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Previous: GIANT INDUSTRIES INC, SC 13E4, 1999-12-21 |
Next: VITAFORT INTERNATIONAL CORP, SB-2, 1999-12-21 |
Dreyfus
Small Cap
Stock Index Fund
ANNUAL REPORT October 31, 1999
(reg.tm)
The views expressed herein are current to the date of this report. These views
and the composition of the fund's portfolio are subject to change at any time
based on market and other conditions.
* Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value
Year 2000 Issues (Unaudited)
The fund could be adversely affected if the computer systems used by The Dreyfus
Corporation and the fund's other service providers do not properly process and
calculate date-related information from and after January 1, 2000. The Dreyfus
Corporation is working to avoid Year 2000-related problems in its systems and to
obtain assurances from other service providers that they are taking similar
steps. In addition, issuers of securities in which the fund invests may be
adversely affected by Year 2000-related problems. This could have an impact on
the value of the fund's investments and its share price.
Contents
THE FUND
- --------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
24 Statement of Assets and Liabilities
25 Statement of Operations
26 Statement of Changes in Net Assets
27 Financial Highlights
28 Notes to Financial Statements
32 Report of Independent Accountants
33 Important Tax Information
FOR MORE INFORMATION
- ---------------------------------------------------------------------------
Back Cover
The Fund
Dreyfus
Small Cap Stock Index Fund
LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Small Cap Stock Index
Fund, covering the 12-month period from November 1, 1998 through October 31,
1999. Inside, you' ll find valuable information about how the fund was managed
during the reporting period, including a discussion with the fund's portfolio
managers, Steve Falci and Mark Sikorski.
While the past year was rewarding for many equity investors, small-cap stocks
did not fare as well as other market sectors. When the reporting period began,
the U.S. stock market had just completed a sharp correction caused primarily by
concerns regarding the spread of the global financial crisis in overseas
markets. Soon after the start of 1999, however, those fears abated. In fact, the
U.S. economy remained strong, and investors became concerned that inflationary
pressures might re-emerge. As a result, the Federal Reserve Board raised
short-term interest rates twice during the summer in an effort to forestall a
reacceleration of inflation in a fast-growing economy. In this environment,
equity investors once again preferred the relative predictability of earnings
from large-cap companies.
Despite a brief rally in April and May, small-cap stocks generally failed to
keep pace with their large-cap counterparts. However, some small-cap technology
stocks that were subject to heightened investor speculation were exceptions to
this trend.
We appreciate your confidence over the past year, and we look forward to your
continued participation in Dreyfus Small Cap Stock Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 1999
DISCUSSION OF FUND PERFORMANCE
Steve Falci and Mark Sikorski, Portfolio Managers
How did Dreyfus Small Cap Stock Index Fund perform relative to its benchmark?
For the 12-month period ended October 31, 1999, Dreyfus Small Cap Stock Index
Fund produced a total return of 11.86%.(1) The Standard & Poor's Small Cap 600
Index (" S& P 600 Index"), produced a 12.05% return for the same period.(2) The
difference in returns is accounted for by transaction costs and other fund
expenses.
What is the fund's investment approach?
As an index fund, we seek to match the total return of the S&P 600 Index. To
reach that goal, the fund generally invests in about 575-590 stocks in the S&P
600 Index, in proportion to their weighting in the index. While the portfolio
managers strive to own the vast majority of the stocks in the index, they may
avoid some very small, illiquid names. Often considered a barometer for the
small-cap stock market in general, the S&P 600 Index is composed of 600 domestic
stocks with market capitalizations ranging between $38 million and $2.7 billion;
the index contains approximately 500 industrial, 55 financial, 25 utility and 20
transportation stocks. Each stock is weighted by its market capitalization; that
is, larger companies have greater representation in the index than smaller ones.
The fund may also use stock index futures as a substitute for the sale or
purchase of stocks.
Dreyfus Small Cap Stock Index Fund uses a passive management approach; all
investment decisions are made based on the fund's objective, which is to seek to
match the performance of the S&P 600 Index. The fund does not attempt to manage
market volatility.
Small-cap stocks are often 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. Because
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
they carry additional risks, their earnings also tend to be less predictable. As
a result, their stocks may be less liquid and more volatile.
What other factors influenced the fund's performance?
At the beginning of the fund's 12-month reporting period, and following the
trend of the past few years, the growth of the U.S. equity market was dominated
by large-cap growth stocks. However, in mid-April market sentiment began to
shift away from domestic large-cap growth stocks to include a broader group of
companies, including small- and mid-cap names. This broadening of the market
provided an opportunity for a resurgence of many smaller companies.
By August, the equity market began to narrow, once again favoring large-cap
growth names. In this environment, technology companies reported strong gains,
and to the surprise of many industry analysts, many of them were midcap
technology names. Small-cap stocks continued to produce disappointing returns.
However, compared to historical norms, valuations for small-cap stocks are
extremely attractive compared to valuations of large-cap companies. In addition,
small-cap stocks enjoyed a surge in initial public offerings (IPOs) toward the
end of the period, demonstrating the asset class's ability to bounce back from
the relatively lackluster IPO market experienced by small caps during the same
period last year.
What is the fund's current strategy?
Because the fund is an index fund, its goal is to replicate the returns of its
index, the S&P 600. To understand how index investing works, it's important to
recognize the differences associated with a passive index manager and an active
manager. The active manager typically makes decisions about buying and selling
stocks based on economic, financial and market conditions. The passive index
manager, on the other hand, buys the stocks in the index in an effort to match
its returns.
During the 12-month period, the largest gains within the S&P 600 Index, and
therefore the fund as well, came from its electronics (specif
ically semiconductors) , investment bank and brokerage, computer network,
long-distance telecommunications and air freight companies. In addition, the S&P
600 Index' s holdings within the gaming, lottery and pari-mutuel area provided
strong returns, as did its commercial equipment and computer software and
services stocks.
On the other hand, the poorest performing returns of the S&P 600 Index, and
therefore of the fund as well, were generated from its long-term healthcare,
retail computer and electronics, textile and aerospace/ defense companies. In
addition, the stocks of special service healthcare, hospitals and household
products provided disappointing returns.
November 15, 1999
(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 ANALYTICAL SERVICES, INC. -- THE STANDARD & POOR'S SMALL CAP
600 INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED, UNMANAGED INDEX OF
OVERALL SMALL-CAP STOCK MARKET PERFORMANCE.
The Fund
FUND PERFORMANCE
Comparison of change in value of $10,000 investment in Dreyfus Small Cap Stock
Index Fund and the Standard & Poor's Small Cap 600 Index
- --------------------------------------------------------------------------------
<TABLE>
Average Annual Total Returns AS OF 10/31/99
Inception From
Date 1 Year Inception
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Fund 6/30/97 11.86% 4.25%
</TABLE>
((+)) SOURCE: LIPPER ANALYTICAL SERVICES, INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS SMALL CAP STOCK
INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE
STANDARD & POOR'S SMALL CAP 600 INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL
GAIN DISTRIBUTIONS ARE REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE STANDARD & POOR'S SMALL CAP 600 INDEX IS A BROAD-BASED
INDEX OF 600 COMPANIES WITH MARKET CAPITALIZATION GENERALLY RANGING FROM THE
50TH PERCENTILE TO THE 83RD PERCENTILE OF THE STOCK UNIVERSE. THE FUND HOLDS
STOCKS GENERALLY IN THE SAME PROPORTION AS EACH STOCK WITHIN THE INDEX ITSELF.
THEREFORE, THE FUND'S PERFORMANCE SHOULD CLOSELY MATCH THAT OF THE INDEX. THE
INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF SMALL-CAP STOCK MARKET
PERFORMANCE, WHICH DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES.
FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
STATEMENT OF INVESTMENTS
<TABLE>
October 31, 1999
COMMON STOCKS--99.8% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ALCOHOL & TOBACCO--.4%
Canandaigua Brands, Cl. A 2,000 (a) 121,000
DIMON 4,100 14,350
135,350
CONSUMER CYCLICAL--15.5%
Action Performance Cos. 2,000 (a) 40,688
Ames Department Stores 3,300 104,569
Anchor Gaming 1,300 (a) 79,300
Angelica 1,100 12,581
Ann Taylor Stores 3,500 (a) 148,969
Apogee Enterprises 3,000 18,938
Applebee's International 3,300 95,081
Applied Power, Cl. A 4,365 126,858
Arctic Cat 3,100 29,450
Ashworth 1,400 (a) 5,863
Atlantic Coast Airlines Holdings 2,400 (a) 55,800
Authentic Fitness 2,400 46,650
Aztar 5,000 (a) 48,438
Baker (J.) 1,300 7,231
Bassett Furniture 1,300 23,400
Books-A-Million 1,900 (a) 17,100
Brown Shoe Company 2,100 37,406
CEC Entertainment 3,150 (a) 100,997
CKE Restaurants 5,490 37,058
CPI 1,000 25,563
Casey's General Stores 6,000 77,250
Cato 3,000 34,500
Cheesecake Factory 2,150 (a) 65,844
Circle.com 2,000 29,000
Coachmen Industries 1,900 27,906
Cone Mills 2,300 (a) 10,638
Consolidated Products 2,662 30,613
Copart 3,000 (a) 69,000
Cost Plus 2,400 (a) 87,600
Cross (A.T.), Cl. A 1,700 7,863
Damark International, Cl. A 700 (a) 7,153
Department 56 2,100 (a) 39,900
Discount Auto Parts 1,800 (a) 25,650
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Dixie Group 1,500 10,125
Dress Barn 2,400 (a) 42,675
Enesco Group 1,500 18,938
Ethan Allen Interiors 4,500 160,031
Fedders 3,700 22,894
Footstar 2,300 (a) 80,500
Fossil 3,600 99,450
Galey & Lord 1,100 (a) 1,650
Gentex 8,000 (a) 137,500
Goody's Family Clothing 3,600 36,450
Gottschalks 1,400 (a) 12,513
Group 1 Automotive 2,200 36,850
Guilford Mills 2,400 21,150
Gymboree 2,400 (a) 15,450
Haggar 800 8,725
Hancock Fabrics 1,900 7,838
Harman International 2,000 81,750
Hartmarx 3,200 14,000
Hollywood Park 2,700 46,744
Huffy 1,100 10,931
IHOP 2,100 (a) 37,931
Insight Enterprises 3,000 (a) 112,125
Interface, Cl. A 5,800 23,563
Jack In the Box 4,500 (a) 108,281
Jo-Ann Stores, Cl. A 2,100 (a) 29,269
Just for Feet 2,900 (a) 3,988
Justin Industries 2,700 37,800
K-Swiss 1,200 15,450
K2 2,000 16,000
Kellwood 3,000 53,063
La-Z Boy 5,900 107,675
Landry's Seafood Restaurants 2,800 (a) 21,000
Lillian Vernon 1,000 12,688
Linens'n Things 4,400 (a) 174,900
Luby's 2,300 27,313
Marcus 3,300 46,406
Masco Tech 4,800 69,900
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Men's Wearhouse 4,700 (a) 103,106
Michaels Stores 3,300 (a) 110,756
Midwest Express Holdings 1,600 (a) 46,900
Monaco Coach 2,000 (a) 47,000
NCS HealthCare, Cl. A 2,100 (a) 6,234
National Presto Industries 900 33,300
Nautica Enterprises 3,900 (a) 58,744
O'Reilly Automotive 2,700 117,788
OshKosh B'Gosh 1,700 34,850
Oxford Industries 900 19,350
Pacific Sunwear of California 3,450 (a) 104,147
Phillips-Van Heusen 3,000 24,000
Pier 1 Imports 10,425 61,898
Pillowtex 1,415 4,776
Polaris Industries 2,700 94,331
Prime Hospitality 5,500 42,969
Quicksilver 2,400 (a) 33,900
Royal Appliance Manufacturing 1,800 (a) 10,350
Ruby Tuesday 3,400 64,813
Russ Berrie & Co. 2,200 42,350
Ryan's Family Steak House 4,200 (a) 43,969
Shopko Stores 3,200 80,200
Simpson Industries 2,100 21,984
SkyWest 2,700 66,994
Snyder Communications 8,000 102,000
Sonic 2,050 (a) 57,400
Spartan Motors 1,900 8,313
Sports Authority 3,300 (a) 7,219
Stein Mart 5,000 (a) 33,125
Stride Rite 5,300 34,781
Sturm Ruger 2,900 25,738
Swiss Army Brands 900 (a) 7,313
TBC 2,400 (a) 16,425
TCBY Enterprises 2,500 10,469
Taco Cabana 2,000 (a) 17,375
Thor Industries 1,300 32,825
Timberland, Cl. A 2,400 118,500
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Tower Automotive 5,300 (a) 86,456
Wabash National 2,400 38,100
Whole Foods Market 3,000 (a) 102,000
Winnebago Industries 2,600 45,175
Wolverine World Wide 4,400 45,100
Zale 4,100 (a) 171,688
5,573,084
CONSUMER STAPLES--3.0%
Agribrands International 1,200 (a) 53,100
Chemed 1,200 35,925
Chiquita Brands International 7,600 36,100
Coca-Cola Bottling Consolidated 900 47,363
Corn Products International 4,200 136,763
Delta and Pine Land 4,133 120,890
Earthgrains 4,700 107,219
Fleming Cos 4,200 50,138
J & J Snack Foods 1,000 (a) 19,250
Libbey 1,800 47,700
Michael Foods 2,200 56,100
Nash Finch 1,500 9,844
Nature's Sunshine Products 1,900 14,013
Performance Food Group 1,500 (a) 40,688
Ralcorp Holdings 3,500 (a) 68,250
Smithfield Foods 4,700 (a) 106,925
Triarc Cos., Cl. A 2,800 55,650
USA Detergents 1,600 (a) 8,500
United Natural Foods 2,000 (a) 17,625
W D-40 1,700 39,525
1,071,568
ENERGY--5.9%
American States Water 1,000 34,313
Aquarion 1,200 43,575
Atmos Energy 3,300 74,869
Barrett Resources 3,500 (a) 117,469
Benton Oil & Gas 3,300 (a) 5,569
Cabot Oil & Gas, Cl. A 2,600 41,925
Cascade Natural Gas 1,200 21,750
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
Connecticut Energy 1,100 41,525
Cross Timbers Oil 5,300 58,963
Energen 3,200 59,200
HS Resources 2,100 (a) 32,813
New Jersey Resources 2,000 81,375
Newfield Exploration 4,600 (a) 135,413
Northwest Natural Gas 2,900 75,038
NorthWestern 2,500 57,031
Oceaneering International 2,500 (a) 33,906
Offshore Logistics 2,800 25,900
Pennsylvania Enterprises 1,200 40,875
Philiadelphia Suburban 4,445 102,235
Piedmont Natural Gas 3,600 115,200
Plains Resources 1,800 (a) 30,938
Pogo Producing 4,300 86,269
Pride International 6,400 (a) 88,000
Public Service North Carolina 2,200 69,163
Remington Oil & Gas 2,400 (a) 11,700
Seitel 3,000 23,813
Southwest Gas 3,400 79,050
Southwestern Energy 2,700 21,600
St. Mary Land Exploration 1,200 30,600
Stone Energy 2,100 102,113
Tuboscope International 4,900 (a) 54,513
United Water Resources 4,300 145,125
Vintage Petroleum 6,900 75,038
WICOR 4,100 121,975
2,138,841
HEALTH CARE--9.7%
ADAC Laboratories 2,400 20,850
ALPHARMA, Cl. A 3,200 112,600
Advanced Tissue Sciences 5,500 (a) 18,563
Alliance Pharmaceutical 4,500 (a) 19,547
Analogic 1,400 36,750
Barr Laboratories 2,700 (a) 81,844
Bindley Western Industries 3,600 45,225
Bio-Technology General 5,900 (a) 57,525
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Biomatrix 2,500 (a) 56,719
