UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number | 811-06698 |
DWS Equity 500 Index Portfolio
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 12/31 |
Date of reporting period: | 6/30/2010 |
ITEM 1. | REPORT TO STOCKHOLDERS |
| |
Investment Portfolio as of June 30, 2010 (Unaudited)
|
Shares
| Value ($) |
| |
Common Stocks 98.9% |
Consumer Discretionary 10.0% |
Auto Components 0.2% |
Goodyear Tire & Rubber Co.* | 55,496 | 551,630 |
Johnson Controls, Inc. | 159,701 | 4,291,166 |
| 4,842,796 |
Automobiles 0.4% |
Ford Motor Co.* (a) | 801,730 | 8,081,438 |
Harley-Davidson, Inc. (a) | 54,582 | 1,213,358 |
| 9,294,796 |
Distributors 0.1% |
Genuine Parts Co. (a) | 38,672 | 1,525,610 |
Diversified Consumer Services 0.2% |
Apollo Group, Inc. "A"* (a) | 30,383 | 1,290,366 |
DeVry, Inc. (a) | 14,600 | 766,354 |
H&R Block, Inc. (a) | 81,782 | 1,283,160 |
| 3,339,880 |
Hotels Restaurants & Leisure 1.6% |
Carnival Corp. (Units) | 104,179 | 3,150,373 |
Darden Restaurants, Inc. | 33,280 | 1,292,928 |
International Game Technology (a) | 71,464 | 1,121,985 |
Marriott International, Inc. "A" (a) | 59,733 | 1,788,406 |
McDonald's Corp. (a) | 253,606 | 16,705,027 |
Starbucks Corp. (a) | 175,701 | 4,269,534 |
Starwood Hotels & Resorts Worldwide, Inc. (a) | 45,393 | 1,880,632 |
Wyndham Worldwide Corp. (a) | 40,914 | 824,008 |
Wynn Resorts Ltd. (a) | 16,000 | 1,220,320 |
Yum! Brands, Inc. | 111,131 | 4,338,554 |
| 36,591,767 |
Household Durables 0.4% |
D.R. Horton, Inc. (a) | 65,300 | 641,899 |
Fortune Brands, Inc. | 35,754 | 1,400,842 |
Harman International Industries, Inc.* | 17,600 | 526,064 |
Leggett & Platt, Inc. (a) | 34,070 | 683,444 |
Lennar Corp. "A" (a) | 39,900 | 555,009 |
Newell Rubbermaid, Inc. (a) | 68,350 | 1,000,644 |
Pulte Group, Inc.* (a) | 73,197 | 606,071 |
Stanley Black & Decker, Inc. | 36,696 | 1,853,882 |
Whirlpool Corp. (a) | 18,133 | 1,592,440 |
| 8,860,295 |
Internet & Catalog Retail 0.5% |
Amazon.com, Inc.* (a) | 81,367 | 8,890,158 |
Expedia, Inc. (a) | 49,270 | 925,291 |
Priceline.com, Inc.* | 11,024 | 1,946,177 |
| 11,761,626 |
Leisure Equipment & Products 0.2% |
Eastman Kodak Co.* (a) | 71,031 | 308,275 |
Hasbro, Inc. (a) | 31,485 | 1,294,033 |
Mattel, Inc. (a) | 86,214 | 1,824,288 |
| 3,426,596 |
Media 3.1% |
CBS Corp. "B" (a) | 158,054 | 2,043,638 |
Comcast Corp. "A" (a) | 663,263 | 11,520,878 |
DIRECTV "A"* (a) | 213,310 | 7,235,475 |
Discovery Communications, Inc. "A"* (a) | 67,846 | 2,422,781 |
Gannett Co., Inc. (a) | 57,969 | 780,263 |
Interpublic Group of Companies, Inc.* (a) | 117,695 | 839,165 |
McGraw-Hill Companies, Inc. (a) | 75,293 | 2,118,745 |
Meredith Corp. (a) | 10,038 | 312,483 |
New York Times Co. "A"* (a) | 24,542 | 212,288 |
News Corp. "A" (a) | 532,608 | 6,369,992 |
Omnicom Group, Inc. | 70,783 | 2,427,857 |
Scripps Networks Interactive "A" | 20,600 | 831,004 |
Time Warner Cable, Inc. (a) | 84,375 | 4,394,250 |
Time Warner, Inc. (a) | 267,451 | 7,732,008 |
Viacom, Inc. "B" (a) | 142,853 | 4,481,299 |
Walt Disney Co. (a) | 461,145 | 14,526,068 |
Washington Post Co. "B" (a) | 1,500 | 615,720 |
| 68,863,914 |
Multiline Retail 0.8% |
Big Lots, Inc.* | 18,796 | 603,164 |
Family Dollar Stores, Inc. (a) | 32,072 | 1,208,794 |
J.C. Penney Co., Inc. (a) | 57,475 | 1,234,563 |
Kohl's Corp.* | 73,365 | 3,484,837 |
Macy's, Inc. | 101,650 | 1,819,535 |
Nordstrom, Inc. (a) | 38,532 | 1,240,345 |
Sears Holdings Corp.* (a) | 11,718 | 757,569 |
Target Corp. (a) | 173,029 | 8,507,836 |
| 18,856,643 |
Specialty Retail 2.0% |
Abercrombie & Fitch Co. "A" (a) | 22,200 | 681,318 |
AutoNation, Inc.* (a) | 22,500 | 438,750 |
AutoZone, Inc.* (a) | 6,790 | 1,311,964 |
Bed Bath & Beyond, Inc.* (a) | 62,112 | 2,303,113 |
Best Buy Co., Inc. (a) | 82,731 | 2,801,272 |
CarMax, Inc.* | 52,663 | 1,047,994 |
GameStop Corp. "A"* (a) | 34,100 | 640,739 |
Home Depot, Inc. (a) | 396,618 | 11,133,067 |
Limited Brands, Inc. | 64,740 | 1,428,812 |
Lowe's Companies, Inc. | 336,256 | 6,866,347 |
O'Reilly Automotive, Inc.* (a) | 32,500 | 1,545,700 |
Office Depot, Inc.* | 69,059 | 278,998 |
RadioShack Corp. (a) | 27,995 | 546,182 |
Ross Stores, Inc. (a) | 27,601 | 1,470,857 |
Staples, Inc. | 172,074 | 3,278,010 |
The Gap, Inc. (a) | 104,258 | 2,028,861 |
Tiffany & Co. (a) | 29,316 | 1,111,370 |
TJX Companies, Inc. (a) | 95,499 | 4,006,183 |
Urban Outfitters, Inc.* (a) | 31,961 | 1,099,139 |
| 44,018,676 |
Textiles, Apparel & Luxury Goods 0.5% |
Coach, Inc. (a) | 70,553 | 2,578,712 |
NIKE, Inc. "B" (a) | 90,907 | 6,140,768 |
