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 | 811-05634 | |||||||
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Morgan Stanley Global Strategist Fund | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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522 Fifth Avenue, New York, New York |
| 10036 | ||||||
(Address of principal executive offices) |
| (Zip code) | ||||||
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Arthur Lev 522 Fifth Avenue, New York, New York 10036 | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | 212-296-6990 |
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Date of fiscal year end: | July 31, 2012 |
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Date of reporting period: | January 31, 2012 |
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Item 1 - Report to Shareholders
Trustees
Frank L. Bowman
Michael Bozic
Kathleen A. Dennis
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael F. Klein
Michael E. Nugent
W. Allen Reed
Fergus Reid
Officers
Michael E. Nugent
Chairperson of the Board
Arthur Lev
President and Principal Executive Officer
Mary Ann Picciotto
Chief Compliance Officer
Stefanie V. Chang Yu
Vice President
Francis J. Smith
Treasurer and Principal Financial Officer
Mary E. Mullin
Secretary
Transfer Agent
Morgan Stanley Services Company, Inc.
P.O. Box 219886
Kansas City, Missouri 64121
Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Legal Counsel
Dechert LLP
1095 Avenue of the Americas
New York, New York 10036
Counsel to the Independent Trustees
Kramer Levin Naftalis & Frankel LLP
1177 Avenue of the Americas
New York, New York 10036
Investment Adviser
Morgan Stanley Investment Management Inc.
522 Fifth Avenue
New York, New York 10036
The financial statements included herein have been taken from the records of the Fund without examination by the independent auditors and accordingly they do not express an opinion thereon.
This report is submitted for the general information of the shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund's Statement of Additional Information contains additional information about the Fund, including its trustees. It is available, without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing.
Morgan Stanley Distribution, Inc., member FINRA.
© 2012 Morgan Stanley
SRTSAN
IU12-00513P-Y01/12
INVESTMENT MANAGEMENT
Morgan Stanley
Global Strategist Fund
Semiannual Report
January 31, 2012
Morgan Stanley Global Strategist Fund
Table of Contents
Welcome Shareholder | 3 | ||||||
Fund Report | 4 | ||||||
Performance Summary | 7 | ||||||
Expense Example | 8 | ||||||
Portfolio of Investments | 9 | ||||||
Statement of Assets and Liabilities | 61 | ||||||
Statement of Operations | 62 | ||||||
Statements of Changes in Net Assets | 63 | ||||||
Notes to Financial Statements | 64 | ||||||
Financial Highlights | 80 | ||||||
U.S. Privacy Policy | 84 | ||||||
2
Welcome Shareholder,
We are pleased to provide this semiannual report, in which you will learn how your investment in Morgan Stanley Global Strategist Fund performed during the latest six-month period. It includes an overview of the market conditions and discusses some of the factors that affected performance during the reporting period. In addition, the report contains financial statements and a list of portfolio holdings.
Morgan Stanley Investment Management is a client-centric, investor-led organization. Our global presence, intellectual capital, and breadth of products and services enable us to partner with investors to meet the evolving challenges of today's financial markets. We aim to deliver superior investment service and to empower our clients to make the informed decisions that help them reach their investment goals.
As always, we thank you for selecting Morgan Stanley Investment Management, and look forward to working with you in the months and years ahead.
This material must be preceded or accompanied by a prospectus for the fund being offered.
Market forecasts provided in this report may not necessarily come to pass. There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that market values of securities owned by the Fund will decline and, therefore, the value of the Fund's shares may be less than what you paid for them. Accordingly, you can lose money investing in this Fund. Please see the prospectus for more complete information on investment risks.
3
Fund Report (unaudited)
For the six months ended January 31, 2012
Total Return for the 6 Months Ended January 31, 2012 | |||||||||||||||||||||||||||
Class A | Class B | Class C | Class I | MSCI All Country World Index1 | Barclays Capital U.S. Government/ Credit Index2 | Lipper Global Flexible Portfolio Funds Index3 | |||||||||||||||||||||
-2.63 | % | -3.02 | % | -2.92 | % | -2.51 | % | -4.80 | % | 5.05 | % | -3.66 | % |
The performance of the Fund's four share classes varies because each has different expenses. The Fund's total returns assume the reinvestment of all distributions but do not reflect the deduction of any applicable sales charges. Such costs would lower performance. See Performance Summary for standardized performance and benchmark information.
Market Conditions
Global equities experienced significant volatility during the period under review, as uncertainty surrounding economic growth contributed to a plunge in equity markets worldwide. In the U.S., Congress passed a last minute bill to raise the debt ceiling, but not before Standard & Poor's downgraded U.S. government debt from AAA to AA+. Fears over the impact of global austerity on growth ultimately prompted a significant de-rating in risk markets. However, the postponement of fiscal consolidation and marked improvement in U.S. economic data subsequently pointed to a better growth outlook than had been feared.
Specifically, as 2011 came to a close, U.S. gross domestic product (GDP) rose to a 2.8 percent rate of growth while the unemployment rate fell to a three-year low of 8.5 percent. On the fiscal policy front, Congress reached a late agreement on a two-month extension of the payroll tax cut, indicating a smaller fiscal drag set for the first half of 2012. In Europe, despite a series of endless summits, no comprehensive solution emerged to address the fundamental solvency problems facing the monetary bloc. Adding to the problems already on the table, Italy found itself the latest victim of market tension, as its 10-year government bond yield climbed past the 7 percent mark. Furthermore, eurozone economic data weakened significantly, implying a technical recession (two consecutive quarters of negative growth) had begun. In response, the European Central Bank (ECB) eased funding conditions, twice cutting interest rates and introducing a longer-term refinancing operation (LTRO). These measures were well received by the markets, although they ultimately addressed only symptoms of the underlying cause (liquidity) rather than the cause itself (solvency).
In the emerging markets, the general theme was further moderation in growth and inflation pressures. Policymakers responded with more accommodative policy stances, with Brazil proactively cutting rates, China lowering its reserve requirement ratio and India refraining from further rate hikes, even in the face of rampant inflation. While global equity markets recouped a portion of their early losses, the MSCI All Country World Index finished a difficult six-month period down 4.80 percent.
Performance Analysis
All share classes of Morgan Stanley Global Strategist Fund outperformed the MSCI All Country World Index (the "Index") and the Lipper Global Flexible Portfolio Funds Index, and underperformed the Barclays Capital U.S. Government/Credit Index for the 6 months ended January 31, 2012, assuming no deduction of applicable sales charges.
The Fund's outperformance versus both the Lipper category and the all-equity Index can be attributed to asset allocation decisions (relative to the peer group) consisting
4
of a slight overweight position to global equities, a slight underweight to fixed income, and an equal weight in commodities. (As a reminder, the Fund's target benchmark weights consist of 55% global equities, 35% global fixed income, and 5% each in commodities and cash.) Within the equity exposure, an underweight position in peripheral Europe and India proved beneficial to returns, as did our underweight to U.S. government-issued debt in the fixed income portion of the Fund. Our currency exposures to the U.S. dollar, at the expense of both the euro and the Mexican peso, also provided positive incremental returns. Within our sector weights, an overweight position in European consumer staples and an underweight to global financials contributed to relative returns.
Detractors from relative performance included lower exposures to U.S. equities, underweights in more defensive sectors such as utilities, and a long position in the Canadian dollar, relative to the U.S. dollar.
The Fund maintained a relatively balanced asset allocation blend throughout the period under review, with global equity exposures averaging 62 percent, global fixed income exposures averaging 28 percent, commodities exposure averaging 5 percent, and cash ranging from 4 to 1 percent.
The Fund's asset allocation on January 31, 2012, based on actual asset class exposures in both cash securities and derivative instruments, stood at 63.5 percent global equities, 28.4 percent global fixed income, 5.1 percent diversified commodities and 3.0 percent cash equivalents.
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 Fund in the future.
TOP 10 HOLDINGS as of 01/31/12 | |||||||
Deutsche Bank AG, Series 0005 | 5.0 | % | |||||
U.S. Treasury Notes | 1.8 | ||||||
Japan Government Thirty Year Bond | 1.3 | ||||||
Japan Government Ten Year Bond | 1.1 | ||||||
Canadian Government Bond | 1.0 | ||||||
United Kingdom Gilt | 1.0 | ||||||
U.S. Treasury Bonds | 0.9 | ||||||
French Treasury Note BTAN | 0.8 | ||||||
Japan Government Ten Year Bond | 0.8 | ||||||
Bundesrepublik Deutschland | 0.8 | ||||||
PORTFOLIO COMPOSITION as of 01/31/12* | |||||||
Common Stocks | 53.9 | % | |||||
Sovereign | 15.3 | ||||||
Corporate Bonds | 10.8 | ||||||
Agency Fixed Rate Mortgages | 5.6 | ||||||
Commodity Linked Security | 5.2 | ||||||
U.S. Treasury Securities | 3.9 | ||||||
Short-Term Investments | 2.3 | ||||||
Investment Companies | 1.3 | ||||||
Commercial Mortgage Backed Securities | 0.9 | ||||||
Asset-Backed Securities | 0.7 | ||||||
Municipal Bonds | 0.1 |
* Does not include open long/short futures contracts with an underlying face amount of $104,492,518 and net unrealized appreciation of $925,052. Also does not include open swap agreements with net unrealized appreciation of $93,003 and open foreign currency exchange contracts with net unrealized depreciation of $200,463.
Subject to change daily. Provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned above. Top 10 holdings are as a percentage of net assets and portfolio composition is as a percentage of total investments. Morgan Stanley is a full-service securities firm engaged in securities trading and brokerage activities, investment banking, research and analysis, financing and financial advisory services.
5
Investment Strategy
The Fund's Adviser, Morgan Stanley Investment Management Inc., seeks to achieve the Fund's investment objective by investing primarily in a blend of equity and fixed-income securities of U.S. and non-U.S. issuers. Equity securities may include common and preferred stocks, depositary receipts, convertible securities, equity-linked securities, real estate investment trusts ("REITs"), and rights and warrants to purchase equity securities. Fixed income securities may include mortgage-related or mortgage-backed securities, floating rate securities, inflation-linked fixed income securities, securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities, securities issued or guaranteed by non-U.S. governments, their agencies, or instrumentalities, corporate bonds and notes issued by U.S. and non-U.S. entities.
For More Information About Portfolio Holdings
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund's second and fourth fiscal quarters. The semiannual 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 semiannual and annual reports to fund shareholders and makes these reports available on its public web site, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public web site. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC's web site, http://www.sec.gov. You may also review and copy them at the SEC's public reference room in Washington, DC. Information on the operation of the SEC's public reference room may be obtained by calling the SEC at (800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC's e-mail address (publicinfo@sec.gov) or by writing the public reference section of the SEC, Washington, DC 20549-1520.
Proxy Voting Policy and Procedures and Proxy Voting Record
You may obtain a copy of the Fund's Proxy Voting Policy and Procedures without charge, upon request, by calling toll free (800) 869-NEWS or by visiting the Mutual Fund Center on our web site at www.morganstanley.com. It is also available on the SEC's web site at http://www.sec.gov.
You may obtain information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 without charge by visiting the Mutual Fund Center on our web site at www.morganstanley.com. This information is also available on the SEC's web site at http://www.sec.gov.
Householding Notice
To reduce printing and mailing costs, the Fund attempts to eliminate duplicate mailings to the same address. The Fund delivers a single copy of certain shareholder documents, including shareholder reports, prospectuses and proxy materials, to investors with the same last name who reside at the same address. Your participation in this program will continue for an unlimited period of time unless you instruct us otherwise. You can request multiple copies of these documents by calling (800) 869-NEWS, 8:00 a.m. to 8:00 p.m., ET. Once our Customer Service Center has received your instructions, we will begin sending individual copies for each account within 30 days.
6
Performance Summary (unaudited)
Average Annual Total Returns—Period Ended January 31, 2012 | |||||||||||||||||||
Symbol | Class A Shares* (since 07/28/97) SRTAX | Class B Shares** (since 10/31/88) SRTBX | Class C Shares† (since 07/28/97) SRTCX | Class I Shares†† (since 07/28/97) SRTDX | |||||||||||||||
1 Year | –0.67 –5.90 5 | %4 | –1.43 –6.02 5 | %4 | –1.31 –2.23 5 | %4 | –0.37 — | %4 | |||||||||||
5 Years | 1.62 4 0.53 5 | 0.85 4 0.56 5 | 0.88 4 0.88 5 | 1.87 4 — | |||||||||||||||
10 Years | 4.75 4 4.19 5 | 4.03 4 4.03 5 | 3.97 4 3.97 5 | 4.99 4 — | |||||||||||||||
Since Inception | 5.21 4 4.82 5 | 8.18 4 8.18 5 | 4.43 4 4.43 5 | 5.46 4 — | |||||||||||||||
Gross Expense Ratio | 0.98 | 1.73 | 1.73 | 0.73 |
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please visit www.morganstanley.com/im or speak with your Financial Advisor. Investment returns and principal value will fluctuate and fund shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance for Class A, Class B, Class C, and Class I shares will vary due to differences in sales charges and expenses. See the Fund's current prospectus for complete details on fees and sales charges. Expenses are as of each Fund's fiscal year end as outlined in the Fund's current prospectus.
* The maximum front-end sales charge for Class A is 5.25%.
** The maximum contingent deferred sales charge (CDSC) for Class B is 5.0%. The CDSC declines to 0% after six years. Effective April 2005, Class B shares will generally convert to Class A shares approximately eight years after the end of the calendar month in which the shares were purchased. Performance for periods greater than eight years reflects this conversion (beginning April 2005).
† The maximum contingent deferred sales charge for Class C is 1.0% for shares redeemed within one year of purchase.
†† Class I has no sales charge.
(1) The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) is a free float-adjusted market capitalization weighted index designed to measure the equity market performance of developed and emerging markets. The term "free float" represents the portion of shares outstanding that are deemed to be available for purchase in the public equity markets by investors. The performance of the Index is listed in U.S. dollars and assumes reinvestment of net dividends. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
(2) The Barclays Capital U.S. Government/Credit Index tracks the performance of government and corporate obligations, including U.S. government agency and Treasury securities and corporate and Yankee bonds. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
(3) The Lipper Global Flexible Funds Index is an equally weighted performance index of the largest qualifying funds (based on net assets) in the Lipper Global Flexible Funds classification. The Index, which is adjusted for capital gains distributions and income dividends, is unmanaged and should not be considered an investment. There are currently 30 funds represented in this Index. The Fund was in the Lipper Global Flexible Funds classification as of the date of this report.
(4) Figure shown assumes reinvestment of all distributions and does not reflect the deduction of any sales charges.
(5) Figure shown assumes reinvestment of all distributions and the deduction of the maximum applicable sales charge. See the Fund's current prospectus for complete details on fees and sales charges.
7
Expense Example (unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including advisory fees; distribution and service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 08/01/11 – 01/31/12.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
08/01/11 | 01/31/12 | 08/01/11 – 01/31/12 | |||||||||||||
Class A | |||||||||||||||
Actual (–2.63% return) | $ | 1,000.00 | $ | 973.70 | $ | 4.91 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.16 | $ | 5.03 | |||||||||
Class B | |||||||||||||||
Actual (–3.02% return) | $ | 1,000.00 | $ | 969.80 | $ | 8.62 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,016.39 | $ | 8.82 | |||||||||
Class C | |||||||||||||||
Actual (–2.92% return) | $ | 1,000.00 | $ | 970.80 | $ | 8.62 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,016.39 | $ | 8.82 | |||||||||
Class I | |||||||||||||||
Actual (–2.51% return) | $ | 1,000.00 | $ | 974.90 | $ | 3.67 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.42 | $ | 3.76 |
@ Expenses are equal to the Fund's annualized expense ratios of 0.99%, 1.74%, 1.74% and 0.74% for Class A, Class B, Class C and Class I shares, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). If the fund had borne all of its expenses, the annualized expense ratio would have been 1.00%, 1.75%, 1.75% and 0.75% Class A, Class B, Class C and Class I shares, respectively.
8
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (52.3%) | |||||||||||
Australia (2.1%) | |||||||||||
Air Freight & Logistics | |||||||||||
9,328 | Toll Holdings Ltd. | $ | 49,416 | ||||||||
Beverages | |||||||||||
7,069 | Coca-Cola Amatil Ltd. | 86,681 | |||||||||
11,468 | Treasury Wine Estates Ltd. | 42,247 | |||||||||
128,928 | |||||||||||
Biotechnology | |||||||||||
6,876 | CSL Ltd. | 227,246 | |||||||||
Capital Markets | |||||||||||
4,098 | Macquarie Group Ltd. | 110,941 | |||||||||
Chemicals | |||||||||||
6,321 | DuluxGroup Ltd. | 19,126 | |||||||||
20,816 | Incitec Pivot Ltd. | 70,939 | |||||||||
5,073 | Orica Ltd. | 133,297 | |||||||||
223,362 | |||||||||||
Commercial Banks | |||||||||||
34,810 | Australia & New Zealand Banking Group Ltd. | 791,229 | |||||||||
17,491 | Commonwealth Bank of Australia | 940,722 | |||||||||
29,142 | National Australia Bank Ltd. | 737,885 | |||||||||
34,431 | Westpac Banking Corp. | 773,110 | |||||||||
3,242,946 | |||||||||||
Commercial Services & Supplies | |||||||||||
17,604 | Brambles Ltd. | 135,871 | |||||||||
Construction & Engineering | |||||||||||
2,027 | Leighton Holdings Ltd. | 50,421 | |||||||||
Containers & Packaging | |||||||||||
15,296 | Amcor Ltd. | 114,323 |
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Financial Services | |||||||||||
2,386 | ASX Ltd. | $ | 75,968 | ||||||||
Diversified Telecommunication Services | |||||||||||
60,099 | Telstra Corp, Ltd. | 212,468 | |||||||||
Energy Equipment & Services | |||||||||||
2,456 | WorleyParsons Ltd. | 71,156 | |||||||||
Food & Staples Retailing | |||||||||||
12,676 | Wesfarmers Ltd. | 407,762 | |||||||||
2,388 | Wesfarmers Ltd. (PPS) | 78,135 | |||||||||
15,531 | Woolworths Ltd. | 408,750 | |||||||||
894,647 | |||||||||||
Health Care Equipment & Supplies | |||||||||||
773 | Cochlear Ltd. | 48,747 | |||||||||
Health Care Providers & Services | |||||||||||
4,764 | Sonic Healthcare Ltd. | 56,798 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
8,910 | Crown Ltd. | 76,526 | |||||||||
10,695 | Echo Entertainment Group Ltd. (a) | 40,989 | |||||||||
9,199 | TABCORP Holdings Ltd. | 28,419 | |||||||||
145,934 | |||||||||||
Information Technology Services | |||||||||||
6,506 | Computershare Ltd. | 52,839 | |||||||||
Insurance | |||||||||||
41,893 | AMP Ltd. | 189,911 | |||||||||
30,701 | Insurance Australia Group Ltd. | 94,848 |
See Notes to Financial Statements
9
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
17,898 | QBE Insurance Group Ltd. | $ | 217,756 | ||||||||
15,816 | Suncorp Group Ltd. | 141,213 | |||||||||
643,728 | |||||||||||
Media | |||||||||||
39,248 | Fairfax Media Ltd. | 30,834 | |||||||||
Metals & Mining | |||||||||||
44,558 | Alumina Ltd. | 60,550 | |||||||||
40,502 | BHP Billiton Ltd. | 1,611,601 | |||||||||
26,754 | BlueScope Steel Ltd. | 11,503 | |||||||||
16,804 | Fortescue Metals Group Ltd. | 90,092 | |||||||||
5,772 | Newcrest Mining Ltd. | 206,631 | |||||||||
17,194 | OneSteel Ltd. | 13,508 | |||||||||
5,339 | Rio Tinto Ltd. | 392,009 | |||||||||
2,385,894 | |||||||||||
Multi-Utilities | |||||||||||
5,722 | AGL Energy Ltd. | 88,631 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
13,338 | Origin Energy Ltd. | 194,846 | |||||||||
11,236 | Santos Ltd. | 160,560 | |||||||||
7,351 | Woodside Petroleum Ltd. | 266,981 | |||||||||
622,387 | |||||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
65,324 | Dexus Property Group REIT (Stapled Securities) (b) | 61,723 | |||||||||
80,650 | Goodman Group REIT (Stapled Securities) (b) | 54,798 | |||||||||
26,937 | GPT Group REIT (Stapled Securities) (b) | 88,367 |
NUMBER OF SHARES | VALUE | ||||||||||
38,679 | Mirvac Group REIT (Stapled Securities) (b)(c) | $ | 50,713 | ||||||||
28,561 | Stockland REIT (Stapled Securities) (b)(c) | 101,881 | |||||||||
25,964 | Westfield Group REIT (Stapled Securities) (b)(c) | 234,300 | |||||||||
25,951 | Westfield Retail Trust REIT | 69,704 | |||||||||
661,486 | |||||||||||
Road & Rail | |||||||||||
12,104 | Asciano Ltd. | 60,396 | |||||||||
Transportation Infrastructure | |||||||||||
16,094 | Transurban Group (Stapled Securities) (b) | 93,803 | |||||||||
Total Australia | 10,429,170 | ||||||||||
Austria (0.0%) | |||||||||||
Metals & Mining | |||||||||||
1,329 | Voestalpine AG | 43,573 | |||||||||
