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: 811-09259 Morgan Stanley Total Market Index Fund (Exact name of registrant as specified in charter) 1221 Avenue of the Americas, New York, New York 10020 (Address of principal executive offices) (Zip code) Ronald E. Robison 1221 Avenue of the Americas, New York, New York 10020 (Name and address of agent for service) Registrant's telephone number, including area code: 212-762-4000 Date of fiscal year end: July 31, 2004 Date of reporting period: July 31, 2004 Item 1 - Report to Shareholders
Welcome, Shareholder:
In this report, you'll learn about how your investment in Morgan Stanley Total Market Index Fund performed during the annual period. We will provide an overview of the market conditions, and discuss some of the factors that affected performance during the reporting period. In addition, this report includes the Fund's financial statements and a list of Fund investments.
This material must be preceded or accompanied by a prospectus for the fund being offered. Market forecasts provided in this report may not necessarily come to pass. There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that market values of securities owned by the Fund will decline and, therefore, the value of the Fund's shares may be less than what you paid for them. Accordingly, you can lose money investing in this Fund. |
Fund Report | |
For the year ended July 31, 2004 | |
Total Return for the 12-Month Period Ended July 31, 2004
Class A | Class B | Class C | Class D | Dow Jones Wilshire 5000 (Full Cap) Index1 | Lipper Multi-Cap Core Funds Index2 | |||||||||||||||||||||||||||
12.79% | 12.05 | % | 12.13 | % | 13.11 | % | 13.80 | % | 13.57 | % | ||||||||||||||||||||||
The performance of the Fund's four share classes varies because each has different expenses. The Fund's total return figures assume the reinvestment of all distributions but do not reflect the deduction of any applicable sales charges. Such costs would lower performance. Past performance is no guarantee of future results. See Performance Summary for standardized performance information. |
Market Conditions
The U.S. equity markets produced mixed results over the 12-month period ended July 31, 2004, rallying for the first six months of the fiscal year as a result of an improving economy and adjusting to inflation worries, then faltering in the second half in the face of renewed concerns about terrorism and a loss of investor confidence. Throughout the first half of this reporting period, consumer spending remained strong and investor confidence rose as corporate profits climbed in all sectors. While the early rally was supported by a federal tax cut and the Federal Reserve's ability to keep interest rates extremely low, by February an especially strong labor report became enough to revive concerns that the low interest rates would not be maintained for long. Then in March the equity markets faced more uncertainty as convictions for corporate wrongdoing and a terrorist attack in Madrid made news, oil prices rose and fears of inflation and an economic slowdown remained. Performance continued mixed at the end of the period as uncertainty over terrorism persisted and particularly disappointing job growth numbers were released in July.
Performance Analysis
Morgan Stanley Total Market Index Fund underperformed both the Dow Jones Wilshire 5000 (Full Cap) Composite Index and the Lipper Multi-Cap Core Funds Index. Most of the Fund's underperformance relative to the Dow Jones Wilshire 5000 Index can be attributed to the Fund's optimization process. Owning all 5,000 securities in the benchmark would be impractical; therefore, a statistical sampling process directs the fund manager's stock selection and portfolio construction.
Health care was the Fund's worst-performing sector, and several companies within this sector were some of the Fund's poorest-performing stocks. Namely, the worst were Amgen, Merck and Wyeth, as pharmaceutical stocks continued to suffer from concerns over drug pipelines and regulation issues. Viacom and Wal-Mart were two other securities whose performance hurt the Fund. Viacom saw a loss of revenue and profit concerns — particularly for its radio group — over the period, while Wal-Mart was hurt by weakening sales related to a drop in general consumer spending late in the period.
All of the Fund's ten sectors gained during the year under review, with several holdings making especially positive contributions to performance. Its holdings within the financial services sector strongly benefited the Fund, while its stocks in the industrials and energy sectors also made important gains. Increases in energy prices drove major gains for both Exxon and ChevronTexaco. GE, the largest holding in both the index and the Fund, was another strong gainer, as it recovered steadily from being undervalued at the
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beginning of the period. Qualcomm benefited significantly from a pickup in demand for cell phones, while Procter & Gamble was also able to make steady gains over the period, benefiting from the economic recovery.
TOP 10 HOLDINGS | ||||||
General Electric Co | 2.6 | % | ||||
Microsoft Corporation | 2.4 | |||||
Exxon Mobil Corporation | 2.3 | |||||
Pfizer, Inc | 1.9 | |||||
Citigroup Inc | 1.7 | |||||
Bank America Corp | 1.3 | |||||
American Intl Group | 1.3 | |||||
Johnson & Johnson | 1.3 | |||||
Intel Corp | 1.2 | |||||
Wal-Mart Stores Inc | 1.2 | |||||
TOP FIVE INDUSTRIES | ||||||
Pharmaceuticals: Major | 5.8 | % | ||||
Industrial Conglomerates | 4.1 | |||||
Major Banks | 3.7 | |||||
Integrated Oil | 3.6 | |||||
Packaged Software | 3.5 | |||||
Data as of July 31, 2004. Subject to change daily. All percentages for the top 10 holdings and the top five industries are as a percentage of net assets. Provided for informational purposes only and should not be deemed a recommendation to buy or sell the securities mentioned. Morgan Stanley is a full-service securities firm engaged in securities trading and brokerage activities, investment banking, research and analysis, financing and financial advisory services. |
Investment Strategy
The Dow Jones Wilshire 5000 Total Market Index consists of substantially all of the stocks which are actively traded in the United States (currently, approximately 5,000). The Index consists of large capitalization, mid capitalization and small capitalization stocks. Because the Index is market capitalization weighted, currently large capitalization stocks in the Index represent approximately two thirds of its value. The Index may include some foreign companies. The Fund will normally invest at least 80% of its assets in stocks included in the Index.
For More Information About Portfolio Holdings
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund's second and fourth fiscal quarters by filing the schedule electronically with the Securities and Exchange Commission (SEC). The semiannual reports are filed on Form N-CSRS and the annual reports are filed on Form N-CSR. Morgan Stanley also delivers the semiannual and annual reports to fund shareholders, and makes these reports available on its public web site, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public web site. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC's web site, http://www.sec.gov. You
3
may also review and copy them at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling the SEC at 1-800-SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC's e-mail address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102. You may obtain copies of a fund's fiscal quarter filings by contacting Morgan Stanley Client Relations at (800) 847-2424.
Proxy Voting Policies and Procedures
A description of (1) the Fund's policies and procedures with respect to the voting of proxies relating to the Fund's portfolio securities; and (2) how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended July 31 is available without charge, upon request, by calling (800) 869-NEWS or by visiting the Mutual Fund Center on our website at www.morganstanley.com. This information is also available on the Securities and Exchange Commission's website at http://www.sec.gov.
Annual Householding Notice
To reduce printing and mailing costs, the Fund attempts to eliminate duplicate mailings to the same address. The Fund delivers a single copy of certain shareholder documents including shareholder reports, prospectuses and proxy materials to investors with the same last name and who reside at the same address. Your participation in this program will continue for an unlimited period of time, unless you instruct us otherwise. You can request multiple copies of these documents by calling (800) 350-6414, 8:00 am to 8:00 pm, ET. Once our Customer Service Center has received your instructions, we will begin sending individual copies for each account within 30 days.
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5
Performance Summary | |
Performance of a $10,000 Investment
6
Average Annual Total Returns — Period Ended July 31, 2004
Class A Shares* (since 09/28/99) | Class B Shares** (since 09/28/99) | Class C Shares† (since 09/28/99) | Class D Shares†† (since 09/28/99) | |||||||||||||||||||||||
Symbol | TMIAX | TMIBX | TMICX | TMIDX | ||||||||||||||||||||||
1 Year | 12.79% | 3 | 12.05% | 3 | 12.13% | 3 | 13.11% | 3 | ||||||||||||||||||
6.87 | 4 | 7.05 | 4 | 11.13 | 4 | — | ||||||||||||||||||||
Since Inception | (1.16) | 3 | (1.90) | 3 | (1.89) | 3 | (0.91) | 3 | ||||||||||||||||||
(2.26) | 4 | (2.31) | 4 | (1.89) | 4 | — | ||||||||||||||||||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit morganstanley.com or speak with your financial advisor. Investment returns and principal value will fluctuate and fund shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance for Class A, Class B, Class C, and Class D share will vary due to differences in sales charges and expenses.
* | The maximum front-end sales charge for Class A is 5.25%. |
** | The maximum contingent deferred sales charge (CDSC) for Class B is 5.0%. The CDSC declines to 0% after six years. |
† | The maximum contingent deferred sales charge for Class C is 1% for shares redeemed within one year of purchase. |
†† | Class D has no sales charge. |
(1) | The Dow Jones Wilshire 5000 (Full Cap) Composite Index (formerly Wilshire 5000 Total Market Index) measures the performance of all U.S. headquartered equity securities and is the best measure of the entire U.S. stock market. Over 5,000 capitalization weighted security returns are used to adjust the Index. Indexes are unmanaged and their returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index. |
(2) | The Lipper Multi-Cap Core Funds Index is an equally weighted performance index of the largest qualifying funds (based on net assets) in the Lipper Multi-Cap Core Funds classification. The Index, which is adjusted for capital gains distributions and income dividends, is unmanaged and should not be considered an investment. There are currently 30 funds represented in this Index. |
(3) | Figure shown assumes reinvestment of all distributions and does not reflect the deduction of any sales charges. |
(4) | Figure shown assumes reinvestment of all distributions and the deduction of the maximum applicable sales charge. See the Fund's current prospectus for complete details on fees and sales charges. |
‡ | Ending value assuming a complete redemption on July 31, 2004. |
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Expense Example | |
As a shareholder of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. 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 at the beginning of the period and held for the entire period 02/01/04 – 07/31/04.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in 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 divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical expenses based on 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 cost 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. Therefore, the second line of the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds that have transactional costs, such as sales charges (loads), and redemption fees, or exchange fees.
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID DURING PERIOD* | ||||||||||||
02/01/04 | 07/31/04 | 02/01/04 – 07/31/04 | ||||||||||||
Class A | ||||||||||||||
Actual | $ | 1,000.00 | $ | 976.90 | $ | 3.44 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.38 | $ | 3.52 | ||||||||
Class B | ||||||||||||||
Actual | $ | 1,000.00 | $ | 974.20 | $ | 7.12 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,017.65 | $ | 7.27 | ||||||||
Class C | ||||||||||||||
Actual | $ | 1,000.00 | $ | 973.20 | $ | 7.11 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,017.65 | $ | 7.27 | ||||||||
Class D | ||||||||||||||
Actual | $ | 1,000.00 | $ | 978.10 | $ | 2.21 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.63 | $ | 2.26 | ||||||||
* | Expenses are equal to the Fund's annualized expense ratio of 0.70%, 1.45%, 1.45% and 0.45% respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
8
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks, Warrants and Rights (96.2%) | |||||||||||
Advertising/Marketing Services (0.3%) | |||||||||||
588 | Abitron Inc.* | $ | 20,245 | ||||||||
813 | ADVO, Inc. | 25,195 | |||||||||
1,225 | Catalina Marketing Corp.* | 24,463 | |||||||||
3,396 | DoubleClick Inc.* | 17,557 | |||||||||
8,397 | Gemstar-TV Guide International, Inc.* | 38,962 | |||||||||
1,099 | Getty Images, Inc.* | 60,027 | |||||||||
34 | Grey Global Group Inc. | 30,260 | |||||||||
1,066 | Harris Interactive Inc.* | 6,833 | |||||||||
1,753 | Harte-Hanks Inc. | 42,352 | |||||||||
1,015 | infoUSA, Inc.* | 9,125 | |||||||||
8,045 | Interpublic Group of Companies, Inc. (The)* | 102,896 | |||||||||
1,683 | Lamar Advertising Co. (Class A)* | 67,673 | |||||||||
636 | Nautilus Group, Inc. | 11,779 | |||||||||
659 | Netratings, Inc.* | 9,061 | |||||||||
3,681 | Omnicom Group, Inc. | 265,106 | |||||||||
787 | R.H. Donnelley Corp.* | 35,714 | |||||||||
1,086 | Valassis Communications, Inc.* | 31,755 | |||||||||
1,448 | ValueClick, Inc.* | 15,030 | |||||||||
814,033 | |||||||||||
Aerospace & Defense (1.2%) | |||||||||||
620 | AAR Corp.* | 6,448 | |||||||||
1,287 | Aeroflex Inc.* | 14,273 | |||||||||
748 | Alliant Techsystems, Inc.* | 47,094 | |||||||||
540 | Armor Holdings, Inc.* | 19,710 | |||||||||
614 | Aviall, Inc.* | 12,311 | |||||||||
15,134 | Boeing Co. | 768,050 | |||||||||
481 | Cubic Corp. | 9,740 | |||||||||
478 | Curtiss-Wright Corp. | 25,692 | |||||||||
473 | DRS Technologies, Inc.* | 16,896 | |||||||||
385 | EDO Corp. | 9,117 | |||||||||
526 | Engineered Support Systems, Inc. | 29,493 | |||||||||
250 | ESCO Technologies Inc.* | 13,162 | |||||||||
409 | Esterline Corp.* | 12,839 | |||||||||
764 | FLIR Systems, Inc.* | 48,613 | |||||||||
854 | GenCorp Inc. | 10,086 | |||||||||
3,831 | General Dynamics Corp. | 378,579 | |||||||||
2,279 | Goodrich Corp. | 73,680 | |||||||||
337 | InVision Techonologies, Inc.* | $ | 16,735 | ||||||||
1,892 | L-3 Communications Holdings, Inc. | 115,696 | |||||||||
7,181 | Lockheed Martin Corp. | 380,521 | |||||||||
413 | Mercury Computer Systems, Inc.* | 9,834 | |||||||||
382 | Moog Inc. (Class A)* | 13,893 | |||||||||
7,096 | Northrop Grumman Corp. | 373,250 | |||||||||
924 | Orbital Sciences Corp. | 10,580 | |||||||||
1,029 | Precision Castparts Corp.* | 57,964 | |||||||||
8,082 | Raytheon Co. | 271,151 | |||||||||
3,430 | Rockwell Collins, Inc. | 117,375 | |||||||||
204 | Sequa Corp. (Class A)* | 10,649 | |||||||||
628 | Teledyne Technologies Inc.* | 13,602 | |||||||||
1,578 | Titan Corp. (The)* | 18,889 | |||||||||
309 | Triumph Group, Inc.* | 10,191 | |||||||||
412 | United Defense Industries, Inc.* | 14,276 | |||||||||
2,930,389 | |||||||||||
Agricultural Commodities/Milling (0.1%) | |||||||||||
12,589 | Archer-Daniels-Midland Co. | 194,248 | |||||||||
1,935 | Bunge Ltd. | 77,652 | |||||||||
938 | Corn Products International, Inc. | 40,447 | |||||||||
1,066 | Delta & Pine Land Co. | 23,932 | |||||||||
336,279 | |||||||||||
Air Freight/Couriers (0.9%) | |||||||||||
1,636 | C.H. Robinson Worldwide, Inc. | 71,542 | |||||||||
963 | CNF Inc. | 39,733 | |||||||||
1,217 | EGL, Inc.* | 30,924 | |||||||||
2,034 | Expeditors International of Washington, Inc. | 94,398 | |||||||||
5,828 | FedEx Corp. | 477,197 | |||||||||
416 | Forward Air Corp.* | 16,519 | |||||||||
980 | Pacer International, Inc.* | 15,469 | |||||||||
21,273 | United Parcel Service, Inc. (Class B) | 1,530,805 | |||||||||
2,276,587 | |||||||||||
Airlines (0.2%) | |||||||||||
1,497 | AirTran Holdings, Inc.* | 16,692 | |||||||||
520 | Alaska Air Group, Inc.* | 10,832 | |||||||||
See Notes to Financial Statements
9
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
673 | America West Holdings Corp. (Class B)* | $ | 4,092 | ||||||||
3,203 | AMR Corp.* | 27,001 | |||||||||
885 | Atlantic Coast Airlines Holdings, Inc.* | 3,248 | |||||||||
1,498 | Continental Airlines, Inc. (Class B)* | 13,467 | |||||||||
2,634 | Delta Air Lines, Inc.* | 13,670 | |||||||||
1,367 | ExpressJet Holdings, Inc.* | 14,900 | |||||||||
678 | Frontier Airlines, Inc.* | 5,336 | |||||||||
1,992 | JetBlue Airways Corp.* | 47,430 | |||||||||
615 | Mesa Air Group, Inc.* | 3,838 | |||||||||
2,003 | Northwest Airlines Corp. (Class A)* | 17,286 | |||||||||
1,185 | SkyWest, Inc. | 16,744 | |||||||||
15,253 | Southwest Airlines Co. | 220,711 | |||||||||
415,247 | |||||||||||
Alternative Power Generation (0.0%) | |||||||||||
8,037 | Calpine Corp.* | 31,023 | |||||||||
1,190 | Plug Power Inc.* | 7,420 | |||||||||
38,443 | |||||||||||
Aluminum (0.2%) | |||||||||||
16,518 | Alcoa, Inc. | 529,072 | |||||||||
Apparel/Footwear (0.5%) | |||||||||||
348 | Brown Shoe Co., Inc. | 11,216 | |||||||||
3,309 | Cintas Corp. | 138,846 | |||||||||
3,540 | Coach, Inc.* | 151,477 | |||||||||
776 | Columbia Sportswear Co.* | 42,486 | |||||||||
843 | Guess ? Inc.* | 13,657 | |||||||||
2,448 | Jones Apparel Group, Inc. | 91,433 | |||||||||
640 | Kellwood Co. | 25,696 | |||||||||
383 | Kenneth Cole Productions, Inc. (Class A) | 12,290 | |||||||||
1,124 | K-Swiss, Inc. (Class A) | 20,232 | |||||||||
2,114 | Liz Claiborne, Inc. | 76,506 | |||||||||
5,085 | Nike, Inc. (Class B) | 369,730 | |||||||||
314 | Oxford Industries, Inc. | 12,425 | |||||||||
592 | Phillips-Van Heusen Corp. | 11,230 | |||||||||
1,189 | Polo Ralph Lauren Corp. | 39,189 | |||||||||
1,186 | Quiksilver, Inc.* | 25,570 | |||||||||
1,141 | Reebok International Ltd. | 38,862 | |||||||||
761 | Russell Corp. | 13,462 | |||||||||
770 | Stride Rite Corp. | $ | 8,008 | ||||||||
678 | Timberland Co. (Class A)* | 39,351 | |||||||||
2,094 | V.F. Corp. | 104,721 | |||||||||
907 | Wolverine World Wide, Inc. | 21,206 | |||||||||
1,267,593 | |||||||||||
Apparel/Footwear Retail (0.6%) | |||||||||||
2,026 | Abercrombie & Fitch Co. (Class A) | 74,719 | |||||||||
1,087 | Aeropostale* | 33,132 | |||||||||
1,510 | American Eagle Outfitters, Inc.* | 49,483 | |||||||||
1,414 | AnnTaylor Stores Corp.* | 37,952 | |||||||||
751 | bebe stores, inc.* | 14,592 | |||||||||
413 | Buckle (The), Inc. | 11,357 | |||||||||
912 | Burlington Coat Factory Warehouse Corp. | 16,544 | |||||||||
396 | Cato Corp. (The) (Class A) | 8,265 | |||||||||
2,208 | Charming Shoppes, Inc.* | 16,207 | |||||||||
1,726 | Chico's FAS, Inc.* | 72,268 | |||||||||
520 | Children's Place Retail Stores, Inc. (The)* | 10,660 | |||||||||
715 | Christopher & Banks Corp. | 11,705 | |||||||||
569 | Dress Barn, Inc.* | 9,531 | |||||||||
383 | Finish Line, Inc. (Class A)* | 10,904 | |||||||||
2,777 | Foot Locker, Inc. | 62,482 | |||||||||
13,192 | Gap, Inc. (The) | 299,458 | |||||||||
575 | Gymboree Corp. (The)* | 9,102 | |||||||||
946 | Hot Topic, Inc.* | 15,060 | |||||||||
8,781 | Limited Brands, Inc. | 179,484 | |||||||||
921 | Men's Wearhouse, Inc. (The)* | 24,397 | |||||||||
2,663 | Nordstrom, Inc. | 116,906 | |||||||||
1,368 | Pacific Sunwear of California, Inc.* | 27,907 | |||||||||
1,379 | Payless ShoeSource, Inc.* | 17,844 | |||||||||
2,945 | Ross Stores, Inc. | 68,177 | |||||||||
369 | Stage Stores, Inc.* | 13,085 | |||||||||
810 | Stein Mart, Inc.* | 14,693 | |||||||||
1,097 | Talbots, Inc. (The) | 33,788 | |||||||||
9,751 | TJX Companies, Inc. (The) | 228,856 | |||||||||
774 | Too, Inc.* | 11,595 | |||||||||
1,464 | Urban Outfitters, Inc.* | 43,539 | |||||||||
1,543,692 | |||||||||||
See Notes to Financial Statements
10
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Auto Parts: O.E.M. (0.4%) | |||||||||||
1,027 | American Axle & Manufacturing Holdings, Inc. | $ | 35,277 | ||||||||
1,327 | ArvinMeritor, Inc. | 26,367 | |||||||||
1,062 | BorgWarner, Inc. | 50,116 | |||||||||
1,627 | Collins & Aikman Corp.* | 8,281 | |||||||||
2,880 | Dana Corp. | 55,555 | |||||||||
10,856 | Delphi Corp. | 103,241 | |||||||||
2,932 | Eaton Corp. | 189,524 | |||||||||
1,486 | Gentex Corp. | 53,199 | |||||||||
3,496 | Johnson Controls, Inc. | 197,349 | |||||||||
1,311 | Lear Corp. | 72,275 | |||||||||
860 | Modine Manufacturing Co. | 25,508 | |||||||||
926 | Sauer-Danfoss, Inc. | 15,705 | |||||||||
770 | Superior Industries International, Inc. | 25,171 | |||||||||
3,098 | Visteon Corp. | 31,847 | |||||||||
889,415 | |||||||||||
Automotive Aftermarket (0.1%) | |||||||||||
513 | Bandag, Inc. | 22,905 | |||||||||
440 | Barnes Group, Inc. | 11,418 | |||||||||
729 | CLARCOR Inc. | 32,076 | |||||||||
1,431 | Cooper Tire & Rubber Co. | 33,557 | |||||||||
3,566 | Goodyear Tire & Rubber Co. (The)* | 39,048 | |||||||||
139,004 | |||||||||||
Beverages: Alcoholic (0.4%) | |||||||||||
15,787 | Anheuser-Busch Companies, Inc. | 819,345 | |||||||||
498 | Brown-Forman Corp. (Class B) | 23,162 | |||||||||
2,039 | Constellation Brands Inc. (Class A)* | 77,237 | |||||||||
749 | Coors (Adolph) Co. (Class B) | 51,501 | |||||||||
971,245 | |||||||||||
Beverages: Non-Alcoholic (0.9%) | |||||||||||
45,020 | Coca-Cola Co. (The) | 1,974,577 | |||||||||
4,984 | Coca-Cola Enterprises Inc. | 101,674 | |||||||||
3,202 | Pepsi Bottling Group, Inc. (The) | 89,176 | |||||||||
2,846 | PepsiAmericas, Inc. | 53,419 | |||||||||
2,218,846 | |||||||||||
Biotechnology (1.7%) | |||||||||||
1,999 | Abgenix, Inc.* | $ | 19,540 | ||||||||
618 | Adolor Corp.* | 6,582 | |||||||||
1,255 | Affymetrix, Inc.* | 33,898 | |||||||||
426 | Alexion Pharmaceuticals, Inc.* | 6,782 | |||||||||
1,735 | Alkermes, Inc.* | 18,721 | |||||||||
24,305 | Amgen Inc.* | 1,382,468 | |||||||||
1,940 | Amylin Pharmaceuticals, Inc.* | 39,964 | |||||||||
771 | Antigenics Inc.* | 5,844 | |||||||||
1,936 | Applera Corp. – Celera Genomics Group* | 22,729 | |||||||||
887 | ARIAD Pharmaceuticals, Inc.* | 4,896 | |||||||||
6,347 | Biogen Idec Inc.* | 380,820 | |||||||||
1,390 | BioMarin Pharmaceutical, Inc.* | 7,951 | |||||||||
1,679 | Bruker BioSciences Corp.* | 6,834 | |||||||||
1,574 | Celgene Corp.* | 83,941 | |||||||||
767 | Cell Genesys, Inc.* | 5,530 | |||||||||
1,078 | Cephalon, Inc.* | 54,461 | |||||||||
816 | Charles River Laboratories International, Inc.* | 36,777 | |||||||||
2,211 | Chiron Corp.* | 101,330 | |||||||||
563 | Ciphergen Biosystem, Inc.* | 2,308 | |||||||||
1,071 | Corixa Corp.* | 4,841 | |||||||||
778 | Cubist Pharmaceuticals, Inc.* | 8,076 | |||||||||
689 | CV Therapeutics, Inc.* | 9,226 | |||||||||
859 | Dendreon Corp.* | 7,911 | |||||||||
823 | Discovery Laboratories, Inc.* | 6,329 | |||||||||
834 | Diversa Corp.* | 7,481 | |||||||||
817 | Enzo Biochem, Inc.* | 11,144 | |||||||||
