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 | 811-07185 | |||||||
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Morgan Stanley Select Dimensions Investment Series | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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522 Fifth Avenue, New York, New York |
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(Address of principal executive offices) |
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Randy Takian 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: | December 31, 2009 |
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Date of reporting period: | June 30, 2009 |
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Item 1 - Report to Shareholders
MORGAN STANLEY
SELECT DIMENSIONS INVESTMENT SERIES
Semi-Annual Report
JUNE 30, 2009
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Morgan Stanley Select Dimensions Investment Series
Table of Contents
Letter to the Shareholders | 1 | ||||||
Fund Performance | 16 | ||||||
Expense Example | 18 | ||||||
Investment Advisory Agreement Approval | 23 | ||||||
Portfolio of Investments: | |||||||
Money Market | 27 | ||||||
Flexible Income | 29 | ||||||
Balanced | 53 | ||||||
Global Infrastructure | 69 | ||||||
Dividend Growth | 76 | ||||||
Equally-Weighted S&P 500 | 80 | ||||||
Capital Growth | 92 | ||||||
Focus Growth | 95 | ||||||
Capital Opportunities | 97 | ||||||
Mid Cap Growth | 99 | ||||||
Financial Statements: | |||||||
Statements of Assets and Liabilities | 104 | ||||||
Statements of Operations | 106 | ||||||
Statements of Changes in Net Assets | 108 | ||||||
Notes to Financial Statements | 116 | ||||||
Financial Highlights | 152 | ||||||
U.S. Privacy Policy Notice | 162 | ||||||
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Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n June 30, 2009
Dear Shareholder,
As we entered 2009, the outlook for the U.S. economy remained bleak: the housing market was still languishing, corporate earnings were dismal, job losses continued to mount, and consumer confidence hit a new low. As the first quarter progressed, however, signs emerged that the economy, while still mired in recession, might have found its footing as preliminary estimates of first-quarter gross domestic product (GDP) indicated the contraction in economic growth was moderating. At the same time, many of the programs enacted by the U.S. Treasury and Federal Reserve to enhance liquidity in the financial markets appeared to be having an impact. Credit concerns eased, market sentiment improved, and investors once again began to assume risk. These factors spurred a rebound in market performance beginning in March.
The rally continued into the second quarter of the year as signs of a potential recovery in economic activity, or so-called "green shoots," bolstered investor confidence. These included better-than-expected first-quarter corporate earnings, some stabilization in the housing market, increased manufacturing activity, and rising personal consumption expenditures. New policy action announcements, including the government's planned purchase of long-dated Treasury securities and support of programs designed to help remove "toxic assets" from bank balance sheets, provided added support. Although unemployment continued to rise, hitting 9.5 percent by June, and corporate default rates climbed, the GDP annualized growth rate reported during the quarter showed a decline of 5.5 percent in the first quarter of the year versus a 6.3 percent decline in the fourth quarter of 2008. The improved outlook, coupled with the broad fiscal and monetary stimulus and easy capital conditions, helped prolong the financial market rally throughout the end of the second quarter.
As of the end of June, the rally slightly moderated. Although the rate of economic deterioration appeared to slow recently, the economy remains fragile. Until evidence of a real rebound in demand emerges, many believe investor conviction is likely to be low and markets may be vulnerable to further volatility.
Domestic Equity Overview
U.S. equities modestly recovered during the six-month period ended June 30, 2009; a commonly cited domestic stock market gauge, the S&P 500® Index (the "Index"), was up 3.16 percent for the period. Economic weakness and tepid confidence in the government's recovery efforts so far drove the U.S. stock market lower in January and February. However, profitability announcements at some large U.S. banks and consolidation activity in the pharmaceuticals industry prompted a turnaround in investor sentiment in early March. Well-received policy announcements from the Federal Reserve and Treasury also helped support the rally in equities . All sectors had positive returns during the second quarter of 2009.
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For the six-month period overall, sector performance was mixed. The materials and information technology sectors were the top performing areas in the Index, each with double-digit gains in the first half of the year. The industrials and telecommunication services sectors were the weakest segments, posting negative returns for the period. Growth stocks strongly outperformed value stocks amid anticipation of an improved economic environment.
Fixed Income Overview
Renewed investor risk appetite led all sectors of the fixed income market to rebound in the first half of the year, with the exception of U.S. Treasury securities. After rallying strongly in 2008 amid the ongoing flight to quality, the Treasury sector turned in the worst performance of the fixed income market segments. Yields rose across the Treasury yield curve, with long maturity issues experiencing the greatest increases. The government agency sector, however, performed well due in large part to growing investor interest in FDIC-backed bank notes, which were introduced in late 2008 as part of the FDIC's Temporary Liquidity Guarantee Program.
Among non-government segments, the corporate bond market posted healthy gains for the six-month period as spreads began to narrow, particularly in the financials sector which was the most beaten down sector in late 2008. Although financials outperformed both industrials and utilities in recent months, the sector continues to lag over longer periods and spreads still remain wider than historical averages. Within the corporate bond market as a whole, lower-quality higher yielding issues significantly outperformed higher-quality issues. In terms of issuance, volumes have been robust. In fact, the first half of 2009 saw the heaviest investment grade corporate bond issuance of any six-month period on record while issuance in the high yield market far surpassed levels for the first six months of 2008.
After suffering considerably last year, the mortgage sector posted healthy gains versus equal-duration Treasuries, bolstered in part by the Federal Reserve's planned purchase of large quantities of agency mortgage-backed securities. This was particularly true in the lower-coupon (four to six percent) and interest-only segments of the market.
Government credit and liquidity initiatives led to significant improvement in money market liquidity. As a result, the 3-month London Interbank Offered Rate (LIBOR), a benchmark for short-term interest rates, fell to 0.595 percent by the end of June, from 1.42 percent at the end of 2008. The decline is indicative of improved financing conditions as the various government-sponsored programs have reinvigorated financing activity thus far this year.
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International Equity Overview
International equity markets rebounded sharply during the period, led by the emerging markets. Europe and Japan were relative laggards, with some of the larger European markets posting negative returns for the six-month period.
Government stimulus and accommodative central bank policy around the world gave the global economy a moderate boost. In both Europe and Japan, manufacturing data reported in May and June showed improvement. China's PMI (a measure of manufacturing health) was the first to move above 50, indicating economic expansion, and sustained that level for three consecutive months.
As it appeared the worst case scenario had been avoided, many of the segments that had fallen the most during the market's downward spiral rallied the strongest in the second quarter of 2009. Cyclical (or economically sensitive) sectors, financials, and the emerging markets were among the primary beneficiaries of investors' improved sentiment. However, the outlook for the global economy remained murky and many observers continued to expect further volatility in the international equity markets.
Balanced Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Balanced Portfolio Class X shares produced a total return of 0.14%, outperforming the Russell 1000® Value Index1 (the "Russell Index"), which returned -2.87%, and underperforming the Barclays Capital U.S. Government/Credit Index2 (the Barclays Index,) which returned 0.55%. For the same period, the Portfolio's Class Y shares returned -0.03%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Within the stock portion of the Portfolio, the energy sector was the largest positive contributor to performance relative to the Russell 1000® Value Index. Throughout the prior six months, we had been increasing the Portfolio's position in the sector. The price of oil reached historically high levels in mid-2008
1 The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. 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.
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and subsequently declined in the second half of the year. As the price declined, we took the opportunity to add to existing positions in the Portfolio, as well as purchase energy stocks that focused on exploration and production. The Portfolio also benefited in the energy sector from limited exposure to integrated oil companies. While we continue to monitor the price fluctuations of oil, our focus is always on the fundamentals of the companies within the sector and tilting risk/reward scales in our favor.
The health care sector also drove relative outperformance. The Portfolio has historically maintained an overweight in the sector; however, over the past six months the weight has declined. Most of the exposure in health care has been in the pharmaceutical industry and the Portfolio benefited from holding two companies at the time it was announced they were targeted for acquisition: Wyeth and Schering Plough. Given the relative strength in health care over the past year — driven by stronger relative fundamentals and the recent merger and acquisition tailwind in pharmaceuticals, as well as by concerns surrounding the uncertainty of health care reform under the new administration — we reduced the Portfolio's exposure in the sector and used the proceeds to invest in other areas we believe have better risk/reward opportunity for our investors.
Consumer discretionary exposure also aided Portfolio performance over the past six months. The Portfolio has maintained an overweight in the sector and the overweight has primarily been concentrated in media stocks. These stocks helped the Portfolio during the period as other investors began to recognize their attractive relative value. We continue to focus on the consumer discretionary sector and media stocks because they continue to exhibit some of the value characteristics we seek as investors.
Although the Portfolio outperformed the Russell Index, we did have some areas that were detrimental to overall performance. Financials were the largest detractor from relative performance for the period. The Portfolio has maintained a significant underweight in the sector versus the Index for some time. This underweight benefited the Portfolio significantly in 2007 and 2008. However, over the past six months, and especially since March, financial stocks have rebounded from their earlier dramatic decline. The Portfolio has exposure to financials but its exposure has been focused on financial companies we believe possess conservative balance sheets and have appropriate risk/return characteristics — and these companies did not participate in the rally to the degree that others in the sector did. In particular, the Portfolio is underexposed to the banks and diversified financials that rebounded most strongly during the period. The Portfolio's underexposure was based on our concerns regarding quality of balance sheets, uncertainty regarding additional capital requirements and incremental dividend cuts required, and the unpredictability of government influence. In addition, the Portfolio held an insurance brokerage company we believe offers very attractive risk/return characteristics, but underperformed during the period.
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The utility sector also negatively impacted performance. The Portfolio held an electric power company that announced a secondary offering of common stock in order to help manage its debt; this was not well received by the market as the secondary offering dilutes existing shareholders' ownership.
Within the fixed income portfolio, the Portfolio's credit positioning helped performance relative to the Barclays Capital U.S. Government/Credit Index. Overweights in the banking, food and beverage, insurance, and media segments benefited relative performance, as these sectors saw significant spread tightening and therefore were some of the best performing sectors for the period. As we enter the third quarter of 2009, we maintain an overweight in the credit area and seek to take advantage of emerging opportunities in the higher-quality credit space as they develop.
However, the Portfolio's focus on higher quality credit issues modestly detracted from the relative performance of the credit position, as higher quality issues underperformed lower quality issues during the period.
The agency debenture sector benefited from the growing acceptance of the newer FDIC-backed bank issues and as a result, the Portfolio's agency holdings, which included FDIC-backed issues, had a positive impact on relative performance. We believe these FDIC-backed securities have offered attractive value and were compelling substitutes for FNMA and FHLMC debentures.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Capital Growth Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Capital Growth Portfolio Class X shares produced a total return of 26.61%, outperforming the Russell 1000® Growth Index3 (the "Index"), which returned 11.53%. For the same period, the Portfolio's Class Y shares returned 26.36%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
3 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. 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.
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The Portfolio's outperformance of the Index during the period was driven primarily by three sectors. The largest outperformance came from stock selection in the consumer discretionary sector, driven by retail and consumer electronics holdings. Both stock selection and an overweight in financial services were the next largest positive contributors. Within the sector, securities brokerage and services was the top performing industry for the Portfolio. The third largest driver of outperformance was the health care sector. Stock selection and an underweight in the sector bolstered relative results, with particularly strong results from the Portfolio's exposure to the electronic medical systems industry.
Although the Portfolio outperformed the Index, there were other areas that detracted from performance. While an overweight in the materials sector was advantageous, it was more than offset by the negative influence of stock selection there. Within the sector, the building materials industry was the Portfolio's main detractor. An overweight position and stock selection in the other (multi-industry) sector further diminished relative gains. Finally, stock selection and an overweight in autos and transportation hampered relative results, largely due to the transportation logistics industry.
In our view, the market seems to be stabilizing but until visibility improves, share prices will continue to be susceptible to periods of volatility. Nonetheless, we remain optimistic and continue to focus on company fundamentals rather than macro forecasting. It is our goal to hold a portfolio of high-quality growth stocks we believe may perform well regardless of the market environment. We continue to favor companies that have some uniqueness or dynamic competitive advantage in their business model, with a high-quality stream of cash flow and earnings growth and the ability to redeploy capital at a high rate of return.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Capital Opportunities Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Capital Opportunities Portfolio Class X shares produced a total return of 31.25%, outperforming the Russell 3000® Growth Index4 (the "Index"), which returned 11.52%. For the same period, the Portfolio's Class Y shares returned 31.12%. Past performance is no guarantee of future results.
4 The Russell 3000® Growth Index measures the performance of the broad growth segment of the U.S. equity universe. It includes those Russell 3000® Index companies with higher price-to-book ratios and higher forecasted growth values. 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.
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The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's outperformance of the Index during the period was driven primarily by three sectors. The largest outperformance came from stock selection in the consumer discretionary sector, driven by consumer electronics and retail holdings. Both stock selection and an overweight in financial services were the next largest positive contributors. Within the sector, securities brokerage and services was the top performing industry for the Portfolio. The third largest driver of outperformance was the health care sector. Stock selection and an underweight in the sector bolstered relative returns, with particularly strong results from the Portfolio's exposure to the electronic medical systems industry.
Although the Portfolio outperformed the Index, there were two areas that detracted from performance. While an overweight in the materials sector was advantageous, it was more than offset by the negative influence of stock selection there. Within the sector, the building cement industry was the Portfolio's main detractor. Finally, stock selection in autos and transportation hampered relative results, largely due to a holding in the miscellaneous transportation industry.
In our view, the market seems to be stabilizing but until visibility improves, share prices will continue to be susceptible to periods of volatility. Nonetheless, we remain optimistic and continue to focus on company fundamentals rather than macro forecasting. It is our goal to hold a portfolio of high-quality growth stocks we believe may perform well regardless of the market environment. We continue to favor companies that have some uniqueness or dynamic competitive advantage in their business model, with a high-quality stream of cash flow and earnings growth and the ability to redeploy capital at a high rate of return.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Dividend Growth Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Dividend Growth Portfolio Class X shares produced a total return of 2.53%, underperforming the S&P 500® Index5 (the "Index"), which
5 The Standard & Poor's 500® Index (S&P 500®) measures the performance of the large cap segment of the U.S. equities market, covering approximately 75% of the U.S. equities market. The Index includes 500 leading companies in leading industries of the U.S. economy. 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.
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returned 3.16%. For the same period, the Portfolio's Class Y shares returned 2.41%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The main detractors from relative performance versus the Index were stocks in the technology and business services sectors.
However, the Portfolio's relative underperformance was slightly offset by positive contributions from stocks in the health care, consumer non-durables, and energy sectors. In addition, an overweight position in the financials sector further added value to the Portfolio's relative performance.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Equally-Weighted S&P 500 Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Equally-Weighted S&P 500 Portfolio Class X shares produced a total return of 12.53%, underperforming the Standard & Poor's Equal Weight Index6 (the "Index"), which returned 13.04%. For the same period, the Portfolio's Class Y shares returned 12.36%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The six-month period was a time of so-called "green shoots" in the economy — some tentative signs of improvement in quite a few economic indicators. In this period, market performance was uneven; after dropping in the first two months of the year, the market rallied from its low on March 9 through the end of the period. Investor confidence was bolstered by a slow stream of positive news that continued into April, starting with well-received policy news and followed by better-than-expected corporate earnings. Nine out
6 The Standard & Poor's Equal Weight Index (S&P EWI) is the equally-weighted version of the widely regarded S&P 500®, which measures 500 leading companies in leading U.S. industries. The S&P EWI has the same constituents as the capitalization-weighted S&P 500, but each company in the S&P EWI is allocated a fixed weight, rebalancing quarterly. 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.
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of 10 sectors in the Standard & Poor's Equal Weight Index and therefore the Portfolio had positive returns in the first six months of 2009. The materials and information technology sectors performed especially well over the period. It is unclear at this point whether the economy has reached and/or passed the bottom. As of the end of the period, conflicting trends — such as improving emerging markets on one hand and high unemployment and weak consumer spending on the other — left investors uncertain.
Since the Index and the Portfolio are equally-weighted, the overall contribution of each sector reflects its absolute performance. As such, the information technology sector contributed the most to the Portfolio's return, while the utilities sector was the largest detractor.
Other performance trends within the Portfolio and the Index during the period included the underperformance of value stocks within every capitalization segment, as well as outperformance of small-cap stocks.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Flexible Income Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Flexible Income Portfolio Class X shares produced a total return of 9.14%, outperforming the Barclays Capital Intermediate U.S. Government/Credit Index7 (the "Index"), which returned 1.62%. For the same period, the Portfolio's Class Y shares returned 8.97%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's outperformance of the Index for the period was attributable to a variety of factors. Overweights relative to the Index in investment grade credit, high yield, and emerging market debt, the latter two of which are not included in the Index, were additive as these segments performed strongly. Additionally, within corporate credit, overweight allocations to the banking, food and beverage, insurance
7 The Barclays Capital Intermediate U.S. Government/Credit Index tracks the performance of U.S. government and corporate obligations, including U.S. government agency and Treasury securities, and corporate and Yankee bonds with maturities of 1 to 10 years. 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.
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and media sectors were advantageous as significant spread tightening in these sectors led them to be among the top performing corporate credit sectors for the period. However, a focus on higher quality corporate credits within the investment grade sector detracted from performance as the lower quality spectrum outperformed during the period.
The Portfolio also held a position in lower-coupon mortgage-backed securities, while the Index does not include any mortgage-backed securities. During the period, the mortgage sector performed well, benefiting from the Federal Reserve's mortgage-backed securities buying program, and therefore, the Portfolio's allocation to the sector was advantageous.
With regard to the Portfolio's yield curve positioning, we employed tactical strategies involving interest rates swaps that were designed to take advantage of short-term rate movements across the yield curve. For example, as we entered the second quarter of 2009, the portfolio was positioned to benefit from a narrowing of the spread between yields on long maturity interest rate swaps and U.S. Treasury bonds. This trade was beneficial to performance as spreads narrowed during the period.
Conversely, an underweight allocation relative to the Index in government agency securities detracted from performance as spreads in the sector tightened over the course of the period.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Focus Growth Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Focus Growth Portfolio Class X shares produced a total return of 30.12%, outperforming the Russell 1000® Growth Index8 (the "Index"), which returned 11.53%. For the same period, the Portfolio's Class Y shares returned 30.05%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
8 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. 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.
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The Portfolio's outperformance of the Index during the period was driven primarily by three sectors. The largest outperformance came from stock selection in the consumer discretionary sector, driven by retail and consumer electronics holdings. Both stock selection and an underweight in financial services were the next largest positive contributors. Within the sector, securities brokerage and services was the Portfolio's top performing industry. The third largest driver of outperformance was stock selection in technology, despite the modestly negative impact of an underweight in the sector. The computer technology industry generated strong relative performance for the Portfolio.
Although the Portfolio outperformed the Index, there were other areas that detracted from performance. Stock selection and an overweight in autos and transportation hampered relative results, largely due to the transportation logistics industry. An overweight position and stock selection in the other (multi-industry) sector further diminished relative gains. Finally, although an overweight in the materials sector was advantageous, it was more than offset by the negative influence of stock selection there. Within the sector, the building cement industry was the Portfolio's main detractor.
In our view, the market seems to be stabilizing but until visibility improves, share prices will continue to be susceptible to periods of volatility. Nonetheless, we remain optimistic and continue to focus on company fundamentals rather than macro forecasting. It is our goal to hold a portfolio of high-quality growth stocks we believe may perform well regardless of the market environment. We continue to favor companies that have some uniqueness or dynamic competitive advantage in their business model, with a high-quality stream of cash flow and earnings growth and the ability to redeploy capital at a high rate of return.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Global Infrastructure Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Global Infrastructure Portfolio Class X shares produced a total return of 1.23%, underperforming the S&P 500® Utilities Index/S&P Global Infrastructure Index9 (the "Index"), which returned 2.22%, and the S&P Global BMI Index,10 which
9 The S&P 500® Utilities Index/S&P Global Infrastructure Index is a custom index represented by the performance of the S&P 500® Utilities Index for periods from the Portfolio's inception to and including November 5, 2008 (the date the Portfolio completed implementation of the change to its principal investment strategy), and the performance of the S&P Global Infrastructure Index for periods thereafter. 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.