COR Therapeutics 2,800 (a) 56,525
Cambrex 2,600 78,650
Cephalon 3,400 (a) 55,250
Cooper Cos. 1,700 42,500
Coventry Health Care 6,500 (a) 37,375
Curative Health Services 1,200 (a) 5,700
Cygnus 2,800 (a) 27,825
Datascope 1,700 (a) 61,200
Diagnostic Products 1,500 34,875
Dura Pharmaceuticals 4,900 (a) 62,628
Enzo Biochem 2,655 (a) 56,751
Genesis Health Ventures 3,300 (a) 5,569
Hanger Orthopedic Group 2,000 (a) 24,625
Hologic 1,500 (a) 5,250
Hooper Holmes 3,300 88,688
IDEC Pharmaceuticals 2,300 (a) 267,231
IDEXX Laboratories 4,500 (a) 68,063
Immune Response 2,800 (a) 10,588
Invacare 3,100 64,713
Jones Pharmacies 4,950 153,450
Laser Vision Centers 2,700 23,203
Liposome 4,100 (a) 32,288
Maxxim Medical 1,600 (a) 38,400
Mentor 2,800 65,975
NBTY 7,700 (a) 62,081
North American Vaccine 3,500 (a) 18,594
Noven Pharmaceuticals 2,200 (a) 21,588
Organogenesis 3,100 (a) 23,250
Orthodontic Centers of America 5,200 (a) 71,500
Osteotech 1,600 (a) 20,900
Owens & Minor 3,400 31,875
Patterson Dental 3,750 (a) 168,984
Pediatrix Medical Group 1,700 (a) 15,088
PhyCor 8,500 (a) 21,250
Priority Healthcare, Cl. B 2,409 (a) 48,331
Protein Design Labs 2,000 (a) 80,125
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Regeneron Pharmaceuticals 3,300 (a) 26,400
Renal Care Group 5,000 (a) 93,125
Respironics 3,200 (a) 27,000
Roberts Pharmaceutical 3,500 (a) 112,875
Rural/Metro 1,500 (a) 9,000
Safeskin 6,200 (a) 51,925
Scott Technologies 1,900 (a) 36,100
Sierra Health Services 3,000 (a) 21,938
Sola International 2,700 (a) 37,800
SpaceLabs Medical 1,000 (a) 14,250
Summit Technology 5,400 84,038
Sunrise Medical 2,600 (a) 14,625
Syncor International 1,300 (a) 47,613
Theragenics 3,300 (a) 35,063
U.S. Bioscience 3,200 (a) 51,600
Universal Health Services, Cl. B 3,600 105,750
Varian Medical Systems 3,300 69,506
Vertex Pharmaceuticals 2,800 (a) 80,150
Vital Signs 1,500 32,438
Wesley Jessen Visioncare 1,900 51,063
Xomed Surgical Products 1,400 (a) 85,138
3,487,908
INTEREST SENSITIVE--13.1%
AMRESCO 5,100 14,981
Advance Paradigm 1,300 (a) 55,413
AmeriCredit 8,000 139,000
Anchor Bancorp Wisconsin 2,900 46,400
Banknorth Group 2,600 87,831
Capital Re 3,900 55,088
Carolina First 2,800 57,925
Cash America International 2,900 27,369
Centura Banks 3,200 168,600
Chittenden 3,000 92,625
ChoicePoint 1,600 (a) 98,900
Commerce Bancorp 3,047 136,544
Commercial Federal 6,600 129,525
Community First Bankshares 5,400 102,769
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Cullen Frost Bankers 5,800 167,475
Dain Rauscher 1,500 80,531
Delphi Financial Group, Cl. A 2,405 (a) 76,960
Downey Financial 3,180 70,358
E.W. Blanch Holdings 1,500 97,125
Eaton Vance 3,900 133,331
Enhance Financial Services Group 4,300 78,475
Express Scripts, Cl. A 4,200 206,325
Fidelity National Financial 3,409 53,479
First American Financial 7,200 106,650
First Bancorp 3,100 69,363
First Midwest Bancorp 3,000 122,625
Fremont General 8,000 69,000
Frontier Insurance Group 4,090 36,299
Gallagher (Arthur J.) 2,100 108,675
Hilb, Rogal & Hamilton 1,500 37,594
Hudson United Bancorp 4,260 133,924
JSB Financial 1,100 66,138
Jefferies Group 2,800 59,675
MAF Bancorp 2,800 60,375
Mutual Risk Management 4,900 74,113
Orion Capital 2,900 141,738
Pioneer Group 3,000 37,313
Premier Bancshares 2,800 49,350
Provident Bankshares 3,010 64,809
Queens County Bancorp 2,350 73,878
Radian Group 4,200 221,813
Raymond James Financial 5,100 103,275
Riggs National 3,300 49,913
Selective Insurance Group 3,100 57,931
Silicon Valley Bancshares 2,500 81,563
Susquehanna Bancshares 4,200 69,825
Trenwick Group 1,200 24,375
Trustco Bank 3,170 93,713
U.S. Trust 2,000 162,250
UST 3,900 120,900
United Bankshares 4,800 118,200
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Whitney Holding 2,500 92,500
Zenith National Insurance 1,800 40,163
4,724,969
PRODUCER GOODS--17.0%
AAR 2,950 49,228
AMCOL International 2,850 34,913
Air Express International 3,650 97,181
Alliant Techsystems 1,200 (a) 73,800
Amcast Industrial 1,000 13,563
American Freightways 3,500 (a) 72,188
Anixter International 3,800 (a) 79,325
Applied Industrial Technology 2,300 36,225
AptarGroup 3,900 104,813
Arkansas Best 2,300 31,913
Astec Industries 2,100 (a) 49,219
Aviation Sales 1,500 26,063
BE Aerospace 2,500 (a) 25,156
Baldor Electric 4,033 78,391
Barnes Group 2,100 42,656
Belden 2,600 47,775
Birmingham Steel 3,500 24,719
Blount International 145 (a) 2,130
Brady, Cl. A 2,400 69,600
Brush Wellman 1,700 22,525
Buckeye Technologies 3,900 (a) 58,988
Building Materials Holding 1,500 (a) 16,594
Butler Manufacturing 900 22,219
C&D Technologies 1,400 44,975
CLARCOR 2,550 43,509
Cable Design Technologies 3,050 (a) 59,094
Caraustar Industries 2,900 69,963
Castle (A.M.) 1,600 19,800
Champion Enterprises 5,300 (a) 48,363
ChemFirst 2,000 53,750
Coeur d' Alene Mines 2,200 9,625
Commercial Metals 1,600 52,200
Commonweath Industries 1,700 17,000
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Commscope 5,600 223,300
D. R. Horton 6,975 82,392
Dril-Quip 1,800 (a) 42,075
Eagle USA Airfreight 500 (a) 14,750
Elcor 2,100 51,713
Esterline Technologies 1,900 26,125
Expeditors International of Washington 5,600 209,300
Florida Rock Industries 2,000 67,500
Flow International 1,400 (a) 15,925
Fritz Cos. 3,800 (a) 42,513
Frozen Food Express Industries 2,000 10,000
Gardner Denver Machinery 1,500 (a) 18,094
GenCorp 4,500 51,188
Geon 2,600 68,250
Global Industrial Technologies 2,400 (a) 29,400
Graco 2,200 73,700
Griffon 3,300 (a) 24,338
Halter Marine Group 2,650 (a) 14,409
Heartland Express 3,400 (a) 46,113
Hecla Mining 6,000 14,625
Helix Technology 2,400 96,750
Hughes Supply 2,500 54,219
IDEX 3,400 83,725
IMCO Recycling 1,800 26,325
Insituform Technology, Cl. A 2,800 (a) 67,025
Insteel Industries 900 6,694
Intermet 2,700 27,338
Ionics 1,800 (a) 53,100
JLG Industries 4,800 61,500
Kaman, Cl. A 2,600 28,600
Kirby 2,700 48,938
Landstar Systems 1,100 (a) 44,550
Lawson Products 1,100 25,025
Lilly Industries, Cl. A 2,400 32,250
Lindsay Manufacturing 1,500 30,469
Lydall 1,900 14,013
M.D.C. Holdings 2,400 37,500
COMMON STOCKS (CONTINUED) Shares Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
M.S. Carriers 1,400 (a) 39,550
MacDermid 2,900 98,238
Manitowoc 3,075 91,866
Material Sciences 1,700 (a) 21,144
McWhorter Technololgies 1,200 (a) 16,425
Mississippi Chemical 3,200 17,800
Morrison Knudsen 5,700 (a) 52,013
Mueller Industries 4,100 (a) 130,944
Myers Industries 2,288 32,175
Nashua 600 5,025
OM Group 2,800 105,000
Oakwood Homes 5,200 15,275
Omnova Solutions 4,700 (a) 32,900
Orbital Sciences 4,000 (a) 59,000
Penford 700 9,603
Pittston BAX Group 2,200 16,225
Pope & Talbot 1,700 24,650
Quaker Chemical 1,000 16,125
Quanex 1,600 34,700
RTI International Metals 2,000 14,500
RailTex 1,100 (a) 17,600
Regal Beloit 2,500 54,375
Reliance Steel & Aluminum 3,000 63,000
Republic Group 1,300 22,425
Robins & Myers 1,300 21,044
Ryland Group 1,800 37,125
SLI 3,700 39,775
SPS Technologies 1,400 (a) 43,400
Schweitzer-Mauduit International 1,800 21,488
Scotts, Cl. A 2,100 (a) 84,263
Seacor Smit 1,300 (a) 59,475
Service Experts 2,100 (a) 12,600
Shorewood Packaging 3,100 39,331
Simpson Manufacturing 1,400 (a) 56,788
Skyline 1,000 24,875
Smith (A.O.) 2,450 59,413
Southern Energy Homes 1,200 (a) 3,000
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Specialty Equipment Cos. 2,100 (a) 43,838
Speedfam International 3,300 (a) 36,506
Standard Motor Products 1,500 24,188
Standard Pacific 3,200 34,400
Steel Technologies 1,200 14,025
Stillwater Mining 4,150 (a) 83,519
Stone & Webster 1,500 23,250
TETRA Technologies 1,500 (a) 12,469
Tetra Tech 4,125 65,484
Texas Industries 2,500 89,531
Thomas Industries 1,750 31,281
Titan International 2,200 15,813
TJ International 1,800 55,800
Toll Brothers 3,900 (a) 68,250
Toro 1,500 53,813
Tredegar Industries 4,200 92,138
U.S. Home 1,400 39,200
Universal Forest Products 2,500 36,250
USFreightsways 3,000 135,938
Valmont Industries 2,600 45,175
WHX 1,600 (a) 14,700
Watsco 3,000 30,375
Watts Industries, Cl. A 3,300 45,169
Werner Enterprises 5,050 80,484
Wolverine Tube 1,300 (a) 17,875
Wynn's International 2,000 31,125
Yellow 2,700 45,900
6,120,825
SERVICES--12.2%
ABM Industries 2,600 62,075
ADVO 2,400 42,450
Adaptive Broadband 1,600 (a) 59,100
American Management Systems 4,600 (a) 119,025
Analysts International 2,500 29,219
BISYS Group 3,000 (a) 153,000
Billing Concepts 3,800 (a) 19,000
Bowne & Co. 3,900 43,388
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
CDI 2,100 (a) 55,650
Carmike Cinemas, Cl. A 1,300 (a) 15,681
Catalina Marketing 2,000 (a) 187,250
Central Parking 4,150 111,272
Ciber 6,500 (a) 106,031
Computer Task Group 2,200 27,775
Consolidated Graphics 1,900 (a) 38,000
DBT Online 2,400 56,100
DeVRY 7,500 (a) 157,969
FactSet Research Systems 1,750 116,266
Fair Issac & Co 1,600 61,800
Franklin Covey 2,100 (a) 16,931
G & K Services, Cl. A 2,400 90,150
GC Companies 900 (a) 26,775
Gibson Greetings 1,500 7,313
HA-LO Industries 5,350 (a) 26,081
Harland (John H.) 3,300 62,700
INCYTE Pharmaceuticals 3,100 (a) 59,675
Information Resources 3,000 (a) 31,875
Insurance Auto Auction 1,400 (a) 21,525
Interim Services 7,200 (a) 118,350
Kroll-O'Gara 2,600 (a) 41,275
Labor Ready 4,550 (a) 46,353
Lason 2,100 (a) 78,028
MAXIMUS 2,200 51,013
Magellan Health Services 3,400 (a) 20,613
MedQuist 3,900 124,800
Merrill 1,700 35,063
NFO Worldwide 2,500 (a) 27,813
National Data 3,800 91,200
New England Business Service 1,600 41,600
PAREXEL International 2,800 (a) 26,775
Paxar 5,025 (a) 46,795
Pharmaceutical Product Development 2,600 (a) 26,163
Pre-Paid Legal Services 2,600 (a) 63,050
Primark 2,200 55,825
Profit Recovery Group International 5,250 216,234
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
QRS 1,500 (a) 83,438
Regis 4,400 81,675
Rollins Truck Leasing 6,050 58,231
SEI Investments 2,000 194,938
Staffmark 3,500 (a) 25,156
Standex International 1,500 31,031
Technology Solutions 4,550 (a) 93,275
Thomas Nelson 1,900 18,288
True North Communications 5,400 217,688
URS 1,700 30,600
US Oncology 9,600 (a) 42,900
Valassis Communications 6,350 273,050
Volt Information Sciences 1,600 (a) 31,600
Whittman-Hart 6,100 (a) 234,469
ZixIt 1,700 67,575
4,398,940
TECHNOLOGY--21.5%
APEX 2,300 39,100
Allen Telecom 3,000 27,188
Alpha Industries 2,100 116,025
Aspect Telecommunications 5,300 (a) 133,494
Aspen Technology 2,500 (a) 31,875
Auspex Systems 2,700 15,019
Avid Technology 2,600 (a) 28,763
BMC Industries 2,900 16,856
Barra 1,700 (a) 37,559
Benchmark Electronics 1,800 28,800
Black Box 2,000 (a) 101,500
Brightpoint 5,600 (a) 43,925
Burr-Brown 4,200 (a) 165,113
C-COR Electronics 1,500 (a) 58,875
C-Cube Microsystems 4,400 (a) 195,800
CTS 3,100 175,344
Centigram Communications 700 (a) 6,650
Cerner 3,700 (a) 55,269
Checkpoint Systems 3,200 24,000
Clarify 2,600 (a) 200,850
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Cognex 4,500 (a) 134,719
Coherent 2,800 (a) 57,575
Concord 1,600 (a) 83,100
DSP Communications 4,400 (a) 154,825
Dallas Semiconductor 3,300 194,288
Dendrite International 4,200 (a) 131,775
Digi International 1,700 (a) 21,038
Digital Microwave 6,800 (a) 101,150
Dionex 2,500 (a) 111,094
Electro Scientific Industries 1,400 (a) 75,600
Electroglas 2,400 (a) 66,225
Epicor Software 4,100 (a) 19,731
Etec Systems 2,300 (a) 87,831
FileNet 3,500 (a) 57,859
General Semiconductor 3,900 40,950
Gerber Scientific 2,500 47,188
Great Plains Software 500 27,750
HNC Software 2,700 (a) 107,831
Hadco 1,500 (a) 55,125
Harbinger 4,200 (a) 66,938
Harmon Industries 1,250 16,563
Henry (Jack) & Associates 2,200 80,025
Hutchinson Technology 2,700 68,850
Hyperion Solutions 3,235 (a) 78,853
InaCom 4,924 (a) 23,697
Innovex 1,500 12,000
Input/Output 5,800 (a) 30,450
Inter-Tel 3,000 47,625
International Rectifier 5,700 (a) 110,794
InterVoice 3,400 (a) 42,075
Itron 1,400 (a) 6,563
KEMET 4,500 (a) 143,859
Kent Electronics 2,900 (a) 56,369
Komag 4,900 (a) 8,116
Kronos 1,400 (a) 62,825
Kulicke & Soffa Industries 2,700 79,481
Lattice Semiconductor 5,200 (a) 183,950
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
MICROS Systems 1,800 (a) 83,306
Macromedia 4,800 (a) 309,300
Mercury Interactive 4,200 (a) 340,664
Methode Electronics, Cl. A 3,800 60,800
Micrel 4,600 (a) 250,125
MicroAge 2,000 (a) 4,500
Midway Games 4,117 (a) 82,083
National Computer Systems 3,500 132,344
National Instruments 5,550 (a) 166,847
Network Equipment Technologies 2,500 (a) 25,469
Oak Industries 2,100 86,100
P-COM 7,000 (a) 32,375
Park Electrochemical 1,200 41,850
Photronics 2,600 (a) 54,438
PictureTel 4,500 (a) 15,750
Pioneer Standard Electronics 2,900 37,881
Plantronics 1,800 105,413
Plexus 1,900 (a) 50,350
Powerwave Technologies 2,200 143,138
Progress Software 1,900 (a) 63,650
RSA Security 4,400 (a) 156,200
Read-Rite 5,200 (a) 20,475
Remedy 3,300 (a) 141,900
Roper Industries 3,400 104,975
S3 7,800 (a) 78,000
Silicon Valley Group 3,700 (a) 46,250
Standard Microsystems 1,500 (a) 13,594
Symmetricom 1,700 (a) 12,963
Technitrol 1,800 65,475
Telxon 1,500 17,344
Texas Instruments 1 4
Three-Five Systems 1,100 37,194
Trimble Navigation 2,500 (a) 40,625
Ultratech Stepper 2,400 (a) 38,100
Valence Technology 2,400 (a) 12,000
Vantive 3,000 (a) 34,875
Vicor 4,600 (a) 127,650
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Visio 3,300 (a) 130,659
Wall Data 1,400 (a) 11,463
Watkins-Johnson 700 25,900
X-Rite 2,400 14,700
Xircom 2,800 (a) 141,225
Zebra Technologies, Cl. A 3,500 (a) 190,313
7,744,959
UTILITIES--1.5%
Central Hudson Gas & Electric 1,800 67,388
Dycom Industries 2,800 91,175
Eastern Utility Association 2,200 66,550
General Communication, Cl. A 4,600 (a) 22,425
Green Mountain Power 600 6,038
TNP Enterprises 1,700 67,788
Talk.com 7,000 (a) 111,563
Talk.com (Rights) 210 (a) 0
United Illuminating 1,700 87,975
520,902
TOTAL COMMON STOCKS
(cost $36,797,872) 35,917,346
- ------------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--.0% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bills,
4.53%, 12/9/1999
(cost $995) 1,000 995
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $36,798,867) 99.8% 35,918,341
CASH AND RECEIVABLES (NET) .2% 72,258
NET ASSETS 100.0% 35,990,599
(A) NON-INCOME PRODUCING.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
STATEMENT OF ASSETS AND LIABILITIES
October 31, 1999
Cost Value
- --------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of Investments 36,798,867 35,918,341
Receivable for investment securities sold 491,687
Receivable for shares of Common Stock subscribed 18,328
Dividends receivable 11,600
36,439,956
- --------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 7,504
Due to Distributor 7,504
Cash overdraft due to Custodian 55,115
Payable for investment securities purchased 379,234
449,357
- --------------------------------------------------------------------------------
NET ASSETS ($) 35,990,599
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 35,493,698
Accumulated undistributed investment income--net 76,113
Accumulated net realized gain (loss) on investments 1,301,314
Accumulated net unrealized appreciation (depreciation)
on investments--Note 4(b) (880,526)
- --------------------------------------------------------------------------------
NET ASSETS ($) 35,990,599
- --------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 2,762,496
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 13.03