Real Estate Management & Development | |||||||||||
3,664 | Immofinanz AG (a) | 11,785 | |||||||||
Total Austria | 55,358 | ||||||||||
Belgium (0.2%) | |||||||||||
Beverages | |||||||||||
7,130 | Anheuser-Busch InBev N.V. | 432,325 | |||||||||
Chemicals | |||||||||||
1,567 | Umicore SA | 72,857 | |||||||||
Commercial Banks | |||||||||||
3,024 | KBC Groep N.V. | 57,336 |
See Notes to Financial Statements
10
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Financial Services | |||||||||||
1,540 | Groupe Bruxelles Lambert SA | $ | 111,597 | ||||||||
Food & Staples Retailing | |||||||||||
905 | Colruyt SA | 34,217 | |||||||||
3,434 | Delhaize Group SA | 187,018 | |||||||||
221,235 | |||||||||||
Insurance | |||||||||||
30,051 | Ageas | 62,461 | |||||||||
Total Belgium | 957,811 | ||||||||||
Brazil (1.3%) | |||||||||||
Beverages | |||||||||||
12,500 | Cia de Bebidas das Americas | 457,876 | |||||||||
Commercial Banks | |||||||||||
28,291 | Banco Bradesco SA (Preference) | 508,435 | |||||||||
7,700 | Banco do Brasil SA | 119,828 | |||||||||
7,600 | Banco Santander Brasil SA (Units) (c) | 70,467 | |||||||||
28,500 | Itau Unibanco Holding SA (Preference) | 572,871 | |||||||||
40,511 | Itausa - Investimentos Itau SA (Preference) | 265,250 | |||||||||
1,536,851 | |||||||||||
Diversified Financial Services | |||||||||||
18,100 | BM&F Bovespa SA | 113,850 | |||||||||
Diversified Telecommunication Services | |||||||||||
5,707 | Tele Norte Leste (Preference) | 54,875 |
NUMBER OF SHARES | VALUE | ||||||||||
3,574 | Telefonica Brasil SA (Preference) | $ | 99,516 | ||||||||
154,391 | |||||||||||
Electric Utilities | |||||||||||
11,628 | Centrais Eletricas Brasileiras SA (Preference) | 170,374 | |||||||||
9,201 | Cia Energetica de Minas Gerais (Preference) | 186,263 | |||||||||
356,637 | |||||||||||
Food Products | |||||||||||
9,300 | BRF - Brasil Foods SA | 184,169 | |||||||||
Household Durables | |||||||||||
3,500 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 32,412 | |||||||||
10,800 | PDG Realty SA Empreendimentos e Participacoes | 43,764 | |||||||||
76,176 | |||||||||||
Information Technology Services | |||||||||||
3,400 | Cielo SA | 101,288 | |||||||||
5,100 | Redecard SA | 91,947 | |||||||||
193,235 | |||||||||||
Metals & Mining | |||||||||||
4,591 | Bradespar SA (Preference) | 92,414 | |||||||||
13,100 | Cia Siderurgica Nacional SA | 136,833 | |||||||||
9,327 | Gerdau SA (Preference) | 88,882 | |||||||||
4,467 | Metalurgica Gerdau SA (Preference) | 53,690 | |||||||||
4,100 | Usinas Siderurgicas de Minas Gerais SA | 39,751 |
See Notes to Financial Statements
11
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
7,926 | Usinas Siderurgicas de Minas Gerais SA (Preference) | $ | 53,167 | ||||||||
18,100 | Vale SA | 463,066 | |||||||||
29,313 | Vale SA (Preference) | 716,216 | |||||||||
1,644,019 | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
17,000 | OGX Petroleo e Gas Participacoes SA (a) | 161,029 | |||||||||
31,100 | Petroleo Brasileiro SA | 478,996 | |||||||||
43,330 | Petroleo Brasileiro SA (Preference) | 609,328 | |||||||||
6,400 | Ultrapar Participacoes SA | 129,487 | |||||||||
1,378,840 | |||||||||||
Personal Products | |||||||||||
3,800 | Natura Cosmeticos SA | 81,385 | |||||||||
Road & Rail | |||||||||||
5,500 | All America Latina Logistica SA (Units) (c) | 31,636 | |||||||||
Transportation Infrastructure | |||||||||||
14,800 | CCR SA | 103,004 | |||||||||
Total Brazil | 6,312,069 | ||||||||||
Canada (3.1%) | |||||||||||
Aerospace & Defense | |||||||||||
19,400 | Bombardier, Inc. | 89,774 | |||||||||
Auto Components | |||||||||||
3,400 | Magna International, Inc. | 140,449 | |||||||||
Capital Markets | |||||||||||
2,800 | IGM Financial, Inc. | 125,102 | |||||||||
Chemicals | |||||||||||
2,200 | Agrium, Inc. | 177,347 |
NUMBER OF SHARES | VALUE | ||||||||||
11,400 | Potash Corp. of Saskatchewan, Inc. | $ | 534,130 | ||||||||
711,477 | |||||||||||
Commercial Banks | |||||||||||
7,100 | Bank of Montreal | 412,745 | |||||||||
12,400 | Bank of Nova Scotia | 637,251 | |||||||||
5,200 | Canadian Imperial Bank of Commerce | 395,432 | |||||||||
2,100 | National Bank of Canada | 157,537 | |||||||||
17,100 | Royal Bank of Canada | 893,115 | |||||||||
11,300 | Toronto-Dominion Bank (The) | 873,843 | |||||||||
3,369,923 | |||||||||||
Communications Equipment | |||||||||||
6,300 | Research In Motion Ltd. (a) | 105,052 | |||||||||
Construction & Engineering | |||||||||||
2,800 | SNC-Lavalin Group, Inc. | 144,175 | |||||||||
Diversified Telecommunication Services | |||||||||||
7,200 | BCE, Inc. | 293,544 | |||||||||
Electric Utilities | |||||||||||
2,000 | Fortis, Inc. | 66,600 | |||||||||
Food & Staples Retailing | |||||||||||
3,500 | Shoppers Drug Mart Corp. | 144,859 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
4,300 | Tim Hortons, Inc. | 209,532 |
See Notes to Financial Statements
12
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Independent Power Producers & Energy Traders | |||||||||||
3,400 | TransAlta Corp. | $ | 69,038 | ||||||||
Insurance | |||||||||||
300 | Fairfax Financial Holdings Ltd. | 121,771 | |||||||||
6,200 | Great-West Lifeco, Inc. | 136,775 | |||||||||
1,900 | Intact Financial Corp. | 112,025 | |||||||||
24,700 | Manulife Financial Corp. | 288,458 | |||||||||
5,500 | Power Corp. of Canada | 133,729 | |||||||||
5,200 | Power Financial Corp. | 138,674 | |||||||||
8,000 | Sun Life Financial, Inc. | 160,287 | |||||||||
1,091,719 | |||||||||||
Media | |||||||||||
5,200 | Shaw Communications, Inc. | 103,201 | |||||||||
5,100 | Thomson Reuters Corp. | 140,076 | |||||||||
243,277 | |||||||||||
Metals & Mining | |||||||||||
2,300 | Agnico-Eagle Mines Ltd. | 86,224 | |||||||||
2,000 | Agnico-Eagle Mines Ltd. | 74,800 | |||||||||
3,241 | AuRico Gold, Inc. (a) | 30,627 | |||||||||
8,012 | Barrick Gold Corp. | 394,671 | |||||||||
13,100 | Barrick Gold Corp. | 646,181 | |||||||||
6,388 | Eldorado Gold Corp. | 96,523 | |||||||||
7,400 | Eldorado Gold Corp. | 112,103 | |||||||||
1,220 | First Majestic Silver Corp. (a) | 25,217 | |||||||||
7,000 | First Quantum Minerals Ltd. | 153,306 | |||||||||
9,800 | Goldcorp, Inc. | 474,020 | |||||||||
6,521 | Goldcorp, Inc. | 315,551 | |||||||||
21,702 | Kinross Gold Corp. | 245,016 |
NUMBER OF SHARES | VALUE | ||||||||||
944 | Minefinders Corp. (a) | $ | 13,386 | ||||||||
2,286 | Nevsun Resources Ltd. | 14,996 | |||||||||
5,176 | New Gold, Inc. (a) | 60,611 | |||||||||
1,229 | Pan American Silver Corp. | 28,120 | |||||||||
4,800 | Silver Wheaton Corp. | 171,234 | |||||||||
3,431 | Silver Wheaton Corp. | 122,178 | |||||||||
6,500 | Teck Resources Ltd. | 275,636 | |||||||||
818 | Vista Gold Corp. (a) | 3,084 | |||||||||
10,100 | Yamana Gold, Inc. | 174,763 | |||||||||
7,107 | Yamana Gold, Inc. | 122,738 | |||||||||
3,640,985 | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
5,600 | Cameco Corp. | 129,905 | |||||||||
14,400 | Canadian Natural Resources Ltd. | 570,428 | |||||||||
3,500 | Canadian Oil Sands Ltd. | 86,776 | |||||||||
10,000 | Cenovus Energy, Inc. | 364,915 | |||||||||
2,700 | Crescent Point Energy Corp. | 123,489 | |||||||||
11,600 | Enbridge, Inc. | 436,489 | |||||||||
10,500 | Encana Corp. | 201,162 | |||||||||
3,600 | Husky Energy, Inc. | 87,927 | |||||||||
3,500 | Imperial Oil Ltd. | 166,780 | |||||||||
8,200 | Nexen, Inc. | 146,957 | |||||||||
5,700 | Penn West Petroleum Ltd. | 124,210 | |||||||||
1,400 | Petrobank Energy & Resources Ltd. (a) | 19,491 | |||||||||
859 | Petrominerales Ltd. | 17,930 | |||||||||
19,800 | Suncor Energy, Inc. | 682,050 | |||||||||
14,200 | Talisman Energy, Inc. | 169,658 | |||||||||
8,800 | TransCanada Corp. | 362,022 | |||||||||
3,690,189 |
See Notes to Financial Statements
13
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Real Estate Management & Development | |||||||||||
7,500 | Brookfield Asset Management, Inc., Class A | $ | 227,610 | ||||||||
5,800 | Brookfield Office Properties, Inc. | 100,128 | |||||||||
327,738 | |||||||||||
Road & Rail | |||||||||||
6,100 | Canadian National Railway Co. | 460,101 | |||||||||
2,300 | Canadian Pacific Railway Ltd. | 164,030 | |||||||||
624,131 | |||||||||||
Wireless Telecommunication Services | |||||||||||
5,400 | Rogers Communications, Inc. | 207,610 | |||||||||
Total Canada | 15,295,174 | ||||||||||
Channel Islands (0.0%) | |||||||||||
Metals & Mining | |||||||||||
1,023 | Randgold Resources Ltd. ADR | 117,041 | |||||||||
Chile (0.0%) | |||||||||||
Metals & Mining | |||||||||||
2,716 | Antofagasta PLC | 55,339 | |||||||||
China (0.1%) | |||||||||||
Insurance | |||||||||||
67,200 | AIA Group Ltd. (d) | 224,425 | |||||||||
Denmark (0.2%) | |||||||||||
Chemicals | |||||||||||
2,530 | Novozymes A/S, Series B | 71,225 |
NUMBER OF SHARES | VALUE | ||||||||||
Commercial Banks | |||||||||||
5,744 | Danske Bank A/S (a) | $ | 83,886 | ||||||||
Electrical Equipment | |||||||||||
3,486 | Vestas Wind Systems A/S (a) | 39,317 | |||||||||
Marine | |||||||||||
5 | AP Moller - Maersk A/S | 35,173 | |||||||||
10 | AP Moller - Maersk A/S, Series B | 73,689 | |||||||||
108,862 | |||||||||||
Pharmaceuticals | |||||||||||
3,710 | Novo Nordisk A/S, Series B | 438,671 | |||||||||
Road & Rail | |||||||||||
3,265 | DSV A/S | 66,698 | |||||||||
Total Denmark | 808,659 | ||||||||||
Finland (0.2%) | |||||||||||
Auto Components | |||||||||||
1,401 | Nokian Renkaat Oyj | 50,048 | |||||||||
Communications Equipment | |||||||||||
36,768 | Nokia Oyj | 183,624 | |||||||||
Electric Utilities | |||||||||||
6,439 | Fortum Oyj | 141,499 | |||||||||
Insurance | |||||||||||
3,785 | Sampo Oyj, Class A | 99,712 | |||||||||
Machinery | |||||||||||
2,681 | Kone Oyj, Class B | 145,956 | |||||||||
Paper & Forest Products | |||||||||||
12,324 | UPM-Kymmene Oyj | 157,980 | |||||||||
Total Finland | 778,819 |
See Notes to Financial Statements
14
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
France (1.9%) | |||||||||||
Aerospace & Defense | |||||||||||
1,262 | Thales SA | $ | 43,176 | ||||||||
Auto Components | |||||||||||
1,960 | Cie Generale des Etablissements Michelin, Series B | 134,086 | |||||||||
Automobiles | |||||||||||
1,221 | Peugeot SA | 22,512 | |||||||||
1,898 | Renault SA | 80,848 | |||||||||
103,360 | |||||||||||
Beverages | |||||||||||
1,960 | Pernod-Ricard SA | 188,156 | |||||||||
Building Products | |||||||||||
2,371 | Cie de St-Gobain | 105,509 | |||||||||
Chemicals | |||||||||||
2,681 | Air Liquide SA | 337,432 | |||||||||
Commercial Banks | |||||||||||
10,548 | BNP Paribas SA | 446,619 | |||||||||
8,087 | Credit Agricole SA | 49,834 | |||||||||
7,308 | Societe Generale SA | 194,673 | |||||||||
691,126 | |||||||||||
Commercial Services & Supplies | |||||||||||
1,823 | Edenred | 44,258 | |||||||||
Communications Equipment | |||||||||||
32,733 | Alcatel-Lucent (a) | 58,187 | |||||||||
Construction & Engineering | |||||||||||
2,699 | Bouygues SA | 83,865 | |||||||||
5,057 | Vinci SA | 234,561 | |||||||||
318,426 | |||||||||||
Construction Materials | |||||||||||
4,727 | Lafarge SA | 192,574 |
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Telecommunication Services | |||||||||||
20,519 | France Telecom SA | $ | 307,719 | ||||||||
16,603 | Vivendi SA | 347,481 | |||||||||
655,200 | |||||||||||
Electric Utilities | |||||||||||
3,256 | EDF SA | 75,044 | |||||||||
Electrical Equipment | |||||||||||
4,351 | Alstom SA | 165,845 | |||||||||
Energy Equipment & Services | |||||||||||
1,748 | Cie Generale de Geophysique- Veritas (a) | 48,747 | |||||||||
986 | Technip SA | 92,500 | |||||||||
141,247 | |||||||||||
Food & Staples Retailing | |||||||||||
5,854 | Carrefour SA | 133,620 | |||||||||
Food Products | |||||||||||
7,049 | Danone | 435,067 | |||||||||
Health Care Equipment & Supplies | |||||||||||
1,615 | Cie Generale d'Optique Essilor International SA | 118,300 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
1,422 | Accor SA | 43,209 | |||||||||
1,292 | Sodexo | 95,890 | |||||||||
139,099 | |||||||||||
Information Technology Services | |||||||||||
1,918 | Cap Gemini SA | 70,022 |
See Notes to Financial Statements
15
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Insurance | |||||||||||
17,841 | AXA SA | $ | 270,825 | ||||||||
Machinery | |||||||||||
2,554 | Vallourec SA | 172,483 | |||||||||
Media | |||||||||||
799 | Eutelsat Communications SA | 29,656 | |||||||||
651 | JCDecaux SA (a) | 16,507 | |||||||||
1,047 | Publicis Groupe SA | 52,672 | |||||||||
2,416 | SES SA | 57,042 | |||||||||
1,176 | Societe Television Francaise 1 | 12,937 | |||||||||
168,814 | |||||||||||
Metals & Mining | |||||||||||
12,867 | ArcelorMittal | 258,940 | |||||||||
Multi-Utilities | |||||||||||
12,930 | GDF Suez | 350,946 | |||||||||
4,193 | Suez Environnement Co. | 53,673 | |||||||||
5,613 | Veolia Environnement SA | 63,788 | |||||||||
468,407 | |||||||||||
Multi-line Retail | |||||||||||
1,434 | PPR | 225,652 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
22,144 | Total SA | 1,170,349 | |||||||||
Personal Products | |||||||||||
2,543 | L'Oreal SA | 270,467 | |||||||||
Pharmaceuticals | |||||||||||
12,246 | Sanofi | 904,558 | |||||||||
Professional Services | |||||||||||
581 | Bureau Veritas SA | 42,612 | |||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
86 | ICADE REIT | 7,004 |
NUMBER OF SHARES | VALUE | ||||||||||
1,708 | Unibail-Rodamco SE REIT | $ | 327,973 | ||||||||
334,977 | |||||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
750 | Christian Dior SA | 106,148 | |||||||||
2,427 | LVMH Moet Hennessy Louis Vuitton SA | 392,385 | |||||||||
498,533 | |||||||||||
Transportation Infrastructure | |||||||||||
480 | Aeroports de Paris (ADP) | 35,443 | |||||||||
7,563 | Groupe Eurotunnel SA | 62,315 | |||||||||
97,758 | |||||||||||
Total France | 9,034,109 | ||||||||||
Germany (1.8%) | |||||||||||
Air Freight & Logistics | |||||||||||
6,209 | Deutsche Post AG (Registered) | 103,145 | |||||||||
Airlines | |||||||||||
4,169 | Deutsche Lufthansa AG (Registered) | 57,614 | |||||||||
Auto Components | |||||||||||
611 | Continental AG (a) | 48,808 | |||||||||
Automobiles | |||||||||||
3,519 | Bayerische Motoren Werke AG | 300,992 | |||||||||
7,768 | Daimler AG (Registered) | 429,248 | |||||||||
898 | Porsche Automobil Holding SE (Preference) | 55,055 | |||||||||
372 | Volkswagen AG | 60,094 | |||||||||
1,855 | Volkswagen AG (Preference) | 328,418 | |||||||||
1,173,807 |
See Notes to Financial Statements
16
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Capital Markets | |||||||||||
11,735 | Deutsche Bank AG (Registered) | $ | 497,108 | ||||||||
Chemicals | |||||||||||
13,289 | BASF SE | 1,021,754 | |||||||||
1,526 | K+S AG (Registered) | 72,767 | |||||||||
1,060 | Lanxess AG | 69,042 | |||||||||
1,655 | Linde AG | 262,593 | |||||||||
1,426,156 | |||||||||||
Commercial Banks | |||||||||||
49,404 | Commerzbank AG (a) | 118,195 | |||||||||
Diversified Financial Services | |||||||||||
1,392 | Deutsche Boerse AG (a) | 81,936 | |||||||||
Diversified Telecommunication Services | |||||||||||
33,454 | Deutsche Telekom AG (Registered) | 376,244 | |||||||||
Electric Utilities | |||||||||||
20,521 | E.ON AG | 438,740 | |||||||||
Food & Staples Retailing | |||||||||||
1,362 | Metro AG | 52,396 | |||||||||
Food Products | |||||||||||
526 | Suedzucker AG | 15,543 | |||||||||
Health Care Providers & Services | |||||||||||
1,940 | Fresenius Medical Care AG & Co. KGaA | 138,427 | |||||||||
1,321 | Fresenius SE & Co. KGaA | 133,984 | |||||||||
272,411 | |||||||||||
Hotels, Restaurants & Leisure | |||||||||||
1,926 | TUI AG (a) | 14,012 |
NUMBER OF SHARES | VALUE | ||||||||||
Household Products | |||||||||||
1,808 | Henkel AG & Co. KGaA | $ | 93,936 | ||||||||
2,044 | Henkel AG & Co. KGaA (Preference) | 126,063 | |||||||||
219,999 | |||||||||||
Industrial Conglomerates | |||||||||||
9,791 | Siemens AG (Registered) | 923,905 | |||||||||
Insurance | |||||||||||
5,186 | Allianz SE (Registered) | 570,225 | |||||||||
2,202 | Muenchener Rueckversicherungs AG (Registered) | 286,880 | |||||||||
857,105 | |||||||||||
Life Sciences Tools & Services | |||||||||||
3,223 | QIAGEN N.V. (a) | 52,593 | |||||||||
Media | |||||||||||
300 | Axel Springer AG | 14,066 | |||||||||
474 | Kabel Deutschland Holding AG (a) | 24,714 | |||||||||
686 | ProSiebenSat.1 Media AG | 16,098 | |||||||||
54,878 | |||||||||||
Metals & Mining | |||||||||||
6,637 | ThyssenKrupp AG | 188,129 | |||||||||
Multi-Utilities | |||||||||||
4,297 | RWE AG | 164,349 | |||||||||
Personal Products | |||||||||||
1,091 | Beiersdorf AG | 65,503 | |||||||||
Pharmaceuticals | |||||||||||
8,620 | Bayer AG (Registered) | 603,684 | |||||||||
672 | Merck KGaA | 70,110 | |||||||||
673,794 |
See Notes to Financial Statements
17
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
12,761 | Infineon Technologies AG | $ | 116,444 | ||||||||
Software | |||||||||||
11,826 | SAP AG | 714,513 | |||||||||
Specialty Retail | |||||||||||
8,106 | Esprit Holdings Ltd. (d) | 11,957 | |||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
2,170 | Adidas AG | 156,343 | |||||||||
Transportation Infrastructure | |||||||||||
344 | Fraport AG Frankfurt Airport Services Worldwide | 20,600 | |||||||||
Total Germany | 8,896,227 | ||||||||||
Greece (0.0%) | |||||||||||
Commercial Banks | |||||||||||
14,355 | National Bank of Greece SA (a) | 52,012 | |||||||||
Hong Kong (0.4%) | |||||||||||
Commercial Banks | |||||||||||
15,690 | Bank of East Asia Ltd. | 64,032 | |||||||||
36,500 | BOC Hong Kong Holdings Ltd. | 96,482 | |||||||||
11,500 | Hang Seng Bank Ltd. | 148,434 | |||||||||
308,948 | |||||||||||
Diversified Financial Services | |||||||||||
9,972 | Hong Kong Exchanges and Clearing Ltd. | 173,073 | |||||||||
Electric Utilities | |||||||||||
19,000 | CLP Holdings Ltd. | 155,571 |
NUMBER OF SHARES | VALUE | ||||||||||
14,500 | Power Assets Holdings Ltd. | $ | 104,609 | ||||||||
260,180 | |||||||||||
Gas Utilities | |||||||||||
39,600 | Hong Kong & China Gas Co., Ltd. | 93,954 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
28,400 | Sands China Ltd. (a) | 96,128 | |||||||||
Industrial Conglomerates | |||||||||||
21,000 | Hutchison Whampoa Ltd. | 199,702 | |||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
19,851 | Link REIT (The) | 72,311 | |||||||||
Real Estate Management & Development | |||||||||||
14,000 | Cheung Kong Holdings Ltd. | 188,464 | |||||||||
8,000 | Hang Lung Group Ltd. | 50,804 | |||||||||
22,000 | Hang Lung Properties Ltd. | 75,600 | |||||||||
11,228 | Henderson Land Development Co., Ltd. | 60,952 | |||||||||
7,000 | Kerry Properties Ltd. | 26,852 | |||||||||
27,324 | New World Development Co., Ltd. | 29,948 | |||||||||
20,534 | Sino Land Co., Ltd. | 34,209 | |||||||||
13,328 | Sun Hung Kai Properties Ltd. | 184,574 | |||||||||
6,500 | Swire Pacific Ltd. | 72,289 | |||||||||
4,550 | Swire Properties Ltd. (a) | 11,464 | |||||||||
13,200 | Wharf Holdings Ltd. | 75,061 |
See Notes to Financial Statements
18
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
10,000 | Wheelock & Co., Ltd. | $ | 31,914 | ||||||||
842,131 | |||||||||||
Road & Rail | |||||||||||
15,242 | MTR Corp. | 50,805 | |||||||||
Total Hong Kong | 2,097,232 | ||||||||||
India (0.2%) | |||||||||||
Commercial Banks | |||||||||||
11,087 | HDFC Bank Ltd. ADR | 344,030 | |||||||||
11,047 | ICICI Bank Ltd. ADR | 400,012 | |||||||||
744,042 | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
16,376 | Cairn Energy PLC (a) | 72,719 | |||||||||
Total India | 816,761 | ||||||||||
Indonesia (0.3%) | |||||||||||
Automobiles | |||||||||||
29,000 | Astra International Tbk PT | 254,516 | |||||||||
Commercial Banks | |||||||||||
169,000 | Bank Central Asia Tbk PT | 150,389 | |||||||||
46,500 | Bank Danamon Indonesia Tbk PT | 23,405 | |||||||||
103,500 | Bank Mandiri Tbk PT | 77,136 | |||||||||
70,000 | Bank Negara Indonesia Persero Tbk PT | 28,226 | |||||||||
161,000 | Bank Rakyat Indonesia Persero Tbk PT | 122,675 | |||||||||
401,831 | |||||||||||
Construction Materials | |||||||||||
20,500 | Indocement Tunggal Prakarsa Tbk PT | 38,651 | |||||||||
56,000 | Semen Gresik Persero Tbk PT | 70,390 | |||||||||
109,041 |
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Telecommunication Services | |||||||||||
131,000 | Telekomunikasi Indonesia Tbk PT | $ | 99,817 | ||||||||
Food Products | |||||||||||
69,000 | Indofood Sukses Makmur Tbk PT | 36,841 | |||||||||
Gas Utilities | |||||||||||
159,000 | Perusahaan Gas Negara PT | 59,691 | |||||||||
Household Products | |||||||||||
19,000 | Unilever Indonesia Tbk PT | 41,424 | |||||||||
Machinery | |||||||||||
25,787 | United Tractors Tbk PT | 81,319 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
153,800 | Adaro Energy Tbk PT | 31,307 | |||||||||
257,500 | Bumi Resources Tbk PT | 73,040 | |||||||||
6,000 | Indo Tambangraya Megah Tbk PT | 24,494 | |||||||||
12,500 | Tambang Batubara Bukit Asam Tbk PT | 28,017 | |||||||||
156,858 | |||||||||||
Tobacco | |||||||||||
9,500 | Gudang Garam Tbk PT | 60,234 | |||||||||
Total Indonesia | 1,301,572 | ||||||||||
Italy (0.5%) | |||||||||||
Aerospace & Defense | |||||||||||
4,799 | Finmeccanica SpA | 21,594 | |||||||||
Automobiles | |||||||||||
8,670 | Fiat SpA | 52,009 |
See Notes to Financial Statements
19
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Commercial Banks | |||||||||||
120,612 | Intesa Sanpaolo SpA | $ | 230,339 | ||||||||
17,827 | UniCredit SpA | 88,378 | |||||||||
318,717 | |||||||||||
Diversified Telecommunication Services | |||||||||||
127,093 | Telecom Italia SpA | 106,313 | |||||||||
142,349 | Telecom Italia SpA | 144,770 | |||||||||
251,083 | |||||||||||
Electric Utilities | |||||||||||
82,927 | Enel SpA | 339,086 | |||||||||
Energy Equipment & Services | |||||||||||
2,576 | Saipem SpA | 120,562 | |||||||||
Gas Utilities | |||||||||||
45,529 | Snam Rete Gas SpA | 205,224 | |||||||||
Insurance | |||||||||||
20,105 | Assicurazioni Generali SpA | 313,739 | |||||||||
Machinery | |||||||||||
5,967 | Fiat Industrial SpA (a) | 58,460 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
31,745 | ENI SpA | 701,756 | |||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
1,567 | Luxottica Group SpA | 51,632 | |||||||||
Transportation Infrastructure | |||||||||||
4,173 | Atlantia SpA | 64,956 | |||||||||
Total Italy | 2,498,818 |
NUMBER OF SHARES | VALUE | ||||||||||
Japan (5.0%) | |||||||||||
Air Freight & Logistics | |||||||||||
8,600 | Yamato Holdings Co., Ltd. | $ | 142,280 | ||||||||
Auto Components | |||||||||||
3,700 | Aisin Seiki Co., Ltd. | 116,893 | |||||||||
8,600 | Bridgestone Corp. | 196,101 | |||||||||
8,100 | Denso Corp. | 240,705 | |||||||||
3,600 | Toyota Industries Corp. | 103,248 | |||||||||
656,947 | |||||||||||
Automobiles | |||||||||||
19,795 | Honda Motor Co., Ltd. ADR | 674,020 | |||||||||
24,000 | Mazda Motor Corp. (a) | 39,675 | |||||||||
93,000 | Mitsubishi Motors Corp. (a) | 112,254 | |||||||||
31,800 | Nissan Motor Co., Ltd. | 299,976 | |||||||||
5,600 | Suzuki Motor Corp. | 127,693 | |||||||||
36,500 | Toyota Motor Corp. | 1,345,644 | |||||||||
2,599,262 | |||||||||||
Beverages | |||||||||||
4,800 | Asahi Group Holdings Ltd. | 106,114 | |||||||||
13,000 | Kirin Holdings Co., Ltd. | 159,302 | |||||||||
265,416 | |||||||||||
Building Products | |||||||||||
