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 811-5883
DREYFUS INDEX FUNDS, INC.
(Exact name of Registrant as specified in charter)
c/o The Dreyfus Corporation
200 Park Avenue
New York, New York 10166
(Address of principal executive offices) (Zip code)
Mark N. Jacobs, Esq.
200 Park Avenue
New York, New York 10166
(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 922-6000
Date of fiscal year end: 10/31
Date of reporting period: 10/31/03
FORM N-CSR
ITEM 1. REPORTS TO STOCKHOLDERS.
Dreyfus International
Stock Index Fund
ANNUAL REPORT October 31, 2003
YOU, YOUR ADVISOR AND
DREYFUS
A MELLON FINANCIAL COMPANY(SM)
The views expressed in this report reflect those of the portfolio manager 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
- --------------------------------------------------
2 Letter from the Chairman
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
37 Statement of Financial Futures
38 Statement of Assets and Liabilities
39 Statement of Operations
40 Statement of Changes in Net Assets
41 Financial Highlights
42 Notes to Financial Statements
50 Report of Independent Auditors
51 Important Tax Information
52 Board Members Information
54 Officers of the Fund
FOR MORE INFORMATION
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Back Cover
The Fund
Dreyfus International
Stock Index Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder:
This annual report for Dreyfus International Stock Index Fund covers the
12-month period from November 1, 2002, through October 31, 2003. Inside, you'll
find valuable information about how the fund was managed during the reporting
period, including a discussion with the fund's portfolio manager, Susan Ellison
Recent estimates of greater than expected U.S. Gross Domestic Product annualized
growth during the third quarter of 2003 suggest that the economy has started to
turn the corner. Tax cuts and low mortgage rates have put cash in consumers'
pockets, and corporations have begun to increase spending and investment. As
U.S. growth has strengthened, so have the prospects for many international
economies. As a result, stock markets throughout the world rallied over the
reporting period, posting gains in virtually every geographical region and
capitalization range.
We have seen strong quarters before, only to be disappointed when growth proved
unsustainable. Based on recent data, we are cautiously optimistic about the
current economic environment. As always, we urge you to speak regularly with
your financial advisor, who may be in the best position to suggest investments
that are right for your current needs, future goals and attitudes toward risk.
Thank you for your continued confidence and support.
Sincerely,
/S/STEPHEN E. CANTER
Stephen E. Canter
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 17, 2003
DISCUSSION OF FUND PERFORMANCE
Susan Ellison, Portfolio Manager
HOW DID DREYFUS INTERNATIONAL STOCK INDEX FUND PERFORM RELATIVE TO ITS
BENCHMARK?
For the 12-month period ended October 31, 2003, the fund produced a total return
of 25.49%.(1) This compares with a 27.04% total return for the fund's benchmark,
the Morgan Stanley Capital International Europe, Australasia, Far East Free
Index (the "MSCI EAFE Free Index" or the "Index"), during the same period.(2)
After a slow start, international equity markets began a sustained rally in
April 2003, which persisted through the end of the reporting period. The fund's
returns lagged the Index, primarily due to fees associated with the management
of the fund and trading to accommodate shareholder contributions and
withdrawals.
WHAT IS THE FUND'S INVESTMENT APPROACH?
In managing this fund, our goal is to match the performance of the MSCI EAFE
Free Index, a broadly diversified, international index composed of slightly more
than 1,000 stocks that trade in 21 major markets outside the United States,
including Great Britain, Germany, France, Japan, Hong Kong, Singapore, Australia
and New Zealand.
Weighted by market capitalization (the total value of all shares outstanding in
a country's stock market) and share liquidity (a measure of the proportion of a
company' s shares actually available to be bought or sold by the public),
approximately 72% of the MSCI EAFE Free Index's total value is represented by
its top five countries, which currently are Great Britain, Japan, France,
Switzerland and Germany. The MSCI EAFE Free Index is diversified among industry
groups, as those groups are represented in individual country markets.
In order to simplify management and control costs, the fund attempts to match
the Index' s return, not to duplicate its composition. Our carefully created
sample attempts to match index weightings at the The Fun
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
country, industry and individual security levels. Beginning by country, the fund
invests in proportion to each country's weighting in the Index. That means that
if the British market comprises 26% of the Index, then approximately 26% of the
fund' s assets will be invested in Britain. In addition, the fund's industry
allocation also matches that of the Index, in the proper proportion. For
example, if a certain percentage of the market value in the Japanese sub-index
is comprised of financial services firms, that same approximate percentage of
the investment in the Japanese markets will also be invested in that sector. At
the individual company level, the fund invests in a carefully selected sample of
the stocks that make up each country's index component. The fund also invests in
securities that represent the market as a whole, such as stock index futures,
and manages its exposure to foreign currencies so that the fund's currency
profile matches the currency makeup of the MSCI EAFE Free Index.
WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE?
During the reporting period, every equity market included in the MSCI EAFE
benchmark delivered positive returns primarily from an improving global economy,
the quick end to major combat operations in Iraq, and an improvement in investor
sentiment throughout the world. Overall, global markets benefited from rising
industrial production and gains in business and consumer confidence. Japan
posted particularly strong returns amid stronger economic growth than the
country has seen in many years. Germany cut taxes to encourage consumer
spending, triggering a local stock market rally.
The technology sector posted some of the Index's strongest results, as investors
anticipated a pickup in demand from corporate consumers of technology products.
The basic materials sector, including chemicals and metals companies, benefited
from higher production among manufacturers. Some airlines enjoyed revenue gains
as travel increased and energy prices moderated. In the financial services
group, gains reported by several Japanese banks reflected that country's
restructuring efforts, while Hong Kong real estate was buoyed by the containment
of the
SARS epidemic. Lagging sectors included consumer staples, such as food and
beverage stocks, as investors shifted away from relatively defensive sectors and
toward more speculative issues.
As of October 31, 2003, the countries with the greatest representation in the
Index and the fund were Great Britain (25.9% of the Index), Japan (22.7%),
France (9.5%), Switzerland (7.2%) and Germany (6.6%).
WHAT IS THE FUND'S CURRENT STRATEGY?
The fund's ongoing strategy is to provide a broad exposure to the world's major
stock markets outside the United States. We do this by remaining fully invested
in a way that is designed to deliver the return of the MSCI EAFE Free Index,
minus fund expenses. As an index fund, we do not actively select stocks based on
their individual merits. Instead, we believe that attempting to match the Index'
s return is a practical and cost-effective way for our shareholders to gain
exposure to European and Asian markets for a portion of their overall investment
portfolios.
November 17, 2003
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE, YIELD AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
(2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF NET DIVIDENDS AND, WHERE
APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE MORGAN STANLEY CAPITAL INTERNATIONAL
EUROPE, AUSTRALASIA, FAR EAST (MSCI EAFE) FREE INDEX IS AN UNMANAGED INDEX
COMPOSED OF A SAMPLE OF COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF
EUROPEAN AND PACIFIC BASIN COUNTRIES. THE INDEX REFLECTS ACTUAL INVESTABLE
OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT ARE FREE OF FOREIGN OWNERSHIP
LIMITS OR LEGAL RESTRICTIONS AT THE COUNTRY LEVEL.
The Fund
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus International
Stock Index Fund and the Morgan Stanley Capital International Europe,
Australasia, Far East Free Index
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 10/31/03
Inception From
Date 1 Year 5 Years Inception
- -----------------------------------------------------------------------------------------------------------------------------------
FUND 6/30/97 25.49% (1.27)% (1.17)%
((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE
SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS INTERNATIONAL
STOCK INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST FREE INDEX
(THE "INDEX") ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS ARE
REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE INDEX IS AN UNMANAGED INDEX COMPOSED OF A SAMPLE OF
COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND PACIFIC BASIN
COUNTRIES AND INCLUDES NET DIVIDENDS REINVESTED AND REFLECTS ACTUAL INVESTABLE
OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT ARE FREE OF FOREIGN OWNERSHIP
LIMITS OR LEGAL RESTRICTIONS AT THE SECURITY OR COUNTRY LEVEL. THE INDEX DOES
NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION
RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE,
IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE
IN THIS REPORT.
STATEMENT OF INVESTMENTS
October 31, 2003
COMMON STOCKS--97.1% Shares Value ($)
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AUSTRALIA--4.8%
AMP 19,981 93,288
AMP (Rights) 19,981 1,163
Alumina 15,007 63,463
Amcor 11,276 68,008
Ansell 1,500 7,365
Aristocrat Leisure 4,441 7,468
Australia and New Zealand Banking 20,141 254,381
Australia and New Zealand Banking (Rights) 3,662 11,199
Australian Gas Light 6,621 50,268
Australian Stock Exchange 1,400 15,894
BHP Billiton 49,834 414,416
BHP Steel 9,472 36,427
Boral 8,368 32,656
Brambles Industries 12,929 42,843
CFS Gandel Retail Trust (Units) 13,489 12,347
CSL 2,106 25,403
CSR 11,900 17,900
Centro Properties 8,069 21,699
Coca-Cola Amatil 6,081 25,414
Cochlear 616 13,768
Coles Myer 14,955 82,450
Commonwealth Bank of Australia 16,971 331,149
Commonwealth Property Office Fund 17,000 13,992
Computershare 3,800 9,653
Deutsche Office Trust (Units) 19,000 14,964
Foster's 29,550 95,820
Futuris 13,537 14,504
General Property Trust (Units) 25,216 49,919
Harvey Norman 7,600 18,119
Iluka Resources 4,328 14,341
Insurance Australia 23,668 74,732
Investa Property 16,318 22,346
James Hardie Industries 6,600 33,577
John Fairfax 11,200 28,768
Leighton 1,803 14,546
Lend Lease 4,996 39,738
Lion Nathan 4,000 15,667
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
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AUSTRALIA (CONTINUED)
Macquarie Bank 2,574 63,631
Macquarie Goodman Industrial Trust 19,046 20,812
Macquarie Infrastructure (Units) 27,028 60,793
Mayne 12,855 33,201
Mirvac 11,421 34,522
National Australia Bank 20,104 436,360
Newcrest Mining 4,552 39,017
News Corporation 19,912 177,313
OneSteel 7,634 12,025
Orica 4,324 40,530
Origin Energy 9,044 27,594
PaperlinX 6,000 21,585
Patrick 2,000 20,719
Publishing & Broadcasting 1,600 13,680
QBE Insurance 9,133 66,747
Rinker 11,900 53,617
Rio Tinto 4,142 104,774
Santos 8,000 34,683
Sonic Healthcare 3,824 18,613
Southcorp 7,524 16,550
Stockland 14,031 48,285
Stockland (Units) 372 1,264
Suncorp-Metway 7,059 64,963
TAB 5,000 12,595
TABCORP 5,000 41,118
Telstra 31,567 106,168
Toll 2,918 17,309
Transurban 7,401 (b) 21,846
WMC Resources 15,007 54,519
Wesfarmers 5,197 106,938
Westfield 5,794 58,419
Westfield Trust 30,039 70,976
Westfield Trust (Units) 1,098 2,579
Westpac Banking 23,547 269,831
Woodside Petroleum 6,800 63,834
Woolworths 13,578 107,133
4,434,198
COMMON STOCKS (CONTINUED) Shares Value ($)
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AUSTRIA--.2%
Bank of Austria Creditanstalt 490 21,350
Erste Bank der oesterreichischen Sparkassen 400 44,226
Flughafen Wien 140 5,706
Immofinanz Immobilien Anlagen 1,963 (a,b) 14,194
Mayr-Melnhof Karton 100 9,993
OMV 215 27,493
Oesterreichische Elektrizitaetswirtschafts, Cl. A 45 4,237
Telekom Austria 2,700 (a) 28,688
VA Technologie 150 (a) 4,035
Voestalpine 250 8,951
Wienerberger 500 10,637
179,510
BELGIUM--1.0%
Agfa Gevaert 1,450 35,988
Barco 140 10,335
Bekaert 240 11,924
Colruyt 250 22,669
Compagnie Maritime Belge 50 2,532
Cofinimmo 100 12,462
Delhaize 1,070 50,812
Dexia 8,522 134,237
Electrabel 412 113,943
Fortis 13,783 245,789
Groupe Bruxelles Lambert 905 43,713
Interbrew 2,010 47,060
KBC Bankverzekeringsholding 1,212 51,413
Mobistar 200 (a) 10,044
Omega Pharma 300 9,238
S.A. D'Ieteren 70 13,020
Solvay 850 63,289
UCB 1,300 41,000
Umicore 100 6,086
925,554
DENMARK--.8%
A P Moller-Maersk 15 117,757
Bang & Olufsen, Cl. B 100 3,878
Carlsberg, Cl. B 400 16,608
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
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DENMARK (CONTINUED)
Coloplast, Cl. B 200 16,827
DSV 300 10,556
Danisco 800 30,776
Danske Bank 6,626 133,669
East Asiatic Company 200 7,506
FLS Industries, Cl. B 500 (a) 5,356
GN Store Nord 2,400 (a) 15,576
Group 4 Falck 880 19,748
H. Lundbeck 1,100 20,213
ISS 632 30,144
Kobenhavns Lufthavne 100 10,384
NEG Micon 300 (a) 4,316
NKT 500 8,523
Novo Nordisk, Cl. B 3,403 122,400
Novozymes, Cl. B 625 20,134
TDC 1,860 59,774
Topdanmark 400 (a) 19,892
Vestas Wind Systems 1,300 27,344
William Demant 600 (a) 20,408
721,789
FINLAND--1.8%
Amer 300 11,422
Elisa 1,600 (a) 19,065
Fortum 5,100 47,015
Kesko, Cl. B 700 10,888
Kone, Cl. B 470 24,560
Metso 1,910 21,404
Nokia 64,489 1,095,289
Nokian Renkaat 100 7,470
Orion-Yhtyma, Cl. B 500 9,620
Outokumpu 1,200 14,522
Pohjola, Cl. D 400 9,016
Rautaruukki 2,100 (a) 14,599
Sampo, Cl. A 3,520 29,626
Stora Enso 8,956 121,813
TietoEnator 1,103 29,235
UPM-Kymmene 6,616 123,827
COMMON STOCKS (CONTINUED) Shares Value ($)
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FINLAND (CONTINUED)
Uponor 500 13,311
Wartsila, Cl. B 500 8,573
1,611,255
FRANCE--8.8%
Accor 2,518 99,026
Air France 800 (b) 12,797
Alcatel 16,025 (a) 211,440
Alstom 5,100 (a,b) 16,245
Atos Origin 300 (a) 20,018
Autoroutes du Sud de la France 900 27,726
Aventis 9,038 478,579
Axa 18,752 355,327
BNP Paribas 10,724 563,493
Bouygues 2,800 76,167
Business Objects 750 (a) 24,587
CNP Assurances 395 18,014
Cap Gemini 1,497 (a) 75,440
Carrefour 7,620 400,038
Casino Guichard-Perrachon 463 42,386
Compagnie de Saint-Gobain 4,146 174,908
Compagnie Generale des Etablissements Michelin, Cl. B 1,742 68,346
Credit Agricole 4,810 102,159
Credit Agricole (Rights) 4,510 1,048
Dassault Systemes 530 22,489
Essilor International 1,336 64,267
European Aeronautic Defence and Space 3,900 79,341
France Telecom 14,482 (a) 350,511
Gecina 165 20,677
Groupe Danone 1,648 248,671
Hermes International 100 17,217
Imerys 106 20,332
Klepierre 340 18,122
L'Air Liquide 1,329 196,983
L'Oreal 4,496 332,412
LVMH Moet Hennessy Louis Vuitton 2,933 202,701
Lafarge 2,248 160,979
Lagardere S.C.A. 1,605 80,734
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
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FRANCE (CONTINUED)
PSA Peugeot Citroen 2,522 108,184
Pechiney, Cl. A 1,020 56,382
Pernod-Ricard 703 67,831
Pinault-Printemps-Redoute 950 96,798
Publicis 1,310 40,965
Renault 2,268 150,020
Sagem 280 28,579
Sanofi-Synthelabo 4,871 301,530
Schneider Electric 2,587 151,422
Societe BIC 550 22,775
Societe Generale, Cl. A 4,345 (a) 322,763
Societe Television Francaise 1 1,650 49,488
Sodexho Alliance 1,158 30,289
Suez 10,683 171,382
Technip 273 26,976
Thales 1,091 31,454
Thomson 2,600 54,768
Total 8,783 1,365,109
Unibail 489 38,570
Valeo 984 36,845
Veolia Environnement 3,300 73,656
Vinci 900 65,234
Vivendi Universal 12,387 (a) 260,206
Wanadoo 5,600 (a) 41,664
Zodiac 480 14,184
8,190,254
GERMANY--6.1%
Adidas-Salomon 601 55,474
Allianz 3,696 395,717
Altana 986 62,125
BASF 7,223 331,671
Bayer 8,742 209,247
Bayerische Hypo-und Vereinsbank 4,621 (a) 100,885
Beiersdorf 345 (b) 39,063
Celesio 362 15,141
Commerzbank 5,945 117,350
Continental 1,600 54,498
COMMON STOCKS (CONTINUED) Shares Value ($)
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GERMANY (CONTINUED)
DaimlerChrysler 11,450 425,274
Deutsche Bank 6,965 459,089
Deutsche Boerse 1,410 78,432
Deutsche Lufthansa 2,624 40,875
Deutsche Post 5,500 106,456
Deutsche Telekom 27,915 (a) 438,091
Douglas 440 12,736
E.ON 7,823 393,780
Epcos 600 (a) 12,276
Fresenius Medical Care 461 (b) 26,260
HeidelbergCement 437 (a) 18,390
Hypo Real Estate 776 (a) 13,441
Infineon Technologies 5,700 (a) 84,153
KarstadtQuelle 780 19,314
Linde 1,233 56,259
MAN 1,350 37,116
MLP 795 (a) 15,240
Merck KGaA 750 26,592
Metro 2,093 84,916
Muenchener Rueckversicherungs-Gesellschaft 1,595 190,425
Muenchener Rueckversicherungs-Gesellschaft (Rights) 1,595 13,183
Puma Rudolf Dassler 210 30,320
QIAGEN 2,300 (a) 26,738
RWE 4,777 132,723
SAP 2,723 395,211
Schering 2,222 104,485
Siemens 10,758 722,857
Suedzucker 500 8,475
TUI 1,795 31,405
ThyssenKrupp 4,106 67,971
Volkswagen 2,980 150,348
5,604,002
GREECE--.4%
Alpha Bank 1,971 44,909
Bank of Piraeus 1,500 13,950
Coca-Cola Hellenic Bottling 1,038 20,151
Commercial Bank of Greece 950 20,343
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
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GREECE (CONTINUED)
EFG Eurobank Ergasias 2,400 41,236
Greek Organization of Football Prognostics 2,100 25,389
Hellenic Petroleum 1,300 10,428
Hellenic Telecommunications Organization 3,700 41,808
Intracom 500 3,453
National Bank of Greece 2,600 54,405
Public Power 800 17,205
Titan Cement 500 19,181
Viohalco, Hellenic Copper and Aluminum Industry 2,000 9,579
Vodafone Panafon 2,168 15,122
337,159
HONG KONG--1.7%
ASM Pacific Technology 2,500 9,352
BOC Hong Kong 35,500 61,485
Bank of East Asia 18,391 55,061
CLP 23,788 107,212
Cathay Pacific Airways 13,000 24,859
Cheung Kong 20,000 166,759
Cheung Kong Infrastructure 6,000 13,096
Esprit 8,000 25,085
Giordano International 20,000 9,014
Hang Lung Properties 14,000 18,298
Hang Seng Bank 10,100 126,157
Henderson Land Development 8,000 33,584
Hong Kong and China Gas 50,772 70,283
Hong Kong Exchanges & Clearing 16,000 34,820
Hongkong Electric 19,500 76,085
Hopewell 8,000 13,289
Hopewell Highway Infrastructure (Warrants) 800 165
Hutchison Whampoa 28,800 222,517
Hysan Development 9,000 13,096
Johnson Electric 19,900 25,754
Li & Fung 26,000 43,692
MTR 17,500 23,662
New World Development 18,708 11,985
PCCW 43,207 (a,b) 31,158
SCMP 11,759 5,792
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HONG KONG (CONTINUED)
Shangri-La Asia 20,000 19,187
Sino Land 20,664 10,843
SmarTone Telecommunications 4,000 6,490
Sun Hung Kai Properties 17,384 146,066
Swire Pacific, Cl. A 12,500 76,297
Techtronic Industries 6,000 16,534
Television Broadcasts 3,000 14,217
Wharf 17,171 43,228
Yue Yuen Industrial 4,800 13,567
1,568,689
IRELAND--.7%
Allied Irish Banks 11,271 164,830
Bank of Ireland 13,711 170,388
CRH 7,116 127,973
DCC 1,000 13,427
Elan 4,774 (a) 23,587
Fyffes 4,100 7,435
Grafton 2,000 (a) 12,439
Greencore 2,474 8,916
Independent News & Media 7,300 15,954
Irish Life & Permanent 4,000 56,033
Kerry 1,600 27,900
Ryanair 2,000 (a) 16,973
Waterford Wedgwood (Units) 16,900 5,697
651,552
ITALY--3.6%
Alleanza Assicurazioni 6,800 68,062
Assicurazioni Generali 12,725 292,898
Autogrill 1,528 (a) 19,344
Banca Fideuram 4,000 25,110
Banca Intesa 12,812 32,171
Banca Intesa (RNC) 47,206 159,143
Banca Monte dei Paschi di Siena 13,050 38,913
Banca Nazionale del Lavoro 18,000 (a) 41,013
Banca Populare di Milano 5,900 30,110
Banche Popolari Unite Scrl 4,200 (a) 63,961
Banco Popolare di Verona e Novara Scri 4,860 75,142
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ITALY (CONTINUED)
Benetton 730 8,681
Bulgari 2,300 20,802
Capitalia 16,143 45,039
Enel 28,223 176,514
Eni 34,595 549,360
Fiat 5,733 (a) 43,120
FinecoGroup 19,250 (a,b) 13,583
Finmeccanica 75,360 53,702
Gruppo Editoriale L'Espresso 2,400 12,862
Italcementi 1,565 18,830
Luxottica 2,100 33,494
Mediaset 8,065 81,474
Mediobanca 6,081 61,148
Mediolanum 4,300 30,042
Mondadori (Arnoldo) Editore 2,050 15,729
Parmalat Finanziaria 5,506 17,154
Pirelli 17,996 13,954
Riunione Adriatica di Sicurta 4,264 66,621
Sanpaolo IMI 13,512 152,050
Seat Pagine Gialle 43,140 (a) 41,875
Snam Rete Gas 11,600 43,691
Snia 4,800 10,044
