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: | 04/30/2020
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FORM N-CSR
Item 1. Reports to Stockholders.
BNY Mellon International Stock Index Fund
SEMIANNUAL REPORT April 30, 2020 |
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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
BNY Mellon Investment Adviser, Inc. | |
With Those of Other Funds | |
in Affiliated Issuers | |
Currency Exchange Contracts | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.
Dear Shareholder:
We are pleased to present this semiannual report for BNY Mellon International Stock Index Fund, covering the six-month period from November 1, 2019 through April 30, 2020. 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.
Stock markets performed well over the last several months of 2019. Accommodative policies from the U.S. Federal Reserve (the “Fed”), paired with healthy U.S. consumer spending, helped support valuations. Despite periodic investor concern regarding trade relations with China and global growth rates, the rally continued through the end of the calendar year, supported in part by a December announcement that the first phase of a trade deal with China was in process. U.S. equity markets reached new highs during the final months of 2019. However, the euphoria was short-lived, as concerns over the spread of COVID-19 and widespread quarantine roiled markets during the first several months of 2020; stocks posted historic losses in March 2020 but regained some ground in April.
In fixed-income markets, interest rates were heavily influenced by changes in Fed policy and investor concern over COVID-19. As stocks rallied in November and December 2019, Treasury bond prices declined, and rates across much of the yield curve rose until early in 2020, when the threat posed by COVID-19 began to emerge. A flight to quality ensued, and rates fell significantly. March 2020 brought high volatility and risk-asset spread widened. The Fed cut rates twice in March, and the government launched a large stimulus package. In April 2020, bond prices began to recover some of their prior losses.
The near-term outlook for the U.S. will be challenging, as the country continues to face COVID-19. However, we believe that once the economic effects have been mitigated, the economy will rebound. As always, we will monitor relevant data for signs of change. 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.
May 15, 2020
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2019 through April 30, 2020, 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, 2020, the BNY Mellon International Stock Index Fund’s Investor shares returned -14.70%1, and its Class I shares produced a total return of -14.60%. This compares with a -14.21% total return for the fund’s benchmark, the MSCI EAFE Index (the “Index”), during the same period.2
International stocks fell during the period, due to volatility stemming from the COVID-19 pandemic. The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.
The Fund’s Investment Approach
The fund seeks to match the performance of the Index. To pursue its goal, the fund generally is fully invested in stocks included in the Index and in futures whose performance is tied to certain countries included in the Index. The fund generally invests in all stocks included in the Index. The fund’s investments are selected to match the benchmark composition along individual name, country and industry weighting, and other benchmark characteristics. Under these circumstances, the fund maintains approximately the same weighting for each stock as the Index does.
The Index is an unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of developed-markets, excluding the United States and Canada. Each stock in the Index is weighted by its float-adjusted market capitalization.
Geopolitics, Pandemics and Central Banks Influence Markets
Equity markets were affected by an array of geopolitical developments in late 2019, ranging from civil protests in Hong Kong to an impeachment inquiry against the U.S. president and the Brexit saga in the U.K. The continuing trade tensions between the U.S. and China remained an influencer of investor sentiment and equity market valuations early in the period. Alternating signs of progress and deterioration in the trade dispute occurred, although the year concluded with President Trump indicating that he would sign the first phase of a deal. Investor optimism helped fuel a rally through December 2019.
Volatility reentered equity markets in January, due to concerns over the spread of COVID-19 and the resulting economic implications. Although some indices hit new record highs in early February 2020, investor sentiment shifted later in the month, due to increasing COVID-19 cases in the U.S. A sell-off began that accelerated through late March 2020, eliminating gains for many areas of the capital markets, and sending some equity indices into bear market territory. Asset valuations came under additional pressure from the Russia and Saudi Arabia oil conflict, which caused the price of oil to fall precipitously. The U.S. Federal Reserve (the “Fed”) cut the federal funds target rate twice in March 2020, in an effort to support the economy. The European Central Bank as well as other global central banks and governments began to support their respective economies by using forms of monetary and fiscal stimulus. Markets stabilized, and many indices gained ground in April 2020.
Financials Sector Constrains Index Returns
The financials sector struggled most during the reporting period. It is the largest sector of the Index, and its performance went downward during the periods of volatility. Banks were
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
particularly hard hit, due in part to their lending exposure to airlines, retail chains and energy companies. Investor concern over these companies’ ability to repay their debts put downward pressure on stock prices. Valuations of insurance companies also fell as investors speculated over future costs of COVID-19 related claims. The industrials sector also fell during the period, as did consumer discretionary companies. Reduced demand for products and services produced by both of these sectors constrained revenues. Within the consumer discretionary sector, the automotive industry and hotels, restaurants and leisure industries suffered most as consumers, with less discretionary income due to job losses, stayed home. Finally, the energy sector saw significant volatility. A rift between Saudi Arabia and Russia caused the price of oil to plummet, although it later stabilized. Furthermore, demand for gasoline has fallen off significantly, due to the grand scale of remote working. Many energy companies are having difficulty securing loans, making their future uncertain and further unnerving investors.
Conversely, the health care sector provided a tailwind for international markets. Swiss pharmaceutical companies led the sector, due in part to their production of diagnostic tests. The COVID-19 outbreak caused a sharp increase in demand for diagnostic testing kits, which these companies were able to produce. In addition, several developed countries, such as Germany and Switzerland, purchased massive quantities of testing kits, since they have the infrastructure necessary to test their populations on a large scale. This high amount of demand for tests helped to drive revenues for diagnostic-testing companies. In addition, the information technology sector performed well relative to the other index sectors. Semiconductor and microchip companies were among the leading companies, as were global payment processers. Utilities stocks also held up relatively well, as people still need water and heat, even in the midst of a crisis.
Replicating the Performance of the Index
Although we do not actively manage the fund’s investments in response to macroeconomic trends, it is noteworthy that while the spread of COVID-19 is continuing to impact markets and the economy, central banks and governments across the globe remain dedicated to support capital markets and the economy with various fiscal and monetary techniques. As always, we continue to monitor factors that affect the fund’s investments.
May 15, 2020
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.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund's exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
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.
The fund may, but is not required, to use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
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, 2019 to April 30, 2020. 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 |
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Assume actual returns for the six months ended April 30, 2020 |
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| Investor Shares | Class I |
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Expense paid per $1,000† | $2.76 | $1.61 |
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Ending value (after expenses) | $853.00 | $854.00 |
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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 |
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Assuming a hypothetical 5% annualized return for the six months ended April 30, 2020 |
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| Investor Shares | Class I |
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Expense paid per $1,000† | $3.02 | $1.76 |
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Ending value (after expenses) | $1,021.88 | $1,023.12 |
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† Expenses are equal to the fund’s annualized expense ratio of .60% for Investor Shares and .35% for Class I, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
April 30, 2020 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% | |||||||
Australia - 6.2% | |||||||
AGL Energy | 26,450 | 289,473 | |||||
Alumina | 99,809 | 110,621 | |||||
AMP | 137,157 | a | 127,047 | ||||
APA Group | 46,691 | 328,743 | |||||
Aristocrat Leisure | 23,307 | 379,637 | |||||
ASX | 7,849 | 411,731 | |||||
Aurizon Holdings | 78,895 | 238,373 | |||||
AusNet Services | 70,233 | 85,483 | |||||
Australia & New Zealand Banking Group | 113,284 | 1,217,975 | |||||
Bendigo & Adelaide Bank | 22,413 | b | 93,834 | ||||
BHP Group | 84,470 | 1,418,637 | |||||
BHP Group | 117,978 | 2,416,389 | |||||
BlueScope Steel | 20,169 | 131,955 | |||||
Boral | 47,725 | 93,284 | |||||
Brambles | 63,188 | 450,906 | |||||
Caltex Australia | 9,959 | 159,201 | |||||
Challenger | 23,612 | 74,237 | |||||
CIMIC Group | 3,476 | a | 55,196 | ||||
Coca-Cola Amatil | 19,430 | 108,501 | |||||
Cochlear | 2,443 | 292,740 | |||||
Coles Group | 51,707 | 516,737 | |||||
Commonwealth Bank of Australia | 70,916 | 2,835,659 | |||||
Computershare | 18,642 | 145,084 | |||||
Crown Resorts | 16,014 | 102,558 | |||||
CSL | 18,191 | 3,605,743 | |||||
Dexus | 44,419 | 261,139 | |||||
Flight Centre Travel Group | 2,095 | 14,905 | |||||
Fortescue Metals Group | 56,412 | 432,407 | |||||
Goodman Group | 65,474 | 550,270 | |||||
Harvey Norman Holdings | 24,253 | b | 43,735 | ||||
Incitec Pivot | 69,755 | 106,752 | |||||
Insurance Australia Group | 91,500 | 339,092 | |||||
LendLease Group | 23,761 | 187,354 | |||||
Macquarie Group | 13,435 | 878,027 | |||||
Magellan Financial Group | 4,978 | 163,651 | |||||
Medibank Private | 107,767 | 189,172 | |||||
Mirvac Group | 154,378 | 220,809 | |||||
National Australia Bank | 115,220 | 1,245,887 | |||||
Newcrest Mining | 30,904 | c | 564,872 | ||||
Oil Search | 57,824 | 111,933 | |||||
Orica | 15,773 | 183,203 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Australia - 6.2% (continued) | |||||||
Origin Energy | 71,070 | 252,371 | |||||
Qantas Airways | 29,853 | 73,909 | |||||
QBE Insurance Group | 53,880 | 290,036 | |||||
Ramsay Health Care | 6,656 | 266,508 | |||||
REA Group | 2,250 | b | 127,573 | ||||
Santos | 69,089 | 217,978 | |||||
Scentre Group | 207,334 | 308,750 | |||||
SEEK | 13,766 | 153,100 | |||||
Sonic Healthcare | 18,292 | 323,909 | |||||
South32 | 199,212 | 251,570 | |||||
Stockland | 93,001 | 170,814 | |||||
Suncorp Group | 51,802 | 308,969 | |||||
Sydney Airport | 46,553 | 189,388 | |||||
Tabcorp Holdings | 85,025 | 175,775 | |||||
Telstra | 171,251 | 337,252 | |||||
The GPT Group | 79,944 | 216,719 | |||||
TPG Telecom | 13,924 | 65,686 | |||||
Transurban Group | 110,374 | 986,425 | |||||
Treasury Wine Estates | 28,112 | 185,160 | |||||
Vicinity Centres | 134,226 | 128,080 | |||||
Washington H Soul Pattinson & Co. | 4,963 | b | 59,778 | ||||
Wesfarmers | 45,307 | 1,093,690 | |||||
Westpac Banking | 142,729 | 1,481,775 | |||||
WiseTech Global | 5,852 | 70,420 | |||||
Woodside Petroleum | 37,782 | 539,498 | |||||
Woolworths Group | 50,413 | 1,161,904 | |||||
Worley | 14,225 | 81,280 | |||||
30,701,269 | |||||||
Austria - .2% | |||||||
ANDRITZ | 3,131 | a | 103,155 | ||||
Erste Group Bank | 12,166 | a | 264,635 | ||||
OMV | 5,999 | a | 196,773 | ||||
Raiffeisen Bank International | 5,877 | a | 101,447 | ||||
Verbund | 2,626 | 119,147 | |||||
Voestalpine | 4,408 | a | 91,362 | ||||
876,519 | |||||||
Belgium - .9% | |||||||
Ageas | 7,067 | 254,771 | |||||
Anheuser-Busch InBev | 30,474 | 1,414,519 | |||||
Colruyt | 2,200 | a | 131,748 | ||||
Galapagos | 1,835 | a | 405,835 | ||||
Groupe Bruxelles Lambert | 3,251 | 259,913 | |||||
KBC Group | 10,043 | 542,967 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Belgium - .9% (continued) | |||||||
Proximus | 6,340 | 135,367 | |||||
Solvay | 2,930 | 228,962 | |||||
Telenet Group Holding | 1,731 | 72,301 | |||||
UCB | 5,024 | 460,312 | |||||
Umicore | 7,866 | 340,124 | |||||
4,246,819 | |||||||
Chile - .0% | |||||||
Antofagasta | 16,417 | 168,366 | |||||
China - .1% | |||||||
BeiGene, ADR | 1,562 | a,b | 238,720 | ||||
Yangzijiang Shipbuilding Holdings | 85,600 | 59,549 | |||||
298,269 | |||||||
Denmark - 2.2% | |||||||
AP Moller - Maersk, Cl. A | 157 | 145,204 | |||||
AP Moller - Maersk, Cl. B | 259 | 258,030 | |||||
Carlsberg, Cl. B | 4,297 | 542,443 | |||||
Chr. Hansen Holding | 4,270 | 368,380 | |||||
Coloplast, Cl. B | 4,737 | 748,070 | |||||
Danske Bank | 25,530 | 303,378 | |||||
Demant | 4,337 | a,b | 103,821 | ||||
DSV Panalpina | 8,440 | 872,508 | |||||
Genmab | 2,592 | a | 624,173 | ||||
H. Lundbeck | 2,953 | 107,714 | |||||
ISS | 5,946 | 88,826 | |||||
Novo Nordisk, Cl. B | 70,936 | 4,529,550 | |||||
Novozymes, Cl. B | 8,465 | 415,248 | |||||
Orsted | 7,545 | d | 763,941 | ||||
Pandora | 3,862 | 137,386 | |||||
Tryg | 4,663 | 123,617 | |||||
Vestas Wind Systems | 7,528 | 649,199 | |||||
10,781,488 | |||||||
Finland - 1.2% | |||||||
Elisa | 5,687 | 345,715 | |||||
Fortum | 17,964 | 298,497 | |||||
Kone, Cl. B | 13,560 | 822,672 | |||||
Metso | 4,156 | a | 115,495 | ||||
Neste | 17,022 | 603,783 | |||||
Nokia | 224,959 | a | 812,248 | ||||
Nokian Renkaat | 5,430 | b | 116,366 | ||||
Nordea Bank | 2,007 | a | 12,874 | ||||
Nordea Bank | 128,722 | a | 832,471 | ||||
Orion, Cl. B | 4,257 | 216,488 | |||||
Sampo, Cl. A | 18,054 | a | 598,898 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Finland - 1.2% (continued) | |||||||
Stora Enso, Cl. R | 22,969 | 272,177 | |||||
UPM-Kymmene | 21,487 | 595,424 | |||||
Wartsila | 17,181 | b | 126,360 | ||||
5,769,468 | |||||||
France - 10.2% | |||||||
Accor | 7,295 | 202,797 | |||||
Aeroports de Paris | 1,195 | 117,211 | |||||
Air Liquide | 18,946 | 2,412,779 | |||||
Airbus | 23,337 | 1,483,625 | |||||
Alstom | 7,729 | a | 316,845 | ||||
Amundi | 2,539 | d | 168,769 | ||||
Arkema | 2,851 | 236,819 | |||||
Atos | 4,018 | a | 286,912 | ||||
AXA | 77,291 | a | 1,373,859 | ||||
BioMerieux | 1,625 | a | 201,887 | ||||
BNP Paribas | 44,991 | 1,416,117 | |||||
Bollore | 38,093 | 101,230 | |||||
Bollore | 221 | a | 590 | ||||
Bouygues | 9,046 | 278,974 | |||||
Bureau Veritas | 12,006 | 249,468 | |||||
Capgemini | 6,392 | 601,193 | |||||
Carrefour | 23,966 | 354,722 | |||||
Casino Guichard Perrachon | 2,103 | b | 78,811 | ||||
Cie de Saint-Gobain | 19,770 | 525,245 | |||||
Cie Generale des Etablissements Michelin | 6,809 | 665,550 | |||||
CNP Assurances | 6,406 | 66,265 | |||||
Covivio | 1,851 | 116,042 | |||||
Credit Agricole | 46,794 | 374,073 | |||||
Danone | 24,710 | a | 1,714,204 | ||||
Dassault Aviation | 103 | 84,168 | |||||
Dassault Systemes | 5,244 | 768,271 | |||||
Edenred | 9,875 | 398,274 | |||||
Eiffage | 3,157 | 258,744 | |||||
Electricite de France | 25,032 | 199,797 | |||||
Engie | 72,824 | a | 791,114 | ||||
EssilorLuxottica | 11,346 | 1,402,290 | |||||
Eurazeo | 1,454 | a | 69,610 | ||||
Eutelsat Communications | 6,571 | 73,797 | |||||
Faurecia | 3,056 | a | 110,885 | ||||
Gecina | 1,797 | 234,738 | |||||
Getlink | 18,028 | 229,932 | |||||
Hermes International | 1,279 | 936,964 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
France - 10.2% (continued) | |||||||
ICADE | 1,199 | 92,261 | |||||
Iliad | 649 | 96,799 | |||||
Ingenico Group | 2,390 | 300,884 | |||||
Ipsen | 1,448 | 107,583 | |||||
JCDecaux | 3,285 | 68,169 | |||||
Kering | 3,031 | 1,530,721 | |||||
Klepierre | 7,777 | 157,444 | |||||
Legrand | 10,635 | 717,653 | |||||
L'Oreal | 10,061 | a | 2,928,005 | ||||
LVMH Moet Hennessy Louis Vuitton | 11,144 | 4,310,384 | |||||
Natixis | 39,586 | 93,926 | |||||
Orange | 80,665 | 985,039 | |||||
Pernod Ricard | 8,488 | 1,295,134 | |||||
Peugeot | 24,195 | a | 347,256 | ||||
Publicis Groupe | 8,965 | 266,800 | |||||
Remy Cointreau | 883 | a | 98,574 | ||||
Renault | 7,496 | 148,980 | |||||
Safran | 13,081 | 1,209,210 | |||||
Sanofi | 45,208 | 4,422,864 | |||||
Sartorius Stedim Biotech | 1,125 | 270,314 | |||||
Schneider Electric | 22,136 | 2,027,956 | |||||
SCOR | 6,440 | 181,613 | |||||
SEB | 889 | 107,053 | |||||
Societe Generale | 33,058 | 517,483 | |||||
Sodexo | 3,515 | 279,512 | |||||
Suez | 13,903 | 157,314 | |||||
Teleperformance | 2,333 | 523,231 | |||||
Thales | 4,387 | 332,691 | |||||
Total | 96,183 | 3,468,104 | |||||
Ubisoft Entertainment | 3,730 | a | 277,926 | ||||
Unibail-Rodamco-Westfield | 5,470 | 322,393 | |||||
Valeo | 9,439 | 219,296 | |||||
Veolia Environnement | 21,633 | 462,418 | |||||
Vinci | 20,587 | 1,687,495 | |||||
Vivendi | 33,028 | b | 713,874 | ||||
Wendel | 1,071 | a | 91,632 | ||||
Worldline | 5,255 | a,d | 357,621 | ||||
50,078,183 | |||||||
Germany - 7.7% | |||||||
adidas | 7,217 | 1,651,959 | |||||
Allianz | 16,716 | 3,096,701 | |||||
BASF | 36,766 | 1,889,917 | |||||
Bayer | 39,356 | 2,604,496 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Germany - 7.7% (continued) | |||||||
Bayerische Motoren Werke | 13,203 | 781,070 | |||||
Beiersdorf | 3,998 | 419,655 | |||||
Brenntag | 6,090 | 275,324 | |||||
Carl Zeiss Meditec-BR | 1,677 | 165,509 | |||||
Commerzbank | 41,278 | 152,847 | |||||
Continental | 4,355 | a | 367,916 | ||||
Covestro | 7,192 | d | 242,599 | ||||
Daimler | 36,348 | 1,254,711 | |||||
Delivery Hero | 4,536 | a,d | 382,216 | ||||
Deutsche Bank | 79,040 | a | 588,673 | ||||
Deutsche Boerse | 7,593 | 1,181,077 | |||||
Deutsche Lufthansa | 9,899 | a,b | 88,635 | ||||
Deutsche Post | 39,537 | a | 1,177,819 | ||||
Deutsche Telekom | 133,415 | 1,949,082 | |||||
Deutsche Wohnen | 14,476 | 587,384 | |||||
E.ON | 89,597 | 896,760 | |||||
Evonik Industries | 8,221 | a | 203,335 | ||||
Fraport Frankfurt Airport Services Worldwide | 1,716 | 75,369 | |||||
Fresenius | 16,658 | a | 725,261 | ||||
Fresenius Medical Care & Co. | 8,490 | a | 665,344 | ||||
GEA Group | 6,405 | 147,359 | |||||
Hannover Rueck | 2,442 | 389,982 | |||||
HeidelbergCement | 6,004 | a | 286,465 | ||||
Henkel | 4,264 | 334,092 | |||||
HOCHTIEF | 910 | 71,617 | |||||
Infineon Technologies | 50,492 | 938,192 | |||||
KION Group | 2,700 | a | 134,244 | ||||
Knorr-Bremse | 2,014 | 187,448 | |||||
LANXESS | 3,213 | a | 159,033 | ||||
Merck | 5,200 | 606,090 | |||||
METRO | 7,713 | 67,091 | |||||
MTU Aero Engines | 2,150 | 293,170 | |||||
Muenchener Rueckversicherungs-Gesellschaft | 5,771 | 1,271,726 | |||||
Puma | 3,248 | 204,017 | |||||
RWE | 23,265 | 668,096 | |||||
SAP | 39,400 | 4,699,150 | |||||
Siemens | 30,649 | 2,846,947 | |||||
Siemens Healthineers | 5,912 | d | 260,669 | ||||
Symrise | 5,115 | a | 519,240 | ||||
Telefonica Deutschland Holding | 38,134 | 108,549 | |||||
ThyssenKrupp | 15,312 | a | 102,502 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Germany - 7.7% (continued) | |||||||
TUI | 18,511 | 74,042 | |||||
Uniper | 8,208 | 220,096 | |||||
United Internet | 3,938 | 135,781 | |||||
Volkswagen | 1,280 | a | 190,890 | ||||
Vonovia | 20,574 | a | 1,017,269 | ||||
Wirecard | 4,724 | a,b | 468,839 | ||||
Zalando | 5,513 | a,d | 268,445 | ||||
38,094,700 | |||||||
Hong Kong - 3.6% | |||||||
AIA Group | 490,800 | 4,467,484 | |||||
ASM Pacific Technology | 12,400 | 125,499 | |||||
BOC Hong Kong Holdings | 152,500 | 462,571 | |||||
Budweiser Brewing | 56,300 | d | 151,373 | ||||
CK Asset Holdings | 103,975 | 642,839 | |||||
CK Hutchison Holdings | 108,975 | 790,245 | |||||
CK Infrastructure Holdings | 27,500 | 163,289 | |||||
