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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| Bennett A. MacDougall, Esq. 200 Park Avenue New York, New York 10166 |
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Registrant's telephone number, including area code: | (212) 922-6400 | |||||
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Date of fiscal year end:
| 10/31 |
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Date of reporting period: | 04/30/2018 |
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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 Income Fund
Dreyfus Global Multi-Asset Income Fund
Dreyfus Global Real Return Fund
Dreyfus Total Emerging Markets Fund
Dynamic Total Return Fund
FORM N-CSR
Item 1. Reports to Stockholders.
Dreyfus Global Dynamic Bond Income Fund
SEMIANNUAL REPORT April 30, 2018 |
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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 | |
of the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Global Dynamic Bond Income Fund (formerly, Dreyfus Global Dynamic Bond Fund), covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by portfolio managers Paul Brain, Howard Cunningham, and Parmeshwar Chadha, of Newton Investment Management (North America) Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus Global Dynamic Bond Income Fund’s Class A shares produced a total return of -0.02%, Class C shares returned -0.33%, Class I shares returned 0.16%, and Class Y shares returned 0.08%.1 In comparison, the fund’s benchmark, the Citi One-Month U.S. Treasury Bill Index (the “Index”), produced a total return of 0.66% for the same period.2
Global bond markets encountered heightened volatility during the reporting period stemming from rising interest rates and less accommodative monetary policies from some major central banks. The fund underperformed the Index, largely due to its exposure to investment-grade corporate bonds and longer-term sovereign bonds from emerging markets.
As of March 19, 2018, the fund’s name changed from Dreyfus Global Dynamic Bond Fund to Dreyfus Global Dynamic Bond Income Fund.
The Fund’s Investment Approach
The fund seeks total return (consisting of income and capital appreciation). To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in bonds and other instruments that provide investment exposure to global bond markets. The fund’s investments will be focused globally among the developed and emerging capital markets of the world. The fund’s portfolio managers employ a dynamic approach in allocating the fund’s assets globally, principally among government bonds, emerging market sovereign debt, investment-grade and high yield corporate instruments, and currencies. 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 cash; long-term trends in currency movements; and company fundamentals.
Volatility Returned to Global Bond Markets
Income-oriented investors’ risk appetites remained solid through late 2017 despite a pickup in volatility following the nomination of a new chairman of the Federal Reserve Board in the U.S. and the enactment of U.S. tax reform legislation, which reduced the tax burden on U.S. companies and raised U.S. growth and interest-rate expectations. Healthy economic growth also prevailed in international markets, with forward-looking economic indicators remaining positive across Europe and the major Asian economies. However, inflationary pressures varied from region to region. In the U.S., investors worried that greater wage growth might rekindle an acceleration of inflation, but inflation generally remained subdued in Japan and Europe. Elsewhere in Asia, political developments dominated headlines as the president of China consolidated his power and articulated a robust reform agenda.
Beginning in late January 2018, financial market volatility rose sharply amid robust U.S. labor markets, stronger U.S. wage growth, and rising U.S. short-term interest rates, leading to a notable reduction in investors’ risk appetites. However, fears of higher inflation, increased fiscal spending, and rising trade protectionism offset the otherwise positive impact of reduced risk appetites on high-quality bond prices, and “safe-haven” government bonds failed to rally materially in response.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Security Selections Dampened Fund Performance
The fund underperformed the Index and produced roughly flat absolute returns over the reporting period as its holdings of investment-grade corporate bonds and longer-term emerging-market sovereign bonds, particularly in Brazil and the Dominican Republic, proved a drag on performance. Our currency strategy also modestly constrained returns, with underweighted exposure to the British pound and long positions in emerging-market currencies representing notably negative contributors to performance. Better results from the fund’s position in the U.S. dollar were not enough to offset weakness stemming from other currency exposures.
On a more positive note, a relatively low average duration posture and a focus on higher-quality securities helped provide downside protection during a challenging time for bond investors. Short duration positions enabled the fund to avoid the full brunt of market weakness when government bond yields rose sharply. Meanwhile, positions in high yield corporate bonds proved relatively stable, aided by a bias towards banks with a demonstrated ability to profit from stronger economic growth and higher interest rates.
The fund employed put options on U.S. Treasury securities, which allowed the fund’s U.S. dollar duration hedges to increase gradually as yields rose.
A More Cautious Investment Posture
The divergence in “core” bond markets appears likely to continue with subdued inflation supporting bond yields in Europe and Japan, while rising bond issuance volumes and inflationary pressures in the U.S. should keep U.S. Treasury securities under pressure. This dynamic may provide opportunities for investment at higher yields over the medium term. In the short term, however, we expect our focus to remain on preserving capital rather than taking too much credit or duration risk in the hunt for yield. We intend to maintain a cautious approach to corporate-backed securities and a bias toward the U.S. dollar in this environment. Finally, a stronger dollar and the possibility of elevated geopolitical risks have prompted a reduction in the fund’s emerging-market bond exposure.
May 15, 2018
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, 2019, 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 U.S. One-Month Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
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
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 Income Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |||||||||||
assuming actual returns for the six months ended April 30, 2018 | |||||||||||
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| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $3.72 | $7.43 | $2.48 | $2.48 | |||||||
Ending value (after expenses) | $999.80 | $996.70 | $1,001.60 | $1,000.80 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |||||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | |||||||||||
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| Class A | Class C | Class I | Class Y | ||||
Expenses paid per $1,000† | $3.76 | $7.50 | $2.51 | $2.51 | |||||||
Ending value (after expenses) | $1,021.08 | $1,017.36 | $1,022.32 | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .75% for Class A, 1.50% for Class C, .50% for Class I and .50% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% | |||||||||
Consumer Discretionary - 7.2% | |||||||||
Best Buy, | 5.50 | 3/15/21 | 210,000 | 220,770 | |||||
Bunzl Finance, | GBP | 2.25 | 6/11/25 | 102,000 | 138,372 | ||||
CCO Holdings, | 5.75 | 1/15/24 | 176,000 | 178,094 | |||||
CCO Holdings, | 5.50 | 5/1/26 | 70,000 | b | 68,334 | ||||
CPUK Finance, | GBP | 4.25 | 2/28/47 | 100,000 | 138,857 | ||||
CPUK Finance, | GBP | 2.67 | 2/28/42 | 200,000 | 280,355 | ||||
Dollar General, | 4.15 | 11/1/25 | 208,000 | 210,291 | |||||
Eagle Intermediate Global Holding, | EUR | 5.38 | 5/1/23 | 100,000 | 123,779 | ||||
Eagle Intermediate Global Holding, | 7.50 | 5/1/25 | 150,000 | b | 154,125 | ||||
EI Group, | GBP | 6.50 | 12/6/18 | 16,000 | 22,436 | ||||
EI Group, | GBP | 6.38 | 2/15/22 | 100,000 | 143,863 | ||||
Hella Finance International, | EUR | 1.00 | 5/17/24 | 194,000 | 235,724 | ||||
John Lewis, | GBP | 8.38 | 4/8/19 | 175,000 | 256,417 | ||||
KFC & Pizza Hut Holdings, | 5.00 | 6/1/24 | 257,000 | 256,679 | |||||
Mitchells & Butlers Finance, | GBP | 6.01 | 12/15/28 | 170,713 | 273,721 | ||||
Motability Operations Group, | EUR | 1.63 | 6/9/23 | 200,000 | 253,726 | ||||
Unitymedia Hessen, | EUR | 6.25 | 1/15/29 | 100,000 | 137,578 | ||||
Virgin Media Receivables Financing Notes I DAC, | GBP | 5.50 | 9/15/24 | 208,000 | 284,569 | ||||
Volkswagen International Finance, | EUR | 1.13 | 10/2/23 | 100,000 | 122,070 | ||||
Wagamama Finance, | GBP | 4.13 | 7/1/22 | 100,000 | 133,541 | ||||
3,633,301 |
6
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Consumer Staples - 2.8% | |||||||||
Anheuser-Busch InBev Worldwide, | 3.05 | 1/12/24 | 64,000 | c | 65,063 | ||||
Coca-Cola European Partners, | EUR | 1.13 | 5/26/24 | 160,000 | 196,048 | ||||
Iceland Bondco, | GBP | 4.63 | 3/15/25 | 100,000 | 126,365 | ||||
JBS Investments, | 7.25 | 4/3/24 | 200,000 | 197,940 | |||||
Nova Austral, | 8.25 | 5/26/21 | 150,000 | b | 149,711 | ||||
PepsiCo, | 2.00 | 4/15/21 | 96,000 | 93,533 | |||||
Post Holdings, | 5.50 | 3/1/25 | 134,000 | b | 131,990 | ||||
Sigma Alimentos, | 4.13 | 5/2/26 | 200,000 | 190,500 | |||||
Spectrum Brands, | EUR | 4.00 | 10/1/26 | 100,000 | 122,344 | ||||
Spectrum Brands, | 6.63 | 11/15/22 | 120,000 | 124,500 | |||||
1,397,994 | |||||||||
Energy - 2.5% | |||||||||
Antero Resources, | 5.63 | 6/1/23 | 147,000 | 150,859 | |||||
BP Capital Markets, | GBP | 4.33 | 12/10/18 | 100,000 | 140,428 | ||||
KCA Deutag UK Finance, | 7.25 | 5/15/21 | 200,000 | b | 195,500 | ||||
Petrobras Global Finance, | 6.75 | 1/27/41 | 230,000 | 218,845 | |||||
Range Resources, | 5.00 | 3/15/23 | 264,000 | 255,288 | |||||
Shell International Finance, | 2.26 | 5/11/20 | 287,000 | c | 289,382 | ||||
1,250,302 | |||||||||
Financials - 24.4% | |||||||||
4finance, | 10.75 | 5/1/22 | 200,000 | 205,983 | |||||
Allied Irish Banks, | EUR | 4.13 | 11/26/25 | 181,000 | 234,656 | ||||
Amigo Luxembourg, | GBP | 7.63 | 1/15/24 | 100,000 | 142,456 | ||||
AnaCap Financial Europe SA SICAV-RAIF, | EUR | 5.00 | 8/1/24 | 200,000 | c | 234,578 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Financials - 24.4% (continued) | |||||||||
Aquarius & Investments, | 8.25 | 9/29/49 | 200,000 | 202,484 | |||||
Banco Bilbao Vizcaya Argentaria, | EUR | 5.88 | 5/24/22 | 200,000 | 263,946 | ||||
Banco Santander, | EUR | 5.25 | 9/29/23 | 200,000 | 256,411 | ||||
Bank Nederlandse Gemeenten, | 1.25 | 6/25/18 | 460,000 | b | 459,461 | ||||
Bank of England, | 1.25 | 3/14/19 | 410,000 | 406,012 | |||||
Bank of England Euro Note, | 2.50 | 3/5/21 | 396,000 | 392,614 | |||||
Bank of Ireland Group, | GBP | 3.13 | 9/19/27 | 100,000 | 136,027 | ||||
Citigroup, | 5.50 | 9/13/25 | 240,000 | 256,314 | |||||
Close Brothers Finance, | GBP | 2.75 | 10/19/26 | 141,000 | 196,012 | ||||
Commonwealth Bank of Australia, | 2.13 | 7/22/20 | 250,000 | 245,226 | |||||
Coventry Building Society, | GBP | 0.91 | 3/17/20 | 100,000 | c | 138,105 | |||
Coventry Building Society, | GBP | 6.38 | 12/31/49 | 200,000 | 286,527 | ||||
Coventry Building Society, | EUR | 2.50 | 11/18/20 | 200,000 | 256,137 | ||||
CYBG, | GBP | 3.13 | 6/22/25 | 280,000 | 384,248 | ||||
Danske Bank, | GBP | 5.38 | 9/29/21 | 90,000 | 125,824 | ||||
DNB Boligkreditt, | 2.50 | 3/28/22 | 255,000 | 248,251 | |||||
ECL Finance, | INR | 9.05 | 12/28/19 | 14,500,000 | 217,661 | ||||
Housing Development Finance, | INR | 7.88 | 8/21/19 | 20,000,000 | 300,496 | ||||
HSBC Bank, | GBP | 5.38 | 11/4/30 | 195,000 | 313,267 | ||||
Investec, | GBP | 6.75 | 12/5/49 | 200,000 | 286,479 | ||||
JAB Holdings, | EUR | 1.25 | 5/22/24 | 100,000 | 122,024 | ||||
Jerrold Finco, | GBP | 6.13 | 1/15/24 | 108,000 | 149,790 | ||||
JPMorgan Chase & Co., | 3.56 | 10/29/20 | 163,000 | c | 166,425 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Financials - 24.4% (continued) | |||||||||
JPMorgan Chase Bank, | 2.07 | 2/13/20 | 460,000 | c | 460,411 | ||||
Kreditanstalt fuer Wiederaufbau, | GBP | 1.13 | 12/23/19 | 360,000 | 498,262 | ||||
Lloyds Bank, | EUR | 13.00 | 1/29/49 | 66,000 | 107,796 | ||||
Lloyds Banking Group, | GBP | 7.00 | 12/31/49 | 200,000 | 288,426 | ||||
Nationwide Building Society, | GBP | 6.88 | 12/31/49 | 200,000 | 287,978 | ||||
New York Life Global Funding, | 1.70 | 9/14/21 | 270,000 | 257,524 | |||||
Prudential, | GBP | 5.88 | 5/11/29 | 205,000 | 368,861 | ||||
Royal Bank of Canada, | 2.00 | 10/1/18 | 125,000 | 124,804 | |||||
Royal Bank of Canada, | 1.88 | 2/5/20 | 280,000 | 275,166 | |||||
Royal Bank of Scotland Group, | 7.50 | 12/29/49 | 200,000 | 210,550 | |||||
Saga, | GBP | 3.38 | 5/12/24 | 128,000 | 166,935 | ||||
Santander UK, | GBP | 9.63 | 10/30/23 | 147,000 | 210,625 | ||||
Silverback Finance, | EUR | 3.13 | 2/25/37 | 193,807 | 241,902 | ||||
Skipton Building Society, | GBP | 1.02 | 5/2/23 | 133,000 | c | 183,327 | |||
Societe Generale, | EUR | 6.75 | 12/31/49 | 243,000 | 326,776 | ||||
Stadshypotek, | 2.50 | 4/5/22 | 307,000 | 299,049 | |||||
TP ICAP, | GBP | 5.25 | 1/26/24 | 190,000 | 275,680 | ||||
UBS, | EUR | 4.75 | 2/12/26 | 235,000 | 312,361 | ||||
UNITE USAF II, | GBP | 3.37 | 6/30/28 | 100,000 | 147,034 | ||||
US Bank, | 2.68 | 4/26/21 | 250,000 | c | 250,255 | ||||
Westpac Banking, | 1.38 | 5/30/18 | 330,000 | 329,770 | |||||
12,250,906 | |||||||||
Foreign/Governmental - 29.7% | |||||||||
Brazil Letras do Tesouro Nacional, | BRL | 0.00 | 7/1/21 | 3,000,000 | d | 666,374 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Foreign/Governmental - 29.7% (continued) | |||||||||
Brazilian Government, | BRL | 10.00 | 1/1/25 | 1,000,000 | 303,509 | ||||
Brazilian Government, | 4.63 | 1/13/28 | 487,000 | 469,590 | |||||
Caisse des Depots et Consignations, | 1.25 | 5/17/19 | 400,000 | 394,506 | |||||
Canada Housing Trust No 1, | CAD | 2.00 | 12/15/19 | 1,140,000 | b | 889,368 | |||
Czech Republic, | CZK | 4.70 | 9/12/22 | 9,910,000 | 542,876 | ||||
Dominican Government, | DOP | 8.90 | 2/15/23 | 8,100,000 | 169,318 | ||||
Ecuadorian Government, | 10.50 | 3/24/20 | 200,000 | 206,750 | |||||
European Bank for Reconstruction & Development, | 2.27 | 3/23/20 | 292,000 | c | 291,860 | ||||
European Investment Bank, | GBP | 0.80 | 2/17/20 | 350,000 | c | 484,471 | |||
Export-Import Bank of Korea, | 2.82 | 10/21/19 | 401,000 | c | 400,914 | ||||
Export-Import Bank of Korea, | 3.23 | 1/25/22 | 309,000 | c | 310,253 | ||||
FMS Wertmanagement, | 2.75 | 3/6/23 | 500,000 | 494,100 | |||||
FMS Wertmanagement, | 2.06 | 11/27/19 | 600,000 | c | 600,969 | ||||
Indonesian Government, | IDR | 8.25 | 5/15/36 | 9,050,000,000 | 698,631 | ||||
Instituto de Credito Oficial, | 1.63 | 9/14/18 | 390,000 | 388,794 | |||||
International Bank for Reconstruction & Development, | 2.09 | 2/11/21 | 410,000 | c | 412,839 | ||||
Italy Buoni Poliennali Del Tesoro, | EUR | 3.75 | 3/1/21 | 360,000 | 480,918 | ||||
Kommunekredit, | 1.63 | 6/1/21 | 410,000 | 394,824 | |||||
Kuwaiti Government, | 2.75 | 3/20/22 | 630,000 | 611,656 | |||||
Malaysian Government, | MYR | 4.06 | 9/30/24 | 3,480,000 | 893,345 | ||||
Mexican Government, | MXN | 8.00 | 11/7/47 | 4,430,000 | 246,024 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Foreign/Governmental - 29.7% (continued) | |||||||||
Mexican Government, | MXN | 7.50 | 6/3/27 | 4,530,000 | 242,529 | ||||
Mongolian Government, | 5.63 | 5/1/23 | 250,000 | 243,108 | |||||
National Highways Authority of India, | INR | 7.30 | 5/18/22 | 10,000,000 | 148,639 | ||||
Netherlands Development Finance, | 2.50 | 10/21/19 | 192,000 | c | 192,326 | ||||
New Zealand Government, | NZD | 3.00 | 4/15/20 | 930,000 | 662,570 | ||||
New Zealand Government, | NZD | 4.50 | 4/15/27 | 900,000 | 672,584 | ||||
Province of British Columbia Canada, | EUR | 0.88 | 10/8/25 | 328,000 | 402,695 | ||||
Queensland Treasury, | AUD | 2.75 | 8/20/27 | 540,000 | b | 391,602 | |||
Sri Lankan Government, | 6.00 | 1/14/19 | 400,000 | 405,478 | |||||
Swedish Export Credit, | 2.88 | 11/14/23 | 200,000 | b | 198,890 | ||||
Treasury Corporation of Victoria, | AUD | 4.25 | 12/20/32 | 537,000 | 445,627 | ||||
Vietnamese Government, | 6.75 | 1/29/20 | 512,000 | 539,474 | |||||
14,897,411 | |||||||||
Health Care - 1.3% | |||||||||
BUPA Finance, | GBP | 6.13 | 12/29/49 | 130,000 | 193,587 | ||||
HCA, | 6.50 | 2/15/20 | 190,000 | 199,025 | |||||
Rede D'Or Finance SARL, | 4.95 | 1/17/28 | 200,000 | 185,125 | |||||
Teva Pharmaceutical Finance Netherlands III, | 2.20 | 7/21/21 | 98,000 | 88,477 | |||||
666,214 | |||||||||
Industrials - 3.6% | |||||||||
AA Bond, | GBP | 4.25 | 7/31/43 | 100,000 | 142,771 | ||||
Belden, | EUR | 2.88 | 9/15/25 | 125,000 | 148,347 | ||||
CEMEX Finance, | 6.00 | 4/1/24 | 220,000 | 226,710 | |||||
Firstgroup, | GBP | 6.13 | 1/18/19 | 275,000 | 390,911 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Industrials - 3.6% (continued) | |||||||||
General Electric, | GBP | 6.44 | 11/15/22 | 23,099 | 35,171 | ||||
Georgian Railway, | 7.75 | 7/11/22 | 263,000 | 283,768 | |||||
GMR Hyderabad International Airport, | 4.25 | 10/27/27 | 200,000 | 182,459 | |||||
Heathrow Finance, | GBP | 3.88 | 3/1/27 | 175,000 | 231,937 | ||||
Jeld-Wen, | 4.63 | 12/15/25 | 34,000 | b | 32,715 | ||||
ProGroup, | EUR | 3.00 | 3/31/26 | 110,000 | 132,597 | ||||
1,807,386 | |||||||||
Information Technology - 2.1% | |||||||||
eBay, | 2.25 | 8/1/19 | 329,000 | c | 329,719 | ||||
EMC, | 1.88 | 6/1/18 | 260,000 | 259,734 | |||||
First Data, | 5.38 | 8/15/23 | 200,000 | b | 204,460 | ||||
Microsoft, | 2.00 | 8/8/23 | 250,000 | 235,171 | |||||
1,029,084 | |||||||||
Materials - 1.3% | |||||||||
Packaging Corporation of America, | 2.45 | 12/15/20 | 71,000 | 69,609 | |||||
Packaging Corporation of America, | 3.40 | 12/15/27 | 160,000 | 150,255 | |||||
Pro-Gest, | EUR | 3.25 | 12/15/24 | 120,000 | 141,952 | ||||
PSPC Escrow, | EUR | 6.00 | 2/1/23 | 110,000 | 138,560 | ||||
Silgan Holdings, | EUR | 3.25 | 3/15/25 | 120,000 | 148,496 | ||||
648,872 | |||||||||
Real Estate - 3.0% | |||||||||
DEMIRE Deutsche Mittelstand Real Estate, | EUR | 2.88 | 7/15/22 | 120,000 | 148,385 | ||||
Equinix, | EUR | 2.88 | 2/1/26 | 110,000 | 128,546 | ||||
Iron Mountain, | EUR | 3.00 | 1/15/25 | 225,000 | 269,836 | ||||
London & Quadrant Housing Trust, | GBP | 2.63 | 5/5/26 | 142,000 | 198,292 |
12
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Real Estate - 3.0% (continued) | |||||||||
SELP Finance Sarl, | EUR | 1.25 | 10/25/23 | 150,000 | 181,351 | ||||
Summit Germany, | EUR | 2.00 | 1/31/25 | 122,000 | 143,539 | ||||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 72,983 | 118,486 | ||||
Vonovia Finance, | EUR | 1.50 | 3/31/25 | 242,000 | 296,463 | ||||
1,484,898 | |||||||||
Telecommunication Services - 3.2% | |||||||||
Arqiva Broadcast Finance, | GBP | 9.50 | 3/31/20 | 120,000 | 173,875 | ||||
AT&T, | GBP | 3.55 | 9/14/37 | 298,000 | 413,486 | ||||
Orange, | EUR | 4.00 | 12/31/49 | 100,000 | 132,775 | ||||
Sable International Finance, | 6.88 | 8/1/22 | 234,000 | b | 246,578 | ||||
Sprint Capital, | 8.75 | 3/15/32 | 153,000 | 175,950 | |||||
Telefonica Europe, | EUR | 4.20 | 12/29/49 | 100,000 | 127,329 | ||||
T-Mobile USA, | 6.00 | 3/1/23 | 129,000 | 133,999 | |||||
T-Mobile USA, | 6.00 | 4/15/24 | 90,000 | 94,473 | |||||
Verizon Communications, | 3.15 | 3/16/22 | 103,000 | c | 105,256 | ||||
1,603,721 | |||||||||
U.S. Government Securities - 13.1% | |||||||||
U.S. Treasury Bonds | 2.88 | 5/15/43 | 1,750,000 | 1,682,153 | |||||
U.S. Treasury Inflation Protected Securities, | 2.38 | 1/15/25 | 2,203,506 | e | 2,445,278 | ||||
U.S. Treasury Inflation Protected Securities, | 2.13 | 2/15/41 | 511,569 | e | 646,296 | ||||
U.S. Treasury Notes | 1.63 | 8/15/22 | 968,800 | 924,788 | |||||
U.S. Treasury Notes | 2.13 | 7/31/24 | 885,000 | 846,886 | |||||
6,545,401 | |||||||||
Utilities - 2.8% | |||||||||
Anglian Water Services Financing, | GBP | 1.63 | 8/10/25 | 115,000 | 153,054 | ||||
Cadent Finance, | GBP | 1.13 | 9/22/21 | 264,000 | 358,680 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.0% (continued) | |||||||||
Utilities - 2.8% (continued) | |||||||||
Electricite de France, | GBP | 6.00 | 1/28/49 | 100,000 | 144,574 | ||||
Israel Electric, | 4.25 | 8/14/28 | 200,000 | b | 191,733 | ||||
Orsted, | GBP | 4.88 | 1/12/32 | 116,000 | 195,240 | ||||
Southern Gas Networks, | GBP | 5.13 | 11/2/18 | 250,000 | 351,121 | ||||
1,394,402 | |||||||||
Total Bonds and Notes | 48,609,892 | ||||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount | Value ($) | |||||
Options Purchased - .1% | |||||||||
Put Options - .1% | �� | ||||||||
U.S. 10 Year Treasury Notes, | 120.00 | 6/2018 | 62,000 | 40,688 |
14
Description | Current | Shares | Value ($) | ||||||
Other Investment - 1.3% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 662,412 | f | 662,412 | |||||
Total Investments (cost $49,263,367) | 98.4% | 49,312,992 | |||||||
Cash and Receivables (Net) | 1.6% | 784,509 | |||||||
Net Assets | 100.0% | 50,097,501 |
LIBOR—London Interbank Offered Rate
AUD—Australian Dollar
BRL—Brazilian Real
CAD—Canadian Dollar
CZK—Czech Koruna
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
MXN—Mexican Peso
MYR—Malaysian Ringgit
NZD—New Zealand Dollar
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 April 30, 2018, these securities were valued at $3,314,467 or 6.62% of net assets.
c Variable rate security—rate shown is the interest rate in effect at period end.
d Security issued with a zero coupon. Income is recognized through the accretion of discount.
e Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
f Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Corporate Bonds | 54.2 |
Foreign/Governmental | 29.7 |
U.S. Government Securities | 13.1 |
Money Market Investment | 1.3 |
Options Purchased | .1 |
98.4 |
† Based on net assets.
See notes to financial statements.
15
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 94,681 | 21,908,832 | 21,341,101 | 662,412 | 1.3 | 9,538 |
See notes to financial statements.
16
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Short | ||||||
Euro BTP Italian Government Bond | 2 | 6/2018 | (326,376)a | (335,736) | (9,360) | |
Long Gilt | 4 | 6/2018 | (676,215)a | (673,266) | 2,949 | |
Gross Unrealized Appreciation | 2,949 | |||||
Gross Unrealized Depreciation | (9,360) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
17
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup | |||||
Euro | 224 | United States Dollar | 271 | 5/2/18 | - |
Japanese Yen | 56,641,000 | United States Dollar | 538,498 | 5/15/18 | (19,853) |
Norwegian Krone | 5,240,726 | United States Dollar | 681,659 | 5/15/18 | (28,039) |
United States Dollar | 735,534 | Australian Dollar | 972,000 | 5/15/18 | 3,746 |
United States Dollar | 933,670 | Canadian Dollar | 1,157,711 | 5/15/18 | 31,713 |
United States Dollar | 572,206 | Czech Koruna | 11,770,520 | 5/15/18 | 16,411 |
United States Dollar | 5,615,772 | Euro | 4,483,773 | 5/15/18 | 195,118 |
United States Dollar | 1,313,892 | British Pound | 944,717 | 5/15/18 | 12,380 |
United States Dollar | 139,150 | Mexican New Peso | 2,623,726 | 5/15/18 | (797) |
State Street Bank and Trust Co | |||||
British Pound | 133,000 | United States Dollar | 182,904 | 5/2/18 | 198 |
Japanese Yen | 24,177,000 | United States Dollar | 230,737 | 5/15/18 | (9,355) |
Norwegian Krone | 582,000 | United States Dollar | 75,407 | 5/15/18 | (2,820) |
Swedish Krona | 4,189,006 | United States Dollar | 500,790 | 5/15/18 | (21,839) |
United States Dollar | 880,009 | Australian Dollar | 1,119,225 | 5/15/18 | 37,379 |
United States Dollar | 249,332 | Brazilian Real | 839,000 | 5/15/18 | 10,209 |
United States Dollar | 2,252,111 | Euro | 1,822,206 | 5/15/18 | 49,157 |
United States Dollar | 3,059,212 | British Pound | 2,174,499 | 5/15/18 | 63,461 |
United States Dollar | 237,672 | Indian Rupee | 15,394,000 | 5/15/18 | 7,407 |
United States Dollar | 249,301 | Mexican New Peso | 4,576,000 | 5/15/18 | 5,221 |
United States Dollar | 1,299,814 | New Zealand Dollar | 1,795,680 | 5/15/18 | 36,450 |
UBS | |||||
British Pound | 2,240 | United States Dollar | 3,076 | 5/1/18 | 8 |
United States Dollar | 933,284 | Euro | 752,796 | 5/15/18 | 23,192 |
18
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
UBS (continued) | |||||
United States Dollar | 8,037,279 | British Pound | 5,674,591 | 5/15/18 | 219,542 |
United States Dollar | 117,126 | Mexican New Peso | 2,238,000 | 5/15/18 | (2,247) |
United States Dollar | 72,353 | New Zealand Dollar | 98,111 | 5/15/18 | 3,326 |
Gross Unrealized Appreciation | 714,918 | ||||
Gross Unrealized Depreciation | (84,950) |
See notes to financial statements.
19
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 48,600,955 |
| 48,650,580 |
| ||
Affiliated issuers |
| 662,412 |
| 662,412 |
| |
Cash |
|
|
|
| 2,669 |
|
Cash denominated in foreign currency |
|
| 2,066 |
| 2,164 |
|
Unrealized appreciation on forward foreign |
| 714,918 |
| |||
Dividends and interest receivable |
| 520,285 |
| |||
Receivable for investment securities sold |
| 223,562 |
| |||
Receivable for shares of Common Stock subscribed |
| 20,000 |
| |||
Cash collateral held by broker—Note 4 |
| 14,241 |
| |||
Prepaid expenses |
|
|
|
| 37,472 |
|
|
|
|
|
| 50,848,303 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 9,396 |
|
Payable for investment securities purchased |
| 604,583 |
| |||
Unrealized depreciation on forward foreign |
| 84,950 |
| |||
Payable for futures variation margin—Note 4 |
| 3,862 |
| |||
Payable for shares of Common Stock redeemed |
| 2,125 |
| |||
Accrued expenses |
|
|
|
| 45,886 |
|
|
|
|
|
| 750,802 |
|
Net Assets ($) |
|
| 50,097,501 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 50,537,447 |
|
Accumulated undistributed investment income—net |
| 128,888 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (1,243,290) |
|
Accumulated net unrealized appreciation (depreciation) |
| 674,456 |
| |||
Net Assets ($) |
|
| 50,097,501 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 800,983 | 583,836 | 3,718,031 | 44,994,651 |
|
Shares Outstanding | 65,929 | 48,826 | 304,853 | 3,688,410 |
|
Net Asset Value Per Share ($) | 12.15 | 11.96 | 12.20 | 12.20 |
|
See notes to financial statements. |
20
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 710,844 |
| ||
Dividends: |
| |||||
Unaffiliated issuers |
|
| 10,388 |
| ||
Affiliated issuers |
|
| 9,538 |
| ||
Total Income |
|
| 730,770 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 94,263 |
| ||
Professional fees |
|
| 54,388 |
| ||
Registration fees |
|
| 30,300 |
| ||
Prospectus and shareholders’ reports |
|
| 7,787 |
| ||
Custodian fees—Note 3(c) |
|
| 7,676 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 6,109 |
| ||
Distribution fees—Note 3(b) |
|
| 2,371 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 1,808 |
| ||
Loan commitment fees—Note 2 |
|
| 453 |
| ||
Miscellaneous |
|
| 19,217 |
| ||
Total Expenses |
|
| 224,372 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (101,910) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (57) |
| ||
Net Expenses |
|
| 122,405 |
| ||
Investment Income—Net |
|
| 608,365 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 35,163 |
| ||||
Net realized gain (loss) on options transactions | 143,223 |
| ||||
Net realized gain (loss) on futures | (21,149) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (891,337) |
| ||||
Net Realized Gain (Loss) |
|
| (734,100) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (311,737) |
| ||
Net unrealized appreciation (depreciation) on options transactions | (3,087) |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| 16,468 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 449,927 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 151,571 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (582,529) |
| ||
Net Increase in Net Assets Resulting from Operations |
| 25,836 |
| |||
See notes to financial statements. |
21
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 608,365 |
|
|
| 790,126 |
| |
Net realized gain (loss) on investments |
| (734,100) |
|
|
| (520,086) |
| ||
Net unrealized appreciation (depreciation) |
| 151,571 |
|
|
| 852,575 |
| ||
Net Increase (Decrease) in Net Assets | 25,836 |
|
|
| 1,122,615 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (5,497) |
|
|
| (50,770) |
| |
Class C |
|
| (2,785) |
|
|
| (16,808) |
| |
Class I |
|
| (26,549) |
|
|
| (40,162) |
| |
Class Y |
|
| (257,083) |
|
|
| (1,063,886) |
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Class A |
|
| - |
|
|
| (608) |
| |
Class C |
|
| - |
|
|
| (230) |
| |
Class I |
|
| - |
|
|
| (471) |
| |
Class Y |
|
| - |
|
|
| (12,209) |
| |
Total Distributions |
|
| (291,914) |
|
|
| (1,185,144) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 197,035 |
|
|
| 180,404 |
| |
Class C |
|
| 47,500 |
|
|
| 99,777 |
| |
Class I |
|
| 1,062,721 |
|
|
| 3,285,341 |
| |
Class Y |
|
| 7,338,467 |
|
|
| 7,271,205 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 4,916 |
|
|
| 48,686 |
| |
Class C |
|
| 2,422 |
|
|
| 14,727 |
| |
Class I |
|
| 26,549 |
|
|
| 40,613 |
| |
Class Y |
|
| 200,303 |
|
|
| 870,213 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (77,274) |
|
|
| (1,331,970) |
| |
Class C |
|
| (163,014) |
|
|
| (77,228) |
| |
Class I |
|
| (1,161,207) |
|
|
| (790,155) |
| |
Class Y |
|
| (3,055,760) |
|
|
| (2,293,351) |
| |
Increase (Decrease) in Net Assets | 4,422,658 |
|
|
| 7,318,262 |
| |||
Total Increase (Decrease) in Net Assets | 4,156,580 |
|
|
| 7,255,733 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 45,940,921 |
|
|
| 38,685,188 |
| |
End of Period |
|
| 50,097,501 |
|
|
| 45,940,921 |
| |
Undistributed (distributions in excess of) | 128,888 |
|
|
| (187,563) |
|
22
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class A |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 16,116 |
|
|
| 14,906 |
| |
Shares issued for distributions reinvested |
|
| 404 |
|
|
| 4,071 |
| |
Shares redeemed |
|
| (6,359) |
|
|
| (111,006) |
| |
Net Increase (Decrease) in Shares Outstanding | 10,161 |
|
|
| (92,029) |
| |||
Class C |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 3,967 |
|
|
| 8,337 |
| |
Shares issued for distributions reinvested |
|
| 202 |
|
|
| 1,243 |
| |
Shares redeemed |
|
| (13,577) |
|
|
| (6,430) |
| |
Net Increase (Decrease) in Shares Outstanding | (9,408) |
|
|
| 3,150 |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 86,775 |
|
|
| 271,560 |
| |
Shares issued for distributions reinvested |
|
| 2,178 |
|
|
| 3,393 |
| |
Shares redeemed |
|
| (95,051) |
|
|
| (64,944) |
| |
Net Increase (Decrease) in Shares Outstanding | (6,098) |
|
|
| 210,009 |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 601,567 |
|
|
| 601,724 |
| |
Shares issued for distributions reinvested |
|
| 16,418 |
|
|
| 72,624 |
| |
Shares redeemed |
|
| (249,579) |
|
|
| (189,361) |
| |
Net Increase (Decrease) in Shares Outstanding | 368,406 |
|
|
| 484,987 |
| |||
aDuring the period ended April 30, 2018, 6,216 Class Y shares representing $76,270 were exchanged for 6,221 Class I shares and during the period ended October 31, 2017, 2,080 Class Y shares representing $25,229 were exchanged for 2,080 Class I shares. | |||||||||
See notes to financial statements. |
23
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||||||
Class A Shares | April 30, 2018 | Year Ended October 31, | |||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||
Per Share Data ($): | |||||||||||
Net asset value, beginning of period | 12.23 | 12.30 | 12.13 | 12.70 | 12.59 | 13.03 | |||||
Investment Operations: | |||||||||||
Investment income—neta | .14 | .19 | .13 | .16 | .26 | .32 | |||||
Net realized and unrealized | (.14) | .10 | .25 | (.18) | (.00)b | (.04) | |||||
Total from Investment Operations | (.00)b | .29 | .38 | (.02) | .26 | .28 | |||||
Distributions: | |||||||||||
Dividends from | (.08) | (.36) | (.19) | (.49) | (.15) | (.51) | |||||
Dividends from net realized | - | (.00)b | (.02) | (.06) | - | (.21) | |||||
Total Distributions | (.08) | (.36) | (.21) | (.55) | (.15) | (.72) | |||||
Net asset value, end of period | 12.15 | 12.23 | 12.30 | 12.13 | 12.70 | 12.59 | |||||
Total Return (%)c | (.02)d | 2.45 | 3.20 | (.15) | 2.08 | 2.12 | |||||
Ratios/Supplemental Data (%): | |||||||||||
Ratio of total expenses | 1.36e | 1.37 | 1.64 | 1.99 | 2.22 | 2.31 | |||||
Ratio of net expenses | .75e | .89 | .95 | .95 | 1.02 | 1.10 | |||||
Ratio of net investment income | 2.34e | 1.65 | 1.10 | 1.29 | 2.04 | 2.49 | |||||
Portfolio Turnover Rate | 84.91d | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | |||||
Net Assets, end of period ($ x 1,000) | 801 | 682 | 1,818 | 1,407 | 1,466 | 1,912 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
24
Six Months Ended | ||||||||||||
Class C Shares | April 30, 2018 | Year Ended October 31, | ||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, beginning of period | 12.06 | 12.18 | 12.05 | 12.62 | 12.54 | 12.98 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .09 | .11 | .04 | .07 | .17 | .23 | ||||||
Net realized and unrealized | (.14) | .08 | .25 | (.19) | (.00)b | (.06) | ||||||
Total from Investment Operations | (.05) | .19 | .29 | (.12) | .17 | .17 | ||||||
Distributions: | ||||||||||||
Dividends from | (.05) | (.31) | (.14) | (.39) | (.09) | (.40) | ||||||
Dividends from net realized | - | (.00)b | (.02) | (.06) | - | (.21) | ||||||
Total Distributions | (.05) | (.31) | (.16) | (.45) | (.09) | (.61) | ||||||
Net asset value, end of period | 11.96 | 12.06 | 12.18 | 12.05 | 12.62 | 12.54 | ||||||
Total Return (%)c | (.33)d | 1.59 | 2.47 | (.94) | 1.30 | 1.41 | ||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | 2.03e | 2.09 | 2.39 | 2.74 | 2.95 | 3.03 | ||||||
Ratio of net expenses | 1.50e | 1.64 | 1.70 | 1.70 | 1.76 | 1.85 | ||||||
Ratio of net investment income | 1.60e | .90 | .35 | .54 | 1.31 | 1.83 | ||||||
Portfolio Turnover Rate | 84.91d | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | ||||||
Net Assets, end of period ($ x 1,000) | 584 | 702 | 671 | 788 | 1,051 | 819 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||||||||
Class I Shares | April 30, 2018 | Year Ended October 31, | ||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, beginning of period | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | 13.04 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .16 | .23 | .15 | .19 | .29 | .36 | ||||||
Net realized and unrealized | (.15) | .08 | .27 | (.18) | (.00)b | (.06) | ||||||
Total from Investment Operations | .01 | .31 | .42 | .01 | .29 | .30 | ||||||
Distributions: | ||||||||||||
Dividends from | (.08) | (.37) | (.21) | (.52) | (.18) | (.53) | ||||||
Dividends from net realized | - | (.00)b | (.02) | (.06) | - | (.21) | ||||||
Total Distributions | (.08) | (.37) | (.23) | (.58) | (.18) | (.74) | ||||||
Net asset value, end of period | 12.20 | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | ||||||
Total Return (%) | .16c | 2.57 | 3.52 | .07 | 2.30 | 2.33 | ||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | 1.07d | 1.14 | 1.39 | 1.70 | 1.88 | 1.96 | ||||||
Ratio of net expenses | .50d | .65 | .70 | .70 | .77 | .85 | ||||||
Ratio of net investment income | 2.60d | 1.91 | 1.35 | 1.54 | 2.29 | 2.86 | ||||||
Portfolio Turnover Rate | 84.91c | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | ||||||
Net Assets, end of period ($ x 1,000) | 3,718 | 3,815 | 1,244 | 5,472 | 10,292 | 9,391 |
a Based on average shares outstanding.
b Amount represents less than $.01 per share.
c Not annualized.
d Annualized.
