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: | 10/31/17
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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 Real Return Fund
ANNUAL REPORT October 31, 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 | |
in Affiliated Issuers | |
Currency Exchange Contracts | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Global Real Return Fund, covering the 12-month period from November 1, 2016 through October 31, 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 set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 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 12-month period ended October 31, 2017, Dreyfus Global Real Return Fund’s Class A shares produced a total return of 0.47%, Class C shares returned -0.23%, Class I shares returned 0.82%, and Class Y shares returned 0.92%.1 In comparison, the fund’s benchmark, the Citi One-Month U.S. Treasury Bill Index, and the fund’s performance baseline benchmark, the USD 1-Month LIBOR, produced total returns of 0.67% and 0.98%, respectively, for the same period.2,3
Stocks rallied over the reporting period amid improving global economic growth, but bonds produced more modest returns. The fund’s Class A, Class I and Class Y shares achieved mildly positive absolute returns in this environment.
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, investing to produce positive absolute or real returns with less volatility than major equity markets over a complete market cycle. Although the fund is not managed to a benchmark, the fund seeks to provide a minimum average annual total return of USD 1-Month LIBOR plus 4% before fees and expenses over a rolling five-year period.
The fund allocates its investments among global equities, bonds and cash, and, generally to a lesser extent, other asset classes, including real estate, commodities, currencies and alternative or non-traditional asset classes and strategies, primarily those accessed through derivative instruments. The portfolio does not use leverage at a total fund level. The fund’s portfolio managers 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 to allocate the fund’s investments among and within asset classes. In choosing investments, the portfolio managers consider key trends in global economic variables, such as gross domestic product, inflation and interest rates; investment themes, such as changing demographics, the impact of new technologies and the globalization of industries and brands; relative valuations of equity securities, bonds and other asset classes; long-term trends in currency movements; and company fundamentals.
The fund’s investments will be focused globally among the developed and emerging capital markets of the world. 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. The fund may use to a significant degree derivative instruments, such as options, futures, options on futures, forward contracts, swap agreements and structured notes, as a substitute for investing directly in equities, bonds, currencies and other asset classes in connection with its investment strategy. The fund also may use derivatives as part of a hedging strategy related to the management of the fund.
Economic and Political Developments Drove Markets Higher
Global equity markets were reenergized after the U.S. presidential election in November 2016, when investors began to anticipate pro-business policies from a new presidential administration. In early 2017, better-than-expected corporate earnings and encouraging global economic developments drove global stocks to new highs. Investors also responded positively to encouraging economic data in Europe and Japan.
Bonds, gold, and other “safe-haven” assets fared less well in this environment, in part due to pronounced weakness during the pro-growth market rotation at the end of 2016. Bonds later recovered when moderating long-term interest rates and muted inflation offset earlier market weakness.
Fund Strategies Produced Mixed Results
The fund’s returns were undermined by declines in the price of government bonds, gold and other “safe-haven” investments during the final two months of 2016, when investors responded to expectations of greater global economic growth and rising inflationary pressures. In addition, the fund’s equity holdings
3
DISCUSSION OF FUND PERFORMANCE (continued)
trailed broad global indices at the time due to our emphasis on traditionally defensive market segments, such as the utilities, telecommunication services, and consumer staples sectors.
The fund’s performance improved in 2017. Equity holdings produced solid gains, most notably in consumer-related sectors, where Wolters Kluwer and Unilever were strong performers. The fund’s technology holdings also fared well, with Microsoft delivering robust returns as its profitability improved. Samsung SDI was also a notably positive contributor as it benefited from the rising popularity of electric vehicles.
The fund’s stabilizing assets and hedging positions, which are designed to dampen volatility, proved negative, largely owing to derivatives protection on the equity portion of the portfolio. Bond options, employed as a hedge against a significant rise in bond yields, weighed to a lesser degree on fund results.
Containing Risk in a Changing Economic Environment
Moderate economic growth and abundant liquidity have continued to support riskier assets. However, we believe that economic momentum is likely to have peaked in 2017 due to a structural backdrop of disruption by new technologies, overcapacity, adverse demographics, and heavy debt. Financial markets could be derailed as central banks adopt less accommodative monetary policies.
We have remained focused on maintaining risk at contained levels, and we have continued to emphasize companies with stable growth franchises, healthy levels of cash generation, and high returns on capital. Our recent decision to reduce the fund’s interest-rate sensitivity reflects our belief that real yields could rise amid tighter financial conditions.
November 15, 2017
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. Investors cannot invest directly in any index.
3 Source: Lipper, Inc. — The Citi One-Month U.S. Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi One-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Global Real Return Fund Class A shares, Class C shares, Class I shares and Class Y shares and the Citi One-Month U.S. Treasury Bill Index and USD 1-Month LIBOR
† Source: Bloomberg L.P.
†† Source: Lipper Inc.
††† The total return figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Class A, Class C, Class I and Class Y shares of Dreyfus Global Real Return Fund on 5/12/10 (inception date) to a $10,000 investment made in the Citi One-Month U.S. Treasury Bill Index and USD 1-Month LIBOR on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. The Citi One-Month U.S. Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi One-Month U.S. Treasury Bill Index measures returns equivalent of yield averages. The instruments are not marked to market. 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. Unlike a mutual fund, the indices are not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (continued)
Average Annual Total Returns as of 10/31/17 | ||||
| Inception | 1 Year | 5 Years | From |
Class A shares | ||||
with maximum sales charge (5.75%) | 5/12/10 | -5.32% | 1.89% | 3.01% |
without sales charge | 5/12/10 | 0.47% | 3.10% | 3.83% |
Class C shares | ||||
with applicable redemption charge† | 5/12/10 | -1.21% | 2.35% | 3.08% |
without redemption | 5/12/10 | -0.23% | 2.35% | 3.08% |
Class I shares | 5/12/10 | 0.82% | 3.41% | 4.13% |
Class Y shares | 7/1/13 | 0.92% | 3.46%†† | 4.07%†† |
USD 1-Month LIBOR | 4/30/10 | 0.98% | 0.39% | 0.35%††† |
Citi One-Month U.S. Treasury | 4/30/10 | 0.67% | 0.18% | 0.15%††† |
† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.
†† The total return performance figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
††† For comparative purposes, the value of each Index as of 4/30/10 is used as the beginning value on 5/12/10.
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund's performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund's performance shown in the table takes into account all other applicable fees and expenses on all classes.
6
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 May 1, 2017 to October 31, 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 October 31, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.83 | $9.61 | $4.56 | $4.11 | ||||
Ending value (after expenses) | $1,010.50 | $1,007.20 | $1,011.90 | $1,012.60 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.85 | $9.65 | $4.58 | $4.13 | ||||
Ending value (after expenses) | $1,019.41 | $1,015.63 | $1,020.67 | $1,021.12 |
† Expenses are equal to the fund’s annualized expense ratio of 1.15% for Class A, 1.90% for Class C, .90% for Class I and .81% for Class Y, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
7
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 32.2% | |||||||||
Australia - 5.2% | |||||||||
Australian Government, | AUD | 3.75 | 4/21/37 | 23,999,000 | 19,976,280 | ||||
Australian Government, | AUD | 3.25 | 6/21/39 | 11,738,000 | 8,979,441 | ||||
Australian Government, | AUD | 3.00 | 3/21/47 | 48,938,000 | 34,429,678 | ||||
New South Wales Treasury, | AUD | 2.75 | 11/20/25 | 6,226,300 | b | 6,849,364 | |||
Treasury Corp. of Victoria, | AUD | 5.50 | 11/17/26 | 12,926,000 | 11,968,998 | ||||
82,203,761 | |||||||||
Brazil - 1.9% | |||||||||
Brazilian Government, | 4.88 | 1/22/21 | 15,737,000 | 16,838,590 | |||||
Brazilian Government, | 5.00 | 1/27/45 | 3,663,000 | 3,398,837 | |||||
Petrobras Global Finance, | 7.38 | 1/17/27 | 1,312,000 | 1,458,944 | |||||
Petrobras Global Finance, | 6.75 | 1/27/41 | 7,560,000 | 7,635,600 | |||||
29,331,971 | |||||||||
Canada - 1.7% | |||||||||
Canada Housing Trust No 1, | CAD | 2.35 | 6/15/27 | 35,080,000 | 27,077,485 | ||||
Ecuador - .1% | |||||||||
Ecuadorian Government, | 8.88 | 10/23/27 | 1,190,000 | 1,218,262 | |||||
France - .6% | |||||||||
SFR Group, | 7.38 | 5/1/26 | 8,434,000 | c | 9,098,177 | ||||
Germany - .3% | |||||||||
SIG Combibloc Holdings, | EUR | 7.75 | 2/15/23 | 3,388,000 | 4,177,957 | ||||
India - .1% | |||||||||
National Highways Authority of India, | INR | 7.30 | 5/18/22 | 120,000,000 | 1,899,584 | ||||
Indonesia - .5% | |||||||||
Indonesian Government, | IDR | 8.25 | 5/15/36 | 102,516,000,000 | 8,182,383 | ||||
Japan - .3% | |||||||||
SoftBank Group, | 6.00 | 12/31/49 | 5,284,000 | d | 5,373,564 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 32.2% (continued) | |||||||||
Mexico - 1.7% | |||||||||
Mexican Government, | MXN | 10.00 | 12/5/24 | 428,114,700 | 25,920,682 | ||||
Netherlands - .0% | |||||||||
Dufry One, | EUR | 2.50 | 10/15/24 | 304,000 | 363,943 | ||||
New Zealand - 2.5% | |||||||||
New Zealand Government, | NZD | 4.50 | 4/15/27 | 17,724,000 | 13,706,358 | ||||
New Zealand Government, | NZD | 2.75 | 4/15/37 | 13,529,000 | 8,338,959 | ||||
New Zealand Government, | NZD | 6.00 | 5/15/21 | 16,563,000 | 12,813,065 | ||||
New Zealand Government, | NZD | 2.50 | 9/20/40 | 5,000,000 | e | 3,698,857 | |||
38,557,239 | |||||||||
Peru - .0% | |||||||||
Petroleos del Peru, | 5.63 | 6/19/47 | 690,000 | 728,088 | |||||
United Kingdom - 2.2% | |||||||||
Anglian Water Services Financing, | GBP | 3.67 | 7/30/24 | 151,000 | f | 402,963 | |||
Arqiva Broadcast Finance, | GBP | 9.50 | 3/31/20 | 4,722,000 | 6,632,111 | ||||
British Telecommunications, | GBP | 3.50 | 4/25/25 | 533,000 | f | 1,495,584 | |||
CPUK Finance, | GBP | 4.25 | 2/28/47 | 630,000 | 859,218 | ||||
Dwr Cymru Financing, | GBP | 1.86 | 3/31/48 | 150,000 | f | 417,691 | |||
High Speed Rail Finance 1, | GBP | 1.57 | 11/1/38 | 268,000 | f | 549,425 | |||
National Grid Electricity Transmission, | GBP | 2.98 | 7/8/18 | 667,000 | f | 1,422,826 | |||
Network Rail Infrastructure Finance, | GBP | 1.75 | 11/22/27 | 865,000 | f | 2,069,847 | |||
Sable International Finance, | 6.88 | 8/1/22 | 2,029,000 | c | 2,181,175 | ||||
Scotland Gas Networks, | GBP | 2.13 | 10/21/22 | 300,000 | f | 660,910 | |||
Tesco, | GBP | 6.13 | 2/24/22 | 882,000 | 1,358,281 | ||||
Tesco, | GBP | 3.32 | 11/5/25 | 3,960,000 | f | 9,923,704 | |||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 3,720,715 | 5,886,471 | ||||
33,860,206 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 32.2% (continued) | |||||||||
United States - 15.1% | |||||||||
AT&T, | 3.40 | 8/14/24 | 11,433,000 | 11,448,912 | |||||
CCO Holdings, | 5.50 | 5/1/26 | 2,422,000 | c | 2,488,605 | ||||
CCO Holdings, | 5.88 | 5/1/27 | 1,610,000 | c | 1,690,017 | ||||
CEMEX Finance, | 6.00 | 4/1/24 | 4,520,000 | 4,791,200 | |||||
EMC, | 1.88 | 6/1/18 | 4,304,000 | 4,293,610 | |||||
Post Holdings, | 6.00 | 12/15/22 | 2,726,000 | c | 2,865,707 | ||||
Sprint, | 7.88 | 9/15/23 | 3,180,000 | 3,561,600 | |||||
Sprint, | 7.13 | 6/15/24 | 3,548,000 | 3,844,045 | |||||
Sprint Capital, | 8.75 | 3/15/32 | 6,102,000 | 7,413,930 | |||||
Sprint Communications, | 9.25 | 4/15/22 | 404,000 | 497,930 | |||||
T-Mobile USA, | 6.00 | 3/1/23 | 2,563,000 | 2,707,169 | |||||
T-Mobile USA, | 6.00 | 4/15/24 | 3,236,000 | 3,470,610 | |||||
U.S. Treasury Notes | 1.75 | 11/30/21 | 32,294,000 | 32,089,640 | |||||
U.S. Treasury Notes | 1.63 | 8/31/22 | 46,829,400 | 46,007,141 | |||||
U.S. Treasury Notes | 2.13 | 7/31/24 | 61,424,100 | 61,086,986 | |||||
U.S. Treasury Notes | 2.13 | 9/30/24 | 45,245,200 | 44,956,232 | |||||
Western Digital, | 10.50 | 4/1/24 | 3,339,000 | 3,926,664 | |||||
237,139,998 | |||||||||
Total Bonds and Notes | 505,133,300 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 60.1% | |||||||||
Australia - 1.6% | |||||||||
Dexus Property Group | 2,547,591 | 19,049,559 | |||||||
Newcrest Mining | 332,773 | 5,707,562 | |||||||
24,757,121 | |||||||||
Canada - 2.0% | |||||||||
Agnico Eagle Mines | 85,247 | 3,806,083 | |||||||
Alacer Gold | 1,314,536 | g | 2,048,072 | ||||||
Alamos Gold, Cl. A | 342,676 | 2,170,113 | |||||||
Barrick Gold | 292,114 | 4,221,047 | |||||||
Detour Gold | 294,625 | g | 3,140,139 |
10
Description | Shares | Value ($) | |||||||
Common Stocks - 60.1% (continued) | |||||||||
Canada - 2.0% (continued) | |||||||||
Eldorado Gold | 1,017,224 | 1,277,345 | |||||||
Kinross Gold | 469,416 | g | 1,855,687 | ||||||
New Gold | 781,824 | g | 2,587,697 | ||||||
OceanaGold | 909,639 | 2,439,618 | |||||||
Wheaton Precious Metals | 390,755 | 8,108,295 | |||||||
31,654,096 | |||||||||
Denmark - 1.6% | |||||||||
Orsted | 461,292 | c | 25,850,982 | ||||||
France - 1.8% | |||||||||
Total | 292,804 | 16,327,145 | |||||||
Vivendi | 460,417 | 11,436,950 | |||||||
27,764,095 | |||||||||
Germany - 5.2% | |||||||||
Bayer | 129,622 | 16,865,597 | |||||||
Deutsche Wohnen | 341,981 | 14,565,902 | |||||||
Infineon Technologies | 480,033 | 13,143,202 | |||||||
LEG Immobilien | 147,078 | 14,939,430 | |||||||
SAP | 53,537 | 6,090,326 | |||||||
Telefonica Deutschland Holding | 2,392,704 | 12,160,292 | |||||||
Vonovia | 73,442 | 3,230,326 | |||||||
80,995,075 | |||||||||
Hong Kong - 1.9% | |||||||||
AIA Group | 1,863,800 | 14,023,773 | |||||||
Link REIT | 1,886,500 | 15,851,011 | |||||||
29,874,784 | |||||||||
India - .7% | |||||||||
ITC | 1,229,968 | 5,053,938 | |||||||
LIC Housing Finance, GDR | 302,231 | 5,595,807 | |||||||
10,649,745 | |||||||||
Ireland - 1.2% | |||||||||
Allied Irish Banks | 1,545,084 | 9,132,136 | |||||||
CRH | 257,052 | 9,675,340 | |||||||
18,807,476 | |||||||||
Israel - .2% | |||||||||
Teva Pharmaceutical Industries, ADR | 224,101 | 3,092,594 | |||||||
Japan - 3.2% | |||||||||
Japan Tobacco | 842,600 | 27,766,784 | |||||||
Suntory Beverage & Food | 151,200 | 6,901,438 | |||||||
Suzuki Motor | 248,300 | 13,484,477 | |||||||
Yokogawa Electric | 91,800 | 1,726,119 | |||||||
49,878,818 | |||||||||
Mexico - .6% | |||||||||
Fresnillo | 153,174 | 2,648,753 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | ||||||||
Common Stocks - 60.1% (continued) | ||||||||||
Mexico - .6% (continued) | ||||||||||
Wal-Mart de Mexico | 2,899,500 | 6,491,141 | ||||||||
9,139,894 | ||||||||||
Netherlands - 4.4% | ||||||||||
RELX | 982,486 | 22,190,853 | ||||||||
Unilever | 246,867 | 14,350,827 | ||||||||
Wolters Kluwer | 668,250 | 32,755,521 | ||||||||
69,297,201 | ||||||||||
New Zealand - .1% | ||||||||||
Spark New Zealand | 582,106 | 1,465,871 | ||||||||
South Africa - .2% | ||||||||||
Gold Fields | 798,043 | 3,185,681 | ||||||||
South Korea - 2.0% | ||||||||||
Macquarie Korea Infrastructure Fund | 1,334,655 | 10,149,739 | ||||||||
Samsung SDI | 116,588 | 21,437,165 | ||||||||
31,586,904 | ||||||||||
Switzerland - 4.5% | ||||||||||
Novartis | 427,562 | 35,228,383 | ||||||||
Roche Holding | 102,251 | 23,624,373 | ||||||||
Zurich Insurance Group | 35,918 | 10,962,794 | ||||||||
69,815,550 | ||||||||||
Taiwan - 1.3% | ||||||||||
Taiwan Semiconductor Manufacturing, ADR | 488,794 | 20,690,650 | ||||||||
United Kingdom - 12.0% | ||||||||||
Amedeo Air Four Plus | 1,970,465 | 2,754,458 | ||||||||
Associated British Foods | 304,395 | 13,470,630 | ||||||||
British American Tobacco | 108,279 | 7,004,994 | ||||||||
British American Tobacco, ADR | 311,659 | 20,070,840 | ||||||||
Centrica | 8,911,064 | 20,096,140 | ||||||||
Cobham | 10,202,479 | 18,835,012 | ||||||||
Diageo | 501,761 | 17,140,097 | ||||||||
Dixons Carphone | 284,029 | 654,120 | ||||||||
Informa | 1,387,950 | 12,848,487 | ||||||||
Johnson Matthey | 95,983 | 4,310,076 | ||||||||
Randgold Resources | 23,943 | 2,351,593 | ||||||||
Royal Dutch Shell, Cl. B | 755,566 | 24,299,776 | ||||||||
UBM | 605,133 | 5,654,059 | ||||||||
United Utilities Group | 379,025 | 4,193,322 | ||||||||
Vodafone Group | 5,804,971 | 16,622,418 | ||||||||
Wolseley | 258,431 | 18,071,258 | ||||||||
188,377,280 | ||||||||||
United States - 15.6% | ||||||||||
Abbott Laboratories | 335,290 | 18,182,777 |
12
Description | Shares | Value ($) | |||||||||
Common Stocks - 60.1% (continued) | |||||||||||
United States - 15.6% (continued) | |||||||||||
Accenture, Cl. A | 175,487 | 24,982,329 | |||||||||
Albemarle | 138,869 | 19,565,253 | |||||||||
CA | 700,036 | 22,667,166 | |||||||||
Cisco Systems | 462,319 | 15,788,194 | |||||||||
CMS Energy | 587,318 | 28,408,572 | |||||||||
Cognizant Technology Solutions, Cl. A | 29,374 | 3,871,429 | |||||||||
Eversource Energy | 545,307 | 34,158,030 | |||||||||
Maxim Integrated Products | 198,961 | 10,453,411 | |||||||||
Microsoft | 364,030 | 30,280,015 | |||||||||
Newell Brands | 227,306 | 9,269,539 | |||||||||
Newmont Mining | 51,093 | 1,847,523 | |||||||||
PowerShares DB Gold Fund | 509,414 | g,h | 20,585,420 | ||||||||
Walgreens Boots Alliance | 75,914 | 5,030,821 | |||||||||
245,090,479 | |||||||||||
Total Common Stocks | 941,974,296 | ||||||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional | Value ($) | |||||||
Options Purchased - .1% | |||||||||||
Call Options - .1% | |||||||||||
S&P 500 Index, | 2,600 | 12/2017 | 273,780,000 | 1,511,055 | |||||||
Put Options - .0% | |||||||||||
S&P 500 Index, | 2,375 | 11/2017 | 152,475,000 | 73,830 | |||||||
Total Options Purchased | 1,584,885 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||
Other Investment - 4.8% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 74,279,655 | i | 74,279,655 | ||||||
Total Investments (cost $1,398,675,694) | 97.2% | 1,522,972,136 | |||||||
Cash and Receivables (Net) | 2.8% | 43,857,483 | |||||||
Net Assets | 100.0% | 1,566,829,619 |
ADR—American Depository Receipt
GDR—Global Depository Receipt
LIBOR—London Interbank Offered Rate
REIT—Real Estate Investment Trust
AUD—Australian Dollar
CAD—Canadian Dollar
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
MXN—Mexican Peso
NZD—New Zealand Dollar
a Amount stated in U.S. Dollars unless otherwise noted above.
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 October 31, 2017, these securities were valued at $44,174,663 or 2.82% of net assets.
d Variable rate security—rate shown is the interest rate in effect at period end.
e Principal amount for accrual purposes is periodically adjusted based on changes in the New Zealand Consumer Price Index.
f Principal amount for accrual purposes is periodically adjusted based on changes in the British Consumer Price Index.
g Non-income producing security.
h Investment in non-controlled affiliates (cost $21,591,292).
i Investment in affiliated money market mutual fund.
14
Portfolio Summary (Unaudited) † | Value (%) |
Foreign/Governmental | 13.1 |
U.S. Government Securities | 11.7 |
Consumer Goods | 8.6 |
Technology | 7.9 |
Financials | 7.5 |
Corporate Bonds | 7.4 |
Utilities | 7.2 |
Industrials | 6.2 |
Consumer Services | 6.2 |
Basic Materials | 5.6 |
Health Care | 5.1 |
Money Market Investment | 4.8 |
Oil & Gas | 2.6 |
Telecommunication | 1.9 |
Exchange-Traded Funds | 1.3 |
Options Purchased | .1 |
97.2 |
† Based on net assets.
See notes to financial statements.
15
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 77,404,811 | 1,060,553,135 | 1,063,678,291 | 74,279,655 | 4.8 | 604,454 |
See notes to financial statements.
In addition, an affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Investments in affiliated companies during the period ended October 31, 2017 were as follows:
Affiliated | Value | Purchases($) | Sales($) | Net Realized |
PowerShares DB | 22,442,750 | - | 1,374,275 | (589,668) |
Affiliated | Change in Net Unrealized Appreciation | Value | Net | Dividends/ |
PowerShares DB | 106,613 | 20,585,420 | 1.3 | - |
See notes to financial statements.
16
STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Short | ||||||
DAX | 76 | 12/2017 | (27,626,592)a | (29,263,116) | (1,636,524) | |
DJ Euro Stoxx 50 | 447 | 12/2017 | (17,976,504)a | (19,150,895) | (1,174,391) | |
Euro-Bond | 414 | 12/2017 | (78,349,987)a | (78,485,812) | (135,825) | |
FTSE 100 | 234 | 12/2017 | (22,993,873)a | (23,207,934) | (214,061) | |
Standard & Poor's 500 | 411 | 12/2017 | (266,336,273) | (275,922,075) | (9,585,802) | |
Gross Unrealized Depreciation | (12,746,603) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
17
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS October 31, 2017
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup | |||||
Australian Dollar | 28,032,798 | United States Dollar | 22,143,445 | 12/15/17 | (697,952) |
British Pound | 5,417,195 | United States Dollar | 7,153,607 | 1/17/18 | 59,723 |
New Zealand Dollar | 25,029,000 | United States Dollar | 18,188,284 | 11/14/17 | (1,065,549) |
United States Dollar | 130,415,718 | Australian Dollar | 162,933,089 | 12/15/17 | 5,769,563 |
United States Dollar | 89,171,667 | Canadian Dollar | 112,879,470 | 11/14/17 | 1,664,604 |
United States Dollar | 206,135,202 | Euro | 174,129,027 | 1/17/18 | 2,341,882 |
United States Dollar | 4,163,394 | Japanese Yen | 470,975,318 | 1/17/18 | 3,969 |
United States Dollar | 17,826,556 | South Korean Won | 20,257,793,267 | 11/14/17 | (256,295) |
State Street Bank and Trust Co | |||||
Canadian Dollar | 11,974,163 | United States Dollar | 9,590,925 | 11/14/17 | (308,246) |
Euro | 4,580,664 | United States Dollar | 5,424,560 | 1/17/18 | (63,542) |
British Pound | 520,985 | United States Dollar | 688,308 | 11/1/17 | 3,635 |
British Pound | 331,124 | United States Dollar | 438,671 | 1/17/18 | 2,241 |
Japanese Yen | 1,470,369 | United States Dollar | 12,896 | 11/1/17 | 35 |
New Zealand Dollar | 31,284,356 | United States Dollar | 22,604,395 | 11/14/17 | (1,202,273) |
United States Dollar | 30,334,091 | Australian Dollar | 38,655,159 | 12/15/17 | 762,339 |
United States Dollar | 1,538,000 | Swiss Franc | 1,476,562 | 11/14/17 | 56,662 |
United States Dollar | 2,786,315 | Euro | 2,374,372 | 1/17/18 | 7,449 |
United States Dollar | 235,863,181 | British Pound | 178,271,456 | 1/17/18 | (1,516,272) |
United States Dollar | 42,310,910 | Japanese Yen | 4,743,809,533 | 1/17/18 | 415,894 |
United States Dollar | 8,755,367 | South Korean Won | 9,947,410,734 | 11/14/17 | (124,057) |
United States Dollar | 81,855,716 | New Zealand Dollar | 111,988,110 | 11/14/17 | 5,242,879 |
UBS | |||||
Euro | 168,631 | United States Dollar | 196,126 | 11/1/17 | 303 |
18
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
UBS (continued) | |||||
Euro | 238,243 | United States Dollar | 283,349 | 1/17/18 | (4,520) |
British Pound | 739,909 | United States Dollar | 975,395 | 1/17/18 | 9,839 |
New Zealand Dollar | 703,443 | United States Dollar | 500,712 | 11/14/17 | (19,476) |
United States Dollar | 12,492,783 | Canadian Dollar | 15,484,288 | 11/14/17 | 488,965 |
United States Dollar | 38,688,000 | Swiss Franc | 37,133,107 | 11/14/17 | 1,434,792 |
United States Dollar | 487,839 | Euro | 413,688 | 1/17/18 | 3,675 |
United States Dollar | 83,413 | British Pound | 63,180 | 11/1/17 | (499) |
United States Dollar | 536,939 | British Pound | 406,636 | 1/17/18 | (4,522) |
United States Dollar | 125,801 | Japanese Yen | 14,071,422 | 1/17/18 | 1,529 |
United States Dollar | 2,320,141 | New Zealand Dollar | 3,375,045 | 11/14/17 | 11,219 |
Gross Unrealized Appreciation | 18,281,197 | ||||
Gross Unrealized Depreciation | (5,263,203) |
See notes to financial statements.
19
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 1,302,804,747 |
| 1,428,107,061 |
| ||
Affiliated issuers |
| 95,870,947 |
| 94,865,075 |
| |
Cash denominated in foreign currency |
|
| 75,495 |
| 75,760 |
|
Unrealized appreciation on forward foreign |
| 18,281,197 |
| |||
Cash collateral held by broker—Note 4 |
| 16,099,995 |
| |||
Receivable for investment securities sold |
| 14,324,826 |
| |||
Dividends and interest receivable |
| 7,048,114 |
| |||
Receivable for shares of Common Stock subscribed |
| 1,574,311 |
| |||
Prepaid expenses |
|
|
|
| 42,763 |
|
|
|
|
|
| 1,580,419,102 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 1,101,687 |
|
Cash overdraft due to Custodian |
|
|
|
| 1,933,158 |
|
Unrealized depreciation on forward foreign |
| 5,263,203 |
| |||
Payable for investment securities purchased |
| 2,451,951 |
| |||
Payable for shares of Common Stock redeemed |
| 1,864,307 |
| |||
Payable for futures variation margin—Note 4 |
| 771,051 |
| |||
Accrued expenses |
|
|
|
| 204,126 |
|
|
|
|
|
| 13,589,483 |
|
Net Assets ($) |
|
| 1,566,829,619 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,594,896,502 |
|
Accumulated distributions in excess of investment income—net |
| (17,991,058) |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (134,565,227) |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 124,489,402 |
| |
Net Assets ($) |
|
| 1,566,829,619 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 41,008,164 | 34,240,206 | 701,598,399 | 789,982,850 |
|
Shares Outstanding | 2,849,049 | 2,447,569 | 48,481,113 | 54,526,045 |
|
Net Asset Value Per Share ($) | 14.39 | 13.99 | 14.47 | 14.49 |
|
See notes to financial statements. |
20
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $1,242,581 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 21,556,151 |
| ||
Affiliated issuers |
|
| 604,454 |
| ||
Interest |
|
| 13,320,700 |
| ||
Total Income |
|
| 35,481,305 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 10,716,496 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 859,576 |
| ||
Custodian fees—Note 3(c) |
|
| 339,460 |
| ||
Distribution fees—Note 3(b) |
|
| 263,654 |
| ||
Registration fees |
|
| 197,231 |
| ||
Professional fees |
|
| 145,749 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 120,728 |
| ||
Prospectus and shareholders’ reports |
|
| 63,051 |
| ||
Loan commitment fees—Note 2 |
|
| 36,931 |
| ||
Miscellaneous |
|
| 63,561 |
| ||
Total Expenses |
|
| 12,806,437 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (18,960) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (4,709) |
| ||
Net Expenses |
|
| 12,782,768 |
| ||
Investment Income—Net |
|
| 22,698,537 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions: |
|
| ||||
Unaffiliated issuers |
|
|
| (8,924,160) |
| |
Affiliated issuers |
|
|
| (589,668) |
| |
Net realized gain (loss) on options transactions | (6,257,309) |
| ||||
Net realized gain (loss) on futures | (60,358,276) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (26,676,313) |
| ||||
Net Realized Gain (Loss) |
|
| (102,805,726) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
|
|
| ||
Unaffiliated issuers |
|
|
| 110,653,827 |
| |
Affiliated issuers |
|
|
| 106,613 |
| |
Net unrealized appreciation (depreciation) on options transactions | (16,115) |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| (20,356,461) |
| ||
Net unrealized appreciation (depreciation) on |
| �� | 1,447,654 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 91,835,518 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (10,970,208) |
| ||
Net Increase in Net Assets Resulting from Operations |
| 11,728,329 |
| |||
See notes to financial statements. |
21
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 22,698,537 |
|
|
| 12,012,796 |
| |
Net realized gain (loss) on investments |
| (102,805,726) |
|
|
| (20,788,216) |
| ||
Net unrealized appreciation (depreciation) |
| 91,835,518 |
|
|
| 35,382,347 |
| ||
Net Increase (Decrease) in Net Assets | 11,728,329 |
|
|
| 26,606,927 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
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 ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 46,710,000 |
|
|
| 135,924,150 |
| |
Class C |
|
| 10,975,522 |
|
|
| 22,230,757 |
| |
Class I |
|
| 627,749,307 |
|
|
| 468,457,613 |
| |
Class Y |
|
| 258,887,594 |
|
|
| 393,078,796 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 3,988,624 |
|
|
| 1,985,751 |
| |
Class C |
|
| 792,979 |
|
|
| 565,274 |
| |
Class I |
|
| 14,782,332 |
|
|
| 4,412,721 |
| |
Class Y |
|
| 10,697,251 |
|
|
| 10,077,228 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (160,619,601) |
|
|
| (30,295,189) |
| |
Class C |
|
| (12,483,540) |
|
|
| (3,502,241) |
| |
Class I |
|
| (441,168,901) |
|
|
| (67,046,742) |
| |
Class Y |
|
| (174,731,954) |
|
|
| (104,900,705) |
| |
Increase (Decrease) in Net Assets | 185,579,613 |
|
|
| 830,987,413 |
| |||
Total Increase (Decrease) in Net Assets | 155,905,934 |
|
|
| 833,083,814 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,410,923,685 |
|
|
| 577,839,871 |
| |
End of Period |
|
| 1,566,829,619 |
|
|
| 1,410,923,685 |
| |
Undistributed (distributions in excess of) | (17,991,058) |
|
|
| 24,651,403 |
|
22
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,299,172 |
|
|
| 9,236,847 |
| |
Shares issued for distributions reinvested |
|
| 287,158 |
|
|
| 142,245 |
| |
Shares redeemed |
|
| (11,443,331) |
|
|
| (2,072,271) |
| |
Net Increase (Decrease) in Shares Outstanding | (7,857,001) |
|
|
| 7,306,821 |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 789,435 |
|
|
| 1,550,131 |
| |
Shares issued for distributions reinvested |
|
| 58,393 |
|
|
| 41,321 |
| |
Shares redeemed |
|
| (901,640) |
|
|
| (244,973) |
| |
Net Increase (Decrease) in Shares Outstanding | (53,812) |
|
|
| 1,346,479 |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 43,906,268 |
|
|
| 31,624,601 |
| |
Shares issued for distributions reinvested |
|
| 1,061,187 |
|
|
| 315,645 |
| |
Shares redeemed |
|
| (30,962,659) |
|
|
| (4,550,565) |
| |
Net Increase (Decrease) in Shares Outstanding | 14,004,796 |
|
|
| 27,389,681 |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 18,211,714 |
|
|
| 26,614,889 |
| |
Shares issued for distributions reinvested |
|
| 767,929 |
|
|
| 720,317 |
| |
Shares redeemed |
|
| (12,290,862) |
|
|
| (7,250,679) |
| |
Net Increase (Decrease) in Shares Outstanding | 6,688,781 |
|
|
| 20,084,527 |
| |||
a During the period ended October 31, 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 346 Class I shares and 479,116 Class Y shares representing $6,867,173 were exchanged for 479,484 Class I shares and during the period ended October 31, 2016, 498 Class A shares representing $7,336 were exchanged for 496 Class I shares and 167,112 Class Y shares representing $2,457,452 were exchanged for 167,167 Class I shares. | |||||||||
See notes to financial statements. |
23
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Class A Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.72 | 14.61 | 15.11 | 14.75 | 14.07 | |
Investment Operations: | ||||||
Investment income—neta | .15 | .17 | .17 | .36 | .21 | |
Net realized and unrealized | (.09) | .51 | .01b | .17 | .54 | |
Total from Investment Operations | .06 | .68 | .18 | .53 | .75 | |
Distributions: | ||||||
Dividends from | (.39) | (.57) | (.68) | (.04) | (.07) | |
Dividends from net realized | - | - | - | (.13) | - | |
Total Distributions | (.39) | (.57) | (.68) | (.17) | (.07) | |
Net asset value, end of period | 14.39 | 14.72 | 14.61 | 15.11 | 14.75 | |
Total Return (%)c | .47 | 4.87 | 1.22 | 3.63 | 5.42 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.17 | 1.16 | 1.15 | 1.20 | 1.49 | |
Ratio of net expenses to | 1.15 | 1.15 | 1.15 | 1.15 | 1.47 | |
Ratio of net investment income | 1.09 | 1.15 | 1.16 | 2.38 | 1.48 | |
Portfolio Turnover Rate | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 | |
Net Assets, end of period ($ x 1,000) | 41,008 | 157,624 | 49,672 | 56,501 | 35,478 |
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.
