N-CSR 1 ncsr078.txt ANNUAL REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-5883 DREYFUS INDEX FUNDS, INC. (Exact name of Registrant as specified in charter) c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 (Address of principal executive offices) (Zip code) Mark N. Jacobs, Esq. 200 Park Avenue New York, New York 10166 (Name and address of agent for service) Registrant's telephone number, including area code: (212) 922-6000 Date of fiscal year end: 10/31 Date of reporting period: 10/31/03 FORM N-CSR ITEM 1. REPORTS TO STOCKHOLDERS. Dreyfus International Stock Index Fund ANNUAL REPORT October 31, 2003 YOU, YOUR ADVISOR AND DREYFUS A MELLON FINANCIAL COMPANY(SM) The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value Contents THE FUND -------------------------------------------------- 2 Letter from the Chairman 3 Discussion of Fund Performance 6 Fund Performance 7 Statement of Investments 37 Statement of Financial Futures 38 Statement of Assets and Liabilities 39 Statement of Operations 40 Statement of Changes in Net Assets 41 Financial Highlights 42 Notes to Financial Statements 50 Report of Independent Auditors 51 Important Tax Information 52 Board Members Information 54 Officers of the Fund FOR MORE INFORMATION --------------------------------------------------------------------------- Back Cover The Fund Dreyfus International Stock Index Fund LETTER FROM THE CHAIRMAN Dear Shareholder: This annual report for Dreyfus International Stock Index Fund covers the 12-month period from November 1, 2002, through October 31, 2003. Inside, you'll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund's portfolio manager, Susan Ellison Recent estimates of greater than expected U.S. Gross Domestic Product annualized growth during the third quarter of 2003 suggest that the economy has started to turn the corner. Tax cuts and low mortgage rates have put cash in consumers' pockets, and corporations have begun to increase spending and investment. As U.S. growth has strengthened, so have the prospects for many international economies. As a result, stock markets throughout the world rallied over the reporting period, posting gains in virtually every geographical region and capitalization range. We have seen strong quarters before, only to be disappointed when growth proved unsustainable. Based on recent data, we are cautiously optimistic about the current economic environment. As always, we urge you to speak regularly with your financial advisor, who may be in the best position to suggest investments that are right for your current needs, future goals and attitudes toward risk. Thank you for your continued confidence and support. Sincerely, /S/STEPHEN E. CANTER Stephen E. Canter Chairman and Chief Executive Officer The Dreyfus Corporation November 17, 2003 DISCUSSION OF FUND PERFORMANCE Susan Ellison, Portfolio Manager HOW DID DREYFUS INTERNATIONAL STOCK INDEX FUND PERFORM RELATIVE TO ITS BENCHMARK? For the 12-month period ended October 31, 2003, the fund produced a total return of 25.49%.(1) This compares with a 27.04% total return for the fund's benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East Free Index (the "MSCI EAFE Free Index" or the "Index"), during the same period.(2) After a slow start, international equity markets began a sustained rally in April 2003, which persisted through the end of the reporting period. The fund's returns lagged the Index, primarily due to fees associated with the management of the fund and trading to accommodate shareholder contributions and withdrawals. WHAT IS THE FUND'S INVESTMENT APPROACH? In managing this fund, our goal is to match the performance of the MSCI EAFE Free Index, a broadly diversified, international index composed of slightly more than 1,000 stocks that trade in 21 major markets outside the United States, including Great Britain, Germany, France, Japan, Hong Kong, Singapore, Australia and New Zealand. Weighted by market capitalization (the total value of all shares outstanding in a country's stock market) and share liquidity (a measure of the proportion of a company' s shares actually available to be bought or sold by the public), approximately 72% of the MSCI EAFE Free Index's total value is represented by its top five countries, which currently are Great Britain, Japan, France, Switzerland and Germany. The MSCI EAFE Free Index is diversified among industry groups, as those groups are represented in individual country markets. In order to simplify management and control costs, the fund attempts to match the Index' s return, not to duplicate its composition. Our carefully created sample attempts to match index weightings at the The Fun DISCUSSION OF FUND PERFORMANCE (CONTINUED) country, industry and individual security levels. Beginning by country, the fund invests in proportion to each country's weighting in the Index. That means that if the British market comprises 26% of the Index, then approximately 26% of the fund' s assets will be invested in Britain. In addition, the fund's industry allocation also matches that of the Index, in the proper proportion. For example, if a certain percentage of the market value in the Japanese sub-index is comprised of financial services firms, that same approximate percentage of the investment in the Japanese markets will also be invested in that sector. At the individual company level, the fund invests in a carefully selected sample of the stocks that make up each country's index component. The fund also invests in securities that represent the market as a whole, such as stock index futures, and manages its exposure to foreign currencies so that the fund's currency profile matches the currency makeup of the MSCI EAFE Free Index. WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE? During the reporting period, every equity market included in the MSCI EAFE benchmark delivered positive returns primarily from an improving global economy, the quick end to major combat operations in Iraq, and an improvement in investor sentiment throughout the world. Overall, global markets benefited from rising industrial production and gains in business and consumer confidence. Japan posted particularly strong returns amid stronger economic growth than the country has seen in many years. Germany cut taxes to encourage consumer spending, triggering a local stock market rally. The technology sector posted some of the Index's strongest results, as investors anticipated a pickup in demand from corporate consumers of technology products. The basic materials sector, including chemicals and metals companies, benefited from higher production among manufacturers. Some airlines enjoyed revenue gains as travel increased and energy prices moderated. In the financial services group, gains reported by several Japanese banks reflected that country's restructuring efforts, while Hong Kong real estate was buoyed by the containment of the SARS epidemic. Lagging sectors included consumer staples, such as food and beverage stocks, as investors shifted away from relatively defensive sectors and toward more speculative issues. As of October 31, 2003, the countries with the greatest representation in the Index and the fund were Great Britain (25.9% of the Index), Japan (22.7%), France (9.5%), Switzerland (7.2%) and Germany (6.6%). WHAT IS THE FUND'S CURRENT STRATEGY? The fund's ongoing strategy is to provide a broad exposure to the world's major stock markets outside the United States. We do this by remaining fully invested in a way that is designed to deliver the return of the MSCI EAFE Free Index, minus fund expenses. As an index fund, we do not actively select stocks based on their individual merits. Instead, we believe that attempting to match the Index' s return is a practical and cost-effective way for our shareholders to gain exposure to European and Asian markets for a portion of their overall investment portfolios. November 17, 2003 (1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE, YIELD AND INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. (2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF NET DIVIDENDS AND, WHERE APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST (MSCI EAFE) FREE INDEX IS AN UNMANAGED INDEX COMPOSED OF A SAMPLE OF COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND PACIFIC BASIN COUNTRIES. THE INDEX REFLECTS ACTUAL INVESTABLE OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT ARE FREE OF FOREIGN OWNERSHIP LIMITS OR LEGAL RESTRICTIONS AT THE COUNTRY LEVEL. The Fund FUND PERFORMANCE Comparison of change in value of $10,000 investment in Dreyfus International Stock Index Fund and the Morgan Stanley Capital International Europe, Australasia, Far East Free Index -------------------------------------------------------------------------------- Average Annual Total Returns as of 10/31/03
Inception From Date 1 Year 5 Years Inception ----------------------------------------------------------------------------------------------------------------------------------- FUND 6/30/97 25.49% (1.27)% (1.17)% ((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS INTERNATIONAL STOCK INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE MORGAN STANLEY CAPITAL INTERNATIONAL EUROPE, AUSTRALASIA, FAR EAST FREE INDEX (THE "INDEX") ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS ARE REINVESTED. THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE FEES AND EXPENSES. THE INDEX IS AN UNMANAGED INDEX COMPOSED OF A SAMPLE OF COMPANIES REPRESENTATIVE OF THE MARKET STRUCTURE OF EUROPEAN AND PACIFIC BASIN COUNTRIES AND INCLUDES NET DIVIDENDS REINVESTED AND REFLECTS ACTUAL INVESTABLE OPPORTUNITIES FOR GLOBAL INVESTORS FOR STOCKS THAT ARE FREE OF FOREIGN OWNERSHIP LIMITS OR LEGAL RESTRICTIONS AT THE SECURITY OR COUNTRY LEVEL. THE INDEX DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT. STATEMENT OF INVESTMENTS October 31, 2003
COMMON STOCKS--97.1% Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ AUSTRALIA--4.8% AMP 19,981 93,288 AMP (Rights) 19,981 1,163 Alumina 15,007 63,463 Amcor 11,276 68,008 Ansell 1,500 7,365 Aristocrat Leisure 4,441 7,468 Australia and New Zealand Banking 20,141 254,381 Australia and New Zealand Banking (Rights) 3,662 11,199 Australian Gas Light 6,621 50,268 Australian Stock Exchange 1,400 15,894 BHP Billiton 49,834 414,416 BHP Steel 9,472 36,427 Boral 8,368 32,656 Brambles Industries 12,929 42,843 CFS Gandel Retail Trust (Units) 13,489 12,347 CSL 2,106 25,403 CSR 11,900 17,900 Centro Properties 8,069 21,699 Coca-Cola Amatil 6,081 25,414 Cochlear 616 13,768 Coles Myer 14,955 82,450 Commonwealth Bank of Australia 16,971 331,149 Commonwealth Property Office Fund 17,000 13,992 Computershare 3,800 9,653 Deutsche Office Trust (Units) 19,000 14,964 Foster's 29,550 95,820 Futuris 13,537 14,504 General Property Trust (Units) 25,216 49,919 Harvey Norman 7,600 18,119 Iluka Resources 4,328 14,341 Insurance Australia 23,668 74,732 Investa Property 16,318 22,346 James Hardie Industries 6,600 33,577 John Fairfax 11,200 28,768 Leighton 1,803 14,546 Lend Lease 4,996 39,738 Lion Nathan 4,000 15,667 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ AUSTRALIA (CONTINUED) Macquarie Bank 2,574 63,631 Macquarie Goodman Industrial Trust 19,046 20,812 Macquarie Infrastructure (Units) 27,028 60,793 Mayne 12,855 33,201 Mirvac 11,421 34,522 National Australia Bank 20,104 436,360 Newcrest Mining 4,552 39,017 News Corporation 19,912 177,313 OneSteel 7,634 12,025 Orica 4,324 40,530 Origin Energy 9,044 27,594 PaperlinX 6,000 21,585 Patrick 2,000 20,719 Publishing & Broadcasting 1,600 13,680 QBE Insurance 9,133 66,747 Rinker 11,900 53,617 Rio Tinto 4,142 104,774 Santos 8,000 34,683 Sonic Healthcare 3,824 18,613 Southcorp 7,524 16,550 Stockland 14,031 48,285 Stockland (Units) 372 1,264 Suncorp-Metway 7,059 64,963 TAB 5,000 12,595 TABCORP 5,000 41,118 Telstra 31,567 106,168 Toll 2,918 17,309 Transurban 7,401 (b) 21,846 WMC Resources 15,007 54,519 Wesfarmers 5,197 106,938 Westfield 5,794 58,419 Westfield Trust 30,039 70,976 Westfield Trust (Units) 1,098 2,579 Westpac Banking 23,547 269,831 Woodside Petroleum 6,800 63,834 Woolworths 13,578 107,133 4,434,198 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ AUSTRIA--.2% Bank of Austria Creditanstalt 490 21,350 Erste Bank der oesterreichischen Sparkassen 400 44,226 Flughafen Wien 140 5,706 Immofinanz Immobilien Anlagen 1,963 (a,b) 14,194 Mayr-Melnhof Karton 100 9,993 OMV 215 27,493 Oesterreichische Elektrizitaetswirtschafts, Cl. A 45 4,237 Telekom Austria 2,700 (a) 28,688 VA Technologie 150 (a) 4,035 Voestalpine 250 8,951 Wienerberger 500 10,637 179,510 BELGIUM--1.0% Agfa Gevaert 1,450 35,988 Barco 140 10,335 Bekaert 240 11,924 Colruyt 250 22,669 Compagnie Maritime Belge 50 2,532 Cofinimmo 100 12,462 Delhaize 1,070 50,812 Dexia 8,522 134,237 Electrabel 412 113,943 Fortis 13,783 245,789 Groupe Bruxelles Lambert 905 43,713 Interbrew 2,010 47,060 KBC Bankverzekeringsholding 1,212 51,413 Mobistar 200 (a) 10,044 Omega Pharma 300 9,238 S.A. D'Ieteren 70 13,020 Solvay 850 63,289 UCB 1,300 41,000 Umicore 100 6,086 925,554 DENMARK--.8% A P Moller-Maersk 15 117,757 Bang & Olufsen, Cl. B 100 3,878 Carlsberg, Cl. B 400 16,608 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ DENMARK (CONTINUED) Coloplast, Cl. B 200 16,827 DSV 300 10,556 Danisco 800 30,776 Danske Bank 6,626 133,669 East Asiatic Company 200 7,506 FLS Industries, Cl. B 500 (a) 5,356 GN Store Nord 2,400 (a) 15,576 Group 4 Falck 880 19,748 H. Lundbeck 1,100 20,213 ISS 632 30,144 Kobenhavns Lufthavne 100 10,384 NEG Micon 300 (a) 4,316 NKT 500 8,523 Novo Nordisk, Cl. B 3,403 122,400 Novozymes, Cl. B 625 20,134 TDC 1,860 59,774 Topdanmark 400 (a) 19,892 Vestas Wind Systems 1,300 27,344 William Demant 600 (a) 20,408 721,789 FINLAND--1.8% Amer 300 11,422 Elisa 1,600 (a) 19,065 Fortum 5,100 47,015 Kesko, Cl. B 700 10,888 Kone, Cl. B 470 24,560 Metso 1,910 21,404 Nokia 64,489 1,095,289 Nokian Renkaat 100 7,470 Orion-Yhtyma, Cl. B 500 9,620 Outokumpu 1,200 14,522 Pohjola, Cl. D 400 9,016 Rautaruukki 2,100 (a) 14,599 Sampo, Cl. A 3,520 29,626 Stora Enso 8,956 121,813 TietoEnator 1,103 29,235 UPM-Kymmene 6,616 123,827 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ FINLAND (CONTINUED) Uponor 500 13,311 Wartsila, Cl. B 500 8,573 1,611,255 FRANCE--8.8% Accor 2,518 99,026 Air France 800 (b) 12,797 Alcatel 16,025 (a) 211,440 Alstom 5,100 (a,b) 16,245 Atos Origin 300 (a) 20,018 Autoroutes du Sud de la France 900 27,726 Aventis 9,038 478,579 Axa 18,752 355,327 BNP Paribas 10,724 563,493 Bouygues 2,800 76,167 Business Objects 750 (a) 24,587 CNP Assurances 395 18,014 Cap Gemini 1,497 (a) 75,440 Carrefour 7,620 400,038 Casino Guichard-Perrachon 463 42,386 Compagnie de Saint-Gobain 4,146 174,908 Compagnie Generale des Etablissements Michelin, Cl. B 1,742 68,346 Credit Agricole 4,810 102,159 Credit Agricole (Rights) 4,510 1,048 Dassault Systemes 530 22,489 Essilor International 1,336 64,267 European Aeronautic Defence and Space 3,900 79,341 France Telecom 14,482 (a) 350,511 Gecina 165 20,677 Groupe Danone 1,648 248,671 Hermes International 100 17,217 Imerys 106 20,332 Klepierre 340 18,122 L'Air Liquide 1,329 196,983 L'Oreal 4,496 332,412 LVMH Moet Hennessy Louis Vuitton 2,933 202,701 Lafarge 2,248 160,979 Lagardere S.C.A. 1,605 80,734 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ FRANCE (CONTINUED) PSA Peugeot Citroen 2,522 108,184 Pechiney, Cl. A 1,020 56,382 Pernod-Ricard 703 67,831 Pinault-Printemps-Redoute 950 96,798 Publicis 1,310 40,965 Renault 2,268 150,020 Sagem 280 28,579 Sanofi-Synthelabo 4,871 301,530 Schneider Electric 2,587 151,422 Societe BIC 550 22,775 Societe Generale, Cl. A 4,345 (a) 322,763 Societe Television Francaise 1 1,650 49,488 Sodexho Alliance 1,158 30,289 Suez 10,683 171,382 Technip 273 26,976 Thales 1,091 31,454 Thomson 2,600 54,768 Total 8,783 1,365,109 Unibail 489 38,570 Valeo 984 36,845 Veolia Environnement 3,300 73,656 Vinci 900 65,234 Vivendi Universal 12,387 (a) 260,206 Wanadoo 5,600 (a) 41,664 Zodiac 480 14,184 8,190,254 GERMANY--6.1% Adidas-Salomon 601 55,474 Allianz 3,696 395,717 Altana 986 62,125 BASF 7,223 331,671 Bayer 8,742 209,247 Bayerische Hypo-und Vereinsbank 4,621 (a) 100,885 Beiersdorf 345 (b) 39,063 Celesio 362 15,141 Commerzbank 5,945 117,350 Continental 1,600 54,498 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ GERMANY (CONTINUED) DaimlerChrysler 11,450 425,274 Deutsche Bank 6,965 459,089 Deutsche Boerse 1,410 78,432 Deutsche Lufthansa 2,624 40,875 Deutsche Post 5,500 106,456 Deutsche Telekom 27,915 (a) 438,091 Douglas 440 12,736 E.ON 7,823 393,780 Epcos 600 (a) 12,276 Fresenius Medical Care 461 (b) 26,260 HeidelbergCement 437 (a) 18,390 Hypo Real Estate 776 (a) 13,441 Infineon Technologies 5,700 (a) 84,153 KarstadtQuelle 780 19,314 Linde 1,233 56,259 MAN 1,350 37,116 MLP 795 (a) 15,240 Merck KGaA 750 26,592 Metro 2,093 84,916 Muenchener Rueckversicherungs-Gesellschaft 1,595 190,425 Muenchener Rueckversicherungs-Gesellschaft (Rights) 1,595 13,183 Puma Rudolf Dassler 210 30,320 QIAGEN 2,300 (a) 26,738 RWE 4,777 132,723 SAP 2,723 395,211 Schering 2,222 104,485 Siemens 10,758 722,857 Suedzucker 500 8,475 TUI 1,795 31,405 ThyssenKrupp 4,106 67,971 Volkswagen 2,980 150,348 5,604,002 GREECE--.4% Alpha Bank 1,971 44,909 Bank of Piraeus 1,500 13,950 Coca-Cola Hellenic Bottling 1,038 20,151 Commercial Bank of Greece 950 20,343 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ GREECE (CONTINUED) EFG Eurobank Ergasias 2,400 41,236 Greek Organization of Football Prognostics 2,100 25,389 Hellenic Petroleum 1,300 10,428 Hellenic Telecommunications Organization 3,700 41,808 Intracom 500 3,453 National Bank of Greece 2,600 54,405 Public Power 800 17,205 Titan Cement 500 19,181 Viohalco, Hellenic Copper and Aluminum Industry 2,000 9,579 Vodafone Panafon 2,168 15,122 337,159 HONG KONG--1.7% ASM Pacific Technology 2,500 9,352 BOC Hong Kong 35,500 61,485 Bank of East Asia 18,391 55,061 CLP 23,788 107,212 Cathay Pacific Airways 13,000 24,859 Cheung Kong 20,000 166,759 Cheung Kong Infrastructure 6,000 13,096 Esprit 8,000 25,085 Giordano International 20,000 9,014 Hang Lung Properties 14,000 18,298 Hang Seng Bank 10,100 126,157 Henderson Land Development 8,000 33,584 Hong Kong and China Gas 50,772 70,283 Hong Kong Exchanges & Clearing 16,000 34,820 Hongkong Electric 19,500 76,085 Hopewell 8,000 13,289 Hopewell Highway Infrastructure (Warrants) 800 165 Hutchison Whampoa 28,800 222,517 Hysan Development 9,000 13,096 Johnson Electric 19,900 25,754 Li & Fung 26,000 43,692 MTR 17,500 23,662 New World Development 18,708 11,985 PCCW 43,207 (a,b) 31,158 SCMP 11,759 5,792 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ HONG KONG (CONTINUED) Shangri-La Asia 20,000 19,187 Sino Land 20,664 10,843 SmarTone Telecommunications 4,000 6,490 Sun Hung Kai Properties 17,384 146,066 Swire Pacific, Cl. A 12,500 76,297 Techtronic Industries 6,000 16,534 Television Broadcasts 3,000 14,217 Wharf 17,171 43,228 Yue Yuen Industrial 4,800 13,567 1,568,689 IRELAND--.7% Allied Irish Banks 11,271 164,830 Bank of Ireland 13,711 170,388 CRH 7,116 127,973 DCC 1,000 13,427 Elan 4,774 (a) 23,587 Fyffes 4,100 7,435 Grafton 2,000 (a) 12,439 Greencore 2,474 8,916 Independent News & Media 7,300 15,954 Irish Life & Permanent 4,000 56,033 Kerry 1,600 27,900 Ryanair 2,000 (a) 16,973 Waterford Wedgwood (Units) 16,900 5,697 651,552 ITALY--3.6% Alleanza Assicurazioni 6,800 68,062 Assicurazioni Generali 12,725 292,898 Autogrill 1,528 (a) 19,344 Banca Fideuram 4,000 25,110 Banca Intesa 12,812 32,171 Banca Intesa (RNC) 47,206 159,143 Banca Monte dei Paschi di Siena 13,050 38,913 Banca Nazionale del Lavoro 18,000 (a) 41,013 Banca Populare di Milano 5,900 30,110 Banche Popolari Unite Scrl 4,200 (a) 63,961 Banco Popolare di Verona e Novara Scri 4,860 75,142 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ ITALY (CONTINUED) Benetton 730 8,681 Bulgari 2,300 20,802 Capitalia 16,143 45,039 Enel 28,223 176,514 Eni 34,595 549,360 Fiat 5,733 (a) 43,120 FinecoGroup 19,250 (a,b) 13,583 Finmeccanica 75,360 53,702 Gruppo Editoriale L'Espresso 2,400 12,862 Italcementi 1,565 