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returned 10.98%. For the same period, the Portfolio's Class Y shares returned 1.10%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's holdings in gas utilities and industrial conglomerates, neither of which is represented in the Index, detracted from relative performance as both segments underperformed for the period. An underweight relative to the Index in oil and gas storage and transportation also hindered relative returns.
Other positions, however, contributed positively to relative performance. An underweight in electric utilities, coupled with strong security selection in the sector, added to relative gains as did security selection and an overweight in independent power producers. Security selection in multi-utilities also enhanced relative performance.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Mid Cap Growth Portfolio
For the six-month period ended June 30, 2009, Select Dimensions – Mid Cap Growth Portfolio Class X shares produced a total return of 24.50%, outperforming the Russell Midcap® Growth Index11 (the "Index"), which returned 16.61%. For the same period, the Portfolio's Class Y shares returned 24.36%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
10 The Standard & Poor's Global BMI Index (S&P Global BMI Index) is a broad market index designed to capture exposure to equities in all countries in the world that meet minimum size and liquidity requirements. As of the date of this Report, there are approximately 11,000 index members representing 25 developed and 21 emerging market countries. 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.
11 The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Index is a subset of the Russell 1000® Index and includes approximately 800 of the smallest securities in the Russell 1000® Index, which in turn consists of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. 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 inde x.
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The Portfolio's outperformance of the Index during the period was driven primarily by three sectors. The largest outperformance came from stock selection and an overweight in the consumer discretionary sector, driven by commercial services and consumer electronics holdings. The next largest contributor was stock selection in technology, despite the modestly negative impact of an underweight in the sector. Here, the computer services software and systems industry generated strong relative performance for the Portfolio. Finally, stock selection in financial services also boosted relative gains, due to the Portfolio's exposure to the rental and leasing commercial services industry.
Although the Portfolio outperformed the Index, there were two areas that detracted from performance. In the materials and processing sector, stock selection hampered relative performance, largely within the building materials industry. An overweight and stock selection in autos and transportation also hurt relative results, dampened by weakness in the transportation logistics industry.
In our view, the market seems to be stabilizing but until visibility improves, share prices will continue to be susceptible to periods of volatility. Nonetheless, we remain optimistic and continue to focus on company fundamentals rather than macro forecasting. It is our goal to hold a portfolio of high-quality growth stocks we believe may perform well regardless of the market environment. We continue to favor companies that have some uniqueness or dynamic competitive advantage in their business model, with a high-quality stream of cash flow and earnings growth and the ability to redeploy capital at a high rate of return.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Money Market Portfolio
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although money market funds seek to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in such funds.
As of June 30, 2009, Money Market Portfolio had net assets of approximately $191 million with an average portfolio maturity of 18 days. For the seven-day period ended June 30, 2009, the Portfolio's Class X shares provided an effective annualized yield of 0.01% and a current yield of 0.01%, while its 30-day moving average yield for June was 0.01%. Yield quotations more closely reflect the current earnings of the Portfolio. For the six-month period ended June 30, 2009, the Portfolio's Class X shares returned 0.02%. Past performance is no guarantee of future results.
13
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n June 30, 2009 continued
For the seven-day period ended June 30, 2009, the Portfolio's Class Y shares provided an effective annualized yield of 0.01% and a current yield of 0.01%, while its 30-day moving average yield for June was 0.01%. Yield quotations more closely reflect the current earnings of the Portfolio. For the six-month period ended June 30, 2009, the Portfolio's Class Y shares returned 0.01%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
During the reporting period, we continued to place a strong emphasis on purchasing high quality corporate, financial, and banking obligations. We focused on maintaining high levels of liquidity and a short weighted average maturity to guard against the uncertainty caused by volatility in the financial markets. Our strategy in managing the Portfolio remained consistent with our long-term focus on capital preservation and very high liquidity and as in the past, we adhered to a conservative approach. We continue to review all eligible securities on our purchase list to ensure that they continue to meet our high standards of minimal credit risk.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
We appreciate your ongoing support of Morgan Stanley Select Dimensions Investment Series and look forward to continuing to serve your investment needs.
Very truly yours,
Randy Takian
President and Principal Executive Officer
14
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n June 30, 2009 continued
Proxy Voting Policy and Procedures and Proxy Voting Record
You may obtain a copy of the Portfolios' 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 Securities and Exchange Commission's Web site at http://www.sec.gov.
You may obtain information regarding how the Portfolios 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 Securities and Exchange Commission's Web site at http://www.sec.gov.
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 20549-0102.
15
Morgan Stanley Select Dimensions Investment Series
Performance Summary n June 30, 2009
Average Annual Total Returns—Period Ended June 30, 2009(1) | |||||||||||||||||||||||
Class X | Date of Inception | 1 Year | 5 Years | 10 Years | Since Inception | ||||||||||||||||||
Balanced | 11/9/1994 | -14.55 | % | 1.30 | % | 1.73 | % | 6.28 | % | ||||||||||||||
Capital Growth | 11/9/1994 | -27.86 | -0.05 | -1.63 | 4.55 | ||||||||||||||||||
Capital Opportunities | 1/21/1997 | -28.96 | 3.44 | -2.22 | 0.88 | ||||||||||||||||||
Dividend Growth | 11/9/1994 | -26.59 | -3.33 | -2.18 | 6.11 | ||||||||||||||||||
Equally-Weighted S&P 500 | 11/9/1994 | -24.09 | -1.22 | 2.16 | 7.74 | ||||||||||||||||||
Flexible Income | 11/9/1994 | -7.01 | 0.67 | 1.44 | 2.93 | ||||||||||||||||||
Focus Growth | 11/9/1994 | -31.40 | -0.98 | -1.76 | 6.78 | ||||||||||||||||||
Global Infrastructure | 11/9/1994 | -29.09 | 6.11 | 2.24 | 8.00 | ||||||||||||||||||
Mid Cap Growth | 11/9/1994 | -28.37 | 3.33 | 1.94 | 8.18 | ||||||||||||||||||
Money Market | 11/9/1994 | 0.85 | 3.04 | 2.97 | 3.70 |
Past performance is not predictive of future returns. Investment return and principal value will fluctuate. When you sell fund shares, they may be worth 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 X shares will vary from the Performance of Class Y shares due to differences in expenses.
1) Figure assumes reinvestment of all distributions for the underlying fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges.
16
Morgan Stanley Select Dimensions Investment Series
Performance Summary n June 30, 2009
Average Annual Total Returns—Period Ended June 30, 2009(1) | |||||||||||||||||||||||
Class Y | Date of Inception | 1 Year | 5 Years | 10 Years | Since Inception | ||||||||||||||||||
Balanced | 7/24/2000 | -14.75 | % | 1.04 | % | N/A% | 2.67 | % | |||||||||||||||
Capital Growth | 7/24/2000 | -28.08 | -0.30 | N/A | -5.02 | ||||||||||||||||||
Capital Opportunities | 7/24/2000 | -29.12 | 3.18 | N/A | -9.62 | ||||||||||||||||||
Dividend Growth | 7/24/2000 | -26.80 | -3.57 | N/A | -0.63 | ||||||||||||||||||
Equally-Weighted S&P 500 | 7/24/2000 | -24.32 | -1.48 | N/A | 2.25 | ||||||||||||||||||
Flexible Income | 7/24/2000 | -7.23 | 0.41 | N/A | 1.50 | ||||||||||||||||||
Focus Growth | 7/24/2000 | -31.54 | -1.22 | N/A | -5.52 | ||||||||||||||||||
Global Infrastructure | 7/24/2000 | -29.26 | 5.85 | N/A | -0.93 | ||||||||||||||||||
Mid Cap Growth | 7/24/2000 | -28.55 | 3.08 | N/A | -2.09 | ||||||||||||||||||
Money Market | 7/24/2000 | 0.71 | 2.81 | N/A | 2.44 |
Past performance is not predictive of future returns. Investment return and principal value will fluctuate. When you sell fund shares, they may be worth 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 Y shares will vary from the Performance of Class X shares due to differences in expenses.
1) Figure assumes reinvestment of all distributions for the underlying fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges.
17
Morgan Stanley Select Dimensions Investment Series
Expense Example n June 30, 2009
As a shareholder of the Portfolio, you incur two types of costs: (1) insurance company charges; and (2) ongoing costs, including advisory fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 01/01/09 – 06/30/09.
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 accoun t during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any insurance company charges. 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 insurance company charges were included, your costs would have been higher.
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Morgan Stanley Select Dimensions Investment Series
Expense Example n June 30, 2009 continued
Money Market
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (0.02% return) | $ | 1,000.00 | $ | 1,000.20 | $ | 2.38 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | |||||||||
Class Y | |||||||||||||||
Actual (0.01% return) | $ | 1,000.00 | $ | 1,000.10 | $ | 2.48 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.32 | $ | 2.51 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.48% and 0.50% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.58% and 0.83% for Class X and Class Y shares, respectively. These figures reflect fees paid in connection with the U.S. Treasury Guarantee Program for Money Market Funds. This fee had an effect of 0.04%.
Flexible Income
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (9.14% return) | $ | 1,000.00 | $ | 1,091.40 | $ | 4.82 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.18 | $ | 4.66 | |||||||||
Class Y | |||||||||||||||
Actual (8.97% return) | $ | 1,000.00 | $ | 1,089.70 | $ | 6.11 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.94 | $ | 5.91 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.93% and 1.18% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Balanced
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (0.14% return) | $ | 1,000.00 | $ | 1,001.40 | $ | 4.27 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.53 | $ | 4.31 | |||||||||
Class Y | |||||||||||||||
Actual (-0.03% return) | $ | 1,000.00 | $ | 999.70 | $ | 5.50 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.86% and 1.11% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.87% and 1.12% for Class X and Class Y shares, respectively.
19
Morgan Stanley Select Dimensions Investment Series
Expense Example n June 30, 2009 continued
Global Infrastructure
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (1.23% return) | $ | 1,000.00 | $ | 1,012.30 | $ | 7.18 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,017.65 | $ | 7.20 | |||||||||
Class Y | |||||||||||||||
Actual (1.10% return) | $ | 1,000.00 | $ | 1,011.00 | $ | 8.43 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,016.41 | $ | 8.45 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.44% and 1.69% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Dividend Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (2.53% return) | $ | 1,000.00 | $ | 1,025.30 | $ | 3.72 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.12 | $ | 3.71 | |||||||||
Class Y | |||||||||||||||
Actual (2.41% return) | $ | 1,000.00 | $ | 1,024.10 | $ | 4.97 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.74% and 0.99% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Equally-Weighted S&P 500
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (12.53% return) | $ | 1,000.00 | $ | 1,125.30 | $ | 2.00 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.91 | $ | 1.91 | |||||||||
Class Y | |||||||||||||||
Actual (12.36% return) | $ | 1,000.00 | $ | 1,123.60 | $ | 3.32 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.67 | $ | 3.16 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.39% and 0.64% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
20
Morgan Stanley Select Dimensions Investment Series
Expense Example n June 30, 2009 continued
Capital Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (26.61% return) | $ | 1,000.00 | $ | 1,266.10 | $ | 5.11 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.28 | $ | 4.56 | |||||||||
Class Y | |||||||||||||||
Actual (26.36% return) | $ | 1,000.00 | $ | 1,263.60 | $ | 6.51 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.04 | $ | 5.81 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.91% and 1.16% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). If the Portfolio had borne all its expenses, the annualized expense ratios would have been 0.92% and 1.17% for class Class X and Class Y shares, respectively.
Focus Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (30.12% return) | $ | 1,000.00 | $ | 1,301.20 | $ | 4.34 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.03 | $ | 3.81 | |||||||||
Class Y | |||||||||||||||
Actual (30.05% return) | $ | 1,000.00 | $ | 1,300.50 | $ | 5.76 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.76% and 1.01% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
21
Morgan Stanley Select Dimensions Investment Series
Expense Example n June 30, 2009 continued
Capital Opportunities
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (31.25% return) | $ | 1,000.00 | $ | 1,312.50 | $ | 7.05 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.70 | $ | 6.16 | |||||||||
Class Y | |||||||||||||||
Actual (31.12% return) | $ | 1,000.00 | $ | 1,311.20 | $ | 8.48 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,017.46 | $ | 7.40 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.23% and 1.48% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Mid Cap Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/09 | 06/30/09 | 01/01/09 – 06/30/09 | |||||||||||||
Class X | |||||||||||||||
Actual (24.50% return) | $ | 1,000.00 | $ | 1,245.00 | $ | 4.62 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.68 | $ | 4.16 | |||||||||
Class Y | |||||||||||||||
Actual (24.36% return) | $ | 1,000.00 | $ | 1,243.60 | $ | 6.01 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.44 | $ | 5.41 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.83% and 1.08% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.84% and 1.09% for Class X and Class Y, respectively.
22
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2009
Nature, Extent and Quality of Services
The Board reviewed and considered the nature and extent of the investment advisory services provided by the Investment Adviser (as defined herein) under the advisory agreement, including portfolio management, investment research and equity and fixed income securities trading. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Administrator (as defined herein) under the administration agreement, including accounting, clerical, bookkeeping, compliance, business management and planning, and the provision of supplies, office space and utilities at the Investment Adviser's expense. (The Investment Adviser and Administrator together are referred to as the "Adviser" and the advisory, sub-advisory and administration agreements together are referred to as the "Management Agreement.") The Board also compared the nature of the services provided by the Adviser with simil ar services provided by non-affiliated advisers as reported to the Board by Lipper, Inc. ("Lipper").
The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key personnel of the Adviser who provide the administrative and advisory services to the Portfolios. The Board determined that the Adviser's portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services provided were necessary and appropriate for the conduct of the business and investment activities of the Portfolios and supported its decision to approve the Management Agreement.
Performance, Fees and Expenses of the Portfolios
The Board reviewed the performance, fees and expenses of the Portfolios compared to their peers, as determined by Lipper, and to appropriate benchmarks where applicable. The Board discussed with the Adviser the performance goals and the actual results achieved in managing the Portfolios. When considering a fund's performance, the Board and the Adviser place emphasis on trends and longer-term returns (focusing on one-year, three-year and five-year performance as of December 31, 2008, as applicable). When a fund underperforms its benchmark and/or its peer group average, they discuss the causes of such underperformance and, where necessary, they discuss specific changes to investment strategy or investment personnel.
Performance
The Board noted that the performance of the Capital Growth, Equally-Weighted S&P 500, Flexible Income, Focus Growth and Money Market Portfolios was below the peer group averages for the one-, three- and five-year periods. The Board noted that performance of the Flexible Income Portfolio had recently improved.
The Board noted that the performance of the Balanced Portfolio was better than the peer group averages for the one-, three- and five-year periods.
23
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2009 continued
The Board noted that the performance of the Capital Opportunities Portfolio was better than the peer group average for the five-year period but below the peer group averages for the one- and three-year periods.
The Board noted that the performance of the Dividend Growth and Global Infrastructure Portfolios was better than the peer group averages for the one-year period but below the peer group averages for the three- and five-year periods. The Board also noted that performance of the Dividend Growth Portfolio had recently improved compared to its peer group average.
The Board noted that the Mid Cap Growth Portfolio's performance was better than its peer group average for the three- and five-year periods but below its peer group average for the one-year period.
Performance Conclusions
With respect to the Capital Growth, Capital Opportunities, Equally-Weighted S&P 500, Flexible Income, Focus Growth and Money Market Portfolios, after discussion, the Board concluded that performance was acceptable.
With respect to the Balanced, Dividend Growth, Global Infrastructure and Mid Cap Growth Portfolios, after discussion, the Board concluded that performance was competitive with the peer group averages.
Fees and Expenses
The Board members discussed with the Adviser the level of the advisory and administration fees (together, the "management fee") for the Portfolios relative to comparable funds advised by the Adviser and compared to their peers as determined by Lipper. In addition to the management fee, the Board also reviewed the Portfolios' total expense ratios.
The Board noted that the management fee and total expense ratio for the Capital Opportunities Portfolio were higher than but close to the peer group average.
The Board noted that the management fees and total expense ratios for the Capital Growth, Dividend Growth, Equally-Weighted S&P 500, Flexible Income, Focus Growth, Global Infrastructure and Mid Cap Growth Portfolios were lower than the peer group averages.
The Board noted for the Money Market Portfolio that while the management fee was higher than the peer group average, the total expense ratio was lower than the peer group average.
The Board noted for the Balanced Portfolio that while the management fee was lower than the peer group average, the total expense ratio was higher but close to the peer group average.
24
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2009 continued
Fee and Expense Conclusions
With respect to the Money Market Portfolio, after discussion, the Board concluded that the management fee, although higher than the peer group average, was acceptable because the total expense ratio was competitive with the peer group average.
With respect to the Balanced, Capital Growth, Capital Opportunities, Dividend Growth, Equally-Weighted S&P 500, Flexible Income, Focus Growth, Global Infrastructure and Mid Cap Growth Portfolios, the Board concluded that the management fees and total expense ratios were competitive with the peer group averages.
Economies of Scale
The Board considered the size and growth prospects of the Portfolios and how that relates to the Portfolios' total expense ratios and particularly the Portfolios' management fee rates (which, for all the Portfolios except Flexible Income, include one or more breakpoints). In conjunction with its review of the Adviser's profitability, the Board discussed with the Adviser how a change in assets can affect the efficiency or effectiveness of managing the Portfolios and whether the management fee level is appropriate relative to current and projected asset levels and/or whether the management fee structure reflects economies of scale as asset levels change. The Board has determined that its review of the actual and potential economies of scale of each Portfolio supports its decision to approve the Management Agreement.
Profitability of the Adviser and Affiliates
The Board considered information concerning the costs incurred and profits realized by the Adviser and its affiliates during the last year from their relationship with the Portfolios and during the last two years from their relationship with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost allocation methodology used to determine the profitability of the Adviser and affiliates. The Board has determined that its review of the analysis of the Adviser's expenses and profitability supports its decision to approve the Management Agreement.
Other Benefits of the Relationship
The Board considered other benefits to the Adviser and its affiliates derived from their relationship with the Portfolios and other funds advised by the Adviser. These benefits may include, among other things, "float" benefits derived from handling of checks for purchases and sales, research received by the Adviser generated from commission dollars spent on funds' portfolio trading and fees for distribution and/or shareholder servicing. The Board reviewed with the Adviser each of these arrangements and the reasonableness of its costs relative to the services performed. The Board has determined that its review of the other benefits received by the Adviser or its affiliates supports its decision to approve the Management Agreement.
25
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2009 continued
Resources of the Adviser and Historical Relationship Between the Portfolios and the Adviser
The Board considered whether the Adviser is financially sound and has the resources necessary to perform its obligations under the Management Agreement. The Board also reviewed and considered the historical relationship between the Portfolios and the Adviser, including the organizational structure of the Adviser, the policies and procedures formulated and adopted by the Adviser for managing the Portfolios' operations and the Board's confidence in the competence and integrity of the senior managers and key personnel of the Adviser. The Board concluded that the Adviser has the financial resources necessary to fulfill its obligations under the Management Agreement and that it is beneficial for the Portfolios to continue their relationship with the Adviser.
Other Factors and Current Trends
The Board considered the controls and procedures adopted and implemented by the Adviser and monitored by the Fund's Chief Compliance Officer and concluded that the conduct of business by the Adviser indicates a good faith effort on its part to adhere to high ethical standards in the conduct of the Fund's business.
General Conclusion
After considering and weighing all of the above factors, the Board concluded that it would be in the best interest of each Portfolio and its shareholders to approve renewal of the Management Agreement for another year. In reaching this conclusion the Board did not give particular weight to any single factor referenced above. The Board considered these factors over the course of numerous meetings, some of which were in executive session with only the Independent Board members and their counsel present. It is possible that individual Board members may have weighed these factors differently in reaching their individual decisions to approve the Management Agreement.