See notes to financial statements.
24
Year Ended October 31, | ||||||
Class C Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.34 | 14.26 | 14.79 | 14.51 | 13.89 | |
Investment Operations: | ||||||
Investment income—neta | .08 | .06 | .06 | .21 | .08 | |
Net realized and unrealized | (.12) | .50 | .02b | .20 | .55 | |
Total from Investment Operations | (.04) | .56 | .08 | .41 | .63 | |
Distributions: | ||||||
Dividends from | (.31) | (.48) | (.61) | - | (.01) | |
Dividends from net realized | - | - | - | (.13) | - | |
Total Distributions | (.31) | (.48) | (.61) | (.13) | (.01) | |
Net asset value, end of period | 13.99 | 14.34 | 14.26 | 14.79 | 14.51 | |
Total Return (%)c | (.23) | 4.12 | .49 | 2.87 | 4.58 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.92 | 1.90 | 1.91 | 1.96 | 2.21 | |
Ratio of net expenses | 1.90 | 1.90 | 1.90 | 1.90 | 2.18 | |
Ratio of net investment income | .58 | .44 | .39 | 1.41 | .58 | |
Portfolio Turnover Rate | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 | |
Net Assets, end of period ($ x 1,000) | 34,240 | 35,861 | 16,470 | 11,969 | 5,671 |
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.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | ||||||
Class I Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.78 | 14.68 | 15.18 | 14.81 | 14.10 | |
Investment Operations: | ||||||
Investment income—neta | .23 | .20 | .21 | .38 | .26 | |
Net realized and unrealized | (.13) | .52 | .01b | .19 | .54 | |
Total from Investment Operations | .10 | .72 | .22 | .57 | .80 | |
Distributions: | ||||||
Dividends from | (.41) | (.62) | (.72) | (.07) | (.09) | |
Dividends from net realized | - | - | - | (.13) | - | |
Total Distributions | (.41) | (.62) | (.72) | (.20) | (.09) | |
Net asset value, end of period | 14.47 | 14.78 | 14.68 | 15.18 | 14.81 | |
Total Return (%) | .82 | 5.16 | 1.49 | 3.89 | 5.79 | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .90 | .88 | .86 | .90 | 1.11 | |
Ratio of net expenses | .90 | .88 | .86 | .90 | 1.11 | |
Ratio of net investment income | 1.61 | 1.36 | 1.40 | 2.51 | 1.84 | |
Portfolio Turnover Rate | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 | |
Net Assets, end of period ($ x 1,000) | 701,598 | 509,712 | 104,057 | 74,438 | 60,482 |
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.
See notes to financial statements.
26
Year Ended October 31, | ||||||
Class Y Shares | 2017 | 2016 | 2015 | 2014 | 2013a | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.79 | 14.69 | 15.18 | 14.81 | 14.16 | |
Investment Operations: | ||||||
Investment income—netb | .24 | .22 | .22 | .26 | .05 | |
Net realized and unrealized | (.12) | .51 | .02c | .31 | .60 | |
Total from Investment Operations | .12 | .73 | .24 | .57 | .65 | |
Distributions: | ||||||
Dividends from | (.42) | (.63) | (.73) | (.07) | - | |
Dividends from net realized | - | - | - | (.13) | - | |
Total Distributions | (.42) | (.63) | (.73) | (.20) | - | |
Net asset value, end of period | 14.49 | 14.79 | 14.69 | 15.18 | 14.81 | |
Total Return (%) | .92 | 5.18 | 1.57 | 3.89 | 4.59d | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .82 | .81 | .83 | .88 | 1.09e | |
Ratio of net expenses | .82 | .81 | .83 | .88 | 1.09e | |
Ratio of net investment income | 1.67 | 1.53 | 1.45 | 1.77 | 1.10e | |
Portfolio Turnover Rate | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 | |
Net Assets, end of period ($ x 1,000) | 789,983 | 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.
27
NOTES TO FINANCIAL STATEMENTS
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 nine 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 authorized 100 million Class T shares which resulted in the fund’s total authorized shares increasing from 400 million to 500 million.
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.
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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).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
29
NOTES TO FINANCIAL STATEMENTS (continued)
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.
30
When market quotations or official closing prices are not readily available, or are determined to not accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and 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 October 31, 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 | - | 115,696,478 | - | 115,696,478 | |
Equity Securities –Domestic | 228,726,106 | - | - | 228,726,106 | |
Equity Securities –Foreign | 692,662,770 | - | - | 692,662,770 |
31
NOTES TO FINANCIAL STATEMENTS (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | ||
Exchange –Traded Fund | 20,585,420 | - | - | 20,585,420 | |
Foreign Government | - | 205,296,823 | - | 205,296,823 | |
Registered Investment Company | 74,279,655 | - | - | 74,279,655 | |
U.S. Treasury | - | 184,139,999 | - | 184,139,999 | |
Other Financial Instruments: | |||||
Forward Foreign Currency | - | 18,281,197 | - | 18,281,197 | |
Options Purchased | 1,584,885 | - | - | 1,584,885 | |
Liabilities ($) | |||||
Other Financial Instruments: | |||||
Futures† | (12,746,603) | - | - | (12,746,603) | |
Forward Foreign Currency | - | (5,263,203) | - | (5,263,203) |
† Amount shown represents unrealized appreciation (depreciation) at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
(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
32
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.
(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 October 31, 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 October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $8,895,888, accumulated capital losses $140,103,235 and unrealized appreciation $103,140,464.
33
NOTES TO FINANCIAL STATEMENTS (continued)
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 accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2017. If not applied, the fund has $53,749,305 of short-term capital losses and $86,353,930 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $41,402,008 and $24,510,526, respectively.
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for foreign currency gains and losses, limited partnerships and passive foreign investment companies, the fund decreased accumulated undistributed investment income-net by $23,938,990 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. 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 October 31, 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
34
expenses of Class A, C, I and Y shares (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 .90% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $18,960 during the period ended October 31, 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 October 31, 2017, the Distributor retained $3,248 from commissions earned on sales of the fund’s Class A shares and $10,512 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 October 31, 2017, Class C shares were charged $263,654 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 October 31, 2017, Class A and Class C shares were charged $186,214 and $87,885, 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 October 31, 2017, the fund was
35
NOTES TO FINANCIAL STATEMENTS (continued)
charged $15,657 for transfer agency services and $1,045 for cash management services. These fees are included in Shareholder servicing costs in the Statement of Operations. Cash management fees were offset by earnings credits of $1,045.
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 October 31, 2017, the fund was charged $339,460 pursuant to the custody agreement. These fees were partially offset by earnings credits of $3,664.
During the period ended October 31, 2017, the fund was charged $11,224 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 $959,130, Distribution Plan fees $21,900, Shareholder Services Plan fees $16,059, custodian fees $91,775, Chief Compliance Officer fees $6,538 and transfer agency fees $6,285.
(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 October 31, 2017, amounted to $1,138,966,896 and $1,023,634,096, 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 October 31, 2017 is discussed below.
36
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity risk and interest risk, as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 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 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
37
NOTES TO FINANCIAL STATEMENTS (continued)
which the option is terminated. Generally, the fund incurs a loss if the price of the financial instrument decreases between those dates. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
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 October 31, 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 October 31, 2017 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
38
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of October 31, 2017 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | - | Interest rate risk | (135,825) | 1 | |||
Equity risk | 1,584,885 | 2 | Equity risk | (12,610,778) | 1 | ||
Foreign exchange risk | 18,281,197 | 3 | Foreign exchange risk | (5,263,203) | 3 | ||
Gross fair value of | 19,866,082 | (18,009,806) | |||||
Statement of Assets and Liabilities location: | |||||||
1 | Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. | ||||||
2 | Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | ||||||
3 | Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended October 31, 2017 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| ||
Interest | (1,578,114) | (1,286,448) | - | (2,864,562) | ||||||
Equity | (58,780,162) | (3,823,814) | - | (62,603,976) | ||||||
Foreign | - | (1,147,047) | (26,676,313) | (27,823,360) | ||||||
Total | (60,358,276) | (6,257,309) | (26,676,313) | (93,291,898) | ||||||
Change in unrealized appreciation (depreciation) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | (135,825) | - | - | (135,825) | ||||||
Equity | (20,220,636) | (16,115) | - | (20,236,751) | ||||||
Foreign | - | - | 1,447,654 | 1,447,654 | ||||||
Total | (20,356,461) | (16,115) | 1,447,654 | (18,924,922) | ||||||
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. |
39
NOTES TO FINANCIAL STATEMENTS (continued)
The provisions of ASC Topic 210 “Disclosures about Offsetting Assets and Liabilities” require disclosure on the offsetting of financial assets and liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At October 31, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | - | (12,746,603) | |||
Options | 1,584,885 | - | |||
Forward contracts | 18,281,197 | (5,263,203) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 19,866,082 | (18,009,806) | |||
Derivatives not subject to | |||||
Master Agreements | (1,584,885) | 12,746,603 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 18,281,197 | (5,263,203) |
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 October 31, 2017:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Citigroup | 9,839,741 | (2,019,796) | (3,240,000) | 4,579,945 | ||
State Street Bank | 6,491,134 | (3,214,390) | (3,276,744) | - | ||
UBS | 1,950,322 | (29,017) | (1,900,000) | 21,305 | ||
Total | 18,281,197 | (5,263,203) | (8,416,744) | 4,601,250 |
40
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Citigroup | (2,019,796) | 2,019,796 | - | - | ||
State Street Bank | (3,214,390) | 3,214,390 | - | - | ||
UBS | (29,017) | 29,017 | - | - | ||
Total | (5,263,203) | 5,263,203 | - | - | ||
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. |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
|
| Average Market Value ($) |
Equity futures | 377,575,889 | |
Equity options contracts | 348,016 | |
Interest rate futures | 22,894,010 | |
Interest rate options contracts | 646,627 | |
Foreign currency options contracts | 12,552 | |
Forward contracts | 777,172,295 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $1,419,757,245; accordingly, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $103,218,895, consisting of $157,234,846 gross unrealized appreciation and $54,015,951 gross unrealized depreciation.
41
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Global Real Return Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers, futures and forward foreign currency exchange contracts, of Dreyfus Global Real Return Fund (one of the series comprising Advantage Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Global Real Return Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the indicated periods, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
42
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2017:
- the total amount of taxes paid to foreign countries was $1,183,767
- the total amount of income sourced from foreign countries was $22,645,453
Where required by Federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2017 calendar year with Form 1099-DIV which will be mailed in early 2018. For the fiscal year ended October 31, 2017, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $14,534,370 represents the maximum amount that may be considered qualified dividend income.
43
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
44
Ehud Houminer (77)
Board Member (1993)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
45
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
46
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
47
OFFICERS OF THE FUND (Unaudited) (continued)
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since December 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
48
NOTES
49
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 Global Dynamic Bond Fund
ANNUAL REPORT October 31, 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 | |
in Affiliated Issuers | |
Currency Exchange Contracts | |
Public Accounting Firm | |
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 annual report for Dreyfus Global Dynamic Bond Fund, covering the 12-month period from November 1, 2016 through October 31, 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 set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 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 12-month period ended October 31, 2017, Dreyfus Global Dynamic Bond Fund’s Class A shares produced a total return of 2.45%, Class C shares returned 1.59%, Class I shares returned 2.57%, and Class Y shares returned 2.67%.1 In comparison, the fund’s benchmark, the Citi One-Month U.S. Treasury Bill Index (the “Index”), produced a total return of 0.67% for the same period.2
Fixed-income securities across a variety of global markets produced positive total returns over the reporting period when moderating long-term interest rates and muted inflation offset earlier market weakness stemming from expectations of greater economic growth. The fund outperformed the Index, primarily due to its emphasis on higher-yielding bond market sectors.
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.
Riskier Assets Benefited From Global Economic Growth
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 at the start of the reporting period, when financial markets reacted with surprise to the unexpected outcome of the U.S. presidential election. Subsequently, the Federal Reserve Board (the “Fed”) raised short-term U.S. interest rates three times and committed to shrinking its balance sheet. Other major central banks left their accommodative monetary policies unchanged as inflationary pressures remained muted despite a recovery in commodity prices and stronger global economic growth in the Eurozone, China, and other markets.
Over much of the reporting period, a weaker U.S. dollar against most other currencies, stronger global economic growth, and stable inflation provided a favorable backdrop for risk assets, such as emerging-market government bonds and high yield securities. However, late in the reporting period, renewed dollar strength, softer Chinese growth, and tighter credit spreads helped to reduce investors’ risk appetites.
Higher-Yielding Market Sectors Bolstered Fund Results
The fund lost a degree of value early in the reporting period. Government bond holdings, particularly U.S. Treasury securities, were a significant drag on performance when yields rose sharply after the U.S. election. 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 selloff. With underlying yields rising, investment-grade corporate-backed bonds and emerging-market sovereign
3
DISCUSSION OF FUND PERFORMANCE (continued)
bonds produced negative returns at the time. In contrast, high yield bonds performed strongly as yield differences narrowed along the market’s credit-quality spectrum.
The fund’s performance recovered over the first 10 months of 2017. Government bond yields stabilized, global growth expectations remained upbeat, and U.S. policy anxieties eased, allowing the fund’s 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 the fund’s relative performance. Developed and emerging-market sovereign bonds also boosted relative results.
The fund’s currency strategy made a negligible contribution to performance over 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. However, losses attributable to short Australian and Canadian dollar exposure in July, and short sterling positioning in September, largely eroded those gains.
A More Cautious Investment Posture
We have adopted a more cautious investment posture due to expectations of tighter monetary policy in the United States and continued economic growth in Europe and the emerging markets. The Fed’s current focus on balance-sheet reduction, prospects for fiscal stimulus through tax cuts, and tight yield spreads could create a more challenging environment for sovereign bonds and investment-grade corporate bonds. These factors also could limit U.S. dollar strength, which may support emerging-market government debt in some developing nations.
Therefore, we have modestly trimmed the fund’s duration positioning to reduce its interest-rate sensitivity, and we have reduced its holdings of investment-grade credits. While we have increased the fund’s exposure to high yield securities, leverage and structural concerns suggest that certain high yield market sectors, such as U.S. retailers, should be avoided.
November 15, 2017
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 One-Month U.S. Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi One-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Global Dynamic Bond Fund Class A shares, Class C shares, Class I shares and Class Y shares and the Citi One-Month U.S. Treasury Bill Index (the “Index”)
† Source: Lipper Inc.
†† The total return figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Class A, Class C, Class I and Class Y shares of Dreyfus Global Dynamic Bond Fund on 3/25/11 (inception date) to a $10,000 investment made in the Index on that date. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. The Index consists of the last one-month Treasury bill month-end rates. The Citi One-Month U.S.Treasury Bill Index measures returns equivalent of yield averages. The instruments are not marked to market. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (continued)
Average Annual Total Returns as of 10/31/17 | |||||
| Inception | 1 Year | 5 Years | From |
|
Class A shares | |||||
with maximum sales charge (4.5%) | 3/25/11 | -2.17% | 1.00% | 2.18% | |
without sales charge | 3/25/11 | 2.45% | 1.93% | 2.89% | |
Class C shares | |||||
with applicable redemption charge † | 3/25/11 | 0.61% | 1.16% | 2.11% | |
without redemption | 3/25/11 | 1.59% | 1.16% | 2.11% | |
Class I shares | 3/25/11 | 2.57% | 2.15% | 3.12% | |
Class Y shares | 7/1/13 | 2.67% | 2.17%†† | 3.08%†† | |
Citi One-Month U.S. Treasury Bill Index | 3/31/11 | 0.67% | 0.18% | 0.15%††† |
† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.
†† The total return performance figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
††† For comparative purposes, the value of the Index as of 3/31/11 is used as the beginning value on 3/25/11.
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund's performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund's performance shown in the table takes into account all other applicable fees and expenses on all classes.
6
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 May 1, 2017 to October 31, 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 October 31, 2017 | |||||||||||
|
|
|
| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $4.26 | $8.05 | $3.00 | $3.00 | |||||||
Ending value (after expenses) | $1,013.30 | $1,009.20 | $1,014.10 | $1,014.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2017 | |||||||||||
|
|
|
| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $4.28 | $8.08 | $3.01 | $3.01 | |||||||
Ending value (after expenses) | $1,020.97 | $1,017.19 | $1,022.23 | $1,022.23 |
† Expenses are equal to the fund’s annualized expense ratio of .84% for Class A, 1.59% for Class C, .59% for Class I and .59% for Class Y, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
7
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% | |||||||||
Consumer Discretionary - 8.6% | |||||||||
Best Buy, | 5.50 | 3/15/21 | 95,000 | 103,402 | |||||
CCO Holdings, | 5.75 | 1/15/24 | 65,000 | 67,681 | |||||
CCO Holdings, | 5.50 | 5/1/26 | 70,000 | b | 71,925 | ||||
CCO Holdings, | 5.88 | 5/1/27 | 50,000 | b | 52,485 | ||||
CPUK Finance, | GBP | 4.25 | 2/28/47 | 100,000 | 136,384 | ||||
CPUK Finance, | GBP | 2.67 | 2/28/42 | 200,000 | 272,858 | ||||
Daimler Finance North America, | 1.88 | 1/11/18 | 300,000 | 300,162 | |||||
Discovery Communications, | GBP | 2.50 | 9/20/24 | 121,000 | 157,858 | ||||
Dollar General, | 3.25 | 4/15/23 | 99,000 | 101,687 | |||||
Dollar General, | 4.15 | 11/1/25 | 208,000 | 222,169 | |||||
EI Group, | GBP | 6.50 | 12/6/18 | 16,000 | 22,365 | ||||
EI Group, | GBP | 6.38 | 2/15/22 | 100,000 | 143,447 | ||||
Hella Finance International, | EUR | 1.00 | 5/17/24 | 194,000 | 230,274 | ||||
John Lewis, | GBP | 8.38 | 4/8/19 | 175,000 | 255,079 | ||||
KFC & Pizza Hut Holdings, | 5.00 | 6/1/24 | 257,000 | 271,778 | |||||
Mitchells & Butlers Finance, | GBP | 6.01 | 12/15/28 | 174,363 | 276,683 | ||||
Motability Operations Group, | EUR | 1.63 | 6/9/23 | 200,000 | 249,706 | ||||
SFR Group, | EUR | 5.38 | 5/15/22 | 180,000 | 219,538 | ||||
Unitymedia Hessen, | EUR | 6.25 | 1/15/29 | 200,000 | 266,088 | ||||
Virgin Media Receivables Financing Notes I, | GBP | 5.50 | 9/15/24 | 208,000 | 288,461 | ||||
Volkswagen International Finance, | EUR | 1.13 | 10/2/23 | 100,000 | 119,245 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Consumer Discretionary - 8.6% (continued) | |||||||||
Wagamama Finance, | GBP | 4.13 | 7/1/22 | 100,000 | 133,338 | ||||
3,962,613 | |||||||||
Consumer Staples - 3.3% | |||||||||
Anheuser-Busch InBev Finance, | 1.90 | 2/1/19 | 130,000 | 130,170 | |||||
DS Services of America, | 10.00 | 9/1/21 | 128,000 | b | 135,146 | ||||
Fomento Economico Mexicano, | EUR | 1.75 | 3/20/23 | 207,000 | 251,991 | ||||
Iceland Bondco, | GBP | 4.63 | 3/15/25 | 100,000 | 129,145 | ||||
Nova Austral, | 8.25 | 5/26/21 | 150,000 | b | 154,468 | ||||
PepsiCo, | 2.00 | 4/15/21 | 96,000 | 95,762 | |||||
Post Holdings, | 6.00 | 12/15/22 | 184,000 | b | 193,430 | ||||
Sigma Alimentos, | 4.13 | 5/2/26 | 200,000 | 200,500 | |||||
Spectrum Brands, | 6.63 | 11/15/22 | 220,000 | 229,236 | |||||
1,519,848 | |||||||||
Energy - 2.4% | |||||||||
BG Energy Capital, | GBP | 6.50 | 11/30/72 | 155,000 | c | 206,812 | |||
BP Capital Markets, | GBP | 4.33 | 12/10/18 | 100,000 | 137,840 | ||||
BP Capital Markets, | EUR | 1.12 | 1/25/24 | 200,000 | 241,725 | ||||
Petrobras Global Finance, | 6.75 | 1/27/41 | 230,000 | 232,300 | |||||
Shell International Finance, | 1.76 | 5/11/20 | 287,000 | c | 289,364 | ||||
1,108,041 | |||||||||
Financials - 19.4% | |||||||||
Allied Irish Banks, | EUR | 4.13 | 11/26/25 | 181,000 | c | 227,946 | |||
Amigo Luxembourg, | GBP | 7.63 | 1/15/24 | 100,000 | 140,582 | ||||
Aquarius & Investments, | 8.25 | 9/29/49 | 200,000 | c | 209,658 | ||||
Bank Nederlandse Gemeenten, | 1.60 | 5/15/18 | 200,000 | c | 200,337 | ||||
Bank of England, | 1.25 | 3/14/19 | 410,000 | 407,585 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Financials - 19.4% (continued) | |||||||||
Bank of Ireland Group, | GBP | 3.13 | 9/19/27 | 100,000 | c | 131,634 | |||
Citigroup, | 2.25 | 6/7/19 | 76,000 | c | 76,749 | ||||
Citigroup, | 5.50 | 9/13/25 | 240,000 | 271,285 | |||||
Close Brothers Finance, | GBP | 3.88 | 6/27/21 | 200,000 | 287,467 | ||||
Close Brothers Finance, | GBP | 2.75 | 10/19/26 | 141,000 | 193,842 | ||||
Commonwealth Bank of Australia, | 2.13 | 7/22/20 | 250,000 | 250,165 | |||||
Coventry Building Society, | GBP | 0.63 | 3/17/20 | 100,000 | c | 133,391 | |||
Coventry Building Society, | GBP | 6.38 | 12/31/49 | 200,000 | c | 278,641 | |||
Coventry Building Society, | EUR | 2.50 | 11/18/20 | 200,000 | 249,905 | ||||
Danske Bank, | GBP | 5.38 | 9/29/21 | 90,000 | c | 123,854 | |||
Dexia Credit Local, | 2.25 | 1/30/19 | 500,000 | 502,032 | |||||
ECL Finance, | INR | 9.05 | 12/28/19 | 14,500,000 | 225,698 | ||||
Housing Development Finance, | INR | 7.88 | 8/21/19 | 10,000,000 | 156,440 | ||||
HSBC Bank, | GBP | 5.38 | 11/4/30 | 195,000 | c | 313,011 | |||
JAB Holdings, | EUR | 1.25 | 5/22/24 | 100,000 | 119,720 | ||||
JPMorgan Chase & Co., | 2.58 | 10/29/20 | 163,000 | c | 167,116 | ||||
Landwirtschaftliche Rentenbank, | NZD | 4.00 | 1/30/20 | 250,000 | 176,869 | ||||
Lloyds Bank, | EUR | 13.00 | 1/29/49 | 66,000 | 108,831 | ||||
Lloyds Banking Group, | GBP | 7.00 | 12/31/49 | 200,000 | c | 283,227 | |||
Nationwide Building Society, | GBP | 6.88 | 12/31/49 | 200,000 | c | 281,241 | |||
New York Life Global Funding, | 1.70 | 9/14/21 | 280,000 | 273,800 | |||||
Prudential, | GBP | 1.38 | 1/19/18 | 190,000 | 252,930 | ||||
Rabobank Nederland, | AUD | 7.25 | 4/20/18 | 250,000 | 196,014 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Financials - 19.4% (continued) | |||||||||
Royal Bank of Canada, | 2.00 | 10/1/18 | 125,000 | 125,342 | |||||
Royal Bank of Canada, | 1.88 | 2/5/20 | 280,000 | 279,344 | |||||
Saga, | GBP | 3.38 | 5/12/24 | 100,000 | 131,623 | ||||
Santander UK, | GBP | 9.63 | 10/30/23 | 147,000 | c | 211,443 | |||
Silverback Finance, | EUR | 3.13 | 2/25/37 | 199,382 | 242,446 | ||||
Societe Generale, | EUR | 6.75 | 12/31/49 | 200,000 | c | 266,896 | |||
TP ICAP, | GBP | 5.25 | 1/26/24 | 190,000 | 271,291 | ||||
UBS, | EUR | 4.75 | 2/12/26 | 235,000 | c | 305,729 | |||
UNITE USAF II, | GBP | 3.37 | 6/30/28 | 100,000 | 143,134 | ||||
US Bancorp, | 1.81 | 11/15/18 | 100,000 | c | 100,452 | ||||
US Bank, | 1.78 | 4/26/19 | 280,000 | c | 281,188 | ||||
Westpac Banking, | 1.38 | 5/30/18 | 330,000 | 329,519 | |||||
8,928,377 | |||||||||
Foreign/Governmental - 31.2% | |||||||||
Asian Development Bank, | 1.36 | 7/10/19 | 165,000 | c | 164,986 | ||||
Australian Government, | AUD | 4.00 | 4/20/23 | 475,000 | 392,504 | ||||
Brazil Letras do Tesouro Nacional, | BRL | 0.00 | 7/1/21 | 2,000,000 | d | 440,879 | |||
Brazilian Government, | 5.00 | 1/27/45 | 240,000 | 222,692 | |||||
Brazilian Government, | 4.63 | 1/13/28 | 230,000 | 228,908 | |||||
Caisse des Depots et Consignations, | 1.25 | 5/17/19 | 400,000 | 396,310 | |||||
Canada Housing Trust No 1, | CAD | 2.00 | 12/15/19 | 1,140,000 | b | 892,118 | |||
Council of Europe Development Bank, | 1.13 | 5/31/18 | 280,000 | 279,389 | |||||
Dominican Government, | 7.45 | 4/30/44 | 280,000 | 333,900 | |||||
Ecuadorian Government, | 10.50 | 3/24/20 | 200,000 | 218,000 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Foreign/Governmental - 31.2% (continued) | |||||||||
European Bank for Reconstruction & Development, | 1.33 | 3/23/20 | 620,000 | c | 619,686 | ||||
Export-Import Bank of Korea, | 1.82 | 10/21/19 | 401,000 | c | 399,903 | ||||
Export-Import Bank of Korea, | 2.24 | 1/25/22 | 309,000 | c | 309,949 | ||||
FMS Wertmanagement, | 1.42 | 11/27/19 | 600,000 | c | 601,398 | ||||
Indonesian Government, | IDR | 8.25 | 5/15/36 | 5,690,000,000 | 454,151 | ||||
Instituto de Credito Oficial, | 1.63 | 9/14/18 | 390,000 | 389,103 | |||||
International Bank for Reconstruction & Development, | 1.59 | 2/11/21 | 410,000 | c | 413,107 | ||||
International Bank for Reconstruction & Development, | NZD | 4.63 | 2/26/19 | 350,000 | 246,918 | ||||
Kommunalbanken, | 1.44 | 5/2/19 | 190,000 | c | 190,315 | ||||
Kommunekredit, | 1.63 | 6/1/21 | 410,000 | 404,635 | |||||
Kuwaiti Government, | 2.75 | 3/20/22 | 630,000 | 636,615 | |||||
Malaysian Government, | MYR | 4.06 | 9/30/24 | 2,890,000 | 687,301 | ||||
Mexican Government, | MXN | 5.75 | 3/5/26 | 16,500,000 | 782,409 | ||||
Mexican Government, | MXN | 8.50 | 5/31/29 | 3,570,000 | 203,343 | ||||
National Highways Authority of India, | INR | 7.30 | 5/18/22 | 20,000,000 | 316,597 | ||||
Netherlands Development Finance, | 1.50 | 10/21/19 | 192,000 | c | 192,397 | ||||
New Zealand Government, | NZD | 4.50 | 4/15/27 | 620,000 | 448,274 | ||||
New Zealand Government, | NZD | 5.00 | 3/15/19 | 660,000 | 468,804 | ||||
Norwegian Government, | NOK | 3.75 | 5/25/21 | 3,220,000 | b | 433,213 | |||
Peruvian Government, | PEN | 8.20 | 8/12/26 | 550,000 | 207,730 | ||||
Peruvian Government, | PEN | 6.95 | 8/12/31 | 600,000 | 207,535 |
12
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Foreign/Governmental - 31.2% (continued) | |||||||||
Province of British Columbia Canada, | EUR | 0.88 | 10/8/25 | 328,000 | 392,368 | ||||
Queensland Treasury, | AUD | 2.75 | 8/20/27 | 1,210,000 | b | 894,731 | |||
Svensk Exportkredit, | 2.88 | 11/14/23 | 200,000 | b,c | 199,824 | ||||
Turkish Government, | 6.75 | 4/3/18 | 220,000 | 223,894 | |||||
Turkish Government, | 5.63 | 3/30/21 | 100,000 | 105,514 | |||||
Vietnamese Government, | 6.75 | 1/29/20 | 300,000 | 327,278 | |||||
14,326,678 | |||||||||
Health Care - .4% | |||||||||
BUPA Finance, | GBP | 6.13 | 12/29/49 | 130,000 | c | 191,297 | |||
Industrials - 3.8% | |||||||||
AA Bond, | GBP | 5.50 | 7/31/43 | 200,000 | 274,202 | ||||
AA Bond, | GBP | 4.25 | 7/31/43 | 100,000 | 140,475 | ||||
Belden, | EUR | 2.88 | 9/15/25 | 163,000 | 191,171 | ||||
Firstgroup, | GBP | 8.13 | 9/19/18 | 160,000 | 225,339 | ||||
General Electric, | GBP | 6.44 | 11/15/22 | 30,157 | 44,384 | ||||
GMR Hyderabad International Airport, | 4.25 | 10/27/27 | 200,000 | 197,377 | |||||
Go-Ahead Group, | GBP | 2.50 | 7/6/24 | 130,000 | 171,296 | ||||
Heathrow Finance, | GBP | 3.88 | 3/1/27 | 175,000 | 231,025 | ||||
Johnson Controls International, | EUR | 1.00 | 9/15/23 | 222,000 | 263,797 | ||||
1,739,066 | |||||||||
Information Technology - 2.6% | |||||||||
Dell International, | 6.02 | 6/15/26 | 100,000 | b | 111,816 | ||||
eBay, | 1.79 | 8/1/19 | 329,000 | c | 330,137 | ||||
EMC, | 1.88 | 6/1/18 | 260,000 | 259,372 | |||||
Microsoft, | 2.00 | 8/8/23 | 250,000 | 244,124 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Information Technology - 2.6% (continued) | |||||||||
Western Digital, | 7.38 | 4/1/23 | 210,000 | b | 230,475 | ||||
1,175,924 | |||||||||
Materials - 1.7% | |||||||||
Anglo American Capital, | 9.38 | 4/8/19 | 200,000 | b | 220,404 | ||||
Freeport-McMoRan, | 2.30 | 11/14/17 | 200,000 | 200,020 | |||||
PSPC Escrow, | EUR | 6.00 | 2/1/23 | 110,000 | 135,074 | ||||
SIG Combibloc Holdings, | EUR | 7.75 | 2/15/23 | 100,000 | 123,316 | ||||
Silgan Holdings, | EUR | 3.25 | 3/15/25 | 100,000 | 121,458 | ||||
800,272 | |||||||||
Real Estate - 1.7% | |||||||||
Iron Mountain, | EUR | 3.00 | 1/15/25 | 100,000 | 118,570 | ||||
Iron Mountain Europe, | GBP | 6.13 | 9/15/22 | 170,000 | 236,227 | ||||
SELP Finance Sarl, | EUR | 1.25 | 10/25/23 | 150,000 | 175,552 | ||||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 146,293 | 231,447 | ||||
761,796 | |||||||||
Telecommunication Services - 4.2% | |||||||||
Arqiva Broadcast Finance, | GBP | 9.50 | 3/31/20 | 120,000 | 168,542 | ||||
AT&T, | 3.40 | 8/14/24 | 203,000 | 203,283 | |||||
Orange, | EUR | 4.00 | 12/31/49 | 100,000 | 129,119 | ||||
Sable International Finance, | 6.88 | 8/1/22 | 234,000 | b | 251,550 | ||||
Sprint Capital, | 8.75 | 3/15/32 | 175,000 | 212,625 | |||||
TDC, | EUR | 3.50 | 2/26/15 | 100,000 | 122,091 | ||||
T-Mobile USA, | 6.00 | 3/1/23 | 170,000 | 179,563 | |||||
T-Mobile USA, | 6.00 | 4/15/24 | 90,000 | 96,525 | |||||
Verizon Communications, | 2.32 | 3/16/22 | 103,000 | c | 105,212 |
14
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 96.8% (continued) | |||||||||
Telecommunication Services - 4.2% (continued) | |||||||||
Vodefone Group, | 1.50 | 2/19/18 | 280,000 | 279,890 | |||||
Wind Acquisition Finance, | EUR | 7.00 | 4/23/21 | 160,000 | 193,463 | ||||
1,941,863 | |||||||||
U.S. Government Securities - 15.7% | |||||||||
U.S. Treasury Inflation Protected Securities, | 2.38 | 1/15/25 | 1,986,130 | e | 2,264,146 | ||||
U.S. Treasury Inflation Protected Securities, | 0.13 | 4/15/20 | 681,408 | e | 683,923 | ||||
U.S. Treasury Notes | 3.50 | 5/15/20 | 290,000 | 303,158 | |||||
U.S. Treasury Notes | 1.63 | 8/15/22 | 3,275,000 | 3,220,822 | |||||
U.S. Treasury Notes | 2.13 | 7/31/24 | 725,000 | 721,021 | |||||
7,193,070 | |||||||||
Utilities - 1.8% | |||||||||
Anglian Water Services Financing, | GBP | 1.63 | 8/10/25 | 115,000 | 149,791 | ||||
Cadent Finance, | GBP | 1.13 | 9/22/21 | 264,000 | 348,173 | ||||
Severn Trent Utilities Finance, | GBP | 6.00 | 1/22/18 | 150,000 | 201,530 | ||||
Southern Gas Networks, | GBP | 5.13 | 11/2/18 | 100,000 | 138,219 | ||||
837,713 | |||||||||
Total Bonds and Notes | 44,486,558 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - .4% | |||||||||
Exchange-Traded Funds - .4% | |||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 5,662 | 164,764 | |||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount ($) | Value ($) | |||||
Options Purchased - .1% | |||||||||
Put Options - .1% | |||||||||
U.S. 10 Year Treasury Notes, | 125.50 | 12/2017 | 62,000 | 50,375 |
15
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||
Other Investment - .2% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 94,681 | f | 94,681 | ||||||
Total Investments (cost $44,432,869) | 97.5% | 44,796,378 | |||||||
Cash and Receivables (Net) | 2.5% | 1,144,543 | |||||||
Net Assets | 100.0% | 45,940,921 |
ETF—Exchange-Traded Fund
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
MXN—Mexican Peso
MYR—Malaysian Ringgit
NOK—Norwegian Krone
NZD—New Zealand Dollar
PEN—Peruvian Nuevo Sol
a Amount stated in U.S. Dollars unless otherwise noted above.
