L3 Technologies | 7,820 | 1,709,296 | |||||
Lockheed Martin | 24,146 | 8,048,586 | |||||
Masco | 29,396 | 1,148,208 | |||||
Northrop Grumman | 16,832 | 4,879,765 | |||||
PACCAR | 34,729 | 2,489,027 | |||||
Parker-Hannifin | 13,213 | 2,392,610 | |||||
Pentair | 16,457 | 641,658 | |||||
Quanta Services | 14,944 | 606,726 | |||||
Raytheon | 27,764 | 4,930,609 | |||||
Rockwell Automation | 12,227 | 2,209,541 | |||||
Roper Technologies | 10,208 | 3,671,818 | |||||
Snap-on | 5,526 | a | 929,915 | ||||
Stanley Black & Decker | 15,189 | 2,226,707 | |||||
Textron | 23,379 | 1,239,087 | |||||
TransDigm Group | 4,797 | b | 2,314,648 | ||||
United Rentals | 8,188 | b | 1,153,853 | ||||
United Technologies | 80,105 | 11,423,774 | |||||
W.W. Grainger | 4,556 | a | 1,284,792 | ||||
Wabtec | 13,008 | a | 963,503 | ||||
Xylem | 17,839 | 1,487,773 | |||||
162,993,274 | |||||||
Commercial & Professional Services - .7% | |||||||
Cintas | 8,614 | 1,870,444 | |||||
Copart | 19,813 | a,b | 1,333,811 | ||||
Equifax | 11,709 | 1,474,749 | |||||
IHS Markit | 35,079 | b | 2,008,624 | ||||
Nielsen Holdings | 34,988 | 893,244 | |||||
Republic Services | 20,982 | 1,737,729 | |||||
Robert Half International | 12,029 | 746,881 | |||||
Rollins | 14,158 | a | 547,490 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Commercial & Professional Services - .7% (continued) | |||||||
Verisk Analytics | 16,205 | 2,287,174 | |||||
Waste Management | 39,025 | 4,188,943 | |||||
17,089,089 | |||||||
Consumer Durables & Apparel - 1.1% | |||||||
Capri Holdings | 14,427 | b | 635,942 | ||||
D.R. Horton | 34,157 | 1,513,497 | |||||
Garmin | 11,594 | 994,070 | |||||
Hanesbrands | 34,034 | a | 614,994 | ||||
Hasbro | 11,438 | a | 1,165,075 | ||||
Leggett & Platt | 12,353 | a | 486,214 | ||||
Lennar, Cl. A | 28,717 | 1,494,146 | |||||
Mattel | 35,321 | a,b | 430,563 | ||||
Mohawk Industries | 6,350 | b | 865,188 | ||||
Newell Brands | 41,127 | a | 591,406 | ||||
NIKE, Cl. B | 124,936 | 10,973,129 | |||||
PulteGroup | 25,983 | 817,425 | |||||
PVH | 7,671 | 989,482 | |||||
Ralph Lauren | 5,307 | 698,295 | |||||
Tapestry | 27,236 | 878,906 | |||||
Under Armour, Cl. A | 18,729 | b | 432,453 | ||||
Under Armour, Cl. C | 18,845 | a,b | 390,468 | ||||
VF | 32,413 | 3,060,111 | |||||
Whirlpool | 6,302 | 874,844 | |||||
27,906,208 | |||||||
Consumer Services - 1.9% | |||||||
Carnival | 39,518 | 2,167,957 | |||||
Chipotle Mexican Grill | 2,394 | b | 1,647,168 | ||||
Darden Restaurants | 12,379 | 1,455,770 | |||||
H&R Block | 21,576 | a | 587,083 | ||||
Hilton Worldwide Holdings | 29,366 | 2,554,548 | |||||
Marriott International, Cl. A | 27,899 | 3,805,982 | |||||
McDonald's | 75,743 | 14,964,545 | |||||
MGM Resorts International | 50,085 | 1,333,764 | |||||
Norwegian Cruise Line Holdings | 20,506 | b | 1,156,333 | ||||
Royal Caribbean Cruises | 16,564 | 2,003,250 | |||||
Starbucks | 122,889 | 9,546,018 | |||||
Wynn Resorts | 9,569 | 1,382,242 | |||||
Yum! Brands | 30,786 | 3,213,751 | |||||
45,818,411 | |||||||
Diversified Financials - 5.1% | |||||||
Affiliated Managers Group | 5,117 | 567,578 | |||||
American Express | 68,840 | 8,070,113 | |||||
Ameriprise Financial | 13,701 | 2,010,896 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Diversified Financials - 5.1% (continued) | |||||||
Bank of New York Mellon | 87,193 | 4,330,004 | |||||
Berkshire Hathaway, CI. B | 192,247 | b | 41,661,847 | ||||
BlackRock | 11,961 | 5,803,956 | |||||
Capital One Financial | 46,537 | 4,320,030 | |||||
Cboe Global Markets | 11,381 | 1,156,423 | |||||
Charles Schwab | 117,523 | 5,380,203 | |||||
CME Group | 35,335 | 6,321,431 | |||||
Discover Financial Services | 32,652 | 2,660,811 | |||||
E*TRADE Financial | 25,476 | 1,290,614 | |||||
Franklin Resources | 29,145 | a | 1,008,126 | ||||
Goldman Sachs | 34,052 | 7,011,988 | |||||
Intercontinental Exchange | 56,801 | 4,620,761 | |||||
Invesco | 38,957 | 855,885 | |||||
Jefferies Financial Group | 27,303 | 561,623 | |||||
Moody's | 16,166 | 3,178,559 | |||||
Morgan Stanley | 129,218 | 6,234,768 | |||||
MSCI | 8,404 | 1,894,094 | |||||
Nasdaq | 11,878 | 1,095,152 | |||||
Northern Trust | 21,997 | 2,167,804 | |||||
Raymond James Financial | 12,408 | 1,136,201 | |||||
S&P Global | 24,682 | 5,446,330 | |||||
State Street | 37,403 | 2,530,687 | |||||
Synchrony Financial | 64,949 | 2,251,782 | |||||
T. Rowe Price Group | 23,470 | 2,523,025 | |||||
126,090,691 | |||||||
Energy - 5.2% | |||||||
Anadarko Petroleum | 50,935 | 3,710,615 | |||||
Apache | 38,654 | a | 1,272,103 | ||||
Baker Hughes, A Ge Company | 49,682 | a | 1,193,362 | ||||
Cabot Oil & Gas | 42,243 | 1,093,671 | |||||
Chevron | 187,751 | 22,541,385 | |||||
Cimarex Energy | 9,276 | 636,890 | |||||
Concho Resources | 19,710 | 2,274,140 | |||||
ConocoPhillips | 113,309 | 7,152,064 | |||||
Devon Energy | 43,695 | 1,404,357 | |||||
Diamondback Energy | 15,016 | 1,597,552 | |||||
EOG Resources | 56,965 | 5,471,488 | |||||
Exxon Mobil | 418,827 | 33,623,432 | |||||
Halliburton | 86,790 | 2,458,761 | |||||
Helmerich & Payne | 10,896 | 637,634 | |||||
Hess | 24,198 | 1,551,576 | |||||
HollyFrontier | 16,150 | 770,840 | |||||
Kinder Morgan | 192,165 | 3,818,319 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Energy - 5.2% (continued) | |||||||
Marathon Oil | 83,885 | 1,429,400 | |||||
Marathon Petroleum | 67,650 | 4,117,855 | |||||
National Oilwell Varco | 36,373 | 950,790 | |||||
Noble Energy | 46,384 | a | 1,255,151 | ||||
Occidental Petroleum | 74,331 | 4,376,609 | |||||
ONEOK | 39,792 | 2,703,071 | |||||
Phillips 66 | 42,111 | 3,969,804 | |||||
Pioneer Natural Resources | 16,461 | 2,740,098 | |||||
Schlumberger | 136,009 | 5,804,864 | |||||
TechnipFMC | 42,701 | 1,050,018 | |||||
Valero Energy | 41,424 | 3,755,500 | |||||
Williams Cos. | 119,016 | 3,371,723 | |||||
126,733,072 | |||||||
Food & Staples Retailing - 1.4% | |||||||
Costco Wholesale | 43,530 | 10,687,921 | |||||
Kroger | 78,664 | 2,027,958 | |||||
Sysco | 46,426 | 3,266,998 | |||||
Walgreens Boots Alliance | 79,414 | 4,254,208 | |||||
Walmart | 140,123 | 14,410,249 | |||||
34,647,334 | |||||||
Food, Beverage & Tobacco - 3.9% | |||||||
Altria Group | 185,287 | 10,066,643 | |||||
Archer-Daniels-Midland | 55,785 | 2,488,011 | |||||
Brown-Forman, Cl. B | 17,576 | a | 936,625 | ||||
Campbell Soup | 18,530 | 716,926 | |||||
Coca-Cola | 380,209 | 18,653,054 | |||||
ConAgra Brands | 47,410 | 1,459,280 | |||||
Constellation Brands, Cl. A | 16,537 | 3,500,387 | |||||
General Mills | 58,066 | 2,988,657 | |||||
Hershey | 14,153 | 1,767,002 | |||||
Hormel Foods | 26,147 | a | 1,044,311 | ||||
J.M. Smucker | 11,063 | 1,356,656 | |||||
Kellogg | 24,031 | 1,449,069 | |||||
Kraft Heinz | 61,267 | 2,036,515 | |||||
Lamb Weston Holdings | 14,228 | 996,671 | |||||
McCormick & Co. | 12,202 | a | 1,878,742 | ||||
Molson Coors Brewing, Cl. B | 18,125 | 1,163,444 | |||||
Mondelez International, Cl. A | 142,890 | 7,265,956 | |||||
Monster Beverage | 38,460 | b | 2,292,216 | ||||
PepsiCo | 138,679 | 17,757,846 | |||||
Philip Morris International | 153,675 | 13,302,108 | |||||
Tyson Foods, Cl. A | 29,074 | 2,180,841 | |||||
95,300,960 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Health Care Equipment & Services - 5.9% | |||||||
Abbott Laboratories | 173,622 | 13,813,366 | |||||
ABIOMED | 4,412 | b | 1,223,933 | ||||
Align Technology | 7,204 | b | 2,338,995 | ||||
AmerisourceBergen | 15,810 | 1,181,956 | |||||
Anthem | 25,627 | 6,740,670 | |||||
Baxter International | 47,362 | 3,613,721 | |||||
Becton Dickinson and Co. | 26,578 | 6,398,388 | |||||
Boston Scientific | 136,925 | b | 5,082,656 | ||||
Cardinal Health | 30,750 | 1,497,832 | |||||
Centene | 40,216 | b | 2,073,537 | ||||
Cerner | 32,390 | b | 2,152,315 | ||||
Cigna | 37,542 | 5,963,171 | |||||
Cooper | 4,682 | 1,357,405 | |||||
CVS Health | 128,155 | 6,969,069 | |||||
Danaher | 61,966 | 8,206,777 | |||||
DaVita | 12,050 | b | 665,642 | ||||
Dentsply Sirona | 22,754 | 1,163,412 | |||||
Edwards Lifesciences | 20,370 | b | 3,586,546 | ||||
HCA Healthcare | 26,219 | 3,335,843 | |||||
Henry Schein | 15,405 | a,b | 986,844 | ||||
Hologic | 27,357 | b | 1,268,818 | ||||
Humana | 13,641 | 3,484,048 | |||||
IDEXX Laboratories | 8,727 | b | 2,024,664 | ||||
Intuitive Surgical | 11,306 | b | 5,773,183 | ||||
Laboratory Corporation of America Holdings | 9,923 | b | 1,586,886 | ||||
McKesson | 19,369 | 2,309,753 | |||||
Medtronic | 132,591 | 11,775,407 | |||||
Quest Diagnostics | 13,416 | 1,293,034 | |||||
ResMed | 13,650 | 1,426,561 | |||||
Stryker | 30,561 | 5,773,279 | |||||
Teleflex | 4,505 | 1,289,241 | |||||
UnitedHealth Group | 94,884 | 22,114,614 | |||||
Universal Health Services, Cl. B | 8,225 | 1,043,506 | |||||
Varian Medical Systems | 8,649 | b | 1,177,734 | ||||
WellCare Health Plans | 4,908 | b | 1,267,982 | ||||
Zimmer Biomet Holdings | 19,723 | 2,429,085 | |||||
144,389,873 | |||||||
Household & Personal Products - 1.8% | |||||||
Church & Dwight | 24,086 | 1,805,246 | |||||
Clorox | 12,499 | 1,996,465 | |||||
Colgate-Palmolive | 84,452 | 6,147,261 | |||||
Coty, CI. A | 63,146 | a | 683,240 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Household & Personal Products - 1.8% (continued) | |||||||
Estee Lauder, Cl. A | 21,944 | 3,770,199 | |||||
Kimberly-Clark | 33,772 | 4,335,649 | |||||
Procter & Gamble | 247,196 | 26,321,430 | |||||
45,059,490 | |||||||
Insurance - 2.4% | |||||||
Aflac | 75,583 | 3,807,872 | |||||
Allstate | 33,013 | 3,270,268 | |||||
American International Group | 86,251 | 4,102,960 | |||||
Aon | 24,024 | 4,327,683 | |||||
Arthur J. Gallagher & Co. | 18,115 | 1,514,776 | |||||
Assurant | 5,167 | 490,865 | |||||
Chubb | 45,117 | 6,550,988 | |||||
Cincinnati Financial | 14,261 | 1,371,623 | |||||
Everest Re Group | 3,833 | 902,672 | |||||
Hartford Financial Services Group | 34,888 | 1,824,991 | |||||
Lincoln National | 20,930 | 1,396,450 | |||||
Loews | 26,353 | 1,351,645 | |||||
Marsh & McLennan Cos. | 49,882 | 4,703,374 | |||||
MetLife | 95,131 | 4,388,393 | |||||
Principal Financial Group | 26,724 | 1,527,544 | |||||
Progressive | 57,581 | 4,499,955 | |||||
Prudential Financial | 40,540 | 4,285,483 | |||||
Torchmark | 10,262 | 899,567 | |||||
Travelers | 25,993 | 3,736,494 | |||||
Unum Group | 21,813 | 805,336 | |||||
Willis Towers Watson | 13,148 | 2,423,702 | |||||
58,182,641 | |||||||
Materials - 2.6% | |||||||
Air Products & Chemicals | 21,642 | 4,453,707 | |||||
Albemarle | 10,173 | a | 763,585 | ||||
Avery Dennison | 8,751 | 968,298 | |||||
Ball | 33,144 | 1,986,651 | |||||
Celanese | 13,148 | 1,418,538 | |||||
CF Industries Holdings | 23,050 | 1,032,179 | |||||
Dow | 74,435 | 4,222,698 | |||||
DowDuPont | 223,307 | 8,586,154 | |||||
Eastman Chemical | 13,875 | 1,094,460 | |||||
Ecolab | 24,700 | 4,546,776 | |||||
FMC | 13,426 | 1,061,460 | |||||
Freeport-McMoRan | 142,493 | 1,754,089 | |||||
International Flavors & Fragrances | 9,732 | a | 1,340,972 | ||||
International Paper | 40,638 | 1,902,265 | |||||
Linde | 54,473 | 9,819,303 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Materials - 2.6% (continued) | |||||||
LyondellBasell Industries, Cl. A | 30,296 | 2,673,016 | |||||
Martin Marietta Materials | 6,106 | 1,354,921 | |||||
Mosaic | 33,374 | 871,395 | |||||
Newmont Goldcorp | 77,475 | a | 2,406,373 | ||||
Nucor | 31,379 | 1,790,800 | |||||
Packaging Corporation of America | 8,746 | 867,253 | |||||
PPG Industries | 23,412 | 2,750,910 | |||||
Sealed Air | 14,816 | 690,722 | |||||
Sherwin-Williams | 8,005 | 3,640,914 | |||||
Vulcan Materials | 12,790 | 1,612,947 | |||||
WestRock | 24,508 | 940,617 | |||||
64,551,003 | |||||||
Media & Entertainment - 8.3% | |||||||
Activision Blizzard | 74,385 | 3,586,101 | |||||
Alphabet, Cl. A | 29,591 | b | 35,478,425 | ||||
Alphabet, Cl. C | 30,389 | b | 36,116,719 | ||||
CBS, Cl. B | 34,222 | 1,754,562 | |||||
