Morgan Stanley Institutional Fund Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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			811-03980
Morgan Stanley Institutional Funds Trust
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York					10036
(Address of principal executive offices)					(Zip code)
Sara Furber 522 Fifth Avenue, New York, New York 10036
(Name and address of agent for service)
Registrant’s telephone number, including area code:				212-296-6990
Date of fiscal year end:	September 30, 2011
Date of reporting period:		March 31, 2011

Item 1 - Report to Shareholders

INVESTMENT MANAGEMENT

Morgan Stanley
Institutional Fund Trust

Balanced Portfolio

Balanced Portfolio

Equity Portfolio

Mid Cap Growth Portfolio

Fixed Income Portfolios

Core Fixed Income Portfolio

Core Plus Fixed Income Portfolio

Investment Grade Fixed Income Portfolio

Limited Duration Portfolio

Long Duration Fixed Income Portfolio

Semi-Annual
Report

March 31, 2011

(This Page has been left blank intentionally.)

2011 Semi-Annual Report

March 31, 2011

Table of Contents

Shareholders' Letter	2
Expense Examples	3
Portfolios of Investments
Balanced Portfolio:
Balanced	4
Equity Portfolio:
Mid Cap Growth	18
Fixed Income Portfolios:
Core Fixed Income	20
Core Plus Fixed Income	27
Investment Grade Fixed Income	37
Limited Duration	44
Long Duration Fixed Income	49
Statements of Assets and Liabilities	55
Statements of Operations	59
Statements of Changes in Net Assets	61
Financial Highlights	66
Notes to Financial Statements	82
U.S. Privacy Policy	92
Trustee and Officer Information	95

This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Fund Trust. To receive a prospectus and/or SAI, which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations, and describes in detail each of the Portfolio's investment policies to the prospective investor, please call toll free 1-(800) 548-7786. Please read the prospectuses carefully before you invest or send money.

Additionally, you can access portfolio information including performance, characteristics, and investment team commentary through Morgan Stanley Investment Management's website: www.morganstanley.com/im.

Market forecasts provided in this report may not necessarily come to pass. There is no guarantee that any sectors mentioned will continue to perform as discussed herein or that securities in such sectors will be held by the Portfolio in the future. There is no assurance that a Portfolio will achieve its investment objective. Portfolios are subject to market risk, which is the possibility that market values of securities owned by the Portfolio will decline and, therefore, the value of the Portfolio's shares may be less than what you paid for them. Accordingly, you can lose money investing in Portfolios. Please see the prospectus for more complete information on investment risks.

1

2011 Semi-Annual Report

March 31, 2011

Shareholders' Letter

Dear Shareholders:

We are pleased to present to you the Morgan Stanley Institutional Fund Trust's (the "Fund") Semi-Annual Report for the six months ended March 31, 2011. Our Fund currently offers 7 portfolios providing investors with domestic equity and fixed-income products. The Fund's portfolios, together with the portfolios of the Morgan Stanley Institutional Fund, Inc., provide investors with a means to help them meet specific investment needs and to allocate their investments among equities and fixed income.

Sincerely,

Sara Furber
President and Principal Executive Officer

April 2011

2

2011 Semi-Annual Report

March 31, 2011

Expense Examples (unaudited)

Expense Examples

As a shareholder of the Portfolio, you may incur two types of costs: (1) transactional costs, including sales charge (loads) on purchase payments, if applicable; and (2) ongoing costs, including management fees, distribution and shareholder servicing fees (in the case of Class P, Class H and Class L); and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the six-month period ended March 31, 2011 and held for the entire six-month period.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information in this table, 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 table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Please note that "Actual Expenses Paid During Period" are grossed up to reflect Portfolio expenses prior to the effect of Expense Offset (See Note F in the Notes to Financial Statements). Therefore, the annualized net expense ratios may differ from the ratio of expenses to average net assets shown in the Financial Highlights.

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

Portfolio	Beginning Account Value 10/1/10		Actual Ending Account Value 3/31/11		Hypothetical Ending Account Value		Actual Expenses Paid During Period*		Hypothetical Expenses Paid During Period*		Net Expense Ratio During Period**
Balanced Portfolio Class I	$	1,000.00	$	1,090.90	$	1,019.35	$	5.84	$	5.64		1.12	%
Balanced Portfolio Class P		1,000.00		1,089.80		1,018.10		7.14		6.89		1.37
Mid Cap Growth Portfolio Class I		1,000.00		1,206.90		1,021.54		3.74		3.43		0.68
Mid Cap Growth Portfolio Class P		1,000.00		1,205.50		1,020.29		5.11		4.68		0.93
Core Fixed Income Portfolio Class I		1,000.00		996.00		1,022.44		2.49		2.52		0.50
Core Fixed Income Portfolio Class P		1,000.00		993.80		1,021.19		3.73		3.78		0.75
Core Plus Fixed Income Portfolio Class I		1,000.00		1,004.20		1,021.64		3.30		3.33		0.66
Core Plus Fixed Income Portfolio Class P		1,000.00		1,002.90		1,020.39		4.54		4.58		0.91
Investment Grade Fixed Income Portfolio Class I		1,000.00		995.10		1,021.24		3.68		3.73		0.74
Investment Grade Fixed Income Portfolio Class P		1,000.00		995.30		1,020.49		4.43		4.48		0.89
Investment Grade Fixed Income Portfolio Class H		1,000.00		994.80		1,020.00		4.92		4.99		0.99
Investment Grade Fixed Income Portfolio Class L		1,000.00		992.50		1,018.75		6.16		6.24		1.24
Limited Duration Portfolio Class I		1,000.00		1,001.30		1,021.89		3.04		3.07		0.61
Limited Duration Portfolio Class P		1,000.00		1,000.00		1,020.64		4.29		4.33		0.86
Long Duration Fixed Income Portfolio Class I		1,000.00		944.90		1,022.44		2.42		2.52		0.50
Long Duration Fixed Income Portfolio Class P		1,000.00		943.60		1,021.19		3.63		3.78		0.75

*  Expenses are calculated using each Portfolio Class' annualized net expense ratio (as disclosed), multiplied by the average account value over the period, and multiplied by 182/365 (to reflect the most recent one-half year period).

**  Annualized.

3

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Balanced Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (35.9%)
Agency Adjustable Rate Mortgages (0.3%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
6.06%, 2/1/37	$	24	$	25
IO REMIC
5.89%, 7/15/37		171		26
Federal National Mortgage Association,
Conventional Pools:
2.54%, 5/1/35		69		73
5.69%, 3/1/38		20		21
				145
Agency Bond — Banking (FDIC Guaranteed) (1.0%)
Ally Financial, Inc.
2.20%, 12/19/12		450		461
Agency Fixed Rate Mortgages (9.0%)
Federal Home Loan Mortgage Corporation,
April TBA:
4.00%, 4/25/26 (a)		175		180
Gold Pools:
5.00%, 10/1/35		386		405
6.00%, 8/1/38		22		25
7.50%, 5/1/35		18		21
8.00%, 8/1/32		18		22
8.50%, 8/1/31		19		23
Federal National Mortgage Association,
April TBA:
4.50%, 4/25/41 (a)		550		560
Conventional Pools:
5.00%, 9/1/39		152		159
5.50%, 11/1/35 - 8/1/38		657		705
6.00%, 1/1/38 - 10/1/38		543		592
6.50%, 2/1/39		170		192
7.50%, 8/1/37		36		42
8.00%, 4/1/33		18		22
8.50%, 10/1/32		18		22
IO REMIC
5.00%, 10/25/38		183		28
May TBA:
5.00%, 5/25/41 (a)		130		136
Government National Mortgage Association,
April TBA:
4.00%, 4/25/41 (a)		700		700
Various Pools:
4.50%, 4/15/39 - 5/15/40		515		531
				4,365
Asset-Backed Securities (0.5%)
Santander Drive Auto Receivables Trust
3.06%, 11/15/17		50		49
U-Haul S Fleet LLC
4.90%, 10/25/23 (b)		98		99
Westlake Automobile Receivables Trust
5.00%, 5/15/15 (b)		75		75
				223

	Face Amount (000)		Value (000)
Collateralized Mortgage Obligations — Agency Collateral Series (0.7%)
Federal Home Loan Mortgage Corporation, IO REMIC
6.21%, 6/15/40 (c)	$	700	$	117
Federal National Mortgage Association,
IO
6.14%, 9/25/20 (c)		448		90
IO REMIC
5.00%, 8/25/37		129		13
6.45%, 2/25/24 (c)		157		17
Government National Mortgage Association,
IO REMIC
0.85%, 8/20/58 (c)		798		29
IO
6.35%, 4/16/41 (d)		350		62
				328
Commercial Mortgage Backed Securities (0.7%)
Bear Stearns Commercial Mortgage Securities
5.72%, 6/11/40 (c)		65		65
Citigroup Commercial Mortgage Trust (See Note G-2),
5.70%, 12/10/49 (c)		100		108
5.82%, 12/10/49 (c)		50		55
Greenwich Capital Commercial Funding Corp.
5.44%, 3/10/39		40		42
JP Morgan Chase Commercial Mortgage Securities Corp.,
5.34%, 5/15/47		50		53
5.90%, 2/12/51 (c)		35		36
				359
Corporate Bonds (9.5%)
Finance (5.0%)
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)		100		100
American International Group, Inc.
6.40%, 12/15/20		25		27
Bank of America Corp.,
5.63%, 7/1/20		15		15
5.65%, 5/1/18		115		120
BNP Paribas
5.00%, 1/15/21		30		30
Brandywine Operating Partnership
4.95%, 4/15/18		50		50
Brookfield Asset Management, Inc.
5.80%, 4/25/17		25		26
Capital One Financial Corp.
6.75%, 9/15/17		75		86
Citigroup, Inc. (See Note G-2),
6.13%, 5/15/18		100		109
8.50%, 5/22/19		5		6
CNA Financial Corp.
5.75%, 8/15/21		45		46
Credit Agricole SA
3.50%, 4/13/15 (b)(e)		100		101
Credit Suisse AG
5.40%, 1/14/20		85		86

The accompanying notes are an integral part of the financial statements.
4

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
Dexus Diversfied Trust/Dexus Office Trust
5.60%, 3/15/21 (b)	$	25	$	25
Digital Realty Trust LP
5.25%, 3/15/21		50		49
General Electric Capital Corp.,
5.88%, 1/14/38		100		99
6.00%, 8/7/19		25		27
Genworth Financial, Inc.
7.20%, 2/15/21		30		30
Goldman Sachs Group, Inc. (The),
6.15%, 4/1/18		115		125
7.50%, 2/15/19		25		29
Hartford Financial Services Group, Inc.
5.50%, 3/30/20		25		26
Health Care REIT, Inc.
6.13%, 4/15/20		25		27
HSBC Bank PLC
3.50%, 6/28/15 (b)		100		101
HSBC Holdings PLC
5.10%, 4/5/21 (d)		35		35
JPMorgan Chase & Co.,
4.95%, 3/25/20		25		26
6.30%, 4/23/19		55		61
Lloyds TSB Bank PLC
5.80%, 1/13/20 (b)		100		100
Macquarie Bank Ltd.
6.63%, 4/7/21		25		25
Macquarie Group Ltd.
6.00%, 1/14/20 (b)		25		25
NASDAQ OMX Group, Inc. (The)
5.55%, 1/15/20 (f)		50		49
Nationwide Financial Services
5.38%, 3/25/21 (b)		25		25
Pacific LifeCorp
6.00%, 2/10/20 (b)		25		27
Regions Financial Corp.
5.75%, 6/15/15		20		20
Reinsurance Group of America, Inc.
6.45%, 11/15/19		50		54
Standard Chartered PLC
3.85%, 4/27/15 (b)		100		102
UnitedHealth Group, Inc.
6.63%, 11/15/37		90		98
US Central Federal Credit Union, (U.S. Government Guaranteed)
1.90%, 10/19/12		250		255
Wells Fargo & Co.,
3.68%, 6/15/16		30		30
5.63%, 12/11/17		55		60
Wells Operating Partnership II LP
5.88%, 4/1/18 (b)(d)		50		50
Willis Group Holdings PLC
4.13%, 3/15/16		45		45
				2,427

	Face Amount (000)		Value (000)
Industrials (3.9%)
ArcelorMittal
9.85%, 6/1/19	$	25	$	32
AT&T, Inc.
6.30%, 1/15/38		50		51
AutoNation, Inc.
6.75%, 4/15/18 (e)		50		53
Best Buy Co., Inc.
3.75%, 3/15/16		45		44
Boston Scientific Corp.
6.00%, 1/15/20		25		26
Comcast Corp.
5.70%, 5/15/18		30		33
CVS Caremark Corp.
6.60%, 3/15/19		80		92
Darden Restaurants, Inc.
6.20%, 10/15/17		50		55
Delhaize Group SA
5.70%, 10/1/40		92		84
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
4.60%, 2/15/21		15		15
5.88%, 10/1/19		35		38
DISH DBS Corp.
7.13%, 2/1/16		35		38
Frontier Communications Corp.
8.50%, 4/15/20		30		33
Gilead Sciences, Inc.
4.50%, 4/1/21		45		45
Hess Corp.
6.00%, 1/15/40		35		35
Home Depot, Inc.
5.88%, 12/16/36		30		30
JC Penney Co., Inc.
5.65%, 6/1/20		10		10
JC Penney Corp., Inc.
6.38%, 10/15/36		28		25
Kohl's Corp.
6.88%, 12/15/37		30		34
Kraft Foods, Inc.
7.00%, 8/11/37		80		90
Lafarge SA
5.50%, 7/9/15 (b)		80		83
Mosaic Co. (The)
7.63%, 12/1/16 (b)		75		81
NBC Universal Media LLC
5.15%, 4/30/20 (b)		55	��	57
News America, Inc.
7.85%, 3/1/39		60		71
Omnicom Group, Inc.
4.45%, 8/15/20		35		34
Petrobras International Finance Co.
5.75%, 1/20/20		90		93
QEP Resources, Inc.
6.88%, 3/1/21		15		16

The accompanying notes are an integral part of the financial statements.
5

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Quest Diagnostics, Inc.,
4.70%, 4/1/21	$	35	$	35
6.95%, 7/1/37		10		11
Qwest Corp.
6.50%, 6/1/17		30		33
Rio Tinto Finance USA Ltd.
9.00%, 5/1/19		25		33
Southern Copper Corp.,
5.38%, 4/16/20 (e)		15		15
6.75%, 4/16/40		15		15
Telecom Italia Capital SA
7.18%, 6/18/19		60		66
Time Warner Cable, Inc.
8.25%, 4/1/19		25		30
Verisk Analytics, Inc.
5.80%, 5/1/21		100		100
Verizon Communications, Inc.
8.95%, 3/1/39		115		157
Weatherford International Ltd.
9.63%, 3/1/19		35		45
Wyndham Worldwide Corp.
5.63%, 3/1/21		50		50
				1,888
Utilities (0.6%)
EDF SA
4.60%, 1/27/20 (b)		25		25
Energy Transfer Partners LP
9.00%, 4/15/19		25		32
Enterprise Products Operating LLC
5.20%, 9/1/20		50		52
EQT Corp.
8.13%, 6/1/19		25		30
Exelon Generation Co. LLC
6.25%, 10/1/39		75		74
FirstEnergy Solutions Corp.
6.05%, 8/15/21		40		41
Plains All American Pipeline LP/PAA Finance Corp.
8.75%, 5/1/19		30		38
				292
				4,607
Mortgages — Other (3.5%)
American Home Mortgage Investment Trust
0.43%, 12/25/46 (c)		138		91
Banc of America Alternative Loan Trust,
5.25%, 1/25/21		98		94
6.00%, 4/25/36		86		85
Banc of America Funding Corp.
0.62%, 8/25/36 (c)		46		43
Chaseflex Trust
6.00%, 2/25/37		75		55

	Face Amount (000)			Value (000)
Countrywide Alternative Loan Trust
0.60%, 9/25/35 (c)	$	83		$	53
Countrywide Home Loan Mortgage Pass Through Trust
6.00%, 8/25/37		105			91
First Horizon Alternative Mortgage Securities,
5.00%, 11/25/20		60			57
6.25%, 8/25/36		46			35
GMAC Mortgage Corp. Loan Trust,
4.25%, 7/25/40 (b)		43			43
5.75%, 4/25/36		30			29
Greenwich Capital Commercial Funding Corp.
5.87%, 12/10/49 (c)		60			59
GSR Mortgage Loan Trust,
5.75%, 1/25/37		75			69
6.00%, 2/25/36		49			47
JP Morgan Mortgage Trust,
5.22%, 11/25/35 (c)		43			40
6.00%, 6/25/37		40			37
6.25%, 7/25/36		87			85
LB-UBS Commercial Mortgage Trust
6.17%, 9/15/45 (c)		50			51
Lehman Mortgage Trust,
5.50%, 11/25/35 - 2/25/36		95			90
6.50%, 9/25/37		96			81
Luminent Mortgage Trust
0.39%, 1/25/37 (c)		146			96
Mastr Alternative Loans Trust
6.50%, 3/25/35		84			83
Residential Accredit Loans, Inc.
0.75%, 3/25/35 (c)		62			44
Structured Adjustable Rate Mortgage Loan Trust
2.61%, 1/25/35 (c)		—	@		—	@
Structured Asset Mortgage Investments, Inc.
0.48%, 8/25/36 (c)		120			40
WaMu Mortgage Pass Through Certificates,
1.08%, 5/25/47 (c)		133			93
1.29%, 7/25/46 (c)		104			70
Wells Fargo Mortgage Backed Securities Trust
2.78%, 4/25/36 (c)		56			49
					1,710
Municipal Bonds (0.4%)
Chicago Illinois Transit Authority
6.20%, 12/1/40		20			18
City of Chicago, IL
6.40%, 1/1/40		10			10
City of New York, NY
5.97%, 3/1/36		15			15
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		50			48
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		20			19
6.66%, 4/1/57		30			28

The accompanying notes are an integral part of the financial statements.
6

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Municipal Bonds (cont'd)
New York City Transitional Finance Authority
5.27%, 5/1/27	$	15	$	15
State of California, General Obligation Bonds
5.95%, 4/1/16		40		43
				196
Sovereign (0.1%)
Ireland Government Bond
5.40%, 3/13/25		42		40
U.S. Agency Securities (1.2%)
Federal Home Loan Mortgage Corporation,
2.50%, 1/7/14 (e)		400		413
4.88%, 6/13/18		150		167
				580
U.S. Treasury Securities (9.0%)
U.S. Treasury Bonds,
3.50%, 2/15/39		110		92
4.38%, 11/15/39 (e)		140		137
4.63%, 2/15/40 (e)		120		122
6.88%, 8/15/25 (e)		100		132
7.50%, 11/15/24		510		704
U.S. Treasury Notes,
0.63%, 2/28/13		530		529
1.25%, 8/31/15		610		591
1.75%, 7/31/15		400		397
3.00%, 8/31/16 - 9/30/16		350		361
3.25%, 12/31/16 (e)		500		520
3.38%, 11/15/19 (e)		50		51
3.63%, 8/15/19		690		713
				4,349
Total Fixed Income Securities (Cost $17,016)				17,363
	Shares
Common Stocks (50.7%)
Aerospace & Defense (1.5%)
Alliant Techsystems, Inc. (e)(f)		320		23
Boeing Co. (The) (e)		895		66
General Dynamics Corp.		740		57
Goodrich Corp.		178		15
Honeywell International, Inc.		2,264		135
Huntington Ingalls Industries, Inc. (f)		53		2
ITT Corp. (e)		594		36
L-3 Communications Holdings, Inc. (e)		200		16
Lockheed Martin Corp. (e)		362		29
Northrop Grumman Corp.		322		20
Precision Castparts Corp.		416		61
Raytheon Co.		1,218		62
Rockwell Collins, Inc. (e)		475		31
United Technologies Corp.		2,302		195
				748

	Shares		Value (000)
Air Freight & Logistics (0.1%)
C.H. Robinson Worldwide, Inc.		100	$	8
FedEx Corp.		100		9
United Parcel Service, Inc., Class B		700		52
				69
Airlines (0.0%)
Southwest Airlines Co. (e)		100		1
Auto Components (0.1%)
Johnson Controls, Inc.		1,048		44
Automobiles (0.3%)
Ford Motor Co. (e)(f)		8,879		132
Beverages (0.9%)
Brown-Forman Corp., Class B		119		8
Coca-Cola Co. (The)		2,593		172
Coca-Cola Enterprises, Inc.		477		13
Constellation Brands, Inc. (f)		400		8
Molson Coors Brewing Co.		400		19
PepsiCo, Inc.		3,353		216
				436
Biotechnology (0.5%)
Amgen, Inc. (f)		1,789		96
Biogen Idec, Inc. (e)(f)		486		36
Celgene Corp. (f)		532		31
Genzyme Corp. (f)		54		4
Gilead Sciences, Inc. (f)		1,114		47
Human Genome Sciences, Inc. (e)(f)		203		5
Vertex Pharmaceuticals, Inc. (f)		188		9
				228
Capital Markets (1.3%)
Ameriprise Financial, Inc.		100		6
Bank of New York Mellon Corp. (The)		2,414		72
Charles Schwab Corp. (The) (e)		647		12
Franklin Resources, Inc.		552		69
Goldman Sachs Group, Inc. (The)		1,780		282
Invesco Ltd.		500		13
Janus Capital Group, Inc. (e)		200		2
Legg Mason, Inc. (e)		342		12
Northern Trust Corp.		130		7
State Street Corp.		3,365		151
				626
Chemicals (0.9%)
Air Products & Chemicals, Inc.		191		17
Airgas, Inc. (e)		119		8
CF Industries Holdings, Inc.		304		42
Dow Chemical Co. (The)		913		35
Ecolab, Inc. (e)		458		23
EI du Pont de Nemours & Co.		2,340		129
FMC Corp.		119		10
International Flavors & Fragrances, Inc.		119		7
Monsanto Co.		777		56
PPG Industries, Inc. (e)		411		39

The accompanying notes are an integral part of the financial statements.
7

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Chemicals (cont'd)
Praxair, Inc.		577	$	59
Sherwin-Williams Co. (The)		119		10
Sigma-Aldrich Corp.		239		15
				450
Commercial Banks (1.4%)
BB&T Corp. (e)		1,277		35
Comerica, Inc.		300		11
Fifth Third Bancorp		1,711		24
First Republic Bank (f)		2,272		70
Huntington Bancshares, Inc.		1,300		9
KeyCorp		1,156		10
M&T Bank Corp. (e)		174		15
Marshall & Ilsley Corp.		900		7
PNC Financial Services Group, Inc.		903		57
Regions Financial Corp. (e)		6,280		46
SunTrust Banks, Inc.		2,135		61
US Bancorp (e)		3,552		94
Wells Fargo & Co.		7,695		244
Zions BanCorp.		300		7
				690
Commercial Services & Supplies (0.3%)
Avery Dennison Corp.		234		10
Cintas Corp. (e)		287		9
Iron Mountain, Inc. (e)		206		6
Pitney Bowes, Inc. (e)		429		11
Republic Services, Inc.		646		19
RR Donnelley & Sons Co. (e)		458		9
Stericycle, Inc. (e)(f)		119		10
Waste Management, Inc. (e)		1,309		49
				123
Communications Equipment (0.7%)
Cisco Systems, Inc. (f)		8,493		146
Juniper Networks, Inc. (f)		1,028		43
Motorola Solutions, Inc. (f)		468		21
QUALCOMM, Inc.		2,413		132
				342
Computers & Peripherals (2.1%)
Apple, Inc. (f)		1,365		476
Dell, Inc. (f)		2,624		38
EMC Corp. (e)(f)		3,187		85
Hewlett-Packard Co.		3,688		151
Lexmark International, Inc. (e)(f)		100		4
NetApp, Inc. (e)(f)		716		34
SanDisk Corp. (f)		3,428		158
Western Digital Corp. (f)		1,999		74
				1,020
Construction & Engineering (0.1%)
Jacobs Engineering Group, Inc. (e)(f)		300		15
URS Corp. (f)		818		38
				53

	Shares		Value (000)
Consumer Finance (0.3%)
American Express Co.		1,030	$	46
Capital One Financial Corp.		983		51
Discover Financial Services		1,193		29
SLM Corp. (f)		444		7
				133
Containers & Packaging (0.1%)
Ball Corp.		239		8
Sealed Air Corp.		1,825		49
				57
Distributors (0.1%)
Genuine Parts Co.		1,243		67
Diversified Consumer Services (0.1%)
Apollo Group, Inc., Class A (f)		358		15
DeVry, Inc.		119		7
H&R Block, Inc. (e)		1,216		20
				42
Diversified Financial Services (2.0%)
Bank of America Corp.		19,846		264
Citigroup, Inc. (See Note G-2) (f)		55,566		246
CME Group, Inc.		138		42
JPMorgan Chase & Co.		8,795		405
Leucadia National Corp. (e)		123		5
Moody's Corp. (e)		109		4
NASDAQ OMX Group, Inc. (The) (e)(f)		136		3
NYSE Euronext		331		12
				981
Diversified Telecommunication Services (1.3%)
AT&T, Inc.		10,052		308
CenturyLink, Inc. (e)		639		26
Frontier Communications Corp. (e)		2,418		20
Qwest Communications International, Inc.		2,744		19
Verizon Communications, Inc.		5,967		230
				603
Electric Utilities (0.6%)
American Electric Power Co., Inc.		869		31
Duke Energy Corp. (e)		1,915		35
Edison International		735		27
Entergy Corp.		85		6
Exelon Corp.		780		32
FirstEnergy Corp.		595		22
NextEra Energy, Inc.		735		40
Pepco Holdings, Inc. (e)		85		2
PPL Corp. (e)		735		19
Progress Energy, Inc.		505		23
Southern Co.		1,742		66
				303
Electrical Equipment (0.3%)
Emerson Electric Co.		2,829		165

The accompanying notes are an integral part of the financial statements.
8

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Electronic Equipment, Instruments & Components (0.5%)
Agilent Technologies, Inc. (f)		10	$	1
Amphenol Corp., Class A (e)		385		21
Arrow Electronics, Inc. (e)(f)		982		41
Corning, Inc.		7,751		160
Jabil Circuit, Inc.		300		6
Molex, Inc. (e)		164		4
				233
Energy Equipment & Services (2.0%)
Baker Hughes, Inc.		1,013		74
Cameron International Corp. (f)		831		47
Diamond Offshore Drilling, Inc. (e)		239		19
FMC Technologies, Inc. (e)(f)		477		45
Halliburton Co.		2,360		118
National Oilwell Varco, Inc.		1,485		118
Noble Corp. (e)(f)		596		27
Schlumberger Ltd.		4,697		438
Tidewater, Inc. (e)		1,404		84
				970
Food & Staples Retailing (1.1%)
Costco Wholesale Corp.		895		66
CVS Caremark Corp.		2,773		95
Kroger Co. (The)		1,072		26
Safeway, Inc. (e)		1,072		25
Sysco Corp. (e)		1,564		43
Wal-Mart Stores, Inc.		4,287		223
Walgreen Co.		758		31
				509
Food Products (1.0%)
Archer-Daniels-Midland Co.		1,116		40
Campbell Soup Co. (e)		300		10
ConAgra Foods, Inc.		3,062		73
General Mills, Inc.		1,001		37
H.J. Heinz Co.		643		31
Hershey Co. (The) (e)		200		11
JM Smucker Co. (The) (e)		623		45
Kellogg Co.		462		25
Kraft Foods, Inc., Class A (e)		2,624		82
Mead Johnson Nutrition Co.		239		14
Ralcorp Holdings, Inc. (f)		615		42
Sara Lee Corp. (e)		678		12
Smithfield Foods, Inc. (e)(f)		1,382		33
Tyson Foods, Inc., Class A		700		13
				468
Health Care Equipment & Supplies (1.3%)
Alcon, Inc.		95		16
Baxter International, Inc.		1,648		89
Becton Dickinson and Co.		644		51
Boston Scientific Corp. (e)(f)		4,239		30
Covidien PLC (e)		326		17
CR Bard, Inc. (e)		239		24
DENTSPLY International, Inc.		153		6

	Shares		Value (000)
Hospira, Inc. (f)		1,228	$	68
Intuitive Surgical, Inc. (e)(f)		155		52
Medtronic, Inc.		2,159		85
St. Jude Medical, Inc. (f)		829		42
Stryker Corp. (e)		1,164		71
Varian Medical Systems, Inc. (f)		358		24
Zimmer Holdings, Inc. (f)		634		38
				613
Health Care Providers & Services (1.4%)
Aetna, Inc.		719		27
AmerisourceBergen Corp.		991		39
Cardinal Health, Inc.		852		35
CIGNA Corp.		810		36
Community Health Systems, Inc. (f)		143		6
Coventry Health Care, Inc. (f)		1,395		44
DaVita, Inc. (f)		239		20
Express Scripts, Inc. (f)		1,328		74
Humana, Inc. (f)		659		46
Laboratory Corp. of America Holdings (e)(f)		345		32
McKesson Corp. (e)		565		45
Medco Health Solutions, Inc. (f)		1,034		58
Omnicare, Inc. (e)		1,479		44
Patterson Cos., Inc. (e)		358		12
Quest Diagnostics, Inc.		239		14
Tenet Healthcare Corp. (e)(f)		2,236		17
UnitedHealth Group, Inc.		1,113		50
Universal Health Services, Inc., Class B (e)		634		31
WellPoint, Inc. (f)		744		52
				682
Health Care Technology (0.1%)
Allscripts Healthcare Solutions, Inc. (e)(f)		281		6
Cerner Corp. (e)(f)		239		26
				32
Hotels, Restaurants & Leisure (0.7%)
Carnival Corp.		853		33
Darden Restaurants, Inc.		238		12
International Game Technology (e)		1,296		21
Marriott International, Inc., Class A (e)		318		11
McDonald's Corp.		1,304		99
Starbucks Corp.		1,112		41
Starwood Hotels & Resorts Worldwide, Inc. (e)		275		16
Wyndham Worldwide Corp.		477		15
Wynn Resorts Ltd. (e)		119		15
Yum! Brands, Inc.		1,480		76
				339
Household Durables (0.1%)
Harman International Industries, Inc. (f)		239		11
Stanley Black & Decker, Inc.		239		19
Toll Brothers, Inc. (e)(f)		1,326		26
				56

The accompanying notes are an integral part of the financial statements.
9

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Household Products (1.0%)
Colgate-Palmolive Co.		1,025	$	83
Kimberly-Clark Corp. (e)		864		56
Procter & Gamble Co. (The)		5,647		348
				487
Independent Power Producers & Energy Traders (0.2%)
AES Corp. (The) (f)		1,604		21
Constellation Energy Group, Inc.		774		24
NRG Energy, Inc. (e)(f)		1,398		30
				75
Industrial Conglomerates (1.0%)
3M Co. (e)		1,126		105
General Electric Co.		15,099		303
Textron, Inc. (e)		500		14
Tyco International Ltd.		1,465		65
				487
Information Technology Services (1.6%)
Automatic Data Processing, Inc.		1,311		67
Cognizant Technology Solutions Corp., Class A (f)		631		52
Computer Sciences Corp.		764		37
Fidelity National Information Services, Inc.		100		4
International Business Machines Corp.		2,858		466
Mastercard, Inc., Class A		202		51
Paychex, Inc.		450		14
Visa, Inc., Class A (e)		776		57
Western Union Co. (The) (e)		1,890		39
				787
Insurance (1.9%)
Aflac, Inc.		1,322		70
Allstate Corp. (The)		1,189		38
AON Corp.		480		25
Assurant, Inc.		661		25
Berkshire Hathaway, Inc., Class B (f)		1,389		116
Chubb Corp.		1,527		94
Fidelity National Financial, Inc. (e)		1,877		26
Hartford Financial Services Group, Inc. (e)		685		18
Lincoln National Corp. (e)		1,116		34
Loews Corp. (e)		1,037		45
Marsh & McLennan Cos., Inc.		1,037		31
MetLife, Inc.		1,693		76
PartnerRe Ltd.		316		25
Principal Financial Group, Inc.		1,086		35
Progressive Corp. (The) (e)		913		19
Prudential Financial, Inc.		1,753		108
Torchmark Corp. (e)		425		28
Travelers Cos., Inc. (The)		885		53
Unum Group (e)		987		26
WR Berkley Corp. (e)		821		26
				918

	Shares		Value (000)
Internet & Catalog Retail (0.1%)
Amazon.com, Inc. (f)		167	$	30
Expedia, Inc. (e)		203		4
Priceline.com, Inc. (e)(f)		27		14
				48
Internet Software & Services (1.0%)
eBay, Inc. (f)		2,041		63
Google, Inc., Class A (e)(f)		641		376
Yahoo!, Inc. (f)		1,462		24
				463
Leisure Equipment & Products (0.1%)
Hasbro, Inc. (e)		358		17
Mattel, Inc.		477		12
				29
Life Sciences Tools & Services (0.2%)
Life Technologies Corp. (e)(f)		477		25
Thermo Fisher Scientific, Inc. (f)		1,350		75
				100
Machinery (1.3%)
AGCO Corp. (e)(f)		576		32
Caterpillar, Inc.		2,367		264
Cummins, Inc.		525		57
Danaher Corp. (e)		1,111		58
Deere & Co.		691		67
Eaton Corp.		400		22
Illinois Tool Works, Inc. (e)		1,889		101
PACCAR, Inc. (e)		355		19
				620
Media (1.5%)
Cablevision Systems Corp. (e)		477		17
CBS Corp., Class B		968		24
Comcast Corp., Class A		4,830		119
DIRECTV, Class A (f)		1,484		69
Discovery Communications, Inc. (e)(f)		477		19
Gannett Co., Inc. (e)		600		9
Interpublic Group of Cos., Inc. (The) (f)		835		11
Liberty Media Corp. - Starz (e)(f)		226		18
McGraw-Hill Cos., Inc. (The)		565		22
News Corp., Class A		3,752		66
Omnicom Group, Inc. (e)		537		26
Scripps Networks Interactive, Inc., Class A (e)		100		5
Time Warner Cable, Inc.		687		49
Time Warner, Inc.		2,687		96
Viacom, Inc., Class B		1,127		52
Walt Disney Co. (The) (e)		2,982		129
				731
Metals & Mining (0.7%)
Alcoa, Inc.		3,438		61
Cliffs Natural Resources, Inc. (e)		339		33
Commercial Metals Co. (e)		2,177		38
Freeport-McMoRan Copper & Gold, Inc.		1,951		108