15,000 | Asahi Glass Co., Ltd. | 122,212 | |||||||||
3,500 | Daikin Industries Ltd. | 101,482 | |||||||||
5,100 | JS Group Corp. | 105,453 | |||||||||
329,147 | |||||||||||
Capital Markets | |||||||||||
31,000 | Daiwa Securities Group, Inc. | 111,441 |
See Notes to Financial Statements
20
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
46,800 | Nomura Holdings, Inc. | $ | 171,309 | ||||||||
282,750 | |||||||||||
Chemicals | |||||||||||
25,000 | Asahi Kasei Corp. | 158,095 | |||||||||
3,000 | JSR Corp. | 61,322 | |||||||||
5,000 | Kuraray Co., Ltd. | 72,619 | |||||||||
20,000 | Mitsubishi Chemical Holdings Corp. | 112,306 | |||||||||
2,200 | Nitto Denko Corp. | 78,048 | |||||||||
4,100 | Shin-Etsu Chemical Co., Ltd. | 213,015 | |||||||||
22,000 | Sumitomo Chemical Co., Ltd. | 88,612 | |||||||||
25,000 | Toray Industries, Inc. | 187,615 | |||||||||
971,632 | |||||||||||
Commercial Banks | |||||||||||
22,000 | Bank of Yokohama Ltd. (The) | 101,889 | |||||||||
14,000 | Chiba Bank Ltd. (The) | 86,697 | |||||||||
184,800 | Mizuho Financial Group, Inc. | 278,825 | |||||||||
7,600 | Resona Holdings, Inc. | 33,802 | |||||||||
12,000 | Shizuoka Bank Ltd. (The) | 123,117 | |||||||||
17,300 | Sumitomo Mitsui Financial Group, Inc. | 550,413 | |||||||||
37,000 | Sumitomo Mitsui Trust Holdings, Inc. | 115,534 | |||||||||
1,290,277 | |||||||||||
Commercial Services & Supplies | |||||||||||
11,000 | Dai Nippon Printing Co., Ltd. | 118,341 | |||||||||
2,800 | Secom Co., Ltd. | 130,963 | |||||||||
11,000 | Toppan Printing Co., Ltd. | 88,035 | |||||||||
337,339 |
NUMBER OF SHARES | VALUE | ||||||||||
Computers & Peripherals | |||||||||||
25,000 | Fujitsu Ltd. | $ | 133,495 | ||||||||
55,000 | Toshiba Corp. | 233,075 | |||||||||
366,570 | |||||||||||
Construction & Engineering | |||||||||||
3,000 | JGC Corp. | 82,616 | |||||||||
Diversified Financial Services | |||||||||||
1,380 | ORIX Corp. | 129,092 | |||||||||
Diversified Telecommunication Services | |||||||||||
7,600 | Nippon Telegraph & Telephone Corp. | 379,900 | |||||||||
Electric Utilities | |||||||||||
7,400 | Chubu Electric Power Co., Inc. | 136,117 | |||||||||
3,700 | Chugoku Electric Power Co., Inc. (The) | 67,670 | |||||||||
4,200 | Hokkaido Electric Power Co., Inc. | 59,843 | |||||||||
3,900 | Hokuriku Electric Power Co. | 75,677 | |||||||||
6,200 | Kansai Electric Power Co., Inc. (The) | 99,808 | |||||||||
3,900 | Kyushu Electric Power Co., Inc. | 56,029 | |||||||||
5,500 | Shikoku Electric Power Co., Inc. | 159,400 | |||||||||
6,600 | Tohoku Electric Power Co., Inc. | 62,259 | |||||||||
13,700 | Tokyo Electric Power Co., Inc. (The) (a) | 37,566 | |||||||||
754,369 |
See Notes to Financial Statements
21
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electrical Equipment | |||||||||||
26,000 | Mitsubishi Electric Corp. | $ | 233,325 | ||||||||
1,400 | Nidec Corp. | 134,085 | |||||||||
22,700 | Sumitomo Electric Industries Ltd. | 273,401 | |||||||||
640,811 | |||||||||||
Electronic Equipment, Instruments & Components | |||||||||||
7,400 | FUJIFILM Holdings Corp. | 175,437 | |||||||||
63,000 | Hitachi Ltd. | 352,112 | |||||||||
5,000 | Hoya Corp. | 106,009 | |||||||||
2,000 | Ibiden Co., Ltd. | 40,803 | |||||||||
600 | Keyence Corp. | 149,488 | |||||||||
2,000 | Kyocera Corp. | 170,559 | |||||||||
2,800 | Murata Manufacturing Co., Ltd. | 160,352 | |||||||||
6,000 | Nippon Electric Glass Co., Ltd. | 52,270 | |||||||||
2,800 | Omron Corp. | 56,463 | |||||||||
1,400 | TDK Corp. | 66,767 | |||||||||
1,330,260 | |||||||||||
Food & Staples Retailing | |||||||||||
11,100 | Aeon Co., Ltd. | 146,359 | |||||||||
10,800 | Seven & I Holdings Co., Ltd. | 304,078 | |||||||||
450,437 | |||||||||||
Food Products | |||||||||||
15,000 | Ajinomoto Co., Inc. | 181,055 | |||||||||
Gas Utilities | |||||||||||
38,000 | Osaka Gas Co., Ltd. | 152,559 | |||||||||
34,000 | Tokyo Gas Co., Ltd. | 157,019 | |||||||||
309,578 |
NUMBER OF SHARES | VALUE | ||||||||||
Health Care Equipment & Supplies | |||||||||||
3,500 | Olympus Corp. | $ | 59,007 | ||||||||
2,900 | Terumo Corp. | 139,064 | |||||||||
198,071 | |||||||||||
Household Durables | |||||||||||
24,200 | Panasonic Corp. | 195,899 | |||||||||
12,000 | Sekisui House Ltd. | 112,726 | |||||||||
15,000 | Sharp Corp. | 129,100 | |||||||||
13,035 | Sony Corp. ADR | 237,498 | |||||||||
675,223 | |||||||||||
Household Products | |||||||||||
2,400 | Unicharm Corp. | 126,109 | |||||||||
Independent Power Producers & Energy Traders | |||||||||||
2,700 | Electric Power Development Co. Ltd. | 71,698 | |||||||||
Industrial Conglomerates | |||||||||||
31,000 | Hankyu Hanshin Holdings, Inc. | 139,097 | |||||||||
Information Technology Services | |||||||||||
30 | NTT Data Corp. | 98,321 | |||||||||
Insurance | |||||||||||
5,000 | MS&AD Insurance Group Holdings | 102,532 | |||||||||
8,400 | T&D Holdings, Inc. | 85,410 | |||||||||
6,200 | Tokio Marine Holdings, Inc. | 155,285 | |||||||||
343,227 | |||||||||||
Internet & Catalog Retail | |||||||||||
133 | Rakuten, Inc. | 134,187 |
See Notes to Financial Statements
22
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Internet Software & Services | |||||||||||
276 | Yahoo! Japan Corp. | $ | 84,299 | ||||||||
Leisure Equipment & Products | |||||||||||
4,600 | Nikon Corp. | 112,616 | |||||||||
Machinery | |||||||||||
2,400 | FANUC Corp. | 403,359 | |||||||||
5,000 | Japan Steel Works Ltd. (The) | 40,409 | |||||||||
38,000 | Kawasaki Heavy Industries Ltd. | 111,677 | |||||||||
13,000 | Komatsu Ltd. | 366,531 | |||||||||
17,000 | Kubota Corp. | 153,450 | |||||||||
1,600 | Makita Corp. | 60,394 | |||||||||
47,000 | Mitsubishi Heavy Industries Ltd. | 215,206 | |||||||||
5,000 | NGK Insulators Ltd. | 64,156 | |||||||||
10,000 | NSK Ltd. | 74,390 | |||||||||
800 | SMC Corp. | 138,861 | |||||||||
1,628,433 | |||||||||||
Marine | |||||||||||
18,000 | Mitsui OSK Lines Ltd. | 68,013 | |||||||||
34,000 | Nippon Yusen KK | 86,093 | |||||||||
154,106 | |||||||||||
Media | |||||||||||
3,200 | Dentsu, Inc. | 106,933 | |||||||||
Metals & Mining | |||||||||||
5,800 | JFE Holdings, Inc. | 103,490 | |||||||||
70,000 | Kobe Steel Ltd. | 114,799 | |||||||||
71,000 | Nippon Steel Corp. | 174,193 | |||||||||
49,000 | Sumitomo Metal Industries Ltd. | 87,431 | |||||||||
8,000 | Sumitomo Metal Mining Co., Ltd. | 115,351 | |||||||||
595,264 |
NUMBER OF SHARES | VALUE | ||||||||||
Multi-line Retail | |||||||||||
5,400 | Isetan Mitsukoshi Holdings Ltd. | $ | 60,858 | ||||||||
Office Electronics | |||||||||||
13,800 | Canon, Inc. | 595,670 | |||||||||
5,000 | Konica Minolta Holdings, Inc. | 36,408 | |||||||||
11,000 | Ricoh Co., Ltd. | 92,797 | |||||||||
724,875 | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
12 | Inpex Corp. | 81,868 | |||||||||
Paper & Forest Products | |||||||||||
13,000 | OJI Paper Co., Ltd. | 66,859 | |||||||||
Personal Products | |||||||||||
7,700 | Kao Corp. | 202,653 | |||||||||
6,500 | Shiseido Co., Ltd. | 119,306 | |||||||||
321,959 | |||||||||||
Pharmaceuticals | |||||||||||
4,900 | Astellas Pharma, Inc. | 201,220 | |||||||||
4,900 | Chugai Pharmaceutical Co., Ltd. | 77,852 | |||||||||
9,300 | Daiichi Sankyo Co., Ltd. | 177,044 | |||||||||
3,800 | Eisai Co., Ltd. | 157,295 | |||||||||
1,500 | Ono Pharmaceutical Co., Ltd. | 84,624 | |||||||||
6,400 | Shionogi & Co., Ltd. | 85,395 | |||||||||
9,700 | Takeda Pharmaceutical Co., Ltd. | 421,241 | |||||||||
1,204,671 | |||||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
8 | Japan Real Estate Investment Corp. REIT | 70,008 |
See Notes to Financial Statements
23
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
8 | Nippon Building Fund, Inc. REIT | $ | 71,792 | ||||||||
141,800 | |||||||||||
Real Estate Management & Development | |||||||||||
1,400 | Daito Trust Construction Co., Ltd. | 131,881 | |||||||||
11,000 | Daiwa House Industry Co., Ltd. | 138,979 | |||||||||
16,000 | Mitsubishi Estate Co., Ltd. | 255,471 | |||||||||
12,000 | Mitsui Fudosan Co., Ltd. | 197,271 | |||||||||
7,000 | Sumitomo Realty & Development Co., Ltd. | 132,984 | |||||||||
856,586 | |||||||||||
Road & Rail | |||||||||||
22 | Central Japan Railway Co. | 189,058 | |||||||||
4,600 | East Japan Railway Co. | 297,835 | |||||||||
10,000 | Keikyu Corp. | 91,577 | |||||||||
10,000 | Keio Corp. | 73,734 | |||||||||
39,000 | Kintetsu Corp. | 157,085 | |||||||||
22,000 | Nippon Express Co., Ltd. | 88,035 | |||||||||
16,000 | Odakyu Electric Railway Co., Ltd. | 158,908 | |||||||||
33,000 | Tobu Railway Co., Ltd. | 172,750 | |||||||||
18,000 | Tokyu Corp. | 88,559 | |||||||||
2,800 | West Japan Railway Co. | 118,657 | |||||||||
1,436,198 |
NUMBER OF SHARES | VALUE | ||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
2,300 | Advantest Corp. | $ | 26,404 | ||||||||
1,200 | Rohm Co., Ltd. | 59,512 | |||||||||
2,000 | Tokyo Electron Ltd. | 113,881 | |||||||||
199,797 | |||||||||||
Software | |||||||||||
1,300 | Nintendo Co., Ltd. | 176,358 | |||||||||
1,800 | Trend Micro, Inc. | 57,197 | |||||||||
233,555 | |||||||||||
Specialty Retail | |||||||||||
600 | Fast Retailing Co., Ltd. | 119,260 | |||||||||
1,370 | Yamada Denki Co., Ltd. | 87,355 | |||||||||
206,615 | |||||||||||
Tobacco | |||||||||||
78 | Japan Tobacco, Inc. | 383,758 | |||||||||
Trading Companies & Distributors | |||||||||||
21,000 | ITOCHU Corp. | 228,405 | |||||||||
29,000 | Marubeni Corp. | 200,131 | |||||||||
16,900 | Mitsubishi Corp. | 385,583 | |||||||||
25,900 | Mitsui & Co., Ltd. | 439,709 | |||||||||
15,300 | Sumitomo Corp. | 219,804 | |||||||||
1,473,632 | |||||||||||
Wireless Telecommunication Services | |||||||||||
51 | KDDI Corp. | 323,183 | |||||||||
193 | NTT DoCoMo, Inc. | 342,852 | |||||||||
9,700 | Softbank Corp. | 270,180 | |||||||||
936,215 | |||||||||||
Total Japan | 24,296,568 |
See Notes to Financial Statements
24
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Kazakhstan (0.0%) | |||||||||||
Metals & Mining | |||||||||||
2,888 | Kazakhmys PLC | $ | 51,698 | ||||||||
Netherlands (0.5%) | |||||||||||
Air Freight & Logistics | |||||||||||
4,151 | PostNL N.V. | 16,669 | |||||||||
4,151 | TNT Express N.V. | 34,739 | |||||||||
51,408 | |||||||||||
Beverages | |||||||||||
3,715 | Heineken N.V. | 171,634 | |||||||||
Chemicals | |||||||||||
4,370 | Akzo Nobel N.V. | 227,332 | |||||||||
3,367 | Koninklijke DSM N.V. | 172,755 | |||||||||
400,087 | |||||||||||
Diversified Financial Services | |||||||||||
48,287 | ING Groep N.V. CVA (a) | 439,480 | |||||||||
Diversified Telecommunication Services | |||||||||||
6,177 | Koninklijke KPN N.V. | 67,709 | |||||||||
Energy Equipment & Services | |||||||||||
657 | Fugro N.V. CVA | 43,184 | |||||||||
Food & Staples Retailing | |||||||||||
12,173 | Koninklijke Ahold N.V. | 161,299 | |||||||||
Food Products | |||||||||||
15,199 | Unilever N.V. CVA | 505,973 | |||||||||
Industrial Conglomerates | |||||||||||
12,069 | Koninklijke Philips Electronics N.V. | 243,907 |
NUMBER OF SHARES | VALUE | ||||||||||
Professional Services | |||||||||||
1,207 | Randstad Holding N.V. | $ | 41,160 | ||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
3,267 | ASML Holding N.V. | 140,317 | |||||||||
Transportation Infrastructure | |||||||||||
1,006 | Koninklijke Vopak N.V. | 54,662 | |||||||||
Total Netherlands | 2,320,820 | ||||||||||
Norway (0.2%) | |||||||||||
Chemicals | |||||||||||
1,863 | Yara International ASA | 74,971 | |||||||||
Commercial Banks | |||||||||||
11,497 | DnB NOR ASA | 121,300 | |||||||||
Diversified Telecommunication Services | |||||||||||
16,466 | Telenor ASA | 268,446 | |||||||||
Energy Equipment & Services | |||||||||||
1,677 | Aker Solutions ASA | 20,566 | |||||||||
1,677 | Kvaerner ASA (a) | 3,716 | |||||||||
2,860 | Subsea 7 SA (a) | 57,912 | |||||||||
82,194 | |||||||||||
Industrial Conglomerates | |||||||||||
9,524 | Orkla ASA | 77,189 | |||||||||
Metals & Mining | |||||||||||
12,763 | Norsk Hydro ASA | 67,437 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
12,789 | Statoil ASA | 320,651 |
See Notes to Financial Statements
25
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
6,482 | Renewable Energy Corp. ASA (a) | $ | 4,821 | ||||||||
Total Norway | 1,017,009 | ||||||||||
Peru (0.0%) | |||||||||||
Metals & Mining | |||||||||||
2,843 | Cia de Minas Buenaventura SA ADR | 121,965 | |||||||||
Poland (0.0%) | |||||||||||
Food & Staples Retailing | |||||||||||
3,072 | Jeronimo Martins SGPS SA (a) | 51,294 | |||||||||
Portugal (0.0%) | |||||||||||
Diversified Telecommunication Services | |||||||||||
11,841 | Portugal Telecom SGPS SA (Registered) | 58,857 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
2,866 | Galp Energia SGPS SA, Class B | 46,242 | |||||||||
Total Portugal | 105,099 | ||||||||||
Russia (0.7%) | |||||||||||
Commercial Banks | |||||||||||
30,225 | Sberbank of Russia ADR (a) | 358,234 | |||||||||
20,706 | VTB Bank OJSC GDR | 96,862 | |||||||||
455,096 |
NUMBER OF SHARES | VALUE | ||||||||||
Electric Utilities | |||||||||||
24,753 | Federal Hydrogenerating Co. JSC ADR | $ | 96,042 | ||||||||
Food & Staples Retailing | |||||||||||
5,653 | Magnit OJSC GDR | 145,226 | |||||||||
Metals & Mining | |||||||||||
14,442 | MMC Norilsk Nickel OJSC ADR | 277,431 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
81,336 | Gazprom OAO ADR | 984,166 | |||||||||
7,367 | Lukoil OAO ADR | 431,338 | |||||||||
1,263 | NovaTek OAO GDR | 170,126 | |||||||||
29,988 | Rosneft Oil Co. GDR | 221,011 | |||||||||
15,000 | Surgutneftegas OJSC ADR | 139,350 | |||||||||
5,085 | Tatneft ADR | 177,263 | |||||||||
2,123,254 | |||||||||||
Wireless Telecommunication Services | |||||||||||
9,100 | Mobile Telesystems OJSC ADR | 152,516 | |||||||||
Total Russia | 3,249,565 | ||||||||||
South Africa (0.1%) | |||||||||||
Beverages | |||||||||||
9,819 | SABMiller PLC | 372,585 | |||||||||
Metals & Mining | |||||||||||
3,064 | AngloGold Ashanti Ltd. ADR | 140,331 | |||||||||
6,936 | Gold Fields Ltd. ADR | 113,958 | |||||||||
4,943 | Harmony Gold Mining Co., Ltd. ADR | 59,613 | |||||||||
313,902 | |||||||||||
Total South Africa | 686,487 |
See Notes to Financial Statements
26
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Spain (0.4%) | |||||||||||
Airlines | |||||||||||
13,928 | International Consolidated Airlines Group SA (a) | $ | 38,805 | ||||||||
Commercial Banks | |||||||||||
45,352 | Banco Bilbao Vizcaya Argentaria SA | 395,920 | |||||||||
15,764 | Banco Popular Espanol SA | 67,840 | |||||||||
90,268 | Banco Santander SA | 702,546 | |||||||||
11,821 | CaixaBank | 59,407 | |||||||||
1,225,713 | |||||||||||
Construction & Engineering | |||||||||||
3,511 | ACS Actividades de Construccion y Servicios SA | 108,292 | |||||||||
Electric Utilities | |||||||||||
40,863 | Iberdrola SA | 240,635 | |||||||||
1,327 | Red Electrica Corp. SA | 61,039 | |||||||||
301,674 | |||||||||||
Food & Staples Retailing | |||||||||||
6,563 | Distribuidora Internacional de Alimentacion SA (a) | 30,313 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
3,053 | Repsol YPF SA | 83,863 | |||||||||
Specialty Retail | |||||||||||
2,368 | Inditex SA | 206,601 |
NUMBER OF SHARES | VALUE | ||||||||||
Transportation Infrastructure | |||||||||||
4,000 | Abertis Infraestructuras SA | $ | 67,391 | ||||||||
Total Spain | 2,062,652 | ||||||||||
Sweden (0.7%) | |||||||||||
Building Products | |||||||||||
3,465 | Assa Abloy AB, Class B | 94,030 | |||||||||
Commercial Banks | |||||||||||
27,526 | Nordea Bank AB | 230,445 | |||||||||
14,986 | Skandinaviska Enskilda Banken AB | 94,223 | |||||||||
5,789 | Svenska Handelsbanken AB, Class A | 173,606 | |||||||||
4,898 | Swedbank AB, Class A | 70,347 | |||||||||
568,621 | |||||||||||
Communications Equipment | |||||||||||
27,294 | Telefonaktiebolaget LM Ericsson, Class B | 253,781 | |||||||||
Construction & Engineering | |||||||||||
3,281 | Skanska AB, Class B | 57,300 | |||||||||
Diversified Financial Services | |||||||||||
12,458 | Investor AB, Class B | 252,182 | |||||||||
Diversified Telecommunication Services | |||||||||||
33,207 | TeliaSonera AB | 220,892 | |||||||||
Household Durables | |||||||||||
2,950 | Electrolux AB | 54,035 |
See Notes to Financial Statements
27
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
5,449 | Husqvarna AB, Class B | $ | 28,781 | ||||||||
82,816 | |||||||||||
Machinery | |||||||||||
10,488 | Atlas Copco AB, Class A | 249,307 | |||||||||
7,581 | Atlas Copco AB, Class B | 160,257 | |||||||||
16,163 | Sandvik AB | 238,792 | |||||||||
5,471 | Scania AB, Class B | 94,259 | |||||||||
6,655 | SKF AB, Class B | 157,020 | |||||||||
8,741 | Volvo AB, Class B | 113,013 | |||||||||
1,012,648 | |||||||||||
Media | |||||||||||
443 | Modern Times Group AB, Class B | 22,174 | |||||||||
Paper & Forest Products | |||||||||||
9,071 | Svenska Cellulosa AB, Class B | 151,483 | |||||||||
Specialty Retail | |||||||||||
10,949 | Hennes & Mauritz AB, Class B | 358,448 | |||||||||
Tobacco | |||||||||||
4,439 | Swedish Match AB | 154,590 | |||||||||
Wireless Telecommunication Services | |||||||||||
1,401 | Millicom International Cellular SA SDR | 138,504 | |||||||||
Total Sweden | 3,367,469 | ||||||||||
Switzerland (1.6%) | |||||||||||
Biotechnology | |||||||||||
971 | Actelion Ltd. (Registered) (a) | 37,184 |
NUMBER OF SHARES | VALUE | ||||||||||
Building Products | |||||||||||
814 | Geberit AG (Registered) (a) | $ | 168,106 | ||||||||
Capital Markets | |||||||||||
14,383 | Credit Suisse Group AG (Registered) (a) | 373,130 | |||||||||
2,123 | Julius Baer Group Ltd. (a) | 86,257 | |||||||||
25,821 | UBS AG (Registered) (a) | 351,480 | |||||||||
810,867 | |||||||||||
Chemicals | |||||||||||
82 | Givaudan SA (Registered) (a) | 76,566 | |||||||||
791 | Syngenta AG (Registered) (a) | 239,234 | |||||||||
315,800 | |||||||||||
Diversified Telecommunication Services | |||||||||||
691 | Swisscom AG (Registered) | 272,722 | |||||||||
Electrical Equipment | |||||||||||
34,134 | ABB Ltd. (Registered) (a) | 712,716 | |||||||||
Energy Equipment & Services | |||||||||||
2,790 | Transocean Ltd. | 132,271 | |||||||||
Food Products | |||||||||||
33,962 | Nestle SA (Registered) | 1,946,220 | |||||||||
Health Care Equipment & Supplies | |||||||||||
880 | Sonova Holding AG (Registered) (a) | 89,912 | |||||||||
633 | Synthes, Inc. (e) | 107,827 | |||||||||
197,739 |
See Notes to Financial Statements
28
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Insurance | |||||||||||
836 | Swiss Re AG (a) | $ | 45,346 | ||||||||
2,309 | Zurich Financial Services AG (a) | 554,361 | |||||||||
599,707 | |||||||||||
Life Sciences Tools & Services | |||||||||||
481 | Lonza Group AG (Registered) (a) | 25,965 | |||||||||
Marine | |||||||||||
673 | Kuehne & Nagel International AG (Registered) | 84,591 | |||||||||
Pharmaceuticals | |||||||||||
20,737 | Novartis AG (Registered) | 1,121,893 | |||||||||
5,581 | Roche Holding AG (Genusschein) | 944,617 | |||||||||
2,066,510 | |||||||||||
Professional Services | |||||||||||
1,264 | Adecco SA (Registered) (a) | 59,912 | |||||||||
52 | SGS SA (Registered) | 93,323 | |||||||||
153,235 | |||||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
4,550 | Cie Financiere Richemont SA | 257,528 | |||||||||
300 | Swatch Group AG (The) | 126,388 | |||||||||
383,916 | |||||||||||
Total Switzerland | 7,907,549 | ||||||||||
United Kingdom (4.6%) | |||||||||||
Aerospace & Defense | |||||||||||
50,134 | BAE Systems PLC | 243,166 |
NUMBER OF SHARES | VALUE | ||||||||||
34,001 | Rolls-Royce Holdings PLC (a) | $ | 394,072 | ||||||||
637,238 | |||||||||||
Beverages | |||||||||||
24,100 | Diageo PLC | 532,435 | |||||||||
Capital Markets | |||||||||||
17,668 | 3i Group PLC | 51,395 | |||||||||
9,538 | Investec PLC | 56,468 | |||||||||
15,236 | Man Group PLC | 27,778 | |||||||||
135,641 | |||||||||||
Chemicals | |||||||||||
2,447 | Johnson Matthey PLC | 79,086 | |||||||||
Commercial Banks | |||||||||||
126,770 | Barclays PLC | 424,599 | |||||||||
154,689 | HSBC Holdings PLC | 1,291,192 | |||||||||
378,183 | Lloyds Banking Group PLC (a) | 182,477 | |||||||||
206,210 | Royal Bank of Scotland Group PLC (a) | 86,500 | |||||||||
20,828 | Standard Chartered PLC | 503,471 | |||||||||
2,488,239 | |||||||||||
Commercial Services & Supplies | |||||||||||
2,555 | Aggreko PLC | 84,348 | |||||||||
4,000 | Babcock International Group PLC | 45,982 | |||||||||
14,808 | G4S PLC | 62,886 | |||||||||
5,878 | Serco Group PLC | 47,054 | |||||||||
240,270 | |||||||||||
Diversified Telecommunication Services | |||||||||||
97,290 | BT Group PLC | 311,985 | |||||||||
4,106 | Inmarsat PLC | 25,907 | |||||||||
337,892 |
See Notes to Financial Statements
29
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electric Utilities | |||||||||||
17,803 | SSE PLC | $ | 343,100 | ||||||||
Energy Equipment & Services | |||||||||||
3,969 | AMEC PLC | 62,794 | |||||||||
3,181 | Petrofac Ltd. | 72,933 | |||||||||
135,727 | |||||||||||
Food & Staples Retailing | |||||||||||
76,742 | Tesco PLC | 386,493 | |||||||||
20,218 | WM Morrison Supermarkets PLC | 91,118 | |||||||||
477,611 | |||||||||||
Food Products | |||||||||||
1,859 | Associated British Foods PLC | 33,776 | |||||||||
12,866 | Unilever PLC | 414,811 | |||||||||
448,587 | |||||||||||
Health Care Equipment & Supplies | |||||||||||
10,831 | Smith & Nephew PLC | 104,965 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
18,884 | Compass Group PLC | 175,271 | |||||||||
15,728 | TUI Travel PLC | 47,412 | |||||||||
222,683 | |||||||||||
Household Products | |||||||||||
6,704 | Reckitt Benckiser Group PLC | 356,646 | |||||||||
Industrial Conglomerates | |||||||||||
6,582 | Smiths Group PLC | 99,570 | |||||||||
Insurance | |||||||||||
3,778 | Admiral Group PLC | 56,021 | |||||||||
33,991 | Aviva PLC | 187,150 | |||||||||
68,276 | Legal & General Group PLC | 124,158 |
NUMBER OF SHARES | VALUE | ||||||||||
92,926 | Old Mutual PLC | $ | 213,792 | ||||||||
30,382 | Prudential PLC | 335,371 | |||||||||
84,310 | RSA Insurance Group PLC | 140,827 | |||||||||
18,540 | Standard Life PLC | 63,631 | |||||||||
1,120,950 | |||||||||||
Media | |||||||||||
8,709 | British Sky Broadcasting Group PLC | 94,693 | |||||||||
32,244 | ITV PLC | 38,057 | |||||||||
12,346 | Pearson PLC | 228,205 | |||||||||
3,587 | Reed Elsevier PLC | 29,675 | |||||||||
28,419 | WPP PLC | 333,855 | |||||||||
724,485 | |||||||||||
Metals & Mining | |||||||||||
11,920 | Anglo American PLC | 492,880 | |||||||||
20,282 | BHP Billiton PLC | 678,519 | |||||||||
1,989 | Lonmin PLC | 32,346 | |||||||||
976 | Randgold Resources Ltd. | 110,196 | |||||||||
13,195 | Rio Tinto PLC | 791,162 | |||||||||
1,623 | Vedanta Resources PLC | 30,563 | |||||||||
19,195 | Xstrata PLC | 325,009 | |||||||||
2,460,675 | |||||||||||
Multi-Utilities | |||||||||||
51,376 | Centrica PLC | 237,532 | |||||||||
32,023 | National Grid PLC | 318,919 | |||||||||
556,451 | |||||||||||
Multi-line Retail | |||||||||||
10,082 | Marks & Spencer Group PLC | 51,920 | |||||||||
2,073 | Next PLC | 85,553 | |||||||||
137,473 |
See Notes to Financial Statements
30
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
31,796 | BG Group PLC | $ | 713,984 | ||||||||
185,959 | BP PLC | 1,379,752 | |||||||||
35,351 | Royal Dutch Shell PLC, Class A | 1,248,096 | |||||||||
26,772 | Royal Dutch Shell PLC, Class B | 973,895 | |||||||||