See notes to financial statements.
26
Six Months Ended | |||||||||||
Class Y Shares | April 30, 2018 | Year Ended October 31, | |||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | a | |||||
Per Share Data ($): | |||||||||||
Net asset value, beginning of period | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | 12.50 | |||||
Investment Operations: | |||||||||||
Investment income—netb | .16 | .23 | .16 | .19 | .29 | .10 | |||||
Net realized and unrealized | (.15) | .08 | .27 | (.18) | (.00)c | .11 | |||||
Total from Investment Operations | .01 | .31 | .43 | .01 | .29 | .21 | |||||
Distributions: | |||||||||||
Dividends from | (.08) | (.37) | (.22) | (.52) | (.18) | (.11) | |||||
Dividends from net realized | - | (.00)c | (.02) | (.06) | - | - | |||||
Total Distributions | (.08) | (.37) | (.24) | (.58) | (.18) | (.11) | |||||
Net asset value, end of period | 12.20 | 12.27 | 12.33 | 12.14 | 12.71 | 12.60 | |||||
Total Return (%) | .08d | 2.67 | 3.54 | .09 | 2.34 | 1.29 | d | ||||
Ratios/Supplemental Data (%): | |||||||||||
Ratio of total expenses | .92e | .98 | 1.23 | 1.31 | 1.88 | 2.09 | e | ||||
Ratio of net expenses | .50e | .64 | .70 | .70 | .75 | .85 | e | ||||
Ratio of net investment income | 2.60e | 1.90 | 1.35 | 1.54 | 2.30 | 2.36 | e | ||||
Portfolio Turnover Rate | 84.91d | 145.88 | 141.08 | 134.49 | 157.23 | 138.46 | |||||
Net Assets, end of period ($ x 1,000) | 44,995 | 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.
27
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Global Dynamic Bond Income Fund (the “fund”) is a separate non-diversified series of Advantage Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering ten series, including the fund. The fund’s investment objective is to seek total return (consisting of income and capital appreciation). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management (North America) Limited (“Newton”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser.
The Company’s Board of Directors (the “Board”) approved, effective March 19, 2018, a change in the fund’s name from “Dreyfus Global Dynamic Bond Fund” to “Dreyfus Global Dynamic Bond Income Fund”.
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 C shares automatically convert to Class A shares ten years after the date of purchase, without the imposition of a sales charge. Class I and Class Y shares are sold at net asset value per share generally to institutional investors. As of the date of this report, the fund did not offer Class T shares for purchase. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
As of April 30, 2018, 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
28
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).
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in securities, excluding short-term investments (other than U.S. Treasury Bills), financial 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 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.
The Service is engaged under the general supervision of the Board.
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 such securities are generally categorized within Level 3 of the fair value hierarchy.
30
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2018 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† | - | 27,167,080 | - | 27,167,080 | |
Foreign Government | - | 14,897,411 | - | 14,897,411 | |
Registered Investment Company | 662,412 | - | - | 662,412 | |
U.S. Treasury | - | 6,545,401 | - | 6,545,401 | |
Other Financial Instruments: |
|
| |||
Futures†† | 2,949 | - | - | 2,949 | |
Forward Foreign Currency Exchange Contracts†† | - | 714,918 | - | 714,918 | |
Options Purchased | 40,688 | - | - | 40,688 | |
Liabilities ($) |
|
|
| ||
Other Financial Instruments: |
|
|
| ||
Futures†† | (9,360) | - | - | (9,360) | |
Forward Foreign Currency Exchange Contracts†† | - | (84,950) | - | (84,950) |
† See Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2018, 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.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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. 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 April 30, 2018, Dreyfus Yield Enhancement Strategy Fund, an affiliate of the fund, held 2,623,619 Class Y shares representing approximately 64% 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
32
annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $275,038 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 short-term capital losses and $51,356 of long-term capital losses which can be carried forward for an unlimited period.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: ordinary income $1,185,144. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $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,
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2018, 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 .40% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 1, 2017 through March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .50% of the value of the fund’s average daily net assets. On or after March 1, 2019, Dreyfus may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $101,910 during the period ended April 30, 2018.
Pursuant to a sub-investment advisory agreement between Dreyfus and Newton, Dreyfus pays 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 April 30, 2018, the Distributor retained $30 from commissions earned on sales of the fund’s Class A shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2018, Class C shares were charged $2,371 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April
34
30, 2018, Class A and Class C shares were charged $987 and $790, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2018, the fund was charged $881 for transfer agency services and $33 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 $33.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2018, the fund was charged $7,676 pursuant to the custody agreement. These fees were partially offset by earnings credits of $24.
During the period ended April 30, 2018, the fund was charged $6,333 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $16,461, Distribution Plan fees $361, Shareholder Services Plan fees $288, custodian fees $7,349, Chief Compliance Officer fees $4,214 and transfer agency fees $881, which are offset against an expense reimbursement currently in effect in the amount of $20,158.
(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
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
contracts, during the period ended April 30, 2018, amounted to $43,110,606 and $38,718,394, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 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 April 30, 2018 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, or as a substitute for an investment. The fund is subject to market risk and interest rate risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell,
36
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 April 30, 2018, 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
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2018 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 43,637 | 1,2 | Interest rate risk | (9,360) | 1 | ||
Foreign exchange risk | 714,918 | 3 | Foreign exchange risk | (84,950) | 3 | ||
Gross fair value of | 758,555 | (94,310) | |||||
Statement of Assets and Liabilities location: | |||||||
1Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. | |||||||
2Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | |||||||
3Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | |||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| |
Interest | (21,149) | 143,223 | - | 122,074 | |||||
Foreign | - | - | (891,337) | (891,337) | |||||
Total | (21,149) | 143,223 | (891,337) | (769,263) | |||||
38
Change in unrealized appreciation (depreciation) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | 16,468 | (3,087) | - | 13,381 | ||||||
Foreign | - | - | 449,927 | 449,927 | ||||||
Total | 16,468 | (3,087) | 449,927 | 463,308 | ||||||
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 April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 2,949 | (9,360) | |||
Options | 40,688 | - | |||
Forward contracts | 714,918 | (84,950) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 758,555 | (94,310) | |||
Derivatives not subject to | |||||
Master Agreements | (43,637) | 9,360 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 714,918 | (84,950) |
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 April 30, 2018:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
Citigroup | 259,368 | (48,689) | - | 210,679 | ||
State Street Bank | 209,482 | (34,014) | - | 175,468 | ||
UBS | 246,068 | (2,247) | - | 243,821 | ||
Total | 714,918 | (84,950) | - | 629,968 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
Citigroup | (48,689) | 48,689 | - | - | ||
State Street Bank | (34,014) | 34,014 | - | - | ||
UBS | (2,247) | 2,247 | - | - | ||
Total | (84,950) | 84,950 | - | - | ||
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. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity options contracts | 16,221 | |
Interest rate futures | 1,482,484 | |
Interest rate options contracts | 48,998 | |
Forward contracts | 23,752,852 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $673,182, consisting of $1,455,423 gross unrealized appreciation and $782,241 gross unrealized depreciation.
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
40
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 February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select
41
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. They also considered that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of Dreyfus, its affiliates and/or the Subadviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group median for the three- and four-year periods and at the Performance Group median for the five-year period and below the Performance Universe median for all periods. The Board also considered that the fund’s yield performance was at or above the Performance Group median for three of the six one-year periods ended December 31st and above the Performance Universe median for four of the six one-year periods ended December 31st. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was considered that the fund’s returns were above the returns of the index in five of the six calendar years shown.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that: the fund’s contractual management fee was the lowest in the Expense Group, the fund’s actual management fee (which was zero) was the lowest in the Expense Group and Expense Universe and the fund’s total expenses were below the Expense Group and Expense Universe medians (lowest in the Expense Group).
Dreyfus representatives stated that Dreyfus has contractually agreed, until March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .50% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
42
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also considered the expense limitation arrangement and its effect on the profitability of Dreyfus and its affiliates. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
43
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB–INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· While expressing some concern about the fund’s total return performance in recent periods, the Board generally was satisfied with the fund’s overall performance.
· The Board concluded that the fees paid to Dreyfus and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
44
NOTES
45
Dreyfus Global Dynamic Bond Income 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.
© 2018 MBSC Securities Corporation |
Dreyfus Global Multi-Asset Income Fund
SEMIANNUAL REPORT April 30, 2018 |
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 | |
the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Global Multi-Asset Income Fund, covering the period from November 30, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from the fund’s inception on November 30, 2017 through April 30, 2018, as provided by primary portfolio managers Paul Flood and Bhavin Shah of Newton Investment Management (North America) Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the period between the fund’s inception on November 30, 2017 and April 30, 2018, Dreyfus Global Multi-Asset Income Fund’s Class A shares produced a total return of 2.06%, Class C shares returned 1.77%, Class I shares returned 2.25%, and Class Y shares returned 2.25%.1 In comparison, the fund’s benchmark, the MSCI ACWI Index, and its performance baseline benchmark, a blend of 60% MSCI ACWI Index/40% BofA Merrill Lynch Global Broad Market Index (USD Hedged), produced total returns of 1.60% and 0.90%, respectively, for the same period.2,3
Global stocks advanced moderately and bonds generally lost a degree of value over the reporting period amid synchronized economic growth and rising interest rates. The fund outperformed its benchmarks, as equities and currency provided the most support for the fund’s returns.
The Fund’s Investment Approach
The fund seeks current income, while maintaining the potential for long-term capital appreciation. To pursue its goal, the fund uses an actively managed global multi-asset strategy that focuses on income generation. The fund’s sub-adviser allocates the fund’s investments among equity and equity-related securities, debt and debt-related securities, and, generally to a lesser extent, real estate, commodities, and infrastructure in developed and emerging markets. The fund will seek to gain exposure to various asset classes principally through direct investments in securities, but the fund also may use derivative instruments and investments in other investment companies, including exchange-traded funds (ETFs) and real estate investment trusts (REITs) for such exposure.
Economic Growth Amid Rising Volatility
Global equity markets gained ground over the reporting period’s first half, supported by improving economic conditions and rising corporate earnings. Asian equity markets led the advance as Japanese equities responded positively to upward revisions of domestic growth forecasts and better-than-expected corporate earnings. U.S. stocks posted gains when tax reform legislation reduced corporate tax rates. Global growth trends enabled U.K. equities to climb despite a lackluster local economy and concerns regarding the country’s exit from the European Union. Eurozone markets proved sluggish despite improving regional economic fundamentals.
February 2018 and March 2018 saw heightened market volatility and declining stock prices sparked by perceived U.S. inflationary pressures and uncertainties surrounding the possibility of more protectionist U.S. trade policies. However, these concerns eased in April 2018, and higher oil prices benefited energy stocks.
Investment-grade bonds, as measured by the BofA Merrill Lynch Global Broad Market Index (USD Hedged), posted mild losses, on average, mainly due to rising interest rates in some regional markets as central banks moved away from their previously accommodative monetary policies.
Consumer and Health Care Stocks Dampened Results
Equities were the most significant contributor to the fund’s performance over the reporting period. The fund particularly benefited from lack of exposure to politically exposed U.K. stocks and an emphasis on renewable energy producers. Danish offshore wind farm company Ǿrsted delivered strong results as it continued its transition away from fossil fuels and towards renewable energy. In the financials sector, Georgian financial institution TBC Bank benefited from competitive advantages in an attractive market with low loan penetration and a sound regulatory environment. Hong Kong-based insurer AIA was bolstered by China’s move to open its financial sector to foreign investment. Among consumer services companies, Walmart de México reported better-than-expected same-store sales growth and has captured market share. Results from the fund’s equity investments were further bolstered for U.S. residents by a weakening U.S. dollar against most other currencies.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
However, results were less favorable in the consumer goods sectors, where German automaker Volkswagen surrendered a portion of its previous gains, and Japan Tobacco issued disappointing profit guidance for 2018 and delayed the market expansion of its next-generation smoking device.
The fund’s bond portfolio produced positive absolute returns over the reporting period, in part due to currency movements affecting foreign bonds.
Maintaining a Cautious Investment Posture
Escalating trade disputes appear likely to lead to higher inflation in the U.S., and higher import prices and reduced export activity could come at a cost to economic growth. Meanwhile, a ballooning U.S. federal budget deficit could weigh on bond prices.
In this environment, we have continued to follow our investment process of searching for sustainable income through a focus on the underlying cash flows of the companies and securities in which we invest. By selecting companies that we believe can continue paying their coupons and growing their dividends throughout the economic cycle, we aim to ensure the fund can pay a sustainable income over time. We believe such an approach should help the fund provide not only an attractive and growing income stream, but also an attractive total return over the full economic cycle.
May 15, 2018
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 and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. The fund’s returns reflect the absorption of certain fund expenses by The Dreyfus Corporation in effect until December 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. Past performance is no guarantee of future results.
2 Source: Lipper Inc. — Reflects reinvestment of net dividends and, where applicable, capital gain distributions. The MSCI ACWI Index captures large- and mid-cap representation across Developed Market (DM) countries and Emerging Market (EM) countries. Investors cannot invest directly in any index.
3 Source: FactSet — The BofA Merrill Lynch Global Broad Market Index tracks the performance of investment-grade public debt issued in the major domestic and eurobond markets, including “global” bonds.
Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus.
The fund’s performance will be influenced by political, social, and economic factors affecting investments in foreign companies. Special risks associated with investments in foreign 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. These risks generally are greater with emerging market countries than with more economically and politically established foreign countries.
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. These risks are generally greater with emerging market countries than with more economically and politically established foreign countries.
The use of derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in the underlying assets. Derivatives can be highly volatile, illiquid, and difficult to value, and there is the risk that changes in the value of a derivative held by the fund will not correlate with the underlying instruments or the fund’s other investments.
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
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 Multi-Asset Income Fund from November 30, 2017 (commencement of operations) to April 30, 2018. 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 five months ended April 30, 2018 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $4.00 | $7.14 | $2.95 | $2.95 | ||||
Ending value (after expenses) | $1,020.60 | $1,017.70 | $1,022.50 | $1,022.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018†† | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000††† | $4.76 | $8.50 | $3.51 | $3.51 | ||||
Ending value (after expenses) | $1,020.08 | $1,016.36 | $1,021.32 | $1,021.32 |
† Expenses are equal to the fund’s annualized expense ratio of .95% for Class A, 1.70% for Class C, .70% for Class I and .70% for Class Y, multiplied by the average account value over the period, multiplied by 152/365 (to reflect the actual days in the period).
†† Please note that while the Class A, Class C, Class I and Class Y shares commenced initial offering on November 30, 2017, the hypothetical expense paid during the period reflect projected activity for the full six month period for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period November 1, 2017 to April 30, 2018.
††† Expenses are equal to the fund’s annualized expense ratio of .95% for Class A, 1.70% for Class C, .70% for Class I and .70% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Coupon | Maturity | Principal | Value ($) | |||||
Convertible Bonds - 1.6% | |||||||||
China - .8% | |||||||||
Ctrip.com International, | 1.99 | 7/1/25 | 184,000 | 201,756 | |||||
United States - .8% | |||||||||
Redwood Trust, | 4.75 | 8/15/23 | 214,000 | 206,745 | |||||
Total Convertible Bonds | 408,501 | ||||||||
Bonds and Notes - 32.3% | |||||||||
Australia - 1.2% | |||||||||
Australian Government, | AUD | 3.25 | 4/21/29 | 400,000 | 314,043 | ||||
Brazil - .9% | |||||||||
Petrobras Global Finance, | 6.88 | 1/20/40 | 234,000 | 225,283 | |||||
Chile - .6% | |||||||||
Nova Austral, | 8.25 | 5/26/21 | 150,000 | b | 149,711 | ||||
Ecuador - .7% | |||||||||
Ecuadorian Government, | 8.88 | 10/23/27 | 200,000 | 189,250 | |||||
Fiji - .8% | |||||||||
Fiji Government, | 6.63 | 10/2/20 | 200,000 | 201,998 | |||||
Germany - .5% | |||||||||
Rocket Internet, | EUR | 3.00 | 7/22/22 | 100,000 | 126,141 | ||||
Indonesia - .8% | |||||||||
Indonesian Government, | IDR | 8.25 | 5/15/36 | 2,592,000,000 | 200,094 | ||||
Israel - .7% | |||||||||
Teva Pharmaceutical Finance Netherlands II, | EUR | 1.13 | 10/15/24 | 100,000 | 101,997 | ||||
Teva Pharmaceutical Finance Netherlands III, | 2.20 | 7/21/21 | 83,000 | 74,934 | |||||
176,931 | |||||||||
Japan - .7% | |||||||||
SoftBank Group, | 6.00 | 12/31/49 | 200,000 | 186,662 |
6
Description | Coupon | Maturity Date | Principal | a | Value ($) | ||||
Bonds and Notes - 32.3% (continued) | |||||||||
Mexico - 3.7% | |||||||||
Cemex, | 6.13 | 5/5/25 | 200,000 | 207,500 | |||||
Mexican Government, | MXN | 6.50 | 6/9/22 | 3,256,700 | 168,854 | ||||
Mexican Government, | MXN | 8.00 | 11/7/47 | 8,200,000 | 455,394 | ||||
Mexican Government, | MXN | 8.50 | 5/31/29 | 1,725,200 | 99,022 | ||||
930,770 | |||||||||
New Zealand - 2.1% | |||||||||
New Zealand Local Government Funding Agency, | NZD | 4.50 | 4/15/27 | 711,000 | 531,341 | ||||
United Kingdom - 5.3% | |||||||||
Arqiva Broadcast Finance, | GBP | 9.50 | 3/31/20 | 100,000 | 144,896 | ||||
Coventry Building Society, | GBP | 6.38 | 12/29/49 | 200,000 | 286,527 | ||||
Mclaren Finance, | GBP | 5.00 | 8/1/22 | 100,000 | 137,112 | ||||
Nationwide Building Society, | GBP | 6.88 | 3/11/49 | 100,000 | 143,989 | ||||
Scottish Widows, | GBP | 5.50 | 6/16/23 | 100,000 | 153,547 | ||||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 97,312 | 157,981 | ||||
TP ICAP, | GBP | 5.25 | 1/26/24 | 127,000 | 184,271 | ||||
Virgin Media Secured Finance, | GBP | 6.25 | 3/28/29 | 100,000 | 145,934 | ||||
1,354,257 | |||||||||
United States - 14.3% | |||||||||
CCO Holdings, | 5.50 | 5/1/26 | 75,000 | b | 73,215 | ||||
Sable International Finance, | 6.88 | 8/1/22 | 200,000 | b | 210,750 | ||||
Sprint, | 7.13 | 6/15/24 | 226,000 | 233,275 | |||||
Sprint Capital, | 8.75 | 3/15/32 | 109,000 | 125,350 | |||||
T-Mobile USA, | 6.00 | 3/1/23 | 87,000 | 90,371 | |||||
U.S. Treasury Inflation Protected Securities, | 2.38 | 1/15/25 | 449,048 | c | 498,319 | ||||
U.S. Treasury Notes | 1.50 | 10/31/19 | 1,660,200 | 1,637,859 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity Date | Principal | a | Value ($) | ||||
Bonds and Notes - 32.3% (continued) | |||||||||
United States - 14.3% (continued) | |||||||||
U.S. Treasury Notes | 2.00 | 2/15/25 | 800,000 | 755,391 | |||||
3,624,530 | |||||||||
Total Bonds and Notes | 8,211,011 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 62.5% | |||||||||
Australia - 3.9% | |||||||||
Dexus | 31,241 | d | 222,623 | ||||||
Insurance Australia Group | 46,501 | 275,632 | |||||||
Sydney Airport | 50,153 | 268,191 | |||||||
Transurban Group | 25,093 | 218,602 | |||||||
985,048 | |||||||||
Brazil - .7% | |||||||||
Ambev, ADR | 26,062 | 172,530 | |||||||
Canada - 1.1% | |||||||||
Suncor Energy | 7,135 | 272,852 | |||||||
China - 2.4% | |||||||||
China Harmony New Energy Auto Holding | 614,000 | e | 345,902 | ||||||
Hollysys Automation Technologies | 4,356 | 96,093 | |||||||
Man Wah Holdings | 236,800 | 175,449 | |||||||
617,444 | |||||||||
Denmark - 1.0% | |||||||||
Orsted | 3,959 | b | 260,413 | ||||||
Georgia - 2.7% | |||||||||
BGEO Group | 6,551 | 312,445 | |||||||
TBC Bank Group | 14,771 | 374,006 | |||||||
686,451 | |||||||||
Germany - 5.0% | |||||||||
HeidelbergCement | 998 | 97,857 | |||||||
Hella GmbH & Co KGaA | 3,104 | 191,480 | |||||||
Infineon Technologies | 11,045 | 282,878 | |||||||
Telefonica Deutschland Holding | 147,299 | 703,794 | |||||||
1,276,009 | |||||||||
Hong Kong - 6.3% | |||||||||
AIA Group | 65,600 | 585,688 | |||||||
Hopewell Highway Infrastructure | 546,500 | 332,690 | |||||||
Link REIT | 25,500 | d | 225,298 | ||||||
Samsonite International | 47,885 | 216,337 | |||||||
Sands China | 40,800 | 235,434 | |||||||
1,595,447 | |||||||||
Ireland - 2.1% | |||||||||
AIB Group | 32,124 | 191,315 |
8
Description | Shares | Value ($) | |||||||
Common Stocks - 62.5% (continued) | |||||||||
Ireland - 2.1% (continued) | |||||||||
CRH | 9,888 | 350,925 | |||||||
542,240 | |||||||||
Israel - 1.1% | |||||||||
Bank Hapoalim | 37,011 | 252,658 | |||||||
Teva Pharmaceutical Industries, ADR | 2,323 | 41,768 | |||||||
294,426 | |||||||||
Italy - 3.1% | |||||||||
Atlantia | 23,791 | 786,701 | |||||||
Japan - .9% | |||||||||
Japan Tobacco | 8,200 | 220,190 | |||||||
Mexico - 1.8% | |||||||||
Kimberly-Clark de Mexico, Cl. A | 68,656 | 124,412 | |||||||
Wal-Mart de Mexico | 123,200 | 342,551 | |||||||
466,963 | |||||||||
Netherlands - 1.1% | |||||||||
Wolters Kluwer | 5,051 | 272,519 | |||||||
New Zealand - 2.1% | |||||||||
SKYCITY Entertainment Group | 138,731 | 395,185 | |||||||
Spark New Zealand | 62,592 | 151,878 | |||||||
547,063 | |||||||||
Norway - 1.1% | |||||||||
Entra | 19,783 | b | 271,846 | ||||||
Singapore - 2.1% | |||||||||
Mapletree Greater China Commercial Trust | 256,000 | d | 229,933 | ||||||
Parkway Life REIT | 151,200 | d | 317,429 | ||||||
547,362 | |||||||||
Switzerland - 2.7% | |||||||||
ABB | 6,960 | 162,155 | |||||||
Burckhardt Compression Holding | 329 | 106,589 | |||||||
Novartis | 2,146 | 165,062 | |||||||
Zurich Insurance Group | 778 | 248,175 | |||||||
681,981 | |||||||||
United Kingdom - 12.8% | |||||||||
Ascential | 38,865 | 225,072 | |||||||
B&M European Value Retail | 43,823 | 243,461 | |||||||
BAE Systems | 48,059 | 403,305 | |||||||
British American Tobacco | 3,035 | 166,781 | |||||||
Diageo | 7,093 | 252,298 | |||||||
Dixons Carphone | 62,185 | 172,973 | |||||||
Ferguson | 4,443 | 339,433 | |||||||
GlaxoSmithKline | 5,359 | 107,539 | |||||||
Hikma Pharmaceuticals | 12,455 | 219,355 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 62.5% (continued) | |||||||||
United Kingdom - 12.8% (continued) | |||||||||
Informa | 18,914 | 192,162 | |||||||
Next | 1,694 | 122,049 | |||||||
Prudential | 18,328 | 470,068 | |||||||
Royal Dutch Shell, Cl. B | 5,789 | 206,795 | |||||||
UBM | 9,373 | 124,817 | |||||||
3,246,108 | |||||||||
United States - 8.5% | |||||||||
Albemarle | 1,865 | 180,830 | |||||||
American Homes 4 Rent, Cl. A | 9,773 | d | 197,415 | ||||||
Apple | 1,912 | 315,977 | |||||||
Applied Materials | 4,026 | 199,971 | |||||||
CA | 3,385 | 117,798 | |||||||
Citigroup | 4,681 | 319,572 | |||||||
Gilead Sciences | 1,042 | 75,264 | |||||||
Las Vegas Sands | 1,738 | 127,448 | |||||||
Microsoft | 2,117 | 197,982 | |||||||
Redwood Trust | 27,802 | d | 426,483 | ||||||
2,158,740 | |||||||||
Total Common Stocks | 15,902,333 | ||||||||
Preferred Stocks - 2.2% | |||||||||
Germany - 1.4% | |||||||||
Volkswagen | 2.34 | 1,698 | 351,630 | ||||||
South Korea - .8% | |||||||||
Samsung Electronics | 2.64 | 104 | f | 204,810 | |||||
Total Preferred Stocks | 556,440 |
10
Description | 7-Day | Shares | Value ($) | ||||||
Other Investment - .4% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 93,629 | g | 93,629 | |||||
Total Investments (cost $24,923,329) | 99.0% | 25,171,914 | |||||||
Cash and Receivables (Net) | 1.0% | 257,208 | |||||||
Net Assets | 100.0% | 25,429,122 |
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
AUD—Australian Dollar
EUR—Euro
GBP—British Pound
IDR—Indonesian Rupiah
MXN—Mexican Peso
NZD—New Zealand Dollar
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 April 30, 2018, these securities were valued at $965,935 or 3.8% of net assets.
c Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.
d Investment in real estate investment trust.
e Non-income producing security.
f The valuation of this security has been determined in good faith by management under the direction of the Board of Directors. At April 30, 2018, the value of this security amounted to $204,810 or .81% of net assets.
g Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited) † | Value (%) |
Common Stocks | 62.5 |
Corporate Bonds | 14.0 |
U.S. Government Securities | 11.4 |
Foreign Government | 6.4 |
Preferred Stocks | 2.2 |
Municipal Bonds | 2.1 |
Money Market Investment | .4 |
99.0 |
† Based on net assets.
See notes to financial statements.
11
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | - | 26,620,224 | 26,526,595 | 93,629 | .4 | 9,035 |
See notes to financial statements.
12
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
State Street Bank and Trust Co | |||||
Swiss Franc | 105,434 | United States Dollar | 106,641 | 5/2/18 | (250) |
United States Dollar | 775,511 | Australian Dollar | 987,000 | 5/16/18 | 32,428 |
United States Dollar | 240,851 | Euro | 192,880 | 5/16/18 | 7,651 |
United States Dollar | 121,159 | British Pound | 88,231 | 5/1/18 | (310) |
United States Dollar | 1,437,395 | British Pound | 1,018,000 | 7/13/18 | 30,725 |
United States Dollar | 2,317 | Mexican New Peso | 43,243 | 5/2/18 | 5 |
United States Dollar | 562,213 | New Zealand Dollar | 772,000 | 7/13/18 | 19,076 |
Gross Unrealized Appreciation | 89,885 | ||||
Gross Unrealized Depreciation | (560) |
See notes to financial statements.
13
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 24,829,700 |
| 25,078,285 |
| ||
Affiliated issuers |
| 93,629 |
| 93,629 |
| |
Cash denominated in foreign currency |
|
| 4,756 |
| 4,763 |
|
Dividends and interest receivable |
| 158,230 |
| |||
Receivable for investment securities sold |
| 119,020 |
| |||
Unrealized appreciation on forward foreign |
| 89,885 |
| |||
Due from The Dreyfus Corporation and affiliates—Note 3(c) |
| 10,351 |
| |||
Prepaid expenses |
|
|
|
| 83,391 |
|
|
|
|
|
| 25,637,554 |
|
Liabilities ($): |
|
|
|
| ||
Payable for investment securities purchased |
| 162,101 |
| |||
Unrealized depreciation on forward foreign |
| 560 |
| |||
Accrued expenses |
|
|
|
| 45,771 |
|
|
|
|
|
| 208,432 |
|
Net Assets ($) |
|
| 25,429,122 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 25,000,000 |
|
Accumulated undistributed investment income—net |
| 117,912 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (24,092) |
|
Accumulated net unrealized appreciation (depreciation) |
| 335,302 |
| |||
Net Assets ($) |
|
| 25,429,122 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 1,016,328 | 1,014,722 | 11,190,280 | 12,207,792 |
|
Shares Outstanding | 80,000 | 80,000 | 880,000 | 960,000 |
|
Net Asset Value Per Share ($) | 12.70 | 12.68 | 12.72 | 12.72 |
|
See notes to financial statements. |
14
STATEMENT OF OPERATIONS
From November 30, 2017 (commencement of operations) to April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $14,240 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 185,823 |
| ||
Affiliated issuers |
|
| 9,035 |
| ||
Interest (net of $1,177 foreign taxes withheld at source) |
|
| 122,528 |
| ||
Total Income |
|
| 317,386 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 58,083 |
| ||
Professional fees |
|
| 80,702 |
| ||
Registration fees |
|
| 40,578 |
| ||
Prospectus and shareholders’ reports |
|
| 12,364 |
| ||
Custodian fees—Note 3(c) |
|
| 8,600 |
| ||
Distribution fees—Note 3(b) |
|
| 3,144 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 2,444 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 1,343 |
| ||
Loan commitment fees—Note 2 |
|
| 259 |
| ||
Miscellaneous |
|
| 14,823 |
| ||
Total Expenses |
|
| 222,340 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (142,944) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (2) |
| ||
Net Expenses |
|
| 79,394 |
| ||
Investment Income—Net |
|
| 237,992 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 99,313 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (123,405) |
| ||||
Net Realized Gain (Loss) |
|
| (24,092) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 245,977 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 89,325 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 335,302 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 311,210 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 549,202 |
| |||
See notes to financial statements. |
15
STATEMENT OF CHANGES IN NET ASSETS
From November 30, 2017 (commencement of operations) to April 30, 2018 (Unaudited)
|
|
|
|
|
| |
Operations ($): |
|
|
|
|
| |
Investment income—net |
|
| 237,992 |
|
| |
Net realized gain (loss) on investments |
| (24,092) |
|
| ||
Net unrealized appreciation (depreciation) |
| 335,302 |
|
| ||
Net Increase (Decrease) in Net Assets | 549,202 |
|
| |||
Distributions to Shareholders from ($): | ||||||
Investment income—net: |
|
|
|
|
| |
Class A |
|
| (4,560) |
|
| |
Class C |
|
| (3,280) |
|
| |
Class I |
|
| (53,680) |
|
| |
Class Y |
|
| (58,560) |
|
| |
Total Distributions |
|
| (120,080) |
|
| |
Capital Stock Transactions ($): | ||||||
Net proceeds from shares sold: |
|
|
|
|
| |
Class A |
|
| 1,000,000 |
|
| |
Class C |
|
| 1,000,000 |
|
| |
Class I |
|
| 11,000,000 |
|
| |
Class Y |
|
| 12,000,000 |
|
| |
Increase (Decrease) in Net Assets | 25,000,000 |
|
| |||
Total Increase (Decrease) in Net Assets | 25,429,122 |
|
| |||
Net Assets ($): | ||||||
Beginning of Period |
|
| - |
|
| |
End of Period |
|
| 25,429,122 |
|
| |
Undistributed investment income—net | 117,912 |
|
| |||
Capital Share Transactions (Shares): | ||||||
Class A |
|
|
|
|
| |
Shares sold |
|
| 80,000 |
|
| |
Class C |
|
|
|
|
| |
Shares sold |
|
| 80,000 |
|
| |
Class I |
|
|
|
|
| |
Shares sold |
|
| 880,000 |
|
| |
Class Y |
|
|
|
|
| |
Shares sold |
|
| 960,000 |
|
| |
See notes to financial statements. |
16
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.
Period Ended April 30, | ||||||
Class A Shares | 2018a | |||||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 12.50 | |||||
Investment Operations: | ||||||
Investment income—netb | .11 | |||||
Net realized and unrealized | .15 | |||||
Total from Investment Operations | .26 | |||||
Distributions: | ||||||
Dividends from | (.06) | |||||
Net asset value, end of period | 12.70 | |||||
Total Return (%)c | 2.06d | |||||
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.31e | |||||
Ratio of net expenses | .95e | |||||
Ratio of net investment income | 2.06e | |||||
Portfolio Turnover Rate | 8.30d | |||||
Net Assets, end of period ($ x 1,000) | 1,016 |
a From November 30, 2017 (commencement of operations) to April 30, 2018.
b Based on average shares outstanding.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
17
FINANCIAL HIGHLIGHTS (continued)
Period Ended April 30, | ||||||
Class C Shares | 2018a | |||||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 12.50 | |||||
Investment Operations: | ||||||
Investment income—netb | .07 | |||||
Net realized and unrealized | .15 | |||||
Total from Investment Operations | .22 | |||||
Distributions: | ||||||
Dividends from | (.04) | |||||
Net asset value, end of period | 12.68 | |||||
Total Return (%)c | 1.77d | |||||
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 3.05e | |||||
Ratio of net expenses | 1.70e | |||||
Ratio of net investment income | 1.30e | |||||
Portfolio Turnover Rate | 8.30d | |||||
Net Assets, end of period ($ x 1,000) | 1,015 |
a From November 30, 2017 (commencement of operations) to April 30, 2018.
b Based on average shares outstanding.
c Exclusive of sales charge.
d Not annualized.
e Annualized.
See notes to financial statements.
18
Period Ended April 30, | ||||||
Class I Shares | 2018a | |||||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 12.50 | |||||
Investment Operations: | ||||||
Investment income—netb | .12 | |||||
Net realized and unrealized | .16 | |||||
Total from Investment Operations | .28 | |||||
Distributions: | ||||||
Dividends from | (.06) | |||||
Net asset value, end of period | 12.72 | |||||
Total Return (%) | 2.25c | |||||
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.05d | |||||
Ratio of net expenses | .70d | |||||
Ratio of net investment income | 2.30d | |||||
Portfolio Turnover Rate | 8.30c | |||||
Net Assets, end of period ($ x 1,000) | 11,190 |
a From November 30, 2017 (commencement of operations) to April 30, 2018.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
19
FINANCIAL HIGHLIGHTS (continued)
Period Ended April 30, | ||||||
Class Y Shares | 2018a | |||||
Per Share Data ($): | ||||||
Net asset value, beginning of period | 12.50 | |||||
Investment Operations: | ||||||
Investment income—netb | .12 | |||||
Net realized and unrealized | .16 | |||||
Total from Investment Operations | .28 | |||||
Distributions: | ||||||
Dividends from | (.06) | |||||
Net asset value, end of period | 12.72 | |||||
Total Return (%) | 2.25c | |||||
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.05d | |||||
Ratio of net expenses | .70d | |||||
Ratio of net investment income | 2.30d | |||||
Portfolio Turnover Rate | 8.30c | |||||
Net Assets, end of period ($ x 1,000) | 12,208 |
a From November 30, 2017 (commencement of operations) to April 30, 2018.
b Based on average shares outstanding.
c Not annualized.
d Annualized.
See notes to financial statements.
20
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Global Multi-Asset Income Fund (the “fund”) is a separate diversified series of Advantage Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering ten series, including the fund. The fund had no operations until November 30, 2017 (commencement of operations), other than matters relating to its organization and registration under the Act. 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. The fiscal year end of the fund is October 31.
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 and Class Y. Class A 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 C shares automatically convert to Class A shares ten years after the date of purchase, without the imposition of a sales charge. Class I and Class Y shares are sold at net asset value per share generally to institutional investors. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
As of April 30, 2018, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held all of the outstanding Class A, Class C, Class I and Class Y 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.
21
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The 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.
22
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), 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.
23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2018 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: | |||||
Convertible Bonds | - | 408,501 | - | 408,501 | |
Corporate Bonds | - | 3,129,446 | - | 3,129,446 | |
Equity Securities –Domestic | 2,158,740 | - | - | 2,158,740 | |
Equity Securities –Foreign | 310,391 | 13,433,202† | - | 13,743,593 | |
Equity Securities –Foreign | - | 556,440† | - | 556,440 | |
Foreign Government | - | 1,628,655 | - | 1,628,655 | |
Municipal Bonds | - | 531,341 | - | 531,341 | |
Registered Investment Company | 93,629 | - | - | 93,629 | |
U.S. Treasury | - | 2,891,569 | - | 2,891,569 |
24
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency | - | 89,885 | - | 89,885 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency | - | (560) | - | (560) |
† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2018, the amount of securities transferred between levels equals fair value of exchange traded equity securities reported as Level 2 in the table above. 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 amortization of premium on investments, is recognized on the accrual basis.
25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(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 are normally declared and paid on a monthly basis. 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 qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
The components of accumulated earnings on a tax basis and tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $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”),
26
each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2018, 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 .55% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 30, 2017 through December 1, 2018, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .70% of the value of the fund’s average daily net assets. The reduction in expenses, pursuant to the undertaking, amounted to $142,944 during the period ended April 30, 2018.