26
Money Market
Portfolio of Investments n June 30, 2009 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Commercial Paper (42.7%) | |||||||||||||||||||
Asset-Backed - Consumer Diversified (3.7%) | |||||||||||||||||||
$ | 7,000 | Sheffield Receivables Corp. (a) | 0.56 | % | 07/01/09 | $ | 7,000,000 | ||||||||||||
Banking (13.1%) | |||||||||||||||||||
9,000 | HSBC USA Inc. | 0.26 | 07/02/09 - 07/09/09 | 8,999,733 | |||||||||||||||
8,000 | JPMorgan Chase Funding Inc. (a) | 0.27 | 07/27/09 | 7,998,440 | |||||||||||||||
8,000 | Wells Fargo & Co. | 0.20 | 07/01/09 | 8,000,000 | |||||||||||||||
24,998,173 | |||||||||||||||||||
International Banks (25.9%) | |||||||||||||||||||
5,000 | Calyon North America Inc. | 0.70 | 08/04/09 | 4,996,695 | |||||||||||||||
5,000 | NRW Bank (a) | 0.35 | 07/20/09 | 4,999,076 | |||||||||||||||
7,000 | National Australia Funding (Delaware) | 0.34 | 08/26/09 | 6,996,298 | |||||||||||||||
5,000 | Rabobank (U.S.) Finance Corp. | 0.65 | 07/01/09 | 5,000,000 | |||||||||||||||
4,000 | RBS Holdings USA Inc. | 0.94 | 08/17/09 | 3,995,091 | |||||||||||||||
5,000 | Royal Bank of Scotland PLC | 0.95 | 07/10/09 | 4,998,813 | |||||||||||||||
5,000 | San Paolo (U.S.) Financial Co. | 0.28 | 07/10/09 | 4,999,650 | |||||||||||||||
4,000 | Societe Generale N.A., Inc. | 0.69 | 08/06/09 | 3,997,240 | |||||||||||||||
9,500 | UBS Finance (Delaware) LLC | 0.84 - 0.92 | 08/21/09 - 08/25/09 | 9,487,658 | |||||||||||||||
49,470,521 | |||||||||||||||||||
Total Commercial Paper (Cost $81,468,694) | 81,468,694 | ||||||||||||||||||
Repurchase Agreements (30.3%) | |||||||||||||||||||
13,000 | Banc of America Securities (dated 06/30/09; proceeds $13,000,022); fully collateralized by Federal Home Loan Mortgage Corp., 0.00% - 1.50%, due 11/23/09 - 01/07/11; valued at $13,260,102. | 0.06 | 07/01/09 | 13,000,000 | |||||||||||||||
44,771 | BNP Paribas Securities (dated 06/30/09; proceeds $44,771,062); fully collateralized by Federal National Mortgage Assoc., 5.38% - 6.19%, due 02/01/36 - 10/01/37; Federal Home Loan Mortgage Corp., 4.38% - 6.06%, due 03/01/35 - 06/01/37, valued at $46,114,131. | 0.05 | 07/01/09 | 44,771,000 | |||||||||||||||
Total Repurchase Agreements (Cost $57,771,000) | 57,771,000 |
See Notes to Financial Statements
27
Money Market
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Floating Rate Notes (14.1%) | |||||||||||||||||||
International Banks (6.3%) | |||||||||||||||||||
$ | 2,000 | Barclays Bank PLC | 0.92 | (b) % | 07/20/09(c) | $ | 2,000,000 | ||||||||||||
5,000 | Societe Generale | 0.67 | (b) | 08/05/09(c) | 5,000,000 | ||||||||||||||
5,000 | Westpac Banking Corp. | 0.65 | (b) | 09/08/09(c) | 5,000,000 | ||||||||||||||
12,000,000 | |||||||||||||||||||
U.S. Government Agencies (7.8%) | |||||||||||||||||||
15,000 | Federal Home Loan Banks | 0.62 - 0.75 | (b) | 08/08/09 - 08/19/09(c) | 14,992,695 | ||||||||||||||
Total Floating Rate Notes (Cost $26,992,695) | 26,992,695 | ||||||||||||||||||
Certificates of Deposit (7.3%) | |||||||||||||||||||
International Banks | |||||||||||||||||||
5,000 | Banco Bilbao Vizcaya Argentaria-NY | 0.96 | 07/06/09 | 5,000,003 | |||||||||||||||
9,000 | Lloyds TSB Bank PLC | 0.60 - 0.85 | 07/02/09 - 09/04/09 | 9,000,000 | |||||||||||||||
Total Certificates of Deposit (Cost $14,000,003) | 14,000,003 | ||||||||||||||||||
Time Deposits (5.8%) | |||||||||||||||||||
7,000 | Barclays Bank PLC Cayman | 0.10 | 07/01/09 | 7,000,000 | |||||||||||||||
4,000 | Calyon Grand Cayman | 0.25 | 07/01/09 | 4,000,000 | |||||||||||||||
Total Time Deposits (Cost $11,000,000) | 11,000,000 | ||||||||||||||||||
Total Investments (Cost $191,232,392) (d) | 100.2 | % | 191,232,392 | ||||||||||||||||
Liabilities in Excess of Other Assets | (0.2 | ) | (387,033 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 190,845,359 |
(a) Resale is restricted to qualified institutional investors.
(b) Rate shown is the rate in effect at June 30, 2009.
(c) Date of next interest rate reset.
(d) Cost is the same for federal income tax purposes.
MATURITY SCHEDULE†
1 - 30 Days | 69 | % | |||||
31 - 60 Days | 26 | ||||||
61 - 90 Days | 5 | ||||||
100 | % |
† As a percentage of total investments.
See Notes to Financial Statements
28
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Foreign Government & Corporate Bonds (15.9%) | |||||||||||||||||||
Argentina (0.1%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
$ | 82 | Republic of Argentina | 0.00 | % | 08/03/09 | $ | 10,750 | ||||||||||||
82 | Republic of Argentina | 0.00 | 08/03/12 | 19,987 | |||||||||||||||
20 | Republic of Argentina (c)(d) | 8.28 | 12/31/33 | 10,495 | |||||||||||||||
Total Argentina | 41,232 | ||||||||||||||||||
Australia (0.2%) | |||||||||||||||||||
Beverages: Alcoholic (0.1%) | |||||||||||||||||||
35 | FBG Finance Ltd. - 144A (a) | 5.125 | 06/15/15 | 32,828 | |||||||||||||||
Other Metals/Minerals (0.1%) | |||||||||||||||||||
35 | Rio Tinto Finance USA Ltd. | 6.50 | 07/15/18 | 35,080 | |||||||||||||||
Total Australia | 67,908 | ||||||||||||||||||
Belize (0.0%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
7 | Government of Belize | 4.25 | 02/20/29 | 3,255 | |||||||||||||||
Bermuda (0.3%) | |||||||||||||||||||
Insurance Brokers/Services | |||||||||||||||||||
150 | Catlin Insurance Co., Ltd. (Bermuda) - 144A (a)(f) | 7.249 | (b) | 12/31/49 | 84,102 | ||||||||||||||
Brazil (1.4%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
200 | Banco Nacional de Desenvolvimento e Social - 144A (a) | 6.369 | 06/16/18 | 197,500 | |||||||||||||||
10 | Federative Republic of Brazil (The) | 7.125 | 01/20/37 | 10,900 | |||||||||||||||
150 | Federative Republic of Brazil (The) | 5.875 | 01/15/19 | 152,100 | |||||||||||||||
14 | Federative Republic of Brazil (The) | 8.00 | 01/15/18 | 15,750 | |||||||||||||||
30 | Federative Republic of Brazil (The) | 11.00 | 08/17/40 | 39,180 | |||||||||||||||
Total Brazil | 415,430 | ||||||||||||||||||
Canada (1.7%) | |||||||||||||||||||
Aerospace & Defense (0.6%) | |||||||||||||||||||
200 | Bomberdier Inc. - 144A (a) | 6.30 | 05/01/14 | 176,000 | |||||||||||||||
Chemicals: Agricultural (0.0%) | |||||||||||||||||||
10 | Potash Corp. of Saskatchewan Inc. | 6.50 | 05/15/19 | 10,795 | |||||||||||||||
Financial Conglomerates (0.0%) | |||||||||||||||||||
10 | Brookfield Asset Management Inc. | 5.80 | 04/25/17 | 8,288 |
See Notes to Financial Statements
29
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Major Telecommunications (0.1%) | |||||||||||||||||||
$ | 40 | Rogers Communications, Inc. | 6.80 | % | 08/15/18 | $ | 42,954 | ||||||||||||
Oil & Gas Pipelines (0.3%) | |||||||||||||||||||
120 | Kinder Morgan Finance Co., ULC | 5.70 | 01/05/16 | 103,500 | |||||||||||||||
Oil & Gas Production (0.1%) | |||||||||||||||||||
20 | Devon Financing Corp. | 7.875 | 09/30/31 | 23,617 | |||||||||||||||
Other Metals/Minerals (0.5%) | |||||||||||||||||||
25 | Brascan Corp. | 7.125 | 06/15/12 | 24,564 | |||||||||||||||
105 | Teck Resources Ltd. - 144A (a) | 10.25 | 05/15/16 | 110,123 | |||||||||||||||
134,687 | |||||||||||||||||||
Railroads (0.1%) | |||||||||||||||||||
25 | Canadian National Railway Co. | 5.55 | 03/01/19 | 25,952 | |||||||||||||||
Total Canada | 525,793 | ||||||||||||||||||
Caymen Islands (0.3%) | |||||||||||||||||||
Aerospace & Defense (0.2%) | |||||||||||||||||||
53 | Systems 2001 Asset Trust 144A (a) | 6.664 | 09/15/13 | 52,559 | |||||||||||||||
Oil Related (0.1%) | |||||||||||||||||||
30 | Transocean Inc. | 6.00 | 03/15/18 | 31,241 | |||||||||||||||
Total Caymen Islands | 83,800 | ||||||||||||||||||
France (0.5%) | |||||||||||||||||||
Electric Utilities (0.2%) | |||||||||||||||||||
55 | Electricite de France - 144A (a) | 6.50 | 01/26/19 | 60,346 | |||||||||||||||
Major Telecommunications (0.1%) | |||||||||||||||||||
15 | France Telecom S.A. (France) | 8.50 | (b) | 03/01/31 | 19,319 | ||||||||||||||
Media Conglomerates (0.1%) | |||||||||||||||||||
45 | Vivendi - 144A (a) | 6.625 | 04/04/18 | 45,377 | |||||||||||||||
Oilfield Services/Equipment (0.1%) | |||||||||||||||||||
25 | Compagnie Generale de Geophysique-Veritas | 7.50 | 05/15/15 | 23,062 | |||||||||||||||
Total France | 148,104 | ||||||||||||||||||
Germany (0.2%) | |||||||||||||||||||
Banking | |||||||||||||||||||
60 | Kreditstalt fuer Wiederaufbau | 4.875 | 06/17/19 | 62,294 | |||||||||||||||
Ghana (0.3%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
100 | Republic of Ghana - 144A (a) | 8.50 | 10/04/17 | 80,000 |
See Notes to Financial Statements
30
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Indonesia (0.8%) | |||||||||||||||||||
Foreign Government Obligations (0.7%) | |||||||||||||||||||
$ | 100 | Republic of Indonesia | 7.75 | % | 01/17/38 | $ | 92,000 | ||||||||||||
100 | Republic of Indonesia - 144A (a) | 11.625 | 03/04/19 | 127,125 | |||||||||||||||
219,125 | |||||||||||||||||||
Pulp & Paper (0.1%) | |||||||||||||||||||
264 | Tjiwi Kimia Finance BV | 0.00 | (b) | 04/29/27 | 6,591 | ||||||||||||||
19 | Tjiwi Kimia Finance BV | 3.05 | (b) | 04/29/15 | 5,551 | ||||||||||||||
107 | Tjiwi Kimia Finance BV | 3.094 | (b) | 04/29/18 | 24,013 | ||||||||||||||
36,155 | |||||||||||||||||||
Total Indonesia | 255,280 | ||||||||||||||||||
Luxembourg (1.9%) | |||||||||||||||||||
Diversified Manufacturing (0.5%) | |||||||||||||||||||
155 | Tyco Electronics Group S.A. | 5.95 | 01/15/14 | 144,890 | |||||||||||||||
Major Telecommunications (0.4%) | |||||||||||||||||||
80 | Telcom Italia Capital S.A. | 6.999 | 06/04/18 | 81,066 | |||||||||||||||
30 | Telcom Italia Capital S.A. | 7.175 | 06/18/19 | 30,465 | |||||||||||||||
111,531 | |||||||||||||||||||
Steel (0.4%) | |||||||||||||||||||
50 | ArcelorMittal | 6.125 | 06/01/18 | 43,822 | |||||||||||||||
85 | ArcelorMittal | 9.85 | 06/01/19 | 91,880 | |||||||||||||||
135,702 | |||||||||||||||||||
Wireless Telecommunications (0.6%) | |||||||||||||||||||
180 | Wind Acquisition Finance S.A. - 144A (a) | 10.75 | (b) | 12/01/15 | 180,900 | ||||||||||||||
Total Luxembourg | 573,023 | ||||||||||||||||||
Mexico (0.9%) | |||||||||||||||||||
Foreign Government Obligations (0.7%) | |||||||||||||||||||
84 | United Mexican States (Series A) | 5.95 | 03/19/19 | 85,260 | |||||||||||||||
120 | United Mexican States (Series A) | 6.75 | 09/27/34 | 121,620 | |||||||||||||||
206,880 | |||||||||||||||||||
Oil & Gas Production (0.2%) | |||||||||||||||||||
60 | Pemex Project Funding Master Trust - 144A (a) | 2.62 | (b) | 06/15/10 | 59,100 | ||||||||||||||
Total Mexico | 265,980 |
See Notes to Financial Statements
31
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Netherlands (1.8%) | |||||||||||||||||||
Education (0.4%) | |||||||||||||||||||
$ | 130 | Intergen N.V. - 144A (a) | 9.00 | % | 06/30/17 | $ | 123,825 | ||||||||||||
Electric Utilities (0.3%) | |||||||||||||||||||
75 | E.ON International Finance B.V. - 144A (a) | 5.80 | 04/30/18 | 78,165 | |||||||||||||||
Electronic Components (0.1%) | |||||||||||||||||||
40 | Koninklijke (Royal) Philips Electronics N.V. | 5.75 | 03/11/18 | 40,388 | |||||||||||||||
Major Telecommunications (0.4%) | |||||||||||||||||||
25 | Deutsche Telekom International Finance Corp. N.V. | 8.75 | (b) | 06/15/30 | 29,344 | ||||||||||||||
70 | Telefonica Europe B.V. | 8.25 | 09/15/30 | 86,904 | |||||||||||||||
116,248 | |||||||||||||||||||
Oil - Exploration & Production (0.6%) | |||||||||||||||||||
200 | KazMunaiGaz Finance Sub B.V. - 144A (a) | 9.125 | 07/02/18 | 179,500 | |||||||||||||||
Total Netherlands | 538,126 | ||||||||||||||||||
Peru (0.6%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
40 | Republic of Peru | 7.125 | 03/30/19 | 42,900 | |||||||||||||||
10 | Republic of Peru | 7.35 | 07/21/25 | 10,750 | |||||||||||||||
106 | Republic of Peru | 8.75 | 11/21/33 | 129,585 | |||||||||||||||
Total Peru | 183,235 | ||||||||||||||||||
Philippines (0.3%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
87 | Republic of the Philippines | 8.875 | 03/17/15 | 99,615 | |||||||||||||||
Russia (1.0%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
61 | Russian Federation | 7.50 | (b) | 03/31/30 | 60,749 | ||||||||||||||
14 | Federal Republic of Russia | 8.25 | 03/31/10 | 14,580 | |||||||||||||||
90 | Federal Republic of Russia | 12.75 | 06/24/28 | 130,050 | |||||||||||||||
100 | Russian Agricultural Bank - 144A (a) | 7.175 | 05/16/13 | 95,500 | |||||||||||||||
Total Russia | 300,879 | ||||||||||||||||||
Singapore (0.2%) | |||||||||||||||||||
Electronic Components | |||||||||||||||||||
75 | Flexitronics International Ltd. | 6.50 | 05/15/13 | 72,563 | |||||||||||||||
South Korea (0.1%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
20 | Republic of Korea (The) | 5.75 | 04/16/14 | 20,536 |
See Notes to Financial Statements
32
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Switzerland (0.2%) | |||||||||||||||||||
Major Banks (0.1%) | |||||||||||||||||||
$ | 15 | Credit Suisse/New York NY | 6.00 | % | 02/15/18 | $ | 15,000 | ||||||||||||
15 | Credit Suisse (USA) Inc. | 5.125 | 08/15/15 | 15,402 | |||||||||||||||
30,402 | |||||||||||||||||||
Oilfield Services/Equipment (0.1%) | |||||||||||||||||||
30 | Weatherford International, Inc. | 6.00 | 03/15/18 | 29,509 | |||||||||||||||
Total Switzerland | 59,911 | ||||||||||||||||||
Turkey (1.1%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
100 | Republic of Turkey | 6.75 | 04/03/18 | 99,563 | |||||||||||||||
17 | Republic of Turkey | 6.875 | 03/17/36 | 15,640 | |||||||||||||||
15 | Republic of Turkey | 8.00 | 02/14/34 | 15,765 | |||||||||||||||
87 | Republic of Turkey | 11.00 | 01/14/13 | 101,790 | |||||||||||||||
55 | Republic of Turkey | 11.875 | 01/15/30 | 84,150 | |||||||||||||||
Total Turkey | 316,908 | ||||||||||||||||||
United Kingdom (1.6%) | |||||||||||||||||||
Advertising/Marketing Services (0.3%) | |||||||||||||||||||
100 | WPP Finance | 8.00 | 09/15/14 | 101,659 | |||||||||||||||
Beverages: Alcoholic (0.2%) | |||||||||||||||||||
45 | Diageo Capital PLC | 7.375 | 01/15/14 | 50,965 | |||||||||||||||
Cable/Satellite TV (0.5%) | |||||||||||||||||||
40 | National Cable PLC | 8.75 | 04/15/14 | 39,200 | |||||||||||||||
100 | Virginia Media Finace PLC | 9.125 | 08/15/16 | 96,750 | |||||||||||||||
135,950 | |||||||||||||||||||
Major Banks (0.2%) | |||||||||||||||||||
65 | Barclays Bank PLC | 6.75 | 05/22/19 | 64,580 | |||||||||||||||
Pharmaceuticals: Major (0.2%) | |||||||||||||||||||
40 | AstraZeneca PLC | 5.90 | 09/15/17 | 42,903 | |||||||||||||||
Tobacco (0.1%) | |||||||||||||||||||
30 | BAT International Finance PLC - 144A (a) | 9.50 | 11/15/18 | 35,317 | |||||||||||||||
Wireless Telecommunications (0.1%) | |||||||||||||||||||
35 | Vodafone Group PLC | 5.625 | 02/27/17 | 35,603 | |||||||||||||||
Total United Kingdom | 466,977 |
See Notes to Financial Statements
33
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Uruguay (0.0%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
$ | 10 | Republic of Uruguay | 8.00 | % | 11/18/22 | $ | 10,500 | ||||||||||||
Venezuela (0.4%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
50 | Republic of Venezuela | 8.50 | 10/08/14 | 35,750 | |||||||||||||||
25 | Republic of Venezuela | 9.25 | 09/15/27 | 17,125 | |||||||||||||||
