N-CSR 1 dncsr.htm DRYDEN INDEX SERIES FUND -- DRYDEN STOCK INDEX FUND Dryden Index Series Fund -- Dryden Stock Index Fund

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:   811-06677
Exact name of registrant as specified in charter:   Dryden Index Series Fund
Address of principal executive offices:  

Gateway Center 3,

100 Mulberry Street,

Newark, New Jersey 07102

Name and address of agent for service:  

Deborah A. Docs

Gateway Center 3,

100 Mulberry Street,

Newark, New Jersey 07102

Registrant’s telephone number, including area code:   800-225-1852
Date of fiscal year end:   9/30/2007
Date of reporting period:   9/30/2007

Item 1 – Reports to Stockholders

 

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[LOGO]

 

SEPTEMBER 30, 2007   ANNUAL REPORT

 

Dryden Stock Index Fund

FUND TYPE

Large-capitalization stock

 

OBJECTIVE

Provide investment results that correspond to the price and yield performance of the S&P 500 Index

 

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

 

JennisonDryden, Dryden, Prudential Financial and the Rock Prudential logo are registered service marks of The Prudential Insurance Company of America, Newark, NJ, and its affiliates.

 

LOGO

 

 

November 15, 2007

 

Dear Shareholder:

 

We hope you find the annual report for the Dryden Stock Index Fund informative and useful. As a JennisonDryden mutual fund shareholder, you may be thinking about where you can find additional growth opportunities. You could invest in last year’s top-performing asset class and hope history repeats itself or you could stay in cash while waiting for the “right moment” to invest.

 

Instead, we believe it is better to take advantage of developing domestic and global investment opportunities through a diversified portfolio of stock and bond mutual funds. A diversified asset allocation offers two potential advantages. It helps you manage downside risk by not being overly exposed to any particular asset class, plus it gives you a better opportunity to have at least some of your assets in the right place at the right time. Your financial professional can help you create a diversified investment plan that may include mutual funds covering all the basic asset classes and that reflects your personal investor profile and tolerance for risk.

 

JennisonDryden Mutual Funds gives you a wide range of choices that can help you make progress toward your financial goals. Our funds offer the experience, resources, and professional discipline of four leading asset managers. They are recognized and respected in the institutional market and by discerning investors for excellence in their respective strategies. JennisonDryden equity funds are advised by Jennison Associates LLC, Quantitative Management Associates LLC (QMA), or Prudential Real Estate Investors (PREI). Prudential Investment Management, Inc. (PIM) advises the JennisonDryden fixed income and money market funds. Jennison Associates, QMA, and PIM are registered investment advisers and Prudential Financial companies. PREI is a registered investment adviser and a unit of PIM.

 

Thank you for choosing JennisonDryden Mutual Funds.

 

Sincerely,

 

LOGO

 

Judy A. Rice, President

Dryden Index Series Fund/Dryden Stock Index Fund

Dryden Index Series Fund/Dryden Stock Index Fund   1

Your Fund’s Performance

 

 

Fund objective

The investment objective of the Dryden Stock Index Fund is to provide investment results that correspond to the price and yield performance of the Standard & Poor’s 500 Composite Stock Price Index (S&P 500 Index). There can be no assurance that the Fund will achieve its investment objective.

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at www.jennisondryden.com or by calling (800) 225-1852. The maximum initial sales charge is 3.25% (Class A shares). Gross operating expenses: Class A, 0.72%; Class B, 1.52%; Class C, 1.47%; Class I, 0.34%; Class Z, 0.42%. Net operating expenses apply to: Class A, 0.59%; Class B, 1.34%; Class C, 1.36%; Class I, 0.26%; Class Z, 0.34%, after contractual reduction through 1/31/2008 for Class A and after contractual reduction through 1/31/2009 for all classes.

 

Cumulative Total Returns as of 9/30/07          
    One Year     Five Years     Ten Years   Since Inception1

Class A

   15.81 %   99.22 %   N/A     17.26% (11/18/99)    

Class B

   14.96     91.90     N/A     10.50    (11/18/99)    

Class C

   14.92     91.89     N/A     10.56    (11/18/99)    

Class I

   16.23     102.68     85.61%   —

Class Z

   16.11     101.81     83.93   —

S&P 500 Index2

   16.42     105.00     88.92   **

Lipper EQ S&P 500 Index Objective Funds Avg.3

   15.78     99.62     81.01   ***
       
Average Annual Total Returns4 as of 9/30/07          
    One Year     Five Years     Ten Years   Since Inception1

Class A

   12.04 %   14.02 %   N/A   1.62% (11/18/99)    

Class B

   9.96     13.80     N/A   1.28    (11/18/99)    

Class C

   13.92     13.92     N/A   1.28    (11/18/99)    

Class I

   16.23     15.18     6.38   —

Class Z

   16.11     15.08     6.28   —

S&P 500 Index2

   16.42     15.44     6.57   **

Lipper EQ S&P 500 Index Objective Funds Avg.3

   15.78     14.82     6.11   ***
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The cumulative total returns do not reflect the deduction of applicable sales charges. If reflected, the applicable sales charges would reduce the cumulative total returns performance quoted. Class A shares are subject to a maximum front-end sales charge of 3.25%. Under certain circumstances, Class A shares may be subject to a contingent deferred sales charge (CDSC) of 1%. Class B and Class C shares are subject to a maximum CDSC of 5% and 1%, respectively. Class I and Class Z shares are not subject to a sales charge.

 

Source: Prudential Investments LLC and Lipper Inc. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

1Inception date returns are provided for any share class with less than 10 calendar years of returns.

2The S&P 500 Index is an unmanaged index of 500 stocks of large U.S. public companies. It gives a broad look at how U.S. stock prices have performed.

3The Lipper EQ S&P 500 Index Objective Funds Average (Lipper Average) represents returns based on the average return of all funds in the Lipper EQ S&P 500 Index Objective Funds category for the periods noted. Funds in the Lipper Average are passively managed, limited expense (management fee no higher than 0.50%) funds designed to replicate the performance of the S&P 500 Index on a reinvested basis.

4The average annual total returns take into account applicable sales charges. Class A, Class B, and Class C shares are subject to an annual distribution and service (12b-1) fee of up to 0.30%, 1.00%, and 1.00%, respectively. Approximately seven years after purchase, Class B shares will automatically convert to Class A shares on a quarterly basis. Class I and Class Z shares are not subject to a 12b-1 fee. The returns in the tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the redemption of Fund shares.

**S&P 500 Index Closest Month-End to Inception cumulative total return is 24.93% for Class A, B, and C. S&P 500 Index Closest Month-End to Inception average annual total return is 2.88% for Class A, B, and C.

***Lipper Average Closest Month-End to Inception cumulative total return is 20.15% for Class A, B, and C. Lipper Average Closest Month-End to Inception average annual total return is 2.37% for Class A, B, and C.

 

Investors cannot invest directly in an index. The returns for the S&P 500 Index would be lower if they included the effects of sales charges, operating expenses of a mutual fund, or taxes. Returns for the Lipper Average reflect the deduction of operating expenses, but not sales charges or taxes.

Dryden Index Series Fund/Dryden Stock Index Fund   3

Your Fund’s Performance (continued)

 

S&P 500 Index as of 9/30/07

 

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Source: Factset.

 

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500”, and “500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Prudential Investments LLC, its affiliates, and subsidiaries. The Dryden Stock Index Fund is not sponsored, endorsed, sold, or promoted by S&P and S&P makes no representation regarding the advisability of investing in the Fund. The performance cited does not represent the performance of the Dryden Stock Index Fund. Past performance does not guarantee future results. Investors cannot invest directly in an index.

 

* Industry weightings are subject to change.
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Strategy and Performance Overview

 

How did the Fund perform?

The Dryden Stock Index Class A shares posted a 15.81% total return for the 12-month reporting period ended September 30, 2007. This return, although strong, trailed the 16.42% of the benchmark S&P 500 Index but outperformed the 15.78% of the Lipper EQ S&P 500 Index Objective Funds Average.

 

What were conditions like in the U.S. stock market during the reporting period?

Despite increasing volatility and periodic pullbacks, domestic stocks generated attractive returns for the 12-month period as measured by the S&P 500 Index. The negative effect of a slump in the housing market was offset by continued strength in employment, corporate earnings, and consumer spending. Cheap and plentiful credit allowed private equity companies to buy increasingly larger publicly traded companies and contributed to the record share buyback activity by many companies in the S&P 500 Index. In the first three months of the period, small capitalization stocks continued to outperform mid- and large-cap stocks and the value style outperformed the growth style as it generally had for the past six years.

 

After a sharp decline in the Shanghai Composite Index in China during late February 2007 prompted a sell-off in global stock markets, investors began to re-evaluate their appetite for riskier assets, a process that continued for the remainder of the period. Meanwhile, the U.S. economy proved surprisingly resilient, as growth accelerated from April through June. Corporate profits reported during this time were stronger than expected, and global growth and mergers-and-acquisitions (M&A) activity continued unabated. In this environment, stocks generated solid returns from March through May.

 

In the summer, however, conditions in the stock market deteriorated dramatically. A crisis in debt securities backed by subprime mortgages (home loans made to borrowers with poor credit histories) morphed into a full blown credit crunch that derailed M&A activity, a major source of support for the stock market. Citing risks to the U.S. economy from increasing financial market turbulence, the Federal Reserve lowered its target for the federal funds rate on overnight loans between banks by a half-percentage-point in mid-September. The larger-than-expected cut spurred a rally that helped the S&P 500 Index recover much of its summer losses.

 

As the credit crunch played out, investors sought larger companies with more resilient growth prospects. The U.S. dollar, which had already declined in value, fell sharply relative to most currencies following the short-term rate cut. The weaker U.S. dollar increased the attractiveness of companies with overseas earnings because of the greater dollar value of earnings in stronger currencies. The style rotation toward

Dryden Index Series Fund/Dryden Stock Index Fund   5

Strategy and Performance Overview (continued)

 

growth stocks, which had begun in the second calendar quarter of 2007, gathered steam. By the end of the reporting period, growth stocks outperformed value stocks across all capitalization sizes.

 

How did the S&P 500 Index sectors perform during the reporting period?

The energy, materials, telecommunications services, industrials, information technology, and utilities sectors outperformed the S&P 500 Index. Industries within the energy and materials sectors benefited from rising commodity prices and strong global demand, particularly from nations such as China and India whose economies are expanding at near double-digit rates. Commodities, including oil, are denominated in the U.S. dollar and prices increased to compensate for the currency’s weakness. Industries within the telecommunications services sector continued to benefit from strong earnings generated by rapid growth in broadband and wireless services and from M&A and consolidation activity. Utility stocks benefited from supply and demand forces. The growing demand for electricity, coupled with underinvestment in infrastructure, has pushed regulators to allow power companies greater latitude in passing along higher costs to consumers. Technology hardware and equipment companies, including International Business Machines Corp., Apple Inc., and Cisco Systems Inc., benefited from global appetite for personal computers, cost reductions, and product innovations. Within industrials, gains in capital goods conglomerates like 3M Company helped to offset weakness in commercial services and supplies.

 

The financials, consumer discretionary, healthcare, and consumer staples sectors lagged behind the S&P 500 Index. A key driver of the performance of the benchmark index in recent years, the financials sector was hard hit by the subprime mortgage crisis, particularly banks and diversified financial companies. Although insurance companies struggled with a tough pricing environment and real estate investment trusts (REITS) were pressured by concern that subprime mortgage woes might spill over into commercial real estate, both industries helped the financial sector generate a very modest positive return for the 12-month period. Consumer-oriented stocks lagged behind the benchmark index, and the consumer staples sector, made up of industries that tend to do well even when the economy slows, performed better than the more cyclical consumer discretionary sector. Retailers and apparel industries, included in the consumer discretionary sector, were hit hard by threats of a slowdown in consumer spending. However, automobiles and components were a bright spot in that sector as Goodyear Tire & Rubber Co. and Johnson Controls, a supplier of climate-control systems for automobiles, benefited from business with emerging markets, which offset the sluggish U.S. automobile industry. Within the healthcare sector, pharmaceuticals lagged the S&P 500 Index on earnings growth, which was driven more by cost cutting

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than strength in new drug introductions. Healthcare equipment and services also trailed the benchmark index, even though companies like Humana benefited from developments in the Medicare prescription drug programs.

Dryden Index Series Fund/Dryden Stock Index Fund   7

 

Fees and Expenses (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemptions, as applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses, as applicable. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested on April 1, 2007, at the beginning of the period, and held through the six-month period ended September 30, 2007. The example is for illustrative purposes only; you should consult the Prospectus for information on initial and subsequent minimum investment requirements.

 

The Fund’s transfer agent may charge additional fees to holders of certain accounts that are not included in the expenses shown in the table on the following page. These fees apply to Individual Retirement Accounts (IRAs) and Section 403(b) accounts. As of the close of the six-month period covered by the table, IRA fees included an annual maintenance fee of $15 per account (subject to a maximum annual maintenance fee of $25 for all accounts held by the same shareholder). Section 403(b) accounts are charged an annual $25 fiduciary maintenance fee. Some of the fees may vary in amount, or may be waived, based on your total account balance or the number of JennisonDryden Funds, including the Fund, that you own. You should consider the additional fees that were charged to your Fund account over the six-month period when you estimate the total ongoing expenses paid over the period and the impact of these fees on your ending account value, as these additional expenses are not reflected in the information provided in the expense table. Additional fees have the effect of reducing investment returns.

