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 Fund Trust
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York					10036
(Address of principal executive offices)					(Zip code)
Arthur Lev 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, 2012
Date of reporting period:		March 31, 2012

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

Corporate Bond Portfolio
(formerly Investment Grade Fixed Income Portfolio)

High Yield Portfolio

Limited Duration Portfolio

Long Duration Fixed Income Portfolio

Semi-Annual
Report

March 31, 2012

(This Page has been left blank intentionally.)

2012 Semi-Annual Report

March 31, 2012

Table of Contents

Shareholders' Letter	2
Expense Examples	3
Portfolios of Investments
Balanced Portfolio:
Balanced	4
Equity Portfolio:
Mid Cap Growth	16
Fixed Income Portfolios:
Core Fixed Income	19
Core Plus Fixed Income	26
Corporate Bond (formerly Investment Grade Fixed Income)	34
High Yield	41
Limited Duration	44
Long Duration Fixed Income	49
Statements of Assets and Liabilities	54
Statements of Operations	58
Statements of Changes in Net Assets	60
Financial Highlights	65
Notes to Financial Statements	85
U.S. Privacy Policy	95
Trustee and Officer Information	98

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

2012 Semi-Annual Report

March 31, 2012

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, 2012. Our Fund currently offers 8 portfolios providing investors with asset allocation, 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,

Arthur Lev
President and Principal Executive Officer

April 2012

2

2012 Semi-Annual Report

March 31, 2012

Expense Examples (unaudited)

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; 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.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period ended March 31, 2012 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 10/1/11		Actual Ending Account Value 3/31/12		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	$	1,173.20	$	1,019.20	$	6.30		$	5.86		1.16	%
Balanced Portfolio Class P		1,000.00		1,171.30		1,017.95		7.65			7.11		1.41
Mid Cap Growth Portfolio Class I		1,000.00		1,215.50		1,021.50		3.88			3.54		0.70
Mid Cap Growth Portfolio Class P		1,000.00		1,213.80		1,020.25		5.26			4.80		0.95
Core Fixed Income Portfolio Class I		1,000.00		1,031.20		1,022.55		2.49			2.48		0.49
Core Fixed Income Portfolio Class P		1,000.00		1,029.70		1,021.30		3.75			3.74		0.74
Core Plus Fixed Income Portfolio Class I		1,000.00		1,045.20		1,022.05		3.02			2.98		0.59
Core Plus Fixed Income Portfolio Class P		1,000.00		1,042.70		1,020.80		4.29			4.24		0.84
Corporate Bond Portfolio Class I		1,000.00		1,040.60		1,021.20		3.88			3.84		0.76
Corporate Bond Portfolio Class P		1,000.00		1,039.80		1,020.45		4.64			4.60		0.91
Corporate Bond Portfolio Class H		1,000.00		1,039.20		1,019.95		5.15			5.10		1.01
Corporate Bond Portfolio Class L		1,000.00		1,038.00		1,018.70		6.42			6.36		1.26
High Yield Portfolio Class I		1,000.00		1,023.00		1,006.18		1.07	+		1.06		0.73
High Yield Portfolio Class P		1,000.00		1,023.00		1,005.82		1.44	+		1.42		0.98
High Yield Portfolio Class H		1,000.00		1,023.00		1,005.82		1.44	+		1.42		0.98
High Yield Portfolio Class L		1,000.00		1,023.00		1,005.46		1.80	+		1.79		1.23
Limited Duration Portfolio Class I		1,000.00		1,019.00		1,022.15		2.88			2.88		0.57
Limited Duration Portfolio Class P		1,000.00		1,017.70		1,020.90		4.14			4.14		0.82
Long Duration Fixed Income Portfolio Class I		1,000.00		1,010.00		1,022.50		2.51			2.53		0.50
Long Duration Fixed Income Portfolio Class P		1,000.00		1,007.90		1,021.25		3.76			3.79		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 183/366 (to reflect the most recent one-half year period).

**  Annualized.

+  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 53/366 (to reflect the actual days in period).

3

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Balanced Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (36.5%)
Agency Adjustable Rate Mortgage (0.1%)
Federal National Mortgage Association,
Conventional Pools:
2.39%, 5/1/35	$	59	$	63
Agency Fixed Rate Mortgages (9.0%)
Federal Home Loan Mortgage Corporation,
April TBA:
3.00%, 4/25/27 (a)		150		155
Gold Pools:
4.00%, 12/1/41		86		91
4.50%, 6/1/39		504		535
5.00%, 10/1/35		292		315
7.50%, 5/1/35		16		19
Federal National Mortgage Association,
April TBA:
2.50%, 4/25/27 (a)		150		152
Conventional Pools:
4.00%, 11/1/41		65		68
5.00%, 9/1/39 - 5/1/41		315		343
5.50%, 5/1/37 - 8/1/38		390		428
6.00%, 1/1/38		85		94
7.50%, 8/1/37		31		37
Government National Mortgage Association,
April TBA:
3.50%, 4/25/42 (a)		370		386
4.00%, 4/25/42 (a)		825		886
Various Pools:
4.50%, 4/15/39 - 8/15/39		149		163
				3,672
Asset-Backed Securities (0.8%)
FUEL Trust
4.21%, 4/15/16 (b)		200		205
Santander Drive Auto Receivables Trust
3.06%, 11/15/17		50		50
U-Haul S Fleet LLC
4.90%, 10/25/23 (b)		83		87
				342
Collateralized Mortgage Obligations — Agency Collateral Series (0.8%)
Federal Home Loan Mortgage Corporation,
2.97%, 10/25/21		90		92
IO
0.68%, 1/25/21 (c)		695		29
IO PAC REMIC
6.23%, 6/15/40 (c)		463		89
Federal National Mortgage Association,
IO REMIC
5.00%, 8/25/37		84		5
6.36%, 9/25/38 (c)		189		40
Government National Mortgage Association,
IO REMIC
6.34%, 6/20/40 (c)		130		23
6.36%, 4/16/41 (c)		310		59
				337

	Face Amount (000)		Value (000)
Commercial Mortgage Backed Securities (0.6%)
Citigroup Commercial Mortgage Trust (See Note G-2)
6.07%, 12/10/49 (c)	$	50	$	58
JP Morgan Chase Commercial Mortgage Securities Corp.,
4.17%, 8/15/46		70		76
4.39%, 7/15/46 (b)		100		109
				243
Corporate Bonds (8.0%)
Finance (3.6%)
ABB Treasury Center USA, Inc.
2.50%, 6/15/16 (b)		55		56
Abbey National Treasury Services PLC,
MTN
3.88%, 11/10/14 (b)		100		101
Bank of America Corp.
5.63%, 7/1/20		15		16
BNP Paribas SA
5.00%, 1/15/21		40		40
Brandywine Operating Partnership LP
4.95%, 4/15/18		50		51
Cigna Corp.
2.75%, 11/15/16		50		51
Citigroup, Inc. (See Note G-2),
6.13%, 5/15/18		100		112
8.50%, 5/22/19		5		6
CNA Financial Corp.
5.75%, 8/15/21		45		48
Coventry Health Care, Inc.
5.45%, 6/15/21		35		38
General Electric Capital Corp.
5.88%, 1/14/38		50		55
Genworth Financial, Inc.
7.20%, 2/15/21		30		31
Goldman Sachs Group, Inc. (The)
5.75%, 1/24/22		80		82
Hartford Financial Services Group, Inc.
5.50%, 3/30/20		25		27
HSBC Holdings PLC
4.00%, 3/30/22		45		45
JPMorgan Chase & Co.,
3.15%, 7/5/16		60		62
4.95%, 3/25/20		25		27
Lloyds TSB Bank PLC
5.80%, 1/13/20 (b)		100		103
Macquarie Bank Ltd.
6.63%, 4/7/21 (b)		25		25
Macquarie Group Ltd.
6.00%, 1/14/20 (b)		25		25
Merrill Lynch & Co., Inc.,
MTN
6.88%, 4/25/18		40		44

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
MetLife, Inc.
7.72%, 2/15/19	$	20	$	25
Nationwide Financial Services
5.38%, 3/25/21 (b)		25		26
Pacific LifeCorp
6.00%, 2/10/20 (b)		25		27
Prudential Financial, Inc.
7.38%, 6/15/19		50		62
Santander Holdings USA, Inc.
4.63%, 4/19/16		10		10
Standard Chartered PLC
3.85%, 4/27/15 (b)		100		104
UDR, Inc.,
Series 0001 MTN
4.63%, 1/10/22		30		31
UnitedHealth Group, Inc.
6.63%, 11/15/37		40		51
Wachovia Corp.
5.63%, 10/15/16		25		28
Wells Operating Partnership II LP
5.88%, 4/1/18		50		51
				1,460
Industrials (3.8%)
Altria Group, Inc.
4.13%, 9/11/15		40		44
ArcelorMittal
9.85%, 6/1/19		25		30
AT&T, Inc.
6.30%, 1/15/38		50		59
Barrick Gold Corp.
3.85%, 4/1/22		65		65
Bemis Co., Inc.
4.50%, 10/15/21		70		73
Boston Scientific Corp.
6.00%, 1/15/20		30		35
Comcast Corp.
5.70%, 5/15/18		30		35
CRH America, Inc.
6.00%, 9/30/16		40		44
CVS Caremark Corp.
6.60%, 3/15/19		80		99
Darden Restaurants, Inc.
6.20%, 10/15/17		50		57
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
5.88%, 10/1/19		35		40
Ecolab, Inc.
3.00%, 12/8/16		30		31
Georgia-Pacific LLC
5.40%, 11/1/20 (b)(d)		80		90
Gilead Sciences, Inc.,
4.50%, 4/1/21		30		32
5.65%, 12/1/41		20		21
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (b)		30		35

	Face Amount (000)		Value (000)
Hewlett-Packard Co.
4.65%, 12/9/21	$	50	$	52
Kohl's Corp.
6.88%, 12/15/37		30		36
Koninklijke Philips Electronics
3.75%, 3/15/22		50		50
Life Technologies Corp.
6.00%, 3/1/20		40		46
Macy's Retail Holdings, Inc.
3.88%, 1/15/22		20		20
NBC Universal Media LLC
5.15%, 4/30/20		55		62
Phillips 66
4.30%, 4/1/22 (b)		25		26
Quest Diagnostics, Inc.
6.95%, 7/1/37		10		12
Sonoco Products Co.
5.75%, 11/1/40		40		43
Telstra Corp., Ltd.
4.80%, 10/12/21 (b)		60		65
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/21		60		61
Time Warner, Inc.
4.75%, 3/29/21		45		50
Valspar Corp.
4.20%, 1/15/22		15		15
Verisk Analytics, Inc.
5.80%, 5/1/21		55		59
Verizon Communications, Inc.
8.95%, 3/1/39		45		70
Wesfarmers Ltd.
2.98%, 5/18/16 (b)		50		51
Yum! Brands, Inc.
6.88%, 11/15/37		40		51
				1,559
Utilities (0.6%)
EDF SA
4.60%, 1/27/20 (b)		25		26
Energy Transfer Partners LP
9.00%, 4/15/19		12		15
Enterprise Products Operating LLC
5.20%, 9/1/20		50		56
EQT Corp.
4.88%, 11/15/21		25		25
FirstEnergy Solutions Corp.
6.05%, 8/15/21		40		45
Plains All American Pipeline LP/PAA Finance Corp.
8.75%, 5/1/19		30		39
PPL WEM Holdings PLC
3.90%, 5/1/16 (b)		40		42
				248
				3,267

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Mortgages — Other (1.3%)
Banc of America Alternative Loan Trust,
5.86%, 10/25/36	$	66	$	44
5.91%, 10/25/36 (c)		125		83
6.00%, 4/25/36		69		69
Chase Mortgage Finance Corp.
6.00%, 11/25/36		72		61
Chaseflex Trust
6.00%, 2/25/37		65		46
First Horizon Alternative Mortgage Securities
6.25%, 8/25/36		40		30
GSR Mortgage Loan Trust
5.75%, 1/25/37		74		70
Lehman Mortgage Trust,
5.50%, 11/25/35		41		39
6.50%, 9/25/37		86		65
Residential Accredit Loans, Inc.
0.74%, 3/25/35 (c)		54		30
				537
Municipal Bonds (0.1%)
State of California, General Obligation Bonds
5.95%, 4/1/16		40		45
Sovereign (0.4%)
Brazilian Government International Bond
4.88%, 1/22/21		90		102
Mexico Government International Bond
3.63%, 3/15/22		80		82
				184
U.S. Agency Securities (1.4%)
Federal National Mortgage Association,
1.25%, 9/28/16		350		352
5.38%, 6/12/17		170		205
				557
U.S. Treasury Securities (14.0%)
U.S. Treasury Bonds,
3.50%, 2/15/39		310		322
3.88%, 8/15/40 (d)		400		443
5.25%, 11/15/28		310		405
U.S. Treasury Notes,
0.50%, 11/15/13		725		727
0.75%, 6/15/14		230		232
1.25%, 8/31/15		1,080		1,103
1.75%, 3/31/14		745		766
2.25%, 1/31/15		580		608
3.00%, 8/31/16 - 9/30/16		675		736
3.63%, 8/15/19		330		375
				5,717
Total Fixed Income Securities (Cost $14,615)				14,964

	Shares		Value (000)
Common Stocks (49.5%)
Aerospace & Defense (1.5%)
Alliant Techsystems, Inc. (d)		648	$	32
Boeing Co. (The)		601		45
Exelis, Inc.		594		7
General Dynamics Corp.		504		37
Goodrich Corp.		197		25
Honeywell International, Inc.		1,602		98
Huntington Ingalls Industries, Inc. (d)(e)		53		2
L-3 Communications Holdings, Inc. (d)		200		14
Lockheed Martin Corp. (d)		262		23
Northrop Grumman Corp.		222		13
Precision Castparts Corp.		385		67
Raytheon Co. (d)		1,435		76
Rockwell Collins, Inc.		375		22
Textron, Inc.		500		14
United Technologies Corp.		1,579		131
				606
Air Freight & Logistics (0.4%)
C.H. Robinson Worldwide, Inc. (d)		200		13
Expeditors International of Washington, Inc.		200		9
FedEx Corp.		400		37
United Parcel Service, Inc., Class B (d)		1,153		93
				152
Airlines (0.0%)
Southwest Airlines Co.		1,300		11
Auto Components (0.3%)
BorgWarner, Inc. (e)		835		71
Johnson Controls, Inc. (d)		1,614		52
				123
Automobiles (0.0%)
Ford Motor Co. (d)		531		7
Beverages (0.8%)
Brown-Forman Corp., Class B		119		10
Coca-Cola Co. (The)		2,226		165
Coca-Cola Enterprises, Inc.		577		16
Constellation Brands, Inc., Class A (d)(e)		500		12
Molson Coors Brewing Co.		400		18
PepsiCo, Inc.		1,485		99
				320
Biotechnology (0.5%)
Amgen, Inc.		1,071		73
Biogen Idec, Inc. (e)		314		39
Celgene Corp. (e)		508		39
Gilead Sciences, Inc. (e)		1,059		52
				203
Capital Markets (0.7%)
Ameriprise Financial, Inc.		100		6
Bank of New York Mellon Corp. (The)		1,914		46
BlackRock, Inc.		31		6
Charles Schwab Corp. (The)		747		11

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Capital Markets (cont'd)
Franklin Resources, Inc. (d)		124	$	15
Goldman Sachs Group, Inc. (The)		990		123
Invesco Ltd.		500		13
Janus Capital Group, Inc.		200		2
Legg Mason, Inc.		342		10
Northern Trust Corp.		130		6
State Street Corp.		716		33
T. Rowe Price Group, Inc.		165		11
				282
Chemicals (1.0%)
Air Products & Chemicals, Inc. (d)		191		18
CF Industries Holdings, Inc.		412		75
Dow Chemical Co. (The) (d)		1,113		39
Eastman Chemical Co.		200		10
Ecolab, Inc. (d)		226		14
EI du Pont de Nemours & Co.		2,121		112
FMC Corp. (d)		119		13
International Flavors & Fragrances, Inc. (d)		119		7
Monsanto Co.		530		42
Mosaic Co. (The)		52		3
PPG Industries, Inc.		211		20
Praxair, Inc.		369		42
Sherwin-Williams Co. (The)		119		13
Sigma-Aldrich Corp.		139		10
				418
Commercial Banks (1.4%)
BB&T Corp. (d)		1,177		37
Comerica, Inc. (d)		400		13
Fifth Third Bancorp (d)		1,511		21
Huntington Bancshares, Inc.		1,600		10
KeyCorp		1,356		12
M&T Bank Corp. (d)		174		15
PNC Financial Services Group, Inc.		803		52
Regions Financial Corp.		2,532		17
SunTrust Banks, Inc.		908		22
US Bancorp		2,852		90
Wells Fargo & Co.		7,534		257
Zions Bancorporation (d)		400		9
				555
Commercial Services & Supplies (0.2%)
Avery Dennison Corp. (d)		234		7
Cintas Corp.		287		11
Iron Mountain, Inc. (d)		206		6
Pitney Bowes, Inc.		429		7
Republic Services, Inc.		446		14
RR Donnelley & Sons Co. (d)		458		6
Stericycle, Inc. (d)(e)		119		10
Waste Management, Inc.		1,009		35
				96
Communications Equipment (1.2%)
Ciena Corp. (d)(e)		7,434		120
Cisco Systems, Inc.		6,986		148

	Shares		Value (000)
Juniper Networks, Inc. (d)(e)		839	$	19
Motorola Mobility Holdings, Inc. (e)		410		16
Motorola Solutions, Inc.		368		19
QUALCOMM, Inc.		2,239		152
				474
Computers & Peripherals (2.6%)
Apple, Inc. (e)		1,233		739
Dell, Inc. (d)(e)		1,924		32
EMC Corp. (e)		2,971		89
Hewlett-Packard Co.		3,963		95
Lexmark International, Inc., Class A (d)		100		3
NetApp, Inc. (e)		607		27
SanDisk Corp. (e)		1,918		95
				1,080
Construction & Engineering (0.3%)
Foster Wheeler AG (e)		1,881		43
Jacobs Engineering Group, Inc. (e)		200		9
URS Corp.		1,683		71
				123
Consumer Finance (0.3%)
American Express Co.		944		54
Capital One Financial Corp.		783		44
Discover Financial Services		993		33
SLM Corp.		444		7
				138
Containers & Packaging (0.0%)
Ball Corp.		239		10
Distributors (0.0%)
Genuine Parts Co.		200		13
Diversified Consumer Services (0.1%)
Apollo Group, Inc., Class A (d)(e)		258		10
DeVry, Inc. (d)		119		4
H&R Block, Inc. (d)		916		15
				29
Diversified Financial Services (2.0%)
Bank of America Corp.		18,046		173
Citigroup, Inc. (See Note G-2) (d)		5,096		186
CME Group, Inc.		138		40
JPMorgan Chase & Co.		8,415		387
Leucadia National Corp. (d)		123		3
Moody's Corp. (d)		109		5
NASDAQ OMX Group, Inc. (The) (e)		136		3
NYSE Euronext (d)		331		10
				807
Diversified Telecommunication Services (1.2%)
AT&T, Inc.		7,477		234
CenturyLink, Inc. (d)		1,957		76
Frontier Communications Corp.		2,518		10
Verizon Communications, Inc.		4,999		191
				511

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Electric Utilities (0.8%)
American Electric Power Co., Inc.		769	$	30
Duke Energy Corp.		1,615		34
Edison International (d)		735		31
Exelon Corp.		633		25
FirstEnergy Corp. (d)		395		18
NextEra Energy, Inc. (d)		635		39
Pepco Holdings, Inc.		85		2
PPL Corp.		735		21
Progress Energy, Inc.		405		21
Southern Co. (The) (d)		2,119		95
				316
Electrical Equipment (0.1%)
Emerson Electric Co.		812		42
Electronic Equipment, Instruments & Components (0.3%)
Amphenol Corp., Class A (d)		285		17
Arrow Electronics, Inc. (e)		1,669		70
Corning, Inc.		2,375		33
Jabil Circuit, Inc.		300		8
Molex, Inc.		164		5
				133
Energy Equipment & Services (1.2%)
Baker Hughes, Inc.		639		27
Cameron International Corp. (d)(e)		717		38
Diamond Offshore Drilling, Inc. (d)		139		9
FMC Technologies, Inc. (e)		754		38
Halliburton Co.		1,609		54
National Oilwell Varco, Inc. (d)		1,068		85
Noble Corp. (e)		596		22
Schlumberger Ltd.		3,137		219
				492
Food & Staples Retailing (1.2%)
Costco Wholesale Corp.		595		54
CVS Caremark Corp.		1,673		75
Kroger Co. (The)		772		19
Safeway, Inc.		2,695		55
Sysco Corp.		1,087		32
Wal-Mart Stores, Inc. (d)		2,687		164
Walgreen Co. (d)		458		15
Whole Foods Market, Inc.		705		59
				473
Food Products (1.2%)
Archer-Daniels-Midland Co.		1,016		32
Campbell Soup Co. (d)		400		14
ConAgra Foods, Inc.		3,093		81
General Mills, Inc.		1,024		40
H.J. Heinz Co. (d)		543		29
Hershey Co. (The)		200		12
JM Smucker Co. (The) (d)		223		18
Kellogg Co.		462		25
Kraft Foods, Inc., Class A		2,284		87

	Shares		Value (000)
Mead Johnson Nutrition Co.		324	$	27
Sara Lee Corp.		878		19
Smithfield Foods, Inc. (d)(e)		3,334		74
Tyson Foods, Inc., Class A		700		13
				471
Health Care Equipment & Supplies (0.8%)
Baxter International, Inc.		708		42
Becton Dickinson and Co.		461		36
Boston Scientific Corp. (d)(e)		2,517		15
CR Bard, Inc.		139		14
Intuitive Surgical, Inc. (d)(e)		135		73
Medtronic, Inc. (d)		1,071		42
St. Jude Medical, Inc.		569		25
Stryker Corp. (d)		590		33
Varian Medical Systems, Inc. (d)(e)		258		18
Zimmer Holdings, Inc. (d)		302		19
				317
Health Care Providers & Services (1.6%)
Aetna, Inc.		519		26
AmerisourceBergen Corp. (d)		638		25
Cardinal Health, Inc.		439		19
Cigna Corp.		465		23
Coventry Health Care, Inc.		2,409		86
DaVita, Inc. (e)		139		12
Express Scripts, Inc. (e)		766		41
HealthSouth Corp. (d)(e)		3,600		74
Laboratory Corp. of America Holdings (e)		183		17
McKesson Corp.		319		28
Medco Health Solutions, Inc. (e)		543		38
Omnicare, Inc. (d)		2,218		79
Patterson Cos., Inc. (d)		358		12
Quest Diagnostics, Inc.		139		8
Tenet Healthcare Corp. (d)(e)		1,432		8
UnitedHealth Group, Inc.		750		44
Universal Health Services, Inc., Class B (d)		1,501		63
WellPoint, Inc. (d)		419		31
				634
Health Care Technology (0.1%)
Cerner Corp. (e)		292		22
Hotels, Restaurants & Leisure (1.1%)
Carnival Corp.		653		21
Darden Restaurants, Inc. (d)		138		7
International Game Technology (d)		996		17
Marriott International, Inc., Class A (d)		318		12
Marriott Vacations Worldwide Corp. (e)		31		1
McDonald's Corp.		1,555		152
Starbucks Corp.		1,011		56
Starwood Hotels & Resorts Worldwide, Inc.		175		10
Wyndham Worldwide Corp.		477		22
Wynn Resorts Ltd.		119		15
Yum! Brands, Inc.		1,638		117
				430

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Household Durables (0.2%)
Harman International Industries, Inc.		139	$	6
Toll Brothers, Inc. (d)(e)		3,034		73
				79
Household Products (1.0%)
Colgate-Palmolive Co.		712		69
Kimberly-Clark Corp.		701		52
Procter & Gamble Co. (The)		4,267		287
				408
Independent Power Producers & Energy Traders (0.1%)
AES Corp. (The) (d)(e)		1,404		19
NRG Energy, Inc. (e)		1,611		25
				44
Industrial Conglomerates (1.1%)
3M Co.		802		72
Danaher Corp. (d)		1,009		56
General Electric Co.		10,833		217
Tyco International Ltd.		1,702		96
				441
Information Technology Services (1.5%)
Accenture PLC, Class A		82		5
Automatic Data Processing, Inc.		528		29
Cognizant Technology Solutions Corp., Class A (e)		421		32
Fidelity National Information Services, Inc.		100		3
International Business Machines Corp.		1,940		405
Mastercard, Inc., Class A		123		52
Paychex, Inc.		450		14
Visa, Inc., Class A (d)		555		66
Western Union Co. (The)		1,290		23
				629
Insurance (1.8%)
Aflac, Inc.		471		22
Allstate Corp. (The) (d)		889		29
AON Corp.		380		19
Assurant, Inc. (d)		1,261		51
Berkshire Hathaway, Inc., Class B (e)		989		80
Chubb Corp. (The)		1,546		107
Fidelity National Financial, Inc. (d)		2,892		52
Hartford Financial Services Group, Inc.		685		14
Lincoln National Corp. (d)		1,593		42
Loews Corp.		737		29
Marsh & McLennan Cos., Inc. (d)		737		24
MetLife, Inc. (d)		1,293		48
PartnerRe Ltd.		652		44
Principal Financial Group, Inc.		1,490		44
Progressive Corp. (The) (d)		713		17
Prudential Financial, Inc. (d)		380		24
Travelers Cos., Inc. (The)		685		41
Unum Group (d)		2,400		59
				746

	Shares		Value (000)
Internet & Catalog Retail (0.3%)
Amazon.com, Inc. (e)		446	$	90
Expedia, Inc. (d)		201		7
NetFlix, Inc. (d)(e)		100		11
Priceline.com, Inc. (d)(e)		37		27
TripAdvisor, Inc. (d)(e)		201		7
				142
Internet Software & Services (0.8%)
eBay, Inc. (e)		1,582		58
Google, Inc., Class A (e)		344		221
Yahoo!, Inc. (e)		3,657		56
				335
Leisure Equipment & Products (0.1%)
Hasbro, Inc. (d)		358		13
Mattel, Inc.		477		16
				29
Life Sciences Tools & Services (0.2%)
Agilent Technologies, Inc. (d)		153		7
Life Technologies Corp. (e)		265		13
Thermo Fisher Scientific, Inc.		818		46
				66
Machinery (1.0%)
Caterpillar, Inc.		1,340		143
Cummins, Inc. (d)		458		55
Deere & Co.		551		44
Eaton Corp.		300		15
Illinois Tool Works, Inc. (d)		1,867		107
ITT Corp. (d)		297		7
PACCAR, Inc.		255		12
Stanley Black & Decker, Inc.		139		11
Xylem, Inc.		594		16
				410
Media (1.7%)
AMC Networks, Inc., Class A (e)		119		5
Cablevision Systems Corp. (d)		477		7
CBS Corp., Class B		768		26
Comcast Corp., Class A		4,271		128
DIRECTV, Class A (e)		1,303		64
Discovery Communications, Inc. (d)(e)		377		19
Gannett Co., Inc. (d)		600		9
Interpublic Group of Cos., Inc. (The)		835		10
McGraw-Hill Cos., Inc. (The)		465		23
News Corp., Class A		2,959		58
Omnicom Group, Inc. (d)		437		22
Scripps Networks Interactive, Inc., Class A (d)		100		5
Time Warner Cable, Inc. (d)		546		45
Time Warner, Inc.		3,039		115
Viacom, Inc., Class B		1,020		48
Walt Disney Co. (The) (d)		2,516		110
				694

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Metals & Mining (0.5%)
Alcoa, Inc. (d)		1,129	$	11
Allegheny Technologies, Inc.		200		8
Cliffs Natural Resources, Inc.		139		10
Freeport-McMoRan Copper & Gold, Inc.		1,048		40
Molycorp, Inc. (e)		867		29
Newmont Mining Corp.		443		23
Nucor Corp.		187		8
Steel Dynamics, Inc. (d)		4,992		73
United States Steel Corp. (d)		100		3
				205
Multi-Utilities (0.7%)
CenterPoint Energy, Inc. (d)		58		1
Consolidated Edison, Inc.		405		24
Dominion Resources, Inc. (d)		1,934		99
DTE Energy Co.		58		3
Integrys Energy Group, Inc.		1,062		56
NiSource, Inc. (d)		58		2
PG&E Corp. (d)		735		32
Public Service Enterprise Group, Inc.		769		24
Sempra Energy		405		24
Wisconsin Energy Corp. (d)		455		16
Xcel Energy, Inc.		769		20
				301
Multiline Retail (0.3%)
Family Dollar Stores, Inc.		200		12
JC Penney Co., Inc. (d)		400		14
Kohl's Corp.		295		15
Macy's, Inc.		446		18
Nordstrom, Inc.		161		9
Target Corp.		904		53
				121
Office Electronics (0.0%)
Xerox Corp.		1,624		13
Oil, Gas & Consumable Fuels (3.9%)
Anadarko Petroleum Corp.		1,850		145
Apache Corp.		704		71
Chesapeake Energy Corp. (d)		3,206		74
Chevron Corp.		1,993		214
ConocoPhillips		1,969		150
Consol Energy, Inc. (d)		753		26
Denbury Resources, Inc. (e)		1,251		23
Devon Energy Corp.		703		50
El Paso Corp.		1,270		38
EOG Resources, Inc.		468		52
Exxon Mobil Corp.		3,901		338
Hess Corp.		1,010		60
Marathon Oil Corp.		700		22
Marathon Petroleum Corp.		450		19
Murphy Oil Corp.		255		14
Newfield Exploration Co. (e)		377		13
Noble Energy, Inc.		257		25

	Shares		Value (000)
Occidental Petroleum Corp.		1,179	$	112
Peabody Energy Corp.		761		22
Pioneer Natural Resources Co.		377		42
Southwestern Energy Co. (e)		1,090		33
Spectra Energy Corp. (d)		754		24
Valero Energy Corp.		649		17
Williams Cos., Inc. (The)		779		24
WPX Energy, Inc. (e)		326		6
				1,614
Paper & Forest Products (0.1%)
International Paper Co.		425		15
MeadWestvaco Corp.		1,449		46
				61
Personal Products (0.0%)
Avon Products, Inc. (d)		701		14
Estee Lauder Cos., Inc. (The), Class A (d)		70		4
				18
Pharmaceuticals (2.6%)
Abbott Laboratories		2,333		143
Allergan, Inc.		559		53
Bristol-Myers Squibb Co.		4,662		157
Eli Lilly & Co.		879		36
Hospira, Inc. (e)		820		31
Johnson & Johnson		3,694		244
Merck & Co., Inc.		4,012		154
Pfizer, Inc.		11,439		259
				1,077
Professional Services (0.0%)
Dun & Bradstreet Corp. (The)		119		10
Equifax, Inc.		149		7
				17
Real Estate Investment Trusts (REITs) (1.0%)
American Tower Corp., Class A		698		44
AvalonBay Communities, Inc. REIT		139		20
Boston Properties, Inc. REIT		190		20
Equity Residential REIT (d)		523		33
HCP, Inc. REIT		533		21
Health Care, Inc. REIT		217		12
Host Hotels & Resorts, Inc. REIT (d)		1,058		17
Kimco Realty Corp. REIT		824		16
Plum Creek Timber Co., Inc. REIT (d)		374		16
ProLogis, Inc. REIT		744		27
Public Storage REIT		213		29
Simon Property Group, Inc. REIT (d)		512		75
Ventas, Inc. REIT (d)		446		25
Vornado Realty Trust REIT		218		18
Weyerhaeuser Co. REIT		837		18
				391
Real Estate Management & Development (0.0%)
CBRE Group, Inc. (e)		716		14

