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 | 811-07123 | |||||
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| Advantage Funds, Inc. |
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| (Exact name of Registrant as specified in charter) |
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c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 |
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| (Address of principal executive offices) (Zip code) |
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| Bennett A. MacDougall, Esq. 200 Park Avenue New York, New York 10166 |
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| (Name and address of agent for service) |
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Registrant's telephone number, including area code: | (212) 922-6400 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 04/30/17 |
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The following N-CSR relates only to the Registrant's series listed below and does not relate to any series of the Registrant with a different fiscal year end and, therefore, different N-CSR reporting requirements. A separate N-CSR will be filed for any series with a different fiscal year end, as appropriate.
Dreyfus Global Dynamic Bond Fund
Dreyfus Global Real Return Fund
Dreyfus Total Emerging Markets Fund
Dynamic Total Return Fund
FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus Global Dynamic Bond Fund
SEMIANNUAL REPORT April 30, 2017 |
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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
Currency Exchange Contracts | |
of the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Global Dynamic Bond Fund, covering the six-month period from November 1, 2016 through April 30, 2017. 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.
Stocks advanced solidly but higher-quality bonds lost a degree of value over the reporting period amid heightened market volatility stemming from various economic and political developments. After giving back a portion of their previous gains due to uncertainty in advance of U.S. elections, equity markets rallied to a series of new highs in the wake of the election’s unexpected outcome as investors revised their expectations for U.S. fiscal, regulatory, and tax policies. Generally strong economic data and corporate earnings continued to support stock prices over the first four months of 2017. In the bond market, yields of U.S. government securities moved higher and prices fell in response to two short-term interest-rate hikes and rising longer-term rates, while lower-rated corporate-backed bonds continued to advance in anticipation of a more business-friendly market environment.
Some asset classes and industry groups seem likely to continue to benefit from a changing economic and geopolitical landscape, while others probably will face challenges as conditions evolve. Consequently, selectivity seems likely to be an important determinant of investment success in the months ahead. As always, we encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
May 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through April 30, 2017, as provided by portfolio managers Paul Brain, Howard Cunningham, and Parmeshwar Chadha, of Newton Investment Management (North America) Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2017, Dreyfus Global Dynamic Bond Fund’s Class A shares produced a total return of 1.10%, Class C shares returned 0.67%, Class I shares returned 1.15%, and Class Y shares returned 1.25%.1 In comparison, the fund’s benchmark, the Citi U.S. One-Month Treasury Bill Index (the “Index”), produced a total return of 0.22% for the same period.2
The fund produced a positive absolute return over the reporting period against a volatile market backdrop, which was characterized by rising developed-market political risks and U.S. monetary tightening.
As of December 2, 2016, Parmeshwar Chadha became a co-primary portfolio manager of the fund.
The Fund’s Investment Approach
The fund seeks total return (consisting of income and capital appreciation). To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in bonds and other instruments that provide investment exposure to global bond markets, including developed and emerging capital markets. We employ a dynamic, benchmark-unconstrained approach in allocating the fund’s assets globally, among government bonds, emerging market sovereign debt, investment-grade and high-yield corporate instruments, and currencies. We combine a top-down approach, emphasizing global economic trends and current investment themes, with bottom-up security selection based on fundamental research to allocate the fund’s investments. In choosing investments, we consider key trends in global economic variables, investment themes, relative valuations of debt securities and cash, long-term trends in currency movements, and company fundamentals.
Economic and Political Factors Drove Market Performance
Global bond markets proved volatile over the reporting period in response to several political and economic developments. Most notably, political risks increased in Europe and the United States, and the Federal Reserve Board (the “Fed”) twice raised short-term interest rates.
In November 2016, financial markets reacted with surprise to the latest electoral rejection of the developed-market political and economic status quo as evidenced by the unexpected outcome of the U.S. presidential election. Markets reacted with wide swings in bond yields, stock prices, and currency values. Meanwhile, the Fed compounded bond investors’ bearish sentiment by coupling its December rate increase with less stimulative policy projections amid solid U.S. job creation and robust business and consumer confidence. The Fed raised rates again in March. Meanwhile, other major central banks left their accommodative monetary policies unchanged, as global growth showed signs of modest momentum (not least in China), and inflationary pressures increased with a bounce in commodity prices.
Fund Strategies Supported Positive Absolute Returns
The fund lost a degree of value early in the period following the U.S. election. Government bond holdings, particularly U.S. Treasury securities, proved to be a significant drag on performance as yields rose sharply in response to expectations of greater fiscal stimulus and monetary tightening under the new U.S. administration. However, the fund’s bias towards Treasury Inflation-Protected Securities (“TIPS”) helped limit losses, and the use of futures contracts also helped mitigate some of the bond market sell-off. With underlying yields rising, investment-grade corporate-backed bonds and emerging-
3
DISCUSSION OF FUND PERFORMANCE (continued)
market sovereign bonds also produced negative returns. In contrast, high-yield bonds performed strongly as spreads tightened amid expectations of greater economic growth.
The fund’s performance recovered over the first four months of 2017, enabling it to outperform the Index. Government bond yields stabilized, global growth expectations remained upbeat, and U.S. policy anxieties eased, allowing holdings of government and corporate-backed bonds to generate positive absolute returns for the reporting period overall. Investment-grade credits made a particularly positive contribution to relative performance, aided by stable yield spreads. Developed and emerging-market sovereign bonds also boosted relative results, as U.S. Treasury yields edged lower and emerging-market spreads continued to tighten.
The fund’s currency strategy boosted returns further during the reporting period. Long U.S.-dollar exposure in late 2016 enabled the fund to benefit from rising rate differentials versus other developed markets, while short positions in the Turkish lira and, later, the South African rand proved effective.
We modestly trimmed the fund’s average duration over the reporting period.
Positioned for a Rising Rate Environment
In our view, stable global economic growth, robust U.S. labor markets, and positive purchasing managers’ indices remain supportive of higher-yielding but more volatile assets, rendering U.S. Treasuries vulnerable to softer investor demand, amid continued Fed tightening. Nonetheless, early signs of economic weakness (such as auto loan and bank lending deterioration) and a recalibration of reform prospects under the new U.S. administration, warrant the retention of some U.S.-dollar duration. Meanwhile, stronger Eurozone growth and the prospect of European Central Bank “tapering” should support the euro against the U.S. dollar.
May 15, 2017
Bonds are subject generally to interest-rate, credit, liquidity, and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.
High yield bonds are subject to increased credit risk and are considered speculative in terms of the issuer’s perceived ability to continue making interest payments on a timely basis and to repay principal upon maturity.
Foreign bonds are subject to special risks including exposure to currency fluctuations, changing political and economic conditions, and potentially less liquidity.
Investments in foreign currencies are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by the fund and denominated in those currencies. The use of leverage may magnify the fund’s gains or losses. For derivatives with a leveraging component, adverse changes in the value or level of the underlying asset can result in a loss that is much greater than the original investment in the derivative.
1 Total return includes reinvestment of dividends and any capital gains paid and does not take into consideration the maximum initial sales charge in the case of Class A shares or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. Class I and Class Y shares are not subject to any initial or deferred sales charge. 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. Return figures reflect the absorption of certain fund expenses by The Dreyfus Corporation pursuant to an agreement in effect through March 1, 2018, at which time it may be extended, terminated, or modified. Had these expenses not been absorbed, the returns would have been lower.
2 Source: Lipper Inc. — The Citi U.S. One-Month Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi U.S. One-Month Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Global Dynamic Bond Fund from November 1, 2016 to April 30, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||||
assuming actual returns for the six months ended April 30, 2017 | |||||||||||
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| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $4.74 | $8.46 | $3.49 | $3.49 | |||||||
Ending value (after expenses) | $1,011.00 | $1,006.70 | $1,011.50 | $1,012.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2017 | |||||||||||
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| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $4.76 | $8.50 | $3.51 | $3.51 | |||||||
Ending value (after expenses) | $1,020.08 | $1,016.36 | 1,021.32 | $1,021.32 |
† Expenses are equal to the fund’s annualized expense ratio of .95% for Class A, 1.70% for Class C, .70% for Class I and .70% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2017 (Unaudited)
Bonds and Notes - 90.7% | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 6.4% | |||||||||
Bertelsmann SE & Co., | EUR | 3.50 | 4/23/75 | 200,000 | b | 216,186 | |||
Cablevision Systems, | 8.63 | 9/15/17 | 53,000 | 54,524 | |||||
CCO Holdings, | 5.75 | 1/15/24 | 55,000 | 58,025 | |||||
CPUK Finance, | GBP | 7.00 | 2/28/42 | 100,000 | 136,441 | ||||
CPUK Finance, | GBP | 2.67 | 2/28/42 | 200,000 | 269,209 | ||||
Daimler Finance North America, | 1.88 | 1/11/18 | 300,000 | 300,305 | |||||
DISH DBS, | 4.63 | 7/15/17 | 140,000 | 140,875 | |||||
Dollar General, | 3.25 | 4/15/23 | 99,000 | 100,343 | |||||
Dollar General, | 4.15 | 11/1/25 | 133,000 | 138,857 | |||||
DR Horton, | 4.75 | 5/15/17 | 55,000 | 55,057 | |||||
EI Group, | GBP | 6.50 | 12/6/18 | 16,000 | 22,376 | ||||
Enterprise Inns, | GBP | 6.38 | 2/15/22 | 100,000 | 139,907 | ||||
John Lewis, | GBP | 8.38 | 4/8/19 | 175,000 | 256,738 | ||||
KFC & Pizza Hut Holdings, | 5.00 | 6/1/24 | 107,000 | 110,745 | |||||
Mitchells & Butlers Finance, | GBP | 6.01 | 12/15/28 | 177,809 | b | 276,504 | |||
Motability Operations Group, | EUR | 1.63 | 6/9/23 | 200,000 | 231,274 | ||||
Unitymedia Hessen, | EUR | 6.25 | 1/15/29 | 100,000 | 124,572 | ||||
Volkswagen International Finance, | EUR | 1.13 | 10/2/23 | 100,000 | 109,826 | ||||
2,741,764 | |||||||||
Consumer Staples - 4.0% | |||||||||
Anheuser-Busch InBev, | GBP | 6.50 | 6/23/17 | 110,000 | 143,612 | ||||
Anheuser-Busch InBev, | EUR | 0.88 | 3/17/22 | 110,000 | 123,468 | ||||
Anheuser-Busch InBev Finance, | 1.90 | 2/1/19 | 130,000 | 130,353 | |||||
Coca-Cola European Partners, | EUR | 0.75 | 2/24/22 | 210,000 | 232,139 | ||||
Constellation Brands, | 7.25 | 5/15/17 | 130,000 | 130,249 | |||||
DS Services of America, | 10.00 | 9/1/21 | 170,000 | c | 183,175 | ||||
Fomento Economico Mexicano, | EUR | 1.75 | 3/20/23 | 207,000 | 230,832 |
6
Bonds and Notes - 90.7% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Staples - 4.0% (continued) | |||||||||
PepsiCo, | 1.41 | 7/17/17 | 218,000 | b | 218,170 | ||||
PepsiCo, | 1.55 | 5/2/19 | 134,000 | 133,874 | |||||
Sigma Alimentos, | 4.13 | 5/2/26 | 200,000 | 197,500 | |||||
1,723,372 | |||||||||
Energy - 2.3% | |||||||||
BG Energy Capital, | GBP | 6.50 | 11/30/72 | 155,000 | b | 207,317 | |||
BP Capital Markets, | GBP | 4.33 | 12/10/18 | 100,000 | 137,083 | ||||
BP Capital Markets, | EUR | 1.12 | 1/25/24 | 200,000 | 222,328 | ||||
Petrobras Global Finance, | 6.75 | 1/27/41 | 130,000 | 123,175 | |||||
Shell International Finance, | 1.48 | 5/11/20 | 287,000 | b | 289,144 | ||||
979,047 | |||||||||
Financials - 18.6% | |||||||||
Allied Irish Banks, | EUR | 2.75 | 4/16/19 | 100,000 | 114,480 | ||||
Aquarius & Investments, | 8.25 | 9/29/49 | 200,000 | b | 214,834 | ||||
Arsenal Securities, | GBP | 5.14 | 9/1/29 | 33,511 | 49,793 | ||||
Banco Bilbao Vizcaya Argentaria, | EUR | 3.50 | 2/10/27 | 200,000 | 232,407 | ||||
Bank Nederlandse Gemeenten, | 1.32 | 5/15/18 | 200,000 | b | 200,619 | ||||
Bank of England, | 1.25 | 3/14/19 | 410,000 | 408,241 | |||||
Citigroup, | 2.03 | 6/7/19 | 76,000 | b | 76,528 | ||||
Citigroup, | 5.50 | 9/13/25 | 240,000 | 265,557 | |||||
Close Brothers Finance, | GBP | 3.88 | 6/27/21 | 200,000 | 284,515 | ||||
Close Brothers Finance, | GBP | 2.75 | 10/19/26 | 141,000 | 190,412 | ||||
Commonwealth Bank of Australia, | 2.13 | 7/22/20 | 250,000 | 249,985 | |||||
Coventry Building Society, | GBP | 0.64 | 3/17/20 | 100,000 | b | 129,869 | |||
Coventry Building Society, | GBP | 6.38 | 12/29/49 | 200,000 | b | 260,347 | |||
Coventry Building Society, | EUR | 2.50 | 11/18/20 | 200,000 | 233,527 | ||||
Danske Bank, | GBP | 5.38 | 9/29/21 | 90,000 | b | 123,293 | |||
Dexia Credit Local, | 2.25 | 1/30/19 | 500,000 | 501,919 | |||||
HSBC Bank, | GBP | 5.38 | 11/4/30 | 45,000 | b | 70,327 | |||
HSBC Holdings, | GBP | 6.38 | 10/18/22 | 150,000 | b | 198,215 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 90.7% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Financials - 18.6% (continued) | |||||||||
JPMorgan Chase & Co., | 2.38 | 10/29/20 | 163,000 | b | 166,428 | ||||
Landwirtschaftliche Rentenbank, | NZD | 4.00 | 1/30/20 | 250,000 | 176,657 | ||||
Lloyds Bank, | EUR | 13.00 | 1/29/49 | 66,000 | 103,974 | ||||
Lloyds Banking Group, | GBP | 7.00 | 12/31/49 | 200,000 | b | 271,684 | |||
Nationwide Building Society, | GBP | 0.54 | 7/17/17 | 100,000 | b | 129,570 | |||
Nationwide Building Society, | GBP | 6.88 | 12/31/49 | 200,000 | b | 269,081 | |||
New Red Finance, | 6.00 | 4/1/22 | 109,000 | c | 113,905 | ||||
New York Life Global Funding, | 1.70 | 9/14/21 | 280,000 | 272,768 | |||||
Rabobank Nederland, | AUD | 7.25 | 4/20/18 | 250,000 | 196,225 | ||||
Royal Bank of Canada, | 2.00 | 10/1/18 | 125,000 | 125,617 | |||||
Royal Bank of Canada, | 1.88 | 2/5/20 | 280,000 | 279,067 | |||||
Santander UK, | GBP | 9.63 | 10/30/23 | 50,000 | b | 72,845 | |||
Silverback Finance, | EUR | 3.13 | 2/25/37 | 205,056 | 225,018 | ||||
SLM Student Loan Trust, Ser. 2003-10, | GBP | 0.89 | 12/15/39 | 100,000 | b | 121,019 | |||
Societe Generale, | EUR | 6.75 | 12/31/49 | 200,000 | b | 234,244 | |||
TP ICAP, | GBP | 5.25 | 1/26/24 | 190,000 | 260,576 | ||||
UBS, | EUR | 4.75 | 2/12/26 | 235,000 | b | 283,695 | |||
UNITE USAF II, | GBP | 3.37 | 6/30/28 | 100,000 | 141,719 | ||||
US Bancorp, | 1.53 | 11/15/18 | 100,000 | b | 100,506 | ||||
US Bank, | 1.58 | 4/26/19 | 280,000 | b | 281,192 | ||||
Westpac Banking, | 1.38 | 5/30/18 | 330,000 | 329,613 | |||||
7,960,271 | |||||||||
Foreign/Governmental - 28.9% | |||||||||
Asian Development Bank, | 1.17 | 7/10/19 | 165,000 | b | 164,981 | ||||
Australian Government, | AUD | 4.00 | 4/20/23 | 475,000 | 386,715 | ||||
Caisse des Depots et Consignations, | 1.25 | 5/17/19 | 400,000 | 395,783 | |||||
Costa Rican Government, | 4.25 | 1/26/23 | 200,000 | 195,250 | |||||
Council Of Europe Development Bank, | 1.13 | 5/31/18 | 280,000 | 279,332 | |||||
Dominican Republic Government, | 7.50 | 5/6/21 | 250,000 | 278,125 |
8
Bonds and Notes - 90.7% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Foreign/Governmental - 28.9% (continued) | |||||||||
Ecuadorian Government, | 10.50 | 3/24/20 | 200,000 | 215,000 | |||||
European Bank for Reconstruction & Development, | 1.16 | 3/23/20 | 620,000 | b | 619,666 | ||||
Export-Import Bank of Korea, | 1.62 | 10/21/19 | 401,000 | b | 400,800 | ||||
Export-Import Bank of Korea, | 2.03 | 1/25/22 | 309,000 | b | 310,446 | ||||
FADE, | EUR | 0.85 | 9/17/19 | 300,000 | 334,406 | ||||
FMS Wertmanagement, | 1.15 | 11/27/19 | 600,000 | b | 601,328 | ||||
Instituto de Credito Oficial, | 1.63 | 9/14/18 | 390,000 | 388,742 | |||||
International Bank for Reconstruction & Development, | 1.31 | 2/11/21 | 410,000 | b | 413,635 | ||||
International Bank for Reconstruction & Development, | NZD | 4.63 | 2/26/19 | 350,000 | 249,296 | ||||
Kommunalbanken, | 1.16 | 5/2/19 | 190,000 | b | 190,340 | ||||
Kommunekredit, | 1.63 | 6/1/21 | 410,000 | 403,767 | |||||
Kuwait Government, | 2.75 | 3/20/22 | 630,000 | 636,379 | |||||
Mexican Government, | MXN | 6.50 | 6/10/21 | 13,160,000 | 686,024 | ||||
Nederlandse Financierings Maatschappij voor Ontwikkelingslanden, | 1.30 | 10/21/19 | 192,000 | b | 192,012 | ||||
New Zealand Government, | NZD | 5.00 | 3/15/19 | 1,290,000 | 927,613 | ||||
Norwegian Government, | NOK | 3.75 | 5/25/21 | 2,920,000 | c | 377,736 | |||
Peruvian Government, | PEN | 8.20 | 8/12/26 | 550,000 | 201,180 | ||||
Peruvian Government, | PEN | 6.95 | 8/12/31 | 600,000 | 200,229 | ||||
Polish Government, | PLN | 5.75 | 10/25/21 | 2,315,000 | 672,921 | ||||
Province of British Columbia Canada, | EUR | 0.88 | 10/8/25 | 328,000 | 365,374 | ||||
Queensland Treasury, | AUD | 5.50 | 6/21/21 | 690,000 | 583,010 | ||||
Saudi Arabian Government, | 2.38 | 10/26/21 | 200,000 | 196,732 | |||||
Spanish Government, | EUR | 1.80 | 11/30/24 | 520,000 | c | 642,412 | |||
Svensk Exportkredit, | 2.88 | 11/14/23 | 200,000 | b,c | 199,640 | ||||
Turkish Government, | 6.75 | 4/3/18 | 220,000 | 228,741 | |||||
United Kingdom Gilt, | CNY | 2.70 | 10/21/17 | 1,000,000 | 144,220 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 90.7% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Foreign/Governmental - 28.9% (continued) | |||||||||
Vietnamese Government, | 6.75 | 1/29/20 | 300,000 | 328,367 | |||||
12,410,202 | |||||||||
Health Care - .9% | |||||||||
BUPA Finance, | GBP | 6.13 | 12/29/49 | 130,000 | b | 188,095 | |||
Roche Holdings, | 1.24 | 9/29/17 | 200,000 | b | 200,086 | ||||
388,181 | |||||||||
Industrials - 2.6% | |||||||||
AA Bond, | GBP | 5.50 | 7/31/43 | 100,000 | 134,639 | ||||
AA Bond, | GBP | 4.25 | 7/31/43 | 100,000 | 138,906 | ||||
Firstgroup, | GBP | 8.13 | 9/19/18 | 160,000 | 226,777 | ||||
General Electric, | 5.63 | 9/15/17 | 250,000 | 254,058 | |||||
General Electric, | GBP | 6.44 | 11/15/22 | 30,157 | 44,678 | ||||
Johnson Controls International, | EUR | 1.00 | 9/15/23 | 222,000 | 241,707 | ||||
Western Union, | 3.60 | 3/15/22 | 55,000 | 55,994 | |||||
1,096,759 | |||||||||
Information Technology - 2.1% | |||||||||
Dell International, | 6.02 | 6/15/26 | 100,000 | c | 110,341 | ||||
eBay, | 1.51 | 8/1/19 | 329,000 | b | 329,632 | ||||
EMC, | 1.88 | 6/1/18 | 200,000 | 199,182 | |||||
Microsoft, | 2.00 | 8/8/23 | 250,000 | 243,423 | |||||
882,578 | |||||||||
Materials - 1.3% | |||||||||
Anglo American Capital, | 9.38 | 4/8/19 | 200,000 | c | 226,000 | ||||
Freeport-McMoRan, | 2.30 | 11/14/17 | 200,000 | 200,200 | |||||
SIG Combibloc Holdings, | EUR | 7.75 | 2/15/23 | 100,000 | 117,166 | ||||
543,366 | |||||||||
Real Estate - .8% | |||||||||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 146,610 | 202,936 | ||||
Vonovia Finance, | EUR | 1.50 | 3/31/25 | 134,000 | 149,928 | ||||
352,864 | |||||||||
Telecommunication Services - 2.8% | |||||||||
British Telecommunications, | GBP | 5.75 | 12/7/28 | 120,000 | 207,313 | ||||
Frontier Communications, | 11.00 | 9/15/25 | 110,000 | 106,563 |
10
Bonds and Notes - 90.7% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Telecommunication Services - 2.8% (continued) | |||||||||
Orange, | EUR | 4.00 | 12/31/49 | 100,000 | b | 117,240 | |||
Sprint Communications, | 8.38 | 8/15/17 | 194,000 | 197,832 | |||||
Verizon Communications, | 2.14 | 3/16/22 | 103,000 | b | 104,196 | ||||
Vodefone Group, | 1.50 | 2/19/18 | 280,000 | 279,747 | |||||
Wind Acquisition Finance, | EUR | 7.00 | 4/23/21 | 160,000 | 181,426 | ||||
1,194,317 | |||||||||
U.S. Government Securities - 17.6% | |||||||||
U.S. Treasury Bonds | 3.00 | 11/15/45 | 415,000 | 418,080 | |||||
U.S. Treasury Inflation Protected Securities, | 2.38 | 1/15/25 | 458,806 | d | 531,200 | ||||
U.S. Treasury Inflation Protected Securities, | 2.13 | 2/15/41 | 400,334 | d | 510,928 | ||||
U.S. Treasury Inflation Protected Securities, | 0.13 | 4/15/21 | 462,380 | d | 466,872 | ||||
U.S. Treasury Notes | 0.75 | 1/31/18 | 3,530,000 | 3,522,001 | |||||
U.S. Treasury Notes | 3.50 | 5/15/20 | 265,000 | 280,983 | |||||
U.S. Treasury Notes | 1.50 | 8/15/26 | 1,955,000 | 1,828,613 | |||||
7,558,677 | |||||||||
Utilities - 2.4% | |||||||||
Electricite de France, | EUR | 2.75 | 3/10/23 | 100,000 | 121,541 | ||||
National Grid Gas Finance, | GBP | 1.13 | 9/22/21 | 264,000 | 342,038 | ||||
NET4GAS, | EUR | 2.50 | 7/28/21 | 100,000 | 117,047 | ||||
Severn Trent Utilities Finance, | GBP | 6.00 | 1/22/18 | 150,000 | 201,744 | ||||
Southern Gas Networks, | GBP | 5.13 | 11/2/18 | 100,000 | 138,025 | ||||
SPP Infrastructure Financing, | EUR | 2.63 | 2/12/25 | 100,000 | 116,787 | ||||
1,037,182 | |||||||||
Total Bonds and Notes | 38,868,580 | ||||||||
Common Stocks - 6.5% | Shares | Value ($) | |||||||
Exchange-Traded Funds - 6.5% | |||||||||
iShares JPMorgan USD Emerging Markets Bond Fund | 13,291 | 1,531,123 | |||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 44,027 | e | 1,249,927 | ||||||
Total Common Stocks | 2,781,050 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Options Purchased - .0% | Face Amount Covered by Contracts ($) | Value ($) | |||||||
Put Options - .0% | |||||||||
U.S. Treasury Bonds, | 45,000 | 4,219 | |||||||
Other Investment - 3.2% | Shares | Value ($) | |||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1,390,659 | f | 1,390,659 | ||||||
Total Investments (cost $43,219,471) | 100.4% | 43,044,508 | |||||||
Liabilities, Less Cash and Receivables | (0.4%) | (166,958) | |||||||
Net Assets | 100.0% | 42,877,550 |
ETF—Exchange-Traded Fund
AUD—Australian Dollar
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—British Pound
MXN—Mexican Peso
NOK—Norwegian Krone
NZD—New Zealand Dollar
PEN—Peruvian Nuevo Sol
PLN—Polish Zloty
a Principal amount stated in U.S. Dollars unless otherwise noted.
b Variable rate security—rate shown is the interest rate in effect at period end.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2017, these securities were valued at $1,853,209 or 4.32% of net assets.
d Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
e Non-income producing security.
f Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Corporate Bonds | 44.2 |
Foreign/Governmental | 28.9 |
U.S. Government Securities | 17.6 |
Exchange-Traded Funds | 6.5 |
Money Market Investment | 3.2 |
Options Purchased | .0 |
100.4 |
† Based on net assets.
See notes to financial statements.
12
STATEMENT OF FUTURES
April 30, 2017 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized (Depreciation) ($) | |||
Futures Short | ||||||
Euro BTP Italian Government Bond | 9 | (1,291,247) | June 2017 | (10,406) | ||
Long Gilt | 5 | (830,678) | June 2017 | (1,094) | ||
Gross Unrealized Depreciation | (11,500) |
See notes to financial statements.
13
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Citigroup | ||||
Czech Koruna, | ||||
Expiring | ||||
5/15/2017 | 1,462,000 | 57,701 | 59,377 | 1,676 |
Royal Bank of Scotland | ||||
Czech Koruna, | ||||
Expiring | ||||
5/15/2017 | 19,411,440 | 771,879 | 788,365 | 16,486 |
State Street Bank and Trust Co. | ||||
Canadian Dollar, | ||||
Expiring | ||||
5/15/2017 | 3,000 | 2,234 | 2,198 | (36) |
Swedish Krona, | ||||
Expiring | ||||
5/15/2017 | 5,531,000 | 613,720 | 625,029 | 11,309 |
Swiss Franc, | ||||
Expiring | ||||
5/15/2017 | 641,000 | 641,859 | 644,941 | 3,082 |
Sales: | ||||
Citigroup | ||||
Australian Dollar, | ||||
Expiring | ||||
5/15/2017 | 509,000 | 381,195 | 381,023 | 172 |
British Pound, | ||||
Expiring | ||||
5/15/2017 | 158,113 | 198,062 | 204,889 | (6,827) |
Singapore Dollar, | ||||
Expiring | ||||
5/15/2017 | 58,000 | 40,905 | 41,521 | (616) |
JP Morgan Chase Bank | ||||
Mexican New Peso, | ||||
Expiring | ||||
5/15/2017 | 13,400,875 | 638,955 | 709,624 | (70,669) |
Royal Bank of Scotland | ||||
British Pound, | ||||
Expiring | ||||
5/15/2017 | 31,000 | 38,944 | 40,171 | (1,227) |
Chinese Yuan Renminbi, | ||||
Expiring | ||||
5/15/2017 | 1,078,000 | 155,478 | 156,093 | (615) |
New Zealand Dollar, | ||||
Expiring | ||||
5/15/2017 | 1,965,035 | 1,428,776 | 1,348,614 | 80,162 |
14
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Sales: (continued) | |||||||
Royal Bank of Scotland (continued) | |||||||
Singapore Dollar, | |||||||
Expiring | |||||||
5/15/2017 | 812,000 | 572,790 | 581,299 | (8,509) | |||
State Street Bank and Trust Co. | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
5/15/2017 | 1,072,224 | 815,203 | 802,636 | 12,567 | |||
British Pound, | |||||||
Expiring | |||||||
5/15/2017 | 4,808,210 | 5,974,658 | 6,230,676 | (256,018) | |||
Euro, | |||||||
Expiring | |||||||
5/2/2017 | 96,193 | 104,531 | 104,784 | (253) | |||
5/15/2017 | 5,825,326 | 6,229,768 | 6,351,109 | (121,341) | |||
Japanese Yen, | |||||||
Expiring | |||||||
5/15/2017 | 71,074,043 | 637,737 | 637,988 | (251) | |||
Norwegian Krone, | |||||||
Expiring | |||||||
5/15/2017 | 3,306,755 | 397,248 | 385,219 | 12,029 | |||
Polish Zloty, | |||||||
Expiring | |||||||
5/15/2017 | 2,641,438 | 648,766 | 680,772 | (32,006) | |||
South Korean Won, | |||||||
Expiring | |||||||
5/15/2017 | 725,115,000 | 636,624 | 637,362 | (738) | |||
UBS | |||||||
Euro, | |||||||
Expiring | |||||||
5/15/2017 | 549,000 | 586,691 | 598,552 | (11,861) | |||
Gross Unrealized Appreciation | 137,483 | ||||||
Gross Unrealized Depreciation | (510,967) |
See notes to financial statements.