The accompanying notes are an integral part of the financial statements.
10

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Metals & Mining (cont'd)
Newmont Mining Corp.		1,035	$	57
Nucor Corp. (e)		287		13
Steel Dynamics, Inc. (e)		1,951		37
United States Steel Corp.		100		5
				352
Multi-Utilities (0.7%)
CenterPoint Energy, Inc.		1,540		27
Consolidated Edison, Inc.		505		26
Dominion Resources, Inc. (e)		1,879		84
DTE Energy Co. (e)		58		3
Integrys Energy Group, Inc. (e)		781		39
NiSource, Inc.		1,544		30
PG&E Corp.		735		32
Public Service Enterprise Group, Inc.		869		27
Sempra Energy		505		27
Wisconsin Energy Corp.		355		11
Xcel Energy, Inc.		869		21
				327
Multiline Retail (0.7%)
Dollar General Corp. (e)(f)		4,979		156
Family Dollar Stores, Inc.		100		5
JC Penney Co., Inc.		400		15
Kohl's Corp. (f)		295		16
Macy's, Inc.		4,598		112
Nordstrom, Inc. (e)		161		7
Sears Holdings Corp. (f)		100		8
Target Corp.		704		35
				354
Office Electronics (0.1%)
Xerox Corp. (e)		4,906		52
Oil, Gas & Consumable Fuels (5.3%)
Anadarko Petroleum Corp.		1,122		92
Apache Corp.		1,065		139
Chesapeake Energy Corp. (e)		2,961		99
Chevron Corp.		3,407		366
ConocoPhillips		3,039		243
Consol Energy, Inc. (e)		953		51
Denbury Resources, Inc. (f)		1,551		38
Devon Energy Corp.		1,164		107
El Paso Corp.		1,670		30
EOG Resources, Inc. (e)		615		73
Exxon Mobil Corp.		6,127		515
Hess Corp.		816		70
Marathon Oil Corp.		1,035		55
Murphy Oil Corp.		355		26
Newfield Exploration Co. (e)(f)		477		36
Noble Energy, Inc. (e)		357		34
Occidental Petroleum Corp.		1,913		200
Peabody Energy Corp.		2,564		184
Pioneer Natural Resources Co. (e)		477		49
Southwestern Energy Co. (f)		1,249		54

	Shares		Value (000)
Spectra Energy Corp.		954	$	26
Valero Energy Corp.		749		22
Williams Cos., Inc. (The)		1,235		39
				2,548
Paper & Forest Products (0.1%)
International Paper Co.		325		10
MeadWestvaco Corp.		1,442		44
Weyerhaeuser Co. (e)		137		3
				57
Personal Products (0.1%)
Avon Products, Inc. (e)		901		24
Pharmaceuticals (3.4%)
Abbott Laboratories		3,872		190
Allergan, Inc.		2,076		147
Bristol-Myers Squibb Co.		5,286		140
Eli Lilly & Co.		899		32
Forest Laboratories, Inc. (f)		359		12
Johnson & Johnson		5,128		304
Merck & Co., Inc.		5,387		178
Pfizer, Inc.		19,375		393
Teva Pharmaceutical Industries Ltd. ADR (Israel)		2,239		112
Watson Pharmaceuticals, Inc. (e)(f)		2,104		118
				1,626
Professional Services (0.0%)
Dun & Bradstreet Corp. (e)		119		9
Equifax, Inc. (e)		149		6
				15
Real Estate Investment Trusts (REITs) (0.7%)
AvalonBay Communities, Inc. REIT (e)		239		29
Boston Properties, Inc. REIT (e)		190		18
Equity Residential REIT (e)		736		41
HCP, Inc. REIT		733		28
Health Care, Inc. REIT		117		6
Host Hotels & Resorts, Inc. REIT (e)		958		17
Kimco Realty Corp. REIT (e)		424		8
Plum Creek Timber Co., Inc. REIT (e)		1,893		83
ProLogis REIT (e)		100		2
Public Storage REIT (e)		175		19
Simon Property Group, Inc. REIT (e)		675		72
Ventas, Inc. REIT		358		19
Vornado Realty Trust REIT		218		19
				361
Real Estate Management & Development (0.0%)
CB Richard Ellis Group, Inc., Class A (e)(f)		716		19
Road & Rail (0.9%)
CSX Corp. (e)		2,276		179
Norfolk Southern Corp.		2,781		193
Union Pacific Corp.		400		39
				411

The accompanying notes are an integral part of the financial statements.
11

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Semiconductors & Semiconductor Equipment (1.2%)
Applied Materials, Inc.		8,558	$	134
Broadcom Corp., Class A		3,111		123
Intel Corp.		10,596		214
KLA-Tencor Corp.		127		6
NVIDIA Corp. (f)		4,896		90
Texas Instruments, Inc.		500		17
				584
Software (1.6%)
Adobe Systems, Inc. (f)		1,432		47
Citrix Systems, Inc. (f)		462		34
Intuit, Inc. (f)		631		34
Microsoft Corp.		14,733		374
Oracle Corp.		6,894		230
Salesforce.com, Inc. (e)(f)		378		50
Symantec Corp. (f)		1,176		22
				791
Specialty Retail (0.7%)
AutoZone, Inc. (e)(f)		27		7
Bed Bath & Beyond, Inc. (f)		268		13
Best Buy Co., Inc. (e)		268		8
CarMax, Inc. (e)(f)		242		8
Gap, Inc. (The) (e)		527		12
Home Depot, Inc. (e)		4,213		156
Lowe's Cos., Inc.		2,194		58
Ltd. Brands, Inc.		112		4
O'Reilly Automotive, Inc. (e)(f)		134		8
Ross Stores, Inc.		34		2
Staples, Inc.		1,021		20
Tiffany & Co. (e)		34		2
TJX Cos., Inc.		295		15
Urban Outfitters, Inc. (f)		112		3
				316
Textiles, Apparel & Luxury Goods (0.3%)
Coach, Inc.		711		37
NIKE, Inc., Class B (e)		495		37
Polo Ralph Lauren Corp. (e)		119		15
VF Corp.		606		60
				149
Thrifts & Mortgage Finance (0.0%)
Hudson City Bancorp, Inc.		300		3
People's United Financial, Inc.		900		11
				14
Tobacco (0.9%)
Altria Group, Inc.		3,066		80
Lorillard, Inc. (e)		200		19
Philip Morris International, Inc.		4,397		288
Reynolds American, Inc. (e)		758		27
				414

	Shares		Value (000)
Wireless Telecommunication Services (0.2%)
American Tower Corp., Class A (f)		593	$	31
MetroPCS Communications, Inc. (f)		300		5
Motorola Mobility Holdings, Inc. (e)(f)		410		10
Sprint Nextel Corp. (e)(f)		6,882		32
				78
Total Common Stocks (Cost $23,094)				24,452
Convertible Preferred Stocks (0.2%)
Alternative Energy (0.2%)
Better Place, Inc. (f)(g)(h) (Cost $84)		27,888		84
Investment Companies (0.3%)
iShares MSCI EMU Index Fund		200		8
Morgan Stanley Institutional Fund, Inc. — Emerging Markets Portfolio (See Note G-2)		4,307		116
Total Investment Companies (Cost $127)				124
Short-Term Investments (26.4%)
Securities held as Collateral on Loaned Securities (11.0%)
Investment Company (9.5%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		4,609,916		4,610
	Face Amount (000)
Repurchase Agreements (1.5%)
Barclays Capital, Inc., (0.05%, dated 3/31/11, due 4/1/11; proceeds $242; fully collateralized by U.S. Government Obligations; U.S. Treasury Bill 0.00% due 9/29/11; U.S. Treasury Note 4.25% due 9/30/12; valued at $246)	$	242		242
Nomura Holdings, Inc., (0.24%, dated 3/31/11, due 4/1/11; proceeds $466; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 5.00% due 5/1/40; valued at $476)		466		466
				708
Total Securities held as Collateral on Loaned Securities (Cost $5,318)				5,318
	Shares
Investment Company (11.2%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		5,407,979		5,408

The accompanying notes are an integral part of the financial statements.
12

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Face	Amount (000)		Value (000)
U.S. Treasury Securities (4.2%)
U.S. Treasury Bills,
0.06%, 4/14/11 (i)	$	1,400	$	1,400
0.10%, 4/7/11 (i)		575		575
0.16%, 4/28/11 (i)(j)(k)		50		50
				2,025
Total Short-Term Investments (Cost $12,751)				12,751
Total Investments (113.5%) (Cost $53,072) Including $6,329 of Securities Loaned				54,774
Liabilities in Excess of Other Assets (-13.5%)				(6,501	)
Net Assets (100.0%)			$	48,273

(a)  Security is subject to delayed delivery.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2011.

(d)  When-issued security.

(e)  All or a portion of the security was on loan at March 31, 2011.

(f)  Non-income producing security.

(g)  Security has been deemed illiquid at March 31, 2011.

(h)  At March 31, 2011, the Portfolio held a fair valued security valued at approximately $84,000, representing 0.2% of net assets. The security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(i)  Rate shown is the yield to maturity at March 31, 2011.

(j)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(k)  All or a portion of the security was pledged as collateral for swap agreements.

@  Value is less than $500.

ADR  American Depositary Receipt

IO  Interest Only

REIT  Real Estate Investment Trust

REMIC  Real Estate Mortgage Investment Conduit

TBA  To Be Announced

Foreign Currency Exchange Contracts Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Counterparty	Currency to Deliver (000)		Value (000)			Settlement Date	In Exchange For (000)			Value (000)			Unrealized Appreciation (Depreciation) (000)
Bank of America, N.A.	USD	249	$	249		4/14/11	CAD	245		$	253		$	4
Bank of America, N.A.	USD	227		227		4/14/11	CAD	222			229			2
Bank of America, N.A.	JPY	3,600		44		4/18/11	USD	45			45			1
Deutsche Bank AG London	EUR	32		46		4/14/11	USD	45			45			(1	)
JPMorgan Chase	SEK	2,094		332		4/14/11	USD	324			324			(8	)
JPMorgan Chase	USD	243		243		4/14/11	NOK	1,376			249			6
Mellon Bank	JPY	19		—	@	4/14/11	USD	—	@		—	@		—	@
Mellon Bank	SGD	154		123		4/14/11	USD	121			121			(2	)
UBS AG	AUD	240		247		4/14/11	USD	236			236			(11	)
UBS AG	AUD	230		238		4/14/11	USD	236			236			(2	)
UBS AG	CHF	281		306		4/14/11	USD	306			306			(—	)@
UBS AG	GBP	1		2		4/14/11	USD	2			2			—	@
UBS AG	JPY	12,430		149		4/14/11	USD	152			152			3
UBS AG	MXN	40		3		4/14/11	USD	3			3			(—	)@
UBS AG	NZD	324		247		4/14/11	USD	236			236			(11	)
UBS AG	RUB	39		1		4/14/11	USD	1			1			(—	)@
UBS AG	USD	476		476		4/14/11	TRY	755			488			12
UBS AG	USD	394		394		4/14/11	CHF	362			394			(—	)@
UBS AG	USD	241		241		4/14/11	ZAR	1,631			241			(—	)@
UBS AG	USD	231		231		4/14/11	BRL	388			237			6
UBS AG	USD	120		120		4/14/11	SGD	154			122			2
UBS AG	USD	119		119		4/14/11	KRW	133,219			122			3
UBS AG	USD	109		109		4/14/11	MXN	1,323			111			2
UBS AG	ZAR	3,324		491		4/14/11	USD	475			475			(16	)
UBS AG	CHF	50		55		4/15/11	USD	54			54			(1	)
UBS AG	CHF	33		36		4/15/11	USD	35			35			(1	)
UBS AG	USD	27		27		4/15/11	SEK	170			27			—	@
UBS AG	USD	27		27		4/15/11	NOK	150			27			—	@
UBS AG	USD	23		23		4/15/11	SEK	150			23			—	@
UBS AG	USD	23		23		4/15/11	SEK	150			24			1
UBS AG	USD	23		23		4/15/11	NOK	130			23			—	@
UBS AG	USD	23		23		4/15/11	NOK	130			24			1
UBS AG	USD	18		18		4/15/11	NOK	100			18			—	@
UBS AG	USD	17		17		4/15/11	SEK	110			17			—	@
UBS AG	EUR	34		48		4/18/11	USD	47			47			(1	)
UBS AG	JPY	3,600		44		4/18/11	USD	46			46			2
			$	5,002						$	4,993		$	(9	)

The accompanying notes are an integral part of the financial statements.
13

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)		Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
Bovespa Index		5	$	211	Apr-11	$	2
Euro Stoxx 50 Index		3		121	Jun-11		6
E-mini MSCI Emerging Market Index		1		58	Jun-11		3
S&P 500 E-Mini Index		77		5,086	Jun-11		256
TOPIX Index		2		208	Jun-11		(2	)
U.S. Treasury 2 yr. Note		3		654	Jun-11		—	@
U.S. Treasury 5 yr. Note		11		1,285	Jun-11		(4	)
U.S. Treasury 10 yr. Note		4		476	Jun-11		1
U.S. Treasury 30 yr. Bond		2		240	Jun-11		—	@

Futures Contracts: (cont'd)

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Short:
90Day Euro$		1	$	(244	)	Mar-13	$	(—	)@
90Day Euro$		1		(244	)	Jun-13		(—	)@
90Day Euro$		1		(243	)	Sep-13		(—	)@
90Day Euro$		1		(243	)	Dec-13		(—	)@
U.S. Treasury 2 yr. Note		2		(436	)	Jun-11		(—	)@
U.S. Treasury 10 yr. Note		8		(952	)	Jun-11		(2	)
							$	260

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	510	$	(2	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		125		3
Barclays Capital	3 Month STIBOR	Receive		3.11		6/22/12	SEK	4,909		—	@
Barclays Capital	3 Month STIBOR	Pay		3.83		3/22/15		10,028		(1	)
Barclays Capital	3 Month STIBOR	Receive		3.93		3/22/21		5,170		4
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13	$	1,635		15
Credit Suisse	3 Month CDOR	Receive		2.18		9/8/15	CAD	517		15
Credit Suisse	3 Month CDOR	Receive		2.21		9/8/15		372		10
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17	$	685		(29	)
Credit Suisse	3 Month CDOR	Pay		4.07		9/8/20	CAD	604		(14	)
Credit Suisse	3 Month CDOR	Pay		4.12		9/8/20		435		(9	)
Deutsche Bank	3 Month STIBOR	Receive		3.04		6/17/12	SEK	1,120		—	@
Deutsche Bank	3 Month STIBOR	Pay		3.78		3/17/15		2,300		(1	)
Deutsche Bank	3 Month STIBOR	Receive		3.83		3/17/21		1,190		2
Goldman Sachs	6 Month LIBOR	Pay		4.90		3/4/21	GBP	570		2
Goldman Sachs	6 Month LIBOR	Receive		4.18		3/4/41		130		(2	)
UBS AG	3 Month LIBOR	Pay		4.65		12/7/20	$	510		(5	)
UBS AG	3 Month LIBOR	Receive		4.00		12/7/40		120		4
									$	(8	)

The accompanying notes are an integral part of the financial statements.
14

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Deutsche Bank AG London	$	235	3 Month LIBOR	Receive	11/15/20	$	(10	)	$	(1	)
JPMorgan Chase		341	3 Month LIBOR	Receive	11/15/22		(7	)		(9	)
									$	(10	)

@  Value is less than $500.

CDOR  Canadian Dealer Offered Rate

LIBOR  London Interbank Offered Rate

STIBOR  Stockholm Interbank Offered Rate

AUD  —  Australian Dollar

BRL  —  Brazilian Real

CAD  —  Canadian Dollar

CHF  —  Swiss Franc

EUR  —  Euro

GBP  —  British Pound

JPY  —  Japanese Yen

KRW  —  South Korean Won

MXN  —  Mexican New Peso

NOK  —  Norwegian Krone

NZD  —  New Zealand Dollar

RUB  —  Russian Ruble

SEK  —  Swedish Krona

SGD  —  Singapore Dollar

TRY  —  Turkish Lira

USD  —  United States Dollar

ZAR  —  South African Rand

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Fixed Income Securities
Agency Adjustable Rate Mortgages	$	—	$	145	$	—	$	145
Agency Bonds — Banking (FDIC Guaranteed)		—		461		—		461
Agency Fixed Rate Mortgages		—		4,365		—		4,365
Asset-Backed Securities		—		223		—		223
Collateralized Mortgage Obligations — Agency Collateral Series		—		328		—		328
Commercial Mortgage Backed Securities		—		359		—		359
Corporate Bonds		—		4,607		—		4,607
Mortgages — Other		—		1,710		—		1,710
Municipal Bonds		—		196		—		196
Sovereign		—		40		—		40

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Fixed Income Securities (cont'd)
U.S. Agency Securities	$	—	$	580	$	—	$	580
U.S. Treasury Securities		—		4,349		—		4,349
Total Fixed Income Securities		—		17,363		—		17,363
Common Stocks
Aerospace & Defense		748		—		—		748
Air Freight & Logistics		69		—		—		69
Airlines		1		—		—		1
Auto Components		44		—		—		44
Automobiles		132		—		—		132
Beverages		436		—		—		436
Biotechnology		228		—		—		228
Capital Markets		626		—		—		626
Chemicals		450		—		—		450
Commercial Banks		690		—		—		690
Commercial Services & Supplies		123		—		—		123
Communications Equipment		342		—		—		342

The accompanying notes are an integral part of the financial statements.
15

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Common Stocks (cont'd)
Computers & Peripherals	$	1,020	$	—	$	—	$	1,020
Construction & Engineering		53		—		—		53
Consumer Finance		133		—		—		133
Containers & Packaging		57		—		—		57
Distributors		67		—		—		67
Diversified Consumer Services		42		—		—		42
Diversified Financial Services		981		—		—		981
Diversified Telecommunication Services		603		—		—		603
Electric Utilities		303		—		—		303
Electrical Equipment		165		—		—		165
Electronic Equipment, Instruments & Components		233		—		—		233
Energy Equipment & Services		970		—		—		970
Food & Staples Retailing		509		—		—		509
Food Products		468		—		—		468
Health Care Equipment & Supplies		613		—		—		613
Health Care Providers & Services		682		—		—		682
Health Care Technology		32		—		—		32
Hotels, Restaurants & Leisure		339		—		—		339
Household Durables		56		—		—		56
Household Products		487		—		—		487
Independent Power Producers & Energy Traders		75		—		—		75
Industrial Conglomerates		487		—		—		487
Information Technology Services		787		—		—		787
Insurance		918		—		—		918
Internet & Catalog Retail		48		—		—		48
Internet Software & Services		463		—		—		463
Leisure Equipment & Products		29		—		—		29
Life Sciences Tools & Services		100		—		—		100
Machinery		620		—		—		620
Media		731		—		—		731
Metals & Mining		352		—		—		352
Multi-Utilities		327		—		—		327
Multiline Retail		354		—		—		354
Office Electronics		52		—		—		52
Oil, Gas & Consumable Fuels		2,548		—		—		2,548
Paper & Forest Products		57		—		—		57
Personal Products		24		—		—		24

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)		Total (000)
Common Stocks (cont'd)
Pharmaceuticals	$	1,626		$	—		$	—	$	1,626
Professional Services		15			—			—		15
Real Estate Investment Trusts (REITs)		361			—			—		361
Real Estate Management & Development		19			—			—		19
Road & Rail		411			—			—		411
Semiconductors & Semiconductor Equipment		584			—			—		584
Software		791			—			—		791
Specialty Retail		316			—			—		316
Textiles, Apparel & Luxury Goods		149			—			—		149
Thrifts & Mortgage Finance		14			—			—		14
Tobacco		414			—			—		414
Wireless Telecommunication Services		78			—			—		78
Total Common Stocks		24,452			—			—		24,452
Convertible Preferred Stocks		—			—			84		84
Investment Companies		124			—			—		124
Short-Term Investments
Investment Companies		10,018			—			—		10,018
Repurchase Agreements		—			708			—		708
U.S. Treasury Securities		—			2,025			—		2,025
Total Short-Term Investments		10,018			2,733			—		12,751
Foreign Currency Exchange Contracts		—			45			—		45
Futures Contracts		268			—			—		268
Interest Rate Swap Agreements		—			55			—		55
Total Assets		34,862			20,196			84		55,142
Liabilities:
Foreign Currency Exchange Contracts		—			(54	)		—		(54	)
Futures Contracts		(8	)		—			—		(8	)
Interest Rate Swap Agreements		—			(63	)		—		(63	)
Zero Coupon Swap Agreements		—			(10	)		—		(10	)
Total Liabilities		(8	)		(127	)		—		(135	)
Total	$	34,854		$	20,069		$	84	$	55,007

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Portfolio did not have any significant investments transfer between valuation levels.

The accompanying notes are an integral part of the financial statements.
16

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Fair Value Measurement Information: (cont'd)

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Convertible PreferredStocks (000)
Balance as of 9/30/10	$	84
Accrued discounts/premiums		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—
Purchases		—
Sales		—
Transfers in for Level 3		—
Transfers out of Level 3		—
Balance as of 3/31/11	$	84
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at Level 3 at 3/31/11.	$	—

Portfolio Composition*

Classification	Percentage of Total Investments
Common Stocks		49.5	%
Fixed Income Securities		35.1
Short-Term Investments		15.0
Other**		0.4
Total Investments		100.0	%

*  Percentages indicated are based upon total investments (excluding Securities held as collateral on Loaned Securities) as of March 31, 2011.

**  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
17

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Mid Cap Growth Portfolio

	Shares		Value (000)
Common Stocks (92.6%)
Consumer Discretionary (26.5%)
Betfair Group PLC (United Kingdom) (a)		1,311,807	$	20,518
Chipotle Mexican Grill, Inc. (a)		486,141		132,410
Ctrip.com International Ltd. ADR (China) (a)		3,709,435		153,904
Dollar Tree, Inc. (a)		1,743,312		96,789
Edenred (France) (a)		8,619,224		260,122
Factset Research Systems, Inc.		1,047,287		109,682
Fastenal Co.		1,449,170		93,950
Gafisa SA ADR (Brazil)		3,333,564		42,803
Groupe Aeroplan, Inc. (Canada)		4,445,887		60,211
Lululemon Athletica, Inc. (Canada) (a)		1,151,050		102,501
Morningstar, Inc.		1,570,682		91,696
Naspers Ltd., Class N (South Africa)		2,127,479		114,472
Natura Cosmeticos SA (Brazil)		3,192,800		89,957
NetFlix, Inc. (a)		873,863		207,394
NVR, Inc. (a)		84,889		64,176
Priceline.com, Inc. (a)		379,782		192,337
Wynn Resorts Ltd.		855,127		108,815
				1,941,737
Energy (3.7%)
Range Resources Corp.		2,085,668		121,928
Ultra Petroleum Corp. (a)		3,033,951		149,422
				271,350
Financial Services (6.4%)
Greenhill & Co., Inc.		1,093,252		71,925
IntercontinentalExchange, Inc. (a)		738,897		91,284
Moody's Corp.		934,585		31,692
MSCI, Inc., Class A (a)		3,674,394		135,291
Verisk Analytics, Inc., Class A (a)		4,165,638		136,466
				466,658
Health Care (14.2%)
Gen-Probe, Inc. (a)		1,763,468		117,006
IDEXX Laboratories, Inc. (a)		1,158,577		89,465
Illumina, Inc. (a)		2,994,051		209,793
Intuitive Surgical, Inc. (a)		515,921		172,039
Ironwood Pharmaceuticals, Inc. (a)(b)		1,331,207		18,637
Ironwood Pharmaceuticals, Inc. (a)		2,182,528		30,556
Mead Johnson Nutrition Co.		2,325,381		134,709
Stericycle, Inc. (a)		1,173,360		104,042
Techne Corp.		1,203,957		86,203
Valeant Pharmaceuticals International, Inc. (Canada)		1,635,312		81,455
				1,043,905
Materials & Processing (8.6%)
Intrepid Potash, Inc. (a)		3,175,389		110,567
Lynas Corp. Ltd. (Australia) (a)		23,679,707		55,110
Martin Marietta Materials, Inc.		904,905		81,143
Molycorp, Inc. (a)		2,651,757		159,158
Rockwood Holdings, Inc. (a)		2,094,996		103,116
Schindler Holding AG (Switzerland)		1,047,790		125,940
				635,034

	Shares		Value (000)
Producer Durables (11.4%)
C.H. Robinson Worldwide, Inc.		1,198,266	$	88,827
Covanta Holding Corp.		4,646,407		79,361
Expeditors International of Washington, Inc.		2,485,913		124,644
Gartner, Inc. (a)		2,619,914		109,172
Intertek Group PLC (United Kingdom)		4,370,849		142,618
Leucadia National Corp.		3,443,981		129,287
Nalco Holding Co.		2,942,409		80,357
New Oriental Education & Technology Group, Inc. ADR (China) (a)		819,791		82,037
				836,303
Technology (21.8%)
Akamai Technologies, Inc. (a)		1,908,013		72,505
Alibaba.com Ltd. (China)		32,064,000		54,989
ARM Holdings PLC ADR (United Kingdom)		3,955,314		111,421
Autodesk, Inc. (a)		2,065,356		91,103
Citrix Systems, Inc. (a)		797,993		58,621
First Solar, Inc. (a)		391,870		63,028
IHS, Inc., Class A (a)		1,186,776		105,326
Millicom International Cellular SA (Guatemala)		885,978		85,205
Motorola Solutions, Inc. (a)		5,783,782		258,477
NVIDIA Corp. (a)		1,405,913		25,953
Red Hat, Inc. (a)		2,404,632		109,146
Rovi Corp. (a)		1,127,125		60,470
Salesforce.com, Inc. (a)		1,064,946		142,256
Solera Holdings, Inc.		2,758,298		140,949
Teradata Corp. (a)		2,928,273		148,463
Youku.com, Inc. ADR (China) (a)		1,464,407		69,574
				1,597,486
Total Common Stocks (Cost $5,051,983)				6,792,473
Convertible Preferred Stocks (1.0%)
Alternative Energy (0.3%)
Better Place, Inc. (a)(c)(d)		7,507,951		22,524
Computer Technology (0.7%)
Groupon, Inc. Series G (a)(c)(d)		1,498,247		47,329
Total Convertible Preferred Stocks (Cost $69,853)				69,853
Preferred Stocks (0.6%)
Consumer Discretionary (0.6%)
Zynga, Inc. Series C (a)(c)(d) (Cost $47,566)		1,695,245		47,566
Short-Term Investment (5.6%)
Investment Company (5.6%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $413, 121)		413,121,396		413,121
Total Investments (99.8%) (Cost $5,582,523)				7,323,013
Other Assets in Excess of Liabilities (0.2%)				12,923
Net Assets (100.0%)			$	7,335,936

The accompanying notes are an integral part of the financial statements.
18

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Mid Cap Growth Portfolio

(a)  Non-income producing security.

(b)  Super voting rights at a ratio of 10:1.

(c)  Security has been deemed illiquid at March 31, 2011.

(d)  At March 31, 2011, the Portfolio held fair valued securities valued at approximately $117,419,000, representing 1.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

ADR  American Depositary Receipt

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Common Stocks
Consumer Discretionary	$	1,941,737	$	—	$	—	$	1,941,737
Energy		271,350		—		—		271,350
Financial Services		466,658		—		—		466,658
Health Care		1,043,905		—		—		1,043,905
Materials & Processing		635,034		—		—		635,034
Producer Durables		836,303		—		—		836,303
Technology		1,597,486		—		—		1,597,486
Total Common Stocks		6,792,473		—		—		6,792,473
Convertible Preferred Stocks		—		—		69,853		69,853
Preferred Stocks		—		—		47,566		47,566
Short-Term  Investment —
Investment Company		413,121		—		—		413,121
Total Assets	$	7,205,594	$	—	$	117,419	$	7,323,013

Fair Value Measurement Information: (cont'd)

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Portfolio did not have any significant investments transfer between valuation levels.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Convertible Preferred Stocks (000)		Preferred Stocks (000)
Balance as of 9/30/10	$	22,524	$	—
Accrued discounts/premiums		—		—
Realized gain (loss)		—		—
Change in unrealized appreciation (depreciation)		—		—
Net purchases (sales)		47,329		47,566
Transfers in for Level 3		—		—
Transfers out of Level 3		—		—
Balance as of 3/31/11	$	69,853	$	47,566
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at Level 3 at 3/31/11.	$	—	$	—

Portfolio Composition

Classification	Percentage of Total Investments
Consumer Discretionary		26.5	%
Technology		21.8
Health Care		14.3
Producer Durables		11.4
Materials & Processing		8.7
Financial Services		6.4
Investment Company		5.6
Other*		5.3
Total Investments		100.0	%

*  Industries representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
19

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (98.0%)
Agency Adjustable Rate Mortgages (2.1%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
5.50%, 5/1/37	$	244	$	260
5.94%, 12/1/36		162		172
6.06%, 2/1/37		96		102
IO REMIC
5.89%, 7/15/37		684		102
Federal National Mortgage Association,
Conventional Pools:
2.60%, 7/1/35		192		201
5.69%, 3/1/38		98		104
6.04%, 10/25/40		156		170
Government National Mortgage Association,
Various Pools:
2.63%, 8/20/25 - 9/20/27		64		66
3.38%, 2/20/25 - 6/20/25		278		287
				1,464
Agency Bond — Banking (FDIC Guaranteed) (2.2%)
Ally Financial, Inc.
2.20%, 12/19/12		1,465		1,501
Agency Fixed Rate Mortgages (24.9%)
Federal Home Loan Mortgage Corporation,
April TBA:
4.00%, 4/25/26 (a)		675		694
Gold Pools:
5.00%, 10/1/35		1,236		1,297
6.00%, 5/1/37 - 8/1/37		33		36
7.50%, 5/1/35		74		85
8.00%, 8/1/32		37		44
8.50%, 8/1/31		57		69
Federal National Mortgage Association,
April TBA:
4.50%, 4/25/41 (a)		1,675		1,705
6.00%, 4/25/41 (a)		400		435
Conventional Pools:
5.00%, 3/1/39		1,272		1,336
5.50%, 4/1/34 - 2/1/38		2,283		2,452
6.00%, 12/1/36 - 10/1/38		1,993		2,171
6.50%, 7/1/29 - 2/1/33		477		539
7.00%, 10/1/31 - 12/1/31		3		3
7.50%, 8/1/37		126		147
8.00%, 4/1/33		92		108
8.50%, 10/1/32		92		108
IO REMIC
5.00%, 10/25/38		799		123
May TBA:
5.00%, 5/25/41 (a)		180		188
Government National Mortgage Association,
April TBA:
4.00%, 4/25/41 (a)		2,800		2,801

	Face Amount (000)		Value (000)
IO REMIC
5.00%, 2/16/41	$	198	$	38
Various Pools:
3.38%, 3/20/25		23		24
4.50%, 4/15/39 - 5/15/40		2,506		2,591
				16,994
Asset-Backed Securities (4.7%)
Ally Master Owner Trust
2.88%, 4/15/15 (b)		225		230
ARI Fleet Lease Trust
1.71%, 8/15/18 (b)(c)		84		85
CarMax Auto Owner Trust
1.29%, 9/15/15		225		224
CLI Funding LLC
4.50%, 3/18/26 (b)		250		247
Discover Card Master Trust
0.61%, 8/15/16 (c)		300		301
Ford Credit Floorplan Master Owner Trust
2.12%, 2/15/16		175		175
Great America Leasing Receivables
1.69%, 2/15/14 (b)		300		301
Honda Auto Receivables Owner Trust
1.13%, 10/15/14		250		250
Macquarie Equipment Funding Trust
1.21%, 9/20/13 (b)		275		276
Mercedes-Benz Auto Lease Trust
1.18%, 11/15/13 (b)		350		351
MMCA Automobile Trust 1.22%,
1/15/15 (b)		225		224
Volkswagen Auto Loan Enhanced Trust
1.22%, 6/22/15		185		185
World Omni Auto Receivables Trust, 2011-A A3
1.11%, 5/15/15		325		325
				3,174
Collateralized Mortgage Obligations — Agency Collateral Series (2.1%)
Federal Home Loan Mortgage Corporation,
IO REMIC
6.21%, 6/15/40 (c)		2,700		451
IO STRIPS
8.00%, 1/1/28		26		6
Federal National Mortgage Association,
IO
6.14%, 9/25/20 (c)		1,792		358
IO REMIC
6.45%, 2/25/24 (c)		680		75
IO STRIPS
5.00%, 1/25/41 (c)		390		80
Government National Mortgage Association,
IO REMIC
0.85%, 8/20/58 (c)		3,092		113
IO
6.35%, 4/16/41		1,900		338
				1,421