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Shares		Value (000)
Road & Rail (0.5%)
CSX Corp.		1,552	$	33
Norfolk Southern Corp.		1,204		79
Union Pacific Corp.		694		75
				187
Semiconductors & Semiconductor Equipment (2.6%)
Advanced Micro Devices, Inc. (d)(e)		2,132		17
Altera Corp.		1,104		44
Analog Devices, Inc. (d)		978		40
Applied Materials, Inc.		4,295		53
Broadcom Corp., Class A (d)(e)		1,506		59
First Solar, Inc. (d)(e)		72		2
Intel Corp.		18,335		515
KLA-Tencor Corp.		519		28
Linear Technology Corp.		829		28
LSI Corp. (e)		2,024		18
Microchip Technology, Inc. (d)		663		25
Micron Technology, Inc. (e)		3,283		27
NVIDIA Corp. (e)		2,018		31
Texas Instruments, Inc.		3,879		130
Xilinx, Inc. (d)		871		32
				1,049
Software (1.8%)
Adobe Systems, Inc. (e)		932		32
Citrix Systems, Inc. (e)		414		33
Intuit, Inc. (d)		466		28
Microsoft Corp.		11,488		370
Oracle Corp.		4,572		133
Red Hat, Inc. (e)		1,513		91
Salesforce.com, Inc. (d)(e)		313		48
Symantec Corp. (e)		1,072		20
				755
Specialty Retail (1.3%)
AutoZone, Inc. (e)		39		15
Bed Bath & Beyond, Inc. (d)(e)		386		26
Best Buy Co., Inc. (d)		368		9
CarMax, Inc. (e)		442		15
Gap, Inc. (The) (d)		5,287		138
Home Depot, Inc.		3,305		166
Lowe's Cos., Inc.		1,294		41
Ltd. Brands, Inc. (d)		422		20
O'Reilly Automotive, Inc. (e)		134		12
Ross Stores, Inc.		168		10
Staples, Inc.		921		15
Tiffany & Co. (d)		134		9
TJX Cos., Inc.		1,140		45
				521
Textiles, Apparel & Luxury Goods (0.5%)
Coach, Inc.		501		39
NIKE, Inc., Class B		404		44

	Shares		Value (000)
Ralph Lauren Corp.		142	$	25
VF Corp.		546		79
				187
Thrifts & Mortgage Finance (0.0%)
Hudson City Bancorp, Inc. (d)		400		3
People's United Financial, Inc. (d)		1,100		14
				17
Tobacco (1.0%)
Altria Group, Inc.		2,587		80
Lorillard, Inc.		200		26
Philip Morris International, Inc.		2,584		229
Reynolds American, Inc.		2,031		84
				419
Wireless Telecommunication Services (0.0%)
MetroPCS Communications, Inc. (e)		600		5
Sprint Nextel Corp. (e)		2,982		9
				14
Total Common Stocks (Cost $19,143)				20,292
Convertible Preferred Stock (0.4%)
Alternative Energy (0.4%)
Better Place, Inc. (e)(f)(g) (Cost $84)		33,466		152
Investment Companies (1.0%)
iShares MSCI EMU Index Fund (d)		200		6
Morgan Stanley Institutional Fund, Inc. — Emerging Markets Portfolio (See Note G-2)		4,388		108
Technology Select Sector SPDR Fund (d)		9,300		280
Total Investment Companies (Cost $371)				394
	No. of Rights
Right (0.0%)
Pharmaceuticals (0.0%)
Sanofi (France) (e) (Cost $—@)		54		—	@
	Shares
Short-Term Investments (31.5%)
Securities held as Collateral on Loaned Securities (17.3%)
Investment Company (14.5%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		5,948,699		5,949
	Face Amount (000)
Repurchase Agreements (2.8%)
Barclays Capital, Inc., (0.15%, dated 3/30/12, due 4/2/12; proceeds $158; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 4.00% due 1/1/42; valued at $161)	$	158		158

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

	Face Amount (000)		Value (000)
Repurchase Agreements (cont'd)
Merrill Lynch & Co., Inc., (0.25%, dated 3/30/12, due 4/2/12; proceeds $976; fully collateralized by Common Stocks; Alliance Data Systems Corp.; American International Group, Inc.; Boeing Co. (The); Energy Transfer Equity LP; Freeport-McMoRan Copper & Gold, Inc.; GNC Holdings, Inc.; Hershey Co. (The); L-3 Communications Holdings, Inc.; McKesson Corp.; Teva Pharmaceutical Industries Ltd.; Two Harbors Investment Corp.; Vale SA; valued at $1,054)	$	976	$	976
				1,134
Total Securities held as Collateral on Loaned Securities (Cost $7,083)				7,083
	Shares
Investment Company (13.0%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $5,317)		5,316,709		5,317
	Face Amount (000)
U.S. Treasury Security (1.2%)
U.S. Treasury Bill
0.09%, 6/7/12 (h)	$	500		500
Total Short-Term Investments (Cost $12,900)				12,900
Total Investments (118.9%) (Cost $47,113) Including $7,630 of Securities Loaned (i)				48,702
Liabilities in Excess of Other Assets (-18.9%)				(7,732	)
Net Assets (100.0%)			$	40,970

(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, 2012.

(d)  All or a portion of this security was on loan at March 31, 2012.

(e)  Non-income producing security.

(f)  At March 31, 2012, the Portfolio held a fair valued security valued at approximately $152,000, representing 0.4% 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.

(g)  Security has been deemed illiquid at March 31, 2012.

(h)  Rate shown is the yield to maturity at March 31, 2012.

(i)  Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency exchange contracts, futures contracts and swap agreements.

@  Value is less than $500.

IO  Interest Only.

MTN  Medium Term Note.

PAC  Planned Amortization Class.

REMIC  Real Estate Mortgage Investment Conduit.

SPDR  Standard & Poor's Depository Receipt.

TBA  To Be Announced.

Foreign Currency Exchange Contracts Information:

The Portfolio had the following foreign currency exchange contracts open at period end:

Counterparty	Currency to Deliver (000)			Value (000)			Settlement Date	In Exchange For (000)			Value (000)			Unrealized Appreciation (Depreciation) (000)
Goldman Sachs International	NOK	276		$	48		4/4/12	USD	49		$	49		$	1
JPMorgan Chase Bank	USD	96			96		4/4/12	NOK	545			96			(—	)@
UBS AG	NOK	—	@		—	@	4/4/12	USD	—	@		—	@		(—	)@
UBS AG	NOK	269			47		4/4/12	USD	47			47			—	@
Goldman Sachs International	USD	42			42		4/5/12	CHF	38			42			—	@
Goldman Sachs International	USD	—	@		—	@	4/5/12	SEK	—	@		—	@		(—	)@
JPMorgan Chase Bank	CHF	38			42		4/5/12	USD	42			42			(—	)@
UBS AG	SEK	190			29		4/5/12	USD	29			29			(—	)@
UBS AG	USD	—	@		—	@	4/5/12	CHF	—	@		—	@		—	@
UBS AG	USD	28			28		4/5/12	SEK	190			29			1
Deutsche Bank AG London	AUD	418			433		4/19/12	USD	439			439			6
Deutsche Bank AG London	AUD	475			492		4/19/12	USD	497			497			5
Deutsche Bank AG London	USD	440			440		4/19/12	EUR	335			447			7
Goldman Sachs International	EUR	152			202		4/19/12	USD	199			199			(3	)
JPMorgan Chase Bank	NOK	394			69		4/19/12	USD	69			69			—	@
JPMorgan Chase Bank	USD	50			50		4/19/12	SEK	340			51			1
State Street Bank and Trust Co.	CLP	580,930			1,186		4/19/12	USD	1,193			1,193			7
UBS AG	BRL	80			43		4/19/12	USD	44			44			1
UBS AG	EUR	411			548		4/19/12	USD	539			539			(9	)
UBS AG	GBP	45			72		4/19/12	USD	70			70			(2	)
				$	3,867						$	3,882		$	15

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
DAX Index (Germany)		4	$	928		Jun-12	$	12
Euro Stoxx 50 Index (Germany)		13		418		Jun-12		(11	)
FTSE 100 Index (United Kingdom)		1		92		Jun-12		(1	)
FTSE MIB Index (United Kingdom)		4		420		Jun-12		(15	)
NIKKEI 225 Index (Japan)		6		368		Jun-12		9
S+P 500 E-Mini Index		83		5,823		Jun-12		57
U.S. Treasury 10 yr. Note		6		777		Jun-12		8
U.S. Treasury 30 yr. Bond		1		138		Jun-12		2
Short:
ASX Spi 200 Index (Australia)		1		(113	)	Jun-12		(1	)
Copper High Grade Index		1		(96	)	May-12		4
IBEX 35 Index (United Kingdom)		4		(423	)	Apr-12		—	@
MSCI Emerging Market E-Mini		15		(779	)	Jun-12		11
S+P TSE 60 Index		8		(1,129	)	Jun-12		2
U.S. Treasury 2 yr. Note		2		(440	)	Jun-12		(—	)@
Ultra Long U.S. Treasury Bond		4		(604	)	Jun-12		(3	)
							$	74

Interest Rate Swap Agreements:

The Portfolio had the following interest rate swap agreements 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 NA	6 Month EURIBOR	Pay		4.26	%	8/18/26	EUR	910	$	40
Bank of America NA	3 Month LIBOR	Receive		4.35		8/18/26	$	1,220		(22	)
Bank of America NA	6 Month EURIBOR	Receive		3.61		8/18/31	EUR	1,150		(35	)
Bank of America NA	3 Month LIBOR	Pay		4.15		8/18/31	$	1,515		21
Goldman Sachs — International	3 Month LIBOR	Receive		2.42		3/22/22		173		(2	)
JP Morgan Chase	3 Month LIBOR	Receive		2.43		3/22/22		84		(1	)
									$	1

Total Return Swap Agreements:

The Portfolio had the following total return swap agreements open at period end:

Counterparty	Index	Notional Amount (000)		Floating Rate	Pay/Receive Total Return of Referenced Index	Maturity Date	Unrealized Appreciation (Depreciation) (000)
Goldman Sachs	Custom Construction Index	$	445	1-Month USD-LIBOR-minus 0.47%	Pay	3/27/13	$	9
Goldman Sachs	Custom Miners Index		145	1-Month USD-LIBOR-minus 0.35%	Pay	2/13/13		1
Goldman Sachs	Custom Miners Index		268	1-Month USD-LIBOR-minus 0.35%	Pay	2/13/13		1
Bank of America NA	Merrill Lynch Custom Luxury Basket Index		432	3-Month USD-LIBOR-minus 0.15%	Pay	3/26/13		2
Bank of America NA	Merrill Lynch Custom Test Index		431	3-Month USD-LIBOR-minus 0.10%	Pay	3/26/13		(3	)
							$	10

@  Value is less than $500.

EURIBOR  Euro Interbank Offered Rate.

LIBOR  London Interbank Offered Rate.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Balanced Portfolio

AUD  —  Australian Dollar

BRL  —  Brazilian Real

CHF  —  Swiss Franc

CLP  —  Chilean Peso

EUR  —  Euro

GBP  —  British Pound

NOK  —  Norwegian Krone

SEK  —  Swedish Krona

USD  —  United States Dollar

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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 Mortgage	$	—	$	63	$	—	$	63
Agency Fixed Rate Mortgages		—		3,672		—		3,672
Asset-Backed Securities		—		342		—		342
Collateralized Mortgage Obligations — Agency Collateral Series		—		337		—		337
Commercial Mortgage Backed Securities		—		243		—		243
Corporate Bonds		—		3,267		—		3,267
Mortgages — Other		—		537		—		537
Municipal Bonds		—		45		—		45
Sovereign		—		184		—		184
U.S. Agency Securities		—		557		—		557
U.S. Treasury Securities		—		5,717		—		5,717
Total Fixed Income Securities		—		14,964		—		14,964
Common Stocks
Aerospace & Defense		606		—		—		606
Air Freight & Logistics		152		—		—		152
Airlines		11		—		—		11
Auto Components		123		—		—		123
Automobiles		7		—		—		7
Beverages		320		—		—		320
Biotechnology		203		—		—		203
Capital Markets		282		—		—		282
Chemicals		418		—		—		418
Commercial Banks		555		—		—		555
Commercial Services & Supplies		96		—		—		96
Communications Equipment		474		—		—		474
Computers & Peripherals		1,080		—		—		1,080
Construction & Engineering		123		—		—		123
Consumer Finance		138		—		—		138
Containers & Packaging		10		—		—		10
Distributors		13		—		—		13
Diversified Consumer Services		29		—		—		29

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)
Diversified Financial Services	$	807	$	—	$	—	$	807
Diversified Telecommunication Services		511		—		—		511
Electric Utilities		316		—		—		316
Electrical Equipment		42		—		—		42
Electronic Equipment, Instruments & Components		133		—		—		133
Energy Equipment & Services		492		—		—		492
Food & Staples Retailing		473		—		—		473
Food Products		471		—		—		471
Health Care Equipment & Supplies		317		—		—		317
Health Care Providers & Services		634		—		—		634
Health Care Technology		22		—		—		22
Hotels, Restaurants & Leisure		430		—		—		430
Household Durables		79		—		—		79
Household Products		408		—		—		408
Independent Power Producers & Energy Traders		44		—		—		44
Industrial Conglomerates		441		—		—		441
Information Technology Services		629		—		—		629
Insurance		746		—		—		746
Internet & Catalog Retail		142		—		—		142
Internet Software & Services		335		—		—		335
Leisure Equipment & Products		29		—		—		29
Life Sciences Tools & Services		66		—		—		66
Machinery		410		—		—		410
Media		694		—		—		694
Metals & Mining		205		—		—		205
Multi-Utilities		301		—		—		301
Multiline Retail		121		—		—		121
Office Electronics		13		—		—		13
Oil, Gas & Consumable Fuels		1,614		—		—		1,614
Paper & Forest Products		61		—		—		61
Personal Products		18		—		—		18
Pharmaceuticals		1,077		—		—		1,077
Professional Services		17		—		—		17
Real Estate Investment Trusts (REITs)		391		—		—		391
Real Estate Management & Development		14		—		—		14
Road & Rail		187		—		—		187

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

2012 Semi-Annual Report

March 31, 2012 (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)
Semiconductors & Semiconductor Equipment	$	1,049		$	—		$	—	$	1,049
Software		755			—			—		755
Specialty Retail		521			—			—		521
Textiles, Apparel & Luxury Goods		187			—			—		187
Thrifts & Mortgage Finance		17			—			—		17
Tobacco		419			—			—		419
Wireless Telecommunication Services		14			—			—		14
Total Common Stocks		20,292			—			—		20,292
Convertible Preferred Stock		—			—			152		152
Investment Companies		394			—			—		394
Right		—	@		—			—		—	@
Short-Term Investments
Repurchase Agreements		—			1,134			—		1,134
Investment Company		11,266			—			—		11,266
U.S. Treasury Security		—			500			—		500
Total Short-Term Investments		11,266			1,634			—		12,900
Foreign Currency Exchange Contracts		—			29			—		29
Futures Contracts		105			—			—		105
Interest Rate Swap Agreements		—			61			—		61
Total Return Swap Agreements		—			13			—		13
Total Assets		32,057			16,701			152		48,910
Liabilities:
Foreign Currency Exchange Contracts		—			(14	)		—		(14	)
Futures Contracts		(31	)		—			—		(31	)
Interest Rate Swap Agreements		—			(60	)		—		(60	)
Total Return Swap Agreements		—			(3	)		—		(3	)
Total Liabilities		(31	)		(77	)		—		(108	)
Total	$	32,026		$	16,624		$	152	$	48,802

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, 2012, the Portfolio did not have any significant investments transfer between investment 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.

	Convertible Preferred Stock (000)
Beginning Balance	$	84
Purchases		—
Sales		—
Amortization of discount		—
Transfers in		—
Transfers out		—
Change in unrealized appreciation (depreciation)		68
Realized gains (losses)		—
Ending Balance	$	152
Net change in unrealized appreciation/depreciation from investments still held as of March 31, 2012	$	68

@ Value is less than $500.

Portfolio Composition*

Classification	Percentage of Total Investments
Common Stocks		48.8	%
Fixed Income Securities		35.9
Short-Term Investments		14.0
Other**		1.3
Total Investments		100.0	%***

*  Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of March 31, 2012.

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

***  Does not include open long/short futures contracts with a value of approximately $12,548,000 and net unrealized appreciation of approximately $74,000. Also does not include open foreign currency exchange contracts with net unrealized appreciation of approximately $15,000 and open swap agreements with net unrealized appreciation of approximately $11,000.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Mid Cap Growth Portfolio

	Shares		Value (000)
Common Stocks (96.9%)
Air Transport (2.0%)
Expeditors International of Washington, Inc.		3,004,615	$	139,745
Alternative Energy (2.6%)
Range Resources Corp.		2,047,125		119,020
Ultra Petroleum Corp. (a)		2,977,886		67,389
				186,409
Asset Management & Custodian (0.7%)
Greenhill & Co., Inc.		1,073,048		46,828
Biotechnology (3.8%)
IDEXX Laboratories, Inc. (a)		1,280,698		111,997
Illumina, Inc. (a)		2,938,723		154,606
				266,603
Cement (1.1%)
Martin Marietta Materials, Inc.		888,183		76,055
Chemicals: Diversified (2.6%)
Intrepid Potash, Inc. (a)		3,116,709		75,830
Rockwood Holdings, Inc. (a)		2,056,282		107,235
				183,065
Commercial Services (8.4%)
Gartner, Inc. (a)		2,571,500		109,649
Intertek Group PLC (United Kingdom)		3,156,547		126,778
Leucadia National Corp.		3,380,338		88,227
MercadoLibre, Inc. (Brazil)		695,150		67,978
Weight Watchers International, Inc.		2,636,286		203,495
				596,127
Communications Technology (5.0%)
Millicom International Cellular SA SDR (Sweden)		571,172		64,751
Motorola Solutions, Inc.		5,676,901		288,557
				353,308
Computer Services, Software & Systems (16.0%)
Akamai Technologies, Inc. (a)		3,324,944		122,025
Alibaba.com Ltd. (China) (a)(b)		31,471,356		53,495
Citrix Systems, Inc. (a)		783,246		61,806
IHS, Inc., Class A (a)		1,164,845		109,088
LinkedIn Corp., Class A (a)		2,049,409		209,019
Red Hat, Inc. (a)		1,832,620		109,756
Salesforce.com, Inc. (a)		1,045,265		161,504
Solera Holdings, Inc.		2,707,326		124,239
Zynga, Inc., Class A (a)		10,638,003		139,890
Zynga, Inc., Class B (a)(c)(d)	��	3,390,490		42,347
				1,133,169
Computer Technology (3.6%)
NVIDIA Corp. (a)		1,396,016		21,485
Yandex N.V., Class A (Russia) (a)		6,056,854		162,747
Youku.com, Inc. ADR (China) (a)		3,106,136		68,304
				252,536
Consumer Lending (1.5%)
IntercontinentalExchange, Inc. (a)		776,648		106,727

	Shares		Value (000)
Consumer Services: Miscellaneous (2.2%)
Qualicorp SA (Brazil) (a)		10,808,545	$	92,664
Sun Art Retail Group Ltd. (Hong Kong) (a)		45,309,110		61,380
				154,044
Cosmetics (0.9%)
Natura Cosmeticos SA (Brazil)		2,917,711		63,455
Diversified Materials & Processing (1.4%)
Schindler Holding AG (Switzerland)		838,395		100,864
Diversified Media (3.0%)
Factset Research Systems, Inc.		1,027,933		101,806
McGraw-Hill Cos., Inc. (The)		2,311,282		112,028
				213,834
Diversified Retail (9.2%)
Ctrip.com International Ltd. ADR (China) (a)		2,278,685		49,311
Dollar Tree, Inc. (a)		1,137,155		107,450
Fastenal Co.		4,968,859		268,815
Groupon, Inc. (a)		935,773		17,199
Groupon, Inc. Series A (a)(c)(d)		5,992,988		106,495
NetFlix, Inc. (a)		857,715		98,672
				647,942
Education Services (0.9%)
New Oriental Education & Technology Group, Inc. ADR (China) (a)		2,450,769		67,298
Electronic Entertainment (0.8%)
Nexon Co., Ltd. (Korea, Republic of) (a)		3,097,745		53,968
Financial Data & Systems (5.4%)
MSCI, Inc., Class A (a)		5,067,356		186,530
Verisk Analytics, Inc., Class A (a)		4,088,659		192,044
				378,574
Health Care Services (2.6%)
athenahealth, Inc. (a)		1,159,804		85,965
Stericycle, Inc. (a)		1,151,676		96,326
				182,291
Media (0.5%)
Legend Pictures LLC Ltd. (a)(c)(d)		34,510		36,896
Medical & Dental Instruments & Supplies (1.2%)
Techne Corp.		1,227,668		86,060
Medical Equipment (3.9%)
Intuitive Surgical, Inc. (a)		506,387		274,335
Metals & Minerals: Diversified (1.6%)
Lynas Corp. Ltd. (Australia) (a)		23,242,119		26,363
Molycorp, Inc. (a)		2,602,753		88,051
				114,414
Pharmaceuticals (5.1%)
Ironwood Pharmaceuticals, Inc. (a)		3,422,223		45,550
Mead Johnson Nutrition Co.		2,282,409		188,253
Valeant Pharmaceuticals International, Inc. (Canada) (a)		2,372,203		127,363
				361,166

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Mid Cap Growth Portfolio

	Shares		Value (000)
Publishing (1.4%)
Morningstar, Inc.		1,541,657	$	97,201
Recreational Vehicles & Boats (3.6%)
Edenred (France)		8,459,946		254,545
Restaurants (1.2%)
Dunkin' Brands Group, Inc.		2,756,896		83,010
Scientific Instruments: Pollution Control (1.0%)
Covanta Holding Corp.		4,560,544		74,018
Semiconductors & Components (2.0%)
ARM Holdings PLC ADR (United Kingdom)		3,882,222		109,828
First Solar, Inc. (a)		1,139,195		28,537
				138,365
Utilities: Electrical (1.7%)
Brookfield Infrastructure Partners LP (Canada)		3,774,214		119,265
Total Common Stocks (Cost $5,610,323)				6,842,117
Convertible Preferred Stocks (1.1%)
Alternative Energy (0.8%)
Better Place, Inc. (a)(c)(d)		9,009,542		40,903
Better Place, Inc. Series C (a)(c)(d)		2,796,975		12,698
				53,601
Computer Services, Software & Systems (0.1%)
Workday, Inc. (a)(c)(d)		805,930		10,687
Technology: Miscellaneous (0.2%)
Peixe Urbano, Inc. (Brazil) (a)(c)(d)		542,936		17,874
Total Convertible Preferred Stocks (Cost $63,782)				82,162
Short-Term Investment (2.5%)
Investment Company (2.5%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $174,656)		174,655,713		174,656
Total Investments (100.5%) (Cost $5,848,761)				7,098,935
Liabilities in Excess of Other Assets (-0.5%)				(38,705	)
Net Assets (100.0%)			$	7,060,230

(a)  Non-income producing security.

(b)  Security trades on the Hong Kong exchange.

(c)  At March 31, 2012, the Portfolio held fair valued securities valued at approximately $267,900,000, representing 3.8% 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.

(d)  Security has been deemed illiquid at March 31, 2012.

ADR  American Depositary Receipt.

SDR  Swedish Depositary Receipt.

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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
Air Transport	$	139,745	$	—	$	—	$	139,745
Alternative Energy		186,409		—		—		186,409
Asset Management & Custodian		46,828		—		—		46,828
Biotechnology		266,603		—		—		266,603
Cement		76,055		—		—		76,055
Chemicals: Diversified		183,065		—		—		183,065
Commercial Services		596,127		—		—		596,127
Communications Technology		353,308		—		—		353,308
Computer Services, Software & Systems		1,090,822		—		42,347		1,133,169
Computer Technology		252,536		—		—		252,536
Consumer Lending		106,727		—		—		106,727
Consumer Services: Miscellaneous		154,044		—		—		154,044
Cosmetics		63,455		—		—		63,455
Diversified Materials & Processing		100,864		—		—		100,864
Diversified Media		213,834		—		—		213,834
Diversified Retail		541,447		—		106,495		647,942
Education Services		67,298		—		—		67,298
Electronic Entertainment		53,968		—		—		53,968
Financial Data & Systems		378,574		—		—		378,574
Health Care Services		182,291		—		—		182,291
Media		—		—		36,896		36,896
Medical & Dental Instruments & Supplies		86,060		—		—		86,060
Medical Equipment		274,335		—		—		274,335
Metals & Minerals: Diversified		114,414		—		—		114,414
Pharmaceuticals		361,166		—		—		361,166
Publishing		97,201		—		—		97,201
Recreational Vehicles & Boats		254,545		—		—		254,545
Restaurants		83,010		—		—		83,010
Scientific Instruments: Pollution Control		74,018		—		—		74,018
Semiconductors & Components		138,365		—		—		138,365
Utilities: Electrical		119,265		—		—		119,265
Total Common Stocks		6,656,379		—		185,738		6,842,117
Convertible Preferred Stocks		—		—		82,162		82,162
Short-Term Investment —
Investment Company		174,656		—		—		174,656
Total Assets	$	6,831,035	$	—	$	267,900	$	7,098,935

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Mid Cap Growth Portfolio

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, 2012, securities with a total value of approximately $587,312,000 transferred from Level 2 to Level 1. At September 30, 2011 the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of foreign markets which they trade and the close of business on the NYSE which resulted in their Level 2 classification.

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

	Common Stocks (000)		Convertible Preferred Stocks (000)			Preferred Stock (000)
Beginning Balance	$	—	$	118,412		$	47,566
Purchases		36,896		41,259			—
Sales		—		—			—
Amortization of discount		—		—			—
Transfers in		—		—			—
Transfers out		—		—			—
Corporate Action		94,895		(47,329	)		(47,566	)
Change in unrealized appreciation (depreciation)		53,947		(30,180	)		—
Realized gains (losses)		—		—			—
Ending Balance	$	185,738	$	82,162		$	—
Net change in unrealized appreciation/depreciation from investments still held as of March 31, 2012	$	5,389	$	18,379		$	—

Portfolio Composition

Classification	Percentage of Total Investments
Other*		51.1	%
Computer Services, Software & Systems		16.0
Diversified Retail		9.1
Commercial Services		8.4
Financial Data & Systems		5.3
Pharmaceuticals		5.1
Communications Technology		5.0
Total Investments		100.0	%

*  Industries representing less than 5% of total investments.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (96.2%)
Agency Fixed Rate Mortgages (28.4%)
Federal Home Loan Mortgage Corporation,
April TBA:
3.00%, 4/25/27 (a)	$	1,205	$	1,246
3.50%, 4/25/42 (a)		610		625
Gold Pools:
4.00%, 12/1/41		288		302
5.00%, 10/1/35		937		1,010
6.00%, 5/1/37 - 10/1/38		353		392
7.50%, 5/1/35		64		77
8.00%, 8/1/32		32		39
8.50%, 8/1/31		52		64
Federal National Mortgage Association,
April TBA:
2.50%, 4/25/27 (a)		605		613
4.50%, 4/25/42 (a)		275		293
Conventional Pools:
4.00%, 11/1/41 - 12/1/41		1,680		1,764
4.50%, 8/1/40 - 8/1/41		2,196		2,351
5.00%, 3/1/39		896		983
5.50%, 4/1/34 - 2/1/38		2,120		2,323
6.00%, 1/1/38		230		253
6.50%, 7/1/29 - 2/1/33		389		445
7.00%, 10/1/31 - 12/1/31		3		3
7.50%, 8/1/37		108		130
8.00%, 4/1/33		79		96
8.50%, 10/1/32		78		95
Government National Mortgage Association,
April TBA:
3.50%, 4/25/42 (a)		1,305		1,361
4.00%, 4/25/42 (a)		1,935		2,076
Various Pools:
4.50%, 4/15/39 - 8/15/39		590		644
				17,185
Asset-Backed Securities (6.1%)
Ally Master Owner Trust
2.88%, 4/15/15 (b)		225		229
ARI Fleet Lease Trust
1.69%, 8/15/18 (b)(c)		30		30
Brazos Higher Education Authority
1.41%, 7/25/29 (c)		325		318
CVS Pass-Through Trust
6.04%, 12/10/28		73		81
Discover Card Master Trust
0.59%, 8/15/16 (c)		300		302
Enterprise Fleet Financing LLC,
1.43%, 10/20/16 (b)		200		200
1.62%, 5/20/17 (b)		120		120
Ford Credit Floorplan Master Owner Trust
2.12%, 2/15/16		175		179

	Face Amount (000)		Value (000)
FUEL Trust
4.21%, 4/15/16 (b)	$	200	$	205
Great America Leasing Receivables
1.69%, 2/15/14 (b)		300		301
Louisiana Public Facilities Authority
1.46%, 4/26/27 (c)		325		316
Macquarie Equipment Funding Trust
1.21%, 9/20/13 (b)		234		234
Mercedes-Benz Auto Lease Trust
1.18%, 11/15/13 (b)		350		351
MMCA Automobile Trust
1.22%, 1/15/15 (b)		225		226
North Carolina State Education Assistance Authority
1.46%, 1/26/26 (c)		225		222
Panhandle-Plains Higher Education Authority, Inc.
1.42%, 7/1/24 (c)		125		123
Textainer Marine Containers Ltd.
4.70%, 6/15/26 (b)		231		236
				3,673
Collateralized Mortgage Obligations — Agency Collateral Series (6.8%)
Federal Home Loan Mortgage Corporation,
2.32%, 10/25/18		155		157
2.70%, 5/25/18		335		348
2.97%, 10/25/21		300		306
3.87%, 4/25/21		325		353
IO
0.68%, 1/25/21 (c)		2,283		96
IO PAC REMIC
6.23%, 6/15/40 (c)		1,946		374
IO STRIPS
8.00%, 1/1/28		22		6
REMIC
6.66%, 1/15/42 (c)(d)		126		119
Federal National Mortgage Association,
3.76%, 6/25/21		110		117
IO
6.15%, 9/25/20 (c)		1,773		497
IO REMIC
6.36%, 9/25/38 (c)		607		129
REMIC
6.66%, 1/25/42 (c)(d)		312		298
9.11%, 10/25/41 (c)(d)		219		211
Government National Mortgage Association,
IO
1.37%, 4/16/53 (c)		4,545		368
IO REMIC
0.85%, 8/20/58 (c)		2,953		100
5.00%, 2/16/41		177		33
5.81%, 11/16/40 (c)		1,182		227
6.34%, 6/20/40 (c)		874		155
6.36%, 4/16/41 (c)		1,239		236
				4,130