Charter Communications, Cl. A | 17,191 | b | 6,381,127 | ||||
Comcast, Cl. A | 446,606 | 19,440,759 | |||||
Discovery, Cl. A | 14,542 | b | 449,348 | ||||
Discovery, Cl. C | 33,083 | b | 951,467 | ||||
DISH Network, Cl. A | 21,364 | b | 750,304 | ||||
Electronic Arts | 29,733 | b | 2,814,228 | ||||
Facebook, Cl. A | 235,705 | b | 45,585,347 | ||||
Fox, Cl. A | 34,787 | b | 1,356,345 | ||||
Fox, Cl. B | 16,082 | b | 619,157 | ||||
Interpublic Group of Companies | 37,466 | 861,718 | |||||
Netflix | 43,156 | b | 15,991,024 | ||||
News, Cl. A | 40,417 | 501,979 | |||||
News, Cl. B | 10,464 | 130,695 | |||||
Omnicom Group | 21,615 | a | 1,729,848 | ||||
Take-Two Interactive Software | 11,310 | b | 1,095,147 | ||||
TripAdvisor | 9,446 | a,b | 502,811 | ||||
70,620 | b | 2,818,444 | |||||
Viacom, Cl. B | 35,140 | 1,015,897 | |||||
Walt Disney | 173,203 | 23,723,615 | |||||
203,655,067 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 7.6% | |||||||
AbbVie | 146,138 | 11,601,896 | |||||
Agilent Technologies | 31,130 | 2,443,705 | |||||
Alexion Pharmaceuticals | 22,077 | b | 3,005,342 | ||||
Allergan | 31,066 | 4,566,702 | |||||
Amgen | 61,687 | 11,061,713 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 7.6% (continued) | |||||||
Biogen | 19,626 | b | 4,499,064 | ||||
Bristol-Myers Squibb | 160,284 | 7,441,986 | |||||
Celgene | 69,381 | b | 6,567,605 | ||||
Eli Lilly & Co. | 86,396 | 10,111,788 | |||||
Gilead Sciences | 126,444 | 8,223,918 | |||||
Illumina | 14,405 | b | 4,494,360 | ||||
Incyte | 17,625 | b | 1,353,600 | ||||
IQVIA Holdings | 15,912 | b | 2,210,177 | ||||
Johnson & Johnson | 263,478 | 37,203,094 | |||||
Merck & Co. | 256,043 | 20,153,145 | |||||
Mettler-Toledo International | 2,509 | b | 1,869,857 | ||||
Mylan | 49,640 | b | 1,339,784 | ||||
Nektar Therapeutics | 16,953 | a,b | 542,835 | ||||
PerkinElmer | 10,791 | a | 1,034,209 | ||||
Perrigo | 12,733 | a | 610,165 | ||||
Pfizer | 551,401 | 22,392,395 | |||||
Regeneron Pharmaceuticals | 7,734 | b | 2,653,845 | ||||
Thermo Fisher Scientific | 39,793 | 11,040,568 | |||||
Vertex Pharmaceuticals | 25,197 | b | 4,257,789 | ||||
Waters | 7,119 | b | 1,520,191 | ||||
Zoetis | 47,683 | 4,856,037 | |||||
187,055,770 | |||||||
Real Estate - 2.9% | |||||||
Alexandria Real Estate Equities | 11,040 | c | 1,571,986 | ||||
American Tower | 43,571 | c | 8,509,416 | ||||
Apartment Investment & Management, Cl. A | 15,226 | c | 751,555 | ||||
AvalonBay Communities | 13,803 | c | 2,773,437 | ||||
Boston Properties | 14,853 | c | 2,044,070 | ||||
CBRE Group, Cl. A | 30,098 | b | 1,567,203 | ||||
Crown Castle International | 41,040 | c | 5,162,011 | ||||
Digital Realty Trust | 20,311 | a,c | 2,390,808 | ||||
Duke Realty | 36,878 | c | 1,147,643 | ||||
Equinix | 8,202 | c | 3,729,449 | ||||
Equity Residential | 36,242 | c | 2,769,614 | ||||
Essex Property Trust | 6,527 | c | 1,843,877 | ||||
Extra Space Storage | 11,946 | c | 1,238,681 | ||||
Federal Realty Investment Trust | 7,280 | c | 974,428 | ||||
HCP | 47,131 | c | 1,403,561 | ||||
Host Hotels & Resorts | 73,043 | c | 1,405,347 | ||||
Iron Mountain | 27,759 | c | 901,612 | ||||
Kimco Realty | 39,670 | c | 689,861 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Real Estate - 2.9% (continued) | |||||||
Macerich | 11,440 | c | 459,202 | ||||
Mid-America Apartment Communities | 10,814 | c | 1,183,160 | ||||
Prologis | 62,030 | c | 4,755,840 | ||||
Public Storage | 14,809 | c | 3,275,455 | ||||
Realty Income | 29,899 | a,c | 2,093,229 | ||||
Regency Centers | 16,649 | c | 1,118,313 | ||||
SBA Communications | 11,488 | b,c | 2,340,450 | ||||
Simon Property Group | 30,357 | c | 5,273,011 | ||||
SL Green Realty | 8,526 | c | 753,187 | ||||
UDR | 27,090 | c | 1,217,696 | ||||
Ventas | 34,346 | c | 2,098,884 | ||||
Vornado Realty Trust | 16,283 | c | 1,125,807 | ||||
Welltower | 38,007 | c | 2,832,662 | ||||
Weyerhaeuser | 74,007 | c | 1,983,388 | ||||
71,384,843 | |||||||
Retailing - 6.7% | |||||||
Advance Auto Parts | 7,007 | 1,165,404 | |||||
Amazon.com | 40,770 | b | 78,544,220 | ||||
AutoZone | 2,494 | b | 2,564,605 | ||||
Best Buy | 23,472 | 1,746,552 | |||||
Booking Holdings | 4,465 | b | 8,282,530 | ||||
CarMax | 17,871 | a,b | 1,391,436 | ||||
Dollar General | 25,622 | 3,230,678 | |||||
Dollar Tree | 23,710 | b | 2,638,449 | ||||
eBay | 85,739 | 3,322,386 | |||||
Expedia Group | 12,061 | a | 1,566,000 | ||||
Foot Locker | 10,955 | 626,736 | |||||
Gap | 21,640 | 564,371 | |||||
Genuine Parts | 14,448 | 1,481,498 | |||||
Home Depot | 111,677 | 22,748,605 | |||||
Kohl's | 16,302 | a | 1,159,072 | ||||
L Brands | 21,596 | 553,721 | |||||
LKQ | 29,932 | b | 900,953 | ||||
Lowe's | 79,084 | 8,947,564 | |||||
Macy's | 29,315 | 690,075 | |||||
Nordstrom | 11,784 | a | 483,380 | ||||
O'Reilly Automotive | 7,806 | b | 2,955,117 | ||||
Ross Stores | 36,589 | 3,573,282 | |||||
Target | 51,197 | 3,963,672 | |||||
The TJX Companies | 122,254 | 6,709,300 | |||||
Tiffany & Co. | 10,703 | a | 1,153,997 | ||||
Tractor Supply | 12,486 | 1,292,301 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Retailing - 6.7% (continued) | |||||||
Ulta Beauty | 5,485 | b | 1,914,155 | ||||
164,170,059 | |||||||
Semiconductors & Semiconductor Equipment - 4.0% | |||||||
Advanced Micro Devices | 84,440 | a,b | 2,333,077 | ||||
Analog Devices | 36,640 | 4,259,034 | |||||
Applied Materials | 94,295 | 4,155,581 | |||||
Broadcom | 39,369 | 12,535,090 | |||||
Intel | 445,317 | 22,728,980 | |||||
KLA-Tencor | 16,276 | 2,074,864 | |||||
Lam Research | 15,262 | 3,165,797 | |||||
Maxim Integrated Products | 27,014 | 1,620,840 | |||||
Microchip Technology | 23,336 | a | 2,331,033 | ||||
Micron Technology | 110,445 | b | 4,645,317 | ||||
NVIDIA | 59,895 | 10,840,995 | |||||
Qorvo | 12,609 | b | 953,366 | ||||
Qualcomm | 118,584 | 10,213,640 | |||||
Skyworks Solutions | 17,998 | 1,587,064 | |||||
Texas Instruments | 93,068 | 10,966,202 | |||||
Xilinx | 24,984 | 3,001,578 | |||||
97,412,458 | |||||||
Software & Services - 11.8% | |||||||
Accenture, Cl. A | 63,007 | 11,509,489 | |||||
Adobe | 48,203 | b | 13,942,718 | ||||
Akamai Technologies | 16,225 | b | 1,298,973 | ||||
Alliance Data Systems | 4,666 | 747,027 | |||||
ANSYS | 8,215 | b | 1,608,497 | ||||
Autodesk | 21,452 | b | 3,822,961 | ||||
Automatic Data Processing | 42,664 | 7,013,535 | |||||
Broadridge Financial Solutions | 11,599 | 1,370,190 | |||||
Cadence Design Systems | 27,121 | b | 1,881,655 | ||||
Citrix Systems | 12,258 | 1,237,568 | |||||
Cognizant Technology Solutions, Cl. A | 56,391 | 4,114,287 | |||||
DXC Technology | 27,615 | 1,815,410 | |||||
Fidelity National Information Services | 32,185 | 3,731,207 | |||||
Fiserv | 39,306 | a,b | 3,429,055 | ||||
FleetCor Technologies | 8,529 | b | 2,225,643 | ||||
Fortinet | 14,074 | b | 1,314,793 | ||||
Gartner | 8,937 | a,b | 1,420,715 | ||||
Global Payments | 15,315 | 2,237,062 | |||||
International Business Machines | 88,150 | 12,364,800 | |||||
Intuit | 25,451 | 6,389,728 | |||||
Jack Henry & Associates | 7,507 | 1,118,993 | |||||
Mastercard, Cl. A | 89,102 | 22,653,292 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Software & Services - 11.8% (continued) | |||||||
Microsoft | 759,083 | 99,136,240 | |||||
Oracle | 252,912 | 13,993,621 | |||||
Paychex | 31,552 | 2,660,149 | |||||
PayPal Holdings | 115,478 | b | 13,022,454 | ||||
Red Hat | 17,603 | b | 3,213,076 | ||||
salesforce.com | 75,617 | b | 12,503,271 | ||||
Symantec | 62,454 | 1,512,011 | |||||
Synopsys | 14,455 | b | 1,750,211 | ||||
Total System Services | 16,304 | 1,666,921 | |||||
Verisign | 10,532 | b | 2,079,543 | ||||
Visa, Cl. A | 172,811 | a | 28,415,313 | ||||
Western Union | 45,962 | a | 893,501 | ||||
288,093,909 | |||||||
Technology Hardware & Equipment - 5.8% | |||||||
Amphenol, CI. A | 29,099 | 2,897,096 | |||||
Apple | 443,515 | 89,000,155 | |||||
Arista Networks | 5,050 | b | 1,577,064 | ||||
Cisco Systems | 436,257 | 24,408,579 | |||||
Corning | 78,531 | 2,501,212 | |||||
F5 Networks | 5,904 | b | 926,338 | ||||
FLIR Systems | 12,910 | 683,455 | |||||
Hewlett Packard Enterprise | 140,564 | 2,222,317 | |||||
HP | 153,807 | 3,068,450 | |||||
IPG Photonics | 3,732 | a,b | 652,092 | ||||
Juniper Networks | 34,138 | 948,012 | |||||
Keysight Technologies | 18,199 | b | 1,583,859 | ||||
Motorola Solutions | 16,160 | 2,341,746 | |||||
NetApp | 25,083 | 1,827,297 | |||||
Seagate Technology | 26,030 | a | 1,257,770 | ||||
TE Connectivity | 33,858 | 3,238,518 | |||||
Western Digital | 28,924 | a | 1,478,595 | ||||
Xerox | 20,013 | 667,634 | |||||
141,280,189 | |||||||
Telecommunication Services - 1.9% | |||||||
AT&T | 720,053 | 22,292,841 | |||||
CenturyLink | 95,389 | a | 1,089,342 | ||||
Verizon Communications | 408,479 | 23,360,914 | |||||
46,743,097 | |||||||
Transportation - 2.1% | |||||||
Alaska Air Group | 11,477 | a | 710,426 | ||||
American Airlines Group | 39,422 | 1,347,444 | |||||
CH Robinson Worldwide | 13,841 | 1,121,121 | |||||
CSX | 76,971 | 6,129,201 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.1% (continued) | |||||||
Transportation - 2.1% (continued) | |||||||
Delta Air Lines | 62,290 | 3,630,884 | |||||
Expeditors International of Washington | 16,752 | 1,330,444 | |||||
FedEx | 23,687 | 4,487,739 | |||||
J.B. Hunt Transport Services | 8,788 | 830,290 | |||||
Kansas City Southern | 10,249 | 1,262,062 | |||||
Norfolk Southern | 26,869 | 5,481,813 | |||||
Southwest Airlines | 49,418 | 2,679,938 | |||||
Union Pacific | 71,586 | 12,673,585 | |||||
United Continental Holdings | 22,122 | b | 1,965,761 | ||||
United Parcel Service, Cl. B | 68,250 | 7,249,515 | |||||
50,900,223 | |||||||
Utilities - 3.2% | |||||||
AES | 64,671 | 1,107,168 | |||||
Alliant Energy | 23,191 | 1,095,311 | |||||
Ameren | 24,313 | 1,769,257 | |||||
American Electric Power | 48,698 | 4,166,114 | |||||
American Water Works | 17,869 | 1,933,247 | |||||
Atmos Energy | 11,434 | 1,170,156 | |||||
CenterPoint Energy | 48,595 | 1,506,445 | |||||
CMS Energy | 26,977 | 1,498,572 | |||||
Consolidated Edison | 31,650 | 2,726,964 | |||||
Dominion Energy | 78,624 | 6,122,451 | |||||
DTE Energy | 17,906 | 2,250,963 | |||||
Duke Energy | 71,750 | 6,537,860 | |||||
Edison International | 31,986 | 2,039,747 | |||||
Entergy | 18,659 | 1,808,057 | |||||
Evergy | 25,339 | 1,465,101 | |||||
Eversource Energy | 31,096 | 2,228,339 | |||||
Exelon | 95,258 | 4,853,395 | |||||
FirstEnergy | 49,617 | 2,085,403 | |||||
NextEra Energy | 47,261 | 9,189,429 | |||||
NiSource | 34,686 | 963,577 | |||||
NRG Energy | 28,739 | 1,183,185 | |||||
Pinnacle West Capital | 11,044 | 1,052,162 | |||||
PPL | 71,068 | 2,218,032 | |||||
Public Service Enterprise Group | 49,099 | 2,928,755 | |||||
Sempra Energy | 26,932 | 3,445,949 | |||||
Southern | 102,104 | 5,433,975 | |||||
WEC Energy Group | 30,478 | 2,390,390 | |||||
Xcel Energy | 50,373 | 2,846,074 | |||||
78,016,078 | |||||||
Total Common Stocks(cost $664,451,368) | 2,429,081,718 |
18
Description | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills - .1% | |||||||
2.40%, 6/6/19 | 1,240,000 | d,e | 1,237,046 | ||||
1-Day | Shares | ||||||
Investment Companies - .1% | |||||||
Registered Investment Companies - .1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 2,806,995 | f | 2,806,995 | |||
Investment of Cash Collateral for Securities Loaned - .0% | |||||||
Registered Investment Companies - .0% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 447,578 | f | 447,578 | |||
Total Investments(cost $668,943,012) | 99.3% | 2,433,573,337 | |||||
Cash and Receivables (Net) | .7% | 18,317,444 | |||||
Net Assets | 100.0% | 2,451,890,781 |
a Security, or portion thereof, on loan. At April 30, 2019, the value of the fund’s securities on loan was $82,873,699 and the value of the collateral held by the fund was $84,511,769, consisting of cash collateral of $447,578 and U.S. Government & Agency securities valued at $84,064,191.