CLP Holdings | 67,288 | 717,852 | |||||
Dairy Farm International Holdings | 12,800 | 60,856 | |||||
Galaxy Entertainment Group | 89,277 | 566,926 | |||||
Hang Lung Properties | 83,000 | 177,240 | |||||
Hang Seng Bank | 30,800 | 540,391 | |||||
Henderson Land Development | 61,138 | 246,791 | |||||
HK Electric Investments | 107,000 | 109,917 | |||||
HKT Trust & HKT | 149,660 | 240,998 | |||||
Hong Kong & China Gas | 415,560 | 735,399 | |||||
Hong Kong Exchanges & Clearing | 49,242 | 1,578,556 | |||||
Hongkong Land Holdings | 47,500 | 199,569 | |||||
Jardine Matheson Holdings | 8,746 | 382,186 | |||||
Jardine Strategic Holdings | 9,000 | 193,552 | |||||
Kerry Properties | 28,500 | 76,982 | |||||
Link REIT | 85,700 | 760,117 | |||||
Melco Resorts & Entertainment, ADR | 9,266 | 146,588 | |||||
MTR | 61,756 | 338,907 | |||||
New World Development | 248,566 | 291,916 | |||||
NWS Holdings | 62,918 | b | 65,265 | ||||
PCCW | 165,000 | 100,848 | |||||
Power Assets Holdings | 56,500 | 372,996 | |||||
Sino Land | 121,730 | 169,580 | |||||
SJM Holdings | 76,530 | 73,899 | |||||
Sun Hung Kai Properties | 65,199 | 882,236 | |||||
Swire Pacific, Cl. A | 20,000 | 128,523 | |||||
Swire Properties | 46,600 | 130,945 | |||||
Techtronic Industries | 55,865 | 414,993 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Hong Kong - 3.6% (continued) | |||||||
The Bank of East Asia | 51,789 | 109,411 | |||||
Vitasoy International Holdings | 30,000 | 106,417 | |||||
WH Group | 388,000 | d | 371,398 | ||||
Wharf Real Estate Investment | 49,311 | b | 209,370 | ||||
Wheelock & Co. | 32,000 | 233,063 | |||||
Yue Yuen Industrial Holdings | 32,800 | 51,519 | |||||
17,588,506 | |||||||
Ireland - .9% | |||||||
AerCap Holdings | 4,683 | a | 131,686 | ||||
AIB Group | 34,440 | 47,240 | |||||
Bank of Ireland Group | 42,659 | 86,299 | |||||
CRH | 31,903 | 964,500 | |||||
DCC | 3,893 | 277,728 | |||||
Experian | 36,301 | 1,087,594 | |||||
Flutter Entertainment | 3,153 | 386,380 | |||||
James Hardie Industries-CDI | 17,370 | 249,071 | |||||
Kerry Group, Cl. A | 6,332 | 726,268 | |||||
Kingspan Group | 6,235 | 318,007 | |||||
Smurfit Kappa Group | 8,951 | 281,156 | |||||
4,555,929 | |||||||
Isle Of Man - .0% | |||||||
GVC Holdings | 24,129 | 229,428 | |||||
Israel - .6% | |||||||
Azrieli Group | 1,666 | 98,984 | |||||
Bank Hapoalim | 45,832 | a | 294,477 | ||||
Bank Leumi Le-Israel | 60,397 | 327,929 | |||||
Check Point Software Technologies | 4,842 | a,b | 511,993 | ||||
CyberArk Software | 1,514 | a | 149,523 | ||||
Elbit Systems | 973 | 132,601 | |||||
ICL | 30,384 | 105,816 | |||||
Israel Discount Bank, Cl. A | 48,177 | 157,452 | |||||
Mizrahi Tefahot Bank | 5,343 | 110,181 | |||||
NICE | 2,521 | a | 415,530 | ||||
Teva Pharmaceutical Industries, ADR | 44,289 | a,b | 475,664 | ||||
Wix.com | 1,989 | a,b | 260,181 | ||||
3,040,331 | |||||||
Italy - 1.8% | |||||||
Assicurazioni Generali | 43,756 | 625,278 | |||||
Atlantia | 20,355 | a | 332,181 | ||||
Davide Campari-Milano | 24,310 | 188,680 | |||||
Enel | 325,681 | 2,229,664 | |||||
Eni | 102,842 | 977,328 | |||||
Ferrari | 4,866 | 766,098 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Italy - 1.8% (continued) | |||||||
FinecoBank Banca Fineco | 24,818 | 276,472 | |||||
Intesa Sanpaolo | 594,218 | 928,929 | |||||
Leonardo | 16,842 | 116,481 | |||||
Mediobanca Banca Di Credito Finanziario | 25,148 | 146,097 | |||||
Moncler | 7,194 | 271,049 | |||||
Pirelli & C | 15,237 | d | 59,472 | ||||
Poste Italiane | 21,966 | d | 187,000 | ||||
Prysmian | 9,993 | 188,434 | |||||
Recordati | 4,213 | 183,402 | |||||
Snam | 82,628 | 370,774 | |||||
Telecom Italia | 367,851 | 146,029 | |||||
Telecom Italia-RSP | 235,243 | 93,850 | |||||
Terna Rete Elettrica Nazionale | 56,293 | 353,478 | |||||
UniCredit | 81,119 | 626,635 | |||||
9,067,331 | |||||||
Japan - 25.4% | |||||||
ABC-Mart | 1,200 | 61,312 | |||||
Acom | 15,500 | 62,875 | |||||
Advantest | 8,100 | 393,925 | |||||
Aeon | 26,300 | 529,196 | |||||
AEON Financial Service | 4,860 | 50,658 | |||||
AEON Mall | 4,480 | 56,597 | |||||
AGC | 7,060 | 175,953 | |||||
Air Water | 6,800 | 91,680 | |||||
Aisin Seiki | 6,500 | 186,960 | |||||
Ajinomoto | 17,800 | 316,140 | |||||
Alfresa Holdings | 7,500 | 149,930 | |||||
Alps Alpine | 9,200 | 95,281 | |||||
Amada | 13,400 | 121,815 | |||||
ANA Holdings | 4,800 | 102,099 | |||||
Aozora Bank | 4,695 | 83,832 | |||||
Asahi Group Holdings | 14,600 | 504,786 | |||||
Asahi Intecc | 8,100 | 214,935 | |||||
Asahi Kasei | 49,700 | 351,233 | |||||
Astellas Pharma | 75,495 | 1,249,643 | |||||
Bandai Namco Holdings | 7,950 | 399,694 | |||||
Benesse Holdings | 2,700 | 76,729 | |||||
Bridgestone | 22,800 | 713,062 | |||||
Brother Industries | 9,100 | 154,310 | |||||
CALBEE | 3,500 | 105,996 | |||||
Canon | 39,917 | 843,367 | |||||
Casio Computer | 7,400 | 116,890 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
Central Japan Railway | 5,800 | 912,387 | |||||
Chubu Electric Power | 26,100 | 352,513 | |||||
Chugai Pharmaceutical | 8,928 | 1,059,083 | |||||
Coca-Cola Bottlers Japan Holdings | 4,700 | 84,579 | |||||
Concordia Financial Group | 43,300 | 132,814 | |||||
Credit Saison | 6,400 | 73,002 | |||||
CyberAgent | 4,000 | 168,168 | |||||
Dai Nippon Printing | 9,900 | 209,789 | |||||
Daicel | 9,500 | 76,994 | |||||
Daifuku | 4,000 | 278,605 | |||||
Dai-ichi Life Holdings | 43,400 | 544,994 | |||||
Daiichi Sankyo | 22,683 | 1,549,338 | |||||
Daikin Industries | 10,000 | 1,296,166 | |||||
Daito Trust Construction | 2,800 | 267,674 | |||||
Daiwa House Industry | 22,800 | 581,082 | |||||
Daiwa House REIT Investment | 76 | 183,473 | |||||
Daiwa Securities Group | 60,600 | 251,289 | |||||
Denso | 17,500 | 616,833 | |||||
Dentsu Group | 8,500 | 178,626 | |||||
Disco | 1,100 | 247,087 | |||||
East Japan Railway | 12,100 | 882,838 | |||||
Eisai | 10,000 | 696,710 | |||||
Electric Power Development | 5,880 | 117,782 | |||||
FamilyMart | 10,268 | 173,674 | |||||
FANUC | 7,729 | 1,274,467 | |||||
Fast Retailing | 2,358 | 1,121,497 | |||||
Fuji Electric | 5,200 | 124,373 | |||||
FUJIFILM Holdings | 14,400 | 688,303 | |||||
Fujitsu | 7,880 | 767,700 | |||||
Fukuoka Financial Group | 6,700 | 96,053 | |||||
GMO Payment Gateway | 1,600 | 142,976 | |||||
Hakuhodo DY Holdings | 9,400 | 104,543 | |||||
Hamamatsu Photonics K.K. | 5,600 | 245,336 | |||||
Hankyu Hanshin Holdings | 9,300 | 318,741 | |||||
Hikari Tsushin | 800 | 155,294 | |||||
Hino Motors | 11,700 | 69,836 | |||||
Hirose Electric | 1,333 | 146,507 | |||||
Hisamitsu Pharmaceutical | 2,000 | 93,943 | |||||
Hitachi | 38,680 | 1,160,526 | |||||
Hitachi Construction Machinery | 4,600 | 108,058 | |||||
Hitachi Metals | 8,500 | 82,902 | |||||
Honda Motor | 65,259 | 1,575,587 | |||||
Hoshizaki | 2,100 | 160,353 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
Hoya | 15,100 | 1,379,947 | |||||
Hulic | 12,000 | 118,342 | |||||
Idemitsu Kosan | 8,175 | 186,703 | |||||
IHI | 5,900 | 73,575 | |||||
Iida Group Holdings | 5,600 | 74,545 | |||||
INPEX | 40,700 | 259,386 | |||||
Isetan Mitsukoshi Holdings | 14,520 | 88,329 | |||||
Isuzu Motors | 22,300 | 170,133 | |||||
ITOCHU | 53,800 | 1,057,225 | |||||
Itochu Techno-Solutions | 3,900 | 118,897 | |||||
J. Front Retailing | 9,100 | 74,785 | |||||
Japan Airlines | 4,300 | 77,058 | |||||
Japan Airport Terminal | 2,200 | 89,918 | |||||
Japan Exchange Group | 20,700 | 386,212 | |||||
Japan Post Bank | 15,700 | 145,380 | |||||
Japan Post Holdings | 63,300 | 507,096 | |||||
Japan Post Insurance | 9,200 | 117,549 | |||||
Japan Prime Realty Investment | 31 | 85,698 | |||||
Japan Real Estate Investment | 53 | 286,547 | |||||
Japan Retail Fund Investment | 109 | 119,046 | |||||
Japan Tobacco | 47,900 | 895,358 | |||||
JFE Holdings | 20,660 | a | 138,442 | ||||
JGC Holdings | 9,100 | 88,524 | |||||
JSR | 8,100 | 152,554 | |||||
JTEKT | 8,000 | 58,750 | |||||
JXTG Holdings | 121,826 | 431,574 | |||||
Kajima | 18,000 | 188,171 | |||||
Kakaku.com | 5,400 | 109,703 | |||||
Kamigumi | 4,700 | 82,744 | |||||
Kansai Paint | 7,100 | 135,614 | |||||
Kao | 19,300 | 1,488,699 | |||||
Kawasaki Heavy Industries | 5,700 | 86,484 | |||||
KDDI | 70,763 | 2,039,065 | |||||
Keihan Holdings | 3,800 | 170,860 | |||||
Keikyu | 8,800 | 144,614 | |||||
Keio | 4,000 | 226,102 | |||||
Keisei Electric Railway | 5,200 | 156,822 | |||||
Keyence | 7,340 | 2,636,999 | |||||
Kikkoman | 5,800 | 266,870 | |||||
Kintetsu Group Holdings | 6,835 | 327,084 | |||||
Kirin Holdings | 32,800 | 631,947 | |||||
Kobayashi Pharmaceutical | 2,000 | 184,432 | |||||
Koito Manufacturing | 4,200 | 159,027 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
Komatsu | 36,800 | 701,574 | |||||
Konami Holdings | 3,900 | 122,709 | |||||
Konica Minolta | 20,000 | 77,826 | |||||
Kose | 1,300 | 161,767 | |||||
Kubota | 42,300 | 527,479 | |||||
Kuraray | 12,600 | 126,457 | |||||
Kurita Water Industries | 3,800 | 106,444 | |||||
Kyocera | 12,800 | 684,163 | |||||
Kyowa Kirin | 9,905 | 230,795 | |||||
Kyushu Electric Power | 15,400 | 121,833 | |||||
Kyushu Railway | 6,600 | 177,824 | |||||
Lawson | 2,100 | 108,591 | |||||
LINE | 2,400 | a | 118,384 | ||||
Lion | 9,300 | 194,352 | |||||
LIXIL Group | 10,924 | 131,966 | |||||
M3 | 17,900 | 643,775 | |||||
Makita | 9,200 | 299,333 | |||||
Marubeni | 64,300 | 311,446 | |||||
Marui Group | 7,700 | 126,087 | |||||
Maruichi Steel Tube | 2,600 | 58,658 | |||||
Mazda Motor | 23,700 | 134,021 | |||||
McDonald's Holdings | 2,700 | 132,269 | |||||
Mebuki Financial Group | 33,730 | 70,980 | |||||
Medipal Holdings | 7,100 | 137,697 | |||||
MEIJI Holdings | 4,642 | 321,887 | |||||
Mercari | 3,000 | a | 75,095 | ||||
Minebea Mitsumi | 14,800 | 242,100 | |||||
MISUMI Group | 11,738 | 281,068 | |||||
Mitsubishi | 53,998 | 1,150,262 | |||||
Mitsubishi Chemical Holdings | 51,880 | 296,395 | |||||
Mitsubishi Electric | 73,700 | 912,413 | |||||
Mitsubishi Estate | 47,200 | 768,156 | |||||
Mitsubishi Gas Chemical | 6,700 | 82,152 | |||||
Mitsubishi Heavy Industries | 13,170 | 336,775 | |||||
Mitsubishi Materials | 4,500 | 92,233 | |||||
Mitsubishi Motors | 28,600 | 80,680 | |||||
Mitsubishi UFJ Financial Group | 492,490 | 1,979,040 | |||||
Mitsubishi UFJ Lease & Finance | 15,600 | 74,774 | |||||
Mitsui & Co. | 66,100 | 927,144 | |||||
Mitsui Chemicals | 7,700 | 151,427 | |||||
Mitsui Fudosan | 35,486 | 655,196 | |||||
Mitsui O.S.K. Lines | 5,000 | 87,251 | |||||
Mizuho Financial Group | 963,900 | 1,122,403 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
MonotaRO | 5,000 | 160,788 | |||||
MS&AD Insurance Group Holdings | 19,057 | 550,776 | |||||
Murata Manufacturing | 23,000 | 1,279,478 | |||||
Nabtesco | 4,600 | 132,123 | |||||
Nagoya Railroad | 7,600 | 218,153 | |||||
NEC | 10,080 | 388,033 | |||||
NEXON | 19,800 | 320,245 | |||||
NGK Insulators | 10,700 | 140,836 | |||||
NGK Spark Plug | 6,626 | 99,313 | |||||
NH Foods | 3,300 | 117,707 | |||||
Nidec | 17,900 | 1,039,689 | |||||
Nikon | 13,060 | 121,695 | |||||
Nintendo | 4,525 | 1,873,992 | |||||
Nippon Building Fund | 54 | 322,284 | |||||
Nippon Express | 3,200 | 156,678 | |||||
Nippon Paint Holdings | 5,900 | 341,635 | |||||
Nippon Prologis REIT | 81 | 222,677 | |||||
Nippon Shinyaku | 1,900 | 133,299 | |||||
Nippon Steel | 32,661 | a | 275,606 | ||||
Nippon Telegraph & Telephone | 51,500 | 1,173,288 | |||||
Nippon Yusen KK | 5,980 | 78,981 | |||||
Nissan Chemical | 5,100 | 194,972 | |||||
Nissan Motor | 95,400 | 326,491 | |||||
Nisshin Seifun Group | 8,238 | 128,349 | |||||
Nissin Foods Holdings | 2,600 | 213,258 | |||||
Nitori Holdings | 3,200 | 490,168 | |||||
Nitto Denko | 6,300 | 315,142 | |||||
Nomura Holdings | 133,700 | 556,157 | |||||
Nomura Real Estate Holdings | 5,500 | 89,958 | |||||
Nomura Real Estate Master Fund | 161 | 183,565 | |||||
Nomura Research Institute | 13,549 | 329,650 | |||||
NSK | 14,200 | 98,089 | |||||
NTT Data | 25,100 | 256,204 | |||||
NTT Docomo | 53,400 | 1,567,419 | |||||
Obayashi | 25,500 | 224,408 | |||||
OBIC | 2,600 | 389,352 | |||||
Odakyu Electric Railway | 11,700 | 257,327 | |||||
Oji Holdings | 36,000 | 184,752 | |||||
Olympus | 46,500 | 740,479 | |||||
Omron | 7,400 | 434,494 | |||||
Ono Pharmaceutical | 14,600 | 350,329 | |||||
Oracle | 1,600 | 164,467 | |||||
Oriental Land | 8,000 | 1,013,092 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
ORIX | 53,400 | 635,659 | |||||
Orix JREIT | 107 | 128,200 | |||||
Osaka Gas | 14,900 | 276,277 | |||||
Otsuka | 4,300 | 192,876 | |||||
Otsuka Holdings | 15,700 | 617,883 | |||||
Pan Pacific International Holdings | 18,200 | 351,169 | |||||
Panasonic | 87,995 | 672,700 | |||||
Park24 | 4,600 | 73,156 | |||||
PeptiDream | 3,900 | a | 146,199 | ||||
Persol Holdings | 7,200 | 83,878 | |||||
Pigeon | 4,500 | 159,915 | |||||
Pola Orbis Holdings | 3,900 | 69,249 | |||||
Rakuten | 34,700 | 293,830 | |||||
Recruit Holdings | 54,300 | 1,592,938 | |||||
Renesas Electronics | 29,600 | a | 158,088 | ||||
Resona Holdings | 82,400 | 256,829 | |||||
Ricoh | 28,100 | 192,213 | |||||
Rinnai | 1,400 | 106,020 | |||||
Rohm | 3,700 | 234,064 | |||||
Ryohin Keikaku | 9,800 | 116,934 | |||||
Sankyo | 2,000 | 55,060 | |||||
Santen Pharmaceutical | 14,200 | 250,743 | |||||
SBI Holdings | 9,830 | 184,321 | |||||
Secom | 8,400 | 700,822 | |||||
Sega Sammy Holdings | 7,484 | 90,840 | |||||
Seibu Holdings | 7,900 | 94,846 | |||||
Seiko Epson | 11,400 | 129,244 | |||||
Sekisui Chemical | 14,200 | 179,960 | |||||
Sekisui House | 24,700 | 425,109 | |||||
Seven & i Holdings | 30,060 | 990,414 | |||||
Seven Bank | 26,000 | 70,333 | |||||
SG Holdings | 5,600 | 155,453 | |||||
Sharp | 8,500 | 93,955 | |||||
Shimadzu | 9,000 | 223,517 | |||||
Shimamura | 1,000 | 63,005 | |||||
Shimano | 3,000 | 441,119 | |||||
Shimizu | 24,700 | 191,064 | |||||
Shin-Etsu Chemical | 14,200 | 1,573,249 | |||||
Shinsei Bank | 6,900 | 83,276 | |||||
Shionogi & Co. | 10,800 | 592,631 | |||||
Shiseido | 16,000 | 943,836 | |||||
Showa Denko K.K. | 5,200 | 114,036 | |||||
SMC | 2,300 | 1,051,601 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
Softbank | 66,900 | 910,043 | |||||
SoftBank Group | 62,740 | 2,683,403 | |||||
Sohgo Security Services | 2,800 | 134,086 | |||||
Sompo Holdings | 13,370 | 432,797 | |||||
Sony | 50,980 | 3,270,631 | |||||
Sony Financial Holdings | 6,000 | 114,654 | |||||
Square Enix Holdings | 3,800 | 155,062 | |||||
Stanley Electric | 5,300 | 121,081 | |||||
Subaru | 24,700 | 497,140 | |||||
Sumco | 10,100 | 144,267 | |||||
Sumitomo | 47,900 | 544,480 | |||||
Sumitomo Chemical | 58,200 | 179,549 | |||||
Sumitomo Dainippon Pharma | 6,300 | 87,227 | |||||
Sumitomo Electric Industries | 30,500 | 313,601 | |||||
Sumitomo Heavy Industries | 4,200 | 88,985 | |||||
Sumitomo Metal Mining | 9,100 | 228,542 | |||||
Sumitomo Mitsui Financial Group | 52,200 | 1,374,727 | |||||
Sumitomo Mitsui Trust Holdings | 12,864 | 375,859 | |||||
Sumitomo Realty & Development | 13,700 | 368,953 | |||||
Sumitomo Rubber Industries | 7,400 | 72,167 | |||||
Sundrug | 3,000 | 102,890 | |||||
Suntory Beverage & Food | 5,800 | 217,919 | |||||
Suzuken | 2,712 | 104,512 | |||||
Suzuki Motor | 14,600 | 468,570 | |||||
Sysmex | 6,600 | 455,064 | |||||
T&D Holdings | 21,500 | 186,281 | |||||
Taiheiyo Cement | 5,200 | 102,712 | |||||
Taisei | 8,300 | 259,763 | |||||
Taisho Pharmaceutical Holdings | 1,300 | 81,013 | |||||
Taiyo Nippon Sanso | 5,000 | 77,843 | |||||
Takeda Pharmaceutical | 59,923 | 2,151,704 | |||||
TDK | 5,200 | 449,661 | |||||
Teijin | 7,000 | 111,824 | |||||
Terumo | 25,800 | 851,461 | |||||
The Bank of Kyoto | 2,000 | 68,597 | |||||
The Chiba Bank | 21,400 | 99,274 | |||||
The Chugoku Electric Power Company | 10,800 | 145,165 | |||||
The Kansai Electric Power Company | 27,799 | 284,839 | |||||
The Shizuoka Bank | 18,300 | 110,802 | |||||
The Yokohama Rubber Company | 5,400 | 69,311 | |||||
THK | 5,100 | 122,499 | |||||
Tobu Railway | 7,600 | 258,351 | |||||
Toho | 4,700 | 154,206 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Japan - 25.4% (continued) | |||||||
Toho Gas | 2,900 | 142,268 | |||||
Tohoku Electric Power | 17,000 | 159,796 | |||||
Tokio Marine Holdings | 25,500 | 1,201,917 | |||||
Tokyo Century | 1,700 | 57,823 | |||||
Tokyo Electric Power Holdings | 60,172 | a | 202,498 | ||||
Tokyo Electron | 6,300 | 1,332,754 | |||||
Tokyo Gas | 15,400 | 336,688 | |||||
Tokyu | 20,210 | 304,088 | |||||
Tokyu Fudosan Holdings | 23,700 | 116,938 | |||||
Toppan Printing | 11,200 | 167,035 | |||||
Toray Industries | 56,000 | 258,093 | |||||
Toshiba | 15,500 | 385,020 | |||||
Tosoh | 10,500 | 129,035 | |||||
TOTO | 5,900 | 206,949 | |||||
Toyo Seikan Group Holdings | 6,300 | 64,105 | |||||
Toyo Suisan Kaisha | 3,600 | 172,482 | |||||
Toyoda Gosei | 2,400 | 44,672 | |||||
Toyota Industries | 5,900 | 296,824 | |||||
Toyota Motor | 91,555 | 5,650,669 | |||||
Toyota Tsusho | 8,400 | 200,831 | |||||
Trend Micro | 5,200 | 262,996 | |||||
Tsuruha Holdings | 1,500 | 200,130 | |||||
Unicharm | 16,200 | 593,484 | |||||
United Urban Investment | 114 | 114,275 | |||||
USS | 9,100 | 144,238 | |||||
Welcia Holdings | 1,900 | 137,539 | |||||
West Japan Railway | 6,400 | 394,994 | |||||
Yakult Honsha | 4,700 | 273,267 | |||||
Yamada Denki | 26,900 | 127,650 | |||||
Yamaha | 5,600 | 226,612 | |||||
Yamaha Motor | 11,100 | 143,769 | |||||
Yamato Holdings | 12,800 | 223,390 | |||||
Yamazaki Baking | 5,000 | 88,528 | |||||
Yaskawa Electric | 9,500 | 312,302 | |||||
Yokogawa Electric | 9,200 | 125,664 | |||||
Z Holdings | 105,200 | 406,963 | |||||
ZOZO | 3,500 | 56,268 | |||||
124,947,062 | |||||||
Luxembourg - .2% | |||||||
ArcelorMittal | 26,767 | a | 293,993 | ||||
Aroundtown | 50,197 | 270,328 | |||||
Eurofins Scientific | 455 | 252,031 | |||||
Millicom International Cellular, SDR | 4,157 | 109,288 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Luxembourg - .2% (continued) | |||||||
SES | 13,837 | 92,502 | |||||
Tenaris | 18,924 | 132,927 | |||||
1,151,069 | |||||||
Macau - .1% | |||||||
Sands China | 98,613 | 396,514 | |||||
Wynn Macau | 64,400 | a | 112,373 | ||||
508,887 | |||||||
Netherlands - 4.7% | |||||||
ABN AMRO Bank-CVA | 16,632 | a,d | 127,768 | ||||
Adyen | 425 | a,d | 418,075 | ||||
Aegon | 72,571 | 187,191 | |||||
Akzo Nobel | 8,054 | 611,418 | |||||
Altice Europe | 23,523 | a | 93,881 | ||||
ASML Holding | 17,066 | 5,069,436 | |||||
EXOR | 4,302 | 235,816 | |||||
Heineken | 10,345 | 880,757 | |||||
Heineken Holding | 4,561 | 355,708 | |||||
ING Groep | 155,512 | 854,933 | |||||
Just Eat Takeaway.com | 4,670 | a,d | 476,654 | ||||
Koninklijke Ahold Delhaize | 43,981 | 1,068,838 | |||||
Koninklijke DSM | 7,325 | 898,083 | |||||
Koninklijke KPN | 144,665 | 335,109 | |||||
Koninklijke Philips | 36,220 | 1,578,658 | |||||
Koninklijke Vopak | 2,887 | 166,594 | |||||
NN Group | 12,238 | a | 354,636 | ||||
NXP Semiconductors | 11,169 | 1,112,097 | |||||
Prosus | 19,496 | a | 1,479,861 | ||||
QIAGEN | 9,201 | a | 383,428 | ||||
Randstad | 4,848 | 194,833 | |||||
Royal Dutch Shell, Cl. A | 167,495 | 2,800,189 | |||||
Royal Dutch Shell, Cl. B | 149,576 | 2,427,908 | |||||
Wolters Kluwer | 10,890 | 801,806 | |||||
22,913,677 | |||||||
New Zealand - .3% | |||||||
a2 Milk | 29,240 | a | 348,118 | ||||
Auckland International Airport | 40,571 | 150,031 | |||||
Fisher & Paykel Healthcare | 23,331 | 388,739 | |||||
Fletcher Building | 33,047 | 74,520 | |||||
Mercury NZ | 27,836 | 77,524 | |||||
Meridian Energy | 53,015 | 144,679 | |||||
Ryman Healthcare | 16,130 | 116,738 | |||||
Spark New Zealand | 75,964 | 204,948 | |||||
1,505,297 |
22
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Norway - .6% | |||||||
Aker BP | 4,017 | 66,916 | |||||
DNB | 38,551 | a | 468,453 | ||||
Equinor | 40,242 | 564,898 | |||||
Gjensidige Forsikring | 8,265 | 146,243 | |||||
Mowi | 17,812 | 305,721 | |||||
Norsk Hydro | 51,748 | 132,542 | |||||
Orkla | 29,619 | 268,422 | |||||
Schibsted, Cl. B | 4,266 | 82,695 | |||||
Telenor | 29,313 | 450,452 | |||||
Yara International | 7,127 | 243,499 | |||||
2,729,841 | |||||||
Portugal - .2% | |||||||
Banco Espirito Santo | 118,053 | a,e | 0 | ||||
Energias de Portugal | 104,072 | 439,530 | |||||
Galp Energia | 19,771 | a | 228,060 | ||||
Jeronimo Martins | 10,455 | a | 176,720 | ||||
844,310 | |||||||
Russia - .0% | |||||||
Evraz | 18,546 | 62,071 | |||||
Singapore - 1.2% | |||||||
Ascendas Real Estate Investment Trust | 118,338 | 246,556 | |||||
CapitaLand | 100,700 | a | 212,535 | ||||
CapitaLand Commercial Trust | 107,051 | 120,909 | |||||
CapitaLand Mall Trust | 105,300 | 139,547 | |||||
City Developments | 19,800 | a | 111,336 | ||||
ComfortDelGro | 93,200 | 108,061 | |||||
DBS Group Holdings | 71,688 | 1,004,851 | |||||
Genting Singapore | 249,127 | a | 136,930 | ||||
Jardine Cycle & Carriage | 4,113 | a | 58,012 | ||||
Keppel | 57,400 | a,b | 241,680 | ||||
Mapletree Commercial Trust | 82,400 | 113,202 | |||||
Oversea-Chinese Banking | 131,901 | 843,263 | |||||
SATS | 27,600 | 63,356 | |||||
Sembcorp Industries | 43,254 | 49,527 | |||||
Singapore Airlines | 22,133 | b | 94,817 | ||||
Singapore Exchange | 33,500 | 228,613 | |||||
Singapore Press Holdings | 69,075 | 73,965 | |||||
Singapore Technologies Engineering | 64,700 | 155,829 | |||||
