UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number |
811-5719 | |||||
|
| |||||
|
Dreyfus Stock Index Fund, Inc. |
| ||||
|
(Exact name of Registrant as specified in charter) |
| ||||
|
|
| ||||
|
c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 |
| ||||
|
(Address of principal executive offices) (Zip code) |
| ||||
|
|
| ||||
|
Janette E. Farragher, Esq. 200 Park Avenue New York, New York 10166 |
| ||||
|
(Name and address of agent for service) |
| ||||
| ||||||
Registrant's telephone number, including area code: |
(212) 922-6000 | |||||
|
| |||||
Date of fiscal year end:
|
12/31 |
| ||||
Date of reporting period: |
6/30/12 |
| ||||
Dreyfus
Stock Index Fund, Inc.
SEMIANNUAL REPORT June 30, 2012
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses |
With Those of Other Funds | |
7 | Statement of Investments |
24 | Statement of Financial Futures |
25 | Statement of Assets and Liabilities |
26 | Statement of Operations |
27 | Statement of Changes in Net Assets |
29 | Financial Highlights |
31 | Notes to Financial Statements |
43 | Information About the Renewal of |
the Fund’s Management Agreement | |
FOR MORE INFORMATION | |
| |
Back Cover |
Dreyfus
Stock Index Fund, Inc.
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Stock Index Fund, Inc., covering the six-month period from January 1, 2012, through June 30, 2012. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Economic optimism helped drive stock prices higher in early 2012 when investors responded positively to improving U.S. employment trends and measures by European policymakers to address the region’s sovereign debt crisis. However, political developments later raised doubts about some of Europe’s proposed solutions, and U.S. economic data weakened in the spring. Consequently, U.S. stocks gave back their previous gains, and most major market indices ended the first half of the year close to where they began.
Despite the recent downturn in market sentiment, we believe the U.S. and global economies are likely to remain on mildly upward trajectories. In our judgment, current sluggishness is at least partly due to the lagging effects of tighter monetary policies in some areas of the world, and we expect stronger growth when a shift to more accommodative policies begins to have an impact on global economic activity. In addition, the adjustment among U.S. exporters to weaker European demand and slower economic growth in certain emerging markets should be largely completed later this year, setting the stage for better business conditions in 2013.
As always, we encourage you to discuss our observations with your financial advisor.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
July 16, 2012
2
DISCUSSION OF FUND PERFORMANCE
For the period of January 1, 2012, through June 30, 2012, as provided by Thomas J. Durante, CFA, Karen Q. Wong, CFA, and Richard A. Brown, CFA, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended June 30, 2012, Dreyfus Stock Index Fund’s Initial shares produced a total return of 9.36%, and its Service shares produced a total return of 9.25%.1 In comparison, the fund’s benchmark, the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”), produced a total return of 9.48% for the same period.2,3
Mixed economic data fueled heightened market volatility as gains over the first quarter of 2012 were partly offset by declines during the second quarter of the year. The difference in returns between the fund and the S&P 500 Index was primarily the result of transaction costs and operating expenses that are not reflected in the S&P 500 Index’s results.
The Fund’s Investment Approach
The fund seeks to match the total return of the S&P 500 Index by generally investing in all 500 stocks in the S&P 500 Index in proportion to their respective weighting. Often considered a proxy for the stock market in general, the S&P 500 Index is made up of 500 common stocks chosen to reflect the industries of the U.S. economy. Each stock is weighted by its market capitalization; that is, larger companies have greater representation in the S&P 500 Index than smaller ones.The fund also may use stock index futures as a substitute for the sale or purchase of securities.
Macroeconomic Developments Fueled Market Volatility
The first quarter of 2012 began with a strong rally among U.S. stocks amid employment gains and other encouraging domestic economic news. In addition, a quantitative easing program in Europe appeared to forestall a more severe banking crisis in the region, and monetary policymakers in China seemed to have engineered a “soft landing” and lower inflation in a major engine of global growth. Consequently,
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
investors grew more tolerant of risks, and they focused more intently on companies in economically sensitive industry groups expected to benefit from better business conditions.
However, these positive influences were called into question in the second quarter, when the U.S. labor market’s rebound slowed as the public sector shed jobs and employment gains in the private sector proved more anemic than expected. At the same time, measures designed to relieve fiscal pressures in Europe encountered political resistance in several countries, including Greece, threatening proposed bailout programs.These headwinds caused most stock market averages, including the S&P 500 Index, to fall over the second quarter of the year, partly offsetting previous gains. Nonetheless, it is worth noting that U.S. stocks provided higher returns, on average, than their counterparts in most other nations over the first half of 2012.
Most Market Sectors Advanced over the First Half of 2012
In this environment, nine of the 10 economic sectors represented in the S&P 500 Index posted positive absolute returns for the reporting period. The consumer discretionary sector led the market’s advance, with robust gains posted by cable television operators and programmers, including Comcast and The Walt Disney Company. These companies benefited from higher revenues from their cable operations as well as strong results from their theme parks.
In the information technology sector, several companies benefited from strong demand for new products. Electronics innovator Apple continued to score success with its smartphone and tablet computer products, and online retailer Amazon.com saw strong results from its e-readers. In addition, companies in the enterprise storage, cloud computing and network security industries fared well as corporate demand intensified for productivity enhancing technologies. Lenders in the financials sector benefited from low interest rates, which boosted refinancing activity among mortgage holders over the reporting period. In addition, large, diversified financial institutions showed signs of recovery, as prior mergers-and-acquisitions activity and greater geographical diversification helped them withstand the protracted downturn in the wake of the 2008 financial crisis.
4
The energy sector produced mildly negative returns over the first half of 2012, largely due to falling oil and natural gas prices as global demand faltered in a sluggish economic environment. In addition, geopolitical instability in the Middle East and Africa prompted companies to intensify exploration and production activity in North America, where the drilling costs are higher. Although the utilities sector eked out a positive total return, plunging natural gas prices undermined their financial results. Similarly, the materials sector produced positive results overall, masking weakness among steel, gold and coal mining companies as commodity prices fell.
Index Funds Offer Diversification Benefits
As an index fund, we attempt to replicate the returns of the S&P 500 Index by closely approximating its composition. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
July 16, 2012
Equity funds are subject generally to market, market sector, market liquidity, issuer and investment
style risks, among other factors, to varying degrees, all of which are more fully described in the
fund’s prospectus.
The fund is only available as a funding vehicle under variable life insurance policies or variable
annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund
directly.A variable annuity is an insurance contract issued by an insurance company that enables
investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals.
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.The fund’s performance does not
reflect the deduction of additional charges and expenses imposed in connection with investing in
variable insurance contracts, which will reduce returns.
2 SOURCE: LIPPER INC. — Reflects reinvestment of dividends daily and, where applicable,
capital gain distributions.The Standard & Poor’s 500 Composite Stock Price Index is a
widely accepted, unmanaged index of U.S. stock market performance. Investors cannot invest
directly in any index.
3 “Standard & Poor’s®,” “S&P®,” “Standard & Poor’s 500™” and “S&P 500®” are
trademarks of Standard & Poor’s Financial Services LLC (“Standard & Poor’s”) and have been
licensed for use by the fund.The fund is not sponsored, endorsed, sold or promoted by Standard &
Poor’s and Standard & Poor’s does not make any representation regarding the advisability of
investing in the fund.