1,101 | Enzon Pharmaceuticals, Inc.* | 13,663 | |||||||||
1,389 | Exelixis, Inc.* | 11,001 | |||||||||
1,541 | Genencor International Inc.* | 25,334 | |||||||||
8,550 | Genentech, Inc.* | 416,214 | |||||||||
469 | Gen-Probe Inc.* | 17,550 | |||||||||
1,542 | Genta Inc.* | 2,652 | |||||||||
4,263 | Genzyme Corp.* | 218,607 | |||||||||
647 | Geron Corp.* | 4,173 | |||||||||
3,903 | Gilead Sciences, Inc.* | 252,290 | |||||||||
2,768 | Human Genome Sciences, Inc.* | 27,749 | |||||||||
1,309 | ICOS Corp.* | 31,495 | |||||||||
884 | ILEX Oncology, Inc.* | 22,268 | |||||||||
See Notes to Financial Statements
11
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,507 | ImClone Systems, Inc.* | $ | 88,792 | ||||||||
974 | Immunomedics, Inc.* | 3,896 | |||||||||
1,404 | Incyte Corp.* | 8,635 | |||||||||
713 | InterMune Inc.* | 8,549 | |||||||||
990 | Invitrogen Corp.* | 51,955 | |||||||||
1,222 | Lexicon Genetics Inc.* | 7,405 | |||||||||
1,321 | Ligand Pharmaceuticals Inc. (Class B)* | 18,243 | |||||||||
532 | Martek Biosciences Corp.* | 25,174 | |||||||||
677 | Maxygen Inc.* | 6,709 | |||||||||
1,513 | Medarex, Inc.* | 9,290 | |||||||||
1,047 | Medicines Company (The)* | 27,704 | |||||||||
4,796 | MedImmune, Inc.* | 110,500 | |||||||||
1,174 | MGI Pharma, Inc.* | 32,884 | |||||||||
5,778 | Millennium Pharmaceuticals, Inc.* | 64,251 | |||||||||
950 | Millipore Corp.* | 50,055 | |||||||||
527 | Myriad Genetics, Inc.* | 7,220 | |||||||||
899 | Nabi Biopharmaceuticals* | 10,383 | |||||||||
666 | Neurocrine Biosciences, Inc.* | 31,016 | |||||||||
862 | NPS Pharmaceuticals, Inc.* | 16,076 | |||||||||
569 | Onyx Pharmaceuticals, Inc.* | 19,420 | |||||||||
805 | OSI Pharmaceuticals Inc.* | 48,380 | |||||||||
1,816 | Protein Design Labs, Inc.* | 29,419 | |||||||||
1,018 | Regeneron Pharmaceuticals, Inc.* | 8,714 | |||||||||
864 | SciClone Pharmaceuticals, Inc.* | 3,637 | |||||||||
690 | SuperGen, Inc.* | 3,581 | |||||||||
948 | Tanox, Inc.* | 14,855 | |||||||||
795 | Techne Corp.* | 31,641 | |||||||||
700 | Telik, Inc.* | 13,832 | |||||||||
685 | Transkaryotic Therapies, Inc.* | 10,213 | |||||||||
456 | Trimeris, Inc.* | 5,230 | |||||||||
1,328 | Tularik Inc.* | 33,120 | |||||||||
1,739 | Vertex Pharmaceuticals Inc.* | 16,051 | |||||||||
1,051 | Vicuron Pharmaceuticals, Inc.* | 10,573 | |||||||||
1,595 | XOMA Ltd.* | 5,806 | |||||||||
1,051 | ZymoGenetics, Inc.* | 17,047 | |||||||||
4,169,636 | |||||||||||
Broadcasting (0.4%) | |||||||||||
430 | Citadel Broadcasting Corp.* | $ | 6,059 | ||||||||
11,927 | Clear Channel Communications, Inc. | 425,794 | |||||||||
966 | Cox Radio, Inc. (Class A)* | 16,741 | |||||||||
1,046 | Cumulus Media, Inc. (Class A)* | 15,355 | |||||||||
1,281 | Emmis Communications Corp. (Class A)* | 25,261 | |||||||||
995 | Entercom Communications Corp.* | 38,258 | |||||||||
1,723 | Entravision Communications Corp. (Class A)* | 12,182 | |||||||||
168 | Fisher Communications, Inc.* | 8,417 | |||||||||
855 | Gray Television, Inc. | 10,192 | |||||||||
1,002 | Hearst-Argyle Television, Inc. | 22,675 | |||||||||
544 | Liberty (Corp.) (The) | 23,882 | |||||||||
567 | Lin TV Corp. (Class A)* | 10,291 | |||||||||
2,142 | Radio One, Inc. (Class A)* | 33,094 | |||||||||
350 | Salem Communications Corp.* | 8,890 | |||||||||
1,191 | Sinclair Broadcast Group, Inc. (Class A) | 11,803 | |||||||||
20,843 | Sirius Satellite Radio Inc.* | 52,733 | |||||||||
721 | Spanish Broadcasting System, Inc. (Class A)* | 6,193 | |||||||||
6,265 | Univision Communications Inc. (Class A)* | 181,497 | |||||||||
1,937 | Westwood One, Inc.* | 46,101 | |||||||||
2,629 | XM Satellite Radio Holdings Inc. (Class A)* | 69,379 | |||||||||
1,024,797 | |||||||||||
Building Products (0.2%) | |||||||||||
4,233 | American Standard Companies, Inc.* | 160,388 | |||||||||
577 | Griffon Corp.* | 12,100 | |||||||||
1,468 | Lennox International Inc. | 25,866 | |||||||||
8,974 | Masco Corp. | 271,374 | |||||||||
632 | Simpson Manufacturing Co., Inc. | 35,398 | |||||||||
508 | Watsco, Inc. | 14,854 | |||||||||
954 | York International Corp. | 33,943 | |||||||||
553,923 | |||||||||||
See Notes to Financial Statements
12
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Cable/Satellite TV (0.9%) | |||||||||||
4,254 | Cablevision Systems New York Group (Class A)* | $ | 74,317 | ||||||||
5,974 | Charter Communications, Inc. (Class A)* | 18,460 | |||||||||
42,411 | Comcast Corp. (Class A)* | 1,162,061 | |||||||||
4,026 | Cox Communications, Inc. (Class A)* | 111,037 | |||||||||
12,885 | DIRECTV Group, Inc. (The)* | 208,866 | |||||||||
4,769 | EchoStar Communications Corp. (Class A)* | 132,197 | |||||||||
1,229 | Insight Communications Co., Inc.* | 10,815 | |||||||||
52,365 | Liberty Media Corp. (Class A)* | 444,055 | |||||||||
2,618 | Liberty Media International, Inc.* | 81,629 | |||||||||
524 | Liberty Media International, Inc. (Rights) (expire 08/23/04)* | 3,149 | |||||||||
2,167 | Mediacom Communications Corp.* | 14,237 | |||||||||
2,055 | UnitedGlobalCom, Inc. (Class A)* | 13,029 | |||||||||
2,273,852 | |||||||||||
Casino/Gaming (0.3%) | |||||||||||
1,124 | Alliance Gaming Corp.* | 15,995 | |||||||||
517 | Ameristar Casinos, Inc. | 13,897 | |||||||||
661 | Argosy Gaming Co.* | 21,568 | |||||||||
789 | Aztar Corp.* | 19,149 | |||||||||
1,194 | Boyd Gaming Corp. | 31,390 | |||||||||
5,818 | Caesars Enertainment, Inc.* | 85,699 | |||||||||
258 | Churchill Downs Inc. | 9,941 | |||||||||
1,142 | GTECH Holdings Corp. | 48,387 | |||||||||
2,140 | Harrah's Entertainment, Inc. | 99,489 | |||||||||
6,708 | International Game Technology | 216,937 | |||||||||
571 | Isle of Capri Casinos, Inc.* | 9,233 | |||||||||
1,191 | Mandalay Resort Group | 80,392 | |||||||||
1,219 | MGM Mirage* | 53,819 | |||||||||
512 | Multimedia Games, Inc.* | 9,692 | |||||||||
783 | Penn National Gaming, Inc.* | 28,188 | |||||||||
487 | Shuffle Master, Inc.* | 15,579 | |||||||||
1,102 | Station Casinos, Inc. | $ | 47,606 | ||||||||
676 | Wynn Resorts, Ltd.* | 24,187 | |||||||||
831,148 | |||||||||||
Catalog/Specialty Distribution (0.0%) | |||||||||||
902 | Insight Enterprises, Inc.* | 14,468 | |||||||||
701 | Valuevision Media Inc. (Class A)* | 8,104 | |||||||||
22,572 | |||||||||||
Chemicals: Agricultural (0.1%) | |||||||||||
2,422 | IMC Global Inc. | 33,060 | |||||||||
5,196 | Monsanto Co. | 188,407 | |||||||||
625 | Scotts Company (The) (Class A)* | 38,125 | |||||||||
259,592 | |||||||||||
Chemicals: Major Diversified (0.8%) | |||||||||||
1,316 | Cabot Corp. | 50,113 | |||||||||
17,867 | Dow Chemical Co. (The) | 712,715 | |||||||||
18,801 | Du Pont (E.I.) de Nemours & Co. | 805,999 | |||||||||
1,496 | Eastman Chemical Co. | 66,841 | |||||||||
2,431 | Engelhard Corp. | 71,471 | |||||||||
2,434 | Hercules Inc.* | 28,746 | |||||||||
2,917 | Rohm & Haas Co. | 114,346 | |||||||||
1,850,231 | |||||||||||
Chemicals: Specialty (0.4%) | |||||||||||
4,403 | Air Products & Chemicals, Inc. | 227,855 | |||||||||
1,432 | Airgas, Inc. | 31,146 | |||||||||
1,081 | Albemarle Corp. | 33,295 | |||||||||
439 | Arch Chemicals, Inc. | 12,503 | |||||||||
669 | Cambrex Corp. | 14,751 | |||||||||
2,198 | Crompton Corp. | 13,122 | |||||||||
841 | Cytec Industries, Inc. | 39,191 | |||||||||
662 | FMC Corp.* | 29,095 | |||||||||
689 | Georgia Gulf Corp. | 24,494 | |||||||||
1,089 | Great Lakes Chemical Corp. | 26,114 | |||||||||
681 | Kronos Worldwide, Inc. | 21,145 | |||||||||
999 | Lubrizol Corp. (The) | 34,595 | |||||||||
3,644 | Lyondell Chemical Co. | 66,248 | |||||||||
1,455 | Millennium Chemicals Inc. | 25,681 | |||||||||
See Notes to Financial Statements
13
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,328 | NL Industries, Inc. | $ | 17,344 | ||||||||
554 | OM Group, Inc.* | 17,739 | |||||||||
1,784 | Polyone Corp.* | 12,898 | |||||||||
6,341 | Praxair, Inc. | 250,152 | |||||||||
576 | Schulman (A.), Inc. | 11,992 | |||||||||
1,125 | Sensient Technologies Corp. | 23,220 | |||||||||
1,343 | Sigma-Aldrich Corp. | 77,142 | |||||||||
2,209 | Valhi, Inc. | 25,470 | |||||||||
1,035,192 | |||||||||||
Coal (0.1%) | |||||||||||
1,020 | Arch Coal, Inc. | 34,445 | |||||||||
1,635 | CONSOL Energy, Inc. | 58,598 | |||||||||
1,460 | Massey Energy Co. | 40,369 | |||||||||
1,051 | Peabody Energy Corp. | 59,045 | |||||||||
192,457 | |||||||||||
Commercial Printing/Forms (0.1%) | |||||||||||
567 | Banta Corp. | 22,516 | |||||||||
659 | Bowne & Co., Inc. | 9,813 | |||||||||
979 | Deluxe Corp. | 43,125 | |||||||||
2,202 | Donnelley (R.R.) & Sons Co. | 69,891 | |||||||||
583 | Harland (John H.) Co. | 16,505 | |||||||||
552 | Standard Register Co. | 6,050 | |||||||||
167,900 | |||||||||||
Computer Communications (1.3%) | |||||||||||
7,227 | 3Com Corp.* | 35,629 | |||||||||
3,081 | Adaptec, Inc.* | 23,077 | |||||||||
8,135 | Avaya Inc.* | 119,178 | |||||||||
909 | Avocent Corp.* | 27,215 | |||||||||
4,992 | Brocade Communications Systems, Inc.* | 24,061 | |||||||||
129,493 | Cisco Systems, Inc.* | 2,701,224 | |||||||||
1,213 | Echelon Corp.* | 9,037 | |||||||||
1,605 | Emulex Corp.* | 17,318 | |||||||||
4,875 | Enterasys Networks, Inc.* | 8,190 | |||||||||
2,962 | Extreme Networks, Inc.* | 16,054 | |||||||||
526 | F5 Networks, Inc.* | 13,776 | |||||||||
901 | FalconStor Software, Inc.* | 5,595 | |||||||||
4,152 | Finisar Corp.* | 6,290 | |||||||||
2,528 | Foundry Networks, Inc.* | 25,937 | |||||||||
1,139 | Ixia* | 8,884 | |||||||||
7,542 | Juniper Networks, Inc.* | 173,164 | |||||||||
2,550 | McDATA Corp. (Class A)* | 13,132 | |||||||||
2,040 | MRV Communications, Inc.* | $ | 6,151 | ||||||||
552 | NETGEAR, Inc. | 6,298 | |||||||||
3,240,210 | |||||||||||
Computer Peripherals (0.5%) | |||||||||||
1,736 | Advanced Digital Information Corp.* | 15,485 | |||||||||
595 | Avid Technology, Inc.* | 27,810 | |||||||||
809 | Dot Hill Systems Corp.* | 6,715 | |||||||||
1,020 | Electronics for Imaging, Inc.* | 20,471 | |||||||||
45,197 | EMC Corp.* | 495,811 | |||||||||
750 | Imation Corp. | 24,862 | |||||||||
2,489 | Lexmark International, Inc.* | 220,276 | |||||||||
4,757 | Maxtor Corp.* | 22,263 | |||||||||
6,685 | Network Appliance, Inc.* | 129,087 | |||||||||
1,564 | Pinnacle Systems, Inc.* | 6,178 | |||||||||
3,304 | Quantum Corp. - DLT & Storage Systems* | 8,062 | |||||||||
257 | SafeNet, Inc.* | 7,468 | |||||||||
1,927 | ScanSoft, Inc.* | 7,862 | |||||||||
1,415 | Seagate Technology (ADR) (Cayman Islands)* | 16,230 | |||||||||
417 | Sonic Solutions* | 7,339 | |||||||||
2,143 | Storage Technology Corp.* | 53,468 | |||||||||
3,970 | Western Digital Corp.* | 27,830 | |||||||||
916 | Zebra Technologies Corp. (Class A)* | 75,689 | |||||||||
1,172,906 | |||||||||||
Computer Processing Hardware (1.4%) | |||||||||||
7,024 | Apple Computer, Inc.* | 227,156 | |||||||||
1,353 | Cray, Inc.* | 4,316 | |||||||||
44,827 | Dell Inc.* | 1,590,014 | |||||||||
6,968 | Gateway, Inc.* | 31,356 | |||||||||
55,084 | Hewlett-Packard Co. | 1,109,943 | |||||||||
1,833 | NCR Corp.* | 85,106 | |||||||||
619 | PalmOne, Inc.* | 24,896 | |||||||||
63,297 | Sun Microsystems, Inc.* | 250,023 | |||||||||
3,322,810 | |||||||||||
Construction Materials (0.1%) | |||||||||||
553 | AMCOL International Corp. | 11,115 | |||||||||
597 | Eagle Materials Inc. | 39,390 | |||||||||
381 | ElkCorp. | 8,317 | |||||||||
924 | Florida Rock Industries, Inc. | 39,667 | |||||||||
See Notes to Financial Statements
14
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,340 | Lafarge Corp. | $ | 56,133 | ||||||||
948 | Martin Marietta Materials, Inc. | 41,475 | |||||||||
412 | Texas Industries, Inc. | 17,646 | |||||||||
392 | Trex Co., Inc.* | 17,483 | |||||||||
841 | USG Corp.* | 14,499 | |||||||||
2,003 | Vulcan Materials Co. | 95,383 | |||||||||
341,108 | |||||||||||
Consumer Sundries (0.1%) | |||||||||||
1,388 | American Greetings Corp. (Class A)* | 32,368 | |||||||||
1,119 | Blyth Industries, Inc. | 38,964 | |||||||||
1,507 | Oakley, Inc. | 16,276 | |||||||||
485 | Sola International, Inc.* | 7,886 | |||||||||
1,156 | Yankee Candle Co., Inc. (The)* | 33,547 | |||||||||
129,041 | |||||||||||
Containers/Packaging (0.3%) | |||||||||||
920 | Aptargroup, Inc. | 38,925 | |||||||||
1,132 | Ball Corp. | 81,708 | |||||||||
2,058 | Bemis Company, Inc. | 54,496 | |||||||||
543 | Caraustar Industries, Inc.* | 7,575 | |||||||||
3,279 | Crown Holdings, Inc.* | 33,249 | |||||||||
435 | Greif Bros. Corp. (Class A) | 16,165 | |||||||||
586 | Myers Industries, Inc. | 7,677 | |||||||||
3,046 | Owens-Illinois, Inc.* | 44,776 | |||||||||
2,043 | Packaging Corp. of America | 47,724 | |||||||||
3,047 | Pactiv Corp.* | 71,848 | |||||||||
681 | Rock-Tenn Co. (Class A) | 9,650 | |||||||||
1,647 | Sealed Air Corp.* | 78,134 | |||||||||
356 | Silgan Holdings, Inc. | 17,127 | |||||||||
4,793 | Smurfit-Stone Container Corp.* | 89,198 | |||||||||
1,891 | Sonoco Products Co. | 48,996 | |||||||||
1,057 | Temple-Inland, Inc. | 72,140 | |||||||||
719,388 | |||||||||||
Contract Drilling (0.4%) | |||||||||||
2,525 | Diamond Offshore Drilling, Inc. | 61,711 | |||||||||
2,904 | ENSCO International Inc. | 87,439 | |||||||||
4,523 | GlobalSantaFe Corp. (Cayman Islands) | 123,930 | |||||||||
3,712 | Grey Wolf, Inc.* | 16,667 | |||||||||
1,185 | Helmerich & Payne, Inc. | 30,004 | |||||||||
2,910 | Nabors Industries, Ltd. (Bermuda)* | $ | 135,315 | ||||||||
2,592 | Noble Corp.* | 100,362 | |||||||||
3,326 | Patterson-UTI Energy, Inc. | 60,633 | |||||||||
2,628 | Pride International, Inc.* | 47,304 | |||||||||
1,823 | Rowan Companies, Inc.* | 44,518 | |||||||||
6,198 | Transocean Inc. (Cayman Islands)* | 176,023 | |||||||||
883,906 | |||||||||||
Data Processing Services (1.0%) | |||||||||||
1,617 | Acxiom Corp. | 35,574 | |||||||||
2,543 | Affiliated Computer Services, Inc. (Class A)* | 131,982 | |||||||||
11,518 | Automatic Data Processing, Inc. | 483,526 | |||||||||
2,405 | BISYS Group, Inc. (The)* | 32,828 | |||||||||
3,048 | Ceridian Corp.* | 54,864 | |||||||||
1,256 | Certergy Inc. | 47,615 | |||||||||
1,684 | CheckFree Corp.* | 50,587 | |||||||||
3,629 | Computer Sciences Corp.* | 171,470 | |||||||||
2,787 | Convergys Corp.* | 36,900 | |||||||||
1,134 | CSG Systems International, Inc.* | 18,598 | |||||||||
1,617 | DST Systems, Inc.* | 73,671 | |||||||||
914 | eFunds Corp.* | 14,953 | |||||||||
16,722 | First Data Corp. | 745,968 | |||||||||
3,738 | Fiserv, Inc.* | 128,064 | |||||||||
696 | Global Payments Inc. | 31,772 | |||||||||
566 | Hewitt Associates, Inc.* | 15,112 | |||||||||
319 | iPayment Holdings, Inc.* | 12,364 | |||||||||
1,026 | National Processing, Inc.* | 26,963 | |||||||||
7,305 | Paychex, Inc. | 224,337 | |||||||||
5,636 | SunGard Data Systems Inc.* | 131,375 | |||||||||
3,814 | Total System Services, Inc. | 86,730 | |||||||||
792 | Tyler Technologies, Inc.* | 7,286 | |||||||||
2,562,539 | |||||||||||
Department Stores (0.5%) | |||||||||||
1,683 | Dillard's, Inc. (Class A) | 38,356 | |||||||||
3,503 | Federated Department Stores, Inc. | 167,864 | |||||||||
6,670 | Kohl's Corp.* | 305,219 | |||||||||
5,592 | May Department Stores Co. | 148,356 | |||||||||
See Notes to Financial Statements
15
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
948 | Neiman Marcus Group, Inc. (The) (Class A) | $ | 51,713 | ||||||||
5,405 | Penney (J.C.) Co., Inc. | 216,200 | |||||||||
2,657 | Saks, Inc. | 34,674 | |||||||||
4,200 | Sears, Roebuck & Co. | 154,056 | |||||||||
1,116,438 | |||||||||||
Discount Stores (1.8%) | |||||||||||
1,394 | 99 Cents Only Stores* | 19,976 | |||||||||
2,369 | Big Lots, Inc.* | 28,997 | |||||||||
1,457 | BJ's Wholesale Club, Inc.* | 33,963 | |||||||||
8,869 | Costco Wholesale Corp. | 360,614 | |||||||||
6,530 | Dollar General Corp. | 126,029 | |||||||||
2,262 | Dollar Tree Stores, Inc.* | 60,870 | |||||||||
3,382 | Family Dollar Stores, Inc. | 94,223 | |||||||||
628 | Fred's, Inc. (Class A) | 11,335 | |||||||||
568 | ShopKo Stores, Inc.* | 8,832 | |||||||||
17,660 | Target Corp. | 769,976 | |||||||||
53,244 | Wal-Mart Stores, Inc. | 2,822,464 | |||||||||
4,337,279 | |||||||||||
Drugstore Chains (0.5%) | |||||||||||
7,698 | CVS Corp. | 322,315 | |||||||||
991 | Longs Drug Stores Corp. | 20,811 | |||||||||
10,421 | Rite Aid Corp.* | 51,167 | |||||||||
19,864 | Walgreen Co. | 723,050 | |||||||||
1,117,343 | |||||||||||
Electric Utilities (2.5%) | |||||||||||
12,099 | AES Corp. (The)* | 116,755 | |||||||||
2,648 | Allegheny Energy, Inc.* | 39,296 | |||||||||
2,014 | Alliant Energy, Inc. | 52,183 | |||||||||
3,159 | Ameren Corp. | 141,176 | |||||||||
7,685 | American Electric Power Co., Inc. | 239,080 | |||||||||
3,762 | Aquila, Inc.* | 12,339 | |||||||||
1,235 | Avista Corp. | 21,551 | |||||||||
761 | Black Hills Corp. | 21,019 | |||||||||
5,931 | CenterPoint Energy, Inc. | 68,859 | |||||||||
3,474 | Cinergy Corp. | 132,880 | |||||||||
1,129 | Cleco Corp. | 19,475 | |||||||||
3,007 | CMS Energy Corp.* | 27,153 | |||||||||
308 | CN Energy Group, Inc. | 13,552 | |||||||||
4,368 | Consolidated Edison, Inc. | 178,957 | |||||||||
3,241 | Constellation Energy Group, Inc. | 124,941 | |||||||||
6,286 | Dominion Resources, Inc. | $ | 398,910 | ||||||||
2,451 | DPL, Inc. | 48,897 | |||||||||
3,273 | DTE Energy Co. | 131,476 | |||||||||
17,434 | Duke Energy Corp. | 374,831 | |||||||||
1,742 | Duquesne Light Holdings Co. | 33,046 | |||||||||
6,313 | Edison International | 169,188 | |||||||||
1,339 | El Paso Electric Co.* | 20,152 | |||||||||
445 | Empire District Electric Co. (The) | 8,860 | |||||||||
2,846 | Energy East Corp. | 69,329 | |||||||||
4,451 | Entergy Corp. | 255,932 | |||||||||
12,724 | Exelon Corp. | 444,068 | |||||||||
6,223 | FirstEnergy Corp. | 243,319 | |||||||||
3,585 | FPL Group, Inc. | 241,378 | |||||||||
1,346 | Great Plains Energy Inc. | 38,617 | |||||||||
1,462 | Hawaiian Electric Industries, Inc. | 37,325 | |||||||||
1,078 | IDACORP, Inc. | 29,645 | |||||||||
669 | MGE Energy Inc. | 21,094 | |||||||||
2,608 | Northeast Utilities | 48,770 | |||||||||
1,035 | NSTAR | 48,438 | |||||||||
1,665 | OGE Energy Corp. | 41,442 | |||||||||
819 | Otter Tail Power Co. | 20,344 | |||||||||
3,321 | Pepco Holdings, Inc. | 59,778 | |||||||||
8,036 | PG&E Corp.* | 229,347 | |||||||||
1,769 | Pinnacle West Capital Corp. | 71,644 | |||||||||
1,696 | PNM Resources Inc.* | 35,345 | |||||||||
3,436 | PPL Corp. | 159,259 | |||||||||
4,753 | Progress Energy, Inc. | 200,291 | |||||||||
4,419 | Public Service Enterprise Group, Inc. | 172,341 | |||||||||
1,826 | Puget Energy, Inc. | 39,442 | |||||||||
5,973 | Reliant Energy, Inc.* | 59,013 | |||||||||
2,166 | SCANA Corp. | 79,319 | |||||||||
2,379 | Sierra Pacific Resources* | 19,555 | |||||||||
14,187 | Southern Co. (The) | 415,395 | |||||||||
3,878 | TECO Energy, Inc. | 50,026 | |||||||||
6,276 | TXU Corp. | 248,906 | |||||||||
458 | UIL Holdings Corp. | 21,059 | |||||||||
655 | UniSource Energy Corp. | 16,172 | |||||||||
1,559 | Westar Energy, Inc. | 31,445 | |||||||||
2,287 | Wisconsin Energy Corp. | 73,527 | |||||||||
634 | WPS Resources Corp. | 29,094 | |||||||||
7,728 | Xcel Energy, Inc. | 132,149 | |||||||||
6,077,384 | |||||||||||
See Notes to Financial Statements
16
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Electrical Products (0.4%) | |||||||||||
932 | Acuity Brands, Inc. | $ | 22,228 | ||||||||
3,847 | American Power Conversion Corp. | 58,090 | |||||||||
1,231 | Baldor Electric Co. | 28,165 | |||||||||
933 | Belden CDT Inc. | 18,147 | |||||||||
499 | C&D Technologies, Inc. | 7,834 | |||||||||
1,809 | Cooper Industries Ltd. (Class A) (Bermuda)* | 102,878 | |||||||||
8,153 | Emerson Electric Co. | 494,887 | |||||||||
1,638 | Energizer Holdings, Inc.* | 62,408 | |||||||||
536 | Franklin Electric Co., Inc. | 20,304 | |||||||||
263 | Genlyte Group Inc. (The)* | 16,385 | |||||||||
1,160 | Hubbell, Inc. (Class B) | 52,432 | |||||||||
426 | Littelfuse, Inc.* | 16,529 | |||||||||
3,718 | Molex Inc. | 107,673 | |||||||||
1,998 | Power-One, Inc.* | 17,522 | |||||||||
634 | Rayovac Corp.* | 16,947 | |||||||||
1,141 | Thomas & Betts Corp. | 30,008 | |||||||||
336 | Thomas Industries, Inc. | 10,416 | |||||||||
366 | Wilson Greatbatch Technologies, Inc.* | 8,015 | |||||||||
1,090,868 | |||||||||||
Electronic Components (0.3%) | |||||||||||
1,664 | Amphenol Corp. (Class A)* | 52,300 | |||||||||
3,390 | AVX Corp. | 42,273 | |||||||||
724 | Benchmark Electronics, Inc.* | 20,692 | |||||||||
1,728 | Cree, Inc.* | 38,673 | |||||||||
675 | CTS Corp. | 7,742 | |||||||||
646 | Hutchinson Technology Inc.* | 14,386 | |||||||||
323 | Intermagnetics General Corp.* | 12,423 | |||||||||
3,882 | Jabil Circuit, Inc.* | 84,433 | |||||||||
1,686 | Kemet Corp.* | 17,012 | |||||||||
1,357 | Kopin Corp.* | 5,197 | |||||||||
3,937 | MEMC Electronic Materials, Inc.* | 35,787 | |||||||||
696 | Methode Electronics, Inc. | 9,069 | |||||||||
1,020 | OmniVision Technologies, Inc.* | 12,016 | |||||||||
386 | Park Electrochemical Corp. | 8,870 | |||||||||
830 | Plexus Corp.* | 9,304 | |||||||||
1,830 | QLogic Corp.* | 44,743 | |||||||||
3,152 | SanDisk Corp.* | 76,657 | |||||||||
9,960 | Sanmina-SCI Corp.* | 73,106 | |||||||||
16,198 | Solectron Corp.* | $ | 89,089 | ||||||||
1,264 | Superconductor Technologies Inc.* | 1,264 | |||||||||
1,228 | Technitrol, Inc.* | 22,718 | |||||||||
783 | TTM Technologies, Inc.* | 8,989 | |||||||||
816 | Vicor Corp.* | 10,934 | |||||||||
3,109 | Vishay Intertechnology, Inc.* | 48,189 | |||||||||
745,866 | |||||||||||
Electronic Distributors (0.1%) | |||||||||||
707 | Anixter International, Inc. | 23,670 | |||||||||
1,968 | Arrow Electronics, Inc.* | 46,563 | |||||||||
2,333 | Avnet, Inc.* | 45,307 | |||||||||
1,615 | CDW Corp. | 103,844 | |||||||||
2,936 | Ingram Micro Inc. (Class A)* | 41,838 | |||||||||
2,328 | Safeguard Scientifics, Inc.* | 4,423 | |||||||||
239 | ScanSource, Inc.* | 14,005 | |||||||||
1,101 | Tech Data Corp.* | 41,243 | |||||||||
320,893 | |||||||||||
Electronic Equipment/Instruments (0.5%) | |||||||||||
9,213 | Agilent Technologies, Inc.* | 219,362 | |||||||||
640 | Checkpoint Systems, Inc.* | 11,014 | |||||||||
888 | Coherent, Inc.* | 23,368 | |||||||||
1,407 | Diebold, Inc. | 64,863 | |||||||||
267 | Digital Theater Systems Inc.* | 6,181 | |||||||||
688 | Dionex Corp.* | 32,467 | |||||||||
1,680 | Identix Inc.* | 9,055 | |||||||||
400 | Itron, Inc.* | 7,636 | |||||||||
27,803 | JDS Uniphase Corp.* | 95,920 | |||||||||
676 | Kronos, Inc.* | 29,690 | |||||||||
1,479 | Lexar Media, Inc.* | 7,972 | |||||||||
1,510 | National Instruments Corp. | 43,865 | |||||||||
1,105 | Newport Corp.* | 15,846 | |||||||||
762 | Paxar Corp.* | 14,691 | |||||||||
3,635 | Rockwell Automation, Inc. | 135,985 | |||||||||
2,942 | Scientific-Atlanta, Inc. | 90,466 | |||||||||
525 | SeaChange International, Inc.* | 7,712 | |||||||||
4,467 | Symbol Technologies, Inc. | 58,473 | |||||||||
1,657 | Tektronix, Inc. | 50,373 | |||||||||
3,168 | Thermo Electron Corp.* | 81,481 | |||||||||
1,165 | Unova, Inc.* | 19,700 | |||||||||
905 | Varian, Inc.* | 34,299 | |||||||||
15,439 | Xerox Corp.* | 213,985 | |||||||||
1,274,404 | |||||||||||
See Notes to Financial Statements
17
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Electronic Production Equipment (0.6%) | |||||||||||
630 | Advanced Energy Industries, Inc.* | $ | 6,212 | ||||||||
3,564 | Amkor Technology, Inc.* | 14,434 | |||||||||
32,358 | Applied Materials, Inc.* | 549,115 | |||||||||
428 | Artisan Components, Inc.* | 10,413 | |||||||||
766 | Asyst Technologies, Inc.* | 4,435 | |||||||||
1,170 | ATMI, Inc.* | 23,821 | |||||||||
1,931 | Axcelis Technologies, Inc.* | 18,016 | |||||||||
724 | Brooks Automation Inc.* | 10,433 | |||||||||
5,097 | Cadence Design Systems, Inc.* | 68,657 | |||||||||