The accompanying notes are an integral part of the financial statements.
20

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Commercial Mortgage Backed Securities (4.0%)
Bear Stearns Commercial Mortgage Securities
5.47%, 1/12/45 (c)	$	325	$	349
Citigroup Commercial Mortgage Trust (See Note G-2),
5.43%, 10/15/49		200		214
5.70%, 12/10/49 (c)		402		436
Commercial Mortgage Pass Through Certificates
5.81%, 12/10/49 (c)		350		380
DBUBS Mortgage Trust,
5.00%, 11/10/46 (b)		300		312
5.47%, 11/10/46 (b)(c)		190		192
Greenwich Capital Commercial Funding Corp.
5.44%, 3/10/39		100		106
GS Mortgage Securities Corp. II,
5.36%, 3/10/44		175		178
5.55%, 4/10/38 (c)		100		107
JP Morgan Chase Commercial Mortgage Securities Corp.
4.72%, 2/15/46 (b)		160		161
WF-RBS Commercial Mortgage Trust
4.87%, 2/15/44 (b)(c)		315		323
				2,758
Corporate Bonds (30.7%)
Finance (15.7%)
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)		140		140
Aegon N.V.
4.63%, 12/1/15 (d)		175		182
AIG SunAmerica Global Financing VI
6.30%, 5/10/11 (b)		365		367
American International Group, Inc.
6.40%, 12/15/20		100		107
Australia & New Zealand Banking Group Ltd.
4.88%, 1/12/21 (b)		140		142
Bank of America Corp.
5.75%, 12/1/17		520		549
Barclays Bank PLC,
6.05%, 12/4/17 (b)		100		104
6.75%, 5/22/19 (d)		120		136
Bear Stearns Cos. LLC (The),
6.40%, 10/2/17		25		28
7.25%, 2/1/18		170		198
BNP Paribas
5.00%, 1/15/21 (d)		125		126
Boston Properties LP
5.88%, 10/15/19		30		33
Brookfield Asset Management, Inc.,
5.80%, 4/25/17		115		119
7.13%, 6/15/12		60		64
Capital One Financial Corp.
6.75%, 9/15/17		200		230
Citigroup, Inc. (See Note G-2),
5.88%, 5/29/37		150		147
6.13%, 11/21/17 - 5/15/18		195		213

	Face Amount (000)		Value (000)
8.50%, 5/22/19	$	85	$	105
Credit Agricole SA
3.50%, 4/13/15 (b)		290		292
Credit Suisse AG
5.40%, 1/14/20		135		137
Credit Suisse, New York,
5.30%, 8/13/19		170		179
6.00%, 2/15/18		60		64
Dexus Diversfied Trust/Dexus Office Trust
5.60%, 3/15/21 (b)		100		99
Digital Realty Trust LP
5.25%, 3/15/21		175		172
Fifth Third Bancorp
3.63%, 1/25/16		70		70
General Electric Capital Corp.,
5.30%, 2/11/21 (d)		110		112
6.00%, 8/7/19		565		618
Goldman Sachs Group, Inc. (The),
6.15%, 4/1/18 (d)		480		521
7.50%, 2/15/19		110		128
Hartford Financial Services Group, Inc.
5.50%, 3/30/20		110		112
HBOS PLC
6.75%, 5/21/18 (b)		340		333
HCP, Inc.
5.38%, 2/1/21		50		51
HSBC Bank PLC
3.50%, 6/28/15 (b)		140		142
HSBC Holdings PLC
5.10%, 4/5/21 (e)		140		141
ING Bank N.V.
3.00%, 9/1/15 (b)(d)		115		113
JPMorgan Chase & Co.,
3.40%, 6/24/15		40		40
4.95%, 3/25/20 (d)		50		51
6.30%, 4/23/19		25		28
NASDAQ OMX Group, Inc. (The)
5.55%, 1/15/20		170		167
Nationwide Building Society
6.25%, 2/25/20 (b)(d)		345		360
Nationwide Financial Services
5.38%, 3/25/21 (b)		75		74
Pacific LifeCorp
6.00%, 2/10/20 (b)		125		133
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17		120		128
PNC Funding Corp.
6.70%, 6/10/19 (d)		90		105
Principal Financial Group, Inc.
8.88%, 5/15/19		100		127
Prudential Financial, Inc.,
4.75%, 9/17/15 (d)		80		85
7.38%, 6/15/19		170		200
Reinsurance Group of America, Inc.
6.45%, 11/15/19		135		146

The accompanying notes are an integral part of the financial statements.
21

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
Royal Bank of Scotland PLC (The)
4.88%, 3/16/15	$	295	$	307
Santander US Debt SA Unipersonal
3.72%, 1/20/15 (b)		200		194
Societe Generale
3.10%, 9/14/15 (b)		115		113
Standard Chartered Bank
6.40%, 9/26/17 (b)		100		108
Standard Chartered PLC
3.85%, 4/27/15 (b)(d)		100		102
Svenska Handelsbanken AB
5.13%, 3/30/20 (b)		175		184
UnitedHealth Group, Inc.
6.63%, 11/15/37		195		212
US Bank NA
3.78%, 4/29/20 (c)		250		255
US Central Federal Credit Union, (U.S. Government Guaranteed) 1.90%, 10/19/12		940		958
Wells Fargo & Co.,
3.68%, 6/15/16		115		116
5.63%, 12/11/17		240		262
				10,729
Industrials (12.0%)
Agilent Technologies, Inc.
5.50%, 9/14/15		120		131
Albemarle Corp.
4.50%, 12/15/20 (d)		110		109
Altria Group, Inc.,
4.13%, 9/11/15 (d)		50		52
9.25%, 8/6/19		125		163
Anglo American Capital PLC
9.38%, 4/8/19 (b)		200		267
ArcelorMittal
9.85%, 6/1/19		100		127
AT&T, Inc.
6.15%, 9/15/34		200		200
BAT International Finance PLC
9.50%, 11/15/18 (b)		165		219
Best Buy Co., Inc.
3.75%, 3/15/16		165		163
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		85		101
Comcast Corp.,
5.15%, 3/1/20 (d)		75		78
5.70%, 5/15/18		50		54
ConAgra Foods, Inc.
8.25%, 9/15/30		140		167
Corning, Inc.
7.25%, 8/15/36		50		57
COX Communications, Inc.
8.38%, 3/1/39 (b)		25		32

	Face Amount (000)		Value (000)
CVS Pass-Through Trust
6.04%, 12/10/28	$	344	$	355
Daimler Finance North America LLC,
7.30%, 1/15/12		95		100
8.50%, 1/18/31		55		74
Darden Restaurants, Inc.
6.20%, 10/15/17 (d)		205		227
Delhaize Group SA
5.70%, 10/1/40		106		97
Deutsche Telekom International Finance BV
8.75%, 6/15/30		65		85
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
4.60%, 2/15/21		45		44
5.88%, 10/1/19		150		162
Genzyme Corp.
3.63%, 6/15/15		115		120
Gilead Sciences, Inc.
4.50%, 4/1/21		140		139
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (b)		100		101
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (b)		105		115
Hess Corp.
6.00%, 1/15/40		175		178
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (b)		85		89
Home Depot, Inc.
5.88%, 12/16/36		190		189
KLA-Tencor Corp.
6.90%, 5/1/18		145		160
Kraft Foods, Inc.
5.38%, 2/10/20		195		206
L-3 Communications Corp.
4.75%, 7/15/20 (d)		135		135
Marathon Petroleum Corp.
5.13%, 3/1/21 (b)		70		71
Mosaic Co. (The)
7.63%, 12/1/16 (b)		225		243
NBC Universal Media LLC
5.15%, 4/30/20 (b)		140		145
News America, Inc.
7.85%, 3/1/39		205		243
Nissan Motor Acceptance Corp.
4.50%, 1/30/15 (b)		75		78
Omnicom Group, Inc.
4.45%, 8/15/20		90		89
Petrobras International Finance Co.
5.75%, 1/20/20		175		181
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/36		110		114
Quest Diagnostics, Inc.
6.95%, 7/1/37		215		237

The accompanying notes are an integral part of the financial statements.
22

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Rio Tinto Finance USA Ltd.
9.00%, 5/1/19	$	105	$	138
SAIC, Inc.
5.95%, 12/1/40 (b)		90		93
Southern Copper Corp.,
5.38%, 4/16/20		40		41
6.75%, 4/16/40 (d)		65		66
Telecom Italia Capital SA,
7.00%, 6/4/18		130		142
7.18%, 6/18/19		35		38
Telefonica Europe BV
8.25%, 9/15/30 (d)		195		236
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical Finance III LLC
3.00%, 6/15/15		155		157
Time Warner Cable, Inc.,
6.75%, 6/15/39 (d)		40		42
8.75%, 2/14/19		55		69
Time Warner, Inc.,
4.70%, 1/15/21		100		100
5.88%, 11/15/16		75		84
Vale Overseas Ltd.,
5.63%, 9/15/19		110		116
6.88%, 11/10/39		20		21
Verizon Communications, Inc.,
4.60%, 4/1/21		30		30
8.95%, 3/1/39		145		198
Viacom, Inc.
6.88%, 4/30/36		130		143
Vivendi SA
6.63%, 4/4/18 (b)		120		135
Weatherford International Ltd.
9.63%, 3/1/19		165		210
Woolworths Ltd.
4.00%, 9/22/20 (b)		125		121
WPP Finance UK
8.00%, 9/15/14		100		117
				8,194
Utilities (3.0%)
EDF SA
4.60%, 1/27/20 (b)		80		82
Enel Finance International N.V.
5.13%, 10/7/19 (b)		275		278
Energy Transfer Partners LP
9.00%, 4/15/19		125		158
Enterprise Products Operating LLC,
5.25%, 1/31/20 (d)		50		52
6.50%, 1/31/19		160		182
Exelon Generation Co. LLC
6.25%, 10/1/39		315		309

	Face Amount (000)		Value (000)
FirstEnergy Solutions Corp.
6.05%, 8/15/21 (d)	$	225	$	234
Iberdrola Finance Ireland Ltd.
5.00%, 9/11/19 (b)		175		170
Kinder Morgan Energy Partners LP
5.95%, 2/15/18		285		314
Plains All American Pipeline LP/PAA Finance Corp.,
6.70%, 5/15/36		160		174
8.75%, 5/1/19		65		81
				2,034
				20,957
Municipal Bonds (1.6%)
Chicago Illinois Transit Authority
6.20%, 12/1/40		100		89
City of Chicago, IL
6.40%, 1/1/40		40		39
City of New York, NY
5.97%, 3/1/36		85		85
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		130		126
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		90		86
6.66%, 4/1/57		155		147
New York City Transitional Finance Authority
5.27%, 5/1/27		80		82
North Carolina State Education Assistance Authority
1.21%, 1/26/26 (c)		225		223
State of California, General Obligation Bonds 5.95%, 4/1/16		175		187
				1,064
Sovereign (0.8%)
Bermuda Government International Bond
5.60%, 7/20/20 (b)(d)		100		106
Export - Import Bank of Korea
4.13%, 9/9/15		100		103
Federative Republic of Brazil
6.00%, 1/17/17		190		214
Korea Development Bank
4.38%, 8/10/15 (d)		130		135
				558
U.S. Agency Securities (1.9%)
Federal Home Loan Mortgage Corporation
4.88%, 6/13/18 (d)		600		668
Federal National Mortgage Association,
1.25%, 8/20/13		100		100
2.38%, 4/11/16		200		200
6.63%, 11/15/30 (d)		250		317
				1,285

The accompanying notes are an integral part of the financial statements.
23

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
U.S. Treasury Securities (23.0%)
U.S. Treasury Bonds,
3.50%, 2/15/39	$	400	$	335
4.25%, 5/15/39 (d)		1,070		1,027
5.50%, 8/15/28		1,200		1,390
7.50%, 11/15/24		1,940		2,677
U.S. Treasury Notes,
1.25%, 8/31/15 (d)		1,170		1,134
1.75%, 4/15/13 - 7/31/15		5,900		5,883
2.25%, 1/31/15 (d)		675		689
2.38%, 2/28/15		700		717
2.63%, 8/15/20		1,950		1,830
				15,682
Total Fixed Income Securities (Cost $65,616)				66,858
	Shares
Short-Term Investments (22.7%)
Securities held as Collateral on Loaned Securities (10.9%)
Investment Company (9.4%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		6,424,443		6,424
	Face Amount (000)
Repurchase Agreements (1.5%)
Barclays Capital, Inc., (0.05%, dated 3/31/11, due 4/1/11; proceeds $337; fully collateralized by U.S. Government Obligations; U.S. Treasury Bill 0.00% due 9/29/11; U.S. Treasury Note 4.25% due 9/30/12; valued at $343)	$	337		337
Nomura Holdings, Inc., (0.24%, dated 3/31/11, due 4/1/11; proceeds $650; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 5.00% due 5/1/40; valued at $663)		650		650
				987
Total Securities held as Collateral on Loaned Securities (Cost $7,411)				7,411
	Shares
Investment Company (1.0%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		699,000		699

	Face Amount (000)		Value (000)
U.S. Treasury Securities (10.8%)
U.S. Treasury Bills,
0.04%, 5/12/11 (d)(f)	$	2,500	$	2,500
0.06%, 4/14/11 (f)		3,050		3,050
0.16%, 4/28/11 (d)(f)(g)(h)		1,850		1,850
				7,400
Total Short-Term Investments (Cost $15,510)			$	15,510
Total Investments (120.7%) (Cost $81,126) Including $7,961 of Securities Loaned				82,368
Liabilities in Excess of Other Assets (-20.7%)				(14,100	)
Net Assets (100.0%)			$	68,268

(a)  Security is subject to delayed delivery.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2011.

(d)  All or a portion of the security was on loan at March 31, 2011.

(e)  When-issued security.

(f)  Rate shown is the yield to maturity at March 31, 2011.

(g)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(h)  All or a portion of the security was pledged as collateral for swap agreements.

IO  Interest Only

REMIC  Real Estate Mortgage Investment Conduit

STRIPS  Separate Trading of Registered Interest and Principal of Securities

TBA  To Be Announced

Futures Contracts

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		4	$	872		Jun-11	$	—	@
U.S. Treasury 5 yr. Note		29		3,387		Jun-11		(24	)
Short:
90Day Euro$		3		(733	)	Mar-13		(1	)
90Day Euro$		3		(731	)	Jun-13		(1	)
90Day Euro$		3		(729	)	Sep-13		(1	)
90Day Euro$		3		(727	)	Dec-13		(1	)
U.S. Treasury 10 yr. Note		24		(2,857	)	Jun-11		1
U.S. Treasury 30 yr. Bond		14		(1,683	)	Jun-11		(10	)
							$	(37	)

The accompanying notes are an integral part of the financial statements.
24

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	2,115	$	(8	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		515		13
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13		6,870		64
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17		2,880		(121	)
UBS AG	3 Month LIBOR	Pay		4.65		12/7/20		2,120		(20	)
UBS AG	3 Month LIBOR	Receive		4.00		12/7/40		505		18
									$	(54	)

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Barclays Capital	$	1,457	3 Month LIBOR	Receive	11/15/19	$	(105	)	$	(171	)
Barclays Capital		1,726	3 Month LIBOR	Pay	11/15/19		59			(34	)
JPMorgan Chase		2,088	3 Month LIBOR	Receive	11/15/21		(152	)		(225	)
									$	(430	)

@    Value is less than $500.

LIBOR  London Interbank Offered Rate

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Fixed Income Securities
Agency Adjustable Rate Mortgages	$	—	$	1,464	$	—	$	1,464
Agency Bond — Banking (FDIC Guaranteed)		—		1,501		—		1,501
Agency Fixed Rate Mortgages		—		16,994		—		16,994
Asset-Backed Securities		—		3,174		—		3,174
Collateralized Mortgage Obligations — Agency Collateral Series		—		1,421		—		1,421
Commercial Mortgage Backed Securities		—		2,758		—		2,758
Corporate Bonds		—		20,957		—		20,957

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Fixed Income Securities (cont'd)
Municipal Bonds	$	—	$	1,064	$	—	$	1,064
Sovereign		—		558		—		558
U.S. Agency Securities		—		1,285		—		1,285
U.S. Treasury Securities		—		15,682		—		15,682
Total Fixed Income Securities		—		66,858		—		66,858
Short-Term Investments
Investment Company		7,123		—		—		7,123
Repurchase Agreements		—		987		—		987
U.S. Treasury Securities		—		7,400		—		7,400
Total Short-Term Investments		7,123		8,387		—		15,510
Futures Contracts		1		—		—		1
Interest Rate Swap Agreements		—		95		—		95
Total Assets		7,124		75,340		—		82,464

The accompanying notes are an integral part of the financial statements.
25

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)		Total (000)
Liabilities:
Futures Contracts	$	(38	)	$	—		$	—	$	(38	)
Interest Rate Swap Agreements		—			(149	)		—		(149	)
Zero Coupon Swap Agreements		—			(430	)		—		(430	)
Total Liabilities		(38	)		(579	)		—		(617	)
Total	$	7,086		$	74,761		$	—	$	81,847

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Portfolio did not have any significant investments transfer between valuation levels.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Fixed Income Securities (000)
Balance as of 9/30/10	$	—	@
Accrued discounts/premiums		—
Realized gain (loss)		(—	)@
Change in unrealized appreciation (depreciation)		—
Net purchases (sales)		(—	)@
Transfers in for Level 3		—
Transfers out of Level 3		—
Balance as of 3/31/11	$	—
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at Level 3 at 3/31/11.	$	—

@  Value is less than $500

Portfolio Composition*

Classification	Percentage of Total Investments
Agency Fixed Rate Mortgages		22.7	%
U.S. Treasury Securities		20.9
Other**		20.4
Finance		14.3
Industrials		10.9
Short-Term Investments		10.8
Total Investments		100.0	%

*  Percentages indicated are based upon total investments (excluding Securities held as collateral on Loaned Securities) as of March 31, 2011.

**  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
26

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Core Plus Fixed Income Portfolio

	Face Amount (000)			Value (000)
Fixed Income Securities (97.5%)
Agency Adjustable Rate Mortgages (2.7%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
5.50%, 5/1/37	$	1,927		$	2,053
6.06%, 2/1/37		486			514
IO REMIC
5.89%, 7/15/37		3,936			588
Federal National Mortgage Association,
Conventional Pools:
2.54%, 5/1/35		2,198			2,316
5.69%, 3/1/38		626			665
Government National Mortgage Association,
Various Pools:
2.13%, 10/20/25 - 11/20/25		47			48
2.63%, 7/20/25 - 9/20/27		303			313
3.38%, 1/20/25 - 2/20/28		3,027			3,150
					9,647
Agency Fixed Rate Mortgages (26.6%)
Federal Home Loan Mortgage Corporation,
April TBA:
4.00%, 4/25/26 (a)		2,600			2,673
Conventional Pools:
11.75%, 4/1/19		—	@		—	@
12.00%, 2/1/15		1			1
13.00%, 6/1/19		1			1
Gold Pools:
5.00%, 10/1/35		465			487
5.50%, 5/1/37		222			237
6.00%, 2/1/32 - 8/1/38		4,150			4,519
6.50%, 3/1/16 - 8/1/33		526			595
7.00%, 6/1/28 - 11/1/31		162			186
7.50%, 5/1/16 - 5/1/35		543			627
8.00%, 8/1/32		255			302
8.50%, 8/1/31		319			384
Federal National Mortgage Association,
April TBA:
4.50%, 4/25/41 (a)		2,950			3,003
Conventional Pools:
4.50%, 7/1/40		4,756			4,848
5.00%, 5/1/36 - 4/1/39		14,796			15,556
5.50%, 6/1/35 - 5/1/39		12,506			13,450
6.00%, 10/1/31 - 10/1/38		9,810			10,709
6.50%, 11/1/23 - 12/1/36		7,029			7,958
7.00%, 11/1/13 - 1/1/34		951			1,093
7.50%, 8/1/37		786			912
8.00%, 2/1/12 - 4/1/33		622			726
8.50%, 1/1/15 - 10/1/32		578			679
9.50%, 4/1/30		920			1,109
11.25%, 8/1/13		2			2
12.00%, 11/1/15		32			38
12.50%, 9/1/15		7			8
IO REMIC
5.00%, 10/25/38		4,614			712

	Face Amount (000)		Value (000)
Government National Mortgage Association,
April TBA:
4.00%, 4/25/41 (a)	$	9,570	$	9,573
IO REMIC
5.00%, 2/16/41		1,041		200
Various Pools:
3.38%, 3/20/25		213		222
4.50%, 4/15/39 - 6/15/40		14,460		14,950
				95,760
Asset-Backed Securities (2.1%)
Ally Master Owner Trust
3.47%, 4/15/15 (b)		578		589
ARI Fleet Lease Trust
1.71%, 8/15/18 (b)(c)		548		552
CLI Funding LLC
4.50%, 3/18/26 (b)		1,350		1,335
Contimortgage Home Equity Trust
8.10%, 8/15/25		44		44
Mid-State Trust
8.33%, 4/1/30		41		42
Santander Drive Auto Receivables Trust
3.06%, 11/15/17		1,075		1,065
U-Haul S Fleet LLC
4.90%, 10/25/23 (b)		1,828		1,849
Westlake Automobile Receivables Trust
5.00%, 5/15/15 (b)		1,950		1,958
				7,434
Collateralized Mortgage Obligations — Agency Collateral Series (3.0%)
Federal Home Loan Mortgage Corporation,
IO REMIC
6.21%, 6/15/40 (c)		15,400		2,570
IO STRIPS
7.50%, 12/1/29		109		25
8.00%, 1/1/28 - 6/1/31		884		214
PAC REMIC
9.50%, 4/15/20		2		2
10.00%, 6/15/20		2		2
Federal National Mortgage Association,
Inv Fl REMIC
62.82%, 9/25/20 (c)		14		30
IO
6.14%, 9/25/20 (c)		10,254		2,051
IO PAC REMIC
8.00%, 9/18/27		491		108
IO REMIC
5.00%, 8/25/37		3,856		390
6.00%, 7/25/33		994		199
6.45%, 2/25/24 (c)		4,448		491
IO STRIPS
5.00%, 1/25/41 (c)		2,255		460
6.50%, 9/1/29 - 12/1/29		2,159		511
8.00%, 4/1/24 - 6/1/30		1,606		356
8.50%, 10/1/25		153		46
9.00%, 11/1/26		145		32

The accompanying notes are an integral part of the financial statements.
27

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Collateralized Mortgage Obligations — Agency Collateral Series (cont'd)
REMIC
7.00%, 9/25/32	$	1,073	$	1,200
Government National Mortgage Association,
IO REMIC
0.85%, 8/20/58 (c)		17,752		648
IO
6.35%, 4/16/41 (d)		7,700		1,370
				10,705
Commercial Mortgage Backed Securities (2.0%)
Bear Stearns Commercial Mortgage Securities,
5.47%, 1/12/45 (c)		1,526		1,640
5.72%, 6/11/40 (c)		1,450		1,459
Greenwich Capital Commercial Funding Corp.
5.44%, 3/10/39		1,618		1,715
JP Morgan Chase Commercial Mortgage Securities Corp.
5.90%, 2/12/51 (c)		775		795
LB-UBS Commercial Mortgage Trust
5.28%, 2/15/41 (c)		1,600		1,563
				7,172
Corporate Bonds (37.9%)
Finance (16.6%)
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)		439		439
ABN Amro Bank N.V.
3.00%, 1/31/14 (b)		710		709
Aegon N.V.
4.63%, 12/1/15 (e)		830		863
Affiliated Managers Group, Inc.
3.95%, 8/15/38		496		585
AIG SunAmerica Global Financing VI
6.30%, 5/10/11 (b)		1,919		1,930
American International Group, Inc.
6.40%, 12/15/20		600		642
Banco Votorantim SA
5.25%, 2/11/16 (b)		700		723
Bank of America Corp.,
5.63%, 7/1/20		360		370
5.75%, 12/1/17		840		886
Barclays Bank PLC,
6.05%, 12/4/17 (b)		600		626
6.75%, 5/22/19		549		621
BBVA Bancomer SA
4.50%, 3/10/16 (b)(e)		1,000		1,007
Bear Stearns Cos. LLC (The)
7.25%, 2/1/18		1,090		1,272
Brandywine Operating Partnership
4.95%, 4/15/18		750		742
Brookfield Asset Management, Inc.
5.80%, 4/25/17		716		743
Capital One Bank, USA NA
8.80%, 7/15/19		555		699

	Face Amount (000)		Value (000)
Citigroup, Inc. (See Note G-2),
5.88%, 5/29/37	$	1,089	$	1,066
8.50%, 5/22/19		1,409		1,741
CNA Financial Corp.
5.75%, 8/15/21		1,035		1,062
Credit Agricole SA
3.50%, 4/13/15 (b)(e)		1,365		1,372
Credit Suisse AG
5.40%, 1/14/20		855		865
Credit Suisse, New York
6.00%, 2/15/18		369		392
Dexus Diversfied Trust/Dexus Office Trust
5.60%, 3/15/21 (b)		600		593
Digital Realty Trust LP
4.50%, 7/15/15		980		1,008
Discover Bank/Greenwood
7.00%, 4/15/20		1,150		1,267
Farmers Insurance Exchange
8.63%, 5/1/24 (b)		845		961
Fifth Third Bancorp
3.63%, 1/25/16		425		425
General Electric Capital Corp.,
5.30%, 2/11/21 (e)		630		641
6.00%, 8/7/19		3,389		3,706
Genworth Financial, Inc.
7.20%, 2/15/21 (e)		625		622
Goldman Sachs Group, Inc. (The)
6.15%, 4/1/18		2,635		2,861
Goodman Funding Pty Ltd.
6.38%, 4/15/21 (b)		850		850
Hartford Financial Services Group, Inc.
5.50%, 3/30/20		645		657
HBOS PLC
6.75%, 5/21/18 (b)		1,388		1,360
HCP, Inc.
5.38%, 2/1/21		300		304
Health Care REIT, Inc.,
4.75%, 7/15/27		520		586
6.13%, 4/15/20		830		879
Healthcare Realty Trust, Inc.
5.75%, 1/15/21		650		668
HSBC Bank PLC
3.50%, 6/28/15 (b)		1,045		1,060
HSBC Holdings PLC
5.10%, 4/5/21 (d)		800		806
ING Bank N.V.
3.00%, 9/1/15 (b)(e)		820		803
Intesa Sanpaolo SpA
6.50%, 2/24/21 (b)		250		263
Lloyds TSB Bank PLC
5.80%, 1/13/20 (b)		575		577
Macquarie Bank Ltd.
6.63%, 4/7/21 (b)		490		489

The accompanying notes are an integral part of the financial statements.
28

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
Macquarie Group Ltd.
6.00%, 1/14/20 (b)	$	588	$	593
Merrill Lynch & Co., Inc.
6.88%, 4/25/18		908		1,010
NASDAQ OMX Group, Inc. (The)
5.55%, 1/15/20		640		628
Nationwide Building Society
6.25%, 2/25/20 (b)		1,195		1,245
Nationwide Financial Services
5.38%, 3/25/21 (b)		450		447
Pacific LifeCorp
6.00%, 2/10/20 (b)		845		901
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17		791		847
Principal Financial Group, Inc.
8.88%, 5/15/19		658		838
Regions Financial Corp.
5.75%, 6/15/15		545		556
Reinsurance Group of America, Inc.
6.45%, 11/15/19		824		889
Royal Bank of Scotland PLC (The)
4.88%, 3/16/15		1,455		1,514
Santander US Debt SA Unipersonal
3.72%, 1/20/15 (b)		1,200		1,161
SLM Corp.
5.00%, 10/1/13		855		885
Societe Generale
3.10%, 9/14/15 (b)		815		803
Standard Chartered Bank
6.40%, 9/26/17 (b)		790		857
Standard Chartered PLC
3.85%, 4/27/15 (b)(e)		315		323
Svenska Handelsbanken AB
5.13%, 3/30/20 (b)		1,125		1,181
UnitedHealth Group, Inc.
6.63%, 11/15/37		670		729
Vornado Realty LP
3.88%, 4/15/25 (e)		507		568
Wells Fargo & Co.
3.68%, 6/15/16		1,325		1,334
Wells Operating Partnership II LP
5.88%, 4/1/18 (b)(d)		800		795
Willis Group Holdings PLC
4.13%, 3/15/16		805		802
				59,647
Industrials (19.0%)
Altria Group, Inc.,
4.13%, 9/11/15		45		47
9.25%, 8/6/19		687		898
Amgen, Inc., Series B
0.38%, 2/1/13		571		570

	Face Amount (000)		Value (000)
ArcelorMittal
9.85%, 6/1/19	$	666	$	846
Archer-Daniels-Midland Co.
0.88%, 2/15/14 (e)		535		598
AT&T, Inc.
6.15%, 9/15/34		590		590
AutoNation, Inc.
6.75%, 4/15/18 (e)		480		505
BAT International Finance PLC
9.50%, 11/15/18 (b)		930		1,232
Best Buy Co., Inc.
3.75%, 3/15/16		920		909
Bombardier, Inc.
7.75%, 3/15/20 (b)		575		627
Boston Scientific Corp.
6.00%, 1/15/20		555		582
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		566		673
CBS Corp.
8.88%, 5/15/19		500		629
CF Industries, Inc.
6.88%, 5/1/18		530		596
Cliffs Natural Resources, Inc.
4.88%, 4/1/21		640		632
Comcast Corp.,
5.15%, 3/1/20 (e)		555		579
5.70%, 5/15/18		98		107
ConAgra Foods, Inc.,
7.00%, 10/1/28		150		162
8.25%, 9/15/30		540		646
Concho Resources Inc/Midland
7.00%, 1/15/21		115		121
Constellation Brands, Inc.
7.25%, 9/1/16		370		402
Continental Resources, Inc., Series WI
7.13%, 4/1/21		575		614
Cooper US, Inc.
5.25%, 11/15/12		846		900
Corning, Inc.
7.25%, 8/15/36		345		395
COX Communications, Inc.
8.38%, 3/1/39 (b)		164		209
CRH America, Inc.
6.00%, 9/30/16		1,155		1,246
CVS Pass-Through Trust
6.04%, 12/10/28		1,507		1,556
Daimler Finance North America LLC,
7.30%, 1/15/12		622		653
8.50%, 1/18/31		224		302
Darden Restaurants, Inc.
6.20%, 10/15/17 (e)		1,445		1,600
Delhaize Group SA
5.70%, 10/1/40		758		695

The accompanying notes are an integral part of the financial statements.
29

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Deutsche Telekom International Finance BV
8.75%, 6/15/30	$	435	$	572
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
4.60%, 2/15/21		320		313
5.88%, 10/1/19		483		523
7.63%, 5/15/16		332		366
DISH DBS Corp.
7.13%, 2/1/16		580		622
Expedia, Inc.
5.95%, 8/15/20		765		775
Ford Motor Credit Co. LLC
5.75%, 2/1/21		790		782
Freeport-McMoRan Copper & Gold, Inc.
8.38%, 4/1/17		190		210
Frontier Communications Corp.
8.50%, 4/15/20 (e)		750		817
Gazprom OAO Via Gaz Capital SA
6.51%, 3/7/22 (b)(e)		340		363
Genzyme Corp.
3.63%, 6/15/15		755		785
Georgia-Pacific LLC,
7.75%, 11/15/29		385		425
8.88%, 5/15/31		390		473
Goldcorp, Inc.
2.00%, 8/1/14		485		621
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (b)		735		740
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (b)		630		693
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (b)		483		507
Home Depot, Inc.
5.88%, 12/16/36		793		791
Hyatt Hotels Corp.
6.88%, 8/15/19 (b)		545		584
Ingram Micro, Inc.
5.25%, 9/1/17		625		636
International Game Technology
3.25%, 5/1/14 (e)		492		567
JC Penney Co., Inc.
5.65%, 6/1/20		310		300
JC Penney Corp., Inc.
6.38%, 10/15/36		647		586
KLA-Tencor Corp.
6.90%, 5/1/18		659		728
Kraft Foods, Inc.
7.00%, 8/11/37		170		192
L-3 Communications Corp.
4.95%, 2/15/21		830		836
Lafarge SA
5.50%, 7/9/15 (b)		765		791

	Face Amount (000)		Value (000)
Medtronic, Inc., Series B
1.63%, 4/15/13	$	563	$	583
MGM Resorts International
13.00%, 11/15/13		845		1,019
Microsoft Corp. Zero Coupon,
6/15/13 (b)(e)		534		560
Molson Coors Brewing Co.
2.50%, 7/30/13		497		580
Mosaic Co. (The)
7.63%, 12/1/16 (b)		1,500		1,620
NBC Universal Media LLC
5.15%, 4/30/20 (b)		915		945
News America, Inc.
7.85%, 3/1/39		882		1,045
Nissan Motor Acceptance Corp.
4.50%, 1/30/15 (b)		485		507
Omnicom Group, Inc.
4.45%, 8/15/20		610		602
Petrobras International Finance Co.
5.75%, 1/20/20		625		648
QEP Resources, Inc.
6.88%, 3/1/21		385		406
Quest Diagnostics, Inc.
6.95%, 7/1/37		1,380		1,520
Qwest Corp.,
6.50%, 6/1/17		570		632
6.88%, 9/15/33		630		634
8.38%, 5/1/16		400		478
RadioShack Corp.
2.50%, 8/1/13 (b)		563		576
Rayonier TRS Holdings, Inc.
3.75%, 10/15/12		488		587
Rio Tinto Finance USA Ltd.
9.00%, 5/1/19		614		808
Sable International Finance Ltd.
7.75%, 2/15/17 (b)		1,255		1,324
SAIC, Inc.
5.95%, 12/1/40 (b)		550		570
SBA Telecommunications, Inc.
8.25%, 8/15/19		685		760
Southern Copper Corp.,
5.38%, 4/16/20 (e)		285		291
6.75%, 4/16/40		420		424
Symantec Corp., Series B
1.00%, 6/15/13 (e)		488		591
Systems 2001 Asset Trust LLC
6.66%, 9/15/13 (b)		1,262		1,347
Tech Data Corp.
2.75%, 12/15/26		529		573
Teck Resources Ltd.
10.25%, 5/15/16		1,050		1,264
Telecom Italia Capital SA,
7.00%, 6/4/18		733		798
7.18%, 6/18/19		230		252