The Fund 5
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Stock Index Fund, Inc. from January 1, 2012 to June 30, 2012. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended June 30, 2012
Initial Shares | Service Shares | |||
Expenses paid per $1,000† | $ | 1.46 | $ | 2.76 |
Ending value (after expenses) | $ | 1,093.60 | $ | 1,092.50 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended June 30, 2012
Initial Shares | Service Shares | |||
Expenses paid per $1,000† | $ | 1.41 | $ | 2.66 |
Ending value (after expenses) | $ | 1,023.47 | $ | 1,022.23 |
† Expenses are equal to the fund’s annualized expense ratio of .28% for Initial Shares and .53% for Service Shares,
multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS
June 30, 2012 (Unaudited)
Common Stocks—98.1% | Shares | Value ($) | |
Automobiles & Components—.6% | |||
BorgWarner | 15,012a | 984,637 | |
Ford Motor | 514,274 | 4,931,888 | |
Goodyear Tire & Rubber | 35,614a | 420,601 | |
Harley-Davidson | 30,163 | 1,379,354 | |
Johnson Controls | 90,743 | 2,514,489 | |
10,230,969 | |||
Banks—2.9% | |||
BB&T | 94,045 | 2,901,288 | |
Comerica | 27,721 | 851,312 | |
Fifth Third Bancorp | 125,934 | 1,687,516 | |
First Horizon National | 34,481 | 298,261 | |
Hudson City Bancorp | 74,802 | 476,489 | |
Huntington Bancshares | 111,419 | 713,082 | |
KeyCorp | 132,150 | 1,022,841 | |
M&T Bank | 16,879 | 1,393,699 | |
People’s United Financial | 50,663 | 588,197 | |
PNC Financial Services Group | 71,308 | 4,357,632 | |
Regions Financial | 190,572 | 1,286,361 | |
SunTrust Banks | 71,489 | 1,732,178 | |
U.S. Bancorp | 256,121 | 8,236,851 | |
Wells Fargo & Co. | 717,794 | 24,003,031 | |
Zions Bancorporation | 25,036 | 486,199 | |
50,034,937 | |||
Capital Goods—7.9% | |||
3M | 94,047 | 8,426,611 | |
Boeing | 100,941 | 7,499,916 | |
Caterpillar | 87,684 | 7,445,248 | |
Cooper Industries | 21,227 | 1,447,257 | |
Cummins | 25,895 | 2,509,484 | |
Danaher | 77,304 | 4,025,992 | |
Deere & Co. | 54,317 | 4,392,616 | |
Dover | 24,214 | 1,298,113 | |
Eaton | 45,049 | 1,785,292 | |
Emerson Electric | 99,319 | 4,626,279 | |
Fastenal | 39,959 | 1,610,747 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Capital Goods (continued) | ||||
Flowserve | 7,241b | 830,905 | ||
Fluor | 22,639 | 1,117,008 | ||
General Dynamics | 48,164 | 3,176,897 | ||
General Electric | 1,431,387 | 29,830,105 | ||
Goodrich | 16,930 | 2,148,417 | ||
Honeywell International | 104,910 | 5,858,174 | ||
Illinois Tool Works | 65,353 | 3,456,520 | ||
Ingersoll-Rand | 39,300 | 1,657,674 | ||
Jacobs Engineering Group | 17,975a | 680,534 | ||
Joy Global | 14,661 | 831,719 | ||
L-3 Communications Holdings | 13,187 | 975,970 | ||
Lockheed Martin | 35,978 | 3,132,964 | ||
Masco | 47,940 | 664,928 | ||
Northrop Grumman | 33,994 | 2,168,477 | ||
PACCAR | 48,050 | 1,883,080 | ||
Pall | 15,361 | 841,936 | ||
Parker Hannifin | 20,267 | 1,558,127 | ||
Precision Castparts | 19,595 | 3,223,182 | ||
Quanta Services | 28,332a | 681,951 | ||
Raytheon | 45,804 | 2,592,048 | ||
Rockwell Automation | 19,101 | 1,261,812 | ||
Rockwell Collins | 19,872 | 980,683 | ||
Roper Industries | 13,440 | 1,324,915 | ||
Snap-on | 8,436 | 525,141 | ||
Stanley Black & Decker | 22,391 | 1,441,085 | ||
Textron | 36,395 | 905,144 | ||
Tyco International | 62,300 | 3,292,555 | ||
United Technologies | 123,115 | 9,298,876 | ||
W.W. Grainger | 8,403b | 1,606,990 | ||
Xylem | 25,459 | 640,803 | ||
133,656,175 | ||||
Commercial & Professional Services—.5% | ||||
Avery Dennison | 13,279 | 363,048 | ||
Cintas | 14,764 | 570,038 | ||
Dun & Bradstreet | 6,630 | 471,857 | ||
Equifax | 16,918 | 788,379 |
8
Common Stocks (continued) | Shares | Value ($) | |
Commercial & Professional Services (continued) | |||
Iron Mountain | 22,592 | 744,632 | |
Pitney Bowes | 27,570b | 412,723 | |
R.R. Donnelley & Sons | 25,681b | 302,265 | |
Republic Services | 42,103 | 1,114,045 | |
Robert Half International | 18,973 | 542,059 | |
Stericycle | 11,032a | 1,011,303 | |
Waste Management | 62,098 | 2,074,073 | |
8,394,422 | |||
Consumer Durables & Apparel—.9% | |||
Coach | 38,340 | 2,242,123 | |
D.R. Horton | 35,504 | 652,564 | |
Fossil | 7,038a | 538,689 | |
Harman International Industries | 9,916 | 392,674 | |
Hasbro | 16,061b | 543,986 | |
Leggett & Platt | 19,083 | 403,224 | |
Lennar, Cl. A | 22,486b | 695,042 | |
Mattel | 46,381 | 1,504,600 | |
Newell Rubbermaid | 40,792 | 739,967 | |
NIKE, Cl. B | 49,655 | 4,358,716 | |
Pulte Group | 44,106a | 471,934 | |
Ralph Lauren | 8,776 | 1,229,167 | |
VF | 11,560 | 1,542,682 | |
Whirlpool | 10,526 | 643,770 | |
15,959,138 | |||
Consumer Services—2.0% | |||
Apollo Group, Cl. A | 14,827a | 536,589 | |
Carnival | 60,910 | 2,087,386 | |
Chipotle Mexican Grill | 4,198a | 1,595,030 | |
Darden Restaurants | 17,860 | 904,252 | |
DeVry | 8,203 | 254,047 | |
H&R Block | 37,117 | 593,130 | |
International Game Technology | 39,962 | 629,401 | |
Marriott International, Cl. A | 35,781 | 1,402,615 | |
McDonald’s | 137,032 | 12,131,443 | |
Starbucks | 101,900 | 5,433,308 | |
Starwood Hotels & Resorts Worldwide | 26,487c | 1,404,870 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Services (continued) | ||||
Wyndham Worldwide | 20,297 | 1,070,464 | ||
Wynn Resorts | 10,674 | 1,107,107 | ||
Yum! Brands | 62,224 | 4,008,470 | ||
33,158,112 | ||||
Diversified Financials—5.5% | ||||
American Express | 135,434 | 7,883,613 | ||
Ameriprise Financial | 29,808 | 1,557,766 | ||
Bank of America | 1,455,759 | 11,908,109 | ||
Bank of New York Mellon | 161,077 | 3,535,640 | ||
BlackRock | 17,228 | 2,925,659 | ||
Capital One Financial | 78,334 | 4,281,736 | ||
Charles Schwab | 143,280 | 1,852,610 | ||
Citigroup | 396,113 | 10,857,457 | ||
CME Group | 8,955 | 2,400,925 | ||
Discover Financial Services | 71,382 | 2,468,390 | ||
E*TRADE Financial | 31,226a | 251,057 | ||
Federated Investors, Cl. B | 12,874b | 281,297 | ||
Franklin Resources | 19,197 | 2,130,675 | ||
Goldman Sachs Group | 67,020 | 6,424,537 | ||
IntercontinentalExchange | 9,937a | 1,351,233 | ||
Invesco | 60,804 | 1,374,170 | ||
JPMorgan Chase & Co. | 514,128 | 18,369,793 | ||