2,247 | Chippac Inc. (Class A)* | 11,190 | |||||||||
1,155 | Cognex Corp. | 34,742 | |||||||||
414 | Cohu, Inc. | 7,839 | |||||||||
1,232 | Credence Systems Corp.* | 11,039 | |||||||||
699 | Cymer, Inc.* | 20,019 | |||||||||
353 | DuPont Photomasks, Inc.* | 5,768 | |||||||||
544 | Electro Scientific Industries, Inc.* | 14,008 | |||||||||
1,795 | Entegris Inc.* | 15,975 | |||||||||
934 | FEI Co.* | 18,783 | |||||||||
669 | FormFactor Inc.* | 13,434 | |||||||||
510 | Helix Technology Corp. | 7,364 | |||||||||
3,716 | KLA-Tencor Corp.* | 153,136 | |||||||||
977 | Kulicke & Soffa Industries, Inc.* | 7,630 | |||||||||
2,476 | Lam Research Corp.* | 59,053 | |||||||||
967 | LTX Corp.* | 7,862 | |||||||||
878 | Mattson Technology, Inc.* | 7,805 | |||||||||
1,557 | Mentor Graphics Corp.* | 18,373 | |||||||||
1,003 | MKS Instruments, Inc.* | 14,764 | |||||||||
778 | Mykrolis Corp.* | 7,780 | |||||||||
2,956 | Novellus Systems, Inc.* | 79,812 | |||||||||
316 | Photon Dynamics, Inc.* | 8,687 | |||||||||
963 | Photronics, Inc.* | 13,935 | |||||||||
3,044 | Synopsys, Inc.* | 76,983 | |||||||||
3,707 | Teradyne, Inc.* | 63,390 | |||||||||
736 | Tessera Technologies, Inc.* | 12,806 | |||||||||
446 | Ultratech Stepper, Inc.* | 5,557 | |||||||||
672 | Varian Semiconductor Equipment Associates, Inc.* | $ | 20,073 | ||||||||
670 | Veeco Instruments, Inc.* | 15,242 | |||||||||
1,438,585 | |||||||||||
Electronics/Appliance Stores (0.2%) | |||||||||||
6,271 | Best Buy Co., Inc. | 302,011 | |||||||||
683 | Blockbuster, Inc. (Class A) | 9,063 | |||||||||
4,059 | Circuit City Stores - Circuit City Group | 57,232 | |||||||||
485 | Electronics Boutique Holdings Corp.* | 12,178 | |||||||||
1,227 | Hollywood Entertainment Corp.* | 15,841 | |||||||||
658 | Movie Gallery, Inc. | 11,443 | |||||||||
3,180 | RadioShack Corp. | 88,881 | |||||||||
496,649 | |||||||||||
Electronics/Appliances (0.2%) | |||||||||||
5,553 | Eastman Kodak Co. | 147,099 | |||||||||
1,258 | Harman International Industries, Inc. | 107,848 | |||||||||
551 | Helen of Troy Ltd.* | 17,263 | |||||||||
1,560 | Maytag Corp. | 31,980 | |||||||||
1,350 | Whirlpool Corp. | 84,294 | |||||||||
388,484 | |||||||||||
Engineering & Construction (0.1%) | |||||||||||
1,431 | Dycom Industries, Inc.* | 38,551 | |||||||||
352 | EMCOR Group, Inc.* | 15,231 | |||||||||
1,638 | Fluor Corp. | 74,611 | |||||||||
827 | Granite Construction Inc. | 14,712 | |||||||||
516 | Insituform Technologies, Inc. (Class A)* | 9,273 | |||||||||
1,124 | Jacobs Engineering Group, Inc.* | 44,938 | |||||||||
1,013 | KFx Inc.* | 8,033 | |||||||||
939 | MasTec, Inc.* | 5,859 | |||||||||
2,277 | Quanta Services, Inc.* | 14,300 | |||||||||
737 | Shaw Group Inc. (The)* | 7,311 | |||||||||
636 | URS Corp.* | 15,359 | |||||||||
248,178 | |||||||||||
See Notes to Financial Statements
18
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Environmental Services (0.2%) | |||||||||||
4,223 | Allied Waste Industries, Inc.* | $ | 39,021 | ||||||||
344 | Ionics, Inc.* | 9,302 | |||||||||
1,575 | Newpark Resources, Inc.* | 9,607 | |||||||||
3,069 | Republic Services, Inc. | 87,773 | |||||||||
1,043 | Tetra Tech, Inc.* | 16,834 | |||||||||
939 | Waste Connections, Inc.* | 27,100 | |||||||||
11,286 | Waste Management, Inc. | 317,588 | |||||||||
507,225 | |||||||||||
Finance/Rental/Leasing (1.9%) | |||||||||||
639 | Aaron Rents, Inc (Class A) | 19,164 | |||||||||
530 | Advanta Corp. (Class A) | 11,395 | |||||||||
2,397 | Allied Capital Corp. | 59,086 | |||||||||
401 | AMERCO* | 9,095 | |||||||||
1,338 | American Capital Strategies, Ltd. | 39,110 | |||||||||
3,187 | AmeriCredit Corp.* | 60,872 | |||||||||
124 | Bay View Capital Corp. | 2,326 | |||||||||
4,437 | Capital One Financial Corp. | 307,573 | |||||||||
504 | Cash American International, Inc. | 11,315 | |||||||||
806 | CharterMac L.P. | 15,677 | |||||||||
4,133 | CIT Group, Inc. | 143,663 | |||||||||
914 | CompuCredit Corp.* | 14,377 | |||||||||
5,310 | Countrywide Financial Corp. | 382,851 | |||||||||
828 | Credit Acceptance Corp.* | 11,095 | |||||||||
483 | Dollar Thrifty Automotive Group, Inc.* | 11,635 | |||||||||
2,160 | Doral Financial Corp. (Puerto Rico) | 84,780 | |||||||||
17,565 | Fannie Mae | 1,246,412 | |||||||||
362 | Financial Federal Corp.* | 11,642 | |||||||||
12,972 | Freddie Mac | 834,229 | |||||||||
1,547 | Fremont General Corp. | 29,053 | |||||||||
1,157 | GATX Corp. | 29,480 | |||||||||
980 | IndyMac Bancorp, Inc. | 32,556 | |||||||||
22,706 | MBNA Corp. | 560,611 | |||||||||
753 | MCG Capital Corp. | 12,236 | |||||||||
506 | NCO Group, Inc.* | 12,635 | |||||||||
709 | New Century Financial Corp. | 33,358 | |||||||||
1,307 | Ocwen Financial Corp.* | 11,580 | |||||||||
5,651 | Providian Financial Corp.* | 78,210 | |||||||||
1,333 | Ryder System, Inc. | 57,186 | |||||||||
558 | Saxon Capital, Inc.* | 13,124 | |||||||||
8,803 | SLM Corp. | $ | 333,810 | ||||||||
390 | Student Loan Corp. (The) | 54,697 | |||||||||
1,493 | United Rentals, Inc.* | 29,621 | |||||||||
810 | WFS Financial Inc.* | 37,057 | |||||||||
4,601,511 | |||||||||||
Financial Conglomerates (3.3%) | |||||||||||
22,766 | American Express Co. | 1,143,991 | |||||||||
97,050 | Citigroup, Inc. | 4,278,934 | |||||||||
524 | Euronet Services, Inc.* | 9,432 | |||||||||
41,860 | J.P. Morgan Chase & Co. | 1,562,634 | |||||||||
1,315 | Leucadia National Corp. | 67,709 | |||||||||
6,258 | Principal Financial Group, Inc. | 212,709 | |||||||||
10,473 | Prudential Financial, Inc. | 487,623 | |||||||||
6,476 | State Street Corp. | 277,238 | |||||||||
139 | Wesco Financial Corp. | 48,789 | |||||||||
8,089,059 | |||||||||||
Financial Publishing/Services (0.3%) | |||||||||||
634 | Advent Software, Inc.* | 10,055 | |||||||||
1,436 | Dun & Bradstreet Corp.* | 80,617 | |||||||||
2,842 | Equifax, Inc. | 68,549 | |||||||||
800 | FactSet Research Systems Inc. | 34,520 | |||||||||
2,131 | Interactive Data Corp.* | 37,314 | |||||||||
3,712 | McGraw-Hill Companies, Inc. (The) | 278,623 | |||||||||
2,945 | Moody's Corp. | 200,554 | |||||||||
615 | National Financial Partners Corp. | 20,713 | |||||||||
2,043 | SEI Investments Co. | 62,659 | |||||||||
195 | Value Line, Inc. | 6,852 | |||||||||
800,456 | |||||||||||
Food Distributors (0.2%) | |||||||||||
1,832 | ARAMARK Corp. (Class B) | 49,134 | |||||||||
888 | Performance Food Group Co.* | 22,005 | |||||||||
12,539 | SYSCO Corp. | 431,969 | |||||||||
760 | United Natural Foods, Inc.* | 16,469 | |||||||||
519,577 | |||||||||||
Food Retail (0.4%) | |||||||||||
2,161 | 7-Eleven, Inc.* | 37,061 | |||||||||
7,109 | Albertson's, Inc. | 173,389 | |||||||||
1,350 | Casey's General Stores, Inc. | 21,843 | |||||||||
See Notes to Financial Statements
19
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
14,437 | Kroger Co.* | $ | 228,105 | ||||||||
1,313 | Ruddick Corp. | 25,682 | |||||||||
8,570 | Safeway Inc.* | 181,084 | |||||||||
2,598 | Supervalu, Inc. | 74,199 | |||||||||
798 | Weis Markets, Inc. | 25,448 | |||||||||
1,218 | Whole Foods Market, Inc. | 100,266 | |||||||||
584 | Wild Oats Markets, Inc.* | 7,358 | |||||||||
3,012 | Winn-Dixie Stores, Inc. | 19,036 | |||||||||
893,471 | |||||||||||
Food: Major Diversified (1.2%) | |||||||||||
5,119 | Campbell Soup Co. | 130,995 | |||||||||
4,345 | Del Monte Foods Co.* | 45,796 | |||||||||
5,986 | General Mills, Inc. | 268,771 | |||||||||
6,866 | Heinz (H.J.) Co. | 253,287 | |||||||||
4,763 | Kellogg Co. | 198,427 | |||||||||
5,463 | Kraft Foods Inc. (Class A) | 166,895 | |||||||||
32,224 | PepsiCo, Inc. | 1,611,200 | |||||||||
15,119 | Sara Lee Corp. | 332,013 | |||||||||
3,007,384 | |||||||||||
Food: Meat/Fish/Dairy (0.3%) | |||||||||||
10,403 | ConAgra Foods Inc. | 270,478 | |||||||||
3,022 | Dean Foods Co.* | 111,754 | |||||||||
2,701 | Hormel Foods Corp. | 80,166 | |||||||||
537 | Pilgrim's Pride Corp. (Class B) | 15,057 | |||||||||
379 | Sanderson Farms, Inc. | 18,279 | |||||||||
2,145 | Smithfield Foods, Inc.* | 60,789 | |||||||||
6,790 | Tyson Foods, Inc. (Class A) | 129,417 | |||||||||
685,940 | |||||||||||
Food: Specialty/Candy (0.3%) | |||||||||||
340 | American Italian Pasta Co. (Class A) | 9,999 | |||||||||
779 | Chiquita Brands International, Inc.* | 15,222 | |||||||||
490 | Farmer Brothers Co. | 12,691 | |||||||||
1,032 | Flowers Foods Inc. | 26,935 | |||||||||
1,107 | Fresh Del Monte Produce, Inc. | 29,391 | |||||||||
878 | Hain Celestial Group, Inc.* | 14,513 | |||||||||
3,939 | Hershey Foods Corp. | 190,805 | |||||||||
942 | Interstate Bakeries Corp. | 9,260 | |||||||||
769 | Lancaster Colony Corp. | $ | 30,975 | ||||||||
567 | Lance, Inc. | 8,528 | |||||||||
2,703 | McCormick & Co., Inc. (Non-Voting) | 96,686 | |||||||||
1,420 | NBTY, Inc.* | 30,899 | |||||||||
843 | Ralcorp Holdings, Inc.* | 30,744 | |||||||||
280 | Riviana Foods, Inc. | 7,193 | |||||||||
1,124 | Smucker (J.M.) Co. | 46,994 | |||||||||
1,038 | Tootsie Roll Industries, Inc. | 30,413 | |||||||||
795 | Topps Co., Inc. (The) | 7,505 | |||||||||
3,327 | Wrigley (Wm.) Jr. Co. (Class A) | 200,951 | |||||||||
799,704 | |||||||||||
Forest Products (0.1%) | |||||||||||
2,052 | Louisiana-Pacific Corp. | 48,591 | |||||||||
346 | Universal Forest Products, Inc. | 10,508 | |||||||||
4,279 | Weyerhaeuser Co. | 265,298 | |||||||||
324,397 | |||||||||||
Gas Distributors (0.4%) | |||||||||||
1,245 | AGL Resources, Inc. | 36,790 | |||||||||
1,187 | Atmos Energy Corp. | 29,877 | |||||||||
7,239 | Dynegy, Inc. (Class A)* | 30,404 | |||||||||
1,011 | Energen Corp. | 47,871 | |||||||||
1,215 | Equitable Resources, Inc. | 62,305 | |||||||||
3,083 | KeySpan Corp. | 110,957 | |||||||||
372 | Laclede Group, Inc. (The) | 10,011 | |||||||||
2,194 | MDU Resources Group, Inc. | 53,643 | |||||||||
1,576 | National Fuel Gas Co. | 40,251 | |||||||||
531 | New Jersey Resources Corp. | 21,585 | |||||||||
732 | Nicor Inc. | 24,237 | |||||||||
5,086 | NiSource, Inc. | 105,280 | |||||||||
502 | Northwest Natural Gas Co. | 14,749 | |||||||||
1,842 | ONEOK, Inc. | 38,682 | |||||||||
940 | Peoples Energy Corp. | 36,660 | |||||||||
653 | Piedmont Natural Gas Co., Inc. | 26,936 | |||||||||
1,609 | Questar Corp. | 65,937 | |||||||||
4,384 | Sempra Energy | 156,728 | |||||||||
245 | South Jersey Industries, Inc. | 11,125 | |||||||||
1,372 | Southern Union Co.* | 27,317 | |||||||||
See Notes to Financial Statements
20
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
642 | Southwest Gas Corp. | $ | 15,196 | ||||||||
830 | UGI Corp. | 26,884 | |||||||||
1,465 | Vectren Corp. | 36,259 | |||||||||
949 | WGL Holdings Inc. | 26,041 | |||||||||
1,055,725 | |||||||||||
Home Building (0.4%) | |||||||||||
287 | Beazer Homes USA Inc. | 26,806 | |||||||||
650 | Brookfield Homes Corp. | 17,589 | |||||||||
66 | Cavco Industries, Inc.* | 2,607 | |||||||||
2,408 | Centex Corp. | 102,147 | |||||||||
1,119 | Champion Enterprises, Inc.* | 10,888 | |||||||||
4,707 | D.R. Horton, Inc. | 130,054 | |||||||||
1,170 | Hovnanian Enterprises, Inc.* | 36,305 | |||||||||
898 | KB Home | 57,517 | |||||||||
2,768 | Lennar Corp. (Class A) | 118,138 | |||||||||
291 | Levitt Corp. (Class A)* | 6,038 | |||||||||
683 | M.D.C. Holdings, Inc. | 45,863 | |||||||||
316 | M/I Homes, Inc. | 12,005 | |||||||||
216 | Meritage Corp.* | 13,370 | |||||||||
140 | NVR, Inc.* | 65,240 | |||||||||
446 | Palm Harbor Homes, Inc.* | 7,145 | |||||||||
2,405 | Pulte Homes, Inc. | 131,385 | |||||||||
479 | Ryland Group, Inc. (The) | 37,084 | |||||||||
698 | Standard Pacific Corp. | 32,394 | |||||||||
892 | Technical Olympic USA, Inc. | 19,330 | |||||||||
1,399 | Toll Brothers, Inc.* | 55,596 | |||||||||
825 | WCI Communities, Inc.* | 17,762 | |||||||||
193 | William Lyon Homes, Inc.* | 14,759 | |||||||||
960,022 | |||||||||||
Home Furnishings (0.2%) | |||||||||||
1,031 | Ethan Allen Interiors, Inc. | 38,302 | |||||||||
1,081 | Furniture Brands International, Inc. | 24,841 | |||||||||
426 | Jarden Corp.* | 15,396 | |||||||||
1,386 | La-Z-Boy, Inc. | 23,950 | |||||||||
3,719 | Leggett & Platt, Inc. | 100,599 | |||||||||
265 | Libbey, Inc. | 5,957 | |||||||||
1,294 | Mohawk Industries, Inc.* | 95,161 | |||||||||
5,306 | Newell Rubbermaid, Inc. | 114,610 | |||||||||
646 | Select Comfort Corp.* | 13,198 | |||||||||
432,014 | |||||||||||
Home Improvement Chains (1.0%) | |||||||||||
1,470 | Fastenal Co. | $ | 91,699 | ||||||||
42,869 | Home Depot, Inc. (The) | 1,445,543 | |||||||||
14,278 | Lowe's Companies, Inc. | 695,624 | |||||||||
2,850 | Sherwin-Williams Co. | 115,083 | |||||||||
2,347,949 | |||||||||||
Hospital/Nursing Management (0.4%) | |||||||||||
666 | Amsurg Corp.* | 15,817 | |||||||||
2,091 | Beverly Enterprises, Inc.* | 16,477 | |||||||||
2,039 | Community Health Systems Inc.* | 50,180 | |||||||||
9,601 | HCA, Inc. | 371,079 | |||||||||
4,631 | Health Management Associates, Inc. (Class A) | 92,898 | |||||||||
732 | LifePoint Hospitals, Inc.* | 24,456 | |||||||||
1,727 | Manor Care, Inc. | 53,969 | |||||||||
981 | Orthodontic Centers of America, Inc.* | 6,632 | |||||||||
951 | Province Healthcare Co.* | 13,818 | |||||||||
1,876 | Select Medical Corp. | 24,088 | |||||||||
566 | Sunrise Senior Living, Inc.* | 19,980 | |||||||||
9,197 | Tenet Healthcare Corp.* | 102,822 | |||||||||
1,525 | Triad Hospitals, Inc.* | 51,941 | |||||||||
542 | United Surgical Partners International Inc.* | 19,100 | |||||||||
1,123 | Universal Health Services, Inc. (Class B) | 51,108 | |||||||||
1,731 | US Oncology, Inc.* | 25,740 | |||||||||
940,105 | |||||||||||
Hotels/Resorts/Cruiselines (0.5%) | |||||||||||
760 | Boca Resorts, Inc. (Class A)* | 14,820 | |||||||||
7,757 | Carnival Corp. (Panama) | 361,554 | |||||||||
870 | Choice Hotels International, Inc. | 45,762 | |||||||||
1,101 | Gaylord Entertainment Co.* | 32,105 | |||||||||
7,351 | Hilton Hotels Corp. | 131,068 | |||||||||
3,606 | La Quinta Corp.* | 27,622 | |||||||||
576 | Marcus Corp. (The) | 10,132 | |||||||||
4,532 | Marriott International, Inc. (Class A) | 221,162 | |||||||||
873 | Prime Hospitality Corp.* | 8,014 | |||||||||
2,002 | Royal Caribbean Cruises Ltd. (Liberia) | 85,585 | |||||||||
See Notes to Financial Statements
21
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
3,977 | Starwood Hotels & Resorts Worldwide, Inc. | $ | 178,965 | ||||||||
542 | Vail Resorts, Inc.* | 10,574 | |||||||||
1,127,363 | |||||||||||
Household/Personal Care (2.2%) | |||||||||||
1,708 | Alberto-Culver Co. | 79,627 | |||||||||
9,166 | Avon Products, Inc. | 394,230 | |||||||||
784 | Church & Dwight Co., Inc. | 34,637 | |||||||||
3,126 | Clorox Co. (The) | 155,581 | |||||||||
10,410 | Colgate-Palmolive Co. | 553,812 | |||||||||
2,352 | Estee Lauder Companies, Inc. (The) (Class A) | 103,253 | |||||||||
18,335 | Gillette Co. (The) | 714,698 | |||||||||
1,815 | International Flavors & Fragrances, Inc. | 66,320 | |||||||||
9,774 | Kimberly-Clark Corp. | 626,220 | |||||||||
1,368 | Nu Skin Enterprises, Inc. (Class A) | 37,360 | |||||||||
1,191 | Playtex Products, Inc.* | 8,420 | |||||||||
48,702 | Procter & Gamble Co. (The) | 2,539,809 | |||||||||
5,313,967 | |||||||||||
Industrial Conglomerates (4.1%) | |||||||||||
14,765 | 3M Co. | 1,216,045 | |||||||||
1,684 | ALLETE, Inc. | 46,680 | |||||||||
4,579 | Danaher Corp. | 231,926 | |||||||||
192,147 | General Electric Co.** | 6,388,888 | |||||||||
16,732 | Honeywell International, Inc. | 629,291 | |||||||||
3,333 | Ingersoll-Rand Co. Ltd. (Class A) (Bermuda) | 228,944 | |||||||||
1,788 | ITT Industries, Inc. | 142,951 | |||||||||
1,476 | SPX Corp. | 60,442 | |||||||||
2,636 | Textron, Inc. | 161,587 | |||||||||
9,153 | United Technologies Corp. | 855,805 | |||||||||
816 | Walter Industries, Inc. | 11,383 | |||||||||
9,973,942 | |||||||||||
Industrial Machinery (0.4%) | |||||||||||
458 | Actuant Corp. (Class A)* | 16,699 | |||||||||
1,244 | Flowserve Corp.* | 29,794 | |||||||||
769 | FuelCell Energy, Inc.* | 7,644 | |||||||||
1,336 | Graco Inc. | 42,057 | |||||||||
1,345 | IDEX Corp. | 43,161 | |||||||||
5,348 | Illinois Tool Works Inc. | 484,101 | |||||||||
876 | Kennametal Inc. | 38,544 | |||||||||
941 | Lincoln Electric Holdings, Inc. | $ | 32,003 | ||||||||
942 | Nordson Corp. | 39,442 | |||||||||
2,307 | Parker-Hannifin Corp. | 132,376 | |||||||||
489 | Regal-Beloit Corp. | 10,269 | |||||||||
695 | Roper Industries, Inc. | 38,920 | |||||||||
377 | Tecumseh Products Co. (Class A) | 15,393 | |||||||||
532 | Watts Water Technologies, Inc. | 13,460 | |||||||||
217 | Woodward Governor Co. | 13,317 | |||||||||
957,180 | |||||||||||
Industrial Specialties (0.3%) | |||||||||||
719 | Buckeye Technologies Inc.* | 7,722 | |||||||||
664 | Cabot Microelectronics Corp.* | 23,565 | |||||||||
1,680 | Donaldson Co., Inc. | 44,738 | |||||||||
4,992 | Ecolab Inc. | 152,256 | |||||||||
1,228 | Ferro Corp. | 24,449 | |||||||||
625 | Fuller (H.B.) Co. | 16,706 | |||||||||
1,306 | GrafTech International Ltd..* | 14,405 | |||||||||
543 | Headwaters Inc.* | 15,063 | |||||||||
740 | MacDermid, Inc. | 21,652 | |||||||||
717 | Mine Safety Appliances Co. | 26,637 | |||||||||
412 | Minerals Technologies, Inc. | 23,018 | |||||||||
3,292 | PPG Industries, Inc. | 194,063 | |||||||||
315 | Rogers Corp.* | 15,577 | |||||||||
2,325 | RPM International, Inc. | 34,991 | |||||||||
651 | Spartech Corp. | 15,559 | |||||||||
611 | Symyx Technologies, Inc.* | 11,786 | |||||||||
981 | Valspar Corp. (The) | 48,069 | |||||||||
325 | WD-40 Co. | 8,573 | |||||||||
698,829 | |||||||||||
Information Technology Services (1.5%) | |||||||||||
599 | Anteon International Corp.* | 18,653 | |||||||||
3,768 | BearingPoint, Inc.* | 31,124 | |||||||||
513 | Black Box Corp. | 19,494 | |||||||||
586 | CACI International Inc. (Class A)* | 24,090 | |||||||||
1,236 | CIBER, Inc.* | 9,270 | |||||||||
3,180 | Citrix Systems, Inc.* | 56,032 | |||||||||
2,386 | Cognizant Technology Solutions Corp.* | 65,734 | |||||||||
See Notes to Financial Statements
22
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
9,378 | Electronic Data Systems Corp. | $ | 173,305 | ||||||||
857 | Epicor Software Corp.* | 10,610 | |||||||||
1,728 | Henry (Jack) & Associates, Inc. | 33,264 | |||||||||
5,912 | Infonet Services Corp. (Class B)* | 9,282 | |||||||||
988 | Intergraph Corp.* | 26,073 | |||||||||
32,020 | International Business Machines Corp. | 2,787,981 | |||||||||
557 | JDA Software Group, Inc.* | 5,932 | |||||||||
1,745 | Keane, Inc.* | 25,774 | |||||||||
12,788 | Level 3 Communications, Inc.* | 38,748 | |||||||||
320 | ManTech International Corp. (Class A)* | 4,576 | |||||||||
339 | MICROS Systems, Inc.* | 16,482 | |||||||||
7,083 | PeopleSoft, Inc.* | 127,636 | |||||||||
2,521 | Perot Systems Corp. (Class A)* | 31,815 | |||||||||
639 | QAD, Inc. | 6,505 | |||||||||
1,299 | Reynolds & Reynolds Co. (The) (Class A) | 28,708 | |||||||||
1,240 | RSA Security, Inc.* | 23,089 | |||||||||
2,357 | Sapient Corp.* | 16,475 | |||||||||
314 | SRA International, Inc. (Class A)* | 13,348 | |||||||||
1,197 | Syntel, Inc. | 16,890 | |||||||||
6,402 | Unisys Corp.* | 65,556 | |||||||||
582 | Verint Systems Inc.* | 18,455 | |||||||||
1,558 | Wind River Systems, Inc.* | 15,268 | |||||||||
3,720,169 | |||||||||||
Insurance Brokers/Services (0.3%) | |||||||||||
6,134 | AON Corp. | 162,183 | |||||||||
1,336 | Brown & Brown, Inc. | 56,807 | |||||||||
512 | CCC Information Services Group, Inc.* | 9,201 | |||||||||
1,589 | ChoicePoint Inc.* | 66,738 | |||||||||
948 | Crawford & Co. (Class B) | 4,778 | |||||||||
1,768 | Gallagher (Arthur J.) & Co. | 54,755 | |||||||||
764 | Hilb, Rogal & Hamilton Co. | 25,663 | |||||||||
10,274 | Marsh & McLennan Companies, Inc. | $ | 455,960 | ||||||||
836,085 | |||||||||||
Integrated Oil (3.6%) | |||||||||||
1,745 | Amerada Hess Corp. | 145,446 | |||||||||
20,156 | ChevronTexaco Corp. | 1,927,921 | |||||||||
812 | Cimarex Energy Co.* | 26,414 | |||||||||
12,559 | ConocoPhillips | 989,272 | |||||||||
123,554 | Exxon Mobil Corp. | 5,720,550 | |||||||||
1,835 | Murphy Oil Corp. | 141,919 | |||||||||
8,951,522 | |||||||||||
Internet Retail (0.2%) | |||||||||||
5,897 | Amazon.com, Inc.* | 229,511 | |||||||||
1,364 | Drugstore.com, Inc.* | 3,806 | |||||||||
488 | IAC Interactive Corp. (Warrants) (expire 02/04/09)* | 14,713 | |||||||||
10,135 | IAC/InterActiveCorp.* | 276,685 | |||||||||
806 | Netflix Inc.* | 16,523 | |||||||||
541,238 | |||||||||||
Internet Software/Services (0.5%) | |||||||||||
1,002 | Agile Software Corp.* | 7,455 | |||||||||
2,333 | Akamai Technologies, Inc.* | 34,832 | |||||||||
1,012 | Ariba, Inc.* | 8,794 | |||||||||
951 | Ask Jeeves, Inc.* | 27,655 | |||||||||
7,861 | BEA Systems, Inc.* | 51,018 | |||||||||
1,827 | Borland Software Corp.* | 15,109 | |||||||||
9,125 | CMGI Inc.* | 12,592 | |||||||||
3,333 | CNET Networks, Inc.* | 30,430 | |||||||||
638 | Digital Insight Corp.* | 9,462 | |||||||||
600 | Digital River, Inc.* | 16,860 | |||||||||
1,146 | Digitas Inc.* | 7,667 | |||||||||
3,167 | Earthlink, Inc.* | 31,258 | |||||||||
792 | GSI Commerce, Inc.* | 6,494 | |||||||||
4,035 | Internap Network Services Corp.* | 3,551 | |||||||||
1,125 | Internet Security Systems, Inc.* | 17,235 | |||||||||
447 | J2 Global Communications, Inc.* | 11,403 | |||||||||
See Notes to Financial Statements
23
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
897 | Lionbridge Technologies, Inc.* | $ | 6,674 | ||||||||
237 | MicroStrategy Inc. (Class A)* | 9,542 | |||||||||
674 | Netegrity, Inc.* | 4,408 | |||||||||
1,137 | NIC Inc.* | 7,106 | |||||||||
1,181 | Openwave Systems, Inc.* | 13,428 | |||||||||
620 | Packeteer, Inc.* | 5,816 | |||||||||
530 | PEC Solutions, Inc.* | 5,788 | |||||||||
1,098 | Progress Software Corp.* | 22,652 | |||||||||
2,958 | RealNetworks, Inc.* | 16,683 | |||||||||
1,369 | S1 Corp.* | 11,322 | |||||||||
627 | Secure Computing Corp.* | 4,336 | |||||||||
9,608 | Siebel Systems, Inc.* | 77,440 | |||||||||
1,321 | SonicWALL, Inc.* | 8,758 | |||||||||
670 | Supportsoft, Inc.* | 5,903 | |||||||||
1,194 | United Online, Inc.* | 18,626 | |||||||||
4,873 | VeriSign, Inc.* | 85,326 | |||||||||
6,854 | Vignette Corp.* | 9,801 | |||||||||
816 | WebEx Communications, Inc.* | 16,744 | |||||||||
1,016 | webMethods, Inc.* | 4,846 | |||||||||
429 | Websense, Inc.* | 16,384 | |||||||||
22,972 | Yahoo! Inc.* | 707,538 | |||||||||
1,350,936 | |||||||||||
Investment Banks/Brokers (1.6%) | |||||||||||
8,182 | Ameritrade Holding Corp.* | 90,738 | |||||||||
1,899 | Bear Stearns Companies, Inc. (The) | 158,415 | |||||||||
639 | Chicago Marcantile Exchange (The) | 80,194 | |||||||||
7,093 | E*TRADE Group, Inc.* | 78,520 | |||||||||
1,553 | Edwards (A.G.), Inc. | 50,472 | |||||||||
590 | eSPEED, Inc (Class A)* | 6,354 | |||||||||
7,326 | Goldman Sachs Group, Inc. (The) | 646,080 | |||||||||
1,058 | Investment Technology Group, Inc.* | 13,902 | |||||||||
1,056 | Jefferies Group, Inc. | 33,095 | |||||||||
2,213 | Knight Trading Group, Inc.* | 18,833 | |||||||||
1,355 | LaBranche & Co., Inc.* | 11,097 | |||||||||
1,283 | Legg Mason, Inc. | 100,767 | |||||||||
5,261 | Lehman Brothers Holdings Inc. | 368,796 | |||||||||
18,255 | Merrill Lynch & Co., Inc. | 907,639 | |||||||||
21,161 | Morgan Stanley (Note 4) | $ | 1,043,872 | ||||||||
1,423 | Raymond James Financial, Inc. | 33,256 | |||||||||
20,878 | Schwab (Charles) Corp. (The) | 183,309 | |||||||||
802 | Tradestation Group Inc.* | 4,772 | |||||||||
3,830,111 | |||||||||||
Investment Managers (0.4%) | |||||||||||
619 | Affiliated Managers Group, Inc.* | 28,418 | |||||||||
1,502 | Alliance Capital Management Holding L.P. | 50,302 | |||||||||
490 | BlackRock, Inc. (Class A) | 30,355 | |||||||||
1,336 | Eaton Vance Corp. (Non-Voting) | 50,688 | |||||||||
2,105 | Federated Investors, Inc. (Class B) | 59,172 | |||||||||
