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Previous: MONEY MARKET OBLIGATIONS TRUST /NEW/, 497J, 2001-01-03 |
Next: DREYFUS S&P 500 INDEX FUND, N-30D, EX-99, 2001-01-03 |
Dreyfus
Small Cap
Stock Index Fund
ANNUAL REPORT October 31, 2000
(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
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, 1999 through October 31,
2000. 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.
The Russell 2000 Index, a broad measure of small-cap stock performance, rose
more than 17% over the 12-month reporting period. Investor enthusiasm over
technology stocks drove the market to new highs. Conversely, in the first nine
months of 2000, the small-cap investment environment was marked by dramatic
price fluctuations. Additionally, the moderating effects of the Federal Reserve
Board's (the "Fed") interest-rate hikes during the first half of 2000 helped the
Fed to achieve its goal of slowing the U.S. economy. Other factors such as
higher energy prices and a weak euro also served to slow economic growth
In our view, the stock market's recent weakness is a reminder that 20% annual
gains are not the norm, historically speaking. Since stocks provided returns
well above their historical averages during the second half of the 1990s, some
investors may have developed unrealistic expectations in equities. Recent
volatility has reminded investors of both the risks of investing and the
importance of fundamental research and investment selection.
For more information about the economy and financial markets, we encourage you
to visit the Market Commentary section of our website at www.dreyfus.com. Or, to
speak with a Dreyfus customer service representative, call us at 1-800-782-6620
Thank you for investing in Dreyfus Small Cap Stock Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 2000
2
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, 2000, Dreyfus Small Cap Stock Index
Fund produced a total return of 24.64%.(1) The Standard & Poor's Small Cap 600
Index (" S& P 600 Index"), the fund's benchmark, produced a 25.26% total return
for the same period.(2) The difference in returns was primarily due to
transaction costs and other fund operating expenses.
What is the fund's investment approach?
The fund seeks to match the total return of the S&P 600 Index. To reach that
goal, the fund generally invests in 575 to 590 of the stocks listed 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 S&P 600 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 -- 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.
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 S& P 600 Index. The fund does not attempt to manage market
volatility.
Small-cap stocks are often those of new and entrepreneurial companies, and tend
to grow faster than large-cap companies. They also typically
The Fund 3
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
use any profits for expansion rather than for paying dividends. Because 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?
From November 1, 1999, through mid-March 2000, technology stocks produced the
lion' s share of gains in the U.S. stock market -- particularly those
high-flying, volatile technology stocks of companies providing Internet-related
products and services. During this period of technology dominance, the growth
style of investing produced higher returns than the value style. In addition,
small-cap stocks produced higher returns than their large-cap counterparts, but
lower returns than midcap stocks.
However, beginning in mid-March and continuing through the end of October, a
shift in investor preference caused technology stocks to fall sharply,
effectively reversing earlier gains. This shift marked the end of an extended
period of investor preference for large-cap growth stocks across a broad range
of industry groups. From mid-March through the end of the period, midcap stocks
recorded the strongest gains of any capitalization range, followed by small- and
large-cap stocks, respectively. In addition, the value style of investing
returned to favor, benefiting industry groups such as health care, financial
services, utilities and consumer staples across all market capitalizations
The largest gains within the S&P 600 Index, and therefore within the fund, came
from the health care sector, which includes pharmaceutical and biotechnology
companies, hospital health care, generic health care drug companies, and managed
care health care firms. In addition, the S&P 600 Index's holdings of investment
management companies, computer network companies and semiconductor electronics
firms provided strong returns. Finally, textile home furnishings companies and
electrical equipment and data services firms did relatively well.
Conversely, the lowest returns of the S&P 600 Index, and therefore of the fund,
were generated by computer services companies and pho-
4
tography and imaging companies within the technology sector. In addition,
aluminum, iron and steel companies and specialty textiles and housewares
companies posted disappointing returns. Long-distance telecommunications
companies and retail department and discount stores also lagged.
What is the fund's current strategy?
The fund is an index fund, and its goal is to replicate the returns of the S&P
600 Index. Accordingly, we intend to maintain our strategy of investing in the
majority of the stocks that comprise the S&P 600 Index, in proportion to their
weightings in the Index.
As of the end of the reporting period, approximately 23% of the Index and the
fund' s assets were invested in technology stocks, followed by 17% in producer
goods, 14% in consumer cyclical, 13% in interest sensitive, 13% in health care,
8% in services and 7% in the energy area.
November 15, 2000
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
(2) SOURCE: LIPPER INC. -- REFLECTS THE REINVESTMENT OF DIVIDENDS AND, WHERE
APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE STANDARD & POOR'S SMALLCAP 600
INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED, UNMANAGED INDEX OF
OVERALL SMALL-CAP STOCK MARKET PERFORMANCE.
The Fund 5
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
--------------------------------------------------------------------------------
Average Annual Total Returns AS OF 10/31/00
<TABLE>
<CAPTION>
Inception From
Date 1 Year Inception
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FUND 6/30/97 24.64% 9.98%
</TABLE>
((+)) SOURCE: LIPPER INC.
THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS SMALL CAP STOCK
INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE
STANDARD & POOR'S SMALL CAP 600 INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL
GAIN DISTRIBUTIONS ARE REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE STANDARD & POOR'S SMALL CAP 600 INDEX IS A BROAD-BASED
INDEX OF 600 COMPANIES WITH MARKET CAPITALIZATION GENERALLY RANGING FROM THE
50TH PERCENTILE TO THE 83RD PERCENTILE OF THE STOCK UNIVERSE. THE FUND HOLDS
STOCKS GENERALLY IN THE SAME PROPORTION AS EACH STOCK WITHIN THE INDEX ITSELF.
THEREFORE, THE FUND'S PERFORMANCE SHOULD CLOSELY MATCH THAT OF THE INDEX. THE
INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF SMALL-CAP STOCK MARKET
PERFORMANCE, WHICH DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES.
FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
<TABLE>
<CAPTION>
STATEMENT OF INVESTMENTS
October 31, 2000
COMMON STOCKS--99.6% Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BEVERAGES & TOBACCO--.3%
Constellation Brands 18,055 (a) 143,812
DIMON 6,600 20,213
164,025
CONSUMER CYCLICAL--14.1%
Action Performance Cos. 2,200 (a) 5,225
Ames Department Stores 4,600 (a) 18,112
Anchor Gaming 1,800 (a) 152,887
Angelica 1,500 13,312
AnnTaylor Stores 4,600 (a) 138,000
Apogee Enterprises 4,300 22,575
Applebee's International 4,300 129,873
Applica 3,500 17,719
Arctic Cat 3,800 48,687
Ashworth 2,200 (a) 16,225
Atlantic Coast Airlines Holdings 3,400 (a) 121,550
Aztar 6,400 (a) 96,800
Baker (J.) 1,800 7,031
Bassett Furniture 1,900 23,987
Bombay 5,400 13,500
Brown Shoe 2,900 28,456
Burlington Coat Factory Warehouse 7,000 110,250
CEC Entertainment 4,350 138,656
CPI 1,300 26,244
Casey's General Stores 7,900 98,750
Cato 3,900 46,800
Cheesecake Factory 4,925 (a) 218,239
Chico's FAS 2,900 (a) 93,887
Coachmen Industries 2,500 20,937
Cone Mills 4,100 (a) 17,169
Consolidated Products 4,478 33,865
Cost Plus 3,300 (a) 92,400
Cross (A.T.), Cl. A 2,700 12,994
Damark International, Cl. A 900 (a) 11,475
Department 56 2,300 (a) 32,631
Discount Auto Parts 2,500 (a) 17,969
Dixie Group 1,500 4,781
The Fund 7
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Dress Barn 2,900 (a) 72,681
Enesco Group 2,000 13,500
Ethan Allen Interiors 6,300 184,275
Factory 2-U Stores 2,000 (a) 63,875
Fedders 5,500 23,375
Fleetwood Enterprises 5,200 68,575
Footstar 3,100 (a) 111,212
Fossil 5,200 (a) 67,925
Gentex 11,900 (a) 294,525
Goody's Family Clothing 4,600 16,531
Gottschalks 1,700 (a) 8,287
Great Atlantic & Pacific 6,200 62,000
Group 1 Automotive 3,300 (a) 32,794
Gymboree 3,800 (a) 33,962
Haggar 1,100 14,300
Hancock Fabrics 2,900 12,688
Harman International 5,500 264,000
Hartmarx 4,700 12,338
Huffy 1,500 15,000
IHOP 3,100 (a) 65,488
Insight Enterprises 6,700 (a) 217,750
Interface, Cl. A 8,200 74,825
JAKKS Pacific 3,000 (a) 26,438
Jack in the Box 6,200 (a) 151,900
Jo-Ann Stores, Cl. A 2,700 17,550
K-Swiss 1,600 44,000
K2 3,000 28,500
Kellwood 3,700 71,919
La-Z Boy 9,600 151,200
Landry's Seafood Restaurants 3,700 29,831
Lillian Vernon 1,300 12,025
Linens'n Things 6,400 (a) 196,800
Luby's 3,400 19,975
Marcus 4,600 65,263
Masco Tech 7,200 120,150
Men's Wearhouse 6,600 (a) 193,050
Mesa Air Group 5,200 (a) 30,550
8
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Michaels Stores 5,800 (a) 141,013
Midwest Express Holdings 2,300 (a) 43,700
Monaco Coach 2,900 (a) 49,481
Morrison Management Specialists 2,000 67,000
99 (CENTS) Only Stores 5,400 (a) 121,163
National Presto Industries 1,100 33,413
Nautica Enterprises 4,900 (a) 61,863
O'Reilly Automotive 8,200 (a) 147,600
OshKosh B'Gosh 1,900 30,400
Oshkosh Truck 2,700 111,038
Oxford Industries 1,300 22,750
Pacific Sunwear of California 5,150 (a) 105,575
Panera Bread 2,000 (a) 41,250
Pep Boys-Manny, Moe & Jack 8,500 38,250
Phillips-Van Heusen 4,300 51,063
Pier 1 Imports 15,525 205,706
Pinnacle Entertainment 4,200 (a) 95,813
Polaris Industries 3,900 135,525
Prime Hospitality 7,200 68,400
Quicksilver 3,600 (a) 68,850
Royal Appliance Manufacturing 2,400 (a) 13,800
Ruby Tuesday 9,900 134,269
Russ Berrie & Co. 3,300 74,869
Ryan's Family Steak House 5,000 (a) 41,875
SCP Pool 2,850 73,744
Salton 1,800 (a) 41,175
School Specialty 2,800 (a) 43,050
ShopKo Stores 4,600 29,325
Simpson Industries 2,900 34,256
SkyWest 4,400 222,200
Sonic 2,850 (a) 104,025
Spartan Motors 1,900 4,750
Stein Mart 6,800 (a) 105,400
Stride Rite 6,800 36,550
Sturm Ruger 4,200 35,438
TBC 3,400 (a) 16,575
Taco Cabana 2,000 (a) 16,812
The Fund 9
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Thor Industries 2,000 40,000
Timberland, Cl. A 6,500 335,562
Tower Automotive 7,600 (a) 83,600
Wabash National 3,600 28,800
Whole Foods Market 4,200 (a) 194,250
Winnebago Industries 3,300 37,950
Wolverine World Wide 6,700 72,444
Zale 5,800 (a) 196,475
8,377,090
CONSUMER STAPLES--2.9%
Agribrands International 1,600 (a) 69,600
American Italian Pasta, Cl. A 2,900 (a) 58,181
Chiquita Brands International 10,000 19,375
Coca-Cola Bottling Consolidated 1,400 50,400
Corn Products International 5,600 140,700
Delta and Pine Land 6,133 149,875
Earthgrains 6,800 137,700
Fleming Cos 6,300 89,381
Hain Celestial Group 4,700 (a) 186,531
International Multifoods 2,900 49,119
J & J Snack Foods 1,300 (a) 17,469
Libbey 2,500 68,125
Michael Foods 2,900 78,119
Nash Finch 1,900 23,513
Nature's Sunshine Products 2,500 17,656
Performance Food Group 2,300 (a) 93,150
Ralcorp Holdings 4,800 (a) 67,500
Smithfield Foods 9,100 (a) 261,056
Triarc Cos., Cl. A 3,500 87,281
United Natural Foods 2,900 (a) 36,431
W D-40 2,500 54,688
1,755,850
ENERGY--7.1%
American States Water 1,400 43,663
Atmos Energy 5,100 117,938
Atwood Oceanics 2,200 (a) 73,838
10
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
Barrett Resources 5,300 (a) 192,788
Cabot Oil & Gas, Cl. A 4,500 88,313
Cal Dive International 2,500 124,375
Cascade Natural Gas 1,700 31,344
Cross Timbers Oil 11,150 209,759
Dril-Quip 2,800 (a) 92,400
Energen 4,800 137,400
Friede Goldman International 7,610 43,757
HS Resources 2,900 (a) 90,262
Laclede Gas 3,000 65,625
Louis Dreyfus Natural Gas 6,900 (a) 221,231
New Jersey Resources 2,800 111,825
Newfield Exploration 6,800 (a) 256,700
NUI 2,100 65,494
Northwest Natural Gas 4,000 93,750
NorthWestern 3,700 81,863
Nuevo Energy 2,800 (a) 50,750
Oceaneering International 3,800 (a) 53,438
Patina Oil & Gas 2,600 45,662
Philadelphia Suburban 6,545 153,398
Piedmont Natural Gas 5,100 155,550
Plains Resources 2,900 (a) 55,462
Pogo Producing 6,500 162,500
Pride International 10,500 (a) 265,781
Remington Oil & Gas 3,500 (a) 32,156
Seitel 3,800 57,000
Southern Union 7,843 147,546
Southwest Gas 5,000 104,375
Southwestern Energy 3,800 30,400
St. Mary Land Exploration 3,600 84,375
Stone Energy 3,000 (a) 153,600
Swift Energy 3,600 (a) 117,000
UGI 4,400 102,025
Veritas DGC 4,500 (a) 135,000
Vintage Petroleum 10,100 213,362
4,261,705
The Fund 11
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--12.9%
ADAC Laboratories 3,300 42,900
Advance Paradigm 4,000 (a) 195,500
Advanced Tissue Sciences 9,300 (a) 66,263
Alliance Pharmaceutical 7,600 (a) 107,350
Alpharma, Cl. A 6,450 250,341
Analogic 2,100 74,156
Barr Laboratories 5,600 (a) 353,500
Bindley Western Industries 5,600 201,250
Bio-Technology General 8,700 (a) 91,350
Biomatrix 3,700 (a) 70,763
CONMED 2,500 (a) 36,719
COR Therapeutics 8,700 (a) 491,550
Cephalon 6,600 (a) 353,925
Cooper Cos. 2,400 85,800
Coventry Health Care 9,500 (a) 173,375
Curative Health Services 1,200 (a) 6,600
Cygnus 4,000 (a) 35,750
Datascope 2,400 83,100
Diagnostic Products 2,200 100,375
Dura Pharmaceuticals 7,100 (a) 244,506
Enzo Biochem 4,055 (a) 156,117
Hanger Orthopedic Group 3,000 (a) 9,750
Hologic 2,300 (a) 15,238
Hooper Holmes 10,700 101,543
IDEXX Laboratories 5,600 (a) 134,400
Immune Response 4,200 (a) 25,462
Invacare 4,800 136,800
Laser Vision Centers 3,800 (a) 15,437
Medicis Pharmaceutical, Cl. A 4,800 (a) 353,400
Mentor 3,800 66,975
Mid Atlantic Medical Services 7,600 (a) 129,200