Telecom Italia 123,210 321,555
Telecom Italia (RNC) 77,086 (a) 133,702
Telecom Italia Mobile 50,476 (a) 232,953
Telecom Italia Media 19,085 (a,b) 8,249
Tiscali 1,650 (a) 10,972
UniCredito Italiano 50,192 247,396
3,310,463
JAPAN--22.2%
ACOM 950 42,516
ADERANS 400 7,277
ADVANTEST 900 67,049
AEON 3,100 102,360
AEON CREDIT SERVICE 220 10,186
AIFUL 600 37,932
ALL NIPPON AIRWAYS 7,000 (a,b) 18,020
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
ALPS ELECTRIC 2,000 33,529
AMADA 5,000 21,604
ANRITSU 2,000 (a,b) 13,063
AOYAMA TRADING 700 12,989
ARIAKE JAPAN 200 6,058
ASAHI BREWERIES 5,000 41,752
ASAHI KASEI 16,900 80,553
ASATSU-DK 300 7,163
AUTOBACS SEVEN 500 10,916
Ajinomoto 7,800 78,756
Amano 1,000 6,868
Asahi Glass 10,800 85,272
Ashikaga Financial 9,000 (a) 9,005
BANDAI 400 10,624
BANDAI (Bonus) 400 10,624
BANK OF FUKUOKA 8,000 33,402
BELLSYSTEM24 20 4,549
BRIDGESTONE 8,400 110,029
Bank of Yokohama 14,000 (b) 60,490
Benesse 1,000 24,560
CANON 11,100 537,154
CAPCOM 900 11,625
CASIO COMPUTER 2,000 (b) 17,811
CHUGAI PHARMACEUTICAL 4,128 58,802
COCA-COLA WEST JAPAN 500 9,255
COMSYS 1,000 (a) 6,249
CSK 900 34,056
Central Glass 2,000 12,717
Central Japan Railway 12 105,008
Chiba Bank 9,000 38,723
Chubu Electric Power 8,600 172,493
Citizen Watch 4,000 32,783
Credit Saison 1,800 37,659
DAI NIPPON PRINTING 7,800 120,475
DAICEL CHEMICAL INDUSTRIES 2,000 8,478
DAIDO LIFE INSURANCE 16 47,592
DAIDO STEEL 200 395
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
DAIICHI PHARMACEUTICAL 3,000 45,845
DAIKIN INDUSTRIES 2,000 42,662
DAINIPPON INK AND CHEMICALS 8,000 15,937
DAINIPPON SCREEN MANUFACTURING 2,000 (a,b) 14,281
DAITO TRUST CONSTRUCTION 1,100 34,020
DENKI KAGAKU KOGYO KABUSHIKI KAISHA 5,600 17,014
DENSO 6,700 127,071
DENTSU 4 18,011
DOWA MINING 3,000 16,210
Daimaru 3,000 17,683
Daiwa House Industry 5,400 58,256
Daiwa Securities 16,000 117,015
EBARA 3,000 12,034
East Japan Railway 46 208,378
Eisai 3,000 70,405
FANUC 1,600 96,202
FAST RETAILING 700 42,534
FUJI ELECTRIC 5,000 12,325
FUJISAWA PHARMACEUTICAL 4,000 82,594
FUJITSU 21,800 136,628
FamilyMart 600 13,044
Fuji Photo Film 6,200 182,726
Fuji Television Network 3 15,964
Fujikura 4,000 24,051
Furukawa Electric 6,000 22,704
GUNZE 3,000 13,617
Gunma Bank 6,000 25,761
HANKYU DEPARTMENT STORES 2,000 14,645
HINO MOTORS 2,000 11,425
HIROSE ELECTRIC 400 49,156
HONDA MOTOR 10,400 410,570
HOUSE FOODS 1,220 13,206
HOYA 1,500 135,762
Hitachi 37,900 222,708
Hitachi Cable 3,000 11,925
Hitachi Chemical 1,100 17,771
Hitachi Software Engineering 200 6,222
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Hokugin Financial 14,000 (a) 22,031
ISHIHARA SANGYO KAISHA 4,000 (a) 8,223
ITO EN 300 (b) 12,144
ITOCHU 18,500 62,432
ITOCHU TECHNO-SCIENCE 300 10,069
ITO-YOKADO 5,000 183,745
Isetan 2,000 20,703
Ishikawajima-Harima Heavy Industries 17,000 23,196
JAFCO 300 25,651
JAPAN TOBACCO 10 66,767
JFE 5,960 152,341
JGC 3,000 25,788
JSR 3,000 63,583
Japan Airlines System 10,600 (b) 30,469
Japan Real Estate Investment 2 (b) 11,698
Joyo Bank 9,462 30,296
KAJIMA 10,800 40,475
KAKEN PHARMACEUTICAL 1,000 (b) 5,039
KANDENKO 105 361
KANEBO 6,000 (a) 6,331
KANEKA 3,000 23,387
KATOKICHI 600 9,578
KEIO ELECTRIC RAILWAY 7,000 36,994
KEYENCE 440 96,777
KIKKOMAN 2,000 13,026
KINDEN 3,000 13,071
KIRIN BREWERY 9,000 71,961
KOKUYO 1,000 10,397
KOMATSU 12,600 68,195
KOMORI 1,000 12,353
KONAMI 1,200 36,567
KONICA MINOLTA 5,000 65,721
KOYO SEIKO 1,000 10,188
KUBOTA 13,000 46,828
KYOCERA 2,200 132,478
KYOWA HAKKO KOGYO 5,000 29,472
Kamigumi 2,400 15,631
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Kansai Electric Power 8,999 155,529
Kao 7,000 143,903
Kawasaki Heavy Industries 15,000 18,966
Kawasaki Kisen Kaisha 6,000 24,069
Keihin Electric Express Railway 6,000 (b) 35,093
Kinki Nippon Railway 18,354 (a,b) 55,261
Kuraray 5,000 37,659
Kurita Water Industries 1,000 12,134
Kyushu Electric Power 5,300 87,550
LAWSON 800 30,564
MABUCHI MOTOR 400 30,491
MAEDA ROAD CONSTRUCTION 200 1,052
MARUHA 400 546
MARUI 4,800 60,952
MEITEC 500 17,874
MINEBEA 4,000 22,777
MITSUBISHI GAS CHEMICAL 5,000 14,145
MITSUBISHI MATERIALS 10,000 (a) 16,100
MITSUI & CO. 15,400 112,066
MITSUMI ELECTRIC 900 9,423
MURATA MANUFACTURING 3,100 176,241
Makita 2,000 19,830
Marubeni 17,000 30,618
Matsumotokiyoshi 200 10,060
Matsushita Electric Industrial 28,195 371,625
Matsushita Electric Works 6,000 (b) 45,081
Meiji Dairies 4,000 14,991
Meiji Seika Kaisha 4,000 15,427
Millea 20 238,323
Mitsubishi 14,000 145,304
Mitsubishi Chemical 22,200 58,158
Mitsubishi Electric 23,000 102,724
Mitsubishi Estate 13,000 124,637
Mitsubishi Heavy Industries 37,700 103,565
Mitsubishi Logistics 2,000 17,410
Mitsubishi Rayon 7,000 25,979
Mitsubishi Tokyo Financial 54 388,047
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Mitsui Chemicals 7,000 40,879
Mitsui Engineering & Shipbuilding 11,000 16,910
Mitsui Fudosan 9,000 83,750
Mitsui Mining & Smelting 7,000 28,017
Mitsui O.S.K Lines 10,000 40,660
Mitsui Sumitomo Insurance 17,230 141,996
Mitsui Trust 7,380 (a) 39,271
Mitsukoshi 5,000 (a,b) 18,602
Mizuho Financial 78 (a) 190,858
NAMCO 500 13,781
NEC 18,800 (a) 166,051
NGK INSULATORS 4,000 27,325
NGK SPARK PLUG 2,000 16,773
NICHII GAKKAN 220 11,967
NICHIREI 4,000 13,281
NIDEC 500 48,438
NIKON 3,600 (a) 54,654
NIPPON KAYAKU 2,000 10,133
NIPPON MEAT PACKERS 2,000 19,957
NIPPON MINING 6,800 24,866
NIPPON OIL 17,800 87,919
NIPPON SHOKUBAI 2,000 14,008
NIPPON STEEL 73,100 150,276
NIPPON TELEGRAPH AND TELEPHONE 70 312,639
NISSAN MOTOR 33,600 376,543
NISSHINBO INDUSTRIES 2,000 9,988
NITTO DENKO 2,000 104,971
NSK 5,000 20,603
NTN 6,000 31,273
NTT Data 17 (b) 75,308
NTT DoCoMo 234 506,590
Net One Systems 2 14,991
Nikko Cordial 18,000 97,094
Nintendo 1,300 100,396
Nippon Building Fund 2 (b) 12,316
Nippon Express 11,000 49,629
Nippon Light Metal 400 1,030
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Nippon Sanso 3,000 12,416
Nippon Sheet Glass 6,000 18,447
Nippon Unipac 10 47,119
Nippon Yusen Kabushiki Kaisha 11,800 50,233
Nishimatsu Construction 3,000 12,526
Nissan Chemical Industries 2,000 17,428
Nisshin Seifun 2,000 16,392
Nissin Food Products 1,000 22,968
Nomura 24,000 412,171
Nomura Research Institute 200 20,103
OBAYASHI 9,000 41,015
OBIC 100 22,013
OJI PAPER 11,000 58,535
OKUMURA 3,000 12,253
OLYMPUS OPTICAL 3,000 65,766
OMRON 3,000 65,766
ONWARD KASHIYAMA 2,000 22,450
ORACLE CORPORATION JAPAN 400 23,468
ORIENTAL LAND 600 32,965
ORIX 1,040 87,506
OSAKA GAS 28,000 77,428
Oki Electric Industry 7,000 (a) 31,009
PIONEER 2,000 49,848
Promise 1,200 53,923
Q.P. 1,100 8,905
RICOH 9,000 170,692
ROHM 1,400 188,730
Resona 60,000 (a) 87,870
SANDEN 2,000 10,734
SANKYO 500 16,692
SANKYO COMPANY 5,000 80,047
SANYO ELECTRIC 21,000 96,275
SAPPORO BREWERIES 5,000 (b) 13,644
SECOM 3,000 117,342
SEGA 1,400 (a) 15,498
SEVEN-ELEVEN JAPAN 6,000 189,930
SHIMACHU 400 7,823
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
SHIMAMURA 300 20,849
SHIMANO 800 14,991
SHIMIZU 7,000 27,061
SHIZUOKA BANK 8,400 59,293
SHOWA SHELL SEKIYU 1,000 8,032
SKYLARK 1,000 16,473
SMC 700 84,241
SOFTBANK 2,700 138,764
SONY 11,680 406,917
SUMITOMO 10,000 69,405
SUMITOMO CHEMICAL 15,000 55,942
SUMITOMO HEAVY INDUSTRIES 7,000 (a) 15,473
SURUGA BANK 2,000 12,535
SUZUKEN 600 18,556
Sanwa Shutter 200 1,141
Seiko Epson 800 28,817
Seino Transportation 2,000 14,099
Sekisui Chemical 5,000 24,605
Sekisui House 7,000 68,704
77 Bank 4,000 20,958
Sharp 12,000 188,948
Shin-Etsu Chemical 4,900 182,299
Shionogi & Co. 4,000 67,131
Shiseido 5,000 52,486
Showa Denko 15,000 29,063
Snow Brand Milk Products 1,750 (a) 5,380
Sompo Japan Insurance 10,000 82,776
Stanley Electric 2,000 42,571
Sumitomo Bakelite 2,000 12,280
Sumitomo Electric Industries 7,800 67,049
Sumitomo Metal Industries 44,000 40,824
Sumitomo Metal Mining 6,000 41,152
Sumitomo Mitsui Financial 50 (b) 251,512
Sumitomo Osaka Cement 4,000 7,386
Sumitomo Realty & Development 4,000 37,113
Sumitomo Trust and Banking 13,000 72,607
TAIHEIYO CEMENT 10,000 24,742
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
TAISEI 10,000 34,748
TAISHO PHARMACEUTICAL 2,000 34,511
TAKARA 2,000 (b) 15,718
TAKEFUJI 950 56,256
TAKUMA 1,000 5,148
TDK 1,500 98,240
TEIJIN 11,000 32,619
TEIKOKU OIL 3,000 13,808
TERUMO 2,300 43,726
THK 1,300 26,370
TIS 500 17,601
TOBU RAILWAY 10,000 35,021
TODA 3,000 8,378
TOHO 1,900 23,401
TOKYO BROADCASTING SYSTEM 500 8,009
TOKYO GAS 35,000 120,025
TOKYO STYLE 1,000 9,942
TOKYU 12,820 63,555
TOPPAN PRINTING 8,000 73,352
TORAY INDUSTRIES 17,000 70,669
TOSHIBA 36,000 (a) 144,413
TOSOH 6,000 16,755
TOTO 4,000 33,292
TOYO SEIKAN KAISHA 2,000 23,377
TOYO SUISAN KAISHA 1,000 10,561
TOYOBO 8,200 16,559
TOYODA GOSEI 800 23,650
TOYOTA INDUSTRIES 2,000 36,931
Taiyo Yuden 1,100 15,909
Takashimaya 4,000 29,181
Takeda Chemical Industries 11,400 403,384
Tohoku Electric Power 6,000 97,257
Tokyo Electric Power 15,272 325,764
Tokyo Electron 2,000 143,357
TonenGeneral Sekiyu 4,000 32,674
Tostem Inax 3,424 61,014
Toyota Motor 36,414 1,036,756
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Trend Micro 1,000 (a) 27,562
UFJ 45 (a) 192,386
UNI-CHARM 600 27,998
USS 300 21,313
UNY 2,000 20,812
USHIO 1,000 17,056
Ube Industries 7,600 16,315
WACOAL 1,000 8,269
WORLD 500 13,553
West Japan Railway 14 52,085
YAKULT HONSHA 1,000 15,555
YAMADA DENKI 900 28,653
YAMAHA 2,000 40,297
YAMATO TRANSPORT 5,400 71,764
YAMAZAKI BAKING 2,000 14,809
YOKOGAWA ELECTRIC 2,900 33,897
Yamaha Motor 1,000 11,343
Yamanouchi Pharmaceutical 4,300 107,955
20,370,324
LUXEMBOURG--.1%
Arcelor 4,765 67,967
NETHERLANDS--5.1%
ABN AMRO 20,648 433,260
ASML 6,093 (a) 105,751
Aegon 16,183 212,208
Akzo Nobel 3,745 118,417
Corio 515 17,176
DSM 1,095 50,205
Euronext 1,000 (a) 24,471
Hagemeyer 1,242 3,595
Heineken 2,527 90,186
IHC Caland 387 16,511
ING Groep 22,580 468,812
Koninklijke Ahold 9,254 (a) 78,317
Koninklijke Numico 2,032 (a) 45,850
Koninklijke (Royal) KPN 23,619 (a) 179,569
Koninkiljke (Royal) Philips Electronics 17,504 471,879
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS (CONTINUED)
Koninklijke Vendex KBB 1,357 16,706
Oce 1,000 13,276
Reed Elsevier 8,347 92,958
Rodamco Europe 480 24,496
Royal Dutch Petroleum 28,220 1,252,195
STMicroelectronics 7,985 212,571
TPG 4,472 96,436
Unilever 7,602 441,601
VNU 3,113 94,814
Vedior 1,420 20,469
Wereldhave 200 12,578
Wolters Kluwer 3,899 54,799
4,649,106
NEW ZEALAND--.2%
Auckland International Airport 2,592 10,527
Carter Holt Harvey 15,900 17,879
Contact Energy 5,200 16,135
Fisher & Paykel Appliances 1,192 10,789
Fisher & Paykel Healthcare 1,000 7,435
Fletcher Building 8,122 21,909
Sky City Entertainment 2,900 15,948
Telecom Corporation of New Zealand 26,485 78,765
Warehouse 2,700 9,456
188,843
NORWAY--.5%
Aker Kvaerner 417 (a,b) 6,810
DnB 5,600 32,703
Frontline 600 11,708
Gjensidige NOR 775 31,780
Norsk Hydro 1,874 105,465
Norske Skogindustrier 1,250 23,773
Orkla 2,969 62,239
Schibsted 500 8,802
Smedvig, Cl. A 400 (b) 2,772
Statoil 5,825 54,774
Storebrand 3,200 (a) 17,828
Tandberg 1,400 (a) 9,859
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
NORWAY (CONTINUED)
Telenor 9,481 51,614
Tomra Systems 2,550 14,675
434,802
PORTUGAL--.4%
Banco BPI 5,214 16,062
Banco Comercial Portugues 26,804 (b) 51,725
Banco Espirito Santo 1,744 (b) 25,018
Brisa-Auto Estradas de Portugal 4,100 25,642
CIMPOR-Cimentos de Portugal 3,445 (b) 15,218
EDP 23,940 54,269
Jeronimo Martins 400 (a,b) 3,767
PT Multimedia 600 (a,b) 10,281
Portugal Telecom 13,134 110,390
Sonae 19,560 (a) 13,416
325,788
SINGAPORE--.8%
Capitaland 14,000 13,108
Chartered Semiconductor Manufacturing 11,000 (a,b) 10,804
City Developments 7,000 24,326
ComfortDelGro 17,700 7,879
Creative Technology 1,000 10,397
Cycle & Carriage 1,422 4,901
DBS 14,059 115,479
Fraser & Neave 2,430 17,168
Haw Par 658 1,655
Keppel 8,500 29,050
Neptune Orient Lines 11,000 (a) 14,027
Oversea-Chinese Banking 13,143 91,347
Overseas Union Enterprise 1,000 4,021
SembCorp Industries 16,037 12,159
SembCorp Logistics 8,000 7,720
Singapore Airlines 7,000 48,652
Singapore Exchange 9,000 8,582
Singapore Post 18,000 6,927
Singapore Press 4,900 55,447
Singapore Technologies Engineering 17,000 18,846
Singapore Telecommunications 84,900 83,878
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SINGAPORE (CONTINUED)
United Overseas Bank 16,112 125,864
United Overseas Land 10,000 11,029
Venture 3,000 32,568
755,834
SPAIN--3.4%
ACS 550 23,158
Abertis Infraestructuras 2,727 36,774
Acciona 400 20,995
Acerinox 670 29,169
Altadis 4,591 111,423
Amadeus Global Travel Distribution 3,600 22,599
Antena 3 Television 228 (a,b) 7,448
Banco Bilbao Vizcaya Argentaria 40,379 463,304
Banco Popular Espanol 2,080 108,157
Banco Santander Cental Hispano 57,076 (b) 547,394
Corporacion Mapfre 1,100 13,708
Endesa 11,969 189,926
Fomento de Construcciones y Contratas 731 23,845
Gas Natural SDG 2,460 (b) 47,272
Grupo Dragados 1,370 27,982
Grupo Ferrovial 900 25,696
Iberdrola 10,400 173,491
Iberia Lineas Aereas de Espana 5,400 13,183
Indra Sistemas 1,300 14,629
Industria de Diseno Textil 3,108 64,204
NH Hoteles 665 (a) 7,646
Promotora de Informaciones 1,300 14,417
Repsol YPF 12,400 216,225
Sacyr Vallehermoso 1,470 19,584
Sociedad General de Aguas de Barcelona 831 10,945
Telefonica 63,216 (a) 786,328
Telefonica Publicidad e Informacion 1,800 9,060
Union Fenosa 2,519 40,704
Zeltia 1,600 (b) 11,365
3,080,631
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SWEDEN--2.2%
AB SKF, Cl. A 318 11,251
AB SKF, Cl. B 1,200 42,457
Alfa Laval 900 11,883
Assa Abloy, Cl. B 4,200 41,457
Atlas Copco, Cl. A 1,500 (b) 52,687
Atlas Copco, Cl. B 1,000 32,689
Axfood 300 5,999
Billerud 600 8,615
Castellum 600 11,960
Drott, Cl. B 700 11,351
Electrolux, Cl. B 4,100 84,093
Eniro 1,900 15,223
Gambro, Cl. A 2,332 17,339
Gambro, Cl. B 1,300 9,749
Getinge, Cl. B 400 14,639
Hennes & Mauritz, Cl. B 6,300 133,659
Hoganas, Cl. B 500 9,807
Holmen, Cl. B 600 20,113
Modern Times, Cl. B 600 (a) 11,268
Nordea 32,800 203,506
OMHEX 550 5,640
SAS 1,500 (a) 13,172
SSAB Svenskt Stal, Ser. A 900 13,152
Sandvik 3,127 92,998
Sapa 200 4,358
Securitas, Cl. B 4,120 50,702
Skandia Forsakrings 11,890 43,592
Skandinaviska Enskilda Banken, Cl. A 6,720 80,976
Skanska, Cl. B 5,600 38,765
Svenska Cellulosa, Cl. B 2,670 100,799
Svenska Handelsbanken, Cl. A 7,700 135,722
Svenska Handelsbanken, Cl. B 600 10,191
Swedish Match 5,264 42,850
Telefonaktiebolaget LM Ericsson, Cl. B 195,534 (a) 335,881
Tele2, Cl. B 1,175 (a) 59,120
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED)
Sweden (continued)
TeliaSonera 22,154 96,842
Trelleborg, Cl. B 1,200 17,537
Volvo, Cl. A 1,522 40,875
Volvo, Cl. B 3,015 84,256
WM-data, Cl. B 5,000 (a) 9,743
2,026,916
SWITZERLAND--7.0%
ABB 13,158 (a) 77,351
Adecco 1,754 103,439
Ciba Specialty Chemicals 1,000 66,162
Clariant 2,200 (a) 30,973
Compagnie Financiere Richemont 7,130 160,450
Credit Suisse 15,826 557,617
Geberit 48 19,770
Givaudan 97 43,729
Holcim 1,895 79,754
Kudelski 435 (a) 12,672
Kuoni Reisen 30 9,357
Logitech International 516 (a) 20,673
Lonza 480 23,544
Nestle 5,467 1,203,653
Nobel Biocare 300 26,805
Novartis 31,970 1,218,612
Roche Holding (Bearer) 450 56,109
Roche Holding-Genusschein 9,444 781,489
SGS Societe Generale de Surveillance 65 36,702
Schindler 73 (a) 16,400
Serono 96 66,284
Sulzer 22 5,231
Swatch (Bearer) 420 44,741
Swatch (Reg'd) 920 19,635
Swiss Re 4,284 269,645
Swisscom 340 98,918
Syngenta 1,509 80,854
Synthes-Stratec 61 56,005
UBS 15,898 976,250
Unaxis 100 13,068
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND (CONTINUED)
Valora 49 11,339
Zurich Financial Services 1,922 (a) 246,124
6,433,355
UNITED KINGDOM--25.3%
AMEC 3,500 15,116
ARM 13,750 (a) 26,541
Aegis 14,500 24,544
Aggreko 3,100 8,312
Alliance Unichem 2,700 24,627
Amersham 9,590 119,368
Amvescap 9,350 74,017
Associated British Ports 4,300 31,012
AstraZeneca 22,953 1,078,139
Aviva 30,014 246,257
BAA 14,860 117,510
BAE SYSTEMS 40,698 126,384
BBA 6,283 27,694
BG 46,946 214,100
BHP Billiton 32,826 257,771
BOC 6,573 89,623
BP 296,943 2,060,940
BPB 7,500 42,350
BT 115,319 363,006
Balfour Beatty 6,400 20,798
Barclays 87,808 740,559
Barratt Developments 3,100 25,777
Berkeley 1,755 22,785
Boots 10,794 130,508
Brambles Industries 10,050 30,442
British Airways 7,201 (a) 25,417
British American Tobacco 21,333 257,932
British Land 6,100 53,543
British Sky Broadcasting 16,706 (a) 181,435
Bunzl 6,103 47,640
Cable & Wireless 34,333 79,381
Cadbury Schweppes 27,355 175,352
Canary Wharf 7,700 30,608
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Capita 9,000 37,761
Carlton Communications 9,078 33,275
Carnival 2,305 79,598
Cattles 3,800 20,570
Celltech 3,820 (a) 29,754
Centrica 56,593 177,185
Close Brothers 1,914 23,489
Compass 29,301 168,932
Cobham 1,475 29,590
Daily Mail and General Trust 3,900 38,087
Davis Service 2,300 14,792
De La Rue 2,707 12,885
Diageo 41,250 485,094
Dixons 26,669 61,435
EMAP 3,515 47,748
EMI 10,600 31,478
Enterprise Inns 1,920 27,548
Electrocomponents 5,786 34,169
Exel 4,112 52,927
FKI 8,710 17,071
FirstGroup 5,500 28,116
Friends Provident 21,760 50,680
GKN 10,550 49,412
GUS 13,160 160,789
George Wimpey 5,200 28,855
GlaxoSmithKline 80,398 1,721,764
Granada 36,817 73,254
Great Portland Estates 3,000 11,989
HBOS 50,193 583,875
HSBC 145,677 2,187,778
Hammerson 3,700 37,390
Hanson 9,977 69,076
Hays 22,570 46,726
Hilton 22,099 72,752
IMI 4,685 27,508
Imperial Chemical Industries 15,854 52,125
Imperial Tobacco 10,086 167,218
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
InterContinental Hotels 9,960 90,381
International Power 14,403 (a) 32,568
Invensys 44,309 22,557
Johnson Matthey 2,662 44,360
Kelda 4,733 35,681
Kesa Electricals 7,350 30,433
Kidde 9,000 15,387
Kingfisher 30,402 145,744
Land Securities 6,245 95,483
Legal & General 89,071 157,195
Liberty International 2,910 31,431
Lloyds TSB 74,254 515,677
LogicaCMG 10,017 52,185
MFI Furniture 6,200 17,070
Man 3,705 91,102
Marks & Spencer 31,505 153,838
Misys 8,027 40,864
Mitchells & Butlers 9,960 (a) 39,296
National Grid Transco 40,922 261,278
Next 3,627 72,627
Novar 7,400 16,639
Pearson 10,931 113,151
Peninsular and Oriental Steam Navigation 9,073 42,571
Persimmon 3,000 23,647
Pilkington 16,852 24,879
Provident Financial 3,264 35,809
Prudential 26,988 209,408
RMC 3,796 39,616
Rank 7,746 36,805
Reckitt Benckiser 7,867 165,539
Reed Elsevier 17,285 134,340
Rentokil Initial 25,500 96,605
Reuters 19,052 83,008
Rexam 6,100 44,511
Rio Tinto 14,177 343,784
Rolls-Royce 21,225 68,344
Royal & Sun Alliance Insurance 38,302 57,034
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Royal Bank of Scotland 37,565 1,006,548
SABMiller 10,627 89,762
SSL International 1,900 9,511
Safeway 14,440 71,061
Sage 18,008 56,992
Sainsbury (J) 19,850 95,411
Schroders 1,845 23,466
Scottish & Newcastle 10,827 63,524
Scottish & Southern Energy 11,609 120,859
Scottish Power 25,637 152,266
Securicor 7,565 11,201
Serco 5,682 17,151
Severn Trent 4,888 58,726
Shell Transport & Trading 129,874 811,034
Signet 22,793 40,032
Slough Estates 6,000 39,047
Smith & Nephew 12,353 98,157
Smiths 7,270 86,543
Stagecoach 12,000 15,833
Tate & Lyle 5,102 26,688
Taylor Woodrow 6,900 26,228
Tesco 96,258 385,903
3i 8,313 87,462
Tomkins 10,560 50,355
Unilever 36,786 313,681
United Business Media 3,894 30,661
United Utilities 7,401 59,186
United Utilities A Shares 4,111 (a) 19,429
Vodafone 915,909 1,923,386
WPP 15,830 150,834
Whitbread 3,754 47,841
William Hill 5,600 32,215
Wolseley 7,834 96,015
Yell 5,000 (a) 24,351
23,184,389
TOTAL COMMON STOCKS
(cost $84,242,322) 89,052,380
PREFERRED STOCKS--.5% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--.2%
News Corporation 28,516 209,822
GERMANY--.3%
Fresenius Medical Care 300 12,311
Henkel KGaA 800 58,599
Porsche 100 49,058
ProSiebenSat.1 Media 1,500 23,052
RWE 546 13,393
Volkswagen 1,490 50,751
Wella 200 15,929
223,093
TOTAL PREFERRED STOCKS
(cost $396,412) 432,915
- ------------------------------------------------------------------------------------------------------------------------------------
OTHER INVESTMENTS--2.2%
- ------------------------------------------------------------------------------------------------------------------------------------
REGISTERED INVESTMENT COMPANIES:
Dreyfus Institutional Cash Advantage Fund 666,666 (c) 666,666
Dreyfus Institutional Cash Advantage Plus Fund 666,667 (c) 666,667
Dreyfus Institutional Preferred Plus Money Market Fund 666,667 (c) 666,667
TOTAL OTHER INVESTMENTS
(cost $2,000,000) 2,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--.4% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BILL;
..85%, 12/11/2003
(cost $399,587) 400,000 (d) 399,632
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES LOANED--1.0% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
REGISTERED INVESTMENT COMPANY;
Dreyfus Institutional Preferred Money Market Fund
(cost $896,439) 896,439 896,439
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $87,934,760) 101.2 92,781,366
LIABILITIES, LESS CASH AND RECEIVABLES (1.2) (1,050,650)
NET ASSETS 100.0 91,730,716
(A) NON-INCOME PRODUCING.