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 October 31, 2017, these securities were valued at $3,841,585 or 8.36% of net assets.
c Variable rate security—rate shown is the interest rate in effect at period end.
d Security issued with a zero coupon. Income is recognized through the accretion of discount.
e Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
f Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Corporate Bonds | 50.0 |
Foreign/Governmental | 31.2 |
U.S. Government Securities | 15.7 |
Exchange-Traded Funds | .3 |
Money Market Investment | .2 |
Options Purchased | .1 |
97.5 |
† Based on net assets.
See notes to financial statements.
16
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 926,577 | 36,383,974 | 37,215,870 | 94,681 | .2 | 11,133 |
See notes to financial statements.
17
STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Short | ||||||
Euro BTP Italian Government Bond | 4 | 12/2017 | (629,284) | (650,405) | (21,121) | |
Euro-Bond | 4 | 12/2017 | (756,559) | (758,317) | (1,758) | |
Gross Unrealized Depreciation | (22,879) |
See notes to financial statements.
18
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS October 31, 2017
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup | |||||
Polish Zloty | 79,424 | United States Dollar | 21,840 | 11/16/17 | (21) |
United States Dollar | 234,060 | British Pound | 174,447 | 11/16/17 | 2,261 |
United States Dollar | 457,963 | Norwegian Krone | 3,630,607 | 11/16/17 | 13,301 |
State Street Bank and Trust Co | |||||
Swedish Krona | 1,771,000 | United States Dollar | 224,118 | 11/16/17 | (12,384) |
United States Dollar | 1,488,859 | Australian Dollar | 1,880,436 | 11/16/17 | 49,911 |
United States Dollar | 475,147 | Canadian Dollar | 595,000 | 11/16/17 | 13,880 |
United States Dollar | 6,123,729 | Euro | 5,147,795 | 11/16/17 | 122,117 |
United States Dollar | 7,522,465 | British Pound | 5,742,966 | 11/16/17 | (108,569) |
United States Dollar | 177,395 | Indian Rupee | 11,450,000 | 11/16/17 | 1,001 |
United States Dollar | 981 | Japanese Yen | 108,000 | 11/16/17 | 31 |
United States Dollar | 666,596 | South Korean Won | 749,920,000 | 11/16/17 | (2,816) |
United States Dollar | 554,084 | Mexican New Peso | 10,539,797 | 11/16/17 | 5,924 |
United States Dollar | 998,147 | New Zealand Dollar | 1,359,035 | 11/16/17 | 68,446 |
UBS | |||||
Euro | 6,620 | United States Dollar | 7,700 | 11/1/17 | 11 |
Swedish Krona | 3,626,000 | United States Dollar | 449,957 | 11/16/17 | (16,446) |
United States Dollar | 49,874 | Australian Dollar | 62,951 | 11/16/17 | 1,703 |
United States Dollar | 464,505 | Canadian Dollar | 562,711 | 11/16/17 | 28,270 |
United States Dollar | 133,195 | Euro | 114,478 | 11/1/17 | (155) |
United States Dollar | 445,982 | Euro | 379,000 | 11/16/17 | 4,121 |
United States Dollar | 18,663 | British Pound | 14,149 | 11/1/17 | (129) |
19
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
UBS (continued) | |||||
United States Dollar | 1,745,674 | British Pound | 1,307,010 | 11/16/17 | 8,969 |
United States Dollar | 110,488 | Indian Rupee | 7,132,000 | 11/16/17 | 615 |
Gross Unrealized Appreciation | 320,561 | ||||
Gross Unrealized Depreciation | (140,520) |
See notes to financial statements.
20
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 44,338,188 |
| 44,701,697 |
| ||
Affiliated issuers |
| 94,681 |
| 94,681 |
| |
Cash |
|
|
|
| 64,676 |
|
Cash denominated in foreign currency |
|
| 20,762 |
| 20,864 |
|
Receivable for investment securities sold |
| 551,268 |
| |||
Interest receivable |
| 411,336 |
| |||
Unrealized appreciation on forward foreign |
| 320,561 |
| |||
Receivable for shares of Common Stock subscribed |
| 48,000 |
| |||
Cash collateral held by broker—Note 4 |
| 20,037 |
| |||
Prepaid expenses |
|
|
|
| 15,863 |
|
|
|
|
|
| 46,248,983 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 9,316 |
|
Unrealized depreciation on forward foreign |
| 140,520 |
| |||
Payable for investment securities purchased |
| 87,879 |
| |||
Payable for futures variation margin—Note 4 |
| 8,992 |
| |||
Payable for shares of Common Stock redeemed |
| 3 |
| |||
Accrued expenses |
|
|
|
| 61,352 |
|
|
|
|
|
| 308,062 |
|
Net Assets ($) |
|
| 45,940,921 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 46,114,789 |
|
Accumulated distributions in excess of investment income—net |
| (187,563) |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (509,190) |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 522,885 |
| |
Net Assets ($) |
|
| 45,940,921 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 682,313 | 702,268 | 3,815,140 | 40,741,200 |
|
Shares Outstanding | 55,768 | 58,234 | 310,951 | 3,320,004 |
|
Net Asset Value Per Share ($) | 12.23 | 12.06 | 12.27 | 12.27 |
|
See notes to financial statements. |
21
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 1,007,982 |
| ||
Dividends: |
| |||||
Unaffiliated issuers |
|
| 49,976 |
| ||
Affiliated issuers |
|
| 11,133 |
| ||
Total Income |
|
| 1,069,091 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 182,714 |
| ||
Professional fees |
|
| 64,247 |
| ||
Registration fees |
|
| 64,244 |
| ||
Custodian fees—Note 3(c) |
|
| 19,870 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 11,332 |
| ||
Prospectus and shareholders’ reports |
|
| 11,002 |
| ||
Distribution fees—Note 3(b) |
|
| 5,064 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 3,451 |
| ||
Loan commitment fees—Note 2 |
|
| 976 |
| ||
Miscellaneous |
|
| 62,693 |
| ||
Total Expenses |
|
| 425,593 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (146,566) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (62) |
| ||
Net Expenses |
|
| 278,965 |
| ||
Investment Income—Net |
|
| 790,126 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | (282,291) |
| ||||
Net realized gain (loss) on options transactions | 40,493 |
| ||||
Net realized gain (loss) on futures | (13,879) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (264,409) |
| ||||
Net Realized Gain (Loss) |
|
| (520,086) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 1,220,927 |
| ||
Net unrealized appreciation (depreciation) on options transactions | 10,284 |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| (22,879) |
| ||
Net unrealized appreciation (depreciation) on |
|
| (355,757) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 852,575 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 332,489 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 1,122,615 |
| |||
See notes to financial statements. |
22
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 790,126 |
|
|
| 333,298 |
| |
Net realized gain (loss) on investments |
| (520,086) |
|
|
| 360,267 |
| ||
Net unrealized appreciation (depreciation) |
| 852,575 |
|
|
| 121,247 |
| ||
Net Increase (Decrease) in Net Assets | 1,122,615 |
|
|
| 814,812 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
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 ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 180,404 |
|
|
| 866,305 |
| |
Class C |
|
| 99,777 |
|
|
| 79,202 |
| |
Class I |
|
| 3,285,341 |
|
|
| 825,349 |
| |
Class Y |
|
| 7,271,205 |
|
|
| 20,507,649 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 48,686 |
|
|
| 23,867 |
| |
Class C |
|
| 14,727 |
|
|
| 9,430 |
| |
Class I |
|
| 40,613 |
|
|
| 44,693 |
| |
Class Y |
|
| 870,213 |
|
|
| 307,758 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (1,331,970) |
|
|
| (502,446) |
| |
Class C |
|
| (77,228) |
|
|
| (213,406) |
| |
Class I |
|
| (790,155) |
|
|
| (5,065,739) |
| |
Class Y |
|
| (2,293,351) |
|
|
| (859,355) |
| |
Increase (Decrease) in Net Assets | 7,318,262 |
|
|
| 16,023,307 |
| |||
Total Increase (Decrease) in Net Assets | 7,255,733 |
|
|
| 16,406,622 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 38,685,188 |
|
|
| 22,278,566 |
| |
End of Period |
|
| 45,940,921 |
|
|
| 38,685,188 |
| |
Undistributed (distributions in excess of) | (187,563) |
|
|
| 521,046 |
|
23
STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 14,906 |
|
|
| 71,290 |
| |
Shares issued for distributions reinvested |
|
| 4,071 |
|
|
| 1,982 |
| |
Shares redeemed |
|
| (111,006) |
|
|
| (41,496) |
| |
Net Increase (Decrease) in Shares Outstanding | (92,029) |
|
|
| 31,776 |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 8,337 |
|
|
| 6,591 |
| |
Shares issued for distributions reinvested |
|
| 1,243 |
|
|
| 791 |
| |
Shares redeemed |
|
| (6,430) |
|
|
| (17,686) |
| |
Net Increase (Decrease) in Shares Outstanding | 3,150 |
|
|
| (10,304) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 271,560 |
|
|
| 67,292 |
| |
Shares issued for distributions reinvested |
|
| 3,393 |
|
|
| 3,711 |
| |
Shares redeemed |
|
| (64,944) |
|
|
| (420,719) |
| |
Net Increase (Decrease) in Shares Outstanding | 210,009 |
|
|
| (349,716) |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 601,724 |
|
|
| 1,676,600 |
| |
Shares issued for distributions reinvested |
|
| 72,624 |
|
|
| 25,465 |
| |
Shares redeemed |
|
| (189,361) |
|
|
| (70,464) |
| |
Net Increase (Decrease) in Shares Outstanding | 484,987 |
|
|
| 1,631,601 |
| |||
a During the period ended October 31, 2017, 2,080 Class Y shares representing $25,229 were exchanged for 2,080 Class I shares. | |||||||||
See notes to financial statements. |
24
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Class A Shares | Year Ended October 31, | ||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | |||||||
Per Share Data ($): | |||||||||||
Net asset value, beginning of period | 12.30 | 12.13 | 12.70 | 12.59 | 13.03 | ||||||
Investment Operations: | |||||||||||
Investment income—neta | .19 | .13 | .16 | .26 | .32 | ||||||
Net realized and unrealized | .10 | .25 | (.18) | (.00)b | (.04) | ||||||
Total from Investment Operations | .29 | .38 | (.02) | .26 | .28 | ||||||
Distributions: | |||||||||||
Dividends from | (.36) | (.19) | (.49) | (.15) | (.51) | ||||||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | ||||||
Total Distributions | (.36) | (.21) | (.55) | (.15) | (.72) | ||||||
Net asset value, end of period | 12.23 | 12.30 | 12.13 | 12.70 | 12.59 | ||||||
Total Return (%)c | 2.45 | 3.20 | (.15) | 2.08 | 2.12 | ||||||
Ratios/Supplemental Data (%): | |||||||||||
Ratio of total expenses | 1.37 | 1.64 | 1.99 | 2.22 | 2.31 | ||||||
Ratio of net expenses | .89 | .95 | .95 | 1.02 | 1.10 | ||||||
Ratio of net investment income | 1.65 | 1.10 | 1.29 | 2.04 | 2.49 | ||||||
Portfolio Turnover Rate | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | ||||||
Net Assets, end of period ($ x 1,000) | 682 | 1,818 | 1,407 | 1,466 | 1,912 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Class C Shares | Year Ended October 31, | |||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||
Per Share Data ($): | ||||||||||||
Net asset value, beginning of period | 12.18 | 12.05 | 12.62 | 12.54 | 12.98 | |||||||
Investment Operations: | ||||||||||||
Investment income—neta | .11 | .04 | .07 | .17 | .23 | |||||||
Net realized and unrealized | .08 | .25 | (.19) | (.00)b | (.06) | |||||||
Total from Investment Operations | .19 | .29 | (.12) | .17 | .17 | |||||||
Distributions: | ||||||||||||
Dividends from | (.31) | (.14) | (.39) | (.09) | (.40) | |||||||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | |||||||
Total Distributions | (.31) | (.16) | (.45) | (.09) | (.61) | |||||||
Net asset value, end of period | 12.06 | 12.18 | 12.05 | 12.62 | 12.54 | |||||||
Total Return (%)c | 1.59 | 2.47 | (.94) | 1.30 | 1.41 | |||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | 2.09 | 2.39 | 2.74 | 2.95 | 3.03 | |||||||
Ratio of net expenses | 1.64 | 1.70 | 1.70 | 1.76 | 1.85 | |||||||
Ratio of net investment income | .90 | .35 | .54 | 1.31 | 1.83 | |||||||
Portfolio Turnover Rate | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | |||||||
Net Assets, end of period ($ x 1,000) | 702 | 671 | 788 | 1,051 | 819 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
See notes to financial statements.
26
Class I Shares | Year Ended October 31, | |||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||
Per Share Data ($): | ||||||||||||
Net asset value, beginning of period | 12.33 | 12.14 | 12.71 | 12.60 | 13.04 | |||||||
Investment Operations: | ||||||||||||
Investment income—neta | .23 | .15 | .19 | .29 | .36 | |||||||
Net realized and unrealized | .08 | .27 | (.18) | (.00)b | (.06) | |||||||
Total from Investment Operations | .31 | .42 | .01 | .29 | .30 | |||||||
Distributions: | ||||||||||||
Dividends from | (.37) | (.21) | (.52) | (.18) | (.53) | |||||||
Dividends from net realized | (.00)b | (.02) | (.06) | — | (.21) | |||||||
Total Distributions | (.37) | (.23) | (.58) | (.18) | (.74) | |||||||
Net asset value, end of period | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | |||||||
Total Return (%) | 2.57 | 3.52 | .07 | 2.30 | 2.33 | |||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | 1.14 | 1.39 | 1.70 | 1.88 | 1.96 | |||||||
Ratio of net expenses | .65 | .70 | .70 | .77 | .85 | |||||||
Ratio of net investment income | 1.91 | 1.35 | 1.54 | 2.29 | 2.86 | |||||||
Portfolio Turnover Rate | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | |||||||
Net Assets, end of period ($ x 1,000) | 3,815 | 1,244 | 5,472 | 10,292 | 9,391 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
See notes to financial statements.
27
FINANCIAL HIGHLIGHTS (continued)
Class Y Shares | Year Ended October 31, | |||||||||
2017 | 2016 | 2015 | 2014 | 2013 | a | |||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 12.33 | 12.14 | 12.71 | 12.60 | 12.50 | |||||
Investment Operations: | ||||||||||
Investment income—netb | .23 | .16 | .19 | .29 | .10 | |||||
Net realized and unrealized | .08 | .27 | (.18) | (.00)c | .11 | |||||
Total from Investment Operations | .31 | .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 | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | |||||
Total Return (%) | 2.67 | 3.54 | .09 | 2.34 | 1.29 | d | ||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | .98 | 1.23 | 1.31 | 1.88 | 2.09 | e | ||||
Ratio of net expenses | .64 | .70 | .70 | .75 | .85 | e | ||||
Ratio of net investment income | 1.90 | 1.35 | 1.54 | 2.30 | 2.36 | e | ||||
Portfolio Turnover Rate | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | |||||
Net Assets, end of period ($ x 1,000) | 40,741 | 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.
28
NOTES TO FINANCIAL STATEMENTS
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 nine 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 authorized 100 million Class T shares which resulted in the fund’s total authorized shares increasing from 400 million to 500 million.
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 October 31, 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
29
NOTES TO FINANCIAL STATEMENTS (continued)
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).
30
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.
31
NOTES TO FINANCIAL STATEMENTS (continued)
When market quotations or official closing prices are not readily available, or are determined to not accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and 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 October 31, 2017 in valuing the fund’s investments:
32
| Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total |
Assets ($) |
|
|
|
|
Investments in Securities: |
|
|
|
|
Corporate Bonds† | - | 22,966,810 | - | 22,966,810 |
Exchange-Traded Funds | 164,764 | - | - | 164,764 |
Foreign Government | - | 14,326,678 | - | 14,326,678 |
Registered Investment Company | 94,681 | - | - | 94,681 |
U.S. Treasury | - | 7,193,070 | - | 7,193,070 |
Other Financial Instruments: |
|
|
| |
Forward Foreign Currency Exchange Contracts†† | - | 320,561 | - | 320,561 |
Options Purchased | 50,375 | - | - | 50,375 |
Liabilities ($) |
|
|
| |
Other Financial Instruments: |
|
|
| |
Futures†† | (22,879) | - | - | (22,879) |
Forward Foreign Currency Exchange Contracts†† | - | (140,520) | - | (140,520) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
(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.
33
NOTES TO FINANCIAL STATEMENTS (continued)
(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.
Certain affiliated investment companies may also invest in the fund. At October 31, 2017, Dreyfus Yield Enhancement Strategy Fund, an affiliate of the fund, held 2,237,703 Class Y shares representing approximately 60% 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 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 October 31, 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
34
tax expense in the Statement of Operations. During the period ended October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $44,089, accumulated capital and other losses $297,798 and unrealized appreciation $79,841.
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 accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to October 31, 2017. The fund has $223,682 of post-enactment short-term capital losses and $51,356 of post-enactment long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $1,185,144 and $404,465, and long-term capital gains $0 and $27,032, respectively.
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for amortization of premiums, foreign currency gains and losses and consent fees, the fund decreased accumulated undistributed investment income-net by $327,109 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. 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
35
NOTES TO FINANCIAL STATEMENTS (continued)
of borrowing. During the period ended October 31, 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. Effective July 21, 2017, pursuant to a revised management agreement with Dreyfus, the fund has agreed to pay a management fee at an annual rate of .40% of the value the fund’s average daily net assets. Dreyfus had contractually agreed, from November 1, 2016 through July 20, 2017, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of Class A, C, I and Y shares (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) did not exceed .70% of the value of the fund’s average daily net assets. Dreyfus has contractually agreed, from July 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 Class A, C, I and Y shares (excluding expenses as described above) do not exceed .50% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $146,566 during the period ended October 31, 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. Effective July 21, 2017, pursuant to a revised sub-investment advisory agreement between Dreyfus and Newton, Dreyfus has agreed to pay Newton a monthly fee at an annual rate of .19% of the value of the fund’s average daily net assets.
During the period ended October 31, 2017, the Distributor retained $87 from commissions earned on sales of the fund’s Class A shares and $772 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 October 31, 2017, Class C shares were charged $5,064 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
36
include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2017, Class A and Class C shares were charged $2,447 and $1,688, 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 October 31, 2017, the fund was charged $1,776 for transfer agency services and $62 for cash management services. These fees are included in Shareholder servicing costs in the Statement of Operations. Cash management fees were offset by earnings credits of $62.
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 October 31, 2017, the fund was charged $19,870 pursuant to the custody agreement.
During the period ended October 31, 2017, the fund was charged $11,224 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 $15,582, Distribution Plan fees $449, Shareholder Services Plan fees $295, custodian fees $3,462, Chief Compliance Officer fees $6,538 and transfer agency fees $202, which are offset against an expense reimbursement currently in effect in the amount of $17,212.
(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.
37
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2017, amounted to $66,360,478 and $59,098,629, 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 October 31, 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 changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at October 31, 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 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
38
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. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
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 October 31, 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
39
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 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 October 31, 2017 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 50,375 | 1 | Interest rate risk | (22,879) | 2 | ||
Foreign exchange risk | 320,561 | 3 | Foreign exchange risk | (140,520) | 3 | ||
Gross fair value of | 370,936 | (163,399) | |||||
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 October 31, 2017 is shown below:
40
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| ||
Interest | (13,879) | 52,776 | - | 38,897 | ||||||
Foreign | - | (12,283) | (264,409) | (276,692) | ||||||
Total | (13,879) | 40,493 | (264,409) | (237,795) | ||||||
Change in unrealized appreciation (depreciation) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | (22,879) | 10,284 | - | (12,595) | ||||||
Foreign | - | - | (355,757) | (355,757) | ||||||
Total | (22,879) | 10,284 | (355,757) | (368,352) | ||||||
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.
At October 31, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
41
NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | - | (22,879) | |||
Options | 50,375 | - | |||
Forward contracts | 320,561 | (140,520) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 370,936 | (163,399) | |||
Derivatives not subject to | |||||
Master Agreements | (50,375) | 22,879 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 320,561 | (140,520) |
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 October 31, 2017:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Citigroup | 15,562 | (21) | (15,541) | - | ||
State Street Bank | 261,310 | (123,769) | - | 137,541 | ||
UBS | 43,689 | (16,730) | - | 26,959 | ||
Total | 320,561 | (140,520) | (15,541) | 164,500 |
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Citigroup | (21) | 21 | - | - | ||
State Street Bank | (123,769) | 123,769 | - | - | ||
UBS | (16,730) | 16,730 | - | - | ||
Total | (140,520) | 140,520 | - | - | ||
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. |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
42
|
| Average Market Value ($) |
Interest rate futures | 1,151,234 | |
Interest rate options contracts | 23,173 | |
Foreign currency options contracts | 7 | |
Forward contracts | 22,452,115 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $44,718,757; accordingly, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $77,627, consisting of $806,379 gross unrealized appreciation and $728,752 gross unrealized depreciation.
43
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Global Dynamic Bond Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers, futures and forward foreign currency exchange contracts, of Dreyfus Global Dynamic Bond Fund (one of the series comprising Advantage Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for the each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Global Dynamic Bond Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the indicated periods in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
44
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports $.0043 per share as a short-term capital gain distribution paid on December 29, 2016.
45
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 July 18, 2017, the Board considered the approval of amendment of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Management Agreement”), and the Sub-Investment Advisory Agreement (the “Subadvisory Agreement” and together with the Management Agreement, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. Dreyfus proposed to amend the Management Agreement to reduce the management fee payable by the fund from 0.45% of the value of the fund’s average daily net assets to 0.40% of the value of the fund’s average daily net assets, and to amend the Subadvisory Agreement to reduce the subadvisory fee payable by Dreyfus to the Subadviser, effective July 21, 2017. 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. Since the Board had renewed the Agreements at a meeting of the fund’s Board of Directors held on March 9-10, 2017 (the “March Meeting”), and, other than as discussed below, there had been no material changes in the information presented, the Board addressed certain of the relevant considerations by reference to their considerations and determinations at the March Meeting. In considering amendment 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 nature, extent and quality of services provided had been considered at the March Meeting, and there had been no material changes in this information. Dreyfus representatives stated, and the Board considered, that Dreyfus would continue to provide research and portfolio management and that Dreyfus would continue to provide 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 that Dreyfus stated that the proposed amendment to the Management Agreement would not result in any diminution in the nature, extent or quality of the services provided to the fund pursuant to the Management Agreement, as proposed to be amended, by Dreyfus or Dreyfus’ affiliates.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. Dreyfus did not provide the Board with information comparing the fund’s performance with the performance of a group of comparable funds because that information had been reviewed at the March Meeting.
46
The Board reviewed the range of actual and contractual management fees and total expenses of a group of comparable funds (the “Expense Group”) in a report prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, for the March Meeting (giving effect to the proposed management fee reduction for the fund) and discussed the results of the comparisons. The Board noted that the fund’s proposed management fee was below the Expense Group median for both contractual and actual management fees and the fund’s total expenses (both the current actual expenses and the proposed expenses after giving effect to the expense limitation described below) were below the Expense Group median.
Dreyfus representatives stated that Dreyfus has contractually agreed, until March 1, 2018 for Class A, C, I and Y shares and until March 31, 2018 for Class T shares, to waive receipt of its fees and/or assume the direct expenses of the fund so that the expenses of none of the fund’s share classes (excluding, as applicable, Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 0.50% of the fund’s average daily net assets.
Dreyfus did not provide the Board with 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 because this information had been reviewed at the March Meeting.
Analysis of Profitability and Economies of Scale. The Board had considered profitability, economies of scale and the potential benefits to Dreyfus at the March Meeting. Dreyfus representatives noted that the amendment to the Management Agreement would result in a reduction in Dreyfus’ fee (and therefore negatively impact profitability and economies of scale) and that potential benefits would not change materially as a result of the amendment from those considered at the March Meeting.
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 amendment 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 to be provided by Dreyfus and the Subadviser continue to be adequate and appropriate.
· The Board concluded that the fees to be paid to Dreyfus and the Subadviser are appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and
47
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
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 and of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. The Board determined to approve amendment of the Agreements.
48
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
49
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Ehud Houminer (77)
Board Member (1993)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
50
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
51
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
52
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since December 2002.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
53
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 Total Emerging Markets Fund
ANNUAL REPORT October 31, 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 | |
in Affiliated Issuers | |
Currency Exchange Contracts | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Total Emerging Markets Fund, covering the 12-month period from November 1, 2016 through October 31, 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 set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 2017, as provided by Sean P. Fitzgibbon, Federico Garcia Zamora, and Josephine Shea, Portfolio Managers
Market and Fund Performance Overview
For the 12-month period ended October 31, 2017, Dreyfus Total Emerging Markets Fund’s Class A shares produced a total return of 29.23%, Class C shares returned 28.32%, Class I shares returned 29.76%, and Class Y shares returned 29.70%.1 In comparison, the MSCI Emerging Markets Index (the “Index”), the fund’s benchmark, returned 26.45% for the same period.2 The fund’s secondary benchmark index, the hybrid “Customized Blended Index,” returned 19.89% for the same period. The Customized Blended 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
Positive economic developments and rising corporate earnings propelled emerging-market equities higher, while emerging-market bonds generally benefited from stronger economic growth and moderating interest rates. Favorable security selections in both asset classes enabled the fund to outperform its benchmark.
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 fund normally allocates its investments among emerging-market equities, bonds and currencies.
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. In choosing bonds and currency investments for the fund, the portfolio managers rely on in-depth fundamental analysis and in choosing equity investments for the fund, the portfolio managers rely on in-depth fundamental analysis supported by proprietary quantitative models.
A Positive Environment for Emerging-Market Securities
Most 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. These trends reversed in the closing weeks of 2016, when emerging markets were bolstered by accelerating economic growth and a weakening U.S. dollar.
Positive economic trends and higher corporate earnings continued to drive most emerging-market securities higher in 2017. Chinese stocks fared particularly well, boosted by strong economic data and the inclusion of some major Chinese companies in the Index for the first time, thereby increasing investor demand for those securities. On the other hand, weak oil prices early in the reporting period undermined 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, while the traditionally defensive utilities, telecommunication services, consumer staples, and health care sectors trailed.
Bonds across a variety of developing nations produced solidly positive returns over the reporting period when moderating long-term interest rates and muted inflation offset earlier market weakness stemming from expectations of greater economic growth and higher inflation. In addition, most emerging-market currencies gained value against the U.S. dollar.
Security Selections Boosted Performance
The fund’s stock holdings enhanced returns compared to the Index, led by strong security selections in China, such as hotel chain China Lodging Group, Internet giant Tencent Holdings, and sportswear maker ANTA Sports Products. In Taiwan, pneumatic tool maker AirTAC International Group cut costs and delivered steady revenue growth. In India, conglomerate Reliance Industries achieved higher profit margins
3
DISCUSSION OF FUND PERFORMANCE (continued)
and mobile telecommunications revenues. Other top equity holdings included Korean financial firms KB Financial and Korea Investment Holdings.
A few equity holdings detracted from relative returns, including Korea Electric Power, Thai Beverage, telecommunications provider Telekomunikasi Indonesia, and two Brazilian firms, electric utility CIA Energética de Minas Gerais and meat processor JBS. Lack of exposure to smartphone maker Samsung Electronics further dampened relative performance.
In the fund’s fixed-income portfolio, returns were enhanced through overweighted positions in the Argentinian peso, Mexican peso, Colombian peso, Russian ruble, and Polish zÅ‚oty. Overweighted exposure to sovereign bonds from various Latin American countries and quasi-sovereign securities also supported relative results, as did a relatively short duration posture in South Africa. These strategies more than offset weakness stemming from underweighted positions in some Asian currencies.
Positioned for Further Economic Improvement
Positive macroeconomic trends have helped bolster credit conditions and corporate earnings in many emerging markets. Meanwhile, emerging-market equity valuations have remained attractive compared to their developed-world counterparts, and emerging-market bonds continue to offer relatively attractive yields. As of the reporting period’s end, we have added to the fund’s equity positions in China and Brazil, where local economic growth has gained momentum. In contrast, we have trimmed equity positions in Korea and, to a lesser extent, the Philippines. In the bond portfolio, we have added to positions in various emerging-market bonds and currencies in anticipation of stable commodity prices and more accommodative monetary policies in certain developing nations.