8,594 | Tullow Oil PLC | 188,240 | |||||||||
4,503,967 | |||||||||||
Pharmaceuticals | |||||||||||
16,103 | AstraZeneca PLC | 775,083 | |||||||||
58,487 | GlaxoSmithKline PLC | 1,299,511 | |||||||||
5,377 | Shire PLC | 178,443 | |||||||||
2,253,037 | |||||||||||
Professional Services | |||||||||||
6,586 | Capita Group PLC (The) | 63,826 | |||||||||
10,516 | Experian PLC | 142,429 | |||||||||
1,847 | Intertek Group PLC | 61,470 | |||||||||
267,725 | |||||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
13,703 | British Land Co., PLC REIT | 105,504 | |||||||||
13,142 | Land Securities Group PLC REIT | 139,684 | |||||||||
245,188 | |||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
15,586 | ARM Holdings PLC | 149,696 | |||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
4,434 | Burberry Group PLC | 93,767 |
NUMBER OF SHARES | VALUE | ||||||||||
Tobacco | |||||||||||
19,308 | British American Tobacco PLC | $ | 887,513 | ||||||||
10,310 | Imperial Tobacco Group PLC | 368,796 | |||||||||
1,256,309 | |||||||||||
Trading Companies & Distributors | |||||||||||
3,683 | Wolseley PLC | 127,507 | |||||||||
Wireless Telecommunication Services | |||||||||||
607,663 | Vodafone Group PLC | 1,635,505 | |||||||||
Total United Kingdom | 22,172,425 | ||||||||||
United States (26.2%) | |||||||||||
Aerospace & Defense | |||||||||||
7,597 | Alliant Techsystems, Inc. | 451,338 | |||||||||
3,700 | Boeing Co. (The) | 274,466 | |||||||||
663 | General Dynamics Corp. | 45,853 | |||||||||
942 | Goodrich Corp. | 117,515 | |||||||||
4,454 | Honeywell International, Inc. | 258,510 | |||||||||
663 | Lockheed Martin Corp. | 54,578 | |||||||||
663 | Northrop Grumman Corp. | 38,487 | |||||||||
997 | Precision Castparts Corp. | 163,189 | |||||||||
22,091 | Raytheon Co. | 1,060,147 | |||||||||
796 | Rockwell Collins, Inc. | 46,081 | |||||||||
1,503 | Textron, Inc. | 38,296 | |||||||||
1,654 | United Technologies Corp. | 129,591 | |||||||||
2,678,051 |
See Notes to Financial Statements
31
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Air Freight & Logistics | |||||||||||
1,155 | C.H. Robinson Worldwide, Inc. | $ | 79,510 | ||||||||
515 | Expeditors International of Washington, Inc. | 22,995 | |||||||||
1,607 | FedEx Corp. | 147,025 | |||||||||
3,268 | United Parcel Service, Inc., Class B | 247,224 | |||||||||
496,754 | |||||||||||
Auto Components | |||||||||||
10,192 | BorgWarner, Inc. (a) | 760,629 | |||||||||
29,090 | Johnson Controls, Inc. | 924,189 | |||||||||
1,200 | TRW Automotive Holdings Corp. (a) | 45,024 | |||||||||
1,729,842 | |||||||||||
Automobiles | |||||||||||
10,545 | Ford Motor Co. | 130,969 | |||||||||
Beverages | |||||||||||
10,862 | Coca-Cola Co. (The) | 733,511 | |||||||||
1,313 | Coca-Cola Enterprises, Inc. | 35,175 | |||||||||
670 | Dr. Pepper Snapple Group, Inc. | 26,009 | |||||||||
1,100 | Molson Coors Brewing Co. | 47,179 | |||||||||
7,141 | PepsiCo, Inc. | 468,950 | |||||||||
1,310,824 | |||||||||||
Biotechnology | |||||||||||
1,310 | Alexion Pharmaceuticals, Inc. (a) | 100,556 | |||||||||
5,918 | Amgen, Inc. | 401,891 | |||||||||
1,394 | Biogen Idec, Inc. (a) | 164,380 | |||||||||
2,837 | Celgene Corp. (a) | 206,250 | |||||||||
4,545 | Gilead Sciences, Inc. (a) | 221,978 | |||||||||
700 | Vertex Pharmaceuticals, Inc. (a) | 25,865 | |||||||||
1,120,920 |
NUMBER OF SHARES | VALUE | ||||||||||
Building Products | |||||||||||
14,965 | Masco Corp. | $ | 180,628 | ||||||||
5,019 | Owens Corning (a) | 169,391 | |||||||||
722 | Universal Forest Products, Inc. | 22,938 | |||||||||
372,957 | |||||||||||
Capital Markets | |||||||||||
2,735 | Ameriprise Financial, Inc. | 146,459 | |||||||||
11,110 | Bank of New York Mellon Corp. (The) | 223,644 | |||||||||
1,063 | BlackRock, Inc. | 193,466 | |||||||||
6,993 | Charles Schwab Corp. (The) | 81,468 | |||||||||
1,120 | Franklin Resources, Inc. | 118,832 | |||||||||
6,223 | Goldman Sachs Group, Inc. (The) | 693,678 | |||||||||
3,376 | Invesco Ltd. | 76,196 | |||||||||
1,129 | Legg Mason, Inc. | 28,756 | |||||||||
2,425 | State Street Corp. | 95,012 | |||||||||
3,531 | T. Rowe Price Group, Inc. | 204,233 | |||||||||
1,861,744 | |||||||||||
Chemicals | |||||||||||
358 | Air Products & Chemicals, Inc. | 31,515 | |||||||||
282 | Airgas, Inc. | 22,258 | |||||||||
399 | Celanese Corp. | 19,435 | |||||||||
4,361 | CF Industries Holdings, Inc. | 773,554 | |||||||||
1,326 | Dow Chemical Co. (The) | 44,434 | |||||||||
260 | Eastman Chemical Co. | 13,083 | |||||||||
1,587 | Ecolab, Inc. | 95,918 | |||||||||
20,119 | EI du Pont de Nemours & Co. | 1,023,856 | |||||||||
394 | FMC Corp. | 36,516 |
See Notes to Financial Statements
32
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
1,242 | Georgia Gulf Corp. (a) | $ | 43,532 | ||||||||
124 | International Flavors & Fragrances, Inc. | 6,921 | |||||||||
576 | LyondellBasell Industries N.V., Class A | 24,826 | |||||||||
2,687 | Monsanto Co. | 220,469 | |||||||||
1,664 | Mosaic Co. (The) | 93,134 | |||||||||
186 | PPG Industries, Inc. | 16,662 | |||||||||
1,699 | Praxair, Inc. | 180,434 | |||||||||
38 | Sherwin-Williams Co. (The) | 3,706 | |||||||||
401 | Sigma-Aldrich Corp. | 27,284 | |||||||||
2,677,537 | |||||||||||
Commercial Banks | |||||||||||
11,791 | BB&T Corp. | 320,597 | |||||||||
1,975 | CIT Group, Inc. (a) | 75,327 | |||||||||
18,322 | Fifth Third Bancorp | 238,369 | |||||||||
21,600 | Huntington Bancshares, Inc. | 123,336 | |||||||||
25,709 | KeyCorp | 199,759 | |||||||||
1,000 | M&T Bank Corp. | 79,740 | |||||||||
4,230 | PNC Financial Services Group, Inc. | 249,232 | |||||||||
37,868 | Regions Financial Corp. | 197,671 | |||||||||
10,990 | SunTrust Banks, Inc. | 226,064 | |||||||||
15,024 | US Bancorp | 423,977 | |||||||||
51,714 | Wells Fargo & Co. | 1,510,566 | |||||||||
5,600 | Zions Bancorporation | 94,304 | |||||||||
3,738,942 | |||||||||||
Commercial Services & Supplies | |||||||||||
1,225 | Avery Dennison Corp. | 33,259 | |||||||||
1,313 | Cintas Corp. | 48,646 | |||||||||
2,068 | Iron Mountain, Inc. | 63,736 | |||||||||
2,106 | Pitney Bowes, Inc. | 39,951 | |||||||||
3,108 | Republic Services, Inc. | 91,002 |
NUMBER OF SHARES | VALUE | ||||||||||
2,662 | RR Donnelley & Sons Co. | $ | 30,240 | ||||||||
949 | Stericycle, Inc. (a) | 79,735 | |||||||||
3,380 | Waste Management, Inc. | 117,489 | |||||||||
504,058 | |||||||||||
Communications Equipment | |||||||||||
88,657 | Ciena Corp. (a) | 1,289,959 | |||||||||
38,388 | Cisco Systems, Inc. | 753,557 | |||||||||
4,680 | Juniper Networks, Inc. (a) | 97,952 | |||||||||
2,334 | Motorola Mobility Holdings, Inc. (a) | 90,162 | |||||||||
771 | Motorola Solutions, Inc. | 35,782 | |||||||||
11,264 | Qualcomm, Inc. | 662,549 | |||||||||
2,929,961 | |||||||||||
Computers & Peripherals | |||||||||||
6,715 | Apple, Inc. (a) | 3,065,263 | |||||||||
6,862 | Dell, Inc. (a) | 118,232 | |||||||||
14,621 | EMC Corp. (a) | 376,637 | |||||||||
25,299 | Hewlett-Packard Co. | 707,866 | |||||||||
2,898 | NetApp, Inc. (a) | 109,371 | |||||||||
21,485 | SanDisk Corp. (a) | 985,732 | |||||||||
5,363,101 | |||||||||||
Construction & Engineering | |||||||||||
884 | Fluor Corp. | 49,716 | |||||||||
21,926 | Foster Wheeler AG (a) | 492,458 | |||||||||
891 | Jacobs Engineering Group, Inc. (a) | 39,881 | |||||||||
1,228 | KBR, Inc. | 39,468 | |||||||||
20,535 | URS Corp. (a) | 845,015 | |||||||||
1,466,538 | |||||||||||
Construction Materials | |||||||||||
1,858 | Eagle Materials, Inc. | 54,644 |
See Notes to Financial Statements
33
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Consumer Finance | |||||||||||
3,458 | American Express Co. | $ | 173,384 | ||||||||
3,862 | Capital One Financial Corp. | 176,687 | |||||||||
2,669 | Discover Financial Services | 72,543 | |||||||||
5,607 | SLM Corp. | 83,825 | |||||||||
506,439 | |||||||||||
Containers & Packaging | |||||||||||
515 | Ball Corp. | 20,219 | |||||||||
566 | Crown Holdings, Inc. (a) | 20,416 | |||||||||
282 | Owens-Illinois, Inc. (a) | 6,782 | |||||||||
299 | Sealed Air Corp. | 5,959 | |||||||||
53,376 | |||||||||||
Distributors | |||||||||||
40,000 | Li & Fung Ltd. (d) | 87,476 | |||||||||
Diversified Consumer Services | |||||||||||
715 | Apollo Group, Inc., Class A (a) | 37,473 | |||||||||
2,900 | H&R Block, Inc. | 47,444 | |||||||||
84,917 | |||||||||||
Diversified Financial Services | |||||||||||
120,646 | Bank of America Corp. | 860,206 | |||||||||
21,367 | Citigroup, Inc. (See Note 6) | 656,394 | |||||||||
73,605 | JPMorgan Chase & Co. | 2,745,467 | |||||||||
2,353 | Leucadia National Corp. | 65,320 | |||||||||
692 | Moody's Corp. | 25,763 | |||||||||
2,695 | NASDAQ OMX Group, Inc. (The) (a) | 66,782 | |||||||||
3,854 | NYSE Euronext | 102,362 | |||||||||
4,522,294 |
NUMBER OF SHARES | VALUE | �� | |||||||||
Diversified Telecommunication Services | |||||||||||
29,366 | AT&T, Inc. | $ | 863,654 | ||||||||
19,194 | CenturyLink, Inc. | 710,754 | |||||||||
8,200 | Frontier Communications Corp. | 35,096 | |||||||||
41,812 | Verizon Communications, Inc. | 1,574,640 | |||||||||
3,184,144 | |||||||||||
Electric Utilities | |||||||||||
4,499 | American Electric Power Co., Inc. | 177,980 | |||||||||
9,293 | Duke Energy Corp. | 198,034 | |||||||||
3,472 | Edison International | 142,491 | |||||||||
1,505 | Entergy Corp. | 104,417 | |||||||||
5,721 | Exelon Corp. | 227,581 | |||||||||
3,566 | FirstEnergy Corp. | 150,557 | |||||||||
3,188 | NextEra Energy, Inc. | 190,802 | |||||||||
4,505 | PPL Corp. | 125,194 | |||||||||
1,877 | Progress Energy, Inc. | 101,977 | |||||||||
5,910 | Southern Co. | 269,260 | |||||||||
1,688,293 | |||||||||||
Electrical Equipment | |||||||||||
450 | AMETEK, Inc. | 21,150 | |||||||||
964 | Cooper Industries PLC | 56,992 | |||||||||
5,137 | Emerson Electric Co. | 263,939 | |||||||||
1,720 | Rockwell Automation, Inc. | 133,936 | |||||||||
339 | Roper Industries, Inc. | 31,659 | |||||||||
507,676 | |||||||||||
Electronic Equipment, Instruments & Components | |||||||||||
20,375 | Arrow Electronics, Inc. (a) | 841,284 |
See Notes to Financial Statements
34
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
2,325 | Corning, Inc. | $ | 29,923 | ||||||||
2,080 | TE Connectivity Ltd. | 70,928 | |||||||||
942,135 | |||||||||||
Energy Equipment & Services | |||||||||||
3,645 | Baker Hughes, Inc. | 179,079 | |||||||||
1,619 | Cameron International Corp. (a) | 86,131 | |||||||||
1,979 | FMC Technologies, Inc. (a) | 101,147 | |||||||||
6,916 | Halliburton Co. | 254,370 | |||||||||
641 | Helmerich & Payne, Inc. | 39,556 | |||||||||
3,980 | National Oilwell Varco, Inc. | 294,440 | |||||||||
800 | Noble Corp. (a) | 27,872 | |||||||||
9,851 | Schlumberger Ltd. | 740,500 | |||||||||
5,654 | Tenaris SA | 110,714 | |||||||||
5,624 | Weatherford International Ltd. (a) | 94,146 | |||||||||
1,927,955 | |||||||||||
Food & Staples Retailing | |||||||||||
6,163 | Costco Wholesale Corp. | 507,030 | |||||||||
7,139 | Kroger Co. (The) | 169,623 | |||||||||
31,593 | Safeway, Inc. | 694,414 | |||||||||
7,509 | Sysco Corp. | 226,096 | |||||||||
22,794 | Wal-Mart Stores, Inc. | 1,398,640 | |||||||||
11,891 | Walgreen Co. | 396,684 | |||||||||
1,987 | Whole Foods Market, Inc. | 147,097 | |||||||||
3,539,584 | |||||||||||
Food Products | |||||||||||
3,188 | Archer-Daniels- Midland Co. | 91,273 | |||||||||
700 | Bunge Ltd. | 40,089 | |||||||||
39,999 | ConAgra Foods, Inc. | 1,066,773 | |||||||||
4,805 | General Mills, Inc. | 191,383 |
NUMBER OF SHARES | VALUE | ||||||||||
2,369 | H.J. Heinz Co. | $ | 122,833 | ||||||||
414 | Hershey Co. (The) | 25,287 | |||||||||
700 | JM Smucker Co. (The) | 55,146 | |||||||||
2,013 | Kellogg Co. | 99,684 | |||||||||
7,910 | Kraft Foods, Inc., Class A | 302,953 | |||||||||
1,393 | Mead Johnson Nutrition Co. | 103,207 | |||||||||
2,000 | Sara Lee Corp. | 38,300 | |||||||||
39,383 | Smithfield Foods, Inc. (a) | 879,422 | |||||||||
2,000 | Tyson Foods, Inc., Class A | 37,280 | |||||||||
3,053,630 | |||||||||||
Gas Utilities | |||||||||||
1,600 | Oneok, Inc. | 133,056 | |||||||||
Health Care Equipment & Supplies | |||||||||||
4,394 | Baxter International, Inc. | 243,779 | |||||||||
1,890 | Becton Dickinson and Co. | 148,195 | |||||||||
9,574 | Boston Scientific Corp. (a) | 57,061 | |||||||||
2,361 | Covidien PLC | 121,592 | |||||||||
481 | CR Bard, Inc. | 44,502 | |||||||||
586 | Edwards Lifesciences Corp. (a) | 48,445 | |||||||||
1,510 | Hologic, Inc. (a) | 30,789 | |||||||||
501 | Intuitive Surgical, Inc. (a) | 230,415 | |||||||||
8,000 | Medtronic, Inc. | 308,560 | |||||||||
2,940 | St. Jude Medical, Inc. | 122,627 | |||||||||
2,488 | Stryker Corp. | 137,910 | |||||||||
708 | Varian Medical Systems, Inc. (a) | 46,636 | |||||||||
1,871 | Zimmer Holdings, Inc. (a) | 113,663 | |||||||||
1,654,174 |
See Notes to Financial Statements
35
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Health Care Providers & Services | |||||||||||
1,851 | Aetna, Inc. | $ | 80,889 | ||||||||
3,423 | Amerisource Bergen Corp. | 133,394 | |||||||||
3,383 | Cardinal Health, Inc. | 145,571 | |||||||||
1,673 | CIGNA Corp. | 75,001 | |||||||||
30,421 | Coventry Health Care, Inc. (a) | 914,759 | |||||||||
569 | DaVita, Inc. (a) | 46,550 | |||||||||
4,022 | Express Scripts, Inc. (a) | 205,766 | |||||||||
43,400 | HealthSouth Corp. (a) | 837,186 | |||||||||
642 | Henry Schein, Inc. (a) | 45,511 | |||||||||
757 | Humana, Inc. | 67,388 | |||||||||
526 | Laboratory Corp. of America Holdings (a) | 48,071 | |||||||||
1,955 | McKesson Corp. | 159,763 | |||||||||
3,167 | Medco Health Solutions, Inc. (a) | 196,417 | |||||||||
26,605 | Omnicare, Inc. | 873,442 | |||||||||
1,072 | Quest Diagnostics, Inc. | 62,262 | |||||||||
5,142 | UnitedHealth Group, Inc. | 266,304 | |||||||||
18,042 | Universal Health Services, Inc., Class B | 744,954 | |||||||||
1,901 | WellPoint, Inc. | 122,272 | |||||||||
5,025,500 | |||||||||||
Health Care Technology | |||||||||||
946 | Cerner Corp. (a) | 57,602 | |||||||||
Hotels, Restaurants & Leisure | |||||||||||
1,623 | Carnival Corp. | 49,014 | |||||||||
328 | Chipotle Mexican Grill, Inc. (a) | 120,471 |
NUMBER OF SHARES | VALUE | ||||||||||
643 | Darden Restaurants, Inc. | $ | 29,494 | ||||||||
1,459 | International Game Technology | 23,242 | |||||||||
2,353 | Las Vegas Sands Corp. (a) | 115,556 | |||||||||
1,497 | Marriott International, Inc., Class A | 51,572 | |||||||||
149 | Marriott Vacations Worldwide Corp. (a) | 3,092 | |||||||||
17,330 | McDonald's Corp. | 1,716,536 | |||||||||
1,732 | MGM Resorts International (a) | 22,603 | |||||||||
1,400 | Royal Caribbean Cruises Ltd. | 38,052 | |||||||||
4,797 | Starbucks Corp. | 229,920 | |||||||||
761 | Starwood Hotels & Resorts Worldwide, Inc. | 41,277 | |||||||||
678 | Wynn Resorts Ltd. | 78,126 | |||||||||
20,421 | Yum! Brands, Inc. | 1,293,262 | |||||||||
3,812,217 | |||||||||||
Household Durables | |||||||||||
43,117 | D.R. Horton, Inc. | 600,189 | |||||||||
10,636 | KB Home | 95,937 | |||||||||
24,522 | Lennar Corp., Class A | 526,978 | |||||||||
2,484 | M/I Homes, Inc. (a) | 28,193 | |||||||||
6,491 | MDC Holdings, Inc. | 128,651 | |||||||||
4,579 | Meritage Homes Corp. (a) | 110,812 | |||||||||
2,879 | Mohawk Industries, Inc. (a) | 176,080 | |||||||||
710 | NVR, Inc. (a) | 492,207 | |||||||||
51,120 | Pulte Group, Inc. (a) | 380,844 | |||||||||
5,880 | Ryland Group, Inc. (The) | 107,016 | |||||||||
376 | Skyline Corp. | 2,335 | |||||||||
46,694 | Standard Pacific Corp. (a) | 169,966 |
See Notes to Financial Statements
36
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
58,686 | Toll Brothers, Inc. (a) | $ | 1,279,942 | ||||||||
4,099,150 | |||||||||||
Household Products | |||||||||||
1,411 | Clorox Co. (The) | 96,879 | |||||||||
4,665 | Colgate-Palmolive Co. | 423,209 | |||||||||
3,573 | Kimberly-Clark Corp. | 255,684 | |||||||||
21,257 | Procter & Gamble Co. (The) | 1,340,041 | |||||||||
2,115,813 | |||||||||||
Independent Power Producers & Energy Traders | |||||||||||
2,155 | Constellation Energy Group, Inc. | 78,507 | |||||||||
22,387 | NRG Energy, Inc. (a) | 377,892 | |||||||||
456,399 | |||||||||||
Industrial Conglomerates | |||||||||||
1,340 | 3M Co. | 116,191 | |||||||||
3,385 | Danaher Corp. | 177,746 | |||||||||
73,862 | General Electric Co. | 1,381,958 | |||||||||
24,169 | Tyco International Ltd. | 1,231,411 | |||||||||
2,907,306 | |||||||||||
Information Technology Services | |||||||||||
3,712 | Accenture PLC, Class A | 212,846 | |||||||||
1,053 | Automatic Data Processing, Inc. | 57,683 | |||||||||
2,632 | Cognizant Technology Solutions Corp., Class A (a) | 188,846 | |||||||||
823 | Fiserv, Inc. (a) | 51,758 | |||||||||
11,854 | International Business Machines Corp. | 2,283,080 | |||||||||
687 | Mastercard, Inc., Class A | 244,277 | |||||||||
1,397 | Paychex, Inc. | 44,006 |
NUMBER OF SHARES | VALUE | ||||||||||
2,706 | Visa, Inc., Class A | $ | 272,332 | ||||||||
4,462 | Western Union Co. (The) | 85,224 | |||||||||
3,440,052 | |||||||||||
Insurance | |||||||||||
14,949 | Assurant, Inc. | 591,980 | |||||||||
17,909 | Chubb Corp. (The) | 1,207,246 | |||||||||
34,542 | Fidelity National Financial, Inc. | 628,319 | |||||||||
19,355 | Lincoln National Corp. | 416,907 | |||||||||
7,680 | PartnerRe Ltd. | 502,426 | |||||||||
17,910 | Principal Financial Group, Inc. | 489,122 | |||||||||
29,097 | Unum Group | 664,284 | |||||||||
4,500,284 | |||||||||||
Internet & Catalog Retail | |||||||||||
1,406 | Amazon.com, Inc. (a) | 273,383 | |||||||||
306 | Expedia, Inc. | 9,905 | |||||||||
106 | NetFlix, Inc. (a) | 12,741 | |||||||||
323 | Priceline.com, Inc. (a) | 171,022 | |||||||||
306 | TripAdvisor, Inc. (a) | 10,071 | |||||||||
477,122 | |||||||||||
Internet Software & Services | |||||||||||
1,337 | Akamai Technologies, Inc. (a) | 43,118 | |||||||||
6,676 | eBay, Inc. (a) | 210,962 | |||||||||
1,420 | Google, Inc., Class A (a) | 823,756 | |||||||||
35,077 | Yahoo!, Inc. (a) | 542,641 | |||||||||
1,620,477 | |||||||||||
Leisure Equipment & Products | |||||||||||
1,000 | Mattel, Inc. | 31,000 |
See Notes to Financial Statements
37
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Life Sciences Tools & Services | |||||||||||
2,439 | Agilent Technologies, Inc. (a) | $ | 103,584 | ||||||||
700 | Illumina, Inc. (a) | 36,232 | |||||||||
900 | Life Technologies Corp. (a) | 43,587 | |||||||||
2,403 | Thermo Fisher Scientific, Inc. (a) | 127,119 | |||||||||
400 | Waters Corp. (a) | 34,628 | |||||||||
345,150 | |||||||||||
Machinery | |||||||||||
4,392 | Caterpillar, Inc. | 479,255 | |||||||||
1,343 | Cummins, Inc. | 139,672 | |||||||||
2,796 | Deere & Co. | 240,875 | |||||||||
311 | Dover Corp. | 19,721 | |||||||||
1,194 | Eaton Corp. | 58,542 | |||||||||
287 | Flowserve Corp. | 31,619 | |||||||||
19,778 | Illinois Tool Works, Inc. | 1,048,827 | |||||||||
971 | Ingersoll-Rand PLC | 33,927 | |||||||||
419 | Joy Global, Inc. | 37,999 | |||||||||
2,572 | PACCAR, Inc. | 113,682 | |||||||||
693 | Pall Corp. | 41,358 | |||||||||
300 | Stanley Black & Decker, Inc. | 21,054 | |||||||||
1,144 | Xylem, Inc. | 29,641 | |||||||||
2,296,172 | |||||||||||
Media | |||||||||||
2,651 | Cablevision Systems Corp. | 38,572 | |||||||||
6,670 | CBS Corp., Class B | 189,962 | |||||||||
11,543 | Comcast Corp., Class A | 306,928 | |||||||||
4,401 | Comcast Corp., Class A | 112,181 | |||||||||
8,109 | DIRECTV, Class A (a) | 364,986 | |||||||||
1,176 | Discovery Communications, Inc. (a) | 50,427 |
NUMBER OF SHARES | VALUE | ||||||||||
1,229 | Discovery Communications, Inc., Class C (a) | $ | 47,747 | ||||||||
4,650 | Interpublic Group of Cos., Inc. (The) | 48,035 | |||||||||
1,166 | Liberty Global, Inc., Series A (a) | 53,496 | |||||||||
1,140 | Liberty Global, Inc., Series C (a) | 50,342 | |||||||||
3,249 | McGraw-Hill Cos., Inc. (The) | 149,454 | |||||||||
15,513 | News Corp., Class A | 292,110 | |||||||||
3,316 | News Corp., Class B | 64,563 | |||||||||
1,961 | Omnicom Group, Inc. | 89,441 | |||||||||
632 | Scripps Networks Interactive, Inc., Class A | 27,404 | |||||||||
3,131 | Time Warner Cable, Inc. | 230,817 | |||||||||
36,638 | Time Warner, Inc. | 1,357,804 | |||||||||
3,446 | Viacom, Inc., Class B | 162,100 | |||||||||
2,494 | Virgin Media, Inc. | 59,457 | |||||||||
9,956 | Walt Disney Co. (The) | 387,288 | |||||||||
4,083,114 | |||||||||||
Metals & Mining | |||||||||||
3,482 | Alcoa, Inc. | 35,377 | |||||||||
402 | Allegheny Technologies, Inc. | 18,247 | |||||||||
1,033 | Allied Nevada Gold Corp. (a) | 37,116 | |||||||||
1,873 | Aurizon Mines Ltd. (a) | 10,358 | |||||||||
986 | Cliffs Natural Resources, Inc. | 71,239 | |||||||||
1,040 | Coeur d'Alene Mines Corp. (a) | 28,766 | |||||||||
1,863 | Freeport-McMoRan Copper & Gold, Inc. | 86,089 | |||||||||
3,057 | Golden Star Resources Ltd. (a) | 6,603 |
See Notes to Financial Statements
38
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
5,461 | Great Basin Gold Ltd. (a) | $ | 6,881 | ||||||||
3,252 | Hecla Mining Co. | 17,106 | |||||||||
4,366 | IAMGOLD Corp. | 73,087 | |||||||||
10,684 | Molycorp, Inc. (a) | 330,990 | |||||||||
6,578 | Newmont Mining Corp. | 404,415 | |||||||||
631 | Nucor Corp. | 28,073 | |||||||||
630 | Royal Gold, Inc. | 47,968 | |||||||||
496 | Seabridge Gold, Inc. (a) | 10,004 | |||||||||
938 | Silver Standard Resources, Inc. (a) | 16,199 | |||||||||
58,542 | Steel Dynamics, Inc. | 933,745 | |||||||||
1,137 | Tanzanian Royalty Exploration Corp. (a) | 3,763 | |||||||||
408 | United States Steel Corp. | 12,318 | |||||||||
2,178,344 | |||||||||||
Multi-Utilities | |||||||||||
2,816 | Ameren Corp. | 89,098 | |||||||||
5,254 | CenterPoint Energy, Inc. | 97,041 | |||||||||
2,627 | Consolidated Edison, Inc. | 154,888 | |||||||||
4,688 | Dominion Resources, Inc. | 234,587 | |||||||||
1,783 | DTE Energy Co. | 94,873 | |||||||||
17,449 | Integrys Energy Group, Inc. | 905,778 | |||||||||
3,283 | PG&E Corp. | 133,487 | |||||||||
4,499 | Public Service Enterprise Group, Inc. | 136,500 | |||||||||
2,438 | Sempra Energy | 138,722 | |||||||||
2,911 | Wisconsin Energy Corp. | 98,974 | |||||||||
4,316 | Xcel Energy, Inc. | 114,806 | |||||||||
2,198,754 |
NUMBER OF SHARES | VALUE | ||||||||||
Multi-line Retail | |||||||||||
274 | Dollar General Corp. (a) | $ | 11,675 | ||||||||
274 | Dollar Tree, Inc. (a) | 23,238 | |||||||||
274 | Family Dollar Stores, Inc. | 15,289 | |||||||||
1,790 | Kohl's Corp. | 82,322 | |||||||||
512 | Nordstrom, Inc. | 25,283 | |||||||||
2,192 | Target Corp. | 111,376 | |||||||||
269,183 | |||||||||||
Office Electronics | |||||||||||
4,000 | Xerox Corp. | 31,000 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
738 | Alpha Natural Resources, Inc. (a) | 14,849 | |||||||||
17,432 | Anadarko Petroleum Corp. | 1,407,111 | |||||||||
2,487 | Apache Corp. | 245,914 | |||||||||
843 | Arch Coal, Inc. | 12,164 | |||||||||
26,045 | Chesapeake Energy Corp. | 550,331 | |||||||||
21,043 | Chevron Corp. | 2,169,112 | |||||||||
548 | Concho Resources, Inc. (a) | 58,450 | |||||||||
23,104 | ConocoPhillips | 1,575,924 | |||||||||
1,194 | Consol Energy, Inc. | 42,674 | |||||||||
2,338 | Devon Energy Corp. | 149,188 | |||||||||
5,087 | El Paso Corp. | 136,688 | |||||||||
1,935 | EOG Resources, Inc. | 205,381 | |||||||||
908 | EQT Corp. | 45,872 | |||||||||
38,585 | Exxon Mobil Corp. | 3,231,108 | |||||||||