2,819 | Franklin Resources, Inc. | 136,017 | |||||||||
1,265 | Investors Financial Services Corp. | 57,785 | |||||||||
4,663 | Janus Capital Group, Inc. | 61,831 | |||||||||
8,336 | Mellon Financial Corp. | 229,073 | |||||||||
1,797 | Nuveen Investments (Class A) | 45,644 | |||||||||
2,413 | Price (T.) Rowe Group, Inc. | 111,529 | |||||||||
1,596 | Waddell & Reed Financial, Inc. (Class A) | 30,994 | |||||||||
891,808 | |||||||||||
Investment Trusts/Mutual Funds (0.0%) | |||||||||||
418 | BP Prudhoe Bay Royalty Trust | 15,332 | |||||||||
28 | Cross Timbers Royalty Trust | 864 | |||||||||
1,322 | Hugoton Royalty Trust | 33,856 | |||||||||
50,052 | |||||||||||
Life/Health Insurance (0.6%) | |||||||||||
9,937 | AFLAC, Inc. | 393,903 | |||||||||
513 | American National Insurance Co. | 46,940 | |||||||||
676 | AmerUs Group Co. | 26,026 | |||||||||
680 | Citizens, Inc.* | 3,822 | |||||||||
823 | Delphi Financial Group, Inc. (Class A) | 33,373 | |||||||||
893 | FBL Financial Group, Inc. (Class A) | 23,736 | |||||||||
1,075 | Great American Financial Resources, Inc. | 16,297 | |||||||||
See Notes to Financial Statements
24
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
2,740 | Jefferson-Pilot Corp. | $ | 132,013 | ||||||||
233 | Kansas City Life Insurance Co. | 10,392 | |||||||||
3,449 | Lincoln National Corp. | 150,721 | |||||||||
6,404 | MetLife, Inc. | 228,431 | |||||||||
65 | National Western Life Insurance Co. (Class A)* | 10,392 | |||||||||
2,405 | Phoenix Companies Ltd. | 24,940 | |||||||||
573 | Presidential Life Corp. | 10,056 | |||||||||
1,401 | Protective Life Corp. | 50,786 | |||||||||
1,172 | Reinsurance Group of America, Inc. | 46,704 | |||||||||
533 | StanCorp Financial Group, Inc. | 37,470 | |||||||||
2,230 | Torchmark Corp. | 116,584 | |||||||||
872 | UICI* | 20,858 | |||||||||
1,049 | Universal American Financial Corp.* | 11,382 | |||||||||
5,778 | UnumProvident Corp. | 92,159 | |||||||||
1,486,985 | |||||||||||
Major Banks (3.7%) | |||||||||||
38,495 | Bank of America Corp. | 3,272,460 | |||||||||
15,069 | Bank of New York Co., Inc. (The) | 432,932 | |||||||||
10,543 | BB&T Corp. | 408,330 | |||||||||
3,398 | Comerica, Inc. | 198,681 | |||||||||
4,435 | Huntington Bancshares, Inc. | 108,480 | |||||||||
8,121 | KeyCorp | 245,092 | |||||||||
11,285 | National City Corp. | 411,903 | |||||||||
5,372 | PNC Financial Services Group | 271,823 | |||||||||
5,166 | Popular, Inc. | 117,475 | |||||||||
4,411 | Regions Financial Corp. | 130,963 | |||||||||
6,429 | SouthTrust Corp. | 249,381 | |||||||||
5,496 | SunTrust Banks, Inc. | 362,461 | |||||||||
994 | UnionBanCal Corp. | 57,702 | |||||||||
24,774 | Wachovia Corp. | 1,097,736 | |||||||||
31,880 | Wells Fargo & Co. | 1,830,231 | |||||||||
9,195,650 | |||||||||||
Major Telecommunications (2.2%) | |||||||||||
6,088 | ALLTEL Corp. | 316,576 | |||||||||
15,146 | AT&T Corp. | 228,705 | |||||||||
34,509 | BellSouth Corp.* | 934,849 | |||||||||
5,323 | Cincinnati Bell Inc. | 21,505 | |||||||||
1,276 | Primus Telecommunications Group, Inc.* | $ | 2,067 | ||||||||
62,322 | SBC Communications, Inc. | 1,579,239 | |||||||||
17,031 | Sprint Corp. (FON Group) | 318,139 | |||||||||
52,032 | Verizon Communications Inc. | 2,005,313 | |||||||||
5,406,393 | |||||||||||
Managed Health Care (1.0%) | |||||||||||
2,966 | Aetna, Inc. | 254,483 | |||||||||
399 | AMERIGROUP Corp.* | 19,136 | |||||||||
2,679 | Anthem, Inc.* | 220,937 | |||||||||
8,860 | Caremark Rx, Inc.* | 270,230 | |||||||||
383 | Centene Corp.* | 14,937 | |||||||||
2,723 | CIGNA Corp. | 168,853 | |||||||||
1,758 | Coventry Health Care, Inc.* | 89,851 | |||||||||
1,921 | First Health Group Corp.* | 26,932 | |||||||||
2,202 | Health Net Inc.* | 53,134 | |||||||||
3,025 | Humana, Inc.* | 54,783 | |||||||||
1,462 | PacifiCare Health Systems, Inc.* | 44,693 | |||||||||
506 | Sierra Health Services, Inc.* | 22,365 | |||||||||
13,104 | UnitedHealth Group Inc. | 824,268 | |||||||||
326 | WellChoice, Inc.* | 11,932 | |||||||||
2,866 | WellPoint Health Networks, Inc.* | 289,753 | |||||||||
2,366,287 | |||||||||||
Marine Shipping (0.1%) | |||||||||||
809 | Alexander & Baldwin, Inc. | 26,600 | |||||||||
722 | General Maritime Corp.* | 21,415 | |||||||||
629 | Kirby Corp.* | 24,279 | |||||||||
1,540 | OMI Corp. | 22,407 | |||||||||
1,174 | Tidewater, Inc. | 35,631 | |||||||||
130,332 | |||||||||||
Media Conglomerates (1.4%) | |||||||||||
38,580 | Disney (Walt) Co. (The) | 890,812 | |||||||||
85,783 | Time Warner Inc.* | 1,428,287 | |||||||||
30,972 | Viacom Inc. (Class B) (Non-Voting) | 1,040,349 | |||||||||
3,359,448 | |||||||||||
Medical Distributors (0.4%) | |||||||||||
2,194 | AmerisourceBergen Corp. | 118,608 | |||||||||
1,518 | Andrx Group* | 39,377 | |||||||||
8,389 | Cardinal Health, Inc. | 373,311 | |||||||||
See Notes to Financial Statements
25
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
846 | Henry Schein, Inc.* | $ | 56,767 | ||||||||
5,767 | McKesson Corp. | 185,524 | |||||||||
649 | Owens & Minor, Inc. | 16,660 | |||||||||
1,344 | Patterson Companies Inc. | 98,676 | |||||||||
484 | PolyMedica Industries, Inc. | 14,743 | |||||||||
943 | Priority Healthcare Corp. (Class B)* | 21,123 | |||||||||
1,307 | PSS World Medical, Inc.* | 12,796 | |||||||||
937,585 | |||||||||||
Medical Specialties (2.2%) | |||||||||||
568 | Advanced Medical Optics, Inc.* | 21,612 | |||||||||
420 | Advanced Neuromodulation System* | 13,461 | |||||||||
1,228 | Align Technology, Inc.* | 21,097 | |||||||||
643 | American Medical System Holdings, Inc.* | 20,460 | |||||||||
339 | Analogic Corp. | 14,082 | |||||||||
1,795 | Apogent Technologies Inc.* | 58,338 | |||||||||
4,130 | Applera Corp. – Applied Biosystems Group | 85,450 | |||||||||
1,344 | Arrow International, Inc. | 37,256 | |||||||||
403 | ArthroCare Corp.* | 10,732 | |||||||||
409 | Atrix Laboratories, Inc.* | 13,174 | |||||||||
2,054 | Bard (C.R.), Inc. | 113,381 | |||||||||
1,016 | Bausch & Lomb, Inc. | 62,575 | |||||||||
11,888 | Baxter International, Inc. | 357,472 | |||||||||
1,195 | Beckman Coulter, Inc. | 65,928 | |||||||||
5,006 | Becton, Dickinson & Co. | 236,433 | |||||||||
5,056 | Biomet, Inc.* | 222,413 | |||||||||
507 | Bio-Rad Laboratories, Inc. (Class A)* | 26,567 | |||||||||
375 | Biosite Inc.* | 16,571 | |||||||||
556 | Bioveris Corp. | 4,170 | |||||||||
12,022 | Boston Scientific Corp.* | 459,962 | |||||||||
639 | CONMED Corp.* | 14,160 | |||||||||
762 | Cooper Companies, Inc. (The) | 45,301 | |||||||||
839 | CTI Molecular Imaging, Inc.* | 8,784 | |||||||||
435 | Cyberonics Inc.* | 12,171 | |||||||||
2,224 | Cytyc Corp.* | 53,754 | |||||||||
782 | Dade Behring Holdings Inc.* | 38,858 | |||||||||
288 | Datascope Corp. | 9,996 | |||||||||
1,462 | DENTSPLY International, Inc. | 71,097 | |||||||||
576 | Diagnostic Products Corp. | 23,126 | |||||||||
362 | Digene Corp.* | $ | 12,359 | ||||||||
1,148 | Edwards Lifesciences Corp.* | 40,375 | |||||||||
1,043 | Fisher Scientific International, Inc.* | 60,703 | |||||||||
6,026 | Guidant Corp. | 333,358 | |||||||||
470 | Haemonetics Corp.* | 14,100 | |||||||||
1,234 | Hillenbrand Industries, Inc. | 70,079 | |||||||||
2,946 | Hospira, Inc.* | 76,331 | |||||||||
669 | IDEXX Laboratories, Inc.* | 33,711 | |||||||||
568 | Immucor, Inc.* | 11,508 | |||||||||
448 | INAMED Corp.* | 24,273 | |||||||||
604 | Integra LifeSciences Holding, Inc.* | 19,083 | |||||||||
521 | Intuitive Surgical, Inc.* | 11,920 | |||||||||
669 | Invacare Corp. | 27,128 | |||||||||
1,243 | KV Pharmaceutical Co. (Class A)* | 21,641 | |||||||||
754 | Kyphon Inc.* | 20,381 | |||||||||
22,840 | Medtronic, Inc. | 1,134,463 | |||||||||
1,095 | Mentor Corp. | 34,482 | |||||||||
499 | Merit Medical Systems, Inc.* | 8,423 | |||||||||
465 | Ocular Sciences, Inc.* | 20,520 | |||||||||
752 | OraSure Technologies, Inc.* | 5,828 | |||||||||
2,422 | Pall Corp. | 56,118 | |||||||||
355 | Penwest Pharmaceuticals Co.* | 3,589 | |||||||||
2,661 | Peregrine Pharmaceuticals, Inc.* | 3,167 | |||||||||
2,458 | PerkinElmer, Inc. | 43,212 | |||||||||
727 | ResMed, Inc.* | 35,623 | |||||||||
692 | Respironics, Inc.* | 38,558 | |||||||||
3,342 | St. Jude Medical, Inc.* | 227,690 | |||||||||
1,440 | STERIS Corp.* | 29,606 | |||||||||
5,574 | Stryker Corp. | 265,768 | |||||||||
378 | SurModics, Inc.* | 9,042 | |||||||||
853 | Sybron Dental Specialties, Inc.* | 22,946 | |||||||||
1,215 | Thoratec Corp.* | 12,393 | |||||||||
1,328 | Varian Medical Systems, Inc.* | 91,645 | |||||||||
324 | Ventana Medical Systems, Inc.* | 16,177 | |||||||||
586 | Viasys Healthcare, Inc.* | 8,878 | |||||||||
1,030 | VISX, Inc.* | 22,052 | |||||||||
252 | Vital Signs, Inc. | 7,525 | |||||||||
See Notes to Financial Statements
26
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
2,353 | Waters Corp.* | $ | 103,250 | ||||||||
283 | West Pharmaceutical Services, Inc. | 10,779 | |||||||||
673 | Wright Medical Group, Inc.* | 18,595 | |||||||||
4,431 | Zimmer Holdings, Inc.* | 338,130 | |||||||||
5,483,790 | |||||||||||
Medical/Nursing Services (0.1%) | |||||||||||
612 | American Healthways, Inc.* | 16,665 | |||||||||
1,213 | Apria Healthcare Group, Inc.* | 35,602 | |||||||||
1,944 | DaVita, Inc.* | 59,039 | |||||||||
1,265 | Hooper Holmes, Inc. | 5,857 | |||||||||
698 | Kindred Healthcare, Inc.* | 16,927 | |||||||||
1,906 | Lincare Holdings, Inc.* | 60,878 | |||||||||
581 | Pediatrix Medical Group, Inc.* | 36,742 | |||||||||
1,447 | Renal Care Group, Inc.* | 46,101 | |||||||||
1,193 | VCA Antech, Inc.* | 50,142 | |||||||||
327,953 | |||||||||||
Metal Fabrications (0.1%) | |||||||||||
546 | Commercial Metals Co. | 18,908 | |||||||||
808 | Harsco Corp. | 36,263 | |||||||||
1,034 | Kaydon Corp. | 30,120 | |||||||||
669 | Mueller Industries, Inc.* | 25,502 | |||||||||
1,683 | Timken Co. (The) | 41,806 | |||||||||
152,599 | |||||||||||
Miscellaneous Commercial Services (0.2%) | |||||||||||
1,371 | ABM Industries Inc. | 24,664 | |||||||||
248 | Bright Horizons Family Solutions, Inc.* | 12,586 | |||||||||
858 | Century Business Services, Inc.* | 3,621 | |||||||||
2,011 | Copart, Inc.* | 44,745 | |||||||||
722 | Corporate Executive Board Co. (The) | 40,937 | |||||||||
596 | Corrections Corporation of America* | 22,469 | |||||||||
312 | Costar Group, Inc.* | 13,244 | |||||||||
673 | DiamondCluster International, Inc. (Class A)* | 6,717 | |||||||||
2,272 | Exult Inc.* | 11,905 | |||||||||
958 | FTI Consulting, Inc.* | 16,535 | |||||||||
666 | G & K Services, Inc. (Class A) | 25,654 | |||||||||
2,393 | Gartner, Inc. (Class B)* | 29,865 | |||||||||
419 | Global Imaging Systems, Inc.* | $ | 12,708 | ||||||||
2,837 | IKON Office Solutions, Inc. | 33,675 | |||||||||
2,481 | Iron Mountain Inc.* | 80,062 | |||||||||
891 | Laureate Education Inc.* | 31,452 | |||||||||
479 | MAXIMUS, Inc.* | 15,314 | |||||||||
235 | MemberWorks Inc.* | 6,277 | |||||||||
849 | Navigant Consulting, Inc.* | 17,787 | |||||||||
489 | ProQuest Co.* | 12,225 | |||||||||
2,790 | Sabre Holdings Corp. | 71,229 | |||||||||
316 | SOURCECORP, Inc.* | 7,429 | |||||||||
278 | StarTek, Inc. | 8,543 | |||||||||
1,449 | TeleTech Holdings, Inc.* | 12,679 | |||||||||
1,413 | The Brink's Co. | 45,711 | |||||||||
428 | Viad Corp. | 10,233 | |||||||||
1,044 | Wireless Facilities, Inc.* | 7,809 | |||||||||
626,075 | |||||||||||
Miscellaneous Manufacturing (0.2%) | |||||||||||
1,416 | Ametek, Inc. | 43,669 | |||||||||
619 | Brady (W.H.) Co. (Class A) | 27,979 | |||||||||
598 | Carlisle Companies, Inc. | 37,967 | |||||||||
1,151 | Crane Co. | 32,021 | |||||||||
398 | CUNO, Inc.* | 20,959 | |||||||||
3,955 | Dover Corp. | 156,934 | |||||||||
1,463 | Jacuzzi Brands, Inc.* | 11,294 | |||||||||
1,914 | Pentair, Inc. | 59,946 | |||||||||
782 | Smith (A.O.) Corp. | 22,459 | |||||||||
769 | Teleflex Inc. | 34,182 | |||||||||
743 | Tredegar Corp. | 12,245 | |||||||||
464 | Valmont Industries, Inc. | 10,129 | |||||||||
469,784 | |||||||||||
Motor Vehicles (0.5%) | |||||||||||
35,641 | Ford Motor Co. | 524,636 | |||||||||
9,300 | General Motors Corp. | 401,202 | |||||||||
5,870 | Harley-Davidson, Inc. | 351,437 | |||||||||
1,277,275 | |||||||||||
Movies/Entertainment (0.2%) | |||||||||||
717 | AMC Entertainment, Inc.* | 13,688 | |||||||||
985 | Cedar Fair, L.P. | 29,373 | |||||||||
1,441 | Crown Media Holdings, Inc. (Class A)* | 10,044 | |||||||||
3,513 | Fox Entertainment Group, Inc. (Class A)* | 94,956 | |||||||||
See Notes to Financial Statements
27
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,031 | International Speedway Corp. (Class A) | $ | 53,653 | ||||||||
5,029 | Metro-Goldwyn-Mayer Inc.* | 61,002 | |||||||||
1,071 | Pixar, Inc.* | 73,085 | |||||||||
1,207 | Regal Entertainment Group (Class A) | 22,728 | |||||||||
2,012 | Six Flags, Inc. | 9,497 | |||||||||
1,092 | Speedway Motorsports, Inc. | 37,729 | |||||||||
1,332 | TiVo Inc.* | 7,526 | |||||||||
413,281 | |||||||||||
Multi-Line Insurance (1.7%) | |||||||||||
46,054 | American International Group, Inc. | 3,253,715 | |||||||||
4,246 | CNA Financial Corp.* | 112,009 | |||||||||
5,514 | Hartford Financial Services Group, Inc. (The) | 358,961 | |||||||||
1,175 | HCC Insurance Holdings, Inc. | 35,603 | |||||||||
1,032 | Horace Mann Educators Corp. | 17,296 | |||||||||
2,520 | Loews Corp. | 142,708 | |||||||||
1,164 | Nationwide Financial Services, Inc. (Class A) | 41,287 | |||||||||
2,735 | Safeco Corp. | 128,709 | |||||||||
1,319 | Unitrin, Inc. | 54,936 | |||||||||
367 | Zenith National Insurance Corp. | 15,733 | |||||||||
4,160,957 | |||||||||||
Office Equipment/Supplies (0.2%) | |||||||||||
2,140 | Avery Dennison Corp. | 129,620 | |||||||||
1,130 | HNI Corp. | 45,709 | |||||||||
1,097 | Kimball International, Inc. (Class B) | 15,095 | |||||||||
1,422 | Miller (HERMAN), Inc. | 38,110 | |||||||||
4,568 | Pitney Bowes, Inc. | 192,770 | |||||||||
855 | Steelcase, Inc. (Class A) | 11,158 | |||||||||
432,462 | |||||||||||
Oil & Gas Pipelines (0.2%) | |||||||||||
799 | Buckeye Partners, L.P. | 33,918 | |||||||||
11,759 | El Paso Corp. | 92,779 | |||||||||
198 | Enbridge Energy Management, LLC* | 8,611 | |||||||||
1,175 | Enterprise Products Partners L.P. | 24,381 | |||||||||
980 | Kinder Morgan Management, LLC* | $ | 37,057 | ||||||||
2,388 | Kinder Morgan, Inc. | 143,304 | |||||||||
267 | Magellan Midstream Partners, L.P. | 14,365 | |||||||||
862 | Plains All American Pipeline, L.P. | 28,239 | |||||||||
323 | TC Pipelines, L.P. | 11,062 | |||||||||
1,221 | TEPPCO Partners, L.P. | 47,985 | |||||||||
1,288 | Western Gas Resources, Inc. | 43,393 | |||||||||
10,218 | Williams Companies, Inc. (The) | 124,149 | |||||||||
609,243 | |||||||||||
Oil & Gas Production (1.3%) | |||||||||||
4,861 | Anadarko Petroleum Corp. | 290,639 | |||||||||
6,280 | Apache Corp. | 292,208 | |||||||||
408 | Berry Petroleum Co. (Class A) | 12,346 | |||||||||
7,698 | Burlington Resources, Inc. | 293,833 | |||||||||
790 | Cabot Oil & Gas Corp. | 34,736 | |||||||||
4,455 | Chesapeake Energy Corp. | 68,384 | |||||||||
625 | Comstock Resources Inc.* | 13,150 | |||||||||
1,316 | Denbury Resources Inc.* | 28,755 | |||||||||
4,506 | Devon Energy Corp. | 313,122 | |||||||||
909 | Encore Acquisition Co.* | 26,788 | |||||||||
626 | Energy Partners, Ltd.* | 9,791 | |||||||||
2,230 | EOG Resources, Inc. | 141,717 | |||||||||
964 | Evergreen Resources, Inc.* | 39,447 | |||||||||
1,042 | Forest Oil Corp.* | 29,478 | |||||||||
801 | Houston Exploration Co. (The)* | 43,254 | |||||||||
805 | KCS Energy Inc* | 11,898 | |||||||||
2,879 | Kerr-McGee Corp. | 151,148 | |||||||||
1,313 | Magnum Hunter Resources, Inc.* | 14,075 | |||||||||
1,085 | Newfield Exploration Co.* | 64,091 | |||||||||
1,100 | Noble Energy, Inc. | 60,841 | |||||||||
7,462 | Occidental Petroleum Corp. | 367,653 | |||||||||
1,322 | Patina Oil & Gas Corp. | 38,986 | |||||||||
350 | Penn Virginia Corp. | 13,192 | |||||||||
2,287 | Pioneer Natural Resources Co.* | 82,446 | |||||||||
1,457 | Plains Exploration & Production Co.* | 30,378 | |||||||||
1,275 | Pogo Producing Co. | 56,585 | |||||||||
See Notes to Financial Statements
28
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
700 | Quicksilver Resources Inc.* | $ | 22,169 | ||||||||
1,093 | Range Resources Corp. | 18,308 | |||||||||
523 | Remington Oil & Gas Corp.* | 12,369 | |||||||||
844 | Southwestern Energy Co.* | 27,168 | |||||||||
646 | Spinnaker Exploration Co.* | 23,107 | |||||||||
681 | St. Mary Land & Exploration Co. | 23,365 | |||||||||
559 | Stone Energy Corp.* | 25,289 | |||||||||
535 | Swift Energy Co.* | 12,139 | |||||||||
1,441 | Ultra Petroleum Corp. (Canada)* | 64,658 | |||||||||
940 | Unit Corp.* | 30,315 | |||||||||
5,017 | Unocal Corp. | 194,459 | |||||||||
1,388 | Vintage Petroleum, Inc. | 23,735 | |||||||||
4,463 | XTO Energy Inc. | 133,444 | |||||||||
3,139,466 | |||||||||||
Oil Refining/Marketing (0.3%) | |||||||||||
1,333 | Ashland, Inc. | 69,676 | |||||||||
510 | Frontier Oil Corp. | 10,940 | |||||||||
303 | Holly Corp. | 11,941 | |||||||||
6,011 | Marathon Oil Corp. | 226,434 | |||||||||
1,251 | Premcor Inc.* | 44,911 | |||||||||
1,502 | Sunoco, Inc. | 102,391 | |||||||||
1,262 | Tesoro Petroleum Corp.* | 36,598 | |||||||||
2,365 | Valero Energy Corp. | 177,186 | |||||||||
680,077 | |||||||||||
Oilfield Services/Equipment (0.9%) | |||||||||||
6,488 | Baker Hughes Inc. | 261,466 | |||||||||
3,067 | BJ Services Co.* | 152,307 | |||||||||
859 | Cal Dive International, Inc.* | 26,629 | |||||||||
493 | Carbo Ceramics, Inc. | 34,919 | |||||||||
1,046 | Cooper Cameron Corp.* | 53,440 | |||||||||
1,283 | FMC Technologies, Inc.* | 38,490 | |||||||||
2,148 | Global Industries Ltd.* | 10,847 | |||||||||
2,452 | Grant Prideco, Inc.* | 46,318 | |||||||||
8,488 | Halliburton Co. | 269,494 | |||||||||
1,370 | Hanover Compressor Co.* | 16,084 | |||||||||
484 | Hydril Co.* | 17,255 | |||||||||
3,095 | Key Energy Services, Inc.* | 31,198 | |||||||||
624 | Lone Star Technologies, Inc.* | 20,792 | |||||||||
819 | Maverick Tube Corp.* | 23,620 | |||||||||
1,283 | McDermott International, Inc.* | 13,690 | |||||||||
1,674 | National-Oilwell, Inc.* | $ | 55,995 | ||||||||
545 | Oceaneering International, Inc.* | 18,023 | |||||||||
440 | Offshore Logistics, Inc.* | 12,738 | |||||||||
1,262 | Oil States International Inc.* | 20,773 | |||||||||
676 | Overseas Shipholding Group, Inc. | 30,359 | |||||||||
11,375 | Schlumberger Ltd. (Netherlands; Antilles) | 731,640 | |||||||||
366 | SEACOR Holdings, Inc.* | 15,482 | |||||||||
1,940 | Smith International, Inc.* | 113,063 | |||||||||
1,730 | Superior Energy Services, Inc.* | 19,341 | |||||||||
422 | TETRA Technologies, Inc.* | 11,120 | |||||||||
760 | Universal Compression Holdings, Inc.* | 24,936 | |||||||||
262 | Valero L.P. | 13,729 | |||||||||
1,891 | Varco International, Inc.* | 45,705 | |||||||||
652 | Veritas DGC Inc.* | 16,059 | |||||||||
2,521 | Weatherford International Ltd. (Bermuda)* | 117,932 | |||||||||
589 | W-H Energy Services Inc.* | 11,839 | |||||||||
2,275,283 | |||||||||||
Other Consumer Services (0.8%) | |||||||||||
778 | Alderwoods Group, Inc.* | 6,913 | |||||||||
2,852 | Apollo Group, Inc. (Class A)* | 238,285 | |||||||||
724 | Autobytel, Inc.* | 4,930 | |||||||||
3,454 | Block (H.&R.), Inc. | 169,695 | |||||||||
1,850 | Career Education Corp.* | 62,549 | |||||||||
19,632 | Cendant Corp. | 449,180 | |||||||||
705 | Central Parking Corp. | 11,231 | |||||||||
1,836 | Corinthian Colleges, Inc.* | 34,370 | |||||||||
1,357 | DeVry, Inc.* | 31,550 | |||||||||
8,829 | eBay Inc.* | 691,576 | |||||||||
1,234 | Education Management Corp.* | 34,256 | |||||||||
631 | HealthExtras, Inc.* | 9,364 | |||||||||
2,340 | Homestore, Inc.* | 8,249 | |||||||||
839 | ITT Educational Services, Inc.* | 26,722 | |||||||||
1,712 | MoneyGram International, Inc. | 32,014 | |||||||||
339 | Pre-Paid Legal Services, Inc.* | 7,848 | |||||||||
785 | Priceline.com Inc.* | 18,589 | |||||||||
807 | Renaissance Learning, Inc. | 17,189 | |||||||||
See Notes to Financial Statements
29
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
881 | Rollins, Inc. | $ | 20,395 | ||||||||
6,015 | Service Corp. International* | 38,195 | |||||||||
5,760 | ServiceMaster Co. (The) | 67,277 | |||||||||
1,202 | Sotheby's Holdings, Inc. (Class A)* | 19,208 | |||||||||
2,045 | Stewart Enterprises, Inc. (Class A)* | 14,233 | |||||||||
199 | Strayer Education, Inc. | 19,387 | |||||||||
840 | Weight Watchers International, Inc.* | 32,542 | |||||||||
2,065,747 | |||||||||||
Other Consumer Specialties (0.1%) | |||||||||||
2,826 | Fortune Brands, Inc. | 203,981 | |||||||||
1,573 | Fossil, Inc.* | 38,051 | |||||||||
690 | Matthews International Corp. (Class A) | 23,653 | |||||||||
335 | RC2 Corp.* | 10,519 | |||||||||
449 | Russ Berrie & Co., Inc. | 8,549 | |||||||||
284,753 | |||||||||||
Other Metals/Minerals (0.1%) | |||||||||||
2,143 | Hecla Mining Co.* | 11,572 | |||||||||
1,293 | Olin Corp. | 22,343 | |||||||||
1,738 | Phelps Dodge Corp.* | 135,460 | |||||||||
1,974 | USEC Inc. | 16,759 | |||||||||
186,134 | |||||||||||
Packaged Software (3.5%) | |||||||||||
4,534 | Adobe Systems, Inc. | 191,244 | |||||||||
480 | Altiris, Inc. * | 12,053 | |||||||||
294 | ANSYS, Inc.* | 13,947 | |||||||||
1,151 | Ascential Software Corp.* | 14,134 | |||||||||
1,064 | Aspect Communications Corp.* | 9,012 | |||||||||
2,162 | Autodesk, Inc. | 86,912 | |||||||||
4,384 | BMC Software, Inc.* | 68,741 | |||||||||
9,351 | Computer Associates International, Inc. | 236,019 | |||||||||
7,827 | Compuware Corp.* | 38,665 | |||||||||
1,439 | E.piphany, Inc.* | 5,756 | |||||||||
1,401 | Fair Isaac Corp. | 40,041 | |||||||||
1,052 | FileNET Corp.* | 19,988 | |||||||||
873 | Hyperion Solutions Corp.* | 35,810 | |||||||||
754 | Inet Technologies, Inc.* | 9,274 | |||||||||
2,274 | Informatica Corp.* | 13,803 | |||||||||
3,846 | Intuit Inc.* | $ | 143,994 | ||||||||
1,378 | Macromedia, Inc.* | 27,836 | |||||||||
1,144 | Macrovision Corp.* | 24,756 | |||||||||
745 | Magma Design Automation, Inc.* | 13,224 | |||||||||
611 | Manhattan Associates, Inc.* | 15,862 | |||||||||
1,371 | Manugistics Group, Inc.* | 3,770 | |||||||||
2,996 | McAfee Inc. | 53,868 | |||||||||
1,800 | Mercury Interactive Corp.* | 65,808 | |||||||||
1,928 | Micromuse Inc.* | 8,676 | |||||||||
203,383 | Microsoft Corp. | 5,788,280 | |||||||||
1,315 | NetIQ Corp.* | 12,532 | |||||||||
7,235 | Novell, Inc.* | 49,487 | |||||||||
79,710 | Oracle Corp.* | 837,752 | |||||||||
191 | PalmSource, Inc.* | 3,870 | |||||||||
6,243 | Parametric Technology Corp.* | 28,343 | |||||||||
2,161 | Quest Software, Inc.* | 26,062 | |||||||||
3,343 | Red Hat, Inc.* | 57,232 | |||||||||
1,053 | Retek, Inc.* | 4,275 | |||||||||
1,029 | Serena Software, Inc.* | 15,847 | |||||||||
1,844 | Sybase, Inc.* | 26,867 | |||||||||
6,026 | Symantec Corp.* | 281,776 | |||||||||
4,122 | TIBCO Software, Inc.* | 29,143 | |||||||||
696 | Transaction Systems Architects, Inc. (Class A)* | 11,902 | |||||||||
820 | Ulticom, Inc.* | 8,799 | |||||||||
8,248 | VERITAS Software Corp.* | 157,207 | |||||||||
831 | Verity, Inc.* | 9,249 | |||||||||
8,501,816 | |||||||||||
Personnel Services (0.1%) | |||||||||||
739 | AMN Healthcare Services, Inc.* | 9,533 | |||||||||
380 | CDI Corp. | 10,838 | |||||||||
485 | Gentiva Health Services, Inc.* | 7,377 | |||||||||
805 | Kelly Services, Inc. (Class A) | 21,840 | |||||||||
732 | Korn/Ferry International* | 13,052 | |||||||||
785 | Labor Ready, Inc.* | 11,006 | |||||||||
1,510 | Manpower, Inc. | 65,761 | |||||||||
2,185 | Monster Worldwide Inc.* | 48,267 | |||||||||
2,551 | MPS Group, Inc.* | 22,908 | |||||||||
438 | Resources Connection Inc.* | 16,986 | |||||||||