b Non-income producing security.
c Investment in real estate investment trust within the United States.
d Held by a counterparty for open exchange traded derivative contracts.
e Security is a discount security. Income is recognized through the accretion of discount.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited)† | Value (%) |
Information Technology | 21.5 |
Health Care | 13.5 |
Financials | 13.2 |
Consumer Discretionary | 10.2 |
Communication Services | 10.2 |
Industrials | 9.4 |
Consumer Staples | 7.2 |
Energy | 5.2 |
Utilities | 3.2 |
Real Estate | 2.9 |
Materials | 2.6 |
Investment Companies | .1 |
Government | .1 |
99.3 |
† Based on net assets.
See notes to financial statements.
19
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS(Unaudited)
Investment Companies | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Registered Investment | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 12,832,140 | 210,217,265 | 220,242,410 | 2,806,995 | .1 | 202,839 |
Investment of Cash | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 2,004,282 | 2,663,559 | 4,667,841 | - | - | - |
Dreyfus Institutional Preferred Government Plus Money Market Fund | - | 19,648,439 | 19,200,861 | 447,578 | .0 | - |
Total | 14,836,422 | 232,529,263 | 244,111,112 | 3,254,573 | .1 | 202,839 |
† Effective January 2, 2019, cash collateral for securities lending was transferred from Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares to Dreyfus Institutional Preferred Government Plus Money Market Fund.
See notes to financial statements.
20
STATEMENT OF FUTURES
April 30, 2019 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 177 | 6/19 | 25,990,742 | 26,094,225 | 103,483 | |
Gross Unrealized Appreciation | 103,483 |
See notes to financial statements.
21
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2019 (Unaudited)
|
|
|
|
|
|
| |||||
|
|
| Cost |
| Value |
| |||||
Assets ($): |
|
|
|
| |||||||
Investments in securities—See Statement of Investments |
|
|
| ||||||||
Unaffiliated issuers | 665,688,439 |
| 2,430,318,764 |
| |||||||
Affiliated issuers |
| 3,254,573 |
| 3,254,573 |
| ||||||
Cash |
|
|
|
| 108 |
| |||||
Receivable for investment securities sold |
| 20,018,624 |
| ||||||||
Dividends, interest and securities lending income receivable |
| 2,145,613 |
| ||||||||
Receivable for shares of Common Stock subscribed |
| 1,806,912 |
| ||||||||
Receivable for futures variation margin—Note 4 |
| 49,560 |
| ||||||||
|
|
|
|
| 2,457,594,154 |
| |||||
Liabilities ($): |
|
|
|
| |||||||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 912,881 |
| ||||||||
Payable for shares of Common Stock redeemed |
| 4,103,921 |
| ||||||||
Liability for securities on loan—Note 1(b) |
| 447,578 |
| ||||||||
Payable for investment securities purchased |
| 193,020 |
| ||||||||
Directors fees and expenses payable |
| 45,973 |
| ||||||||
|
|
|
|
| 5,703,373 |
| |||||
Net Assets ($) |
|
| 2,451,890,781 |
| |||||||
Composition of Net Assets ($): |
|
|
|
| |||||||
Paid-in capital |
|
|
|
| 576,097,034 |
| |||||
Total distributable earnings (loss) |
|
|
|
| 1,875,793,747 |
| |||||
Net Assets ($) |
|
| 2,451,890,781 |
| |||||||
Shares Outstanding |
|
| |||||||||
(200 million shares of $.001 par value Common Stock authorized) | 47,243,963 |
| |||||||||
Net Asset Value Per Share ($) |
| 51.90 |
| ||||||||
|
|
|
|
| |||||||
See notes to financial statements. |
|
|
|
|
22
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $2,096 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 24,647,811 |
| ||
Affiliated issuers |
|
| 202,839 |
| ||
Income from securities lending—Note 1(b) |
|
| 67,432 |
| ||
Interest |
|
| 15,048 |
| ||
Total Income |
|
| 24,933,130 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,910,178 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 2,910,178 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 100,727 |
| ||
Loan commitment fees—Note 2 |
|
| 45,251 |
| ||
Interest expense—Note 2 |
|
| 5,751 |
| ||
Total Expenses |
|
| 5,972,085 |
| ||
Less—Directors’ fees reimbursed by |
|
| (100,727) |
| ||
Net Expenses |
|
| 5,871,358 |
| ||
Investment Income—Net |
|
| 19,061,772 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 128,324,375 |
| ||||
Net realized gain (loss) on futures | (70,654) |
| ||||
Net Realized Gain (Loss) |
|
| 128,253,721 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 64,069,268 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 365,469 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 64,434,737 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 192,688,458 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 211,750,230 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
23
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 19,061,772 |
|
|
| 36,495,388 |
| |
Net realized gain (loss) on investments |
| 128,253,721 |
|
|
| 283,799,413 |
| ||
Net unrealized appreciation (depreciation) |
| 64,434,737 |
|
|
| (137,428,489) |
| ||
Net Increase (Decrease) in Net Assets | 211,750,230 |
|
|
| 182,866,312 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
| (312,814,481) |
|
|
| (229,394,166) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 205,666,723 |
|
|
| 349,636,970 |
| |
Distributions reinvested |
|
| 305,420,036 |
|
|
| 224,832,393 |
| |
Cost of shares redeemed |
|
| (386,143,312) |
|
|
| (761,211,609) |
| |
Increase (Decrease) in Net Assets | 124,943,447 |
|
|
| (186,742,246) |
| |||
Total Increase (Decrease) in Net Assets | 23,879,196 |
|
|
| (233,270,100) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,428,011,585 |
|
|
| 2,661,281,685 |
| |
End of Period |
|
| 2,451,890,781 |
|
|
| 2,428,011,585 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 4,108,265 |
|
|
| 6,220,785 |
| |
Shares issued for distributions reinvested |
|
| 7,057,265 |
|
|
| 4,146,551 |
| |
Shares redeemed |
|
| (7,719,658) |
|
|
| (13,537,891) |
| |
Net Increase (Decrease) in Shares Outstanding | 3,445,872 |
|
|
| (3,170,555) |
| |||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements. |
24
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||
April 30, 2019 | Year Ended October 31, | |||||||
(Unaudited) | 2018 | 2017 | 2016 | 2015 | 2014 | |||
Per Share Data ($): | ||||||||
Net asset value, | 55.44 | 56.66 | 51.04 | 52.88 | 54.00 | 47.94 | ||
Investment Operations: | ||||||||
Investment income—neta | .41 | .78 | .80 | .84 | .83 | .77 | ||
Net realized and unrealized gain | 3.37 | 2.97 | 10.12 | 1.11 | 1.68 | 7.05 | ||
Total from Investment Operations | 3.78 | 3.75 | 10.92 | 1.95 | 2.51 | 7.82 | ||
Distributions: | ||||||||
Dividends from investment | (.84) | (.86) | (.91) | (.87) | (.83) | (.74) | ||
Dividends from net realized gain | (6.48) | (4.11) | (4.39) | (2.92) | (2.80) | (1.02) | ||
Total Distributions | (7.32) | (4.97) | (5.30) | (3.79) | (3.63) | (1.76) | ||
Net asset value, end of period | 51.90 | 55.44 | 56.66 | 51.04 | 52.88 | 54.00 | ||
Total Return (%) | 9.48b | 6.83 | 23.03 | 3.95 | 4.70 | 16.71 | ||
Ratios/Supplemental Data (%): | ||||||||
Ratio of total expenses to | .51c | .51 | .51 | .51 | .51 | .51 | ||
Ratio of net expenses to | .50c | .50 | .50 | .50 | .50 | .50 | ||
Ratio of net investment | 1.64c | 1.39 | 1.52 | 1.68 | 1.59 | 1.54 | ||
Portfolio Turnover Rate | 1.38b | 3.06 | 2.88 | 4.25 | 3.72 | 3.56 | ||
Net Assets, end of period | 2,451,891 | 2,428,012 | 2,661,282 | 2,478,725 | 2,771,235 | 2,894,071 |
a Based on average shares outstanding.
b Not annualized.
a Annualized.
See notes to financial statements.
25
NOTES TO FINANCIAL STATEMENTS(Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon S&P 500 Index Fund (the “fund”) is a separate non-diversified series of BNY Mellon 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. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
Effective June 3, 2019, the fund changed its name from Dreyfus S&P 500 Index Fund to BNY Mellon S&P 500 Index Fund and the Company changed its name from Dreyfus Index Funds, Inc. to BNY Mellon Index Funds, Inc. In addition, The Dreyfus Corporation, the fund’s investment adviser and administrator, changed its name to “BNY Mellon Investment Adviser, Inc.”, MBSC Securities Corporation, the fund’s distributor, changed its name to “BNY Mellon Securities Corporation” and Dreyfus Transfer, Inc., the fund’s transfer agent, changed its name to “BNY Mellon Transfer, Inc.”
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 Companyenters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these
26
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 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
27
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
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 oversight 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.
The following is a summary of the inputs used as of April 30, 2019in valuing the fund’s investments:
28
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† | 2,429,081,718 | - | - | 2,429,081,718 |
Investment Companies | 3,254,573 | - | - | 3,254,573 |
U.S. Treasury | - | 1,237,046 | - | 1,237,046 |
Other Financial Instruments: | ||||
Futures†† | 103,483 | - | - | 103,483 |
† 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 April 30, 2019, 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 the Adviser, 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 the Adviser, 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
29
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2019, The Bank of New York Mellon earned $15,547 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by the Adviser 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 April 30, 2019, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2019, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2018 was as follows: ordinary income $42,582,612 and long-term capital gains $186,811,554. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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
30
requirements for fair value measurements. ASU 2018-13 will be effective for fiscal years 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 long-term open-end funds managed by the Adviser in a $1.030 billion unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $830 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is in amount equal to $200 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2019 was approximately $358,600 with a related weighted average annualized interest rate of 3.23%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a)Pursuant to a management agreement (the “Agreement”) with the Adviser, 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, the Adviser 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, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended April 30, 2019, fees reimbursed by the Adviser amounted to $100,727.
(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
31
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2019, the fund was charged $2,910,178pursuant to the Shareholder Services Plan.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees $500,696 and Shareholder Services Plan fees $500,696, which are offset against an expense reimbursement currently in effect in the amount of $88,511.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended April 30, 2019, amounted to $32,497,435 and $214,416,573, respectively.