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF OPERATIONS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $86 foreign taxes withheld at source) 251,181
Interest 12,335
TOTAL INCOME 263,516
EXPENSES:
Management fee--Note 3(a) 77,774
Shareholder servicing costs--Note 3(b) 77,774
Interest expense--Note 2 2,438
Loan commitment fees--Note 2 81
TOTAL EXPENSES 158,067
INVESTMENT INCOME--NET 105,449
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments 1,401,117
Net realized gain (loss) on financial futures (71,358)
NET REALIZED GAIN (LOSS) 1,329,759
Net unrealized appreciation (depreciation) on investments
[including ($3,800) net unrealized (depreciation) on financial
futures] 1,577,846
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 2,907,605
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 3,013,054
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
--------------------------------
1999 1998
- --------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 105,449 71,869
Net realized gain (loss) on investments 1,329,759 1,053,486
Net unrealized appreciation (depreciation)
on investments 1,577,846 (3,874,179)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 3,013,054 (2,748,824)
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (99,909) (23,393)
Net realized gain on investments (1,092,480) (202,736)
TOTAL DIVIDENDS (1,192,389) (226,129)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 25,094,691 10,491,450
Dividends reinvested 1,159,446 225,582
Cost of shares redeemed (16,408,852) (1,498,039)
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS 9,845,285 9,218,993
TOTAL INCREASE (DECREASE) IN NET ASSETS 11,665,950 6,244,040
- --------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 24,324,649 18,080,609
END OF PERIOD 35,990,599 24,324,649
Undistributed investment income--net 76,113 70,573
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 1,950,950 794,989
Shares issued for dividends reinvested 92,830 16,898
Shares redeemed (1,282,134) (112,038)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 761,646 699,849
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
Year Ended October 31,
--------------------------------------
1999 1998 1997(a)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA ($):
Net asset value, beginning of period 12.16 13.90 12.50
Investment Operations:
Investment income--net .04(b) .04 .02
Net realized and unrealized gain (loss) on investments 1.38 (1.60) 1.38
Total from Investment Operations 1.42 (1.56) 1.40
Distributions:
Dividends from investment income--net (.05) (.02) --
Dividends from net realized gain on investments (.50) (.16) --
Total Distributions (.55) (.18)
Net asset value, end of period 13.03 12.16 13.90
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 11.86 (11.38) 11.20(c),(d
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of operating expenses to average net assets .50 .50 .17(d)
Ratio of interest expense and loan commitment fees
to average net assets .01 -- (--)
Ratio of net investment income to average net assets .34 .35 .13(d)
Portfolio Turnover Rate 41.97 25.14 10.59(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ X 1,000) 35,991 24,325 18,081
(A) FROM JUNE 30, 1997 (COMMENCEMENT OF OPERATIONS) TO OCTOBER 31, 1997.
(B) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
(C) EXCLUSIVE OF REDEMPTION FEE.
(D) NOT ANNUALIZED.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
NOTES TO FINANCIAL STATEMENTS
NOTE 1--Significant Accounting Policies:
Dreyfus Small Cap 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 total return performance of
predominantly small capitalization common stocks in the aggregate, as
represented by the Standard & Poor' s Small Cap 600 Index. The Dreyfus
Corporation (" Dreyfus" ) serves as the fund's investment adviser. Dreyfus is a
direct subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of
Mellon Financial Corporation. Premier Mutual Fund Services, Inc. (the
" Distributor" ) 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 generally
accepted accounting principles which may require the use of management estimates
and assumptions. Actual results could differ from those estimates.
As of October 31,1999, MBC Investment Corp., an indirect subsidiary of Mellon
Financial Corporation, held 1,117,214 shares of the fund.
(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. 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 income, including, where
applicable, amortization of discount on investments, is recognized on the
accrual basis.
(C) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain 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, if any, it is the policy of the fund not to distribute such gain.
(D) 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.
NOTE 2--Bank Line of Credit:
The fund participates with other Dreyfus-managed funds in a $500 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 at rates 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 31,1999 was approximately $46,700, with a related weighted
average annualized interest rate of 5.22%.
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3--Management Fee and Other Transactions With Affiliates:
(A) Pursuant to a management agreement (" Agreement" ) with Dreyfus, 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, Dreyfus has agreed to pay all the expenses of the fund, except
brokerage commissions, taxes, interest, commitment fees, Shareholder Services
Plan fees, fees and expenses of non-interested Directors (including counsel
fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its
fee in an amount equal to the fund's allocable portion of fees and expenses of
the non-interested Directors (including counsel fees). Each Director receives
from the Company an annual fee of $2,500 and an attendance fee $500 per meeting
and is reimbursed for travel and out-of-pocket expenses. The Chairman of the
Board receives an additional 25% of such compensation (with the exception of
reimburseable amounts) . Amounts required to be paid by the Company directly to
the non-interested Directors, that would be applied to offset a portion of the
management fee payable to Dreyfus, are in fact paid directly by Dreyfus to the
non-interested Directors.
(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, 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, 1999, the fund was charged $77,774 pursuant to the Shareholder
Services Plan.
(C) A 1% redemption fee is charged and retained by the fund on shares where
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, 1999, redemption fees retained by the fund amounted to $4,646.
NOTE 4--Securities Transactions:
(A) The aggregate amount of purchases and sales of investment securities,
excluding short-term securities and financial futures, during the period ended
October 31, 1999, amounted to $21,933,232 and $12,973,020, 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 custodian, 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. At October 31, 1999, there were no financial
futures contracts outstanding.
(B) At October 31, 1999, accumulated net unrealized depreciation on investments
was $880,526, consisting of $5,529,401 gross unrealized appreciation and
$6,409,927 gross unrealized depreciation.
At October 31, 1999, the cost of investments for Federal income tax purposes was
substantially the same as the cost for financial reporting purposes (see the
Statement of Investments).
The Fund
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Shareholders of
Dreyfus Small Cap Stock Index Fund
In our opinion, the accompanying statement of assets and liabilities, including
the statement of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Dreyfus Small Cap Stock Index Fund
(the "Fund" ) (one of the Series constituting Dreyfus Index Funds, Inc.), at
October 31, 1999, 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 periods presented, in conformity with
generally accepted accounting principles. 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 generally accepted
auditing standards, 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 at October 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 9, 1999
IMPORTANT TAX INFORMATION (Unaudited)
For Federal tax purposes the fund hereby designates $.150 per share as a
long-term capital gain distribution of $.549 per share paid on December 24,
1998. The fund also designates 20.48% of the ordinary dividends paid during the
fiscal year ended October 31, 1999 as qualifying for the corporate dividends
received deduction. Shareholders will receive notification in January 2000 of
the percentage applicable to the preparation of their 1999 income tax returns.
The Fund
For More Information
Dreyfus Small Cap 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.
P.O. Box 9671
Providence, RI 02940
Distributor
Premier Mutual Fund Services, Inc.
60 State Street
Boston, MA 02109
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 [email protected]
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
(c) 1999 Dreyfus Service Corporation 077AR9910
================================================================================
Dreyfus
S&P 500 Index
Fund
ANNUAL REPORT October 31, 1999
(reg.tm)
The views expressed herein are current to the date of this report. These views
and the composition of the fund's portfolio are subject to change at any time
based on market and other conditions.
* Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value
Year 2000 Issues (Unaudited)
The fund could be adversely affected if the computer systems used by The Dreyfus
Corporation and the fund's other service providers do not properly process and
calculate date-related information from and after January 1, 2000. The Dreyfus
Corporation is working to avoid Year 2000-related problems in its systems and to
obtain assurances from other service providers that they are taking similar
steps. In addition, issuers of securities in which the fund invests may be
adversely affected by Year 2000-related problems. This could have an impact on
the value of the fund's investments Year 2000 Issues (Unaudited) and its share
price.
The fund could be adversely affected if the computer systems used by The Dreyfus
Corporation and the fund's other service providers do not properly process and
calculate date-related information from and after January 1, 2000. The Dreyfus
Corporation is working to avoid Year 2000-related problems in its systems and to
obtain assurances from other service providers that they are taking similar
steps. In addition, issuers of securities in which the fund invests may be
adversely affected by Year 2000-related problems. This could have an impact on
the value of the fund's investments and its share price.
Contents
THE FUND
- --------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
21 Statement of Financial Futures
22 Statement of Assets and Liabilities
23 Statement of Operations
24 Statement of Changes in Net Assets
25 Financial Highlights
26 Notes to Financial Statements
31 Report of Independent Accountants
FOR MORE INFORMATION
- ---------------------------------------------------------------------------
Back Cover
The Fund
Dreyfus
S&P 500 Index Fund
LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this annual report for Dreyfus S&P 500 Index Fund,
covering the 12-month period from November 1, 1998 through October 31, 1999.
Inside, you' ll find valuable information about how the fund was managed during
the reporting period, including a discussion with the fund's portfolio managers,
Steve Falci and Jocelin Reed.
Despite a relatively weak third quarter of 1999 for the U.S. stock market, the
past year has been rewarding for most equity investors overall. When the
reporting period began, most sectors of the U.S. stock market had completed a
sharp correction caused primarily by concerns regarding the spread of the global
financial crisis in overseas markets. Soon after the start of 1999, however,
those fears abated. In fact, the U.S. economy remained strong, characterized by
low inflation and high levels of consumer spending. These conditions supported
continued strength in the stock market through the spring.
In the summer of 1999, however, the Federal Reserve Board raised short-term
interest rates twice in an effort to forestall inflationary pressures in a
fast-growing economy. Because higher interest rates tend to increase the cost of
capital and make fixed-income securities more competitive relative to equities,
most sectors of the stock market declined. By the end of the 12-month reporting
period, major stock indices had fallen from the record highs reached during the
summer, although stock prices generally were still higher than they were one
year earlier.
We appreciate your confidence over the past year, and we look forward to your
continued participation in Dreyfus S&P 500 Stock Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 1999
DISCUSSION OF FUND PERFORMANCE
Steve Falci and Jocelin Reed, Portfolio Managers
How did Dreyfus S&P 500 Index Fund perform relative to its benchmark?
For the 12-month period ended October 31, 1999, Dreyfus S&P 500 Index Fund
produced a total return of 25.00%.(1) The Standard & Poor's 500 Composite Stock
Price Index ("S&P 500 Index"), produced a 25.66% return for the same period.(2)
The difference in returns is accounted for by transaction costs and other fund
operating expenses.
What is the fund's investment approach?
As an index fund, we seek to match the total return of the S&P 500 Index. To
reach that 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. It is dominated by large-cap blue chip stocks, which,
when combined, cover 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 capture the returns of many
different sectors of the U.S. economy. The S&P 500 Index contains approximately
375 industrial, 40 utility, 75 financial and 10 transportation stocks. 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.
As an index fund, the fund uses a passive management approach; all investment
decisions are made based on the fund's objective, which is to seek to match the
performance of the Index. The fund does not attempt to manage market volatility
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
What other factors influenced the fund's performance?
At the beginning of the fund's 12-month reporting period, and following the
trend of the past few years, the growth of the U.S. equity market was dominated
by large-cap growth stocks. However, in April market sentiment began to shift
away from domestic large-cap growth stocks to include a broader group of
companies, including small- and mid-cap names. By August, however, the equity
market began to narrow, once again favoring large-cap growth names.
During the reporting period, the largest gains within the S&P 500 Index, and
therefore the fund as well, came from its technology group, which includes
communications equipment, electronic equipment and instruments, office
electronics and semiconductor equipment and product companies. In addition, the
S&P 500 Index's holdings within the newspaper publishing area and retail apparel
stores provided strong returns, as did its engineering and construction and
computer software stocks.