Pursuant to a sub-investment advisory agreement between Dreyfus and Newton, Newton serves as the fund’s sub-investment adviser responsible for the day-to-day management of the fund’s portfolio. Dreyfus pays Newton a monthly fee at an annual percentage of the value of the fund’s average daily net assets. Dreyfus has obtained an exemptive order from the SEC (the “Order”), upon which the fund may rely, to use a manager of managers approach that permits Dreyfus, subject to certain conditions and approval by the Board, to enter into and materially amend sub-investment advisory agreements with one or more sub-investment advisers who are either unaffiliated with Dreyfus or are wholly-owned subsidiaries (as defined under the Act) of Dreyfus’ ultimate parent company, BNY Mellon, without obtaining shareholder approval. The Order also allows the fund to disclose the sub-investment advisory fee paid by Dreyfus to any unaffiliated sub-investment adviser in the aggregate with other unaffiliated sub-investment advisers in documents filed with the SEC and provided to shareholders. In addition, pursuant to the Order, it is not necessary to disclose the sub-investment advisory fee payable by Dreyfus separately to a sub-investment adviser that is a wholly-owned subsidiary of BNY Mellon in documents filed with the SEC and provided to shareholders; such fees are to be aggregated with fees payable to Dreyfus. Dreyfus has ultimate responsibility (subject to oversight by the Board) to supervise any sub-
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
investment adviser and recommend the hiring, termination, and replacement of any sub-investment adviser to the Board.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2018, Class C shares were charged $3,144 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2018, Class A and Class C shares were charged $1,062 and $1,048, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2018, the fund was charged $13,495 for transfer agency services and $2 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 $2.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2018, the fund was charged $8,600 pursuant to the custody agreement.
28
During the period ended April 30, 2018, the fund was charged $6,333 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due from The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $11,502, Distribution Plan fees $626, Shareholder Services Plan fees $418, custodian fees $8,600, Chief Compliance Officer fees $4,214 and transfer agency fees $166, which are offset against an expense reimbursement currently in effect in the amount of $35,877.
(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 and forward contracts, during the period ended April 30, 2018, amounted to $26,765,468 and $2,033,047, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 is discussed below.
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
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2018 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 April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Forward contracts | 89,885 | (560) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 89,885 | (560) | |||
Derivatives not subject to | |||||
Master Agreements | - | - | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 89,885 | (560) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2018:
30
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) |
| Assets ($) |
State Street Bank | 89,885 | (560) | - | 89,325 | ||
Total | 89,885 | (560) | - | 89,325 | ||
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) |
| Liabilities ($) |
State Street Bank | (560) | 560 | - | - | ||
Total | (560) | 560 | - | - | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Statement of Assets and Liabilities. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Forward contracts | 2,066,633 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $337,910, consisting of $881,248 gross unrealized appreciation and $543,338 gross unrealized depreciation.
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
31
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 November 7, 2017, the Board considered the approval of the fund’s Management Agreement, pursuant to which Dreyfus will provide the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”), an affiliate of Dreyfus, will provide day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus and the Subadviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support expected to be available to, and portfolio management capabilities of, the fund’s proposed portfolio management personnel and that Dreyfus also would 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 portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. As the fund had not yet commenced operations, the Board was not able to review the fund’s performance. The Board discussed with representatives of Dreyfus and the Subadviser the proposed portfolio management team and the investment strategy to be employed in the management of the fund’s assets. The Board considered the reputation and experience of Dreyfus and the Subadviser.
The Board reviewed comparisons of the fund’s proposed management fee and anticipated expense ratio to the management fees and expense ratios of a group of funds
32
independently prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) (the “Comparison Group”) and to the management fees of funds in the fund’s anticipated Lipper category. They considered that the fund’s contractual management fee was below the average and median contractual management fees for the funds in the Comparison Group. The fund’s estimated total expenses (as limited through at least December 1, 2018 by agreement with Dreyfus to waive receipt of its fees and/or assume the expenses of the fund so that annual direct fund operating expenses (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 0.70% of the fund’s average daily net assets) were below the average and median expense ratios of the funds in the Comparison Group.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by any funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s proposed management fee.
The Board considered the fee to be paid to the Subadviser in relation to the fee to be paid to Dreyfus by the fund and the respective services to be provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee will be paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. As the fund had not yet commenced operations, Dreyfus representatives were not able to review the dollar amount of expenses allocated and profit received by Dreyfus, or any economies of scale. The Board considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and considered the possibility of soft dollar arrangements with respect to trading the fund’s investments. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the management fee annually after the initial term of the Agreements.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the approval 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 are adequate and appropriate.
33
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
· The Board concluded that, since the fund had not yet commenced operations, its performance could not be measured and was not a factor.
· The Board concluded that the fees to be paid to Dreyfus and the Subadviser were appropriate in light of the totality of the services to be provided as discussed above.
· The Board determined that, because the fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund in connection with future renewals.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services proposed to be provided to the fund by Dreyfus and the Subadviser. 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 substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to approve the Agreements.
34
NOTES
35
NOTES
36
NOTES
37
Dreyfus Global Multi-Asset Income 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: DRAAX Class C: DRACX Class I: DRAIX Class Y: DRAYX |
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.
© 2018 MBSC Securities Corporation |
Dreyfus Global Real Return Fund
SEMIANNUAL REPORT April 30, 2018 |
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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 | |
the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Global Real Return Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by portfolio managers Suzanne Hutchins (Lead) and Aron Pataki, of Newton Investment Management (North America) Limited, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus Global Real Return Fund’s Class A shares produced a total return of -0.05%, Class C shares returned -0.43%, Class I shares returned 0.04%, and Class Y shares returned 0.10%.1 In comparison, the fund’s benchmark, the Citi U.S. One-Month Treasury Bill Index, and the fund’s performance baseline benchmark, the USD 1-Month LIBOR, produced total returns of 0.66% and 0.78%, respectively, for the same period.2,3
Prices of global stocks and bonds advanced moderately over the reporting period in an environment of synchronized global economic growth and rising interest rates in major developed markets. The fund lagged its benchmarks, largely due to its more cautious stance, in keeping with the team’s views on the risks associated with the market backdrop.
The Fund’s Investment Approach
The fund seeks total return (consisting of capital appreciation and income). To pursue its goal, the fund uses an actively managed multi-asset strategy to produce absolute or real returns with less volatility than major equity markets over a complete market cycle, typically a period of five years. Rather than managing to track a benchmark index, the fund seeks to provide returns that are largely independent of market moves.
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 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 cash; long-term trends in currency movements; and company fundamentals.
Volatility Returned to Global Markets
The reporting period proved to be something of a roller coaster ride for global equity markets. While the reporting period started strongly, as the S&P 500 registered robust gains from November 2017 through January 2018, February 2018 marked the return of volatility to markets. Worries prompted by stronger-than-expected inflation data and subsequently higher bond yields caused a sell-off across most asset classes. Towards the end of the reporting period, equity markets recouped some of their earlier losses as investors chose to focus on a positive outlook for economic growth.
Security Selections Dampened Fund Performance
The fund delivered a positive absolute return gross of fees, almost entirely driven by the return-seeking core, which is composed of assets generating capital and income, and, in particular, global equities. A number of information technology holdings ranked among the top contributors, specifically Microsoft and Accenture, both of which benefited from solid financial results. Cisco Systems, a recent addition to the portfolio, also was propelled higher by an upturn in its networking products. Royal Dutch Shell benefited fund returns as oil prices climbed, reflecting a tightening between supply and demand. We recently increased the fund’s exposure to the energy sector with the purchase of Suncor Energy. Having come through a period of excessive and indiscriminate spending, oversupply, and weak
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
commodity prices, integrated oil companies such as Suncor Energy are now taking a more disciplined approach. We believe that this portends well for returns on invested capital, cash generation and, indeed, oil prices.
On a less positive note, specialty chemicals company Albemarle was the single largest detractor from returns due to a planned production expansion by its competitors, which may lead to an increase in lithium supplies. Some weakness also was seen in the tobacco and health care industries, particularly during the first half of the reporting period when they were left behind in the momentum-driven rally. Another negative contribution came from the fund’s stabilizing assets, primarily from derivative protection, which is employed to provide capital preservation and dampen volatility. This protection was not needed during the market’s rise, but its benefit was validated during heightened volatility later in the reporting period. Government bonds marginally detracted from returns on a hedged basis when yields rose.
A More Cautious Investment Posture
With central banks committed to withdrawing monetary stimulus, the U.S. economic cycle reaching maturity, and profit margins coming under pressure at a time of stretched valuations, we believe the time is right to emphasize capital preservation. We continue to view bonds as an effective long-term hedge against slowing growth and structural challenges, but we have reduced the fund’s interest-rate sensitivity over the near term by reducing its U.S. Treasury and Australian sovereign debt positions. We also have increased liquidity, which we will seek to deploy as volatility presents more compelling opportunities.
May 15, 2018
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, 2019, 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 U.S. One-Month Treasury Bill Index consists of the last one-month Treasury bill month-end rates. The Citi U.S. One-Month Treasury Bill Index measures return equivalents of yield averages. The instruments are not marked to market. Investors cannot invest directly in any index.
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
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Global Real Return Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||
assuming actual returns for the six months ended April 30, 2018 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.60 | $9.40 | $4.46 | $3.97 | ||||
Ending value (after expenses) | $999.50 | $995.70 | $1,000.40 | $1,001.00 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $5.66 | $9.49 | $4.51 | $4.01 | ||||
Ending value (after expenses) | $1,019.19 | $1,015.37 | $1,020.33 | $1,020.83 |
† Expenses are equal to the fund’s annualized expense ratio of 1.13% for Class A, 1.90% for Class C, .90% for Class I and .80% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 27.5% | |||||||||
Australia - 2.9% | |||||||||
Australian Government, | AUD | 3.75 | 4/21/37 | 24,705,000 | 20,337,875 | ||||
Australian Government, | AUD | 3.25 | 6/21/39 | 12,153,000 | 9,285,719 | ||||
New South Wales Treasury, | AUD | 2.75 | 11/20/25 | 6,226,300 | b | 6,766,974 | |||
Treasury Corp. of Victoria, | AUD | 5.50 | 11/17/26 | 4,023,000 | 3,609,221 | ||||
Treasury Corp. of Victoria, | AUD | 4.25 | 12/20/32 | 5,930,000 | 4,920,982 | ||||
44,920,771 | |||||||||
Brazil - 2.0% | |||||||||
Brazilian Government, | 4.88 | 1/22/21 | 15,737,000 | 16,279,926 | |||||
Brazilian Government, | 5.00 | 1/27/45 | 9,271,000 | 8,042,593 | |||||
Petrobras Global Finance, | 6.75 | 1/27/41 | 7,560,000 | 7,193,340 | |||||
31,515,859 | |||||||||
Canada - 1.6% | |||||||||
Canada Housing Trust No 1, | CAD | 2.35 | 6/15/27 | 33,355,000 | 25,328,446 | ||||
Ecuador - .2% | |||||||||
Ecuadorian Government, | 8.88 | 10/23/27 | 3,518,000 | 3,328,908 | |||||
India - .1% | |||||||||
National Highways Authority of India, | INR | 7.30 | 5/18/22 | 120,000,000 | 1,783,663 | ||||
Indonesia - .7% | |||||||||
Indonesian Government, | IDR | 8.25 | 5/15/36 | 137,092,000,000 | 10,583,060 | ||||
Japan - .2% | |||||||||
SoftBank Group, | 6.00 | 12/31/49 | 2,935,000 | 2,739,271 | |||||
Mexico - 1.9% | |||||||||
Mexican Government, | MXN | 7.75 | 5/29/31 | 82,440,000 | 4,473,577 | ||||
Mexican Government, | MXN | 8.00 | 11/7/47 | 81,363,500 | 4,518,590 | ||||
Mexican Government, | MXN | 10.00 | 12/5/24 | 254,278,300 | 15,482,491 |
6
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 27.5% (continued) | |||||||||
Mexico - 1.9% (continued) | |||||||||
Mexican Government, | MXN | 7.50 | 6/3/27 | 83,250,000 | 4,457,081 | ||||
28,931,739 | |||||||||
Netherlands - .3% | |||||||||
Petrobras Global Finance, | 7.38 | 1/17/27 | 1,312,000 | 1,409,088 | |||||
Teva Pharmaceutical Finance Netherlands III, | 2.20 | 7/21/21 | 3,348,000 | 3,022,651 | |||||
4,431,739 | |||||||||
New Zealand - 1.9% | |||||||||
New Zealand Government, | NZD | 4.50 | 4/15/27 | 21,157,000 | 16,833,693 | ||||
New Zealand Government, | NZD | 2.75 | 4/15/37 | 13,529,000 | 8,672,140 | ||||
New Zealand Government, | NZD | 2.50 | 9/20/40 | 5,000,000 | c | 3,837,035 | |||
29,342,868 | |||||||||
United Kingdom - 2.0% | |||||||||
Anglian Water Services Financing, | GBP | 3.67 | 7/30/24 | 151,000 | d | 414,366 | |||
Arqiva Broadcast Finance, | GBP | 9.50 | 3/31/20 | 3,000,000 | 4,346,876 | ||||
British Telecommunications, | GBP | 3.50 | 4/25/25 | 533,000 | d | 1,518,283 | |||
CPUK Finance, | GBP | 4.25 | 2/28/47 | 630,000 | 874,802 | ||||
Dwr Cymru Financing, | GBP | 1.86 | 3/31/48 | 150,000 | d | 445,781 | |||
High Speed Rail Finance 1, | GBP | 1.57 | 11/1/38 | 268,000 | d | 559,853 | |||
National Grid Electricity Transmission, | GBP | 2.98 | 7/8/18 | 667,000 | d | 1,466,928 | |||
Network Rail Infrastructure Finance, | GBP | 1.75 | 11/22/27 | 865,000 | d | 2,136,521 | |||
Sable International Finance, | 6.88 | 8/1/22 | 2,029,000 | e | 2,138,059 | ||||
Scotland Gas Networks, | GBP | 2.13 | 10/21/22 | 300,000 | d | 676,188 | |||
Tesco, | GBP | 6.13 | 2/24/22 | 882,000 | 1,393,480 | ||||
Tesco, | GBP | 3.32 | 11/5/25 | 3,960,000 | d | 10,280,588 | |||
Tesco Property Finance 3, | GBP | 5.74 | 4/13/40 | 2,750,020 | 4,464,537 | ||||
30,716,262 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | |||||
Bonds and Notes - 27.5% (continued) | ||||||||||
United States - 13.7% | ||||||||||
CCO Holdings, | 5.50 | 5/1/26 | 2,727,000 | e | 2,662,097 | |||||
CCO Holdings, | 5.88 | 5/1/27 | 1,802,000 | e | 1,765,960 | |||||
CEMEX Finance, | 6.00 | 4/1/24 | 5,760,000 | 5,935,680 | ||||||
EMC, | 1.88 | 6/1/18 | 4,701,000 | 4,696,196 | ||||||
Post Holdings, | 5.50 | 3/1/25 | 3,029,000 | e | 2,983,565 | |||||
Reynolds Group Issuer, | 5.75 | 10/15/20 | 4,435,606 | 4,473,087 | ||||||
Sprint, | 7.88 | 9/15/23 | 3,180,000 | 3,418,500 | ||||||
Sprint, | 7.13 | 6/15/24 | 3,548,000 | 3,662,210 | ||||||
Sprint Capital, | 8.75 | 3/15/32 | 7,660,000 | 8,809,000 | ||||||
Sprint Communications, | 9.25 | 4/15/22 | 404,000 | 466,620 | ||||||
T-Mobile USA, | 6.00 | 3/1/23 | 2,563,000 | 2,662,316 | ||||||
T-Mobile USA, | 6.00 | 4/15/24 | 3,236,000 | 3,396,829 | ||||||
U.S. Treasury Notes | 1.50 | 10/31/19 | 94,003,400 | 92,738,396 | ||||||
U.S. Treasury Notes | 2.25 | 11/15/27 | 79,958,900 | 75,326,905 | ||||||
212,997,361 | ||||||||||
Total Bonds and Notes | 426,619,947 | |||||||||
Description | Shares | Value ($) | ||||||||
Common Stocks - 50.5% | ||||||||||
Australia - 1.2% | ||||||||||
Dexus | 2,145,611 | f | 15,289,590 | |||||||
Newcrest Mining | 249,405 | 3,956,657 | ||||||||
19,246,247 | ||||||||||
Canada - 2.2% | ||||||||||
Agnico Eagle Mines | 55,105 | 2,318,878 | ||||||||
Alacer Gold | 1,072,669 | g | 1,779,497 | |||||||
Alamos Gold, Cl. A | 221,507 | 1,197,289 | ||||||||
Barrick Gold | 188,824 | 2,543,459 | ||||||||
Eldorado Gold | 657,540 | g | 624,790 | |||||||
Intact Financial | 92,864 | 7,592,120 | ||||||||
Kinross Gold | 303,433 | g | 1,174,549 | |||||||
New Gold | 505,377 | g | 1,184,769 | |||||||
OceanaGold | 587,999 | 1,584,545 |
8
Description | Shares | Value ($) | |||||||
Common Stocks - 50.5% (continued) | |||||||||
Canada - 2.2% (continued) | |||||||||
Suncor Energy | 230,294 | 8,806,757 | |||||||
Wheaton Precious Metals | 252,585 | 5,242,720 | |||||||
34,049,373 | |||||||||
Denmark - 1.1% | |||||||||
Orsted | 266,885 | e | 17,555,027 | ||||||
France - 2.6% | |||||||||
Thales | 98,554 | 12,468,290 | |||||||
Total | 245,277 | 15,402,492 | |||||||
Vivendi | 481,699 | 12,705,438 | |||||||
40,576,220 | |||||||||
Germany - 4.5% | |||||||||
Bayer | 97,884 | 11,717,638 | |||||||
Deutsche Wohnen | 307,267 | 14,509,894 | |||||||
Infineon Technologies | 402,110 | 10,298,619 | |||||||
LEG Immobilien | 135,610 | 15,593,398 | |||||||
SAP | 44,848 | 4,998,678 | |||||||
Telefonica Deutschland Holding | 1,626,469 | 7,771,263 | |||||||
Vonovia | 92,683 | 4,648,106 | |||||||
69,537,596 | |||||||||
Hong Kong - 2.7% | |||||||||
AIA Group | 3,056,600 | 27,289,849 | |||||||
Link REIT | 1,580,000 | 13,959,637 | |||||||
41,249,486 | |||||||||
India - .6% | |||||||||
ITC, GDR | 1,335,665 | 5,663,220 | |||||||
LIC Housing Finance, GDR | 188,411 | 3,089,940 | |||||||
8,753,160 | |||||||||
Ireland - 1.5% | |||||||||
AIB Group | 2,060,351 | 12,270,462 | |||||||
CRH | 306,752 | 10,876,667 | |||||||
23,147,129 | |||||||||
Japan - 1.4% | |||||||||
Suzuki Motor | 324,500 | 17,468,240 | |||||||
Yokogawa Electric | 208,500 | 4,597,487 | |||||||
22,065,727 | |||||||||
Mexico - .4% | |||||||||
Wal-Mart de Mexico | 2,428,900 | 6,753,420 | |||||||
Netherlands - 3.4% | |||||||||
RELX | 727,839 | 15,435,688 | |||||||
Unilever | 208,676 | 11,904,348 | |||||||
Wolters Kluwer | 456,975 | 24,655,368 | |||||||
51,995,404 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||||
Common Stocks - 50.5% (continued) | |||||||||
South Africa - .1% | |||||||||
Gold Fields | 515,860 | 1,967,748 | |||||||
South Korea - 2.2% | |||||||||
Macquarie Korea Infrastructure Fund | 1,467,077 | 12,292,397 | |||||||
Samsung SDI | 123,003 | 20,957,106 | |||||||
33,249,503 | |||||||||
Switzerland - 3.2% | |||||||||
Novartis | 356,964 | 27,456,303 | |||||||
Roche Holding | 54,899 | 12,179,989 | |||||||
Zurich Insurance Group | 30,088 | 9,597,808 | |||||||
49,234,100 | |||||||||
Taiwan - .9% | |||||||||
Taiwan Semiconductor Manufacturing, ADR | 380,990 | 14,649,065 | |||||||
United Kingdom - 9.9% | |||||||||
Amedeo Air Four Plus | 3,691,487 | 5,336,213 | |||||||
Associated British Foods | 298,569 | 11,078,347 | |||||||
BAE Systems | 1,752,909 | 14,710,175 | |||||||
British American Tobacco | 81,768 | 4,493,366 | |||||||
British American Tobacco, ADR | 238,579 | 13,031,185 | |||||||
Cobham | 8,546,335 | g | 13,480,591 | ||||||
Diageo | 404,941 | 14,403,764 | |||||||
Ferguson | 216,480 | 16,538,488 | |||||||
Fresnillo | 99,012 | 1,735,742 | |||||||
Informa | 1,317,205 | 13,382,483 | |||||||
Prudential | 525,992 | 13,490,402 | |||||||
Randgold Resources | 15,478 | 1,253,379 | |||||||
Royal Dutch Shell, Cl. B | 830,130 | 29,653,990 | |||||||
152,588,125 | |||||||||
United States - 12.6% | |||||||||
Abbott Laboratories | 179,613 | 10,440,904 | |||||||
Accenture, Cl. A | 115,555 | 17,471,916 | |||||||
Albemarle | 188,524 | 18,279,287 | |||||||
CA | 692,965 | 24,115,182 | |||||||
Cisco Systems | 611,602 | 27,087,853 | |||||||
Citigroup | 133,845 | 9,137,598 | |||||||
CMS Energy | 461,795 | 21,792,106 | |||||||
Eversource Energy | 378,670 | 22,814,867 | |||||||
Maxim Integrated Products | 107,241 | 5,844,635 | |||||||
Microsoft | 173,713 | 16,245,640 | |||||||
Newmont Mining | 38,293 | 1,504,532 | |||||||
PowerShares DB Gold Fund | 509,414 | g,h | 21,171,246 | ||||||
195,905,766 | |||||||||
Total Common Stocks | 782,523,096 |
10
Description | Preferred Dividend | Shares | Value ($) | ||||||
Preferred Stocks - .6% | |||||||||
Germany - .6% | |||||||||
Volkswagen | 2.26 | 46,877 | 9,707,502 | ||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount | Value ($) | |||||
Options Purchased - .0% | |||||||||
Call Options - .0% | |||||||||
S&P 500 Index, | 2,725 | 5/2018 | 34,335,000 | 52,920 | |||||
Description | Yield at | Maturity Date | Principal Amount ($) | Value ($) | |||||
Short-Term Investments - 14.9% | |||||||||
U.S. Treasury Bills | 0.20 | 5/24/18 | 77,043,000 | i,j | 76,964,616 | ||||
U.S. Treasury Bills | 1.70 | 8/2/18 | 153,813,300 | i,j | 153,089,055 | ||||
Total Short-Term Investments | 230,053,671 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Current | Shares | Value ($) | ||||||
Other Investment - 3.7% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 56,951,513 | k | 56,951,513 | |||||
Total Investments (cost $1,376,604,948) | 97.2% | 1,505,908,649 | |||||||
Cash and Receivables (Net) | 2.8% | 43,497,457 | |||||||
Net Assets | 100.0% | 1,549,406,106 |
ADR—American Depository Receipt
GDR—Global Depository Receipt
REIT—Real Estate Investment Trust
AUD—Australian Dollar
CAD—Canadian Dollar
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 Principal amount for accrual purposes is periodically adjusted based on changes in the New Zealand Consumer Price Index.
d Principal amount for accrual purposes is periodically adjusted based on changes in the British Consumer Price Index.
e Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2018, these securities were valued at $27,104,708 or 1.75% of net assets.
f Investment in real estate investment trust.
g Non-income producing security.
h Investment in non-controlled affiliates (cost $21,569,887).
i Held by a counterparty for open exchange traded derivative contracts.
j Security is a discount security. Income is recognized through the accretion of discount.
k Investment in affiliated money market mutual fund.
12
Portfolio Summary (Unaudited) † | Value (%) |
Short-Term/Money Market Investments | 18.6 |
Foreign/Governmental | 10.9 |
U.S. Government Securities | 10.8 |
Information Technology | 8.1 |
Consumer Discretionary | 6.9 |
Financials | 6.1 |
Industrials | 5.5 |
Consumer Staples | 4.9 |
Real Estate | 4.4 |
Utilities | 4.2 |
Health Care | 4.2 |
Telecommunications | 4.0 |
Materials | 3.3 |
Energy | 2.1 |
Oil & Gas | 1.9 |
Exchange-Traded Funds | 1.3 |
Options Purchased | .0 |
97.2 |
† Based on net assets.
See notes to financial statements.
13
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases($) | Sales($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 74,279,655 | 656,180,222 | 673,508,364 | 56,951,513 | 3.7 | 487,634 |
See notes to financial statements.
In addition, an affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Investments in affiliated companies during the period ended April 30, 2018 were as follows:
Affiliated | Value | Purchases($) | Sales($) | Net Realized |
PowerShares DB | 20,585,420 | - | - | - |
Affiliated | Change in Net Unrealized Appreciation | Value | Net | Dividends/ |
PowerShares DB | 585,826 | 21,171,246 | 1.4 | - |
See notes to financial statements.
14
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Short | ||||||
Euro-Bond | 202 | 6/2018 | (38,247,391)a | (38,722,216) | (474,825) | |
FTSE 100 | 329 | 6/2018 | (32,943,927)a | (33,789,115) | (845,188) | |
Standard & Poor's 500 | 129 | 6/2018 | (89,453,312) | (85,365,750) | 4,087,562 | |
Standard & Poor's 500 E-mini | 332 | 6/2018 | (45,152,256) | (43,940,200) | 1,212,056 | |
Gross Unrealized Appreciation | 5,299,618 | |||||
Gross Unrealized Depreciation | (1,320,013) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
15
STATEMENT OF OPTIONS WRITTEN
April 30, 2018 (Unaudited)
Description/ Expiration Date/ Exercise Price | Counterparty | Number of Contracts | Notional Amount | Value ($) | ||
Call Options: | ||||||
S&P 500 Index | Deutsche Bank | 126 | 34,965,000 | (12,600) | ||
Put Options: | ||||||
S&P 500 Index | Deutsche Bank | 126 | 32,445,000 | (153,846) | ||
Total Options Written (premiums received $270,396) | (166,446) |
See notes to financial statements.
16
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup | |||||
Canadian Dollar | 1,891,548 | United States Dollar | 1,486,644 | 5/16/18 | (12,934) |
Euro | 71,759 | United States Dollar | 86,652 | 5/2/18 | 4 |
United States Dollar | 2,662,336 | Canadian Dollar | 3,419,830 | 5/16/18 | (2,064) |
United States Dollar | 87,137 | Euro | 71,759 | 7/13/18 | (29) |
State Street Bank and Trust Co | |||||
Australian Dollar | 883,567 | United States Dollar | 680,289 | 6/21/18 | (14,989) |
Canadian Dollar | 534,273 | United States Dollar | 415,576 | 5/1/18 | 541 |
Canadian Dollar | 9,009,659 | United States Dollar | 6,991,027 | 5/16/18 | 28,425 |
Euro | 602,888 | United States Dollar | 745,348 | 7/13/18 | (13,021) |
British Pound | 61,193 | United States Dollar | 84,019 | 5/1/18 | 226 |
British Pound | 185,629 | United States Dollar | 264,272 | 7/13/18 | (7,771) |
South Korean Won | 740,950,829 | United States Dollar | 685,812 | 5/16/18 | 8,177 |
New Zealand Dollar | 662,056 | United States Dollar | 486,141 | 5/16/18 | (20,349) |
United States Dollar | 81,862,920 | Australian Dollar | 104,876,493 | 6/21/18 | 2,894,018 |
United States Dollar | 84,468,871 | Canadian Dollar | 105,994,982 | 5/16/18 | 1,887,866 |
United States Dollar | 5,633,299 | Swiss Franc | 5,569,530 | 5/2/18 | 13,188 |
United States Dollar | 49,635,067 | Swiss Franc | 46,012,283 | 5/16/18 | 3,139,656 |
United States Dollar | 187,334,434 | Euro | 151,519,634 | 7/13/18 | 3,283,749 |
United States Dollar | 192,626,439 | British Pound | 136,425,988 | 7/13/18 | 4,113,326 |
United States Dollar | 33,051,911 | South Korean Won | 35,922,139,434 | 5/16/18 | (593,447) |
United States Dollar | 29,806,442 | New Zealand Dollar | 40,821,399 | 5/16/18 | 1,086,379 |
UBS | |||||
Canadian Dollar | 4,906,603 | United States Dollar | 3,849,717 | 5/16/18 | (26,968) |
United States Dollar | 3,931,638 | Canadian Dollar | 4,973,167 | 5/16/18 | 57,029 |
17
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
UBS (continued) | |||||
United States Dollar | 146,817 | Euro | 120,966 | 7/13/18 | (120) |
United States Dollar | 470,711 | British Pound | 330,030 | 7/13/18 | 14,676 |
United States Dollar | 45,696 | Mexican New Peso | 852,544 | 5/2/18 | 110 |
United States Dollar | 918,020 | New Zealand Dollar | 1,272,344 | 5/16/18 | 22,857 |
Gross Unrealized Appreciation | 16,550,227 | ||||
Gross Unrealized Depreciation | (691,692) |
See notes to financial statements.
18
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 1,298,083,548 |
| 1,427,785,890 |
| ||
Affiliated issuers |
| 78,521,400 |
| 78,122,759 |
| |
Cash |
|
|
|
| 4,164,593 |
|
Cash denominated in foreign currency |
|
| 347,175 |
| 346,740 |
|
Unrealized appreciation on forward foreign |
| 16,550,227 |
| |||
Cash collateral held by broker—Note 4 |
| 10,995,227 |
| |||
Dividends and interest receivable |
| 8,226,414 |
| |||
Receivable for investment securities sold |
| 5,620,111 |
| |||
Receivable for futures variation margin—Note 4 |
| 896,815 |
| |||
Receivable for shares of Common Stock subscribed |
| 866,404 |
| |||
Prepaid expenses |
|
|
|
| 81,430 |
|
|
|
|
|
| 1,553,656,610 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
| 1,135,107 |
| |
Payable for shares of Common Stock redeemed |
| 1,166,255 |
| |||
Payable for investment securities purchased |
| 928,703 |
| |||
Unrealized depreciation on forward foreign |
| 691,692 |
| |||
Outstanding options written, at value |
| 166,446 |
| |||
Accrued expenses |
|
|
|
| 162,301 |
|
|
|
|
|
| 4,250,504 |
|
Net Assets ($) |
|
| 1,549,406,106 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,590,807,545 |
|
Accumulated distributions in excess of investment income—net |
| (17,325,817) |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (173,242,480) |
|
Accumulated net unrealized appreciation (depreciation) |
| 149,166,858 |
| |||
Net Assets ($) |
|
| 1,549,406,106 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 26,619,984 | 29,699,889 | 679,762,729 | 813,323,504 |
|
Shares Outstanding | 1,858,661 | 2,132,413 | 47,357,908 | 56,602,819 |
|
Net Asset Value Per Share ($) | 14.32 | 13.93 | 14.35 | 14.37 |
|
See notes to financial statements. |
19
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Dividends (net of $888,904 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 11,561,100 |
| ||
Affiliated issuers |
|
| 487,634 |
| ||
Interest (net of $10,463 foreign taxes withheld at source) |
|
| 8,945,667 |
| ||
Total Income |
|
| 20,994,401 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 5,769,505 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 491,564 |
| ||
Distribution fees—Note 3(b) |
|
| 117,533 |
| ||
Custodian fees—Note 3(c) |
|
| 115,108 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 58,850 |
| ||
Professional fees |
|
| 57,865 |
| ||
Registration fees |
|
| 57,412 |
| ||
Prospectus and shareholders’ reports |
|
| 49,324 |
| ||
Loan commitment fees—Note 2 |
|
| 12,199 |
| ||
Miscellaneous |
|
| 29,929 |
| ||
Total Expenses |
|
| 6,759,289 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (27,796) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (5,762) |
| ||
Net Expenses |
|
| 6,725,731 |
| ||
Investment Income—Net |
|
| 14,268,670 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 43,806 |
| ||||
Net realized gain (loss) on options transactions | 5,669,935 |
| ||||
Net realized gain (loss) on futures | (24,714,509) |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (19,676,485) |
| ||||
Net Realized Gain (Loss) |
|
| (38,677,253) |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| 5,309,674 |
| ||
Net unrealized appreciation (depreciation) on options transactions | (198,967) |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| 16,726,208 |
| ||
Net unrealized appreciation (depreciation) on |
|
| 2,840,541 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| 24,677,456 |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (13,999,797) |
| ||
Net Increase in Net Assets Resulting from Operations |
| 268,873 |
| |||
See notes to financial statements. |
20
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 14,268,670 |
|
|
| 22,698,537 |
| |
Net realized gain (loss) on investments |
| (38,677,253) |
|
|
| (102,805,726) |
| ||
Net unrealized appreciation (depreciation) |
| 24,677,456 |
|
|
| 91,835,518 |
| ||
Net Increase (Decrease) in Net Assets | 268,873 |
|
|
| 11,728,329 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (160,339) |
|
|
| (4,042,893) |
| |
Class C |
|
| - |
|
|
| (793,954) |
| |
Class I |
|
| (6,085,615) |
|
|
| (15,224,045) |
| |
Class Y |
|
| (7,357,475) |
|
|
| (21,341,116) |
| |
Total Distributions |
|
| (13,603,429) |
|
|
| (41,402,008) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 4,565,235 |
|
|
| 46,710,000 |
| |
Class C |
|
| 3,461,525 |
|
|
| 10,975,522 |
| |
Class I |
|
| 142,199,294 |
|
|
| 627,749,307 |
| |
Class Y |
|
| 91,091,245 |
|
|
| 258,887,594 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 156,257 |
|
|
| 3,988,624 |
| |
Class C |
|
| - |
|
|
| 792,979 |
| |
Class I |
|
| 5,903,112 |
|
|
| 14,782,332 |
| |
Class Y |
|
| 3,854,558 |
|
|
| 10,697,251 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (18,757,981) |
|
|
| (160,619,601) |
| |
Class C |
|
| (7,832,798) |
|
|
| (12,483,540) |
| |
Class I |
|
| (163,760,567) |
|
|
| (441,168,901) |
| |
Class Y |
|
| (64,968,837) |
|
|
| (174,731,954) |
| |
Increase (Decrease) in Net Assets | (4,088,957) |
|
|
| 185,579,613 |
| |||
Total Increase (Decrease) in Net Assets | (17,423,513) |
|
|
| 155,905,934 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,566,829,619 |
|
|
| 1,410,923,685 |
| |
End of Period |
|
| 1,549,406,106 |
|
|
| 1,566,829,619 |
| |
Distributions in excess of investment income—net | (17,325,817) |
|
|
| (17,991,058) |
|
21
STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 321,290 |
|
|
| 3,299,172 |
| |
Shares issued for distributions reinvested |
|
| 10,889 |
|
|
| 287,158 |
| |
Shares redeemed |
|
| (1,322,567) |
|
|
| (11,443,331) |
| |
Net Increase (Decrease) in Shares Outstanding | (990,388) |
|
|
| (7,857,001) |
| |||
Class Cb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 250,153 |
|
|
| 789,435 |
| |
Shares issued for distributions reinvested |
|
| - |
|
|
| 58,393 |
| |
Shares redeemed |
|
| (565,309) |
|
|
| (901,640) |
| |
Net Increase (Decrease) in Shares Outstanding | (315,156) |
|
|
| (53,812) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 9,956,543 |
|
|
| 43,906,268 |
| |
Shares issued for distributions reinvested |
|
| 410,794 |
|
|
| 1,061,187 |
| |
Shares redeemed |
|
| (11,490,542) |
|
|
| (30,962,659) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,123,205) |
|
|
| 14,004,796 |
| |||
Class Yb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 6,366,760 |
|
|
| 18,211,714 |
| |
Shares issued for distributions reinvested |
|
| 268,050 |
|
|
| 767,929 |
| |
Shares redeemed |
|
| (4,558,036) |
|
|
| (12,290,862) |
| |
Net Increase (Decrease) in Shares Outstanding | 2,076,774 |
|
|
| 6,688,781 |
| |||
aDuring the period ended April 30, 2018, 307 Class C shares representing $4,204 were automatically exchanged for 298 Class A shares. | |||||||||
bDuring the period ended April 30, 2018, 144,384 Class Y shares representing $2,071,848 were exchanged for 144,539 Class I shares and 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 $6,867,173 were exchanged for 479,484 Class I shares. | |||||||||
See notes to financial statements. |
22
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.39 | 14.72 | 14.61 | 15.11 | 14.75 | 14.07 |
Investment Operations: | ||||||
Investment income—neta | .11 | .15 | .17 | .17 | .36 | .21 |
Net realized and unrealized | (.12) | (.09) | .51 | .01b | .17 | .54 |
Total from Investment Operations | (.01) | .06 | .68 | .18 | .53 | .75 |
Distributions: | ||||||
Dividends from | (.06) | (.39) | (.57) | (.68) | (.04) | (.07) |
Dividends from net realized | - | - | - | - | (.13) | - |
Total Distributions | (.06) | (.39) | (.57) | (.68) | (.17) | (.07) |
Net asset value, end of period | 14.32 | 14.39 | 14.72 | 14.61 | 15.11 | 14.75 |
Total Return (%)c | (.05)d | .47 | 4.87 | 1.22 | 3.63 | 5.42 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.13e | 1.17 | 1.16 | 1.15 | 1.20 | 1.49 |
Ratio of net expenses to | 1.13e | 1.15 | 1.15 | 1.15 | 1.15 | 1.47 |
Ratio of net investment income | 1.52e | 1.09 | 1.15 | 1.16 | 2.38 | 1.48 |
Portfolio Turnover Rate | 39.37d | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 |
Net Assets, end of period ($ x 1,000) | 26,620 | 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.
d Not annualized.
e Annualized.
See notes to financial statements.
23
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 13.99 | 14.34 | 14.26 | 14.79 | 14.51 | 13.89 |
Investment Operations: | ||||||
Investment income—neta | .06 | .08 | .06 | .06 | .21 | .08 |
Net realized and unrealized | (.12) | (.12) | .50 | .02b | .20 | .55 |
Total from Investment Operations | (.06) | (.04) | .56 | .08 | .41 | .63 |
Distributions: | ||||||
Dividends from | - | (.31) | (.48) | (.61) | - | (.01) |
Dividends from net realized | - | - | - | - | (.13) | - |
Total Distributions | - | (.31) | (.48) | (.61) | (.13) | (.01) |
Net asset value, end of period | 13.93 | 13.99 | 14.34 | 14.26 | 14.79 | 14.51 |
Total Return (%)c | (.43)d | (.23) | 4.12 | .49 | 2.87 | 4.58 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.90e | 1.92 | 1.90 | 1.91 | 1.96 | 2.21 |
Ratio of net expenses | 1.90e | 1.90 | 1.90 | 1.90 | 1.90 | 2.18 |
Ratio of net investment income | .82e | .58 | .44 | .39 | 1.41 | .58 |
Portfolio Turnover Rate | 39.37d | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 |
Net Assets, end of period ($ x 1,000) | 29,700 | 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.
d Not annualized.
e Annualized.
See notes to financial statements.