(B) A PORTION OF THESE SECURITIES ARE ON LOAN. AT OCTOBER 31, 2003, THE TOTAL
MARKET VALUE OF THE PORTFOLIO'S SECURITIES ON LOAN IS $880,199 AND THE
TOTAL MARKET VALUE OF THE COLLATERAL HELD BY THE PORTFOLIO IS $909,653,
CONSISTING OF CASH COLLATERAL OF $896,439 AND U.S. GOVERNMENT AND AGENCY
SECURITIES VALUED AT $13,214.
(C) INVESTMENTS IN AFFILIATED MONEY MARKET MUTUAL FUNDS--SEE NOTE 3(D).
(D) WHOLLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN
FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF FINANCIAL FUTURES
October 31, 2003
Market Value Unrealized
Covered by Appreciation
Contracts Contracts ($) Expiration at 10/31/2003 ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG
DJ Euro STOXX 50 5 150,253 December 2003 3,601
Morgan Stanley Capital
International Pan-Euro 78 1,392,768 December 2003 1,404
S&P ASX 200 3 173,432 December 2003 3,103
TOPIX 5 475,963 December 2003 5,340
13,448
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2003
Cost Value
- ---------------------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of Investments
(including securities loaned valued at $880,199)--Note 1(c) 87,934,760 92,781,366
Cash 229,434
Cash denominated in foreign currencies 30,925 31,048
Receivable for shares of Common Stock subscribed 170,714
Dividends and interest receivable 162,542
Receivable for investment securities sold 80,334
Net unrealized appreciation on forward currency
exchange contracts--Note 4 59,596
93,515,034
- ---------------------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 47,090
Liability for securities loaned--Note 1(c) 896,439
Payable for investment securities purchased 655,995
Payable for shares of Common Stock redeemed 180,809
Payable for futures variation margin--Note 4 3,985
1,784,318
- ---------------------------------------------------------------------------------------------
NET ASSETS ($) 91,730,716
- ---------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 103,826,884
Accumulated undistributed investment income--net 2,191,324
Accumulated net realized gain (loss) on investments (19,218,130)
Accumulated net unrealized appreciation (depreciation)
on investments and foreign currency transactions
(including $13,448 net unrealized appreciation
on financial futures) 4,930,638
- ---------------------------------------------------------------------------------------------
NET ASSETS ($) 91,730,716
- ---------------------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 8,407,548
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 10.91
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF OPERATIONS
Year Ended October 31, 2003
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $229,876 foreign taxes withheld at source) 2,073,180
Income from securities lending 65,072
Interest 11,810
TOTAL INCOME 2,150,062
EXPENSES:
Management fee--Note 3(a) 291,673
Shareholder servicing costs--Note 3(b) 208,338
Interest expense--Note 2 944
Loan commitment fees--Note 2 915
TOTAL EXPENSES 501,870
INVESTMENT INCOME--NET 1,648,192
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments and foreign currency
transactions (4,834,333)
Net realized gain (loss) on forward currency exchange contracts 880,487
Net realized gain (loss) on financial futures 124,557
NET REALIZED GAIN (LOSS) (3,829,289)
Net unrealized appreciation (depreciation) on investments
and foreign currency transactions [including ($262,476)
net unrealized (depreciation) on financial futures] 21,513,616
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 17,684,327
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 19,332,519
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
-----------------------------------
2003 2002
- --------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 1,648,192 1,161,572
Net realized gain (loss) on investments (3,829,289) (7,433,789)
Net unrealized appreciation (depreciation)
on investments 21,513,616 (5,466,179)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 19,332,519 (11,738,396)
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
INVESTMENT INCOME--NET (1,799,886) (842,448)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 115,901,585 159,214,473
Dividends reinvested 1,503,823 654,324
Cost of shares redeemed (125,331,776) (137,547,364)
Redemption fee 33,357 6,537
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS (7,893,011) 22,327,970
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,639,622 9,747,126
- --------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 82,091,094 72,343,968
END OF PERIOD 91,730,716 82,091,094
Undistributed investment income--net 2,191,324 1,454,803
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 12,967,368 15,845,097
Shares issued for dividends reinvested 173,853 61,729
Shares redeemed (13,968,800) (13,495,421)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING (827,579) 2,411,405
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
Year Ended October 31,
----------------------------------------------------------------------
2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
Net asset value, beginning of period 8.89 10.60 14.18 14.95 12.25
Investment Operations:
Investment income--net(a) .18 .15 .15 .19 .17
Net realized and unrealized
gain (loss) on investments 2.04 (1.73) (3.74) (.78) 2.62
Total from Investment Operations 2.22 (1.58) (3.59) (.59) 2.79
Distributions:
Dividends from investment income--net (.20) (.13) -- (.18) (.09)
Redemption fee reimbursement .00(b) .00(b) .01 .00(b) --
Net asset value, end of period 10.91 8.89 10.60 14.18 14.95
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 25.49 (15.12) (25.25) (4.09) 22.87
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net assets .60 .60 .60 .60 .60
Ratio of net investment income
to average net assets 1.98 1.44 1.26 1.21 1.27
Portfolio Turnover Rate 11.37 24.12 30.02 15.32 9.01
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ x 1,000) 91,731 82,091 72,344 51,619 37,504
(A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
(B) AMOUNT REPRESENTS LESS THAN $.01 PER SHARE.
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
NOTES TO FINANCIAL STATEMENTS
NOTE 1--SIGNIFICANT ACCOUNTING POLICIES:
Dreyfus International Stock Index Fund (the "fund") is a separate
non-diversified series of Dreyfus Index Funds, Inc. (the "Company") which is
registered under the Investment Company Act of 1940, as amended (the "Act"), as
an open-end management investment company and operates as a series company
currently offering three series including the fund. The fund's investment
objective is to provide investment results that correspond to the net dividend
and total return performance of equity securities of international issuers in
the aggregate, as represented by the Morgan Stanley Capital International
Europe, Australia, Far East (Free) Index. The Dreyfus Corporation (the "
Manager") serves as the fund' s investment adviser. The Manager is a
wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary
of Mellon Financial Corporation. Dreyfus Service Corporation (the "Distributor",
a wholly-owned subsidiary of the Manager, is the distributor of the fund's
shares, which are sold to the public without a sales charge.
The fund' s financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
(A) PORTFOLIO VALUATION: Investments in securities (including financial futures)
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. Effective April 14, 2003, the fund began pricing securities
traded on the NASDAQ stock market using the NASDAQ official closing price.
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. Bid price is used when no asked price is
available. Securities for which there are no such valuations are valued at fair
value as determined in good faith under the direction of the Board of Directors
Investments denominated in foreign currencies are translated to U.S. dollars at
the prevailing rates of exchange. Forward currency exchange contracts are valued
at the forward rate.
(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 market prices of
securities held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
Net realized foreign exchange gains or losses arise from sales and maturities of
short-term securities, sales of foreign currencies, currency gains or losses
realized on securities transactions 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 in securities, resulting from
changes in exchange rates. Such gains and losses are 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 gain and loss 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, amortization of discount and premium on investments, is recognized
on the accrual basis.
The fund may lend securities to qualified institutions. At origination, all
loans are secured by cash collateral of at least 102% of the value of U.S.
securities loaned and 105% of the value of foreign securities loaned. Collateral
equivalent to at least 100% of the market value of securities on loan will be
maintained at all times. Cash collateral is invested in certain money market
mutual funds managed by the Manager as shown in the Statement of Investment. The
fund will be
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
entitled to receive all income on securities loaned, in addition to income
earned as a result of the lending transaction. Although each security loaned is
fully collateralized, the fund would bear the risk of delay in recovery of, or
loss of rights in, the securities loaned should a borrower fail to return the
securities in a timely manner.
(D) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain, 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 gain 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 incomes tax
regulations, which may differ from accounting principles generally accepted in
the United States of America.
(E) 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.
At October 31, 2003, the components of accumulated earnings on a tax basis were
as follows: undistributed ordinary income $2,365,445, accumulated capital losses
$13,283,414 and unrealized depreciation $1,178,199.
The accumulated capital loss carryover is available is available to be applied
against future net securities profits, if any, realized subsequent to October
31, 2003. If not applied, $58,106 of the carryover expires in fiscal 2005,
$167,514 expires in fiscal 2006, $2,874,348 expires in fiscal 2009, $5,891,135
expires in fiscal 2010 and $4,292,311 expires in fiscal 2011.
The tax character of distributions paid to shareholders during the fiscal
periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary
income $1,799,886 and $842,448, respectively.
During the period ended October 31, 2003, as a result of permanent book to tax
differences, the fund increased accumulated undistributed investment income-net
by $888,215, decreased accumulated net realized gain (loss) on investments by
$854,858 and decreased paid-in capital by $33,357. Net assets were not affected
by this reclassification
NOTE 2--BANK LINE OF CREDIT:
The fund participates with other Dreyfus-managed funds in a $350 million
redemption credit facility (the "Facility" ) to be utilized for temporary or
emergency purposes, including the financing of redemptions. In connection
therewith, the fund has agreed to pay commitment fees on its pro rata portion of
the Facility. Interest is charged to the fund based on prevailing market rates
in effect at the time of borrowings.
The average daily amount of borrowings outstanding under the Facility during the
period ended October 31, 2003 was approximately $57,000, with a related weighted
average annualized interest rate of 1.66%.
NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
(A) Pursuant to an Investment Management Agreement ("Agreement") with the
Manager, the management fee is computed at the annual rate of .35 of 1% of the
value of the fund's average daily net assets, and is payable monthly. Under the
terms of the Agreement, the Manager has agreed to pay all the expenses of the
fund, except management fees, brokerage commissions, taxes, commitment fees,
interest, Shareholder Services Plan fees, fees and expenses of non-interested
Board Members (including counsel fees) and extraordinary expenses. In addition,
the Manager is required to reduce its fee in an amount equal to the fund's
allocable portion of fees and expenses of the non-interested Board
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Members (including counsel fees). Each Board member also serves as a Board
Member of other funds within the Dreyfus complex (collectively, the "Fund
Group"). Each Board member receives an annual fee of $25,000, an attendance fee
of $4,000 for each in-person meeting and $500 for telephone meetings. The
chairman of the Board receives an additional 25% of such compensation (with the
exception of reimbursable amounts). Subject to the Company's Emeritus Program
Guidelines, Emeritus Board members, if any, receive 50% of the Company's annual
retainer fee and per meeting fee paid at the time the Board member achieves
emeritus status. Amounts required to be paid by the Company directly to the
non-interested Board members, that were applied to offset a portion of the
management fee payable to the Manager were in fact paid directly by the Manager
to the non-interested Board members. All Board fees are allocated among the
funds in the Fund Group in proportion to each fund's relative net assets. This
amount for the period ended October 31, 2003 was $2,365.
(B) Under the Shareholder Services Plan, the fund pays the Distributor for the
provision of certain services, a fee at the annual rate of .25 of 1% of the
value of the fund's average daily net assets. The services provided may include
personal services relating to shareholder accounts, such as answering
shareholder inquiries regarding the fund and providing reports and other
information, and services related to the maintenance of shareholder accounts.
The Distributor may make payments to Service Agents (a securities dealer,
financial institution or other industry professional) in respect of these
services. The Distributor determines the amounts to be paid to Service Agents.
During the period ended October 31, 2003, the fund was charged $208,338 pursuant
to the Shareholder Services Plan.
(C) A 1% redemption fee is charged and retained by the fund on shares redeemed
within six months following the date of issuance, including redemptions made
through the use of the fund's exchange privilege.
(D) Pursuant to an exemptive order from the Securities and Exchange Commission,
the fund invests it available cash balances in affiliated money market mutual
funds as shown in the fund's Statement of Investments. Management fees are not
charged to these accounts. During the period ended October 31, 2003, the fund
derived $37,605 in income from these investments, which is included as dividend
income in the fund's Statement of Operations.
NOTE 4--SECURITIES TRANSACTIONS:
The aggregate amount of purchases and sales of investment securities, excluding
short-term securities, forward currency exchange contracts and financial
futures, during the period ended October 31, 2003, amounted to $8,895,980 and
$10,500,621, respectively.
The fund may enter into forward currency exchange contracts in order to hedge
its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings and to settle foreign currency transactions. When executing
forward currency exchange contracts, the fund is obligated to buy or sell a
foreign currency at a specified rate on a certain date in the future. With
respect to sales of forward currency exchange contracts, the fund would incur a
loss if the value of the contract increases between the date the forward
contract is opened and the date the forward contract is closed. The fund
realizes a gain if the value of the contract decreases between those dates. With
respect to purchases of forward currency exchange contracts, the fund would
incur a loss if the value of the contract decreases between the date the forward
contract is opened and the date the forward contract is closed. The fund
realizes a gain if the value of the contract increases between those dates. The
fund is also exposed to credit risk associated with counter party nonperformance
on these forward currency exchange contracts which is typically limited to the
unrealized gain on each open contract.
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The following summarizes open forward currency exchange contracts at October 31,
2003:
Foreign Unrealized
Forward Currency Currency Appreciation
Exchange Contracts Amounts Cost ($) Value ($) (Depreciation)($)
- ------------------------------------------------------------------------------------------------------------------------------------
PURCHASES:
Australian Dollar,
expiring 11/3/2003 24,088 16,987 17,092 105
Australian Dollar,
expiring 11/5/2003 49,983 35,358 35,465 107
Australian Dollar,
expiring 12/18/2003 207,866 136,441 146,785 10,344
British Pound,
expiring 11/3/2003 72,669 123,596 123,317 (279)
Danish Krone,
expiring 11/3/2003 52,769 8,302 8,252 (50)
Euro,
expiring 11/3/2003 84,161 98,410 97,837 (573)
Euro,
expiring 11/4/2003 13,927 16,288 16,190 (98)
Euro,
expiring 11/5/2003 7,198 8,360 8,368 8
Euro,
expiring 12/18/2003 1,247,872 1,406,145 1,448,779 42,634
Hong Kong Dollar,
expiring 11/3/2003 146,547 18,878 18,871 (7)
Japanese Yen,
expiring 11/4/2003 8,258,127 76,408 75,118 (1,290)
Japanese Yen,
expiring 11/5/2003 18,103,046 167,326 164,670 (2,656)
Japanese Yen,
expiring 12/18/2003 46,937,172 415,769 427,615 11,846
New Zealand Dollar,
expiring 11/4/2003 12,162 7,471 7,473 2
Singapore Dollar,
expiring 11/3/2003 15,782 9,086 9,065 (21)
Singapore Dollar,
expiring 11/4/2003 11,904 6,878 6,838 (40)
Swedish Krona,
expiring 11/3/2003 46,396 6,024 5,948 (76)
Swiss Franc,
expiring 11/3/2003 71,934 54,229 53,869 (360)
TOTAL 59,596
The fund may invest in financial futures contracts in order to gain exposure to
or protect against changes in the market. The fund is exposed to market risk as
a result of changes in the value of the underlying financial instruments.
Investments in financial futures require the fund to "mark to market" on a daily
basis, which reflects the change in the market value of the contract at the
close of each day's trading. Typically, variation margin payments are received
or made to reflect daily unrealized gains or losses. When the contracts are
closed, the fund recognizes a realized gain or loss. These investments require
initial margin deposits with a broker, which consist of cash or cash
equivalents, up to approximately 10% of the contract amount. 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. Contracts open as of October 31, 2003, are
set forth in the Statement of Financial Futures.
At October 31, 2003, the cost of investments for federal income tax purposes was
$93,983,883; accordingly, accumulated net unrealized depreciation on investments
was $1,202,517, consisting of $12,739,883 gross unrealized appreciation and
$13,942,400 gross unrealized depreciation.
The Fund
REPORT OF INDEPENDENT AUDITORS
To the Board of Directors and Shareholders of Dreyfus International Stock Index
Fund
In our opinion, the accompanying statement of assets and liabilities,
including the statements of investments and financial futures, and the related
statements of operations and of changes in net assets and financial highlights
present fairly, in all material respects, the financial position of Dreyfus
International Stock Index Fund (the "Fund") (one of the series constituting
Dreyfus Index Funds, Inc.), as of October 31, 2003, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these f inancial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities owned at October 31, 2003 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion. .