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Commercial Mortgage Backed Securities (3.3%)
DBUBS Mortgage Trust
4.54%, 7/10/44 (b)	$	350	$	382
GS Mortgage Securities Corp. II
3.71%, 8/10/44		240		251
JP Morgan Chase Commercial Mortgage Securities Corp.,
4.17%, 8/15/46		240		260
4.39%, 7/15/46 (b)		350		381
4.72%, 2/15/46 (b)		335		372
WF-RBS Commercial Mortgage Trust
4.87%, 2/15/44 (b)(c)		315		352
				1,998
Corporate Bonds (29.0%)
Finance (10.7%)
ABB Treasury Center USA, Inc.
2.50%, 6/15/16 (b)		175		179
Abbey National Treasury Services PLC
3.88%, 11/10/14 (b)		140		141
Aegon N.V.
4.63%, 12/1/15		175		186
Barclays Bank PLC
6.05%, 12/4/17 (b)		100		103
Berkshire Hathaway, Inc.
3.75%, 8/15/21 (e)		235		243
BNP Paribas SA
5.00%, 1/15/21		135		137
Boston Properties LP
5.88%, 10/15/19		30		34
Brookfield Asset Management, Inc.
5.80%, 4/25/17		65		70
Cigna Corp.,
2.75%, 11/15/16		70		71
5.38%, 2/15/42		10		10
Citigroup, Inc. (See Note G-2),
6.13%, 11/21/17 (e)		15		17
6.13%, 5/15/18		180		202
8.50%, 5/22/19		85		105
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect
3.38%, 1/19/17		130		133
Coventry Health Care, Inc.
5.45%, 6/15/21		120		132
Credit Suisse,
5.40%, 1/14/20 (e)		135		139
6.00%, 2/15/18		60		65
Dexus Diversified Trust/Dexus Office Trust
5.60%, 3/15/21 (b)		100		100
Digital Realty Trust LP
5.25%, 3/15/21		100		103
DNB Bank ASA
3.20%, 4/3/17 (b)(f)		205		206

	Face Amount (000)		Value (000)
ERP Operating LP
4.63%, 12/15/21	$	45	$	48
General Electric Capital Corp.,
5.30%, 2/11/21		110		119
Series G
6.00%, 8/7/19		190		222
Goldman Sachs Group, Inc. (The)
5.75%, 1/24/22		285		294
Hartford Financial Services Group, Inc.
5.50%, 3/30/20 (e)		110		118
HBOS PLC,
Series G
6.75%, 5/21/18 (b)		340		320
HSBC Holdings PLC
4.00%, 3/30/22		165		164
JPMorgan Chase & Co.
4.95%, 3/25/20		80		86
MetLife, Inc.
7.72%, 2/15/19		60		76
Mizuho Corporate Bank Ltd.
2.55%, 3/17/17 (b)(e)		205		205
National Australia Bank
2.75%, 3/9/17		250		249
Nationwide Building Society
6.25%, 2/25/20 (b)		145		151
Nationwide Financial Services
5.38%, 3/25/21 (b)		75		77
Nordea Bank AB
4.88%, 5/13/21 (b)		200		195
Pacific LifeCorp
6.00%, 2/10/20 (b)		125		137
Platinum Underwriters Finance, Inc.,
Series B
7.50%, 6/1/17		120		128
Principal Financial Group, Inc.
8.88%, 5/15/19		100		128
Prudential Financial, Inc.
7.38%, 6/15/19 (e)		270		334
Santander Holdings USA, Inc.
4.63%, 4/19/16 (e)		40		41
Societe Generale SA
5.20%, 4/15/21 (b)(e)		200		192
Standard Chartered Bank
6.40%, 9/26/17 (b)		100		111
Svenska Handelsbanken AB
2.88%, 4/4/17 (f)		250		250
UDR, Inc.,
Series 0001 MTN
4.63%, 1/10/22		85		87
UnitedHealth Group, Inc.
6.63%, 11/15/37		120		152
Wachovia Corp.
5.63%, 10/15/16		60		67

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
WEA Finance LLC
4.63%, 5/10/21 (b)	$	75	$	76
Wells Fargo & Co.
5.63%, 12/11/17 (e)		60		70
				6,473
Industrials (15.9%)
Agilent Technologies, Inc.
5.50%, 9/14/15		120		135
Air Products & Chemicals, Inc.
2.00%, 8/2/16		165		169
Albemarle Corp.
4.50%, 12/15/20		110		118
Altria Group, Inc.,
4.13%, 9/11/15		50		55
9.25%, 8/6/19		125		168
American Honda Finance Corp.
2.13%, 2/28/17 (b)		200		201
Anglo American Capital PLC
9.38%, 4/8/19 (b)		100		132
ArcelorMittal
9.85%, 6/1/19 (e)		100		120
Aristotle Holding, Inc.
2.65%, 2/15/17 (b)		110		111
AT&T, Inc.,
3.88%, 8/15/21 (e)		45		48
6.30%, 1/15/38		170		200
BAA Funding Ltd.
4.88%, 7/15/21 (b)(e)		170		174
Barrick Gold Corp.
3.85%, 4/1/22		75		75
Barrick North America Finance LLC
4.40%, 5/30/21		95		100
BAT International Finance PLC
9.50%, 11/15/18 (b)		165		225
Bemis Co., Inc.
4.50%, 10/15/21		110		115
Best Buy Co., Inc.
3.75%, 3/15/16 (e)		165		167
Boeing Capital Corp.
2.13%, 8/15/16 (e)		175		181
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		85		104
Burlington Northern Santa Fe LLC
5.65%, 5/1/17		115		134
Canadian Oil Sands Ltd.
7.75%, 5/15/19 (b)		125		153
Coca-Cola Co. (The)
1.65%, 3/14/18		150		149
Comcast Corp.,
5.15%, 3/1/20 (e)		75		86
5.70%, 5/15/18		50		59

	Face Amount (000)		Value (000)
ConAgra Foods, Inc.
8.25%, 9/15/30	$	115	$	146
Corning, Inc.
4.75%, 3/15/42 (e)		50		49
CRH America, Inc.
6.00%, 9/30/16		135		147
Daimler Finance North America LLC
8.50%, 1/18/31		55		80
Darden Restaurants, Inc.
6.20%, 10/15/17		205		232
Delhaize Group SA
5.70%, 10/1/40		106		98
Deutsche Telekom International Finance BV
8.75%, 6/15/30		65		90
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
3.80%, 3/15/22 (b)		75		74
5.88%, 10/1/19 (e)		125		143
Ecolab, Inc.
3.00%, 12/8/16		90		94
Fiserv, Inc.
3.13%, 6/15/16		80		82
Georgia-Pacific LLC
5.40%, 11/1/20 (b)(e)		90		101
Gilead Sciences, Inc.,
4.50%, 4/1/21 (e)		95		101
5.65%, 12/1/41		75		80
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (b)		100		106
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (b)		105		123
Hess Corp.
6.00%, 1/15/40		175		201
Hewlett-Packard Co.
4.65%, 12/9/21		165		173
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (b)		85		88
Kinross Gold Corp.
5.13%, 9/1/21 (b)(e)		115		117
KLA-Tencor Corp.
6.90%, 5/1/18		145		173
Koninklijke Philips Electronics
3.75%, 3/15/22		150		151
Kraft Foods, Inc.
5.38%, 2/10/20		195		226
L-3 Communications Corp.
4.75%, 7/15/20 (e)		135		140
Macy's Retail Holdings, Inc.
3.88%, 1/15/22		55		55
Marathon Petroleum Corp.
5.13%, 3/1/21 (e)		195		212
NBC Universal Media LLC
5.15%, 4/30/20		140		159

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
News America, Inc.
4.50%, 2/15/21	$	75	$	80
Nordstrom, Inc.
4.00%, 10/15/21		85		91
PepsiCo, Inc.
2.75%, 3/5/22		125		122
Phillips 66
4.30%, 4/1/22 (b)		100		102
Quest Diagnostics, Inc.
6.95%, 7/1/37		95		116
SABMiller Holdings, Inc.
3.75%, 1/15/22 (b)		200		204
Sanofi
4.00%, 3/29/21 (e)		135		147
Sonoco Products Co.
5.75%, 11/1/40		100		107
Syngenta Finance
3.13%, 3/28/22		80		81
Telstra Corp., Ltd.
4.80%, 10/12/21 (b)(e)		100		109
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/21		215		218
Time Warner Cable, Inc.,
6.75%, 6/15/39 (e)		40		48
8.75%, 2/14/19 (e)		55		72
Time Warner, Inc.,
4.70%, 1/15/21		100		109
4.75%, 3/29/21 (e)		90		99
5.88%, 11/15/16		75		88
Total Capital International SA
2.88%, 2/17/22 (e)		150		144
Vale Overseas Ltd.
5.63%, 9/15/19		110		123
Valspar Corp.
4.20%, 1/15/22		155		159
Verizon Communications, Inc.,
4.60%, 4/1/21 (e)		30		33
8.95%, 3/1/39		50		77
VF Corp.
3.50%, 9/1/21		105		108	��
Vivendi SA
6.63%, 4/4/18 (b)		120		135
Volkswagen International Finance
2.38%, 3/22/17 (b)		115		116
Wesfarmers Ltd.
2.98%, 5/18/16 (b)		85		87
Woolworths Ltd.
4.00%, 9/22/20 (b)		125		129
WPP Finance UK
8.00%, 9/15/14		100		115
				9,639

	Face Amount (000)		Value (000)
Utilities (2.4%)
EDF SA
4.60%, 1/27/20 (b)	$	80	$	85
Energy Transfer Partners LP
9.00%, 4/15/19		58		72
Enterprise Products Operating LLC,
5.25%, 1/31/20 (e)		50		56
Series N
6.50%, 1/31/19		160		190
Exelon Generation Co., LLC
6.25%, 10/1/39		140		164
FirstEnergy Solutions Corp.
6.05%, 8/15/21		225		253
Kinder Morgan Energy Partners LP
5.95%, 2/15/18		160		187
Plains All American Pipeline LP/PAA Finance Corp.,
6.70%, 5/15/36		160		188
8.75%, 5/1/19 (e)		65		85
PPL WEM Holdings PLC
3.90%, 5/1/16 (b)		150		156
				1,436
				17,548
Municipal Bonds (1.5%)
Chicago, IL, Transit Authority
6.20%, 12/1/40		100		114
City of Chicago, IL,
O'Hare International Airport Revenue
6.40%, 1/1/40		40		49
City of New York, NY,
Series G-1
5.97%, 3/1/36		85		104
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds
6.18%, 1/1/34		130		156
Municipal Electric Authority of Georgia
6.66%, 4/1/57		155		174
New York City Transitional Finance Authority
5.27%, 5/1/27		80		95
State of California, General Obligation Bonds
5.95%, 4/1/16		175		198
				890
Sovereign (1.2%)
Bermuda Government International Bond
5.60%, 7/20/20 (b)		100		113
Brazilian Government International Bond
4.88%, 1/22/21 (e)		220		250
Korea Development Bank
4.38%, 8/10/15		130		138
Mexico Government International Bond
3.63%, 3/15/22 (e)		200		205
				706

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

	Face Amount (000)		Value (000)
U.S. Agency Securities (2.0%)
Federal National Mortgage Association,
1.25%, 9/28/16	$	230	$	232
5.38%, 6/12/17		700		844
6.63%, 11/15/30		100		142
				1,218
U.S. Treasury Securities (17.9%)
U.S. Treasury Bonds
3.88%, 8/15/40 (e)		1,840		2,036
U.S. Treasury Notes,
1.00%, 9/30/16		600		602
1.25%, 10/31/15		2,165		2,208
1.75%, 3/31/14 - 7/31/15		2,380		2,457
2.25%, 3/31/16 (e)		3,305		3,497
				10,800
Total Fixed Income Securities (Cost $56,263)				58,148
	Shares
Short-Term Investments (24.5%)
Securities held as Collateral on Loaned Securities (10.8%)
Investment Company (9.1%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		5,464,006		5,464
	Face Amount (000)
Repurchase Agreements (1.7%)
Barclays Capital, Inc., (0.15%, dated 3/30/12, due 4/2/12; proceeds $145; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 4.00% due 1/1/42; valued at $148)	$	145		145
Merrill Lynch & Co., Inc., (0.25%, dated 3/30/12, due 4/2/12; proceeds $896; fully collateralized by Common Stocks; Alliance Data Systems Corp.; American International Group, Inc.; Boeing Co. (The); Energy Transfer Equity LP; Freeport-McMoRan Copper & Gold, Inc.; GNC Holdings, Inc.; Hershey Co. (The); L-3 Communications Holdings, Inc.; McKesson Corp.; Teva Pharmaceutical Industries Ltd.; Two Harbors Investment Corp.; Vale SA; valued at $968)		896		896
				1,041
Total Securities held as Collateral on Loaned Securities (Cost $6,505)				6,505
	Shares
Investment Company (6.7%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $4,059)		4,058,702		4,059

	Face Amount (000)		Value (000)
U.S. Treasury Securities (7.0%)
U.S. Treasury Bills,
0.05%, 6/7/12 (g)	$	1,875	$	1,874
0.07%, 5/10/12 (e)(g)		2,000		2,000
0.14%, 8/30/12 (g)(h)(i)		363		363
				4,237
Total Short-Term Investments (Cost $14,801)				14,801
Total Investments (120.7%) (Cost $71,064) Including $8,402 of Securities Loaned (j)				72,949
Liabilities in Excess of Other Assets (-20.7%)				(12,531	)
Net Assets (100.0%)			$	60,418

(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, 2012.

(d)  Inverse Floating Rate Security — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2012.

(e)  All or a portion of this security was on loan at March 31, 2012.

(f)  When-issued security.

(g)  Rate shown is the yield to maturity at March 31, 2012.

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

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

(j)  Securities are available for collateral in connection with purchase of when-issued securities, securities purchased on a forward commitment basis, open futures contracts and swap agreements.

IO  Interest Only.

MTN  Medium Term Note.

PAC  Planned Amortization Class.

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.
23

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		16	$	3,522		Jun-12	$	(2	)
Short:
U.S. Treasury 5 yr. Note		11		(1,348	)	Jun-12		(1	)
U.S. Treasury 10 yr. Note		11		(1,424	)	Jun-12		(4	)
U.S. Treasury 10 yr. Note		3		(344	)	Jun-12		(4	)
U.S. Treasury 30 yr. Bond		3		(413	)	Jun-12		12
Ultra Long U.S. Treasury Bond		4		(604	)	Jun-12		(11	)
							$	(10	)

Zero Coupon Swap Agreements:

The Portfolio had the following zero coupon swap agreements 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	$	1,726	3 Month LIBOR	Pay	11/15/19	$	59		$	246
Barclays Capital		1,457	3 Month LIBOR	Receive	11/15/19		(105	)		(455	)
									$	(209	)

LIBOR  London Interbank Offered Rate.

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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 Fixed Rate Mortgages	$	—	$	17,185	$	—	$	17,185
Asset-Backed Securities		—		3,673		—		3,673
Collateralized Mortgage Obligations — Agency Collateral Series		—		4,130		—		4,130
Commercial Mortgage Backed Securities		—		1,998		—		1,998
Corporate Bonds		—		17,548		—		17,548
Municipal Bonds		—		890		—		890
Sovereign		—		706		—		706
U.S. Agency Securities		—		1,218		—		1,218

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. Treasury Securities	$	—		$	10,800		$	—	$	10,800
Total Fixed Income Securities		—			58,148			—		58,148
Short-Term Investments
Repurchase Agreements		—			1,041			—		1,041
Investment Companies		9,523			—			—		9,523
U.S. Treasury Securities		—			4,237			—		4,237
Total Short-Term Investments		9,523			5,278			—		14,801
Futures Contracts		12			—			—		12
Zero Coupon Swap Agreements		—			246			—		246
Total Assets		9,535			63,672			—		73,207
Liabilities:
Futures Contracts		(22	)		—			—		(22	)
Zero Coupon Swap Agreements		—			(455	)		—		(455	)
Total Liabilities		(22	)		(455	)		—		(477	)
Total	$	9,513		$	63,217		$	—	$	72,730

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Fixed Income Portfolio

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

Portfolio Composition*

Classification	Percentage of Total Investments
Agency Fixed Rate Mortgages		25.9	%
U.S. Treasury Securities		16.3
Industrials		14.5
Short-Term Investments		12.5
Finance		9.7
Other**		9.4
Collateralized Mortgage Obligations — Agency Collateral Series		6.2
Asset-Backed Securities		5.5
Total Investments		100.0	%***

*  Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of March 31, 2012.

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

***  Does not include open long/short futures contracts with an underlying face amount of approximately $7,655,000 and net unrealized depreciation of approximately $10,000 and open swap agreements with net unrealized depreciation of approximately $209,000.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Core Plus Fixed Income Portfolio

	Face Amount (000)			Value (000)
Fixed Income Securities (96.0%)
Agency Adjustable Rate Mortgages (0.7%)
Federal National Mortgage Association,
Conventional Pools:
2.39%, 5/1/35	$	1,884		$	1,993
Agency Fixed Rate Mortgages (27.4%)
Federal Home Loan Mortgage Corporation,
April TBA:
3.00%, 4/25/27 (a)		2,600			2,689
3.50%, 4/25/42 (a)		2,680			2,747
Conventional Pools:
12.00%, 2/1/15		1			1
13.00%, 6/1/19		—	@		—	@
Gold Pools:
4.00%, 12/1/41		2,883			3,022
4.50%, 6/1/39 - 3/1/41		9,486			10,067
5.00%, 10/1/35		352			380
6.00%, 10/1/36 - 8/1/38		1,789			1,980
6.50%, 3/1/16 - 8/1/33		433			492
7.00%, 6/1/28 - 11/1/31		152			177
Federal National Mortgage Association,
April TBA:
2.50%, 4/25/27 (a)		2,720			2,758
4.50%, 4/25/42 (a)		2,550			2,713
Conventional Pools:
4.00%, 11/1/41 - 1/1/42		13,165			13,822
5.00%, 1/1/37 - 3/1/41		3,375			3,664
5.50%, 6/1/35 - 5/1/41		10,825			11,878
6.00%, 5/1/38		2,045			2,256
6.50%, 11/1/23 - 1/1/34		5,285			6,039
7.00%, 11/1/13 - 1/1/34		816			945
8.50%, 1/1/15		3			3
9.50%, 4/1/30		720			864
12.00%, 11/1/15		25			26
12.50%, 9/1/15		5			5
Government National Mortgage Association,
April TBA:
3.50%, 4/25/42 (a)		3,125			3,257
4.00%, 4/25/42 (a)		2,700			2,897
Various Pool
4.50%, 8/15/39		746			814
					73,496
Asset-Backed Securities (2.5%)
ARI Fleet Lease Trust
1.69%, 8/15/18 (b)(c)		197			197
Contimortgage Home Equity Trust
8.10%, 8/15/25		43			43
CVS Pass-Through Trust
6.04%, 12/10/28		636			700
FUEL Trust
4.21%, 4/15/16 (c)		860			883
Mid-State Trust
8.33%, 4/1/30		33			33

	Face Amount (000)		Value (000)
Santander Drive Auto Receivables Trust
3.06%, 11/15/17	$	1,075	$	1,078
SLM Student Loan Trust
4.37%, 4/17/28 (c)		825		857
Textainer Marine Containers Ltd.
4.70%, 6/15/26 (c)		694		709
U-Haul S Fleet LLC
4.90%, 10/25/23 (c)		1,556		1,625
Westlake Automobile Receivables Trust
5.00%, 5/15/15 (c)		534		539
				6,664
Collateralized Mortgage Obligations — Agency Collateral Series (4.7%)
Federal Home Loan Mortgage Corporation,
IO
0.68%, 1/25/21 (b)		10,125		428
IO PAC REMIC
6.23%, 6/15/40 (b)		11,121		2,136
IO STRIPS
7.50%, 12/1/29		92		21
8.00%, 1/1/28		157		42
PAC REMIC
9.50%, 4/15/20		1		2
REMIC
6.66%, 1/15/42 (b)(d)		593		557
Federal National Mortgage Association,
IO
6.15%, 9/25/20 (b)		5,220		1,463
IO PAC REMIC
8.00%, 9/18/27		415		96
IO REMIC
5.00%, 8/25/37		2,523		138
6.00%, 7/25/33		684		113
6.36%, 9/25/38 (b)		2,886		614
IO STRIPS
6.50%, 9/1/29 - 12/1/29		1,785		275
8.00%, 4/1/24		509		110
8.50%, 10/1/25		131		26
9.00%, 11/1/26		125		30
REMIC
6.66%, 1/25/42 (b)(d)		1,485		1,422
7.00%, 9/25/32		855		1,014
9.11%, 10/25/41 (b)(d)		973		939
63.02%, 9/25/20 (b)(d)		10		20
Government National Mortgage Association,
IO REMIC
5.00%, 2/16/41		930		173
5.81%, 11/16/40 (b)		5,181		994
6.34%, 6/20/40 (b)		3,806		675
6.36%, 4/16/41 (b)		6,817		1,299
				12,587

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Commercial Mortgage Backed Securities (2.6%)
Banc of America Merrill Lynch Commercial Mortgage, Inc.
5.67%, 4/10/49 (b)	$	795	$	794
Bear Stearns Commercial Mortgage Securities
5.47%, 1/12/45 (b)		1,526		1,737
DBUBS Mortgage Trust
5.45%, 7/10/44 (b)(c)		325		329
FREMF Mortgage Trust
5.16%, 2/25/47 (b)(c)		525		543
Greenwich Capital Commercial Funding Corp.
5.87%, 12/10/49 (b)		960		929
JP Morgan Chase Commercial Mortgage Securities Corp.,
4.17%, 8/15/46		1,100		1,190
4.80%, 7/15/46 (c)		775		806
6.06%, 2/15/51 (b)		730		724
				7,052
Corporate Bonds (36.7%)
Finance (13.9%)
ABB Treasury Center USA, Inc.
2.50%, 6/15/16 (c)		800		817
Abbey National Treasury Services PLC
3.88%, 11/10/14 (c)		439		442
ABN Amro Bank N.V.
4.25%, 2/2/17 (c)		465		473
Aegon N.V.
4.63%, 12/1/15 (e)		830		880
Affiliated Managers Group, Inc.
3.95%, 8/15/38 (e)		496		548
Alexandria Real Estate Equities, Inc.
4.60%, 4/1/22		400		392
American International Group, Inc.
6.40%, 12/15/20		375		425
Barclays Bank PLC
6.05%, 12/4/17 (c)(e)		600		620
BBVA Bancomer SA
4.50%, 3/10/16 (c)		525		543
Bear Stearns Cos. LLC (The)
7.25%, 2/1/18 (e)		490		592
BNP Paribas SA
5.00%, 1/15/21		615		622
Brandywine Operating Partnership LP
4.95%, 4/15/18		750		766
Brookfield Asset Management, Inc.
5.80%, 4/25/17 (e)		300		325
Capital One Bank, USA NA
8.80%, 7/15/19		555		680
Cigna Corp.,
2.75%, 11/15/16		335		340
5.38%, 2/15/42		45		46

	Face Amount (000)		Value (000)
Citigroup, Inc. (See Note G-2)
8.50%, 5/22/19 (e)	$	704	$	869
5.88%, 5/29/37		264		272
CNA Financial Corp.
5.75%, 8/15/21		315		336
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect
3.38%, 1/19/17 (e)		615		629
Coventry Health Care, Inc.
5.45%, 6/15/21		540		592
Credit Suisse
6.00%, 2/15/18 (e)		369		400
Dexus Diversified Trust/Dexus Office Trust
5.60%, 3/15/21 (c)		600		599
Digital Realty Trust LP
4.50%, 7/15/15		400		420
Discover Bank
7.00%, 4/15/20 (e)		575		661
DNB Bank ASA
3.20%, 4/3/17 (c)(f)		685		688
ERP Operating LP
4.63%, 12/15/21		205		216
Farmers Insurance Exchange
8.63%, 5/1/24 (c)		320		404
General Electric Capital Corp.,
5.30%, 2/11/21 (e)		630		684
Series G
6.00%, 8/7/19		694		812
Genworth Financial, Inc.
7.20%, 2/15/21		625		638
Goldman Sachs Group, Inc. (The)
5.75%, 1/24/22		1,355		1,397
Goodman Funding Pty Ltd.
6.38%, 4/15/21 (c)		850		881
Hartford Financial Services Group, Inc.
5.50%, 3/30/20 (e)		645		690
HBOS PLC,
Series G
6.75%, 5/21/18 (c)		1,388		1,304
Health Care REIT, Inc.
4.75%, 7/15/27		520		582
HSBC Holdings PLC
4.00%, 3/30/22		635		631
ING Bank
3.75%, 3/7/17 (c)		600		595
JPMorgan Chase Bank NA
6.00%, 10/1/17 (e)		715		819
Macquarie Bank Ltd.
6.63%, 4/7/21 (c)		490		493
Merrill Lynch & Co., Inc.,
MTN
6.88%, 4/25/18		908		1,011

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
MetLife, Inc.
7.72%, 2/15/19	$	285	$	360
Mizuho Corporate Bank Ltd.
2.55%, 3/17/17 (c)(e)		570		571
National Australia Bank
2.75%, 3/9/17		545		543
Nationwide Building Society
6.25%, 2/25/20 (c)		645		670
Nationwide Financial Services
5.38%, 3/25/21 (c)		450		461
Nordea Bank AB
4.88%, 5/13/21 (c)		765		746
Platinum Underwriters Finance, Inc.,
Series B
7.50%, 6/1/17 (e)		791		847
Principal Financial Group, Inc.
8.88%, 5/15/19		308		394
QBE Capital Funding III Ltd.
7.25%, 5/24/41 (b)(c)(e)		550		519
Regions Financial Corp.
5.75%, 6/15/15 (e)		545		576
Santander Holdings USA, Inc.
4.63%, 4/19/16 (e)		250		254
SLM Corp.,
MTN
6.25%, 1/25/16		580		604
Societe Generale SA
5.20%, 4/15/21 (c)(e)		455		438
Standard Chartered Bank
6.40%, 9/26/17 (c)		790		880
Svenska Handelsbanken AB
2.88%, 4/4/17 (f)		695		696
UDR, Inc.,
Series 0001 MTN
4.63%, 1/10/22		410		421
UnitedHealth Group, Inc.,
3.38%, 11/15/21 (e)		235		242
4.63%, 11/15/41 (e)		265		266
Vornado Realty LP
3.88%, 4/15/25		507		510
Wachovia Bank NA
6.00%, 11/15/17		415		477
Wachovia Corp.
5.63%, 10/15/16		400		446
WEA Finance LLC
4.63%, 5/10/21 (c)		325		329
Wells Operating Partnership II LP
5.88%, 4/1/18		800		811
				37,195
Industrials (21.1%)
Alpha Natural Resources, Inc.,
6.00%, 6/1/19 (e)		100		91
6.25%, 6/1/21 (e)		280		254

	Face Amount (000)		Value (000)
Altria Group, Inc.,
4.13%, 9/11/15	$	45	$	49
9.25%, 8/6/19		687		925
American Honda Finance Corp.
2.13%, 2/28/17 (c)		770		774
AMERIGROUP Corp.
7.50%, 11/15/19		415		457
ArcelorMittal
9.85%, 6/1/19 (e)		666		802
Archer-Daniels-Midland Co.
0.88%, 2/15/14		535		550
Aristotle Holding, Inc.
2.65%, 2/15/17 (c)		485		491
AT&T, Inc.
6.30%, 1/15/38 (e)		500		590
BAA Funding Ltd.
4.88%, 7/15/21 (c)(e)		750		766
Barrick Gold Corp.
3.85%, 4/1/22		340		340
Barrick North America Finance LLC
4.40%, 5/30/21		430		454
BAT International Finance PLC
9.50%, 11/15/18 (c)		405		553
Bemis Co., Inc.
4.50%, 10/15/21		525		550
Best Buy Co., Inc.
3.75%, 3/15/16 (e)		545		550
Bombardier, Inc.
7.75%, 3/15/20 (c)(e)		575		644
Boston Scientific Corp.
6.00%, 1/15/20		480		552
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		566		692
Burlington Northern Santa Fe LLC
3.05%, 3/15/22		725		714
Canadian Oil Sands Ltd.
7.75%, 5/15/19 (c)		425		519
CBS Corp.
8.88%, 5/15/19		500		658
CenturyLink, Inc.,
5.80%, 3/15/22		380		372
6.45%, 6/15/21 (e)		440		452
CF Industries, Inc.
6.88%, 5/1/18		1,075		1,243
Chesapeake Energy Corp.,
2.50%, 5/15/37		455		415
6.78%, 3/15/19 (e)		425		422
Chrysler Group LLC/CG Co-Issuer, Inc.
8.00%, 6/15/19 (e)		760		768
Cimarex Energy Co.
5.88%, 5/1/22 (f)		400		409
Comcast Corp.
5.70%, 5/15/18		98		116

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
ConAgra Foods, Inc.
8.25%, 9/15/30	$	425	$	541
Concho Resources, Inc.
7.00%, 1/15/21 (e)		115		124
Constellation Brands, Inc.
7.25%, 9/1/16		370		421
Continental Resources, Inc.
7.13%, 4/1/21		575		641
Corning, Inc.,
4.75%, 3/15/42 (e)		200		194
7.25%, 8/15/36		270		323
CRH America, Inc.
6.00%, 9/30/16 (e)		580		632
CSC Holdings LLC
6.75%, 11/15/21 (c)(e)		470		492
Daimler Finance North America LLC
8.50%, 1/18/31 (e)		224		327
Darden Restaurants, Inc.
6.20%, 10/15/17		520		587
Delhaize Group SA
5.70%, 10/1/40		433		402
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
3.80%, 3/15/22 (c)		675		667
DISH DBS Corp.
7.13%, 2/1/16		580		645
Ecolab, Inc.
3.00%, 12/8/16 (e)		435		453
Fidelity National Information Services, Inc.
5.00%, 3/15/22 (c)		989		979
Fiserv, Inc.
3.13%, 6/15/16		360		368
FMG Resources August 2006 Pty Ltd.,
6.38%, 2/1/16 (c)		380		381
6.88%, 2/1/18 (c)(e)		140		141
Frontier Communications Corp.
8.50%, 4/15/20 (e)		75		79
Gap, Inc. (The)
5.95%, 4/12/21 (e)		645		652
Georgia-Pacific LLC
8.88%, 5/15/31		480		649
Gilead Sciences, Inc.
5.65%, 12/1/41		490		525
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (c)		735		778
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (c)		630		737
Hewlett-Packard Co.
4.65%, 12/9/21		780		818
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (c)		483		500
Home Depot, Inc. (The)
5.88%, 12/16/36		443		533