NBTY 10,900 (a) 70,850
Noven Pharmaceuticals 3,500 (a) 155,969
Organogenesis 5,500 (a) 68,970
Orthodontic Centers of America 7,800 (a) 260,325
Osteotech 2,200 (a) 12,100
Owens & Minor 5,300 80,162
12
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Patterson Dental 10,900 (a) 341,306
Pediatrix Medical Group 2,600 (a) 41,438
PolyMedica 2,100 (a) 120,750
Priority Healthcare, Cl. B 3,609 (a) 193,984
Province Healthcare 4,900 (a) 206,412
Regeneron Pharmaceuticals 5,900 (a) 157,825
Renal Care Group 7,400 (a) 173,900
ResMed 4,900 (a) 124,950
Respironics 4,600 (a) 90,275
Scott Technologies 2,600 59,800
Sierra Health Services 4,200 (a) 22,838
Sola International 3,500 (a) 15,094
Spacelabs Medical 1,500 (a) 15,938
Sunrise Medical 3,500 (a) 32,594
Syncor International 3,900 (a) 100,181
Techne 3,250 (a) 366,437
Theragenics 4,500 (a) 21,094
Universal Health Services, Cl. B 4,900 410,987
Varian Medical Systems 5,100 249,262
Vital Signs 2,000 62,250
7,665,086
INTEREST SENSITIVE--13.2%
AmeriCredit 12,300 (a) 330,562
Anchor Bancorp Wisconsin 3,700 57,119
Cash America International 3,900 20,231
Centura Banks 6,450 247,922
Chittenden 4,300 114,219
ChoicePoint 6,522 (a) 333,845
Commerce Bancorp 5,114 309,717
Commercial Federal 9,100 159,250
Community First Bankshares 7,100 110,050
Cullen/Frost Bankers 8,500 283,156
Dain Rauscher 2,100 197,006
Delphi Financial Group, Cl. A 3,253 (a) 120,361
Downey Financial 4,580 218,695
E.W. Blanch Holdings 2,100 39,638
Eaton Vance 5,800 288,912
The Fund 13
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Enhance Financial Services Group 6,000 69,750
Fidelity National Financial 10,809 265,496
First American Financial 10,200 213,562
First Bancorp 4,300 98,631
First Midwest Bancorp 6,600 165,412
Fremont General 11,200 40,600
GBC Bancorp 1,800 57,375
Gallagher (Arthur J.) 6,200 391,375
Hilb, Rogal & Hamilton 2,100 83,213
Hudson United Bancorp 7,800 174,525
Imperial Bancorp 7,100 172,619
Investors Financial Services 4,900 351,269
Jefferies Group 4,000 109,000
MAF Bancorp 3,700 88,800
Morgan Keegan 4,500 89,719
Mutual Risk Management 6,600 119,625
National Discount Brokers Group 3,400 (a) 165,537
Provident Bankshares 4,290 81,242
Queens County Bancorp 3,350 93,800
RLI 1,600 62,600
Radian Group 6,200 439,425
Raymond James Financial 7,400 250,213
Riggs National 4,400 49,500
SCPIE Holdings 1,500 28,500
Selective Insurance Group 4,100 70,725
South Financial Group 6,900 70,294
Southwest Bancorp of Texas 4,600 (a) 167,900
Southwest Securities Group 2,510 70,908
Staten Island Bancorp 5,700 110,081
Susquehanna Bancshares 6,200 87,575
Trenwick Group 5,100 100,087
Trustco Bank 9,821 117,852
Tucker Anthony Sutro 3,700 85,563
United Bankshares 6,700 130,650
Washington Federal 8,400 187,425
Whitney Holding 3,600 132,975
14
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Zenith National Insurance 2,800 63,700
7,888,206
INTERNET--.3%
Books-A-Million 2,300 (a) 5,750
ePresence 3,600 (a) 25,425
Verity 5,300 (a) 124,550
155,725
PRODUCER GOODS--16.6%
AAR 4,250 50,734
APW 6,365 293,983
Alliant Techsystems 1,500 (a) 134,906
Amcast Industrial 1,300 13,000
American Freightways 5,300 (a) 85,463
Applied Industrial Technology 3,400 57,588
AptarGroup 5,700 117,919
Arch Chemicals 3,500 68,031
Arkansas Best 3,200 51,200
Astec Industries 3,000 (a) 30,938
BE Aerospace 3,900 (a) 64,350
Baldor Electric 5,433 107,981
Barnes Group 2,900 55,825
Belden 3,900 101,156
Birmingham Steel 4,000 9,750
Brady, Cl. A 3,600 111,600
Brush Wellman 2,600 53,138
Buckeye Technologies 5,600 (a) 95,900
Building Materials Holding 1,900 (a) 16,625
Butler Manufacturing 1,000 24,625
C&D Technologies 4,200 248,325
CLARCOR 3,850 73,631
CUNO 2,700 (a) 68,513
Cable Design Technologies 6,925 (a) 159,708
Cambrex 4,000 159,750
Caraustar Industries 4,100 41,256
Castle (A.M.) 2,100 20,738
Champion Enterprises 7,000 (a) 27,125
The Fund 15
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
ChemFirst 2,500 57,500
Chesapeake 2,500 49,063
Cleveland-Cliffs 1,700 35,063
Commercial Metals 2,300 62,675
Commonweath Industries 2,300 13,369
D. R. Horton 10,900 201,650
Deltic Timber 1,900 36,931
Dycom Industries 6,850 (a) 257,731
Elcor 3,100 48,244
Expeditors International of Washington 8,300 430,562
Florida Rock Industries 3,000 116,625
Flow International 2,300 (a) 28,750
Forward Air 3,400 (a) 139,825
Foster Wheeler 6,400 47,200
Fritz Cos. 5,900 (a) 47,938
Frozen Food Express Industries 2,000 4,375
Gardner Denver Machinery 2,400 (a) 44,100
GenCorp 6,600 55,275
Georgia Gulf 5,100 68,213
Graco 3,200 115,000
Heartland Express 4,100 (a) 71,238
Helix Technology 3,700 103,137
Hughes Supply 3,700 69,375
IDEX 4,800 154,800
IMCO Recycling 2,400 13,350
Insituform Technologies, Cl. A 4,000 (a) 142,750
Insteel Industries 900 3,094
Intermet 3,900 29,250
Ionics 2,600 (a) 54,437
JLG Industries 7,000 97,562
Kaman, Cl. A 3,600 52,200
Kirby 3,900 71,906
Landstar Systems 1,400 (a) 66,150
Lawson Products 1,600 43,400
Lennox International 8,800 69,850
Lilly Industries, Cl. A 3,700 111,000
16
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Lindsay Manufacturing 1,900 39,900
Lydall 2,400 25,350
M.D.C. Holdings 3,400 93,075
M.S. Carriers 1,800 (a) 28,125
MacDermid 5,000 107,500
Manitowoc 3,975 108,070
Material Sciences 2,400 (a) 24,300
Milacron 5,500 87,656
Mississippi Chemical 3,600 16,200
Mueller Industries 5,500 (a) 128,219
Myers Industries 3,396 44,997
NVR 1,400 144,760
Nashua 800 4,650
OM Group 3,800 175,750
Offshore Logistics 3,300 56,925
Omnova Solutions 6,300 35,437
Orbital Sciences 6,000 (a) 47,625
Penford 1,200 15,300
Polyone 15,500 122,062
Pope & Talbot 2,200 34,237
Quaker Chemical 1,400 24,063
Quanex 2,100 41,606
RTI International Metals 3,300 47,850
Regal Beloit 3,300 55,275
Reliance Steel & Aluminum 4,500 106,875
Republic Group 2,000 37,625
Roadway Express 3,100 63,744
Robbins & Myers 1,800 43,538
Ryland Group 2,200 70,950
SLI 5,500 45,375
SPS Technologies 2,000 (a) 103,250
Schweitzer-Mauduit International 2,400 38,850
Scotts, Cl. A 4,500 (a) 160,875
Seacor Smit 2,750 (a) 115,156
Shaw Group 3,100 (a) 252,650
Simpson Manufacturing 1,900 (a) 80,987
The Fund 17
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Skyline 1,500 32,531
Smith (A.O.) 3,650 51,556
Specialty Equipment Cos. 3,200 (a) 97,000
Speedfam International 4,800 (a) 45,600
Standard Motor Products 2,000 16,750
Standard Pacific 4,700 88,125
Steel Dynamics 7,500 (a) 90,000
Steel Technologies 1,500 8,250
Stillwater Mining 6,200 (a) 179,800
TETRA Technologies 2,200 (a) 31,763
Texas Industries 3,400 79,262
Thomas Industries 2,450 51,450
Titan International 3,500 15,969
Toll Brothers 5,900 (a) 191,750
Toro 2,000 70,000
Tredegar 6,100 116,281
United Stationers 5,600 168,350
Universal Forest Products 3,100 41,850
USFreightways 4,200 108,150
Valmont Industries 3,600 73,350
Washington Group 8,300 (a) 87,150
Watsco 4,200 39,564
Watts Industries, Cl. A 4,100 45,869
Werner Enterprises 7,550 105,700
Wolverine Tube 2,000 (a) 27,250
Yellow 4,100 73,800
9,923,273
SERVICES--8.4%
ADVO 3,300 121,481
ABM Industries 3,600 100,575
Aaron Rents 3,100 51,925
Adaptive Broadband 6,150 (a) 98,784
Administaff 4,400 (a) 156,200
American Management Systems 6,650 (a) 143,806
Analysts International 3,400 21,250
Audiovox, Cl. A 3,500 (a) 47,906
BARRA 2,200 (a) 134,475
18
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
Billing Concepts 6,800 (a) 20,400
Bowne & Co. 5,200 43,550
CDI 3,000 (a) 47,625
Catalina Marketing 9,000 (a) 353,250
Central Parking 5,710 109,561
Chemed 1,600 52,600
Ciber 9,300 (a) 72,656
Computer Task Group 2,800 14,700
Consolidated Graphics 2,100 (a) 22,575
Copart 8,700 (a) 131,044
Edgewater Technology 4,400 (a) 21,588
eLoyalty 7,750 (a) 74,594
4KIDS Entertainment 1,800 (a) 25,987
F.Y.I. 2,500 (a) 100,312
FactSet Research Systems 5,200 196,924
Fair Issac & Co 2,300 94,300
Franklin Covey 3,100 (a) 24,800
G & K Services, Cl. A 3,300 91,163
HA-LO Industries 9,950 (a) 38,556
Hall Kinion 2,100 (a) 55,519
Harland (John H.) 4,700 65,213
Heidrick & Truggles International 3,100 (a) 191,619
Information Resources 4,700 (a) 24,969
Insurance Auto Auction 1,800 (a) 21,600
Kroll-O'Gara 3,300 (a) 19,388
Labor Ready 6,350 (a) 19,050
MAXIMUS 3,400 (a) 83,513
MemberWorks 2,600 (a) 89,375
Midas 2,500 34,688
National Data 5,300 202,062
New England Business Service 2,100 36,488
On Assignment 3,700 (a) 93,194
PAC-WEST Telecom 5,600 (a) 48,650
PAREXEL Intl 4,100 (a) 35,875
Paxar 6,825 (a) 55,880
Pegasus Systems 3,800 (a) 64,837
Penton Media 5,100 155,869
The Fund 19
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
SERVICES (CONTINUED)
Pharmaceutical Product Development 4,000 (a) 125,250
Pre-Paid Legal Services 3,700 (a) 162,337
Profit Recovery Group International 7,750 (a) 41,656
QRS 2,400 (a) 20,250
Regis 6,400 96,800
Rollins Truck Leasing 9,250 48,562
Spherion 10,400 (a) 123,500
Standard Register 4,400 52,800
Standex International 2,100 38,456
StarTek 2,300 (a) 58,506
Teledyne Technologies 5,000 (a) 125,312
Tetra Tech 6,325 (a) 219,794
Thomas Nelson 2,100 14,044
URS 2,500 32,031
US Oncology 14,800 (a) 79,550
Volt Information Sciences 2,400 (a) 52,200
5,001,424
TECHNOLOGY--22.6%
AVT 4,700 (a) 29,522
AXTI 3,400 (a) 130,900
Actel 3,800 (a) 139,175
Aeroflex 4,750 (a) 282,625
Allen Telecom 4,500 84,094
Alliance Semiconductor 6,600 (a) 132,000
Alpha Industries 6,900 275,137
Anixter International 6,100 (a) 147,925
Artesyn Technologies 6,100 (a) 247,812
Aspect Communications 8,300 (a) 136,820
Aspen Technology 4,200 (a) 173,512
Auspex Systems 4,800 (a) 48,600
Avant 6,200 (a) 104,237
Avid Technology 4,000 (a) 55,500
Aware 3,600 (a) 111,375
BISYS Group 9,000 (a) 424,125
BMC Industries 4,300 25,531
Benchmark Electronics 3,100 (a) 124,775
Black Box 3,000 (a) 197,625
20
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Brightpoint 8,600 (a) 57,244
Brooktrout Technology 1,900 (a) 27,431
C-COR.net 5,300 (a) 82,812
C-Cube Microsystems 7,900 (a) 154,050
CACI International 1,800 (a) 37,125
CTS 4,500 193,219
Cerner 5,500 (a) 340,656
Checkpoint Systems 4,700 37,306
Cognex 7,000 (a) 234,500
Coherent 4,300 (a) 149,694
Cohu 3,100 49,019
Concord 2,500 (a) 19,375
DMC Stratex Networks 11,800 (a) 272,875
Dallas Semiconductor 9,800 388,325
Davox 2,000 (a) 19,500
Dendrite International 6,400 (a) 139,200
Digi International 2,400 (a) 17,400
Dionex 3,550 (a) 115,153
ESS Technology 6,900 (a) 106,950
Electro Scientific Industries 4,300 (a) 150,231
Electroglas 3,300 (a) 46,406
Epicor Software 6,200 (a) 12,206
Esterline Technologies 2,800 62,475
FileNet 5,500 (a) 145,750
General Semiconductor 6,100 69,769
Gerber Scientific 3,300 26,400
Great Plains Software 3,200 (a) 124,600
Griffon 5,000 (a) 38,125
HNC Software 5,200 (a) 105,625
Henry (Jack) & Association 6,600 363,000
Hutchinson Technology 4,000 (a) 87,750
Hyperion Solutions 5,075 (a) 71,050
Innovex 2,400 33,600
Input/Output 8,100 (a) 68,344
Inter-Tel 4,100 47,406
Intermagnetics General 2,160 (a) 55,350
InterVoice 5,300 (a) 51,841
The Fund 21
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Itron 2,400 (a) 14,100
KEMET 14,100 (a) 393,037
Kent Electronics 4,600 (a) 85,675
Kronos 2,000 (a) 72,875
Kulicke & Soffa Industries 7,800 114,562
MICROS Systems 2,800 (a) 55,300
Meade Instruments 2,600 (a) 47,612
Mercury Computer Systems 3,400 (a) 105,400
Methode Electronics, Cl. A 5,700 214,463
Midway Games 5,917 (a) 45,857
NYFIX 4,000 (a) 158,000
National Instruments 8,200 (a) 382,838
Network Equipment Technologies 3,500 (a) 33,250
P-COM 12,400 (a) 69,750
Park Electrochemical 1,700 112,306
Pericom Semiconductor 4,000 (a) 106,000
Phoenix Technologies 4,100 (a) 65,856
Photon Dynamics 1,900 (a) 68,400
Photronics 4,700 (a) 106,044
Pinnacle Systems 8,050 (a) 101,631
Pioneer Standard Electronics 4,300 59,663
Plantronics 7,950 (a) 362,719
Plexus 6,500 (a) 409,906
Progress Software 5,600 (a) 88,550
Project Software & Developmt 3,600 (a) 46,800
Proxim 4,100 (a) 248,563
RSA Security 6,500 (a) 377,000
Radisys 2,700 (a) 71,550
Read-Rite 9,600 (a) 71,400
Remedy 5,100 (a) 87,338
Robotic Vision Systems 5,400 (a) 29,531
Roper Industries 4,900 171,500
SPSS 1,600 (a) 36,000
S3 14,800 (a) 133,663
Saga Systems 4,400 (a) 23,650
Silicon Valley Group 5,500 (a) 181,156
22
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Standard Microsystems 2,500 (a) 60,000
Symmetricom 3,750 (a) 47,813
Systems & Computer Technology 5,400 (a) 77,963
THQ 3,100 (a) 63,550
Technitrol 2,600 288,275
Telcom Semiconductor 2,800 (a) 39,375
Telxon 2,800 62,825
Three-Five Systems 3,449 (a) 118,991
Trimble Navigation 3,800 (a) 90,250
Ultratech Stepper 3,400 (a) 79,900
Valence Technology 6,100 (a) 85,019
ViaSat 3,500 (a) 77,000
Vicor 6,900 (a) 372,600
Visual Networks 4,800 (a) 17,700
X-Rite 3,300 22,275
Xircom 4,700 (a) 66,388
Zebra Technologies, Cl. A 4,900 (a) 214,681
ZixIt 2,700 65,981
13,475,583
UTILITIES--1.2%
Avista 7,600 170,525
CH Energy Group 2,700 106,312
General Communication, Cl. A 8,400 (a) 65,625
Green Mountain Power 900 6,975
RGS Energy Group 5,600 165,200
TALK.com 12,010 (a) 37,156
UIL Holdings 2,300 107,669
UniSource Energy 5,100 76,181
735,643
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $56,206,712) 99.6% 59,403,610
CASH AND RECEIVABLES (NET) .4% 224,573
NET ASSETS 100.0% 59,628,183
(A) NON-INCOME PRODUCING.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund 23
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2000
Cost Value
--------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of Investments 56,206,712 59,403,610
Cash 439,306
Receivable for investment securities sold 1,752,260
Receivable for shares of Common Stock subscribed 32,079
Dividends receivable 18,143
61,645,398
--------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 23,814
Payable for investment securities purchased 1,987,821
Payable for shares of Common Stock redeemed 5,580
2,017,215
--------------------------------------------------------------------------------
NET ASSETS ($) 59,628,183
--------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 51,147,294
Accumulated undistributed investment income--net 65,617
Accumulated net realized gain (loss) on investments 5,218,374
Accumulated net unrealized appreciation (depreciation)
on investments--Note 4(b) 3,196,898
--------------------------------------------------------------------------------
NET ASSETS ($) 59,628,183
--------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 3,848,491
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 15.49
SEE NOTES TO FINANCIAL STATEMENTS.