The accompanying notes are an integral part of the financial statements.
30

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Telefonica Europe BV
8.25%, 9/15/30	$	811	$	982
Time Warner Cable, Inc.
8.75%, 2/14/19		520		649
Time Warner, Inc.,
4.70%, 1/15/21		200		200
4.88%, 3/15/20		260		266
5.88%, 11/15/16		170		190
7.70%, 5/1/32		66		77
Vale Overseas Ltd.,
5.63%, 9/15/19		694		730
6.88%, 11/10/39		104		112
Verisk Analytics, Inc.
5.80%, 5/1/21		950		954
Vivendi SA
6.63%, 4/4/18 (b)		758		850
Warner Chilcott Co. LLC
7.75%, 9/15/18 (b)		800		842
Weatherford International Ltd.
9.63%, 3/1/19		725		925
Woolworths Ltd.
4.00%, 9/22/20 (b)		850		823
WPP Finance UK
8.00%, 9/15/14		864		1,008
Wyndham Worldwide Corp.
5.63%, 3/1/21		800		794
Wynn Las Vegas Corp.
7.75%, 8/15/20		1,305		1,390
				68,455
Utilities (2.3%)
Enel Finance International N.V.
5.13%, 10/7/19 (b)		1,305		1,318
Energy Transfer Partners LP
9.00%, 4/15/19		875		1,107
Enterprise Products Operating LLC
5.20%, 9/1/20		635		656
EQT Corp.
8.13%, 6/1/19		400		478
Exelon Generation Co. LLC
6.25%, 10/1/39		1,585		1,556
FirstEnergy Solutions Corp.
6.05%, 8/15/21 (e)		869		902
Iberdrola Finance Ireland Ltd.
5.00%, 9/11/19 (b)		1,125		1,096
NRG Energy, Inc.
8.50%, 6/15/19 (e)		665		703
Plains All American Pipeline LP/PAA Finance Corp.
6.70%, 5/15/36		614		667
				8,483
				136,585

	Face Amount (000)		Value (000)
Mortgages — Other (11.1%)
American Express Co.,
9.63%, 12/1/12 (f)(g)	$	1	$	—	@
American Home Mortgage Investment Trust
0.43%, 12/25/46 (c)		3,291		2,173
Banc of America Alternative Loan Trust,
5.25%, 1/25/21		2,666		2,554
6.00%, 4/25/36		2,065		2,043
Banc of America Funding Corp.
0.62%, 8/25/36 (c)		1,009		940
Chase Mortgage Finance Corp.
5.50%, 11/25/35		1,104		1,058
Chaseflex Trust
6.00%, 2/25/37		1,800		1,318
Countrywide Alternative Loan Trust
0.60%, 9/25/35 (c)		1,705		1,083
Countrywide Home Loan Mortgage Pass Through Trust
6.00%, 8/25/37		3,458		2,986
First Horizon Alternative Mortgage Securities,
5.00%, 11/25/20		1,551		1,464
6.25%, 8/25/36		1,444		1,121
GMAC Mortgage Corp. Loan Trust,
4.25%, 7/25/40 (b)		1,265		1,279
5.75%, 4/25/36		747		721
Greenwich Capital Commercial Funding Corp.
5.87%, 12/10/49 (c)		1,275		1,258
GS Mortgage Securities Corp.
7.50%, 9/25/36 (b)(c)		1,668		1,485
GSR Mortgage Loan Trust
6.00%, 2/25/36		1,059		1,006
JP Morgan Mortgage Trust,
6.00%, 6/25/37		1,083		1,002
6.25%, 7/25/36		1,920		1,878
LB-UBS Commercial Mortgage Trust
6.17%, 9/15/45 (c)		1,050		1,070
Lehman Mortgage Trust,
5.50%, 11/25/35 - 2/25/36		2,809		2,674
6.50%, 9/25/37		2,346		1,979
Luminent Mortgage Trust
0.39%, 1/25/37 (c)		2,858		1,871
Mastr Adjustable Rate Mortgages Trust
1.23%, 4/25/46 (c)		878		23
Mastr Alternative Loans Trust
6.50%, 3/25/35		2,149		2,137
Structured Adjustable Rate Mortgage Loan Trust
0.55%, 9/25/34 (c)		440		359
Structured Asset Mortgage Investments, Inc.
0.48%, 8/25/36 (c)		2,825		931
WaMu Mortgage Pass Through Certificates,
1.08%, 5/25/47 (c)		2,861		2,015
1.29%, 7/25/46 (c)		2,311		1,551
				39,979

The accompanying notes are an integral part of the financial statements.
31

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Municipal Bonds (1.4%)
Chicago Illinois Transit Authority
6.20%, 12/1/40	$	665	$	592
City of Chicago, IL
6.40%, 1/1/40		255		246
City of New York, NY
5.97%, 3/1/36		545		546
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		877		851
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		563		538
6.66%, 4/1/57		1,076		1,017
New York City Transitional Finance Authority
5.27%, 5/1/27		540		556
State of California, General Obligation Bonds
5.95%, 4/1/16		830		886
				5,232
Sovereign (1.4%)
Bermuda Government International Bond
5.60%, 7/20/20 (b)		775		821
Export - Import Bank of Korea
4.13%, 9/9/15		600		617
Federative Republic of Brazil
6.00%, 1/17/17		1,096		1,234
Ireland Government Bond
5.40%, 3/13/25		1,034		991
Korea Development Bank
4.38%, 8/10/15 (e)		875		909
State of Qatar
4.00%, 1/20/15 (b)		645		669
				5,241
U.S. Agency Securities (3.0%)
Federal Home Loan Mortgage Corporation,
3.00%, 7/28/14 (e)		5,419		5,667
4.88%, 6/13/18		279		311
5.13%, 11/17/17 (e)		2,265		2,555
6.75%, 3/15/31		985		1,259
Federal National Mortgage Association
5.38%, 6/12/17 (e)		900		1,028
				10,820
U.S. Treasury Securities (6.3%)
U.S. Treasury Bonds,
3.50%, 2/15/39		1,000		839
4.25%, 5/15/39 (e)		2,782		2,669
4.38%, 11/15/39 (e)		1,023		1,001
7.50%, 11/15/24		13,150		18,149
				22,658
Total Fixed Income Securities (Cost $349,352)				351,233

	Shares		Value (000)
Short-Term Investments (19.0%)
Securities held as Collateral on Loaned Securities (3.2%)
Investment Company (2.8%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		9,862,632	$	9,863
	Face Amount (000)
Repurchase Agreements (0.4%)
Barclays Capital, Inc., (0.05%, dated 3/31/11, due 4/1/11; proceeds $517; fully collateralized by U.S. Government Obligations; U.S. Treasury Bill 0.00% due 9/29/11; U.S. Treasury Note 4.25% due 9/30/12; valued at $527)	$	517		517
Nomura Holdings, Inc., (0.24%, dated 3/31/11, due 4/1/11; proceeds $997; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 5.00% due 5/1/40; valued at $1,017)		997		997
				1,514
Total Securities held as Collateral on Loaned Securities (Cost $11,377)				11,377
	Shares
Investment Company (11.6%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		41,636,403		41,636
	Face Amount (000)
U.S. Treasury Securities (4.2%)
U.S. Treasury Bills,
0.10%, 4/7/11 (e)(h)	$	11,000		11,000
0.16%, 4/28/11 (e)(h)(i)(j)		4,075		4,075
				15,075
Total Short-Term Investments (Cost $68,088)				68,088
Total Investments (116.5%) (Cost $417,440) Including $20,901 of Securities Loaned				419,321
Liabilities in Excess of Other Assets (-16.5%)				(59,371	)
Net Assets (100.0%)			$	359,950

(a)  Security is subject to delayed delivery.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2011.

The accompanying notes are an integral part of the financial statements.
32

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

(d)  When-issued security.

(e)  All or a portion of the security was on loan at March 31, 2011.

(f)  Security has been deemed illiquid at March 31, 2011.

(g)  At March 31, 2011, the Portfolio held a fair valued security valued at less than $500, representing less than 0.01% of net assets. This security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(h)  Rate shown is the yield to maturity at March 31, 2011.

(i)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(j)  All or a portion of the security was pledged as collateral for swap agreements.

@  Face Amount/Value is less than $500.

Inv Fl  Inverse Floating Rate — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2011.

IO  Interest Only

PAC  Planned Amortization Class

REIT  Real Estate Investment Trust

REMIC  Real Estate Mortgage Investment Conduit

STRIPS  Separate Trading of Registered Interest and Principal of Securities

TBA  To Be Announced

The accompanying notes are an integral part of the financial statements.
33

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

Foreign Currency Exchange Contracts Information:

The Portfolio had the following foreign currency exchange contract(s) open at period end:

Counterparty	Currency to Deliver (000)		Value (000)		Settlement Date	In Exchange For (000)		Value (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	JPY	80,000	$	962	4/18/11	USD	994	$	994	$	32
UBS AG	CHF	1,120		1,219	4/15/11	USD	1,205		1,205		(14	)
UBS AG	CHF	750		817	4/15/11	USD	802		802		(15	)
UBS AG	USD	607		607	4/15/11	NOK	3,400		614		7
UBS AG	USD	584		584	4/15/11	SEK	3,700		586		2
UBS AG	USD	514		514	4/15/11	SEK	3,300		522		8
UBS AG	USD	510		510	4/15/11	SEK	3,300		522		12
UBS AG	USD	503		503	4/15/11	NOK	2,850		515		12
UBS AG	USD	503		503	4/15/11	NOK	2,850		515		12
UBS AG	USD	411		411	4/15/11	NOK	2,300		416		5
UBS AG	USD	407		407	4/15/11	SEK	2,600		411		4
UBS AG	EUR	836		1,184	4/18/11	USD	1,159		1,159		(25	)
UBS AG	JPY	80,000		962	4/18/11	USD	1,012		1,012		50
			$	9,183				$	9,273	$	90

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		85	$	18,541		Jun-11	$	6
U.S. Treasury 5 yr. Note		352		41,110		Jun-11		(75	)
U.S. Treasury 30 yr. Bond		27		3,245		Jun-11		3
U.S. Treasury Ultra Bond		50		6,178		Jun-11		(19	)
Short:
90Day Euro$		21		(5,132	)	Mar-13		(7	)
90Day Euro$		21		(5,118	)	Jun-13		(7	)
90Day Euro$		21		(5,105	)	Sep-13		(8	)
90Day Euro$		21		(5,092	)	Dec-13		(8	)
German Euro Bund		7		(1,203	)	Jun-11		2
U.S. Treasury 10 yr. Note		118		(14,046	)	Jun-11		10
							$	(103	)

The accompanying notes are an integral part of the financial statements.
34

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	12,305	$	(47	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		2,995		77
Barclays Capital	3 Month STIBOR	Receive		3.11		6/22/12	SEK	109,776		2
Barclays Capital	3 Month STIBOR	Pay		3.83		3/22/15		224,899		(31	)
Barclays Capital	3 Month STIBOR	Receive		3.93		3/22/21		116,232		91
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13	$	39,890		373
Credit Suisse	3 Month CDOR	Receive		2.18		9/8/15	CAD	15,536		461
Credit Suisse	3 Month CDOR	Receive		2.21		9/8/15		11,200		318
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17	$	16,715		(702	)
Credit Suisse	3 Month CDOR	Pay		4.07		9/8/20	CAD	18,197		(433	)
Credit Suisse	3 Month CDOR	Pay		4.12		9/8/20		13,120		(282	)
Deutsche Bank	3 Month STIBOR	Receive		3.04		6/17/12	SEK	25,100		2
Deutsche Bank	3 Month STIBOR	Pay		3.78		3/17/15		51,410		(14	)
Deutsche Bank	3 Month STIBOR	Receive		3.83		3/17/21		26,660		36
Goldman Sachs	6 Month LIBOR	Pay		4.90		3/4/21	GBP	12,810		44
Goldman Sachs	6 Month LIBOR	Receive		4.18		3/4/41		2,960		(47	)
UBS AG	3 Month LIBOR	Pay		4.65		12/7/20	$	12,315		(118	)
UBS AG	3 Month LIBOR	Receive		4.00		12/7/40		2,940		105
									$	(165	)

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Barclays Capital	$	4,230	3 Month LIBOR	Receive	11/15/19	$	(304	)	$	(497	)
Barclays Capital		9,276	3 Month LIBOR	Receive	11/15/21		(688	)		(1,081	)
									$	(1,578	)

CDOR  Canadian Dealer Offered Rate

LIBOR  London Interbank Offered Rate

STIBOR  Stockholm Interbank Offered Rate

CAD  —  Canadian Dollar

CHF  —  Swiss Franc

EUR  —  Euro

GBP  —  British Pound

JPY  —  Japanese Yen

NOK  —  Norwegian Krone

SEK  —  Swedish Krona

USD  —  United States Dollar

The accompanying notes are an integral part of the financial statements.
35

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)			Total (000)
Assets:
Fixed Income Securities
Agency Adjustable Rate Mortgages	$	—		$	9,647		$	—		$	9,647
Agency Fixed Rate Mortgages		—			95,760			—			95,760
Asset-Backed Securities		—			7,434			—			7,434
Collateralized Mortgage Obligations — Agency Collateral Series		—			10,705			—			10,705
Commercial Mortgage Backed Securities		—			7,172			—			7,172
Corporate Bonds		—			136,585			—			136,585
Mortgages — Other		—			39,979			—	@		39,979
Municipal Bonds		—			5,232			—			5,232
Sovereign		—			5,241			—			5,241
U.S. Agency Securities		—			10,820			—			10,820
U.S. Treasury Securities		—			22,658			—			22,658
Total Fixed Income Securities		—			351,233			—	@		351,233
Short-Term Investments
Investment Companies		51,499			—			—			51,499
Repurchase Agreements		—			1,514			—			1,514
U.S. Treasury Securities		—			15,075			—			15,075
Total Short-Term Investments		51,499			16,589			—			68,088
Foreign Currency Exchange Contracts		—			144			—			144
Futures Contracts		21			—			—			21
Interest Rate Swap Agreements		—			1,509			—			1,509
Total Assets		51,520			369,475			—	@		420,995
Liabilities:
Foreign Currency Exchange Contracts		—			(54	)		—			(54	)
Futures Contracts		(124	)		—			—			(124	)
Interest Rate Swap Agreements		—			(1,674	)		—			(1,674	)
Zero Coupon Swap Agreements		—			(1,578	)		—			(1,578	)
Total Liabilities		(124	)		(3,306	)		—			(3,430	)
Total	$	51,396		$	366,169		$	—	@	$	417,565

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011 the Portfolio did not have any significant investments transfer between valuation levels.

Fair Value Measurement Information: (cont'd)

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Fixed Income Securities (000)
Balance as of 9/30/10	$	—	@
Accrued discounts/premiums		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—
Purchases		—
Sales		—
Transfers in for Level 3		—
Transfers out of Level 3		—
Balance as of 3/31/11	$	—	@
The amount of total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities still held at Level 3 at 3/31/11.	$	—

@  Valued at less than $500.

Portfolio Composition*

Classification	Percentage of Total Investments
Agency Fixed Rate Mortgages		23.5	%
Industrials		16.8
Other**		15.8
Finance		14.6
Short-Term Investments		13.9
Mortgages — Other		9.8
U.S. Treasury Securities		5.6
Total Investments		100.0	%

*  Percentages indicated are based upon total investments (excluding Securities held as collateral on Loaned Securities) as of March 31, 2011.

**  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
36

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Investment Grade Fixed Income Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (94.3%)
Agency Adjustable Rate Mortgages (2.5%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
5.50%, 5/1/37	$	317	$	337
5.94%, 12/1/36		211		224
6.06%, 2/1/37		104		110
IO REMIC
5.89%, 7/15/37		799		119
Federal National Mortgage Association,
Conventional Pools:
2.60%, 7/1/35		218		229
5.69%, 3/1/38		80		85
6.04%, 10/25/40		179		195
Government National Mortgage Association,
Various Pools:
2.13%, 11/20/25		53		55
2.63%, 7/20/25		6		7
3.38%, 2/20/25 - 2/20/28		533		553
				1,914
Agency Fixed Rate Mortgages (25.8%)
Federal Home Loan Mortgage Corporation,
April TBA:
4.00%, 4/25/26 (a)		750		771
Gold Pools:
5.00%, 10/1/35 - 6/1/40		962		1,009
6.00%, 2/1/32 - 8/1/38		2,171		2,362
6.50%, 7/1/25 - 3/1/32		106		121
7.50%, 5/1/16 - 5/1/35		165		187
8.00%, 8/1/32		50		59
8.50%, 8/1/31		52		62
Federal National Mortgage Association,
April TBA:
4.50%, 4/25/41 (a)		2,300		2,341
Conventional Pools:
5.00%, 3/1/39		2,018		2,120
5.50%, 1/1/36 - 1/1/37		2,543		2,732
6.00%, 10/1/31 - 7/1/37		705		769
6.50%, 6/1/26 - 2/1/39		625		707
7.00%, 10/1/28 - 6/1/32		92		106
7.50%, 8/1/37		135		157
8.00%, 2/1/12 - 4/1/33		104		120
8.50%, 10/1/32		100		118
11.25%, 8/1/13		4		4
IO REMIC
5.00%, 10/25/38		891		137
Government National Mortgage Association,
April TBA:
4.00%, 4/25/41 (a)		3,225		3,226
IO REMIC
5.00%, 2/16/41		198		38
Various Pools:
3.38%, 3/20/25		85		89
4.50%, 4/15/39 - 5/15/40		2,381		2,462
				19,697

	Face Amount (000)		Value (000)
Asset-Backed Securities (4.9%)
Ally Master Owner Trust
2.88%, 4/15/15 (b)	$	250	$	256
ARI Fleet Lease Trust
1.71%, 8/15/18 (b)(c)		96		97
CarMax Auto Owner Trust
1.29%, 9/15/15		250		249
CLI Funding LLC
4.50%, 3/18/26 (b)		250		247
Discover Card Master Trust
0.61%, 8/15/16 (c)		325		326
Ford Credit Floorplan Master Owner Trust
2.12%, 2/15/16		200		201
Great America Leasing Receivables
1.69%, 2/15/14 (b)		325		326
Honda Auto Receivables Owner Trust
1.13%, 10/15/14		275		275
Macquarie Equipment Funding Trust
1.21%, 9/20/13 (b)		300		301
Mercedes-Benz Auto Lease Trust
1.18%, 11/15/13 (b)		400		401
MMCA Automobile Trust
1.22%, 1/15/15 (b)		250		249
Residential Asset Securities Corp.
0.36%, 4/25/37 (c)		37		37
Volkswagen Auto Loan Enhanced Trust
1.22%, 6/22/15		415		414
World Omni Auto Receivables Trust,
2011-A A3
1.11%, 5/15/15		350		350
				3,729
Collateralized Mortgage Obligations — Agency Collateral Series (2.2%)
Federal Home Loan Mortgage Corporation,
IO REMIC
6.21%, 6/15/40 (c)		2,800		467
IO STRIPS
8.00%, 1/1/28		36		9
PAC REMIC
10.00%, 6/15/20		4		4
Federal National Mortgage Association,
IO
6.14%, 9/25/20 (c)		1,991		398
IO REMIC
6.45%, 2/25/24 (c)		733		81
IO STRIPS
5.00%, 1/25/41 (c)		435		89
REMIC
7.00%, 9/25/32		213		238
Government National Mortgage Association,
IO REMIC
0.85%, 8/20/58 (c)		3,391		124
IO
6.35%, 4/16/41 (d)		1,500		267
				1,677

The accompanying notes are an integral part of the financial statements.
37

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

	Face Amount (000)		Value (000)
Commercial Mortgage Backed Securities (4.3%)
Citigroup Commercial Mortgage Trust (See Note G-2),
5.43%, 10/15/49	$	340	$	364
5.70%, 12/10/49 (c)		456		494
5.73%, 3/15/49 (c)		493		538
DBUBS Mortgage Trust,
5.00%, 11/10/46 (b)		300		312
5.47%, 11/10/46 (b)(c)		210		212
Greenwich Capital Commercial Funding Corp.
5.44%, 3/10/39		320		339
GS Mortgage Securities Corp. II,
5.36%, 3/10/44		200		203
5.55%, 4/10/38 (c)		230		247
JP Morgan Chase Commercial Mortgage Securities Corp.
4.72%, 2/15/46 (b)		180		181
WF-RBS Commercial Mortgage Trust
4.87%, 2/15/44 (b)(c)		370		379
				3,269
Corporate Bonds (30.4%)
Finance (15.4%)
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)		146		146
Aegon N.V.
4.63%, 12/1/15		200		208
AIG SunAmerica Global Financing VI
6.30%, 5/10/11 (b)		323		325
American International Group, Inc.
6.40%, 12/15/20		125		134
Bank of America Corp.,
5.63%, 7/1/20		45		46
5.75%, 12/1/17		465		491
Barclays Bank PLC,
6.05%, 12/4/17 (b)		115		120
6.75%, 5/22/19 (e)		106		120
Bear Stearns Cos. LLC (The)
6.40%, 10/2/17		285		321
Boston Properties LP
5.88%, 10/15/19		30		33
Brookfield Asset Management, Inc.,
5.80%, 4/25/17		129		134
7.13%, 6/15/12		230		244
Capital One Bank, USA NA
8.80%, 7/15/19		285		359
Citigroup, Inc. (See Note G-2),
6.13%, 11/21/17		390		425
8.50%, 5/22/19		76		94
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
4.75%, 1/15/20 (b)		365		377
Credit Agricole SA
3.50%, 4/13/15 (b)		320		322
Credit Suisse AG
5.40%, 1/14/20		175		177

	Face Amount (000)		Value (000)
Credit Suisse, New York,
5.30%, 8/13/19	$	190	$	200
6.00%, 2/15/18		61		65
Dexus Diversfied Trust/Dexus Office Trust
5.60%, 3/15/21 (b)		125		124
Digital Realty Trust LP
5.25%, 3/15/21		200		197
Farmers Exchange Capital
7.05%, 7/15/28 (b)		425		427
Fifth Third Bancorp
3.63%, 1/25/16		80		80
General Electric Capital Corp.,
5.30%, 2/11/21 (e)		120		122
5.63%, 5/1/18		410		444
6.00%, 8/7/19		231		253
Goldman Sachs Group, Inc. (The),
6.15%, 4/1/18		550		597
7.50%, 2/15/19		120		140
Hartford Financial Services Group, Inc.
5.50%, 3/30/20		125		127
HBOS PLC
6.75%, 5/21/18 (b)		357		350
HCP, Inc.
5.38%, 2/1/21		50		51
HSBC Holdings PLC
5.10%, 4/5/21 (d)		155		156
ING Bank N.V.
3.00%, 9/1/15 (b)(e)		130		127
JPMorgan Chase & Co.
4.95%, 3/25/20		70		71
Merrill Lynch & Co., Inc.
6.88%, 4/25/18		67		74
NASDAQ OMX Group, Inc. (The)
5.55%, 1/15/20		190		186
Nationwide Building Society
6.25%, 2/25/20 (b)(e)		385		401
Nationwide Financial Services
5.38%, 3/25/21 (b)		100		99
Pacific LifeCorp
6.00%, 2/10/20 (b)		150		160
Platinum Underwriters Finance, Inc.
7.50%, 6/1/17		134		143
PNC Funding Corp.
5.13%, 2/8/20		110		116
Principal Financial Group, Inc.
8.88%, 5/15/19		167		213
Prudential Financial, Inc.,
4.75%, 9/17/15		194		207
7.38%, 6/15/19		100		118
Reinsurance Group of America, Inc.
6.45%, 11/15/19		136		147
Royal Bank of Scotland PLC (The)
4.88%, 3/16/15		325		338

The accompanying notes are an integral part of the financial statements.
38

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
Santander US Debt SA Unipersonal
3.72%, 1/20/15 (b)	$	200	$	193
Societe Generale
3.10%, 9/14/15 (b)		130		128
Standard Chartered Bank
6.40%, 9/26/17 (b)		100		108
Standard Chartered PLC
3.85%, 4/27/15 (b)		200		205
Svenska Handelsbanken AB
5.13%, 3/30/20 (b)		185		194
UnitedHealth Group, Inc.
6.63%, 11/15/37		225		245
US Bank NA
3.78%, 4/29/20 (c)		275		280
US Central Federal Credit Union, (U.S. Government Guaranteed)
1.90%, 10/19/12		421		429
Wells Fargo & Co.
3.68%, 6/15/16		130		131
				11,722
Industrials (11.8%)
Agilent Technologies, Inc.
5.50%, 9/14/15		126		137
Albemarle Corp.
4.50%, 12/15/20 (e)		125		123
Altria Group, Inc.,
4.13%, 9/11/15		115		120
9.25%, 8/6/19		88		115
Anglo American Capital PLC
9.38%, 4/8/19 (b)(e)		210		280
ArcelorMittal
9.85%, 6/1/19		109		138
AT&T, Inc.,
6.30%, 1/15/38		80		81
6.55%, 2/15/39		100		105
BAT International Finance PLC
9.50%, 11/15/18 (b)		190		252
Best Buy Co., Inc.
3.75%, 3/15/16		180		178
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		99		118
Comcast Corp.,
5.15%, 3/1/20 (e)		110		115
5.70%, 5/15/18		32		35
Cooper US, Inc.
5.25%, 11/15/12		139		148
Corning, Inc.
7.25%, 8/15/36		90		103
COX Communications, Inc.
8.38%, 3/1/39 (b)		36		46
CVS Pass-Through Trust,
6.04%, 12/10/28		200		207
8.35%, 7/10/31 (b)		146		175

	Face Amount (000)		Value (000)
Daimler Finance North America LLC,
7.30%, 1/15/12	$	163	$	171
8.50%, 1/18/31		71		96
Darden Restaurants, Inc.
6.20%, 10/15/17 (e)		235		260
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
4.60%, 2/15/21		80		78
5.88%, 10/1/19		122		132
7.63%, 5/15/16		18		20
Genzyme Corp.
3.63%, 6/15/15		125		130
Gilead Sciences, Inc.
4.50%, 4/1/21		155		153
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (b)		125		126
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (b)		115		126
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (b)		82		86
Home Depot, Inc.
5.88%, 12/16/36		197		196
KLA-Tencor Corp.
6.90%, 5/1/18		116		128
Kraft Foods, Inc.
5.38%, 2/10/20		220		233
L-3 Communications Corp.
4.75%, 7/15/20		145		145
Marathon Petroleum Corp.
5.13%, 3/1/21 (b)		75		76
Medco Health Solutions, Inc.
7.13%, 3/15/18		138		161
Mosaic Co. (The)
7.63%, 12/1/16 (b)		245		265
NBC Universal Media LLC
5.15%, 4/30/20 (b)		150		155
News America, Inc.
7.85%, 3/1/39		218		258
Nissan Motor Acceptance Corp.
4.50%, 1/30/15 (b)		85		89
Omnicom Group, Inc.
4.45%, 8/15/20		100		99
Petrobras International Finance Co.
5.75%, 1/20/20		180		187
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/36		75		78
Quest Diagnostics, Inc.
6.95%, 7/1/37		245		270
Rio Tinto Finance USA Ltd.
9.00%, 5/1/19		121		159
SAIC, Inc.
5.95%, 12/1/40 (b)		100		104
Southern Copper Corp.,
5.38%, 4/16/20 (e)		45		46
6.75%, 4/16/40		70		71

The accompanying notes are an integral part of the financial statements.
39

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Systems 2001 Asset Trust LLC
6.66%, 9/15/13 (b)	$	268	$	286
Telecom Italia Capital SA,
7.00%, 6/4/18		62		67
7.18%, 6/18/19		119		130
Telefonica Europe BV
8.25%, 9/15/30 (e)		184		223
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical Finance III LLC
3.00%, 6/15/15		170		172
Time Warner Cable, Inc.,
6.75%, 6/15/39 (e)		80		84
8.25%, 4/1/19		34		41
Time Warner, Inc.
7.70%, 5/1/32		119		139
Vale Overseas Ltd.,
5.63%, 9/15/19		116		122
6.88%, 11/10/39		21		23
Verizon Communications, Inc.,
4.60%, 4/1/21		170		170
6.35%, 4/1/19		125		142
Viacom, Inc.
6.88%, 4/30/36		126		138
Vivendi SA
6.63%, 4/4/18 (b)		102		114
Weatherford International Ltd.
9.63%, 3/1/19		185		236
Woolworths Ltd.
4.00%, 9/22/20 (b)		140		135
WPP Finance UK
8.00%, 9/15/14		136		159
				8,955
Utilities (3.2%)
EDF SA
4.60%, 1/27/20 (b)		90		92
Enel Finance International N.V.
5.13%, 10/7/19 (b)		300		303
Energy Transfer Partners LP
9.00%, 4/15/19		150		190
Enterprise Products Operating LLC
6.50%, 1/31/19		269		306
Exelon Generation Co. LLC
6.25%, 10/1/39		350		344
FirstEnergy Solutions Corp.
6.05%, 8/15/21 (e)		221		229
Iberdrola Finance Ireland Ltd.
5.00%, 9/11/19 (b)		175		171
Kinder Morgan Energy Partners LP
5.95%, 2/15/18		450		496
Plains All American Pipeline LP/PAA Finance Corp.
6.70%, 5/15/36 (e)		306		332
				2,463
				23,140

	Face Amount (000)		Value (000)
Municipal Bonds (1.7%)
Chicago Illinois Transit Authority
6.20%, 12/1/40	$	110	$	98
City of Chicago, IL
6.40%, 1/1/40		40		39
City of New York, NY
5.97%, 3/1/36		95		95
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		231		224
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		95		91
6.66%, 4/1/57		175		165
New York City Transitional Finance Authority
5.27%, 5/1/27		90		93
North Carolina State Education Assistance Authority
1.21%, 1/26/26 (c)		250		248
State of California, General Obligation Bonds
5.95%, 4/1/16		195		208
				1,261
Sovereign (0.9%)
Bermuda Government International Bond
5.60%, 7/20/20 (b)(e)		125		132
Export - Import Bank of Korea
4.13%, 9/9/15 (e)		100		103
Federative Republic of Brazil
6.00%, 1/17/17		289		325
Korea Development Bank
4.38%, 8/10/15 (e)		140		146
				706
U.S. Agency Securities (4.2%)
Federal Home Loan Mortgage Corporation,
2.88%, 2/9/15		300		311
4.88%, 6/13/18 (e)		1,360		1,514
Federal National Mortgage Association
2.50%, 5/15/14 (e)		1,360		1,405
				3,230
U.S. Treasury Securities (17.4%)
U.S. Treasury Bonds,
3.50%, 2/15/39		200		168
4.38%, 11/15/39 (e)		1,000		979
4.63%, 2/15/40 (e)		550		561
7.50%, 11/15/24		2,775		3,830
U.S. Treasury Notes,
1.25%, 8/31/15		900		872
1.75%, 3/31/14 (e)		1,000		1,015
2.25%, 1/31/15 (e)		920		939
3.00%, 9/30/16 (e)		1,156		1,191
3.25%, 12/31/16 (e)		1,500		1,559
3.63%, 8/15/19		2,100		2,171
				13,285
Total Fixed Income Securities (Cost $69,645)				71,908

The accompanying notes are an integral part of the financial statements.
40

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

	Shares		Value (000)
Short-Term Investments (25.0%)
Securities held as Collateral on Loaned Securities (10.6%)
Investment Company (9.2%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		6,986,394	$	6,986
	Face Amount (000)
Repurchase Agreements (1.4%)
Barclays Capital, Inc., (0.05%, dated 3/31/11, due 4/1/11; proceeds $366; fully collateralized by U.S. Government Obligations; U.S. Treasury Bill 0.00% due 9/29/11; U.S. Treasury Note 4.25% due 9/30/12; valued at $373)	$	366		366
Nomura Holdings, Inc., (0.24%, dated 3/31/11, due 4/1/11; proceeds $707; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 5.00% due 5/1/40; valued at $721)		707		707
				1,073
Total Securities held as Collateral on Loaned Securities (Cost $8,059)				8,059
	Shares
Investment Company (3.7%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		2,833,148		2,833
	Face Amount (000)
U.S. Treasury Securities (10.7%)
U.S. Treasury Bills,
0.06%, 5/19/11 (e)(f)	$	3,400		3,400
0.10%, 4/7/11 (f)		3,875		3,875
0.16%, 4/28/11 (f)(g)(h)		875		875
				8,150
Total Short-Term Investments (Cost $19,042)				19,042
Total Investments (119.3%) (Cost $88,687) Including $12,425 of Securities Loaned				90,950
Liabilities in Excess of Other Assets (-19.3%)				(14,727	)
Net Assets (100.0%)			$	76,223

(a)  Security is subject to delayed delivery.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2011.

(d)  When-issued security.

(e)  All or a portion of the security was on loan at March 31, 2011.

(f)  Rate shown is the yield to maturity at March 31, 2011.

(g)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(h)  All or a portion of the security was pledged as collateral for swap agreements.

IO  Interest Only

PAC  Planned Amortization Class

REMIC  Real Estate Mortgage Investment Conduit

STRIPS  Separate Trading of Registered Interest and Principal of Securities

TBA  To Be Announced

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		10	$	2,181		Jun-11	$	1
U.S. Treasury 5 yr. Note		65		7,591		Jun-11		(8	)
U.S. Treasury 30 yr. Bond		3		361		Jun-11		—	@
Short:
90Day Euro$		3		(733	)	Mar-13		(1	)
90Day Euro$		3		(731	)	Jun-13		(1	)
90Day Euro$		3		(729	)	Sep-13		(1	)
90Day Euro$		3		(727	)	Dec-13		(1	)
U.S. Treasury 10 yr. Note		53		(6,309	)	Jun-11		(6	)
							$	(17	)

The accompanying notes are an integral part of the financial statements.
41

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	2,390	$	(9	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		580		15
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13		7,740		72
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17		3,240		(136	)
UBS AG	3 Month LIBOR	Pay		4.65		12/7/20		2,390		(23	)
UBS AG	3 Month LIBOR	Receive		4.00		12/7/40		570		20
									$	(61	)

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Barclays Capital	$	2,605	3 Month LIBOR	Receive	11/15/19	$	(187	)	$	(306	)
JP Morgan Chase		686	3 Month LIBOR	Receive	5/15/21		(51	)		(86	)
									$	(392	)

@  Value is less than $500.