Derivatives:A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2019 is discussed below.
Futures:In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk,as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the
32
exchange guarantees the futures against default. Futures open at April 30, 2019 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding duringthe period ended April 30, 2019:
|
| Average Market Value ($) |
Equity futures |
| 20,229,026 |
|
|
|
At April 30, 2019, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $1,764,733,808, consisting of $1,788,213,493 gross unrealized appreciation and $23,479,685 gross unrealized depreciation.
At April 30, 2019, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Pending Legal Matters:
The fund and many other entities have been named as defendants in numerous pending litigations as a result of their participation in the leveraged buyout transaction (“LBO”) of the Tribune Company (“Tribune”).
The State Law Cases: In 2008, approximately one year after the Tribune LBO 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, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances” under state and/or federal law, and that the shareholders must return the payments they received for their shares (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, under the captionIn re Tribune Company Fraudulent Conveyance Litigation(S.D.N.Y. Nos. 11-md-2296 and 12-mc-2296 (RJS) (“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) . . . a financial institution.” The fund is a registered investment company, which the Code defines as a “financial institution.”
33
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
On September 9, 2016, Plaintiffs filed a petition forcertiorarito the U.S. Supreme Court. During the pendency of the plaintiffs’cert. petition, the Supreme Court ruled in another case,Merit Management Group, LP v. FTIConsulting, Inc. (“Merit Management”), that Section 546(e) does not exempt qualified transfers from avoidance that merely passed through “financial institutions,” though it does exempt “financial institutions” themselves, like the fund.
On May 15, 2018, in response to theMerit Management decision, the Second Circuit issued an Order in the State Law Cases that “the mandate in this case is recalled in anticipation of further panel review.”
As of February 6, 2019, there has been no subsequent activity in the state law cases.
TheFitzSimonsLitigation: On November 1, 2010, a case now styled,Mark S. Kirchner, as Litigation Trustee for the Tribune Litigation Trust v. FitzSimons, et al., S.D.N.Y. No. 12-cv-2652 (RJS) was filed (“theFitzSimons Litigation”). Among other things, the 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 May 23, 2014, the defendants filed a motion to dismiss, 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.
Effective November 1, 2018, Judge Denise Cote was assigned to the case when Judge Richard Sullivan was elevated to the Second Circuit.
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.
In January 2019, various state law claims asserted against certain individual defendants were dismissed.
Between February and early April 2019, plaintiffs and certain defendants attempted to resolve the dispute through mediation, but ultimately decided to await the Second Circuit’s review of its May 29, 2016 decision before attempting to negotiate a settlement.
On April 4, 2019, plaintiff filed a motion to amend theFitzSimons complaint to add a claim for constructive fraudulent transfer from defendants subject to clawback under the Bankruptcy Code. On April 10, 2019, the affected defendants opposed the motion.
34
On April 23, 2019, Judge Cote denied plaintiff’s motion to amend the complaint to add a new constructive fraudulent transfer claim because such amendment would be futile and would result in substantial prejudice to the shareholder defendants given that the only claim against the shareholder defendants inFitzSimonshas been dismissed for over two years, subject to appeal. Judge Cote considered the amendment futile on the ground that constructive fraudulent transfer claims are barred by the safe harbor provision of Section 546(e), which defines “financial institution” to include, in certain circumstances, thecustomers of traditional financial institutions, including Tribune.
At this stage in the proceedings, management does not believe that a loss is probable and, in any event, is unable to reasonably estimate the possible loss that may result.
35
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 12-13, 2019, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to
36
select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds. The Board discussed with representatives of the Adviser and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was below the Performance Group and Performance Universe medians for all periods (although ranking in the third quartile, i.e., not the lowest quartile, of the Performance Universe for all periods). The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by the Adviser that are in the same Lipper category as the fund and (2) paid to the Adviser, or the primary employer of the fund’s primary portfolio manager(s) that is affiliated with the Adviser, for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by the Adviser. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
mix of services provided by the Adviser, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser are adequate and appropriate.
· The Board expressed concern about the fund’s relative performance and agreed to closely monitor performance.
· The Board concluded that the fee paid to the Adviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates, of the Adviser and the services provided to the fund by the Adviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as
38
applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
39
NOTES
40
NOTES
41
BNY Mellon S&P 500 Index Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbol: | PEOPX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mailSend your request toinfo@bnymellon.com
InternetInformation can be viewed online or downloaded atwww.bnymellonim.com/us
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-PORT. The fund’s Forms N-PORT are available on the SEC’s website atwww.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 atwww.bnymellonim.com/us and on the SEC’s website atwww.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2019 BNY Mellon Securities Corporation |
BNY Mellon Smallcap Stock Index Fund
SEMIANNUAL REPORT April 30, 2019 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.bnymellonim.com/us and sign up for 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 BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
BNY Mellon Investment Adviser, Inc. | |
With Those of Other Funds | |
in Affiliated Issuers | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this semiannual report for BNY Mellon Smallcap Stock Index Fund (formerly Dreyfus Smallcap Stock Index Fund) covering the six-month period from November 1, 2018 through April 30, 2019. 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.
The U.S. and many other developed economies continued their pattern of moderate growth during the six months. Equity markets experienced a sharp sell-off in the fourth quarter of 2018, triggered in part by interest-rate increases, trade tensions and slowing global growth. The sell-off partially reduced prior gains on U.S. indices, while losses deepened in international developed and emerging markets. Global equities continued their general decline through the end of 2018. However, comments made in January by the U.S. Federal Reserve (the “Fed”) that it might slow the pace of interest-rate increases in 2019 helped stimulate a rebound across equity markets. In a similar stance, other central banks pledged to continue policies that support economic growth, helping to further ease investor concerns. Talk of a potential trade agreement between the U.S. and China also helped to buoy equity markets, which continued their upward trajectory through the end of the period.
Equity volatility and global growth concerns triggered a flight to quality in many areas of the bond market, raising Treasury prices and flattening the yield curve. Corporate bonds, however, were hindered somewhat by concerns about economic growth, resulting in widening spreads and lower prices through November. After encouraging comments by the Fed in January, bond markets rebounded, and most U.S. indices continued to post positive returns through the end of April.
We remain positive on the near-term economic outlook for the U.S. but will monitor relevant data for any signs of a change. As always, we encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
June 3, 2019
2
DISCUSSION OF FUND PERFORMANCE(Unaudited)
For the period from November 1, 2018 through April 30, 2019, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2019, BNY Mellon Smallcap Stock Index Fund’s (formerly Dreyfus Smallcap Stock Index Fund) Class I shares produced a total return of 3.40%, and its Investor shares returned 3.29%.1In comparison, the S&P SmallCap 600®Index (the “Index”), the fund’s benchmark, produced a 3.47% total return for the same period.2,3
Small-cap stocks recovered from fourth-quarter 2018 volatility to advance during the reporting period, bolstered by strong economic fundamentals and supportive central bank policy. 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 $450 million and $2.1 billion, to the extent consistent with market conditions.
A Tale of Two Markets
Markets delivered two drastically different periods of behavior over the six-month reporting period, but gained ground over the period as a whole. Through the fourth quarter of 2018, many equity markets felt pressure from slowing global growth, escalating trade issues between the U.S. and China, Brexit difficulties, and additional geopolitical issues elsewhere in Europe and the emerging markets. Renewed articulation of hawkish narratives by U.S. Federal Reserve (“Fed”) officials alarmed investors and stoked volatility. In December, equities reached new lows for the year, as economic and political news continued to unnerve investors. Investors also feared the European Central Bank (ECB) would proceed with its plan to conclude stimulus measures in January, despite moderating growth rates.
January marked a turnaround in markets. Talk of a potential trade deal between the U.S. and China helped fuel investor optimism, as equity prices recovered. The ECB announced it would provide additional stimulus to support the Eurozone economy. China also announced plans to stoke its slowing economic growth rate. At its first meeting of the year, the Fed
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DISCUSSION OF FUND PERFORMANCE(Unaudited) (continued)
emphasized its focus on data as a primary driver for rate-hike decisions, and its ability to suspend additional rate increases when the data is not supportive. These sentiments reassured investors of central bankers’ commitments to support flagging growth. The rebound continued throug the month of January, and equity markets maintained an upward trajectory through the remainder of the reporting period.
In this environment, small-cap stocks trailed their large-cap and mid-cap counterparts.
Technology Stocks Lead the Market
For the reporting period, technology stocks posted the highest overall returns of the Index’s various market segments. High-growth companies were the best performers, particularly within the electronic equipment and components, and semiconductors and semiconductor equipment industries. Many small-capitalization companies involved in these industries make parts for automobile electronic systems or biometric identification systems, like eye scanning. Adoption of these technologies has increased, boosting revenues for the companies that manufacture the components. Chip manufacturers, companies involved with digitization and cloud adoption, and cybersecurity companies also performed well during the period. The industrials sector was also among the top performers. Building-product companies’ sales were supported by strong demand from stores like Lowe’s and Home Depot as well as contractors. As consumers spend money upgrading their homes, home-component manufacturers like cabinet makers benefit. In addition to making home improvements, consumers are borrowing money, supporting many financial stocks, particularly those involved in lending. The loan market has become more active in 2019. Banks and thrifts that focus on small-business services and refinancing saw a pickup in demand for their products, boosting revenues for these organizations.
Conversely, the health care sector faced headwinds during the period from the biotechnology and pharmaceuticals industries. In the small-capitalization space, these companies are usually focusing on a very narrow product line. It is important to the viability of the businesses that they develop effective new drugs and get them approved. There have been fewer blockbuster drugs developed in recent quarters. The government is providing pricing pressure, which may reduce the companies’ ability to spend on research and development. There is also uncertainty surrounding the future regulatory environment, given current litigation due to the opioid epidemic and political uncertainty within the U.S. The energy sector also trailed the broader market during the reporting period. Oil prices were volatile during the period, hurting companies involved with shale oil. Organizations that make equipment for drilling, as well as the drilling companies themselves, were negatively affected. Large increases in production, coupled with a new drilling technique that did not perform as expected, caused a difficult environment. Investors are also concerned over future regulatory actions that may be passed by large importers, such as China and India, which would restrict the use of fossil fuels. Deepwater drillers are also underperforming due to high costs, which often cause them to suffer when oil prices are stagnant or falling.
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 while the U.S. economic picture continues to be supported by a strong labor market and sound corporate balance sheets, trade frictions and other
4
geopolitical issues may have the potential to impact the markets. As always, we continue to monitor factors that affect the fund’s investments.
June 3, 2019
¹ Total return includes reinvestment of dividends and any capital gains paid. Past performance is no guarantee of future results. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost.
² Source: Lipper Inc. — The S&P SmallCap 600® Index measures the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. Investors cannot invest directly in any index.
3 “Standard& Poor’s®,” “S&P®,” and “S&P SmallCap 600®” are registered trademarks of Standard& Poor’s Financial Services LLC and have been licensed for use on behalf of the fund. The fund is not sponsored, endorsed, managed, advised, sold, or promoted by Standard& Poor’s and its affiliates, and Standard& Poor’s and its affiliates make no representation regarding the advisability of investing in the fund.
Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
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.