Singapore Telecommunications | 325,251 | 647,225 | |||||
Suntec Real Estate Investment Trust | 84,200 | 82,592 | |||||
United Overseas Bank | 50,263 | a | 718,084 | ||||
UOL Group | 18,111 | a | 87,453 | ||||
Venture | 11,000 | a | 123,222 |
23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Singapore - 1.2% (continued) | |||||||
Wilmar International | 80,600 | a | 203,303 | ||||
5,864,868 | |||||||
Spain - 2.4% | |||||||
ACS Actividades de Construccion y Servicios | 10,054 | 251,271 | |||||
Aena SME | 2,777 | a,d | 351,508 | ||||
Amadeus IT Group | 17,204 | 828,984 | |||||
Banco Bilbao Vizcaya Argentaria | 269,531 | 883,668 | |||||
Banco de Sabadell | 239,920 | 99,582 | |||||
Banco Santander | 664,758 | 1,486,349 | |||||
Bankia | 54,722 | 55,779 | |||||
Bankinter | 27,401 | 113,170 | |||||
CaixaBank | 145,110 | 261,318 | |||||
Cellnex Telecom | 9,962 | d | 522,378 | ||||
Enagas | 9,933 | 231,933 | |||||
Endesa | 13,026 | 289,286 | |||||
Ferrovial | 19,388 | a | 484,971 | ||||
Grifols | 12,104 | b | 412,389 | ||||
Iberdrola | 246,556 | 2,471,619 | |||||
Industria de Diseno Textil | 43,586 | a | 1,111,889 | ||||
Mapfre | 46,873 | 85,915 | |||||
Natural Energy Group | 11,875 | b | 209,852 | ||||
Red Electrica | 17,527 | 308,572 | |||||
Repsol | 57,646 | a | 526,137 | ||||
Siemens Gamesa Renewable Energy | 9,723 | a | 144,805 | ||||
Telefonica | 188,839 | 861,591 | |||||
11,992,966 | |||||||
Sweden - 2.6% | |||||||
Alfa Laval | 12,362 | 231,948 | |||||
Assa Abloy, Cl. B | 40,431 | 727,983 | |||||
Atlas Copco, Cl. A | 27,126 | 941,131 | |||||
Atlas Copco, Cl. B | 15,875 | 495,561 | |||||
Boliden | 11,123 | 227,719 | |||||
Electrolux, Ser. B | 9,133 | 125,913 | |||||
Epiroc, Cl. A | 25,978 | 260,700 | |||||
Epiroc, Cl. B | 15,890 | 157,401 | |||||
Essity, Cl. B | 24,188 | 785,884 | |||||
Hennes & Mauritz, Cl. B | 32,247 | 448,838 | |||||
Hexagon, Cl. B | 10,456 | 520,607 | |||||
Husqvarna, Cl. B | 16,780 | 101,528 | |||||
ICA Gruppen | 3,745 | 163,442 | |||||
Industrivarden, Cl. C | 6,781 | 140,233 | |||||
Investor, Cl. B | 18,389 | 923,627 |
24
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Sweden - 2.6% (continued) | |||||||
Kinnevik, Cl. B | 9,801 | a | 202,445 | ||||
L E Lundbergforetagen, Cl. B | 3,026 | a | 127,593 | ||||
Lundin Energy | 7,253 | 188,096 | |||||
Sandvik | 44,995 | 695,771 | |||||
Securitas, Cl. B | 12,918 | 152,559 | |||||
Skandinaviska Enskilda Banken, Cl. A | 65,369 | a | 537,138 | ||||
Skanska, Cl. B | 13,426 | 256,931 | |||||
SKF, Cl. B | 15,736 | 250,258 | |||||
Svenska Handelsbanken, Cl. A | 62,583 | 578,115 | |||||
Swedbank, Cl. A | 35,924 | 423,984 | |||||
Swedish Match | 6,808 | 421,788 | |||||
Tele2, Cl. B | 19,668 | 254,742 | |||||
Telefonaktiebolaget LM Ericsson, Cl. B | 124,180 | 1,080,937 | |||||
Telia | 111,140 | 383,829 | |||||
Volvo, Cl. B | 59,931 | 772,906 | |||||
12,579,607 | |||||||
Switzerland - 10.7% | |||||||
ABB | 73,703 | 1,400,991 | |||||
Adecco Group | 6,355 | 278,893 | |||||
Alcon | 16,772 | a | 886,104 | ||||
Baloise Holding | 1,926 | 288,664 | |||||
Barry Callebaut | 122 | 239,275 | |||||
Chocoladefabriken Lindt & Spruengli | 4 | 335,050 | |||||
Chocoladefabriken Lindt & Spruengli-PC | 42 | 327,675 | |||||
Cie Financiere Richemont | 20,865 | a | 1,186,755 | ||||
Clariant | 8,046 | a | 149,096 | ||||
Coca-Cola HBC | 8,163 | a | 207,371 | ||||
Credit Suisse Group | 103,258 | 935,105 | |||||
Dufry | 1,852 | 60,429 | |||||
EMS-Chemie Holding | 322 | a | 208,890 | ||||
Geberit | 1,476 | 662,856 | |||||
Givaudan | 373 | 1,250,489 | |||||
Glencore | 425,755 | a | 790,308 | ||||
Julius Baer Group | 9,046 | 355,117 | |||||
Kuehne + Nagel International | 2,187 | 313,119 | |||||
LafargeHolcim | 19,878 | 825,655 | |||||
Lonza Group | 2,978 | 1,301,558 | |||||
Nestle | 119,386 | 12,611,468 | |||||
Novartis | 86,159 | 7,349,886 | |||||
Pargesa Holding-BR | 1,538 | 109,487 | |||||
Partners Group Holding | 752 | 592,805 | |||||
Roche Holding | 28,182 | 9,802,504 | |||||
Schindler Holding | 846 | 181,601 |
25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
Switzerland - 10.7% (continued) | |||||||
Schindler Holding-PC | 1,654 | 367,902 | |||||
SGS | 244 | 552,935 | |||||
Sika | 5,153 | 853,509 | |||||
Sonova Holding | 2,226 | a | 402,352 | ||||
STMicroelectronics | 27,505 | 715,977 | |||||
Straumann Holding | 412 | 313,057 | |||||
Swiss Life Holding | 1,367 | 484,865 | |||||
Swiss Prime Site | 3,023 | 287,403 | |||||
Swiss Re | 11,903 | 860,089 | |||||
Swisscom | 1,043 | 542,550 | |||||
Temenos | 2,615 | a | 340,753 | ||||
The Swatch Group | 1,977 | 77,078 | |||||
The Swatch Group-BR | 1,197 | 239,868 | |||||
UBS Group | 154,407 | 1,656,481 | |||||
Vifor Pharma | 1,870 | 281,317 | |||||
Zurich Insurance Group | 5,989 | 1,909,159 | |||||
52,536,446 | |||||||
United Arab Emirates - .0% | |||||||
NMC Health | 4,176 | a,e | 1 | ||||
United Kingdom - 13.8% | |||||||
3i Group | 38,563 | 381,321 | |||||
Admiral Group | 7,752 | 227,700 | |||||
Anglo American | 41,532 | 741,549 | |||||
Ashtead Group | 18,097 | 496,592 | |||||
Associated British Foods | 14,443 | 344,614 | |||||
AstraZeneca | 52,602 | 5,518,185 | |||||
Auto Trader Group | 37,622 | d | 217,556 | ||||
AVEVA Group | 2,640 | 118,853 | |||||
Aviva | 157,462 | 480,205 | |||||
BAE Systems | 129,406 | a | 829,565 | ||||
Barclays | 697,766 | 932,193 | |||||
Barratt Developments | 40,136 | 262,723 | |||||
Berkeley Group Holdings | 4,670 | 246,324 | |||||
BP | 812,252 | 3,207,307 | |||||
British American Tobacco | 91,931 | 3,570,110 | |||||
BT Group | 342,165 | 500,658 | |||||
Bunzl | 13,292 | 289,475 | |||||
Burberry Group | 16,767 | 293,958 | |||||
Centrica | 236,663 | 119,088 | |||||
CNH Industrial | 41,019 | 257,338 | |||||
Coca-Cola European Partners | 9,253 | 366,789 | |||||
Compass Group | 63,377 | 1,067,793 | |||||
Croda International | 5,115 | 314,791 |
26
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
United Kingdom - 13.8% (continued) | |||||||
Diageo | 94,042 | 3,259,910 | |||||
Direct Line Insurance Group | 55,918 | 192,140 | |||||
easyJet | 6,768 | 51,497 | |||||
Ferguson | 9,023 | 652,606 | |||||
Fiat Chrysler Automobiles | 43,472 | 382,800 | |||||
G4S | 66,375 | a | 91,419 | ||||
GlaxoSmithKline | 199,983 | 4,186,879 | |||||
Halma | 15,413 | 406,162 | |||||
Hargreaves Lansdown | 13,391 | 243,237 | |||||
HSBC Holdings | 814,253 | 4,204,829 | |||||
Imperial Brands | 37,750 | 798,972 | |||||
Informa | 51,470 | 283,883 | |||||
InterContinental Hotels Group | 7,105 | 323,910 | |||||
Intertek Group | 6,397 | 383,143 | |||||
ITV | 144,249 | 139,133 | |||||
J Sainsbury | 70,819 | 176,846 | |||||
JD Sports Fashion | 17,898 | 119,462 | |||||
Johnson Matthey | 7,573 | 190,289 | |||||
Kingfisher | 87,533 | a | 173,617 | ||||
Land Securities Group | 27,740 | 231,523 | |||||
Legal & General Group | 240,038 | 619,689 | |||||
Lloyds Banking Group | 2,799,331 | 1,138,595 | |||||
London Stock Exchange Group | 12,580 | 1,182,485 | |||||
M&G | 102,123 | 170,307 | |||||
Marks & Spencer Group | 79,118 | 91,871 | |||||
Meggitt | 32,628 | 114,929 | |||||
Melrose Industries | 200,104 | 251,897 | |||||
Micro Focus International | 13,342 | 81,035 | |||||
Mondi | 19,684 | 350,055 | |||||
National Grid | 139,278 | 1,639,400 | |||||
Next | 5,478 | 326,431 | |||||
Ocado Group | 18,082 | a | 365,726 | ||||
Pearson | 32,177 | 185,989 | |||||
Persimmon | 12,908 | 358,956 | |||||
Prudential | 103,996 | 1,481,207 | |||||
Reckitt Benckiser Group | 28,410 | 2,373,984 | |||||
RELX | 77,594 | 1,757,342 | |||||
Rentokil Initial | 73,404 | 438,944 | |||||
Rio Tinto | 14,811 | 834,273 | |||||
Rio Tinto | 45,081 | 2,095,213 | |||||
Rolls-Royce Holdings | 71,735 | 298,584 | |||||
Royal Bank of Scotland Group | 196,079 | 273,388 | |||||
RSA Insurance Group | 40,358 | 183,835 |
27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.8% (continued) | |||||||
United Kingdom - 13.8% (continued) | |||||||
Schroders | 5,197 | 173,917 | |||||
Segro | 43,538 | 455,333 | |||||
Severn Trent | 9,782 | 294,750 | |||||
Smith & Nephew | 34,866 | 684,907 | |||||
Smiths Group | 15,626 | a | 244,496 | ||||
Spirax-Sarco Engineering | 2,987 | 328,689 | |||||
SSE | 41,715 | 657,478 | |||||
St. James's Place | 20,978 | 225,235 | |||||
Standard Chartered | 108,037 | 555,203 | |||||
Standard Life Aberdeen | 96,617 | 269,449 | |||||
Taylor Wimpey | 129,139 | 239,474 | |||||
Tesco | 391,390 | 1,159,990 | |||||
The British Land Company | 34,328 | 175,110 | |||||
The Sage Group | 44,193 | 356,542 | |||||
The Weir Group | 10,681 | 127,918 | |||||
Unilever | 58,794 | 2,938,989 | |||||
Unilever | 44,417 | 2,296,447 | |||||
United Utilities Group | 27,072 | 307,943 | |||||
Vodafone Group | 1,070,844 | 1,514,220 | |||||
Whitbread | 5,234 | 196,698 | |||||
Wm Morrison Supermarkets | 96,694 | 223,061 | |||||
WPP | 49,989 | 391,647 | |||||
67,708,575 | |||||||
United States - .0% | |||||||
Carnival | 6,419 | 88,359 | |||||
Total Common Stocks (cost $410,749,150) | 480,929,642 | ||||||
Preferred Dividend | |||||||
Preferred Stocks - .5% | |||||||
Germany - .5% | |||||||
Bayerische Motoren Werke | 8.78 | 2,251 | 106,521 | ||||
Fuchs Petrolub | 2.96 | 2,998 | 116,659 | ||||
Henkel | 2.42 | 7,173 | 639,371 | ||||
Porsche Automobil Holding | 5.33 | 6,188 | a | 311,681 | |||
Sartorius | 0.32 | 1,410 | 397,192 | ||||
Volkswagen | 4.20 | 7,501 | a | 1,052,622 | |||
Total Preferred Stocks (cost $2,074,460) | 2,624,046 | ||||||
Number of Rights | |||||||
Rights - .0% | |||||||
Australia - .0% | |||||||
Flight Centre Travel | 1,204 | 2,974 |
28
Description | Number of Rights | Value ($) | |||||
Rights - .0% (continued) | |||||||
Australia - .0% (continued) | |||||||
Oil Search | 7,228 | 4,475 | |||||
Total Rights (cost $0) | 7,449 | ||||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills - .0% | |||||||
0.17%, 2/25/21 | 184,000 | f,g | 183,774 | ||||
1-Day | |||||||
Investment Companies - .0% | |||||||
Registered Investment Companies - .0% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 0.33 | 51,839 | h | 51,839 | |||
Investment of Cash Collateral for Securities Loaned - .4% | |||||||
Registered Investment Companies - .4% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 0.33 | 1,868,959 | h | 1,868,959 | |||
Total Investments (cost $414,928,147) | 98.7% | 485,665,709 | |||||
Cash and Receivables (Net) | 1.3% | 6,350,805 | |||||
Net Assets | 100.0% | 492,016,514 |
ADR—American Depository Receipt
BR—Bearer Certificate
CDI—Chess Depository Interest
CVA—Company Voluntary Arrangement
PC—Participation Certificate
REIT—Real Estate Investment Trust
RSP—Risparmio (Savings) Shares
SDR—Swedish Depository Receipts
aNon-income producing security.
bSecurity, or portion thereof, on loan. At April 30, 2020, the value of the fund’s securities on loan was $2,976,373 and the value of the collateral was $3,307,381, consisting of cash collateral of $1,868,959 and U.S. Government & Agency securities valued at $1,438,422.
cThe valuation of this security has been determined in good faith by management under the direction of the Board of Directors. At April 30, 2020, the value of this security amounted to $564,872 or .11% of net assets.
dSecurity 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, 2020, these securities were valued at $5,327,442 or 1.08% of net assets.
eThe fund held Level 3 securities at April 30, 2020, these securities were valued at $1 or .0% of net assets.
fHeld by a counterparty for open exchange traded derivative contracts.
gSecurity is a discount security. Income is recognized through the accretion of discount.
hInvestment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Pharmaceuticals Biotechnology & Life Sciences | 11.7 |
Capital Goods | 9.5 |
Banks | 7.5 |
Food, Beverage & Tobacco | 7.3 |
Materials | 6.7 |
Insurance | 5.1 |
Consumer Durables & Apparel | 4.1 |
Utilities | 4.0 |
Telecommunication Services | 4.0 |
Automobiles & Components | 3.8 |
Energy | 3.6 |
Household & Personal Products | 3.4 |
Diversified Financials | 3.3 |
Real Estate | 3.3 |
Software & Services | 2.9 |
Health Care Equipment & Services | 2.7 |
Technology Hardware & Equipment | 2.6 |
Transportation | 2.4 |
Semiconductors & Semiconductor Equipment | 2.1 |
Commercial & Professional Services | 2.1 |
Retailing | 2.0 |
Food & Staples Retailing | 1.5 |
Media & Entertainment | 1.4 |
Consumer Services | 1.3 |
Investment Companies | .4 |
U.S. Treasury Bills | .0 |
98.7 |
† Based on net assets.
See notes to financial statements.
30
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 8,547,273 | 37,776,898 | (46,272,332) | 51,839 | .0 | 16,884 |
Investment of Cash Collateral for Securities Loaned; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1,499,874 | 15,808,017 | (15,438,932) | 1,868,959 | .4 | - |
Total | 10,047,147 | 53,584,915 | (61,711,264) | 1,920,798 | .4 | 16,884 |
See notes to financial statements.
31
STATEMENT OF FUTURES
April 30, 2020 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
MSCI EAFE Index | 76 | 6/19/2020 | 6,181,510 | 6,225,540 | 44,030 | |
Gross Unrealized Appreciation | 44,030 |
See notes to financial statements.
32
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2020 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Societe Generale | |||||
United States Dollar | 475,689 | Australian Dollar | 726,631 | 5/4/2020 | 2,176 |
United States Dollar | 535,087 | Swiss Franc | 516,466 | 5/5/2020 | (48) |
United States Dollar | 1,657,947 | Japanese Yen | 177,300,885 | 5/7/2020 | 5,649 |
United States Dollar | 136,530 | Swedish Krona | 1,333,582 | 5/5/2020 | (174) |
United States Dollar | 1,919,650 | Euro | 1,752,705 | 5/5/2020 | (1,214) |
United States Dollar | 95,483 | Singapore Dollar | 134,417 | 5/5/2020 | 161 |
United States Dollar | 948,343 | British Pound | 751,877 | 5/4/2020 | 1,345 |
United States Dollar | 202,460 | Danish Krone | 1,378,951 | 5/4/2020 | (63) |
United States Dollar | 29,655 | Norwegian Krone | 303,083 | 5/5/2020 | 71 |
Gross Unrealized Appreciation | 9,402 | ||||
Gross Unrealized Depreciation | (1,499) |
See notes to financial statements.
33
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 413,007,349 |
| 483,744,911 |
| ||
Affiliated issuers |
| 1,920,798 |
| 1,920,798 |
| |
Cash denominated in foreign currency |
|
| 573,984 |
| 579,408 |
|
Receivable for investment securities sold |
| 6,064,005 |
| |||
Tax reclaim receivable |
| 2,201,723 |
| |||
Dividends and securities lending income receivable |
| 1,909,775 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,078,570 |
| |||
Unrealized appreciation on forward foreign |
| 9,402 |
| |||
|
|
|
|
| 497,508,592 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 186,977 |
| |||
Cash overdraft due to Custodian |
|
|
|
| 395,570 |
|
Liability for securities on loan—Note 1(c) |
| 1,868,959 |
| |||
Note payable—Note 2 |
| 1,700,000 |
| |||
Payable for shares of Common Stock redeemed |
| 1,285,937 |
| |||
Payable for futures variation margin—Note 4 |
| 46,063 |
| |||
Directors’ fees and expenses payable |
| 5,222 |
| |||
Interest payable—Note 2 |
| 1,851 |
| |||
Unrealized depreciation on forward foreign |
| 1,499 |
| |||
|
|
|
|
| 5,492,078 |
|
Net Assets ($) |
|
| 492,016,514 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 512,521,373 |
|
Total distributable earnings (loss) |
|
|
|
| (20,504,859) |
|
Net Assets ($) |
|
| 492,016,514 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 291,894,255 | 200,122,259 |
|
Shares Outstanding | 20,073,979 | 13,769,252 |
|
Net Asset Value Per Share ($) | 14.54 | 14.53 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
34
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $703,428 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 7,115,746 |
| ||
Affiliated issuers |
|
| 32,555 |
| ||
Interest |
|
| 16,884 |
| ||
Income from securities lending—Note 1(c) |
|
| 12,164 |
| ||
Total Income |
|
| 7,177,349 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,022,490 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 422,419 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 27,300 |
| ||
Loan commitment fees—Note 2 |
|
| 5,831 |
| ||
Interest expense—Note 2 |
|
| 2,214 |
| ||
Total Expenses |
|
| 1,480,254 |
| ||
Less—Directors’ fees reimbursed by |
|
| (27,300) |
| ||
Net Expenses |
|
| 1,452,954 |
| ||
Investment Income—Net |
|
| 5,724,395 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (11,143,968) |
| ||||
Net realized gain (loss) on futures | (172,476) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 115,766 |
| ||||
Net Realized Gain (Loss) |
|
| (11,200,678) |
| ||
Net change in unrealized appreciation (depreciation) on investments | (85,681,083) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | (246,651) |
| ||||
Net change in unrealized appreciation (depreciation) on | 7,903 |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| (85,919,831) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (97,120,509) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (91,396,114) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
35
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 5,724,395 |
|
|
| 17,327,302 |
| |
Net realized gain (loss) on investments |
| (11,200,678) |
|
|
| (7,905,332) |
| ||
Net change in unrealized appreciation |
| (85,919,831) |
|
|
| 53,224,373 |
| ||
Net Increase (Decrease) in Net Assets | (91,396,114) |
|
|
| 62,646,343 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (10,250,790) |
|
|
| (8,364,440) |
| |
Class I |
|
| (8,149,102) |
|
|
| (5,935,815) |
| |
Total Distributions |
|
| (18,399,892) |
|
|
| (14,300,255) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 42,099,837 |
|
|
| 105,823,624 |
| |
Class I |
|
| 58,798,081 |
|
|
| 148,869,919 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 10,108,504 |
|
|
| 8,283,721 |
| |
Class I |
|
| 2,849,091 |
|
|
| 2,613,946 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (64,453,676) |
|
|
| (113,641,135) |
| |
Class I |
|
| (79,897,424) |
|
|
| (121,154,112) |
| |
Increase (Decrease) in Net Assets | (30,495,587) |
|
|
| 30,795,963 |
| |||
Total Increase (Decrease) in Net Assets | (140,291,593) |
|
|
| 79,142,051 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 632,308,107 |
|
|
| 553,166,056 |
| |
End of Period |
|
| 492,016,514 |
|
|
| 632,308,107 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 2,628,514 |
|
|
| 6,463,952 |
| |
Shares issued for distributions reinvested |
|
| 566,938 |
|
|
| 557,451 |
| |
Shares redeemed |
|
| (4,022,879) |
|
|
| (6,941,947) |
| |
Net Increase (Decrease) in Shares Outstanding | (827,427) |
|
|
| 79,456 |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,957,665 |
|
|
| 9,196,723 |
| |
Shares issued for distributions reinvested |
|
| 159,992 |
|
|
| 176,142 |
| |
Shares redeemed |
|
| (5,537,221) |
|
|
| (7,407,853) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,419,564) |
|
|
| 1,965,012 |
| |||
|
|
|
|
|
|
|
|
|
|
a During the period ended October 31, 2019, 24,506 Class I shares representing $413,732 were exchanged for 24,506 Investor shares. | |||||||||
See notes to financial statements. |
36
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2020 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2019 | 2018 | 2017 | 2016a | 2015 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 17.52 | 16.24 | 17.90 | 15.01 | 15.86 | 16.54 |
Investment Operations: | ||||||
Investment income—netb | .15 | .46 | .40 | .35 | .36 | .35 |
Net realized and unrealized | (2.63) | 1.22 | (1.67) | 2.96 | (.89) | (.60) |
Total from Investment Operations | (2.48) | 1.68 | (1.27) | 3.31 | (.53) | (.25) |
Distributions: | ||||||
Dividends from | (.50) | (.40) | (.39) | (.42) | (.32) | (.43) |
Net asset value, end of period | 14.54 | 17.52 | 16.24 | 17.90 | 15.01 | 15.86 |
Total Return (%) | (14.70)c | 10.79 | (7.30) | 22.71 | (3.37) | (1.46) |
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 | 1.86d | 2.76 | 2.24 | 2.20 | 2.43 | 2.14 |
Portfolio Turnover Rate | .70c | 7.58 | 7.48 | 9.18 | 5.53 | 8.44 |
Net Assets, end of period ($ x 1,000) | 291,894 | 366,092 | 338,147 | 456,213 | 514,975 | 575,306 |
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, 2020 | Year Ended October 31, | ||||
Class I Shares | (Unaudited) | 2019 | 2018 | 2017 | 2016a |
Per Share Data ($): | |||||
Net asset value, beginning of period | 17.53 | 16.26 | 17.92 | 15.02 | 15.15 |
Investment Operations: | |||||
Investment income—netb | .17 | .50 | .46 | .42 | .02 |
Net realized and unrealized | (2.63) | 1.22 | (1.69) | 2.94 | (.15) |
Total from Investment Operations | (2.46) | 1.72 | (1.23) | 3.36 | (.13) |
Distributions: | |||||
Dividends from | (.54) | (.45) | (.43) | (.46) | - |
Net asset value, end of period | 14.53 | 17.53 | 16.26 | 17.92 | 15.02 |
Total Return (%) | (14.60)c | 11.06 | (7.06) | 23.04 | (.86)c |
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .36d | .36 | .36 | .36 | .40d |
Ratio of net expenses | .35d | .35 | .35 | .35 | .39d |
Ratio of net investment income | 2.09d | 3.02 | 2.55 | 2.48 | 1.95d |
Portfolio Turnover Rate | .70c | 7.58 | 7.48 | 9.18 | 5.53 |
Net Assets, end of period ($ x 1,000) | 200,122 | 266,216 | 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.