LIBOR  London Interbank Offered Rate

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Fixed Income Securities
Agency Adjustable Rate Mortgages	$	—	$	1,914	$	—	$	1,914
Agency Fixed Rate Mortgages		—		19,697		—		19,697
Asset-Backed Securities		—		3,729		—		3,729
Collateralized Mortgage Obligations — Agency Collateral Series		—		1,677		—		1,677
Commercial Mortgage Backed Securities		—		3,269		—		3,269
Corporate Bonds		—		23,140		—		23,140
Municipal Bonds		—		1,261		—		1,261
Sovereign		—		706		—		706
U.S. Agency Securities		—		3,230		—		3,230
U.S. Treasury Securities		—		13,285		—		13,285
Total Fixed Income Securities		—		71,908		—		71,908

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)		Total (000)
Short-Term Investments
Investment Companies	$	9,819		$	—		$	—	$	9,819
Repurchase Agreements		—			1,073			—		1,073
U.S. Treasury Securities		—			8,150			—		8,150
Total Short-Term Investments		9,819			9,223			—		19,042
Futures Contracts		1			—			—		1
Interest Rate Swap Agreements		—			107			—		107
Total Assets		9,820			81,238			—		91,058
Liabilities:
Futures Contracts		(18	)		—			—		(18	)
Interest Rate Swap Agreements		—			(168	)		—		(168	)
Zero Coupon Swap Agreements		—			(392	)		—		(392	)
Total Liabilities		(18	)		(560	)		—		(578	)
Total	$	9,802		$	80,678		$	—	$	90,480

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Portfolio did not have any significant investments transfer between valuation levels.

The accompanying notes are an integral part of the financial statements.
42

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Investment Grade Fixed Income Portfolio

Portfolio Composition*

Classification	Percentage of Total Investments
Agency Fixed Rate Mortgages		23.8	%
Other**		22.1
U.S. Treasury Securities		16.0
Finance		14.1
Short-Term Investments		13.2
Industrials		10.8
Total Investments		100.0	%

*  Percentages indicated are based upon total investments (excluding Securities held as collateral on Loaned Securities) as of March 31, 2011.

**  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
43

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (98.3%)
Agency Adjustable Rate Mortgages (1.0%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
5.48%, 1/1/38	$	356	$	380
6.06%, 2/1/37		321		340
Federal National Mortgage Association,
Conventional Pools:
2.54%, 5/1/35		957		1,008
5.69%, 3/1/38		196		208
				1,936
Agency Bond — Banking (FDIC Guaranteed) (1.2%)
FDIC Structured Sale Guaranteed Notes
Zero Coupon, 10/25/11 (a)(b)		2,300		2,293
Agency Fixed Rate Mortgages (0.9%)
Federal Home Loan Mortgage Corporation,
Gold Pools:
6.50%, 9/1/19 - 11/1/29		19		22
7.50%, 11/1/19		2		3
12.00%, 6/1/15		7		8
Federal National Mortgage Association,
Conventional Pools:
6.50%, 3/1/18 - 10/1/32		1,313		1,488
7.00%, 7/1/29 - 12/1/33		66		76
Government National Mortgage Association,
Various Pools:
9.00%, 11/15/16 - 12/15/16		49		56
				1,653
Asset-Backed Securities (26.2%)
Ally Master Owner Trust,
2.01%, 1/15/15 (a)(b)		275		280
2.15%, 1/15/16		700		701
2.88%, 4/15/15 (b)		650		665
American Express Credit Account Master Trust
1.51%, 3/15/17 (a)		2,325		2,409
ARI Fleet Lease Trust
1.71%, 8/15/18 (a)(b)		468		472
Bank of America Auto Trust
2.13%, 9/15/13 (b)		1,222		1,231
BMW Floorplan Master Owner Trust
1.41%, 9/15/14 (a)(b)		2,600		2,629
Capital One Multi-Asset Execution Trust
0.34%, 9/15/15 (a)		1,355		1,349
Chase Issuance Trust
1.81%, 4/15/14 (a)		1,600		1,624
Chesapeake Funding LLC
2.26%, 12/15/20 (a)(b)		744		748
CIT Equipment Collateral
1.51%, 5/15/12 (b)		1,353		1,355
Citibank Credit Card Issuance Trust (See Note G-2)
2.25%, 12/23/14		1,950		1,992

	Face Amount (000)		Value (000)
CNH Equipment Trust,
1.17%, 5/15/15	$	1,725	$	1,723
1.54%, 7/15/14		1,725		1,737
Discover Card Master Trust
1.56%, 12/15/14 (a)		3,000		3,041
Ford Credit Floorplan Master Owner Trust,
1.81%, 9/15/14 (a)		2,600		2,636
4.20%, 2/15/17 (b)		1,150		1,217
GE Capital Credit Card Master Note Trust
2.36%, 4/15/15 (a)		3,850		3,918
GE Equipment Midticket LLC
0.94%, 7/14/14 (b)		1,200		1,199
Harley-Davidson Motorcycle Trust,
1.16%, 2/15/15		1,825		1,823
1.74%, 9/15/13		1,200		1,208
1.87%, 2/15/14		1,400		1,409
Huntington Auto Trust
3.94%, 6/17/13 (b)		1,296		1,312
Macquarie Equipment Funding Trust
1.21%, 9/20/13 (b)		1,525		1,527
MMAF Equipment Finance LLC
2.37%, 11/15/13 (b)		1,350		1,363
MMCA Automobile Trust
1.39%, 1/15/14 (b)		1,650		1,657
Navistar Financial Corp. Owner Trust
1.47%, 10/18/12 (b)		2,053		2,060
Nissan Auto Lease Trust
1.12%, 12/15/13		1,625		1,627
Nissan Master Owner Trust Receivables
1.41%, 1/15/15 (a)(b)		625		632
Volvo Financial Equipment LLC
1.06%, 6/15/12 (b)		1,973		1,975
Wheels SPV LLC
1.81%, 3/15/18 (a)(b)		684		688
World Omni Auto Receivables Trust,
2011-A A3
1.11%, 5/15/15		875		874
				49,081
Collateralized Mortgage Obligation — Agency Collateral Series (1.3%)
Federal Home Loan Mortgage Corporation, REMIC
7.50%, 9/15/29		2,132		2,401
Commercial Mortgage Backed Securities (1.2%)
Bear Stearns Commercial Mortgage Securities
5.20%, 1/12/41 (a)		690		736
LB-UBS Commercial Mortgage Trust
4.37%, 3/15/36		720		752
Wachovia Bank Commercial Mortgage Trust
5.31%, 7/15/41 (a)		665		714
				2,202

The accompanying notes are an integral part of the financial statements.
44

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Corporate Bonds (54.2%)
Finance (27.9%)
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)	$	1,850	$	1,849
ABN Amro Bank N.V.
3.00%, 1/31/14 (b)		835		834
Aflac, Inc.
3.45%, 8/15/15		325		327
American Express Co.
7.25%, 5/20/14		1,680		1,912
American International Group, Inc.
3.65%, 1/15/14		745		759
Bank One Corp.
5.25%, 1/30/13		1,450		1,538
Barclays Bank PLC
2.50%, 1/23/13		1,030		1,049
BBVA Bancomer SA
4.50%, 3/10/16 (b)		955		962
BP Capital Markets PLC
3.88%, 3/10/15		595		618
Canadian Imperial Bank of Commerce
1.45%, 9/13/13		1,130		1,127
Capital One Financial Corp.
7.38%, 5/23/14		875		1,005
Cie de Financement Foncier
2.25%, 3/7/14 (b)		1,400		1,401
Citigroup, Inc. (See Note G-2)
4.59%, 12/15/15		1,385		1,434
Commonwealth Bank of Australia
2.75%, 10/15/12 (b)		2,400		2,453
Credit Suisse, New York
5.50%, 5/1/14		840		921
Deutsche Bank AG
2.38%, 1/11/13		1,105		1,123
Fifth Third Bancorp
3.63%, 1/25/16		395		395
General Electric Capital Corp.
2.25%, 11/9/15		3,005		2,890
Goldman Sachs Group, Inc. (The)
3.70%, 8/1/15		1,250		1,261
HCP, Inc.
2.70%, 2/1/14		575		577
HSBC Finance Corp.,
6.38%, 10/15/11		285		294
7.00%, 5/15/12		700		745
Intesa Sanpaolo SpA
3.63%, 8/12/15 (b)		550		532
Jefferies Group, Inc.
3.88%, 11/9/15		250		250
JPMorgan Chase & Co.
3.40%, 6/24/15		995		1,002
Macquarie Group Ltd.
7.30%, 8/1/14 (b)		720		799
MBNA Corp.
6.13%, 3/1/13		610		653

	Face Amount (000)		Value (000)
Merrill Lynch & Co., Inc.
6.15%, 4/25/13	$	1,500	$	1,617
MetLife, Inc.
2.38%, 2/6/14		1,875		1,879
Monumental Global Funding III
5.25%, 1/15/14 (b)		1,115		1,178
Nationwide Building Society
4.65%, 2/25/15 (b)		840		852
Nissan Motor Acceptance Corp.
3.25%, 1/30/13 (b)		90		92
Nordea Bank AB
2.50%, 11/13/12 (b)		1,135		1,155
Northern Trust Corp.
5.50%, 8/15/13		1,060		1,161
Principal Financial Group, Inc.
7.88%, 5/15/14		816		943
Prudential Financial, Inc.
4.75%, 9/17/15		930		991
Royal Bank of Scotland PLC (The),
2.63%, 5/11/12 (b)		5,230		5,347
4.88%, 3/16/15		955		994
Societe Generale
3.10%, 9/14/15 (b)		320		315
Standard Chartered PLC
3.85%, 4/27/15 (b)		940		963
Svenska Handelsbanken AB
2.88%, 9/14/12 (b)		1,060		1,086
TD Ameritrade Holding Corp.
2.95%, 12/1/12		1,200		1,225
UBS AG/Stamford CT
3.88%, 1/15/15		1,140		1,169
Wells Fargo & Co.
3.75%, 10/1/14		2,365		2,480
				52,157
Industrials (21.1%)
Agilent Technologies, Inc.
4.45%, 9/14/12		1,325		1,374
Altria Group, Inc.
4.13%, 9/11/15		750		780
Amphenol Corp.
4.75%, 11/15/14		460		494
Anglo American Capital PLC
9.38%, 4/8/14 (b)		1,100		1,317
Anheuser-Busch InBev Worldwide, Inc.,
4.13%, 1/15/15		350		370
5.38%, 11/15/14		785		866
ArcelorMittal
9.00%, 2/15/15		610		731
AT&T, Inc.
4.95%, 1/15/13		2,510		2,675
Bacardi Ltd.
7.45%, 4/1/14 (b)		835		962
Best Buy Co., Inc.
3.75%, 3/15/16		875		865

The accompanying notes are an integral part of the financial statements.
45

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Bunge Ltd. Finance Corp.
5.35%, 4/15/14	$	830	$	880
Comcast Corp.
6.50%, 1/15/15		870		985
COX Communications, Inc.
4.63%, 6/1/13		690		733
CVS Caremark Corp.
5.75%, 8/15/11		635		647
Daimler Finance North America LLC
7.30%, 1/15/12		1,290		1,355
Delhaize Group SA
5.88%, 2/1/14		1,025		1,120
Devon Financing Corp. ULC
6.88%, 9/30/11		1,400		1,443
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
4.75%, 10/1/14		695		749
Dow Chemical Co. (The)
5.90%, 2/15/15		1,105		1,226
EOG Co. of Canada
7.00%, 12/1/11 (b)		1,325		1,377
Fiserv, Inc.
6.13%, 11/20/12		751		807
Harley-Davidson Funding Corp.
5.25%, 12/15/12 (b)		820		856
Home Depot, Inc.
5.40%, 3/1/16		630		697
Kraft Foods, Inc.
6.75%, 2/19/14		875		988
Kroger Co. (The)
7.50%, 1/15/14		725		826
Marathon Petroleum Corp.
3.50%, 3/1/16 (b)		1,070		1,074
Marriott International, Inc.
4.63%, 6/15/12		1,300		1,351
McKesson Corp.
3.25%, 3/1/16		1,070		1,079
Medco Health Solutions, Inc.
7.25%, 8/15/13		1,115		1,249
NBC Universal Media LLC
2.10%, 4/1/14 (b)		835		832
Nexen, Inc.
5.05%, 11/20/13		660		725
Potash Corp. of Saskatchewan, Inc.
5.25%, 5/15/14		1,105		1,205
Quest Diagnostics, Inc.
3.20%, 4/1/16		925		920
Telecom Italia Capital SA
5.25%, 11/15/13		1,055		1,115
Thermo Fisher Scientific, Inc.
3.25%, 11/20/14		690		718
Time Warner Cable, Inc.
8.25%, 2/14/14		700		814

	Face Amount (000)		Value (000)
Viacom, Inc.
4.38%, 9/15/14	$	1,100	$	1,175
Vodafone Group PLC
5.00%, 12/16/13		1,060		1,151
Yum! Brands, Inc.
8.88%, 4/15/11		850		852
				39,383
Multimedia (0.4%)
News America, Inc.
5.30%, 12/15/14		755		834
Utilities (4.8%)
Commonwealth Edison Co.
1.63%, 1/15/14		400		398
Dominion Resources, Inc.
5.70%, 9/17/12		1,275		1,356
EDF SA
5.50%, 1/26/14 (b)		1,105		1,211
Enel Finance International N.V.
3.88%, 10/7/14 (b)		1,115		1,153
FirstEnergy Solutions Corp.
4.80%, 2/15/15		755		793
NextEra Energy Capital Holdings, Inc.
5.35%, 6/15/13		825		884
Plains All American Pipeline L.P./PAA Finance Corp.
4.25%, 9/1/12		1,140		1,184
Sempra Energy
2.00%, 3/15/14		915		909
Spectra Energy Capital LLC
5.90%, 9/15/13		965		1,052
				8,940
				101,314
Mortgage — Other (0.4%)
FDIC Structured Sale Guaranteed Notes
0.80%, 2/25/48 (a)(b)		736		737
Municipal Bond (0.5%)
North Carolina State Education Assistance Authority
0.76%, 1/25/21		1,025		1,024
Non-U.S. Government — Guaranteed (6.2%)
Commonwealth Bank of Australia
2.50%, 12/10/12 (b)		2,300		2,361
Swedbank AB
2.90%, 1/14/13 (b)		5,900		6,060
Westpac Securities NZ Ltd.
2.50%, 5/25/12 (b)		3,020		3,079
				11,500
U.S. Treasury Security (5.2%)
U.S. Treasury Bonds
7.50%, 11/15/24		7,030		9,703
Total Fixed Income Securities (Cost $180,976)				183,844

The accompanying notes are an integral part of the financial statements.
46

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

	Shares		Value (000)
Short-Term Investments (2.4%)
Investment Company (1.0%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		1,923,739	$	1,924
	Face Amount (000)
U.S. Treasury Security (1.4%)
U.S. Treasury Bills
0.16%, 4/28/11 (c)(d)(e)	$	2,665		2,665
Total Short-Term Investments (Cost $4,589)				4,589
Total Investments (100.7%) (Cost $185,565)				188,433
Liabilities in Excess of Other Assets (-0.7%)				(1,363	)
Net Assets (100.0%)			$	187,070

(a)  Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2011.

(b)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(c)  Rate shown is the yield to maturity at March 31, 2011.

(d)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(e)  All or a portion of the security was pledged as collateral for swap agreements.

REMIC  Real Estate Mortgage Investment Conduit

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 10 yr. Note		55	$	6,547		Jun-11	$	13
Short:
U.S. Treasury 2 yr. Note		81		(17,668	)	Jun-11		(10	)
U.S. Treasury 5 yr. Note		80		(9,343	)	Jun-11		(10	)
U.S. Treasury 30 yr. Bond		1		(121	)	Jun-11		(1	)
							$	(8	)

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	2,915	$	(11	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		710		18
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13		18,775		176
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17		7,870		(331	)
Goldman Sachs Group Inc.	3 Month LIBOR	Pay		4.67		12/7/20		2,920		(26	)
Goldman Sachs Group Inc.	3 Month LIBOR	Receive		4.01		12/7/40		695		23
									$	(151	)

The accompanying notes are an integral part of the financial statements.
47

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Barclays Capital	$	3,918	3 Month LIBOR	Receive	11/15/19	$	(281	)	$	(461	)
Deutsche Bank		4,696	3 Month LIBOR	Pay	11/15/21		170			(184	)
Deutsche Bank		4,009	3 Month LIBOR	Receive	11/15/21		(280	)		(343	)
JPMorgan Chase		186	3 Month LIBOR	Receive	11/15/19		(13	)		(19	)
JPMorgan Chase		4,419	3 Month LIBOR	Receive	11/15/20		(328	)		(552	)
									$	(1,559	)

LIBOR  London Interbank Offered Rate

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)		Level 2 Other significant observable inputs (000)		Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Fixed Income Securities
Agency Adjustable Rate Mortgages	$	—	$	1,936	$	—	$	1,936
Agency Bond — Banking (FDIC Guaranteed)		—		2,293		—		2,293
Agency Fixed Rate Mortgages		—		1,653		—		1,653
Asset-Backed Securities		—		49,081		—		49,081
Collateralized Mortgage Obligation — Agency Collateral Series		—		2,401		—		2,401
Commercial Mortgage Backed Securities		—		2,202		—		2,202
Corporate Bonds		—		101,314		—		101,314
Mortgage — Other		—		737		—		737
Municipal Bonds		—		1,024		—		1,024
Non-U.S. Government — Guaranteed		—		11,500		—		11,500
U.S. Treasury Securities		—		9,703		—		9,703
Total Fixed Income Securities		—		183,844		—		183,844

Fair Value Measurement Information: (cont'd)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)		Total (000)
Short-Term Investments
Investment Company	$	1,924		$	—		$	—	$	1,924
U.S. Treasury Security		—			2,665			—		2,665
Total Short-Term Investments		1,924			2,665			—		4,589
Futures Contracts		13			—			—		13
Interest Rate Swap Agreements		—			217			—		217
Total Assets		1,937			186,726			—		188,663
Liabilities:
Futures Contracts		(21	)		—			—		(21	)
Interest Rate Swap Agreements		—			(368	)		—		(368	)
Zero Coupon Swap Agreements		—			(1,559	)		—		(1,559	)
Total Liabilities		(21	)		(1,927	)		—		(1,948	)
Total	$	1,916		$	184,799		$	—	$	186,715

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Portfolio did not have any significant investments transfer between valuation levels.

Portfolio Composition

Classification	Percentage of Total Investments
Finance		27.7	%
Asset-Backed Securities		26.0
Industrials		20.9
Other*		14.1
Non-U.S. Government — Guaranteed		6.1
U.S. Treasury Securities		5.2
Total Investments		100.0	%

*  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
48

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (95.9%)
Corporate Bonds (54.2%)
Finance (14.1%)
ACE INA Holdings, Inc.
6.70%, 5/15/36	$	40	$	46
Aetna, Inc.
6.63%, 6/15/36		40		44
Aflac, Inc.
6.90%, 12/17/39		75		79
AIG SunAmerica Global Financing X
6.90%, 3/15/32 (a)		17		19
Allstate Corp. (The),
5.95%, 4/1/36		65		66
6.13%, 12/15/32		30		31
American Express Co.
8.13%, 5/20/19		45		56
Barclays Bank PLC
5.13%, 1/8/20		100		102
Bear Stearns Cos. LLC (The)
7.25%, 2/1/18		45		53
Chubb Corp.
6.50%, 5/15/38		30		34
Citigroup, Inc. (See Note G-2),
5.85%, 12/11/34		225		221
6.88%, 3/5/38		30		33
Credit Suisse USA, Inc.
7.13%, 7/15/32		50		59
Farmers Exchange Capital
7.05%, 7/15/28 (a)		100		101
General Electric Capital Corp.,
5.88%, 1/14/38		280		277
6.15%, 8/7/37		5		5
Goldman Sachs Group, Inc. (The)
6.75%, 10/1/37		290		293
Hartford Financial Services Group, Inc.
6.63%, 3/30/40		75		76
HSBC Holdings PLC
6.50%, 5/2/36		235		241
JPMorgan Chase & Co.
6.40%, 5/15/38		55		61
JPMorgan Chase Capital XXVII
7.00%, 11/1/39		55		57
Lincoln National Corp.
6.30%, 10/9/37		20		21
Lloyds TSB Bank PLC
5.80%, 1/13/20 (a)		100		100
Merrill Lynch & Co., Inc.
7.75%, 5/14/38		175		202
MetLife, Inc.,
5.70%, 6/15/35		95		95
10.75%, 8/1/39		30		42
Nationwide Building Society
6.25%, 2/25/20 (a)		100		104

	Face Amount (000)		Value (000)
Principal Financial Group, Inc.
6.05%, 10/15/36	$	70	$	72
Protective Life Corp.
8.45%, 10/15/39		50		56
Prudential Financial, Inc.
6.63%, 12/1/37		55		60
UnitedHealth Group, Inc.,
5.80%, 3/15/36		80		80
6.88%, 2/15/38		50		56
WellPoint, Inc.,
5.95%, 12/15/34		15		16
6.38%, 6/15/37		65		70
				2,928
Industrials (29.9%)
Agrium, Inc.
7.13%, 5/23/36		55		64
Alcoa, Inc.
5.95%, 2/1/37		125		118
Altria Group, Inc.,
9.95%, 11/10/38		45		63
10.20%, 2/6/39		80		114
Anadarko Petroleum Corp.
6.20%, 3/15/40		100		97
ArcelorMittal
7.00%, 10/15/39		60		60
AT&T, Inc.,
5.35%, 9/1/40 (a)		265		238
6.30%, 1/15/38		30		30
Browning-Ferris Industries, Inc.
7.40%, 9/15/35		50		59
BSKYB Finance UK PLC
6.50%, 10/15/35 (a)		50		54
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		40		48
Burlington Northern Santa Fe LLC
6.15%, 5/1/37		55		59
CBS Corp.
7.88%, 7/30/30		35		41
Comcast Corp.
6.95%, 8/15/37		100		109
ConAgra Foods, Inc.,
7.00%, 10/1/28		20		22
8.25%, 9/15/30		80		96
Corning, Inc.
7.25%, 8/15/36		110		126
COX Communications, Inc.
8.38%, 3/1/39 (a)		20		25
CSX Corp.
6.15%, 5/1/37		60		64
CVS Pass-Through Trust,
6.04%, 12/10/28		98		102
8.35%, 7/10/31 (a)		29		35

The accompanying notes are an integral part of the financial statements.
49

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

		Face Amount (000)		Value (000)
Industrials (cont'd)
Daimler Finance North America LLC
8.50%, 1/18/31		$	65	$	88
Darden Restaurants, Inc.
6.80%, 10/15/37			50		55
Delhaize Group SA
5.70%, 10/1/40			85		78
Deutsche Telekom International Finance BV
8.75%, 6/15/30			85		112
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
6.35%, 3/15/40			40		40
Dr. Pepper Snapple Group, Inc.
7.45%, 5/1/38			75		92
Grupo Televisa SA
6.63%, 1/15/40			75		80
H.J. Heinz Finance Co.
6.75%, 3/15/32			45		51
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (a)			40		44
Hess Corp.
7.13%, 3/15/33			55		63
Holcim Capital Corp. Ltd.
6.88%, 9/29/39 (a)			100		102
Home Depot, Inc.
5.88%, 12/16/36			140		140
International Paper Co.
7.30%, 11/15/39	��		95		107
JC Penney Corp., Inc.
7.40%, 4/1/37			50		48
KLA-Tencor Corp.
6.90%, 5/1/18			45		50
Kohl's Corp.
6.88%, 12/15/37			55		63
Koninklijke KPN N.V.
8.38%, 10/1/30			25		32
Koninklijke Philips Electronics N.V.
6.88%, 3/11/38			70		83
Kraft Foods, Inc.
6.88%, 1/26/39			90		100
Kroger Co. (The)
6.90%, 4/15/38			80		90
Lorillard Tobacco Co.
8.13%, 5/1/40			45		50
Lowe's Cos., Inc.
6.65%, 9/15/37			45		52
Meccanica Holdings USA
6.25%, 1/15/40 (a)			100		93
NBC Universal Media LLC
6.40%, 4/30/40 (a)			45		46
News America, Inc.,
6.40%, 12/15/35			160		165
6.65%, 11/15/37			15		16

	Face Amount (000)		Value (000)
Petro-Canada,
5.95%, 5/15/35	$	55	$	56
6.80%, 5/15/38		100		111
Petrobras International Finance Co.
6.88%, 1/20/40		95		100
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/36		85		88
Quest Diagnostics, Inc.,
5.75%, 1/30/40		30		29
6.95%, 7/1/37		80		88
Qwest Corp.
6.88%, 9/15/33		40		40
Ralcorp Holdings, Inc.
6.63%, 8/15/39		90		93
Rio Tinto Alcan, Inc.
6.13%, 12/15/33		25		26
Rio Tinto Finance USA Ltd.
7.13%, 7/15/28		40		48
SAIC, Inc.
5.95%, 12/1/40 (a)		75		78
Southern Copper Corp.
6.75%, 4/16/40		45		45
Talisman Energy, Inc.
6.25%, 2/1/38		45		47
Target Corp.
7.00%, 1/15/38		100		118
Telecom Italia Capital SA
7.20%, 7/18/36		105		106
Telefonica Europe BV
8.25%, 9/15/30		115		139
Teva Pharmaceutical Finance Co. LLC
6.15%, 2/1/36		25		27
Time Warner Cable, Inc.
6.55%, 5/1/37		85		87
Time Warner, Inc.
7.70%, 5/1/32		195		228
Transocean, Inc.
6.80%, 3/15/38		80		84
Union Pacific Corp.
6.25%, 5/1/34		115		126
Vale Overseas Ltd.
6.88%, 11/21/36		50		53
Valero Energy Corp.,
6.63%, 6/15/37		65		66
9.38%, 3/15/19		40		51
Verizon Communications, Inc.,
5.85%, 9/15/35		120		120
8.95%, 3/1/39		115		157
Vivendi SA
6.63%, 4/4/18 (a)		40		45
Vodafone Group PLC
6.15%, 2/27/37		45		48

The accompanying notes are an integral part of the financial statements.
50

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Wal-Mart Stores, Inc.
6.50%, 8/15/37	$	35	$	40
Waste Management, Inc.
6.13%, 11/30/39		95		99
Weatherford International Ltd.
7.00%, 3/15/38		80		85
Williams Cos., Inc. (The)
7.75%, 6/15/31		63		75
Wyeth
5.95%, 4/1/37		35		38
Xerox Corp.
5.63%, 12/15/19		20		22
				6,227
Utilities (10.2%)
Columbus Southern Power Co.
6.60%, 3/1/33		30		34
Constellation Energy Group, Inc.
7.60%, 4/1/32		75		85
Detroit Edison Co. (The)
6.35%, 10/15/32		60		66
E.ON International Finance BV
6.65%, 4/30/38 (a)		25		29
EDF SA
5.60%, 1/27/40 (a)		30		30
Enbridge Energy Partners LP
7.50%, 4/15/38		50		60
Enel Finance International N.V.
6.00%, 10/7/39 (a)		100		91
Energy Transfer Partners LP,
7.50%, 7/1/38		60		70
9.00%, 4/15/19		40		50
Entergy Louisiana LLC
5.40%, 11/1/24		50		52
Enterprise Products Operating LLC
6.65%, 10/15/34		30		32
Exelon Generation Co. LLC
6.25%, 10/1/39		175		172
FirstEnergy Solutions Corp.
6.80%, 8/15/39		180		179
Kinder Morgan Energy Partners LP,
6.50%, 2/1/37		65		67
6.95%, 1/15/38		85		92
7.30%, 8/15/33		5		5
Nevada Power Co.
6.65%, 4/1/36		125		142
Nisource Finance Corp.
6.13%, 3/1/22		85		93
Ohio Edison Co.
6.88%, 7/15/36		65		71
Ohio Power Co.
6.60%, 2/15/33		110		122

	Face Amount (000)		Value (000)
Oncor Electric Delivery Co. LLC
7.50%, 9/1/38	$	25	$	30
Oneok Partners LP
6.85%, 10/15/37		75		82
Plains All American Pipeline LP/PAA Finance Corp.,
6.65%, 1/15/37		40		42
6.70%, 5/15/36		75		81
PPL Electric Utilities Corp.
6.45%, 8/15/37		30		34
Sempra Energy
6.00%, 10/15/39		125		128
Spectra Energy Capital LLC
7.50%, 9/15/38		45		53
Tennessee Gas Pipeline Co.
7.00%, 10/15/28		125		139
				2,131
				11,286
Municipal Bonds (7.8%)
American Municipal Power-Ohio Inc.,
6.05%, 2/15/43		55		50
6.45%, 2/15/44		60		56
Bay Area Toll Authority
6.26%, 4/1/49		125		126
Chicago Board of Education
6.14%, 12/1/39		50		46
Chicago Illinois Transit Authority
6.20%, 12/1/40		85		76
City of New York, NY
5.97%, 3/1/36		80		80
County of Clark
6.82%, 7/1/45		105		104
County of Cook
6.23%, 11/15/34		45		43
District of Columbia
5.59%, 12/1/34		65		66
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		70		68
Indianapolis Local Public Improvement Bond Bank
6.12%, 1/15/40		35		36
Los Angeles Unified School District/CA
6.76%, 7/1/34		45		47
Metropolitan Transportation Authority
6.67%, 11/15/39		100		103
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		65		62
6.66%, 4/1/57		25		24
New Jersey Transportation Trust Fund Authority
6.56%, 12/15/40		75		75
New York City Municipal Water Finance Authority
5.72%, 6/15/42		30		30
New York City Transitional Finance Authority
5.27%, 5/1/27		80		82

The accompanying notes are an integral part of the financial statements.
51

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Municipal Bonds (cont'd)
North Texas Tollway Authority
6.72%, 1/1/49	$	90	$	90
San Diego County Water Authority
6.14%, 5/1/49		25		25
San Francisco City & County Public Utilities Commission
6.00%, 11/1/40		55		54
State of California
7.55%, 4/1/39		160		175
State of Illinois
6.63%, 2/1/35		50		48
State of Washington
5.09%, 8/1/33		65		63
				1,629
Sovereign (3.1%)
Federative Republic of Brazil
8.25%, 1/20/34		210		279
Italian Republic
5.38%, 6/15/33		55		54
Republic of Panama
9.38%, 4/1/29		43		61
Republic of Peru
8.75%, 11/21/33		65		87
United Mexican States
6.05%, 1/11/40		165		171
				652
U.S. Agency Securities (3.1%)
Federal Home Loan Mortgage Corporation
6.75%, 3/15/31		500		639
U.S. Treasury Securities (27.7%)
U.S. Treasury Bonds,
3.50%, 2/15/39		1,600		1,342
3.88%, 8/15/40		1,000		895
4.25%, 11/15/40		1,500		1,435
5.50%, 8/15/28		610		706
6.75%, 8/15/26		450		588
7.50%, 11/15/24		580		801
				5,767
Total Fixed Income Securities (Cost $19,159)				19,973
	Shares
Short-Term Investments (3.0%)
Investment Company (1.1%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		238,930		239

	Face Amount (000)		Value (000)
U.S. Treasury Securities (1.9%)
U.S. Treasury Bills,
0.03%, 4/28/11 (b)(c)(d)	$	100	$	100
0.16%, 4/28/11 (b)(c)(d)		300		300
				400
Total Short-Term Investments (Cost $639)				639
Total Investments (98.9%) (Cost $19,798)				20,612
Other Assets in Excess of Liabilities (1.1%)				227
Net Assets (100.0%)			$	20,839

(a)  144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(b)  Rate shown is the yield to maturity at March 31, 2011.

(c)  All or a portion of the security was pledged to cover margin requirements for futures contracts.

(d)  All or a portion of the security was pledged as collateral for swap agreements.

Futures Contracts:

The Portfolio had the following futures contract(s) open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 5 yr. Note		9	$	1,051		Jun-11	$	—	@
U.S. Treasury 10 yr. Note		3		357		Jun-11		(2	)
U.S. Treasury 30 yr. Bond		14		1,683		Jun-11		(16	)
Short:
U.S. Treasury 2 yr. Note		14		(3,054	)	Jun-11		(2	)
Ultra Long U.S. Treasury Bond		3		(371	)	Jun-11		(—	)@
							$	(20	)

The accompanying notes are an integral part of the financial statements.
52

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

Interest Rate Swap Agreements

The Portfolio had the following interest rate swap agreement(s) open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Bank of America	3 Month LIBOR	Pay		4.80	%	12/9/20	$	880	$	(3	)
Bank of America	3 Month LIBOR	Receive		4.06		12/9/40		215		6
Barclays Capital	3 Month STIBOR	Receive		3.11		6/22/12	SEK	5,762		—	@
Barclays Capital	3 Month STIBOR	Pay		3.83		3/22/15		11,772		(2	)
Barclays Capital	3 Month STIBOR	Receive		3.93		3/22/21		6,083		5
Credit Suisse	3 Month LIBOR	Receive		0.80		10/28/13	$	2,915		27
Credit Suisse	3 Month CDOR	Receive		2.18		9/8/15	CAD	953		28
Credit Suisse	3 Month CDOR	Receive		2.21		9/8/15		686		20
Credit Suisse	3 Month LIBOR	Pay		2.10		10/28/17	$	1,220		(51	)
Credit Suisse	3 Month CDOR	Pay		4.07		9/8/20	CAD	1,115		(27	)
Credit Suisse	3 Month CDOR	Pay		4.12		9/8/20		804		(17	)
Deutsche Bank	3 Month STIBOR	Receive		3.04		6/17/12	SEK	1,620		—	@
Deutsche Bank	3 Month STIBOR	Pay		3.78		3/17/15		3,310		(1	)
Deutsche Bank	3 Month STIBOR	Receive		3.83		3/17/21		1,720		2
Goldman Sachs	6 Month LIBOR	Pay		4.90		3/4/21	GBP	820		3
Goldman Sachs	6 Month LIBOR	Receive		4.18		3/4/41		190		(3	)
UBS AG	3 Month LIBOR	Pay		4.65		12/7/20	$	880		(8	)
UBS AG	3 Month LIBOR	Receive		4.00		12/7/40		210		7
									$	(14	)

Zero Coupon Swap Agreements

The Portfolio had the following zero coupon swap agreement(s) open at period end:

Swap Counterparty	Notional Amount (000)		Floating Rate Index	Pay/Receive Floating Rate	Termination Date	Premium Paid (Received) (000)			Unrealized Appreciation (Depreciation) (000)
Barclays Capital	$	609	3 Month LIBOR	Receive	11/15/19	$	(44	)	$	(72	)
Barclays Capital		722	3 Month LIBOR	Pay	11/15/19		25			(14	)
Deutsche Bank		370	3 Month LIBOR	Receive	11/15/21		(26	)		(32	)
JPMorgan Chase		256	3 Month LIBOR	Receive	11/15/21		(19	)		(28	)
									$	(146	)

@    Value is less than $500.