18,830 Luxottica 2,100 33,494 Mediaset 8,065 81,474 Mediobanca 6,081 61,148 Mediolanum 4,300 30,042 Mondadori (Arnoldo) Editore 2,050 15,729 Parmalat Finanziaria 5,506 17,154 Pirelli 17,996 13,954 Riunione Adriatica di Sicurta 4,264 66,621 Sanpaolo IMI 13,512 152,050 Seat Pagine Gialle 43,140 (a) 41,875 Snam Rete Gas 11,600 43,691 Snia 4,800 10,044 Telecom Italia 123,210 321,555 Telecom Italia (RNC) 77,086 (a) 133,702 Telecom Italia Mobile 50,476 (a) 232,953 Telecom Italia Media 19,085 (a,b) 8,249 Tiscali 1,650 (a) 10,972 UniCredito Italiano 50,192 247,396 3,310,463 JAPAN--22.2% ACOM 950 42,516 ADERANS 400 7,277 ADVANTEST 900 67,049 AEON 3,100 102,360 AEON CREDIT SERVICE 220 10,186 AIFUL 600 37,932 ALL NIPPON AIRWAYS 7,000 (a,b) 18,020 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) ALPS ELECTRIC 2,000 33,529 AMADA 5,000 21,604 ANRITSU 2,000 (a,b) 13,063 AOYAMA TRADING 700 12,989 ARIAKE JAPAN 200 6,058 ASAHI BREWERIES 5,000 41,752 ASAHI KASEI 16,900 80,553 ASATSU-DK 300 7,163 AUTOBACS SEVEN 500 10,916 Ajinomoto 7,800 78,756 Amano 1,000 6,868 Asahi Glass 10,800 85,272 Ashikaga Financial 9,000 (a) 9,005 BANDAI 400 10,624 BANDAI (Bonus) 400 10,624 BANK OF FUKUOKA 8,000 33,402 BELLSYSTEM24 20 4,549 BRIDGESTONE 8,400 110,029 Bank of Yokohama 14,000 (b) 60,490 Benesse 1,000 24,560 CANON 11,100 537,154 CAPCOM 900 11,625 CASIO COMPUTER 2,000 (b) 17,811 CHUGAI PHARMACEUTICAL 4,128 58,802 COCA-COLA WEST JAPAN 500 9,255 COMSYS 1,000 (a) 6,249 CSK 900 34,056 Central Glass 2,000 12,717 Central Japan Railway 12 105,008 Chiba Bank 9,000 38,723 Chubu Electric Power 8,600 172,493 Citizen Watch 4,000 32,783 Credit Saison 1,800 37,659 DAI NIPPON PRINTING 7,800 120,475 DAICEL CHEMICAL INDUSTRIES 2,000 8,478 DAIDO LIFE INSURANCE 16 47,592 DAIDO STEEL 200 395 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) DAIICHI PHARMACEUTICAL 3,000 45,845 DAIKIN INDUSTRIES 2,000 42,662 DAINIPPON INK AND CHEMICALS 8,000 15,937 DAINIPPON SCREEN MANUFACTURING 2,000 (a,b) 14,281 DAITO TRUST CONSTRUCTION 1,100 34,020 DENKI KAGAKU KOGYO KABUSHIKI KAISHA 5,600 17,014 DENSO 6,700 127,071 DENTSU 4 18,011 DOWA MINING 3,000 16,210 Daimaru 3,000 17,683 Daiwa House Industry 5,400 58,256 Daiwa Securities 16,000 117,015 EBARA 3,000 12,034 East Japan Railway 46 208,378 Eisai 3,000 70,405 FANUC 1,600 96,202 FAST RETAILING 700 42,534 FUJI ELECTRIC 5,000 12,325 FUJISAWA PHARMACEUTICAL 4,000 82,594 FUJITSU 21,800 136,628 FamilyMart 600 13,044 Fuji Photo Film 6,200 182,726 Fuji Television Network 3 15,964 Fujikura 4,000 24,051 Furukawa Electric 6,000 22,704 GUNZE 3,000 13,617 Gunma Bank 6,000 25,761 HANKYU DEPARTMENT STORES 2,000 14,645 HINO MOTORS 2,000 11,425 HIROSE ELECTRIC 400 49,156 HONDA MOTOR 10,400 410,570 HOUSE FOODS 1,220 13,206 HOYA 1,500 135,762 Hitachi 37,900 222,708 Hitachi Cable 3,000 11,925 Hitachi Chemical 1,100 17,771 Hitachi Software Engineering 200 6,222 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) Hokugin Financial 14,000 (a) 22,031 ISHIHARA SANGYO KAISHA 4,000 (a) 8,223 ITO EN 300 (b) 12,144 ITOCHU 18,500 62,432 ITOCHU TECHNO-SCIENCE 300 10,069 ITO-YOKADO 5,000 183,745 Isetan 2,000 20,703 Ishikawajima-Harima Heavy Industries 17,000 23,196 JAFCO 300 25,651 JAPAN TOBACCO 10 66,767 JFE 5,960 152,341 JGC 3,000 25,788 JSR 3,000 63,583 Japan Airlines System 10,600 (b) 30,469 Japan Real Estate Investment 2 (b) 11,698 Joyo Bank 9,462 30,296 KAJIMA 10,800 40,475 KAKEN PHARMACEUTICAL 1,000 (b) 5,039 KANDENKO 105 361 KANEBO 6,000 (a) 6,331 KANEKA 3,000 23,387 KATOKICHI 600 9,578 KEIO ELECTRIC RAILWAY 7,000 36,994 KEYENCE 440 96,777 KIKKOMAN 2,000 13,026 KINDEN 3,000 13,071 KIRIN BREWERY 9,000 71,961 KOKUYO 1,000 10,397 KOMATSU 12,600 68,195 KOMORI 1,000 12,353 KONAMI 1,200 36,567 KONICA MINOLTA 5,000 65,721 KOYO SEIKO 1,000 10,188 KUBOTA 13,000 46,828 KYOCERA 2,200 132,478 KYOWA HAKKO KOGYO 5,000 29,472 Kamigumi 2,400 15,631 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) Kansai Electric Power 8,999 155,529 Kao 7,000 143,903 Kawasaki Heavy Industries 15,000 18,966 Kawasaki Kisen Kaisha 6,000 24,069 Keihin Electric Express Railway 6,000 (b) 35,093 Kinki Nippon Railway 18,354 (a,b) 55,261 Kuraray 5,000 37,659 Kurita Water Industries 1,000 12,134 Kyushu Electric Power 5,300 87,550 LAWSON 800 30,564 MABUCHI MOTOR 400 30,491 MAEDA ROAD CONSTRUCTION 200 1,052 MARUHA 400 546 MARUI 4,800 60,952 MEITEC 500 17,874 MINEBEA 4,000 22,777 MITSUBISHI GAS CHEMICAL 5,000 14,145 MITSUBISHI MATERIALS 10,000 (a) 16,100 MITSUI & CO. 15,400 112,066 MITSUMI ELECTRIC 900 9,423 MURATA MANUFACTURING 3,100 176,241 Makita 2,000 19,830 Marubeni 17,000 30,618 Matsumotokiyoshi 200 10,060 Matsushita Electric Industrial 28,195 371,625 Matsushita Electric Works 6,000 (b) 45,081 Meiji Dairies 4,000 14,991 Meiji Seika Kaisha 4,000 15,427 Millea 20 238,323 Mitsubishi 14,000 145,304 Mitsubishi Chemical 22,200 58,158 Mitsubishi Electric 23,000 102,724 Mitsubishi Estate 13,000 124,637 Mitsubishi Heavy Industries 37,700 103,565 Mitsubishi Logistics 2,000 17,410 Mitsubishi Rayon 7,000 25,979 Mitsubishi Tokyo Financial 54 388,047 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) Mitsui Chemicals 7,000 40,879 Mitsui Engineering & Shipbuilding 11,000 16,910 Mitsui Fudosan 9,000 83,750 Mitsui Mining & Smelting 7,000 28,017 Mitsui O.S.K Lines 10,000 40,660 Mitsui Sumitomo Insurance 17,230 141,996 Mitsui Trust 7,380 (a) 39,271 Mitsukoshi 5,000 (a,b) 18,602 Mizuho Financial 78 (a) 190,858 NAMCO 500 13,781 NEC 18,800 (a) 166,051 NGK INSULATORS 4,000 27,325 NGK SPARK PLUG 2,000 16,773 NICHII GAKKAN 220 11,967 NICHIREI 4,000 13,281 NIDEC 500 48,438 NIKON 3,600 (a) 54,654 NIPPON KAYAKU 2,000 10,133 NIPPON MEAT PACKERS 2,000 19,957 NIPPON MINING 6,800 24,866 NIPPON OIL 17,800 87,919 NIPPON SHOKUBAI 2,000 14,008 NIPPON STEEL 73,100 150,276 NIPPON TELEGRAPH AND TELEPHONE 70 312,639 NISSAN MOTOR 33,600 376,543 NISSHINBO INDUSTRIES 2,000 9,988 NITTO DENKO 2,000 104,971 NSK 5,000 20,603 NTN 6,000 31,273 NTT Data 17 (b) 75,308 NTT DoCoMo 234 506,590 Net One Systems 2 14,991 Nikko Cordial 18,000 97,094 Nintendo 1,300 100,396 Nippon Building Fund 2 (b) 12,316 Nippon Express 11,000 49,629 Nippon Light Metal 400 1,030 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) Nippon Sanso 3,000 12,416 Nippon Sheet Glass 6,000 18,447 Nippon Unipac 10 47,119 Nippon Yusen Kabushiki Kaisha 11,800 50,233 Nishimatsu Construction 3,000 12,526 Nissan Chemical Industries 2,000 17,428 Nisshin Seifun 2,000 16,392 Nissin Food Products 1,000 22,968 Nomura 24,000 412,171 Nomura Research Institute 200 20,103 OBAYASHI 9,000 41,015 OBIC 100 22,013 OJI PAPER 11,000 58,535 OKUMURA 3,000 12,253 OLYMPUS OPTICAL 3,000 65,766 OMRON 3,000 65,766 ONWARD KASHIYAMA 2,000 22,450 ORACLE CORPORATION JAPAN 400 23,468 ORIENTAL LAND 600 32,965 ORIX 1,040 87,506 OSAKA GAS 28,000 77,428 Oki Electric Industry 7,000 (a) 31,009 PIONEER 2,000 49,848 Promise 1,200 53,923 Q.P. 1,100 8,905 RICOH 9,000 170,692 ROHM 1,400 188,730 Resona 60,000 (a) 87,870 SANDEN 2,000 10,734 SANKYO 500 16,692 SANKYO COMPANY 5,000 80,047 SANYO ELECTRIC 21,000 96,275 SAPPORO BREWERIES 5,000 (b) 13,644 SECOM 3,000 117,342 SEGA 1,400 (a) 15,498 SEVEN-ELEVEN JAPAN 6,000 189,930 SHIMACHU 400 7,823 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) SHIMAMURA 300 20,849 SHIMANO 800 14,991 SHIMIZU 7,000 27,061 SHIZUOKA BANK 8,400 59,293 SHOWA SHELL SEKIYU 1,000 8,032 SKYLARK 1,000 16,473 SMC 700 84,241 SOFTBANK 2,700 138,764 SONY 11,680 406,917 SUMITOMO 10,000 69,405 SUMITOMO CHEMICAL 15,000 55,942 SUMITOMO HEAVY INDUSTRIES 7,000 (a) 15,473 SURUGA BANK 2,000 12,535 SUZUKEN 600 18,556 Sanwa Shutter 200 1,141 Seiko Epson 800 28,817 Seino Transportation 2,000 14,099 Sekisui Chemical 5,000 24,605 Sekisui House 7,000 68,704 77 Bank 4,000 20,958 Sharp 12,000 188,948 Shin-Etsu Chemical 4,900 182,299 Shionogi & Co. 4,000 67,131 Shiseido 5,000 52,486 Showa Denko 15,000 29,063 Snow Brand Milk Products 1,750 (a) 5,380 Sompo Japan Insurance 10,000 82,776 Stanley Electric 2,000 42,571 Sumitomo Bakelite 2,000 12,280 Sumitomo Electric Industries 7,800 67,049 Sumitomo Metal Industries 44,000 40,824 Sumitomo Metal Mining 6,000 41,152 Sumitomo Mitsui Financial 50 (b) 251,512 Sumitomo Osaka Cement 4,000 7,386 Sumitomo Realty & Development 4,000 37,113 Sumitomo Trust and Banking 13,000 72,607 TAIHEIYO CEMENT 10,000 24,742 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) TAISEI 10,000 34,748 TAISHO PHARMACEUTICAL 2,000 34,511 TAKARA 2,000 (b) 15,718 TAKEFUJI 950 56,256 TAKUMA 1,000 5,148 TDK 1,500 98,240 TEIJIN 11,000 32,619 TEIKOKU OIL 3,000 13,808 TERUMO 2,300 43,726 THK 1,300 26,370 TIS 500 17,601 TOBU RAILWAY 10,000 35,021 TODA 3,000 8,378 TOHO 1,900 23,401 TOKYO BROADCASTING SYSTEM 500 8,009 TOKYO GAS 35,000 120,025 TOKYO STYLE 1,000 9,942 TOKYU 12,820 63,555 TOPPAN PRINTING 8,000 73,352 TORAY INDUSTRIES 17,000 70,669 TOSHIBA 36,000 (a) 144,413 TOSOH 6,000 16,755 TOTO 4,000 33,292 TOYO SEIKAN KAISHA 2,000 23,377 TOYO SUISAN KAISHA 1,000 10,561 TOYOBO 8,200 16,559 TOYODA GOSEI 800 23,650 TOYOTA INDUSTRIES 2,000 36,931 Taiyo Yuden 1,100 15,909 Takashimaya 4,000 29,181 Takeda Chemical Industries 11,400 403,384 Tohoku Electric Power 6,000 97,257 Tokyo Electric Power 15,272 325,764 Tokyo Electron 2,000 143,357 TonenGeneral Sekiyu 4,000 32,674 Tostem Inax 3,424 61,014 Toyota Motor 36,414 1,036,756 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ JAPAN (CONTINUED) Trend Micro 1,000 (a) 27,562 UFJ 45 (a) 192,386 UNI-CHARM 600 27,998 USS 300 21,313 UNY 2,000 20,812 USHIO 1,000 17,056 Ube Industries 7,600 16,315 WACOAL 1,000 8,269 WORLD 500 13,553 West Japan Railway 14 52,085 YAKULT HONSHA 1,000 15,555 YAMADA DENKI 900 28,653 YAMAHA 2,000 40,297 YAMATO TRANSPORT 5,400 71,764 YAMAZAKI BAKING 2,000 14,809 YOKOGAWA ELECTRIC 2,900 33,897 Yamaha Motor 1,000 11,343 Yamanouchi Pharmaceutical 4,300 107,955 20,370,324 LUXEMBOURG--.1% Arcelor 4,765 67,967 NETHERLANDS--5.1% ABN AMRO 20,648 433,260 ASML 6,093 (a) 105,751 Aegon 16,183 212,208 Akzo Nobel 3,745 118,417 Corio 515 17,176 DSM 1,095 50,205 Euronext 1,000 (a) 24,471 Hagemeyer 1,242 3,595 Heineken 2,527 90,186 IHC Caland 387 16,511 ING Groep 22,580 468,812 Koninklijke Ahold 9,254 (a) 78,317 Koninklijke Numico 2,032 (a) 45,850 Koninklijke (Royal) KPN 23,619 (a) 179,569 Koninkiljke (Royal) Philips Electronics 17,504 471,879 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ NETHERLANDS (CONTINUED) Koninklijke Vendex KBB 1,357 16,706 Oce 1,000 13,276 Reed Elsevier 8,347 92,958 Rodamco Europe 480 24,496 Royal Dutch Petroleum 28,220 1,252,195 STMicroelectronics 7,985 212,571 TPG 4,472 96,436 Unilever 7,602 441,601 VNU 3,113 94,814 Vedior 1,420 20,469 Wereldhave 200 12,578 Wolters Kluwer 3,899 54,799 4,649,106 NEW ZEALAND--.2% Auckland International Airport 2,592 10,527 Carter Holt Harvey 15,900 17,879 Contact Energy 5,200 16,135 Fisher & Paykel Appliances 1,192 10,789 Fisher & Paykel Healthcare 1,000 7,435 Fletcher Building 8,122 21,909 Sky City Entertainment 2,900 15,948 Telecom Corporation of New Zealand 26,485 78,765 Warehouse 2,700 9,456 188,843 NORWAY--.5% Aker Kvaerner 417 (a,b) 6,810 DnB 5,600 32,703 Frontline 600 11,708 Gjensidige NOR 775 31,780 Norsk Hydro 1,874 105,465 Norske Skogindustrier 1,250 23,773 Orkla 2,969 62,239 Schibsted 500 8,802 Smedvig, Cl. A 400 (b) 2,772 Statoil 5,825 54,774 Storebrand 3,200 (a) 17,828 Tandberg 1,400 (a) 9,859 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ NORWAY (CONTINUED) Telenor 9,481 51,614 Tomra Systems 2,550 14,675 434,802 PORTUGAL--.4% Banco BPI 5,214 16,062 Banco Comercial Portugues 26,804 (b) 51,725 Banco Espirito Santo 1,744 (b) 25,018 Brisa-Auto Estradas de Portugal 4,100 25,642 CIMPOR-Cimentos de Portugal 3,445 (b) 15,218 EDP 23,940 54,269 Jeronimo Martins 400 (a,b) 3,767 PT Multimedia 600 (a,b) 10,281 Portugal Telecom 13,134 110,390 Sonae 19,560 (a) 13,416 325,788 SINGAPORE--.8% Capitaland 14,000 13,108 Chartered Semiconductor Manufacturing 11,000 (a,b) 10,804 City Developments 7,000 24,326 ComfortDelGro 17,700 7,879 Creative Technology 1,000 10,397 Cycle & Carriage 1,422 4,901 DBS 14,059 115,479 Fraser & Neave 2,430 17,168 Haw Par 658 1,655 Keppel 8,500 29,050 Neptune Orient Lines 11,000 (a) 14,027 Oversea-Chinese Banking 13,143 91,347 Overseas Union Enterprise 1,000 4,021 SembCorp Industries 16,037 12,159 SembCorp Logistics 8,000 7,720 Singapore Airlines 7,000 48,652 Singapore Exchange 9,000 8,582 Singapore Post 18,000 6,927 Singapore Press 4,900 55,447 Singapore Technologies Engineering 17,000 18,846 Singapore Telecommunications 84,900 83,878 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ SINGAPORE (CONTINUED) United Overseas Bank 16,112 125,864 United Overseas Land 10,000 11,029 Venture 3,000 32,568 755,834 SPAIN--3.4% ACS 550 23,158 Abertis Infraestructuras 2,727 36,774 Acciona 400 20,995 Acerinox 670 29,169 Altadis 4,591 111,423 Amadeus Global Travel Distribution 3,600 22,599 Antena 3 Television 228 (a,b) 7,448 Banco Bilbao Vizcaya Argentaria 40,379 463,304 Banco Popular Espanol 2,080 108,157 Banco Santander Cental Hispano 57,076 (b) 547,394 Corporacion Mapfre 1,100 13,708 Endesa 11,969 189,926 Fomento de Construcciones y Contratas 731 23,845 Gas Natural SDG 2,460 (b) 47,272 Grupo Dragados 1,370 27,982 Grupo Ferrovial 900 25,696 Iberdrola 10,400 173,491 Iberia Lineas Aereas de Espana 5,400 13,183 Indra Sistemas 1,300 14,629 Industria de Diseno Textil 3,108 64,204 NH Hoteles 665 (a) 7,646 Promotora de Informaciones 1,300 14,417 Repsol YPF 12,400 216,225 Sacyr Vallehermoso 1,470 19,584 Sociedad General de Aguas de Barcelona 831 10,945 Telefonica 63,216 (a) 786,328 Telefonica Publicidad e Informacion 1,800 9,060 Union Fenosa 2,519 40,704 Zeltia 1,600 (b) 11,365 3,080,631 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ SWEDEN--2.2% AB SKF, Cl. A 318 11,251 AB SKF, Cl. B 1,200 42,457 Alfa Laval 900 11,883 Assa Abloy, Cl. B 4,200 41,457 Atlas Copco, Cl. A 1,500 (b) 52,687 Atlas Copco, Cl. B 1,000 32,689 Axfood 300 5,999 Billerud 600 8,615 Castellum 600 11,960 Drott, Cl. B 700 11,351 Electrolux, Cl. B 4,100 84,093 Eniro 1,900 15,223 Gambro, Cl. A 2,332 17,339 Gambro, Cl. B 1,300 9,749 Getinge, Cl. B 400 14,639 Hennes & Mauritz, Cl. B 6,300 133,659 Hoganas, Cl. B 500 9,807 Holmen, Cl. B 600 20,113 Modern Times, Cl. B 600 (a) 11,268 Nordea 32,800 203,506 OMHEX 550 5,640 SAS 1,500 (a) 13,172 SSAB Svenskt Stal, Ser. A 900 13,152 Sandvik 3,127 92,998 Sapa 200 4,358 Securitas, Cl. B 4,120 50,702 Skandia Forsakrings 11,890 43,592 Skandinaviska Enskilda Banken, Cl. A 6,720 80,976 Skanska, Cl. B 5,600 38,765 Svenska Cellulosa, Cl. B 2,670 100,799 Svenska Handelsbanken, Cl. A 7,700 135,722 Svenska Handelsbanken, Cl. B 600 10,191 Swedish Match 5,264 42,850 Telefonaktiebolaget LM Ericsson, Cl. B 195,534 (a) 335,881 Tele2, Cl. B 1,175 (a) 59,120 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Sweden (continued) TeliaSonera 22,154 96,842 Trelleborg, Cl. B 1,200 17,537 Volvo, Cl. A 1,522 40,875 Volvo, Cl. B 3,015 84,256 WM-data, Cl. B 5,000 (a) 9,743 2,026,916 SWITZERLAND--7.0% ABB 13,158 (a) 77,351 Adecco 1,754 103,439 Ciba Specialty Chemicals 1,000 66,162 Clariant 2,200 (a) 30,973 Compagnie Financiere Richemont 7,130 160,450 Credit Suisse 15,826 557,617 Geberit 48 19,770 Givaudan 97 43,729 Holcim 1,895 79,754 Kudelski 435 (a) 12,672 Kuoni Reisen 30 9,357 Logitech International 516 (a) 20,673 Lonza 480 23,544 Nestle 5,467 1,203,653 Nobel Biocare 300 26,805 Novartis 31,970 1,218,612 Roche Holding (Bearer) 450 56,109 Roche Holding-Genusschein 9,444 781,489 SGS Societe Generale de Surveillance 65 36,702 Schindler 73 (a) 16,400 Serono 96 66,284 Sulzer 22 5,231 Swatch (Bearer) 420 44,741 Swatch (Reg'd) 920 19,635 Swiss Re 4,284 269,645 Swisscom 340 98,918 Syngenta 1,509 80,854 Synthes-Stratec 61 56,005 UBS 15,898 976,250 Unaxis 100 13,068 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ SWITZERLAND (CONTINUED) Valora 49 11,339 Zurich Financial Services 1,922 (a) 246,124 6,433,355 UNITED KINGDOM--25.3% AMEC 3,500 15,116 ARM 13,750 (a) 26,541 Aegis 14,500 24,544 Aggreko 3,100 8,312 Alliance Unichem 2,700 24,627 Amersham 9,590 119,368 Amvescap 9,350 74,017 Associated British Ports 4,300 31,012 AstraZeneca 22,953 1,078,139 Aviva 30,014 246,257 BAA 14,860 117,510 BAE SYSTEMS 40,698 126,384 BBA 6,283 27,694 BG 46,946 214,100 BHP Billiton 32,826 257,771 BOC 6,573 89,623 BP 296,943 2,060,940 BPB 7,500 42,350 BT 115,319 363,006 Balfour Beatty 6,400 20,798 Barclays 87,808 740,559 Barratt Developments 3,100 25,777 Berkeley 1,755 22,785 Boots 10,794 130,508 Brambles Industries 10,050 30,442 British Airways 7,201 (a) 25,417 British American Tobacco 21,333 257,932 British Land 6,100 53,543 British Sky Broadcasting 16,706 (a) 181,435 Bunzl 6,103 47,640 Cable & Wireless 34,333 79,381 Cadbury Schweppes 27,355 175,352 Canary Wharf 7,700 30,608 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ UNITED KINGDOM (CONTINUED) Capita 9,000 37,761 Carlton Communications 9,078 33,275 Carnival 2,305 79,598 Cattles 3,800 20,570 Celltech 3,820 (a) 29,754 Centrica 56,593 177,185 Close Brothers 1,914 23,489 Compass 29,301 168,932 Cobham 1,475 29,590 Daily Mail and General Trust 3,900 38,087 Davis Service 2,300 14,792 De La Rue 2,707 12,885 Diageo 41,250 485,094 Dixons 26,669 61,435 EMAP 3,515 47,748 EMI 10,600 31,478 Enterprise Inns 1,920 27,548 Electrocomponents 5,786 34,169 Exel 4,112 52,927 FKI 8,710 17,071 FirstGroup 5,500 28,116 Friends Provident 21,760 50,680 GKN 10,550 49,412 GUS 13,160 160,789 George Wimpey 5,200 28,855 GlaxoSmithKline 80,398 1,721,764 Granada 36,817 73,254 Great Portland Estates 3,000 11,989 HBOS 50,193 583,875 HSBC 145,677 2,187,778 Hammerson 3,700 37,390 Hanson 9,977 69,076 Hays 22,570 46,726 Hilton 22,099 72,752 IMI 4,685 27,508 Imperial Chemical Industries 15,854 52,125 Imperial Tobacco 10,086 167,218 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ UNITED KINGDOM (CONTINUED) InterContinental Hotels 9,960 90,381 International Power 14,403 (a) 32,568 Invensys 44,309 22,557 Johnson Matthey 2,662 44,360 Kelda 4,733 35,681 Kesa Electricals 7,350 30,433 Kidde 9,000 15,387 Kingfisher 30,402 145,744 Land Securities 6,245 95,483 Legal & General 89,071 157,195 Liberty International 2,910 31,431 Lloyds TSB 74,254 515,677 LogicaCMG 10,017 52,185 MFI Furniture 6,200 17,070 Man 3,705 91,102 Marks & Spencer 31,505 153,838 Misys 8,027 40,864 Mitchells & Butlers 9,960 (a) 39,296 National Grid Transco 40,922 261,278 Next 3,627 72,627 Novar 7,400 16,639 Pearson 10,931 113,151 Peninsular and Oriental Steam Navigation 9,073 42,571 Persimmon 3,000 23,647 Pilkington 16,852 24,879 Provident Financial 3,264 35,809 Prudential 26,988 209,408 RMC 3,796 39,616 Rank 7,746 36,805 Reckitt Benckiser 7,867 165,539 Reed Elsevier 17,285 134,340 Rentokil Initial 25,500 96,605 Reuters 19,052 83,008 Rexam 6,100 44,511 Rio Tinto 14,177 343,784 Rolls-Royce 21,225 68,344 Royal & Sun Alliance Insurance 38,302 57,034 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ UNITED KINGDOM (CONTINUED) Royal Bank of Scotland 37,565 1,006,548 SABMiller 10,627 89,762 SSL International 1,900 9,511 Safeway 14,440 71,061 Sage 18,008 56,992 Sainsbury (J) 19,850 95,411 Schroders 1,845 23,466 Scottish & Newcastle 10,827 63,524 Scottish & Southern Energy 11,609 120,859 Scottish Power 25,637 152,266 Securicor 7,565 11,201 Serco 5,682 17,151 Severn Trent 4,888 58,726 Shell Transport & Trading 129,874 811,034 Signet 22,793 40,032 Slough Estates 6,000 39,047 Smith & Nephew 12,353 98,157 Smiths 7,270 86,543 Stagecoach 12,000 15,833 Tate & Lyle 5,102 26,688 Taylor Woodrow 6,900 26,228 Tesco 96,258 385,903 3i 8,313 87,462 Tomkins 10,560 50,355 Unilever 36,786 313,681 United Business Media 3,894 30,661 United Utilities 7,401 59,186 United Utilities A Shares 4,111 (a) 19,429 Vodafone 915,909 1,923,386 WPP 15,830 150,834 Whitbread 3,754 47,841 William Hill 5,600 32,215 Wolseley 7,834 96,015 Yell 5,000 (a) 24,351 23,184,389 TOTAL COMMON STOCKS (cost $84,242,322) 89,052,380 PREFERRED STOCKS--.5% Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ AUSTRALIA--.2% News Corporation 28,516 209,822 GERMANY--.3% Fresenius Medical Care 300 12,311 Henkel KGaA 800 58,599 Porsche 100 49,058 ProSiebenSat.1 Media 1,500 23,052 RWE 546 13,393 Volkswagen 1,490 50,751 Wella 200 15,929 223,093 TOTAL PREFERRED STOCKS (cost $396,412) 432,915 ------------------------------------------------------------------------------------------------------------------------------------ OTHER INVESTMENTS--2.2% ------------------------------------------------------------------------------------------------------------------------------------ REGISTERED INVESTMENT COMPANIES: Dreyfus Institutional Cash Advantage Fund 666,666 (c) 666,666 Dreyfus Institutional Cash Advantage Plus Fund 666,667 (c) 666,667 Dreyfus Institutional Preferred Plus Money Market Fund 666,667 (c) 666,667 TOTAL OTHER INVESTMENTS (cost $2,000,000) 2,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Principal SHORT-TERM INVESTMENTS--.4% Amount ($) Value ($) ------------------------------------------------------------------------------------------------------------------------------------ U.S. TREASURY BILL; .85%, 12/11/2003 (cost $399,587) 400,000 (d) 399,632 The Fund STATEMENT OF INVESTMENTS (CONTINUED) INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED--1.0% Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ REGISTERED INVESTMENT COMPANY; Dreyfus Institutional Preferred Money Market Fund (cost $896,439) 896,439 896,439 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (cost $87,934,760) 101.2 92,781,366 LIABILITIES, LESS CASH AND RECEIVABLES (1.2) (1,050,650) NET ASSETS 100.0 91,730,716 (A) NON-INCOME PRODUCING. (B) A PORTION OF THESE SECURITIES ARE ON LOAN. AT OCTOBER 31, 2003, THE TOTAL MARKET VALUE OF THE PORTFOLIO'S SECURITIES ON LOAN IS $880,199 AND THE TOTAL MARKET VALUE OF THE COLLATERAL HELD BY THE PORTFOLIO IS $909,653, CONSISTING OF CASH COLLATERAL OF $896,439 AND U.S. GOVERNMENT AND AGENCY SECURITIES VALUED AT $13,214. (C) INVESTMENTS IN AFFILIATED MONEY MARKET MUTUAL FUNDS--SEE NOTE 3(D). (D) WHOLLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS. SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF FINANCIAL FUTURES October 31, 2003