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.
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 is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
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 equity 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
40
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.
For 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.
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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, 2020 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: † |
|
|
|
|
Equity Securities- | 3,393,241 | 477,536,400†† | 1 | 480,929,642 |
Equity Securities- | - | 2,624,046†† | - | 2,624,046 |
Investment Companies | 1,920,798 | - | - | 1,920,798 |
Rights | - | 7,449 | - | 7,449 |
U.S. Treasury Securities | - | 183,774 | - | 183,774 |
Other Financial Instruments: | ||||
Forward Foreign Currency | - | 9,402 | - | 9,402 |
Futures††† | 44,030 | - | - | 44,030 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency | - | (1,499) | - | (1,499) |
† See Statement of Investments for additional detailed categorizations, if any.
†† 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, if any, are reported in the Statement of Assets and Liabilities.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
42
| Equity Securities— |
Balance as of 10/31/2019 | 0 |
Realized gain (loss) | - |
Change in unrealized appreciation (depreciation) | - |
Purchases/Issuances | - |
Sales/Dispositions | - |
Transfers into Level 3† | 1 |
Transfers out of Level 3 | - |
Balance as of 4/30/2020†† | 1 |
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to investments still held at 4/30/2020 | - |
† Transfers into 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.
†† Securities deemed as Level 3 due to the lack of significant observable inputs by management 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.
Foreign Taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the fund understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invest. These foreign taxes, if any, are paid by the fund and are reflected in the Statements of Operations. Foreign taxes payable or deferred as of April 30, 2020, if any, are disclosed in the fund’s Statements of Assets and Liabilities.
(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.
43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2020, The Bank of New York Mellon earned $2,579 from the lending of the fund’s 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, economic developments and public health conditions. 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. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in
44
these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2020, 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, 2020, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2019 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 $48,979,027 available for federal income tax purposes to be applied against future net realized capital
45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
gains, if any, realized subsequent to October 31, 2019. These long-term capital losses can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2019 was as follows: ordinary income $14,300,255. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $927 million 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 financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $747 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $180 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. Prior to March 11, 2020, the Citibank Credit Facility was $1.030 billion with Tranche A available in an amount equal to $830 million and Tranche B available in an amount equal to $200 million. 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, 2020 was approximately $231,868 with a related weighted average annualized interest rate of 1.92%.
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
46
Directors (including counsel fees). During the period ended April 30, 2020, fees reimbursed by the Adviser amounted to $27,300.
(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, 2020, the fund was charged $422,419 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 of $137,538 and Shareholder Services Plan fees of $58,002, which are offset against an expense reimbursement currently in effect in the amount of $8,563.
(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, 2020, amounted to $4,044,697 and $43,551,113, 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 instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Each type of derivative instrument that was held by the fund during the period ended April 30, 2020 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, 2020, are set forth in the Statement of Futures.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the
48
counterparty. Forward contracts open at April 30, 2020 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, 2020 is shown below:
|
| Derivative |
|
|
| Derivative |
|
Equity risk | 44,030 | 1 | Equity risk | - |
| ||
Foreign exchange risk | 9,402 | 2 | Foreign exchange risk | (1,499) | 2 | ||
Gross fair value of | 53,432 |
|
|
| (1,499) |
| |
|
|
|
|
|
|
| |
Statement of Assets and Liabilities location: |
| ||||||
1 Includes 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. | |||||||
2 Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2020 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) |
| |||||||||
Underlying risk | Futures | 1 | Forward | 2 | Total |
|
| |||
Equity | (172,476) |
| - |
| (172,476) |
|
|
|
| |
Foreign exchange | - |
| 115,766 |
| 115,766 |
|
|
| ||
Total | (172,476) |
| 115,766 |
| (56,710) |
|
|
| ||
|
|
|
|
|
|
|
|
|
| |
Net change in unrealized appreciation (depreciation) |
| |||||||||
Underlying risk | Futures | 3 | Forward | 4 | Total |
|
| |||
Equity | (246,651) |
| - |
| (246,651) |
|
|
|
| |
Foreign exchange | - |
| 7,903 |
| 7,903 |
|
|
|
| |
Total | (246,651) |
| 7,903 |
| (238,748) |
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
Statement of Operations location: |
| |||||||||
1 Net realized gain (loss) on futures. | ||||||||||
2 Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||||
3 Net change in unrealized appreciation (depreciation) on futures. | ||||||||||
4 Net change in 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
49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2020, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures |
| 44,030 |
| - |
|
Forward contracts |
| 9,402 |
| (1,499) |
|
Total gross amount of derivative |
|
|
|
|
|
assets and liabilities in the |
|
|
|
|
|
Statement of Assets and Liabilities |
| 53,432 |
| (1,499) |
|
Derivatives not subject to |
|
|
|
|
|
Master Agreements |
| (44,030) |
| - |
|
Total gross amount of assets |
|
|
|
|
|
and liabilities subject to |
|
|
|
|
|
Master Agreements |
| 9,402 |
| (1,499) |
|
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2020:†
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Societe Generale | 9,402 |
| (1,499) | - |
| 7,903 |
|
|
|
|
|
|
|
|
|
| Financial |
|
|
|
|
|
| Instruments |
|
|
|
|
|
| and Derivatives |
|
|
|
| Gross Amount of |
| Available | Collateral |
| Net Amount of |
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Societe Generale | (1,499) |
| 1,499 | - |
| - |
|
|
|
|
|
|
|
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. | ||||||
† See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2020:
|
| Average Market Value ($) |
Equity futures |
| 6,219,518 |
Forward contracts |
| 1,713,398 |
|
|
|
50
At April 30, 2020, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $70,789,495, consisting of $152,908,690 gross unrealized appreciation and $82,119,195 gross unrealized depreciation.
At April 30, 2020, 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).
51
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 10-11, 2020, 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 several 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, including the fund. 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 retail no-load international multi-cap core funds (the “Performance Group”) and with a broader group of retail and institutional international multi-cap core funds (the “Performance Universe”), all for various periods ended December 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of retail no-load international multi-cap core funds, excluding outliers (the “Expense Universe”), the information for which was derived in part from fund
52
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 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 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 above the Performance Universe median for all periods, except the ten-year period when it was below 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 reviewed and considered the contractual management fee rate paid by the fund to the Adviser over the fund’s last fiscal year in light of the nature, extent and quality of the management services provided by the Adviser. The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets 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 higher than the Expense Group median contractual management fee, the fund’s actual management fee was higher than the Expense Group and Expense Universe median actual management fee and the fund’s total expenses were higher than the Expense Group and Expense Universe median total expenses.
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 excessive, given the services
53
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
rendered and service levels provided by the Adviser and its affiliates. 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 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 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 overall 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
54
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 the 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.
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-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.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 at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.bnymellonim.com/us and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2020 BNY Mellon Securities Corporation |
BNY Mellon S&P 500 Index Fund
SEMIANNUAL REPORT April 30, 2020 |
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, covering the six-month period from November 1, 2019 through April 30, 2020. 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.
Stock markets performed well over the last several months of 2019. Accommodative policies from the U.S. Federal Reserve (the “Fed”), paired with healthy U.S. consumer spending, helped support valuations. Despite periodic investor concern regarding trade relations with China and global growth rates, the rally continued through the end of the calendar year, supported in part by a December announcement that the first phase of a trade deal with China was in process. U.S. equity markets reached new highs during the final months of 2019. However, the euphoria was short-lived, as concerns over the spread of COVID-19 and widespread quarantine roiled markets during the first several months of 2020; stocks posted historic losses in March 2020 but regained some ground in April.
In fixed-income markets, interest rates were heavily influenced by changes in Fed policy and investor concern over COVID-19. As stocks rallied in November and December 2019, Treasury bond prices declined, and rates across much of the yield curve rose until early in 2020, when the threat posed by COVID-19 began to emerge. A flight to quality ensued, and rates fell significantly. March 2020 brought high volatility and risk-asset spread widened. The Fed cut rates twice in March, and the government launched a large stimulus package. In April 2020, bond prices began to recover some of their prior losses.
The near-term outlook for the U.S. will be challenging, as the country continues to face COVID-19. However, we believe that once the economic effects have been mitigated, the economy will rebound. As always, we will monitor relevant data for signs of change. 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.
May 15, 2020
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2019 through April 30, 2020, 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, 2020, the BNY Mellon S&P 500 Index Fund produced a total return of -3.44%.1 In comparison, the S&P 500® Index (the “Index”), the fund’s benchmark, returned -3.15% for the same period.2,3
Large-cap equities lost a small amount of value during the reporting period, due largely to volatility brought on by the spread of COVID-19. 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.
Geopolitics, Pandemic and Central Banks Influence Markets
Equity markets were affected by an array of geopolitical developments in late 2019, ranging from civil protests in Hong Kong to an impeachment inquiry against the U.S. president and the Brexit saga in the U.K. The continuing trade tensions between the U.S. and China remained an influencer of investor sentiment and equity market valuations early in the period. Alternating signs of progress and deterioration in the trade dispute occurred, although the year concluded with President Trump indicating that he would sign the first phase of a deal. Investor optimism helped fuel a rally that pushed U.S. equity indices to new record highs in December 2019.
Volatility reentered equity markets in January 2020, due to concerns over the spread of COVID-19 and the resulting economic implications. Although some indices hit new record highs in early February 2020, investor sentiment shifted later in the month, due to increasing COVID-19 cases in the U.S. A sell-off began that accelerated through late March 2020, eliminating gains for many areas of the capital markets, and sending some equity indices into bear market territory. Asset valuations came under additional pressure from the Russia and Saudi Arabia oil conflict, which caused the price of oil to fall precipitously. The U.S. Federal Reserve (the “Fed”) cut the federal funds target rate twice in March 2020 in an effort to support the economy. Large numbers of people were laid off after several states ordered non-essential businesses closed. A landmark $2 trillion-dollar stimulus deal was signed on March 27th, in an effort to provide much needed cash to households and loans to small businesses. Markets stabilized, and many indices gained ground in April 2020.
During the period, large-cap stocks generally outperformed both their mid-cap and small-cap counterparts.
Information Technology Stocks Lead the Market
The information technology sector led the index over the reporting period. Technology stocks generally performed well, before COVID-19 began to affect the markets, due to increased business
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
spending on technological infrastructure. These securities also continued to lead the index after COVID-19 appeared, due to increased demand for all things technological as a result of the stay-at-home orders. Virtual gatherings increased, along with demand for cloud computing infrastructure. Companies that boasted the strongest balance sheets tended to lead the pack. Health care was also among the top performers during the period. As the presumptive democratic nominee for president became clear, health care companies saw a rebound as the possibility of “Medicare for all” became less of a threat to the industry. Biotechnology and pharmaceutical companies saw their stock prices rise during the latter half of the reporting period, as companies in these industries attempted to bring forth therapies and treatments for COVID-19. Lastly, the performance of online retailer Amazon.com bolstered performance of the consumer discretionary sector during the period. Demand for at-home delivery of products soared throughout the months of February, March, and April, supporting the retailer’s stock price.
Conversely, laggards for the reporting period included the financials sector. Interest rates fell considerably during the six months, squeezing the profit margins for lending products. In addition, with widespread unemployment, some banks are reluctant to lend to some consumers. Some banks have several loans to energy companies on the books, which are currently threatened due to the low price of oil. Insurance companies also suffered during the period, due in part to investor speculation regarding future costs of claims relating to COVID-19. Industrials stocks fell during the period, led by the aerospace industry. Business and leisure travel has decreased significantly, cutting revenues for airlines and leading companies to cancel orders for planes. Industrial conglomerates are also suffering. Lastly, the energy sector was hurt during the period by historic oil price volatitliy.
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 spread of COVID-19 and resulting economic implications continue to impact markets and the economy, the U.S. government and Fed remain dedicated to support capital markets and the economy with various fiscal and monetary techniques. As always, we continue to monitor factors that affect the fund’s investments.
May 15, 2020
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.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
The fund may, but is not required, to use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
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, 2019 to April 30, 2020. 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 |
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Assume actual returns for the six months ended April 30, 2020 |
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Expense paid per $1,000† | $2.44 |
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Ending value (after expenses) | $965.60 |
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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 |
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Assuming a hypothetical 5% annualized return for the six months ended April 30, 2020 |
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Expense paid per $1,000† | $2.51 |
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Ending value (after expenses) | $1,022.38 |
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† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
5
STATEMENT OF INVESTMENTS
April 30, 2020 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% | |||||||
Automobiles & Components - .3% | |||||||
Aptiv | 20,677 | 1,438,085 | |||||
BorgWarner | 17,981 | a | 513,717 | ||||
Ford Motor | 326,803 | 1,663,427 | |||||
General Motors | 103,080 | 2,297,653 | |||||
Harley-Davidson | 11,490 | a | 250,827 | ||||
6,163,709 | |||||||
Banks - 4.0% | |||||||
Bank of America | 668,484 | 16,077,040 | |||||
Citigroup | 180,059 | 8,743,665 | |||||
Citizens Financial Group | 34,730 | 777,605 | |||||
Comerica | 12,591 | 438,922 | |||||
Fifth Third Bancorp | 60,065 | 1,122,615 | |||||
First Republic Bank | 14,038 | 1,464,023 | |||||
Huntington Bancshares | 85,967 | 794,335 | |||||
JPMorgan Chase & Co. | 259,114 | 24,812,757 | |||||
KeyCorp | 79,204 | 922,727 | |||||
M&T Bank | 10,677 | 1,196,678 | |||||
People's United Financial | 33,302 | 422,602 | |||||
Regions Financial | 77,322 | 831,212 | |||||
SVB Financial Group | 4,049 | b | 782,145 | ||||
The PNC Financial Services Group | 36,214 | 3,862,947 | |||||
Truist Financial | 111,719 | 4,169,353 | |||||
U.S. Bancorp | 118,344 | 4,319,556 | |||||
Wells Fargo & Co. | 317,572 | 9,225,467 | |||||
Zions Bancorp | 14,578 | 460,811 | |||||
80,424,460 | |||||||
Capital Goods - 5.5% | |||||||
3M | 47,402 | 7,201,312 | |||||
A.O. Smith | 12,064 | a | 511,272 | ||||
Allegion | 7,335 | 737,461 | |||||
AMETEK | 18,908 | 1,585,814 | |||||
Carrier Global | 67,302 | b | 1,191,918 | ||||
Caterpillar | 45,806 | 5,330,902 | |||||
Cummins | 12,555 | 2,052,743 | |||||
Deere & Co. | 25,889 | 3,755,458 | |||||
Dover | 12,373 | 1,158,731 | |||||
Eaton | 34,313 | 2,865,135 | |||||
Emerson Electric | 49,958 | 2,849,105 | |||||
Fastenal | 47,161 | 1,708,171 | |||||
Flowserve | 10,449 | 294,348 | |||||
Fortive | 24,087 | 1,541,568 |
6
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 5.5% (continued) | |||||||
Fortune Brands Home & Security | 11,694 | 563,651 | |||||
General Dynamics | 19,311 | 2,522,403 | |||||
General Electric | 724,153 | 4,924,240 | |||||
Honeywell International | 58,929 | 8,362,025 | |||||
Howmet Aerospace | 32,747 | 428,003 | |||||
Huntington Ingalls Industries | 3,373 | 645,626 | |||||
IDEX | 6,324 | 971,556 | |||||
Illinois Tool Works | 24,171 | 3,927,787 | |||||
Ingersoll Rand | 26,133 | b | 759,948 | ||||
Jacobs Engineering Group | 11,254 | 931,269 | |||||
Johnson Controls International | 63,785 | 1,856,781 | |||||
L3Harris Technologies | 18,472 | 3,578,026 | |||||
Lockheed Martin | 20,600 | 8,014,636 | |||||
Masco | 24,073 | 987,956 | |||||
Northrop Grumman | 13,045 | 4,313,590 | |||||
Otis Worldwide | 33,651 | b | 1,713,172 | ||||
PACCAR | 28,790 | 1,993,132 | |||||
Parker-Hannifin | 10,476 | 1,656,465 | |||||
Pentair | 14,449 | 499,791 | |||||
Quanta Services | 10,675 | 388,143 | |||||
Raytheon Technologies | 121,586 | 7,879,989 | |||||
Rockwell Automation | 9,782 | 1,853,493 | |||||
Roper Technologies | 8,657 | 2,952,297 | |||||
Snap-on | 4,316 | a | 562,332 | ||||
Stanley Black & Decker | 12,579 | 1,386,206 | |||||
Textron | 17,615 | 464,331 | |||||
The Boeing Company | 44,359 | 6,255,506 | |||||
Trane Technologies | 20,265 | 1,771,566 | |||||
TransDigm Group | 4,191 | 1,521,668 | |||||
United Rentals | 6,399 | a,b | 822,272 | ||||
W.W. Grainger | 3,685 | 1,015,512 | |||||
Westinghouse Air Brake Technologies | 15,150 | 854,763 | |||||
Xylem | 14,484 | 1,041,400 | |||||
110,203,473 | |||||||
Commercial & Professional Services - .7% | |||||||
Cintas | 6,825 | 1,513,990 | |||||
Copart | 17,324 | b | 1,387,826 | ||||
Equifax | 10,224 | 1,420,114 | |||||
IHS Markit | 33,419 | 2,249,099 | |||||
Nielsen Holdings | 30,615 | 450,959 | |||||
Republic Services | 17,319 | 1,356,770 | |||||
Robert Half International | 10,577 | 499,975 | |||||
Rollins | 12,388 | a | 495,520 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Commercial & Professional Services - .7% (continued) | |||||||
Verisk Analytics | 13,626 | 2,082,462 | |||||
Waste Management | 32,605 | 3,261,152 | |||||
14,717,867 | |||||||
Consumer Durables & Apparel - 1.0% | |||||||
Capri Holdings | 12,668 | b | 193,187 | ||||
D.R. Horton | 27,993 | 1,321,829 | |||||
Garmin | 11,958 | 970,511 | |||||
Hanesbrands | 29,589 | 294,115 | |||||