12,175 | Hess Corp. | 685,452 | |||||||||
4,183 | Marathon Oil Corp. | 131,304 | |||||||||
1,944 | Marathon Petroleum Corp. | 74,300 | |||||||||
899 | Murphy Oil Corp. | 53,580 | |||||||||
510 | Newfield Exploration Co. (a) | 19,283 |
See Notes to Financial Statements
39
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
1,285 | Noble Energy, Inc. | $ | 129,361 | ||||||||
7,456 | Occidental Petroleum Corp. | 743,885 | |||||||||
2,384 | Peabody Energy Corp. | 81,271 | |||||||||
729 | Pioneer Natural Resources Co. | 72,390 | |||||||||
1,124 | QEP Resources, Inc. | 32,191 | |||||||||
1,324 | Range Resources Corp. | 76,156 | |||||||||
3,029 | Southwestern Energy Co. (a) | 94,323 | |||||||||
4,743 | Spectra Energy Corp. | 149,357 | |||||||||
1,336 | Ultra Petroleum Corp. (a) | 32,104 | |||||||||
3,311 | Valero Energy Corp. | 79,431 | |||||||||
8,602 | Williams Cos., Inc. (The) | 247,910 | |||||||||
3,456 | WPX Energy, Inc. (a) | 56,955 | |||||||||
12,604,019 | |||||||||||
Paper & Forest Products | |||||||||||
527 | Deltic Timber Corp. | 35,899 | |||||||||
455 | International Paper Co. | 14,169 | |||||||||
5,748 | Louisiana-Pacific Corp. (a) | 48,973 | |||||||||
24,131 | MeadWestvaco Corp. | 710,417 | |||||||||
809,458 | |||||||||||
Personal Products | |||||||||||
4,300 | Avon Products, Inc. | 76,411 | |||||||||
3,254 | Estee Lauder Cos., Inc. (The), Class A | 188,504 | |||||||||
264,915 | |||||||||||
Pharmaceuticals | |||||||||||
28,369 | Abbott Laboratories | 1,536,181 | |||||||||
1,817 | Allergan, Inc. | 159,733 | |||||||||
53,646 | Bristol-Myers Squibb Co. | 1,729,547 |
NUMBER OF SHARES | VALUE | ||||||||||
4,932 | Eli Lilly & Co. | $ | 195,998 | ||||||||
972 | Hospira, Inc. (a) | 33,495 | |||||||||
13,046 | Johnson & Johnson | 859,862 | |||||||||
14,451 | Merck & Co., Inc. | 552,895 | |||||||||
1,700 | Mylan, Inc. (a) | 35,275 | |||||||||
400 | Perrigo Co. | 38,240 | |||||||||
37,151 | Pfizer, Inc. | 795,031 | |||||||||
400 | Watson Pharmaceuticals, Inc. (a) | 23,452 | |||||||||
5,959,709 | |||||||||||
Professional Services | |||||||||||
665 | Dun & Bradstreet Corp. (The) | 55,068 | |||||||||
1,333 | Equifax, Inc. | 51,947 | |||||||||
541 | IHS, Inc., Class A (a) | 48,409 | |||||||||
1,354 | Manpower, Inc. | 54,309 | |||||||||
1,949 | Robert Half International, Inc. | 53,968 | |||||||||
1,789 | Verisk Analytics, Inc., Class A (a) | 71,685 | |||||||||
335,386 | |||||||||||
Real Estate Investment Trusts (REITs) | |||||||||||
3,590 | American Tower Corp. REIT | 228,001 | |||||||||
2,608 | Annaly Capital Management, Inc. REIT | 43,919 | |||||||||
1,383 | AvalonBay Communities, Inc. REIT | 188,102 | |||||||||
1,481 | Boston Properties, Inc. REIT | 154,098 | |||||||||
2,792 | Equity Residential REIT | 166,264 | |||||||||
1,323 | General Growth Properties, Inc. REIT | 20,877 | |||||||||
1,242 | HCP, Inc. REIT | 52,201 |
See Notes to Financial Statements
40
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
554 | Health Care REIT, Inc. REIT | $ | 31,694 | ||||||||
9,350 | Host Hotels & Resorts, Inc. REIT | 153,527 | |||||||||
1,278 | Kimco Realty Corp. REIT | 23,323 | |||||||||
454 | Liberty Property Trust REIT | 15,114 | |||||||||
462 | Macerich Co. (The) REIT | 25,087 | |||||||||
487 | Plum Creek Timber Co., Inc. REIT | 18,886 | |||||||||
4,344 | ProLogis, Inc. REIT | 137,748 | |||||||||
3,611 | Public Storage REIT | 501,423 | |||||||||
497 | Rayonier, Inc. REIT | 22,728 | |||||||||
303 | Regency Centers Corp. REIT | 12,520 | |||||||||
49 | Rouse Properties, Inc. REIT (a) | 606 | |||||||||
5,112 | Simon Property Group, Inc. REIT | 694,516 | |||||||||
403 | Ventas, Inc. REIT | 23,499 | |||||||||
407 | Vornado Realty Trust REIT | 32,918 | |||||||||
1,599 | Weyerhaeuser Co. REIT | 32,012 | |||||||||
2,579,063 | |||||||||||
Real Estate Management & Development | |||||||||||
5,924 | CBRE Group, Inc. (a) | 114,333 | |||||||||
9,091 | Lend Lease Group REIT (Stapled Securities) (b)(c) | 70,938 | |||||||||
185,271 | |||||||||||
Road & Rail | |||||||||||
5,709 | CSX Corp. | 128,738 | |||||||||
312 | JB Hunt Transport Services, Inc. | 15,934 |
NUMBER OF SHARES | VALUE | ||||||||||
17,551 | Norfolk Southern Corp. | $ | 1,267,182 | ||||||||
2,210 | Union Pacific Corp. | 252,625 | |||||||||
1,664,479 | |||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||
2,800 | Advanced Micro Devices, Inc. (a) | 18,788 | |||||||||
4,324 | Altera Corp. | 172,052 | |||||||||
4,095 | Analog Devices, Inc. | 160,237 | |||||||||
5,700 | Applied Materials, Inc. | 69,996 | |||||||||
1,100 | Avago Technologies Ltd. | 37,334 | |||||||||
5,143 | Broadcom Corp., Class A (a) | 176,611 | |||||||||
200 | First Solar, Inc. (a) | 8,456 | |||||||||
46,780 | Intel Corp. | 1,235,928 | |||||||||
800 | KLA-Tencor Corp. | 40,904 | |||||||||
700 | Lam Research Corp. (a) | 29,813 | |||||||||
1,300 | Linear Technology Corp. | 43,316 | |||||||||
2,800 | LSI Corp. (a) | 21,196 | |||||||||
2,600 | Marvell Technology Group Ltd. (a) | 40,378 | |||||||||
1,100 | Maxim Integrated Products, Inc. | 29,524 | |||||||||
700 | Microchip Technology, Inc. | 25,837 | |||||||||
4,200 | Micron Technology, Inc. (a) | 31,878 | |||||||||
2,600 | NVIDIA Corp. (a) | 38,402 | |||||||||
10,606 | Texas Instruments, Inc. | 343,422 | |||||||||
1,100 | Xilinx, Inc. | 39,435 | |||||||||
2,563,507 |
See Notes to Financial Statements
41
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Software | |||||||||||
3,095 | Adobe Systems, Inc. (a) | $ | 95,790 | ||||||||
1,084 | BMC Software, Inc. (a) | 39,284 | |||||||||
1,963 | CA, Inc. | 50,606 | |||||||||
1,350 | Citrix Systems, Inc. (a) | 88,034 | |||||||||
2,694 | Intuit, Inc. | 152,049 | |||||||||
72,554 | Microsoft Corp. | 2,142,520 | |||||||||
20,774 | Oracle Corp. | 585,827 | |||||||||
18,177 | Red Hat, Inc. (a) | 842,867 | |||||||||
666 | Salesforce.com, Inc. (a) | 77,789 | |||||||||
5,573 | Symantec Corp. (a) | 95,800 | |||||||||
4,170,566 | |||||||||||
Specialty Retail | |||||||||||
232 | Abercrombie & Fitch Co., Class A | 10,658 | |||||||||
232 | Advance Auto Parts, Inc. | 17,780 | |||||||||
106 | AutoZone, Inc. (a) | 36,875 | |||||||||
1,343 | Bed Bath & Beyond, Inc. (a) | 81,520 | |||||||||
908 | Best Buy Co., Inc. | 21,747 | |||||||||
575 | CarMax, Inc. (a) | 17,497 | |||||||||
507 | GameStop Corp., Class A (a) | 11,844 | |||||||||
55,777 | Gap, Inc. (The) | 1,058,647 | |||||||||
29,049 | Home Depot, Inc. | 1,289,485 | |||||||||
6,485 | Lowe's Cos., Inc. | 173,993 | |||||||||
2,004 | Ltd. Brands, Inc. | 83,887 | |||||||||
1,042 | O'Reilly Automotive, Inc. (a) | 84,933 | |||||||||
274 | PetSmart, Inc. | 14,582 | |||||||||
1,630 | Ross Stores, Inc. | 82,837 | |||||||||
4,882 | Staples, Inc. | 71,424 | |||||||||
401 | Tiffany & Co. | 25,584 | |||||||||
1,975 | TJX Cos., Inc. | 134,577 | |||||||||
274 | Urban Outfitters, Inc. (a) | 7,261 | |||||||||
3,225,131 |
NUMBER OF SHARES | VALUE | ||||||||||
Textiles, Apparel & Luxury Goods | |||||||||||
1,228 | Coach, Inc. | $ | 86,021 | ||||||||
1,502 | NIKE, Inc., Class B | 156,193 | |||||||||
7,551 | VF Corp. | 992,881 | |||||||||
1,235,095 | |||||||||||
Thrifts & Mortgage Finance | |||||||||||
4,800 | New York Community Bancorp, Inc. | 60,912 | |||||||||
Tobacco | |||||||||||
9,551 | Altria Group, Inc. | 271,249 | |||||||||
700 | Lorillard, Inc. | 75,173 | |||||||||
22,287 | Philip Morris International, Inc. | 1,666,399 | |||||||||
22,832 | Reynolds American, Inc. | 895,699 | |||||||||
2,908,520 | |||||||||||
Trading Companies & Distributors | |||||||||||
1,990 | Fastenal Co. | 92,893 | |||||||||
1,367 | Watsco, Inc. | 94,282 | |||||||||
593 | WW Grainger, Inc. | 113,109 | |||||||||
300,284 | |||||||||||
Wireless Telecommunication Services | |||||||||||
3,369 | Crown Castle International Corp. (a) | 163,329 | |||||||||
1,500 | NII Holdings, Inc. (a) | 30,165 | |||||||||
20,300 | Sprint Nextel Corp. (a) | 43,036 | |||||||||
236,530 | |||||||||||
Total United States | 127,369,475 | ||||||||||
Total Common Stocks (Cost $243,265,885) | 254,510,671 |
See Notes to Financial Statements
42
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Commodity Linked Security (5.0%) | |||||||||||
United States | |||||||||||
23,938,000 | Deutsche Bank AG Series 0005 (Cost $23,938,000) (e)(f) | $ | 24,366,490 | ||||||||
Investment Companies (1.2%) | |||||||||||
8,000 | iShares MSCI Emerging Markets Index Fund | 337,040 | |||||||||
87,800 | Market Vectors Russia ETF | 2,651,560 | |||||||||
110,800 | Technology Select Sector SPDR Fund | 2,997,140 | |||||||||
Total Investment Companies (Cost $5,619,206) | 5,985,740 | ||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||
Corporate Bonds (10.5%) | |||||||||||
Australia (0.8%) | |||||||||||
Basic Materials | |||||||||||
$ | 135 | Rio Tinto Finance USA Ltd. 9.00% 05/01/19 | 188,138 | ||||||||
Communications | |||||||||||
260 | Telstra Corp., Ltd. (e) 4.80% 10/12/21 | 284,677 | |||||||||
Consumer, Cyclical | |||||||||||
195 | Wesfarmers Ltd. (e) 2.983% 05/18/16 | 198,599 | |||||||||
Consumer, Non-Cyclical | |||||||||||
195 | Woolworths Ltd. (e) 4.00% 09/22/20 | 203,998 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Finance | |||||||||||
EUR | 400 | Australia & New Zealand Banking Group Ltd. 5.125% 09/10/19 | $ | 555,045 | |||||||
$ | 500 | Commonwealth Bank of Australia (e) 2.90% 09/17/14 | 522,084 | ||||||||
355 | Commonwealth Bank of Australia (e) 5.00% 10/15/19 | 382,968 | |||||||||
245 | Macquarie Bank Ltd. (e) 6.625% 04/07/21 | 233,589 | |||||||||
235 | Macquarie Group Ltd. (e) 6.00% 01/14/20 | 226,391 | |||||||||
400 | National Australia Bank Ltd. (e) 3.375% 07/08/14 | 423,409 | |||||||||
325 | QBE Capital Funding III Ltd. (e) 7.25% (g) 05/24/41 | 287,870 | |||||||||
90 | Westpac Banking Corp. 3.00% 12/09/15 | 92,196 | |||||||||
2,723,552 | |||||||||||
Information Technology | |||||||||||
245 | Westpac Banking Corp. 4.20% 02/27/15 | 260,028 | |||||||||
Total Australia | 3,858,992 | ||||||||||
Belgium (0.1%) | |||||||||||
Consumer Staples | |||||||||||
EUR | 200 | Ontex IV SA 7.50% 04/15/18 | 245,913 |
See Notes to Financial Statements
43
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Consumer, Non-Cyclical | |||||||||||
$ | 200 | Anheuser-Busch InBev Worldwide, Inc. 4.125% 01/15/15 | $ | 218,043 | |||||||
85 | Anheuser-Busch InBev Worldwide, Inc. 5.00% 04/15/20 | 98,958 | |||||||||
45 | Anheuser-Busch InBev Worldwide, Inc. 5.375% 11/15/14 | 50,359 | |||||||||
367,360 | |||||||||||
Total Belgium | 613,273 | ||||||||||
Brazil (0.3%) | |||||||||||
Basic Materials | |||||||||||
185 | Vale Overseas Ltd. 5.625% 09/15/19 | 207,494 | |||||||||
50 | Vale Overseas Ltd. 6.875% 11/10/39 | 59,491 | |||||||||
266,985 | |||||||||||
Energy | |||||||||||
330 | Petrobras International Finance Co. 5.75% 01/20/20 | 355,256 | |||||||||
Finance | |||||||||||
465 | Banco Bradesco SA (e) 4.125% 05/16/16 | 469,650 | |||||||||
290 | Banco Votorantim SA (e) 5.25% 02/11/16 | 295,075 | |||||||||
764,725 | |||||||||||
Total Brazil | 1,386,966 | ||||||||||
Canada (0.3%) | |||||||||||
Basic Materials | |||||||||||
220 | Teck Resources Ltd. 10.25% 05/15/16 | 253,003 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Finance | |||||||||||
$ | 615 | Bank of Montreal (e) 2.85% 06/09/15 | $ | 650,615 | |||||||
380 | Brookfield Asset Management, Inc. 5.80% 04/25/17 | 407,581 | |||||||||
1,058,196 | |||||||||||
Industrials | |||||||||||
65 | Bombardier, Inc. (e) 7.50% 03/15/18 | 73,125 | |||||||||
135 | Bombardier, Inc. (e) 7.75% 03/15/20 | 153,900 | |||||||||
227,025 | |||||||||||
Total Canada | 1,538,224 | ||||||||||
France (0.8%) | |||||||||||
Communications | |||||||||||
145 | Vivendi SA (e) 6.625% 04/04/18 | 163,205 | |||||||||
Consumer Staples | |||||||||||
EUR | 250 | Europcar Groupe SA 4.962% (g) 05/15/13 | 268,150 | ||||||||
Consumer, Cyclical | |||||||||||
333 | Cie Generale des Etablissements Michelin 0.00% 01/01/17 | 503,923 | |||||||||
Finance | |||||||||||
400 | Banque Federative du Credit Mutuel SA 3.00% 10/29/15 | 516,629 | |||||||||
$ | 455 | BNP Paribas SA 5.00% 01/15/21 | 456,323 | ||||||||
EUR | 300 | Credit Agricole SA 3.90% 04/19/21 | 318,692 | ||||||||
350 | Credit Agricole SA 5.875% 06/11/19 | 445,624 |
See Notes to Financial Statements
44
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 250 | Societe Generale SA 6.125% 08/20/18 | $ | 316,392 | |||||||
2,053,660 | |||||||||||
Utilities | |||||||||||
450 | RTE EDF Transport SA 5.125% 09/12/18 | 667,057 | |||||||||
Total France | 3,655,995 | ||||||||||
Germany (0.3%) | |||||||||||
Communications | |||||||||||
150 | Deutsche Telekom International Finance BV 8.75% 06/15/30 | 217,414 | |||||||||
Consumer, Cyclical | |||||||||||
45 | Daimler Finance North America LLC 8.50% 01/18/31 | 64,253 | |||||||||
Finance | |||||||||||
EUR | 400 | Deutsche Bank AG 5.00% 06/24/20 | 512,751 | ||||||||
300 | Kreditanstalt fuer Wiederaufbau 1.50% 07/30/14 | 439,309 | |||||||||
952,060 | |||||||||||
Health Care | |||||||||||
100 | Celesio Finance B.V. 3.75% 10/29/14 | 129,987 | |||||||||
Total Germany | 1,363,714 | ||||||||||
Israel (0.1%) | |||||||||||
Consumer, Non-Cyclical | |||||||||||
$ | 360 | Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 | 381,588 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Italy (0.7%) | |||||||||||
Communications | |||||||||||
EUR | 400 | Telecom Italia Finance SA 7.75% 01/24/33 | $ | 509,049 | |||||||
Finance | |||||||||||
500 | Finmeccanica Finance SA 8.125% 12/03/13 | 685,661 | |||||||||
400 | Intesa Sanpaolo SpA 4.125% 04/14/20 | 473,303 | |||||||||
$ | 100 | Intesa Sanpaolo SpA (e) 6.50% 02/24/21 | 92,443 | ||||||||
EUR | 500 | UniCredit SpA 4.375% 02/10/14 | 655,160 | ||||||||
300 | UniCredit SpA 5.75% 09/26/17 | 349,676 | |||||||||
2,256,243 | |||||||||||
Industrials | |||||||||||
200 | Wind Acquisition Finance SA 11.75% 07/15/17 | 240,053 | |||||||||
Utilities | |||||||||||
$ | 650 | Enel Finance International N.V. (e) 5.125% 10/07/19 | 595,513 | ||||||||
Total Italy | 3,600,858 | ||||||||||
Japan (0.1%) | |||||||||||
Finance | |||||||||||
470 | Sumitomo Mitsui Banking Corp. (e) 3.95% 01/12/22 | 482,489 |
See Notes to Financial Statements
45
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Luxembourg (0.1%) | |||||||||||
Basic Materials | |||||||||||
$ | 390 | ArcelorMittal 9.85% 06/01/19 | $ | 460,431 | |||||||
Mexico (0.1%) | |||||||||||
Finance | |||||||||||
625 | BBVA Bancomer SA (e) 4.50% 03/10/16 | 631,875 | |||||||||
Netherlands (0.4%) | |||||||||||
Basic Materials | |||||||||||
40 | LyondellBasell Industries N.V. (e) 6.00% 11/15/21 | 43,700 | |||||||||
Finance | |||||||||||
EUR | 200 | ABN Amro Bank N.V. 3.625% 10/06/17 | 262,816 | ||||||||
$ | 275 | ABN Amro Bank N.V. 4.25% 02/02/17 | 274,730 | ||||||||
335 | Aegon N.V. 4.625% 12/01/15 | 350,665 | |||||||||
EUR | 300 | Cooperatieve Centrale Raiffeisen- Boerenleenbank BA, Series G 3.75% 11/09/20 | 366,477 | ||||||||
$ | 600 | ING Bank N.V. (e) 3.90% 03/19/14 | 632,328 | ||||||||
1,887,016 | |||||||||||
Total Netherlands | 1,930,716 | ||||||||||
Russia (0.0%) | |||||||||||
Energy | |||||||||||
100 | Gazprom OAO Via Gaz Capital SA (e) 6.51% 03/07/22 | 106,000 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Spain (0.3%) | |||||||||||
Communications | |||||||||||
$ | 415 | Telefonica Europe BV 8.25% 09/15/30 | $ | 476,277 | |||||||
Finance | |||||||||||
EUR | 350 | Gas Natural Capital Markets SA 4.125% 01/26/18 | 439,367 | ||||||||
$ | 125 | Santander Holdings USA, Inc. 4.625% 04/19/16 | 122,184 | ||||||||
561,551 | |||||||||||
Utilities | |||||||||||
200 | Iberdrola Finance Ireland Ltd. (e) 5.00% 09/11/19 | 196,531 | |||||||||
Total Spain | 1,234,359 | ||||||||||
Sweden (0.2%) | |||||||||||
Diversified | |||||||||||
EUR | 150 | Industrivarden AB 1.875% 02/27/17 | 189,831 | ||||||||
Finance | |||||||||||
480 | Nordea Bank AB 4.00% 03/29/21 | 593,791 | |||||||||
Total Sweden | 783,622 | ||||||||||
Switzerland (0.1%) | |||||||||||
Finance | |||||||||||
$ | 175 | ABB Treasury Center USA, Inc. (e) 2.50% 06/15/16 | 174,380 | ||||||||
110 | Credit Suisse 5.40% 01/14/20 | 111,421 | |||||||||
90 | Credit Suisse 6.00% 02/15/18 | 94,464 | |||||||||
Total Switzerland | 380,265 |
See Notes to Financial Statements
46
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
United Arab Emirates (0.1%) | |||||||||||
Finance | |||||||||||
EUR | 400 | Aabar Investments PJSC 4.00% 05/27/16 | $ | 498,367 | |||||||
United Kingdom (1.3%) | |||||||||||
Communications | |||||||||||
$ | 265 | WPP Finance 2010 (e) 4.75% 11/21/21 | 272,750 | ||||||||
100 | WPP Finance UK 8.00% 09/15/14 | 112,773 | |||||||||
385,523 | |||||||||||
Consumer, Non-Cyclical | |||||||||||
155 | BAT International Finance PLC (e) 9.50% 11/15/18 | 211,766 | |||||||||
EUR | 350 | Imperial Tobacco Finance PLC 8.375% 02/17/16 | 556,405 | ||||||||
768,171 | |||||||||||
Finance | |||||||||||
650 | Abbey National Treasury Services PLC 3.625% 10/14/16 | 866,275 | |||||||||
$ | 265 | Abbey National Treasury Services PLC (e) 3.875% 11/10/14 | 259,842 | ||||||||
EUR | 200 | Barclays Bank PLC 6.00% 01/23/18 | 256,575 | ||||||||
250 | Barclays Bank PLC 6.00% 01/14/21 | 307,947 | |||||||||
300 | FCE Bank PLC 4.75% 01/19/15 | 402,229 | |||||||||
$ | 385 | HBOS PLC, Series G (e) 6.75% 05/21/18 | 339,138 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
EUR | 400 | HSBC Holdings PLC 6.00% 06/10/19 | $ | 572,370 | |||||||
300 | Lloyds TSB Bank PLC 6.375% 06/17/16 | 424,762 | |||||||||
$ | 150 | Lloyds TSB Bank PLC, MTN (e) 5.80% 01/13/20 | 153,062 | ||||||||
525 | Nationwide Building Society (e) 6.25% 02/25/20 | 537,730 | |||||||||
EUR | 150 | Royal Bank of Scotland PLC (The) 5.50% 03/23/20 | 197,417 | ||||||||
$ | 160 | Standard Chartered PLC (e) 3.85% 04/27/15 | 165,540 | ||||||||
4,482,887 | |||||||||||
Industrials | |||||||||||
EUR | 300 | BAA Funding Ltd. 4.60% 02/15/18 | 408,770 | ||||||||
Information Technology | |||||||||||
250 | Lloyds TSB Bank PLC 6.50% 03/24/20 | 280,351 | |||||||||
Total United Kingdom | 6,325,702 | ||||||||||
United States (4.4%) | |||||||||||
Basic Materials | |||||||||||
$ | 255 | Barrick North America Finance LLC 4.40% 05/30/21 | 281,245 | ||||||||
200 | Georgia-Pacific LLC 7.75% 11/15/29 | 257,730 | |||||||||
275 | Georgia-Pacific LLC 8.875% 05/15/31 | 382,997 | |||||||||
921,972 |
See Notes to Financial Statements
47
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Communications | |||||||||||
$ | 210 | AT&T, Inc. 6.30% 01/15/38 | $ | 256,991 | |||||||
70 | AT&T, Inc. 6.55% 02/15/39 | 88,628 | |||||||||
205 | CBS Corp. 8.875% 05/15/19 | 270,187 | |||||||||
40 | CenturyLink, Inc. 6.45% 06/15/21 | 42,213 | |||||||||
65 | CenturyLink, Inc., Series Q 6.15% 09/15/19 | 66,064 | |||||||||
170 | Comcast Corp. 5.15% 03/01/20 | 197,645 | |||||||||
105 | Comcast Corp. 5.70% 05/15/18 | 123,313 | |||||||||
50 | Comcast Corp. 6.45% 03/15/37 | 61,499 | |||||||||
95 | DirecTV Holdings LLC/ DirecTV Financing Co., Inc. 5.875% 10/01/19 | 108,608 | |||||||||
90 | DirecTV Holdings LLC/ DirecTV Financing Co., Inc. 7.625% 05/15/16 | 94,924 | |||||||||
55 | Frontier Communications Corp. 8.50% 04/15/20 | 54,725 | |||||||||
225 | NBC Universal Media LLC 4.375% 04/01/21 | 244,741 | |||||||||
135 | News America, Inc. 4.50% 02/15/21 | 147,025 | |||||||||
145 | Omnicom Group, Inc. 4.45% 08/15/20 | 153,886 | |||||||||
125 | Qwest Corp. 6.875% 09/15/33 | 125,125 | |||||||||
105 | Time Warner Cable, Inc. 6.75% 06/15/39 | 126,593 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 75 | Verizon Communications, Inc. 4.60% 04/01/21 | $ | 85,326 | |||||||
60 | Verizon Communications, Inc. 5.85% 09/15/35 | 71,166 | |||||||||
150 | Verizon Communications, Inc. 6.35% 04/01/19 | 186,764 | |||||||||
125 | Verizon Communications, Inc. 8.95% 03/01/39 | 202,198 | |||||||||
2,707,621 | |||||||||||
Consumer Staples | |||||||||||
235 | Philip Morris International, Inc. 5.65% 05/16/18 | 285,330 | |||||||||
Consumer, Cyclical | |||||||||||
400 | Chrysler Group LLC/ CG Co-Issuer, Inc. (e) 8.00% 06/15/19 | 386,000 | |||||||||
175 | Home Depot, Inc. 5.40% 09/15/40 | 209,278 | |||||||||
400 | Home Depot, Inc. 5.875% 12/16/36 | 500,247 | |||||||||
90 | JC Penney Co., Inc. 5.65% 06/01/20 | 90,675 | |||||||||
151 | JC Penney Corp., Inc. 6.375% 10/15/36 | 130,615 | |||||||||
1,316,815 | |||||||||||
Consumer, Non-Cyclical | |||||||||||
85 | Altria Group, Inc. 4.125% 09/11/15 | 93,043 | |||||||||
185 | Altria Group, Inc. 9.25% 08/06/19 | 252,226 | |||||||||
300 | Boston Scientific Corp. 6.00% 01/15/20 | 342,065 |
See Notes to Financial Statements
48
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 115 | Bunge Ltd. Finance Corp. 8.50% 06/15/19 | $ | 142,510 | |||||||
135 | ConAgra Foods, Inc. 8.25% 09/15/30 | 179,142 | |||||||||
484 | Gilead Sciences, Inc. 1.00% 05/01/14 | 587,455 | |||||||||
25 | Gilead Sciences, Inc. 5.65% 12/01/41 | 28,605 | |||||||||
230 | Life Technologies Corp. 6.00% 03/01/20 | 260,138 | |||||||||
265 | SABMiller Holdings, Inc. (e) 3.75% 01/15/22 | 276,437 | |||||||||
185 | UnitedHealth Group, Inc. 3.375% 11/15/21 | 194,971 | |||||||||
210 | UnitedHealth Group, Inc. 4.625% 11/15/41 | 223,656 | |||||||||
2,580,248 | |||||||||||
Energy | |||||||||||
125 | Kinder Morgan Energy Partners LP 5.95% 02/15/18 | 143,827 | |||||||||
275 | Marathon Petroleum Corp. 5.125% 03/01/21 | 292,765 | |||||||||
190 | Plains All American Pipeline LP/PAA Finance Corp. 6.70% 05/15/36 | 225,056 | |||||||||
190 | Plains All American Pipeline LP/PAA Finance Corp. 8.75% 05/01/19 | 245,162 | |||||||||
906,810 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Finance | |||||||||||
$ | 350 | Bank of America Corp., Series L 5.65% 05/01/18 | $ | 358,538 | |||||||
180 | Bear Stearns Cos. LLC (The) 6.40% 10/02/17 | 204,756 | |||||||||
305 | Bear Stearns Cos. LLC (The) 7.25% 02/01/18 | 365,162 | |||||||||
180 | BNP Paribas/BNP Paribas US Medium- Term Note Program LLC (e) 5.125% 01/15/15 | 174,832 | |||||||||
75 | Boston Properties LP 5.875% 10/15/19 | 86,769 | |||||||||
455 | Capital One Bank, USA NA 8.80% 07/15/19 | 551,047 | |||||||||
245 | Citigroup, Inc. (See Note 6) 6.125% 05/15/18 | 269,570 | |||||||||
720 | Citigroup, Inc. (See Note 6) 8.50% 05/22/19 | 880,956 | |||||||||
235 | Farmers Exchange Capital (e) 7.05% 07/15/28 | 258,345 | |||||||||
275 | General Electric Capital Corp. 5.30% 02/11/21 | 299,697 | |||||||||
465 | General Electric Capital Corp. 5.625% 05/01/18 | 533,842 | |||||||||
635 | General Electric Capital Corp., Series G 6.00% 08/07/19 | 736,374 |
See Notes to Financial Statements
49
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 275 | Genworth Financial, Inc. 7.20% 02/15/21 | $ | 265,113 | |||||||
775 | Goldman Sachs Group, Inc. (The) 6.15% 04/01/18 | 836,772 | |||||||||
255 | Goldman Sachs Group, Inc. (The) 6.75% 10/01/37 | 253,277 | |||||||||
135 | Harley-Davidson Funding Corp. (e) 6.80% 06/15/18 | 161,190 | |||||||||
250 | Jefferies Group, Inc. 3.875% 11/09/15 | 230,625 | |||||||||
75 | JPMorgan Chase & Co. 6.00% 01/15/18 | 85,138 | |||||||||
1,280 | Merrill Lynch & Co., Inc., MTN 6.875% 04/25/18 | 1,383,081 | |||||||||
85 | NASDAQ OMX Group, Inc. (The) 5.55% 01/15/20 | 89,263 | |||||||||
265 | Prudential Financial, Inc., MTN 4.75% 09/17/15 | 286,638 | |||||||||
150 | Prudential Financial, Inc., MTN 6.625% 12/01/37 | 175,770 | |||||||||