3,318 | Robert Half International, Inc. | 92,307 | |||||||||
1,163 | Spherion Corp.* | 10,060 | |||||||||
329,935 | |||||||||||
See Notes to Financial Statements
30
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Pharmaceuticals: Generic Drugs (0.2%) | |||||||||||
1,113 | Alpharma Inc. (Class A) | $ | 18,298 | ||||||||
1,896 | Barr Pharmaceuticals Inc.* | 65,128 | |||||||||
1,716 | Eon Labs, Inc.* | 49,970 | |||||||||
1,026 | Impax Laboratories, Inc.* | 14,518 | |||||||||
3,806 | IVAX Corp.* | 90,773 | |||||||||
5,209 | Mylan Laboratories, Inc. | 77,197 | |||||||||
706 | Par Pharmaceutical Cos Inc.* | 26,574 | |||||||||
1,652 | Valeant Pharmaceuticals International | 28,927 | |||||||||
2,117 | Watson Pharmaceuticals, Inc.* | 53,370 | |||||||||
424,755 | |||||||||||
Pharmaceuticals: Major (5.8%) | |||||||||||
29,460 | Abbott Laboratories | 1,159,251 | |||||||||
37,576 | Bristol-Myers Squibb Co. | 860,490 | |||||||||
55,919 | Johnson & Johnson | 3,090,643 | |||||||||
19,401 | Lilly (Eli) & Co. | 1,236,232 | |||||||||
41,910 | Merck & Co., Inc. | 1,900,619 | |||||||||
143,668 | Pfizer, Inc. | 4,591,629 | |||||||||
28,471 | Schering-Plough Corp. | 554,046 | |||||||||
25,093 | Wyeth | 888,292 | |||||||||
14,281,202 | |||||||||||
Pharmaceuticals: Other (0.4%) | |||||||||||
2,554 | Allergan, Inc. | 193,185 | |||||||||
713 | AtheroGenics, Inc.* | 10,253 | |||||||||
662 | Cell Therapeutics, Inc.* | 3,608 | |||||||||
283 | Cima Labs, Inc.* | 9,580 | |||||||||
767 | Columbia Laboratories, Inc.* | 2,270 | |||||||||
730 | Connetics Corp.* | 20,097 | |||||||||
2,636 | Endo Pharmaceuticals Holdings, Inc.* | 50,611 | |||||||||
680 | First Horizon Pharmaceutical Corp.* | 11,880 | |||||||||
7,084 | Forest Laboratories, Inc.* | 356,254 | |||||||||
620 | Inspire Pharmaceuticals, Inc.* | 8,116 | |||||||||
516 | Inveresk Research Group Inc.* | 18,731 | |||||||||
330 | Inverness Medical Innovations, Inc.* | 5,594 | |||||||||
4,761 | King Pharmaceuticals, Inc.* | 53,752 | |||||||||
419 | Kos Pharmaceuticals, Inc.* | 12,390 | |||||||||
1,056 | Medicis Pharmaceutical Corp. (Class A) | $ | 37,773 | ||||||||
1,732 | Perrigo Co. | 28,855 | |||||||||
554 | POZEN Inc.* | 3,601 | |||||||||
631 | Salix Pharmaceuticals, Ltd.* | 13,453 | |||||||||
1,764 | Sepracor, Inc.* | 81,091 | |||||||||
414 | United Therapeutics Corp.* | 10,251 | |||||||||
931,345 | |||||||||||
Precious Metals (0.2%) | |||||||||||
4,027 | Coeur D'Alene Mines Corp.* | 13,933 | |||||||||
3,288 | Freeport-McMoRan Copper & Gold, Inc. (Class B) | 114,587 | |||||||||
2,496 | Glamis Gold Ltd. (Canada)* | 39,187 | |||||||||
1,933 | Meridian Gold Inc. (Canada)* | 25,632 | |||||||||
7,967 | Newmont Mining Corp. | 322,424 | |||||||||
1,752 | Stillwater Mining Co.* | 25,492 | |||||||||
541,255 | |||||||||||
Property – Casualty Insurers (1.7%) | |||||||||||
2,307 | 21st Century Insurance Group | 29,414 | |||||||||
1,715 | Alfa Corp. | 23,187 | |||||||||
148 | Alleghany Corp.* | 40,034 | |||||||||
1,044 | Allmerica Financial Corp.* | 31,122 | |||||||||
13,632 | Allstate Corp. (The) | 641,795 | |||||||||
1,153 | American Financial Group, Inc. | 34,233 | |||||||||
681 | Arch Capital Group Ltd.* | 26,219 | |||||||||
1,710 | Berkley (W.R.) Corp. | 70,007 | |||||||||
22 | Berkshire Hathaway, Inc. (Class A)* | 1,919,500 | |||||||||
3,660 | Chubb Corp. (The) | 251,735 | |||||||||
3,354 | Cincinnati Financial Corp. | 133,758 | |||||||||
667 | Commerce Group, Inc. (The) | 32,289 | |||||||||
1,242 | Erie Indemnity Co. (Class A) | 56,287 | |||||||||
617 | Harleysville Group, Inc. | 11,661 | |||||||||
400 | Infinity Property & Casualty Corp. | 11,512 | |||||||||
1,054 | Mercury General Corp. | 49,675 | |||||||||
344 | Midland Co. (The) | 9,821 | |||||||||
1,421 | Odyssey Re Holdings Corp. | 33,180 | |||||||||
990 | Ohio Casualty Corp.* | 18,513 | |||||||||
3,573 | Old Republic International Corp. | 83,215 | |||||||||
See Notes to Financial Statements
31
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
413 | Philadelphia Consolidated Holding Corp.* | $ | 22,579 | ||||||||
612 | PMA Capital Corp. (Class A)* | 4,749 | |||||||||
4,185 | Progressive Corp. (The) | 320,655 | |||||||||
489 | RLI Corp. | 17,995 | |||||||||
661 | Selective Insurance Group, Inc. | 23,803 | |||||||||
4,295 | St. Paul Travelers Companies, Inc. | 159,216 | |||||||||
767 | State Auto Financial Corp. | 23,723 | |||||||||
527 | Transatlantic Holdings, Inc. | 29,844 | |||||||||
174 | White Mountains Insurance Group, Ltd. (Bermuda) | 87,957 | |||||||||
4,197,678 | |||||||||||
Publishing: Books/Magazines (0.1%) | |||||||||||
407 | Information Holdings Inc.* | 11,111 | |||||||||
1,218 | John Wiley & Sons, Inc. (Class A) | 39,414 | |||||||||
1,037 | Meredith Corp. | 54,837 | |||||||||
5,580 | PRIMEDIA Inc.* | 13,392 | |||||||||
2,367 | Reader's Digest Assoc., Inc. (The) (Class A) | 33,801 | |||||||||
754 | Scholastic Corp.* | 20,743 | |||||||||
173,298 | |||||||||||
Publishing: Newspapers (0.6%) | |||||||||||
2,217 | Belo Corp. (Series A) | 51,833 | |||||||||
1,580 | Dow Jones & Co., Inc. | 66,960 | |||||||||
5,247 | Gannett Co., Inc. | 436,236 | |||||||||
1,689 | Hollinger International, Inc. (Class A) | 27,953 | |||||||||
1,399 | Journal Register Co. * | 27,141 | |||||||||
1,548 | Knight-Ridder, Inc. | 101,843 | |||||||||
864 | Lee Enterprises, Inc. | 40,219 | |||||||||
900 | McClatchy Co. (The) (Class A) | 62,055 | |||||||||
581 | Media General, Inc. (Class A) | 34,721 | |||||||||
2,886 | New York Times Co. (The) (Class A) | 120,058 | |||||||||
187 | Pulitzer Inc. | 8,649 | |||||||||
833 | Scripps (E.W.) Co. (Class A) | 85,316 | |||||||||
4,359 | Tribune Co. | 185,040 | |||||||||
186 | Washington Post Co. (The) (Class B) | 161,429 | |||||||||
1,409,453 | |||||||||||
Pulp & Paper (0.3%) | |||||||||||
1,081 | Bowater, Inc. | $ | 40,321 | ||||||||
4,936 | Georgia-Pacific Corp. | 165,850 | |||||||||
1,110 | Glatfelter (P.H.) Co. | 14,796 | |||||||||
9,362 | International Paper Co. | 404,719 | |||||||||
997 | Longview Fibre Co.* | 12,871 | |||||||||
3,912 | MeadWestvaco Corp. | 116,812 | |||||||||
560 | Potlatch Corp. | 22,450 | |||||||||
288 | Schweitzer-Mauduit International, Inc. | 8,136 | |||||||||
1,156 | Wausau-Mosinee Paper Corp. | 17,964 | |||||||||
803,919 | |||||||||||
Railroads (0.4%) | |||||||||||
7,270 | Burlington Northern Santa Fe Corp. | 257,940 | |||||||||
4,177 | CSX Corp. | 130,740 | |||||||||
827 | Florida East Coast Industries, Inc. | 30,740 | |||||||||
1,705 | Kansas City Southern Industries, Inc.* | 24,927 | |||||||||
7,618 | Norfolk Southern Corp. | 203,324 | |||||||||
622 | RailAmerica, Inc.* | 6,998 | |||||||||
4,971 | Union Pacific Corp. | 280,066 | |||||||||
934,735 | |||||||||||
Real Estate Development (0.1%) | |||||||||||
968 | Forest City Enterprise, Inc. (Class A) | 50,723 | |||||||||
420 | Getty Realty Corp. | 9,811 | |||||||||
614 | Jones Lang LaSalle, Inc.* | 17,806 | |||||||||
627 | LNR Property Corp. | 33,864 | |||||||||
1,487 | St. Joe Co. (The) | 63,971 | |||||||||
283 | Tejon Ranch Co.* | 9,424 | |||||||||
716 | Trammell Crow Co.* | 9,602 | |||||||||
1,134 | W.P. Carey & Co., LLC | 35,041 | |||||||||
230,242 | |||||||||||
Real Estate Investment Trusts (1.8%) | |||||||||||
532 | Acadia Reality Trust | 7,538 | |||||||||
98 | Alexander's, Inc.* | 16,724 | |||||||||
373 | Alexandria Real Estate Equities, Inc. | 22,414 | |||||||||
1,594 | AMB Property Corp. | 56,013 | |||||||||
1,092 | American Financial Reality Trust | 14,469 | |||||||||
See Notes to Financial Statements
32
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | |||||||||
372 | Amli Residential Properties Trust | $ | 10,740 | |||||||
1,757 | Annaly Mortgage Management Inc. | 28,991 | ||||||||
1,387 | Anthracite Capital, Inc. | 15,215 | ||||||||
657 | Anworth Mortgage Asset Corp. | 6,964 | ||||||||
1,837 | Apartment Investment & Management Co. (Class A) | 58,729 | ||||||||
3,838 | Archstone-Smith Trust | 112,952 | ||||||||
1,245 | Arden Realty, Inc. | 37,848 | ||||||||
1,379 | Avalonbay Communities, Inc. | 80,258 | ||||||||
323 | Bedford Property Investors, Inc. | 9,041 | ||||||||
1,897 | Boston Properties, Inc. | 100,351 | ||||||||
905 | Brandywine Realty Trust | 24,707 | ||||||||
962 | BRE Properties, Inc. (Class A) | 33,333 | ||||||||
743 | BPP Liquidating Trust, Inc.* | 238 | ||||||||
768 | Camden Property Trust | 34,560 | ||||||||
1,000 | Capital Automotive REIT | 28,990 | ||||||||
1,018 | CarrAmerica Realty Corp. | 31,039 | ||||||||
1,780 | Catellus Development Corp. | 44,500 | ||||||||
589 | CBL & Associates Properties, Inc. | 32,454 | ||||||||
896 | CenterPoint Properties Corp. | 34,388 | ||||||||
846 | Chelsea Property Group, Inc. | 55,092 | ||||||||
787 | Colonial Properties Trust | 29,906 | ||||||||
1,493 | Commercial Net Lease Realty | 25,381 | ||||||||
1,069 | Cornerstone Realty Income Trust, Inc. | 9,375 | ||||||||
574 | Corporate Office Properties Trust | 14,539 | ||||||||
947 | Cousins Properties, Inc. | 30,427 | ||||||||
1,923 | Crescent Real Estate Equities Co. | 30,210 | ||||||||
416 | CRT Properties Inc. | 8,986 | ||||||||
1,674 | Developers Diversified Realty Corp. | 60,063 | ||||||||
2,649 | Duke Realty Corp. | 81,483 | ||||||||
358 | EastGroup Properties, Inc. | 11,610 | ||||||||
393 | Entertainment Properties Trust | 13,896 | ||||||||
828 | Equity Inns, Inc. | 7,510 | ||||||||
7,761 | Equity Office Properties Trust | 201,398 | ||||||||
1,877 | Equity One, Inc. | $ | 33,880 | |||||||
5,325 | Equity Residential | 157,354 | ||||||||
509 | Essex Property Trust, Inc. | 33,543 | ||||||||
953 | Federal Realty Investment Trust | 40,217 | ||||||||
1,152 | FelCor Lodging Trust, Inc.* | 13,133 | ||||||||
1,118 | First Industrial Realty Trust, Inc. | 40,964 | ||||||||
2,725 | Friedman, Billings, Ramsey Group, Inc. | 44,826 | ||||||||
538 | Gables Residential Trust | 17,781 | ||||||||
4,191 | General Growth Properties, Inc. | 126,065 | ||||||||
856 | Glenborough Realty Trust Inc. | 15,648 | ||||||||
862 | Glimcher Realty Trust | 18,671 | ||||||||
2,474 | Health Care Property Investors, Inc. | 61,751 | ||||||||
827 | Health Care REIT, Inc. | 26,687 | ||||||||
835 | Healthcare Realty Trust, Inc. | 30,160 | ||||||||
816 | Heritage Property Investment Trust | 22,407 | ||||||||
1,036 | Highwoods Properties, Inc. | 24,035 | ||||||||
565 | Home Properties, Inc. | 21,244 | ||||||||
1,213 | Hospitality Properties Trust | 48,374 | ||||||||
5,877 | Host Marriott Corp.* | 76,107 | ||||||||
3,496 | HRPT Properties Trust | 35,205 | ||||||||
1,135 | Impac Mortgage Holdings, Inc. | 26,048 | ||||||||
722 | Investors Real Estate Trust | 7,133 | ||||||||
1,962 | iStar Financial Inc. | 74,556 | ||||||||
426 | Keystone Property Trust | 10,122 | ||||||||
859 | Kilroy Realty Corp. | 30,409 | ||||||||
2,139 | Kimco Realty Corp. | 102,886 | ||||||||
468 | Kramont Reality Trust | 7,441 | ||||||||
686 | Lexington Corporate Properties Trust | 13,418 | ||||||||
1,547 | Liberty Property Trust | 59,405 | ||||||||
933 | Macerich Co. (The) | 44,691 | ||||||||
1,129 | Mack-Cali Realty Corp. | 46,176 | ||||||||
833 | Maguire Properties, Inc. | 20,617 | ||||||||
437 | Manufactured Home Communities, Inc. | 13,849 | ||||||||
1,189 | MeriStar Hospitality Corp.* | 6,896 | ||||||||
See Notes to Financial Statements
33
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
381 | Mid-America Apartment Communities, Inc. | $ | 13,659 | ||||||||
933 | Mills Corp. | 42,545 | |||||||||
522 | National Health Investors, Inc. | 14,318 | |||||||||
1,683 | Nationwide Health Properties, Inc. | 32,145 | |||||||||
1,893 | New Plan Excel Realty Trust | 44,959 | |||||||||
496 | Novastar Financial, Inc. | 19,895 | |||||||||
784 | Pan Pacific Retail Properties, Inc. | 39,670 | |||||||||
202 | Parkway Properties, Inc. | 8,868 | |||||||||
680 | Pennsylvania Real Estate Investment Trust | 23,712 | |||||||||
3,572 | Plum Creek Timber Co., Inc. | 112,089 | |||||||||
1,062 | Post Properties, Inc. | 29,725 | |||||||||
1,172 | Prentiss Properties Trust | 40,153 | |||||||||
3,503 | ProLogis | 119,242 | |||||||||
417 | PS Business Parks, Inc. | 16,763 | |||||||||
2,460 | Public Storage, Inc. | 115,940 | |||||||||
486 | RAIT Investment Trust | 11,781 | |||||||||
970 | Rayonier Inc. | 42,661 | |||||||||
684 | Realty Income Corp. | 27,716 | |||||||||
1,321 | Reckson Associates Realty Corp. | 36,605 | |||||||||
507 | Redwood Trust, Inc. | 28,782 | |||||||||
1,161 | Regency Center Corp. | 49,343 | |||||||||
1,722 | Rouse Co. (The) | 84,034 | |||||||||
307 | Saul Centers, Inc. | 9,210 | |||||||||
1,240 | Senior Housing Properties Trust | 20,708 | |||||||||
878 | Shurgard Storage Centers, Inc. (Class A) | 32,486 | |||||||||
3,742 | Simon Property Group, Inc. | 193,125 | |||||||||
668 | SL Green Realty Corp. | 32,799 | |||||||||
261 | Sovran Self Storage, Inc. | 10,124 | |||||||||
721 | Summit Properties Inc. | 18,602 | |||||||||
359 | Sun Communities, Inc. | 13,502 | |||||||||
202 | Tanger Factory Outlet Centers, Inc. | 8,009 | |||||||||
1,271 | Taubman Centers, Inc. | 29,360 | |||||||||
1,397 | Thornburg Mortgage, Inc. | 38,739 | |||||||||
320 | Town & Country Trust | 7,818 | |||||||||
2,936 | Trizec Properties, Inc. | 47,123 | |||||||||
2,344 | United Dominion Realty Trust, Inc. | $ | 45,450 | ||||||||
1,550 | Ventas, Inc. | 39,556 | |||||||||
2,231 | Vornado Realty Trust | 129,599 | |||||||||
910 | Washington Real Estate Investment Trust | 25,425 | |||||||||
1,527 | Weingarten Realty Investors | 47,032 | |||||||||
4,477,303 | |||||||||||
Recreational Products (0.4%) | |||||||||||
349 | Action Performance Companies, Inc. | 3,769 | |||||||||
2,577 | Activision, Inc.* | 37,753 | |||||||||
426 | Arctic Cat, Inc. | 11,557 | |||||||||
2,358 | Atari, Inc.* | 4,339 | |||||||||
1,860 | Brunswick Corp. | 72,596 | |||||||||
1,831 | Callaway Golf Co. | 20,141 | |||||||||
5,772 | Electronic Arts Inc.* | 289,350 | |||||||||
3,381 | Hasbro, Inc. | 61,433 | |||||||||
529 | K2 Inc.* | 7,538 | |||||||||
594 | Leapfrog Enterprises, Inc. (Class A)* | 11,761 | |||||||||
2,100 | Marvel Enterprises, Inc.* | 27,405 | |||||||||
8,329 | Mattel, Inc. | 145,924 | |||||||||
567 | Monaco Coach Corp. | 13,767 | |||||||||
844 | Polaris Industries Inc. | 40,343 | |||||||||
1,174 | Scientific Games Corp. (Class A)* | 20,909 | |||||||||
859 | Take-Two Interactive Software, Inc.* | 26,904 | |||||||||
1,192 | Thor Industries, Inc. | 37,322 | |||||||||
834 | THQ, Inc.* | 15,888 | |||||||||
792 | Winnebago Industries, Inc. | 29,185 | |||||||||
584 | WMS Industries, Inc.* | 15,908 | |||||||||
893,792 | |||||||||||
Regional Banks (2.4%) | |||||||||||
412 | 1st Source Corp. | 9,921 | |||||||||
306 | Alabama National BanCorporation | 17,512 | |||||||||
950 | Amcore Financial, Inc. | 26,838 | |||||||||
6,802 | AmSouth Bancorporation | 166,853 | |||||||||
2,130 | Associated Banc-Corp. | 64,134 | |||||||||
152 | BancFirst Corp. | 9,036 | |||||||||
1,511 | BancorpSouth, Inc. | 31,912 | |||||||||
See Notes to Financial Statements
34
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | |||||||||
1,084 | Bank of Hawaii Corp. | $ | 48,704 | |||||||
3,173 | Banknorth Group, Inc. | 101,250 | ||||||||
1,139 | BOK Financial Corp.* | 46,733 | ||||||||
444 | Boston Private Financial Holdings, Inc. | 10,305 | ||||||||
258 | Capital City Bank Group, Inc. | 9,961 | ||||||||
356 | Cathay General Bancorp, Inc. | 23,856 | ||||||||
313 | Central Pacific Financial Corp. | 8,479 | ||||||||
4,314 | Charter One Financial, Inc. | 191,585 | ||||||||
483 | Chemical Financial Corp. | 16,683 | ||||||||
854 | Chittenden Corp. | 29,010 | ||||||||
1,247 | Citizens Banking Corp. | 39,156 | ||||||||
325 | City Holding Co. | 9,903 | ||||||||
949 | City National Corp. | 61,211 | ||||||||
2,411 | Colonial BancGroup, Inc. (The) | 46,508 | ||||||||
1,446 | Commerce Bancorp, Inc. | 72,792 | ||||||||
1,349 | Commerce Bancshares, Inc. | 62,877 | ||||||||
506 | Community Bank System, Inc. | 11,390 | ||||||||
1,027 | Community First Bankshares, Inc. | 33,069 | ||||||||
2,359 | Compass Bancshares, Inc. | 104,008 | ||||||||
724 | Corus Bankshares, Inc. | 29,069 | ||||||||
1,005 | Cullen/Frost Bankers, Inc. | 43,235 | ||||||||
1,373 | CVB Financial Corp. | 28,366 | ||||||||
1,064 | East West Bancorp, Inc. | 35,878 | ||||||||
902 | F.N.B Corp. | 18,157 | ||||||||
9,549 | Fifth Third Bancorp | 471,339 | ||||||||
775 | First Bancorp (Puerto Rico) | 32,899 | ||||||||
1,027 | First Charter Corp. | 23,159 | ||||||||
303 | First Citizens BancShares, Inc. (Class A) | 36,057 | ||||||||
1,523 | First Commonwealth Financial Corp. | 19,479 | ||||||||
309 | First Community Bancorp | 12,283 | ||||||||
1,503 | First Financial Bancorp | 26,152 | ||||||||
302 | First Financial Bankshares, Inc. | 12,086 | ||||||||
264 | First Financial Corp. | 8,416 | ||||||||
2,432 | First Horizon National Corp. | 105,427 | ||||||||
361 | First Merchants Corp. | 8,974 | ||||||||
909 | First Midwest Bancorp, Inc. | 30,697 | ||||||||
929 | First National Bankshares of Florida | $ | 16,527 | |||||||
284 | First Republic Bank | 12,297 | ||||||||
1,679 | FirstMerit Corp. | 43,553 | ||||||||
1,013 | Flagstar Bancorp | 19,926 | ||||||||
563 | Frontier Financial Corp. | 18,917 | ||||||||
2,242 | Fulton Financial Corp. | 45,983 | ||||||||
471 | Glacier Bancorp, Inc. | 12,472 | ||||||||
760 | Gold Banc Corp., Inc. | 11,818 | ||||||||
1,019 | Greater Bay Bancorp | 26,851 | ||||||||
594 | Hancock Holding Co. | 17,838 | ||||||||
465 | Harleysville National Corp. | 10,914 | ||||||||
3,047 | Hibernia Corp. (Class A) | 77,089 | ||||||||
868 | Hudson United Bancorp | 29,729 | ||||||||
285 | Independent Bank Corp.– Massachusetts | 8,074 | ||||||||
937 | International Bancshares Corp. | 36,121 | ||||||||
661 | Irwin Financial Corp. | 17,669 | ||||||||
2,326 | M&T Bank Corp. | 216,853 | ||||||||
369 | Main Street Banks, Inc. | 10,100 | ||||||||
4,387 | Marshall & Ilsley Corp. | 168,505 | ||||||||
1,627 | Mercantile Bankshares Corp. | 73,882 | ||||||||
457 | Mid-State Bancshares | 11,137 | ||||||||
348 | Midwest Banc Holdings, Inc. | 6,612 | ||||||||
3,972 | National Commerce Financial Corp. | 129,090 | ||||||||
772 | National Penn Bancshares, Inc. | 22,488 | ||||||||
894 | NBT Bancorp, Inc. | 19,445 | ||||||||
3,387 | North Fork Bancorporation, Inc. | 132,262 | ||||||||
4,270 | Northern Trust Corp. | 171,355 | ||||||||
1,299 | Old National Bancorp | 30,916 | ||||||||
379 | Oriental Financial Group, Inc. | 9,646 | ||||||||
880 | Pacific Capital Bancorp | 24,394 | ||||||||
267 | Park National Corp. | 31,431 | ||||||||
370 | Prosperity Bancshares, Inc. | 8,965 | ||||||||
787 | Provident Bankshares Corp. | 23,523 | ||||||||
1,033 | R&G Financial Corp. (Class B) (Puerto Rico) | 36,238 | ||||||||
1,568 | Republic Bancorp Inc. | 22,971 | ||||||||
558 | Riggs National Corp. | 12,438 | ||||||||
818 | S & T Bancorp, Inc. | 27,215 | ||||||||
283 | Sandy Spring Bancorp, Inc. | 8,818 | ||||||||
See Notes to Financial Statements
35
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,065 | Santander BanCorp. (Puerto Rico) | $ | 24,490 | ||||||||
865 | Silicon Valley Bancshares* | 31,668 | |||||||||
1,763 | Sky Financial Group, Inc. | 41,166 | |||||||||
1,143 | South Financial Group, Inc. (The) | 30,964 | |||||||||
1,470 | Southwest Bancorporation of Texas, Inc. | 29,915 | |||||||||
291 | Sterling Bancorp | 7,845 | |||||||||
863 | Sterling Bancshares, Inc. | 11,254 | |||||||||
413 | Sterling Financial Corp. | 10,036 | |||||||||
215 | Suffolk Bancorp | 6,444 | |||||||||
776 | Susquehanna Bancshares, Inc. | 18,058 | |||||||||
5,847 | Synovus Financial Corp. | 148,923 | |||||||||
1,375 | TCF Financial Corp. | 83,050 | |||||||||
689 | Texas Regional Bancshares, Inc. (Class A) | 30,654 | |||||||||
2,142 | Trustco Bank Corp. of New York | 27,075 | |||||||||
1,133 | Trustmark Corp. | 32,574 | |||||||||
36,174 | U.S. Bancorp | 1,023,724 | |||||||||
974 | UCBH Holdings, Inc. | 38,074 | |||||||||
572 | UMB Financial Corp. | 28,669 | |||||||||
704 | Umpqua Holdings Corp. | 15,917 | |||||||||
1,234 | United Bankshares, Inc. | 38,896 | |||||||||
625 | United Community Banks, Inc. | 14,394 | |||||||||
422 | Unizan Financial Corp. | 11,563 | |||||||||
1,922 | Valley National Bancorp | 47,819 | |||||||||
391 | WesBanco, Inc. | 11,011 | |||||||||
639 | Westamerica Bancorporation | 32,416 | |||||||||
857 | Whitney Holding Corp. | 35,017 | |||||||||
1,279 | Wilmington Trust Corp. | 44,637 | |||||||||
364 | Wintrust Financial Corp. | 19,303 | |||||||||
1,741 | Zions Bancorporation | 105,331 | |||||||||
5,800,308 | |||||||||||
Restaurants (0.8%) | |||||||||||
1,597 | Applebee's International, Inc. | 42,544 | |||||||||
942 | Bob Evans Farms, Inc. | 25,076 | |||||||||
1,873 | Brinker International, Inc.* | 67,072 | |||||||||
959 | CBRL Group, Inc. | 31,858 | |||||||||
1,080 | CEC Entertainment, Inc.* | 39,258 | |||||||||
1,002 | Cheesecake Factory, Inc. (The)* | $ | 41,854 | ||||||||
1,124 | CKE Restaurants, Inc.* | 16,208 | |||||||||
3,194 | Darden Restaurants, Inc. | 68,128 | |||||||||
619 | IHOP Corp. | 22,897 | |||||||||
1,003 | Jack in the Box Inc.* | 31,996 | |||||||||
1,124 | Krispy Kreme Doughnuts, Inc.* | 17,692 | |||||||||
558 | Landry's Restaurants, Inc. | 16,868 | |||||||||
405 | Lone Star Steakhouse & Saloon, Inc. | 9,817 | |||||||||
24,591 | McDonald's Corp. | 676,253 | |||||||||
1,450 | Outback Steakhouse, Inc. | 58,885 | |||||||||
570 | P.F. Chang's China Bistro, Inc.* | 25,325 | |||||||||
604 | Panera Bread Co. (Class A)* | 22,282 | |||||||||
350 | Papa John's International, Inc.* | 10,630 | |||||||||
798 | RARE Hospitality International, Inc.* | 22,512 | |||||||||
297 | Red Robin Gourmet Burgers Inc.* | 10,128 | |||||||||
1,260 | Ruby Tuesday, Inc. | 36,401 | |||||||||
1,231 | Ryan's Restaurant Group Inc.* | 17,837 | |||||||||
1,041 | Sonic Corp.* | 23,943 | |||||||||
7,578 | Starbucks Corp.* | 355,863 | |||||||||
528 | The Steak n Shake Co.* | 9,039 | |||||||||
1,868 | Triarc Companies, Inc. (Class B) | 18,232 | |||||||||
2,301 | Wendy's International, Inc. | 82,307 | |||||||||
5,699 | Yum! Brands, Inc. | 218,785 | |||||||||
2,019,690 | |||||||||||
Savings Banks (0.9%) | |||||||||||
728 | Anchor Bancorp Wisconsin, Inc. | 18,520 | |||||||||
1,538 | Astoria Financial Corp. | 52,538 | |||||||||
2,535 | Bank Mutual Corp. | 28,595 | |||||||||
1,164 | BankAtlantic Bancorp, Inc. (Class A) | 21,231 | |||||||||
578 | BankUnited Financial Corp. (Class A)* | 15,514 | |||||||||
1,492 | Brookline Bancorp, Inc. | 21,231 | |||||||||
1,422 | Capitol Federal Financial | 44,964 | |||||||||
See Notes to Financial Statements
36
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
580 | Charter Financial Corp. | $ | 18,798 | ||||||||
987 | Commercial Federal Corp. | 25,988 | |||||||||
828 | Dime Community Bancshares | 13,761 | |||||||||
600 | Downey Financial Corp. | 32,250 | |||||||||
293 | Fidelity Bankshares, Inc. | 10,018 | |||||||||
386 | First Federal Capital Corp. | 10,924 | |||||||||
1,577 | First Niagara Financial Group, Inc. | 19,224 | |||||||||
446 | Firstfed Financial Corp.* | 20,208 | |||||||||
2,944 | Golden West Financial Corp. | 314,743 | |||||||||
2,584 | GreenPoint Financial Corp. | 104,988 | |||||||||
513 | Harbor Florida Bancshares, Inc. | 14,769 | |||||||||
1,381 | Hudson City Bancorp, Inc. | 47,865 | |||||||||
592 | Hudson River Bancorp, Inc. | 10,230 | |||||||||
1,161 | Independence Community Bank Corp. | 43,352 | |||||||||
480 | MAF Bancorp, Inc. | 19,272 | |||||||||
739 | MB Financial, Inc. | 26,929 | |||||||||
984 | Net.B@nk, Inc. | 10,568 | |||||||||
4,973 | New York Community Bancorp, Inc. | 95,681 | |||||||||
1,139 | Northwest Bancorp, Inc. | 23,851 | |||||||||