Hasbro | 10,652 | 769,181 | |||||
Leggett & Platt | 10,737 | 377,191 | |||||
Lennar, Cl. A | 23,477 | 1,175,493 | |||||
Mohawk Industries | 4,974 | b | 436,319 | ||||
Newell Brands | 31,279 | 434,153 | |||||
NIKE, Cl. B | 102,777 | 8,960,099 | |||||
NVR | 288 | b | 892,800 | ||||
PulteGroup | 20,672 | 584,397 | |||||
PVH | 6,754 | 332,499 | |||||
Ralph Lauren | 3,779 | 278,815 | |||||
Tapestry | 23,732 | 353,132 | |||||
Under Armour, Cl. A | 16,416 | b | 171,055 | ||||
Under Armour, Cl. C | 16,459 | b | 152,575 | ||||
VF | 27,109 | 1,575,033 | |||||
Whirlpool | 5,521 | 616,917 | |||||
19,889,301 | |||||||
Consumer Services - 1.6% | |||||||
Carnival | 34,595 | a | 550,061 | ||||
Chipotle Mexican Grill | 2,087 | b | 1,833,534 | ||||
Darden Restaurants | 10,111 | 746,091 | |||||
H&R Block | 16,140 | a | 268,731 | ||||
Hilton Worldwide Holdings | 23,286 | 1,762,983 | |||||
Las Vegas Sands | 28,293 | 1,358,630 | |||||
Marriott International, Cl. A | 22,176 | 2,016,685 | |||||
McDonald's | 62,149 | 11,656,666 | |||||
MGM Resorts International | 43,763 | 736,531 | |||||
Norwegian Cruise Line Holdings | 17,862 | a,b | 292,937 | ||||
Royal Caribbean Cruises | 14,451 | 675,873 | |||||
Starbucks | 97,358 | 7,470,279 | |||||
Wynn Resorts | 8,379 | a | 716,656 | ||||
Yum! Brands | 24,987 | 2,159,626 | |||||
32,245,283 | |||||||
Diversified Financials - 4.6% | |||||||
American Express | 55,578 | 5,071,492 | |||||
Ameriprise Financial | 10,368 | 1,191,698 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Diversified Financials - 4.6% (continued) | |||||||
Berkshire Hathaway, Cl. B | 161,613 | b | 30,279,812 | ||||
BlackRock | 9,762 | 4,900,914 | |||||
Capital One Financial | 39,182 | 2,537,426 | |||||
Cboe Global Markets | 9,165 | 910,818 | |||||
CME Group | 29,518 | 5,260,403 | |||||
Discover Financial Services | 25,234 | 1,084,305 | |||||
E*Trade Financial | 19,214 | 780,281 | |||||
Franklin Resources | 20,995 | a | 395,546 | ||||
Intercontinental Exchange | 46,047 | 4,118,904 | |||||
Invesco | 34,190 | a | 294,718 | ||||
MarketAxess Holdings | 3,148 | 1,432,371 | |||||
Moody's | 13,395 | 3,267,040 | |||||
Morgan Stanley | 96,205 | 3,793,363 | |||||
MSCI | 7,031 | 2,299,137 | |||||
Nasdaq | 9,491 | 1,040,878 | |||||
Northern Trust | 17,203 | 1,361,789 | |||||
Raymond James Financial | 9,695 | 639,094 | |||||
S&P Global | 20,248 | 5,930,234 | |||||
State Street | 29,719 | 1,873,486 | |||||
Synchrony Financial | 46,126 | 912,834 | |||||
T. Rowe Price Group | 19,680 | 2,275,598 | |||||
The Bank of New York Mellon | 68,818 | 2,583,428 | |||||
The Charles Schwab | 94,417 | 3,561,409 | |||||
The Goldman Sachs Group | 26,370 | 4,836,785 | |||||
92,633,763 | |||||||
Energy - 3.0% | |||||||
Apache | 30,453 | a | 398,325 | ||||
Baker Hughes | 51,706 | 721,299 | |||||
Cabot Oil & Gas | 32,441 | 701,374 | |||||
Chevron | 156,084 | 14,359,728 | |||||
Concho Resources | 17,241 | 977,910 | |||||
ConocoPhillips | 90,506 | 3,810,303 | |||||
Devon Energy | 34,887 | 435,041 | |||||
Diamondback Energy | 13,067 | 568,937 | |||||
EOG Resources | 48,409 | 2,299,912 | |||||
Exxon Mobil | 349,333 | 16,233,505 | |||||
Halliburton | 71,922 | 755,181 | |||||
Helmerich & Payne | 9,550 | 188,804 | |||||
Hess | 21,037 | 1,023,240 | |||||
HollyFrontier | 12,696 | 419,476 | |||||
Kinder Morgan | 162,369 | 2,472,880 | |||||
Marathon Oil | 66,735 | a | 408,418 | ||||
Marathon Petroleum | 52,640 | 1,688,691 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Energy - 3.0% (continued) | |||||||
National Oilwell Varco | 31,636 | 399,879 | |||||
Noble Energy | 40,490 | 397,207 | |||||
Occidental Petroleum | 74,679 | a | 1,239,671 | ||||
ONEOK | 34,719 | 1,039,140 | |||||
Phillips 66 | 37,442 | 2,739,631 | |||||
Pioneer Natural Resources | 13,319 | 1,189,520 | |||||
Schlumberger | 115,575 | 1,943,972 | |||||
TechnipFMC | 34,356 | 306,112 | |||||
The Williams Companies | 100,935 | 1,955,111 | |||||
Valero Energy | 34,803 | 2,204,770 | |||||
60,878,037 | |||||||
Food & Staples Retailing - 1.6% | |||||||
Costco Wholesale | 36,456 | 11,046,168 | |||||
Sysco | 42,792 | 2,407,906 | |||||
The Kroger Company | 66,288 | 2,095,364 | |||||
Walgreens Boots Alliance | 61,509 | 2,662,725 | |||||
Walmart | 117,113 | 14,235,085 | |||||
32,447,248 | |||||||
Food, Beverage & Tobacco - 3.7% | |||||||
Altria Group | 153,939 | 6,042,106 | |||||
Archer-Daniels-Midland | 46,546 | 1,728,718 | |||||
Brown-Forman, Cl. B | 15,153 | a | 942,517 | ||||
Campbell Soup | 14,332 | 716,313 | |||||
Conagra Brands | 39,410 | 1,317,870 | |||||
Constellation Brands, Cl. A | 13,938 | 2,295,449 | |||||
General Mills | 50,673 | 3,034,806 | |||||
Hormel Foods | 22,761 | a | 1,066,353 | ||||
Kellogg | 20,967 | 1,373,339 | |||||
Lamb Weston Holdings | 12,430 | 762,705 | |||||
McCormick & Co. | 10,160 | 1,593,494 | |||||
Molson Coors Beverage, Cl. B | 15,817 | 648,655 | |||||
Mondelez International, Cl. A | 118,640 | 6,102,842 | |||||
Monster Beverage | 31,215 | b | 1,929,399 | ||||
PepsiCo | 115,133 | 15,230,945 | |||||
Philip Morris International | 128,358 | 9,575,507 | |||||
The Coca-Cola Company | 318,382 | 14,610,550 | |||||
The Hershey Company | 12,443 | 1,647,826 | |||||
The J.M. Smucker Company | 9,662 | 1,110,260 | |||||
The Kraft Heinz Company | 50,743 | 1,539,035 | |||||
Tyson Foods, Cl. A | 24,547 | 1,526,578 | |||||
74,795,267 | |||||||
Health Care Equipment & Services - 6.8% | |||||||
Abbott Laboratories | 145,882 | 13,434,273 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Health Care Equipment & Services - 6.8% (continued) | |||||||
ABIOMED | 3,856 | b | 737,460 | ||||
Align Technology | 6,073 | b | 1,304,784 | ||||
AmerisourceBergen | 12,775 | 1,145,407 | |||||
Anthem | 21,144 | 5,935,755 | |||||
Baxter International | 42,593 | 3,781,407 | |||||
Becton Dickinson & Co. | 22,526 | 5,688,491 | |||||
Boston Scientific | 116,095 | b | 4,351,241 | ||||
Cardinal Health | 23,651 | 1,170,251 | |||||
Centene | 48,480 | b | 3,227,798 | ||||
Cerner | 25,883 | 1,796,021 | |||||
Cigna | 30,758 | 6,021,801 | |||||
CVS Health | 107,926 | 6,642,845 | |||||
Danaher | 52,710 | 8,615,977 | |||||
DaVita | 7,654 | b | 604,743 | ||||
Dentsply Sirona | 18,874 | 801,013 | |||||
Edwards Lifesciences | 17,400 | b | 3,784,500 | ||||
HCA Healthcare | 22,264 | 2,446,368 | |||||
Henry Schein | 12,124 | b | 661,485 | ||||
Hologic | 21,983 | b | 1,101,348 | ||||
Humana | 11,007 | 4,202,693 | |||||
IDEXX Laboratories | 7,011 | b | 1,946,254 | ||||
Intuitive Surgical | 9,640 | b | 4,924,883 | ||||
Laboratory Corp. of America Holdings | 8,119 | b | 1,335,170 | ||||
McKesson | 13,468 | 1,902,355 | |||||
Medtronic | 110,612 | 10,799,050 | |||||
Quest Diagnostics | 11,027 | 1,214,183 | |||||
ResMed | 11,888 | 1,846,444 | |||||
STERIS | 6,402 | 912,285 | |||||
Stryker | 26,850 | 5,005,645 | |||||
Teleflex | 3,938 | 1,320,805 | |||||
The Cooper Companies | 4,009 | 1,149,380 | |||||
UnitedHealth Group | 78,251 | 22,886,070 | |||||
Universal Health Services, Cl. B | 6,426 | 679,164 | |||||
Varian Medical Systems | 7,531 | b | 861,396 | ||||
Zimmer Biomet Holdings | 17,202 | 2,059,079 | |||||
136,297,824 | |||||||
Household & Personal Products - 2.0% | |||||||
Church & Dwight | 19,898 | 1,392,661 | |||||
Colgate-Palmolive | 70,558 | 4,958,111 | |||||
Coty, Cl. A | 28,557 | a | 155,636 | ||||
Kimberly-Clark | 28,183 | 3,902,782 | |||||
The Clorox Company | 10,349 | 1,929,468 | |||||
The Estee Lauder Companies, Cl. A | 18,546 | 3,271,514 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Household & Personal Products - 2.0% (continued) | |||||||
The Procter & Gamble Company | 206,001 | 24,281,338 | |||||
39,891,510 | |||||||
Insurance - 1.9% | |||||||
Aflac | 60,135 | 2,239,427 | |||||
American International Group | 72,571 | 1,845,481 | |||||
Aon | 19,779 | 3,415,240 | |||||
Arthur J. Gallagher & Co. | 15,835 | 1,243,048 | |||||
Assurant | 5,218 | 554,360 | |||||
Chubb | 37,508 | 4,051,239 | |||||
Cincinnati Financial | 12,242 | 805,524 | |||||
Everest Re Group | 3,333 | 577,042 | |||||
Globe Life | 8,221 | 676,917 | |||||
Lincoln National | 16,533 | 586,426 | |||||
Loews | 21,722 | 752,885 | |||||
Marsh & McLennan | 41,723 | 4,060,900 | |||||
MetLife | 64,035 | 2,310,383 | |||||
Principal Financial Group | 21,728 | 791,116 | |||||
Prudential Financial | 33,863 | 2,112,035 | |||||
The Allstate | 26,843 | 2,730,470 | |||||
The Hartford Financial Services Group | 30,453 | 1,156,909 | |||||
The Progressive | 48,720 | 3,766,056 | |||||
The Travelers Companies | 21,148 | 2,140,389 | |||||
Unum Group | 19,231 | 335,581 | |||||
Willis Towers Watson | 10,523 | 1,876,146 | |||||
WR Berkley | 12,060 | 651,240 | |||||
38,678,814 | |||||||
Materials - 2.5% | |||||||
Air Products & Chemicals | 18,370 | 4,143,905 | |||||
Albemarle | 8,871 | a | 544,946 | ||||
Amcor | 131,027 | a | 1,175,312 | ||||
Avery Dennison | 6,875 | 758,931 | |||||
Ball | 26,745 | 1,754,205 | |||||
Celanese | 10,250 | 851,468 | |||||
CF Industries Holdings | 18,062 | 496,705 | |||||
Corteva | 62,218 | 1,629,489 | |||||
Dow | 62,445 | 2,291,107 | |||||
DuPont de Nemours | 60,733 | 2,855,666 | |||||
Eastman Chemical | 10,526 | 636,928 | |||||
Ecolab | 20,713 | 4,007,965 | |||||
FMC | 10,771 | 989,855 | |||||
Freeport-McMoRan | 116,688 | 1,030,355 | |||||
International Flavors & Fragrances | 8,451 | a | 1,107,335 | ||||
International Paper | 31,635 | 1,083,499 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Materials - 2.5% (continued) | |||||||
Linde | 44,302 | 8,151,125 | |||||
LyondellBasell Industries, Cl. A | 21,783 | 1,262,325 | |||||
Martin Marietta Materials | 5,338 | 1,015,448 | |||||
Newmont | 68,311 | 4,063,138 | |||||
Nucor | 25,738 | 1,060,148 | |||||
Packaging Corp. of America | 7,582 | 732,800 | |||||
PPG Industries | 19,655 | 1,785,264 | |||||
Sealed Air | 12,911 | 369,125 | |||||
The Mosaic Company | 29,030 | 334,135 | |||||
The Sherwin-Williams Company | 6,749 | 3,619,961 | |||||
Vulcan Materials | 11,166 | 1,261,423 | |||||
WestRock | 21,349 | 687,224 | |||||
49,699,787 | |||||||
Media & Entertainment - 8.7% | |||||||
Activision Blizzard | 63,538 | 4,049,277 | |||||
Alphabet, Cl. A | 24,756 | b | 33,338,905 | ||||
Alphabet, Cl. C | 24,695 | b | 33,305,159 | ||||
Charter Communications, Cl. A | 12,918 | b | 6,397,381 | ||||
Comcast, Cl. A | 374,790 | 14,103,348 | |||||
Discovery, Cl. A | 12,602 | a,b | 282,537 | ||||
Discovery, Cl. C | 28,552 | b | 582,746 | ||||
DISH Network, Cl. A | 19,449 | b | 486,517 | ||||
Electronic Arts | 23,941 | b | 2,735,499 | ||||
Facebook, Cl. A | 198,843 | b | 40,705,151 | ||||
Fox, Cl. A | 30,432 | 787,276 | |||||
Fox, Cl. B | 14,085 | 360,013 | |||||
Live Nation Entertainment | 10,641 | a,b | 477,462 | ||||
Netflix | 36,177 | b | 15,188,913 | ||||
News Corp., Cl. A | 32,325 | 320,341 | |||||
News Corp., Cl. B | 8,955 | 91,520 | |||||
Omnicom Group | 17,525 | a | 999,451 | ||||
Take-Two Interactive Software | 9,248 | b | 1,119,470 | ||||
The Interpublic Group of Companies | 32,709 | 555,399 | |||||
The Walt Disney Company | 148,818 | 16,094,667 | |||||
64,621 | b | 1,853,330 | |||||
ViacomCBS, Cl. B | 46,040 | 794,650 | |||||
174,629,012 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 8.5% | |||||||
AbbVie | 122,002 | 10,028,564 | |||||
Agilent Technologies | 25,317 | 1,940,801 | |||||
Alexion Pharmaceuticals | 18,657 | b | 2,005,068 | ||||
Allergan | 27,026 | 5,063,051 | |||||
Amgen | 49,030 | 11,728,957 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 8.5% (continued) | |||||||
Biogen | 14,946 | b | 4,436,421 | ||||
Bristol-Myers Squibb | 193,456 | 11,764,059 | |||||
Eli Lilly & Co. | 69,712 | 10,780,264 | |||||
Gilead Sciences | 105,040 | 8,823,360 | |||||
Illumina | 12,262 | b | 3,911,946 | ||||
Incyte | 14,539 | b | 1,419,879 | ||||
IQVIA Holdings | 15,120 | b | 2,155,961 | ||||
Johnson & Johnson | 217,450 | 32,626,198 | |||||
Merck & Co. | 210,243 | 16,680,680 | |||||
Mettler-Toledo International | 2,043 | b | 1,470,837 | ||||
Mylan | 43,298 | b | 726,107 | ||||
PerkinElmer | 9,426 | 853,336 | |||||
Perrigo | 11,123 | 592,856 | |||||
Pfizer | 456,958 | 17,528,909 | |||||
Regeneron Pharmaceuticals | 6,598 | b | 3,469,756 | ||||
Thermo Fisher Scientific | 33,087 | 11,073,557 | |||||
Vertex Pharmaceuticals | 21,364 | b | 5,366,637 | ||||
Waters | 5,463 | b | 1,021,581 | ||||
Zoetis | 39,217 | 5,071,150 | |||||
170,539,935 | |||||||
Real Estate - 2.9% | |||||||
Alexandria Real Estate Equities | 9,624 | c | 1,511,834 | ||||
American Tower | 36,778 | c | 8,753,164 | ||||
Apartment Investment & Management, Cl. A | 12,020 | c | 452,793 | ||||
AvalonBay Communities | 11,613 | c | 1,892,338 | ||||
Boston Properties | 12,149 | c | 1,180,640 | ||||
CBRE Group, Cl. A | 28,080 | b | 1,205,474 | ||||
Crown Castle International | 34,247 | c | 5,459,999 | ||||
Digital Realty Trust | 21,390 | c | 3,197,591 | ||||
Duke Realty | 29,377 | c | 1,019,382 | ||||
Equinix | 7,020 | c | 4,739,904 | ||||
Equity Residential | 29,478 | c | 1,917,839 | ||||
Essex Property Trust | 5,457 | c | 1,332,054 | ||||
Extra Space Storage | 10,924 | c | 963,934 | ||||
Federal Realty Investment Trust | 5,897 | c | 491,043 | ||||
Healthpeak Properties | 41,156 | c | 1,075,818 | ||||
Host Hotels & Resorts | 60,829 | c | 748,805 | ||||
Iron Mountain | 24,232 | a,c | 585,930 | ||||
Kimco Realty | 34,481 | c | 376,188 | ||||
Mid-America Apartment Communities | 9,411 | c | 1,053,279 | ||||
Prologis | 60,966 | c | 5,439,996 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Real Estate - 2.9% (continued) | |||||||
Public Storage | 12,518 | c | 2,321,463 | ||||
Realty Income | 27,001 | c | 1,482,895 | ||||
Regency Centers | 14,591 | c | 640,691 | ||||
SBA Communications | 9,241 | c | 2,679,151 | ||||
Simon Property Group | 25,793 | c | 1,722,199 | ||||
SL Green Realty | 6,245 | a,c | 331,297 | ||||
UDR | 23,568 | c | 883,093 | ||||
Ventas | 31,647 | c | 1,023,780 | ||||
Vornado Realty Trust | 12,164 | c | 533,026 | ||||
Welltower | 33,758 | c | 1,729,422 | ||||
Weyerhaeuser | 61,813 | c | 1,351,850 | ||||
58,096,872 | |||||||
Retailing - 7.5% | |||||||
Advance Auto Parts | 5,475 | 661,982 | |||||
Amazon.com | 34,423 | b | 85,162,502 | ||||
AutoZone | 1,969 | b | 2,009,010 | ||||
Best Buy | 19,112 | 1,466,464 | |||||
Booking Holdings | 3,467 | b | 5,133,136 | ||||
CarMax | 13,192 | a,b | 971,591 | ||||
Dollar General | 21,026 | 3,685,858 | |||||
Dollar Tree | 19,751 | b | 1,573,562 | ||||
eBay | 62,603 | 2,493,477 | |||||
Expedia Group | 11,345 | 805,268 | |||||
Genuine Parts | 11,550 | 915,684 | |||||
Kohl's | 14,331 | a | 264,550 | ||||
L Brands | 18,759 | a | 223,045 | ||||
LKQ | 26,115 | b | 682,907 | ||||
Lowe's | 63,150 | 6,614,962 | |||||
Nordstrom | 8,027 | 150,747 | |||||
O'Reilly Automotive | 6,194 | b | 2,392,990 | ||||
Ross Stores | 29,814 | 2,723,807 | |||||
Target | 41,918 | 4,600,081 | |||||
The Gap | 19,022 | a | 154,459 | ||||
The Home Depot | 90,084 | 19,803,166 | |||||
The TJX Companies | 99,830 | 4,896,661 | |||||
Tiffany & Co. | 8,733 | 1,104,725 | |||||
Tractor Supply | 10,154 | 1,029,920 | |||||
Ulta Beauty | 4,784 | b | 1,042,529 | ||||
150,563,083 | |||||||
Semiconductors & Semiconductor Equipment - 4.5% | |||||||
Advanced Micro Devices | 96,271 | b | 5,043,638 | ||||
Analog Devices | 30,848 | 3,380,941 | |||||
Applied Materials | 76,351 | 3,793,118 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Semiconductors & Semiconductor Equipment - 4.5% (continued) | |||||||
Broadcom | 32,934 | 8,945,533 | |||||
Intel | 359,283 | 21,549,794 | |||||
KLA | 12,906 | 2,117,746 | |||||
Lam Research | 11,914 | 3,041,406 | |||||
Maxim Integrated Products | 21,851 | 1,201,368 | |||||
Microchip Technology | 19,490 | a | 1,709,858 | ||||
Micron Technology | 92,369 | b | 4,423,551 | ||||
NVIDIA | 50,519 | 14,765,693 | |||||
Qorvo | 9,675 | b | 948,440 | ||||
Qualcomm | 94,112 | 7,403,791 | |||||
Skyworks Solutions | 13,788 | 1,432,297 | |||||
Texas Instruments | 77,607 | 9,007,844 | |||||
Xilinx | 21,154 | 1,848,860 | |||||
90,613,878 | |||||||
Software & Services - 14.2% | |||||||
Accenture, Cl. A | 52,744 | 9,767,661 | |||||
Adobe | 39,957 | b | 14,130,393 | ||||
Akamai Technologies | 13,212 | b | 1,290,945 | ||||
Alliance Data Systems | 3,124 | 156,419 | |||||
ANSYS | 7,174 | b | 1,878,368 | ||||
Autodesk | 18,260 | b | 3,416,994 | ||||
Automatic Data Processing | 35,627 | 5,226,125 | |||||
Broadridge Financial Solutions | 9,559 | 1,108,844 | |||||
Cadence Design Systems | 23,670 | b | 1,920,347 | ||||
Citrix Systems | 9,389 | 1,361,499 | |||||
Cognizant Technology Solutions, Cl. A | 44,884 | 2,604,170 | |||||
DXC Technology | 22,638 | 410,427 | |||||
Fidelity National Information Services | 50,978 | 6,723,488 | |||||
Fiserv | 47,007 | b | 4,844,541 | ||||
FleetCor Technologies | 7,164 | b | 1,728,315 | ||||
Fortinet | 11,547 | b | 1,244,074 | ||||
Gartner | 7,077 | b | 840,818 | ||||
Global Payments | 25,120 | 4,170,422 | |||||
International Business Machines | 73,050 | 9,172,158 | |||||
Intuit | 21,567 | 5,818,992 | |||||
Jack Henry & Associates | 6,559 | 1,072,724 | |||||
Leidos Holdings | 11,077 | 1,094,518 | |||||
Mastercard, Cl. A | 73,318 | 20,160,250 | |||||
Microsoft | 630,610 | 113,011,618 | |||||
Nortonlifelock | 48,000 | 1,020,960 | |||||
Oracle | 178,723 | 9,466,957 | |||||
Paychex | 26,638 | 1,825,236 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Software & Services - 14.2% (continued) | |||||||
Paycom Software | 3,760 | b | 981,435 | ||||
PayPal Holdings | 96,881 | b | 11,916,363 | ||||
salesforce.com | 73,200 | b | 11,854,740 | ||||
ServiceNow | 15,705 | b | 5,520,936 | ||||
Synopsys | 12,609 | b | 1,981,126 | ||||
The Western Union Company | 36,072 | 687,893 | |||||
Verisign | 8,720 | b | 1,826,753 | ||||
Visa, Cl. A | 141,411 | a | 25,272,974 | ||||
285,509,483 | |||||||
Technology Hardware & Equipment - 6.8% | |||||||
Amphenol, Cl. A | 24,314 | 2,145,954 | |||||
Apple | 345,242 | 101,432,100 | |||||
Arista Networks | 4,394 | b | 963,604 | ||||
CDW | 11,595 | 1,284,726 | |||||
Cisco Systems | 350,232 | 14,842,832 | |||||
Corning | 65,262 | 1,436,417 | |||||
F5 Networks | 5,166 | b | 719,417 | ||||
FLIR Systems | 11,249 | 488,207 | |||||
Hewlett Packard Enterprise | 104,441 | 1,050,676 | |||||
HP | 121,205 | 1,879,890 | |||||
IPG Photonics | 2,623 | b | 339,233 | ||||
Juniper Networks | 25,931 | 560,110 | |||||
Keysight Technologies | 15,890 | b | 1,537,675 | ||||
Motorola Solutions | 14,374 | 2,067,125 | |||||
NetApp | 19,408 | 849,488 | |||||
Seagate Technology | 19,618 | 979,919 | |||||
TE Connectivity | 28,123 | 2,065,916 | |||||
Western Digital | 25,303 | 1,165,962 | |||||
Xerox Holdings | 15,873 | 290,317 | |||||
Zebra Technologies, Cl. A | 4,091 | b | 939,539 | ||||
137,039,107 | |||||||
Telecommunication Services - 2.1% | |||||||
AT&T | 603,280 | 18,381,942 | |||||
CenturyLink | 83,472 | a | 886,473 | ||||
T-Mobile US | 30,651 | b | 2,691,158 | ||||
Verizon Communications | 341,574 | 19,623,426 | |||||
41,582,999 | |||||||
Transportation - 1.7% | |||||||
Alaska Air Group | 9,960 | 323,899 | |||||
American Airlines Group | 34,566 | a | 415,138 | ||||
C.H. Robinson Worldwide | 11,174 | 792,237 | |||||
CSX | 64,301 | 4,258,655 | |||||
Delta Air Lines | 48,659 | 1,260,755 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Transportation - 1.7% (continued) | |||||||
Expeditors International of Washington | 13,705 | 981,347 | |||||
FedEx | 19,990 | 2,534,132 | |||||
J.B. Hunt Transport Services | 6,781 | 685,695 | |||||
Kansas City Southern | 8,245 | 1,076,385 | |||||
Norfolk Southern | 21,659 | 3,705,855 | |||||
Old Dominion Freight Line | 7,980 | 1,159,414 | |||||
Southwest Airlines | 38,666 | 1,208,313 | |||||
Union Pacific | 57,254 | 9,148,617 | |||||
United Airlines Holdings | 18,353 | b | 542,882 | ||||
United Parcel Service, Cl. B | 58,086 | 5,498,421 | |||||
33,591,745 | |||||||
Utilities - 3.2% | |||||||
Alliant Energy | 20,268 | 984,011 | |||||
Ameren | 20,377 | 1,482,427 | |||||
American Electric Power | 41,168 | 3,421,472 | |||||
American Water Works | 15,001 | 1,825,472 | |||||
Atmos Energy | 9,986 | 1,018,272 | |||||
CenterPoint Energy | 42,423 | 722,464 | |||||
CMS Energy | 23,491 | 1,341,101 | |||||
Consolidated Edison | 27,609 | 2,175,589 | |||||
Dominion Energy | 67,794 | 5,228,951 | |||||
DTE Energy | 15,622 | 1,620,626 | |||||
Duke Energy | 60,042 | 5,083,156 | |||||
Edison International | 29,883 | 1,754,431 | |||||
Entergy | 16,264 | 1,553,375 | |||||
Evergy | 18,620 | 1,087,967 | |||||
Eversource Energy | 27,142 | 2,190,359 | |||||
Exelon | 81,008 | 3,003,777 | |||||
FirstEnergy | 45,175 | 1,864,372 | |||||
NextEra Energy | 40,325 | 9,319,914 | |||||
NiSource | 30,097 | 755,736 | |||||
NRG Energy | 20,555 | 689,209 | |||||
Pinnacle West Capital | 9,661 | 743,800 | |||||
PPL | 62,153 | 1,579,929 | |||||
Public Service Enterprise Group | 41,415 | 2,100,155 | |||||
Sempra Energy | 23,146 | 2,866,632 | |||||
The AES | 56,514 | 748,811 | |||||
The Southern Company | 86,861 | 4,927,625 | |||||
WEC Energy Group | 25,866 | 2,342,166 | |||||
Xcel Energy | 43,940 | 2,792,826 | |||||
65,224,625 | |||||||
Total Common Stocks (cost $554,138,263) | 1,996,357,082 |
18
Description | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - .1% | |||||||
U.S. Treasury Bills - .1% | |||||||
0.15%, 2/25/21 | 1,309,000 | d,e | 1,307,391 | ||||
1-Day | Shares | ||||||
Investment Companies - .5% | |||||||
Registered Investment Companies - .5% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 0.33 | 11,014,474 | f | 11,014,474 | |||
Investment of Cash Collateral for Securities Loaned - .1% | |||||||
Registered Investment Companies - .1% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 0.33 | 1,540,887 | f | 1,540,887 | |||
Total Investments (cost $568,001,005) | 100.0% | 2,010,219,834 | |||||
Liabilities, Less Cash and Receivables | (.0%) | (764,785) | |||||
Net Assets | 100.0% | 2,009,455,049 |
aSecurity, or portion thereof, on loan. At April 30, 2020, the value of the fund’s securities on loan was $41,789,001 and the value of the collateral was $43,714,714, consisting of cash collateral of $1,540,887 and U.S. Government & Agency securities valued at $42,173,827.
bNon-income producing security.
cInvestment in real estate investment trust within the United States.
dHeld by a counterparty for open exchange traded derivative contracts.
eSecurity is a discount security. Income is recognized through the accretion of discount.
fInvestment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Portfolio Summary (Unaudited) † | Value (%) |
Information Technology | 25.5 |
Health Care | 15.3 |
Communication Services | 10.8 |
Financials | 10.5 |
Consumer Discretionary | 10.4 |
Industrials | 7.9 |
Consumer Staples | 7.3 |
Utilities | 3.2 |
Energy | 3.0 |
Real Estate | 2.9 |
Materials | 2.5 |
Investment Companies | .6 |
Government | .1 |
100.0 |
† Based on net assets.