	Face Amount (000)		Value (000)
Hyatt Hotels Corp.
6.88%, 8/15/19 (c)	$	545	$	629
Ingram Micro, Inc.
5.25%, 9/1/17		295		311
Intel Corp.
2.95%, 12/15/35 (e)		588		679
International Game Technology
3.25%, 5/1/14		492		560
Kinross Gold Corp.
5.13%, 9/1/21 (c)(e)		520		529
KLA-Tencor Corp.
6.90%, 5/1/18		659		787
Koninklijke Philips Electronics
3.75%, 3/15/22		850		857
Lafarge SA
6.20%, 7/9/15 (c)		765		806
Lam Research Corp.
1.25%, 5/15/18 (c)(e)		651		687
Life Technologies Corp.
6.00%, 3/1/20		605		693
LyondellBasell Industries N.V.
5.00%, 4/15/19 (c)(f)		950		952
Macy's Retail Holdings, Inc.
3.88%, 1/15/22 (e)		265		266
Marathon Petroleum Corp.
5.13%, 3/1/21 (e)		750		817
MeadWestvaco Corp.
7.38%, 9/1/19 (e)		155		181
Medtronic, Inc.,
Series B
1.63%, 4/15/13		563		571
Micron Technology, Inc.
1.88%, 6/1/14		466		476
Microsoft Corp.
Zero Coupon, 6/15/13 (c)(e)		534		587
Molson Coors Brewing Co.
2.50%, 7/30/13 (e)		497		522
NBC Universal Media LLC
5.15%, 4/30/20 (e)		915		1,037
News America, Inc.
4.50%, 2/15/21 (e)		340		363
PepsiCo, Inc.
2.75%, 3/5/22		600		585
Phillips 66
4.30%, 4/1/22 (c)		750		764
Pioneer Natural Resources Co.
7.50%, 1/15/20		375		461
priceline.com, Inc.
1.00%, 3/15/18 (c)		155		165
Quest Diagnostics, Inc.
6.95%, 7/1/37		400		490
RadioShack Corp.
2.50%, 8/1/13 (c)		563		539

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Sable International Finance Ltd.
7.75%, 2/15/17 (c)	$	681	$	715
SABMiller Holdings, Inc.
3.75%, 1/15/22 (c)		420		428
SBA Telecommunications, Inc.
8.25%, 8/15/19 (e)		565		626
Sonoco Products Co.
5.75%, 11/1/40		370		395
Symantec Corp.,
Series B
1.00%, 6/15/13 (e)		488		549
Syngenta Finance
3.13%, 3/28/22		360		363
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/21		525		533
Time Warner, Inc.,
4.70%, 1/15/21		200		219
4.75%, 3/29/21 (e)		405		446
5.88%, 11/15/16 (e)		170		199
Total Capital International SA
2.88%, 2/17/22 (e)		650		625
Vale Overseas Ltd.
5.63%, 9/15/19 (e)		694		779
Valspar Corp.
4.20%, 1/15/22		605		621
Verisk Analytics, Inc.
5.80%, 5/1/21		550		588
Vivendi SA
6.63%, 4/4/18 (c)		758		853
Volkswagen International Finance N.V.
2.38%, 3/22/17 (c)(e)		550		553
Weatherford Bermuda
4.50%, 4/15/22		375		375
Wesfarmers Ltd.
2.98%, 5/18/16 (c)(e)		390		399
WPP Finance UK
8.00%, 9/15/14		664		762
Wyndham Worldwide Corp.
4.25%, 3/1/22 (e)		680		668
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.38%, 3/15/22 (c)(e)		700		684
				56,455
Utilities (1.7%)
Energy Transfer Partners LP
9.00%, 4/15/19		308		383
Enterprise Products Operating LLC
5.20%, 9/1/20 (e)		635		710
EQT Corp.
4.88%, 11/15/21		375		380
Exelon Generation Co., LLC
6.25%, 10/1/39		445		523

	Face Amount (000)		Value (000)
FirstEnergy Solutions Corp.
6.05%, 8/15/21	$	869	$	977
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.
6.25%, 6/15/22		225		237
Plains All American Pipeline LP/PAA Finance Corp.
6.70%, 5/15/36 (e)		614		719
PPL WEM Holdings PLC
3.90%, 5/1/16 (c)		625		651
				4,580
				98,230
Mortgages — Other (6.8%)
Banc of America Alternative Loan Trust,
5.86%, 10/25/36 (b)		1,194		799
5.91%, 10/25/36 (b)		2,050		1,354
6.00%, 4/25/36		832		833
Banc of America Funding Corp.
0.61%, 8/25/36 (b)		658		599
Chase Mortgage Finance Corp.,
5.50%, 11/25/35		1,024		984
6.00%, 11/25/36		1,199		1,016
Chaseflex Trust
6.00%, 2/25/37		1,918		1,362
First Horizon Alternative Mortgage Securities
6.25%, 8/25/36		1,262		937
GS Mortgage Securities Corp.
7.50%, 9/25/36 (b)(c)		1,445		1,106
JP Morgan Mortgage Trust,
6.00%, 6/25/37		837		772
6.25%, 7/25/36		1,186		1,111
Lehman Mortgage Trust,
5.50%, 11/25/35 - 2/25/36		2,766		2,501
6.50%, 9/25/37		2,520		1,914
WaMu Mortgage Pass-Through Certificates,
1.14%, 7/25/46 (b)		2,054		1,351
5.13%, 6/25/37 (b)		2,089		1,533
				18,172
Municipal Bonds (1.8%)
Chicago, IL, Transit Authority
6.20%, 12/1/40		665		755
City of Chicago, IL,
O'Hare International Airport Revenue
6.40%, 1/1/40		255		313
City of New York, NY,
Series G-1
5.97%, 3/1/36		270		332
Illinois State Toll Highway Authority,
Highway Revenue, Build America Bonds
6.18%, 1/1/34		877		1,053
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		283		319
6.66%, 4/1/57		320		359

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

	Face Amount (000)		Value (000)
Municipal Bonds (cont'd)
New York City, NY, Transitional Finance Authority
5.27%, 5/1/27	$	540	$	640
State of California,
General Obligation Bonds
5.95%, 4/1/16		830		942
				4,713
Sovereign (1.7%)
Bermuda Government International Bond
5.60%, 7/20/20 (c)		775		879
Brazilian Government International Bond
4.88%, 1/22/21 (e)		800		909
Korea Development Bank (The)
4.38%, 8/10/15		875		927
Korea Finance Corp.
4.63%, 11/16/21		670		687
Mexico Government International Bond
3.63%, 3/15/22 (e)		400		410
Russian Foreign Bond — Eurobond
3.25%, 4/4/17 (c)(f)		800		807
				4,619
U.S. Agency Securities (1.7%)
Federal Home Loan Mortgage Corporation,
3.75%, 3/27/19 (e)		3,500		3,933
6.75%, 3/15/31		470		679
				4,612
U.S. Treasury Securities (9.4%)
U.S. Treasury Bonds
3.88%, 8/15/40 (e)		10,400		11,505
U.S. Treasury Notes,
1.00%, 9/30/16		5,365		5,384
1.75%, 7/31/15		7,900		8,193
				25,082
Total Fixed Income Securities (Cost $251,423)				257,220
	Shares
Short-Term Investments (17.0%)
Securities held as Collateral on Loaned Securities (5.8%)
Investment Company (4.9%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		12,991,378		12,991
	Face Amount (000)
Repurchase Agreements (0.9%)
Barclays Capital, Inc., (0.15%, dated 3/30/12, due 4/2/12; proceeds $345; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 4.00% due 1/1/42; valued at $352)	$	345		345

	Face Amount (000)		Value (000)
Merrill Lynch & Co., Inc., (0.25%, dated 3/30/12, due 4/2/12; proceeds $2,132; fully collateralized by Common Stocks; Alliance Data Systems Corp.; American International Group, Inc.; Boeing Co. (The); Energy Transfer Equity LP; Freeport-McMoRan Copper & Gold, Inc.; GNC Holdings, Inc.; Hershey Co. (The); L-3 Communications Holdings, Inc.; McKesson Corp.; Teva Pharmaceutical Industries Ltd.; Two Harbors Investment Corp.; Vale SA; valued at $2,302)	$	2,132	$	2,132
				2,477
Total Securities held as Collateral on Loaned Securities (Cost $15,468)				15,468
	Shares
Investment Company (9.1%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $24,349)		24,348,953		24,349
	Face Amount (000)
U.S. Treasury Security (2.1%)
U.S. Treasury Bill
0.05%, 6/7/12 (g)	$	5,700		5,699
Total Short-Term Investments (Cost $45,517)				45,516
Total Investments (113.0%) (Cost $296,940) Including $20,904 of Securities Loaned (h)				302,736
Liabilities in Excess of Other Assets (-13.0%)				(34,779	)
Net Assets (100.0%)			$	267,957

(a)  Security is subject to delayed delivery.

(b)  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, 2012.

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

(d)  Inverse Floating Rate Security — Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at March 31, 2012.

(e)  All or a portion of this security was on loan at March 31, 2012.

(f)  When-issued security.

(g)  Rate shown is the yield to maturity at March 31, 2012.

(h)  Securities are available for collateral in connection with purchase of when-issued securities, securities purchased on a forward commitment basis, open foreign currency exchange contracts, futures contracts and swap agreements.

@  Face Amount/Value is less than $500.

IO  Interest Only.

MTN  Medium Term Note.

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.
31

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

Foreign Currency Exchange Contracts Information:

The Portfolio had the following foreign currency exchange contracts open at period end:

Counterparty	Currency to Deliver (000)			Value (000)			Settlement Date	In Exchange For (000)			Value (000)			Unrealized Appreciation (Depreciation) (000)
Goldman Sachs International	NOK	3,943		$	692		4/4/12	USD	702		$	702		$	10
JPMorgan Chase Bank	USD	1,443			1,443		4/4/12	NOK	8,215			1,442			(1	)
UBS AG	NOK	1			—	@	4/4/12	USD	—	@		—	@		(—	)@
UBS AG	NOK	4,271			750		4/4/12	USD	753			753			3
Goldman Sachs International	AUD	2,780			2,879		4/5/12	USD	2,953			2,953			74
Goldman Sachs International	USD	648			648		4/5/12	CHF	592			655			7
Goldman Sachs International	USD	—	@		—	@	4/5/12	SEK	1			—	@		(—	)@
JPMorgan Chase Bank	CHF	592			655		4/5/12	USD	649			649			(6	)
UBS AG	CAD	2,921			2,928		4/5/12	USD	2,927			2,927			(1	)
UBS AG	SEK	3,010			455		4/5/12	USD	452			452			(3	)
UBS AG	USD	2,929			2,929		4/5/12	CAD	2,921			2,928			(1	)
UBS AG	USD	—	@		—	@	4/5/12	CHF	—	@		—	@		—	@
UBS AG	USD	442			442		4/5/12	SEK	3,009			455			13
Wells Fargo Bank	USD	2,881			2,881		4/5/12	AUD	2,780			2,879			(2	)
UBS AG	USD	2,926			2,926		4/30/12	CAD	2,921			2,927			1
Wells Fargo Bank	AUD	2,780			2,871		4/30/12	USD	2,873			2,873			2
				$	22,499						$	22,595		$	96

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		151	$	33,241		Jun-12	$	(21	)
U.S. Treasury 5 yr. Note		27		3,309		Jun-12		(7	)
Short:
U.S. Treasury 10 yr. Note		38		(4,921	)	Jun-12		7
U.S. Treasury 30 yr. Bond		7		(964	)	Jun-12		17
Ultra Long U.S. Treasury Bond		25		(3,774	)	Jun-12		(63	)
							$	(67	)

Interest Rate Swap Agreements:

The Portfolio had the following interest rate swap agreements 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 NA	6 Month EURIBOR	Pay		4.26	%	8/18/26	EUR	14,435	$	644
Bank of America NA	3 Month LIBOR	Receive		4.35		8/18/26	$	19,325		(342	)
Bank of America NA	6 Month EURIBOR	Receive		3.61		8/18/31	EUR	18,225		(561	)
Bank of America NA	3 Month LIBOR	Pay		4.15		8/18/31	$	23,970		329
Goldman Sachs International	3 Month LIBOR	Receive		2.42		3/22/22		3,020		(41	)
JPMorgan Chase Bank	3 Month LIBOR	Receive		2.43		3/22/22		1,464		(22	)
									$	7

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

@    Value is less than $500.

EURIBOR  Euro Interbank Offered Rate.

LIBOR  London Interbank Offered Rate.

AUD  —  Australian Dollar

CAD  —  Canadian Dollar

CHF  —  Swiss Franc

EUR  —  Euro

NOK  —  Norwegian Krone

SEK  —  Swedish Krona

USD  —  United States Dollar

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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	$	—	$	1,993	$	—	$	1,993
Agency Fixed Rate Mortgages		—		73,496		—		73,496
Asset-Backed Securities		—		6,664		—		6,664
Collateralized Mortgage Obligations — Agency Collateral Series		—		12,587		—		12,587
Commercial Mortgage Backed Securities		—		7,052		—		7,052
Corporate Bonds		—		98,230		—		98,230
Mortgages — Other		—		18,172		—		18,172
Municipal Bonds		—		4,713		—		4,713
Sovereign		—		4,619		—		4,619
U.S. Agency Securities		—		4,612		—		4,612
U.S. Treasury Securities		—		25,082		—		25,082
Total Fixed Income Securities		—		257,220		—		257,220
Short-Term Investments
Repurchase Agreements		—		2,477		—		2,477
Investment Company		37,340		—		—		37,340
U.S. Treasury Security		—		5,699		—		5,699
Total Short-Term Investments		37,340		8,176		—		45,516
Foreign Currency Exchange Contracts		—		110		—		110
Futures Contracts		24		—		—		24
Interest Rate Swap Agreements		—		973		—		973
Total Assets		37,364		266,479		—		303,843

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:
Foreign Currency Exchange Contracts	$	—		$	(14	)	$	—	$	(14	)
Futures Contracts		(91	)		—			—		(91	)
Interest Rate Swap Agreements		—			(966	)		—		(966	)
Total Liabilities		(91	)		(980	)		—		(1,071	)
Total	$	37,273		$	265,499		$	—	$	302,772

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

Portfolio Composition*

Classification	Percentage of Total Investments
Agency Fixed Rate Mortgages		25.6	%
Industrials		19.7
Other**		16.3
Finance		12.9
Short-Term Investments		10.5
U.S. Treasury Securities		8.7
Mortgages — Other		6.3
Total Investments		100.0	%***

*  Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of March 31, 2012.

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

***  Does not include open long/short futures contracts with a value of approximately $46,209,000 and net unrealized depreciation of approximately $67,000. Also, does not include open foreign currency exchange contracts with net unrealized appreciation of approximately $96,000 and open swap agreements with net unrealized appreciation of approximately $7,000.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Corporate Bond Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (98.4%)
Asset-Backed Securities (1.0%)
CVS Pass-Through Trust,
6.04%, 12/10/28	$	86	$	94
8.35%, 7/10/31 (a)		143		181
FUEL Trust
4.21%, 4/15/16 (a)		200		205
				480
Collateralized Mortgage Obligations — Agency Collateral Series (0.0%)
Federal Home Loan Mortgage Corporation,
IO STRIPS
8.00%, 1/1/28		30		8
Corporate Bonds (97.1%)
Finance (36.6%)
ABB Treasury Center USA, Inc.
2.50%, 6/15/16 (a)		195		199
Abbey National Treasury Services PLC,
MTN
3.88%, 11/10/14 (a)		146		147
ABN Amro Bank
4.25%, 2/2/17 (a)		210		214
Aegon N.V.
4.63%, 12/1/15		320		339
Alexandria Real Estate Equities, Inc.
4.60%, 4/1/22		150		147
American Express Co.
8.13%, 5/20/19		250		327
American Financial Group, Inc.
9.88%, 6/15/19		225		275
American International Group, Inc.
6.40%, 12/15/20		345		391
Bank of America Corp.
5.63%, 7/1/20		850		888
Barclays Bank PLC,
5.13%, 1/8/20		300		314
6.05%, 12/4/17 (a)		115		119
Bear Stearns Cos. LLC (The)
5.55%, 1/22/17		200		221
Berkshire Hathaway, Inc.
3.75%, 8/15/21 (b)		265		274
BNP Paribas SA
5.00%, 1/15/21		320		324
Boston Properties LP
5.88%, 10/15/19		30		34
Brandywine Operating Partnership LP
4.95%, 4/15/18		215		220
Brookfield Asset Management, Inc.
5.80%, 4/25/17		70		76
Capital One Bank, USA NA
8.80%, 7/15/19		285		349
Capital One Capital VI
8.88%, 5/15/40		150		152

	Face Amount (000)		Value (000)
Cigna Corp.
5.38%, 2/15/42	$	85	$	88
Citigroup, Inc. (See Note G-2),
4.45%, 1/10/17		125		131
6.13%, 11/21/17 - 5/15/18		930		1,042
8.50%, 5/22/19		76		94
CNA Financial Corp.
5.75%, 8/15/21		250		267
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect
3.88%, 2/8/22		260		252
Credit Suisse,
5.40%, 1/14/20		295		304
6.00%, 2/15/18 (b)		61		66
Dexus Diversified Trust/Dexus Office Trust
5.60%, 3/15/21 (a)		225		225
Digital Realty Trust LP
5.25%, 3/15/21		100		103
DNB Bank ASA
3.20%, 4/3/17 (a)(c)		255		256
ERP Operating LP
4.63%, 12/15/21		90		95
Farmers Exchange Capital
7.05%, 7/15/28 (a)		215		236
General Electric Capital Corp.,
5.30%, 2/11/21		120		130
MTN
5.88%, 1/14/38 (b)		350		386
Series G
6.00%, 8/7/19		666		779
Goldman Sachs Group, Inc. (The),
5.75%, 1/24/22		360		371
6.15%, 4/1/18		840		907
Goodman Funding Pty Ltd.
6.38%, 4/15/21 (a)		250		259
Hartford Financial Services Group, Inc.
5.50%, 3/30/20 (b)		275		294
HBOS PLC,
Series G
6.75%, 5/21/18 (a)		357		336
HCP, Inc.
5.63%, 5/1/17		95		105
HSBC Holdings PLC,
4.00%, 3/30/22		235		233
4.88%, 1/14/22		275		292
Huntington Bancshares, Inc.
7.00%, 12/15/20		140		158
ING Bank
3.75%, 3/7/17 (a)		200		198
JPMorgan Chase & Co.
4.35%, 8/15/21		250		256
JPMorgan Chase Capital XXVII
7.00%, 11/1/39 (b)		400		407

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
Macquarie Group Ltd.
6.00%, 1/14/20 (a)	$	215	$	215
Merrill Lynch & Co., Inc.,
MTN
6.88%, 4/25/18		217		242
MetLife, Inc.
7.72%, 2/15/19		70		88
Mizuho Corporate Bank Ltd.
2.55%, 3/17/17 (a)(b)		245		245
National Australia Bank
2.75%, 3/9/17		250		249
Nationwide Building Society
6.25%, 2/25/20 (a)		260		270
Nationwide Financial Services
5.38%, 3/25/21 (a)		175		180
Nordea Bank AB
4.88%, 5/13/21 (a)		200		195
Pacific LifeCorp
6.00%, 2/10/20 (a)		150		164
Platinum Underwriters Finance, Inc.,
Series B
7.50%, 6/1/17		234		250
PNC Funding Corp.
5.13%, 2/8/20 (b)		110		125
Principal Financial Group, Inc.
8.88%, 5/15/19		167		214
Protective Life Corp.
7.38%, 10/15/19		175		194
Prudential Financial, Inc.
7.38%, 6/15/19 (b)		200		248
Royal Bank of Scotland PLC (The)
4.88%, 3/16/15 (b)		255		265
Santander Holdings USA, Inc.
4.63%, 4/19/16		55		56
Santander US Debt SA Unipersonal
3.72%, 1/20/15 (a)		200		195
SLM Corp.,
MTN
6.25%, 1/25/16		320		333
8.00%, 3/25/20		90		97
Societe Generale SA
5.20%, 4/15/21 (a)(b)		200		192
Standard Chartered Bank
6.40%, 9/26/17 (a)		200		223
Svenska Handelsbanken AB
2.88%, 4/4/17 (c)		250		250
UDR, Inc.,
MTN
4.63%, 1/10/22		180		185
UnitedHealth Group, Inc.
6.63%, 11/15/37		225		286

	Face Amount (000)		Value (000)
Wachovia Corp.
5.63%, 10/15/16	$	245	$	273
WEA Finance LLC
4.63%, 5/10/21 (a)		75		76
Wells Operating Partnership II LP
5.88%, 4/1/18		125		127
				18,717
Industrials (50.6%)
Agilent Technologies, Inc.
5.50%, 9/14/15		126		142
Altria Group, Inc.
9.25%, 8/6/19		288		388
American Honda Finance Corp.
2.13%, 2/28/17 (a)		400		402
American Tower Corp.
4.70%, 3/15/22		200		202
Amgen, Inc.,
2.50%, 11/15/16		240		247
3.88%, 11/15/21		80		82
Anadarko Petroleum Corp.
6.95%, 6/15/19		150		183
Anglo American Capital PLC
9.38%, 4/8/19 (a)		100		132
ArcelorMittal
9.85%, 6/1/19 (b)		209		252
Aristotle Holding, Inc.
2.65%, 2/15/17 (a)		225		228
AstraZeneca PLC
6.45%, 9/15/37 (b)		125		164
AT&T, Inc.,
5.55%, 8/15/41 (b)		250		278
6.30%, 1/15/38		340		401
6.55%, 2/15/39 (b)		100		122
BAA Funding Ltd.
4.88%, 7/15/21 (a)(b)		190		194
Barrick Gold Corp.
3.85%, 4/1/22		180		180
Barrick North America Finance LLC
4.40%, 5/30/21		245		259
BAT International Finance PLC
9.50%, 11/15/18 (a)		190		260
Bemis Co., Inc.
4.50%, 10/15/21		230		241
Best Buy Co., Inc.
3.75%, 3/15/16 (b)		220		222
Boeing Capital Corp.
2.13%, 8/15/16 (b)		175		181
Boston Scientific Corp.
6.00%, 1/15/20		105		121
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		149		182
Burlington Northern Santa Fe LLC,
3.05%, 3/15/22		150		148
5.65%, 5/1/17		130		151

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Canadian Natural Resources Ltd.
6.25%, 3/15/38	$	150	$	184
Canadian Oil Sands Ltd.,
6.00%, 4/1/42 (a)(b)		50		50
7.75%, 5/15/19 (a)		175		214
Caterpillar, Inc.
3.90%, 5/27/21 (b)		130		143
CenturyLink, Inc.,
5.80%, 3/15/22		295		289
6.45%, 6/15/21		180		185
Chesapeake Energy Corp.
6.78%, 3/15/19		325		323
Cimarex Energy Co.
5.88%, 5/1/22 (c)		75		77
Cisco Systems, Inc.
3.15%, 3/14/17 (b)		300		325
Comcast Corp.,
5.15%, 3/1/20 (b)		110		127
5.70%, 5/15/18		232		274
6.45%, 3/15/37		100		120
Corning, Inc.,
4.75%, 3/15/42 (b)		50		49
7.25%, 8/15/36		100		120
CRH America, Inc.
6.00%, 9/30/16		400		436
Daimler Finance North America LLC
8.50%, 1/18/31		161		235
Darden Restaurants, Inc.
6.20%, 10/15/17		235		265
Delhaize Group SA
5.70%, 10/1/40		125		116
Deutsche Telekom International Finance BV
8.75%, 6/15/30		100		138
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
3.80%, 3/15/22 (a)		300		296
5.88%, 10/1/19		170		195
Dr. Pepper Snapple Group, Inc.
7.45%, 5/1/38		100		135
Ecolab, Inc.
3.00%, 12/8/16		190		198
Fidelity National Information Services, Inc.
5.00%, 3/15/22 (a)		266		263
Fiserv, Inc.
3.13%, 6/15/16		190		194
Gap, Inc. (The)
5.95%, 4/12/21 (b)		185		187
Georgia-Pacific LLC,
5.40%, 11/1/20 (a)(b)		95		106
8.88%, 5/15/31		100		135
Gilead Sciences, Inc.,
4.50%, 4/1/21 (b)		115		122
5.65%, 12/1/41		100		107

	Face Amount (000)		Value (000)
Grupo Bimbo SAB de CV
4.88%, 6/30/20 (a)	$	225	$	238
Halliburton Co.
4.50%, 11/15/41 (b)		175		178
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (a)		245		287
Hess Corp.
6.00%, 1/15/40		200		230
Hewlett-Packard Co.,
2.60%, 9/15/17		80		80
4.65%, 12/9/21		285		299
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (a)		182		188
Home Depot, Inc. (The)
5.88%, 12/16/36		222		267
Hyatt Hotels Corp.
6.88%, 8/15/19 (a)		80		92
Incitec Pivot Ltd.
4.00%, 12/7/15 (a)		160		162
International Business Machines Corp.,
1.25%, 2/6/17		200		199
2.00%, 1/5/16 (b)		300		308
International Paper Co.
4.75%, 2/15/22 (b)		255		269
John Deere Capital Corp.
3.90%, 7/12/21		175		189
Kinross Gold Corp.
5.13%, 9/1/21 (a)(b)		180		183
KLA-Tencor Corp.
6.90%, 5/1/18		116		138
Kohl's Corp.
6.88%, 12/15/37		104		126
Koninklijke Philips Electronics
3.75%, 3/15/22		300		302
Kraft Foods, Inc.,
5.38%, 2/10/20		120		139
6.88%, 1/26/39 (b)		225		283
Kroger Co. (The)
6.90%, 4/15/38		80		100
L-3 Communications Corp.,
4.75%, 7/15/20		145		150
4.95%, 2/15/21 (b)		65		68
Lorillard Tobacco Co.
8.13%, 6/23/19 (b)		300		373
Lubrizol Corp.
8.88%, 2/1/19		165		224
LyondellBasell Industries N.V. (Netherlands)
5.00%, 4/15/19 (a)(c)		200		201
Macy's Retail Holdings, Inc.
3.88%, 1/15/22		115		116
Marathon Petroleum Corp.,
5.13%, 3/1/21 (b)		195		212
6.50%, 3/1/41		75		81

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
McDonald's Corp.
2.63%, 1/15/22 (b)	$	250	$	247
McKesson Corp.
4.75%, 3/1/21 (b)		150		170
MeadWestvaco Corp.
7.38%, 9/1/19 (b)		120		140
NBC Universal Media LLC
5.15%, 4/30/20		265		300
News America, Inc.
4.50%, 2/15/21		85		91
Nordstrom, Inc.
4.00%, 10/15/21		90		96
PepsiCo, Inc.
2.75%, 3/5/22		275		268
Petro-Canada
6.80%, 5/15/38 (b)		145		186
Philip Morris International, Inc.
4.50%, 3/20/42		150		149
Phillips 66
4.30%, 4/1/22 (a)		300		306
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/36		75		91
Quest Diagnostics, Inc.
6.95%, 7/1/37		195		239
Roper Industries, Inc.
6.25%, 9/1/19		230		270
SABMiller Holdings, Inc.
3.75%, 1/15/22 (a)		200		204
Sanofi
4.00%, 3/29/21 (b)		150		164
Sonoco Products Co.
5.75%, 11/1/40		150		160
Stryker Corp.
2.00%, 9/30/16		325		333
Syngenta Finance
4.38%, 3/28/42		75		76
Teck Resources Ltd.
6.25%, 7/15/41		90		98
Telecom Italia Capital SA
7.18%, 6/18/19 (b)		209		224
Telefonica Europe BV
8.25%, 9/15/30		184		201
Telstra Corp., Ltd.
4.80%, 10/12/21 (a)(b)		120		131
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/21		250		254
Time Warner Cable, Inc.,
6.75%, 6/15/39 (b)		80		96
8.75%, 2/14/19 (b)		100		131
Time Warner, Inc.
7.70%, 5/1/32 (b)		340		445

	Face Amount (000)		Value (000)
Total Capital International SA
2.88%, 2/17/22 (b)	$	300	$	288
Union Pacific Corp.
6.15%, 5/1/37		150		180
URS Corp.
3.85%, 4/1/17 (a)		300		299
Vale Overseas Ltd.,
5.63%, 9/15/19		116		130
6.88%, 11/10/39 (b)		21		25
Valero Energy Corp.
6.13%, 2/1/20 (b)		150		173
Valspar Corp.
4.20%, 1/15/22		290		297
Verisk Analytics, Inc.
5.80%, 5/1/21		185		198
Verizon Communications, Inc.,
4.60%, 4/1/21 (b)		170		189
6.35%, 4/1/19		125		152
8.95%, 3/1/39		150		233
VF Corp.
3.50%, 9/1/21		120		123
Viacom, Inc.
6.88%, 4/30/36		100		126
Vivendi SA
6.63%, 4/4/18 (a)		102		115
Volkswagen International Finance
2.38%, 3/22/17 (a)		160		161
Waste Management, Inc.
6.13%, 11/30/39 (b)		100		122
Weatherford Bermuda
4.50%, 4/15/22		150		150
Wesfarmers Ltd.
2.98%, 5/18/16 (a)		100		102
Woolworths Ltd.
4.00%, 9/22/20 (a)		140		144
WPP Finance UK
8.00%, 9/15/14		136		156
Wyndham Worldwide Corp.
4.25%, 3/1/22 (b)		255		250
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.38%, 3/15/22 (a)(b)		325		318
Yum! Brands, Inc.
6.88%, 11/15/37		175		224
				25,877
Utilities (9.9%)
Appalachian Power Co.
7.00%, 4/1/38		150		197
Boston Gas Co.
4.49%, 2/15/42 (a)		125		126
Consolidated Edison Co. of New York, Inc.
6.65%, 4/1/19		100		125
Duke Energy Carolinas
1.75%, 12/15/16 (b)		320		324

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

	Face Amount (000)		Value (000)
Utilities (cont'd)
EDF SA
4.60%, 1/27/20 (a)(b)	$	90	$	95
Enel Finance International N.V.
5.13%, 10/7/19 (a)(b)		200		197
Energy Transfer Partners LP
9.00%, 4/15/19		105		130
Enterprise Products Operating LLC,
5.25%, 1/31/20 (b)		25		28
Series N
6.50%, 1/31/19		529		629
EQT Corp.
4.88%, 11/15/21		200		203
Exelon Generation Co., LLC
6.25%, 10/1/39		175		205
FirstEnergy Solutions Corp.,
6.05%, 8/15/21		171		192
6.80%, 8/15/39		125		140
Iberdrola Finance Ireland Ltd.
5.00%, 9/11/19 (a)		175		178
Kinder Morgan Energy Partners LP
5.95%, 2/15/18		300		351
Nevada Power Co.
6.65%, 4/1/36		150		193
Plains All American Pipeline LP/PAA Finance Corp.
6.70%, 5/15/36		181		212
PPL WEM Holdings PLC
3.90%, 5/1/16 (a)		315		328
PSEG Power LLC
8.63%, 4/15/31		200		285
Sempra Energy
6.00%, 10/15/39		125		151
Spectra Energy Capital LLC
8.00%, 10/1/19		50		63
UIL Holdings Corp.
4.63%, 10/1/20		375		380
Virginia Electric and Power Co.
2.95%, 1/15/22		325		322
				5,054
				49,648
Sovereign (0.3%)
Bermuda Government International Bond
5.60%, 7/20/20 (a)		125		142
Total Fixed Income Securities (Cost $48,614)				50,278
	Shares
Short-Term Investments (20.0%)
Securities held as Collateral on Loaned Securities (18.4%)
Investment Company (15.5%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2)		7,913,899		7,914

	Face Amount (000)		Value (000)
Repurchase Agreements (2.9%)
Barclays Capital, Inc., (0.15%, dated 3/30/12, due 4/2/12; proceeds $210; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 4.00% due 1/1/42; valued at $214)	$	210	$	210
Merrill Lynch & Co., Inc., (0.25%, dated 3/30/12, due 4/2/12; proceeds $1,298; fully collateralized by Common Stocks; Alliance Data Systems Corp.; American International Group, Inc.; Boeing Co. (The); Energy Transfer Equity LP; Freeport-McMoRan Copper & Gold, Inc.; GNC Holdings, Inc.; Hershey Co. (The); L-3 Communications Holdings, Inc.; McKesson Corp.; Teva Pharmaceutical Industries Ltd.; Two Harbors Investment Corp.; Vale SA; valued at $1,402)		1,298		1,298
				1,508
Total Securities held as Collateral on Loaned Securities (Cost $9,422)				9,422
	Shares
Investment Company (1.4%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $723)		723,124		723
	Face Amount (000)
U.S. Treasury Security (0.2%)
U.S. Treasury Bill
0.14%, 8/30/12 (d)(e)	$	95		95
Total Short-Term Investments (Cost $10,240)				10,240
Total Investments (118.4%) (Cost $58,854) Including $9,206 of Securities Loaned (f)				60,518
Liabilities in Excess of Other Assets (-18.4%)				(9,395	)
Net Assets (100.0%)			$	51,123

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

(b)  All or a portion of this security was on loan at March 31, 2012.