Polo Ralph Lauren Corp. (a) | 13,400 | 977,664 |
VF Corp. | 20,840 | 1,483,391 |
| 11,180,535 |
Consumer Staples 11.4% |
Beverages 2.6% |
Brown-Forman Corp. "B" (a) | 25,522 | 1,460,624 |
Coca-Cola Co. (a) | 548,026 | 27,467,063 |
Coca-Cola Enterprises, Inc. | 75,424 | 1,950,465 |
Constellation Brands, Inc. "A"* (a) | 40,800 | 637,296 |
Dr. Pepper Snapple Group, Inc. (a) | 55,997 | 2,093,728 |
Molson Coors Brewing Co. "B" (a) | 35,604 | 1,508,185 |
PepsiCo, Inc. | 382,370 | 23,305,452 |
| 58,422,813 |
Food & Staples Retailing 2.5% |
Costco Wholesale Corp. (a) | 103,599 | 5,680,333 |
CVS Caremark Corp. | 321,591 | 9,429,048 |
Kroger Co. (a) | 154,927 | 3,050,513 |
Safeway, Inc. (a) | 90,559 | 1,780,390 |
SUPERVALU, Inc. (a) | 47,691 | 516,970 |
Sysco Corp. (a) | 139,382 | 3,982,144 |
Wal-Mart Stores, Inc. (a) | 492,451 | 23,672,120 |
Walgreen Co. (a) | 229,008 | 6,114,514 |
Whole Foods Market, Inc.* (a) | 40,774 | 1,468,679 |
| 55,694,711 |
Food Products 1.9% |
Archer-Daniels-Midland Co. (a) | 151,744 | 3,918,030 |
Campbell Soup Co. (a) | 45,570 | 1,632,773 |
ConAgra Foods, Inc. (a) | 106,773 | 2,489,946 |
Dean Foods Co.* | 40,200 | 404,814 |
General Mills, Inc. (a) | 157,860 | 5,607,187 |
H.J. Heinz Co. (a) | 73,040 | 3,156,789 |
Hormel Foods Corp. (a) | 15,500 | 627,440 |
Kellogg Co. (a) | 61,234 | 3,080,070 |
Kraft Foods, Inc. "A" (a) | 409,610 | 11,469,080 |
McCormick & Co., Inc. (a) | 30,900 | 1,172,964 |
Mead Johnson Nutrition Co. | 49,394 | 2,475,627 |
Sara Lee Corp. (a) | 151,628 | 2,137,955 |
The Hershey Co. (a) | 39,460 | 1,891,318 |
The J.M. Smucker Co. | 28,057 | 1,689,593 |
Tyson Foods, Inc. "A" (a) | 69,700 | 1,142,383 |
| 42,895,969 |
Household Products 2.6% |
Clorox Co. (a) | 33,932 | 2,109,213 |
Colgate-Palmolive Co. | 115,502 | 9,096,937 |
Kimberly-Clark Corp. | 96,703 | 5,863,103 |
Procter & Gamble Co. (a) | 681,214 | 40,859,216 |
| 57,928,469 |
Personal Products 0.2% |
Avon Products, Inc. (a) | 101,097 | 2,679,070 |
Estee Lauder Companies, Inc. "A" (a) | 27,300 | 1,521,429 |
| 4,200,499 |
Tobacco 1.6% |
Altria Group, Inc. | 488,745 | 9,794,450 |
Lorillard, Inc. | 36,454 | 2,623,959 |
Philip Morris International, Inc. | 437,272 | 20,044,548 |
Reynolds American, Inc. (a) | 40,790 | 2,125,975 |
| 34,588,932 |
Energy 10.6% |
Energy Equipment & Services 1.7% |
Baker Hughes, Inc. (a) | 102,017 | 4,240,847 |
Cameron International Corp.* (a) | 58,682 | 1,908,339 |
Diamond Offshore Drilling, Inc. (a) | 16,330 | 1,015,563 |
FMC Technologies, Inc.* | 29,106 | 1,532,722 |
Halliburton Co. | 214,168 | 5,257,824 |
Helmerich & Payne, Inc. (a) | 25,252 | 922,203 |
Nabors Industries Ltd.* (a) | 67,638 | 1,191,781 |
National-Oilwell Varco, Inc. | 99,144 | 3,278,692 |
Rowan Companies, Inc.* | 27,539 | 604,206 |
Schlumberger Ltd. (a) | 279,390 | 15,461,442 |
Smith International, Inc. | 59,360 | 2,234,904 |
| 37,648,523 |
Oil, Gas & Consumable Fuels 8.9% |
Anadarko Petroleum Corp. | 117,566 | 4,242,957 |
Apache Corp. (a) | 79,855 | 6,722,992 |
Cabot Oil & Gas Corp. (a) | 23,300 | 729,756 |
Chesapeake Energy Corp. (a) | 155,500 | 3,257,725 |
Chevron Corp. | 473,750 | 32,148,675 |
ConocoPhillips | 349,632 | 17,163,435 |
CONSOL Energy, Inc. | 52,812 | 1,782,933 |
Denbury Resources, Inc.* (a) | 94,618 | 1,385,208 |
Devon Energy Corp. | 103,917 | 6,330,624 |
El Paso Corp. | 170,398 | 1,893,122 |
EOG Resources, Inc. (a) | 60,075 | 5,909,578 |
ExxonMobil Corp. | 1,207,679 | 68,922,241 |
Hess Corp. | 68,265 | 3,436,460 |
Marathon Oil Corp. (a) | 166,410 | 5,173,687 |
Massey Energy Co. (a) | 26,228 | 717,336 |
Murphy Oil Corp. | 45,718 | 2,265,327 |
Noble Energy, Inc. (a) | 41,891 | 2,527,284 |
Occidental Petroleum Corp. (a) | 190,428 | 14,691,520 |
Peabody Energy Corp. (a) | 64,531 | 2,525,098 |
Pioneer Natural Resources Co. (a) | 27,400 | 1,628,930 |
Range Resources Corp. (a) | 38,142 | 1,531,401 |
Southwestern Energy Co.* (a) | 81,736 | 3,158,279 |
Spectra Energy Corp. (a) | 151,873 | 3,048,091 |
Sunoco, Inc. | 29,272 | 1,017,787 |
Tesoro Corp. (a) | 34,500 | 402,615 |
Valero Energy Corp. | 136,801 | 2,459,682 |
Williams Companies, Inc. | 138,123 | 2,524,888 |
| 197,597,631 |
Financials 16.1% |
Capital Markets 2.4% |
Ameriprise Financial, Inc. (a) | 61,170 | 2,210,072 |
Bank of New York Mellon Corp. | 286,695 | 7,078,500 |
Charles Schwab Corp. (a) | 231,233 | 3,278,884 |
E*TRADE Financial Corp.* | 46,626 | 551,119 |
Federated Investors, Inc. "B" (a) | 21,700 | 449,407 |
Franklin Resources, Inc. | 35,076 | 3,023,200 |
Invesco Ltd. (a) | 109,250 | 1,838,677 |