1,798 | People's Bank | 56,655 | |||||||||
323 | PFF Bancorp, Inc. | 11,861 | |||||||||
589 | Provident Financial Services, Inc. | 10,396 | |||||||||
6,554 | Sovereign Bancorp, Inc. | 142,683 | |||||||||
317 | Sterling Financial Corp.* | 10,030 | |||||||||
2,050 | W. Holding Co., Inc. (Puerto Rico) | 33,825 | |||||||||
1,486 | Washington Federal, Inc. | 37,224 | |||||||||
17,426 | Washington Mutual, Inc. | 676,129 | |||||||||
658 | Waypoint Financial Corp. | 18,062 | |||||||||
1,016 | Webster Financial Corp. | 47,671 | |||||||||
836 | Westcorp | 34,761 | |||||||||
2,145,309 | |||||||||||
Semiconductors (2.6%) | |||||||||||
487 | Actel Corp.* | 7,315 | |||||||||
6,754 | Advanced Micro Devices, Inc.* | 84,357 | |||||||||
32,357 | Agere Systems Inc. (Class A)* | 40,123 | |||||||||
7,466 | Altera Corp.* | 155,442 | |||||||||
584 | Amis Holdings, Inc.* | $ | 8,602 | ||||||||
7,132 | Analog Devices, Inc. | 283,140 | |||||||||
5,948 | Applied Micro Circuits Corp.* | 21,413 | |||||||||
9,135 | Atmel Corp.* | 39,098 | |||||||||
5,735 | Broadcom Corp. (Class A)* | 202,790 | |||||||||
1,650 | Cirrus Logic, Inc.* | 10,032 | |||||||||
9,350 | Conexant Systems, Inc.* | 14,867 | |||||||||
2,310 | Cypress Semiconductor Corp.* | 26,195 | |||||||||
964 | DSP Group, Inc.* | 19,000 | |||||||||
755 | ESS Technology, Inc.* | 5,172 | |||||||||
788 | Exar Corp.* | 10,614 | |||||||||
2,290 | Fairchild Semiconductor Corp. (Class A)* | 33,640 | |||||||||
617 | Genesis Microchip, Inc.* | 7,089 | |||||||||
1,398 | Integrated Circuit Systems, Inc.* | 33,440 | |||||||||
2,031 | Integrated Device Technology, Inc.* | 23,214 | |||||||||
546 | Integrated Silicon Solution, Inc.* | 4,597 | |||||||||
122,169 | Intel Corp. | 2,978,480 | |||||||||
�� | 1,253 | International Rectifier Corp.* | 49,118 | ||||||||
2,692 | Intersil Corp. (Class A) | 49,452 | |||||||||
3,152 | Lattice Semiconductor Corp.* | 15,445 | |||||||||
6,111 | Linear Technology Corp. | 238,940 | |||||||||
7,345 | LSI Logic Corp.* | 37,386 | |||||||||
6,339 | Maxim Integrated Products, Inc. | 304,906 | |||||||||
2,555 | Micrel, Inc.* | 26,240 | |||||||||
4,019 | Microchip Technology Inc. | 116,430 | |||||||||
11,831 | Micron Technology, Inc.* | 160,073 | |||||||||
1,132 | Microsemi Corp.* | 13,867 | |||||||||
2,122 | Mindspeed Technologies Inc.* | 6,854 | |||||||||
7,178 | National Semiconductor Corp.* | 123,103 | |||||||||
3,142 | NVIDIA Corp.* | 48,387 | |||||||||
4,212 | ON Semiconductor Corp.* | 16,848 | |||||||||
871 | Pixelworks, Inc.* | 8,527 | |||||||||
840 | Power Integrations, Inc.* | 16,951 | |||||||||
1,897 | Rambus Inc.* | 31,813 | |||||||||
3,599 | RF Micro Devices, Inc.* | 21,306 | |||||||||
1,430 | Semtech Corp.* | 28,386 | |||||||||
See Notes to Financial Statements
37
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
655 | Sigmatel Corp.* | $ | 10,002 | ||||||||
1,378 | Silicon Image, Inc.* | 16,522 | |||||||||
964 | Silicon Laboratories Inc.* | 34,020 | |||||||||
1,853 | Silicon Storage Technology, Inc.* | 12,304 | |||||||||
847 | Siliconix, Inc.* | 36,099 | |||||||||
3,371 | Skyworks Solutions, Inc.* | 28,249 | |||||||||
328 | Standard Microsystems Corp.* | 5,645 | |||||||||
33,533 | Texas Instruments Inc. | 715,259 | |||||||||
2,740 | Transmeta Corp.* | 3,096 | |||||||||
4,484 | TriQuint Semiconductor, Inc.* | 18,160 | |||||||||
5,650 | Vitesse Semiconductor Corp.* | 15,820 | |||||||||
6,655 | Xilinx, Inc. | 195,857 | |||||||||
793 | Zoran Corp.* | 14,028 | |||||||||
6,427,713 | |||||||||||
Services to the Health Industry (0.4%) | |||||||||||
543 | aaiPharma Inc.* | 2,291 | |||||||||
912 | Accredo Health, Inc.* | 29,549 | |||||||||
262 | Advisory Board Co. (The)* | 8,363 | |||||||||
621 | Albany Molecular Research, Inc.* | 7,377 | |||||||||
696 | Cerner Corp.* | 31,320 | |||||||||
1,141 | Covance, Inc.* | 41,863 | |||||||||
789 | Dendrite International, Inc.* | 11,764 | |||||||||
890 | Eclipsys Corp.* | 13,359 | |||||||||
964 | eResearch Technology, inc.* | 24,013 | |||||||||
1,539 | Express Scripts, Inc. (Class A)* | 100,958 | |||||||||
574 | IDX Systems Corp.* | 17,237 | |||||||||
4,640 | IMS Health Inc. | 112,474 | |||||||||
2,773 | Laboratory Corp. of America Holdings* | 108,591 | |||||||||
5,354 | Medco Health Solutions Inc.* | 162,226 | |||||||||
1,067 | MedQuist Inc.* | 12,174 | |||||||||
681 | NDC Health Corp. | 14,308 | |||||||||
825 | Odyssey Healthcare, Inc.* | 14,174 | |||||||||
1,857 | Omnicare, Inc. | 52,497 | |||||||||
501 | PAREXEL International Corp.* | 9,624 | |||||||||
593 | Per-Se Technologies, Inc.* | 8,332 | |||||||||
1,144 | Pharmaceutical Product Development, Inc.* | 40,109 | |||||||||
1,982 | Quest Diagnostics Inc. | 162,683 | |||||||||
804 | Stericycle, Inc.* | $ | 39,396 | ||||||||
306 | VistaCare, Inc. (Class A)* | 5,649 | |||||||||
5,947 | WebMD Corp.* | 48,409 | |||||||||
1,078,740 | |||||||||||
Specialty Insurance (0.4%) | |||||||||||
2,084 | Ambac Financial Group, Inc. | 148,193 | |||||||||
839 | CNA Surety Corp.* | 8,566 | |||||||||
2,890 | Fidelity National Financial, Inc. | 104,763 | |||||||||
1,515 | First American Financial Corp. | 40,693 | |||||||||
318 | LandAmerica Financial Group, Inc. | 12,561 | |||||||||
191 | Markel Corp.* | 53,958 | |||||||||
2,774 | MBIA Inc. | 149,741 | |||||||||
1,949 | MGIC Investment Corp. | 138,379 | |||||||||
1,811 | PMI Group, Inc. (The) | 74,668 | |||||||||
919 | Proassurance Corp.* | 29,123 | |||||||||
1,762 | Radian Group, Inc. | 81,087 | |||||||||
349 | Stewart Information Services Corp. | 12,372 | |||||||||
279 | Triad Guaranty, Inc.* | 15,178 | |||||||||
869,282 | |||||||||||
Specialty Stores (0.8%) | |||||||||||
376 | AC Moore Arts & Crafts, Inc.* | 9,456 | |||||||||
1,394 | Advance Auto Parts, Inc.* | 51,745 | |||||||||
633 | Asbury Automotive Group Inc.* | 8,628 | |||||||||
5,330 | AutoNation, Inc.* | 85,920 | |||||||||
1,747 | AutoZone, Inc.* | 134,868 | |||||||||
1,307 | Barnes & Noble, Inc.* | 44,935 | |||||||||
5,737 | Bed Bath & Beyond Inc.* | 203,032 | |||||||||
1,137 | Boise Cascade Corp. | 36,668 | |||||||||
685 | Bombay Co., Inc. (The)* | 4,048 | |||||||||
1,500 | Borders Group, Inc. | 34,305 | |||||||||
2,008 | CarMax Inc.* | 41,766 | |||||||||
351 | Central Garden & Pet Co.* | 9,961 | |||||||||
2,004 | Claire's Stores, Inc. | 46,192 | |||||||||
445 | Cost Plus, Inc.* | 14,890 | |||||||||
1,037 | CSK Auto Corp.* | 14,362 | |||||||||
622 | Dick's Sporting Goods, Inc.* | 20,215 | |||||||||
495 | Group 1 Automotive, Inc.* | 14,721 | |||||||||
See Notes to Financial Statements
38
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
530 | Guitar Center, Inc.* | $ | 23,824 | ||||||||
428 | Haverty Furniture Companies, Inc. | 7,957 | |||||||||
450 | Hibbett Sporting Goods, Inc.* | 8,577 | |||||||||
450 | Jo-Ann Stores, Inc.* | 11,934 | |||||||||
960 | Linens 'N Things, Inc.* | 25,555 | |||||||||
1,347 | Michaels Stores, Inc. | 72,778 | |||||||||
6,239 | Office Depot, Inc.* | 102,320 | |||||||||
1,052 | O'Reilly Automotive, Inc.* | 42,595 | |||||||||
1,052 | Pep Boys-Manny Moe & Jack | 21,776 | |||||||||
283 | PETCO Animal Supplies, Inc.* | 8,453 | |||||||||
2,667 | PETsMART, Inc. | 82,704 | |||||||||
1,723 | Pier 1 Imports, Inc. | 30,893 | |||||||||
846 | Regis Corp. | 34,821 | |||||||||
1,685 | Rent-A-Center, Inc.* | 49,438 | |||||||||
295 | Sharper Image Corp.* | 7,877 | |||||||||
673 | Sonic Automotive, Inc. | 15,042 | |||||||||
9,451 | Staples, Inc. | 272,945 | |||||||||
2,841 | Tiffany & Co. | 101,566 | |||||||||
4,136 | Toys 'R' Us, Inc.* | 68,079 | |||||||||
678 | Tractor Supply Co.* | 24,584 | |||||||||
838 | Tuesday Morning Corp.* | 26,950 | |||||||||
721 | United Auto Group, Inc. | 19,784 | |||||||||
388 | West Marine, Inc.* | 8,016 | |||||||||
2,262 | Williams-Sonoma, Inc.* | 73,492 | |||||||||
1,450 | Zale Corp.* | 39,353 | |||||||||
1,957,025 | |||||||||||
Specialty Telecommunications (0.3%) | |||||||||||
3,878 | American Tower Corp. (Class A)* | 56,076 | |||||||||
2,794 | CenturyTel, Inc. | 86,586 | |||||||||
5,511 | Citizens Communications Co.* | 79,358 | |||||||||
579 | Commonwealth Telephone Enterprises, Inc.* | 25,939 | |||||||||
4,372 | Covad Communications Group, Inc.* | 8,307 | |||||||||
4,260 | Crown Castle International Corp.* | 60,151 | |||||||||
1,093 | General Communication, Inc. (Class A)* | 8,755 | |||||||||
490 | IDT Corp.* | 7,595 | |||||||||
1,686 | NTL, Inc.* | 87,874 | |||||||||
2,908 | PanAmSat Corp.* | $ | 67,553 | ||||||||
1,056 | PTEK Holdings, Inc.* | 12,133 | |||||||||
33,764 | Qwest Communications International, Inc.* | 131,342 | |||||||||
284 | SureWest Communications | 7,617 | |||||||||
957 | Time Warner Telecom Inc. (Class A)* | 4,153 | |||||||||
1,874 | Verso Technologies, Inc.* | 1,893 | |||||||||
1,302 | West Corp.* | 32,641 | |||||||||
677,973 | |||||||||||
Steel (0.2%) | |||||||||||
2,110 | AK Steel Holding Corp.* | 13,989 | |||||||||
1,585 | Allegheny Technologies Inc. | 31,779 | |||||||||
436 | Carpenter Technology Corp. | 18,748 | |||||||||
1,517 | Nucor Corp. | 126,897 | |||||||||
314 | Quanex Corp. | 14,287 | |||||||||
921 | Reliance Steel & Aluminum Co. | 36,674 | |||||||||
319 | Schnitzer Steel Industries, Inc. | 9,867 | |||||||||
1,225 | Steel Dynamics, Inc. | 40,119 | |||||||||
2,001 | United States Steel Corp. | 76,318 | |||||||||
1,668 | Worthington Industries, Inc. | 34,161 | |||||||||
402,839 | |||||||||||
Telecommunication Equipment (1.3%) | |||||||||||
15,595 | ADC Telecommunications, Inc.* | 37,428 | |||||||||
1,533 | ADTRAN, Inc. | 40,946 | |||||||||
1,684 | Advanced Fibre Communications, Inc.* | 28,224 | |||||||||
2,998 | Andrew Corp.* | 32,528 | |||||||||
1,462 | Arris Group, Inc.* | 6,425 | |||||||||
1,030 | At Road, Inc.* | 4,069 | |||||||||
2,492 | Avanex Corp.* | 7,351 | |||||||||
708 | C-COR.net Corp.* | 5,749 | |||||||||
9,454 | CIENA Corp.* | 26,660 | |||||||||
1,822 | CommScope, Inc.* | 37,533 | |||||||||
272 | Comtech Telecommunications Corp.* | 5,418 | |||||||||
3,888 | Comverse Technology, Inc.* | 66,329 | |||||||||
25,991 | Corning Inc.* | 321,249 | |||||||||
7,904 | Corvis Corp.* | 8,852 | |||||||||
605 | Ditech Communications Corp.* | 12,457 | |||||||||
1,180 | Harmonic, Inc.* | 7,682 | |||||||||
See Notes to Financial Statements
39
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
1,290 | Harris Corp. | $ | 61,249 | ||||||||
1,201 | InterDigital Communications Corp.* | 23,107 | |||||||||
488 | Inter-Tel, Inc. | 10,585 | |||||||||
668 | InterVoice, Inc.* | 5,885 | |||||||||
81,229 | Lucent Technologies Inc.* | 247,748 | |||||||||
45,103 | Motorola, Inc. | 718,491 | |||||||||
3,099 | Oplink Communications, Inc.* | 5,547 | |||||||||
853 | Plantronics, Inc.* | 32,994 | |||||||||
1,922 | Polycom, Inc.* | 37,056 | |||||||||
1,231 | Powerwave Technologies, Inc.* | 6,820 | |||||||||
15,441 | QUALCOMM Inc. | 1,066,664 | |||||||||
1,150 | REMEC, Inc.* | 5,382 | |||||||||
4,721 | Sonus Networks, Inc.* | 24,030 | |||||||||
357 | SpectraLink Corp. | 3,288 | |||||||||
1,620 | Stratex Network, Inc.* | 4,018 | |||||||||
7,073 | Sycamore Networks, Inc.* | 26,453 | |||||||||
1,427 | Tekelec* | 27,727 | |||||||||
8,084 | Tellabs, Inc.* | 72,028 | |||||||||
1,454 | Terayon Communication Systems, Inc.* | 2,530 | |||||||||
1,219 | Trimble Navigation Ltd.* | 33,852 | |||||||||
512 | ViaSat, Inc.* | 9,277 | |||||||||
961 | Westell Technologies, Inc. (Class A)* | 3,892 | |||||||||
3,077,523 | |||||||||||
Textiles (0.0%) | |||||||||||
939 | Albany International Corp. (Class A) | 28,095 | |||||||||
Tobacco (0.9%) | |||||||||||
38,563 | Altria Group, Inc. | 1,835,599 | |||||||||
1,649 | R. J. Reynolds Tobacco Holdings, Inc. | 118,646 | |||||||||
761 | Universal Corp. | 36,703 | |||||||||
3,214 | UST, Inc. | 121,971 | |||||||||
943 | Vector Group Ltd. | 14,890 | |||||||||
2,127,809 | |||||||||||
Tools/Hardware (0.1%) | |||||||||||
1,506 | Black & Decker Corp. | 105,284 | |||||||||
464 | Briggs & Stratton Corp. | 38,744 | |||||||||
1,129 | Snap-On, Inc. | 36,252 | |||||||||
1,570 | Stanley Works (The) | 66,568 | |||||||||
246,848 | |||||||||||
Trucking (0.1%) | |||||||||||
580 | Arkansas Best Corp. | $ | 20,283 | ||||||||
1,170 | Heartland Express, Inc. | 31,602 | |||||||||
1,636 | Hunt (J.B.) Tansport Services, Inc. | 62,839 | |||||||||
1,205 | Knight Transportation, Inc.* | 23,851 | |||||||||
768 | Landstar System, Inc.* | 38,254 | |||||||||
471 | Old Dominion Freight Line, Inc.* | 13,668 | |||||||||
543 | Overnite Corp. | 16,230 | |||||||||
1,620 | Swift Transportation Co., Inc.* | 32,360 | |||||||||
715 | USF Corp. | 25,383 | |||||||||
1,545 | Werner Enterprises, Inc. | 30,792 | |||||||||
575 | Yellow Roadway Corp.* | 25,018 | |||||||||
320,280 | |||||||||||
Trucks/Construction/Farm Machinery (0.6%) | |||||||||||
1,496 | AGCO Corp.* | 31,296 | |||||||||
6,737 | Caterpillar Inc. | 495,102 | |||||||||
820 | Cummins Inc. | 56,933 | |||||||||
4,650 | Deere & Co. | 292,067 | |||||||||
1,619 | Federal Signal Corp. | 27,539 | |||||||||
840 | JLG Industries, Inc. | 11,760 | |||||||||
1,172 | Joy Global Inc. | 34,797 | |||||||||
710 | Manitowoc Co., Inc. | 24,076 | |||||||||
128 | NACCO Industries, Inc. (Class A) | 11,698 | |||||||||
1,330 | Navistar International Corp.* | 47,814 | |||||||||
696 | OshKosh Truck Corp. | 36,867 | |||||||||
3,391 | PACCAR, Inc. | 203,324 | |||||||||
558 | Stewart & Stevenson Services, Inc. | 8,789 | |||||||||
1,048 | Terex Corp.* | 40,778 | |||||||||
664 | Toro Co. (The) | 43,492 | |||||||||
899 | Trinity Industries, Inc. | 27,033 | |||||||||
504 | Wabash National Corp.* | 14,556 | |||||||||
848 | Wabtec Corp. | 15,434 | |||||||||
1,423,355 | |||||||||||
Water Utilities (0.0%) | |||||||||||
1,791 | Aqua America Inc. | 34,835 | |||||||||
331 | California Water Service Group | 9,033 | |||||||||
43,868 | |||||||||||
See Notes to Financial Statements
40
Morgan Stanley Total Market Index Fund
Portfolio of Investments July 31, 2004 continued
NUMBER OF SHARES | VALUE | ||||||||||
Wholesale Distributors (0.2%) | |||||||||||
370 | Applied Industries Technologies, Inc. | $ | 11,829 | ||||||||
3,371 | Genuine Parts Co. | 127,188 | |||||||||
1,783 | Grainger (W.W.), Inc. | 94,410 | |||||||||
485 | Handleman Co. | 10,413 | |||||||||
512 | Hughes Supply, Inc. | 31,191 | |||||||||
331 | Imagistics International Inc.* | 10,758 | |||||||||
939 | MSC Industrial Direct Co., Inc. (Class A) | 29,391 | |||||||||
366 | School Specialty, Inc.* | 12,594 | |||||||||
1,005 | SCP Pool Corp. | 41,436 | |||||||||
424 | TBC Corp.* | 10,146 | |||||||||
732 | United Stationers, Inc.* | 28,855 | |||||||||
788 | WESCO International, Inc.* | 16,193 | |||||||||
424,404 | |||||||||||
Wireless Telecommunications (0.6%) | |||||||||||
45,351 | AT&T Wireless Services, Inc.* | 654,868 | |||||||||
1,872 | Centennial Communications Corp. (Class A)* | 10,521 | |||||||||
2,170 | Dobson Communications Corp. (Class A)* | 5,794 | |||||||||
21,391 | Nextel Communications, Inc. (Class A)* | 486,859 | |||||||||
3,538 | Nextel Partners, Inc. (Class A)* | 56,856 | |||||||||
1,110 | Price Communications Corp.* | 16,539 | |||||||||
1,120 | Telephone & Data Systems, Inc. | 85,008 | |||||||||
1,186 | Triton PCS Holdings, Inc. (Class A)* | 3,570 | |||||||||
1,675 | United States Cellular Corp.* | 65,744 | |||||||||
1,644 | Western Wireless Corp. (Class A)* | 43,385 | |||||||||
1,429,144 | |||||||||||
Total Common Stocks, Warrants and Rights | |||||||||||
(Cost $233,397,224) | 236,081,657 | ||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Short-Term Investment (3.7%) Repurchase Agreement | |||||||||||
$ | 9,131 | Joint repurchase agreement account 1.355% due 08/02/04 (dated 07/30/04; proceeds $9,132,031) (a) (Cost $9,131,000) | $ | 9,131,000 | |||||||
Total Investments (Cost $242,528,224)(b)(c) | 99.9 | % | 245,212,657 | |||||||
Other Assets in Excess of Liabilities | 0.1 | 173,379 | ||||||||
Net Assets | 100.0 | % | $ | 245,386,036 | ||||||
ADR | American Depository Receipt. |
* | Non-income producing security. |
** | A portion of this security is segregated in connection with open futures contracts in the amount of $880,000. |
(a) | Collateralized by federal agency and U.S. Treasury obligations. |
(b) | Securities have been designated as collateral in an amount equal to $8,718,159 in connection with open futures contracts. |
(c) | The aggregate cost for federal income tax purposes is $242,365,150. The aggregate gross unrealized appreciation is $54,024,797 and the aggregate gross unrealized depreciation is $51,177,290, resulting in net unrealized appreciation of $2,847,507. |
Futures Contracts Open at July 31, 2004:
NUMBER OF CONTRACTS | LONG/ SHORT | DESCRIPTION, DELIVERY MONTH, AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED DEPRECIATION | ||||||||||||||
40 | Long | Russell 2000 E Mini Index September 2004 | $2,206,800 | $(70,500) | ||||||||||||||
100 | Long | S&P 500 E Mini Index September 2004 | 5,505,500 | (115,214) | ||||||||||||||
6 | Long | S&P 500 Index September 2004 | 1,651,650 | (48,876) | ||||||||||||||
Total unrealized depreciation | $(234,590) | |||||||||||||||||
See Notes to Financial Statements
41
Morgan Stanley Total Market Index Fund
Summary of Investments July 31, 2004
SECTOR* | VALUE | PERCENT OF NET ASSETS | ||||||||
Finance | $ | 50,812,288 | 20.7 | % | ||||||
Health Technology | 25,290,728 | 10.3 | ||||||||
Electronic Technology | 23,630,406 | 9.6 | ||||||||
Consumer Non Durables | 16,531,490 | 6.7 | ||||||||
Technology Services | 16,135,461 | 6.6 | ||||||||
Producer Manufacturing | 15,943,529 | 6.5 | ||||||||
Consumer Services | 14,698,077 | 6.0 | ||||||||
Retail Trade | 14,363,695 | 5.9 | ||||||||
Energy Minerals | 12,963,522 | 5.3 | ||||||||
Repurchase Agreement | 9,131,000 | 3.7 | ||||||||
Communications | 7,513,510 | 3.1 | ||||||||
Utilities | 7,215,419 | 2.9 | ||||||||
Process Industries | 5,731,525 | 2.3 | ||||||||
Health Services | 4,713,085 | 1.9 | ||||||||
Consumer Durables | 4,622,192 | 1.9 | ||||||||
Industrial Services | 4,523,835 | 1.8 | ||||||||
Transportation | 4,077,180 | 1.7 | ||||||||
Commercial Services | 2,738,399 | 1.1 | ||||||||
Non-Energy Minerals | 2,324,805 | 1.0 | ||||||||
Distribution Services | 2,202,459 | 0.9 | ||||||||
Miscellaneous | 50,052 | 0.0 | ||||||||
$ | 245,212,657 | 99.9 | % | |||||||
* | The Fund has outstanding long futures contracts with an underlying face amount of $9,363,950 with unrealized depreciation of $234,590. |
See Notes to Financial Statements
42
Morgan Stanley Total Market Index Fund
Financial Statements
Statement of Assets and Liabilities
July 31, 2004
Assets: | ||||||
Investments in securities, at value (cost $242,528,224) | $ | 245,212,657 | ||||
Cash | 26,350 | |||||
Receivable for: | ||||||
Dividends | 274,970 | |||||
Shares of beneficial interest sold | 225,510 | |||||
Variation margin | 18,650 | |||||
Prepaid expenses and other assets | 16,274 | |||||
Total Assets | 245,774,411 | |||||
Liabilities: | ||||||
Payable for: | ||||||
Distribution fee | 185,240 | |||||
Shares of beneficial interest redeemed | 107,927 | |||||
Investment management fee | 31,351 | |||||
Accrued expenses and other payables | 63,857 | |||||
Total Liabilities | 388,375 | |||||
Net Assets | $ | 245,386,036 | ||||
Composition of Net Assets: | ||||||
Paid-in-capital | $ | 306,453,979 | ||||
Net unrealized appreciation | 2,449,843 | |||||
Accumulated undistributed net investment income | 363,494 | |||||
Accumulated net realized loss | (63,881,280 | ) | ||||
Net Assets | $ | 245,386,036 | ||||
Class A Shares: | ||||||
Net Assets | $ | 11,383,464 | ||||
Shares Outstanding (unlimited authorized, $.01 par value) | 1,221,116 | |||||
Net Asset Value Per Share | $ | 9.32 | ||||
Maximum Offering Price Per Share, (net asset value plus 5.54% of net asset value) | $ | 9.84 | ||||
Class B Shares: | ||||||
Net Assets | $ | 183,031,012 | ||||
Shares Outstanding (unlimited authorized, $.01 par value) | 20,187,850 | |||||
Net Asset Value Per Share | $ | 9.07 | ||||
Class C Shares: | ||||||
Net Assets | $ | 29,513,967 | ||||
Shares Outstanding (unlimited authorized, $.01 par value) | 3,255,002 | |||||
Net Asset Value Per Share | $ | 9.07 | ||||
Class D Shares: | ||||||
Net Assets | $ | 21,457,593 | ||||
Shares Outstanding (unlimited authorized, $.01 par value) | 2,283,125 | |||||
Net Asset Value Per Share | $ | 9.40 | ||||
See Notes to Financial Statements
43
Morgan Stanley Total Market Index Fund
Financial Statements continued
Statement of Operations
For the year ended July 31, 2004
Net Investment Income: | ||||||
Income | ||||||
Dividends | $ | 4,039,461 | ||||
Interest | 55,735 | |||||
Total Income | 4,095,196 | |||||
Expenses | ||||||
Distribution fee (Class A shares) | 29,787 | |||||
Distribution fee (Class B shares) | 1,926,744 | |||||
Distribution fee (Class C shares) | 284,152 | |||||
Investment management fee | 879,977 | |||||
Transfer agent fees and expenses | 386,859 | |||||
Shareholder reports and notices | 112,663 | |||||
Registration fees | 68,210 | |||||
Professional fees | 55,279 | |||||
Custodian fees | 40,979 | |||||
Trustees' fees and expenses | 801 | |||||
Other | 10,634 | |||||
Total Expenses | 3,796,085 | |||||
Less: amounts waived/reimbursed | (360,440 | ) | ||||
Net Expenses | 3,435,645 | |||||
Net Investment Income | 659,551 | |||||
Net Realized and Unrealized Gain (Loss): | ||||||
Net Realized Gain/Loss on: | ||||||
Investments | (395,014 | ) | ||||
Futures contracts | 626,546 | |||||
Capital gain distribution received | 729 | |||||
Net Realized Gain | 232,261 | |||||
Net Change in Unrealized Appreciation/Depreciation on: | ||||||
Investments | 27,680,465 | |||||
Futures contracts | (299,009 | ) | ||||
Net Appreciation | 27,381,456 | |||||
Net Gain | 27,613,717 | |||||
Net Increase | $ | 28,273,268 | ||||
See Notes to Financial Statements
44
Morgan Stanley Total Market Index Fund
Financial Statements continued
Statement of Changes in Net Assets
FOR THE YEAR ENDED JULY 31, 2004 | FOR THE YEAR ENDED JULY 31, 2003 | |||||||||
Increase (Decrease) in Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 659,551 | $ | 747,216 | ||||||
Net realized gain (loss) | 232,261 | (14,456,988 | ) | |||||||
Net change in unrealized appreciation | 27,381,456 | 34,518,786 | ||||||||
Net Increase | 28,273,268 | 20,809,014 | ||||||||
Dividends to Shareholders from Net Investment Income: | ||||||||||
Class A shares | (96,917 | ) | (52,697 | ) | ||||||
Class B shares | (377,254 | ) | (194,798 | ) | ||||||
Class C shares | (74,261 | ) | (25,335 | ) | ||||||
Class D shares | (191,598 | ) | (39,178 | ) | ||||||
Total Dividends | (740,030 | ) | (312,008 | ) | ||||||
Net decrease from transactions in shares of beneficial interest | (14,774,118 | ) | (24,245,533 | ) | ||||||
Net Increase (Decrease) | 12,759,120 | (3,748,527 | ) | |||||||
Net Assets: | ||||||||||
Beginning of period | 232,626,916 | 236,375,443 | ||||||||
End of Period (Including accumulated undistributed net investment income of $363,494 and $569,056, respectively) | $ | 245,386,036 | $ | 232,626,916 | ||||||
See Notes to Financial Statements
45
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004
1. Organization and Accounting Policies
Morgan Stanley Total Market Index Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a diversified, open-end management investment company. The Fund's investment objective is to provide investment results that, before expenses, correspond to the total return of the Dow Jones Wilshire 5000 (Full Cap) Composite Index (Formerly Wilshire 5000 Total Market Index). The Fund was organized as a Massachusetts business trust on March 11, 1999 and commenced operations on September 28, 1999.