(c)  When-issued security.

(d)  Rate shown is the yield to maturity at March 31, 2012.

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

(f)  Securities are available for collateral in connection with purchase of when-issued securities, open futures contracts and swap agreements.

IO  Interest Only.

MTN  Medium Term Note.

STRIPS  Separate Trading of Registered Interest and Principal of Securities.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		40	$	8,806		Jun-12	$	(5	)
U.S. Treasury 5 yr. Note		1		122		Jun-12		1
U.S. Treasury Ultra Long Bond		9		1,359		Jun-12		(26	)
Short:
U.S. Treasury 10 yr. Note		54		(6,992	)	Jun-12		(20	)
U.S. Treasury 30 yr. Bond		15		(2,066	)	Jun-12		51
							$	1

Interest Rate Swap Agreements:

The Portfolio had the following interest rate swap agreements open at period end:

Swap Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate			Termination Date	Notional Amount (000)		Unrealized Appreciation (Depreciation) (000)
Goldman Sachs	3 Month LIBOR	Receive		2.42	%	3/22/22	$	642	$	(8	)
JP Morgan Chase	3 Month LIBOR	Receive		2.43		3/22/22		311		(5	)
									$	(13	)

LIBOR  London Interbank Offered Rate

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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
Asset-Backed Securities	$	—	$	480	$	—	$	480
Collateralized Mortgage Obligations — Agency Collateral Series		—		8		—		8
Corporate Bonds		—		49,648		—		49,648
Sovereign		—		142		—		142
Total Fixed Income Securities		—		50,278		—		50,278
Short-Term Investments
Repurchase Agreements		—		1,508		—		1,508
Investment Company		8,637		—		—		8,637
U.S. Treasury Security		—		95		—		95
Total Short-Term Investments		8,637		1,603		—		10,240

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)
Futures Contracts	$	52		$	—		$	—	$	52
Total Assets		8,689			51,881			—		60,570
Liabilities:
Futures Contracts		(51	)		—			—		(51	)
Interest Rate Swap Agreements		—			(13	)		—		(13	)
Total Liabilities		(51	)		(13	)		—		(64	)
Total	$	8,638		$	51,868		$	—	$	60,506

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Corporate Bond Portfolio

Portfolio Composition*

Classification	Percentage of Total Investments
Industrials		50.7	%
Finance		36.6
Utilities		9.9
Other**		2.8
Total Investments		100.0	%***

*  Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of March 31, 2012.

**  Industries representing less than 5% of total investments.

***  Does not include open long/short futures contracts with an underlying face amount of approximately $19,345,000 and net unrealized appreciation of approximately $1,000 and open swap agreements with total unrealized depreciation of approximately $13,000.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

High Yield Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (97.8%)
Corporate Bonds (97.8%)
Basic Materials (3.4%)
FMG Resources August 2006 Pty Ltd.
6.88%, 4/1/22 (a)	$	100	$	98
Ineos Group Holdings Ltd.
8.50%, 2/15/16 (a)		150		142
Kraton Polymers LLC/Kraton Polymers Capital Corp.
6.75%, 3/1/19		100		104
				344
Communications (6.0%)
Avaya, Inc.
7.00%, 4/1/19 (a)		150		151
Cablevision Systems Corp.
7.75%, 4/15/18		100		105
CommScope, Inc.
8.25%, 1/15/19 (a)		100		107
GXS Worldwide, Inc.
9.75%, 6/15/15		150		147
Level 3 Financing, Inc.
8.13%, 7/1/19 (a)		100		104
				614
Consumer Discretionary (4.0%)
IDQ Holdings, Inc.
11.50%, 4/1/17 (a)		150		154
Monitronics International, Inc.
9.13%, 4/1/20 (a)		150		153
Silgan Holdings, Inc.
5.00%, 4/1/20 (a)		100		100
				407
Consumer, Cyclical (23.8%)
Academy Ltd./Academy Finance Corp.
9.25%, 8/1/19 (a)		150		155
Ameristar Casinos, Inc.
7.50%, 4/15/21		100		105
Burlington Coat Factory Warehouse Corp.
10.00%, 2/15/19		150		157
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18		150		117
Caesars Operating Escrow LLC/Caesars Escrow Corp.
8.50%, 2/15/20 (a)		50		51
Chester Downs & Marina LLC
9.25%, 2/1/20 (a)		100		106
Chrysler Group LLC/CG Co-Issuer, Inc.
8.00%, 6/15/19		200		202
CKE Restaurants, Inc.
11.38%, 7/15/18		100		115

	Face Amount (000)		Value (000)
Diamond Resorts Corp.
12.00%, 8/15/18	$	150	$	161
Gap, Inc. (The)
5.95%, 4/12/21		100		101
INTCOMEX, Inc.
13.25%, 12/15/14		150		151
Lions Gate Entertainment, Inc.
10.25%, 11/1/16 (a)		150		166
Logan's Roadhouse, Inc.
10.75%, 10/15/17		150		147
MGM Resorts International
8.63%, 2/1/19 (a)		100		108
Realogy Corp.
7.63%, 1/15/20 (a)		50		53
Rite Aid Corp.
9.50%, 6/15/17		150		151
Sabre Holdings Corp.
8.35%, 3/15/16		150		137
Snoqualmie Entertainment Authority
9.13%, 2/1/15 (a)		150		151
VWR Funding, Inc., Series B
10.25%, 7/15/15 (b)		100		104
				2,438
Consumer, Non-Cyclical (20.6%)
Amscan Holdings, Inc.
8.75%, 5/1/14		52		52
Apria Healthcare Group, Inc.
11.25%, 11/1/14		100		105
Armored Autogroup, Inc.
9.25%, 11/1/18 (a)		150		126
BioScrip, Inc.
10.25%, 10/1/15		100		109
Bumble Bee Holdco SCA, PIK
9.63%, 3/15/18 (a)(c)		200		183
Emergency Medical Services Corp.
8.13%, 6/1/19		150		155
HCA, Inc.
5.88%, 3/15/22		100		100
inVentiv Health, Inc.
10.00%, 8/15/18 (a)		150		136
Kindred Healthcare, Inc.
8.25%, 6/1/19		150		131
Knowledge Learning Corp.
7.75%, 2/1/15 (a)		150		125
NCO Group, Inc.
11.88%, 11/15/14		150		155
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
8.25%, 9/1/17		100		109
ServiceMaster Co.
8.00%, 2/15/20 (a)		100		107

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

High Yield Portfolio

	Face Amount (000)		Value (000)
Consumer, Non-Cyclical (cont'd)
Spectrum Brands, Inc.
6.75%, 3/15/20 (a)	$	100	$	101
US Foodservice
8.50%, 6/30/19 (a)		150		153
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.
8.00%, 2/1/18		100		103
YCC Holdings LLC/Yankee Finance, Inc., PIK
10.25%, 2/15/16 (c)		150		154
				2,104
Diversified (1.0%)
CCM Merger, Inc.
9.13%, 5/1/19 (a)100				101
Energy (7.3%)
Chesapeake Energy Corp.
6.78%, 3/15/19		100		99
Concho Resources, Inc.
5.50%, 10/1/22		50		49
Continental Resources, Inc.
5.00%, 9/15/22 (a)		100		101
Hercules Offshore, Inc.
7.13%, 4/1/17 (a)(d)		100		100
Key Energy Services, Inc.
6.75%, 3/1/21 (a)		100		103
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/1/19 (a)		50		49
Penn Virginia Corp.
10.38%, 6/15/16		150		148
PetroBakken Energy Ltd.
8.63%, 2/1/20 (a)		100		104
				753
Finance (8.7%)
E*Trade Financial Corp.
7.88%, 12/1/15		150		153
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
7.75%, 1/15/16		100		104
Kennedy-Wilson, Inc.
8.75%, 4/1/19		150		157
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.
5.88%, 3/15/22 (a)		100		101
Nuveen Investments, Inc.
10.50%, 11/15/15		125		130
Regions Financial Corp.
5.75%, 6/15/15		100		106
USI Holdings Corp.
4.38%, 11/15/14 (a)(b)		150		141
				892

	Face Amount (000)		Value (000)
Industrials (11.2%)
Atkore International, Inc.
9.88%, 1/1/18	$	100	$	105
Griffon Corp.
7.13%, 4/1/18		100		104
JB Poindexter & Co., Inc.
9.00%, 4/1/22 (a)(d)		100		103
Kratos Defense & Security Solutions, Inc.
10.00%, 6/1/17		150		163
Marquette Transportation Co./Marquette Transportation Finance Corp.
10.88%, 1/15/17		150		159
Pregis Corp.
12.38%, 10/15/13		135		136
Quality Distribution LLC/QD Capital Corp.
9.88%, 11/1/18		150		165
Sequa Corp.
11.75%, 12/1/15 (a)		150		160
Terex Corp.
6.50%, 4/1/20		50		51
				1,146
Technology (9.2%)
BE Aerospace, Inc.
5.25%, 4/1/22		50		51
CDW LLC/CDW Finance Corp.
8.50%, 4/1/19		100		107
First Data Corp.,
10.55%, 9/24/15		200		204
Freescale Semiconductor, Inc.
9.25%, 4/15/18 (a)		100		110
Harron Communications LP/Harron Finance Corp.
9.13%, 4/1/20 (a)(d)		150		155
iGate Corp.
9.00%, 5/1/16		100		109
Lawson Software, Inc.
9.38%, 4/1/19 (a)(d)		150		156
Lawson Software, Inc.
11.50%, 7/15/18 (a)		45		50
				942
Utilities (2.6%)
AES Corp. (The)
7.38%, 7/1/21 (a)		100		111
CMS Energy Corp.
5.05%, 3/15/22		100		101
United Maritime Group LLC/United Maritime Group Finance Corp.
11.75%, 6/15/15		50		52
				264
Total Fixed Income Securities (Cost $9,898)				10,005

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

High Yield Portfolio

	Shares		Value (000)
Short-Term Investment (1.0%)
Investment Company (1.0%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $101)		100,716	$	101
Total Investments (98.8%) (Cost $9,999)				10,106
Other Assets in Excess of Liabilities (1.2%)				127
Net Assets (100.0%)			$	10,233

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

(b)  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, 2012.

(c)  Payment-in-kind security.

(d)  When-issued security.

PIK  Payment-in-Kind. Income may be paid in additional securities or cash at the discretion of the issuer.

Fair Value Measurement Information:

The following is a summary of the inputs used to value the fundcode not found's investments as of March 31, 2012. (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	$	—	$	10,005	$	—	$	10,005
Short-Term Investment — Investment Company		101		—		—		101
Total Assets	$	101	$	10,005	$	—	$	10,106

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

Portfolio Composition

Classification	Percentage of Total Investments
Consumer, Cyclical		24.1	%
Consumer, Non-Cyclical		20.8
Other*		12.1
Industrials		11.3
Technology		9.3
Finance		8.8
Energy		7.5
Communications		6.1
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.
43

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (97.9%)
Agency Adjustable Rate Mortgages (0.7%)
Federal Home Loan Mortgage Corporation, Conventional Pools:
5.45%, 1/1/38	$	281	$	300
Federal National Mortgage Association, Conventional Pools:
2.39%, 5/1/35		820		868
				1,168
Agency Fixed Rate Mortgages (0.8%)
Federal Home Loan Mortgage Corporation, Gold Pools:
6.50%, 9/1/19 - 11/1/29		17		21
7.50%, 11/1/19		2		2
12.00%, 6/1/15		3		3
Federal National Mortgage Association, Conventional Pools:
6.50%, 2/1/28 - 10/1/32		1,011		1,153
7.00%, 7/1/29 - 12/1/33		65		75
Government National Mortgage Association, Various Pools:
9.00%, 11/15/16 - 12/15/16		42		47
				1,301
Asset-Backed Securities (22.0%)
Ally Master Owner Trust,
1.99%, 1/15/15 (a)(b)		275		278
2.15%, 1/15/16		700		715
2.88%, 4/15/15 (a)		650		662
American Express Credit Account Master Trust
1.49%, 3/15/17 (b)		2,325		2,391
ARI Fleet Lease Trust
1.69%, 8/15/18 (a)(b)		168		169
Bank of America Auto Trust
2.13%, 9/15/13 (a)		100		100
BMW Floorplan Master Owner Trust
1.39%, 9/15/14 (a)(b)		2,600		2,613
Capital One Multi-Asset Execution Trust
0.32%, 9/15/15 (b)		1,355		1,355
Chase Issuance Trust
1.79%, 4/15/14 (b)		1,600		1,601
Chesapeake Funding LLC
2.24%, 12/15/20 (a)(b)		260		261
Citibank Credit Card Issuance Trust (See Note G-2)
2.25%, 12/23/14		1,950		1,975
CNH Equipment Trust,
1.17%, 5/15/15		1,368		1,370
1.54%, 7/15/14		287		288
Discover Card Master Trust
1.54%, 12/15/14 (b)		3,000		3,008
Ford Credit Floorplan Master Owner Trust,
1.79%, 9/15/14 (b)		2,600		2,618
4.20%, 2/15/17 (a)		1,150		1,246

	Face Amount (000)		Value (000)
GE Capital Credit Card Master Note Trust
2.34%, 4/15/15 (b)	$	3,850	$	3,847
GE Equipment Midticket LLC
0.94%, 7/14/14 (a)		928		928
Harley-Davidson Motorcycle Trust,
1.16%, 2/15/15		1,825		1,831
1.74%, 9/15/13		193		193
1.87%, 2/15/14		263		264
Macquarie Equipment Funding Trust
1.21%, 9/20/13 (a)		1,295		1,296
MMAF Equipment Finance LLC
2.37%, 11/15/13 (a)		549		551
MMCA Automobile Trust
1.39%, 1/15/14 (a)		736		737
Nissan Auto Lease Trust
1.12%, 12/15/13		1,625		1,631
Nissan Master Owner Trust Receivables
1.39%, 1/15/15 (a)(b)		625		630
North Carolina State Education Assistance Authority,
1.01%, 1/25/21 (b)		732		730
1.36%, 7/25/25 (b)		625		614
Panhandle-Plains Higher Education Authority, Inc.
1.42%, 7/1/24 (b)		275		270
Wheels SPV LLC
1.79%, 3/15/18 (a)(b)		204		204
				34,376
Collateralized Mortgage Obligation — Agency Collateral Series (1.4%)
Federal Home Loan Mortgage Corporation, REMIC
7.50%, 9/15/29		1,811		2,153
Commercial Mortgage Backed Security (0.5%)
Wachovia Bank Commercial Mortgage Trust
5.32%, 7/15/41 (b)		665		715
Corporate Bonds (58.3%)
Finance (25.6%)
ABB Treasury Center USA, Inc.
2.50%, 6/15/16 (a)		745		760
Abbey National Treasury Services PLC
2.88%, 4/25/14		615		613
ABN Amro Bank
4.25%, 2/2/17 (a)		400		407
Aflac, Inc.
3.45%, 8/15/15		325		342
American Express Co.
7.25%, 5/20/14		1,680		1,892
American International Group, Inc.
3.65%, 1/15/14		745		759
Bank of America Corp., Series 1
3.75%, 7/12/16		1,295		1,303
Barclays Bank PLC
2.50%, 1/23/13		1,030		1,039

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Finance (cont'd)
BBVA Bancomer SA
4.50%, 3/10/16 (a)	$	955	$	988
BNP Paribas SA
3.60%, 2/23/16		920		930
BP Capital Markets PLC
3.88%, 3/10/15		595		639
Canadian Imperial Bank of Commerce
1.45%, 9/13/13		1,130		1,142
Capital One Financial Corp.
7.38%, 5/23/14		875		969
Citigroup, Inc. (See Note G-2)
4.45%, 1/10/17		1,125		1,180
CNH Capital LLC
6.25%, 11/1/16 (a)		130		140
Commonwealth Bank of Australia
1.95%, 3/16/15		735		740
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect
3.38%, 1/19/17		330		338
Credit Suisse
5.50%, 5/1/14		840		901
Deutsche Bank AG
2.38%, 1/11/13		1,105		1,114
DNB Bank ASA
3.20%, 4/3/17 (a)(c)		610		613
General Electric Capital Corp.
2.95%, 5/9/16		2,790		2,913
Genworth Life Institutional Funding Trust
5.88%, 5/3/13 (a)		865		898
Goldman Sachs Group, Inc. (The)
3.63%, 2/7/16		1,250		1,251
HCP, Inc.
2.70%, 2/1/14		575		583
HSBC USA, Inc.
2.38%, 2/13/15		775		781
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
7.75%, 1/15/16		375		390
ING Bank
3.75%, 3/7/17 (a)		600		595
Intesa Sanpaolo SpA
3.63%, 8/12/15 (a)		550		526
JPMorgan Chase & Co.,
1.88%, 3/20/15		475		477
3.15%, 7/5/16		1,025		1,058
Macquarie Group Ltd.
7.30%, 8/1/14 (a)		720		772
Metropolitan Life Global Funding I
2.00%, 1/10/14 (a)		950		965
Monumental Global Funding III
5.25%, 1/15/14 (a)		1,115		1,183

	Face Amount (000)		Value (000)
National Australia Bank Ltd.
3.00%, 7/27/16 (a)	$	900	$	917
Nationwide Building Society
4.65%, 2/25/15 (a)		840		864
Nissan Motor Acceptance Corp.
3.25%, 1/30/13 (a)		90		91
Nordea Bank AB
2.25%, 3/20/15 (a)		635		636
Northern Trust Corp.
5.50%, 8/15/13		1,060		1,128
Principal Financial Group, Inc.
7.88%, 5/15/14		816		901
Prudential Financial, Inc., MTN
4.75%, 9/17/15		930		1,010
Standard Chartered PLC
3.85%, 4/27/15 (a)		940		977
Svenska Handelsbanken AB
2.88%, 4/4/17 (c)		645		646
UBS AG
3.88%, 1/15/15		1,140		1,187
US Bancorp
2.20%, 11/15/16		940		959
Wells Fargo & Co.
3.68%, 6/15/16		1,350		1,443
				39,960
Industrials (27.2%)
Agilent Technologies, Inc.
4.45%, 9/14/12		1,325		1,345
Altria Group, Inc.
4.13%, 9/11/15		750		819
Anglo American Capital PLC
9.38%, 4/8/14 (a)		1,100		1,267
Anheuser-Busch InBev Worldwide, Inc.,
4.13%, 1/15/15		350		379
5.38%, 11/15/14		785		872
Applied Materials, Inc.
2.65%, 6/15/16		455		472
Apria Healthcare Group, Inc.
11.25%, 11/1/14		375		394
ArcelorMittal
9.00%, 2/15/15		610		702
Aristotle Holding, Inc.,
2.65%, 2/15/17 (a)		35		35
2.75%, 11/21/14 (a)		580		596
AT&T, Inc.
4.95%, 1/15/13		2,510		2,596
Bacardi Ltd.
7.45%, 4/1/14 (a)		835		933
Barrick Gold Corp.
1.75%, 5/30/14		660		668
Best Buy Co., Inc.
3.75%, 3/15/16		875		883

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

2012 Semi-Annual Report

March 31, 2012 (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	$	881
Coca-Cola Co. (The)
0.75%, 3/13/15		1,195		1,193
Comcast Corp.
6.50%, 1/15/15		870		993
COX Communications, Inc.
4.63%, 6/1/13		690		721
Daimler Finance North America LLC
1.88%, 9/15/14 (a)		785		797
Danaher Corp.
1.30%, 6/23/14		255		259
Delhaize Group SA
5.88%, 2/1/14		1,025		1,103
DirecTV Holdings LLC /DirecTV Financing Co., Inc.
4.75%, 10/1/14		695		756
Ecolab, Inc.
3.00%, 12/8/16		320		333
Ford Motor Credit Co. LLC
5.63%, 9/15/15		375		400
Gilead Sciences, Inc.
3.05%, 12/1/16		1,000		1,048
Harley-Davidson Funding Corp.
5.25%, 12/15/12 (a)		820		842
Hewlett-Packard Co.
3.30%, 12/9/16		815		849
Home Depot, Inc.
5.40%, 3/1/16		630		728
Kinross Gold Corp.
3.63%, 9/1/16 (a)		740		745
Kraft Foods, Inc.
6.75%, 2/19/14		875		967
Kroger Co. (The)
7.50%, 1/15/14		725		809
Marathon Petroleum Corp.
3.50%, 3/1/16		1,070		1,116
Marriott International, Inc.
4.63%, 6/15/12		1,300		1,308
McKesson Corp.
3.25%, 3/1/16		1,070		1,147
NBC Universal Media LLC
2.10%, 4/1/14		835		853
News America, Inc.
5.30%, 12/15/14		455		504
PepsiCo, Inc.
0.75%, 3/5/15		525		523
Phillips 66
1.95%, 3/5/15 (a)		200		202
Potash Corp. of Saskatchewan, Inc.
5.25%, 5/15/14		1,105		1,205
Quest Diagnostics, Inc.
3.20%, 4/1/16		925		970

	Face Amount (000)		Value (000)
Stryker Corp.
2.00%, 9/30/16	$	715	$	734
Tesoro Corp.
6.63%, 11/1/15		350		360
Texas Instruments, Inc.
1.38%, 5/15/14		955		970
Time Warner Cable, Inc.
8.25%, 2/14/14		700		793
Tyco Electronics Group SA
1.60%, 2/3/15		170		170
United Air Lines, Inc.
9.88%, 8/1/13 (a)		400		422
Verizon Communications, Inc.
1.25%, 11/3/14		715		723
Viacom, Inc.
4.38%, 9/15/14		1,100		1,187
Vodafone Group PLC
5.00%, 12/16/13		1,060		1,134
Volkswagen International Finance
1.63%, 3/22/15 (a)		1,195		1,196
Waste Management, Inc.
2.60%, 9/1/16		725		744
Wesfarmers Ltd.
2.98%, 5/18/16 (a)		395		404
WMG Acquisition Corp.
9.50%, 6/15/16		350		383
				42,433
Utilities (5.5%)
AES Corp. (The)
7.75%, 10/15/15		350		392
Commonwealth Edison Co.
1.63%, 1/15/14		805		818
EDF SA
5.50%, 1/26/14 (a)		1,105		1,186
Enel Finance International N.V.
3.88%, 10/7/14 (a)		1,115		1,126
FirstEnergy Solutions Corp.
4.80%, 2/15/15		755		817
NextEra Energy Capital Holdings, Inc.
5.35%, 6/15/13		825		868
Plains All American Pipeline L.P./PAA Finance Corp.
4.25%, 9/1/12		1,140		1,154
Sempra Energy
2.00%, 3/15/14		915		934
Spectra Energy Capital LLC
5.90%, 9/15/13		965		1,025
TransCanada PipeLines Ltd.
0.88%, 3/2/15		300		300
				8,620
				91,013
Mortgage — Other (0.3%)
FDIC Structured Sale Guaranteed Notes
0.55%, 2/25/48 (a)(b)		531		532

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

	Face Amount (000)		Value (000)
Non-U.S. Government — Guaranteed (8.7%)
Commonwealth Bank of Australia
2.50%, 12/10/12 (a)	$	2,300	$	2,328
Royal Bank of Scotland PLC (The)
2.63%, 5/11/12 (a)		2,230		2,230
Swedbank AB
2.90%, 1/14/13 (a)		5,900		6,001
Westpac Securities NZ Ltd.
2.50%, 5/25/12 (a)		3,020		3,018
				13,577
U.S. Treasury Securities (5.2%)
U.S. Treasury Notes,
0.50%, 11/15/13		4,050		4,063
1.25%, 8/31/15		3,100		3,166
2.38%, 6/30/18		875		926
				8,155
Total Fixed Income Securities (Cost $150,116)				152,990
	Shares
Short-Term Investments (2.9%)
Investment Company (2.6%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $4,014)		4,014,149		4,014

	Face Amount (000)		Value (000)
U.S. Treasury Security (0.3%)
U.S. Treasury Bill
0.14%, 8/30/12 (e)(f)(g)	$	510	$	510
Total Short-Term Investments (Cost $4,524)				4,524
Total Investments (100.8%) (Cost $154,640) (h)				157,514
Liabilities in Excess of Other Assets (-0.8%)				(1,266	)
Net Assets (100.0%)			$	156,248

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

(b)  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, 2012.

(c)  When-issued security.

(d)  Non-income producing security.

(e)  Rate shown is the yield to maturity at March 31, 2012.

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

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

(h)  Securities are available for collateral in connection with purchase of when-issued securities, open futures contracts and swap agreements.

FDIC  Federal Deposit Insurance Corporation.

MTN  Medium Term Note.

REMIC  Real Estate Mortgage Investment Conduit.

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 2 yr. Note		186	$	40,946		Jun-12	$	(28	)
U.S. Treasury 10 yr. Note		10		1,295		Jun-12		(19	)
Short:
U.S. Treasury 5 yr. Note		125		(15,317	)	Jun-12		70
							$	23

Zero Coupon Swap Agreements:

The Portfolio had the following zero coupon swap agreements 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	$	4,696	3 Month LIBOR	Pay	11/15/21	$	170		$	729
Deutsche Bank		4,009	3 Month LIBOR	Receive	11/15/21		(280	)		(1,266	)
									$	(537	)

LIBOR  London Interbank Offered Rate.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Limited Duration Portfolio

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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	$	—		$	1,168		$	—	$	1,168
Agency Fixed Rate Mortgages		—			1,301			—		1,301
Asset-Backed Securities		—			34,376			—		34,376
Collateralized Mortgage Obligations — Agency Collateral Series		—			2,153			—		2,153
Commercial Mortgage Backed Security		—			715			—		715
Corporate Bonds		—			91,013			—		91,013
Mortgages — Other		—			532			—		532
Non-U.S. Government — Guaranteed		—			13,577			—		13,577
U.S. Treasury Securities		—			8,155			—		8,155
Total Fixed Income Securities		—			152,990			—		152,990
Short-Term Investments
Investment Company		4,014			—			—		4,014
U.S. Treasury Security		—			510			—		510
Total Short-Term Investments		4,014			510			—		4,524
Futures Contracts		70			—			—		70
Zero Coupon Swap Agreements		—			729			—		729
Total Assets		4,084			154,229			—		158,313
Liabilities:
Futures Contracts		(47	)		—			—		(47	)
Zero Coupon Swap Agreements		—			(1,266	)		—		(1,266	)
Total Liabilities		(47	)		(1,266	)		—		(1,313	)
Total	$	4,037		$	152,963		$	—	$	157,000

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

Portfolio Composition

Classification	Percentage of Total Investments
Industrials		26.9	%
Finance		25.4
Asset-Backed Securities		21.8
Non-U.S. Government — Guaranteed		8.6
Other*		6.3
Utilities		5.5
U.S. Treasury Securities		5.5
Total Investments		100.0	%**

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

**  Does not include open long/short futures contracts with an underlying face amount of approximately $57,558,000 and net unrealized appreciation of approximately $23,000 and open swap agreements with net unrealized depreciation of approximately $537,000.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Fixed Income Securities (95.6%)
Asset-Backed Securities (0.6%)
CVS Pass-Through Trust,
6.04%, 12/10/28	$	95	$	105
8.35%, 7/10/31 (a)		29		36
				141
Corporate Bonds (47.0%)
Finance (11.4%)
ACE INA Holdings, Inc.
6.70%, 5/15/36		40		52
Aetna, Inc.
6.63%, 6/15/36		40		50
Aflac, Inc.
6.90%, 12/17/39		75		88
AIG SunAmerica Global Financing X
6.90%, 3/15/32 (a)		17		19
Allstate Corp. (The),
5.95%, 4/1/36		65		74
6.13%, 12/15/32		30		35
American Express Co.
8.13%, 5/20/19		45		59
Bear Stearns Cos. LLC (The)
7.25%, 2/1/18		45		54
Chubb Corp. (The)
6.50%, 5/15/38		30		39
Cigna Corp.
5.38%, 2/15/42		35		36
Citigroup, Inc.(See Note G-2),
5.85%, 12/11/34		225		231
6.88%, 3/5/38		30		35
Credit Suisse USA, Inc.
7.13%, 7/15/32		50		60
Farmers Exchange Capital
7.05%, 7/15/28 (a)		100		109
General Electric Capital Corp.,
5.88%, 1/14/38		155		171
MTN
6.15%, 8/7/37		5		6
6.75%, 3/15/32		140		168
Goldman Sachs Group, Inc. (The)
6.75%, 10/1/37		290		284
Hartford Financial Services Group, Inc.
6.63%, 3/30/40		75		78
HSBC Holdings PLC
6.50%, 5/2/36		235		262
JPMorgan Chase & Co.
6.40%, 5/15/38		55		66
JPMorgan Chase Capital XXVII
7.00%, 11/1/39		55		56
Lincoln National Corp.
6.30%, 10/9/37		20		22

	Face Amount (000)		Value (000)
Merrill Lynch & Co., Inc.
7.75%, 5/14/38	$	175	$	192
MetLife, Inc.
5.70%, 6/15/35		95		111
Principal Financial Group, Inc.
6.05%, 10/15/36		70		76
Protective Life Corp.
8.45%, 10/15/39		50		58
Prudential Financial, Inc.,
MTN
6.63%, 12/1/37		55		64
UnitedHealth Group, Inc.,
5.80%, 3/15/36		80		92
6.88%, 2/15/38		50		66
WellPoint, Inc.
6.38%, 6/15/37		30		37
				2,750
Industrials (26.8%)
Agrium, Inc.
7.13%, 5/23/36		55		69
Alcoa, Inc.
5.95%, 2/1/37		20		20
Altria Group, Inc.,
9.95%, 11/10/38		45		69
10.20%, 2/6/39		80		124
Amgen, Inc.
5.15%, 11/15/41		35		35
Anadarko Petroleum Corp.
6.20%, 3/15/40		100		114
ArcelorMittal
7.00%, 10/15/39		30		29
AT&T, Inc.,
5.35%, 9/1/40		325		347
5.55%, 8/15/41		60		67
6.30%, 1/15/38		30		35
BSKYB Finance UK PLC
6.50%, 10/15/35 (a)		50		56
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		40		49
Burlington Northern Santa Fe LLC
6.15%, 5/1/37		55		66
Canadian Natural Resources Ltd.
6.25%, 3/15/38		75		92
Canadian Oil Sands Ltd.
6.00%, 4/1/42 (a)		25		25
CBS Corp.
7.88%, 7/30/30		35		45
CenturyLink, Inc.,
Series P
7.60%, 9/15/39		120		114
Comcast Corp.
6.95%, 8/15/37		100		127