15
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
|
| ||
Unaffiliated issuers |
| 41,828,812 |
| 41,653,849 |
| |
Affiliated issuers |
| 1,390,659 |
| 1,390,659 |
| |
Cash |
|
|
|
| 243 |
|
Cash denominated in foreign currency |
|
| 3,926 |
| 3,922 |
|
Receivable for investment securities sold |
|
|
|
| 562,534 |
|
Interest receivable |
|
|
|
| 343,751 |
|
Unrealized appreciation on forward foreign |
|
|
|
| 137,483 |
|
Cash collateral held by broker—Note 4 |
|
|
|
| 41,552 |
|
Prepaid expenses |
|
|
|
| 40,403 |
|
|
|
|
|
| 44,174,396 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 6,494 |
|
Payable for investment securities purchased |
|
|
|
| 733,886 |
|
Unrealized depreciation on forward foreign |
|
|
|
| 510,967 |
|
Payable for futures variation margin—Note 4 |
|
|
|
| 6,185 |
|
Accrued expenses |
|
|
|
| 39,314 |
|
|
|
|
|
| 1,296,846 |
|
Net Assets ($) |
|
| 42,877,550 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 43,677,142 |
|
Accumulated distributions in excess of investment income—net |
|
|
|
| (325,878) |
|
Accumulated net realized gain (loss) on investments |
|
|
|
| 81,490 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| (555,204) |
| |
Net Assets ($) |
|
| 42,877,550 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 620,770 | 675,426 | 2,771,140 | 38,810,214 |
|
Shares Outstanding | 51,404 | 56,528 | 229,110 | 3,208,170 |
|
Net Asset Value Per Share ($) | 12.08 | 11.95 | 12.10 | 12.10 |
|
See notes to financial statements. |
16
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 445,256 |
| ||
Dividends: |
|
|
|
| ||
Unaffiliated issuers |
|
| 18,030 |
| ||
Affiliated issuers |
|
| 4,283 |
| ||
Total Income |
|
| 467,569 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 88,483 |
| ||
Professional fees |
|
| 33,797 |
| ||
Registration fees |
|
| 32,254 |
| ||
Custodian fees—Note 3(c) |
|
| 13,888 |
| ||
Prospectus and shareholders’ reports |
|
| 9,089 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 5,666 |
| ||
Distribution fees—Note 3(b) |
|
| 2,410 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 1,437 |
| ||
Loan commitment fees—Note 2 |
|
| 403 |
| ||
Miscellaneous |
|
| 29,439 |
| ||
Total Expenses |
|
| 216,866 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (73,972) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (27) |
| ||
Net Expenses |
|
| 142,867 |
| ||
Investment Income—Net |
|
| 324,702 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (445,989) |
| ||||
Net realized gain (loss) on options transactions | 84,768 |
| ||||
Net realized gain (loss) on futures | (11,081) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 770,005 |
| ||||
Net Realized Gain (Loss) |
|
| 397,703 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 710,335 |
| ||
Net unrealized appreciation (depreciation) on options transactions |
|
| (15,067) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (11,500) |
| ||
Net unrealized appreciation (depreciation) on |
|
| (909,282) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (225,514) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 172,189 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 496,891 |
| |||
See notes to financial statements. |
17
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 324,702 |
|
|
| 333,298 |
| |
Net realized gain (loss) on investments |
| 397,703 |
|
|
| 360,267 |
| ||
Net unrealized appreciation (depreciation) |
| (225,514) |
|
|
| 121,247 |
| ||
Net Increase (Decrease) in Net Assets | 496,891 |
|
|
| 814,812 |
| |||
Distributions to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (50,770) |
|
|
| (23,340) |
| |
Class C |
|
| (16,808) |
|
|
| (9,412) |
| |
Class I |
|
| (40,162) |
|
|
| (42,083) |
| |
Class Y |
|
| (1,063,886) |
|
|
| (328,169) |
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Class A |
|
| (608) |
|
|
| (2,110) |
| |
Class C |
|
| (230) |
|
|
| (1,205) |
| |
Class I |
|
| (471) |
|
|
| (2,610) |
| |
Class Y |
|
| (12,209) |
|
|
| (22,568) |
| |
Total Distributions |
|
| (1,185,144) |
|
|
| (431,497) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 80,247 |
|
|
| 866,305 |
| |
Class C |
|
| 48,500 |
|
|
| 79,202 |
| |
Class I |
|
| 1,702,696 |
|
|
| 825,349 |
| |
Class Y |
|
| 4,698,530 |
|
|
| 20,507,649 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 48,686 |
|
|
| 23,867 |
| |
Class C |
|
| 14,727 |
|
|
| 9,430 |
| |
Class I |
|
| 40,613 |
|
|
| 44,693 |
| |
Class Y |
|
| 870,213 |
|
|
| 307,758 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (1,284,678) |
|
|
| (502,446) |
| |
Class C |
|
| (46,311) |
|
|
| (213,406) |
| |
Class I |
|
| (205,590) |
|
|
| (5,065,739) |
| |
Class Y |
|
| (1,087,018) |
|
|
| (859,355) |
| |
Increase (Decrease) in Net Assets | 4,880,615 |
|
|
| 16,023,307 |
| |||
Total Increase (Decrease) in Net Assets | 4,192,362 |
|
|
| 16,406,622 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 38,685,188 |
|
|
| 22,278,566 |
| |
End of Period |
|
| 42,877,550 |
|
|
| 38,685,188 |
| |
Undistributed (distributions in excess of) | (325,878) |
|
|
| 521,046 |
|
18
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 6,671 |
|
|
| 71,290 |
| |
Shares issued for distributions reinvested |
|
| 4,071 |
|
|
| 1,982 |
| |
Shares redeemed |
|
| (107,135) |
|
|
| (41,496) |
| |
Net Increase (Decrease) in Shares Outstanding | (96,393) |
|
|
| 31,776 |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 4,060 |
|
|
| 6,591 |
| |
Shares issued for distributions reinvested |
|
| 1,243 |
|
|
| 791 |
| |
Shares redeemed |
|
| (3,859) |
|
|
| (17,686) |
| |
Net Increase (Decrease) in Shares Outstanding | 1,444 |
|
|
| (10,304) |
| |||
Class I |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 141,849 |
|
|
| 67,292 |
| |
Shares issued for distributions reinvested |
|
| 3,393 |
|
|
| 3,711 |
| |
Shares redeemed |
|
| (17,074) |
|
|
| (420,719) |
| |
Net Increase (Decrease) in Shares Outstanding | 128,168 |
|
|
| (349,716) |
| |||
Class Y |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 390,882 |
|
|
| 1,676,600 |
| |
Shares issued for distributions reinvested |
|
| 72,624 |
|
|
| 25,465 |
| |
Shares redeemed |
|
| (90,353) |
|
|
| (70,464) |
| |
Net Increase (Decrease) in Shares Outstanding | 373,153 |
|
|
| 1,631,601 |
| |||
See notes to financial statements. |
19
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 | |||||||||
Class A Shares | April 30, 2017 | Year Ended October 31, | |||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | ||||
Per Share Data ($): | |||||||||
Net asset value, beginning of period | 12.30 | 12.13 | 12.70 | 12.59 | 13.03 | 12.58 | |||
Investment Operations: | |||||||||
Investment income—neta | .09 | .13 | .16 | .26 | .32 | .41 | |||
Net realized and unrealized | .05 | .25 | (.18) | (.00)b | (.04) | .64 | |||
Total from Investment Operations | .14 | .38 | (.02) | .26 | .28 | 1.05 | |||
Distributions: | |||||||||
Dividends from | (.36) | (.19) | (.49) | (.15) | (.51) | (.59) | |||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | (.01) | |||
Total Distributions | (.36) | (.21) | (.55) | (.15) | (.72) | (.60) | |||
Net asset value, end of period | 12.08 | 12.30 | 12.13 | 12.70 | 12.59 | 13.03 | |||
Total Return (%)c | 1.10d | 3.20 | (.15) | 2.08 | 2.12 | 8.74 | |||
Ratios/Supplemental Data (%): | |||||||||
Ratio of total expenses | 1.42e | 1.64 | 1.99 | 2.22 | 2.31 | 2.67 | |||
Ratio of net expenses | .95e | .95 | .95 | 1.02 | 1.10 | 1.10 | |||
Ratio of net investment income | 1.42e | 1.10 | 1.29 | 2.04 | 2.49 | 3.21 | |||
Portfolio Turnover Rate | 66.08d | 141.08 | 134.49 | 157.23 | 138.46 | 132.40 | |||
Net Assets, end of period ($ x 1,000) | 621 | 1,818 | 1,407 | 1,466 | 1,912 | 1,132 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
20
Six Months Ended | |||||||||||
Class C Shares | April 30, 2017 | Year Ended October 31, | |||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | ||||||
Per Share Data ($): | |||||||||||
Net asset value, beginning of period | 12.18 | 12.05 | 12.62 | 12.54 | 12.98 | 12.54 | |||||
Investment Operations: | |||||||||||
Investment income—neta | .04 | .04 | .07 | .17 | .23 | .31 | |||||
Net realized and unrealized | .04 | .25 | (.19) | (.00)b | (.06) | .65 | |||||
Total from Investment Operations | .08 | .29 | (.12) | .17 | .17 | .96 | |||||
Distributions: | |||||||||||
Dividends from | (.31) | (.14) | (.39) | (.09) | (.40) | (.51) | |||||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | (.01) | |||||
Total Distributions | (.31) | (.16) | (.45) | (.09) | (.61) | (.52) | |||||
Net asset value, end of period | 11.95 | 12.18 | 12.05 | 12.62 | 12.54 | 12.98 | |||||
Total Return (%)c | .67d | 2.47 | (.94) | 1.30 | 1.41 | 7.94 | |||||
Ratios/Supplemental Data (%): | |||||||||||
Ratio of total expenses | 2.20e | 2.39 | 2.74 | 2.95 | 3.03 | 3.32 | |||||
Ratio of net expenses | 1.70e | 1.70 | 1.70 | 1.76 | 1.85 | 1.85 | |||||
Ratio of net investment income | .68e | .35 | .54 | 1.31 | 1.83 | 2.46 | |||||
Portfolio Turnover Rate | 66.08d | 141.08 | 134.49 | 157.23 | 138.46 | 132.40 | |||||
Net Assets, end of period ($ x 1,000) | 675 | 671 | 788 | 1,051 | 819 | 587 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
21
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||||||||
Class I Shares | April 30, 2017 | Year Ended October 31, | |||||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 | ||||||
Per Share Data ($): | |||||||||||
Net asset value, beginning of period | 12.33 | 12.14 | 12.71 | 12.60 | 13.04 | 12.59 | |||||
Investment Operations: | |||||||||||
Investment income—neta | .10 | .15 | .19 | .29 | .36 | .44 | |||||
Net realized and unrealized | .04 | .27 | (.18) | (.00)b | (.06) | .64 | |||||
Total from Investment Operations | .14 | .42 | .01 | .29 | .30 | 1.08 | |||||
Distributions: | |||||||||||
Dividends from | (.37) | (.21) | (.52) | (.18) | (.53) | (.62) | |||||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | (.01) | |||||
Total Distributions | (.37) | (.23) | (.58) | (.18) | (.74) | (.63) | |||||
Net asset value, end of period | 12.10 | 12.33 | 12.14 | 12.71 | 12.60 | 13.04 | |||||
Total Return (%) | 1.15c | 3.52 | .07 | 2.30 | 2.33 | 8.98 | |||||
Ratios/Supplemental Data (%): | |||||||||||
Ratio of total expenses | 1.25d | 1.39 | 1.70 | 1.88 | 1.96 | 2.31 | |||||
Ratio of net expenses | .70d | .70 | .70 | .77 | .85 | .85 | |||||
Ratio of net investment income | 1.69d | 1.35 | 1.54 | 2.29 | 2.86 | 3.45 | |||||
Portfolio Turnover Rate | 66.08c | 141.08 | 134.49 | 157.23 | 138.46 | 132.40 | |||||
Net Assets, end of period ($ x 1,000) | 2,771 | 1,244 | 5,472 | 10,292 | 9,391 | 9,476 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Not annualized.
d Annualized.
See notes to financial statements.
22
Six Months Ended | |||||||||
Class Y Shares | April 30, 2017 | Year Ended October 31, | |||||||
(Unaudited) | 2016 | 2015 | 2014 | 2013 | a | ||||
Per Share Data ($): | |||||||||
Net asset value, beginning of period | 12.33 | 12.14 | 12.71 | 12.60 | 12.50 | ||||
Investment Operations: | |||||||||
Investment income—netb | .10 | .16 | .19 | .29 | .10 | ||||
Net realized and unrealized | .04 | .27 | (.18) | (.00)c | .11 | ||||
Total from Investment Operations | .14 | .43 | .01 | .29 | .21 | ||||
Distributions: | |||||||||
Dividends from | (.37) | (.22) | (.52) | (.18) | (.11) | ||||
Dividends from net realized | (.00)c | (.02) | (.06) | — | — | ||||
Total Distributions | (.37) | (.24) | (.58) | (.18) | (.11) | ||||
Net asset value, end of period | 12.10 | 12.33 | 12.14 | 12.71 | 12.60 | ||||
Total Return (%) | 1.25d | 3.54 | .09 | 2.34 | 1.29 | d | |||
Ratios/Supplemental Data (%): | |||||||||
Ratio of total expenses | 1.06e | 1.23 | 1.31 | 1.88 | 2.09 | e | |||
Ratio of net expenses | .70e | .70 | .70 | .75 | .85 | e | |||
Ratio of net investment income | 1.68e | 1.35 | 1.54 | 2.30 | 2.36 | e | |||
Portfolio Turnover Rate | 66.08d | 141.08 | 134.49 | 157.23 | 138.46 | ||||
Net Assets, end of period ($ x 1,000) | 38,810 | 34,952 | 14,611 | 1 | 1 |
a From July 1, 2013 (commencement of initial offering) to October 31, 2013.
b Based on average shares outstanding.
c Amount represents less than $.01 per share.
d Not annualized.
e Annualized.
See notes to financial statements.
23
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Global Dynamic Bond Fund (the “fund”) is a separate non-diversified series of Advantage 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 ten series, including the fund. The fund’s investment objective is to seek total return (consisting of income and capital appreciation). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management (North America) Limited (“Newton”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser.
Effective March 31, 2017, the fund authorized the issuance of Class T shares, but, as of the date of this report, the fund did not offer Class T shares for purchase. The fund’s authorized shares increased from 400 million shares to 500 million shares and 100 million Class T shares were authorized.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares. The fund is authorized to issue 100 million shares of $.001 par value Common Stock in each of the following classes of shares: Class A, Class C, Class I, Class T and Class Y. Class A and Class T shares generally are subject to a sales charge imposed at the time of purchase. Class C shares are subject to a contingent deferred sales charge (“CDSC”) imposed on Class C shares redeemed within one year of purchase. Class I and Class Y 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, the allocation of certain transfer agency costs, 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.
As of April 30, 2017, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 7,453 Class A and 7,267 Class C shares of the fund.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to
24
that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
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).
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments are valued as determined by the Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
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. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
26
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, 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. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 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, 2017 in valuing the fund’s investments:
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) |
|
|
|
|
Investments in Securities: |
|
|
|
|
Corporate Bonds† | - | 18,899,701 | - | 18,899,701 |
Exchange-Traded Funds | 2,781,050 | - | - | 2,781,050 |
Foreign Government | - | 12,410,202 | - | 12,410,202 |
Registered Investment Company | 1,390,659 | - | - | 1,390,659 |
U.S. Treasury | - | 7,558,677 | - | 7,558,677 |
Other Financial Instruments: |
|
|
| |
Forward Foreign Currency Exchange Contracts†† | - | 137,483 | - | 137,483 |
Options Purchased | 4,219 | - | - | 4,219 |
Liabilities ($) |
|
|
| |
Other Financial Instruments: |
|
|
| |
Futures†† | (11,500) | - | - | (11,500) |
Forward Foreign Currency Exchange Contracts†† | - | (510,967) | - | (510,967) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2017, there were no transfers between levels of the fair value hierarchy.
(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.
28
(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. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized on the accrual basis. Securities purchased or sold on a when issued or delayed delivery basis may be settled a month or more after the trade date.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2017 were as follows:
Affiliated Investment Company | Value 10/31/2016 ($) | Purchases ($) | Sales ($) | Value 4/30/2017 ($) | Net Assets (%) |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 926,577 | 16,451,960 | 15,987,878 | 1,390,659 | 3.2 |
Certain affiliated investment companies may also invest in the fund. At April 30, 2017, Dreyfus Yield Enhancement Strategy Fund, an affiliate of the fund, held 2,168,244 Class Y shares representing approximately 61% of the fund’s net assets.
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net are normally declared and paid quarterly. 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
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2017, 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, 2017, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2016 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, 2016 was as follows: ordinary income $404,465 and long-term capital gains $27,032. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $810 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2017, the fund did not borrow under the Facilities.
NOTE 3—Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of .45% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 1, 2016 through March 1, 2018, to waive receipt of its fees and/or assume the direct expenses of the fund so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage
30
commissions, commitment fees on borrowings and extraordinary expenses) exceed .70% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $73,972 during the period ended April 30, 2017.
Pursuant to a sub-investment advisory agreement between Dreyfus and Newton, Dreyfus pays Newton a monthly fee at an annual rate of .22% of the value of the fund’s average daily net assets.
During the period ended April 30, 2017, the Distributor retained $57 from commissions earned on sales of the fund’s Class A shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2017, Class C shares were charged $2,410 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their 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. 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, 2017, Class A and Class C shares were charged $1,611 and $803, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2017, the fund was charged $700 for transfer agency services and $30 for cash management services. These fees are included in Shareholder servicing costs in the
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Statement of Operations. Cash management fees were partially offset by earnings credits of $27.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2017, the fund was charged $13,888 pursuant to the custody agreement.
During the period ended April 30, 2017, the fund was charged $5,751 for services performed by the Chief Compliance Officer and his staff.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $15,760, Distribution Plan fees $407, Shareholder Services Plan fees $268, custodian fees $6,000, Chief Compliance Officer fees $3,861 and transfer agency fees $314, which are offset against an expense reimbursement currently in effect in the amount of $20,116.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward contracts, futures and options transactions, during the period ended April 30, 2017, amounted to $29,881,241 and $25,085,568, 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 OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2017 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk, as a result of
32
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, 2017 are set forth in the Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in interest rates and the value of foreign currency, or as a substitute for an investment. The fund is subject to market risk, interest rate risk and foreign currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction. At April 30, 2017, there were no options written outstanding.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2017 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, 2017 is shown below:
34
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 4,219 | 1 | Interest rate risk | (11,500) | 2 | ||
Foreign exchange risk | 137,483 | 3 | Foreign exchange risk | (510,967) | 3 | ||
Gross fair value of | 141,702 | (522,467) | |||||
Statement of Assets and Liabilities location: | |||||||
1 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
2 | 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. | ||||||
3 | 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, 2017 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| ||
Interest | (11,081) | 97,051 | - | 85,970 | ||||||
Foreign | - | (12,283) | 770,005 | 757,722 | ||||||
Total | (11,081) | 84,768 | 770,005 | 843,692 | ||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | (11,500) | (15,067) | - | (26,567) | ||||||
Foreign | - | - | (909,282) | (909,282) | ||||||
Total | (11,500) | (15,067) | (909,282) | (935,849) | ||||||
Statement of Operations location: | ||||||||||
1 | Net realized gain (loss) on futures. | |||||||||
2 | Net realized gain (loss) on options transactions. | |||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | |||||||||
4 | Net unrealized appreciation (depreciation) on futures. | |||||||||
5 | Net unrealized appreciation (depreciation) on options transactions. | |||||||||
6 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | - | (11,500) | |||
Options | 4,219 | - | |||
Forward contracts | 137,483 | (510,967) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 141,702 | (522,467) | |||
Derivatives not subject to | |||||
Master Agreements | (4,219) | 11,500 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 137,483 | (510,967) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2017:
�� | ||||||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Citigroup | 1,848 | (1,848) | - | - | ||
Royal Bank | 96,648 | (10,351) | - | 86,297 | ||
State Street | 38,987 | (38,987) | - | - | ||
Total | 137,483 | (51,186) | - | 86,297 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Citigroup | (7,443) | 1,848 | - | (5,595) | ||
JP Morgan | (70,669) | - | - | (70,669) | ||
Royal Bank | (10,351) | 10,351 | - | - | ||
State Street | (410,643) | 38,987 | - | (371,656) | ||
UBS | (11,861) | - | - | (11,861) | ||
Total | (510,967) | 51,186 | - | (459,781) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts |
36
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2017:
|
| Average Market Value ($) |
Interest rate futures | 686,095 | |
Interest rate options contracts | 21,868 | |
Foreign currency options contracts | 13 | |
Forward contracts | 21,726,860 | |
At April 30, 2017, accumulated net unrealized depreciation on investments was $174,963, consisting of $371,296 gross unrealized appreciation and $546,259 gross unrealized depreciation.
At April 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 9-10, 2017, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. 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 Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select
38
the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. They also noted that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of Dreyfus, its affiliates and/or the Sub-Adviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group median for the three-, four- and five-year periods and above the Performance Universe median for the four- and five-year periods (only five basis points below the median in the three-year period). The Board also considered that the fund’s yield performance was above the Performance Group median for three of the five one-year periods ended January 31st and above the Performance Universe median for four of the five one-year periods ended January 31st. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index and noted that the fund’s return was above the return of the index in four of the five calendar years shown, including 2016.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was the lowest in the Expense Group, the fund’s actual management fee (which was zero) was below the Expense Group and Expense Universe medians and the fund’s total expenses were below the Expense Group and Expense Universe medians (lowest in the Expense Group).
Dreyfus representatives stated that Dreyfus has contractually agreed to waive receipt of its fees and/or assume the expenses of the fund, until March 31, 2018, so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 0.70% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Broadridge category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates 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. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
39
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also considered the expense limitation arrangement and its effect on the profitability of Dreyfus and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements 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. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration that there were no 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 Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
40
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· While expressing some concern about the fund’s relative total return in recent periods, the Board generally was satisfied with the fund’s overall performance.
· The Board concluded that the fees paid to Dreyfus and the Subadviser supported the renewal of the Agreements in light of the considerations described above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. 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 Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
41
Dreyfus Global Dynamic Bond Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Sub-Investment Adviser
Newton Investment Management
(North America) Limited
160 Queen Victoria Street
London, EC4V, 4LA, UK
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbols: | Class A: DGDAX Class C: DGDCX Class I: DGDIX Class Y: DGDYX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (phone 1-800-SEC-0330 for information).
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2017 MBSC Securities Corporation |
Dreyfus Global Real Return Fund
SEMIANNUAL REPORT April 30, 2017 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
Currency Exchange Contracts | |
the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Global Real Return Fund, covering the six-month period from November 1, 2016 through April 30, 2017. 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.
Stocks advanced solidly but higher-quality bonds lost a degree of value over the reporting period amid heightened market volatility stemming from various economic and political developments. After giving back a portion of their previous gains due to uncertainty in advance of U.S. elections, equity markets rallied to a series of new highs in the wake of the election’s unexpected outcome as investors revised their expectations for U.S. fiscal, regulatory, and tax policies. Generally strong economic data and corporate earnings continued to support stock prices over the first four months of 2017. In the bond market, yields of U.S. government securities moved higher and prices fell in response to two short-term interest-rate hikes and rising longer-term rates, while lower-rated corporate-backed bonds continued to advance in anticipation of a more business-friendly market environment.
Some asset classes and industry groups seem likely to continue to benefit from a changing economic and geopolitical landscape, while others probably will face challenges as conditions evolve. Consequently, selectivity seems likely to be an important determinant of investment success in the months ahead. As always, we encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
May 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through April 30, 2017, as provided by portfolio managers Suzanne Hutchins (Lead) and Aron Pataki, of Newton Investment Management (North America) Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2017, Dreyfus Global Real Return Fund’s Class A shares produced a total return of -0.57%, Class C shares returned -0.95%, Class I shares returned -0.37%, and Class Y shares returned -0.33%.1 In comparison, the fund’s benchmark, the Citi U.S. One-Month Treasury Bill Index, and the fund’s performance baseline benchmark, the USD 1-Month LIBOR, produced total returns of 0.22% and 0.37%, respectively, for the same period.2,3
The fund produced mildly negative absolute and relative returns over the reporting period as global bonds generally lost value and hedging strategies proved ineffective amid expectations of greater economic growth.
The Fund’s Investment Approach
The fund seeks total return (consisting of capital appreciation and income). To pursue its goal, the fund uses an actively managed multi-asset strategy to produce positive absolute or real returns exhibiting less volatility than major equity markets over a complete market cycle, typically a period of five years. The fund is not managed relative to an index, but rather seeks to provide returns that are largely independent of market moves.
The fund invests in a core of return-seeking assets that may include but not exclusively global equities, convertible bonds, global high yield corporate bonds, emerging market debt and infrastructure related assets to meet its total return objective. To complement this core and to provide capital protection as well as to reduce volatility, the fund is invested in other asset types where we find value, including commodity-related investments, currencies, select government bonds, and index-linked securities and derivatives. The portfolio managers have considerable latitude in allocating the fund’s investments and in selecting securities and derivative instruments to implement the fund’s investment approach, although the fund must invest at least 10% of the value of its total assets in equity securities and at least 10% of the value of its total assets in fixed-income securities.
To allocate the fund’s assets, we combine a top-down approach emphasizing economic trends and current investment themes on a global basis, with bottom-up security selection based on fundamental research. In choosing investments, we consider economic trends as emphasized by our global investment themes, security valuation, and company fundamentals. Within markets and sectors, we seek attractively priced companies possessing sustainable competitive advantages, and we may invest in such companies anywhere across their capital structure. Identifying the right security characteristics for the prevailing investment environment is key to our approach, which currently emphasizes income generation.
Economic and Political Factors Drove Market Performance
Global equities fared well over the reporting period in anticipation of pro-growth fiscal, regulatory, and tax policies from a newly elected U.S. government. Although the election’s unexpected outcome caused global stock markets to decline in November 2016, improved investor sentiment later sparked a market rally that persisted through the end of the reporting period. In addition, developed economies have shown modest improvement after an extended period of sluggishness.
In contrast, global bond markets lost a degree of value over the reporting period as interest rates rose. Fixed-income markets reacted to the U.S. presidential election in November with wide swings in sovereign bond yields, and the Federal Reserve Board compounded bearish market sentiment when it shifted to a less accommodative monetary policy.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Bonds and Hedging Strategies Dampened Relative Results
Early in the reporting period, in the wake of the U.S. presidential election, the fund’s performance was undermined by sharp declines in government bonds and other traditional safe havens. Meanwhile, the fund’s stabilizing assets and hedging positions, which are designed to dampen volatility, proved counterproductive in a rallying stock market. Exposure to gold also detracted from returns.
The fund fared better over the first four months of 2017 as optimism regarding potential U.S. government policy changes moderated. Within the fund’s core of return-seeking assets, a small allocation to corporate credit, emerging-market government debt, and infrastructure related investments proved beneficial. The fund’s equity positions also generated positive absolute returns, but they underperformed broad global market averages.
At times during the reporting period, we employed bond options to limit the fund’s interest-rate sensitivity and short positions in futures contracts to protect against potential stock market declines.
A Cautious Investment Posture
Despite recent investor optimism, we believe that economic growth has remained disappointing. In addition, in our judgment, stocks and riskier bonds do not provide much reward potential at current prices. Therefore, we have not felt the need to make significant changes to the core of the portfolio. Instead, we have selectively added to holdings of relatively defensive equities that lagged in the recent market rally, and we have established positions in emerging-market debt securities that appear to be attractively valued. We have continued to complement these core holdings with stabilizing assets such as government bonds, gold, and cash.
May 15, 2017
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.
Bonds are subject generally to interest-rate, credit, liquidity, and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.
The fund’s performance will be influenced by political, social, and economic factors affecting investments in foreign companies. Special risks associated with such companies include exposure to currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company information, political instability, and differing auditing and legal standards.
Because the fund seeks to provide exposure to alternative or non-traditional (i.e., satellite) asset categories or investment strategies, the fund’s performance will be linked to the performance of these highly volatile asset categories and strategies. Accordingly, investors should consider purchasing shares of the fund only as part of an overall diversified portfolio and should be willing to assume the risks of potentially significant fluctuations in the value of fund shares.
The fund may, but is not required to, use derivative instruments, such as options, futures, options on futures, forward contracts, and other credit derivatives. 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.
1 Total return includes reinvestment of dividends and any capital gains paid, and does not take into consideration the maximum initial sales charge in the case of Class A shares, or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Share price and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Return figures provided reflect the absorption of certain fund expenses by The Dreyfus Corporation pursuant to an agreement in effect through March 1, 2018, at which time it may be extended, modified, or terminated. Had these expenses not been absorbed, the fund’s returns would have been lower. Past performance is no guarantee of future results.
2 Source: Bloomberg — The London Interbank Offered Rate (LIBOR) is the average interest rate at which leading banks borrow funds of a sizable amount from other banks in the London market. LIBOR is the most widely used “benchmark” or reference rate for short-term interest rates.
3 Source: Lipper, Inc. — The Citi U.S. One-Month Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi U.S. One-Month Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Global Real Return Fund from November 1, 2016 to April 30, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||
assuming actual returns for the six months ended April 30, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.69 | $9.38 | $4.45 | $4.06 | ||||
Ending value (after expenses) | $994.30 | $990.50 | $996.30 | $996.70 |
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, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.76 | $9.49 | $4.51 | $4.11 | ||||
Ending value (after expenses) | $1,019.09 | $1,015.37 | $1,020.33 | $1,020.73 |
† Expenses are equal to the fund’s annualized expense ratio of 1.15% for Class A, 1.90% for Class C, .90% for Class I and .82% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2017 (Unaudited)
Bonds and Notes - 32.9% | Principal | a | Value ($) | |||||||
Australia - 5.5% | ||||||||||
Australian Government, Sr. Unscd. Bonds, Ser. 144, 3.75%, 4/21/37 | AUD | 15,584,000 | 12,590,253 | |||||||
Australian Government, Sr. Unscd. Bonds, Ser. 147, 3.25%, 6/21/39 | AUD | 31,602,000 | 23,428,931 | |||||||
Australian Government, Sr. Unscd. Bonds, Ser. 150, 3.00%, 3/21/47 | AUD | 21,744,000 | 14,709,043 | |||||||
New South Wales Treasury, Govt. Gtd. Notes, Ser. CIB1, 2.75%, 11/20/25 | AUD | 6,226,300 | b | 6,802,042 | ||||||
Treasury Corp. of Victoria, Govt. Gtd. Notes, 5.50%, 11/17/26 | AUD | 23,040,000 | 21,141,965 | |||||||
78,672,234 | ||||||||||
France - .5% | ||||||||||
SFR Group, Sr. Scd. Notes, 7.38%, 5/1/26 | 6,937,000 | c | 7,327,206 | |||||||
Germany - .3% | ||||||||||
SIG Combibloc Holdings, Sr. Scd. Notes, 7.75%, 2/15/23 | EUR | 3,388,000 | 3,969,598 | |||||||
Mexico - .8% | ||||||||||
Mexican Government, Bonds, Ser. M10, 8.50%, 12/13/18 | MXN | 195,637,600 | 10,664,056 | |||||||
New Zealand - 2.5% | ||||||||||
New Zealand Government, Sr. Unscd. Bonds, Ser. 0427, 4.50%, 4/15/27 | NZD | 16,554,000 | 12,776,683 | |||||||
New Zealand Government, Sr. Unscd. Bonds, Ser. 0437, 2.75%, 4/15/37 | NZD | 12,638,000 | 7,690,702 | |||||||
New Zealand Government, Sr. Unscd. Bonds, Ser. 0521, 6.00%, 5/15/21 | NZD | 15,471,000 | 12,073,074 | |||||||
New Zealand Government, Sr. Unscd. Bonds, Ser. 0940, 2.50%, 9/20/40 | NZD | 5,000,000 | d | 3,534,982 | ||||||
36,075,441 | ||||||||||
United Kingdom - 1.7% | ||||||||||
Anglian Water Services Financing, Sr. Scd. Notes, Ser. A8, 3.67%, 7/30/24 | GBP | 151,000 | e | 398,811 | ||||||
Arqiva Broadcast Finance, Sr. Scd. Notes, 9.50%, 3/31/20 | GBP | 4,722,000 | 6,620,543 | |||||||
British Telecommunications, Sr. Unscd. Notes, 3.50%, 4/25/25 | GBP | 533,000 | e | 1,470,719 | ||||||
Centrica, Jr. Sub. Bonds, 5.25%, 4/10/75 | GBP | 982,000 | f | 1,360,417 | ||||||
Centrica, Jr. Sub. Notes, 3.00%, 4/10/76 | EUR | 1,353,000 | f | 1,489,566 | ||||||
CPUK Finance, Scd. Notes, 7.00%, 2/28/42 | GBP | 319,000 | 435,246 | |||||||
Dwr Cymru Financing, Asset Backed Notes, 1.86%, 3/31/48 | GBP | 150,000 | e | 431,175 | ||||||
High Speed Rail Finance 1, Sr. Scd. Notes, 1.57%, 11/1/38 | GBP | 268,000 | e | 557,474 | ||||||
National Grid Electricity Transmission, Insured Bonds, 2.98%, 7/8/18 | GBP | 667,000 | e | 1,412,373 | ||||||
Network Rail Infrastructure Finance, Govt. Gtd. Notes, Ser. RPI, 1.75%, 11/22/27 | GBP | 865,000 | e | 2,052,527 | ||||||
Scotland Gas Networks, Insured Notes, Ser. A2S, 2.13%, 10/21/22 | GBP | 300,000 | e | 652,809 | ||||||
Tesco, Sr. Unscd. Notes, 6.13%, 2/24/22 | GBP | 882,000 | 1,319,735 | |||||||
Tesco, Sr. Unscd. Notes, 3.32%, 11/5/25 | GBP | 245,000 | e | 586,483 |
6
Bonds and Notes - 32.9% (continued) | Principal | a | Value ($) | |||||||
United Kingdom - 1.7% (continued) | ||||||||||
Tesco Property Finance 3, Mortgage Backed Bonds, 5.74%, 4/13/40 | GBP | 3,386,679 | 4,687,832 | |||||||
23,475,710 | ||||||||||
United States - 21.6% | ||||||||||
EMC, Sr. Unscd. Notes, 1.88%, 6/1/18 | 4,304,000 | 4,286,397 | ||||||||
Frontier Communications, Sr. Unscd. Notes, 11.00%, 9/15/25 | 4,843,000 | 4,691,656 | ||||||||
Sprint, Gtd. Notes, 7.88%, 9/15/23 | 3,180,000 | 3,577,500 | ||||||||
Sprint, Gtd. Notes, 7.13%, 6/15/24 | 3,548,000 | 3,867,320 | ||||||||
Sprint Capital, Gtd. Notes, 8.75%, 3/15/32 | 6,102,000 | 7,524,498 | ||||||||
Sprint Communications, Sr. Unscd. Debs., 9.25%, 4/15/22 | 404,000 | 490,860 | ||||||||
Sprint Communications, Sr. Unscd. Notes, 8.38%, 8/15/17 | 3,942,000 | 4,019,854 | ||||||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 66,680,800 | 67,219,981 | ||||||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 47,780,300 | 48,134,925 | ||||||||
U.S. Treasury Notes, 0.88%, 4/15/19 | 17,501,400 | 17,371,505 | ||||||||
U.S. Treasury Notes, 1.38%, 1/15/20 | 29,172,000 | 29,153,767 | ||||||||
U.S. Treasury Notes, 1.75%, 12/31/20 | 69,658,700 | 69,989,300 | ||||||||
U.S. Treasury Notes, 2.00%, 2/15/25 | 43,189,300 | 42,633,411 | ||||||||
Western Digital, Gtd. Notes, 10.50%, 4/1/24 | 3,339,000 | 3,948,367 | ||||||||
306,909,341 | ||||||||||
Total Bonds and Notes | 467,093,586 | |||||||||
Common Stocks - 61.7% | Shares | Value ($) | ||||||||
Australia - 1.6% | ||||||||||
Dexus Property Group | 1,956,995 | 14,947,059 | ||||||||
Newcrest Mining | 501,042 | 7,938,815 | ||||||||
22,885,874 | ||||||||||
Canada - 4.2% | ||||||||||
Agnico Eagle Mines | 130,708 | 6,247,901 | ||||||||
Alacer Gold | 1,580,166 | g | 2,500,391 | |||||||
Alamos Gold | 407,518 | 2,916,707 | ||||||||
Barrick Gold | 518,622 | 8,671,360 | ||||||||
Centerra Gold | 492,847 | 2,545,380 | ||||||||
Detour Gold | 362,279 | g | 4,578,083 | |||||||
Eldorado Gold | 1,091,105 | 3,988,582 | ||||||||
IAMGOLD | 682,816 | g | 2,821,202 | |||||||
Kinross Gold | 802,479 | g | 2,792,407 | |||||||
New Gold | 1,444,168 | g | 4,094,304 | |||||||
OceanaGold | 1,097,530 | 3,577,897 | ||||||||
Primero Mining | 1,370,353 | g | 642,486 | |||||||
Silver Wheaton | 712,596 | 14,220,076 | ||||||||
59,596,776 | ||||||||||
Denmark - 1.5% | ||||||||||
DONG Energy | 525,762 | c | 20,712,478 | |||||||
France - 1.8% | ||||||||||
Vivendi | 1,271,508 | 25,228,773 | ||||||||
Germany - 3.7% | ||||||||||
Bayer | 125,794 | 15,566,326 | ||||||||
Infineon Technologies | 335,243 | 6,938,429 | ||||||||
LEG Immobilien | 150,414 | g | 12,920,904 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks - 61.7% (continued) | Shares | Value ($) | ||||||||
Germany - 3.7% (continued) | ||||||||||
SAP | 57,863 | 5,803,192 | ||||||||
Telefonica Deutschland Holding | 2,345,232 | 11,368,252 | ||||||||
52,597,103 | ||||||||||
Hong Kong - .8% | ||||||||||
Link REIT | 1,595,500 | 11,476,499 | ||||||||
India - .3% | ||||||||||
LIC Housing Finance, GDR | 228,291 | 4,746,170 | ||||||||
Ireland - .5% | ||||||||||
CRH | 208,248 | 7,603,501 | ||||||||
Israel - 1.1% | ||||||||||
Teva Pharmaceutical Industries, ADR | 477,106 | 15,067,007 | ||||||||
Japan - 2.2% | ||||||||||
Japan Tobacco | 823,100 | 27,364,060 | ||||||||
Suntory Beverage & Food | 88,300 | 3,948,648 | ||||||||
31,312,708 | ||||||||||
Mexico - .4% | ||||||||||
Fresnillo | 182,041 | 3,423,525 | ||||||||
Wal-Mart de Mexico | 1,065,500 | 2,399,819 | ||||||||
5,823,344 | ||||||||||
Netherlands - 4.7% | ||||||||||
RELX | 1,079,311 | 20,874,454 | ||||||||
Unilever | 271,197 | 14,222,761 | ||||||||
Wolters Kluwer | 738,855 | 31,380,532 | ||||||||
66,477,747 | ||||||||||
New Zealand - .6% | ||||||||||
Spark New Zealand | 3,160,146 | 8,017,261 | ||||||||
South Africa - .2% | ||||||||||
Gold Fields | 995,655 | 3,259,557 | ||||||||
South Korea - 1.5% | ||||||||||
Macquarie Korea Infrastructure Fund | 1,351,267 | 10,248,207 | ||||||||
Samsung SDI | 87,924 | 10,624,440 | ||||||||
20,872,647 | ||||||||||
Switzerland - 4.2% | ||||||||||
Novartis | 458,547 | 35,278,164 | ||||||||
Roche Holding | 95,620 | 25,014,961 | ||||||||
60,293,125 | ||||||||||
United Kingdom - 13.7% | ||||||||||
Associated British Foods | 336,553 | 12,248,911 | ||||||||
British American Tobacco | 118,950 | 8,034,456 | ||||||||
Centrica | 9,654,502 | 24,746,476 | ||||||||
Cobham | 4,958,782 | 8,509,981 | ||||||||
Diageo | 551,220 | 16,038,697 | ||||||||
Dixons Carphone | 1,995,408 | 8,670,855 | ||||||||
GlaxoSmithKline | 742,910 | 14,914,393 | ||||||||
Informa | 1,333,494 | 11,088,270 | ||||||||
Johnson Matthey | 191,533 | 7,390,125 | ||||||||
Randgold Resources | 82,417 | 7,264,114 | ||||||||
Royal Dutch Shell, Cl. B | 538,319 | 14,310,690 | ||||||||
United Utilities Group | 2,185,039 | 27,550,713 | ||||||||
Vodafone Group | 7,254,743 | 18,703,458 | ||||||||
Wolseley | 228,891 | 14,538,409 | ||||||||
194,009,548 |
8
Common Stocks - 61.7% (continued) | Shares | Value ($) | ||||||||
United States - 18.7% | ||||||||||
Abbott Laboratories | 391,533 | 17,086,500 | ||||||||
Accenture, Cl. A | 192,791 | 23,385,548 | ||||||||
AT&T | 83,653 | 3,315,168 | ||||||||
CA | 508,092 | 16,680,660 | ||||||||
CMS Energy | 655,312 | 29,751,165 | ||||||||
Cognizant Technology Solutions, Cl. A | 88,484 | g | 5,329,391 | |||||||
Dollar General | 205,409 | 14,935,288 | ||||||||
Eversource Energy | 592,688 | 35,205,667 | ||||||||
Maxim Integrated Products | 89,550 | 3,953,632 | ||||||||
Microsoft | 436,341 | 29,871,905 | ||||||||
PowerShares DB Gold Fund | 509,414 | g,h | 20,692,397 | |||||||
Procter & Gamble | 128,923 | 11,258,846 | ||||||||
Reynolds American | 586,834 | 37,850,793 | ||||||||
Sysco | 151,408 | 8,004,941 | ||||||||
Walgreens Boots Alliance | 98,677 | 8,539,508 | ||||||||
265,861,409 | ||||||||||
Total Common Stocks | 875,841,527 | |||||||||
Rights - .1% | Number of Rights | |||||||||
United Kingdom - .1% | ||||||||||
Cobham | 1,983,512 | g | 1,464,358 | |||||||
Options Purchased - .1% | Face Amount Covered by | Value ($) | ||||||||
Call Options | ||||||||||
S&P 500 Index, May 2017 @ $239 | 119,200 | 196,680 | ||||||||
Put Options | ||||||||||
Euro-Bund, June 2017 @ EUR 160.5 | 823,000 | 403,423 | ||||||||
U.S. Treasury Long Bond, June 2017 @ $151 | 935,000 | 598,984 | ||||||||
1,002,407 | ||||||||||
Total Options Purchased | 1,199,087 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Other Investment - 2.4% | Shares | Value ($) | ||||||||
Registered Investment Company; | ||||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 33,182,518 | i | 33,182,518 | |||||||
Total Investments (cost $1,320,050,319) | 97.2% | 1,378,781,076 | ||||||||
Cash and Receivables (Net) | 2.8% | 40,056,937 | ||||||||
Net Assets | 100.0% | 1,418,838,013 |
ADR—American Depository Receipt
GDR—Global Depository Receipt
REIT—Real Estate Investment Trust
a Principal amount stated in U.S. Dollars unless otherwise noted.