 

Actual Expenses

The first line for each share class in the table on the following page provides information about actual account values and actual expenses. You may use the information on this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value ÷ $1,000 = 8.6), then multiply the result by the number on the first line under the heading “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

The second line for each share class in the table on the following page provides information about hypothetical account values and hypothetical expenses based on

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the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and

expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only, and do not reflect any transactional costs such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Dryden Stock
Index Fund		   Beginning Account
Value
April 1, 2007		  

Ending Account
Value

September 30, 2007

   Annualized
Expense Ratio
Based on the
Six-Month Period		     Expenses Paid
During the
Six-Month Period*
         
Class A   Actual   $ 1,000.00   $ 1,082.00   0.54 %   $ 2.82
    Hypothetical   $ 1,000.00   $ 1,022.36   0.54 %   $ 2.74
         
Class B   Actual   $ 1,000.00   $ 1,078.00   1.28 %   $ 6.67
    Hypothetical   $ 1,000.00   $ 1,018.65   1.28 %   $ 6.48
         
Class C   Actual   $ 1,000.00   $ 1,078.00   1.31 %   $ 6.82
    Hypothetical   $ 1,000.00   $ 1,018.50   1.31 %   $ 6.63
         
Class I   Actual   $ 1,000.00   $ 1,084.00   0.21 %   $ 1.10
    Hypothetical   $ 1,000.00   $ 1,024.02   0.21 %   $ 1.07
         
Class Z   Actual   $ 1,000.00   $ 1,083.40   0.28 %   $ 1.46
    Hypothetical   $ 1,000.00   $ 1,023.66   0.28 %   $ 1.42
         

* Fund expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 183 days in the six-month period ended September 30, 2007, and divided by the 365 days in the Fund’s fiscal year ended September 30, 2007 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Fund may invest.

Dryden Index Series Fund/Dryden Stock Index Fund   9

Portfolio of Investments

 

as of September 30, 2007

 

 

Shares      Description    Value (Note 1)
       

LONG-TERM INVESTMENTS    97.9%

COMMON STOCKS

Aerospace/Defense    2.9%

93,784     

Boeing Co.

    $ 9,846,382
48,312     

General Dynamics Corp.

      4,080,915
13,799     

Goodrich Corp.

      941,506
95,215     

Honeywell International, Inc.

      5,662,436
15,100     

L-3 Communications Holdings, Inc.

      1,542,314
44,956     

Lockheed Martin Corp.

      4,877,276
44,948     

Northrop Grumman Corp.

      3,505,944
16,000     

Precision Castparts Corp.(b)

      2,367,680
54,744     

Raytheon Co.

      3,493,762
19,663     

Rockwell Collins, Inc.

      1,436,186
116,640     

United Technologies Corp.

      9,387,187
           
          47,141,588

Air Freight & Logistics    0.9%

17,700     

C.H. Robinson Worldwide, Inc.

      960,933
36,416     

FedEx Corp.

      3,814,576
123,600     

United Parcel Service, Inc., Class B(b)

      9,282,360
           
          14,057,869

Airlines    0.1%

88,374     

Southwest Airlines Co.

      1,307,935

Auto Components    0.2%

24,971     

Goodyear Tire & Rubber Co.(a)(b)

      759,368
23,152     

Johnson Controls, Inc.

      2,734,483
           
          3,493,851

Automobiles    0.4%

210,563     

Ford Motor Co.(a)(b)

      1,787,680
67,378     

General Motors Corp.(b)

      2,472,772
33,900     

Harley-Davidson, Inc.

      1,566,519
           
          5,826,971

Beverages    2.2%

90,754     

Anheuser-Busch Cos., Inc.

      4,536,792
8,776     

Brown-Forman Corp., Class B

      657,410
234,632     

Coca-Cola Co.(The)

      13,484,301
29,800     

Coca-Cola Enterprises, Inc.

      721,756
21,500     

Constellation Brands, Inc., Class A(a)(b)

      520,515

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   11

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
5,847     

Molson Coors Brewing Co., Class B

    $ 582,770
17,000     

Pepsi Bottling Group, Inc.

      631,890
191,905     

PepsiCo, Inc.

      14,058,961
           
          35,194,395

Biotechnology    1.2%

131,704     

Amgen, Inc.(a)

      7,450,495
33,620     

Biogen Idec, Inc.(a)(b)

      2,230,015
46,400     

Celgene Corp.(a)(b)

      3,308,784
29,400     

Genzyme Corp.(a)

      1,821,624
110,000     

Gilead Sciences, Inc.(a)

      4,495,700
           
          19,306,618

Building Products    0.1%

21,700     

American Standard Cos., Inc.

      772,954
40,726     

Masco Corp.

      943,621
           
          1,716,575

Capital Markets    3.3%

13,300     

American Capital Strategies Ltd.(b)

      568,309
28,771     

Ameriprise Financial, Inc.

      1,815,738
134,138     

Bank of New York Mellon Corp.(The)

      5,920,851
14,198     

Bear Stearns Co., Inc.

      1,743,656
116,211     

Charles Schwab Corp.

      2,510,158
51,300     

E*TRADE Financial Corp.(a)(b)

      669,978
9,400     

Federated Investors, Inc., Class B(b)

      373,180
19,314     

Franklin Resources, Inc.

      2,462,535
48,900     

Goldman Sachs Group, Inc.(b)

      10,598,585
25,900     

Janus Capital Group, Inc.(b)

      732,452
16,400     

Legg Mason, Inc.

      1,382,356
62,648     

Lehman Brothers Holdings, Inc.

      3,867,261
105,734     

Merrill Lynch & Co., Inc.(b)

      7,536,720
126,536     

Morgan Stanley

      7,971,768
18,862     

Northern Trust Corp.

      1,249,985
43,862     

State Street Corp.

      2,989,634
26,700     

T. Rowe Price Group, Inc.

      1,486,923
           
          53,880,089

Chemicals    1.7%

25,232     

Air Products & Chemicals, Inc.

      2,466,680
6,445     

Ashland, Inc.

      388,053
112,736     

Dow Chemical Co.

      4,854,412
108,244     

E.I. du Pont de Nemours & Co.(b)

      5,364,573

 

 

See Notes to Financial Statements.

 

 

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Shares      Description    Value (Note 1)
       
9,893     

Eastman Chemical Co.

    $ 660,160
21,582     

Ecolab, Inc.(b)

      1,018,670
12,031     

Hercules, Inc.

      252,892
9,275     

International Flavors & Fragrances, Inc.

      490,277
63,384     

Monsanto Co.

      5,434,544
20,174     

PPG Industries, Inc.(b)

      1,524,146
36,058     

Praxair, Inc.

      3,020,218
18,070     

Rohm and Haas Co.

      1,005,957
15,432     

Sigma-Aldrich Corp.(b)

      752,156
           
          27,232,738

Commercial Banks    3.4%

65,158     

BB&T Corp.(b)

      2,631,732
19,261     

Comerica, Inc.

      987,704
14,100     

Commerce Bancorp, Inc.(b)

      546,798
63,973     

Fifth Third Bancorp

      2,167,405
13,800     

First Horizon National Corp.(b)

      367,908
33,429     

Huntington Bancshares, Inc.

      567,624
50,435     

KeyCorp

      1,630,564
9,300     

M&T Bank Corp.(b)

      962,085
30,400     

Marshall & Ilsley Corp.

      1,330,608
72,098     

National City Corp.

      1,808,939
37,436     

PNC Financial Services Group, Inc.

      2,549,392
89,774     

Regions Financial Corp.

      2,646,538
43,283     

SunTrust Banks, Inc.

      3,275,225
29,166     

Synovus Financial Corp.

      818,106
209,795     

US Bancorp

      6,824,631
225,159     

Wachovia Corp.

      11,291,724
391,880     

Wells Fargo & Co.

      13,958,765
13,200     

Zions Bancorporation

      906,444
           
          55,272,192

Commercial Services & Supplies    0.5%

35,500     

Allied Waste Industries, Inc.(a)(b)

      452,625
11,968     

Avery Dennison Corp.

      682,415
15,200     

Cintas Corp.(b)

      563,920
28,840     

Donnelley (R.R.) & Sons Co.

      1,054,390
13,530     

Equifax, Inc.

      515,764
13,000     

Monster Worldwide, Inc.(a)

      442,780
24,825     

Pitney Bowes, Inc.

      1,127,552
19,700     

Robert Half International, Inc.

      588,242
63,513     

Waste Management, Inc.

      2,396,980
           
          7,824,668

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   13

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       

Communications Equipment    2.8%

56,455     

Avaya, Inc.(a)

    $ 957,477
7,057     

Ciena Corp.(a)(b)

      268,731
717,544     

Cisco Systems, Inc.(a)

      23,757,881
178,097     

Corning, Inc.

      4,390,091
11,287     

JDS Uniphase Corp.(a)(b)

      168,854
65,100     

Juniper Networks, Inc.(a)(b)

      2,383,311
253,313     

Motorola, Inc.

      4,693,890
200,700     

QUALCOMM, Inc.

      8,481,582
42,194     

Tellabs, Inc.(a)

      401,687
           
          45,503,504

Computers & Peripherals    4.3%

101,924     

Apple, Inc.(a)

      15,649,411
265,840     

Dell, Inc.(a)

      7,337,184
254,304     

EMC Corp.(a)

      5,289,523
310,202     

Hewlett-Packard Co.

      15,444,958
160,634     

International Business Machines Corp.(b)

      18,922,684
13,052     

Lexmark International, Inc.(a)

      542,050
21,700     

NCR Corp.(a)

      1,080,660
39,600     

Network Appliance, Inc.(a)

      1,065,636
15,500     

QLogic Corp.(a)

      208,475
22,400     

SanDisk Corp.(a)(b)

      1,234,240
419,296     

Sun Microsystems, Inc.(a)(b)

      2,352,251
           
          69,127,072

Construction & Engineering    0.1%

9,537     

Fluor Corp.

      1,373,137

Construction Materials    0.1%

11,300     

Vulcan Materials Co.

      1,007,395

Consumer Finance    0.9%

138,159     

American Express Co.

      8,202,500
50,066     

Capital One Financial Corp.(b)

      3,325,884
66,118     

Discover Financial Services LLC(a)

      1,375,254
42,392     

SLM Corp.(a)

      2,105,611
           
          15,009,249

Containers & Packaging    0.2%

10,532     

Ball Corp.

      566,095
8,210     

Bemis Co.

      238,993
21,158     

Pactiv Corp.(a)

      606,388

 

 

See Notes to Financial Statements.

 

 

14   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       
18,436     

Sealed Air Corp.

    $ 471,224
13,190     

Temple-Inland, Inc.

      694,190
           
          2,576,890

Distributors    0.1%

20,699     

Genuine Parts Co.

      1,034,950

Diversified Consumer Services    0.1%

17,200     

Apollo Group, Inc., Class A(a)(b)

      1,034,580
32,420     

H&R Block, Inc.

      686,656
           
          1,721,236

Diversified Financial Services    4.9%

522,771     

Bank of America Corp.

      26,279,698
25,600     

CIT Group, Inc.

      1,029,120
587,055     

Citigroup, Inc.

      27,397,857
5,990     

CME Group, Inc.(b)

      3,518,227
6,200     

IntercontinentalExchange, Inc. (a)

      941,780
406,966     

JPMorgan Chase & Co.

      18,647,182
13,300     

Leucadia National Corp.

      641,326
28,576     

Moody’s Corp.

      1,440,230
           
          79,895,420

Diversified Telecommunication Services    3.1%

725,231     

AT&T, Inc.

      30,684,524
14,150     

CenturyTel, Inc.

      654,013
37,800     

Citizens Communications Co.

      541,296
17,388     

Embarq Corp.

      966,773
188,436     

Qwest Communications International, Inc.(a)(b)

      1,726,074
338,733     

Verizon Communications, Inc.

      14,999,097
56,177     

Windstream Corp.

      793,219
           
          50,364,996

Electric Utilities    1.8%

16,900     

Allegheny Energy, Inc.(a)

      883,194
47,291     

American Electric Power Co., Inc.

      2,179,169
148,969     

Duke Energy Corp.

      2,784,231
39,862     

Edison International

      2,210,348
22,915     

Entergy Corp.

      2,481,465
78,056     

Exelon Corp.

      5,882,301
37,006     

FirstEnergy Corp.(b)

      2,343,960
46,772     

FPL Group, Inc.

      2,847,479
14,200     

Pinnacle West Capital Corp.

      561,042

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   15

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
43,852     

PPL Corp.

    $ 2,030,348
30,558     

Progress Energy, Inc.(b)

      1,431,642
88,715     

Southern Co.(b)

      3,218,580
           
          28,853,759

Electrical Equipment    0.5%

21,440     

Cooper Industries, Ltd., Class A

      1,095,370
94,450     

Emerson Electric Co.

      5,026,629
22,663     

Rockwell Automation, Inc.(b)

      1,575,305
           
          7,697,304

Electronic Equipment & Instruments    0.3%

53,798     

Agilent Technologies, Inc.(a)

      1,984,070
14,900     

Jabil Circuit, Inc.

      340,316
18,650     

Molex, Inc.

      502,245
115,300     

Solectron Corp.(a)

      449,670
8,624     

Tektronix, Inc.(b)

      239,230
59,595     

Tyco Electronics Ltd.

      2,111,450
           
          5,626,981

Energy Equipment & Services    2.3%

34,379     

Baker Hughes, Inc.

      3,106,830
25,200     

BJ Services Co.

      669,060
19,300     

ENSCO International, Inc.

      1,082,730
113,022     

Halliburton Co.

      4,340,045
30,500     

Nabors Industries Ltd.(a)

      938,485
21,600     

National-Oilwell Varco, Inc.(a)(b)

      3,121,200
32,400     

Noble Corp.

      1,589,220
5,210     

Rowan Cos., Inc.

      190,582
137,342     

Schlumberger Ltd.

      14,420,910
19,300     

Smith International Inc.

      1,378,020
34,063     

Transocean, Inc.(a)

      3,850,822
34,800     

Weatherford International Ltd. (Bermuda)(a)

      2,337,864
           
          37,025,768

Food & Staples Retailing    2.3%

52,908     

Costco Wholesale Corp.

      3,246,964
173,899     

CVS/Caremark Corp.

      6,891,617
81,634     

Kroger Co.

      2,328,202
55,200     

Safeway, Inc.

      1,827,672
25,178     

SUPERVALU, Inc.

      982,194
74,880     

Sysco Corp.

      2,664,979
117,278     

Walgreen Co.

      5,540,213

 

 

See Notes to Financial Statements.

 

 

16   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       
286,026     

Wal-Mart Stores, Inc.

    $ 12,485,035
16,700     

Whole Foods Market, Inc.

      817,632
           
          36,784,508

Food Products    1.4%

80,559     

Archer-Daniels-Midland Co.

      2,664,891
25,747     

Campbell Soup Co.

      952,639
59,943     

ConAgra Food, Inc.

      1,566,311
17,000     

Dean Foods Co.