November 15, 2017
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 gain 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 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-market 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 Customized Blended 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 EMB Index Global/7.5% J.P. Morgan CEMB Index Diversified. Investors cannot invest directly in any index.
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Total Emerging Markets Fund Class A shares, Class C shares, Class I shares and Class Y shares and the MSCI Emerging Markets Index and a 70% MSCI Emerging Markets Index/15% JP Morgan GB Index-EM Global Diversified/7.5% JP Morgan EMB Index Global/7.5% JP Morgan CEMBI Index Diversified Index (the “Customized Blended Index”)
† Source: Lipper Inc.
†† Source: FactSet
††† The total return figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges on Class A shares.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Class A, Class C, Class I and Class Y shares of Dreyfus Total Emerging Markets Fund on 3/25/11 (inception date) to a $10,000 investment made in the MSCI Emerging Markets Index and Customized Blended Index. All dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. 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. 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 index limits the exposure of some of the larger countries. 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. 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. Unlike a mutual fund, the indices are not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (continued)
Average Annual Total Returns as of 10/31/17 | ||||
Inception | From | |||
| Date | 1 Year | 5 Year | Inception |
Class A shares | ||||
with maximum sales charge (5.75%) | 3/25/11 | 21.76% | 4.55% | 2.45% |
without sales charge | 3/25/11 | 29.23% | 5.79% | 3.37% |
Class C shares | ||||
with applicable redemption charge† | 3/25/11 | 27.32% | 5.00% | 2.59% |
without redemption | 3/25/11 | 28.32% | 5.00% | 2.59% |
Class I shares | 3/25/11 | 29.76% | 6.09% | 3.65% |
Class Y shares | 7/1/13 | 29.70% | 6.11%†† | 3.61%†† |
MSCI Emerging Markets Index | 3/31/11 | 26.45% | 4.83% | 1.83%††† |
Customized Blended Index | 3/31/11 | 19.89% | 3.91% | 2.36%††† |
† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.
†† The total return performance figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (the inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
††† For comparative purposes, the value of each Index as of 3/31/11 is used as the beginning value on 3/25/11.
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund’s performance shown in the table takes into account all other applicable fees and expenses on all classes.
6
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 May 1, 2017 to October 31, 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 October 31, 2017 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $8.75 | $12.78 | $7.01 | $7.06 | ||||||
Ending value (after expenses) | $1,170.80 | $1,166.50 | $1,173.40 | $1,172.30 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $8.13 | $11.88 | $6.51 | $6.56 | ||||
Ending value (after expenses) | $1,017.14 | $1,013.41 | $1,018.75 | $1,018.70 |
† Expenses are equal to the fund’s annualized expense ratio of 1.60% for Class A, 2.34% for Class C, 1.28% for Class I and 1.29% for Class Y, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
7
STATEMENT OF INVESTMENTS
October 31, 2017
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 19.3% | |||||||||
Argentina - 2.4% | |||||||||
Argentine Government, | ARS | 5.83 | 12/31/33 | 991,700 | b | 417,203 | |||
Buenos Aires Province, | ARS | 24.50 | 5/31/22 | 13,817,000 | c | 802,006 | |||
City of Buenos Aires Argentina, | ARS | 23.76 | 3/29/24 | 23,485,000 | c | 1,313,966 | |||
Province of Cordoba, | 7.45 | 9/1/24 | 165,000 | d | 182,059 | ||||
2,715,234 | |||||||||
Bahrain - .2% | |||||||||
Oil & Gas Holding, | 7.50 | 10/25/27 | 220,000 | d | 228,804 | ||||
Chile - .2% | |||||||||
Celulosa Arauco y Constitucion, | 5.50 | 11/2/47 | 240,000 | d | 242,280 | ||||
Colombia - .9% | |||||||||
Ecopetrol, | 5.88 | 5/28/45 | 520,000 | 516,100 | |||||
Emgesa, | COP | 8.75 | 1/25/21 | 237,000,000 | 81,602 | ||||
Empresas Publicas de Medellin, | COP | 7.63 | 9/10/24 | 230,000,000 | d | 76,076 | |||
Empresas Publicas de Medellin, | COP | 8.38 | 11/8/27 | 710,000,000 | d | 233,395 | |||
Findeter, | COP | 7.88 | 8/12/24 | 450,000,000 | d | 150,513 | |||
1,057,686 | |||||||||
Ecuador - .5% | |||||||||
Ecuadorian Government, | 9.63 | 6/2/27 | 490,000 | d | 527,975 | ||||
Egypt - .2% | |||||||||
Egyptian Government, | 8.50 | 1/31/47 | 200,000 | 226,627 | |||||
Georgia - .4% | |||||||||
BGEO Group, | 6.00 | 7/26/23 | 400,000 | 412,594 | |||||
Iraq - .4% | |||||||||
Iraqi Government, | 6.75 | 3/9/23 | 480,000 | d | 482,172 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 19.3% (continued) | |||||||||
Ivory Coast - .6% | |||||||||
Ivory Coast Government, | 6.13 | 6/15/33 | 745,000 | d | 737,431 | ||||
Jordan - .5% | |||||||||
Jordanian Government, | 7.38 | 10/10/47 | 200,000 | d | 209,935 | ||||
Jordanian Government, | 5.75 | 1/31/27 | 390,000 | 390,814 | |||||
600,749 | |||||||||
Kazakhstan - .2% | |||||||||
KazTransGas, | 4.38 | 9/26/27 | 200,000 | d | 197,984 | ||||
Lebanon - .5% | |||||||||
Lebanese Government, | 6.10 | 10/4/22 | 600,000 | 595,117 | |||||
Luxembourg - 1.7% | |||||||||
Aegea Finance Sarl, | 5.75 | 10/10/24 | 235,000 | d | 242,309 | ||||
Atento Luxco 1, | 6.13 | 8/10/22 | 660,000 | d | 693,396 | ||||
Cosan Luxembourg, | 7.00 | 1/20/27 | 270,000 | d | 293,355 | ||||
Evraz Group, | 5.38 | 3/20/23 | 480,000 | d | 496,344 | ||||
Rumo Luxembourg Sarl, | 7.38 | 2/9/24 | 270,000 | d | 294,840 | ||||
2,020,244 | |||||||||
Malaysia - .3% | |||||||||
Malaysian Government, | MYR | 3.90 | 11/30/26 | 1,335,000 | 310,844 | ||||
Mauritius - .2% | |||||||||
HTA Group, | 9.13 | 3/8/22 | 240,000 | 257,400 | |||||
Mexico - 1.7% | |||||||||
Metalsa, | 4.90 | 4/24/23 | 560,000 | 571,200 | |||||
Mexican Government, | MXN | 5.75 | 3/5/26 | 11,860,000 | 562,386 | ||||
Mexican Government, | MXN | 10.00 | 12/5/24 | 2,580,000 | 156,209 | ||||
Sixsigma Networks Mexico, | 8.25 | 11/7/21 | 620,000 | 655,650 | |||||
1,945,445 | |||||||||
Mongolia - .7% | |||||||||
Mongolian Government, | 10.88 | 4/6/21 | 500,000 | 588,366 |
9
STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 19.3% (continued) | |||||||||
Mongolia - .7% (continued) | |||||||||
Mongolian Government, | 5.63 | 5/1/23 | 200,000 | d | 200,300 | ||||
788,666 | |||||||||
Morocco - .6% | |||||||||
OCP Group, | 6.88 | 4/25/44 | 610,000 | 689,910 | |||||
Netherlands - 1.3% | |||||||||
Petrobras Global Finance, | 7.38 | 1/17/27 | 520,000 | 578,240 | |||||
VTR Finance, | 6.88 | 1/15/24 | 880,000 | 935,220 | |||||
1,513,460 | |||||||||
Peru - .4% | |||||||||
Orazul Energy Egenor, | 5.63 | 4/28/27 | 500,000 | d | 493,750 | ||||
Russia - .5% | |||||||||
Russian Government, | RUB | 7.00 | 8/16/23 | 17,140,000 | 288,930 | ||||
Vnesheconombank, | 6.80 | 11/22/25 | 280,000 | 319,134 | |||||
608,064 | |||||||||
Senegal - .6% | |||||||||
Senegalese Government, | 6.25 | 7/30/24 | 680,000 | 733,047 | |||||
South Africa - .2% | |||||||||
South African Government, | ZAR | 8.75 | 2/28/48 | 3,300,000 | 203,408 | ||||
Sri Lanka - .6% | |||||||||
Sri Lankan Government, | 6.20 | 5/11/27 | 640,000 | d | 681,375 | ||||
Turkey - 1.4% | |||||||||
TC Ziraat Bankasi, | 5.13 | 9/29/23 | 460,000 | d | 452,560 | ||||
Turkish Government, | TRY | 10.60 | 2/11/26 | 860,000 | 216,272 | ||||
Turkish Government, | TRY | 11.00 | 2/24/27 | 1,220,000 | 312,594 | ||||
Turkiye Vakiflar Bankasi, | 5.50 | 10/27/21 | 600,000 | d | 603,200 | ||||
1,584,626 | |||||||||
Ukraine - .8% | |||||||||
Ukrainian Government, | 7.38 | 9/25/32 | 780,000 | d | 770,520 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 19.3% (continued) | |||||||||
Ukraine - .8% (continued) | |||||||||
Ukrainian Government, | 0.00 | 5/31/40 | 210,000 | e | 120,462 | ||||
890,982 | |||||||||
United Arab Emirates - .4% | |||||||||
DP World, | 6.85 | 7/2/37 | 380,000 | 471,436 | |||||
United Kingdom - .5% | |||||||||
Vedanta Resources, | 6.38 | 7/30/22 | 565,000 | d | 592,516 | ||||
Uruguay - .4% | |||||||||
Uruguayan Government, | UYU | 8.50 | 3/15/28 | 13,955,000 | d | 486,010 | |||
Total Bonds and Notes | 22,295,836 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 75.3% | |||||||||
Brazil - 3.5% | |||||||||
Ambev, ADR | 333,200 | 2,109,156 | |||||||
Kroton Educacional | 357,600 | 1,966,565 | |||||||
4,075,721 | |||||||||
Chile - .8% | |||||||||
Itau CorpBanca | 95,502,448 | 898,829 | |||||||
China - 30.3% | |||||||||
Alibaba Group Holding, ADR | 23,000 | f | 4,252,470 | ||||||
Anhui Conch Cement, Cl. H | 387,000 | 1,654,376 | |||||||
ANTA Sports Products | 402,000 | 1,798,370 | |||||||
Beijing Capital International Airport, Cl. H | 1,122,000 | 1,840,900 | |||||||
China Construction Bank, Cl. H | 2,041,000 | 1,820,873 | |||||||
China Lodging Group, ADR | 29,600 | f | 3,963,144 | ||||||
China Shenhua Energy, Cl. H | 572,500 | 1,367,883 | |||||||
PICC Property & Casualty, Cl. H | 1,012,000 | 2,005,476 | |||||||
Ping An Insurance Group Company of China, Cl. H | 281,000 | 2,467,314 | |||||||
Shanghai Pharmaceuticals Holding, Cl. H | 707,200 | 1,826,605 | |||||||
TAL Education Group, ADR | 58,380 | 1,605,450 | |||||||
Tencent Holdings | 190,400 | 8,537,175 | |||||||
ZTE, Cl. H | 529,000 | f | 1,834,216 | ||||||
34,974,252 | |||||||||
Hong Kong - 3.2% | |||||||||
China Everbright International | 1,283,000 | 1,809,034 | |||||||
Galaxy Entertainment Group, Cl. L | 282,000 | 1,919,425 | |||||||
3,728,459 | |||||||||
Hungary - 2.1% | |||||||||
Richter Gedeon | 97,093 | 2,415,438 |
11
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 75.3% (continued) | |||||||||
India - 3.8% | |||||||||
ICICI Bank, ADR | 190,732 | 1,745,198 | |||||||
Reliance Industries, GDR | 90,927 | d | 2,609,605 | ||||||
4,354,803 | |||||||||
Indonesia - 3.0% | |||||||||
Bank Rakyat Indonesia Persero | 1,386,400 | 1,594,679 | |||||||
Telekomunikasi Indonesia Persero | 6,149,800 | 1,827,369 | |||||||
3,422,048 | |||||||||
Mexico - 2.0% | |||||||||
Arca Continental | 135,300 | 861,056 | |||||||
Grupo Aeroportuario del Centro Norte | 298,000 | 1,505,408 | |||||||
2,366,464 | |||||||||
Panama - 1.2% | |||||||||
Copa Holdings, Cl. A | 11,000 | 1,355,090 | |||||||
Peru - 1.1% | |||||||||
Credicorp | 5,990 | 1,254,546 | |||||||
Philippines - .6% | |||||||||
Puregold Price Club | 759,300 | 750,108 | |||||||
Russia - 4.1% | |||||||||
LUKOIL, ADR | 40,200 | 2,131,806 | |||||||
Sberbank of Russia, ADR | 179,405 | 2,572,668 | |||||||
4,704,474 | |||||||||
South Africa - 3.2% | |||||||||
Clicks Group | 188,476 | 2,111,944 | |||||||
Exxaro Resources | 150,513 | 1,530,386 | |||||||
3,642,330 | |||||||||
South Korea - 4.2% | |||||||||
Coway | 23,367 | 2,029,374 | |||||||
KB Financial Group | 54,093 | 2,819,682 | |||||||
4,849,056 | |||||||||
Taiwan - 8.9% | |||||||||
Airtac International Group | 159,043 | 2,576,054 | |||||||
Chailease Holding | 736,000 | 1,898,599 | |||||||
Largan Precision | 9,000 | 1,705,433 | |||||||
Taiwan Semiconductor Manufacturing | 502,000 | 4,044,696 | |||||||
10,224,782 | |||||||||
Thailand - 1.2% | |||||||||
Thai Beverage | 1,949,700 | 1,401,736 | |||||||
Turkey - 1.4% | |||||||||
Turkiye Garanti Bankasi | 594,979 | 1,635,837 |
12
Description | Shares | Value ($) | |||||||
Common Stocks - 75.3% (continued) | |||||||||
United Arab Emirates - .7% | |||||||||
Abu Dhabi Commercial Bank | 399,077 | 803,011 | |||||||
Total Common Stocks | 86,856,984 | ||||||||
Preferred Stocks - 3.3% | |||||||||
Brazil - 3.3% | |||||||||
Cia Energetica de Minas Gerais, 7.81% | 7.81 | 472,300 | 1,116,033 | ||||||
Petroleo Brasileiro | 0.00 | 529,000 | f | 2,711,867 | |||||
Total Preferred Stocks | 3,827,900 | ||||||||
Rights - .0% | |||||||||
Brazil - .0% | |||||||||
Cia Energetica de Minas Gerais | 75,048 | f | 26,612 | ||||||
China - .0% | |||||||||
Tencent Holdings | 10/30/17 | 151 | f | 0 | |||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount ($) | Value ($) | |||||
Options Purchased - .0% | |||||||||
Call Options - .0% | |||||||||
South African Rand Cross Currency, | TRY | 3.85 | 11/2017 | 3,800,000 | 4,300 |
13
STATEMENT OF INVESTMENTS (continued)
Description | Shares | Value ($) | |||||||
Other Investment - 1.9% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2,170,429 | g | 2,170,429 | ||||||
Total Investments (cost $90,162,482) | 99.8% | 115,182,061 | |||||||
Cash and Receivables (Net) | 0.2% | 273,073 | |||||||
Net Assets | 100.0% | 115,455,134 |
ADR—American Depository Receipt
BADLAR—Buenos Aires Interbank Offer Rate
GDR—Global Depository Receipt
ARS—Argentine Peso
COP—Colombian Peso
MXN—Mexican Peso
MYR—Malaysian Ringgit
RUB—Russian Ruble
TRY—Turkish Lira
UYU—Uruguayan Peso
ZAR—South African Rand
a Amount stated in U.S. Dollars unless otherwise noted above.
b Principal amount for accrual purposes is periodically adjusted based on changes in the Argentine Consumer Price Index.
c Variable rate security—rate shown is the interest rate in effect at period end.
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 October 31, 2017, these securities were valued at $12,178,704 or 10.55% of net assets.
e Security issued with a zero coupon. Income is recognized through the accretion of discount.
f Non-income producing security.
g Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Financial | 18.6 |
Information Technology | 17.6 |
Consumer Discretionary | 12.7 |
Foreign/Governmental | 10.9 |
Energy | 9.0 |
Corporate Bonds | 8.4 |
Industrials | 6.7 |
Consumer Staples | 6.3 |
Health Care | 3.7 |
Money Market Investment | 1.9 |
Telecommunication Services | 1.6 |
Materials | 1.4 |
Utilities | 1.0 |
Options Purchased | .0 |
99.8 |
† Based on net assets.
See notes to financial statements.
14
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2,732,534 | 60,725,721 | 61,287,826 | 2,170,429 | 1.9 | 19,694 |
See notes to financial statements.
15
STATEMENT OF OPTIONS WRITTEN
October 31, 2017
Description/ Expiration Date/ Exercise Price | Counterparty | Number of Contracts | Notional Amount ($) | a | Value ($) | |
Call Options: | ||||||
South African Rand, | Morgan Stanley Capital Services | 1100 | 1,100,000 | (26,079) | ||
South Korean Won, | Morgan Stanley Capital Services | 1100 | 1,100,000 | (1,333) | ||
Put Options: | ||||||
Hungarian Forint Cross Currency | JP Morgan Chase Bank | 3900 | 3,900,000 | PLN | (1) | |
South African Rand Cross Currency | JP Morgan Chase Bank | 3800 | 3,800,000 | TRY | (7,587) | |
Total Options Written (premiums received $42,670) | (35,000) |
a Notional amount stated in U.S. Dollars unless otherwise indicated.
PLN—Polish Zloty
TRY—Turkish Lira
See notes to financial statements.
16
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS October 31, 2017
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Bank of America | |||||
South African Rand | 23,895,000 | United States Dollar | 1,782,796 | 11/13/17 | (96,771) |
Barclays Bank | |||||
Czech Koruna | 58,800,000 | United States Dollar | 2,646,378 | 11/13/17† | 24,569 |
Turkish Lira | 2,190,000 | United States Dollar | 607,911 | 11/13/17 | (32,814) |
United States Dollar | 2,646,377 | Euro | 2,258,759 | 11/13/17† | 13,424 |
United States Dollar | 783,517 | Hungarian Forint | 202,000,000 | 11/13/17 | 27,446 |
Citigroup | |||||
Argentine Peso | 35,445,000 | United States Dollar | 1,971,357 | 11/13/17 | 19,395 |
Brazilian Real | 9,705,000 | United States Dollar | 3,075,168 | 12/4/17 | (121,897) |
Chilean Peso | 1,564,040,000 | United States Dollar | 2,413,642 | 11/13/17 | 43,396 |
Indonesian Rupiah | 5,164,880,000 | United States Dollar | 391,386 | 11/13/17 | (10,973) |
Indian Rupee | 443,810,000 | United States Dollar | 6,849,977 | 11/13/17 | (10,001) |
Malaysian Ringgit | 21,480,000 | United States Dollar | 4,986,073 | 11/13/17 | 84,736 |
South African Rand | 140,000 | United States Dollar | 10,751 | 11/13/17 | (873) |
United States Dollar | 1,949,454 | Philippine Peso | 101,240,000 | 11/13/17 | (9,870) |
Goldman Sachs International | |||||
Colombian Peso | 3,123,905,000 | United States Dollar | 1,043,737 | 11/14/17 | (18,241) |
Mexican New Peso | 5,290,000 | United States Dollar | 293,750 | 11/13/17 | (18,472) |
United States Dollar | 1,227,464 | Hungarian Forint | 316,410,000 | 11/13/17 | 43,164 |
JP Morgan Chase Bank | |||||
Euro | 625,000 | United States Dollar | 730,868 | 11/30/17 | (1,631) |
South Korean Won | 3,606,560,000 | United States Dollar | 3,170,212 | 11/13/17 | 49,122 |
Peruvian New Sol | 5,522,000 | United States Dollar | 1,690,702 | 11/13/17 | 6,992 |
Polish Zloty | 15,340,000 | United States Dollar | 4,209,277 | 11/13/17 | 4,915 |
Taiwan Dollar | 49,015,000 | United States Dollar | 1,621,402 | 11/13/17 | 4,713 |
17
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
JP Morgan Chase Bank (continued) | |||||
United States Dollar | 2,252,638 | Hungarian Forint | 580,630,000 | 11/13/17 | 79,382 |
United States Dollar | 1,128,543 | Russian Ruble | 68,015,000 | 11/13/17 | (31,930) |
United States Dollar | 1,790,220 | Thai Baht | 59,455,000 | 11/13/17 | 477 |
UBS | |||||
Czech Koruna | 100,070,000 | United States Dollar | 4,555,461 | 11/13/17† | (9,855) |
United States Dollar | 4,555,461 | Euro | 3,841,522 | 11/13/17† | 77,537 |
Gross Unrealized Appreciation | 479,268 | ||||
Gross Unrealized Depreciation | (363,328) |
† Cross currency forward exchange contracts.
See notes to financial statements.
18
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 87,992,053 |
| 113,011,632 |
| ||
Affiliated issuers |
| 2,170,429 |
| 2,170,429 |
| |
Cash |
|
|
|
| 13,448 |
|
Cash denominated in foreign currency |
|
| 272,790 |
| 271,065 |
|
Unrealized appreciation on forward foreign |
| 479,268 |
| |||
Dividends and interest receivable |
| 400,707 |
| |||
Receivable for investment securities sold |
| 396,864 |
| |||
Prepaid expenses |
|
|
|
| 15,486 |
|
|
|
|
|
| 116,758,899 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 128,504 |
|
Payable for investment securities purchased |
| 686,646 |
| |||
Unrealized depreciation on forward foreign |
| 363,328 |
| |||
Outstanding options written, at value |
| 35,000 |
| |||
Payable for shares of Common Stock redeemed |
| 23,545 |
| |||
Accrued expenses |
|
|
|
| 66,742 |
|
|
|
|
|
| 1,303,765 |
|
Net Assets ($) |
|
| 115,455,134 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 86,959,856 |
|
Accumulated undistributed investment income—net |
| 1,495,694 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| 1,860,598 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 25,138,986 |
| |
Net Assets ($) |
|
| 115,455,134 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 1,653,592 | 820,243 | 111,076,129 | 1,905,170 |
|
Shares Outstanding | 113,795 | 57,672 | 7,598,902 | 130,203 |
|
Net Asset Value Per Share ($) | 14.53 | 14.22 | 14.62 | 14.63 |
|
See notes to financial statements. |
19
STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 1,839,616 |
| ||
Dividends (net of $185,470 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 1,559,308 |
| ||
Affiliated issuers |
|
| 19,694 |
| ||
Total Income |
|
| 3,418,618 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 1,108,191 |
| ||
Custodian fees—Note 3(c) |
|
| 88,198 |
| ||
Professional fees |
|
| 75,683 |
| ||
Registration fees |
|
| 58,311 |
| ||
Prospectus and shareholders’ reports |
|
| 12,798 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 11,755 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 11,527 |
| ||
Distribution fees—Note 3(b) |
|
| 5,301 |
| ||
Interest expense—Note 2 |
|
| 3,106 |
| ||
Loan commitment fees—Note 2 |
|
| 2,356 |
| ||
Miscellaneous |
|
| 45,789 |
| ||
Total Expenses |
|
| 1,423,015 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (27) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (428) |
| ||
Net Expenses |
|
| 1,422,560 |
| ||
Investment Income—Net |
|
| 1,996,058 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 8,469,878 |
| ||||
Net realized gain (loss) on options transactions | 327,938 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 2,073,417 |
| ||||
Net Realized Gain (Loss) |
|
| 10,871,233 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 16,666,403 |
| ||
Net unrealized appreciation (depreciation) on options transactions | (27,024) |
| ||||
Net unrealized appreciation (depreciation) on |
|
| 128,814 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 16,768,193 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 27,639,426 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 29,635,484 |
| |||
See notes to financial statements. |
20
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 1,996,058 |
|
|
| 1,630,176 |
| |
Net realized gain (loss) on investments |
| 10,871,233 |
|
|
| 1,608,578 |
| ||
Net unrealized appreciation (depreciation) |
| 16,768,193 |
|
|
| 9,302,722 |
| ||
Net Increase (Decrease) in Net Assets | 29,635,484 |
|
|
| 12,541,476 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
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 ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 681,914 |
|
|
| 139,418 |
| |
Class C |
|
| 26,603 |
|
|
| 9,158 |
| |
Class I |
|
| 12,118,649 |
|
|
| 31,578,081 |
| |
Class Y |
|
| 1,498,875 |
|
|
| 1,139,039 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 12,366 |
|
|
| - |
| |
Class C |
|
| 1,434 |
|
|
| - |
| |
Class I |
|
| 49,084 |
|
|
| - |
| |
Class Y |
|
| 18,891 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (416,423) |
|
|
| (133,670) |
| |
Class C |
|
| (28,025) |
|
|
| (90,470) |
| |
Class I |
|
| (27,470,441) |
|
|
| (12,634,217) |
| |
Class Y |
|
| (1,408,029) |
|
|
| (919,109) |
| |
Increase (Decrease) in Net Assets | (14,915,102) |
|
|
| 19,088,230 |
| |||
Total Increase (Decrease) in Net Assets | 13,040,578 |
|
|
| 31,629,706 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 102,414,556 |
|
|
| 70,784,850 |
| |
End of Period |
|
| 115,455,134 |
|
|
| 102,414,556 |
| |
Undistributed investment income—net | 1,495,694 |
|
|
| 1,624,029 |
|
21
STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 55,979 |
|
|
| 12,437 |
| |
Shares issued for distributions reinvested |
|
| 1,153 |
|
|
| - |
| |
Shares redeemed |
|
| (32,409) |
|
|
| (12,581) |
| |
Net Increase (Decrease) in Shares Outstanding | 24,723 |
|
|
| (144) |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 2,251 |
|
|
| 798 |
| |
Shares issued for distributions reinvested |
|
| 136 |
|
|
| - |
| |
Shares redeemed |
|
| (2,423) |
|
|
| (9,120) |
| |
Net Increase (Decrease) in Shares Outstanding | (36) |
|
|
| (8,322) |
| |||
Class I |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 964,144 |
|
|
| 3,307,471 |
| |
Shares issued for distributions reinvested |
|
| 4,562 |
|
|
| - |
| |
Shares redeemed |
|
| (2,032,547) |
|
|
| (1,266,125) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,063,841) |
|
|
| 2,041,346 |
| |||
Class Y |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 121,641 |
|
|
| 119,562 |
| |
Shares issued for distributions reinvested |
|
| 1,754 |
|
|
| - |
| |
Shares redeemed |
|
| (118,655) |
|
|
| (96,316) |
| |
Net Increase (Decrease) in Shares Outstanding | 4,740 |
|
|
| 23,246 |
| |||
See notes to financial statements. |
22
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | |||||||
Class A Shares | 2017 | 2016 | 2015 | 2014 | 2013 | ||
Per Share Data ($): | |||||||
Net asset value, | 11.41 | 10.27 | 12.13 | 12.22 | 11.52 | ||
Investment Operations: | |||||||
Investment income—neta | .18 | .17 | .19 | .21 | .21 | ||
Net realized and unrealized | 3.10 | .97 | (1.84) | (.13) | .51 | ||
Total from | 3.28 | 1.14 | (1.65) | .08 | .72 | ||
Distributions: | |||||||
Dividends from | (.16) | - | (.19) | (.17) | (.02) | ||
Tax return of capital | - | - | (.02) | - | - | ||
Total Distributions | (.16) | - | (.21) | (.17) | (.02) | ||
Net asset value, end of period | 14.53 | 11.41 | 10.27 | 12.13 | 12.22 | ||
Total Return (%)b | 29.23 | 11.10 | (13.76) | .71 | 6.25 | ||
Ratios/ Supplemental Data (%) | |||||||
Ratio of total expenses | 1.61 | 1.69 | 1.72 | 1.71 | 1.71 | ||
Ratio of net expenses | 1.60 | 1.60 | 1.60 | 1.60 | 1.61 | ||
Ratio of net investment income | 1.44 | 1.60 | 1.71 | 1.80 | 1.78 | ||
Portfolio Turnover Rate | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | ||
Net Assets, | 1,654 | 1,016 | 916 | 1,294 | 1,380 |
a Based on average shares outstanding.
b Exclusive of sales charge.
See notes to financial statements.
23
FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | |||||||
Class C Shares | 2017 | 2016 | 2015 | 2014 | 2013 | ||
Per Share Data ($): | |||||||
Net asset value, | 11.16 | 10.13 | 11.96 | 12.07 | 11.44 | ||
Investment Operations: | |||||||
Investment income—neta | .09 | .09 | .10 | .12 | .11 | ||
Net realized and unrealized | 3.05 | .94 | (1.81) | (.14) | .52 | ||
Total from | 3.13 | 1.03 | (1.71) | (.02) | .63 | ||
Distributions: | |||||||
Dividends from | (.08) | - | (.10) | (.09) | - | ||
Tax return of capital | - | - | (.02) | - | - | ||
Total Distributions | (.08) | - | (.12) | (.09) | - | ||
Net asset value, end of period | 14.22 | 11.16 | 10.13 | 11.96 | 12.07 | ||
Total Return (%)b | 28.32 | 10.17 | (14.36) | (.03) | 5.42 | ||
Ratios/ Supplemental Data (%) | |||||||
Ratio of total expenses | 2.34 | 2.41 | 2.46 | 2.44 | 2.42 | ||
Ratio of net expenses | 2.34 | 2.35 | 2.35 | 2.35 | 2.36 | ||
Ratio of net investment income | .72 | .85 | .96 | 1.04 | .92 | ||
Portfolio Turnover Rate | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | ||
Net Assets, | 820 | 644 | 669 | 823 | 720 |
a Based on average shares outstanding.
b Exclusive of sales charge.
See notes to financial statements.
24
Year Ended October 31, | |||||||
Class I Shares | 2017 | 2016 | 2015 | 2014 | 2013 | ||
Per Share Data ($): | |||||||
Net asset value, | 11.46 | 10.29 | 12.16 | 12.25 | 11.54 | ||
Investment Operations: | |||||||
Investment income—neta | .23 | .20 | .21 | .24 | .24 | ||
Net realized and unrealized | 3.11 | .97 | (1.84) | (.13) | .51 | ||
Total from Investment Operations | 3.34 | 1.17 | (1.63) | .11 | .75 | ||
Distributions: | |||||||
Dividends from | (.18) | - | (.21) | (.20) | (.04) | ||
Tax return of capital | - | - | (.03) | - | - | ||
Total Distributions | (.18) | - | (.24) | (.20) | (.04) | ||
Net asset value, end of period | 14.62 | 11.46 | 10.29 | 12.16 | 12.25 | ||
Total Return (%) | 29.76 | 11.37 | (13.54) | .97 | 6.52 | ||
Ratios/ Supplemental Data (%) | |||||||
Ratio of total expenses | 1.27 | 1.32 | 1.36 | 1.35 | 1.34 | ||
Ratio of net expenses | 1.27 | 1.29 | 1.35 | 1.35 | 1.34 | ||
Ratio of net investment income | 1.81 | 1.91 | 1.96 | 2.04 | 1.97 | ||
Portfolio Turnover Rate | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | ||
Net Assets, | 111,076 | 99,315 | 68,147 | 81,636 | 83,306 |
a Based on average shares outstanding.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | |||||
Class Y Shares | 2017 | 2016 | 2015 | 2014 | 2013a |
Per Share Data ($): | |||||
Net asset value, beginning of period | 11.47 | 10.29 | 12.16 | 12.25 | 11.41 |
Investment Operations: | |||||
Investment income—netb | .22 | .20 | .24 | .28 | .06 |
Net realized and unrealized | 3.12 | .98 | (1.87) | (.16) | .78 |
Total from Investment Operations | 3.34 | 1.18 | (1.63) | .12 | .84 |
Distributions: | |||||
Dividends from | (.18) | - | (.22) | (.21) | - |
Tax return of capital | - | - | (.02) | - | - |
Total Distributions | (.18) | - | (.24) | (.21) | - |
Net asset value, end of period | 14.63 | 11.47 | 10.29 | 12.16 | 12.25 |
Total Return (%) | 29.70 | 11.47 | (13.53) | .95 | 7.45c |
Ratios/ Supplemental Data (%) | |||||
Ratio of total expenses | 1.28 | 1.32 | 1.38 | 1.35 | 1.42d |
Ratio of net expenses | 1.28 | 1.30 | 1.30 | 1.33 | 1.35d |
Ratio of net investment income | 1.77 | 1.90 | 2.10 | 2.26 | 1.46d |
Portfolio Turnover Rate | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 |
Net Assets, end of period($ x 1,000) | 1,905 | 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.
26
NOTES TO FINANCIAL STATEMENTS
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 nine 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 authorized 100 million Class T shares which resulted in the fund’s total authorized shares increased from 400 million to 500 million.
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 October 31, 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
27
NOTES TO FINANCIAL STATEMENTS (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.