AUD—Australian Dollar
EUR—Euro
GBP—British Pound
MXN—Mexican Peso
NZD—New Zealand Dollar
b Principal amount for accrual purposes is periodically adjusted based on changes in the Australian Consumer Price Index.
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2017, these securities were valued at $28,039,684 or 1.98% of net assets.
d Principal amount for accrual purposes is periodically adjusted based on changes in the New Zealand Consumer Price Index.
e Principal amount for accrual purposes is periodically adjusted based on changes in the British Consumer Price Index.
f Variable rate security—rate shown is the interest rate in effect at period end.
g Non-income producing security.
h Investment in non-controlled affiliates (cost $21,591,292).
i Investment in affiliated money market mutual fund.
10
Portfolio Summary (Unaudited) † | Value (%) |
U.S. Government Securities | 19.3 |
Utilities | 9.7 |
Consumer Goods | 9.2 |
Consumer Services | 9.1 |
Foreign/Governmental | 8.8 |
Health Care | 7.6 |
Basic Materials | 7.4 |
Technology | 4.8 |
Corporate Bonds | 4.7 |
Industrials | 4.7 |
Financials | 3.8 |
Telecommunication | 2.9 |
Money Market Investment | 2.4 |
Exchange-Traded Funds | 1.5 |
Energy | 1.0 |
Consumer Staples | .2 |
Options Purchased | .1 |
97.2 |
† Based on net assets.
See notes to financial statements.
11
STATEMENT OF FUTURES
April 30, 2017 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation (Depreciation) ($) | |||
Futures Short | ||||||
DJ Euro Stoxx 50 | 1,381 | (52,771,704) | June 2017 | (2,604,002) | ||
FTSE 100 | 544 | (50,483,887) | June 2017 | 549,799 | ||
Standard & Poor's 500 | 476 | (283,279,500) | June 2017 | (1,690,156) | ||
Gross Unrealized Appreciation | 549,799 | |||||
Gross Unrealized Depreciation | (4,294,158) |
See notes to financial statements.
12
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Citigroup | ||||
Canadian Dollar, | ||||
Expiring | ||||
5/16/2017 | 1,383,964 | 1,061,306 | 1,014,112 | (47,194) |
State Street Bank and Trust Co. | ||||
Australian Dollar, | ||||
Expiring | ||||
6/14/2017 | 4,768,824 | 3,636,910 | 3,567,856 | (69,054) |
British Pound, | ||||
Expiring | ||||
7/14/2017 | 25,419,124 | 32,631,373 | 32,997,699 | 366,326 |
Canadian Dollar, | ||||
Expiring | ||||
5/16/2017 | 18,714,524 | 14,288,705 | 13,713,240 | (575,465) |
Euro, | ||||
Expiring | ||||
7/14/2017 | 4,531,976 | 4,873,118 | 4,956,567 | 83,449 |
Mexican New Peso, | ||||
Expiring | ||||
6/14/2017 | 207,660,000 | 10,966,379 | 10,941,821 | (24,558) |
New Zealand Dollar, | ||||
Expiring | ||||
5/16/2017 | 32,691,724 | 23,104,672 | 22,435,918 | (668,754) |
South Korean Won, | ||||
Expiring | ||||
5/16/2017 | 2,856,500,998 | 2,563,264 | 2,510,841 | (52,423) |
UBS | ||||
New Zealand Dollar, | ||||
Expiring | ||||
5/16/2017 | 20,003,957 | 13,795,709 | 13,728,463 | (67,246) |
Sales: | ||||
Royal Bank of Scotland | ||||
Australian Dollar, | ||||
Expiring | ||||
6/14/2017 | 200,546,409 | 153,273,610 | 150,041,317 | 3,232,293 |
New Zealand Dollar, | ||||
Expiring | ||||
5/16/2017 | 165,875,785 | 120,737,500 | 113,838,459 | 6,899,041 |
South Korean Won, | ||||
Expiring | ||||
5/16/2017 | 18,809,545,975 | 16,416,368 | 16,533,438 | (117,070) |
13
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | ||
Sales: (continued) | ||||||
State Street Bank and Trust Co. | ||||||
Australian Dollar, | ||||||
Expiring | ||||||
6/14/2017 | 9,733,720 | 7,357,265 | 7,282,405 | 74,860 | ||
British Pound, | ||||||
Expiring | ||||||
5/2/2017 | 488,873 | 632,825 | 633,190 | (365) | ||
7/14/2017 | 205,683,287 | 256,249,570 | 267,006,652 | (10,757,082) | ||
Canadian Dollar, | ||||||
Expiring | ||||||
5/16/2017 | 136,040,011 | 103,473,912 | 99,684,571 | 3,789,341 | ||
Euro, | ||||||
Expiring | ||||||
5/2/2017 | 1,641,081 | 1,794,836 | 1,787,631 | 7,205 | ||
7/14/2017 | 159,678,293 | 169,798,139 | 174,638,190 | (4,840,051) | ||
Japanese Yen, | ||||||
Expiring | ||||||
7/14/2017 | 3,427,024,000 | 31,513,879 | 30,842,146 | 671,733 | ||
Mexican New Peso, | ||||||
Expiring | ||||||
6/14/2017 | 207,660,000 | 10,209,942 | 10,941,822 | (731,880) | ||
Gross Unrealized Appreciation | 15,124,248 | |||||
Gross Unrealized Depreciation | (17,951,142) |
See notes to financial statements.
14
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
|
| ||
Unaffiliated issuers |
| 1,265,276,509 |
| 1,324,906,161 |
| |
Affiliated issuers |
| 54,773,810 |
| 53,874,915 |
| |
Cash |
|
|
|
| 1,855,224 |
|
Cash denominated in foreign currency |
|
| 382,464 |
| 386,338 |
|
Cash collateral held by broker—Note 4 |
|
|
|
| 30,672,855 |
|
Unrealized appreciation on forward foreign |
|
|
|
| 15,124,248 |
|
Dividends and interest receivable |
|
|
|
| 7,410,678 |
|
Receivable for investment securities sold |
|
|
|
| 4,178,619 |
|
Receivable for shares of Common Stock subscribed |
|
|
|
| 2,413,449 |
|
Receivable for futures variation margin—Note 4 |
|
|
|
| 976,170 |
|
Prepaid expenses |
|
|
|
| 113,990 |
|
|
|
|
|
| 1,441,912,647 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 1,036,839 |
|
Unrealized depreciation on forward foreign |
|
|
|
| 17,951,142 |
|
Payable for shares of Common Stock redeemed |
|
|
|
| 2,315,490 |
|
Payable for investment securities purchased |
|
|
|
| 1,606,864 |
|
Accrued expenses |
|
|
|
| 164,299 |
|
|
|
|
|
| 23,074,634 |
|
Net Assets ($) |
|
| 1,418,838,013 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,464,302,116 |
|
Accumulated distributions in excess of investment income—net |
|
|
|
| (6,245,911) |
|
Accumulated net realized gain (loss) on investments |
|
|
|
| (91,397,046) |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 52,178,854 |
| |
Net Assets ($) |
|
| 1,418,838,013 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 43,417,574 | 34,907,127 | 603,111,227 | 737,402,085 |
|
Shares Outstanding | 3,049,186 | 2,512,780 | 42,181,465 | 51,536,998 |
|
Net Asset Value Per Share ($) | 14.24 | 13.89 | 14.30 | 14.31 |
|
See notes to financial statements. |
15
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $769,390 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 10,108,607 |
| ||
Affiliated issuers |
|
| 160,409 |
| ||
Interest |
|
| 6,612,302 |
| ||
Total Income |
|
| 16,881,318 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 5,285,126 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 478,421 |
| ||
Custodian fees—Note 3(c) |
|
| 193,047 |
| ||
Distribution fees—Note 3(b) |
|
| 130,794 |
| ||
Registration fees |
|
| 100,748 |
| ||
Professional fees |
|
| 72,940 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 55,900 |
| ||
Prospectus and shareholders’ reports |
|
| 34,744 |
| ||
Loan commitment fees—Note 2 |
|
| 16,995 |
| ||
Miscellaneous |
|
| 30,728 |
| ||
Total Expenses |
|
| 6,399,443 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (22,329) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (490) |
| ||
Net Expenses |
|
| 6,376,624 |
| ||
Investment Income—Net |
|
| 10,504,694 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions: |
|
| ||||
Unaffiliated issuers |
|
|
| (4,711,571) |
| |
Affiliated issuers |
|
|
| (589,668) |
| |
Net realized gain (loss) on options transactions | (2,507,687) |
| ||||
Net realized gain (loss) on futures | (39,066,589) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 11,176,960 |
| ||||
Net Realized Gain (Loss) |
|
| (35,698,555) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
|
|
| ||
Unaffiliated issuers |
|
|
| 45,961,586 |
| |
Affiliated issuers |
|
|
| 213,590 |
| |
Net unrealized appreciation (depreciation) on options transactions |
|
| (898,755) |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| (11,354,217) |
| ||
Net unrealized appreciation (depreciation) on |
|
| (14,397,234) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 19,524,970 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (16,173,585) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (5,668,891) |
| |||
See notes to financial statements. |
16
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 10,504,694 |
|
|
| 12,012,796 |
| |
Net realized gain (loss) on investments |
| (35,698,555) |
|
|
| (20,788,216) |
| ||
Net unrealized appreciation (depreciation) |
| 19,524,970 |
|
|
| 35,382,347 |
| ||
Net Increase (Decrease) in Net Assets | (5,668,891) |
|
|
| 26,606,927 |
| |||
Distributions to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (4,042,893) |
|
|
| (1,985,751) |
| |
Class C |
|
| (793,954) |
|
|
| (565,274) |
| |
Class I |
|
| (15,224,045) |
|
|
| (4,536,404) |
| |
Class Y |
|
| (21,341,116) |
|
|
| (17,423,097) |
| |
Total Distributions |
|
| (41,402,008) |
|
|
| (24,510,526) |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 36,400,621 |
|
|
| 135,924,150 |
| |
Class C |
|
| 5,635,308 |
|
|
| 22,230,757 |
| |
Class I |
|
| 344,267,864 |
|
|
| 468,457,613 |
| |
Class Y |
|
| 170,469,281 |
|
|
| 393,078,796 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 3,988,624 |
|
|
| 1,985,751 |
| |
Class C |
|
| 792,979 |
|
|
| 565,274 |
| |
Class I |
|
| 14,782,333 |
|
|
| 4,412,721 |
| |
Class Y |
|
| 10,697,251 |
|
|
| 10,077,228 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (147,475,931) |
|
|
| (30,295,189) |
| |
Class C |
|
| (6,248,481) |
|
|
| (3,502,241) |
| |
Class I |
|
| (248,889,819) |
|
|
| (67,046,742) |
| |
Class Y |
|
| (129,434,803) |
|
|
| (104,900,705) |
| |
Increase (Decrease) in Net Assets | 54,985,227 |
|
|
| 830,987,413 |
| |||
Total Increase (Decrease) in Net Assets | 7,914,328 |
|
|
| 833,083,814 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 1,410,923,685 |
|
|
| 577,839,871 |
| |
End of Period |
|
| 1,418,838,013 |
|
|
| 1,410,923,685 |
| |
Undistributed (distributions in excess of) | (6,245,911) |
|
|
| 24,651,403 |
|
17
STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 2,582,306 |
|
|
| 9,236,847 |
| |
Shares issued for distributions reinvested |
|
| 287,158 |
|
|
| 142,245 |
| |
Shares redeemed |
|
| (10,526,328) |
|
|
| (2,072,271) |
| |
Net Increase (Decrease) in Shares Outstanding | (7,656,864) |
|
|
| 7,306,821 |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 409,350 |
|
|
| 1,550,131 |
| |
Shares issued for distributions reinvested |
|
| 58,393 |
|
|
| 41,321 |
| |
Shares redeemed |
|
| (456,344) |
|
|
| (244,973) |
| |
Net Increase (Decrease) in Shares Outstanding | 11,399 |
|
|
| 1,346,479 |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 24,302,344 |
|
|
| 31,624,601 |
| |
Shares issued for distributions reinvested |
|
| 1,061,187 |
|
|
| 315,645 |
| |
Shares redeemed |
|
| (17,658,383) |
|
|
| (4,550,565) |
| |
Net Increase (Decrease) in Shares Outstanding | 7,705,148 |
|
|
| 27,389,681 |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 12,094,158 |
|
|
| 26,614,889 |
| |
Shares issued for distributions reinvested |
|
| 767,929 |
|
|
| 720,317 |
| |
Shares redeemed |
|
| (9,162,353) |
|
|
| (7,250,679) |
| |
Net Increase (Decrease) in Shares Outstanding | 3,699,734 |
|
|
| 20,084,527 |
| |||
a | During the period ended April 30, 2017, 79,620 Class A shares representing $1,101,947 were exchanged for 79,391 Class I shares, 355 Class C shares representing $4,844 were exchanged for 345 Class I shares and 204,034 Class Y shares representing $2,896,319 were exchanged for 204,158 Class I shares and during the period ending October 31, 2016, 498 Class A shares representing $7,336 were exchanged for 496 Class I shares and 167,112 Class Y shares representing $2,457,452 were exchanged for 167,167 Class I shares. | ||||||||
See notes to financial statements. |
18
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.72 | 14.61 | 15.11 | 14.75 | 14.07 | 13.51 |
Investment Operations: | ||||||
Investment income—neta | .07 | .17 | .17 | .36 | .21 | .17 |
Net realized and unrealized | (.16) | .51 | .01b | .17 | .54 | .53 |
Total from Investment Operations | (.09) | .68 | .18 | .53 | .75 | .70 |
Distributions: | ||||||
Dividends from | (.39) | (.57) | (.68) | (.04) | (.07) | (.07) |
Dividends from net realized | - | - | - | (.13) | - | (.07) |
Total Distributions | (.39) | (.57) | (.68) | (.17) | (.07) | (.14) |
Net asset value, end of period | 14.24 | 14.72 | 14.61 | 15.11 | 14.75 | 14.07 |
Total Return (%)c | (.57)d | 4.87 | 1.22 | 3.63 | 5.42 | 5.16 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.17e | 1.16 | 1.15 | 1.20 | 1.49 | 1.72 |
Ratio of net expenses to | 1.15e | 1.15 | 1.15 | 1.15 | 1.47 | 1.50 |
Ratio of net investment income | .95e | 1.15 | 1.16 | 2.38 | 1.48 | 1.26 |
Portfolio Turnover Rate | 23.18d | 57.17 | 68.92 | 47.01 | 44.96 | 53.24 |
Net Assets, end of period ($ x 1,000) | 43,418 | 157,624 | 49,672 | 56,501 | 35,478 | 17,088 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
19
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.34 | 14.26 | 14.79 | 14.51 | 13.89 | 13.37 |
Investment Operations: | ||||||
Investment income—neta | .03 | .06 | .06 | .21 | .08 | .06 |
Net realized and unrealized | (.17) | .50 | .02b | .20 | .55 | .53 |
Total from Investment Operations | (.14) | .56 | .08 | .41 | .63 | .59 |
Distributions: | ||||||
Dividends from | (.31) | (.48) | (.61) | - | (.01) | - |
Dividends from net realized | - | - | - | (.13) | - | (.07) |
Total Distributions | (.31) | (.48) | (.61) | (.13) | (.01) | (.07) |
Net asset value, end of period | 13.89 | 14.34 | 14.26 | 14.79 | 14.51 | 13.89 |
Total Return (%)c | (.95)d | 4.12 | .49 | 2.87 | 4.58 | 4.39 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.91e | 1.90 | 1.91 | 1.96 | 2.21 | 2.56 |
Ratio of net expenses | 1.90e | 1.90 | 1.90 | 1.90 | 2.18 | 2.25 |
Ratio of net investment income | .49e | .44 | .39 | 1.41 | .58 | .51 |
Portfolio Turnover Rate | 23.18d | 57.17 | 68.92 | 47.01 | 44.96 | 53.24 |
Net Assets, end of period ($ x 1,000) | 34,907 | 35,861 | 16,470 | 11,969 | 5,671 | 944 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Exclusive of sales charge.
dNot annualized.
eAnnualized.
See notes to financial statements.
20
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.78 | 14.68 | 15.18 | 14.81 | 14.10 | 13.56 |
Investment Operations: | ||||||
Investment income—neta | .11 | .20 | .21 | .38 | .26 | .21 |
Net realized and unrealized | (.18) | .52 | .01b | .19 | .54 | .53 |
Total from Investment Operations | (.07) | .72 | .22 | .57 | .80 | .74 |
Distributions: | ||||||
Dividends from | (.41) | (.62) | (.72) | (.07) | (.09) | (.13) |
Dividends from net realized | - | - | - | (.13) | - | (.07) |
Total Distributions | (.41) | (.62) | (.72) | (.20) | (.09) | (.20) |
Net asset value, end of period | 14.30 | 14.78 | 14.68 | 15.18 | 14.81 | 14.10 |
Total Return (%) | (.37)c | 5.16 | 1.49 | 3.89 | 5.79 | 5.45 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .91d | .88 | .86 | .90 | 1.11 | 1.35 |
Ratio of net expenses | .90d | .88 | .86 | .90 | 1.11 | 1.25 |
Ratio of net investment income | 1.54d | 1.36 | 1.40 | 2.51 | 1.84 | 1.55 |
Portfolio Turnover Rate | 23.18c | 57.17 | 68.92 | 47.01 | 44.96 | 53.24 |
Net Assets, end of period ($ x 1,000) | 603,111 | 509,712 | 104,057 | 74,438 | 60,482 | 52,410 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Not annualized.
d Annualized.
See notes to financial statements.
21
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||
April 30, 2017 | Year Ended October 31, | ||||
Class Y Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013a |
Per Share Data ($): | |||||
Net asset value, beginning of period | 14.79 | 14.69 | 15.18 | 14.81 | 14.16 |
Investment Operations: | |||||
Investment income—netb | .11 | .22 | .22 | .26 | .05 |
Net realized and unrealized | (.17) | .51 | .02c | .31 | .60 |
Total from Investment Operations | (.06) | .73 | .24 | .57 | .65 |
Distributions: | |||||
Dividends from | (.42) | (.63) | (.73) | (.07) | - |
Dividends from net realized | - | - | - | (.13) | - |
Total Distributions | (.42) | (.63) | (.73) | (.20) | - |
Net asset value, end of period | 14.31 | 14.79 | 14.69 | 15.18 | 14.81 |
Total Return (%) | (.33)d | 5.18 | 1.57 | 3.89 | 4.59d |
Ratios/Supplemental Data (%): | |||||
Ratio of total expenses | .82e | .81 | .83 | .88 | 1.09e |
Ratio of net expenses | .82e | .81 | .83 | .88 | 1.09e |
Ratio of net investment income | 1.58e | 1.53 | 1.45 | 1.77 | 1.10e |
Portfolio Turnover Rate | 23.18d | 57.17 | 68.92 | 47.01 | 44.96 |
Net Assets, end of period ($ x 1,000) | 737,402 | 707,727 | 407,642 | 243,251 | 41,381 |
a From July 1, 2013 (commencement of initial offering) to October 31, 2013.
b Based on average shares outstanding.
c In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
d Not annualized.
e Annualized.
See notes to financial statements.
22
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Global Real Return Fund (the “fund”) is a separate diversified series of Advantage 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 ten series, including the fund. The fund’s investment objective is to seek total return (consisting of capital appreciation and income). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management (North America) Limited (“Newton”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser.
Effective March 31, 2017, the fund authorized the issuance of Class T shares, but, as of the date of this report, the fund did not offer Class T shares for purchase. The fund’s authorized shares were increased from 400 million to 500 million and 100 million Class T shares were authorized.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares. The fund is authorized to issue 100 million shares of $.001 par value Common Stock in each of the following classes of shares: Class A, Class C, Class I, Class T and Class Y. Class A and Class T shares generally are subject to a sales charge imposed at the time of purchase. Class C shares are subject to a contingent deferred sales charge (“CDSC”) imposed on Class C shares redeemed within one year of purchase. Class I and Class Y 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, the allocation of certain transfer agency costs, 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
23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
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.
24
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 debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency exchange contracts (“forward contracts”), are valued each business day by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments are valued as determined by the Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
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 the Service approved by the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, 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. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. 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, 2017 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: | ||||
Corporate Bonds† | - | 67,178,966 | - | 67,178,966 |
Equity Securities –Domestic | 253,840,372 | - | - | 253,840,372 |
Equity Securities –Foreign | 601,308,758 | - | - | 601,308,758 |
Exchange –Traded Funds | 20,692,397 | - | - | 20,692,397 |
26
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) (continued) | ||||
Foreign Government | - | 125,411,731 | - | 125,411,731 |
Registered Investment Company | 33,182,518 | - | - | 33,182,518 |
U.S. Treasury | - | 274,502,889 | - | 274,502,889 |
Rights† | 1,464,358 | - | - | 1,464,358 |
Other Financial Instruments: | ||||
Futures†† | 549,799 | - | - | 549,799 |
Forward Foreign Currency | - | 15,124,248 | - | 15,124,248 |
Options Purchased | 1,199,087 | - | - | 1,199,087 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (4,294,158) | - | - | (4,294,158) |
Forward Foreign Currency | - | (17,951,142) | - | (17,951,142) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2017, there were no transfers between levels of the fair value hierarchy.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis.
27
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.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2017 were as follows:
Affiliated Investment Company | Value | Purchases ($) | Sales ($) | Value | Net |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 77,404,811 | 382,184,259 | 426,406,552 | 33,182,518 | 2.4 |
In addition, an affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Investments in affiliated companies during the period ended April 30, 2017 were as follows:
Affiliated | Value | Purchases ($) | Sales ($) | Net Realized |
PowerShares DB | 22,442,750 | - | 1,374,275 | (589,668) |
Affiliated | Change in Net Unrealized Appreciation | Value | Net | Dividends/ |
PowerShares DB | 213,590 | 20,692,397 | 1.5 | - |
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if
28
any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2017, 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, 2017, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2016 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $42,377,637 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2016. If not applied, the fund has $13,001,271 of short-term capital losses and $29,376,366 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2016 was as follows: ordinary income $24,510,526. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $810 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes,
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2017, the fund did not borrow under the Facilities.
NOTE 3—Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of .75% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 1, 2016 through March 1, 2018, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .90% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $22,329 during the period ended April 30, 2017.
Pursuant to a sub-investment advisory agreement between Dreyfus and Newton, Dreyfus pays Newton an annual fee of .36% of the value of the fund’s average daily net assets.
During the period ended April 30, 2017, the Distributor retained $414 from commissions earned on sales of the fund’s Class A shares and $7,339 from CDSCs on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2017, Class C shares were charged $130,794 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their 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. 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
30, 2017, Class A and Class C shares were charged $132,423 and $43,598, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2017, the fund was charged $7,905 for transfer agency services and $541 for cash management services. These fees are included in Shareholder servicing costs in the Statement of Operations. Cash management fees were partially offset by earnings credits of $490.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2017, the fund was charged $193,047 pursuant to the custody agreement.
During the period ended April 30, 2017, the fund was charged $5,751 for services performed by the Chief Compliance Officer and his staff.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $891,008, Distribution Plan fees $21,639, Shareholder Services Plan fees $16,114, custodian fees $99,239, Chief Compliance Officer fees $3,861 and transfer agency fees $4,978.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures, options transactions and forward contracts, during the period ended April 30, 2017, amounted to $369,574,257 and $298,695,490, respectively.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2017 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity 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, 2017 are set forth in the Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of equities, interest rates, foreign currencies or as a substitute for an investment. The fund is subject to market risk, interest rate risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to
32
buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
The following summarizes the fund’s call/put options written during the period ended April 30, 2017:
Options Terminated | ||||
Number of | Premiums | Net Realized | ||
Options Written: | Contracts | Received ($) | Cost ($) | Gain ($) |
Contracts outstanding | - | - | ||
Contracts written | 2,124 | 760,737 | ||
Contracts terminated: | ||||
Contracts closed | 2,124 | 760,737 | 164,599 | 596,138 |
Contracts outstanding | - | - |
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2017 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, 2017 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 1,002,407 | 1 | Interest rate risk | - | |||
Equity risk | 746,479 | 1,2 | Equity risk | (4,294,158) | 2 | ||
Foreign exchange risk | 15,124,248 | 3 | Foreign exchange risk | (17,951,142) | 3 | ||
Gross fair value of | 16,873,134 | (22,245,300) | |||||
Statement of Assets and Liabilities location: | |||||||
1 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
2 | 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. | ||||||
3 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
34
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2017 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| ||
Interest | - | (365,804) | - | (365,804) | ||||||
Equity | (39,066,589) | (994,836) | - | (40,061,425) | ||||||
Foreign | - | (1,147,047) | 11,176,960 | 10,029,913 | ||||||
Total | (39,066,589) | (2,507,687) | 11,176,960 | (30,397,316) | ||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | - | (234,811) | - | (234,811) | ||||||
Equity | (11,354,217) | (663,944) | - | (12,018,161) | ||||||
Foreign | - | - | (14,397,234) | (14,397,234) | ||||||
Total | (11,354,217) | (898,755) | (14,397,234) | (26,650,206) | ||||||
Statement of Operations location: | ||||||||||
1 | Net realized gain (loss) on futures. | |||||||||
2 | Net realized gain (loss) on options transactions. | |||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | |||||||||
4 | Net unrealized appreciation (depreciation) on futures. | |||||||||
5 | Net unrealized appreciation (depreciation) on options transactions. | |||||||||
6 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 549,799 | (4,294,158) | |||
Options | 1,199,087 | - | |||
Forward contracts | 15,124,248 | (17,951,142) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 16,873,134 | (22,245,300) | |||
Derivatives not subject to | |||||
Master Agreements | (1,748,886) | 4,294,158 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 15,124,248 | (17,951,142) |
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, 2017:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Royal Bank | 10,131,334 | (117,070) | - | 10,014,264 | ||
State Street | 4,992,914 | (4,992,914) | - | - | ||
Total | 15,124,248 | (5,109,984) | - | 10,014,264 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Citigroup | (47,194) | - | - | (47,194) | ||
Royal Bank | (117,070) | 117,070 | - | - | ||
State Street | (17,719,632) | 4,992,914 | - | (12,726,718) | ||
UBS | (67,246) | - | - | (67,246) | ||
Total | (17,951,142) | 5,109,984 | - | (12,841,158) | ||
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. |
36
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2017:
|
| Average Market Value ($) |
Equity futures | 398,146,446 | |
Equity options contracts | 294,943 | |
Interest rate options contracts | 1,064,906 | |
Foreign currency options contracts | 23,311 | |
Forward contracts | 770,601,492 | |
At April 30, 2017, accumulated net unrealized appreciation on investments was $58,730,757, consisting of $102,935,601 gross unrealized appreciation and $44,204,844 gross unrealized depreciation.
At April 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
37
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 9-10, 2017, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. 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 Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial
38
statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. They also considered that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of Dreyfus, its affiliates and/or the Sub-Adviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and Performance Universe medians for all periods except for the one- and two-year periods when it was below median (only one basis point below the Performance Universe in the two-year period). Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark indices and noted that the fund’s performance was above the returns of both indices in four of the six calendar years shown, including in 2016.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was below the Expense Group median and the fund’s actual management fee and total expenses were below the Expense Group and Expense Universe medians (lowest expenses in the Expense Group).
Dreyfus representatives stated that Dreyfus has contractually agreed to waive receipt of its fees and/or assume the expenses of the fund, until March 1, 2018, so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 0.90% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Broadridge category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates 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. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board
39
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements 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. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, 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 Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· While the Board expressed some concern about the fund’s relative one-year performance, the Board generally was satisfied with the fund’s overall performance.
40
· The Board concluded that the fees paid to Dreyfus and the Subadviser supported the renewal of the Agreements in light of the considerations described above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. 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 Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
41
Dreyfus Global Real Return Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Sub-Investment Adviser
Newton Investment Management
(North America) Limited
160 Queen Victoria Street
London, EC4V, 4LA, UK
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbols: | Class A: DRRAX Class C: DRRCX Class I: DRRIX Class Y: DRRYX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (phone 1-800-SEC-0330 for information).
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2017 MBSC Securities Corporation |
Dreyfus Total Emerging Markets Fund
SEMIANNUAL REPORT April 30, 2017 |
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes. |
The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
Currency Exchange Contracts | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Total Emerging Markets Fund, covering the six-month period from November 1, 2016 through April 30, 2017. 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.
Stocks advanced solidly but higher-quality bonds lost a degree of value over the reporting period amid heightened market volatility stemming from various economic and political developments. After giving back a portion of their previous gains due to uncertainty in advance of U.S. elections, equity markets rallied to a series of new highs in the wake of the election’s unexpected outcome as investors revised their expectations for U.S. fiscal, regulatory, and tax policies. Generally strong economic data and corporate earnings continued to support stock prices over the first four months of 2017. In the bond market, yields of U.S. government securities moved higher and prices fell in response to two short-term interest-rate hikes and rising longer-term rates, while lower-rated corporate-backed bonds continued to advance in anticipation of a more business-friendly market environment.