24
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.47 | 14.78 | 14.68 | 15.18 | 14.81 | 14.10 |
Investment Operations: | ||||||
Investment income—neta | .13 | .23 | .20 | .21 | .38 | .26 |
Net realized and unrealized | (.12) | (.13) | .52 | .01b | .19 | .54 |
Total from Investment Operations | .01 | .10 | .72 | .22 | .57 | .80 |
Distributions: | ||||||
Dividends from | (.13) | (.41) | (.62) | (.72) | (.07) | (.09) |
Dividends from net realized | - | - | - | - | (.13) | - |
Total Distributions | (.13) | (.41) | (.62) | (.72) | (.20) | (.09) |
Net asset value, end of period | 14.35 | 14.47 | 14.78 | 14.68 | 15.18 | 14.81 |
Total Return (%) | .04c | .82 | 5.16 | 1.49 | 3.89 | 5.79 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .91d | .90 | .88 | .86 | .90 | 1.11 |
Ratio of net expenses | .90d | .90 | .88 | .86 | .90 | 1.11 |
Ratio of net investment income | 1.83d | 1.61 | 1.36 | 1.40 | 2.51 | 1.84 |
Portfolio Turnover Rate | 39.37c | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 |
Net Assets, end of period ($ x 1,000) | 679,763 | 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.
c Not annualized.
d Annualized.
See notes to financial statements.
25
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class Y Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013a |
Per Share Data ($): | ||||||
Net asset value, beginning of period | 14.49 | 14.79 | 14.69 | 15.18 | 14.81 | 14.16 |
Investment Operations: | ||||||
Investment income—netb | .14 | .24 | .22 | .22 | .26 | .05 |
Net realized and unrealized | (.13) | (.12) | .51 | .02c | .31 | .60 |
Total from Investment Operations | .01 | .12 | .73 | .24 | .57 | .65 |
Distributions: | ||||||
Dividends from | (.13) | (.42) | (.63) | (.73) | (.07) | - |
Dividends from net realized | - | - | - | - | (.13) | - |
Total Distributions | (.13) | (.42) | (.63) | (.73) | (.20) | - |
Net asset value, end of period | 14.37 | 14.49 | 14.79 | 14.69 | 15.18 | 14.81 |
Total Return (%) | .10d | .92 | 5.18 | 1.57 | 3.89 | 4.59d |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | .80e | .82 | .81 | .83 | .88 | 1.09e |
Ratio of net expenses | .80e | .82 | .81 | .83 | .88 | 1.09e |
Ratio of net investment income | 1.94e | 1.67 | 1.53 | 1.45 | 1.77 | 1.10e |
Portfolio Turnover Rate | 39.37d | 79.00 | 57.17 | 68.92 | 47.01 | 44.96 |
Net Assets, end of period ($ x 1,000) | 813,324 | 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.
26
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Global Real Return Fund (the “fund”) is a separate diversified series of Advantage Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering ten series, including the fund. The fund’s investment objective is to seek total return (consisting of capital appreciation and income). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Newton Investment Management (North America) Limited (“Newton”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser.
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. As of the date of this report, the fund did not offer Class T shares for purchase. 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 C shares automatically convert to Class A shares ten years after the date of purchase, without the imposition of a sales charge. 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
27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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
28
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.
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
29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2018 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 | - | 90,012,671 | - | 90,012,671 | |
Equity Securities –Domestic | 174,734,520 | - | - | 174,734,520 | |
Equity Securities –Foreign | 30,223,709 | 556,393,621† | - | 586,617,330 | |
Equity Securities –Foreign | - | 9,707,502† | - | 9,707,502 | |
Exchange –Traded Fund | 21,171,246 | - | - | 21,171,246 | |
Foreign Government | - | 168,541,975 | - | 168,541,975 |
30
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | ||
Assets ($) (continued) Registered Investment Company | 56,951,513 | - | - | 56,951,513 | |
U.S. Treasury | - | 398,118,972 | - | 398,118,972 | |
Other Financial Instruments: | |||||
Futures†† | 5,299,618 | - | - | 5,299,618 | |
Forward Foreign Currency | - | 16,550,227 | - | 16,550,227 | |
Options Purchased | 52,920 | - | - | 52,920 | |
Liabilities ($) | |||||
Other Financial Instruments: | |||||
Futures†† | (1,320,013) | - | - | (1,320,013) | |
Forward Foreign Currency | - | (691,692) | - | (691,692) | |
Options Written | (166,446) | - | - | (166,446) |
† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2018, the amount of securities transferred between levels equals fair value of exchange traded equity securities reported as Level 2 in the table above. At October 31, 2017, there were no transfer 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.
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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. 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 April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
32
Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.
The fund has an unused capital loss carryover of $140,103,235 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 year ended October 31, 2017 was as follows: ordinary income $41,402,008. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $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. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2018, 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, 2017 through March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .90% of the value of the fund’s average daily net assets. On or after March 1, 2019, Dreyfus Corporation may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $27,796 during the period ended April 30, 2018.
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Pursuant to a sub-investment advisory agreement between Dreyfus and Newton, Dreyfus pays Newton an annual fee of .36% of the value of the fund’s average daily net assets.
During the period ended April 30, 2018, the Distributor retained $840 from commissions earned on sales of the fund’s Class A shares and $4,328 from CDSCs on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2018, Class C shares were charged $117,533 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2018, Class A and Class C shares were charged $41,773 and $39,178, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2018, the fund was charged $5,720 for transfer agency services and $369 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 $369.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are
34
determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2018, the fund was charged $115,108 pursuant to the custody agreement. These fees were partially offset by earnings credits of $5,393.
During the period ended April 30, 2018, the fund was charged $6,333 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $945,616, Distribution Plan fees $18,488, Shareholder Services Plan fees $11,713, custodian fees $130,886, Chief Compliance Officer fees $4,214 and transfer agency fees $39,382, which are offset against an expense reimbursement currently in effect in the amount of $15,192.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures, options transactions and forward contracts, during the period ended April 30, 2018, amounted to $526,514,846 and $759,505,481, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 is discussed below.
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
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 218 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 or as a substitute for an investment. The fund is subject to market 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
36
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 April 30, 2018 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 currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2018 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.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Fair value of derivative instruments as of April 30, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | - | Interest rate risk | (474,825) | 1 | |||
Equity risk | 5,352,538 | 1,2 | Equity risk | (1,011,634) | 1,3 | ||
Foreign exchange risk | 16,550,227 | 4 | Foreign exchange risk | (691,692) | 4 | ||
Gross fair value of | 21,902,765 | (2,178,151) | |||||
Statement of Assets and Liabilities location: | |||||||
1Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. | |||||||
2Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | |||||||
3Outstanding options written, at value. | |||||||
4Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Total |
| ||
Interest | 1,456,372 | (307,576) | - | 1,148,796 | ||||||
Equity | (26,170,881) | 5,977,511 | - | (20,193,370) | ||||||
Foreign | - | - | (19,676,485) | (19,676,485) | ||||||
Total | (24,714,509) | 5,669,935 | (19,676,485) | (38,721,059) | ||||||
Change in unrealized appreciation (depreciation) | ||||||||||
Underlying | Futures | 4 | Options | 5 | Forward | 6 | Total |
| ||
Interest | (339,000) | - | - | (339,000) | ||||||
Equity | 17,065,208 | (198,967) | - | 16,866,241 | ||||||
Foreign | - | - | 2,840,541 | 2,840,541 | ||||||
Total | 16,726,208 | (198,967) | 2,840,541 | 19,367,782 | ||||||
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
38
liabilities. These disclosures are required for certain investments, including derivative financial instruments subject to Master Agreements which are eligible for offsetting in the Statement of Assets and Liabilities and require the fund to disclose both gross and net information with respect to such investments. For financial reporting purposes, the fund does not offset derivative assets and derivative liabilities that are subject to Master Agreements in the Statement of Assets and Liabilities.
At April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 5,299,618 | (1,320,013) | |||
Options | 52,920 | (166,446) | |||
Forward contracts | 16,550,227 | (691,692) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 21,902,765 | (2,178,151) | |||
Derivatives not subject to | |||||
Master Agreements | (5,352,538) | 1,486,459 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 16,550,227 | (691,692) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2018:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Citigroup | 4 | (4) | - | - | ||
State Street Bank | 16,455,551 | (649,577) | (14,692,088) | 1,113,886 | ||
UBS | 94,672 | (27,088) | (62,485) | 5,099 | ||
Total | 16,550,227 | (676,669) | (14,754,573) | 1,118,985 | ||
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Citigroup | (15,027) | 4 | 13,025 | (1,998) | ||
State Street Bank | (649,577) | 649,577 | - | - | ||
UBS | (27,088) | 27,088 | - | - | ||
Total | (691,692) | 676,669 | 13,025 | (1,998) | ||
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. | ||||||
† See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity futures | 244,810,976 | |
Equity options contracts | 1,528,287 | |
Interest rate futures | 60,462,069 | |
Forward contracts | 925,997,869 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $149,245,791, consisting of $172,481,269 gross unrealized appreciation and $23,235,478 gross unrealized depreciation.
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
40
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 February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which Newton Investment Management (North America) Limited (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (“Performance Group 1”) and with a broader group of funds (“Performance Universe 1”), with each group consisting of funds from the same Lipper category as that of the fund, all for various periods ended December 31, 2017, (2) at the request of Dreyfus, the fund’s performance with the performance of a group of
41
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
comparable funds with multiple subadvisers (“Performance Group 2”) and with a broader group of funds (“Performance Universe 2”), with each group consisting of funds from the same Lipper category as that of the fund, all for various periods ended December 31, 2017, and (3) the fund’s actual and contractual management fees and total expenses with those of groups of comparable funds identical to Performance Group 1 (“Expense Group 1”) and Performance Group 2 (“Expense Group 2”) and with broader groups of funds (“Expense Universe 1” and “Expense Universe 2,” respectively), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Groups and Performance Universes and the Expense Groups and Expense Universes.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. They also considered that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of Dreyfus, its affiliates and/or the Subadviser the results of the comparisons and considered that the fund’s total return performance was above the Performance Group 1 and 2 and Performance Universe 1 and 2 medians for all periods except for the one-year period when it was slightly below the Performance Group 1 and Performance Universe 2 medians and below the Performance Universe 1 median and the two-year period when it was below the Performance Universe 1 median. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark indices.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Groups and Expense Universes funds and discussed the results of the comparisons. The Board considered that: the fund’s contractual management fee was below the Expense Group 1 and 2 medians (lowest in each Expense Group) and the fund’s actual management fee and total expenses were below the Expense Group 1 and 2 and Expense Universe 1 and 2 medians (lowest expenses in each Expense Group).
Dreyfus representatives stated that Dreyfus has contractually agreed, until March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed .90% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper 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
42
considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
43
INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s performance.
· The Board concluded that the fees paid to Dreyfus and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
44
NOTES
45
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.
© 2018 MBSC Securities Corporation |
Dreyfus Total Emerging Markets Fund
SEMIANNUAL REPORT April 30, 2018 |
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 | |
the Fund’s Management Agreement |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Total Emerging Markets Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by Sean P. Fitzgibbon, Federico Garcia Zamora, and Josephine Shea, Portfolio Managers
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dreyfus Total Emerging Markets Fund’s Class A shares produced a total return of 4.02%, Class C shares returned 3.65%, Class I shares returned 4.16%, and Class Y shares returned 4.16%.1 In comparison, the MSCI Emerging Markets Index, the fund’s benchmark, returned 4.80% for the same period.2 The fund’s secondary benchmark index, the hybrid “Customized Blended Index,” returned 3.83% 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
Emerging-market equities gained ground amid positive global economic trends and rising corporate earnings, while emerging-market bonds declined modestly in an environment of rising interest rates and accelerating inflation. Favorable security selections in the equity portfolio and successful country allocations and currency strategies in the bond portfolio helped the fund’s Class A, I, and Y outperform the Customized Blended Index, but Class C underperformed the Customized Blended Index. The fund lagged its benchmark the MSCI Emerging Markets Index.
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 the fund’s portfolio managers 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 the portfolio managers’ common global macroeconomic view and top-down country-specific outlooks. Moreover, these expectations also reflect the portfolio managers’ 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, the portfolio managers 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. In considering the attractiveness of local currency exposures (through investment in forward contracts, bonds or equities), the portfolio managers focus, among other things, on the balance-of-payments outlook for the relevant country. In choosing equity investments for the fund, the portfolio managers rely on in-depth fundamental analysis supported by proprietary quantitative models.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
Economic Growth Amid Rising Volatility
During the reporting period’s first half, most emerging-market stocks and bonds rallied in response to positive global growth trends and restrained inflation. However, volatility spiked and markets dipped in February 2018 and March 2018 over concerns regarding rising inflationary pressures and increasing global trade tensions. April 2018 saw an easing of these concerns, allowing markets to resume their upward trajectory.
Asian equities generally led emerging-market stocks higher, bolstered by continued growth in China, while rising oil prices supported energy-exporting stock markets, such as Russia and Brazil. Russian stocks further benefited when the country’s debt was upgraded and its central bank cut interest rates. Among industry groups, energy stocks joined the information technology and consumer discretionary sectors in leading the MSCI Emerging Markets Index’s rise. While traditionally defensive areas such as the utilities and real estate sectors rebounded somewhat in response to heightened market volatility, they continued to lag overall market averages.
Emerging bond markets peaked in January 2018 and subsequently sold off in response to concerns about rising interest rates and trade disputes in some regions.
Equity Returns Supported by Security Selections
The fund improved returns compared to the MSCI Emerging Markets Index with strong equity security selections. Taiwanese financial services provider Chailease Holding continued to expand its footprint in China. Energy-related holdings, such as Russia-based Lukoil and Brazil’s Petrobras, benefited from rising commodity prices and improved management practices. In the consumer staples sector, South African pharmaceutical retailer Clicks Group and discount retailer Wal-Mart de México reported strong earnings.
On a more negative note, lack of exposure to richly valued South Korean health care stocks constrained relative results. Other underperforming holdings included beer and spirits distributor Thai Beverage, Brazilian education provider Kroton Educacional, Hungarian pharmaceutical producer Richter Gedeon, China’s Beijing Capital International Airport, and Panamanian airline operator Copa Holdings.
The fund’s fixed-income portfolio outperformed international bond market averages partly due to overweighted exposure to Brazil and Mexico, which rebounded, and Iraq, which benefited from higher oil prices. The fund’s currency positioning also added value through long positions in the Chilean peso, Mexican peso, and Czech koruna. The fund employed forward contracts to establish its currency positioning.
Positive Trends Remain Intact
We believe macroeconomic trends remain positive in many emerging markets, setting a favorable backdrop for investment. Many emerging-market equity valuations remain attractive compared to their developed-world counterparts. Among equities, we have increased exposure to Mexican and Chinese markets. The fund has trimmed equity exposure in Hungary and Taiwan. Among bonds, we have focused on countries where
4
interest rates are likely to remain stable or decline, and we have avoided markets where interest rates seem poised to rise.
May 15, 2018
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, 2019, 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 CEMBI 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.
5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Total Emerging Markets Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||||
assuming actual returns for the six months ended April 30, 2018 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $8.09 | $11.87 | $6.48 | $6.48 | ||||||
Ending value (after expenses) | $1,040.20 | $1,036.50 | $1,041.60 | $1,041.60 |
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 April 30, 2018 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $8.00 | $11.73 | $6.41 | $6.41 | ||||
Ending value (after expenses) | $1,016.86 | $1,013.14 | $1,018.45 | $1,018.45 |
† Expenses are equal to the fund’s annualized expense ratio of 1.60% for Class A, 2.35% for Class C, 1.28% for Class I and 1.28% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% | |||||||||
Argentina - 5.7% | |||||||||
Argentine Government, | ARS | 5.83 | 12/31/33 | 2,791,700 | b | 1,162,811 | |||
Argentine Government, | ARS | 4.00 | 3/6/20 | 24,900,000 | 1,263,449 | ||||
Autonomous City of Buenos Aires Argentina, | ARS | 26.19 | 3/29/24 | 36,485,000 | c | 1,787,347 | |||
Buenos Aires Province, | ARS | 26.83 | 5/31/22 | 14,697,000 | c | 748,641 | |||
City of Buenos Aires Argentina, | ARS | 29.00 | 2/22/28 | 5,970,000 | c | 305,557 | |||
Province of Cordoba, | 7.45 | 9/1/24 | 165,000 | d | 171,353 | ||||
Provincia de Buenos Aires, | ARS | 0.00 | 4/12/25 | 25,550,000 | d,e | 1,259,441 | |||
6,698,599 | |||||||||
Azerbaijan - .5% | |||||||||
Southern Gas Corridor, | 6.88 | 3/24/26 | 500,000 | 547,695 | |||||
Bahrain - .2% | |||||||||
Bahraini Government, | 6.75 | 9/20/29 | 220,000 | 203,401 | |||||
Brazil - .5% | |||||||||
Natura Cosmeticos, | 5.38 | 2/1/23 | 630,000 | d | 628,425 | ||||
Canada - .3% | |||||||||
Gran Tierra Energy International Holdings, | 6.25 | 2/15/25 | 320,000 | d | 306,400 | ||||
Chile - .4% | |||||||||
Celulosa Arauco y Constitucion, | 5.50 | 11/2/47 | 240,000 | d | 243,300 | ||||
Chilean Government, | CLP | 4.50 | 3/1/26 | 175,000,000 | 289,436 | ||||
532,736 | |||||||||
Colombia - .9% | |||||||||
Ecopetrol, | 5.88 | 5/28/45 | 520,000 | 503,360 | |||||
Emgesa, | COP | 8.75 | 1/25/21 | 237,000,000 | 88,519 |
7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% (continued) | |||||||||
Colombia - .9% (continued) | |||||||||
Empresas Publicas de Medellin, | COP | 7.63 | 9/10/24 | 230,000,000 | d | 83,722 | |||
Empresas Publicas de Medellin, | COP | 8.38 | 11/8/27 | 710,000,000 | d | 263,586 | |||
Findeter, | COP | 7.88 | 8/12/24 | 450,000,000 | d | 166,286 | |||
1,105,473 | |||||||||
Ecuador - .4% | |||||||||
Ecuadorian Government, | 9.63 | 6/2/27 | 250,000 | d | 245,938 | ||||
Ecuadorian Government, | 7.88 | 1/23/28 | 230,000 | d | 204,413 | ||||
450,351 | |||||||||
Egypt - .4% | |||||||||
Egyptian Government, | 8.50 | 1/31/47 | 400,000 | 429,795 | |||||
Ghana - .2% | |||||||||
Ghanaian Government, | 8.13 | 1/18/26 | 200,000 | 214,456 | |||||
Greece - .1% | |||||||||
Hellenic Republic, | EUR | 3.75 | 1/30/28 | 150,000 | 180,100 | ||||
Iraq - .6% | |||||||||
Iraqi Government, | 6.75 | 3/9/23 | 680,000 | d | 681,068 | ||||
Israel - .4% | |||||||||
Israel Electric Corp, | 4.25 | 8/14/28 | 450,000 | d | 431,400 | ||||
Ivory Coast - .5% | |||||||||
Ivory Coast Government, | 6.13 | 6/15/33 | 375,000 | d | 355,706 | ||||
Ivory Coast Government, | EUR | 5.25 | 3/22/30 | 215,000 | d | 263,587 | |||
619,293 | |||||||||
Kazakhstan - .5% | |||||||||
Development Bank of Kazakhstan, | KZT | 8.95 | 5/4/23 | 50,000,000 | d | 150,026 | |||
KazMunayGas National, | 4.75 | 4/24/25 | 235,000 | d | 234,848 | ||||
KazTransGas, | 4.38 | 9/26/27 | 200,000 | d | 190,850 | ||||
575,724 | |||||||||
Kenya - .6% | |||||||||
Kenyan Government, | 6.88 | 6/24/24 | 270,000 | 280,336 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% (continued) | |||||||||
Kenya - .6% (continued) | |||||||||
Kenyan Government, | 7.25 | 2/28/28 | 400,000 | d | 413,814 | ||||
694,150 | |||||||||
Lebanon - .6% | |||||||||
Lebanese Government, | 6.85 | 3/23/27 | 600,000 | 547,878 | |||||
Lebanese Government, | 6.10 | 10/4/22 | 230,000 | 219,678 | |||||
767,556 | |||||||||
Luxembourg - 2.4% | |||||||||
Aegea Finance Sarl, | 5.75 | 10/10/24 | 235,000 | d | 233,238 | ||||
Atento Luxco 1, | 6.13 | 8/10/22 | 660,000 | d | 662,739 | ||||
Cosan Luxembourg, | 7.00 | 1/20/27 | 270,000 | d | 283,959 | ||||
Hidrovias International Finance, | 5.95 | 1/24/25 | 500,000 | d | 489,375 | ||||
MHP Lux, | 6.95 | 4/3/26 | 490,000 | d | 479,097 | ||||
Rumo Luxembourg Sarl, | 7.38 | 2/9/24 | 270,000 | d | 287,280 | ||||
Rumo Luxembourg Sarl, | 5.88 | 1/18/25 | 400,000 | d | 391,250 | ||||
2,826,938 | |||||||||
Malaysia - .3% | |||||||||
Malaysian Government, | MYR | 3.90 | 11/30/26 | 1,335,000 | 334,119 | ||||
Mauritius - .4% | |||||||||
HTA Group, | 9.13 | 3/8/22 | 500,000 | 525,625 | |||||
Mexico - 2.0% | |||||||||
Axtel, | 6.38 | 11/14/24 | 560,000 | d | 560,000 | ||||
Metalsa, | 4.90 | 4/24/23 | 260,000 | 258,882 | |||||
Mexican Government, | MXN | 5.75 | 3/5/26 | 22,060,000 | 1,062,904 | ||||
Mexican Government, | MXN | 10.00 | 12/5/24 | 2,695,000 | 164,093 | ||||
Sixsigma Networks Mexico, | 8.25 | 11/7/21 | 281,000 | 292,943 | |||||
2,338,822 | |||||||||
Mongolia - .2% | |||||||||
Mongolian Government, | 5.63 | 5/1/23 | 200,000 | d | 194,486 |
9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% (continued) | |||||||||
Morocco - .6% | |||||||||
OCP Group, | 6.88 | 4/25/44 | 610,000 | 661,527 | |||||
Netherlands - 2.1% | |||||||||
Equate Petrochemical, | 4.25 | 11/3/26 | 360,000 | 350,790 | |||||
GTH Finance, | 6.25 | 4/26/20 | 360,000 | 366,271 | |||||
Lukoil International Finance, | 4.75 | 11/2/26 | 350,000 | 344,773 | |||||
Petrobras Global Finance, | 7.38 | 1/17/27 | 520,000 | 558,480 | |||||
VTR Finance, | 6.88 | 1/15/24 | 880,000 | 912,129 | |||||
2,532,443 | |||||||||
Nigeria - 1.2% | |||||||||
Nigerian Government, | 6.50 | 11/28/27 | 280,000 | 282,576 | |||||
Nigerian Government, | 6.50 | 11/28/27 | 400,000 | d | 403,680 | ||||
Nigerian Government, | NGN | 0.00 | 8/2/18 | 192,720,000 | f | 521,318 | |||
Nigerian Government, | NGN | 0.00 | 8/30/18 | 14,000,000 | f | 37,558 | |||
Nigerian Government, | NGN | 12.50 | 1/22/26 | 69,000,000 | 187,527 | ||||
1,432,659 | |||||||||
Peru - .8% | |||||||||
Inretail Pharma, | 5.38 | 5/2/23 | 270,000 | d | 274,050 | ||||
Orazul Energy Egenor, | 5.63 | 4/28/27 | 720,000 | d | 678,600 | ||||
952,650 | |||||||||
Russia - 1.5% | |||||||||
Russian Government, | RUB | 8.15 | 2/3/27 | 34,000,000 | 575,222 | ||||
Russian Government, | RUB | 7.05 | 1/19/28 | 585,000 | 9,243 | ||||
Russian Government, | RUB | 7.00 | 8/16/23 | 17,140,000 | 275,387 | ||||
Russian Government, | 4.38 | 3/21/29 | 600,000 | d | 582,275 | ||||
Vnesheconombank, | 6.80 | 11/22/25 | 280,000 | 303,637 | |||||
1,745,764 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% (continued) | |||||||||
Saudi Arabia - .2% | |||||||||
Saudi Government, | 3.63 | 3/4/28 | 200,000 | 187,508 | |||||
Senegal - .3% | |||||||||
Senegalese Government, | EUR | 4.75 | 3/13/28 | 320,000 | d | 383,993 | |||
Singapore - .5% | |||||||||
Indika Energy Capital III, | 5.88 | 11/9/24 | 655,000 | d | 618,583 | ||||
South Africa - .7% | |||||||||
Angola Government, | 9.50 | 11/12/25 | 250,000 | 281,716 | |||||
South African Government, | ZAR | 8.75 | 2/28/48 | 6,900,000 | 536,866 | ||||
818,582 | |||||||||
Sri Lanka - .2% | |||||||||
Sri Lankan Government, | 6.75 | 4/18/28 | 270,000 | d | 269,355 | ||||
Turkey - 1.5% | |||||||||
Turkish Government, | TRY | 10.60 | 2/11/26 | 860,000 | 194,141 | ||||
Turkish Government, | TRY | 11.00 | 2/24/27 | 2,320,000 | 534,581 | ||||
Turkish Government, | 5.13 | 2/17/28 | 235,000 | 219,968 | |||||
Turkiye Is Bankasi, | 6.13 | 4/25/24 | 200,000 | 194,574 | |||||
Turkiye Vakiflar Bankasi, | 5.50 | 10/27/21 | 600,000 | d | 595,374 | ||||
1,738,638 | |||||||||
Ukraine - .3% | |||||||||
Ukrainian Government, | 7.38 | 9/25/32 | 345,000 | d | 319,232 | ||||
United Arab Emirates - .6% | |||||||||
Abu Dhabi Crude Oil Pipeline, | 4.60 | 11/2/47 | 230,000 | d | 217,040 | ||||
DP World, | 6.85 | 7/2/37 | 380,000 | 453,244 | |||||
670,284 | |||||||||
United Kingdom - .8% | |||||||||
BGEO Group, | 6.00 | 7/26/23 | 760,000 | 767,539 | |||||
Tullow Oil, | 7.00 | 3/1/25 | 200,000 | d | 203,010 | ||||
970,549 |
11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 30.0% (continued) | |||||||||
United States - .2% | |||||||||
Vrio Finco 1, | 6.25 | 4/4/23 | 200,000 | d | 202,000 | ||||
Uruguay - .4% | |||||||||
Uruguayan Government, | UYU | 8.50 | 3/15/28 | 13,955,000 | d | 470,357 | |||
Total Bonds and Notes | 35,260,736 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 62.6% | |||||||||
Brazil - 3.0% | |||||||||
Ambev, ADR | 299,500 | 1,982,690 | |||||||
Estacio Participacoes | 171,400 | 1,560,762 | |||||||
3,543,452 | |||||||||
China - 23.8% | |||||||||
Alibaba Group Holding, ADR | 20,700 | g | 3,695,778 | ||||||
ANTA Sports Products | 362,000 | 2,067,004 | |||||||
Beijing Capital International Airport, Cl. H | 1,010,000 | 1,376,751 | |||||||
China Construction Bank, Cl. H | 1,835,000 | 1,924,228 | |||||||
China Lodging Group, ADR | 17,500 | 2,444,050 | |||||||
China Shenhua Energy, Cl. H | 515,000 | 1,265,487 | |||||||
PICC Property & Casualty, Cl. H | 470,000 | 842,050 | |||||||
Ping An Healthcare and Technology Company | 36,400 | d | 254,148 | ||||||
Ping An Insurance Group Company of China, Cl. H | 253,000 | 2,470,879 | |||||||
Shanghai Pharmaceuticals Holding, Cl. H | 635,800 | 1,734,465 | |||||||
TAL Education Group, ADR | 52,480 | 1,911,322 | |||||||
Tencent Holdings | 162,400 | 7,973,268 | |||||||
27,959,430 | |||||||||
Hong Kong - 6.8% | |||||||||
Brilliance China Automotive Holdings | 474,000 | 850,698 | |||||||
China Everbright International | 1,154,000 | 1,617,207 | |||||||
Galaxy Entertainment Group, Cl. L | 254,000 | 2,222,459 | |||||||
MMG | 2,552,000 | g | 1,902,029 | ||||||
Sunny Optical Technology Group | 86,000 | 1,404,459 | |||||||
7,996,852 | |||||||||
India - 3.4% | |||||||||
ICICI Bank, ADR | 190,732 | 1,623,129 | |||||||
Reliance Industries, GDR | 81,745 | d | 2,359,636 | ||||||
3,982,765 | |||||||||
Indonesia - 2.5% | |||||||||
Bank Rakyat Indonesia Persero | 6,232,000 | 1,436,461 |
12
Description | Shares | Value ($) | |||||||
Common Stocks - 62.6% (continued) | |||||||||
Indonesia - 2.5% (continued) | |||||||||
Telekomunikasi Indonesia Persero | 5,528,900 | 1,510,773 | |||||||
2,947,234 | |||||||||
Mexico - 4.8% | |||||||||
Arca Continental | 121,700 | 838,662 | |||||||
Grupo Aeroportuario del Centro Norte | 267,800 | 1,412,598 | |||||||
Grupo Financiero Banorte, Cl. O | 127,400 | 796,742 | |||||||
Wal-Mart de Mexico | 926,500 | 2,576,081 | |||||||
5,624,083 | |||||||||
Panama - 1.0% | |||||||||
Copa Holdings, Cl. A | 9,900 | 1,159,983 | |||||||
Philippines - .5% | |||||||||
Puregold Price Club | 682,630 | 624,735 | |||||||
Russia - 1.6% | |||||||||
Sberbank of Russia, ADR | 126,105 | 1,862,571 | |||||||
South Africa - 2.4% | |||||||||
Clicks Group | 169,444 | 2,874,732 | |||||||
South Korea - 4.4% | |||||||||
KB Financial Group | 48,631 | 2,773,203 | |||||||
Korea Investment Holdings | 11,752 | 992,108 | |||||||
POSCO | 4,015 | 1,381,166 | |||||||
5,146,477 | |||||||||
Taiwan - 5.8% | |||||||||
Chailease Holding | 662,000 | 2,418,262 | |||||||
Hiwin Technologies | 66,000 | 994,083 | |||||||
Taiwan Semiconductor Manufacturing | 452,000 | 3,426,373 | |||||||
6,838,718 | |||||||||
Thailand - 1.0% | |||||||||
Thai Beverage | 1,752,800 | 1,128,637 | |||||||
Turkey - 1.0% | |||||||||
Turkiye Garanti Bankasi | 534,899 | 1,206,823 | |||||||
United Arab Emirates - .6% | |||||||||
Abu Dhabi Commercial Bank | 358,779 | 686,020 | |||||||
Total Common Stocks | 73,582,512 | ||||||||
Preferred Dividend Yield (%) | Shares | Value ($) | |||||||
Preferred Stocks - 4.2% | |||||||||
Brazil - 4.2% | |||||||||
Banco do Estado do Rio Grande do Sul, Cl. B | 6.04 | 148,900 | 853,905 | ||||||
Cia Energetica de Minas Gerais, 2.93 | 6.41 | 424,600 | 1,025,381 |
13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Preferred Dividend Yield (%) | Shares | Value ($) | |||||||
Preferred Stocks - 4.2% (continued) | ||||||||||
Brazil - 4.2% (continued) | ||||||||||
Petroleo Brasileiro | 475,600 | g | 3,118,444 | |||||||
Total Preferred Stocks | 4,997,730 | |||||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount | Value ($) | ||||||
Options Purchased - .0% | ||||||||||
Put Options - .0% | ||||||||||
Mexican Peso, | 18.15 | 6/2018 | 1,250,000 | 7,261 | ||||||
Russian Ruble, | 57.00 | 6/2018 | 1,200,000 | 106 | ||||||
South African Rand, | 11.45 | 5/2018 | 710,000 | 2 | ||||||
South Korean Won, | 1,055 | 6/2018 | 1,240,000 | 6,952 | ||||||
Total Options Purchased | 14,321 | |||||||||
Yield at Date of Purchase (%) | Maturity Date | Principal Amount ($) | Value ($) | |||||||
Short-Term Investments - .5% | ||||||||||
U. S. Treasury Bills | 1.71 | 8/2/18 | 540,000 | h,i | 537,457 |
14
Description | Current | Shares | Value ($) | ||||||
Other Investment - 3.2% | |||||||||
Registered Investment Company; | |||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 3,758,175 | j | 3,758,175 | |||||
Total Investments (cost $98,749,884) | 100.5% | 118,150,931 | |||||||
Liabilities, Less Cash and Receivables | (0.5%) | (548,163) | |||||||
Net Assets | 100.0% | 117,602,768 |
ADR—American Depository Receipt
BADLAR—Buenos Aires Interbank Offer Rate
GDR—Global Depository Receipt
ARS—Argentine Peso
CLP—Chilean Peso
COP—Colombian Peso
EUR—Euro
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 April 30, 2018, these securities were valued at $17,706,920 or 15.06% of net assets.
e Zero coupon until a specified date at which time the stated coupon rate becomes effective until maturity.
f Security issued with a zero coupon. Income is recognized through the accretion of discount.
g Non-income producing security.
h Held by a counterparty for open exchange traded derivative contracts.
i Security is a discount security. Income is recognized through the accretion of discount.
j Investment in affiliated money market mutual fund.
15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Foreign/Governmental | 17.3 |
Financials | 16.9 |
Information Technology | 14.2 |
Corporate Bonds | 12.7 |
Consumer Discretionary | 11.3 |
Consumer Staples | 6.3 |
Industrials | 5.9 |
Energy | 5.7 |
Short-Term/Money Market Investment | 3.7 |
Materials | 2.8 |
Health Care | 1.5 |
Telecommunication Services | 1.3 |
Utilities | .9 |
Options Purchased | .0 |
100.5 |
† Based on net assets.
See notes to financial statements.
16
STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 2,170,429 | 34,455,435 | 32,867,689 | 3,758,175 | 3.2 | 20,865 |
See notes to financial statements.
17
STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Short | ||||||
Euro-Bobl | 2 | 6/2018 | (314,964)a | (316,391) | (1,427) | |
Euro-Bond | 3 | 6/2018 | (569,004)a | (575,082) | (6,078) | |
Gross Unrealized Depreciation | (7,505) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
18
STATEMENT OF OPTIONS WRITTEN
April 30, 2018 (Unaudited)
Description/ Expiration Date/ Exercise Price | Counterparty | Number of Contracts | Notional Amount | a | Value ($) | |
Call Options: | ||||||
Mexican Peso, | Citigroup | 1,250,000 | 1,250,000 | (8,988) | ||
Polish Zloty Cross Currency | JP Morgan Chase Bank | 1,200,000 | 1,200,000 | EUR | (2,866) | |
Russian Ruble, | JP Morgan Chase Bank | 1,200,000 | 1,200,000 | (50,096) | ||
South African Rand, | JP Morgan Chase Bank | 710,000 | 710,000 | (1,853) | ||
South Korean Won, | Barclays Bank | 1,240,000 | 1,240,000 | (4,532) | ||
Total Options Written (premiums received $48,961) | (68,335) |
a Notional amount stated in U.S. Dollars unless otherwise indicated.
EUR—Euro
See notes to financial statements.
19
STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Barclays Bank | |||||
Czech Koruna | 58,800,000 | United States Dollar | 2,868,957 | 6/26/18† | (85,698) |
Hong Kong Dollars | 2,014,821 | United States Dollar | 256,759 | 5/4/18 | (50) |
South Korean Won | 14,360,190,000 | United States Dollar | 13,623,434 | 6/26/18 | (155,053) |
Malaysian Ringgit | 7,590,000 | United States Dollar | 1,936,930 | 7/23/18 | (6,693) |
Taiwan Dollar | 56,015,000 | United States Dollar | 1,939,981 | 6/26/18 | (38,989) |
United States Dollar | 2,868,957 | Euro | 2,318,292 | 6/26/18† | 56,768 |
United States Dollar | 961,493 | Hungarian Forint | 243,750,000 | 6/26/18 | 19,719 |
United States Dollar | 791,305 | Turkish Lira | 3,240,000 | 6/26/18 | 7,799 |
Citigroup | |||||
Chilean Peso | 645,390,000 | United States Dollar | 1,069,389 | 6/26/18 | (17,348) |
Colombian Peso | 6,923,905,000 | United States Dollar | 2,476,361 | 6/26/18 | (13,690) |
Mexican New Peso | 5,290,000 | United States Dollar | 286,586 | 6/26/18 | (6,295) |
Peruvian New Sol | 982,000 | United States Dollar | 303,527 | 6/26/18 | (2,184) |
South African Rand | 17,385,000 | United States Dollar | 1,450,628 | 6/26/18 | (66,521) |
United States Dollar | 1,088,276 | Argentine Peso | 22,953,906 | 6/4/18 | 7,074 |
United States Dollar | 949,599 | Czech Koruna | 19,500,000 | 6/26/18 | 26,579 |
United States Dollar | 3,347,672 | Israeli Shekel | 11,790,000 | 6/26/18 | 60,409 |
HSBC | |||||
United States Dollar | 3,198,607 | Mexican New Peso | 58,910,000 | 6/26/18 | 77,254 |
JP Morgan Chase Bank | |||||
Euro | 6,415,000 | United States Dollar | 7,971,535 | 5/31/18 | (206,434) |
Indonesian Rupiah | 27,164,880,000 | United States Dollar | 1,965,252 | 6/26/18 | (25,222) |
Indian Rupee | 404,650,000 | United States Dollar | 6,153,437 | 6/26/18 | (127,600) |
Polish Zolty | 7,920,000 | United States Dollar | 2,313,388 | 6/26/18 | (54,733) |
20
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
JP Morgan Chase Bank (continued) | |||||
Singapore Dollar | 3,170,000 | United States Dollar | 2,418,943 | 6/26/18 | (25,173) |
United States Dollar | 1,633,294 | Argentine Peso | 34,698,769 | 6/4/18 | (1,128) |
United States Dollar | 146,129 | Brazilian Real | 485,000 | 6/4/18 | 8,169 |
United States Dollar | 2,699,834 | Hong Kong Dollars | 21,030,000 | 4/10/19 | 4,851 |
United States Dollar | 1,353,620 | Hungarian Forint | 342,960,000 | 6/26/18 | 28,528 |
United States Dollar | 3,480,094 | Philippine Peso | 182,860,000 | 6/26/18 | (43,257) |
United States Dollar | 1,426,752 | Romanian Leu | 5,400,000 | 6/26/18 | 27,625 |
United States Dollar | 241,628 | Russian Ruble | 14,015,000 | 6/26/18 | 20,593 |
UBS | |||||
Czech Koruna | 100,070,000 | United States Dollar | 4,891,122 | 6/26/18† | (154,374) |
Malaysian Ringgit | 15,780,000 | United States Dollar | 4,065,438 | 6/26/18 | (50,682) |
Malaysian Ringgit | 2,420,000 | United States Dollar | 618,779 | 7/23/18 | (3,341) |
United States Dollar | 1,267,477 | Chinese Yuan Renminbi | 8,000,000 | 6/26/18 | 8,998 |
United States Dollar | 4,891,122 | Euro | 3,949,092 | 6/26/18† | 100,700 |
Gross Unrealized Appreciation | 455,066 | ||||
Gross Unrealized Depreciation | (1,084,465) |
† Cross currency forward exchange contracts.