Market Value Unrealized Covered by Appreciation Contracts Contracts ($) Expiration at 10/31/2003 ($) ------------------------------------------------------------------------------------------------------------------------------------ FINANCIAL FUTURES LONG DJ Euro STOXX 50 5 150,253 December 2003 3,601 Morgan Stanley Capital International Pan-Euro 78 1,392,768 December 2003 1,404 S&P ASX 200 3 173,432 December 2003 3,103 TOPIX 5 475,963 December 2003 5,340 13,448 SEE NOTES TO FINANCIAL STATEMENTS.
The Fund STATEMENT OF ASSETS AND LIABILITIES October 31, 2003
Cost Value --------------------------------------------------------------------------------------------- ASSETS ($): Investments in securities--See Statement of Investments (including securities loaned valued at $880,199)--Note 1(c) 87,934,760 92,781,366 Cash 229,434 Cash denominated in foreign currencies 30,925 31,048 Receivable for shares of Common Stock subscribed 170,714 Dividends and interest receivable 162,542 Receivable for investment securities sold 80,334 Net unrealized appreciation on forward currency exchange contracts--Note 4 59,596 93,515,034 --------------------------------------------------------------------------------------------- LIABILITIES ($): Due to The Dreyfus Corporation and affiliates 47,090 Liability for securities loaned--Note 1(c) 896,439 Payable for investment securities purchased 655,995 Payable for shares of Common Stock redeemed 180,809 Payable for futures variation margin--Note 4 3,985 1,784,318 --------------------------------------------------------------------------------------------- NET ASSETS ($) 91,730,716 --------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS ($): Paid-in capital 103,826,884 Accumulated undistributed investment income--net 2,191,324 Accumulated net realized gain (loss) on investments (19,218,130) Accumulated net unrealized appreciation (depreciation) on investments and foreign currency transactions (including $13,448 net unrealized appreciation on financial futures) 4,930,638 --------------------------------------------------------------------------------------------- NET ASSETS ($) 91,730,716 --------------------------------------------------------------------------------------------- SHARES OUTSTANDING (200 million shares of $.001 par value Common Stock authorized) 8,407,548 NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 10.91 SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF OPERATIONS Year Ended October 31, 2003 -------------------------------------------------------------------------------- INVESTMENT INCOME ($): INCOME: Cash dividends (net of $229,876 foreign taxes withheld at source) 2,073,180 Income from securities lending 65,072 Interest 11,810 TOTAL INCOME 2,150,062 EXPENSES: Management fee--Note 3(a) 291,673 Shareholder servicing costs--Note 3(b) 208,338 Interest expense--Note 2 944 Loan commitment fees--Note 2 915 TOTAL EXPENSES 501,870 INVESTMENT INCOME--NET 1,648,192 -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($): Net realized gain (loss) on investments and foreign currency transactions (4,834,333) Net realized gain (loss) on forward currency exchange contracts 880,487 Net realized gain (loss) on financial futures 124,557 NET REALIZED GAIN (LOSS) (3,829,289) Net unrealized appreciation (depreciation) on investments and foreign currency transactions [including ($262,476) net unrealized (depreciation) on financial futures] 21,513,616 NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 17,684,327 NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 19,332,519 SEE NOTES TO FINANCIAL STATEMENTS. The Fund STATEMENT OF CHANGES IN NET ASSETS Year Ended October 31, ----------------------------------- 2003 2002 -------------------------------------------------------------------------------- OPERATIONS ($): Investment income--net 1,648,192 1,161,572 Net realized gain (loss) on investments (3,829,289) (7,433,789) Net unrealized appreciation (depreciation) on investments 21,513,616 (5,466,179) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 19,332,519 (11,738,396) -------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS FROM ($): INVESTMENT INCOME--NET (1,799,886) (842,448) -------------------------------------------------------------------------------- CAPITAL STOCK TRANSACTIONS ($): Net proceeds from shares sold 115,901,585 159,214,473 Dividends reinvested 1,503,823 654,324 Cost of shares redeemed (125,331,776) (137,547,364) Redemption fee 33,357 6,537 INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL STOCK TRANSACTIONS (7,893,011) 22,327,970 TOTAL INCREASE (DECREASE) IN NET ASSETS 9,639,622 9,747,126 -------------------------------------------------------------------------------- NET ASSETS ($): Beginning of Period 82,091,094 72,343,968 END OF PERIOD 91,730,716 82,091,094 Undistributed investment income--net 2,191,324 1,454,803 -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (SHARES): Shares sold 12,967,368 15,845,097 Shares issued for dividends reinvested 173,853 61,729 Shares redeemed (13,968,800) (13,495,421) NET INCREASE (DECREASE) IN SHARES OUTSTANDING (827,579) 2,411,405 SEE NOTES TO FINANCIAL STATEMENTS. FINANCIAL HIGHLIGHTS The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund's financial statements.
Year Ended October 31, ---------------------------------------------------------------------- 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE DATA ($): Net asset value, beginning of period 8.89 10.60 14.18 14.95 12.25 Investment Operations: Investment income--net(a) .18 .15 .15 .19 .17 Net realized and unrealized gain (loss) on investments 2.04 (1.73) (3.74) (.78) 2.62 Total from Investment Operations 2.22 (1.58) (3.59) (.59) 2.79 Distributions: Dividends from investment income--net (.20) (.13) -- (.18) (.09) Redemption fee reimbursement .00(b) .00(b) .01 .00(b) -- Net asset value, end of period 10.91 8.89 10.60 14.18 14.95 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN (%) 25.49 (15.12) (25.25) (4.09) 22.87 ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA (%): Ratio of expenses to average net assets .60 .60 .60 .60 .60 Ratio of net investment income to average net assets 1.98 1.44 1.26 1.21 1.27 Portfolio Turnover Rate 11.37 24.12 30.02 15.32 9.01 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets, end of period ($ x 1,000) 91,731 82,091 72,344 51,619 37,504 (A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END. (B) AMOUNT REPRESENTS LESS THAN $.01 PER SHARE. SEE NOTES TO FINANCIAL STATEMENTS.
The Fund NOTES TO FINANCIAL STATEMENTS NOTE 1--SIGNIFICANT ACCOUNTING POLICIES: Dreyfus International Stock Index Fund (the "fund") is a separate non-diversified series of Dreyfus Index Funds, Inc. (the "Company") which is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company and operates as a series company currently offering three series including the fund. The fund's investment objective is to provide investment results that correspond to the net dividend and total return performance of equity securities of international issuers in the aggregate, as represented by the Morgan Stanley Capital International Europe, Australia, Far East (Free) Index. The Dreyfus Corporation (the " Manager") serves as the fund' s investment adviser. The Manager is a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Financial Corporation. Dreyfus Service Corporation (the "Distributor", a wholly-owned subsidiary of the Manager, is the distributor of the fund's shares, which are sold to the public without a sales charge. The fund' s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which may require the use of management estimates and assumptions. Actual results could differ from those estimates. (A) PORTFOLIO VALUATION: Investments in securities (including financial futures) are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market. Effective April 14, 2003, the fund began pricing securities traded on the NASDAQ stock market using the NASDAQ official closing price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. Bid price is used when no asked price is available. Securities for which there are no such valuations are valued at fair value as determined in good faith under the direction of the Board of Directors Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange. Forward currency exchange contracts are valued at the forward rate. (B) FOREIGN CURRENCY TRANSACTIONS: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Net realized foreign exchange gains or losses arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in exchange rates. Such gains and losses are included with net realized and unrealized gain or loss on investments. (C) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, amortization of discount and premium on investments, is recognized on the accrual basis. The fund may lend securities to qualified institutions. At origination, all loans are secured by cash collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan will be maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager as shown in the Statement of Investment. The fund will be The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. (D) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the "Code"). To the extent that net realized capital gain can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with incomes tax regulations, which may differ from accounting principles generally accepted in the United States of America. (E) FEDERAL INCOME TAXES: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. At October 31, 2003, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $2,365,445, accumulated capital losses $13,283,414 and unrealized depreciation $1,178,199. The accumulated capital loss carryover is available is available to be applied against future net securities profits, if any, realized subsequent to October 31, 2003. If not applied, $58,106 of the carryover expires in fiscal 2005, $167,514 expires in fiscal 2006, $2,874,348 expires in fiscal 2009, $5,891,135 expires in fiscal 2010 and $4,292,311 expires in fiscal 2011. The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary income $1,799,886 and $842,448, respectively. During the period ended October 31, 2003, as a result of permanent book to tax differences, the fund increased accumulated undistributed investment income-net by $888,215, decreased accumulated net realized gain (loss) on investments by $854,858 and decreased paid-in capital by $33,357. Net assets were not affected by this reclassification NOTE 2--BANK LINE OF CREDIT: The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the "Facility" ) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings. The average daily amount of borrowings outstanding under the Facility during the period ended October 31, 2003 was approximately $57,000, with a related weighted average annualized interest rate of 1.66%. NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES: (A) Pursuant to an Investment Management Agreement ("Agreement") with the Manager, the management fee is computed at the annual rate of .35 of 1% of the value of the fund's average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, commitment fees, interest, Shareholder Services Plan fees, fees and expenses of non-interested Board Members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fee in an amount equal to the fund's allocable portion of fees and expenses of the non-interested Board The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) Members (including counsel fees). Each Board member also serves as a Board Member of other funds within the Dreyfus complex (collectively, the "Fund Group"). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings. The chairman of the Board receives an additional 25% of such compensation (with the exception of reimbursable amounts). Subject to the Company's Emeritus Program Guidelines, Emeritus Board members, if any, receive 50% of the Company's annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status. Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager were in fact paid directly by the Manager to the non-interested Board members. All Board fees are allocated among the funds in the Fund Group in proportion to each fund's relative net assets. This amount for the period ended October 31, 2003 was $2,365. (B) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, a fee at the annual rate of .25 of 1% of the value of the fund's average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2003, the fund was charged $208,338 pursuant to the Shareholder Services Plan. (C) A 1% redemption fee is charged and retained by the fund on shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund's exchange privilege. (D) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests it available cash balances in affiliated money market mutual funds as shown in the fund's Statement of Investments. Management fees are not charged to these accounts. During the period ended October 31, 2003, the fund derived $37,605 in income from these investments, which is included as dividend income in the fund's Statement of Operations. NOTE 4--SECURITIES TRANSACTIONS: The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward currency exchange contracts and financial futures, during the period ended October 31, 2003, amounted to $8,895,980 and $10,500,621, respectively. The fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings and to settle foreign currency transactions. When executing forward currency exchange contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward currency exchange contracts, the fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward currency exchange contracts, the fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. The fund is also exposed to credit risk associated with counter party nonperformance on these forward currency exchange contracts which is typically limited to the unrealized gain on each open contract. The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) The following summarizes open forward currency exchange contracts at October 31, 2003:
Foreign Unrealized Forward Currency Currency Appreciation Exchange Contracts Amounts Cost ($) Value ($) (Depreciation)($) ------------------------------------------------------------------------------------------------------------------------------------ PURCHASES: Australian Dollar, expiring 11/3/2003 24,088 16,987 17,092 105 Australian Dollar, expiring 11/5/2003 49,983 35,358 35,465 107 Australian Dollar, expiring 12/18/2003 207,866 136,441 146,785 10,344 British Pound, expiring 11/3/2003 72,669 123,596 123,317 (279) Danish Krone, expiring 11/3/2003 52,769 8,302 8,252 (50) Euro, expiring 11/3/2003 84,161 98,410 97,837 (573) Euro, expiring 11/4/2003 13,927 16,288 16,190 (98) Euro, expiring 11/5/2003 7,198 8,360 8,368 8 Euro, expiring 12/18/2003 1,247,872 1,406,145 1,448,779 42,634 Hong Kong Dollar, expiring 11/3/2003 146,547 18,878 18,871 (7) Japanese Yen, expiring 11/4/2003 8,258,127 76,408 75,118 (1,290) Japanese Yen, expiring 11/5/2003 18,103,046 167,326 164,670 (2,656) Japanese Yen, expiring 12/18/2003 46,937,172 415,769 427,615 11,846 New Zealand Dollar, expiring 11/4/2003 12,162 7,471 7,473 2 Singapore Dollar, expiring 11/3/2003 15,782 9,086 9,065 (21) Singapore Dollar, expiring 11/4/2003 11,904 6,878 6,838 (40) Swedish Krona, expiring 11/3/2003 46,396 6,024 5,948 (76) Swiss Franc, expiring 11/3/2003 71,934 54,229 53,869 (360) TOTAL 59,596