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 BNY Mellon Smallcap Stock Index Fund from November 1, 2018 to April 30, 2019. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||
assuming actual returns for the six months ended April 30, 2019 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $2.52 | $1.26 | ||||
Ending value (after expenses) | $1,032.90 | $1,034.00 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS(Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2019 | ||||||
Investor Shares | Class I | |||||
Expenses paid per $1,000† | $2.51 | $1.25 | ||||
Ending value (after expenses) | $1,022.32 | $1,023.55 |
† Expenses are equal to the fund’s annualized expense ratio of .50% for Investor Shares and .25% for Class I, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
April 30, 2019 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% | |||||||
Automobiles & Components - 2.2% | |||||||
American Axle & Manufacturing Holdings | 326,153 | a,b | 4,810,757 | ||||
Cooper Tire & Rubber Co. | 142,616 | a | 4,258,514 | ||||
Cooper-Standard Holding | 48,087 | b | 2,436,568 | ||||
Dorman Products | 83,571 | a,b | 7,326,670 | ||||
Fox Factory Holding | 109,175 | a,b | 8,471,980 | ||||
Garrett Motion | 217,239 | b | 4,084,093 | ||||
Gentherm | 97,088 | a,b | 4,112,648 | ||||
LCI Industries | 72,403 | a | 6,360,604 | ||||
Motorcar Parts of America | 53,393 | a,b | 1,103,099 | ||||
Standard Motor Products | 58,412 | 2,918,848 | |||||
Superior Industries International | 69,176 | a | 342,421 | ||||
Winnebago Industries | 84,972 | a | 3,005,460 | ||||
49,231,662 | |||||||
Banks - 10.6% | |||||||
Ameris Bancorp | 114,363 | a | 4,169,675 | ||||
Axos Financial | 157,327 | b | 5,147,739 | ||||
Banc of California | 117,691 | 1,707,696 | |||||
Banner | 89,512 | 4,745,926 | |||||
Berkshire Hills Bancorp | 117,957 | a | 3,537,530 | ||||
Boston Private Financial Holdings | 241,174 | 2,761,442 | |||||
Brookline Bancorp | 227,691 | 3,426,750 | |||||
Central Pacific Financial | 84,710 | 2,542,147 | |||||
City Holding | 48,193 | a | 3,825,560 | ||||
Columbia Banking System | 212,218 | a | 7,966,664 | ||||
Community Bank System | 148,394 | a | 9,862,265 | ||||
Customers Bancorp | 79,712 | b | 1,805,477 | ||||
CVB Financial | 294,339 | 6,387,156 | |||||
Dime Community Bancshares | 88,494 | 1,783,154 | |||||
Eagle Bancorp | 90,110 | a,b | 4,979,479 | ||||
Fidelity Southern | 64,574 | 1,879,749 | |||||
First BanCorp | 628,989 | 7,107,576 | |||||
First Commonwealth Financial | 287,016 | 3,906,288 | |||||
First Financial Bancorp | 281,748 | 7,071,875 | |||||
First Midwest Bancorp | 307,987 | 6,612,481 | |||||
Flagstar Bancorp | 81,904 | 2,928,068 | |||||
Franklin Financial Network | 34,956 | a | 966,533 | ||||
Glacier Bancorp | 242,986 | a | 10,348,774 | ||||
Great Western Bancorp | 166,637 | 5,860,623 | |||||
Hanmi Financial | 92,392 | 2,191,538 | |||||
Heritage Financial | 96,025 | a | 2,906,677 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Banks - 10.6% (continued) | |||||||
HomeStreet | 79,025 | b | 2,223,764 | ||||
Hope Bancorp | 351,418 | a | 4,940,937 | ||||
Independent Bank | 99,026 | 7,944,856 | |||||
LegacyTexas Financial Group | 131,216 | 5,259,137 | |||||
Meta Financial Group | 78,922 | 2,033,031 | |||||
National Bank Holdings, Cl. A | 74,317 | 2,841,882 | |||||
NBT Bancorp | 128,242 | a | 4,875,761 | ||||
NMI Holdings, Cl. A | 190,015 | b | 5,335,621 | ||||
Northfield Bancorp | 132,299 | a | 1,984,485 | ||||
Northwest Bancshares | 296,789 | a | 5,173,032 | ||||
OFG Bancorp | 126,298 | 2,548,694 | |||||
Old National Bancorp | 433,029 | a | 7,396,135 | ||||
Opus Bank | 63,988 | 1,399,418 | |||||
Oritani Financial | 111,074 | a | 1,927,134 | ||||
Pacific Premier Bancorp | 130,865 | 3,804,246 | |||||
Preferred Bank | 41,557 | a | 2,044,189 | ||||
Provident Financial Services | 177,059 | 4,695,605 | |||||
S&T Bancorp | 100,392 | a | 4,023,711 | ||||
Seacoast Banking Corporation of Florida | 149,326 | a,b | 4,234,885 | ||||
ServisFirst Bancshares | 133,698 | a | 4,537,710 | ||||
Simmons First National, Cl. A | 267,908 | a | 6,802,184 | ||||
Southside Bancshares | 91,611 | a | 3,218,294 | ||||
Tompkins Financial | 35,791 | a | 2,887,260 | ||||
Triumph Bancorp | 69,333 | b | 2,150,016 | ||||
TrustCo Bank | 288,030 | 2,304,240 | |||||
United Community Banks | 229,173 | 6,435,178 | |||||
Veritex Holdings | 130,628 | 3,462,948 | |||||
Walker & Dunlop | 81,055 | 4,453,972 | |||||
Westamerica Bancorporation | 77,029 | a | 4,946,802 | ||||
232,313,969 | |||||||
Capital Goods - 11.9% | |||||||
AAON | 116,487 | a | 5,848,812 | ||||
AAR | 94,480 | 3,190,590 | |||||
Actuant, Cl. A | 177,672 | b | 4,544,850 | ||||
Aegion | 92,766 | b | 1,846,971 | ||||
Aerojet Rocketdyne Holdings | 207,099 | a,b | 7,012,372 | ||||
AeroVironment | 61,714 | b | 4,231,112 | ||||
Alamo Group | 28,071 | 2,909,278 | |||||
Albany International, Cl. A | 83,301 | 6,161,775 | |||||
American Woodmark | 44,009 | b | 3,957,729 | ||||
Apogee Enterprises | 78,657 | a | 3,169,877 | ||||
Applied Industrial Technologies | 111,335 | 6,673,420 | |||||
Arcosa | 138,982 | 4,326,510 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 11.9% (continued) | |||||||
Astec Industries | 65,929 | 2,222,467 | |||||
Axon Enterprise | 170,611 | b | 10,833,798 | ||||
AZZ | 75,482 | 3,584,640 | |||||
Barnes Group | 135,733 | 7,549,469 | |||||
Briggs & Stratton | 123,091 | a | 1,501,710 | ||||
Chart Industries | 91,793 | b | 8,102,568 | ||||
CIRCOR International | 56,835 | a,b | 1,916,476 | ||||
Comfort Systems USA | 106,637 | 5,769,062 | |||||
Cubic | 83,276 | 4,728,411 | |||||
DXP Enterprises | 45,684 | b | 1,959,387 | ||||
Encore Wire | 60,456 | 3,584,436 | |||||
EnPro Industries | 60,159 | a | 4,471,017 | ||||
ESCO Technologies | 74,334 | 5,575,050 | |||||
Federal Signal | 171,546 | 4,935,378 | |||||
Franklin Electric | 111,405 | 5,443,248 | |||||
Gibraltar Industries | 92,914 | b | 3,685,898 | ||||
Griffon | 96,417 | 1,891,702 | |||||
Harsco | 227,091 | b | 5,141,340 | ||||
Hillenbrand | 179,282 | 7,712,712 | |||||
Insteel Industries | 54,340 | 1,137,880 | |||||
John Bean Technologies | 90,926 | a | 9,982,766 | ||||
Kaman | 80,174 | 4,963,572 | |||||
Lindsay | 31,491 | a | 2,676,735 | ||||
Lydall | 49,528 | b | 1,218,884 | ||||
Mercury Systems | 139,264 | a,b | 10,169,057 | ||||
Moog, Cl. A | 93,496 | 8,754,965 | |||||
Mueller Industries | 163,171 | 4,759,698 | |||||
MYR Group | 49,143 | b | 1,776,519 | ||||
National Presto Industries | 14,602 | a | 1,555,113 | ||||
Orion Group Holdings | 84,089 | b | 217,791 | ||||
Patrick Industries | 64,752 | a,b | 3,229,182 | ||||
PGT Innovations | 164,832 | b | 2,416,437 | ||||
Powell Industries | 25,973 | 759,710 | |||||
Proto Labs | 77,875 | b | 8,549,896 | ||||
Quanex Building Products | 99,887 | 1,670,111 | |||||
Raven Industries | 102,348 | 3,982,361 | |||||
Simpson Manufacturing | 116,307 | a | 7,406,430 | ||||
SPX | 125,833 | b | 4,592,904 | ||||
SPX FLOW | 123,778 | b | 4,448,581 | ||||
Standex International | 36,973 | 2,442,806 | |||||
Tennant | 52,445 | 3,481,299 | |||||
The Greenbrier Companies | 93,827 | a | 3,333,673 | ||||
Titan International | 148,187 | 1,026,936 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 11.9% (continued) | |||||||
Triumph Group | 142,105 | a | 3,372,152 | ||||
Universal Forest Products | 177,505 | 6,558,810 | |||||
Veritiv | 37,403 | b | 1,043,170 | ||||
Vicor | 46,623 | a,b | 1,748,829 | ||||
Wabash National | 155,132 | 2,339,391 | |||||
Watts Water Technologies, Cl. A | 79,754 | 6,826,145 | |||||
260,923,868 | |||||||
Commercial & Professional Services - 4.7% | |||||||
ABM Industries | 189,215 | a | 7,184,494 | ||||
Brady, Cl. A | 140,597 | 6,859,728 | |||||
Exponent | 149,538 | 8,466,842 | |||||
Forrester Research | 30,100 | 1,530,886 | |||||
FTI Consulting | 108,974 | b | 9,260,611 | ||||
Heidrick & Struggles International | 55,107 | 1,971,728 | |||||
Interface | 169,867 | 2,724,667 | |||||
Kelly Services, Cl. A | 90,774 | 2,020,629 | |||||
Korn Ferry | 162,977 | 7,663,179 | |||||
LSC Communications | 94,070 | 657,549 | |||||
Matthews International, Cl. A | 93,870 | a | 3,760,432 | ||||
Mobile Mini | 128,111 | 4,614,558 | |||||
Multi-Color | 40,361 | 2,014,014 | |||||
Navigant Consulting | 119,969 | 2,738,892 | |||||
Pitney Bowes | 543,149 | a | 3,861,789 | ||||
R.R. Donnelley & Sons Co. | 207,899 | a | 960,493 | ||||
Resources Connection | 88,075 | 1,414,485 | |||||
Team | 84,743 | b | 1,432,157 | ||||
Tetra Tech | 159,323 | 10,311,385 | |||||
TrueBlue | 116,807 | b | 2,822,057 | ||||
UniFirst | 44,328 | 7,009,587 | |||||
US Ecology | 62,691 | 3,824,778 | |||||
Viad | 58,886 | 3,610,301 | |||||
WageWorks | 113,759 | b | 5,550,302 | ||||
102,265,543 | |||||||
Consumer Durables & Apparel - 4.3% | |||||||
Callaway Golf | 254,506 | 4,469,125 | |||||
Cavco Industries | 24,434 | b | 3,048,630 | ||||
Century Communities | 78,537 | a,b | 1,997,196 | ||||
Crocs | 193,831 | b | 5,398,193 | ||||
Ethan Allen Interiors | 70,539 | a | 1,558,912 | ||||
Fossil Group | 129,143 | b | 1,687,899 | ||||
G-III Apparel Group | 120,165 | b | 5,185,120 | ||||
Installed Building Products | 60,541 | a,b | 2,907,784 | ||||
iRobot | 79,705 | a,b | 8,252,656 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Consumer Durables & Apparel - 4.3% (continued) | |||||||
La-Z-Boy | 134,221 | 4,402,449 | |||||
LGI Homes | 53,920 | b | 3,737,195 | ||||
M.D.C. Holdings | 139,207 | 4,254,166 | |||||
M/I Homes | 80,172 | b | 2,258,445 | ||||
Meritage Homes | 103,547 | a,b | 5,296,429 | ||||
Movado Group | 49,448 | a | 1,762,821 | ||||
Nautilus | 91,719 | b | 490,697 | ||||
Oxford Industries | 48,502 | a | 4,028,576 | ||||
Steven Madden | 225,100 | 8,182,385 | |||||
Sturm Ruger & Co. | 50,680 | 2,837,573 | |||||
TopBuild | 100,312 | b | 7,145,224 | ||||
Unifi | 40,293 | b | 813,919 | ||||
Universal Electronics | 39,697 | a,b | 1,510,471 | ||||
Vera Bradley | 57,848 | a,b | 710,373 | ||||
Vista Outdoor | 160,648 | a,b | 1,386,392 | ||||
William Lyon Homes, Cl. A | 89,699 | b | 1,512,325 | ||||
Wolverine World Wide | 264,169 | 9,724,061 | |||||
94,559,016 | |||||||
Consumer Services - 2.2% | |||||||
American Public Education | 46,171 | b | 1,477,472 | ||||
BJ's Restaurants | 59,905 | a | 2,989,859 | ||||
Career Education | 201,441 | b | 3,656,154 | ||||
Chuy's Holdings | 46,923 | b | 933,298 | ||||
Dave & Buster's Entertainment | 105,613 | a | 6,003,043 | ||||
DineEquity | 50,794 | a | 4,503,396 | ||||
El Pollo Loco Holdings | 65,538 | a,b | 837,576 | ||||
Fiesta Restaurant Group | 66,507 | a,b | 841,979 | ||||
Monarch Casino & Resort | 35,035 | b | 1,495,644 | ||||
Red Robin Gourmet Burgers | 38,702 | b | 1,239,625 | ||||
Regis | 89,182 | b | 1,669,487 | ||||
Ruth's Hospitality Group | 82,493 | 2,143,168 | |||||
Shake Shack, Cl. A | 74,974 | b | 4,595,906 | ||||
Strategic Education | 62,464 | 8,954,214 | |||||
Wingstop | 84,062 | 6,327,347 | |||||
47,668,168 | |||||||
Diversified Financials - 3.6% | |||||||
Apollo Commercial Real Estate Finance | 322,776 | a,c | 6,048,822 | ||||
ARMOUR Residential | 167,256 | a,c | 3,191,244 | ||||
Blucora | 139,196 | b | 4,871,860 | ||||
Capstead Mortgage | 241,791 | c | 2,076,985 | ||||
Donnelley Financial Solutions | 100,836 | a,b | 1,543,799 | ||||
Encore Capital Group | 72,869 | a,b | 2,059,278 | ||||
Enova International | 93,395 | b | 2,561,825 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Diversified Financials - 3.6% (continued) | |||||||
EZCORP, Cl. A | 148,870 | a,b | 1,618,217 | ||||
FirstCash | 126,261 | 12,333,174 | |||||
Granite Point Mortgage Trust | 149,559 | c | 2,876,020 | ||||