PricewaterhouseCoopers LLP
New York, New York
December 12, 2003
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder
with their portion of the fund's foreign taxes paid and the income sourced from
foreign countries. Accordingly, the fund hereby makes the following designations
regarding its fiscal year ended October 31, 2003:
--the total amount of taxes paid to foreign countries was $142,417
--the total amount of income sourced from foreign countries was $1,926,058
As required by Federal tax law rules, shareholders will receive notification of
their proportionate share of foreign taxes paid and foreign sourced income for
the 2003 calendar year with Form 1099-DIV which will be mailed by January 31,
2004.
The Fund
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (60)
Chairman of the Board (1995)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director and Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* The Muscular Dystrophy Association, Director
* Levcor International, Inc., an apparel fabric processor, Director
* Century Business Services, Inc., a provider of outsourcing functions for small
and medium size companies, Director
* The Newark Group, a provider of a national market of paper recovery
facilities, paperboard mills and paperboard converting plants, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191
--------------
David P. Feldman (63)
Board Member (1989)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director & Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* BBH Mutual Funds Group (11 funds), Director
* The Jeffrey Company, a private investment company, Director
* QMED, a medical device company, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53
--------------
Ehud Houminer (63)
Board Member (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Executive-in-Residence at the Columbia Business School, Columbia University
* Principal of Lear, Yavitz and Associates, a management consulting firm, from
1996 through 2001
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Avnet Inc., an electronics distributor, Director
* International Advisory Board to the MBA Program School of Management, Ben
Gurion University, Chairman
* Explore Charter School, Brooklyn, NY, Chairman
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25
Gloria Messinger (73)
Board Member (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Arbitrator for American Arbitration Association and National Association of
Securities Dealers, Inc.
* Consultant in Intellectual Property
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Yale Law School Fund, Director
* Theater for a New Audience, Inc., Director
* Brooklyn Philharmonic, Director
* New York Women's Agenda Music Performance Trust Fund, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
T. John Szarkowski (77)
Board Member (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Consultant in Photography
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Photography Department at The Museum of Modern Art, Director Emeritus
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
Anne Wexler (73)
Board Member (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Chairman of the Wexler Group, consultants specializing in government relations
and public affairs
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Wilshire Mutual Funds (5 funds), Director
* Methanex Corporation, a methanol producing company, Director
* Member of the Council of Foreign Relations
* Member of the National Park Foundation
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29
--------------
ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL
INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE
FUND' S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS
FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611.
JOHN M. FRASER, JR., EMERITUS BOARD MEMBER
The Fund
OFFICERS OF THE FUND (Unaudited)
STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000.
Chairman of the Board, Chief Executive Officer and Chief Operating Officer
of the Manager, and an officer of 95 investment companies (comprised of 189
portfolios) managed by the Manager. Mr. Canter also is a Board member and, where
applicable, an Executive Committee Member of the other investment management
subsidiaries of Mellon Financial Corporation, each of which is an affiliate of
the Manager. He is 58 years old and has been an employee of the Manager since
May 1995.
STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002.
Chief Investment Officer, Vice Chairman and a Director of the Manager, and
an officer of 95 investment companies (comprised of 189 portfolios) managed by
the Manager. Mr. Byers also is an officer, director or an Executive Committee
Member of certain other investment management subsidiaries of Mellon Financial
Corporation, each of which is an affiliate of the Manager. He is 50 years old
and has been an employee of the Manager since January 2000. Prior to joining the
Manager, he served as an Executive Vice President-Capital Markets, Chief
Financial Officer and Treasurer at Gruntal & Co., L.L.C.
MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000.
Executive Vice President, Secretary and General Counsel of the Manager, and
an officer of 96 investment companies (comprised of 205 portfolios) managed by
the Manager. He is 57 years old and has been an employee of the Manager since
June 1977.
MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000.
Associate General Counsel of the Manager, and an officer of 93 investment
companies (comprised of 198 portfolios) managed by the Manager. He is 43 years
old and has been an employee of the Manager since October 1991.
STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000.
Associate General Counsel and Assistant Secretary of the Manager, and an
officer of 96 investment companies (comprised of 205 portfolios) managed by the
Manager. He is 54 years old and has been an employee of the Manager since July
1980.
JAMES WINDELS, TREASURER SINCE NOVEMBER 2001.
Director - Mutual Fund Accounting of the Manager, and an officer of 96
investment companies (comprised of 205 portfolios) managed by the Manager. He is
45 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 44 years old and has been an employee of the Manager since September 1982.
ROBERT SVAGNA, ASSISTANT TREASURER SINCE DECEMBER 2002.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 36 years old and has been an employee of the Manager since November 1990.
KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001.
Mutual Funds Tax Director of the Manager, and an officer of 96 investment
companies (comprised of 205 portfolios) managed by the Manager. He is 49 years
old and has been an employee of the Manager since June 1993.
WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE OCTOBER 2002.
Vice President and Anti-Money Laundering Compliance Officer of the
Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment
companies (comprised of 200 portfolios) managed by the Manager. He is 33 years
old and has been an employee of the Distributor since October 1998. Prior to
joining the Distributor, he was a Vice President of Compliance Data Center, Inc
The Fund
NOTES
For More Information
Dreyfus International
Stock Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
Boston Safe Deposit
and Trust Company
One Boston Place
Boston, MA 02109
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE
Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL
Send your request to
info@dreyfus.com
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to portfolio securities is available, without charge,
by calling the telephone number listed above, or by visiting the SEC's website
at http://www.sec.gov
(c) 2003 Dreyfus Service Corporation 079AR1003
Comparison of change in value of $10,000 investment in
Dreyfus International Stock Index Fund
and the Morgan Stanley Capital International Europe, Australasia,
Far East Free Index
EXHIBIT A:
Morgan
Stanley
Capital
International
Dreyfus Europe,
International Australasia,
Stock Far East
PERIOD Index Free
Fund Index *
6/30/97 10,000 10,000
10/31/97 9,016 9,154
10/31/98 9,889 10,037
10/31/99 12,151 12,330
10/31/00 11,654 11,972
10/31/01 8,712 8,988
10/31/02 7,394 7,800
10/31/03 9,279 9,908
* Source: Lipper Inc.
Dreyfus S&P 500
Index Fund
ANNUAL REPORT October 31, 2003
YOU, YOUR ADVISOR AND
DREYFUS
A MELLON FINANCIAL COMPANY(SM)
The views expressed in this report reflect those of the portfolio manager 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
- --------------------------------------------------
2 Letter from the Chairman
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
22 Statement of Financial Futures
23 Statement of Assets and Liabilities
24 Statement of Operations
25 Statement of Changes in Net Assets
26 Financial Highlights
27 Notes to Financial Statements
33 Report of Independent Auditors
34 Important Tax Information
35 Proxy Results
36 Board Members Information
38 Officers of the Fund
FOR MORE INFORMATION
- ---------------------------------------------------------------------------
Back Cover
The Fund
Dreyfus
S&P 500 Index Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder:
This annual report for Dreyfus S&P 500 Index Fund covers the 12-month period
from November 1, 2002, through October 31, 2003. Inside, you'll find valuable
information about how the fund was managed during the reporting period,
including a discussion with the fund' s portfolio manager, Tom Durante, who
became the fund's sole portfolio manager on September 15, 2003.
Recent estimates of greater than expected U.S. Gross Domestic Product annualized
growth during the third quarter of 2003 suggest that the economy has started to
turn the corner. Tax cuts and low mortgage rates have put cash in consumers'
pockets, and corporations have begun to increase spending and investment. As a
result, stocks rallied over the reporting period, posting gains in virtually
every market sector and capitalization range.
We have seen strong quarters before, only to be disappointed when growth proved
unsustainable. Based on recent data, we are cautiously optimistic about the
current economic environment. As always, we urge you to speak regularly with
your financial advisor, who may be in the best position to suggest investments
that are right for your current needs, future goals and attitudes toward risk.
Thank you for your continued confidence and support.
Sincerely,
/S/STEPHEN E. CANTER
Stephen E. Canter
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 17, 2003
DISCUSSION OF FUND PERFORMANCE
Tom Durante, Portfolio Manager
How did Dreyfus S&P 500 Index Fund perform relative to its benchmark?
For the 12-month period ended October 31, 2003, the fund produced a total return
of 20.22% .(1) The Standard & Poor's 500 Composite Stock Price Index (the "S&P
500 Index" ), the fund' s benchmark, produced a 20.80% return for the same
period.(2,3)
We are pleased to report that the fund and market's performance improved
significantly, most notably during the second half of the reporting period, when
rising stock prices were driven by the return of investor confidence in an
improving economic environment. All 10 industry groups within the S&P 500 Index
produced positive returns for the reporting period. The difference in returns
between the fund and the S&P 500 Index was primarily the result of transaction
costs and other operating expenses.
WHAT IS THE FUND'S INVESTMENT APPROACH?
The fund seeks to match the total return of the S&P 500 Index. To pursue this
goal, the fund generally invests in all 500 stocks in the S&P 500 Index in
proportion to their weighting in the S&P 500 Index. Often considered a barometer
for the stock market in general, the S&P 500 Index is made up of 500 widely held
common stocks across 10 economic sectors. The S&P 500 Index is dominated by
large-cap, blue-chip stocks that comprise nearly 75% of total U.S. market
capitalization.
However, it is important to note that the S&P 500 Index is not composed of the
500 largest companies; rather, it is designed to reflect the industries of the
U.S. economy. Each stock is weighted by its market capitalization; that is,
larger companies have greater representation in the S&P 500 Index than smaller
ones. The fund may also use stock index futures as a substitute for the sale or
purchase of stocks.
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
As an index fund, the fund uses a passive management approach; all investment
decisions are made based on the composition of the S&P 500 Index. The fund does
not attempt to manage market volatility.
WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE?
During the first six months of the reporting period, the fund's performance was
adversely influenced by a generally weak U.S. economy, uncertainty surrounding
the impending war with Iraq and questionable accounting and corporate oversight
practices at a number of large-cap companies. As a result, investor sentiment
largely remained negative through the first quarter of 2003 and many investors
became increasingly risk-averse, preferring the relative safety of bonds over
the greater perceived risks of stocks.
By mid-March, however, the investment climate began to improve. A veil of
uncertainty was lifted from the U.S. economy when the allied coalition entered
Baghdad, and investors began to look forward to a resumption of stronger
economic growth. Investor confidence was further supported by stimulative
policies from the Federal Reserve Board and the Bush Administration. Short-term
interest rates fell to 45-year lows, putting cash in homeowners' pockets amid a
surge of refinancing activity. The reduction in federal income taxes enacted by
Congress also supported stronger consumer spending. As a result, the stock
market began a sustained rally that continued through the end of the reporting
period.
Stocks producing the highest returns during the reporting period generally fell
into two categories. The first included those stocks that had been severely
punished during the bear market, such as many technology companies, large
financial services companies and some banks. Within the technology area,
semiconductor stocks posted the strongest returns during the reporting period,
primarily because investors became more confident of a long-awaited return of
corporate spending. Electronic equipment stocks also performed well, due to
greater demand for wireless computer and cellular telephone products. Within the
financial services group, large banks rebounded sharply, mostl
because certain legal and regulatory issues were resolved. The second category
of stocks that influenced a strong market performance included stocks benefiting
from strong consumer spending: retailers, especially higher-end clothing stores;
automobile manufacturers; and homebuilders.
On the other hand, most large pharmaceutical companies continued to suffer from
ongoing regulatory concerns, the effects of patent expirations on major
products, and increased competition from generic drug makers. While these stocks
generally posted modestly negative returns, they were more than offset by gains
in other areas of the health care group, enabling the sector to produce overall
positive returns for the reporting period.
WHAT IS THE FUND'S CURRENT STRATEGY?
As an index fund, our strategy remains the same: to attempt to replicate the
returns of the S& P 500 Index. Accordingly, as of October 31, 2003, the
percentage of the fund's assets invested in each industry closely approximated
its representation in the S&P 500 Index. While we have been pleased with the
recent strong performance of large-cap stocks, we remain aware that the stock
market has been subject to heightened volatility for some time now. In our view,
one of the greatest benefits of broadly diversified index funds is that they can
help investors control risks by limiting the impact on the overall portfolio of
unexpected losses in any single industry group or holding.
November 17, 2003
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
(2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF DIVIDENDS DAILY AND, WHERE
APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE STANDARD & POOR'S 500 COMPOSITE
STOCK PRICE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK
MARKET PERFORMANCE.
(3) "STANDARD & POOR'S," "S&P," "STANDARD & POOR'S 500" AND "S&P 500" ARE
TRADEMARKS OF THE MCGRAW-HILL COMPANIES, INC., AND HAVE BEEN LICENSED FOR
USE BY THE FUND. THE FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY
STANDARD & POOR'S AND STANDARD & POOR'S MAKES NO REPRESENTATION REGARDING
THE ADVISABILITY OF INVESTING IN THE FUND.
The Fund
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index
Fund and the Standard & Poor's 500 Composite Stock Price Index
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 10/31/03
1 Year 5 Years 10 Years
- ------------------------------------------------------------------------------------------------------------------------------------
FUND 20.22% 0.00% 9.82%
((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE
SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS S&P 500 INDEX FUND
ON 10/31/93 TO A $10,000 INVESTMENT MADE IN THE STANDARD & POOR'S 500 COMPOSITE
STOCK PRICE INDEX (THE "INDEX") ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS ARE REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK
MARKET PERFORMANCE AND REFLECTS THE REINVESTMENT OF DIVIDENDS DAILY. THE INDEX
DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION
RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE,
IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE
IN THIS REPORT.
STATEMENT OF INVESTMENTS
October 31, 2003
COMMON STOCKS--97.0% Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
ALCOHOL & TOBACCO--1.5%
Adolph Coors, Cl. B 10,200 571,710
Altria Group 568,300 26,425,950
Anheuser-Busch Cos 231,500 11,403,690
Brown-Forman, Cl. B 17,000 1,434,460
R.J. Reynolds Tobacco Holdings 23,600 1,133,508
UST 46,600 1,585,332
42,554,650
CONSUMER CYCLICAL--10.3%
Albertson's 102,772 2,085,244
AutoNation 77,000 (a) 1,439,900
AutoZone 25,100 (a) 2,412,110
Bed Bath & Beyond 82,800 (a) 3,497,472
Best Buy 90,250 5,262,477
Big Lots 32,700 (a) 490,827
Brunswick 25,400 753,618
CVS 110,500 3,887,390
Cendant 283,870 (a) 5,799,464
Circuit City Stores--Circuit City Group 58,500 558,090
Cooper Tire & Rubber 20,600 404,996
Costco Wholesale 128,000 (a) 4,527,360
Dana 41,659 678,209
Darden Restaurants 46,050 964,747
Delphi 156,969 1,397,024
Delta Air Lines 34,500 449,190
Dillard's, Cl. A 23,400 378,378
Dollar General 93,408 2,098,878
Eastman Kodak 80,200 1,959,286
Eaton 21,000 2,105,040
Family Dollar Stores 48,200 2,102,002
Federated Department Stores 51,900 2,467,845
Ford Motor 512,992 6,222,593
Gap 250,125 4,772,385
General Motors 157,000 (b) 6,699,190
Genuine Parts 48,700 1,549,634
Harley-Davidson 84,700 4,015,627
Harrah's Entertainment 30,800 1,339,800
Hasbro 48,600 1,059,480
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Hilton Hotels 105,700 1,674,288
Home Depot 643,503 23,854,656
International Game Technology 96,600 3,163,650
J. C. Penney 76,000 1,797,400
Johnson Controls 25,100 2,699,003
Jones Apparel Group 35,400 1,221,300
Kohl's 95,100 (a) 5,332,257
Kroger 210,400 (a) 3,679,896
Leggett & Platt 53,900 1,125,971
Limited Brands 146,000 2,569,600
Liz Claiborne 30,500 1,125,145
Lowe's Cos 219,400 12,929,242
Marriott International, Cl. A 65,200 2,816,640
Mattel 122,900 2,379,344
May Department Stores 80,750 2,257,770
Maytag 22,000 558,800
McDonald's 356,300 8,911,063
NIKE, Cl. B 73,800 4,715,820
Navistar International 19,100 (a) 772,213
Nordstrom 38,000 1,158,620
Office Depot 86,800 (a) 1,295,924
PACCAR 32,600 2,574,096
RadioShack 46,400 1,391,536
Reebok International 16,500 642,675
Safeway 123,600 2,607,960
Sears, Roebuck & Co 79,200 (a) 4,168,296
Southwest Airlines 219,218 4,252,829
Staples 137,250 (a) 3,681,045
Starbucks 109,500 (a) 3,460,200
Starwood Hotels & Resorts Worldwide 56,300 1,898,999
TJX Cos 142,900 2,999,471
Target 255,000 10,133,700
Tiffany & Co 40,700 1,931,215
Toys R Us 59,700 (a) 776,100
V. F 30,100 1,277,745
Visteon 36,615 236,533
Wal-Mart Stores 1,223,400 72,119,430
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Walgreen 287,000 9,993,340
Wendy's International 31,800 1,178,190
Whirlpool 19,300 1,360,071
Winn-Dixie Stores 39,400 (b) 318,746
Yum! Brands 82,220 (a) 2,806,991
287,226,026
CONSUMER STAPLES--6.2%
Alberto-Culver, Cl. B 16,500 1,046,100
Archer-Daniels-Midland 180,560 2,591,036
Avon Products 66,136 4,494,602
Campbell Soup 114,900 2,978,208
Clorox 60,700 2,749,710
Coca-Cola 688,200 31,932,480
Coca-Cola Enterprises 126,700 2,554,272
Colgate-Palmolive 150,600 8,010,414
ConAgra Foods 150,400 3,585,536
Fortune Brands 40,700 2,651,605
General Mills 104,300 4,677,855
Gillette 285,700 9,113,830
H.J. Heinz 98,500 3,480,005
Hershey Foods 36,600 2,821,860
International Flavors
& Fragrances 26,400 873,840
Kellogg 114,300 3,786,759
Kimberly-Clark 141,900 7,493,739
McCormick & Co 39,100 1,158,924
Newell Rubbermaid 76,862 1,752,454
Pactiv 44,100 (a) 972,405
Pepsi Bottling Group 75,000 1,671,750
PepsiCo 483,200 23,106,624
Procter & Gamble 363,000 35,679,270
SUPERVALU 37,500 945,750
Sara Lee 217,600 4,336,768
Sysco 181,900 6,122,754
Tupperware 16,400 246,820
Wm. Wrigley Jr 63,000 3,553,200
174,388,570
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
ENERGY--6.0%
Amerada Hess 25,200 1,300,824
Anadarko Petroleum 69,832 3,046,072
Apache 45,275 3,156,573
BJ Services 44,300 (a) 1,453,483
Baker Hughes 93,690 2,647,679
Burlington Resources 56,245 2,735,757
CMS Energy 40,400 328,048
CenterPoint Energy 85,566 839,403
ChevronTexaco 299,268 22,235,612
ConocoPhillips 190,420 10,882,503
Devon Energy 64,900 3,147,650
Dominion Resources 90,508 5,575,293
Duke Energy 253,188 4,595,362
Dynegy, Cl. A 104,900 420,649
EOG Resources 32,200 1,356,908
El Paso 168,175 1,234,404
Exxon Mobil 1,858,276 67,975,736
Halliburton 122,600 2,927,688
Kerr-McGee 28,265 1,172,998
KeySpan 44,400 1,552,668
Kinder Morgan 34,500 1,847,475
Marathon Oil 86,800 2,566,676
Nabors Industries 41,000 (a) 1,549,800
Nicor 12,300 421,521
NiSource 73,600 1,524,256
Noble 37,400 1,283,942
Occidental Petroleum 107,200 (a) 3,779,872
Peoples Energy 10,300 416,635
Rowan Cos 26,300 (a) 629,885
Schlumberger 163,100 7,660,807
Sempra Energy 62,666 1,742,115
Sunoco 21,500 940,840
Transocean 89,600 (a) 1,719,424
Unocal 72,300 2,290,464
Williams Cos 145,100 1,480,020
168,439,042
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--12.7%
Abbott Laboratories 437,500 18,646,250
Aetna 43,079 2,473,165
Allergan 36,600 2,767,692
AmerisourceBergen 31,300 1,776,901
Amgen 361,412 (a) 22,320,805
Anthem 38,800 (a) 2,655,084
Applera-Applied Biosystems Group 58,500 1,350,180
Bausch & Lomb 14,900 717,584
Baxter International 170,500 4,531,890
Becton, Dickinson & Co 71,100 2,599,416
Biogen 41,900 (a) 1,695,693
Biomet 71,775 2,573,852
Boston Scientific 115,300 (a) 7,808,116
Bristol-Myers Squibb 542,800 13,770,836
C.R. Bard 14,500 1,160,725
Cardinal Health 125,025 7,418,984
Chiron 52,200 (a) 2,851,686
Eli Lilly & Co 314,300 20,938,666
Express Scripts 21,600 (a) 1,186,272