Janus Capital Group, Inc. (a) | 46,279 | 410,957 |
Legg Mason, Inc. (a) | 39,500 | 1,107,185 |
Morgan Stanley | 331,257 | 7,688,475 |
Northern Trust Corp. (a) | 57,441 | 2,682,495 |
State Street Corp. | 117,868 | 3,986,296 |
T. Rowe Price Group, Inc. (a) | 60,676 | 2,693,408 |
The Goldman Sachs Group, Inc. | 120,995 | 15,883,014 |
| 52,881,689 |
Commercial Banks 3.1% |
BB&T Corp. (a) | 162,892 | 4,285,689 |
Comerica, Inc. (a) | 41,623 | 1,532,975 |
Fifth Third Bancorp. | 190,491 | 2,341,134 |
First Horizon National Corp. (a) | 54,806 | 627,526 |
Huntington Bancshares, Inc. (a) | 175,296 | 971,140 |
KeyCorp | 201,683 | 1,550,942 |
M&T Bank Corp. (a) | 19,100 | 1,622,545 |
Marshall & Ilsley Corp. | 127,899 | 918,315 |
PNC Financial Services Group, Inc. (a) | 124,018 | 7,007,017 |
Regions Financial Corp. (a) | 285,219 | 1,876,741 |
SunTrust Banks, Inc. (a) | 117,692 | 2,742,224 |
US Bancorp. (a) | 452,855 | 10,121,309 |
Wells Fargo & Co. (a) | 1,230,972 | 31,512,883 |
Zions Bancorp. (a) | 40,156 | 866,165 |
| 67,976,605 |
Consumer Finance 0.8% |
American Express Co. (a) | 284,610 | 11,299,017 |
Capital One Financial Corp. (a) | 108,671 | 4,379,441 |
Discover Financial Services | 130,132 | 1,819,246 |
SLM Corp.* (a) | 112,165 | 1,165,394 |
| 18,663,098 |
Diversified Financial Services 4.4% |
Bank of America Corp. | 2,362,055 | 33,942,730 |
Citigroup, Inc.* (a) | 5,320,228 | 20,004,057 |
CME Group, Inc. | 15,173 | 4,271,958 |
IntercontinentalExchange, Inc.* (a) | 17,348 | 1,960,845 |
JPMorgan Chase & Co. | 937,006 | 34,303,790 |
Leucadia National Corp.* (a) | 45,200 | 881,852 |
Moody's Corp. (a) | 46,100 | 918,312 |
NYSE Euronext | 62,900 | 1,737,927 |
The NASDAQ OMX Group, Inc.* (a) | 35,500 | 631,190 |
| 98,652,661 |
Insurance 4.0% |
Aflac, Inc. | 111,527 | 4,758,857 |
Allstate Corp. | 123,589 | 3,550,712 |
American International Group, Inc.* (a) | 31,061 | 1,069,741 |
Aon Corp. (a) | 63,992 | 2,375,383 |
Assurant, Inc. | 23,400 | 811,980 |
Berkshire Hathaway, Inc. "B"* (a) | 390,519 | 31,120,459 |
Chubb Corp. (a) | 77,559 | 3,878,726 |
Cincinnati Financial Corp. (a) | 39,034 | 1,009,810 |
Genworth Financial, Inc. "A"* | 114,800 | 1,500,436 |
Hartford Financial Services Group, Inc. (a) | 105,476 | 2,334,184 |
Lincoln National Corp. | 72,774 | 1,767,681 |
Loews Corp. | 84,123 | 2,802,137 |
Marsh & McLennan Companies, Inc. (a) | 127,753 | 2,880,830 |
MetLife, Inc. | 194,190 | 7,332,614 |
Principal Financial Group, Inc. | 76,919 | 1,802,981 |
Progressive Corp. (a) | 161,614 | 3,025,414 |
Prudential Financial, Inc. (a) | 110,588 | 5,934,152 |
The Travelers Companies, Inc. (a) | 116,868 | 5,755,749 |
Torchmark Corp. (a) | 20,010 | 990,695 |
Unum Group (a) | 79,694 | 1,729,360 |
XL Group PLC (a) | 79,832 | 1,278,110 |
| 87,710,011 |
Real Estate Investment Trusts 1.3% |
Apartment Investment & Management Co. "A" (REIT) (a) | 28,316 | 548,481 |
AvalonBay Communities, Inc. (REIT) (a) | 19,546 | 1,825,010 |
Boston Properties, Inc. (REIT) (a) | 32,500 | 2,318,550 |
Equity Residential (REIT) (a) | 67,460 | 2,809,034 |
HCP, Inc. (REIT) | 69,455 | 2,239,924 |
Health Care REIT, Inc. (REIT) (a) | 29,800 | 1,255,176 |
Host Hotels & Resorts, Inc. (REIT) (a) | 157,587 | 2,124,273 |
Kimco Realty Corp. (REIT) (a) | 94,600 | 1,271,424 |
Plum Creek Timber Co., Inc. (REIT) (a) | 37,648 | 1,299,985 |
ProLogis (REIT) (a) | 113,700 | 1,151,781 |
Public Storage (REIT) (a) | 32,130 | 2,824,548 |
Simon Property Group, Inc. (REIT) (a) | 68,509 | 5,532,102 |
Ventas, Inc. (REIT) (a) | 37,400 | 1,755,930 |
Vornado Realty Trust (REIT) (a) | 37,972 | 2,770,057 |
| 29,726,275 |
Real Estate Management & Development 0.0% |
CB Richard Ellis Group, Inc. "A"* (a) | 66,300 | 902,343 |
Thrifts & Mortgage Finance 0.1% |
Hudson City Bancorp., Inc. (a) | 109,568 | 1,341,112 |
People's United Financial, Inc. | 87,775 | 1,184,963 |
| 2,526,075 |
Health Care 12.0% |
Biotechnology 1.4% |
Amgen, Inc.* | 225,829 | 11,878,605 |
Biogen Idec, Inc.* (a) | 61,521 | 2,919,172 |
Celgene Corp.* | 109,709 | 5,575,411 |
Cephalon, Inc.* (a) | 17,200 | 976,100 |
Genzyme Corp.* (a) | 63,084 | 3,202,775 |
Gilead Sciences, Inc.* (a) | 208,998 | 7,164,452 |
| 31,716,515 |
Health Care Equipment & Supplies 1.8% |
Baxter International, Inc. | 139,170 | 5,655,869 |
Becton, Dickinson & Co. (a) | 54,471 | 3,683,329 |
Boston Scientific Corp.* (a) | 365,343 | 2,118,989 |
C.R. Bard, Inc. (a) | 23,074 | 1,788,927 |
CareFusion Corp.* | 42,734 | 970,062 |
DENTSPLY International, Inc. (a) | 35,600 | 1,064,796 |