The Fund offers Class A shares, Class B shares, Class C shares and Class D shares. The four classes are substantially the same except that most Class A shares are subject to a sales charge imposed at the time of purchase and some Class A shares, and most Class B shares and Class C shares are subject to a contingent deferred sales charge imposed on shares redeemed within one year, six years and one year, respectively. Class D shares are not subject to a sales charge. Additionally, Class A shares, Class B shares and Class C shares incur distribution expenses.
The following is a summary of significant accounting policies:
A. Valuation of Investments — (1) an equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange or other exchange is valued at its latest sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (3) all other portfolio securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked price. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) when market quotations are not readily available or Morgan Stanley Investment Advisors Inc. (the "Investment Manager") determines that the latest sale price, the bid price or the mean between the last reported bid and asked price do not reflect a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund's Trustees or by the Investment Manager using a pricing service and/or procedures approved by the Trustees of the Fund;
46
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
(7) certain portfolio securities may be valued by an outside pricing service approved by the Fund's Trustees; and (8) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost.
B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date. Discounts are accreted and premiums are amortized over the life of the respective securities. Interest income is accrued daily.
C. Repurchase Agreements — Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated entities managed by the Investment Manager, may transfer uninvested cash balances into one or more joint repurchase agreement accounts. These balances are invested in one or more repurchase agreements and are collateralized by cash, U.S. Treasury or federal agency obligations. The Fund may also invest directly with institutions in repurchase agreements. The Fund's custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest.
D. Multiple Class Allocations — Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class.
E. Futures Contracts — A futures contract is an agreement between two parties to buy and sell financial instruments or contracts based on financial indices at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker cash, U.S. Government securities or other liquid portfolio securities equal to the minimum initial margin requirements of the applicable futures exchange. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments known as variation margin are recorded by the Fund as unrealized gains and losses. Upon closing of the contract, the Fund realizes a gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
F. Federal Income Tax Policy — It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required.
G. Dividends and Distributions to Shareholders — Dividends and distributions to shareholders are recorded on the ex-dividend date.
47
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
H. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
2. Investment Management Agreement
Pursuant to an Investment Management Agreement, the Fund pays the Investment Manager a management fee, accrued daily and payable monthly, by applying the annual rate of 0.20% to the net assets of the Fund determined as of the close of each business day. Prior to May 1, 2004, the annual rate was 0.40% of the net assets of the Fund.
The Investment Manager has agreed to assume all operating expenses (except for distribution fees) and to waive the compensation provided for in its Investment Management Agreement to the extent that such expenses and compensation on an annualized basis exceed 0.40% of the daily net assets of the Fund. Prior to May 1, 2004, the annualized basis limit was 0.50% of the daily net assets of the Fund.
3. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Manager. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan provides that the Fund will pay the Distributor a fee which is accrued daily and paid monthly at the following annual rates: (i) Class A – up to 0.25% of the average daily net assets of Class A; (ii) Class B – up to 1.0% of the average daily net assets of Class B; and (iii) Class C – up to 1.0% of the average daily net assets of Class C.
In the case of Class B shares, provided that the Plan continues in effect, any cumulative expenses incurred by the Distributor but not yet recovered may be recovered through the payment of future distribution fees from the Fund pursuant to the Plan and contingent deferred sales charges paid by investors upon redemption of Class B shares. Although there is no legal obligation for the Fund to pay expenses incurred in excess of payments made to the Distributor under the Plan and the proceeds of contingent deferred sales charges paid by investors upon redemption of shares, if for any reason the Plan is terminated, the Trustees will consider at that time the manner in which to treat such expenses. The Distributor has advised the Fund that such excess amounts totaled $13,012,141 at July 31, 2004.
In the case of Class A shares and Class C shares, expenses incurred pursuant to the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily net assets of Class A or Class C, respectively, will not be reimbursed by the Fund through payments in any subsequent year, except that expenses representing a gross sales credit to Morgan Stanley Financial Advisors or other selected broker-dealer representatives may be reimbursed in the subsequent calendar year. For the year ended July 31, 2004, the distribution fee was accrued for Class A shares and Class C shares at the annual rate of 0.25% and 1.0%, respectively.
48
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
The Distributor has informed the Fund that for the year ended July 31, 2004, it received contingent deferred sales charges from certain redemptions of the Fund's Class A shares, Class B shares and Class C shares of $269, $469,449 and $2,291, respectively and received $59,649 in front-end sales charges from sales of the Fund's Class A shares. The respective shareholders pay such charges which are not an expense of the Fund.
4. Security Transactions and Transactions with Affiliates
The cost of purchases and proceeds from sales of portfolio securities, excluding short-term investments, for the year ended July 31, 2004 aggregated $7,324,572 and $25,847,631, respectively. Included in the aforementioned are sales of common stock of Morgan Stanley, an affiliate of the Investment Manager and Distributor, of $130,982, including realized gain of $10,264.
Morgan Stanley Trust, an affiliate of Investment Manager and Distributor, is the Fund's transfer agent. At July 31, 2004, the Fund had transfer agent fees and expenses payable of approximately $1,900.
At July 31, 2004, Morgan Stanley Fund of Funds – Domestic Portfolio, an affiliate of the Investment Manager and Distributor, held 115,162 Class D shares of beneficial Interest of the Fund.
Effective April 1, 2004, the Fund began an unfunded Deferred Compensation Plan (the "Compensation Plan") which allows each independent Trustee to defer payment of all, or a portion, of the fees he receives for serving on the Board of Trustees. Each eligible Trustee generally may elect to have the deferred amounts credited with a return equal to the total return on one or more of the Morgan Stanley funds that are offered as investment options under the Compensation Plan. Appreciation/depreciation and distributions received from these investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the net asset value of the Fund.
5. Purposes of and Risks Relating to Certain Financial Instruments
To hedge against adverse interest rate, foreign currency and market risks, the Fund may purchase and sell interest rate, currency and index futures contracts ("futures contracts").
Futures contracts involve elements of market risk in excess of the amounts reflected in the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the value of the underlying securities or currencies. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
6. Federal Income Tax Status
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature.
49
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed net investment income and net realized capital gains for tax purposes are reported as distributions of paid-in-capital.
The tax character of distributions paid was as follows:
FOR THE YEAR ENDED JULY 31, 2004 | FOR THE YEAR ENDED JULY 31, 2003 | |||||||||
Ordinary income | $ | 740,030 | $ | 312,008 | ||||||
As of July 31, 2004, the tax-basis components of accumulated losses were as follows:
Undistributed ordinary income | $ | 197,485 | ||||||||
Undistributed long-term gains | — | |||||||||
Net accumulated earnings | 197,485 | |||||||||
Capital loss carryforward* | (64,027,538 | ) | ||||||||
Post-October losses | (85,397 | ) | ||||||||
Net unrealized appreciation | 2,847,507 | |||||||||
Total accumulated losses | $ | (61,067,943 | ) | |||||||
* As of July 31, 2004, the Fund had a net capital loss carryforward of $64,027,538 of which $993,863 will expire on July 31, 2009, $19,339,053 will expire on July 31, 2010, $32,841,558 will expire on July 31, 2011 and $10,853,064 will expire on July 31, 2012 to offset future capital gains to the extent provided by regulations.
As of July 31, 2004, the Fund had temporary book/tax differences primarily attributable to post-October losses (capital losses incurred after October 31 within the taxable year which are deemed to arise on the first business day of the Fund's next taxable year), the mark-to-market of open futures contracts and tax adjustments on real estate investment trusts ("REITs") held by the Fund and permanent book/tax differences attributable to tax adjustments on REITs and partnership investments held by the Fund. To reflect reclassifications arising from the permanent differences, accumulated undistributed net investment income was charged and accumulated net realized loss was credited $125,083.
50
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
7. Shares of Beneficial Interest
Transactions in shares of beneficial interest were as follows:
FOR THE YEAR ENDED JULY 31, 2004 | FOR THE YEAR ENDED JULY 31, 2003 | ||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Sold | 355,069 | $ | 3,324,259 | 252,945 | $ | 1,891,906 | |||||||||||||
Reinvestment of dividends | 9,755 | 90,036 | 6,409 | 47,556 | |||||||||||||||
Redeemed | (689,054 | ) | (6,348,294 | ) | (498,025 | ) | (3,839,268 | ) | |||||||||||
Net decrease – Class A | (324,230 | ) | (2,933,999 | ) | (238,671 | ) | (1,899,806 | ) | |||||||||||
CLASS B SHARES | |||||||||||||||||||
Sold | 2,667,480 | 23,876,285 | 3,515,430 | 25,785,791 | |||||||||||||||
Reinvestment of dividends | 37,902 | 341,491 | 24,256 | 176,104 | |||||||||||||||
Redeemed | (5,077,866 | ) | (45,562,441 | ) | (7,065,998 | ) | (50,975,769 | ) | |||||||||||
Net decrease – Class B | (2,372,484 | ) | (21,344,665 | ) | (3,526,312 | ) | (25,013,874 | ) | |||||||||||
CLASS C SHARES | |||||||||||||||||||
Sold | 1,082,929 | 9,594,163 | 458,830 | 3,372,957 | |||||||||||||||
Reinvestment of dividends | 7,001 | 63,080 | 3,154 | 22,902 | |||||||||||||||
Redeemed | (728,728 | ) | (6,513,222 | ) | (912,895 | ) | (6,577,269 | ) | |||||||||||
Net increase (decrease) – Class C | 361,202 | 3,144,021 | (450,911 | ) | (3,181,410 | ) | |||||||||||||
CLASS D SHARES | |||||||||||||||||||
Sold | 1,395,726 | 12,983,730 | 978,399 | 7,744,537 | |||||||||||||||
Reinvestment of dividends | 17,250 | 160,258 | 4,311 | 32,200 | |||||||||||||||
Redeemed | (719,586 | ) | (6,783,463 | ) | (252,541 | ) | (1,927,180 | ) | |||||||||||
Net increase – Class D | 693,390 | 6,360,525 | 730,169 | 5,849,557 | |||||||||||||||
Net decrease in Fund | (1,642,122 | ) | $ | (14,774,118 | ) | (3,485,725 | ) | $ | (24,245,533 | ) | |||||||||
8. Legal Matters
The Investment Manager, certain affiliates of the Investment Manager, certain officers of such affiliates and certain investment companies advised by the Investment Manager or its affiliates, including the Fund, are named as defendants in a number of similar class action complaints which were recently consolidated. This consolidated action also names as defendants certain individual Trustees and Directors of the Morgan Stanley funds. The consolidated amended complaint generally alleges that defendants, including the Fund, violated their statutory disclosure obligations and fiduciary duties by failing properly to disclose (i) that the Investment Manager and certain affiliates of the Investment Manager allegedly offered economic incentives to brokers and others to recommend the funds advised by the Investment Manager or its affiliates to investors rather than funds managed by other companies, and (ii) that the funds advised by the Investment Manager or its
51
Morgan Stanley Total Market Index Fund
Notes to Financial Statements July 31, 2004 continued
affiliates, including the Fund, allegedly paid excessive commissions to brokers in return for their efforts to recommend these funds to investors. The complaint seeks, among other things, unspecified compensatory damages, rescissionary damages, fees and costs. The defendants have moved to dismiss the action and intend to otherwise vigorously defend it. While the Fund believes that it has meritorious defenses, the ultimate outcome of this matter is not presently determinable at this early stage of the litigation, and no provision has been made in the Fund's financial statements for the effect, if any, of this matter.
52
Morgan Stanley Total Market Index Fund
Financial Highlights
Selected ratios and per share data for a share of beneficial interest outstanding throughout each period:
FOR THE YEAR ENDED JULY 31, | FOR THE PERIOD SEPTEMBER 28, 1999* THROUGH JULY 31, 2000 | |||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Selected Per Share Data: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.33 | $ | 7.52 | $ | 9.70 | $ | 11.38 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income‡ | 0.08 | 0.08 | 0.06 | 0.06 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.98 | 0.76 | (2.24 | ) | (1.74 | ) | 1.34 | |||||||||||||||
Total income (loss) from investment operations | 1.06 | 0.84 | (2.18 | ) | (1.68 | ) | 1.40 | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.03 | ) | — | — | — | |||||||||||||||
Net realized gains | — | — | — | — | (0.02 | ) | ||||||||||||||||
Total dividends and distributions | (0.07 | ) | (0.03 | ) | — | — | (0.02 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.32 | $ | 8.33 | $ | 7.52 | $ | 9.70 | $ | 11.38 | ||||||||||||
Total Return† | 12.79 | % | 11.23 | % | (22.47 | )% | (14.76) | % | 13.99 | %(1) | ||||||||||||
Ratios to Average Net Assets(3)(4): | ||||||||||||||||||||||
Expenses | 0.72 | % | 0.75 | % | 0.75 | % | 0.71 | % | 0.75 | %(2) | ||||||||||||
Net investment income | 0.91 | % | 1.01 | % | 0.67 | % | 0.58 | % | 0.58 | %(2) | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period, in thousands | $11,383 | $12,865 | $13,410 | $16,678 | $22,895 | |||||||||||||||||
Portfolio turnover rate | 3 | % | 4 | % | 4 | % | 7 | % | 2 | %(1) | ||||||||||||
* | Commencement of operations. |
‡ | The per share amounts were computed using an average number of shares outstanding during the period. |
† | Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period. |
(1) | Not annualized. |
(2) | Annualized. |
(3) | Reflects overall Fund ratios for investment income and non-class specific expenses. |
(4) | If the Fund had borne all its expenses that were reimbursed or waived by the Investment Manager, the annualized expense and net investment income ratios would have been as follows: |
YEAR ENDED | EXPENSE RATIO | NET INVESTMENT INCOME RATIO | ||||||||
July 31, 2004 | 0.87 | % | 0.76 | % | ||||||
July 31, 2003 | 0.94 | % | 0.82 | % | ||||||
July 31, 2002 | 0.90 | % | 0.52 | % | ||||||
July 31, 2001 | 0.81 | % | 0.48 | % | ||||||
July 31, 2000 | 0.90 | % | 0.43 | % | ||||||
See Notes to Financial Statements
53
Morgan Stanley Total Market Index Fund
Financial Highlights continued
FOR THE YEAR ENDED JULY 31, | FOR THE PERIOD SEPTEMBER 28, 1999* THROUGH JULY 31, 2000 | |||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||
Class B Shares | ||||||||||||||||||||||
Selected Per Share Data: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.11 | $ | 7.35 | $ | 9.56 | $ | 11.31 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income (loss)‡ | 0.01 | 0.02 | (0.01 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.97 | 0.75 | (2.20 | ) | (1.73 | ) | 1.35 | |||||||||||||||
Total income (loss) from investment operations | 0.98 | 0.77 | (2.21 | ) | (1.75 | ) | 1.33 | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.01 | ) | — | — | — | |||||||||||||||
Net realized gains | — | — | — | — | (0.02 | ) | ||||||||||||||||
Total dividends and distributions | (0.02 | ) | (0.01 | ) | — | — | (0.02 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.07 | $ | 8.11 | $ | 7.35 | $ | 9.56 | $ | 11.31 | ||||||||||||
Total Return† | 12.05 | % | 10.46 | % | (23.12) | % | (15.47 | )% | 13.29 | %(1) | ||||||||||||
Ratios to Average Net Assets(3)(4): | ||||||||||||||||||||||
Expenses | 1.47 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | %(2) | ||||||||||||
Net investment income (loss) | 0.16 | % | 0.26 | % | (0.08 | )% | (0.21 | )% | (0.17) | % (2) | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period, in thousands | $183,031 | $182,932 | $191,843 | $290,758 | $356,899 | |||||||||||||||||
Portfolio turnover rate | 3 | % | 4 | % | 4 | % | 7 | % | 2 | %(1) | ||||||||||||
* | Commencement of operations. |
‡ | The per share amounts were computed using an average number of shares outstanding during the period. |
† | Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period. |
(1) | Not annualized. |
(2) | Annualized. |
(3) | Reflects overall Fund ratios for investment income and non-class specific expenses. |
(4) | If the Fund had borne all its expenses that were reimbursed or waived by the Investment Manager, the annualized expense and net investment income (loss) ratios would have been as follows: |
YEAR ENDED | EXPENSE RATIO | NET INVESTMENT INCOME (LOSS) RATIO | ||||||||
July 31, 2004 | 1.62 | % | 0.01 | % | ||||||
July 31, 2003 | 1.69 | % | 0.07 | % | ||||||
July 31, 2002 | 1.65 | % | (0.23 | )% | ||||||
July 31, 2001 | 1.60 | % | (0.31 | )% | ||||||
July 31, 2000 | 1.65 | % | (0.32 | )% | ||||||
See Notes to Financial Statements
54
Morgan Stanley Total Market Index Fund
Financial Highlights continued
FOR THE YEAR ENDED JULY 31, | FOR THE PERIOD SEPTEMBER 28, 1999* THROUGH JULY 31, 2000 | |||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Selected Per Share Data: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.11 | $ | 7.36 | $ | 9.56 | $ | 11.31 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income (loss)‡ | 0.01 | 0.02 | 0.00 | (0.02 | ) | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.97 | 0.74 | (2.20 | ) | (1.73 | ) | 1.35 | |||||||||||||||
Total income (loss) from investment operations | 0.98 | 0.76 | (2.20 | ) | (1.75 | ) | 1.33 | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.01 | ) | — | — | — | |||||||||||||||
Net realized gains | — | — | — | — | (0.02 | ) | ||||||||||||||||
Total dividends and distributions | (0.02 | ) | (0.01 | ) | — | — | (0.02 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.07 | $ | 8.11 | $ | 7.36 | $ | 9.56 | $ | 11.31 | ||||||||||||
Total Return† | 12.13 | % | 10.31 | % | (23.01) | % | (15.47 | )% | 13.29 | %(1) | ||||||||||||
Ratios to Average Net Assets(3)(4): | ||||||||||||||||||||||
Expenses | 1.47 | % | 1.50 | % | 1.42 | % | 1.50 | % | 1.50 | %(2) | ||||||||||||
Net investment income (loss) | 0.16 | % | 0.26 | % | 0.00 | % | (0.21 | )% | (0.17) | % (2) | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||
Net assets, end of period, in thousands | $29,514 | $23,483 | $24,616 | $35,607 | $43,901 | |||||||||||||||||
Portfolio turnover rate | 3 | % | 4 | % | 4 | % | 7 | % | 2 | %(1) | ||||||||||||
* | Commencement of operations. |
‡ | The per share amounts were computed using an average number of shares outstanding during the period. |
† | Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period. |
(1) | Not annualized. |
(2) | Annualized. |
(3) | Reflects overall Fund ratios for investment income and non-class specific expenses. |
(4) | If the Fund had borne all its expenses that were reimbursed or waived by the Investment Manager, the annualized expense and net investment income (loss) ratios would have been as follows: |
YEAR ENDED | EXPENSE RATIO | NET INVESTMENT INCOME (LOSS) RATIO | ||||||||
July 31, 2004 | 1.62 | % | 0.01 | % | ||||||
July 31, 2003 | 1.69 | % | 0.07 | % | ||||||
July 31, 2002 | 1.57 | % | (0.15 | )% | ||||||
July 31, 2001 | 1.60 | % | (0.31 | )% | ||||||
July 31, 2000 | 1.65 | % | (0.32 | )% | ||||||
See Notes to Financial Statements
55
Morgan Stanley Total Market Index Fund
Financial Highlights continued
FOR THE YEAR ENDED JULY 31, | FOR THE PERIOD SEPTEMBER 28, 1999* THROUGH JULY 31, 2000 | |||||||||||||||||||||
2004 | 2003 | 2002 | 2001 | |||||||||||||||||||
Class D Shares | ||||||||||||||||||||||
Selected Per Share Data: | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.40 | $ | 7.57 | $ | 9.74 | $ | 11.41 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment income‡ | 0.11 | 0.09 | 0.08 | 0.08 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.99 | 0.78 | (2.25 | ) | (1.75 | ) | 1.35 | |||||||||||||||
Total income (loss) from investment operations | 1.10 | 0.87 | (2.17 | ) | (1.67 | ) | 1.43 | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.04 | ) | — | — | — | |||||||||||||||
Net realized gains | — | — | — | — | (0.02 | ) | ||||||||||||||||
Total dividends and distributions | (0.10 | ) | (0.04 | ) | — | — | (0.02 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.40 | $ | 8.40 | $ | 7.57 | $ | 9.74 | $ | 11.41 | ||||||||||||
Total Return† | 13.11 | % | 11.54 | % | (22.28) | % | (14.64 | )% | 14.30 | %(1) | ||||||||||||
Ratios to Average Net Assets(3)(4): | ||||||||||||||||||||||
Expenses | 0.47 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | %(2) | ||||||||||||
Net investment income | 1.16 | % | 1.26 | % | 0.92 | % | 0.79 | % | 0.83 | %(2) | ||||||||||||
Supplement Data: | ||||||||||||||||||||||
Net assets, end of period, in thousands | $21,458 | $13,347 | $6,506 | $7,329 | $3,628 | |||||||||||||||||
Portfolio turnover rate | 3 | % | 4 | % | 4 | % | 7 | % | 2 | %(1) | ||||||||||||
* | Commencement of operations. |
‡ | The per share amounts were computed using an average number of shares outstanding during the period. |
† | Calculated based on the net asset value as of the last business day of the period. |
(1) | Not annualized. |
(2) | Annualized. |
(3) | Reflects overall Fund ratios for investment income and non-class specific expenses. |
(4) | If the Fund had borne all its expenses that were reimbursed or waived by the Investment Manager, the annualized expense and net investment income ratios would have been as follows: |
YEAR ENDED | EXPENSE RATIO | NET INVESTMENT INCOME RATIO | ||||||||
July 31, 2004 | 0.62 | % | 1.01 | % | ||||||
July 31, 2003 | 0.69 | % | 1.07 | % | ||||||
July 31, 2002 | 0.65 | % | 0.77 | % | ||||||
July 31, 2001 | 0.60 | % | 0.69 | % | ||||||
July 31, 2000 | 0.65 | % | 0.68 | % | ||||||
See Notes to Financial Statements
56
Morgan Stanley Total Market Index Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Morgan Stanley Total Market Index Fund:
We have audited the accompanying statement of assets and liabilities of Morgan Stanley Total Market Index Fund (the "Fund"), including the portfolio of investments, as of July 31, 2004, and the related statements of operations for the year then ended and changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. 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.
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 July 31, 2004, by correspondence with the custodian and brokers. 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 Morgan Stanley Total Market Index Fund as of July 31, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
September 16, 2004
2004 Federal Tax Notice (unaudited)
During the fiscal year ended July 31, 2004, 100% of the income dividends paid by the Fund qualified for the dividends received deduction available to corporations. Additionally, please note that 100% of the Fund's ordinary income dividends paid during the fiscal year ended July 31, 2004 qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.