On the other hand, the poorest performing returns of the S&P 500 Index, and
therefore of the fund as well during the reporting period, were generated from
its pollution control, office equipment and supplies, toys, cosmetics and
healthcare (specifically HMO) companies. In addition, the stocks of supermarket
chains, textile, specialty printing and tobacco stocks provided disappointing
returns.
What is the fund's current strategy?
The fund is an index fund and its goal is to replicate the return of the S&P 500
Index. Therefore, the fund's strategy is to hold all 500 stocks that make up the
S&P 500 Index in an effort to capture a similar return.
To understand the strategy behind how index investing works it's important to
recognize the differences associated with a passive index manager and an active
manager. The active manager typically makes decisions about buying and selling
stocks based on economic, financial and market conditions. The passive index
manager, on the other hand, buys the stocks in the index in an effort to match
its returns. An advantage of the passive management approach is that lower costs
are incurred for professional research.
Another advantage of an index fund is its buy-and-hold strategy. As a result of
low trading volumes, index funds often incur lower transaction costs and realize
fewer taxable capital gains. Fewer realized capital gains may translate into
lower annual taxes for investors.
November 15, 1999
(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 ANALYTICAL SERVICES, INC. -- REFLECTS THE REINVESTMENT OF
INCOME DIVIDENDS 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.
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 10/31/99
<TABLE>
Inception From
Date 1 Year 5 Years Inception
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FUND 1/2/90 25.00 25.33%
</TABLE>
16.88%
((+)) SOURCE: LIPPER ANALYTICAL SERVICES, INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS S&P 500 INDEX FUND
ON 1/2/90 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE STANDARD & POOR'S
500 COMPOSITE STOCK PRICE INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS ARE REINVESTED. THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH
TAKES INTO ACCOUNT ALL APPLICABLE FEES AND EXPENSES. THE STANDARD & POOR'S 500
COMPOSITE STOCK PRICE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK
MARKET PERFORMANCE, WHICH DOES NOT TAKE INTO ACCOUNT CHARGES, FEES OR OTHER
EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
STATEMENT OF INVESTMENTS
<TABLE>
October 31, 1999
COMMON STOCKS--95.9% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ALCOHOL & TOBACCO--1.1%
Anheuser-Busch Cos. 111,400 7,999,913
Brown-Forman, Cl. B 16,300 1,100,250
Coors (Adolph), Cl. B 8,800 488,400
Philip Morris Cos. 569,500 14,344,281
Seagram 103,000 5,085,625
UST 42,600 1,179,488
30,197,957
CONSUMER CYCLICAL--8.8%
AMR 35,900 (a) 2,279,650
Albertson's 100,172 3,637,496
AutoZone 35,500 (a) 942,969
Bed Bath & Beyond 32,700 (a) 1,089,319
Best Buy 48,600 (a) 2,700,338
Black & Decker 20,700 890,100
Brunswick 21,900 495,488
CVS 93,300 4,052,719
Circuit City Group 47,900 2,044,731
Consolidated Stores 26,200 (a) 479,788
Cooper Tire and Rubber 18,100 304,306
Costco Wholesale 52,600 (a) 4,224,438
Dana 39,459 1,166,507
Darden Restaurants 31,500 600,469
Dayton Hudson 105,300 6,805,013
Delphi Automotive Systems 134,569 2,211,978
Delta Air Lines 33,400 1,818,213
Dillard's, Cl. A 25,500 481,313
Dollar General 53,487 1,410,720
Eastman Kodak 75,400 5,197,888
Federated Department Stores 49,700 (a) 2,121,569
Ford Motor 288,200 15,814,975
Gap 204,325 7,585,566
General Motors 153,500 10,783,375
Grainger (W.W.) 22,200 940,725
Great Atlantic & Pacific 9,100 259,919
Harrah's Entertainment 30,600 (a) 885,488
Hasbro 46,400 957,000
Hilton Hotel 60,700 561,475
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Home Depot 353,302 26,674,301
K mart 117,600 (a) 1,183,350
Kohl's 38,800 (a) 2,902,725
Kroger 197,600 (a) 4,112,550
Leggett & Platt 46,900 1,040,594
Limited 51,000 2,097,375
Liz Claiborne 14,800 592,000
Longs Drug Stores 9,400 256,150
Lowes 90,900 4,999,500
Marriott International, Cl. A 59,300 1,997,669
Mattel 100,100 1,338,838
May Department Stores 80,250 2,783,672
Maytag 20,800 833,300
McDonald's 322,800 13,315,500
Mirage Resorts 47,400 (a) 690,263
Navistar International 15,800 (a) 658,663
NIKE, Cl. B 67,000 3,781,313
Nordstrom 33,400 832,913
Office Depot 89,300 (a) 1,110,669
Paccar 18,700 881,238
Penney (J.C.) 62,800 1,593,550
Pep Boys-Manny, Moe & Jack 12,500 156,250
Polaroid 10,600 236,513
Reebok International 13,400 (a) 131,488
Rite Aid 61,700 539,875
Russell 8,300 126,056
Safeway 121,600 (a) 4,294,000
Sears, Roebuck & Co. 90,600 2,553,788
Southwest Airlines 120,112 2,019,383
Springs Industries 4,300 171,194
Staples 110,750 (a) 2,457,266
TJX Cos. 75,700 2,053,363
Tandy 46,000 2,895,125
Toys R Us 59,000 (a) 833,375
Tricon Global Restaurants 36,610 (a) 1,471,264
US Airways Group 20,000 (a) 560,000
V.F. 28,300 850,769
Wal-Mart Stores 1,060,300 60,105,756
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Walgreen 239,100 6,022,331
Wendy's International 28,900 689,988
Whirlpool 18,000 1,254,375
Winn-Dixie Stores 35,400 958,013
246,799,840
CONSUMER STAPLES--5.8%
Alberto-Culver, Cl. B 13,300 313,381
Archer Daniels Midland 147,156 1,811,858
Avon Products 62,136 2,003,886
Bestfoods 66,500 3,906,875
Campbell Soup 103,400 4,653,000
Clorox 56,200 2,300,688
Coca-Cola 588,300 34,709,700
Coca-Cola Enterprises 101,200 2,586,925
Colgate-Palmolive 138,900 8,403,450
ConAgra 116,300 3,031,069
Fortune Brands 39,600 1,403,325
General Mills 36,400 3,173,625
Gillette 258,500 9,354,469
Heinz (H.J.) 85,400 4,077,850
Hershey Foods 33,200 1,676,600
International Flavors & Fragrances 25,300 967,725
Kellogg 96,500 3,841,906
Nabisco Group Holdings 77,700 995,531
National Service Industries 9,600 309,600
Newell Rubbermaid 67,162 2,325,484
PepsiCo 348,400 12,085,125
Procter & Gamble 316,500 33,192,938
Quaker Oats 31,900 2,233,000
Ralston-Purina Group 77,100 2,423,831
Sara Lee 215,300 5,826,556
Supervalu 33,100 695,100
Sysco 78,900 3,032,719
Tupperware 13,700 271,431
Unilever, N.V. 136,135 9,078,503
Wrigley, (Wm) Jr 27,700 2,214,269
162,900,419
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--6.2%
Amerada Hess 21,600 1,239,300
Anadarko Petroleum 30,400 936,700
Apache 27,100 1,056,900
Atlantic Richfield 76,800 7,156,800
Baker Hughes 78,390 2,190,021
Burlington Resources 42,245 1,473,294
Chevron 156,300 14,272,144
Coastal 50,800 2,139,950
Columbia Energy Group 19,500 1,267,500
Conoco, Cl. B 150,225 4,074,842
Consolidated Natural Gas 22,900 1,465,600
Eastern Enterprises 6,400 327,200
El Paso Energy 54,400 2,230,400
Enron 170,100 6,793,369
Exxon 578,400 42,837,750
Halliburton 105,100 3,960,956
Helmerich & Payne 11,800 280,988
McDermott International 14,100 255,563
Mobil 186,600 18,006,900
Nicor 11,200 434,000
Occidental Petroleum 83,000 1,893,438
Oneok 7,500 218,906
Peoples Energy 8,500 323,000
Phillips Petroleum 60,300 2,803,950
Rowan Cos. 19,800 (a) 308,138
Royal Dutch Petroleum 510,900 30,622,069
Schlumberger 130,500 7,903,406
Sunoco 21,600 521,100
Texaco 131,700 8,083,088
Tosco 36,300 918,844
USX-Marathon Group 73,600 2,143,600
Union Pacific Resources Group 60,010 870,145
Unocal 57,700 1,990,650
Williams Cos. 103,400 3,877,500
174,878,011
HEALTH CARE--11.0%
Abbott Laboratories 362,500 14,635,938
Allergan 15,700 1,685,788
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Alza 24,200 (a) 1,036,063
American Home Products 311,300 16,265,425
Amgen 121,500 (a) 9,689,625
Bard (C.R.) 12,300 663,431
Bausch & Lomb 13,700 739,800
Baxter International 69,400 4,502,325
Becton, Dickinson & Co. 59,600 1,512,350
Biomet 26,800 807,350
Boston Scientific 98,500 (a) 1,982,313
Bristol-Myers Squibb 473,200 36,347,675
Cardinal Health 64,950 2,800,969
Columbia/HCA Healthcare 134,450 3,243,606
Guidant 72,000 3,555,000
Healthsouth 98,900 (a) 568,675
Humana 39,900 (a) 274,313
Johnson & Johnson 320,300 33,551,425
Lilly (Eli) 260,400 17,935,050
Mallinckrodt Group 16,900 573,544
Manor Care 25,800 (a) 406,350
McKesson HBOC 66,977 1,343,726
Medtronic 279,600 9,681,150
Merck & Co. 558,800 44,459,525
Pfizer 923,200 36,466,400
Pharmacia & Upjohn 120,700 6,510,256
Schering-Plough 349,800 17,315,100
Service Corp. International 64,800 619,650
Sigma-Aldrich 24,000 684,000
St. Jude Medical 20,200 (a) 552,975
Tenet Healthcare 74,000 (a) 1,438,375
Tyco International 398,600 15,919,088
United Healthcare 41,300 2,134,694
Warner-Lambert 203,600 16,249,825
Watson Pharmaceuticals 22,800 (a) 723,900
Wellpoint Health Networks 15,700 (a) 910,600
307,786,279
INTEREST SENSITIVE--18.8%
Aetna 33,579 1,687,345
Aflac 63,300 3,236,213
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Allstate 190,200 5,468,250
American Express 107,000 16,478,000
American General 59,345 4,402,657
American International Group 368,812 37,964,585
Amsouth Bancorp 92,300 2,376,725
Aon 61,075 2,168,163
Associates First Capital, Cl. A 173,438 6,330,487
BB&T 76,100 2,768,138
Bank One 279,404 10,495,113
Bank of America 411,552 26,493,660
Bank of New York 177,000 7,411,875
Bear Stearns Cos. 27,755 1,183,057
Block H & R Inc 23,300 991,706
Capital One Financial 47,100 2,496,300
Cendant 171,670 (a) 2,832,555
Chase Manhattan 198,300 17,326,463
Chubb 42,000 2,304,750
Cigna 47,400 3,543,150
Cincinnati Financial 39,300 1,407,431
Citigroup 804,639 43,551,086
Comerica 37,200 2,211,075
Conseco 77,903 1,894,017
Countrywide Credit Industries 26,900 912,919
Federal National Mortgage Association 244,200 17,277,150
Federal Home Loan Mortgage 165,600 8,952,750
Fifth Third Bancorp 71,900 5,307,119
First Union 227,890 9,728,054
Firstar 234,739 6,895,458
Fleet Boston 219,556 9,578,110
Franklin Resources 60,100 2,103,500
General Electric 781,500 105,942,036
Golden West Financial 13,100 1,463,925
Hartford Financial Services Group 53,800 2,787,513
Household International 114,045 5,089,258
Huntington Bancshares 54,913 1,626,798
Jefferson-Pilot 25,150 1,887,822
Keycorp 106,900 2,986,519
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Lehman Brothers Holdings 28,600 2,107,463
Lincoln National 47,400 2,186,325
Loews 26,000 1,842,750
MBIA 23,800 1,358,088
MBNA 191,025 5,277,066
MGIC Investment 26,000 1,553,500
Marsh & McLennan Cos. 62,900 4,973,031
Mellon Financial 122,500 4,524,844
Merrill Lynch 88,000 6,908,000
Morgan (J.P.) 41,800 5,470,575
Morgan Stanley, Dean Witter & Co. 135,980 15,000,294
National City 149,400 4,407,300
Northern Trust 26,600 2,568,563
PNC Bank 72,400 4,316,850
Paine Webber Group 34,700 1,414,025
Progressive 17,400 1,610,588
Providian Financial 33,750 3,678,750
Regions Financial 53,300 1,602,331
Republic New York 25,000 1,579,688
SLM Holding 38,300 1,874,306
Safeco 31,700 871,750
Schwab (Charles) 194,800 7,585,025
SouthTrust 39,900 1,596,000
St. Paul Companies 53,994 1,727,808
State Street 38,400 2,923,200
Summit Bancorp 42,200 1,461,175
SunTrust Banks 76,700 5,613,481
Synovus Financial 64,650 1,385,934
T. Rowe Price Associates 28,800 1,022,400
Torchmark 32,100 1,001,119
U.S. Bancorp 174,348 6,461,773
Union Planters 34,100 1,517,450
UnumProvident 56,895 1,873,979
Wachovia 48,200 4,157,250
Washington Mutual 138,360 4,972,313
Wells Fargo 392,900 18,810,088
526,796,814
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS--6.9%
Air Products & Chemicals 54,600 1,501,500
Alcan Aluminium 53,800 1,772,038
Alcoa 87,400 5,309,550
Allegheny Teledyne 45,354 688,814
AlliedSignal 131,100 7,464,506
Armstrong World Industries 9,500 355,063
Ashland 17,200 567,600
Avery Dennison 27,100 1,693,750
Ball 7,200 290,250
Barrick Gold 92,900 1,701,231
Bemis 12,500 436,719
Bethlehem Steel 31,200 (a) 216,450
Boeing 228,798 10,539,008
Boise Cascade 13,600 484,500
Briggs & Stratton 5,500 321,406
Burlington Northern Santa Fe 110,800 3,531,750
CSX 51,900 2,127,900
Case 18,500 980,500
Caterpillar 84,700 4,679,675
Centex 14,200 380,738
Champion International 22,900 1,323,906
Cooper Industries 22,500 968,906
Crane 16,125 329,555
Crown Cork & Seal 29,200 698,975
Cummins Engine 10,000 506,875
Deere & Co. 55,700 2,019,125
Dow Chemical 52,400 6,196,300
DuPont (E.I.) deNemours & Co. 248,612 16,019,936
Eastman Chemical 18,600 717,263
Ecolab 30,800 1,041,425
Emerson Electric 103,500 6,216,469
Engelhard 30,000 528,750
FDX 70,820 (a) 3,049,686
FMC 7,600 (a) 309,225
Fleetwood Enterprises 8,100 176,681
Fluor 18,100 721,738
Fort James 52,700 1,386,669
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Foster Wheeler 9,700 109,125
Freeport-McMoRan Copper, Cl. B 38,900 649,144
General Dynamics 47,500 2,633,281
Genuine Parts 42,700 1,112,869
Georgia-Pacific 40,900 1,623,219
Goodrich (B.F.) 26,200 620,613
Goodyear Tire & Rubber 37,200 1,536,825
Grace (W.R.) & Co. 17,000 (a) 253,938
Great Lakes Chemical 13,900 493,450
Hercules 25,300 608,781
Homestake Mining 62,000 519,250
ITT Industries 20,900 714,519
Illinois Tool Works 59,700 4,373,025
Inco 45,700 925,425
Ingersoll-Rand 39,300 2,053,425
International Paper 98,520 5,184,615
Kansas City Southern Industries 26,300 1,247,606
Kaufman & Broad Home 11,400 228,713
Kerr-McGee 20,565 1,105,369
Kimberly-Clark 126,900 8,010,563
Laidlaw 78,700 482,038
Lockheed Martin 94,100 1,882,000
Louisiana-Pacific 25,600 324,800
Masco 105,500 3,217,750
Mead 24,400 878,400
Milacron 8,800 144,650
Minnesota Mining & Manufacturing 96,000 9,126,000
Monsanto 151,000 5,813,500
NACCO Industries, Cl. A 1,900 88,113
Newmont Mining 39,925 875,855
Norfolk Southern 90,600 2,214,038
Northrop Grumman 16,500 905,438
Nucor 20,800 1,079,000
Owens-Corning 13,100 268,550
Owens-Illinois 37,100 (a) 888,081
PPG Industries 41,400 2,509,875
Pall 29,600 649,350
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Parker-Hannifin 25,850 1,184,253
Phelps Dodge 18,495 1,042,656
Placer Dome 77,600 940,900
Potlach 6,900 291,094
Praxair 38,000 1,776,500
Pulte 10,300 207,288