24
STATEMENT OF OPERATIONS
Year Ended October 31, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $156 foreign taxes withheld at source) 340,444
Interest 16,617
TOTAL INCOME 357,061
EXPENSES:
Management fee--Note 3(a) 124,157
Shareholder servicing costs--Note 3(b) 124,157
Loan commitment fees--Note 2 2,856
Interest expense--Note 2 415
TOTAL EXPENSES 251,585
INVESTMENT INCOME--NET 105,476
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments 5,633,130
Net realized gain (loss) on financial futures 3,212
NET REALIZED GAIN (LOSS) 5,636,342
Net unrealized appreciation (depreciation) on investments 4,077,424
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 9,713,766
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 9,819,242
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund 25
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
---------------------------------
2000 1999
-------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 105,476 105,449
Net realized gain (loss) on investments 5,636,342 1,329,759
Net unrealized appreciation (depreciation)
on investments 4,077,424 1,577,846
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 9,819,242 3,013,054
-------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (115,972) (99,909)
Net realized gain on investments (1,719,282) (1,092,480)
TOTAL DIVIDENDS (1,835,254) (1,192,389)
-------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 29,554,243 25,094,691
Dividends reinvested 1,783,974 1,159,446
Cost of shares redeemed (15,684,621) (16,408,852)
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS 15,653,596 9,845,285
TOTAL INCREASE (DECREASE) IN NET ASSETS 23,637,584 11,665,950
--------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 35,990,599 24,324,649
END OF PERIOD 59,628,183 35,990,599
Undistributed investment income--net 65,617 76,113
--------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 2,033,800 1,950,950
Shares issued for dividends reinvested 136,599 92,830
Shares redeemed (1,084,404) (1,282,134)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 1,085,995 761,646
SEE NOTES TO FINANCIAL STATEMENTS.
26
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>
<CAPTION>
Year Ended October 31,
------------------------------------------------------------
2000 1999 1998 1997(a)
------------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
<S> <C> <C> <C> <C>
Net asset value, beginning of period 13.03 12.16 13.90 12.50
Investment Operations:
Investment income--net .03(b) .04(b) .04 .02
Net realized and unrealized
gain (loss) on investments 3.06 1.38 (1.60) 1.38
Total from Investment Operations 3.09 1.42 (1.56) 1.40
Distributions:
Dividends from investment income--net (.04) (.05) (.02) --
Dividends from net realized gain
on investments (.59) (.50) (.16) --
Total Distributions (.63) (.55) (.18) --
Net asset value, end of period 15.49 13.03 12.16 13.90
------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 24.64 11.86 (11.38) 11.20(c)
------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of operating expenses to
average net assets .50 .50 .50 .17(c)
Ratio of interest expense and
loan commitment fees
to average net assets .01 .01 -- --
Ratio of net investment income
to average net assets .21 .34 .35 .13(c)
Portfolio Turnover Rate 36.89 41.97 25.14 10.59(c)
------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ x 1,000) 59,628 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) NOT ANNUALIZED.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund 27
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. Effective March 22, 2000, Dreyfus Service
Corporation (" DSC" ), a wholly-owned subsidiary of the Manager, became the
distributor of the fund's shares, which are sold to the public without a sales
charge. Prior to March 22, 2000, Premier Mutual Fund Services, Inc. was the
distributor.
The fund' s financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
As of October 31, 2000, MBC Investment Corp., an indirect subsidiary of Mellon
Financial Corporation, held 1,171,364 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
28
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, 2000 was approximately $6,200 with a related weighted
average annualized interest rate of 6.74%.
NOTE 3--Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a Investment 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
The Fund 29
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
monthly. Under the terms of the Agreement, Dreyfus has agreed to pay all the
expenses of the fund, except management fees, brokerage commissions, taxes,
interest, commitment fees, Shareholder Services Plan fees, fees and expenses of
non-interested Board members (including counsel fees) and extraordinary
expenses. In addition, 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 Board
members (including counsel fees) . Each Board member also serves as a Board
member of other funds within the Dreyfus complex (collectively, the "Fund
Group" ). Effective April 25, 2000, each Board member receives an annual fee of
$25,000 and an attendance fee of $4,000 for each meeting attended and $500 for
telephone meetings. These fees are allocated among the funds in the Fund Group.
The chairman of the Board receives an additional 25% of such compensation (with
the exception of reimburseable amounts). Prior to April 25, 2000, each Board
member who was not an "affiliated person" as defined in the Act received from
the fund an annual fee of $2,500 and an attendance fee of $500 per meeting. The
Chairman of the Board received an additional 25% of such compensation (with the
exception of reimburseable amounts) . Subject to the fund's Emeritus Program
Guidelines, Emeritus Board Members, if any, receive 50% of the fund's annual
retainer fee and per meeting fee paid at the time the Board member achieves
emeritus status. Amounts required to be paid by the Company directly to the
non-interested Board members, that were applied to offset a portion of the
management fee payable to Dreyfus, were in fact paid directly by Dreyfus to the
non-interested Board members.
(b) Under the Shareholder Services Plan, the fund pays the distributor for the
provision of certain services at the annual rate of .25 of 1% of the value of
the fund's average daily net assets. The services provided may include personal
services relating to shareholder accounts, such as answering shareholder
inquiries regarding the fund and providing reports and other information, and
services related to the maintenance of shareholder accounts. The distributor may
make payments to Service Agents (a securities dealer, bank or other financial
institution) in respect of these services. The distributor determines the
amounts to
30
be paid to Service Agents. During the period ended October 31, 2000, the fund
was charged an aggregate of $124,157 pursuant to the Shareholder Services Plan,
of which $81,814 was paid to DSC.
(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, 2000, redemption fees charged and retained by the fund amounted to
$7,059.
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, 2000, amounted to $32,011,100 and $18,235,475, 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, 2000, there were no financial
futures contracts outstanding.
(b) At October 31, 2000, accumulated net unrealized appreciation on investments
was $3,196,898, consisting of $12,048,380 gross unrealized appreciation and
$8,851,482 gross unrealized depreciation.
At October 31, 2000, 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 31
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 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, 2000, 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
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
" financial statements" ) are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities owned at
October 31, 2000 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 8, 2000
32
IMPORTANT TAX INFORMATION (Unaudited)
For Federal tax purposes the fund hereby designates $.2890 per share as a
long-term capital gain distribution of $.6330 per share paid on December 17,
1999.
The fund also designates 24.89% of the ordinary dividends paid during the fiscal
year ended October 31, 2000 as qualifying for the corporate dividends received
deduction. Shareholders will receive notification in January 2001 of the
percentage applicable to the preparation of their 2000 income tax returns.
The Fund 33
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
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL Send your request to [email protected]
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(c) 2000 Dreyfus Service Corporation 077AR0010
Dreyfus
S&P 500
Index Fund
ANNUAL REPORT October 31, 2000
(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
Contents
THE FUND
--------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
22 Statement of Financial Futures
23 Statement of Assets and Liabilities
24 Statement of Operations
25 Statement of Changes in Net Assets
26 Financial Highlights
27 Notes to Financial Statements
32 Report of Independent Accountants
33 Important Tax Information
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, 1999 through October 31, 2000.
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.
The Standard & Poor' s 500 Composite Stock Price Index, a broad measure of
large-cap stock performance, rose more than 6% over the 12-month reporting
period. Investor enthusiasm over technology stocks drove most major stock market
indices to new highs. Conversely, in the first nine months of 2000, the equity
investment environment was marked by dramatic price fluctuations. Additionally,
the moderating effects of the Federal Reserve Board's (the "Fed") interest-rate
hikes during the first half of 2000 helped the Fed to achieve its goal of
slowing the U.S. economy. Other factors such as higher energy prices and a weak
euro also served to slow economic growth.
Since stocks provided returns well above their historical averages during the
second half of the 1990s, some investors may have developed unrealistic
expectations in equities. Recent volatility has reminded investors of both the
risks of investing and the importance of fundamental research and investment
selection.
For more information about the economy and financial markets, we encourage you
to visit the Market Commentary section of our website at www.dreyfus.com. Or, to
speak with a Dreyfus customer service representative, call us at 1-800-782-6620
Thank you for investing in Dreyfus S&P 500 Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 2000
2
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, 2000, Dreyfus S&P 500 Index Fund
produced a total return of 5.50%.(1) The Standard & Poor's 500 Composite Stock
Price Index (the "S&P 500 Index"), the fund's benchmark, produced a 6.08% total
return for the same period.(2) The difference in returns was primarily due to
transaction costs and other fund operating expenses.
What is the fund's investment approach?
The fund seeks to match the total return of the S&P 500 Index. To pursue that
goal, the fund generally invests in all 500 stocks in the S&P 500 Index in
proportion to their weighting in the 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. The S& P 500 Index is dominated by large-cap blue chip stocks that
comprise nearly 75% of total U.S. market capitalization.
However, it is important to note that the S&P 500 Index is not composed of the
500 largest companies; rather, it is designed to 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 S& P 500 Index. The fund does not attempt to manage market
volatility.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
What other factors influenced the fund's performance?
From November 1, 1999, through mid-March 2000, technology stocks produced the
lion' s share of gains in the U.S. stock market -- particularly those
high-flying, volatile technology stocks of companies providing Internet-related
products and services. During this period of technology dominance, the growth
style of investing produced higher returns than the value style. In addition,
the large-cap stocks in the S&P 500 Index produced lower returns than their mid-
and small-cap counterparts.
However, beginning in mid-March and continuing through the end of October, a
shift in investor preference caused technology stocks to fall sharply,
effectively reversing earlier gains. From mid-March through the end of the
period, midcap stocks recorded the strongest gains of any capitalization range,
followed by small- and large-cap stocks, respectively. In addition, the value
style of investing returned to favor, benefiting industry groups such as health
care, financial services, utilities and consumer staples across all market
capitalizations.
During the reporting period, the largest gains within the S&P 500 Index, and
therefore the fund as well, came from the technology group, which includes
electrical defense companies. In addition, the S&P 500 Index's holdings within
the health care area -- including hospital management, health maintenance
organizations and medical products manufacturers -- provided strong returns.
Consumer staples stocks also posted attractive returns, benefiting retail drug
stores and food and health products distributors. Finally, financial services
companies produced solid gains, most notably for investment banks, brokerage
services firms and insurance brokers.
On the other hand, the poorest performing area of the S&P 500 Index and the fund
was basic materials stocks, led lower by metal and glass container companies,
office equipment and supply firms and gold and steel producers. In addition, the
stocks of consumer cyclical companies -- which include household furniture and
appliance companies as
4
well as long-distance telecommunications companies -- provided disappointing
returns, as did photography and imaging companies in the technology sector.
What is the fund's current strategy?
The fund is an index fund and its goal is to replicate the returns of the S&P
500 Index. Accordingly, we intend to maintain our strategy of investing in all
500 stocks in the S&P 500 Index, in proportion to their weighting in the index.
As of the end of the reporting period, approximately 26% of the Index and the
fund' s assets were invested in technology stocks, followed by 20% in
interest-sensitive companies, 13% in health care, 8% in utilities, 7% in
consumer cyclicals, 7% in energy, 6% in producer goods, 5% in services and 5% in
consumer staples.