80 | Republic of Venezuela | 10.75 | 09/19/13 | 66,400 | |||||||||||||||
Total Venezuela | 119,275 | ||||||||||||||||||
Total Foreign Government & Corporate Bonds (Cost $4,830,871) | 4,794,726 | ||||||||||||||||||
Domestic Corporate Bonds (46.2%) | |||||||||||||||||||
Accident & Health Insurance | |||||||||||||||||||
60 | Travelers Cos., Inc. (The) | 5.90 | 06/02/19 | 61,930 | |||||||||||||||
Aerospace & Defense | |||||||||||||||||||
25 | L-3 Communications Corp. | 5.875 | 01/15/15 | 22,312 | |||||||||||||||
Agricultural Commodities/Milling | |||||||||||||||||||
20 | Bunge Limited Finance Corp. | 8.50 | 06/15/19 | 20,948 | |||||||||||||||
Alternative Power Generation | |||||||||||||||||||
115 | NRG Energy, Inc. | 7.375 | 01/15/17 | 108,675 | |||||||||||||||
Banking | |||||||||||||||||||
15 | Capital One Financial Corp. | 7.375 | 05/23/14 | 15,483 | |||||||||||||||
Beverages: Alcoholic | |||||||||||||||||||
155 | Constellation Brands Inc. | 7.25 | 05/15/17 | 144,150 | |||||||||||||||
Beverages: Non-Alcoholic | |||||||||||||||||||
45 | Coca-Cola Enterprises Inc. | 4.875 | 03/15/19 | 46,328 | |||||||||||||||
Biotechnology | |||||||||||||||||||
85 | Amgen, Inc. | 5.70 | 02/01/19 | 89,842 | |||||||||||||||
Brewery | |||||||||||||||||||
45 | Anheuser-Busch InBev Worldwide Inc. - 144A (a) | 5.375 | 11/15/14 | 45,454 | |||||||||||||||
Broadcasting | |||||||||||||||||||
45 | Sirus XM Radio, Inc. | 9.625 | 08/01/13 | 33,412 | |||||||||||||||
150 | Univision Communication, Inc. | 7.85 | 07/15/11 | 148,500 | |||||||||||||||
181,912 |
See Notes to Financial Statements
34
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Cable/Satellite Tv | |||||||||||||||||||
$ | 130 | Charter Communications Operating LLC/ Capital 144A (a)(h) | 10.875 | (b)% | 09/15/14 | $ | 135,200 | ||||||||||||
70 | Comcast Corp. | 5.70 | 05/15/18 | 70,497 | |||||||||||||||
305 | CSC Holdings, Inc. - 144A (a) | 8.625 | 02/15/19 | 298,137 | |||||||||||||||
125 | DIRECTV Holdings LLC/Financing Co., Inc. | 7.625 | 05/15/16 | 122,187 | |||||||||||||||
60 | DISH DBS Corp. | 7.00 | 10/01/13 | 57,300 | |||||||||||||||
65 | EchoStar DBS Corp. | 6.625 | 10/01/14 | 60,125 | |||||||||||||||
215 | Intelsat Corp. - 144A (a) | 9.25 | 06/15/16 | 206,937 | |||||||||||||||
950,383 | |||||||||||||||||||
Casino/Gaming | |||||||||||||||||||
840 | Aladdin Gaming Holdings/Capital Corp. LLC (Series B) (e)(g)(h) | 13.50 | 03/01/10 | 0 | |||||||||||||||
110 | Harrahs Operating Escrow - 144A (a) | 11.25 | 06/01/17 | 104,500 | |||||||||||||||
90 | Las Vegas Sands Corp. | 6.375 | 02/15/15 | 67,050 | |||||||||||||||
225 | MGM Mirage Inc. - 144A (a) | 10.375 | 05/15/14 | 234,562 | |||||||||||||||
299 | Resort at Summerlin LP/Ras Co. (Series B) (c)(e)(g)(h) | 13.00 | (i) | 12/15/07 | 0 | ||||||||||||||
406,112 | |||||||||||||||||||
Chemicals: Major Diversified | |||||||||||||||||||
35 | E.I. du Pont de Nemours & Co. | 6.00 | 07/15/18 | 37,794 | |||||||||||||||
80 | Westlake Chemical Corp. | 6.625 | 01/15/16 | 70,400 | |||||||||||||||
108,194 | |||||||||||||||||||
Chemicals: Specialty | |||||||||||||||||||
35 | Airgas, Inc. - 144A (a) | 7.125 | 10/01/18 | 32,900 | |||||||||||||||
240 | Innophos, Inc. | 8.875 | 08/15/14 | 220,800 | |||||||||||||||
26 | Koppers, Inc. | 9.875 | 10/15/13 | 25,740 | |||||||||||||||
279,440 | |||||||||||||||||||
Coal | |||||||||||||||||||
35 | Foundation PA Coal Co. LLC | 7.25 | 08/01/14 | 34,475 | |||||||||||||||
90 | Massey Energy Co. | 6.875 | 12/15/13 | 82,800 | |||||||||||||||
117,275 | |||||||||||||||||||
Computer Communications | |||||||||||||||||||
55 | Cisco Systems Inc. | 4.95 | 02/15/19 | 55,102 | |||||||||||||||
5 | Cisco Systems Inc. | 5.90 | 02/15/39 | 4,941 | |||||||||||||||
60,043 |
See Notes to Financial Statements
35
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Computer Processing Hardware | |||||||||||||||||||
$ | 45 | Hewlett-Packard Co. | 4.75 | % | 06/02/14 | $ | 47,029 | ||||||||||||
Computer Software & Equipment | |||||||||||||||||||
25 | Microsoft Corp. | 4.20 | 06/01/19 | 24,473 | |||||||||||||||
Construction Materials | |||||||||||||||||||
20 | CRH America, Inc. | 6.00 | 09/30/16 | 17,824 | |||||||||||||||
Containers/Packaging | |||||||||||||||||||
110 | Berry Plastics Corp. | 8.875 | 09/15/14 | 93,225 | |||||||||||||||
150 | Graphic Packaging International Corp. | 9.50 | 08/15/13 | 144,000 | |||||||||||||||
125 | Solo Cup Co. | 8.50 | 02/15/14 | 103,125 | |||||||||||||||
340,350 | |||||||||||||||||||
Data Processing Services | |||||||||||||||||||
30 | Fiserv, Inc. | 6.80 | 11/20/17 | 30,388 | |||||||||||||||
30 | SunGard Data Systems Inc. | 10.625 | 05/15/15 | 29,550 | |||||||||||||||
105 | SunGard Data Systems Inc. - 144A (a) | 9.125 | 08/15/13 | 99,750 | |||||||||||||||
159,688 | |||||||||||||||||||
Department Stores | |||||||||||||||||||
135 | Bon-Ton Deparment Stores, Inc. | 10.25 | 03/15/14 | 59,400 | |||||||||||||||
70 | Federated Department Stores, Inc. | 5.90 | 12/01/16 | 57,109 | |||||||||||||||
116,509 | |||||||||||||||||||
Discount Stores | |||||||||||||||||||
45 | Wal-Mart Stores, Inc. | 4.125 | 02/01/19 | 43,882 | |||||||||||||||
20 | Wal-Mart Stores, Inc. | 4.25 | 04/15/13 | 20,798 | |||||||||||||||
15 | Wal-Mart Stores, Inc. | 5.80 | 02/15/18 | 16,368 | |||||||||||||||
81,048 | |||||||||||||||||||
Drugstore Chains | |||||||||||||||||||
80 | CVS Lease Pass-Through - 144A (a) | 6.036 | 12/10/28 | 68,530 | |||||||||||||||
185 | Rite Aid Corp. | 8.625 | 03/01/15 | 123,950 | |||||||||||||||
25 | Walgreen Co. | 5.25 | 01/15/19 | 26,055 | |||||||||||||||
218,535 | |||||||||||||||||||
Education | |||||||||||||||||||
55 | Duke University | 5.15 | 04/01/19 | 56,847 | |||||||||||||||
Electrical Products | |||||||||||||||||||
136 | Ormat Funding Corp. | 8.25 | 12/30/20 | 109,189 | |||||||||||||||
Electric Utilities | |||||||||||||||||||
80 | AES Corp. (The) | 7.75 | 03/01/14 | 76,200 | |||||||||||||||
85 | AES Corp. (The) - 144A (a) | 8.00 | 06/01/20 | 76,713 | |||||||||||||||
10 | Alabama Power Co. | 5.80 | 11/15/13 | 10,845 |
See Notes to Financial Statements
36
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 20 | CenterPoint Energy Resources, Corp. | 6.25 | % | 02/01/37 | $ | 15,090 | ||||||||||||
10 | CenterPoint Energy Resources, Corp. (Series B) | 7.875 | 04/01/13 | 10,675 | |||||||||||||||
50 | Detroit Edison Co. (The) | 6.125 | 10/01/10 | 51,820 | |||||||||||||||
20 | Edison Mission Energy | 7.00 | 05/15/17 | 15,450 | |||||||||||||||
45 | Edison Mission Energy | 7.75 | 06/15/16 | 36,900 | |||||||||||||||
25 | FPL Group Capital Inc. | 6.00 | 03/01/19 | 26,902 | |||||||||||||||
10 | Georgia Power Co. | 6.00 | 11/01/13 | 10,917 | |||||||||||||||
76 | Home City Funding LLC | 8.137 | 10/01/19 | 68,780 | |||||||||||||||
30 | IPALCO Enterprises, Inc. | 8.625 | (b) | 11/14/11 | 30,300 | ||||||||||||||
245 | Mirant Americas General, LLC | 8.50 | 10/01/21 | 194,775 | |||||||||||||||
40 | Ohio Edison Co. | 6.40 | 07/15/16 | 40,915 | |||||||||||||||
55 | Ohio Power Company (Series K) | 6.00 | 06/01/16 | 56,097 | |||||||||||||||
75 | Orion Power Holdings, Inc. | 12.00 | 05/01/10 | 78,000 | |||||||||||||||
5 | PacifiCorp | 5.50 | 01/15/19 | 5,298 | |||||||||||||||
40 | PPL Energy Supply LLC | 6.50 | 05/01/18 | 40,676 | |||||||||||||||
40 | Progress Energy, Inc. | 7.05 | 03/15/19 | 44,459 | |||||||||||||||
15 | Public Service Company of Colorado | 5.125 | 06/01/19 | 15,444 | |||||||||||||||
20 | Public Service Company of Colorado | 5.80 | 08/01/18 | 21,615 | |||||||||||||||
80 | Texas Competitive Electric Holdings Co. LLC (Series A) | 10.25 | (b) | 11/01/15 | 50,200 | ||||||||||||||
45 | Texas Competitive Electric Holdings Co. LLC (Series B) | 10.25 | (b) | 11/01/15 | 28,238 | ||||||||||||||
50 | Texas Eastern Transmission, LP | 7.00 | 07/15/32 | 52,747 | |||||||||||||||
25 | Union Electric Co. | 6.70 | 02/01/19 | 26,173 | |||||||||||||||
45 | Virginia Electric & Power Co. | 8.875 | 11/15/38 | 60,501 | |||||||||||||||
1,145,730 | |||||||||||||||||||
Electrical Products | |||||||||||||||||||
45 | Cooper US, Inc. | 5.25 | 11/15/12 | 48,096 | |||||||||||||||
15 | Emerson Electric Co. | 4.875 | 10/15/19 | 15,035 | |||||||||||||||
15 | Emerson Electric Co. | 5.00 | 04/15/19 | 15,120 | |||||||||||||||
78,251 | |||||||||||||||||||
Electronic Distributors | |||||||||||||||||||
185 | Anixter International Inc. | 10.00 | 03/15/14 | 185,000 | |||||||||||||||
Electronic Equipment/Instruments | |||||||||||||||||||
25 | Xerox Corp. | 6.35 | 05/15/18 | 22,349 | |||||||||||||||
Electronic Production Equipment | |||||||||||||||||||
40 | KLA-Tencor Corp. | 6.90 | 05/01/18 | 36,020 | |||||||||||||||
Finance - Commercial | |||||||||||||||||||
185 | First Data Corp. | 9.875 | 09/24/15 | 132,275 |
See Notes to Financial Statements
37
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Finance/Rental/Leasing | |||||||||||||||||||
$ | 60 | American Express Co. | 8.125 | % | 05/20/19 | $ | 62,369 | ||||||||||||
135 | Ford Motor Credit Co LLC. | 7.25 | 10/25/11 | 116,825 | |||||||||||||||
139 | GMAC Inc. - 144A (a) | 6.875 | 09/15/11 | 123,015 | |||||||||||||||
60 | SLM Corp. (Series A) | 8.45 | 06/15/18 | 51,405 | |||||||||||||||
75 | United Rentals North America, Inc. | 6.50 | 02/15/12 | 73,125 | |||||||||||||||
426,739 | |||||||||||||||||||
Financial Conglomerates | |||||||||||||||||||
80 | Citigroup, Inc. (Note 4) | 8.50 | 05/22/19 | 81,514 | |||||||||||||||
20 | General Electric Capital Corp. | 5.625 | 05/01/18 | 18,948 | |||||||||||||||
45 | JP Morgan Chase & Co. | 6.00 | 01/15/18 | 44,777 | |||||||||||||||
30 | Principal Financial Group | 8.875 | 05/15/19 | 31,546 | |||||||||||||||
35 | Prudential Financial, Inc. (Series D) | 6.625 | 12/01/37 | 30,413 | |||||||||||||||
207,198 | |||||||||||||||||||
Food Retail | |||||||||||||||||||
25 | CA FM Lease Trust - 144A (a) | 8.50 | 07/15/17 | 25,157 | |||||||||||||||
144 | Delhaize America, Inc. | 9.00 | 04/15/31 | 175,269 | |||||||||||||||
70 | Delhaize Group | 5.875 | 02/01/14 | 71,940 | |||||||||||||||
272,366 | |||||||||||||||||||
Food: Major Diversified | |||||||||||||||||||
25 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 24,905 | |||||||||||||||
20 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 22,367 | |||||||||||||||
50 | General Mills, Inc. | 5.65 | 02/15/19 | 52,355 | |||||||||||||||
20 | Kraft Foods Inc. | 6.125 | 02/01/18 | 20,713 | |||||||||||||||
30 | Kraft Foods Inc. | 6.125 | 08/23/18 | 31,122 | |||||||||||||||
151,462 | |||||||||||||||||||
Food: Meat/Fish/Dairy | |||||||||||||||||||
75 | JBS USA LLC/JBS USA Finance Inc. - 144A (a) | 11.625 | 05/01/14 | 71,250 | |||||||||||||||
85 | Michael Foods, Inc. | 8.00 | 11/15/13 | 83,300 | |||||||||||||||
86 | Pilgrim's Pride Corp. (h) | 7.625 | 05/01/15 | 75,250 | |||||||||||||||
85 | Smithfield Foods, Inc. | 7.00 | 08/01/11 | 81,175 | |||||||||||||||
310,975 | |||||||||||||||||||
Foods & Beverages | |||||||||||||||||||
30 | Dr Pepper Snapple Group, Inc. | 6.82 | 05/01/18 | 31,778 | |||||||||||||||
Gas Distributors | |||||||||||||||||||
30 | NiSource Finance Corp. | 6.80 | 01/15/19 | 28,161 | |||||||||||||||
Home Building | |||||||||||||||||||
45 | Pulte Homes, Inc. | 6.375 | 05/15/33 | 29,925 |
See Notes to Financial Statements
38
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Home Improvement Chains | |||||||||||||||||||
$ | 55 | Home Depot, Inc. (The) | 5.40 | % | 03/01/16 | $ | 54,978 | ||||||||||||
Hospital/Nursing Management | |||||||||||||||||||
45 | CHS/Community Health Systems Inc. | 8.875 | 07/15/15 | 44,325 | |||||||||||||||
125 | HCA, Inc | 6.25 | 02/15/13 | 110,000 | |||||||||||||||
95 | HCA, Inc. | 5.75 | 03/15/14 | 76,475 | |||||||||||||||
125 | HCA, Inc | 7.69 | 06/15/25 | 77,388 | |||||||||||||||
135 | Sun Healthcare Group, Inc. | 9.125 | 04/15/15 | 134,325 | |||||||||||||||
442,513 | |||||||||||||||||||
Household/Personal Care | |||||||||||||||||||
15 | Proctor & Gamble Co. (The) | 4.60 | 01/15/14 | 15,791 | |||||||||||||||
45 | Proctor & Gamble Co. (The) | 4.70 | 02/15/19 | 45,724 | |||||||||||||||
61,515 | |||||||||||||||||||
Industrial Conglomerates | |||||||||||||||||||
185 | General Electric Co. | 5.25 | 12/06/17 | 181,983 | |||||||||||||||
15 | Honeywell International Inc. | 5.30 | 03/01/18 | 15,693 | |||||||||||||||
197,676 | |||||||||||||||||||
Industrial Machinery | |||||||||||||||||||
30 | Parker-Hannifin Corp. (Series A) | 5.50 | 05/15/18 | 30,732 | |||||||||||||||
Industrial Specialties | |||||||||||||||||||
20 | Cox Communications Inc. - 144A (a) | 8.375 | 03/01/39 | 22,365 | |||||||||||||||
165 | Johnsondiversey, Inc. (Series B) | 9.625 | 05/15/12 | 164,588 | |||||||||||||||
186,953 | |||||||||||||||||||
Integrated Oil | |||||||||||||||||||
55 | Chevron Corp. | 4.95 | 03/03/19 | 56,940 | |||||||||||||||
30 | ConocoPhillips | 5.20 | 05/15/18 | 30,348 | |||||||||||||||
87,288 | |||||||||||||||||||
Investment Banks/Brokers | |||||||||||||||||||
25 | Bear Stearns Companies LLC (The) | 7.25 | 02/01/18 | 26,392 | |||||||||||||||
125 | Goldman Sachs Group, Inc. (The) | 6.15 | 04/01/18 | 121,900 | |||||||||||||||
100 | Merrill Lynch & Co., Inc. | 6.11 | 01/29/37 | 77,457 | |||||||||||||||
35 | NYSE Euronext | 4.80 | 06/28/13 | 36,264 | |||||||||||||||
262,013 | |||||||||||||||||||
Life/Health Insurance | |||||||||||||||||||
65 | Metlife, Inc. | 7.717 | 02/15/19 | 69,645 |
See Notes to Financial Statements
39
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Major Banks | |||||||||||||||||||
$ | 15 | Bank of New York Mellon Corp. (Series G) | 4.50 | % | 04/01/13 | $ | 15,277 | ||||||||||||
40 | Bank of New York Mellon Corp. | 5.125 | 08/27/13 | 42,143 | |||||||||||||||
45 | BB&T Corp. | 6.85 | 04/30/19 | 46,882 | |||||||||||||||
35 | PNC Funding Corp. | 6.70 | 06/10/19 | 36,164 | |||||||||||||||
20 | State Street Corp. | 4.30 | 05/30/14 | 19,794 | |||||||||||||||
160,260 | |||||||||||||||||||
Major Telecommunications | |||||||||||||||||||
75 | AT&T Inc. | 8.00 | 11/15/31 | 86,805 | |||||||||||||||
10 | SBC Communications, Inc. | 6.15 | 09/15/34 | 9,523 | |||||||||||||||
70 | Sprint Capital Corp. | 6.90 | 05/01/19 | 58,275 | |||||||||||||||
35 | Verizon Communications, Inc. | 5.50 | 02/15/18 | 34,818 | |||||||||||||||
125 | Verizon Communications, Inc. | 6.35 | 04/01/19 | 130,273 | |||||||||||||||
30 | Verizon Wireless Capital LLC - 144A (a) | 5.55 | 02/01/14 | 31,881 | |||||||||||||||
351,575 | |||||||||||||||||||
Managed Health Care | |||||||||||||||||||
50 | Unitedhealth Group Inc. | 6.00 | 02/15/18 | 48,065 | |||||||||||||||
Marine Shipping | |||||||||||||||||||
30 | Union Pacific Corp. | 6.125 | 02/15/20 | 31,168 | |||||||||||||||
Media Conglomerates | |||||||||||||||||||
30 | News America Inc. - 144A (a) | 6.90 | 03/01/19 | 31,316 | |||||||||||||||
70 | Time Warner Cable Inc. | 6.75 | 07/01/18 | 73,032 | |||||||||||||||
5 | Time Warner Cable Inc. | 8.25 | 04/01/19 | 5,683 | |||||||||||||||
35 | Time Warner Cable Inc. | 8.75 | 02/14/19 | 40,841 | |||||||||||||||
30 | Time Warner, Inc. | 5.875 | 11/15/16 | 29,609 | |||||||||||||||
30 | Viacom, Inc. | 6.875 | 04/30/36 | 27,720 | |||||||||||||||