Hospira, Inc.* (a) | 38,522 | 2,213,089 |
Intuitive Surgical, Inc.* | 9,397 | 2,965,881 |
Medtronic, Inc. | 261,830 | 9,496,574 |
St. Jude Medical, Inc.* | 76,310 | 2,754,028 |
Stryker Corp. (a) | 66,148 | 3,311,369 |
Varian Medical Systems, Inc.* (a) | 29,200 | 1,526,576 |
Zimmer Holdings, Inc.* | 46,601 | 2,518,784 |
| 40,068,273 |
Health Care Providers & Services 2.1% |
Aetna, Inc. | 102,195 | 2,695,904 |
AmerisourceBergen Corp. | 66,710 | 2,118,042 |
Cardinal Health, Inc. | 87,079 | 2,926,725 |
CIGNA Corp. | 64,275 | 1,996,381 |
Coventry Health Care, Inc.* | 34,358 | 607,449 |
DaVita, Inc.* | 25,000 | 1,561,000 |
Express Scripts, Inc.* | 128,334 | 6,034,265 |
Humana, Inc.* | 41,251 | 1,883,933 |
Laboratory Corp. of America Holdings* (a) | 24,900 | 1,876,215 |
McKesson Corp. | 64,367 | 4,322,888 |
Medco Health Solutions, Inc.* | 107,409 | 5,916,088 |
Patterson Companies, Inc. | 20,600 | 587,718 |
Quest Diagnostics, Inc. (a) | 35,002 | 1,742,050 |
Tenet Healthcare Corp.* (a) | 97,748 | 424,226 |
UnitedHealth Group, Inc. | 267,894 | 7,608,190 |
WellPoint, Inc.* | 100,631 | 4,923,875 |
| 47,224,949 |
Health Care Technology 0.1% |
Cerner Corp.* (a) | 16,155 | 1,226,003 |
Life Sciences Tools & Services 0.5% |
Life Technologies Corp.* (a) | 43,003 | 2,031,892 |
Millipore Corp.* | 13,681 | 1,459,079 |
PerkinElmer, Inc. (a) | 30,063 | 621,402 |
Thermo Fisher Scientific, Inc.* | 97,520 | 4,783,356 |
Waters Corp.* (a) | 22,805 | 1,475,483 |
| 10,371,212 |
Pharmaceuticals 6.1% |
Abbott Laboratories | 365,196 | 17,083,869 |
Allergan, Inc. (a) | 72,524 | 4,225,248 |
Bristol-Myers Squibb Co. (a) | 403,047 | 10,051,992 |
Eli Lilly & Co. (a) | 237,680 | 7,962,280 |
Forest Laboratories, Inc.* | 71,647 | 1,965,277 |
Johnson & Johnson (a) | 653,853 | 38,616,558 |
King Pharmaceuticals, Inc.* (a) | 61,575 | 467,355 |
Merck & Co., Inc. (a) | 735,238 | 25,711,273 |
Mylan, Inc.* (a) | 72,100 | 1,228,584 |
Pfizer, Inc. | 1,903,543 | 27,144,523 |
Watson Pharmaceuticals, Inc.* (a) | 25,907 | 1,051,047 |
| 135,508,006 |
Industrials 10.2% |
Aerospace & Defense 2.8% |
Boeing Co. (a) | 178,014 | 11,170,378 |
General Dynamics Corp. (a) | 91,119 | 5,335,929 |
Goodrich Corp. (a) | 29,638 | 1,963,517 |
Honeywell International, Inc. | 178,109 | 6,951,594 |
ITT Corp. | 42,592 | 1,913,233 |
L-3 Communications Holdings, Inc. | 27,068 | 1,917,497 |
Lockheed Martin Corp. (a) | 73,091 | 5,445,279 |
Northrop Grumman Corp. | 72,227 | 3,932,038 |
Precision Castparts Corp. (a) | 34,128 | 3,512,454 |
Raytheon Co. (a) | 89,853 | 4,347,987 |
Rockwell Collins, Inc. (a) | 38,244 | 2,031,904 |
United Technologies Corp. | 219,058 | 14,219,055 |
| 62,740,865 |
Air Freight & Logistics 1.0% |
C.H. Robinson Worldwide, Inc. (a) | 37,932 | 2,111,295 |
Expeditors International of Washington, Inc. (a) | 51,200 | 1,766,912 |
FedEx Corp. (a) | 74,260 | 5,206,369 |
United Parcel Service, Inc. "B" (a) | 233,009 | 13,255,882 |
| 22,340,458 |
Airlines 0.1% |
Southwest Airlines Co. (a) | 174,114 | 1,934,407 |
Building Products 0.0% |
Masco Corp. (a) | 84,905 | 913,578 |
Commercial Services & Supplies 0.5% |
Avery Dennison Corp. (a) | 27,531 | 884,571 |
Cintas Corp. (a) | 32,666 | 783,004 |
Iron Mountain, Inc. (a) | 42,300 | 950,058 |
Pitney Bowes, Inc. (a) | 48,285 | 1,060,339 |
R.R. Donnelley & Sons Co. (a) | 46,061 | 754,018 |
Republic Services, Inc. (a) | 75,699 | 2,250,531 |
Stericycle, Inc.* (a) | 20,200 | 1,324,716 |
Waste Management, Inc. (a) | 115,307 | 3,607,956 |
| 11,615,193 |
Construction & Engineering 0.2% |
Fluor Corp. (a) | 42,550 | 1,808,375 |
Jacobs Engineering Group, Inc.* (a) | 29,300 | 1,067,692 |
Quanta Services, Inc.* (a) | 51,300 | 1,059,345 |
| 3,935,412 |
Electrical Equipment 0.5% |
Emerson Electric Co. (a) | 178,536 | 7,800,238 |
Rockwell Automation, Inc. (a) | 31,421 | 1,542,457 |
Roper Industries, Inc. (a) | 22,366 | 1,251,601 |
| 10,594,296 |
Industrial Conglomerates 2.3% |
3M Co. (a) | 167,679 | 13,244,964 |
General Electric Co. (a) | 2,514,881 | 36,264,584 |
Textron, Inc. (a) | 62,654 | 1,063,239 |
| 50,572,787 |
Machinery 1.8% |
Caterpillar, Inc. (a) | 148,668 | 8,930,487 |
Cummins, Inc. | 48,058 | 3,130,017 |
Danaher Corp. (a) | 124,476 | 4,620,549 |
Deere & Co. | 100,778 | 5,611,319 |
Dover Corp. (a) | 44,072 | 1,841,769 |
Eaton Corp. (a) | 39,870 | 2,609,093 |
Flowserve Corp. | 13,692 | 1,161,082 |
Illinois Tool Works, Inc. (a) | 88,596 | 3,657,243 |
PACCAR, Inc. (a) | 85,881 | 3,424,075 |
Pall Corp. (a) | 28,010 | 962,704 |
Parker Hannifin Corp. (a) | 38,352 | 2,127,002 |