The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the fund to "mark to market" on a daily basis, which reflects the change in the market value of the contract at the close of each day's trading. Typically, variation margin payments are received or made to reflect daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss. These investments require initial margin deposits with a broker, which consist of cash or cash equivalents, up to approximately 10% of the contract amount. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Contracts open as of October 31, 2003, are set forth in the Statement of Financial Futures. At October 31, 2003, the cost of investments for federal income tax purposes was $93,983,883; accordingly, accumulated net unrealized depreciation on investments was $1,202,517, consisting of $12,739,883 gross unrealized appreciation and $13,942,400 gross unrealized depreciation. The Fund REPORT OF INDEPENDENT AUDITORS To the Board of Directors and Shareholders of Dreyfus International Stock Index Fund In our opinion, the accompanying statement of assets and liabilities, including the statements of investments and financial futures, and the related statements of operations and of changes in net assets and financial highlights present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund (the "Fund") (one of the series constituting Dreyfus Index Funds, Inc.), as of October 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these f inancial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities owned at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. . PricewaterhouseCoopers LLP New York, New York December 12, 2003 IMPORTANT TAX INFORMATION (Unaudited) In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund's foreign taxes paid and the income sourced from foreign countries. Accordingly, the fund hereby makes the following designations regarding its fiscal year ended October 31, 2003: --the total amount of taxes paid to foreign countries was $142,417 --the total amount of income sourced from foreign countries was $1,926,058 As required by Federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2003 calendar year with Form 1099-DIV which will be mailed by January 31, 2004. The Fund BOARD MEMBERS INFORMATION (Unaudited) Joseph S. DiMartino (60) Chairman of the Board (1995) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director and Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * The Muscular Dystrophy Association, Director * Levcor International, Inc., an apparel fabric processor, Director * Century Business Services, Inc., a provider of outsourcing functions for small and medium size companies, Director * The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191 -------------- David P. Feldman (63) Board Member (1989) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director & Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * BBH Mutual Funds Group (11 funds), Director * The Jeffrey Company, a private investment company, Director * QMED, a medical device company, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53 -------------- Ehud Houminer (63) Board Member (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Executive-in-Residence at the Columbia Business School, Columbia University * Principal of Lear, Yavitz and Associates, a management consulting firm, from 1996 through 2001 OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Avnet Inc., an electronics distributor, Director * International Advisory Board to the MBA Program School of Management, Ben Gurion University, Chairman * Explore Charter School, Brooklyn, NY, Chairman NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25 Gloria Messinger (73) Board Member (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc. * Consultant in Intellectual Property OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Yale Law School Fund, Director * Theater for a New Audience, Inc., Director * Brooklyn Philharmonic, Director * New York Women's Agenda Music Performance Trust Fund, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- T. John Szarkowski (77) Board Member (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Consultant in Photography OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Photography Department at The Museum of Modern Art, Director Emeritus NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- Anne Wexler (73) Board Member (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Chairman of the Wexler Group, consultants specializing in government relations and public affairs OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Wilshire Mutual Funds (5 funds), Director * Methanex Corporation, a methanol producing company, Director * Member of the Council of Foreign Relations * Member of the National Park Foundation NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29 -------------- ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE FUND' S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611. JOHN M. FRASER, JR., EMERITUS BOARD MEMBER The Fund OFFICERS OF THE FUND (Unaudited) STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000. Chairman of the Board, Chief Executive Officer and Chief Operating Officer of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Canter also is a Board member and, where applicable, an Executive Committee Member of the other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 58 years old and has been an employee of the Manager since May 1995. STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002. Chief Investment Officer, Vice Chairman and a Director of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Byers also is an officer, director or an Executive Committee Member of certain other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 50 years old and has been an employee of the Manager since January 2000. Prior to joining the Manager, he served as an Executive Vice President-Capital Markets, Chief Financial Officer and Treasurer at Gruntal & Co., L.L.C. MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000. Executive Vice President, Secretary and General Counsel of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since June 1977. MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000. Associate General Counsel of the Manager, and an officer of 93 investment companies (comprised of 198 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since October 1991. STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000. Associate General Counsel and Assistant Secretary of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since July 1980. JAMES WINDELS, TREASURER SINCE NOVEMBER 2001. Director - Mutual Fund Accounting of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since April 1985. RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since September 1982. ROBERT SVAGNA, ASSISTANT TREASURER SINCE DECEMBER 2002. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 36 years old and has been an employee of the Manager since November 1990. KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001. Mutual Funds Tax Director of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 1993. WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE OCTOBER 2002. Vice President and Anti-Money Laundering Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment companies (comprised of 200 portfolios) managed by the Manager. He is 33 years old and has been an employee of the Distributor since October 1998. Prior to joining the Distributor, he was a Vice President of Compliance Data Center, Inc The Fund NOTES For More Information Dreyfus International Stock Index Fund 200 Park Avenue New York, NY 10166 Manager The Dreyfus Corporation 200 Park Avenue New York, NY 10166 Custodian Boston Safe Deposit and Trust Company One Boston Place Boston, MA 02109 Transfer Agent & Dividend Disbursing Agent Dreyfus Transfer, Inc. 200 Park Avenue New York, NY 10166 Distributor Dreyfus Service Corporation 200 Park Avenue New York, NY 10166 To obtain information: BY TELEPHONE Call 1-800-645-6561 BY MAIL Write to: The Dreyfus Family of Funds 144 Glenn Curtiss Boulevard Uniondale, NY 11556-0144 BY E-MAIL Send your request to info@dreyfus.com ON THE INTERNET Information can be viewed online or downloaded from: http://www.dreyfus.com A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling the telephone number listed above, or by visiting the SEC's website at http://www.sec.gov (c) 2003 Dreyfus Service Corporation 079AR1003 Comparison of change in value of $10,000 investment in Dreyfus International Stock Index Fund and the Morgan Stanley Capital International Europe, Australasia, Far East Free Index EXHIBIT A: Morgan Stanley Capital International Dreyfus Europe, International Australasia, Stock Far East PERIOD Index Free Fund Index * 6/30/97 10,000 10,000 10/31/97 9,016 9,154 10/31/98 9,889 10,037 10/31/99 12,151 12,330 10/31/00 11,654 11,972 10/31/01 8,712 8,988 10/31/02 7,394 7,800 10/31/03 9,279 9,908 * Source: Lipper Inc. Dreyfus S&P 500 Index Fund ANNUAL REPORT October 31, 2003 YOU, YOUR ADVISOR AND DREYFUS A MELLON FINANCIAL COMPANY(SM) The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value Contents THE FUND -------------------------------------------------- 2 Letter from the Chairman 3 Discussion of Fund Performance 6 Fund Performance 7 Statement of Investments 22 Statement of Financial Futures 23 Statement of Assets and Liabilities 24 Statement of Operations 25 Statement of Changes in Net Assets 26 Financial Highlights 27 Notes to Financial Statements 33 Report of Independent Auditors 34 Important Tax Information 35 Proxy Results 36 Board Members Information 38 Officers of the Fund FOR MORE INFORMATION --------------------------------------------------------------------------- Back Cover The Fund Dreyfus S&P 500 Index Fund LETTER FROM THE CHAIRMAN Dear Shareholder: This annual report for Dreyfus S&P 500 Index Fund covers the 12-month period from November 1, 2002, through October 31, 2003. Inside, you'll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund' s portfolio manager, Tom Durante, who became the fund's sole portfolio manager on September 15, 2003. Recent estimates of greater than expected U.S. Gross Domestic Product annualized growth during the third quarter of 2003 suggest that the economy has started to turn the corner. Tax cuts and low mortgage rates have put cash in consumers' pockets, and corporations have begun to increase spending and investment. As a result, stocks rallied over the reporting period, posting gains in virtually every market sector and capitalization range. We have seen strong quarters before, only to be disappointed when growth proved unsustainable. Based on recent data, we are cautiously optimistic about the current economic environment. As always, we urge you to speak regularly with your financial advisor, who may be in the best position to suggest investments that are right for your current needs, future goals and attitudes toward risk. Thank you for your continued confidence and support. Sincerely, /S/STEPHEN E. CANTER Stephen E. Canter Chairman and Chief Executive Officer The Dreyfus Corporation November 17, 2003 DISCUSSION OF FUND PERFORMANCE Tom Durante, Portfolio Manager How did Dreyfus S&P 500 Index Fund perform relative to its benchmark? For the 12-month period ended October 31, 2003, the fund produced a total return of 20.22% .(1) The Standard & Poor's 500 Composite Stock Price Index (the "S&P 500 Index" ), the fund' s benchmark, produced a 20.80% return for the same period.(2,3) We are pleased to report that the fund and market's performance improved significantly, most notably during the second half of the reporting period, when rising stock prices were driven by the return of investor confidence in an improving economic environment. All 10 industry groups within the S&P 500 Index produced positive returns for the reporting period. The difference in returns between the fund and the S&P 500 Index was primarily the result of transaction costs and other operating expenses. WHAT IS THE FUND'S INVESTMENT APPROACH? The fund seeks to match the total return of the S&P 500 Index. To pursue this goal, the fund generally invests in all 500 stocks in the S&P 500 Index in proportion to their weighting in the S&P 500 Index. Often considered a barometer for the stock market in general, the S&P 500 Index is made up of 500 widely held common stocks across 10 economic sectors. The S&P 500 Index is dominated by large-cap, blue-chip stocks that comprise nearly 75% of total U.S. market capitalization. However, it is important to note that the S&P 500 Index is not composed of the 500 largest companies; rather, it is designed to reflect the industries of the U.S. economy. Each stock is weighted by its market capitalization; that is, larger companies have greater representation in the S&P 500 Index than smaller ones. The fund may also use stock index futures as a substitute for the sale or purchase of stocks. The Fund DISCUSSION OF FUND PERFORMANCE (CONTINUED) As an index fund, the fund uses a passive management approach; all investment decisions are made based on the composition of the S&P 500 Index. The fund does not attempt to manage market volatility. WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE? During the first six months of the reporting period, the fund's performance was adversely influenced by a generally weak U.S. economy, uncertainty surrounding the impending war with Iraq and questionable accounting and corporate oversight practices at a number of large-cap companies. As a result, investor sentiment largely remained negative through the first quarter of 2003 and many investors became increasingly risk-averse, preferring the relative safety of bonds over the greater perceived risks of stocks. By mid-March, however, the investment climate began to improve. A veil of uncertainty was lifted from the U.S. economy when the allied coalition entered Baghdad, and investors began to look forward to a resumption of stronger economic growth. Investor confidence was further supported by stimulative policies from the Federal Reserve Board and the Bush Administration. Short-term interest rates fell to 45-year lows, putting cash in homeowners' pockets amid a surge of refinancing activity. The reduction in federal income taxes enacted by Congress also supported stronger consumer spending. As a result, the stock market began a sustained rally that continued through the end of the reporting period. Stocks producing the highest returns during the reporting period generally fell into two categories. The first included those stocks that had been severely punished during the bear market, such as many technology companies, large financial services companies and some banks. Within the technology area, semiconductor stocks posted the strongest returns during the reporting period, primarily because investors became more confident of a long-awaited return of corporate spending. Electronic equipment stocks also performed well, due to greater demand for wireless computer and cellular telephone products. Within the financial services group, large banks rebounded sharply, mostl because certain legal and regulatory issues were resolved. The second category of stocks that influenced a strong market performance included stocks benefiting from strong consumer spending: retailers, especially higher-end clothing stores; automobile manufacturers; and homebuilders. On the other hand, most large pharmaceutical companies continued to suffer from ongoing regulatory concerns, the effects of patent expirations on major products, and increased competition from generic drug makers. While these stocks generally posted modestly negative returns, they were more than offset by gains in other areas of the health care group, enabling the sector to produce overall positive returns for the reporting period. WHAT IS THE FUND'S CURRENT STRATEGY? As an index fund, our strategy remains the same: to attempt to replicate the returns of the S& P 500 Index. Accordingly, as of October 31, 2003, the percentage of the fund's assets invested in each industry closely approximated its representation in the S&P 500 Index. While we have been pleased with the recent strong performance of large-cap stocks, we remain aware that the stock market has been subject to heightened volatility for some time now. In our view, one of the greatest benefits of broadly diversified index funds is that they can help investors control risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding. November 17, 2003 (1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. (2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF DIVIDENDS DAILY AND, WHERE APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE STANDARD & POOR'S 500 COMPOSITE STOCK PRICE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK MARKET PERFORMANCE. (3) "STANDARD & POOR'S," "S&P," "STANDARD & POOR'S 500" AND "S&P 500" ARE TRADEMARKS OF THE MCGRAW-HILL COMPANIES, INC., AND HAVE BEEN LICENSED FOR USE BY THE FUND. THE FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY STANDARD & POOR'S AND STANDARD & POOR'S MAKES NO REPRESENTATION REGARDING THE ADVISABILITY OF INVESTING IN THE FUND. The Fund FUND PERFORMANCE Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index Fund and the Standard & Poor's 500 Composite Stock Price Index -------------------------------------------------------------------------------- Average Annual Total Returns as of 10/31/03
1 Year 5 Years 10 Years ------------------------------------------------------------------------------------------------------------------------------------ FUND 20.22% 0.00% 9.82% ((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS S&P 500 INDEX FUND ON 10/31/93 TO A $10,000 INVESTMENT MADE IN THE STANDARD & POOR'S 500 COMPOSITE STOCK PRICE INDEX (THE "INDEX") ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS ARE REINVESTED. THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE FEES AND EXPENSES. THE INDEX IS A WIDELY ACCEPTED, UNMANAGED INDEX OF U.S. STOCK MARKET PERFORMANCE AND REFLECTS THE REINVESTMENT OF DIVIDENDS DAILY. THE INDEX DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT. STATEMENT OF INVESTMENTS October 31, 2003
COMMON STOCKS--97.0% Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- ALCOHOL & TOBACCO--1.5% Adolph Coors, Cl. B 10,200 571,710 Altria Group 568,300 26,425,950 Anheuser-Busch Cos 231,500 11,403,690 Brown-Forman, Cl. B 17,000 1,434,460 R.J. Reynolds Tobacco Holdings 23,600 1,133,508 UST 46,600 1,585,332 42,554,650 CONSUMER CYCLICAL--10.3% Albertson's 102,772 2,085,244 AutoNation 77,000 (a) 1,439,900 AutoZone 25,100 (a) 2,412,110 Bed Bath & Beyond 82,800 (a) 3,497,472 Best Buy 90,250 5,262,477 Big Lots 32,700 (a) 490,827 Brunswick 25,400 753,618 CVS 110,500 3,887,390 Cendant 283,870 (a) 5,799,464 Circuit City Stores--Circuit City Group 58,500 558,090 Cooper Tire & Rubber 20,600 404,996 Costco Wholesale 128,000 (a) 4,527,360 Dana 41,659 678,209 Darden Restaurants 46,050 964,747 Delphi 156,969 1,397,024 Delta Air Lines 34,500 449,190 Dillard's, Cl. A 23,400 378,378 Dollar General 93,408 2,098,878 Eastman Kodak 80,200 1,959,286 Eaton 21,000 2,105,040 Family Dollar Stores 48,200 2,102,002 Federated Department Stores 51,900 2,467,845 Ford Motor 512,992 6,222,593 Gap 250,125 4,772,385 General Motors 157,000 (b) 6,699,190 Genuine Parts 48,700 1,549,634 Harley-Davidson 84,700 4,015,627 Harrah's Entertainment 30,800 1,339,800 Hasbro 48,600 1,059,480 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Hilton Hotels 105,700 1,674,288 Home Depot 643,503 23,854,656 International Game Technology 96,600 3,163,650 J. C. Penney 76,000 1,797,400 Johnson Controls 25,100 2,699,003 Jones Apparel Group 35,400 1,221,300 Kohl's 95,100 (a) 5,332,257 Kroger 210,400 (a) 3,679,896 Leggett & Platt 53,900 1,125,971 Limited Brands 146,000 2,569,600 Liz Claiborne 30,500 1,125,145 Lowe's Cos 219,400 12,929,242 Marriott International, Cl. A 65,200 2,816,640 Mattel 122,900 2,379,344 May Department Stores 80,750 2,257,770 Maytag 22,000 558,800 McDonald's 356,300 8,911,063 NIKE, Cl. B 73,800 4,715,820 Navistar International 19,100 (a) 772,213 Nordstrom 38,000 1,158,620 Office Depot 86,800 (a) 1,295,924 PACCAR 32,600 2,574,096 RadioShack 46,400 1,391,536 Reebok International 16,500 642,675 Safeway 123,600 2,607,960 Sears, Roebuck & Co 79,200 (a) 4,168,296 Southwest Airlines 219,218 4,252,829 Staples 137,250 (a) 3,681,045 Starbucks 109,500 (a) 3,460,200 Starwood Hotels & Resorts Worldwide 56,300 1,898,999 TJX Cos 142,900 2,999,471 Target 255,000 10,133,700 Tiffany & Co 40,700 1,931,215 Toys R Us 59,700 (a) 776,100 V. F 30,100 1,277,745 Visteon 36,615 236,533 Wal-Mart Stores 1,223,400 72,119,430 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER CYCLICAL (CONTINUED) Walgreen 287,000 9,993,340 Wendy's International 31,800 1,178,190 Whirlpool 19,300 1,360,071 Winn-Dixie Stores 39,400 (b) 318,746 Yum! Brands 82,220 (a) 2,806,991 287,226,026 CONSUMER STAPLES--6.2% Alberto-Culver, Cl. B 16,500 1,046,100 Archer-Daniels-Midland 180,560 2,591,036 Avon Products 66,136 4,494,602 Campbell Soup 114,900 2,978,208 Clorox 60,700 2,749,710 Coca-Cola 688,200 31,932,480 Coca-Cola Enterprises 126,700 2,554,272 Colgate-Palmolive 150,600 8,010,414 ConAgra Foods 150,400 3,585,536 Fortune Brands 40,700 2,651,605 General Mills 104,300 4,677,855 Gillette 285,700 9,113,830 H.J. Heinz 98,500 3,480,005 Hershey Foods 36,600 2,821,860 International Flavors & Fragrances 26,400 873,840 Kellogg 114,300 3,786,759 Kimberly-Clark 141,900 7,493,739 McCormick & Co 39,100 1,158,924 Newell Rubbermaid 76,862 1,752,454 Pactiv 44,100 (a) 972,405 Pepsi Bottling Group 75,000 1,671,750 PepsiCo 483,200 23,106,624 Procter & Gamble 363,000 35,679,270 SUPERVALU 37,500 945,750 Sara Lee 217,600 4,336,768 Sysco 181,900 6,122,754 Tupperware 16,400 246,820 Wm. Wrigley Jr 63,000 3,553,200 174,388,570 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- ENERGY--6.0% Amerada Hess 25,200 1,300,824 Anadarko Petroleum 69,832 3,046,072 Apache 45,275 3,156,573 BJ Services 44,300 (a) 1,453,483 Baker Hughes 93,690 2,647,679 Burlington Resources 56,245 2,735,757 CMS Energy 40,400 328,048 CenterPoint Energy 85,566 839,403 ChevronTexaco 299,268 22,235,612 ConocoPhillips 190,420 10,882,503 Devon Energy 64,900 3,147,650 Dominion Resources 90,508 5,575,293 Duke Energy 253,188 4,595,362 Dynegy, Cl. A 104,900 420,649 EOG Resources 32,200 1,356,908 El Paso 168,175 1,234,404 Exxon Mobil 1,858,276 67,975,736 Halliburton 122,600 2,927,688 Kerr-McGee 28,265 1,172,998 KeySpan 44,400 1,552,668 