Legg Mason | 18,302 | 482,624 | ||
Leucadia National | 28,195 | 599,708 | ||
Moody’s | 26,189 | 957,208 | ||
Morgan Stanley | 205,843 | 3,003,249 | ||
NASDAQ OMX Group | 16,720 | 379,042 | ||
Northern Trust | 33,122 | 1,524,274 | ||
NYSE Euronext | 34,466 | 881,640 | ||
SLM | 69,197 | 1,087,085 | ||
State Street | 65,804 | 2,937,491 | ||
T. Rowe Price Group | 34,117 | 2,148,006 | ||
93,854,994 | ||||
Energy—10.7% | ||||
Alpha Natural Resources | 30,386a | 264,662 | ||
Anadarko Petroleum | 67,402 | 4,462,012 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Apache | 52,788 | 4,639,537 | ||
Baker Hughes | 58,236 | 2,393,500 | ||
Cabot Oil & Gas | 28,588 | 1,126,367 | ||
Cameron International | 32,535a | 1,389,570 | ||
Chesapeake Energy | 90,004b | 1,674,074 | ||
Chevron | 266,346 | 28,099,503 | ||
ConocoPhillips | 170,935 | 9,551,848 | ||
CONSOL Energy | 31,076 | 939,738 | ||
Denbury Resources | 51,990a | 785,569 | ||
Devon Energy | 54,582 | 3,165,210 | ||
Diamond Offshore Drilling | 9,883b | 584,382 | ||
EOG Resources | 36,349 | 3,275,408 | ||
EQT | 20,214 | 1,084,077 | ||
Exxon Mobil | 632,042 | 54,083,834 | ||
FMC Technologies | 32,088a | 1,258,812 | ||
Halliburton | 124,704 | 3,540,347 | ||
Helmerich & Payne | 14,963 | 650,591 | ||
Hess | 40,160 | 1,744,952 | ||
Kinder Morgan | 68,095 | 2,194,021 | ||
Marathon Oil | 94,959 | 2,428,102 | ||
Marathon Petroleum | 46,781 | 2,101,403 | ||
Murphy Oil | 25,992 | 1,307,138 | ||
Nabors Industries | 41,237a | 593,813 | ||
National Oilwell Varco | 57,335 | 3,694,667 | ||
Newfield Exploration | 18,177a | 532,768 | ||
Noble | 34,686a | 1,128,336 | ||
Noble Energy | 23,999 | 2,035,595 | ||
Occidental Petroleum | 109,021 | 9,350,731 | ||
Peabody Energy | 36,868 | 904,003 | ||
Phillips 66 | 84,638a | 2,813,367 | ||
Pioneer Natural Resources | 16,277 | 1,435,794 | ||
QEP Resources | 24,072 | 721,438 | ||
Range Resources | 21,759 | 1,346,229 | ||
Rowan Companies | 16,543a | 534,835 | ||
Schlumberger | 179,438 | 11,647,321 | ||
Southwestern Energy | 47,856a | 1,528,042 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Spectra Energy | 86,713 | 2,519,880 | |
Sunoco | 14,278 | 678,205 | |
Tesoro | 20,257a | 505,615 | |
Valero Energy | 74,665 | 1,803,160 | |
Williams | 84,458 | 2,434,080 | |
WPX Energy | 26,988 | 436,666 | |
179,389,202 | |||
Food & Staples Retailing—2.4% | |||
Costco Wholesale | 58,827 | 5,588,565 | |
CVS Caremark | 173,367 | 8,101,440 | |
Kroger | 77,304 | 1,792,680 | |
Safeway | 32,833b | 595,919 | |
Sysco | 78,727 | 2,346,852 | |
Wal-Mart Stores | 233,277 | 16,264,072 | |
Walgreen | 118,039 | 3,491,594 | |
Whole Foods Market | 21,473 | 2,046,806 | |
40,227,928 | |||
Food, Beverage & Tobacco—6.5% | |||
Altria Group | 275,071 | 9,503,703 | |
Archer-Daniels-Midland | 89,224 | 2,633,892 | |
Beam | 21,063 | 1,316,227 | |
Brown-Forman, Cl. B | 13,267 | 1,284,909 | |
Campbell Soup | 23,038 | 769,008 | |
Coca-Cola | 304,833 | 23,834,892 | |
Coca-Cola Enterprises | 41,755 | 1,170,810 | |
ConAgra Foods | 57,156 | 1,482,055 | |
Constellation Brands, Cl. A | 22,583a | 611,096 | |
Dean Foods | 25,870a | 440,566 | |
Dr. Pepper Snapple Group | 29,303 | 1,282,006 | |
General Mills | 87,016 | 3,353,597 | |
H.J. Heinz | 43,076 | 2,342,473 | |
Hershey | 20,939 | 1,508,236 | |
Hormel Foods | 18,619 | 566,390 | |
J.M. Smucker | 15,377 | 1,161,271 | |
Kellogg | 33,110 | 1,633,316 | |
Kraft Foods, Cl. A | 239,454 | 9,247,713 |
12
Common Stocks (continued) | Shares | Value ($) | |
Food, Beverage & Tobacco (continued) | |||
Lorillard | 17,781 | 2,346,203 | |
McCormick & Co. | 17,744 | 1,076,174 | |
Mead Johnson Nutrition | 27,870 | 2,243,814 | |
Molson Coors Brewing, Cl. B | 22,078 | 918,666 | |
Monster Beverage | 20,708a | 1,474,410 | |
PepsiCo | 211,346 | 14,933,708 | |
Philip Morris International | 230,538 | 20,116,746 | |
Reynolds American | 44,223 | 1,984,286 | |
Tyson Foods, Cl. A | 40,812 | 768,490 | |
110,004,657 | |||
Health Care Equipment & Services—3.8% | |||
Aetna | 47,199 | 1,829,905 | |
AmerisourceBergen | 34,018 | 1,338,608 | |
Baxter International | 74,485 | 3,958,878 | |
Becton Dickinson & Co. | 27,451 | 2,051,962 | |
Boston Scientific | 194,066a | 1,100,354 | |
C.R. Bard | 11,567 | 1,242,758 | |
Cardinal Health | 46,892 | 1,969,464 | |
CareFusion | 31,292a | 803,579 | |
Cerner | 19,568a | 1,617,491 | |
Cigna | 39,470 | 1,736,680 | |
Coventry Health Care | 20,159 | 640,855 | |
Covidien | 65,262 | 3,491,517 | |
DaVita | 13,027a | 1,279,382 | |
DENTSPLY International | 19,644b | 742,740 | |
Edwards Lifesciences | 15,486a | 1,599,704 | |
Express Scripts Holding | 107,886a | 6,023,275 | |
Humana | 21,715 | 1,681,610 | |
Intuitive Surgical | 5,363a | 2,969,976 | |
Laboratory Corp. of America Holdings | 12,716a | 1,177,629 | |
McKesson | 31,931 | 2,993,531 | |
Medtronic | 140,750 | 5,451,248 | |
Patterson | 11,346 | 391,097 | |
Quest Diagnostics | 21,325 | 1,277,368 | |
St. Jude Medical | 43,102 | 1,720,201 | |
Stryker | 43,627 | 2,403,848 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Health Care Equipment & Services (continued) | |||
Tenet Healthcare | 52,212a | 273,591 | |
UnitedHealth Group | 140,262 | 8,205,327 | |
Varian Medical Systems | 15,587a | 947,222 | |
WellPoint | 45,188 | 2,882,543 | |
Zimmer Holdings | 23,489 | 1,511,752 | |
65,314,095 | |||
Household & Personal Products—2.2% | |||
Avon Products | 59,016 | 956,649 | |
Clorox | 17,355 | 1,257,543 | |
Colgate-Palmolive | 64,899 | 6,755,986 | |
Estee Lauder, Cl. A | 30,688 | 1,660,835 | |
Kimberly-Clark | 53,185 | 4,455,307 | |
Procter & Gamble | 371,011 | 22,724,424 | |
37,810,744 | |||
Insurance—3.5% | |||
ACE | 45,500 | 3,372,915 | |
Aflac | 62,233 | 2,650,503 | |
Allstate | 67,100 | 2,354,539 | |
American International Group | 86,207a | 2,766,383 | |
Aon | 43,761 | 2,047,140 | |
Assurant | 11,443 | 398,674 | |
Berkshire Hathaway, Cl. B | 236,721a | 19,725,961 | |
Chubb | 36,537 | 2,660,624 | |
Cincinnati Financial | 21,929 | 834,837 | |
Genworth Financial, Cl. A | 68,350a | 386,861 | |
Hartford Financial Services Group | 58,898 | 1,038,372 | |