See notes to financial statements.
21
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Statement of Investments: |
|
|
| |||
Unaffiliated issuers | 94,991,709 |
| 114,392,756 |
| ||
Affiliated issuers |
| 3,758,175 |
| 3,758,175 |
| |
Cash |
|
|
|
| 19,568 |
|
Cash denominated in foreign currency |
|
| 448,535 |
| 444,846 |
|
Dividends and interest receivable |
| 470,647 |
| |||
Unrealized appreciation on forward foreign |
| 455,066 |
| |||
Receivable for shares of Common Stock subscribed |
| 56,611 |
| |||
Receivable for investment securities sold |
| 3,279 |
| |||
Prepaid expenses |
|
|
|
| 33,779 |
|
|
|
|
|
| 119,634,727 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 148,622 |
|
Unrealized depreciation on forward foreign |
| 1,084,465 |
| |||
Payable for investment securities purchased |
| 675,975 |
| |||
Outstanding options written, at value |
| 68,335 |
| |||
Payable for shares of Common Stock redeemed |
| 2,500 |
| |||
Payable for futures variation margin—Note 4 |
| 403 |
| |||
Accrued expenses |
|
|
|
| 51,659 |
|
|
|
|
|
| 2,031,959 |
|
Net Assets ($) |
|
| 117,602,768 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 87,918,988 |
|
Accumulated undistributed investment income—net |
| 480,809 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| 10,463,560 |
|
Accumulated net unrealized appreciation (depreciation) |
| 18,739,411 |
| |||
Net Assets ($) |
|
| 117,602,768 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 2,742,500 | 917,000 | 111,295,878 | 2,647,390 |
|
Shares Outstanding | 186,670 | 63,594 | 7,535,288 | 179,164 |
|
Net Asset Value Per Share ($) | 14.69 | 14.42 | 14.77 | 14.78 |
|
See notes to financial statements. |
22
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest (net of $520 foreign taxes withheld at source) |
|
| 1,028,680 |
| ||
Dividends (net of $87,400 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 653,610 |
| ||
Affiliated issuers |
|
| 20,865 |
| ||
Total Income |
|
| 1,703,155 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 594,085 |
| ||
Professional fees |
|
| 59,929 |
| ||
Custodian fees—Note 3(c) |
|
| 46,278 |
| ||
Registration fees |
|
| 29,516 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 7,777 |
| ||
Distribution fees—Note 3(b) |
|
| 3,277 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 2,604 |
| ||
Prospectus and shareholders’ reports |
|
| 1,457 |
| ||
Loan commitment fees—Note 2 |
|
| 1,002 |
| ||
Miscellaneous |
|
| 25,338 |
| ||
Total Expenses |
|
| 771,263 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (660) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (352) |
| ||
Net Expenses |
|
| 770,251 |
| ||
Investment Income—Net |
|
| 932,904 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 8,660,403 |
| ||||
Net realized gain (loss) on options transactions | 52,653 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 1,562,978 |
| ||||
Net Realized Gain (Loss) |
|
| 10,276,034 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (5,598,028) |
| ||
Net unrealized appreciation (depreciation) on options transactions | (48,703) |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| (7,505) |
| ||
Net unrealized appreciation (depreciation) on |
|
| (745,339) |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (6,399,575) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| 3,876,459 |
| ||
Net Increase in Net Assets Resulting from Operations |
| 4,809,363 |
| |||
See notes to financial statements. |
23
STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income—net |
|
| 932,904 |
|
|
| 1,996,058 |
| |
Net realized gain (loss) on investments |
| 10,276,034 |
|
|
| 10,871,233 |
| ||
Net unrealized appreciation (depreciation) |
| (6,399,575) |
|
|
| 16,768,193 |
| ||
Net Increase (Decrease) in Net Assets | 4,809,363 |
|
|
| 29,635,484 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Investment income—net: |
|
|
|
|
|
|
|
| |
Class A |
|
| (32,250) |
|
|
| (18,734) |
| |
Class C |
|
| (6,284) |
|
|
| (4,434) |
| |
Class I |
|
| (1,857,073) |
|
|
| (1,633,825) |
| |
Class Y |
|
| (52,182) |
|
|
| (22,811) |
| |
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Class A |
|
| (31,727) |
|
|
| - |
| |
Class C |
|
| (12,139) |
|
|
| - |
| |
Class I |
|
| (1,584,851) |
|
|
| - |
| |
Class Y |
|
| (44,355) |
|
|
| - |
| |
Total Distributions |
|
| (3,620,861) |
|
|
| (1,679,804) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 1,642,993 |
|
|
| 681,914 |
| |
Class C |
|
| 98,899 |
|
|
| 26,603 |
| |
Class I |
|
| 1,948,686 |
|
|
| 12,118,649 |
| |
Class Y |
|
| 3,633,412 |
|
|
| 1,498,875 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 46,837 |
|
|
| 12,366 |
| |
Class C |
|
| 5,523 |
|
|
| 1,434 |
| |
Class I |
|
| 99,613 |
|
|
| 49,084 |
| |
Class Y |
|
| 80,225 |
|
|
| 18,891 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (578,480) |
|
|
| (416,423) |
| |
Class C |
|
| (16,145) |
|
|
| (28,025) |
| |
Class I |
|
| (2,978,335) |
|
|
| (27,470,441) |
| |
Class Y |
|
| (3,024,096) |
|
|
| (1,408,029) |
| |
Increase (Decrease) in Net Assets | 959,132 |
|
|
| (14,915,102) |
| |||
Total Increase (Decrease) in Net Assets | 2,147,634 |
|
|
| 13,040,578 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 115,455,134 |
|
|
| 102,414,556 |
| |
End of Period |
|
| 117,602,768 |
|
|
| 115,455,134 |
| |
Undistributed investment income—net | 480,809 |
|
|
| 1,495,694 |
|
24
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 108,413 |
|
|
| 55,979 |
| |
Shares issued for distributions reinvested |
|
| 3,160 |
|
|
| 1,153 |
| |
Shares redeemed |
|
| (38,698) |
|
|
| (32,409) |
| |
Net Increase (Decrease) in Shares Outstanding | 72,875 |
|
|
| 24,723 |
| |||
Class Ca |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 6,657 |
|
|
| 2,251 |
| |
Shares issued for distributions reinvested |
|
| 379 |
|
|
| 136 |
| |
Shares redeemed |
|
| (1,114) |
|
|
| (2,423) |
| |
Net Increase (Decrease) in Shares Outstanding | 5,922 |
|
|
| (36) |
| |||
Class Ib |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 127,850 |
|
|
| 964,144 |
| |
Shares issued for distributions reinvested |
|
| 6,694 |
|
|
| 4,562 |
| |
Shares redeemed |
|
| (198,158) |
|
|
| (2,032,547) |
| |
Net Increase (Decrease) in Shares Outstanding | (63,614) |
|
|
| (1,063,841) |
| |||
Class Yb |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 238,907 |
|
|
| 121,641 |
| |
Shares issued for distributions reinvested |
|
| 5,384 |
|
|
| 1,754 |
| |
Shares redeemed |
|
| (195,330) |
|
|
| (118,655) |
| |
Net Increase (Decrease) in Shares Outstanding | 48,961 |
|
|
| 4,740 |
| |||
aDuring the period ended April 30, 2018, 677 Class C shares representing $9,833 were automatically exchanged for 662 Class A shares. | |||||||||
bDuring the period ended April 30, 2018, 163 Class Y shares representing $2,457 were exchanged for 163 Class I shares. | |||||||||
See notes to financial statements. |
25
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||
April 30, 2018 | Year Ended October 31, | ||||||
Class A Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | |||||||
Net asset value, | 14.53 | 11.41 | 10.27 | 12.13 | 12.22 | 11.52 | |
Investment Operations: | |||||||
Investment income—neta | .09 | .18 | .17 | .19 | .21 | .21 | |
Net realized and unrealized | .50 | 3.10 | .97 | (1.84) | (.13) | .51 | |
Total from | .59 | 3.28 | 1.14 | (1.65) | .08 | .72 | |
Distributions: | |||||||
Dividends from | (.22) | (.16) | - | (.19) | (.17) | (.02) | |
Dividends from net realized gains on investment—net | (.21) | - | - | - | - | - | |
Tax return of capital | - | - | - | (.02) | - | - | |
Total Distributions | (.43) | (.16) | - | (.21) | (.17) | (.02) | |
Net asset value, end of period | 14.69 | 14.53 | 11.41 | 10.27 | 12.13 | 12.22 | |
Total Return (%)b | 4.02c | 29.23 | 11.10 | (13.76) | .71 | 6.25 | |
Ratios/ Supplemental Data (%): | |||||||
Ratio of total expenses | 1.65d | 1.61 | 1.69 | 1.72 | 1.71 | 1.71 | |
Ratio of net expenses | 1.60d | 1.60 | 1.60 | 1.60 | 1.60 | 1.61 | |
Ratio of net investment income | 1.27d | 1.44 | 1.60 | 1.71 | 1.80 | 1.78 | |
Portfolio Turnover Rate | 33.83c | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | |
Net Assets, | 2,743 | 1,654 | 1,016 | 916 | 1,294 | 1,380 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to financial statements.
26
Six Months Ended | |||||||
April 30, 2018 | Year Ended October 31, | ||||||
Class C Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | |||||||
Net asset value, | 14.22 | 11.16 | 10.13 | 11.96 | 12.07 | 11.44 | |
Investment Operations: | |||||||
Investment income—neta | .04 | .09 | .09 | .10 | .12 | .11 | |
Net realized and unrealized | .48 | 3.05 | .94 | (1.81) | (.14) | .52 | |
Total from | .52 | 3.13 | 1.03 | (1.71) | (.02) | .63 | |
Distributions: | |||||||
Dividends from | (.11) | (.08) | - | (.10) | (.09) | - | |
Dividends from net realized gains on investment—net | (.21) | - | - | - | - | - | |
Tax return of capital | - | - | - | (.02) | - | - | |
Total Distributions | (.32) | (.08) | - | (.12) | (.09) | - | |
Net asset value, end of period | 14.42 | 14.22 | 11.16 | 10.13 | 11.96 | 12.07 | |
Total Return (%)b | 3.65c | 28.32 | 10.17 | (14.36) | (.03) | 5.42 | |
Ratios/ Supplemental Data (%): | |||||||
Ratio of total expenses | 2.36d | 2.34 | 2.41 | 2.46 | 2.44 | 2.42 | |
Ratio of net expenses | 2.35d | 2.34 | 2.35 | 2.35 | 2.35 | 2.36 | |
Ratio of net investment income | .52d | .72 | .85 | .96 | 1.04 | .92 | |
Portfolio Turnover Rate | 33.83c | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | |
Net Assets, | 917 | 820 | 644 | 669 | 823 | 720 |
a Based on average shares outstanding.
b Exclusive of sales charge.
c Not annualized.
d Annualized.
See notes to financial statements.
27
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | |||||||
April 30, 2018 | Year Ended October 31, | ||||||
Class I Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |
Per Share Data ($): | |||||||
Net asset value, | 14.62 | 11.46 | 10.29 | 12.16 | 12.25 | 11.54 | |
Investment Operations: | |||||||
Investment income—neta | .12 | .23 | .20 | .21 | .24 | .24 | |
Net realized and unrealized | .49 | 3.11 | .97 | (1.84) | (.13) | .51 | |
Total from Investment Operations | .61 | 3.34 | 1.17 | (1.63) | .11 | .75 | |
Distributions: | |||||||
Dividends from | (.25) | (.18) | - | (.21) | (.20) | (.04) | |
Dividends from net realized gains on investment—net | (.21) | - | - | - | - | - | |
Tax return of capital | - | - | - | (.03) | - | - | |
Total Distributions | (.46) | (.18) | - | (.24) | (.20) | (.04) | |
Net asset value, end of period | 14.77 | 14.62 | 11.46 | 10.29 | 12.16 | 12.25 | |
Total Return (%) | 4.16b | 29.76 | 11.37 | (13.54) | .97 | 6.52 | |
Ratios/ Supplemental Data (%): | |||||||
Ratio of total expenses | 1.28c | 1.27 | 1.32 | 1.36 | 1.35 | 1.34 | |
Ratio of net expenses | 1.28c | 1.27 | 1.29 | 1.35 | 1.35 | 1.34 | |
Ratio of net investment income | 1.58c | 1.81 | 1.91 | 1.96 | 2.04 | 1.97 | |
Portfolio Turnover Rate | 33.83b | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | |
Net Assets, | 111,296 | 111,076 | 99,315 | 68,147 | 81,636 | 83,306 |
a Based on average shares outstanding.
b Not annualized.
c Annualized.
See notes to financial statements.
28
Six Months Ended | |||||||
April 30, 2018 | Year Ended October 31, | ||||||
Class Y Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013a | |
Per Share Data ($): | |||||||
Net asset value, beginning of period | 14.63 | 11.47 | 10.29 | 12.16 | 12.25 | 11.41 | |
Investment Operations: | |||||||
Investment income—netb | .12 | .22 | .20 | .24 | .28 | .06 | |
Net realized and unrealized | .49 | 3.12 | .98 | (1.87) | (.16) | .78 | |
Total from Investment Operations | .61 | 3.34 | 1.18 | (1.63) | .12 | .84 | |
Distributions: | |||||||
Dividends from | (.25) | (.18) | - | (.22) | (.21) | - | |
Dividends from net realized gains on investment—net | (.21) | - | - | - | - | - | |
Tax return of capital | - | - | - | (.02) | - | - | |
Total Distributions | (.46) | (.18) | - | (.24) | (.21) | - | |
Net asset value, end of period | 14.78 | 14.63 | 11.47 | 10.29 | 12.16 | 12.25 | |
Total Return (%) | 4.16c | 29.70 | 11.47 | (13.53) | .95 | 7.45c | |
Ratios/ Supplemental Data (%): | |||||||
Ratio of total expenses | 1.28d | 1.28 | 1.32 | 1.38 | 1.35 | 1.42d | |
Ratio of net expenses | 1.28d | 1.28 | 1.30 | 1.30 | 1.33 | 1.35d | |
Ratio of net investment income | 1.58d | 1.77 | 1.90 | 2.10 | 2.26 | 1.46d | |
Portfolio Turnover Rate | 33.83c | 71.57 | 79.54 | 125.89 | 97.47 | 99.13 | |
Net Assets, end of period($ x 1,000) | 2,647 | 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.
29
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Total Emerging Markets Fund (the “fund”) is a separate non-diversified series of Advantage Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering ten series, including the fund. The fund’s investment objective is to seek to maximize total return. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.
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 C shares automatically convert to Class A shares ten years after the date of purchase, without the imposition of a sales charge. Class I and Class Y shares are sold at net asset value per share generally to institutional investors. As of the date of this report, the fund did not offer Class T shares for purchase. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
As of April 30, 2018, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 40,000 Class A shares, 40,000 Class C shares and 463,798 Class I shares of the fund.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under
30
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
31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 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 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.
32
Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.
Futures, options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2018 in valuing the fund’s investments:
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Corporate Bonds | - | 14,947,422 | - | 14,947,422 |
Equity Securities – | 14,679,523 | 58,902,989† | - | 73,582,512 |
Equity Securities – | - | 4,997,730† | - | 4,997,730 |
Foreign Government | - | 20,313,314 | - | 20,313,314 |
Registered Investment Company | 3,758,175 | - | - | 3,758,175 |
U.S. Treasury | - | 537,457 | - | 537,457 |
33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1 – | Level 2 – Other | Level 3 – | Total | |
Assets ($) | ||||
Other Financial Instruments: | ||||
Forward Foreign Currency Exchange Contracts†† | - | 455,066 | - | 455,066 |
Options Purchased | - | 14,321 | - | 14,321 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (7,505) | - | - | (7,505) |
Forward Foreign Currency Exchange Contracts†† | - | (1,084,465) | - | (1,084,465) |
Options Written | - | (68,335) | - | (68,335) |
† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2018, the amount of securities transferred between levels equals fair value of exchange traded foreign equity securities reported as Level 2 in the table above. At October 31, 2017, there was no transfer 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.
34
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
(d) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” under the Act.
(e) Risk: Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
(f) Dividends and distributions to shareholders: Dividends and distributions are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(g) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: ordinary income $1,679,804. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $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. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2018, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions with Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of 1% of the value of the fund’s average daily net assets and is payable monthly. Dreyfus has contractually agreed, from November 1, 2017 through March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) do not exceed 1.35% of the fund’s average daily net assets. On or after March 1, 2019, Dreyfus may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $660 during the period ended April 30, 2018.
During the period ended April 30, 2018, the Distributor retained $269 from commissions earned on sales of the fund’s Class A shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2018, Class C shares were charged $3,277 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 April 30, 2018, Class A and Class C shares were charged $2,920 and $1,092, respectively, pursuant to the Shareholder Services Plan.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2018, the fund was charged $1,261 for transfer agency services and $74 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 $74.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2018, the fund was charged $46,278 pursuant to the custody agreement. These fees were partially offset by earnings credits of $278.
During the period ended April 30, 2018, the fund was charged $7,600 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $97,543, Distribution Plan fees $563, Shareholder Services Plan fees $753, custodian fees $44,449, Chief Compliance Officer fees $5,056 and transfer agency fees $446, which are offset against an expense reimbursement currently in effect in the amount $188.
37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
(e) A 2% redemption fee is charged and retained by the fund on certain shares redeemed within sixty days following the date of issuance subject to certain exceptions, including redemptions made through use of the fund’s exchange privilege. During the period ended April 30, 2018, redemption fees charged and retained by the fund amounted to $11,402.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures, options transactions and forward contracts, during the period ended April 30, 2018, amounted to $39,060,078 and $41,309,547, respectively.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. The fund enters into International Swaps and Derivatives Association, Inc. Master Agreements or similar agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 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
38
credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default. Futures open at April 30, 2018 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 foreign currencies or as a substitute for an investment. The fund is subject to market risk and currency risk in the course of pursuing its investment objectives through its investments in options contracts. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying financial instrument at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the 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
39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
transaction. Options written open at April 30, 2018 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 currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2018 are set forth in the Statement of Forward Foreign Currency Exchange Contracts.
The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.
Fair value of derivative instruments as of April 30, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | - | Interest rate risk | (7,505) | 1 | |||
Foreign exchange risk | 469,387 | 2,3 | Foreign exchange risk | (1,152,800) | 3,4 | ||
Gross fair value of | 469,387 | (1,160,305) | |||||
Statement of Assets and Liabilities location: | |||||||
1Includes cumulative appreciation (depreciation) on futures as reported in the Statement of Futures, but only the unpaid variation margin is reported in the Statement of Assets and Liabilities. | |||||||
2Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | |||||||
3Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. | |||||||
4Outstanding options written, at value. |
40
The effect of derivative instruments in the Statement of Operations during the period ended April 30, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Options | 1 | Forward | 2 | Total |
| ||||
Foreign | 52,653 | 1,562,978 | 1,615,631 | |||||||
Total | 52,653 | 1,562,978 | 1,615,631 | |||||||
Change in unrealized appreciation (depreciation) | ||||||||||
Underlying | Futures | 3 | Options | 4 | Forward | 5 | Total |
| ||
Interest | (7,505) | - | - | (7,505) | ||||||
Foreign | - | (48,703) | (745,339) | (794,042) | ||||||
Total | (7,505) | (48,703) | (745,339) | (801,547) | ||||||
Statement of Operations location: | ||||||||||
1 | Net realized gain (loss) on options transactions. | |||||||||
2 | Net realized gain (loss) on forward foreign currency exchange contracts. | |||||||||
3 | Net unrealized appreciation (depreciation) on futures. | |||||||||
4 | Net unrealized appreciation (depreciation) on options transactions. | |||||||||
5 | 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.
41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | - | (7,505) | |||
Options | 14,321 | (68,335) | |||
Forward contracts | 455,066 | (1,084,465) | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Statement of Assets and Liabilities | 469,387 | (1,160,305) | |||
Derivatives not subject to | |||||
Master Agreements | - | 7,505 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 469,387 | (1,152,800) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2018:
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Barclays Bank | 91,238 | (91,238) | - | - | ||
Citigroup | 101,323 | (101,323) | - | - | ||
HSBC | 77,254 | - | - | 77,254 | ||
JP Morgan | 89,874 | (89,874) | - | - | ||
UBS | 109,698 | (109,698) | - | - | ||
Total | 469,387 | (392,133) | - | 77,254 | ||
42
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Barclays Bank | (291,015) | 91,238 | 199,777 | - | ||
Citigroup | (115,026) | 101,323 | 13,703 | - | ||
JP Morgan | (538,362) | 89,874 | 448,488 | - | ||
UBS | (208,397) | 109,698 | - | (98,699) | ||
Total | (1,152,800) | 392,133 | 661,968 | (98,699) | ||
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. | ||||||
† See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Interest rate futures | 257,568 | |
Foreign currency options contracts | 62,448 | |
Forward contracts | 81,545,797 | |
At April 30, 2018, accumulated net unrealized appreciation on investments was $18,744,769, consisting of $22,835,927 gross unrealized appreciation and $4,091,158 gross unrealized depreciation.
At April 30, 2018, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
43
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from Dreyfus representatives. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
44
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board discussed with representatives of Dreyfus and/or its affiliates the results of the comparisons and considered that the fund’s total return performance was above the Performance Group and Performance Universe medians for all periods. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that: the fund’s contractual management fee was at the Expense Group median, the fund’s actual management fee was above the Expense Group and Expense Universe medians and the fund’s total expenses were slightly above the Expense Group median and below the Expense Universe median.
Dreyfus representatives stated that Dreyfus has contractually agreed, until March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 1.35% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager(s) for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by Dreyfus, including the nature, extent and quality of such
45
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AGREEMENT (Unaudited) (continued)
services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus from acting as investment adviser and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
· The Board was satisfied with the fund’s performance.
· The Board concluded that the fee paid to Dreyfus continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates, of Dreyfus and the services provided to the fund by Dreyfus. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the
46
contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreement.
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.
© 2018 MBSC Securities Corporation |
Dynamic Total Return Fund
SEMIANNUAL REPORT April 30, 2018 |
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 | |
of the Fund’s Management and | |
Sub-Investment Advisory Agreements |
FOR MORE INFORMATION
Back Cover
| The Fund |
A LETTER FROM THE PRESIDENT OF DREYFUS
Dear Shareholder:
We are pleased to present this semiannual report for Dynamic Total Return Fund, covering the six-month period from November 1, 2017 through April 30, 2018. 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.
Heightened volatility has returned to the financial markets. After a period of unusually mild price swings in 2017, inflation concerns, geopolitical tensions and potential trade disputes caused volatility to increase substantially over the opening months of 2018. As a result, U.S. stocks and bonds either produced flat returns or lost a degree of value over the first four months of the year.
Stocks set a series of new record highs through January 2018 before market volatility took its toll, enabling stocks across all capitalization ranges to produce positive returns for the full six-month reporting period. Stocks gained value amid growing corporate earnings, improving global economic conditions and the enactment of tax reform legislation and other government policy reforms. In contrast, most sectors of the U.S. bond market lost a degree of value when short-term interest rates climbed, inflation expectations increased and yield differences began to widen between corporate-backed bonds and U.S. Treasury securities.
In our judgment, underlying market fundamentals remain strong, characterized by sustained economic growth, a robust labor market and strong consumer and business confidence. We expect these favorable conditions to persist, but we remain aware of economic and political developments that could negatively affect 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,
Renee Laroche-Morris
President
The Dreyfus Corporation
May 15, 2018
2
DISCUSSION OF FUND PERFORMANCE (Unaudited)
For the period from November 1, 2017 through April 30, 2018, as provided by portfolio managers Vassilis Dagioglu, James Stavena, Torrey Zaches, Joseph Miletich, and Sinead Colton, of BNY Mellon Asset Management North America Corporation, Sub-Investment Adviser
Market and Fund Performance Overview
For the six-month period ended April 30, 2018, Dynamic Total Return Fund’s Class A shares produced a total return of -2.54%, Class C shares returned -2.92%, Class I shares returned -2.42%, and Class Y shares returned -2.36%.1 In comparison, 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 0.67%, 3.40%, and 2.96%, respectively.2,3,4,5
Stocks advanced modestly over the reporting period amid improving global growth. While global bonds produced mixed results, foreign government bond returns benefited significantly from a weakening U.S. dollar. The fund lagged its benchmark indices due to its policy to hedge foreign currency risks as well as the underperformance of U.S. Treasury bonds relative to German government bonds.
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.
U.S. Fiscal Policies Supported Global Growth
Stocks remained energized early in the reporting period by ongoing corporate earnings growth, encouraging global economic developments, and U.S. tax reform. Consequently, several broad measures of stock market performance reached new highs during January 2018. While inflation fears and potential trade disputes sparked heightened market volatility from February through April, the resulting declines were not enough to fully offset earlier gains.
3
DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)
U.S. bonds fared less well amid rising interest rates and expectations of higher inflation. Sovereign bonds from overseas markets produced higher returns, in large part due to the impact of a sharp drop in the U.S. dollar against most foreign currencies.
Weak Dollar and Relative Value Positions Hurt Performance
The fund’s policy of hedging currency risks, which is designed to mitigate the volatility of global investing, undermined the fund’s relative results over the reporting period. In addition, overseas equity markets generally lagged the U.S. stock market, and the fund’s ample allocation to non-U.S. equities weighed on relative performance. Australian and Spanish equities detracted notably from returns, more than offsetting better results from Japan and the Netherlands. A relatively low allocation to emerging-market equities prevented the fund from participating more fully in their gains. Among bonds, long positions in U.S., Canadian, and Australian government bonds constrained results, but short positions in German and U.K. government bonds helped to partly mitigate those losses.
On a more positive note, the fund’s asset allocation strategy bolstered relative performance through overweighted exposure to equities. Commodity positions added value over the reporting period as long positions in energy-related investments benefited from rising oil prices.
Cautiously Optimistic as Policy Risks Grow
We currently expect modest global economic growth and mildly higher inflation as more central banks begin tightening monetary policy. However, the cumulative impact of six U.S. rate hikes over the last two years and expectations that other central banks will begin hiking rates has raised the probability of a policy error that could derail economic growth.
In this environment, we have found attractive values among equities in Japan, the United Kingdom, and select Eurozone countries such as Germany. 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.
May 15, 2018
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, 2019, 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.
4
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dynamic Total Return Fund from November 1, 2017 to April 30, 2018. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | ||||||||||
assuming actual returns for the six months ended April 30, 2018 | ||||||||||
Class A | Class C | Class I | Class Y | |||||||
Expenses paid per $1,000† | $7.05 | $10.70 | $5.83 | $5.59 | ||||||