208,201 | |||||||||||||||||||
Medical Specialties | |||||||||||||||||||
15 | Baxter International, Inc | 5.375 | 06/01/18 | 15,735 | |||||||||||||||
60 | Hospira, Inc. | 1.712 | (b) | 03/30/10 | 59,474 | ||||||||||||||
40 | Invacare Corp. | 9.75 | 02/15/15 | 40,600 | |||||||||||||||
115,809 | |||||||||||||||||||
Medical/Nursing Services | |||||||||||||||||||
181 | Fresenius Medical Care Capital Trust IV | 7.875 | 06/15/11 | 185,073 | |||||||||||||||
65 | Select Medical Corp. | 7.625 | 02/01/15 | 53,138 | |||||||||||||||
130 | Select Medical Corp. | 7.654 | (b) | 09/15/15 | 92,950 | ||||||||||||||
331,161 |
See Notes to Financial Statements
40
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Metal Fabrications | |||||||||||||||||||
$ | 40 | Hexcel Corp. | 6.75 | % | 02/01/15 | $ | 37,300 | ||||||||||||
Motor Vehicles | |||||||||||||||||||
30 | DaimlerChrysler North American Holding Corp. | 7.30 | 01/15/12 | 31,084 | |||||||||||||||
25 | DaimlerChrysler North American Holding Corp. | 8.50 | 01/18/31 | 26,366 | |||||||||||||||
25 | Harley-Davidson Funding Corp. - 144A (a) | 6.80 | 06/15/18 | 21,725 | |||||||||||||||
79,175 | |||||||||||||||||||
Multi-Line Insurance | |||||||||||||||||||
160 | AIG SunAmerica Global Financing VI - 144A (a) | 6.30 | 05/10/11 | 150,376 | |||||||||||||||
40 | Allstate Corp. (The) | 7.45 | 05/16/19 | 43,351 | |||||||||||||||
193,727 | |||||||||||||||||||
Oil - Exploration & Production | |||||||||||||||||||
100 | Atlas Energy Resources LLC - 144A (a) | 10.75 | 02/01/18 | 94,750 | |||||||||||||||
70 | Forest Oil Corp. | 7.25 | 06/15/19 | 63,000 | |||||||||||||||
55 | Forest Oil Corp. | 7.75 | 05/01/14 | 53,075 | |||||||||||||||
210,825 | |||||||||||||||||||
Oil & Gas Pipelines | |||||||||||||||||||
35 | Sonat Inc. | 7.625 | 07/15/11 | 34,469 | |||||||||||||||
40 | Enterprise Products Operating LLP (Series N) | 6.50 | 01/31/19 | 40,724 | |||||||||||||||
95 | Pacific Energy Partners, LP/Finance Corp. | 7.125 | 06/15/14 | 97,338 | |||||||||||||||
175 | Williams Companies, Inc. (The) | 7.875 | 09/01/21 | 172,708 | |||||||||||||||
345,239 | |||||||||||||||||||
Oil & Gas Production | |||||||||||||||||||
10 | Apache Corp. | 6.90 | 09/15/18 | 11,469 | |||||||||||||||
110 | Chaparral Energy, Inc. | 8.875 | (b) | 02/01/17 | 68,750 | ||||||||||||||
320 | Chesapeake Energy Corp. | 7.50 | 09/15/13 | 308,000 | |||||||||||||||
155 | Denbury Resources Inc. | 9.75 | 03/01/16 | 160,038 | |||||||||||||||
95 | Hilcorp Energy I LP/Finance Co. - 144A (a) | 7.75 | 11/01/15 | 80,750 | |||||||||||||||
115 | Newfield Exploraion Co. | 6.625 | 09/01/14 | 106,519 | |||||||||||||||
80 | Petrohawk Energy Corp. - 144A (a) | 10.50 | 08/01/14 | 82,200 | |||||||||||||||
70 | Plains Exploration & Production Co. | 7.625 | 06/01/18 | 63,175 | |||||||||||||||
55 | Plains Exploration & Production Co. | 7.75 | 06/15/15 | 51,700 | |||||||||||||||
110 | Plains Exploration & Production Co. | 10.00 | 03/01/16 | 113,575 | |||||||||||||||
170 | Sandridge Energy Inc. | 8.625 | 04/01/15 | 153,425 | |||||||||||||||
45 | XTO Energy, Inc. | 5.50 | 06/15/18 | 45,172 | |||||||||||||||
1,244,773 | |||||||||||||||||||
Oilfield Services/Equipment | |||||||||||||||||||
35 | Key Energy Services, Inc. | 8.375 | 12/01/14 | 31,063 |
See Notes to Financial Statements
41
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Other Consumer Services | |||||||||||||||||||
$ | 140 | Expedia, Inc. - 144A (a) | 8.50 | % | 07/01/16 | $ | 135,100 | ||||||||||||
80 | Ticketmaster Entertainment, Inc. | 10.75 | 07/28/16 | 71,600 | |||||||||||||||
206,700 | |||||||||||||||||||
Packaged Software | |||||||||||||||||||
5 | Oracle Corp. | 5.75 | 04/15/18 | 5,283 | |||||||||||||||
Pharmaceuticals: Major | |||||||||||||||||||
15 | GlaxoSmithKline Capital Inc. | 5.65 | 05/15/18 | 15,916 | |||||||||||||||
60 | Merck & Co., Inc. | 5.00 | 06/30/19 | 60,870 | |||||||||||||||
55 | Novartis Capital Corp. | 4.125 | 02/10/14 | 56,674 | |||||||||||||||
75 | Pfizer Inc. | 6.20 | 03/15/19 | 82,173 | |||||||||||||||
105 | Roche Holdings Inc. - 144A (a) | 6.00 | 03/01/19 | 112,166 | |||||||||||||||
5 | Wyeth | 5.45 | 04/01/17 | 5,229 | |||||||||||||||
5 | Wyeth | 5.50 | 02/15/16 | 5,241 | |||||||||||||||
338,269 | |||||||||||||||||||
Pharmaceuticals: Other | |||||||||||||||||||
40 | Axcan Intermediate Holdngs Inc. | 12.75 | 03/01/16 | 40,700 | |||||||||||||||
Property - Casualty Insurers | |||||||||||||||||||
25 | ACE INA Holdings, Inc. | 5.60 | 05/15/15 | 25,338 | |||||||||||||||
25 | ACE INA Holdings, Inc. | 5.90 | 06/15/19 | 25,106 | |||||||||||||||
50,444 | |||||||||||||||||||
Pulp & Paper | |||||||||||||||||||
35 | Glatfelter - 144A (a) | 7.125 | 05/01/16 | 32,331 | |||||||||||||||
Railroads | |||||||||||||||||||
15 | Norfolk Southern Corp. - 144A (a) | 5.75 | 01/15/16 | 15,558 | |||||||||||||||
30 | Union Pacific Corp. | 5.45 | 01/31/13 | 31,126 | |||||||||||||||
46,684 | |||||||||||||||||||
Recreational Products | |||||||||||||||||||
100 | Scientific Games Corp. | 6.25 | 12/15/12 | 95,875 | |||||||||||||||
Regional Banks | |||||||||||||||||||
45 | U.S. Bancorp | 4.20 | 05/15/14 | 45,558 | |||||||||||||||
Restaurants | |||||||||||||||||||
145 | ARAMARK Corp. | 8.50 | 02/01/15 | 141,375 | |||||||||||||||
5 | McDonald's Corp. (Series I) | 5.00 | 02/01/19 | 5,136 | |||||||||||||||
20 | Yum! Brands, Inc. | 6.25 | 03/15/18 | 20,612 | |||||||||||||||
30 | Yum! Brands, Inc. | 6.875 | 11/15/37 | 30,334 | |||||||||||||||
197,457 |
See Notes to Financial Statements
42
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Services To The Health Industry | |||||||||||||||||||
$ | 65 | Biomet, Inc. | 11.625 | % | 10/15/17 | $ | 64,025 | ||||||||||||
75 | HEALTHSOUTH Corp. | 10.75 | 06/15/16 | 75,750 | |||||||||||||||
45 | Medco Health Solutions, Inc. | 7.125 | 03/15/18 | 47,465 | |||||||||||||||
70 | Omnicare, Inc. | 6.75 | 12/15/13 | 63,350 | |||||||||||||||
250,590 | |||||||||||||||||||
Specialty Telecommunications | |||||||||||||||||||
85 | American Tower Corp. | 7.125 | 10/15/12 | 85,956 | |||||||||||||||
180 | Frontier Communications Corp. | 9.00 | 08/15/31 | 149,400 | |||||||||||||||
50 | Qwest Capital Funding | 7.00 | 08/03/09 | 50,125 | |||||||||||||||
125 | Qwest Capital Funding - 144A (a) | 7.25 | 02/15/11 | 121,875 | |||||||||||||||
407,356 | |||||||||||||||||||
Telecommunication Equipment | |||||||||||||||||||
25 | Corning Inc. | 6.625 | 05/15/19 | 25,596 | |||||||||||||||
Telecommunications | |||||||||||||||||||
30 | PAETEC Holding Corp. - 144A (a) | 8.875 | 06/30/17 | 28,350 | |||||||||||||||
Tobacco | |||||||||||||||||||
20 | Altria Group, Inc. | 9.25 | 08/06/19 | 22,496 | |||||||||||||||
35 | Philip Morris International Inc. | 5.65 | 05/16/18 | 36,751 | |||||||||||||||
30 | Reynolds American Inc. | 6.50 | 07/15/10 | 30,711 | |||||||||||||||
89,958 | |||||||||||||||||||
Trucks/Construction/Farm Machinery | |||||||||||||||||||
10 | Caterpillar Inc. | 7.90 | 12/15/18 | 11,553 | |||||||||||||||
Utilities | |||||||||||||||||||
104 | Midwest Generation LLC (Series B) | 8.56 | 01/02/16 | 102,263 | |||||||||||||||
150 | NSG Holdings, LLC/NSG Holdings, Inc. - 144A (a) | 7.75 | 12/15/25 | 120,750 | |||||||||||||||
223,013 | |||||||||||||||||||
Water Utilities | |||||||||||||||||||
29 | Nalco Co. | 7.75 | 11/15/11 | 29,145 | |||||||||||||||
Wireless Telecommunications | |||||||||||||||||||
50 | Nextel Communications, Inc. (Series E) | 6.875 | 10/31/13 | 41,625 | |||||||||||||||
Total Domestic Corporate Bonds (Cost $14,868,199) | 13,836,343 |
See Notes to Financial Statements
43
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
U.S. Government Agencies & Obligations (22.2%) | |||||||||||||||||||
Federal Home Loan Mortgage Corp. (2.6%) | |||||||||||||||||||
$ | 150 | 3.00 | % | 07/28/14 | $ | 150,480 | |||||||||||||
360 | 4.875 | 06/13/18 | 388,115 | ||||||||||||||||
200 | 6.75 | 03/15/31 | 248,713 | ||||||||||||||||
200 | Federal National Mortgage Assoc. (0.7%) | 5.00 | 05/11/17 | 217,542 | |||||||||||||||
U.S. Treasury Bonds (3.0%) | |||||||||||||||||||
725 | 5.375 | 02/15/31 | 832,391 | ||||||||||||||||
70 | 4.25 | 05/15/39 | 69,311 | ||||||||||||||||
U.S. Treasury Bond Strips (3.5%) | |||||||||||||||||||
920 | 0.00 | 11/15/21 | 534,223 | ||||||||||||||||
790 | 0.00 | 11/15/19 | 519,518 | ||||||||||||||||
132 | U.S. Treasury Inflation Index Note (TIPS) (0.6%) | 3.625 | 04/15/28 | 160,750 | |||||||||||||||
U.S. Treasury Notes (11.8%) | |||||||||||||||||||
900 | 0.875 | 05/31/11 | 897,051 | ||||||||||||||||
900 | 1.125 | 06/30/11 | 900,354 | ||||||||||||||||
312 | 1.50 | 12/31/13 | 300,617 | ||||||||||||||||
690 | 1.75 | 03/31/14 | 667,576 | ||||||||||||||||
23 | 2.75 | 02/15/19 | 21,548 | ||||||||||||||||
181 | 4.00 | 08/15/18 | 187,802 | ||||||||||||||||
44 | 4.75 | 08/15/17 | 48,249 | ||||||||||||||||
520 | 1.75 | 01/31/14 | 505,540 | ||||||||||||||||
Total U.S. Government Agencies & Obligations (Cost $6,640,252) | 6,649,780 | ||||||||||||||||||
Mortgage-Backed Securities (8.2%) | |||||||||||||||||||
150 | Ferderal Home Loan Mortgage Corp. (0.5%) | 5.00 | (j) | 152,554 | |||||||||||||||
Federal National Mortgage Assoc. (7.6%) | |||||||||||||||||||
750 | 5.00 | (j) | 760,664 | ||||||||||||||||
925 | 5.50 | (j) | 954,918 | ||||||||||||||||
250 | 6.00 | (j) | 261,289 | ||||||||||||||||
189 | 6.50 | 07/01/29 - 11/01/33 | 203,805 | ||||||||||||||||
35 | 7.00 | 02/01/33 | 38,059 | ||||||||||||||||
25 | 7.50 | 10/01/31 | 26,880 | ||||||||||||||||
23 | 8.00 | 02/01/12 - 10/01/30 | 24,108 | ||||||||||||||||
Government National Mortgage Assoc. (0.1%) | |||||||||||||||||||
36 | 7.50 | 04/15/26 - 08/15/29 | 39,093 | ||||||||||||||||
7 | 8.00 | 06/15/26 | 790 | ||||||||||||||||
Total Mortgage-Backed Securities (Cost $2,440,776) | 2,462,160 |
See Notes to Financial Statements
44
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Asset-Backed Securities (0.5%) | |||||||||||||||||||
$ | 139 | Capital Auto Receivables Asset Trust 2006-2 A3B | 0.379 | (b)% | 05/15/11 | $ | 138,248 | ||||||||||||
20 | Specialty Underwriting & Residential Finance 2004-BC2 A2 | 0.584 | (b) | 05/25/35 | 8,337 | ||||||||||||||
Total Asset-Backed Securities (Cost $158,115) | 146,585 | ||||||||||||||||||
Municipal Bonds (0.4%) | |||||||||||||||||||
General Obligation | |||||||||||||||||||
40 | State of California | 5.95 | 04/01/16 | 38,481 | |||||||||||||||
Transportation | |||||||||||||||||||
75 | Illinois State Toll Highway Authority (The) | 6.184 | 01/01/34 | 77,131 | |||||||||||||||
Total Municipal Bonds (Cost $115,202) | 115,612 | ||||||||||||||||||
Collateralized Mortgage Obligations (0.3%) | |||||||||||||||||||
U.S. Government Agency (0.2%) | |||||||||||||||||||
Federal National Mortgage Assoc. | |||||||||||||||||||
83 | 356-47 | 6.50 | 12/01/29 | 9,280 | |||||||||||||||
77 | 356-49 | 7.00 | 11/01/19 | 10,319 | |||||||||||||||
91 | 356-25 | 7.00 | 12/01/34 | 14,344 | |||||||||||||||
142 | 356-30 | 8.00 | 06/01/35 | 23,740 | |||||||||||||||
Total Government Agency | 57,683 | ||||||||||||||||||
Private Issues (0.1%) | |||||||||||||||||||
129 | American Home Mortgage Assets 2006-4 1A3 | 0.624 | (b) | 10/25/46 | 10,185 | ||||||||||||||
401 | Greenpoint Mortgage Funding Trust 2006-AR7 M2 (e) | 0.739 | (b) | 12/25/46 | 1,055 | ||||||||||||||
120 | MASTR Adjustable Rate Mortgage Trust 2006-0A1 3A3 | 2.379 | (b) | 04/25/46 | 12,438 | ||||||||||||||
114 | Structured Assets Mortgage Investments II Trust 2006-AR6 1A5 | 0.594 | (b) | 07/25/36 | 14,447 | ||||||||||||||
Total Private Issues | 38,125 | ||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $555,250) | 95,808 |
See Notes to Financial Statements
45
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Preferred Stock (0.1%) | |||||||||||
Finance/Rental/Leasing | |||||||||||
82 | Preferred Blocker Inc. - 144A (a) (Cost $34,388) | $ | 35,270 | ||||||||
Common Stocks (0.0%) | |||||||||||
Casino/Gaming | |||||||||||
787 | Fitzgeralds Gaming Corp. (e)(k)(l) | 0 | |||||||||
Electric Utilities | |||||||||||
13 | PNM Resources Inc. (c) | 139 | |||||||||
Food: Specialty/Candy | |||||||||||
100 | SFAC New Holdings Inc. (e)(m) | 0 | |||||||||
18 | SFAC New Holdings Inc. (e) | 0 | |||||||||
0 | |||||||||||
Specialty Telecommunications | |||||||||||
1,171 | Birch Telecom Inc. (e)(n) | 12 | |||||||||
109 | XO Holdings, Inc. | 33 | |||||||||
45 | |||||||||||
Textiles | |||||||||||
11,192 | U.S. Leather, Inc. (e)(k) | 0 | |||||||||
Wireless Telecommunications | |||||||||||
46 | USA Mobility, Inc. (c) | 587 | |||||||||
Total Common Stocks (Cost $1,904,442) | 771 |
See Notes to Financial Statements
46
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF WARRANTS | EXPIRATION DATE | VALUE | |||||||||||||
Warrants (0.0%) | |||||||||||||||
Casino/Gaming (0.0%) | |||||||||||||||
9 | Aladdin Gaming Enterprises, Inc. 144A (a)(e) | 03/01/10 | $ | 0 | |||||||||||
Specialty Telecommunications (c) (0.0%) | |||||||||||||||
0 | XO Holdings, Inc. (Series A) | 01/15/10 | 2 | ||||||||||||
0 | XO Holdings, Inc. (Series B) | 01/16/10 | 2 | ||||||||||||
0 | XO Holdings, Inc. (Series C) | 01/16/10 | 1 | ||||||||||||
Total Warrants (Cost $248) | 5 |
NUMBER OF CONTRACTS | |||||||||||
Call Options Purchased (0.0%) | |||||||||||
55 | EURO$ 2YR MID-CRV FUTURES September/2009 @97.75 (Cost $42,495) | 5,500 | |||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investments (10.6%) | |||||||||||
Investment Company (o) (9.4%) | |||||||||||
2,806 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $2,806,368) | 2,806,368 |
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | |||||||||||||||||
U.S. Government Obligation (p)(q) (1.2%) | |||||||||||||||||||
$ | 370 | U.S. Treasury Bill (Cost $369,628) | 0.27 | % | 11/12/09 | 369,628 | |||||||||||||
Total Short-Term Investments (Cost $3,175,996) | 3,175,996 | ||||||||||||||||||
Total Investments (Cost $34,766,234) (r)(s) | 104.4 | % | 31,318,556 | ||||||||||||||||
Total Written Options Outstanding (premium received $5,331) | 0.0 | (281 | ) | ||||||||||||||||
Liabilities in Excess of Other Assets | (4.4 | ) | (1,315,007 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 30,003,268 |
See Notes to Financial Statements
47
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
IO Interest Only Security.
TIPS Treasury Inflation-Protected Security.
(a) Resale is restricted to qualified institutional investors.
(b) Floating rate security, rate shown is the rate in effect at June 30, 2009.
(c) Acquired through exchange offer.
(d) Capital appreciation bond.
(e) Securities with a total market value equal to $1,067 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurements may be level 2 measurements if observable inputs are available. See Note 7.
(f) Security issued with perpetual maturity.
(g) Issuer in bankruptcy.
(h) Non-income producing security; bond in default.
(i) Payment-in-kind security.
(j) Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date; the actual principal amount and maturity date will be determined upon settlement.
(k) Non-income producing security.
(l) Resale is restricted; acquired (12/22/98) at a cost basis of $3,549.