Snap-on, Inc. | 14,732 | 602,686 |
| 38,678,026 |
Professional Services 0.1% |
Dun & Bradstreet Corp. (a) | 11,314 | 759,396 |
Equifax, Inc. (a) | 29,609 | 830,828 |
Robert Half International, Inc. (a) | 35,075 | 826,016 |
| 2,416,240 |
Road & Rail 0.8% |
CSX Corp. (a) | 92,530 | 4,592,264 |
Norfolk Southern Corp. | 88,063 | 4,671,742 |
Ryder System, Inc. (a) | 11,990 | 482,358 |
Union Pacific Corp. | 119,422 | 8,301,023 |
| 18,047,387 |
Trading Companies & Distributors 0.1% |
Fastenal Co. (a) | 30,800 | 1,545,852 |
W.W. Grainger, Inc. (a) | 14,409 | 1,432,975 |
| 2,978,827 |
Information Technology 18.5% |
Communications Equipment 2.3% |
Cisco Systems, Inc.* | 1,346,734 | 28,698,901 |
Harris Corp. (a) | 30,800 | 1,282,820 |
JDS Uniphase Corp.* (a) | 55,939 | 550,440 |
Juniper Networks, Inc.* (a) | 123,834 | 2,825,892 |
Motorola, Inc.* (a) | 545,390 | 3,555,943 |
QUALCOMM, Inc. | 385,558 | 12,661,725 |
Tellabs, Inc. | 89,730 | 573,375 |
| 50,149,096 |
Computers & Peripherals 4.5% |
Apple, Inc.* (a) | 214,573 | 53,971,547 |
Dell, Inc.* | 409,278 | 4,935,893 |
EMC Corp.* | 488,590 | 8,941,197 |
Hewlett-Packard Co. | 550,879 | 23,842,043 |
Lexmark International, Inc. "A"* | 17,357 | 573,302 |
NetApp, Inc.* (a) | 81,309 | 3,033,639 |
QLogic Corp.* | 25,500 | 423,810 |
SanDisk Corp.* | 54,200 | 2,280,194 |
Teradata Corp.* (a) | 38,308 | 1,167,628 |
Western Digital Corp.* (a) | 53,435 | 1,611,599 |
| 100,780,852 |
Electronic Equipment, Instruments & Components 0.5% |
Agilent Technologies, Inc.* (a) | 82,957 | 2,358,467 |
Amphenol Corp. "A" (a) | 42,330 | 1,662,722 |
Corning, Inc. (a) | 371,897 | 6,006,137 |
FLIR Systems, Inc.* | 37,900 | 1,102,511 |
Jabil Circuit, Inc. | 43,489 | 578,404 |
Molex, Inc. (a) | 31,086 | 567,009 |
| 12,275,250 |
Internet Software & Services 1.7% |
Akamai Technologies, Inc.* (a) | 40,200 | 1,630,914 |
eBay, Inc.* (a) | 268,632 | 5,267,874 |
Google, Inc. "A"* | 57,091 | 25,402,640 |
Monster Worldwide, Inc.* (a) | 31,489 | 366,847 |
VeriSign, Inc.* (a) | 40,800 | 1,083,240 |
Yahoo!, Inc.* | 273,533 | 3,782,961 |
| 37,534,476 |
IT Services 3.1% |
Automatic Data Processing, Inc. (a) | 116,610 | 4,694,718 |
Cognizant Technology Solutions Corp. "A"* (a) | 71,222 | 3,565,373 |
Computer Sciences Corp. | 36,743 | 1,662,621 |
Fidelity National Information Services, Inc. (a) | 79,015 | 2,119,182 |
Fiserv, Inc.* (a) | 37,005 | 1,689,648 |
International Business Machines Corp. (a) | 303,287 | 37,449,879 |
MasterCard, Inc. "A" (a) | 22,800 | 4,549,284 |
Paychex, Inc. (a) | 76,701 | 1,991,925 |
SAIC, Inc.* (a) | 70,032 | 1,172,336 |
Total System Services, Inc. (a) | 47,866 | 650,978 |
Visa, Inc. "A" (a) | 106,001 | 7,499,571 |
Western Union Co. | 160,396 | 2,391,504 |
| 69,437,019 |
Office Electronics 0.1% |
Xerox Corp. | 326,778 | 2,627,295 |
Semiconductors & Semiconductor Equipment 2.6% |
Advanced Micro Devices, Inc.* (a) | 139,897 | 1,024,046 |
Altera Corp. (a) | 71,644 | 1,777,488 |
Analog Devices, Inc. | 70,868 | 1,974,382 |
Applied Materials, Inc. (a) | 315,704 | 3,794,762 |
Broadcom Corp. "A" (a) | 102,283 | 3,372,270 |
First Solar, Inc.* (a) | 11,395 | 1,297,093 |
Intel Corp. | 1,313,515 | 25,547,867 |
KLA-Tencor Corp. | 40,585 | 1,131,510 |
Linear Technology Corp. (a) | 53,196 | 1,479,381 |
LSI Corp.* | 149,255 | 686,573 |
MEMC Electronic Materials, Inc.* (a) | 50,700 | 500,916 |
Microchip Technology, Inc. (a) | 42,900 | 1,190,046 |
Micron Technology, Inc.* (a) | 205,349 | 1,743,413 |
National Semiconductor Corp. | 56,966 | 766,762 |
Novellus Systems, Inc.* | 20,882 | 529,568 |
NVIDIA Corp.* (a) | 132,643 | 1,354,285 |
Teradyne, Inc.* (a) | 43,358 | 422,740 |
Texas Instruments, Inc. (a) | 285,615 | 6,649,117 |
Xilinx, Inc. (a) | 66,203 | 1,672,288 |
| 56,914,507 |
Software 3.7% |
Adobe Systems, Inc.* | 124,044 | 3,278,483 |
Autodesk, Inc.* (a) | 54,548 | 1,328,789 |
BMC Software, Inc.* | 42,766 | 1,480,987 |
CA, Inc. | 95,515 | 1,757,476 |
Citrix Systems, Inc.* (a) | 43,614 | 1,841,819 |
Compuware Corp.* (a) | 59,252 | 472,831 |
Electronic Arts, Inc.* | 77,706 | 1,118,966 |
Intuit, Inc.* (a) | 73,530 | 2,556,638 |
McAfee, Inc.* | 37,100 | 1,139,712 |
Microsoft Corp. | 1,798,390 | 41,380,954 |
Novell, Inc.* (a) | 87,582 | 497,466 |
Oracle Corp. | 922,151 | 19,789,361 |
Red Hat, Inc.* (a) | 40,593 | 1,174,761 |
Salesforce.com, Inc.* (a) | 27,300 | 2,342,886 |
Symantec Corp.* | 190,864 | 2,649,192 |
| 82,810,321 |
Materials 3.4% |
Chemicals 1.8% |
Air Products & Chemicals, Inc. (a) | 50,318 | 3,261,110 |
Airgas, Inc. | 19,650 | 1,222,230 |