Ending value (after expenses) | $974.60 | $970.80 | $975.80 | $976.40 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||||||||
assuming a hypothetical 5% annualized return for the six months ended April 30, 2018 | ||||||||
Class A | Class C | Class I | Class Y | |||||
Expenses paid per $1,000† | $7.20 | $10.94 | $5.96 | $5.71 | ||||
Ending value (after expenses) | $1,017.65 | $1,013.93 | $1,018.89 | $1,019.14 |
† Expenses are equal to the fund’s annualized expense ratio of 1.44% for Class A, 2.19% for Class C, 1.19% for Class I and 1.14% for Class Y, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
5
CONSOLIDATED STATEMENT OF INVESTMENTS
April 30, 2018 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% | |||||||||
Consumer Discretionary - 1.3% | |||||||||
24 Hour Fit Worldwide, | 8.00 | 6/1/22 | 100,000 | b | 101,000 | ||||
Adient Global Holdings, | 4.88 | 8/15/26 | 75,000 | b | 70,500 | ||||
Allison Transmission, | 5.00 | 10/1/24 | 75,000 | b | 73,853 | ||||
Altice, | 7.63 | 2/15/25 | 75,000 | b | 67,875 | ||||
Altice Financing, | 7.50 | 5/15/26 | 150,000 | b | 147,750 | ||||
Altice Financing, | 6.63 | 2/15/23 | 150,000 | b | 150,375 | ||||
Altice US Finance I, | 5.38 | 7/15/23 | 75,000 | b | 75,281 | ||||
AMC Entertainment Holdings, | 5.88 | 2/15/22 | 100,000 | 101,625 | |||||
AMC Entertainment Holdings, | 5.75 | 6/15/25 | 75,000 | 73,031 | |||||
AMC Entertainment Holdings, | 5.88 | 11/15/26 | 75,000 | 73,219 | |||||
AMC Networks, | 4.75 | 12/15/22 | 75,000 | 75,563 | |||||
AMC Networks, | 5.00 | 4/1/24 | 75,000 | 73,500 | |||||
AMC Networks, | 4.75 | 8/1/25 | 50,000 | 47,380 | |||||
American Axle & Manufacturing, | 6.63 | 10/15/22 | 30,000 | 31,050 | |||||
American Axle & Manufacturing, | 6.50 | 4/1/27 | 100,000 | 99,845 | |||||
American Tire Distributors, | 10.25 | 3/1/22 | 55,000 | b | 29,288 | ||||
Aramark Services, | 4.75 | 6/1/26 | 75,000 | 72,938 | |||||
Aramark Services, | 5.00 | 2/1/28 | 150,000 | b | 146,311 | ||||
Asbury Automotive Group, | 6.00 | 12/15/24 | 55,000 | 54,863 | |||||
Aston Martin Capital Holdings, | 6.50 | 4/15/22 | 50,000 | b | 52,173 | ||||
AV Homes, | 6.63 | 5/15/22 | 75,000 | 76,875 | |||||
Avis Budget Car Rental, | 5.50 | 4/1/23 | 75,000 | 74,531 |
6
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
Beacon Escrow, | 4.88 | 11/1/25 | 100,000 | b | 95,000 | ||||
Beazer Homes USA, | 8.75 | 3/15/22 | 30,000 | 32,475 | |||||
Beazer Homes USA, | 5.88 | 10/15/27 | 50,000 | 46,000 | |||||
Boyd Gaming, | 6.88 | 5/15/23 | 75,000 | 79,031 | |||||
Boyd Gaming, | 6.38 | 4/1/26 | 75,000 | 78,710 | |||||
Cablevision Systems, | 8.00 | 4/15/20 | 50,000 | 53,125 | |||||
Cablevision Systems, | 5.88 | 9/15/22 | 130,000 | 128,375 | |||||
CalAtlantic Group, | 5.88 | 11/15/24 | 100,000 | 108,000 | |||||
CalAtlantic Group, | 5.25 | 6/1/26 | 60,000 | 61,875 | |||||
CCO Holdings, | 5.13 | 2/15/23 | 200,000 | 201,440 | |||||
CCO Holdings, | 5.75 | 9/1/23 | 120,000 | 121,800 | |||||
CCO Holdings, | 5.88 | 4/1/24 | 75,000 | b | 76,313 | ||||
CCO Holdings, | 5.75 | 2/15/26 | 200,000 | b | 199,000 | ||||
CCO Holdings, | 5.50 | 5/1/26 | 75,000 | b | 73,215 | ||||
CCO Holdings, | 5.13 | 5/1/27 | 200,000 | b | 187,894 | ||||
CCO Holdings, | 5.00 | 2/1/28 | 200,000 | b | 185,676 | ||||
Cengage Learning, | 9.50 | 6/15/24 | 50,000 | b | 39,250 | ||||
Century Communities, | 6.88 | 5/15/22 | 150,000 | 155,250 | |||||
Cequel Communications Holdings I, | 5.13 | 12/15/21 | 150,000 | b | 149,250 | ||||
Choice Hotels International, | 5.70 | 8/28/20 | 125,000 | 129,219 | |||||
Choice Hotels International, | 5.75 | 7/1/22 | 125,000 | 132,656 | |||||
Cinemark USA, | 4.88 | 6/1/23 | 75,000 | 74,531 | |||||
Conn's, | 7.25 | 7/15/22 | 100,000 | 99,470 |
7
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
Constellation Merger Sub, | 8.50 | 9/15/25 | 45,000 | b | 44,100 | ||||
Cooper-Standard Automotive, | 5.63 | 11/15/26 | 50,000 | b | 49,750 | ||||
CSC Holdings, | 5.50 | 4/15/27 | 75,000 | b | 72,173 | ||||
CSC Holdings, | 6.75 | 11/15/21 | 50,000 | 52,750 | |||||
CSC Holdings, | 10.13 | 1/15/23 | 200,000 | b | 222,250 | ||||
Dana, | 5.50 | 12/15/24 | 100,000 | 102,250 | |||||
Dana Financing, | 5.75 | 4/15/25 | 50,000 | b | 50,875 | ||||
DISH DBS, | 7.88 | 9/1/19 | 50,000 | 51,819 | |||||
DISH DBS, | 6.75 | 6/1/21 | 150,000 | 150,000 | |||||
DISH DBS, | 5.88 | 7/15/22 | 300,000 | 276,375 | |||||
DISH DBS, | 5.88 | 11/15/24 | 50,000 | 42,938 | |||||
DISH DBS, | 7.75 | 7/1/26 | 300,000 | 273,187 | |||||
DriveTime Automotive Group, | 8.00 | 6/1/21 | 60,000 | b | 60,450 | ||||
Eldorado Resorts, | 6.00 | 4/1/25 | 100,000 | 99,625 | |||||
Fiat Chrysler Automobiles, | 4.50 | 4/15/20 | 125,000 | 126,912 | |||||
Fiat Chrysler Automobiles, | 5.25 | 4/15/23 | 75,000 | 78,094 | |||||
Global Partners, | 6.25 | 7/15/22 | 100,000 | 100,500 | |||||
GLP Capital, | 4.88 | 11/1/20 | 50,000 | 51,309 | |||||
GLP Capital, | 4.38 | 4/15/21 | 50,000 | 50,500 | |||||
GLP Capital, | 5.38 | 11/1/23 | 75,000 | 77,812 | |||||
GLP Capital, | 5.38 | 4/15/26 | 75,000 | 75,750 | |||||
Golden Nugget, | 6.75 | 10/15/24 | 75,000 | b | 76,312 | ||||
Goodyear Tire & Rubber, | 5.13 | 11/15/23 | 75,000 | 74,813 |
8
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
Goodyear Tire & Rubber, | 5.00 | 5/31/26 | 75,000 | 71,719 | |||||
Goodyear Tire & Rubber, | 4.88 | 3/15/27 | 125,000 | 117,344 | |||||
Gray Television, | 5.13 | 10/15/24 | 75,000 | b | 71,719 | ||||
Gray Television, | 5.88 | 7/15/26 | 75,000 | b | 72,375 | ||||
Group 1 Automotive, | 5.00 | 6/1/22 | 75,000 | 75,585 | |||||
Hanesbrands, | 4.88 | 5/15/26 | 75,000 | b | 72,750 | ||||
Hilton Domestic Operating, | 4.25 | 9/1/24 | 75,000 | 72,188 | |||||
Hilton Worldwide Finance, | 4.63 | 4/1/25 | 175,000 | 170,152 | |||||
IHO Verwaltungs, | 4.13 | 9/15/21 | 50,000 | b | 50,250 | ||||
International Game Technology, | 5.63 | 2/15/20 | 125,000 | b | 128,594 | ||||
International Game Technology, | 6.25 | 2/15/22 | 125,000 | b | 131,797 | ||||
International Game Technology, | 6.50 | 2/15/25 | 75,000 | b | 80,344 | ||||
J.C. Penney, | 6.38 | 10/15/36 | 100,000 | 63,000 | |||||
Jack Ohio Finance, | 10.25 | 11/15/22 | 100,000 | b | 109,750 | ||||
Jack Ohio Finance, | 6.75 | 11/15/21 | 75,000 | b | 77,625 | ||||
Jaguar Land Rover Automotive, | 4.25 | 11/15/19 | 75,000 | b | 75,844 | ||||
Jaguar Land Rover Automotive, | 5.63 | 2/1/23 | 75,000 | b | 76,125 | ||||
K Hovnanian Enterprises, | 10.00 | 7/15/22 | 60,000 | b | 64,575 | ||||
KB Home, | 8.00 | 3/15/20 | 50,000 | 53,875 | |||||
KB Home, | 7.50 | 9/15/22 | 50,000 | 55,125 | |||||
KFC Holding, | 5.25 | 6/1/26 | 75,000 | b | 75,562 | ||||
L Brands, | 7.00 | 5/1/20 | 100,000 | 106,250 | |||||
L Brands, | 5.63 | 2/15/22 | 200,000 | 208,520 |
9
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
L Brands, | 6.88 | 11/1/35 | 75,000 | 71,250 | |||||
L Brands, | 6.75 | 7/1/36 | 75,000 | 70,500 | |||||
Lamar Media, | 5.00 | 5/1/23 | 75,000 | 76,177 | |||||
Lamar Media, | 5.38 | 1/15/24 | 75,000 | 77,062 | |||||
Lee Enterprises, | 9.50 | 3/15/22 | 50,000 | b | 52,063 | ||||
Lennar, | 4.50 | 6/15/19 | 75,000 | 75,844 | |||||
Lennar, | 2.95 | 11/29/20 | 60,000 | b | 58,723 | ||||
Lennar, | 4.13 | 1/15/22 | 125,000 | 125,000 | |||||
Lennar, | 4.75 | 11/15/22 | 75,000 | 75,362 | |||||
Live Nation Entertainment, | 4.88 | 11/1/24 | 75,000 | b | 73,594 | ||||
LKQ, | 4.75 | 5/15/23 | 75,000 | 74,741 | |||||
M/I Homes, | 6.75 | 1/15/21 | 100,000 | 103,375 | |||||
McClatchy, | 9.00 | 12/15/22 | 61,000 | 64,203 | |||||
McClatchy, | 6.88 | 3/15/29 | 100,000 | 127,625 | |||||
MDC Holdings, | 6.00 | 1/15/43 | 100,000 | 93,750 | |||||
Men's Wearhouse, | 7.00 | 7/1/22 | 75,000 | 77,344 | |||||
Meritage Homes, | 7.15 | 4/15/20 | 100,000 | 106,500 | |||||
MGM Resorts International, | 6.75 | 10/1/20 | 50,000 | 53,250 | |||||
MGM Resorts International, | 6.63 | 12/15/21 | 175,000 | 187,687 | |||||
MGM Resorts International, | 7.75 | 3/15/22 | 75,000 | 83,344 | |||||
MGM Resorts International, | 6.00 | 3/15/23 | 75,000 | 78,562 | |||||
Michaels Stores, | 5.88 | 12/15/20 | 75,000 | b | 76,031 | ||||
Mohegan Gaming & Entertainment, | 7.88 | 10/15/24 | 75,000 | b | 75,281 |
10
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
National CineMedia, | 6.00 | 4/15/22 | 60,000 | 61,200 | |||||
Netflix, | 5.50 | 2/15/22 | 50,000 | 52,125 | |||||
Netflix, | 5.88 | 2/15/25 | 75,000 | 77,227 | |||||
New Red Finance, | 5.00 | 10/15/25 | 100,000 | b | 96,719 | ||||
New Red Finance, | 4.63 | 1/15/22 | 50,000 | b | 50,250 | ||||
New Red Finance, | 4.25 | 5/15/24 | 150,000 | b | 143,062 | ||||
Nexstar Broadcasting, | 5.63 | 8/1/24 | 75,000 | b | 74,063 | ||||
Nielsen Finance, | 5.00 | 4/15/22 | 275,000 | b | 277,777 | ||||
Outfront Media Capital, | 5.25 | 2/15/22 | 25,000 | 25,469 | |||||
Outfront Media Capital, | 5.63 | 2/15/24 | 75,000 | 76,031 | |||||
Penske Automotive Group, | 5.50 | 5/15/26 | 75,000 | 72,938 | |||||
PetSmart, | 7.13 | 3/15/23 | 300,000 | b | 176,250 | ||||
Pinnacle Entertainment, | 5.63 | 5/1/24 | 75,000 | 78,750 | |||||
Prime Security Services Borrower, | 9.25 | 5/15/23 | 244,000 | b | 262,605 | ||||
PulteGroup, | 5.50 | 3/1/26 | 75,000 | 76,594 | |||||
PulteGroup, | 5.00 | 1/15/27 | 75,000 | 73,331 | |||||
PulteGroup, | 7.88 | 6/15/32 | 100,000 | 119,000 | |||||
Quebecor Media, | 5.75 | 1/15/23 | 100,000 | 103,000 | |||||
Radiate Holdco, | 6.88 | 2/15/23 | 100,000 | b | 97,250 | ||||
Rivers Pittsburgh Finance, | 6.13 | 8/15/21 | 60,000 | b | 58,050 | ||||
Sally Holdings, | 5.63 | 12/1/25 | 75,000 | 73,688 | |||||
Scientific Games International, | 6.25 | 9/1/20 | 100,000 | 100,625 | |||||
Scientific Games International, | 6.63 | 5/15/21 | 100,000 | 102,500 |
11
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
Scientific Games International, | 10.00 | 12/1/22 | 50,000 | 54,063 | |||||
Service Corp International, | 5.38 | 5/15/24 | 75,000 | 77,040 | |||||
ServiceMaster, | 5.13 | 11/15/24 | 75,000 | b | 73,238 | ||||
SFR Group, | 6.00 | 5/15/22 | 350,000 | b | 346,482 | ||||
SFR Group, | 6.25 | 5/15/24 | 75,000 | b | 71,719 | ||||
SFR Group, | 7.38 | 5/1/26 | 300,000 | b | 292,125 | ||||
Silversea Cruise Finance, | 7.25 | 2/1/25 | 75,000 | b | 79,327 | ||||
Sinclair Television Group, | 5.38 | 4/1/21 | 75,000 | 75,937 | |||||
Sinclair Television Group, | 6.13 | 10/1/22 | 75,000 | 77,320 | |||||
Sirius XM Radio, | 3.88 | 8/1/22 | 200,000 | b | 195,000 | ||||
Sirius XM Radio, | 6.00 | 7/15/24 | 75,000 | b | 77,242 | ||||
Sirius XM Radio, | 5.38 | 4/15/25 | 75,000 | b | 74,813 | ||||
Sirius XM Radio, | 5.38 | 7/15/26 | 75,000 | b | 73,695 | ||||
Six Flags Entertainment, | 4.88 | 7/31/24 | 150,000 | b | 146,625 | ||||
Sonic Automotive, | 5.00 | 5/15/23 | 75,000 | 72,656 | |||||
Springs Industries, | 6.25 | 6/1/21 | 75,000 | 76,219 | |||||
Taylor Morrison Communities, | 5.25 | 4/15/21 | 75,000 | b | 75,656 | ||||
TEGNA, | 4.88 | 9/15/21 | 125,000 | b | 126,875 | ||||
TEGNA, | 6.38 | 10/15/23 | 175,000 | 181,344 | |||||
Tempur Sealy International, | 5.50 | 6/15/26 | 75,000 | 71,250 | |||||
Tenneco, | 5.00 | 7/15/26 | 75,000 | 70,313 | |||||
Tesla, | 5.30 | 8/15/25 | 100,000 | b | 88,875 | ||||
Toll Brothers Finance, | 4.88 | 11/15/25 | 250,000 | 248,750 |
12
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Discretionary - 1.3% (continued) | |||||||||
Toll Brothers Finance, | 4.35 | 2/15/28 | 50,000 | 46,500 | |||||
TRI Pointe Group, | 5.88 | 6/15/24 | 80,000 | 81,500 | |||||
Tribune Media, | 5.88 | 7/15/22 | 75,000 | 76,312 | |||||
Under Armour, | 3.25 | 6/15/26 | 75,000 | 66,689 | |||||
Unitymedia Hessen, | 5.00 | 1/15/25 | 75,000 | b | 77,062 | ||||
Univision Communications, | 6.75 | 9/15/22 | 25,000 | b | 25,688 | ||||
Univision Communications, | 5.13 | 5/15/23 | 75,000 | b | 71,438 | ||||
Univision Communications, | 5.13 | 2/15/25 | 75,000 | b | 69,446 | ||||
Urban One, | 7.38 | 4/15/22 | 100,000 | b | 98,500 | ||||
Viacom, | 5.88 | 2/28/57 | 75,000 | 75,814 | |||||
Viacom, | 6.25 | 2/28/57 | 75,000 | 76,178 | |||||
Virgin Media Finance, | 6.38 | 4/15/23 | 75,000 | b | 75,937 | ||||
Virgin Media Secured Finance, | 5.25 | 1/15/26 | 75,000 | b | 71,719 | ||||
William Lyon Homes, | 5.88 | 1/31/25 | 100,000 | 97,655 | |||||
Williams Scotsman International, | 7.88 | 12/15/22 | 100,000 | b | 104,250 | ||||
WMG Acquisition, | 5.63 | 4/15/22 | 125,000 | b | 128,281 | ||||
Wynn Las Vegas, | 5.50 | 3/1/25 | 300,000 | b | 299,370 | ||||
Yum! Brands, | 3.88 | 11/1/20 | 100,000 | 100,375 | |||||
Yum! Brands, | 3.75 | 11/1/21 | 200,000 | 198,750 | |||||
Ziggo Bond Finance, | 6.00 | 1/15/27 | 75,000 | b | 70,406 | ||||
Ziggo Secured Finance, | 5.50 | 1/15/27 | 300,000 | b | 283,500 | ||||
17,825,699 | |||||||||
Consumer Staples - .2% | |||||||||
Albertsons, | 6.63 | 6/15/24 | 75,000 | 70,312 |
13
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Staples - .2% (continued) | |||||||||
Albertsons, | 5.75 | 3/15/25 | 75,000 | 65,719 | |||||
Alliance One International, | 9.88 | 7/15/21 | 100,000 | 95,125 | |||||
Avon Products, | 6.60 | 3/15/20 | 50,000 | 50,625 | |||||
Avon Products, | 7.00 | 3/15/23 | 150,000 | 138,000 | |||||
B&G Foods, | 4.63 | 6/1/21 | 75,000 | 74,321 | |||||
Darling Ingredients, | 5.38 | 1/15/22 | 70,000 | 71,400 | |||||
Dean Foods, | 6.50 | 3/15/23 | 75,000 | b | 72,094 | ||||
Dole Food, | 7.25 | 6/15/25 | 50,000 | b | 50,625 | ||||
Edgewell Personal Care, | 4.70 | 5/24/22 | 50,000 | 48,980 | |||||
First Quality Finance, | 4.63 | 5/15/21 | 75,000 | b | 74,438 | ||||
Fresh Market, | 9.75 | 5/1/23 | 25,000 | b | 13,875 | ||||
HRG Group, | 7.75 | 1/15/22 | 125,000 | 129,062 | |||||
JBS USA Finance, | 7.25 | 6/1/21 | 50,000 | b | 50,625 | ||||
JBS USA Finance, | 5.88 | 7/15/24 | 75,000 | b | 73,031 | ||||
JBS USA Finance, | 5.75 | 6/15/25 | 100,000 | b | 94,470 | ||||
Kronos Acquisition Holdings, | 9.00 | 8/15/23 | 25,000 | b | 23,938 | ||||
New Albertson's, | 8.00 | 5/1/31 | 50,000 | 41,875 | |||||
New Albertson's, | 8.70 | 5/1/30 | 40,000 | 35,400 | |||||
Pilgrim's Pride, | 5.75 | 3/15/25 | 75,000 | b | 73,500 | ||||
Post Holdings, | 5.50 | 3/1/25 | 75,000 | b | 73,875 | ||||
Post Holdings, | 5.00 | 8/15/26 | 300,000 | b | 282,000 | ||||
Prestige Brands, | 6.38 | 3/1/24 | 55,000 | b | 55,550 | ||||
Revlon Consumer Products, | 5.75 | 2/15/21 | 125,000 | 91,875 |
14
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Consumer Staples - .2% (continued) | |||||||||
Rite Aid, | 6.13 | 4/1/23 | 300,000 | b | 306,750 | ||||
Safeway, | 5.00 | 8/15/19 | 100,000 | 101,000 | |||||
Scotts Miracle-Gro, | 5.25 | 12/15/26 | 20,000 | 19,600 | |||||
Spectrum Brands, | 5.75 | 7/15/25 | 75,000 | 75,304 | |||||
Tesco, | 6.15 | 11/15/37 | 100,000 | b | 107,358 | ||||
TreeHouse Foods, | 6.00 | 2/15/24 | 75,000 | b | 74,906 | ||||
US Foods, | 5.88 | 6/15/24 | 75,000 | b | 76,687 | ||||
Vector Group, | 6.13 | 2/1/25 | 75,000 | b | 74,597 | ||||
2,686,917 | |||||||||
Energy - .7% | |||||||||
American Midstream Partner, | 8.50 | 12/15/21 | 50,000 | b | 50,000 | ||||
Antero Midstream Partners, | 5.38 | 9/15/24 | 75,000 | 75,000 | |||||
Antero Resources, | 5.13 | 12/1/22 | 125,000 | 126,250 | |||||
Antero Resources, | 5.63 | 6/1/23 | 75,000 | 76,969 | |||||
Archrock Partners, | 6.00 | 4/1/21 | 100,000 | 100,250 | |||||
Archrock Partners, | 6.00 | 10/1/22 | 100,000 | 100,500 | |||||
Ascent Resources Utica Holdings, | 10.00 | 4/1/22 | 50,000 | b | 54,000 | ||||
Athabasca Oil, | 9.88 | 2/24/22 | 50,000 | b | 50,625 | ||||
Blue Racer Midstream, | 6.13 | 11/15/22 | 75,000 | b | 77,250 | ||||
Bristow Group, | 6.25 | 10/15/22 | 100,000 | 83,500 | |||||
Buckeye Partners, | 6.38 | 1/22/78 | 100,000 | 97,618 | |||||
California Resources, | 8.00 | 12/15/22 | 150,000 | b | 129,750 | ||||
Callon Petroleum, | 6.13 | 10/1/24 | 55,000 | 56,375 | |||||
Calumet Specialty Products Partners, | 6.50 | 4/15/21 | 125,000 | 124,062 |
15
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Energy - .7% (continued) | |||||||||
Canadian Oil Sands, | 4.50 | 4/1/22 | 100,000 | b | 100,774 | ||||
Carrizo Oil & Gas, | 7.50 | 9/15/20 | 17,000 | 17,191 | |||||
Carrizo Oil & Gas, | 6.25 | 4/15/23 | 75,000 | 77,398 | |||||
Cheniere Corpus Christi Holdings, | 7.00 | 6/30/24 | 140,000 | 153,475 | |||||
Cheniere Corpus Christi Holdings, | 5.13 | 6/30/27 | 100,000 | 97,875 | |||||
Chesapeake Energy, | 6.13 | 2/15/21 | 100,000 | 101,250 | |||||
Chesapeake Energy, | 8.00 | 1/15/25 | 75,000 | b | 72,900 | ||||
Chesapeake Energy, | 8.00 | 6/15/27 | 50,000 | b | 48,250 | ||||
Chesapeake Energy, | 8.00 | 12/15/22 | 189,000 | b | 201,049 | ||||
CNX Resources, | 5.88 | 4/15/22 | 100,000 | 100,750 | |||||
Continental Resources, | 5.00 | 9/15/22 | 300,000 | 305,250 | |||||
Continental Resources, | 4.50 | 4/15/23 | 75,000 | 76,125 | |||||
Continental Resources, | 3.80 | 6/1/24 | 75,000 | 73,406 | |||||
Continental Resources, | 4.90 | 6/1/44 | 40,000 | 39,200 | |||||
Crestwood Midstream Partners, | 6.25 | 4/1/23 | 75,000 | 76,781 | |||||
CSI Compressco, | 7.25 | 8/15/22 | 100,000 | 95,000 | |||||
DCP Midstream Operating, | 9.75 | 3/15/19 | 60,000 | b | 63,312 | ||||
DCP Midstream Operating, | 4.75 | 9/30/21 | 95,000 | b | 96,306 | ||||
DCP Midstream Operating, | 4.95 | 4/1/22 | 60,000 | 61,050 | |||||
DCP Midstream Operating, | 3.88 | 3/15/23 | 130,000 | 125,775 | |||||
DCP Midstream Operating, | 6.75 | 9/15/37 | 50,000 | b | 54,375 | ||||
Denbury Resources, | 9.00 | 5/15/21 | 100,000 | b | 105,000 | ||||
Diamond Offshore Drilling, | 4.88 | 11/1/43 | 175,000 | 126,875 |
16
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Energy - .7% (continued) | |||||||||
Diamondback Energy, | 4.75 | 11/1/24 | 75,000 | 74,884 | |||||
Diamondback Energy, | 5.38 | 5/31/25 | 75,000 | 76,219 | |||||
Eclipse Resources, | 8.88 | 7/15/23 | 75,000 | 70,875 | |||||
Energy Transfer Equity, | 7.50 | 10/15/20 | 50,000 | 53,688 | |||||
Energy Transfer Equity, | 5.88 | 1/15/24 | 75,000 | 76,781 | |||||
Energy Transfer Equity, | 5.50 | 6/1/27 | 75,000 | 75,188 | |||||
Ensco, | 4.70 | 3/15/21 | 100,000 | 98,000 | |||||
Ensco, | 4.50 | 10/1/24 | 150,000 | 122,625 | |||||
Ensco, | 5.75 | 10/1/44 | 100,000 | 69,875 | |||||
Everest Acquisition Finance, | 6.38 | 6/15/23 | 75,000 | 40,125 | |||||
Extraction Oil & Gas, | 5.63 | 2/1/26 | 100,000 | b | 97,125 | ||||
Genesis Energy, | 6.75 | 8/1/22 | 75,000 | 76,500 | |||||
Genesis Energy, | 6.00 | 5/15/23 | 50,000 | 49,125 | |||||
Gulfport Energy, | 6.00 | 10/15/24 | 100,000 | 95,500 | |||||
Gulfport Energy, | 6.38 | 5/15/25 | 75,000 | 72,258 | |||||
Halcon Resources, | 6.75 | 2/15/25 | 18,000 | 18,068 | |||||
Hilcorp Energy I, | 5.75 | 10/1/25 | 75,000 | b | 74,625 | ||||
Jupiter Resources, | 8.50 | 10/1/22 | 75,000 | b | 33,000 | ||||
KCA Deutag UK Finance, | 9.88 | 4/1/22 | 50,000 | b | 52,813 | ||||
Laredo Petroleum, | 5.63 | 1/15/22 | 100,000 | 101,500 | |||||
Legacy Reserves Finance, | 6.63 | 12/1/21 | 50,000 | 39,000 | |||||
Matador Resources, | 6.88 | 4/15/23 | 35,000 | 36,663 | |||||
McDermott International, | 8.00 | 5/1/21 | 75,000 | b | 76,875 |
17
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Energy - .7% (continued) | |||||||||
MEG Energy, | 7.00 | 3/31/24 | 75,000 | b | 67,500 | ||||
MEG Energy, | 6.50 | 1/15/25 | 75,000 | b | 75,188 | ||||
Murphy Oil, | 6.88 | 8/15/24 | 150,000 | 159,187 | |||||
Murphy Oil, | 5.75 | 8/15/25 | 70,000 | 70,000 | |||||
Newfield Exploration, | 5.75 | 1/30/22 | 50,000 | 52,750 | |||||
Newfield Exploration, | 5.63 | 7/1/24 | 80,000 | 85,200 | |||||
Newfield Exploration, | 5.38 | 1/1/26 | 60,000 | 62,340 | |||||
NGL Energy Partners, | 5.13 | 7/15/19 | 150,000 | 150,375 | |||||
NGPL PipeCo, | 4.88 | 8/15/27 | 75,000 | b | 73,195 | ||||
Noble Holding International, | 7.75 | 1/15/24 | 43,000 | 40,528 | |||||
Noble Holding International, | 6.05 | 3/1/41 | 150,000 | 105,000 | |||||
Noble Holding International, | 5.25 | 3/15/42 | 100,000 | 66,500 | |||||
Northern Oil and Gas, | 8.00 | 6/1/20 | 75,000 | 73,875 | |||||
NuStar Logistics, | 4.75 | 2/1/22 | 125,000 | 121,875 | |||||
Oasis Petroleum, | 6.50 | 11/1/21 | 125,000 | 128,437 | |||||
Parsley Energy, | 6.25 | 6/1/24 | 120,000 | b | 125,700 | ||||
Parsley Energy, | 5.38 | 1/15/25 | 75,000 | b | 75,563 | ||||
PBF Holding, | 7.00 | 11/15/23 | 125,000 | 129,687 | |||||
Peabody Energy, | 6.38 | 3/31/25 | 75,000 | b | 78,469 | ||||
Precision Drilling, | 7.13 | 1/15/26 | 70,000 | b | 70,875 | ||||
QEP Resources, | 5.25 | 5/1/23 | 75,000 | 73,500 | |||||
Range Resources, | 5.88 | 7/1/22 | 100,000 | 101,750 | |||||
Range Resources, | 5.00 | 8/15/22 | 75,000 | 74,063 |
18
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Energy - .7% (continued) | |||||||||
Range Resources, | 4.88 | 5/15/25 | 75,000 | 69,797 | |||||
Resolute Energy, | 8.50 | 5/1/20 | 50,000 | 50,125 | |||||
Rockies Express Pipeline, | 6.00 | 1/15/19 | 75,000 | b | 76,687 | ||||
Rockies Express Pipeline, | 5.63 | 4/15/20 | 50,000 | b | 52,016 | ||||
Rose Rock Finance, | 5.63 | 7/15/22 | 150,000 | 145,875 | |||||
Rowan Cos., | 7.88 | 8/1/19 | 100,000 | 104,500 | |||||
Rowan Cos., | 4.88 | 6/1/22 | 25,000 | 23,250 | |||||
Rowan Cos., | 7.38 | 6/15/25 | 75,000 | 72,938 | |||||
Rowan Cos., | 5.85 | 1/15/44 | 20,000 | 14,900 | |||||
RSP Permian, | 6.63 | 10/1/22 | 40,000 | 41,788 | |||||
RSP Permian, | 5.25 | 1/15/25 | 65,000 | 67,438 | |||||
Sanchez Energy, | 7.75 | 6/15/21 | 35,000 | 32,638 | |||||
Sanchez Energy, | 6.13 | 1/15/23 | 100,000 | 72,720 | |||||
SESI, | 7.13 | 12/15/21 | 75,000 | 76,406 | |||||
Seven Generations Energy, | 6.88 | 6/30/23 | 120,000 | b | 125,400 | ||||
SM Energy, | 6.13 | 11/15/22 | 75,000 | 76,125 | |||||
SM Energy, | 6.50 | 1/1/23 | 100,000 | 100,750 | |||||
SM Energy, | 5.63 | 6/1/25 | 75,000 | 73,125 | |||||
Southwestern Energy, | 4.10 | 3/15/22 | 200,000 | 195,000 | |||||
Summit Midstream Holdings, | 5.75 | 4/15/25 | 75,000 | 71,924 | |||||
Tallgrass Energy Partners, | 5.50 | 1/15/28 | 80,000 | b | 80,000 | ||||
Targa Resources Partners, | 4.13 | 11/15/19 | 250,000 | 252,042 | |||||
Targa Resources Partners, | 5.00 | 1/15/28 | 80,000 | b | 74,200 |
19
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Energy - .7% (continued) | |||||||||
Teine Energy, | 6.88 | 9/30/22 | 60,000 | b | 61,650 | ||||
Transocean, | 6.50 | 11/15/20 | 100,000 | 103,751 | |||||
Transocean, | 8.38 | 12/15/21 | 100,000 | 107,750 | |||||
Transocean, | 7.50 | 4/15/31 | 75,000 | 69,750 | |||||
Transocean, | 6.80 | 3/15/38 | 150,000 | 126,750 | |||||
Transocean Phoenix 2, | 7.75 | 10/15/24 | 63,750 | b | 68,528 | ||||
Trinidad Drilling, | 6.63 | 2/15/25 | 40,000 | b | 38,550 | ||||
Ultra Resources, | 6.88 | 4/15/22 | 50,000 | b | 37,000 | ||||
Weatherford International, | 7.75 | 6/15/21 | 45,000 | 44,494 | |||||
Weatherford International, | 4.50 | 4/15/22 | 40,000 | 35,600 | |||||
Weatherford International, | 8.25 | 6/15/23 | 45,000 | 42,413 | |||||
Weatherford International, | 9.88 | 3/1/25 | 100,000 | b | 96,000 | ||||
Weatherford International, | 7.00 | 3/15/38 | 100,000 | 79,000 | |||||
Whiting Petroleum, | 5.75 | 3/15/21 | 75,000 | 76,969 | |||||
Williams Cos., | 7.50 | 1/15/31 | 100,000 | 121,250 | |||||
Williams Cos., | 3.70 | 1/15/23 | 100,000 | 97,220 | |||||
Williams Cos., | 4.55 | 6/24/24 | 75,000 | 75,094 | |||||
Williams Cos., | 5.75 | 6/24/44 | 75,000 | 78,562 | |||||
WPX Energy, | 6.00 | 1/15/22 | 37,000 | 38,758 | |||||
WPX Energy, | 5.25 | 9/15/24 | 75,000 | 75,937 | |||||
10,539,055 | |||||||||
Financials - .4% | |||||||||
AerCap Global Aviation Trust, | 6.50 | 6/15/45 | 75,000 | b | 79,875 | ||||
Ally Financial, | 7.50 | 9/15/20 | 165,000 | 179,025 |
20
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Financials - .4% (continued) | |||||||||
Ally Financial, | 8.00 | 11/1/31 | 150,000 | 183,030 | |||||
Ally Financial, | 3.75 | 11/18/19 | 125,000 | 125,639 | |||||
Ally Financial, | 4.13 | 2/13/22 | 50,000 | 49,813 | |||||
Ally Financial, | 5.75 | 11/20/25 | 150,000 | 155,250 | |||||
CIT Group, | 3.88 | 2/19/19 | 25,000 | 25,119 | |||||
CIT Group, | 5.38 | 5/15/20 | 17,000 | 17,595 | |||||
CIT Group, | 5.00 | 8/1/23 | 75,000 | 76,312 | |||||
Cooke Omega Investments, | 8.50 | 12/15/22 | 100,000 | b | 101,000 | ||||
Credit Acceptance, | 6.13 | 2/15/21 | 100,000 | 101,125 | |||||
Deutsche Bank, | 4.30 | 5/24/28 | 75,000 | 71,575 | |||||
Dresdner Funding Trust I, | 8.15 | 6/30/31 | 130,000 | b | 166,050 | ||||
E*TRADE Financial, | 5.88 | 12/15/49 | 200,000 | 205,000 | |||||
Enova International, | 9.75 | 6/1/21 | 97,000 | 103,305 | |||||
FBM Finance, | 8.25 | 8/15/21 | 75,000 | b | 79,312 | ||||
Fortress Transportation & Infrastructure Investors, | 6.75 | 3/15/22 | 60,000 | b | 61,125 | ||||
Genworth Holdings, | 7.63 | 9/24/21 | 50,000 | 47,250 | |||||
goeasy, | 7.88 | 11/1/22 | 100,000 | b | 106,250 | ||||
HUB International, | 7.88 | 10/1/21 | 200,000 | b | 208,500 | ||||
Icahn Enterprises, | 6.00 | 8/1/20 | 125,000 | 127,734 | |||||
Icahn Enterprises, | 5.88 | 2/1/22 | 125,000 | 126,562 | |||||
Infinity Acquisition, | 7.25 | 8/1/22 | 100,000 | b | 99,500 | ||||
Intelsat Connect Finance, | 12.50 | 4/1/22 | 50,000 | b | 44,000 | ||||
Intesa Sanpaolo, | 5.71 | 1/15/26 | 75,000 | b | 75,311 |
21
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Financials - .4% (continued) | |||||||||
Jefferies Finance, | 6.88 | 4/15/22 | 50,000 | b | 50,065 | ||||
Ladder Capital Finance, | 5.88 | 8/1/21 | 125,000 | b | 127,656 | ||||
Liberty Mutual Group, | 7.80 | 3/7/87 | 50,000 | b | 60,625 | ||||
Lions Gate Capital Holding, | 5.88 | 11/1/24 | 75,000 | b | 77,156 | ||||
MSCI, | 5.25 | 11/15/24 | 75,000 | b | 76,875 | ||||
MSCI, | 5.75 | 8/15/25 | 75,000 | b | 78,585 | ||||
MSCI, | 4.75 | 8/1/26 | 75,000 | b | 74,501 | ||||
Nationstar Mortgage, | 6.50 | 7/1/21 | 35,000 | 35,525 | |||||
Navient, | 5.50 | 1/15/19 | 200,000 | 203,300 | |||||
Navient, | 4.88 | 6/17/19 | 75,000 | 75,844 | |||||
Navient, | 6.50 | 6/15/22 | 190,000 | 195,462 | |||||
Navient, | 5.50 | 1/25/23 | 75,000 | 74,134 | |||||
Navient, | 5.88 | 10/25/24 | 100,000 | 98,500 | |||||
Och-Ziff Finance, | 4.50 | 11/20/19 | 250,000 | b | 255,600 | ||||
OneMain Financial Holdings, | 7.25 | 12/15/21 | 63,000 | b | 65,244 | ||||
Park Aerospace Holdings, | 5.25 | 8/15/22 | 140,000 | b | 139,650 | ||||
Park Aerospace Holdings, | 5.50 | 2/15/24 | 75,000 | b | 73,031 | ||||
Quicken Loans, | 5.75 | 5/1/25 | 150,000 | b | 147,750 | ||||
Radian Group, | 7.00 | 3/15/21 | 100,000 | 107,375 | |||||
Royal Bank of Scotland Group, | 6.13 | 12/15/22 | 200,000 | 212,209 | |||||
Royal Bank of Scotland Group, | 5.13 | 5/28/24 | 100,000 | 101,654 | |||||
Royal Bank of Scotland Group, | 6.00 | 12/19/23 | 250,000 | 265,757 | |||||
Springleaf Finance, | 5.25 | 12/15/19 | 75,000 | 76,123 |
22
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Financials - .4% (continued) | |||||||||
Springleaf Finance, | 6.00 | 6/1/20 | 130,000 | 135,525 | |||||
Springleaf Finance, | 8.25 | 12/15/20 | 50,000 | 55,264 | |||||
Springleaf Finance, | 6.13 | 5/15/22 | 50,000 | 51,438 | |||||
Springleaf Finance, | 6.88 | 3/15/25 | 100,000 | 101,250 | |||||
Voya Financial, | 4.70 | 1/23/48 | 75,000 | b | 67,705 | ||||
5,699,060 | |||||||||
Health Care - .6% | |||||||||
Acadia Healthcare, | 6.13 | 3/15/21 | 95,000 | 96,662 | |||||
Acadia Healthcare, | 5.13 | 7/1/22 | 100,000 | 100,500 | |||||
Acadia Healthcare, | 5.63 | 2/15/23 | 75,000 | 76,147 | |||||
AMAG Pharmaceuticals, | 7.88 | 9/1/23 | 75,000 | b | 75,000 | ||||
Avantor, | 6.00 | 10/1/24 | 200,000 | b | 201,500 | ||||
Centene, | 5.63 | 2/15/21 | 75,000 | 77,398 | |||||
Centene, | 4.75 | 5/15/22 | 125,000 | 126,875 | |||||
Centene, | 4.75 | 1/15/25 | 75,000 | 73,102 | |||||
Change Healthcare Holdings, | 5.75 | 3/1/25 | 75,000 | b | 73,594 | ||||
CHS/Community Health Systems, | 8.00 | 11/15/19 | 190,000 | 173,850 | |||||
CHS/Community Health Systems, | 6.88 | 2/1/22 | 50,000 | 27,625 | |||||
CHS/Community Health Systems, | 5.13 | 8/1/21 | 50,000 | 46,250 | |||||
CHS/Community Health Systems, | 6.25 | 3/31/23 | 210,000 | 192,019 | |||||
DaVita, | 5.13 | 7/15/24 | 300,000 | 291,187 | |||||
DaVita, | 5.00 | 5/1/25 | 75,000 | 71,265 | |||||
DJO Finco, | 8.13 | 6/15/21 | 75,000 | b | 75,469 | ||||
Encompass Health, | 5.75 | 11/1/24 | 75,000 | 76,594 |
23
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Health Care - .6% (continued) | |||||||||
Encompass Health, | 5.75 | 9/15/25 | 100,000 | 102,750 | |||||
Endo Finance, | 5.75 | 1/15/22 | 50,000 | b | 41,250 | ||||
Endo Finance, | 5.38 | 1/15/23 | 75,000 | b | 54,656 | ||||
Endo Finance, | 6.00 | 7/15/23 | 150,000 | b | 109,875 | ||||
Endo Finance, | 6.00 | 2/1/25 | 75,000 | b | 53,063 | ||||
Envision Healthcare, | 6.25 | 12/1/24 | 75,000 | b | 78,375 | ||||
Greatbatch, | 9.13 | 11/1/23 | 100,000 | b | 108,250 | ||||
HCA, | 7.50 | 2/15/22 | 300,000 | 330,750 | |||||
HCA, | 5.88 | 5/1/23 | 150,000 | 156,750 | |||||
HCA, | 5.38 | 2/1/25 | 230,000 | 229,425 | |||||
HCA, | 4.50 | 2/15/27 | 160,000 | 153,200 | |||||
HCA, | 3.75 | 3/15/19 | 225,000 | 226,125 | |||||
HCA, | 4.25 | 10/15/19 | 120,000 | 121,200 | |||||
HCA, | 6.50 | 2/15/20 | 50,000 | 52,375 | |||||
HCA, | 5.00 | 3/15/24 | 300,000 | 304,125 | |||||
HCA, | 5.50 | 6/15/47 | 100,000 | 94,750 | |||||
Immucor, | 11.13 | 2/15/22 | 60,000 | b | 62,250 | ||||
inVentiv Group Holdings, | 7.50 | 10/1/24 | 55,000 | b | 58,713 | ||||
IQVIA, | 5.00 | 10/15/26 | 300,000 | b | 297,000 | ||||
Kindred Healthcare, | 8.00 | 1/15/20 | 50,000 | 53,813 | |||||
Kindred Healthcare, | 6.38 | 4/15/22 | 100,000 | 103,125 | |||||
Kinetic Concepts, | 12.50 | 11/1/21 | 125,000 | b | 140,625 | ||||
Kinetic Concepts, | 7.88 | 2/15/21 | 75,000 | b | 77,824 |
24
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Health Care - .6% (continued) | |||||||||
LifePoint Health, | 5.50 | 12/1/21 | 125,000 | 125,781 | |||||
LifePoint Health, | 5.88 | 12/1/23 | 75,000 | 74,344 | |||||
LifePoint Health, | 5.38 | 5/1/24 | 75,000 | 71,719 | |||||
Mallinckrodt International Finance, | 4.88 | 4/15/20 | 75,000 | b | 72,000 | ||||
Mallinckrodt International Finance, | 5.75 | 8/1/22 | 75,000 | b | 63,188 | ||||
Mallinckrodt International Finance, | 5.63 | 10/15/23 | 75,000 | b | 59,063 | ||||
MEDNAX, | 5.25 | 12/1/23 | 75,000 | b | 74,625 | ||||
Molina Healthcare, | 5.38 | 11/15/22 | 75,000 | 75,375 | |||||
MPH Acquisition Holdings, | 7.13 | 6/1/24 | 75,000 | b | 76,531 | ||||
Ortho-Clinical Diagnostics, | 6.63 | 5/15/22 | 125,000 | b | 124,375 | ||||
Pharmaceutical Product Development, | 6.38 | 8/1/23 | 75,000 | b | 76,125 | ||||
Quintiles IMS, | 4.88 | 5/15/23 | 75,000 | b | 76,312 | ||||