Some asset classes and industry groups seem likely to continue to benefit from a changing economic and geopolitical landscape, while others probably will face challenges as conditions evolve. Consequently, selectivity seems likely to be an important determinant of investment success in the months ahead. As always, we encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
May 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through April 30, 2017, as provided by Sean P. Fitzgibbon, Federico Garcia Zamora, and Josephine Shea, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2017, Dreyfus Total Emerging Markets Fund’s Class A shares produced a total return of 10.38%, Class C shares returned 10.01%, Class I shares returned 10.59%, and Class Y shares returned 10.64%.1 In comparison, the MSCI Emerging Markets Index (the “Index”), the fund’s benchmark, returned 8.88% for the same period.2 The fund’s secondary benchmark index, the hybrid “Total EM Index,” returned 6.92%. The Total EM Index is a blend of 70% MSCI Emerging Markets Index/15% J.P. Morgan GB Index-EM Global Diversified/7.5% J.P. Morgan EMB Index Global/7.5% J.P. Morgan CEMB Index Diversified.2,3,4,5,6
Strengthening global economic fundamentals and rising corporate earnings drove emerging-market equities higher, while emerging-market bonds rallied as fears of protectionist U.S. trade policies waned. Strong individual security selections enabled the fund to outperform its benchmarks.
The Fund’s Investment Approach
The fund seeks to maximize total return. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in the securities of emerging-market issuers and other investments that are tied economically to emerging-market countries.
The portfolio construction process starts with assessing the risk and return expectations of equities, bonds and currencies for each emerging-market country over a 12-month period. These expectations are guided primarily by our common global macroeconomic view and top-down country-specific outlooks. Moreover, these expectations also reflect our bottom-up valuation assessments of individual securities. The fund’s assets are then allocated to what we consider the more attractive emerging-market asset classes and countries. After making asset and country allocation decisions, we select individual securities for the fund’s portfolio.
Strong Performance Across Asset Classes
Emerging-market stocks and bonds started the reporting period on a weak note, pressured by uncertainty regarding U.S. foreign and trade policies, fluctuating currency values, and the prospect of higher short-term U.S. interest rates. Commodity-exporting markets, such as Russia and Brazil, fared relatively well at the time, bolstered by rising oil and industrial metals prices. These trends reversed in the closing weeks of 2016, when investor confidence in most emerging markets was bolstered by signs of accelerating economic growth and softening U.S. dollar strength.
In Mexico and China, stocks rebounded when the newly elected U.S. administration delayed or reassessed the implementation of those policies. On the other hand, weakening oil prices dampened the performance of stocks in energy-exporting markets. More economically sensitive and growth-oriented industry groups, such as the information technology, materials and financials sectors, led the Index’s rise over the remainder of the reporting period, while the higher-yielding, traditionally defensive utilities, telecommunication services, consumer staples, and health care sectors trailed.
In emerging bond markets, declines early in the reporting period were more than offset when economic fundamentals improved, fears of trade policy changes receded, and capital flowed back toward higher-yielding fixed-income securities in developing nations.
Performance Enhanced by Security Selections
The fund’s equity holdings bolstered relative results, led by strong individual stock selections in China, such as hotel chain China Lodging Group, Internet giant Tencent Holdings, and online travel agency Ctrip.com International. In Taiwan, electronics components maker Largan Precision rose in anticipation of intensifying customer demand, while pneumatic tool maker Airtac International Group
3
DISCUSSION OF FUND PERFORMANCE (continued)
exhibited steady revenue growth and lower costs. Other top equity holdings included South Korean pharmaceutical maker HUGUL and KB Financial Group, South Korea’s largest money center bank.
Disappointments in the stock portfolio included the fund’s overweighted exposure to the lagging Indonesian market as well as individual holdings such as Matahari Department Store and telecommunications provider Telekomunikasi Indonesia. Lack of exposure to Polish stocks further detracted from returns, as did individual holdings including Thai Beverage, Barclays Africa Group, and Brazilian electric utility Cia Energética de Minas Gerais.
Among bonds, the fund benefited from overweighted exposure to U.S.-dollar-denominated bonds in Iraq, Russia, and India, as well as local-currency-denominated positions in Argentina. Currency positions in the Brazilian real, Colombian peso, Indian rupee, and Russian ruble also added value. However, bonds in Turkey and overweighted exposure to the Turkish lira and Malaysian ringgit fared less well. The fund employed forward contracts to establish its currency positions.
Improving Emerging-Market Fundamentals
With optimism that economic conditions and corporate earnings will improve in many developing nations, equity and fixed-income valuations remain attractive, which may prompt global investors to allocate more capital to the emerging markets. As of the end of the reporting period, we have increased the fund’s exposure to the Brazilian stock market, where a new cycle of monetary easing is likely to bolster a burgeoning recovery, while trimming exposure to Indonesian, Turkish, and Chinese stocks. The fund’s bond portfolio ended the reporting period with overweighted exposure to bonds and currencies in Brazil, India, and Indonesia, but relatively light positions in Hungary, Singapore, and Thailand.
May 15, 2017
Please note: the position in any security highlighted with italicized typeface was sold during the reporting period.
Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
Bonds are subject generally to interest-rate, credit, liquidity, and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.
Emerging markets tend to be more volatile than the markets of more mature economies and generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. The securities of companies located in emerging markets are often subject to rapid and large changes in price. An investment in this fund should be considered only as a supplement to a complete investment program for those investors willing to accept the greater risks associated with investing in emerging-market countries.
Investing internationally involves special risks, including changes in currency exchange rates, political, economic, and social instability, a lack of comprehensive company information, differing auditing and legal standards, and less market liquidity. These risks generally are greater with emerging-market countries than with more economically and politically established foreign countries.
¹ Total return includes reinvestment of dividends and any capital gains paid and does not take into consideration the maximum initial sales charge in the case of Class A shares, or the applicable contingent deferred sales charges imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. 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. Return figures provided reflect the absorption of certain fund expenses by The Dreyfus Corporation pursuant to an agreement in effect until March 1, 2018, at which time it may be extended, terminated, or modified. Had these expenses not been absorbed, the fund’s returns would have been lower for Class A, Class C, Class I and Class Y.
2 Source: Lipper Inc. — Reflects reinvestment of net dividends and, where applicable, capital gains distributions. The MSCI Emerging Markets Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance of emerging markets. Investors cannot invest directly in any index.
3 Source: Lipper Inc. — The J.P. Morgan GB Index-EM Global Diversified tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds. The diversified index limits the exposure of some of the larger countries. Investors cannot invest directly in any index.
4 Source: Lipper Inc. — The J.P. Morgan EMB Index Global tracks the total return for the U.S. dollar-denominated emerging-markets debt, including Brady bonds, Eurobonds and loans. Investors cannot invest directly in any index.
5 Source: Lipper Inc. — The J.P. Morgan CEMB Index Diversified tracks U.S. dollar-denominated debt issued by emerging-market corporations. The diversified index limits the exposure of some of the larger countries. Investors cannot invest directly in any index.
6 Source: FactSet — The Total EM Index is an unmanaged hybrid index composed of 70% MSCI Emerging Markets Index /15% J.P. Morgan GB Index-EM Global Diversified /7.5% J.P. Morgan GB Index-EM Global/7.5% J.P. Morgan GB Index-EM Diversified. Investors cannot invest directly in any index.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Total Emerging Markets Fund from November 1, 2016 to April 30, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||||
assuming actual returns for the six months ended April 30, 2017 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $8.35 | $12.13 | $6.58 | $6.58 | ||||||
Ending value (after expenses) | $1,103.80 | $1,100.10 | $1,105.90 | $1,106.40 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $8.00 | $11.63 | $6.31 | $6.31 | ||||
Ending value (after expenses) | $1,016.86 | $1,013.24 | $1,018.55 | $1,018.55 |
† Expenses are equal to the fund’s annualized expense ratio of 1.60% for Class A, 2.33% for Class C, 1.26% for Class I and 1.26% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2017 (Unaudited)
Bonds and Notes - 23.0% | Principal | a | Value ($) | |||||||
Argentina - 3.0% | ||||||||||
Argentine Government, Sr. Unscd. Bonds, 6.88%, 1/26/27 | 280,000 | 296,520 | ||||||||
Argentine Government, Sr. Unscd. Notes, 5.83%, 12/31/33 | ARS | 805,000 | b,c | 398,238 | ||||||
City of Buenos Aires Argentina, Unscd. Bonds, Ser. 22, 22.63%, 3/29/24 | ARS | 27,100,000 | b | 1,810,921 | ||||||
Province of Cordoba, Sr. Unscd. Notes, 7.45%, 9/1/24 | 165,000 | d | 172,057 | |||||||
Provincia de Buenos Aires/Argentina, 7.88%, 6/15/27 | 300,000 | d | 313,929 | |||||||
YPF, Sr. Unscd. Notes, 8.50%, 7/28/25 | 470,000 | 532,863 | ||||||||
3,524,528 | ||||||||||
Austria - .5% | ||||||||||
Suzano Austria, Gtd. Notes, 7.00%, 3/16/47 | 600,000 | d | 594,600 | |||||||
Bahrain - .8% | ||||||||||
Bahraini Government, Sr. Unscd. Notes, 7.00%, 1/26/26 | 915,000 | 981,283 | ||||||||
China - .3% | ||||||||||
State Grid Overseas, Gtd. Notes, 3.50%, 5/4/27 | 290,000 | d | 289,898 | |||||||
Colombia - 1.5% | ||||||||||
Colombian Government, Bonds, Ser. B, 10.00%, 7/24/24 | COP | 930,000,000 | 387,616 | |||||||
Ecopetrol, Sr. Unscd. Notes, 5.38%, 6/26/26 | 300,000 | 308,250 | ||||||||
Ecopetrol, Sr. Unscd. Notes, 5.88%, 5/28/45 | 520,000 | 479,804 | ||||||||
Emgesa, Sr. Unscd. Notes, 8.75%, 1/25/21 | COP | 237,000,000 | 83,570 | |||||||
Empresas Publicas de Medellin, Sr. Unscd. Notes, 8.38%, 2/1/21 | COP | 684,000,000 | 236,564 | |||||||
Empresas Publicas de Medellin, Sr. Unscd. Notes, 7.63%, 9/10/24 | COP | 230,000,000 | d | 77,576 | ||||||
Findeter, Sr. Unscd. Notes, 7.88%, 8/12/24 | COP | 450,000,000 | d | 150,127 | ||||||
1,723,507 | ||||||||||
Georgia - .4% | ||||||||||
BGEO Group, 6.00%, 7/26/23 | 400,000 | 404,460 | ||||||||
Guatemala - .3% | ||||||||||
Central American Bottling , Gtd. Notes, 5.75%, 1/31/27 | 320,000 | d | 340,032 | |||||||
Iraq - 1.2% | ||||||||||
Iraqi Government, Unscd. Bonds, 5.80%, 1/15/28 | 1,530,000 | 1,373,175 | ||||||||
Ireland - .8% | ||||||||||
Borets Finance, Gtd. Notes, 6.50%, 4/7/22 | 300,000 | d | 311,625 | |||||||
MMC Norilsk Nickel, Sr. Unscd. Notes, 4.10%, 4/11/23 | 425,000 | d | 424,209 | |||||||
Phosagro Bond Funding, Sr. Unscd. Notes, 3.95%, 11/3/21 | 200,000 | d | 200,352 | |||||||
936,186 |
6
Bonds and Notes - 23.0% (continued) | Principal | a | Value ($) | |||||||
Ivory Coast - .5% | ||||||||||
Ivory Coast Government, Sr. Unscd. Notes, 5.38%, 7/23/24 | 560,000 | 547,581 | ||||||||
Kazakhstan - .6% | ||||||||||
KazMunayGas National, Sr. Unscd. Notes, 4.40%, 4/30/23 | 700,000 | 708,820 | ||||||||
Kenya - .6% | ||||||||||
Kenyan Government, Sr. Unscd. Notes, 6.88%, 6/24/24 | 640,000 | 650,144 | ||||||||
Lebanon - .9% | ||||||||||
Lebanese Government, Sr. Unscd. Notes, 6.20%, 2/26/25 | 830,000 | 831,602 | ||||||||
Lebanese Government, Sr. Unscd. Notes, 6.60%, 11/27/26 | 150,000 | 152,385 | ||||||||
983,987 | ||||||||||
Luxembourg - 1.5% | ||||||||||
Cosan Luxembourg, Gtd. Notes, 7.00%, 1/20/27 | 550,000 | d | 576,840 | |||||||
Evraz Group, Sr. Unscd. Notes, 5.38%, 3/20/23 | 480,000 | d | 483,576 | |||||||
Rumo Luxembourg, Gtd. Notes, 7.38%, 2/9/24 | 600,000 | d | 626,700 | |||||||
1,687,116 | ||||||||||
Malaysia - 1.0% | ||||||||||
Malaysian Government, Sr. Unscd. Bonds, Ser. 0316, 3.90%, 11/30/26 | MYR | 4,985,000 | 1,134,310 | |||||||
Mexico - 1.5% | ||||||||||
Metalsa, Gtd. Notes, 4.90%, 4/24/23 | 560,000 | 548,100 | ||||||||
Mexican Government, Bonds, Ser. M, 5.75%, 3/5/26 | MXN | 11,860,000 | 572,895 | |||||||
Mexican Government, Bonds, Ser. M 20, 10.00%, 12/5/24 | MXN | 7,080,000 | 439,304 | |||||||
Sixsigma Networks Mexico, Gtd. Notes, 8.25%, 11/7/21 | 200,000 | 201,000 | ||||||||
1,761,299 | ||||||||||
Mongolia - .5% | ||||||||||
Mongolian Government, Sr. Unscd. Notes, 10.88%, 4/6/21 | 500,000 | 583,146 | ||||||||
Morocco - 1.0% | ||||||||||
Office Cherifien des Phosphates, Sr. Unscd. Notes, 6.88%, 4/25/44 | 1,040,000 | 1,128,802 | ||||||||
Netherlands - .8% | ||||||||||
VTR Finance, Sr. Scd. Notes, 6.88%, 1/15/24 | 880,000 | 937,200 | ||||||||
Paraguay - .2% | ||||||||||
Paraguayan Government, Sr. Unscd. Notes, 4.70%, 3/27/27 | 230,000 | d | 234,945 | |||||||
Peru - .6% | ||||||||||
Orazul Energy, Gtd. Notes, 5.63%, 4/28/27 | 200,000 | d | 200,310 | |||||||
Union Andina De Cementos, Sr. Unscd. Notes, 5.88%, 10/30/21 | 500,000 | 522,500 | ||||||||
722,810 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 23.0% (continued) | Principal | a | Value ($) | |||||||
Russia - .6% | ||||||||||
Russian Government, Bonds, Ser. 6215, 7.00%, 8/16/23 | RUB | 17,140,000 | 292,335 | |||||||
Vnesheconombank, Sr. Unscd. Notes, 6.80%, 11/22/25 | 400,000 | 447,690 | ||||||||
740,025 | ||||||||||
Senegal - .8% | ||||||||||
Senegalese Government, Bonds, 6.25%, 7/30/24 | 900,000 | 923,850 | ||||||||
Turkey - 1.4% | ||||||||||
Turkish Government, Bonds, 5.75%, 3/22/24 | 760,000 | 807,967 | ||||||||
Turkish Government, Bonds, 10.60%, 2/11/26 | TRY | 860,000 | 248,537 | |||||||
Turkiye Vakiflar Bankasi, Sr. Unscd. Notes, 5.50%, 10/27/21 | 600,000 | d | 604,912 | |||||||
1,661,416 | ||||||||||
Ukraine - .8% | ||||||||||
Ukrainian Government, Bonds, 7.75%, 9/1/20 | 970,000 | 979,399 | ||||||||
United Arab Emirates - .7% | ||||||||||
DP World, Sr. Unscd. Notes, 6.85%, 7/2/37 | 700,000 | 825,125 | ||||||||
United Kingdom - .2% | ||||||||||
Vedanta Resources, Sr. Unscd. Notes, 6.38%, 7/30/22 | 235,000 | d | 238,760 | |||||||
Total Bonds and Notes | 26,616,404 | |||||||||
Common Stocks - 69.1% | Shares | Value ($) | ||||||||
Brazil - 3.0% | ||||||||||
Ambev, ADR | 377,400 | 2,162,502 | ||||||||
JBS | 403,800 | 1,306,541 | ||||||||
3,469,043 | ||||||||||
China - 23.0% | ||||||||||
Alibaba Group Holding, ADR | 26,000 | e | 3,003,000 | |||||||
Anhui Conch Cement, Cl. H | 592,500 | 2,075,713 | ||||||||
ANTA Sports Products | 455,000 | 1,278,131 | ||||||||
Beijing Capital International Airport, Cl. H | 1,018,000 | e | 1,437,019 | |||||||
China Construction Bank, Cl. H | 2,311,000 | 1,877,714 | ||||||||
China Lodging Group | 41,100 | e | 2,917,278 | |||||||
Ctrip.com International, ADR | 28,300 | e | 1,429,433 | |||||||
PICC Property & Casualty, Cl. H | 1,146,000 | 1,844,597 | ||||||||
Ping An Insurance Group Company of China, Cl. H | 318,500 | 1,793,478 | ||||||||
Shanghai Pharmaceuticals Holding, Cl. H | 801,000 | 2,121,350 | ||||||||
Tencent Holdings | 215,700 | 6,749,681 | ||||||||
26,527,394 | ||||||||||
Hungary - 2.3% | ||||||||||
Richter Gedeon | 109,956 | 2,662,518 | ||||||||
India - 3.8% | ||||||||||
ICICI Bank, ADR | 196,420 | 1,683,319 | ||||||||
Reliance Industries, GDR | 63,430 | d,e | 2,743,348 | |||||||
4,426,667 |
8
Common Stocks - 69.1% (continued) | Shares | Value ($) | ||||||||
Indonesia - 3.6% | ||||||||||
Bank Rakyat Indonesia | 1,985,700 | 1,921,789 | ||||||||
Telekomunikasi Indonesia | 6,964,600 | 2,283,390 | ||||||||
4,205,179 | ||||||||||
Mexico - 2.6% | ||||||||||
Arca Continental | 153,100 | e | 1,125,809 | |||||||
Grupo Aeroportuario del Centro Norte | 337,300 | e | 1,873,446 | |||||||
2,999,255 | ||||||||||
Peru - .9% | ||||||||||
Credicorp | 6,690 | 1,027,985 | ||||||||
Philippines - .6% | ||||||||||
Puregold Price Club | 859,900 | 717,659 | ||||||||
Russia - 4.0% | ||||||||||
LUKOIL, ADR | 45,500 | 2,254,525 | ||||||||
Sberbank of Russia, ADR | 203,105 | 2,414,918 | ||||||||
4,669,443 | ||||||||||
South Africa - 3.5% | ||||||||||
Barclays Africa Group | 175,548 | 1,931,012 | ||||||||
Clicks Group | 213,446 | 2,143,923 | ||||||||
4,074,935 | ||||||||||
South Korea - 8.7% | ||||||||||
BGF retail | 13,926 | e | 1,340,098 | |||||||
Coway | 26,463 | 2,337,228 | ||||||||
Hugel | 4,500 | e | 1,842,868 | |||||||
KB Financial Group | 61,259 | 2,697,140 | ||||||||
Korea Investment Holdings | 23,359 | 1,053,095 | ||||||||
NAVER | 1,161 | 816,240 | ||||||||
10,086,669 | ||||||||||
Taiwan - 8.2% | ||||||||||
Advanced Semiconductor Engineering | 824,119 | 1,036,602 | ||||||||
Airtac International Group | 171,000 | 1,955,355 | ||||||||
Largan Precision | 17,000 | 2,825,727 | ||||||||
Taiwan Semiconductor Manufacturing | 568,000 | 3,661,662 | ||||||||
9,479,346 | ||||||||||
Thailand - 1.3% | ||||||||||
Thai Beverage | 2,208,000 | 1,461,833 | ||||||||
United Arab Emirates - 1.5% | ||||||||||
Abu Dhabi Commercial Bank | 451,946 | 851,475 | ||||||||
Emaar Properties | 418,168 | 817,437 | ||||||||
1,668,912 | ||||||||||
United States - 2.1% | ||||||||||
iShares MSCI Emerging Markets ETF | 59,600 | 2,387,576 | ||||||||
Total Common Stocks | 79,864,414 | |||||||||
Preferred Stocks - 2.8% | Shares | Value ($) | ||||||||
Brazil - 2.8% | ||||||||||
Cia Energetica de Minas Gerais | 534,900 | 1,496,483 | ||||||||
Petroleo Brasileiro | 387,300 | e | 1,704,630 | |||||||
Total Preferred Stocks | 3,201,113 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Options Purchased - .0% | Face Amount Covered by Contracts | Value ($) | ||||||||
Put Options | ||||||||||
Euro, May 2017 @ EUR 1.09 | 2,100,000 | 17,981 | ||||||||
Other Investment - 3.4% | Shares | Value ($) | ||||||||
Registered Investment Company; | ||||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 3,904,784 | f | 3,904,784 | |||||||
Total Investments (cost $97,173,771) | 98.3% | 113,604,696 | ||||||||
Cash and Receivables (Net) | 1.7% | 1,970,656 | ||||||||
Net Assets | 100.0% | 115,575,352 |
ADR—American Depository Receipt
ETF—Exchange-Traded Fund
GDR—Global Depository Receipt
a Principal amount stated in U.S. Dollars unless otherwise noted.
ARS—Argentine Peso
COP—Colombian Peso
MXN—Mexican Peso
MYR—Malaysian Ringgit
RUB—Russian Ruble
TRY—Turkish Lira
b Variable rate security—rate shown is the interest rate in effect at period end.
c Principal amount for accrual purposes is periodically adjusted based on changes in the Argentine Consumer Price Index.
d Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2017, these securities were valued at $8,583,796 or 7.43% of net assets.
e Non-income producing security.
f Investment in affiliated money market mutual fund.
10
Portfolio Summary (Unaudited) † | Value (%) |
Financial | 17.2 |
Information Technology | 15.7 |
Foreign/Governmental | 13.7 |
Corporate Bonds | 9.3 |
Consumer Discretionary | 9.1 |
Consumer Staples | 6.6 |
Energy | 5.8 |
Health Care | 5.7 |
Industrials | 4.6 |
Money Market Investment | 3.4 |
Exchange-Traded Funds | 2.1 |
Telecommunication Services | 2.0 |
Materials | 1.8 |
Utilities | 1.3 |
Options Purchased | .0 |
98.3 |
† Based on net assets.
See notes to financial statements.
11
STATEMENT OF OPTIONS WRITTEN
April 30, 2017 (Unaudited)
Face Amount Covered by Contracts ($) | Value ($) | ||||
Call Options: | |||||
Euro, | |||||
May 2017 @ EUR 1.04 | 2,100,000 | (1,405) | |||
Mexican Peso, | |||||
May 2017 @ MXN 21.5 | 1,100,000 | (169) | |||
South African Rand, | |||||
July 2017 @ ZAR 14.25 | 1,100,000 | (16,735) | |||
South African Rand, | |||||
July 2017 @ ZAR 14.5 | 1,100,000 | (8,350) | |||
South African Rand, | |||||
July 2017 @ ZAR 15 | 1,100,000 | (5,190) | |||
South Korean Won, | |||||
June 2017 @ KRW 1,200 | 1,000,000 | (2,368) | |||
South Korean Won, | |||||
July 2017 @ KRW 1,200 | 1,100,000 | (7,061) | |||
Turkish Lira, | |||||
May 2017 @ TRY 3.85 | 1,100,000 | (819) | |||
Total Options Written | (42,097) |
See notes to financial statements.
12
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Bank of America | ||||
South Korean Won, | ||||
Expiring | ||||
6/15/2017 | 2,203,060,000 | 1,970,334 | 1,937,114 | (33,220) |
Taiwan Dollar, | ||||
Expiring | ||||
6/15/2017 | 18,715,000 | 619,743 | 621,517 | 1,774 |
Barclays Bank | ||||
Nigerian Naira, | ||||
Expiring | ||||
6/8/2017 | 85,300,000 | 244,412 | 272,912 | 28,500 |
Turkish Lira, | ||||
Expiring | ||||
6/15/2017 | 3,500,000 | 945,554 | 971,517 | 25,963 |
Citigroup | ||||
Argentine Peso, | ||||
Expiring | ||||
7/13/2017 | 20,595,000 | 1,239,595 | 1,288,557 | 48,962 |
Brazilian Real, | ||||
Expiring | ||||
6/2/2017 | 15,365,000 | 4,839,065 | 4,796,379 | (42,686) |
Egyptian Pound, | ||||
Expiring | ||||
5/23/2017 | 3,900,000 | 235,472 | 214,733 | (20,739) |
Indonesian Rupiah, | ||||
Expiring | ||||
6/15/2017 | 2,687,420,000 | 200,779 | 200,482 | (297) |
Malaysian Ringgit, | ||||
Expiring | ||||
6/15/2017 | 5,020,000 | 1,154,687 | 1,153,885 | (802) |
Mexican New Peso, | ||||
Expiring | ||||
6/15/2017 | 21,740,000 | 1,136,316 | 1,145,332 | 9,016 |
Peruvian New Sol, | ||||
Expiring | ||||
6/15/2017 | 7,862,000 | 2,406,489 | 2,410,954 | 4,465 |
South African Rand, | ||||
Expiring | ||||
6/15/2017 | 36,965,000 | 2,761,684 | 2,742,591 | (19,093) |
JP Morgan Chase Bank | ||||
Chilean Peso, | ||||
Expiring | ||||
6/15/2017 | 909,600,000 | 1,379,289 | 1,359,647 | (19,642) |
13
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Purchases: (continued) | |||||||
JP Morgan Chase Bank (continued) | |||||||
Colombian Peso, | |||||||
Expiring | |||||||
6/15/2017 | 9,014,065,000 | 3,041,696 | 3,040,670 | (1,026) | |||
Indian Rupee, | |||||||
Expiring | |||||||
6/15/2017 | 443,810,000 | 6,739,708 | 6,850,770 | 111,062 | |||
Israeli Shekel | |||||||
Expiring | |||||||
6/15/2017 | 3,720,000 | 1,017,466 | 1,028,743 | 11,277 | |||
Malaysian Ringgit, | |||||||
Expiring | |||||||
6/15/2017 | 14,640,000 | 3,302,443 | 3,365,115 | 62,672 | |||
Philippine Peso, | |||||||
Expiring | |||||||
6/15/2017 | 11,340,000 | 224,266 | 226,377 | 2,111 | |||
Polish Zloty, | |||||||
Expiring | |||||||
6/14/2017 | 12,280,000 | 3,146,612 | 3,164,149 | 17,537 | |||
Turkish Lira, | |||||||
Expiring | |||||||
6/15/2017 | 1,665,000 | 441,782 | 462,164 | 20,382 | |||
UBS | |||||||
Czech Koruna, | |||||||
Expiring | |||||||
6/15/2017 | 6,790,000 | 272,296 | 276,397 | 4,101 | |||
9/29/2017 | 6,800,000 | 271,668 | 278,634 | 6,966 | |||
Sales: | |||||||
Barclays Bank | |||||||
Brazilian Real, | |||||||
Expiring | |||||||
6/2/2017 | 6,960,000 | 2,218,680 | 2,172,652 | 46,028 | |||
Citigroup | |||||||
Argentine Peso, | |||||||
Expiring | |||||||
6/15/2017 | 17,190,000 | 1,083,859 | 1,090,252 | (6,393) | |||
Euro, | |||||||
Expiring | |||||||
5/31/2017 | 1,125,000 | 1,206,956 | 1,227,591 | (20,635) | |||
Philippine Peso, | |||||||
Expiring | |||||||
6/15/2017 | 86,180,000 | 1,719,833 | 1,720,383 | (550) | |||
Goldman Sachs International | |||||||
Hungarian Forint, | |||||||
Expiring | |||||||
6/15/2017 | 563,730,000 | 1,984,615 | 1,963,977 | 20,638 |
14
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Sales: (continued) | |||||||
Goldman Sachs International (continued) | |||||||
Mexican New Peso, | |||||||
Expiring | |||||||
5/3/2017 | 31,951 | 1,678 | 1,697 | (19) | |||
HSBC | |||||||
Singapore Dollar, | |||||||
Expiring | |||||||
6/15/2017 | 2,170,000 | 1,559,282 | 1,553,951 | 5,331 | |||
JP Morgan Chase Bank | |||||||
Hungarian Forint, | |||||||
Expiring | |||||||
6/15/2017 | 322,890,000 | 1,136,688 | 1,124,915 | 11,773 | |||
Russian Ruble, | |||||||
Expiring | |||||||
6/15/2017 | 59,315,000 | 1,020,710 | 1,030,400 | (9,690) | |||
Thai Baht, | |||||||
Expiring | |||||||
6/15/2017 | 59,455,000 | 1,725,816 | 1,718,281 | 7,535 | |||
UBS | |||||||
Euro, | |||||||
Expiring | |||||||
6/15/2017 | 255,812 | 272,296 | 279,355 | (7,059) | |||
9/29/2017 | 253,921 | 271,668 | 278,890 | (7,222) | |||
Gross Unrealized Appreciation | 446,093 | ||||||
Gross Unrealized Depreciation | (189,073) |
See notes to financial statements.
15
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
|
| ||
Unaffiliated issuers |
| 93,268,987 |
| 109,699,912 |
| |
Affiliated issuers |
| 3,904,784 |
| 3,904,784 |
| |
Cash |
|
|
|
| 15,000 |
|
Cash denominated in foreign currency |
|
| 398,769 |
| 401,308 |
|
Receivable for shares of Common Stock subscribed |
|
|
|
| 1,311,000 |
|
Unrealized appreciation on forward foreign |
|
|
|
| 446,093 |
|
Dividends and interest receivable |
|
|
|
| 432,936 |
|
Receivable for investment securities sold |
|
|
|
| 248,158 |
|
Prepaid expenses |
|
|
|
| 38,625 |
|
|
|
|
|
| 116,497,816 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 122,017 |
|
Payable for investment securities purchased |
|
|
|
| 535,893 |
|
Unrealized depreciation on forward foreign |
|
|
|
| 189,073 |
|
Outstanding options written, at value (premiums received |
|
|
|
| 42,097 |
|
Payable for shares of Common Stock redeemed |
|
|
|
| 2 |
|
Accrued expenses |
|
|
|
| 33,382 |
|
|
|
|
|
| 922,464 |
|
Net Assets ($) |
|
| 115,575,352 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 105,769,518 |
|
Accumulated undistributed investment income—net |
|
|
|
| 678,616 |
|
Accumulated net realized gain (loss) on investments |
|
|
|
| (7,634,769) |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 16,761,987 |
| |
Net Assets ($) |
|
| 115,575,352 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 1,335,831 | 707,030 | 112,043,746 | 1,488,745 |
|
Shares Outstanding | 107,644 | 57,998 | 8,990,793 | 119,332 |
|
Net Asset Value Per Share ($) | 12.41 | 12.19 | 12.46 | 12.48 |
|
See notes to financial statements. |
16
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 912,412 |
| ||
Dividends (net of $65,718 foreign taxes withheld at source): |
|
|
|
| ||
Unaffiliated issuers |
|
| 477,459 |
| ||
Affiliated issuers |
|
| 6,843 |
| ||
Total Income |
|
| 1,396,714 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 521,138 |
| ||
Custodian fees—Note 3(c) |
|
| 38,827 |
| ||
Professional fees |
|
| 34,215 |
| ||
Registration fees |
|
| 28,869 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 5,464 |
| ||
Prospectus and shareholders’ reports |
|
| 4,231 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 3,960 |
| ||
Distribution fees—Note 3(b) |
|
| 2,422 |
| ||
Loan commitment fees—Note 2 |
|
| 1,036 |
| ||
Miscellaneous |
|
| 22,340 |
| ||
Total Expenses |
|
| 662,502 |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (179) |
| ||
Net Expenses |
|
| 662,323 |
| ||
Investment Income—Net |
|
| 734,391 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 464,158 |
| ||||
Net realized gain (loss) on options transactions | 168,285 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 1,188,012 |
| ||||
Net Realized Gain (Loss) |
|
| 1,820,455 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 8,076,929 |
| ||
Net unrealized appreciation (depreciation) on options transactions |
|
| 44,371 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 269,894 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 8,391,194 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 10,211,649 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 10,946,040 |
| |||
See notes to financial statements. |
17
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 734,391 |
|
|
| 1,630,176 |
| |
Net realized gain (loss) on investments |
| 1,820,455 |
|
|
| 1,608,578 |
| ||
Net unrealized appreciation (depreciation) |
| 8,391,194 |
|
|
| 9,302,722 |
| ||
Net Increase (Decrease) in Net Assets | 10,946,040 |
|
|
| 12,541,476 |
| |||
Distributions to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (18,734) |
|
|
| - |
| |
Class C |
|
| (4,434) |
|
|
| - |
| |
Class I |
|
| (1,633,825) |
|
|
| - |
| |
Class Y |
|
| (22,811) |
|
|
| - |
| |
Total Distributions |
|
| (1,679,804) |
|
|
| - |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 375,589 |
|
|
| 139,418 |
| |
Class C |
|
| 15,000 |
|
|
| 9,158 |
| |
Class I |
|
| 5,593,582 |
|
|
| 31,578,081 |
| |
Class Y |
|
| 1,158,070 |
|
|
| 1,139,039 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 12,366 |
|
|
| - |
| |
Class C |
|
| 1,434 |
|
|
| - |
| |
Class I |
|
| 49,084 |
|
|
| - |
| |
Class Y |
|
| 18,891 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (195,073) |
|
|
| (133,670) |
| |
Class C |
|
| (13,405) |
|
|
| (90,470) |
| |
Class I |
|
| (1,904,433) |
|
|
| (12,634,217) |
| |
Class Y |
|
| (1,216,545) |
|
|
| (919,109) |
| |
Increase (Decrease) in Net Assets | 3,894,560 |
|
|
| 19,088,230 |
| |||
Total Increase (Decrease) in Net Assets | 13,160,796 |
|
|
| 31,629,706 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 102,414,556 |
|
|
| 70,784,850 |
| |
End of Period |
|
| 115,575,352 |
|
|
| 102,414,556 |
| |
Undistributed investment income—net | 678,616 |
|
|
| 1,624,029 |
|
18
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 34,317 |
|
|
| 12,437 |
| |
Shares issued for distributions reinvested |
|
| 1,152 |
|
|
| - |
| |
Shares redeemed |
|
| (16,897) |
|
|
| (12,581) |
| |
Net Increase (Decrease) in Shares Outstanding | 18,572 |
|
|
| (144) |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 1,415 |
|
|
| 798 |
| |
Shares issued for distributions reinvested |
|
| 136 |
|
|
| - |
| |
Shares redeemed |
|
| (1,261) |
|
|
| (9,120) |
| |
Net Increase (Decrease) in Shares Outstanding | 290 |
|
|
| (8,322) |
| |||
Class I |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 482,553 |
|
|
| 3,307,471 |
| |
Shares issued for distributions reinvested |
|
| 4,562 |
|
|
| - |
| |
Shares redeemed |
|
| (159,065) |
|
|
| (1,266,125) |
| |
Net Increase (Decrease) in Shares Outstanding | 328,050 |
|
|
| 2,041,346 |
| |||
Class Y |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 97,728 |
|
|
| 119,562 |
| |
Shares issued for distributions reinvested |
|
| 1,754 |
|
|
| - |
| |
Shares redeemed |
|
| (105,613) |
|
|
| (96,316) |
| |
Net Increase (Decrease) in Shares Outstanding | (6,131) |
|
|
| 23,246 |
| |||
See notes to financial statements. |
19
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, 2017 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, | 11.41 | 10.27 | 12.13 | 12.22 | 11.52 | 11.38 |
Investment Operations: | ||||||
Investment income—neta | .06 | .17 | .19 | .21 | .21 | .21 |
Net realized and unrealized | 1.10 | .97 | (1.84) | (.13) | .51 | .14 |
Total from | 1.16 | 1.14 | (1.65) | .08 | .72 | .35 |
Distributions: | ||||||
Dividends from | (.16) | - | (.19) | (.17) | (.02) | (.21) |
Tax return of capital | - | - | (.02) | - | - | - |
Total Distributions | (.16) | - | (.21) | (.17) | (.02) | (.21) |
Net asset value, end of period | 12.41 | 11.41 | 10.27 | 12.13 | 12.22 | 11.52 |
Total Return (%)b | 10.38c | 11.10 | (13.76) | .71 | 6.25 | 3.18 |
Ratios/ Supplemental Data (%) | ||||||
Ratio of total expenses | 1.60d | 1.69 | 1.72 | 1.71 | 1.71 | 1.81 |
Ratio of net expenses | 1.60d | 1.60 | 1.60 | 1.60 | 1.61 | 1.65 |
Ratio of net investment income | 1.08d | 1.60 | 1.71 | 1.80 | 1.78 | 1.86 |
Portfolio Turnover Rate | 36.06c | 79.54 | 125.89 | 97.47 | 99.13 | 100.76 |
Net Assets, | 1,336 | 1,016 | 916 | 1,294 | 1,380 | 738 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to financial statements.