Greenhill & Co. | 48,134 | a | 996,855 | ||||
INTL. FCStone | 45,595 | b | 1,849,333 | ||||
Invesco Mortgage Capital | 365,682 | c | 5,967,930 | ||||
New York Mortgage Trust | 530,296 | a,c | 3,340,865 | ||||
PennyMac Mortgage Investment Trust | 197,652 | c | 4,150,692 | ||||
Piper Jaffray | 41,166 | 3,317,980 | |||||
PRA Group | 131,885 | a,b | 3,708,606 | ||||
Redwood Trust | 276,376 | c | 4,521,511 | ||||
Virtus Investment Partners | 19,525 | a | 2,393,960 | ||||
Waddell & Reed Financial, Cl. A | 220,261 | a | 4,125,489 | ||||
WisdomTree Investments | 339,382 | 2,443,550 | |||||
World Acceptance | 19,075 | a,b | 2,479,559 | ||||
78,477,554 | |||||||
Energy - 4.4% | |||||||
Archrock | 376,407 | 3,805,475 | |||||
Bonanza Creek Energy | 53,317 | a,b | 1,283,340 | ||||
C&J Energy Services | 175,725 | b | 2,468,936 | ||||
Carrizo Oil & Gas | 249,632 | a,b | 3,200,282 | ||||
Consol Energy | 80,272 | b | 2,721,221 | ||||
Denbury Resources | 1,336,290 | a,b | 2,979,927 | ||||
Diamond Offshore Drilling | 189,982 | a,b | 1,844,725 | ||||
DMC Global | 40,744 | 2,823,559 | |||||
Dril-Quip | 104,151 | b | 4,536,818 | ||||
Era Group | 60,292 | a,b | 581,215 | ||||
Exterran | 88,375 | b | 1,256,693 | ||||
Geospace Technologies | 42,941 | b | 577,556 | ||||
Green Plains | 113,550 | 1,972,364 | |||||
Gulf Island Fabrication | 35,776 | b | 307,674 | ||||
Gulfport Energy | 429,152 | a,b | 2,810,946 | ||||
Helix Energy Solutions Group | 397,130 | a,b | 3,105,557 | ||||
HighPoint Resources | 324,145 | a,b | 888,157 | ||||
KLX Energy Services Holdings | 66,010 | b | 1,851,581 | ||||
Laredo Petroleum | 445,042 | a,b | 1,344,027 | ||||
Matrix Service | 77,534 | b | 1,520,442 | ||||
Nabors Industries | 952,145 | a | 3,332,507 | ||||
Newpark Resources | 267,207 | a,b | 1,950,611 | ||||
Noble | 722,563 | a,b | 1,900,341 | ||||
Oil States International | 173,799 | a,b | 3,357,797 | ||||
Par Pacific Holdings | 86,832 | b | 1,696,697 | ||||
PDC Energy | 190,657 | a,b | 8,291,673 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Energy - 4.4% (continued) | |||||||
Penn Virginia | 38,248 | b | 1,717,335 | ||||
Pioneer Energy Services | 232,246 | b | 404,108 | ||||
ProPetro Holding | 212,333 | b | 4,698,929 | ||||
Renewable Energy Group | 107,554 | b | 2,594,202 | ||||
REX American Resources | 16,303 | b | 1,377,767 | ||||
Ring Energy | 171,352 | a,b | 887,603 | ||||
SEACOR Holdings | 49,382 | a,b | 2,199,474 | ||||
SRC Energy | 695,778 | a,b | 4,279,035 | ||||
Superior Energy Services | 443,432 | b | 1,591,921 | ||||
TETRA Technologies | 374,667 | b | 891,707 | ||||
U.S. Silica Holdings | 209,562 | a | 3,315,271 | ||||
Unit | 154,378 | a,b | 2,093,366 | ||||
Whiting Petroleum | 263,622 | a,b | 7,220,607 | ||||
95,681,446 | |||||||
Food & Staples Retailing - .4% | |||||||
Andersons | 76,034 | 2,486,312 | |||||
Chefs' Warehouse | 65,228 | b | 2,131,651 | ||||
SpartanNash | 107,508 | 1,738,404 | |||||
United Natural Foods | 146,216 | a,b | 1,889,111 | ||||
8,245,478 | |||||||
Food, Beverage & Tobacco - 2.0% | |||||||
B&G Foods | 191,799 | a | 4,986,774 | ||||
Calavo Growers | 44,736 | a | 4,286,156 | ||||
Cal-Maine Foods | 88,054 | a | 3,619,900 | ||||
Coca-Cola Consolidated | 13,418 | 4,361,253 | |||||
Darling Ingredients | 474,048 | b | 10,338,987 | ||||
Dean Foods | 249,750 | a | 424,575 | ||||
J&J Snack Foods | 43,149 | a | 6,782,160 | ||||
John B. Sanfilippo & Son | 25,063 | a,b | 1,807,293 | ||||
MGP Ingredients | 36,528 | a | 3,209,715 | ||||
Seneca Foods, Cl. A | 20,149 | b | 498,688 | ||||
Universal | 71,514 | 3,851,744 | |||||
44,167,245 | |||||||
Health Care Equipment & Services - 6.5% | |||||||
Addus Homecare | 28,449 | b | 1,931,687 | ||||
AMN Healthcare Services | 134,648 | b | 7,009,775 | ||||
AngioDynamics | 108,279 | b | 2,224,051 | ||||
BioTelemetry | 95,701 | a,b | 5,206,134 | ||||
Cardiovascular Systems | 99,363 | b | 3,531,361 | ||||
Community Health Systems | 342,247 | b | 1,177,330 | ||||
Computer Programs & Systems | 34,732 | 1,055,505 | |||||
Conmed | 75,106 | 6,010,733 | |||||
CorVel | 27,280 | b | 1,958,704 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Health Care Equipment & Services - 6.5% (continued) | |||||||
Cross Country Healthcare | 108,760 | b | 766,758 | ||||
CryoLife | 98,550 | b | 3,021,543 | ||||
Cutera | 41,394 | b | 734,330 | ||||
Diplomat Pharmacy | 168,969 | b | 942,847 | ||||
Ensign Group | 141,341 | 7,281,888 | |||||
HealthStream | 74,280 | b | 1,944,650 | ||||
Heska | 20,241 | b | 1,571,916 | ||||
HMS Holdings | 244,589 | b | 7,442,843 | ||||
Integer Holdings | 85,669 | b | 5,918,871 | ||||
Invacare | 89,721 | 663,935 | |||||
Lantheus Holdings | 112,347 | b | 2,714,304 | ||||
LeMaitre Vascular | 46,628 | 1,346,617 | |||||
LHC Group | 83,961 | b | 9,328,907 | ||||
Magellan Health | 70,175 | b | 4,912,250 | ||||
Meridian Bioscience | 123,617 | 1,422,832 | |||||
Merit Medical Systems | 157,788 | a,b | 8,864,530 | ||||
Natus Medical | 96,260 | b | 2,575,918 | ||||
Neogen | 149,638 | b | 9,077,041 | ||||
NextGen Healthcare | 139,597 | b | 2,623,028 | ||||
Omnicell | 116,882 | b | 9,392,638 | ||||
OraSure Technologies | 176,678 | b | 1,671,374 | ||||
Orthofix Medical | 54,775 | b | 3,001,122 | ||||
Owens & Minor | 188,239 | a | 641,895 | ||||
Providence Service | 31,735 | b | 2,104,983 | ||||
Select Medical Holdings | 308,400 | b | 4,431,708 | ||||
Surmodics | 38,371 | b | 1,666,836 | ||||
Tabula Rasa HealthCare | 50,179 | a,b | 2,672,534 | ||||
Tactile Systems Technology | 48,529 | a,b | 2,414,803 | ||||
Tivity Health | 137,513 | a,b | 2,973,031 | ||||
U.S. Physical Therapy | 36,310 | 4,229,752 | |||||
Varex Imaging | 110,041 | b | 3,613,746 | ||||
142,074,710 | |||||||
Household & Personal Products - 1.1% | |||||||
Avon Products | 1,276,686 | b | 4,059,861 | ||||
Central Garden & Pet | 30,861 | a,b | 832,630 | ||||
Central Garden & Pet, Cl. A | 118,821 | b | 2,908,738 | ||||
Inter Parfums | 49,869 | 3,615,004 | |||||
Medifast | 34,273 | 5,027,506 | |||||
WD-40 | 39,779 | a | 6,692,817 | ||||
23,136,556 | |||||||
Insurance - 3.5% | |||||||
Ambac Financial Group | 129,465 | b | 2,420,996 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Insurance - 3.5% (continued) | |||||||
American Equity Investment Life Holding | 261,759 | 7,698,332 | |||||
AMERISAFE | 56,326 | 3,335,626 | |||||
eHealth | 53,566 | b | 3,253,599 | ||||
Employers Holdings | 94,014 | 4,035,081 | |||||
HCI Group | 21,092 | a | 898,941 | ||||
Horace Mann Educators | 118,205 | 4,560,349 | |||||
James River Group Holdings | 87,052 | 3,675,335 | |||||
Navigators Group | 66,178 | 4,628,489 | |||||
ProAssurance | 155,173 | 5,823,643 | |||||
RLI | 112,972 | a | 9,188,013 | ||||
Safety Insurance Group | 42,235 | 3,924,476 | |||||
Selective Insurance Group | 169,671 | 12,099,239 | |||||
Stewart Information Services | 69,222 | 2,942,627 | |||||
Third Point Reinsurance | 215,365 | b | 2,500,388 | ||||
United Fire Group | 61,952 | 2,701,727 | |||||
United Insurance Holdings | 62,537 | a | 958,067 | ||||
Universal Insurance Holdings | 92,003 | 2,740,769 | |||||
77,385,697 | |||||||
Materials - 4.4% | |||||||
AdvanSix | 85,789 | b | 2,593,401 | ||||
AK Steel Holding | 897,975 | a,b | 2,173,100 | ||||
American Vanguard | 79,035 | 1,244,011 | |||||
Balchem | 92,760 | 9,416,068 | |||||
Boise Cascade | 113,902 | 3,153,946 | |||||
Century Aluminum | 146,841 | a,b | 1,234,933 | ||||
Clearwater Paper | 49,303 | b | 994,442 | ||||
Ferro | 238,631 | a,b | 4,264,336 | ||||
FutureFuel | 73,133 | 1,074,324 | |||||
H.B. Fuller | 145,735 | 7,136,643 | |||||
Hawkins | 28,393 | 1,047,986 | |||||
Haynes International | 37,366 | 1,207,295 | |||||
Innophos Holdings | 56,770 | 1,827,426 | |||||
Innospec | 70,110 | 5,946,730 | |||||
Kaiser Aluminum | 47,159 | 4,640,446 | |||||
Koppers Holdings | 60,393 | b | 1,614,909 | ||||
Kraton | 91,269 | b | 2,995,449 | ||||
Livent | 418,745 | b | 4,514,071 | ||||
LSB Industries | 57,296 | a,b | 335,182 | ||||
Materion | 59,435 | 3,449,013 | |||||
Mercer International | 125,797 | 1,781,286 | |||||
Myers Industries | 103,543 | 1,852,384 | |||||
Neenah | 48,855 | 3,314,812 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Materials - 4.4% (continued) | |||||||
Olympic Steel | 27,222 | 441,541 | |||||
P.H. Glatfelter | 125,352 | 1,978,055 | |||||
Quaker Chemical | 38,346 | a | 8,582,602 | ||||
Rayonier Advanced Materials | 144,856 | a | 2,149,663 | ||||
Schweitzer-Mauduit International | 88,922 | 3,162,956 | |||||
Stepan | 58,833 | 5,444,406 | |||||
SunCoke Energy | 187,896 | b | 1,617,785 | ||||
TimkenSteel | 116,897 | a,b | 1,185,336 | ||||
Tredegar | 71,032 | 1,279,997 | |||||
US Concrete | 45,242 | a,b | 2,132,255 | ||||
95,786,789 | |||||||
Media & Entertainment - .8% | |||||||
Care.com | 74,497 | b | 1,247,825 | ||||
E.W. Scripps, Cl. A | 163,136 | 3,717,869 | |||||
Gannet Company | 333,519 | a | 3,111,732 | ||||
Marcus | 61,345 | 2,307,799 | |||||
New Media Investment Group | 158,018 | a | 1,689,212 | ||||
QuinStreet | 112,371 | a,b | 1,603,534 | ||||
Scholastic | 80,560 | 3,212,733 | |||||
TechTarget | 60,340 | b | 1,007,075 | ||||
17,897,779 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.3% | |||||||
Acorda Therapeutics | 115,398 | a,b | 1,205,909 | ||||
Akorn | 257,871 | b | 696,252 | ||||
AMAG Pharmaceuticals | 99,760 | b | 1,113,322 | ||||
Amphastar Pharmaceuticals | 99,632 | a,b | 2,151,055 | ||||
ANI Pharmaceuticals | 23,652 | a,b | 1,678,819 | ||||
Anika Therapeutics | 42,322 | b | 1,347,956 | ||||
Assertio Therapeutics | 193,007 | b | 804,839 | ||||
Cambrex | 97,446 | a,b | 4,192,127 | ||||
Corcept Therapeutics | 296,458 | a,b | 3,670,150 | ||||
Cytokinetics | 161,638 | a,b | 1,425,647 | ||||
Eagle Pharmaceuticals | 31,067 | b | 1,597,154 | ||||
Emergent BioSolutions | 128,898 | b | 6,661,449 | ||||
Enanta Pharmaceuticals | 44,825 | a,b | 3,908,292 | ||||
Endo International | 573,521 | b | 4,301,407 | ||||
Innoviva | 198,146 | a,b | 2,779,988 | ||||
Lannett | 94,265 | a,b | 724,898 | ||||
Luminex | 119,983 | 2,736,812 | |||||
Medicines | 191,684 | a,b | 6,124,304 | ||||
Medpace Holdings | 75,492 | b | 4,240,386 | ||||
Momenta Pharmaceuticals | 282,151 | b | 3,947,292 | ||||
Myriad Genetics | 211,021 | a,b | 6,642,941 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.3% (continued) | |||||||
NeoGenomics | 274,498 | a,b | 5,717,793 | ||||
Phibro Animal Health, Cl. A | 56,909 | 1,975,311 | |||||
Progenics Pharmaceuticals | 251,329 | a,b | 1,291,831 | ||||
REGENXBIO | 88,793 | a,b | 4,475,167 | ||||
Repligen | 112,183 | a,b | 7,558,891 | ||||
Spectrum Pharmaceuticals | 301,150 | a,b | 2,821,775 | ||||
Supernus Pharmaceuticals | 150,071 | a,b | 5,512,108 | ||||
Vanda Pharmaceuticals | 149,663 | b | 2,438,010 | ||||
93,741,885 | |||||||
Real Estate - 7.2% | |||||||
Acadia Realty Trust | 234,278 | a,c | 6,616,011 | ||||
Agree Realty | 107,879 | a,c | 7,062,838 | ||||
American Assets Trust | 108,289 | c | 5,001,869 | ||||
Armada Hoffler Properties | 145,997 | c | 2,357,852 | ||||
CareTrust | 273,262 | c | 6,626,603 | ||||
CBL & Associates Properties | 481,396 | a,c | 486,210 | ||||
Cedar Realty Trust | 245,937 | c | 755,027 | ||||
Chatham Lodging Trust | 135,915 | c | 2,676,166 | ||||
Chesapeake Lodging Trust | 173,240 | c | 4,937,340 | ||||
Community Healthcare Trust | 49,574 | c | 1,808,460 | ||||
Diamondrock Hospitality | 580,862 | c | 6,308,161 | ||||
Easterly Government Properties | 173,558 | c | 3,124,044 | ||||
EastGroup Properties | 104,692 | a,c | 11,969,436 | ||||
Four Corners Property Trust | 194,392 | a,c | 5,528,508 | ||||
Franklin Street Properties | 312,493 | c | 2,456,195 | ||||
Getty Realty | 97,104 | c | 3,149,083 | ||||