Quorum Health, | 11.63 | 4/15/23 | 100,000 | 106,750 | |||||
RegionalCare Hospital Partners Holdings, | 8.25 | 5/1/23 | 75,000 | b | 79,125 | ||||
Select Medical, | 6.38 | 6/1/21 | 75,000 | 76,406 | |||||
Sotera Health Topco, | 8.13 | 11/1/21 | 60,000 | b | 60,600 | ||||
Surgery Center Holdings, | 8.88 | 4/15/21 | 60,000 | b | 61,950 | ||||
Team Health Holdings, | 6.38 | 2/1/25 | 30,000 | b | 26,250 | ||||
Tenet Healthcare, | 7.50 | 1/1/22 | 110,000 | b | 116,325 | ||||
Tenet Healthcare, | 6.00 | 10/1/20 | 300,000 | 311,826 | |||||
Tenet Healthcare, | 4.63 | 7/15/24 | 100,000 | b | 97,115 | ||||
Tenet Healthcare, | 6.75 | 2/1/20 | 100,000 | 103,375 | |||||
Tenet Healthcare, | 8.13 | 4/1/22 | 50,000 | 52,250 |
25
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Health Care - .6% (continued) | |||||||||
Tenet Healthcare, | 6.75 | 6/15/23 | 200,000 | 197,375 | |||||
Universal Hospital Services, | 7.63 | 8/15/20 | 75,000 | 75,937 | |||||
Valeant Pharmaceuticals International, | 7.50 | 7/15/21 | 50,000 | b | 51,000 | ||||
Valeant Pharmaceuticals International, | 6.75 | 8/15/21 | 175,000 | b | 176,750 | ||||
Valeant Pharmaceuticals International, | 5.63 | 12/1/21 | 150,000 | b | 145,687 | ||||
Valeant Pharmaceuticals International, | 5.88 | 5/15/23 | 300,000 | b | 275,437 | ||||
Valeant Pharmaceuticals International, | 6.13 | 4/15/25 | 300,000 | b | 271,716 | ||||
Valeant Pharmaceuticals International, | 7.00 | 3/15/24 | 200,000 | b | 211,690 | ||||
Vizient, | 10.38 | 3/1/24 | 75,000 | b | 83,437 | ||||
WellCare Health Plans, | 5.25 | 4/1/25 | 150,000 | 151,140 | |||||
West Street Merger Sub, | 6.38 | 9/1/25 | 100,000 | b | 98,750 | ||||
8,665,635 | |||||||||
Industrials - .5% | |||||||||
ADT, | 6.25 | 10/15/21 | 225,000 | 236,250 | |||||
AECOM, | 5.88 | 10/15/24 | 75,000 | 78,476 | |||||
AECOM, | 5.13 | 3/15/27 | 75,000 | 72,259 | |||||
AGCO, | 5.88 | 12/1/21 | 90,000 | 94,691 | |||||
Ahern Rentals, | 7.38 | 5/15/23 | 75,000 | b | 72,750 | ||||
Air Canada, | 7.75 | 4/15/21 | 50,000 | b | 54,938 | ||||
Aircastle, | 6.25 | 12/1/19 | 125,000 | 130,156 | |||||
Aircastle, | 5.13 | 3/15/21 | 75,000 | 77,344 | |||||
Aircastle, | 5.00 | 4/1/23 | 75,000 | 77,250 | |||||
Allegiant Travel, | 5.50 | 7/15/19 | 50,000 | 50,750 | |||||
American Airlines Group, | 5.50 | 10/1/19 | 75,000 | b | 76,687 |
26
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Industrials - .5% (continued) | |||||||||
American Airlines Group, | 4.63 | 3/1/20 | 125,000 | b | 126,406 | ||||
APX Group, | 8.75 | 12/1/20 | 125,000 | 122,500 | |||||
APX Group, | 7.88 | 12/1/22 | 75,000 | 75,563 | |||||
Arconic, | 5.13 | 10/1/24 | 225,000 | 228,302 | |||||
Arconic, | 5.95 | 2/1/37 | 100,000 | 101,469 | |||||
Ashtead Capital, | 5.63 | 10/1/24 | 75,000 | b | 77,625 | ||||
Atento Luxco 1, | 6.13 | 8/10/22 | 100,000 | b | 100,415 | ||||
Avis Budget Car Rental, | 5.13 | 6/1/22 | 45,000 | b | 44,944 | ||||
BCD Acquisition, | 9.63 | 9/15/23 | 75,000 | b | 81,375 | ||||
Blueline Rental, | 9.25 | 3/15/24 | 75,000 | b | 79,946 | ||||
Bombardier, | 7.75 | 3/15/20 | 50,000 | b | 53,563 | ||||
Bombardier, | 8.75 | 12/1/21 | 350,000 | b | 391,240 | ||||
Bombardier, | 6.13 | 1/15/23 | 75,000 | b | 75,844 | ||||
Builders FirstSource, | 5.63 | 9/1/24 | 75,000 | b | 74,531 | ||||
Cardtronics, | 5.13 | 8/1/22 | 100,000 | 97,500 | |||||
Ceridian HCM Holding, | 11.00 | 3/15/21 | 50,000 | b | 51,563 | ||||
Clean Harbors, | 5.13 | 6/1/21 | 125,000 | 126,094 | |||||
Covanta Holding, | 5.88 | 3/1/24 | 100,000 | 98,750 | |||||
Emeco, | 9.25 | 3/31/22 | 60,000 | 64,350 | |||||
Gates Global, | 6.00 | 7/15/22 | 35,000 | b | 35,441 | ||||
General Cable, | 5.75 | 10/1/22 | 75,000 | 77,381 | |||||
Great Lakes Dredge & Dock, | 8.00 | 5/15/22 | 75,000 | 76,687 | |||||
Griffon, | 5.25 | 3/1/22 | 75,000 | 75,341 |
27
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Industrials - .5% (continued) | |||||||||
Grinding Media, | 7.38 | 12/15/23 | 75,000 | b | 79,406 | ||||
HD Supply, | 5.75 | 4/15/24 | 75,000 | b | 78,937 | ||||
Hertz, | 6.25 | 10/15/22 | 75,000 | 70,828 | |||||
Hertz, | 5.50 | 10/15/24 | 75,000 | b | 63,188 | ||||
Hornbeck Offshore Service, | 5.00 | 3/1/21 | 75,000 | 42,750 | |||||
Huntington Ingalls Industries, | 5.00 | 11/15/25 | 75,000 | b | 78,793 | ||||
IHS Markit, | 4.75 | 2/15/25 | 75,000 | b | 75,570 | ||||
Ingram Micro, | 5.00 | 8/10/22 | 100,000 | 97,334 | |||||
KLX, | 5.88 | 12/1/22 | 75,000 | b | 78,562 | ||||
Midas Intermediate Holdco II, | 7.88 | 10/1/22 | 60,000 | b | 59,850 | ||||
Navios Maritime Holdings, | 7.38 | 1/15/22 | 75,000 | b | 57,094 | ||||
New Enterprise Stone & Lime, | 10.13 | 4/1/22 | 100,000 | b | 107,000 | ||||
Norbord, | 5.38 | 12/1/20 | 100,000 | b | 103,750 | ||||
Orbital ATK, | 5.25 | 10/1/21 | 100,000 | 102,250 | |||||
Rent-A-Center, | 6.63 | 11/15/20 | 50,000 | 48,000 | |||||
Ritchie Bros Auctioneers, | 5.38 | 1/15/25 | 75,000 | b | 74,813 | ||||
RR Donnelley & Sons, | 7.63 | 6/15/20 | 100,000 | 105,320 | |||||
Sensata Technologies, | 4.88 | 10/15/23 | 75,000 | b | 75,563 | ||||
Sensata Technologies UK Financing, | 6.25 | 2/15/26 | 75,000 | b | 78,345 | ||||
Service Corp International, | 5.38 | 1/15/22 | 60,000 | 61,193 | |||||
Standard Industries, | 6.00 | 10/15/25 | 75,000 | b | 78,187 | ||||
Standard Industries, | 5.00 | 2/15/27 | 100,000 | b | 95,750 | ||||
Stena, | 7.00 | 2/1/24 | 75,000 | b | 70,838 |
28
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Industrials - .5% (continued) | |||||||||
Summit Materials, | 6.13 | 7/15/23 | 100,000 | 102,250 | |||||
Terex, | 5.63 | 2/1/25 | 35,000 | b | 34,869 | ||||
Tervita Escrow, | 7.63 | 12/1/21 | 60,000 | b | 61,500 | ||||
TransDigm, | 6.00 | 7/15/22 | 125,000 | 127,031 | |||||
TransDigm, | 6.50 | 7/15/24 | 75,000 | 76,453 | |||||
TransDigm, | 6.38 | 6/15/26 | 75,000 | 75,563 | |||||
Triumph Group, | 4.88 | 4/1/21 | 100,000 | 97,500 | |||||
UAL, | 6.64 | 1/2/24 | 60,545 | 64,075 | |||||
United Rentals North America, | 5.88 | 9/15/26 | 100,000 | 104,625 | |||||
United Rentals North America, | 5.50 | 5/15/27 | 200,000 | 200,000 | |||||
United Rentals North America, | 4.63 | 7/15/23 | 75,000 | 75,844 | |||||
US Concrete, | 6.38 | 6/1/24 | 75,000 | 78,000 | |||||
Vertiv Group, | 9.25 | 10/15/24 | 75,000 | b | 76,125 | ||||
Virgin Australia Holdings, | 7.88 | 10/15/21 | 50,000 | b | 50,500 | ||||
Weekley Homes, | 6.63 | 8/15/25 | 75,000 | b | 73,125 | ||||
WESCO Distribution, | 5.38 | 12/15/21 | 75,000 | 76,406 | |||||
Xerium Technologies, | 9.50 | 8/15/21 | 100,000 | 104,500 | |||||
XPO Logistics, | 6.50 | 6/15/22 | 50,000 | b | 51,813 | ||||
XPO Logistics, | 6.13 | 9/1/23 | 200,000 | b | 207,750 | ||||
6,879,631 | |||||||||
Information Technology - .3% | |||||||||
Advanced Micro Devices, | 7.50 | 8/15/22 | 150,000 | 164,625 | |||||
Amkor Technology, | 6.38 | 10/1/22 | 75,000 | 77,250 | |||||
BMC Software Finance, | 8.13 | 7/15/21 | 125,000 | b | 125,312 |
29
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Information Technology - .3% (continued) | |||||||||
Boxer Parent, | 9.00 | 10/15/19 | 37,000 | b | 36,954 | ||||
Camelot Finance, | 7.88 | 10/15/24 | 75,000 | b | 78,375 | ||||
CDK Global, | 5.00 | 10/15/24 | 50,000 | 50,875 | |||||
CDW, | 5.50 | 12/1/24 | 75,000 | 78,210 | |||||
CDW, | 5.00 | 9/1/25 | 75,000 | 75,165 | |||||
Conduent Finance, | 10.50 | 12/15/24 | 75,000 | b | 88,875 | ||||
Dell, | 4.63 | 4/1/21 | 45,000 | 45,731 | |||||
Dell International, | 5.88 | 6/15/21 | 250,000 | b | 257,798 | ||||
EMC, | 2.65 | 6/1/20 | 275,000 | 268,056 | |||||
First Data, | 5.75 | 1/15/24 | 300,000 | b | 305,286 | ||||
First Data, | 5.38 | 8/15/23 | 200,000 | b | 204,460 | ||||
Genesys Telecommunications Laboratories, | 10.00 | 11/30/24 | 75,000 | b | 83,062 | ||||
Harland Clarke Holdings, | 9.25 | 3/1/21 | 50,000 | b | 51,813 | ||||
Infor Software Parent, | 7.13 | 5/1/21 | 125,000 | b | 126,406 | ||||
Infor US, | 6.50 | 5/15/22 | 50,000 | 51,000 | |||||
Informatica, | 7.13 | 7/15/23 | 75,000 | b | 75,375 | ||||
Ingram Micro, | 5.45 | 12/15/24 | 75,000 | 72,947 | |||||
Leidos Holdings, | 5.95 | 12/1/40 | 75,000 | 74,026 | |||||
NCR, | 4.63 | 2/15/21 | 75,000 | 75,210 | |||||
NCR, | 5.00 | 7/15/22 | 75,000 | 74,813 | |||||
NCR, | 4.75 | 12/15/21 | 101,000 | b | 102,767 | ||||
Netflix, | 4.38 | 11/15/26 | 75,000 | 70,688 | |||||
Netflix, | 5.75 | 3/1/24 | 25,000 | 25,969 |
30
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Information Technology - .3% (continued) | |||||||||
Netflix, | 4.88 | 4/15/28 | 100,000 | b | 94,625 | ||||
Netflix, | 5.88 | 11/15/28 | 400,000 | b | 401,000 | ||||
Nuance Communications, | 5.63 | 12/15/26 | 75,000 | 75,281 | |||||
NXP Funding, | 4.13 | 6/1/21 | 125,000 | b | 125,625 | ||||
NXP Funding, | 4.63 | 6/15/22 | 50,000 | b | 50,500 | ||||
NXP Funding, | 3.88 | 9/1/22 | 75,000 | b | 73,688 | ||||
Open Text, | 5.63 | 1/15/23 | 75,000 | b | 78,094 | ||||
Open Text, | 5.88 | 6/1/26 | 75,000 | b | 78,000 | ||||
Qorvo, | 7.00 | 12/1/25 | 55,000 | 59,950 | |||||
Rackspace Hosting, | 8.63 | 11/15/24 | 75,000 | b | 76,219 | ||||
Riverbed Technology, | 8.88 | 3/1/23 | 75,000 | b | 69,656 | ||||
Sabre Global, | 5.25 | 11/15/23 | 75,000 | b | 76,031 | ||||
Solera Finance, | 10.50 | 3/1/24 | 75,000 | b | 83,812 | ||||
Sungard Availability Services Capital, | 8.75 | 4/1/22 | 100,000 | b | 63,750 | ||||
Symantec, | 5.00 | 4/15/25 | 75,000 | b | 75,493 | ||||
TIBCO Software, | 11.38 | 12/1/21 | 125,000 | b | 136,328 | ||||
VeriSign, | 5.25 | 4/1/25 | 22,000 | 22,619 | |||||
Veritas US, | 10.50 | 2/1/24 | 75,000 | b | 65,250 | ||||
4,446,969 | |||||||||
Materials - .6% | |||||||||
AK Steel, | 7.63 | 10/1/21 | 100,000 | 102,500 | |||||
Alcoa Nederland Holding, | 6.75 | 9/30/24 | 75,000 | b | 80,813 | ||||
Alcoa Nederland Holding, | 7.00 | 9/30/26 | 75,000 | b | 82,125 | ||||
Aleris International, | 7.88 | 11/1/20 | 100,000 | 99,000 |
31
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Materials - .6% (continued) | |||||||||
Aleris International, | 9.50 | 4/1/21 | 75,000 | b | 78,281 | ||||
Allegheny Technologies, | 7.88 | 8/15/23 | 75,000 | 81,547 | |||||
American Builders & Contractors Supply, | 5.63 | 4/15/21 | 27,000 | b | 27,439 | ||||
Arcelormittal, | 6.13 | 6/1/25 | 75,000 | 81,562 | |||||
ArcelorMittal, | 5.50 | 8/5/20 | 70,000 | 72,888 | |||||
ArcelorMittal, | 5.75 | 3/1/21 | 50,000 | 52,500 | |||||
ArcelorMittal, | 7.00 | 3/1/41 | 60,000 | 69,300 | |||||
ARD Finance, | 7.13 | 9/15/23 | 75,000 | 76,875 | |||||
Ardagh Packaging Finance, | 6.00 | 6/30/21 | 250,000 | b | 255,002 | ||||
Ardagh Packaging Finance, | 7.25 | 5/15/24 | 75,000 | b | 79,594 | ||||
Ardagh Packaging Finance, | 4.63 | 5/15/23 | 75,000 | b | 75,375 | ||||
Aruba Investments, | 8.75 | 2/15/23 | 100,000 | b | 104,500 | ||||
Ashland, | 4.75 | 8/15/22 | 135,000 | 136,519 | |||||
Ashland, | 6.88 | 5/15/43 | 50,000 | 53,750 | |||||
Axalta Coating Systems, | 4.88 | 8/15/24 | 75,000 | b | 75,750 | ||||
Ball, | 5.00 | 3/15/22 | 100,000 | 104,000 | |||||
Ball, | 4.00 | 11/15/23 | 75,000 | 73,781 | |||||
Ball, | 4.38 | 12/15/20 | 50,000 | 51,000 | |||||
Ball, | 5.25 | 7/1/25 | 75,000 | 77,531 | |||||
Barminco Finance, | 6.63 | 5/15/22 | 100,000 | b | 97,250 | ||||
Berry Global, | 5.50 | 5/15/22 | 75,000 | 77,016 | |||||
Berry Global, | 5.13 | 7/15/23 | 75,000 | 75,750 | |||||
Blue Cube Spinco, | 9.75 | 10/15/23 | 75,000 | 86,437 |
32
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Materials - .6% (continued) | |||||||||
Blue Cube Spinco, | 10.00 | 10/15/25 | 75,000 | 88,125 | |||||
BWAY Holding, | 5.50 | 4/15/24 | 100,000 | b | 100,920 | ||||
BWAY Holding, | 7.25 | 4/15/25 | 115,000 | b | 118,415 | ||||
Carpenter Technology, | 5.20 | 7/15/21 | 100,000 | 103,086 | |||||
Cascades, | 5.50 | 7/15/22 | 19,000 | b | 19,190 | ||||
Century Aluminum, | 7.50 | 6/1/21 | 50,000 | b | 51,063 | ||||
CF Industries, | 7.13 | 5/1/20 | 24,000 | 25,650 | |||||
CF Industries, | 3.45 | 6/1/23 | 75,000 | 71,531 | |||||
CF Industries, | 4.95 | 6/1/43 | 75,000 | 63,281 | |||||
CF Industries, | 5.38 | 3/15/44 | 75,000 | 65,980 | |||||
Chemours, | 6.63 | 5/15/23 | 75,000 | 78,984 | |||||
Chemours, | 7.00 | 5/15/25 | 75,000 | 81,094 | |||||
CIMPOR Financial Operations, | 5.75 | 7/17/24 | 75,000 | b | 70,594 | ||||
Clearwater Paper Corp, | 4.50 | 2/1/23 | 100,000 | 94,250 | |||||
Cleveland-Cliffs, | 5.75 | 3/1/25 | 75,000 | 72,610 | |||||
Coeur Mining, | 5.88 | 6/1/24 | 75,000 | 74,156 | |||||
Consolidated Energy Finance, | 6.75 | 10/15/19 | 75,000 | b | 76,474 | ||||
Constellium, | 6.63 | 3/1/25 | 75,000 | b | 76,219 | ||||
Coveris Holdings, | 7.88 | 11/1/19 | 125,000 | b | 127,837 | ||||
Crown Americas, | 4.50 | 1/15/23 | 75,000 | 73,969 | |||||
CROWN Americas, | 4.75 | 2/1/26 | 100,000 | b | 96,750 | ||||
CVR Partners, | 9.25 | 6/15/23 | 75,000 | b | 77,437 | ||||
Flex Acquisition, | 6.88 | 1/15/25 | 75,000 | b | 75,516 |
33
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Materials - .6% (continued) | |||||||||
FMG Resources August 2006, | 4.75 | 5/15/22 | 50,000 | b | 49,763 | ||||
Freeport-McMoRan, | 4.00 | 11/14/21 | 50,000 | 50,000 | |||||
Freeport-McMoRan, | 3.55 | 3/1/22 | 250,000 | 242,500 | |||||
Freeport-McMoRan, | 3.88 | 3/15/23 | 200,000 | 192,250 | |||||
Freeport-McMoRan, | 4.55 | 11/14/24 | 50,000 | 48,500 | |||||
Freeport-McMoRan, | 5.40 | 11/14/34 | 75,000 | 69,563 | |||||
Graphic Packaging International, | 4.88 | 11/15/22 | 100,000 | 102,000 | |||||
H.B. Fuller, | 4.00 | 2/15/27 | 60,000 | 55,200 | |||||
Hexion, | 6.63 | 4/15/20 | 250,000 | 235,312 | |||||
Hillman Group, | 6.38 | 7/15/22 | 100,000 | b | 97,258 | ||||
Hudbay Minerals, | 7.25 | 1/15/23 | 75,000 | b | 78,562 | ||||
Hudbay Minerals, | 7.63 | 1/15/25 | 75,000 | b | 79,804 | ||||
Huntsman International, | 4.88 | 11/15/20 | 125,000 | 127,812 | |||||
Huntsman International, | 5.13 | 11/15/22 | 125,000 | 130,131 | |||||
Imperial Metals, | 7.00 | 3/15/19 | 20,000 | b | 18,300 | ||||
INEOS Group Holdings, | 5.63 | 8/1/24 | 75,000 | b | 75,937 | ||||
Kinross Gold, | 5.95 | 3/15/24 | 50,000 | 52,375 | |||||
Kissner Holdings, | 8.38 | 12/1/22 | 100,000 | b | 103,000 | ||||
Koppers, | 6.00 | 2/15/25 | 75,000 | b | 76,500 | ||||
Momentive Performance Materials, | 3.88 | 10/24/21 | 75,000 | 79,312 | |||||
Mountain Province Diamonds, | 8.00 | 12/15/22 | 100,000 | b | 99,375 | ||||
Novelis, | 6.25 | 8/15/24 | 75,000 | b | 76,594 | ||||
Novelis, | 5.88 | 9/30/26 | 75,000 | b | 74,625 |
34
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Materials - .6% (continued) | |||||||||
Owens-Brockway Glass Container, | 5.00 | 1/15/22 | 65,000 | b | 66,219 | ||||
Platform Specialty Products, | 6.50 | 2/1/22 | 125,000 | b | 128,437 | ||||
PolyOne, | 5.25 | 3/15/23 | 75,000 | 77,156 | |||||
PQ, | 6.75 | 11/15/22 | 75,000 | b | 79,594 | ||||
Rayonier AM Products, | 5.50 | 6/1/24 | 75,000 | b | 72,938 | ||||
Resolute Forest Products, | 5.88 | 5/15/23 | 75,000 | 76,781 | |||||
Reynolds Group Issuer, | 7.00 | 7/15/24 | 75,000 | b | 78,234 | ||||
Reynolds Group Issuer, | 5.13 | 7/15/23 | 175,000 | b | 175,985 | ||||
Sealed Air, | 6.50 | 12/1/20 | 50,000 | b | 53,250 | ||||
Sealed Air, | 5.25 | 4/1/23 | 60,000 | b | 61,800 | ||||
Sealed Air, | 5.13 | 12/1/24 | 120,000 | b | 122,400 | ||||
Sealed Air, | 5.50 | 9/15/25 | 45,000 | b | 46,631 | ||||
Signode Industrial Group, | 6.38 | 5/1/22 | 75,000 | b | 77,674 | ||||
St. Marys Cement, | 5.75 | 1/28/27 | 75,000 | b | 76,717 | ||||
Standard Industries, | 5.50 | 2/15/23 | 75,000 | b | 77,602 | ||||
Steel Dynamics, | 5.13 | 10/1/21 | 125,000 | 127,656 | |||||
Steel Dynamics, | 5.00 | 12/15/26 | 75,000 | 74,438 | |||||
Taseko Mines, | 8.75 | 6/15/22 | 100,000 | b | 103,750 | ||||
Teck Resources, | 6.00 | 8/15/40 | 50,000 | 52,375 | |||||
Teck Resources, | 4.75 | 1/15/22 | 50,000 | 50,969 | |||||
Teck Resources, | 3.75 | 2/1/23 | 75,000 | 72,938 | |||||
Teck Resources, | 8.50 | 6/1/24 | 75,000 | b | 83,906 | ||||
Teck Resources, | 5.40 | 2/1/43 | 100,000 | 96,250 |
35
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Materials - .6% (continued) | |||||||||
TPC Group, | 8.75 | 12/15/20 | 50,000 | b | 50,000 | ||||
Tronox Finance, | 5.75 | 10/1/25 | 60,000 | b | 58,500 | ||||
United States Steel, | 6.88 | 8/15/25 | 100,000 | 102,500 | |||||
WR Grace & Co-Conn, | 5.13 | 10/1/21 | 75,000 | b | 77,234 | ||||
8,547,823 | |||||||||
Real Estate - .2% | |||||||||
Corrections Corp of America, | 5.00 | 10/15/22 | 125,000 | 126,875 | |||||
Crescent Communities, | 8.88 | 10/15/21 | 60,000 | b | 63,300 | ||||
Equinix, | 5.88 | 1/15/26 | 200,000 | 207,500 | |||||
ESH Hospitality, | 5.25 | 5/1/25 | 75,000 | b | 73,500 | ||||
FelCor Lodging, | 6.00 | 6/1/25 | 50,000 | 51,375 | |||||
GEO Group, | 6.00 | 4/15/26 | 100,000 | 99,030 | |||||
Iron Mountain, | 6.00 | 8/15/23 | 75,000 | 77,625 | |||||
Iron Mountain, | 5.75 | 8/15/24 | 125,000 | 124,062 | |||||
Iron Mountain, | 5.25 | 3/15/28 | 100,000 | b | 94,625 | ||||
iStar, | 6.00 | 4/1/22 | 100,000 | 100,250 | |||||
iStar, | 5.00 | 7/1/19 | 150,000 | 150,300 | |||||
MGM Growth Properties Operating Partnership, | 4.50 | 9/1/26 | 100,000 | 94,911 | |||||
MPT Operating Partnership, | 5.25 | 8/1/26 | 75,000 | 73,313 | |||||
MPT Operating Partnership, | 5.00 | 10/15/27 | 50,000 | 47,500 | |||||
Realogy Group, | 5.25 | 12/1/21 | 50,000 | b | 50,563 | ||||
Realogy Group, | 4.88 | 6/1/23 | 75,000 | b | 72,866 | ||||
RHP Hotel Properties, | 5.00 | 4/15/21 | 60,000 | 60,675 | |||||
RHP Hotel Properties, | 5.00 | 4/15/23 | 100,000 | 101,125 |
36
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Real Estate - .2% (continued) | |||||||||
SBA Communications, | 4.88 | 7/15/22 | 125,000 | 125,625 | |||||
Starwood Property Trust, | 5.00 | 12/15/21 | 125,000 | 126,809 | |||||
Uniti Group, | 8.25 | 10/15/23 | 150,000 | 144,375 | |||||
Uniti Group, | 6.00 | 4/15/23 | 75,000 | b | 73,313 | ||||
2,139,517 | |||||||||
Telecommunications - .5% | |||||||||
Anixter, | 5.13 | 10/1/21 | 100,000 | 103,000 | |||||
CenturyLink, | 7.60 | 9/15/39 | 120,000 | 102,000 | |||||
CenturyLink, | 6.15 | 9/15/19 | 100,000 | 102,750 | |||||
CenturyLink, | 6.45 | 6/15/21 | 75,000 | 77,016 | |||||
CenturyLink, | 5.80 | 3/15/22 | 125,000 | 125,000 | |||||
CenturyLink, | 5.63 | 4/1/20 | 125,000 | 127,187 | |||||
CenturyLink, | 7.50 | 4/1/24 | 175,000 | 178,937 | |||||
Cincinnati Bell, | 7.00 | 7/15/24 | 75,000 | b | 69,180 | ||||
Cogent Communications Finance, | 5.63 | 4/15/21 | 150,000 | b | 151,125 | ||||
CommScope, | 5.00 | 6/15/21 | 75,000 | b | 75,844 | ||||
CommScope, | 5.50 | 6/15/24 | 75,000 | b | 76,594 | ||||
CommScope Technologies, | 6.00 | 6/15/25 | 75,000 | b | 77,625 | ||||
Consolidated Communications, | 6.50 | 10/1/22 | 75,000 | 69,375 | |||||
Embarq, | 8.00 | 6/1/36 | 50,000 | 47,744 | |||||
Frontier Communications, | 9.25 | 7/1/21 | 110,000 | 105,050 | |||||
Frontier Communications, | 10.50 | 9/15/22 | 125,000 | 110,506 | |||||
Frontier Communications, | 7.63 | 4/15/24 | 100,000 | 66,250 | |||||
Frontier Communications, | 11.00 | 9/15/25 | 300,000 | 231,750 |
37
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Telecommunications - .5% (continued) | |||||||||
GCI, | 6.75 | 6/1/21 | 75,000 | 75,844 | |||||
GCI, | 6.88 | 4/15/25 | 85,000 | 89,462 | |||||
HC2 Holdings, | 11.00 | 12/1/19 | 50,000 | b | 51,375 | ||||
Hughes Satellite Systems, | 7.63 | 6/15/21 | 130,000 | 139,912 | |||||
Hughes Satellite Systems, | 6.50 | 6/15/19 | 190,000 | 196,412 | |||||
Hughes Satellite Systems Corp, | 5.25 | 8/1/26 | 50,000 | 49,063 | |||||
Inmarsat Finance, | 4.88 | 5/15/22 | 125,000 | b | 121,250 | ||||
Intelsat Jackson Holdings, | 5.50 | 8/1/23 | 150,000 | 126,187 | |||||
Intelsat Jackson Holdings, | 7.25 | 10/15/20 | 110,000 | 107,937 | |||||
Intelsat Jackson Holdings, | 7.50 | 4/1/21 | 100,000 | 95,125 | |||||
Intelsat Jackson Holdings, | 9.75 | 7/15/25 | 150,000 | b | 147,375 | ||||
Intelsat Jackson Holdings, | 8.00 | 2/15/24 | 75,000 | b | 79,312 | ||||
Level 3 Financing, | 5.38 | 8/15/22 | 300,000 | 302,250 | |||||
Nokia, | 3.38 | 6/12/22 | 50,000 | 48,400 | |||||
Qwest, | 7.25 | 9/15/25 | 50,000 | 53,820 | |||||
Sable International Finance, | 6.88 | 8/1/22 | 75,000 | b | 79,031 | ||||
SoftBank Group, | 4.50 | 4/15/20 | 50,000 | b | 51,438 | ||||
Sprint, | 7.88 | 9/15/23 | 300,000 | 322,500 | |||||
Sprint, | 7.13 | 6/15/24 | 300,000 | 309,657 | |||||
Sprint Capital, | 6.88 | 11/15/28 | 200,000 | 204,500 | |||||
Sprint Capital, | 8.75 | 3/15/32 | 100,000 | 115,000 | |||||
Sprint Communications, | 7.00 | 3/1/20 | 100,000 | b | 105,770 | ||||
Sprint Communications, | 7.00 | 8/15/20 | 150,000 | 159,000 |
38
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Telecommunications - .5% (continued) | |||||||||
Sprint Communications, | 6.00 | 11/15/22 | 300,000 | 307,125 | |||||
Telecom Italia, | 5.30 | 5/30/24 | 75,000 | b | 76,669 | ||||
Telecom Italia Capital, | 7.18 | 6/18/19 | 150,000 | 156,187 | |||||
Telecom Italia Capital, | 6.38 | 11/15/33 | 100,000 | 109,190 | |||||
Telecom Italia Capital, | 7.20 | 7/18/36 | 150,000 | 172,875 | |||||
Telesat, | 8.88 | 11/15/24 | 75,000 | b | 82,312 | ||||
T-Mobile USA, | 6.50 | 1/15/26 | 100,000 | 106,500 | |||||
T-Mobile USA, | 4.00 | 4/15/22 | 50,000 | 50,094 | |||||
T-Mobile USA, | 6.38 | 3/1/25 | 250,000 | 263,125 | |||||
T-Mobile USA, | 5.13 | 4/15/25 | 100,000 | 101,000 | |||||
T-Mobile USA, | 5.38 | 4/15/27 | 200,000 | 202,750 | |||||
Trilogy International Partners, | 8.88 | 5/1/22 | 100,000 | b | 103,000 | ||||
Windstream Services, | 7.75 | 10/15/20 | 70,000 | 60,375 | |||||
Windstream Services, | 6.38 | 8/1/23 | 75,000 | 44,250 | |||||
Zayo Group, | 6.00 | 4/1/23 | 75,000 | 77,527 | |||||
Zayo Group, | 6.38 | 5/15/25 | 75,000 | 77,921 | |||||
Zayo Group, | 5.75 | 1/15/27 | 75,000 | b | 74,625 | ||||
6,993,078 | |||||||||
Utilities - .1% | |||||||||
AES, | 4.88 | 5/15/23 | 300,000 | 303,375 | |||||
AmeriGas Partners, | 5.63 | 5/20/24 | 75,000 | 75,000 | |||||
AmeriGas Partners, | 5.88 | 8/20/26 | 75,000 | 74,813 | |||||
Calpine, | 6.00 | 1/15/22 | 125,000 | b | 128,281 | ||||
Calpine, | 5.88 | 1/15/24 | 75,000 | b | 75,750 |
39
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 5.4% (continued) | |||||||||
Utilities - .1% (continued) | |||||||||
Calpine, | 5.25 | 6/1/26 | 130,000 | b | 124,881 | ||||
Calpine, | 5.75 | 1/15/25 | 170,000 | 155,975 | |||||
FirstEnergy Solutions, | 6.80 | 8/15/39 | 70,000 | 32,900 | |||||
InterGen, | 7.00 | 6/30/23 | 75,000 | b | 75,000 | ||||
NGL Energy Partners, | 6.13 | 3/1/25 | 75,000 | 71,813 | |||||
NRG Energy, | 6.25 | 7/15/22 | 75,000 | 77,437 | |||||
NRG Energy, | 7.25 | 5/15/26 | 75,000 | 80,437 | |||||
NRG Energy, | 6.63 | 1/15/27 | 75,000 | 77,625 | |||||
NRG Yield Operating, | 5.38 | 8/15/24 | 75,000 | 75,469 | |||||
Talen Energy Supply, | 9.50 | 7/15/22 | 75,000 | b | 71,486 | ||||
Talen Energy Supply, | 7.00 | 10/15/27 | 50,000 | 37,500 | |||||
Vistra Energy, | 7.38 | 11/1/22 | 150,000 | 158,437 | |||||
Vistra Energy, | 7.63 | 11/1/24 | 75,000 | 81,000 | |||||
Vistra Energy, | 8.13 | 1/30/26 | 120,000 | b | 132,150 | ||||
1,909,329 | |||||||||
Total Bonds and Notes | 76,332,713 | ||||||||
Description | Shares | Value ($) | |||||||
Common Stocks - 4.8% | |||||||||
Exchange-Traded Funds - 4.8% | |||||||||
iShares TIPS Bond ETF | 603,513 | 67,961,599 | |||||||
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount | a | Value ($) | ||||
Options Purchased - .4% | |||||||||
Call Options - .1% | |||||||||
Swiss Market Index, | CHF | 8,417 | 6/2018 | 12,962,290 | 708,293 |
40
Description /Number of Contracts/Counterparty | Exercise | Expiration Date | Notional Amount | a | Value ($) | |||||
Options Purchased - .4% (continued) | ||||||||||
Call Options - .1% (continued) | ||||||||||
Swiss Market Index, | CHF | 8,746 | 6/2018 | 8,046,320 | 178,934 | |||||
887,227 | ||||||||||
Put Options - .3% | ||||||||||
S&P E-Mini Index, | 2,250 | 12/2018 | 223,762,500 | 3,789,045 | ||||||
S&P E-Mini Index, | 2,100 | 9/2018 | 208,845,000 | 1,183,455 | ||||||
4,972,500 | ||||||||||
Total Options Purchased | 5,859,727 | |||||||||
Yield at Date of Purchase (%) | Maturity | Principal | a | Value ($) | ||||||
Short-Term Investments - 80.2% | ||||||||||
U. S. Treasury Bills | 1.63 | 5/31/18 | 358,523,400 | c | 358,029,677 | |||||
U. S. Treasury Bills | 1.65 | 6/7/18 | 363,015,100 | c | 362,405,561 | |||||
U. S. Treasury Bills | 1.70 | 6/14/18 | 41,528,500 | c | 41,445,132 | |||||
U. S. Treasury Bills | 1.89 | 9/13/18 | 300,825,000 | c | 298,684,897 | |||||
U. S. Treasury Bills | 1.76 | 12/6/18 | 71,645,000 | c,d | 70,846,244 | |||||
Total Short-Term Investments | 1,131,411,511 | |||||||||
Description | Current | Shares | Value ($) | |||||||
Other Investment - 7.2% | ||||||||||
Registered Investment Company; | ||||||||||
Dreyfus Institutional Preferred Government Plus Money Market Fund | 1.71 | 101,477,343 | e | 101,477,343 | ||||||
Total Investments (cost $1,384,160,268) | 98.0% | 1,383,042,893 | ||||||||
Cash and Receivables (Net) | 2.0% | 27,757,249 | ||||||||
Net Assets | 100.0% | 1,410,800,142 |
ETF—Exchange-Traded Fund
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 April 30, 2018, these securities were valued at $31,664,464 or 2.24% of net assets.
c Security is a discount security. Income is recognized through the accretion of discount.
d Held by a counterparty for open exchange traded derivative contracts.
e Investment in affiliated money market mutual fund.
41
CONSOLIDATED STATEMENT OF INVESTMENTS (Unaudited) (continued)
Portfolio Summary (Unaudited) † | Value (%) |
Short-Term/Money Market Investments | 87.4 |
Corporate Bonds | 5.4 |
Exchange-Traded Funds | 4.8 |
Options Purchased | .4 |
98.0 |
† Based on net assets.
See notes to consolidated financial statements.
42
CONSOLIDATED STATEMENT OF INVESTMENTS IN AFFILIATED ISSUERS (Unaudited)
Registered Investment Company | Value | Purchases ($) | Sales ($) | Value | Net | Dividends/ |
Dreyfus Institutional Preferred Government Plus Money Market Fund | 213,024,668 | 261,274,136 | 372,821,461 | 101,477,343 | 7.2 | 804,646 |
See notes to consolidated financial statements.
43
CONSOLIDATED STATEMENT OF FUTURES
April 30, 2018 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Long | ||||||
Amsterdam Exchange Index | 99 | 5/2018 | 12,963,406a | 13,221,280 | 257,874 | |
ASX SPI 200 | 68 | 6/2018 | 7,559,777a | 7,635,531 | 75,754 | |
Australian 10 Year Bond | 3,496 | 6/2018 | 335,399,545a | 336,609,429 | 1,209,884 | |
Brent Crude | 236 | 12/2018 | 15,009,974b | 17,001,440 | 1,991,466 | |
CAC 40 10 Euro | 200 | 5/2018 | 12,728,544a | 13,218,370 | 489,826 | |
Canadian 10 Year Bond | 2,561 | 6/2018 | 261,782,824a | 262,193,582 | 410,758 | |
Cocoa | 144 | 7/2018 | 3,563,399b | 4,068,000 | 504,601 | |
Corn No.2 Yellow | 1 | 7/2018 | 19,858b | 20,038 | 180 | |
Cotton No.2 | 129 | 7/2018 | 5,355,983b | 5,407,680 | 51,697 | |
Crude Oil | 261 | 12/2018 | 15,229,544b | 17,223,390 | 1,993,846 | |
DAX | 169 | 6/2018 | 63,516,481a | 64,342,613 | 826,132 | |
Euro-Bund Option | 1,081 | 5/2018 | 18,278,299a | 14,698,958 | (3,579,341) | |
FTSE 100 | 1,206 | 6/2018 | 117,849,121a | 123,859,189 | 6,010,068 | |
FTSE/MIB Index | 314 | 6/2018 | 42,405,468a | 44,740,137 | 2,334,669 | |
Gold 100 oz | 44 | 6/2018 | 5,831,034b | 5,804,480 | (26,554) | |
IBEX 35 Index | 258 | 5/2018 | 30,396,294a | 31,073,160 | 676,866 | |
Live Cattle | 14 | 6/2018 | 642,910b | 594,160 | (48,750) | |
LME Primary Nickel | 11 | 7/2018 | 926,211b | 900,339 | (25,872) | |
LME Refined Pig Lead | 3 | 6/2018 | 192,684b | 174,037 | (18,647) | |
LME Zinc | 7 | 6/2018 | 602,459b | 547,575 | (54,884) | |
Low Sulphur Gas Oil | 178 | 6/2018 | 11,147,672b | 11,578,900 | 431,228 | |
Mini MSCI Emerging Markets Index | 495 | 6/2018 | 30,341,346 | 28,516,950 | (1,824,396) | |
Natural Gas | 135 | 10/2018 | 3,833,084b | 3,780,000 | (53,084) | |
Platinum | 323 | 7/2018 | 15,536,750b | 14,606,060 | (930,690) | |
S&P/Toronto Stock Exchange 60 Index | 295 | 6/2018 | 42,146,951a | 42,271,194 | 124,243 | |
Soybean | 285 | 7/2018 | 15,061,946b | 14,941,125 | (120,821) | |
Soybean Meal | 526 | 7/2018 | 20,505,635b | 20,713,880 | 208,245 | |
Standard & Poor's 500 E-mini | 2,098 | 6/2018 | 291,101,740 | 277,670,300 | (13,431,440) | |
Topix | 770 | 6/2018 | 119,951,413a | 125,339,828 | 5,388,415 | |
U.S. Treasury 10 Year Notes | 6,678 | 6/2018 | 801,248,928 | 798,855,750 | (2,393,178) | |
Futures Short | ||||||
Chicago SRW Wheat | 529 | 7/2018 | (13,613,580)b | (13,502,725) | 110,855 | |
Coffee "C" | 140 | 7/2018 | (6,442,924)b | (6,447,000) | (4,076) | |
Copper | 55 | 7/2018 | (4,312,155)b | (4,226,750) | 85,405 | |
Crude Soybean Oil | 721 | 7/2018 | (13,580,661)b | (13,246,212) | 334,449 | |
Euro-Bond | 1,305 | 6/2018 | (248,562,119)a | (250,160,850) | (1,598,731) |
44
Description | Number of | Expiration | Notional | Value ($) | Unrealized Appreciation (Depreciation) ($) | |
Futures Short (continued) | ||||||
Gasoline | 144 | 8/2018 | (12,377,043)b | (12,777,610) | (400,567) | |
Hang Seng | 63 | 5/2018 | (12,092,903)a | (12,307,180) | (214,277) | |
Hard Red Winter Wheat | 64 | 7/2018 | (1,623,687)b | (1,720,000) | (96,313) | |
Lean Hog | 20 | 6/2018 | (658,520)b | (581,600) | 76,920 | |
LME Primary Aluminum | 12 | 6/2018 | (615,079)b | (679,500) | (64,421) | |
Long Gilt | 1,998 | 6/2018 | (332,736,231)a | (336,296,210) | (3,559,979) | |
NY Harbor ULSD | 83 | 6/2018 | (6,771,317)b | (7,492,460) | (721,143) | |
NYMEX Palladium | 40 | 6/2018 | (4,018,233)b | (3,842,200) | 176,033 | |
Silver | 137 | 7/2018 | (11,553,585)b | (11,234,685) | 318,900 | |
Sugar No.11 | 789 | 7/2018 | (11,652,382)b | (10,383,240) | 1,269,142 | |
Gross Unrealized Appreciation | 25,357,456 | |||||
Gross Unrealized Depreciation | (29,167,164) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
b These securities are wholly-owned by the Subsidiary referenced in Note 1.
See notes to consolidated financial statements.
45
CONSOLIDATED STATEMENT OF OPTIONS WRITTEN
April 30, 2018 (Unaudited)
Description/ Expiration Date/ Exercise Price | Counterparty | Number of Contracts | Notional Amount | a | Value ($) | |
Put Options: | ||||||
Swiss Market Index | Goldman Sachs International | 1,540 | 12,962,290 | CHF | (65,185) | |
Swiss Market Index | Goldman Sachs International | 920 | 8,046,320 | CHF | (100,265) | |
Total Options Written (premiums received $602,015) | (165,450) |
a Notional amount stated in U.S. Dollars unless otherwise indicated.
See notes to consolidated financial statements.