Raytheon, Cl. B 80,500 2,344,563
Reynolds Metals 15,000 906,563
Rockwell International 45,600 2,208,750
Rohm & Haas 51,915 1,985,749
Sealed Air 19,932 (a) 1,103,735
Sherwin-Williams 40,300 901,713
Snap-On 16,000 486,000
Stanley Works 21,213 588,661
TRW 28,900 1,239,088
Temple-Inland 13,300 773,063
Tenneco 40,600 649,600
Textron 36,300 2,801,906
Thomas & Betts 13,600 610,300
Timken 14,800 265,475
USX-U.S. Steel Group 21,100 539,369
Union Carbide 31,700 1,933,700
Union Pacific 59,000 3,289,250
United Technologies 114,800 6,945,400
Vulcan Materials 23,800 983,238
Westvaco 23,900 709,531
Weyerhaeuser 47,900 2,859,031
Willamette Industries 26,600 1,105,563
Worthington Industries 21,900 364,088
193,642,652
SERVICES--7.0%
Allied Waste Industries 44,900 (a) 471,450
Alltel 72,700 6,052,275
America Online 264,000 (a) 34,237,500
American Greetings, Cl. A 16,100 416,588
Automatic Data Processing 147,400 7,102,838
CBS 167,900 (a) 8,195,619
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
Carnival 146,100 6,501,450
Ceridian 34,500 (a) 756,844
Clear Channel Communications 80,400 (a) 6,462,150
Comcast, Cl. A 178,600 7,523,525
Computer Sciences 38,100 (a) 2,616,994
Deluxe 18,400 519,800
Disney (Walt) 491,400 12,960,675
Donnelley (R.R.) & Sons 30,800 746,900
Dow Jones & Co 21,600 1,328,400
Dun & Bradstreet 38,400 1,128,000
Electronic Data Systems 117,400 6,867,900
Equifax 34,300 926,100
First Data 102,200 4,669,263
Gannett 66,600 5,136,525
Harcourt General 16,900 650,650
IMS Health 74,500 2,160,500
Interpublic Group Cos. 67,200 2,730,000
Jostens 8,100 171,113
King World Productions 17,000 (a) 658,750
Knight-Ridder 19,300 1,225,550
McGraw-Hill Cos. 46,900 2,796,413
MediaOne Group 144,500 (a) 10,268,531
Meredith 12,400 442,525
New York Times, Cl. A 41,800 1,682,450
Nextel Communications, Cl. A 79,000 (a) 6,808,813
Omnicom Group 42,300 3,722,400
Paychex 58,550 2,305,406
Ryder System 16,600 354,825
Shared Medical Systems 6,400 241,600
Sprint Corp (PCS Group) 104,750 (a) 8,687,703
Time Warner 308,200 21,477,709
Times Mirror, Cl. A 14,200 1,024,175
Tribune 56,500 3,390,000
Viacom, Cl. B 166,000 (a) 7,428,500
Waste Management 147,500 2,710,313
195,558,722
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY--20.9%
ADC Telecommunications 37,500 (a) 1,788,281
Adaptec 24,800 (a) 1,116,000
Adobe Systems 29,000 2,028,188
Advanced Micro Devices 35,100 (a) 695,419
Analog Devices 42,000 (a) 2,231,250
Andrew 19,550 (a) 251,706
Apple Computer 38,300 (a) 3,068,788
Applied Materials 89,400 (a) 8,029,238
Autodesk 14,000 262,500
BMC Software 57,000 (a) 3,658,688
Cabletron Systems 41,500 (a) 687,344
Cisco Systems 774,600 (a) 57,320,400
Compaq Computer 404,984 7,694,696
Computer Associates International 128,050 7,234,825
Compuware 85,500 (a) 2,377,969
Comverse Technology 16,100 (a) 1,827,350
Corning 58,300 4,583,838
Danaher 33,900 1,637,794
Dell Computer 605,400 (a) 24,291,675
Dover 51,100 2,174,944
EMC 241,400 (a) 17,622,200
Eaton 17,200 1,294,300
Gateway 74,600 (a) 4,928,263
General Instrument 41,300 (a) 2,222,456
Harris 19,000 426,313
Hewlett-Packard 241,300 17,871,281
Honeywell 30,400 3,205,300
Ikon Office Solutions 35,500 244,063
Intel 788,100 61,028,494
International Business Machines 431,000 42,399,625
Johnson Controls 20,300 1,233,225
KLA-Tencor 21,000 (a) 1,662,938
LSI Logic 35,100 (a) 1,866,881
Lexmark International Group, Cl. A 30,700 (a) 2,396,519
Lucent Technologies 729,970 46,900,573
Micron Technology 59,700 (a) 4,257,356
Microsoft 1,216,000 (a) 112,556,000
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Millipore 10,700 341,063
Motorola 144,700 14,099,206
National Semiconductor 40,000 (a) 1,197,500
Network Appliance 17,500 (a) 1,295,000
Nortel Networks 316,240 19,587,115
Novell 79,800 (a) 1,600,988
Oracle 343,000 (a) 16,313,938
PE Biosystems Group 24,300 1,576,463
Parametric Technology 64,200 (a) 1,223,813
PeopleSoft 58,000 (a) 870,000
PerkinElmer 10,900 444,856
Pitney Bowes 63,800 2,906,888
Qualcomm Inc 38,300 (a) 8,531,325
Scientific-Atlanta 18,200 1,041,950
Seagate Technology 55,800 (a) 1,642,613
Silicon Graphics 45,000 (a) 348,750
Solectron 64,300 (a) 4,838,575
Sun Microsystems 184,400 (a) 19,511,825
3COM 85,200 (a) 2,470,800
Tektronix 11,200 378,000
Tellabs 93,300 (a) 5,901,225
Texas Instruments 187,200 16,801,200
Thermo Electron 37,600 (a) 507,600
Unisys 72,900 (a) 1,767,825
Xerox 158,000 4,424,000
584,699,198
UTILITIES--9.4%
AT&T 761,329 35,592,131
AES 48,400 (a) 2,731,575
Ameren 32,700 1,236,469
American Electric Power 46,100 1,590,450
Bell Atlantic 369,936 24,022,719
BellSouth 449,200 20,214,000
CMS Energy 28,700 1,058,313
Carolina Power & Light 38,000 1,311,000
Central & Southwest 50,700 1,124,906
CenturyTel 33,200 1,342,525
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
Cinergy 37,900 1,070,675
Consolidated Edison 53,400 2,039,213
Constellation Energy Group 35,600 1,092,475
DTE Energy 34,600 1,148,288
Dominion Resources 45,700 2,199,313
Duke Energy 86,894 4,909,511
Edison International 82,700 2,449,988
Entergy 58,800 1,760,325
FPL Group 42,700 2,148,344
FirstEnergy 55,700 1,451,681
Florida Progress 23,400 1,072,013
GPU 29,900 1,014,731
GTE 233,700 17,527,500
Global Crossing 183,065 (a) 6,338,626
MCI WorldCom 446,260 (a) 38,294,686
New Century Energies 27,500 895,469
Niagara Mohawk Power 44,600 (a) 708,025
Northern States Power 36,700 789,050
PG&E 91,500 2,098,781
PP&L Resources 37,600 1,017,550
PECO Energy 44,700 1,706,981
PacifiCorp 70,800 1,460,250
Pinnacle West Capital 20,100 741,188
Public Service Enterprise Group 52,200 2,065,163
Reliant Energy 70,466 1,920,199
SBC Communications 813,398 41,432,481
Sempra Energy 57,266 1,170,374
Southern 162,800 4,324,375
Sprint (FON Group) 206,700 15,360,394
Texas Utilities 65,897 2,553,509
UniCom 51,800 1,984,588
U S West 120,202 7,339,835
262,309,669
TOTAL COMMON STOCKS
(cost $1,637,376,864) 2,685,569,561
Principal
SHORT-TERM INVESTMENTS--4.0% Amount($) Value ($)
- -----------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.8%
Goldman Sachs & Co., 5.05% dated
10/29/1999, due 11/1/1999 in the amount
of $105,544,398 (fully collateralized by
$90,135,000 U.S. Treasury Bonds, 10.75%,
5/15/2003, value $107,714,386) 105,500,000 105,500,000
U.S. TREASURY BILLS--.2%
4.72%, 11/26/1999 50,000 49,853
4.61%, 12/9/1999 2,086,000 (b) 2,076,258
4.67%, 12/16/1999 5,161,000 (b) 5,132,769
7,258,880
TOTAL SHORT-TERM INVESTMENTS
(cost $112,756,558) 112,758,880
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $1,750,133,422) 99.9% 2,798,328,441
CASH AND RECEIVABLES (NET) .1% 1,699,912
NET ASSETS 100.0% 2,800,028,353
A NON-INCOME PRODUCING.
B PARTIALLY HELD BY THE CUSTODIAN IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
STATEMENT OF FINANCIAL FUTURES
October 31, 1999
Market Value Unrealized
Covered Appreciation
Financial Futures Long Contracts by Contracts ($) Expiration at 10/31/99 ($)
- ------------------------------------------------------------------------------------------------------------------------------------
Standard & Poor's 500 334 114,912,700 December '99 4,659,475
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
STATEMENT OF ASSETS AND LIABILITIES
October 31, 1999
Cost Value
- --------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--
See Statement of Investments--Note 1(b) 1,750,133,422 2,798,328,441
Cash 245,112
Receivable for shares of Common Stock subscribed 4,258,394
Receivable for futures variation margin--Note 4(a) 2,183,743
Dividends and interest receivable 2,176,492
2,807,192,182
- --------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 562,158
Due to Distributor 562,158
Payable for shares of Common Stock redeemed 5,500,909
Payable for investment securities purchased 538,604
7,163,829
- --------------------------------------------------------------------------------
NET ASSETS ($) 2,800,028,353
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 1,708,921,119
Accumulated undistributed investment income--net 17,247,820
Accumulated net realized gain (loss) on investments 21,004,920
Accumulated net unrealized appreciation (depreciation)
on investments (including $4,659,475 net unrealized
appreciation on financial futures)--Note 4(b) 1,052,854,494
- --------------------------------------------------------------------------------
NET ASSETS ($) 2,800,028,353
- --------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 69,059,528
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 40.55
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF OPERATIONS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $316,731 foreign taxes withheld at source) 30,541,154
Interest 3,590,987
TOTAL INCOME 34,132,141
EXPENSES:
Management fee--Note 3(a) 5,990,081
Shareholder servicing costs--Note 3(b) 5,990,081
Loan commitment fees--Note 2 6,542
TOTAL EXPENSES 11,986,704
INVESTMENT INCOME--NET 22,145,437
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments 19,489,477
Net realized gain (loss) on financial futures 5,613,875
NET REALIZED GAIN (LOSS) 25,103,352
Net unrealized appreciation (depreciation) on investments
(including $3,955,150 net unrealized appreciation on
financial futures) 439,174,812
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 464,278,164
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 486,423,601
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
----------------------------------
1999 1998
- -------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 22,145,437 19,423,880
Net realized gain (loss) on investments 25,103,352 (2,993,438)
Net unrealized appreciation (depreciation)
on investments 439,174,812 278,533,830
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 486,423,601 294,964,272
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (21,016,765) (14,501,384)
Net realized gain on investments -- (22,551,895)
TOTAL DIVIDENDS (21,016,765) (37,053,279)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 1,364,922,506 1,100,160,110
Dividends reinvested 19,813,208 35,192,667
Cost of shares redeemed (893,875,934) (828,953,361)
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS 490,859,780 306,399,416
TOTAL INCREASE (DECREASE) IN NET ASSETS 956,266,616 564,310,409
- -------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 1,843,761,737 1,279,451,328
END OF PERIOD 2,800,028,353 1,843,761,737
Undistributed investment income--net 17,247,820 16,119,148
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 35,881,434 35,150,650
Shares issued for dividends reinvested 545,219 1,245,223
Shares redeemed (23,641,873) (26,259,775)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 12,784,780 10,136,098
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
Year Ended October 31,
---------------------------------------------------------------------
1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA ($):
Net asset value, beginning of period 32.76 27.73 22.06 18.38 16.41
Investment Operations:
Investment income--net .35(a) .34 .34 .33 .36
Net realized and unrealized
gain (loss) on investments 7.80 5.46 6.37 3.89 3.36
Total from Investment Operations 8.15 5.80 6.71 4.22 3.72
Distributions:
Dividends from investment income--net (.36) (.30) (.38) (.32) (.42)
Dividends from net realized gain
on investments -- (.47) (.66) (.22) (1.33)
Total Distributions (.36) (.77) (1.04) (.54) (1.75)
Net asset value, end of period 40.55 32.76 27.73 22.06 18.38
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 25.00 21.34 31.46 23.41 25.68
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net assets .50 .50 .50 .57 .55
Ratio of net investment income
to average net assets .92 1.14 1.52 1.90 2.75
Decrease reflected in above expense
ratios due to undertakings by
the Manager -- -- .05 -- --
Portfolio Turnover Rate 9.61 7.15 2.26 5.22 3.66
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ x 1,000) 2,800,028 1,843,762 1,279,451 591,631 336,147
(A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
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
provide investment results that correspond to the price and yield performance of
publicly-traded common stocks in the aggregate, as represented by the Standard &
Poor' s 500 Composite Stock Price Index. The Dreyfus Corporation ("Dreyfus")
serves as the fund' s investment adviser. Dreyfus is a direct subsidiary of
Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Financial
Corporation. Premier Mutual Fund Services, Inc. (the "Distributor") 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 generally
accepted accounting principles 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. 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 income, including, where
applicable, amortization of discount on investments, is recognized on the
accrual basis.
The fund may enter into repurchase agreements with financial institutions,
deemed to be creditworthy by the fund' s Manager, subject to the seller's
agreement to repurchase and the fund's agreement to resell such securities at a
mutually agreed upon price. Securities purchased subject to repurchase
agreements are deposited with the fund's custodian and, pursuant to the terms of
the repurchase agreements, must have an aggregate market value greater than or
equal to the repurchase price plus accrued interest at all times. If the value
of the underlying securities falls below the value of the repurchase price plus
accrued interest, the fund will require the seller to deposit additional
collateral by the next business day. If the request for additional collateral is
not met, or the seller defaults on its repurchase obligations, the fund
maintains the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
(C) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain 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, if any, it is the policy of the fund not to distribute such gain.
(D) 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.