(m) Resale is restricted; acquired (06/10/99) at a cost basis of $1.
(n) Resale is restricted; acquired (between 06/18/98 and 08/15/99) at a cost basis of $573,998.
(o) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class.
(p) A portion of this security has been physically segregated in connection with open futures contracts.
(q) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.
(r) Securities have been designated as collateral in connection with securities purchased on a forward commitment basis, forward foreign currency contracts, open futures contracts and open swap contracts.
(s) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $941,104 and the aggregate gross unrealized depreciation is $4,388,782 resulting in net unrealized depreciation of $3,447,678.
See Notes to Financial Statements
48
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
FUTURES CONTRACTS OPEN AT JUNE 30, 2009:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
14 | Long | U.S. Treasury Notes 2 Year, September 2009 | $ | 3,027,063 | $ | (4,283 | ) | ||||||||||||
4 | Long | 90 Day Euro$ March 2011 | 973,550 | (2,795 | ) | ||||||||||||||
4 | Long | 90 Day Euro$ June 2011 | 970,200 | (3,360 | ) | ||||||||||||||
4 | Long | 90 Day Euro$ September 2011 | 967,200 | (3,870 | ) | ||||||||||||||
4 | Long | 90 Day Euro$ December 2011 | 964,400 | (4,090 | ) | ||||||||||||||
6 | Long | U.S. Treasury Notes 5 Year, September 2009 | 688,313 | (232 | ) | ||||||||||||||
8 | Short | U.S. Treasury Bonds 30 Year, September 2009 | (946,875 | ) | 7,480 | ||||||||||||||
19 | Short | U.S. Treasury Notes 10 Year, September 2009 | (2,209,047 | ) | (21,571 | ) | |||||||||||||
Net Unrealized Depreciation | $ | (32,721 | ) |
OPTIONS WRITTEN AT JUNE 30, 2009:
NUMBER OF CONTRACTS | DESCRIPTION | STRIKE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
45 | EURO$ 2YR MID-CRV FUTURES | $ | 98.50 | September 2009 | $ | 5,331 | $ | 281 |
See Notes to Financial Statements
49
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
CREDIT DEFAULT SWAP CONTRACTS OPEN AT JUNE 30, 2009:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | UPFRONT PAYMENTS | VALUE | CREDIT RATING OF REFERENCE OBLIGATION† | |||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||||||||||
Bank of America, N.A. Carnival Corp. | Buy | $ | 115 | 1.57 | % | March 20, 2018 | $ | (79 | ) | — | $ | (79 | ) | BBB+ | |||||||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 1,400 | 1.50 | December 20, 2013 | 37,190 | $ | (47,087 | ) | (9,897 | ) | NR | ||||||||||||||||||||||||
Merrill Lynch Capital Services Inc. Dow Jones Index | Sell | 1,100 | 1.00 | June 20, 2014 | 24,658 | (40,554 | ) | (15,896 | ) | NR | |||||||||||||||||||||||||
Bank of America, N.A. Tyco Electronics Ltd. | Buy | 125 | 5.00 | June 20, 2014 | (9,692 | ) | (5,251 | ) | (14,943 | ) | BBB- | ||||||||||||||||||||||||
Net Credit Default Swap Contracts | $ | 2,740 | $ | 52,077 | $ | (92,892 | ) | $ | (40,815 | ) |
NR Not Rated
† Credit Rating as issued by Standard & Poors.
See Notes to Financial Statements
50
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
INTEREST RATE/ASSET SWAP CONTRACTS OPEN AT JUNE 30, 2009:
COUNTERPARTY | NOTIONAL AMOUNT (000'S) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Barclays Bank*** | $ | 620 | Fixed Rate 4.64 % | Floating Rate 0.00#% | May 27, 2019 | $ | (2,058 | ) | |||||||||||||||
UBS AG*** | 1,812 | Fixed Rate 4.66 | Floating Rate 0.00# | May 27, 2019 | (4,639 | ) | |||||||||||||||||
Deutsche Bank AG Frankfurt^^ | 750 | Fixed Rate 0.00 | Fixed Rate 0.00# | November 15, 2021 | (45,405 | ) | |||||||||||||||||
Barclays Bank | 142 | Floating Rate 0.66# | Fixed Rate 4.04 | May 27, 2039 | 2,996 | ||||||||||||||||||
UBS AG | 420 | Floating Rate 0.66# | Fixed Rate 4.04 | May 27, 2039 | 8,862 | ||||||||||||||||||
Barclays Bank^^ | 920 | Floating Rate 0.00# | Fixed Rate 0.00 | November 15, 2021 | (42,362 | ) | |||||||||||||||||
Deutsche Bank AG Frankfurt^^ | 750 | Floating Rate 0.00# | Fixed Rate 0.00 | November 15, 2021 | (21,900 | ) | |||||||||||||||||
JPMorgan Chase Bank N.A. New York^^ | 535 | Floating Rate 0.00# | Fixed Rate 0.00 | November 15, 2019 | (20,240 | ) | |||||||||||||||||
UBS AG^^ | 255 | Floating Rate 0.00# | Fixed Rate 0.00 | November 15, 2019 | (8,163 | ) | |||||||||||||||||
Barclays Bank## | 100 | Floating Rate 2.408# | Fixed Rate 3,625### | April 15, 2028 | 2,519 | ||||||||||||||||||
Net Unrealized Depreciation | $ | (130,390 | ) |
^^ Portfolio will receive $250,453, and make payments of $412,031, $323,462, $203,364 and $95,443 respectively, on termination date.
# Floating rate based on USD-3 Month LIBOR.
## Asset swap.
### Fixed rate based on interest received from TIPS bond/note held by the Portfolio.
*** Forward interest rate swap. Periodic payments on specified notional contract amount with future effective date, unless terminated earlier.
See Notes to Financial Statements
51
Flexible Income
Portfolio of Investments n June 30, 2009 (unaudited) continued
PORTFOLIO COMPOSITION as of 06/30/09
Domestic Corporate Bonds | 43.3 | % | |||||
U.S. Government Agencies & Obligations | 21.2 | ||||||
Foreign Government & Corporate Bonds | 15.7 | ||||||
Short-Term Investments | 10.1 | ||||||
Mortgage-Backed Securities | 7.9 | ||||||
Convertible Bonds | 0.5 | ||||||
Asset-Backed Securities | 0.5 | ||||||
Municipal Bonds | 0.4 | ||||||
Collateralized Mortgage Obligations | 0.3 | ||||||
Preferred Stock | 0.1 | ||||||
Call Options Purchased | 0 | ||||||
Common Stocks | 0 | ||||||
Warrants | 0 | ||||||
100.0 | %++ |
++ Does not include open long/short futures contracts with an underlying face amount of $10,746,648 with net unrealized depreciation of $32,721. Also does not include open swap contracts with net unrealized depreciation of $78,313 and options written with a value of $281.
See Notes to Financial Statements
52
Balanced
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (67.9%) | |||||||||||
Aerospace & Defense (0.9%) | |||||||||||
3,700 | General Dynamics Corp. | $ | 204,943 | ||||||||
3,140 | Raytheon Co. | 139,510 | |||||||||
344,453 | |||||||||||
Apparel/Footwear Retail (0.4%) | |||||||||||
10,600 | Gap, Inc. (The) | 173,840 | |||||||||
Auto Parts: O.E.M. (0.5%) | |||||||||||
6,600 | Autoliv, Inc. | 189,882 | |||||||||
Beverages: Non-Alcoholic (0.5%) | |||||||||||
4,310 | Coca-Cola Co. (The) | 206,837 | |||||||||
Cable/Satellite TV (1.9%) | |||||||||||
35,035 | Comcast Corp. (Class A) | 507,657 | |||||||||
7,944 | Time Warner Cable Inc. | 251,586 | |||||||||
759,243 | |||||||||||
Chemicals: Major Diversified (1.0%) | |||||||||||
7,560 | Bayer AG (ADR) (Germany) | 405,216 | |||||||||
Computer Communications (1.2%) | |||||||||||
24,870 | Cisco Systems, Inc. (b) | 463,577 | |||||||||
Computer Peripherals (0.2%) | |||||||||||
6,600 | EMC Corp. (b) | 86,460 | |||||||||
Computer Processing Hardware (1.3%) | |||||||||||
13,260 | Hewlett-Packard Co. | 512,499 | |||||||||
Department Stores (0.6%) | |||||||||||
20,400 | Macy's, Inc. | 239,904 | |||||||||
Discount Stores (0.3%) | |||||||||||
2,100 | Wal-Mart Stores, Inc. | 101,724 | |||||||||
Drugstore Chains (0.7%) | |||||||||||
9,400 | Walgreen Co. | 276,360 | |||||||||
Electric Utilities (3.2%) | |||||||||||
22,411 | American Electric Power Co., Inc. | 647,454 | |||||||||
3,690 | Entergy Corp. | 286,049 | |||||||||
8,010 | FirstEnergy Corp. | 310,388 | |||||||||
1,243,891 | |||||||||||
Electronic Equipment/Instruments (0.8%) | |||||||||||
15,600 | Agilent Technologies, Inc. (b) | 316,836 | |||||||||
Electronic Production Equipment (1.2%) | |||||||||||
11,500 | ASML Holding N.V. (NY Registered Shares) (Netherlands) | 248,975 | |||||||||
8,006 | Lam Research Corp. (b) | 208,156 | |||||||||
457,131 |
See Notes to Financial Statements
53
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electronics/Appliances (1.1%) | |||||||||||
16,000 | Sony Corp. (ADR) (Japan) | $ | 413,760 | ||||||||
Financial Conglomerates (4.1%) | |||||||||||
44,785 | JPMorgan Chase & Co. | 1,527,616 | |||||||||
19,412 | Mizuho Financial Group, Inc. (ADR) (Japan) | 89,489 | |||||||||
1,617,105 | |||||||||||
Food: Major Diversified (1.5%) | |||||||||||
24,030 | Unilever N.V. (NY Registered Shares) (Netherlands) | 581,045 | |||||||||
Food: Specialty/Candy (1.8%) | |||||||||||
20,399 | Cadbury PLC (ADR) (United Kingdom) | 701,732 | |||||||||
Home Improvement Chains (1.6%) | |||||||||||
26,182 | Home Depot, Inc. (The) | 618,681 | |||||||||
Household/Personal Care (0.8%) | |||||||||||
9,780 | Estee Lauder Cos., Inc. (The) (Class A) | 319,513 | |||||||||
Industrial Conglomerates (3.4%) | |||||||||||
23,800 | General Electric Co. | 278,936 | |||||||||
13,371 | Ingersoll-Rand PLC (Class A) (Bermuda) (b) | 279,454 | |||||||||
5,740 | Siemens AG (ADR) (Germany) | 397,151 | |||||||||
14,902 | Tyco International Ltd. (Luxembourg) | 387,154 | |||||||||
1,342,695 | |||||||||||
Insurance Brokers/Services (2.5%) | |||||||||||
47,830 | Marsh & McLennan Cos., Inc. | 962,818 | |||||||||
Integrated Oil (4.7%) | |||||||||||
7,200 | BP PLC (ADR) (United Kingdom) | 343,296 | |||||||||
3,780 | ConocoPhillips | 158,987 | |||||||||
7,420 | Exxon Mobil Corp. | 518,732 | |||||||||
4,500 | Hess Corp. | 241,875 | |||||||||
11,640 | Royal Dutch Shell PLC (ADR) (United Kingdom) | 584,212 | |||||||||
1,847,102 | |||||||||||
Investment Banks/Brokers (1.0%) | |||||||||||
23,292 | Schwab (Charles) Corp. (The) | 408,542 | |||||||||
Investment Managers (0.2%) | |||||||||||
1,400 | State Street Corp. | 66,080 | |||||||||
Major Banks (2.8%) | |||||||||||
23,200 | Bank of America Corp. | 306,240 | |||||||||
6,700 | BB&T Corp. | 147,266 | |||||||||
2,800 | Comerica Inc. | 59,220 | |||||||||
16,791 | KeyCorp | 87,985 | |||||||||
8,738 | Mitsubishi UFJ Financial Group, Inc. (ADR) (Japan) (Note 4) | 53,651 |
See Notes to Financial Statements
54
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
9,288 | PNC Financial Services Group | $ | 360,467 | ||||||||
2,400 | Sumitomo Mitsui Financial Group, Inc. (Japan) (g) | 97,052 | |||||||||
1,111,881 | |||||||||||
Major Telecommunications (1.8%) | |||||||||||
22,930 | Verizon Communications Inc. | 704,639 | |||||||||
Media Conglomerates (3.7%) | |||||||||||
29,351 | Time Warner Inc. | 739,352 | |||||||||
30,958 | Viacom Inc. (Class B) (b) | 702,747 | |||||||||
1,442,099 | |||||||||||
Medical Distributors (0.5%) | |||||||||||
6,800 | Cardinal Health, Inc. | 207,740 | |||||||||
Medical Specialties (1.8%) | |||||||||||
31,190 | Boston Scientific Corp. (b) | 316,267 | |||||||||
10,592 | Covidien Ltd. (Bermuda) | 396,564 | |||||||||
712,831 | |||||||||||
Miscellaneous Manufacturing (0.6%) | |||||||||||
6,900 | Dover Corp. | 228,321 | |||||||||
Motor Vehicles (0.4%) | |||||||||||
8,602 | Harley-Davidson, Inc. | 139,438 | |||||||||
Oil & Gas Production (4.1%) | |||||||||||
12,200 | Anadarko Petroleum Corp. | 553,758 | |||||||||
5,500 | Devon Energy Corp. | 299,750 | |||||||||
11,110 | Occidental Petroleum Corp. | 731,149 | |||||||||
1,584,657 | |||||||||||
Oilfield Services/Equipment (1.1%) | |||||||||||
7,200 | Schlumberger Ltd. (Netherlands Antilles) | 389,592 | |||||||||
1,100 | Smith International, Inc. | 28,325 | |||||||||
417,917 | |||||||||||
Other Consumer Services (1.7%) | |||||||||||
39,300 | eBay Inc. | 673,209 | |||||||||
Packaged Software (0.2%) | |||||||||||
4,956 | Symantec Corp. (b) | 77,115 | |||||||||
Personnel Services (0.9%) | |||||||||||
4,634 | Manpower, Inc. | 196,204 | |||||||||
7,300 | Robert Half International, Inc. | 172,426 | |||||||||
368,630 | |||||||||||
Pharmaceuticals: Major (4.6%) | |||||||||||
7,070 | Abbott Laboratories | 332,573 | |||||||||
25,090 | Bristol-Myers Squibb Co. | 509,578 | |||||||||
9,400 | Pfizer, Inc. | 141,000 |
See Notes to Financial Statements
55
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
13,260 | Roche Holdings Ltd. (ADR) (Switzerland) | $ | 451,768 | ||||||||
13,950 | Schering-Plough Corp. | 350,424 | |||||||||
1,785,343 | |||||||||||
Precious Metals (1.7%) | |||||||||||
5,300 | Freeport-McMoRan Copper & Gold, Inc. (b) | 265,583 | |||||||||
9,450 | Newmont Mining Corp. | 386,222 | |||||||||
651,805 | |||||||||||
Property - Casualty Insurers (2.6%) | |||||||||||
10,522 | Chubb Corp. (The) | 419,617 | |||||||||
12,721 | Travelers Cos., Inc. (The) | 522,070 | |||||||||
2,200 | Transatlantic Holdings, Inc. | 95,326 | |||||||||
1,037,013 | |||||||||||
Regional Banks (0.2%) | |||||||||||
4,977 | First Horizon National Corp. | 59,728 | |||||||||
Restaurants (0.6%) | |||||||||||
17,800 | Starbucks Corp. (b) | 247,242 | |||||||||
Semiconductors (0.8%) | |||||||||||
19,819 | Intel Corp. | 328,004 | |||||||||
Tobacco (0.4%) | |||||||||||
3,280 | Philip Morris International Inc. | 143,073 | |||||||||
Total Common Stocks (Cost $30,356,824) | 26,577,611 |
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | |||||||||||||||||
Corporate Bonds (11.4%) | |||||||||||||||||||
Accident & Health Insurance (0.1%) | |||||||||||||||||||
$ | 20 | Travelers Cos., Inc. | 5.80 | % | 05/15/18 | 20,593 | |||||||||||||
5 | Travelers Cos., Inc. | 5.90 | 06/02/19 | 5,161 | |||||||||||||||
25,754 | |||||||||||||||||||
Aerospace & Defense (0.1%) | |||||||||||||||||||
15 | Boeing Co. (The) | 6.00 | 03/15/19 | 16,387 | |||||||||||||||
32 | Systems 2001 Asset Trust - 144A (Cayman Islands) (a) | 6.664 | 09/15/13 | 31,535 | |||||||||||||||
47,922 | |||||||||||||||||||
Agricultural Commodities/Milling (0.1%) | |||||||||||||||||||
20 | Archer-Daniels-Midland Co. | 5.45 | 03/15/18 | 21,066 | |||||||||||||||
5 | Bunge Ltd. Finance Corp. | 8.50 | 06/15/19 | 5,237 | |||||||||||||||
26,303 |
See Notes to Financial Statements
56
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Banking (0.1%) | |||||||||||||||||||
$ | 10 | Capital One Financial Co. | 7.375 | % | 05/23/14 | $ | 10,322 | ||||||||||||
25 | Kreditanstalt fuer Wiederaufbau (Germany) | 4.875 | 06/17/19 | 25,956 | |||||||||||||||
36,278 | |||||||||||||||||||
Beverages: Alcoholic (0.1%) | |||||||||||||||||||
20 | Diageo Capital PLC (United Kingdom) | 5.75 | 10/23/17 | 20,900 | |||||||||||||||
5 | Diageo Capital PLC (United Kingdom) | 7.375 | 01/15/14 | 5,663 | |||||||||||||||
30 | FBG Finance Ltd. - 144A (Australia) (a) | 5.125 | 06/15/15 | 28,138 | |||||||||||||||
54,701 | |||||||||||||||||||
Beverages: Non-Alcoholic (0.1%) | |||||||||||||||||||
25 | Coca-Cola Inc. (The) | 4.875 | 03/15/19 | 25,738 | |||||||||||||||
Biotechnology (0.2%) | |||||||||||||||||||
15 | Amgen Inc. | 5.70 | 02/01/19 | 15,854 | |||||||||||||||
30 | Amgen Inc. | 5.85 | 06/01/17 | 31,884 | |||||||||||||||
20 | Biogen Idec Inc. | 6.875 | 03/01/18 | 20,297 | |||||||||||||||
68,035 | |||||||||||||||||||
Brewery (0.1%) | |||||||||||||||||||
25 | Anheuser-Busch Inbev Worldwide Inc. - 144A (a) | 7.20 | 01/15/14 | 26,904 | |||||||||||||||
Cable/Satellite TV (0.2%) | |||||||||||||||||||
25 | Comcast Corp. | 5.70 | 05/15/18 | 25,178 | |||||||||||||||
40 | Comcast Corp. | 6.50 | 01/15/17 | 42,498 | |||||||||||||||
67,676 | |||||||||||||||||||
Chemicals: Agricultural (0.1%) | |||||||||||||||||||
10 | Monsanto Co. | 5.125 | 04/15/18 | 10,379 | |||||||||||||||
15 | Potash Corp. of Saskatchewan Inc. (Canada) | 6.50 | 05/15/19 | 16,192 | |||||||||||||||
26,571 | |||||||||||||||||||