46
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS April 30, 2018 (Unaudited)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Bank of Montreal | |||||
Australian Dollar | 20,811,000 | United States Dollar | 16,405,520 | 6/20/18 | (735,530) |
Canadian Dollar | 8,809,000 | United States Dollar | 6,922,533 | 6/20/18 | (53,237) |
Swiss Franc | 32,892,121 | United States Dollar | 35,150,732 | 6/20/18 | (1,808,220) |
Norwegian Krone | 74,489,000 | United States Dollar | 9,525,878 | 6/20/18 | (223,122) |
New Zealand Dollar | 15,228,000 | United States Dollar | 10,975,931 | 6/20/18 | (262,746) |
United States Dollar | 41,665,077 | Euro | 33,354,342 | 6/20/18 | 1,224,687 |
United States Dollar | 58,529,310 | British Pound | 41,662,337 | 6/20/18 | 1,026,632 |
United States Dollar | 18,250,372 | Japanese Yen | 1,933,626,996 | 6/20/18 | 498,881 |
Citigroup | |||||
Australian Dollar | 110,545,389 | United States Dollar | 85,912,336 | 6/20/18 | (2,675,340) |
Canadian Dollar | 30,706,000 | United States Dollar | 24,093,879 | 6/20/18 | (149,208) |
Swiss Franc | 27,630,625 | United States Dollar | 29,511,228 | 6/20/18 | (1,502,258) |
British Pound | 22,076,000 | United States Dollar | 31,011,683 | 6/20/18 | (542,218) |
Japanese Yen | 5,237,987,000 | United States Dollar | 48,388,124 | 6/20/18 | (301,248) |
Norwegian Krone | 78,133,054 | United States Dollar | 10,141,881 | 6/20/18 | (384,028) |
New Zealand Dollar | 41,147,000 | United States Dollar | 29,580,246 | 6/20/18 | (632,556) |
Swedish Krona | 49,996,000 | United States Dollar | 5,905,644 | 6/20/18 | (172,901) |
United States Dollar | 17,897,024 | Canadian Dollar | 22,959,000 | 6/20/18 | (6,503) |
United States Dollar | 11,777,548 | Swiss Franc | 11,491,000 | 6/20/18 | 129,202 |
United States Dollar | 128,692,156 | Euro | 104,306,341 | 6/20/18 | 2,226,189 |
United States Dollar | 22,748,605 | British Pound | 16,228,000 | 6/20/18 | 350,594 |
United States Dollar | 63,573,411 | Japanese Yen | 6,732,689,997 | 6/20/18 | 1,764,547 |
United States Dollar | 30,321,770 | Norwegian Krone | 236,500,000 | 6/20/18 | 785,841 |
United States Dollar | 44,553,427 | New Zealand Dollar | 61,153,770 | 6/20/18 | 1,530,597 |
47
CONSOLIDATED STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS (Unaudited) (continued)
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Citigroup (continued) | |||||
United States Dollar | 30,859,240 | Swedish Krona | 251,410,228 | 6/20/18 | 2,031,531 |
Credit Suisse International | |||||
Australian Dollar | 21,171,600 | United States Dollar | 16,685,232 | 6/20/18 | (743,722) |
United States Dollar | 11,285,417 | Canadian Dollar | 14,573,853 | 6/20/18 | (79,336) |
United States Dollar | 17,871,831 | British Pound | 12,736,337 | 6/20/18 | 293,041 |
United States Dollar | 30,858,494 | Swedish Krona | 251,410,228 | 6/20/18 | 2,030,785 |
Goldman Sachs International | |||||
Australian Dollar | 45,376,137 | United States Dollar | 35,633,306 | 6/20/18 | (1,466,586) |
Swiss Franc | 24,503,129 | United States Dollar | 26,166,954 | 6/20/18 | (1,328,305) |
Euro | 4,046,000 | United States Dollar | 5,024,582 | 6/20/18 | (119,019) |
British Pound | 27,238,000 | United States Dollar | 38,474,519 | 6/20/18 | (880,422) |
Japanese Yen | 3,005,558,000 | United States Dollar | 28,100,725 | 6/20/18 | (508,466) |
Norwegian Krone | 151,882,054 | United States Dollar | 19,568,851 | 6/20/18 | (600,658) |
Swedish Krona | 110,171,000 | United States Dollar | 13,327,181 | 6/20/18 | (694,530) |
United States Dollar | 7,522,053 | Canadian Dollar | 9,715,905 | 6/20/18 | (54,452) |
United States Dollar | 66,298,133 | Euro | 53,194,341 | 6/20/18 | 1,802,785 |
United States Dollar | 33,804,712 | British Pound | 23,907,338 | 6/20/18 | 807,620 |
United States Dollar | 43,545,639 | Japanese Yen | 4,605,788,996 | 6/20/18 | 1,262,601 |
United States Dollar | 35,538,836 | New Zealand Dollar | 48,813,643 | 6/20/18 | 1,197,518 |
United States Dollar | 30,849,839 | Swedish Krona | 251,410,231 | 6/20/18 | 2,022,129 |
HSBC | |||||
United States Dollar | 11,284,482 | Canadian Dollar | 14,573,853 | 6/20/18 | (80,271) |
United States Dollar | 30,849,016 | Swedish Krona | 251,410,228 | 6/20/18 | 2,021,307 |
Morgan Stanley Capital Services | |||||
Australian Dollar | 32,074,000 | United States Dollar | 25,029,541 | 6/20/18 | (878,887) |
Canadian Dollar | 39,144,000 | United States Dollar | 30,358,872 | 6/20/18 | 165,788 |
48
Counterparty/ Purchased | Purchased Currency | Currency | Sold | Settlement Date | Unrealized Appreciation (Depreciation)($) |
Morgan Stanley Capital Services (continued) | |||||
Swiss Franc | 47,638,060 | United States Dollar | 50,773,645 | 6/20/18 | (2,483,279) |
British Pound | 38,192,000 | United States Dollar | 53,634,743 | 6/20/18 | (921,851) |
Norwegian Krone | 380,466,056 | United States Dollar | 48,982,817 | 6/20/18 | (1,467,306) |
New Zealand Dollar | 28,982,000 | United States Dollar | 21,140,108 | 6/20/18 | (750,725) |
United States Dollar | 39,254,446 | Canadian Dollar | 50,908,000 | 6/20/18 | (443,832) |
United States Dollar | 1,892,824 | Swiss Franc | 1,812,000 | 6/20/18 | 56,012 |
United States Dollar | 78,273,405 | Euro | 62,895,341 | 6/20/18 | 2,016,104 |
United States Dollar | 37,669,649 | British Pound | 26,394,000 | 6/20/18 | 1,240,447 |
United States Dollar | 30,914,821 | Japanese Yen | 3,266,880,996 | 6/20/18 | 923,509 |
United States Dollar | 32,561,794 | Norwegian Krone | 250,583,000 | 6/20/18 | 1,267,072 |
United States Dollar | 23,836,032 | New Zealand Dollar | 32,500,770 | 6/20/18 | 971,128 |
United States Dollar | 1,399,606 | Swedish Krona | 11,752,000 | 6/20/18 | 52,074 |
Royal Bank of Canada | |||||
Swiss Franc | 36,830,624 | United States Dollar | 39,338,072 | 6/20/18 | (2,003,128) |
Norwegian Krone | 78,133,054 | United States Dollar | 10,135,253 | 6/20/18 | (377,400) |
United States Dollar | 7,521,480 | Canadian Dollar | 9,715,902 | 6/20/18 | (55,022) |
United States Dollar | 17,870,876 | British Pound | 12,736,337 | 6/20/18 | 292,086 |
Gross Unrealized Appreciation | 29,990,707 | ||||
Gross Unrealized Depreciation | (25,386,312) |
See notes to consolidated financial statements.
49
CONSOLIDATED STATEMENT OF SWAP AGREEMENTS
April 30, 2018 (Unaudited)
Centrally Cleared Credit Default Swaps | |||||
Reference | Notional | (Pay) | Market | Upfront | Unrealized Appreciation ($) |
Sold Contracts:2 | |||||
Bank of America | |||||
Markit CDX North America High Yield Index Series 30 | |||||
6/20/2023†† | 6,500,000 | 5.00 | 486,092 | (388,572) | 97,520 |
Gross Unrealized Appreciation | 97,520 |
† Clearing House-Chicago Mercantile Exchange
†† Expiration Date
1 The maximum potential amount the fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.
2 If the fund is a seller of protection and a credit event occurs, as defined under the terms of the swap agreement, the fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the reference obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation.
See notes to consolidated financial statements.
50
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Cost |
| Value |
|
Assets ($): |
|
|
|
| ||
Investments in securities—See Consolidated |
|
|
| |||
Unaffiliated issuers | 1,282,682,925 |
| 1,281,565,550 |
| ||
Affiliated issuers |
| 101,477,343 |
| 101,477,343 |
| |
Cash |
|
|
|
| 18,834,163 |
|
Cash denominated in foreign currency |
|
| 507,436 |
| 496,352 |
|
Unrealized appreciation on forward foreign |
| 29,990,707 |
| |||
Cash collateral held by broker—Note 4 |
| 9,077,893 |
| |||
Dividends and interest receivable |
| 1,390,224 |
| |||
Receivable for shares of Common Stock subscribed |
| 772,938 |
| |||
Swap premium paid—Note 4 |
| 388,572 |
| |||
Receivable for swap variation margin—Note 4 |
| 249,383 |
| |||
Prepaid expenses |
|
|
|
| 67,454 |
|
|
|
|
|
| 1,444,310,579 |
|
Liabilities ($): |
|
|
|
| ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) |
|
|
|
| 1,376,501 |
|
Unrealized depreciation on forward foreign |
| 25,386,312 |
| |||
Payable for shares of Common Stock redeemed |
| 4,733,682 |
| |||
Payable for futures variation margin—Note 4 |
| 1,616,412 |
| |||
Outstanding options written, at value |
| 165,450 |
| |||
Payable for investment securities purchased |
| 54,800 |
| |||
Accrued expenses |
|
|
|
| 177,280 |
|
|
|
|
|
| 33,510,437 |
|
Net Assets ($) |
|
| 1,410,800,142 |
| ||
Composition of Net Assets ($): |
|
|
|
| ||
Paid-in capital |
|
|
|
| 1,422,161,104 |
|
Accumulated undistributed investment income—net |
| 1,155,216 |
| |||
Accumulated net realized gain (loss) on investments |
|
|
|
| (13,301,561) |
|
Accumulated net unrealized appreciation (depreciation) |
| 785,383 |
| |||
Net Assets ($) |
|
| 1,410,800,142 |
|
Net Asset Value Per Share | Class A | Class C | Class I | Class Y |
|
Net Assets ($) | 63,239,045 | 59,903,654 | 553,499,392 | 734,158,051 |
|
Shares Outstanding | 4,104,487 | 4,185,584 | 34,970,277 | 46,357,171 |
|
Net Asset Value Per Share ($) | 15.41 | 14.31 | 15.83 | 15.84 |
|
See notes to consolidated financial statements. |
51
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Income ($): |
|
|
|
| ||
Income: |
|
|
|
| ||
Interest |
|
| 10,352,407 |
| ||
Dividends (net of $735 foreign taxes withheld at source): |
| |||||
Unaffiliated issuers |
|
| 753,628 |
| ||
Affiliated issuers |
|
| 804,646 |
| ||
Total Income |
|
| 11,910,681 |
| ||
Expenses: |
|
|
|
| ||
Management fee—Note 3(a) |
|
| 8,085,144 |
| ||
Subsidiary management fee—Note 3(a) |
|
| 520,674 |
| ||
Shareholder servicing costs—Note 3(c) |
|
| 471,833 |
| ||
Distribution fees—Note 3(b) |
|
| 262,208 |
| ||
Directors’ fees and expenses—Note 3(d) |
|
| 75,253 |
| ||
Registration fees |
|
| 52,867 |
| ||
Prospectus and shareholders’ reports |
|
| 46,171 |
| ||
Professional fees |
|
| 29,307 |
| ||
Custodian fees—Note 3(c) |
|
| 22,424 |
| ||
Loan commitment fees—Note 2 |
|
| 14,297 |
| ||
Miscellaneous |
|
| 73,684 |
| ||
Total Expenses |
|
| 9,653,862 |
| ||
Less—reduction in expenses due to undertaking—Note 3(a) |
|
| (632,723) |
| ||
Less—reduction in fees due to earnings credits—Note 3(c) |
|
| (22,906) |
| ||
Net Expenses |
|
| 8,998,233 |
| ||
Investment Income—Net |
|
| 2,912,448 |
| ||
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): |
|
| ||||
Net realized gain (loss) on investments and foreign currency transactions | 548,004 |
| ||||
Net realized gain (loss) on options transactions | (19,187,129) |
| ||||
Net realized gain (loss) on futures | 33,163,780 |
| ||||
Net realized gain (loss) on swap agreements | 87,257 |
| ||||
Net realized gain (loss) on forward foreign currency exchange contracts | (9,819,697) |
| ||||
Net Realized Gain (Loss) |
|
| 4,792,215 |
| ||
Net unrealized appreciation (depreciation) on investments |
|
| (1,788,267) |
| ||
Net unrealized appreciation (depreciation) on options transactions | 2,797,212 |
| ||||
Net unrealized appreciation (depreciation) on futures |
|
| (49,994,553) |
| ||
Net unrealized appreciation (depreciation) on swap agreements |
|
| (46,714) |
| ||
Net unrealized appreciation (depreciation) on |
|
| 4,890,042 |
| ||
Net Unrealized Appreciation (Depreciation) |
|
| (44,142,280) |
| ||
Net Realized and Unrealized Gain (Loss) on Investments |
|
| (39,350,065) |
| ||
Net (Decrease) in Net Assets Resulting from Operations |
| (36,437,617) |
| |||
See notes to consolidated financial statements. |
52
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Operations ($): |
|
|
|
|
|
|
|
| |
Investment income (loss)—net |
|
| 2,912,448 |
|
|
| (3,716,758) |
| |
Net realized gain (loss) on investments |
| 4,792,215 |
|
|
| 80,158,082 |
| ||
Net unrealized appreciation (depreciation) |
| (44,142,280) |
|
|
| 11,555,140 |
| ||
Net Increase (Decrease) in Net Assets | (36,437,617) |
|
|
| 87,996,464 |
| |||
Distributions to Shareholders from ($): |
| ||||||||
Net realized gain on investments: |
|
|
|
|
|
|
|
| |
Class A |
|
| (3,628,341) |
|
|
| (341,762) |
| |
Class C |
|
| (3,966,680) |
|
|
| (237,196) |
| |
Class I |
|
| (30,866,723) |
|
|
| (775,856) |
| |
Class Y |
|
| (35,205,227) |
|
|
| (1,271,510) |
| |
Total Distributions |
|
| (73,666,971) |
|
|
| (2,626,324) |
| |
Capital Stock Transactions ($): |
| ||||||||
Net proceeds from shares sold: |
|
|
|
|
|
|
|
| |
Class A |
|
| 7,045,327 |
|
|
| 15,191,131 |
| |
Class C |
|
| 1,561,515 |
|
|
| 5,013,783 |
| |
Class I |
|
| 83,117,960 |
|
|
| 467,890,826 |
| |
Class Y |
|
| 91,796,273 |
|
|
| 217,849,128 |
| |
Distributions reinvested: |
|
|
|
|
|
|
|
| |
Class A |
|
| 3,266,497 |
|
|
| 325,546 |
| |
Class C |
|
| 3,248,878 |
|
|
| 181,423 |
| |
Class I |
|
| 26,282,157 |
|
|
| 590,605 |
| |
Class Y |
|
| 17,523,028 |
|
|
| 721,951 |
| |
Cost of shares redeemed: |
|
|
|
|
|
|
|
| |
Class A |
|
| (15,029,485) |
|
|
| (151,909,545) |
| |
Class C |
|
| (19,644,631) |
|
|
| (59,663,859) |
| |
Class I |
|
| (163,999,427) |
|
|
| (294,198,094) |
| |
Class Y |
|
| (110,215,755) |
|
|
| (130,888,867) |
| |
Increase (Decrease) in Net Assets | (75,047,663) |
|
|
| 71,104,028 |
| |||
Total Increase (Decrease) in Net Assets | (185,152,251) |
|
|
| 156,474,168 |
| |||
Net Assets ($): |
| ||||||||
Beginning of Period |
|
| 1,595,952,393 |
|
|
| 1,439,478,225 |
| |
End of Period |
|
| 1,410,800,142 |
|
|
| 1,595,952,393 |
| |
Undistributed investment income (loss)—net | 1,155,216 |
|
|
| (1,757,232) |
|
53
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS (continued)
|
|
|
| Six Months Ended |
| Year Ended |
| ||
Capital Share Transactions (Shares): |
| ||||||||
Class Aa,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 441,019 |
|
|
| 955,739 |
| |
Shares issued for distributions reinvested |
|
| 207,002 |
|
|
| 21,139 |
| |
Shares redeemed |
|
| (961,324) |
|
|
| (9,643,628) |
| |
Net Increase (Decrease) in Shares Outstanding | (313,303) |
|
|
| (8,666,750) |
| |||
Class Ca,b |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 104,994 |
|
|
| 337,106 |
| |
Shares issued for distributions reinvested |
|
| 221,012 |
|
|
| 12,512 |
| |
Shares redeemed |
|
| (1,335,555) |
|
|
| (4,009,428) |
| |
Net Increase (Decrease) in Shares Outstanding | (1,009,549) |
|
|
| (3,659,810) |
| |||
Class Ia |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,142,632 |
|
|
| 28,694,862 |
| |
Shares issued for distributions reinvested |
|
| 1,622,355 |
|
|
| 37,522 |
| |
Shares redeemed |
|
| (10,163,401) |
|
|
| (18,147,833) |
| |
Net Increase (Decrease) in Shares Outstanding | (3,398,414) |
|
|
| 10,584,551 |
| |||
Class Ya |
|
|
|
|
|
|
|
| |
Shares sold |
|
| 5,697,195 |
|
|
| 13,453,316 |
| |
Shares issued for distributions reinvested |
|
| 1,081,668 |
|
|
| 45,867 |
| |
Shares redeemed |
|
| (6,649,534) |
|
|
| (8,067,592) |
| |
Net Increase (Decrease) in Shares Outstanding | 129,329 |
|
|
| 5,431,591 |
| |||
aDuring the period ended April 30, 2018, 305 Class A shares representing $4,641 were exchanged for 297 Class Y shares, 343,789 Class Y shares representing $5,549,319 were exchanged for 343,952 Class I shares and 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. | |||||||||
bDuring the period ended April 30, 2018, 2,443 Class C shares representing $38,020 were automatically exchanged for 2,285 Class A shares. | |||||||||
See notes to consolidated financial statements. |
54
CONSOLIDATED FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class A Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, | 16.63 | 15.73 | 15.63 | 15.36 | 14.18 | 12.49 |
Investment Operations: | ||||||
Investment income (loss)—neta | .01 | (.09) | (.17) | (.22) | (.19) | (.01) |
Net realized and unrealized | (.41) | 1.02 | .27 | .49b | 1.38 | 1.65 |
Payment by affiliate | – | – | – | – | – | .05 |
Total from | (.40) | .93 | .10 | .27 | 1.19 | 1.69 |
Distributions: | ||||||
Dividends from | – | – | – | – | (.01) | – |
Dividends from | (.82) | (.03) | – | – | – | – |
Total Distributions | (.82) | (.03) | – | – | (.01) | – |
Net asset value, end of period | 15.41 | 16.63 | 15.73 | 15.63 | 15.36 | 14.18 |
Total Return (%)c | (2.54)d | 5.92 | .70 | 1.69 | 8.42 | 13.53e |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.57f | 1.55 | 1.51 | 1.49 | 1.54 | 1.65 |
Ratio of net expenses | 1.44f | 1.47 | 1.50 | 1.49 | 1.50 | 1.50 |
Ratio of net investment income (loss) to average net assets | 0.18f | (.56) | (1.13) | (1.41) | (1.30) | (.04) |
Portfolio Turnover Rate | 7.27d | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 |
Net Assets, | 63,239 | 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 Not annualized.
e The total return would have been 13.13% had a reimbursement for a trade error not been made by BNY Mellon AMNA.
f Annualized.
See notes to consolidated financial statements.
55
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class C Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, | 15.56 | 14.83 | 14.85 | 14.70 | 13.66 | 12.12 |
Investment Operations: | ||||||
Investment (loss)—neta | (.04) | (.19) | (.27) | (.33) | (.29) | (.10) |
Net realized and unrealized | (.39) | .95 | .25 | .48b | 1.33 | 1.59 |
Payment by affiliate | – | – | – | – | – | .05 |
Total from | (.43) | .76 | (.02) | .15 | 1.04 | 1.54 |
Distributions: | ||||||
Dividends from | (.82) | (.03) | – | – | – | – |
Net asset value, end of period | 14.31 | 15.56 | 14.83 | 14.85 | 14.70 | 13.66 |
Total Return (%)c | (2.92)d | 5.14 | (.07) | .95 | 7.61 | 12.71e |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 2.29f | 2.32 | 2.26 | 2.24 | 2.30 | 2.44 |
Ratio of net expenses | 2.19f | 2.23 | 2.25 | 2.24 | 2.25 | 2.25 |
Ratio of net investment (loss) | (.57)f | (1.26) | (1.82) | (2.16) | (2.08) | (.78) |
Portfolio Turnover Rate | 7.27d | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 |
Net Assets, | 59,904 | 80,834 | 131,341 | 141,904 | 23,672 | 9,409 |
a Based on average shares outstanding.
b In addition to net realized and unrealized losses on investments, this amount includes an increase in net asset value per share resulting from the timing of issuances and redemptions of shares in relation to fluctuating market values for the portfolio investments.
c Exclusive of sales charge.
d Not annualized.
e The total return would have been 12.29% had a reimbursement for a trade error not been made by BNY Mellon AMNA.
f Annualized.
See notes to consolidated financial statements.
56
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class I Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 |
Per Share Data ($): | ||||||
Net asset value, | 17.04 | 16.08 | 15.93 | 15.61 | 14.39 | 12.65 |
Investment Operations: | ||||||
Investment income (loss)—neta | .03 | (.03) | (.13) | (.19) | (.14) | .03 |
Net realized and unrealized | (.42) | 1.02 | .28 | .51b | 1.39 | 1.67 |
Payment by affiliate | – | – | – | – | – | .05 |
Total from | (.39) | .99 | .15 | .32 | 1.25 | 1.75 |
Distributions: | ||||||
Dividends from | – | – | – | – | (.03) | (.01) |
Dividends from | (.82) | (.03) | – | – | – | – |
Total Distributions | (.82) | (.03) | – | – | (.03) | (.01) |
Net asset value, end of period | 15.83 | 17.04 | 16.08 | 15.93 | 15.61 | 14.39 |
Total Return (%) | (2.42)c | 6.17 | 1.01 | 1.92 | 8.77 | 13.82d |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.29e | 1.30 | 1.25 | 1.22 | 1.21 | 1.29 |
Ratio of net expenses | 1.19e | 1.21 | 1.24 | 1.22 | 1.21 | 1.25 |
Ratio of net investment income (loss) to average net assets | .43e | (.17) | (.86) | (1.15) | (.94) | .20 |
Portfolio Turnover Rate | 7.27c | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 |
Net Assets, | 553,499 | 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 Not annualized.
d The total return would have been 13.42% had a reimbursement for a trade error not been made by BNY Mellon AMNA.
e Annualized.
See notes to consolidated financial statements.
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CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||
April 30, 2018 | Year Ended October 31, | |||||
Class Y Shares | (Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013a |
Per Share Data ($): | ||||||
Net asset value, | 17.04 | 16.07 | 15.91 | 15.59 | 14.39 | 13.45 |
Investment Operations: | ||||||
Investment income (loss)—netb | .04 | (.02) | (.11) | (.15) | (.17) | (.01) |
Net realized and unrealized | (.42) | 1.02 | .27 | .47c | 1.40 | .90 |
Payment by affiliate | – | – | – | – | – | .05 |
Total from | (.38) | 1.00 | .16 | .32 | 1.23 | .94 |
Distributions: | ||||||
Dividends from | – | – | – | – | (.03) | – |
Dividends from | (.82) | (.03) | – | – | – | – |
Total Distributions | (.82) | (.03) | – | – | (.03) | – |
Net asset value, end of period | 15.84 | 17.04 | 16.07 | 15.91 | 15.59 | 14.39 |
Total Return (%) | (2.36)d | 6.23 | 1.01 | 2.05 | 8.56 | 6.99d,e |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | 1.21f | 1.21 | 1.18 | 1.14 | 1.16 | 1.31f |
Ratio of net expenses | 1.14f | 1.15 | 1.16 | 1.14 | 1.16 | 1.25f |
Ratio of net investment income (loss) to average net assets | .48f | (.14) | (.68) | (.96) | (1.14) | (.18)f |
Portfolio Turnover Rate | 7.27d | 69.80 | 10.66 | 165.55 | 124.10 | 1.74 |
Net Assets, | 734,158 | 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 BNY Mellon AMNA.
f Annualized.
See notes to consolidated financial statements.
58
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dynamic Total Return Fund (the “fund”) is a separate non-diversified series of Advantage Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering ten series, including the fund. The fund’s investment objective is to seek total return. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Effective January 31, 2018, BNY Mellon Asset Management North America Corporation (“BNY Mellon AMNA”), a wholly-owned subsidiary of BNY Mellon and an affiliate of Dreyfus, serves as the fund’s sub-investment adviser. BNY Mellon AMNA is a specialist multi-asset investment manager formed by the combination of certain BNY Mellon affiliated investment management firms, including Mellon Capital Management Corporation, which served as the fund’s sub-investment adviser prior to January 31, 2018.
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, BNY Mellon AMNA serves as the Subsidiary’s sub-investment advisor and Citibank N.A. serves as the Subsidiary’s custodian. The financial statements have been consolidated and include the accounts of the fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the fund and the Subsidiary, comprising the entire issued share capital of the Subsidiary, with the intent that the fund will remain the sole shareholder and retain all rights. Under the Amended and Restated Memorandum and Articles of Association, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The following summarizes the structure and relationship of the Subsidiary at April 30, 2018:
59
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Subsidiary Activity | |||
Consolidated fund Net Assets ($) | 1,410,800.142 | ||
Subsidiary Percentage of fund Net Assets | 6.88% | ||
Subsidiary Financial Statement Information ($) | |||
Total assets | 97,914,338 | ||
Total liabilities | 831,419 | ||
Net assets | 97,082,919 | ||
Total income | 548,420 | ||
Investment income—net | 31,062 | ||
Net realized gain (loss) | 6,304,733 | ||
Net unrealized appreciation (depreciation) | 1,593,574 | ||
Net increase (decrease) in net assets resulting from operations | 7,929,369 |
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 C shares automatically convert to Class A shares ten years after the date of purchase, without the imposition of a sales charge. Class I and Class Y shares are sold at net asset value per share generally to institutional investors. As of the date of this report, the fund did not offer Class T shares for purchase. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with
60
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 exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “Service”) approved by the Company’s
61
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
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 net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board.
62
Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
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 April 30, 2018 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† | – | 76,332,713 | – | 76,332,713 |
Exchange-Traded Funds | 67,961,599 | – | – | 67,961,599 |
Registered Investment Company | 101,477,343 | – | – | 101,477,343 |
U.S. Treasury | – | 1,131,411,511 | – | 1,131,411,511 |
Other Financial Instruments: |
63
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Futures†† | 25,357,456 | – | – | 25,357,456 |
Forward Foreign Currency Exchange Contracts†† | – | 29,990,707 | – | 29,990,707 |
Options Purchased | 4,972,500 | 887,227 | – | 5,859,727 |
Swaps†† | – | 97,520 | – | 97,520 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures†† | (29,167,164) | – | – | (29,167,164) |
Forward Foreign Currency Exchange Contracts†† | – | (25,386,312) | – | (25,386,312) |
Options Written | – | (165,450) | – | (165,450) |
† See Consolidated Statement of Investments for additional detailed categorizations.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
At April 30, 2018, 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.
64
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.
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
65
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
losses of the Subsidiary cannot be deducted by the fund in the current period nor carried forward to offset taxable income in future periods.
As of and during the period ended April 30, 2018, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Consolidated Statement of Operations. During the period ended April 30, 2018, the fund did not incur any interest or penalties.
Each tax year in the three-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2017 was as follows: long-term capital gains $2,626,324. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in an $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 April 30, 2018, the fund did not borrow under the Facilities.
NOTE 3— Management Fee, Sub-Investment Advisory Fee and Other Transactions with Affiliates:
(a) Dreyfus has entered into separate management agreements with the fund and the Subsidiary pursuant to which Dreyfus receives a management fee computed at the annual rate of 1.10% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly. In addition, Dreyfus has contractually agreed for as long as the fund invests in the Subsidiary, to waive the management fee it receives from the fund in an amount equal to the management fee paid to Dreyfus by the Subsidiary. The reduction in expenses, pursuant to the undertaking amounted to $520,674 during the period ended April 30, 2018.
66
In addition, Dreyfus has contractually agreed, from November 1, 2017 through March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund, so that the direct expenses of none of the classes (excluding Rule 12b-1 Distribution Plan fees, Shareholder Services Plan fees, taxes, interest expense, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 1.19% of the value of the fund’s average daily net assets. On or after March 1, 2019, Dreyfus may terminate this expense limitation at any time. The reduction in expenses, pursuant to the undertaking, amounted to $112,049 during the period ended April 30, 2018.
Pursuant to separate sub-investment advisory agreements between Dreyfus and BNY Mellon AMNA with respect to the fund and the Subsidiary, Dreyfus pays BNY Mellon AMNA an annual fee of .65% of the value of the average daily net assets of each of the fund and the Subsidiary which is payable monthly.
During the period ended April 30, 2018, the Distributor retained $5,292 from commissions earned on sales of the fund’s Class A shares and $2,216 from CDSCs on redemptions of the fund’s Class C shares.
(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2018, Class C shares were charged $262,208 pursuant to the Distribution Plan.
(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2018, Class A and Class C shares were charged $87,004 and $87,403, 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2018, the fund was charged $13,495 for transfer agency services and $482 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 $482.
The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2018, the fund was charged $22,424 pursuant to the custody agreement. These fees were offset by earnings credits of $22,424.
During the period ended April 30, 2018, the fund was charged $6,333 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.
The components of “Due to The Dreyfus Corporation and affiliates” in the Consolidated Statement of Assets and Liabilities consist of: management fees $1,390,070, Distribution Plan fees $37,427, Shareholder Services Plan fees $25,851, custodian fees $4,000, Chief Compliance Officer fees $4,214 and transfer agency fees $2,200, which are offset against an expense reimbursement currently in effect in the amount of $87,261.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, futures, options transactions, forward contracts and swap agreements, during the period ended April 30, 2018, amounted to $17,706,159 and $18,315,551, 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
68
its credit risk to counterparties. Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under a Master Agreement, the fund may offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment in the event of default or termination.
Each type of derivative instrument that was held by the fund during the period ended April 30, 2018 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 April 30, 2018 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 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
69
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
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 April 30, 2018 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 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
70
Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. Forward contracts open at April 30, 2018 are set forth in the Consolidated Statement of Forward Foreign Currency Exchange Contracts.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Consolidated Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Consolidated Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date.
Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
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 April 30, 2018 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 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 April 30, 2018 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.
72
Fair value of derivative instruments as of April 30, 2018 is shown below:
|
| Derivative |
|
|
| Derivative | |
Interest rate risk | 1,620,642 | 1 | Interest rate risk | (11,131,229) | 1 | ||
Equity risk | 22,043,574 | 1,2 | Equity risk | (15,635,563) | 1,3 | ||
Foreign exchange risk | 29,990,707 | 4 | Foreign exchange risk | (25,386,312) | 4 | ||
Credit risk | 97,520 | 5 | Credit risk | - | |||
Commodity risk | 7,552,967 | 1 | Commodity risk | (2,565,822) | 1 | ||
Gross fair value of | 61,305,410 | (54,718,926) | |||||
Consolidated Statement of Assets and Liabilities location: | |||||||
1Includes 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. | |||||||
2Options purchased are included in Investments in securities—Unaffiliated issuers, at value. | |||||||
3Outstanding options written, at value. | |||||||
4Unrealized appreciation (depreciation) on forward foreign currency exchange contracts. | |||||||
5Includes 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. |
The effect of derivative instruments in the Consolidated Statement of Operations during the period ended April 30, 2018 is shown below:
Amount of realized gain (loss) on derivatives recognized in income ($) | ||||||||||
Underlying | Futures | 1 | Options | 2 | Forward | 3 | Swap | 4 | Total | |
Interest | (17,056,699) | - | - | - | (17,056,699) | |||||
Equity | 43,915,643 | (19,187,129) | - | - | 24,728,514 | |||||
Foreign | - | - | (9,819,697) | - | (9,819,697) | |||||
Credit | - | - | - | 87,257 | 87,257 | |||||
Commodity | 6,304,836 | - | - | - | 6,304,836 | |||||
Total | 33,163,780 | (19,187,129) | (9,819,697) | 87,257 | 4,244,211 | |||||
73
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Change in unrealized appreciation (depreciation) | |||||||||||
Underlying | Futures | 5 | Options | 6 | Forward | 7 | Swap | 8 | Total | ||
Interest | (15,529,782) | - | - | - | (15,529,782) | ||||||
Equity | (36,059,248) | 2,797,212 | - | - | (33,262,036) | ||||||
Foreign | - | - | 4,890,042 | - | 4,890,042 | ||||||
Credit | - | - | - | (46,714) | (46,714) | ||||||
Commodity | 1,594,477 | - | - | - | 1,594,477 | ||||||
Total | (49,994,553) | 2,797,212 | 4,890,042 | (46,714) | (42,354,013) | ||||||
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.
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At April 30, 2018, derivative assets and liabilities (by type) on a gross basis are as follows:
Derivative Financial Instruments: |
| Assets ($) |
| Liabilities ($) |
|
Futures | 25,357,456 | (29,167,164) | |||
Options | 5,859,727 | (165,450) | |||
Forward contracts | 29,990,707 | (25,386,312) | |||
Swaps | 97,520 | - | |||
Total gross amount of derivative | |||||
assets and liabilities in the | |||||
Consolidated Statement of | 61,305,410 | (54,718,926) | |||
Derivatives not subject to | |||||
Master Agreements | (32,751,302) | 29,990,222 | |||
Total gross amount of assets | |||||
and liabilities subject to | |||||
Master Agreements | 28,554,108 | (24,728,704) |
The following tables present derivative assets and liabilities net of amounts available for offsetting under Master Agreements and net of related collateral received or pledged, if any, as of April 30, 2018:†
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Assets ($) | 1 | for Offset ($) | Received ($) | 2 | Assets ($) |
Bank of Montreal | 2,750,200 | (2,750,200) | - | - | ||
Citigroup | 8,818,501 | (6,366,260) | - | 2,452,241 | ||
Goldman Sachs | 7,979,880 | (5,817,888) | (1,850,000) | 311,992 | ||
HSBC | 2,021,307 | (80,271) | (1,540,000) | 401,036 | ||
Morgan Stanley | 6,692,134 | (6,692,134) | - | - | ||
Royal Bank | 292,086 | (292,086) | - | - | ||
Total | 28,554,108 | (21,998,839) | (3,390,000) | 3,165,269 | ||
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (continued)
Financial | ||||||
Instruments | ||||||
and Derivatives | ||||||
Gross Amount of | Available | Collateral | Net Amount of | |||
Counterparty | Liabilities ($) | 1 | for Offset ($) | Pledged ($) | 2 | Liabilities ($) |
Bank of Montreal | (3,082,855) | 2,750,200 | 270,000 | (62,655) | ||
Citigroup | (6,366,260) | 6,366,260 | - | - | ||
Goldman Sachs | (5,817,888) | 5,817,888 | - | - | ||
HSBC | (80,271) | 80,271 | - | - | ||
Morgan Stanley | (6,945,880) | 6,692,134 | 10,000 | (243,746) | ||
Royal Bank | (2,435,550) | 292,086 | - | (2,143,464) | ||
Total | (24,728,704) | 21,998,839 | 280,000 | (2,449,865) | ||
1 Absent a default event or early termination, OTC derivative assets and liabilities are presented at gross amounts and are not offset in the Consolidated Statement of Assets and Liabilities. | ||||||
2 In some instances, the actual collateral received and/or pledged may be more than the amount shown due to over collateralization. | ||||||
† See Statement of Investments for detailed information regarding collateral held for open exchange traded derivative contracts. |
The following summarizes the average market value of derivatives outstanding during the period ended April 30, 2018:
|
| Average Market Value ($) |
Equity futures | 1,119,653,473 | |
Equity options contracts | 8,701,044 | |
Interest rate futures | 2,420,106,589 | |
Forward contracts | 2,290,064,346 | |
Commodity futures | 207,997,921 | |
The following summarizes the average notional value of swap agreements outstanding during the period ended April 30, 2018:
|
| Average Notional Value ($) |
Credit default swap agreements | 7,071,429 | |
At April 30, 2018, accumulated net unrealized appreciation on investments inclusive of derivative contracts was $211,397, consisting of $4,457,520 gross unrealized appreciation and $4,246,123 gross unrealized depreciation.
At April 30, 2018, the cost of investments inclusive of derivative contracts for federal income tax purposes was substantially the same as the cost for
76
financial reporting purposes (see the Consolidated Statement of Investments).
77
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 February 14-15, 2018, the Board considered the renewal of the fund’s Management Agreement, pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Sub-Investment Advisory Agreement (together, the “Agreements”), pursuant to which BNY Mellon Asset Management North America Corporation (the “Subadviser”) provides day-to-day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus and the Subadviser. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or Dreyfus) and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered Dreyfus’ extensive administrative, accounting and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Subadviser. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2017, and (2) the fund’s actual and contractual management fees and total expenses with those of a group
78
of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. They also considered that performance generally should be considered over longer periods of time, although it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect disproportionately long-term performance. The Board discussed with representatives of Dreyfus, its affiliates and/or the Subadviser the results of the comparisons and considered that the fund’s total return performance was at or above the Performance Group median in the three-, four- and five-year periods, above the Performance Universe median in the four- and five-year periods and otherwise below the Performance Group and Performance Universe medians for the periods shown (only slightly below the Performance Universe median in the ten-year period). Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index, and it was considered that the fund’s returns were above the returns of the index in six of the ten calendar years shown.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that: the fund’s contractual management fee was above the Expense Group median and the fund’s actual management fee and total expenses were above the Expense Group and Expense Universe medians.
Dreyfus representatives stated that Dreyfus has contractually agreed: (1) for as long as the fund invests in the DTR Commodity Fund Ltd. (the “Subsidiary”), to waive the management fee Dreyfus receives from the fund in an amount equal to the management fee paid to Dreyfus by the Subsidiary; and (2) until March 1, 2019, to waive receipt of its fees and/or assume the direct expenses of the fund so that the direct expenses of none of its classes (excluding Rule 12b-1 fees, shareholder services fees, taxes, interest, brokerage commissions, commitment fees on borrowings and extraordinary expenses) exceed 1.19% of the fund’s average daily net assets.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Subadviser or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee
79
INFORMATION ABOUT THE RENEWAL OF THE FUND'S MANAGEMENT AND SUB-INVESTMENT ADVISORY AGREEMENTS (Unaudited) (continued)
information provided for the Similar Clients to evaluate the appropriateness of the fund’s management fee.
The Board considered the fee to the Subadviser in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Subadviser and Dreyfus. The Board also took into consideration that the Subadviser’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to Dreyfus and its affiliates for managing the funds in the Dreyfus fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board also had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board considered on the advice of its counsel the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements, considered in relation to the mix of services provided by Dreyfus and the Subadviser, including the nature, extent and quality of such services, supported the renewal of the Agreements and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since Dreyfus, and not the fund, pays the Subadviser pursuant to the Sub-Investment Advisory Agreement, the Board did not consider the Subadviser’s profitability to be relevant to its deliberations. Dreyfus representatives stated that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also stated that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Subadviser from acting as investment adviser and sub-investment adviser, respectively, and took into consideration the soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
80
· The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Subadviser are adequate and appropriate.
· The Board generally was satisfied with the fund’s overall performance.
· The Board concluded that the fees paid to Dreyfus and the Subadviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.
· The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
In evaluating the Agreements, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with Dreyfus and its affiliates and the Subadviser, of Dreyfus and the Subadviser and the services provided to the fund by Dreyfus and the Subadviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreements, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance indices; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreements for the fund, or substantially similar agreements for other Dreyfus funds that the Board oversees, during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other Dreyfus funds that the Board oversees, in prior years. The Board determined to renew the Agreements.
81
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
BNY Mellon Asset
Management North
America Corporation
One Boston Place
Boston, MA 02108-4408
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.
© 2018 MBSC Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Advantage Funds, Inc.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 27, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Bradley J. Skapyak
Bradley J. Skapyak
President
Date: June 27, 2018
By: /s/ James Windels
James Windels
Treasurer
Date: June 27, 2018
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)