See notes to financial statements.
19
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 9,855,122 | 177,261,505 | (176,102,153) | 11,014,474 | .5 | 80,087 |
Investment of Cash Collateral for Securities Loaned; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 728,181 | 23,021,099 | (22,208,393) | 1,540,887 | .1 | - |
Total | 10,583,303 | 200,282,604 | (198,310,546) | 12,555,361 | .6 | 80,087 |
See notes to financial statements.
20
STATEMENT OF FUTURES
April 30, 2020 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
Standard & Poor's 500 E-mini | 100 | 6/19/2020 | 13,781,070 | 14,512,000 | 730,930 | |
Gross Unrealized Appreciation | 730,930 |
See notes to financial statements.
21
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 555,445,644 |
| 1,997,664,473 |
| ||
Affiliated issuers |
| 12,555,361 |
| 12,555,361 |
| |
Cash |
|
|
|
| 377,572 |
|
Dividends and securities lending income receivable |
| 1,725,123 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,327,595 |
| |||
Prepaid expenses |
|
|
|
| 64 |
|
|
|
|
|
| 2,013,650,188 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 755,726 |
| |||
Payable for shares of Common Stock redeemed |
| 1,681,059 |
| |||
Liability for securities on loan—Note 1(b) |
| 1,540,887 |
| |||
Payable for futures variation margin—Note 4 |
| 195,086 |
| |||
Directors’ fees and expenses payable |
| 21,921 |
| |||
Interest payable—Note 2 |
| 460 |
| |||
|
|
|
|
| 4,195,139 |
|
Net Assets ($) |
|
| 2,009,455,049 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 450,714,821 |
|
Total distributable earnings (loss) |
|
|
|
| 1,558,740,228 |
|
Net Assets ($) |
|
| 2,009,455,049 |
|
Shares Outstanding |
|
| ||
(200 million shares of $.001 par value Common Stock authorized) | 44,115,072 |
| ||
Net Asset Value Per Share ($) |
| 45.55 |
| |
|
|
|
|
|
See notes to financial statements. |
|
|
|
|
22
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends: |
| |||||
Unaffiliated issuers |
|
| 22,447,420 |
| ||
Affiliated issuers |
|
| 80,087 |
| ||
Income from securities lending—Note 1(b) |
|
| 68,344 |
| ||
Interest |
|
| 60,056 |
| ||
Total Income |
|
| 22,655,907 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,721,174 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 2,721,174 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 107,600 |
| ||
Loan commitment fees—Note 2 |
|
| 21,451 |
| ||
Interest expense—Note 2 |
|
| 1,449 |
| ||
Total Expenses |
|
| 5,572,848 |
| ||
Less—Directors’ fees reimbursed by |
|
| (107,600) |
| ||
Net Expenses |
|
| 5,465,248 |
| ||
Investment Income—Net |
|
| 17,190,659 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 130,064,483 |
| ||||
Net realized gain (loss) on futures | (1,232,292) |
| ||||
Net Realized Gain (Loss) |
|
| 128,832,191 |
| ||
Net change in unrealized appreciation (depreciation) on investments | (215,556,399) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | 367,182 |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| (215,189,217) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (86,357,026) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (69,166,367) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
23
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 17,190,659 |
|
|
| 36,001,448 |
| |
Net realized gain (loss) on investments |
| 128,832,191 |
|
|
| 301,803,850 |
| ||
Net change in unrealized appreciation |
| (215,189,217) |
|
|
| (42,160,095) |
| ||
Net Increase (Decrease) in Net Assets | (69,166,367) |
|
|
| 295,645,203 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders |
|
| (299,400,194) |
|
|
| (312,814,481) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold |
|
| 179,294,015 |
|
|
| 320,880,718 |
| |
Distributions reinvested |
|
| 291,570,931 |
|
|
| 305,420,036 |
| |
Cost of shares redeemed |
|
| (365,399,514) |
|
|
| (764,586,883) |
| |
Increase (Decrease) in Net Assets | 105,465,432 |
|
|
| (138,286,129) |
| |||
Total Increase (Decrease) in Net Assets | (263,101,129) |
|
|
| (155,455,407) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 2,272,556,178 |
|
|
| 2,428,011,585 |
| |
End of Period |
|
| 2,009,455,049 |
|
|
| 2,272,556,178 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Shares sold |
|
| 3,834,369 |
|
|
| 6,331,502 |
| |
Shares issued for distributions reinvested |
|
| 5,779,475 |
|
|
| 7,057,271 |
| |
Shares redeemed |
|
| (7,634,171) |
|
|
| (15,051,465) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,979,673 |
|
|
| (1,662,692) |
| |||
|
|
|
|
|
|
|
|
|
|
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, 2020 | Year Ended October 31, | |||||||
(Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||
Per Share Data ($): | ||||||||
Net asset value, | 53.93 | 55.44 | 56.66 | 51.04 | 52.88 | 54.00 | ||
Investment Operations: | ||||||||
Investment income—neta | .39 | .79 | .78 | .80 | .84 | .83 | ||
Net realized and unrealized gain | (1.55) | 5.03 | 2.97 | 10.12 | 1.11 | 1.68 | ||
Total from Investment Operations | (1.16) | 5.82 | 3.75 | 10.92 | 1.95 | 2.51 | ||
Distributions: | ||||||||
Dividends from investment | (.84) | (.84) | (.86) | (.91) | (.87) | (.83) | ||
Dividends from net realized gain | (6.38) | (6.49) | (4.11) | (4.39) | (2.92) | (2.80) | ||
Total Distributions | (7.22) | (7.33) | (4.97) | (5.30) | (3.79) | (3.63) | ||
Net asset value, end of period | 45.55 | 53.93 | 55.44 | 56.66 | 51.04 | 52.88 | ||
Total Return (%) | (3.44)b | 13.76 | 6.83 | 23.03 | 3.95 | 4.70 | ||
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 | 1.58c | 1.55 | 1.39 | 1.52 | 1.68 | 1.59 | ||
Portfolio Turnover Rate | .98b | 2.81 | 3.06 | 2.88 | 4.25 | 3.72 | ||
Net Assets, end of period | 2,009,455 | 2,272,556 | 2,428,012 | 2,661,282 | 2,478,725 | 2,771,235 |
a Based on average shares outstanding.
b Not annualized.
c 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.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.
26
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 equity 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
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 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, 2020 in 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† | 1,996,357,082 | - | - | 1,996,357,082 |
Investment Companies | 12,555,361 | - | - | 12,555,361 |
U.S. Treasury Securities | - | 1,307,391 | - | 1,307,391 |
Other Financial Instruments: | ||||
Futures†† | 730,930 | - | - | 730,930 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives is reported in the Statement of Assets and Liabilities.
(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 maturity of security lending transactions are on an overnight and continuous basis. During the period ended April 30, 2020, The Bank of
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
New York Mellon earned $14,193 from the lending of the fund’s 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) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(e) 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.
(f) 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.
30
As of and during the period ended April 30, 2020, 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, 2020, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2019 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, 2019 was as follows: ordinary income $37,621,906 and long-term capital gains $275,192,575. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $927 million 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 $747 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $180 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. Prior to March 11, 2020, the Citibank Credit Facility was $1.030 billion with Tranche A available in an amount equal to $830 million and Tranche B available in an amount equal to $200 million. 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, 2020 was approximately $117,580 with a related weighted average annualized interest rate of 2.48%.
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
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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, 2020, fees reimbursed by the Adviser amounted to $107,600.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, at an annual rate of .25% of the value of the fund’s average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts such as recordkeeping and sub-accounting services. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2020, the fund was charged $2,721,174 pursuant to the Shareholder Services Plan.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statements of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $392,413 and Shareholder Services Plan fees of $392,413, which are offset against an expense reimbursement currently in effect in the amount of $29,100.
(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, 2020, amounted to $21,162,094 and $201,421,162, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative
32
instrument that was held by the fund during the period ended April 30, 2020 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2020 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2020:
|
| Average Market Value ($) |
Equity futures |
| 13,593,059 |
|
|
|
At April 30, 2020, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $1,442,949,759, consisting of $1,484,956,585 gross unrealized appreciation and $42,006,826 gross unrealized depreciation.
At April 30, 2020, 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
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 caption In 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.”
On September 9, 2016, Plaintiffs filed a petition for certiorari to the U.S. Supreme Court. During the pendency of the plaintiffs’ cert. petition, the Supreme Court ruled in another case, Merit Management Group, LP v. FTI Consulting, 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 the Merit 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.”
On December 19, 2019, the Second Circuit issued an Amended and Corrected Opinion affirming dismissal of the constructive fraudulent transfer claims notwithstanding Merit Mgmt., because there is an alternate basis for finding that the payments are safe-harbored under Section 546(e); namely, that, with respect to LBO payments, the Tribune Company is itself a “financial institution” because it was the customer of Computershare – a trust company and bank that acted as Tribune’s agent – and because all payments were made in connection with a securities contract.
On January 2, 2020, plaintiffs petitioned the Second Circuit for rehearing by the same panel of judges and/or rehearing en banc by all judges on the Court of Appeals for the Second Circuit. Plaintiffs sought this relief on numerous grounds, including that the panel rendered its decision using an incorrect construction of Section 546(e), improperly considered evidence, and an insufficiently developed factual record. Second Circuit rules state
34
that parties opposing a petition for rehearing and rehearing en banc are not permitted to file a response unless requested by the Court. The Second Circuit did not request any oppositions to plaintiffs’ motion, instead issuing an order on February 6, 2020, denying plaintiffs’-appellants’ petition for rehearing and/or rehearing en banc.
The FitzSimons Litigation: 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 (“the FitzSimons 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 the FitzSimons 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.
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 in FitzSimons has 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
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
include, in certain circumstances, the customers of traditional financial institutions, including Tribune.
On July 12, 2019, the Trustee filed a notice of appeal to the Second Circuit from the April 23, 2019, decision denying leave to amend the complaint to add constructive fraudulent transfer claims. On July 15, 2019, the Trustee filed a corrected notice of appeal to remedy technical errors with the notice filed on July 12, 2019. Briefing on these matters began in January 2020, and was completed and fully submitted to the Second Circuit by June 2020. Oral argument is anticipated to occur in 2020, with a decision expected in 2021.
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.
36
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 10-11, 2020, 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 several 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, including the fund. 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 retail pure no-load S&P 500 index funds (the “Performance Group”) and with a broader group of retail and institutional S&P 500 index funds (the “Performance Universe”), all for various periods ended December 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of retail no-load S&P 500 index funds, excluding outliers (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
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
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 the results of the comparisons and considered that the fund’s total return performance was at or within two or three basis points of the Performance Group median and below the Performance Universe median for all periods. The Board considered the relative proximity of the fund’s performance to the Performance Universe median in certain 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 reviewed and considered the contractual management fee rate paid by the fund to the Adviser over the fund’s last fiscal year in light of the nature, extent and quality of the management services provided by the Adviser. The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets 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 equal to the Expense Group median contractual management fee, the fund’s actual management fee was slightly higher than the Expense Group median and higher than the Expense Universe median actual management fee and the fund’s total expenses were slightly higher than the Expense Group median and higher than the Expense Universe median total expenses.
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 excessive, given the services rendered and service levels provided by the Adviser and its affiliates. The Board also had been provided with information prepared by an independent consulting firm
38
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 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 overall 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
39
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 the 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.
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-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.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 at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.bnymellonim.com/us and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2020 BNY Mellon Securities Corporation |
BNY Mellon Smallcap Stock Index Fund
SEMIANNUAL REPORT April 30, 2020 |
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, covering the six-month period from November 1, 2019 through April 30, 2020. 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.
Stock markets performed well over the last several months of 2019. Accommodative policies from the U.S. Federal Reserve (the “Fed”), paired with healthy U.S. consumer spending, helped support valuations. Despite periodic investor concern regarding trade relations with China and global growth rates, the rally continued through the end of the calendar year, supported in part by a December announcement that the first phase of a trade deal with China was in process. U.S. equity markets reached new highs during the final months of 2019. However, the euphoria was short-lived, as concerns over the spread of COVID-19 and widespread quarantine roiled markets during the first several months of 2020; stocks posted historic losses in March 2020 but regained some ground in April.
In fixed-income markets, interest rates were heavily influenced by changes in Fed policy and investor concern over COVID-19. As stocks rallied in November and December 2019, Treasury bond prices declined, and rates across much of the yield curve rose until early in 2020, when the threat posed by COVID-19 began to emerge. A flight to quality ensued, and rates fell significantly. March 2020 brought high volatility and risk-asset spread widened. The Fed cut rates twice in March, and the government launched a large stimulus package. In April 2020, bond prices began to recover some of their prior losses.
The near-term outlook for the U.S. will be challenging, as the country continues to face COVID-19. However, we believe that once the economic effects have been mitigated, the economy will rebound. As always, we will monitor relevant data for signs of change. 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.
May 15, 2020
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2019 through April 30, 2020, 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, 2020, the BNY Mellon Smallcap Stock Index Fund’s Investor shares produced a total return of -19.56%, and its Class I shares returned
-19.49%.1 In comparison, the S&P SmallCap 600® Index (the “Index”), the fund’s benchmark, produced a -19.42% total return for the same period.2,3
Small-cap stocks fell during the reporting period, due largely to volatility brought on by the spread of COVID-19. 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 $600 million and $2.4 billion, to the extent consistent with market conditions.
Geopolitics, Pandemic and Central Banks Influence Markets
Equity markets were affected by an array of geopolitical developments in late 2019, ranging from civil protests in Hong Kong to an impeachment inquiry against the U.S. president and the Brexit saga in the U.K. The continuing trade tensions between the U.S. and China remained an influencer of investor sentiment and equity market valuations early in the period. Alternating signs of progress and deterioration in the trade dispute occurred, although the year concluded with President Trump indicating that he would sign the first phase of a deal. Investor optimism helped fuel a rally that pushed U.S. equity indices to new record highs in December 2019.
Volatility reentered equity markets in January 2020, due to concerns over the spread of COVID-19 and the resulting economic implications. Although some indices hit new record highs in early February 2020, investor sentiment shifted later in the month, due to increasing COVID-19 cases in the U.S. A sell-off began that accelerated through late March 2020, eliminating gains for many areas of the capital markets, and sending some equity indices into bear market territory. Asset valuations came under additional pressure from the Russia and Saudi Arabia oil conflict, which caused the price of oil to fall precipitously. The U.S. Federal
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Reserve (the “Fed”) cut the federal funds target rate twice in March 2020 in an effort to support the economy. Large numbers of people were laid off, after several states ordered non-essential businesses closed. A landmark $2 trillion-dollar stimulus deal was signed on March 27th, in an effort to provide much needed cash to households and loans to small businesses. Markets stabilized, and many indices gained ground in April 2020.
In this environment, small-cap stocks trailed their large-cap and mid-cap counterparts.
Financials Stocks Weigh on the Market
In a falling rate environment, financials stocks struggled. Small banks were particularly hard hit, as many of their revenues depend on mortgage products. Lower rates generally reduce the profitability of lending money, and the high rates of unemployment have investors concerned about a possible uptick in mortgage defaults. Insurance companies also came under pressure, as investors speculated over the possible extent of costs associated with COVID-19 claims. As people sheltered in place, real estate securities were also hit. Business, retail and college housing REITs were particularly affected as people stayed home. Within the industrials sector, many industries such as aerospace, construction and machinery experienced falling demand for their products. In addition, smaller companies in these spaces tend to be highly leveraged, which investors punished during the period, due to the added financial strain of weaker balance sheets.
There were spots of resilience within the small-cap markets. Communications services led the index for the reporting period. Small wireless companies benefited from the increase in users who are at home and utilizing wireless networks. The health care sector also held up relatively well. Many smaller biotechnology and pharmaceuticals companies are partnering with larger organizations to produce experimental medicines for COVID-19 and other infectious diseases. These smaller companies benefit from access to larger companies’ manufacturing and distribution facilities. Lastly, defensive stocks such as pet food companies fared well within the consumer staples sector.
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 spread of COVID-19 and resulting economic implications continue to impact markets and the economy, the U.S. government and Fed remain dedicated to supporting capital markets and the economy with various fiscal and
4
monetary techniques. As always, we continue to monitor factors that affect the fund’s investments.
May 15, 2020
¹ Total return includes reinvestment of dividends and any capital gains paid. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement. Had these expenses not been absorbed, returns would have been lower.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.
Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund's exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
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.
The fund may, but is not required to, use derivative instruments. A small investment in derivatives could have a potentially large impact on the fund’s performance. The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets.
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, 2020 to April 30, 2020. 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 |
| |||
Assume actual returns for the six months ended April 30, 2020 |
| |||
|
|
|
|
|
|
| Investor Shares | Class I |
|
Expense paid per $1,000† | $2.29 | $1.17 |
| |
Ending value (after expenses) | $804.40 | $805.10 |
|
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment |
| |||
Assuming a hypothetical 5% annualized return for the six months ended April 30, 2020 |
| |||
|
|
|
|
|
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| Investor Shares | Class I |
|
Expense paid per $1,000† | $2.56 | $1.31 |
| |
Ending value (after expenses) | $1,022.33 | $1,023.57 |
| |
† Expenses are equal to the fund’s annualized expense ratio of .51% for Investor Shares and .26% for Class I, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS
April 30, 2020 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% | |||||||
Automobiles & Components - 2.0% | |||||||
American Axle & Manufacturing Holdings | 269,347 | a | 1,163,579 | ||||
Cooper Tire & Rubber | 116,855 | 2,476,157 | |||||
Cooper-Standard Holdings | 40,631 | a | 522,108 | ||||
Dorman Products | 67,323 | a | 4,246,735 | ||||
Fox Factory Holding | 90,473 | a | 4,615,028 | ||||
Garrett Motion | 165,965 | a | 904,509 | ||||
Gentherm | 75,500 | a | 2,826,720 | ||||
LCI Industries | 57,813 | 5,013,543 | |||||
Motorcar Parts of America | 40,449 | a | 575,589 | ||||
Standard Motor Products | 47,773 | 1,943,883 | |||||
Winnebago Industries | 77,664 | 3,445,952 | |||||
27,733,803 | |||||||
Banks - 10.5% | |||||||
Allegiance Bancshares | 44,639 | 1,119,546 | |||||
Ameris Bancorp | 153,796 | 3,911,032 | |||||
Axos Financial | 125,851 | a | 2,900,866 | ||||
Banc of California | 101,565 | 1,058,307 | |||||