NOTE 2--Bank Line of Credit:
The fund participates with other Dreyfus-managed funds in a $500 million
redemption credit facility (the "Facility" ) to be utilized for The Fun
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 at rates based on
prevailing market rates in effect at the time of borrowings. During the period
ended October 31, 1999, the fund did not borrow under the Facility.
NOTE 3--Management Fee and Other Transactions With Affiliates:
(A) Pursuant to a management agreement (" Agreement" ) with Dreyfus, 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, Dreyfus has agreed to pay all expenses of the fund, except management
fees, brokerage commissions, taxes, interest, commitment fees, Shareholder
Services Plan fees, fees and expenses of non-interested Directors (including
counsel fees) and extraordinary expenses. In addition, Dreyfus is required to
reduce its fees in an amount equal to the fund's allocable portion of fees and
expenses of the non-interested Directors (including counsel fees). Each Director
receives from the company an annual fee of $2,500 and an attendance fee of $500
per meeting and is reimbursed for travel and out-of-pocket expenses. The
Chairman of the Board receives an additional 25% of such compensation (with the
exception of the reimburseable amounts). These fees and expenses are charged and
allocated to each series based on net assets. Amounts required to be paid by the
Company directly to the non-interested Directors, that would be applied to
offset a portion of the management fee payable to Dreyfus are in fact paid
directly by Dreyfus to the non-interested Directors.
(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, 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, 1999,
the fund was charged $5,990,081 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, 1999, redemption fees amounted to $22,597.
NOTE 4--Securities Transactions:
(A) The aggregate amount of purchases and sales of investment securities,
excluding short-term securities and financial futures, during the period ended
October 31, 1999 amounted to $639,639,426 and $222,301,492, 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 custodian, 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, 1999, are
set forth in the Statement of Financial Futures.
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(B) At October 31, 1999, accumulated net unrealized appreciation on investments
and financial futures was $1,052,854,494, consisting of $1,113,666,615 gross
unrealized appreciation and $60,812,121 gross unrealized depreciation.
At October 31, 1999, the cost of investments for Federal income tax purposes was
substantially the same as the cost for financial reporting purposes (see the
Statement of Investments).
REPORT OF INDEPENDENT ACCOUNTANTS
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, 1999, 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 generally accepted accounting principles. These
financial statements and 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 generally
accepted auditing standards, 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 at October 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 9, 1999
The Fund
IMPORTANT TAX INFORMATION (Unaudited)
The Fund also designates 95.25% of the ordinary dividends paid during the fiscal
year ended October 31, 1999 as qualifying for the corporate dividends received
deduction. Shareholders will receive notification in January 2000 of the
percentage applicable to the preparation of their 1999 income tax returns.
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 &
Dividend Disbursing Agent
Dreyfus Transfer, Inc.
P.O. Box 9671
Providence, RI 02940
Distributor
Premier Mutual Fund Services, Inc.
60 State Street
Boston, MA 02109
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 [email protected]
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
(c) 1999 Dreyfus Service Corporation 078AR9910
================================================================================
Dreyfus International
Stock Index Fund
ANNUAL REPORT October 31, 1999
(reg.tm)
The views expressed herein are current to the date of this report. These views
and the composition of the fund's portfolio are subject to change at any time
based on market and other conditions.
* Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value
Year 2000 Issues (Unaudited)
The fund could be adversely affected if the computer systems used by The Dreyfus
Corporation and the fund's other service providers do not properly process and
calculate date-related information from and after January 1, 2000. The Dreyfus
Corporation is working to avoid Year 2000-related problems in its systems and to
obtain assurances from other service providers that they are taking similar
steps. In addition, issuers of securities in which the fund invests may be
adversely affected by Year 2000-related problems. This could have an impact on
the value of the fund's investments and its share price.
Contents
THE FUND
- --------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
26 Statement of Financial Futures
27 Statement of Assets and Liabilities
28 Statement of Operations
29 Statement of Changes in Net Assets
30 Financial Highlights
31 Notes to Financial Statements
38 Report of Independent Accountants
39 Important Tax Information
FOR MORE INFORMATION
- ---------------------------------------------------------------------------
Back Cover
The Fund
Dreyfus International
Stock Index Fund
LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this annual report for Dreyfus International Stock
Index Fund, covering the 12-month period from November 1, 1998 through October
31, 1999. 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.
When the reporting period began, much of the world was experiencing the
aftermath of a global currency and credit crisis, and many of the world's
central banks had lowered key short-term interest rates to stimulate economic
growth. This strategy appears to have been effective. Soon after 1999 began,
evidence emerged that less restrictive monetary policies had helped prevent
further economic deterioration in Japan and the emerging markets of Asia, Latin
America and Eastern Europe.
The prospect of better economic conditions and the start of banking reform and
corporate restructuring helped Japan lead the world's stock markets higher.
European markets also fared relatively well in local currency terms, but returns
were generally flat for U.S. investors after adjusting for currency-related
effects. The improving economic climate produced particularly good results for
emerging market stocks. Stocks in Southeast Asia began to recover in 1999,
showing their first signs of real strength in over a year. Latin America
provided good results after concerns about Brazil's currency devaluation abated.
Even selected markets in Eastern Europe performed well, despite ongoing
financial problems in Russia.
We appreciate your confidence over the past year, and we look forward to your
continued participation in Dreyfus International Stock Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 1999
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, 1999, the fund produced a total return
of 22.87% .(1) This performance met the fund's goal of mirroring the return of
its benchmark, the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI-EAFE((reg.tm))) Free Index (net dividends reinvested), which reported
a total return of 22.84% for the same period.(2)
What is the fund's investment approach?
In managing an index fund, our goal is to match the risk and return
characteristics of our benchmark. The MSCI-EAFE Free Index is a broadly
diversified international index composed of approximately 1,000 stocks that
trade in 20 major markets outside the United States, including Great Britain,
Germany and France in Europe, Japan, Hong Kong and Singapore in Asia, as well as
Australia and New Zealand. Weighted by the market capitalization (the total
value of all shares outstanding in a country's stock market), approximately 75%
of the Index' s total value is represented by its top five countries, which
currently are Japan, Great Britain, France, Germany and Switzerland. The Index
also represents broad diversification across 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 duplicate its composition. Our carefully created sample
attempts to match index weightings at the country, industry and individual
security levels. Beginning by country, the fund invests in proportion to each
country' s weighting in the Index. That means if the Japanese market comprises
29% of the Index, then approximately 29% of the fund's assets will be invested
in Japan. 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
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
market value in the British sub-index is comprised of financial service firms,
that same approximate percentage of the investment in the British market 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 Index.
What other factors influenced the fund's performance?
A strong U.S. economy, in which inflation remained under control despite full
employment, continued to fuel global growth. Such strength in the U.S. was
especially important in helping the Latin American and Southeast Asian markets
recover from the financial setbacks suffered at the beginning of the reporting
period.
Japan' s economy and its financial markets advanced sharply. Investors seized
upon what they considered strong buying opportunities after a long period of
serious recession and overall decline in the Japanese markets. Bank
recapitalizations and corporate restructuring began to have positive economic
effects. Throughout the period, the sharp rise of the yen against the dollar
further boosted the Japanese market's return in dollar terms.
On the other hand, Europe showed mixed results. After early advances, stock and
currency markets stalled as initial euphoria over the introduction of a common
currency, the euro, ebbed and its value declined against the dollar. However, as
the fund' s fiscal year ended, recovery was clearly underway: business and
consumer confidence increased, exports and industrial production rose, and the
euro rebounded.
As an index fund, naturally, results were dependent on the performance of the
stock markets that made up the benchmark. Several markets advanced sharply,
including Finland with a 102% rise, and Japan up 58%. Other markets with strong
returns included Singapore (+58%), Sweden (+47%), Hong Kong (+27%) and France
(+24% ). But some markets showed poor performance, falling in absolute terms,
including Portugal (-19%), Austria (-14%), Belgium (-5%) and Ireland (-1%)
What is the fund's current strategy?
Over the past few years, many investors have come to view international
investing as a means by which to improve portfolio diversification and to be
able to seek growth opportunities outside the United States. We believe that
investment in an index fund, such as the Dreyfus International Stock Index Fund,
offers investors a cost-effective, well-diversified approach to obtain broad
exposure to the international stock markets. To provide such exposure to our
shareholders, we intend to continue to follow our strategy of remaining fully
invested in such a manner that the fund mirrors the risk/return characteristics
of the MSCI-EAFE Free Index.
November 15, 1999
(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 SHARES MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST.
(2) SOURCE: MORGAN STANLEY CAPITAL INTERNATIONAL -- THE MORGAN STANLEY CAPITAL
INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST (MSCI-EAFE((reg.tm))) FREE 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. 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 (EAFE((reg.tm))) Free Index
- --------------------------------------------------------------------------------
<TABLE>
Average Annual Total Returns AS OF 10/31/99
Inception From
Date 1 Year Inception
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FUND 6/30/97 22.87% 8.68%
</TABLE>
((+)) SOURCE: MORGAN STANLEY CAPITAL INTERNATIONAL
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS INTERNATIONAL
STOCK INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST
(EAFE((reg.tm))) FREE INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS ARE REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE,
AUSTRALASIA, FAR EAST (EAFE((reg.tm))) FREE INDEX IS AN UNMANAGED INDEX COMPOSED
OF A SAMPLE OF COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND
PACIFIC BASIN COUNTRIES AND INCLUDES NET DIVIDENDS REINVESTED. THE INDEX
REFLECTS ACTUAL INVESTABLE OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT
ARE FREE OF FOREIGN OWNERSHIP LIMITS OR LEGAL RESTRICTIONS AT THE SECURITY OR
COUNTRY LEVEL. THE INDEX DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER
EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
STATEMENT OF INVESTMENTS
<TABLE>
October 31, 1999
COMMON STOCKS--92.6% Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA-- 2.2%
AMP 4,358 44,246
AMP Diversified Property Trust (Units) 3,900 5,841
Amcor 1,500 6,551
Brambles Industries 800 22,484
Broken Hill Proprietary 7,447 76,918
CSL 600 7,265
CSR 2,400 5,384
Coca-Cola Amatil 4,926 15,194
Coles Myer 6,911 34,354
Colonial 4,632 17,033
Delta Gold NL 4,600 7,769
Foster's Brewing 4,700 12,485
General Property Trust (Units) 5,607 9,001
Howard Smith 1,839 13,178
Iluka Resources 4,328 10,206
Lend Lease 2,423 27,862
M.I.M. 14,451 11,880
National Australia Bank 6,036 93,091
Newcrest Mining 3,180 (a) 8,937
News 8,832 63,829
Normandy Mining 12,572 9,534
North 3,956 7,639
Pioneer International 2,100 4,591
QBE Insurance 3,500 14,610
Rio Tinto 1,551 24,916
Santos 2,200 5,650
Sons of Gwalia 4,013 11,637
Southcorp 1,524 5,293
Star City 12,500 11,766
Stockland Trust (Units) 2,678 5,765
TABCORP 800 5,068
Telstra 22,400 113,876
WMC 6,280 26,935
Westfield Trust (Units) 9,926 19,041
Westpac Banking 8,802 56,443
Woolworths 3,557 12,082
828,354
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRIA--.2%
Austria Tabakwerke 200 8,987
Bank Austria 325 16,148
Bau 150 5,170
Generali Holding Vienna 50 8,131
Lenzing 180 10,500
Mayr-Melnhof Karton 115 5,119
Oesterreichische Elektrizitaetswirtschafts, Cl. A 190 27,480
Universale-Bau 210 9,269
90,804
BELGIUM--1.2%
Barco 140 18,100
Bekaert 24 12,916
Colruyt 120 6,571
Compagnie Maritime Belge 300 15,451
Delhaize "Le lion" 100 7,027
D'Ieteren 50 22,914
Dolmen Computer Applications 12 230
Electrabel 180 59,333
Fortis (B) 2,902 97,914
Glaverbel 250 26,540
KBC Bancassurance 1,280 65,925
Solvay 500 38,339
Tractebel 240 41,926
UCB 625 23,288
436,474
DENMARK--.7%
A/S Dampskibsselskabet Svenborg 3 43,481
Bang & Olufsen, Cl. B 100 5,232
D/S 1912, Cl. B 3 30,331
Danisco 767 31,886
Den Danske Bank 290 33,011
Lauritzen (J.) 50 (a) 6,222
Novo Nordisk, Cl. B 225 26,980
Tele Danmark 1,010 61,268
Unidanmark, Cl. A 200 15,554
253,965
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FINLAND--2.0%
Finnlines 175 4,635
Kone, Cl. B 230 33,483
Merita 2,000 11,583
Nokia 5,222 597,241
Pohjola Group Insuance 115 6,165
Raisio 650 4,229
Sampo Insurance 225 7,804
Sonera 1,775 53,266
Tietoenator 160 5,550
UPM-Kymmene 750 23,650
747,606
FRANCE--8.8%
Accor 129 29,017
Air Liquide 460 70,834
Alcatel 795 124,090
Axa 1,408 198,461
Banque Nationale de Paris 783 68,721
Bongrain 50 19,656
Bouygues 100 34,791
CPR 200 9,964
Canal Plus 600 41,624
Cap Gemini 225 34,056
Carrefour 1,458 265,937
Club Mediterranee 150 15,010
Coflexip 100 7,883
Compagnie de Saint Gobain 381 66,077
Compagnie Financiere de Paribas 3 312
Compagnie Generale de Geophysique 90 4,683
Compagnie Generale des Etablissements Michelin, Cl. B 612 26,632
Danone 330 84,114
Dassault Systemes 420 17,407
Elf Aquitaine 1,106 162,752
Eridania Beghin-Say 139 15,779
Essilor International 50 15,767