57
Morgan Stanley Total Market Index Fund
Trustee and Officer Information
Independent Trustees:
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years** | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee | |||||||||||||||||
Michael Bozic (63) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 919 Third Avenue New York, NY | Trustee | Since April 1994 | Private Investor; Director or Trustee of the Retail Funds (since April 1994) and the Institutional Funds (since July 2003); formerly Vice Chairman of Kmart Corporation (December 1998-October 2000), Chairman and Chief Executive Officer of Levitz Furniture Corporation (November 1995-November 1998) and President and Chief Executive Officer of Hills Department Stores (May 1991-July 1995); formerly variously Chairman, Chief Executive Officer, President and Chief Operating Officer (1987-1991) of the Sears Merchandise Group of Sears, Roebuck & Co. | 208 | Director of Weirton Steel Corporation. | |||||||||||||||||
Edwin J. Garn (71) c/o Summit Ventures LLC 1 Utah Center 201 S. Main Street Salt Lake City, UT | Trustee | Since January 1993 | Managing Director of Summit Ventures LLC; Director or Trustee of the Retail Funds (since January 1993) and the Institutional Funds (since July 2003); member of the Utah Regional Advisory Board of Pacific Corp.; formerly United States Senator (R-Utah) (1974-1992) and Chairman, Senate Banking Committee (1980-1986), Mayor of Salt Lake City, Utah (1971-1974), Astronaut, Space Shuttle Discovery (April 12-19, 1985), and Vice Chairman, Huntsman Corporation (chemical company). | 208 | Director of Franklin Covey (time management systems), BMW Bank of North America, Inc. (industrial loan corporation), United Space Alliance (joint venture between Lockheed Martin and the Boeing Company) and Nuskin Asia Pacific (multilevel marketing); member of the board of various civic and charitable organizations. | |||||||||||||||||
Wayne E. Hedien (70) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 919 Third Avenue New York, NY | Trustee | Since September 1997 | Retired; Director or Trustee of the Retail Funds; (Since September 1997) and the Institutional Funds (since July 2003); formerly associated with the Allstate Companies (1966-1994), most recently as Chairman of The Allstate Corporation (March 1993-December 1994) and Chairman and Chief Executive Officer of its wholly-owned subsidiary, Allstate Insurance Company (July 1989-December 1994). | 208 | Director of The PMI Group Inc. (private mortgage insurance); Trustee and Vice Chairman of The Field Museum of Natural History; director of various other business and charitable organizations. | |||||||||||||||||
58
Morgan Stanley Total Market Index Fund
Trustee and Officer Information continued
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years** | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee | |||||||||||||||||
Dr. Manuel H. Johnson (55) c/o Johnson Smick International, Inc. 2099 Pennsylvania Avenue, N.W. Suite 950 Washington, D.C. | Trustee | Since July 1991 | Senior Partner, Johnson Smick International, Inc., a consulting firm; Chairman of the Audit Committee and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2003); Co-Chairman and a founder of the Group of Seven Council (G7C), an international economic commission; formerly Vice Chairman of the Board of Governors of the Federal Reserve System and Assistant Secretary of the U.S. Treasury. | 208 | Director of NVR, Inc. (home construction); Chairman and Trustee of the Financial Accounting Foundation (oversight organization of the Financial Accounting Standards Board); Director of RBS Greenwich Capital Holdings (financial holding company). | |||||||||||||||||
Joseph J. Kearns (61) PMB754 23852 Pacific Coast Highway Malibu, CA | Trustee | Since July 2003 | President, Kearns & Associates LLC (investment consulting); Deputy Chairman of the Audit Committee and Director or Trustee of the Retail Funds (since July 2003) and the Institutional Funds (since August 1994); previously Chairman of the Audit Committee of the Institutional Funds (October 2001-July 2003); formerly CFO of the J. Paul Getty Trust. | 209 | Director of Electro Rent Corporation (equipment leasing), The Ford Family Foundation, and the UCLA Foundation. | |||||||||||||||||
Michael E. Nugent (68) c/o Triumph Capital, L.P. 445 Park Avenue New York, NY | Trustee | Since July 1991 | General Partner of Triumph Capital, L.P., a private investment partnership; Chairman of the Insurance Committee and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2001); formerly Vice President, Bankers Trust Company and BT Capital Corporation (1984-1988). | 208 | Director of various business organizations. | |||||||||||||||||
Fergus Reid (71) c/o Lumelite Plastics Corporation 85 Charles Colman Blvd. Pawling, NY | Trustee | Since July 2003 | Chairman of Lumelite Plastics Corporation; Chairman of the Governance Committee and Director or Trustee of the Retail Funds (since July 2003) and the Institutional Funds (since June 1992). | 209 | Trustee and Director of certain investment companies in the JPMorgan Funds complex managed by J.P. Morgan Investment Management Inc. | |||||||||||||||||
59
Morgan Stanley Total Market Index Fund
Trustee and Officer Information continued
Interested Trustees:
Name, Age and Address of Interested Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years** | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee | |||||||||||||||||
Charles A. Fiumefreddo (71) c/o Morgan Stanley Trust Harborside Financial Center, Plaza Two, Jersey City, NJ | Chairman of the Board and Trustee | Since July 1991 | Chairman and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2003); formerly Chief Executive Officer of the Retail Funds (until September 2002). | 208 | None | |||||||||||||||||
James F. Higgins (56) c/o Morgan Stanley Trust Harborside Financial Center, Plaza Two, Jersey City, NJ | Trustee | Since June 2000 | Director or Trustee of the Retail Funds (since June 2000) and the Institutional Funds (since July 2003); Senior Advisor of Morgan Stanley (since August 2000); Director of the Distributor and Dean Witter Realty Inc.; previously President and Chief Operating Officer of the Private Client Group of Morgan Stanley (May 1999-August 2000), and President and Chief Operating Officer of Individual Securities of Morgan Stanley (February 1997-May 1999). | 208 | Director of AXA Financial, Inc. and The Equitable Life Assurance Society of the United States (financial services). | |||||||||||||||||
* | This is the earliest date the Trustee began serving the funds advised by Morgan Stanley Investment Advisors Inc. (the "Investment Manager") (the "Retail Funds"). |
** | The dates referenced below indicating commencement of services as Director/Trustee for the Retail Funds and the funds advised by Morgan Stanley Investment Management Inc. and Morgan Stanley AIP GP LP (the "Institutional Funds") reflect the earliest date the Director/Trustee began serving the Retail or Institutional Funds as applicable. |
*** | The Fund Complex includes all open-end and closed-end funds (including all of their portfolios) advised by the Investment Manager and any funds that have an investment advisor that is an affiliated person of the Investment Manager (including but not limited to Morgan Stanley Investment Management Inc.). |
60
Morgan Stanley Total Market Index Fund
Trustee and Officer Information continued
Officers:
Name, Age and Address of Executive Officer | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years** | |||||||||||
Mitchell M. Merin (50) 1221 Avenue of the Americas New York, NY | President | Since May 1999 | President and Chief Operating Officer of Morgan Stanley Investment Management Inc.; President, Director and Chief Executive Officer of the Investment Manager and Morgan Stanley Services; Chairman and Director of the Distributor; Chairman and Director of the Transfer Agent; Director of various Morgan Stanley subsidiaries; President of the Institutional Funds (since July 2003) and President of the Retail Funds (since May 1999); Trustee (since July 2003) and President (since December 2002) of the Van Kampen Closed-End Funds; Trustee (since May 1999) and President (since October 2002) of the Van Kampen Open-End Funds. | |||||||||||
Barry Fink (49) 1221 Avenue of the Americas New York, NY | Vice President | Since February 1997 | General Counsel (since May 2000) and Managing Director (since December 2000) of Morgan Stanley Investment Management; Managing Director (since December 2000), Secretary (since February 1997) and Director (since July 1998) of the Investment Manager and Morgan Stanley Services; Vice President of the Retail Funds; Assistant Secretary of Morgan Stanley DW; Vice President of the Institutional Funds (since July 2003); Managing Director, Secretary and Director of the Distributor; previously Secretary (February 1997-July 2003) and General Counsel (February 1997-April 2004) of the Retail Funds; Vice President and Assistant General Counsel of the Investment Manager and Morgan Stanley Services (February 1997-December 2001). | |||||||||||
Ronald E. Robison (65) 1221 Avenue of the Americas New York, NY | Executive Vice President and Principal Executive Officer | Since April 2003 | Principal Executive Officer-Office of the Funds (since November 2003); Managing Director of Morgan Stanley & Co. Incorporated, Managing Director of Morgan Stanley; Managing Director, Chief Administrative Officer and Director of the Investment Manager and Morgan Stanley Services; Chief Executive Officer and Director of the Transfer Agent; Managing Director and Director of the Distributor; Executive Vice President and Principal Executive Officer of the Institutional Funds (since July 2003) and the Retail Funds (since April 2003); Director of Morgan Stanley SICAV (since May 2004); previously President and Director of the Institutional Funds (March 2001-July 2003) and Chief Global Operations Officer of Morgan Stanley Investment Management Inc. | |||||||||||
Joseph J. McAlinden (61) 1221 Avenue of the Americas New York, NY | Vice President | Since July 1995 | Managing Director and Chief Investment Officer of the Investment Manager and Morgan Stanley Investment Management Inc.; Director of the Transfer Agent, Chief Investment Officer of the Van Kampen Funds; Vice President of the Institutional Funds (since July 2003) and the Retail Funds (since July 1995). | |||||||||||
Stefanie V. Chang (37) 1221 Avenue of the Americas New York, NY | Vice President | Since July 2003 | Executive Director of Morgan Stanley & Co. Incorporated, Morgan Stanley Investment Management Inc. and the Investment Manager; Vice President of the Institutional Funds (since December 1997) and the Retail Funds (since July 2003); formerly practiced law with the New York law firm of Rogers & Wells (now Clifford Chance US LLP). | |||||||||||
61
Morgan Stanley Total Market Index Fund
Trustee and Officer Information continued
Name, Age and Address of Executive Officer | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years** | |||||||||||
Francis J. Smith (38) c/o Morgan Stanley Trust Harborside Financial Center, Plaza Two, Jersey City, NJ | Treasurer and Chief Financial Officer | Treasurer since July 2003 and Chief Financial Officer since September 2002 | Executive Director of the Investment Manager and Morgan Stanley Services (since December 2001); previously Vice President of the Retail Funds (September 2002-July 2003), and Vice President of the Investment Manager and Morgan Stanley Services (August 2000-November 2001) and Senior Manager at PricewaterhouseCoopers LLP (January 1998-August 2000). | |||||||||||
Thomas F. Caloia (58) c/o Morgan Stanley Trust Harborside Financial Center, Plaza Two, Jersey City, NJ | Vice President | Since July 2003 | Executive Director (since December 2002) and Assistant Treasurer of the Investment Manager, the Distributor and Morgan Stanley Services; previously Treasurer of the Retail Funds (April 1989-July 2003); formerly First Vice President of the Investment Manager, the Distributor and Morgan Stanley Services. | |||||||||||
Mary E. Mullin (37) 1221 Avenue of the Americas New York, NY | Secretary | Since July 2003 | Executive Director of Morgan Stanley & Co. Incorporated, Morgan Stanley Investment Management Inc. and the Investment Manager; Secretary of the Institutional Funds (since June 1999) and the Retail Funds (since July 2003); formerly practiced law with the New York law firms of McDermott, Will & Emery and Skadden, Arps, Slate, Meagher & Flom LLP. | |||||||||||
* | This is the earliest date the Officer began serving the Retail Funds. Each Officer serves an indefinite term, until his or her successor is elected. |
** | The dates referenced below indicating commencement of service as an Officer for the Retail and Institutional Funds reflect the earliest date the Officer began serving the Retail or Institutional Funds as applicable. |
62
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Trustees Michael Bozic Officers Charles A. Fiumefreddo Mitchell M. Merin Ronald E. Robison Barry Fink Joseph J. McAlinden Stefanie V. Chang Francis J. Smith Thomas F. Caloia Mary E. Mullin Transfer Agent Morgan Stanley Trust Independent Registered Public Accounting Firm Deloitte & Touche LLP Investment Manager Morgan Stanley Investment Advisors Inc. This report is submitted for the general information of the shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund's Statement of Additional Information contains additional information about the Fund, including its trustees. It is available, without charge, by calling (800) 869-NEWS. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing. Investments and services offered through Morgan Stanley DW Inc., member SIPC. Morgan Stanley Distributors Inc., member NASD. © 2004 Morgan Stanley 36085RPT-RA04-00537P-Y07/04 | MORGAN STANLEY FUNDS | |
Morgan Stanley Total Market Index Fund Annual Report July 31, 2004 | ||
Item 2. Code of Ethics. (a) The Fund has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Fund or a third party. (b) No information need be disclosed pursuant to this paragraph. (c) Not applicable. (d) Not applicable. (e) Not applicable. (f) (1) The Fund's Code of Ethics is attached hereto as Exhibit A. (2) Not applicable. (3) Not applicable. Item 3. Audit Committee Financial Expert. The Fund's Board of Trustees has determined that it has two "audit committee financial experts" serving on its audit committee, each of whom are "independent" Trustees: Dr. Manuel H. Johnson and Joseph J. Kearns. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. Item 4. Principal Accountant Fees and Services. (a)(b)(c)(d) and (g). Based on fees billed for the periods shown: 2004 REGISTRANT COVERED ENTITIES(1) AUDIT FEES ....................... $25,660 N/A NON-AUDIT FEES AUDIT-RELATED FEES ..... $ 452(2) $3,225,276(2) TAX FEES ............... $ 4,889(3) $ 610,053(4) ALL OTHER FEES ......... $ -- $ -- TOTAL NON-AUDIT FEES ............. $ 5,341 $3,835,329 TOTAL ............................ $31,001 $3,835,329 2003 REGISTRANT COVERED ENTITIES(1) AUDIT FEES ....................... $ 24,150 N/A NON-AUDIT FEES AUDIT-RELATED FEES ..... $ 684(2) $739,996(2) TAX FEES ............... $ 4,770(3) $187,500(4) ALL OTHER FEES ......... $ -- $ -- (5) TOTAL NON-AUDIT FEES ............. $ 5,454 $927,496 TOTAL ............................ $ 29,604 $927,496 N/A- Not applicable, as not required by Item 4. (1) Covered Entities include the Adviser (excluding sub-advisors) and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Registrant. (2) Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Covered Entities' and funds advised by the Adviser or its affiliates, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. (3) Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant's tax returns. (4) Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of Covered Entities' tax returns. (5) All other fees represent project management for future business applications and improving business and operational processes. 2 (e)(1) The audit committee's pre-approval policies and procedures are as follows: AUDIT COMMITTEE AUDIT AND NON-AUDIT SERVICES PRE-APPROVAL POLICY AND PROCEDURES OF THE MORGAN STANLEY RETAIL AND INSTITUTIONAL FUNDS AS ADOPTED JULY 31, 2003(1) 1. STATEMENT OF PRINCIPLES The Audit Committee of the Board is required to review and, in its sole discretion, pre-approve all Covered Services to be provided by the Independent Auditors to the Fund and Covered Entities in order to assure that services performed by the Independent Auditors do not impair the auditor's independence from the Fund. The SEC has issued rules specifying the types of services that an independent auditor may not provide to its audit client, as well as the audit committee's administration of the engagement of the independent auditor. The SEC's rules establish two different approaches to pre-approving services, which the SEC considers to be equally valid. Proposed services either: may be pre-approved without consideration of specific case-by-case services by the Audit Committee ("general pre-approval"); or require the specific pre-approval of the Audit Committee or its delegate ("specific pre-approval"). The Audit Committee believes that the combination of these two approaches in this Policy will result in an effective and efficient procedure to pre-approve services performed by the Independent Auditors. As set forth in this Policy, unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee (or by any member of the Audit Committee to which pre-approval authority has been delegated) if it is to be provided by the Independent Auditors. Any proposed services exceeding pre-approved cost levels or budgeted amounts will also require specific pre-approval by the Audit Committee. The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services that have the general pre-approval of the Audit Committee. The term of any general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee considers and provides a different period and states otherwise. The Audit Committee will annually review and pre-approve the services that may be provided by the Independent Auditors without obtaining specific pre-approval from the Audit Committee. The Audit Committee will add to or subtract from the list of general pre-approved services from time to time, based on subsequent determinations. - ------------- (1) This Audit Committee Audit and Non-Audit Services Pre-Approval Policy and Procedures (the "Policy"), adopted as of the date above, supercedes and replaces all prior versions that may have been adopted from time to time. 3 The purpose of this Policy is to set forth the policy and procedures by which the Audit Committee intends to fulfill its responsibilities. It does not delegate the Audit Committee's responsibilities to pre-approve services performed by the Independent Auditors to management. The Fund's Independent Auditors have reviewed this Policy and believes that implementation of the Policy will not adversely affect the Independent Auditors' independence. 2. DELEGATION As provided in the Act and the SEC's rules, the Audit Committee may delegate either type of pre-approval authority to one or more of its members. The member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting. 3. AUDIT SERVICES The annual Audit services engagement terms and fees are subject to the specific pre-approval of the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by the Independent Auditors to be able to form an opinion on the Fund's financial statements. These other procedures include information systems and procedural reviews and testing performed in order to understand and place reliance on the systems of internal control, and consultations relating to the audit. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, Fund structure or other items. In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant general pre-approval to other Audit services, which are those services that only the Independent Auditors reasonably can provide. Other Audit services may include statutory audits and services associated with SEC registration statements (on Forms N-1A, N-2, N-3, N-4, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings. The Audit Committee has pre-approved the Audit services in Appendix B.1. All other Audit services not listed in Appendix B.1 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated). 4. AUDIT-RELATED SERVICES 4 Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Fund's financial statements and, to the extent they are Covered Services, the Covered Entities or that are traditionally performed by the Independent Auditors. Because the Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor and is consistent with the SEC's rules on auditor independence, the Audit Committee may grant general pre-approval to Audit-related services. Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters not classified as "Audit services"; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Forms N-SAR and/or N-CSR. The Audit Committee has pre-approved the Audit-related services in Appendix B.2. All other Audit-related services not listed in Appendix B.2 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated). 5. TAX SERVICES The Audit Committee believes that the Independent Auditors can provide Tax services to the Fund and, to the extent they are Covered Services, the Covered Entities, such as tax compliance, tax planning and tax advice without impairing the auditor's independence, and the SEC has stated that the Independent Auditors may provide such services. Pursuant to the preceding paragraph, the Audit Committee has pre-approved the Tax Services in Appendix B.3. All Tax services in Appendix B.3 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated). 6. ALL OTHER SERVICES The Audit Committee believes, based on the SEC's rules prohibiting the Independent Auditors from providing specific non-audit services, that other types of non-audit services are permitted. Accordingly, the Audit Committee believes it may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, would not impair the independence of the auditor and are consistent with the SEC's rules on auditor independence. 5 The Audit Committee has pre-approved the All Other services in Appendix B.4. Permissible All Other services not listed in Appendix B.4 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated). 7. PRE-APPROVAL FEE LEVELS OR BUDGETED AMOUNTS Pre-approval fee levels or budgeted amounts for all services to be provided by the Independent Auditors will be established annually by the Audit Committee. Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee. The Audit Committee is mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services. 8. PROCEDURES All requests or applications for services to be provided by the Independent Auditors that do not require specific approval by the Audit Committee will be submitted to the Fund's Chief Financial Officer and must include a detailed description of the services to be rendered. The Fund's Chief Financial Officer will determine whether such services are included within the list of services that have received the general pre-approval of the Audit Committee. The Audit Committee will be informed on a timely basis of any such services rendered by the Independent Auditors. Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the Independent Auditors and the Fund's Chief Financial Officer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC's rules on auditor independence. The Audit Committee has designated the Fund's Chief Financial Officer to monitor the performance of all services provided by the Independent Auditors and to determine whether such services are in compliance with this Policy. The Fund's Chief Financial Officer will report to the Audit Committee on a periodic basis on the results of its monitoring. Both the Fund's Chief Financial Officer and management will immediately report to the chairman of the Audit Committee any breach of this Policy that comes to the attention of the Fund's Chief Financial Officer or any member of management. 9. ADDITIONAL REQUIREMENTS The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the Independent Auditors and to assure the auditor's independence from the Fund, such as reviewing a formal written statement from the Independent Auditors delineating all relationships between the Independent Auditors and the Fund, consistent with Independence Standards Board No. 6 1, and discussing with the Independent Auditors its methods and procedures for ensuring independence. 10. COVERED ENTITIES Covered Entities include the Fund's investment adviser(s) and any entity controlling, controlled by or under common control with the Fund's investment adviser(s) that provides ongoing services to the Fund(s). Beginning with non-audit service contracts entered into on or after May 6, 2003, the Fund's audit committee must pre-approve non-audit services provided not only to the Fund but also to the Covered Entities if the engagements relate directly to the operations and financial reporting of the Fund. This list of Covered Entities would include: Morgan Stanley Retail Funds --------------------------- Morgan Stanley Investment Advisors Inc. Morgan Stanley & Co. Incorporated Morgan Stanley DW Inc. Morgan Stanley Investment Management Morgan Stanley Investments LP Van Kampen Asset Management Inc. Morgan Stanley Services Company, Inc. Morgan Stanley Distributors Inc. Morgan Stanley Trust FSB Morgan Stanley Institutional Funds ---------------------------------- Morgan Stanley Investment Management Inc. Morgan Stanley Investments LP Morgan Stanley & Co. Incorporated Morgan Stanley Distribution, Inc. Morgan Stanley AIP GP LP Morgan Stanley Alternative Investment Partners LP (e)(2) Beginning with non-audit service contracts entered into on or after May 6, 2003, the audit committee also is required to pre-approve services to Covered Entities to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Registrant. 100% of such services were pre-approved by the audit committee pursuant to the Audit Committee's pre-approval policies and procedures (attached hereto). (f) Not applicable. (g) See table above. (h) The audit committee of the Board of Trustees has considered whether the provision of services other than audit services performed by the auditors to the Registrant and 7 Covered Entities is compatible with maintaining the auditors' independence in performing audit services. Item 5. Audit Committee of Listed Registrants. Applicable only for reports covering periods ending on or after the earlier of (i) the first annual shareholder meeting after January 15, 2004 or (ii) October 31, 2004. Item 6. [Reserved.] Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Applicable only to annual reports filed by closed-end funds. Item 8. [Reserved.] Item 9 - Controls and Procedures (a) The Fund's principal executive officer and principal financial officer have concluded that the Fund's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report. There were no significant changes or corrective actions with regard to significant deficiencies or material weaknesses in the Fund's internal controls or in other factors that could significantly affect the Fund's internal controls subsequent to the date of their evaluation. (b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 10 Exhibits 8 (a) The Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto. (b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of 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. Morgan Stanley Total Market Index Fund /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer September 20, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer September 20, 2004 /s/ Francis Smith Francis Smith Principal Financial Officer September 20, 2004 9 EXHIBIT 10 A CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS ADOPTED JULY 31, 2003 I. This Code of Ethics (the "Code") for the investment companies within the Morgan Stanley complex identified in Exhibit A (collectively, "Funds" and each, a "Fund") applies to each Fund's Principal Executive Officer, President, Principal Financial Officer and Treasurer (or persons performing similar functions) ("Covered Officers" each of whom are set forth in Exhibit B) for the purpose of promoting: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships. o full, fair, accurate, timely and understandable disclosure in reports and documents that a company files with, or submits to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Fund; o compliance with applicable laws and governmental rules and regulations; o prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and o accountability for adherence to the Code. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. Any question about the application of the Code should be referred to the General Counsel or his/her designee (who is set forth in Exhibit C). II. COVERED OFFICERS SHOULD HANDLE ETHICALLY ACTUAL AND APPARENT CONFLICTS OF INTEREST 10 OVERVIEW. A "conflict of interest" occurs when a Covered Officer's private interest interferes, or appears to interfere, with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fund. Certain conflicts of interest arise out of the relationships between Covered Officers and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 ("Investment Company Act") and the Investment Advisers Act of 1940 ("Investment Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as "affiliated persons" (as defined in the Investment Company Act) of the Fund. The Fund's and its investment adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside the parameters of this Code, unless or until the General Counsel determines that any violation of such programs and procedures is also a violation of this Code. Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Fund and its investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fund or for the investment adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Fund and its investment adviser. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fund and the investment adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Fund. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Boards of Directors/Trustees ("Boards") that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Fund. Each Covered Officer must not: o use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally (directly or indirectly) to the detriment of the Fund; 11 o cause the Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund; or o use material non-public knowledge of portfolio transactions made or contemplated for, or actions proposed to be taken by, the Fund to trade personally or cause others to trade personally in contemplation of the market effect of such transactions. Each Covered Officer must, at the time of signing this Code, report to the General Counsel all affiliations or significant business relationships outside the Morgan Stanley complex and must update the report annually. Conflict of interest situations should always be approved by the General Counsel and communicated to the relevant Fund or Fund's Board. Any activity or relationship that would present such a conflict for a Covered Officer would likely also present a conflict for the Covered Officer if an immediate member of the Covered Officer's family living in the same household engages in such an activity or has such a relationship. Examples of these include: o service or significant business relationships as a director on the board of any public or private company; o accepting directly or indirectly, anything of value, including gifts and gratuities in excess of $100 per year from any person or entity with which the Fund has current or prospective business dealings, not including occasional meals or tickets for theatre or sporting events or other similar entertainment; provided it is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; o any ownership interest in, or any consulting or employment relationship with, any of the Fund's service providers, other than its investment adviser, principal underwriter, or any affiliated person thereof; and o a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. III. DISCLOSURE AND COMPLIANCE o Each Covered Officer should familiarize himself/herself with the disclosure and compliance requirements generally applicable to the Funds; o each Covered Officer must not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the 12 Fund, including to the Fund's Directors/Trustees and auditors, or to governmental regulators and self-regulatory organizations; o each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Funds and their investment advisers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and o it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. IV. REPORTING AND ACCOUNTABILITY Each Covered Officer must: o upon adoption of the Code (thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Boards that he has received, read and understands the Code; o annually thereafter affirm to the Boards that he has complied with the requirements of the Code; o not retaliate against any other Covered Officer, other officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and o notify the General Counsel promptly if he/she knows or suspects of any violation of this Code. Failure to do so is itself a violation of this Code. The General Counsel is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any waivers(2) sought by a Covered Officer must be considered by the Board of the relevant Fund or Funds. The Funds will follow these procedures in investigating and enforcing this Code: o the General Counsel will take all appropriate action to investigate any potential violations reported to him; - ------------ (2) Item 2 of Form N-CSR defines "waiver" as "the approval by the registrant of a material departure from a provision of the code of ethics." 13 o if, after such investigation, the General Counsel believes that no violation has occurred, the General Counsel is not required to take any further action; o any matter that the General Counsel believes is a violation will be reported to the relevant Fund's Audit Committee; o if the directors/trustees/managing general partners who are not "interested persons" as defined by the Investment Company Act (the "Independent Directors/Trustees/Managing General Partners") of the relevant Fund concur that a violation has occurred, they will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer or other appropriate disciplinary actions; o the Independent Directors/Trustees/Managing General Partners of the relevant Fund will be responsible for granting waivers of this Code, as appropriate; and o any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. V. OTHER POLICIES AND PROCEDURES This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds' investment advisers, principal underwriters, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code unless any provision of this Code conflicts with any applicable federal or state law, in which case the requirements of such law will govern. The Funds' and their investment advisers' and principal underwriters' codes of ethics under Rule 17j-1 under the Investment Company Act and Morgan Stanley's Code of Ethics are separate requirements applying to the Covered Officers and others, and are not part of this Code. VI. AMENDMENTS Any amendments to this Code, other than amendments to Exhibits A, B or C, must be approved or ratified by a majority vote of the Board of each Fund, including a majority of Independent Directors/Trustees/Managing General Partners. VII. CONFIDENTIALITY 14 All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Independent Directors/Trustees/Managing General Partners of the relevant Fund or Funds and their counsel, the relevant Fund or Funds and their counsel and the relevant investment adviser and its counsel. 15 VIII. INTERNAL USE The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion I have read and understand the terms of the above Code. I recognize the responsibilities and obligations incurred by me as a result of my being subject to the Code. I hereby agree to abide by the above Code. - ------------------------- Date: -------------------- 16 EXHIBIT B INSTITUTIONAL FUNDS COVERED OFFICERS Mitchell M. Merin - President Ronald E. Robison - Executive Vice President and Principal Executive Officer James W. Garrett - Chief Financial Officer and Treasurer RETAIL FUNDS COVERED OFFICERS Mitchell M. Merin - President Ronald E. Robison - Executive Vice President and Principal Executive Officer Frank Smith - Chief Financial Officer and Treasurer 17 EXHIBIT C GENERAL COUNSEL Barry Fink 18 EXHIBIT 10 B1 CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER CERTIFICATIONS I, Ronald E. Robison, certify that: 1. I have reviewed this report on Form N-CSR of Morgan Stanley Total Market Index Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; [b) Omitted.] c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and 19 b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: September 20, 2004 /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer 20 EXHIBIT 10 B2 CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER CERTIFICATIONS I, Francis Smith, certify that: 6. I have reviewed this report on Form N-CSR of Morgan Stanley Total Market Index Fund; 7. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 8. Based on my knowledge, the financial statements and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 9. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: b) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; [b) Omitted.] e) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and f) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 10. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): c) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and 21 d) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: September 20, 2004 /s/ Francis Smith Francis Smith Principal Financial Officer 22 SECTION 906 CERTIFICATION Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Morgan Stanley Total Market Index Fund In connection with the Report on Form N-CSR (the "Report") of the above-named issuer for the period ended July 31, 2004 that is accompanied by this certification, the undersigned hereby certifies that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer. Date: September 20, 2004 /s/ Ronald E. Robison --------------------------- Ronald E. Robison Principal Executive Officer A signed original of this written statement required by Section 906 has been provided to Morgan Stanley Total Market Index Fund and will be retained by Morgan Stanley Total Market Index Fund and furnished to the Securities and Exchange Commission or its staff upon request. 23 SECTION 906 CERTIFICATION Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Morgan Stanley Total Market Index Fund In connection with the Report on Form N-CSR (the "Report") of the above-named issuer for the period ended July 31, 2004 that is accompanied by this certification, the undersigned hereby certifies that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer. Date: September 20, 2004 /s/ Francis Smith ---------------------- Francis Smith Principal Financial Officer A signed original of this written statement required by Section 906 has been provided to Morgan Stanley Total Market Index Fund and will be retained by Morgan Stanley Total Market Index Fund and furnished to the Securities and Exchange Commission or its staff upon request. 24