Banner | 80,978 | 3,111,985 | |||||
Berkshire Hills Bancorp | 101,699 | 1,732,951 | |||||
Boston Private Financial Holdings | 187,928 | 1,428,253 | |||||
Brookline Bancorp | 188,357 | 1,923,125 | |||||
Cadence Bancorp | 300,153 | 1,987,013 | |||||
Central Pacific Financial | 67,318 | 1,177,392 | |||||
City Holding | 38,422 | 2,596,943 | |||||
Columbia Banking System | 169,259 | 4,568,300 | |||||
Community Bank System | 119,664 | 7,477,803 | |||||
Customers Bancorp | 68,269 | a | 871,112 | ||||
CVB Financial | 307,842 | 6,398,496 | |||||
Dime Community Bancshares | 70,337 | 1,155,637 | |||||
Eagle Bancorp | 77,208 | 2,708,457 | |||||
First Bancorp | 498,908 | 2,908,634 | |||||
First Commonwealth Financial | 232,196 | 2,210,506 | |||||
First Financial Bancorp | 233,617 | 3,593,029 | |||||
First Midwest Bancorp | 254,077 | 3,755,258 | |||||
Flagstar Bancorp | 80,763 | 2,092,569 | |||||
Franklin Financial Network | 31,263 | 741,558 | |||||
Glacier Bancorp | 198,426 | 7,556,062 | |||||
Great Western Bancorp | 131,290 | 2,468,252 | |||||
Hanmi Financial | 72,733 | 877,887 | |||||
Heritage Financial | 83,036 | 1,664,872 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Banks - 10.5% (continued) | |||||||
HomeStreet | 55,985 | 1,430,417 | |||||
Hope Bancorp | 298,604 | 2,971,110 | |||||
Independent Bank | 79,459 | 5,791,767 | |||||
Meta Financial Group | 80,353 | 1,480,102 | |||||
National Bank Holdings, Cl. A | 73,814 | 1,961,976 | |||||
NBT Bancorp | 102,950 | 3,410,733 | |||||
NMI Holdings, Cl. A | 155,769 | a | 2,105,997 | ||||
Northfield Bancorp | 102,926 | 1,159,976 | |||||
Northwest Bancshares | 277,868 | 2,948,179 | |||||
OFG Bancorp | 121,934 | 1,533,930 | |||||
Old National Bancorp | 392,990 | 5,568,668 | |||||
Opus Bank | 52,169 | 1,002,688 | |||||
Pacific Premier Bancorp | 138,499 | 2,956,954 | |||||
Preferred Bank | 32,282 | 1,231,558 | |||||
Provident Financial Services | 141,977 | 2,037,370 | |||||
S&T Bancorp | 90,838 | 2,426,283 | |||||
Seacoast Banking Corp. of Florida | 118,341 | a | 2,659,122 | ||||
ServisFirst Bancshares | 108,386 | 3,849,871 | |||||
Simmons First National, Cl. A | 267,224 | 4,997,089 | |||||
Southside Bancshares | 72,705 | 2,210,959 | |||||
Tompkins Financial | 28,415 | 1,918,297 | |||||
Triumph Bancorp | 53,777 | a | 1,490,161 | ||||
TrustCo Bank | 229,563 | 1,446,247 | |||||
United Community Banks | 182,672 | 3,862,599 | |||||
Veritex Holdings | 111,964 | 1,966,088 | |||||
Walker & Dunlop | 66,344 | 2,549,600 | |||||
Westamerica Bancorporation | 63,548 | 4,003,524 | |||||
144,967,110 | |||||||
Capital Goods - 11.6% | |||||||
AAON | 95,336 | 4,541,807 | |||||
AAR | 75,362 | 1,475,588 | |||||
Aegion | 69,372 | a | 1,113,421 | ||||
Aerojet Rocketdyne Holdings | 167,518 | a | 6,891,691 | ||||
AeroVironment | 50,317 | a | 3,032,102 | ||||
Alamo Group | 22,259 | 2,191,176 | |||||
Albany International, Cl. A | 71,145 | 3,638,355 | |||||
American Woodmark | 35,818 | a | 1,841,403 | ||||
Apogee Enterprises | 59,451 | 1,215,178 | |||||
Applied Industrial Technologies | 89,621 | 4,695,244 | |||||
Arcosa | 111,770 | 4,165,668 | |||||
Astec Industries | 52,099 | 2,089,691 | |||||
AZZ | 59,723 | 1,874,705 | |||||
Barnes Group | 111,846 | 4,292,649 |
8
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 11.6% (continued) | |||||||
Briggs & Stratton | 108,288 | 245,814 | |||||
Chart Industries | 84,027 | a | 3,001,444 | ||||
CIRCOR International | 45,798 | a | 683,764 | ||||
Comfort Systems USA | 84,811 | 2,824,206 | |||||
Cubic | 71,762 | 2,742,026 | |||||
DXP Enterprises | 38,646 | a | 576,598 | ||||
Encore Wire | 48,634 | 2,226,465 | |||||
Enerpac Tool Group | 122,928 | a | 2,097,152 | ||||
EnPro Industries | 49,136 | 2,228,318 | |||||
ESCO Technologies | 60,956 | 4,650,943 | |||||
Federal Signal | 140,175 | 3,774,913 | |||||
Foundation Building Materials | 43,754 | a | 511,922 | ||||
Franklin Electric | 88,837 | 4,512,920 | |||||
Gibraltar Industries | 75,889 | a | 3,513,661 | ||||
GMS | 96,378 | a | 1,771,428 | ||||
Granite Construction | 110,641 | 1,818,938 | |||||
Griffon | 100,155 | 1,643,544 | |||||
Hillenbrand | 174,231 | 3,650,139 | |||||
Insteel Industries | 42,480 | 746,374 | |||||
John Bean Technologies | 73,203 | 5,617,598 | |||||
Kaman | 65,049 | 2,521,299 | |||||
Lindsay | 24,812 | 2,233,080 | |||||
Lydall | 42,842 | a | 479,830 | ||||
Meritor | 170,494 | a | 3,495,127 | ||||
Moog, Cl. A | 75,673 | 3,744,300 | |||||
Mueller Industries | 133,888 | 3,467,699 | |||||
MYR Group | 37,877 | a | 1,136,310 | ||||
National Presto Industries | 11,694 | 950,839 | |||||
Park Aerospace | 43,326 | 576,669 | |||||
Patrick Industries | 50,647 | 2,087,669 | |||||
PGT Innovations | 137,518 | a | 1,421,936 | ||||
Powell Industries | 20,961 | 531,781 | |||||
Proto Labs | 61,853 | a | 6,283,646 | ||||
Quanex Building Products | 77,907 | 971,500 | |||||
Raven Industries | 83,002 | 1,848,455 | |||||
Simpson Manufacturing | 93,267 | 6,724,551 | |||||
SPX | 102,261 | a | 3,899,212 | ||||
SPX FLOW | 100,166 | a | 3,262,407 | ||||
Standex International | 29,635 | 1,477,008 | |||||
Sunrun | 184,155 | a | 2,583,695 | ||||
Tennant | 43,039 | 2,546,618 | |||||
The Greenbrier Companies | 76,461 | 1,298,308 | |||||
Titan International | 127,163 | 179,300 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Capital Goods - 11.6% (continued) | |||||||
Triumph Group | 119,478 | 841,125 | |||||
Universal Forest Products | 141,918 | 5,835,668 | |||||
Veritiv | 30,992 | a | 290,395 | ||||
Vicor | 43,381 | a | 2,306,568 | ||||
Wabash National | 127,468 | 1,045,238 | |||||
Watts Water Technologies, Cl. A | 63,767 | 5,254,401 | |||||
161,191,479 | |||||||
Commercial & Professional Services - 3.4% | |||||||
ABM Industries | 153,439 | 5,292,111 | |||||
Brady, Cl. A | 114,963 | 5,005,489 | |||||
Exponent | 120,019 | 8,440,936 | |||||
Forrester Research | 23,600 | a | 738,680 | ||||
Harsco | 185,787 | a | 1,854,154 | ||||
Heidrick & Struggles International | 45,888 | 1,029,727 | |||||
Interface | 134,898 | 1,246,458 | |||||
Kelly Services, Cl. A | 77,868 | 1,203,061 | |||||
Korn Ferry | 127,962 | 3,689,144 | |||||
Matthews International, Cl. A | 72,563 | 1,737,158 | |||||
Mobile Mini | 101,760 | 2,907,283 | |||||
Pitney Bowes | 382,517 | 1,350,285 | |||||
R.R. Donnelley & Sons | 182,459 | 312,005 | |||||
Resources Connection | 71,971 | 783,044 | |||||
Team | 70,344 | a | 434,022 | ||||
TrueBlue | 87,758 | a | 1,362,882 | ||||
U.S. Ecology | 59,672 | 1,956,048 | |||||
UniFirst | 35,379 | 5,948,979 | |||||
Viad | 47,515 | 1,138,935 | |||||
46,430,401 | |||||||
Consumer Durables & Apparel - 4.6% | |||||||
Callaway Golf | 219,629 | 3,145,087 | |||||
Cavco Industries | 20,224 | a | 3,128,248 | ||||
Century Communities | 65,828 | a | 1,410,036 | ||||
Crocs | 158,487 | a | 3,843,310 | ||||
Ethan Allen Interiors | 58,323 | 659,633 | |||||
Fossil Group | 99,266 | a | 393,093 | ||||
G-III Apparel Group | 99,681 | a | 1,129,386 | ||||
Installed Building Products | 48,592 | a | 2,396,072 | ||||
iRobot | 65,179 | a | 3,973,312 | ||||
Kontoor Brands | 110,253 | 2,140,011 | |||||
La-Z-Boy | 106,025 | 2,486,286 | |||||
LGI Homes | 51,030 | a | 3,091,397 | ||||
M.D.C. Holdings | 117,877 | 3,447,902 | |||||
M/I Homes | 64,258 | a | 1,636,009 |
10
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Consumer Durables & Apparel - 4.6% (continued) | |||||||
Meritage Homes | 84,615 | a | 4,447,364 | ||||
Movado Group | 40,437 | 416,905 | |||||
Oxford Industries | 39,531 | 1,657,140 | |||||
Steven Madden | 181,533 | 4,551,032 | |||||
Sturm Ruger & Co. | 39,260 | 2,088,632 | |||||
TopBuild | 78,542 | a | 7,319,329 | ||||
Tupperware Brands | 122,652 | 394,939 | |||||
Unifi | 34,601 | a | 358,120 | ||||
Universal Electronics | 31,855 | a | 1,314,974 | ||||
Vera Bradley | 56,734 | a | 312,604 | ||||
Vista Outdoor | 137,788 | a | 1,394,415 | ||||
Wolverine World Wide | 190,171 | 3,896,604 | |||||
YETI Holdings | 105,972 | a | 2,925,887 | ||||
63,957,727 | |||||||
Consumer Services - 2.4% | |||||||
American Public Education | 36,681 | a | 945,269 | ||||
BJ‘s Restaurants | 43,850 | 958,561 | |||||
Bloomin‘ Brands | 197,941 | 2,385,189 | |||||
Chuy's Holdings | 36,068 | a | 604,500 | ||||
Dave & Buster's Entertainment | 72,982 | 1,068,456 | |||||
Dine Brands Global | 39,898 | 1,771,072 | |||||
El Pollo Loco Holdings | 45,657 | a | 558,385 | ||||
Fiesta Restaurant Group | 42,168 | a | 306,772 | ||||
Monarch Casino & Resort | 28,115 | a | 937,354 | ||||
Perdoceo Education | 163,484 | a | 2,125,292 | ||||
Red Robin Gourmet Burgers | 30,679 | a | 448,834 | ||||
Regis | 57,567 | a | 714,982 | ||||
Ruth's Hospitality Group | 65,322 | 735,199 | |||||
Shake Shack, Cl. A | 71,648 | a | 3,905,532 | ||||
Strategic Education | 50,839 | 8,098,653 | |||||
Wingstop | 68,179 | 7,995,351 | |||||
33,559,401 | |||||||
Diversified Financials - 2.8% | |||||||
Apollo Commercial Real Estate Finance | 327,184 | b | 2,666,550 | ||||
ARMOUR Residential REIT | 134,742 | b | 1,191,119 | ||||
Blucora | 111,155 | a | 1,563,951 | ||||
Capstead Mortgage | 217,932 | b | 1,131,067 | ||||
Donnelley Financial Solutions | 70,594 | a | 513,924 | ||||
Encore Capital Group | 64,194 | a | 1,667,760 | ||||
Enova International | 76,505 | a | 1,227,140 | ||||
EZCORP, Cl. A | 113,458 | a | 635,365 | ||||
FGL Holdings | 302,033 | 3,135,103 | |||||
Granite Point Mortgage Trust | 124,853 | b | 621,768 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Diversified Financials - 2.8% (continued) | |||||||
Green Dot, Cl. A | 108,849 | a | 3,319,894 | ||||
Greenhill & Co. | 34,498 | 368,094 | |||||
INTL. FCStone | 38,711 | a | 1,546,892 | ||||
Invesco Mortgage Capital | 367,298 | b | 1,116,586 | ||||
KKR Real Estate Finance Trust | 57,757 | b | 911,405 | ||||
New York Mortgage Trust | 844,263 | b | 1,840,493 | ||||
PennyMac Mortgage Investment Trust | 234,699 | b | 2,440,870 | ||||
Piper Sandler | 40,297 | 2,172,411 | |||||
PRA Group | 106,889 | a | 2,965,101 | ||||
Ready Capital | 83,925 | b | 559,781 | ||||
Redwood Trust | 258,520 | b | 1,059,932 | ||||
Virtus Investment Partners | 17,401 | 1,414,179 | |||||
Waddell & Reed Financial, Cl. A | 166,173 | 2,417,817 | |||||
WisdomTree Investments | 261,362 | 846,813 | |||||
World Acceptance | 12,195 | a | 827,431 | ||||
38,161,446 | |||||||
Energy - 2.6% | |||||||
Archrock | 295,175 | 1,419,792 | |||||
Bonanza Creek Energy | 44,201 | a | 771,749 | ||||
Callon Petroleum | 921,340 | a | 865,783 | ||||
CONSOL Energy | 60,927 | a | 462,436 | ||||
Core Laboratories | 103,000 | 2,019,830 | |||||
Denbury Resources | 1,240,719 | a | 441,076 | ||||
DMC Global | 34,410 | 888,122 | |||||
Dorian LPG | 62,336 | a | 591,569 | ||||
Dril-Quip | 83,034 | a | 2,750,916 | ||||
Era Group | 42,182 | a | 215,972 | ||||
Exterran | 68,013 | a | 462,488 | ||||
Geospace Technologies | 36,628 | a | 227,460 | ||||
Green Plains | 78,453 | a | 460,519 | ||||
Gulfport Energy | 346,385 | a | 885,014 | ||||
Helix Energy Solutions Group | 327,540 | a | 831,952 | ||||
HighPoint Resources | 242,170 | a | 80,304 | ||||
Laredo Petroleum | 470,076 | a | 512,383 | ||||
Matrix Service | 63,572 | a | 663,692 | ||||
Nabors Industries | 15,791 | 232,594 | |||||
Newpark Resources | 219,986 | a | 336,579 | ||||
Noble | 634,406 | a | 163,677 | ||||
Oasis Petroleum | 664,463 | a | 467,716 | ||||
Oceaneering International | 233,953 | a | 1,202,518 | ||||
Oil States International | 147,162 | a | 506,237 | ||||
Par Pacific Holdings | 84,212 | a | 818,541 | ||||
PDC Energy | 221,355 | a | 2,875,401 |
12
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Energy - 2.6% (continued) | |||||||
Penn Virginia | 33,786 | a | 212,514 | ||||
ProPetro Holding | 198,806 | a | 842,937 | ||||
QEP Resources | 580,189 | 572,066 | |||||
Range Resources | 479,575 | 2,795,922 | |||||
Renewable Energy Group | 89,064 | a | 2,209,678 | ||||
REX American Resources | 13,205 | a | 785,433 | ||||
Ring Energy | 169,408 | a | 152,687 | ||||
RPC | 103,098 | a | 351,564 | ||||
SEACOR Holdings | 39,281 | a | 1,110,081 | ||||
SM Energy | 259,549 | 1,051,173 | |||||
Southwestern Energy | 1,248,446 | a | 4,032,481 | ||||
Talos Energy | 48,400 | a | 551,276 | ||||
TETRA Technologies | 329,213 | a | 160,096 | ||||
U.S. Silica Holdings | 175,227 | 336,436 | |||||
Valaris | 483,634 | a | 220,295 | ||||
36,538,959 | |||||||
Food & Staples Retailing - .6% | |||||||
PriceSmart | 51,286 | 3,258,712 | |||||
SpartanNash | 86,669 | 1,486,373 | |||||
The Andersons | 73,489 | 1,247,108 | |||||
The Chefs' Warehouse | 59,815 | a | 842,195 | ||||
United Natural Foods | 126,966 | a | 1,350,918 | ||||
8,185,306 | |||||||
Food, Beverage & Tobacco - 2.0% | |||||||
B&G Foods | 148,609 | 2,885,987 | |||||
Calavo Growers | 37,500 | 2,175,000 | |||||
Cal-Maine Foods | 70,382 | a | 2,921,557 | ||||
Coca-Cola Consolidated | 10,642 | 2,505,872 | |||||
Fresh Del Monte Produce | 69,285 | 1,975,315 | |||||
J&J Snack Foods | 35,041 | 4,451,258 | |||||
John B. Sanfilippo & Son | 20,832 | 1,710,932 | |||||
MGP Ingredients | 29,729 | 1,121,675 | |||||
National Beverage | 26,377 | a | 1,324,917 | ||||
Seneca Foods, Cl. A | 16,697 | a | 600,758 | ||||
Universal | 58,427 | 2,826,114 | |||||
Vector Group | 265,859 | 2,844,691 | |||||
27,344,076 | |||||||
Health Care Equipment & Services - 8.1% | |||||||
Addus HomeCare | 31,930 | a | 2,586,969 | ||||
AMN Healthcare Services | 109,389 | a | 5,139,095 | ||||
AngioDynamics | 85,253 | a | 889,189 | ||||
BioTelemetry | 79,929 | a | 3,733,484 | ||||
Cardiovascular Systems | 82,786 | a | 3,477,012 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Health Care Equipment & Services - 8.1% (continued) | |||||||
Community Health Systems | 275,102 | a | 833,559 | ||||
Computer Programs & Systems | 30,369 | 729,767 | |||||
CONMED | 66,561 | 4,919,524 | |||||
CorVel | 20,615 | a | 1,086,204 | ||||
Covetrus | 226,510 | a | 2,693,204 | ||||
Cross Country Healthcare | 85,374 | a | 537,002 | ||||
CryoLife | 88,668 | a | 1,979,956 | ||||
Cutera | 32,247 | a | 433,722 | ||||
Glaukos | 89,668 | a | 3,289,919 | ||||
Hanger | 88,690 | a | 1,628,348 | ||||
HealthStream | 59,558 | a | 1,359,411 | ||||
Heska | 16,361 | a | 1,158,359 | ||||
HMS Holdings | 203,686 | a | 5,840,696 | ||||
Inogen | 41,714 | a | 2,085,700 | ||||
Integer Holdings | 75,804 | a | 5,644,366 | ||||
Invacare | 74,950 | 563,624 | |||||
Lantheus Holdings | 91,314 | a | 1,191,648 | ||||
LeMaitre Vascular | 38,754 | 1,104,101 | |||||
Magellan Health | 50,765 | a | 3,082,958 | ||||
Meridian Bioscience | 102,561 | a | 1,230,732 | ||||
Merit Medical Systems | 127,556 | a | 5,206,836 | ||||
Mesa Laboratories | 9,315 | 2,216,970 | |||||
Natus Medical | 78,166 | a | 1,953,368 | ||||
Neogen | 121,363 | a | 7,596,110 | ||||
NextGen Healthcare | 111,145 | a | 1,172,580 | ||||
Omnicell | 97,037 | a | 7,073,997 | ||||
OraSure Technologies | 141,575 | a | 2,256,706 | ||||
Orthofix Medical | 45,317 | a | 1,606,488 | ||||
Owens & Minor | 143,206 | 1,013,898 | |||||
RadNet | 100,011 | a | 1,412,155 | ||||
Select Medical Holdings | 252,340 | a | 4,307,444 | ||||
SurModics | 31,554 | a | 1,202,207 | ||||
Tabula Rasa HealthCare | 45,125 | a | 2,858,218 | ||||
Tactile Systems Technology | 44,944 | a | 2,320,009 | ||||
The Ensign Group | 116,233 | 4,348,277 | |||||
The Pennant Group | 61,330 | a | 1,213,721 | ||||
The Providence Service | 26,856 | a | 1,557,917 | ||||
Tivity Health | 102,810 | a | 922,206 | ||||
U.S. Physical Therapy | 29,388 | 2,218,794 | |||||
Varex Imaging | 87,803 | a | 2,294,292 | ||||
111,970,742 | |||||||
Household & Personal Products - 1.1% | |||||||
Central Garden & Pet | 22,395 | a | 737,691 |
14
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Household & Personal Products - 1.1% (continued) | |||||||
Central Garden & Pet, Cl. A | 94,657 | a | 2,878,519 | ||||
Inter Parfums | 40,343 | 1,802,929 | |||||
Medifast | 27,463 | 2,083,892 | |||||
USANA Health Sciences | 29,085 | a | 2,594,964 | ||||
WD-40 | 31,676 | 5,520,493 | |||||
15,618,488 | |||||||
Insurance - 3.0% | |||||||
Ambac Financial Group | 103,924 | a | 1,787,493 | ||||
American Equity Investment Life Holding | 213,587 | 4,489,599 | |||||
AMERISAFE | 45,416 | 2,891,637 | |||||
eHealth | 57,577 | a | 6,143,466 | ||||
Employers Holdings | 74,105 | 2,250,569 | |||||
HCI Group | 14,946 | 622,501 | |||||
Horace Mann Educators | 96,900 | 3,407,004 | |||||
James River Group Holdings | 71,646 | 2,542,000 | |||||
Kinsale Captial Group | 47,614 | 5,171,833 | |||||
ProAssurance | 126,737 | 2,710,904 | |||||
Safety Insurance Group | 34,008 | 2,860,753 | |||||
Stewart Information Services | 54,890 | 1,748,795 | |||||
Third Point Reinsurance | 188,286 | a | 1,400,848 | ||||
United Fire Group | 50,470 | 1,443,442 | |||||
United Insurance Holdings | 43,585 | 372,652 | |||||
Universal Insurance Holdings | 72,415 | 1,320,125 | |||||
41,163,621 | |||||||
Materials - 4.7% | |||||||
AdvanSix | 67,370 | a | 820,567 | ||||
American Vanguard | 62,030 | 779,717 | |||||
Arconic | 222,067 | a | 1,936,424 | ||||
Balchem | 74,445 | 6,643,472 | |||||
Boise Cascade | 91,880 | 2,873,088 | |||||
Century Aluminum | 108,460 | a | 471,801 | ||||
Clearwater Paper | 37,266 | a | 892,148 | ||||
Cleveland-Cliffs | 931,173 | 4,078,538 | |||||
Ferro | 187,529 | a | 1,869,664 | ||||
FutureFuel | 56,342 | 584,830 | |||||
GCP Applied Technologies | 124,881 | a | 2,137,963 | ||||
H.B. Fuller | 117,613 | 4,326,982 | |||||
Hawkins | 22,550 | 844,047 | |||||
Haynes International | 29,797 | 658,514 | |||||
Innospec | 56,769 | 4,116,888 | |||||
Kaiser Aluminum | 36,592 | 2,643,040 | |||||
Koppers Holdings | 48,842 | a | 769,750 |
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Materials - 4.7% (continued) | |||||||
Kraton | 76,797 | a | 1,198,801 | ||||
Livent | 335,853 | a | 2,082,289 | ||||
LSB Industries | 56,110 | a | 111,659 | ||||
Materion | 46,614 | 2,411,808 | |||||
Mercer International | 87,870 | 885,730 | |||||
Myers Industries | 83,933 | 1,037,412 | |||||
Neenah | 38,970 | 1,904,074 | |||||
Olympic Steel | 20,388 | 192,463 | |||||
P.H. Glatfelter | 101,027 | 1,474,994 | |||||
Quaker Chemical | 30,019 | 4,566,490 | |||||
Rayonier Advanced Materials | 118,143 | a | 210,295 | ||||
Schweitzer-Mauduit International | 72,239 | 2,327,541 | |||||
Stepan | 46,237 | 4,411,010 | |||||
SunCoke Energy | 210,218 | 662,187 | |||||
TimkenSteel | 98,227 | a | 255,390 | ||||
Tredegar | 55,704 | 918,002 | |||||
Trinseo | 92,677 | 1,895,245 | |||||
U.S. Concrete | 38,291 | a | 734,421 | ||||
Warrior Met Coal | 118,258 | 1,484,138 | |||||
65,211,382 | |||||||
Media & Entertainment - .7% | |||||||
Gannett | 291,031 | 328,865 | |||||
Glu Mobile | 265,471 | a | 2,070,674 | ||||
Meredith | 93,193 | 1,382,052 | |||||
QuinStreet | 111,550 | a | 1,133,348 | ||||
Scholastic | 71,323 | 2,073,360 | |||||
TechTarget | 54,339 | a | 1,267,185 | ||||
The E.W. Scripps Company, Cl. A | 127,137 | 1,025,996 | |||||
The Marcus | 53,700 | 780,798 | |||||
10,062,278 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% | |||||||
Acorda Therapeutics | 114,096 | a | 109,817 | ||||
AMAG Pharmaceuticals | 73,628 | a | 591,233 | ||||
Amphastar Pharmaceuticals | 79,805 | a | 1,352,695 | ||||
ANI Pharmaceuticals | 22,234 | a | 889,582 | ||||
Anika Therapeutics | 32,571 | a | 1,082,334 | ||||
Corcept Therapeutics | 242,131 | a | 3,065,378 | ||||
Cytokinetics | 139,738 | a | 2,111,441 | ||||
Eagle Pharmaceuticals | 24,154 | a | 1,231,371 | ||||
Emergent BioSolutions | 101,587 | a | 7,512,359 | ||||
Enanta Pharmaceuticals | 37,776 | a | 1,751,673 | ||||
Endo International | 477,842 | a | 2,198,073 | ||||
Innoviva | 157,973 | a | 2,240,057 |
16
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% (continued) | |||||||
Lannett | 79,017 | a | 753,822 | ||||
Luminex | 96,407 | 3,475,472 | |||||
Medpace Holdings | 63,289 | a | 5,054,260 | ||||
Momenta Pharmaceuticals | 262,910 | a | 8,334,247 | ||||
Myriad Genetics | 173,155 | a | 2,676,976 | ||||
NeoGenomics | 241,637 | a | 6,606,356 | ||||
Pacira Biosciences | 96,478 | a | 3,983,577 | ||||
Phibro Animal Health, Cl. A | 46,315 | 1,237,074 | |||||
Progenics Pharmaceuticals | 200,725 | a | 790,857 | ||||
REGENXBIO | 72,030 | a | 2,868,235 | ||||
Spectrum Pharmaceuticals | 274,005 | a | 794,615 | ||||
Supernus Pharmaceuticals | 119,908 | a | 2,805,847 | ||||
Vanda Pharmaceuticals | 120,549 | a | 1,386,314 | ||||
Xencor | 113,992 | a | 3,331,986 | ||||
68,235,651 | |||||||
Real Estate - 7.6% | |||||||
Acadia Realty Trust | 204,755 | b | 2,536,914 | ||||
Agree Realty | 111,220 | b | 7,241,534 | ||||
Alexander & Baldwin | 158,352 | b | 2,080,745 | ||||
American Assets Trust | 110,802 | b | 3,137,913 | ||||
Armada Hoffler Properties | 132,059 | b | 1,269,087 | ||||
CareTrust REIT | 221,214 | b | 3,645,607 | ||||
CBL & Associates Properties | 481,396 | b | 139,123 | ||||
Cedar Realty Trust | 217,607 | b | 228,487 | ||||
Chatham Lodging Trust | 107,681 | b | 808,684 | ||||
Community Healthcare Trust | 48,226 | b | 1,794,007 | ||||
DiamondRock Hospitality | 472,587 | b | 2,944,217 | ||||
Easterly Government Properties | 171,358 | b | 4,611,244 | ||||
Essential Properties Realty Trust | 207,392 | b | 3,046,588 | ||||
Four Corners Property Trust | 159,211 | b | 3,564,734 | ||||
Franklin Street Properties | 250,903 | b | 1,364,912 | ||||
Getty Realty | 80,593 | b | 2,188,906 | ||||
Global Net Lease | 206,790 | b | 2,975,708 | ||||
Hersha Hospitality Trust | 82,648 | b | 432,249 | ||||
Independence Realty Trust | 213,556 | b | 2,150,509 | ||||
Industrial Logistics Properties Trust | 152,153 | b | 2,843,740 | ||||
Innovative Industrial Properties | 39,228 | b | 3,077,829 | ||||
Investors Real Estate Trust | 26,906 | b | 1,685,123 | ||||
iStar | 170,449 | b | 1,707,899 | ||||
Kite Realty Group Trust | 193,683 | b | 1,981,377 | ||||
Lexington Realty Trust | 573,158 | b | 5,989,501 | ||||
LTC Properties | 93,459 | b | 3,327,140 |
17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Real Estate - 7.6% (continued) | |||||||
Marcus & Millichap | 54,093 | a | 1,571,402 | ||||
National Storage Affiliates Trust | 139,267 | b | 3,966,324 | ||||
NexPoint Residential Trust | 53,258 | b | 1,601,468 | ||||
Office Properties Income Trust | 113,409 | b | 3,107,407 | ||||
Pennsylvania Real Estate Investment Trust | 159,265 | b | 160,858 | ||||
RE/MAX Holdings, Cl. A | 39,679 | 1,043,161 | |||||
Realogy Holdings | 265,315 | 1,151,467 | |||||
Retail Opportunity Investments | 268,399 | b | 2,604,812 | ||||
RPT Realty | 186,629 | b | 1,272,810 | ||||
Safehold | 31,336 | b | 1,809,967 | ||||
Saul Centers | 26,882 | b | 876,891 | ||||
Summit Hotel Properties | 243,750 | b | 1,477,125 | ||||
Tanger Factory Outlet Centers | 220,395 | b | 1,657,370 | ||||
The St. Joe Company | 74,972 | a | 1,371,988 | ||||
Uniti Group | 455,816 | b | 3,218,061 | ||||
Universal Health Realty Income Trust | 29,767 | b | 3,183,878 | ||||
Urstadt Biddle Properties, Cl. A | 70,570 | b | 1,031,028 | ||||
Washington Prime Group | 420,748 | b | 361,759 | ||||
Washington Real Estate Investment Trust | 189,073 | b | 4,409,182 | ||||
Whitestone REIT | 92,668 | b | 628,289 | ||||
Xenia Hotels & Resorts | 257,581 | b | 2,498,536 | ||||
105,777,560 | |||||||
Retailing - 4.4% | |||||||
Abercrombie & Fitch, Cl. A | 144,519 | 1,529,011 | |||||
America's Car-Mart | 13,954 | a | 920,266 | ||||
Asbury Automotive Group | 45,222 | a | 3,052,485 | ||||
Barnes & Noble Education | 78,981 | a | 141,376 | ||||
Big Lots | 90,712 | 2,127,196 | |||||
Boot Barn Holdings | 67,106 | a | 1,238,777 | ||||
Caleres | 99,174 | 804,301 | |||||
Chico's FAS | 283,074 | 424,611 | |||||
Conn's | 45,926 | a | 310,460 | ||||
Core-Mark Holding | 106,184 | 3,051,728 | |||||
Designer Brands, Cl. A | 130,895 | 831,183 | |||||
Express | 165,774 | a | 343,152 | ||||
GameStop, Cl. A | 146,067 | a | 836,964 | ||||
Genesco | 34,457 | a | 652,271 | ||||
Group 1 Automotive | 40,893 | 2,314,135 | |||||
Guess? | 101,532 | 949,324 | |||||
Haverty Furniture | 42,652 | 577,082 | |||||
Hibbett Sports | 42,283 | a | 652,427 |
18
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Retailing - 4.4% (continued) | |||||||
J.C. Penney | 766,261 | a | 194,630 | ||||
Liquidity Services | 68,606 | a | 343,030 | ||||