November 15, 2000
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
(2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF DIVIDENDS 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 5
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 10/31/00
<TABLE>
<CAPTION>
Inception From
Date 1 Year 5 Years 10 Years Inception
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FUND 1/2/90 5.50% 21.02% 18.85% 15.78%
</TABLE>
((+)) SOURCE: LIPPER 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 $10,000 INVESTMENT MADE IN THE STANDARD & POOR'S
500 COMPOSITE STOCK PRICE INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS ARE REINVESTED. THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH
TAKES INTO ACCOUNT ALL APPLICABLE FEES AND EXPENSES. THE STANDARD & POOR'S 500
COMPOSITE STOCK PRICE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK
MARKET PERFORMANCE, WHICH DOES NOT TAKE INTO ACCOUNT CHARGES, FEES OR OTHER
EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
6
<TABLE>
<CAPTION>
STATEMENT OF INVESTMENTS
October 31, 2000
COMMON STOCKS--99.3% Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
BEVERAGES & TOBACCO--1.1%
<S> <C> <C>
Anheuser-Busch Cos. 219,700 10,051,275
Brown-Forman, Cl. B 16,600 1,010,525
Coors (Adolph), Cl. B 8,900 566,819
Philip Morris Cos. 546,100 20,000,913
UST 39,300 992,325
32,621,857
CONSUMER CYCLICAL--7.3%
AMR 36,300 (a) 1,188,825
Albertson's 102,572 2,429,674
AutoZone 30,900 (a) 828,506
Bed Bath & Beyond 68,500 (a) 1,768,156
Best Buy 50,100 (a) 2,514,394
Black & Decker 20,200 760,025
Brunswick 21,300 414,019
CVS 94,500 5,002,594
Circuit City Group 49,800 659,850
Consolidated Stores 26,800 (a) 318,250
Cooper Tire and Rubber 17,900 195,781
Costco Wholesale 108,200 (a) 3,962,825
Dana 36,159 802,278
Darden Restaurants 30,000 675,000
Delphi Automotive Systems 136,369 2,139,289
Delta Air Lines 29,700 1,403,325
Dillard's, Cl. A 22,700 238,350
Dollar General 79,708 1,235,474
Eastman Kodak 74,700 3,352,163
Federated Department Stores 50,400 (a) 1,641,150
Ford Motor 458,992 11,991,166
Gap 206,125 5,320,602
General Motors 130,100 8,082,463
Grainger (W.W.) 22,800 728,175
Harley-Davidson 73,500 3,541,781
Harrah's Entertainment 28,300 (a) 810,088
Hasbro 41,700 448,275
Hilton Hotel 89,200 847,400
The Fund 7
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
Home Depot 561,603 24,148,929
Johnson Controls 20,800 1,240,200
K mart 116,500 (a) 691,719
Kohl's 79,900 (a) 4,329,581
Kroger 200,300 (a) 4,519,269
Leggett & Platt 47,600 779,450
Limited 104,700 2,643,675
Liz Claiborne 12,900 548,250
Longs Drug Stores 9,500 207,813
Lowe's Cos. 92,600 4,230,663
Marriott International, Cl. A 58,000 2,349,000
Mattel 103,100 1,333,856
May Department Stores 72,050 1,891,313
Maytag 19,000 543,875
McDonald's 320,200 9,926,200
NIKE, Cl. B 65,400 2,611,913
Navistar International 14,400 (a) 476,100
Nordstrom 31,600 519,425
Office Depot 74,100 (a) 615,956
PACCAR 18,500 778,156
Penney (J.C.) 63,200 738,650
Polaroid 10,900 109,681
RadioShack 45,000 2,683,125
Reebok International 13,700 (a) 295,406
Russell 7,900 126,400
Safeway 120,500 (a) 6,589,844
Sears, Roebuck & Co. 83,100 2,470,563
Southwest Airlines 120,912 3,445,992
Springs Industries 4,300 101,319
Staples 110,150 (a) 1,569,638
Starbucks 45,400 2,028,813
TJX Cos. 70,900 1,932,025
Target 220,900 6,102,363
Tiffany & Co. 35,100 1,498,331
Toys R Us 49,400 (a) 849,063
Tricon Global Restaurants 35,710 (a) 1,071,300
US Airways Group 16,100 (a) 607,775
8
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICAL (CONTINUED)
V.F. 27,700 756,556
Visteon 31,515 557,422
Wal-Mart Stores 1,083,000 49,141,125
Walgreen 244,900 11,173,563
Wendy's International 27,500 598,125
Whirlpool 17,300 752,550
Winn-Dixie Stores 34,100 656,425
223,541,275
CONSUMER STAPLES--4.8%
Alberto-Culver, Cl. B 13,500 453,094
Archer Daniels Midland 153,148 1,684,628
Avon Products 57,536 2,790,496
Campbell Soup 102,300 2,992,275
Clorox 56,900 2,539,163
Coca-Cola 600,600 36,261,225
Coca-Cola Enterprises 101,900 1,872,413
Colgate-Palmolive 139,300 8,185,268
ConAgra Foods 128,900 2,755,238
Fortune Brands 38,300 1,127,456
General Mills 69,200 2,889,100
Gillette 255,300 8,903,588
Heinz (H.J.) 84,200 3,531,138
Hershey Foods 33,200 1,803,175
International Flavors & Fragrances 24,200 405,350
Kellogg 98,200 2,491,825
Nabisco Group Holdings 79,100 2,284,013
National Service Industries 9,900 202,331
Newell Rubbermaid 64,562 1,238,783
Owens-Illinois 35,500 (a) 210,781
PepsiCo 349,900 16,948,281
Procter & Gamble 317,100 22,652,831
Quaker Oats 32,100 2,618,156
Ralston-Purina Group 74,300 1,801,775
SUPERVALU 31,800 488,925
Sara Lee 210,600 4,541,062
Sysco 80,700 4,211,531
Tupperware 14,000 239,750
The Fund 9
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
Unilever, N.V. 138,435 7,034,228
Wrigley, (Wm.) Jr. 27,600 2,185,575
147,343,454
ENERGY--7.0%
Amerada Hess 21,900 1,357,800
Anadarko Petroleum 58,832 3,768,190
Apache 29,400 1,626,188
Baker Hughes 79,990 2,749,656
Burlington Resources 52,145 1,877,220
CMS Energy 29,300 791,100
Chevron 158,300 13,000,388
Coastal 52,000 3,922,750
Columbia Energy Group 19,300 1,388,394
Conoco, Cl. B 151,224 4,111,403
Devon Energy 30,700 1,547,280
Duke Energy 89,294 7,718,350
Eastern Enterprises 6,600 424,875
El Paso Energy 56,300 3,529,306
Enron 179,200 14,705,600
Exxon Mobil 844,788 75,344,530
Halliburton 108,000 4,002,750
Kerr-McGee 22,765 1,486,839
KeySpan 32,400 1,140,075
Nabors Industries 34,100 1,735,690
Nicor 11,200 395,500
ONEOK 7,100 281,338
Occidental Petroleum 89,300 1,774,838
Peoples Energy 8,500 292,188
Phillips Petroleum 61,800 3,816,150
Rowan Cos. 22,700 (a) 571,756
Royal Dutch Petroleum 519,900 30,869,063
Schlumberger 138,200 10,520,475
Sunoco 21,400 640,663
Texaco 133,700 7,896,656
Tosco 35,000 1,001,875
Transocean Sedco Forex 51,000 2,703,000
USX-Marathon Group 75,500 2,052,656
10
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
ENERGY (CONTINUED)
Unocal 58,800 2,006,550
Williams Cos. 107,400 4,490,663
215,541,755
HEALTH CARE--11.8%
ALZA 28,000 (a) 2,266,250
Abbott Laboratories 375,800 19,846,938
Allergan 31,900 2,681,594
American Home Products 315,900 20,059,650
Amgen 249,300 (a) 14,443,819
Bard (C.R.) 12,200 510,875
Bausch & Lomb 12,900 497,456
Baxter International 70,800 5,818,875
Becton, Dickinson & Co. 61,100 2,046,850
Biogen 36,000 (a) 2,166,750
Biomet 43,050 1,557,872
Boston Scientific 98,800 (a) 1,574,625
Bristol-Myers Squibb 476,500 29,036,719
Cardinal Health 67,350 6,381,413
Guidant 74,400 (a) 3,938,550
HCA-Healthcare 135,050 5,393,559
HEALTHSOUTH 93,400 (a) 1,120,800
Humana 40,600 (a) 492,275
Johnson & Johnson 337,100 31,055,338
King Pharmaceuticals 40,300 1,805,944
Lilly (Eli) & Co. 273,900 24,479,813
Manor Care 24,800 (a) 413,850
McKesson HBOC 68,877 1,932,861
MedImmune 50,900 3,327,588
Medtronic 290,500 15,777,781
Merck & Co. 557,800 50,167,138
PE Biosystems Group 50,500 5,908,500
Pfizer 1,530,900 66,115,744
Pharmacia 314,635 17,304,925
Schering-Plough 355,200 18,359,400
St. Jude Medical 20,300 (a) 1,116,500
Tenet Healthcare 76,300 2,999,544
The Fund 11
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
Watson Pharmaceuticals 24,700 (a) 1,545,294
Wellpoint Health Networks 15,200 (a) 1,777,450
363,922,540
INTEREST SENSITIVE--20.4%
AFLAC 64,300 4,697,919
Aetna 34,179 1,975,973
Allstate 178,000 7,164,500
American Express 322,900 19,374,000
American General 61,245 4,930,223
American International Group 561,068 54,984,664
Amsouth Bancorp 91,300 1,272,494
Aon 61,975 2,568,089
Associates First Capital, Cl. A 176,438 6,550,261
BB&T 97,000 3,091,875
Bank One 280,204 10,227,446
Bank of America 398,252 19,140,987
Bank of New York 179,000 10,303,688
Bear Stearns Cos. 26,072 1,580,615
Block (H&R) 22,300 795,831
CIGNA 38,200 4,658,490
CIT Group, Cl. A 63,700 1,110,769
Capital One Financial 47,600 3,004,750
Cendant 176,070 2,112,840
Charter One Financial 50,940 1,168,436
Chase Manhattan 317,300 14,437,150
Chubb 42,400 3,580,150
Cincinnati Financial 38,900 1,429,575
Citigroup 1,090,818 57,404,297
Comerica 37,900 2,285,844
Conseco 78,803 546,696
Countrywide Credit Industries 27,400 1,025,788
Equifax 34,200 1,179,900
Fannie Mae 244,300 18,811,100
Fifth Third Bancorp 112,800 5,795,100
First Data 98,300 4,927,288
First Union 238,790 7,238,322
Firstar 232,339 4,574,174
12
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
FleetBoston Financial 218,855 8,316,490
Franklin Resources 59,000 2,527,560
Federal Home Loan Mortgage 168,400 10,104,000
General Electric 2,401,700 131,643,181
Golden West Financial 38,300 2,147,194
Hartford Financial Services Group 54,400 4,049,400
Household International 114,645 5,768,077
Huntington Bancshares 60,974 876,501
Jefferson-Pilot 24,950 1,715,313
Keycorp 104,400 2,577,375
Lehman Brothers Holdings 58,800 3,792,600
Lincoln National 46,400 2,244,600
Loews 23,900 2,173,406
MBIA 23,800 1,729,963
MBNA 206,225 7,746,327
MGIC Investment 25,600 1,744,000
Marsh & McLennan Cos. 65,800 8,603,350
Mellon Financial 118,400 5,712,800
Merrill Lynch 194,800 13,636,000
Morgan (J.P.) 38,600 6,388,300
Morgan Stanley Dean Witter & Co. 272,860 21,914,069
National City 146,800 3,137,850
Northern Trust 53,800 4,593,175
Old Kent Financial 33,240 920,333
PNC Bank 70,300 4,701,313
Paine Webber Group 35,800 2,550,750
Progressive 17,700 1,739,025
Providian Financial 34,550 3,593,200
Regions Financial 53,400 1,258,238
Safeco 30,900 747,394
Schwab (Charles) 334,800 11,759,850
SouthTrust 40,700 1,317,663
St. Paul Cos. 54,194 2,777,443
State Street 39,000 4,864,860
Stilwell Financial 54,500 2,442,281
Summit Bancorp 42,600 1,597,500
SunTrust Banks 72,300 3,529,144
The Fund 13
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
INTEREST SENSITIVE (CONTINUED)
Synovus Financial 68,350 1,473,797
T. Rowe Price Associates 29,300 1,371,606
Torchmark 31,000 1,032,688
U.S. Bancorp 180,848 4,374,261
USA Education 37,600 2,100,900
Union Planters 32,800 1,109,050
UnitedHealth Group 39,000 4,265,625
UnumProvident 58,295 1,646,834
Wachovia 49,300 2,662,200
Washington Mutual 130,660 5,749,040
Wells Fargo 399,200 18,487,950
625,163,710
INTERNET--1.2%
America Online 559,900 (a) 28,235,757
Yahoo! 133,200 (a) 7,808,850
36,044,607
PRODUCER GOODS--6.5%
Air Products & Chemicals 55,500 2,070,844
Alcan Aluminium 81,000 2,556,563
Alcoa 209,948 6,022,883
Allegheny Technologies 20,177 408,584
American Power Conversion 47,000 608,063
Armstrong Holdings 9,700 (a) 27,888
Ashland 17,100 560,025
Avery Dennison 27,200 1,373,600
Ball 7,200 252,900
Barrick Gold 95,800 1,281,325
Bemis 12,900 333,788
Bethlehem Steel 31,900 (a) 91,713
Boeing 217,598 14,755,864
Boise Cascade 13,900 398,756
Briggs & Stratton 5,400 192,713
Burlington Northern Santa Fe 98,000 2,603,125
CSX 52,900 1,339,031
Caterpillar 83,800 2,938,238
Centex 14,400 532,800
Cooper Industries 22,600 864,450
14
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Crane 14,625 382,992
Crown Cork & Seal 31,000 282,875
Cummins Engine 10,100 343,400
Deere & Co. 56,700 2,087,269
Dow Chemical 164,500 5,037,813
duPont (E.I.) deNemours & Co. 252,812 11,471,345
Eastman Chemical 18,600 797,475
Ecolab 31,000 1,214,813
Emerson Electric 103,400 7,593,438
Engelhard 30,900 645,038
FMC 7,400 (a) 562,400
FedEx 69,120 (a) 3,238,963
Fluor 18,500 647,500
Fort James 49,800 1,640,288
Freeport-McMoRan Copper, Cl. B 37,100 (a) 294,481
General Dynamics 48,100 3,442,156
Genuine Parts 42,800 912,175
Georgia-Pacific 41,300 1,109,938
Goodrich (B.F.) 24,600 1,007,063
Goodyear Tire & Rubber 37,900 701,150
Grace (W.R.) & Co. 16,300 (a) 62,144
Great Lakes Chemical 12,700 423,863
Hercules 26,000 476,125
Homestake Mining 63,100 260,288
Honeywell International 194,225 10,451,733
Illinois Tool Works 73,000 4,056,063
Inco 44,000 (a) 679,250
Ingersoll-Rand 39,200 1,479,800
International Paper 117,053 4,287,066
Kaufman & Broad Home 11,700 348,075
Kimberly-Clark 130,500 8,613,000
Lockheed Martin 103,500 3,710,475
Louisiana-Pacific 25,200 214,200
Masco 110,800 2,070,575
McDermott International 14,500 140,469
Mead 24,900 720,544
Minnesota Mining & Manufacturing 95,900 9,266,338
The Fund 15
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
PRODUCER GOODS (CONTINUED)
Molex 47,500 2,565,000
Newmont Mining 40,625 550,977
Norfolk Southern 92,800 1,310,800
Northrop Grumman 17,400 1,461,600
Nucor 19,700 683,344
PPG Industries 42,200 1,883,175
Pactiv 40,900 (a) 429,450
Pall 29,900 644,719
Parker-Hannifin 27,150 1,123,331
Phelps Dodge 19,095 892,691
Placer Dome 79,300 644,313
Potlach 6,900 231,150
Praxair 38,200 1,422,950
Pulte 10,000 333,125
Raytheon, Cl. B 82,300 2,813,631
Rockwell International 44,900 1,765,131
Rohm & Haas 52,715 1,584,745
Sealed Air 20,232 (a) 973,665
Sherwin-Williams 39,700 860,994
Sigma-Aldrich 19,500 697,125
Snap-On 14,200 362,988
Stanley Works 21,213 564,796
TRW 29,900 1,255,800
Temple-Inland 12,700 568,325
Textron 34,900 1,760,269
Thomas & Betts 14,000 211,750
Timken 14,800 208,125
Tyco International 424,100 24,041,169
USX-U.S. Steel Group 21,400 341,063
Union Carbide 32,600 1,401,800
Union Pacific 60,000 2,812,500
United Technologies 113,500 7,923,719
Vulcan Materials 24,400 1,024,800
Westvaco 24,400 695,400
Weyerhaeuser 53,200 2,497,075
Willamette Industries 26,800 973,175
Worthington Industries 20,900 199,856
199,600,259
16
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
SERVICES--5.4%
ALLTEL 76,400 4,923,025
Allied Waste Industries 47,700 441,225
American Greetings, Cl. A 15,600 (a) 283,725
Automatic Data Processing 152,100 9,934,031
Avaya 67,480 906,763
Carnival 142,900 3,545,706
Ceridian 35,100 (a) 877,500
Clear Channel Communications 142,000 (a) 8,528,875
Comcast, Cl. A 219,400 (a) 8,940,550
Computer Sciences 40,800 (a) 2,570,400
Convergys 37,100 1,616,169
Deluxe 17,500 394,844
Disney (Walt) 505,500 18,103,219
Donnelley (R.R.) & Sons 29,500 634,250
Dow Jones & Co 21,200 1,248,150
Electronic Data Systems 113,100 5,308,631
Gannett 63,900 3,706,200
Harcourt General 17,700 992,085
IMS Health 72,000 1,701,000
Interpublic Group Cos. 74,600 3,203,138
Knight-Ridder 18,300 919,575
McGraw-Hill Cos. 47,100 3,023,231
Meredith 12,300 390,525
Moody's 39,200 1,031,450
NEXTEL Communications, Cl. A 184,600 (a) 7,095,563
New York Times, Cl. A 40,500 1,488,375
Omnicom Group 43,000 3,966,750
Paychex 90,275 5,117,464
Quintiles Transnational 27,900 (a) 388,856
Ryder System 14,400 284,400
Seagram 105,700 6,038,113
Sprint (PCS Group) 225,100 8,581,938
Time Warner 320,900 24,359,519
Tribune 74,700 2,768,569
Viacom, Cl. B 367,724 (a) 20,914,303
Waste Management 150,400 3,008,000
167,236,117
The Fund 17
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY--26.1%
ADC Telecommunications 187,300 (a) 4,003,538
Adaptec 24,000 (a) 379,500
Adobe Systems 58,000 4,411,625
Advanced Micro Devices 75,500 (a) 1,708,188
Agilent Technologies 109,816 5,085,854
Altera 96,700 (a) 3,958,656
Analog Devices 86,100 (a) 5,596,500
Andrew 19,550 (a) 514,409
Apple Computer 78,800 (a) 1,541,525
Applied Materials 196,700 (a) 10,449,688
Autodesk 14,100 311,081
BMC Software 59,800 (a) 1,214,688
Broadcom, Cl. A 53,800 (a) 11,963,775
Cabletron Systems 44,700 (a) 1,212,488
Cisco Systems 1,720,700 (a) 92,702,713
Citrix Systems 44,800 (a) 991,200
Compaq Computer 412,184 12,534,515
Computer Associates International 143,250 4,566,094
Compuware 87,300 (a) 687,488
Comverse Technology 37,800 (a) 4,224,150
Conexant Systems 55,200 (a) 1,452,450
Corning 213,900 16,363,350
Danaher 34,300 2,165,188
Dell Computer 627,300 (a) 18,505,350
Dover 49,200 2,087,925
EMC 528,700 (a) 47,087,344
Eaton 17,600 1,197,900
Gateway 77,900 (a) 4,020,419
Hewlett-Packard 483,600 22,457,175
ITT Industries 21,300 693,581
Intel 1,628,000 73,260,000
International Business Machines 426,900 42,049,650
JDS Uniphase 227,000 (a) 18,472,125
KLA-Tencor 45,000 (a) 1,521,563
LSI Logic 75,200 (a) 2,472,200
Lexmark International Group, Cl. A 30,900 (a) 1,266,900
Linear Technology 75,400 4,868,013
18
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Lucent Technologies 809,770 18,877,763
Maxim Integrated Products 68,500 4,542,406
Mercury Interactive 19,400 (a) 2,153,400
Micron Technology 136,900 (a) 4,757,275
Microsoft 1,276,000 (a) 87,884,452
Millipore 11,200 588,000
Motorola 528,795 13,186,825
NCR 23,000 (a) 991,875
National Semiconductor 43,100 (a) 1,120,600
Network Appliance 75,800 (a) 9,020,200
Nortel Networks 724,280 32,954,740
Novell 79,800 (a) 718,200
Novellus Systems 31,600 (a) 1,293,625
Oracle 1,365,200 (a) 45,051,600
Palm 136,972 7,336,563
Parametric Technology 66,900 (a) 823,706
PeopleSoft 67,800 (a) 2,958,834
PerkinElmer 11,900 1,422,050
Pitney Bowes 61,900 1,837,656
Power-One 18,500 (a) 1,312,344