      434,860
40,872     

General Mills, Inc.

      2,370,985
39,714     

Heinz (H.J.) & Co.

      1,834,787
21,916     

Hershey Foods Corp.

      1,017,122
27,970     

Kellogg Co.

      1,566,320
186,366     

Kraft Foods, Inc.

      6,431,490
12,600     

McCormick & Co., Inc.

      453,222
92,186     

Sara Lee Corp.

      1,538,584
29,300     

Tyson Foods, Inc., Class A

      523,005
23,004     

Wm. Wrigley Jr. Co.

      1,477,547
           
          22,831,763

Gas Utilities    0.1%

3,300     

Nicor, Inc.

      141,570
21,800     

Questar Corp.

      1,145,154
           
          1,286,724

Healthcare Equipment & Supplies    1.7%

3,738     

Bausch & Lomb, Inc.

      239,232
78,374     

Baxter International, Inc.

      4,410,889
28,712     

Becton Dickinson & Co.

      2,355,820
132,072     

Boston Scientific Corp.(a)(b)

      1,842,404
12,812     

C.R. Bard, Inc.

      1,129,890
59,595     

Covidien Ltd. (Bermuda)(a)

      2,473,193
18,307     

Hospira, Inc.(a)

      758,825
139,758     

Medtronic, Inc.

      7,883,749
38,464     

St. Jude Medical, Inc.(a)(b)

      1,695,108
32,000     

Stryker Corp.

      2,200,320
10,000     

Varian Mediacl Systems, Inc.(a)

      418,900
24,911     

Zimmer Holdings, Inc.(a)

      2,017,542
           
          27,425,872

Healthcare Providers & Services    2.2%

62,372     

Aetna, Inc.

      3,384,928
23,500     

AmerisourceBergen Corp.

      1,065,255

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   17

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
46,373     

Cardinal Health, Inc.

    $ 2,899,704
37,191     

CIGNA Corp.

      1,981,908
20,050     

Coventry Health Care, Inc.(a)

      1,247,311
33,600     

Express Scripts, Inc.(a)(b)

      1,875,552
20,610     

Humana, Inc.(a)(b)

      1,440,227
15,000     

Laboratory Corp. of America Holdings(a)

      1,173,450
7,960     

Manor Care, Inc.

      512,624
31,676     

McKesson Corp.

      1,862,232
32,934     

Medco Health Solutions, Inc.(a)

      2,976,904
9,800     

Patterson Cos., Inc.(a)

      378,378
20,300     

Quest Diagnostics, Inc.

      1,172,731
23,472     

Tenet Healthcare Corp.(a)

      78,866
164,648     

UnitedHealth Group, Inc.

      7,973,903
74,000     

WellPoint, Inc.(a)

      5,840,080
           
          35,864,053

Healthcare Technology

22,910     

IMS Health, Inc.

      701,962

Hotels, Restaurants & Leisure    1.5%

52,800     

Carnival Corp.(b)

      2,557,104
22,253     

Darden Restaurants, Inc.

      931,511
21,024     

Harrah’s Entertainment, Inc.

      1,827,616
39,221     

Hilton Hotels Corp.

      1,823,384
31,000     

International Game Technology

      1,336,100
39,704     

Marriott International, Inc., Class A

      1,725,933
142,630     

McDonald’s Corp.

      7,769,056
85,900     

Starbucks Corp.(a)

      2,250,580
23,300     

Starwood Hotels & Resorts Worldwide, Inc.

      1,415,475
10,879     

Wendy’s International, Inc.

      379,786
21,251     

Wyndham Worldwide Corp.

      696,183
65,664     

Yum! Brands, Inc.

      2,221,413
           
          24,934,141

Household Durables    0.4%

8,732     

Black & Decker Corp.

      727,376
13,894     

Centex Corp.(b)

      369,164
26,000     

D.R. Horton, Inc.

      333,060
17,208     

Fortune Brands, Inc.

      1,402,279
6,700     

Harman International Industries, Inc.

      579,684
7,082     

KB Home

      177,475
17,600     

Leggett & Platt, Inc.

      337,216
13,400     

Lennar Corp., Class A

      303,510

 

 

See Notes to Financial Statements.

 

 

18   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       
29,827     

Newell Rubbermaid, Inc.

    $ 859,614
17,472     

Pulte Homes, Inc.

      237,794
5,842     

Snap-On, Inc.

      289,413
8,638     

Stanley Works(The)

      484,851
10,285     

Whirlpool Corp.(b)

      916,393
           
          7,017,829

Household Products    2.1%

15,932     

Clorox Co.(b)

      971,693
59,830     

Colgate-Palmolive Co.

      4,267,076
54,816     

Kimberly-Clark Corp.

      3,851,372
364,323     

Procter & Gamble Co.

      25,626,479
           
          34,716,620

Independent Power Producers & Energy Traders    0.5%

90,200     

AES Corp.(a)

      1,807,608
20,829     

Constellation Energy Group, Inc.

      1,786,920
33,100     

Dynegy, Inc. (a)

      305,844
53,828     

TXU Corp.

      3,685,603
           
          7,585,975

Industrial Conglomerates    3.9%

84,998     

3M Co.

      7,954,113
1,206,372     

General Electric Co.

      49,943,801
30,334     

Textron, Inc.

      1,887,078
59,595     

Tyco International Ltd.

      2,642,442
           
          62,427,434

Insurance    4.5%

40,000     

ACE Ltd.

      2,422,800
52,600     

AFLAC, Inc.

      3,000,304
71,708     

Allstate Corp.(b)

      4,100,981
12,600     

Ambac Financial Group, Inc.(b)

      792,666
306,838     

American International Group, Inc.

      20,757,591
29,789     

Aon Corp.

      1,334,845
11,700     

Assurant, Inc.

      625,950
49,668     

Chubb Corp.

      2,664,192
19,907     

Cincinnati Financial Corp.

      862,172
55,800     

Genworth Financial, Inc., Class A

      1,714,734
39,453     

Hartford Financial Services Group, Inc.

      3,651,375
34,051     

Lincoln National Corp.

      2,246,344
52,604     

Loews Corp.

      2,543,403
56,740     

Marsh & McLennan Cos., Inc.(b)

      1,446,870

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   19

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
16,058     

MBIA, Inc.(b)

    $ 980,341
87,300     

MetLife, Inc.(b)

      6,087,429
29,900     

Principal Financial Group, Inc.

      1,886,391
76,516     

Progressive Corp.

      1,485,176
55,900     

Prudential Financial, Inc.(b)(d)

      5,454,722
13,329     

SAFECO Corp.

      816,001
12,415     

Torchmark Corp.

      773,703
81,511     

Travelers Cos., Inc.

      4,103,264
42,026     

UnumProvident Corp.

      1,028,376
21,600     

XL Capital Ltd.

      1,710,720
           
          72,490,350

Internet & Catalog Retail    0.2%

31,700     

Amazon.Com, Inc.(a)(b)

      2,952,855
20,700     

IAC/InterActiveCorp.(a)(b)

      614,169
           
          3,567,024

Internet Software & Services    1.6%

12,800     

Akamai Technologies, Inc.(a)(b)

      367,744
135,500     

eBay, Inc.(a)

      5,287,210
26,400     

Google, Inc., Class A(a)

      14,975,928
24,200     

VeriSign, Inc.(a)

      816,508
149,600     

Yahoo!, Inc.(a)(b)

      4,015,264
           
          25,462,654

IT Services    0.8%

13,300     

Affiliated Computer Services, Inc., Class A(a)

      668,192
66,978     

Automatic Data Processing, Inc.

      3,076,300
15,200     

Cognizant Technology Solutions Corp. (a)

      1,212,504
20,551     

Computer Sciences Corp.(a)

      1,148,801
20,600     

Convergys Corp.(a)

      357,616
62,200     

Electronic Data Systems Corp.

      1,358,448
13,900     

Fidelity Information Services, Inc.

      616,743
24,500     

Fiserv, Inc.(a)

      1,246,070
37,925     

Paychex, Inc.(b)

      1,554,925
27,590     

Unisys Corp.(a)

      182,646
92,852     

Western Union Co. (The)

      1,947,106
           
          13,369,351

Leisure Equipment & Products    0.2%

11,899     

Brunswick Corp.

      272,011
26,365     

Eastman Kodak Co.(b)

      705,527

 

 

See Notes to Financial Statements.

 

 

20   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       
21,354     

Hasbro, Inc.(b)

    $ 595,350
43,713     

Mattel, Inc.(b)

      1,025,507
           
          2,598,395

Life Sciences, Tools & Services    0.3%

25,064     

Applera Corp.-Applied Biosystems Group

      868,217
3,561     

Millipore Corp.(a)(b)

      269,924
18,670     

PerkinElmer, Inc.

      545,351
48,702     

Thermo Fisher Scientific, Inc.(a)(b)

      2,811,079
15,600     

Waters Corp.(a)

      1,043,952
           
          5,538,523

Machinery    1.7%

76,156     

Caterpillar, Inc.

      5,972,915
11,858     

Cummins, Inc.

      1,516,520
24,100     

Danaher Corp.

      1,993,311
25,840     

Deere & Co.

      3,835,173
24,462     

Dover Corp.

      1,246,339
17,054     

Eaton Corp.

      1,689,028
47,036     

Illinois Tool Works, Inc.

      2,805,227
36,690     

Ingersoll-Rand Co.

      1,998,504
20,672     

ITT Corp.

      1,404,249
28,976     

PACCAR, Inc.

      2,470,204
10,704     

Pall Corp.

      416,386
13,892     

Parker Hannifin Corp.

      1,553,542
12,100     

Terex Corp.(a)

      1,077,142
           
          27,978,540

Media    3.0%

88,676     

CBS Corp., Class B

      2,793,294
51,738     

Clear Channel Communications, Inc.

      1,937,071
368,085     

Comcast Corp., Class A(a)(b)

      8,900,295
86,100     

DIRECTV Group, Inc. (The)(a)

      2,090,508
8,304     

Dow Jones & Co., Inc.

      495,749
9,300     

E.W. Scripps Co.

      390,600
29,989     

Gannett Co., Inc.

      1,310,519
31,812     

Interpublic Group of Cos., Inc.(a)(b)

      330,209
42,600     

McGraw-Hill Cos., Inc.(b)

      2,168,766
6,096     

Meredith Corp.

      349,301
16,490     

New York Times Co., Class A(b)

      325,842
264,500     

News Corp., Class A

      5,816,355
39,734     

Omnicom Group, Inc.

      1,910,808
449,124     

Time Warner, Inc.

      8,245,917

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   21

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
8,167     

Tribune Co.

    $ 223,122
81,976     

Viacom, Inc., Class B(a)

      3,194,605
235,313     

Walt Disney Co. (The)(b)

      8,092,414
           
          48,575,375

Metals & Mining    1.0%

102,844     

Alcoa, Inc.

      4,023,257
12,418     

Allegheny Technologies, Inc.(b)

      1,365,359
44,746     

Freeport-McMoran Copper & Gold, Inc., Class B(b)

      4,693,408
47,697     

Newmont Mining Corp.(b)

      2,133,487
36,512     

Nucor Corp.

      2,171,369
14,309     

United States Steel Corp.

      1,515,895
           
          15,902,775

Multiline Retail    1.0%

13,924     

Big Lots, Inc.(a)(b)

      415,492
5,223     

Dillard’s, Inc.

      114,018
18,600     

Family Dollar Stores, Inc.

      494,016
30,384     

J.C. Penney Co., Inc.

      1,925,434
37,900     

Kohl’s Corp.(a)

      2,172,807
59,182     

Macy’s, Inc.

      1,912,762
24,000     

Nordstrom, Inc.

      1,125,360
10,207     

Sears Holdings Corp.(a)(b)

      1,298,330
94,882     

Target Corp.(b)

      6,031,650
           
          15,489,869

Multi-Utilities    1.0%

25,769     

Ameren Corp.(b)

      1,352,873
32,679     

CenterPoint Energy, Inc.(b)

      523,844
23,000     

CMS Energy Corp.(b)

      386,860
31,651     

Consolidated Edison, Inc.

      1,465,441
34,152     

Dominion Resources, Inc.

      2,879,013
18,687     

DTE Energy Co.

      905,198
5,308     

Integrys Energy Group, Inc.

      271,929
37,800     

NiSource, Inc.(b)

      723,492
42,152     

PG&E Corp.

      2,014,866
28,697     

Public Service Enterprise Group, Inc.

      2,525,049
32,398     

Sempra Energy

      1,882,972
21,200     

TECO Energy, Inc.

      348,316
50,183     

Xcel Energy, Inc.

      1,080,942
           
          16,360,795

 

 

See Notes to Financial Statements.

 

 

22   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       

Office Electronics    0.1%

120,898     

Xerox Corp.(a)

    $ 2,096,371

Oil, Gas & Consumable Fuels    9.0%

55,136     

Anadarko Petroleum Corp.

      2,963,560
38,748     

Apache Corp.(b)

      3,489,645
49,100     

Chesapeake Energy Corp.

      1,731,266
254,992     

Chevron Corp.

      23,862,151
194,857     

ConocoPhillips

      17,102,599
17,000     

Consol Energy, Inc.

      792,200
53,600     

Devon Energy Corp.

      4,459,520
83,904     

El Paso Corp.

      1,423,851
28,300     

EOG Resources, Inc.

      2,046,939
654,314     

Exxon Mobil Corp.

      60,563,303
30,434     

Hess Corp.

      2,024,774
85,178     

Marathon Oil Corp.

      4,856,850
22,200     

Murphy Oil Corp.(b)

      1,551,558
98,976     

Occidental Petroleum Corp.

      6,342,382
24,200     

Peabody Energy Corp.(b)

      1,158,454
74,484     

Spectra Energy Corp.

      1,823,368
16,728     

Sunoco, Inc.

      1,184,008
8,100     

Tesoro Corp.

      372,762
66,800     

Valero Energy Corp.(b)

      4,487,624
73,892     

Williams Cos., Inc.(b)

      2,516,762
39,233     

XTO Energy, Inc.

      2,426,169
           
          147,179,745

Paper & Forest Products    0.3%

52,184     

International Paper Co.(b)

      1,871,840
20,135     

MeadWestvaco Corp.