28
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), 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 to not accurately reflect fair value, such as when the
29
NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 October 31, 2017 in valuing the fund’s investments:
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Corporate Bonds | - | 9,717,985 | - | 9,717,985 |
Equity Securities – | 86,856,984 | - | - | 86,856,984 |
Equity Securities – | 3,827,900 | - | - | 3,827,900 |
Foreign Government | - | 12,577,851 | - | 12,577,851 |
30
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Registered Investment Company | 2,170,429 | - | - | 2,170,429 |
Rights | 26,612 | - | - | 26,612 |
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts† | - | 479,268 | - | 479,268 |
Options Purchased | - | 4,300 | - | 4,300 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts† | - | (363,328) | - | (363,328) |
Options Written | - | (35,000) | - | (35,000) |
† Amount shown represents unrealized appreciation (depreciation) at period end.
At October 31, 2017, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.
(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.
31
NOTES TO FINANCIAL STATEMENTS (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.
(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 October 31, 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 October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $1,842,353,
32
undistributed capital gains $1,672,414 accumulated other losses $66,400 and unrealized appreciation $25,046,911.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: ordinary income $1,679,804 and $0, respectively.
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for foreign currency gains and losses and consent fees, the fund decreased accumulated undistributed investment income-net by $444,589 and increased accumulated net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended October 31, 2017 was approximately $147,400 with a related weighted average annualized interest rate of 2.11%.
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 expenses of the fund, so that the direct expenses of Class A, C, I and Y shares (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
33
NOTES TO FINANCIAL STATEMENTS (continued)
daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $27 during the period ended October 31, 2017.
During the period ended October 31, 2017, the Distributor retained $356 from commissions earned on sales of the fund’s Class A shares and $100 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 October 31, 2017, Class C shares were charged $5,301 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 October 31, 2017, Class A and Class C shares were charged $3,389 and $1,767, 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 October 31, 2017, the fund was charged $1,485 for transfer agency services and $79 for cash management services. These fees are included in Shareholder servicing costs in the Statement of Operations. Cash management fees were offset by earnings credits of $79.
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.
34
During the period ended October 31, 2017, the fund was charged $88,198 pursuant to the custody agreement. These fees were partially offset by earnings credits of $349.
During the period ended October 31, 2017, the fund was charged $13,469 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 $97,794, Distribution Plan fees $516, Shareholder Services Plan fees $535, custodian fees $21,618, Chief Compliance Officer fees $7,846 and transfer agency fees $195.
(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 October 31, 2017, redemption fees charged and retained by the fund amounted to $671.
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 October 31, 2017, amounted to $76,803,141 and $89,760,223, 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 October 31, 2017 is discussed below.
Options Transactions: The fund purchases and writes (sells) put and call options to hedge against changes in the values of foreign currencies or as a
35
NOTES TO FINANCIAL STATEMENTS (continued)
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 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. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
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. Options written open at October 31, 2017 are set forth in Statement of Options Written.
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
36
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 October 31, 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.
At October 31, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Options | 4,300 | (35,000) | |||
Forward contracts | 479,268 | (363,328) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 483,568 | (398,328) | |||
Derivatives not subject to | |||||
Master Agreements | - | - | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 483,568 | (398,328) |
37
NOTES TO FINANCIAL STATEMENTS (continued)
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of October 31, 2017:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Barclays Bank | 65,439 | (32,814) | - | 32,625 | ||
Citigroup | 147,527 | (147,527) | - | - | ||
Goldman Sachs | 43,164 | (36,713) | - | 6,451 | ||
JP Morgan | 149,901 | (41,149) | - | 108,752 | ||
UBS | 77,537 | (9,855) | - | 67,682 | ||
Total | 483,568 | (268,058) | - | 215,510 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Bank of America | (96,771) | - | - | (96,771) | ||
Barclays Bank | (32,814) | 32,814 | - | - | ||
Citigroup | (153,614) | 147,527 | - | (6,087) | ||
Goldman Sachs | (36,713) | 36,713 | - | - | ||
JP Morgan | (41,149) | 41,149 | - | - | ||
Morgan Stanley | (27,412) | - | - | (27,412) | ||
UBS | (9,855) | 9,855 | - | - | ||
Total | (398,328) | 268,058 | - | (130,270) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts |
The following summarizes the average market value of derivatives outstanding during the period ended October 31, 2017:
|
| Average Market Value ($) |
Foreign currency options contracts | 58,101 | |
Forward contracts | 61,635,730 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $90,234,087; accordingly, accumulated net unrealized appreciation on investments inclusive of derivative contracts was
38
$25,051,114, consisting of $26,223,140 gross unrealized appreciation and $1,172,026 gross unrealized depreciation.
39
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dreyfus Total Emerging Markets Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments, investments in affiliated issuers, options written and forward foreign currency exchange contracts, of Dreyfus Total Emerging Markets Fund (one of the series comprising Advantage Funds, Inc.) (the Fund) as of October 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Total Emerging Markets Fund at October 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the indicated periods in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
40
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby reports the following information regarding its fiscal year ended October 31, 2017:
- the total amount of taxes paid to foreign countries was $181,790
- the total amount of income sourced from foreign countries was $2,804,491.
Where required by Federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2017 calendar year with Form 1099-DIV which will be mailed in early 2018.
For the fiscal year ended October 31, 2017, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $585,428 represents the maximum amount that may be considered qualified dividend income.
41
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
42
Ehud Houminer (77)
Board Member (1993)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
43
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
44
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
45
OFFICERS OF THE FUND (Unaudited) (continued)
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since August 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
46
NOTES
47
NOTES
48
NOTES
49
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
ANNUAL REPORT October 31, 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 | |
in Affiliated Issuers | |
Options Written | |
Foreign Currency Exchange Contracts | |
Swap Agreements | |
Assets and Liabilities | |
Changes in Net Assets | |
Financial Statements | |
Public Accounting Firm | |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE CEO OF DREYFUS
Dear Shareholder:
We are pleased to present this annual report for Dynamic Total Return Fund, covering the 12-month period from November 1, 2016 through October 31, 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 set a series of new record highs and bonds produced mixed results over the past year in response to changing economic and political conditions. Financial markets at the start of the reporting period were dominated by the election of a new U.S. presidential administration. Equities and corporate-backed bonds surged higher in anticipation of more business-friendly regulatory, tax, and fiscal policies, but high-quality bonds generally lost value due to expectations of rising interest rates and accelerating inflation in a stronger economy. Despite a series of short-term interest-rate hikes, bonds recovered their previous losses over the first 10 months of 2017 when it became clearer that pro-growth legislation would take time and political capital to enact. U.S. and international stocks continued to rally as corporate earnings grew and global economic conditions improved.
The markets’ recent strong performance has been supported by solid underlying fundamentals. While we currently expect these favorable conditions to persist, we remain watchful for economic and political developments that could derail the markets. As always, we encourage you to discuss the risks and opportunities of today’s investment environment with your financial advisor.
Thank you for your continued confidence and support.
Sincerely,
Mark D. Santero
Chief Executive Officer
The Dreyfus Corporation
November 15, 2017
2
DISCUSSION OF FUND PERFORMANCE
For the period from November 1, 2016 through October 31, 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 12-month period ended October 31, 2017, Dynamic Total Return Fund’s Class A shares produced a total return of 5.92%, Class C shares returned 5.14%, Class I shares returned 6.17%, and Class Y shares returned 6.23%.1 In comparison, the fund’s benchmarks, the Citi Three-Month U.S. Treasury Bill Index, the MSCI World Index, and an index comprised of 60% MSCI World Index and 40% Citi World Government Bond Index (the “Hybrid Index”) returned 0.71%, 22.77%, and 13.30%, respectively.2,3,4,5
Stocks rallied over the reporting period amid improving global economic growth, but bonds fared less well due to rising interest rates. The fund produced a solidly positive return, but lagged its equity and hybrid indices due to the underperformance of U.S. Treasury bonds and Australian government bonds compared to their counterparts in Germany and the United Kingdom.
The Fund’s Investment Approach
The fund seeks total return. To pursue its goal, the fund normally invests in instruments that provide investment exposure to global equity, bond, currency and commodity markets, and in fixed-income securities. The fund may invest in instruments that provide economic exposure to developed and, to a limited extent, emerging market issuers.
The fund will seek to achieve investment exposure to global equity, bond, currency and commodity markets primarily through long and short positions in futures, options, forward contracts, swap agreements or exchange-traded funds (ETFs), and normally will use economic leverage as part of its investment strategy. The fund also may invest in fixed-income securities, such as bonds, notes (including structured notes) and money market instruments, and including foreign government obligations and securities of supranational entities, to provide exposure to bond markets and for liquidity and income, as well as hold cash.
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 global bond markets. For currency markets, the portfolio managers evaluate currencies on a relative valuation basis and overweight exposure to currencies that are undervalued. For commodities, the portfolio managers 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.
Post-Election Optimism and Synchronized Global Growth
Surprisingly strong economic improvement in Europe, rebounding oil prices, and expectations of U.S. government policy reforms unleashed a wave of investor optimism, causing global equities to surge higher over the reporting period. Other risky assets, such as high yield bonds and emerging market debt, also produced strong gains.
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 bonds were volatile, but rose substantially over the reporting period. Oil prices continued to recover, in part due to production caps imposed by the Organization of the Petroleum Exporting Countries (OPEC).
The Federal Reserve Board (the “Fed”) raised short-term interest rates gradually, implementing rate hikes of 0.25 percentage points in December 2016, March 2017, and June 2017. Many analysts expect an additional rate hike in December 2017 and at least two more in 2018. In addition, in October 2017, the Fed began the process of reducing its balance sheet, and, just days after the reporting period’s end, a new Fed chair was named to replace Janet Yellen. Although other central banks have maintained aggressively accommodative monetary policies, positive economic momentum has led to expectations that they also 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 exposure to U.S. Treasury bonds and Australian government bonds undermined relative results, and the resulting weakness was insufficiently offset by short positions in U.K. and German government bonds. 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 throughout 2017.
Throughout the reporting period, the fund employed futures and options contracts to establish its positions in equity, fixed income, currency, and commodities markets.
Positioned for Continued Growth
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 international equity exposure, particularly in Europe and Japan. We also have maintained long positions in higher-yielding government bonds in the United States, Australia, and Canada, as well as short positions in U.K. and German bonds. Finally, we have continued to favor the U.S. dollar versus the Japanese yen and British pound.
November 15, 2017
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. The fund’s returns 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.
2 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.
3 Source: Lipper Inc. — The Citi Three-Month U.S. Treasury Bill Index consists of the last Three-month Treasury bill month-end rates. The Citi Three-Month U.S. Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. 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.
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.
4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dynamic Total Return Fund Class A shares, Class C shares, Class I shares and Class Y shares and the MSCI World Index, Citi Three-Month U.S. Treasury Bill Index and an index comprised of 60% MSCI World Index and 40% Citi World Government Bond Index (the “Hybrid Index”)
† Source: FactSet
†† Source: Lipper Inc.
††† The total return figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (inception date for Class Y shares), not reflecting the applicable sales charges for Class A shares.
Past performance is not predictive of future performance.
The above graph compares a $10,000 investment made in each of the Class A, Class C, Class I and Class Y shares of Dynamic Total Return Fund on 10/31/07 to a $10,000 investment made on that date in each of the following: MSCI World Index, Citi Three-Month U.S. Treasury Bill Index and the Hybrid Index. Returns assume all dividends and capital gain distributions are reinvested.
The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. 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. The Citi Three-Month U.S. Treasury Bill Index consists of the last three-month Treasury bill month-end rates. The Citi Three-Month U.S. Treasury Bill Index measures returns equivalent of yield averages. The instruments are not marked to market. 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. Unlike a mutual fund, the indices are not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.
5
FUND PERFORMANCE (continued)
Average Annual Total Returns as of 10/31/17 | ||||
Inception | ||||
Date | 1 Year | 5 Years | 10 Years | |
Class A shares | ||||
with maximum sales charge (5.75%) | 5/2/06 | -0.17% | 4.71% | 1.75% |
without sales charge | 5/2/06 | 5.92% | 5.95% | 2.35% |
Class C shares | ||||
with applicable redemption charge † | 5/2/06 | 4.14% | 5.17% | 1.59% |
without redemption | 5/2/06 | 5.14% | 5.17% | 1.59% |
Class I shares | 5/2/06 | 6.17% | 6.23% | 2.69% |
Class Y shares | 7/1/13 | 6.23% | 6.49%†† | 2.62%†† |
MSCI World Index | 22.77% | 11.56% | 4.10% | |
Citi Three-Month U.S. Treasury Bill Index | 0.71% | 0.21% | 0.39% | |
Hybrid Index | 13.30% | 6.76% | 3.88% |
† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.
†† The total return performance figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 7/1/13 (inception date for Class Y shares), not reflecting the applicable sales charges for class A shares.
The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to Dreyfus.com for the fund’s most recent month-end returns.
The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund’s performance shown in the table takes into account all other applicable fees and expenses on all classes.
6
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 May 1, 2017 to October 31, 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 October 31, 2017 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $7.47 | $11.31 | $6.19 | $5.93 | ||||||
Ending value (after expenses) | $1,044.00 | $1,040.10 | $1,045.40 | $1,045.40 |
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 October 31, 2017 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $7.37 | $11.17 | $6.11 | $5.85 | ||||
Ending value (after expenses) | $1,017.90 | $1,014.12 | $1,019.16 | $1,019.41 |
† Expenses are equal to the fund’s annualized expense ratio of 1.45% for Class A, 2.20% for Class C, 1.20% for Class I and 1.15% for Class Y, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
7
CONSOLIDATED STATEMENT OF INVESTMENTS
October 31, 2017
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% | |||||||||
Consumer Discretionary - 1.2% | |||||||||
Adient Global Holdings, | 4.88 | 8/15/26 | 75,000 | b | 77,531 | ||||
Allison Transmission, | 5.00 | 10/1/24 | 75,000 | b | 78,375 | ||||
Altice, | 7.75 | 5/15/22 | 350,000 | b | 371,000 | ||||
Altice, | 7.63 | 2/15/25 | 75,000 | b | 81,656 | ||||
Altice Financing, | 7.50 | 5/15/26 | 150,000 | b | 165,187 | ||||
Altice Financing, | 6.63 | 2/15/23 | 150,000 | b | 158,490 | ||||
Altice Financing, | 6.50 | 1/15/22 | 75,000 | b | 77,813 | ||||
Altice US Finance I, | 5.38 | 7/15/23 | 75,000 | b | 78,375 | ||||
AMC Entertainment Holdings, | 5.75 | 6/15/25 | 75,000 | 73,313 | |||||
AMC Entertainment Holdings, | 5.88 | 11/15/26 | 75,000 | 73,406 | |||||
AMC Networks, | 4.75 | 12/15/22 | 75,000 | 77,156 | |||||
AMC Networks, | 5.00 | 4/1/24 | 75,000 | 76,547 | |||||
American Axle & Manufacturing, | 6.63 | 10/15/22 | 125,000 | 129,609 | |||||
American Tire Distributors, | 10.25 | 3/1/22 | 125,000 | b | 130,937 | ||||
Aramark Services, | 4.75 | 6/1/26 | 75,000 | 78,636 | |||||
Aston Martin Capital Holdings, | 6.50 | 4/15/22 | 50,000 | b | 53,313 | ||||
AV Homes, | 6.63 | 5/15/22 | 75,000 | 77,978 | |||||
Avis Budget Car Rental, | 5.50 | 4/1/23 | 75,000 | 76,219 | |||||
Beazer Homes USA, | 8.75 | 3/15/22 | 125,000 | 139,212 | |||||
Boyd Gaming, | 6.88 | 5/15/23 | 75,000 | 80,812 | |||||
Boyd Gaming, | 6.38 | 4/1/26 | 75,000 | 82,500 | |||||
Cablevision Systems, | 8.00 | 4/15/20 | 50,000 | 55,500 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Cablevision Systems, | 5.88 | 9/15/22 | 130,000 | 134,062 | |||||
CalAtlantic Group, | 5.88 | 11/15/24 | 100,000 | 111,750 | |||||
CCO Holdings, | 5.13 | 2/15/23 | 200,000 | 207,000 | |||||
CCO Holdings, | 5.75 | 9/1/23 | 120,000 | 124,650 | |||||
CCO Holdings, | 5.88 | 4/1/24 | 75,000 | b | 80,062 | ||||
CCO Holdings, | 5.75 | 2/15/26 | 200,000 | b | 209,570 | ||||
CCO Holdings, | 5.50 | 5/1/26 | 75,000 | b | 77,063 | ||||
CCO Holdings, | 5.13 | 5/1/27 | 200,000 | b | 202,250 | ||||
Cengage Learning, | 9.50 | 6/15/24 | 50,000 | b | 45,313 | ||||
Cequel Communications Holdings I, | 5.13 | 12/15/21 | 350,000 | b | 357,875 | ||||
Cinemark USA, | 4.88 | 6/1/23 | 75,000 | 76,781 | |||||
Clear Channel Worldwide Holdings, | 7.63 | 3/15/20 | 150,000 | 150,375 | |||||
Cooper-Standard Automotive, | 5.63 | 11/15/26 | 50,000 | b | 52,000 | ||||
CSC Holdings, | 10.13 | 1/15/23 | 200,000 | b | 229,500 | ||||
CSC Holdings, | 5.50 | 4/15/27 | 75,000 | b | 77,438 | ||||
CSC Holdings, | 6.75 | 11/15/21 | 50,000 | 55,250 | |||||
Dana, | 5.50 | 12/15/24 | 100,000 | 106,000 | |||||
DISH DBS, | 7.88 | 9/1/19 | 50,000 | 54,150 | |||||
DISH DBS, | 6.75 | 6/1/21 | 150,000 | 157,875 | |||||
DISH DBS, | 5.88 | 7/15/22 | 300,000 | 303,000 | |||||
DISH DBS, | 7.75 | 7/1/26 | 300,000 | 329,250 | |||||
Dollar Tree, | 5.75 | 3/1/23 | 300,000 | 316,875 | |||||
Fiat Chrysler Automobiles, | 5.25 | 4/15/23 | 75,000 | 79,875 |
9
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Fiat Chrysler Automobiles, | 4.50 | 4/15/20 | 125,000 | 130,469 | |||||
GLP Capital, | 4.38 | 11/1/18 | 75,000 | 75,938 | |||||
GLP Capital, | 4.88 | 11/1/20 | 50,000 | 53,119 | |||||
GLP Capital, | 4.38 | 4/15/21 | 50,000 | 52,375 | |||||
GLP Capital, | 5.38 | 11/1/23 | 75,000 | 81,844 | |||||
GLP Capital, | 5.38 | 4/15/26 | 75,000 | 81,375 | |||||
Golden Nugget, | 6.75 | 10/15/24 | 75,000 | b | 76,500 | ||||
Goodyear Tire & Rubber, | 5.13 | 11/15/23 | 75,000 | 77,531 | |||||
Goodyear Tire & Rubber, | 5.00 | 5/31/26 | 75,000 | 77,156 | |||||
Goodyear Tire & Rubber, | 4.88 | 3/15/27 | 125,000 | 127,500 | |||||
Gray Television, | 5.13 | 10/15/24 | 75,000 | b | 74,978 | ||||
Gray Television, | 5.88 | 7/15/26 | 75,000 | b | 77,063 | ||||
Group 1 Automotive, | 5.00 | 6/1/22 | 75,000 | 77,790 | |||||
Hanesbrands, | 4.88 | 5/15/26 | 75,000 | b | 77,625 | ||||
Hilton Domestic Operating, | 4.25 | 9/1/24 | 75,000 | 76,781 | |||||
Hilton Worldwide Finance, | 4.63 | 4/1/25 | 250,000 | 258,437 | |||||
iHeartCommunications, | 9.00 | 12/15/19 | 125,000 | 92,812 | |||||
iHeartCommunications, | 9.00 | 3/1/21 | 300,000 | 217,125 | |||||
IHO Verwaltungs, | 4.13 | 9/15/21 | 50,000 | b | 51,125 | ||||
International Game Technology, | 5.63 | 2/15/20 | 125,000 | b | 133,344 | ||||
International Game Technology, | 6.25 | 2/15/22 | 125,000 | b | 138,087 | ||||
International Game Technology, | 6.50 | 2/15/25 | 75,000 | b | 84,562 | ||||
J.C. Penney, | 6.38 | 10/15/36 | 100,000 | 59,250 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Jack Ohio Finance, | 6.75 | 11/15/21 | 75,000 | b | 80,250 | ||||
Jaguar Land Rover Automotive, | 4.13 | 12/15/18 | 75,000 | b | 76,781 | ||||
Jaguar Land Rover Automotive, | 4.25 | 11/15/19 | 75,000 | b | 77,531 | ||||
Jaguar Land Rover Automotive, | 5.63 | 2/1/23 | 75,000 | b | 77,531 | ||||
KFC Holding, | 5.25 | 6/1/26 | 75,000 | b | 79,886 | ||||
L Brands, | 8.50 | 6/15/19 | 50,000 | 54,875 | |||||
L Brands, | 5.63 | 2/15/22 | 200,000 | 214,900 | |||||
L Brands, | 6.88 | 11/1/35 | 75,000 | 74,813 | |||||
L Brands, | 6.75 | 7/1/36 | 75,000 | 73,688 | |||||
Lamar Media, | 5.00 | 5/1/23 | 75,000 | 77,822 | |||||
Lamar Media, | 5.38 | 1/15/24 | 75,000 | 79,125 | |||||
Lee Enterprises, | 9.50 | 3/15/22 | 50,000 | b | 51,875 | ||||
Lennar, | 4.50 | 6/15/19 | 75,000 | 77,719 | |||||
Lennar, | 4.13 | 1/15/22 | 125,000 | 129,375 | |||||
Lennar, | 4.75 | 11/15/22 | 75,000 | 79,500 | |||||
Lions Gate Entertainment, | 5.88 | 11/1/24 | 75,000 | b | 79,875 | ||||
Live Nation Entertainment, | 4.88 | 11/1/24 | 75,000 | b | 77,788 | ||||
LKQ, | 4.75 | 5/15/23 | 75,000 | 77,438 | |||||
McClatchy, | 9.00 | 12/15/22 | 75,000 | 78,375 | |||||
McClatchy, | 6.88 | 3/15/29 | 100,000 | 87,750 | |||||
MDC Holdings, | 6.00 | 1/15/43 | 100,000 | 96,445 | |||||
Men's Wearhouse, | 7.00 | 7/1/22 | 75,000 | 72,281 | |||||
MGM Resorts International, | 6.75 | 10/1/20 | 50,000 | 55,125 |
11
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
MGM Resorts International, | 6.63 | 12/15/21 | 225,000 | 252,000 | |||||
MGM Resorts International, | 7.75 | 3/15/22 | 75,000 | 87,304 | |||||
MGM Resorts International, | 6.00 | 3/15/23 | 75,000 | 82,417 | |||||
Michaels Stores, | 5.88 | 12/15/20 | 75,000 | b | 76,500 | ||||
Mohegan Gaming & Entertainment, | 7.88 | 10/15/24 | 75,000 | b | 80,156 | ||||
Monitronics International, | 9.13 | 4/1/20 | 225,000 | 196,312 | |||||
Netflix, | 5.50 | 2/15/22 | 125,000 | 135,141 | |||||
Netflix, | 5.88 | 2/15/25 | 75,000 | 81,157 | |||||
Netflix, | 4.38 | 11/15/26 | 75,000 | b | 73,688 | ||||
New Red Finance, | 4.63 | 1/15/22 | 50,000 | b | 51,290 | ||||
Nexstar Broadcasting, | 5.63 | 8/1/24 | 75,000 | b | 77,156 | ||||
Nielsen Finance, | 5.00 | 4/15/22 | 350,000 | b | 361,331 | ||||
Outfront Media Capital, | 5.25 | 2/15/22 | 125,000 | 129,531 | |||||
Outfront Media Capital, | 5.63 | 2/15/24 | 75,000 | 79,219 | |||||
Penske Automotive Group, | 5.75 | 10/1/22 | 75,000 | 77,415 | |||||
Penske Automotive Group, | 5.50 | 5/15/26 | 75,000 | 77,344 | |||||
PetSmart, | 7.13 | 3/15/23 | 300,000 | b | 229,500 | ||||
Pinnacle Entertainment, | 5.63 | 5/1/24 | 75,000 | 77,813 | |||||
Prime Security Services Borrower, | 9.25 | 5/15/23 | 300,000 | b | 333,210 | ||||
PulteGroup, | 5.50 | 3/1/26 | 75,000 | 82,500 | |||||
PulteGroup, | 5.00 | 1/15/27 | 75,000 | 79,312 | |||||
PulteGroup, | 7.88 | 6/15/32 | 100,000 | 124,500 | |||||
Quebecor Media, | 5.75 | 1/15/23 | 150,000 | 163,500 |
12
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Regal Entertainment Group, | 5.75 | 3/15/22 | 125,000 | 129,687 | |||||