435 | SLM Corp., MTN 6.25% 01/25/16 | 444,406 | |||||||||
8,931,161 | |||||||||||
Industrials | |||||||||||
155 | Agilent Technologies, Inc. 5.50% 09/14/15 | 173,687 | |||||||||
375 | CRH America, Inc. 6.00% 09/30/16 | 410,131 | |||||||||
255 | L-3 Communications Corp. 4.75% 07/15/20 | 261,616 | |||||||||
845,434 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Technology | |||||||||||
$ | 410 | Hewlett-Packard Co. 4.65% 12/09/21 | $ | 441,925 | |||||||
731 | Intel Corp. 2.95% 12/15/35 | 825,116 | |||||||||
145 | KLA-Tencor Corp. 6.90% 05/01/18 | 171,660 | |||||||||
607 | Lam Research Corp. (e) 1.25% 05/15/18 | 619,899 | |||||||||
670 | Microsoft Corp. (e) 0.00% 06/15/13 | 698,475 | |||||||||
2,757,075 | |||||||||||
Utilities | |||||||||||
375 | PPL WEM Holdings PLC (e) 3.90% 05/01/16 | 393,135 | |||||||||
Total United States | 21,645,601 | ||||||||||
Total Corporate Bonds (Cost $49,678,015) | 50,879,037 | ||||||||||
Sovereign (14.8%) | |||||||||||
Australia (0.6%) | |||||||||||
AUD | 1,100 | Australia Government Bond 5.25% 03/15/19 | 1,292,879 | ||||||||
1,600 | Treasury Corp. of Victoria 5.75% 11/15/16 | 1,800,135 | |||||||||
Total Australia | 3,093,014 | ||||||||||
Bermuda (0.1%) | |||||||||||
$ | 240 | Bermuda Government International Bond (e) 5.603% 07/20/20 | 267,313 |
See Notes to Financial Statements
50
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Canada (1.3%) | |||||||||||
EUR | 300 | Canada Government International Bond 3.50% 01/13/20 | $ | 449,253 | |||||||
CAD | 4,150 | Canadian Government Bond 4.25% 06/01/18 | 4,828,271 | ||||||||
$ | 300 | Province of Ontario Canada 4.00% 10/07/19 | 336,372 | ||||||||
EUR | 600 | Province of Ontario Canada 4.00% 12/03/19 | 880,164 | ||||||||
Total Canada | 6,494,060 | ||||||||||
Denmark (0.1%) | |||||||||||
DKK | 3,300 | Denmark Government Bond 4.00% 11/15/19 | 690,814 | ||||||||
France (1.2%) | |||||||||||
EUR | 200 | France Government Bond OAT 3.25% 10/25/21 | 265,042 | ||||||||
1,000 | France Government Bond OAT 4.00% 04/25/18 | 1,434,337 | |||||||||
3,000 | French Treasury Note BTAN 3.00% 07/12/14 | 4,110,875 | |||||||||
Total France | 5,810,254 | ||||||||||
Germany (1.9%) | |||||||||||
$ | 2,200 | Bundesobligation 2.75% 04/08/16 | 3,135,255 | ||||||||
100 | Bundesrepublik Deutschland 2.25% 09/04/21 | 136,593 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 750 | Bundesrepublik Deutschland 3.50% 07/04/19 | $ | 1,129,451 | |||||||
75 | Bundesrepublik Deutschland 4.25% 07/04/17 | 115,536 | |||||||||
650 | Bundesrepublik Deutschland 4.25% 07/04/39 | 1,134,945 | |||||||||
2,050 | Bundesrepublik Deutschland 4.75% 07/04/34 | 3,676,760 | |||||||||
Total Germany | 9,328,540 | ||||||||||
Italy (0.8%) | |||||||||||
EUR | 850 | Italy Buoni Poliennali Del Tesoro 3.00% 06/15/15 | 1,074,704 | ||||||||
1,100 | Italy Buoni Poliennali Del Tesoro 4.50% 02/01/18 | 1,399,313 | |||||||||
800 | Italy Buoni Poliennali Del Tesoro 5.00% 08/01/39 | 855,444 | |||||||||
$ | 330 | Republic of Italy 6.875% 09/27/23 | 340,296 | ||||||||
Total Italy | 3,669,757 | ||||||||||
Japan (4.3%) | |||||||||||
JPY | 110,000 | Japan Finance Organization for Municipalities 1.90% 06/22/18 | 1,568,454 | ||||||||
140,000 | Japan Government Ten Year Bond 1.30% 12/20/13 | 1,877,045 | |||||||||
380,000 | Japan Government Ten Year Bond 1.40% 09/20/15 | 5,192,100 |
See Notes to Financial Statements
51
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
JPY | 290,000 | Japan Government Ten Year Bond 1.70% 06/20/18 | $ | 4,095,601 | |||||||
120,000 | Japan Government Ten Year Bond 1.90% 06/20/16 | 1,683,402 | |||||||||
505,000 | Japan Government Thirty Year Bond 1.70% 06/20/33 | 6,546,873 | |||||||||
Total Japan | 20,963,475 | ||||||||||
Korea, Republic of (0.2%) | |||||||||||
$ | 200 | Korea Development Bank 3.875% 05/04/17 | 202,997 | ||||||||
200 | Korea Development Bank 4.375% 08/10/15 | 208,972 | |||||||||
630 | Korea Finance Corp. 4.625% 11/16/21 | 629,241 | |||||||||
150 | Republic of Korea 7.125% 04/16/19 | 188,852 | |||||||||
Total Korea, Republic of | 1,230,062 | ||||||||||
Mexico (0.5%) | |||||||||||
MXN | 24,400 | Mexican Bonos 10.00% 12/05/24 | 2,507,653 | ||||||||
Netherlands (0.6%) | |||||||||||
EUR | 1,800 | Netherlands Government Bond 4.00% 07/15/19 | 2,711,449 | ||||||||
100 | Netherlands Government Bond 4.00% 01/15/37 | 164,498 | |||||||||
Total Netherlands | 2,875,947 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Norway (0.1%) | |||||||||||
NOK | 3,500 | Norway Government Bond 6.50% 05/15/13 | $ | 634,478 | |||||||
Poland (0.4%) | |||||||||||
PLN | 6,000 | Poland Government Bond 5.25% 10/25/17 | 1,866,244 | ||||||||
South Africa (0.1%) | |||||||||||
ZAR | 3,000 | South Africa Government Bond 7.25% 01/15/20 | 374,850 | ||||||||
Supernational (0.4%) | |||||||||||
JPY | 145,000 | European Investment Bank 2.15% 01/18/27 | 1,905,782 | ||||||||
Sweden (0.3%) | |||||||||||
SEK | 7,800 | Sweden Government Bond 4.25% 03/12/19 | 1,360,864 | ||||||||
United Kingdom (1.9%) | |||||||||||
GBP | 500 | United Kingdom Gilt 2.75% 01/22/15 | 841,437 | ||||||||
1,300 | United Kingdom Gilt 4.00% 09/07/16 | 2,340,505 | |||||||||
2,450 | United Kingdom Gilt 4.25% 06/07/32 | 4,726,365 | |||||||||
570 | United Kingdom Gilt 4.25% 09/07/39 | 1,108,786 | |||||||||
Total United Kingdom | 9,017,093 | ||||||||||
Total Sovereign (Cost $65,796,713) | 72,090,200 |
See Notes to Financial Statements
52
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Municipal Bonds (0.1%) | |||||||||||
$ | 145 | Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds 6.184% 01/01/34 | $ | 173,345 | |||||||
Municipal Electric Authority of Georgia | |||||||||||
160 | 6.637% 04/01/57 | 186,539 | |||||||||
295 | 6.655% 04/01/57 | 338,344 | |||||||||
Total Municipal Bonds (Cost $603,725) | 698,228 | ||||||||||
Agency Fixed Rate Mortgages (5.4%) | |||||||||||
Federal Home Loan Mortgage Corporation, February TBA: | |||||||||||
1,800 | (h) 3.00% 02/25/27 | 1,875,094 | |||||||||
1,805 | (h) 3.50% 02/25/42 | 1,872,405 | |||||||||
Gold Pools: | |||||||||||
883 | 4.00% 12/01/41 | 932,842 | |||||||||
957 | 6.00% 11/01/37 - 02/01/38 | 1,053,318 | |||||||||
308 | 6.50% 05/01/32 - 09/01/32 | 350,531 | |||||||||
Federal National Mortgage Association, Conventional Pools: | |||||||||||
3,013 | 4.00% 11/01/41 - 01/01/42 | 3,190,503 | |||||||||
3,257 | 4.50% 08/01/40 - 08/01/41 | 3,493,881 | |||||||||
2,599 | 5.00% 01/01/41 - 03/01/41 | 2,830,676 | |||||||||
2,528 | 5.50% 02/01/38 - 06/01/38 | 2,755,808 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 1,286 | 6.00% 03/01/37 - 10/01/38 | $ | 1,416,630 | |||||||
75 | 6.50% 12/01/29 | 86,343 | |||||||||
773 | 7.00% 12/01/17 - 02/01/31 | 903,139 | |||||||||
Government National Mortgage Association, February TBA: | |||||||||||
2,065 | (h) 4.00% 02/25/42 | 2,227,296 | |||||||||
Various Pools: | |||||||||||
2,676 | 4.50% 04/15/39 - 08/15/39 | 2,931,840 | |||||||||
302 | 5.50% 08/15/39 | 339,035 | |||||||||
Total Agency Fixed Rate Mortgages (Cost $25,905,207) | 26,259,341 | ||||||||||
Asset-Backed Securities (0.7%) | |||||||||||
59 | ARI Fleet Lease Trust (e) 1.735% (g) 08/15/18 | 59,191 | |||||||||
71 | Chesapeake Funding LLC (e) 2.285% (g) 12/15/20 | 71,411 | |||||||||
825 | CNH Equipment Trust 1.20% 05/16/16 | 831,817 | |||||||||
409 | CVS Pass-Through Trust 6.036% 12/10/28 | 434,799 | |||||||||
525 | Ford Credit Floorplan Master Owner Trust (e) 1.985% (g) 02/15/17 | 542,227 | |||||||||
430 | FUEL Trust (e) 4.207% 04/15/16 | 441,997 |
See Notes to Financial Statements
53
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 325 | GE Dealer Floorplan Master Note Trust (e) 1.84% (g) 10/20/14 | $ | 327,574 | |||||||
425 | SLM Student Loan Trust (e) 4.37% 04/17/28 | 438,689 | |||||||||
Total Asset-Backed Securities (Cost $3,070,533) | 3,147,705 | ||||||||||
U.S. Treasury Securities (3.8%) | |||||||||||
U.S. Treasury Bonds | |||||||||||
1,960 | 3.50% 02/15/39 | 2,191,525 | |||||||||
2,900 | 6.875% 08/15/25 | 4,478,235 | |||||||||
U.S. Treasury Notes | |||||||||||
7,720 | 3.125% 05/15/19 | 8,715,764 | |||||||||
2,700 | 3.625% 02/15/21 | 3,154,572 | |||||||||
Total U.S. Treasury Securities (Cost $16,216,847) | 18,540,096 | ||||||||||
Commercial Mortgage Backed Securities (0.9%) | |||||||||||
United States | |||||||||||
500 | Banc of America Merrill Lynch Commercial Mortgage, Inc. 5.817% (g) 04/10/49 | 485,616 | |||||||||
440 | Bear Stearns Commercial Mortgage Securities 5.363% 02/11/44 | 353,605 | |||||||||
Greenwich Capital Commercial Funding Corp. | |||||||||||
410 | 5.475% 03/10/39 | 400,281 | |||||||||
1,315 | 5.867% (g) 12/10/49 | 1,226,588 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | |||||||||||
$ | 700 | 4.171% 08/15/46 | $ | 773,049 | |||||||
425 | 6.256% (g) 02/15/51 | 409,036 | |||||||||
510 | LB-UBS Commercial Mortgage Trust 6.364% (g) 09/15/45 | 512,266 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $4,279,759) | 4,160,441 | ||||||||||
Short-Term Investments (2.3%) | |||||||||||
U.S. Treasury Securities (0.5%) | |||||||||||
U.S. Treasury Bills | |||||||||||
335 | (i)(j) 0.005% 03/22/12 | 334,998 | |||||||||
130 | (i)(j) 0.013% 03/22/12 | 129,998 | |||||||||
320 | (i)(j) 0.015% 03/22/12 | 319,993 | |||||||||
1,325 | (i)(j) 0.018% 03/22/12 | 1,324,968 | |||||||||
500 | (i)(j) 0.02% 03/22/12 | 499,986 | |||||||||
Total U.S. Treasury Securities (Cost $2,609,943) | 2,609,943 |
See Notes to Financial Statements
54
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Investment Company (1.8%) | |||||||||||
8,499 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $8,498,980) | $ | 8,498,980 | ||||||||
Total Short-Term Investments (Cost $11,108,923) | 11,108,923 | ||||||||||
Total Investments (Cost $449,482,813) (k) | 97.0 | % | 471,746,872 | ||||||||
Other Assets in Excess of Liabilities | 3.0 | 14,549,669 | |||||||||
Net Assets | 100.0 | % | $ | 486,296,541 |
ADR American Depositary Receipt.
BTAN Bons du Trésor à Intérets Annuels (Treasury Bill Annual Interest).
CVA Certificaten Van Aandelen.
GDR Global Depositary Receipt.
MTN Medium Term Note.
OAT Obligations Assimilables du Trésor (French Treasury Obligation).
PPS Price Protected Shares
SDR Swedish Depositary Receipt.
SPDR Standard & Poor's Depository Receipt.
TBA To Be Announced.
(a) Non-income producing security.
(b) Comprised of securities in separate entities that are traded as a single stapled security.
(c) Consists of one or more classes of securities traded together as a unit; stocks with attached warrants.
(d) Security trades on the Hong Kong exchange.
(e) 144A security - Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(f) Security is linked to the Dow Jones UBS Commodities Index Total Return. The index is currently comprised of futures contracts on nineteen physical commodities traded on U.S. exchanges, with the exception of aluminum, nickel, and zinc, which trade on the London Metal Exchange.
(g) 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 January 31, 2012.
(h) Security is subject to delayed delivery.
(i) Rate shown is the yield to maturity at January 31, 2012.
(j) A portion of this security has been physically segregated in connection with open swap agreements.
(k) 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.
See Notes to Financial Statements
55
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
Foreign Currency Exchange Contracts Open at January 31, 2012:
COUNTERPARTY | CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Bank of America NA | CAD | 5,824,361 | $ | 5,739,243 | 02/16/12 | $ | (67,428 | ) | |||||||||||
Bank of America NA | MYR | 1,252,307 | $ | 399,040 | 02/16/12 | (12,258 | ) | ||||||||||||
Credit Suisse London Branch | HUF | 572,133,553 | $ | 2,338,681 | 02/16/12 | (200,063 | ) | ||||||||||||
Credit Suisse London Branch | $ | 2,644,433 | HUF | 596,240,342 | 02/16/12 | 1,280 | |||||||||||||
Deutsche Bank AG London | AUD | 220,523 | $ | 228,475 | 02/16/12 | (5,275 | ) | ||||||||||||
Deutsche Bank AG London | EUR | 8,801,197 | $ | 11,211,405 | 02/16/12 | (301,295 | ) | ||||||||||||
Deutsche Bank AG London | EUR | 1,650,663 | $ | 2,156,113 | 02/16/12 | (3,092 | ) | ||||||||||||
Deutsche Bank AG London | JPY | 332,090,114 | $ | 4,324,557 | 02/16/12 | (33,086 | ) | ||||||||||||
Deutsche Bank AG London | JPY | 225,299,129 | $ | 2,951,453 | 02/16/12 | (4,893 | ) | ||||||||||||
Deutsche Bank AG London | $ | 2,604,036 | EUR | 1,999,106 | 02/16/12 | 10,962 | |||||||||||||
Deutsche Bank AG London | $ | 2,611,824 | EUR | 1,999,406 | 02/16/12 | 3,566 | |||||||||||||
Deutsche Bank AG London | $ | 2,585,825 | EUR | 2,004,406 | 02/16/12 | 36,106 | |||||||||||||
Deutsche Bank AG London | $ | 2,617,423 | EUR | 1,999,406 | 02/16/12 | (2,033 | ) | ||||||||||||
Deutsche Bank AG London | $ | 1,667,987 | INR | 86,785,383 | 02/16/12 | 81,098 | |||||||||||||
Goldman Sachs International | EUR | 1,833,843 | $ | 2,335,876 | 02/16/12 | (62,944 | ) | ||||||||||||
JPMorgan Chase Bank | NOK | 3,557,217 | $ | 589,407 | 02/16/12 | (16,567 | ) | ||||||||||||
JPMorgan Chase Bank | SEK | 10,764,967 | $ | 1,553,476 | 02/16/12 | (27,957 | ) | ||||||||||||
JPMorgan Chase Bank | $ | 1,700,927 | SEK | 11,595,559 | 02/16/12 | 2,525 | |||||||||||||
JPMorgan Chase Bank | $ | 197,534 | SGD | 253,744 | 02/16/12 | 4,193 | |||||||||||||
Royal Bank of Scotland | CAD | 3,965,199 | $ | 3,907,138 | 02/16/12 | (46,016 | ) | ||||||||||||
Royal Bank of Scotland | CZK | 40,926,796 | $ | 2,029,913 | 02/16/12 | (84,065 | ) | ||||||||||||
Royal Bank of Scotland | MXN | 20,469,198 | $ | 1,516,518 | 02/16/12 | (52,028 | ) | ||||||||||||
Royal Bank of Scotland | $ | 2,406,289 | CZK | 46,256,098 | 02/16/12 | (17,039 | ) | ||||||||||||
Royal Bank of Scotland | $ | 1,130,665 | ILS | 4,349,046 | 02/16/12 | 30,859 | |||||||||||||
Royal Bank of Scotland | $ | 619,209 | THB | 19,765,167 | 02/16/12 | 19,235 | |||||||||||||
State Street Bank and Trust Co. | $ | 4,927,678 | TWD | 147,165,113 | 02/16/12 | 47,231 | |||||||||||||
UBS AG | AUD | 314,208 | $ | 325,581 | 02/16/12 | (7,474 | ) | ||||||||||||
UBS AG | BRL | 647,459 | $ | 357,614 | 02/16/12 | (11,589 | ) | ||||||||||||
UBS AG | CAD | 4,131,688 | $ | 4,113,793 | 02/16/12 | (5,346 | ) | ||||||||||||
UBS AG | EUR | 1,842,270 | $ | 2,346,604 | 02/16/12 | (63,238 | ) | ||||||||||||
UBS AG | GBP | 4,215,313 | $ | 6,470,776 | 02/16/12 | (170,985 | ) | ||||||||||||
UBS AG | JPY | 249,335,205 | $ | 3,246,899 | 02/16/12 | (24,845 | ) | ||||||||||||
UBS AG | $ | 1,432,203 | AUD | 1,353,024 | 02/16/12 | 1,978 | |||||||||||||
UBS AG | $ | 9,316,321 | CAD | 9,454,491 | 02/16/12 | 109,454 | |||||||||||||
UBS AG | $ | 563,689 | CHF | 519,231 | 02/16/12 | 492 | |||||||||||||
UBS AG | $ | 1,584,411 | CHF | 1,503,663 | 02/16/12 | 49,426 | |||||||||||||
UBS AG | $ | 495,836 | GBP | 314,832 | 02/16/12 | 222 | |||||||||||||
UBS AG | $ | 2,199,839 | GBP | 1,419,486 | 02/16/12 | 36,742 | |||||||||||||
UBS AG | $ | 2,213,391 | GBP | 1,419,060 | 02/16/12 | 22,519 | |||||||||||||
UBS AG | $ | 2,219,666 | GBP | 1,419,060 | 02/16/12 | 16,244 | |||||||||||||
UBS AG | $ | 9,456,940 | HKD | 73,434,868 | 02/16/12 | 12,110 | |||||||||||||
UBS AG | $ | 2,074,661 | INR | 104,417,663 | 02/16/12 | 29,788 | |||||||||||||
UBS AG | $ | 2,787,178 | KRW | 3,225,322,092 | 02/16/12 | 80,720 | |||||||||||||
UBS AG | $ | 1,289,424 | MXN | 17,401,376 | 02/16/12 | 44,036 |
See Notes to Financial Statements
56
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
COUNTERPARTY | CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
UBS AG | $ | 315,132 | NZD | 394,565 | 02/16/12 | $ | 10,326 | ||||||||||||
UBS AG | $ | 2,584,639 | RUB | 82,909,275 | 02/16/12 | 147,769 | |||||||||||||
UBS AG | $ | 1,388,964 | SGD | 1,784,181 | 02/16/12 | 29,462 | |||||||||||||
UBS AG | $ | 613,014 | TRY | 1,139,592 | 02/16/12 | 26,005 | |||||||||||||
UBS AG | $ | 3,196,310 | ZAR | 25,895,301 | 02/16/12 | 107,649 | |||||||||||||
Goldman Sachs International | $ | 167,121 | CAD | 170,000 | 02/23/12 | 2,336 | |||||||||||||
Goldman Sachs International | $ | 4,237,782 | EUR | 3,295,000 | 02/23/12 | 72,409 | |||||||||||||
JPMorgan Chase Bank | AUD | 1,760,000 | $ | 1,820,386 | 02/23/12 | (43,718 | ) | ||||||||||||
JPMorgan Chase Bank | AUD | 566,301 | $ | 597,482 | 02/23/12 | (2,316 | ) | ||||||||||||
JPMorgan Chase Bank | MXN | 24,935,000 | $ | 1,848,817 | 02/23/12 | (60,793 | ) | ||||||||||||
JPMorgan Chase Bank | SEK | 6,400,000 | $ | 933,189 | 02/23/12 | (6,689 | ) | ||||||||||||
JPMorgan Chase Bank | $ | 1,841,744 | CAD | 1,871,580 | 02/23/12 | 23,851 | |||||||||||||
JPMorgan Chase Bank | $ | 948,577 | CAD | 950,000 | 02/23/12 | (1,615 | ) | ||||||||||||
JPMorgan Chase Bank | ZAR | 8,480,000 | $ | 1,046,784 | 02/23/12 | (34,030 | ) | ||||||||||||
UBS AG | AUD | 469,660 | $ | 484,736 | 02/23/12 | (12,704 | ) | ||||||||||||
UBS AG | GBP | 440,678 | $ | 690,798 | 02/23/12 | (3,508 | ) | ||||||||||||
UBS AG | PLN | 7,650,000 | $ | 2,228,177 | 02/23/12 | (137,263 | ) | ||||||||||||
UBS AG | $ | 1,679,939 | CLP | 843,850,000 | 02/23/12 | 32,362 | |||||||||||||
UBS AG | $ | 912,127 | GBP | 594,813 | 02/23/12 | 25,024 | |||||||||||||
UBS AG | $ | 17,416,316 | JPY | 1,337,607,874 | 02/23/12 | 136,906 | |||||||||||||
UBS AG | $ | 1,561,156 | KRW | 1,790,880,000 | 02/23/12 | 30,357 | |||||||||||||
UBS AG | $ | 954,575 | MYR | 2,900,000 | 02/23/12 | (2,588 | ) | ||||||||||||
UBS AG | $ | 522,413 | NOK | 3,142,000 | 02/23/12 | 12,680 | |||||||||||||
UBS AG | $ | 1,090,041 | SGD | 1,402,000 | 02/23/12 | 24,546 | |||||||||||||
UBS AG | $ | 423,529 | THB | 13,500,000 | 02/23/12 | 12,306 | |||||||||||||
UBS AG | ZAR | 2,855,000 | $ | 353,385 | 02/23/12 | (10,497 | ) | ||||||||||||
Net Unrealized Depreciation | $ | (200,463 | ) |
Futures Contracts Open at January 31, 2012:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
115 | Long | DAX Index, March 2012 | $ | 24,307,117 | $ | 1,238,806 | |||||||||||||
4 | Long | 10 yr. Japan Government Bond, March 2012 | 7,475,720 | 50,331 | |||||||||||||||
50 | Long | U.S. Treasury 30 yr. Bond, March 2012 | 7,271,875 | 861 | |||||||||||||||
99 | Long | Hang Seng China ENT Index, February 2012 | 7,202,901 | (57,439 | ) | ||||||||||||||
59 | Long | KOSPI 200 Index, March 2012 | 6,781,844 | 183,825 |
See Notes to Financial Statements
57
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
646 | Long | SGX CNX Nifty Index, February 2012 | $ | 6,757,160 | $ | 113,530 | |||||||||||||
75 | Long | U.S. Dollar Index, March 2012 | 5,956,275 | (115,275 | ) | ||||||||||||||
34 | Long | German Euro Bobl, March 2012 | 5,582,513 | 109,453 | |||||||||||||||
45 | Long | FTSE MIB Index, March 2012 | 4,655,089 | 1,817 | |||||||||||||||
170 | Long | MSCI Taiwan Index, February 2012 | 4,559,400 | 137,487 | |||||||||||||||
40 | Long | FTSE 100 Index, March 2012 | 3,556,263 | 151,280 | |||||||||||||||
78 | Long | FTSE/JSE top 40, March 2012 | 3,013,839 | 107,897 | |||||||||||||||
81 | Long | MEX BOLSA Index, March 2012 | 2,339,828 | 32,898 | |||||||||||||||
52 | Long | CAC 40 Index, February 2012 | 2,244,596 | 32,418 | |||||||||||||||
41 | Long | SGX MSCI Singapore Index, February 2012 | 2,173,015 | (1,957 | ) | ||||||||||||||
10 | Long | UK Long Gilt Bond, March 2012 | 1,846,806 | 35,170 | |||||||||||||||
13 | Long | IBEX 35 Index, February 2012 | 1,444,035 | (5,692 | ) | ||||||||||||||
8 | Long | Hang Seng Index, February 2012 | 1,049,871 | (3,507 | ) | ||||||||||||||
5 | Long | German Euro Schatz Futures, March 2012 | 721,687 | 588 | |||||||||||||||
14 | Long | E-mini MSCI Emerging Market Index, March 2012 | 713,440 | 68,610 | |||||||||||||||
4 | Long | TOPIX Index, March 2012 | 396,618 | 5,881 | |||||||||||||||
10 | Long | BOVESPA Index, February 2012 | 362,622 | 30,703 | |||||||||||||||
19 | Short | Euro Stoxx 50 Index, March 2012 | (600,981 | ) | (413 | ) | |||||||||||||
9 | Short | ASX SPI 200 Index, March 2012 | (1,008,043 | ) | (46,566 | ) | |||||||||||||
29 | Short | NIKKEI 225 Index, March 2012 | (1,672,456 | ) | (16,202 | ) |
See Notes to Financial Statements
58
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
14 | Short | U.S. Treasury Ultra Long Bond, March 2012 | $ | (2,239,562 | ) | $ | 4,229 | ||||||||||||
18 | Short | U.S. Treasury 2 yr. Note, March 2012 | (3,973,500 | ) | (1,204 | ) | |||||||||||||
33 | Short | U.S. Treasury 30 yr. Bond, March 2012 | (4,799,438 | ) | (49,500 | ) | |||||||||||||
280 | Short | S&P 500 E Mini Index, March 2012 | (18,314,800 | ) | (126,808 | ) | |||||||||||||
108 | Short | German Euro Bund, March 2012 | (19,723,062 | ) | (222,486 | ) | |||||||||||||
206 | Short | U.S. Treasury 5 yr. Note, March 2012 | (25,553,656 | ) | (212,875 | ) | |||||||||||||
226 | Short | U.S. Treasury 10 yr. Note, March 2012 | (29,888,500 | ) | (520,808 | ) | |||||||||||||
Net Unrealized Appreciation | $ | 925,052 |
Interest Rate Swap Agreements Open at January 31, 2012:
SWAP COUNTERPARTY | NOTIONAL AMOUNT (000) | FLOATING RATE INDEX | PAY/RECEIVE FLOATING RATE | FIXED RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||||
Bank of America | EUR | 9,270 | 6 Month EURIBOR | Pay | 4.26 | % | 08/18/26 | $ | 443,585 | ||||||||||||||||||
Bank of America | $ | 12,415 | 3 Month LIBOR | Receive | 4.35 | 08/18/26 | (465,106 | ) | |||||||||||||||||||
Bank of America | EUR | 11,705 | 6 Month EURIBOR | Receive | 3.61 | 08/18/31 | (427,918 | ) | |||||||||||||||||||
Bank of America | $ | 15,400 | 3 Month LIBOR | Pay | 4.15 | 08/18/31 | 480,161 | ||||||||||||||||||||
Barclays Bank PLC | EUR | 14,220 | 6 Month LIBOR | Receive | 1.52 | 01/27/15 | (44,746 | ) | |||||||||||||||||||
Barclays Bank PLC | 14,820 | 6 Month LIBOR | Pay | 2.62 | 01/26/17 | 54,536 | |||||||||||||||||||||
Barclays Capital | SEK | 271,024 | 3 Month STIBOR | Pay | 2.76 | 07/30/12 | 639,605 | ||||||||||||||||||||
Barclays Capital | 135,530 | 3 Month STIBOR | Pay | 2.30 | 09/12/12 | 114,071 | |||||||||||||||||||||
Barclays Capital | 317,510 | 3 Month STIBOR | Receive | 2.89 | 07/29/13 | (488,367 | ) | ||||||||||||||||||||
JPMorgan Chase Bank | EUR | 14,220 | 6 Month LIBOR | Receive | 1.48 | 01/27/15 | (38,234 | ) | |||||||||||||||||||
JPMorgan Chase Bank | 14,820 | 6 Month LIBOR | Pay | 2.60 | 01/27/17 | 50,520 | |||||||||||||||||||||
Net Unrealized Appreciation | $ | 318,107 |
See Notes to Financial Statements
59
Morgan Stanley Global Strategist Fund
Portfolio of Investments n January 31, 2012 (unaudited) continued
Total Return Swaps Contracts Open at January 31, 2012:
SWAP COUNTERPARTY | INDEX | NOTIONAL AMOUNT (000) | FLOATING RATE | PAY/RECEIVE TOTAL RETURN ON REFERENCED INDEX | MATURITY DATE | UNREALIZED APPRECIATION | |||||||||||||||||||||
Goldman Sachs International | DEDA Index - Euro Stoxx 50 Index | EUR | 5,677 | Zero Coupon | Receive | 12/26/13 | $ | 237,477 |
Zero Coupon Swap Agreements Open at January 31, 2012:
SWAP COUNTERPARTY | NOTIONAL AMOUNT (000) | FLOATING RATE INDEX | PAY/RECEIVE FLOATING RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Barclays Capital | $ | 2,645 | 3 Month LIBOR | Receive | 11/15/19 | $ | (1,100,698 | ) | |||||||||||||||
Barclays Capital | 3,134 | 3 Month LIBOR | Pay | 11/15/19 | 638,117 | ||||||||||||||||||
Net Unrealized Depreciation | $ | (462,581 | ) |
EURIBOR Euro Interbank Offered Rate.