      594,587
25,900     

Weyerhaeuser Co.

      1,872,570
           
          4,338,997

Personal Products    0.2%

51,844     

Avon Products, Inc.

      1,945,705
12,900     

Estee Lauder Cos., Inc.(The)(b)

      547,734
           
          2,493,439

Pharmaceuticals    6.0%

179,774     

Abbott Laboratories

      9,639,482
30,564     

Allergan, Inc.(b)

      1,970,461
12,900     

Barr Pharmaceuticals, Inc.(a)(b)

      734,139

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   23

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
229,514     

Bristol-Myers Squibb Co.

    $ 6,614,593
37,900     

Forest Laboratories, Inc.(a)(b)

      1,413,291
342,669     

Johnson & Johnson

      22,513,354
36,533     

King Pharmaceuticals, Inc.(a)(b)

      428,167
115,197     

Lilly (Eli) & Co.(b)

      6,558,165
257,044     

Merck & Co., Inc.

      13,286,604
23,900     

Mylan Laboratories, Inc.(b)

      381,444
831,323     

Pfizer, Inc.

      20,309,221
175,724     

Schering-Plough Corp.(b)

      5,558,150
12,500     

Watson Pharmaceuticals, Inc.(a)

      405,000
158,991     

Wyeth

      7,083,049
           
          96,895,120

Real Estate Investment Trust    1.1%

11,300     

Apartment Investment & Management Co., Class A(b)

      509,969
21,000     

Archstone-Smith Trust

      1,262,940
7,300     

AvalonBay Communities, Inc.(b)

      861,838
12,400     

Boston Properties, Inc.

      1,288,360
14,500     

Developers Diversified Realty Corp.

      810,115
29,200     

Equity Residential Properties Trust

      1,236,912
29,700     

General Growth Properties, Inc.

      1,592,514
60,800     

Host Hotels & Resorts, Inc.(b)

      1,364,352
25,800     

Kimco Realty Corp.(b)

      1,166,418
17,600     

Plum Creek Timber Co., Inc.(b)

      787,776
28,700     

ProLogis (b)

      1,904,245
14,600     

Public Storage, Inc.

      1,148,290
26,200     

Simon Property Group, Inc.(b)

      2,620,000
14,400     

Vornado Realty Trust(b)

      1,574,640
           
          18,128,369

Real Estate Management & Development

23,100     

C.B. Richard Ellis Group, Inc., Class A(a)

      643,104

Road & Rail    0.7%

37,323     

Burlington Northern Santa Fe Corp.

      3,029,508
51,006     

CSX Corp.(b)

      2,179,486
44,911     

Norfolk Southern Corp.

      2,331,330
6,121     

Ryder System, Inc.

      299,929
32,729     

Union Pacific Corp.

      3,700,341
           
          11,540,594

 

 

See Notes to Financial Statements.

 

 

24   Visit our website at www.jennisondryden.com

 

Shares      Description    Value (Note 1)
       

Semiconductors & Semiconductor Equipment    2.7%

43,324     

Advanced Micro Devices, Inc.(a)(b)

    $ 571,877
36,000     

Altera Corp.(b)

      866,880
41,200     

Analog Devices, Inc.

      1,489,792
152,888     

Applied Materials, Inc.

      3,164,782
46,900     

Broadcom Corp., Class A(a)

      1,709,036
694,488     

Intel Corp.

      17,959,459
27,920     

KLA-Tencor Corp.(b)

      1,557,378
27,500     

Linear Technology Corp.

      962,225
49,944     

LSI Logic Corp.(a)

      370,584
22,100     

MEMC Electronic Materials, Inc.(a)

      1,300,806
19,700     

Microchip Technology, Inc.

      715,504
64,716     

Micron Technology, Inc.(a)(b)

      718,348
31,852     

National Semiconductor Corp.(b)

      863,826
18,400     

Novellus Systems, Inc.(a)

      501,584
70,500     

NVIDIA Corp.(a)(b)

      2,554,920
19,800     

Teradyne, Inc.(a)

      273,240
174,552     

Texas Instruments, Inc.

      6,386,858
46,500     

Xilinx, Inc.

      1,215,510
           
          43,182,609

Software    3.2%

71,440     

Adobe Systems, Inc.(a)

      3,119,070
25,120     

Autodesk, Inc.(a)(b)

      1,255,246
23,900     

BMC Software, Inc.(a)

      746,397
50,958     

CA, Inc.

      1,310,640
18,400     

Citrix Systems, Inc.(a)

      741,888
42,100     

Compuware Corp.(a)

      337,642
31,000     

Electronic Arts, Inc.(a)

      1,735,690
50,200     

Intuit, Inc.(a)(b)

      1,521,060
969,012     

Microsoft Corp.

      28,547,095
29,602     

Novell, Inc.(a)

      226,159
464,540     

Oracle Corp.(a)

      10,057,291
123,017     

Symantec Corp.(a)(b)

      2,384,069
           
          51,982,247

Specialty Retail    1.5%

7,800     

Abercrombie & Fitch Co.

      629,460
20,523     

AutoNation, Inc.(a)(b)

      363,668
6,200     

AutoZone, Inc.(a)

      720,068
26,800     

Bed Bath & Beyond, Inc.(a)(b)

      914,416
49,300     

Best Buy Co., Inc.(b)

      2,268,786

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   25

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

Shares      Description    Value (Note 1)
       
11,678     

Circuit City Stores, Inc.

    $ 92,373
62,513     

Gap, Inc.

      1,152,740
206,184     

Home Depot, Inc.(b)

      6,688,608
33,622     

Limited Brands, Inc.(b)

      769,608
178,896     

Lowe’s Cos., Inc.

      5,012,666
32,600     

Office Depot, Inc.(a)

      672,212
9,049     

OfficeMax, Inc.

      310,109
9,854     

RadioShack Corp.(b)

      203,584
12,416     

Sherwin-Williams Co.

      815,855
83,425     

Staples, Inc.

      1,792,803
16,800     

Tiffany & Co.

      879,480
55,832     

TJX Cos., Inc.(b)

      1,623,036
           
          24,909,472

Textiles, Apparel & Luxury Goods    0.4%

46,500     

Coach, Inc.(a)(b)

      2,198,055
13,800     

Jones Apparel Group, Inc.(b)

      291,594
16,492     

Liz Claiborne, Inc.(b)

      566,170
44,876     

NIKE, Inc., Class B

      2,632,426
6,000     

Polo Ralph Lauren Corp.

      466,500
10,234     

V.F. Corp.(b)

      826,396
           
          6,981,141

Thrifts & Mortgage Finance    1.1%

74,548     

Countrywide Financial Corp.(b)

      1,417,157
114,934     

Fannie Mae (b)

      6,989,138
76,032     

Freddie Mac

      4,486,648
57,100     

Hudson City Bancorp, Inc.

      878,198
9,120     

MGIC Investment Corp.(b)

      294,667
34,475     

Sovereign Bancorp, Inc.(b)

      587,454
108,871     

Washington Mutual, Inc.(b)

      3,844,235
           
          18,497,497

Tobacco    1.2%

248,379     

Altria Group, Inc.

      17,269,792
21,800     

Reynolds American, Inc.

      1,386,262
18,099     

UST, Inc.(b)

      897,710
           
          19,553,764

Trading Companies & Distributors

7,274     

Grainger (W.W.), Inc.

      663,316

 

 

See Notes to Financial Statements.

 

 

26   Visit our website at www.jennisondryden.com

 

 

Shares      Description    Value (Note 1)  
       

Wireless Telecommunication Services    0.6%

 

40,134     

Alltel Corp.(b)

    $ 2,796,537  
344,074     

Sprint Nextel Corp.

      6,537,406  
             
          9,333,943  
             
    

Total long-term investments
(cost $785,976,366)

      1,586,403,410  
             

SHORT-TERM INVESTMENTS    16.8%

   

Affiliated Money Market Mutual Fund    16.7%

 

270,104,374     

Dryden Core Investment Fund - Taxable Money Market Series;
(cost $270,104,374; includes $235,986,734 of cash collateral received for securities on loan) (Notes 3)(c)(e)

      270,104,374  
             
Principal
Amount (000)		              

U.S. Government Securities    0.1%

 

    

United States Treasury bill 3.88%, 12/20/2007(f)

   
$2,000     

(cost $1,982,755)

      1,983,654  
             
    

Total short-term investments
(cost $272,087,129)

      272,088,028  
             
    

Total Investments    114.7%
(cost $1,058,063,495; Note 5)

      1,858,491,438  
    

Liabilities in excess of other assets(g)    (14.7%)

      (237,476,525 )
             
    

Net Assets    100.0%

    $ 1,621,014,913  
             
(a) Non-income producing security.
(b) Securities, or portion thereof, on loan with an aggregate market value of $227,291,589; cash collateral of $235,986,734 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments.
(c) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(d) Affiliated security.
(e) Prudential Investments LLC, the manager of the Fund, also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series.
(f) Security segregated as collateral for futures contracts.
(g) Liabilities in excess of other assets include net unrealized appreciation on financial futures contracts as follows:

 

Open futures contracts outstanding at September 30, 2007:

 

Number of
Contracts		   Type   Expiration
Date		   Value at
September 30,
2007		   Value at
Trade
Date		   Unrealized
Appreciation
  Long Position:        
92   S&P 500 Index Futures   Dec. 07   $ 35,376,300   $ 34,556,550   $ 819,750

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   27

Portfolio of Investments

 

as of September 30, 2007 continued

 

 

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of September 30, 2007 were as follows:

 

Affiliated Money Market Mutual Fund (including 14.6% of collateral received for securities on loan)

    16.7 %

Oil, Gas & Consumable Fuels

    9.0  

Pharmaceuticals

    6.0  

Diversified Financial Services

    4.9  

Insurance

    4.5  

Computers & Peripherals

    4.3  

Industrial Conglomerates

    3.9  

Commercial Banks

    3.4  

Capital Markets

    3.3  

Software

    3.2  

Diversified Telecommunication Services

    3.1  

Media

    3.0  

Aerospace/Defense

    2.9  

Communications Equipment

    2.8  

Semiconductors & Semiconductor Equipment

    2.7  

Energy Equipment & Services

    2.3  

Foods & Staples Retailing

    2.3  

Beverages

    2.2  

Healthcare Providers & Services

    2.2  

Household Products

    2.1  

Electric Utilities

    1.8  

Chemicals

    1.7  

Healthcare Equipment & Supplies

    1.7  

Machinery

    1.7  

Internet Software & Services

    1.6  

Hotels, Restaurants & Leisure

    1.5  

Specialty Retail

    1.5  

Food Products

    1.4  

Biotechnology

    1.2  

Tobacco

    1.2  

Real Estate Investment Trust

    1.1  

Thrifts & Mortgage Finance

    1.1  

Metals & Mining

    1.0  

Multiline Retail

    1.0  

Multi-Utilities

    1.0  

Air Freight & Logistics

    0.9  

Consumer Finance

    0.9  

IT Services

    0.8  

Road & Rail

    0.7  

Wireless Telecommunication Services

    0.6  

Commercial Services & Supplies

    0.5  

Electrical Equipment

    0.5  

Independent Power Producers & Energy Traders

    0.5  

Automobiles

    0.4  

Household Durables

    0.4  

Textiles, Apparel & Luxury Goods

    0.4  

 

 

See Notes to Financial Statements.

 

 

28   Visit our website at www.jennisondryden.com

 

Electronic Equipment & Instruments

    0.3 %

Life Sciences, Tools & Services

    0.3  

Paper & Forest Products

    0.3  

Auto Components

    0.2  

Containers & Packaging

    0.2  

Internet & Catalog Retail

    0.2  

Leisure Equipment & Products

    0.2  

Personal Products

    0.2  

Airlines

    0.1  

Building Products

    0.1  

Construction Materials

    0.1  

Construction & Engineering

    0.1  

Distributors

    0.1  

Diversified Consumer Services

    0.1  

Gas Utilities

    0.1  

Office Electronics

    0.1  

U.S Government Securities

    0.1  
      
   114.7  

Liabilities in excess of other assets

    (14.7 )
      
   100.0 %
      

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   29

Statement of Assets and Liabilities

 

as of September 30, 2007

 

 

Assets

         

Investments at value, including securities on loan of $227,291,589:

   

Unaffiliated Investments (cost $786,214,225)

    $ 1,582,932,342  

Affiliated Investments (cost $271,849,270)

      275,559,096  

Cash

      2,402  

Dividends and interest receivable

      1,881,696  

Receivable for Fund shares sold

      1,816,043  

Receivable for investments sold

      906,405  

Prepaid expenses

      29,439  
        

Total assets

      1,863,127,423  
        

Liabilities

         

Payable to broker for collateral for securities on loan

      235,986,734  

Payable for Fund shares reacquired

      3,668,679  

Payable for investments purchased

      1,646,386  

Management fee payable

      104,828  

Accrued expenses

      263,459  

Transfer agent fee payable

      173,670  

Due to broker—variation margin

      149,500  

Distribution fee payable

      113,147  

Deferred trustees’ fees

      6,107  
        

Total liabilities

      242,112,510  
        

Net Assets

    $ 1,621,014,913  
        
          

Net assets were comprised of:

   

Common stock, at par

    $ 47,314  

Paid-in capital in excess of par

      985,247,272  
        
     985,294,586  

Undistributed net investment income

      19,605,585  

Accumulated net realized loss on investments

      (185,132,951 )

Net unrealized appreciation on investments

      801,247,693  
        

Net assets September 30, 2007

    $ 1,621,014,913  
        

 

 

See Notes to Financial Statements.