RSI Home Products, | 6.50 | 3/15/23 | 75,000 | b | 78,937 | ||||
Sally Holdings, | 5.63 | 12/1/25 | 75,000 | 74,813 | |||||
Scientific Games International, | 6.63 | 5/15/21 | 100,000 | 103,875 | |||||
Scientific Games International, | 10.00 | 12/1/22 | 150,000 | 166,312 | |||||
Scientific Games International, | 7.00 | 1/1/22 | 125,000 | b | 132,500 | ||||
Service Corporation International, | 5.38 | 5/15/24 | 75,000 | 79,406 | |||||
ServiceMaster, | 5.13 | 11/15/24 | 75,000 | b | 77,438 | ||||
SFR Group, | 6.00 | 5/15/22 | 350,000 | b | 365,312 | ||||
SFR Group, | 6.25 | 5/15/24 | 75,000 | b | 78,844 | ||||
SFR Group, | 7.38 | 5/1/26 | 300,000 | b | 323,625 | ||||
Silversea Cruise Finance, | 7.25 | 2/1/25 | 75,000 | b | 80,812 | ||||
Sinclair Television Group, | 5.38 | 4/1/21 | 75,000 | 77,156 | |||||
Sinclair Television Group, | 6.13 | 10/1/22 | 75,000 | 77,625 | |||||
Sinclair Television Group, | 5.63 | 8/1/24 | 75,000 | b | 76,313 | ||||
Sirius XM Radio, | 5.38 | 4/15/25 | 75,000 | b | 79,219 | ||||
Sirius XM Radio, | 5.38 | 7/15/26 | 75,000 | b | 79,219 | ||||
Sirius XM Radio, | 6.00 | 7/15/24 | 75,000 | b | 80,250 | ||||
Six Flags Entertainment, | 4.88 | 7/31/24 | 150,000 | b | 154,687 | ||||
Sonic Automotive, | 5.00 | 5/15/23 | 75,000 | 73,875 | |||||
Springs Industries, | 6.25 | 6/1/21 | 75,000 | 77,438 | |||||
Taylor Morrison Communities, | 5.25 | 4/15/21 | 75,000 | b | 76,687 | ||||
TEGNA, | 6.38 | 10/15/23 | 250,000 | 266,250 |
13
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Discretionary - 1.2% (continued) | |||||||||
Tempur Sealy International, | 5.50 | 6/15/26 | 75,000 | 77,438 | |||||
Tenneco, | 5.00 | 7/15/26 | 75,000 | 77,250 | |||||
Tesla, | 5.30 | 8/15/25 | 100,000 | b | 96,625 | ||||
Time, | 5.75 | 4/15/22 | 125,000 | b | 126,719 | ||||
Toll Brothers Finance, | 4.88 | 11/15/25 | 250,000 | 262,812 | |||||
Tribune Media, | 5.88 | 7/15/22 | 75,000 | 78,188 | |||||
Under Armour, | 3.25 | 6/15/26 | 75,000 | 67,545 | |||||
Unitymedia Hessen, | 5.00 | 1/15/25 | 75,000 | b | 78,563 | ||||
Unitymedia Hessen, | 5.50 | 1/15/23 | 67,500 | b | 69,525 | ||||
Univision Communications, | 6.75 | 9/15/22 | 25,000 | b | 25,969 | ||||
Univision Communications, | 5.13 | 2/15/25 | 75,000 | b | 74,719 | ||||
Univision Communications, | 5.13 | 5/15/23 | 75,000 | b | 76,125 | ||||
Viacom, | 5.88 | 2/28/57 | 75,000 | c | 74,340 | ||||
Viacom, | 6.25 | 2/28/57 | 75,000 | c | 74,521 | ||||
Virgin Media Finance, | 6.38 | 4/15/23 | 75,000 | b | 78,563 | ||||
Virgin Media Secured Finance, | 5.25 | 1/15/26 | 75,000 | b | 78,109 | ||||
Wynn Las Vegas, | 5.50 | 3/1/25 | 300,000 | b | 315,750 | ||||
Yum! Brands, | 3.75 | 11/1/21 | 200,000 | 206,560 | |||||
ZF North America Capital, | 4.50 | 4/29/22 | 125,000 | b | 131,094 | ||||
ZF North America Capital, | 4.75 | 4/29/25 | 75,000 | b | 79,125 | ||||
Ziggo Bond Finance, | 6.00 | 1/15/27 | 75,000 | b | 76,500 | ||||
Ziggo Secured Finance, | 5.50 | 1/15/27 | 300,000 | b | 306,750 | ||||
18,366,429 |
14
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Staples - .2% | |||||||||
Albertsons, | 6.63 | 6/15/24 | 75,000 | 70,875 | |||||
Albertsons, | 5.75 | 3/15/25 | 75,000 | 66,375 | |||||
Alliance One International, | 9.88 | 7/15/21 | 175,000 | 154,875 | |||||
Avon Products, | 6.60 | 3/15/20 | 50,000 | 49,500 | |||||
Avon Products, | 7.00 | 3/15/23 | 150,000 | 125,625 | |||||
B&G Foods, | 4.63 | 6/1/21 | 75,000 | 76,688 | |||||
Cott Beverages, | 5.38 | 7/1/22 | 75,000 | 78,188 | |||||
Dean Foods, | 6.50 | 3/15/23 | 75,000 | b | 75,375 | ||||
Dole Food, | 7.25 | 6/15/25 | 50,000 | b | 54,250 | ||||
Edgewell Personal Care, | 4.70 | 5/24/22 | 50,000 | 53,375 | |||||
First Quality Finance, | 4.63 | 5/15/21 | 75,000 | b | 76,125 | ||||
Fresh Market, | 9.75 | 5/1/23 | 75,000 | b | 42,750 | ||||
HRG Group, | 7.75 | 1/15/22 | 125,000 | 131,860 | |||||
JBS USA Finance, | 8.25 | 2/1/20 | 50,000 | b | 50,688 | ||||
JBS USA Finance, | 7.25 | 6/1/21 | 50,000 | b | 51,224 | ||||
JBS USA Finance, | 5.88 | 7/15/24 | 75,000 | b | 74,063 | ||||
JBS USA Finance, | 5.75 | 6/15/25 | 100,000 | b | 97,500 | ||||
Kronos Acquisition Holdings, | 9.00 | 8/15/23 | 75,000 | b | 72,450 | ||||
Pilgrim's Pride, | 5.75 | 3/15/25 | 75,000 | b | 79,594 | ||||
Post Holdings, | 5.50 | 3/1/25 | 75,000 | b | 78,188 | ||||
Post Holdings, | 5.00 | 8/15/26 | 300,000 | b | 302,250 | ||||
Revlon Consumer Products, | 5.75 | 2/15/21 | 125,000 | 107,812 | |||||
Rite Aid, | 6.13 | 4/1/23 | 300,000 | b | 280,875 |
15
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Consumer Staples - .2% (continued) | |||||||||
Safeway, | 7.25 | 2/1/31 | 50,000 | 43,500 | |||||
Spectrum Brands, | 5.75 | 7/15/25 | 75,000 | 80,038 | |||||
Tesco, | 6.15 | 11/15/37 | 100,000 | b | 108,346 | ||||
TreeHouse Foods, | 6.00 | 2/15/24 | 75,000 | b | 80,625 | ||||
US Foods, | 5.88 | 6/15/24 | 75,000 | b | 79,594 | ||||
Vector Group, | 6.13 | 2/1/25 | 75,000 | b | 78,000 | ||||
2,720,608 | |||||||||
Energy - .6% | |||||||||
Andeavor Logistics, | 5.50 | 10/15/19 | 50,000 | 52,875 | |||||
Andeavor Logistics, | 5.25 | 1/15/25 | 130,000 | 140,237 | |||||
Antero Midstream Partners, | 5.38 | 9/15/24 | 75,000 | 78,563 | |||||
Antero Resources, | 5.13 | 12/1/22 | 125,000 | 129,062 | |||||
Antero Resources, | 5.63 | 6/1/23 | 75,000 | 78,937 | |||||
Ascent Resources Utica Holdings, | 10.00 | 4/1/22 | 50,000 | b | 54,500 | ||||
Blue Racer Midstream, | 6.13 | 11/15/22 | 75,000 | b | 78,563 | ||||
Bristow Group, | 6.25 | 10/15/22 | 100,000 | 71,875 | |||||
California Resources, | 8.00 | 12/15/22 | 150,000 | b | 99,937 | ||||
Calumet Specialty Products Partners, | 6.50 | 4/15/21 | 125,000 | 122,969 | |||||
Carrizo Oil & Gas, | 7.50 | 9/15/20 | 75,000 | 76,594 | |||||
Carrizo Oil & Gas, | 6.25 | 4/15/23 | 75,000 | 76,688 | |||||
Chesapeake Energy, | 8.00 | 1/15/25 | 75,000 | b | 75,188 | ||||
Chesapeake Energy, | 8.00 | 6/15/27 | 50,000 | b | 48,688 | ||||
Chesapeake Energy, | 8.00 | 12/15/22 | 139,000 | b | 150,077 | ||||
CONSOL Energy, | 5.88 | 4/15/22 | 350,000 | 358,750 |
16
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Energy - .6% (continued) | |||||||||
Continental Resources, | 5.00 | 9/15/22 | 300,000 | 304,500 | |||||
Continental Resources, | 3.80 | 6/1/24 | 75,000 | 73,219 | |||||
Continental Resources, | 4.90 | 6/1/44 | 40,000 | 37,450 | |||||
Continental Resources, | 4.50 | 4/15/23 | 75,000 | 76,125 | |||||
Crestwood Midstream Partners, | 6.25 | 4/1/23 | 75,000 | 78,375 | |||||
CSI Compressco, | 7.25 | 8/15/22 | 100,000 | 91,000 | |||||
DCP Midstream Operating, | 4.75 | 9/30/21 | 170,000 | b | 175,950 | ||||
DCP Midstream Operating, | 3.88 | 3/15/23 | 130,000 | 129,675 | |||||
Denbury Resources, | 5.50 | 5/1/22 | 75,000 | 47,438 | |||||
Diamond Offshore Drilling, | 4.88 | 11/1/43 | 175,000 | 132,125 | |||||
Diamondback Energy, | 4.75 | 11/1/24 | 75,000 | 76,688 | |||||
Diamondback Energy, | 5.38 | 5/31/25 | 75,000 | 78,281 | |||||
Eclipse Resources, | 8.88 | 7/15/23 | 75,000 | 76,969 | |||||
Energy Transfer Equity, | 7.50 | 10/15/20 | 50,000 | 56,500 | |||||
Energy Transfer Equity, | 5.50 | 6/1/27 | 75,000 | 79,875 | |||||
Energy Transfer Equity, | 5.88 | 1/15/24 | 75,000 | 81,750 | |||||
Ensco, | 4.50 | 10/1/24 | 300,000 | 247,500 | |||||
Everest Acquisition Finance, | 6.38 | 6/15/23 | 75,000 | 45,000 | |||||
Extraction Oil & Gas, | 7.88 | 7/15/21 | 125,000 | b | 133,125 | ||||
Genesis Energy, | 6.75 | 8/1/22 | 175,000 | 181,562 | |||||
Gulfport Energy, | 6.38 | 5/15/25 | 75,000 | 76,406 | |||||
Halcon Resources, | 6.75 | 2/15/25 | 18,000 | b | 18,540 | ||||
Hilcorp Energy I, | 5.75 | 10/1/25 | 75,000 | b | 77,156 |
17
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Energy - .6% (continued) | |||||||||
Jupiter Resources, | 8.50 | 10/1/22 | 75,000 | b | 53,813 | ||||
KCA Deutag UK Finance, | 9.88 | 4/1/22 | 50,000 | b | 52,563 | ||||
Laredo Petroleum, | 5.63 | 1/15/22 | 100,000 | 102,375 | |||||
Laredo Petroleum, | 7.38 | 5/1/22 | 50,000 | 52,094 | |||||
Legacy Reserves Finance, | 6.63 | 12/1/21 | 50,000 | 32,563 | |||||
Matador Resources, | 6.88 | 4/15/23 | 150,000 | 159,375 | |||||
McDermott International, | 8.00 | 5/1/21 | 75,000 | b | 77,813 | ||||
MEG Energy, | 7.00 | 3/31/24 | 75,000 | b | 68,438 | ||||
MEG Energy, | 6.50 | 1/15/25 | 75,000 | b | 74,906 | ||||
Murphy Oil, | 6.88 | 8/15/24 | 150,000 | 161,625 | |||||
Newfield Exploration, | 5.75 | 1/30/22 | 50,000 | 54,000 | |||||
NGL Energy Partners, | 5.13 | 7/15/19 | 150,000 | 150,375 | |||||
Niska Gas Storage, | 6.50 | 4/1/19 | 75,000 | 76,406 | |||||
Noble Holding International, | 7.75 | 1/15/24 | 75,000 | 67,500 | |||||
Noble Holding International, | 6.05 | 3/1/41 | 150,000 | 100,125 | |||||
Noble Holding International, | 5.25 | 3/15/42 | 100,000 | 64,000 | |||||
Northern Oil and Gas, | 8.00 | 6/1/20 | 75,000 | 50,250 | |||||
Parsley Energy, | 5.38 | 1/15/25 | 75,000 | b | 76,500 | ||||
PBF Holding, | 7.00 | 11/15/23 | 75,000 | 78,375 | |||||
PDC Energy, | 7.75 | 10/15/22 | 75,000 | 78,375 | |||||
Peabody Energy, | 6.00 | 3/31/22 | 75,000 | b | 77,344 | ||||
Peabody Energy, | 6.38 | 3/31/25 | 75,000 | b | 77,625 | ||||
Pride International, | 6.88 | 8/15/20 | 50,000 | 51,625 |
18
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Energy - .6% (continued) | |||||||||
QEP Resources, | 5.25 | 5/1/23 | 75,000 | 74,438 | |||||
Range Resources, | 5.00 | 8/15/22 | 75,000 | 74,438 | |||||
Range Resources, | 4.88 | 5/15/25 | 75,000 | 72,750 | |||||
Resolute Energy, | 8.50 | 5/1/20 | 50,000 | 51,000 | |||||
Rice Energy, | 6.25 | 5/1/22 | 125,000 | 130,956 | |||||
Rockies Express Pipeline, | 6.00 | 1/15/19 | 75,000 | b | 78,000 | ||||
Rockies Express Pipeline, | 5.63 | 4/15/20 | 50,000 | b | 53,250 | ||||
Rose Rock Finance, | 5.63 | 7/15/22 | 75,000 | 74,250 | |||||
Rowan Cos., | 4.88 | 6/1/22 | 125,000 | 118,437 | |||||
Rowan Cos., | 7.38 | 6/15/25 | 75,000 | 75,936 | |||||
Rowan Cos., | 5.85 | 1/15/44 | 20,000 | 16,200 | |||||
RSP Permian, | 6.63 | 10/1/22 | 150,000 | 158,062 | |||||
Sanchez Energy, | 7.75 | 6/15/21 | 75,000 | 70,125 | |||||
SESI, | 7.13 | 12/15/21 | 75,000 | 77,063 | |||||
SM Energy, | 5.63 | 6/1/25 | 75,000 | 73,313 | |||||
SM Energy, | 6.13 | 11/15/22 | 75,000 | 75,750 | |||||
Southwestern Energy, | 4.10 | 3/15/22 | 200,000 | 197,500 | |||||
Summit Midstream Holdings, | 5.75 | 4/15/25 | 75,000 | 76,875 | |||||
Sunoco Finance, | 5.50 | 8/1/20 | 75,000 | 77,207 | |||||
Sunoco Finance, | 6.38 | 4/1/23 | 75,000 | 80,062 | |||||
Targa Resources Partners, | 4.13 | 11/15/19 | 250,000 | 252,656 | |||||
Transocean, | 6.50 | 11/15/20 | 100,000 | 104,250 | |||||
Transocean, | 7.50 | 4/15/31 | 75,000 | 67,313 |
19
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Energy - .6% (continued) | |||||||||
Transocean, | 6.80 | 3/15/38 | 150,000 | 122,625 | |||||
Transocean Phoenix 2, | 7.75 | 10/15/24 | 67,500 | b | 73,069 | ||||
Tullow Oil, | 6.00 | 11/1/20 | 50,000 | b | 50,438 | ||||
Ultra Resources, | 6.88 | 4/15/22 | 50,000 | b | 50,563 | ||||
Unit, | 6.63 | 5/15/21 | 100,000 | 100,875 | |||||
Weatherford International, | 7.75 | 6/15/21 | 75,000 | 77,531 | |||||
Weatherford International, | 4.50 | 4/15/22 | 75,000 | 68,250 | |||||
Weatherford International, | 8.25 | 6/15/23 | 130,000 | 130,975 | |||||
Weatherford International, | 7.00 | 3/15/38 | 100,000 | 87,500 | |||||
Whiting Petroleum, | 5.00 | 3/15/19 | 75,000 | 76,031 | |||||
Whiting Petroleum, | 5.75 | 3/15/21 | 75,000 | 75,750 | |||||
Williams Cos., | 4.55 | 6/24/24 | 75,000 | 78,750 | |||||
Williams Cos., | 5.75 | 6/24/44 | 75,000 | 79,875 | |||||
Williams Cos., | 7.50 | 1/15/31 | 100,000 | 121,875 | |||||
Williams Cos., | 3.70 | 1/15/23 | 100,000 | 101,375 | |||||
WPX Energy, | 6.00 | 1/15/22 | 50,000 | 52,313 | |||||
WPX Energy, | 8.25 | 8/1/23 | 75,000 | 84,844 | |||||
WPX Energy, | 5.25 | 9/15/24 | 75,000 | 75,656 | |||||
9,544,903 | |||||||||
Financials - .4% | |||||||||
AerCap Global Aviation Trust, | 6.50 | 6/15/45 | 75,000 | b,c | 82,125 | ||||
Ally Financial, | 7.50 | 9/15/20 | 165,000 | 186,244 | |||||
Ally Financial, | 8.00 | 11/1/31 | 200,000 | 265,500 | |||||
Ally Financial, | 3.75 | 11/18/19 | 125,000 | 127,812 |
20
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Financials - .4% (continued) | |||||||||
Ally Financial, | 4.13 | 2/13/22 | 50,000 | 52,125 | |||||
Ally Financial, | 5.75 | 11/20/25 | 175,000 | 194,031 | |||||
CIT Group, | 3.88 | 2/19/19 | 50,000 | 50,875 | |||||
CIT Group, | 5.38 | 5/15/20 | 17,000 | 18,275 | |||||
CIT Group, | 5.00 | 8/1/23 | 75,000 | 81,315 | |||||
CNH Industrial Capital, | 4.38 | 11/6/20 | 125,000 | 131,250 | |||||
CNH Industrial Capital, | 3.88 | 10/15/21 | 100,000 | 103,500 | |||||
Credit Acceptance, | 6.13 | 2/15/21 | 100,000 | 102,250 | |||||
Deutsche Bank, | 4.30 | 5/24/28 | 75,000 | c | 74,850 | ||||
Dresdner Funding Trust I, | 8.15 | 6/30/31 | 130,000 | b | 169,814 | ||||
E*TRADE Financial, | 5.88 | 12/15/49 | 200,000 | c | 214,000 | ||||
Enova International, | 9.75 | 6/1/21 | 57,000 | 60,990 | |||||
FBM Finance, | 8.25 | 8/15/21 | 75,000 | b | 80,156 | ||||
Genworth Holdings, | 7.70 | 6/15/20 | 200,000 | 197,986 | |||||
Genworth Holdings, | 7.63 | 9/24/21 | 50,000 | 48,500 | |||||
HUB International, | 7.88 | 10/1/21 | 125,000 | b | 130,260 | ||||
Icahn Enterprises, | 4.88 | 3/15/19 | 125,000 | 125,781 | |||||
Icahn Enterprises, | 6.00 | 8/1/20 | 125,000 | 128,984 | |||||
Icahn Enterprises, | 5.88 | 2/1/22 | 125,000 | 129,494 | |||||
Intelsat Connect Finance, | 12.50 | 4/1/22 | 50,000 | b | 47,625 | ||||
Intesa Sanpaolo, | 5.71 | 1/15/26 | 75,000 | b | 79,844 | ||||
Jefferies Finance, | 6.88 | 4/15/22 | 50,000 | b | 50,750 | ||||
MSCI, | 5.25 | 11/15/24 | 75,000 | b | 79,687 |
21
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Financials - .4% (continued) | |||||||||
MSCI, | 5.75 | 8/15/25 | 75,000 | b | 81,375 | ||||
MSCI, | 4.75 | 8/1/26 | 75,000 | b | 78,281 | ||||
Nationstar Mortgage, | 6.50 | 7/1/21 | 125,000 | 127,266 | |||||
Navient, | 4.88 | 6/17/19 | 75,000 | 77,344 | |||||
Navient, | 5.50 | 1/15/19 | 300,000 | 310,125 | |||||
Navient, | 6.50 | 6/15/22 | 190,000 | 201,875 | |||||
Navient, | 5.50 | 1/25/23 | 75,000 | 76,219 | |||||
Och-Ziff Finance, | 4.50 | 11/20/19 | 250,000 | b | 245,937 | ||||
OneMain Financial Holdings, | 7.25 | 12/15/21 | 125,000 | b | 130,156 | ||||
Park Aerospace Holdings, | 5.25 | 8/15/22 | 300,000 | b | 313,125 | ||||
Park Aerospace Holdings, | 5.50 | 2/15/24 | 75,000 | b | 78,000 | ||||
Quicken Loans, | 5.75 | 5/1/25 | 150,000 | b | 159,750 | ||||
Royal Bank of Scotland Group, | 6.13 | 12/15/22 | 200,000 | 222,598 | |||||
Royal Bank of Scotland Group, | 6.00 | 12/19/23 | 250,000 | 278,847 | |||||
Springleaf Finance, | 5.25 | 12/15/19 | 75,000 | 77,625 | |||||
Springleaf Finance, | 8.25 | 12/15/20 | 50,000 | 56,500 | |||||
Springleaf Finance, | 6.13 | 5/15/22 | 50,000 | 52,875 | |||||
5,581,921 | |||||||||
Health Care - .5% | |||||||||
Acadia Healthcare, | 5.63 | 2/15/23 | 75,000 | 77,400 | |||||
AMAG Pharmaceuticals, | 7.88 | 9/1/23 | 75,000 | b | 76,688 | ||||
Avantor, | 6.00 | 10/1/24 | 300,000 | b | 306,375 | ||||
Centene, | 4.75 | 1/15/25 | 75,000 | 77,625 | |||||
Centene, | 5.63 | 2/15/21 | 75,000 | 78,000 |
22
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Health Care - .5% (continued) | |||||||||
Centene, | 4.75 | 5/15/22 | 125,000 | 131,562 | |||||
Change Healthcare Holdings, | 5.75 | 3/1/25 | 75,000 | b | 76,969 | ||||
CHS/Community Health Systems, | 8.00 | 11/15/19 | 190,000 | 181,687 | |||||
CHS/Community Health Systems, | 6.88 | 2/1/22 | 50,000 | 36,750 | |||||
CHS/Community Health Systems, | 5.13 | 8/1/21 | 50,000 | 48,625 | |||||
CHS/Community Health Systems, | 6.25 | 3/31/23 | 210,000 | 202,387 | |||||
DaVita, | 5.13 | 7/15/24 | 300,000 | 301,312 | |||||
DaVita, | 5.00 | 5/1/25 | 75,000 | 74,063 | |||||
DJO Finco, | 8.13 | 6/15/21 | 75,000 | b | 72,000 | ||||
Endo Finance, | 5.75 | 1/15/22 | 50,000 | b | 44,000 | ||||
Endo Finance, | 5.38 | 1/15/23 | 75,000 | b | 60,750 | ||||
Endo Finco, | 6.00 | 7/15/23 | 150,000 | b | 122,250 | ||||
Endo Finco, | 6.00 | 2/1/25 | 75,000 | b | 60,000 | ||||
Envision Healthcare, | 6.25 | 12/1/24 | 75,000 | b | 78,094 | ||||
Greatbatch, | 9.13 | 11/1/23 | 100,000 | b | 108,500 | ||||
HCA, | 7.50 | 2/15/22 | 300,000 | 341,250 | |||||
HCA, | 5.88 | 5/1/23 | 250,000 | 268,437 | |||||
HCA, | 5.38 | 2/1/25 | 230,000 | 237,116 | |||||
HCA, | 4.50 | 2/15/27 | 160,000 | 162,000 | |||||
HCA, | 3.75 | 3/15/19 | 225,000 | 228,937 | |||||
HCA, | 4.25 | 10/15/19 | 120,000 | 123,900 | |||||
HCA, | 6.50 | 2/15/20 | 50,000 | 54,000 | |||||
HCA, | 5.00 | 3/15/24 | 300,000 | 316,407 |
23
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Health Care - .5% (continued) | |||||||||
HCA, | 5.50 | 6/15/47 | 100,000 | 102,000 | |||||
HealthSouth, | 5.75 | 11/1/24 | 75,000 | 76,922 | |||||
HealthSouth, | 5.75 | 9/15/25 | 100,000 | 103,625 | |||||
Hologic, | 5.25 | 7/15/22 | 75,000 | b | 78,563 | ||||
inVentiv Group Holdings, | 7.50 | 10/1/24 | 55,000 | b | 60,913 | ||||
Kindred Healthcare, | 8.00 | 1/15/20 | 50,000 | 50,728 | |||||
Kindred Healthcare, | 6.38 | 4/15/22 | 100,000 | 93,050 | |||||
Kinetic Concepts, | 7.88 | 2/15/21 | 75,000 | b | 78,375 | ||||
Kinetic Concepts, | 12.50 | 11/1/21 | 125,000 | b | 139,687 | ||||
LifePoint Health, | 5.50 | 12/1/21 | 125,000 | 127,500 | |||||
LifePoint Health, | 5.88 | 12/1/23 | 75,000 | 77,359 | |||||
LifePoint Health, | 5.38 | 5/1/24 | 75,000 | 75,563 | |||||
Mallinckrodt International Finance, | 4.88 | 4/15/20 | 75,000 | b | 75,281 | ||||
Mallinckrodt International Finance, | 5.75 | 8/1/22 | 75,000 | b | 73,781 | ||||
Mallinckrodt International Finance, | 5.63 | 10/15/23 | 75,000 | b | 70,406 | ||||
MEDNAX, | 5.25 | 12/1/23 | 75,000 | b | 78,188 | ||||
Molina Healthcare, | 5.38 | 11/15/22 | 75,000 | 78,413 | |||||
MPH Acquisition Holdings, | 7.13 | 6/1/24 | 75,000 | b | 80,906 | ||||
Ortho-Clinical Diagnostics, | 6.63 | 5/15/22 | 125,000 | b | 125,781 | ||||
Pharmaceutical Product Development, | 6.38 | 8/1/23 | 75,000 | b | 78,469 | ||||
Quintiles IMS, | 4.88 | 5/15/23 | 75,000 | b | 78,375 | ||||
Quintiles IMS, | 5.00 | 10/15/26 | 300,000 | b | 319,500 | ||||
Quorum Health, | 11.63 | 4/15/23 | 100,000 | 92,000 |
24
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Health Care - .5% (continued) | |||||||||
RegionalCare Hospital Partners Holdings, | 8.25 | 5/1/23 | 75,000 | b | 79,125 | ||||
Select Medical, | 6.38 | 6/1/21 | 75,000 | 77,438 | |||||
Team Health Holdings, | 6.38 | 2/1/25 | 75,000 | b | 69,375 | ||||
Tenet Healthcare, | 7.50 | 1/1/22 | 110,000 | b | 116,187 | ||||
Tenet Healthcare, | 6.00 | 10/1/20 | 300,000 | 316,125 | |||||
Tenet Healthcare, | 4.63 | 7/15/24 | 100,000 | b | 98,750 | ||||
Tenet Healthcare, | 8.13 | 4/1/22 | 50,000 | 50,250 | |||||
Tenet Healthcare, | 6.75 | 6/15/23 | 300,000 | 282,750 | |||||
Universal Hospital Services, | 7.63 | 8/15/20 | 75,000 | 76,313 | |||||
Valeant Pharmaceuticals International, | 5.38 | 3/15/20 | 200,000 | b | 197,750 | ||||
Valeant Pharmaceuticals International, | 7.50 | 7/15/21 | 50,000 | b | 49,438 | ||||
Valeant Pharmaceuticals International, | 6.75 | 8/15/21 | 175,000 | b | 169,969 | ||||
Valeant Pharmaceuticals International, | 5.88 | 5/15/23 | 300,000 | b | 253,875 | ||||
Valeant Pharmaceuticals International, | 6.13 | 4/15/25 | 300,000 | b | 253,125 | ||||
Vizient, | 10.38 | 3/1/24 | 75,000 | b | 85,687 | ||||
WellCare Health Plans, | 5.25 | 4/1/25 | 150,000 | 158,250 | |||||
West Street Merger Sub, | 6.38 | 9/1/25 | 100,000 | b | 101,875 | ||||
8,598,751 | |||||||||
Industrials - .4% | |||||||||
ADT, | 6.25 | 10/15/21 | 225,000 | 250,060 | |||||
AECOM, | 5.75 | 10/15/22 | 75,000 | 78,656 | |||||
AECOM, | 5.88 | 10/15/24 | 75,000 | 83,137 | |||||
AECOM, | 5.13 | 3/15/27 | 75,000 | 77,344 | |||||
Agco, | 5.88 | 12/1/21 | 90,000 | 98,379 |
25
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Industrials - .4% (continued) | |||||||||
Ahern Rentals, | 7.38 | 5/15/23 | 75,000 | b | 69,000 | ||||
Air Canada, | 7.75 | 4/15/21 | 50,000 | b | 57,375 | ||||
Aircastle, | 5.13 | 3/15/21 | 75,000 | 79,875 | |||||
Aircastle, | 5.00 | 4/1/23 | 75,000 | 79,500 | |||||
Aircastle, | 6.25 | 12/1/19 | 125,000 | 134,062 | |||||
Algeco Scotsman Global Finance, | 8.50 | 10/15/18 | 125,000 | b | 123,125 | ||||
Allegiant Travel, | 5.50 | 7/15/19 | 50,000 | 51,875 | |||||
American Airlines Group, | 5.50 | 10/1/19 | 75,000 | b | 78,375 | ||||
American Airlines Group, | 4.63 | 3/1/20 | 125,000 | b | 129,531 | ||||
APX Group, | 8.75 | 12/1/20 | 125,000 | 128,437 | |||||
APX Group, | 7.88 | 12/1/22 | 75,000 | 81,094 | |||||
Arconic, | 5.13 | 10/1/24 | 275,000 | 295,998 | |||||
Arconic, | 5.95 | 2/1/37 | 100,000 | 108,250 | |||||
Ashtead Capital, | 5.63 | 10/1/24 | 75,000 | b | 80,179 | ||||
BCD Acquisition, | 9.63 | 9/15/23 | 75,000 | b | 82,312 | ||||
Blueline Rental, | 9.25 | 3/15/24 | 75,000 | b | 81,750 | ||||
Bombardier, | 7.75 | 3/15/20 | 50,000 | b | 53,813 | ||||
Bombardier, | 8.75 | 12/1/21 | 350,000 | b | 391,125 | ||||
Bombardier, | 6.13 | 1/15/23 | 75,000 | b | 75,141 | ||||
Builders Firstsource, | 5.63 | 9/1/24 | 75,000 | b | 79,500 | ||||
Cenveo, | 6.00 | 8/1/19 | 100,000 | b | 69,500 | ||||
Ceridian HCM Holding, | 11.00 | 3/15/21 | 50,000 | b | 52,875 | ||||
Clean Harbors, | 5.13 | 6/1/21 | 125,000 | 127,031 |
26
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Industrials - .4% (continued) | |||||||||
CNH Industrial, | 4.50 | 8/15/23 | 75,000 | 79,500 | |||||
CNH Industrial Capital, | 4.38 | 4/5/22 | 50,000 | 53,188 | |||||
Gates Global, | 6.00 | 7/15/22 | 75,000 | b | 77,531 | ||||
General Cable, | 5.75 | 10/1/22 | 75,000 | 77,250 | |||||
GFL Environmental, | 9.88 | 2/1/21 | 75,000 | b | 80,156 | ||||
Great Lakes Dredge & Dock Corp, | 8.00 | 5/15/22 | 75,000 | 79,125 | |||||
Griffon, | 5.25 | 3/1/22 | 75,000 | 76,478 | |||||
Grinding Media, | 7.38 | 12/15/23 | 75,000 | b | 81,750 | ||||
HD Supply, | 5.75 | 4/15/24 | 75,000 | b | 81,094 | ||||
Hertz, | 5.88 | 10/15/20 | 75,000 | 74,888 | |||||
Hertz, | 6.25 | 10/15/22 | 75,000 | 72,281 | |||||
Hertz, | 5.50 | 10/15/24 | 75,000 | b | 67,875 | ||||
Hornbeck Offshore Service, | 5.00 | 3/1/21 | 75,000 | 40,125 | |||||
Huntington Ingalls Industries, | 5.00 | 11/15/25 | 75,000 | b | 81,426 | ||||
IHS Markit, | 4.75 | 2/15/25 | 75,000 | b | 79,500 | ||||
KLX, | 5.88 | 12/1/22 | 75,000 | b | 78,750 | ||||
Kratos Defense & Security Solutions, | 7.00 | 5/15/19 | 36,000 | 36,765 | |||||
Navios Maritime Holdings, | 7.38 | 1/15/22 | 75,000 | b | 61,875 | ||||
Ply Gem Industries, | 6.50 | 2/1/22 | 75,000 | 78,094 | |||||
Rent-A-Center, | 6.63 | 11/15/20 | 50,000 | 46,188 | |||||
Ritchie Bros Auctioneers, | 5.38 | 1/15/25 | 75,000 | b | 79,125 | ||||
Sensata Technologies, | 4.88 | 10/15/23 | 75,000 | b | 79,031 | ||||
Sensata Technologies UK Financing, | 6.25 | 2/15/26 | 75,000 | b | 82,687 |
27
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Industrials - .4% (continued) | |||||||||
Standard Industries, | 6.00 | 10/15/25 | 75,000 | b | 81,469 | ||||
Stena, | 7.00 | 2/1/24 | 75,000 | b | 72,750 | ||||
Terex, | 5.63 | 2/1/25 | 125,000 | b | 133,281 | ||||
TransDigm, | 6.00 | 7/15/22 | 125,000 | 130,600 | |||||
TransDigm, | 6.50 | 7/15/24 | 75,000 | 77,625 | |||||
TransDigm, | 6.38 | 6/15/26 | 75,000 | 76,688 | |||||
Triumph Group, | 4.88 | 4/1/21 | 100,000 | 99,500 | |||||
United Rentals North America, | 5.50 | 5/15/27 | 200,000 | 214,500 | |||||
United Rentals North America, | 4.63 | 7/15/23 | 75,000 | 78,703 | |||||
US Concrete, | 6.38 | 6/1/24 | 75,000 | 81,000 | |||||
Vertiv Group, | 9.25 | 10/15/24 | 75,000 | b | 82,500 | ||||
Virgin Australia Holdings, | 7.88 | 10/15/21 | 50,000 | b | 51,875 | ||||
WESCO Distribution, | 5.38 | 12/15/21 | 75,000 | 77,576 | |||||
Xerium Technologies, | 9.50 | 8/15/21 | 100,000 | 102,970 | |||||
XPO Logistics, | 6.50 | 6/15/22 | 50,000 | b | 52,697 | ||||
XPO Logistics, | 6.13 | 9/1/23 | 300,000 | b | 316,875 | ||||
6,472,590 | |||||||||
Information Technology - .3% | |||||||||
Advanced Micro Devices, | 7.50 | 8/15/22 | 150,000 | 170,062 | |||||
Amkor Technology, | 6.38 | 10/1/22 | 75,000 | 77,625 | |||||
BMC Software Finance, | 8.13 | 7/15/21 | 125,000 | b | 128,594 | ||||
Boxer Parent, | 9.00 | 10/15/19 | 75,000 | b | 75,235 | ||||
Camelot Finance, | 7.88 | 10/15/24 | 75,000 | b | 80,812 | ||||
CDW, | 5.50 | 12/1/24 | 75,000 | 83,437 |
28
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Information Technology - .3% (continued) | |||||||||
CDW, | 5.00 | 9/1/25 | 75,000 | 78,844 | |||||
Conduent Finance, | 10.50 | 12/15/24 | 75,000 | b | 88,500 | ||||
Dell International, | 5.88 | 6/15/21 | 350,000 | b | 367,413 | ||||
EMC, | 2.65 | 6/1/20 | 350,000 | 345,955 | |||||
Everi Payments, | 10.00 | 1/15/22 | 100,000 | 109,250 | |||||
First Data, | 5.75 | 1/15/24 | 300,000 | b | 315,000 | ||||
First Data, | 5.38 | 8/15/23 | 250,000 | b | 260,625 | ||||
Genesys Telecommunications Laboratories, | 10.00 | 11/30/24 | 75,000 | b | 84,844 | ||||
Harland Clarke Holdings, | 9.25 | 3/1/21 | 50,000 | b | 51,125 | ||||
Infor Software Parent, | 7.13 | 5/1/21 | 125,000 | b | 129,062 | ||||
Infor US, | 6.50 | 5/15/22 | 50,000 | 52,490 | |||||
Informatica, | 7.13 | 7/15/23 | 75,000 | b | 76,688 | ||||
Ingram Micro, | 5.45 | 12/15/24 | 75,000 | 76,769 | |||||
Micron Technology, | 5.25 | 8/1/23 | 75,000 | b | 78,878 | ||||
NCR, | 4.63 | 2/15/21 | 75,000 | 76,313 | |||||
NCR, | 4.75 | 12/15/21 | 125,000 | b | 130,000 | ||||
NCR, | 5.00 | 7/15/22 | 75,000 | 77,063 | |||||
Netflix, | 4.88 | 4/15/28 | 100,000 | b | 99,520 | ||||
Nuance Communications, | 5.63 | 12/15/26 | 75,000 | b | 80,062 | ||||
NXP Funding, | 4.63 | 6/15/22 | 50,000 | b | 53,688 | ||||
NXP Funding, | 3.88 | 9/1/22 | 75,000 | b | 78,094 | ||||
NXP Funding, | 4.13 | 6/1/21 | 125,000 | b | 130,937 | ||||
Open Text, | 5.63 | 1/15/23 | 75,000 | b | 78,844 |
29
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Information Technology - .3% (continued) | |||||||||
Open Text, | 5.88 | 6/1/26 | 75,000 | b | 81,469 | ||||
Rackspace Hosting, | 8.63 | 11/15/24 | 75,000 | b | 79,172 | ||||
Riverbed Technology, | 8.88 | 3/1/23 | 75,000 | b | 67,406 | ||||
Sabre Global, | 5.25 | 11/15/23 | 75,000 | b | 78,938 | ||||
Solera Finance, | 10.50 | 3/1/24 | 75,000 | b | 85,875 | ||||
Sungard Availability Services Capital, | 8.75 | 4/1/22 | 100,000 | b | 69,500 | ||||