CDOR  Canadian Dealer Offered Rate

LIBOR  London Interbank Offered Rate

STIBOR  Stockholm Interbank Offered Rate

CAD  —  Canadian Dollar

GBP  —  British Pound

SEK  —  Swedish Krona

The accompanying notes are an integral part of the financial statements.
53

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2011. (See Note A-5 to the financial statements for further information regarding fair value measurement.)

Investment Type	Level 1 Unadjusted quoted prices (000)			Level 2 Other significant observable inputs (000)			Level 3 Significant unobservable inputs (000)		Total (000)
Assets:
Fixed Income Securities
Corporate Bonds	$	—		$	11,286		$	—	$	11,286
Municipal Bonds		—			1,629			—		1,629
Sovereign		—			652			—		652
U.S. Agency Securities		—			639			—		639
U.S. Treasury Securities		—			5,767			—		5,767
Total Fixed Income Securities		—			19,973			—		19,973
Short-Term Investments
Investment Companies		239			—			—		239
U.S. Treasury Securities		—			400			—		400
Total Short-Term Investments		239			400			—		639
Futures Contracts		—	@		—			—		—	@
Interest Rate Swap Agreements		—			98			—		98
Total Assets		239			20,471			—		20,710
Liabilities:
Futures Contracts		(20	)		—			—		(20	)
Interest Rate Swap Agreements		—			(112	)		—		(112	)
Zero Coupon Swap Agreements		—			(146	)		—		(146	)
Total Liabilities		(20	)		(258	)		—		(278	)
Total	$	219		$	20,213		$	—	$	20,432

@ Value is less than $500.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolio recognizes transfers between the levels as of the end of the period. As of March 31, 2011 the Portfolio did not have any significant investments transfer between valuation levels.

Portfolio Composition

Classification	Percentage of Total Investments
Industrials		30.2	%
U.S. Treasury Securities		28.0
Finance		14.2
Utilities		10.3
Other*		9.4
Municipal Bonds		7.9
Total Investments		100.0	%

*  Industries and/or investment types representing less than 5% of total investments.

The accompanying notes are an integral part of the financial statements.
54

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Assets and Liabilities

	Balanced Portfolio (000)			Mid Cap Growth Portfolio (000)			Core Fixed Income Portfolio (000)			Core Plus Fixed Income Portfolio (000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost	$	42,461		$	5,169,402		$	73,169		$	363,332
Investments in Securities of Affiliated Issuers, at Cost		10,611			413,121			7,957			54,108
Total Investments in Securities, at Cost		53,072			5,582,523			81,126			417,440
Foreign Currency, at Cost		6			490			—			80
Investments in Securities of Unaffiliated Issuers, at Value(1)		44,116			6,909,892			74,130			365,015
Investments in Securities of Affiliated Issuers, at Value		10,658			413,121			8,238			54,306
Total Investments in Securities, at Value(1)		54,774			7,323,013			82,368			419,321
Foreign Currency, at Value		10			492			—			80
Cash		16			—			—			—
Receivable for Portfolio Shares Sold		4			25,068			22			26
Receivable for Investments Sold		839			16,538			25			5,827
Receivable for Delayed Delivery Commitments		493			—			1,596			18,647
Interest Receivable		129			—			557			3,407
Dividends Receivable		30			3,339			—			—
Unrealized Appreciation on Swap Agreements		55			—			95			1,509
Tax Reclaim Receivable		1			875			1			3
Due from Broker		260			—			39			246
Receivable for Variation Margin		174			—			—			—
Unrealized Appreciation on Foreign Currency Exchange Contracts		45			—			—			144
Receivable from Affiliates		4			67			13			68
Premium Paid on Open Swap Agreements		—			—			59			—
Due from Adviser		—			—			52			—
Other Assets		7			293			9			19
Total Assets		56,841			7,369,685			84,836			449,297
Liabilities:
Collateral on Securities Loaned, at Value		5,318			—			7,411			11,377
Payable for Delayed Delivery Commitments		2,056			—			7,349			33,447
Payable for Portfolio Shares Redeemed		6			7,011			185			32,797
Payable for Investments Purchased		938			14,383			619			6,278
Payable for Investment Advisory Fees		52			8,414			—			374
Unrealized Depreciation on Swap Agreements		73			—			579			3,252
Payable for Sub Transfer Agency Fees		12			2,056			55			74
Premium Received on Open Swap Agreements		17			—			257			992
Payable for Administration Fees		3			474			5			27
Due to Broker		—			—			—			289
Payable for Variation Margin		—			—			37			103
Payable for Trustees' Fees and Expenses		8			90			5			96
Payable for Professional Fees		15			33			24			48
Unrealized Depreciation on Foreign Currency Exchange Contracts		54			—			—			54
Payable for Custodian Fees		1			20			1			4
Payable for Transfer Agent Fees		2			11			1			3
Bank Overdraft		—			—			—	@		—	@
Payable for Shareholder Servicing Fees — Investment Class		1			—			—			—	@
Payable for Shareholder Servicing Fees — Class P		4			630			—	@		1
Other Liabilities		8			627			40			131
Total Liabilities		8,568			33,749			16,568			89,347
Net Assets	$	48,273		$	7,335,936		$	68,268		$	359,950
Net Assets Consist of:
Paid-in-Capital	$	56,413		$	5,687,169		$	107,186		$	866,227
Undistributed Net Investment Income		310			4,097			667			3,828
Accumulated Net Realized Loss		(10,389	)		(95,859	)		(40,306	)		(510,230	)
Unrealized Appreciation (Depreciation) on:
Investments		1,655			1,740,490			961			1,683
Investments in Affiliates		47			—			281			198
Futures Contracts		260			—			(37	)		(103	)
Swap Agreements		(18	)		—			(484	)		(1,743	)
Foreign Currency Exchange Contracts		(9	)		—			—			90
Foreign Currency Translations		4			39			—			—	@
Net Assets	$	48,273		$	7,335,936		$	68,268		$	359,950

The accompanying notes are an integral part of the financial statements.
55

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Assets and Liabilities (cont'd)

	Balanced Portfolio (000)		Mid Cap Growth Portfolio (000)		Core Fixed Income Portfolio (000)		Core Plus Fixed Income Portfolio (000)
CLASS I:
Net Assets	$	29,949	$	4,223,231	$	68,155	$	354,348
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		2,203,014		104,482,562		6,970,553		36,151,404
Net Asset Value, Offering and Redemption Price Per Share	$	13.59	$	40.42	$	9.78	$	9.80
CLASS P:
Net Assets	$	18,324	$	3,112,705	$	113	$	5,602
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		1,351,489		79,508,200		11,524		570,907
Net Asset Value, Offering and Redemption Price Per Share	$	13.56	$	39.15	$	9.82	$	9.81
(1) Including: Securities on Loan, at Value:	$	6,329	$	—	$	7,961	$	20,901

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
56

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Assets and Liabilities

	Investment Grade Fixed Income Portfolio (000)			Limited Duration Portfolio (000)			Long Duration Fixed Income Portfolio (000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost	$	77,445		$	180,259		$	19,307
Investments in Securities of Affiliated Issuers, at Cost		11,242			5,306			491
Total Investments in Securities, at Cost		88,687			185,565			19,798
Foreign Currency, at Cost		—			—			—	@
Investments in Securities of Unaffiliated Issuers, at Value(1)		79,216			183,083			20,119
Investments in Securities of Affiliated Issuers, at Value		11,734			5,350			493
Total Investments in Securities, at Value(1)		90,950			188,433			20,612
Foreign Currency, at Value		—			—			—	@
Cash		464			2			23
Interest Receivable		649			1,461			295
Receivable for Investments Sold		30			2,018			141
Receivable for Delayed Delivery Commitments		1,601			—			—
Unrealized Appreciation on Swap Agreements		107			217			98
Premium Paid on Open Swap Agreements		—			170			25
Receivable for Portfolio Shares Sold		80			57			—
Receivable from Affiliates		17			30			4
Due from Adviser		—			—			19
Tax Reclaim Receivable		—	@		5			2
Due from Broker		20			2			17
Other Assets		6			7			8
Total Assets		93,924			192,402			21,244
Liabilities:
Collateral on Securities Loaned, at Value		8,059			—			—
Payable for Delayed Delivery Commitments		7,858			—			—
Unrealized Depreciation on Swap Agreements		560			1,927			258
Payable for Investments Purchased		585			1,453			—	@
Premium Received on Open Swap Agreements		238			902			89
Payable for Portfolio Shares Redeemed		211			637			—
Payable for Investment Advisory Fees		72			141			—
Payable for Sub Transfer Agency Fees		25			111			—	@
Payable for Professional Fees		22			23			21
Payable for Trustees' Fees and Expenses		15			7			—	@
Payable for Administration Fees		5			13			2
Payable for Variation Margin		17			8			20
Payable for Custodian Fees		—	@		—	@		7
Payable for Transfer Agent Fees		3			1			1
Payable for Shareholder Servicing Fees — Class P		—	@		—	@		—	@
Payable for Shareholder Servicing Fees — Class H		—	@		—			—
Payable for Distribution and Shareholder Servicing Fees — Class L		2			—			—
Other Liabilities		29			109			7
Total Liabilities		17,701			5,332			405
Net Assets	$	76,223		$	187,070		$	20,839
Net Assets Consist of:
Paid-in-Capital	$	137,620		$	443,289		$	20,023
Undistributed Net Investment Income		594			584			322
Accumulated Net Realized Loss		(63,784	)		(257,953	)		(140	)
Unrealized Appreciation (Depreciation) on:
Investments		1,771			2,824			812
Investments in Affiliates		492			44			2
Futures Contracts		(17	)		(8	)		(20	)
Swap Agreements		(453	)		(1,710	)		(160	)
Foreign Currency Translations		—			—			—	@
Net Assets	$	76,223		$	187,070		$	20,839

The accompanying notes are an integral part of the financial statements.
57

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Assets and Liabilities (cont'd)

	Investment Grade Fixed Income Portfolio (000)			Limited Duration Portfolio (000)		Long Duration Fixed Income Portfolio (000)
CLASS I:
Net Assets	$	71,254		$	187,023	$	20,324
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		7,145,115			24,157,278		1,970,772
Net Asset Value, Offering and Redemption Price Per Share	$	9.97		$	7.74	$	10.31
CLASS P:
Net Assets	$	424		$	47	$	515
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		42,577			6,073		50,000
Net Asset Value, Offering and Redemption Price Per Share	$	9.97		$	7.74	$	10.30
CLASS H:
Net Assets	$	167		$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		16,754			—		—
Net Asset Value, Redemption Price Per Share	$	9.97		$	—	$	—
Maximum Sales Load		3.50	%
Maximum Sales Charge	$	0.36
Maximum Offering Price Per Share	$	10.33		$	—	$	—
CLASS L:
Net Assets	$	4,378		$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)		439,461			—		—
Net Asset Value, Offering and Redemption Price Per Share	$	9.96		$	—	$	—
(1) Including: Securities on Loan, at Value:	$	12,425		$	—	$	—

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
58

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2011

	Balanced Portfolio (000)			Mid Cap Growth Portfolio (000)			Core Fixed Income Portfolio (000)			Core Plus Fixed Income Portfolio (000)
Investment Income:
Dividends from Securities of Unaffiliated Issuers	$	247		$	31,416		$	—		$	—
Dividends from Securities of Affiliated Issuers		13			327			12			27
Interest from Securities of Unaffiliated Issuers		330			—			1,313			8,828
Interest from Securities of Affiliated Issuers		9			—			34			163
Less: Foreign Taxes Withheld		(—	)@		(708	)		(—	)@		—
Total Investment Income		599			31,035			1,359			9,018
Expenses:
Investment Advisory Fees (Note B)		106			16,059			134			800
Sub Transfer Agency Fees		11			2,535			111			152
Administration Fees (Note C)		19			2,569			29			171
Custodian Fees (Note F)		58			234			24			90
Shareholder Reporting Fees		2			344			18			55
Professional Fees		13			85			22			45
Registration Fees		14			68			12			21
Pricing Fees		26			3			14			26
Trustees' Fees and Expenses		1			83			2			8
Transfer Agency Fees (Note E)		9			58			4			11
Shareholder Servicing Fees — Investment Class (Note D)		4			—			—			7
Shareholder Servicing Fees — Class P (Note D)		22			3,478			—	@		7
Other Expenses		7			64			9			34
Expenses Before Non Operating Expenses		292			25,580			379			1,427
Bank Overdraft Expense		—			18			—			—
Total Expenses		292			25,598			379			1,427
Voluntary Waiver of Investment Advisory Fees (Note B)		—			—			(134	)		—
Expenses Reimbursed by Advisor (Note B)		—			—			(66	)		—
Rebate from Morgan Stanley Affiliates (Note G-2)		(3	)		(194	)		(1	)		(5	)
Net Expenses		289			25,404			178			1,422
Net Investment Income		310			5,631			1,181			7,596
Realized Gain (Loss):
Investments Sold		3,178			248,503			910			15,011
Investments in Affiliates		2			—			19			1,583
Foreign Currency Exchange Contracts		(35	)		—			—			(31	)
Foreign Currency Transactions		3			159			—			(2	)
Futures Contracts		450			—			368			(288	)
Swap Agreements		(37	)		—			(433	)		(2,299	)
Net Realized Gain		3,561			248,662			864			13,974
Change in Unrealized Appreciation (Depreciation):
Investments		(79	)		938,828			(3,082	)		(22,135	)
Investments in Affiliates		1			—			(21	)		(1,639	)
Foreign Currency Exchange Contracts		(5	)		—			—			90
Foreign Currency Translations		1			32			—			—	@
Futures Contracts		188			—			(62	)		(371	)
Swap Agreements		113			—			766			4,117
Net Change in Unrealized Appreciation (Depreciation)		219			938,860			(2,399	)		(19,938	)
Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)		3,780			1,187,522			(1,535	)		(5,964	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	4,090		$	1,193,153		$	(354	)	$	1,632

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
59

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2011

	Investment Grade Fixed Income Portfolio (000)			Limited Duration Portfolio (000)			Long Duration Fixed Income Portfolio (000)
Investment Income:
Dividends from Securities of Affiliated Issuers	$	12		$	1		$	1
Interest from Securities of Unaffiliated Issuers		1,532			2,670			732
Interest from Securities of Affiliated Issuers		55			62			10
Less: Foreign Taxes Withheld		(—	)@		—			—
Total Investment Income		1,599			2,733			743
Expenses:
Investment Advisory Fees (Note B)		150			294			53
Sub Transfer Agency Fees		2			102			—	@
Administration Fees (Note C)		32			79			11
Custodian Fees (Note F)		27			24			24
Shareholder Reporting Fees		11			36			—
Professional Fees		19			21			18
Registration Fees		21			9			5
Pricing Fees		14			11			19
Trustees' Fees and Expenses		1			4			1
Transfer Agency Fees (Note E)		8			4			3
Shareholder Servicing Fees — Class P (Note D)		1			—	@		1
Shareholder Servicing Fees — Class H (Note D)		—	@		—			—
Distribution and Shareholder Servicing Fees — Class L (Note D)		13			—			—
Other Expenses		13			17			4
Total Expenses		312			601			139
Voluntary Waiver of Investment Advisory Fees (Note B)		—			—			(53	)
Expenses Reimbursed by Advisor (Note B)		—			—			(15	)
Voluntary Waiver of Shareholder Servicing Fees — Class P (Note D)		(—	)@		—			—
Rebate from Morgan Stanley Affiliate (Note G-2)		(1	)		(1	)		(—	)@
Net Expenses		311			600			71
Net Investment Income		1,288			2,133			672
Realized Gain (Loss):
Investments Sold		857			1,112			425
Investments in Affiliates		24			74			31
Foreign Currency Transactions		—			—			(—	)@
Futures Contracts		258			(50	)		(235	)
Swap Agreements		(342	)		(688	)		(95	)
Net Realized Gain		797			448			126
Change in Unrealized Appreciation (Depreciation):
Investments		(3,107	)		(3,682	)		(2,779	)
Investments in Affiliates		(34	)		(89	)		(36	)
Foreign Currency Translations		—			—			—	@
Futures Contracts		(27	)		(47	)		(10	)
Swap Agreements		664			1,505			215
Net Change in Unrealized Appreciation (Depreciation)		(2,504	)		(2,313	)		(2,610	)
Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)		(1,707	)		(1,865	)		(2,484	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(419	)	$	268		$	(1,812	)

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
60

2011 Semi-Annual Report

March 31, 2011

Statements of Changes in Net Assets

	Balanced Portfolio						Mid Cap Growth Portfolio
	Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)			Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	310		$	815		$	5,631		$	11,374
Net Realized Gain (Loss)		3,561			(2,288	)		248,662			188,204
Net Change in Unrealized Appreciation (Depreciation)		219			6,588			938,860			777,428
Net Increase in Net Assets Resulting from Operations		4,090			5,115			1,193,153			977,006
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(191	)		(537	)		(9,653	)		(492	)
Investment Class:
Net Investment Income		(41	)*		(85	)		—			—
Class P:
Net Investment Income		(121	)		(296	)		(2,780	)		—
Total Distributions		(353	)		(918	)		(12,433	)		(492	)
Capital Share Transactions:(1)
Class I:
Subscribed		972			481			803,656			889,304
Distributions Reinvested		190			537			8,865			472
Conversion from Investment Class		5,798			—			—			—
Redeemed		(1,688	)		(26,425	)		(271,047	)		(420,200	)
Investment Class:
Subscribed		168	*		294			—			—
Distributions Reinvested		41	*		85			—			—
Conversion to Class I		(5,798	)		—			—			—
Redeemed		(73	)*		(105	)		—			—
Class P:
Subscribed		730			1,623			653,671			1,024,930
Distributions Reinvested		121			295			2,751			—
Redeemed		(1,095	)		(4,318	)		(520,238	)		(566,573	)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(634	)		(27,533	)		677,658			927,933
Total Increase (Decrease) in Net Assets		3,103			(23,336	)		1,858,378			1,904,447
Net Assets:
Beginning of Period		45,170			68,506			5,477,558			3,573,111
End of Period	$	48,273		$	45,170		$	7,335,936		$	5,477,558
Undistributed Net Investment Income Included in End of Period Net Assets	$	310		$	353		$	4,097		$	10,899
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		75			40			21,780			29,554
Shares Issued on Distributions Reinvested		15			45			238			17
Conversion from Investment Class		432			—			—			—
Shares Redeemed		(128	)		(2,184	)		(7,238	)		(14,261	)
Net Increase (Decrease) in Class I Shares Outstanding		394			(2,099	)		14,780			15,310
Investment Class:
Shares Subscribed		13	*		25			—			—
Shares Issued on Distributions Reinvested		3	*		7			—			—
Conversion to Class I		(433	)		—			—			—
Shares Redeemed		(5	)*		(8	)		—			—
Net Increase (Decrease) in Investment Class Shares Outstanding		(422	)		24			—			—
Class P:
Shares Subscribed		55			134			18,493			35,479
Shares Issued on Distributions Reinvested		9			25			76			—
Shares Redeemed		(84	)		(360	)		(14,904	)		(19,574	)
Net Increase (Decrease) in Class P Shares Outstanding		(20	)		(201	)		3,665			15,905

*  For the period October 1, 2010 through March 22, 2011.

The accompanying notes are an integral part of the financial statements.
61

2011 Semi-Annual Report

March 31, 2011

Statements of Changes in Net Assets

	Core Fixed Income Portfolio						Core Plus Fixed Income Portfolio
	Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)			Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	1,181		$	2,982		$	7,596		$	29,105
Net Realized Gain		864			3,011			13,974			37,667
Net Change in Unrealized Appreciation (Depreciation)		(2,399	)		754			(19,938	)		5,313
Net Increase (Decrease) in Net Assets Resulting from Operations		(354	)		6,747			1,632			72,085
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(1,039	)		(2,890	)		(8,674	)		(26,942	)
Investment Class:
Net Investment Income		—			—			(898	)*		(3,836	)
Class P:
Net Investment Income		(3	)		(6	)		(104	)		(197	)
Total Distributions		(1,042	)		(2,896	)		(9,676	)		(30,975	)
Capital Share Transactions:(1)
Class I:
Subscribed		1,652			5,258			23,154			124,974
Distributions Reinvested		1,038			2,881			8,655			26,764
Conversion from Investment Class		—			—			94			—
Redeemed		(8,795	)		(30,097	)		(104,964	)		(549,999	)
Investment Class:
Subscribed		—			—			—			26
Conversion to Class I		—			—			(94	)		—
Redeemed		—			—			(92,182	)*		(27,291	)
Class P:
Subscribed		—			—			783			779
Distributions Reinvested		3			6			104			196
Redeemed		(94	)		(21	)		(933	)		(2,028	)
Net Decrease in Net Assets Resulting from Capital Share Transactions		(6,196	)		(21,973	)		(165,383	)		(426,579	)
Total Decrease in Net Assets		(7,592	)		(18,122	)		(173,427	)		(385,469	)
Net Assets:
Beginning of Period		75,860			93,982			533,377			918,846
End of Period	$	68,268		$	75,860		$	359,950		$	533,377
Undistributed Net Investment Income Included in End of Period Net Assets	$	667		$	528		$	3,828		$	5,908
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		169			548			2,374			13,192
Shares Issued on Distributions Reinvested		106			303			887			2,836
Conversion from Investment Class		—			—			10			—
Shares Redeemed		(896	)		(3,142	)		(10,755	)		(57,130	)
Net Decrease in Class I Shares Outstanding		(621	)		(2,291	)		(7,484	)		(41,102	)
Investment Class:
Shares Subscribed		—			—			—			—	@@
Conversion to Class I		—			—			(9	)		—
Shares Redeemed		—			—			(9,331	)*		(2,839	)
Net Decrease in Investment Class Shares Outstanding		—			—			(9,340	)		(2,839	)
Class P:
Shares Subscribed		—			—			80			80
Shares Issued on Distributions Reinvested		—	@@		1			11			21
Shares Redeemed		(9	)		(2	)		(95	)		(212	)
Net Decrease in Class P Shares Outstanding		(9	)		(1	)		(4	)		(111	)

*  For the period October 1, 2010 through March 14, 2011.

@  Amount is less than $500.

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
62

2011 Semi-Annual Report

March 31, 2011

Statements of Changes in Net Assets

	Investment Grade Fixed Income Portfolio						Limited Duration Portfolio
	Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)			Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	1,288		$	3,231		$	2,133		$	5,691
Net Realized Gain		797			4,355			448			4,599
Net Change in Unrealized Appreciation (Depreciation)		(2,504	)		232			(2,313	)		(1,698	)
Net Increase (Decrease) in Net Assets Resulting from Operations		(419	)		7,818			268			8,592
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(1,145	)		(3,953	)		(1,536	)		(5,286	)
Paid-in-Capital		—			—			—			(161	)
Class P:
Net Investment Income		(8	)		(24	)		(—	)@		(2	)
Paid-in-Capital		—			—			—			(—	)@
Class H:
Net Investment Income		(2	)		(6	)		—			—
Class L:
Net Investment Income		(66	)		(200	)		—			—
Total Distributions		(1,221	)		(4,183	)		(1,536	)		(5,449	)
Capital Share Transactions:(1)
Class I:
Subscribed		2,176			6,110			6,900			13,427
Distributions Reinvested		1,097			3,815			1,535			5,446
Redeemed		(9,838	)		(74,847	)		(28,752	)		(76,202	)
Class P:
Subscribed		10			—	@		—			—
Distributions Reinvested		8			23			—	@		2
Redeemed		(172	)		(69	)		(5	)		(119	)
Class H:
Subscribed		—			—	@		—			—
Distributions Reinvested		1			3			—			—
Redeemed		(1	)		(2	)		—			—
Class L:
Subscribed		140			1,986			—			—
Distributions Reinvested		63			194			—			—
Redeemed		(1,226	)		(2,065	)		—			—
Net Decrease in Net Assets Resulting from Capital Share Transactions		(7,742	)		(64,852	)		(20,322	)		(57,446	)
Total Decrease in Net Assets		(9,382	)		(61,217	)		(21,590	)		(54,303	)
Net Assets:
Beginning of Period		85,605			146,822			208,660			262,963
End of Period	$	76,223		$	85,605		$	187,070		$	208,660
Undistributed (Distributions in Excess of) Net Investment Income Included in End of Period Net Assets	$	594		$	527		$	584		$	(13	)

@  Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
63

2011 Semi-Annual Report

March 31, 2011

Statements of Changes in Net Assets (cont'd)

	Investment Grade Fixed Income Portfolio						Limited Duration Portfolio
	Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)			Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		219			622			890			1,742
Shares Issued on Distributions Reinvested		110			392			198			708
Shares Redeemed		(988	)		(7,658	)		(3,709	)		(9,893	)
Net Decrease in Class I Shares Outstanding		(659	)		(6,644	)		(2,621	)		(7,443	)
Class P:
Shares Subscribed		1			—	@@		—			—
Shares Issued on Distributions Reinvested		1			2			—	@@		—	@@
Shares Redeemed		(17	)		(7	)		(1	)		(16	)
Net Decrease in Class P Shares Outstanding		(15	)		(5	)		(1	)		(16	)
Class H:
Shares Subscribed		—			—	@@		—			—
Shares Issued on Distributions Reinvested		—	@@		—	@@		—			—
Shares Redeemed		(—	)@@		(—	)@@		—			—
Net Increase in Class H Shares Outstanding		—	@@		—	@@		—			—
Class L:
Shares Subscribed		14			202			—			—
Shares Issued on Distributions Reinvested		6			20			—			—
Shares Redeemed		(123	)		(210	)		—			—
Net Increase (Decrease) in Class L Shares Outstanding		(103	)		12			—			—

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
64

2011 Semi-Annual Report

March 31, 2011

Statements of Changes in Net Assets

	Long Duration Fixed Income Portfolio
	Six Months Ended March 31, 2011 (unaudited) (000)			Year Ended September 30, 2010 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	672		$	1,525
Net Realized Gain		126			1,608
Net Change in Unrealized Appreciation (Depreciation)		(2,610	)		675
Net Increase (Decrease) in Net Assets Resulting from Operations		(1,812	)		3,808
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(634	)		(1,518	)
Net Realized Gain		(1,496	)		(1,612	)
Class P:
Net Investment Income		(11	)		(26	)
Net Realized Gain		(27	)		(30	)
Total Distributions		(2,168	)		(3,186	)
Capital Share Transactions:(1)
Class I:
Subscribed		4			7
Distributions Reinvested		236			326
Redeemed		(8,361	)		—
Class P:
Subscribed		—			—
Redeemed		—			—
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(8,121	)		333
Total Increase (Decrease) in Net Assets		(12,101	)		955
Net Assets:
Beginning of Period		32,940			31,985
End of Period	$	20,839		$	32,940
Undistributed Net Investment Income Included in End of Period Net Assets	$	322		$	295
(1) Capital Share Transactions:
Class I:
Shares Subscribed		—	@@		—	@@
Shares Issued on Distributions Reinvested		23			30
Shares Redeemed		(810	)		—
Net Increase (Decrease) in Class I Shares Outstanding		(787	)		30
Class P:
Shares Subscribed		—			—
Shares Redeemed		—			—
Net (Decrease) Increase in Class P Shares Outstanding		—			—

@@  Amount is less than 500 shares.

The accompanying notes are an integral part of the financial statements.
65

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Balanced Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	12.55		$	11.66		$	11.87		$	14.69		$	12.63		$	11.95
Income (Loss) from Investment Operations:
Net Investment Income†		0.09			0.21			0.16			0.38			0.32			0.25
Net Realized and Unrealized Gain (Loss) on Investments		1.06			0.91			0.17			(2.84	)		2.00			0.72
Total from Investment Operations		1.15			1.12			0.33			(2.46	)		2.32			0.97
Distributions from and/or in Excess of:
Net Investment Income		(0.11	)		(0.23	)		(0.54	)		(0.36	)		(0.26	)		(0.29	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	13.59		$	12.55		$	11.66		$	11.87		$	14.69		$	12.63
Total Return++		9.09	%#		9.77	%		3.45	%**		(17.02	)%		18.57	%		8.21	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	29,949		$	22,706		$	45,567		$	40,799		$	310,886		$	256,754
Ratio of Expenses to Average Net Assets (1)		1.12	%*+††		0.89	%+††		0.67	%+		0.57	%+		0.61	%+		0.60	%
Ratio of Net Investment Income to Average Net Assets (1)		1.43	%*+††		1.73	%+††		1.56	%+		2.66	%+		2.35	%+		2.02	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.01	%		0.04	%		0.05	%		0.00	%§		N/A
Portfolio Turnover Rate		83	%#		176	%		171	%		148	%		60	%		71	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			N/A			0.58	%+		N/A			N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			2.65	%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

**  Performance was positively impacted by approximately 0.79% due to the receipt of proceeds from the settlements of class action suits involving primarily two of the Portfolio's past holdings. This was a one-time settlement, and as a result, the impact on the NAV and consequently the performance will not likely be repeated in the future. Had these settlements not occurred, the total return for Class I shares would have been approximately 2.66%.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
66

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Balanced Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	12.52		$	11.63		$	11.84		$	14.66		$	12.61		$	11.93
Income (Loss) from Investment Operations:
Net Investment Income†		0.07			0.18			0.13			0.32			0.29			0.22
Net Realized and Unrealized Gain (Loss) on Investments		1.06			0.91			0.17			(2.81	)		1.98			0.72
Total from Investment Operations		1.13			1.09			0.30			(2.49	)		2.27			0.94
Distributions from and/or in Excess of:
Net Investment Income		(0.09	)		(0.20	)		(0.51	)		(0.33	)		(0.22	)		(0.26	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	13.56		$	12.52		$	11.63		$	11.84		$	14.66		$	12.61
Total Return++		8.98	%#		9.52	%		3.15	%**		(17.26	)%		18.23	%		7.96	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	18,324		$	17,169		$	18,290		$	32,398		$	31,183		$	36,870
Ratio of Expenses to Average Net Assets (1)		1.37	%*+††		1.14	%+††		1.03	%+		0.90	%+		0.87	%+		0.85	%
Ratio of Net Investment Income to Average Net Assets (1)		1.18	%*+††		1.48	%+††		1.27	%+		2.35	%+		2.11	%+		1.77	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.01	%		0.04	%		0.06	%		0.00	%§		N/A
Portfolio Turnover Rate		83	%#		176	%		171	%		148	%		60	%		71	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			1.08	%+		0.91	%+		N/A			N/A
Net Investment Income to Average Net Assets		N/A			N/A			1.22	%+		2.34	%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

**  Performance was positively impacted by approximately 0.80% due to the receipt of proceeds from the settlements of class action suits involving primarily two of the Portfolio's past holdings. This was a one-time settlement, and as a result, the impact on the NAV and consequently the performance will not likely be repeated in the future. Had these settlements not occurred, the total return for Class P shares would have been approximately 2.35%.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††�� Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
67

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Mid Cap Growth Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	33.58		$	26.96		$	23.99		$	33.68		$	25.21		$	23.54
Income (Loss) from Investment Operations:
Net Investment Income†		0.05			0.11			0.03			0.05	^		0.17			0.09
Net Realized and Unrealized Gain (Loss) on Investments		6.89			6.52			2.94			(9.58	)		8.42			1.58
Total from Investment Operations		6.94			6.63			2.97			(9.53	)		8.59			1.67
Distributions from and/or in Excess of:
Net Investment Income		(0.10	)		(0.01	)		—			(0.16	)		(0.12	)		—
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	40.42		$	33.58		$	26.96		$	23.99		$	33.68		$	25.21
Total Return++		20.69	%#		24.58	%		12.38	%**		(28.42	)%^		34.24	%		7.05	%¥
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	4,223,231		$	3,012,006		$	2,005,809		$	1,609,506		$	1,647,326		$	1,001,395
Ratio of Expenses to Average Net Assets		0.68	%*+††		0.68	%+††		0.69	%+		0.63	%+		0.63	%+		0.63	%
Ratio of Net Investment Income to Average Net Assets		0.29	%*+††		0.38	%+††		0.16	%+		0.17	%+		0.57	%+		0.37	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.01	%		0.01	%		0.00	%§		0.00	%§		N/A
Portfolio Turnover Rate		17	%#		23	%		27	%		37	%		64	%		65	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

**  Performance was positively impacted by approximately 0.04% due to the receipt of proceeds from the settlements of class action suits involving primarily two of the Portfolio's past holdings. This was a one-time settlement, and as a result, the impact on the NAV and consequently the performance will not likely be repeated in the future. Had these settlements not occurred, the total return for Class I shares would have been approximately 12.34%.

^  During the year, the Portfolio received a regulatory settlement from an unaffiliated third party, which had an impact of less than $0.005 on net investment income per share and less than 0.005% on total returns for Class I.