Kinder Morgan 34,500 1,847,475 Marathon Oil 86,800 2,566,676 Nabors Industries 41,000 (a) 1,549,800 Nicor 12,300 421,521 NiSource 73,600 1,524,256 Noble 37,400 1,283,942 Occidental Petroleum 107,200 (a) 3,779,872 Peoples Energy 10,300 416,635 Rowan Cos 26,300 (a) 629,885 Schlumberger 163,100 7,660,807 Sempra Energy 62,666 1,742,115 Sunoco 21,500 940,840 Transocean 89,600 (a) 1,719,424 Unocal 72,300 2,290,464 Williams Cos 145,100 1,480,020 168,439,042 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--12.7% Abbott Laboratories 437,500 18,646,250 Aetna 43,079 2,473,165 Allergan 36,600 2,767,692 AmerisourceBergen 31,300 1,776,901 Amgen 361,412 (a) 22,320,805 Anthem 38,800 (a) 2,655,084 Applera-Applied Biosystems Group 58,500 1,350,180 Bausch & Lomb 14,900 717,584 Baxter International 170,500 4,531,890 Becton, Dickinson & Co 71,100 2,599,416 Biogen 41,900 (a) 1,695,693 Biomet 71,775 2,573,852 Boston Scientific 115,300 (a) 7,808,116 Bristol-Myers Squibb 542,800 13,770,836 C.R. Bard 14,500 1,160,725 Cardinal Health 125,025 7,418,984 Chiron 52,200 (a) 2,851,686 Eli Lilly & Co 314,300 20,938,666 Express Scripts 21,600 (a) 1,186,272 Forest Laboratories 102,200 (a) 5,111,022 Genzyme 62,200 (a) 2,854,980 Guidant 86,200 4,397,062 HCA 139,850 5,349,263 Health Management Associates, Cl. A 67,100 1,486,265 Humana 45,300 (a) 919,137 Johnson & Johnson 831,018 41,825,136 King Pharmaceuticals 67,466 (a) 904,044 Manor Care 24,900 828,672 McKesson 81,377 2,463,282 Medco Health Solutions 75,691 (a) 2,512,941 MedImmune 70,000 (a) 1,866,200 Medtronic 340,700 15,525,699 Merck & Co 626,900 27,740,325 Millipore 13,600 (a) 596,360 Pfizer 2,180,109 68,891,444 Quest Diagnostics 29,400 1,988,910 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (CONTINUED) Schering-Plough 411,400 6,282,078 St. Jude Medical 48,100 (a) 2,797,496 Stryker 55,800 4,525,938 Tenet Healthcare 129,850 (a) 1,791,930 Thermo Electron 45,400 (a) 997,892 UnitedHealth Group 166,900 8,491,872 Waters 34,400 (a) 1,081,192 Watson Pharmaceuticals 30,200 (a) 1,185,954 WellPoint Health Networks 41,100 (a) 3,653,790 Wyeth 372,800 16,455,392 Zimmer Holdings 63,520 (a) 4,053,211 355,821,284 INTEREST SENSITIVE--23.4% ACE 77,900 2,804,400 AFLAC 143,900 5,249,472 Allstate 197,000 7,781,500 Ambac Financial Group 29,850 2,111,589 American Express 360,400 16,913,572 American International Group 730,479 44,435,038 AmSouth Bancorporation 98,200 2,319,484 Aon 87,575 1,917,893 Apartment Investment & Management, Cl. A 26,300 1,075,670 BB&T 151,200 5,846,904 Bank of America 418,452 31,689,370 Bank of New York 215,700 6,727,683 Bank One 316,504 13,435,595 Bear Stearns Cos 27,872 2,125,240 CIGNA 39,300 2,242,065 Capital One Financial 63,600 3,866,880 Charles Schwab 379,200 5,141,952 Charter One Financial 63,168 2,018,849 Chubb 52,500 3,507,525 Cincinnati Financial 44,900 1,837,308 Citigroup 1,442,217 68,361,086 Comerica 49,100 2,527,668 Concord EFS 136,300 (a) 1,457,047 Countrywide Financial 38,100 4,005,072 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- INTEREST SENSITIVE (CONTINUED) Equity Office Properties Trust 111,700 3,128,717 Equity Residential 76,600 2,240,550 Fannie Mae 272,700 19,549,863 Federated Investors, Cl. B 30,400 840,560 Fifth Third Bancorp 159,567 9,248,503 First Tennessee National 35,200 1,596,672 FleetBoston Financial 294,607 11,899,177 Franklin Resources 70,300 3,333,626 Freddie Mac 194,800 10,934,124 General Electric 2,805,300 81,381,753 Golden West Financial 42,700 4,288,361 Goldman Sachs Group 132,700 12,460,530 H&R Block 50,300 2,368,627 Hartford Financial Services Group 79,100 4,342,590 Huntington Bancshares 64,074 1,387,842 J.P. Morgan Chase & Co 570,260 20,472,334 Janus Capital Group 67,000 947,380 Jefferson-Pilot 39,725 1,896,471 John Hancock Financial Services 81,000 2,863,350 KeyCorp 117,800 3,327,850 Lehman Brothers Holdings 77,000 5,544,000 Lincoln National 49,800 1,988,514 Loews 51,900 2,231,700 MBIA 40,600 2,420,166 MBNA 357,737 8,853,991 MGIC Investment 27,600 1,416,156 Marsh & McLennan Cos 149,100 6,374,025 Marshall & Ilsley 63,600 2,278,152 Mellon Financial 120,600 3,602,322 Merrill Lynch 261,800 15,498,560 MetLife 212,800 6,681,920 Morgan Stanley Dean Witter 304,560 16,711,207 National City 172,000 5,617,520 North Fork Bancorporation 42,600 1,660,548 Northern Trust 61,800 2,870,610 PNC Financial Services Group 78,400 4,199,888 Plum Creek Timber 51,200 1,349,120 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- INTEREST SENSITIVE (CONTINUED) Principal Financial Group 90,600 2,840,310 Progressive 60,800 4,487,040 ProLogis 50,200 1,482,908 Providian Financial 81,200 (a) 902,132 Prudential Financial 152,800 5,904,192 Regions Financial 62,400 2,293,200 SLM 126,200 4,941,992 Safeco 38,800 1,423,960 Simon Property Group 53,900 2,429,812 SouthTrust 94,500 3,009,825 St. Paul Cos 63,794 2,432,465 State Street 93,200 4,879,952 SunTrust Banks 78,800 5,285,116 Synovus Financial 84,450 2,330,820 T. Rowe Price Group 34,600 1,423,790 Torchmark 32,000 1,404,160 Travelers Property Casualty, Cl. B 281,913 4,614,916 U.S. Bancorp 539,353 14,681,189 Union Planters 54,900 1,826,523 UnumProvident 82,895 1,356,991 Wachovia 372,990 17,109,051 Washington Mutual 258,490 11,308,938 Wells Fargo 470,300 26,487,296 XL Capital, Cl. A 38,200 2,654,900 Zions Bancorporation 25,100 1,538,379 656,255,998 INTERNET--.6% eBay 179,800 (a) 10,058,012 Yahoo! 181,700 (a) 7,940,290 17,998,302 PRODUCER GOODS & SERVICES--9.0% Air Products & Chemicals 63,600 2,888,076 Alcoa 236,948 7,480,448 Allegheny Technologies 22,677 173,479 American Power Conversion 55,200 1,116,696 American Standard Cos 20,200 (a) 1,933,140 Ashland 19,100 711,284 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- PRODUCER GOODS & SERVICES (CONTINUED) Avery Dennison 30,900 1,624,722 Ball 15,800 887,960 Bemis 14,900 688,976 Black & Decker 21,800 1,042,258 Boeing 235,498 9,064,318 Boise Cascade 16,400 460,020 Burlington Northern Santa Fe 104,300 3,018,442 CSX 59,900 1,906,018 Caterpillar 96,600 7,078,848 Centex 17,300 1,686,750 Cooper Industries, Cl. A 25,800 1,364,820 Crane 16,625 467,163 Cummins 11,600 (b) 549,840 Deere & Co 67,000 4,061,540 Dow Chemical 257,163 9,692,473 E. I. du Pont de Nemours 279,012 11,272,085 Eastman Chemical 21,700 704,382 Ecolab 72,700 1,954,903 Emerson Electric 117,900 6,690,825 Engelhard 35,100 1,003,158 FedEx 83,620 6,335,051 Fluor 22,900 849,132 Freeport-McMoRan Copper & Gold, Cl. B 47,200 1,829,000 General Dynamics 55,200 4,620,240 Georgia-Pacific 71,067 1,867,641 Goodrich 32,900 908,698 Goodyear Tire & Rubber 49,100 336,826 Great Lakes Chemical 14,200 305,300 Hercules 31,000 (a) 323,950 Honeywell International 240,825 7,371,653 ITT Industries 25,900 1,760,941 Illinois Tool Works 86,200 6,340,010 Ingersoll-Rand, Cl. A 48,000 2,899,200 International Paper 134,253 5,282,856 KB HOME 13,200 904,068 Lockheed Martin 126,200 5,850,632 Louisiana-Pacific 29,300 (a) 557,286 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- PRODUCER GOODS & SERVICES (CONTINUED) Masco 131,600 3,619,000 MeadWestvaco 56,111 1,454,397 Molex 53,500 1,679,365 Monsanto 73,364 1,837,768 Newmont Mining 114,225 5,000,771 Norfolk Southern 109,300 2,202,395 Northrop Grumman 51,245 4,581,303 Nucor 21,900 1,200,777 PPG Industries 47,500 2,738,375 Pall 34,800 814,320 Parker-Hannifin 33,050 1,684,559 Phelps Dodge 24,895 (a) 1,537,017 Praxair 45,600 3,172,848 Pulte Homes 17,200 1,487,972 Raytheon 115,900 3,069,032 Rockwell Automation 51,700 1,605,285 Rockwell Collins 50,200 1,377,990 Rohm & Haas 62,215 2,445,050 Sealed Air 23,732 (a) 1,263,254 Sherwin-Williams 40,900 1,371,786 Sigma-Aldrich 19,800 1,038,510 Snap-On 16,300 478,242 Stanley Works 23,813 793,925 3M 219,200 17,288,304 Temple-Inland 15,200 821,256 Textron 37,900 1,883,251 Thomas & Betts 16,400 291,920 Tyco International 559,271 11,677,578 Union Pacific 71,300 4,463,380 United Parcel Service, Cl. B 315,100 22,851,052 United States Steel 28,900 683,485 United Technologies 131,300 11,119,797 Vulcan Materials 28,500 1,262,835 W.W. Grainger 25,600 1,171,968 Weyerhaeuser 61,400 3,698,122 Worthington Industries 24,100 351,378 251,883,375 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- SERVICES--6.4% ALLTEL 87,300 4,126,671 AT&T Wireless Services 759,817 (a) 5,508,673 Allied Waste Industries 58,600 (a) 661,008 American Greetings, Cl. A 18,500 (a) 394,605 Apollo Group, Cl. A 49,200 (a) 3,125,676 Automatic Data Processing 167,400 6,317,676 Carnival 176,300 6,154,633 Cintas 47,700 2,034,882 Clear Channel Communications 172,200 7,029,204 Comcast, Cl. A 630,118 (a) 21,373,602 Computer Sciences 52,400 (a) 2,076,088 Convergys 40,000 (a) 642,400 Deluxe 14,900 601,513 Dow Jones & Co 22,800 1,184,916 Electronic Data Systems 134,300 2,880,735 Equifax 39,300 960,492 First Data 207,300 7,400,610 Fiserv 54,150 (a) 1,912,578 Gannett 75,500 6,350,305 IMS Health 66,900 1,574,157 Interpublic Group of Companies 109,600 1,630,848 Knight-Ridder 22,500 1,649,700 McGraw-Hill Cos 53,500 3,581,825 Meredith 13,900 674,428 Monster Worldwide 31,400 (a) 799,758 Moody's 41,800 2,417,294 NEXTEL Communications, Cl. A 290,000 (a) 7,018,000 New York Times, Cl. A 41,800 1,986,754 Omnicom Group 53,200 4,245,360 Paychex 105,475 4,105,087 R. R. Donnelley & Sons 31,800 826,800 Robert Half International 47,700 (a) 1,126,197 Ryder System 17,800 534,000 Sprint (PCS Group) 289,700 (a) 1,260,195 SunGard Data Systems 79,900 (a) 2,241,195 Time Warner 1,263,550 (a) 19,319,680 Tribune 87,800 4,306,590 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- SERVICES (CONTINUED) Univision Communications, Cl. A 90,100 (a) 3,058,895 Viacom, Cl. B 491,424 19,593,075 Walt Disney 572,400 12,959,136 Waste Management 165,800 4,297,536 179,942,777 TECHNOLOGY--16.3% ADC Telecommunications 225,200 (a) 574,260 Adobe Systems 65,300 2,862,752 Advanced Micro Devices 97,100 (a) 1,475,920 Agilent Technologies 131,916 (a) 3,287,347 Altera 107,100 (a) 2,166,633 Analog Devices 102,300 (a) 4,534,959 Andrew 42,950 (a) 561,786 Apple Computer 101,500 (a) 2,323,335 Applied Materials 464,100 (a) 10,846,017 Applied Micro Circuits 85,200 (a) 495,864 Autodesk 31,300 602,525 Avaya 116,580 (a) 1,508,545 BMC Software 63,700 (a) 1,107,106 Broadcom, Cl. A 83,000 (a) 2,651,850 CIENA 132,000 (a) 846,120 Cisco Systems 1,965,200 (a) 41,229,896 Citrix Systems 46,100 (a) 1,165,408 Computer Associates International 162,050 3,811,416 Compuware 107,200 (a) 602,464 Comverse Technology 52,700 (a) 950,708 Corning 372,700 (a) 4,092,246 Danaher 42,900 3,554,265 Dell 719,200 (a) 25,977,504 Dover 56,700 2,212,434 EMC 614,300 (a) 8,501,912 Electronic Arts 41,200 (a) 4,080,448 Gateway 90,800 (a) 457,632 Hewlett-Packard 854,866 19,072,061 Intel 1,822,800 60,243,540 International Business Machines 484,400 43,344,112 COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- TECHNOLOGY (CONTINUED) Intuit 57,500 (a) 2,873,850 JDS Uniphase 400,400 (a) 1,421,420 Jabil Circuit 55,700 (a) 1,551,245 KLA-Tencor 53,300 (a) 3,055,689 LSI Logic 106,100 (a) 980,364 Lexmark International 35,900 (a) 2,642,599 Linear Technology 87,600 3,732,636 Lucent Technologies 1,164,970 (a) 3,727,904 Maxim Integrated Products 90,900 4,518,639 Mercury Interactive 24,200 (a) 1,123,848 Micron Technology 170,800 (a) 2,449,272 Microsoft 3,027,900 79,179,585 Motorola 651,595 8,816,080 NCR 26,500 (a) 952,410 NVIDIA 44,500 (a) 786,760 National Semiconductor 51,500 (a) 2,092,445 Network Appliance 95,700 (a) 2,361,876 Novell 104,000 (a) 610,480 Novellus Systems 42,400 (a) 1,750,696 Oracle 1,465,500 (a) 17,527,380 PMC-Sierra 47,700 (a) 866,709 Parametric Technology 74,600 (a) 232,006 PeopleSoft 101,900 (a) 2,115,444 PerkinElmer 35,500 639,355 Pitney Bowes 65,500 2,692,050 Power-One 23,300 (a) 211,098 QLogic 26,400 (a) 1,479,720 QUALCOMM 222,200 10,554,500 Sabre Holdings 40,221 881,242 Sanmina-SCI 142,800 (a) 1,506,540 Scientific-Atlanta 41,700 1,234,320 Siebel Systems 138,300 (a) 1,741,197 Solectron 232,300 (a) 1,286,942 Sun Microsystems 904,300 (a) 3,581,028 Symantec 42,500 (a) 2,832,625 Symbol Technologies 64,600 806,854 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ----------------------------------------------------------------------------------------------------------------------------------- TECHNOLOGY (CONTINUED) Tektronix 23,800 610,946 Tellabs 115,500 (a) 869,715 Teradyne 52,800 (a) 1,202,784 Texas Instruments 484,800 14,020,416 Unisys 92,200 (a) 1,416,192 VERITAS Software 119,182 (a) 4,308,429 Xerox 221,400 (a) 2,324,700 Xilinx 95,400 (a) 3,024,180 457,735,235 UTILITIES--4.6% AES 173,500 (a) 1,518,125 AT&T 220,640 4,101,698 Allegheny Energy 35,200 372,416 Ameren 45,300 2,022,645 American Electric Power 110,560 3,116,686 BellSouth 517,300 13,610,163 Calpine 107,300 (a) 494,653 CenturyTel 40,300 1,440,725 Cinergy 49,700 1,804,607 Citizens Communications 79,600 (a) 991,020 Consolidated Edison 63,000 2,549,610 Constellation Energy Group 46,700 1,698,479 DTE Energy 47,100 1,737,048 Edison International 91,200 (a) 1,797,552 Entergy 63,800 3,438,820 Exelon 91,275 5,791,399 FPL Group 51,400 3,276,236 FirstEnergy 91,202 3,136,437 PG&E 115,400 (a) 2,821,530 PPL 49,500 1,976,040 Pinnacle West Capital 25,600 935,936 Progress Energy 68,169 2,938,084 Public Service Enterprise Group 63,400 2,591,158 Qwest Communications International 474,700 (a) 1,675,691 SBC Communications 930,598 22,315,740 Southern 204,000 6,079,200 Sprint (FON Group) 252,900 4,046,400 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES (CONTINUED) TECO Energy 52,500 (b) 689,325 TXU 90,197 2,058,295 Verizon Communications 771,756 25,931,002 Xcel Energy 111,610 1,830,404 128,787,124 TOTAL COMMON STOCKS (cost $2,217,688,316 ) 2,721,032,383 ------------------------------------------------------------------------------------------------------------------------------------ Principal SHORT-TERM INVESTMENTS--2.7% Amount ($) Value ($) ------------------------------------------------------------------------------------------------------------------------------------ REPURCHASE AGREEMENT--2.5% Greenwich Capital Markets, Tri-Party Repurchase Agreement, 1.0%, dated 10/31/2003, due 11/3/2003 in the amount of $69,595,799 (fully collateralized by $70,565,000 of various U.S. Government Agency Obligations, value $70,982,930) 69,590,000 69,590,000 U.S. TREASURY BILLS--.2% .95%, 11/13/2003 5,100,000 (c) 5,098,725 TOTAL SHORT-TERM INVESTMENTS (cost $74,688,377) 74,688,725 ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED--.3% Shares Value ------------------------------------------------------------------------------------------------------------------------------------ REGISTERED INVESTMENT COMPANY; Dreyfus Institutional Preferred Money Market Fund (cost $7,537,218) 7,537,218 7,537,218 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (cost $2,299,913,911) 100.0% 2,803,258,326 CASH AND RECEIVABLES (NET) .0% 21,704 NET ASSETS 100.0% 2,803,280,030 (A) NON-INCOME PRODUCING. (B) ALL OR A PORTION OF THESE SECURITIES ARE ON LOAN. AT OCTOBER 31, 2003, THE TOTAL MARKET VALUE OF THE FUND'S SECURITIES ON LOAN IS $7,958,580 AND THE TOTAL MARKET VALUE OF THE COLLATERAL HELD BY THE FUND IS $8,233,900, CONSISTING OF CASH COLLATERAL OF $7,537,218 AND U.S. GOVERNMENT AND AGENCY SECURITIES VALUED AT $696,682. (C) WHOLLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS. SEE NOTES TO FINANCIAL STATEMENTS.
The Fund STATEMENT OF FINANCIAL FUTURES October 31, 2003
Market Value Unrealized Covered by Appreciation Contracts Contracts ($) Expiration at 10/31/2003 ($) ------------------------------------------------------------------------------------------------------------------------------------ FINANCIAL FUTURES LONG Standard & Poor's 500 309 81,073,875 December 2003 2,203,913 SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF ASSETS AND LIABILITIES October 31, 2003 Cost Value -------------------------------------------------------------------------------- ASSETS ($): Investments in securities--See Statement of Investments (including securities loaned valued at $7,958,580)--Note 1(b,c) 2,299,913,911 2,803,258,326 Cash 3,646,833 Receivable for shares of Common Stock subscribed 6,538,706 Dividends and interest receivable 3,662,792 Receivable for futures variation margin--Note 4 77,468 2,817,184,125 -------------------------------------------------------------------------------- LIABILITIES ($): Due to The Dreyfus Corporation and affiliates 1,170,579 Liability for securities loaned--Note 1(b) 7,537,218 Payable for shares of Common Stock redeemed 4,526,977 Payable for investment securities purchased 669,321 13,904,095 -------------------------------------------------------------------------------- NET ASSETS ($) 2,803,280,030 -------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS ($): Paid-in capital 2,471,610,641 Accumulated undistributed investment income--net 24,190,670 Accumulated net realized gain (loss) on investments (198,069,609) Accumulated net unrealized appreciation (depreciation) on investments (including $2,203,913 net unrealized appreciation on financial futures) 505,548,328 -------------------------------------------------------------------------------- NET ASSETS ($) 2,803,280,030 -------------------------------------------------------------------------------- SHARES OUTSTANDING (200 million shares of $.001 par value Common Stock authorized) 90,679,717 NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 30.91 SEE NOTES TO FINANCIAL STATEMENTS. The Fund STATEMENT OF OPERATIONS Year Ended October 31, 2003 -------------------------------------------------------------------------------- INVESTMENT INCOME ($): INCOME: Cash dividends 41,860,694 Interest 833,032 Income on securities lending 40,066 TOTAL INCOME 42,733,792 EXPENSES: Management fee--Note 3(a) 5,980,037 Shareholder servicing costs--Note 3(b) 5,980,037 Loan commitment fees--Note 2 31,570 Miscellaneous 397,350 TOTAL EXPENSES 12,388,994 INVESTMENT INCOME--NET 30,344,798 -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($): Net realized gain (loss) on investments (26,884,951) Net realized gain (loss) on financial futures 13,188,323 NET REALIZED GAIN (LOSS) (13,696,628) Net unrealized appreciation (depreciation) on investments (including $1,513,025 net unrealized appreciation on financial futures) 442,005,324 NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 428,308,696 NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 458,653,494 SEE NOTES TO FINANCIAL STATEMENTS. STATEMENT OF CHANGES IN NET ASSETS Year Ended October 31, ------------------------------------- 2003 2002 -------------------------------------------------------------------------------- OPERATIONS ($): Investment income--net 30,344,798 26,577,770 Net realized gain (loss) on investments (13,696,628) (99,837,347) Net unrealized appreciation (depreciation) on investments 442,005,324 (344,839,365) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 458,653,494 (418,098,942) -------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS FROM ($): INVESTMENT INCOME--NET (26,194,132) (25,302,387) -------------------------------------------------------------------------------- CAPITAL STOCK TRANSACTIONS ($): Net proceeds from shares sold 763,177,089 1,065,975,110 Dividends reinvested 25,656,957 24,723,315 Cost of shares redeemed (603,393,097) (976,225,624) INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL STOCK TRANSACTIONS 185,440,949 114,472,801 TOTAL INCREASE (DECREASE) IN NET ASSETS 617,900,311 (328,928,528) -------------------------------------------------------------------------------- NET ASSETS ($): Beginning of Period 2,185,379,719 2,514,308,247 END OF PERIOD 2,803,280,030 2,185,379,719 Undistributed investment income--net 24,190,670 20,138,326 -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (SHARES): Shares sold 27,846,119 34,312,201 Shares issued for dividends reinvested 958,422 741,996 Shares redeemed (22,142,457) (31,933,596) NET INCREASE (DECREASE) IN SHARES OUTSTANDING 6,662,084 3,120,601 SEE NOTES TO FINANCIAL STATEMENTS. The Fund FINANCIAL HIGHLIGHTS The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund's financial statements.