Lincoln National | 40,520 | 886,172 | |
Loews | 41,013 | 1,677,842 | |
Marsh & McLennan | 73,194 | 2,359,043 | |
MetLife | 143,398 | 4,423,828 | |
Principal Financial Group | 40,260b | 1,056,020 | |
Progressive | 82,217 | 1,712,580 | |
Prudential Financial | 63,497 | 3,075,160 | |
Torchmark | 13,886 | 701,937 | |
Travelers | 53,048 | 3,386,584 |
14
Common Stocks (continued) | Shares | Value ($) | |
Insurance (continued) | |||
Unum Group | 38,728 | 740,867 | |
XL Group | 42,023 | 884,164 | |
59,141,006 | |||
Materials—3.3% | |||
Air Products & Chemicals | 28,383 | 2,291,360 | |
Airgas | 9,628 | 808,848 | |
Alcoa | 147,323 | 1,289,076 | |
Allegheny Technologies | 13,887 | 442,856 | |
Ball | 20,771 | 852,650 | |
Bemis | 14,387 | 450,889 | |
CF Industries Holdings | 8,652 | 1,676,238 | |
Cliffs Natural Resources | 19,020 | 937,496 | |
Dow Chemical | 160,301 | 5,049,481 | |
E.I. du Pont de Nemours & Co. | 126,152 | 6,379,507 | |
Eastman Chemical | 17,829 | 898,047 | |
Ecolab | 39,235 | 2,688,775 | |
FMC | 18,626 | 996,118 | |
Freeport-McMoRan Copper & Gold | 128,147 | 4,365,968 | |
International Flavors & Fragrances | 10,335 | 566,358 | |
International Paper | 59,311 | 1,714,681 | |
MeadWestvaco | 22,877 | 657,714 | |
Monsanto | 72,432 | 5,995,921 | |
Mosaic | 39,507 | 2,163,403 | |
Newmont Mining | 66,833 | 3,242,069 | |
Nucor | 43,351 | 1,643,003 | |
Owens-Illinois | 22,187a | 425,325 | |
PPG Industries | 20,442 | 2,169,305 | |
Praxair | 40,336 | 4,385,733 | |
Sealed Air | 26,589 | 410,534 | |
Sherwin-Williams | 11,374 | 1,505,349 | |
Sigma-Aldrich | 16,463 | 1,217,110 | |
Titanium Metals | 12,570 | 142,167 | |
United States Steel | 19,606b | 403,884 | |
Vulcan Materials | 17,780 | 706,044 | |
56,475,909 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Media—3.3% | ||||
Cablevision Systems (NY Group), Cl. A | 26,917 | 357,727 | ||
CBS, Cl. B | 87,542 | 2,869,627 | ||
Comcast, Cl. A | 362,567 | 11,591,267 | ||
DIRECTV, Cl. A | 88,703a | 4,330,480 | ||
Discovery Communications, Cl. A | 34,731a | 1,875,474 | ||
Gannett | 33,440 | 492,571 | ||
Interpublic Group of Cos. | 63,291 | 686,707 | ||
McGraw-Hill | 37,348 | 1,680,660 | ||
News, Cl. A | 285,107 | 6,355,035 | ||
Omnicom Group | 36,668 | 1,782,065 | ||
Scripps Networks Interactive, Cl. A | 13,297 | 756,067 | ||
Time Warner | 131,125 | 5,048,313 | ||
Time Warner Cable | 42,404 | 3,481,368 | ||
Viacom, Cl. B | 71,427 | 3,358,498 | ||
Walt Disney | 240,973 | 11,687,190 | ||
Washington Post, Cl. B | 710b | 265,412 | ||
56,618,461 | ||||
Pharmaceuticals & Biotechnology—7.9% | ||||
Abbott Laboratories | 212,557 | 13,703,550 | ||
Agilent Technologies | 47,409 | 1,860,329 | ||
Alexion Pharmaceuticals | 25,935a | 2,575,345 | ||
Allergan | 41,116 | 3,806,108 | ||
Amgen | 105,221 | 7,685,342 | ||
Biogen Idec | 32,251a | 4,656,399 | ||
Bristol-Myers Squibb | 228,533 | 8,215,761 | ||
Celgene | 59,310a | 3,805,330 | ||
Eli Lilly & Co. | 138,121 | 5,926,772 | ||
Forest Laboratories | 34,806a | 1,217,862 | ||
Gilead Sciences | 102,392a | 5,250,662 | ||
Hospira | 21,233a | 742,730 | ||
Johnson & Johnson | 371,029b | 25,066,719 | ||
Life Technologies | 23,827a | 1,071,977 | ||
Merck & Co. | 409,702 | 17,105,059 | ||
Mylan | 57,557a | 1,229,993 | ||
PerkinElmer | 14,978 | 386,432 | ||
Perrigo | 12,762 | 1,505,023 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Pharmaceuticals & Biotechnology (continued) | ||||
Pfizer | 1,011,965 | 23,275,195 | ||
Thermo Fisher Scientific | 49,325 | 2,560,461 | ||
Waters | 11,894a | 945,216 | ||
Watson Pharmaceuticals | 17,661a | 1,306,737 | ||
133,899,002 | ||||
Real Estate—2.1% | ||||
American Tower | 52,568 | 3,675,029 | ||
Apartment Investment & Management, Cl. A | 16,284c | 440,157 | ||
AvalonBay Communities | 12,995c | 1,838,533 | ||
Boston Properties | 20,089c | 2,177,045 | ||
CBRE Group, Cl. A | 45,441a | 743,415 | ||
Equity Residential | 40,824c | 2,545,785 | ||
HCP | 56,646c | 2,500,921 | ||
Health Care REIT | 28,866c | 1,682,888 | ||
Host Hotels & Resorts | 93,355c | 1,476,876 | ||
Kimco Realty | 54,312c | 1,033,557 | ||
Plum Creek Timber | 22,426c | 890,312 | ||
ProLogis | 60,929c | 2,024,671 | ||
Public Storage | 19,371c | 2,797,366 | ||
Simon Property Group | 40,985c | 6,379,725 | ||
Ventas | 39,527c | 2,494,944 | ||
Vornado Realty Trust | 24,562c | 2,062,717 | ||
Weyerhaeuser | 73,766c | 1,649,408 | ||
36,413,349 | ||||
Retailing—3.9% | ||||
Abercrombie & Fitch, Cl. A | 11,988 | 409,270 | ||
Amazon.com | 48,963a | 11,180,701 | ||
AutoNation | 4,721a,b | 166,557 | ||
AutoZone | 3,591a | 1,318,507 | ||
Bed Bath & Beyond | 31,875a | 1,969,875 | ||
Best Buy | 37,813b | 792,560 | ||
Big Lots | 8,410a | 343,044 | ||
CarMax | 31,714a | 822,661 | ||
Dollar Tree | 31,428a | 1,690,826 | ||
Expedia | 11,971 | 575,446 | ||
Family Dollar Stores | 15,690 | 1,043,071 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Retailing (continued) | |||
GameStop, Cl. A | 18,872b | 346,490 | |
Gap | 44,381 | 1,214,264 | |
Genuine Parts | 20,478 | 1,233,799 | |
Home Depot | 207,293 | 10,984,456 | |
J.C. Penney | 20,198b | 470,815 | |
Kohl’s | 33,528 | 1,525,189 | |
Limited Brands | 33,548 | 1,426,796 | |
Lowe’s | 159,616 | 4,539,479 | |
Macy’s | 55,766 | 1,915,562 | |
Netflix | 7,217a,b | 494,148 | |
Nordstrom | 22,081 | 1,097,205 | |
O’Reilly Automotive | 17,085a | 1,431,210 | |
Priceline.com | 6,734a | 4,474,878 | |
Ross Stores | 30,734 | 1,919,953 | |
Sears Holdings | 4,931a,b | 294,381 | |
Staples | 93,132 | 1,215,373 | |
Target | 89,441 | 5,204,572 | |
Tiffany & Co. | 17,479 | 925,513 | |
TJX | 100,236 | 4,303,131 | |
TripAdvisor | 13,824a | 617,795 | |
Urban Outfitters | 15,477a | 427,010 | |
66,374,537 | |||
Semiconductors & Equipment—2.3% | |||
Advanced Micro Devices | 82,112a | 470,502 | |
Altera | 44,214 | 1,496,202 | |
Analog Devices | 39,273 | 1,479,414 | |
Applied Materials | 173,812 | 1,991,886 | |
Broadcom, Cl. A | 66,085a | 2,233,673 | |
First Solar | 7,628a,b | 114,878 | |
Intel | 679,584 | 18,110,914 | |
KLA-Tencor | 22,841 | 1,124,919 | |
Lam Research | 26,869a,b | 1,014,036 | |
Linear Technology | 30,561 | 957,476 | |