20
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, | 11.16 | 10.13 | 11.96 | 12.07 | 11.44 | 11.33 |
Investment Operations: | ||||||
Investment income—neta | .02 | .09 | .10 | .12 | .11 | .13 |
Net realized and unrealized | 1.08 | .94 | (1.81) | (.14) | .52 | .13 |
Total from | 1.10 | 1.03 | (1.71) | (.02) | .63 | .26 |
Distributions: | ||||||
Dividends from | (.07) | - | (.10) | (.09) | - | (.15) |
Tax return of capital | - | - | (.02) | - | - | - |
Total Distributions | (.07) | - | (.12) | (.09) | - | (.15) |
Net asset value, end of period | 12.19 | 11.16 | 10.13 | 11.96 | 12.07 | 11.44 |
Total Return (%)b | 10.01c | 10.17 | (14.36) | (.03) | 5.42 | 2.38 |
Ratios/ Supplemental Data (%) | ||||||
Ratio of total expenses | 2.33d | 2.41 | 2.46 | 2.44 | 2.42 | 2.51 |
Ratio of net expenses | 2.33d | 2.35 | 2.35 | 2.35 | 2.36 | 2.40 |
Ratio of net investment income | .35d | .85 | .96 | 1.04 | .92 | 1.15 |
Portfolio Turnover Rate | 36.06c | 79.54 | 125.89 | 97.47 | 99.13 | 100.76 |
Net Assets, | 707 | 644 | 669 | 823 | 720 | 589 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to financial statements.
21
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, | 11.46 | 10.29 | 12.16 | 12.25 | 11.54 | 11.40 |
Investment Operations: | ||||||
Investment income—neta | .08 | .20 | .21 | .24 | .24 | .25 |
Net realized and unrealized | 1.10 | .97 | (1.84) | (.13) | .51 | .12 |
Total from Investment Operations | 1.18 | 1.17 | (1.63) | .11 | .75 | .37 |
Distributions: | ||||||
Dividends from | (.18) | - | (.21) | (.20) | (.04) | (.23) |
Tax return of capital | - | - | (.03) | - | - | - |
Total Distributions | (.18) | - | (.24) | (.20) | (.04) | (.23) |
Net asset value, end of period | 12.46 | 11.46 | 10.29 | 12.16 | 12.25 | 11.54 |
Total Return (%) | 10.59b | 11.37 | (13.54) | .97 | 6.52 | 3.38 |
Ratios/ Supplemental Data (%) | ||||||
Ratio of total expenses | 1.26c | 1.32 | 1.36 | 1.35 | 1.34 | 1.45 |
Ratio of net expenses | 1.26c | 1.29 | 1.35 | 1.35 | 1.34 | 1.40 |
Ratio of net investment income | 1.42c | 1.91 | 1.96 | 2.04 | 1.97 | 2.15 |
Portfolio Turnover Rate | 36.06b | 79.54 | 125.89 | 97.47 | 99.13 | 100.76 |
Net Assets, | 112,044 | 99,315 | 68,147 | 81,636 | 83,306 | 69,209 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
22
Six Months Ended | |||||
April 30, 2017 | Year Ended October 31, | ||||
Class Y Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013a |
Per Share Data ($): | |||||
Net asset value, beginning of period | 11.47 | 10.29 | 12.16 | 12.25 | 11.41 |
Investment Operations: | |||||
Investment income—netb | .08 | .20 | .24 | .28 | .06 |
Net realized and unrealized | 1.11 | .98 | (1.87) | (.16) | .78 |
Total from Investment Operations | 1.19 | 1.18 | (1.63) | .12 | .84 |
Distributions: | |||||
Dividends from investment income—net | (.18) | - | (.22) | (.21) | - |
Tax return of capital | - | - | (.02) | - | - |
Total Distributions | (.18) | - | (.24) | (.21) | - |
Net asset value, end of period | 12.48 | 11.47 | 10.29 | 12.16 | 12.25 |
Total Return (%) | 10.64c | 11.47 | (13.53) | .95 | 7.45c |
Ratios/ Supplemental Data (%) | |||||
Ratio of total expenses | 1.26d | 1.32 | 1.38 | 1.35 | 1.42d |
Ratio of net expenses | 1.26d | 1.30 | 1.30 | 1.33 | 1.35d |
Ratio of net investment income | 1.43d | 1.90 | 2.10 | 2.26 | 1.46d |
Portfolio Turnover Rate | 36.06c | 79.54 | 125.89 | 97.47 | 99.13 |
Net Assets, end of period($ x 1,000) | 1,489 | 1,439 | 1,052 | 653 | 1 |
a From July 1, 2013 (commencement of initial offering) to October 31, 2013.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
23
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Total Emerging Markets Fund (the “fund”) is a separate non-diversified series of Advantage 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 ten series, including the fund. The fund’s investment objective is to seek to maximize total return. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
Effective March 31, 2017, the fund authorized the issuance of Class T shares, but, as of the date of this report, the fund did not offer Class T shares for purchase. The fund’s authorized shares were increased from 400 million to 500 million and 100 million Class T shares were authorized.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares. The fund is authorized to issue 100 million shares of $.001 par value Common Stock in each of the following classes of shares: Class A, Class C, Class I, Class T and Class Y. Class A and Class T shares generally are subject to a sales charge imposed at the time of purchase. Class C shares are subject to a contingent deferred sales charge (“CDSC”) imposed on Class C shares redeemed within one year of purchase. Class I and Class Y 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, the allocation of certain transfer agency costs, 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.
As of April 30, 2017, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 40,000 Class A shares, 40,000 Class C shares and 463,798 Class I shares of the fund.
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
24
FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
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:
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments are valued as determined by the Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
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. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately 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
26
net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and 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.
Options, 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. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. 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, 2017 in valuing the fund’s investments:
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Corporate Bonds† | - | 10,784,254 | - | 10,784,254 |
Equity Securities – | 3,201,113 | - | - | 3,201,113 |
Equity Securities – | 77,476,838 | - | - | 77,476,838 |
Exchange-Traded Funds | 2,387,576 | - | 2,387,576 | |
Foreign Government | - | 15,832,150 | - | 15,832,150 |
Registered Investment Company | 3,904,784 | - | - | 3,904,784 |
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | - | 446,093 | - | 446,093 |
Options Purchased | - | 17,981 | - | 17,981 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | - | (189,073) | - | (189,073) |
Options Written | - | (42,097) | - | (42,097) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2017, there were no transfers between levels of the fair value hierarchy.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
28
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2017 were as follows:
Affiliated Investment Company | Value | Purchases ($) | Sales ($) | Value | Net |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2,732,534 | 29,105,818 | 27,933,568 | 3,904,784 | 3.4 |
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2017, 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, 2017, the fund did not incur any interest or penalties.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Each tax year in the three-year period ended October 31, 2016 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $9,296,777 available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2016. The fund has $5,538,457 of short-term capital losses and $3,758,320 of long-term capital losses which can be carried forward for an unlimited period.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $810 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2017, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of 1% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 1, 2016 through March 1, 2018, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 1.35% of the value of the respective class’ average daily net assets. During the period ended April 30, 2017, there was no reduction in expenses, pursuant to the undertaking.
During the period ended April 30, 2017, the Distributor retained $346 from commissions earned on sales of the fund’s Class A shares.
30
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2017, Class C shares were charged $2,422 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their 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. 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, 2017, Class A and Class C shares were charged $1,479 and $807, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2017, the fund was charged $633 for transfer agency services and $37 for cash management services. These fees are included in Shareholder servicing costs in the Statement of Operations. Cash management fees were partially offset by earnings credits of $33.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2017, the fund was charged $38,827 pursuant to the custody agreement. These fees were partially offset by earnings credits of $146.
During the period ended April 30, 2017, the fund was charged $6,901 for services performed by the Chief Compliance Officer and his staff.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $92,373, Distribution Plan fees $428, Shareholder Services Plan fees $411, custodian fees $23,935, Chief Compliance Officer fees $4,633 and transfer agency fees $237.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
(e) A 2% redemption fee is charged and retained by the fund on certain shares redeemed within sixty days following the date of issuance subject to certain exceptions, including redemptions made through use of the fund’s exchange privilege. During the period ended April 30, 2017, redemption fees charged and retained by the fund amounted to $626.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, options transactions and forward contracts, during the period ended April 30, 2017, amounted to $37,042,447 and $36,660,451, 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 OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2017 is discussed below.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in foreign currencies or as a substitute for an investment. The fund is subject to market risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the
32
purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
The following summarizes the fund’s call/put options written during the period ended April 30, 2017:
Face Amount | Options Terminated | |||
Covered by | Premiums | Net Realized | ||
Options Written: | Contracts ($) | Received ($) | Cost ($) | Gain ($) |
Contracts outstanding | 5,200,000 | 62,384 | ||
Contracts written | 22,700,000 | 253,789 | ||
Contracts terminated: | ||||
Contracts expired | 18,200,000 | 203,505 | 35,220 | 168,285 |
Contracts outstanding | 9,700,000 | 112,668 |
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2017 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
34
At April 30, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Options | 17,981 | (42,097) | |||
Forward contracts | 446,093 | (189,073) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 464,074 | (231,170) | |||
Derivatives not subject to | |||||
Master Agreements | - | - | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 464,074 | (231,170) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2017:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Bank of America | 1,774 | (1,774) | - | - | ||
Barclays Bank | 100,491 | (6,009) | - | 94,482 | ||
Citigroup | 62,443 | (62,443) | - | - | ||
Goldman Sachs | 20,638 | (19) | - | 20,619 | ||
HSBC | 5,331 | - | - | 5,331 | ||
JP Morgan | 262,330 | (40,282) | (75,000) | 147,048 | ||
UBS | 11,067 | (11,067) | - | - | ||
Total | 464,074 | (121,594) | (75,000) | 267,480 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Bank of America | (33,220) | 1,774 | - | (31,446) | ||
Barclays Bank | (6,009) | 6,009 | - | - | ||
Citigroup | (113,563) | 62,443 | - | (51,120) | ||
Goldman Sachs | (19) | 19 | - | - | ||
JP Morgan | (40,282) | 40,282 | - | - | ||
Morgan Stanley | (23,796) | - | - | (23,796) | ||
UBS | (14,281) | 11,067 | - | (3,214) | ||
Total | (231,170) | 121,594 | - | (109,576) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to over collateralization. |
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2017:
|
| Average Market Value ($) |
Foreign currency options contracts | 78,476 | |
Forward contracts | 59,059,225 | |
At April 30, 2017, accumulated net unrealized appreciation on investments was $16,430,925, consisting of $17,939,515 gross unrealized appreciation and $1,508,590 gross unrealized depreciation.
At April 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
36
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 9-10, 2017, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
37
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was below the Performance Group median for all periods except for the one-, three- and four-year periods, and the fund’s performance was above the Performance Universe median for all periods except the five-year period when it was below the median. The Board considered the proximity of the fund’s performance to the Performance Group and/or Performance Universe median in certain periods when the fund’s performance was below median. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was below the Expense Group median, the fund’s actual management fee was above the Expense Group and Expense Universe medians and the fund’s total expenses were below the Expense Group and Expense Universe medians.
Dreyfus representatives stated that Dreyfus has contractually agreed to waive receipt of its fees and/or assume the expenses of the fund, until March 1, 2018, so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 1.35% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Broadridge category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex.
38
The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by Dreyfus, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board generally was satisfied with the fund’s overall performance.
· The Board concluded that the fee paid to Dreyfus supported the renewal of the Agreement in light of the considerations described above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of Dreyfus and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the
39
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements 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 similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
40
NOTES
41
Dreyfus Total Emerging Markets Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbols: | Class A: DTMAX Class C: DTMCX Class I: DTEIX Class Y: DTMYX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (phone 1-800-SEC-0330 for information).
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2017 MBSC Securities Corporation |
Dynamic Total Return Fund
SEMIANNUAL REPORT April 30, 2017 |
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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. |
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value |
Contents
THE FUND
With Those of Other Funds | |
Options Written | |
Foreign Currency Exchange Contracts | |
Swap Agreements | |
Assets and Liabilities | |
Changes in Net Assets | |
Financial Statements | |
of the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dynamic Total Return Fund, covering the six-month period from November 1, 2016 through April 30, 2017. 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.
Stocks advanced solidly but higher-quality bonds lost a degree of value over the reporting period amid heightened market volatility stemming from various economic and political developments. After giving back a portion of their previous gains due to uncertainty in advance of U.S. elections, equity markets rallied to a series of new highs in the wake of the election’s unexpected outcome as investors revised their expectations for U.S. fiscal, regulatory, and tax policies. Generally strong economic data and corporate earnings continued to support stock prices over the first four months of 2017. In the bond market, yields of U.S. government securities moved higher and prices fell in response to two short-term interest-rate hikes and rising longer-term rates, while lower-rated corporate-backed bonds continued to advance in anticipation of a more business-friendly market environment.
Some asset classes and industry groups seem likely to continue to benefit from a changing economic and geopolitical landscape, while others probably will face challenges as conditions evolve. Consequently, selectivity seems likely to be an important determinant of investment success in the months ahead. As always, we encourage you to discuss the implications of our observations with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
May 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through April 30, 2017, as provided by portfolio managers Vassilis Dagioglu, James Stavena, Torrey Zaches, Joseph Miletich, and Sinead Colton, of Mellon Capital Management Corporation, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2017, Dynamic Total Return Fund’s Class A shares produced a total return of 1.47%, Class C shares returned 1.08%, Class I shares returned 1.56%, and Class Y shares returned 1.62%.1 In comparison, the fund’s benchmarks, the Citi U.S. Three-Month Treasury Bill Index (the “Index”), the MSCI World Index, and a hybrid index comprised of 60% MSCI World Index and 40% Citi World Government Bond Index returned 0.23%, 12.12%, and 6.07%, respectively (the “Hybrid Index”).2,3,4,5
Global equities rallied over the reporting period amid improving global economic growth and a surge in investor optimism after U.S. elections. Bonds fared less well due to rising interest rates. The fund produced a positive absolute return, but failed to keep pace with its equity and hybrid index benchmarks due to the underperformance of U.S. Treasury bonds compared to their counterparts in Germany and the United Kingdom.
The Fund’s Investment Approach
The fund seeks total return through investments in instruments that provide investment exposure to global equity, bond, currency and commodities markets, and in fixed-income securities.
The fund’s portfolio managers apply a systematic, analytical investment approach designed to identify and exploit relative misvaluation opportunities across and within global capital markets. The portfolio managers update, monitor and follow buy or sell recommendations using proprietary investment models. Among equity markets, the portfolio managers employ a bottom-up valuation approach using proprietary models to derive market-level expected returns. For bond markets, the portfolio managers use proprietary models to identify temporary mispricing among the global long-term government bond markets. The portfolio managers evaluate currencies on a relative valuation basis and seek to identify opportunities in commodity markets by measuring and evaluating inventory and term structure, hedging and speculative activity as well as momentum. The investment process combines fundamental and momentum signals in a quantitative framework.
Economic and Political Factors Drove Market Performance
Signs of economic improvement in Europe, rebounding oil prices, and expectations of U.S. tax reform and greater infrastructure spending unleashed a wave of investor optimism, causing global equity markets to surge higher over the reporting period. Other risky assets, such as high yield bonds and emerging market debt securities, also realized strong gains.
Meanwhile, after bottoming in the months before the start of the reporting period, government bond yields rose across the globe, and their prices fell commensurately. Yields of U.S. Treasury securities climbed especially steeply. Oil prices continued to recover from previous lows, in part due to production caps imposed by the Organization of the Petroleum Exporting Countries (OPEC).
The Federal Reserve Board continued to raise short-term interest rates gradually, implementing rate hikes of 0.25 percentage points in December 2016 and March 2017. In light of modestly positive U.S. GDP growth, a low unemployment rate, and expectations of more stimulative U.S. fiscal policies, investors appear to be expecting more rate hikes over the remainder of 2017. Although other major central banks have maintained aggressively accommodative monetary policies, positive economic momentum has led to expectations that they will begin to wind down their quantitative easing programs.
3
DISCUSSION OF FUND PERFORMANCE (continued)
Bonds and Currencies Dampened Relative Results
The fund’s positive absolute return for the reporting period stemmed largely from broad exposure to global equity markets, particularly long positions in the United States, United Kingdom, Japan, and Germany. However, the fund lagged most growth-oriented indices due to its exposure to global bond markets and a weakening U.S. dollar.
The fund’s substantial long exposure to U.S. Treasury bonds particularly undermined its results, but the resulting weakness was partially offset by short positions in 10-year U.K. gilts and German bunds, which did not react as sharply to the U.S. election. A long position in Australian bonds also lost value when yields climbed more than global averages. In addition, a broad weakening of the U.S. dollar later in the reporting period hurt relative performance. The fund hedges almost all foreign currency exposures as a matter of policy, so a strong U.S. dollar typically is positive for the fund while weakening trends tend to be negative. Active currency positioning further weighed on relative results when the euro and British pound gained value against the U.S. dollar later in the reporting period.
A Constructive Investment Posture
We continue to expect modest global growth and contained global inflation, which should allow central banks to withdraw gradually from stimulative policies. Moreover, corporate earnings growth could spark further gains in global equity markets. Most notably, positive economic trends have led us to increase the fund’s exposure to European equity markets. The fund also has maintained a small allocation to high yield bonds. In anticipation of converging global bond yields, we have maintained long positions in U.S. Treasuries and short positions in European bond markets. We also expect the U.S. dollar to resume strengthening against the euro and British pound. Due to muted inflationary pressures, the fund holds just a small allocation to commodities and inflation-protected bonds.
May 15, 2017
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.
Bonds are subject generally to interest-rate, credit, liquidity, call, sector, and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus.
Investing internationally involves special risks, including changes in currency exchange rates, political, economic, and social instability, a lack of comprehensive company information, differing auditing and legal standards, and less market liquidity. These risks generally are greater with emerging market countries than with more economically and politically established foreign countries.
Investments in foreign currencies are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged.
Exposure to the commodities markets may subject the fund to greater volatility than investments in traditional securities. The values of commodities and commodity-linked investments are affected by events that might have less impact on the values of stocks and bonds. Investments linked to the prices of commodities are considered speculative. Prices of commodities and related contracts may fluctuate significantly over short periods for a variety of factors.
1 Total return includes reinvestment of dividends and any capital gains paid, and does not take into consideration the maximum initial sales charge in the case of Class A shares, or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. Share price, yield, and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Past performance is no guarantee of future results.
2 Source: Lipper Inc. — The Citi U.S. Three-Month Treasury Bill Index consists of the last three-month Treasury bill month-end rates. The Citi U.S. Three-Month Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
3 Source: Lipper Inc. — Reflects reinvestment of net dividends and, where applicable, capital gain distributions. The MSCI World Index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets. Investors cannot invest directly in any index.
4 Source: Lipper Inc. — The Citi World Government Bond Index (the “WGB Index”) measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The WGB Index is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. The WGB Index provides a broad benchmark for the global sovereign fixed income market. Investors cannot invest directly in any index.
5 Source: FactSet —The Hybrid Index is an unmanaged hybrid index composed of 60% MSCI World Index and 40% WGB Index. Investors cannot invest directly in any index.
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 Dynamic Total Return Fund from November 1, 2016 to April 30, 2017. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||||
assuming actual returns for the six months ended April 30, 2017 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $7.29 | $11.17 | $6.20 | $5.75 | ||||||
Ending value (after expenses) | $1,014.70 | $1,010.80 | $1,015.60 | $1,016.20 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $7.30 | $11.18 | $6.21 | $5.76 | ||||
Ending value (after expenses) | $1,017.55 | $1,013.69 | $1,018.65 | $1,019.09 |
† Expenses are equal to the fund’s annualized expense ratio of 1.46% for Class A, 2.24% for Class C, 1.24% for Class I and 1.15% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
CONSOLIDATED STATEMENT OF INVESTMENTS
April 30, 2017 (Unaudited)
Bonds and Notes - 4.8% | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% | |||||||||
Adient Global Holdings, | 4.88 | 8/15/26 | 75,000 | b | 75,563 | ||||
Allison Transmission, | 5.00 | 10/1/24 | 75,000 | b | 76,594 | ||||
Altice, | 7.75 | 5/15/22 | 300,000 | b | 319,500 | ||||
Altice, | 7.63 | 2/15/25 | 75,000 | b | 80,344 | ||||
Altice Financing, | 7.50 | 5/15/26 | 150,000 | b | 162,375 | ||||
Altice Financing, | 6.50 | 1/15/22 | 75,000 | b | 78,844 | ||||
Altice Financing, | 6.63 | 2/15/23 | 150,000 | b | 159,187 | ||||
Altice US Finance I, | 5.38 | 7/15/23 | 75,000 | b | 78,562 | ||||
AMC Entertainment Holdings, | 5.75 | 6/15/25 | 75,000 | 77,531 | |||||
AMC Entertainment Holdings, | 5.88 | 11/15/26 | 75,000 | b | 76,547 | ||||
AMC Networks, | 4.75 | 12/15/22 | 75,000 | 76,688 | |||||
AMC Networks, | 5.00 | 4/1/24 | 75,000 | 76,174 | |||||
American Axle & Manufacturing, | 6.63 | 10/15/22 | 125,000 | 129,375 | |||||
American Tire Distributors, | 10.25 | 3/1/22 | 75,000 | b | 77,344 | ||||
Aramark Services, | 4.75 | 6/1/26 | 75,000 | 76,688 | |||||
Avis Budget Car Rental, | 5.50 | 4/1/23 | 75,000 | 74,156 | |||||
Beazer Homes USA, | 8.75 | 3/15/22 | 75,000 | 83,625 | |||||
Boyd Gaming, | 6.88 | 5/15/23 | 75,000 | 81,000 | |||||
Boyd Gaming, | 6.38 | 4/1/26 | 75,000 | 81,000 | |||||
Cablevision Systems, | 5.88 | 9/15/22 | 130,000 | 133,737 | |||||
CCO Holdings, | 5.25 | 9/30/22 | 200,000 | 208,000 | |||||
CCO Holdings, | 5.13 | 2/15/23 | 200,000 | 208,500 | |||||
CCO Holdings, | 5.75 | 9/1/23 | 120,000 | 126,300 | |||||
CCO Holdings, | 5.88 | 4/1/24 | 75,000 | b | 80,437 | ||||
CCO Holdings, | 5.50 | 5/1/26 | 75,000 | b | 78,891 | ||||
CCO Holdings, | 5.13 | 5/1/27 | 200,000 | b | 204,500 |
6
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Cedar Fair, | 5.25 | 3/15/21 | 75,000 | 77,102 | |||||
Cengage Learning, | 9.50 | 6/15/24 | 50,000 | b | 45,375 | ||||
Cequel Communications Holdings I, | 7.75 | 7/15/25 | 75,000 | b | 84,000 | ||||