QUALCOMM 180,700 (a) 11,765,264
Sabre Group Holdings 31,221 1,043,952
Sanmina 36,700 4,195,269
Sapient 28,800 1,024,200
Scientific-Atlanta 38,600 2,641,688
Seagate Technology 55,500 (a) 3,878,063
Siebel Systems 101,000 (a) 10,598,688
Solectron 145,900 (a) 6,419,600
Sun Microsystems 384,700 (a) 42,653,613
Tektronix 11,700 833,625
Tellabs 99,200 (a) 4,953,800
Teradyne 41,900 (a) 1,309,375
Texas Instruments 419,100 20,562,094
Thermo Electron 41,900 (a) 1,215,100
Unisys 75,500 (a) 962,625
Veritas Software 97,500 (a) 13,749,023
Xerox 161,400 1,361,813
The Fund 19
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY (CONTINUED)
Xilinx 79,700 (a) 5,773,269
801,771,983
UTILITIES--7.7%
AT&T 910,804 21,119,268
AES 110,800 (a) 6,260,200
Ameren 33,200 1,319,700
American Electric Power 77,960 3,235,340
BellSouth 454,400 21,953,200
CP&L Energy 38,700 1,560,094
CINergy 38,500 1,179,063
CenturyTel 34,000 1,309,000
Consolidated Edison 51,300 1,805,119
Constellation Energy Group 36,200 1,509,088
DTE Energy 34,600 1,249,925
Dominion Resources 57,608 3,431,277
Dynegy, Cl. A 75,100 3,478,069
Edison International 79,000 1,886,125
Entergy 54,000 2,068,875
Exelon 78,375 4,712,297
FPL Group 43,200 2,851,200
FirstEnergy 55,400 1,433,475
Florida Progress 23,900 1,271,181
GPU 29,400 972,038
Global Crossing 213,565 (a) 5,045,473
Niagara Mohawk Power 38,900 (a) 622,400
PG&E 93,300 2,513,269
PPL 34,900 1,437,444
Pinnacle West Capital 20,500 890,469
Public Service Enterprise Group 52,000 2,158,000
Qwest Communications International 402,700 19,581,288
Reliant Energy 71,566 2,956,570
SBC Communications 821,898 47,413,241
Sempra Energy 49,466 1,023,328
Southern 157,100 4,614,813
Sprint (FON Group) 214,500 5,469,750
20
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
TXU 63,897 2,368,183
Verizon Communications 658,856 38,090,113
WorldCom 696,590 (a) 16,544,014
Xcel Energy 81,810 2,091,267
237,424,156
TOTAL COMMON STOCKS
(cost $1,837,593,023) 3,050,211,713
-----------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--.7% Amount ($) Value ($)
------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--.6%
Greenwich Capital Markets, 6.55% dated
10/31/2000, due 11/1/2000 in the amount
of $17,203,129 (fully collateralized by
$17,385,000 of various U.S. Government
Agency Obligations, value $17,545,099) 17,200,000 17,200,000
U.S. TREASURY BILLS--.1%
5.97%, 12/7/2000 4,000,000 (b) 3,975,720
TOTAL SHORT-TERM INVESTMENTS
(cost $21,176,120) 21,175,720
------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $1,858,769,143) 100.0% 3,071,387,433
CASH AND RECEIVABLES (NET) .0% 865,729
NET ASSETS 100.0% 3,072,253,162
(A) NON-INCOME PRODUCING.
(B) PARTIALLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund 21
STATEMENT OF FINANCIAL FUTURES
October 31, 2000
<TABLE>
<CAPTION>
Market Value Unrealized
Covered Appreciation
Contracts by Contracts ($) Expiration at 10/31/2000 ($)
------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG
<S> <C> <C> <C> <C>
Standard & Poor's 500 71 25,563,550 December 2000 944,300
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
22
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2000
Cost Value
--------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--
See Statement of Investments--Note 1(b) 1,858,769,143 3,071,387,433
Cash 725,818
Receivable for shares of Common Stock subscribed 3,794,376
Dividends and interest receivable 2,093,150
Receivable for futures variation margin--Note 4(b) 644,072
3,078,644,849
--------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 1,267,796
Payable for shares of Common Stock redeemed 5,123,891
6,391,687
-------------------------------------------------------------------------------
NET ASSETS ($) 3,072,253,16
-------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 1,882,259,116
Accumulated undistributed investment income--net 17,123,203
Accumulated net realized gain (loss) on investments (40,691,747)
Accumulated net unrealized appreciation (depreciation)
on investments (including $944,300 net unrealized
appreciation on financial futures)--Note 4(b) 1,213,562,590
-------------------------------------------------------------------------------
NET ASSETS ($) 3,072,253,16
--------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 73,240,309
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 41.95
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund 23
STATEMENT OF OPERATIONS
Year Ended October 31, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $161,111 foreign taxes withheld at source) 34,345,427
Interest 3,236,460
TOTAL INCOME 37,581,887
EXPENSES:
Management fee--Note 3(a) 7,639,264
Shareholder servicing costs--Note 3(b) 7,639,264
Loan commitment fees--Note 2 25,403
Interest expense--Note 2 322
TOTAL EXPENSES 15,304,253
INVESTMENT INCOME--NET 22,277,634
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments (22,476,288)
Net realized gain (loss) on financial futures (3,446,783)
NET REALIZED GAIN (LOSS) (25,923,071)
Net unrealized appreciation (depreciation) on investments
[including ($3,715,175) net unrealized (depreciation) on
financial futures] 160,708,096
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 134,785,025
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 157,062,659
SEE NOTES TO FINANCIAL STATEMENTS.
24
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
------------------------------------
2000 1999
-------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 22,277,634 22,145,437
Net realized gain (loss) on investments (25,923,071) 25,103,352
Net unrealized appreciation (depreciation)
on investments 160,708,096 439,174,812
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 157,062,659 486,423,601
-------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (22,402,251) (21,016,765)
Net realized gain on investments (35,773,596) --
TOTAL DIVIDENDS (58,175,847) (21,016,765)
-------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 1,397,531,590 1,364,922,506
Dividends reinvested 56,332,381 19,813,208
Cost of shares redeemed (1,280,525,974) (893,875,934)
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL STOCK TRANSACTIONS 173,337,997 490,859,780
TOTAL INCREASE (DECREASE) IN NET ASSETS 272,224,809 956,266,616
-------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 2,800,028,353 1,843,761,737
END OF PERIOD 3,072,253,162 2,800,028,353
Undistributed investment income--net 17,123,203 17,247,820
-------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 33,251,876 35,881,434
Shares issued for dividends reinvested 1,342,845 545,219
Shares redeemed (30,413,940) (23,641,873)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 4,180,781 12,784,780
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund 25
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
<CAPTION>
Year Ended October 31,
-------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period 40.55 32.76 27.73 22.06 18.38
Investment Operations:
Investment income--net .31(a) .35(a) .34 .34 .33
Net realized and unrealized
gain (loss) on investments 1.92 7.80 5.46 6.37 3.89
Total from Investment Operations 2.23 8.15 5.80 6.71 4.22
Distributions:
Dividends from investment income--net (.32) (.36) (.30) (.38) (.32)
Dividends from net realized gain
on investments (.51) -- (.47) (.66) (.22)
Total Distributions (.83) (.36) (.77) (1.04) (.54)
Net asset value, end of period 41.95 40.55 32.76 27.73 22.06
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 5.50 25.00 21.34 31.46 23.41
-----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net assets .50 .50 .50 .50 .57
Ratio of net investment income
to average net assets .73 .92 1.14 1.52 1.90
Decrease reflected in above expense
ratios due to undertakings by
The Dreyfus Corporation -- -- -- .05 --
Portfolio Turnover Rate 7.64 9.61 7.15 2.26 5.22
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period
($ x 1,000) 3,072,253 2,800,028 1,843,762 1,279,451 591,631
(A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
26
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. Effective March 22, 2000, Dreyfus Service Corporation ("DSC"), a
wholly-owned subsidiary of the Manager, became the distributor of the fund's
shares, which are sold to the public without a sales charge. Prior to March 22,
2000, Premier Mutual Fund Services, Inc. was the distributor.
The fund' s financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
(a) Portfolio valuation: Investments in securities (including financial futures)
are valued at the last sales price on the securities exchange on which such
securities are primarily traded or at the last sales price on the national
securities market. 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.
The Fund 27
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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 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.
The fund has an unused capital loss carryover of approximately $20,622,000
available for Federal income tax purposes to be applied
28
against future net securities profits, if any, realized subsequent to October
31, 2000. If not applied, the carryover expires in fiscal 2008.
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
herewith, 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, 2000 was approximately $4,900 with a related weighted
average annualized interest rate of 6.53%.
NOTE 3--Management Fee and Other Transactions With Affiliates:
(a) Pursuant to an Investment 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
management fees, brokerage commissions, taxes, interest, commitment fees,
Shareholder Services Plan fees, fees and expenses of non-interested Board
members (including counsel fees) and extraordinary expenses. In addition,
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 Board members
(including counsel fees) . Each Board member also serves as a Board member of
other funds within the Dreyfus complex (collectively, the "Fund Group").
Effective April 25, 2000, each Board member receives an annual fee of $25,000
and an attendance fee of $4,000 for each meeting attended and $500 for telephone
meetings. These fees are allocated among the funds in the Fund Group. The
chairman of the Board
The Fund 29
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
receives an additional 25% of such compensation (with the exception of
reimburseable amounts) . Prior to April 25, 2000, each Board member who was not
an "affiliated person" as defined in the Act received from the fund an annual
fee of $2,500 and an attendance fee of $500 per meeting. The Chairman of the
Board received an additional 25% of such compensation (with the exception of
reimbursable amounts) . Subject to the fund' s Emeritus Program Guidelines,
Emeritus Board Members, if any, receive 50% of the fund's annual retainer fee
and per meeting fee paid at the time the Board member achieves emeritus status.
Amounts required to be paid by the Company directly to the non-interested Board
members, that were applied to offset a portion of the management fee payable to
Dreyfus, were in fact paid directly by Dreyfus to the non-interested Board
members.
(b) Under the Shareholder Services Plan, the fund pays the distributor for the
provision of certain services a fee, at the annual rate of .25 of 1% of the
value of the fund's average daily net assets. The services provided may include
personal services relating to shareholder accounts, such as answering
shareholder inquiries regarding the fund and providing reports and other
information, and services related to the maintenance of shareholder accounts.
The distributor may make payments to Service Agents (a securities dealer,
financial institution or other industry professional) in respect of these
services. The distributor determines the amounts to be paid to Service Agents.
During the period October 31, 2000, the fund was charged $7,639,264 pursuant to
the Shareholder Services Plan, of which $4,771,533 was paid to DSC.
(c) A 1% redemption fee is charged and retained by the fund on shares redeemed
within six month period following the date of issuance, including redemptions
made through the use of the fund's exchange privilege. During the period ended
October 31, 2000, redemption fees amounted to $54,998.
30
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, 2000, amounted to $450,143,014 and $228,414,788, 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, 2000, are
set forth in the Statement of Financial Futures.
(b) At October 31, 2000, accumulated net unrealized appreciation on investments
and financial futures was $1,213,562,590, consisting of $1,331,110,527, gross
unrealized appreciation and $117,547,937 gross unrealized depreciation.
At October 31, 2000, 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 31
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 respect the financial position of Dreyfus S&P 500 Index
Fund (the "Fund") (one of the series constituting Dreyfus Index Funds, Inc.), at
October 31, 2000, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Fund's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities owned at
October 31, 2000 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 8, 2000
32
IMPORTANT TAX INFORMATION (Unaudited)
For Federal tax purposes, the fund hereby designates $.3110 per share as a
long-term capital gain distribution of the $.8310 per share paid on December 22,
1999. The fund also designates 82.09% of the ordinary dividends paid during the
fiscal year ended October 31, 2000 as qualifying for the corporate dividends
received deduction. Shareholders will receive notification in January 2001 of
the percentage applicable to the preparation of their 2000 income tax returns.
The Fund 33
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
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL Send your request to [email protected]
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
(c) 2000 Dreyfus Service Corporation 078AR0010
Dreyfus International
Stock Index Fund
ANNUAL REPORT October 31, 2000
(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
Contents
THE FUND
--------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Fund Performance
7 Statement of Investments
29 Statement of Financial Futures
30 Statement of Assets and Liabilities
31 Statement of Operations
32 Statement of Changes in Net Assets
33 Financial Highlights
34 Notes to Financial Statements
41 Report of Independent Accountants
FOR MORE INFORMATION
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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, 1999 through October
31, 2000. 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.
The MSCI Europe, Australasia, Far East Index, a popular measure of international
stock market performance, fell almost 3% over the 12-month reporting period in
an investment environment marked by dramatic price fluctuations. International
stocks were adversely influenced by slowing economic growth in the U.S. and
Europe. Additionally, the moderating effects of the Federal Reserve Board's
interest-rate hikes during 2000 to prevent domestic inflationary pressures from
reemerging also affected global economies along with higher energy prices and a
weak euro.
Since some global equities in general provided returns well above their
historical averages during the second half of the 1990s, some investors may have
developed unrealistic expectations in equities. Recent volatility has reminded
investors of both the risks of investing and the importance of fundamental
research and investment selection.
For more information about the economy and financial markets, including
international markets, we encourage you to visit the Market Commentary section
of our website at www.dreyfus.com. Or, to speak with a customer service
representative, call us at 1-800-782-6620.
Thank you for investing in Dreyfus International Stock Index Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
November 15, 2000
2
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, 2000, the fund produced a total return
of -4.09%.(1) This compares with a -2.90% total return for the fund's benchmark,
the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI
EAFE) Free Index, for the same period.(2)
We attribute the fund's relative underperformance to changes in the composition
of the MSCI EAFE Free Index that occurred during the reporting period as well as
the transaction costs that are associated with such Index changes.
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, France, Japan, Hong Kong, Singapore, Australia and New Zealand.