Forest Laboratories 102,200 (a) 5,111,022
Genzyme 62,200 (a) 2,854,980
Guidant 86,200 4,397,062
HCA 139,850 5,349,263
Health Management Associates, Cl. A 67,100 1,486,265
Humana 45,300 (a) 919,137
Johnson & Johnson 831,018 41,825,136
King Pharmaceuticals 67,466 (a) 904,044
Manor Care 24,900 828,672
McKesson 81,377 2,463,282
Medco Health Solutions 75,691 (a) 2,512,941
MedImmune 70,000 (a) 1,866,200
Medtronic 340,700 15,525,699
Merck & Co 626,900 27,740,325
Millipore 13,600 (a) 596,360
Pfizer 2,180,109 68,891,444
Quest Diagnostics 29,400 1,988,910
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Schering-Plough 411,400 6,282,078
St. Jude Medical 48,100 (a) 2,797,496
Stryker 55,800 4,525,938
Tenet Healthcare 129,850 (a) 1,791,930
Thermo Electron 45,400 (a) 997,892
UnitedHealth Group 166,900 8,491,872
Waters 34,400 (a) 1,081,192
Watson Pharmaceuticals 30,200 (a) 1,185,954
WellPoint Health Networks 41,100 (a) 3,653,790
Wyeth 372,800 16,455,392
Zimmer Holdings 63,520 (a) 4,053,211
355,821,284
INTEREST SENSITIVE--23.4%
ACE 77,900 2,804,400
AFLAC 143,900 5,249,472
Allstate 197,000 7,781,500
Ambac Financial Group 29,850 2,111,589
American Express 360,400 16,913,572
American International Group 730,479 44,435,038
AmSouth Bancorporation 98,200 2,319,484
Aon 87,575 1,917,893
Apartment Investment & Management, Cl. A 26,300 1,075,670
BB&T 151,200 5,846,904
Bank of America 418,452 31,689,370
Bank of New York 215,700 6,727,683
Bank One 316,504 13,435,595
Bear Stearns Cos 27,872 2,125,240
CIGNA 39,300 2,242,065
Capital One Financial 63,600 3,866,880
Charles Schwab 379,200 5,141,952
Charter One Financial 63,168 2,018,849
Chubb 52,500 3,507,525
Cincinnati Financial 44,900 1,837,308
Citigroup 1,442,217 68,361,086
Comerica 49,100 2,527,668
Concord EFS 136,300 (a) 1,457,047
Countrywide Financial 38,100 4,005,072
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Equity Office Properties Trust 111,700 3,128,717
Equity Residential 76,600 2,240,550
Fannie Mae 272,700 19,549,863
Federated Investors, Cl. B 30,400 840,560
Fifth Third Bancorp 159,567 9,248,503
First Tennessee National 35,200 1,596,672
FleetBoston Financial 294,607 11,899,177
Franklin Resources 70,300 3,333,626
Freddie Mac 194,800 10,934,124
General Electric 2,805,300 81,381,753
Golden West Financial 42,700 4,288,361
Goldman Sachs Group 132,700 12,460,530
H&R Block 50,300 2,368,627
Hartford Financial Services Group 79,100 4,342,590
Huntington Bancshares 64,074 1,387,842
J.P. Morgan Chase & Co 570,260 20,472,334
Janus Capital Group 67,000 947,380
Jefferson-Pilot 39,725 1,896,471
John Hancock Financial Services 81,000 2,863,350
KeyCorp 117,800 3,327,850
Lehman Brothers Holdings 77,000 5,544,000
Lincoln National 49,800 1,988,514
Loews 51,900 2,231,700
MBIA 40,600 2,420,166
MBNA 357,737 8,853,991
MGIC Investment 27,600 1,416,156
Marsh & McLennan Cos 149,100 6,374,025
Marshall & Ilsley 63,600 2,278,152
Mellon Financial 120,600 3,602,322
Merrill Lynch 261,800 15,498,560
MetLife 212,800 6,681,920
Morgan Stanley Dean Witter 304,560 16,711,207
National City 172,000 5,617,520
North Fork Bancorporation 42,600 1,660,548
Northern Trust 61,800 2,870,610
PNC Financial Services Group 78,400 4,199,888
Plum Creek Timber 51,200 1,349,120
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Principal Financial Group 90,600 2,840,310
Progressive 60,800 4,487,040
ProLogis 50,200 1,482,908
Providian Financial 81,200 (a) 902,132
Prudential Financial 152,800 5,904,192
Regions Financial 62,400 2,293,200
SLM 126,200 4,941,992
Safeco 38,800 1,423,960
Simon Property Group 53,900 2,429,812
SouthTrust 94,500 3,009,825
St. Paul Cos 63,794 2,432,465
State Street 93,200 4,879,952
SunTrust Banks 78,800 5,285,116
Synovus Financial 84,450 2,330,820
T. Rowe Price Group 34,600 1,423,790
Torchmark 32,000 1,404,160
Travelers Property Casualty, Cl. B 281,913 4,614,916
U.S. Bancorp 539,353 14,681,189
Union Planters 54,900 1,826,523
UnumProvident 82,895 1,356,991
Wachovia 372,990 17,109,051
Washington Mutual 258,490 11,308,938
Wells Fargo 470,300 26,487,296
XL Capital, Cl. A 38,200 2,654,900
Zions Bancorporation 25,100 1,538,379
656,255,998
INTERNET--.6%
eBay 179,800 (a) 10,058,012
Yahoo! 181,700 (a) 7,940,290
17,998,302
PRODUCER GOODS & SERVICES--9.0%
Air Products & Chemicals 63,600 2,888,076
Alcoa 236,948 7,480,448
Allegheny Technologies 22,677 173,479
American Power Conversion 55,200 1,116,696
American Standard Cos 20,200 (a) 1,933,140
Ashland 19,100 711,284
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS & SERVICES (CONTINUED)
Avery Dennison 30,900 1,624,722
Ball 15,800 887,960
Bemis 14,900 688,976
Black & Decker 21,800 1,042,258
Boeing 235,498 9,064,318
Boise Cascade 16,400 460,020
Burlington Northern Santa Fe 104,300 3,018,442
CSX 59,900 1,906,018
Caterpillar 96,600 7,078,848
Centex 17,300 1,686,750
Cooper Industries, Cl. A 25,800 1,364,820
Crane 16,625 467,163
Cummins 11,600 (b) 549,840
Deere & Co 67,000 4,061,540
Dow Chemical 257,163 9,692,473
E. I. du Pont de Nemours 279,012 11,272,085
Eastman Chemical 21,700 704,382
Ecolab 72,700 1,954,903
Emerson Electric 117,900 6,690,825
Engelhard 35,100 1,003,158
FedEx 83,620 6,335,051
Fluor 22,900 849,132
Freeport-McMoRan Copper & Gold, Cl. B 47,200 1,829,000
General Dynamics 55,200 4,620,240
Georgia-Pacific 71,067 1,867,641
Goodrich 32,900 908,698
Goodyear Tire & Rubber 49,100 336,826
Great Lakes Chemical 14,200 305,300
Hercules 31,000 (a) 323,950
Honeywell International 240,825 7,371,653
ITT Industries 25,900 1,760,941
Illinois Tool Works 86,200 6,340,010
Ingersoll-Rand, Cl. A 48,000 2,899,200
International Paper 134,253 5,282,856
KB HOME 13,200 904,068
Lockheed Martin 126,200 5,850,632
Louisiana-Pacific 29,300 (a) 557,286
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS & SERVICES (CONTINUED)
Masco 131,600 3,619,000
MeadWestvaco 56,111 1,454,397
Molex 53,500 1,679,365
Monsanto 73,364 1,837,768
Newmont Mining 114,225 5,000,771
Norfolk Southern 109,300 2,202,395
Northrop Grumman 51,245 4,581,303
Nucor 21,900 1,200,777
PPG Industries 47,500 2,738,375
Pall 34,800 814,320
Parker-Hannifin 33,050 1,684,559
Phelps Dodge 24,895 (a) 1,537,017
Praxair 45,600 3,172,848
Pulte Homes 17,200 1,487,972
Raytheon 115,900 3,069,032
Rockwell Automation 51,700 1,605,285
Rockwell Collins 50,200 1,377,990
Rohm & Haas 62,215 2,445,050
Sealed Air 23,732 (a) 1,263,254
Sherwin-Williams 40,900 1,371,786
Sigma-Aldrich 19,800 1,038,510
Snap-On 16,300 478,242
Stanley Works 23,813 793,925
3M 219,200 17,288,304
Temple-Inland 15,200 821,256
Textron 37,900 1,883,251
Thomas & Betts 16,400 291,920
Tyco International 559,271 11,677,578
Union Pacific 71,300 4,463,380
United Parcel Service, Cl. B 315,100 22,851,052
United States Steel 28,900 683,485
United Technologies 131,300 11,119,797
Vulcan Materials 28,500 1,262,835
W.W. Grainger 25,600 1,171,968
Weyerhaeuser 61,400 3,698,122
Worthington Industries 24,100 351,378
251,883,375
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
SERVICES--6.4%
ALLTEL 87,300 4,126,671
AT&T Wireless Services 759,817 (a) 5,508,673
Allied Waste Industries 58,600 (a) 661,008
American Greetings, Cl. A 18,500 (a) 394,605
Apollo Group, Cl. A 49,200 (a) 3,125,676
Automatic Data Processing 167,400 6,317,676
Carnival 176,300 6,154,633
Cintas 47,700 2,034,882
Clear Channel Communications 172,200 7,029,204
Comcast, Cl. A 630,118 (a) 21,373,602
Computer Sciences 52,400 (a) 2,076,088
Convergys 40,000 (a) 642,400
Deluxe 14,900 601,513
Dow Jones & Co 22,800 1,184,916
Electronic Data Systems 134,300 2,880,735
Equifax 39,300 960,492
First Data 207,300 7,400,610
Fiserv 54,150 (a) 1,912,578
Gannett 75,500 6,350,305
IMS Health 66,900 1,574,157
Interpublic Group of Companies 109,600 1,630,848
Knight-Ridder 22,500 1,649,700
McGraw-Hill Cos 53,500 3,581,825
Meredith 13,900 674,428
Monster Worldwide 31,400 (a) 799,758
Moody's 41,800 2,417,294
NEXTEL Communications, Cl. A 290,000 (a) 7,018,000
New York Times, Cl. A 41,800 1,986,754
Omnicom Group 53,200 4,245,360
Paychex 105,475 4,105,087
R. R. Donnelley & Sons 31,800 826,800
Robert Half International 47,700 (a) 1,126,197
Ryder System 17,800 534,000
Sprint (PCS Group) 289,700 (a) 1,260,195
SunGard Data Systems 79,900 (a) 2,241,195
Time Warner 1,263,550 (a) 19,319,680
Tribune 87,800 4,306,590
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
Univision Communications, Cl. A 90,100 (a) 3,058,895
Viacom, Cl. B 491,424 19,593,075
Walt Disney 572,400 12,959,136
Waste Management 165,800 4,297,536
179,942,777
TECHNOLOGY--16.3%
ADC Telecommunications 225,200 (a) 574,260
Adobe Systems 65,300 2,862,752
Advanced Micro Devices 97,100 (a) 1,475,920
Agilent Technologies 131,916 (a) 3,287,347
Altera 107,100 (a) 2,166,633
Analog Devices 102,300 (a) 4,534,959
Andrew 42,950 (a) 561,786
Apple Computer 101,500 (a) 2,323,335
Applied Materials 464,100 (a) 10,846,017
Applied Micro Circuits 85,200 (a) 495,864
Autodesk 31,300 602,525
Avaya 116,580 (a) 1,508,545
BMC Software 63,700 (a) 1,107,106
Broadcom, Cl. A 83,000 (a) 2,651,850
CIENA 132,000 (a) 846,120
Cisco Systems 1,965,200 (a) 41,229,896
Citrix Systems 46,100 (a) 1,165,408
Computer Associates International 162,050 3,811,416
Compuware 107,200 (a) 602,464
Comverse Technology 52,700 (a) 950,708
Corning 372,700 (a) 4,092,246
Danaher 42,900 3,554,265
Dell 719,200 (a) 25,977,504
Dover 56,700 2,212,434
EMC 614,300 (a) 8,501,912
Electronic Arts 41,200 (a) 4,080,448
Gateway 90,800 (a) 457,632
Hewlett-Packard 854,866 19,072,061
Intel 1,822,800 60,243,540
International Business Machines 484,400 43,344,112
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Intuit 57,500 (a) 2,873,850
JDS Uniphase 400,400 (a) 1,421,420
Jabil Circuit 55,700 (a) 1,551,245
KLA-Tencor 53,300 (a) 3,055,689
LSI Logic 106,100 (a) 980,364
Lexmark International 35,900 (a) 2,642,599
Linear Technology 87,600 3,732,636
Lucent Technologies 1,164,970 (a) 3,727,904
Maxim Integrated Products 90,900 4,518,639
Mercury Interactive 24,200 (a) 1,123,848
Micron Technology 170,800 (a) 2,449,272
Microsoft 3,027,900 79,179,585
Motorola 651,595 8,816,080
NCR 26,500 (a) 952,410
NVIDIA 44,500 (a) 786,760
National Semiconductor 51,500 (a) 2,092,445
Network Appliance 95,700 (a) 2,361,876
Novell 104,000 (a) 610,480
Novellus Systems 42,400 (a) 1,750,696
Oracle 1,465,500 (a) 17,527,380
PMC-Sierra 47,700 (a) 866,709
Parametric Technology 74,600 (a) 232,006
PeopleSoft 101,900 (a) 2,115,444
PerkinElmer 35,500 639,355
Pitney Bowes 65,500 2,692,050
Power-One 23,300 (a) 211,098
QLogic 26,400 (a) 1,479,720
QUALCOMM 222,200 10,554,500
Sabre Holdings 40,221 881,242
Sanmina-SCI 142,800 (a) 1,506,540
Scientific-Atlanta 41,700 1,234,320
Siebel Systems 138,300 (a) 1,741,197
Solectron 232,300 (a) 1,286,942
Sun Microsystems 904,300 (a) 3,581,028
Symantec 42,500 (a) 2,832,625
Symbol Technologies 64,600 806,854
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Tektronix 23,800 610,946
Tellabs 115,500 (a) 869,715
Teradyne 52,800 (a) 1,202,784
Texas Instruments 484,800 14,020,416
Unisys 92,200 (a) 1,416,192
VERITAS Software 119,182 (a) 4,308,429
Xerox 221,400 (a) 2,324,700
Xilinx 95,400 (a) 3,024,180
457,735,235
UTILITIES--4.6%
AES 173,500 (a) 1,518,125
AT&T 220,640 4,101,698
Allegheny Energy 35,200 372,416
Ameren 45,300 2,022,645
American Electric Power 110,560 3,116,686
BellSouth 517,300 13,610,163
Calpine 107,300 (a) 494,653
CenturyTel 40,300 1,440,725
Cinergy 49,700 1,804,607
Citizens Communications 79,600 (a) 991,020
Consolidated Edison 63,000 2,549,610
Constellation Energy Group 46,700 1,698,479
DTE Energy 47,100 1,737,048
Edison International 91,200 (a) 1,797,552
Entergy 63,800 3,438,820
Exelon 91,275 5,791,399
FPL Group 51,400 3,276,236
FirstEnergy 91,202 3,136,437
PG&E 115,400 (a) 2,821,530
PPL 49,500 1,976,040
Pinnacle West Capital 25,600 935,936
Progress Energy 68,169 2,938,084
Public Service Enterprise Group 63,400 2,591,158
Qwest Communications International 474,700 (a) 1,675,691
SBC Communications 930,598 22,315,740
Southern 204,000 6,079,200
Sprint (FON Group) 252,900 4,046,400
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
TECO Energy 52,500 (b) 689,325
TXU 90,197 2,058,295
Verizon Communications 771,756 25,931,002
Xcel Energy 111,610 1,830,404
128,787,124
TOTAL COMMON STOCKS
(cost $2,217,688,316 ) 2,721,032,383
- ------------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--2.7% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--2.5%
Greenwich Capital Markets, Tri-Party Repurchase
Agreement, 1.0%, dated 10/31/2003, due
11/3/2003 in the amount of $69,595,799
(fully collateralized by $70,565,000 of various
U.S. Government Agency Obligations,
value $70,982,930) 69,590,000 69,590,000
U.S. TREASURY BILLS--.2%
..95%, 11/13/2003 5,100,000 (c) 5,098,725
TOTAL SHORT-TERM INVESTMENTS
(cost $74,688,377) 74,688,725
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES LOANED--.3% Shares Value
- ------------------------------------------------------------------------------------------------------------------------------------
REGISTERED INVESTMENT COMPANY;
Dreyfus Institutional Preferred Money Market Fund
(cost $7,537,218) 7,537,218 7,537,218
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $2,299,913,911) 100.0% 2,803,258,326
CASH AND RECEIVABLES (NET) .0% 21,704
NET ASSETS 100.0% 2,803,280,030
(A) NON-INCOME PRODUCING.
(B) ALL OR A PORTION OF THESE SECURITIES ARE ON LOAN. AT OCTOBER 31, 2003, THE
TOTAL MARKET VALUE OF THE FUND'S SECURITIES ON LOAN IS $7,958,580 AND THE
TOTAL MARKET VALUE OF THE COLLATERAL HELD BY THE FUND IS $8,233,900,
CONSISTING OF CASH COLLATERAL OF $7,537,218 AND U.S. GOVERNMENT AND AGENCY
SECURITIES VALUED AT $696,682.
(C) WHOLLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN
FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF FINANCIAL FUTURES
October 31, 2003
Market Value Unrealized
Covered by Appreciation
Contracts Contracts ($) Expiration at 10/31/2003 ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG
Standard & Poor's 500 309 81,073,875 December 2003 2,203,913
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2003
Cost Value
- --------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement
of Investments (including securities loaned
valued at $7,958,580)--Note 1(b,c) 2,299,913,911 2,803,258,326
Cash 3,646,833
Receivable for shares of Common Stock subscribed 6,538,706
Dividends and interest receivable 3,662,792
Receivable for futures variation margin--Note 4 77,468
2,817,184,125
- --------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 1,170,579
Liability for securities loaned--Note 1(b) 7,537,218
Payable for shares of Common Stock redeemed 4,526,977
Payable for investment securities purchased 669,321
13,904,095
- --------------------------------------------------------------------------------
NET ASSETS ($) 2,803,280,030
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 2,471,610,641
Accumulated undistributed investment income--net 24,190,670
Accumulated net realized gain (loss) on investments (198,069,609)
Accumulated net unrealized appreciation
(depreciation) on investments (including $2,203,913
net unrealized appreciation on financial futures) 505,548,328
- --------------------------------------------------------------------------------
NET ASSETS ($) 2,803,280,030
- --------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 90,679,717
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 30.91
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF OPERATIONS
Year Ended October 31, 2003
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends 41,860,694
Interest 833,032
Income on securities lending 40,066
TOTAL INCOME 42,733,792
EXPENSES:
Management fee--Note 3(a) 5,980,037
Shareholder servicing costs--Note 3(b) 5,980,037
Loan commitment fees--Note 2 31,570
Miscellaneous 397,350
TOTAL EXPENSES 12,388,994
INVESTMENT INCOME--NET 30,344,798
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments (26,884,951)
Net realized gain (loss) on financial futures 13,188,323
NET REALIZED GAIN (LOSS) (13,696,628)
Net unrealized appreciation (depreciation) on
investments (including $1,513,025 net unrealized
appreciation on financial futures) 442,005,324
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 428,308,696
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 458,653,494
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
-------------------------------------
2003 2002
- --------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 30,344,798 26,577,770
Net realized gain (loss) on investments (13,696,628) (99,837,347)
Net unrealized appreciation
(depreciation) on investments 442,005,324 (344,839,365)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 458,653,494 (418,098,942)
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
INVESTMENT INCOME--NET (26,194,132) (25,302,387)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 763,177,089 1,065,975,110
Dividends reinvested 25,656,957 24,723,315
Cost of shares redeemed (603,393,097) (976,225,624)
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL STOCK TRANSACTIONS 185,440,949 114,472,801
TOTAL INCREASE (DECREASE) IN NET ASSETS 617,900,311 (328,928,528)
- --------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 2,185,379,719 2,514,308,247
END OF PERIOD 2,803,280,030 2,185,379,719
Undistributed investment income--net 24,190,670 20,138,326
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 27,846,119 34,312,201
Shares issued for dividends reinvested 958,422 741,996
Shares redeemed (22,142,457) (31,933,596)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 6,662,084 3,120,601
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
Year Ended October 31,
----------------------------------------------------------------------------
2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
Net asset value,
beginning of period 26.01 31.08 41.95 40.55 32.76
Investment Operations:
Investment income--net(a) .35 .32 .32 .31 .35
Net realized and unrealized
gain (loss) on investments 4.86 (5.08) (10.88) 1.92 7.80
Total from Investment Operations 5.21 (4.76) (10.56) 2.23 8.15
Distributions:
Dividends from investment
income--net (.31) (.31) (.31) (.32) (.36)
Dividends from net realized
gain on investments -- -- -- (.51) --
Total Distributions (.31) (.31) (.31) (.83) (.36)
Net asset value, end of period 30.91 26.01 31.08 41.95 40.55
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 20.22 (15.54) (25.31) 5.50 25.00
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to
average net assets .52 .50 .50 .50 .50
Ratio of net investment income
to average net assets 1.27 1.05 .88 .73 .92
Portfolio Turnover Rate 2.17 4.42 1.89 7.64 9.61
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period
($ x 1,000) 2,803,280 2,185,380 2,514,308 3,072,253 2,800,028
(A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO FINANCIAL STATEMENTS
NOTE 1--SIGNIFICANT ACCOUNTING POLICIES:
Dreyfus S&P 500 Index Fund (the "fund") is a separate non-diversified series of
Dreyfus Index Funds, Inc. (the "Company" ) which is registered under the
Investment Company Act of 1940, as amended (the "Act" ), as an open-end
management investment company and operates as a series company currently
offering three series including the fund. The fund's investment objective is to
match the performance of the Standard & Poor's 500 Composite Stock Price Index.
The Dreyfus Corporation ("the Manager") serves as the fund's investment adviser.
The Manager is a wholly-owned subsidiary of Mellon Bank, N.A., which is a
wholly-owned subsidiary of Mellon Financial Corporation. Dreyfus Service
Corporation (the "Distributor"), a wholly-owned subsidiary of the Manager, is
the distributor of the fund's shares, which are sold to the public without a
sales charge.
The fund's financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
(a) Portfolio valuation: Investments in securities (including financial futures)
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. Effective April 14, 2003, the fund began pricing securities
traded on the NASDAQ stock market using the NASDAQ official closing price.
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. Bid price is used when no asked price is
available. Securities for which there are no such valuations are valued at fair
value as determined in good faith under the direction of the Board of Directors
(b) Securities transactions and investment income: Securities transactions are
recorded on a trade date basis. Realized gain and loss from securities
transactions are recorded on the identified cost basis. Dividend income is
recognized on the ex-dividend date and interest The Fun
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
income, including, where applicable, amortization of discount and premium on
investments, is recognized on the accrual basis.
The fund may lend securities to qualified institutions. At origination, all
loans are secured by cash collateral of at least 102% of the value of U.S.
securities loaned and 105% of the value of foreign securities loaned. Collateral
equivalent to at least 100% of the market value of securities on loan will be
maintained at all times. Cash collateral is invested in certain money market
mutual funds managed by the Manager as shown in the fund's Statement of
Investments. The fund will be entitled to receive all income on securities
loaned, in addition to income earned as a result of the lending transaction.
Although each security loaned is fully collateralized, the fund would bear the
risk of delay in recovery of, or loss of rights in, the securities loaned should
a borrower fail to return the securities in a timely manner.
(c) Repurchase agreements: The fund may engage in repurchase agreement
transactions. Under the terms of a typical repurchase agreement, the fund,
through its custodian and sub-custodian, takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase, and the fund to
resell, the obligation at an agreed-upon price and time, thereby determining the
yield during the fund's holding period. This arrangement results in a fixed rate
of return that is not subject to market fluctuations during the fund's holding
period. The value of the collateral is at least equal, at all times, to the
total amount of the repurchase obligation, including interest. In the event of a
counter party default, the fund has the right to use the collateral to offset
losses incurred. There is potential loss to the fund in the event the fund is
delayed or prevented from exercising its rights to dispose of the collateral
securities, including the risk of a possible decline in the value of the
underlying securities during the period while the fund seeks to assert its
rights. The Manager, acting under the supervision of the Board of Directors,
reviews the value of the collateral and the creditworthiness of those banks and
dealers with which the fund enters into repurchase agreements to evaluate
potential risks.
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain, 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 gain, if any, can be offset by capital loss
carryovers, it is the policy of the fund not to distribute such gain. Income and
capital gain distributions are determined in accordance with incomes tax
regulations, which may differ from accounting principles generally accepted in
the United States of America.