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
ConAgra Foods, Inc.
8.25%, 9/15/30	$	65	$	83
Corning, Inc.
7.25%, 8/15/36		85		102
CSX Corp.
6.15%, 5/1/37		60		70
Daimler Finance North America LLC
8.50%, 1/18/31		65		95
Darden Restaurants, Inc.
6.80%, 10/15/37		50		57
Delhaize Group SA
5.70%, 10/1/40		105		97
Deutsche Telekom International Finance BV
8.75%, 6/15/30		85		117
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
6.35%, 3/15/40		40		44
Dr. Pepper Snapple Group, Inc.
7.45%, 5/1/38		75		102
Grupo Televisa SA
6.63%, 1/15/40		75		86
Halliburton Co.
4.50%, 11/15/41		50		51
Harley-Davidson Funding Corp.
6.80%, 6/15/18 (a)		40		47
Hess Corp.
7.13%, 3/15/33		55		70
Hewlett-Packard Co.
6.00%, 9/15/41		75		82
Holcim Capital Corp. Ltd.
6.88%, 9/29/39 (a)		100		101
Home Depot, Inc. (The)
5.88%, 12/16/36		140		168
Illinois Tool Works, Inc.
4.88%, 9/15/41 (a)		50		54
International Paper Co.
7.30%, 11/15/39		95		116
JC Penney Corp., Inc.
7.40%, 4/1/37		50		49
KLA-Tencor Corp.
6.90%, 5/1/18		45		54
Kohl's Corp.
6.88%, 12/15/37		55		67
Koninklijke KPN N.V.
8.38%, 10/1/30		25		32
Koninklijke Philips Electronics N.V.
6.88%, 3/11/38		70		87
Kraft Foods, Inc.
6.88%, 1/26/39		150		189
Kroger Co. (The)
6.90%, 4/15/38		80		100
Lorillard Tobacco Co.
8.13%, 5/1/40		45		55

	Face Amount (000)		Value (000)
Lowe's Cos., Inc.
6.65%, 9/15/37	$	45	$	58
Marathon Petroleum Corp.
6.50%, 3/1/41		100		108
NBC Universal Media LLC
6.40%, 4/30/40		45		54
News America, Inc.
6.40%, 12/15/35		105		119
Petro-Canada,
5.95%, 5/15/35		55		64
6.80%, 5/15/38		100		128
Petrobras International Finance Co.
6.88%, 1/20/40		60		71
Philip Morris International, Inc.
4.50%, 3/20/42		75		74
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/36		85		103
Quest Diagnostics, Inc.,
5.75%, 1/30/40		30		31
6.95%, 7/1/37		80		98
Qwest Corp.
6.88%, 9/15/33		40		40
Ralcorp Holdings, Inc.
6.63%, 8/15/39		90		91
Rio Tinto Alcan, Inc.
6.13%, 12/15/33		25		29
Rio Tinto Finance USA Ltd.
7.13%, 7/15/28		40		52
Southern Copper Corp.
6.75%, 4/16/40		100		109
Syngenta Finance
4.38%, 3/28/42		30		30
Target Corp.
7.00%, 1/15/38		100		135
Telecom Italia Capital SA
7.20%, 7/18/36		40		39
Telefonica Europe BV
8.25%, 9/15/30		35		38
Teva Pharmaceutical Finance Co. LLC
6.15%, 2/1/36		25		30
Time Warner Cable, Inc.
6.55%, 5/1/37		85		99
Time Warner, Inc.
7.70%, 5/1/32		195		255
Union Pacific Corp.
6.25%, 5/1/34		115		141
Vale Overseas Ltd.
6.88%, 11/21/36		50		58
Valero Energy Corp.,
6.63%, 6/15/37		65		71
9.38%, 3/15/19		40		53

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Industrials (cont'd)
Verizon Communications, Inc.,
5.85%, 9/15/35	$	120	$	138
8.95%, 3/1/39		115		178
Vivendi SA
6.63%, 4/4/18 (a)		40		45
Vodafone Group PLC
6.15%, 2/27/37		45		55
Wal-Mart Stores, Inc.
6.50%, 8/15/37		35		46
Waste Management, Inc.
6.13%, 11/30/39		95		116
Williams Cos., Inc. (The)
7.75%, 6/15/31		39		48
Xerox Corp.
5.63%, 12/15/19		20		22
				6,484
Utilities (8.8%)
Columbus Southern Power Co.
6.60%, 3/1/33		30		37
Constellation Energy Group, Inc.
7.60%, 4/1/32		75		98
Detroit Edison Co. (The)
6.35%, 10/15/32		60		74
E.ON International Finance BV
6.65%, 4/30/38 (a)		25		32
EDF SA
5.60%, 1/27/40 (a)		30		31
Enbridge Energy Partners LP
7.50%, 4/15/38		50		64
Energy Transfer Partners LP,
7.50%, 7/1/38		60		68
9.00%, 4/15/19		19		23
Entergy Louisiana LLC
5.40%, 11/1/24		50		58
Enterprise Products Operating LLC
5.95%, 2/1/41		100		112
Exelon Generation Co., LLC
6.25%, 10/1/39		175		205
FirstEnergy Solutions Corp.
6.80%, 8/15/39		180		201
Kinder Morgan Energy Partners LP
6.50%, 2/1/37		65		72
Nevada Power Co.
6.65%, 4/1/36		125		160
Nisource Finance Corp.
6.13%, 3/1/22		85		99
Ohio Power Co.
6.60%, 2/15/33		110		135
Oncor Electric Delivery Co. LLC
7.50%, 9/1/38		25		32

	Face Amount (000)		Value (000)
ONEOK Partners LP
6.85%, 10/15/37	$	75	$	90
Plains All American Pipeline LP/PAA Finance Corp.,
6.65%, 1/15/37		40		47
6.70%, 5/15/36		75		88
PPL Electric Utilities Corp.
6.45%, 8/15/37		30		40
Sempra Energy
6.00%, 10/15/39		125		151
Spectra Energy Capital LLC
7.50%, 9/15/38		45		57
Tennessee Gas Pipeline Co.
7.00%, 10/15/28		125		142
				2,116
				11,350
Municipal Bonds (6.5%)
American Municipal Power, Inc.
6.05%, 2/15/43		55		61
Bay Area Toll Authority
6.26%, 4/1/49		90		116
Chicago, IL Board of Education
6.14%, 12/1/39		50		56
Chicago, IL Transit Authority
6.20%, 12/1/40		85		97
City of New York, NY,
Series G-1
5.97%, 3/1/36		40		49
City of San Francisco, CA,
Public Utilities Commission Water Revenue
6.00%, 11/1/40		55		66
County of Clark N.V.
6.82%, 7/1/45		105		139
District of Columbia
5.59%, 12/1/34		65		79
Illinois State Toll Highway Authority,
Highway Revenue, Build America Bonds
6.18%, 1/1/34		70		84
Indianapolis, IN Local Public Improvement Bond Bank
6.12%, 1/15/40		35		44
Los Angeles, CA Unified School District
6.76%, 7/1/34		45		58
Municipal Electric Authority of Georgia,
6.64%, 4/1/57		65		73
6.66%, 4/1/57		25		28
New Jersey Transportation Trust Fund Authority
6.56%, 12/15/40		35		45
New York City, NY Municipal Water Finance Authority
5.72%, 6/15/42		30		38
New York City, NY Transitional Finance Authority
5.27%, 5/1/27		40		47
North Texas Tollway Authority
6.72%, 1/1/49		90		116

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

	Face Amount (000)		Value (000)
Municipal Bonds (cont'd)
San Diego, CA County Water Authority
6.14%, 5/1/49	$	25	$	32
State of California, General Obligation Bonds
7.55%, 4/1/39		160		206
State of Illinois
6.63%, 2/1/35		50		55
State of Washington
5.09%, 8/1/33		65		74
				1,563
Sovereign (3.0%)
Brazilian Government International Bond
8.25%, 1/20/34		210		318
Mexico Government International Bond
6.05%, 1/11/40		165		200
Panama Government International Bond
9.38%, 4/1/29		43		69
Peruvian Government International Bond
8.75%, 11/21/33		35		54
Petroleos Mexicanos
4.88%, 1/24/22 (a)		70		74
				715
U.S. Agency Security (2.5%)
Federal Home Loan Mortgage Corporation
6.75%, 3/15/31		417		602
U.S. Treasury Securities (36.0%)
U.S. Treasury Bonds,
3.13%, 11/15/41		1,240		1,189
3.50%, 2/15/39		1,060		1,101
3.75%, 8/15/41		885		957
3.88%, 8/15/40		860		951
4.25%, 11/15/40		1,500		1,767
5.50%, 8/15/28		1,455		1,948
6.75%, 8/15/26		530		783
				8,696
Total Fixed Income Securities (Cost $20,318)				23,067

	Shares		Value (000)
Short-Term Investment (3.6%)
Investment Company (3.6%)
Morgan Stanley Institutional Liquidity Funds — Money Market Portfolio — Institutional Class (See Note G-2) (Cost $876)		875,832	$	876
Total Investments (99.2%) (Cost $21,194) (b)				23,943
Other Assets in Excess of Liabilities (0.8%)				196
Net Assets (100.0%)			$	24,139

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

(b)  Securities are available for collateral in connection with futures contracts and swap agreements.

MTN  Medium Term Note.

Futures Contracts:

The Portfolio had the following futures contracts open at period end:

	Number of Contracts		Value (000)			Expiration Date	Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury 10 yr. Note		18	$	2,331		Jun-12	$	12
Short:
U.S. Treasury 2 yr. Note		4		(880	)	Jun-12		(1	)
U.S. Treasury 5 yr. Note		3		(368	)	Jun-12		2
							$	13

Interest Rate Swap Agreements:

The Portfolio had the following interest rate swap agreements 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 NA	6 Month EURIBOR	Pay		4.26	%	8/18/26	EUR	1,090	$	48
Bank of America NA	3 Month LIBOR	Receive		4.35		8/18/26	$	1,460		(26	)
Bank of America NA	6 Month EURIBOR	Receive		3.61		8/18/31	EUR	1,375		(42	)
Bank of America NA	3 Month LIBOR	Pay		4.15		8/18/31	$	1,810		25
Goldman Sachs International	3 Month LIBOR	Receive		2.42		3/22/22		273		(4	)
JP Morgan Chase	3 Month LIBOR	Receive		2.43		3/22/22		132		(2	)
									$	(1	)

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Portfolio of Investments (cont'd)

Long Duration Fixed Income Portfolio

Zero Coupon Swap Agreements:

The Portfolio had the following zero coupon swap agreements 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	)	$	(190	)
Barclays Capital		722	3 Month LIBOR	Pay	11/15/19		25			103
									$	(87	)

EURIBOR  Euro Interbank Offered Rate.

LIBOR  London Interbank Offered Rate.

EUR  Euro

Fair Value Measurement Information:

The following is a summary of the inputs used to value the Portfolio's investments as of March 31, 2012. (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
Asset-Backed Securities	$	—		$	141		$	—	$	141
Corporate Bonds		—			11,350			—		11,350
Municipal Bonds		—			1,563			—		1,563
Sovereign		—			715			—		715
U.S. Agency Securities		—			602			—		602
U.S. Treasury Securities		—			8,696			—		8,696
Total Fixed Income Securities		—			23,067			—		23,067
Short-Term Investment — Investment Company		876			—			—		876
Futures Contracts		14			—			—		14
Interest Rate Swap Agreements		—			73			—		73
Zero Coupon Swap Agreements		—			103			—		103
Total Assets		890			23,243			—		24,133
Liabilities:
Futures Contracts		(1	)		—			—		(1	)
Interest Rate Swap Agreements		—			(74	)		—		(74	)
Zero Coupon Swap Agreements		—			(190	)		—		(190	)
Total Liabilities		(1	)		(264	)		—		(265	)
Total	$	889		$	22,979		$	—	$	23,868

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, 2012, the Portfolio did not have any significant investments transfer between investment levels.

Portfolio Composition

Classification	Percentage of Total Investments
U.S. Treasury Securities		36.3	%
Industrials		27.1
Finance		11.5
Other*		9.7
Utilities		8.9
Municipal Bonds		6.5
Total Investments		100.0	%**

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

**  Does not include open long/short futures contracts with an underlying face amount of approximately $3,579,000 and net unrealized appreciation of approximately $13,000. Also does not include open swap agreements with net unrealized depreciation of approximately $88,000.

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

2012 Semi-Annual Report

March 31, 2012 (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	$	35,356		$	5,674,105		$	61,255		$	258,559
Investments in Securities of Affiliated Issuers, at Cost		11,757			174,656			9,809			38,381
Total Investments in Securities, at Cost		47,113			5,848,761			71,064			296,940
Foreign Currency, at Cost		87			1,200			—			1
Investments in Securities of Unaffiliated Issuers, at Value(1)		36,966			6,924,279			63,102			264,255
Investments in Securities of Affiliated Issuers, at Value		11,736			174,656			9,847			38,481
Total Investments in Securities, at Value(1)		48,702			7,098,935			72,949			302,736
Foreign Currency, at Value		90			1,207			—			1
Cash		21			413			20			47
Receivable for Portfolio Shares Sold		3			5,447			14			109
Dividends Receivable		25			4,622			—			—
Interest Receivable		97			—			395			1,930
Receivable for Investments Sold		80			—			806			1,140
Unrealized Appreciation on Swap Agreements		74			—			246			973
Tax Reclaim Receivable		1			1,068			1			—	@
Receivable for Variation Margin		794			—			17			184
Unrealized Appreciation on Foreign Currency Exchange Contracts		29			—			—			110
Receivable from Affiliates		4			21			8			29
Premium Paid on Open Swap Agreements		—			—			59			—
Other Assets		14			281			14			28
Total Assets		49,934			7,111,994			74,529			307,287
Liabilities:
Collateral on Securities Loaned, at Value		7,104			—			6,525			15,515
Payable for Investments Purchased		1,664			23,247			6,819			21,574
Payable for Portfolio Shares Redeemed		—			16,334			109			401
Payable for Investment Advisory Fees		45			8,192			17			258
Payable for Sub Transfer Agency Fees		8			2,702			24			53
Unrealized Depreciation on Swap Agreements		63			—			455			966
Payable for Administration Fees		3			470			4			18
Payable for Shareholder Servicing Fees — Class P		4			460			—	@		1
Bank Overdraft		—			—			—			313
Payable for Professional Fees		24			77			28			50
Payable for Trustees' Fees and Expenses		7			30			4			84
Premium Received on Open Swap Agreements		—			—			105			—
Unrealized Depreciation on Foreign Currency Exchange Contracts		14			—			—			14
Payable for Custodian Fees		7			—			2			14
Payable for Transfer Agent Fees		1			14			1			2
Other Liabilities		20			238			18			67
Total Liabilities		8,964			51,764			14,111			39,330
Net Assets	$	40,970		$	7,060,230		$	60,418		$	267,957
Net Assets Consist of:
Paid-in-Capital	$	43,047		$	5,796,734		$	96,514		$	743,262
Undistributed (Distributions in Excess of) Net Investment Income		266			(3,611	)		758			5,935
Accumulated Net Realized Gain (Loss)		(4,035	)		17,052			(38,520	)		(487,072	)
Unrealized Appreciation (Depreciation) on:
Investments		1,610			1,250,174			1,847			5,696
Investments in Affiliates		(21	)		—			38			100
Futures Contracts		74			—			(10	)		(67	)
Swap Agreements		11			—			(209	)		7
Foreign Currency Exchange Contracts		15			—			—			96
Foreign Currency Translations		3			(119	)		—			(—	)@
Net Assets	$	40,970		$	7,060,230		$	60,418		$	267,957

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

2012 Semi-Annual Report

March 31, 2012 (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	$	21,196	$	4,870,199	$	60,292	$	264,083
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		1,457,781		125,785,817		5,912,953		26,042,890
Net Asset Value, Offering and Redemption Price Per Share	$	14.54	$	38.72	$	10.20	$	10.14
CLASS P:
Net Assets	$	19,774	$	2,190,031	$	126	$	3,874
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		1,363,871		58,660,088		12,253		381,496
Net Asset Value, Offering and Redemption Price Per Share	$	14.50	$	37.33	$	10.26	$	10.15
(1) Including: Securities on Loan, at Value:	$	7,630	$	—	$	8,402	$	20,904

@  Amount is less than $500.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Statements of Assets and Liabilities

	Corporate Bond Portfolio (000)			High Yield Portfolio (000)			Limited Duration Portfolio (000)			Long Duration Fixed Income Portfolio (000)
Assets:
Investments in Securities of Unaffiliated Issuers, at Cost	$	49,028		$	9,898		$	147,491		$	20,066
Investments in Securities of Affiliated Issuers, at Cost		9,826			101			7,149			1,128
Total Investments in Securities, at Cost		58,854			9,999			154,640			21,194
Foreign Currency, at Cost		—			—			—			—	@
Investments in Securities of Unaffiliated Issuers, at Value(1)		50,614			10,005			150,345			22,801
Investments in Securities of Affiliated Issuers, at Value		9,904			101			7,169			1,142
Total Investments in Securities, at Value(1)		60,518			10,106			157,514			23,943
Foreign Currency, at Value		—			—			—			—	@
Cash		29			—			19			—
Interest Receivable		607			210			1,019			277
Receivable for Investments Sold		609			418			—			—
Unrealized Appreciation on Swap Agreements		—			—			729			176
Premium Paid on Open Swap Agreements		—			—			170			25
Receivable for Portfolio Shares Sold		65			—			10			—
Receivable for Variation Margin		22			—			6			41
Receivable from Affiliates		25			—	@		24			4
Due from Adviser		—			22			—			11
Tax Reclaim Receivable		—	@		—			—			—
Prepaid Offering Cost		—			108			—			—
Other Assets		59			5			19			6
Total Assets		61,934			10,869			159,510			24,483
Liabilities:
Collateral on Securities Loaned, at Value		9,451			—			—			—
Payable for Investments Purchased		1,189			500			1,254			—
Unrealized Depreciation on Swap Agreements		13			—			1,266			264
Premium Received on Open Swap Agreements		—			—			280			44
Payable for Portfolio Shares Redeemed		48			—			201			—
Payable for Investment Advisory Fees		57			—			117			—
Payable for Offering Cost Fees		—			119			—			—
Payable for Professional Fees		14			12			19			21
Payable for Sub Transfer Agency Fees		12			—			52			—	@
Payable for Administration Fees		4			1			11			2
Payable for Trustees' Fees and Expenses		14			—			4			—
Payable for Custodian Fees		1			2			3			3
Payable for Transfer Agent Fees		2			1			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		4			1			54			9
Total Liabilities		10,811			636			3,262			344
Net Assets	$	51,123		$	10,233		$	156,248		$	24,139
Net Assets Consist of:
Paid-in-Capital	$	108,969		$	10,000		$	412,164		$	20,785
Undistributed Net Investment Income		748			99			499			322
Accumulated Net Realized Gain (Loss)		(60,246	)		27			(258,775	)		358
Unrealized Appreciation (Depreciation) on:
Investments		1,586			107			2,854			2,735
Investments in Affiliates		78			—			20			14
Futures Contracts		1			—			23			13
Swap Agreements		(13	)		—			(537	)		(88	)
Net Assets	$	51,123		$	10,233		$	156,248		$	24,139

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Statements of Assets and Liabilities (cont'd)

	Corporate Bond Portfolio (000)			High Yield Portfolio (000)			Limited Duration Portfolio (000)		Long Duration Fixed Income Portfolio (000)
CLASS I:
Net Assets	$	46,389		$	9,927		$	156,123	$	23,561
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		4,429,096			970,000			20,128,383		2,035,437
Net Asset Value, Offering and Redemption Price Per Share	$	10.47		$	10.23		$	7.76	$	11.58
CLASS P:
Net Assets	$	626		$	102		$	125	$	578
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		59,820			10,000			16,112		50,000
Net Asset Value, Offering and Redemption Price Per Share	$	10.47		$	10.23		$	7.76	$	11.56
CLASS H:
Net Assets	$	170		$	102		$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		16,275			10,000			—		—
Net Asset Value, Redemption Price Per Share	$	10.47		$	10.23		$	—	$	—
Maximum Sales Load		3.50	%		3.50	%		—		—
Maximum Sales Charge	$	0.38		$	0.37		$	—	$	—
Maximum Offering Price Per Share	$	10.85		$	10.60		$	—	$	—
CLASS L:
Net Assets	$	3,938		$	102		$	—	$	—
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000s)		376,372			10,000			—		—
Net Asset Value, Offering and Redemption Price Per Share	$	10.46		$	10.23		$	—	$	—
(1) Including: Securities on Loan, at Value:	$	9,206		$	—		$	—	$	—

@  Amount is less than $500.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2012

	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	$	239		$	23,892		$	—		$	—
Interest from Securities of Unaffiliated Issuers		298			—	@		1,109			6,879
Dividends from Securities of Affiliated Issuers		5			108			2			9
Interest from Securities of Affiliated Issuers		6			—			10			77
Income from Securities Loaned — Net		8			—			4			12
Less: Foreign Taxes Withheld		—			(568	)		(—	)@		—
Total Investment Income		556			23,432			1,125			6,977
Expenses:
Investment Advisory Fees (Note B)		96			16,573			117			542
Sub Transfer Agency Fees		7			3,133			23			60
Shareholder Servicing Fees — Class P (Note D)		23			2,927			—	@		5
Administration Fees (Note C)		17			2,652			25			116
Custodian Fees (Note F)		41			289			15			44
Shareholder Reporting Fees		11			327			12			15
Professional Fees		31			28			32			41
Registration Fees		9			100			12			9
Trustees' Fees and Expenses		1			104			1			4
Transfer Agency Fees (Note E)		9			71			3			12
Pricing Fees		29			4			15			24
Other Expenses		1			75			3			—
Total Expenses		275			26,283			258			872
Voluntary Waiver of Investment Advisory Fees (Note B)		—			—			(101	)		—
Rebate from Morgan Stanley Affiliate (Note G-2)		(4	)		(148	)		(3	)		(11	)
Net Expenses		271			26,135			154			861
Net Investment Income (Loss)		285			(2,703	)		971			6,116
Realized Gain (Loss):
Investments Sold		1,155			50,214			981			(3,476	)
Investments in Affiliates		11			—			24			179
Foreign Currency Exchange Contracts		97			—			—			206
Foreign Currency Transactions		3			(3	)		—			974
Futures Contracts		1,247			—			(74	)		320
Swap Agreements		(204	)		—			—			(575	)
Net Realized Gain (Loss)		2,309			50,211			931			(2,372	)
Change in Unrealized Appreciation (Depreciation):
Investments		4,024			1,212,241			(94	)		8,257
Investments in Affiliates		98			—			5			121
Foreign Currency Exchange Contracts		(113	)		—			—			84
Foreign Currency Translations		9			(115	)		—			(1	)
Futures Contracts		146			—			61			(1	)
Swap Agreements		36			—			(3	)		476
Net Change in Unrealized Appreciation (Depreciation)		4,200			1,212,126			(31	)		8,936
Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)		6,509			1,262,337			900			6,564
Net Increase in Net Assets Resulting from Operations	$	6,794		$	1,259,634		$	1,871		$	12,680

@  Amount is less than $500.

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

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Statements of Operations

For the Six Months Ended March 31, 2012

	Corporate Bond Portfolio (000)			High Yield Portfolio* (000)			Limited Duration Portfolio (000)			Long Duration Fixed Income Portfolio (000)
Investment Income:
Interest from Securities of Unaffiliated Issuers	$	1,385		$	110		$	2,077		$	543
Interest from Securities of Affiliated Issuers		31			—			46			8
Income from Securities Loaned — Net		5			—			—			—
Dividends from Securities of Affiliated Issuers		1			—	@		2			—	@
Less: Foreign Taxes Withheld		(—	)@		—			(1	)		(—	)@
Total Investment Income		1,422			110			2,124			551
Expenses:
Investment Advisory Fees (Note B)		120			9			241			45
Administration Fees (Note C)		26			1			64			10
Professional Fees		28			12			27			26
Sub Transfer Agency Fees		10			—			48			1
Custodian Fees (Note F)		17			2			14			11
Pricing Fees		15			1			11			13
Shareholder Reporting Fees		8			—	@		31			—	@
Registration Fees		11			—			10			15
Transfer Agency Fees (Note E)		8			2			4			3
Offering Costs		—			15			—			—
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)		10			—	@		—			—
Trustees' Fees and Expenses		1			—			2			—	@
Other Expenses		1			—			2			2
Total Expenses		256			42			454			127
Voluntary Waiver of Shareholder Servicing Fees — Class P (Note D)		(—	)@		—			—			—
Voluntary Waiver of Investment Advisory Fees (Note B)		—			(9	)		—			(45	)
Expenses Reimbursed by Advisor (Note B)		—			(22	)		—			(21	)
Rebate from Morgan Stanley Affiliate (Note G-2)		(2	)		(—	)@		(2	)		(—	)@
Net Expenses		254			11			452			61
Net Investment Income		1,168			99			1,672			490
Realized Gain (Loss):
Investments Sold		2,387			27			(46	)		551
Investments in Affiliates		153			—			46			—
Foreign Currency Exchange Contracts		—			—			—			(4	)
Foreign Currency Transactions		—			—			—			(—	)@
Futures Contracts		(85	)		—			(110	)		15
Swap Agreements		—			—			—			(41	)
Net Realized Gain (Loss)		2,455			27			(110	)		521
Change in Unrealized Appreciation (Depreciation):
Investments		(975	)		107			1,320			(834	)
Investments in Affiliates		(97	)		—			(16	)		15
Foreign Currency Exchange Contracts		—			—			—			4
Foreign Currency Translations		—			—			—			1
Futures Contracts		80			—			40			(11	)
Swap Agreements		(13	)		—			(9	)		29
Net Change in Unrealized Appreciation (Depreciation)		(1,005	)		107			1,335			(796	)
Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation)		1,450			134			1,225			(275	)
Net Increase in Net Assets Resulting from Operations	$	2,618		$	233		$	2,897		$	215

@  Amount is less than $500.

*  Commencement of Operations February 7, 2012.

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

2012 Semi-Annual Report

March 31, 2012

Statements of Changes in Net Assets

	Balanced Portfolio						Mid Cap Growth Portfolio
	Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)			Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income (Loss)	$	285		$	589		$	(2,703	)	$	(2,342	)
Net Realized Gain		2,309			4,315			50,211			658,813
Net Change in Unrealized Appreciation (Depreciation)		4,200			(4,228	)		1,212,126			(763,740	)
Net Increase (Decrease) in Net Assets Resulting from Operations		6,794			676			1,259,634			(107,269	)
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(221	)		(410	)		—			(9,653	)
Net Realized Gain		—			—			(211,942	)		—
Investment Class:
Net Investment Income		—			(41	)*		—			—
Class P:
Net Investment Income		(126	)		(234	)		—			(2,780	)
Net Realized Gain		—			—			(135,932	)		—
Total Distributions		(347	)		(685	)		(347,874	)		(12,433	)
Capital Share Transactions:(1)
Class I:
Subscribed		313			1,198			607,585			1,490,614
Distributions Reinvested		221			406			199,699			8,865
Conversion from Investment Class		—			5,798			—			—
Redeemed		(8,231	)		(4,609	)		(360,937	)		(614,738	)
Investment Class:
Subscribed		—			168	*		—			—
Distributions Reinvested		—			41	*		—			—
Conversion to Class I		—			(5,798	)		—			—
Redeemed		—			(73	)*		—			—
Class P:
Subscribed		794			1,375			142,678			1,017,179
Distributions Reinvested		126			234			110,582			2,751
Redeemed		(749	)		(1,852	)		(943,673	)		(869,991	)
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(7,526	)		(3,112	)		(244,066	)		1,034,680
Total Increase (Decrease) in Net Assets		(1,079	)		(3,121	)		667,694			914,978
Net Assets:
Beginning of Period		42,049			45,170			6,392,536			5,477,558
End of Period	$	40,970		$	42,049		$	7,060,230		$	6,392,536
Undistributed (Distribution in Excess of) Net Investment Income Included in End of Period Net Assets	$	266		$	328		$	(3,611	)	$	(908	)
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		23			92			16,956			38,900
Shares Issued on Distributions Reinvested		17			30			6,154			238
Conversion from Investment Class		—			432			—			—
Shares Redeemed		(597	)		(348	)		(10,157	)		(16,008	)
Net Increase (Decrease) in Class I Shares Outstanding		(557	)		206			12,953			23,130
Investment Class:
Shares Subscribed		—			13	*		—			—
Shares Issued on Distributions Reinvested		—			3	*		—			—
Conversion to Class I		—			(433	)		—			—
Shares Redeemed		—			(5	)*		—			—
Net Decrease in Investment Class Shares Outstanding		—			(422	)		—			—
Class P:
Shares Subscribed		57			104			4,126			27,862
Shares Issued on Distributions Reinvested		10			18			3,531			76
Shares Redeemed		(55	)		(141	)		(28,723	)		(24,055	)
Net Increase (Decrease) in Class P Shares Outstanding		12			(19	)		(21,066	)		3,883

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

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

2012 Semi-Annual Report

March 31, 2012

Statements of Changes in Net Assets

	Core Fixed Income Portfolio						Core Plus Fixed Income Portfolio
	Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)			Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	971		$	2,374		$	6,116		$	14,267
Net Realized Gain (Loss)		931			1,877			(2,372	)		20,947
Net Change in Unrealized Appreciation (Depreciation)		(31	)		(1,423	)		8,936			(23,167	)
Net Increase in Net Assets Resulting from Operations		1,871			2,828			12,680			12,047
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(1,188	)		(2,131	)		(6,502	)		(15,254	)
Investment Class:
Net Investment Income		—			—			—			(898	)*
Class P:
Net Investment Income		(1	)		(4	)		(94	)		(206	)
Total Distributions		(1,189	)		(2,135	)		(6,596	)		(16,358	)
Capital Share Transactions:(1)
Class I:
Subscribed		816			2,966			16,481			42,742
Distributions Reinvested		1,188			2,131			6,481			15,228
Conversion from Investment Class		—			—			—			94
Redeemed		(6,259	)		(17,577	)		(60,108	)		(193,906	)
Investment Class:
Conversion to Class I		—			—			—			(94	)
Redeemed		—			—			—			(92,182	)*
Class P:
Subscribed		90			6			409			1,120
Distributions Reinvested		1			4			94			206
Redeemed		(10	)		(173	)		(1,364	)		(2,394	)
Net Decrease in Net Assets Resulting from Capital Share Transactions		(4,174	)		(12,643	)		(38,007	)		(229,186	)
Total Decrease in Net Assets		(3,492	)		(11,950	)		(31,923	)		(233,497	)
Net Assets:
Beginning of Period		63,910			75,860			299,880			533,377
End of Period	$	60,418		$	63,910		$	267,957		$	299,880
Undistributed Net Investment Income Included in End of Period Net Assets	$	758		$	976		$	5,935		$	6,415
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		81			302			1,652			4,346
Shares Issued on Distributions Reinvested		119			217			661			1,559
Conversion from Investment Class		—			—			—			10
Shares Redeemed		(621	)		(1,778	)		(6,019	)		(19,801	)
Net Decrease in Class I Shares Outstanding		(421	)		(1,259	)		(3,706	)		(13,886	)
Investment Class:
Conversion to Class I		—			—			—			(9	)
Shares Redeemed		—			—			—			(9,331	)*
Net Decrease in Investment Class Shares Outstanding		—			—			—			(9,340	)
Class P:
Shares Subscribed		9			1			41			114
Shares Issued on Distributions Reinvested		—	@@		—	@@		9			21
Shares Redeemed		(1	)		(18	)		(137	)		(242	)
Net Increase (Decrease) in Class P Shares Outstanding		8			(17	)		(87	)		(107	)

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

@@  Amount is less than 500 shares.