Global Net Lease | 238,840 | c | 4,554,679 | ||||
Hersha Hospitality Trust | 106,707 | a,c | 1,981,549 | ||||
HFF, Cl. A | 112,577 | 5,357,539 | |||||
Independence Realty Trust | 253,261 | c | 2,682,034 | ||||
Innovative Industrial Properties | 28,652 | c | 2,439,431 | ||||
iStar | 197,796 | a,c | 1,714,891 | ||||
Kite Realty Group Trust | 244,722 | c | 3,864,160 | ||||
Lexington Realty Trust | 603,376 | c | 5,472,620 | ||||
LTC Properties | 113,708 | c | 5,123,682 | ||||
Marcus & Millichap | 61,994 | b | 2,671,941 | ||||
National Storage Affiliates Trust | 162,111 | c | 4,743,368 | ||||
NorthStar Realty Europe | 145,419 | c | 2,592,821 | ||||
Office Properties Income Trust | 138,102 | c | 3,748,088 | ||||
Pennsylvania Real Estate Investment Trust | 183,482 | a,c | 1,104,562 | ||||
RE/MAX Holdings, Cl. A | 51,525 | 2,232,578 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Real Estate - 7.2% (continued) | |||||||
Retail Opportunity Investments | 327,091 | c | 5,740,447 | ||||
RPT Realty | 234,517 | a,c | 2,844,691 | ||||
Saul Centers | 33,740 | c | 1,800,029 | ||||
Summit Hotel Properties | 303,414 | a,c | 3,522,637 | ||||
Universal Health Realty Income Trust | 36,336 | c | 2,943,943 | ||||
Urstadt Biddle Properties, Cl. A | 86,466 | c | 1,896,199 | ||||
Washington Prime Group | 543,952 | a,c | 2,420,586 | ||||
Washington Real Estate Investment Trust | 229,546 | a,c | 6,482,379 | ||||
Whitestone | 118,226 | a,c | 1,516,840 | ||||
Xenia Hotels & Resorts | 323,052 | a,c | 6,994,076 | ||||
157,309,573 | |||||||
Retailing - 5.0% | |||||||
Abercrombie & Fitch, Cl. A | 188,548 | a | 5,635,700 | ||||
Asbury Automotive Group | 56,732 | a,b | 4,548,772 | ||||
Ascena Retail Group | 506,186 | b | 602,361 | ||||
Barnes & Noble | 165,376 | a | 831,841 | ||||
Barnes and Noble Education | 111,911 | a,b | 481,217 | ||||
Big Lots | 116,558 | a | 4,331,295 | ||||
Boot Barn Holdings Inc | 81,197 | a,b | 2,337,662 | ||||
Buckle | 83,666 | a | 1,546,148 | ||||
Caleres | 122,895 | a | 3,223,536 | ||||
Cato, Cl. A | 64,900 | 983,884 | |||||
Chico's | 348,339 | a | 1,219,187 | ||||
Conn's | 71,465 | b | 1,848,800 | ||||
Core-Mark Holding | 130,998 | 4,761,777 | |||||
Designer Brands | 169,385 | a | 3,768,816 | ||||
Express | 196,968 | a,b | 724,842 | ||||
GameStop, Cl. A | 291,323 | a | 2,519,944 | ||||
Genesco | 53,493 | a,b | 2,397,021 | ||||
Group 1 Automotive | 50,408 | a | 3,947,450 | ||||
Guess? | 162,253 | a | 3,305,094 | ||||
Haverty Furniture | 53,268 | 1,268,844 | |||||
Hibbett Sports | 52,774 | a,b | 1,092,422 | ||||
J.C. Penney | 904,613 | a,b | 1,239,320 | ||||
Kirkland's | 41,924 | b | 246,513 | ||||
Liquidity Services | 71,720 | b | 486,979 | ||||
Lithia Motors, Cl. A | 63,770 | a | 7,239,170 | ||||
Lumber Liquidators Holdings | 77,555 | a,b | 1,025,277 | ||||
MarineMax | 68,116 | a,b | 1,177,726 | ||||
Monro | 94,819 | a | 7,948,677 | ||||
Office Depot | 1,536,812 | 3,688,349 | |||||
PetMed Express | 60,119 | a | 1,313,600 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Retailing - 5.0% (continued) | |||||||
Rent-A-Center | 130,259 | b | 3,247,357 | ||||
RH | 53,703 | a,b | 5,730,647 | ||||
Shoe Carnival | 28,455 | a | 1,014,705 | ||||
Shutterfly | 100,109 | b | 4,387,777 | ||||
Shutterstock | 53,460 | a,b | 2,162,457 | ||||
Sleep Number | 88,332 | a,b | 3,073,954 | ||||
Sonic Automotive, Cl. A | 67,776 | a | 1,371,108 | ||||
Stamps.com | 47,704 | a,b | 4,093,003 | ||||
Tailored Brands | 145,993 | a | 1,189,843 | ||||
The Children's Place | 47,016 | 5,304,345 | |||||
Tile Shop Holdings | 113,578 | a | 551,989 | ||||
Vitamin Shoppe | 48,690 | b | 305,773 | ||||
Zumiez | 53,806 | a,b | 1,432,854 | ||||
109,608,036 | |||||||
Semiconductors & Semiconductor Equipment - 3.7% | |||||||
Advanced Energy Industries | 108,945 | b | 6,292,663 | ||||
Axcelis Technologies | 92,898 | b | 1,977,798 | ||||
Brooks Automation | 206,518 | a | 7,746,490 | ||||
Cabot Microelectronics | 83,964 | 10,600,455 | |||||
CEVA | 63,363 | b | 1,596,114 | ||||
Cohu | 118,482 | 1,757,088 | |||||
Diodes | 118,849 | b | 4,328,481 | ||||
DSP Group | 50,795 | b | 725,861 | ||||
FormFactor | 214,455 | b | 4,063,922 | ||||
Ichor Holdings | 64,891 | a,b | 1,633,955 | ||||
Kopin | 181,820 | b | 227,275 | ||||
Kulicke & Soffa Industries | 193,279 | 4,497,602 | |||||
MaxLinear | 181,787 | a,b | 4,891,888 | ||||
Nanometrics | 68,651 | b | 2,045,113 | ||||
PDF Solutions | 78,021 | a,b | 1,012,713 | ||||
Photronics | 199,906 | b | 1,867,122 | ||||
Power Integrations | 83,137 | 6,569,486 | |||||
Rambus | 314,246 | b | 3,601,259 | ||||
Rudolph Technologies | 86,028 | b | 2,081,017 | ||||
SMART Global Holdings | 36,901 | a,b | 802,228 | ||||
SolarEdge Technologies | 126,975 | a,b | 5,624,992 | ||||
Ultra Clean Holdings | 115,353 | a,b | 1,380,775 | ||||
Veeco Instruments | 136,481 | b | 1,662,339 | ||||
Xperi | 139,328 | 3,462,301 | |||||
80,448,937 | |||||||
Software & Services - 4.8% | |||||||
8x8 | 274,257 | a,b | 6,560,227 | ||||
Agilysys | 49,407 | b | 945,156 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Software & Services - 4.8% (continued) | |||||||
Alarm.com Holdings | 100,607 | a,b | 7,131,024 | ||||
Bottomline Technologies | 107,356 | b | 5,428,993 | ||||
Cardtronics, Cl. A | 109,193 | b | 3,904,742 | ||||
CSG Systems International | 93,738 | 4,185,402 | |||||
Ebix | 61,912 | a | 3,125,318 | ||||
EVERTEC | 172,046 | 5,386,760 | |||||
ExlService Holdings | 98,362 | b | 5,842,703 | ||||
LivePerson | 167,233 | b | 4,904,944 | ||||
ManTech International, Cl. A | 77,049 | 4,776,268 | |||||
MicroStrategy, Cl. A | 23,837 | b | 3,568,399 | ||||
Monotype Imaging Holdings | 119,016 | 2,051,836 | |||||
NIC | 190,112 | 3,281,333 | |||||
OneSpan | 92,193 | b | 1,709,258 | ||||
Perficient | 97,186 | b | 2,861,156 | ||||
Progress Software | 129,409 | 5,902,344 | |||||
Qualys | 97,406 | a,b | 8,791,866 | ||||
SPS Commerce | 51,796 | b | 5,373,317 | ||||
Sykes Enterprises | 115,202 | b | 3,196,855 | ||||
TiVo | 356,872 | 3,343,891 | |||||
Travelport Worldwide | 376,719 | 5,906,954 | |||||
TTEC Holdings | 39,550 | 1,441,993 | |||||
Unisys | 148,250 | b | 1,661,883 | ||||
Virtusa | 78,764 | b | 4,375,340 | ||||
105,657,962 | |||||||
Technology Hardware & Equipment - 6.5% | |||||||
3D Systems | 326,785 | a,b | 3,476,992 | ||||
ADTRAN | 136,623 | 2,341,718 | |||||
Anixter International | 83,669 | b | 5,260,270 | ||||
Applied Optoelectronics | 57,117 | a,b | 715,105 | ||||
Arlo Technologies | 220,257 | b | 874,420 | ||||
Badger Meter | 83,484 | 4,631,692 | |||||
Bel Fuse, Cl. B | 30,492 | 722,660 | |||||
Benchmark Electronics | 117,506 | 3,176,187 | |||||
CalAmp | 93,440 | b | 1,365,158 | ||||
Comtech Telecommunications | 69,272 | 1,629,970 | |||||
Control4 | 76,320 | b | 1,328,731 | ||||
Cray | 117,746 | a,b | 3,092,010 | ||||
CTS Coproration | 96,442 | 2,888,438 | |||||
Daktronics | 116,710 | 884,662 | |||||
Diebold Nixdorf | 215,811 | b | 2,177,533 | ||||
Digi International | 79,811 | b | 1,027,168 | ||||
Electronics For Imaging | 125,129 | b | 4,653,548 | ||||
ePlus | 39,642 | b | 3,737,844 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Technology Hardware & Equipment - 6.5% (continued) | |||||||
Extreme Networks | 343,524 | b | 2,748,192 | ||||
Fabrinet | 105,770 | b | 6,401,200 | ||||
FARO Technologies | 50,711 | b | 2,852,494 | ||||
Finisar | 337,679 | b | 8,141,441 | ||||
Harmonic | 252,658 | a,b | 1,430,044 | ||||
II-VI | 171,796 | a,b | 6,844,353 | ||||
Insight Enterprises | 101,846 | b | 5,762,447 | ||||
Itron | 95,477 | b | 5,123,296 | ||||
KEMET | 165,675 | a | 2,960,612 | ||||
Knowles | 258,308 | a,b | 4,876,855 | ||||
Methode Electronics | 106,924 | 3,155,327 | |||||
MTS Systems | 51,435 | a | 2,827,896 | ||||
NETGEAR | 90,063 | b | 2,794,655 | ||||
OSI Systems | 48,347 | b | 4,357,515 | ||||
Park Electrochemical | 58,292 | 958,903 | |||||
Plexus | 89,060 | b | 5,359,631 | ||||
Rogers | 52,894 | a,b | 8,860,803 | ||||
Sanmina | 196,048 | b | 6,649,948 | ||||
ScanSource | 73,876 | b | 2,781,431 | ||||
TTM Technologies | 266,881 | a,b | 3,533,504 | ||||
Viavi Solutions | 657,139 | b | 8,739,949 | ||||
141,144,602 | |||||||
Telecommunication Services - 1.2% | |||||||
ATN International | 31,198 | 1,904,638 | |||||
Cincinnati Bell | 140,349 | a,b | 1,249,106 | ||||
Cogent Communications Holdings | 120,081 | 6,632,074 | |||||
Consolidated Communications Holdings | 201,991 | a | 1,042,274 | ||||
Frontier Communications | 297,486 | a,b | 847,835 | ||||
Iridium Communications | 283,764 | b | 7,792,159 | ||||
Spok Holdings | 52,897 | 732,623 | |||||
Vonage Holdings | 637,826 | b | 6,199,669 | ||||
26,400,378 | |||||||
Transportation - 2.3% | |||||||
Allegiant Travel | 37,007 | 5,435,588 | |||||
ArcBest | 73,152 | a | 2,235,525 | ||||
Atlas Air Worldwide Holdings | 73,233 | b | 3,536,422 | ||||
Echo Global Logistics | 81,756 | b | 1,875,483 | ||||
Forward Air | 83,266 | 5,272,403 | |||||
Hawaiian Holdings | 142,232 | a | 4,012,365 | ||||
Heartland Express | 139,052 | 2,736,543 | |||||
Hub Group, Cl. A | 97,646 | b | 4,059,144 | ||||
Marten Transport | 110,863 | 2,192,870 | |||||
Matson | 122,346 | 4,846,125 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Transportation - 2.3% (continued) | |||||||
Saia | 73,673 | b | 4,743,804 | ||||
SkyWest | 149,233 | 9,191,260 | |||||
50,137,532 | |||||||
Utilities - 2.0% | |||||||
American States Water | 105,631 | a | 7,517,758 | ||||
Avista | 188,851 | 8,147,032 | |||||
California Water Service Group | 138,167 | a | 6,962,235 | ||||
El Paso Electric | 116,911 | 7,144,431 | |||||
Northwest Natural Holding Co. | 82,757 | 5,535,616 | |||||
South Jersey Industries | 265,371 | 8,523,717 | |||||
43,830,789 | |||||||
Total Common Stocks(cost $1,543,870,731) | 2,178,095,174 | ||||||
Exchange-Traded Funds - .2% | |||||||
Registered Investment Companies - .2% | |||||||
iShares Core S&P Small-Cap ETF | 66,252 | 5,308,773 | |||||
Number of Rights | |||||||
Rights - .0% | |||||||
Materials - .0% | |||||||
A. Schulman | 90,112 | 0 | |||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills - .0% | |||||||
2.43%, 6/6/19 | 365,000 | d | 364,130 | ||||
1-Day | Shares | ||||||
Investment Companies - .1% | |||||||
Registered Investment Companies - .1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 1,415,387 | e | 1,415,387 |
22
Description | 1-Day | Shares | Value ($) | ||||
Investment of Cash Collateral for Securities Loaned - 1.2% | |||||||
Registered Investment Companies - 1.2% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2.45 | 26,529,194 | e | 26,529,194 | |||
Total Investments(cost $1,577,456,948) | 101.1% | 2,211,712,658 | |||||
Liabilities, Less Cash and Receivables | (1.1%) | (24,636,101) | |||||
Net Assets | 100.0% | 2,187,076,557 |
ETF—Exchange-Traded Fund
a Security, or portion thereof, on loan. At April 30, 2019, the value of the fund’s securities on loan was $516,844,549 and the value of the collateral held by the fund was $528,922,541, consisting of cash collateral of $26,529,194 and U.S. Government & Agency securities valued at $502,393,347.
b Non-income producing security.
c Investment in real estate investment trust within the United States.
d Held by a counterparty for open exchange traded derivative contracts.
e Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited)† | Value (%) |
Industrials | 18.9 |
Financials | 17.7 |
Information Technology | 15.0 |
Consumer Discretionary | 13.8 |
Health Care | 10.8 |
Real Estate | 7.2 |
Materials | 4.4 |
Energy | 4.4 |
Consumer Staples | 3.4 |
Communication Services | 2.0 |
Utilities | 2.0 |
Investment Companies | 1.5 |
Government | .0 |
101.1 |
† Based on net assets.