Etablissements Economiques du Casino Guichard-Perrachon 255 28,947
France Telecom 4,119 397,663
Imerys 80 11,436
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FRANCE (CONTINUED)
L'Oreal 269 179,402
LVMH 408 123,080
Lafarge 335 32,219
Lagardere S.C.A. 375 15,175
Legrand 70 16,739
Nord-Est 200 5,569
PSA Peugeot Citroen 240 46,038
Pathe 230 25,142
Pechiney, Cl. A 200 11,184
Pernod Ricard 300 20,244
Pinault-Printemps-Redoute 450 85,754
Rhone-Poulenc 1,357 75,881
SEITA 181 10,083
Sagem 50 15,267
Sanofi-Synthelabo 2,958 130,429
Schneider Electric 670 46,128
Sidel 147 14,679
Simco 120 10,330
Societe BIC 250 12,219
Societe Eurafrance 45 27,150
Societe Generale, Cl. A 400 87,031
Sodexho Alliance 90 14,757
Suez Lyonnaise des Eaux 578 93,257
Thomson CSF 451 15,312
Total Fina 908 117,103
Total Fina VVPR 1,008 11
Total Fina, Cl. B 867 120,731
Unibail 50 7,305
Usinor 1,040 14,440
Valeo 295 21,178
Vivendi 2,251 170,472
3,315,922
GERMANY--8.7%
AGIV 630 12,648
AMB Aachener & Muenchener Beteiligungs 360 30,272
Adidas-Salomon 230 16,633
Allianz 1,021 310,684
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
Axa Colonia Konzern 105 10,705
BASF 2,406 108,113
Bayer 3,135 128,183
Beiersdorf 355 23,881
Bilfinger & Berger Bau 220 4,509
Buderus 1,040 17,490
Continental 600 13,023
DaimlerChrysler 4,066 316,259
Deutsche Bank 2,041 146,309
Deutsche Lufthansa 1,924 40,446
Deutsche Telekom 12,275 563,828
Dresdner Bank 1,960 100,433
Heidelberger Zement 220 17,343
Heidelberger Zement (Rights) 220 46
HypoVereinsbank 1,866 122,388
IWKA 500 9,749
Karstadt 330 14,915
Linde 400 20,938
Linde(Rights) 400 1,156
MAN 350 11,625
Mannesmann 1,390 218,424
Merck KGaA 1,050 36,200
Metro 1,193 64,078
Muenchener Rueckversicherungs-Gesellschaft 805 184,458
Preussag 545 29,502
RWE 1,836 73,912
SAP 278 103,207
SGL Carbon 155 9,914
Salamandar 500 6,569
Schering 310 36,853
Siemens 2,310 207,233
Strabag 168 (a) 8,300
Thyssen Krupp 2,350 55,577
Veba 1,758 94,979
Viag 1,976 36,451
Volkswagen 990 58,481
3,265,714
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
HONG KONG--2.1%
Bank of East Asia 12,101 26,478
CLP 11,740 53,793
Cable & Wireless HKT 49,808 113,790
Cathay Pacific Airways 18,000 36,605
Cheung Kong 10,000 90,739
Hang Seng Bank 7,900 85,919
Hong Kong & China Gas 40,632 53,866
Hutchison Whampoa 14,000 140,550
Johnson Electric 2,000 10,811
New World Development 14,377 27,201
Shangri-La Asia 20,000 21,752
South China Morning Post 22,000 15,998
Sun Hung Kai Properties 9,384 75,789
Swire Pacific, Cl. A 4,000 19,821
Wharf 10,171 29,389
802,501
IRELAND--.5%
Allied Irish Banks 5,629 70,408
CRH 1,402 26,452
Eircom 9,000 (a) 37,461
Fyffes 5,063 9,047
Greencore 11 32
Irish Continental 800 8,367
Irish Life & Permanent 1,200 12,235
Jefferson Smurfit 2,000 5,192
Ryanair 600 (a) 4,919
174,113
ITALY--3.6%
Alitalia 5,500 15,181
Assicurazioni Generali 4,092 131,829
Banca Intesa 11,354 48,310
Benetton 7,300 16,044
Bulgari 1,050 7,428
ENI 33,300 195,694
Edison 1,100 9,135
Fiat 2,385 75,382
Istituto Nazionale delle Assicurazioni 15,500 47,035
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
ITALY (CONTINUED)
Italcementi 450 5,650
Italgas 7,836 32,484
Mediaset 4,800 47,809
Mediobanca 7,754 80,149
Montedison 9,568 16,916
Olivetti 19,940 (a) 38,418
Pirelli 7,500 17,241
Riunione Adriatica di Sicurta 1,300 12,011
San Paolo-IMI 5,513 72,561
Societa Assicuratrice Industriale 500 5,216
Telecom Italia 16,205 140,540
Telecom Italia (RNC) 4,100 20,190
Telecom Italia Mobile 29,546 184,937
Telecom Italia Mobile (RNC) 7,000 24,266
UniCredito Italiano 18,990 88,744
1,333,170
JAPAN--25.9%
ASAHI BREWERIES 1,000 14,210
Acom 600 65,542
Advantest 300 45,132
Ajinomoto 8,800 98,574
Aoyamma Trading 200 6,382
Asahi Bank 10,000 88,731
Asahi Chemical Industry 11,900 71,838
Asahi Glass 3,800 30,186
Bank of Tokyo-Mitsubishi 19,620 324,869
Benesse 100 21,368
Bridgestone 3,400 93,503
CHIYODA 3,000 (a) 6,870
Canon 4,100 115,897
Chugai Pharmaceutical 400 4,753
Citizen Watch 3,000 21,186
Credit Saison 500 12,289
DAIKYO 2,000 (a) 5,615
DAIWA HOUSE INDUSTRY 4,400 40,222
Dai Nippon Printing 2,800 51,004
Daido Steel 200 391
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Daiichi Pharmaceutical 1,000 14,325
Daikin Industries 1,000 11,020
Daiwa Securities 6,000 63,990
Denki Kagaku Kougyo Kabushiki Kaisha 600 2,225
Denso 3,000 64,105
EBARA 1,000 11,920
East Japan Railway 13 79,599
Eisai 1,000 27,453
FANUC 1,000 77,616
Fuji Bank 14,900 204,168
Fuji Photo Film 2,200 70,621
Fujitsu 7,800 234,687
Furukawa Electric 5,000 36,412
Gunma Bank 1,000 7,493
Hitachi 18,900 204,104
Hokuriku Bank 4,000 (a) 9,582
Honda Motor 4,400 185,512
House Foods 1,220 17,559
Hoya 1,000 71,867
ITOCHU 6,500 (a) 23,917
Industrial Bank of Japan 11,200 151,322
Isetan 1,000 7,139
Ito-Yokado 2,000 159,831
JAPAN TOBACCO 2 22,039
JUSCO 1,000 23,285
Japan Airlines 9,600 32,196
Japan Energy 600 696
Joyo Bank 462 2,258
KAJIMA 800 2,813
KANDENKO 105 600
KIRIN BREWERY 8,000 91,529
KONICA 11,000 39,948
Kamigumi 400 2,357
Kansai Electric Power 8,399 156,858
Kao 2,000 60,943
Kawasaki Steel 19,600 (a) 44,324
Kinki Nippon Railway 2,995 13,861
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Komatsu 2,600 15,098
Konami 300 29,034
Kubota 3,000 11,930
Kumagai Gumi 7,000 (a) 6,573
Kurita Water Industries 1,000 18,398
Kyocera 1,200 114,987
MAEDA ROAD CONSTRUCTION 200 1,131
MARUHA 400 460
Marubeni 20,000 63,626
Marui 4,000 75,508
Matsushita Electric Industrial 8,400 176,677
Minebea 1,000 13,463
Mitsubishi 6,000 43,120
Mitsubishi Chemical 5,200 23,568
Mitsubishi Electric 8,000 44,232
Mitsubishi Estate 4,000 40,054
Mitsubishi Heavy Industries 29,700 116,398
Mitsubishi Trust & Banking 5,200 69,908
Mitsui & Co. 4,400 32,507
Mitsui Fudosan 2,000 14,929
Mitsui Marine & Fire Insurance 600 3,973
Mitsui Trust & Banking 4,600 14,281
Mitsukoshi 3,000 (a) 16,702
Murata Manufacturing 1,000 128,402
Mycal 1,000 4,734
NEC 5,800 117,267
NIPPON MEAT PACKERS 1,000 12,390
NSK 3,000 24,004
Nikon 2,600 61,786
Nintendo 300 47,576
Nippon Express 10,000 70,717
Nippon Light Metal 400 590
Nippon Mitsubishi Oil 2,800 12,342
Nippon Paper Industries 2,000 15,523
Nippon Steel 27,100 68,815
Nippon Telegraph & Telephone 53 812,572
Nippon Yusen Kabushiki Kaisha 10,800 46,570
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Nissan Motor 12,000 (a) 71,867
Nomura Securities 8,000 131,928
OBAYASHI 6,000 35,933
OSAKA GAS 20,000 66,884
Oji Paper 10,000 70,429
Omron 1,000 20,889
Orient 2,000 8,931
Orix 400 53,660
RENOWN 6,000 11,729
Rohm 300 67,267
SHIMIZU 3,000 10,751
SMC 200 33,710
SOFTBANK 400 165,964
SONY 1,740 271,104
Sakura Bank 16,600 142,522
Sankyo 2,000 56,918
Sanwa Shutter 200 862
Sanyo Electric 4,000 19,165
Secom 2,000 214,258
Seino Transportation 1,000 6,938
Sekisui Chemical 1,000 4,916
Sekisui House 7,000 75,728
77 Bank 1,000 11,863
Sharp 6,000 95,439
Shin-Etsu Chemical 2,000 82,407
Shiseido 1,000 15,236
Shizuoka Bank 2,400 27,137
Snow Brand Milk Products 500 2,410
Sumitomo 3,000 21,905
Sumitomo Bank 12,307 197,884
Sumitomo Chemical 7,000 44,874
Sumitomo Electric Industries 2,800 37,589
Sumitomo Marine & Fire Insurance 1,000 7,714
Sumitomo Metal Industries 19,000 (a) 18,570
TAKARA STANDARD 5,000 31,861
TAKEFUJI 200 25,872
TOKYO DOME 1,000 (a) 5,500
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
TOKYO GAS 41,000 97,039
TOYOBO 200 301
Taiheiyo Cement 4,000 8,739
Taisho Pharmaceutical 1,000 41,587
Takashimaya 1,000 8,959
Takeda Chemical Industries 4,000 229,590
Teijin 3,000 15,293
Tohoku Electric Power 1,000 15,600
Tokai Bank 9,800 85,454
Tokio Marine & Fire Insurance 5,800 75,862
Tokyo Broadcasting System 2,000 52,798
Tokyo Electric Power 4,272 95,379
Tokyo Electron 1,000 82,982
Tokyu 9,820 26,818
Toppan Printing 8,000 98,045
Toray Industries 21,000 115,705
Tostem 1,000 22,374
Toyo Seikan Kaisha 1,000 21,752
Toyoda Automatic Loom Works 1,000 19,452
Toyota Motor 15,014 519,361
UNI-CHARM 1,000 58,356
Ube Industries 600 1,736
YAMAZAKI BAKING 1,000 12,217
YOKOGAWA ELECTRIC 2,900 20,286
Yamaha 1,000 6,708
Yamanouchi Pharmaceutical 1,000 45,324
Yamato Transport 1,400 40,246
9,705,158
NETHERLANDS--5.3%
ABN AMRO 6,026 145,617
Aegon 2,603 240,085
Akzo Nobel 912 39,245
Buhrmann 496 8,545
Elsevier 2,100 19,932
Getronics 201 10,014
Hagemeyer 406 8,317
Heineken 1,332 67,889
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS (CONTINUED)
IHC Caland 415 17,994
ING Groep 3,912 230,596
KLM 288 7,840
KPN 2,151 110,310
Koninklijke Ahold 3,172 97,355
Koninklijke Nedlloyd 502 14,009
Koninklijke Pakhoed 578 16,130
Koninkilijke (Royal) Philips Electronics 1,352 138,556
Royal Dutch Petroleum 9,170 547,761
Stork 422 8,273
TNT Post 1,998 50,823
Unilever 2,681 177,534
Vedior 708 11,907
Wolters Kluwer 1,048 34,996
2,003,728
NEW ZEALAND--.2%
Carter Holt Harvey 15,900 20,121
Fisher & Paykel Industries 7,650 23,234
Lion Nathan 6,730 14,479
Telecom Corporation of New Zealand 6,700 26,929
84,763
NORWAY--.3%
Christiania Bank Og Kreditkasse 3,100 15,096
Den Norske Bank 2,300 8,913
Kvaerner 350 6,603
Leif Hough & Co. 1,200 14,073
Norsk Hydro 500 19,950
Orkla, Cl. A 800 11,167
Orkla, Cl. B 1,000 13,895
Petroleum Geo-Services 400 (a) 5,966
SAS Norge Cl. B 1,030 9,454
Schibsted 460 4,984
Storebrand 800 (a) 5,558
115,659
PORTUGAL--.5%
BPI-SGPS 3,620 14,459
Banco Comercial Portugues 639 17,987
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
PORTUGAL (CONTINUED)
Banco Espirito Santo 397 10,315
Brisa-Auto Estradas de Portugal 200 7,873
Cimpor-Cimentos de Portugal 1,620 26,853
Companhia de Seguros Tranquilidade 200 5,569
EDP 1,900 29,517
Engil-SGPS 554 5,631
Jeronimo Martins 533 14,869
Portugal Telecom 819 36,500
Sonae 300 10,015
179,588
SINGAPORE--.8%
City Developments 3,000 15,507
Creative Technology 1,000 11,660
Cycle & Carriage 4,000 13,583
DBS 2,559 28,915
First Capital 9,000 10,710
Keppel 11,500 31,242
Oversea-Chinese Banking 5,143 38,639
Sembcorp Industries 8,037 10,144
Singapore Airlines 7,000 74,047
Singapore Press 900 15,417
Singapore Technology Engineering 6,000 8,691
Singapore Telecommunications 21,000 39,885
United Overseas Bank 2,000 15,146
313,586
SPAIN--2.7%
Argentaria, Caja Postal y Banco Hipotecario de Espana 1,800 39,921
Autopistas, Concesionaria Espanola 695 7,488
Banco Bilbao Vizcaya 11,688 157,006
Banco Santander Cental Hispano 15,928 165,243
Endesa 5,203 104,072
Fomento de Construcciones y Contratas 1,300 32,589
Gas Natural SDG, Cl. E 1,950 42,633
Iberdrola 3,000 43,705
Repsol-YPF 4,800 98,887
Tabacalera, Cl. A 1,500 24,674
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SPAIN (CONTINUED)
Telefonica 15,270 251,027
Union Electrica Fenosa 2,100 30,704
997,949
SWEDEN--2.3%
Atlas Copco, Cl. A 300 7,902
Drott, Cl. B 600 5,754
Electrolux, Cl. B 1,000 19,907
Esselte, Cl. B 1,845 12,318
ForeningsSparbanken 2,475 39,356
Granges 500 9,559
Hennes & Mauritz, Cl. B 3,600 95,482
NetCom, Cl. B 700 (a) 29,017
SSAB Svenskt Stal, Cl. A 400 4,904
SSAB Svenskt Stal, Cl. B 400 4,977
Sandvik, Cl. A 2,000 51,346
Sandvik, Cl. B 200 5,171
Securitas, Cl. B 1,120 16,586
Skandia Forsakrings 1,845 40,984
Skandinaviska Enskilda Banken, Cl. A 2,600 26,669
Skanska, Cl. B 600 21,922
Svenska Cellulosa, Cl. B 583 15,710
Svenska Handelsbanken, Cl. A 2,700 37,363
Swedish Match 3,700 13,519
Telefonaktiebolaget LM Ericsson, Cl. B 8,300 344,566
Volvo, Cl. A 400 10,415
Volvo, Cl. B 1,250 32,243
WM-Data, Cl. B 335 14,049
859,719
SWITZERLAND--6.4%
ABB 1,519 (a) 153,026
Adecco 63 38,204
Alusuisse Lonza 31 18,921
Credit Suisse 1,100 211,525
Georg Fischer 25 7,859
Holderbank Financiere Glarus 29 35,724
Holderbank Financiere Glarus, Cl. B 117 38,700
Jelmoli 25 5,784
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND (CONTINUED)
Kuoni Reisen 5 21,330
Lonza (Rights) 31 18,107
Moevenpick 15 6,891
Nestle 160 308,722
Novartis (Reg'd) 287 429,455
Roche Holding Ag-Genusss 30 360,307
Roche Holding (Bearer) 6 104,745
SAirGroup 60 12,621
Schindler (Part. Cert) 5 7,679
Schindler (Reg'd) 5 7,974
Schweizerische Rueckversicherungs-Gesellschaft 61 126,508
Sulzer 20 14,045
Swatch (Bearer) 33 26,293
Swatch (Reg'd) 142 23,299
Swisscom 275 83,834
UBS 834 242,750
Valora 39 9,931
Zurich Allied 143 80,993
2,395,227
UNITED KINGDOM--18.2%
AMEC 3,439 12,104
Abbey National 4,350 84,941
Allied Zurich 4,349 52,452
Anglian Water 569 6,321
Arjo Wiggins Appleton 3,233 11,353
Associated British Foods 2,578 16,085
AstraZeneca 6,789 306,575
BAA 3,829 28,054
BBA 2,518 17,386
BG 13,560 75,151
BOC 1,973 42,185
BP Amoco 74,888 725,628
BPB 1,100 6,480
Barclays 6,056 185,132
Barratt Developments 2,000 7,712
Bass 3,043 33,380
Berekeley 500 4,504
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Blue Circle Industries 4,421 20,494
Boots 3,119 31,987
Bowthorpe 1,100 11,101
British Aerospace 5,996 34,977
British Airways 3,150 16,372
British America Tobacco 8,249 54,549
British Land 2,700 19,383
British Sky Broadcasting 7,180 76,993
British Telecommunications 24,530 444,173
Bunzl 1,523 7,472
Burmah Castrol 686 11,808
CGU 4,504 65,518
Cable & Wireless 10,010 116,785
Cadbury Schweppes 7,600 49,727
Carillion 894 1,857
Carlton Communications 1,326 9,568
Centrica 10,665 30,932
Compass 2,425 25,944
Corus 23,280 44,313
De La Rue 1,000 5,049
Diageo 11,725 118,323
EMI 3,700 29,021
Electrocomponents 1,300 11,647
Elementis 6,284 10,621
GKN 2,600 41,554
General Electric 9,764 105,984
Glaxo Wellcome 14,084 414,578
Granada 7,063 55,746
Great Portland Estates 5,000 15,589
Great Universal Stores 3,800 28,808
HSBC 33,579 412,973
Halifax 8,845 112,844
Hammerson 3,200 23,786
Hanson 3,367 26,354
Hepworth 1,500 4,517
Hilton 6,299 19,173
Hyder 24 216
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Imperial Chemical Industries 3,842 38,141
Invensys 17,267 84,717
Kingfisher 5,589 60,941
Laird 1,300 5,461
Land Securities 2,050 25,565
Legal & General 22,140 61,397
Lloyds TSB 19,998 275,964
MEPC 1,735 12,000
Marks & Spencer 9,345 42,936
Meyer International 2,929 16,413
Misys 2,011 16,763
National Grid 3,025 22,560
National Power 2,703 18,240
Next 1,790 19,253
Ocean 360 5,494
Pearson 2,550 57,199
Peninsular and Oriental Steam Navigation 2,373 33,565
Pilkington 3,825 5,714
Prudential 7,600 119,034
RMC 1,500 21,537
Racal Electronic 1,800 13,262
Railtrack 2,053 41,503
Rank 2,061 6,417
Reed International 3,590 20,912
Rentokil Initial 11,600 38,592
Reuters 4,943 45,868
Rio Tinto 4,650 79,430
Rolls-Royce 4,200 14,886
Royal & Sun Alliance Insurance 5,123 34,802
Royal Bank Of Scotland 3,515 80,864
Safeway 3,233 10,133
Sainsbury (J.) 8,650 51,843
Schroders 975 19,471
Scottish & Newcastle 2,700 25,121
Scottish & Southern Electric 3,730 35,346
Scottish Power 4,500 41,683
Slough Estates 1,200 6,951
The Fund
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
SmithKline Beecham 22,197 285,557
Smiths Industries 500 6,732
St. James's Place Capital 2,300 7,473
Stagecoach 3,826 10,861
TI 2,000 13,472
Tarmac 894 7,511
Tate & Lyle 2,500 16,286
Tesco 27,087 80,449
Thames Water 1,219 17,602
Transport Development 3,600 12,582
Unigate 4,284 19,824
Unilever 11,357 105,199
United Utilities 1,680 16,609
Vodafone AirTouch 119,725 555,973
Wilson Connolly 4,180 8,917
Wimpey (George) 4,000 7,811
Wolseley 2,383 16,159
6,825,174
TOTAL COMMON STOCKS
(cost $28,675,907) 34,729,174
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--.4%
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--.1%
News 8,572 58,000
GERMANY--.3%
Friedrich Grohe 40 12,613
MAN 250 5,045
Metro 185 5,445
RWE 214 6,793
SAP 166 73,108
Volkswagen 200 7,084
110,088
TOTAL PREFERRED STOCK
(cost $161,270) 168,088
Principal
SHORT-TERM INVESTMENTS--2.4% Amount ($) Value ($)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS:
4.49%, 12/9/1999 159,000 158,257
4.64%, 12/16/1999 130,000 129,289
4.56%, 12/23/1999 514,000 510,716
4.7%, 1/6/2000 100,000 (b) 99,134
TOTAL SHORT-TERM INVESTMENTS
(cost $897,240) 897,396
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $29,734,417) 95.4% 35,794,658
CASH AND RECIEVABLES (NET) 4.6% 1,709,618
NET ASSETS 100.0% 37,504,276
(A) NON-INCOME PRODUCING.