Symantec, | 5.00 | 4/15/25 | 75,000 | b | 78,563 | ||||
TIBCO Software, | 11.38 | 12/1/21 | 125,000 | b | 136,875 | ||||
Veritas US, | 10.50 | 2/1/24 | 75,000 | b | 80,250 | ||||
Western Digital, | 10.50 | 4/1/24 | 300,000 | 352,800 | |||||
Zebra Technologies, | 7.25 | 10/15/22 | 21,000 | 22,221 | |||||
4,668,798 | |||||||||
Materials - .5% | |||||||||
Alcoa Nederland Holding, | 6.75 | 9/30/24 | 75,000 | b | 83,739 | ||||
Alcoa Nederland Holding, | 7.00 | 9/30/26 | 75,000 | b | 85,875 | ||||
Aleris International, | 7.88 | 11/1/20 | 100,000 | 100,308 | |||||
Aleris International, | 9.50 | 4/1/21 | 75,000 | b | 80,344 | ||||
Allegheny Technologies, | 5.95 | 1/15/21 | 75,000 | 77,531 | |||||
Allegheny Technologies, | 7.88 | 8/15/23 | 75,000 | 82,312 | |||||
American Builders & Contractors Supply, | 5.63 | 4/15/21 | 27,000 | b | 27,844 | ||||
Arcelormittal, | 6.13 | 6/1/25 | 75,000 | 86,885 | |||||
ArcelorMittal, | 5.75 | 8/5/20 | 70,000 | 76,300 | |||||
ArcelorMittal, | 6.00 | 3/1/21 | 50,000 | 55,000 | |||||
ARD Finance, | 7.13 | 9/15/23 | 75,000 | 80,062 |
30
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Materials - .5% (continued) | |||||||||
Ardagh Packaging Finance, | 6.00 | 6/30/21 | 50,000 | b | 51,625 | ||||
Ardagh Packaging Finance, | 4.63 | 5/15/23 | 75,000 | b | 77,344 | ||||
Ardagh Packaging Finance, | 7.25 | 5/15/24 | 75,000 | b | 82,687 | ||||
Ashland, | 4.75 | 8/15/22 | 135,000 | 142,789 | |||||
Ashland, | 6.88 | 5/15/43 | 50,000 | 56,250 | |||||
Axalta Coating Systems, | 4.88 | 8/15/24 | 75,000 | b | 78,563 | ||||
Ball, | 5.00 | 3/15/22 | 350,000 | 379,312 | |||||
Ball, | 4.38 | 12/15/20 | 50,000 | 52,688 | |||||
Ball, | 4.00 | 11/15/23 | 75,000 | 77,344 | |||||
Ball, | 5.25 | 7/1/25 | 75,000 | 82,687 | |||||
Berry Global, | 5.13 | 7/15/23 | 75,000 | 79,031 | |||||
Berry Global, | 5.50 | 5/15/22 | 75,000 | 77,906 | |||||
Blue Cube Spinco, | 9.75 | 10/15/23 | 75,000 | 90,187 | |||||
Blue Cube Spinco, | 10.00 | 10/15/25 | 75,000 | 91,687 | |||||
BlueScope Steel Finance, | 6.50 | 5/15/21 | 125,000 | b | 130,937 | ||||
Cascades, | 5.50 | 7/15/22 | 75,000 | b | 77,625 | ||||
Century Aluminum Co, | 7.50 | 6/1/21 | 50,000 | b | 51,500 | ||||
CF Industries, | 7.13 | 5/1/20 | 50,000 | 55,125 | |||||
CF Industries, | 3.45 | 6/1/23 | 75,000 | 74,250 | |||||
CF Industries, | 4.95 | 6/1/43 | 75,000 | 69,000 | |||||
CF Industries, | 5.38 | 3/15/44 | 75,000 | 72,281 | |||||
Chemours, | 6.63 | 5/15/23 | 75,000 | 79,875 | |||||
Chemours, | 7.00 | 5/15/25 | 75,000 | 84,000 |
31
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Materials - .5% (continued) | |||||||||
CIMPOR Financial Operations, | 5.75 | 7/17/24 | 75,000 | b | 71,906 | ||||
Cleveland-Cliffs, | 5.75 | 3/1/25 | 75,000 | b | 73,219 | ||||
Consolidated Energy Finance, | 6.75 | 10/15/19 | 75,000 | b | 76,406 | ||||
Constellium, | 6.63 | 3/1/25 | 75,000 | b | 78,000 | ||||
Coveris Holdings, | 7.88 | 11/1/19 | 125,000 | b | 122,500 | ||||
Crown Americas, | 4.50 | 1/15/23 | 75,000 | 78,270 | |||||
CVR Partners, | 9.25 | 6/15/23 | 75,000 | b | 80,156 | ||||
Flex Acquisition, | 6.88 | 1/15/25 | 75,000 | b | 77,672 | ||||
FMG Resources August 2006, | 4.75 | 5/15/22 | 50,000 | b | 51,250 | ||||
Freeport-McMoRan, | 4.00 | 11/14/21 | 50,000 | 50,625 | |||||
Freeport-McMoRan, | 3.55 | 3/1/22 | 350,000 | 347,375 | |||||
Freeport-McMoRan, | 3.88 | 3/15/23 | 300,000 | 297,375 | |||||
Freeport-McMoRan, | 5.40 | 11/14/34 | 75,000 | 73,500 | |||||
GCP Applied Technologies, | 9.50 | 2/1/23 | 75,000 | b | 84,187 | ||||
H.B. Fuller, | 4.00 | 2/15/27 | 60,000 | 57,000 | |||||
Hexion, | 6.63 | 4/15/20 | 250,000 | 223,750 | |||||
Hudbay Minerals, | 7.25 | 1/15/23 | 75,000 | b | 81,187 | ||||
Hudbay Minerals, | 7.63 | 1/15/25 | 75,000 | b | 83,062 | ||||
Huntsman International, | 4.88 | 11/15/20 | 125,000 | 131,875 | |||||
Imperial Metals, | 7.00 | 3/15/19 | 135,000 | b | 125,212 | ||||
INEOS Group Holdings, | 5.63 | 8/1/24 | 75,000 | b | 78,375 | ||||
Kinross Gold, | 5.13 | 9/1/21 | 75,000 | 80,062 | |||||
Koppers, | 6.00 | 2/15/25 | 75,000 | b | 80,625 |
32
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Materials - .5% (continued) | |||||||||
Lundin Mining, | 7.50 | 11/1/20 | 75,000 | b | 78,015 | ||||
Momentive Performance Materials, | 3.88 | 10/24/21 | 75,000 | 78,765 | |||||
Novelis, | 6.25 | 8/15/24 | 75,000 | b | 79,312 | ||||
Novelis, | 5.88 | 9/30/26 | 75,000 | b | 77,484 | ||||
Owens-Brockway Glass Container, | 5.00 | 1/15/22 | 300,000 | b | 318,375 | ||||
Platform Specialty Products, | 10.38 | 5/1/21 | 125,000 | b | 135,937 | ||||
Platform Specialty Products, | 6.50 | 2/1/22 | 125,000 | b | 129,844 | ||||
PolyOne, | 5.25 | 3/15/23 | 75,000 | 81,000 | |||||
PQ, | 6.75 | 11/15/22 | 75,000 | b | 81,375 | ||||
Rayonier AM Products, | 5.50 | 6/1/24 | 75,000 | b | 73,125 | ||||
Resolute Forest Products, | 5.88 | 5/15/23 | 75,000 | 76,031 | |||||
Reynolds Group Issuer, | 5.13 | 7/15/23 | 75,000 | b | 78,188 | ||||
Reynolds Group Issuer, | 7.00 | 7/15/24 | 75,000 | b | 80,203 | ||||
Sealed Air, | 6.50 | 12/1/20 | 50,000 | b | 55,438 | ||||
Signode Industrial Group, | 6.38 | 5/1/22 | 75,000 | b | 78,281 | ||||
Silgan Holdings, | 5.00 | 4/1/20 | 75,000 | 76,031 | |||||
St. Marys Cement, | 5.75 | 1/28/27 | 75,000 | b | 79,421 | ||||
Standard Industries, | 5.13 | 2/15/21 | 125,000 | b | 129,531 | ||||
Standard Industries, | 5.50 | 2/15/23 | 75,000 | b | 79,312 | ||||
Steel Dynamics, | 5.13 | 10/1/21 | 125,000 | 128,594 | |||||
Steel Dynamics, | 5.00 | 12/15/26 | 75,000 | 79,500 | |||||
Taseko Mines, | 8.75 | 6/15/22 | 100,000 | b | 101,750 | ||||
Teck Resources, | 4.75 | 1/15/22 | 50,000 | 53,000 |
33
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Materials - .5% (continued) | |||||||||
Teck Resources, | 3.75 | 2/1/23 | 75,000 | 75,985 | |||||
Teck Resources, | 8.50 | 6/1/24 | 75,000 | b | 86,062 | ||||
Teck Resources, | 5.40 | 2/1/43 | 100,000 | 102,500 | |||||
TPC Group, | 8.75 | 12/15/20 | 50,000 | b | 49,125 | ||||
Tronox Finance, | 7.50 | 3/15/22 | 125,000 | b | 131,719 | ||||
United States Steel, | 8.38 | 7/1/21 | 75,000 | b | 82,031 | ||||
United States Steel, | 6.88 | 8/15/25 | 100,000 | 101,937 | |||||
WR Grace & Co-Conn, | 5.13 | 10/1/21 | 75,000 | b | 80,812 | ||||
8,393,165 | |||||||||
Real Estate - .1% | |||||||||
Equinix, | 5.38 | 4/1/23 | 75,000 | 77,813 | |||||
Equinix, | 5.88 | 1/15/26 | 275,000 | 298,719 | |||||
ESH Hospitality, | 5.25 | 5/1/25 | 75,000 | b | 77,719 | ||||
FelCor Lodging, | 5.63 | 3/1/23 | 75,000 | 77,906 | |||||
GEO Group, | 6.00 | 4/15/26 | 100,000 | 105,000 | |||||
Iron Mountain, | 6.00 | 8/15/23 | 75,000 | 79,312 | |||||
Iron Mountain, | 5.75 | 8/15/24 | 125,000 | 128,750 | |||||
iStar, | 6.00 | 4/1/22 | 100,000 | 104,250 | |||||
iStar, | 5.00 | 7/1/19 | 150,000 | 151,594 | |||||
MPT Operating Partnership, | 5.25 | 8/1/26 | 75,000 | 78,464 | |||||
Realogy Group, | 5.25 | 12/1/21 | 50,000 | b | 51,813 | ||||
Realogy Group, | 4.88 | 6/1/23 | 75,000 | b | 77,603 | ||||
SBA Communications, | 4.88 | 7/15/22 | 200,000 | 207,000 | |||||
Starwood Property Trust, | 5.00 | 12/15/21 | 75,000 | 78,750 |
34
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Real Estate - .1% (continued) | |||||||||
Uniti Group, | 6.00 | 4/15/23 | 75,000 | b | 75,281 | ||||
Uniti Group, | 8.25 | 10/15/23 | 300,000 | 289,500 | |||||
1,959,474 | |||||||||
Telecommunications - .4% | |||||||||
CenturyLink, | 7.60 | 9/15/39 | 120,000 | 111,300 | |||||
CenturyLink, | 6.45 | 6/15/21 | 75,000 | 79,508 | |||||
CenturyLink, | 5.80 | 3/15/22 | 125,000 | 127,344 | |||||
CenturyLink, | 5.63 | 4/1/20 | 125,000 | 130,781 | |||||
CenturyLink, | 7.50 | 4/1/24 | 175,000 | 186,375 | |||||
Cincinnati Bell, | 7.00 | 7/15/24 | 75,000 | b | 75,000 | ||||
CommScope, | 5.00 | 6/15/21 | 75,000 | b | 76,781 | ||||
CommScope, | 5.50 | 6/15/24 | 75,000 | b | 78,375 | ||||
CommScope Technologies, | 6.00 | 6/15/25 | 75,000 | b | 79,500 | ||||
Consolidated Communications, | 6.50 | 10/1/22 | 75,000 | 73,875 | |||||
Frontier Communications, | 10.50 | 9/15/22 | 300,000 | 263,910 | |||||
Frontier Communications, | 7.63 | 4/15/24 | 100,000 | 77,000 | |||||
Frontier Communications, | 11.00 | 9/15/25 | 300,000 | 255,375 | |||||
GCI, | 6.75 | 6/1/21 | 75,000 | 76,969 | |||||
Hughes Satellite Systems, | 7.63 | 6/15/21 | 180,000 | 202,702 | |||||
Hughes Satellite Systems, | 6.50 | 6/15/19 | 190,000 | 202,326 | |||||
Inmarsat Finance, | 4.88 | 5/15/22 | 125,000 | b | 128,150 | ||||
Intelsat Jackson Holding, | 9.75 | 7/15/25 | 150,000 | b | 151,500 | ||||
Intelsat Jackson Holdings, | 7.25 | 10/15/20 | 210,000 | 203,112 | |||||
Intelsat Jackson Holdings, | 7.50 | 4/1/21 | 200,000 | 190,500 |
35
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Telecommunications - .4% (continued) | |||||||||
Intelsat Jackson Holdings, | 5.50 | 8/1/23 | 150,000 | 128,437 | |||||
Intelsat Jackson Holdings, | 8.00 | 2/15/24 | 75,000 | b | 80,062 | ||||
Level 3 Financing, | 5.38 | 8/15/22 | 300,000 | 309,834 | |||||
Nokia, | 3.38 | 6/12/22 | 50,000 | 49,938 | |||||
Sable International Finance, | 6.88 | 8/1/22 | 75,000 | b | 80,625 | ||||
SoftBank Group, | 4.50 | 4/15/20 | 50,000 | b | 51,765 | ||||
Sprint, | 7.88 | 9/15/23 | 300,000 | 336,000 | |||||
Sprint, | 7.13 | 6/15/24 | 300,000 | 325,032 | |||||
Sprint Capital, | 6.88 | 11/15/28 | 100,000 | 106,937 | |||||
Sprint Capital, | 8.75 | 3/15/32 | 100,000 | 121,500 | |||||
Sprint Communications, | 9.00 | 11/15/18 | 56,000 | b | 59,430 | ||||
Sprint Communications, | 7.00 | 3/1/20 | 100,000 | b | 108,750 | ||||
Sprint Communications, | 6.00 | 11/15/22 | 300,000 | 315,750 | |||||
Telecom Italia, | 5.30 | 5/30/24 | 75,000 | b | 81,094 | ||||
Telecom Italia Capital, | 7.18 | 6/18/19 | 150,000 | 162,187 | |||||
Telecom Italia Capital, | 6.38 | 11/15/33 | 100,000 | 116,500 | |||||
Telecom Italia Capital, | 7.20 | 7/18/36 | 150,000 | 186,600 | |||||
Telesat, | 8.88 | 11/15/24 | 75,000 | b | 84,187 | ||||
T-Mobile USA, | 4.00 | 4/15/22 | 50,000 | 51,844 | |||||
T-Mobile USA, | 6.63 | 4/1/23 | 225,000 | 236,812 | |||||
T-Mobile USA, | 6.38 | 3/1/25 | 250,000 | 270,625 | |||||
T-Mobile USA, | 5.38 | 4/15/27 | 200,000 | 217,000 | |||||
T-Mobile USA, | 6.13 | 1/15/22 | 50,000 | 52,125 |
36
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Telecommunications - .4% (continued) | |||||||||
West, | 4.75 | 7/15/21 | 50,000 | b | 50,938 | ||||
Wind Acquisition Finance, | 6.50 | 4/30/20 | 125,000 | b | 129,419 | ||||
Wind Acquisition Finance, | 4.75 | 7/15/20 | 50,000 | b | 50,720 | ||||
Windstream Services, | 6.38 | 8/1/23 | 75,000 | 54,938 | |||||
Zayo Group, | 6.00 | 4/1/23 | 75,000 | 79,219 | |||||
Zayo Group, | 6.38 | 5/15/25 | 75,000 | 81,008 | |||||
Zayo Group, | 5.75 | 1/15/27 | 75,000 | b | 79,219 | ||||
6,828,878 | |||||||||
Utilities - .1% | |||||||||
AES, | 4.88 | 5/15/23 | 300,000 | 308,250 | |||||
AmeriGas Partners, | 5.88 | 8/20/26 | 75,000 | 78,375 | |||||
AmeriGas Partners, | 5.63 | 5/20/24 | 75,000 | 79,406 | |||||
Calpine, | 6.00 | 1/15/22 | 200,000 | b | 207,250 | ||||
Calpine, | 5.25 | 6/1/26 | 130,000 | b | 130,812 | ||||
Dynegy, | 7.38 | 11/1/22 | 150,000 | 161,062 | |||||
Dynegy, | 8.13 | 1/30/26 | 120,000 | b | 133,350 | ||||
Dynegy, | 7.63 | 11/1/24 | 75,000 | 82,312 | |||||
Enel, | 8.75 | 9/24/73 | 75,000 | b,c | 92,812 | ||||
FirstEnergy Solutions, | 6.80 | 8/15/39 | 70,000 | 35,700 | |||||
InterGen, | 7.00 | 6/30/23 | 75,000 | b | 73,125 | ||||
NGL Energy Partners, | 6.13 | 3/1/25 | 75,000 | 71,438 | |||||
NRG Energy, | 6.25 | 7/15/22 | 75,000 | 79,125 | |||||
NRG Energy, | 6.63 | 3/15/23 | 150,000 | 155,625 | |||||
NRG Energy, | 7.25 | 5/15/26 | 75,000 | 81,656 |
37
CONSOLIDATED STATEMENT OF INVESTMENTS (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 4.7% (continued) | |||||||||
Utilities - .1% (continued) | |||||||||
NRG Energy, | 6.63 | 1/15/27 | 75,000 | 80,250 | |||||
NRG Yield Operating, | 5.38 | 8/15/24 | 75,000 | 78,563 | |||||
Talen Energy Supply, | 6.50 | 9/15/24 | 75,000 | b | 63,750 | ||||
Talen Energy Supply, | 4.63 | 7/15/19 | 14,000 | b | 14,210 | ||||
Talen Energy Supply, | 7.00 | 10/15/27 | 50,000 | 32,750 | |||||
TerraForm Power Operating, | 9.75 | 8/15/22 | 75,000 | b | 83,437 | ||||
TerraForm Power Operating, | 6.38 | 2/1/23 | 150,000 | b,c | 157,875 | ||||
2,281,133 | |||||||||
Total Bonds and Notes | 75,416,650 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 4.6% | |||||||||
Exchange-Traded Funds - 4.6% | |||||||||
iShares TIPS Bond ETF | 645,668 | 73,477,018 | |||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount ($) | Value ($) | |||||
Options Purchased - .2% | |||||||||
Call Options - .1% | |||||||||
Swiss Market Index, | 9,123 | 12/2017 | 36,311,013 | 777,846 | |||||
Swiss Market Index, | 9,246 | 12/2017 | 17,474,241 | 216,316 | |||||
994,162 | |||||||||
Put Options - .1% | |||||||||
S&P E-Mini Index, | 1,975 | 6/2018 | 221,200,000 | 1,400,000 | |||||
S&P E-Mini Index, | 1,950 | 3/2018 | 218,400,000 | 498,400 | |||||
1,898,400 | |||||||||
Total Options Purchased | 2,892,562 |
38
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Short-Term Investments - 74.3% | |||||||||
U. S. Treasury Bills | 1.08 | 12/7/17 | 82,215,000 | d | 82,134,429 | ||||
U. S. Treasury Bills | 0.99 | 12/14/17 | 1,104,243,000 | 1,102,970,228 | |||||
Total Short-Term Investments | 1,185,104,657 | ||||||||
Description | Shares | Value ($) | |||||||
Other Investment - 13.3% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 213,024,668 | e | 213,024,668 | ||||||
Total Investments (cost $1,551,076,408) | 97.1% | 1,549,915,555 | |||||||
Cash and Receivables (Net) | 2.9% | 46,036,838 | |||||||
Net Assets | 100.0% | 1,595,952,393 |
ETF—Exchange-Traded Fund
LIBOR—London Interbank Offered Rate
TIPS—Treasury Inflation Protected Securities
a Amount stated in U.S. Dollars unless otherwise noted above.
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 October 31, 2017, these securities were valued at $30,636,743 or 1.92% of net assets.
c Variable rate security—rate shown is the interest rate in effect at period end.
d Held by a counterparty for open futures contracts.
e Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Short-Term/Money Market Investments | 87.6 |
Corporate Bonds | 4.7 |
Exchange-Traded Funds | 4.6 |
Options Purchased | .2 |
97.1 |
† Based on net assets.
See notes to consolidated financial statements.
39
CONSOLIDATED STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 175,712,091 | 587,389,121 | 550,076,544 | 213,024,668 | 13.3 | 1,298,113 |
See notes to consolidated financial statements.
40
CONSOLIDATED STATEMENT OF FUTURES
October 31, 2017
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
Australian 10 Year Bond | 3,870 | 12/2017 | 377,575,026a | 381,650,908 | 4,075,882 | |
Brent Crude | 112 | 6/2018 | 6,264,688b | 6,702,080 | 437,392 | |
CAC 40 10 Euro | 661 | 11/2017 | 41,486,303a | 42,359,653 | 873,350 | |
Canadian 10 year Bond | 2,280 | 12/2017 | 239,386,399a | 242,880,707 | 3,494,308 | |
Cocoa | 192 | 3/2018 | 4,039,349b | 4,010,880 | (28,469) | |
Cotton No.2 | 424 | 12/2017 | 15,094,480b | 14,496,560 | (597,920) | |
Crude Soybean Oil | 567 | 1/2018 | 11,207,307b | 11,879,784 | 672,477 | |
DAX | 222 | 12/2017 | 81,452,752a | 85,479,102 | 4,026,350 | |
Euro-Bund Option Put 175 | 1,081 | 12/2017 | 15,767,227a | 15,425,228 | (341,999) | |
FTSE 100 | 1,860 | 12/2017 | 182,688,476a | 184,473,324 | 1,784,848 | |
FTSE/MIB Index | 228 | 12/2017 | 29,378,526a | 30,242,242 | 863,716 | |
Gasoline | 132 | 2/2018 | 9,207,258b | 9,501,307 | 294,049 | |
Gold 100 oz | 151 | 12/2017 | 18,663,010b | 19,184,550 | 521,540 | |
Hang Seng | 90 | 11/2017 | 16,284,712a | 16,266,311 | (18,401) | |
IBEX 35 Index | 580 | 11/2017 | 68,448,759a | 71,246,065 | 2,797,306 | |
Live Cattle | 15 | 12/2017 | 681,824b | 753,750 | 71,926 | |
LME Primary Aluminum | 29 | 1/2018 | 1,555,937b | 1,564,913 | 8,976 | |
LME Primary Nickel | 11 | 1/2018 | 703,485b | 811,536 | 108,051 | |
LME Refined Pig Lead | 4 | 1/2018 | 256,024b | 241,300 | (14,724) | |
LME Zinc | 7 | 1/2018 | 574,196b | 573,300 | (896) | |
Low Sulphur Gas oil | 281 | 1/2018 | 14,426,616b | 15,363,675 | 937,059 | |
NY Harbor ULSD | 53 | 2/2018 | 3,880,895b | 4,175,308 | 294,413 | |
Platinum | 56 | 1/2018 | 2,761,414b | 2,574,880 | (186,534) | |
S&P/Toronto Stock Exchange 60 Index | 82 | 12/2017 | 11,494,365a | 12,016,836 | 522,471 | |
Soybean | 113 | 1/2018 | 5,468,023b | 5,563,837 | 95,814 | |
Soybean Meal | 85 | 1/2018 | 2,691,144b | 2,667,300 | (23,844) | |
Standard & Poor's 500 E-mini | 3,251 | 12/2017 | 404,848,196 | 418,192,385 | 13,344,189 | |
Topix | 1,354 | 12/2017 | 197,077,525a | 209,938,173 | 12,860,648 | |
U.S. Treasury 10 Year Notes | 8,596 | 12/2017 | 1,081,718,487 | 1,073,962,750 | (7,755,737) | |
Futures Short | ||||||
Amsterdam Exchange Index | 115 | 11/2017 | (14,535,110)a | (14,779,552) | (244,442) | |
ASX SPI 200 | 114 | 12/2017 | (12,806,149)a | (12,843,202) | (37,053) | |
Chicago SRW Wheat | 428 | 3/2018 | (9,964,734)b | (9,330,400) | 634,334 | |
Coffee "C" | 171 | 3/2018 | (8,149,995)b | (8,246,475) | (96,480) | |
Copper | 24 | 3/2018 | (1,826,016)b | (1,872,600) | (46,584) | |
Corn No.2 Yellow | 642 | 3/2018 | (11,647,577)b | (11,539,950) | 107,627 |
41
CONSOLIDATED STATEMENT OF FUTURES (continued)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Short (continued) | ||||||
Crude Oil | 141 | 6/2018 | (7,367,617)b | (7,664,760) | (297,143) | |
Euro-Bond | 1,460 | 12/2017 | (275,773,135)a | (276,785,714) | (1,012,579) | |
Hard Red Winter Wheat | 366 | 3/2018 | (8,293,790)b | (7,951,350) | 342,440 | |
Lean Hog | 27 | 2/2018 | (691,137)b | (788,400) | (97,263) | |
Long Gilt | 2,308 | 12/2017 | (388,675,279)a | (381,115,959) | 7,559,320 | |
Natural Gas | 306 | 3/2018 | (9,779,401)b | (9,180,000) | 599,401 | |
NYMEX Palladium | 31 | 12/2017 | (2,728,407)b | (3,035,365) | (306,958) | |
Silver | 6 | 12/2017 | (501,839)b | (500,790) | 1,049 | |
Sugar No.11 | 393 | 3/2018 | (6,450,893)b | (6,487,958) | (37,065) | |
Gross Unrealized Appreciation | 57,328,936 | |||||
Gross Unrealized Depreciation | (11,144,091) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
b These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
42
CONSOLIDATED STATEMENT OF OPTIONS WRITTEN
October 31, 2017
Description/ Expiration Date/ Exercise Price | Counterparty | Number of Contracts | Notional Amount | Value ($) | ||
Call Options: | ||||||
S&P 500 E-mini Index | Morgan Stanley Capital Services | 4,472 | 583,596,000 | (536,640) | ||
Put Options: | ||||||
Swiss Market Index | Goldman Sachs International | 3,980 | 36,311,013 | (335,644) | ||
Swiss Market Index | Goldman Sachs International | 1,890 | 17,474,241 | (239,659) | ||
Total Options Written (premiums received $1,612,885) | (1,111,943) |
See notes to consolidated financial statements.
43
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS October 31, 2017
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Bank of America | |||||
Australian Dollar | 7,639,000 | United States Dollar | 5,844,523 | 12/20/17 | (794) |
British Pound | 21,924,000 | United States Dollar | 28,780,271 | 12/20/17 | 385,240 |
Japanese Yen | 3,753,706,000 | United States Dollar | 33,210,016 | 12/20/17 | (110,809) |
Norwegian Krone | 27,954,000 | United States Dollar | 3,419,513 | 12/20/17 | 7,449 |
New Zealand Dollar | 20,078,000 | United States Dollar | 14,105,448 | 12/20/17 | (378,652) |
Swedish Krona | 81,569,000 | United States Dollar | 9,767,046 | 12/20/17 | 7,924 |
United States Dollar | 18,716,336 | Canadian Dollar | 24,116,000 | 12/20/17 | 13,547 |
United States Dollar | 64,860,795 | Euro | 55,776,000 | 12/20/17 | (303,215) |
United States Dollar | 22,795,950 | Norwegian Krone | 181,543,000 | 12/20/17 | 540,069 |
Bank of Montreal | |||||
Australian Dollar | 13,764,800 | United States Dollar | 10,593,803 | 12/20/17 | (63,922) |
Canadian Dollar | 40,753,459 | United States Dollar | 33,254,945 | 12/20/17 | (1,649,233) |
Swiss Franc | 50,341,229 | United States Dollar | 52,829,706 | 12/20/17 | (2,187,494) |
Euro | 19,865,547 | United States Dollar | 23,884,446 | 12/20/17 | (675,204) |
New Zealand Dollar | 32,130,230 | United States Dollar | 22,355,881 | 12/20/17 | (389,296) |
Swedish Krona | 176,238,780 | United States Dollar | 21,614,342 | 12/20/17 | (494,445) |
United States Dollar | 26,477,551 | Canadian Dollar | 33,858,300 | 12/20/17 | 219,272 |
United States Dollar | 2,465,964 | Swiss Franc | 2,432,500 | 12/20/17 | 18,920 |
United States Dollar | 4,665,158 | Euro | 3,940,300 | 12/20/17 | 61,641 |
United States Dollar | 24,724,673 | British Pound | 18,909,450 | 12/20/17 | (430,580) |
United States Dollar | 47,439,691 | Japanese Yen | 5,339,214,104 | 12/20/17 | 359,885 |
Citigroup | |||||
Australian Dollar | 19,499,800 | United States Dollar | 15,300,924 | 12/20/17 | (383,848) |
Canadian Dollar | 24,677,157 | United States Dollar | 20,212,547 | 12/20/17 | (1,074,561) |
44
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup (continued) | |||||
Swiss Franc | 19,693,114 | United States Dollar | 20,648,271 | 12/20/17 | (837,415) |
British Pound | 13,452,000 | United States Dollar | 18,080,755 | 12/20/17 | (185,551) |
Japanese Yen | 5,502,054,289 | United States Dollar | 49,001,456 | 12/20/17 | (485,767) |
New Zealand Dollar | 6,558,310 | United States Dollar | 4,699,540 | 12/20/17 | (215,798) |
Swedish Krona | 96,435,775 | United States Dollar | 11,864,631 | 12/20/17 | (308,073) |
United States Dollar | 42,946,769 | Australian Dollar | 54,221,382 | 12/20/17 | 1,468,166 |
United States Dollar | 20,452,851 | Canadian Dollar | 25,481,000 | 12/20/17 | 691,457 |
United States Dollar | 41,208,487 | Euro | 34,699,232 | 12/20/17 | 668,809 |
United States Dollar | 79,067,406 | British Pound | 59,558,587 | 12/20/17 | (163,419) |
United States Dollar | 99,272,653 | Japanese Yen | 10,897,500,009 | 12/20/17 | 3,181,322 |
United States Dollar | 6,685,061 | Norwegian Krone | 52,859,832 | 12/20/17 | 204,822 |
United States Dollar | 12,447,381 | Swedish Krona | 100,555,016 | 12/20/17 | 397,187 |
Credit Suisse International | |||||
Euro | 33,109,244 | United States Dollar | 39,763,043 | 12/20/17 | (1,080,974) |
United States Dollar | 33,774,108 | British Pound | 25,402,852 | 12/20/17 | (19,322) |
United States Dollar | 5,346,488 | New Zealand Dollar | 7,366,713 | 12/20/17 | 310,062 |
United States Dollar | 22,756,246 | Swedish Krona | 181,192,170 | 12/20/17 | 1,042,751 |
Goldman Sachs International | |||||
Australian Dollar | 71,852,400 | United States Dollar | 56,808,936 | 12/20/17 | (1,842,849) |
Canadian Dollar | 28,567,662 | United States Dollar | 23,482,194 | 12/20/17 | (1,326,987) |
Swiss Franc | 16,020,216 | United States Dollar | 16,590,670 | 12/20/17 | (474,671) |
Euro | 44,145,659 | United States Dollar | 53,014,213 | 12/20/17 | (1,438,120) |
British Pound | 42,910,000 | United States Dollar | 57,538,910 | 12/20/17 | (455,710) |
Japanese Yen | 761,646,711 | United States Dollar | 6,782,238 | 12/20/17 | (66,235) |
New Zealand Dollar | 60,348,460 | United States Dollar | 43,335,594 | 12/20/17 | (2,076,954) |
45
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Goldman Sachs International (continued) | |||||
Swedish Krona | 127,056,445 | United States Dollar | 15,587,726 | 12/20/17 | (361,684) |
United States Dollar | 49,262,244 | Australian Dollar | 61,968,971 | 12/20/17 | 1,856,843 |
United States Dollar | 36,121,319 | Canadian Dollar | 45,321,700 | 12/20/17 | 972,778 |
United States Dollar | 8,207,925 | Swiss Franc | 7,868,500 | 12/20/17 | 292,380 |
United States Dollar | 78,060,210 | Euro | 65,551,468 | 12/20/17 | 1,475,362 |
United States Dollar | 81,376,263 | British Pound | 61,080,182 | 12/20/17 | 121,259 |
United States Dollar | 32,111,614 | Japanese Yen | 3,622,566,000 | 12/20/17 | 168,766 |
United States Dollar | 12,961,923 | Norwegian Krone | 102,318,168 | 12/20/17 | 418,443 |
United States Dollar | 12,476,925 | New Zealand Dollar | 17,188,996 | 12/20/17 | 725,265 |
United States Dollar | 27,819,564 | Swedish Krona | 221,166,984 | 12/20/17 | 1,315,614 |
HSBC | |||||
Euro | 46,352,941 | United States Dollar | 55,698,621 | 12/20/17 | (1,543,724) |
British Pound | 34,716,000 | United States Dollar | 46,422,780 | 12/20/17 | (240,064) |
Japanese Yen | 1,405,379,000 | United States Dollar | 12,758,080 | 12/20/17 | (365,812) |
United States Dollar | 13,977,585 | Canadian Dollar | 17,024,000 | 12/20/17 | 774,886 |
United States Dollar | 41,709,566 | Euro | 34,920,000 | 12/20/17 | 911,961 |
United States Dollar | 42,287,331 | Swedish Krona | 336,499,745 | 12/20/17 | 1,962,268 |
Morgan Stanley Capital Services | |||||
Canadian Dollar | 54,563,209 | United States Dollar | 44,913,441 | 12/20/17 | (2,597,791) |
Swiss Franc | 12,367,000 | United States Dollar | 13,070,770 | 12/20/17 | (629,829) |
Euro | 33,109,244 | United States Dollar | 39,754,765 | 12/20/17 | (1,072,696) |
Norwegian Krone | 91,390,665 | United States Dollar | 11,668,508 | 12/20/17 | (464,662) |
United States Dollar | 29,818,723 | Australian Dollar | 37,539,521 | 12/20/17 | 1,101,512 |
United States Dollar | 30,265,252 | British Pound | 22,768,000 | 12/20/17 | (23,033) |
United States Dollar | 37,242,424 | Japanese Yen | 4,133,611,872 | 12/20/17 | 793,306 |
46
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Morgan Stanley Capital Services (continued) | |||||
United States Dollar | 12,978,855 | Norwegian Krone | 101,637,000 | 12/20/17 | 518,882 |
United States Dollar | 22,411,182 | New Zealand Dollar | 30,892,474 | 12/20/17 | 1,290,817 |
United States Dollar | 20,482,012 | Swedish Krona | 163,093,000 | 12/20/17 | 937,464 |
Royal Bank of Canada | |||||
Swiss Franc | 24,204,000 | United States Dollar | 25,003,357 | 12/20/17 | (654,645) |
Euro | 15,278,000 | United States Dollar | 17,957,761 | 12/20/17 | (108,225) |
Norwegian Krone | 99,006,553 | United States Dollar | 12,653,468 | 12/20/17 | (515,969) |
United States Dollar | 65,887,969 | Canadian Dollar | 81,847,000 | 12/20/17 | 2,412,799 |
United States Dollar | 76,341,047 | British Pound | 57,678,278 | 12/20/17 | (388,402) |
United States Dollar | 13,254,576 | Japanese Yen | 1,483,704,000 | 12/20/17 | 171,659 |
Gross Unrealized Appreciation | 27,800,787 | ||||
Gross Unrealized Depreciation | (28,086,434) |
See notes to consolidated financial statements.