Weighted by market capitalization (the total value of all shares outstanding in
a country' s stock market) , approximately 73% 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 is diversified among industry groups,
as those groups are represented in individual country markets.
In order to simplify management and control costs, the fund attempts to match
the Index' s return, not to duplicate its composition. Our carefully created
sample attempts to match index weightings at the 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 25% of the Index,
The Fund 3
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
then approximately 25% 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 market value in
the British subindex is comprised of financial services 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?
Several events had an impact on the fund's performance during the reporting
period. First, the MSCI EAFE Free Index was restructured three times during the
reporting period, resulting in more than 130 companies being moved in or out of
the Index. Each change in the Index composition required a rebalancing of fund
holdings, which created transaction costs and ultimately decreased our return.
Second, a spike in international merger and acquisition activity also created
transaction costs, as acquired companies were deleted from the Index and the
fund' s portfolio was rebalanced to reflect this change.
These Index-related events occurred against a somewhat unsettled backdrop in
global stock markets. In an increasingly interconnected global market, the rally
in the U.S. stock market, its subsequent stumble and ongoing volatility greatly
affected the equity markets abroad -- markets in which the fund invests. The
most significant factor affecting international stock performance, when measured
in U.S. dollar terms, was the dollar's strength. Over the reporting period, the
euro lost approximately 20% of its value versus the dollar and the pound lost
nearly 12%, while the yen declined by roughly 4%.
Several of the individual markets included in the Index advanced sharply,
including Finland, which rose 25.3%, and Sweden, which showed an 11.1% increase.
On the other hand, a number of markets performed poorly, including New Zealand
(-30.1% ), Belgium (-18.1% ), Austria (-14.5% ) and Ireland (-13.7% )
What is the fund's current strategy?
Many investors have come to view international investing as a means to improve
diversification and seek opportunities for growth outside the United States. We
believe that an investment in an index fund such as 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 plan 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, 2000
(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 -- REFLECTS REINVESTMENT OF
NET DIVIDENDS AND, WHERE APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE MORGAN
STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST (MSCI EAFE)
FREE INDEX IS AN UNMANAGED INDEX COMPOSED OF A SAMPLE OF COMPANIES
REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND PACIFIC BASIN
COUNTRIES. THE INDEX REFLECTS ACTUAL INVESTABLE OPPORTUNITIES FOR GLOBAL
INVESTORS FOR STOCKS THAT ARE FREE OF FOREIGN OWNERSHIP LIMITS OR LEGAL
RESTRICTIONS AT THE COUNTRY LEVEL.
The Fund 4
FUND PERFORMANCE
Comparison of change in value of $10,000 investment Dreyfus International Stock
Index Fund and the Morgan Stanley Capital International Europe, Australasia, Far
East (EAFE((reg.tm))) Free Index
--------------------------------------------------------------------------------
Average Annual Total Returns AS OF 10/31/00
<TABLE>
<CAPTION>
Inception From
Date 1 Year Inception
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FUND 6/30/97 (4.09%) 4.69%
</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 $10,000 INVESTMENT MADE IN THE
MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST (EAFE(reg.tm)
) FREE INDEX ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS ARE
REINVESTED.
THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE
FEES AND EXPENSES. THE MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE,
AUSTRALASIA, FAR EAST (EAFE(reg.tm)) FREE INDEX IS AN UNMANAGED INDEX COMPOSED
OF A SAMPLE OF COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND
PACIFIC BASIN COUNTRIES AND INCLUDES NET DIVIDENDS REINVESTED. THE INDEX
REFLECTS ACTUAL INVESTABLE OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT
ARE FREE OF FOREIGN OWNERSHIP LIMITS OR LEGAL RESTRICTIONS AT THE SECURITY OR
COUNTRY LEVEL. THE INDEX DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER
EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION
OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
6
STATEMENT OF INVESTMENTS
October 31, 2000
<TABLE>
<CAPTION>
COMMON STOCKS--90.9% Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--2.3%
<S> <C> <C>
AMP 5,963 53,736
AMP Diversified Property Trust (Units) 3,900 4,770
Amcor 1,500 4,159
Aristocrat Leisure 4,150 12,968
Australian Gas Light 2,500 15,208
Brambles Industries 1,130 29,290
British American Tobacco Australasia 650 4,336
Broken Hill Proprietary 9,400 91,089
CSL 600 10,670
CSR 11,900 24,364
Coca-Cola Amatil 5,101 10,380
Coles Myer 7,178 26,000
Commonwealth Bank of Australia 6,625 98,560
Computershare 3,800 16,443
David Jones 22,500 15,274
Delta Gold 4,600 (a) 2,288
FH Faulding & Co. 3,300 17,443
Foster's Brewing 11,600 26,269
General Property Trust (Units) 6,052 7,903
Howard Smith 1,839 7,719
Iluka Resources 4,328 9,038
Leighton 5,300 18,377
Lend Lease 2,501 29,271
M.I.M. 14,926 8,276
National Australia Bank 8,941 124,297
Newcrest Mining 3,220 6,341
News 12,160 127,160
Normandy Mining 12,987 6,259
OneSteel 2,350 1,120
Orica 4,810 14,457
PaperlinX 500 855
QBE Insurance 3,563 16,432
Rio Tinto 1,609 22,080
Santos 2,200 7,000
Sons of Gwalia 840 2,607
Southcorp 1,524 3,936
Stockland Trust (Units) 2,678 5,204
The Fund 7
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA (CONTINUED)
Suncorp-Metway 3,000 15,235
TABCORP 800 4,348
Telstra 46,667 152,255
WMC 6,280 24,000
Wesfarmers 2,939 22,432
Westfield Trust (Units) 10,654 17,164
Westpac Banking 8,682 59,270
Woolworths 7,882 31,393
1,207,676
AUSTRIA--.2%
Austria Tabakwerke 200 9,154
BBAG Oesterreichische Brau-Beteiligurgs 400 14,748
Bank Austria 705 37,665
Bau Holding Strabag 150 3,801
Generali Holding Vienna 50 7,311
Lenzing 180 11,443
Mayr-Melnhof Karton 115 4,459
Oesterreichische Elektrizitaetswirtschafts, Cl. A 190 15,294
RHI 350 7,417
VA Technologie 350 14,151
125,443
BELGIUM--.8%
Barco 140 15,687
Bekaert 240 9,665
Colruyt 120 4,622
Compagnie Maritime Belge 150 9,663
Delhaize Le Lion 270 12,358
Electrabel 318 68,769
Fortis (B) 4,022 123,067
Glaverbel 125 8,476
Groupe Bruxelles Lambert 110 25,174
KBC Bancassurance 1,890 77,773
S.A. D'Ieteren 70 15,026
Solvay 500 25,428
UCB 625 22,250
8
417,958
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
DENMARK--.9%
A/S Dampskibsselskabet Svenborg, Cl. B 4 52,841
Bang & Olufsen, Cl. B 100 4,874
Carlsberg, Cl. A 440 19,041
D/S 1912, Cl. B 7 67,209
Danisco 467 18,454
Danske Bank 290 41,942
Group 4 Falck 120 14,622
ISS 290 17,834
NKT 100 23,630
Navision Software 100 2,733
Novo Nordisk, Cl. B 425 90,025
Radiometer, Cl. B 100 2,414
Tele Danmark 1,210 57,185
Vestas Wind Systems 700 37,865
William Demant 600 28,698
479,367
FINLAND--2.3%
Finnlines 175 2,863
Hartwall 500 8,645
Kesko, Cl. B 690 5,761
Kone, Cl. B 190 11,112
Metso 1,110 8,467
Nokia 24,398 1,002,761
Pohjola Group Insurance 115 4,152
Raisio 650 981
Sampo Insurance 225 9,154
Sonera 4,035 88,785
Stockmann, Cl. B 600 6,459
TietoEnator 350 6,719
UPM-Kymmene 1,390 39,292
1,195,151
FRANCE--10.1%
Accor 1,015 41,037
Air Liquide 506 59,744
Alcatel 5,930 361,389
Aventis 4,247 306,004
The Fund 9
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
FRANCE (CONTINUED)
Axa 2,029 267,711
BNP Paribas 2,323 200,048
Bouygues 1,800 91,541
CPR 200 9,832
Canal Plus 640 92,490
Cap Gemini 702 111,955
Carrefour 3,339 223,864
Club Mediterranee 150 11,824
Coflexip 100 11,570
Compagnie de Saint-Gobain 451 59,595
Compagnie Francaise d'Etudes et de Construction 120 15,338
Compagnie Generale des Etablissements Michelin, Cl. B 612 17,689
Danone 780 108,954
Dassault Systemes 630 47,979
Eridania Beghin-Say 139 10,680
Essilor International 50 11,993
Establissments Economiques du Casino Guichard- Perrachon 505 44,045
France Telecom 5,344 558,645
Imerys 80 7,900
L'Oreal 3,420 260,891
LVMH 2,570 187,336
Lafarge 585 43,139
Lagardere S.C.A. 755 42,812
Nord-Est 200 4,507
PSA Peugeot Citroen 217 39,913
Pechiney, Cl. A 430 16,036
Pernod Ricard 300 13,731
Pinault-Printemps-Redoute 615 109,623
Publicis 1,010 33,002
STMicroelectronic 4,910 246,883
Sagem 180 32,955
Sanofi-Synthelabo 4,053 213,070
Schneider Electric 830 53,994
Sidel 147 7,719
Simco 120 7,425
Societe BIC 250 8,656
Societe Eurafrance 34 20,418
10
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
FRANCE (CONTINUED)
Societe Generale, Cl. A 2,170 123,049
Sodexho Alliance 200 31,276
Suez Lyonnaise des Eaux 1,018 155,081
Thomson CSF 891 39,951
Total Fina Elf 3,336 476,732
Total Fina Elf- VVPR Strips 1,008 8
Total Fina Elf, Cl. B 358 50,887
Unibail 50 6,654
Usinor 2,565 26,983
Valeo 405 17,610
Vinci 500 25,110
Vivendi 2,906 208,627
Zodiac 80 16,003
5,191,908
GERMANY--7.3%
AGIV 630 5,895
Adidas-Salomon 230 10,576
Allianz 1,186 402,604
BASF 3,206 126,088
Bayer 3,775 163,504
Bayerische Hpyo-und Vereinsbank 2,266 124,267
Beiersdorf 555 54,568
Bilfinger & Berger Bau 220 2,322
Buderus 390 7,421
Continental 600 9,129
DaimlerChrysler 5,016 231,072
Deutsche Bank 2,891 237,690
Deutsche Lufthansa 1,924 37,997
Deutsche Telekom 15,400 574,986
Dresdner Bank 2,610 108,289
E.ON 3,642 184,909
EM.TV & Merchandising 730 21,966
Fresenius Medical Care 500 39,837
Gehe 400 14,477
HOLSTEN-BRAUEREI 600 10,858
Heidelberger Zement 520 24,770
Hochtief 650 13,994
The Fund 11
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
IWKA 500 5,467
Kamps 600 9,408
KarstadtQuelle 530 17,408
Linde 533 23,266
MAN 850 22,406
Merck KGaA 1,050 40,005
Metro 1,643 66,149
Muenchener Rueckversicherungs-Gesellschaft 940 296,389
Preussag 895 29,130
RWE 2,836 113,940
SAP 1,034 169,061
SGL Carbon 155 9,433
Schering 930 51,789
Siemens 2,935 373,156
ThyssenKrupp 2,450 35,095
Volkswagen 1,630 81,376
WCM Beteiligungs--und Grundbesitz 880 17,528
3,768,225
HONG KONG--2.0%
Bank of East Asia 4,650 10,523
CLP 11,740 54,793
Cathay Pacific Airways 18,000 32,658
Hang Lung Development 24,000 21,541
Hang Seng Bank 10,900 128,230
Henderson Land Development 7,000 30,157
Hong Kong & China Gas 23,795 30,052
Hutchison Whampoa 22,800 282,841
Hysan Development 9,000 11,367
Johnson Electric 20,000 39,748
Li & Fung 16,000 29,747
New World Development 14,708 17,444
Pacific Century CyberWorks 85,039 (a) 65,422
Shangri-La Asia 20,000 19,746
Sino Land 38,664 17,227
South China Morning Post 18,000 12,348
Sun Hung Kai Properties 14,384 118,958
Swire Pacific, Cl. A 10,000 61,674
12
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
HONG KONG (CONTINUED)
Television Broadcasts 3,000 16,425
Wharf 11,171 22,774
1,023,675
IRELAND--.4%
Allied Irish Banks 5,401 54,935
CRH 1,891 28,658
eircom 14,500 40,839
Fyffes 5,063 3,734
Independent News & Media 4,200 12,994
Irish Continental 800 4,408
Irish Life & Permanent 1,200 12,012
Jefferson Smurfit 8,300 14,774
Kerry 1,500 18,702
Ryanair 1,200 9,408
200,464
ITALY--4.4%
Alitalia 5,500 (a) 9,254
Assicurazioni Generali 6,582 216,183
Autogrill 1,700 18,775
Banca di Roma 30,000 31,531
Banca Intesa 29,115 120,667
Banca Intesa (RNC) 9,712 23,411
Banca Populare di Milano 3,200 19,990
Benetton 17,300 31,380
Bulgari 2,300 26,942
ENI 43,200 232,147
Enel 40,540 149,130
Fiat 2,385 55,127
Italcementi 1,565 12,403
Italgas 2,836 11,658
La Rinascente 3,900 19,966
Mediaset 6,365 92,632
Mediobanca 4,444 49,080
Mondadori (Arnoldo) Editore 1,400 16,174
Olivetti 29,440 90,081
Parmalat Finanziaria 14,050 20,423
Pirelli 12,500 36,659
The Fund 13
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
ITALY (CONTINUED)
Riunione Adriatica di Sicurta 3,740 48,755
San Paolo-IMI 7,513 121,311
Snia 7,800 16,131
Societa Assicuratrice Industriale 250 4,217
Telecom Italia 19,950 232,000
Telecom Italia (RNC) 9,020 47,974
Telecom Italia Mobile 37,411 320,584
Telecom Italia Mobile (RNC) 4,100 22,338
UniCredito Italiano 30,092 153,613
2,250,536
JAPAN--22.7%
ACOM 700 56,608
ADVANTEST 600 78,194
ALPS ELECTRIC 1,000 19,782
AMADA 2,000 15,569
AOYAMA TRADING 200 1,630
ASAHI BREWERIES 2,000 19,745
ASAHI CHEMICAL INDUSTRY 7,900 48,909
ASATSU-DK 300 7,995
Ajinomoto 2,800 31,285
Asahi Bank 13,000 51,195
Asahi Glass 5,800 59,493
BANK OF FUKUOKA 3,000 14,727
BRIDGESTONE 4,400 43,601
Bank of Tokyo-Mitsubishi 23,620 283,163
Bank of Yokohama 7,000 34,298
Benesse 500 27,475
CANON 4,100 162,588
CASIO COMPUTER 2,000 20,148
CHUGAI PHARMACEUTICAL 1,400 23,746
CSK 200 2,729
Central Japan Railway 11 66,993
Chuo Mitsui Trust and Banking 4,380 13,358
Citizen Watch 2,000 19,617
Credit Saison 500 10,578
DAI NIPPON PRINTING 3,800 59,511
DAIDO STEEL 200 551
14
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
DAIICHI PHARMACEUTICAL 1,000 28,391
DAIKIN INDUSTRIES 1,000 19,324
DAIKYO 2,000 (a) 3,297
DAINIPPON INK AND CHEMICALS 4,000 12,932
DAITO TRUST CONSTRUCTION 1,100 18,536
DENKI KAGAKU KOUGYO KABUSHIKI KAISHA 600 2,154
DENSO 5,000 114,021
Daiei 4,000 6,814
Daiwa Bank 13,000 26,431
Daiwa House Industry 2,400 15,056
Daiwa Securities 7,000 77,507
EBARA 1,000 15,523
East Japan Railway 19 109,103
Eisai 2,000 61,544
FANUC 1,200 108,078
FUJI MACHINE MANUFACTURING 200 5,458
FUJI SOFT ABC 200 13,151
FUJITSU 9,800 174,478
Fuji Photo Film 2,200 81,601
Fuji Television Network 2 21,980
Fujikura 3,000 26,431
Furukawa Electric 3,000 78,853
Gunma Bank 4,000 20,332
HIROSE ELECTRIC 200 23,079
HONDA MOTOR 5,400 186,446
HOUSE FOODS 1,220 15,977
HOYA 900 74,347
Hitachi 17,900 191,803
Hokuriku Bank 4,000 (a) 8,719
ITOCHU 6,500 (a) 27,681