Year Ended October 31, ---------------------------------------------------------------------------- 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE DATA ($): Net asset value, beginning of period 26.01 31.08 41.95 40.55 32.76 Investment Operations: Investment income--net(a) .35 .32 .32 .31 .35 Net realized and unrealized gain (loss) on investments 4.86 (5.08) (10.88) 1.92 7.80 Total from Investment Operations 5.21 (4.76) (10.56) 2.23 8.15 Distributions: Dividends from investment income--net (.31) (.31) (.31) (.32) (.36) Dividends from net realized gain on investments -- -- -- (.51) -- Total Distributions (.31) (.31) (.31) (.83) (.36) Net asset value, end of period 30.91 26.01 31.08 41.95 40.55 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN (%) 20.22 (15.54) (25.31) 5.50 25.00 ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA (%): Ratio of expenses to average net assets .52 .50 .50 .50 .50 Ratio of net investment income to average net assets 1.27 1.05 .88 .73 .92 Portfolio Turnover Rate 2.17 4.42 1.89 7.64 9.61 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets, end of period ($ x 1,000) 2,803,280 2,185,380 2,514,308 3,072,253 2,800,028 (A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END. SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO FINANCIAL STATEMENTS NOTE 1--SIGNIFICANT ACCOUNTING POLICIES: Dreyfus S&P 500 Index Fund (the "fund") is a separate non-diversified series of Dreyfus Index Funds, Inc. (the "Company" ) which is registered under the Investment Company Act of 1940, as amended (the "Act" ), as an open-end management investment company and operates as a series company currently offering three series including the fund. The fund's investment objective is to match the performance of the Standard & Poor's 500 Composite Stock Price Index. The Dreyfus Corporation ("the Manager") serves as the fund's investment adviser. The Manager is a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Financial Corporation. Dreyfus Service Corporation (the "Distributor"), a wholly-owned subsidiary of the Manager, is the distributor of the fund's shares, which are sold to the public without a sales charge. The fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which may require the use of management estimates and assumptions. Actual results could differ from those estimates. (a) Portfolio valuation: Investments in securities (including financial futures) are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market. Effective April 14, 2003, the fund began pricing securities traded on the NASDAQ stock market using the NASDAQ official closing price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. Bid price is used when no asked price is available. Securities for which there are no such valuations are valued at fair value as determined in good faith under the direction of the Board of Directors (b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest The Fun NOTES TO FINANCIAL STATEMENTS (CONTINUED) income, including, where applicable, amortization of discount and premium on investments, is recognized on the accrual basis. The fund may lend securities to qualified institutions. At origination, all loans are secured by cash collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan will be maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager as shown in the fund's Statement of Investments. The fund will be entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. (c) Repurchase agreements: The fund may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the fund's holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund's holding period. The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counter party default, the fund has the right to use the collateral to offset losses incurred. There is potential loss to the fund in the event the fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert its rights. The Manager, acting under the supervision of the Board of Directors, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks. (d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the "Code"). To the extent that net realized capital gain, if any, can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gain. Income and capital gain distributions are determined in accordance with incomes tax regulations, which may differ from accounting principles generally accepted in the United States of America. (e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. At October 31, 2003, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $24,127,378 accumulated capital losses $147,007,234 and unrealized appreciation $456,753,157. The accumulated capital loss carryover is available to be applied against future net securities profits, if any, realized subsequent to October 31, 2003. If not applied, $20,622,195 of the carryover expires in fiscal 2008, $42,517,790 expires in fiscal 2009, $82,176,122 expires in fiscal 2010 and $1,691,127 expires in fiscal 2011. The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary income $26,194,132 and $25,302,387, respectively. During the period ended October 31, 2003, as a result of permanent book to tax differences, the fund decreased accumulated undistributed investment income-net by $98,322, increased accumulated net realized The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) gain (loss) on investments by $130,856 and decreased paid-in capital by $32,534. Net assets were not affected by this reclassification. NOTE 2--BANK LINE OF CREDIT: The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the "Facility" ) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings. During the period ended October 31, 2003, the fund did not borrow under the Facility. NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES: (a) Pursuant to an Investment Management Agreement ("Agreement") with the Manager, the management fee is computed at the annual rate of .25 of 1% of the value of the fund's average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, interest, commitment fees, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fees in an amount equal to the fund's allocable portion of fees and expenses of the non-interested Board members (including counsel fees) . Each Board member also serves as a Board member of other funds within the Dreyfus complex (collectively, the "Fund Group"). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings. The chairman of the Board receives an additional 25% of such compensation (with the exception of reimburseable amounts) . Subject to the Company's Emeritus Program Guidelines, Emeritus Board Members, if any, receive 50% of the annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status. All Board fees are allocated among the funds in the Fund Group in proportion to each fund's relative net assets. Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager, were in fact paid directly by the Manager to the non-interested Board members. (b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services a fee, at the annual rate of .25 of 1% of the value of the fund's average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period October 31, 2003, the fund was charged $5,980,037 pursuant to the Shareholder Services Plan. (c) A 1% redemption fee is charged and retained by the fund on shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund' s exchange privilege. During the period ended October 31, 2003, redemption fees amounted to $32,533. NOTE 4--SECURITIES TRANSACTIONS: The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures during the period ended October 31, 2003, amounted to $237,102,644 and $50,250,758, respectively. The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) fund to "mark to market" on a daily basis, which reflects the change in the market value of the contract at the close of each day's trading. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss. These investments require initial margin deposits with a broker, which consist of cash or cash equivalents, up to approximately 10% of the contract amount. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Contracts open as of October 31, 2003, are set forth in the Statement of Financial Futures. At October 31, 2003, the cost of investments for federal income tax purposes was $2,348,709,081; accordingly, accumulated net unrealized appreciation on investments was $454,549,245, consisting of $793,399,787 gross unrealized appreciation and $338,850,542 gross unrealized depreciation. REPORT OF INDEPENDENT AUDITORS To the Board of Directors and Shareholders of Dreyfus S&P 500 Index Fund In our opinion, the accompanying statement of assets and liabilities, including the statements of investments and financial futures, and the related statements of operations and of changes in net assets and financial highlights present fairly, in all material respects the financial position of Dreyfus S&P 500 Index Fund (the "Fund") (one of the series constituting Dreyfus Index Funds, Inc.), at October 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities owned at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 12, 2003 The Fund IMPORTANT TAX INFORMATION (Unaudited) In accordance with federal tax law, the fund hereby designates 100% of the ordinary dividends paid during the fiscal year ended October 31, 2003 as qualifying for the corporate dividends received deduction. Shareholders will receive notification in January 2004 of the percentage applicable to the preparation of their 2003 income tax returns. PROXY RESULTS (Unaudited) The fund held a special meeting of shareholders on December 18, 2002. The proposals considered at the meeting, and the results, are as follows:
Shares ------------------------------------------------------------------------- For Against Abstained ------------------------------------------------------------------------- To approve changes to certain of the fund's fundamental policies and investment restrictions to permit participation in a portfolio securities lending program 35,920,282 4,213,850 2,135,051 To approve changes to certain of the fund's fundamental policies and investment restrictions to permit investment in other investment companies 35,417,465 4,142,813 2,708,905 The Fund
BOARD MEMBERS INFORMATION (Unaudited) JOSEPH S. DIMARTINO (60) CHAIRMAN OF THE BOARD (1995) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director and Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * The Muscular Dystrophy Association, Director * Levcor International, Inc., an apparel fabric processor, Director * Century Business Services, Inc., a provider of outsourcing functions for small and medium size companies, Director * The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191 -------------- DAVID P. FELDMAN (63) BOARD MEMBER (1989) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director & Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * BBH Mutual Funds Group (11 funds), Director * The Jeffrey Company, a private investment company, Director * QMED, a medical device company, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53 -------------- EHUD HOUMINER (63) BOARD MEMBER (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Executive-in-Residence at the Columbia Business School, Columbia University * Principal of Lear, Yavitz and Associates, a management consulting firm, from 1996 through 2001 OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Avnet Inc., an electronics distributor, Director * International Advisory Board to the MBA Program School of Management, Ben Gurion University, Chairman * Explore Charter School, Brooklyn, NY, Chairman NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25 GLORIA MESSINGER (73) BOARD MEMBER (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc. * Consultant in Intellectual Property OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Yale Law School Fund, Director * Theater for a New Audience, Inc., Director * Brooklyn Philharmonic, Director * New York Women's Agenda Music Performance Trust Fund, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- T. JOHN SZARKOWSKI (77) BOARD MEMBER (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Consultant in Photography OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Photography Department at The Museum of Modern Art, Director Emeritus NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- ANNE WEXLER (73) BOARD MEMBER (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Chairman of the Wexler Group, consultants specializing in government relations and public affairs OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Wilshire Mutual Funds (5 funds), Director * Methanex Corporation, a methanol producing company, Director * Member of the Council of Foreign Relations * Member of the National Park Foundation NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29 -------------- ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE FUND'S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611. JOHN M. FRASER, JR., EMERITUS BOARD MEMBER The Fund OFFICERS OF THE FUND (Unaudited) STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000. Chairman of the Board, Chief Executive Officer and Chief Operating Officer of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Canter also is a Board member and, where applicable, an Executive Committee Member of the other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 58 years old and has been an employee of the Manager since May 1995. STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002. Chief Investment Officer, Vice Chairman and a Director of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Byers also is an officer, director or an Executive Committee Member of certain other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 50 years old and has been an employee of the Manager since January 2000. Prior to joining the Manager, he served as an Executive Vice President-Capital Markets, Chief Financial Officer and Treasurer at Gruntal & Co., L.L.C. MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000. Executive Vice President, Secretary and General Counsel of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since June 1977. MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000. Associate General Counsel of the Manager, and an officer of 93 investment companies (comprised of 198 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since October 1991. STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000. Associate General Counsel and Assistant Secretary of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since July 1980. JAMES WINDELS, TREASURER SINCE NOVEMBER 2001. Director - Mutual Fund Accounting of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since April 1985. RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since September 1982. ROBERT SVAGNA, ASSISTANT TREASURER SINCE DECEMBER 2002. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 36 years old and has been an employee of the Manager since November 1990. KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001. Mutual Funds Tax Director of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 1993. WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE SEPTEMBER 2002 Vice President and Anti-Money Laundering Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment companies (comprised of 200 portfolios) managed by the Manager. He is 33 years old and has been an employee of the Distributor since October 1998. Prior to joining the Distributor, he was a Vice President of Compliance Data Center, Inc The Fund NOTES For More Information Dreyfus S&P 500 Index Fund 200 Park Avenue New York, NY 10166 Manager The Dreyfus Corporation 200 Park Avenue New York, NY 10166 Custodian Boston Safe Deposit and Trust Company One Boston Place Boston, MA 02109 Transfer Agent & Disbursing Agent Dreyfus Transfer, Inc. 200 Park Avenue New York, NY 10166 Distributor Dreyfus Service Corporation 200 Park Avenue New York, NY 10166 To obtain information: BY TELEPHONE Call 1-800-645-6561 BY MAIL Write to: The Dreyfus Family of Funds 144 Glenn Curtiss Boulevard Uniondale, NY 11556-0144 BY E-MAIL Send your request to info@dreyfus.com ON THE INTERNET Information can be viewed online or downloaded from: http://www.dreyfus.com A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling the telephone number listed above, or by visiting the SEC's website at http://www.sec.gov (c) 2003 Dreyfus Service Corporation 078AR1003 Comparison of change in value of $10,000 investment in Dreyfus S&P 500 Index Fund and the Standard & Poor's 500 Composite Stock Price Index EXHIBIT A: Standard & Poor's 500 Dreyfus Composite S&P 500 Stock PERIOD Index Price Fund Index * 10/31/93 10,000 10,000 10/31/94 10,314 10,387 10/31/95 12,962 13,133 10/31/96 15,997 16,298 10/31/97 21,030 21,532 10/31/98 25,518 26,267 10/31/99 31,898 33,009 10/31/00 33,654 35,020 10/31/01 25,135 26,300 10/31/02 21,231 22,326 10/31/03 25,523 26,968 * Source: Lipper Inc. Dreyfus Smallcap Stock Index Fund ANNUAL REPORT October 31, 2003 YOU, YOUR ADVISOR AND DREYFUS A MELLON FINANCIAL COMPANY(SM) The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund. Not FDIC-Insured * Not Bank-Guaranteed * May Lose Value Contents THE FUND -------------------------------------------------- 2 Letter from the Chairman 3 Discussion of Fund Performance 6 Fund Performance 7 Statement of Investments 25 Statement of Financial Futures 26 Statement of Assets and Liabilities 27 Statement of Operations 28 Statement of Changes in Net Assets 29 Financial Highlights 30 Notes to Financial Statements 36 Report of Independent Auditors 37 Important Tax Information 38 Board Members Information 40 Officers of the Fund FOR MORE INFORMATION --------------------------------------------------------------------------- Back Cover The Fund Dreyfus Smallcap Stock Index Fund LETTER FROM THE CHAIRMAN Dear Shareholder: This annual report for Dreyfus Smallcap Stock Index Fund covers the 12-month period from November 1, 2002, through October 31, 2003. Inside, you'll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund' s portfolio manager, Tom Durante, who became the fund's sole portfolio manager on September 15, 2003. Recent estimates of greater than expected U.S. Gross Domestic Product annualized growth during the third quarter of 2003 suggest that the economy has started to turn the corner. Tax cuts and low mortgage rates have put cash in consumers' pockets, and corporations have begun to increase spending and investment. As a result, stocks rallied over the reporting period, posting gains in virtually every market sector and capitalization range. We have seen strong quarters before, only to be disappointed when growth proved unsustainable. Based on recent data, we are cautiously optimistic about the current economic environment. As always, we urge you to speak regularly with your financial advisor, who may be in the best position to suggest investments that are right for your current needs, future goals and attitudes toward risk. Thank you for your continued confidence and support. Sincerely, /S/STEPHEN E. CANTER Stephen E. Canter Chairman and Chief Executive Officer The Dreyfus Corporation November 17, 2003 DISCUSSION OF FUND PERFORMANCE Tom Durante, Portfolio Manager HOW DID DREYFUS SMALLCAP STOCK INDEX FUND PERFORM RELATIVE TO ITS BENCHMARK? For the 12-month period ended October 31, 2003, Dreyfus Smallcap Stock Index Fund produced a total return of 32.63%.(1) The Standard & Poor's SmallCap 600 Index (the "S&P 600 Index"), the fund's benchmark, produced a 33.58% return for the same period.(2,3) We attribute the fund' s performance to the effects of a stronger economy, in which renewed growth was driven by waning geopolitical tensions and robust levels of consumer spending in a low interest-rate environment. In addition, small-cap stocks generally posted higher returns than mid- and large-cap stocks, as investors flocked toward companies with higher potential growth rates. The difference in returns between the fund and the S&P 600 Index was primarily due to the fund' s sampling strategy, transaction costs and other fund operating expenses. WHAT IS THE FUND'S INVESTMENT APPROACH? The fund seeks to match the total return of the S&P 600 Index. To reach this goal, the fund generally invests in a representative sample of the stocks listed in the S& P 600 Index. While the portfolio managers strive to own the vast majority of the stocks in the S&P 600 Index, they may avoid some very small, less liquid names. Often considered a barometer for the small-cap stock market in general, the S& P 600 Index is composed of 600 domestic stocks across 10 economic sectors. Each stock is weighted by its market capitalization; that is, larger companies have greater representation in the S&P 600 Index than smaller ones. The fund may also use stock index futures as a substitute for the sale or purchase of stocks. As an index fund, the fund uses a passive management approach: all investment decisions are made based on the composition of the S&P 600 Index. The fund does not attempt to manage market volatility. The Fund DISCUSSION OF FUND PERFORMANCE (CONTINUED) Small-cap stocks are often those of new and entrepreneurial companies and tend to grow faster than large-cap companies. They also typically use any profits for expansion rather than for paying dividends. Compared to larger, more established companies, small companies are subject to more erratic market movements and may carry additional risks because, among other things, their revenues and earnings also tend to be less predictable. As a result, their stocks tend to be less liquid and more volatile. WHAT OTHER FACTORS INFLUENCED THE FUND'S PERFORMANCE? When the reporting period began, small-cap stocks generally were languishing in a persistently weak economy characterized by growing uncertainties leading to the war with Iraq. As a result, investor sentiment largely remained negative through the first quarter of 2003 and many investors became increasingly risk-averse, preferring the relative safety of bonds over the greater perceived risks of stocks. By the second quarter of 2003, after the allied coalition entered Baghdad, investors' attention returned to prospects for the U.S. economy. Investors began to look forward to stronger economic growth due to a mortgage refinancing boom and new federal tax cuts that put cash in consumers' pockets during the latter part of the reporting period. Historically, small-cap stocks have tended to produce higher returns than larger-cap stocks during the early stages of an economic recovery. The reporting period was no exception. Investors apparently were willing to assume more risk in exchange for the possibility of greater rewards. In addition, low interest rates helped many small-cap companies raise capital more affordably in the debt markets, and smaller companies generally were not affected by the legal and regulatory issues associated with the questionable accounting practices that seemed to plague larger-cap companies. Some of the small-cap market's strongest returns came from the technology group, including electronic equipment companies that make products for larger computer and semiconductor manufacturers. The homebuilding sector also performed well, with gains driven by low interest rates and rising home values. Smaller, regional banks also flourished as demand for home mortgages rose in local markets. Finally, specialty retail stocks contributed positively to performance, with returns fueled by strong consumer spending. However, two areas of the S& P 600 Index provided relatively disappointing results during the reporting period: oil services stocks, whose earnings suffered from their lack of exposure to less costly drilling sites in overseas markets; and food and beverage stocks, which were largely overlooked by investors seeking higher growth rates in other areas. WHAT IS THE FUND'S CURRENT STRATEGY? As an index fund, our strategy remains the same: to seek to replicate the returns of the small-cap market as represented by the S&P 600 Index. While we have been pleased with the recent strong performance of small-cap stocks, we remain aware that the stock market has been subject to heightened volatility for some time now. In our view, one of the greatest benefits of broadly diversified index funds is that they can help investors control risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding. November 17, 2003 (1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE AND INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. (2) SOURCE: LIPPER INC. -- REFLECTS THE REINVESTMENT OF DIVIDENDS AND, WHERE APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE STANDARD & POOR'S SMALLCAP 600 INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED, UNMANAGED INDEX OF OVERALL SMALL-CAP STOCK MARKET PERFORMANCE. (3) "STANDARD & POOR'S," "S&P," "STANDARD & POOR'S SMALLCAP 600 INDEX" ARE TRADEMARKS OF THE MCGRAW-HILL COMPANIES, INC., AND HAVE BEEN LICENSED FOR USE BY THE FUND. THE FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY STANDARD & POOR'S AND STANDARD & POOR'S MAKES NO REPRESENTATION REGARDING THE ADVISABILITY OF INVESTING IN THE FUND. The Fund FUND PERFORMANCE Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock Index Fund and the Standard & Poor's SmallCap 600 Index -------------------------------------------------------------------------------- Average Annual Total Returns as of 10/31/03