Cequel Communications Holdings I, | 5.13 | 12/15/21 | 300,000 | b | 308,250 | ||||
Cinemark USA, | 4.88 | 6/1/23 | 75,000 | 76,500 | |||||
Clear Channel Worldwide Holdings, | 7.63 | 3/15/20 | 150,000 | 152,250 | |||||
CSC Holdings, | 5.50 | 4/15/27 | 75,000 | b | 77,719 | ||||
CSC Holdings, | 10.13 | 1/15/23 | 200,000 | b | 232,500 | ||||
DISH DBS, | 6.75 | 6/1/21 | 100,000 | 109,000 | |||||
DISH DBS, | 5.88 | 7/15/22 | 300,000 | 318,537 | |||||
DISH DBS, | 7.75 | 7/1/26 | 300,000 | 352,125 | |||||
Dollar Tree, | 5.75 | 3/1/23 | 300,000 | 319,800 | |||||
Fiat Chrysler Automobiles, | 4.50 | 4/15/20 | 75,000 | 77,531 | |||||
Fiat Chrysler Automobiles, | 5.25 | 4/15/23 | 75,000 | 77,438 | |||||
GLP Capital, | 4.38 | 11/1/18 | 75,000 | 77,438 | |||||
GLP Capital, | 5.38 | 11/1/23 | 75,000 | 81,281 | |||||
GLP Capital, | 5.38 | 4/15/26 | 75,000 | 79,312 | |||||
Goodyear Tire & Rubber, | 5.13 | 11/15/23 | 75,000 | 79,086 | |||||
Goodyear Tire & Rubber, | 5.00 | 5/31/26 | 75,000 | 77,156 | |||||
Goodyear Tire & Rubber, | 4.88 | 3/15/27 | 75,000 | 75,188 | |||||
Gray Television, | 5.13 | 10/15/24 | 75,000 | b | 75,375 | ||||
Gray Television, | 5.88 | 7/15/26 | 75,000 | b | 77,813 | ||||
Group 1 Automotive, | 5.25 | 6/1/22 | 75,000 | c | 76,313 | ||||
Hanesbrands, | 4.88 | 5/15/26 | 75,000 | b | 75,000 | ||||
Hilton Domestic Operating, | 4.25 | 9/1/24 | 75,000 | b | 75,750 | ||||
Hilton Worldwide Finance, | 4.63 | 4/1/25 | 250,000 | b | 257,500 | ||||
iHeartCommunications, | 9.00 | 12/15/19 | 75,000 | 62,156 | |||||
iHeartCommunications, | 9.00 | 3/1/21 | 300,000 | 229,125 |
7
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% (continued) | |||||||||
International Game Technology, | 5.63 | 2/15/20 | 75,000 | b | 79,244 | ||||
International Game Technology, | 6.25 | 2/15/22 | 75,000 | b | 82,125 | ||||
International Game Technology, | 6.50 | 2/15/25 | 75,000 | b | 82,500 | ||||
Isle of Capri Casinos, | 5.88 | 3/15/21 | 73,000 | 75,418 | |||||
J.C. Penney, | 6.38 | 10/15/36 | 100,000 | 77,000 | |||||
J.C. Penney, | 5.88 | 7/1/23 | 75,000 | b | 75,938 | ||||
Jack Ohio Finance, | 6.75 | 11/15/21 | 75,000 | b | 78,562 | ||||
Jaguar Land Rover Automotive, | 4.13 | 12/15/18 | 75,000 | b | 76,969 | ||||
Jaguar Land Rover Automotive, | 4.25 | 11/15/19 | 75,000 | b | 77,719 | ||||
Jaguar Land Rover Automotive, | 5.63 | 2/1/23 | 75,000 | b | 78,656 | ||||
K Hovnanian Enterprises, | 7.25 | 10/15/20 | 75,000 | b | 73,125 | ||||
KFC Holding, | 5.25 | 6/1/26 | 75,000 | b | 77,063 | ||||
L Brands, | 5.63 | 2/15/22 | 300,000 | 318,375 | |||||
L Brands, | 6.88 | 11/1/35 | 75,000 | 74,325 | |||||
L Brands, | 6.75 | 7/1/36 | 75,000 | 73,031 | |||||
Lamar Media, | 5.00 | 5/1/23 | 75,000 | 78,789 | |||||
Lamar Media, | 5.38 | 1/15/24 | 75,000 | 79,500 | |||||
Landry's, | 6.75 | 10/15/24 | 75,000 | b | 78,750 | ||||
Laureate Education, | 9.25 | 9/1/19 | 75,000 | b | 78,937 | ||||
Lennar, | 4.13 | 1/15/22 | 75,000 | 76,781 | |||||
Lennar, | 4.50 | 6/15/19 | 75,000 | 77,719 | |||||
Lennar, | 5.00 | 11/15/22 | 75,000 | c | 78,187 | ||||
Lions Gate Entertainment, | 5.88 | 11/1/24 | 75,000 | b | 78,187 | ||||
Live Nation Entertainment, | 4.88 | 11/1/24 | 75,000 | b | 75,750 | ||||
LKQ, | 4.75 | 5/15/23 | 75,000 | 75,750 | |||||
McClatchy, | 9.00 | 12/15/22 | 75,000 | 78,375 | |||||
Men's Wearhouse, | 7.00 | 7/1/22 | 75,000 | 65,625 | |||||
MGM Resorts International, | 6.63 | 12/15/21 | 175,000 | 196,875 |
8
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% (continued) | |||||||||
MGM Resorts International, | 7.75 | 3/15/22 | 75,000 | 87,562 | |||||
MGM Resorts International, | 6.00 | 3/15/23 | 75,000 | 82,125 | |||||
Michaels Stores, | 5.88 | 12/15/20 | 75,000 | b | 77,063 | ||||
Mohegan Tribal Gaming Authority, | 7.88 | 10/15/24 | 75,000 | b | 77,063 | ||||
Monitronics International, | 9.13 | 4/1/20 | 75,000 | 73,125 | |||||
Netflix, | 4.38 | 11/15/26 | 75,000 | b | 74,063 | ||||
Netflix, | 5.88 | 2/15/25 | 75,000 | 81,562 | |||||
Netflix, | 5.50 | 2/15/22 | 75,000 | 80,625 | |||||
Nexstar Broadcasting, | 5.63 | 8/1/24 | 75,000 | b | 77,063 | ||||
Nielsen Finance, | 5.00 | 4/15/22 | 300,000 | b | 309,562 | ||||
Outfront Media Capital, | 5.25 | 2/15/22 | 75,000 | 78,187 | |||||
Outfront Media Capital, | 5.63 | 2/15/24 | 75,000 | 79,031 | |||||
Penske Automotive Group, | 5.75 | 10/1/22 | 75,000 | 78,000 | |||||
Penske Automotive Group, | 5.50 | 5/15/26 | 75,000 | 74,813 | |||||
PetSmart, | 7.13 | 3/15/23 | 300,000 | b | 274,500 | ||||
Pinnacle Entertainment, | 5.63 | 5/1/24 | 75,000 | b | 77,625 | ||||
Prime Security Services Borrower, | 9.25 | 5/15/23 | 300,000 | b | 328,500 | ||||
Pultegroup, | 5.00 | 1/15/27 | 75,000 | 76,219 | |||||
PulteGroup, | 5.50 | 3/1/26 | 75,000 | 79,406 | |||||
Quebecor Media, | 5.75 | 1/15/23 | 300,000 | 316,875 | |||||
Regal Entertainment Group, | 5.75 | 3/15/22 | 75,000 | 78,562 | |||||
RSI Home Products, | 6.50 | 3/15/23 | 75,000 | b | 78,000 | ||||
Sally Holdings, | 5.75 | 6/1/22 | 75,000 | 77,438 | |||||
Sally Holdings, | 5.63 | 12/1/25 | 75,000 | 77,813 | |||||
Scientific Games International, | 10.00 | 12/1/22 | 300,000 | 326,100 | |||||
Scientific Games International, | 7.00 | 1/1/22 | 75,000 | b | 80,484 | ||||
Service Corporation International, | 5.38 | 5/15/24 | 75,000 | 79,500 | |||||
ServiceMaster, | 5.13 | 11/15/24 | 75,000 | b | 77,625 |
9
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% (continued) | |||||||||
SFR Group, | 6.00 | 5/15/22 | 300,000 | b | 313,875 | ||||
SFR Group, | 6.25 | 5/15/24 | 75,000 | b | 77,906 | ||||
SFR Group, | 7.38 | 5/1/26 | 300,000 | b | 316,875 | ||||
Silversea Cruise Finance, | 7.25 | 2/1/25 | 75,000 | b | 79,875 | ||||
Sinclair Television Group, | 5.38 | 4/1/21 | 75,000 | 77,344 | |||||
Sinclair Television Group, | 6.13 | 10/1/22 | 75,000 | 78,656 | |||||
Sinclair Television Group, | 5.63 | 8/1/24 | 75,000 | b | 78,176 | ||||
Sirius XM Radio, | 6.00 | 7/15/24 | 75,000 | b | 80,437 | ||||
Sirius XM Radio, | 5.38 | 4/15/25 | 75,000 | b | 77,156 | ||||
Sirius XM Radio, | 5.38 | 7/15/26 | 75,000 | b | 76,969 | ||||
Six Flags Entertainment, | 5.25 | 1/15/21 | 75,000 | b | 76,969 | ||||
Springs Industries, | 6.25 | 6/1/21 | 75,000 | 77,719 | |||||
Station Casinos, | 7.50 | 3/1/21 | 75,000 | 78,281 | |||||
Taylor Morrison Communities, | 5.25 | 4/15/21 | 75,000 | b | 77,455 | ||||
TEGNA, | 6.38 | 10/15/23 | 250,000 | 266,562 | |||||
Tempur Sealy International, | 5.50 | 6/15/26 | 75,000 | 74,813 | |||||
Tenneco, | 5.00 | 7/15/26 | 75,000 | 75,750 | |||||
Time, | 5.75 | 4/15/22 | 75,000 | b | 77,063 | ||||
Tribune Media, | 5.88 | 7/15/22 | 75,000 | 79,164 | |||||
Under Armour, | 3.25 | 6/15/26 | 75,000 | 69,222 | |||||
Unitymedia Hessen, | 5.00 | 1/15/25 | 75,000 | b | 78,235 | ||||
Unitymedia Hessen, | 5.50 | 1/15/23 | 75,000 | b | 78,375 | ||||
Univision Communications, | 6.75 | 9/15/22 | 75,000 | b | 78,844 | ||||
Univision Communications, | 5.13 | 5/15/23 | 75,000 | b | 76,500 | ||||
Univision Communications, | 5.13 | 2/15/25 | 75,000 | b | 75,000 | ||||
Viacom, | 5.88 | 2/28/57 | 75,000 | c | 77,520 | ||||
Viacom, | 6.25 | 2/28/57 | 75,000 | c | 77,117 | ||||
Viking Cruises, | 8.50 | 10/15/22 | 75,000 | b | 78,562 |
10
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Virgin Media Finance, | 6.38 | 4/15/23 | 75,000 | b | 79,031 | ||||
Virgin Media Secured Finance, | 5.25 | 1/15/26 | 75,000 | b | 76,219 | ||||
Wynn Las Vegas, | 5.38 | 3/15/22 | 140,000 | 144,725 | |||||
Wynn Las Vegas, | 5.50 | 3/1/25 | 300,000 | b | 312,750 | ||||
Yum! Brands, | 3.75 | 11/1/21 | 200,000 | 204,250 | |||||
ZF North America Capital, | 4.50 | 4/29/22 | 75,000 | b | 79,031 | ||||
ZF North America Capital, | 4.75 | 4/29/25 | 75,000 | b | 78,286 | ||||
Ziggo Bond Finance, | 6.00 | 1/15/27 | 75,000 | b | 76,688 | ||||
Ziggo Secured Finance, | 5.50 | 1/15/27 | 300,000 | b | 309,000 | ||||
16,756,248 | |||||||||
Consumer Staples - .2% | |||||||||
Albertsons, | 6.63 | 6/15/24 | 75,000 | b | 76,875 | ||||
Albertsons, | 5.75 | 3/15/25 | 75,000 | b | 73,125 | ||||
Alliance One International, | 9.88 | 7/15/21 | 175,000 | 151,769 | |||||
Avon Products, | 6.75 | 3/15/23 | 150,000 | c | 145,125 | ||||
B&G Foods, | 4.63 | 6/1/21 | 75,000 | 76,755 | |||||
Cott Beverages, | 5.38 | 7/1/22 | 75,000 | 78,000 | |||||
Dean Foods, | 6.50 | 3/15/23 | 75,000 | b | 79,312 | ||||
First Quality Finance, | 4.63 | 5/15/21 | 75,000 | b | 73,969 | ||||
Fresh Market, | 9.75 | 5/1/23 | 75,000 | b | 62,531 | ||||
HRG Group, | 7.88 | 7/15/19 | 75,000 | 78,019 | |||||
HRG Group, | 7.75 | 1/15/22 | 75,000 | 79,594 | |||||
JBS USA Finance, | 5.88 | 7/15/24 | 75,000 | b | 78,562 | ||||
JBS USA Finance, | 5.75 | 6/15/25 | 100,000 | b | 103,750 | ||||
Kronos Acquisition Holdings, | 9.00 | 8/15/23 | 75,000 | b | 76,313 | ||||
Pilgrim's Pride, | 5.75 | 3/15/25 | 75,000 | b | 78,375 | ||||
Post Holdings, | 7.75 | 3/15/24 | 300,000 | b | 334,875 | ||||
Post Holdings, | 5.50 | 3/1/25 | 75,000 | b | 78,750 | ||||
Revlon Consumer Products, | 6.25 | 2/15/21 | 75,000 | c | 75,000 |
11
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Consumer Staples - .2% (continued) | |||||||||
Rite Aid, | 6.13 | 4/1/23 | 300,000 | b | 298,500 | ||||
Safeway, | 7.25 | 2/1/31 | 50,000 | 48,625 | |||||
Spectrum Brands, | 6.63 | 11/15/22 | 75,000 | 79,312 | |||||
Spectrum Brands, | 5.75 | 7/15/25 | 75,000 | 80,768 | |||||
Tesco, | 6.15 | 11/15/37 | 100,000 | b | 102,487 | ||||
TreeHouse Foods, | 6.00 | 2/15/24 | 75,000 | b | 80,250 | ||||
US Foods, | 5.88 | 6/15/24 | 75,000 | b | 78,750 | ||||
Vector Group, | 6.13 | 2/1/25 | 75,000 | b | 77,813 | ||||
WhiteWave Foods, | 5.38 | 10/1/22 | 75,000 | 84,375 | |||||
2,731,579 | |||||||||
Energy - .7% | |||||||||
Antero Midstream Partners, | 5.38 | 9/15/24 | 75,000 | b | 77,063 | ||||
Antero Resources, | 5.13 | 12/1/22 | 75,000 | 76,500 | |||||
Antero Resources, | 5.63 | 6/1/23 | 75,000 | 77,531 | |||||
Blue Racer Midstream, | 6.13 | 11/15/22 | 75,000 | b | 77,156 | ||||
California Resources, | 8.00 | 12/15/22 | 150,000 | b | 116,062 | ||||
Calumet Specialty Products Partners, | 6.50 | 4/15/21 | 75,000 | 63,750 | |||||
Carrizo Oil & Gas, | 7.50 | 9/15/20 | 75,000 | 77,531 | |||||
Carrizo Oil & Gas, | 6.25 | 4/15/23 | 75,000 | 75,938 | |||||
Cenovus Energy, | 3.00 | 8/15/22 | 75,000 | 74,023 | |||||
Cenovus Energy, | 4.45 | 9/15/42 | 75,000 | 64,980 | |||||
Chesapeake Energy, | 8.00 | 1/15/25 | 75,000 | b | 74,438 | ||||
Chesapeake Energy, | 8.00 | 12/15/22 | 300,000 | b | 317,250 | ||||
Concho Resources, | 5.50 | 10/1/22 | 75,000 | 78,210 | |||||
Concho Resources, | 5.50 | 4/1/23 | 75,000 | 78,141 | |||||
Concho Resources, | 4.38 | 1/15/25 | 75,000 | 76,313 | |||||
CONSOL Energy, | 5.88 | 4/15/22 | 300,000 | 294,000 | |||||
Continental Resources, | 5.00 | 9/15/22 | 300,000 | 303,750 | |||||
Continental Resources, | 4.50 | 4/15/23 | 75,000 | 74,250 |
12
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Energy - .7% (continued) | |||||||||
Continental Resources, | 3.80 | 6/1/24 | 75,000 | 70,875 | |||||
Crestwood Midstream Partners, | 6.75 | 4/1/23 | 75,000 | c | 78,656 | ||||
DCP Midstream Operating, | 4.75 | 9/30/21 | 120,000 | b | 123,300 | ||||
DCP Midstream Operating, | 3.88 | 3/15/23 | 130,000 | 127,400 | |||||
Denbury Resources, | 5.50 | 5/1/22 | 75,000 | 56,250 | |||||
Diamond Offshore Drilling, | 4.88 | 11/1/43 | 75,000 | 54,563 | |||||
Diamondback Energy, | 4.75 | 11/1/24 | 75,000 | b | 75,563 | ||||
Diamondback Energy, | 5.38 | 5/31/25 | 75,000 | b | 78,000 | ||||
Eclipse Resources, | 8.88 | 7/15/23 | 75,000 | 76,875 | |||||
Enbridge, | 6.00 | 1/15/77 | 75,000 | c | 76,688 | ||||
Energy Transfer Equity, | 5.88 | 1/15/24 | 75,000 | 81,187 | |||||
Energy Transfer Equity, | 5.50 | 6/1/27 | 75,000 | 81,000 | |||||
Ensco, | 4.50 | 10/1/24 | 300,000 | 249,000 | |||||
Everest Acquisition Finance, | 6.38 | 6/15/23 | 75,000 | 56,813 | |||||
Extraction Oil & Gas Holdings, | 7.88 | 7/15/21 | 75,000 | b | 78,937 | ||||
Genesis Energy, | 6.75 | 8/1/22 | 75,000 | 77,531 | |||||
Gulfport Energy, | 6.38 | 5/15/25 | 75,000 | b | 75,000 | ||||
Halcon Resources, | 6.75 | 2/15/25 | 75,000 | b | 72,375 | ||||
Hilcorp Energy I, | 5.75 | 10/1/25 | 75,000 | b | 73,125 | ||||
Jones Energy Holdings, | 6.75 | 4/1/22 | 140,000 | 118,300 | |||||
Jupiter Resources, | 8.50 | 10/1/22 | 75,000 | b | 61,500 | ||||
Matador Resources, | 6.88 | 4/15/23 | 300,000 | b | 318,000 | ||||
McDermott International, | 8.00 | 5/1/21 | 75,000 | b | 78,412 | ||||
MEG Energy, | 7.00 | 3/31/24 | 75,000 | b | 67,313 | ||||
MEG Energy, | 6.50 | 1/15/25 | 75,000 | b | 74,344 | ||||
NGL Energy Partners, | 6.13 | 3/1/25 | 75,000 | b | 70,500 | ||||
Niska Gas Storage, | 6.50 | 4/1/19 | 75,000 | 76,125 | |||||
Noble Holding International, | 7.75 | 1/15/24 | 75,000 | 68,813 |
13
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Energy - .7% (continued) | |||||||||
Noble Holding International, | 6.05 | 3/1/41 | 100,000 | 70,500 | |||||
Northern Oil and Gas, | 8.00 | 6/1/20 | 75,000 | 62,156 | |||||
ONEOK, | 4.25 | 2/1/22 | 75,000 | 77,988 | |||||
Parsley Energy, | 5.38 | 1/15/25 | 75,000 | b | 76,125 | ||||
PBF Holding, | 8.25 | 2/15/20 | 75,000 | 76,875 | |||||
PBF Holding, | 7.25 | 11/15/23 | 75,000 | c | 76,500 | ||||
PDC Energy, | 7.75 | 10/15/22 | 75,000 | 79,125 | |||||
Peabody Energy, | 6.00 | 3/31/22 | 75,000 | b | 76,781 | ||||
Peabody Energy, | 6.38 | 3/31/25 | 75,000 | b | 76,594 | ||||
Permian Resources, | 13.00 | 11/30/20 | 75,000 | b | 88,500 | ||||
Permian Resources, | 7.13 | 11/1/20 | 75,000 | b | 61,219 | ||||
QEP Resources, | 5.25 | 5/1/23 | 75,000 | 73,688 | |||||
Range Resources, | 5.00 | 8/15/22 | 75,000 | b | 74,531 | ||||
Range Resources, | 4.88 | 5/15/25 | 75,000 | 72,375 | |||||
Rice Energy, | 6.25 | 5/1/22 | 75,000 | 78,797 | |||||
Rockies Express Pipeline, | 6.00 | 1/15/19 | 75,000 | b | 79,125 | ||||
Rowan Cos., | 4.88 | 6/1/22 | 75,000 | 70,875 | |||||
Rowan Cos., | 7.38 | 6/15/25 | 75,000 | 74,438 | |||||
RSP Permian, | 6.63 | 10/1/22 | 300,000 | 317,625 | |||||
Sanchez Energy, | 7.75 | 6/15/21 | 75,000 | 72,938 | |||||
SESI, | 7.13 | 12/15/21 | 75,000 | 76,125 | |||||
SM Energy, | 6.13 | 11/15/22 | 75,000 | 76,500 | |||||
SM Energy, | 5.63 | 6/1/25 | 75,000 | 72,000 | |||||
Southwestern Energy, | 4.10 | 3/15/22 | 300,000 | 282,000 | |||||
Summit Midstream Holdings, | 5.75 | 4/15/25 | 75,000 | 76,313 | |||||
Sunoco Finance, | 5.50 | 8/1/20 | 75,000 | 77,625 | |||||
Sunoco Finance, | 6.38 | 4/1/23 | 75,000 | 80,062 | |||||
Targa Resources Partners, | 4.13 | 11/15/19 | 200,000 | 204,374 |
14
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Energy - .7% (continued) | |||||||||
Tesoro, | 4.75 | 12/15/23 | 75,000 | b | 78,937 | ||||
Tesoro, | 5.13 | 12/15/26 | 75,000 | b | 80,250 | ||||
Tesoro Logistics, | 5.25 | 1/15/25 | 130,000 | 138,450 | |||||
Transocean, | 7.13 | 12/15/21 | 300,000 | c | 313,500 | ||||
Transocean, | 6.80 | 3/15/38 | 50,000 | 40,250 | |||||
Transocean Phoenix 2, | 7.75 | 10/15/24 | 71,250 | b | 77,484 | ||||
Weatherford International, | 7.75 | 6/15/21 | 75,000 | 80,250 | |||||
Weatherford International, | 4.50 | 4/15/22 | 75,000 | 71,250 | |||||
Weatherford International, | 8.25 | 6/15/23 | 130,000 | 141,212 | |||||
Weatherford International, | 7.00 | 3/15/38 | 100,000 | 96,250 | |||||
Whiting Petroleum, | 5.00 | 3/15/19 | 75,000 | 76,125 | |||||
Whiting Petroleum, | 5.75 | 3/15/21 | 75,000 | 75,000 | |||||
Williams Cos., | 3.70 | 1/15/23 | 100,000 | 99,000 | |||||
Williams Cos., | 4.55 | 6/24/24 | 75,000 | 77,156 | |||||
Williams Cos., | 5.75 | 6/24/44 | 75,000 | 78,000 | |||||
WPX Energy, | 8.25 | 8/1/23 | 75,000 | 84,000 | |||||
WPX Energy, | 5.25 | 9/15/24 | 75,000 | 73,875 | |||||
9,036,074 | |||||||||
Financials - .4% | |||||||||
AerCap Global Aviation Trust, | 6.50 | 6/15/45 | 75,000 | b,c | 79,125 | ||||
Ally Financial, | 4.75 | 9/10/18 | 140,000 | 144,550 | |||||
Ally Financial, | 7.50 | 9/15/20 | 115,000 | 130,094 | |||||
Ally Financial, | 8.00 | 11/1/31 | 100,000 | 119,500 | |||||
Ally Financial, | 3.75 | 11/18/19 | 75,000 | 76,492 | |||||
Ally Financial, | 5.75 | 11/20/25 | 175,000 | 179,812 | |||||
CIT Group, | 5.50 | 2/15/19 | 61,000 | b | 64,584 | ||||
CIT Group, | 5.38 | 5/15/20 | 250,000 | 269,687 | |||||
CIT Group, | 5.00 | 8/1/23 | 75,000 | 80,812 | |||||
CNH Industrial Capital, | 3.63 | 4/15/18 | 75,000 | 76,219 |
15
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Financials - .4% (continued) | |||||||||
CNH Industrial Capital, | 4.38 | 11/6/20 | 75,000 | 78,000 | |||||
CNH Industrial Capital, | 3.88 | 10/15/21 | 300,000 | 302,250 | |||||
Deutsche Bank, | 4.30 | 5/24/28 | 75,000 | c | 72,090 | ||||
Dresdner Funding Trust I, | 8.15 | 6/30/31 | 130,000 | b | 154,700 | ||||
Enova International, | 9.75 | 6/1/21 | 75,000 | 76,875 | |||||
FBM Finance, | 8.25 | 8/15/21 | 75,000 | b | 81,280 | ||||
Genworth Holdings, | 7.70 | 6/15/20 | 200,000 | 198,940 | |||||
HUB International, | 7.88 | 10/1/21 | 75,000 | b | 78,761 | ||||
Icahn Enterprises, | 4.88 | 3/15/19 | 75,000 | 76,313 | |||||
Icahn Enterprises, | 6.00 | 8/1/20 | 75,000 | 77,813 | |||||
Icahn Enterprises, | 5.88 | 2/1/22 | 75,000 | 77,531 | |||||
Intesa Sanpaolo, | 5.71 | 1/15/26 | 75,000 | b | 73,989 | ||||
MSCI, | 5.25 | 11/15/24 | 75,000 | b | 79,875 | ||||
MSCI, | 5.75 | 8/15/25 | 75,000 | b | 81,187 | ||||
MSCI, | 4.75 | 8/1/26 | 75,000 | b | 77,250 | ||||
Nationstar Mortgage, | 6.50 | 7/1/21 | 75,000 | 76,500 | |||||
Navient, | 5.50 | 1/15/19 | 300,000 | 312,375 | |||||
Navient, | 4.88 | 6/17/19 | 75,000 | 77,618 | |||||
Navient, | 6.50 | 6/15/22 | 140,000 | 144,900 | |||||
Navient, | 5.50 | 1/25/23 | 75,000 | 74,483 | |||||
OneMain Financial Holdings, | 7.25 | 12/15/21 | 75,000 | b | 78,383 | ||||
Park Aerospace Holdings, | 5.50 | 2/15/24 | 75,000 | b | 79,500 | ||||
Park Aerospace Holdings, | 5.25 | 8/15/22 | 300,000 | b | 318,000 | ||||
Quicken Loans, | 5.75 | 5/1/25 | 300,000 | b | 304,500 | ||||
Royal Bank of Scotland Group, | 6.13 | 12/15/22 | 200,000 | 215,688 | |||||
Royal Bank of Scotland Group, | 6.00 | 12/19/23 | 250,000 | 270,047 | |||||
Springleaf Finance, | 5.25 | 12/15/19 | 75,000 | 76,125 | |||||
TMX Finance, | 8.50 | 9/15/18 | 75,000 | b | 70,875 |
16
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Financials - .4% (continued) | |||||||||
USI, | 7.75 | 1/15/21 | 75,000 | b | 76,545 | ||||
4,983,268 | |||||||||
Health Care - .5% | |||||||||
Acadia Healthcare, | 5.63 | 2/15/23 | 75,000 | 77,980 | |||||
AMAG Pharmaceuticals, | 7.88 | 9/1/23 | 75,000 | b | 71,625 | ||||
Capsugel, | 7.00 | 5/15/19 | 75,000 | b | 74,831 | ||||
Centene, | 5.63 | 2/15/21 | 75,000 | 79,031 | |||||
Centene, | 4.75 | 5/15/22 | 75,000 | 78,187 | |||||
Centene, | 4.75 | 1/15/25 | 75,000 | 76,406 | |||||
Change Healthcare Holdings, | 5.75 | 3/1/25 | 75,000 | b | 77,250 | ||||
CHS/Community Health Systems, | 8.00 | 11/15/19 | 190,000 | 185,609 | |||||
CHS/Community Health Systems, | 7.13 | 7/15/20 | 175,000 | 157,719 | |||||
CHS/Community Health Systems, | 6.25 | 3/31/23 | 210,000 | 214,462 | |||||
DaVita, | 5.13 | 7/15/24 | 300,000 | 309,001 | |||||
DaVita, | 5.00 | 5/1/25 | 75,000 | 75,750 | |||||
DJO Finco, | 8.13 | 6/15/21 | 75,000 | b | 67,125 | ||||
Endo Finco, | 5.88 | 1/15/23 | 75,000 | b,c | 64,688 | ||||
Endo Finco, | 6.00 | 7/15/23 | 150,000 | b | 132,187 | ||||
Endo Finco, | 6.50 | 2/1/25 | 75,000 | b,c | 63,713 | ||||
Envision Healthcare, | 6.25 | 12/1/24 | 75,000 | b | 79,125 | ||||
Fresenius Medical Care US Finance II, | 4.13 | 10/15/20 | 75,000 | b | 77,438 | ||||
HCA, | 7.50 | 2/15/22 | 250,000 | 288,225 | |||||
HCA, | 5.38 | 2/1/25 | 230,000 | 240,062 | |||||
HCA, | 4.50 | 2/15/27 | 160,000 | 161,918 | |||||
HCA, | 3.75 | 3/15/19 | 175,000 | 179,375 | |||||
HCA, | 4.25 | 10/15/19 | 120,000 | 124,650 | |||||
HCA, | 5.00 | 3/15/24 | 300,000 | 319,125 | |||||
HealthSouth, | 5.75 | 11/1/24 | 75,000 | 76,781 | |||||
Hologic, | 5.25 | 7/15/22 | 75,000 | b | 79,312 |
17
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Health Care - .5% (continued) | |||||||||
inVentiv Group Holdings, | 7.50 | 10/1/24 | 75,000 | b | 77,813 | ||||
Kinetic Concepts, | 12.50 | 11/1/21 | 75,000 | b | 84,375 | ||||
Kinetic Concepts, | 7.88 | 2/15/21 | 75,000 | b | 80,156 | ||||
LifePoint Health, | 5.50 | 12/1/21 | 75,000 | 77,484 | |||||
LifePoint Health, | 5.88 | 12/1/23 | 75,000 | 77,625 | |||||
LifePoint Health, | 5.38 | 5/1/24 | 75,000 | b | 75,938 | ||||
Mallinckrodt International Finance, | 4.88 | 4/15/20 | 75,000 | b | 75,188 | ||||
Mallinckrodt International Finance, | 5.75 | 8/1/22 | 75,000 | b | 74,063 | ||||
Mallinckrodt International Finance, | 5.63 | 10/15/23 | 75,000 | b | 72,000 | ||||
MEDNAX, | 5.25 | 12/1/23 | 75,000 | b | 76,875 | ||||
Molina Healthcare, | 5.63 | 11/15/22 | 75,000 | c | 78,562 | ||||
MPH Acquisition Holdings, | 7.13 | 6/1/24 | 75,000 | b | 80,812 | ||||
Nature's Bounty, | 7.63 | 5/15/21 | 75,000 | b | 79,875 | ||||
Opal Acquisition, | 8.88 | 12/15/21 | 75,000 | b | 69,188 | ||||
Ortho-Clinical Diagnostics, | 6.63 | 5/15/22 | 75,000 | b | 69,188 | ||||
Pharmaceutical Product Development, | 6.38 | 8/1/23 | 75,000 | b | 78,375 | ||||
Quintiles IMS, | 4.88 | 5/15/23 | 75,000 | b | 77,438 | ||||
Quintiles IMS, | 5.00 | 10/15/26 | 300,000 | b | 309,000 | ||||
Quorum Health, | 11.63 | 4/15/23 | 100,000 | b | 89,250 | ||||
RegionalCare Hospital Partners Holdings, | 8.25 | 5/1/23 | 75,000 | b | 80,166 | ||||
Select Medical, | 6.38 | 6/1/21 | 75,000 | 77,063 | |||||
Team Health Holdings, | 6.38 | 2/1/25 | 75,000 | b | 73,406 | ||||
Tenet Healthcare, | 6.00 | 10/1/20 | 250,000 | 263,750 | |||||
Tenet Healthcare, | 8.00 | 8/1/20 | 200,000 | 204,566 | |||||
Tenet Healthcare, | 6.75 | 6/15/23 | 300,000 | 287,250 | |||||
Universal Hospital Services, | 7.63 | 8/15/20 | 75,000 | 76,406 | |||||
Valeant Pharmaceuticals International, | 5.38 | 3/15/20 | 150,000 | b | 129,000 | ||||
Valeant Pharmaceuticals International, | 6.75 | 8/15/21 | 175,000 | b | 145,250 |
18
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Health Care - .5% (continued) | |||||||||
Valeant Pharmaceuticals International, | 5.88 | 5/15/23 | 300,000 | b | 223,125 | ||||
Valeant Pharmaceuticals International, | 6.13 | 4/15/25 | 300,000 | b | 222,600 | ||||
Vizient, | 10.38 | 3/1/24 | 75,000 | b | 86,062 | ||||
WellCare Health Plans, | 5.25 | 4/1/25 | 150,000 | 156,375 | |||||
7,159,799 | |||||||||
Industrials - .4% | |||||||||
Accudyne Industries, | 7.75 | 12/15/20 | 75,000 | b | 75,563 | ||||
ADT, | 6.25 | 10/15/21 | 175,000 | 192,838 | |||||
AECOM, | 5.75 | 10/15/22 | 75,000 | 79,219 | |||||
AECOM, | 5.88 | 10/15/24 | 75,000 | 80,850 | |||||
AECOM, | 5.13 | 3/15/27 | 75,000 | b | 75,274 | ||||
Ahern Rentals, | 7.38 | 5/15/23 | 75,000 | b | 64,875 | ||||
Aircastle, | 6.25 | 12/1/19 | 75,000 | 81,525 | |||||
Aircastle, | 5.13 | 3/15/21 | 75,000 | 80,250 | |||||
Aircastle, | 5.00 | 4/1/23 | 75,000 | 80,250 | |||||
Algeco Scotsman Global Finance, | 8.50 | 10/15/18 | 75,000 | b | 71,063 | ||||
American Airlines Group, | 5.50 | 10/1/19 | 75,000 | b | 78,750 | ||||
American Airlines Group, | 4.63 | 3/1/20 | 75,000 | b | 76,594 | ||||
APX Group, | 8.75 | 12/1/20 | 75,000 | 78,094 | |||||
APX Group, | 7.88 | 12/1/22 | 75,000 | b | 82,312 | ||||
Arconic, | 5.13 | 10/1/24 | 275,000 | 289,437 | |||||
Arconic, | 5.95 | 2/1/37 | 100,000 | 102,400 | |||||
Ashtead Capital, | 6.50 | 7/15/22 | 75,000 | b | 78,094 | ||||
Ashtead Capital, | 5.63 | 10/1/24 | 75,000 | b | 80,523 | ||||
BCD Acquisition, | 9.63 | 9/15/23 | 75,000 | b | 81,187 | ||||
Blueline Rental, | 9.25 | 3/15/24 | 75,000 | b | 78,469 | ||||
Bombardier, | 8.75 | 12/1/21 | 300,000 | b | 334,500 | ||||
Bombardier, | 6.13 | 1/15/23 | 75,000 | b | 75,000 | ||||
Brand Energy & Infrastructure Services, | 8.50 | 12/1/21 | 75,000 | b | 79,875 |
19
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Industrials - .4% (continued) | |||||||||
Builders Firstsource, | 5.63 | 9/1/24 | 75,000 | b | 78,094 | ||||
Clean Harbors, | 5.25 | 8/1/20 | 75,000 | 76,594 | |||||
Clean Harbors, | 5.13 | 6/1/21 | 75,000 | 76,906 | |||||
CNH Industrial, | 4.50 | 8/15/23 | 75,000 | 76,949 | |||||
Florida East Coast Holdings, | 6.75 | 5/1/19 | 75,000 | b | 77,288 | ||||
Gardner Denver, | 6.88 | 8/15/21 | 75,000 | b | 78,187 | ||||
Gates Global, | 6.00 | 7/15/22 | 75,000 | b | 75,750 | ||||
General Cable, | 6.75 | 10/1/22 | 75,000 | c | 74,625 | ||||
GFL Environmental, | 9.88 | 2/1/21 | 75,000 | b | 81,000 | ||||
Griffon, | 5.25 | 3/1/22 | 75,000 | 76,969 | |||||
Grinding Media, | 7.38 | 12/15/23 | 75,000 | b | 80,197 | ||||
H&E Equipment Services, | 7.00 | 9/1/22 | 75,000 | 78,795 | |||||
HD Supply, | 5.75 | 4/15/24 | 75,000 | b | 79,875 | ||||
HD Supply, | 5.25 | 12/15/21 | 75,000 | b | 79,406 | ||||
Hertz, | 5.88 | 10/15/20 | 75,000 | 70,313 | |||||
Hertz, | 6.25 | 10/15/22 | 75,000 | 69,563 | |||||
Hertz, | 5.50 | 10/15/24 | 75,000 | b | 64,688 | ||||
Huntington Ingalls Industries, | 5.00 | 11/15/25 | 75,000 | b | 79,312 | ||||
IHS Markit, | 4.75 | 2/15/25 | 75,000 | b | 78,656 | ||||
KLX, | 5.88 | 12/1/22 | 75,000 | b | 79,125 | ||||
Navios Maritime Holdings, | 7.38 | 1/15/22 | 75,000 | b | 64,875 | ||||
Ply Gem Industries, | 6.50 | 2/1/22 | 75,000 | 78,656 | |||||
Ritchie Bros Auctioneers, | 5.38 | 1/15/25 | 75,000 | b | 77,625 | ||||
Sensata Technologies, | 4.88 | 10/15/23 | 75,000 | b | 76,031 | ||||
Sensata Technologies UK Financing, | 6.25 | 2/15/26 | 75,000 | b | 81,562 | ||||
Standard Industries, | 6.00 | 10/15/25 | 75,000 | b | 80,437 | ||||
Stena, | 7.00 | 2/1/24 | 75,000 | b | 71,625 | ||||
Terex, | 5.63 | 2/1/25 | 75,000 | b | 76,781 |
20
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Industrials - .4% (continued) | |||||||||
TransDigm, | 6.00 | 7/15/22 | 75,000 | 77,438 | |||||
TransDigm, | 6.50 | 7/15/24 | 75,000 | 77,250 | |||||
TransDigm, | 6.38 | 6/15/26 | 75,000 | 75,750 | |||||
United Rentals North America, | 6.13 | 6/15/23 | 75,000 | 78,562 | |||||
United Rentals North America, | 5.50 | 5/15/27 | 200,000 | 206,250 | |||||
United Rentals North America, | 4.63 | 7/15/23 | 75,000 | 78,135 | |||||
Vertiv Group, | 9.25 | 10/15/24 | 75,000 | b | 80,906 | ||||
WESCO Distribution, | 5.38 | 12/15/21 | 75,000 | 77,438 | |||||
XPO Logistics, | 6.13 | 9/1/23 | 300,000 | b | 316,125 | ||||
5,604,680 | |||||||||
Information Technology - .3% | |||||||||
Advanced Micro Devices, | 7.50 | 8/15/22 | 150,000 | 167,250 | |||||
Amkor Technology, | 6.38 | 10/1/22 | 75,000 | 78,469 | |||||
BMC Software Finance, | 8.13 | 7/15/21 | 75,000 | b | 76,641 | ||||
Boxer Parent, | 9.00 | 10/15/19 | 75,000 | b | 75,235 | ||||
Camelot Finance, | 7.88 | 10/15/24 | 75,000 | b | 80,625 | ||||
CDW, | 5.50 | 12/1/24 | 75,000 | 80,250 | |||||
CDW, | 5.00 | 9/1/25 | 75,000 | 77,250 | |||||
Conduent Finance, | 10.50 | 12/15/24 | 75,000 | b | 87,187 | ||||
Dell International, | 5.88 | 6/15/21 | 300,000 | b | 318,750 | ||||
EMC, | 2.65 | 6/1/20 | 300,000 | 293,811 | |||||
First Data, | 5.75 | 1/15/24 | 300,000 | b | 312,375 | ||||
First Data, | 5.38 | 8/15/23 | 250,000 | b | 260,625 | ||||
Genesys Telecommunications Laboratories, | 10.00 | 11/30/24 | 75,000 | b | 83,259 | ||||
Infor Software Parent, | 7.13 | 5/1/21 | 75,000 | b | 77,025 | ||||
Informatica, | 7.13 | 7/15/23 | 75,000 | b | 74,156 | ||||
Ingram Micro, | 4.95 | 12/15/24 | 75,000 | c | 75,387 | ||||
Micron Technology, | 5.25 | 8/1/23 | 75,000 | b | 78,000 | ||||
NCR, | 4.63 | 2/15/21 | 75,000 | 77,063 |
21
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Information Technology - .3% (continued) | |||||||||
NCR, | 5.00 | 7/15/22 | 75,000 | 76,875 | |||||
NCR, | 4.75 | 12/15/21 | 75,000 | b | 77,063 | ||||
Nuance Communications, | 5.63 | 12/15/26 | 75,000 | b | 77,719 | ||||
NXP Funding, | 4.13 | 6/1/21 | 75,000 | b | 78,656 | ||||
NXP Funding, | 3.88 | 9/1/22 | 75,000 | b | 78,075 | ||||