LSI | 75,504a | 480,960 | |
Microchip Technology | 26,011b | 860,444 |
18
Common Stocks (continued) | Shares | Value ($) | |
Semiconductors & Equipment (continued) | |||
Micron Technology | 138,381a | 873,184 | |
NVIDIA | 82,627a | 1,141,905 | |
Teradyne | 24,552a | 345,201 | |
Texas Instruments | 154,834 | 4,442,187 | |
Xilinx | 35,039 | 1,176,259 | |
38,314,040 | |||
Software & Services—9.4% | |||
Accenture, Cl. A | 87,556 | 5,261,240 | |
Adobe Systems | 67,074a | 2,171,185 | |
Akamai Technologies | 24,722a | 784,923 | |
Autodesk | 29,599a | 1,035,669 | |
Automatic Data Processing | 66,252 | 3,687,586 | |
BMC Software | 22,849a | 975,195 | |
CA | 47,840 | 1,295,986 | |
Citrix Systems | 24,955a | 2,094,723 | |
Cognizant Technology Solutions, Cl. A | 40,932a | 2,455,920 | |
Computer Sciences | 21,610 | 536,360 | |
eBay | 154,927a | 6,508,483 | |
Electronic Arts | 46,783a | 577,770 | |
Fidelity National Information Services | 31,277 | 1,065,920 | |
Fiserv | 18,558a | 1,340,259 | |
Google, Cl. A | 34,147a | 19,807,650 | |
International Business Machines | 156,130 | 30,535,905 | |
Intuit | 39,726 | 2,357,738 | |
MasterCard, Cl. A | 14,379 | 6,184,552 | |
Microsoft | 1,006,157 | 30,778,343 | |
Oracle | 524,535 | 15,578,690 | |
Paychex | 43,587 | 1,369,068 | |
Red Hat | 26,641a | 1,504,684 | |
SAIC | 37,552 | 455,130 | |
Salesforce.com | 18,634a | 2,576,337 | |
Symantec | 98,049a | 1,432,496 | |
Teradata | 22,084a | 1,590,269 | |
Total System Services | 20,172 | 482,716 | |
VeriSign | 22,197a | 967,123 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Software & Services (continued) | |||
Visa, Cl. A | 67,350 | 8,326,481 | |
Western Union | 83,211 | 1,401,273 | |
Yahoo! | 163,531a | 2,588,696 | |
157,728,370 | |||
Technology Hardware & Equipment—7.8% | |||
Amphenol, Cl. A | 21,429 | 1,176,881 | |
Apple | 126,321a | 73,771,464 | |
Cisco Systems | 724,802 | 12,444,850 | |
Corning | 205,264 | 2,654,064 | |
Dell | 201,237a | 2,519,487 | |
EMC | 283,569a | 7,267,873 | |
F5 Networks | 10,419a | 1,037,316 | |
FLIR Systems | 22,461 | 437,989 | |
Harris | 15,059 | 630,219 | |
Hewlett-Packard | 267,418 | 5,377,776 | |
Jabil Circuit | 24,327 | 494,568 | |
JDS Uniphase | 31,303a,b | 344,333 | |
Juniper Networks | 70,645a | 1,152,220 | |
Lexmark International, Cl. A | 9,956 | 264,630 | |
Molex | 19,018b | 455,291 | |
Motorola Solutions | 39,583 | 1,904,338 | |
NetApp | 48,862a | 1,554,789 | |
QUALCOMM | 231,529 | 12,891,535 | |
SanDisk | 33,020a | 1,204,570 | |
Seagate Technology | 51,083 | 1,263,283 | |
TE Connectivity | 57,400 | 1,831,634 | |
Western Digital | 31,891a | 972,038 | |
Xerox | 175,188 | 1,378,730 | |
133,029,878 | |||
Telecommunication Services—3.2% | |||
AT&T | 792,604 | 28,264,259 | |
CenturyLink | 83,616 | 3,301,996 | |
Crown Castle International | 34,803a | 2,041,544 |
20
Common Stocks (continued) | Shares | Value ($) | |
Telecommunication Services (continued) | |||
Frontier Communications | 135,514b | 519,019 | |
MetroPCS Communications | 37,109a | 224,509 | |
Sprint Nextel | 418,106a | 1,363,026 | |
Verizon Communications | 383,801 | 17,056,116 | |
Windstream | 80,533b | 777,949 | |
53,548,418 | |||
Transportation—1.9% | |||
C.H. Robinson Worldwide | 22,149 | 1,296,381 | |
CSX | 142,006 | 3,175,254 | |
Expeditors International of Washington | 28,782 | 1,115,302 | |
FedEx | 42,478 | 3,891,410 | |
Norfolk Southern | 44,544 | 3,196,923 | |
Ryder System | 6,897 | 248,361 | |
Southwest Airlines | 107,817 | 994,073 | |
Union Pacific | 64,386 | 7,681,894 | |
United Parcel Service, Cl. B | 128,867 | 10,149,565 | |
31,749,163 | |||
Utilities—3.6% | |||
AES | 83,991a | 1,077,605 | |
AGL Resources | 16,031 | 621,201 | |
Ameren | 33,246 | 1,115,071 | |
American Electric Power | 65,855 | 2,627,614 | |
CenterPoint Energy | 57,365 | 1,185,735 | |
CMS Energy | 35,654 | 837,869 | |
Consolidated Edison | 38,918 | 2,420,310 | |
Dominion Resources | 77,010 | 4,158,540 | |
DTE Energy | 22,870 | 1,356,877 | |
Duke Energy | 180,412 | 4,160,301 | |
Edison International | 44,705 | 2,065,371 | |
Entergy | 23,992 | 1,628,817 | |
Exelon | 115,035 | 4,327,617 | |
FirstEnergy | 57,041 | 2,805,847 | |
Integrys Energy Group | 9,923 | 564,321 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Utilities (continued) | |||
NextEra Energy | 56,183 | 3,865,952 | |
NiSource | 37,374 | 925,007 | |
Northeast Utilities | 42,468 | 1,648,183 | |
NRG Energy | 28,648a | 497,329 | |
ONEOK | 27,862 | 1,178,841 | |
Pepco Holdings | 31,659b | 619,567 | |
PG&E | 57,027 | 2,581,612 | |
Pinnacle West Capital | 14,687 | 759,905 | |
PPL | 77,967 | 2,168,262 | |
Progress Energy | 40,138 | 2,415,103 | |
Public Service Enterprise Group | 67,146 | 2,182,245 | |
SCANA | 15,467 | 739,941 | |
Sempra Energy | 32,568 | 2,243,284 | |
Southern | 117,188 | 5,425,804 | |
TECO Energy | 27,160 | 490,510 | |
Wisconsin Energy | 32,068 | 1,268,931 | |
Xcel Energy | 66,376 | 1,885,742 | |
61,849,314 | |||
Total Common Stocks | |||
(cost $1,131,657,315) | 1,663,176,820 | ||
Principal | |||
Short-Term Investments—.1% | Amount ($) | Value ($) | |
U.S. Treasury Bills; | |||
0.07%, 9/20/12 | |||
(cost $2,064,657) | 2,065,000d | 2,064,678 | |
Other Investment—1.9% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred | |||
Plus Money Market Fund | |||
(cost $32,624,047) | 32,624,047e | 32,624,047 |
22
Investment of Cash Collateral | ||||
for Securities Loaned—2.1% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $35,982,045) | 35,982,045e | 35,982,045 | ||
Total Investments (cost $1,202,328,064) | 102.2% | 1,733,847,590 | ||
Liabilities, Less Cash and Receivables | (2.2%) | (36,543,643) | ||
Net Assets | 100.0% | 1,697,303,947 |
REIT—Real Estate Investment Trust
a Non-income producing security.
b Security, or portion thereof, on loan.At June 30, 2012, the value of the fund’s securities on loan was $35,800,869
and the value of the collateral held by the fund was $35,982,045.
c Investment in real estate investment trust.
d Held by or on behalf of a counterparty for open financial futures positions.
e Investment in affiliated money market mutual fund.