CF Industries Holdings, Inc. | 16,478 | 1,045,529 |
Dow Chemical Co. (a) | 274,058 | 6,500,656 |
E.I. du Pont de Nemours & Co. (a) | 213,858 | 7,397,348 |
Eastman Chemical Co. | 16,969 | 905,466 |
Ecolab, Inc. (a) | 54,042 | 2,427,026 |
FMC Corp. | 17,200 | 987,796 |
International Flavors & Fragrances, Inc. | 17,716 | 751,513 |
Monsanto Co. | 127,766 | 5,905,345 |
PPG Industries, Inc. | 39,962 | 2,414,104 |
Praxair, Inc. (a) | 72,754 | 5,528,576 |
Sigma-Aldrich Corp. (a) | 28,616 | 1,425,935 |
The Sherwin-Williams Co. (a) | 21,305 | 1,474,093 |
| 41,246,727 |
Construction Materials 0.1% |
Vulcan Materials Co. (a) | 29,176 | 1,278,784 |
Containers & Packaging 0.2% |
Ball Corp. | 22,324 | 1,179,377 |
Bemis Co., Inc. (a) | 25,930 | 700,110 |
Owens-Illinois, Inc.* | 39,600 | 1,047,420 |
Pactiv Corp.* | 33,149 | 923,200 |
Sealed Air Corp. (a) | 36,272 | 715,284 |
| 4,565,391 |
Metals & Mining 1.1% |
AK Steel Holding Corp. (a) | 24,700 | 294,424 |
Alcoa, Inc. (a) | 244,638 | 2,461,058 |
Allegheny Technologies, Inc. (a) | 22,479 | 993,347 |
Cliffs Natural Resources, Inc. (a) | 32,437 | 1,529,729 |
Freeport-McMoRan Copper & Gold, Inc. (a) | 111,702 | 6,604,939 |
Newmont Mining Corp. (a) | 116,354 | 7,183,696 |
Nucor Corp. (a) | 73,799 | 2,825,026 |
Titanium Metals Corp.* (a) | 22,200 | 390,498 |
United States Steel Corp. (a) | 33,375 | 1,286,606 |
| 23,569,323 |
Paper & Forest Products 0.2% |
International Paper Co. (a) | 101,512 | 2,297,216 |
MeadWestvaco Corp. (a) | 41,578 | 923,032 |
Weyerhaeuser Co. (a) | 49,429 | 1,739,901 |
| 4,960,149 |
Telecommunication Services 3.0% |
Diversified Telecommunication Services 2.6% |
AT&T, Inc. (a) | 1,396,619 | 33,784,214 |
CenturyLink, Inc. (a) | 71,196 | 2,371,539 |
Frontier Communications Corp. (a) | 68,405 | 486,359 |
Qwest Communications International, Inc. (a) | 337,943 | 1,774,201 |
Verizon Communications, Inc. | 668,351 | 18,727,195 |
Windstream Corp. (a) | 118,201 | 1,248,202 |
| 58,391,710 |
Wireless Telecommunication Services 0.4% |
American Tower Corp. "A"* | 94,636 | 4,211,302 |
MetroPCS Communications, Inc.* (a) | 67,200 | 550,368 |
Sprint Nextel Corp.* (a) | 712,714 | 3,021,908 |
| 7,783,578 |
Utilities 3.7% |
Electric Utilities 1.9% |
Allegheny Energy, Inc. (a) | 38,218 | 790,348 |
American Electric Power Co., Inc. | 114,865 | 3,710,140 |
Duke Energy Corp. (a) | 310,391 | 4,966,256 |
Edison International (a) | 76,474 | 2,425,755 |
Entergy Corp. (a) | 44,609 | 3,194,897 |
Exelon Corp. (a) | 153,888 | 5,843,127 |
FirstEnergy Corp. (a) | 73,111 | 2,575,701 |
NextEra Energy, Inc. (a) | 98,087 | 4,782,722 |
Northeast Utilities | 42,000 | 1,070,160 |
Pepco Holdings, Inc. (a) | 50,600 | 793,408 |
Pinnacle West Capital Corp. (a) | 24,896 | 905,219 |
PPL Corp. (a) | 110,600 | 2,759,470 |
Progress Energy, Inc. | 68,050 | 2,668,921 |
Southern Co. (a) | 195,979 | 6,522,181 |
| 43,008,305 |
Gas Utilities 0.2% |
EQT Corp. (a) | 30,000 | 1,084,200 |
Nicor, Inc. (a) | 11,737 | 475,348 |
ONEOK, Inc. (a) | 25,243 | 1,091,760 |
Questar Corp. | 41,300 | 1,878,737 |
| 4,530,045 |
Independent Power Producers & Energy Traders 0.2% |
AES Corp.* | 155,137 | 1,433,466 |
Constellation Energy Group, Inc. (a) | 46,787 | 1,508,881 |
NRG Energy, Inc.* (a) | 56,544 | 1,199,298 |
| 4,141,645 |
Multi-Utilities 1.4% |
Ameren Corp. | 57,319 | 1,362,473 |
CenterPoint Energy, Inc. | 93,768 | 1,233,987 |
CMS Energy Corp. (a) | 52,649 | 771,308 |
Consolidated Edison, Inc. (a) | 67,894 | 2,926,231 |
Dominion Resources, Inc. (a) | 139,101 | 5,388,773 |
DTE Energy Co. (a) | 39,903 | 1,819,976 |
Integrys Energy Group, Inc. (a) | 19,100 | 835,434 |
NiSource, Inc. (a) | 64,766 | 939,107 |
PG&E Corp. | 89,116 | 3,662,667 |
Public Service Enterprise Group, Inc. | 117,281 | 3,674,414 |
SCANA Corp. | 27,767 | 992,948 |
Sempra Energy (a) | 59,496 | 2,783,818 |
TECO Energy, Inc. (a) | 52,988 | 798,529 |
Wisconsin Energy Corp. | 28,400 | 1,441,016 |
Xcel Energy, Inc. (a) | 110,737 | 2,282,289 |
| 30,912,970 |
Total Common Stocks (Cost $1,968,225,684) | 2,200,379,315 |
| Principal Amount ($) | Value ($) |
| |
Government & Agency Obligation 0.2% |
US Treasury Obligation |
US Treasury Bill, 0.205%**, 11/18/2010 (b) (Cost $5,210,853) | 5,215,000 | 5,211,251 |
|
Shares
| Value ($) |
| |
Securities Lending Collateral 43.9% |
Daily Assets Fund Institutional, 0.27% (c) (d) (Cost $974,642,585) | 974,642,585 | 974,642,585 |
|
Cash Equivalents 0.7% |
Central Cash Management Fund, 0.21% (c) (Cost $15,895,707) | 15,895,707 | 15,895,707 |