Open Text, | 5.63 | 1/15/23 | 75,000 | b | 78,937 | ||||
Open Text, | 5.88 | 6/1/26 | 75,000 | b | 80,250 | ||||
Rackspace Hosting, | 8.63 | 11/15/24 | 75,000 | b | 79,594 | ||||
Riverbed Technology, | 8.88 | 3/1/23 | 75,000 | b | 77,625 | ||||
Sabre Global, | 5.25 | 11/15/23 | 75,000 | b | 78,000 | ||||
Solera Finance, | 10.50 | 3/1/24 | 75,000 | b | 85,969 | ||||
Sungard Availability Services Capital, | 8.75 | 4/1/22 | 100,000 | b | 77,750 | ||||
Symantec, | 5.00 | 4/15/25 | 75,000 | b | 77,719 | ||||
TIBCO Software, | 11.38 | 12/1/21 | 75,000 | b | 83,250 | ||||
Veritas US, | 10.50 | 2/1/24 | 75,000 | b | 80,250 | ||||
ViaSat, | 6.88 | 6/15/20 | 75,000 | 76,547 | |||||
Western Digital, | 10.50 | 4/1/24 | 300,000 | 354,750 | |||||
Zebra Technologies, | 7.25 | 10/15/22 | 75,000 | 81,281 | |||||
4,073,668 | |||||||||
Materials - .5% | |||||||||
Alcoa Nederland Holding, | 6.75 | 9/30/24 | 75,000 | b | 82,425 | ||||
Alcoa Nederland Holding, | 7.00 | 9/30/26 | 75,000 | b | 83,250 | ||||
Aleris International, | 9.50 | 4/1/21 | 75,000 | b | 80,812 | ||||
Allegheny Technologies, | 7.63 | 8/15/23 | 75,000 | c | 77,719 | ||||
American Builders & Contractors Supply, | 5.63 | 4/15/21 | 27,000 | b | 27,844 | ||||
Anglo American Capital, | 3.63 | 5/14/20 | 75,000 | b | 76,313 | ||||
Anglo American Capital, | 4.88 | 5/14/25 | 75,000 | b | 78,562 | ||||
Arcelormittal, | 6.13 | 6/1/25 | 75,000 | 84,547 | |||||
ArcelorMittal, | 7.25 | 2/25/22 | 75,000 | c | 85,406 |
22
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Materials - .5% (continued) | |||||||||
ArcelorMittal, | 8.00 | 10/15/39 | 120,000 | c | 137,700 | ||||
ARD Finance, | 7.13 | 9/15/23 | 75,000 | b | 78,000 | ||||
Ardagh Packaging Finance, | 7.25 | 5/15/24 | 75,000 | b | 81,937 | ||||
Ardagh Packaging Finance, | 4.63 | 5/15/23 | 75,000 | b | 76,875 | ||||
Ashland, | 5.25 | 8/15/22 | 135,000 | c | 141,244 | ||||
Axalta Coating Systems, | 4.88 | 8/15/24 | 75,000 | b | 77,859 | ||||
Ball, | 5.00 | 3/15/22 | 300,000 | 321,375 | |||||
Ball, | 4.00 | 11/15/23 | 75,000 | 76,406 | |||||
Ball, | 5.25 | 7/1/25 | 75,000 | 81,281 | |||||
Berry Plastics, | 5.50 | 5/15/22 | 75,000 | 78,469 | |||||
Berry Plastics, | 5.13 | 7/15/23 | 75,000 | 78,259 | |||||
Blue Cube Spinco, | 9.75 | 10/15/23 | 75,000 | 91,125 | |||||
Blue Cube Spinco, | 10.00 | 10/15/25 | 75,000 | 92,812 | |||||
BlueScope Steel Finance, | 6.50 | 5/15/21 | 75,000 | b | 79,687 | ||||
Cascades, | 5.50 | 7/15/22 | 75,000 | b | 75,938 | ||||
CF Industries, | 3.45 | 6/1/23 | 75,000 | 70,125 | |||||
CF Industries, | 4.95 | 6/1/43 | 75,000 | 63,350 | |||||
CF Industries, | 5.38 | 3/15/44 | 75,000 | 65,625 | |||||
Chemours, | 6.63 | 5/15/23 | 75,000 | 80,625 | |||||
Chemours, | 7.00 | 5/15/25 | 75,000 | 82,781 | |||||
CIMPOR Financial Operations, | 5.75 | 7/17/24 | 75,000 | b | 66,038 | ||||
Cliffs Natural Resources, | 5.75 | 3/1/25 | 75,000 | b | 72,938 | ||||
Cliffs Natural Resources, | 8.25 | 3/31/20 | 67,000 | b | 73,114 | ||||
Consolidated Energy Finance, | 6.75 | 10/15/19 | 75,000 | b | 76,875 | ||||
Constellium, | 6.63 | 3/1/25 | 75,000 | b | 74,063 | ||||
Coveris Holdings, | 7.88 | 11/1/19 | 75,000 | b | 74,438 | ||||
Crown Americas, | 4.50 | 1/15/23 | 75,000 | 77,625 | |||||
CVR Partners, | 9.25 | 6/15/23 | 75,000 | b | 76,875 |
23
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Materials - .5% (continued) | |||||||||
First Quantum Minerals, | 7.00 | 2/15/21 | 75,000 | b | 78,000 | ||||
Flex Acquisition, | 6.88 | 1/15/25 | 75,000 | b | 77,391 | ||||
Freeport-McMoRan, | 3.55 | 3/1/22 | 300,000 | 283,500 | |||||
Freeport-McMoRan, | 3.88 | 3/15/23 | 300,000 | 279,750 | |||||
GCP Applied Technologies, | 9.50 | 2/1/23 | 75,000 | b | 85,687 | ||||
Hexion, | 6.63 | 4/15/20 | 250,000 | 237,500 | |||||
Hudbay Minerals, | 7.25 | 1/15/23 | 75,000 | b | 80,156 | ||||
Hudbay Minerals, | 7.63 | 1/15/25 | 75,000 | b | 80,719 | ||||
Huntsman International, | 4.88 | 11/15/20 | 75,000 | 79,219 | |||||
Imperial Metals, | 7.00 | 3/15/19 | 235,000 | b | 222,956 | ||||
INEOS Group Holdings, | 5.63 | 8/1/24 | 75,000 | b | 76,500 | ||||
Kinross Gold, | 5.13 | 9/1/21 | 75,000 | 78,750 | |||||
Koppers, | 6.00 | 2/15/25 | 75,000 | b | 78,750 | ||||
Lundin Mining, | 7.50 | 11/1/20 | 75,000 | b | 79,875 | ||||
Momentive Performance Materials, | 3.88 | 10/24/21 | 75,000 | 74,906 | |||||
New Gold, | 6.25 | 11/15/22 | 75,000 | b | 76,875 | ||||
Novelis, | 6.25 | 8/15/24 | 75,000 | b | 79,500 | ||||
Novelis, | 5.88 | 9/30/26 | 75,000 | b | 77,250 | ||||
Owens-Brockway Glass Container, | 5.00 | 1/15/22 | 300,000 | b | 312,750 | ||||
Platform Specialty Products, | 10.38 | 5/1/21 | 75,000 | b | 83,719 | ||||
Platform Specialty Products, | 6.50 | 2/1/22 | 75,000 | b | 77,250 | ||||
PolyOne, | 5.25 | 3/15/23 | 75,000 | 77,438 | |||||
PQ, | 6.75 | 11/15/22 | 75,000 | b | 81,562 | ||||
Rayonier AM Products, | 5.50 | 6/1/24 | 75,000 | b | 69,188 | ||||
Resolute Forest Products, | 5.88 | 5/15/23 | 75,000 | 72,000 | |||||
Reynolds Group Issuer, | 7.00 | 7/15/24 | 75,000 | b | 80,859 | ||||
Reynolds Group Issuer, | 5.13 | 7/15/23 | 75,000 | b | 78,281 | ||||
Signode Industrial Group, | 6.38 | 5/1/22 | 75,000 | b | 77,633 |
24
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Materials - .5% (continued) | |||||||||
Silgan Holdings, | 5.00 | 4/1/20 | 75,000 | 76,219 | |||||
St. Marys Cement, | 5.75 | 1/28/27 | 75,000 | b | 75,281 | ||||
Standard Industries, | 5.13 | 2/15/21 | 75,000 | b | 78,656 | ||||
Standard Industries, | 5.50 | 2/15/23 | 75,000 | b | 78,187 | ||||
Steel Dynamics, | 5.13 | 10/1/21 | 75,000 | 77,813 | |||||
Steel Dynamics, | 5.00 | 12/15/26 | 75,000 | b | 76,875 | ||||
Teck Resources, | 3.75 | 2/1/23 | 75,000 | 74,179 | |||||
Teck Resources, | 8.50 | 6/1/24 | 75,000 | b | 87,094 | ||||
Teck Resources, | 5.40 | 2/1/43 | 100,000 | 97,750 | |||||
Tronox Finance, | 6.38 | 8/15/20 | 75,000 | 76,594 | |||||
Tronox Finance, | 7.50 | 3/15/22 | 75,000 | b | 78,750 | ||||
United States Steel, | 8.38 | 7/1/21 | 75,000 | b | 82,781 | ||||
US Concrete, | 6.38 | 6/1/24 | 75,000 | b | 78,750 | ||||
WR Grace & Co-Conn, | 5.13 | 10/1/21 | 75,000 | b | 80,719 | ||||
7,457,929 | |||||||||
Real Estate - .1% | |||||||||
Equinix, | 5.38 | 4/1/23 | 75,000 | 78,469 | |||||
Equinix, | 5.88 | 1/15/26 | 275,000 | 297,000 | |||||
ESH Hospitality, | 5.25 | 5/1/25 | 75,000 | b | 76,125 | ||||
FelCor Lodging, | 5.63 | 3/1/23 | 75,000 | 79,321 | |||||
Iron Mountain, | 6.00 | 8/15/23 | 75,000 | 80,061 | |||||
Iron Mountain, | 5.75 | 8/15/24 | 75,000 | 77,625 | |||||
iStar, | 5.00 | 7/1/19 | 75,000 | 76,031 | |||||
MPT Operating Partnership, | 5.25 | 8/1/26 | 75,000 | 77,250 | |||||
Realogy Group, | 4.88 | 6/1/23 | 75,000 | b | 76,125 | ||||
Sabra Health Care, | 5.50 | 2/1/21 | 75,000 | 78,469 | |||||
SBA Communications, | 4.88 | 7/15/22 | 200,000 | 206,500 | |||||
Starwood Property Trust, | 5.00 | 12/15/21 | 75,000 | b | 78,375 | ||||
Uniti Group, | 8.25 | 10/15/23 | 300,000 | 321,657 |
25
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Real Estate - .1% (continued) | |||||||||
Uniti Group, | 6.00 | 4/15/23 | 75,000 | b | 78,235 | ||||
1,681,243 | |||||||||
Telecommunications - .4% | |||||||||
CenturyLink, | 7.60 | 9/15/39 | 120,000 | 112,608 | |||||
CenturyLink, | 6.45 | 6/15/21 | 75,000 | 81,375 | |||||
CenturyLink, | 5.80 | 3/15/22 | 75,000 | 78,750 | |||||
CenturyLink, | 7.50 | 4/1/24 | 75,000 | 81,656 | |||||
CenturyLink, | 5.63 | 4/1/20 | 75,000 | 79,875 | |||||
Cincinnati Bell, | 7.00 | 7/15/24 | 75,000 | b | 79,575 | ||||
CommScope, | 5.00 | 6/15/21 | 75,000 | b | 77,344 | ||||
CommScope, | 5.50 | 6/15/24 | 75,000 | b | 78,984 | ||||
CommScope Technologies, | 6.00 | 6/15/25 | 75,000 | b | 80,344 | ||||
Consolidated Communications, | 6.50 | 10/1/22 | 75,000 | 74,438 | |||||
Frontier Communications, | 10.50 | 9/15/22 | 300,000 | 303,375 | |||||
Frontier Communications, | 11.00 | 9/15/25 | 300,000 | 290,625 | |||||
Hughes Satelite Systems, | 6.50 | 6/15/19 | 140,000 | 151,900 | |||||
Hughes Satellite Systems, | 7.63 | 6/15/21 | 130,000 | 147,277 | |||||
Inmarsat Finance, | 4.88 | 5/15/22 | 75,000 | b | 75,750 | ||||
Intelsat Jackson Holdings, | 5.50 | 8/1/23 | 150,000 | 128,812 | |||||
Intelsat Jackson Holdings, | 7.25 | 4/1/19 | 100,000 | 96,875 | |||||
Intelsat Jackson Holdings, | 7.50 | 4/1/21 | 150,000 | 138,000 | |||||
Intelsat Jackson Holdings, | 8.00 | 2/15/24 | 75,000 | b | 81,094 | ||||
Level 3 Financing, | 5.38 | 8/15/22 | 300,000 | 310,560 | |||||
Sable International Finance, | 6.88 | 8/1/22 | 75,000 | b | 80,835 | ||||
Sprint, | 7.88 | 9/15/23 | 300,000 | 337,500 | |||||
Sprint, | 7.13 | 6/15/24 | 300,000 | 327,000 | |||||
Sprint Capital, | 6.88 | 11/15/28 | 100,000 | 108,750 | |||||
Sprint Capital, | 8.75 | 3/15/32 | 100,000 | 123,312 | |||||
Sprint Communications, | 9.00 | 11/15/18 | 150,000 | b | 164,437 |
26
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Telecommunications - .4% (continued) | |||||||||
Sprint Communications, | 7.00 | 3/1/20 | 100,000 | b | 109,500 | ||||
Sprint Communications, | 6.00 | 11/15/22 | 300,000 | 313,312 | |||||
Telecom Italia, | 5.30 | 5/30/24 | 75,000 | b | 77,906 | ||||
Telecom Italia Capital, | 7.18 | 6/18/19 | 100,000 | 110,225 | |||||
Telecom Italia Capital, | 7.20 | 7/18/36 | 150,000 | 166,125 | |||||
Telesat, | 8.88 | 11/15/24 | 75,000 | b | 82,687 | ||||
T-Mobile USA, | 6.63 | 4/1/23 | 225,000 | 241,031 | |||||
T-Mobile USA, | 6.38 | 3/1/25 | 250,000 | 273,830 | |||||
T-Mobile USA, | 5.38 | 4/15/27 | 200,000 | 214,500 | |||||
West, | 5.38 | 7/15/22 | 75,000 | b | 76,031 | ||||
Wind Acquisition Finance, | 6.50 | 4/30/20 | 75,000 | b | 77,700 | ||||
Windstream Services, | 6.38 | 8/1/23 | 75,000 | 66,563 | |||||
Zayo Group, | 6.00 | 4/1/23 | 75,000 | 80,062 | |||||
Zayo Group, | 6.38 | 5/15/25 | 75,000 | 81,375 | |||||
Zayo Group, | 5.75 | 1/15/27 | 75,000 | b | 79,781 | ||||
5,741,679 | |||||||||
Utilities - .1% | |||||||||
AES, | 4.88 | 5/15/23 | 300,000 | 304,500 | |||||
AmeriGas Partners, | 5.63 | 5/20/24 | 75,000 | 76,688 | |||||
AmeriGas Partners, | 5.88 | 8/20/26 | 75,000 | 76,500 | |||||
Calpine, | 5.25 | 6/1/26 | 130,000 | b | 131,462 | ||||
Dynegy, | 7.63 | 11/1/24 | 75,000 | 69,000 | |||||
Enel, | 8.75 | 9/24/73 | 75,000 | b,c | 87,937 | ||||
GenOn Americas Generation, | 8.50 | 10/1/21 | 120,000 | 109,500 | |||||
InterGen, | 7.00 | 6/30/23 | 75,000 | b | 70,313 | ||||
NRG Energy, | 6.25 | 7/15/22 | 75,000 | 76,786 | |||||
NRG Energy, | 7.25 | 5/15/26 | 75,000 | 77,063 | |||||
NRG Energy, | 6.63 | 1/15/27 | 75,000 | 74,625 | |||||
NRG Yield Operating, | 5.38 | 8/15/24 | 75,000 | 77,063 |
27
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Bonds and Notes - 4.8% (continued) | Coupon | Maturity | Principal | a | Value ($) | ||||
Utilities - .1% (continued) | |||||||||
Talen Energy Supply, | 5.13 | 7/15/19 | 14,000 | b,c | 13,825 | ||||
Talen Energy Supply, | 4.60 | 12/15/21 | 75,000 | 58,500 | |||||
TerraForm Power Operating, | 13.75 | 8/15/22 | 75,000 | b,c | 83,625 | ||||
TerraForm Power Operating, | 9.38 | 2/1/23 | 300,000 | b,c | 311,250 | ||||
1,698,637 | |||||||||
Total Bonds and Notes | 66,924,804 | ||||||||
Common Stocks - 4.9% | Shares | Value ($) | |||||||
Exchange-Traded Funds - 4.9% | |||||||||
iShares TIPS Bond ETF | 589,965 | 67,851,875 | |||||||
SPDR Barclays High Yield Bond ETF | 5,000 | 185,700 | |||||||
Total Common Stocks | 68,037,575 | ||||||||
Options Purchased - .3% | Number of | Value ($) | |||||||
Call Options - .1% | |||||||||
Swiss Market Index, | 2,840 | 957,899 | |||||||
Put Options - .2% | |||||||||
EURO STOXX 50 Index, | 77,010 | 133,997 | |||||||
Nikkei 225 Index, | 1,634,000 | 175,895 | |||||||
S&P E-Mini Index, | 211,750 | 2,964,500 | |||||||
Swiss Market Index, | 2,180 | 130,706 | |||||||
3,405,098 | |||||||||
Total Options Purchased | 4,362,997 | ||||||||
Short-Term Investments - 76.0% | Yield at | Maturity Date | Principal Amount ($) | Value ($) | |||||
U.S. Treasury Bills | 0.52 | 5/11/17 | 242,750,000 | 242,705,577 | |||||
U.S. Treasury Bills | 0.74 | 5/11/17 | 58,704,000 | 58,691,953 | |||||
U.S. Treasury Bills | 0.76 | 6/15/17 | 91,250,000 | d | 91,175,814 | ||||
U.S. Treasury Bills | 0.77 | 6/29/17 | 672,192,000 | 671,385,370 | |||||
Total Short-Term Investments | 1,063,958,714 |
28
Other Investment - 13.3% | Shares | Value ($) | |||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 186,626,952 | e | 186,626,952 | ||||||
Total Investments (cost $1,389,113,813) | 99.3% | 1,389,911,042 | |||||||
Cash and Receivables (Net) | 0.7% | 10,427,940 | |||||||
Net Assets | 100.0% | 1,400,338,982 |
ETF—Exchange-Traded Fund
SPDR—Standard & Poor's Depository Receipt
a Principal amount stated in U.S. Dollars unless otherwise noted.
b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2017, these securities were valued at $29,778,868 or 2.13% of net assets.
c Variable rate security—rate shown is the interest rate in effect at period end.
d Held by or on behalf of a counterparty for open futures contracts.
e Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Short-Term/Money Market Investment | 89.3 |
Exchange-Traded Funds | 4.9 |
Corporate Bonds | 4.8 |
Options Purchased | .3 |
99.3 |
† Based on net assets.
See notes to financial statements.
29
CONSOLIDATED STATEMENT OF FUTURES
April 30, 2017 (Unaudited)
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation (Depreciation) ($) | |||
Futures Long | ||||||
Amsterdam Exchange Index | 86 | 9,679,942 | May 2017 | 237,163 | ||
ASX SPI 200 | 937 | 103,717,810 | June 2017 | 2,879,002 | ||
Australian 10 Year Bond | 3,494 | 339,385,190 | June 2017 | 9,596,989 | ||
Brent Crude | 55 | a | 2,915,000 | December 2017 | (220,110) | |
CAC 40 10 Euro | 525 | 29,823,696 | May 2017 | 1,461,264 | ||
Canadian 10 year Bond | 979 | 100,091,015 | June 2017 | 1,784,546 | ||
Copper | 76 | a | 4,954,250 | July 2017 | (65,816) | |
Cotton No.2 | 529 | a | 20,861,115 | July 2017 | 847,129 | |
Crude Oil | 10 | a | 505,900 | December 2017 | (43,785) | |
DAX | 223 | 75,713,287 | June 2017 | 2,675,374 | ||
DJ Euro Stoxx 50 | 70 | 2,674,887 | June 2017 | 158,465 | ||
Euro-Bond | 861 | 151,731,530 | June 2017 | 704,323 | ||
Euro-Bund Option Put 175 | 2,281 | 32,847,672 | March 2017 | 1,053,615 | ||
FTSE 100 | 1,157 | 107,371,062 | June 2017 | (1,802,975) | ||
FTSE/MIB Index | 5 | 552,412 | June 2017 | 31,283 | ||
Gold 100 oz | 141 | a | 17,883,030 | June 2017 | 265,074 | |
IBEX 35 Index | 235 | 27,462,147 | May 2017 | 1,190,078 | ||
Live Cattle | 12 | a | 595,320 | June 2017 | 84,904 | |
LME Primary Aluminum | 116 | a | 5,521,600 | May 2017 | 145,446 | |
LME Primary Aluminum | 115 | a | 5,494,844 | July 2017 | (152,576) | |
LME Primary Nickel | 9 | a | 507,924 | May 2017 | (58,941) | |
LME Primary Nickel | 9 | a | 510,138 | July 2017 | (32,211) | |
LME Refined Pig Lead | 3 | a | 168,750 | July 2017 | (384) | |
LME Refined Pig Lead | 3 | a | 168,788 | May 2017 | (10,190) | |
LME Zinc | 6 | a | 392,175 | May 2017 | (33,393) | |
LME Zinc | 6 | a | 393,525 | July 2017 | (7,706) | |
Low Sulphur Gas oil | 88 | a | 4,028,200 | July 2017 | (303,720) | |
Nikkei 225 Index | 60 | 5,163,041 | June 2017 | 223,204 | ||
NY Harbor ULSD | 15 | a | 990,234 | December 2017 | (91,761) | |
Platinum | 162 | a | 7,684,470 | July 2017 | (134,822) | |
S&P/Toronto Stock Exchange 60 Index | 244 | 32,775,239 | June 2017 | 227,174 | ||
Silver | 67 | a | 5,782,770 | July 2017 | (388,500) | |
Soy Bean Meal | 193 | a | 6,094,940 | July 2017 | (108,253) | |
Soybean | 211 | a | 10,088,438 | July 2017 | 28,388 |
30
Contracts | Market Value Covered by Contracts ($) | Expiration | Unrealized Appreciation (Depreciation) ($) | |||
Futures Long (continued) | ||||||
Standard & Poor's 500 E-mini | 3,453 | 410,993,325 | June 2017 | 1,247,772 | ||
Topix | 1,384 | 189,954,698 | September 2017 | (800,497) | ||
U.S. Treasury 10 Year Notes | 5,201 | 653,863,219 | June 2017 | 6,575,162 | ||
Futures Short | ||||||
Chicago SRW Wheat | 502 | a | (10,849,475) | July 2017 | 35,793 | |
Cocoa | 319 | a | (5,872,790) | July 2017 | 303,136 | |
Coffee "C" | 60 | a | (3,001,500) | July 2017 | 155,040 | |
Corn No.2 Yellow | 65 | a | (1,191,125) | July 2017 | (228) | |
Crude Soybean Oil | 541 | a | (10,293,066) | July 2017 | (73,042) | |
Hang Seng | 224 | (35,365,238) | May 2017 | (349,208) | ||
Hard Red Winter Wheat | 551 | a | (12,046,238) | July 2017 | 94,077 | |
Lean Hog | 18 | a | (532,800) | June 2017 | 22,240 | |
LME Primary Aluminum | 116 | a | (5,521,600) | May 2017 | 133,290 | |
LME Primary Nickel | 9 | a | (507,924) | May 2017 | 32,049 | |
LME Refined Pig Lead | 3 | a | (168,788) | May 2017 | (47) | |
LME Zinc | 6 | a | (392,175) | May 2017 | 6,807 | |
Long Gilt | 2,046 | (339,913,504) | June 2017 | (6,471,960) | ||
Natural Gas | 118 | a | (3,987,220) | October 2017 | (15,160) | |
NYMEX Palladium | 79 | a | (6,530,930) | June 2017 | (402,532) | |
Sugar No.11 | 466 | a | (8,517,734) | October 2017 | 313,771 | |
Gross Unrealized Appreciation | 32,512,558 | |||||
Gross Unrealized Depreciation | (11,567,817) |
a These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
31
CONSOLIDATED STATEMENT OF OPTIONS WRITTEN
April 30, 2017 (Unaudited)
Number of Contracts | Value ($) | ||||
Call Options: | |||||
S&P 500 E-Mini Eurostyle | |||||
May 2017 @ 243.5 | 211,300 | (253,560) | |||
Swiss Market Index | |||||
June 2017 @ CHF 8,490 | 2,180 | (726,773) | |||
Put Options: | |||||
Swiss Market Index | |||||
June 2017 @ CHF 8,488 | 2,840 | (168,920) | |||
Total Options Written (premiums received $2,107,853) | (1,149,253) |
CHF—Swiss Franc
See notes to consolidated financial statements.
32
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) |
Purchases: | ||||
Bank of America | ||||
Euro, | ||||
Expiring | ||||
6/21/2017 | 65,901,250 | 71,738,253 | 71,988,476 | 250,223 |
Japanese Yen, | ||||
Expiring | ||||
6/21/2017 | 874,115,250 | 7,887,026 | 7,858,787 | (28,239) |
Swedish Krona, | ||||
Expiring | ||||
6/21/2017 | 8,020,500 | 914,533 | 908,161 | (6,372) |
Bank of Montreal | ||||
Euro, | ||||
Expiring | ||||
6/21/2017 | 23,636,160 | 25,698,037 | 25,819,406 | 121,369 |
Japanese Yen, | ||||
Expiring | ||||
6/21/2017 | 279,716,880 | 2,523,780 | 2,514,812 | (8,968) |
Norwegian Krone, | ||||
Expiring | ||||
6/21/2017 | 123,484,400 | 14,400,823 | 14,391,353 | (9,470) |
Swedish Krona, | ||||
Expiring | ||||
6/21/2017 | 2,566,560 | 292,549 | 290,611 | (1,938) |
BNP Paribas | ||||
Swedish Krona, | ||||
Expiring | ||||
6/21/2017 | 154,870,375 | 17,200,175 | 17,535,964 | 335,789 |
Citigroup | ||||
Australian Dollar, | ||||
Expiring | ||||
6/21/2017 | 53,721,012 | 40,870,935 | 40,186,998 | (683,937) |
British Pound, | ||||
Expiring | ||||
6/21/2017 | 6,008,000 | 7,513,937 | 7,794,015 | 280,078 |
Canadian Dollar, | ||||
Expiring | ||||
6/21/2017 | 16,362,000 | 12,253,150 | 11,996,463 | (256,687) |
Euro, | ||||
Expiring | ||||
6/21/2017 | 10,287,690 | 11,031,279 | 11,237,953 | 206,674 |
Japanese Yen, | ||||
Expiring | ||||
6/21/2017 | 2,419,777,847 | 21,251,306 | 21,755,163 | 503,857 |
33
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Purchases: (continued) | |||||||
Citigroup (continued) | |||||||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 212,660,000 | 24,954,424 | 24,784,225 | (170,199) | |||
Swedish Krona, | |||||||
Expiring | |||||||
6/21/2017 | 452,696,940 | 51,017,342 | 51,258,850 | 241,508 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 36,197,309 | 36,128,173 | 36,504,973 | 376,800 | |||
Credit Suisse International | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 13,993,752 | 10,523,833 | 10,468,285 | (55,548) | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 21,837,900 | 23,858,386 | 23,855,043 | (3,343) | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 2,219,282,499 | 19,480,497 | 19,952,597 | 472,100 | |||
Swedish Krona, | |||||||
Expiring | |||||||
6/21/2017 | 43,697,090 | 4,853,178 | 4,947,819 | 94,641 | |||
Goldman Sachs International | |||||||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 24,892,200 | 27,083,012 | 27,191,465 | 108,453 | |||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 34,753,209 | 24,262,286 | 23,828,705 | (433,581) | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 87,664,200 | 10,255,953 | 10,216,727 | (39,226) | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 586,474 | 581,465 | 591,459 | 9,994 | |||
HSBC | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 31,296,442 | 23,552,678 | 23,411,883 | (140,795) | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 21,352,300 | 23,054,530 | 23,324,588 | 270,058 | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 443,363,712 | 3,888,623 | 3,986,089 | 97,466 |
34
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Purchases: (continued) | |||||||
HSBC (continued) | |||||||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 3,098,200 | 2,135,806 | 2,124,296 | (11,510) | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 48,781,200 | 5,680,509 | 5,685,151 | 4,642 | |||
Swedish Krona, | |||||||
Expiring | |||||||
6/21/2017 | 163,832,250 | 18,205,060 | 18,550,717 | 345,657 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 2,299,658 | 2,280,140 | 2,319,204 | 39,064 | |||
Morgan Stanley Capital Services | |||||||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 48,781,200 | 5,681,845 | 5,685,151 | 3,306 | |||
Nomura Securities | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 23,322,920 | 17,542,567 | 17,447,142 | (95,425) | |||
Swedish Krona, | |||||||
Expiring | |||||||
6/21/2017 | 78,211,120 | 8,686,168 | 8,855,841 | 169,673 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 3,173,580 | 3,145,148 | 3,200,554 | 55,406 | |||
Royal Bank of Canada | |||||||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 61,995,987 | 46,876,593 | 45,454,869 | (1,421,724) | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 6,285,620,827 | 56,524,411 | 56,511,265 | (13,146) | |||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 4,201,204 | 2,895,869 | 2,880,576 | (15,293) | |||
Swedish Krona, | |||||||
Expiring | |||||||
6/21/2017 | 233,923,750 | 26,109,906 | 26,487,173 | 377,267 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 17,325,000 | 17,320,422 | 17,472,256 | 151,834 |
35
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Purchases: (continued) | |||||||
Standard Chartered Bank | |||||||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 4,201,204 | 2,895,848 | 2,880,576 | (15,272) | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 16,602,538 | 16,453,958 | 16,743,653 | 289,695 | |||
Sales: | |||||||
Bank of America | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 29,116,190 | 21,964,315 | 21,780,905 | 183,410 | |||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 9,773,460 | 12,526,660 | 12,678,844 | (152,184) | |||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 6,040,500 | 4,532,375 | 4,428,837 | 103,538 | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 1,995,213,000 | 17,920,967 | 17,938,086 | (17,119) | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 10,893,750 | 11,037,234 | 10,986,343 | 50,891 | |||
Bank of Montreal | |||||||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 22,617,760 | 16,793,650 | 16,583,127 | 210,523 | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 73,497,968 | 77,917,509 | 80,286,894 | (2,369,385) | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 841,858,000 | 7,673,065 | 7,568,777 | 104,288 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 3,486,000 | 3,529,448 | 3,515,630 | 13,818 | |||
BNP Paribas | |||||||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 21,875,415 | 26,673,415 | 28,378,380 | (1,704,965) | |||
Citigroup | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 32,558,810 | 24,706,384 | 24,356,221 | 350,163 |
36
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Sales: (continued) | |||||||
Citigroup (continued) | |||||||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 42,091,044 | 51,286,427 | 54,603,565 | (3,317,138) | |||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 4,361,640 | 3,241,733 | 3,197,913 | 43,820 | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 77,158,368 | 81,980,663 | 84,285,402 | (2,304,739) | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 8,601,802,000 | 77,017,490 | 77,335,035 | (317,545) | |||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 55,309,700 | 38,605,793 | 37,923,361 | 682,432 | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 25,088,671 | 2,946,235 | 2,923,931 | 22,304 | |||
Swiss Franc, | |||||||
Expiring | |||||||
6/21/2017 | 13,825,250 | 13,904,814 | 13,942,760 | (37,946) | |||
Credit Suisse International | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 6,423,200 | 4,883,020 | 4,804,994 | 78,026 | |||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 4,728,921 | 5,764,502 | 6,134,700 | (370,198) | |||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 7,627,900 | 5,704,510 | 5,592,704 | 111,806 | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 1,430,614,500 | 12,997,198 | 12,862,029 | 135,169 | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 22,629,858 | 2,657,729 | 2,637,372 | 20,357 | |||
Goldman Sachs International | |||||||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 31,027,200 | 22,967,630 | 22,748,849 | 218,781 | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 19,021,000 | 20,278,193 | 20,777,949 | (499,756) |
37
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Sales: (continued) | |||||||
Goldman Sachs International (continued) | |||||||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 1,262,787,000 | 11,524,071 | 11,353,165 | 170,906 | |||
HSBC | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 2,752,800 | 2,092,833 | 2,059,283 | 33,550 | |||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 14,900,921 | 18,167,127 | 19,330,559 | (1,163,432) | |||
Canadian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 20,393,500 | 15,172,191 | 14,952,321 | 219,870 | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 5,599,500 | 5,967,779 | 6,116,720 | (148,941) | |||
Japanese Yen, | |||||||
Expiring | |||||||
6/21/2017 | 613,120,500 | 5,569,570 | 5,512,298 | 57,272 | |||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 11,462,800 | 7,914,720 | 7,859,524 | 55,196 | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 25,087,823 | 2,950,756 | 2,923,833 | 26,923 | |||
Morgan Stanley Capital Services | |||||||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 5,599,500 | 5,966,883 | 6,116,720 | (149,837) | |||
Nomura Securities | |||||||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 55,855,330 | 68,084,296 | 72,459,599 | (4,375,303) | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 79,898,049 | 84,643,993 | 87,278,144 | (2,634,151) | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 37,716,430 | 4,431,128 | 4,395,620 | 35,508 | |||
Royal Bank of Canada | |||||||
Australian Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 13,800,000 | 10,402,440 | 10,323,346 | 79,094 |
38
Forward Foreign Currency Exchange Contracts | Foreign Currency | Cost/ | Value ($) | Unrealized Appreciation (Depreciation)($) | |||
Sales: (continued) | |||||||
Royal Bank of Canada (continued) | |||||||
British Pound, | |||||||
Expiring | |||||||
6/21/2017 | 30,320,258 | 37,776,029 | 39,333,645 | (1,557,616) | |||
Euro, | |||||||
Expiring | |||||||
6/21/2017 | 67,886,480 | 72,047,405 | 74,157,079 | (2,109,674) | |||
New Zealand Dollar, | |||||||
Expiring | |||||||
6/21/2017 | 34,660,000 | 24,174,310 | 23,764,795 | 409,515 | |||
Norwegian Krone, | |||||||
Expiring | |||||||
6/21/2017 | 163,393,000 | 19,121,094 | 19,042,457 | 78,637 | |||
Gross Unrealized Appreciation | 8,301,351 | ||||||
Gross Unrealized Depreciation | (26,640,602) |
See notes to consolidated financial statements.