 

 

30   Visit our website at www.jennisondryden.com

 

Class A

       

Net asset value and redemption price per share
($113,939,704 ÷ 3,333,480 shares of beneficial interest issued and outstanding)
Maximum sales charge (3.25% of offering price)

    $
 		 34.18
1.15
      

Maximum offering price to public

    $ 35.33
      

Class B

       

Net asset value, offering price and redemption price per share
($64,637,033 ÷ 1,908,813 shares of beneficial interest issued and outstanding)

    $ 33.86
      

Class C

       

Net asset value, offering price and redemption price per share
($45,085,489 ÷ 1,331,604 shares of beneficial interest issued and outstanding)

    $ 33.86
      

Class I

       

Net asset value, offering price and redemption price per share
($703,556,039 ÷ 20,508,603 shares of beneficial interest issued and outstanding)

    $ 34.31
      

Class Z

       

Net asset value, offering price and redemption price per share
($693,796,648 ÷ 20,231,802 shares of beneficial interest issued and outstanding)

    $ 34.29
      

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   31

Statement of Operations

 

Year Ended September 30, 2007

 

 

Net Investment Income

         

Income

   

Unaffiliated dividends

    $ 30,993,065  

Affiliated dividend income

      1,929,171  

Affiliated income from securities loaned, net

      287,990  

Unaffiliated interest

      133,699  
        

Total income

      33,343,925  
        

Expenses

   

Management fee

      4,614,562  

Distribution fee—Class A

      244,713  

Distribution fee—Class B

      771,951  

Distribution fee—Class C

      449,816  

Transfer agent fee—Class A (including affiliated expense of $56,500)

      102,000  

Transfer agent fee—Class B (including affiliated expense of $111,900)

      161,000  

Transfer agent fee—Class C (including affiliated expense of $69,000)

      69,000  

Transfer agent fee—Class I (including affiliated expense of $22,800)

      171,000  

Transfer agent fee—Class Z (including affiliated expense of $249,500)

      729,000  

Custodian’s fees and expenses

      170,000  

Reports to shareholders

      80,000  

Registration fees

      63,000  

Trustees’ fees

      45,000  

Insurance

      43,000  

Legal fees and expenses

      35,000  

Audit fee

      20,000  

Interest expenses

      1,734  

Miscellaneous

      31,091  
        

Total expenses

      7,801,867  

Less: expense subsidy (Note 2)

      (224,272 )

Less: Management fee waiver (Note 2)

      (1,091,429 )
        

Net expenses

      6,486,166  
        

Net investment income

      26,857,759  
        

Realized And Unrealized Gain (Loss) On Investments

         

Net realized gain on:

   

Investment transactions

      76,598,574  

Financial futures contracts

      4,137,866  
        
     80,736,440  
        

Net change in unrealized appreciation on:

   

Investments

      137,707,852  

Financial futures contracts

      242,087  
        
     137,949,939  
        

Net gain on investments

      218,686,379  
        

Net Increase In Net Assets Resulting From Operations

    $ 245,544,138  
        

 

 

See Notes to Financial Statements.

 

 

32   Visit our website at www.jennisondryden.com

Statement of Changes in Net Assets

 

 

 

     Year Ended September 30,  
     2007        2006  

Increase (Decrease) In Net Assets

                    

Operations

        

Net investment income

    $ 26,857,759        $ 27,330,606  

Net realized gain on investment transactions

      80,736,440          28,941,408  

Net change in unrealized appreciation on investments

      137,949,939          119,631,298  
                   

Net increase in net assets resulting from operations

      245,544,138          175,903,312  
                   

Dividends from net investment income (Note 1)

        

Class A

      (1,391,031 )        (1,061,815 )

Class B

      (696,089 )        (479,409 )

Class C

      (376,794 )        (243,984 )

Class I

      (14,618,930 )        (16,051,249 )

Class Z

      (11,939,805 )        (10,935,697 )
                   
     (29,022,649 )        (28,772,154 )
                   

Fund share transactions (net of share conversions) (Note 6)

        

Net proceeds from shares sold

      317,991,334          270,479,055  

Net asset value of shares issued in reinvestment of dividends

      26,502,957          25,258,007  

Cost of shares reacquired

      (595,882,580 )        (703,031,033 )
                   

Net decrease in net assets from Fund share transactions

      (251,388,289 )        (407,293,971 )
                   

Total decrease

      (34,866,800 )        (260,162,813 )

Net Assets

                    

Beginning of year

      1,655,881,713          1,916,044,526  
                   

End of year(a)

    $ 1,621,014,913        $ 1,655,881,713  
                   

(a) Includes undistributed net investment income of:

    $ 19,605,585        $ 22,096,114  
                   

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   33

 

Notes to Financial Statements

 

The Dryden Index Series Fund (the “Company”) is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company. The Company was established as a Delaware business trust on May 11, 1992 and currently consists of one fund, which is the Dryden Stock Index Fund (the “Fund”). Investment operations of the Fund commenced on November 5, 1992. The Fund’s investment objective is to provide investment results that correspond to the price and yield performance of Standard & Poor’s 500 Composite Stock Price Index.

 

Note 1. Accounting Policies

 

The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements.

 

Securities Valuation: Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and ask prices, or at the last bid price on such day in the absence of an asked price. Securities traded via Nasdaq are valued at the Nasdaq official closing price (NOCP) on the day of valuation, or if there was no NOCP, at the last sale price.

 

Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”), in consultation with the subadviser(s); to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Fund’s normal pricing time, are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the

34   Visit our website at www.jennisondryden.com

 

securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

 

Investments in mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

 

Short-term debt securities which mature in 60 days or less are valued at amortized cost, which approximates market value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities which mature in more than 60 days are valued at current market quotations.

 

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Fund’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. The value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

 

Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts. The Fund invests in financial futures contracts in order to hedge its existing portfolio securities, or securities the Fund intends to purchase,

Dryden Index Series Fund/Dryden Stock Index Fund   35

Notes to Financial Statements

 

continued

 

 

against fluctuations in value caused by changes in prevailing interest rates or market conditions. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets.

 

Financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

 

Securities Lending: The Fund may lend its portfolio securities to qualified institutions. The loans are secured by collateral in an amount equal to at least the market value at all times of the loaned securities. During the time the securities are on loan, the Fund will continue to receive the interest and dividends or amounts equivalent thereto on the loaned securities. The Fund receives compensation, net of any rebate and securities lending agent fee, for lending its securities in the form of interest or dividends on the collateral received for securities loaned. Loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. The Fund bears the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower of the securities fail financially.

 

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis.

 

Net investment income or loss (other than distribution and transfer agent fees) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Transfer agent fees are incurred based on shareholder activity and number of accounts for each class.

 

Dividends and Distributions: Dividends from net investment income and distributions of net capital and currency gains in excess of a capital loss carryforward, if any, are declared and paid annually. Dividends and distributions to shareholders, which are

36   Visit our website at www.jennisondryden.com

 

determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles, are recorded on the ex-dividend date. Permanent book/tax differences relating to income and gains are reclassified amongst undistributed net investment income, accumulated net realized gain or loss and paid in capital in excess of par, as appropriate.

 

Taxes: It is the Fund’s policy to continue to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable net income and net capital gains, if any, to its shareholders. Therefore, no federal income tax provision is required.

 

Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

 

Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

 

Note 2. Agreements

 

The Fund has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Quantitative Management Associates LLC (“QMA”). The subadvisory agreement provides that QMA furnishes investment advisory services in connection with the management of the Fund. In connection therewith, QMA is obligated to keep certain books and records of the Fund. PI pays for the services of QMA, the cost of compensation of officers of the Fund, occupancy and certain clerical and bookkeeping costs of the Fund. The Fund bears all other costs and expenses.

 

The management fee paid to PI is computed daily and payable monthly at an annual rate of .30 of 1% of the average daily net assets of the Fund up to $1 billion and .25 of 1% in excess of $1 billion. Effective June 1, 2007 to January 31, 2009, the Fund’s manager has agreed to contractually waive a portion of its management fee, so that the effective management fee for the Fund will be .08% of 1% of the average daily net assets of Fund. The effective management fee rate was .21 of 1% for the year ended September 30, 2007.

 

For the period October 1, 2006, through May 31, 2007, PI had contractually agreed to reimburse the Fund for transfer agent fees to the extent that they exceeded .10% of

Dryden Index Series Fund/Dryden Stock Index Fund   37

Notes to Financial Statements

 

continued

 

the average daily net assets for each share class. PI had also contractually agreed to reimburse the Fund for certain operating expenses, excluding transfer agent fees, so that total operating expenses, excluding transfer agent fees, did not exceed .55%, 1.30%, 1.30%, .30% and .30% of the average daily net assets for Class A, Class B, Class C, Class I and Class Z shares, respectively. Effective June 1, 2007, such reimbursement has been discontinued.

 

The Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class A, Class B, Class C, Class I and Class Z shares of the Fund. The Fund compensates PIMS for distributing and servicing the Fund’s Class A, Class B and Class C shares, pursuant to plans of distribution, (the “Class A, B and C plans”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor for Class I and Class Z shares of the Fund.

 

Pursuant to the Class A, B and C Plans, the Fund compensates PIMS for distribution- related activities at an annual rate of up to .30 of 1%, 1% and 1% of the average daily net assets of the Class A, B and C shares, respectively. PIMS has advised the Fund that it received approximately $107,900 in front-end sales charges resulting from sales of Class A shares during the year ended September 30, 2007. From these fees, PIMS paid sales charges to dealers who in turn paid commissions to salespersons, and incurred other distribution costs.

 

PIMS has advised the Fund that for the year ended September 30, 2007, it received approximately $10,300, $68,100 and $3,100 in contingent deferred sales charges imposed upon certain redemptions by Class A, Class B and Class C shareholders, respectively.

 

PI, QMA and PIMS are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

 

The Fund, along with other affiliated registered investment companies (the “Funds”), is a party to a syndicated credit agreement (“SCA”) with two banks. The SCA provides for a commitment of $500 million. Interest on any borrowings under the SCA is incurred at contracted market rates and a commitment fee for the unused amount is accrued daily and paid quarterly. Effective October 26, 2007, the Funds renewed SCA with the

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banks. The commitment under the renewed SCA continues to be $500 million. The Funds pay a commitment fee of .06 of 1% of the unused portion of the renewed SCA. The expiration date of the renewed SCA will be October 24, 2008. For the period from October 27, 2006 through October 26, 2007, the Funds paid a commitment fee of .07 of 1% of the unused portion of the agreement. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions.

 

The Fund did not borrow any amounts pursuant to the SCA during the year ended September 30, 2007.

 

Note 3. Other Transactions With Affiliates

 

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Fund’s transfer agent. Transfer agent fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable. Effective June 1, 2007, the Fund’s Class I and Class Z shares are subject to a transfer agent fee of .07% and .13% of the average daily net assets of the Class I and Class Z shares, respectively. Classes A, B, and C incur their respective fee. Such fees are not subject to any limits as noted in Note 2.

 

The Fund pays networking fees to affiliated and unaffiliated broker/dealers. These networking fees are payments made to broker/dealers that clear mutual fund transactions through a national clearing system. For the year ended September 30, 2007, the Fund incurred approximately $108,900 in total networking fees. These amounts are included in transfer agent’s fees and expenses in the Statement of Operations.

 

Prudential Investment Management Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Fund’s security lending agent. For the year ended September 30, 2007, PIM has been compensated approximately $123,400 for these services.

 

The Fund invests in the Taxable Money Market Series (the “Series”), a portfolio of the Dryden Core Investment Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Series is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI.

Dryden Index Series Fund/Dryden Stock Index Fund   39

Notes to Financial Statements

 

continued

 

 

Note 4. Portfolio Securities

 

Purchases and sales of portfolio securities, excluding short-term investments, for the year ended September 30, 2007 aggregated $50,831,401 and $294,773,281 respectively.

 

Note 5. Distributions and Tax Information

 

Distributions to shareholders, which are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles, are recorded on the ex-dividend date. In order to present undistributed net investment income and accumulated net realized loss on investments on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to undistributed net investment income and accumulated net realized loss on investments. For the tax year ended September 30, 2007, the adjustments were to decrease undistributed net investment income and accumulated net realized loss on investments by $325,639 due to the difference in the treatment of distributions from real estate investment trust securities. Net investment income, accumulated net realized gains and net assets were not affected by this change.

 

For the years ended September 30, 2007 and 2006, the tax character of dividends paid, as reflected in the Statement of Changes in Net Assets of $29,022,649 and $28,772,154, respectively, were from ordinary income. As of September 30, 2007, the accumulated undistributed ordinary income on a tax basis was $19,517,230.

 

For federal income tax purposes, the Fund had a capital loss carryforward as of September 30, 2007 of approximately $169,673,000 of which $119,528,000 expires in 2011, $1,967,000 expires in 2012, $16,903,000 expires in 2013 and $31,275,000 expires in 2014. The Fund utilized approximately $78,766,000 of its capital loss carryforward during fiscal year ended September 30, 2007. Accordingly, no capital gains distribution is expected to be paid to shareholders until net gains have been realized in excess of this amount.

 

The United States federal income tax basis of the Fund’s investments and the net unrealized appreciation as of September 30, 2007 were as follows:

 

Tax Basis
of Investments

   

Appreciation

   

Depreciation

   

Net Unrealized
Appreciation

$1,072,609,405    $816,257,579    $30,375,546    $785,882,033
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The difference between book basis and tax basis was primarily attributable to deferred losses on wash sales and other book to tax adjustments.

 

Note 6. Capital

 

The Fund offers Class A, Class B, Class C, Class I and Class Z shares. Class A shares are sold with a front-end sales charge of up to 3.25%. Certain investors who purchase $1 million or more of Class A shares and sell these shares within 12 months of purchase are subject to a 1% contingent deferred sales charge, although they are not subject to an initial sales charge. Class B shares are sold with a contingent deferred sales charge (CDSC) which declines from 5% to zero depending upon the period of time the shares are held. Class C shares are sold with a CDSC of 1% during the first year. Class B shares will automatically convert to Class A shares on a quarterly basis approximately seven years after purchase. Class I and Class Z shares are not subject to any sales or redemption charge and are offered exclusively for sale to a limited group of investors.

 

The Fund has authorized an unlimited number of shares of beneficial interest at $.001 par value divided into five classes, designated Class A, Class B, Class C, Class I and Class Z.