(e) 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.
At October 31, 2003, the components of accumulated earnings on a tax basis were
as follows: undistributed ordinary income $24,127,378 accumulated capital losses
$147,007,234 and unrealized appreciation $456,753,157.
The accumulated capital loss carryover is available to be applied against future
net securities profits, if any, realized subsequent to October 31, 2003. If not
applied, $20,622,195 of the carryover expires in fiscal 2008, $42,517,790
expires in fiscal 2009, $82,176,122 expires in fiscal 2010 and $1,691,127
expires in fiscal 2011.
The tax character of distributions paid to shareholders during the fiscal
periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary
income $26,194,132 and $25,302,387, respectively.
During the period ended October 31, 2003, as a result of permanent book to tax
differences, the fund decreased accumulated undistributed investment income-net
by $98,322, increased accumulated net realized The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
gain (loss) on investments by $130,856 and decreased paid-in capital by $32,534.
Net assets were not affected by this reclassification.
NOTE 2--BANK LINE OF CREDIT:
The fund participates with other Dreyfus-managed funds in a $350 million
redemption credit facility (the "Facility" ) to be utilized for temporary or
emergency purposes, including the financing of redemptions. In connection
therewith, the fund has agreed to pay commitment fees on its pro rata portion of
the Facility. Interest is charged to the fund based on prevailing market rates
in effect at the time of borrowings. During the period ended October 31, 2003,
the fund did not borrow under the Facility.
NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
(a) Pursuant to an Investment Management Agreement ("Agreement") with the
Manager, the management fee is computed at the annual rate of .25 of 1% of the
value of the fund's average daily net assets, and is payable monthly. Under the
terms of the Agreement, the Manager has agreed to pay all the expenses of the
fund, except management fees, brokerage commissions, taxes, interest, commitment
fees, Shareholder Services Plan fees, fees and expenses of non-interested Board
members (including counsel fees) and extraordinary expenses. In addition, the
Manager is required to reduce its fees in an amount equal to the fund's
allocable portion of fees and expenses of the non-interested Board members
(including counsel fees) . Each Board member also serves as a Board member of
other funds within the Dreyfus complex (collectively, the "Fund Group"). Each
Board member receives an annual fee of $25,000, an attendance fee of $4,000 for
each in-person meeting and $500 for telephone meetings. The chairman of the
Board receives an additional 25% of such compensation (with the exception of
reimburseable amounts) . Subject to the Company's Emeritus Program Guidelines,
Emeritus Board Members, if any, receive 50% of the annual retainer fee and per
meeting fee paid at the time the Board member achieves emeritus status. All
Board fees are
allocated among the funds in the Fund Group in proportion to each fund's
relative net assets. Amounts required to be paid by the Company directly to the
non-interested Board members, that were applied to offset a portion of the
management fee payable to the Manager, were in fact paid directly by the Manager
to the non-interested Board members.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the
provision of certain services a fee, at the annual rate of .25 of 1% of the
value of the fund's average daily net assets. The services provided may include
personal services relating to shareholder accounts, such as answering
shareholder inquiries regarding the fund and providing reports and other
information, and services related to the maintenance of shareholder accounts.
The Distributor may make payments to Service Agents (a securities dealer,
financial institution or other industry professional) in respect of these
services. The Distributor determines the amounts to be paid to Service Agents.
During the period October 31, 2003, the fund was charged $5,980,037 pursuant to
the Shareholder Services Plan.
(c) A 1% redemption fee is charged and retained by the fund on shares redeemed
within six months following the date of issuance, including redemptions made
through the use of the fund' s exchange privilege. During the period ended
October 31, 2003, redemption fees amounted to $32,533.
NOTE 4--SECURITIES TRANSACTIONS:
The aggregate amount of purchases and sales of investment securities, excluding
short-term securities and financial futures during the period ended October 31,
2003, amounted to $237,102,644 and $50,250,758, respectively.
The fund may invest in financial futures contracts in order to gain exposure to
or protect against changes in the market. The fund is exposed to market risk as
a result of changes in the value of the underlying financial instruments.
Investments in financial futures require the The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
fund to "mark to market" on a daily basis, which reflects the change in the
market value of the contract at the close of each day's trading. Accordingly,
variation margin payments are received or made to reflect daily unrealized gains
or losses. When the contracts are closed, the fund recognizes a realized gain or
loss. These investments require initial margin deposits with a broker, which
consist of cash or cash equivalents, up to approximately 10% of the contract
amount. 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. Contracts open
as of October 31, 2003, are set forth in the Statement of Financial Futures.
At October 31, 2003, the cost of investments for federal income tax purposes was
$2,348,709,081; accordingly, accumulated net unrealized appreciation on
investments was $454,549,245, consisting of $793,399,787 gross unrealized
appreciation and $338,850,542 gross unrealized depreciation.
REPORT OF INDEPENDENT AUDITORS
To the Board of Directors and Shareholders of Dreyfus S&P 500 Index Fund
In our opinion, the accompanying statement of assets and liabilities, including
the statements of investments and financial futures, and the related statements
of operations and of changes in net assets and financial highlights present
fairly, in all material respects the financial position of Dreyfus S&P 500 Index
Fund (the "Fund") (one of the series constituting Dreyfus Index Funds, Inc.), at
October 31, 2003, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Fund's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities owned at October 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 12, 2003
The Fund
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby designates 100% of the
ordinary dividends paid during the fiscal year ended October 31, 2003 as
qualifying for the corporate dividends received deduction. Shareholders will
receive notification in January 2004 of the percentage applicable to the
preparation of their 2003 income tax returns.
PROXY RESULTS (Unaudited)
The fund held a special meeting of shareholders on December 18, 2002. The
proposals considered at the meeting, and the results, are as follows:
Shares
-------------------------------------------------------------------------
For Against Abstained
-------------------------------------------------------------------------
To approve changes to certain of the
fund's fundamental policies and
investment restrictions to permit
participation in a portfolio
securities lending program 35,920,282 4,213,850 2,135,051
To approve changes to certain of
the fund's fundamental policies
and investment restrictions to
permit investment in other
investment companies 35,417,465 4,142,813 2,708,905
The Fund
BOARD MEMBERS INFORMATION (Unaudited)
JOSEPH S. DIMARTINO (60)
CHAIRMAN OF THE BOARD (1995)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director and Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* The Muscular Dystrophy Association, Director
* Levcor International, Inc., an apparel fabric processor, Director
* Century Business Services, Inc., a provider of outsourcing functions for small
and medium size companies, Director
* The Newark Group, a provider of a national market of paper recovery
facilities, paperboard mills and paperboard converting plants, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191
--------------
DAVID P. FELDMAN (63)
BOARD MEMBER (1989)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director & Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* BBH Mutual Funds Group (11 funds), Director
* The Jeffrey Company, a private investment company, Director
* QMED, a medical device company, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53
--------------
EHUD HOUMINER (63)
BOARD MEMBER (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Executive-in-Residence at the Columbia Business School, Columbia University
* Principal of Lear, Yavitz and Associates, a management consulting firm, from
1996 through 2001
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Avnet Inc., an electronics distributor, Director
* International Advisory Board to the MBA Program School of Management, Ben
Gurion University, Chairman
* Explore Charter School, Brooklyn, NY, Chairman
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25
GLORIA MESSINGER (73)
BOARD MEMBER (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Arbitrator for American Arbitration Association and National Association of
Securities Dealers, Inc.
* Consultant in Intellectual Property
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Yale Law School Fund, Director
* Theater for a New Audience, Inc., Director
* Brooklyn Philharmonic, Director
* New York Women's Agenda Music Performance Trust Fund, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
T. JOHN SZARKOWSKI (77)
BOARD MEMBER (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Consultant in Photography
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Photography Department at The Museum of Modern Art, Director Emeritus
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
ANNE WEXLER (73)
BOARD MEMBER (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Chairman of the Wexler Group, consultants specializing in government relations
and public affairs
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Wilshire Mutual Funds (5 funds), Director
* Methanex Corporation, a methanol producing company, Director
* Member of the Council of Foreign Relations
* Member of the National Park Foundation
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29
--------------
ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL
INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE
FUND'S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS
FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611.
JOHN M. FRASER, JR., EMERITUS BOARD MEMBER
The Fund
OFFICERS OF THE FUND (Unaudited)
STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000.
Chairman of the Board, Chief Executive Officer and Chief Operating Officer
of the Manager, and an officer of 95 investment companies (comprised of 189
portfolios) managed by the Manager. Mr. Canter also is a Board member and, where
applicable, an Executive Committee Member of the other investment management
subsidiaries of Mellon Financial Corporation, each of which is an affiliate of
the Manager. He is 58 years old and has been an employee of the Manager since
May 1995.
STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002.
Chief Investment Officer, Vice Chairman and a Director of the Manager, and
an officer of 95 investment companies (comprised of 189 portfolios) managed by
the Manager. Mr. Byers also is an officer, director or an Executive Committee
Member of certain other investment management subsidiaries of Mellon Financial
Corporation, each of which is an affiliate of the Manager. He is 50 years old
and has been an employee of the Manager since January 2000. Prior to joining the
Manager, he served as an Executive Vice President-Capital Markets, Chief
Financial Officer and Treasurer at Gruntal & Co., L.L.C.
MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000.
Executive Vice President, Secretary and General Counsel of the Manager, and
an officer of 96 investment companies (comprised of 205 portfolios) managed by
the Manager. He is 57 years old and has been an employee of the Manager since
June 1977.
MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000.
Associate General Counsel of the Manager, and an officer of 93 investment
companies (comprised of 198 portfolios) managed by the Manager. He is 43 years
old and has been an employee of the Manager since October 1991.
STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000.
Associate General Counsel and Assistant Secretary of the Manager, and an
officer of 96 investment companies (comprised of 205 portfolios) managed by the
Manager. He is 54 years old and has been an employee of the Manager since July
1980.
JAMES WINDELS, TREASURER SINCE NOVEMBER 2001.
Director - Mutual Fund Accounting of the Manager, and an officer of 96
investment companies (comprised of 205 portfolios) managed by the Manager. He is
45 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 44 years old and has been an employee of the Manager since September 1982.
ROBERT SVAGNA, ASSISTANT TREASURER SINCE DECEMBER 2002.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 36 years old and has been an employee of the Manager since November 1990.
KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001.
Mutual Funds Tax Director of the Manager, and an officer of 96 investment
companies (comprised of 205 portfolios) managed by the Manager. He is 49 years
old and has been an employee of the Manager since June 1993.
WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE SEPTEMBER 2002
Vice President and Anti-Money Laundering Compliance Officer of the
Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment
companies (comprised of 200 portfolios) managed by the Manager. He is 33 years
old and has been an employee of the Distributor since October 1998. Prior to
joining the Distributor, he was a Vice President of Compliance Data Center, Inc
The Fund
NOTES
For More Information
Dreyfus S&P 500 Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
Boston Safe Deposit
and Trust Company
One Boston Place
Boston, MA 02109
Transfer Agent &
Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE
Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL
Send your request to
info@dreyfus.com
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to portfolio securities is available, without charge,
by calling the telephone number listed above, or by visiting the SEC's website
at http://www.sec.gov
(c) 2003 Dreyfus Service Corporation 078AR1003
Comparison of change in value of $10,000 investment in
Dreyfus S&P 500 Index Fund and the
Standard & Poor's 500 Composite Stock Price Index
EXHIBIT A:
Standard &
Poor's 500
Dreyfus Composite
S&P 500 Stock
PERIOD Index Price
Fund Index *
10/31/93 10,000 10,000
10/31/94 10,314 10,387
10/31/95 12,962 13,133
10/31/96 15,997 16,298
10/31/97 21,030 21,532
10/31/98 25,518 26,267
10/31/99 31,898 33,009
10/31/00 33,654 35,020
10/31/01 25,135 26,300
10/31/02 21,231 22,326
10/31/03 25,523 26,968
* Source: Lipper Inc.
Dreyfus Smallcap
Stock Index Fund
ANNUAL REPORT October 31, 2003
YOU, YOUR ADVISOR AND
DREYFUS
A MELLON FINANCIAL COMPANY(SM)
The views expressed in this report reflect those of the portfolio manager 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
- --------------------------------------------------
2 Letter from the Chairman
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
25 Statement of Financial Futures
26 Statement of Assets and Liabilities
27 Statement of Operations
28 Statement of Changes in Net Assets
29 Financial Highlights
30 Notes to Financial Statements
36 Report of Independent Auditors
37 Important Tax Information
38 Board Members Information
40 Officers of the Fund
FOR MORE INFORMATION
- ---------------------------------------------------------------------------
Back Cover
The Fund
Dreyfus
Smallcap Stock Index Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder:
This annual report for Dreyfus Smallcap Stock Index Fund covers the 12-month
period from November 1, 2002, through October 31, 2003. Inside, you'll find
valuable information about how the fund was managed during the reporting period,
including a discussion with the fund' s portfolio manager, Tom Durante, who
became the fund's sole portfolio manager on September 15, 2003.
Recent estimates of greater than expected U.S. Gross Domestic Product annualized
growth during the third quarter of 2003 suggest that the economy has started to
turn the corner. Tax cuts and low mortgage rates have put cash in consumers'
pockets, and corporations have begun to increase spending and investment. As a
result, stocks rallied over the reporting period, posting gains in virtually
every market sector and capitalization range.
We have seen strong quarters before, only to be disappointed when growth proved
unsustainable. Based on recent data, we are cautiously optimistic about the
current economic environment. As always, we urge you to speak regularly with
your financial advisor, who may be in the best position to suggest investments
that are right for your current needs, future goals and attitudes toward risk.
Thank you for your continued confidence and support.
Sincerely,
/S/STEPHEN E. CANTER
Stephen E. Canter
Chairman and Chief Executive Officer
The Dreyfus Corporation
November 17, 2003
DISCUSSION OF FUND PERFORMANCE
Tom Durante, Portfolio Manager
HOW DID DREYFUS SMALLCAP STOCK INDEX FUND PERFORM RELATIVE TO ITS BENCHMARK?
For the 12-month period ended October 31, 2003, Dreyfus Smallcap Stock Index
Fund produced a total return of 32.63%.(1) The Standard & Poor's SmallCap 600
Index (the "S&P 600 Index"), the fund's benchmark, produced a 33.58% return for
the same period.(2,3)
We attribute the fund' s performance to the effects of a stronger economy, in
which renewed growth was driven by waning geopolitical tensions and robust
levels of consumer spending in a low interest-rate environment. In addition,
small-cap stocks generally posted higher returns than mid- and large-cap stocks,
as investors flocked toward companies with higher potential growth rates. The
difference in returns between the fund and the S&P 600 Index was primarily due
to the fund' s sampling strategy, transaction costs and other fund operating
expenses.
WHAT IS THE FUND'S INVESTMENT APPROACH?
The fund seeks to match the total return of the S&P 600 Index. To reach this
goal, the fund generally invests in a representative sample of the stocks listed
in the S& P 600 Index. While the portfolio managers strive to own the vast
majority of the stocks in the S&P 600 Index, they may avoid some very small,
less liquid names. Often considered a barometer for the small-cap stock market
in general, the S& P 600 Index is composed of 600 domestic stocks across 10
economic sectors. Each stock is weighted by its market capitalization; that is,
larger companies have greater representation in the S&P 600 Index than smaller
ones. The fund may also use stock index futures as a substitute for the sale or
purchase of stocks.
As an index fund, the fund uses a passive management approach: all investment
decisions are made based on the composition of the S&P 600 Index. The fund does
not attempt to manage market volatility.
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
Small-cap stocks are often those of new and entrepreneurial companies and tend
to grow faster than large-cap companies. They also typically use any profits for
expansion rather than for paying dividends. Compared to larger, more established
companies, small companies are subject to more erratic market movements and may
carry additional risks because, among other things, their revenues and earnings
also tend to be less predictable. As a result, their stocks tend to be less
liquid and more volatile.
WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE?
When the reporting period began, small-cap stocks generally were languishing in
a persistently weak economy characterized by growing uncertainties leading to
the war with Iraq. As a result, investor sentiment largely remained negative
through the first quarter of 2003 and many investors became increasingly
risk-averse, preferring the relative safety of bonds over the greater perceived
risks of stocks.
By the second quarter of 2003, after the allied coalition entered Baghdad,
investors' attention returned to prospects for the U.S. economy. Investors began
to look forward to stronger economic growth due to a mortgage refinancing boom
and new federal tax cuts that put cash in consumers' pockets during the latter
part of the reporting period.
Historically, small-cap stocks have tended to produce higher returns than
larger-cap stocks during the early stages of an economic recovery. The reporting
period was no exception. Investors apparently were willing to assume more risk
in exchange for the possibility of greater rewards. In addition, low interest
rates helped many small-cap companies raise capital more affordably in the debt
markets, and smaller companies generally were not affected by the legal and
regulatory issues associated with the questionable accounting practices that
seemed to plague larger-cap companies.
Some of the small-cap market's strongest returns came from the technology group,
including electronic equipment companies that make products for larger computer
and semiconductor manufacturers. The homebuilding sector also performed well,
with gains driven by low
interest rates and rising home values. Smaller, regional banks also flourished
as demand for home mortgages rose in local markets. Finally, specialty retail
stocks contributed positively to performance, with returns fueled by strong
consumer spending.
However, two areas of the S& P 600 Index provided relatively disappointing
results during the reporting period: oil services stocks, whose earnings
suffered from their lack of exposure to less costly drilling sites in overseas
markets; and food and beverage stocks, which were largely overlooked by
investors seeking higher growth rates in other areas.
WHAT IS THE FUND'S CURRENT STRATEGY?
As an index fund, our strategy remains the same: to seek to replicate the
returns of the small-cap market as represented by the S&P 600 Index. While we
have been pleased with the recent strong performance of small-cap stocks, we
remain aware that the stock market has been subject to heightened volatility for
some time now. In our view, one of the greatest benefits of broadly diversified
index funds is that they can help investors control risks by limiting the impact
on the overall portfolio of unexpected losses in any single industry group or
holding.
November 17, 2003
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
(2) SOURCE: LIPPER INC. -- REFLECTS THE REINVESTMENT OF DIVIDENDS AND, WHERE
APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE STANDARD & POOR'S SMALLCAP 600
INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED, UNMANAGED INDEX OF
OVERALL SMALL-CAP STOCK MARKET PERFORMANCE.
(3) "STANDARD & POOR'S," "S&P," "STANDARD & POOR'S SMALLCAP 600 INDEX" ARE
TRADEMARKS OF THE MCGRAW-HILL COMPANIES, INC., AND HAVE BEEN LICENSED FOR
USE BY THE FUND. THE FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY
STANDARD & POOR'S AND STANDARD & POOR'S MAKES NO REPRESENTATION REGARDING
THE ADVISABILITY OF INVESTING IN THE FUND.
The Fund
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock
Index Fund and the Standard & Poor's SmallCap 600 Index
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 10/31/03
Inception From
Date 1 Year 5 Years Inception
- ------------------------------------------------------------------------------------------------------------------------------------
FUND 6/30/97 32.63% 10.58% 8.00%
((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE
SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS SMALLCAP STOCK
INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE
STANDARD & POOR'S SMALLCAP 600 INDEX (THE "INDEX") ON THAT DATE. ALL DIVIDENDS
AND CAPITAL GAIN DISTRIBUTIONS ARE REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED,
UNMANAGED INDEX OF OVERALL SMALL-CAP STOCK MARKET PERFORMANCE AND DOES NOT TAKE
INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION RELATING TO
FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED
IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE IN THIS
REPORT.