39
CONSOLIDATED STATEMENT OF SWAP AGREEMENTS
April 30, 2017 (Unaudited)
Centrally Cleared Credit Default Swaps | |||||||
Reference | Notional Amount($) 1 | (Pay) Receive Fixed Rate (%) | Implied Credit Spread(%) 2 | Market | Upfront Premiums Received (Paid) ($) | Unrealized Appreciation ($) | |
Sales Contracts:3 | |||||||
Bank of America | |||||||
Markit CDX North America High Yield Index Series 28 | |||||||
6/20/2022†† | 2,000,000 | 5.00 | 326.96 | 176,078 | 142,521 | 33,557 | |
Gross Unrealized Appreciation | 33,557 |
† Clearing House-Chicago Mercantile Exchange
†† Expiration Date
1 The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.
2 Implied credit spreads, represented in absolute terms, utilized in determining the market value as of the period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’scredit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted”, indicates a credit event has occurred for the referenced entity. Credit spreads are unaudited.
3 If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to consolidated financial statements.
40
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Consolidated |
|
|
|
| ||
Unaffiliated issuers |
| 1,202,486,861 |
| 1,203,284,090 |
| |
Affiliated issuers |
| 186,626,952 |
| 186,626,952 |
| |
Cash |
|
|
|
| 18,147,474 |
|
Cash denominated in foreign currency |
|
| 439,273 |
| 451,081 |
|
Cash collateral held by broker—Note 4 |
|
|
|
| 12,618,851 |
|
Unrealized appreciation on forward foreign |
|
|
|
| 8,301,351 |
|
Receivable for investment securities sold |
|
|
|
| 2,226,653 |
|
Dividends and interest receivable |
|
|
|
| 1,160,833 |
|
Receivable for shares of Common Stock subscribed |
|
|
|
| 1,003,200 |
|
Receivable for futures variation margin—Note 4 |
|
|
|
| 213,753 |
|
Swap premium paid—Note 4 |
|
|
|
| 142,521 |
|
Receivable for swap variation margin—Note 4 |
|
|
|
| 108,296 |
|
Prepaid expenses |
|
|
|
| 86,596 |
|
|
|
|
|
| 1,434,371,651 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 1,362,226 |
|
Unrealized depreciation on forward foreign |
|
|
|
| 26,640,602 |
|
Payable for investment securities purchased |
|
|
|
| 2,473,725 |
|
Payable for shares of Common Stock redeemed |
|
|
|
| 2,142,894 |
|
Outstanding options written, at value (premiums received |
|
|
|
| 1,149,253 |
|
Accrued expenses |
|
|
|
| 263,969 |
|
|
|
|
|
| 34,032,669 |
|
Net Assets ($) |
|
| 1,400,338,982 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,376,203,565 |
|
Accumulated investment (loss)—net |
|
|
|
| (6,392,054) |
|
Accumulated net realized gain (loss) on investments |
|
|
|
| 25,888,336 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 4,639,135 |
| |
Net Assets ($) |
|
| 1,400,338,982 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 77,012,213 | 97,254,581 | 523,522,468 | 702,549,720 |
|
Shares Outstanding | 4,834,704 | 6,501,648 | 32,114,020 | 43,090,408 |
|
Net Asset Value Per Share ($) | 15.93 | 14.96 | 16.30 | 16.30 |
|
See notes to consolidated financial statements. |
41
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2017 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 3,011,763 |
| ||
Dividends: |
|
|
|
| ||
Unaffiliated issuers |
|
| 1,923,817 |
| ||
Affiliated issuers |
|
| 391,106 |
| ||
Total Income |
|
| 5,326,686 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 7,603,756 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 635,689 |
| ||
Subsidiary management fee—Note 3(a) |
|
| 437,809 |
| ||
Distribution fees—Note 3(b) |
|
| 418,561 |
| ||
Professional fees |
|
| 87,503 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 66,289 |
| ||
Registration fees |
|
| 61,222 |
| ||
Custodian fees—Note 3(c) |
|
| 45,582 |
| ||
Prospectus and shareholders’ reports |
|
| 40,999 |
| ||
Loan commitment fees—Note 2 |
|
| 14,755 |
| ||
Miscellaneous |
|
| 22,990 |
| ||
Total Expenses |
|
| 9,435,155 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (456,048) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (9,111) |
| ||
Net Expenses |
|
| 8,969,996 |
| ||
Investment (Loss)—Net |
|
| (3,643,310) |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 3,185,483 |
| ||||
Net realized gain (loss) on options transactions | (26,834,377) |
| ||||
Net realized gain (loss) on futures | 45,479,963 |
| ||||
Net realized gain (loss) on swap agreements | (2,367) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 31,386,558 |
| ||||
Net Realized Gain (Loss) |
|
| 53,215,260 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (3,613,975) |
| ||
Net unrealized appreciation (depreciation) on options transactions |
|
| 12,606,783 |
| ||
Net unrealized appreciation (depreciation) on futures |
|
| 291,065 |
| ||
Net unrealized appreciation (depreciation) on swap agreements |
|
| 33,557 |
| ||
Net unrealized appreciation (depreciation) on |
|
| (38,050,818) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (28,733,388) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 24,481,872 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 20,838,562 |
| |||
See notes to consolidated financial statements. |
42
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Operations ($): |
|
|
|
|
|
|
|
| |
Investment (loss)—net |
|
| (3,643,310) |
|
|
| (13,274,277) |
| |
Net realized gain (loss) on investments |
| 53,215,260 |
|
|
| 25,754,545 |
| ||
Net unrealized appreciation (depreciation) |
| (28,733,388) |
|
|
| (2,661,420) |
| ||
Net Increase (Decrease) in Net Assets | 20,838,562 |
|
|
| 9,818,848 |
| |||
Distributions to Shareholders from ($): |
|
|
|
|
|
|
|
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Class A |
|
| (341,762) |
|
|
| - |
| |
Class C |
|
| (237,196) |
|
|
| - |
| |
Class I |
|
| (775,856) |
|
|
| - |
| |
Class Y |
|
| (1,271,510) |
|
|
| - |
| |
Total Distributions |
|
| (2,626,324) |
|
|
| - |
| |
Capital Stock Transactions ($): |
|
|
|
|
|
|
|
| |
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 7,563,684 |
|
|
| 85,425,288 |
| |
Class C |
|
| 2,917,052 |
|
|
| 46,807,391 |
| |
Class I |
|
| 242,392,909 |
|
|
| 299,261,521 |
| |
Class Y |
|
| 127,900,095 |
|
|
| 230,391,741 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 325,546 |
|
|
| - |
| |
Class C |
|
| 181,423 |
|
|
| - |
| |
Class I |
|
| 590,605 |
|
|
| - |
| |
Class Y |
|
| 721,950 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (137,538,665) |
|
|
| (148,416,191) |
| |
Class C |
|
| (37,746,814) |
|
|
| (57,090,576) |
| |
Class I |
|
| (171,803,740) |
|
|
| (343,046,982) |
| |
Class Y |
|
| (92,855,526) |
|
|
| (66,580,605) |
| |
Increase (Decrease) in Net Assets | (57,351,481) |
|
|
| 46,751,587 |
| |||
Total Increase (Decrease) in Net Assets | (39,139,243) |
|
|
| 56,570,435 |
| |||
Net Assets ($): |
|
|
|
|
|
|
|
| |
Beginning of Period |
|
| 1,439,478,225 |
|
|
| 1,382,907,790 |
| |
End of Period |
|
| 1,400,338,982 |
|
|
| 1,439,478,225 |
| |
Accumulated investment (loss)—net | (6,392,054) |
|
|
| (2,748,744) |
|
43
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (continued)
�� | |||||||||
|
|
|
| Six Months Ended |
|
|
| Year Ended |
|
Capital Share Transactions (Shares): |
|
|
|
|
|
|
|
| |
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 483,315 |
|
|
| 5,592,205 |
| |
Shares issued for distributions reinvested |
|
| 21,139 |
|
|
| - |
| |
Shares redeemed |
|
| (8,754,290) |
|
|
| (9,694,240) |
| |
Net Increase (Decrease) in Shares Outstanding | (8,249,836) |
|
|
| (4,102,035) |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 198,520 |
|
|
| 3,221,954 |
| |
Shares issued for distributions reinvested |
|
| 12,512 |
|
|
| - |
| |
Shares redeemed |
|
| (2,564,327) |
|
|
| (3,925,165) |
| |
Net Increase (Decrease) in Shares Outstanding | (2,353,295) |
|
|
| (703,211) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 15,038,042 |
|
|
| 19,107,885 |
| |
Shares issued for distributions reinvested |
|
| 37,523 |
|
|
| - |
| |
Shares redeemed |
|
| (10,745,685) |
|
|
| (22,047,720) |
| |
Net Increase (Decrease) in Shares Outstanding | 4,329,880 |
|
|
| (2,939,835) |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 8,020,929 |
|
|
| 14,699,682 |
| |
Shares issued for distributions reinvested |
|
| 45,867 |
|
|
| - |
| |
Shares redeemed |
|
| (5,772,639) |
|
|
| (4,261,697) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,294,157 |
|
|
| 10,437,985 |
| |||
a | During the period ended April 30, 2017, 597 Class A shares representing $9,419 were exchanged for 583 Class I shares, 2,736 Class C shares representing $40,409 were exchanged for 2,518 Class I shares, 321,853 Class Y shares representing $5,151,062 were exchanged for 321,798 Class I shares and during the period ended October 31, 2016, 369,275 Class Y shares representing $5,809,635 were exchanged for 369,082 Class I shares. | ||||||||
See notes to consolidated financial statements. |
44
CONSOLIDATED FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.73 | 15.63 | 15.36 | 14.18 | 12.49 | 11.74 |
Investment Operations: | ||||||
Investment (loss)—neta | (.06) | (.17) | (.22) | (.19) | (.01) | (.03) |
Net realized and unrealized | .29 | .27 | .49b | 1.38 | 1.65 | .78 |
Payment by affiliate | – | – | – | – | .05 | – |
Total from | .23 | .10 | .27 | 1.19 | 1.69 | .75 |
Distributions: | ||||||
Dividends from | – | – | – | (.01) | – | – |
Dividends from | (.03) | – | – | – | – | – |
Total Distributions | (.03) | – | – | (.01) | – | – |
Net asset value, end of period | 15.93 | 15.73 | 15.63 | 15.36 | 14.18 | 12.49 |
Total Return (%)c | 1.47d | .70 | 1.69 | 8.42 | 13.53e | 6.39 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.52f | 1.51 | 1.49 | 1.54 | 1.65 | 1.85 |
Ratio of net expenses | 1.46f | 1.50 | 1.49 | 1.50 | 1.50 | 1.85 |
Ratio of net investment (loss) | (.72)f | (1.13) | (1.41) | (1.30) | (.04) | (.21) |
Portfolio Turnover Rate | 32.63d | 10.66 | 165.55 | 124.10 | 1.74 | 1.65 |
Net Assets, end of period ($ x 1,000) | 77,012 | 205,832 | 268,600 | 54,798 | 23,462 | 14,913 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Exclusive of sales charge.
d Not annualized.
e The total return would have been 13.13% had a reimbursement for a trade error not been made by Mellon Capital.
f Annualized.
See notes to consolidated financial statements.
45
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.83 | 14.85 | 14.70 | 13.66 | 12.12 | 11.48 |
Investment Operations: | ||||||
Investment (loss)—neta | (.11) | (.27) | (.33) | (.29) | (.10) | (.12) |
Net realized and unrealized | .27 | .25 | .48b | 1.33 | 1.59 | .76 |
Payment by affiliate | – | – | – | – | .05 | – |
Total from | .16 | (.02) | .15 | 1.04 | 1.54 | .64 |
Distributions: | ||||||
Dividends from | (.03) | – | – | – | – | – |
Net asset value, end of period | 14.96 | 14.83 | 14.85 | 14.70 | 13.66 | 12.12 |
Total Return (%)c | 1.08d | (.07) | .95 | 7.61 | 12.71e | 5.58 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.31f | 2.26 | 2.24 | 2.30 | 2.44 | 2.62 |
Ratio of net expenses | 2.24f | 2.25 | 2.24 | 2.25 | 2.25 | 2.62 |
Ratio of net investment (loss) | (1.47)f | (1.82) | (2.16) | (2.08) | (.78) | (.98) |
Portfolio Turnover Rate | 32.63d | 10.66 | 165.55 | 124.10 | 1.74 | 1.65 |
Net Assets, end of period ($ x 1,000) | 97,255 | 131,341 | 141,904 | 23,672 | 9,409 | 7,704 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Exclusive of sales charge.
d Not annualized.
e The total return would have been 12.29% had a reimbursement for a trade error not been made by Mellon Capital.
f Annualized.
See notes to consolidated financial statements.
46
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013 | 2012 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.08 | 15.93 | 15.61 | 14.39 | 12.65 | 11.84 |
Investment Operations: | ||||||
Investment income (loss)—neta | (.04) | (.13) | (.19) | (.14) | .03 | .02 |
Net realized and unrealized | .29 | .28 | .51b | 1.39 | 1.67 | .79 |
Payment by affiliate | – | – | – | – | .05 | – |
Total from | .25 | .15 | .32 | 1.25 | 1.75 | .81 |
Distributions: | ||||||
Dividends from | – | – | – | (.03) | (.01) | – |
Dividends from | (.03) | – | – | – | – | – |
Total Distributions | (.03) | – | – | (.03) | (.01) | – |
Net asset value, end of period | 16.30 | 16.08 | 15.93 | 15.61 | 14.39 | 12.65 |
Total Return (%) | 1.56c | 1.01 | 1.92 | 8.77 | 13.82d | 6.84 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.32e | 1.25 | 1.22 | 1.21 | 1.29 | 1.47 |
Ratio of net expenses | 1.24e | 1.24 | 1.22 | 1.21 | 1.25 | 1.47 |
Ratio of net investment income | (.46)e | (.86) | (1.15) | (.94) | .20 | .13 |
Portfolio Turnover Rate | 32.63c | 10.66 | 165.55 | 124.10 | 1.74 | 1.65 |
Net Assets, end of period ($ x 1,000) | 523,522 | 446,643 | 489,361 | 71,731 | 253,971 | 123,269 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Not annualized.
d The total return would have been 13.42% had a reimbursement for a trade error not been made by Mellon Capital.
e Annualized.
See notes to consolidated financial statements.
47
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2017 | Year Ended October 31, | |||||
Class Y Shares | (Unaudited) | 2016 | 2015 | 2014 | 2013a | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.07 | 15.91 | 15.59 | 14.39 | 13.45 | |
Investment Operations: | ||||||
Investment (loss)—netb | (.03) | (.11) | (.15) | (.17) | (.01) | |
Net realized and unrealized | .29 | .27 | .47c | 1.40 | .90 | |
Payment by affiliate | – | – | – | – | .05 | |
Total from | .26 | .16 | .32 | 1.23 | .94 | |
Distributions: | ||||||
Dividends from | – | – | – | (.03) | – | |
Dividends from | (.03) | – | – | – | – | |
Total Distributions | (.03) | – | – | (.03) | – | |
Net asset value, end of period | 16.30 | 16.07 | 15.91 | 15.59 | 14.39 | |
Total Return (%) | 1.62d | 1.01 | 2.05 | 8.56 | 6.99d,e | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.21f | 1.18 | 1.14 | 1.16 | 1.31f | |
Ratio of net expenses | 1.15f | 1.16 | 1.14 | 1.16 | 1.25f | |
Ratio of net investment (loss) | (.38)f | (.68) | (.96) | (1.14) | (.18)f | |
Portfolio Turnover Rate | 32.63d | 10.66 | 165.55 | 124.10 | 1.74 | |
Net Assets, end of period ($ x 1,000) | 702,550 | 655,662 | 483,043 | 387,629 | 1 |
a From July 1, 2013 (commencement of initial offering) to October 31, 2013.
b Based on average shares outstanding.
c In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
d Not annualized.
e��The total return would have been 6.62% had a reimbursement for a trade error not been made by Mellon Capital.
f Annualized.
See notes to consolidated financial statements.
48
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dynamic Total Return Fund (the “fund”) is a separate non-diversified series of Advantage 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 ten series, including the fund. The fund’s investment objective is to seek total return. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Mellon Capital Management Corporation (“Mellon Capital”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser.
The fund may invest in certain commodities through its investment in DTR Commodity Fund Ltd., (the “Subsidiary”), a wholly-owned and controlled subsidiary of the fund organized under the laws of the Cayman Islands. The Subsidiary has the ability to invest in commodities and securities consistent with the investment objective of the fund. Dreyfus serves as investment adviser for the Subsidiary, Mellon Capital serves as the Subsidiary’s sub-investment advisor and Citibank N.A. serves as the Subsidiary’s custodian. The financial statements have been consolidated and include the accounts of the fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the fund and the Subsidiary, comprising the entire issued share capital of the Subsidiary, with the intent that the fund will remain the sole shareholder and retain all rights. Under the Amended and Restated Memorandum and Articles of Association, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The following summarizes the structure and relationship of the Subsidiary at April 30, 2017:
Subsidiary Activity | |||
Consolidated fund Net Assets ($) | 1,400,338,982 | ||
Subsidiary Percentage of fund Net Assets | 5.94% | ||
Subsidiary Financial Statement Information ($) | |||
Total assets | 83,529,626 | ||
Total liabilities | 305,648 | ||
Net assets | 83,223,978 | ||
Total income | 45,566 | ||
Investment income (loss)—net | (446,000) | ||
Net realized gain (loss) | (6,574,156) | ||
Net unrealized appreciation (depreciation) | 827,223 | ||
Net increase (decrease) in net assets resulting from operations | (6,192,933) |
49
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Effective March 31, 2017, the fund authorized the issuance of Class T shares, but, as of the date of this report, the fund did not offer Class T shares for purchase. The fund’s authorized shares were increased from 500 million to 600 million and 100 million Class T shares were authorized.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares. The fund is authorized to issue 600 million shares of $.001 par value Common Stock. The fund currently has authorized five classes of shares: Class A (200 million shares authorized), Class C (100 million shares authorized), Class I (100 million shares authorized), Class T (100 million shares authorized) and Class Y (100 million shares authorized). Class A and Class T shares generally are subject to a sales charge imposed at the time of purchase. Class C shares are subject to a contingent deferred sales charge (“CDSC”) imposed on Class C shares redeemed within one year of purchase. Class I and Class Y 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, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
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
50
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 debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “Service”) approved by the Company’s Board of Directors (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of portfolio securities) are valued as determined by the Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as
51
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.
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 the Service approved by the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service is engaged under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately 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.
52
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, 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. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap agreements are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates and are generally categorized within Level 2 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, 2017 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: | ||||
Corporate Bonds† | – | 66,924,804 | – | 66,924,804 |
Exchange-Traded Funds | 68,037,575 | – | – | 68,037,575 |
Registered Investment Company | 186,626,952 | – | – | 186,626,952 |
U.S. Treasury | – | 1,063,958,714 | – | 1,063,958,714 |
Other Financial Instruments: | ||||
Futures†† | 32,512,558 | – | – | 32,512,558 |
Forward Foreign Currency Exchange Contracts†† | – | 8,301,351 | – | 8,301,351 |
Options Purchased | 3,274,392 | 1,088,605 | – | 4,362,997 |
Swaps†† | – | 33,557 | – | 33,557 |
53
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (11,567,817) | – | – | (11,567,817) |
Forward Foreign Currency Exchange Contracts†† | – | (26,640,602) | – | (26,640,602) |
Options Written | (253,560) | (895,693) | – | (1,149,253) |
† See Consolidated Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2017, there were no transfers between levels of the fair value hierarchy.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions between trade and settlement date, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on foreign currency transactions are also included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act. Investments in affiliated investment companies during the period ended April 30, 2017 were as follows:
54
Affiliated Investment Company | Value | Purchases ($) | Sales ($) | Value | Net |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 175,712,091 | 330,141,157 | 319,226,296 | 186,626,952 | 13.3 |
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
The fund’s investments in commodity-linked financial derivatives instruments may subject the fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the fund is required to increase its
55
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the fund in the current period nor carried forward to offset taxable income in future periods.
As of and during the period ended April 30, 2017, 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 Consolidated Statement of Operations. During the period ended April 30, 2017, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2016 remains subject to examination by the Internal Revenue Service and state taxing authorities.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $810 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2017, the fund did not borrow under the Facilities.
NOTE 3— Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Dreyfus has entered into separate management agreements with the fund and the Subsidiary pursuant to which Dreyfus receives a management fee computed at the annual rate of 1.10% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly. In addition, Dreyfus has contractually agreed for as long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in an amount equal to the management fee paid to Dreyfus by the Subsidiary. The reduction in expenses, pursuant to the undertaking amounted to $437,809 during the period ended April 30, 2017.
Dreyfus has contractually agreed, from April 21, 2017 through March 1, 2018, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 1.19% of the value of the fund’s average
56
daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $18,239 during the period ended April 30, 2017.
Pursuant to separate sub-investment advisory agreements between Dreyfus and Mellon Capital with respect to the fund and the Subsidiary, Dreyfus pays Mellon Capital an annual fee of .65% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly.
During the period ended April 30, 2017, the Distributor retained $5,238 from commissions earned on sales of the fund’s Class A shares and $24,707 from CDSCs on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2017, Class C shares were charged $418,561 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their 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. 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, 2017, Class A and Class C shares were charged $170,685 and $139,520, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Consolidated Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2017, the fund was charged $6,912 for transfer agency services and $561 for cash management services. These fees are included in Shareholder servicing costs in the
57
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Consolidated Statement of Operations. Cash management fees were partially offset by earnings credits of $503.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2017, the fund was charged $45,582 pursuant to the custody agreement. These fees were partially offset by earnings credits of $8,608.
During the period ended April 30, 2017, the fund was charged $5,751 for services performed by the Chief Compliance Officer and his staff.
The components of “Due to The Dreyfus Corporation and affiliates” in the Consolidated Statement of Assets and Liabilities consist of: management fees $1,322,315, Distribution Plan fees $61,219, Shareholder Services Plan fees $36,381, custodian fees $29,702, Chief Compliance Officer fees $3,861 and transfer agency fees $2,280, which are offset against an expense reimbursement currently in effect in the amount of $93,532.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures, options transactions, forward contracts and swap agreements, during the period ended April 30, 2017, amounted to $74,385,692 and $70,374,963, 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 OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2017 is discussed below.
58
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, interest rate risk and commodity 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 Consolidated Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Consolidated 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, 2017 are set forth in the Consolidated Statement of Futures.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in values of equities, interest rates or as a substitute for an investment. The fund is subject to market risk and interest rate risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying financial instrument at the exercise price at any time during the option period, or at a specified date.
As a writer of call options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument increases between those dates.
As a writer of put options, the fund receives a premium at the outset and then bears the market risk of unfavorable changes in the price of the financial instrument underlying the option. Generally, the fund realizes a gain, to the extent of the premium, if the price of the underlying financial instrument increases between the date the option is written and the date on
59
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates.
As a writer of an option, the fund has no control over whether the underlying financial instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the financial instrument underlying the written option. There is a risk of loss from a change in value of such options which may exceed the related premiums received. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. The Consolidated Statement of Operations reflects any unrealized gains or losses which occurred during the period as well as any realized gains or losses which occurred upon the expiration or closing of the option transaction.
The following summarizes the fund’s call/put options written during the period ended April 30, 2017:
Options Terminated | ||||
Number of | Premiums | Net Realized | ||
Options Written: | Contracts | Received ($) | Cost ($) | (Loss) ($) |
Contracts outstanding | ||||
October 31, 2016 | 3,210 | 868,871 | ||
Contracts written | 225,250 | 3,611,130 | ||
Contracts terminated: | ||||
Contracts closed | 12,140 | 2,372,148 | 474,930 | 1,897,218 |
Contracts outstanding | ||||
April 30, 2017 | 216,320 | 2,107,853 |
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 Consolidated
60
Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2017 are set forth in the Consolidated Statement of Forward Foreign Currency Exchange Contracts.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Consolidated Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Consolidated Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date.
Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
61
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Total Return Swaps: Total return swaps involve commitments to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the specific reference entity, the fund either receives a payment from or makes a payment to the counterparty, respectively. Total return swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. This risk is mitigated by Master Agreements between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Total return swaps open at April 30, 2017 are set forth in the Consolidated Statement of Swap Agreements.
The following tables show the fund’s exposure to different types of market risk as it relates to the Consolidated Statement of Assets and Liabilities and the Consolidated Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2017 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 19,714,635 | 1 | Interest rate risk | (6,471,960) | 1 | ||
Equity risk | 14,693,776 | 1,2 | Equity risk | (4,101,933) | 1,3 | ||
Foreign exchange risk | 8,301,351 | 4 | Foreign exchange risk | (26,640,602) | 4 | ||
Credit risk | 33,557 | 5 | Credit risk | - | |||
Commodity risk | 2,467,144 | 1 | Commodity risk | (2,143,177) | 1 | ||
Gross fair value of | 45,210,463 | (39,357,672) | |||||
Consolidated Statement of Assets and Liabilities location: | |||||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the Consolidated Statement of Futures, but only the unpaid variation margin is reported in the Consolidated Statement of Assets and Liabilities. | ||||||
2 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
3 | Outstanding options written, at value. | ||||||
4 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. | ||||||
5 | Includes cumulative appreciation (depreciation) on swap agreements as reported in the swap tables in Note 4. Unrealized appreciation (depreciation) on OTC swap agreements and only unpaid variation margin on cleared swap agreements, are reported in the Statement of Assets and Liabilities. |
62
The effect of derivative instruments in the Consolidated Statement of Operations during the period ended April 30, 2017 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | |||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Swap | 4 | Total | ||
Interest | (54,151,183) | (5,094,545) | - | - | (59,245,728) | ||||||
Equity | 106,205,302 | (21,739,832) | - | - | 84,465,470 | ||||||
Foreign | - | - | 31,386,558 | - | 31,386,558 | ||||||
Credit | - | - | - | (2,367) | (2,367) | ||||||
Commodity | (6,574,156) | - | - | - | (6,574,156) | ||||||
Total | 45,479,963 | (26,834,377) | 31,386,558 | (2,367) | 50,029,777 | ||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($) | |||||||||||
Underlying | Futures | 5 | Options | 6 | Forward | 7 | Swap | 8 | Total | ||
Interest | 4,793,809 | 5,821,210 | - | - | 10,615,019 | ||||||
Equity | (5,329,967) | 6,785,573 | - | - | 1,455,606 | ||||||
Foreign | - | - | (38,050,818) | - | (38,050,818) | ||||||
Credit | - | - | - | 33,557 | 33,557 | ||||||
Commodity | 827,223 | - | - | - | 827,223 | ||||||
Total | 291,065 | 12,606,783 | (38,050,818) | 33,557 | (25,119,413) | ||||||
Consolidated Statement of Operations location: | |||||||||||
1 | Net realized gain (loss) on futures. | ||||||||||
2 | Net realized gain (loss) on options transactions. | ||||||||||
3 | Net realized gain (loss) on forward foreign currency exchange contracts. | ||||||||||
4 | Net realized gain (loss) on swap agreements. | ||||||||||
5 | Net unrealized appreciation (depreciation) on futures. | ||||||||||
6 | Net unrealized appreciation (depreciation) on options transactions. | ||||||||||
7 | Net unrealized appreciation (depreciation) on forward foreign currency exchange contracts. | ||||||||||
8 | Net unrealized appreciation (depreciation) on swap agreements. |
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 Consolidated Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Consolidated Statement of Assets and Liabilities.
63
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 32,512,558 | (11,567,817) | |||
Options | 4,362,997 | (1,149,253) | |||
Forward contracts | 8,301,351 | (26,640,602) | |||
Swaps | 33,557 | - | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Consoldiated Statement of | 45,210,463 | (39,357,672) | |||
Derivatives not subject to | |||||
Master Agreements | (36,732,606) | 12,250,466 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 8,477,857 | (27,107,206) |
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, 2017:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Bank of America | 588,062 | (203,914) | - | 384,148 | ||
Bank of Montreal | 449,998 | (449,998) | - | - | ||
BNP Paribas | 335,789 | (335,789) | - | - | ||
Citigroup | 2,707,636 | (2,707,636) | - | - | ||
Goldman Sachs | 638,840 | (638,840) | - | - | ||
HSBC | 1,149,698 | (1,149,698) | - | - | ||
Morgan Stanley | 961,205 | (318,757) | - | 642,448 | ||
Nomura | 260,587 | (260,587) | - | - | ||
Royal Bank | 1,096,347 | (1,096,347) | - | - | ||
Standard | 289,695 | (15,272) | - | 274,423 | ||
Total | 8,477,857 | (7,176,838) | - | 1,301,019 | ||
64
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Bank of America | (203,914) | 203,914 | - | - | ||
Bank of Montreal | (2,389,761) | 449,998 | - | (1,939,763) | ||
BNP Paribas | (1,704,965) | 335,789 | - | (1,369,176) | ||
Citigroup | (7,088,191) | 2,707,636 | 4,180,000 | (200,555) | ||
Goldman Sachs | (1,699,336) | 638,840 | 460,000 | (600,496) | ||
HSBC | (1,464,678) | 1,149,698 | - | (314,980) | ||
Morgan Stanley | (318,757) | 318,757 | - | - | ||
Nomura | (7,104,879) | 260,587 | - | (6,844,292) | ||
Royal Bank | (5,117,453) | 1,096,347 | - | (4,021,106) | ||
Standard | (15,272) | 15,272 | - | - | ||
Total | (27,107,206) | 7,176,838 | 4,640,000 | (15,290,368) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Consolidated Statement of Assets and Liabilities. | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to over collateralization. | ||||||
† See Statement of Investments for detailed information regarding collateral held for open futures contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2017:
|
| Average Market Value ($) |
Equity futures | 913,630,604 | |
Equity options contracts | 3,711,635 | |
Interest rate futures | 2,150,683,589 | |
Interest rate options contracts | 7,373,000 | |
Forward contracts | 1,676,575,779 | |
Commodity futures | 139,382,512 | |
The following summarizes the average notional value of swap agreements outstanding during the period ended April 30, 2017:
|
| Average Notional Value ($) |
Credit default swap agreements | 568,571 | |
At April 30, 2017, accumulated net unrealized appreciation on investments was $797,229, consisting of $4,084,864 gross unrealized appreciation and $3,287,635 gross unrealized depreciation.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Consolidated Statement of Investments).
NOTE 5—Pending Legal Matters:
The fund and dozens of other entities and individuals have been named as defendants in an adversary proceeding pending in the United States Bankruptcy Court for the Southern District of New York (Weisfelner, as Trustee of the LB Creditor Trust v. Fund 1, et al., Adv. Pro. No. 10-04609 the “Creditor Trust Action”). In addition, two separate adversary proceedings have been brought in the same Bankruptcy Court against putative defendant classes ( Weisfeiner, as Trustee of the LB Litigation Trust v. Hofman, at al., Adv. Pro No. 10-05525, the “Litigation Trust Action ”; Weisfelner, as Trustee of the LB Creditor Trust v. Reichman, et al., Adv. Pro. No. 12-1570; the “Reichman Action” and collectively with the Creditor Trust Action and the Litigation Trust Action, the “Actions”). In the Actions, plaintiffs allege that payments made to shareholders of Lyondell Chemical Company (“Lyondell”) in connection with the acquisition of Lyondell by Basell AF S.C.A. in a cash-out merger on December 20, 2007 constitute “fraudulent transfers” under applicable law, and seek to recover from the former Lyondell shareholders the merger consideration received for their shares. The Creditor Trust and Reichman Action assert state law claims for both intentional and constructive fraudulent transfer, while the Litigation Trust Action asserts a single claim for intentional fraudulent transfer.
On November 18, 2015, the Bankruptcy Court granted defendants’ motion to dismiss the intentional fraudulent transfer claim in all three Actions, and on July 20, 2016, the Bankruptcy Court in the Creditor Trust and Reichman Actions issued a Report and Recommendation (the “R&R”) to the United States District Court for the Southern District of New York recommending dismissal of the remaining constructive fraudulent transfer claim; plaintiffs in these Actions filed objections to the R&R on August 3, 2016, which remain pending.
On July 27, 2016, the District Court reversed the Bankruptcy Court’s order dismissing the intentional fraudulent transfer claim in the Litigation Trust Action.
At this stage in the proceedings, it is not possible to assess with any reasonable certainty the probable outcome of the pending litigation. Consequently, at this time, management is unable to estimate the possible loss that may result.
66
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited)
At a meeting of the fund’s Board of Directors held on March 9-10, 2017, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Mellon Capital Management Corporation (the “Subadviser”) provides day-to-day management of the fund’s investments. 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 Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended January 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group
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INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus, its affiliates and/or the Sub-Adviser the results of the comparisons and considered that the fund’s total return performance was at or above the Performance Group median for all periods except the ten-year period when it was below the median, and the fund’s performance was variously above and below the Performance Universe median for the periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives stated that Dreyfus has contractually agreed, for as long as the fund invests in the DTR Commodity Fund Ltd. (the “Subsidiary”), to waive the management fee Dreyfus receives from the fund in an amount equal to the management fee paid to Dreyfus by the Subsidiary.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Broadridge category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates 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. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and
68
the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements 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. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, 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 Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance.
· The Board concluded that the fees paid to Dreyfus and the Subadviser supported the renewal of the Agreements in light of the considerations described above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged
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INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
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 Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. 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 Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
70
NOTES
71
NOTES
72
NOTES
73
Dynamic Total Return Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Sub-Investment Adviser
Mellon Capital Management
Corporation
50 Fremont Street, Suite 3900
San Francisco, CA 94105
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, NY 10286
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
MBSC Securities Corporation
200 Park Avenue
New York, NY 10166
Ticker Symbols: | Class A: AVGAX Class C: AVGCX Class I: AVGRX Class Y: AVGYX |
Telephone Call your financial representative or 1-800-DREYFUS
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
E-mail Send your request to info@dreyfus.com
Internet Information can be viewed online or downloaded at www.dreyfus.com
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (phone 1-800-SEC-0330 for information).
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-DREYFUS.
© 2017 MBSC Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Advantage Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 29, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 29, 2017
By: /s/ James Windels
James Windels
Treasurer
Date: June 29, 2017
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)