Inception From Date 1 Year 5 Years Inception ------------------------------------------------------------------------------------------------------------------------------------ FUND 6/30/97 32.63% 10.58% 8.00% ((+)) SOURCE: LIPPER INC.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S PERFORMANCE SHOWN IN THE GRAPH AND TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE ABOVE GRAPH COMPARES A $10,000 INVESTMENT MADE IN DREYFUS SMALLCAP STOCK INDEX FUND ON 6/30/97 (INCEPTION DATE) TO A $10,000 INVESTMENT MADE IN THE STANDARD & POOR'S SMALLCAP 600 INDEX (THE "INDEX") ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS ARE REINVESTED. THE FUND'S PERFORMANCE SHOWN IN THE LINE GRAPH TAKES INTO ACCOUNT ALL APPLICABLE FEES AND EXPENSES. THE INDEX IS A BROAD-BASED INDEX AND A WIDELY ACCEPTED, UNMANAGED INDEX OF OVERALL SMALL-CAP STOCK MARKET PERFORMANCE AND DOES NOT TAKE INTO ACCOUNT CHARGES, FEES AND OTHER EXPENSES. FURTHER INFORMATION RELATING TO FUND PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IF APPLICABLE, IS CONTAINED IN THE FINANCIAL HIGHLIGHTS SECTION OF THE PROSPECTUS AND ELSEWHERE IN THIS REPORT. STATEMENT OF INVESTMENTS October 31, 2003
COMMON STOCKS--99.3% Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ ALCOHOL & TOBACCO--.1% DIMON 30,600 220,320 CONSUMER CYCLICAL--19.4% A.T. Cross, Cl. A 9,000 (a) 55,350 Action Performance Cos 12,800 262,144 Advanced Marketing Services 14,000 160,300 Albany International, Cl. A 22,400 692,160 Angelica 7,500 154,500 AnnTaylor Stores 29,300 (a) 1,048,940 Applica 13,000 95,940 Arctic Cat 15,700 353,564 Argosy Gaming 19,700 (a) 468,860 Ashworth 6,400 (a) 53,824 Atlantic Coast Airlines Holdings 28,800 (a) 318,816 Aztar 24,200 (a) 505,296 Bally Total Fitness Holdings 26,000 (a) 173,160 Bassett Furniture 7,700 120,967 Brown Shoe 12,700 439,420 Burlington Coat Factory Warehouse 31,000 664,950 CEC Entertainment 18,250 (a) 892,425 CPI 6,600 130,086 Casey's General Stores 32,500 503,750 Cato, Cl. A 15,800 333,380 Children's Place Retail Stores 17,600 (a) 529,760 Christopher & Banks 24,175 705,910 Coachmen Industries 10,400 162,136 Concord Camera 14,000 (a) 179,760 Cost Plus 12,900 (a) 591,723 Department 56 10,500 (a) 147,525 Dress Barn 21,000 (a) 294,000 Duane Reade 12,100 (a) 166,375 Electronics Boutique Holdings 16,100 (a) 458,045 Enesco Group 7,900 (a) 77,499 Ethan Allen Interiors 24,800 912,640 Fedders 11,970 70,025 Fleetwood Enterprises 21,900 (a) 220,752 Footstar 11,500 (a) 71,875 Fossil 29,250 (a) 789,750 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER CYCLICAL (CONTINUED) Fred's 25,000 942,000 Frontier Airlines 19,500 (a) 313,365 GenCorp 28,500 269,895 Genesco 15,000 (a) 252,750 Goody's Family Clothing 23,900 251,906 Great Atlantic & Pacific 20,000 (a) 125,000 Group 1 Automotive 15,000 (a) 531,450 Guitar Center 13,500 (a) 439,425 Gymboree 19,200 (a) 316,800 Haggar 3,000 47,700 Hancock Fabrics 12,600 187,866 Harman International Industries 21,000 2,692,200 Haverty Furniture 15,500 321,625 Hot Topic 31,900 (a) 915,849 Huffy 2,900 (a) 17,255 IHOP 14,500 537,950 Insight Enterprises 27,500 (a) 462,550 Interface, Cl. A 30,200 (a) 167,610 Intermet 13,000 57,200 J. Jill Group 11,000 (a) 133,870 JAKKS Pacific 17,600 (a) 228,800 Jack in the Box 26,000 (a) 472,940 Jo-Ann Stores, Cl. A 14,400 (a) 432,144 K-Swiss 11,800 518,492 K2 17,000 (a) 282,030 Kellwood 18,000 672,660 Landry's Restaurants 18,200 455,546 La-Z Boy 35,000 707,000 Linens 'n Things 29,000 (a) 856,080 Lone Star Steakhouse & Saloon 15,700 343,359 Marcus 20,300 303,485 Men's Wearhouse 27,000 (a) 795,420 Mesa Air Group 26,200 (a) 282,174 Midas 6,800 (a) 91,256 Monaco Coach 17,350 (a) 417,962 Movie Gallery 23,000 (a) 475,640 NBTY 44,000 (a) 1,199,000 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER CYCLICAL (CONTINUED) National Presto Industries 5,000 173,500 Nautilus Group 20,400 318,444 O'Charleys 12,100 (a) 203,885 OshKosh B'Gosh 7,500 161,700 Oshkosh Truck 23,600 1,081,588 Oxford Industries 5,600 383,600 P.F. Chang's China Bistro 16,300 (a) 794,462 Pacific Sunwear of California 51,262 (a) 1,183,639 Panera Bread, Cl. A 18,500 (a) 744,255 Papa John's International 12,000 (a) 315,720 Pep Boys-Manny, Moe & Jack 37,000 711,510 Phillips-Van Heusen 16,200 277,668 Pinnacle Entertainment 12,500 (a) 109,375 Polaris Industries 15,000 1,284,000 Prime Hospitality 28,300 (a) 257,530 Quicksilver 34,900 (a) 599,233 RARE Hospitality International 21,750 (a) 539,400 Russ Berrie & Co 15,300 548,505 Russell 23,400 427,752 Ryan's Family Steak House 30,600 (a) 426,564 SCP Pool 23,787 (a) 832,545 Salton 8,300 (a) 88,644 School Specialty 12,000 (a) 334,560 ShopKo Stores 21,000 (a) 325,080 Shuffle Master 11,000 (a) 334,840 SkyWest 35,300 652,697 Sonic 25,937 (a) 721,308 Standard Motor Products 13,600 151,640 Steak n Shake 16,378 (a) 283,339 Stein Mart 22,600 (a) 162,494 Stride Rite 28,000 337,400 Sturm Ruger 19,800 224,730 TBC 15,300 (a) 416,007 Thor Industries 18,600 1,192,632 Too 20,000 (a) 330,000 Toro 17,000 844,900 Tower Automotive 29,500 (a) 117,410 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER CYCLICAL (CONTINUED) Tractor Supply 24,500 (a) 1,026,795 Triarc, Cl. B 36,000 383,760 Ultimate Electronics 5,500 (a) 49,445 Urban Outfitters 24,200 (a) 807,312 WMS Industries 17,100 (a) 395,523 Wabash National 18,500 (a) 426,795 Wet Seal, Cl. A 15,900 (a) 174,741 Winnebago Industries 12,700 740,410 Wolverine World Wide 27,700 559,540 Zale 18,700 (a) 967,912 53,748,650 CONSUMER STAPLES--2.4% American Italian Pasta, Cl. A 11,400 (a) 435,936 Corn Products International 23,900 809,971 Delta & Pine Land 25,233 576,826 Flowers Foods 30,850 732,071 Hain Celestial Group 20,300 (a) 428,330 International Multifoods 13,800 (a) 307,878 J & J Snack Foods 6,200 (a) 221,278 Lance 20,300 262,885 Libbey 9,700 257,923 Nash Finch 9,300 146,475 Nature's Sunshine Products 8,600 68,886 Performance Food Group 28,100 (a) 1,046,725 Ralcorp Holdings 19,800 (a) 544,500 United Natural Foods 11,400 (a) 440,952 WD-40 11,000 356,950 6,637,586 ENERGY--7.1% American States Water 8,350 204,575 Atmos Energy 33,500 820,750 Atwood Oceanics 7,100 (a) 183,819 Cabot Oil & Gas 21,500 549,325 Cal Dive International 25,000 (a) 518,250 Carbo Ceramics 12,100 508,200 Cascade Natural Gas 6,100 118,950 Cimarex Energy 28,600 (a) 584,870 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ ENERGY (CONTINUED) Dril-Quip 9,700 (a) 145,500 Energen 25,600 943,872 Evergreen Resources 27,700 (a) 759,534 Frontier Oil 19,100 305,600 Hydril 14,200 (a) 332,990 Laclede Group 12,700 360,045 NUI 9,700 165,579 New Jersey Resources 18,800 711,580 Newfield Exploration 37,000 (a) 1,470,010 Northwest Natural Gas 15,200 440,800 Nuevo Energy 13,800 (a) 271,584 Oceaneering International 14,800 (a) 341,288 Patina Oil & Gas 23,875 1,007,048 Piedmont Natural Gas 21,100 838,303 Plains Resources 12,600 (a) 166,950 Prima Energy 9,200 (a) 255,944 Remington Oil & Gas 18,600 (a) 332,010 Southern Union 48,972 (a) 862,397 Southwest Gas 20,400 460,632 Southwestern Energy 26,500 (a) 514,100 Spinnaker Exploration 20,500 (a) 524,595 St. Mary Land & Exploration 19,000 495,900 Stone Energy 17,600 (a) 636,064 Swift Energy 15,500 (a) 215,450 TETRA Technologies 17,150 (a) 387,761 Tom Brown 27,500 (a) 743,050 UGI 29,000 893,200 Unit 31,800 (a) 616,602 Veritas DGC 18,700 (a) 165,682 Vintage Petroleum 42,000 485,100 W-H Energy Services 15,700 (a) 246,176 19,584,085 HEALTH CARE--11.2% Accredo Health 31,125 (a) 994,755 Advanced Medical Optics 21,000 (a) 423,570 Alpharma, Cl. A 34,400 626,080 American Healthways 10,500 (a) 435,225 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (CONTINUED) American Medical Systems Holdings 20,700 (a) 414,000 Amerigroup 15,200 (a) 635,664 AmSurg 12,500 (a) 449,875 ArQule 10,500 (a) 54,600 ArthroCare 12,000 (a) 268,200 Biosite 10,600 (a) 273,480 CIMA Labs 8,000 (a) 251,200 CONMED 20,100 (a) 409,035 Cephalon 35,500 (a) 1,667,080 Cooper Cos 21,000 912,450 CryoLife 9,950 (a) 60,795 Curative Health Services 8,400 (a) 120,036 Datascope 10,500 349,545 Diagnostic Products 19,400 791,908 Enzo Biochem 21,940 (a) 405,890 Haemonetics 16,000 (a) 368,960 Hologic 11,000 (a) 149,600 Hooper Holmes 37,200 193,812 ICU Medical 9,700 (a) 327,763 IDEXX Laboratories 22,600 (a) 1,068,980 INAMED 15,200 (a) 1,312,824 Integra LifeSciences Holdings 16,300 (a) 549,962 Invacare 20,300 832,706 MGI Pharma 18,800 (a) 706,128 Medicis Pharmaceutical, Cl. A 17,600 1,114,960 Mentor 32,000 648,000 Mid Atlantic Medical Services 32,000 (a) 1,868,800 Noven Pharmaceuticals 13,900 (a) 140,251 Odyssey Healthcare 21,450 (a) 595,023 Orthodontic Centers of America 35,400 (a) 312,936 Osteotech 8,000 (a) 64,720 Owens & Minor 23,100 469,854 Pediatrix Medical Group 15,500 (a) 828,475 PolyMedica 17,200 507,400 Possis Medical 11,400 (a) 185,592 Priority Healthcare, Cl. B 28,918 (a) 625,496 Province Healthcare 31,750 (a) 407,670 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (CONTINUED) Regeneron Pharmaceuticals 31,800 (a) 440,112 RehabCare Group 10,600 (a) 165,572 Renal Care Group 32,500 (a) 1,219,075 ResMed 21,700 (a) 906,409 Respironics 22,300 (a) 929,687 Savient Pharmaceuticals 49,800 (a) 301,290 Sierra Health Services 19,900 (a) 463,471 Sola International 17,400 (a) 298,410 Sunrise Senior Living 15,200 (a) 439,280 Sybron Dental Specialties 26,199 (a) 602,577 Techne 27,000 (a) 940,410 Theragenics 17,000 (a) 75,650 US Oncology 60,500 (a) 661,870 Viasys Healthcare 20,300 (a) 366,415 Vital Signs 9,700 294,201 30,927,729 INTEREST SENSITIVE--14.0% Anchor Bancorp Wisconsin 15,700 390,930 BankUnited Financial, Cl. A 20,800 (a) 459,888 Boston Private Financial Holdings 13,600 346,392 Brookline Bancorp 33,600 497,952 Capital Automotive 22,700 706,197 Cash America International 15,900 303,531 Centene 13,000 (a) 397,930 Chittenden 24,850 799,673 Colonial Properties Trust 17,400 643,800 Commercial Federal 26,400 679,536 Community First Bankshares 23,300 632,595 Delphi Financial Group, Cl. A 14,578 734,294 Dime Community Bancshares 17,200 479,536 Downey Financial 17,980 825,282 East West Bancorp 16,100 790,349 Essex Property Trust 14,300 856,284 Financial Federal 10,300 (a) 345,565 First Bancorp 27,950 930,735 First Midwest Bancorp 31,674 978,727 First Republic Bank 11,200 400,960 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ INTEREST SENSITIVE (CONTINUED) FirstFed Financial 12,300 (a) 553,500 Flagstar Bancorp 41,500 925,450 Fremont General 53,300 886,379 Gables Residential Trust 16,400 527,752 Glenborough Realty Trust 20,900 407,550 Hilb, Rogal & Hamilton 21,700 651,434 Hudson United Bancorp 30,380 1,102,490 iDine Rewards Network 12,000 (a) 131,040 Irwin Financial 20,400 571,812 Jefferies Group 35,300 1,094,300 Kilroy Realty 17,900 517,310 LandAmerica Financial Group 13,100 655,131 Lexington Corporate Properties Trust 23,500 450,730 MAF Bancorp 17,300 725,216 NCO Group 17,200 (a) 409,360 New Century Financial 24,050 891,774 Philadelphia Consolidated Holding 16,000 (a) 754,400 Presidential Life 18,200 279,552 Provident Bankshares 16,224 503,431 RLI 16,500 554,400 Raymond James Financial 32,700 1,333,833 Republic Bancorp 35,800 519,816 Riggs National 14,800 244,348 SCPIE Holdings 5,400 72,630 SWS Group 12,371 268,451 Seacoast Financial Services 16,100 412,321 Selective Insurance Group 17,600 540,320 Shurgard Storage Centers, Cl. A 29,000 1,049,800 South Financial Group 35,800 935,454 Southwest Bancorporation of Texas 21,000 754,110 Staten Island Bancorp 35,800 713,494 Sterling Bancshares 26,700 307,050 Stewart Information Services 13,000 (a) 404,950 Susquehanna Bancshares 23,900 598,695 Trustco Bank 52,044 679,174 UCBH Holdings 30,400 1,085,584 UICI 31,600 (a) 472,736 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ INTEREST SENSITIVE (CONTINUED) Umpqua Holdings 16,400 335,380 United Bankshares 28,300 856,075 Waypoint Financial 19,965 415,671 Whitney Holding 27,950 1,061,261 Wintrust Financial 13,000 563,420 Zenith National Insurance 13,200 405,240 38,822,980 INTERNET--.7% j2 Global Communications 16,300 (a) 461,616 Netegrity 25,800 (a) 305,988 PC-Tel 14,800 (a) 149,924 Verity 24,100 (a) 338,605 WebEx Communications 29,000 (a) 640,610 1,896,743 PRODUCER GOODS & SERVICES--19.6% A. Schulman 22,000 417,780 A. M. Castle 7,000 (a) 36,400 A. O. Smith 20,650 653,572 AAR 20,150 (a) 219,635 Acuity Brands 28,000 602,000 Alliant Techsystems 25,475 (a) 1,318,586 Apogee Enterprises 15,100 157,795 Applied Industrial Technologies 14,100 317,955 AptarGroup 24,500 877,100 Arch Chemicals 13,200 292,776 Arkansas Best 17,100 566,181 Astec Industries 8,000 (a) 101,760 Baldor Electric 21,833 465,043 Barnes Group 16,000 466,880 Belden 17,100 320,625 Brady, Cl. A 14,600 515,380 Briggs & Stratton 15,000 975,150 Brooks Automation 22,000 (a) 548,900 Brush Engineered Materials 10,800 (a) 137,484 Buckeye Technologies 20,000 (a) 180,200 Building Materials Holding 9,800 138,572 Butler Manufacturing 3,000 53,250 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ PRODUCER GOODS & SERVICES (CONTINUED) C&D Technologies 17,200 342,796 CLARCOR 17,450 709,342 CUNO 10,400 (a) 414,960 Cable Design Technologies 29,725 (a) 286,549 Cambrex 17,600 416,064 Caraustar Industries 13,100 (a) 125,891 Century Aluminum 14,100 (a) 232,086 Champion Enterprises 29,000 (a) 205,900 Chesapeake 11,100 270,840 Cleveland-Cliffs 7,600 (a) 228,000 Commercial Metals 18,900 466,452 Commonwealth Industries 14,000 95,900 Cubic 18,100 514,040 Curtiss-Wright 6,900 510,600 DRS Technologies 14,200 (a) 341,652 Deltic Timber 7,200 206,136 EDO 10,400 231,920 ElkCorp 11,900 302,260 Emcor Group 8,800 (a) 331,672 Engineered Support Systems 16,500 743,710 Florida Rock Industries 19,250 1,102,062 Forward Air 13,800 (a) 401,304 Gardner Denver 10,400 (a) 214,864 Georgia Gulf 22,800 613,320 Griffon 21,800 (a) 421,830 H. B. Fuller 19,000 470,820 Heartland Express 33,271 826,452 Hughes Supply 16,200 626,130 IDEX 21,400 795,652 IMCO Recycling 7,800 (a) 58,656 Insituform Technologies, Cl. A 16,700 (a) 238,810 Intermagnetics General 10,617 (a) 249,924 InVision Technologies 9,700 (a) 263,549 Ionics 11,000 (a) 313,390 JLG Industries 23,800 284,172 Kaman, Cl. A 15,100 184,220 Kansas City Southern 36,400 (a) 481,572 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ PRODUCER GOODS & SERVICES (CONTINUED) Kaydon 18,500 439,745 Kirby 15,100 (a) 443,638 Knight Transportation 25,100 (a) 631,767 Landstar System 10,500 (a) 766,920 Lawson Products 6,600 198,000 Lennox International 39,800 658,292 Lindsay Manufacturing 6,900 160,011 Lone Star Technologies 16,200 (a) 225,504 Lydall 11,400 (a) 135,546 M.D.C. Holdings 19,665 1,323,848 MacDermid 21,300 636,444 MagneTek 9,000 (a) 54,810 Manitowoc 15,175 329,298 Massey Energy 45,000 625,500 Material Sciences 7,600 71,288 Maverick Tube 26,300 (a) 444,207 Milacron 13,700 32,743 Mueller Industries 23,500 (a) 741,660 Myers Industries 19,518 238,120 NVR 4,800 (a) 2,349,120 OM Group 15,200 272,080 Offshore Logistics 16,100 (a) 350,980 Omnova Solutions 21,200 (a) 74,412 Penford 5,600 78,344 PolyOne 45,500 219,765 Pope & Talbot 9,200 131,836 Quaker Chemical 7,800 207,012 Quanex 11,500 460,575 RTI International Metals 13,400 (a) 160,934 Regal Beloit 16,300 331,705 Reliance Steel & Aluminum 22,400 642,880 Roadway 12,400 635,500 Robins & Myers 9,300 196,230 Rock-Tenn, Cl. A 23,600 379,960 Rogers 12,000 (a) 479,760 Ryerson Tull 14,200 114,452 Ryland Group 17,200 1,529,080 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ PRODUCER GOODS & SERVICES (CONTINUED) SPS Technologies 9,000 (a) 443,880 Schweitzer-Mauduit International 10,700 284,620 Seacor Smit 11,450 (a) 438,764 Shaw Group 34,400 (a) 469,560 Simpson Manufacturing 17,100 (a) 765,225 Skyline 6,100 210,145 Standard Pacific 22,000 1,052,700 Standex International 8,800 223,960 Steel Dynamics 33,500 (a) 624,105 Steel Technologies 8,300 127,903 Stewart & Stevenson Services 18,500 309,320 SurModics 12,500 (a) 262,625 Technitrol 26,500 577,700 Teledyne Technologies 21,000 (a) 346,290 Texas Industries 11,800 320,606 Thomas Industries 11,750 354,850 Timken 54,500 914,510 Tredegar 22,600 352,108 Triumph Group 11,000 (a) 359,150 URS 23,000 (a) 503,470 USF 16,500 526,680 United Stationers 22,900 (a) 852,109 Universal Forest Products 11,700 346,320 Valmont Industries 15,800 328,640 Watsco 18,500 396,085 Watts Water Technologies 19,000 337,440 Wellman 25,800 212,850 Wilson Greatbatch Technologies 13,000 (a) 490,100 Wolverine Tube 9,000 (a) 45,810 Woodward Governor 8,700 402,462 Yellow 19,800 (a) 650,430 54,188,904 SERVICES--8.4% ABM Industries 33,600 522,816 ADVO 13,800 618,654 Aaron Rents 21,398 468,616 Administaff 18,400 (a) 213,072 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ SERVICES (CONTINUED) American Management Systems 25,950 (a) 384,060 Arbitron 21,000 (a) 829,500 Armor Holdings 18,000 (a) 351,000 BARRA 13,100 (a) 497,800 Boston Communications Group 14,500 (a) 136,590 Bowne & Co 20,100 301,500 CACI International, Cl. A 20,000 (a) 990,600 CDI 13,300 435,575 Central Parking 20,010 241,521 Ciber 40,000 (a) 368,800 Consolidated Graphics 9,600 (a) 265,440 Cross Country Healthcare 21,100 (a) 293,079 eFunds 32,300 (a) 517,123 4Kids Entertainment 8,600 (a) 210,270 FactSet Research Systems 22,800 994,992 G & K Services, Cl. A 14,300 471,900 Global Payments 24,720 1,029,588 Heidrick & Struggles International 8,800 (a) 173,800 ITT Educational Services 30,500 (a) 1,518,900 Information Holdings 13,000 (a) 291,460 Insurance Auto Auction 7,500 (a) 98,182 John H. Harland 19,500 530,985 Kroll 27,500 (a) 639,650 Labor Ready 28,450 (a) 309,251 MAXIMUS 14,200 (a) 495,722 MICROS Systems 12,100 (a) 489,929 MemberWorks 9,000 (a) 259,920 Mobile Mini 9,300 (a) 196,137 NDCHealth 22,600 596,414 New England Business Service 9,300 270,630 On Assignment 6,900 (a) 36,087 PAREXEL International 17,800 (a) 297,616 PRG-Schultz International 32,950 (a) 156,512 Paxar 26,525 (a) 317,770 Pegasus Solutions 11,800 (a) 128,856 Pharmaceutical Product Development 37,000 (a) 1,112,590 Pre-Paid Legal Services 12,900 (a) 350,364 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ SERVICES (CONTINUED) Regis 30,000 1,140,600 Roto-Rooter 6,399 225,885 Sourcecorp 11,500 (a) 269,445 Spherion 33,000 (a) 287,100 Standard Register 19,800 348,480 StarTek 9,800 325,458 Tetra Tech 35,256 (a) 792,555 Thomas Nelson 11,000 174,350 Volt Information Sciences 11,700 (a) 204,750 Waste Connections 18,300 (a) 634,644 Watson Wyatt & Company Holdings 23,000 (a) 553,150 23,369,688 TECHNOLOGY--15.0% ANSYS 10,800 (a) 384,912 ATMI 19,400 (a) 446,006 Actel 15,800 (a) 426,284 Adaptec 70,500 (a) 599,955 Advanced Energy Industries 20,800 (a) 474,864 Aeroflex 40,700 (a) 377,696 Agilysys 22,300 229,244 Alliance Semiconductor 15,000 (a) 115,500 Analogic 9,000 392,760 Anixter International 23,900 (a) 570,732 Artesyn Technologies 27,600 (a) 227,148 Audiovox, Cl. A 17,400 (a) 208,800 Avid Technology 20,400 (a) 1,055,496 Axcelis Technologies 69,000 (a) 730,020 BEI Technologies 10,700 198,057 Bel Fuse, Cl. B 7,000 183,750 Bell Microproducts 18,300 (a) 154,452 Benchmark Electronics 17,500 (a) 852,600 Black Box 13,600 585,616 Brooktrout Technology 7,000 (a) 100,660 C-COR.net 25,000 (a) 252,000 CTS 23,700 262,359 Captaris 20,500 (a) 121,975 Carreker 14,800 (a) 144,300 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ TECHNOLOGY (CONTINUED) Catapult Communications 7,700 (a) 104,951 Cerner 23,500 (a) 995,695 Checkpoint Systems 22,900 (a) 431,436 Cognex 29,300 786,705 Coherent 17,400 (a) 400,200 Cohu 13,600 272,952 Coinstar 14,300 (a) 209,495 Concerto Software 4,500 (a) 53,730 Concord Communications 11,900 (a) 213,129 Cymer 22,300 (a) 1,018,218 DSP Group 19,600 (a) 468,048 Dendrite International 28,000 (a) 422,800 Digi Inernational 11,300 (a) 103,960 Dionex 14,250 (a) 606,195 DuPont Photomasks 10,600 (a) 245,708 EPIQ Systems 13,000 (a) 219,700 ESS Technology 29,500 (a) 409,460 Electro Scientific Industries 16,100 (a) 395,416 Esterline Technologies 13,300 (a) 294,595 Exar 27,600 (a) 444,084 FEI 20,000 (a) 475,000 FLIR Systems 23,200 (a) 725,232 FileNet 24,500 (a) 654,640 Gerber Scientific 15,500 (a) 122,450 Global Imaging Systems 13,800 (a) 400,890 Harmonic 40,000 (a) 310,400 Helix Technology 15,300 274,635 Hutchinson Technology 18,300 (a) 613,233 Hyperion Solutions 26,575 (a) 889,997 Imagistics International 11,800 (a) 379,370 Input/Output 30,000 (a) 123,300 Inter-Tel 17,300 435,787 Itron 14,400 (a) 295,056 JDA Software Group 20,000 (a) 428,200 Keithley Instruments 10,000 161,300 Kopin 40,200 (a) 294,666 Kronos 20,250 (a) 810,000 The Fund STATEMENT OF INVESTMENTS (CONTINUED) COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ TECHNOLOGY (CONTINUED) Kulicke & Soffa Industries 32,600 (a) 478,568 MRO Software 15,400 (a) 194,810 Manhattan Associates 19,200 (a) 534,528 ManTech International, Cl. A 18,000 (a) 440,280 MapInfo 9,200 (a) 83,812 Meade Instruments 9,000 (a) 33,750 Mercury Computer Systems 15,000 (a) 322,650 Methode Electronics, Cl. A 26,000 309,660 Microsemi 22,300 (a) 461,610 Midway Games 18,117 (a) 51,452 NYFIX 18,700 (a) 148,852 Network Equipment Technologies 15,900 (a) 166,155 Park Electrochemical 12,650 309,925 Pericom Semiconductor 14,000 (a) 159,460 Phoenix Technologies 13,000 (a) 85,540 Photon Dynamics 10,000 (a) 378,200 Photronics 23,700 (a) 510,498 Pinnacle Systems 41,050 (a) 285,298 Planar Systems 10,600 (a) 245,284 Power Integrations 19,400 (a) 675,508 Progress Software 23,800 (a) 525,266 Radiant Systems 17,400 (a) 115,884 RadiSys 12,300 (a) 240,465 Rainbow Technologies 22,800 (a) 280,668 Roper Industries 21,000 1,037,820 Roxio 17,500 (a) 178,325 Rudolph Technologies 10,700 (a) 279,805 SBS Technologies 8,800 (a) 120,736 SCM Microsystems 5,000 (a) 41,600 SPSS 11,800 (a) 214,760 Serena Software 26,400 (a) 455,400 Skyworks Solutions 95,000 (a) 815,100 Standard Microsystems 12,400 (a) 372,000 Supertex 11,000 (a) 206,250 Symmetricom 22,350 (a) 160,920 Systems & Computer Technology 23,700 (a) 348,390 THQ 24,950 (a) 442,613 COMMON STOCKS (CONTINUED) Shares Value ($) ------------------------------------------------------------------------------------------------------------------------------------ TECHNOLOGY (CONTINUED) Take-Two Interactive Software 28,100 (a) 1,111,355 Talx 9,800 212,268 Three-Five Systems 8,349 (a) 38,739 Tollgrade Communications 9,300 (a) 145,731 Trimble Navigation 20,100 (a) 555,765 Ultratech 16,500 (a) 514,965 Varian Semiconductor Equipment Associates 22,400 (a) 1,083,040 Veeco Instruments 19,100 (a) 483,994 ViaSat 18,000 (a) 353,340 Vicor 24,100 (a) 244,374 Websense 14,900 (a) 348,660 X-Rite 15,800 171,904 Zix 9,000 (a) 84,591 41,646,387 UTILITIES--1.4% Avista 32,600 554,200 Central Vermont Public Service 9,300 213,900 CH Energy Group 10,800 473,040 Cleco 30,500 510,875 Commonwealth Telephone Enterprises 15,100 (a) 615,476 El Paso Electric 29,800 (a) 361,772 General Communication, Cl. A 33,500 (a) 330,310 Green Mountain Power 3,400 77,214 Metro One Telecommunications 12,200 (a) 32,208 UIL Holdings 10,300 386,868 UniSource Energy 22,600 436,180 3,992,043 TOTAL COMMON STOCKS (cost $234,960,384) 275,035,115 ------------------------------------------------------------------------------------------------------------------------------------ Principal SHORT-TERM INVESTMENTS--1.0% Amount ($) Value ($) ------------------------------------------------------------------------------------------------------------------------------------ REPURCHASE AGREEMENT--.9% Greenwich Capital Markets, Tri-Party Repurchase Agreement, 1.00%, dated 10/31/2003, due 11/3/2003 in the amount of $2,705,225 (fully collateralized by $2,725,000 Freddie Mac Notes, 5%, 5/29/2013 value $2,762,665) 2,705,000 2,705,000 The Fund STATEMENT OF INVESTMENTS (CONTINUED) Principal U.S. TREASURY BILLS--.1% Amount ($) Value ($) ------------------------------------------------------------------------------------------------------------------------------------ .95%, 11/13/2003 20,000 (b) 19,995 .92%, 12/11/2003 50,000 (b) 49,954 .89%, 12/26/2003 75,000 (b) 74,899 .92%, 1/15/2004 10,000 (b) 9,982 154,830 TOTAL SHORT-TERM INVESTMENTS (cost $2,859,821) 2,859,830 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (cost $237,820,205) 100.3% 277,894,945 LIABILITIES, LESS CASH AND RECEIVABLES (.3%) (941,260) NET ASSETS 100.0% 276,953,685 (A) NON-INCOME PRODUCING. (B) PARTIALLY HELD BY THE BROKER IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS. SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF FINANCIAL FUTURES October 31, 2003
Market Value Unrealized Covered by Appreciation Contracts Contracts ($) Expiration at 10/31/2003 ($) ------------------------------------------------------------------------------------------------------------------------------------ FINANCIAL FUTURES LONG Russell 2000 4 1,056,700 December 2003 11,700 SEE NOTES TO FINANCIAL STATEMENTS.