 

Transactions in shares of beneficial interest were as follows:

 

Class A

    Shares      Amount  

Year ended September 30, 2007:

      

Shares sold

    680,901      $ 21,781,491  

Shares issued in reinvestment of dividends

    43,069        1,344,615  

Shares reacquired

    (665,559 )      (21,442,465 )
               

Net increase (decrease) in shares outstanding before conversion

    58,411        1,683,641  

Shares issued upon conversion from Class B

    428,136        13,909,356  
               

Net increase (decrease) in shares outstanding

    486,547      $ 15,592,997  
               

Year ended September 30, 2006:

      

Shares sold

    468,222      $ 13,296,779  

Shares issued in reinvestment of dividends

    36,502        1,018,760  

Shares reacquired

    (595,370 )      (16,973,012 )
               

Net increase (decrease) in shares outstanding before conversion

    (90,646 )      (2,657,473 )

Shares issued upon conversion from Class B

    112,560        3,196,921  
               

Net increase (decrease) in shares outstanding

    21,914      $ 539,448  
               
Dryden Index Series Fund/Dryden Stock Index Fund   41

Notes to Financial Statements

 

continued

 

Class B

    Shares      Amount  

Year ended September 30, 2007:

      

Shares sold

    12,191      $ 381,726  

Shares issued in reinvestment of dividends

    21,156        658,148  

Shares reacquired

    (460,747 )      (14,767,378 )
               

Net increase (decrease) in shares outstanding before conversion

    (427,400 )      (13,727,504 )

Shares reacquired upon conversion into Class A

    (431,153 )      (13,909,356 )
               

Net increase (decrease) in shares outstanding

    (858,553 )    $ (27,636,860 )
               

Year ended September 30, 2006:

      

Shares sold

    28,587      $ 805,221  

Shares issued in reinvestment of dividends

    16,295        453,498  

Shares reacquired

    (655,357 )      (18,469,669 )
               

Net increase (decrease) in shares outstanding before conversion

    (610,475 )      (17,210,950 )

Shares reacquired upon conversion into Class A

    (113,230 )      (3,196,921 )
               

Net increase (decrease) in shares outstanding

    (723,705 )    $ (20,407,871 )
               

Class C

              

Year ended September 30, 2007:

      

Shares sold

    149,947      $ 4,793,670  

Shares issued in reinvestment of dividends

    11,261        350,464  

Shares reacquired

    (274,456 )      (8,814,757 )
               

Net increase (decrease) in shares outstanding

    (113,248 )    $ (3,670,623 )
               

Year ended September 30, 2006:

      

Shares sold

    138,113      $ 3,876,817  

Shares issued in reinvestment of dividends

    8,189        227,896  

Shares reacquired

    (462,277 )      (13,072,779 )
               

Net increase (decrease) in shares outstanding

    (315,975 )    $ (8,968,066 )
               

Class I

              

Year ended September 30, 2007:

      

Shares sold

    2,778,892      $ 88,790,672  

Shares issued in reinvestment of dividends

    391,470        12,233,434  

Shares reacquired

    (8,508,525 )      (273,093,838 )
               

Net increase (decrease) in shares outstanding

    (5,338,163 )    $ (172,069,732 )
               

Year ended September 30, 2006:

      

Shares sold

    2,988,797      $ 84,991,838  

Shares issued in reinvestment of dividends

    452,398        12,640,003  

Shares reacquired

    (12,977,170 )      (370,492,708 )
               

Net increase (decrease) in shares outstanding

    (9,535,975 )    $ (272,860,867 )
               
42   Visit our website at www.jennisondryden.com

 

Class Z

    Shares      Amount  

Year ended September 30, 2007:

      

Shares sold

    6,257,302      $ 202,243,775  

Shares issued in reinvestment of dividends

    381,199        11,916,296  

Shares reacquired

    (8,613,875 )      (277,764,142 )
               

Net increase (decrease) in shares outstanding

    (1,975,374 )    $ (63,604,071 )
               

Year ended September 30, 2006:

      

Shares sold

    5,864,702      $ 167,508,400  

Shares issued in reinvestment of dividends

    390,900        10,917,850  

Shares reacquired

    (9,962,371 )      (284,022,865 )
               

Net increase (decrease) in shares outstanding

    (3,706,769 )    $ (105,596,615 )
               

 

Note 7. New Accounting Pronouncements

 

On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006, the Securities and Exchange Commission delayed the effective date until the last net asset value calculation in the first required financial reporting period for its fiscal year beginning after December 15, 2006. The Fund’s financial statements have not been impacted by the adoption of FIN 48. However, the conclusions regarding FIN 48 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from FASB and on-going analysis of tax laws, regulations and interpretations thereof.

 

On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (FAS 157). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact, if any, in the financial statements has not yet been determined.

Dryden Index Series Fund/Dryden Stock Index Fund   43

Financial Highlights

 

 

 

     Class A  
      Year Ended
September 30, 2007		  

Per Share Operating Performance:

   

Net Asset Value, Beginning Of Year

    $ 29.98  
        

Income from investment operations:

   

Net investment income(a)

      .46  

Net realized and unrealized gain on investment transactions

      4.23  
        

Total from investment operations

      4.69  
        

Less Dividends:

   

Dividends from net investment income

      (.49 )
        

Net asset value, end of year

    $ 34.18  
        

Total Return(b):

      15.81 %

Ratios/Supplemental Data:

   

Net assets, end of year (000)

    $ 113,940  

Average net assets (000)

    $ 97,885  

Ratios to average net assets(a):

   

Expenses, including distribution and service (12b-1) fees(c)

      .59 %

Expenses, excluding distribution and service (12b-1) fees

      .34 %

Net investment income

      1.44 %

For Class A, B, C, I and Z shares:

   

Portfolio turnover rate

      3 %
(a) Net of expense subsidy and/or management fee waiver, where applicable. If the investment advisor had not reimbursed/waived expenses, the annual expense and net investment income ratios would have been .67% and 1.36% respectively for the year ended September 30, 2007, .67% and 1.30% respectively for the year ended September 30, 2006, .64% and 1.32% respectively for the year ended September 30, 2005, .64% and 1.09% respectively for the year ended September 30, 2004 and .71% and 1.05% respectively for the year ended September 30, 2003.
(b) Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total investment returns may reflect adjustments to conform to generally accepted accounting principles. Total return includes the effect of expense subsidies/waivers.
(c) The distributor of the Fund has contractually agreed to limit its distribution and service (12b-1) fees to .25 of 1% of the average daily net assets of the Class A shares.

 

 

See Notes to Financial Statements.

 

 

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Class A  
Year Ended September 30,  
2006     2005     2004     2003  
     
$ 27.57     $ 25.05     $ 22.38     $ 18.28  
                             
     
  .38       .44       .27       .23  
  2.41       2.44       2.66       4.07  
                             
  2.79       2.88       2.93       4.30  
                             
     
  (.38 )     (.36 )     (.26 )     (.20 )
                             
$ 29.98     $ 27.57     $ 25.05     $ 22.38  
                             
  10.21 %     11.59 %     13.16 %     23.62 %
     
$ 85,357     $ 77,898     $ 85,082     $ 59,374  
$ 81,562     $ 75,078     $ 76,034     $ 51,350  
     
  .65 %     .64 %     .63 %     .65 %
  .40 %     .39 %     .39 %     .40 %
  1.32 %     1.51 %     1.10 %     1.11 %
     
  3 %     3 %     5 %     2 %

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   45

Financial Highlights

 

continued

 

 

     Class B  
      Year Ended
September 30, 2007		  

Per Share Operating Performance:

   

Net Asset Value, Beginning Of Year

    $ 29.70  
        

Income from investment operations:

   

Net investment income(a)

      .20  

Net realized and unrealized gain on investment transactions

      4.22  
        

Total from investment operations

      4.42  
        

Less Dividends:

   

Dividends from net investment income

      (.26 )
        

Net asset value, end of year

    $ 33.86  
        

Total Return(b):

      14.96 %

Ratios/Supplemental Data:

   

Net assets, end of year (000)

    $ 64,637  

Average net assets (000)

    $ 77,195  

Ratios to average net assets(a):

   

Expenses, including distribution and service (12b-1) fees

      1.34 %

Expenses, excluding distribution and service (12b-1) fees

      .34 %

Net investment income

      .68 %
(a) Net of expense subsidy and/or management fee waiver, where applicable. If the investment advisor had not reimbursed/waived expenses, the annual expense and net investment income/(loss) ratios would have been 1.52% and .50% respectively for the year ended September 30, 2007, 1.55% and .43% respectively for the year ended September 30, 2006, 1.51% and .65% respectively for the year ended September 30, 2005, 1.52% and .21% respectively for the year ended September 30, 2004, and 1.63% and .15% for the year ended September 30, 2003.
(b) Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total investment returns may reflect adjustments to conform to generally accepted accounting principles. Total return includes the effect of expense subsidies/waivers.

 

 

See Notes to Financial Statements.

 

 

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Class B  
Year Ended September 30,  
2006     2005     2004     2003  
     
$ 27.29     $ 24.79     $ 22.16     $ 18.09  
                             
     
  .16       .19       .08       .08  
  2.39       2.48       2.64       4.02  
                             
  2.55       2.67       2.72       4.10  
                             
     
  (.14 )     (.17 )     (.09 )     (.03 )
                             
$ 29.70     $ 27.29     $ 24.79     $ 22.16  
                             
  9.39 %     10.78 %     12.27 %     22.69 %
     
$ 82,204     $ 95,284     $ 108,217     $ 95,729  
$ 88,427     $ 104,121     $ 110,193     $ 82,986  
     
  1.40 %     1.40 %     1.40 %     1.40 %
  .40 %     .40 %     .40 %     .40 %
  .58 %     .75 %     .33 %     .38 %

 

 

See Notes to Financial Statements.

 

 

Dryden Index Series Fund/Dryden Stock Index Fund   47

Financial Highlights

 

continued

 

 

    Class C  
     Year Ended
September 30, 2007		  

Per Share Operating Performance:

  

Net Asset Value, Beginning Of Year

   $ 29.71  
       

Income from investment operations:

  

Net investment income(a)

     .21  

Net realized and unrealized gain on investment transactions

     4.20  
       

Total from investment operations

     4.41  
       

Less Dividends:

  

Dividends from net investment income

     (.26 )
       

Net asset value, end of year

   $ 33.86  
       

Total Return(b):

     14.92 %

Ratios/Supplemental Data:

  

Net assets, end of year (000)

   $ 45,085  

Average net assets (000)

   $ 44,982  

Ratios to average net assets(a):

  

Expenses, including distribution and service (12b-1) fees

     1.36 %

Expenses, excluding distribution and service (12b-1) fees

     .36 %

Net investment income

     .67 %
(a) Net of expense subsidy and/or management fee waiver, where applicable. If the investment advisor had not reimbursed/waived expenses, the annual expense and net investment income ratios would have been 1.47% and .56% respectively for the year ended September 30, 2007, 1.46% and .52% respectively for the year ended September 30, 2006, 1.43% and .72% respectively for the year ended September 30, 2005, 1.44% and .29% respectively for the year ended September 30, 2004, and 1.53% and .25% for the year ended September 30, 2003.
(b) Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total investment returns may reflect adjustments to conform to generally accepted accounting principles. Total return includes the effect of expense subsidies/waivers.

 

See Notes to Financial Statements.

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Class C  
Year Ended September 30,  
2006     2005     2004     2003  
     
$ 27.29     $ 24.79     $ 22.16     $ 18.09  
                             
     
  .16       .19       .08       .07  
  2.40       2.48       2.64       4.03  
                             
  2.56       2.67       2.72       4.10  
                             
     
  (.14 )     (.17 )     (.09 )     (.03 )
                             
$ 29.71     $ 27.29     $ 24.79     $ 22.16  
                             
  9.42 %     10.78 %     12.27 %     22.69 %
     
$ 42,921     $ 48,051     $ 51,946     $ 48,823  
$ 45,636     $ 50,981     $ 52,697     $ 43,820  
     
  1.40 %     1.40 %     1.40 %     1.40 %
  .40 %     .40 %     .40 %     .40 %
  .58 %     .75 %     .33 %     .38 %

 

See Notes to Financial Statements.

Dryden Index Series Fund/Dryden Stock Index Fund   49

Financial Highlights

 

continued

 

     Class I  
      Year Ended
September 30, 2007		  

Per Share Operating Performance:

   

Net Asset Value, Beginning Of Year

    $ 30.08  
        

Income from investment operations:

   

Net investment income(a)

      .62  

Net realized and unrealized gain on investment transactions

      4.20  
        

Total from investment operations

      4.82  
        

Less Dividends:

   

Dividends from net investment income

      (.59 )
        

Net asset value, end of year

    $ 34.31  
        

Total Return(b):

      16.23 %

Ratios/Supplemental Data:

   

Net assets, end of year (000)

    $ 703,556  

Average net assets (000)

    $ 741,032  

Ratios to average net assets(a):

   

Expenses, including distribution and service (12b-1) fees

      .26 %

Expenses, excluding distribution and service (12b-1) fees

      .26 %

Net investment income

      1.77 %
(a) Net of expense subsidy and/or management fee waiver, where applicable. If the investment advisor had not reimbursed/waived expenses, the annual expense and net investment income ratios would have been .34% and 1.69% respectively for the year ended September 30, 2007, .31% and 1.67% respectively for the year ended September 30, 2006, .31% and 1.84% respectively for the year ended September 30, 2005, .31% and 1.42% respectively for the year ended September 30, 2004, and .36% and 1.42% for the year ended September 30, 2003.
(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total investment returns may reflect adjustments to conform to generally accepted accounting principles. Total return includes the effect of expense subsidies/waivers.

 

See Notes to Financial Statements.

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Class I  
Year Ended September 30,  
2006     2005     2004     2003  
     
$ 27.66     $ 25.12     $ 22.45     $ 18.34  
                             
     
  .53       .51       .39       .31  
  2.36       2.48       2.62       4.08  
                             
  2.89       2.99       3.01       4.39  
                             
     
  (.47 )     (.45 )     (.34 )     (.28 )
                             
$ 30.08     $ 27.66     $ 25.12     $ 22.45  
                             
  10.56 %     11.99 %     13.50 %     24.08 %
     
$ 777,551     $ 978,627     $ 1,099,999     $ 1,213,338  
$ 860,728     $ 1,014,636     $ 1,346,643     $ 1,118,408  
     
  .30 %     .30 %     .30 %     .30 %
  .30 %     .30 %     .30 %     .30 %
  1.68 %     1.85 %     1.43 %     1.48 %

 

See Notes to Financial Statements.