Chemicals: Major Diversified (0.0%) | |||||||||||||||||||
20 | E.I. du Pont de Nemours & Co. | 6.00 | 07/15/18 | 21,596 | |||||||||||||||
Computer Communications (0.1%) | |||||||||||||||||||
25 | Cisco Systems Inc. | 4.95 | 02/15/19 | 25,046 | |||||||||||||||
5 | Cisco Systems Inc. | 5.90 | 02/15/39 | 4,941 | |||||||||||||||
29,987 | |||||||||||||||||||
Computer Processing Hardware (0.1%) | |||||||||||||||||||
20 | Hewlett-Packard Co. | 4.75 | 06/02/14 | 20,902 | |||||||||||||||
10 | Hewlett-Packard Co. | 5.50 | 03/01/18 | 10,530 | |||||||||||||||
31,432 | |||||||||||||||||||
Computer Software & Equipment (0.0%) | |||||||||||||||||||
10 | Microsoft Corp. | 4.20 | 06/01/19 | 9,789 | |||||||||||||||
Containers/Packaging (0.0%) | |||||||||||||||||||
10 | Sealed Air Corp. - 144A (a) | 7.875 | 06/15/17 | 9,925 |
See Notes to Financial Statements
57
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Discount Stores (0.2%) | |||||||||||||||||||
$ | 25 | Wal-Mart Stores, Inc. | 4.125 | % | 02/01/19 | $ | 24,379 | ||||||||||||
40 | Wal-Mart Stores, Inc. | 4.25 | 04/15/13 | 41,597 | |||||||||||||||
65,976 | |||||||||||||||||||
Drugstore Chains (0.1%) | |||||||||||||||||||
42 | CVS Pass-Through Trust - 144A (a) | 6.036 | 12/10/28 | 36,363 | |||||||||||||||
20 | Walgreen Co. | 5.25 | 01/15/19 | 20,844 | |||||||||||||||
57,207 | |||||||||||||||||||
Electric Utilities (1.0%) | |||||||||||||||||||
10 | Alabama Power Co. | 5.80 | 11/15/13 | 10,845 | |||||||||||||||
20 | CenterPoint Energy Resources, Corp. | 6.25 | 02/01/37 | 15,090 | |||||||||||||||
10 | CenterPoint Energy Resources, Corp. (Series B) | 7.875 | 04/01/13 | 10,675 | |||||||||||||||
20 | Detroit Edison Co. (The) | 6.125 | 10/01/10 | 20,728 | |||||||||||||||
35 | E.ON International Finance BV - 144A (Netherlands) (a) | 5.80 | 04/30/18 | 36,477 | |||||||||||||||
25 | Electricite de France - 144A (France) (a) | 6.50 | 01/26/19 | 27,430 | |||||||||||||||
20 | FPL Group Capital Inc. | 6.00 | 03/01/19 | 21,521 | |||||||||||||||
10 | Georgia Power Co. | 6.00 | 11/01/13 | 10,917 | |||||||||||||||
25 | Ohio Edison Co. | 6.40 | 07/15/16 | 25,572 | |||||||||||||||
20 | Ohio Power Co. (Series K) | 6.00 | 06/01/16 | 20,399 | |||||||||||||||
10 | PacifiCorp. | 5.50 | 01/15/19 | 10,596 | |||||||||||||||
20 | PECO Energy Co. | 5.35 | 03/01/18 | 20,491 | |||||||||||||||
20 | PPL Energy Supply LLC | 6.30 | 07/15/13 | 20,987 | |||||||||||||||
25 | Progress Energy, Inc. | 7.05 | 03/15/19 | 27,787 | |||||||||||||||
20 | Public Service Co. of Colorado | 6.50 | 08/01/38 | 22,763 | |||||||||||||||
15 | Public Service Electric & Gas Co. (Series B) | 5.00 | 01/01/13 | 15,517 | |||||||||||||||
20 | Texas Eastern Transmission L.P. | 7.00 | 07/15/32 | 21,099 | |||||||||||||||
15 | Union Electric Co. | 6.70 | 02/01/19 | 15,704 | |||||||||||||||
35 | Virginia Electric & Power Co. | 8.875 | 11/15/38 | 47,056 | |||||||||||||||
401,654 | |||||||||||||||||||
Electrical Products (0.1%) | |||||||||||||||||||
25 | Cooper US, Inc. | 5.25 | 11/15/12 | 26,720 | |||||||||||||||
15 | Emerson Electric Co. | 4.875 | 10/15/19 | 15,035 | |||||||||||||||
5 | Emerson Electric Co. | 5.00 | 04/15/19 | 5,040 | |||||||||||||||
46,795 | |||||||||||||||||||
Electronic Components (0.1%) | |||||||||||||||||||
25 | Koninklijke Philips Electronics N.V. (Netherlands) | 5.75 | 03/11/18 | 25,242 | |||||||||||||||
Electronic Equipment/Instruments (0.0%) | |||||||||||||||||||
20 | Xerox Corp. | 6.35 | 05/15/18 | 17,879 | |||||||||||||||
Electronic Production Equipment (0.0%) | |||||||||||||||||||
15 | KLA-Tencor Corp. | 6.90 | 05/01/18 | 13,508 |
See Notes to Financial Statements
58
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Electronics/Appliances (0.1%) | |||||||||||||||||||
$ | 25 | LG Electronics Inc. - 144A (South Korea) (a) | 5.00 | % | 06/17/10 | $ | 24,860 | ||||||||||||
Finance (0.1%) | |||||||||||||||||||
5 | BP Capital Markets PLC (United Kingdom) | 3.875 | 03/10/15 | 5,014 | |||||||||||||||
30 | BP Capital Markets PLC (United Kingdom) | 4.75 | 03/10/19 | 29,900 | |||||||||||||||
34,914 | |||||||||||||||||||
Finance/Rental/Leasing (0.1%) | |||||||||||||||||||
5 | American Express Credit Corp. | 8.125 | 05/20/19 | 5,197 | |||||||||||||||
35 | Nationwide Building Society - 144A (United Kingdom) (a) | 4.25 | 02/01/10 | 34,913 | |||||||||||||||
40,110 | |||||||||||||||||||
Financial Conglomerates (0.9%) | |||||||||||||||||||
35 | American Express Credit Corp. | 7.30 | 08/20/13 | 36,422 | |||||||||||||||
10 | Brookfield Asset Management Inc. (Canada) | 5.80 | 04/25/17 | 8,288 | |||||||||||||||
25 | Citigroup Inc. (Note 4) | 5.875 | 05/29/37 | 19,593 | |||||||||||||||
35 | Citigroup Inc. (Note 4) | 6.125 | 11/21/17 | 30,735 | |||||||||||||||
25 | Citigroup Inc. (Note 4) | 6.125 | 05/15/18 | 21,902 | |||||||||||||||
5 | Citigroup Inc. (Note 4) | 8.50 | 05/22/19 | 5,095 | |||||||||||||||
65 | General Electric Capital Corp. | 5.625 | 05/01/18 | 61,580 | |||||||||||||||
60 | JPMorgan Chase & Co. | 4.75 | 05/01/13 | 60,814 | |||||||||||||||
40 | JPMorgan Chase & Co. | 6.00 | 01/15/18 | 39,802 | |||||||||||||||
15 | Principal Financial Group, Inc. | 8.875 | 05/15/19 | 15,773 | |||||||||||||||
15 | Prudential Financial Inc. (Series MTN) | 6.625 | 12/01/37 | 13,034 | |||||||||||||||
5 | Prudential Financial Inc. | 7.375 | 06/15/19 | 4,918 | |||||||||||||||
317,956 | |||||||||||||||||||
Food Retail (0.2%) | |||||||||||||||||||
10 | Delhaize America, Inc. | 9.00 | 04/15/31 | 12,171 | |||||||||||||||
15 | Delhaize Group (Belgium) | 5.875 | 02/01/14 | 15,416 | |||||||||||||||
15 | Kroger Co. (The) | 5.00 | 04/15/13 | 15,358 | |||||||||||||||
5 | Kroger Co. (The) | 6.40 | 08/15/17 | 5,309 | |||||||||||||||
30 | McDonalds Corp. | 5.70 | 02/01/39 | 29,807 | |||||||||||||||
78,061 | |||||||||||||||||||
Food: Major Diversified (0.3%) | |||||||||||||||||||
20 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 19,924 | |||||||||||||||
10 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 11,184 | |||||||||||||||
20 | General Mills, Inc. | 5.25 | 08/15/13 | 21,143 | |||||||||||||||
15 | General Mills, Inc. | 5.65 | 02/15/19 | 15,707 | |||||||||||||||
10 | Kraft Foods Inc. | 6.125 | 02/01/18 | 10,356 | |||||||||||||||
15 | Kraft Foods Inc. | 6.125 | 08/23/18 | 15,561 |
See Notes to Financial Statements
59
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 20 | Kraft Foods Inc. | 6.875 | % | 01/26/39 | $ | 21,239 | ||||||||||||
10 | Kraft Foods Inc. | 7.00 | 08/11/37 | 10,594 | |||||||||||||||
125,708 | |||||||||||||||||||
Gas Distributors (0.2%) | |||||||||||||||||||
15 | NiSource Finance Corp. | 1.231 | (e) | 11/23/09 | 14,882 | ||||||||||||||
25 | NiSource Finance Corp. | 6.80 | 01/15/19 | 23,467 | |||||||||||||||
25 | Questar Market Resources | 6.80 | 04/01/18 | 23,593 | |||||||||||||||
61,942 | |||||||||||||||||||
Home Improvement Chains (0.1%) | |||||||||||||||||||
30 | Home Depot, Inc. | 5.40 | 03/01/16 | 29,988 | |||||||||||||||
Household/Personal Care (0.0%) | |||||||||||||||||||
10 | Procter & Gamble Co. (The) | 4.60 | 01/15/14 | 10,528 | |||||||||||||||
5 | Procter & Gamble Co. (The) | 5.55 | 03/05/37 | 5,081 | |||||||||||||||
15,609 | |||||||||||||||||||
Industrial Conglomerates (0.4%) | |||||||||||||||||||
125 | General Electric Co. | 5.25 | 12/06/17 | 122,962 | |||||||||||||||
20 | Honeywell International Inc. | 5.30 | 03/01/18 | 20,923 | |||||||||||||||
143,885 | |||||||||||||||||||
Industrial Machinery (0.0%) | |||||||||||||||||||
20 | Paker Hannifin Corp. (Series MTN) | 5.50 | 05/15/18 | 20,488 | |||||||||||||||
Integrated Oil (0.2%) | |||||||||||||||||||
25 | Chevron Corp. | 4.95 | 03/03/19 | 25,882 | |||||||||||||||
45 | ConocoPhillips | 5.20 | 05/15/18 | 45,522 | |||||||||||||||
15 | ConocoPhillips | 5.75 | 02/01/19 | 15,794 | |||||||||||||||
87,198 | |||||||||||||||||||
International Banks (0.0%) | |||||||||||||||||||
25 | UBS AG/Stamford Ranch (Series DPNT) (Switzerland) | 5.875 | 12/20/17 | 23,319 | |||||||||||||||
Investment Banks/Brokers (0.6%) | |||||||||||||||||||
5 | Bear Stearns Cos. LLC (The) | 6.40 | 10/02/17 | 5,017 | |||||||||||||||
45 | Bear Stearns Cos. LLC (The) | 7.25 | 02/01/18 | 47,505 | |||||||||||||||
20 | Goldman Sachs Group, Inc. (The) | 6.75 | 10/01/37 | 17,832 | |||||||||||||||
95 | Goldman Sachs Group, Inc. (The) | 6.15 | 04/01/18 | 92,644 | |||||||||||||||
40 | Merrill Lynch & Co., Inc. (Series MTN) | 6.875 | 04/25/18 | 37,082 | |||||||||||||||
25 | NYSE Euronext | 4.80 | 06/28/13 | 25,903 | |||||||||||||||
225,983 | |||||||||||||||||||
Life/Health Insurance (0.1%) | |||||||||||||||||||
5 | MetLife, Inc. | 6.75 | 06/01/16 | 5,097 | |||||||||||||||
10 | MetLife, Inc. | 7.717 | 02/15/19 | 10,715 | |||||||||||||||
20 | MetLife, Inc. (Series A) | 6.817 | 08/15/18 | 20,176 | |||||||||||||||
35,988 |
See Notes to Financial Statements
60
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Major Banks (1.1%) | |||||||||||||||||||
$ | 115 | Bank of America Corp. | 5.75 | % | 12/01/17 | $ | 102,564 | ||||||||||||
10 | Bank of America Corp. | 7.625 | 06/01/19 | 10,062 | |||||||||||||||
35 | Bank of New York Mellon Corp. (Series MTN) | 4.50 | 04/01/13 | 35,647 | |||||||||||||||
25 | Barclays Bank PLC (United Kingdom) | 6.75 | 05/22/19 | 24,838 | |||||||||||||||
21 | BB&T Corp. | 6.85 | 04/30/19 | 21,878 | |||||||||||||||
15 | Credit Suisse/New York NY (Switzerland) | 6.00 | 02/15/18 | 15,000 | |||||||||||||||
15 | Credit Suisse Inc. (Switzerland) | 5.125 | 08/15/15 | 15,402 | |||||||||||||||
55 | HSBC Finance Corp. | 6.75 | 05/15/11 | 56,575 | |||||||||||||||
20 | PNC Funding Corp. | 6.70 | 06/10/19 | 20,665 | |||||||||||||||
5 | State Street Corp. | 4.30 | 05/30/14 | 4,949 | |||||||||||||||
15 | Wachovia Corp. (Series MTN) | 5.50 | 05/01/13 | 15,508 | |||||||||||||||
100 | Wells Fargo & Co. | 5.625 | 12/11/17 | 98,502 | |||||||||||||||
421,590 | |||||||||||||||||||
Major Telecommunications (0.9%) | |||||||||||||||||||
20 | AT&T Corp. | 8.00 | (e) | 11/15/31 | 23,148 | ||||||||||||||
60 | AT&T Inc. | 6.30 | 01/15/38 | 58,163 | |||||||||||||||
15 | AT&T Inc. | 6.55 | 02/15/39 | 15,022 | |||||||||||||||
20 | Deutsche Telekom International Finance Corp. NV (Netherlands) | 8.75 | (e) | 06/15/30 | 23,475 | ||||||||||||||
10 | France Telecom S.A. (France) | 8.50 | (e) | 03/01/31 | 12,879 | ||||||||||||||
15 | SBC Communications, Inc. | 6.15 | 09/15/34 | 14,284 | |||||||||||||||
5 | Telecom Italia capital S.A. (Luxembourg) | 4.95 | 09/30/14 | 4,792 | |||||||||||||||
30 | Telecom Italia capital S.A. (Luxembourg) | 6.999 | 06/04/18 | 30,400 | |||||||||||||||
15 | Telecom Italia capital S.A. (Luxembourg) | 7.175 | 06/18/19 | 15,232 | |||||||||||||||
40 | Telefonica Europe BV (Netherlands) | 8.25 | 09/15/30 | 49,659 | |||||||||||||||
40 | Verizon Communications Inc. | 5.50 | 02/15/18 | 39,792 | |||||||||||||||
25 | Verizon Communications Inc. | 6.35 | 04/01/19 | 26,055 | |||||||||||||||
20 | Verizon Communications Inc. | 8.95 | 03/01/39 | 25,333 | |||||||||||||||
30 | Verizon Wireless Capital LLC - 144A (a) | 5.55 | 02/01/14 | 31,881 | |||||||||||||||
370,115 | |||||||||||||||||||
Managed Health Care (0.1%) | |||||||||||||||||||
25 | UnitedHealth Group Inc. | 6.00 | 02/15/18 | 24,033 | |||||||||||||||
5 | WellPoint Inc. | 7.00 | 02/15/19 | 5,178 | |||||||||||||||
29,211 | |||||||||||||||||||
Marine Shipping (0.1%) | |||||||||||||||||||
5 | Union Pacific Corp. | 6.125 | 02/15/20 | 5,195 | |||||||||||||||
30 | Union Pacific Corp. | 7.875 | 01/15/19 | 34,400 | |||||||||||||||
39,595 |
See Notes to Financial Statements
61
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Media Conglomerates (0.4%) | |||||||||||||||||||
$ | 30 | News America Inc. - 144A (a) | 6.90 | % | 03/01/19 | $ | 31,316 | ||||||||||||
30 | Time Warner Cable Inc. | 6.75 | 07/01/18 | 31,300 | |||||||||||||||
10 | Time Warner Cable Inc. | 6.75 | 06/15/39 | 9,764 | |||||||||||||||
10 | Time Warner Cable Inc. | 8.25 | 04/01/19 | 11,366 | |||||||||||||||
15 | Time Warner Cable Inc. | 8.75 | 02/14/19 | 17,503 | |||||||||||||||
10 | Time Warner, Inc. | 5.875 | 11/15/16 | 9,870 | |||||||||||||||
20 | Time Warner, Inc. | 7.70 | 05/01/32 | 19,705 | |||||||||||||||
20 | Viacom, Inc. | 6.875 | 04/30/36 | 18,480 | |||||||||||||||
15 | Vivendi - 144A (France) (a) | 6.625 | 04/04/18 | 15,126 | |||||||||||||||
164,430 | |||||||||||||||||||
Medical Specialties (0.0%) | |||||||||||||||||||
5 | Baxter International Inc. | 5.375 | 06/01/18 | 5,245 | |||||||||||||||
Motor Vehicles (0.1%) | |||||||||||||||||||
20 | Daimler Finance North American LLC | 7.30 | 01/15/12 | 20,723 | |||||||||||||||
10 | Daimler Finance North American LLC | 8.50 | 01/18/31 | 10,546 | |||||||||||||||
20 | Harley-Davison Funding Corp. - 144A (a) | 6.80 | 06/15/18 | 17,380 | |||||||||||||||
48,649 | |||||||||||||||||||
Multi-Line Insurance (0.0%) | |||||||||||||||||||
15 | Allstate Corp. | 7.45 | 05/16/19 | 16,257 | |||||||||||||||
Oil & Gas Pipelines (0.2%) | |||||||||||||||||||
25 | Enterprise Products Operating LLP | 6.50 | 01/31/19 | 25,453 | |||||||||||||||
25 | Kinder Morgan Energy Partners, L.P. | 5.95 | 02/15/18 | 24,513 | |||||||||||||||
20 | Plains All American Pipeline LP/PAA Finance Corp. | 6.70 | 05/15/36 | 18,085 | |||||||||||||||
68,051 | |||||||||||||||||||
Oil & Gas Production (0.2%) | |||||||||||||||||||
15 | Apache Corp. | 6.90 | 09/15/18 | 17,203 | |||||||||||||||
25 | Devon Financing Corp. ULC (Canada) | 7.875 | 09/30/31 | 29,521 | |||||||||||||||
20 | EnCana Corp. (Canada) | 5.90 | 12/01/17 | 20,537 | |||||||||||||||
30 | XTO Energy Inc. | 5.50 | 06/15/18 | 30,114 | |||||||||||||||
97,375 | |||||||||||||||||||
Oil Related (0.0%) | |||||||||||||||||||
20 | Transocean Inc. (Cayman Islands) | 6.00 | 03/15/18 | 20,827 | |||||||||||||||
Oilfield Services/Equipment (0.0%) | |||||||||||||||||||
20 | Weatherford International Ltd. (Switzerland) | 6.00 | 03/15/18 | 19,673 | |||||||||||||||
Other Metals/Minerals (0.1%) | |||||||||||||||||||
10 | Brascan Corp. (Canada) | 7.125 | 06/15/12 | 9,826 | |||||||||||||||
15 | Rio Tinto Finance Ltd. (Australia) | 6.50 | 07/15/18 | 15,034 | |||||||||||||||
24,860 |
See Notes to Financial Statements
62
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Packaged Software (0.0%) | |||||||||||||||||||
$ | 5 | Oracle Corp. | 5.75 | % | 04/15/18 | $ | 5,283 | ||||||||||||
Pharmaceuticals: Major (0.6%) | |||||||||||||||||||
5 | AstraZeneca PLC (United Kingdom) | 5.90 | 09/15/17 | 5,363 | |||||||||||||||
5 | AstraZeneca PLC (United Kingdom) | 6.45 | 09/15/37 | 5,562 | |||||||||||||||
10 | Bristol-Myers Squibb Co. | 5.45 | 05/01/18 | 10,614 | |||||||||||||||
10 | GlaxoSmithKline Capital Inc. | 5.65 | 05/15/18 | 10,611 | |||||||||||||||
5 | GlaxoSmithKline Capital Inc. | 6.375 | 05/15/38 | 5,456 | |||||||||||||||
54 | Merck & Co., Inc. | 5.00 | 06/30/19 | 54,783 | |||||||||||||||
25 | Novartis Capital Corp. | 4.125 | 02/10/14 | 25,761 | |||||||||||||||
65 | Pfizer Inc. | 6.20 | 03/15/19 | 71,216 | |||||||||||||||
40 | Roche Holdings, Inc. - 144A (a) | 6.00 | 03/01/19 | 42,730 | |||||||||||||||
5 | Wyeth | 5.45 | 04/01/17 | 5,229 | |||||||||||||||
237,325 | |||||||||||||||||||
Property - Casualty Insurers (0.4%) | |||||||||||||||||||
20 | ACE INA Holding Inc. | 5.60 | 05/15/15 | 20,271 | |||||||||||||||
50 | Berkshire Hathaway Finance Corp. | 5.40 | 05/15/18 | 51,617 | |||||||||||||||