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Energy | 10.7 | Media | 3.3 |
Software & Services | 9.4 | Telecommunication Services | 3.2 |
Capital Goods | 7.9 | Banks | 2.9 |
Pharmaceuticals & Biotechnology | 7.9 | Food & Staples Retailing | 2.4 |
Technology Hardware & Equipment | 7.8 | Semiconductors & Equipment | 2.3 |
Food, Beverage & Tobacco | 6.5 | Household & Personal Products | 2.2 |
Diversified Financials | 5.5 | Real Estate | 2.1 |
Short-Term/Money Market Investments | 4.1 | Consumer Services | 2.0 |
Retailing | 3.9 | Transportation | 1.9 |
Health Care Equipment & Services | 3.8 | Consumer Durables & Apparel | .9 |
Utilities | 3.6 | Automobiles & Components | .6 |
Insurance | 3.5 | Commercial & Professional Services | .5 |
Materials | 3.3 | 102.2 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 23
STATEMENT OF FINANCIAL FUTURES
June 30, 2012 (Unaudited)
Market Value | Unrealized | ||||
Covered by | Appreciation | ||||
Contracts | Contracts ($) | Expiration | at 6/30/2012 | ($) | |
Financial Futures Long | |||||
Standard & Poor’s 500 E-mini | 540 | 36,622,800 | September 2012 | 998,142 | |
See notes to financial statements. |
24
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2012 (Unaudited)
Cost | Value | ||
Assets ($): | |||
Investments in securities—See Statement of Investments (including | |||
securities on loan, valued at $35,800,869)—Note 1(b): | |||
Unaffiliated issuers | 1,133,721,972 | 1,665,241,498 | |
Affiliated issuers | 68,606,092 | 68,606,092 | |
Cash | 577,763 | ||
Dividends and securities lending income receivable | 2,200,050 | ||
Receivable for investment securities sold | 1,500,380 | ||
Receivable for futures variation margin—Note 4 | 951,639 | ||
Prepaid expenses | 63,020 | ||
1,739,140,442 | |||
Liabilities ($): | |||
Due to The Dreyfus Corporation and affiliates—Note 3(c) | 372,881 | ||
Liability for securities on loan—Note 1(b) | 35,982,045 | ||
Payable for investment securities purchased | 2,683,938 | ||
Payable for shares of Common Stock redeemed | 2,650,900 | ||
Accrued expenses | 146,731 | ||
41,836,495 | |||
Net Assets ($) | 1,697,303,947 | ||
Composition of Net Assets ($): | |||
Paid-in capital | 1,207,637,880 | ||
Accumulated undistributed investment income—net | 539,520 | ||
Accumulated net realized gain (loss) on investments | (43,391,121) | ||
Accumulated net unrealized appreciation (depreciation) | |||
on investments (including $998,142 net unrealized | |||
appreciation on financial futures) | 532,517,668 | ||
Net Assets ($) | 1,697,303,947 | ||
Net Asset Value Per Share | |||
Initial Shares | Service Shares | ||
Net Assets ($) | 1,519,266,555 | 178,037,392 | |
Shares Outstanding | 49,908,594 | 5,841,931 | |
Net Asset Value Per Share ($) | 30.44 | 30.48 | |
See notes to financial statements. |
The Fund 25
STATEMENT OF OPERATIONS | ||
Six Months Ended June 30, 2012 (Unaudited) | ||
Investment Income ($): | ||
Income: | ||
Cash Dividends: | ||
Unaffiliated issuers | 18,295,226 | |
Affiliated issuers | 9,739 | |
Income from securities lending—Note 1(b) | 61,075 | |
Interest | 275 | |
Total Income | 18,366,315 | |
Expenses: | ||
Management fee—Note 3(a) | 2,101,670 | |
Distribution fees—Note 3(b) | 217,880 | |
Prospectus and shareholders’ reports | 107,484 | |
Directors’ fees and expenses—Note 3(d) | 56,764 | |
Professional fees | 37,172 | |
Shareholder servicing costs—Note 3(c) | 20,869 | |
Loan commitment fees—Note 2 | 8,430 | |
Registration fees | 1,395 | |
Miscellaneous | 62,585 | |
Total Expenses | 2,614,249 | |
Less—reduction in fees due to earnings credits—Note 3(c) | (4) | |
Net Expenses | 2,614,245 | |
Investment Income—Net | 15,752,070 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 5,700,679 | |
Net realized gain (loss) on financial futures | 4,161,418 | |
Net Realized Gain (Loss) | 9,862,097 | |
Net unrealized appreciation (depreciation) on investments | 128,969,682 | |
Net unrealized appreciation (depreciation) on financial futures | 47,646 | |
Net Unrealized Appreciation (Depreciation) | 129,017,328 | |
Net Realized and Unrealized Gain (Loss) on Investments | 138,879,425 | |
Net Increase in Net Assets Resulting from Operations | 154,631,495 | |
See notes to financial statements. |
26
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
June 30, 2012 | Year Ended | |||
(Unaudited) | December 31, 2011 | |||
Operations ($): | ||||
Investment income—net | 15,752,070 | 30,655,167 | ||
Net realized gain (loss) on investments | 9,862,097 | 87,274,296 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 129,017,328 | (84,167,175) | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 154,631,495 | 33,762,288 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net: | ||||
Initial Shares | (14,295,314) | (28,344,208) | ||
Service Shares | (1,406,908) | (2,688,460) | ||
Net realized gain on investments: | ||||
Initial Shares | (77,220,676) | (10,509,094) | ||
Service Shares | (8,527,384) | (1,112,437) | ||
Total Dividends | (101,450,282) | (42,654,199) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold: | ||||
Initial Shares | 88,205,237 | 171,025,336 | ||
Service Shares | 13,380,487 | 28,394,145 | ||
Dividends reinvested: | ||||
Initial Shares | 91,515,990 | 38,853,302 | ||
Service Shares | 9,934,292 | 3,800,897 | ||
Cost of shares redeemed: | ||||
Initial Shares | (195,582,961) | (349,530,185) | ||
Service Shares | (18,924,036) | (31,935,289) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (11,470,991) | (139,391,794) | ||
Total Increase (Decrease) in Net Assets | 41,710,222 | (148,283,705) | ||
Net Assets ($): | ||||
Beginning of Period | 1,655,593,725 | 1,803,877,430 | ||
End of Period | 1,697,303,947 | 1,655,593,725 | ||
Undistributed investment income—net | 539,520 | 489,672 |
The Fund 27
STATEMENT OF CHANGES IN NET ASSETS (continued)
Six Months Ended | ||||
June 30, 2012 | Year Ended | |||
(Unaudited) | December 31, 2011 | |||
Capital Share Transactions: | ||||
Initial Shares | ||||
Shares sold | 2,833,750 | 5,767,892 | ||
Shares issued for dividends reinvested | 2,915,900 | 1,300,359 | ||
Shares redeemed | (6,299,691) | (11,714,021) | ||
Net Increase (Decrease) in Shares Outstanding | (550,041) | (4,645,770) | ||
Service Shares | ||||
Shares sold | 435,939 | 963,854 | ||
Shares issued for dividends reinvested | 316,073 | 127,057 | ||
Shares redeemed | (609,079) | (1,074,192) | ||
Net Increase (Decrease) in Shares Outstanding | 142,933 | 16,719 | ||
See notes to financial statements. |
28
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated.All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts.These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||||||||
June 30, 2012 | Year Ended December 31, | ||||||||||||
Initial Shares | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||
Per Share Data ($): | |||||||||||||
Net asset value, | |||||||||||||
beginning of period | 29.48 | 29.67 | 26.31 | 22.98 | 37.40 | 36.15 | |||||||
Investment Operations: | |||||||||||||
Investment income—neta | .29 | .54 | .48 | .48 | .64 | .64 | |||||||
Net realized and | |||||||||||||
unrealized gain (loss) | |||||||||||||
on investments | 2.52 | .02 | 3.37 | 4.85 | (14.40 | ) | 1.26 | ||||||
Total from | |||||||||||||
Investment Operations | 2.81 | .56 | 3.85 | 5.33 | (13.76 | ) | 1.90 | ||||||
Distributions: | |||||||||||||
Dividends from | |||||||||||||
investment income—net | (.29 | ) | (.55 | ) | (.49 | ) | (.48 | ) | (.66 | ) | (.65 | ) | |
Dividends from net realized | |||||||||||||
gain on investments | (1.56 | ) | (.20 | ) | — | (1.52 | ) | — | — | ||||
Total Distributions | (1.85 | ) | (.75 | ) | (.49 | ) | (2.00 | ) | (.66 | ) | (.65 | ) | |
Net asset value, | |||||||||||||
end of period | 30.44 | 29.48 | 29.67 | 26.31 | 22.98 | 37.40 | |||||||
Total Return (%) | 9.36 | b | 1.88 | 14.84 | 26.33 | (37.14 | ) | 5.26 | |||||
Ratios/Supplemental | |||||||||||||
Data (%): | |||||||||||||
Ratio of total expenses | |||||||||||||
to average net assets | .28 | c | .27 | .27 | .29 | .28 | .27 | ||||||
Ratio of net expenses | |||||||||||||
to average net assets | .28 | c | .27 | .27 | .29 | .28 | .27 | ||||||
Ratio of net investment | |||||||||||||
income to average | |||||||||||||
net assets | 1.86 | c | 1.81 | 1.78 | 2.12 | 2.04 | 1.70 | ||||||
Portfolio Turnover Rate | 1.44 | b | 3.27 | 4.46 | 5.42 | 4.69 | 4.54 | ||||||
Net Assets, end of period | |||||||||||||
($ x 1,000) | 1,519,267 | 1,487,417 | 1,635,095 | 1,593,165 | 1,464,344 | 2,702,209 |
a Based on average shares outstanding at each month end.
b Not annualized.
c Annualized.