LIBOR London Interbank Offered Rate.
STIBOR Stockholm Interbank Offered Rate.
Currency Abbreviations:
AUD Australian Dollar.
BRL Brazilian Real.
CAD Canadian Dollar.
CHF Swiss Franc.
CLP Chilean Peso.
CZK Czech Koruna.
DKK Danish Krone.
EUR Euro.
GBP British Pound.
HKD Hong Kong Dollar.
HUF Hungarian Forint.
ILS Israeli Shekel.
INR Indian Rupee.
JPY Japanese Yen.
KRW South Korean Won.
MXN Mexican New Peso.
MYR Malaysian Ringgit.
NOK Norwegian Krone.
NZD New Zealand Dollar.
PLN Polish Zloty.
RUB Russian Ruble.
SEK Swedish Krona.
SGD Singapore Dollar.
THB Thai Baht.
TRY Turkish Lira.
TWD Taiwan Dollar.
USD United States Dollar.
ZAR South African Rand.
See Notes to Financial Statements
60
Morgan Stanley Global Strategist Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2012 (unaudited)
Assets: | |||||||
Investments in securities, at value (cost $439,411,175) | $ | 461,440,972 | |||||
Investment in affiliate, at value (cost $10,071,638) | 10,305,900 | ||||||
Total investments in securities, at value (cost $449,482,813) | 471,746,872 | ||||||
Unrealized appreciation on open swap agreements | 2,658,072 | ||||||
Unrealized appreciation on open foreign currency exchange contracts | 1,334,774 | ||||||
Foreign currency (cost of $4,117,848) | 4,281,867 | ||||||
Receivable for: | |||||||
Variation margin | 10,201,579 | ||||||
Investments sold | 10,166,153 | ||||||
Interest | 1,864,414 | ||||||
Dividends | 319,819 | ||||||
Foreign withholding taxes reclaimed | 133,841 | ||||||
Shares of beneficial interest sold | 59,897 | ||||||
Interest and dividends from affiliates | 21,168 | ||||||
Prepaid expenses and other assets | 57,078 | ||||||
Total Assets | 502,845,534 | ||||||
Liabilities: | |||||||
Unrealized depreciation on open swap agreements | 2,565,069 | ||||||
Unrealized depreciation on open foreign currency exchange contracts | 1,535,237 | ||||||
Payable for: | |||||||
Investments purchased | 9,702,501 | ||||||
Shares of beneficial interest redeemed | 1,309,393 | ||||||
Swap agreements termination | 715,249 | ||||||
Investment advisory fee | 176,674 | ||||||
Transfer agent fee | 142,783 | ||||||
Distribution fee | 141,129 | ||||||
Administration fee | 33,652 | ||||||
Accrued expenses and other payables | 227,306 | ||||||
Total Liabilities | 16,548,993 | ||||||
Net Assets | $ | 486,296,541 | |||||
Composition of Net Assets: | |||||||
Paid-in-capital | $ | 468,568,300 | |||||
Net unrealized appreciation | 23,201,213 | ||||||
Accumulated undistributed net investment income | 3,017,763 | ||||||
Accumulated undistributed net realized loss | (8,490,735 | ) | |||||
Net Assets | $ | 486,296,541 | |||||
Class A Shares: | |||||||
Net Assets | $ | 399,440,973 | |||||
Shares Outstanding (unlimited shares authorized, $0.01 par value) | 26,591,553 | ||||||
Net Asset Value Per Share | $ | 15.02 | |||||
Maximum Offering Price Per Share, (net asset value plus 5.54% of net asset value) | $ | 15.85 | |||||
Class B Shares: | |||||||
Net Assets | $ | 23,747,318 | |||||
Shares Outstanding (unlimited shares authorized, $0.01 par value) | 1,568,139 | ||||||
Net Asset Value Per Share | $ | 15.14 | |||||
Class C Shares: | |||||||
Net Assets | $ | 38,747,264 | |||||
Shares Outstanding (unlimited shares authorized, $0.01 par value) | 2,601,463 | ||||||
Net Asset Value Per Share | $ | 14.89 | |||||
Class I Shares: | |||||||
Net Assets | $ | 24,360,986 | |||||
Shares Outstanding (unlimited shares authorized, $0.01 par value) | 1,617,531 | ||||||
Net Asset Value Per Share | $ | 15.06 |
See Notes to Financial Statements
61
Morgan Stanley Global Strategist Fund
Financial Statements continued
Statement of Operations
For the six months ended January 31, 2012 (unaudited)
Net Investment Income: Income | |||||||
Interest | $ | 3,281,174 | |||||
Dividends (net of $121,397 foreign withholding tax) | 3,268,478 | ||||||
Interest and dividends from affiliates (Note 6) | 79,780 | ||||||
Total Income | 6,629,432 | ||||||
Expenses | |||||||
Investment advisory fee (Note 4) | 1,047,168 | ||||||
Distribution fee (Class A shares) (Note 5) | 510,469 | ||||||
Distribution fee (Class B shares) (Note 5) | 138,183 | ||||||
Distribution fee (Class C shares) (Note 5) | 194,843 | ||||||
Transfer agent fees and expenses | 301,968 | ||||||
Administration fee (Note 4) | 199,461 | ||||||
Custodian fees | 81,916 | ||||||
Shareholder reports and notices | 77,715 | ||||||
Professional fees | 50,011 | ||||||
Registration fees | 29,535 | ||||||
Trustees' fees and expenses | 8,547 | ||||||
Other | 65,274 | ||||||
Total Expenses | 2,705,090 | ||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 6) | (23,004 | ) | |||||
Net Expenses | 2,682,086 | ||||||
Net Investment Income | 3,947,346 | ||||||
Realized and Unrealized Gain (Loss): Realized Gain (Loss) on: | |||||||
Investments | 5,382,195 | ||||||
Investments in affiliates (Note 6) | 137,011 | ||||||
Futures contracts | (3,268,357 | ) | |||||
Swap agreements | (4,297,918 | ) | |||||
Foreign currency exchange contracts | (12,480 | ) | |||||
Foreign currency translation | (455,491 | ) | |||||
Net Realized Loss | (2,515,040 | ) | |||||
Change in Unrealized Appreciation/Depreciation on: | |||||||
Investments | (21,101,178 | ) | |||||
Investments in affiliates (Note 6) | 76,545 | ||||||
Futures contracts | 2,041,695 | ||||||
Swap agreements | 805,866 | ||||||
Foreign currency exchange contracts | (953,871 | ) | |||||
Foreign currency translation | (39,877 | ) | |||||
Net Change in Unrealized Appreciation/Depreciation | (19,170,820 | ) | |||||
Net Loss | (21,685,860 | ) | |||||
Net Decrease | $ | (17,738,514 | ) |
See Notes to Financial Statements
62
Morgan Stanley Global Strategist Fund
Financial Statements continued
Statements of Changes in Net Assets
FOR THE SIX MONTHS ENDED JANUARY 31, 2012 | FOR THE YEAR ENDED JULY 31, 2011 | ||||||||||
(unaudited) | |||||||||||
Increase (Decrease) in Net Assets: Operations: | |||||||||||
Net investment income | $ | 3,947,346 | $ | 8,102,501 | |||||||
Net realized gain (loss) | (2,515,040 | ) | 40,231,561 | ||||||||
Net change in unrealized appreciation/depreciation | (19,170,820 | ) | 24,941,498 | ||||||||
Net Increase (Decrease) | (17,738,514 | ) | 73,275,560 | ||||||||
Dividends and Distributions to Shareholders from: | |||||||||||
Net investment income | |||||||||||
Class A shares | (10,073,583 | ) | (3,087,669 | ) | |||||||
Class B shares | (442,186 | ) | (116,860 | ) | |||||||
Class C shares | (787,188 | ) | (127,307 | ) | |||||||
Class I shares | (606,586 | ) | (268,166 | ) | |||||||
Net realized gain | |||||||||||
Class A shares | (19,684,755 | ) | (67,021,038 | ) | |||||||
Class B shares | (1,265,971 | ) | (7,180,925 | ) | |||||||
Class C shares | (1,912,103 | ) | (6,220,483 | ) | |||||||
Class I shares | (1,109,905 | ) | (4,887,059 | ) | |||||||
Total Dividends and Distributions | (35,882,277 | ) | (88,909,507 | ) | |||||||
Net decrease from transactions in shares of beneficial interest | (22,316,735 | ) | (7,101,105 | ) | |||||||
Net Decrease | (75,937,526 | ) | (22,735,052 | ) | |||||||
Net Assets: | |||||||||||
Beginning of period | 562,234,067 | 584,969,119 | |||||||||
End of Period (Including accumulated undistributed net investment income of $3,017,763 and $10,979,960, respectively) | $ | 486,296,541 | $ | 562,234,067 |
See Notes to Financial Statements
63
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited)
1. Organization and Accounting Policies
Morgan Stanley Global Strategist Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a diversified, open-end management investment company. The Fund's investment objective is to maximize the total return on its investments. The Fund was organized as a Massachusetts business trust on August 5, 1988 and commenced operations on October 31, 1988. On July 28, 1997, the Fund converted to a multiple class share structure.
The Fund offers Class A shares, Class B shares, Class C shares and Class I shares. The four classes are substantially the same except that most Class A shares are subject to a sales charge imposed at the time of purchase and some Class A shares, and most Class B shares and Class C shares are subject to a contingent deferred sales charge imposed on shares redeemed within eighteen months, six years and one year, respectively. Class I shares are not subject to a sales charge. Additionally, Class A shares, Class B shares and Class C shares incur distribution expenses.
The following is a summary of significant accounting policies:
A. Valuation of Investments — (1) An equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange or other domestic exchange is valued at its last sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (3) all other domestic securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and ask price. In cases where a security is traded on more than one domestic exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) commodity-linked notes are marked-to-market daily based upon quotations from market makers; (7) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly owned subsidiary of Morgan Stanley, determines that the latest sale price, the bid price or the mean between the last reported bid and ask price do not reflect a security's fair value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated
64
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund's Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees of the Fund; (8) certain portfolio securities may be valued by an outside pricing service approved by the Fund's Trustees. The prices provided by a pricing service take into account broker dealer market price quotations for trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific securities; (9) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day; and (10) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates fair value.
B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date. Discounts are accreted and premiums are amortized over the life of the respective securities and are included in interest income. Interest income is accrued daily as earned.
C. Multiple Class Allocations — Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class.
D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, other assets and liabilities and foreign currency exchange contracts are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the exchange rates prevailing on the respective dates of such transactions. The resultant exchange gains and losses are recorded as realized and unrealized gains/losses on foreign currency exchange contracts and foreign currency translations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains/losses included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of the securities held.
E. Dividends and Distributions to Shareholders — Dividends and distributions to shareholders are recorded on the ex-dividend date.
65
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
F. When-Issued/Delayed Delivery Securities — The Fund may purchase or 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 Fund on such securities prior to delivery date. Payment and delivery for when-issued and delayed delivery securities can take place up to 120 days after the date of the transaction. When the Fund 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 Fund'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 Fund.
G. Structured Investments — The Fund may invest a portion of its assets in structured investments. A structured investment is a derivative security designed to offer a return linked to a particular underlying security, currency or market. Structured investments may come in various forms including notes, warrants and options to purchase securities. The Fund will typically use structured investments to gain exposure to a permitted underlying security, currency or market when direct access to a market is limited or inefficient from a tax or cost standpoint.
H. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles in the United States ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
I. 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.
2. Fair Valuation Measurements
Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("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
66
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
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.
The following is a summary of the inputs used to value the Fund's investments as of January 31, 2012.
INVESTMENT TYPE | LEVEL 1 UNADJUSTED QUOTED PRICES | LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | TOTAL | |||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 3,469,833 | — | — | $ | 3,469,833 | |||||||||||||
Air Freight & Logistics | 843,003 | — | — | 843,003 | |||||||||||||||
Airlines | 96,419 | — | — | 96,419 | |||||||||||||||
Auto Components | 2,760,180 | — | — | 2,760,180 | |||||||||||||||
Automobiles | 4,313,923 | — | — | 4,313,923 | |||||||||||||||
Beverages | 3,860,179 | — | — | 3,860,179 | |||||||||||||||
Biotechnology | 1,385,350 | — | — | 1,385,350 | |||||||||||||||
Building Products | 1,069,749 | — | — | 1,069,749 | |||||||||||||||
Capital Markets | 3,824,153 | — | — | 3,824,153 | |||||||||||||||
Chemicals | 7,361,622 | — | — | 7,361,622 | |||||||||||||||
Commercial Banks | 20,814,001 | — | — | 20,814,001 | |||||||||||||||
Commercial Services & Supplies | 1,261,796 | — | — | 1,261,796 | |||||||||||||||
Communications Equipment | 3,530,605 | — | — | 3,530,605 |
67
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
INVESTMENT TYPE | LEVEL 1 UNADJUSTED QUOTED PRICES | LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | TOTAL | |||||||||||||||
Computers & Peripherals | $ | 5,729,671 | — | — | $ | 5,729,671 | |||||||||||||
Construction & Engineering | 2,227,768 | — | — | 2,227,768 | |||||||||||||||
Construction Materials | 356,259 | — | — | 356,259 | |||||||||||||||
Consumer Finance | 506,439 | — | — | 506,439 | |||||||||||||||
Containers & Packaging | 167,699 | — | — | 167,699 | |||||||||||||||
Distributors | 87,476 | — | — | 87,476 | |||||||||||||||
Diversified Consumer Services | 84,917 | — | — | 84,917 | |||||||||||||||
Diversified Financial Services | 5,899,472 | — | — | 5,899,472 | |||||||||||||||
Diversified Telecommunication Services | 6,833,309 | — | — | 6,833,309 | |||||||||||||||
Electric Utilities | 4,861,264 | — | — | 4,861,264 | |||||||||||||||
Electrical Equipment | 2,066,365 | — | — | 2,066,365 | |||||||||||||||
Electronic Equipment, Instruments & Components | 2,272,395 | — | — | 2,272,395 | |||||||||||||||
Energy Equipment & Services | 2,654,296 | — | — | 2,654,296 | |||||||||||||||
Food & Staples Retailing | 6,302,521 | — | — | 6,302,521 | |||||||||||||||
Food Products | 6,807,085 | — | — | 6,807,085 | |||||||||||||||
Gas Utilities | 801,503 | — | — | 801,503 | |||||||||||||||
Health Care Equipment & Supplies | 2,321,996 | — | — | 2,321,996 | |||||||||||||||
Health Care Providers & Services | 5,354,709 | — | — | 5,354,709 | |||||||||||||||
Health Care Technology | 57,602 | — | — | 57,602 | |||||||||||||||
Hotels, Restaurants & Leisure | 4,639,605 | — | — | 4,639,605 | |||||||||||||||
Household Durables | 4,933,365 | — | — | 4,933,365 | |||||||||||||||
Household Products | 2,859,991 | — | — | 2,859,991 | |||||||||||||||
Independent Power Producers & Energy Traders | 597,135 | — | — | 597,135 | |||||||||||||||
Industrial Conglomerates | 4,590,676 | — | — | 4,590,676 | |||||||||||||||
Information Technology Services | 3,854,469 | — | — | 3,854,469 | |||||||||||||||
Insurance | 10,127,882 | — | — | 10,127,882 | |||||||||||||||
Internet & Catalog Retail | 611,309 | — | — | 611,309 | |||||||||||||||
Internet Software & Services | 1,704,776 | — | — | 1,704,776 | |||||||||||||||
Leisure Equipment & Products | 143,616 | — | — | 143,616 | |||||||||||||||
Life Sciences Tools & Services | 423,708 | — | — | 423,708 | |||||||||||||||
Machinery | 5,395,471 | — | — | 5,395,471 | |||||||||||||||
Marine | 347,559 | — | — | 347,559 | |||||||||||||||
Media | 5,434,509 | — | — | 5,434,509 | |||||||||||||||
Metals & Mining | 14,400,636 | — | — | 14,400,636 | |||||||||||||||
Multi-Utilities | 3,476,592 | — | — | 3,476,592 | |||||||||||||||
Multiline Retail | 693,166 | — | — | 693,166 | |||||||||||||||
Office Electronics | 755,875 | — | — | 755,875 | |||||||||||||||
Oil, Gas & Consumable Fuels | 27,556,962 | — | — | 27,556,962 | |||||||||||||||
Paper & Forest Products | 1,185,780 | — | — | 1,185,780 |
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INVESTMENT TYPE | LEVEL 1 UNADJUSTED QUOTED PRICES | LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | TOTAL | |||||||||||||||
Personal Products | $ | 1,004,229 | — | — | $ | 1,004,229 | |||||||||||||
Pharmaceuticals | 13,500,950 | — | — | 13,500,950 | |||||||||||||||
Professional Services | 840,118 | — | — | 840,118 | |||||||||||||||
Real Estate Investment Trusts (REITs) | 4,034,825 | — | — | 4,034,825 | |||||||||||||||
Real Estate Management & Development | 2,223,511 | — | — | 2,223,511 | |||||||||||||||
Road & Rail | 3,934,343 | — | — | 3,934,343 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 3,174,582 | — | — | 3,174,582 | |||||||||||||||
Software | 5,118,634 | — | — | 5,118,634 | |||||||||||||||
Specialty Retail | 4,008,752 | — | — | 4,008,752 | |||||||||||||||
Textiles, Apparel & Luxury Goods | 2,419,286 | — | — | 2,419,286 | |||||||||||||||
Thrifts & Mortgage Finance | 60,912 | — | — | 60,912 | |||||||||||||||
Tobacco | 4,763,411 | — | — | 4,763,411 | |||||||||||||||
Trading Companies & Distributors | 1,901,423 | — | — | 1,901,423 | |||||||||||||||
Transportation Infrastructure | 502,174 | — | — | 502,174 | |||||||||||||||
Wireless Telecommunication Services | 3,306,880 | — | — | 3,306,880 | |||||||||||||||
Total Common Stocks | 254,510,671 | — | — | 254,510,671 | |||||||||||||||
Commodity Linked Security | — | $ | 24,366,490 | — | 24,366,490 | ||||||||||||||
Investment Companies | 5,985,740 | — | — | 5,985,740 | |||||||||||||||
Fixed Income Securities | |||||||||||||||||||
Agency Fixed Rate Mortgages | — | 26,259,341 | — | 26,259,341 | |||||||||||||||
Asset-Backed Securities | — | 3,147,705 | — | 3,147,705 | |||||||||||||||
Commercial Mortgage Backed Securities | — | 4,160,441 | — | 4,160,441 | |||||||||||||||
Corporate Bonds | — | 50,879,037 | — | 50,879,037 | |||||||||||||||
Municipal Bonds | — | 698,228 | — | 698,228 | |||||||||||||||
Sovereign | — | 72,090,200 | — | 72,090,200 | |||||||||||||||
U.S. Treasury Securities | — | 18,540,096 | — | 18,540,096 | |||||||||||||||
Total Fixed Income Securities | — | 175,775,048 | — | 175,775,048 | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
U.S. Treasury Securities | — | 2,609,943 | — | 2,609,943 | |||||||||||||||
Investment Company | 8,498,980 | — | — | 8,498,980 | |||||||||||||||
Total Short-Term Investments | 8,498,980 | 2,609,943 | — | 11,108,923 | |||||||||||||||
Foreign Currency Exchange Contracts | — | 1,334,774 | — | 1,334,774 | |||||||||||||||
Futures Contracts | 2,305,784 | — | — | 2,305,784 | |||||||||||||||
Interest Rate Swap Agreements | — | 1,782,478 | — | 1,782,478 | |||||||||||||||
Total Return Swap Agreements | — | 237,477 | — | 237,477 | |||||||||||||||
Zero Coupon Swap Agreements | — | 638,117 | — | 638,117 | |||||||||||||||
Total Assets | 271,301,175 | 206,744,327 | — | 478,045,502 |
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INVESTMENT TYPE | LEVEL 1 UNADJUSTED QUOTED PRICES | LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | TOTAL | |||||||||||||||
Liabilities: | |||||||||||||||||||
Foreign Currency Exchange Contracts | — | $ | (1,535,237 | ) | — | $ | (1,535,237 | ) | |||||||||||
Futures Contracts | $ | (1,380,732 | ) | — | — | (1,380,732 | ) | ||||||||||||
Interest Rate Swap Agreements | — | (1,464,371 | ) | — | (1,464,371 | ) | |||||||||||||
Zero Coupon Swap Agreements | — | (1,100,698 | ) | — | (1,100,698 | ) | |||||||||||||
Total Liabilities | (1,380,732 | ) | (4,100,306 | ) | — | (5,481,038 | ) | ||||||||||||
Total | $ | 269,920,443 | $ | 202,644,021 | — | $ | 472,564,464 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of January 31, 2012, securities with a total value of $99,648,019 transferred from Level 2 to Level 1. At July 31, 2011, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification.
3. Derivatives
The Fund uses 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 the Fund'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 Fund 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 Fund to be more volatile
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than if the Fund had not been leveraged. Although the Adviser seeks to use derivatives to further the Fund's 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 the Fund used during the period and their associated risks:
Foreign Currency Exchange Contracts — In connection with its investments in foreign securities, the Fund 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 the Fund's currency risks involves the risk of mismatching the Fund'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 the Fund's securities are not denominated. Unanticipated changes in currency prices may result in poorer overall performance for the Fund than if it had not entered into such contracts. A currency contract is marked-to-market daily and the change in market value is recorded by the Fund as unrealized gain or (loss). The Fund 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.