ITO-YOKADO 2,000 90,301
Isetan 1,000 8,490
Ishikawajima-Harima Heavy Industries 11,000 20,350
JAPAN AIRLINES 9,600 38,421
JAPAN ENERGY 600 797
JAPAN TOBACCO 11 75,556
JUSCO 2,000 37,549
The Fund 15
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Joyo Bank 4,462 15,242
KADOKAWA SHOTEN PUBLISHING 200 6,557
KAJIMA 7,800 20,288
KANDENKO 105 514
KANEKA 3,000 29,124
KINDEN 3,000 19,645
KIRIN BREWERY 6,000 62,533
KOKUYO 1,000 15,386
KOMATSU 4,600 20,390
KONAMI 600 50,554
KONICA 2,000 15,441
KUBOTA 9,000 30,250
KYOCERA 1,000 130,049
KYOWA HAKKO KOGYO 2,000 15,990
Kamigumi 400 1,832
Kansai Electric Power 5,899 96,543
Kao 3,000 89,843
Kawasaki Heavy Industries 15,000 (a) 15,523
Kawasaki Steel 19,600 19,207
Kinki Nippon Railway 7,995 34,634
Kuraray 2,000 18,775
Kurita Water Industries 1,000 16,256
MAEDA ROAD CONSTRUCTION 200 852
MARUHA 400 451
MARUI 2,000 29,490
MEITEC 500 20,973
MINEBEA 2,000 19,965
MITSUBISHI GAS CHEMICAL 5,000 15,750
MITSUBISHI MATERIALS 4,000 11,759
MITSUI & CO 8,400 55,774
MURATA MANUFACTURING 1,200 143,530
MYCAL 1,000 2,308
Marubeni 9,000 (a) 21,018
Matsushita Electric Industrial 10,400 301,932
Meiji Seika Kaisha 2,000 11,631
Mitsubishi 7,000 57,698
Mitsubishi Chemical 9,200 29,067
16
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Mitsubishi Electric 10,000 71,801
Mitsubishi Estate 6,000 63,742
Mitsubishi Heavy Industries 20,700 80,381
Mitsubishi Rayon 4,000 14,301
Mitsubishi Trust & Banking 7,200 58,357
Mitsui Fudosan 4,000 48,429
Mitsui Marine & Fire Insurance 5,600 28,413
Mitsui Mining & Smelting 3,000 25,277
Mitsukoshi 3,000 (a) 10,688
Mizuho 53 408,013
NAMCO 200 5,165
NEC 8,800 168,341
NGK INSULATORS 3,000 39,701
NGK SPARK PLUG 2,000 30,754
NIDEC 300 18,381
NIKON 1,600 23,240
NIPON MEAT PACKERS 1,000 12,675
NIPPON MITSUBISHI OIL 6,800 36,556
NIPPON STEEL 37,100 60,140
NIPPON TELEGRAPH AND TELEPHONE 69 627,832
NISSAN MOTOR 20,000 (a) 137,192
NISSHIN FLOUR MILLING 2,000 19,269
NITTO DENKO 1,000 33,794
NSK 3,000 21,595
NTN 4,000 11,356
Nintendo 700 115,716
Nippon COMSYS 1,000 19,233
Nippon Express 5,000 29,994
Nippon Light Metal 400 315
Nippon Paper Industries 6,000 34,179
Nippon Sheet Glass 2,000 30,406
Nippon Yusen Kabushiki Kaisha 6,800 31,886
Nissin Food Products 700 18,367
Nomura Securities 10,000 212,016
OBAYASHI 6,000 24,837
OJI PAPER 5,000 29,078
OLYMPUS OPTICAL 1,000 13,811
The Fund 17
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
OMRON 2,000 49,272
ONWARD KASHIYAMA 1,000 7,418
ORIENTAL LAND 500 30,223
ORIX 440 46,140
OSAKA GAS 9,000 22,172
Orient 2,000 (a) 3,205
PIONEER 1,000 30,955
Promise 700 52,505
ROHM 700 176,362
SANKYO 2,000 44,052
SANYO ELECTRIC 10,000 76,014
SECOM 1,500 107,280
SEGA 300 (a) 2,129
SHIMAMURA 200 15,166
SHIMANO 800 16,082
SHIMIZU 3,000 8,188
SHIZUOKA BANK 4,400 39,934
SHOWA SHELL SEKIYU 4,000 20,112
SKYLARK 1,000 35,260
SMC 400 56,562
SOFTBANK 1,800 107,977
SONY 4,780 382,227
SUMITOMO 5,000 43,960
SUMITOMO CHEMICAL 7,000 34,490
Sakura Bank 21,600 157,267
Sanrio 600 8,792
Sanwa Shutter 200 474
Seino Transportation 1,000 4,634
Sekisui Chemical 1,000 2,885
Sekisui House 3,000 31,706
77 Bank 1,000 7,400
Sharp 6,000 76,381
Shin-Etsu Chemical 2,000 82,059
Shionogi & Co. 2,000 39,015
Shiseido 2,000 25,827
Showa Denko 10,000 (a) 11,906
Snow Brand Milk Products 500 1,813
18
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Sumitomo Bank 16,307 197,766
Sumitomo Electric Industries 3,800 70,125
Sumitomo Marine & Fire Insurance 4,000 24,398
Sumitomo Metal Industries 19,000 10,441
Sumitomo Metal Mining 3,000 15,468
Sumitomo Osaka Cement 4,000 17,034
TAIHEIYO CEMENT 4,000 6,228
TAISHO PHARMACEUTICAL 2,000 57,514
TAKARA SHUZO 1,000 16,842
TAKEFUJI 800 79,128
TEIJIN 3,000 13,573
TERUMO 1,000 28,299
TOHO 100 14,406
TOKYO BROADCASTING SYSTEM 1,000 39,106
TOKYO DOME 1,000 (a) 4,195
TOKYO GAS 25,000 65,253
TOKYU 4,820 24,897
TOPPAN PRINTING 4,000 35,315
TORAY INDUSTRIES 7,000 27,246
TOSHIBA 17,000 121,784
TOSOH 3,000 9,122
TOSTEM 1,000 14,562
TOTO 4,000 30,332
TOYO SEIKAN KAISHA 1,000 16,943
TOYOBO 200 333
TRANS COSMOS 100 7,226
Taiyo Yuden 1,100 42,009
Takashimaya 1,000 7,299
Takeda Chemical Industries 5,000 329,243
Tohoku Electric Power 2,100 28,272
Tokai Bank 12,800 68,401
Tokio Marine & Fire Insurance 7,800 86,151
Tokyo Electric Power 6,772 164,258
Tokyo Electron 1,000 78,212
Toyota Motor 19,414 775,272
UNI-CHARM 300 12,831
UNY 1,000 12,254
The Fund 19
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Ube Industries 600 1,209
WACOAL 2,000 17,053
WORLD 300 11,155
YAKULT HONSHA 1,000 11,393
YAMAHA 1,000 8,609
YAMATO TRANSPORT 2,400 48,466
YAMAZAKI BAKING 1,000 7,491
YOKOGAWA ELECTRIC 2,900 22,734
Yamanouchi Pharmaceutical 2,000 90,484
11,704,180
NETHERLANDS--5.2%
ABN AMRO 8,408 194,557
ASM Lithography 2,380 64,977
Aegon 7,686 305,179
Akzo Nobel 1,662 75,577
Buhrmann 506 13,810
Elsevier 3,650 46,561
Getronics 1,809 20,316
Hagemeyer 415 9,796
Heineken 1,862 101,007
IHC Caland 196 8,639
ING Groep 4,837 331,759
KLM Royal Dutch Airlines 288 (a) 5,248
Koninklijke Ahold 4,004 116,170
Koninklijke (Royal) KPN 5,834 118,818
Koninklijke (Royal) Philips Electronics 6,664 261,578
Koninklijke Vopak 578 11,023
Nedlloyd 502 9,318
Oce 1,000 14,876
Royal Dutch Petroleum 11,691 692,870
Stork 443 4,957
TNT Post 2,808 59,406
Unilever 3,171 158,845
Vedior 722 10,740
Wolters Kluwer 1,715 38,550
2,674,577
20
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND--.1%
Carter Holt Harvey 15,900 10,539
Fisher & Paykel Industries 7,650 21,861
Fletcher Challenger Energy 5,200 17,027
Telecom Corporation of New Zealand 6,128 13,572
62,999
NORWAY--.4%
Christiania Bank Og Kreditkasse 3,100 16,133
Den Norske Bank 5,900 25,565
Kvaerner 634 6,237
Leif Hoegh & Co. 1,450 13,564
Norsk Hydro 1,450 57,529
Norske Skogindustrier 500 18,010
Orkla 1,414 25,466
Petroleum Geo-Services 400 5,505
SAS Norge Cl. B 1,030 8,749
Schibsted 460 6,974
Storebrand 800 5,591
Tomra Systems 625 25,066
214,389
PORTUGAL--.5%
BPI-SGPS 3,620 11,752
Banco Comercial Portugues 11,345 56,638
Banco Espirito Santo 646 9,801
Brisa-Auto Estradas de Portugal 1,000 7,722
CIMPOR-Cimentos de Portugal 889 19,818
Electricidade de Portugal 15,400 41,770
Jeronimo Martins 533 5,132
Portugal Telecom 5,695 50,684
Sonae SGPS 18,560 22,496
Sonae SGPS (Bonus Shs) 9,000 10,527
236,340
SINGAPORE--1.0%
Chartered Semiconductor Manufacturing 6,000 25,976
City Developments 5,000 23,070
Creative Technology 500 8,117
Cycle & Carriage 4,000 7,292
The Fund 21
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
SINGAPORE (CONTINUED)
DBS 8,059 94,932
DBS Land 11,000 16,730
First Capital 9,000 7,280
Fraser & Neave 3,000 10,424
Keppel 3,500 6,978
Oversea-Chinese Banking 7,143 45,572
SembCorp Industries 8,037 7,737
Singapore Airlines 7,000 70,179
Singapore Press 1,900 27,166
Singapore Technology Engineering 15,000 24,181
Singapore Telecommunications 38,900 64,483
United Overseas Bank 6,112 45,261
Venture Manufacturing 1,000 9,684
495,062
SPAIN--2.8%
ACS 350 7,651
Acerinox 370 10,283
Altadis 2,070 30,967
Autopistas, Concesionaria Espanola 729 5,536
Azucarera Ebro Agricolas 1,300 15,812
Banco Bilbao Vizcaya Argentaria 16,448 218,879
Banco Santander Cental Hispano 24,001 232,309
Corporacion Financiera Alba 410 10,425
Corporacion Mapfre 900 15,829
Empresa Nacional de Electricidad 5,943 96,716
Fomento de Construcciones y Contratas 1,231 22,590
Gas Natural SDG 2,260 38,695
Grupo Dragados 2,040 19,798
Iberdrola 4,700 57,405
Portland Valderrivas 200 3,475
Puleva 10,000 14,833
Repsol-YPF 6,200 98,376
Sociedad General de Aguas de Barcelona 1,860 (a) 22,860
Sol Melia 1,000 9,137
Telefonica 23,189 (a) 441,836
TelePizza 1,650 6,307
22
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
SPAIN (CONTINUED)
Union Electrica Fenosa 1,650 30,474
Uralita 1,090 5,710
Vallehermoso 2,870 16,226
Zardoya Otis 2,300 17,448
Zardoya Otis (Bonus) 2,300 1,677
1,451,254
SWEDEN--2.8%
AssiDoman 1,100 18,608
AssiDoman (Rights) 1,100 346
Atlas Copco, Cl. A 600 12,695
Atlas Copco, Cl. B 500 10,304
Drott, Cl. B 600 7,036
Electrolux, Cl. B 2,700 33,952
Esselte, Cl. B 1,845 9,483
ForeningsSparbanken 3,575 51,159
Gambro, Cl. A 2,332 18,270
Hennes & Mauritz, Cl. B 5,100 95,114
NetCom, Cl. B 950 (a) 44,466
Nordic Baltic 16,852 126,138
OM Gruppen 550 19,596
SAPA 500 6,986
SKF, Cl. A 500 6,811
SSAB Svenskt Stal, Cl. A 400 3,233
SSAB Svenskt Stal, Cl. B 400 3,154
Sandvik 1,600 35,209
Securitas, Cl. B 1,820 38,689
Skandia Forsakrings 5,590 94,561
Skandinaviska Enskilda Banken, Cl. A 3,620 42,631
Skanska, Cl. B 600 23,713
Svenska Cellulosa, Cl. B 1,583 32,387
Svenska Handelsbanken, Cl. A 4,100 64,241
Swedish Match 3,700 12,666
Telefonaktiebolaget LM Ericsson, Cl. B 40,360 535,718
Telia 8,200 50,738
Trelleborg 2,600 14,531
Volvo, Cl. A 1,080 16,168
The Fund 23
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
SWEDEN (CONTINUED)
Volvo, Cl. B 1,125 17,290
WM-Data, Cl. B 1,675 5,817
1,451,710
SWITZERLAND--5.7%
ABB 1,719 152,722
Adecco 93 64,289
Credit Suisse 1,430 268,011
Georg Fischer 25 6,785
Givaudan 43 10,307
Holderbank Financiere Glarus 57 16,769
Holderbank Financiere Glarus, Cl. B 49 51,315
Jelmoli 25 6,396
Kuoni Reisen 30 12,847
Lonza 28 13,423
Moevenpick 15 6,916
Nestle 213 441,296
Novartis 383 580,859
Roche Holding AG-Genusss 36 328,747
Roche Holding (Bearer) 9 97,228
SAirGroup 60 8,108
SGS Societe Generale de Surveillance 7 8,565
Schindler (Part. Cert) 5 7,594
Schindler (Reg'd) 5 7,299
Sulzer 20 12,914
Swatch (Bearer) 13 17,207
Swatch (Reg'd) 112 30,459
Swiss Re 76 149,836
Swisscom 410 104,090
UBS 2,358 326,181
Valora 39 7,927
Zurich Financial Services 448 217,172
2,955,262
UNITED KINGDOM--19.0%
AMEC 723 3,060
ARM 4,650 (a) 45,915
AWG 2,569 (a) 22,233
AWG (Red Shs) 796,390 1,156
24
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Abbey National 7,191 99,304
Airtours 3,090 8,750
Amvescap 4,000 89,449
AstraZeneca 9,099 426,505
BAA 5,951 49,515
BAE SYSTEMS 14,581 82,893
BBA 2,581 14,186
BG 17,653 70,750
BOC 3,173 43,772
BP Amoco 115,513 980,419
Barclays 7,595 217,486
Barratt Developments 2,000 8,291
Bass 3,753 36,758
Berkeley 500 4,665
Blue Circle Industries 4,531 27,700
Boots 6,113 48,822
British Airways 5,850 26,164
British America Tobacco 10,649 74,688
British Land 2,700 16,153
British Sky Broadcasting 9,306 (a) 134,457
British Telecommunications 32,783 384,642
Bunzl 1,523 8,725
CGNU 11,497 153,926
Cadbury Schweppes 10,476 64,804
Canary Wharf Finance 2,500 (a) 19,531
Capita 3,000 22,871
Carlton Communications 2,378 19,165
Celltech 1,220 (a) 24,270
Centrica 21,265 73,183
Corus 13,280 11,956
De La Rue 850 4,271
Diageo 17,791 168,052
Dixons 8,253 24,568
EMI 3,700 27,723
Electrocomponents 1,300 12,988
Exel 1,660 28,420
FKI 3,110 8,050
The Fund 25
STATEMENT OF INVESTMENTS (CONTINUED)
COMMON STOCKS (CONTINUED) Shares Value ($)
-----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
GKN 3,850 44,166
Glaxo Wellcome 18,565 534,851
Granada Compass 11,320 (a) 97,640
Great Portland Estates 3,000 11,305
Great Universal Stores 4,560 31,519
HSBC 47,501 677,346
Halifax 13,525 106,447
Hammerson 3,200 19,144
Hanson 3,577 18,881
Hays 9,570 52,286
Hepworth 1,500 4,846
Hilton 6,299 17,516
Imperial Chemical Industries 3,842 23,543
International Power 6,403 25,848
Invensys 18,527 44,256
Johnson Matthey 1,280 19,981
Kingfisher 7,501 44,876
LASMO 6,000 (a) 12,764
Land Securities 3,509 36,177
Lattice 17,653 37,682
Legal & General 28,440 70,826
Lloyds TSB 28,574 291,276
Logica 2,557 75,708
London Bridge Software 900 8,338
Marconi 13,961 176,373
Marks & Spencer 13,845 38,600
Misys 3,071 32,018
National Grid 7,435 64,508
Nycomed Amersham 2,590 23,205
P & O Princess Cruises 3,073 (a) 12,082
Pearson 5,463 146,634
Peninsular and Oriental Steam Navigation 3,073 12,673
Pilkington 4,039 5,762
Provident Financial 1,800 22,975
Prudential 9,070 122,091
Psion 2,540 15,380
RMC 1,500 13,330
26
COMMON STOCKS (CONTINUED) Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
Railtrack 2,713 41,996
Rank 2,061 5,118
Reed International 6,090 56,332
Rentokil Initial 11,600 26,783
Reuters 8,043 156,853
Rexam 4,000 13,534
Rio Tinto 5,429 87,900
Rolls-Royce 60 156
Royal Bank Of Scotland 13,464 302,455
SEMA 2,970 37,521
SSL International 1,900 22,003
Sage 6,725 49,120
Sainsbury (J.) 11,750 66,073
Schroders 1,915 34,676
ScottishPower 8,837 66,407
Slough Estates 1,200 6,430
Smith & Nephew 4,499 18,488
SmithKline Beecham 28,930 373,882
Smiths Industries 1,650 17,682
Stagecoach 3,826 3,833
TI 2,000 10,804
Tate & Lyle 2,500 8,005
Tesco 37,337 142,958
Thames Water 1,619 28,399
3i 2,713 61,654
Unilever 16,833 113,966
Uniq 1,584 4,715
United Utilities 3,390 34,114
Vodafone 315,988 1,315,741
WPP 5,230 70,249
Williams 4,150 19,887
Wimpey (George) 4,000 8,713
Wolseley 2,411 13,339
9,802,875
TOTAL COMMON STOCKS
(cost $43,538,891) 46,909,051
The Fund 27
STATEMENT OF INVESTMENTS (CONTINUED)
PREFERRED STOCKS--.5% Shares Value ($)
------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--.2%
News 11,330 101,572
GERMANY--.3%
MAN 250 5,106
Metro 185 4,868
RWE 214 6,711
SAP 693 140,093
Volkswagen 990 27,769
184,547
TOTAL PREFERRED STOCK
(cost $241,960) 286,119
------------------------------------------------------------------------------------------------------------------------------------
Principal
SHORT-TERM INVESTMENTS--9.0% Amount ($) Value ($)
------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS:
5.92%, 11/2/2000 101,000 100,983
6.12%, 11/9/2000 232,000 231,691
6.23%, 11/16/2000 101,000 100,750
6.135%, 11/30/2000 202,000 201,038
6.02%, 12/07/2000 100,000 99,393
5.94%, 12/14/2000 300,000 (b) 297,831
5.95%, 12/21/2000 1,618,000 1,603,745
6.065%, 1/11/2001 1,014,000 1,001,741
6.065%, 1/18/2001 1,015,000 1,001,470
TOTAL SHORT-TERM INVESTMENTS
(cost $4,639,431) 4,638,642
------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (cost $48,420,282) 100.4% 51,833,812
LIABILITIES, LESS CASH AND RECEIVABLES (.4%) (215,085)
NET ASSETS 100.0% 51,618,727
(A) NON-INCOME PRODUCING.