See notes to financial statements.
The Fund 29
FINANCIAL HIGHLIGHTS (continued)
Six Months Ended | ||||||||||||
June 30, 2012 | Year Ended December 31, | |||||||||||
Service Shares | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 29.51 | 29.70 | 26.34 | 23.00 | 37.41 | 36.16 | ||||||
Investment Operations: | ||||||||||||
Investment income—neta | .25 | .47 | .41 | .43 | .57 | .55 | ||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | 2.53 | .02 | 3.38 | 4.85 | (14.42) | 1.26 | ||||||
Total from Investment Operations | 2.78 | .49 | 3.79 | 5.28 | (13.85) | 1.81 | ||||||
Distributions: | ||||||||||||
Dividends from | ||||||||||||
investment income—net | (.25) | (.48) | (.43) | (.42) | (.56) | (.56) | ||||||
Dividends from net realized | ||||||||||||
gain on investments | (1.56) | (.20) | — | (1.52) | — | — | ||||||
Total Distributions | (1.81) | (.68) | (.43) | (1.94) | (.56) | (.56) | ||||||
Net asset value, end of period | 30.48 | 29.51 | 29.70 | 26.34 | 23.00 | 37.41 | ||||||
Total Return (%) | 9.25b | 1.62 | 14.54 | 26.05 | (37.32) | 4.99 | ||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | ||||||||||||
to average net assets | .53c | .52 | .52 | .54 | .53 | .52 | ||||||
Ratio of net expenses | ||||||||||||
to average net assets | .53c | .52 | .52 | .54 | .53 | .52 | ||||||
Ratio of net investment income | ||||||||||||
to average net assets | 1.61c | 1.56 | 1.53 | 1.86 | 1.72 | 1.45 | ||||||
Portfolio Turnover Rate | 1.44b | 3.27 | 4.46 | 5.42 | 4.69 | 4.54 | ||||||
Net Assets, end of period | ||||||||||||
($ x 1,000) | 178,037 | 168,177 | 168,782 | 150,369 | 124,614 | 532,711 |
a Based on average shares outstanding at each month end.
b Not annualized.
c Annualized.
See notes to financial statements.
30
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Stock Index Fund, Inc. (the “fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a non-diversified open-end management investment company, that is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies to be offered by the separate accounts of life insurance companies.The fund’s investment objective is to match the total return of the Standard and Poor’s® 500 Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Mellon Capital Management Corporation (“Mellon Capital”), an indirect wholly-owned subsidiary of BNY Mellon, serves as the fund’s index manager.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares, which are sold without a sales charge.The fund is authorized to issue 400 million shares of $.001 par value Common Stock in each of the following classes of shares: Initial shares (250 million shares authorized) and Service shares (150 million shares authorized). Initial shares are subject to a shareholder services fee and Service shares are subject to a distribution fee. Each class of shares has identical rights and privileges, except with respect to the distribution plan, shareholder services plan, the expenses borne by each class, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
32
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. 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, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
asset value. All of the preceding securities are categorized within Level 1 of the fair value hierarchy.
U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Board of Directors. These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by Dreyfus under the general supervision of the Board of Directors.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and financial futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are categorized within Level 3 of the fair value hierarchy.
34
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.These securities are generally categorized within Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of June 30, 2012 in valuing the fund’s investments:
Level 2—Other | Level 3— | ||||
Level 1— | Significant | Significant | |||
Unadjusted | Observable | Unobservable | |||
Quoted Prices | Inputs | Inputs | Total | ||
Assets ($) | |||||
Investments in Securities: | |||||
Equity Securities— | |||||
Domestic† | 1,663,176,820 | — | — | 1,663,176,820 | |
Mutual Funds | 68,606,092 | — | — | 68,606,092 | |
U.S. Treasury | — | 2,064,678 | — | 2,064,678 | |
Other Financial | |||||
Instruments: | |||||
Financial Futures†† | 998,142 | — | — | 998,142 |
† See Statement of Investments for additional detailed categorizations.
Amount shown represents unrealized appreciation at period end.
For the period ended June 30, 2012, there were no transfers of exchange traded securities, U.S.Treasuries or financial futures between Level 1 and Level 2 of the fair value hierarchy.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by Dreyfus, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction.Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended June 30, 2012,The Bank of NewYork Mellon earned $26,175 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Other investment companies advised by Dreyfus are considered to be “affiliated” with the fund.
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended June 30, 2012 were as follows:
Affiliated | |||||||
Investment | Value | Value | Net | ||||
Company | 12/31/2011 | ($) | Purchases ($) | Sales ($) | 6/30/2012 | ($) | Assets (%) |
Dreyfus | |||||||
Institutional | |||||||
Preferred | |||||||
Plus Money | |||||||
Market | |||||||
Fund | 43,932,285 | 88,837,504 | 100,145,742 | 32,624,047 | 1.9 | ||
Dreyfus | |||||||
Institutional | |||||||
Cash | |||||||
Advantage | |||||||
Fund | 17,596,811 | 61,747,871 | 43,362,637 | 35,982,045 | 2.1 | ||
Total | 61,529,096 | 150,585,375 | 143,508,379 | 68,606,092 | 4.0 |
36
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net are declared and paid on a quarterly basis. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
(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.
As of and during the period ended June 30, 2012, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended December 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2011 was as follows: ordinary income $31,032,668 and long-term capital gains $11,621,531.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 mil-
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
lion unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended June 30, 2012, the fund did not borrow under the Facilities.
NOTE 3—Management Fee, Index Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of .245% of the value of the fund’s average daily net assets and is payable monthly.
Dreyfus has agreed to pay Mellon Capital a monthly index-management fee at the annual rate of .07% of the value of the fund’s average daily net assets.
(b) Under the Distribution Plan (the “Plan”) adopted pursuant to Rule 12b-1 under the Act, Service shares pay the Distributor for distributing its shares, for servicing and/or maintaining Service shares’ shareholder accounts and for advertising and marketing for Service shares.The Plan provides for payments to be made at an annual rate of .25% of the value of the Service shares’ average daily net assets.The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products.The fees payable under the Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2012, Service shares were charged $217,880 pursuant to the Plan.
(c) Under the Shareholder Services Plan, Initial shares reimburse the Distributor an amount not to exceed an annual rate of .25% of the value of the Initial shares’ average daily net assets for certain allocated expenses with respect to servicing and/or maintaining Initial shares’ shareholder
38
accounts. During the period ended June 30, 2012, Initial shares were charged $15,203 pursuant to the Shareholders Services Plan.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing personnel and facilities to perform transfer agency and cash management services for the fund. During the period ended June 30, 2012, the fund was charged $563 pursuant to the transfer agency agreement, which is included in Shareholder servicing costs in the Statement of Operations.
Dreyfus has agreed to bear the cost of custody fees.
The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
Prior to May 29, 2012, the fund compensated The Bank of NewYork Mellon under a cash management agreement for performing cash management services related to fund subscriptions and redemptions. During the period ended June 30, 2012, the fund was charged $84 pursuant to the cash management agreement, which is included in Shareholder servicing costs in the Statement of Operations.These fees were partially offset by earnings credits of $4.