Dryden Index Series Fund/Dryden Stock Index Fund   51

Financial Highlights

 

continued

 

     Class Z  
      Year Ended
September 30, 2007		  

Per Share Operating Performance:

   

Net Asset Value, Beginning Of Year

    $ 30.07  
        

Income from investment operations:

   

Net investment income(a)

      .60  

Net realized and unrealized gain on investment transactions

      4.19  
        

Total from investment operations

      4.79  
        

Less Dividends:

   

Dividends from net investment income

      (.57 )
        

Net asset value, end of year

    $ 34.29  
        

Total Return(b):

      16.11 %

Ratios/Supplemental Data:

   

Net assets, end of year (000)

    $ 693,797  

Average net assets (000)

    $ 684,731  

Ratios to average net assets(a):

   

Expenses, including distribution and service (12b-1) fees

      .34 %

Expenses, excluding distribution and service (12b-1) fees

      .34 %

Net investment income

      1.69 %
(a) Net of expense subsidy and/or management fee waiver, where applicable. If the investment advisor had not reimbursed/waived expenses, the annual expense and net investment income ratios would have been .42% and 1.61% respectively for the year ended September 30, 2007, .40% and 1.57% respectively for the year ended September 30, 2006, .41% and 1.74% respectively for the year ended September 30, 2005, .42% and 1.31% respectively for the year ended September 30, 2004, and .49% and 1.28% for the year ended September 30, 2003.
(b) Total investment return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total investment returns may reflect adjustments to conform to generally accepted accounting principles. Total return includes the effect of expense subsidies/waivers.

 

See Notes to Financial Statements.

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Class Z  
Year Ended September 30,  
2006     2005     2004     2003  
     
$ 27.64     $ 25.10     $ 22.43     $ 18.32  
                             
     
  .51       .51       .34       .28  
  2.35       2.45       2.65       4.08  
                             
  2.86       2.96       2.99       4.36  
                             
     
  (.43 )     (.42 )     (.32 )     (.25 )
                             
$ 30.07     $ 27.64     $ 25.10     $ 22.43  
                             
  10.53 %     11.86 %     13.41 %     23.97 %
     
$ 667,849     $ 716,185     $ 790,519     $ 754,206  
$ 697,473     $ 775,321     $ 807,187     $ 693,096  
     
  .39 %     .40 %     .40 %     .40 %
  .39 %     .40 %     .40 %     .40 %
  1.58 %     1.75 %     1.33 %     1.37 %

 

See Notes to Financial Statements.

Dryden Index Series Fund/Dryden Stock Index Fund   53

 

Report of Independent Registered Public Accounting Firm

 

The Board of Trustees and Shareholders of

Dryden Index Series Fund:

 

We have audited the accompanying statement of assets and liabilities of Dryden Stock Index Fund of the Dryden Index Series Fund (hereafter referred to as the “Fund”), including the portfolio of investments, as of September 30, 2007, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the four-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years presented prior to the year ended September 30, 2004 were audited by another independent registered public accounting firm, whose report dated November 20, 2003, expressed an unqualified opinion thereon.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2007, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of September 30, 2007, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the four-year period then ended, in conformity with U.S. generally accepted accounting principles.

 

LOGO

New York, New York

November 27, 2007

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Tax Information

 

(Unaudited)

 

We are required by the Internal Revenue Code to advise you within 60 days of the Fund’s fiscal year end (September 30, 2007) as to the federal income tax status of dividends paid by the Fund during such fiscal period. Accordingly, we are advising you that during its fiscal year ended September 30, 2006, the Fund paid dividends from net investment income for Class A, Class B, Class C, Class I and Class Z shares of $.4920 per share, $.2600 per share, $.2600 per share $.5927 per share and $.5690 per share, respectively which are taxable as ordinary income.

 

Further, we wish to advise you that 100% of the ordinary income dividends paid in the fiscal year ended September 30, 2007 qualified for the corporate dividend received deduction available to corporate taxpayers. Only funds that invest in U.S. equities are entitled to pass through corporate dividends received deduction.

 

For the fiscal year ended September 30, 2007, the Fund designated 100% as qualified dividend income for the reduced tax rate under the jobs and Growth Tax Relief Reconciliation Act of 2003.

 

In January 2008, you will be advised on IRS 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in calendar year 2007.

Dryden Index Series Fund/Dryden Stock Index Fund   55

 

Management of the Fund

 

(Unaudited)

 

Information pertaining to the Trustees of the Dryden Stock Index Fund (the “Fund”) is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940 (the 1940 Act), are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” “Fund Complex”† consists of the Fund and any other investment companies managed by PI.

 

Independent Trustees(2)

 

Linda W. Bynoe (55), Trustee since 2005(3) Oversees 60 portfolios in Fund complex

Principal occupations (last 5 years): President and Chief Executive Officer (since March 1995) of Telemat, Ltd. (management consulting); formerly Vice President at Morgan Stanley & Co.

 

Other Directorships held: Director of Simon Property Group, Inc. (real estate investment trust) (since May 2003); Anixter International (communication products distributor) (since January 2006); Director of Northern Trust Corporation (since April 2006).

 

David E.A. Carson (73), Trustee since 2003(3) Oversees 64 portfolios in Fund complex

Principal occupations (last 5 years): Formerly Director (January 2000-May 2000), Chairman (January 1999-December 1999), Chairman and Chief Executive Officer (January 1998-December 1998) and President, Chairman and Chief Executive Officer of People’s Bank (1983-1997).

 

Robert E. La Blanc (73), Trustee since 2003(3) Oversees 62 portfolios in Fund complex

Principal occupations (last 5 years): President (since 1981) of Robert E. La Blanc Associates, Inc. (telecommunications).

 

Other Directorships held:(4) Director of CA, Inc. (since 2002) (software company); FiberNet Telecom Group, Inc. (since 2003) (telecom company).

 

Douglas H. McCorkindale (68), Trustee since 1996(3) Oversees 60 portfolios in Fund complex

Principal occupations (last 5 years): Formerly Chairman (February 2001-June 2006), Chief Executive Officer (June 2000-July 2005), President (September 1997-July 2005) and Vice Chairman (March 1984-May 2000) of Gannett Co. Inc. (publishing and media).

 

Other Directorships held:(4) Director of Continental Airlines, Inc. (since May 1993); Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001).

 

Richard A. Redeker (64), Trustee since 1996(3) Oversees 61 portfolios in Fund complex

Principal occupations (last 5 years): Management Consultant; Director (since 2001) and Chairman of the Board (since 2006) of Invesmart, Inc.; Director of Penn Tank Lines, Inc. (since 1999).

 

Robin B. Smith (67), Trustee since 1996(3) Oversees 62 portfolios in Fund complex

Principal occupations (last 5 years): Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing); formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House.

 

Other Directorships held:(4) Formerly Director of BellSouth Corporation (1992-2006).

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Stephen G. Stoneburn (64), Trustee since 2003(3) Oversees 62 portfolios in Fund complex

Principal occupations (last 5 years): President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc. (1975-1989).

 

Clay T. Whitehead (68), Trustee since 1996(3) Oversees 62 portfolios in Fund complex

Principal occupations (last 5 years): President (since 1983) of YCO (new business development firm).

 

Interested Trustees(1)

 

Judy A. Rice (59), President since 2003 and Trustee since 2000(3) Oversees 60 portfolios in Fund complex

Principal occupations (last 5 years): President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (since February 2003) of Prudential Investments LLC; Vice President (since February 1999) of Prudential Investment Management Services LLC; President, Chief Executive Officer and Officer-In-Charge (since April 2003) of Prudential Mutual Fund Services LLC; formerly Director (May 2003-March 2006) and Executive Vice President (June 2005-March 2006) of AST Investment Services, Inc.; formerly Executive Vice President (September 1999-February 2003) of Prudential Investments LLC; Member of Board of Governors of the Investment Company Institute.

 

Robert F. Gunia (60), Vice President since 1999 and Trustee since 1996(3) Oversees 140 portfolios in Fund complex

Principal occupations (last 5 years): Chief Administrative Officer (since September 1999) and Executive Vice President (since December 1996) of Prudential Investments LLC; President (since April 1999) of Prudential Investment Management Services LLC; Executive Vice President (since March 1999) and Treasurer (since May 2000) of Prudential Mutual Fund Services LLC; Chief Administrative Officer, Executive Vice President and Director (since May 2003) of AST Investment Services, Inc.

 

Other Directorships held:(4) Vice President and Director (since May 1989) and Treasurer (since 1999) of The Asia Pacific Fund, Inc.

 

Information pertaining to the Officers of the Fund who are not also Trustees is set forth below.

 

Officers(2)

 

Kathryn L. Quirk (54), Chief Legal Officer since 2005(3)

Principal occupations (last 5 years): Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of Prudential Investments LLC and Prudential Mutual Fund Services LLC; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.

 

Deborah A. Docs (49), Secretary since 2005(3)

Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.

 

Jonathan D. Shain (49), Assistant Secretary since 2005(3)

Principal occupations (last 5 years): Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.

 

Dryden Index Series Fund/Dryden Stock Index Fund   57

 

Claudia DiGiacomo (32), Assistant Secretary since 2005(3)

Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).

 

Timothy J. Knierim (48), Chief Compliance Officer since 2007(3)

Principal occupations (last 5 years): Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).

 

Valerie M. Simpson (49), Deputy Chief Compliance Officer since 2007(3)

Principal occupations (last 5 years): Vice President and Senior Compliance Officer (since March 2006) of PI; Vice President-Financial Reporting (since March 2006) for Prudential Life and Annuities Finance.

 

Grace C. Torres (48), Treasurer and Principal Financial and Accounting Officer since 1997(3)

Principal occupations (last 5 years): Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.

 

John P. Schwartz (36), Assistant Secretary since 2006(3)

Principal occupations (last 5 years): Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley, Austin Brown & Wood LLP (1997-2005).

 

M. Sadiq Peshimam (43), Assistant Treasurer since 2006(3)

Principal occupations (last 5 years): Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration.

 

Peter Parella (49), Assistant Treasurer since 2007(3)

Principal occupations (last 5 years): Vice President (since June 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).

 

Andrew R. French (44), Assistant Secretary since 2006(3)

Principal occupations (last 5 years): Director and Corporate Counsel (since May 2006) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006).

 

Noreen M. Fierro (43), Anti-Money Laundering Compliance Officer since October 2006(3)

Principal occupations (last 5 years): Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group.

 

†

The Fund Complex consists of all investment companies managed by PI. The Funds for which PI serves as manager include Jennison Dryden Mutual Funds, Strategic Partners Funds, The Prudential Variable Contract Accounts 2, 10, 11. The Target Portfolio Trust, The Prudential Series Fund, The High Yield Income Fund, Inc., The High Yield Plus Fund, Inc., Nicholas-Applegate Fund, Inc., American Skandia Trust, and Prudential’s Gibraltar Fund, Inc.

 

(1)

“Interested” Trustees, as defined in the 1940 Act, by reason of employment with the Manager, a Subadvisor or the Distributor.

 

(2)

Unless otherwise noted, the address of the Trustees and Officers is c/o: Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, NJ 07102.

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(3)

There is no set term of office for Trustees and Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 75. The table shows the individual’s length of service as Trustee and/or Officer.

 

(4)

This includes only directorships of companies required to register, or file reports with the SEC under the Securities and Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

 

Additional Information about the Trustees is included in the Statement of Additional Information which is available without charge, upon request, by calling (800) 521-7466 or (732) 482-7555 (Calling from outside the U.S.)

Dryden Index Series Fund/Dryden Stock Index Fund   59

Approval of Advisory Agreements

 

 

The Board of Trustees (the “Board”) of Dryden Index Series Fund oversees the management of the Dryden Stock Index Fund (the “Fund”) and, as required by law, determines annually whether to renew the Fund’s management agreement with Prudential Investments LLC (“PI”) and the Fund’s subadvisory agreement with Quantitative Management Associates LLC (“QMA”). In considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 6-7, 2007 and approved the renewal of the agreements through July 31, 2008, after concluding that renewal of the agreements was in the best interests of the Fund and its shareholders.

 

In advance of the meetings, the Board received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with their consideration. Among other things, the Board considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups. The mutual funds included in each Peer Universe or Peer Group were objectively determined solely by Lipper Inc., an independent provider of mutual fund data. The comparisons placed the Fund in various quartiles over the one-, three- and five-year periods ending December 31, 2006, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

 

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of the Fund, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Fund and its shareholders. In their deliberations, the Trustees did not identify any single factor which alone was responsible for the Board’s decision to approve the agreements with respect to the Fund. In connection with their deliberations, the Board considered information provided by PI throughout the year at regular Board meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 6-7, 2007.

 

The Trustees determined that the overall arrangements between the Fund and PI, which serves as the Fund’s investment manager pursuant to a management agreement, and between PI and QMA, which serves as the Fund’s subadviser pursuant to the terms of a subadvisory agreement with PI, are fair and reasonable in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

Dryden Index Series Fund/Dryden Stock Index Fund  

Approval of Advisory Agreements (continued)

 

 

The material factors and conclusions that formed the basis for the Trustees’ reaching their determinations to approve the continuance of the agreements are separately discussed below.

 

Nature, Quality and Extent of Services

 

The Board received and considered information regarding the nature and extent of services provided to the Fund by PI and QMA. The Board considered the services provided by PI, including but not limited to the oversight of the subadviser for the Fund, as well as the provision of fund recordkeeping, compliance, and other services to the Fund. With respect to PI’s oversight of the subadviser, the Board noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Board also considered that PI pays the salaries of all of the officers and non-independent Trustees of the Fund. The Board also considered the investment subadvisory services provided by QMA, as well as adherence to the Fund’s investment restrictions and compliance with applicable Fund policies and procedures. The Board considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

 

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Fund and QMA, and also reviewed the qualifications, backgrounds and responsibilities of QMA’s portfolio managers who are responsible for the day-to-day management of the Fund’s portfolio. The Board was provided with information pertaining to PI’s and QMA’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and QMA. The Board also noted that it received favorable compliance reports from the Fund’s Chief Compliance Officer (“CCO”) as to both PI and QMA. The Board noted that QMA is affiliated with PI.

 

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Fund by QMA, and that there was a reasonable basis on which to conclude that the Fund benefits from the services provided by PI and QMA under the management and subadvisory agreements.