¥  The Adviser fully reimbursed the Portfolio for losses incurred resulting from the disposal of investments in violation of restrictions. The impact of this reimbursement is not reflected in the total return shown above. With this reimbursement, the total return for Class I would have been 7.09%.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
68

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Mid Cap Growth Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	32.51		$	26.15		$	23.33		$	32.78		$	24.54		$	22.97
Income (Loss) from Investment Operations:
Net Investment Income (Loss)†		0.01			0.04			(0.02	)		(0.02	)^		0.09			0.03
Net Realized and Unrealized Gain (Loss) on Investments		6.67			6.32			2.84			(9.34	)		8.20			1.54
Total from Investment Operations		6.68			6.36			2.82			(9.36	)		8.29			1.57
Distributions from and/or in Excess of:
Net Investment Income		(0.04	)		—			—			(0.09	)		(0.05	)		—
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	39.15		$	32.51		$	26.15		$	23.33		$	32.78		$	24.54
Total Return++		20.55	%#		24.32	%		12.04	%**		(28.59	)%^		33.89	%		6.79	%¥
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,112,705		$	2,465,552		$	1,567,302		$	1,236,945		$	1,520,096		$	1,020,611
Ratio of Expenses to Average Net Assets (1)		0.93	%*+††		0.93	%+††		0.96	%+		0.88	%+		0.88	%+		0.88	%
Ratio of Net Investment Income (Loss) to Average Net Assets (1)		0.04	%*+††		0.13	%+††		(0.11	)%+		(0.07	)%+		0.31	%+		0.10	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.01	%		0.01	%		0.00	%§		0.00	%§		N/A
Portfolio Turnover Rate		17	%#		23	%		27	%		37	%		64	%		65	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			N/A			0.89	%+		N/A			N/A
Net Investment Loss to Average Net Assets		N/A			N/A			N/A			(0.08	)%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

**  Performance was positively impacted by approximately 0.04% due to the receipt of proceeds from the settlements of class action suits involving primarily two of the Portfolio's past holdings. This was a one-time settlement, and as a result, the impact on the NAV and consequently the performance will not likely be repeated in the future. Had these settlements not occurred, the total return for Class P shares would have been approximately 12.00%.

^  During the year, the Portfolio received a regulatory settlement from an unaffiliated third party, which had an impact of less than $0.005 on net investment income per share and less than 0.005% on total returns for Class P.

¥  The Adviser fully reimbursed the Portfolios for losses incurred resulting from the disposal of investments in violation of restrictions. The impact of this reimbursement is not reflected in the total returns shown above. With this reimbursement, the total return for Class P would have been 6.84%.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income (Loss) reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
69

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Core Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	9.96		$	9.49		$	9.18		$	10.77		$	10.80		$	11.09
Income (Loss) from Investment Operations:
Net Investment Income†		0.16			0.34			0.34			0.53			0.52			0.40
Net Realized and Unrealized Gain (Loss) on Investments		(0.20	)		0.45			0.57			(1.60	)		(0.02	)		0.00	‡
Total from Investment Operations		(0.04	)		0.79			0.91			(1.07	)		0.50			0.40
Distributions from and/or in Excess of:
Net Investment Income		(0.14	)		(0.32	)		(0.60	)		(0.52	)		(0.53	)		(0.57	)
Net Realized Gain		—			—			—			—			—			(0.12	)
Total Distributions		(0.14	)		(0.32	)		(0.60	)		(0.52	)		(0.53	)		(0.69	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.78		$	9.96		$	9.49		$	9.18		$	10.77		$	10.80
Total Return++		(0.40	)%#		8.57	%		10.41	%		(10.40	)%		4.76	%		3.79	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	68,155		$	75,651		$	93,768		$	186,305		$	308,111		$	299,997
Ratio of Expenses to Average Net Assets (1)		0.50	%*+††		0.50	%+††		0.50	%+		0.49	%+		0.49	%+		0.50	%
Ratio of Net Investment Income to Average Net Assets (1)		3.31	%*+††		3.58	%+††		3.73	%+		5.11	%+		4.83	%+		3.71	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%		0.01	%		N/A
Portfolio Turnover Rate		91	%#		261	%		437	%		306	%		107	%		139	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.06	%*††		0.67	%††		0.61	%+		0.53	%+		0.54	%+		0.56	%
Net Investment Income to Average Net Assets		2.75	%*††		3.41	%††		3.62	%+		5.07	%+		4.78	%+		3.65	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
70

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Core Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	10.01		$	9.53		$	9.12		$	10.71		$	10.74		$	11.03
Income (Loss) from Investment Operations:
Net Investment Income†		0.15			0.32			0.31			0.50			0.49			0.37
Net Realized and Unrealized Gain (Loss) on Investments		(0.21	)		0.46			0.58			(1.60	)		(0.02	)		0.01
Total from Investment Operations		(0.06	)		0.78			0.89			(1.10	)		0.47			0.38
Distributions from and/or in Excess of:
Net Investment Income		(0.13	)		(0.30	)		(0.48	)		(0.49	)		(0.50	)		(0.55	)
Net Realized Gain		—			—			—			—			—			(0.12	)
Total Distributions		(0.13	)		(0.30	)		(0.48	)		(0.49	)		(0.50	)		(0.67	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.82		$	10.01		$	9.53		$	9.12		$	10.71		$	10.74
Total Return++		(0.62	)%#		8.47	%		10.10	%		(10.68	)%		4.53	%		3.55	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	113		$	209		$	214		$	487		$	11,805		$	9,812
Ratio of Expenses to Average Net Assets (1)		0.75	%*+††		0.75	%+††		0.75	%+		0.74	%+		0.74	%+		0.75	%
Ratio of Net Investment Income to Average Net Assets (1)		3.06	%*+††		3.33	%+††		3.48	%+		4.87	%+		4.58	%+		3.43	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%		0.01	%		N/A
Portfolio Turnover Rate		91	%#		261	%		437	%		306	%		107	%		139	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.31	%*††		0.92	%††		0.86	%+		0.78	%+		0.79	%+		0.81	%
Net Investment Income to Average Net Assets		2.50	%*††		3.16	%††		3.37	%+		4.84	%+		4.54	%+		3.37	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
71

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Core Plus Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	9.96		$	9.41		$	9.41		$	11.40		$	11.52		$	11.69
Income (Loss) from Investment Operations:
Net Investment Income†		0.17			0.34			0.41			0.66			0.58			0.48
Net Realized and Unrealized Gain (Loss) on Investments		(0.13	)		0.57			0.27			(2.10	)		(0.05	)		(0.02	)
Total from Investment Operations		0.04			0.91			0.68			(1.44	)		0.53			0.46
Distributions from and/or in Excess of:
Net Investment Income		(0.20	)		(0.36	)		(0.68	)		(0.55	)		(0.65	)		(0.63	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.80		$	9.96		$	9.41		$	9.41		$	11.40		$	11.52
Total Return++		0.42	%#		10.02	%		7.56	%		(13.07	)%		4.77	%		4.13	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	354,348		$	434,657		$	797,788		$	1,210,286		$	2,367,043		$	2,314,052
Ratio of Expenses to Average Net Assets (1)		0.66	%*+††		0.51	%+††		0.49	%+		0.45	%+		0.44	%+		0.44	%
Ratio of Net Investment Income to Average Net Assets (1)		3.57	%*+††		3.53	%+††		4.56	%+		6.13	%+		5.10	%+		4.24	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.01	%		0.00	%§		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		89	%#		270	%		402	%		320	%		139	%		142	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			0.50	%+		0.45	%+		N/A			N/A
Net Investment Income to Average Net Assets		N/A			N/A			4.55	%+		6.13	%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
72

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Core Plus Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	9.97		$	9.40		$	9.40		$	11.38		$	11.50		$	11.67
Income (Loss) from Investment Operations:
Net Investment Income†		0.16			0.31			0.41			0.63			0.55			0.46
Net Realized and Unrealized Gain (Loss) on Investments		(0.13	)		0.57			0.24			(2.09	)		(0.05	)		(0.03	)
Total from Investment Operations		0.03			0.88			0.65			(1.46	)		0.50			0.43
Distributions from and/or in Excess of:
Net Investment Income		(0.19	)		(0.31	)		(0.65	)		(0.52	)		(0.62	)		(0.60	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.81		$	9.97		$	9.40		$	9.40		$	11.38		$	11.50
Total Return++		0.29	%#		9.73	%		7.26	%		(13.23	)%		4.42	%		3.97	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	5,602		$	5,732		$	6,442		$	97,823		$	137,733		$	126,683
Ratio of Expenses to Average Net Assets (1)		0.91	%*+††		0.76	%+††		0.73	%+		0.70	%+		0.69	%+		0.69	%
Ratio of Net Investment Income to Average Net Assets (1)		3.32	%*+††		3.28	%+††		4.56	%+		5.87	%+		4.84	%+		4.00	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.01	%		0.00	%§		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		89	%#		270	%		402	%		320	%		139	%		142	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			N/A			0.70	%+		N/A			N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			5.87	%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
73

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Investment Grade Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	10.17		$	9.75		$	9.61		$	11.15		$	11.22		$	11.42
Income (Loss) from Investment Operations:
Net Investment Income†		0.16			0.33			0.31			0.55			0.52			0.41
Net Realized and Unrealized Gain (Loss) on Investments		(0.21	)		0.49			0.38			(1.57	)		0.01			(0.00	)‡
Total from Investment Operations		(0.05	)		0.82			0.69			(1.02	)		0.53			0.41
Distributions from and/or in Excess of:
Net Investment Income		(0.15	)		(0.40	)		(0.55	)		(0.52	)		(0.60	)		(0.56	)
Net Realized Gain		—			—			—			—			—			(0.05	)
Total Distributions		(0.15	)		(0.40	)		(0.55	)		(0.52	)		(0.60	)		(0.61	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.97		$	10.17		$	9.75		$	9.61		$	11.15		$	11.22
Total Return++		(0.49	)%#		8.65	%		7.46	%		(9.37	)%		4.82	%		3.65	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	71,254		$	79,337		$	140,890		$	316,894		$	519,504		$	525,680
Ratio of Expenses to Average Net Assets		0.74	%*+††		0.76	%+††		0.56	%+		0.52	%+		0.50	%+		0.50	%
Ratio of Net Investment Income to Average Net Assets		3.25	%*+††		3.36	%+††		3.30	%+		5.18	%+		4.74	%+		3.66	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		75	%#		277	%		545	%		325	%		124	%		154	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
74

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Investment Grade Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	10.16		$	9.74		$	9.60		$	11.14		$	11.21		$	11.42
Income (Loss) from Investment Operations:
Net Investment Income†		0.15			0.31			0.30			0.53			0.51			0.39
Net Realized and Unrealized Gain (Loss) on Investments		(0.20	)		0.49			0.38			(1.57	)		0.00	‡		(0.01	)
Total from Investment Operations		(0.05	)		0.80			0.68			(1.04	)		0.51			0.38
Distributions from and/or in Excess of:
Net Investment Income		(0.14	)		(0.38	)		(0.54	)		(0.50	)		(0.58	)		(0.54	)
Net Realized Gain		—			—			—			—			—			(0.05	)
Total Distributions		(0.14	)		(0.38	)		(0.54	)		(0.50	)		(0.58	)		(0.59	)
Redemption Fees		—			—			0.00	‡		0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	9.97		$	10.16		$	9.74		$	9.60		$	11.14		$	11.21
Total Return++		(0.47	)%#		8.50	%		7.44	%		(9.60	)%		4.56	%		3.59	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	424		$	590		$	611		$	842		$	1,177		$	778
Ratio of Expenses to Average Net Assets (1)		0.89	%*+††		0.91	%+††		0.69	%+		0.67	%+		0.65	%+		0.65	%
Ratio of Net Investment Income to Average Net Assets (1)		3.10	%*+††		3.21	%+††		3.19	%+		5.01	%+		4.59	%+		3.46	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		75	%#		277	%		545	%		325	%		124	%		154	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		0.99	%*††		1.01	%††		0.79	%+		0.77	%+		0.75	%+		0.75	%
Net Investment Income to Average Net Assets		3.00	%*††		3.11	%††		3.09	%+		4.91	%+		4.49	%+		3.36	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
75

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Investment Grade Fixed Income Portfolio

	Class H
	Six Months Ended March 31, 2011			Year Ended September 30,						Period from January 2, 2008^ to
Selected Per Share Data and Ratios	(unaudited)			2010			2009			September 30, 2008
Net Asset Value, Beginning of Period	$	10.16		$	9.74		$	9.53		$	11.15
Income (Loss) from Investment Operations:
Net Investment Income†		0.15			0.31			0.28			0.21
Net Realized and Unrealized Gain (Loss) on Investments		(0.20	)		0.48			0.39			(1.68	)
Total from Investment Operations		(0.05	)		0.79			0.67			(1.47	)
Distributions from and/or in Excess of:
Net Investment Income		(0.14	)		(0.37	)		(0.46	)		(0.15	)
Redemption Fees		—			—			0.00	‡		—
Net Asset Value, End of Period	$	9.97		$	10.16		$	9.74		$	9.53
Total Return++		(0.52	)%#		8.39	%		7.21	%		(13.21	)%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	167		$	170		$	162		$	85
Ratio of Expenses to Average Net Assets		0.99	%*+††		1.01	%+††		0.81	%+		2.98	%*+
Ratio of Net Investment Income to Average Net Assets		3.00	%*+††		3.11	%+††		2.94	%+		2.71	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%*
Portfolio Turnover Rate		75	%#		277	%		545	%		325	%#

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value which does not reflect sales charges, if applicable, as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

§  Amount is less than 0.005%.

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

The accompanying notes are an integral part of the financial statements.
76

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Investment Grade Fixed Income Portfolio

	Class L
	Six Months Ended March 31, 2011			Year Ended September 30,						Period from June 16, 2008^ to
Selected Per Share Data and Ratios	(unaudited)			2010			2009			September 30, 2008
Net Asset Value, Beginning of Period	$	10.15		$	9.74		$	9.63		$	10.12
Income (Loss) from Investment Operations:
Net Investment Income†		0.14			0.28			0.24			0.12
Net Realized and Unrealized Gain (Loss) on Investments		(0.21	)		0.48			0.41			(0.60	)
Total from Investment Operations		(0.07	)		0.76			0.65			(0.48	)
Distributions from and/or in Excess of:
Net Investment Income		(0.12	)		(0.35	)		(0.54	)		(0.01	)
Redemption Fees		—			—			0.00	‡		—
Net Asset Value, End of Period	$	9.96		$	10.15		$	9.74		$	9.63
Total Return++		(0.75	)%#		8.15	%		7.08	%		(4.73	)%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	4,378		$	5,508		$	5,159		$	58
Ratio of Expenses to Average Net Assets		1.24	%*+††		1.26	%+††		1.06	%+		1.15	%*+
Ratio of Net Investment Income to Average Net Assets		2.75	%*+††		2.86	%+††		2.58	%+		4.34	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.01	%		0.01	%*
Portfolio Turnover Rate		75	%#		277	%		545	%		325	%#

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

§  Amount is less than 0.005%.

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

The accompanying notes are an integral part of the financial statements.
77

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Limited Duration Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			2006
Net Asset Value, Beginning of Period	$	7.79		$	7.68		$	8.00		$	10.24		$	10.34		$	10.34
Income (Loss) from Investment Operations:
Net Investment Income†		0.08			0.18			0.24			0.49			0.51			0.41
Net Realized and Unrealized Gain (Loss) on Investments		(0.07	)		0.10			(0.12	)		(2.22	)		(0.08	)		(0.02	)
Total from Investment Operations		0.01			0.28			0.12			(1.73	)		0.43			0.39
Distributions from and/or in Excess of:
Net Investment Income		(0.06	)		(0.16	)		(0.44	)		(0.51	)		(0.53	)		(0.39	)
Paid-in-Capital		—			(0.01	)		—			—			—			—
Total Distributions		(0.06	)		(0.17	)		(0.44	)		(0.51	)		(0.53	)		(0.39	)
Redemption Fees		—			—			0.00	‡		—			0.00	‡		—
Net Asset Value, End of Period	$	7.74		$	7.79		$	7.68		$	8.00		$	10.24		$	10.34
Total Return++		0.13	%#		3.74	%		1.77	%		(17.57	)%		4.26	%		3.88	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	187,023		$	208,608		$	262,794		$	568,156		$	1,058,151		$	1,077,967
Ratio of Expenses to Average Net Assets (1)		0.61	%*+††		0.55	%+††		0.45	%+		0.43	%+		0.45	%+		0.42	%
Ratio of Net Investment Income to Average Net Assets (1)		2.18	%*+††		2.39	%+††		3.16	%+		5.22	%+		4.94	%+		3.96	%
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		18	%#		95	%		110	%		20	%		56	%		64	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		N/A			N/A			N/A			0.43	%+		N/A			N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			5.22	%+		N/A			N/A

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

§  Amount is less than 0.005%.

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

The accompanying notes are an integral part of the financial statements.
78

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Limited Duration Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,									Period from September 28, 2007^ to
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			September 30, 2007
Net Asset Value, Beginning of Period	$	7.79		$	7.68		$	8.00		$	10.24		$	10.24
Income (Loss) from Investment Operations:
Net Investment Income†		0.07			0.17			0.22			0.47			0.00	‡
Net Realized and Unrealized Gain (Loss) on Investments		(0.07	)		0.09			(0.12	)		(2.23	)		(0.00	)‡
Total from Investment Operations		0.00	‡		0.26			0.10			(1.76	)		0.00	‡
Distributions from and/or in Excess of:
Net Investment Income		(0.05	)		(0.15	)		(0.42	)		(0.48	)		—
Redemption Fees		—			—			0.00	‡		—			0.00	‡
Net Asset Value, End of Period	$	7.74		$	7.79		$	7.68		$	8.00		$	10.24
Total Return++		0.00	%#§		3.48	%		1.52	%		(17.77	)%		—
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	47		$	52		$	169		$	294		$	1,020
Ratio of Expenses to Average Net Assets		0.86	%*+††		0.80	%+††		0.70	%+		0.68	%+		0.59	%+*
Ratio of Net Investment Income to Average Net Assets		1.93	%*+††		2.14	%+††		2.87	%+		4.95	%+		5.38	%+*
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.01	%		0.06	%*

Portfolio Turnover Rate 18 %# 95 % 110 % 20 % 56 %#

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

++  Calculated based on the net asset value as of the last business day of the period.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

#  Not Annualized.

§  Amount is less than 0.005%.

*  Annualized.

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

The accompanying notes are an integral part of the financial statements.
79

2011 Semi-Annual Report

March 31, 2011

Financial Highlights

Long Duration Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2011			Year Ended September 30,												Period from July 21, 2006^ to
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			September 30, 2006
Net Asset Value, Beginning of Period	$	11.73		$	11.52		$	9.93		$	10.33		$	10.48		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.25			0.55			0.49			0.46			0.49			0.09
Net Realized and Unrealized Gain (Loss) on Investments		(0.90	)		0.80			1.66			(0.37	)		(0.18	)		0.39
Total from Investment Operations		(0.65	)		1.35			2.15			0.09			0.31			0.48
Distributions from and/or in Excess of:
Net Investment Income		(0.23	)		(0.55	)		(0.56	)		(0.49	)		(0.43	)		—
Net Realized Gain		(0.54	)		(0.59	)		—			—			(0.03	)		—
Total Distributions		(0.77	)		(1.14	)		(0.56	)		(0.49	)		(0.46	)		—
Net Asset Value, End of Period	$	10.31		$	11.73		$	11.52		$	9.93		$	10.33		$	10.48
Total Return++		(5.51	)%#		13.09	%		22.19	%		0.87	%		3.06	%		4.80	%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	20,324		$	32,354		$	31,410		$	27,438		$	25,297		$	25,677
Ratio of Expenses to Average Net Assets (1)		0.50	%*+††		0.50	%+††		0.50	%+		0.49	%+		0.50	%+		0.50	%*
Ratio of Net Investment Income to Average Net Assets (1)		4.77	%*+††		4.98	%+††		4.68	%+		4.44	%+		4.73	%+		4.66	%*
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		38	%#		90	%		80	%		63	%		49	%		7	%#
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		0.98	%*††		0.79	%††		0.80	%+		0.75	%+		0.94	%+		1.52	%*
Net Investment Income to Average Net Assets		4.29	%*††		4.69	%††		4.38	%+		4.18	%+		4.29	%+		3.64	%*

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
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Financial Highlights

Long Duration Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2011			Year Ended September 30,												Period from July 21, 2006^ to
Selected Per Share Data and Ratios	(unaudited)			2010			2009			2008			2007			September 30, 2006
Net Asset Value, Beginning of Period	$	11.72		$	11.51		$	9.92		$	10.32		$	10.48		$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.24			0.51			0.46			0.44			0.46			0.09
Net Realized and Unrealized Gain (Loss) on Investments		(0.90	)		0.82			1.67			(0.37	)		(0.19	)		0.39
Total from Investment Operations		(0.66	)		1.33			2.13			0.07			0.27			0.48
Distributions from and/or in Excess of:
Net Investment Income		(0.22	)		(0.53	)		(0.54	)		(0.47	)		(0.40	)		—
Net Realized Gain		(0.54	)		(0.59	)		—			—			(0.03	)		—
Total Distributions		(0.76	)		(1.12	)		(0.54	)		(0.47	)		(0.43	)		—
Net Asset Value, End of Period	$	10.30		$	11.72		$	11.51		$	9.92		$	10.32		$	10.48
Total Return++		(5.64	)%#		12.81	%		21.91	%		0.61	%		2.72	%		4.80	%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	515		$	586		$	575		$	496		$	516		$	524
Ratio of Expenses to Average Net Assets (1)		0.75	%*+††		0.75	%+††		0.75	%+		0.74	%+		0.75	%+		0.75	%*
Ratio of Net Investment Income to Average Net Assets (1)		4.52	%*+††		4.73	%+††		4.43	%+		4.18	%+		4.48	%+		4.40	%*
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.01	%		0.00	%§		N/A
Portfolio Turnover Rate		38	%#		90	%		80	%		63	%		49	%		7	%#
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.23	%*††		1.04	%††		1.05	%+		1.00	%+		1.19	%+		1.77	%*
Net Investment Income to Average Net Assets		4.04	%*††		4.44	%††		4.13	%+		3.92	%+		4.04	%+		3.39	%*

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

++  Calculated based on the net asset value as of the last business day of the period.

#  Not Annualized.

*  Annualized.

+  The Ratios of Expenses and Net Investment Income reflect the rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as "Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets."

††  Reflects overall Portfolio ratios for investment income and non-class specific expenses.

§  Amount is less than 0.005%.

The accompanying notes are an integral part of the financial statements.
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Notes to Financial Statements

Morgan Stanley Institutional Fund Trust ("MSIFT" or the "Fund") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Fund is comprised of seven separate, active portfolios (individually referred to as a "Portfolio", collectively as the "Portfolios"). All Portfolios are considered diversified for purposes of the 1940 Act.

The Fund offers up to four different classes of shares for certain Portfolios — Class I shares, Class P shares, Class H shares and Class L shares. Each class of shares has identical voting rights (except shareholders of each Class have exclusive voting rights regarding any matter relating solely to that particular Class of shares), dividend, liquidation and other rights, except each class bears different shareholder service fees as described in Note D.

The Fund has suspended offering shares of the Mid Cap Growth Portfolio to new investors. The Fund will continue to offer shares of the Portfolio to existing shareholders. The Fund may recommence offering shares of the Portfolio to new investors in the future.

The Board of Trustees of the Fund approved closing the Investment Class of the Balanced Portfolio and the Core Plus Fixed Income Portfolio. Consequently, the Portfolios ceased offering Investment Class shares at the close of business on March 25, 2011.

A. Significant Accounting Policies: The following significant accounting policies are in conformity with U.S. generally accepted accounting principles. Such policies are consistently followed by the Portfolio in the preparation of its financial statements. U.S. generally accepted accounting principles may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

1.  Security Valuation: Bonds and other fixed income securities may be valued according to the broadest and most representative market. In addition, bonds and other fixed income securities may be valued on the basis of prices provided by a pricing service. The prices provided by a pricing service take into account broker dealer market price quotations for institutional size trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific securities. Short-term debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, unless the Board of Trustees (the "Trustees") determines such valuation does not reflect the securities' market value, in which case these securities will be valued at their fair value as determined in good faith under procedures adopted by the Trustees. Equity securities listed on a U.S. exchange are valued at the latest quoted sales price on the valuation date. Equity securities listed or traded on NASDAQ, for which market quotations are available, are valued at the NASDAQ Official Closing Price. Securities listed on a foreign exchange are valued at their closing price, except as noted below. Unlisted and listed equity securities not traded on the valuation date, for which market quotations are readily available, are valued at the mean between the current bid and asked prices obtained from reputable brokers.

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Trustees, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

Most foreign markets close before the New York Stock Exchange ("NYSE"). Occasionally, developments that could affect 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 these developments are expected to materially affect the value of the securities, the valuations may be adjusted to reflect the estimated fair value as of the close of the NYSE, as determined in good faith under procedures established by the Trustees.

2.  Foreign Currency Translation and Foreign Investments: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the bid prices of such currencies against U.S. dollars quoted by a bank. Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from foreign currency exchange contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Portfolio's books and the U.S. dollar equivalent amounts actually received or paid.

Certain Portfolios' net assets include foreign denominated securities and currency. The net assets of these Portfolios are presented at the foreign exchange rates and market values at the close of the period. The Portfolios do not isolate that

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Notes to Financial Statements (cont'd)

portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of the securities held at period end. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities sold during the period. Accordingly, the components of realized and unrealized foreign currency gains (losses) representing foreign exchange changes on investments is included in the reported net realized and unrealized gains (losses) on investment transactions and balances. Changes in currency exchange rates will affect the value of and investment income from such securities and currency.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, fluctuations of exchange rates in relation to the U.S. dollar, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

3.  Derivatives: Certain Portfolios used derivative instruments for a variety of purposes, including hedging, risk management, portfolio management or to earn income. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument. A derivative instrument often has risks similar to its underlying instrument and may have additional risks, including imperfect correlation between the value of the derivative and the underlying instrument, risks of default by the other party to certain transactions, magnification of losses incurred due to changes in the market value of the securities, instruments, indices or interest rates to which they relate, and risks that the transactions may not be liquid. The use of derivatives involves risks that are different from, and possibly greater than, the risks associated with other portfolio investments. Derivatives may involve the use of highly specialized instruments that require investment techniques and risk analyses different from those associated with other portfolio investments. All of a Portfolio's holdings, including derivative instruments, are marked to market each day with the change in value reflected in unrealized appreciation (depreciation). Upon disposition, a realized gain or loss is recognized.

Certain derivative transactions may give rise to a form of leverage. Leverage associated with derivative transactions may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet earmarking or segregation requirements, pursuant to applicable Securities and Exchange Commission rules and regulations, or may cause the Portfolios to be more volatile than if the Portfolios had not been leveraged. Although the Investment Adviser seeks to use derivatives to further the Portfolios' investment objectives, there is no assurance that the use of derivatives will achieve this result.

Following is a description of the derivative instruments and techniques that certain Portfolios used during the period and their associated risks:

Futures: A futures contract is a standardized agreement between two parties to buy or sell a specific quantity of an underlying instrument at a specific price at a specific future time. The value of a futures contract tends to increase and decrease in tandem with the value of the underlying instrument. Futures contracts are bilateral agreements, with both the purchaser and the seller equally obligated to complete the transaction. Depending on the terms of the particular contract, futures contracts are settled through either physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. During the period the futures contract is open, payments are received from or made to the broker based upon changes in the value of the contract (the variation margin). A decision as to whether, when and how to use futures involves the exercise of skill and judgment and even a well conceived futures transaction may be unsuccessful because of market behavior or unexpected events. In addition to the derivatives risks discussed above, the prices of futures can be highly volatile, using futures can lower total return, and the potential loss from futures can exceed a Portfolio's initial investment in such contracts.

Swaps: A swap agreement is an agreement between two parties pursuant to which the parties exchange payments at specified dates on the basis of a specified notional amount, with the payments calculated by reference to specified securities, indexes, reference rates, currencies or other instruments. Most swap agreements provide that when the period payment dates for both parties are the same, the payments are made on a net basis (i.e., the two payment streams are netted out, with only the net amount paid by one party to the other). A Portfolio's obligations or rights under a swap agreement entered into on a net basis will generally be equal only to the net amount to be paid or received under the agreement, based on the relative values of the positions held by each counterparty. In a zero coupon interest rate swap, payment only occurs at maturity, at which time one counterparty pays the total compounded fixed rate over the life of the swap and the other pays the total compounded floating rate that would have

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Notes to Financial Statements (cont'd)

been earned had a series of floating rate investments been rolled over through the life of the swap. Swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. Therefore, swaps are subject to credit risk or the risk of default or non-performance by the counterparty. Swaps could result in losses if interest rate or foreign currency exchange rates or credit quality changes are not correctly anticipated by a Portfolio or if the reference index, security or investments do not perform as expected.

When a Portfolio has an unrealized loss on a swap agreement, the Portfolio has instructed the custodian to pledge cash or liquid securities as collateral with a value approximately equal to the amount of the unrealized loss. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate. Cash collateral is included with "Due from (to) Broker" on the Statements of Assets and Liabilities. Cash collateral has been offset against open swap agreements under the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Codification^TM ("ASC") "Balance Sheet" (ASC 210). Offsetting of Amounts Related to Certain Contracts, an interpretation of ASC 210-20, are included within "Unrealized Appreciation/Depreciation on Swap Agreements" on the Statements of Assets and Liabilities. For cash collateral received, a Portfolio pays a monthly fee to the counterparty based on the effective rate for Federal Funds. This fee, when paid, is included within realized gain (loss) on swap agreements on the Statements of Operations.

Foreign Currency Exchange Contracts: In connection with their investments in foreign securities, certain Portfolios entered into contracts with banks, brokers or dealers to purchase or sell foreign currencies at a future date. A foreign currency exchange contract ("currency contracts") is a negotiated agreement between the contracting parties to exchange a specified amount of currency at a specified future time at a specified rate. The rate can be higher or lower than the spot rate between the currencies that are the subject of the contract. Currency contracts are used to protect against uncertainty in the level of future foreign currency exchange rates or to gain or modify exposure to a particular currency. Hedging a Portfolio's currency risks involves the risk of mismatching a Portfolio's objectives under a currency contract with the value of securities denominated in a particular currency. Furthermore, such transactions reduce or preclude the opportunity for gain if the value of the currency should move in the direction opposite to the position taken. There is an additional risk to the effect that currency contracts create exposure to currencies in which a Portfolio's securities are not denominated. Unanticipated changes in currency prices may result in poorer overall performance for a Portfolio than if it had not entered into such contracts. A currency contract is marked-to-market daily and the change in market value is recorded by the Portfolio as unrealized gain or loss. The Portfolio records realized gains (losses) when the contract is closed 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.

FASB ASC 815, "Derivatives and Hedging: Overall" ("ASC 815") is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Portfolios use derivative instruments, how these derivative instruments are accounted for and their effects a Portfolio's financial position and results of operations.

The following table sets forth the fair value of each Portfolio's derivative contracts by primary risk exposure as of March 31, 2011.

Primary Risk Exposure	Statement of Assets and Liabilities	Foreign Currency Exchange Contracts (000)		Futures Contracts (000)(a)			Swaps Contracts (000)
Balanced Portfolio:
Currency Risk	Receivables	$	45	$	—		$	—
Equity Risk	Receivables		—		267			—
Interest Rate Risk	Receivables		—		1			55
Total Receivables		$	45	$	268		$	55
Currency Risk	Payables		54		—			—
Equity Risk	Payables		—		2			—
Interest Rate Risk	Payables		—		6			73
Total Payables		$	54	$	8		$	73
Core Fixed Income Portfolio:
Interest Rate Risk	Receivables	$	—	$	1		$	95
Interest Rate Risk	Payables	$	—	$	38		$	579
Core Plus Fixed Income Portfolio:
Currency Risk	Receivables	$	144	$	—		$	—
Interest Rate Risk	Receivables		—		21			1,509
Total Receivables		$	144	$	21		$	1,509
Currency Risk	Payables		54		—			—
Interest Rate Risk	Payables		—		124			3,252
Total Payables		$	54	$	124		$	3,252
Investment Grade Fixed Income Portfolio:
Interest Rate Risk	Receivables	$	—	$	1		$	107
Interest Rate Risk	Payables	$	—	$	18		$	560
Limited Duration Portfolio:
Interest Rate Risk	Receivables	$	—	$	13		$	217
Interest Rate Risk	Payables	$	—	$	21		$	1,927
Long Duration Fixed Income Portfolio:
Interest Rate Risk	Receivables	$	—	$	—	@	$	98
Interest Rate Risk	Payables	$	—	$	20		$	258

@ Value is less than $500.

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported in the Portfolio of Investments. The Statements of Assets and Liabilities only reflect the current day variation margin, receivable/payable to brokers.

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Notes to Financial Statements (cont'd)

The following tables set forth by primary risk exposure the Portfolio's realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended March 31, 2011 in accordance with ASC 815.

Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Balanced Portfolio		Foreign Currency
	Currency Risk	Exchange Contracts	$	(35	)
	Equity Risk	Futures Contracts		460
	Interest Rate Risk	Futures Contracts		(10	)
	Interest Rate Risk	Swap Agreements		(37	)
Total			$	378
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Balanced Portfolio		Foreign Currency
	Currency Risk	Exchange Contracts	$	(5	)
	Equity Risk	Futures Contracts		192
	Interest Rate Risk	Futures Contracts		(4	)
	Interest Rate Risk	Swap Agreements		113
Total			$	296
Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Core Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	368
	Interest Rate Risk	Swap Agreements		(381	)
	Credit Risk	Swap Agreements		(52	)
Total			$	(65	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Core Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	(62	)
	Interest Rate Risk	Swap Agreements		717
	Credit Risk	Swap Agreements		49
Total			$	704
Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Core Plus Fixed Income		Foreign Currency
Portfolio	Currency Risk	Exchange Contracts	$	(31	)
	Interest Rate Risk	Futures Contracts		(288	)
	Interest Rate Risk	Swap Agreements		(2,020	)
	Credit Risk	Swap Agreements		(279	)
Total			$	(2,618	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Core Plus Fixed Income		Foreign Currency
Portfolio	Currency Risk	Exchange Contracts	$	90
	Interest Rate Risk	Futures Contracts		(371	)
	Interest Rate Risk	Swap Agreements		3,854
	Credit Risk	Swap Agreements		263
Total			$	3,836
Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Investment Grade Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	258
	Interest Rate Risk	Swap Agreements		(286	)
	Credit Risk	Swap Agreements		(56	)
Total			$	(84	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Investment Grade Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	(27	)
	Interest Rate Risk	Swap Agreements		611
	Credit Risk	Swap Agreements		53
Total			$	637
Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Limited Duration Portfolio	Interest Rate Risk	Futures Contracts	$	(50	)
	Interest Rate Risk	Swap Agreements		(688	)
Total			$	(738	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Limited Duration Portfolio	Interest Rate Risk	Futures Contracts	$	(47	)
	Interest Rate Risk	Swap Agreements		1,505
Total			$	1,458
Realized Gain (Loss)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Long Duration Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	(235	)
	Interest Rate Risk	Swap Agreements		(95	)
Total			$	(330	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure	Derivative Type	Value (000)
Long Duration Fixed Income Portfolio	Interest Rate Risk	Futures Contracts	$	(10	)
	Interest Rate Risk	Swap Agreements		215
Total			$	205

For the six months ended March 31, 2011, Balanced and Core Plus Fixed Income Portfolio's average monthly principal amount of foreign currency exchange contracts were $3,816,000 and $2,839,000, average monthly original value of futures contracts were $10,706,000 and $101,211,000, and average monthly notional value of swap agreements were $11,976,000 and $301,155,000, respectively. Core Fixed Income, Investment Grade Fixed Income, Limited Duration, and Long Duration Fixed Income Portfolio's average monthly original value of futures contracts were $15,146,000, $21,771,000, $36,430,000, and $6,486,000 and average monthly notional value of swap agreements were $24,624,000, $23,533,000, $59,010,000, and $22,339,000, respectively.

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Notes to Financial Statements (cont'd)

4.  When-Issued/Delayed Delivery Securities: Certain Portfolios purchase and sell when-issued and delayed delivery securities. Securities purchased on a when-issued or delayed delivery basis are purchased for delivery beyond the normal settlement date at a stated price and yield, and no income accrues to the Portfolio on such securities prior to delivery. Payment and delivery for when-issued and delayed delivery securities can take place up to 120 days after the date of the transaction. When a Portfolio enters into a purchase transaction on a when-issued or delayed delivery basis, it establishes either a segregated account in which it maintains liquid assets in an amount at least equal in value to the Portfolio's commitments to purchase such securities or designates such assets as segregated on the Portfolio's records. Purchasing securities on a when-issued or delayed delivery basis may involve a risk that the market price at the time of delivery may be lower than the agreed upon purchase price, in which case there could be an unrealized loss at the time of delivery. Purchasing investments on a when-issued or delayed delivery basis may be considered a form of leverage which may increase the impact that gains (losses) may have on the Portfolio.

5.  Fair Value Measurement: FASB ASC 820, "Fair Value Measurements and Disclosures" ("ASC 820"), defines fair value as the price that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below.

•  Level 1 – unadjusted quoted prices in active markets for identical investments

•  Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 – significant unobservable inputs including the Fund's own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

On January 21, 2010, FASB issued Accounting Standards Update ("ASU") 2010-06. The ASU amends ASC 820 to add new requirements for disclosures about significant transfers into and out of Levels 1 and 2, which was adopted for fiscal years and interim periods beginning after December 15, 2009 as disclosed in the Fair Valuation Measurements summary at the end of the Portfolios of Investments. In addition, separate disclosures for purchases, sales, issuances and settlements relating to Level 3 measurements are required for fiscal years and interim periods beginning after December 15, 2010.

6.  Indemnifications: The Fund enters into contracts that contain a variety of indemnifications. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

7.  Other: Security transactions are accounted for on the date the securities are purchased or sold for financial reporting purposes. Realized gains (losses) on the sale of investment securities are determined on the specific identified cost basis. Dividend income and distributions are recorded on the ex-dividend date (except for certain foreign dividends which may be recorded as soon as the Fund is informed of such dividends) net of applicable withholding taxes. Interest income is recognized on the accrual basis except where collection is in doubt. Discounts and premiums on securities purchased are amortized according to the effective yield method over their respective lives. Most expenses of the Fund can be directly attributed to a particular Portfolio. Expenses which cannot be directly attributed are apportioned among the Portfolios based upon relative net assets or other appropriate measures. Income, expenses (other

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Notes to Financial Statements (cont'd)

than class specific expenses) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets.

B. Investment Advisory Fees: Morgan Stanley Investment Management Inc. (the "Adviser" or "MS Investment Management"), a wholly-owned subsidiary of Morgan Stanley, performs investment advisory services under the terms of an Investment Advisory Agreement, paid quarterly, at the annual rates listed below, to each Portfolio's average daily net assets.

Portfolio	Average Daily Net Assets	Advisory Fee
Balanced			0.450	%
Mid Cap Growth			0.500
Core Fixed Income			0.375
Core Plus Fixed Income	first $1 billion		0.375
	over $1 billion		0.300
Investment Grade Fixed Income			0.375
Limited Duration			0.300
Long Duration Fixed Income			0.375

With respect to certain portfolios, the Adviser has agreed to reduce the fees payable to it and, if necessary, reimburse the Portfolio for certain expenses, after giving effect to custody fee offsets, so that annual operating expenses will not exceed expense limitations established for each class of shares as presented in the table below.

	Expense Limitations
Portfolio	Class I			Class P
Core Fixed Income		0.50	%		0.75	%
Long Duration Fixed Income		0.50	%		0.75	%

The fee waivers and/or expense reimbursements are expected to continue (such that the Total Annual Portfolio Operating Expenses After Fee Waivers and/or Expense Reimbursements do not exceed those amounts listed above) until such time that the Fund's Board of Trustees acts to discontinue such waivers and/or reimbursements when it deems such action is appropriate. For the six months ended March 31, 2011, the Portfolios had advisory fees waived and/or certain expenses reimbursed as follows:

Portfolio	Adivsory Fees Waived and/or Reimbursed (000)
Core Fixed Income	$	200
Long Duration Fixed Income		68

C. Administration Fees: MS Investment Management (the "Administrator") also provides the Fund with administrative services pursuant to an administration agreement for an annual fee, accrued daily and paid monthly, of 0.08% of each Portfolio's average daily net assets.

Under an agreement between the Administrator and State Street Bank and Trust Company ("State Street"), State Street provides certain administrative services to the Fund. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Fund.

D. Distribution and Shareholder Servicing Fees: Morgan Stanley Distribution, Inc. ("MSDI" or the "Distributor"), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund.

Pursuant to a Shareholder Service Plan, each Portfolio may pay the Distributor a shareholder servicing fee, accrued daily and paid monthly, at an annual rate of up to 0.15% of the Porfolio's average daily net assets attributable to Investment Class shares. Pursuant to a Shareholder Service Plan, each Portfolio may pay the Distributor and other affiliated and unaffiliated broker-dealers, financial institutions and/or intermediaries a service fee, accrued daily and paid monthly, at an annual rate of up to 0.25% of the Portfolio's average daily net assets attributable to Class P and Class H shares, respectively. The shareholder servicing fee is used to support the expenses associated with servicing and maintaining accounts. The Distributor has voluntarily agreed to waive 0.10% of the 0.25% shareholder servicing fee it is entitled to receive from the Class P shares' average daily net assets for the Investment Grade Fixed Income Portfolio. On March 25, 2011, the Balanced Portfolio and Core Plus Fixed Income Portfolio ceased offering the Investment Class.

In addition, the Fund has adopted a Distribution and Shareholder Services Plan with respect to Class L shares pursuant to Rule 12b-1 under the 1940 Act. Under the Distribution and Shareholder Services Plan, each applicable Portfolio pays the Distributor a distribution fee, accrued daily and paid monthly, at an annual rate of 0.25% and a shareholder service fee, accrued daily and paid monthly, at an annual rate of 0.25% of the Portfolio's average daily net assets attributable to Class L shares.

The distribution and shareholder servicing fees are used to support the expenses associated with servicing and maintaining accounts. The Distributor may compensate other parties for providing shareholder support services to investors who purchase Class P, Class H and Class L shares.

E. Dividend Disbursing and Transfer Agent: The Fund's dividend disbursing and transfer agent is Morgan Stanley Services Company Inc. ("Morgan Stanley Services"). Pursuant to a transfer agency agreement, the Fund pays Morgan Stanley Services a fee based on the number of classes, accounts and transactions relating to the Portfolios of the Fund.

F. Custodian Fees: State Street Bank and Trust Company (the "Custodian") serves as Custodian for the Fund in accordance with a custodian agreement. The Custodian holds cash, securities, and other assets of the Fund as required by the 1940 Act.

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Notes to Financial Statements (cont'd)

The Fund has entered into an arrangement with its Custodian whereby credits realized on uninvested cash balances were used to offset a portion of each Portfolio's expenses. If applicable, these custodian credits are shown as "Expense Offset" in the Statements of Operations.

G. Portfolio Investment Activity:

1.  Security Transactions: During the six months ended March 31, 2011, purchases and sales of investment securities, other than long-term U.S. Government securities and short-term investments, were:

Portfolio	Purchases (000)		Sales (000)
Balanced	$	22,112	$	24,146
Mid Cap Growth		1,402,291		1,056,873
Core Fixed Income		6,832		7,633
Core Plus Fixed Income		77,878		155,121
Investment Grade Fixed Income		7,779		10,216
Limited Duration		33,045		40,957
Long Duration Fixed Income		415		5,217

During the six months ended March 31, 2011, purchases and sales of long-term U.S. government securities were:

Portfolio	Purchases (000)		Sales (000)
Balanced	$	12,505	$	12,757
Core Fixed Income		57,061		61,915
Core Plus Fixed Income		295,721		390,209
Investment Grade Fixed Income		50,559		58,537
Limited Duration		1,129		9,717
Long Duration Fixed Income		10,051		15,175

2.  Transactions with Affiliates: The Portfolios invest in the Institutional Class of portfolios within the Morgan Stanley Institutional Liquidity Funds (the "Liquidity Funds"), an open-end management investment company managed by the Adviser, both directly, and as a portion of the securities held as collateral on loaned securities. A summary of the Portfolio's transactions in shares of the Liquidity Funds during the six months ended March 31, 2011 were as follows:

Portfolio	Market Value September 30, 2010 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Dividend Income (000)		Market Value March 31, 2010 (000)
Balanced	$	13,223	$	16,647	$	19,852	$	5	$	10,018
Mid Cap Growth		359,619		1,090,219		1,036,717		327		413,121
Core Fixed Income		13,668		30,103		36,648		2		7,123
Core Plus Fixed Income		29,017		241,895		219,413		11		51,499
Investment Grade Fixed Income		10,754		30,653		31,588		2		9,819
Limited Duration		2,778		19,512		20,366		1		1,924
Long Duration Fixed Income		323		10,400		10,484		1		239

Investment Advisory fees paid by the Portfolios are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolios due to its investment in the Liquidity Funds ("Rebate"). For the six months ended March 31, 2011, advisory fees paid were reduced as follows:

Portfolio	Rebate (000)
Balanced	$	3
Mid Cap Growth		194
Core Fixed Income		1
Core Plus Fixed Income		5
Investment Grade Fixed Income		1
Limited Duration		1
Long Duration Fixed Income		—	@

@ Amount is less than $500.

The Balanced Portfolio invests in Morgan Stanley Institutional Fund, Inc. — Emerging Markets Portfolio, an open-end management investment company advised by an affiliate of the Adviser. The Morgan Stanley Emerging Markets Portfolio has a cost basis of approximately $118,000 at March 31, 2011. Advisory fees paid by the Portfolio are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Morgan Stanley Emerging Markets Portfolio. For the six months ended March 31, 2011, advisory fees paid were reduced by less than $500 relating to the Portfolio's investment in the Morgan Stanley Emerging Markets Portfolio.

A summary of the Balanced Portfolio's transactions in shares of the Morgan Stanley Emerging Markets Portfolio during the six months ended March 31, 2011 were as follows:

Market Value September 30, 2010 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain/Loss (000)		Dividend Income (000)		Market Value March 31, 2011 (000)
$	—	$	118	$	—	$	—	$	—	$	116

For the six months ended March 31, 2011, the following Portfolios had transactions with Citigroup, Inc., and its affiliated broker/dealers which may be deemed to be affiliates of the Investment Adviser, Distributor and Administrator under Section 17 of the 1940 Act.

Portfolio	Market Value September 30, 2010 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain/Loss (000)		Dividend and Interest Income (000)		Market Value March 31, 2011 (000)
Balanced	$	443	$	142	$	72	$	2	$	9	$	524
Core Fixed Income		1,307		—		190		19		34		1,115
Core Plus Fixed Income		8,990		—		6,165		1,583		163		2,807
Investment Grade Fixed Income		2,153		—		227		24		55		1,915
Limited Duration		4,030		1,434		2,003		74		62		3,426
Long Duration Fixed Income		404		—		144		31		10		254

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2011 Semi-Annual Report

March 31, 2011 (unaudited)

Notes to Financial Statements (cont'd)

During the six months ended March 31, 2011, the following Portfolios paid brokerage commissions to Citigroup, Inc., an affiliated broker/dealer:

Portfolio	Broker Commissions (000)
Balanced	$	2
Mid Cap Growth		27

H. Securities Lending: Certain Portfolios lend securities to qualified financial institutions, such as broker-dealers, to earn additional income. Any increase or decrease in the fair value of the securities loaned that might occur and any interest earned or dividends declared on those securities during the term of the loan would remain in the Portfolio. Portfolios that lend securities receive cash or securities as collateral in an amount equal to or exceeding 100% of the current fair value of the loaned securities. The collateral is marked to market daily, by the securities lending agent, to ensure that a minimum of 100% collateral coverage is maintained.

Based on pre-established guidelines, the securities lending agent invests any cash collateral that is received in an affiliated money market portfolio and repurchase agreements backed by the U.S. Treasury and Agency securities. Securities lending income is generated from the earnings on the invested collateral and borrowing fees, less any rebates owed to the borrowers and compensation to the lending agent, and is included in the Portfolios' Statements of Operations in affiliated dividend income and interest income. Risks in securities lending transactions are that a borrower may not provide additional collateral when required or return the securities when due, and that the value of the short-term investments will be less than the amount of cash collateral plus any rebate that is required to be returned to the borrower.

The value of the loaned securities and related collateral outstanding at March 31, 2011 were as follows:

Portfolio	Value of Loaned Securities (000)		Value of Cash Collateral* (000)		Value of Non-Cash Collateral** (000)
Balanced	$	6,329	$	5,318	$	1,163
Core Fixed Income		7,961		7,411		706
Core Plus Fixed Income		20,901		11,377		9,935
Investment Grade Fixed Income		12,425		8,059		4,612

*  The Portfolios invest cash collateral received in Repurchase Agreements and the Morgan Stanley Institutional Liquidity Fund as reported in the Portfolios of Investments.

** The Portfolios received non-cash collateral in the form of U.S. Government Agencies and Obligations, common stocks and Foreign Government Bonds, which the Portfolios cannot sell or repledge and, accordingly, are not reflected in the Portfolios of Investments.

The following Portfolios had income from securities lending (after rebates to borrowers and fees paid to securities lending agent) included within "Dividends from Securities of Affiliated Issuers" on the Statements of Operations, as follows:

Portfolio	Net Dividends Earned by Portfolio (000)
Balanced	$	8
Core Fixed Income		10
Core Plus Fixed Income		16
Investment Grade Fixed Income		10

I. Federal Income Taxes: It is each Portfolio's intention to continue to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for Federal income taxes is required in the financial statements.

Dividend income and distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income, if any, are declared and paid quarterly except for those of the Limited Duration Portfolio which are declared and paid monthly and those of the Mid Cap Growth Portfolio, which are declared and paid annually. Net realized capital gains, if any, are distributed at least annually.

A Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as such income and/or gains are earned. Taxes may also be based on transactions in foreign currency and are accrued based on the value of investments denominated in such currency.

FASB ASC 740-10 "Income Taxes — Overall" sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has concluded there are no significant uncertain tax positions that would require recognition in the financial statements. If applicable, the Portfolios recognize interest accrued related to unrecognized tax benefits in "Interest Expense" and penalties in "Other Expenses" on the Statements of Operations. The Portfolios file tax returns with the U.S. Internal Revenue Service, New York and various states. Generally, each of the tax years filed in the four year period ended September 30, 2010, remains subject to examination by taxing authorities.

The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as

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2011 Semi-Annual Report

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Notes to Financial Statements (cont'd)

ordinary income for tax purposes. The tax character of distributions paid during fiscal 2010 and 2009 was as follows:

	2010 Distributions Paid From:						2009 Distributions Paid From:
Portfolio	Ordinary Income (000)		Long- term Capital Gain (000)		Paid-In Capital (000)		Ordinary Income (000)		Long- term Capital Gain (000)		Paid-In Capital (000)
Balanced	$	918	$	—	$	—	$	3,187	$	—	$	—
Mid Cap Growth		492		—		—		—		—		—
Core Fixed Income		2,896		—		—		8,979		—		—
Core Plus Fixed Income		30,975		—		—		87,007		—		—
Investment Grade Fixed Income		4,183		—		—		14,728		—		—
Limited Duration		5,288		—		161		22,807		—		—
Long Duration Fixed Income		1,544		1,642		—		1,563		—		—

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book/tax differences are either considered temporary or permanent in nature.

Temporary differences are generally due to differing book and tax treatments in the timing of the recognition of gains (losses) on securities, options, swaps, forwards and futures, including Post October losses.

Permanent differences, primarily due to differing treatments of gains (losses) related to foreign currency transactions, foreign futures transactions, basis adjustments for swap transactions, in-kind redemptions, basis adjustment for return of capital sold and paydown adjustments, resulted in the following reclassifications among the components of net assets at September 30, 2010:

Portfolio	Accumulated Undistributed (Distributions in Excess of) Net Investment Income (Loss) (000)			Accumulated Net Realized Gain (Loss) (000)			Paid-in Capital (000)
Balanced	$	169		$	(150	)	$	(19	)
Mid Cap Growth		(418	)		418			—	@
Core Fixed Income		(403	)		429			(26	)
Core Plus Fixed Income		311			(6,253	)		5,942
Investment Grade Fixed Income		(295	)		336			(41	)
Limited Duration		(726	)		764			(38	)
Long Duration Fixed Income		(197	)		205			(8	)

@ Value is less than $500.

At September 30, 2010, the components of distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income (000)		Undistributed Long-term Capital Gain (000)
Balanced	$	352	$	—
Mid Cap Growth		12,433		—
Core Fixed Income		483		—
Core Plus Fixed Income		5,708		—
Investment Grade Fixed Income		489		—
Long Duration Fixed Income		979		838

At March 31, 2011, cost, unrealized appreciation, unrealized depreciation, and net unrealized appreciation (depreciation) for U.S. Federal income tax purposes of the investments of each of the Portfolios were:

Portfolio	Cost (000)		Appreciation (000)		Depreciation (000)			Net Appreciation (Depreciation) (000)
Balanced	$	53,072	$	2,328	$	(626	)	$	1,702
Mid Cap Growth		5,582,523		1,878,107		(137,617	)		1,740,490
Core Fixed Income		81,126		1,980		(738	)		1,242
Core Plus Fixed Income		417,440		12,157		(10,276	)		1,881
Investment Grade Fixed Income		88,687		2,716		(453	)		2,263
Limited Duration		185,565		3,100		(232	)		2,868
Long Duration Fixed Income		19,798		1,009		(195	)		814

At September 30, 2010, the following Portfolios had for Federal income tax purposes unused capital losses, which will expire on the indicated dates:

	Expiration Date September 30, (000)
Portfolio	2011		2012		2013		2014
Balanced	$	4,609	$	—	$	—	$	—
Mid Cap Growth		273,884		—		—		—
Core Fixed Income		—		—		—		489
Core Plus Fixed Income		36,930		—		—		7,135
Investment Grade Fixed Income		—		—		—		607
Limited Duration		—		—		8,253		8,229

	Expiration Date September 30, (000)
Portfolio	2015		2016		2017		2018		Total
Balanced	$	—	$	—	$	3,501	$	2,442	$	10,552
Mid Cap Growth		—		—		70,636		—		344,520
Core Fixed Income		—		1,081		35,829		3,288		40,687
Core Plus Fixed Income		15,680		5,336		254,264		202,592		521,937
Investment Grade Fixed Income		12		3,511		51,893		8,351		64,374
Limited Duration		7,068		265		200,864		33,049		257,728

To the extent that capital loss carryovers are used to offset any future capital gains realized during the carryover period as provided by U.S. Federal income tax regulations, no capital gains tax liability will be incurred by a Portfolio for gains realized and not distributed. To the extent that capital gains are offset,

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2011 Semi-Annual Report

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Notes to Financial Statements (cont'd)

such gains will not be distributed to the shareholders. During the year ended September 30, 2010, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately:

Portfolio	Captial Loss Carryfoward Utilized (000)
Mid Cap Growth		158,304

Net capital and currency losses incurred after October 31and within the taxable year are deemed to arise on the first day of the Portfolio's next taxable year. For the year ended September 30, 2010, the Portfolio deferred to October 1, 2010 for U.S. Federal income tax purposes, post-October capital and currency losses as indicated:

	Post-October
Portfolio	Captial Losses (000)		Currency Losses (000)
Balanced	$	2,758	$	—

For the year ended September 30, 2010, Core Plus Fixed Income realized gains from in-kind redemptions of approximately $6,467,000. The gains are not taxable income to the Portfolio.

J. Other: At March 31, 2011, certain Portfolios had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on these Portfolios.

These Portfolios and the aggregate percentage of such owners were as follows:

	Percentage of Ownership
Portfolio	Class I			Class P
Balanced		40.0	%		95.0	%
Mid Cap Growth		39.7			70.7
Core Plus Fixed Income		44.2			41.2

91

2011 Semi-Annual Report

March 31, 2011 (unaudited)

U.S. Privacy Policy

AN IMPORTANT NOTICE CONCERNING OUR U.S. PRIVACY POLICY

Morgan Stanley Institutional Fund, Inc. and Morgan Stanley Institutional Fund Trust ,(collectively, the "Fund") is required by federal law to provide you with a copy of its privacy policy ("Policy") annually.

This Policy applies to current and former individual clients of Morgan Stanley Distribution, Inc., as well as to current and former individual investors in Morgan Stanley mutual funds and related companies.

This Policy is not applicable to partnerships, corporations, trusts or other non-individual clients or account holders, nor is this Policy applicable to individuals who are either beneficiaries of a trust for which we serve as trustee or participants in an employee benefit plan administered or advised by us. This Policy is, however, applicable to individuals who select us to be a custodian of securities or assets in individual retirement accounts, 401(k) accounts, 529 Educational Savings Accounts, accounts subject to the Uniform Gifts to Minors Act, or similar accounts. We may amend this Policy at any time, and will inform you of any changes to this Policy as required by law.

WE RESPECT YOUR PRIVACY

We appreciate that you have provided us with your personal financial information and understand your concerns about safeguarding such information. We strive to maintain the privacy of such information while we help you achieve your financial objectives. This Policy describes what nonpublic personal information we collect about you, how we collect it, when we may share it with others, and how others may use it. It discusses the steps you may take to limit our sharing of information about you with affiliated Morgan Stanley companies ("affiliated companies"). It also discloses how you may limit our affiliates' use of shared information for marketing purposes. Throughout this Policy, we refer to the nonpublic information that personally identifies you or your accounts as "personal information."

1.  WHAT PERSONAL INFORMATION DO WE COLLECT ABOUT YOU?

To better serve you and manage our business, it is important that we collect and maintain accurate information about you. We obtain this information from applications and other forms you submit to us, from your dealings with us, from consumer reporting agencies, from our websites and from third parties and other sources.

For example:

•  We collect information such as your name, address, e-mail address, telephone/fax numbers, assets, income and investment objectives through application forms you submit to us.

•  We may obtain information about account balances, your use of account(s) and the types of products and services you prefer to receive from us through your dealings and transactions with us and other sources.

•  We may obtain information about your creditworthiness and credit history from consumer reporting agencies.

•  We may collect background information from and through third-party vendors to verify representations you have made and to comply with various regulatory requirements.

•  If you interact with us through our public and private Web sites, we may collect information that you provide directly through online communications (such as an e-mail address). We may also collect information about your Internet service provider, your domain name, your computer's operating system and Web browser, your use of our Web sites and your product and service preferences, through the use of "cookies." "Cookies" recognize your computer each time you return to one of our sites, and help to improve our sites' content and personalize your experience on our sites by, for example, suggesting offerings that may interest you. Please consult the Terms of Use of these sites for more details on our use of cookies.

2.  WHEN DO WE DISCLOSE PERSONAL INFORMATION WE COLLECT ABOUT YOU?

To provide you with the products and services you request, to better serve you, to manage our business and as otherwise required or permitted by law, we may disclose personal information we collect about you to other affiliated companies and to nonaffiliated third parties.

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2011 Semi-Annual Report

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U.S. Privacy Policy (cont'd)

a. Information we disclose to our affiliated companies.

In order to manage your account(s) effectively, including servicing and processing your transactions, to let you know about products and services offered by us and affiliated companies, to manage our business, and as otherwise required or permitted by law, we may disclose personal information about you to other affiliated companies. Offers for products and services from affiliated companies are developed under conditions designed to safeguard your personal information.

b. Information we disclose to third parties.

We do not disclose personal information that we collect about you to nonaffiliated third parties except to enable them to provide marketing services on our behalf, to perform joint marketing agreements with other financial institutions, and as otherwise required or permitted by law. For example, some instances where we may disclose information about you to third parties include: for servicing and processing transactions, to offer our own products and services, to protect against fraud, for institutional risk control, to respond to judicial process or to perform services on our behalf. When we share personal information with a nonaffiliated third party, they are required to limit their use of personal information about you to the particular purpose for which it was shared and they are not allowed to share personal information about you with others except to fulfill that limited purpose or as may be required by law.

3.  HOW DO WE PROTECT THE SECURITY AND CONFIDENTIALITY OF PERSONAL INFORMATION WE COLLECT ABOUT YOU?

We maintain physical, electronic and procedural security measures to help safeguard the personal information we collect about you. We have internal policies governing the proper handling of client information. Third parties that provide support or marketing services on our behalf may also receive personal information about you, and we require them to adhere to confidentiality standards with respect to such information.

4.  HOW CAN YOU LIMIT OUR SHARING OF CERTAIN PERSONAL INFORMATION ABOUT YOU WITH OUR AFFILIATED COMPANIES FOR ELIGIBILITY DETERMINATION?

We respect your privacy and offer you choices as to whether we share with our affiliated companies personal information that was collected to determine your eligibility for products and services such as credit reports and other information that you have provided to us or that we may obtain from third parties ("eligibility information"). Please note that, even if you direct us not to share certain eligibility information with our affiliated companies, we may still share your personal information, including eligibility information, with those companies under circumstances that are permitted under applicable law, such as to process transactions or to service your account. We may also share certain other types of personal information with affiliated companies—such as your name, address, telephone number, e-mail address and account number(s), and information about your transactions and experiences with us.

5.  HOW CAN YOU LIMIT THE USE OF CERTAIN PERSONAL INFORMATION ABOUT YOU BY OUR AFFILIATED COMPANIES FOR MARKETING?

You may limit our affiliated companies from using certain personal information about you that we may share with them for marketing their products or services to you. This information includes our transactions and other experiences with you such as your assets and account history. Please note that, even if you choose to limit our affiliated companies from using certain personal information about you that we may share with them for marketing their products and services to you, we may still share such personal information about you with them, including our transactions and experiences with you, for other purposes as permitted under applicable law.

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2011 Semi-Annual Report

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U.S. Privacy Policy (cont'd)

6.  HOW CAN YOU SEND US AN OPT-OUT INSTRUCTION?

If you wish to limit our sharing of certain personal information about you with our affiliated companies for "eligibility purposes" and for our affiliated companies' use in marketing products and services to you as described in this notice, you may do so by:

•  Calling us at (800) 548-7786
Monday–Friday between 8a.m. and 5p.m. (EST)

•  Writing to us at the following address:

  Morgan Stanley Institutional Privacy Department
201 Plaza Two - 3rd Floor
Jersey City, NJ 07311

If you choose to write to us, your written request should include: your name, address, telephone number and account number(s) to which the opt-out applies and should not be sent with any other correspondence. In order to process your request, we require that the request be provided by you directly and not through a third party. Once you have informed us about your privacy preferences, your opt-out preference will remain in effect with respect to this Policy (as it may be amended) until you notify us otherwise. If you are a joint account owner, we will accept instructions from any one of you and apply those instructions to the entire account. Please allow approximately 30 days from our receipt of your opt-out for your instructions to become effective.

Please understand that if you opt-out, you and any joint account holders may not receive certain Morgan Stanley or our affiliated companies' products and services that could help you manage your financial resources and achieve your investment objectives.

If you have more than one account with us or our affiliates, you may receive multiple privacy policies from us, and would need to follow the directions stated in each particular policy for each account you have with us.

7.  WHAT IF AN AFFILIATED COMPANY BECOMES A NONAFFILIATED THIRD PARTY?

If, at any time in the future, an affiliated company becomes a nonaffiliated third party, further disclosures of personal information made to the former affiliated company will be limited to those described in Section 2(b) above relating to nonaffiliated third parties. If you elected under Section 6 to limit disclosures we make to affiliated companies, or use of personal information by affiliated companies, your election will not apply to use by any former affiliated company of your personal information in their possession once it becomes a nonaffiliated third party.

SPECIAL NOTICE TO RESIDENTS OF VERMONT

This section supplements our Policy with respect to our individual clients who have a Vermont address and supersedes anything to the contrary in the above Policy with respect to those clients only.

The State of Vermont requires financial institutions to obtain your consent prior to sharing personal information that they collect about you with affiliated companies and nonaffiliated third parties other than in certain limited circumstances. Except as permitted by law, we will not share personal information we collect about you with nonaffiliated third parties or other affiliated companies unless you provide us with your written consent to share such information ("opt-in").

If you wish to receive offers for investment products and services offered by or through other affiliated companies, please notify us in writing at the following address:

Morgan Stanley Institutional Privacy Department
201 Plaza Two - 3rd Floor
Jersey City, NJ 07311

Your authorization should include: your name, address, telephone number and account number(s) to which the opt-in applies and should not be sent with any other correspondence. In order to process your authorization, we require that the authorization be provided by you directly and not through a third-party.

SPECIAL NOTICE TO RESIDENTS OF CALIFORNIA

The following section supplements our Policy with respect to our individual clients who have a California address and supersedes anything to the contrary in the above Policy with respect to those clients only.

In response to a California law, if your account has a California home address, your personal information will not be disclosed to nonaffiliated third parties except as permitted by applicable California law, and we will limit sharing such personal information with our affiliates to comply with California privacy laws that apply to us.

©2011 Morgan Stanley

94

2011 Semi-Annual Report

March 31, 2011 (unaudited)

Trustee and Officer Information

Trustees

Michael E. Nugent

Frank L. Bowman

Michael Bozic

Kathleen A. Dennis

James F. Higgins

Dr. Manuel H. Johnson

Joseph J. Kearns

Michael F. Klein

W. Allen Reed

Fergus Reid

Officers

Michael E. Nugent
Chairperson of the Board and Trustee

Sara Furber
President and Principal Executive Officer

Mary Ann Picciotto
Chief Compliance Officer

Stefanie V. Chang Yu
Vice President

Mary E. Mullin
Secretary

Francis J. Smith
Treasurer and Principal Financial Officer

Investment Adviser and Administrator

Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, New York 10036

Distributor

Morgan Stanley Distribution, Inc.
100 Front Street, Suite 400
West Conshohocken, Pennsylvania 19428-2899

Dividend Disbursing and Transfer Agent

Morgan Stanley Services Company Inc.
P.O. Box 219804
Kansas City, Missouri 64121-9804

Custodian

State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111-2101

Legal Counsel

Dechert LLP
1095 Avenue of the Americas
New York, New York 10036

Independent Registered Public Accounting Firm

Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116-5021

Reporting to Shareholders

Each Morgan Stanley Fund provides a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the Fund's second and fourth fiscal quarters. The semi-annual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the semi-annual and annual reports to Fund shareholders and makes these reports available on its public website, www.morganstanley.com/im. 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 website. 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 website, www.sec.gov. You 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 toll free 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 email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.

Proxy Voting Policies and Procedures and Proxy Voting Record

You may obtain a copy of the Fund's Proxy Voting Policy and Procedures and information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, without charge, upon request, by calling toll free 1-(800) 548-7786 or by visiting our website at www.morganstanley.com/im. This information is also available on the SEC's website at www.sec.gov.

This report is authorized for distribution only when preceded or accompanied by a prospectus of the Morgan Stanley Institutional Fund Trust which describes in detail each Investment Portfolio's investment policies, risks, fees and expenses. Please read the prospectus carefully before you invest or send money. For additional information, including information regarding the investments comprising the Portfolio, please visit our website at www.morganstanley.com/im or call toll free 1-(800) 548-7786.

95

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Printed in U.S.A.
This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.

Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, NY 10036

© 2011 Morgan Stanley

IFEQFISAN 3/11
IU11-01051P-Y03/11

Item 2.  Code of Ethics.

Not applicable for semiannual reports.

Item 3.  Audit Committee Financial Expert.

Not applicable for semiannual reports.

Item 4. Principal Accountant Fees and Services

Not applicable for semiannual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable for semiannual reports.

Item 6.

(a) Refer to Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semiannual reports.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Applicable only to reports filed by closed-end funds.

Item 9. Closed-End Fund Repurchases

Applicable to reports filed by closed-end funds.

Item 10. Submission of Matters to a Vote of Security Holders

Not applicable.

Item 11. 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.

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

Item 12. Exhibits

(a) Code of Ethics — Not applicable for semiannual reports.

(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 Institutional Funds Trust

/s/ Sara Furber

Sara Furber

Principal Executive Officer

May 24, 2011

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/ Sara Furber

Sara Furber

Principal Executive Officer

May 24, 2011

/s/ Francis Smith

Francis Smith

Principal Financial Officer

May 24, 2011