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

2012 Semi-Annual Report

March 31, 2012

Statements of Changes in Net Assets

	Corporate Bond Portfolio						High Yield Portfolio
	Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)			Period from February 7, 2012^ to March 31, 2012 (unaudited) (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	1,168		$	2,508		$	99
Net Realized Gain		2,455			2,094			27
Net Change in Unrealized Appreciation (Depreciation)		(1,005	)		(1,640	)		107
Net Increase in Net Assets Resulting from Operations		2,618			2,962			233
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(1,252	)		(2,195	)		—
Class P:
Net Investment Income		(8	)		(14	)		—
Class H:
Net Investment Income		(5	)		(5	)		—
Class L:
Net Investment Income		(71	)		(119	)		—
Total Distributions		(1,336	)		(2,333	)		—
Capital Share Transactions:(1)
Class I:
Subscribed		928			4,447			9,700
Distributions Reinvested		1,251			2,100			—
Redeemed		(19,400	)		(24,083	)		—
Class P:
Subscribed		281			10			100
Distributions Reinvested		8			14			—
Redeemed		(79	)		(207	)		—
Class H:
Subscribed		—			301			100
Distributions Reinvested		4			2			—
Redeemed		(308	)		(1	)		—
Class L:
Subscribed		19			266			100
Distributions Reinvested		71			115			—
Redeemed		(305	)		(1,827	)		—
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(17,530	)		(18,863	)		10,000
Total Increase (Decrease) in Net Assets		(16,248	)		(18,234	)		10,233
Net Assets:
Beginning of Period		67,371			85,605			—
End of Period	$	51,123		$	67,371		$	10,233
Undistributed Net Investment Income Included in End of Period Net Assets	$	748		$	916		$	99

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

2012 Semi-Annual Report

March 31, 2012

Statements of Changes in Net Assets (cont'd)

	Corporate Bond Portfolio						High Yield Portfolio
	Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)			Period from February 7, 2012^ to March 31, 2012 (unaudited) (000)
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		90			443			970
Shares Issued on Distributions Reinvested		123			210			—
Shares Redeemed		(1,858	)		(2,383	)		—
Net Increase (Decrease) in Class I Shares Outstanding		(1,645	)		(1,730	)		970
Class P:
Shares Subscribed		27			1			10
Shares Issued on Distributions Reinvested		1			1			—
Shares Redeemed		(8	)		(20	)		—
Net Increase (Decrease) in Class P Shares Outstanding		20			(18	)		10
Class H:
Shares Subscribed		—			29			10
Shares Issued on Distributions Reinvested		—	@@		—	@@		—
Shares Redeemed		(30	)		(—	)@@		—
Net Increase (Decrease) in Class H Shares Outstanding		(30	)		29			10
Class L:
Shares Subscribed		1			27			10
Shares Issued on Distributions Reinvested		7			12			—
Shares Redeemed		(29	)		(183	)		—
Net Increase (Decrease) in Class L Shares Outstanding		(21	)		(144	)		10

^  Commencement of Operations.

@@  Amount is less than 500 shares.

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

2012 Semi-Annual Report

March 31, 2012

Statements of Changes in Net Assets

	Limited Duration Portfolio						Long Duration Fixed Income Portfolio
	Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)			Six Months Ended March 31, 2012 (unaudited) (000)			Year Ended September 30, 2011 (000)
Increase (Decrease) in Net Assets:
Operations:
Net Investment Income	$	1,672		$	3,987		$	490		$	1,179
Net Realized Gain (Loss)		(110	)		(157	)		521			450
Net Change in Unrealized Appreciation (Depreciation)		1,335			(2,438	)		(796	)		226
Net Increase in Net Assets Resulting from Operations		2,897			1,392			215			1,855
Distributions from and/or in Excess of:
Class I:
Net Investment Income		(1,993	)		(3,268	)		(494	)		(1,088	)
Net Realized Gain		—			—			(364	)		(1,496	)
Class P:
Net Investment Income		(2	)		(2	)		(12	)		(22	)
Net Realized Gain		—			—			(9	)		(27	)
Total Distributions		(1,995	)		(3,270	)		(879	)		(2,633	)
Capital Share Transactions:(1)
Class I:
Subscribed		4,597			11,161			791			221
Distributions Reinvested		1,992			3,267			2			236
Redeemed		(19,178	)		(53,349	)		(244	)		(8,365	)
Class P:
Subscribed		40			250			—			—
Distributions Reinvested		2			2			—			—
Redeemed		(112	)		(108	)		—			—
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions		(12,659	)		(38,777	)		549			(7,908	)
Total Decrease in Net Assets		(11,757	)		(40,655	)		(115	)		(8,686	)
Net Assets:
Beginning of Period		168,005			208,660			24,254			32,940
End of Period	$	156,248		$	168,005		$	24,139		$	24,254
Undistributed Net Investment Income Included in End of Period Net Assets	$	499		$	822		$	322		$	338
(1)   Capital Share Transactions:
Class I:
Shares Subscribed		594			1,439			67			19
Shares Issued on Distributions Reinvested		259			421			—	@@		23
Shares Redeemed		(2,488	)		(6,875	)		(21	)		(811	)
Net Increase (Decrease) in Class I Shares Outstanding		(1,635	)		(5,015	)		46			(769	)
Class P:
Shares Subscribed		5			32			—			—
Shares Issued on Distributions Reinvested		—	@@		—	@@		—			—
Shares Redeemed		(14	)		(14	)		—			—
Net Increase (Decrease) in Class P Shares Outstanding		(9	)		18			—			—

@@  Amount is less than 500 shares.

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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Balanced Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	12.50		$	12.55		$	11.66		$	11.87		$	14.69		$	12.63
Income (Loss) from Investment Operations:
Net Investment Income†		0.10			0.18			0.21			0.16			0.38			0.32
Net Realized and Unrealized Gain (Loss)		2.05			(0.02	)		0.91			0.17			(2.84	)		2.00
Total from Investment Operations		2.15			0.16			1.12			0.33			(2.46	)		2.32
Distributions from and/or in Excess of:
Net Investment Income		(0.11	)		(0.21	)		(0.23	)		(0.54	)		(0.36	)		(0.26	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	14.54		$	12.50		$	12.55		$	11.66		$	11.87		$	14.69
Total Return++		17.32	%#		1.07	%		9.77	%		3.45	%**		(17.02	)%		18.57	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	21,196		$	25,192		$	22,706		$	45,567		$	40,799		$	310,886
Ratio of Expenses to Average Net Assets (1)		1.16	%*+††		1.30	%+††		0.89	%+††		0.67	%+		0.57	%+		0.61	%+
Ratio of Net Investment Income to Average Net Assets (1)		1.44	%*+††		1.35	%+††		1.73	%+††		1.56	%+		2.66	%+		2.35	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*		0.01	%		0.01	%		0.04	%		0.05	%		0.00	%§
Portfolio Turnover Rate		58	%#		164	%		176	%		171	%		148	%		60	%
(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			N/A			0.58	%+		N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			N/A			2.65	%+		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.
65

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Balanced Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	12.47		$	12.52		$	11.63		$	11.84	��	$	14.66		$	12.61
Income (Loss) from Investment Operations:
Net Investment Income†		0.08			0.15			0.18			0.13			0.32			0.29
Net Realized and Unrealized Gain (Loss)		2.04			(0.03	)		0.91			0.17			(2.81	)		1.98
Total from Investment Operations		2.12			0.12			1.09			0.30			(2.49	)		2.27
Distributions from and/or in Excess of:
Net Investment Income		(0.09	)		(0.17	)		(0.20	)		(0.51	)		(0.33	)		(0.22	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	14.50		$	12.47		$	12.52		$	11.63		$	11.84		$	14.66
Total Return++		17.13	%#		0.83	%		9.52	%		3.15	%**		(17.26	)%		18.23	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	19,774		$	16,857		$	17,169		$	18,290		$	32,398		$	31,183
Ratio of Expenses to Average Net Assets (1)		1.41	%*+††		1.55	%+††		1.14	%+††		1.03	%+		0.90	%+		0.87	%+
Ratio of Net Investment Income to Average Net Assets (1)		1.19	%*+††		1.10	%+††		1.48	%+††		1.27	%+		2.35	%+		2.11	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*		0.01	%		0.01	%		0.04	%		0.06	%		0.00	%§
Portfolio Turnover Rate		58	%#		164	%		176	%		171	%		148	%		60	%
(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			1.08	%+		0.91	%+		N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			1.22	%+		2.34	%+		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.
66

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Mid Cap Growth Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	33.65		$	33.58		$	26.96		$	23.99		$	33.68		$	25.21
Income (Loss) from Investment Operations:
Net Investment Income†		0.00	‡		0.03			0.11			0.03			0.05	^^		0.17
Net Realized and Unrealized Gain (Loss)		6.90			0.14			6.52			2.94			(9.58	)		8.42
Total from Investment Operations		6.90			0.17			6.63			2.97			(9.53	)		8.59
Distributions from and/or in Excess of:
Net Investment Income		—			(0.10	)		(0.01	)		—			(0.16	)		(0.12	)
Net Realized Gain		(1.83	)		—			—			—			—			—
Total Distributions		(1.83	)		(0.10	)		(0.01	)		—			(0.16	)		(0.12	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	38.72		$	33.65		$	33.58		$	26.96		$	23.99		$	33.68
Total Return++		21.55	%#		0.47	%		24.58	%		12.38	%**		(28.42	)%^^		34.24	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	4,870,199		$	3,797,139		$	3,012,006		$	2,005,809		$	1,609,506		$	1,647,326
Ratio of Expenses to Average Net Assets		0.70	%*+††		0.69	%+††		0.68	%+††		0.69	%+		0.63	%+		0.63	%+
Ratio of Net Investment Income to Average Net Assets		0.01	%*+††		0.07	%+††		0.38	%+††		0.16	%+		0.17	%+		0.57	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.01	%		0.01	%		0.01	%		0.00	%§		0.00	%§
Portfolio Turnover Rate		9	%#		35	%		23	%		27	%		37	%		64	%

†  Per share amount is based on average shares outstanding.

‡  Amount is less than $0.005 per share.

^^  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.

++  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%.

*  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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Mid Cap Growth Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	32.55		$	32.51		$	26.15		$	23.33		$	32.78		$	24.54
Income (Loss) from Investment Operations:
Net Investment Income (Loss)†		(0.04	)		(0.07	)		0.04			(0.02	)		(0.02	)^^		0.09
Net Realized and Unrealized Gain (Loss)		6.65			0.15			6.32			2.84			(9.34	)		8.20
Total from Investment Operations		6.61			0.08			6.36			2.82			(9.36	)		8.29
Distributions from and/or in Excess of:
Net Investment Income		—			(0.04	)		—			—			(0.09	)		(0.05	)
Net Realized Gain		(1.83	)		—			—			—			—			—
Total Distributions		(1.83	)		(0.04	)		—			—			(0.09	)		(0.05	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	37.33		$	32.55		$	32.51		$	26.15		$	23.33		$	32.78
Total Return++		21.38	%#		0.22	%		24.32	%		12.04	%**		(28.59	)%^^		33.89	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	2,190,031		$	2,595,397		$	2,465,552		$	1,567,302		$	1,236,945		$	1,520,096
Ratio of Expenses to Average Net Assets (1)		0.95	%*+††		0.94	%+††		0.93	%+††		0.96	%+		0.88	%+		0.88	%+
Ratio of Net Investment Income (Loss) to Average Net Assets (1)		(0.24	)%*+††		(0.18	)%+††		0.13	%+††		(0.11	)%+		(0.07	)%+		0.31	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.01	%		0.01	%		0.01	%		0.00	%§		0.00	%§
Portfolio Turnover Rate		9	%#		35	%		23	%		27	%		37	%		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			N/A			0.89	%+		N/A
Net Investment Loss to Average Net Assets		N/A			N/A			N/A			N/A			(0.08	)%+		N/A

†  Per share amount is based on average shares outstanding.

^^  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.

‡  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%.

*  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.
68

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Core Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	10.08		$	9.96		$	9.49		$	9.18		$	10.77		$	10.80
Income (Loss) from Investment Operations:
Net Investment Income†		0.16			0.34			0.34			0.34			0.53			0.52
Net Realized and Unrealized Gain (Loss)		0.15			0.08			0.45			0.57			(1.60	)		(0.02	)
Total from Investment Operations		0.31			0.42			0.79			0.91			(1.07	)		0.50
Distributions from and/or in Excess of:
Net Investment Income		(0.19	)		(0.30	)		(0.32	)		(0.60	)		(0.52	)		(0.53	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.20		$	10.08		$	9.96		$	9.49		$	9.18		$	10.77
Total Return++		3.12	%#		4.34	%		8.57	%		10.41	%		(10.40	)%		4.76	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	60,292		$	63,866		$	75,651		$	93,768		$	186,305		$	308,111
Ratio of Expenses to Average Net Assets (1)		0.49	%*+††		0.50	%+††		0.50	%+††		0.50	%+		0.49	%+		0.49	%+
Ratio of Net Investment Income to Average Net Assets (1)		3.13	%*+††		3.43	%+††		3.58	%+††		3.73	%+		5.11	%+		4.83	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%		0.01	%
Portfolio Turnover Rate		102	%#		234	%		261	%		437	%		306	%		107	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		0.83	%*††		0.99	%††		0.67	%+††		0.61	%+		0.53	%+		0.54	%+
Net Investment Income to Average Net Assets		2.79	%*††		2.94	%††		3.41	%+††		3.62	%+		5.07	%+		4.78	%+

†  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.
69

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Core Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	10.14		$	10.01		$	9.53		$	9.12		$	10.71		$	10.74
Income (Loss) from Investment Operations:
Net Investment Income†		0.15			0.31			0.32			0.31			0.50			0.49
Net Realized and Unrealized Gain (Loss)		0.15			0.09			0.46			0.58			(1.60	)		(0.02	)
Total from Investment Operations		0.30			0.40			0.78			0.89			(1.10	)		0.47
Distributions from and/or in Excess of:
Net Investment Income		(0.18	)		(0.27	)		(0.30	)		(0.48	)		(0.49	)		(0.50	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.26		$	10.14		$	10.01		$	9.53		$	9.12		$	10.71
Total Return++		2.97	%#		4.11	%		8.47	%		10.10	%		(10.68	)%		4.53	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	126		$	44		$	209		$	214		$	487		$	11,805
Ratio of Expenses to Average Net Assets (1)		0.74	%*+††		0.75	%+††		0.75	%+††		0.75	%+		0.74	%+		0.74	%+
Ratio of Net Investment Income to Average Net Assets (1)		2.88	%*+††		3.18	%+††		3.33	%+††		3.48	%+		4.87	%+		4.58	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%		0.01	%
Portfolio Turnover Rate		102	%#		234	%		261	%		437	%		306	%		107	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.08	%*††		1.24	%††		0.92	%+††		0.86	%+		0.78	%+		0.79	%+
Net Investment Income to Average Net Assets		2.54	%*††		2.69	%††		3.16	%+††		3.37	%+		4.84	%+		4.54	%+

†  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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Core Plus Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	9.92		$	9.96		$	9.41		$	9.41		$	11.40		$	11.52
Income (Loss) from Investment Operations:
Net Investment Income†		0.21			0.38			0.34			0.41			0.66			0.58
Net Realized and Unrealized Gain (Loss)		0.23			(0.02	)		0.57			0.27			(2.10	)		(0.05	)
Total from Investment Operations		0.44			0.36			0.91			0.68			(1.44	)		0.53
Distributions from and/or in Excess of:
Net Investment Income		(0.22	)		(0.40	)		(0.36	)		(0.68	)		(0.55	)		(0.65	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.14		$	9.92		$	9.96		$	9.41		$	9.41		$	11.40
Total Return++		4.52	%#		3.74	%		10.02	%		7.56	%		(13.07	)%		4.77	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	264,083		$	295,226		$	434,657		$	797,788		$	1,210,286		$	2,367,043
Ratio of Expenses to Average Net Assets (1)		0.59	%*+††		0.66	%+††		0.51	%+††		0.49	%+		0.45	%+		0.44	%+
Ratio of Net Investment Income to Average Net Assets (1)		4.24	%*+††		3.88	%+††		3.53	%+††		4.56	%+		6.13	%+		5.10	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.01	%		0.00	%§		0.01	%		0.00	%§
Portfolio Turnover Rate		85	%#		225	%		270	%		402	%		320	%		139	%
(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			0.50	%+		0.45	%+		N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			4.55	%+		6.13	%+		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.
71

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Core Plus Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	9.94		$	9.97		$	9.40		$	9.40		$	11.38		$	11.50
Income (Loss) from Investment Operations:
Net Investment Income†		0.20			0.36			0.31			0.41			0.63			0.55
Net Realized and Unrealized Gain (Loss)		0.22			(0.02	)		0.57			0.24			(2.09	)		(0.05	)
Total from Investment Operations		0.42			0.34			0.88			0.65			(1.46	)		0.50
Distributions from and/or in Excess of:
Net Investment Income		(0.21	)		(0.37	)		(0.31	)		(0.65	)		(0.52	)		(0.62	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.15		$	9.94		$	9.97		$	9.40		$	9.40		$	11.38
Total Return++		4.27	%#		3.57	%		9.73	%		7.26	%		(13.23	)%		4.42	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,874		$	4,654		$	5,732		$	6,442		$	97,823		$	137,733
Ratio of Expenses to Average Net Assets (1)		0.84	%*+††		0.91	%+††		0.76	%+††		0.73	%+		0.70	%+		0.69	%+
Ratio of Net Investment Income to Average Net Assets (1)		3.99	%*+††		3.63	%+††		3.28	%+††		4.56	%+		5.87	%+		4.84	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.01	%		0.00	%§		0.01	%		0.00	%§
Portfolio Turnover Rate		85	%#		225	%		270	%		402	%		320	%		139	%
(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			N/A			0.70	%+		N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			N/A			5.87	%+		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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Corporate Bond Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	10.27		$	10.17		$	9.75		$	9.61		$	11.15		$	11.22
Income (Loss) from Investment Operations:
Net Investment Income†		0.19			0.33			0.33			0.31			0.55			0.52
Net Realized and Unrealized Gain (Loss)		0.22			0.07			0.49			0.38			(1.57	)		0.01
Total from Investment Operations		0.41			0.40			0.82			0.69			(1.02	)		0.53
Distributions from and/or in Excess of:
Net Investment Income		(0.21	)		(0.30	)		(0.40	)		(0.55	)		(0.52	)		(0.60	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.47		$	10.27		$	10.17		$	9.75		$	9.61		$	11.15
Total Return++		4.06	%#		4.05	%		8.65	%		7.46	%		(9.37	)%		4.82	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	46,389		$	62,410		$	79,337		$	140,890		$	316,894		$	519,504
Ratio of Expenses to Average Net Assets		0.76	%*+††		0.80	%+††		0.76	%+††		0.56	%+		0.52	%+		0.50	%+
Ratio of Net Investment Income to Average Net Assets		3.70	%*+††		3.27	%+††		3.36	%+††		3.30	%+		5.18	%+		4.74	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%		0.00	%§
Portfolio Turnover Rate		91	%#		224	%		277	%		545	%		325	%		124	%

†  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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Corporate Bond Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	10.27		$	10.16		$	9.74		$	9.60		$	11.14		$	11.21
Income (Loss) from Investment Operations:
Net Investment Income†		0.18			0.31			0.31			0.30			0.53			0.51
Net Realized and Unrealized Gain (Loss)		0.22			0.08			0.49			0.38			(1.57	)		0.00	‡
Total from Investment Operations		0.40			0.39			0.80			0.68			(1.04	)		0.51
Distributions from and/or in Excess of:
Net Investment Income		(0.20	)		(0.28	)		(0.38	)		(0.54	)		(0.50	)		(0.58	)
Redemption Fees		—			—			—			0.00	‡		0.00	‡		0.00	‡
Net Asset Value, End of Period	$	10.47		$	10.27		$	10.16		$	9.74		$	9.60		$	11.14
Total Return++		3.98	%#		3.99	%		8.50	%		7.44	%		(9.60	)%		4.56	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	626		$	408		$	590		$	611		$	842		$	1,177
Ratio of Expenses to Average Net Assets (1)		0.91	%*+††		0.95	%+††		0.91	%+††		0.69	%+		0.67	%+		0.65	%+
Ratio of Net Investment Income to Average Net Assets (1)		3.55	%*+††		3.12	%+††		3.21	%+††		3.19	%+		5.01	%+		4.59	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%		0.00	%§
Portfolio Turnover Rate		91	%#		224	%		277	%		545	%		325	%		124	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.01	%*††		1.05	%††		1.01	%+††		0.79	%+		0.77	%+		0.75	%+
Net Investment Income to Average Net Assets		3.45	%*††		3.02	%††		3.11	%+††		3.09	%+		4.91	%+		4.49	%+

†  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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Corporate Bond Portfolio

	Class H
	Six Months Ended March 31, 2012			Year Ended September 30,									Period from January 2, 2008^ to
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			September 30, 2008
Net Asset Value, Beginning of Period	$	10.27		$	10.16		$	9.74		$	9.53		$	11.15
Income (Loss) from Investment Operations:
Net Investment Income†		0.18			0.31			0.31			0.28			0.21
Net Realized and Unrealized Gain (Loss)		0.22			0.07			0.48			0.39			(1.68	)
Total from Investment Operations		0.40			0.38			0.79			0.67			(1.47	)
Distributions from and/or in Excess of:
Net Investment Income		(0.20	)		(0.27	)		(0.37	)		(0.46	)		(0.15	)
Redemption Fees		—			—			—			0.00	‡		—
Net Asset Value, End of Period	$	10.47		$	10.27		$	10.16		$	9.74		$	9.53
Total Return++		3.92	%#		3.89	%		8.39	%		7.21	%		(13.21	)%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	170		$	473		$	170		$	162		$	85
Ratio of Expenses to Average Net Assets		1.01	%*+††		1.05	%+††		1.01	%+††		0.81	%+		2.98	%*+
Ratio of Net Investment Income to Average Net Assets		3.45	%*+††		3.02	%+††		3.11	%+††		2.94	%+		2.71	%*+
Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%*

Portfolio Turnover Rate 91 %# 224 % 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."

††  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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Corporate Bond Portfolio

	Class L
	Six Months Ended March 31, 2012			Year Ended September 30,									Period from June 16, 2008^ to
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			September 30, 2008
Net Asset Value, Beginning of Period	$	10.26		$	10.15		$	9.74		$	9.63		$	10.12
Income (Loss) from Investment Operations:
Net Investment Income†		0.16			0.28			0.28			0.24			0.12
Net Realized and Unrealized Gain (Loss)		0.22			0.08			0.48			0.41			(0.60	)
Total from Investment Operations		0.38			0.36			0.76			0.65			(0.48	)
Distributions from and/or in Excess of:
Net Investment Income		(0.18	)		(0.25	)		(0.35	)		(0.54	)		(0.01	)
Redemption Fees		—			—			—			0.00	‡		—
Net Asset Value, End of Period	$	10.46		$	10.26		$	10.15		$	9.74		$	9.63
Total Return++		3.80	%#		3.51	%		8.15	%		7.08	%		(4.73	)%#
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	3,938		$	4,080		$	5,508		$	5,159		$	58
Ratio of Expenses to Average Net Assets		1.26	%*+††		1.30	%+††		1.26	%+††		1.06	%+		1.15	%*+
Ratio of Net Investment Income to Average Net Assets		3.20	%*+††		2.77	%+††		2.86	%+††		2.58	%+		4.34	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.01	%*		0.00	%§		0.00	%§		0.01	%		0.01	%*

Portfolio Turnover Rate 91 %# 224 % 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."

††  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.
76

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

High Yield Portfolio

	Class I
Selected Per Share Data and Ratios	Period from February 7, 2012^ to March 31, 2012 (unaudited)
Net Asset Value, Beginning of Period	$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.10
Net Realized and Unrealized Gain		0.13
Total from Investment Operations		0.23
Net Asset Value, End of Period	$	10.23
Total Return++		2.30	%#
Ratios and Supplemental Data:††
Net Assets, End of Period (Thousands)	$	9,927
Ratio of Expenses to Average Net Assets (1)		0.73	%*+
Ratio of Net Investment Income to Average Net Assets (1)		6.80	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*
Portfolio Turnover Rate		51	%#
(1) Supplemental Information on the Ratios to Average Net Assets:††
Ratios Before Expense Limitation:
Expenses to Average Net Assets		2.85	%*
Net Investment Income to Average Net Assets		4.68	%*

^  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.

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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

High Yield Portfolio

	Class P
Selected Per Share Data and Ratios	Period from February 7, 2012^ to March 31, 2012 (unaudited)
Net Asset Value, Beginning of Period	$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.09
Net Realized and Unrealized Gain		0.14
Total from Investment Operations		0.23
Net Asset Value, End of Period	$	10.23
Total Return++		2.30	%#
Ratios and Supplemental Data:††
Net Assets, End of Period (Thousands)	$	102
Ratio of Expenses to Average Net Assets (1)		0.98	%*+
Ratio of Net Investment Income to Average Net Assets (1)		6.55	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*
Portfolio Turnover Rate		51	%#
(1) Supplemental Information on the Ratios to Average Net Assets:††
Ratios Before Expense Limitation:
Expenses to Average Net Assets		3.10	%*
Net Investment Income to Average Net Assets		4.43	%*

^  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.

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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

High Yield Portfolio

	Class H
Selected Per Share Data and Ratios	Period from February 7, 2012^ to March 31, 2012 (unaudited)
Net Asset Value, Beginning of Period	$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.09
Net Realized and Unrealized Gain		0.14
Total from Investment Operations		0.23
Net Asset Value, End of Period	$	10.23
Total Return++		2.30	%#
Ratios and Supplemental Data:††
Net Assets, End of Period (Thousands)	$	102
Ratio of Expenses to Average Net Assets (1)		0.98	%*+
Ratio of Net Investment Income to Average Net Assets (1)		6.55	%*+
Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*
Portfolio Turnover Rate		51	%#
(1) Supplemental Information on the Ratios to Average Net Assets:††
Ratios Before Expense Limitation:
Expense to Average Net Assets		3.10	%*
Net Investment Income to Average Net Assets		4.43	%*

^  Commencement of Operations.

†  Per share amount is based on average shares outstanding.

++  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."

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

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

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

High Yield Portfolio

	Class L
Selected Per Share Data and Ratios	Period from February 7, 2012^ to March 31, 2012 (unaudited)
Net Asset Value, Beginning of Period	$	10.00
Income (Loss) from Investment Operations:
Net Investment Income†		0.09
Net Realized and Unrealized Gain		0.14
Total from Investment Operations		0.23
Net Asset Value, End of Period	$	10.23
Total Return++		2.30	%#
Ratios and Supplemental Data:††
Net Assets, End of Period (Thousands)	$	102
Ratio of Expenses to Average Net Assets (1)		1.23	%*+
Ratio of Net Investment Income to Average Net Assets (1)		6.30	%*+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.02	%*
Portfolio Turnover Rate		51	%#
(1) Supplemental Information on the Ratios to Average Net Assets:††
Ratios Before Expense Limitation:
Expenses to Average Net Assets		3.35	%*
Net Investment Income to Average Net Assets		4.18	%*

^  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.

The accompanying notes are an integral part of the financial statements.
80

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Limited Duration Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	7.71		$	7.79		$	7.68		$	8.00		$	10.24		$	10.34
Income (Loss) from Investment Operations:
Net Investment Income†		0.08			0.16			0.18			0.24			0.49			0.51
Net Realized and Unrealized Gain (Loss)		0.07			(0.10	)		0.10			(0.12	)		(2.22	)		(0.08	)
Total from Investment Operations		0.15			0.06			0.28			0.12			(1.73	)		0.43
Distributions from and/or in Excess of:
Net Investment Income		(0.10	)		(0.14	)		(0.16	)		(0.44	)		(0.51	)		(0.53	)
Paid-in-Capital		—			—			(0.01	)		—			—			—
Total Distributions		(0.10	)		(0.14	)		(0.17	)		(0.44	)		(0.51	)		(0.53	)
Redemption Fees		—			—			—			0.00	‡		—			0.00	‡
Net Asset Value, End of Period	$	7.76		$	7.71		$	7.79		$	7.68		$	8.00		$	10.24
Total Return++		1.90	%#		0.71	%		3.74	%		1.77	%		(17.57	)%		4.26	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	156,123		$	167,811		$	208,608		$	262,794		$	568,156		$	1,058,151
Ratio of Expenses to Average Net Assets (1)		0.57	%*+††		0.59	%+††		0.55	%+††		0.45	%+		0.43	%+		0.45	%+
Ratio of Net Investment Income to Average Net Assets (1)		2.07	%*+††		2.12	%+††		2.39	%+††		3.16	%+		5.22	%+		4.94	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.00	%§		0.01	%		0.00	%§
Portfolio Turnover Rate		17	%#		35	%		95	%		110	%		20	%		56	%
(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			N/A			0.43	%+		N/A
Net Investment Income to Average Net Assets		N/A			N/A			N/A			N/A			5.22	%+		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.
81

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Limited Duration Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,												Period from September 28, 2007^ to
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			September 30, 2007
Net Asset Value, Beginning of Period	$	7.71		$	7.79		$	7.68		$	8.00		$	10.24		$	10.24
Income (Loss) from Investment Operations:
Net Investment Income†		0.07			0.15			0.17			0.22			0.47			0.00	‡
Net Realized and Unrealized Gain (Loss)		0.07			(0.12	)		0.09			(0.12	)		(2.23	)		(0.00	)‡
Total from Investment Operations		0.14			0.03			0.26			0.10			(1.76	)		0.00	‡
Distributions from and/or in Excess of:
Net Investment Income		(0.09	)		(0.11	)		(0.15	)		(0.42	)		(0.48	)		—
Paid-in-Capital		—			—			(0.00	)‡		—			—			—
Total Distributions		(0.09	)		(0.11	)		(0.15	)		(0.42	)		(0.48	)		—
Redemption Fees		—			—			—			0.00	‡		—			0.00	‡
Net Asset Value, End of Period	$	7.76		$	7.71		$	7.79		$	7.68		$	8.00		$	10.24
Total Return++		1.77	%#		0.45	%		3.48	%		1.52	%		(17.77	)%		—
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	125		$	194		$	52		$	169		$	294		$	1,020
Ratio of Expenses to Average Net Assets		0.82	%*+††		0.84	%+††		0.80	%+††		0.70	%+		0.68	%+		0.59	%*+
Ratio of Net Investment Income to Average Net Assets		1.82	%*+††		1.87	%+††		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	%§		0.00	%§		0.01	%		0.06	%*
Portfolio Turnover Rate		17	%#		35	%		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.