During the period ended ended June 30, 2012, the fund was charged $3,183 for services performed by the Chief Compliance Officer and his staff.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $332,897, Plan fees $35,401, Shareholder Services Plan fees $1,000, Chief Compliance Officer fees $3,183 and transfer agency per account fees $400.
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended June 30, 2012, amounted to $24,421,381 and $101,558,875, respectively.
Financial Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk, as a result of changes in value of underlying financial instruments. The fund invests in financial futures in order to manage its exposure to or protect against changes in the market. A financial futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations.When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with financial futures since they are exchange traded, and the exchange’s clearinghouse guarantees the financial futures against default. Financial futures open at June 30, 2012 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended June 30, 2012:
Average Market Value ($) | |
Equity financial futures contracts | 35,483,693 |
40
At June 30, 2012, accumulated net unrealized appreciation on investments was $531,519,526, consisting of $714,418,854 gross unrealized appreciation and $182,899,328 gross unrealized depreciation.
At June 30, 2012, 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).
NOTE 5—Pending Legal Matters:
The fund and more than two hundred other entities have been named as defendants in two pending litigations (Deutsche Bank Trust Co., Americas et al. v.Adaly Opportunity Fund TD Secs. Inc. et al., No. 11-cv-04784, filed July 12, 2011 in the United States District Court for the Southern District of NewYork, and Niese et al. v.AllianceBernstein L.P. et al., No. 11-cv-04538, filed July 1, 2011 in the United States District Court for the Southern District of New York) against shareholders of the Tribune Company who received payment for their shares in June or December 2007, as part of a leveraged buyout of the company (the “LBO”). Approximately one year after the LBO was concluded, the Tribune Company filed for bankruptcy. Thereafter, in approximately June 2011, certain Tribune Company creditors filed dozens of complaints in various courts throughout the country, including complaints in the two actions referred to above, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances,” and that the shareholders must return the payments they received for their shares to satisfy the plaintiffs’ unpaid claims. These cases have been consolidated for pre-trial proceedings in a multi-district litigation in the United States District Court for the Southern District of New York (S.D.N.Y. No. 11-md-2296 (WHP)).
In addition, there was a case pending in United States Bankruptcy Court for the District of Delaware brought by the Unsecured Creditors
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Committee of the Tribune Company that has since been transferred to a multi-district litigation in the United States District Court for the Southern District of NewYork (The Official Committee of Unsecured Creditors of Tribune Co. v. Fitzsimons et al., formerly Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC) and now S.D.N.Y. No. 12-cv-2652 (WHP)). The case was originally filed on November 1, 2010. In this case, the Creditors Committee seeks recovery for alleged “fraudulent conveyances” from more than 32,000 Tribune shareholders, including the fund, in a Third Amended Complaint filed in January 2012.
At this stage in the proceedings, it is not possible to assess with any reasonable certainty the probable outcomes of the pending litigations. Consequently, at this time, management is unable to estimate the possible loss that may result.
42
INFORMATION ABOUT THE RENEWAL OF THE
FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 6, 2012, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”), and the Index Management Agreement (together, the “Agreements”), pursuant to which Mellon Capital Management Corporation (the “Index Manager”) provides day to day management of the fund’s investments. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus and the Index Manager. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund.The Board considered information previously provided to them in presentations from Dreyfus representatives regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex, and Dreyfus representatives confirmed that there had been no material changes in this information. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including the distribution channel(s) for the fund.
The Fund 43
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures, as well as Dreyfus’ supervisory activities over the Index Manager. The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio.The Board reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2011, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of the date of its analysis. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds.The Board discussed the results of the comparisons and noted that the fund’s total return performance was above the Performance Group and Performance Universe medians for the various periods and ranked in the first quartile of the Performance Universe in all periods and in the first quartile of the Performance Group for four of the six
44
periods shown. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons.The Board noted that the fund’s contractual management fee was below the Expense Group median and the fund’s actual management fee and total expenses were below the Expense Group and the Expense Universe medians.
Dreyfus representatives reviewed with the Board the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Index Manager or its affiliates for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors.The Board considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
The Board considered the fee to the Index Manager in relation to the fee paid to Dreyfus by the fund and the respective services provided by the Index Manager and Dreyfus.The Board also noted the Index Manager’s fee is paid by Dreyfus (out of its fee from the fund) and not the fund.
Analysis of Profitability and Economies of Scale. Dreyfus representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The
The Fund 45
INFORMATION ABOUT THE RENEWAL OF THE FUND’S
MANAGEMENT AGREEMENT (Unaudited) (continued)
Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board’s counsel stated that the Board should consider the profitability analysis (1) as part of their evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by Dreyfus and the Index Manager, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Since Dreyfus, and not the fund, pays the Index Manager pursuant to the Index Management Agreement, the Board did not consider the Index Manager’s profitability to be relevant to its deliberations. Dreyfus representatives noted that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. Dreyfus representatives also noted that, as a result of shared and allocated costs among funds in the Dreyfus fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to Dreyfus and the Index Manager from acting as investment adviser and index manager, respectively, and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
46
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus and the Index Manager are adequate and appropriate.
The Board was satisfied with the fund’s performance.
The Board concluded that the fees paid to Dreyfus and the Index Manager were reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
The Board considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year. In addition, it should be noted that the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years.The Board determined that renewal of the Agreements was in the best interests of the fund and its shareholders.
The Fund 47
NOTES
For More Information
Telephone 1-800-554-4611 or 1-516-338-3300
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144
Attn: Investments Division
The fund files its complete schedule of portfolio holdings with the Securities and Exchange
Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The
fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be
reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on
the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote
proxies relating to portfolio securities, and information regarding how the fund voted
these proxies for the most recent 12-month period ended June 30 is available at
http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The
description of the policies and procedures is also available without charge,
upon request, by calling 1-800-DREYFUS.
© 2012 MBSC Securities Corporation |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Stock Index Fund, Inc.
By: /s/Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: |
August 16, 2012 |
| |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. | |
| |
By: /s/Bradley J. Skapyak | |
Bradley J. Skapyak, President
| |
Date: |
August 16, 2012 |
| |
By: /s/James Windels | |
James Windels, Treasurer
| |
Date: |
August 16, 2012 |
|
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)
[EX-99.CERT]—Exhibit (a)(2)
SECTION 302 CERTIFICATION
I, Bradley J. Skapyak, certify that:
1. I have reviewed this report on Form N-CSR of Dreyfus Stock Index Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting;
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/Bradley J. Skapyak |
Bradley J. Skapyak, |
President |
Date: August 16, 2012 |
SECTION 302 CERTIFICATION
I, James Windels, certify that:
1. I have reviewed this report on Form N-CSR of Dreyfus Stock Index Fund, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting;
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
By: /s/James Windels |
James Windels, |
Treasurer |
Date: August 16, 2012 |
[EX-99.906CERT]
Exhibit (b)
SECTION 906 CERTIFICATIONS
In connection with this report on Form N-CSR for the Registrant as furnished to the Securities and Exchange Commission on the date hereof (the "Report"), the undersigned hereby certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and
(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
By: /s/Bradley J. Skapyak |
Bradley J. Skapyak, |
President |
|
Date: August 16, 2012 |
|
By: /s/James Windels |
James Windels, |
Treasurer |
|
Date: August 16, 2012 |
|
This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
":EM]=M[ELI!<"(2(AE9`$^<*4/7)W;EZ#(S\P6@
M#5HK.76;<22I.DMN8X38\
M0!W;L#._`^XQY(^[ZD`@&Q16/!XBM[J18[:VN)G8-@1F-AE=N1N#;>C*4[(%R!_%C(/+#`)]%7T%$^FO-<0SC4+J.2*(
MQ!D$?S`D$DY0\G:.G''&*`*C&>XLK&69Y[B)8B+G[*[1OY@V@M@;6P,."HYR
M1\N1Q+&7O9$LWNFDCCMHI9)H6V&
!@<=.M2?V3;^;G?/Y7F^?Y'F'9YF[=N]>O.W.WOC/-`#;35X[J1$-O<0
M[Y'B#2*`/,7=E>"<\*3D?+QC.>*T:S(M'$7V?_3KIO(G>X&1'\S-G(.%Z?,W
M3'WCZ#&G0`4444`<[I?FB4M;F]E:&>=9O-E=E=`SA$7>=I;(3D=-IR1G!)/$
M%T+6>6*R>54L([E9,*HRRL