(B) HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL
FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
28
STATEMENT OF FINANCIAL FUTURES
October 31, 2000
<TABLE>
<CAPTION>
Unrealized
Market Value Appreciation
Covered by (Depreciation)
Contracts Contracts ($) Expiration at 10/31/2000 ($)
------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL FUTURES LONG:
<S> <C> <C> <C> <C>
CAC 40 7 396,327 December 2000 9,471
DAX 30 2 304,458 December 2000 9,122
DJ Euro Stoxx 50 36 1,550,025 December 2000 26,940
Financial Times 100 7 649,395 December 2000 (4,070)
Nikkei 300 54 1,386,056 December 2000 (66,085)
(24,622)
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund 29
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2000
Cost Value
-------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of Investments 48,420,282 51,833,812
Cash 202,170
Cash denominated in foreign currencies 144,858 141,296
Receivable for shares of Common Stock subscribed 246,618
Dividends receivable 100,915
Receivable for futures variation margin--Note 4(a) 33,144
Receivable for investment securities sold 7,476
52,565,431
-------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 25,060
Payable for investment securities purchased 774,928
Payable for shares of Common Stock redeemed 16,561
Net unrealized (depreciation) on forward currency
exchange contracts--Note 4(a) 130,155
946,704
-------------------------------------------------------------------------------
NET ASSETS ($) 51,618,727
-------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 48,813,477
Accumulated undistributed investment income-net 90,771
Accumulated net realized gain (loss) on investments (532,613)
Accumulated net unrealized appreciation (depreciation)
on investments and foreign currency transactions
[including ($24,622) net unrealized (depreciation) on
financial futures] 3,247,092
--------------------------------------------------------------------------------
NET ASSETS ($) 51,618,727
--------------------------------------------------------------------------------
SHARES OUTSTANDING
(200 million shares of $.001 par value Common Stock authorized) 3,640,443
NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($)
14.18
SEE NOTES TO FINANCIAL STATEMENTS.
30
STATEMENT OF OPERATIONS
Year Ended October 31, 2000
--------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INCOME:
Cash dividends (net of $88,538 foreign taxes withheld at source) 658,401
Interest 183,122
TOTAL INCOME 841,523
EXPENSES:
Management fee--Note 3(a) 162,801
Shareholder servicing costs--Note 3(b) 116,286
Loan commitment fees--Note 2 260
TOTAL EXPENSES 279,347
INVESTMENT INCOME--NET 562,176
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments and foreign currency transactions
(78,221)
Net realized gain (loss) on forward currency exchange contracts (610,793)
Net realized gain (loss) on financial futures 38,272
NET REALIZED GAIN (LOSS) (650,742)
Net unrealized appreciation (depreciation) on investments
and foreign currency transactions [including ($66,323)
net unrealized (depreciation) on financial futures] (2,849,580)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (3,500,322)
NET (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS (2,938,146)
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund 31
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31,
-----------------------------------
2000 1999
--------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 562,176 402,537
Net realized gain (loss) on investments (650,742) 53,471
Net unrealized appreciation (depreciation)
on investments (2,849,580) 5,855,033
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (2,938,146) 6,311,041
--------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
INVESTMENT INCOME--NET (454,249) (187,311)
--------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS ($):
Net proceeds from shares sold 62,883,231 16,784,134
Dividends reinvested 421,080 172,143
Cost of shares redeemed (45,797,465) (10,462,407)
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL STOCK TRANSACTIONS 17,506,846 6,493,870
TOTAL INCREASE (DECREASE) IN NET ASSETS 14,114,451 12,617,600
--------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 37,504,276 24,886,676
END OF PERIOD 51,618,727 37,504,276
Undistributed investment income--net 90,771 397,746
--------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 4,018,544 1,206,253
Shares issued for dividends reinvested 26,138 13,031
Shares redeemed (2,913,562) (740,920)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING 1,131,120 478,364
SEE NOTES TO FINANCIAL STATEMENTS.
32
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
<CAPTION>
Year Ended October 31,
-----------------------------------------------------------
2000 1999 1998 1997(a)
-----------------------------------------------------------------------------------------------------------------------------------
PER SHARE DATA ($):
<S> <C> <C> <C> <C>
Net asset value, beginning of period 14.95 12.25 11.27 12.50
Investment Operations:
Investment income--net .19(b) .17(b) .12 .07
Net realized and unrealized
gain (loss) on investments (.78) 2.62 .96 (1.30)
Total from Investment Operations (.59) 2.79 1.08 (1.23)
Distributions:
Dividends from investment income--net (.18) (.09) (.10) --
Net asset value, end of period 14.18 14.95 12.25 11.27
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) (4.09) 22.87 9.68 (9.84)(c)
-----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net assets .60 .60 .60 .20(c)
Ratio of net investment income
to average net assets 1.21 1.27 1.32 .32(c)
Portfolio Turnover Rate 15.32 9.01 22.62 .16(c)
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period ($ x 1,000) 51,619 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.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund 33
NOTES TO FINANCIAL STATEMENTS
NOTE 1--Significant Accounting Policies:
Dreyfus International Stock Index Fund (the "fund" ) is a separate
non-diversified series of Dreyfus Index Funds, Inc. (the "Company") which is
registered under the Investment Company Act of 1940, as amended (the "Act"), as
an open-end management investment company and operates as a series company
currently offering three series including the fund. The fund's investment
objective is to provide investment results that correspond to the net dividend
and total return performance of equity securities of international issuers in
the aggregate, as represented by the Morgan Stanley Capital International
Europe, Australia, Far East (Free) Index. The Dreyfus Corporation ("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. Effective March 22, 2000, Dreyfus Service Corporation ("DSC"), a
wholly-owned subsidiary of the Manager, became the distributor of the fund's
shares, which are sold to the public without a sales charge. Prior to March 22,
2000, Premier Mutual Fund Services, Inc. was the distributor.
The fund' s financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America, which may require
the use of management estimates and assumptions. Actual results could differ
from those estimates.
(A) PORTFOLIO VALUATION: Investments in securities (including financial futures)
are valued at the last sales price on the securities exchange on which such
securities are primarily traded or at the last sales price on the national
securities market. 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.
34
(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 35
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
During the period ended October 31, 2000, as a result of permanent book to tax
differences, the fund decreased accumulated undistributed investment income net
by $414,902 and increased accumulated net realized gain (loss) on investment by
$374,962 and increased paid-in capital by $39,940. Net assets were not affected
by this reclassification.
The fund has an unused capital loss carryover of approximately $253,000
available for Federal income tax purposes, to be applied against future net
securities profits, if any, realized subsequent to October 31, 2000. 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, $27,000 of the carryover 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 at the time of borrowings. During the period ended
October 31, 2000, the fund did not borrow under the Facility.
NOTE 3--Management Fee and Other Transactions With Affiliates:
(A) Pursuant to an Investment Management Agreement ("Agreement") with 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
management fees, brokerage commissions, taxes, commitment fees, interest,
Shareholder Services Plan fees, fees and expenses of
36
non-interested Board members (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 Board
member (including counsel fees). Each Board member also serves as a Board member
of other funds within the Dreyfus complex (collectively, the "Fund Group").
Effective April 25, 2000, each Board member receives an annual fee of $25,000
and an attendance fee of $4,000 for each meeting attended and $500 for telephone
meetings. These fees are allocated among the funds in the Fund Group. The
chairman of the Board receives an additional 25% of such compensation (with the
exception of reimbursable amounts). Prior to April 25, 2000, each Board member
who was not an "affiliated person" as defined in the Act received from the fund
an annual fee of $2,500 and an attendance fee of $500 per meeting. The Chairman
of the Board received an additional 25% of such compensation (with the exception
of reimbursable amounts) . Subject to the fund's Emeritus Program Guidelines,
Emeritus Board members, if any, receive 50% of the fund's annual retainer fee
and per meeting fee paid at the time the Board member achieves emeritus status.
Amounts required to be paid by the Company directly to the non-interested Board
members, that were applied to offset a portion of the management fee payable to
Dreyfus were in fact paid directly by Dreyfus to the non-interested Board
members.
(B) Under the Shareholder Services Plan, the fund pays the distributor for the
provision of certain services, a fee at the annual rate of .25 of 1% of the
value of the fund's average daily net assets. The services provided may include
personal services relating to shareholder accounts, such as answering
shareholder inquiries regarding the fund and providing reports and other
information, and services related to the maintenance of shareholder accounts.
The distributor may make payments to Service Agents (a securities dealer,
financial institution or other industry professional) in respect of these
services. The distributor determines the amounts to be paid to Service Agents.
The Fund 37
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
During the period ended October 31, 2000, the fund was charged $116,286 pursuant
to the Shareholder Services Plan of which $75,934 was paid to DSC.
(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, 2000, redemption fees retained by the fund amounted to $699.
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, 2000, amounted to
$21,627,120 and $6,569,018, respectively.
The fund may enter into forward currency exchange contracts in order to hedge
its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings and to settle foreign currency transactions. When executing
forward currency exchange contracts, the fund is obligated to buy or sell a
foreign currency at a specified rate on a certain date in the future. With
respect to sales of forward currency exchange contracts, the fund would incur a
loss if the value of the contract increases between the date the forward
contract is opened and the date the forward contract is closed. The fund
realizes a gain if the value of the contract decreases between those dates. With
respect to purchases of forward currency exchange contracts, the fund would
incur a loss if the value of the contract decreases between the date the forward
contract is opened and the date the forward contract is closed. The fund
realizes a gain if the value of the contract increases between those dates. The
fund is also exposed to credit risk associated with counter party nonperformance
on these forward currency exchange contracts which is typically limited to the
unrealized gain on each
38
open contract. The following summarizes open forward currency exchange contracts
at October 31, 2000:
<TABLE>
<CAPTION>
FOREIGN UNREALIZED
FORWARD CURRENCY CURRENCY APPRECIATION
EXCHANGE CONTRACTS AMOUNTS COST ($) VALUE ($) (DEPRECIATION) ($)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PURCHASES:
Australian Dollar,
expiring 11/3/00 88,622 45,376 45,376 --
British Pounds,
expiring 11/7/00 43,678 63,414 63,414 --
British Pounds,
expiring 12/21/00 393,240 574,533 571,592 (2,941)
Danish Krone,
expiring 11/3/00 170,170 19,387 19,387 --
Euro,
expiring 11/2/00 19,580 16,601 16,601 --
Euro,
expiring 11/3/00 132,384 112,247 112,247 --
Euro,
expiring 11/3/00 37,167 31,514 31,514 --
Euro,
expiring 11/3/00 83,757 71,016 71,016 --
Euro,
expiring 11/6/00 18,619 15,789 15,789 --
Euro,
expiring 11/6/00 40,951 34,727 34,727 --
Euro,
expiring 11/7/00 18,572 15,750 15,750 --
Euro,
expiring 11/15/00 53,467 45,361 45,361 --
Euro,
expiring 12/21/00 3,941,442 3,451,938 33,347,732 (104,206)
Japanese Yen,
expiring 11/6/00 22,188,166 203,425 203,425 --
Japanese Yen,
expiring 12/21/00 162,485,000 1,524,055 1,501,047 (23,008)
Singapore Dollar,
expiring 11/3/00 20,531 11,688 11,688 --
Swedish Krona,
expiring 11/3/00 306,406 30,601 30,601 --
Swiss Francs,
expiring 11/3/00 104,052 57,877 57,877 --
TOTAL (130,155)
</TABLE>
The Fund 39
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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, 2000, are
set forth in the Statement of Financial Futures.
(B) At October 31, 2000, accumulated net unrealized appreciation on investments,
forward currency exchange contracts and financial futures was $3,258,753,
consisting of $7,859,266 gross unrealized appreciation and $4,600,513 gross
unrealized depreciation.
At October 31, 2000, 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).
40
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 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, 2000, 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 accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements" ) are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits in accordance with
auditing standards generally accepted in the United States of America, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities owned at October 31, 2000 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 8, 2000
The Fund 41
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
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL Send your request to [email protected]
ON THE INTERNET Information can be viewed online or downloaded from:
http://www.dreyfus.com
(c) 2000 Dreyfus Service Corporation 079AR0010
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