#  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.
82

2012 Semi-Annual Report

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Financial Highlights

Long Duration Fixed Income Portfolio

	Class I
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	11.89		$	11.73		$	11.52		$	9.93		$	10.33		$	10.48
Income (Loss) from Investment Operations:
Net Investment Income†		0.24			0.50			0.55			0.49			0.46			0.49
Net Realized and Unrealized Gain (Loss)		(0.12	)		0.66			0.80			1.66			(0.37	)		(0.18	)
Total from Investment Operations		0.12			1.16			1.35			2.15			0.09			0.31
Distributions from and/or in Excess of:
Net Investment Income		(0.25	)		(0.46	)		(0.55	)		(0.56	)		(0.49	)		(0.43	)
Net Realized Gain		(0.18	)		(0.54	)		(0.59	)		—			—			(0.03	)
Total Distributions		(0.43	)		(1.00	)		(1.14	)		(0.56	)		(0.49	)		(0.46	)
Net Asset Value, End of Period	$	11.58		$	11.89		$	11.73		$	11.52		$	9.93		$	10.33
Total Return++		1.00	%#		11.40	%		13.09	%		22.19	%		0.87	%		3.06	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	23,561		$	23,660		$	32,354		$	31,410		$	27,438		$	25,297
Ratio of Expenses to Average Net Assets (1)		0.50	%*+††		0.50	%+††		0.50	%+††		0.50	%+		0.49	%+		0.50	%+
Ratio of Net Investment Income to Average Net Assets (1)		4.12	%*+††		4.69	%+††		4.98	%+††		4.68	%+		4.44	%+		4.73	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.00	%§		0.01	%		0.00	%§
Portfolio Turnover Rate		18	%#		59	%		90	%		80	%		63	%		49	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.05	%*††		1.12	%††		0.79	%+††		0.80	%+		0.75	%+		0.94	%+
Net Investment Income to Average Net Assets		3.57	%*††		4.07	%††		4.69	%+††		4.38	%+		4.18	%+		4.29	%+

†  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.
83

2012 Semi-Annual Report

March 31, 2012

Financial Highlights

Long Duration Fixed Income Portfolio

	Class P
	Six Months Ended March 31, 2012			Year Ended September 30,
Selected Per Share Data and Ratios	(unaudited)			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	11.88		$	11.72		$	11.51		$	9.92		$	10.32		$	10.48
Income (Loss) from Investment Operations:
Net Investment Income†		0.23			0.48			0.51			0.46			0.44			0.46
Net Realized and Unrealized Gain (Loss)		(0.13	)		0.65			0.82			1.67			(0.37	)		(0.19	)
Total from Investment Operations		0.10			1.13			1.33			2.13			0.07			0.27
Distributions from and/or in Excess of:
Net Investment Income		(0.24	)		(0.43	)		(0.53	)		(0.54	)		(0.47	)		(0.40	)
Net Realized Gain		(0.18	)		(0.54	)		(0.59	)		—			—			(0.03	)
Total Distributions		(0.42	)		(0.97	)		(1.12	)		(0.54	)		(0.47	)		(0.43	)
Net Asset Value, End of Period	$	11.56		$	11.88		$	11.72		$	11.51		$	9.92		$	10.32
Total Return++		0.79	%#		11.13	%		12.81	%		21.91	%		0.61	%		2.72	%
Ratios and Supplemental Data:
Net Assets, End of Period (Thousands)	$	578		$	594		$	586		$	575		$	496		$	516
Ratio of Expenses to Average Net Assets (1)		0.75	%*+††		0.75	%+††		0.75	%+††		0.75	%+		0.74	%+		0.75	%+
Ratio of Net Investment Income to Average Net Assets (1)		3.87	%*+††		4.44	%+††		4.73	%+††		4.43	%+		4.18	%+		4.48	%+
Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets		0.00	%*§		0.00	%§		0.00	%§		0.00	%§		0.01	%		0.00	%§
Portfolio Turnover Rate		18	%#		59	%		90	%		80	%		63	%		49	%
(1) Supplemental Information on the Ratios to Average Net Assets:
Ratios Before Expense Limitation:
Expenses to Average Net Assets		1.30	%*††		1.37	%††		1.04	%+††		1.05	%+		1.00	%+		1.19	%+
Net Investment Income to Average Net Assets		3.32	%*††		3.82	%††		4.44	%+††		4.13	%+		3.92	%+		4.04	%+

†  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.
84

2012 Semi-Annual Report

March 31, 2012 (unaudited)

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 "Act"), as an open-end management investment company. The Fund is comprised of eight separate, active portfolios (individually referred to as a "Portfolio", collectively as the "Portfolios"). All Portfolios are considered diversified for purposes of the 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 distribution and 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.

A. Significant Accounting Policies: The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("GAAP"). Such policies are consistently followed by the Portfolio in the preparation of its financial statements. GAAP 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 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

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2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

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 use 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 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. 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: An over the counter ("OTC") 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. A small percentage of swap agreements are cleared through a central clearing house. 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). The 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. Most swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. These OTC swaps are often 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 the Portfolio or if the reference index, security or investments do not perform as expected.

86

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

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. 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.

Upfront payments received or paid by a Portfolio will be reflected as an asset or liability in the Statements of Assets and Liabilities.

Foreign Currency Exchange Contracts: In connection with their investments in foreign securities, certain Portfolios also 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 currency 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 currency contracts. The use of currency contracts involves the risk of loss from the insolvency or bankruptcy of the counterparty to the contract or the failure of the counterparty to make payments or otherwise comply with the terms of the contract. 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 currency contract is closed equal to the difference between the value of the currency contract at the time it was opened and the value at the time it was closed.

Financial Accounting Standards Board ("FASB") Accounting Standards Codification^TM ("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 on the 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, 2012.

Primary Risk Exposure	Statements of Assets and Liabilities	Foreign Currency Exchange Contracts (000)		Futures Contracts (000)(a)		Swap Agreements (000)
Balanced Portfolio:
Currency Risk	Receivables	$	29	$	—	$	—
Equity Risk	Receivables		—		91		13
Commodity Risk	Receivables		—		4		—
Interest Rate Risk	Receivables		—		10		61
Total Receivables		$	29	$	105	$	74
Currency Risk	Payables		14		—		—
Equity Risk	Payables		—		28		3
Interest Rate Risk	Payables		—		3		60
Total Payables		$	14	$	31	$	63
Core Fixed Income Portfolio:
Interest Rate Risk	Receivables	$	—	$	12	$	246
Interest Rate Risk	Payables	$	—	$	22	$	455
Core Plus Fixed Income Portfolio:
Currency Risk	Receivables	$	110	$	—	$	—
Interest Rate Risk	Receivables		—		24		973
Total Receivables		$	110	$	24	$	973
Currency Risk	Payables		14		—		—
Interest Rate Risk	Payables		—		91		966
Total Payables		$	14	$	91	$	966
Corporate Bond Portfolio:
Interest Rate Risk	Receivables	$	—	$	52	$	—
Interest Rate Risk	Payables	$	—	$	51	$	13
Limited Duration Portfolio:
Interest Rate Risk	Receivables	$	—	$	70	$	729
Interest Rate Risk	Payables	$	—	$	47	$	1,266
Long Duration Fixed Income Portfolio:
Interest Rate Risk	Receivables	$	—	$	14	$	176
Interest Rate Risk	Payables	$	—	$	1	$	264

(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 net variation margin, receivable/payable to brokers.

87

2012 Semi-Annual Report

March 31, 2012 (unaudited)

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, 2012 in accordance with ASC 815.

Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Balanced			Foreign Currency
	Currency Risk		Exchange Contracts	$	97
	Equity Risk		Futures Contracts		1,262
	Commodity Risk		Futures Contracts		(8	)
	Interest Rate Risk		Futures Contracts		(7	)
	Equity Risk		Swap Agreements		(177	)
	Interest Rate Risk		Swap Agreements		(27	)
Total				$	1,140
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Balanced			Foreign Currency
	Currency Risk		Exchange Contracts	$	(113	)
	Equity Risk		Futures Contracts		118
	Commodity Risk		Futures Contracts		4
	Interest Rate Risk		Futures Contracts		24
	Equity Risk		Swap Agreements		10
	Interest Rate Risk		Swap Agreements		26
Total				$	69
Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Core Fixed Income	Interest Rate Risk		Futures Contracts	$	(74	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Core Fixed Income	Interest Rate Risk		Futures Contracts	$	61
	Interest Rate Risk		Swap Agreements		(3	)
Total				$	58
Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Core Plus Fixed Income			Foreign Currency
	Currency Risk		Exchange Contracts	$	206
	Interest Rate Risk		Futures Contracts		320
	Interest Rate Risk		Swap Agreements		(575	)
Total				$	(49	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Core Plus Fixed Income			Foreign Currency
	Currency Risk		Exchange Contracts	$	84
	Interest Rate Risk		Futures Contracts		(1	)
	Interest Rate Risk		Swap Agreements		476
Total				$	559
Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Corporate Bond	Interest Rate Risk		Futures Contracts	$	(85	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Corporate Bond	Interest Rate Risk		Futures Contracts	$	80
	Interest Rate Risk		Swap Agreements		(13	)
Total		��		$	67
Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Limited Duration	Interest Rate Risk		Futures Contracts	$	(110	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Limited Duration	Interest Rate Risk		Futures Contracts	$	40
	Interest Rate Risk		Swap Agreements		(9	)
Total				$	31
Realized Gain (Loss)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Long Duration Fixed Income			Foreign Currency
	Currency Risk		Exchange Contracts	$	(4	)
	Interest Rate Risk		Futures Contracts		15
	Interest Rate Risk		Swap Agreements		(41	)
Total				$	(30	)
Change in Unrealized Appreciation (Depreciation)
Portfolio	Primary Risk Exposure		Derivative Type	Value (000)
Long Duration Fixed Income			Foreign Currency
	Currency Risk		Exchange Contracts	$	4
	Interest Rate Risk		Futures Contracts		(11	)
	Interest Rate Risk		Swap Agreements		29
Total				$	22

For the six months ended March 31, 2012, Balanced and Core Plus Fixed Income Portfolio's average monthly principal amount of foreign currency exchange contracts was approximately $5,993,000 and $14,196,000, average monthly original value of futures contracts was approximately $12,025,000 and $86,207,000, and average monthly notional value of swap agreements was approximately $18,892,000 and $284,485,000, respectively. Core Fixed Income, Corporate Bond, Limited Duration, and Long Duration Fixed Income Portfolio's average monthly original value of futures contracts was approximately $15,066,000, $27,073,000, $43,738,000, and $2,238,000 and average monthly notional value of swap agreements was approximately $3,837,000, $159,000, $11,059,000, and $22,645,000, respectively.

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 date. Payment and delivery for when-issued and delayed delivery securities can take place up to 120 days

88

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

after the date of the transaction. When the Portfolio enters into a purchase transaction on a when-issued or delayed delivery basis, securities are available for collateral in an amount at least equal in value to the Portfolio's commitments to purchase such securities. 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 value 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 valuing 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 valuing 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.

In May 2011, FASB issued Accounting Standards Update ("ASU") 2011-04. The amendments in this update are the results of the work of FASB and the International Accounting Standards Board to develop common requirements for measuring fair value and for disclosing information about fair value measurements, which are effective during interim and annual periods beginning after December 15, 2011. Consequently, these amendments improve the comparability of fair value measurements presented and disclosed in the financial statements prepared in accordance with GAAP and International Financial Reporting Standards. At this time, the Fund's management is evaluating the implications of ASU 2011-04.

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. 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 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"), a wholly-owned subsidiary of Morgan Stanley, provides the Fund with investment advisory services under the terms of an Investment Advisory

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2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

Agreement, paid quarterly, at the annual rates of the average daily net assets indicated below.

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 over $1 billion		0.375 0.300
Corporate Bond			0.375
High Yield			0.600
Limited Duration			0.300
Long Duration Fixed Income			0.375

The Adviser has agreed to reduce its advisory fee and/or reimburse certain Portfolios, if necessary, if such fees would cause the total annual operating expenses of the Portfolios to exceed its expense limitations. In determining the actual amount of fee waiver and/or expense reimbursement for the Portfolios, if any, the Adviser excludes from annual operating expenses certain investment related expenses.

	Expense Limitations
Portfolio	Class I			Class P			Class H			Class L
Core Fixed Income		0.50	%		0.75	%		—	%		—	%
High Yield		0.75			1.00			1.00			1.25
Long Duration Fixed Income		0.50			0.75			—			—

The fee waivers and/or expense reimbursements for the Portfolios will continue for at least one year or until such time that the Fund's Board of Trustees acts to discontinue all or a portion of such waivers and/or expense reimbursements when it deems such action is appropriate. For the six months ended March 31, 2012, the Portfolios had advisory fees waived and/or certain expenses reimbursed as follows:

Portfolio	Adivsory Fees Waived and/or Reimbursed (000)
Core Fixed Income	$	101
High Yield		31
Long Duration Fixed Income		66

C. Administration Fees: The Adviser also serves as Administrator to the Fund and provides 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 a Sub-Administration 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 Services 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 Distributor has 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 Corporate Bond Portfolio.

The Fund has adopted a Distribution and Shareholder Services Plan with respect to Class L shares pursuant to Rule 12b-1 under the Act. Under the Distribution and Shareholder Services Plan, the 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. For the six months ended March 31, 2012, the Corporate Bond Portfolio waived less than $500.

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 (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 Act.

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.

90

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

G. Portfolio Investment Activity:

1.  Security Transactions: During the six months ended March 31, 2012, 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	$	5,650	$	14,852
Mid Cap Growth		598,673		1,065,979
Core Fixed Income		6,940		13,565
Core Plus Fixed Income		43,369		72,558
Corporate Bond		48,038		31,803
High Yield		13,833		3,961
Limited Duration		19,119		23,893
Long Duration Fixed Income		982		1,167

During the six months ended March 31, 2012, purchases and sales of long-term U.S. government securities were:

Portfolio	Purchases (000)		Sales (000)
Balanced	$	16,690	$	15,817
Core Fixed Income		54,449		52,354
Core Plus Fixed Income		191,767		192,190
Corporate Bond		7,519		39,180
Limited Duration		8,253		4,929
Long Duration Fixed Income		3,349		3,079

2.  Transactions with Affiliates: The Portfolios invest in the Institutional Class of 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, 2012 is as follows:

Portfolio	Value September 30, 2011 (000)		Purchases at Cost (000)		Sales (000)		Dividend Income (000)			Value March 31, 2012 (000)
Balanced	$	3,956	$	21,994	$	14,684	$	3		$	11,266
Mid Cap Growth		280,754		615,399		721,497		108			174,656
Core Fixed Income		3,080		24,562		18,119		2			9,523
Core Plus Fixed Income		17,246		128,701		108,607		9			37,340
Corporate Bond		4,141		41,870		37,374		1			8,637
High Yield		—		10,961		10,860		—	@		101
Limited Duration		5,846		28,544		30,376		2			4,014
Long Duration Fixed Income		636		2,342		2,102		—	@		876

@ Amount is less than $500.

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, 2012, advisory fees paid were reduced as follows:

Portfolio	Rebate (000)
Balanced	$	3
Mid Cap Growth		148
Core Fixed Income		3
Core Plus Fixed Income		11
Corporate Bond		2
High Yield		—	@
Limited Duration		2
Long Duration Fixed Income		—	@

@ Amount is less than $500.

The Balanced Portfolio invests in Morgan Stanley Institutional Fund, Inc. — Emerging Markets Portfolio ("Emerging Markets Portfolio"), an open-end management investment company advised by an affiliate of the Adviser. Investment 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 Emerging Markets Portfolio. For the six months ended March 31, 2012, advisory fees paid were reduced by approximately $1,000 relating to the Portfolio's investment in the Emerging Markets Portfolio. The Emerging Markets Portfolio has a cost basis of approximately $120,000 at March 31, 2012.

A summary of the Balanced Portfolio's transactions in shares of the Emerging Markets Portfolio during the six months ended March 31, 2012 is as follows:

Value September 30, 2011 (000)		Purchases at Cost (000)		Sales (000)		Realized Gain/Loss (000)		Dividend Income (000)		Value March 31, 2012 (000)
$	93	$	2	$	—	$	—	$	2	$	108

For the six months ended March 31, 2012, the following Portfolios invested in Citigroup, Inc., and its affiliated broker/dealers which may be deemed affiliates of the Adviser, Administrator and Distributor under Section 17 of the Act.

Portfolio	Value September 30, 2011 (000)		Purchases at Cost (000)		Sales (000)		Realized Gain/Loss (000)		Dividend/ Interest Income (000)		Value March 31, 2012 (000)
Balanced	$	451	$	114	$	300	$	11	$	6	$	362
Core Fixed Income		456		—		161		24		10		324
Core Plus Fixed Income		3,518		—		2,672		179		77		1,141
Corporate Bond		1,047		1,212		1,046		153		31		1,267
Limited Duration		3,413		1,189		1,472		46		46		3,155
Long Duration Fixed Income		251		—		—		—		8		266

91

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

During the six months ended March 31, 2012, the following Portfolios incurred brokerage commissions with Citigroup, Inc. and its affiliated broker/dealers, which may be deemed affiliates of the Adviser, Administrator and Distributor under Section 17 of the Act:

Portfolio	Broker Commissions (000)
Mid Cap Growth	$	2

The Fund has an unfunded Deferred Compensation Plan (the "Compensation Plan"), which allows each independent Trustee to defer payment of all, or a portion, of the fees he or she receives for serving on the Board of Trustees. Each eligible Trustee generally may elect to have the deferred amounts credited with a return equal to the total return on one or more of the Morgan Stanley funds that are offered as investment options under the Compensation Plan. Appreciation/depreciation and distributions received from these investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the net asset value of the Portfolio.

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 recorded as "Income from Securities Loaned — Net" in the Portfolios' Statements of Operations. 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, 2012 were as follows:

Portfolio	Value of Loaned Securities (000)		Value of Collateral Outstanding (000)		Invested Cash Collateral* (000)		Uninvested Cash Collateral (000)		Value of Non-Cash Collateral** (000)
Balanced	$	7,630	$	7,793	$	7,083	$	21	$	689
Core Fixed Income		8,402		8,639		6,505		20		2,114
Core Plus Fixed Income		20,904		21,488		15,468		47		5,973
Corporate Bond		9,206		9,451		9,422		29		—

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

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

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. Interest income is recognized on the accrual basis. Dividends from net investment income, if any, are declared and paid quarterly except for those of the High Yield Portfolio and 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" in the Statements of Operations. The Portfolios file tax returns with the U.S. Internal Revenue Service, New York and various states. Each of the tax years in the four-year period ended September 30, 2011, remains subject to examination by taxing authorities.

92

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2011 and 2010 was as follows:

	2011 Distributions Paid From:						2010 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	$	685	$	—	$	—	$	918	$	—	$	—
Mid Cap Growth		8,346		4,087		—		492		—		—
Core Fixed Income		2,135		—		—		2,896		—		—
Core Plus Fixed Income		16,358		—		—		30,975		—		—
Corporate Bond		2,333		—		—		4,183		—		—
Limited Duration		3,270		—		—		5,288		—		161
Long Duration Fixed Income		1,794		839		—		1,544		1,642		—

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

Temporary differences are attributable to differing book and tax treatments for the timing of the recognition of gains (losses) on certain investment transactions and the timing of the deductibility of certain expenses.

Permanent differences, primarily due to differing treatments of gains (losses) related to foreign currency transactions, foreign futures transactions, basis adjustments for swap transactions, net operating losses, distribution redesignations, nondeductible expenses, paydown adjustments and expiration of capital loss carryforwards, resulted in the following reclassifications among the components of net assets at September 30, 2011:

Portfolio	Accumulated Undistributed (Distributions in Excess of) Net Investment Income (Loss) (000)			Accumulated Net Realized Gain (Loss) (000)			Paid-In Capital (000)
Balanced	$	71		$	3,291		$	(3,362	)
Mid Cap Growth		2,968			423			(3,391	)
Core Fixed Income		209			(158	)		(51	)
Core Plus Fixed Income		2,598			18,557			(21,155	)
Corporate Bond		214			(214	)		—	@
Limited Duration		118			(107	)		(11	)
Long Duration Fixed Income		(26	)		26			—	@

@ Amount is less than $500.

At September 30, 2011, the components of distributable earnings on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income (000)		Undistributed Long-term Capital Gain (000)
Balanced	$	446	$	—
Mid Cap Growth		—		310,861
Core Fixed Income		976		—
Core Plus Fixed Income		6,494		—
Corporate Bond		917		—
Limited Duration		825		—
Long Duration Fixed Income		338		371

At March 31, 2012, 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	$	47,113	$	2,779	$	(1,190	)	$	1,589
Mid Cap Growth		5,848,761		1,647,763		(397,589	)		1,250,174
Core Fixed Income		71,064		2,204		(319	)		1,885
Core Plus Fixed Income		296,940		10,412		(4,616	)		5,796
Corporate Bond		58,854		1,946		(282	)		1,664
High Yield		9,999		165		(58	)		107
Limited Duration		154,640		3,045		(171	)		2,874
Long Duration Fixed Income		21,194		2,904		(155	)		2,749

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Modernization Act") was signed into law. The Modernization Act modernizes several tax provisions related to Regulated Investment Companies ("RICs") and their shareholders. One key change made by the Modernization Act is that capital losses will generally retain their character as short-term or long-term and may be carried forward indefinitely to offset future gains. These losses are utilized before other capital loss carryforwards that expire. Generally, the Modernization Act is effective for taxable years beginning after December 22, 2010.

At September 30, 2011, the following Portfolios had available for Federal income tax purposes unused capital losses, which will expire on the indicated dates:

	Expiration Date September 30,
Portfolio	2012 (000)		2013 (000)		2014 (000)		2015 (000)
Balanced	$	—	$	—	$	—	$	—
Core Fixed Income		—		—		—		—
Core Plus Fixed Income		—		—		7,135		15,680
Corporate Bond		—		—		—		—
Limited Duration		—		8,019		8,229		7,068

93

2012 Semi-Annual Report

March 31, 2012 (unaudited)

Notes to Financial Statements (cont'd)

	Expiration Date September 30,
Portfolio	2016 (000)		2017 (000)		2018 (000)		2019 (000)		Total (000)
Balanced	$	—	$	3,501	$	2,441	$	—	$	5,942
Core Fixed Income		196		35,829		3,319		—		39,344
Core Plus Fixed Income		5,336		254,264		201,462		—		483,877
Corporate Bond		2,526		51,893		8,130		—		62,549
Limited Duration		265		200,864		33,504		—		257,949

During the year ended September 30, 2011, the following Portfolios expired capital loss carryforwards for U.S. Federal income tax purposes as follows:

Portfolio	Expired Capital Loss Carryforwards (000)
Balanced	$	3,362
Core Plus Fixed Income		21,148

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, such gains will not be distributed to the shareholders. During the year ended September 30, 2011, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately:

Portfolio	Capital Loss Carryforwards Utilized (000)
Balanced	$	1,248
Mid Cap Growth		344,519
Core Fixed Income		1,374
Core Plus Fixed Income		15,782
Corporate Bond		1,604
Limited Duration		234

Capital losses and specified ordinary losses, including currency losses, incurred after October 31 and other ordinary losses incurred after December 31 but 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, 2011, the Portfolios deferred to October 1, 2011 for U.S. Federal Income tax purposes the following losses:

	Post-October
Portfolio	Capital Losses (000)		Currency Losses (000)
Mid Cap Growth	$	—	$	842
Limited Duration		726		—

J. Other: At March 31, 2012, 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		60.5	%		96.5	%
Mid Cap Growth		43.7			59.5
Core Plus Fixed Income		45.6			45.7

K. Subsequent Events: The Balanced, Core Fixed Income, Core Plus Fixed Income and Limited Duration Portfolios commenced operations on April 30, 2012 with Class H and Class L shares.

The Board of Trustees of the Fund approved a Plan of Liquidation with respect to the Long Duration Fixed Income Portfolio (the "Portfolio"). Pursuant to the Plan of Liquidation, substantially all of the assets of the Portfolio will be liquidated, known liabilities of the Portfolio will be satisfied, the remaining proceeds will be distributed to the Portfolio's shareholders, and all of the issued and outstanding shares of the Portfolio will be redeemed (the "Liquidation"). The Liquidation is expected to occur on or about May 11, 2012.

The Board of Trustees of the Fund approved various changes with respect to the Balanced Portfolio (the "Portfolio"), effective on or about July 16, 2012, including (i) changing the Portfolio's name to Global Strategist Portfolio, (ii) changing the Portfolio's principal investment strategies and (iii) changing the Portfolio's primary benchmark index to the Morgan Stanley Capital International (MSCI) All Country World Index (ACWI).

94

2012 Semi-Annual Report

March 31, 2012 (unaudited)

U.S. Privacy Policy

AN IMPORTANT NOTICE CONCERNING OUR U.S. PRIVACY POLICY

This privacy notice describes the U.S. privacy policy of Morgan Stanley Distribution, Inc., and the Morgan Stanley family of mutual funds ("us", "our", "we").

We are required by federal law to provide you with notice of our U.S. privacy policy ("Policy"). This Policy applies to both our current and former clients unless we state otherwise and is intended for individual clients who purchase products or receive services from us for personal, family or household purposes. 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, or accounts subject to the Uniform Gifts to Minors Act.

This notice sets out our business practices to protect your privacy; how we collect and share personal information about you; and how you can limit our sharing or certain uses by others of this information. We may amend this Policy at any time, and will inform you of any changes to our 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 your information. We strive to safeguard the information our clients entrust to us. Protecting the confidentiality and security of client information is an important part of how we conduct our business.

This notice describes what personal information we collect about you, how we collect it, when we may share it with others, and how certain others may use it. It discusses the steps you may take to limit our sharing of certain information about you with our affiliated companies, including, but not limited to our affiliated banking businesses, brokerage firms and credit service affiliates. 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 as "personal information." We also use the term "affiliated company" in this notice. An affiliated company is a company in our family of companies and includes companies with the Morgan Stanley name. These affiliated companies are financial institutions such as broker-dealers, banks, investment advisers and credit card issuers. We refer to any company that is not an affiliated company as a nonaffiliated third party. For purposes of Section 5 of this notice, and your ability to limit certain uses of personal information by our affiliates, this notice applies to the use of personal information by our affiliated companies.

1.  WHAT PERSONAL INFORMATION DO WE COLLECT FROM YOU?

We may collect the following types of information about you: (i) information provided by you, including information from applications and other forms we receive from you, (ii) information about your transactions with us or our affiliates, (iii) information about your transactions with nonaffiliated third parties, (iv) information from consumer reporting agencies, (v) information obtained from our websites, and (vi) information obtained from other sources. For example:

•  We collect information such as your name, address, e-mail address, telephone/fax numbers, assets, income and investment objectives through applications and other 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.

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

We may disclose personal information we collect about you in each of the categories listed above to affiliated and nonaffiliated third parties.

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U.S. Privacy Policy (cont'd)

a. Information we disclose to affiliated companies.

We may disclose personal information that we collect about you to our affiliated companies to manage your account(s) effectively, to service and process your transactions, and 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. 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 may disclose personal information that we collect about you to nonaffiliated third parties to provide marketing services on our behalf or to other financial institutions with whom we have joint marketing agreements. We may also disclose all of the information we collect to other nonaffiliated third parties for our everyday business purposes, such as to process transactions, maintain account(s), respond to court orders and legal investigations, report to credit bureaus, offer our own products and services, protect against fraud, for institutional risk control, to perform services on our behalf, and as otherwise required or permitted by law.

When we share personal information about you 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 permitted or 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 that comply with applicable law and regulations to help safeguard the personal information we collect about you. We have internal policies governing the proper handling of client information by employees. 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 appropriate security standards with respect to such information.

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

By following the opt-out procedures in Section 6, below, you may limit the extent to which we share with our affiliated companies, personal information that was collected to determine your eligibility for products and services such as your credit reports and other information that you have provided to us or that we may obtain from third parties ("eligibility information"). Eligibility information does not include your identification information or personal information pertaining to our transactions or experiences with you. Please note that, even if you direct us not to share eligibility information with our affiliated companies, we may still share your personal information, including eligibility information, with our affiliated companies under circumstances that are permitted under applicable law, such as to process transactions or to service your account.

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

By following the opt-out instructions in Section 6, below, you may limit our affiliated companies from marketing their products or services to you based on personal information we disclose to them. This information may include, for example, your income and account history with us. Please note that, even if you choose to limit our affiliated companies from using personal information about you that we may share with them for marketing their products and services to you, our affiliated companies may use your personal information that they obtain from us to market to you in circumstances permitted by law, such as if the affiliated party has its own relationship with you.

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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 eligibility information about you with our affiliated companies, or our affiliated companies' use of personal information for marketing purposes, 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 Services Company Inc.
c/o Privacy Coordinator
201 Plaza Two, 3rd Floor
Jersey City, New Jersey 07311

If you choose to write to us, your request should include: your name, address, telephone number and account number(s) to which the opt-out applies and whether you are opting out with respect to sharing of eligibility information (Section 4 above), or information used for marketing (Section 5 above), or both. Written opt-out requests 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 understand that if you limit our sharing or our affiliated companies' use of personal information, you and any joint account holder(s) may not receive information about our affiliated companies' products and services, including products or services that could help you manage your financial resources and achieve your investment objectives.

If you have more than one account or relationship with us, please specify the accounts to which you would like us to apply your privacy choices. If you have accounts or relationships with our affiliates, you may receive multiple privacy policies from them, and will need to separately notify those companies of your privacy choices for those accounts or relationships.

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

The following 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 nonaffiliated third parties, or eligibility information with affiliated companies, 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 eligibility information with affiliated companies, unless you provide us with your written consent to share such information.

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.

©2012 Morgan Stanley

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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

Arthur Lev
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.
522 Fifth Avenue
New York, New York 10036

Dividend Disbursing and Transfer Agent

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

Custodian

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

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

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.

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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, New York 10036

© 2012 Morgan Stanley

IFEQFISAN 3/12
IU12-01055P-Y03/12

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 Fund Trust

/s/ Arthur Lev

Arthur Lev

Principal Executive Officer

May 22, 2012

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/ Arthur Lev

Arthur Lev

Principal Executive Officer

May 22, 2012

/s/ Francis Smith

Francis Smith

Principal Financial Officer

May 22, 2012