47
CONSOLIDATED STATEMENT OF SWAP AGREEMENTS
October 31, 2017
Centrally Cleared Credit Default Swaps | |||||
Reference | Notional | (Pay) | Market | Upfront | Unrealized Appreciation ($) |
Sold Contracts:2 | |||||
Bank of America | |||||
Markit CDX North America High Yield Series 29 | |||||
12/20/2022†† | 7,000,000 | 5.00 | 669,607 | (525,373) | 144,234 |
Gross Unrealized Appreciation | 144,234 |
† 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 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.
48
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
October 31, 2017
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Consolidated |
|
|
| |||
Unaffiliated issuers | 1,338,051,740 |
| 1,336,890,887 |
| ||
Affiliated issuers |
| 213,024,668 |
| 213,024,668 |
| |
Cash |
|
|
|
| 21,231,188 |
|
Cash denominated in foreign currency |
|
| 494,855 |
| 480,473 |
|
Unrealized appreciation on forward foreign |
| 27,800,787 |
| |||
Cash collateral held by broker—Note 4 |
| 22,889,734 |
| |||
Receivable for futures variation margin—Note 4 |
| 3,180,423 |
| |||
Dividends and interest receivable |
| 1,380,199 |
| |||
Receivable for shares of Common Stock subscribed |
| 811,053 |
| |||
Swap premium paid—Note 4 |
| 525,373 |
| |||
Receivable for swap variation margin—Note 4 |
| 146,344 |
| |||
Prepaid expenses |
|
|
|
| 55,805 |
|
|
|
|
|
| 1,628,416,934 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 1,579,679 |
|
Unrealized depreciation on forward foreign |
| 28,086,434 |
| |||
Payable for shares of Common Stock redeemed |
| 1,118,403 |
| |||
Outstanding options written, at value |
| 1,111,943 |
| |||
Payable for investment securities purchased |
| 158,395 |
| |||
Payable to broker for swap agreements—Note 4 |
| 133,697 |
| |||
Accrued expenses |
|
|
|
| 275,990 |
|
|
|
|
|
| 32,464,541 |
|
Net Assets ($) |
|
| 1,595,952,393 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,497,208,767 |
|
Accumulated investment (loss)—net |
| (1,757,232) |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| 55,573,195 |
|
Accumulated net unrealized appreciation (depreciation) |
|
|
| 44,927,663 |
| |
Net Assets ($) |
|
| 1,595,952,393 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 73,457,802 | 80,833,931 | 653,751,654 | 787,909,006 |
|
Shares Outstanding | 4,417,790 | 5,195,133 | 38,368,691 | 46,227,842 |
|
Net Asset Value Per Share ($) | 16.63 | 15.56 | 17.04 | 17.04 |
|
See notes to consolidated financial statements. |
49
CONSOLIDATED STATEMENT OF OPERATIONS
Year Ended October 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 10,547,807 |
| ||
Dividends: |
| |||||
Unaffiliated issuers |
|
| 2,741,134 |
| ||
Affiliated issuers |
|
| 1,298,113 |
| ||
Total Income |
|
| 14,587,054 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 15,879,916 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 1,161,930 |
| ||
Subsidiary management fee—Note 3(a) |
|
| 930,454 |
| ||
Distribution fees—Note 3(b) |
|
| 751,192 |
| ||
Professional fees |
|
| 160,619 |
| ||
Registration fees |
|
| 132,509 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 131,012 |
| ||
Prospectus and shareholders’ reports |
|
| 87,198 |
| ||
Custodian fees—Note 3(c) |
|
| 78,061 |
| ||
Loan commitment fees—Note 2 |
|
| 32,353 |
| ||
Miscellaneous |
|
| 85,336 |
| ||
Total Expenses |
|
| 19,430,580 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (1,106,110) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (20,658) |
| ||
Net Expenses |
|
| 18,303,812 |
| ||
Investment (Loss)—Net |
|
| (3,716,758) |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 4,532,297 |
| ||||
Net realized gain (loss) on options transactions | (30,010,255) |
| ||||
Net realized gain (loss) on futures | 95,029,998 |
| ||||
Net realized gain (loss) on swap agreements | 90,745 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 10,515,297 |
| ||||
Net Realized Gain (Loss) |
|
| 80,158,082 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (5,109,344) |
| ||
Net unrealized appreciation (depreciation) on options transactions | 10,986,295 |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| 25,531,169 |
| ||
Net unrealized appreciation (depreciation) on swap agreements |
|
| 144,234 |
| ||
Net unrealized appreciation (depreciation) on |
|
| (19,997,214) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 11,555,140 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 91,713,222 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 87,996,464 |
| |||
See notes to consolidated financial statements. |
50
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment (loss)—net |
|
| (3,716,758) |
|
|
| (13,274,277) |
| |
Net realized gain (loss) on investments |
| 80,158,082 |
|
|
| 25,754,545 |
| ||
Net unrealized appreciation (depreciation) |
| 11,555,140 |
|
|
| (2,661,420) |
| ||
Net Increase (Decrease) in Net Assets | 87,996,464 |
|
|
| 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 |
|
| 15,191,131 |
|
|
| 85,425,288 |
| |
Class C |
|
| 5,013,783 |
|
|
| 46,807,391 |
| |
Class I |
|
| 467,890,826 |
|
|
| 299,261,521 |
| |
Class Y |
|
| 217,849,128 |
|
|
| 230,391,741 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 325,546 |
|
|
| - |
| |
Class C |
|
| 181,423 |
|
|
| - |
| |
Class I |
|
| 590,605 |
|
|
| - |
| |
Class Y |
|
| 721,951 |
|
|
| - |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (151,909,545) |
|
|
| (148,416,191) |
| |
Class C |
|
| (59,663,859) |
|
|
| (57,090,576) |
| |
Class I |
|
| (294,198,094) |
|
|
| (343,046,982) |
| |
Class Y |
|
| (130,888,867) |
|
|
| (66,580,605) |
| |
Increase (Decrease) in Net Assets | 71,104,028 |
|
|
| 46,751,587 |
| |||
Total Increase (Decrease) in Net Assets | 156,474,168 |
|
|
| 56,570,435 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,439,478,225 |
|
|
| 1,382,907,790 |
| |
End of Period |
|
| 1,595,952,393 |
|
|
| 1,439,478,225 |
| |
Accumulated investment (loss)—net | (1,757,232) |
|
|
| (2,748,744) |
|
51
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Year Ended October 31, | |||||
|
|
|
| 2017 |
| 2016 |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 955,739 |
|
|
| 5,592,205 |
| |
Shares issued for distributions reinvested |
|
| 21,139 |
|
|
| - |
| |
Shares redeemed |
|
| (9,643,628) |
|
|
| (9,694,240) |
| |
Net Increase (Decrease) in Shares Outstanding | (8,666,750) |
|
|
| (4,102,035) |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 337,106 |
|
|
| 3,221,954 |
| |
Shares issued for distributions reinvested |
|
| 12,512 |
|
|
| - |
| |
Shares redeemed |
|
| (4,009,428) |
|
|
| (3,925,165) |
| |
Net Increase (Decrease) in Shares Outstanding | (3,659,810) |
|
|
| (703,211) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 28,694,862 |
|
|
| 19,107,885 |
| |
Shares issued for distributions reinvested |
|
| 37,522 |
|
|
| - |
| |
Shares redeemed |
|
| (18,147,833) |
|
|
| (22,047,720) |
| |
Net Increase (Decrease) in Shares Outstanding | 10,584,551 |
|
|
| (2,939,835) |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 13,453,316 |
|
|
| 14,699,682 |
| |
Shares issued for distributions reinvested |
|
| 45,867 |
|
|
| - |
| |
Shares redeemed |
|
| (8,067,592) |
|
|
| (4,261,697) |
| |
Net Increase (Decrease) in Shares Outstanding | 5,431,591 |
|
|
| 10,437,985 |
| |||
a During the period ended October 31, 2017, 2,183 Class A shares representing $34,879 were exchanged for 2,132 Class I shares, 2,736 Class C shares representing $40,409 were exchanged for 2,518 Class I shares, 638,261 Class Y shares representing $10,378,341 were exchanged for 638,253 Class I shares and during the period ended October 31, 2016, 369,275 Class Y shares representing $5,809,635 were exchanged for 369,082 Class I shares. | |||||||||
See notes to consolidated financial statements. |
52
CONSOLIDATED FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||
Class A Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 15.73 | 15.63 | 15.36 | 14.18 | 12.49 | |
Investment Operations: | ||||||
Investment (loss)—neta | (.09) | (.17) | (.22) | (.19) | (.01) | |
Net realized and unrealized | 1.02 | .27 | .49b | 1.38 | 1.65 | |
Payment by affiliate | – | – | – | – | .05 | |
Total from | .93 | .10 | .27 | 1.19 | 1.69 | |
Distributions: | ||||||
Dividends from | – | – | – | (.01) | – | |
Dividends from | (.03) | – | – | – | – | |
Total Distributions | (.03) | – | – | (.01) | – | |
Net asset value, end of period | 16.63 | 15.73 | 15.63 | 15.36 | 14.18 | |
Total Return (%)c | 5.92 | .70 | 1.69 | 8.42 | 13.53d | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.55 | 1.51 | 1.49 | 1.54 | 1.65 | |
Ratio of net expenses | 1.47 | 1.50 | 1.49 | 1.50 | 1.50 | |
Ratio of net investment (loss) | (.56) | (1.13) | (1.41) | (1.30) | (.04) | |
Portfolio Turnover Rate | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 | |
Net Assets, end of period ($ x 1,000) | 73,458 | 205,832 | 268,600 | 54,798 | 23,462 |
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 The total return would have been 13.13% had a reimbursement for a trade error not been made by Mellon Capital.
See notes to consolidated financial statements.
53
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | ||||||
Class C Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.83 | 14.85 | 14.70 | 13.66 | 12.12 | |
Investment Operations: | ||||||
Investment (loss)—neta | (.19) | (.27) | (.33) | (.29) | (.10) | |
Net realized and unrealized | .95 | .25 | .48b | 1.33 | 1.59 | |
Payment by affiliate | – | – | – | – | .05 | |
Total from | .76 | (.02) | .15 | 1.04 | 1.54 | |
Distributions: | ||||||
Dividends from | (.03) | – | – | – | – | |
Net asset value, end of period | 15.56 | 14.83 | 14.85 | 14.70 | 13.66 | |
Total Return (%)c | 5.14 | (.07) | .95 | 7.61 | 12.71d | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.32 | 2.26 | 2.24 | 2.30 | 2.44 | |
Ratio of net expenses | 2.23 | 2.25 | 2.24 | 2.25 | 2.25 | |
Ratio of net investment (loss) | (1.26) | (1.82) | (2.16) | (2.08) | (.78) | |
Portfolio Turnover Rate | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 | |
Net Assets, end of period ($ x 1,000) | 80,834 | 131,341 | 141,904 | 23,672 | 9,409 |
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 The total return would have been 12.29% had a reimbursement for a trade error not been made by Mellon Capital.
See notes to consolidated financial statements.
54
Year Ended October 31, | ||||||
Class I Shares | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.08 | 15.93 | 15.61 | 14.39 | 12.65 | |
Investment Operations: | ||||||
Investment income (loss)—neta | (.03) | (.13) | (.19) | (.14) | .03 | |
Net realized and unrealized | 1.02 | .28 | .51b | 1.39 | 1.67 | |
Payment by affiliate | – | – | – | – | .05 | |
Total from | .99 | .15 | .32 | 1.25 | 1.75 | |
Distributions: | ||||||
Dividends from | – | – | – | (.03) | (.01) | |
Dividends from | (.03) | – | – | – | – | |
Total Distributions | (.03) | – | – | (.03) | (.01) | |
Net asset value, end of period | 17.04 | 16.08 | 15.93 | 15.61 | 14.39 | |
Total Return (%) | 6.17 | 1.01 | 1.92 | 8.77 | 13.82c | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.30 | 1.25 | 1.22 | 1.21 | 1.29 | |
Ratio of net expenses | 1.21 | 1.24 | 1.22 | 1.21 | 1.25 | |
Ratio of net investment income | (.17) | (.86) | (1.15) | (.94) | .20 | |
Portfolio Turnover Rate | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 | |
Net Assets, end of period ($ x 1,000) | 653,752 | 446,643 | 489,361 | 71,731 | 253,971 |
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 The total return would have been 13.42% had a reimbursement for a trade error not been made by Mellon Capital.
See notes to consolidated financial statements.
55
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Year Ended October 31, | ||||||
Class Y Shares | 2017 | 2016 | 2015 | 2014 | 2013a | |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 16.07 | 15.91 | 15.59 | 14.39 | 13.45 | |
Investment Operations: | ||||||
Investment (loss)—netb | (.02) | (.11) | (.15) | (.17) | (.01) | |
Net realized and unrealized | 1.02 | .27 | .47c | 1.40 | .90 | |
Payment by affiliate | – | – | – | – | .05 | |
Total from | 1.00 | .16 | .32 | 1.23 | .94 | |
Distributions: | ||||||
Dividends from | – | – | – | (.03) | – | |
Dividends from | (.03) | – | – | – | – | |
Total Distributions | (.03) | – | – | (.03) | – | |
Net asset value, end of period | 17.04 | 16.07 | 15.91 | 15.59 | 14.39 | |
Total Return (%) | 6.23 | 1.01 | 2.05 | 8.56 | 6.99d,e | |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.21 | 1.18 | 1.14 | 1.16 | 1.31f | |
Ratio of net expenses | 1.15 | 1.16 | 1.14 | 1.16 | 1.25f | |
Ratio of net investment (loss) | (.14) | (.68) | (.96) | (1.14) | (.18)f | |
Portfolio Turnover Rate | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 | |
Net Assets, end of period ($ x 1,000) | 787,909 | 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.
56
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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 nine 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 October 31, 2017:
57
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Subsidiary Activity | |||
Consolidated fund Net Assets ($) | 1,595,952,393 | ||
Subsidiary Percentage of fund Net Assets | 6.28% | ||
Subsidiary Financial Statement Information ($) | |||
Total assets | 100,294,134 | ||
Total liabilities | 140,585 | ||
Net assets | 100,153,549 | ||
Total income | 370,266 | ||
Investment income (loss)—net | (633,622) | ||
Net realized gain (loss) | (6,816,684) | ||
Net unrealized appreciation (depreciation) | 3,895,922 | ||
Net increase (decrease) in net assets resulting from operations | (3,554,384) |
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 authorized 100 million Class T shares which resulted in the fund’s total authorized shares increased from 500 million to 600 million.
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
58
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:
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), futures, options and forward foreign currency
59
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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 to not accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its
60
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. 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 contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 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† | – | 75,416,650 | – | 75,416,650 |
Exchange-Traded Funds | 73,477,018 | – | – | 73,477,018 |
Registered Investment Company | 213,024,668 | – | – | 213,024,668 |
61
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
U.S. Treasury | – | 1,185,104,657 | – | 1,185,104,657 |
Other Financial Instruments: | ||||
Futures†† | 57,328,936 | – | – | 57,328,936 |
Forward Foreign Currency Exchange Contracts†† | – | 27,800,787 | – | 27,800,787 |
Options Purchased | 1,898,400 | 994,162 | – | 2,892,562 |
Swaps†† | – | 144,234 | – | 144,234 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (11,144,091) | – | – | (11,144,091) |
Forward Foreign Currency Exchange Contracts†† | – | (28,086,434) | – | (28,086,434) |
Options Written | (536,640) | (575,303) | – | (1,111,943) |
† See Consolidated Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
(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
62
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.
(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 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.
63
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
As of and during the period ended October 31, 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 October 31, 2017, the fund did not incur any interest or penalties.
Each tax year in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
At October 31, 2017, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $44,205,438, undistributed capital gains $29,444,143 and unrealized appreciation $26,707,043. In addition, the fund deferred for tax purposes late year ordinary losses of $1,612,998 to the first day of the following fiscal year.
The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2017 and October 31, 2016 were as follows: long-term capital gains $2,626,324 and $0, respectively.
During the period ended October 31, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for foreign currency transactions, net operating losses and swap periodic payments, the fund increased accumulated undistributed investment income-net by $4,708,270, increased accumulated net realized gain (loss) on investments by $2,742,037 and decreased paid-in capital by $7,450,307. Net assets and net asset value per share were not affected by this reclassification.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $830 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. Prior to October 4, 2017, the unsecured credit facility with Citibank, N.A. was $810 million. 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 October 31, 2017, the fund did not borrow under the Facilities.
64
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 $930,454 during the period ended October 31, 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 annual fund operating expenses for Class A, C, I and Y shares (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 1.19% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $175,656 during the period ended October 31, 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 October 31, 2017, the Distributor retained $10,211 from commissions earned on sales of the fund’s Class A shares and $30,795 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 October 31, 2017, Class C shares were charged $751,192 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
65
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2017, Class A and Class C shares were charged $263,836 and $250,397, 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 October 31, 2017, the fund was charged $17,766 for transfer agency services and $1,089 for cash management services. These fees are included in Shareholder servicing costs in the Consolidated Statement of Operations. Cash management fees were offset by earnings credits of $1,089.
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 October 31, 2017, the fund was charged $78,061 pursuant to the custody agreement. These fees were partially offset by earnings credits of $19,569.
During the period ended October 31, 2017, the fund was charged $11,224 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 $1,568,564, Distribution Plan fees $52,151, Shareholder Services Plan fees $32,934, custodian fees $17,435, Chief Compliance Officer fees $6,538 and transfer agency fees $2,190, which are offset against an expense reimbursement currently in effect in the amount of $100,133.
(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.
66
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 October 31, 2017, amounted to $109,352,731 and $97,187,034, 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 October 31, 2017 is discussed below.
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 October 31, 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 the values of 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
67
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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. The maximum payout for those contracts is limited to the number of put option contracts written and the related strike prices, respectively.
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. Options written open at October 31, 2017 are set forth in Consolidated Statement of Options Written.
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
68
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 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 October 31, 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced obligation or index) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum payouts for these agreements are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk. 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. Credit default swaps open at October 31, 2017 are set forth in the Consolidated Statement of Swap Agreements.
The maximum potential amount of future payments (undiscounted) that a fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement which may exceed the amount of unrealized appreciation or depreciation reflected in the Statement of Assets and Liabilities. Notional amounts of all credit default swap agreements are disclosed in the following chart, which summarizes open credit default swaps entered into by the fund. These potential amounts would be partially offset by any
70
recovery values of the respective referenced obligations, underlying securities comprising the referenced index, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the fund for the same referenced entity or entities. Credit default swaps open at October 31, 2017 are set forth in the 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 October 31, 2017 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 15,129,510 | 1 | Interest rate risk | (9,110,315) | 1 | ||
Equity risk | 39,965,440 | 1,2 | Equity risk | (1,411,839) | 1,3 | ||
Foreign exchange risk | 27,800,787 | 4 | Foreign exchange risk | (28,086,434) | 4 | ||
Credit risk | 144,234 | 5 | Credit risk | - | |||
Commodity risk | 5,126,548 | 1 | Commodity risk | (1,733,880) | 1 | ||
Gross fair value of | 88,166,519 | (40,342,468) | |||||
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 Consolidated Statement of Swap Agreements. Unrealized appreciation (depreciation) on OTC swap agreements and only unpaid variation margin on cleared swap agreements, are reported in the Consolidated Statement of Assets and Liabilities. |
71
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The effect of derivative instruments in the Consolidated Statement of Operations during the period ended October 31, 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 | (48,979,081) | (5,094,545) | - | - | (54,073,626) | ||||||
Equity | 150,825,926 | (24,915,710) | - | - | 125,910,216 | ||||||
Foreign | - | - | 10,515,297 | - | 10,515,297 | ||||||
Credit | - | - | - | 90,745 | 90,745 | ||||||
Commodity | (6,816,847) | - | - | - | (6,816,847) | ||||||
Total | 95,029,998 | (30,010,255) | 10,515,297 | 90,745 | 75,625,785 | ||||||
Change in unrealized appreciation (depreciation) | |||||||||||
Underlying | Futures | 5 | Options | 6 | Forward | 7 | Swap | 8 | Total | ||
Interest | (2,429,671) | 5,821,210 | - | - | 3,391,539 | ||||||
Equity | 24,064,916 | 5,165,085 | - | - | 29,230,001 | ||||||
Foreign | - | - | (19,997,214) | - | (19,997,214) | ||||||
Credit | - | - | - | 144,234 | 144,234 | ||||||
Commodity | 3,895,924 | - | - | - | 3,895,924 | ||||||
Total | 25,531,169 | 10,986,295 | (19,997,214) | 144,234 | 16,664,484 | ||||||
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.
72
At October 31, 2017, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 57,328,936 | (11,144,091) | |||
Options | 2,892,562 | (1,111,943) | |||
Forward contracts | 27,800,787 | (28,086,434) | |||
Swaps | 144,234 | - | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Consolidated Statement of | 88,166,519 | (40,342,468) | |||
Derivatives not subject to | |||||
Master Agreements | (60,724,383) | 12,781,027 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 27,442,136 | (27,561,441) |
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 October 31, 2017:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Bank of America | 954,229 | (793,470) | - | 160,759 | ||
Bank of Montreal | 659,718 | (659,718) | - | - | ||
Citigroup | 6,611,763 | (3,654,432) | - | 2,957,331 | ||
Goldman Sachs | 8,340,872 | (8,340,872) | - | - | ||
HSBC | 3,649,115 | (2,149,600) | - | 1,499,515 | ||
Morgan Stanley | 4,641,981 | (4,641,981) | - | - | ||
Royal Bank | 2,584,458 | (1,667,241) | - | 917,217 | ||
Total | 27,442,136 | (21,907,314) | - | 5,534,822 |
73
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Bank of America | (793,470) | 793,470 | - | - | ||
Bank of Montreal | (5,890,174) | 659,718 | 4,680,000 | (550,456) | ||
Citigroup | (3,654,432) | 3,654,432 | - | - | ||
Goldman Sachs | (8,618,513) | 8,340,872 | 277,641 | - | ||
HSBC | (2,149,600) | 2,149,600 | - | - | ||
Morgan Stanley | (4,788,011) | 4,641,981 | - | (146,030) | ||
Royal Bank | (1,667,241) | 1,667,241 | - | - | ||
Total | (27,561,441) | 21,907,314 | 4,957,641 | (696,486) | ||
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 Consolidated 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 October 31, 2017:
|
| Average Market Value ($) |
Equity futures | 969,344,317 | |
Equity options contracts | 4,380,635 | |
Interest rate futures | 2,112,306,358 | |
Interest rate options contracts | 3,970,077 | |
Forward contracts | 1,720,653,801 | |
Commodity futures | 144,317,520 | |
The following summarizes the average notional value of swap agreements outstanding during the period ended October 31, 2017:
|
| Average Notional Value ($) |
Credit default swap agreements | 2,921,538 | |
At October 31, 2017, the cost of investments for federal income tax purposes was $1,547,427,347; accordingly, accumulated net unrealized appreciation on investments inclusive of derivative contracts was
74
$27,162,902, consisting of $28,372,231 gross unrealized appreciation and $1,209,329 gross unrealized depreciation.
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 “Shareholder Actions”), the fund was not specifically named as a defendant in these putative class actions.
In the Shareholder 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 (the “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 Actions 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 April 21, 2017, following a trial in a companion litigation brought by the Trustee of the LB Litigation Trust against Len Blavatnik and other purchasers involved in the Merger (the “Blavatnik Action”), the Bankruptcy Court granted judgment for the Blavatnik Action Defendants on the intentional and constructive fraudulent transfer claims, concluding that plaintiff had not established that the Merger left Lyondell insolvent or that Lyondell's CEO intended the merger to hinder, delay or defraud Lyondell’s creditors. Given that the Bankruptcy Court’s findings of fact in the related Blavatnik Action appeared inconsistent with plaintiffs’ allegations in the Shareholder Actions, and that plaintiffs would therefore likely be precluded from re-litigating these issues in the Shareholder Actions, plaintiffs agreed to dismiss these lawsuits.
Accordingly, on September 5, 2017, the Bankruptcy Court dismissed all three Shareholder Actions, with prejudice, and against all named and unnamed defendants. Plaintiffs consented to these dismissals, and these litigations have therefore now concluded.
75
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Shareholders and Board of Directors
Dynamic Total Return Fund
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated statements of investments, investments in affiliated issuers, futures, options written, forward foreign currency exchange contracts and swap agreements, of Dynamic Total Return Fund (one of the series comprising Advantage Funds, Inc.) (the Fund) as of October 31, 2017, and the related consolidated statement of operations for the year then ended, the consolidated statement of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017 by correspondence with the custodian and others or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the consolidated financial position of Dynamic Total Return Fund at October 31, 2017, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the indicated periods in conformity with U.S. generally accepted accounting principles.
New York, New York
December 28, 2017
76
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby reports $.0294 per share as a long-term capital gain distribution paid on December 23, 2016.
77
BOARD MEMBERS INFORMATION (Unaudited)
INDEPENDENT BOARD MEMBERS
Chairman of the Board (1995)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1995-present)
Other Public Company Board Memberships During Past 5 Years:
· CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small and medium size companies, Director (1997-present)
No. of Portfolios for which Board Member Serves: 126
———————
Peggy C. Davis (74)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Shad Professor of Law, New York University School of Law (1983-present)
No. of Portfolios for which Board Member Serves: 45
———————
David P. Feldman (77)
Board Member (1996)
Principal Occupation During Past 5 Years:
· Corporate Director and Trustee (1985-present)
Other Public Company Board Memberships During Past 5 Years:
· BBH Mutual Funds Group (5 registered mutual funds), Director (1992-2014)
No. of Portfolios for which Board Member Serves: 31
———————
Joan Gulley (70)
Board Member (2017)
Principal Occupation During Past 5 Years:
· PNC Financial Services Group, Inc.(1993-2014)
· Executive Vice President and Chief Human Resources Officer and Executive Committee Member (2008-2014)
No. of Portfolios for which Board Member Serves: 52
———————
78
Ehud Houminer (77)
Board Member (1993)
Principal Occupation During Past 5 Years:
· Board of Overseers at the Columbia Business School, Columbia University (1992-present)
· Trustee, Ben Gurion University
Other Public Company Board Memberships During Past 5 Years:
· Avnet, Inc., an electronics distributor, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 52
———————
Lynn Martin (77)
Board Member (2012)
Principal Occupation During Past 5 Years:
· President of The Martin Hall Group LLC, a human resources consulting firm (2005-2012)
Other Public Company Board Memberships During Past 5 Years:
· AT&T, Inc., a telecommunications company, Director (1999-2012)
· Ryder System, Inc., a supply chain and transportation management company, Director (1993-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Robin A. Melvin (54)
Board Member (2012)
Principal Occupation During Past 5 Years:
· Co-chairman, Illinois Mentoring Partnership, non-profit organization dedicated to increasing the quantity and quality of mentoring services in Illinois; (2014-present; board member since 2013)
· Director, Boisi Family Foundation, a private family foundation that supports youth-serving organizations that promote the self sufficiency of youth from disadvantaged circumstances (1995-2012)
No. of Portfolios for which Board Member Serves: 98
———————
79
BOARD MEMBERS INFORMATION (Unaudited) (continued)
INDEPENDENT BOARD MEMBERS (continued)
Dr. Martin Peretz (78)
Board Member (2006)
Principal Occupation During Past 5 Years:
· Editor-in-Chief Emeritus of The New Republic Magazine (2011-2012) (previously,
Editor-in-Chief, 1974-2011)
· Lecturer at Harvard University (1969-2012)
No. of Portfolios for which Board Member Serves: 31
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166. Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-DREYFUS.
James F. Henry, Emeritus Board Member
Philip L. Toia, Emeritus Board Member
80
OFFICERS OF THE FUND (Unaudited)
BRADLEY J. SKAPYAK, President since January 2010.
Chief Operating Officer and a director of the Manager since June 2009, Chairman of Dreyfus Transfer, Inc., an affiliate of the Manager and the transfer agent of the funds, since May 2011 and Chief Executive Officer of MBSC Securities Corporation since August 2016. He is an officer of 62 investment companies (comprised of 126 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since February 1988.
BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.
Chief Legal Officer of the Manager and Associate General Counsel and Managing Director of BNY Mellon since June 2015; from June 2005 to June 2015, he served in various capacities with Deutsche Bank – Asset & Wealth Management Division, including as Director and Associate General Counsel, and Chief Legal Officer of Deutsche Investment Management Americas Inc. from June 2012 to May 2015. He is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 46 years old and has been an employee of the Manager since June 2015.
JANETTE E. FARRAGHER, Vice President and Secretary since December 2011.
Associate General Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 54 years old and has been an employee of the Manager since February 1984.
JAMES BITETTO, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon and Secretary of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 51 years old and has been an employee of the Manager since December 1996.
JOSEPH M. CHIOFFI, Vice President and Assistant Secretary since August 2005.
Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since June 2000.
MAUREEN E. KANE, Vice President and Assistant Secretary since April 2015.
Managing Counsel of BNY Mellon since July 2014; from October 2004 until July 2014, General Counsel, and from May 2009 until July 2014, Chief Compliance Officer of Century Capital Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 55 years old and has been an employee of the Manager since July 2014.
SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.
Senior Counsel of BNY Mellon since March 2013, from August 2005 to March 2013, Associate General Counsel of Third Avenue Management. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. She is 42 years old and has been an employee of the Manager since March 2013.
JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.
Senior Managing Counsel of BNY Mellon, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 52 years old and has been an employee of the Manager since October 1990.
NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.
Counsel and Vice President of BNY Mellon since May 2016; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 until May 2016; Assistant General Counsel at RCS Advisory Services from July 2014 until November 2015; Associate at Sutherland, Asbill & Brennan from January 2013 until January 2014; Associate at K&L Gates from October 2011 until January 2013. She is an officer of 63 investment companies (comprised of 151 portfolios) managed by Dreyfus. She is 32 years old and has been an employee of the Manager since May 2016.
JAMES WINDELS, Treasurer since November 2001.
Director – Mutual Fund Accounting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1985.
81
OFFICERS OF THE FUND (Unaudited) (continued)
RICHARD CASSARO, Assistant Treasurer since January 2008.
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 58 years old and has been an employee of the Manager since September 1982.
GAVIN C. REILLY, Assistant Treasurer since December 2005.
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1991.
ROBERT S. ROBOL, Assistant Treasurer since December 2005.
Senior Accounting Manager – Dreyfus Financial Reporting of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 53 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer since July 2007.
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer since December 2002.
Senior Accounting Manager – Fixed Income and Equity Funds of the Manager, and an officer of 63 investment companies (comprised of 151 portfolios) managed by the Manager. He is 50 years old and has been an employee of the Manager since November 1990.
JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (63 investment companies, comprised of 151 portfolios). He is 60 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.
Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust since January 2016; from May 2015 to December 2015, Interim Anti-Money Laundering Compliance Officer of the Dreyfus Family of Funds and BNY Mellon Funds Trust and the Distributor; from January 2012 to May 2015, AML Surveillance Officer of the Distributor and from 2007 to December 2011, Financial Processing Manager of the Distributor. She is an officer of 57 investment companies (comprised of 145 portfolios) managed by the Manager. She is 49 years old and has been an employee of the Distributor since 1997.
82
NOTES
83
NOTES
84
NOTES
85
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.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $167,665 in 2016 and $171,856 in 2017.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $25,720 in 2016 and $58,126 in 2017. These services consisted of one or more of the following: (i) agreed upon procedures related to compliance with Internal Revenue Code section 817(h), (ii) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended, (iii) advisory services as to the accounting or disclosure treatment of Registrant transactions or events and (iv) advisory services to the accounting or disclosure treatment of the actual or potential impact to the Registrant of final or proposed rules, standards or interpretations by the Securities and Exchange Commission, the Financial Accounting Standards Boards or other regulatory or standard-setting bodies.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2016 and $0 in 2017.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $21,060 in 2016 and $14,678 in 2017. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2016 and $0 in 2017.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $212 in 2016 and $434 in 2017. These services consisted of a review of the Registrant's anti-money laundering program.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2017 and $0 in 2017.
(e)(1) Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. The pre-approved services in the Policy can include pre-approved audit services, pre-approved audit-related services, pre-approved tax services and pre-approved all other services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
(e)(2) Note. None of the services described in paragraphs (b) through (d) of this Item 4 were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) None of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal account's full-time, permanent employees.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $20,423,084 in 2016 and $32,905,415 in 2017.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Advantage Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: December 21, 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: December 21, 2017
By: /s/ James Windels
James Windels
Treasurer
Date: December 21, 2017
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)