Lithia Motors, Cl. A | 52,344 | 5,787,153 | |||||
Lumber Liquidators Holdings | 71,842 | a | 506,486 | ||||
Macy's | 725,027 | 4,248,658 | |||||
MarineMax | 52,449 | a | 755,790 | ||||
Monro | 77,039 | 4,274,894 | |||||
Office Depot | 1,289,772 | 2,863,294 | |||||
PetMed Express | 46,631 | 1,845,189 | |||||
Rent-A-Center | 112,788 | 2,245,045 | |||||
Shoe Carnival | 20,977 | 495,477 | |||||
Shutterstock | 45,440 | 1,726,720 | |||||
Signet Jewelers | 121,831 | 1,225,620 | |||||
Sleep Number | 65,380 | a | 1,954,862 | ||||
Sonic Automotive, Cl. A | 57,367 | 1,229,375 | |||||
Stamps.com | 37,503 | a | 5,935,600 | ||||
Tailored Brands | 121,539 | a | 201,755 | ||||
The Buckle | 65,375 | 1,000,891 | |||||
The Cato, Cl. A | 46,110 | 519,199 | |||||
The Children's Place | 32,205 | 951,980 | |||||
The Michaels Companies | 181,942 | a | 553,104 | ||||
Zumiez | 48,819 | a | 1,032,034 | ||||
60,647,535 | |||||||
Semiconductors & Semiconductor Equipment - 4.0% | |||||||
Advanced Energy Industries | 88,889 | a | 4,942,228 | ||||
Axcelis Technologies | 76,263 | a | 1,781,504 | ||||
Brooks Automation | 167,189 | 6,435,105 | |||||
CEVA | 51,380 | a | 1,610,763 | ||||
Cohu | 95,321 | 1,575,656 | |||||
Diodes | 95,473 | a | 4,858,621 | ||||
DSP Group | 54,777 | a | 944,903 | ||||
FormFactor | 175,184 | a | 4,081,787 | ||||
Ichor Holdings | 53,783 | a | 1,339,197 | ||||
Kulicke & Soffa Industries | 149,098 | 3,573,879 | |||||
MaxLinear | 148,979 | a | 2,456,664 | ||||
Onto Innovation | 115,286 | a | 3,742,184 | ||||
PDF Solutions | 62,237 | a | 993,925 | ||||
Photronics | 155,285 | a | 1,855,656 | ||||
Power Integrations | 68,066 | 6,966,555 | |||||
Rambus | 257,224 | a | 3,223,017 | ||||
SMART Global Holdings | 31,709 | a | 801,921 | ||||
Ultra Clean Holdings | 94,536 | a | 1,738,517 | ||||
Veeco Instruments | 110,562 | a | 1,208,443 |
19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Semiconductors & Semiconductor Equipment - 4.0% (continued) | |||||||
Xperi | 117,412 | 1,794,055 | |||||
55,924,580 | |||||||
Software & Services - 5.2% | |||||||
8x8 | 231,332 | a | 3,923,391 | ||||
Agilysys | 48,457 | a | 949,273 | ||||
Alarm.com Holdings | 83,980 | a | 3,756,425 | ||||
Bottomline Technologies | 89,597 | a | 3,729,923 | ||||
Cardtronics, Cl. A | 83,147 | a | 1,904,066 | ||||
CSG Systems International | 77,422 | 3,761,161 | |||||
Ebix | 49,545 | 1,036,977 | |||||
Evertec | 138,153 | 3,500,797 | |||||
ExlService Holdings | 78,736 | a | 4,860,373 | ||||
LivePerson | 144,810 | a | 3,466,751 | ||||
ManTech International, Cl. A | 62,413 | 4,653,513 | |||||
MicroStrategy, Cl. A | 18,915 | a | 2,389,532 | ||||
NIC | 154,426 | 3,741,742 | |||||
OneSpan | 75,314 | a | 1,265,275 | ||||
Perficient | 76,019 | a | 2,647,742 | ||||
Progress Software | 103,302 | 4,226,085 | |||||
Qualys | 77,187 | a | 8,138,597 | ||||
SPS Commerce | 80,628 | a | 4,475,660 | ||||
Sykes Enterprises | 90,851 | a | 2,601,064 | ||||
TiVo | 299,385 | a | 2,104,677 | ||||
TTEC Holdings | 41,951 | 1,635,250 | |||||
Unisys | 117,057 | a | 1,473,748 | ||||
Virtusa | 68,216 | a | 2,251,128 | ||||
72,493,150 | |||||||
Technology Hardware & Equipment - 6.2% | |||||||
3D Systems | 270,996 | a | 2,300,756 | ||||
ADTRAN | 113,931 | 1,171,211 | |||||
Anixter International | 69,634 | a | 6,466,213 | ||||
Applied Optoelectronics | 46,537 | a | 498,877 | ||||
Arlo Technologies | 186,773 | a | 511,758 | ||||
Badger Meter | 67,146 | 3,963,628 | |||||
Bel Fuse, Cl. B | 24,869 | 185,523 | |||||
Benchmark Electronics | 87,323 | 1,804,093 | |||||
CalAmp | 82,174 | a | 552,209 | ||||
Comtech Telecommunications | 57,847 | 1,070,748 | |||||
CTS | 74,435 | 1,723,915 | |||||
Daktronics | 81,350 | 367,702 | |||||
Diebold Nixdorf | 170,058 | a | 838,386 | ||||
Digi International | 64,471 | a | 731,746 |
20
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Technology Hardware & Equipment - 6.2% (continued) | |||||||
ePlus | 31,337 | a | 2,217,093 | ||||
Extreme Networks | 293,467 | a | 997,788 | ||||
Fabrinet | 85,536 | a | 5,367,384 | ||||
FARO Technologies | 39,683 | a | 2,178,200 | ||||
Harmonic | 217,260 | a | 1,260,108 | ||||
Insight Enterprises | 82,573 | a | 4,482,888 | ||||
Itron | 81,420 | a | 5,684,744 | ||||
KEMET | 133,814 | a | 3,614,316 | ||||
Knowles | 202,537 | a | 3,149,450 | ||||
Methode Electronics | 86,876 | 2,608,018 | |||||
MTS Systems | 40,076 | 852,417 | |||||
NETGEAR | 68,581 | a | 1,644,572 | ||||
OSI Systems | 39,346 | a | 2,847,863 | ||||
PC Connection | 24,702 | a | 1,135,057 | ||||
Plantronics | 78,522 | 1,108,731 | |||||
Plexus | 67,290 | a | 4,218,410 | ||||
Rogers | 42,883 | a | 4,761,728 | ||||
Sanmina | 161,551 | a | 4,479,809 | ||||
ScanSource | 58,411 | a | 1,514,013 | ||||
TTM Technologies | 231,283 | a | 2,680,570 | ||||
Viavi Solutions | 531,571 | a | 6,421,378 | ||||
85,411,302 | |||||||
Telecommunication Services - 2.0% | |||||||
ATN International | 24,639 | 1,530,575 | |||||
Cincinnati Bell | 115,975 | a | 1,699,034 | ||||
Cogent Communications Holdings | 96,518 | 8,091,104 | |||||
Consolidated Communications Holdings | 169,779 | a | 1,064,514 | ||||
Iridium Communications | 224,209 | a | 5,045,824 | ||||
Shenandoah Telecommunication | 108,361 | 5,798,397 | |||||
Spok Holdings | 36,977 | 379,384 | |||||
Vonage Holdings | 528,099 | a | 4,414,908 | ||||
28,023,740 | |||||||
Transportation - 2.3% | |||||||
Allegiant Travel | 30,287 | 2,376,924 | |||||
ArcBest | 59,229 | 1,206,495 | |||||
Atlas Air Worldwide Holdings | 61,456 | a | 2,018,830 | ||||
Echo Global Logistics | 63,959 | a | 1,121,201 | ||||
Forward Air | 66,240 | 3,417,984 | |||||
Hawaiian Holdings | 110,491 | 1,591,070 | |||||
Heartland Express | 108,117 | 2,118,012 | |||||
Hub Group, Cl. A | 78,405 | a | 3,772,065 | ||||
Marten Transport | 91,073 | 2,041,857 | |||||
Matson | 98,904 | 2,990,857 |
21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.3% (continued) | |||||||
Transportation - 2.3% (continued) | |||||||
Saia | 59,923 | a | 5,544,076 | ||||
SkyWest | 118,598 | 3,670,608 | |||||
31,869,979 | |||||||
Utilities - 2.6% | |||||||
American States Water | 85,243 | 6,765,737 | |||||
Avista | 154,332 | 6,642,449 | |||||
California Water Service Group | 111,269 | 4,998,203 | |||||
El Paso Electric | 94,221 | 6,407,028 | |||||
Northwest Natural Holding | 70,598 | 4,595,930 | |||||
South Jersey Industries | 213,802 | 6,112,599 | |||||
35,521,946 | |||||||
Total Common Stocks (cost $1,237,559,532) | 1,376,001,662 | ||||||
Exchange-Traded Funds - .2% | |||||||
Registered Investment Companies - .2% | |||||||
iShares Core S&P Small-Cap ETF | 44,478 | 2,817,681 | |||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills - .0% | |||||||
0.08%, 2/25/21 | 866,000 | c,d | 864,936 | ||||
1-Day | |||||||
Investment Companies - .4% | |||||||
Registered Investment Companies - .4% | |||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 0.33 | 5,171,037 | e | 5,171,037 | |||
Total Investments (cost $1,245,780,723) | 99.9% | 1,384,855,316 | |||||
Cash and Receivables (Net) | .1% | 1,184,851 | |||||
Net Assets | 100.0% | 1,386,040,167 |
ETF—Exchange-Traded Fund
REIT—Real Estate Investment Trust
aNon-income producing security.
bInvestment in real estate investment trust within the United States.
cHeld by a counterparty for open exchange traded derivative contracts.
dSecurity is a discount security. Income is recognized through the accretion of discount.
eInvestment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
22
Portfolio Summary (Unaudited) † | Value (%) |
Industrials | 17.3 |
Financials | 16.2 |
Information Technology | 15.4 |
Consumer Discretionary | 13.4 |
Health Care | 13.0 |
Real Estate | 7.6 |
Materials | 4.7 |
Consumer Staples | 3.7 |
Communication Services | 2.7 |
Energy | 2.6 |
Utilities | 2.6 |
Investment Companies | .6 |
Government | .1 |
99.9 |
† Based on net assets.
See notes to financial statements.
23
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Investment Companies | Value | Purchases($) | Sales($) | Value | Net | Dividend/ |
Registered Investment Companies; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 3,167,182 | 194,161,423 | (192,157,568) | 5,171,037 | .4 | 24,650 |
Investment of Cash Collateral for Securities Loaned; | ||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 42,315,486 | 68,278,163 | (110,593,649) | - | - | - |
Total | 45,482,668 | 262,439,586 | (302,751,217) | 5,171,037 | .4 | 24,650 |
See notes to financial statements.
24
STATEMENT OF FUTURES
April 30, 2020 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 112 | 6/19/2020 | 6,163,216 | 7,317,520 | 1,154,304 | |
Gross Unrealized Appreciation | 1,154,304 |
See notes to financial statements.
25
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments |
|
|
| |||
Unaffiliated issuers | 1,240,609,686 |
| 1,379,684,279 |
| ||
Affiliated issuers |
| 5,171,037 |
| 5,171,037 |
| |
Cash |
|
|
|
| 328,900 |
|
Receivable for investment securities sold |
| 4,234,824 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,772,196 |
| |||
Dividends receivable |
| 638,078 |
| |||
|
|
|
|
| 1,391,829,314 |
|
Liabilities ($): |
|
|
|
| ||
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(b) |
| 462,426 |
| |||
Payable for investment securities purchased |
| 3,426,061 |
| |||
Payable for shares of Common Stock redeemed |
| 1,551,461 |
| |||
Payable for futures variation margin—Note 4 |
| 299,585 |
| |||
Directors’ fees and expenses payable |
| 44,114 |
| |||
Interest payable—Note 2 |
| 1,129 |
| |||
Other accrued expenses |
|
|
|
| 4,371 |
|
|
|
|
|
| 5,789,147 |
|
Net Assets ($) |
|
| 1,386,040,167 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,211,369,481 |
|
Total distributable earnings (loss) |
|
|
|
| 174,670,686 |
|
Net Assets ($) |
|
| 1,386,040,167 |
|
Net Asset Value Per Share | Investor Shares | Class I |
|
Net Assets ($) | 1,147,242,858 | 238,797,309 |
|
Shares Outstanding | 52,968,290 | 11,043,884 |
|
Net Asset Value Per Share ($) | 21.66 | 21.62 |
|
|
|
|
|
See notes to financial statements. |
|
|
|
26
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Cash dividends (net of $7,114 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 15,125,694 |
| ||
Affiliated issuers |
|
| 24,650 |
| ||
Income from securities lending—Note 1(c) |
|
| 538,698 |
| ||
Interest |
|
| 21,275 |
| ||
Total Income |
|
| 15,710,317 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 2,135,477 |
| ||
Shareholder servicing costs—Note 3(b) |
|
| 1,833,288 |
| ||
Directors’ fees—Note 3(a,c) |
|
| 101,900 |
| ||
Loan commitment fees—Note 2 |
|
| 17,199 |
| ||
Interest expense—Note 2 |
|
| 12,689 |
| ||
Registration fees |
|
| 4,371 |
| ||
Total Expenses |
|
| 4,104,924 |
| ||
Less—Directors’ fees reimbursed by |
|
| (101,900) |
| ||
Net Expenses |
|
| 4,003,024 |
| ||
Investment Income—Net |
|
| 11,707,293 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments | 50,632,194 |
| ||||
Net realized gain (loss) on futures | (1,985,068) |
| ||||
Net Realized Gain (Loss) |
|
| 48,647,126 |
| ||
Net change in unrealized appreciation (depreciation) on investments | (399,750,770) |
| ||||
Net change in unrealized appreciation (depreciation) on futures | 1,119,662 |
| ||||
Net Change in Unrealized Appreciation (Depreciation) |
|
| (398,631,108) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (349,983,982) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (338,276,689) |
| |||
|
|
|
|
|
|
|
See notes to financial statements. |
27
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 11,707,293 |
|
|
| 22,397,217 |
| |
Net realized gain (loss) on investments |
| 48,647,126 |
|
|
| 129,921,508 |
| ||
Net change in unrealized appreciation |
| (398,631,108) |
|
|
| (104,979,394) |
| ||
Net Increase (Decrease) in Net Assets | (338,276,689) |
|
|
| 47,339,331 |
| |||
Distributions ($): |
| ||||||||
Distributions to shareholders: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (132,474,664) |
|
|
| (207,838,354) |
| |
Class I |
|
| (21,966,599) |
|
|
| (29,388,024) |
| |
Total Distributions |
|
| (154,441,263) |
|
|
| (237,226,378) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 113,025,857 |
|
|
| 285,166,351 |
| |
Class I |
|
| 109,826,973 |
|
|
| 110,939,600 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| 131,758,468 |
|
|
| 206,717,158 |
| |
Class I |
|
| 14,939,131 |
|
|
| 21,077,321 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Investor Shares |
|
| (389,649,749) |
|
|
| (637,306,925) |
| |
Class I |
|
| (76,428,050) |
|
|
| (141,540,514) |
| |
Increase (Decrease) in Net Assets | (96,527,370) |
|
|
| (154,947,009) |
| |||
Total Increase (Decrease) in Net Assets | (589,245,322) |
|
|
| (344,834,056) |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,975,285,489 |
|
|
| 2,320,119,545 |
| |
End of Period |
|
| 1,386,040,167 |
|
|
| 1,975,285,489 |
| |
Capital Share Transactions (Shares): |
| ||||||||
Investor Sharesa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 4,710,756 |
|
|
| 9,926,716 |
| |
Shares issued for distributions reinvested |
|
| 4,616,292 |
|
|
| 8,289,409 |
| |
Shares redeemed |
|
| (15,182,366) |
|
|
| (22,402,182) |
| |
Net Increase (Decrease) in Shares Outstanding | (5,855,318) |
|
|
| (4,186,057) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 4,906,110 |
|
|
| 3,967,855 |
| |
Shares issued for distributions reinvested |
|
| 524,825 |
|
|
| 847,255 |
| |
Shares redeemed |
|
| (3,236,400) |
|
|
| (5,041,475) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,194,535 |
|
|
| (226,365) |
| |||
|
|
|
|
|
|
|
|
|
|
a During the period ended April 30, 2020, 7,694 Investor shares representing $236,731 were exchanged for 7,691 Class I shares. During the period ended October 31, 2019, 176,429 Investor shares representing $5,141,155 were exchanged for 176,490 Class I shares. | |||||||||
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2020 | Year Ended October 31, | |||||
Investor Shares | (Unaudited) | 2019 | 2018 | 2017 | 2016a | 2015 |
Per Share Data ($): | ||||||
Net asset value, | 29.19 | 32.18 | 32.89 | 27.55 | 28.94 | 30.45 |
Investment Operations: | ||||||
Investment income—netb | .17 | .30 | .28 | .27 | .29 | .28 |
Net realized and unrealized | (5.30) | .05 | 1.34 | 7.02 | 1.20 | .52 |
Total from Investment Operations | (5.13) | .35 | 1.62 | 7.29 | 1.49 | .80 |
Distributions: | ||||||
Dividends from | (.33) | (.29) | (.28) | (.28) | (.28) | (.24) |
Dividends from net realized | (2.07) | (3.05) | (2.05) | (1.67) | (2.60) | (2.07) |
Total Distributions | (2.40) | (3.34) | (2.33) | (1.95) | (2.88) | (2.31) |
Net asset value, end of period | 21.66 | 29.19 | 32.18 | 32.89 | 27.55 | 28.94 |
Total Return (%) | (19.56)c | 2.83 | 5.07 | 27.11 | 5.73 | 2.54 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .52d | .51 | .51 | .51 | .51 | .51 |
Ratio of net expenses | .51d | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment income | 1.34d | 1.03 | .85 | .89 | 1.06 | .94 |
Portfolio Turnover Rate | 20.37c | 23.24 | 19.60 | 20.63 | 23.86 | 16.53 |
Net Assets, | 1,147,243 | 1,717,003 | 2,027,831 | 2,214,225 | 1,992,196 | 1,755,575 |
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, 2020 | Year Ended October 31, | ||||
Class I Shares | (Unaudited) | 2019 | 2018 | 2017 | 2016a |
Per Share Data ($): | |||||
Net asset value, beginning of period | 29.91 | 32.21 | 32.91 | 27.57 | 28.69 |
Investment Operations: | |||||
Investment income—netb | .20 | .37 | .35 | .35 | .01 |
Net realized and unrealized | (5.29) | .03 | 1.37 | 7.01 | (1.13) |
Total from Investment Operations | (5.09) | .40 | 1.72 | 7.36 | (1.12) |
Dividends from | (.41) | (.37) | (.37) | (.35) | - |
Dividends from net realized | (2.07) | (3.05) | (2.05) | (1.67) | - |
Total Distributions | (2.48) | (3.42) | (2.42) | (2.02) | - |
Net asset value, end of period | 21.62 | 29.19 | 32.21 | 32.91 | 27.57 |
Total Return (%) | (19.49)c | 3.08 | 5.37 | 27.38 | (3.91)c |
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .27d | .26 | .26 | .26 | .27d |
Ratio of net expenses | .26d | .25 | .25 | .25 | .26d |
Ratio of net investment income | 1.57d | 1.28 | 1.05 | 1.10 | .55d |
Portfolio Turnover Rate | 20.37c | 23.24 | 19.60 | 20.63 | 23.86 |
Net Assets, end of period ($ x 1,000) | 238,797 | 258,282 | 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.
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.
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 is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
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 equity 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
32
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.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the inputs used as of April 30, 2020 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: † | ||||
Equity Securities— | 1,376,001,662 | - | - | 1,376,001,662 |
Exchange-Traded Funds | 2,817,681 | - | - | 2,817,681 |
Investment Companies | 5,171,037 | - | - | 5,171,037 |
U.S. Treasury Securities | - | 864,936 | - | 864,936 |
Other Financial | ||||
Futures†† | 1,154,304 | - | - | 1,154,304 |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end, but only variation margin on exchanged traded and centrally cleared derivatives, if any, are reported in the Statement of Assets and Liabilities.
(b) Foreign Taxes: The fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with the fund understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the fund invest. These foreign taxes, if any, are paid by the fund and are reflected in the Statements of Operations. Foreign taxes payable or deferred as of April 30, 2020, if any, are disclosed in the fund’s Statements of Assets and Liabilities.
(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 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
34
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, 2020, The Bank of New York Mellon earned $113,036 from the lending of the fund’s 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: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.
(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
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2020, 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, 2020, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2019 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, 2019 was as follows: ordinary income $32,256,611 and long-term capital gains $204,969,767. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other long-term open-end funds managed by the Adviser in a $927 million 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 $747 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $180 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. Prior to March 11, 2020, the Citibank Credit Facility was $1.030 billion with Tranche A available in an amount equal to $830 million and Tranche B available in an amount equal to $200 million. 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
36
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, 2020 was approximately $1,015,390 with a related weighted average annualized interest rate of 2.51%.
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, 2020, fees reimbursed by the Adviser amounted to $101,900.
(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, 2020, the fund was charged $1,833,288 pursuant to the Shareholder Services Plan.
The fund has an arrangement with the custodian whereby the fund will receive interest income or be charged an overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes this interest income and overdraft fees, if any, as interest income in the Statements of Operations.
The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $261,837 and Shareholder Services Plan fees of $217,689, which are
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
offset against an expense reimbursement currently in effect in the amount of $17,100.
(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, 2020, amounted to $346,741,370 and $590,418,246, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund during the period ended April 30, 2020 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2020 are set forth in the Statement of Futures.
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2020:
|
| Average Market Value ($) |
Equity futures |
| 6,802,371 |
|
|
|
At April 30, 2020, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $140,228,897, consisting of $446,782,308 gross unrealized appreciation and $306,553,411 gross unrealized depreciation.
38
At April 30, 2020, 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).
39
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 10-11, 2020, 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 several 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, including the fund. 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 retail no-load pure small-cap core index funds (the “Performance Group”) and with a broader group of retail and institutional small-cap core funds (the “Performance Universe”), all for various periods ended December 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of the same group of funds in the Performance Group (the “Expense Group”) and with a broader group of retail no-load small-cap core funds, excluding outliers (the “Expense Universe”), the
40
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 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 the results of the comparisons and considered that the fund’s total return performance was slightly above the Performance Group median for the two- and ten-year periods, within one basis point of the median in the one-year period and below the Performance Group median in the three-, four- and five-year periods, and above the Performance Universe median for all periods, except the one-year period when it was below the median. It was noted that there were only three other 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.
The Board reviewed and considered the contractual management fee rate paid by the fund to the Adviser over the fund’s last fiscal year in light of the nature, extent and quality of the management services provided by the Adviser. The Board also reviewed the range of actual and contractual management fees and total expenses as a percentage of average net assets of the Expense Group and Expense Universe funds and discussed the results of the comparisons. Taking into account the fund’s “unitary” fee structure, the Board considered that the fund’s contractual management fee was slightly higher than the Expense Group median contractual management fee, the fund’s actual management fee was slightly higher than the Expense Group median and higher than the Expense Universe median actual management fee and the fund’s total expenses were slightly higher than the Expense Group median and higher than the Expense Universe median total expenses.
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.
41
INFORMATION ABOUT THE INFORMATIONAL ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
The Board concluded that the profitability results were not excessive, given the services rendered and service levels provided by the Adviser and its affiliates. 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 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
42
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 applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for the 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.
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-mail Send your request to info@bnymellon.com
Internet Information can be viewed online or downloaded at www.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 at www.sec.gov.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.bnymellonim.com/us and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.
© 2020 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)(3) Not applicable.
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, 2020
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, 2020
By: /s/ James Windels
James Windels
Treasurer (Principal Financial Officer)
Date: June 25, 2020
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)