The Fund STATEMENT OF ASSETS AND LIABILITIES October 31, 2003 Cost Value -------------------------------------------------------------------------------- ASSETS ($): Investments in securities--See Statement of Investments--Note 1(c) 237,820,205 277,894,945 Cash 1,086,403 Receivable for investment securities sold 2,926,488 Receivable for shares of Common Stock subscribed 867,361 Dividends and interest receivable 122,412 282,897,609 -------------------------------------------------------------------------------- LIABILITIES ($): Due to The Dreyfus Corporation and affiliates 111,491 Payable for investment securities purchased 5,592,736 Payable for shares of Common Stock redeemed 232,797 Payable for futures variation margin--Note 4 6,900 5,943,924 -------------------------------------------------------------------------------- NET ASSETS ($) 276,953,685 -------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS ($): Paid-in capital 239,424,571 Accumulated undistributed investment income--net 650,357 Accumulated net realized gain (loss) on investments (3,207,683) Accumulated net unrealized appreciation (depreciation) on investments (including $11,700 net unrealized appreciation on financial futures) 40,086,440 -------------------------------------------------------------------------------- NET ASSETS ($) 276,953,685 -------------------------------------------------------------------------------- SHARES OUTSTANDING (200 million shares of $.001 par value Common Stock authorized) 16,994,983 NET ASSET VALUE, offering and redemption price per share--Note 3(c) ($) 16.30 SEE NOTES TO FINANCIAL STATEMENTS. STATEMENT OF OPERATIONS Year Ended October 31, 2003 -------------------------------------------------------------------------------- INVESTMENT INCOME ($): INCOME: Cash dividends (net of $994 foreign taxes withheld at source) 1,847,601 Interest 13,584 TOTAL INCOME 1,861,185 EXPENSES: Management fee--Note 3(a) 494,168 Shareholder servicing costs--Note 3(b) 494,168 Loan commitment fees--Note 2 2,517 Interest expense--Note 2 909 TOTAL EXPENSES 991,762 INVESTMENT INCOME--NET 869,423 -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($): Net realized gain (loss) on investments (1,716,435) Net realized gain (loss) on financial futures 235,518 NET REALIZED GAIN (LOSS) (1,480,917) Net unrealized appreciation (depreciation) on investments (including $11,700 net unrealized appreciation on financial futures) 61,004,529 NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 59,523,612 NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 60,393,035 SEE NOTES TO FINANCIAL STATEMENTS. The Fund STATEMENT OF CHANGES IN NET ASSETS Year Ended October 31, ----------------------------------- 2003 2002 -------------------------------------------------------------------------------- OPERATIONS ($): Investment income--net 869,423 406,906 Net realized gain (loss) on investments (1,480,917) 290,397 Net unrealized appreciation (depreciation) on investments 61,004,529 (19,086,930) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 60,393,035 (18,389,627) -------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS FROM ($): Investment income--net (595,185) (282,414) Net realized gain on investments (385,518) (598,449) TOTAL DIVIDENDS (980,703) (880,863) -------------------------------------------------------------------------------- CAPITAL STOCK TRANSACTIONS ($): Net proceeds from shares sold 122,541,246 135,918,872 Dividends reinvested 747,608 735,450 Cost of shares redeemed (67,653,116) (38,736,481) Redemption fee 16,755 59,946 INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL STOCK TRANSACTIONS 55,652,493 97,977,787 TOTAL INCREASE (DECREASE) IN NET ASSETS 115,064,825 78,707,297 -------------------------------------------------------------------------------- NET ASSETS ($): Beginning of Period 161,888,860 83,181,563 END OF PERIOD 276,953,685 161,888,860 Undistributed investment income--net 650,357 373,853 -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (SHARES): Shares sold 8,819,812 9,463,906 Shares issued for dividends reinvested 58,682 50,616 Shares redeemed (4,978,794) (2,827,603) NET INCREASE (DECREASE) IN SHARES OUTSTANDING 3,899,700 6,686,919 SEE NOTES TO FINANCIAL STATEMENTS. FINANCIAL HIGHLIGHTS The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund's financial statements.
Year Ended October 31, ------------------------------------------------------------------- 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE DATA ($): Net asset value, beginning of period 12.36 12.98 15.49 13.03 12.16 Investment Operations: Investment income--net(a) .06 .04 .04 .03 .04 Net realized and unrealized gain (loss) on investments 3.95 (.53) (1.06) 3.06 1.38 Total from Investment Operations 4.01 (.49) (1.02) 3.09 1.42 Distributions: Dividends from investment income--net (.04) (.04) (.03) (.04) (.05) Dividends from net realized gain on investments (.03) (.09) (1.46) (.59) (.50) Total Distributions (.07) (.13) (1.49) (.63) (.55) Redemption fee reimbursement .00(b) .00(b) .00(b) -- -- Net asset value, end of period 16.30 12.36 12.98 15.49 13.03 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN (%) 32.63 (3.92) (6.95) 24.64 11.86 ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA (%): Ratio of operating expenses to average net assets .50 .50 .50 .50 .50 Ratio of interest expense and loan commiment fees to average net assets .00(c) .00(c) .01 .01 .01 Ratio of net investment income to average net assets .44 .30 .28 .21 .34 Portfolio Turnover Rate 13.52 12.35 42.01 36.89 41.97 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets, end of period ($ x 1,000) 276,954 161,889 83,182 59,628 35,991 (A) BASED ON AVERAGE SHARES OUTSTANDING AT EACH MONTH END. (B) AMOUNT REPRESENTS LESS THAN $.01 PER SHARE. (C) AMOUNT REPRESENTS LESS THAN .01%. SEE NOTES TO FINANCIAL STATEMENTS.
The Fund NOTES TO FINANCIAL STATEMENTS NOTE 1--SIGNIFICANT ACCOUNTING POLICIES: Dreyfus Smallcap Stock Index Fund (the "fund") is a separate non-diversified series of Dreyfus Index Funds, Inc. (the "Company") which is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company and operates as a series company currently offering three series including the fund. The fund's investment objective is to match the performance of the Standard & Poor's Small Cap 600 Index. The Dreyfus Corporation (the "Manager") serves as the fund's investment adviser. The Manager is a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Financial Corporation. Dreyfus Service Corporation (the " Distributor"), a wholly-owned subsidiary of the Manager, is the distributor of the fund' s shares, which are sold to the public without a sales charge The fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which may require the use of management estimates and assumptions. Actual results could differ from those estimates. (A) PORTFOLIO VALUATION: Investments in securities (including financial futures) are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market. Effective April 14, 2003, the fund began pricing securities traded on the NASDAQ stock market using the NASDAQ official closing price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. Bid price is used when no asked price is available. Securities for which there are no such valuations are valued at fair value as determined in good faith under the direction of the Board of Directors. Short-term investments (excluding U.S. Treasury Bills) are carried at amortized cost, which approximates value. (B) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, amortization of discount and premium on investments, is recognized on the accrual basis. (C) REPURCHASE AGREEMENTS: The fund may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the fund's holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund's holding period. The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counter party default, the fund has the right to use the collateral to offset losses incurred. There is potential loss to the fund in the event the fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert its rights. The Manager, acting under the supervision of the Board of Directors, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks. (D) DIVIDENDS TO SHAREHOLDERS: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the "Code"). To the extent that net real The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) ized capital gain can be offset by capital loss carryovers, if any, it is the policy of the fund not to distribute such gain. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. (E) FEDERAL INCOME TAXES: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. At October 31, 2003, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $606,244, accumulated capital losses $720,311 and unrealized appreciation $37,654,882. The accumulated capital loss carryover is available to be applied against future net securities profits, if any, realized subsequent to October 31, 2003. If not applied, the carryover expires in fiscal 2011. The tax character of distributions paid to shareholders during the fiscal periods ended October 31, 2003 and October 31, 2002, were as follows: ordinary income $595,185 and $282,414 and long-term capital gain $385,518 and $598,449, respectively. During the period ended October 31, 2003, as a result of permanent book to tax differences, the fund increased accumulated undistributed investment income-net by $2,266, increased accumulated net realized gain (loss) on investments by $14,489 and decreased paid-in capital by $16,755. Net assets were not affected by this reclassification. NOTE 2--BANK LINE OF CREDIT: The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the "Facility" ) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings. The average daily amount of borrowings outstanding under the Facility during the period ended October 31, 2003, was approximately $53,700 with a related weighted average annualized interest rate of 1.69%. NOTE 3--MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES: (A) Pursuant to an Investment Management Agreement ("Agreement") with the Manager, the management fee is computed at the annual rate of .25 of 1% of the value of the fund's average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, interest, commitment fees, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fee in an amount equal to the fund's allocable portion of fees and expenses of the non-interested Board members (including counsel fees) . Each Board member also serves as a Board member of other funds within the Dreyfus complex (collectively, the "Fund Group"). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings. The chairman of the Board receives an additional 25% of such compensation (with the exception of reimburseable amounts) . Subject to the Company's Emeritus Program Guidelines, Emeritus Board Members, if any, receive 50% of the annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status. Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager, were in fact paid directly by the Manager to the non-interested Board members. These fees are allocated among the funds in the Fund Group in proportion to each fund's relative net assets. This amount for the period ended October 31, 2003 was $5,411. The Fund NOTES TO FINANCIAL STATEMENTS (CONTINUED) (B) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services at the annual rate of .25 of 1% of the value of the fund's average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, bank or other financial institution) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2003, the fund was charged an aggregate of $494,168 pursuant to the Shareholder Services Plan. (C) A 1% redemption fee is charged and retained by the fund on shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund's exchange privilege. NOTE 4--SECURITIES TRANSACTIONS: The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended October 31, 2003, amounted to $81,073,395 and $26,759,818, respectively. The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the fund to "mark to market" on a daily basis, which reflects the change in the market value of the contract at the close of each day's trading. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss. These investments require initial margin deposits with a broker, which consist of cash or cash equivalents, up to approximately 10% of the contract amount. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Contracts open at October 31, 2003, are set forth in the Statement of Financial Futures. At October 31, 2003, the cost of investments for federal income tax purposes was $240,251,763; accordingly, accumulated net unrealized appreciation on investments was $37,643,182, consisting of $54,840,181 gross unrealized appreciation and $17,196,999 gross unrealized depreciation. The Fund REPORT OF INDEPENDENT AUDITORS To the Board of Directors and Shareholders of Dreyfus Smallcap Stock Index Fund In our opinion, the accompanying statement of assets and liabilities, including the statements of investments and financial futures, and the related statements of operations and of changes in net assets and financial highlights present fairly, in all material respects the financial position of Dreyfus Smallcap Stock Index Fund (formerly Dreyfus Small Cap Stock Index Fund) (the "Fund") (one of the Series constituting Dreyfus Index Funds, Inc.), as of October 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as " financial statements" ) are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities owned at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 12, 2003 IMPORTANT TAX INFORMATION (Unaudited) For federal tax purposes, the fund hereby designates $.0285 per share as a long-term capital gain distribution of $.0725 per share paid on December 11, 2002. The fund also designates 100% of the ordinary dividends paid during the fiscal year ended October 31, 2003 as qualifying for the corporate dividends received deduction. Shareholders will receive notification in January 2004 of the percentage applicable to the preparation of their 2003 income tax returns. The Fund BOARD MEMBERS INFORMATION (Unaudited) Joseph S. DiMartino (60) Chairman of the Board (1995) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director and Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * The Muscular Dystrophy Association, Director * Levcor International, Inc., an apparel fabric processor, Director * Century Business Services, Inc., a provider of outsourcing functions for small and medium size companies, Director * The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 191 -------------- David P. Feldman (63) Board Member (1989) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Corporate Director & Trustee OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * BBH Mutual Funds Group (11 funds), Director * The Jeffrey Company, a private investment company, Director * QMED, a medical device company, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 53 -------------- Ehud Houminer (63) Board Member (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Executive-in-Residence at the Columbia Business School, Columbia University * Principal of Lear, Yavitz and Associates, a management consulting firm, from 1996 through 2001 OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Avnet Inc., an electronics distributor, Director * International Advisory Board to the MBA Program School of Management, Ben Gurion University, Chairman * Explore Charter School, Brooklyn, NY, Chairman NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 25 Gloria Messinger (73) Board Member (1996) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc. * Consultant in Intellectual Property OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Yale Law School Fund, Director * Theater for a New Audience, Inc., Director * Brooklyn Philharmonic, Director * New York Women's Agenda Music Performance Trust Fund, Director NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- T. John Szarkowski (77) Board Member (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Consultant in Photography OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Photography Department at The Museum of Modern Art, Director Emeritus NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 18 -------------- Anne Wexler (73) Board Member (1991) PRINCIPAL OCCUPATION DURING PAST 5 YEARS: * Chairman of the Wexler Group, consultants specializing in government relations and public affairs OTHER BOARD MEMBERSHIPS AND AFFILIATIONS: * Wilshire Mutual Funds (5 funds), Director * Methanex Corporation, a methanol producing company, Director * Member of the Council of Foreign Relations * Member of the National Park Foundation NO. OF PORTFOLIOS FOR WHICH BOARD MEMBER SERVES: 29 -------------- ONCE ELECTED ALL BOARD MEMBERS SERVE FOR AN INDEFINITE TERM. ADDITIONAL INFORMATION ABOUT THE BOARD MEMBERS, INCLUDING THEIR ADDRESS IS AVAILABLE IN THE FUND'S STATEMENT OF ADDITIONAL INFORMATION WHICH CAN BE OBTAINED FROM DREYFUS FREE OF CHARGE BY CALLING THIS TOLL FREE NUMBER: 1-800-554-4611. JOHN M. FRASER, JR., EMERITUS BOARD MEMBER The Fund OFFICERS OF THE FUND (Unaudited) STEPHEN E. CANTER, PRESIDENT SINCE MARCH 2000. Chairman of the Board, Chief Executive Officer and Chief Operating Officer of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Canter also is a Board member and, where applicable, an Executive Committee Member of the other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 58 years old and has been an employee of the Manager since May 1995. STEPHEN R. BYERS, EXECUTIVE VICE PRESIDENT SINCE NOVEMBER 2002. Chief Investment Officer, Vice Chairman and a Director of the Manager, and an officer of 95 investment companies (comprised of 189 portfolios) managed by the Manager. Mr. Byers also is an officer, director or an Executive Committee Member of certain other investment management subsidiaries of Mellon Financial Corporation, each of which is an affiliate of the Manager. He is 50 years old and has been an employee of the Manager since January 2000. Prior to joining the Manager, he served as an Executive Vice President-Capital Markets, Chief Financial Officer and Treasurer at Gruntal & Co., L.L.C. MARK N. JACOBS, VICE PRESIDENT SINCE MARCH 2000. Executive Vice President, Secretary and General Counsel of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 57 years old and has been an employee of the Manager since June 1977. MICHAEL A. ROSENBERG, SECRETARY SINCE MARCH 2000. Associate General Counsel of the Manager, and an officer of 93 investment companies (comprised of 198 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since October 1991. STEVEN F. NEWMAN, ASSISTANT SECRETARY SINCE MARCH 2000. Associate General Counsel and Assistant Secretary of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 54 years old and has been an employee of the Manager since July 1980. JAMES WINDELS, TREASURER SINCE NOVEMBER 2001. Director - Mutual Fund Accounting of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since April 1985. RICHARD CASSARO, ASSISTANT TREASURER SINCE AUGUST 2003. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since September 1982. ROBERT SVAGNA, ASSISTANT TREASURER SINCE OCTOBER 2002. Senior Accounting Manager - Equity Funds of the Manager, and an officer of 25 investment companies (comprised of 105 portfolios) managed by the Manager. He is 36 years old and has been an employee of the Manager since November 1990. KENNETH J. SANDGREN, ASSISTANT TREASURER SINCE NOVEMBER 2001. Mutual Funds Tax Director of the Manager, and an officer of 96 investment companies (comprised of 205 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since June 1993. WILLIAM GERMENIS, ANTI-MONEY LAUNDERING COMPLIANCE OFFICER SINCE OCTOBER 2002. Vice President and Anti-Money Laundering Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 91 investment companies (comprised of 200 portfolios) managed by the Manager. He is 33 years old and has been an employee of the Distributor since October 1998. Prior to joining the Distributor, he was a Vice President of Compliance Data Center, Inc The Fund For More Information Dreyfus Smallcap Stock Index Fund 200 Park Avenue New York, NY 10166 Manager The Dreyfus Corporation 200 Park Avenue New York, NY 10166 Custodian Boston Safe Deposit and Trust Company One Boston Place Boston, MA 02109 Transfer Agent & Dividend Disbursing Agent Dreyfus Transfer, Inc. 200 Park Avenue New York, NY 10166 Distributor Dreyfus Service Corporation 200 Park Avenue New York, NY 10166 To obtain information: BY TELEPHONE Call 1-800-645-6561 BY MAIL Write to: The Dreyfus Family of Funds 144 Glenn Curtiss Boulevard Uniondale, NY 11556-0144 BY E-MAIL Send your request to info@dreyfus.com ON THE INTERNET Information can be viewed online or downloaded from: http://www.dreyfus.com A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling the telephone number listed above, or by visiting the SEC's website at http://www.sec.gov (c) 2003 Dreyfus Service Corporation 077AR1003 Comparison of change in value of $10,000 investment in Dreyfus Smallcap Stock Index Fund and the Standard & Poor's SmallCap 600 Index EXHIBIT A: Dreyfus Standard Smallcap & Poor's Stock SmallCap PERIOD Index 600 Fund Index * 6/30/97 10,000 10,000 10/31/97 11,120 11,116 10/31/98 9,855 9,887 10/31/99 11,024 11,077 10/31/00 13,740 13,876 10/31/01 12,786 12,982 10/31/02 12,285 12,492 10/31/03 16,293 16,687 * Source: Lipper Inc. ITEM 2. CODE OF ETHICS. The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. (b) There were no changes to the Registrant's internal control over financial reporting that occurred during the Registrant's most recently ended fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a)(1) Code of ethics referred to in Item 2. (a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. DREYFUS INDEX FUNDS, INC. By: /s/Stephen E. Canter ____________________ Stephen E. Canter President Date: December 29, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/Stephen E. Canter ______________________ Stephen E. Canter Chief Executive Officer Date: December 29, 2003 By: /s/James Windels _______________________ James Windels Chief Financial Officer Date: December 29, 2003 EXHIBIT INDEX (a)(1) Code of ethics referred to in Item 2. (a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT) (b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)