| % of Net Assets | Value ($) |
| |
Total Investment Portfolio (Cost $2,963,974,829)+ | 143.7 | 3,196,128,858 |
Other Assets and Liabilities, Net | (43.7) | (971,804,600) |
Net Assets | 100.0 | 2,224,324,258 |
* Non-income producing security
** Annualized yield at time of purchase; not a coupon rate.
+ The cost for federal income tax purposes was $3,151,404,047. At June 30, 2010, net unrealized appreciation for all securities based on tax cost was $44,724,811. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $601,308,292 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $556,583,481.
(a) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at June 30, 2010 amounted to $943,506,662, which is 42.5% of net assets.
(b) At June 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(c) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(d) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
REIT: Real Estate Investment Trust
At June 30, 2010, open futures contracts purchased were as follows:
Futures | Currency | Expiration Date | Contracts | Notional Value ($) | Unrealized Depreciation ($) |
S&P 500 Index | USD | 9/16/2010 | 95 | 24,381,750 | (1,702,354) |
Currency Abbreviation |
USD United States Dollar |
For information on the Portfolio's policy and additional disclosures regarding futures contracts, please refer to the Derivatives section of Note A in the accompanying Notes to Financial Statements.
Fair Value Measurements
Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio'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.
The following is a summary of the inputs used as of June 30, 2010 in valuing the Portfolio's investments. For information on the Portfolio's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
Assets | Level 1 | Level 2 | Level 3 | Total |
|
Common Stock and/or Other Equity Investments (e) | $ 2,200,379,315 | $ — | $ — | $ 2,200,379,315 |
Short-Term Investments (e) | 990,538,292 | 5,211,251 | — | 995,749,543 |
Total | $ 3,190,917,607 | $ 5,211,251 | $ — | $ 3,196,128,858 |
Liabilities | | | | |
|
Derivatives (f) | $ (1,702,354) | $ — | $ — | $ (1,702,354) |
Total | $ (1,702,354) | $ — | $ — | $ (1,702,354) |
There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended June 30, 2010.
(e) See Investment Portfolio for additional detailed categorizations.
(f) Derivatives include unrealized appreciation (depreciation) on open futures contracts.
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities
as of June 30, 2010 (Unaudited) |
Assets |
Investments: Investments in securities, at value (cost $1,973,436,537) — including $943,506,662 of securities loaned | $ 2,205,590,566 |
Investment in Daily Assets Fund Institutional (cost $974,642,585)* | 974,642,585 |
Investment in Central Cash Management Fund (cost $15,895,707) | 15,895,707 |
Total investments in securities, at value (cost $2,963,974,829) | 3,196,128,858 |
Cash | 7,635 |
Dividends receivable | 3,023,620 |
Interest receivable | 81,065 |
Other assets | 48,549 |
Total assets | 3,199,289,727 |
Liabilities |
Payable upon return of securities loaned | 974,642,585 |
Payable for daily variation margin on open futures contracts | 201,584 |
Accrued management fee | 6,014 |
Other accrued expenses and payables | 115,286 |
Total liabilities | 974,965,469 |
Net assets | $ 2,224,324,258 |
* Represents collateral on securities loaned.
The accompanying notes are an integral part of the financial statements.
Statement of Operations
for the six months ended June 30, 2010 (Unaudited) |
Investment Income |
Income: Dividends | $ 23,955,131 |
Income distributions — Central Cash Management Fund | 16,230 |
Interest | 2,915 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 323,629 |
Total Income | 24,297,905 |
Expenses: Investment management fee | 611,819 |
Administration fee | 367,092 |
Professional fees | 51,772 |
Custodian fee | 37,054 |
Trustees' fees and expenses | 32,747 |
Insurance | 34,041 |
Reports to shareholders | 3,921 |
Other | 30,550 |
Total expenses before expense reductions | 1,168,996 |
Expense reductions | (557,178) |
Total expenses after expense reductions | 611,818 |
Net investment income (loss) | 23,686,087 |
Realized and Unrealized Gain (Loss) |
Net realized gain (loss) from: Investments | (13,029,383) |
Futures | (320,264) |
| (13,349,647) |
Change in net unrealized appreciation (depreciation) during the period on: Investments | (166,103,536) |
Futures | (1,911,799) |
| (168,015,335) |
Net gain (loss) | (181,364,982) |
Net increase (decrease) in net assets resulting from operations | $ (157,678,895) |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended June 30, 2010 (Unaudited) | Year Ended December 31, 2009 |
Operations: Net investment income (loss) | $ 23,686,087 | $ 52,224,060 |
Net realized gain (loss) | (13,349,647) | (105,118,876) |
Change in net unrealized appreciation (depreciation) | (168,015,335) | 603,250,313 |
Net increase (decrease) in net assets resulting from operations | (157,678,895) | 550,355,497 |
Capital transactions in shares of beneficial interest: Proceeds from capital invested | 175,876,778 | 457,204,285 |
Value of capital withdrawn | (272,485,600) | (682,340,362) |
Net increase (decrease) in net assets from capital transactions in shares of beneficial interest | (96,608,822) | (225,136,077) |
Increase (decrease) in net assets | (254,287,717) | 325,219,420 |
Net assets at beginning of period | 2,478,611,975 | 2,153,392,555 |
Net assets at end of period | $ 2,224,324,258 | $ 2,478,611,975 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Years Ended December 31, | 2010a | 2009 | 2008 | 2007 | 2006 | 2005 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions) | 2,224 | 2,479 | 2,153 | 3,409 | 3,549 | 3,307 |
Ratio of expenses before expense reductions (%) | .10* | .09 | .10 | .09 | .08 | .06 |
Ratio of expenses after expense reductions (%) | .05* | .05 | .05 | .05 | .05 | .05 |
Ratio of net investment income (loss) (%) | 1.94* | 2.38 | 2.29 | 1.91 | 1.90 | 1.82 |
Portfolio turnover rate (%) | 2** | 9d | 6 | 5 | 4 | 9 |
Total investment return (%)b,c | (6.58)** | 26.54 | (37.01) | 5.54 | 15.72 | 4.90 |
a For the six months ended June 30, 2010 (Unaudited). b Total investment return would have been lower had certain expenses not been reduced. c Total investment return for the Portfolio was derived from the performance of the Institutional Class of DWS Equity 500 Index Fund. d Excludes portfolio securities delivered as a result of processing redemption in-kind transactions. * Annualized ** Not annualized |
Notes to Financial Statements (Unaudited)
A. Organization and Significant Accounting Policies
DWS Equity 500 Index Portfolio (the "Portfolio") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company organized as a New York trust.