STATEMENT OF INVESTMENTS
October 31, 2003
COMMON STOCKS--99.3% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ALCOHOL & TOBACCO--.1%
DIMON 30,600 220,320
CONSUMER CYCLICAL--19.4%
A.T. Cross, Cl. A 9,000 (a) 55,350
Action Performance Cos 12,800 262,144
Advanced Marketing Services 14,000 160,300
Albany International, Cl. A 22,400 692,160
Angelica 7,500 154,500
AnnTaylor Stores 29,300 (a) 1,048,940
Applica 13,000 95,940
Arctic Cat 15,700 353,564
Argosy Gaming 19,700 (a) 468,860
Ashworth 6,400 (a) 53,824
Atlantic Coast Airlines Holdings 28,800 (a) 318,816
Aztar 24,200 (a) 505,296
Bally Total Fitness Holdings 26,000 (a) 173,160
Bassett Furniture 7,700 120,967
Brown Shoe 12,700 439,420
Burlington Coat Factory Warehouse 31,000 664,950
CEC Entertainment 18,250 (a) 892,425
CPI 6,600 130,086
Casey's General Stores 32,500 503,750
Cato, Cl. A 15,800 333,380
Children's Place Retail Stores 17,600 (a) 529,760
Christopher & Banks 24,175 705,910
Coachmen Industries 10,400 162,136
Concord Camera 14,000 (a) 179,760
Cost Plus 12,900 (a) 591,723
Department 56 10,500 (a) 147,525
Dress Barn 21,000 (a) 294,000
Duane Reade 12,100 (a) 166,375
Electronics Boutique Holdings 16,100 (a) 458,045
Enesco Group 7,900 (a) 77,499
Ethan Allen Interiors 24,800 912,640
Fedders 11,970 70,025
Fleetwood Enterprises 21,900 (a) 220,752
Footstar 11,500 (a) 71,875
Fossil 29,250 (a) 789,750
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Fred's 25,000 942,000
Frontier Airlines 19,500 (a) 313,365
GenCorp 28,500 269,895
Genesco 15,000 (a) 252,750
Goody's Family Clothing 23,900 251,906
Great Atlantic & Pacific 20,000 (a) 125,000
Group 1 Automotive 15,000 (a) 531,450
Guitar Center 13,500 (a) 439,425
Gymboree 19,200 (a) 316,800
Haggar 3,000 47,700
Hancock Fabrics 12,600 187,866
Harman International Industries 21,000 2,692,200
Haverty Furniture 15,500 321,625
Hot Topic 31,900 (a) 915,849
Huffy 2,900 (a) 17,255
IHOP 14,500 537,950
Insight Enterprises 27,500 (a) 462,550
Interface, Cl. A 30,200 (a) 167,610
Intermet 13,000 57,200
J. Jill Group 11,000 (a) 133,870
JAKKS Pacific 17,600 (a) 228,800
Jack in the Box 26,000 (a) 472,940
Jo-Ann Stores, Cl. A 14,400 (a) 432,144
K-Swiss 11,800 518,492
K2 17,000 (a) 282,030
Kellwood 18,000 672,660
Landry's Restaurants 18,200 455,546
La-Z Boy 35,000 707,000
Linens 'n Things 29,000 (a) 856,080
Lone Star Steakhouse & Saloon 15,700 343,359
Marcus 20,300 303,485
Men's Wearhouse 27,000 (a) 795,420
Mesa Air Group 26,200 (a) 282,174
Midas 6,800 (a) 91,256
Monaco Coach 17,350 (a) 417,962
Movie Gallery 23,000 (a) 475,640
NBTY 44,000 (a) 1,199,000
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
National Presto Industries 5,000 173,500
Nautilus Group 20,400 318,444
O'Charleys 12,100 (a) 203,885
OshKosh B'Gosh 7,500 161,700
Oshkosh Truck 23,600 1,081,588
Oxford Industries 5,600 383,600
P.F. Chang's China Bistro 16,300 (a) 794,462
Pacific Sunwear of California 51,262 (a) 1,183,639
Panera Bread, Cl. A 18,500 (a) 744,255
Papa John's International 12,000 (a) 315,720
Pep Boys-Manny, Moe & Jack 37,000 711,510
Phillips-Van Heusen 16,200 277,668
Pinnacle Entertainment 12,500 (a) 109,375
Polaris Industries 15,000 1,284,000
Prime Hospitality 28,300 (a) 257,530
Quicksilver 34,900 (a) 599,233
RARE Hospitality International 21,750 (a) 539,400
Russ Berrie & Co 15,300 548,505
Russell 23,400 427,752
Ryan's Family Steak House 30,600 (a) 426,564
SCP Pool 23,787 (a) 832,545
Salton 8,300 (a) 88,644
School Specialty 12,000 (a) 334,560
ShopKo Stores 21,000 (a) 325,080
Shuffle Master 11,000 (a) 334,840
SkyWest 35,300 652,697
Sonic 25,937 (a) 721,308
Standard Motor Products 13,600 151,640
Steak n Shake 16,378 (a) 283,339
Stein Mart 22,600 (a) 162,494
Stride Rite 28,000 337,400
Sturm Ruger 19,800 224,730
TBC 15,300 (a) 416,007
Thor Industries 18,600 1,192,632
Too 20,000 (a) 330,000
Toro 17,000 844,900
Tower Automotive 29,500 (a) 117,410
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Tractor Supply 24,500 (a) 1,026,795
Triarc, Cl. B 36,000 383,760
Ultimate Electronics 5,500 (a) 49,445
Urban Outfitters 24,200 (a) 807,312
WMS Industries 17,100 (a) 395,523
Wabash National 18,500 (a) 426,795
Wet Seal, Cl. A 15,900 (a) 174,741
Winnebago Industries 12,700 740,410
Wolverine World Wide 27,700 559,540
Zale 18,700 (a) 967,912
53,748,650
CONSUMER STAPLES--2.4%
American Italian Pasta, Cl. A 11,400 (a) 435,936
Corn Products International 23,900 809,971
Delta & Pine Land 25,233 576,826
Flowers Foods 30,850 732,071
Hain Celestial Group 20,300 (a) 428,330
International Multifoods 13,800 (a) 307,878
J & J Snack Foods 6,200 (a) 221,278
Lance 20,300 262,885
Libbey 9,700 257,923
Nash Finch 9,300 146,475
Nature's Sunshine Products 8,600 68,886
Performance Food Group 28,100 (a) 1,046,725
Ralcorp Holdings 19,800 (a) 544,500
United Natural Foods 11,400 (a) 440,952
WD-40 11,000 356,950
6,637,586
ENERGY--7.1%
American States Water 8,350 204,575
Atmos Energy 33,500 820,750
Atwood Oceanics 7,100 (a) 183,819
Cabot Oil & Gas 21,500 549,325
Cal Dive International 25,000 (a) 518,250
Carbo Ceramics 12,100 508,200
Cascade Natural Gas 6,100 118,950
Cimarex Energy 28,600 (a) 584,870
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
Dril-Quip 9,700 (a) 145,500
Energen 25,600 943,872
Evergreen Resources 27,700 (a) 759,534
Frontier Oil 19,100 305,600
Hydril 14,200 (a) 332,990
Laclede Group 12,700 360,045
NUI 9,700 165,579
New Jersey Resources 18,800 711,580
Newfield Exploration 37,000 (a) 1,470,010
Northwest Natural Gas 15,200 440,800
Nuevo Energy 13,800 (a) 271,584
Oceaneering International 14,800 (a) 341,288
Patina Oil & Gas 23,875 1,007,048
Piedmont Natural Gas 21,100 838,303
Plains Resources 12,600 (a) 166,950
Prima Energy 9,200 (a) 255,944
Remington Oil & Gas 18,600 (a) 332,010
Southern Union 48,972 (a) 862,397
Southwest Gas 20,400 460,632
Southwestern Energy 26,500 (a) 514,100
Spinnaker Exploration 20,500 (a) 524,595
St. Mary Land & Exploration 19,000 495,900
Stone Energy 17,600 (a) 636,064
Swift Energy 15,500 (a) 215,450
TETRA Technologies 17,150 (a) 387,761
Tom Brown 27,500 (a) 743,050
UGI 29,000 893,200
Unit 31,800 (a) 616,602
Veritas DGC 18,700 (a) 165,682
Vintage Petroleum 42,000 485,100
W-H Energy Services 15,700 (a) 246,176
19,584,085
HEALTH CARE--11.2%
Accredo Health 31,125 (a) 994,755
Advanced Medical Optics 21,000 (a) 423,570
Alpharma, Cl. A 34,400 626,080
American Healthways 10,500 (a) 435,225
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
American Medical Systems Holdings 20,700 (a) 414,000
Amerigroup 15,200 (a) 635,664
AmSurg 12,500 (a) 449,875
ArQule 10,500 (a) 54,600
ArthroCare 12,000 (a) 268,200
Biosite 10,600 (a) 273,480
CIMA Labs 8,000 (a) 251,200
CONMED 20,100 (a) 409,035
Cephalon 35,500 (a) 1,667,080
Cooper Cos 21,000 912,450
CryoLife 9,950 (a) 60,795
Curative Health Services 8,400 (a) 120,036
Datascope 10,500 349,545
Diagnostic Products 19,400 791,908
Enzo Biochem 21,940 (a) 405,890
Haemonetics 16,000 (a) 368,960
Hologic 11,000 (a) 149,600
Hooper Holmes 37,200 193,812
ICU Medical 9,700 (a) 327,763
IDEXX Laboratories 22,600 (a) 1,068,980
INAMED 15,200 (a) 1,312,824
Integra LifeSciences Holdings 16,300 (a) 549,962
Invacare 20,300 832,706
MGI Pharma 18,800 (a) 706,128
Medicis Pharmaceutical, Cl. A 17,600 1,114,960
Mentor 32,000 648,000
Mid Atlantic Medical Services 32,000 (a) 1,868,800
Noven Pharmaceuticals 13,900 (a) 140,251
Odyssey Healthcare 21,450 (a) 595,023
Orthodontic Centers of America 35,400 (a) 312,936
Osteotech 8,000 (a) 64,720
Owens & Minor 23,100 469,854
Pediatrix Medical Group 15,500 (a) 828,475
PolyMedica 17,200 507,400
Possis Medical 11,400 (a) 185,592
Priority Healthcare, Cl. B 28,918 (a) 625,496
Province Healthcare 31,750 (a) 407,670
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Regeneron Pharmaceuticals 31,800 (a) 440,112
RehabCare Group 10,600 (a) 165,572
Renal Care Group 32,500 (a) 1,219,075
ResMed 21,700 (a) 906,409
Respironics 22,300 (a) 929,687
Savient Pharmaceuticals 49,800 (a) 301,290
Sierra Health Services 19,900 (a) 463,471
Sola International 17,400 (a) 298,410
Sunrise Senior Living 15,200 (a) 439,280
Sybron Dental Specialties 26,199 (a) 602,577
Techne 27,000 (a) 940,410
Theragenics 17,000 (a) 75,650
US Oncology 60,500 (a) 661,870
Viasys Healthcare 20,300 (a) 366,415
Vital Signs 9,700 294,201
30,927,729
INTEREST SENSITIVE--14.0%
Anchor Bancorp Wisconsin 15,700 390,930
BankUnited Financial, Cl. A 20,800 (a) 459,888
Boston Private Financial Holdings 13,600 346,392
Brookline Bancorp 33,600 497,952
Capital Automotive 22,700 706,197
Cash America International 15,900 303,531
Centene 13,000 (a) 397,930
Chittenden 24,850 799,673
Colonial Properties Trust 17,400 643,800
Commercial Federal 26,400 679,536
Community First Bankshares 23,300 632,595
Delphi Financial Group, Cl. A 14,578 734,294
Dime Community Bancshares 17,200 479,536
Downey Financial 17,980 825,282
East West Bancorp 16,100 790,349
Essex Property Trust 14,300 856,284
Financial Federal 10,300 (a) 345,565
First Bancorp 27,950 930,735
First Midwest Bancorp 31,674 978,727
First Republic Bank 11,200 400,960
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
FirstFed Financial 12,300 (a) 553,500
Flagstar Bancorp 41,500 925,450
Fremont General 53,300 886,379
Gables Residential Trust 16,400 527,752
Glenborough Realty Trust 20,900 407,550
Hilb, Rogal & Hamilton 21,700 651,434
Hudson United Bancorp 30,380 1,102,490
iDine Rewards Network 12,000 (a) 131,040
Irwin Financial 20,400 571,812
Jefferies Group 35,300 1,094,300
Kilroy Realty 17,900 517,310
LandAmerica Financial Group 13,100 655,131
Lexington Corporate Properties Trust 23,500 450,730
MAF Bancorp 17,300 725,216
NCO Group 17,200 (a) 409,360
New Century Financial 24,050 891,774
Philadelphia Consolidated Holding 16,000 (a) 754,400
Presidential Life 18,200 279,552
Provident Bankshares 16,224 503,431
RLI 16,500 554,400
Raymond James Financial 32,700 1,333,833
Republic Bancorp 35,800 519,816
Riggs National 14,800 244,348
SCPIE Holdings 5,400 72,630
SWS Group 12,371 268,451
Seacoast Financial Services 16,100 412,321
Selective Insurance Group 17,600 540,320
Shurgard Storage Centers, Cl. A 29,000 1,049,800
South Financial Group 35,800 935,454
Southwest Bancorporation of Texas 21,000 754,110
Staten Island Bancorp 35,800 713,494
Sterling Bancshares 26,700 307,050
Stewart Information Services 13,000 (a) 404,950
Susquehanna Bancshares 23,900 598,695
Trustco Bank 52,044 679,174
UCBH Holdings 30,400 1,085,584
UICI 31,600 (a) 472,736
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Umpqua Holdings 16,400 335,380
United Bankshares 28,300 856,075
Waypoint Financial 19,965 415,671
Whitney Holding 27,950 1,061,261
Wintrust Financial 13,000 563,420
Zenith National Insurance 13,200 405,240
38,822,980
INTERNET--.7%
j2 Global Communications 16,300 (a) 461,616
Netegrity 25,800 (a) 305,988
PC-Tel 14,800 (a) 149,924
Verity 24,100 (a) 338,605
WebEx Communications 29,000 (a) 640,610
1,896,743
PRODUCER GOODS & SERVICES--19.6%
A. Schulman 22,000 417,780
A. M. Castle 7,000 (a) 36,400
A. O. Smith 20,650 653,572
AAR 20,150 (a) 219,635
Acuity Brands 28,000 602,000
Alliant Techsystems 25,475 (a) 1,318,586
Apogee Enterprises 15,100 157,795
Applied Industrial Technologies 14,100 317,955
AptarGroup 24,500 877,100
Arch Chemicals 13,200 292,776
Arkansas Best 17,100 566,181
Astec Industries 8,000 (a) 101,760
Baldor Electric 21,833 465,043
Barnes Group 16,000 466,880
Belden 17,100 320,625
Brady, Cl. A 14,600 515,380
Briggs & Stratton 15,000 975,150
Brooks Automation 22,000 (a) 548,900
Brush Engineered Materials 10,800 (a) 137,484
Buckeye Technologies 20,000 (a) 180,200
Building Materials Holding 9,800 138,572
Butler Manufacturing 3,000 53,250
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS & SERVICES (CONTINUED)
C&D Technologies 17,200 342,796
CLARCOR 17,450 709,342
CUNO 10,400 (a) 414,960
Cable Design Technologies 29,725 (a) 286,549
Cambrex 17,600 416,064
Caraustar Industries 13,100 (a) 125,891
Century Aluminum 14,100 (a) 232,086
Champion Enterprises 29,000 (a) 205,900
Chesapeake 11,100 270,840
Cleveland-Cliffs 7,600 (a) 228,000
Commercial Metals 18,900 466,452
Commonwealth Industries 14,000 95,900
Cubic 18,100 514,040
Curtiss-Wright 6,900 510,600
DRS Technologies 14,200 (a) 341,652
Deltic Timber 7,200 206,136
EDO 10,400 231,920
ElkCorp 11,900 302,260
Emcor Group 8,800 (a) 331,672
Engineered Support Systems 16,500 743,710
Florida Rock Industries 19,250 1,102,062
Forward Air 13,800 (a) 401,304
Gardner Denver 10,400 (a) 214,864
Georgia Gulf 22,800 613,320
Griffon 21,800 (a) 421,830
H. B. Fuller 19,000 470,820
Heartland Express 33,271 826,452
Hughes Supply 16,200 626,130
IDEX 21,400 795,652
IMCO Recycling 7,800 (a) 58,656
Insituform Technologies, Cl. A 16,700 (a) 238,810
Intermagnetics General 10,617 (a) 249,924
InVision Technologies 9,700 (a) 263,549
Ionics 11,000 (a) 313,390
JLG Industries 23,800 284,172
Kaman, Cl. A 15,100 184,220
Kansas City Southern 36,400 (a) 481,572
COMMON STOCKS (CONTINUED) Shares Value ($)
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PRODUCER GOODS & SERVICES (CONTINUED)
Kaydon 18,500 439,745
Kirby 15,100 (a) 443,638
Knight Transportation 25,100 (a) 631,767
Landstar System 10,500 (a) 766,920
Lawson Products 6,600 198,000
Lennox International 39,800 658,292
Lindsay Manufacturing 6,900 160,011
Lone Star Technologies 16,200 (a) 225,504
Lydall 11,400 (a) 135,546
M.D.C. Holdings 19,665 1,323,848
MacDermid 21,300 636,444
MagneTek 9,000 (a) 54,810
Manitowoc 15,175 329,298
Massey Energy 45,000 625,500
Material Sciences 7,600 71,288
Maverick Tube 26,300 (a) 444,207
Milacron 13,700 32,743
Mueller Industries 23,500 (a) 741,660
Myers Industries 19,518 238,120
NVR 4,800 (a) 2,349,120
OM Group 15,200 272,080
Offshore Logistics 16,100 (a) 350,980
Omnova Solutions 21,200 (a) 74,412
Penford 5,600 78,344
PolyOne 45,500 219,765
Pope & Talbot 9,200 131,836
Quaker Chemical 7,800 207,012
Quanex 11,500 460,575
RTI International Metals 13,400 (a) 160,934
Regal Beloit 16,300 331,705
Reliance Steel & Aluminum 22,400 642,880
Roadway 12,400 635,500
Robins & Myers 9,300 196,230
Rock-Tenn, Cl. A 23,600 379,960
Rogers 12,000 (a) 479,760
Ryerson Tull 14,200 114,452
Ryland Group 17,200 1,529,080
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS & SERVICES (CONTINUED)
SPS Technologies 9,000 (a) 443,880
Schweitzer-Mauduit International 10,700 284,620
Seacor Smit 11,450 (a) 438,764
Shaw Group 34,400 (a) 469,560
Simpson Manufacturing 17,100 (a) 765,225
Skyline 6,100 210,145
Standard Pacific 22,000 1,052,700
Standex International 8,800 223,960
Steel Dynamics 33,500 (a) 624,105
Steel Technologies 8,300 127,903
Stewart & Stevenson Services 18,500 309,320
SurModics 12,500 (a) 262,625
Technitrol 26,500 577,700
Teledyne Technologies 21,000 (a) 346,290
Texas Industries 11,800 320,606
Thomas Industries 11,750 354,850
Timken 54,500 914,510
Tredegar 22,600 352,108
Triumph Group 11,000 (a) 359,150
URS 23,000 (a) 503,470
USF 16,500 526,680
United Stationers 22,900 (a) 852,109
Universal Forest Products 11,700 346,320
Valmont Industries 15,800 328,640
Watsco 18,500 396,085
Watts Water Technologies 19,000 337,440
Wellman 25,800 212,850
Wilson Greatbatch Technologies 13,000 (a) 490,100
Wolverine Tube 9,000 (a) 45,810
Woodward Governor 8,700 402,462
Yellow 19,800 (a) 650,430
54,188,904
SERVICES--8.4%
ABM Industries 33,600 522,816
ADVO 13,800 618,654
Aaron Rents 21,398 468,616
Administaff 18,400 (a) 213,072
COMMON STOCKS (CONTINUED) Shares Value ($)
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SERVICES (CONTINUED)
American Management Systems 25,950 (a) 384,060
Arbitron 21,000 (a) 829,500
Armor Holdings 18,000 (a) 351,000
BARRA 13,100 (a) 497,800
Boston Communications Group 14,500 (a) 136,590
Bowne & Co 20,100 301,500
CACI International, Cl. A 20,000 (a) 990,600
CDI 13,300 435,575
Central Parking 20,010 241,521
Ciber 40,000 (a) 368,800
Consolidated Graphics 9,600 (a) 265,440
Cross Country Healthcare 21,100 (a) 293,079
eFunds 32,300 (a) 517,123
4Kids Entertainment 8,600 (a) 210,270
FactSet Research Systems 22,800 994,992
G & K Services, Cl. A 14,300 471,900
Global Payments 24,720 1,029,588
Heidrick & Struggles International 8,800 (a) 173,800
ITT Educational Services 30,500 (a) 1,518,900
Information Holdings 13,000 (a) 291,460
Insurance Auto Auction 7,500 (a) 98,182
John H. Harland 19,500 530,985
Kroll 27,500 (a) 639,650
Labor Ready 28,450 (a) 309,251
MAXIMUS 14,200 (a) 495,722
MICROS Systems 12,100 (a) 489,929
MemberWorks 9,000 (a) 259,920
Mobile Mini 9,300 (a) 196,137
NDCHealth 22,600 596,414
New England Business Service 9,300 270,630
On Assignment 6,900 (a) 36,087
PAREXEL International 17,800 (a) 297,616
PRG-Schultz International 32,950 (a) 156,512
Paxar 26,525 (a) 317,770
Pegasus Solutions 11,800 (a) 128,856
Pharmaceutical Product Development 37,000 (a) 1,112,590
Pre-Paid Legal Services 12,900 (a) 350,364
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
Regis 30,000 1,140,600
Roto-Rooter 6,399 225,885
Sourcecorp 11,500 (a) 269,445
Spherion 33,000 (a) 287,100
Standard Register 19,800 348,480
StarTek 9,800 325,458
Tetra Tech 35,256 (a) 792,555
Thomas Nelson 11,000 174,350
Volt Information Sciences 11,700 (a) 204,750
Waste Connections 18,300 (a) 634,644
Watson Wyatt & Company Holdings 23,000 (a) 553,150
23,369,688
TECHNOLOGY--15.0%
ANSYS 10,800 (a) 384,912
ATMI 19,400 (a) 446,006
Actel 15,800 (a) 426,284
Adaptec 70,500 (a) 599,955
Advanced Energy Industries 20,800 (a) 474,864
Aeroflex 40,700 (a) 377,696
Agilysys 22,300 229,244
Alliance Semiconductor 15,000 (a) 115,500
Analogic 9,000 392,760
Anixter International 23,900 (a) 570,732
Artesyn Technologies 27,600 (a) 227,148
Audiovox, Cl. A 17,400 (a) 208,800
Avid Technology 20,400 (a) 1,055,496
Axcelis Technologies 69,000 (a) 730,020
BEI Technologies 10,700 198,057
Bel Fuse, Cl. B 7,000 183,750
Bell Microproducts 18,300 (a) 154,452
Benchmark Electronics 17,500 (a) 852,600
Black Box 13,600 585,616
Brooktrout Technology 7,000 (a) 100,660
C-COR.net 25,000 (a) 252,000
CTS 23,700 262,359
Captaris 20,500 (a) 121,975
Carreker 14,800 (a) 144,300
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Catapult Communications 7,700 (a) 104,951
Cerner 23,500 (a) 995,695
Checkpoint Systems 22,900 (a) 431,436
Cognex 29,300 786,705
Coherent 17,400 (a) 400,200
Cohu 13,600 272,952
Coinstar 14,300 (a) 209,495
Concerto Software 4,500 (a) 53,730
Concord Communications 11,900 (a) 213,129
Cymer 22,300 (a) 1,018,218
DSP Group 19,600 (a) 468,048
Dendrite International 28,000 (a) 422,800
Digi Inernational 11,300 (a) 103,960
Dionex 14,250 (a) 606,195
DuPont Photomasks 10,600 (a) 245,708
EPIQ Systems 13,000 (a) 219,700
ESS Technology 29,500 (a) 409,460
Electro Scientific Industries 16,100 (a) 395,416
Esterline Technologies 13,300 (a) 294,595
Exar 27,600 (a) 444,084
FEI 20,000 (a) 475,000
FLIR Systems 23,200 (a) 725,232
FileNet 24,500 (a) 654,640
Gerber Scientific 15,500 (a) 122,450
Global Imaging Systems 13,800 (a) 400,890
Harmonic 40,000 (a) 310,400
Helix Technology 15,300 274,635
Hutchinson Technology 18,300 (a) 613,233
Hyperion Solutions 26,575 (a) 889,997
Imagistics International 11,800 (a) 379,370
Input/Output 30,000 (a) 123,300
Inter-Tel 17,300 435,787
Itron 14,400 (a) 295,056
JDA Software Group 20,000 (a) 428,200
Keithley Instruments 10,000 161,300
Kopin 40,200 (a) 294,666
Kronos 20,250 (a) 810,000
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Kulicke & Soffa Industries 32,600 (a) 478,568
MRO Software 15,400 (a) 194,810
Manhattan Associates 19,200 (a) 534,528
ManTech International, Cl. A 18,000 (a) 440,280
MapInfo 9,200 (a) 83,812
Meade Instruments 9,000 (a) 33,750
Mercury Computer Systems 15,000 (a) 322,650
Methode Electronics, Cl. A 26,000 309,660
Microsemi 22,300 (a) 461,610
Midway Games 18,117 (a) 51,452
NYFIX 18,700 (a) 148,852
Network Equipment Technologies 15,900 (a) 166,155
Park Electrochemical 12,650 309,925
Pericom Semiconductor 14,000 (a) 159,460
Phoenix Technologies 13,000 (a) 85,540
Photon Dynamics 10,000 (a) 378,200
Photronics 23,700 (a) 510,498
Pinnacle Systems 41,050 (a) 285,298
Planar Systems 10,600 (a) 245,284
Power Integrations 19,400 (a) 675,508
Progress Software 23,800 (a) 525,266
Radiant Systems 17,400 (a) 115,884
RadiSys 12,300 (a) 240,465
Rainbow Technologies 22,800 (a) 280,668
Roper Industries 21,000 1,037,820
Roxio 17,500 (a) 178,325
Rudolph Technologies 10,700 (a) 279,805
SBS Technologies 8,800 (a) 120,736
SCM Microsystems 5,000 (a) 41,600
SPSS 11,800 (a) 214,760
Serena Software 26,400 (a) 455,400
Skyworks Solutions 95,000 (a) 815,100
Standard Microsystems 12,400 (a) 372,000
Supertex 11,000 (a) 206,250
Symmetricom 22,350 (a) 160,920
Systems & Computer Technology 23,700 (a) 348,390
THQ 24,950 (a) 442,613
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Take-Two Interactive Software 28,100 (a) 1,111,355
Talx 9,800 212,268
Three-Five Systems 8,349 (a) 38,739
Tollgrade Communications 9,300 (a) 145,731
Trimble Navigation 20,100 (a) 555,765
Ultratech 16,500 (a) 514,965
Varian Semiconductor Equipment Associates 22,400 (a) 1,083,040
Veeco Instruments 19,100 (a) 483,994
ViaSat 18,000 (a) 353,340
Vicor 24,100 (a) 244,374
Websense 14,900 (a) 348,660
X-Rite 15,800 171,904
Zix 9,000 (a) 84,591
41,646,387
UTILITIES--1.4%
Avista 32,600 554,200
Central Vermont Public Service 9,300 213,900
CH Energy Group 10,800 473,040
Cleco 30,500 510,875
Commonwealth Telephone Enterprises 15,100 (a) 615,476
El Paso Electric 29,800 (a) 361,772
General Communication, Cl. A 33,500 (a) 330,310
Green Mountain Power 3,400 77,214
Metro One Telecommunications 12,200 (a) 32,208
UIL Holdings 10,300 386,868
UniSource Energy 22,600 436,180
3,992,043
TOTAL COMMON STOCKS
(cost $234,960,384) 275,035,115
- ------------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--1.0% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--.9%
Greenwich Capital Markets, Tri-Party Repurchase
Agreement, 1.00%, dated 10/31/2003, due
11/3/2003 in the amount of $2,705,225 (fully
collateralized by $2,725,000 Freddie Mac Notes,
5%, 5/29/2013 value $2,762,665) 2,705,000 2,705,000
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
Principal
U.S. TREASURY BILLS--.1% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
..95%, 11/13/2003 20,000 (b) 19,995
..92%, 12/11/2003 50,000 (b) 49,954
..89%, 12/26/2003 75,000 (b) 74,899
..92%, 1/15/2004 10,000 (b) 9,982
154,830
TOTAL SHORT-TERM INVESTMENTS
(cost $2,859,821) 2,859,830
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $237,820,205) 100.3% 277,894,945
LIABILITIES, LESS CASH AND RECEIVABLES (.3%) (941,260)
NET ASSETS 100.0% 276,953,685
(A) NON-INCOME PRODUCING.