See notes to financial statements.
23
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS(Unaudited)
Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividend/ |
Registered Investment Companies: | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 7,733,798 | 161,040,850 | 167,359,261 | 1,415,387 | .1 | 128,648 |
Investment of Cash Collateral for Securities Loaned:† | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares | 67,579,114 | 47,684,424 | 115,263,538 | - | - | - |
Dreyfus Institutional Preferred Government Plus Money Market Fund | - | 139,617,914 | 113,088,720 | 26,529,194 | 1.2 | - |
Total | 75,312,912 | 415,922,302 | 395,711,519 | 27,944,581 | 1.3 | 128,648 |
† Effective January 2, 2019, cash collateral for securities lending was transferred from Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares to Dreyfus Institutional Preferred Government Plus Money Market Fund.
See notes to financial statements.
24
STATEMENT OF FUTURES
April 30, 2019 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 77 | 6/19 | 6,019,558 | 6,137,670 | 118,112 | |
Gross Unrealized Appreciation | 118,112 |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 1,549,512,367 |
| 2,183,768,077 |
| ||
Affiliated issuers |
| 27,944,581 |
| 27,944,581 |
| |
Cash |
|
|
|
| 40,017 |
|
Receivable for investment securities sold |
| 11,216,638 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,938,687 |
| |||
Dividends, interest and securities lending income receivable |
| 822,939 |
| |||
|
|
|
|
| 2,225,730,939 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 780,183 |
| |||
Liability for securities on loan—Note 1(b) |
| 26,529,194 |
| |||
Payable for investment securities purchased |
| 8,029,270 |
| |||
Payable for shares of Common Stock redeemed |
| 3,241,328 |
| |||
Directors fees and expenses payable |
| 43,458 |
| |||
Payable for futures variation margin—Note 4 |
| 30,800 |
| |||
Interest payable—Note 2 |
| 149 |
| |||
|
|
|
|
| 38,654,382 |
|
Net Assets ($) |
|
| 2,187,076,557 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,504,966,073 |
|
Total distributable earnings (loss) |
|
|
|
| 682,110,484 |
|
Net Assets ($) |
|
| 2,187,076,557 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 1,918,577,096 | 268,499,461 |
|
Shares Outstanding | 65,441,841 | 9,170,946 |
|
Net Asset Value Per Share ($) | 29.32 | 29.28 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
26
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2019 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $6,561 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 18,229,460 |
| ||
Affiliated issuers |
|
| 128,648 |
| ||
Income from securities lending—Note 1(b) |
|
| 541,210 |
| ||
Interest |
|
| 11,483 |
| ||
Total Income |
|
| 18,910,801 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,712,188 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 2,382,388 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 129,877 |
| ||
Loan commitment fees—Note 2 |
|
| 43,742 |
| ||
Interest expense—Note 2 |
|
| 2,167 |
| ||
Total Expenses |
|
| 5,270,362 |
| ||
Less—Directors’ fees reimbursed by |
|
| (129,877) |
| ||
Net Expenses |
|
| 5,140,485 |
| ||
Investment Income—Net |
|
| 13,770,316 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 58,643,777 |
| ||||
Net realized gain (loss) on futures | (887,339) |
| ||||
Net Realized Gain (Loss) |
|
| 57,756,438 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (9,809,362) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 343,785 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (9,465,577) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 48,290,861 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 62,061,177 |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 13,770,316 |
|
|
| 21,251,532 |
| |
Net realized gain (loss) on investments |
| 57,756,438 |
|
|
| 212,735,238 |
| ||
Net unrealized appreciation (depreciation) |
| (9,465,577) |
|
|
| (117,062,273) |
| ||
Net Increase (Decrease) in Net Assets | 62,061,177 |
|
|
| 116,924,497 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (207,838,354) |
|
|
| (153,303,837) |
| |
Class I |
|
| (29,388,024) |
|
|
| (14,260,013) |
| |
Total Distributions |
|
| (237,226,378) |
|
|
| (167,563,850) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 176,994,019 |
|
|
| 505,644,744 |
| |
Class I |
|
| 68,689,050 |
|
|
| 160,424,441 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 206,717,158 |
|
|
| 152,716,931 |
| |
Class I |
|
| 21,077,321 |
|
|
| 7,584,098 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (341,232,603) |
|
|
| (804,345,104) |
| |
Class I |
|
| (90,122,732) |
|
|
| (52,825,380) |
| |
Increase (Decrease) in Net Assets | 42,122,213 |
|
|
| (30,800,270) |
| |||
Total Increase (Decrease) in Net Assets | (133,042,988) |
|
|
| (81,439,623) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,320,119,545 |
|
|
| 2,401,559,168 |
| |
End of Period |
|
| 2,187,076,557 |
|
|
| 2,320,119,545 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 6,114,172 |
|
|
| 14,895,154 |
| |
Shares issued for distributions reinvested |
|
| 8,289,400 |
|
|
| 4,829,136 |
| |
Shares redeemed |
|
| (11,971,396) |
|
|
| (24,042,643) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,432,176 |
|
|
| (4,318,353) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 2,477,562 |
|
|
| 4,693,159 |
| |
Shares issued for distributions reinvested |
|
| 847,255 |
|
|
| 240,116 |
| |
Shares redeemed |
|
| (3,229,585) |
|
|
| (1,549,704) |
| |
Net Increase (Decrease) in Shares Outstanding | 95,232 |
|
|
| 3,383,571 |
| |||
|
|
|
|
|
|
|
|
|
|
aDuring the period ended October 31, 2018, 11,090 Investor shares representing $382,272 were exchanged for 11,086 Class I shares. | |||||||||
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2019 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2018 | 2017 | 2016a | 2015 | 2014 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 32.18 | 32.89 | 27.55 | 28.94 | 30.45 | 29.16 |
Investment Operations: | ||||||
Investment income—netb | .18 | .28 | .27 | .29 | .28 | .22 |
Net realized and unrealized | .30 | 1.34 | 7.02 | 1.20 | .52 | 2.34 |
Total from Investment Operations | .48 | 1.62 | 7.29 | 1.49 | .80 | 2.56 |
Distributions: | ||||||
Dividends from | (.29) | (.28) | (.28) | (.28) | (.24) | (.21) |
Dividends from net realized | (3.05) | (2.05) | (1.67) | (2.60) | (2.07) | (1.06) |
Total Distributions | (3.34) | (2.33) | (1.95) | (2.88) | (2.31) | (1.27) |
Net asset value, end of period | 29.32 | 32.18 | 32.89 | 27.55 | 28.94 | 30.45 |
Total Return (%) | 3.29c | 5.07 | 27.11 | 5.73 | 2.54 | 8.91 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .51d | .51 | .51 | .51 | .51 | .51 |
Ratio of net expenses | .50d | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment income | 1.24d | .85 | .89 | 1.06 | .94 | .75 |
Portfolio Turnover Rate | 9.01c | 19.60 | 20.63 | 23.86 | 16.53 | 18.22 |
Net Assets, end of period ($ x 1,000) | 1,918,577 | 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.
c Not annualized.
d Annualized.
See notes to financial statements.
29
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||
April 30, 2019 | Year Ended October 31, | ||||
Class I Shares | (Unaudited) | 2018 | 2017 | 2016a | |
Per Share Data ($): | |||||
Net asset value, beginning of period | 32.21 | 32.91 | 27.57 | 28.69 | |
Investment Operations: | |||||
Investment income—netb | .21 | .35 | .35 | .01 | |
Net realized and unrealized | .28 | 1.37 | 7.01 | (1.13) | |
Total from Investment Operations | .49 | 1.72 | 7.36 | (1.12) | |
Dividends from | (.37) | (.37) | (.35) | - | |
Dividends from net realized | (3.05) | (2.05) | (1.67) | - | |
Total Distributions | (3.42) | (2.42) | (2.02) | - | |
Net asset value, end of period | 29.28 | 32.21 | 32.91 | 27.57 | |
Total Return (%) | 3.40c | 5.37 | 27.38 | (3.91)c | |
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .26d | .26 | .26 | .27d | |
Ratio of net expenses | .25d | .25 | .25 | .26d | |
Ratio of net investment income | 1.49d | 1.05 | 1.10 | .55d | |
Portfolio Turnover Rate | 9.01c | 19.60 | 20.63 | 23.86 | |
Net Assets, end of period ($ x 1,000) | 268,499 | 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(Unaudited)
NOTE 1—Significant Accounting Policies:
BNY Mellon Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of BNY Mellon 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. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
Effective June 3, 2019, the fund changed its name from Dreyfus Small Cap Stock Index Fund to BNY Mellon Small Cap Stock Index Fund and the Company changed its name from Dreyfus Index Funds, Inc. to BNY Mellon Index Funds, Inc. In addition, The Dreyfus Corporation, the fund’s investment adviser and administrator, changed its name to “BNY Mellon Investment Adviser, Inc.”, MBSC Securities Corporation, the fund’s distributor, changed its name to “BNY Mellon Securities Corporation” and Dreyfus Transfer, Inc., the fund’s transfer agent, changed its name to “BNY Mellon Transfer, Inc.”
BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
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 Companyenters 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.
32
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 oversight 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.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2019in 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— | 2,178,095,174 | - | - | 2,178,095,174 |
Exchange-Traded Funds | 5,308,773 | - | - | 5,308,773 |
Investment Companies | 27,944,581 | - | - | 27,944,581 |
Rights | - | 0†† | - | 0 |
U.S. Treasury | - | 364,130 | - | 364,130 |
Other Financial | ||||
Futures††† | 118,112 | - | - | 118,112 |
† See Statement of Investments for additional detailed categorizations.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
††† 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 April 30, 2019, 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 the Adviser, the fund may lend securities to qualified institutions. It is the fund’s policy
34
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 the Adviser, or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2019, The Bank of New York Mellon earned $109,571 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by the Adviser 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 April 30, 2019, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2019, the fund did not incur any interest or penalties.
35
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
Each tax year in the three-year period ended October 31, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2018 was as follows: ordinary income $43,122,084, and long-term capital gains $124,441,766. The tax character of current year distributions will be determined at the end of the current fiscal year.
(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 fiscal years 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 long-term open-end funds managed by the Adviser in a $1.030 billion unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $830 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is in amount equal to $200 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended April 30, 2019 was approximately $128,180 with a related weighted average annualized interest rate of 3.41%.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a)Pursuant to a management agreement (the “Agreement”) with the Adviser, the management fee is computed at the annual rate of .25% of the
36
value of the fund’s average daily net assets and is payable monthly. Out of its fee, the Adviser 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, the Adviser is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Directors (including counsel fees). During the period ended April 30, 2019, fees reimbursed by the Adviser amounted to $129,877.
(b)Under the Shareholder Services Plan, Investor shares pay the Distributor at an annual rate of .25% of the value of its average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts, such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2019,the fund was charged $2,382,388 pursuant to the Shareholder Services Plan.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees $447,913 and Shareholder Services Plan fees $393,293, which are offset against an expense reimbursement currently in effect in the amount of $61,023.
(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and futures, during the period ended April 30, 2019, amounted to $197,484,141 and $368,409,404, respectively.
Derivatives:A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2019 is discussed below.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)
Futures:In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price riskas a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2019 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding duringthe period ended April 30, 2019:
|
| Average Market Value ($) |
Equity futures |
| 13,483,903 |
|
|
|
At April 30, 2019, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $634,373,822, consisting of $795,496,163 gross unrealized appreciation and $161,122,341 gross unrealized depreciation.
At April 30, 2019, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
38
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 12-13, 2019, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. It was noted that there were only three other funds in the Performance Group and the Expense Group. The
39
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds. The Board discussed with representatives of the Adviser and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was at or above the Performance Group and Performance Universe medians for all periods, except the two-, three- and four-year periods when it was slightly below the Performance Group median (although ranked third or fourth among the funds in the Performance Group). The Adviser also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Representatives of the Adviser reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by the Adviser that are in the same Lipper category as the fund and (2) paid to the Adviser, or the primary employer of the fund’s primary portfolio manager(s) that is affiliated with the Adviser, for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors, noting the fund’s “unitary” fee structure. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by the Adviser. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
40
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by the Adviser, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Representatives of the Adviser stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by the Adviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance.
· The Board concluded that the fee paid to the Adviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates, of the Adviser and the services provided to the fund by the Adviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement,
41
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
42
NOTES
43
NOTES
44
NOTES
45
BNY Mellon Smallcap Stock Index Fund
240 Greenwich Street
New York, NY 10286
Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286
Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286
Ticker Symbols: | Investor: DISSX Class I: DISIX |
Telephone Call your financial representative or 1-800-373-9387
Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mailSend your request toinfo@bnymellon.com
InternetInformation can be viewed online or downloaded atwww.bnymellonim.com/us
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-PORT. The fund’s Forms N-PORT are available on the SEC’s website atwww.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 atwww.bnymellonim.com/us and on the SEC’s website atwww.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2019 BNY Mellon Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
BNY Mellon Index Funds, Inc.
By: /s/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: June 25, 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/ Renee LaRoche-Morris
Renee LaRoche-Morris
President (Principal Executive Officer)
Date: June 25, 2019
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: June 25, 2019
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)