 

Performance of Dryden Stock Index Fund

 

The Board received and considered information about the Fund’s historical performance. The Board considered that the Fund’s gross performance in relation to its Peer Universe (the Lipper Retail and Institutional S&P 500 Index Funds

  Visit our website at www.jennisondryden.com

 

 

Performance Universe) was in the first quartile for all periods, though the Fund’s net performance (which reflects any subsidies, expense caps or waivers) was in the third quartile for all periods. The Board considered PI’s assertion that the Fund’s third quartile ranking for net performance reflected the higher levels of subsidies received by many of the funds included in the Peer Universe. The Board also considered that the Fund outperformed its benchmark index for all periods. The Board concluded that, in light of the Fund’s competitive performance against its benchmark index, it would be in the interest of the Fund and its shareholders for the Fund to renew the agreements.

 

Fees and Expenses

 

The Board considered that the Fund’s contractual management fee ranked in the Expense Group’s second quartile, though the Fund’s actual management fee (which reflects any subsidies, expense caps or waivers) ranked in the Expense Group’s fourth quartile. Although the Fund’s actual management fee ranked in the fourth quartile, the Board noted that the Fund’s actual management fee was only 3.9 basis points (0.039%) higher than the median fee for all funds included in the Expense Group. The Board also noted that although the Fund’s total expenses ranked in the Expense Group’s third quartile, the Fund’s total expenses were only 2.7 basis points (0.027%) above the median total expenses for all funds included in the Expense Group. The Board accepted PI’s recommendation to implement a waiver of a portion of the management fee such that the management fee rate paid by the Fund would be 0.08%. The Board concluded that the management and subadvisory fees are reasonable in light of the services provided.

 

Costs of Services and Profits Realized by PI

 

The Board was provided with information on the profitability of PI and its affiliates in serving as the Fund’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.

Dryden Index Series Fund/Dryden Stock Index Fund  

Approval of Advisory Agreements (continued)

 

 

Economies of Scale

 

The Board noted that the management fee schedule for the Fund includes breakpoints, which have the effect of decreasing the fee rate as assets increase, and that at its current level of assets the Fund’s effective fee rate reflected some of those rate reductions. The Board received and discussed information concerning whether PI realizes economies of scale as the Fund’s assets grow beyond current levels. The Board took note that the Fund’s fee structure currently results in benefits to Fund shareholders whether or not PI realizes any economies of scale.

 

Other Benefits to PI and QMA

 

The Board considered potential ancillary benefits that might be received by PI and QMA and their affiliates as a result of their relationship with the Fund. The Board concluded that potential benefits to be derived by PI included brokerage commissions received by affiliates of PI, transfer agency fees received by the Fund’s transfer agent (which is affiliated with PI), and benefits to the reputation as well as other intangible benefits resulting from PI’s association with the Fund. The Board concluded that the potential benefits to be derived by QMA included its ability to use soft dollar credits, brokerage commissions received by affiliates of QMA, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to the reputation. The Board concluded that the benefits derived by PI and QMA were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

 

After full consideration of these factors, the Board concluded that the approval of the agreements was in the interest of the Fund and its shareholders.

  Visit our website at www.jennisondryden.com

 

Growth of a $10,000 Investment

 

LOGO

 

Average Annual Total Returns (With Sales Charges) as of 9/30/07      
     One Year     Five Years     Ten Years     Since Inception

Class A

    12.04 %   14.02 %   N/A     1.62% (11/18/99)    

Class B

    9.96     13.80     N/A     1.28    (11/18/99)    

Class C

    13.92     13.92     N/A     1.28    (11/18/99)    

Class I

    16.23     15.18     6.38 %   —

Class Z

    16.11     15.08     6.28     —
        
Average Annual Total Returns (Without Sales Charges) as of 9/30/07      
     One Year     Five Years     Ten Years     Since Inception

Class A

    15.81 %   14.78 %   N/A     2.04% (11/18/99)    

Class B

    14.96     13.92     N/A     1.28    (11/18/99)    

Class C

    14.92     13.92     N/A     1.28    (11/18/99)    

Class I

    16.23     15.18     6.38 %   —

Class Z

    16.11     15.08     6.28     —

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at www.jennisondryden.com or by calling (800) 225-1852. The maximum initial sales charge is 3.25% (Class A shares). Gross operating expenses: Class A, 0.72%; Class B, 1.52%; Class C, 1.47%; Class I, 0.34%; Class Z, 0.42%. Net operating expenses apply to: Class A, 0.59%; Class B, 1.34%; Class C, 1.36%; Class I, 0.26%; Class Z, 0.34%, after contractual reduction through 1/31/2008 for Class A and after contractual reduction through 1/31/2009 for all classes.

  Visit our website at www.jennisondryden.com

 

Source: Prudential Investments LLC and Lipper Inc.

Inception date returns are provided for any share class with less than 10 calendar years of returns.

 

The graph compares a $10,000 investment in the Dryden Stock Index Fund (Class A shares) with a similar investment in the Standard & Poor’s 500 Composite Stock Price Index (S&P 500 Index) by portraying the initial account values at the commencement of operations for Class A shares (November 18, 1999) and the account values at the end of the current fiscal year (September 30, 2007) as measured on a quarterly basis. The S&P 500 Index data are measured from the closest month-end to inception date, and not from the Fund’s actual inception date. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) the maximum applicable front-end sales charge was deducted from the initial $10,000 investment in Class A shares; (b) all recurring fees (including management fees) were deducted; and (c) all dividends and distributions were reinvested. The line graph provides information for Class A shares only. As indicated in the tables provided earlier, performance for Class B, Class C, Class I, and Class Z shares will vary due to the differing charges and expenses applicable to each share class (as indicated in the following paragraphs). Without a distribution and service (12b-1) fee waiver of 0.05% and expense subsidization for Class A shares through September 30, 2007, the returns shown in the graph and for Class A shares in the tables would have been lower.

 

The S&P 500 Index is an unmanaged index of 500 stocks of large U.S. public companies. It gives a broad look at how stock prices have performed in the United States. The Index’s total returns include the reinvestment of all dividends, but do not include the effects of sales charges, operating expenses of a mutual fund, or taxes. The returns for the Index would be lower if they included the effects of sales charges, operating expenses, or taxes. The securities that comprise the Index may differ substantially from the securities in the Fund. This is not the only index that may be used to characterize performance of sector stock funds. Other indexes may portray different comparative performance. Investors cannot invest directly in an index.

 

Class A shares are subject to a maximum front-end sales charge of 3.25%, a 12b-1 fee of up to 0.30% annually, and all investors who purchase Class A shares in an amount of $1 million or more and sell these shares within 12 months of purchase are subject to a contingent deferred sales charge (CDSC) of 1%. Class B shares are subject to a declining CDSC of 5%, 4%, 3%, 2%, 1%, and 1%, respectively, for the first six years after purchase and a 12b-1 fee of 1% annually. Approximately seven years after purchase, Class B shares will automatically convert to Class A shares on a quarterly basis. Class C shares are not subject to a front-end sales charge, but charge a CDSC of 1% for Class C shares sold within 12 months from the date of purchase and an annual 12b-1 fee of 1%. Class I and Z shares are not subject to sales charges or 12b-1 fees. Without waiver of fees and/or expense subsidization, the Fund’s total returns would have been lower. The returns in the graph and tables reflect the share class expense structure in effect at the close of the fiscal period. The returns in the graph and the tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the redemption of Fund shares.

Dryden Index Series Fund/Dryden Stock Index Fund  

 

n MAIL   n TELEPHONE   n WEBSITE

Gateway Center Three

100 Mulberry Street

Newark, NJ 07102

   (800) 225-1852   www.jennisondryden.com

 

PROXY VOTING
The Board of Trustees of the Fund has delegated to the Fund’s investment subadviser the responsibility for voting any proxies and maintaining proxy recordkeeping with respect to the Fund. A description of these proxy voting policies and procedures is available without charge, upon request, by calling (800) 225-1852 or by visiting the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website and on the Commission’s website.

 

TRUSTEES
Linda W. Bynoe • David E.A. Carson • Robert F. Gunia • Robert E. La Blanc •
Douglas H. McCorkindale • Richard A. Redeker • Judy A. Rice • Robin B. Smith •
Stephen G. Stoneburn • Clay T. Whitehead

 

OFFICERS

Judy A. Rice, President • Robert F. Gunia, Vice President • Grace C. Torres, Treasurer and Principal Financial and Accounting Officer • Kathryn L. Quirk, Chief Legal Officer • Deborah A. Docs, Secretary • Timothy J. Knierim, Chief Compliance Officer • Valerie M. Simpson, Deputy Chief Compliance Officer • Noreen M. Fierro, Anti-Money Laundering Compliance Officer • Jonathan D. Shain, Assistant Secretary • Claudia DiGiacomo, Assistant Secretary • John P. Schwartz, Assistant Secretary • Andrew R. French, Assistant Secretary • M. Sadiq Peshimam, Assistant Treasurer • Peter Parrella, Assistant Treasurer

 

MANAGER   Prudential Investments LLC    Gateway Center Three

100 Mulberry Street
Newark, NJ 07102

INVESTMENT SUBADVISER   Quantitative Management

Associates LLC

    Gateway Center Two

100 Mulberry Street
Newark, NJ 07102

DISTRIBUTOR   Prudential Investment
Management Services LLC		    Gateway Center Three

100 Mulberry Street
Newark, NJ 07102

CUSTODIAN   The Bank of New York    One Wall Street
New York, NY 10286
TRANSFER AGENT   Prudential Mutual Fund
Services LLC		    PO Box 9658

Providence, RI 02940

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM   KPMG LLP    345 Park Avenue

New York, NY 10154

FUND COUNSEL   Willkie Farr & Gallagher LLP    787 Seventh Avenue

New York, NY 10019

 

An investor should consider the investment objectives, risks, charges, and expenses of the Fund carefully before investing. The prospectus for the Fund contains this and other information about the Fund. An investor may obtain a prospectus by visiting our website at www.jennisondryden.com or by calling (800) 225-1852. The prospectus should be read carefully before investing.

 

E-DELIVERY
To receive your mutual fund documents on-line, go to www.icsdelivery.com/prudential/funds and enroll. Instead of receiving printed documents by mail, you will receive notification via e-mail when new materials are available. You can cancel your enrollment or change your e-mail address at any time by clicking on the change/cancel enrollment option at the icsdelivery website address.

 

SHAREHOLDER COMMUNICATIONS WITH TRUSTEES
Shareholders can communicate directly with the Board of Trustees by writing to the Chair of the Board, Dryden Stock Index Fund, Prudential Investments, Attn: Board of Trustees, 100 Mulberry Street, Gateway Center Three, Newark, NJ 07102. Shareholders can communicate directly with an individual Trustee by writing to the same address. Communications are not screened before being delivered to the addressee.

 

AVAILABILITY OF PORTFOLIO SCHEDULE
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q under the Dryden Index Series Fund name. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation and location of the Public Reference Room may be obtained by calling (800) SEC-0330 (732-0330). The Fund’s schedule of portfolio holdings is also available on the Fund’s website as of the end of each fiscal quarter.

 

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge, upon request, by calling (800) 225-1852.

 

Mutual Funds:

ARE NOT INSURED BY THE FDIC OR ANY
FEDERAL GOVERNMENT AGENCY		   MAY LOSE VALUE   ARE NOT A DEPOSIT OF OR GUARANTEED
BY ANY BANK OR ANY BANK AFFILIATE

LOGO

 

 

 

Dryden Stock Index Fund                    
    Share Class   A   B   C   I   Z    
 

NASDAQ

   PSIAX   PBSIX   PSICX   PDSIX   PSIFX  
 

CUSIP

   262439102   262439201   262439300   262439409   262439508  
             

MF174E    IFS-A140914    Ed. 11/2007

 

LOGO

Item 2 – Code of Ethics – – See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 800-225-1852, and ask for a copy of the Section 406 Standards for Investment Companies—Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. David E. A. Carson, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

 

(a) Audit Fees

For the fiscal years ended September 30, 2007 and September 30, 2006 KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,859 and $16,700, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

 

(b) Audit-Related Fees

None.

 

(c) Tax Fees

None.

 

(d) All Other Fees

None.

 

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

 

  •  

a review of the nature of the professional services expected to be provided,

 

  •  

a review of the safeguards put into place by the accounting firm to safeguard independence, and

 

  •  

periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

 

  •  

Annual Fund financial statement audits

  •  

Seed audits (related to new product filings, as required)

 

  •  

SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

 

  •  

Accounting consultations

 

  •  

Fund merger support services

 

  •  

Agreed Upon Procedure Reports

 

  •  

Attestation Reports

 

  •  

Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

 

  •  

Tax compliance services related to the filing or amendment of the following:

 

  •  

Federal, state and local income tax compliance; and,

 

  •  

Sales and use tax compliance

 

  •  

Timely RIC qualification reviews

 

  •  

Tax distribution analysis and planning

 

  •  

Tax authority examination services

 

  •  

Tax appeals support services

 

  •  

Accounting methods studies

 

  •  

Fund merger support services

 

  •  

Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

 

  •  

Bookkeeping or other services related to the accounting records or financial statements of the Fund

 

  •  

Financial information systems design and implementation

 

  •  

Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

 

  •  

Actuarial services

 

  •  

Internal audit outsourcing services

 

  •  

Management functions or human resources

 

  •  

Broker or dealer, investment adviser, or investment banking services

 

  •  

Legal services and expert services unrelated to the audit

 

  •  

Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

 

(e) (2) Percentage of services referred to in 4(b)- (4)(d) that were approved by the audit committee –

Not applicable.

 

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

Not applicable.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2007 and 2006. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2007 and 2006 was $340,700 and $21,300, respectively.

 

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

 

  (a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

 

  (b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

 

  (a) (1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

 

        (2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

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.

 

(Registrant)

   Dryden Index Series Fund  

By (Signature and Title)*

  

/s/ Deborah A. Docs

  
  Deborah A. Docs  
  Secretary  

Date

   November 26, 2007  

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 (Signature and Title)*  

/s/ Judy A. Rice

    
  Judy A. Rice  
  President and Principal Executive Officer  
Date   November 26, 2007  
By (Signature and Title)*  

/s/ Grace C. Torres

  
  Grace C. Torres  
  Treasurer and Principal Financial Officer  
Date   November 26, 2007  
* Print the name and title of each signing officer under his or her signature.