(B) PARTIALLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF FINANCIAL FUTURES
October 31, 2003
Market Value Unrealized
Covered by Appreciation
Contracts Contracts ($) Expiration at 10/31/2003 ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG
Russell 2000 4 1,056,700 December 2003 11,700
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2003
Cost Value
- --------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of
Investments--Note 1(c) 237,820,205 277,894,945
Cash 1,086,403
Receivable for investment securities sold 2,926,488
Receivable for shares of Common Stock subscribed 867,361
Dividends and interest receivable 122,412
282,897,609
- --------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 111,491
Payable for investment securities purchased 5,592,736
Payable for shares of Common Stock redeemed 232,797
Payable for futures variation margin--Note 4 6,900
5,943,924
- --------------------------------------------------------------------------------
NET ASSETS ($) 276,953,685
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 239,424,571
Accumulated undistributed investment income--net 650,357
Accumulated net realized gain (loss) on investments (3,207,683)
Accumulated net unrealized appreciation
(depreciation) on investments (including $11,700
net unrealized appreciation on financial futures) 40,086,440
- --------------------------------------------------------------------------------
NET ASSETS ($) 276,953,685
- --------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 16,994,983
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 16.30
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF OPERATIONS
Year Ended October 31, 2003
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $994 foreign taxes withheld at source) 1,847,601
Interest 13,584
TOTAL INCOME 1,861,185
EXPENSES:
Management fee--Note 3(a) 494,168
Shareholder servicing costs--Note 3(b) 494,168
Loan commitment fees--Note 2 2,517
Interest expense--Note 2 909
TOTAL EXPENSES 991,762
INVESTMENT INCOME--NET 869,423
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments (1,716,435)
Net realized gain (loss) on financial futures 235,518
NET REALIZED GAIN (LOSS) (1,480,917)
Net unrealized appreciation (depreciation) on investments
(including $11,700 net unrealized appreciation on financial futures)
61,004,529
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 59,523,612
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 60,393,035
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
-----------------------------------
2003 2002
- --------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 869,423 406,906
Net realized gain (loss) on investments (1,480,917) 290,397
Net unrealized appreciation
(depreciation) on investments 61,004,529 (19,086,930)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 60,393,035 (18,389,627)
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (595,185) (282,414)
Net realized gain on investments (385,518) (598,449)
TOTAL DIVIDENDS (980,703) (880,863)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 122,541,246 135,918,872
Dividends reinvested 747,608 735,450
Cost of shares redeemed (67,653,116) (38,736,481)
Redemption fee 16,755 59,946
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL STOCK TRANSACTIONS 55,652,493 97,977,787
TOTAL INCREASE (DECREASE) IN NET ASSETS 115,064,825 78,707,297
- --------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 161,888,860 83,181,563
END OF PERIOD 276,953,685 161,888,860
Undistributed investment income--net 650,357 373,853
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 8,819,812 9,463,906
Shares issued for dividends reinvested 58,682 50,616
Shares redeemed (4,978,794) (2,827,603)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 3,899,700 6,686,919
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
Year Ended October 31,
-------------------------------------------------------------------
2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
Net asset value, beginning of period 12.36 12.98 15.49 13.03 12.16
Investment Operations:
Investment income--net(a) .06 .04 .04 .03 .04
Net realized and unrealized
gain (loss) on investments 3.95 (.53) (1.06) 3.06 1.38
Total from Investment Operations 4.01 (.49) (1.02) 3.09 1.42
Distributions:
Dividends from investment income--net (.04) (.04) (.03) (.04) (.05)
Dividends from net realized
gain on investments (.03) (.09) (1.46) (.59) (.50)
Total Distributions (.07) (.13) (1.49) (.63) (.55)
Redemption fee reimbursement .00(b) .00(b) .00(b) -- --
Net asset value, end of period 16.30 12.36 12.98 15.49 13.03
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 32.63 (3.92) (6.95) 24.64 11.86
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of operating expenses
to average net assets .50 .50 .50 .50 .50
Ratio of interest expense and loan
commiment fees to average net assets .00(c) .00(c) .01 .01 .01
Ratio of net investment income
to average net assets .44 .30 .28 .21 .34
Portfolio Turnover Rate 13.52 12.35 42.01 36.89 41.97
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ x 1,000) 276,954 161,889 83,182 59,628 35,991
(A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
(B) AMOUNT REPRESENTS LESS THAN $.01 PER SHARE.
(C) AMOUNT REPRESENTS LESS THAN .01%.
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
NOTES TO FINANCIAL STATEMENTS
NOTE 1--SIGNIFICANT ACCOUNTING POLICIES:
Dreyfus Smallcap Stock Index Fund (the "fund") is a separate non-diversified
series of Dreyfus Index Funds, Inc. (the "Company") which is registered under
the Investment Company Act of 1940, as amended (the "Act"), as an open-end
management investment company and operates as a series company currently
offering three series including the fund. The fund's investment objective is to
match the performance of the Standard & Poor's Small Cap 600 Index. The Dreyfus
Corporation (the "Manager") serves as the fund's investment adviser. The Manager
is a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned
subsidiary of Mellon Financial Corporation. Dreyfus Service Corporation (the "
Distributor"), a wholly-owned subsidiary of the Manager, is the distributor of
the fund' s shares, which are sold to the public without a sales charge
The fund's financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
(A) PORTFOLIO VALUATION: Investments in securities (including financial futures)
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. Effective April 14, 2003, the fund began pricing securities
traded on the NASDAQ stock market using the NASDAQ official closing price.
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. Bid price is used when no asked price is
available. Securities for which there are no such valuations are valued at fair
value as determined in good faith under the direction of the Board of Directors.
Short-term investments (excluding U.S. Treasury Bills) are carried at amortized
cost, which approximates value.
(B) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Realized gain and loss 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, amortization of discount and premium on investments, is recognized
on the accrual basis.
(C) REPURCHASE AGREEMENTS: The fund may engage in repurchase agreement
transactions. Under the terms of a typical repurchase agreement, the fund,
through its custodian and sub-custodian, takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase, and the fund to
resell, the obligation at an agreed-upon price and time, thereby determining the
yield during the fund's holding period. This arrangement results in a fixed rate
of return that is not subject to market fluctuations during the fund's holding
period. The value of the collateral is at least equal, at all times, to the
total amount of the repurchase obligation, including interest. In the event of a
counter party default, the fund has the right to use the collateral to offset
losses incurred. There is potential loss to the fund in the event the fund is
delayed or prevented from exercising its rights to dispose of the collateral
securities, including the risk of a possible decline in the value of the
underlying securities during the period while the fund seeks to assert its
rights. The Manager, acting under the supervision of the Board of Directors,
reviews the value of the collateral and the creditworthiness of those banks and
dealers with which the fund enters into repurchase agreements to evaluate
potential risks.
(D) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain, 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 real The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ized capital gain can be offset by capital loss carryovers, if any, it is the
policy of the fund not to distribute such gain. Income and capital gain
distributions are determined in accordance with income tax regulations, which
may differ from accounting principles generally accepted in the United States of
America.
(E) 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.
At October 31, 2003, the components of accumulated earnings on a tax basis were
as follows: undistributed ordinary income $606,244, accumulated capital losses
$720,311 and unrealized appreciation $37,654,882.
The accumulated capital loss carryover is available to be applied against future
net securities profits, if any, realized subsequent to October 31, 2003. If not
applied, the carryover expires in fiscal 2011.
The tax character of distributions paid to shareholders during the fiscal
periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary
income $595,185 and $282,414 and long-term capital gain $385,518 and $598,449,
respectively.
During the period ended October 31, 2003, as a result of permanent book to tax
differences, the fund increased accumulated undistributed investment income-net
by $2,266, increased accumulated net realized gain (loss) on investments by
$14,489 and decreased paid-in capital by $16,755. Net assets were not affected
by this reclassification.
NOTE 2--BANK LINE OF CREDIT:
The fund participates with other Dreyfus-managed funds in a $350 million
redemption credit facility (the "Facility" ) to be utilized for temporary or
emergency purposes, including the financing of redemptions. In connection
therewith, the fund has agreed to pay commitment fees
on its pro rata portion of the Facility. Interest is charged to the fund based
on prevailing market rates in effect at the time of borrowings.
The average daily amount of borrowings outstanding under the Facility during the
period ended October 31, 2003, was approximately $53,700 with a related weighted
average annualized interest rate of 1.69%.
NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES:
(A) Pursuant to an Investment Management Agreement ("Agreement") with the
Manager, the management fee is computed at the annual rate of .25 of 1% of the
value of the fund's average daily net assets, and is payable monthly. Under the
terms of the Agreement, the Manager has agreed to pay all the expenses of the
fund, except management fees, brokerage commissions, taxes, interest, commitment
fees, Shareholder Services Plan fees, fees and expenses of non-interested Board
members (including counsel fees) and extraordinary expenses. In addition, the
Manager is required to reduce its fee in an amount equal to the fund's allocable
portion of fees and expenses of the non-interested Board members (including
counsel fees) . Each Board member also serves as a Board member of other funds
within the Dreyfus complex (collectively, the "Fund Group"). Each Board member
receives an annual fee of $25,000, an attendance fee of $4,000 for each
in-person meeting and $500 for telephone meetings. The chairman of the Board
receives an additional 25% of such compensation (with the exception of
reimburseable amounts) . Subject to the Company's Emeritus Program Guidelines,
Emeritus Board Members, if any, receive 50% of the annual retainer fee and per
meeting fee paid at the time the Board member achieves emeritus status. Amounts
required to be paid by the Company directly to the non-interested Board members,
that were applied to offset a portion of the management fee payable to the
Manager, were in fact paid directly by the Manager to the non-interested Board
members. These fees are allocated among the funds in the Fund Group in
proportion to each fund's relative net assets. This amount for the period ended
October 31, 2003 was $5,411.
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(B) Under the Shareholder Services Plan, the fund pays the Distributor for the
provision of certain services at the annual rate of .25 of 1% of the value of
the fund's average daily net assets. The services provided may include personal
services relating to shareholder accounts, such as answering shareholder
inquiries regarding the fund and providing reports and other information, and
services related to the maintenance of shareholder accounts. The Distributor may
make payments to Service Agents (a securities dealer, bank or other financial
institution) in respect of these services. The Distributor determines the
amounts to be paid to Service Agents. During the period ended October 31, 2003,
the fund was charged an aggregate of $494,168 pursuant to the Shareholder
Services Plan.
(C) A 1% redemption fee is charged and retained by the fund on shares redeemed
within six months following the date of issuance, including redemptions made
through the use of the fund's exchange privilege.
NOTE 4--SECURITIES TRANSACTIONS:
The aggregate amount of purchases and sales of investment securities, excluding
short-term securities and financial futures, during the period ended October 31,
2003, amounted to $81,073,395 and $26,759,818, respectively.
The fund may invest in financial futures contracts in order to gain exposure to
or protect against changes in the market. The fund is exposed to market risk as
a result of changes in the value of the underlying financial instruments.
Investments in financial futures require the fund to "mark to market" on a daily
basis, which reflects the change in the market value of the contract at the
close of each day's trading. Accordingly, variation margin payments are received
or made to reflect daily unrealized gains or losses. When the contracts are
closed, the fund recognizes a realized gain or loss. These investments require
initial margin deposits with a broker, which consist of cash or cash
equivalents,
up to approximately 10% of the contract amount. 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. Contracts open at October 31, 2003, are set forth in the
Statement of Financial Futures.
At October 31, 2003, the cost of investments for federal income tax purposes was
$240,251,763; accordingly, accumulated net unrealized appreciation on
investments was $37,643,182, consisting of $54,840,181 gross unrealized
appreciation and $17,196,999 gross unrealized depreciation.
The Fund
REPORT OF INDEPENDENT AUDITORS
To the Board of Directors and Shareholders of Dreyfus Smallcap Stock Index Fund
In our opinion, the accompanying statement of assets and liabilities, including
the statements of investments and financial futures, and the related statements
of operations and of changes in net assets and financial highlights present
fairly, in all material respects the financial position of Dreyfus Smallcap
Stock Index Fund (formerly Dreyfus Small Cap Stock Index Fund) (the "Fund") (one
of the Series constituting Dreyfus Index Funds, Inc.), as of October 31, 2003,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as "
financial statements" ) are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities owned at October 31, 2003 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 12, 2003
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund hereby designates $.0285 per share as a
long-term capital gain distribution of $.0725 per share paid on December 11,
2002.
The fund also designates 100% of the ordinary dividends paid during the fiscal
year ended October 31, 2003 as qualifying for the corporate dividends received
deduction. Shareholders will receive notification in January 2004 of the
percentage applicable to the preparation of their 2003 income tax returns.
The Fund
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (60)
Chairman of the Board (1995)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director and Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* The Muscular Dystrophy Association, Director
* Levcor International, Inc., an apparel fabric processor, Director
* Century Business Services, Inc., a provider of outsourcing functions for small
and medium size companies, Director
* The Newark Group, a provider of a national market of paper recovery
facilities, paperboard mills and paperboard converting plants, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191
--------------
David P. Feldman (63)
Board Member (1989)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Corporate Director & Trustee
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* BBH Mutual Funds Group (11 funds), Director
* The Jeffrey Company, a private investment company, Director
* QMED, a medical device company, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53
--------------
Ehud Houminer (63)
Board Member (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Executive-in-Residence at the Columbia Business School, Columbia University
* Principal of Lear, Yavitz and Associates, a management consulting firm, from
1996 through 2001
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Avnet Inc., an electronics distributor, Director
* International Advisory Board to the MBA Program School of Management, Ben
Gurion University, Chairman
* Explore Charter School, Brooklyn, NY, Chairman
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25
Gloria Messinger (73)
Board Member (1996)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Arbitrator for American Arbitration Association and National Association of
Securities Dealers, Inc.
* Consultant in Intellectual Property
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Yale Law School Fund, Director
* Theater for a New Audience, Inc., Director
* Brooklyn Philharmonic, Director
* New York Women's Agenda Music Performance Trust Fund, Director
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
T. John Szarkowski (77)
Board Member (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Consultant in Photography
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Photography Department at The Museum of Modern Art, Director Emeritus
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18
--------------
Anne Wexler (73)
Board Member (1991)
PRINCIPAL OCCUPATION DURING PAST 5 YEARS:
* Chairman of the Wexler Group, consultants specializing in government relations
and public affairs
OTHER BOARD MEMBERSHIPS AND AFFILIATIONS:
* Wilshire Mutual Funds (5 funds), Director
* Methanex Corporation, a methanol producing company, Director
* Member of the Council of Foreign Relations
* Member of the National Park Foundation
NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29
--------------
ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL
INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE
FUND'S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS
FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611.
JOHN M. FRASER, JR., EMERITUS BOARD MEMBER
The Fund
OFFICERS OF THE FUND (Unaudited)
STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000.
Chairman of the Board, Chief Executive Officer and Chief Operating Officer
of the Manager, and an officer of 95 investment companies (comprised of 189
portfolios) managed by the Manager. Mr. Canter also is a Board member and, where
applicable, an Executive Committee Member of the other investment management
subsidiaries of Mellon Financial Corporation, each of which is an affiliate of
the Manager. He is 58 years old and has been an employee of the Manager since
May 1995.
STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002.
Chief Investment Officer, Vice Chairman and a Director of the Manager, and
an officer of 95 investment companies (comprised of 189 portfolios) managed by
the Manager. Mr. Byers also is an officer, director or an Executive Committee
Member of certain other investment management subsidiaries of Mellon Financial
Corporation, each of which is an affiliate of the Manager. He is 50 years old
and has been an employee of the Manager since January 2000. Prior to joining the
Manager, he served as an Executive Vice President-Capital Markets, Chief
Financial Officer and Treasurer at Gruntal & Co., L.L.C.
MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000.
Executive Vice President, Secretary and General Counsel of the Manager, and
an officer of 96 investment companies (comprised of 205 portfolios) managed by
the Manager. He is 57 years old and has been an employee of the Manager since
June 1977.
MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000.
Associate General Counsel of the Manager, and an officer of 93 investment
companies (comprised of 198 portfolios) managed by the Manager. He is 43 years
old and has been an employee of the Manager since October 1991.
STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000.
Associate General Counsel and Assistant Secretary of the Manager, and an
officer of 96 investment companies (comprised of 205 portfolios) managed by the
Manager. He is 54 years old and has been an employee of the Manager since July
1980.
JAMES WINDELS, TREASURER SINCE NOVEMBER 2001.
Director - Mutual Fund Accounting of the Manager, and an officer of 96
investment companies (comprised of 205 portfolios) managed by the Manager. He is
45 years old and has been an employee of the Manager since April 1985.
RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 44 years old and has been an employee of the Manager since September 1982.
ROBERT SVAGNA, ASSISTANT TREASURER SINCE OCTOBER 2002.
Senior Accounting Manager - Equity Funds of the Manager, and an officer of
25 investment companies (comprised of 105 portfolios) managed by the Manager. He
is 36 years old and has been an employee of the Manager since November 1990.
KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001.
Mutual Funds Tax Director of the Manager, and an officer of 96 investment
companies (comprised of 205 portfolios) managed by the Manager. He is 49 years
old and has been an employee of the Manager since June 1993.
WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE OCTOBER 2002.
Vice President and Anti-Money Laundering Compliance Officer of the
Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment
companies (comprised of 200 portfolios) managed by the Manager. He is 33 years
old and has been an employee of the Distributor since October 1998. Prior to
joining the Distributor, he was a Vice President of Compliance Data Center, Inc
The Fund
For More Information
Dreyfus Smallcap Stock
Index Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
Boston Safe Deposit
and Trust Company
One Boston Place
Boston, MA 02109
Transfer Agent &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
200 Park Avenue
New York, NY 10166
Distributor
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL Send your request to info@dreyfus.com
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
A description of the policies and procedures that the fund uses to determine how
to vote proxies relating to portfolio securities is available, without charge,
by calling the telephone number listed above, or by visiting the SEC's website
at http://www.sec.gov
(c) 2003 Dreyfus Service Corporation 077AR1003
Comparison of change in value of $10,000 investment in
Dreyfus Smallcap Stock Index Fund and the
Standard & Poor's SmallCap 600 Index
EXHIBIT A:
Dreyfus Standard
Smallcap & Poor's
Stock SmallCap
PERIOD Index 600
Fund Index *
6/30/97 10,000 10,000
10/31/97 11,120 11,116
10/31/98 9,855 9,887
10/31/99 11,024 11,077
10/31/00 13,740 13,876
10/31/01 12,786 12,982
10/31/02 12,285 12,492
10/31/03 16,293 16,687
* Source: Lipper Inc.
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a code of ethics that applies to the
Registrant's principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board has determined that David P. Feldman, a member of
the Audit Committee of the Board, is an audit committee financial expert as
defined by the Securities and Exchange Commission (the "SEC"). Mr. Feldman is
"independent" as defined by the SEC for purposes of audit committee financial
expert determinations.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. 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 Registrant's most recently ended fiscal
half-year that has materially affected, or is reasonably likely to materially
affect, the Registrant's internal control over financial reporting.
ITEM 10. EXHIBITS.
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial officers as
required by Rule 30a-2(a) under the Investment Company Act of 1940.
(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.
DREYFUS INDEX FUNDS, INC.
By: /s/Stephen E. Canter
____________________
Stephen E. Canter
President
Date: December 29, 2003
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/Stephen E. Canter
______________________
Stephen E. Canter
Chief Executive Officer
Date: December 29, 2003
By: /s/James Windels
_______________________
James Windels
Chief Financial Officer
Date: December 29, 2003
EXHIBIT INDEX
(a)(1) Code of ethics referred to in Item 2.
(a)(2) Certifications of principal executive and principal financial
officers as required by Rule 30a-2(a) under the Investment Company
Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial
officers as required by Rule 30a-2(b) under the Investment Company Act
of 1940. (EX-99.906CERT)