Futures — A futures contract is a standardized agreement between two parties to buy or sell a specific quantity of an underlying instrument at a specific price at a specific future time. The value of a futures contract tends to increase and decrease in tandem with the value of the underlying instrument. Futures contracts are bilateral agreements, with both the purchaser and the seller equally obligated to complete the transaction. Depending on the terms of the particular contract, futures contracts are settled through either physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. During the period the futures contract is open, payments are received from or made to the broker based upon changes in the value of the contract (the variation margin). A decision as to whether, when and how to use futures involves the exercise of skill and judgment and even a well conceived futures transaction may be unsuccessful because of market behavior or unexpected events. In addition to the derivatives risks discussed above, the prices of futures can be highly volatile, using futures can lower total return, and the potential loss from futures can exceed the Fund's initial investment in such contracts.
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Swaps — A swap agreement is an agreement between two parties pursuant to which the parties exchange payments at specified dates on the basis of a specified notional amount, with the payments calculated by reference to specified securities, indexes, reference rates, currencies or other instruments. Most swap agreements provide that when the period payment dates for both parties are the same, the payments are made on a net basis (i.e., the two payment streams are netted out, with only the net amount paid by one party to the other). The Fund'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. Swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. Therefore, swaps are subject to credit risk or the risk of default or non-performance by the counterparty. Swaps could result in losses if interest rate or foreign currency exchange rates or credit quality changes are not correctly anticipated by the Fund or if the reference index, security or investments do not perform as expected.
When the Fund has an unrealized loss on a swap agreement, the Fund 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. If applicable, cash collateral is included with "Due from (to) broker" on the Statement of Assets and Liabilities.
FASB ASC 815, Derivatives and Hedging: Overall ("ASC 815"), is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund's financial position and results of operations.
The following table sets forth the fair value of the Fund's derivative contracts by primary risk exposure as of January 31, 2012.
PRIMARY RISK EXPOSURE | ASSET DERIVATIVES STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | LIABILITY DERIVATIVES STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | |||||||||||||||
Interest Rate Risk | Variation margin | $ | 91,179 | † | Variation margin | $ | (1,122,148 | )† | |||||||||||
Unrealized appreciation on open swap agreements | 2,420,595 | Unrealized depreciation on open swap agreements | (2,565,069 | ) | |||||||||||||||
Foreign Currency Risk | Unrealized appreciation on open foreign currency exchange contracts | 1,334,774 | Unrealized depreciation on open foreign currency exchange contracts | (1,535,237 | ) |
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PRIMARY RISK EXPOSURE | ASSET DERIVATIVES STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | LIABILITY DERIVATIVES STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | |||||||||||||||
Equity Risk | Variation margin | $ | 2,214,605 | † | Variation margin | $ | (258,584 | )† | |||||||||||
Unrealized appreciation on open swap agreements | 237,477 | Unrealized depreciation on open swap agreements | — | ||||||||||||||||
$ | 6,298,630 | $ | (5,481,038 | ) |
† Includes cumulative appreciation/depreciation of futures contracts as reported in the Portfolio of Investments. Only current day's net variation margin is reported within the Statement of Assets and Liabilities.
The following tables set forth by primary risk exposure the Fund's realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended January 31, 2012 in accordance with ASC 815.
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS
PRIMARY RISK EXPOSURE | FUTURES | FOREIGN CURRENCY EXCHANGE | SWAPS | ||||||||||||
Interest Rate Risk | $ | (3,170,336 | ) | — | $ | (1,435,861 | ) | ||||||||
Foreign Currency Risk | $ | (12,480 | ) | ||||||||||||
Equity Risk | (98,021 | ) | (2,862,057 | ) | |||||||||||
Total | $ | (3,268,357 | ) | $ | (12,480 | ) | $ | (4,297,918 | ) |
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS
PRIMARY RISK EXPOSURE | FUTURES | FOREIGN CURRENCY EXCHANGE | SWAPS | ||||||||||||
Interest Rate Risk | $ | (154,573 | ) | — | $ | 568,389 | |||||||||
Foreign Currency Risk | — | $ | (953,871 | ) | — | ||||||||||
Equity Risk | 2,196,268 | — | 237,477 | ||||||||||||
Total | $ | 2,041,695 | $ | (953,871 | ) | $ | 805,866 |
For the six months ended January 31, 2012, the average monthly original value of futures contracts was $155,209,658, the average monthly notional value of swap agreements was $197,478,697 and the average monthly principal amount of foreign currency exchange contracts was $159,976,172.
4. Investment Advisory/Administration Agreements
Pursuant to an Investment Advisory Agreement with the Adviser, the Fund pays an advisory fee, accrued daily and payable monthly, by applying the following annual rates to the net assets of the Fund determined as of the close of each business day: 0.42% to the portion of the daily net assets not exceeding $1.5 billion and 0.395% to the portion of the daily net assets exceeding $1.5 billion.
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Pursuant to an Administration Agreement with Morgan Stanley Services Company Inc. (the "Administrator"), an affiliate of the Adviser, the Fund pays an administration fee, accrued daily and payable monthly, by applying the annual rate of 0.08% to the Fund's 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.
5. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distribution, Inc. (the "Distributor"), an affiliate of the Adviser and Administrator. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan provides that the Fund will pay the Distributor a fee which is accrued daily and paid monthly at the following annual rates: (i) Class A — up to 0.25% of the average daily net assets of Class A shares; (ii) Class B — up to 1.00% of the average daily net assets of Class B shares; and (iii) Class C — up to 1.00% of the average daily net assets of Class C shares.
In the case of Class B shares, provided that the Plan continues in effect, any cumulative expenses incurred by the Distributor but not yet recovered may be recovered through the payment of future distribution fees from the Fund pursuant to the Plan and contingent deferred sales charges paid by investors upon redemption of Class B shares. Although there is no legal obligation for the Fund to pay expenses incurred in excess of payments made to the Distributor under the Plan and the proceeds of contingent deferred sales charges paid by investors upon redemption of shares, if for any reason the Plan is terminated, the Trustees will consider at that time the manner in which to treat such expenses. The Distributor has advised the Fund that such excess amounts totaled $11,828,435 at January 31, 2012.
In the case of Class A shares and Class C shares, expenses incurred pursuant to the Plan in any calendar year in excess of 0.25% or 1.00% of the average daily net assets of Class A shares or Class C shares, respectively, will not be reimbursed by the Fund through payments in any subsequent year, except that expenses representing a gross sales credit to Morgan Stanley Smith Barney Financial Advisors and other authorized financial representatives at the time of sale may be reimbursed in the subsequent calendar year. For the six months ended January 31, 2012, the distribution fee was accrued for Class A shares and Class C shares at the annual rate of 0.25% and 1.00%, respectively.
The Distributor has informed the Fund that for the six months ended January 31, 2012, it received contingent deferred sales charges from certain redemptions of the Fund's Class A shares, Class B shares and Class C shares of $9,153, $7,934 and $1,637, respectively, and received $32,554 in
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front-end sales charges from sales of the Fund's Class A shares. The respective shareholders pay such charges, which are not an expense of the Fund.
6. Security Transactions and Transactions with Affiliates
The cost of purchases and proceeds from sales of investment securities, excluding short-term investments, for the six months ended January 31, 2012 aggregated $184,900,828 and $234,065,907, respectively. Included in the aforementioned are purchases and sales of U.S. Government securities of $63,347,114 and $63,322,969, respectively.
The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Investment advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the six months ended January 31, 2012, advisory fees paid were reduced by $23,004 relating to the Fund's investment in the Liquidity Funds.
A summary of the Fund's transactions in shares of the Liquidity Funds during the six months ended January 31, 2012 is as follows:
VALUE JULY, 31, 2011 | PURCHASES AT COST | SALES | DIVIDEND INCOME | VALUE JANUARY, 31 2012 | |||||||||||||||
$ | 40,758,101 | $ | 71,533,938 | $ | 103,793,059 | $ | 10,766 | $ | 8,498,980 |
The Fund had the following transactions with Citigroup, Inc., and its affiliated broker/dealers, which may be deemed to be affiliates of the Adviser, Administrator and Distributor for the six months ended January 31, 2012:
VALUE JULY 31, 2011 | PURCHASES AT COST | SALES | REALIZED GAIN | DIVIDEND/ INTEREST INCOME | VALUE JANUARY 31, 2012 | ||||||||||||||||||
$ | 2,451,201 | $ | 1,796,809 | $ | 2,655,148 | $ | 137,011 | $ | 69,014 | $ | 1,806,920 |
Morgan Stanley Services Company Inc., an affiliate of the Adviser and Distributor, is the Fund's transfer agent.
The Fund has an unfunded noncontributory defined benefit pension plan covering certain independent Trustees of the Fund who will have served as independent Trustees for at least five years at the time of retirement. Benefits under this plan are based on factors which include years of service and compensation. The Trustees voted to close the plan to new participants and eliminate the future benefits growth due to increases to compensation after July 31, 2003. Aggregate pension costs for the
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six months ended January 31, 2012, included in "trustees' fees and expenses" in the Statement of Operations amounted to $2,131. At January 31, 2012, the Fund had an accrued pension liability of $66,291, which is included in "accrued expenses and other payables" in the Statement of Assets and Liabilities.
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 Fund.
7. Purposes of and Risks Relating to Certain Financial Instruments
The Fund may invest in mortgage securities, including securities issued by Federal National Mortgage Association ("FNMA") and Federal Home Loan Mortgage Corporation ("FHLMC"). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage backed security and could result in losses to the Fund. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages. The securities held by the Fund are not backed by sub-prime mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States; rather, they are supported by the right of the issuer to borrow from the U.S. Department of the Treasury.
The Federal Housing Finance Agency ("FHFA") serves as conservator of FNMA and FHLMC and the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Fund may invest in structured investments, which involve risks including counterparty risk and market risk. Holders of structured investments bear risks of the underlying investment and are subject to counterparty risk because the Fund is relying on the creditworthiness of such counterparty and has no rights with respect to the issuer of the underlying investment. Certain structured investments may be thinly traded or have a limited trading market and may have the effect of increasing the Fund's illiquidity to the extent that the Fund, at a particular point in time, may be unable to find qualified buyers for these securities.
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8. Shares of Beneficial Interest
Transactions in shares of beneficial interest were as follows:
FOR THE SIX MONTHS ENDED JANUARY 31, 2012 | FOR THE YEAR ENDED JULY 31, 2011 | ||||||||||||||||||
(unaudited) | |||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Sold | 281,751 | $ | 4,359,145 | 1,186,337 | $ | 20,370,023 | |||||||||||||
Conversion from Class B | 399,612 | 6,063,755 | 1,064,787 | 17,997,024 | |||||||||||||||
Reinvestment of dividends and distributions | 2,062,323 | 28,934,386 | 4,315,526 | 68,314,776 | |||||||||||||||
Redeemed | (3,526,568 | ) | (53,412,982 | ) | (5,728,042 | ) | (97,173,000 | ) | |||||||||||
Net increase (decrease) — Class A | (782,882 | ) | (14,055,696 | ) | 838,608 | 9,508,823 | |||||||||||||
CLASS B SHARES | |||||||||||||||||||
Sold | 35,690 | 544,080 | 170,638 | 2,924,036 | |||||||||||||||
Conversion to Class A | (398,077 | ) | (6,063,755 | ) | (1,059,825 | ) | (17,997,024 | ) | |||||||||||
Reinvestment of dividends and distributions | 115,006 | 1,628,491 | 439,740 | 7,013,859 | |||||||||||||||
Redeemed | (236,001 | ) | (3,620,056 | ) | (804,055 | ) | (13,970,971 | ) | |||||||||||
Net decrease — Class B | (483,382 | ) | (7,511,240 | ) | (1,253,502 | ) | (22,030,100 | ) | |||||||||||
CLASS C SHARES | |||||||||||||||||||
Sold | 71,795 | 1,087,164 | 272,489 | 4,663,812 | |||||||||||||||
Reinvestment of dividends and distributions | 190,666 | 2,655,977 | 395,595 | 6,234,588 | |||||||||||||||
Redeemed | (283,686 | ) | (4,260,422 | ) | (448,643 | ) | (7,564,471 | ) | |||||||||||
Net increase (decrease) — Class C | (21,225 | ) | (517,281 | ) | 219,441 | 3,333,929 | |||||||||||||
CLASS I SHARES | |||||||||||||||||||
Sold | 112,857 | 1,679,929 | 508,455 | 8,796,516 | |||||||||||||||
Reinvestment of dividends and distributions | 120,611 | 1,695,796 | 273,430 | 4,336,592 | |||||||||||||||
Redeemed | (234,208 | ) | (3,608,243 | ) | (675,080 | ) | (11,046,865 | ) | |||||||||||
Net increase (decrease) — Class I | (740 | ) | (232,518 | ) | 106,805 | 2,086,243 | |||||||||||||
Net decrease in Fund | (1,288,229 | ) | $ | (22,316,735 | ) | (88,648 | ) | $ | (7,101,105 | ) |
9. Federal Income Tax Status
It is the Fund'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.
Dividends from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually.
77
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
The Fund 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 Fund recognizes interest accrued related to unrecognized tax benefits in "Interest Expense" and penalties in "Other Expenses" in the Statement of Operations. The Fund files 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 July 31, 2011, remains subject to examination by taxing authorities.
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: | ||||||||||||||
ORDINARY INCOME | LONG-TERM CAPITAL GAIN | ORDINARY INCOME | LONG-TERM CAPITAL GAIN | ||||||||||||
$ | 9,018,539 | $ | 79,890,968 | $ | 9,061,044 | — |
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 primarily due to differing book and tax treatments in 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 foreign currency gains, losses on paydowns and swaps and tax adjustments on debt securities and PFICs sold by the Fund, resulted in the following reclassifications among the Fund's components of net assets at July 31, 2011:
ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME | ACCUMULATED UNDISTRIBUTED NET REALIZED GAIN | PAID-IN CAPITAL | |||||||||
$ | 8,897,055 | $ | (8,897,055 | ) | — |
78
Morgan Stanley Global Strategist Fund
Notes to Financial Statements n January 31, 2012 (unaudited) continued
At July 31, 2011, the components of distributable earnings for the Fund on a tax basis were as follows:
UNDISTRIBUTED ORDINARY INCOME | UNDISTRIBUTED LONG-TERM CAPITAL GAIN | ||||||
$ | 26,409,119 | $ | 9,472,663 |
At January 31, 2012, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $43,088,383 and the aggregate gross unrealized depreciation is $20,824,324 resulting in net unrealized appreciation of $22,264,059.
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 the 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.
10. Expense Offset
The Fund has entered into an arrangement with State Street (the "Custodian"), whereby credits realized on uninvested cash balances were used to offset a portion of the Fund's expenses. If applicable, these custodian credits are shown as "expense offset" in the Statement of Operations.
11. Accounting Pronouncement
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.
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Morgan Stanley Global Strategist Fund
Financial Highlights
Selected ratios and per share data for a share of beneficial interest outstanding throughout each period:
FOR THE SIX | FOR THE YEAR ENDED JULY 31, | ||||||||||||||||||||||||||
MONTHS ENDED | |||||||||||||||||||||||||||
JANUARY 31, 2012 | 2011 | 2010^ | 2009^ | 2008^ | 2007^ | ||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Class A Shares | |||||||||||||||||||||||||||
Selected Per Share Data: | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.71 | $ | 17.33 | $ | 16.23 | $ | 18.07 | $ | 20.57 | $ | 19.74 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||
Net investment income(1) | 0.13 | 0.25 | 0.21 | 0.25 | 0.45 | 0.50 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.65 | ) | 1.87 | 1.17 | (1.74 | ) | (1.23 | ) | 2.07 | ||||||||||||||||||
Total income (loss) from investment operations | (0.52 | ) | 2.12 | 1.38 | (1.49 | ) | (0.78 | ) | 2.57 | ||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.40 | ) | (0.12 | ) | (0.28 | ) | (0.30 | ) | (0.49 | ) | (0.51 | ) | |||||||||||||||
Net realized gain | (0.77 | ) | (2.62 | ) | — | (0.05 | ) | (1.23 | ) | (1.23 | ) | ||||||||||||||||
Total dividends and distributions | (1.17 | ) | (2.74 | ) | (0.28 | ) | (0.35 | ) | (1.72 | ) | (1.74 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.02 | $ | 16.71 | $ | 17.33 | $ | 16.23 | $ | 18.07 | $ | 20.57 | |||||||||||||||
Total Return(2) | (2.63 | )%(6) | 13.13 | % | 8.52 | % | (8.06 | )% | (4.27 | )% | 13.30 | % | |||||||||||||||
Ratios to Average Net Assets(3): | |||||||||||||||||||||||||||
Total expenses | 0.99 | %(4)(7) | 0.96 | %(4) | 0.91 | %(4) | 0.95 | %(4) | 0.90 | %(4) | 0.92 | %(4) | |||||||||||||||
Net investment income | 1.67 | %(4)(7) | 1.47 | %(4) | 1.24 | %(4) | 1.64 | %(4) | 2.30 | %(4) | 2.44 | %(4) | |||||||||||||||
Rebate from Morgan Stanley affiliate | 0.01 | %(7) | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % | 0.00 | %(5) | |||||||||||||||
Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period, in thousands | $ | 399,441 | $ | 457,333 | $ | 459,742 | $ | 457,914 | $ | 504,350 | $ | 553,395 | |||||||||||||||
Portfolio turnover rate | 39 | %(6) | 123 | % | 173 | % | 83 | % | 42 | % | 42 | % |
^ Beginning with the year ended July 31, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.
(1) The per share amounts were computed using an average number of shares outstanding during the period.
(2) Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period.
(3) Reflects overall Fund ratios for investment income and non-class specific expenses.
(4) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."
(5) Amount is less than 0.005%.
(6) Not annualized.
(7) Annualized.
See Notes to Financial Statements
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Morgan Stanley Global Strategist Fund
Financial Highlights continued
FOR THE SIX | FOR THE YEAR ENDED JULY 31, | ||||||||||||||||||||||||||
MONTHS ENDED | |||||||||||||||||||||||||||
JANUARY 31, 2012 | 2011 | 2010^ | 2009^ | 2008^ | 2007^ | ||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Class B Shares | |||||||||||||||||||||||||||
Selected Per Share Data: | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.76 | $ | 17.42 | $ | 16.30 | $ | 18.14 | $ | 20.63 | $ | 19.79 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||
Net investment income(1) | 0.07 | 0.12 | 0.08 | 0.14 | 0.30 | 0.35 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.65 | ) | 1.88 | 1.18 | (1.75 | ) | (1.23 | ) | 2.07 | ||||||||||||||||||
Total income (loss) from investment operations | (0.58 | ) | 2.00 | 1.26 | (1.61 | ) | (0.93 | ) | 2.42 | ||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.04 | ) | (0.14 | ) | (0.18 | ) | (0.33 | ) | (0.35 | ) | |||||||||||||||
Net realized gain | (0.77 | ) | (2.62 | ) | — | (0.05 | ) | (1.23 | ) | (1.23 | ) | ||||||||||||||||
Total dividends and distributions | (1.04 | ) | (2.66 | ) | (0.14 | ) | (0.23 | ) | (1.56 | ) | (1.58 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.14 | $ | 16.76 | $ | 17.42 | $ | 16.30 | $ | 18.14 | $ | 20.63 | |||||||||||||||
Total Return(2) | (3.02 | )%(6) | 12.28 | % | 7.74 | % | (8.77 | )% | (5.02 | )% | 12.50 | % | |||||||||||||||
Ratios to Average Net Assets(3): | |||||||||||||||||||||||||||
Total expenses | 1.74 | %(4)(7) | 1.71 | %(4) | 1.66 | %(4) | 1.70 | %(4) | 1.66 | %(4) | 1.67 | %(4) | |||||||||||||||
Net investment income | 0.92 | %(4)(7) | 0.72 | %(4) | 0.49 | %(4) | 0.89 | %(4) | 1.54 | %(4) | 1.69 | %(4) | |||||||||||||||
Rebate from Morgan Stanley affiliate | 0.01 | %(7) | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % | 0.00 | %(5) | |||||||||||||||
Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period, in thousands | $ | 23,747 | $ | 34,374 | $ | 57,559 | $ | 90,105 | $ | 175,410 | $ | 276,329 | |||||||||||||||
Portfolio turnover rate | 39 | %(6) | 123 | % | 173 | % | 83 | % | 42 | % | 42 | % |
^ Beginning with the year ended July 31, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.
(1) The per share amounts were computed using an average number of shares outstanding during the period.
(2) Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period.
(3) Reflects overall Fund ratios for investment income and non-class specific expenses.
(4) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."
(5) Amount is less than 0.005%.
(6) Not annualized.
(7) Annualized.
See Notes to Financial Statements
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Morgan Stanley Global Strategist Fund
Financial Highlights continued
FOR THE SIX | FOR THE YEAR ENDED JULY 31, | ||||||||||||||||||||||||||
MONTHS ENDED | |||||||||||||||||||||||||||
JANUARY 31, 2012 | 2011 | 2010^ | 2009^ | 2008^ | 2007^ | ||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Class C Shares | |||||||||||||||||||||||||||
Selected Per Share Data: | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.55 | $ | 17.24 | $ | 16.15 | $ | 17.99 | $ | 20.48 | $ | 19.66 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||
Net investment income(1) | 0.07 | 0.12 | 0.08 | 0.14 | 0.30 | 0.35 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.64 | ) | 1.86 | 1.16 | (1.74 | ) | (1.22 | ) | 2.06 | ||||||||||||||||||
Total income (loss) from investment operations | (0.57 | ) | 1.98 | 1.24 | (1.60 | ) | (0.92 | ) | 2.41 | ||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.32 | ) | (0.05 | ) | (0.15 | ) | (0.19 | ) | (0.34 | ) | (0.36 | ) | |||||||||||||||
Net realized gain | (0.77 | ) | (2.62 | ) | — | (0.05 | ) | (1.23 | ) | (1.23 | ) | ||||||||||||||||
Total dividends and distributions | (1.09 | ) | (2.67 | ) | (0.15 | ) | (0.24 | ) | (1.57 | ) | (1.59 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.89 | $ | 16.55 | $ | 17.24 | $ | 16.15 | $ | 17.99 | $ | 20.48 | |||||||||||||||
Total Return(2) | (2.92 | )%(7) | 12.23 | % | 7.76 | % | (8.78 | )% | (4.94 | )% | 12.47 | % | |||||||||||||||
Ratios to Average Net Assets(3): | |||||||||||||||||||||||||||
Total expenses | 1.74 | %(4)(8) | 1.71 | %(4) | 1.66 | %(4) | 1.70 | %(4) | 1.64 | %(4)(5) | 1.64 | %(4) | |||||||||||||||
Net investment income | 0.92 | %(4)(8) | 0.72 | %(4) | 0.49 | %(4) | 0.89 | %(4) | 1.56 | %(4)(5) | 1.72 | %(4) | |||||||||||||||
Rebate from Morgan Stanley affiliate | 0.01 | %(8) | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % | 0.00 | %(6) | |||||||||||||||
Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period, in thousands | $ | 38,747 | $ | 43,411 | $ | 41,439 | $ | 40,203 | $ | 44,664 | $ | 48,192 | |||||||||||||||
Portfolio turnover rate | 39 | %(7) | 123 | % | 173 | % | 83 | % | 42 | % | 42 | % |
^ Beginning with the year ended July 31, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.
(1) The per share amounts were computed using an average number of shares outstanding during the period.
(2) Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period.
(3) Reflects overall Fund ratios for investment income and non-class specific expenses.
(4) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."
(5) If the Fund had borne all of its expenses that were waived by the Adviser and Administrator, the annualized expense and net investment income ratios, would have been 1.65% and 1.55%, respectively.
(6) Amount is less than 0.005%.
(7) Not annualized.
(8) Annualized.
See Notes to Financial Statements
82
Morgan Stanley Global Strategist Fund
Financial Highlights continued
FOR THE SIX | FOR THE YEAR ENDED JULY 31, | ||||||||||||||||||||||||||
MONTHS ENDED | |||||||||||||||||||||||||||
JANUARY 31, 2012 | 2011 | 2010^ | 2009^ | 2008^ | 2007^ | ||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||
Selected Per Share Data: | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.76 | $ | 17.35 | $ | 16.25 | $ | 18.10 | $ | 20.59 | $ | 19.76 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||||
Net investment income(1) | 0.15 | 0.30 | 0.25 | 0.29 | 0.51 | 0.55 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.66 | ) | 1.87 | 1.17 | (1.75 | ) | (1.23 | ) | 2.07 | ||||||||||||||||||
Total income (loss) from investment operations | (0.51 | ) | 2.17 | 1.42 | (1.46 | ) | (0.72 | ) | 2.62 | ||||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.42 | ) | (0.14 | ) | (0.32 | ) | (0.34 | ) | (0.54 | ) | (0.56 | ) | |||||||||||||||
Net realized gain | (0.77 | ) | (2.62 | ) | — | (0.05 | ) | (1.23 | ) | (1.23 | ) | ||||||||||||||||
Total dividends and distributions | (1.19 | ) | (2.76 | ) | (0.32 | ) | (0.39 | ) | (1.77 | ) | (1.79 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.06 | $ | 16.76 | $ | 17.35 | $ | 16.25 | $ | 18.10 | $ | 20.59 | |||||||||||||||
Total Return(2) | (2.51 | )%(6) | 13.38 | % | 8.84 | % | (7.86 | )% | (4.02 | )% | 13.62 | % | |||||||||||||||
Ratios to Average Net Assets(3): | |||||||||||||||||||||||||||
Total expenses | 0.74 | %(4)(7) | 0.71 | %(4) | 0.66 | %(4) | 0.70 | %(4) | 0.66 | %(4) | 0.67 | %(4) | |||||||||||||||
Net investment income | 1.92 | %(4)(7) | 1.72 | %(4) | 1.49 | %(4) | 1.89 | %(4) | 2.54 | %(4) | 2.69 | %(4) | |||||||||||||||
Rebate from Morgan Stanley affiliate | 0.01 | %(7) | 0.02 | % | 0.03 | % | 0.02 | % | 0.02 | % | 0.00 | %(5) | |||||||||||||||
Supplemental Data: | |||||||||||||||||||||||||||
Net assets, end of period, in thousands | $ | 24,361 | $ | 27,116 | $ | 26,228 | $ | 26,901 | $ | 27,823 | $ | 66,753 | |||||||||||||||
Portfolio turnover rate | 39 | %(6) | 123 | % | 173 | % | 83 | % | 42 | % | 42 | % |
^ Beginning with the year ended July 31, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.
(1) The per share amounts were computed using an average number of shares outstanding during the period.
(2) Calculated based on the net asset value as of the last business day of the period.
(3) Reflects overall Fund ratios for investment income and non-class specific expenses.
(4) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."
(5) Amount is less than 0.005%.
(6) Not annualized.
(7) Annualized.
See Notes to Financial Statements
83
Morgan Stanley Global Strategist Fund
U.S. Privacy Policy (unaudited)
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.
84
Morgan Stanley Global Strategist Fund
U.S. Privacy Policy (unaudited) continued
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.
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.
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Morgan Stanley Global Strategist Fund
U.S. Privacy Policy (unaudited) continued
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.
86
Morgan Stanley Global Strategist Fund
U.S. Privacy Policy (unaudited) continued
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.
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Morgan Stanley Global Strategist Fund
U.S. Privacy Policy (unaudited) continued
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.
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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 Global Strategist Fund
/s/ Arthur Lev |
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Arthur Lev |
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Principal Executive Officer |
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March 22, 2012 |
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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 |
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Arthur Lev |
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Principal Executive Officer |
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March 22, 2012 |
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/s/ Francis Smith |
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Francis Smith |
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Principal Financial Officer |
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March 22, 2012 |
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