(B) HELD BY THE CUSTODIAN IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF FINANCIAL FUTURES
October 31, 1999
Market Value Unrealized
Covered Appreciation
Contracts by Contracts ($) Expiration at 10/31/99 ($)
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG:
CAC 40 2 91,260 December '99 7,853
DAX 30 1 149,039 December '99 6,648
Financial Times 100 6 617,527 December '99 12,143
Nikkei 300 26 726,526 December '99 15,057
41,701
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
STATEMENT OF ASSETS AND LIABILITIES
October 31, 1999
Cost Value
- --------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of Investments 29,734,417 35,794,658
Cash 829,980
Cash denominated in foreign currencies 213,273 212,175
Receivable for investment securities sold 313,564
Receivable for shares of Common Stock subscribed 274,421
Dividends receivable 86,858
Receivable for futures variation margin--Note 4(a) 33,648
37,545,304
- --------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 10,816
Due to Distributor 7,725
Payable for shares of Common Stock redeemed 15,566
Payable for investment securities purchased 3,679
Net unrealized (depreciation) on forward currency
exchange contracts--Note 4(a) 3,242
41,028
- --------------------------------------------------------------------------------
NET ASSETS ($) 37,504,276
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 31,266,691
Accumulated undistributed investment income--net 397,746
Accumulated net realized gain (loss) on investments (256,833)
Accumulated net unrealized appreciation (depreciation)
on investments and foreign currency transactions
(including $41,701 net unrealized appreciation on
financial futures) 6,096,672
- --------------------------------------------------------------------------------
NET ASSETS ($) 37,504,276
- --------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 2,509,323
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 14.95
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF OPERATIONS
Year Ended October 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $70,698 foreign taxes withheld at source) 529,504
Interest 62,801
TOTAL INCOME 592,305
EXPENSES:
Management fee--Note 3(a) 110,665
Shareholder servicing costs--Note 3(b) 79,047
Loan commitment fees--Note 2 56
TOTAL EXPENSES 189,768
INVESTMENT INCOME--NET 402,537
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments and foreign currency
transactions (185,099)
Net realized gain (loss) on forward currency exchange contracts 15,917
Net realized gain (loss) on financial futures 222,653
NET REALIZED GAIN (LOSS) 53,471
Net unrealized appreciation (depreciation) on investments
and foreign currency transactions (including $24,717
net unrealized appreciation on financial futures) 5,855,033
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 5,908,504
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 6,311,041
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
--------------------------------
1999 1998
- --------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 402,537 203,555
Net realized gain (loss) on investments 53,471 (220,229)
Net unrealized appreciation (depreciation)
on investments 5,855,033 1,219,706
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 6,311,041 1,203,032
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
INVESTMENT INCOME--NET (187,311) (82,326)
- --------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 16,784,134 3,574,583
Net assets received in connection with
reorganization--Note 1 -- 12,979,451
Dividends reinvested 172,143 82,235
Cost of shares redeemed (10,462,407) (2,116,445)
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS 6,493,870 14,519,824
TOTAL INCREASE (DECREASE) IN NET ASSETS 12,617,600 15,640,530
- --------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 24,886,676 9,246,146
END OF PERIOD 37,504,276 24,886,676
Undistributed investment income--net 397,746 182,520
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 1,206,253 292,582
Shares issued in connection with reorganization
--Note 1 -- 1,087,174
Shares issued for dividends reinvested 13,031 7,483
Shares redeemed (740,920) (176,433)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 478,364 1,210,806
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
Year Ended October 31,
--------------------------------------
1999 1998 1997(a)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA ($):
Net asset value, beginning of period 12.25 11.27 12.50
Investment Operations:
Investment income--net .17(b) .12 .07
Net realized and unrealized gain (loss) on investments 2.62 .96 (1.30)
Total from Investment Operations 2.79 1.08 (1.23)
Distributions:
Dividends from investment income--net (.09) (.10) --
Net asset value, end of period 14.95 12.25 11.27
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (D) 22.87 9.68 (9.84)(c
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net assets .60 .60 .20(c)
Ratio of net investment income to average net assets 1.27 1.32 .32(c)
Portfolio Turnover Rate 9.01 22.62 .16(c)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ X 1,000) 37,504 24,887 9,246
(A) FROM JUNE 30, 1997 (COMMENCEMENT OF OPERATIONS) TO OCTOBER 31, 1997.
(B) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
(C) NOT ANNUALIZED.
(D) EXCLUSIVE OF REDEMPTION FEE.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
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, Australasia, Far East (Free) Index. The Dreyfus Corporation ("Dreyfus")
serves as the fund' s investment advisor. Dreyfus is a direct subsidiary of
Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Financial
Corporation. Premier Mutual Fund Services, Inc. (the "Distributor") is the
distributor of the fund's shares, which are sold to the public without a sales
charge.
On June 9, 1998, the Board of Directors of the fund approved an Agreement and
Plan of Reorganization providing for the transfer of all or substantially all of
the Dreyfus International Equity Allocation Fund's assets and liabilities to the
fund in a tax free exchange of Common Stock of the fund at net asset value and
the assumption of stated liabilities (the "Exchange"). The Exchange was approved
by the shareholders of Dreyfus International Equity Allocation Fund on June 9,
1998 and was consummated after the close of business on June 26, 1998 at which
time 1,315,173 shares valued at $10.56 per share, representing net assets of
$13,890,696 [including $911,245 net unrealized appreciation on investments] were
exchanged by Dreyfus International Equity Allocation Fund for the respective
numbers of shares of the fund.
As of October 31, 1999, MBC Investment Corp., an indirect subsidiary of Mellon
Financial Corporation, held 909,705 shares of the fund.
The fund' s financial statements are prepared in accordance with generally
accepted accounting principles which may require the use of
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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. 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. 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. 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) 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 on investments, is
recognized on the accrual basis.
(D) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date.
Dividends from investment income-net and dividends from net realized capital
gain 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.
(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.
The fund has an unused capital loss carryover of approximately $856,000
available for Federal income tax purposes, to be applied against future net
securities profits, if any, realized subsequent to October 31, 1999. A portion
of this loss which can be utilized in subsequent years is subject to an annual
limitation due to the fund's merger with Dreyfus International Equity Allocation
Fund. If not applied, $603,000 of the carryover expires in fiscal 2000, $27,000
expires in fiscal 2002, $58,000 expires in fiscal 2005 and $168,000 expires in
fiscal 2006.
NOTE 2--Bank Line of Credit:
The fund participates with other Dreyfus-managed funds in a $500 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 at rates based on prevailing
market rates in effect
The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
at the time of borrowings. During the period ended October 31, 1999, the fund
did not borrow under the Facility.
NOTE 3--Management Fee and Other Transactions With Affiliates:
(A) Pursuant to a management agreement (" Agreement" ) with Dreyfus, 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, Dreyfus has agreed to pay all the expenses of the fund, except
brokerage commissions, taxes, commitment fees, interest, Shareholder Services
Plan fees, fees and expenses of non-interested Directors (including counsel
fees) and extraordinary expenses. In addition, Dreyfus is required to reduce its
fee in an amount equal to the fund's allocable portion of fees and expenses of
the non-interested Directors (including counsel fees). Each Director receives an
annual fee of $2,500 and an attendance fee of $500 per meeting and is reimbursed
for travel and out-of-pocket expenses. The Chairman of the Board receives an
additional 25% of such compensation (with the exception of reimburseable
amounts). These fees pertain to the following funds: Dreyfus S&P 500 Index Fund,
Dreyfus International Stock Index Fund and Dreyfus Small Cap Stock Index Fund.
These fees and expenses are charged and allocated to each series based on net
assets. Amounts required to be paid by the Company directly to the
non-interested Directors, that would be applied to offset a portion of the
management fee payable to Dreyfus, are in fact paid directly by Dreyfus to the
non-interested Directors.
(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, 1999, the fund was charged $79,047 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:
(A) 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, 1999, amounted to
$8,269,085 and $2,681,457, respectively.
The following summarizes open forward currency exchange contracts at October 31,
1999:
<TABLE>
FOREIGN UNREALIZED
FORWARD CURRENCY CURRENCY APPRECIATION
EXCHANGE CONTRACTS AMOUNTS COST ($) VALUE ($) (DEPRECIATION) ($)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PURCHASES:
British pounds,
expiring 12/20/99 453,660 752,084 744,743 (7,341)
Euro Dollars,
expiring 12/20/99 167,953 181,326 177,192 (4,134)
Japanese Yen,
expiring 12/20/99 56,224,000 535,327 543,223 7,896
SALES: PROCEEDS ($)
British pounds,
expiring 11/3/99 22,062 36,325 36,202 123
Japanese Yen,
expiring 11/1/99 25,310,664 242,672 242,532 140
Swedish Krona,
expiring 11/1/99 165,068 20,111 20,037 74
TOTAL (3,242)
</TABLE>
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 The Fund
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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 custodian, 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, 1999, are
set forth in the Statement of Financial Futures.
(B) At October 31, 1999, accumulated net unrealized appreciation on investments,
forward currency exchange contracts and financial futures was $6,098,700,
consisting of $8,048,862 gross unrealized appreciation and $1,950,162 gross
unrealized depreciation.
At October 31, 1999, the cost of investments for Federal income tax purposes was
substantially the same as the cost for financial reporting purposes (see the
Statement of Investments).
The Fund
REPORT OF INDEPENDENT ACCOUNTANTS
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 the 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.), at October 31, 1999, 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 periods
presented, in conformity with generally accepted accounting principles. 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 generally accepted auditing standards, 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 at October
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 9, 1999
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, 1999:
(--the total amount of taxes paid to foreign countries was $70,698
(--the total amount of income sourced from foreign countries was $465,569
(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 1999 calendar year with Form 1099-DIV which will be mailed by January 31,
2000.
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.
P.O. Box 9671
Providence, RI 02940
Distributor
Premier Mutual Fund Services, Inc.
60 State Street
Boston, MA 02109
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 [email protected]
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
(c) 1999 Dreyfus Service Corporation 079AR9910
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
IN DREYFUS SMALL CAP STOCK INDEX FUND AND THE
STANDARD & POOR'S SMALL CAP 600 INDEX
EXHIBIT A:
DREYFUS
SMALL CAP STANDARD
PERIOD STOCK & POOR'S SMALL
INDEX FUND CAP 600 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 11,078
*Source: Lipper Analytical Services, Inc.
- --------------------------------------------------------------------------------
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
DREYFUS & POOR'S 500
PERIOD S&P 500 COMPOSITE STOCK
INDEX FUND PRICE INDEX *
1/2/90 10,000 10,000
10/31/90 8,688 8,855
10/31/91 11,542 11,814
10/31/92 12,684 12,990
10/31/93 14,521 14,927
10/31/94 14,976 15,502
10/31/95 18,823 19,596
10/31/96 23,229 24,315
10/31/97 30,538 32,120
10/31/98 37,054 39,191
10/31/99 46,320 49,248
*Source: Lipper Analytical Services, Inc.
- --------------------------------------------------------------------------------
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 (EAFE (R)) FREE INDEX
EXHIBIT A:
MORGAN
STANLEY
CAPITAL
INTERNATIONAL
EUROPE,
DREYFUS AUSTRALASIA,
INTERNATIONAL FAR EAST
PERIOD STOCK INDEX (EAFE(R))
FUND FREE 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 12,329
*Source: Morgan Stanley & Co. Incorporated
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