A master/feeder fund structure is one in which a fund (a "feeder fund"), instead of investing directly in a portfolio of securities, invests most or all of its investment assets in a separate registered investment company (the "master fund") with substantially the same investment objective and policies as the feeder fund. Such a structure permits the pooling of assets of two or more feeder funds, preserving separate identities or distribution channels at the feeder fund level. The Portfolio may have several feeder funds, including affiliated DWS feeder funds, with a significant ownership percentage of the Portfolio's net assets. Investment activities of these feeder funds could have a material impact on the Portfolio. As of June 30, 2010, DWS S&P 500 Index Fund and DWS Equity 500 Index Fund owned approximately 22% and 78%, respectively, of the Portfolio.
The Portfolio's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Portfolio in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio'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.
Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which they trade and are classified as Level 1 securities. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are classified as Level 1.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost, which approximates value, and are categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Portfolio's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's or issuer's financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
Securities Lending. The Portfolio may lend securities to certain financial institutions. The Portfolio retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their market value. The Portfolio requires the borrowers of the securities to maintain collateral with the Portfolio consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Portfolio may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Portfolio receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Portfolio or the borrower may terminate the loan. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Portfolio is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
Derivatives. Authoritative accounting guidance requires that disclosures about the Portfolio's derivative and hedging activities and derivatives accounted for as hedging instruments must be disclosed separately from derivatives that do not qualify for hedge accounting. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the Portfolio's derivatives are not accounted for as hedging instruments. As such, even though the Portfolio may use derivatives in an attempt to achieve an economic hedge, the Portfolio's derivatives are not considered to be hedging instruments. The disclosure below is presented in accordance with authoritative accounting guidance.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Portfolio invests in futures contracts to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market.
Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Portfolio is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Portfolio dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Portfolio's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the underlying hedged security or index. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities.
A summary of the open futures contracts as of June 30, 2010 is included in a table following the Portfolio's Investment Portfolio. For the six months ended June 30, 2010, the Portfolio invested in futures contracts with total notional value ranging from approximately $24,382,000 to $33,500,000.
The following tables summarize the value of the Portfolio's derivative instruments held as of June 30, 2010 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
Liability Derivatives | Futures Contracts |
Equity Contracts (a) | $ (1,702,354) |
The above derivative is in the following Statement of Assets and Liabilities account:
(a) Net unrealized appreciation (depreciation) on futures. Liability of payable for daily variation margin on open futures contracts reflects unsettled variation margin.
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Portfolio earnings during the six months ended June 30, 2010 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss) | Futures Contracts |
Equity Contracts (a) | $ (320,264) |
The above derivative is located in the following Statement of Operations account:
(a) Net realized gain (loss) from futures
Change in Net Unrealized Appreciation (Depreciation) | Futures Contracts |
Equity Contracts (a) | $ (1,911,799) |
The above derivative is located in the following Statement of Operations account:
(a) Change in net realized appreciation (depreciation) on futures
Federal Income Taxes. The Portfolio is considered a partnership under the Internal Revenue Code, as amended. Therefore, no federal income tax provision is necessary.
It is intended that the Portfolio's assets, income and distributions will be managed in such a way that an investor in the Portfolio will be able to satisfy the requirements of Subchapter M of the Code, assuming that the investor invested all of its assets in the Portfolio.
The Portfolio has reviewed the tax positions for the open tax years as of December 31, 2009 and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
Contingencies. In the normal course of business, the Portfolio may enter into contracts with service providers that contain general indemnification clauses. The Portfolio's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet been made. However, based on experience, the Portfolio expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis.
The Portfolio makes a daily allocation of its net investment income and realized and unrealized gains and losses from securities, futures and foreign currency transactions to its investors in proportion to their investment in the Portfolio.
B. Purchases and Sales of Securities
During the six months ended June 30, 2010, purchases and sales of investment securities (excluding short-term investments) aggregated $55,093,317 and $122,689,392, respectively.
C. Related Parties
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, serves as the investment manager to the Portfolio.
Management Agreement. Under its Investment Management Agreement with the Portfolio, the Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Portfolio or delegates such responsibility to the Portfolio's sub-advisor. The investment management fee payable under the Investment Management Agreement is equal to an annual rate of 0.05% of the Portfolio's average daily net assets, computed and accrued daily and payable monthly. Northern Trust Investments, N.A. ("NTI") serves as sub-advisor to the Portfolio and is paid by the Advisor for its services. NTI is responsible for the day to day management of the Portfolio.
For the period from January 1, 2010 through September 30, 2010, the Advisor had contractually agreed to waive its fees and/or reimburse certain operating expenses of the Portfolio to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.05%.
Accordingly, for the six months ended June 30, 2010, the Advisor waived a portion of its investment management fee pursuant to the Investment Management Agreement of $557,178 and charged $54,641, which was equivalent to an annualized effective rate of less than 0.01% of the Portfolio's average daily net assets.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Portfolio. For all services provided under the Administrative Services Agreement, the Portfolio pays the Advisor an annual fee ("Administration Fee") of 0.03% of the Portfolio's average daily net assets, computed and accrued daily and payable monthly. For the six months ended June 30, 2010, the Administration Fee was $367,092, of which $57,997 is unpaid.
Trustees' Fees and Expenses. The Portfolio paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.
Affiliated Cash Management Vehicles. The Fund may invest uninvested cash balances in Central Cash Management Fund and other affiliated money market funds managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of the underlying money market funds. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
D. Line of Credit
The Portfolio and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Portfolio may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Portfolio may borrow up to a maximum of 33 percent of its net assets under the agreement.
E. Review for Subsequent Events
Management has evaluated the events and transactions subsequent to period end through the date the financial statements were available to be issued, and has determined that there were no material events that would require disclosure in the Fund's financial statements.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 9, 2009, As Revised November 20, 2009
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2009, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007 and 2008.
Qualifications
For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and serve in various leadership and financial oversight capacities with non-profit organizations.
Evaluation of Fees for each DWS Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 124 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
Thomas H. Mack
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ITEM 2. | CODE OF ETHICS |
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| Not applicable. |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| Not applicable. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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| Not applicable. |
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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| Not applicable. |
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ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
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ITEM 12. | EXHIBITS |
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| (a)(1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
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.
Registrant: | DWS Equity 500 Index Portfolio |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | August 30, 2010 |
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/Michael G. Clark Michael G. Clark President |
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Date: | August 30, 2010 |
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By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
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Date: | August 30, 2010 |