10 | Chubb Corp.(The) | 5.75 | 05/15/18 | 10,390 | |||||||||||||||
30 | Platinum Underwriters Finance Inc. (Series B) | 7.50 | 06/01/17 | 25,634 | |||||||||||||||
35 | Xlliac Global Funding - 144A (a) | 4.80 | 08/10/10 | 32,604 | |||||||||||||||
140,516 | |||||||||||||||||||
Railroads (0.1%) | |||||||||||||||||||
10 | Canadian National Railway Co. (Canada) | 5.55 | 05/15/18 | 10,465 | |||||||||||||||
5 | Canadian National Railway Co. (Canada) | 5.55 | 03/01/19 | 5,190 | |||||||||||||||
20 | Norfolk Southern Corp. - 144A (a) | 5.75 | 01/15/16 | 20,743 | |||||||||||||||
36,398 | |||||||||||||||||||
Real Estate Investment Trusts (0.0%) | |||||||||||||||||||
15 | Simon Property Group, L.P. | 6.75 | 05/15/14 | 15,087 | |||||||||||||||
Regional Banks (0.1%) | |||||||||||||||||||
25 | U.S. Bancorp | 4.20 | 05/15/14 | 25,310 | |||||||||||||||
Restaurants (0.1%) | |||||||||||||||||||
5 | McDonald's Corp. | 5.00 | 02/01/19 | 5,136 | |||||||||||||||
10 | Yum! Brands, Inc. | 6.25 | 03/15/18 | 10,306 | |||||||||||||||
15 | Yum! Brands, Inc. | 8.875 | 04/15/11 | 16,381 | |||||||||||||||
31,823 | |||||||||||||||||||
Savings Banks (0.2%) | |||||||||||||||||||
25 | Household Finance Corp. | 6.375 | 10/15/11 | 25,577 | |||||||||||||||
45 | Sovereign Bancorp, Inc. | 0.842 | (e) | 03/23/10 | 41,536 | ||||||||||||||
67,113 |
See Notes to Financial Statements
63
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Services to the Health Industry (0.0%) | |||||||||||||||||||
$ | 20 | Medco Health Solutions, Inc. | 7.125 | % | 03/15/18 | $ | 21,096 | ||||||||||||
Steel (0.2%) | |||||||||||||||||||
30 | ArcelorMittal (Luxembourg) | 6.125 | 06/01/18 | 26,293 | |||||||||||||||
31 | ArcelorMittal (Luxembourg) | 9.85 | 06/01/19 | 33,509 | |||||||||||||||
59,802 | |||||||||||||||||||
Telecommunication Equipment (0.0%) | |||||||||||||||||||
5 | Corning Inc. | 6.625 | 05/15/19 | 5,119 | |||||||||||||||
Tobacco (0.2%) | |||||||||||||||||||
20 | Altria Group Inc. | 9.25 | 08/06/19 | 22,496 | |||||||||||||||
15 | BAT International Finance PLC - 144A (United Kingdom) (a) | 9.50 | 11/15/18 | 17,659 | |||||||||||||||
25 | Phillip Morris International Inc. | 5.65 | 05/16/18 | 26,251 | |||||||||||||||
66,406 | |||||||||||||||||||
Trucks/Construction/Farm Machinery (0.1%) | |||||||||||||||||||
10 | Caterpillar Finance Services Corp. (Series MTN) | 4.90 | 08/15/13 | 9,971 | |||||||||||||||
5 | Caterpillar Inc. | 7.90 | 12/15/18 | 5,777 | |||||||||||||||
15 | John Deere Capital Corp. (Series MTN) | 5.75 | 09/10/18 | 15,333 | |||||||||||||||
31,081 | |||||||||||||||||||
Wireless Telecommunications (0.0%) | |||||||||||||||||||
15 | Vodafone Group PLC (United Kingdom) | 5.625 | 02/27/17 | 15,256 | |||||||||||||||
Total Corporate Bonds (Cost $4,436,954) | 4,486,374 | ||||||||||||||||||
Foreign Government Obligations (0.4%) | |||||||||||||||||||
100 | Federative Republic of Brazil (Brazil) | 6.00 | 01/17/17 | 103,150 | |||||||||||||||
30 | Italian Republic (Italy) | 6.875 | 09/27/23 | 33,751 | |||||||||||||||
10 | Republic of Peru (Peru) | 7.125 | 03/30/19 | 10,725 | |||||||||||||||
Total Foreign Government Obligations (Cost $145,770) | 147,626 | ||||||||||||||||||
U.S. Government Agencies & Obligations (16.1%) | |||||||||||||||||||
Financial Conglomerates - FDIC Guaranteed (0.4%) | |||||||||||||||||||
180 | JPMorgan Chase & Co. | 2.125 | 12/26/12 | 179,239 | |||||||||||||||
U.S. Government Agencies (3.0%) | |||||||||||||||||||
Federal National Mortgage Assoc. | |||||||||||||||||||
250 | 1.875 | 04/20/12 | 251,188 | ||||||||||||||||
100 | 5.00 | 05/11/17 | 108,771 | ||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||
150 | 2.50 | 01/07/14 | 148,697 |
See Notes to Financial Statements
64
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | �� | COUPON RATE | MATURITY DATE | VALUE | |||||||||||||||
$ | 120 | 3.00 | % | 07/28/14 | $ | 120,384 | |||||||||||||
125 | 4.875 | 06/13/18 | 134,762 | ||||||||||||||||
240 | 5.50 | 08/23/17 | 270,404 | ||||||||||||||||
100 | 6.75 | 03/15/31 | 124,357 | ||||||||||||||||
1,158,563 | |||||||||||||||||||
U.S. Government Obligations (12.7%) | |||||||||||||||||||
U.S. Treasury Bonds | |||||||||||||||||||
300 | 3.50 | 02/15/39 | 259,501 | ||||||||||||||||
540 | 5.25 | 02/15/29 | 607,501 | ||||||||||||||||
200 | 6.00 | 02/15/26 | 241,281 | ||||||||||||||||
813 | 6.25 | 08/15/23 | 990,590 | ||||||||||||||||
U.S. Treasury Notes | |||||||||||||||||||
800 | 0.875 | 02/28/11 | 799,690 | ||||||||||||||||
150 | 0.875 | 03/31/11 | 149,842 | ||||||||||||||||
1,900 | 1.50 | 10/31/10 | 1,921,673 | ||||||||||||||||
4,970,078 | |||||||||||||||||||
Total U.S. Government Agencies & Obligations (Cost $6,378,492) | 6,307,880 | ||||||||||||||||||
Asset-Backed Securities (0.1%) | |||||||||||||||||||
Finance/Rental/Leasing | |||||||||||||||||||
Capital Auto Receivables Assets Trust | |||||||||||||||||||
27 | 2007-SN1 A3B | 0.379 | (e) | 07/15/10 | 26,525 | ||||||||||||||
Capital One Auto Finance Trust | |||||||||||||||||||
12 | 2006-C A3A | 5.07 | 07/15/11 | 12,420 | |||||||||||||||
Total Asset-Backed Securities (Cost $39,370) | 38,945 | ||||||||||||||||||
Mortgage-Backed Securities (0.3%) | |||||||||||||||||||
Federal Home Loan Mortgage Corp. (0.0%) | |||||||||||||||||||
42 | 7.50 | 09/01/25 - 08/01/31 | 14,429 | ||||||||||||||||
Federal National Mortgage Assoc. (0.3%) | |||||||||||||||||||
42 | 7.50 | 11/01/30 - 01/01/31 | 31,096 | ||||||||||||||||
65 | 8.00 | 04/01/31 - 10/01/31 | 70,584 | ||||||||||||||||
101,680 | |||||||||||||||||||
Government National Mortgage Assoc. (0.0%) | |||||||||||||||||||
11 | 7.50 | 08/15/23 - 08/15/29 | 11,987 | ||||||||||||||||
Total Mortgage-Backed Securities (Cost $123,251) | 128,096 |
See Notes to Financial Statements
65
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF CONTRACTS | VALUE | ||||||||||||||||||
Call Options Purchased (0.0%) | |||||||||||||||||||
22 | EURO$ 2YR MID-CRV FUTURES September/2009 @ 97.75 (Cost $17,021) | $ | 2,200 | ||||||||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | |||||||||||||||||
Short-Term Investments (3.5%) | |||||||||||||||||||
U.S. Government Obligation (0.3%) | |||||||||||||||||||
$ | 100 | U.S. Treasury Bill (c)(d) (Cost $99,899) | 0.27 | % | 11/12/09 | 99,899 |
NUMBER OF SHARES (000) | |||||||||||
Investment Company (h) (3.2%) | |||||||||||
1,265 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $1,264,867) | 1,264,867 | |||||||||
Total Short-Term Investments (Cost $1,364,766) | 1,364,766 |
Total Investments (Cost $42,862,448) (f)(i) | 99.7 | % | 39,053,498 | ||||||||
Other Assets in Excess of Liabilities | 0.3 | 101,456 | |||||||||
Total Written Options Outstanding (premium received $2,164) | 0.0 | (113 | ) | ||||||||
Net Assets | 100.0 | % | $ | 39,154,841 |
ADR American Depositary Receipt.
FDIC Federal Deposit Insurance Corporation.
MTN Medium Term Note.
(a) Resale is restricted to qualified institutional investors.
(b) Non-income producing security.
(c) A portion of this security has been physically segregated in connection with open futures contracts.
(d) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.
(e) Floating Rate security, rate shown is the rate in effect at June 30, 2009.
(f) Securities have been designated as collateral in connection with open futures, option and swap contracts.
(g) Securities with a total market value equal to $97,052 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurement may be level 2 measurement if observable inputs are available. See Note 7.
(h) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class.
(i) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The
See Notes to Financial Statements
66
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
aggregate gross unrealized appreciation is $1,693,136 and the aggregate gross unrealized depreciation is $5,502,086 resulting in net unrealized depreciation of $3,808,950.
FUTURES CONTRACTS OPEN AT JUNE 30, 2009:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
17 | Long | U.S. Treasury Notes 5 Year, September 2009 | $ | 1,950,219 | $ | (6,543 | ) | ||||||||||||
5 | Long | U.S. Treasury Notes 2 Year, September 2009 | 1,081,094 | (1,980 | ) | ||||||||||||||
2 | Long | 90 Day Euro$ March 2011 | 486,775 | (1,397 | ) | ||||||||||||||
2 | Long | 90 Day Euro$ June 2011 | 485,100 | (1,680 | ) | ||||||||||||||
2 | Long | 90 Day Euro$ September 2011 | 483,600 | (1,935 | ) | ||||||||||||||
2 | Long | 90 Day Euro$ December 2011 | 482,200 | (2,045 | ) | ||||||||||||||
5 | Short | U.S. Treasury Notes 10 Year, September 2009 | (581,328 | ) | 506 | ||||||||||||||
13 | Short | U.S. Treasury Bonds 30 Year, September 2009 | (1,512,672 | ) | (20,542 | ) | |||||||||||||
Net Unrealized Depreciation | $ | (35,616 | ) |
OPTIONS WRITTEN AT JUNE 30, 2009:
NUMBER OF CONTRACTS | DESCRIPTION | STRIKE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
18 | EURO$ 2YR MID-CRV FUTURES | $ | 98.50 | September 2009 | $ | 2,164 | $ | 113 |
See Notes to Financial Statements
67
Balanced
Portfolio of Investments n June 30, 2009 (unaudited) continued
CREDIT DEFAULT SWAP CONTRACT OPEN AT JUNE 30, 2009:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION | UPFRONT PAYMENTS | VALUE | CREDIT RATING OF REFERENCE OBLIGATION+ | |||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||||||||||
Bank of America, N.A. Sealed Air Corp. | Buy | $ | 10 | 1.12 | % | �� | March 20, 2018 | $ | 34 | — | $ | 34 | BB+ |
† Credit Rating as issued by Standard & Poors.
SUMMARY OF INVESTMENTS
TYPE OF INVESTMENT | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Common Stocks | $ | 26,577,611 | 68.1 | % | |||||||
U.S. Government Agencies & Obligations | 6,307,880 | 16.1 | |||||||||
Corporate Bonds | 4,486,374 | 11.5 | |||||||||
Short-Term Investments | 1,364,766 | 3.5 | |||||||||
Mortgage-Backed Securities | 128,096 | 0.3 | |||||||||
Asset-Backed Securities | 38,945 | 0.1 | |||||||||
Foreign Government Obligations | 147,626 | 0.4 | |||||||||
Call Options Purchased | 2,200 | 0.0 | |||||||||
$ | 39,053,498 | ^ | 100.0 | % |
^ Does not include open long/short futures contracts with an underlying face amount of $7,062,988 with unrealized depreciation of $35,616. Also does not include open swap contracts with an unrealized appreciation of $34 and options written with a value of $113.
See Notes to Financial Statements
68
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (101.6%) Australia (5.2%) | |||||||||||
Electric Utilities | |||||||||||
76,878 | SP Ausnet (b) | $ | 47,568 | ||||||||
Industrial | |||||||||||
252,000 | ConnectEast Group (b) | 61,586 | |||||||||
Investment Trusts/Mutual Funds | |||||||||||
353,198 | Macquarie Infrastructure Group (b) | 405,638 | |||||||||
Other Transportation | |||||||||||
240,450 | Macquarie Airports (b) | 439,186 | |||||||||
238,945 | Transurban Group (b) | 795,759 | |||||||||
1,234,945 | |||||||||||
Total Australia | 1,749,737 | ||||||||||
Austria (0.2%) | |||||||||||
Engineering & Construction | |||||||||||
2,678 | Strabag SE (b) | 59,370 | |||||||||
Belgium (0.4%) | |||||||||||
Major Telecommunications | |||||||||||
4,453 | Belgacom S.A. (b) | 142,359 | |||||||||
Shipping | |||||||||||
213 | Euronav S.A. (b) | 3,969 | |||||||||
Total Belgium | 146,328 | ||||||||||
Bermuda (0.3%) | |||||||||||
Other Transportation | |||||||||||
36,000 | Cosco Pacific Ltd. (b) | 40,401 | |||||||||
Shipping | |||||||||||
1,650 | Frontline Ltd. (b) | 40,820 | |||||||||
700 | Nordic American Tanker Shipping Ltd. | 22,274 | |||||||||
63,094 | |||||||||||
Total Bermuda | 103,495 | ||||||||||
Brazil (3.1%) | |||||||||||
Electric Utilities | |||||||||||
50 | Companhia Energetica de Minas Gerais (ADR) | 672 |
NUMBER OF SHARES | VALUE | ||||||||||
4,485 | Companhia Paranaense de Energia - Copel | $ | 62,943 | ||||||||
6,000 | Electropaulo Metropolitanna S.A. | 105,302 | |||||||||
168,917 | |||||||||||
Energy | |||||||||||
23,000 | CESP - Companhia Energetica de Sao Paulo | 227,782 | |||||||||
Marine Shipping | |||||||||||
1,000 | Teekay Shipping Corp. | 21,030 | |||||||||
Other Transportation | |||||||||||
40,100 | Companhia de Concessoes Rodoviarias | 633,201 | |||||||||
Total Brazil | 1,050,930 | ||||||||||
Canada (5.8%) | |||||||||||
Electric Utilities | |||||||||||
1,400 | Canadian Utilities Ltd. | 45,934 | |||||||||
Gas Distributors | |||||||||||
30,800 | TransCanada Corp. | 829,348 | |||||||||
Natural Gas - Pipelines | |||||||||||
2,700 | AltaGas Income Trust | 37,257 | |||||||||
Oil & Gas Pipelines | |||||||||||
28,300 | Enbridge Inc. | 981,978 | |||||||||
4,500 | Pembina Pipeline Income Fund | 57,490 | |||||||||
1,039,468 | |||||||||||
Total Canada | 1,952,007 | ||||||||||
Cayman Islands (0.8%) | |||||||||||
Building Products | |||||||||||
255,000 | China Shanshui Cement Group (b) | 175,933 | |||||||||
Other Transportation | |||||||||||
178,000 | Hopewell Highway Infrastructure Ltd. (b) | 99,906 | |||||||||
Total Cayman Islands | 275,839 |
See Notes to Financial Statements
69
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
China (5.9%) | |||||||||||
Construction | |||||||||||
48,393 | China Railway Construction Corp. Ltd. (b) | $ | 74,528 | ||||||||
Construction Materials | |||||||||||
12,000 | Anhui Conch Cement Co. Ltd. (H Shares) (b) | 74,873 | |||||||||
Engineering | |||||||||||
345,800 | China National Materials Co. Ltd. (b) | 284,217 | |||||||||
Major Telecommunications | |||||||||||
896,000 | China Telecom Corp. Ltd. (H Shares) (b) | 443,017 | |||||||||
Manufacturers | |||||||||||
48,000 | Dongfang Electric Corp. Ltd. (b) | 170,713 | |||||||||
Other Transportation | |||||||||||
68,000 | Beijing Capital International Airport Co. Ltd. (b) | 47,517 | |||||||||
116,000 | Jiangsu Expressway Co. Ltd. (b) | 84,987 | |||||||||
788,000 | Zhejiang Expressway Co., Ltd. (H Shares) (b) | 622,443 | |||||||||
754,947 | |||||||||||
Specialty Telecommunications | |||||||||||
290,000 | China Communication Services Corp. Ltd. (b) | 178,880 | |||||||||
Total China | 1,981,175 | ||||||||||
Czech Republic (0.3%) | |||||||||||
Electric Utilities | |||||||||||
2,229 | CEZ (b) | 100,444 | |||||||||
France (5.8%) | |||||||||||
Electric Utilities | |||||||||||
13,253 | Electricite de France (EDF) (b) | 646,273 | |||||||||
Engineering & Construction | |||||||||||
1,528 | Vinci S.A. (b) | 68,577 | |||||||||
Environmental Services | |||||||||||
9,224 | Suez Environment S.A. (b) | 161,756 | |||||||||
Gas Distributors | |||||||||||
13,313 | GDF Suez (b) | 497,347 |
NUMBER OF SHARES | VALUE | ||||||||||
Other Transportation | |||||||||||
4,800 | Aeroports de Paris (ADP) (b) | $ | 352,252 | ||||||||
Railroads | |||||||||||
6,700 | Group Eurotunnel S.A. (b) | 38,063 | |||||||||
Transportation | |||||||||||
2,652 | Societe des Autoroutes Paris-Rhin-Rhone (b) | 180,613 | |||||||||
Total France | 1,944,881 | ||||||||||
Germany (8.0%) | |||||||||||
Construction | |||||||||||
1,600 | Bauer AG (b) | 57,263 | |||||||||
Electric Utilities | |||||||||||
25,252 | E.ON AG (b) | 896,309 | |||||||||
17,002 | RWE AG (b) | 1,342,223 | |||||||||
2,238,532 | |||||||||||
Other Transportation | |||||||||||
4,332 | Fraport AG (b) | 185,720 | |||||||||
4,748 | Hamburger Hafen und Logistik AG (HHLA) (b) | 183,307 | |||||||||
369,027 | |||||||||||
Total Germany | 2,664,822 | ||||||||||
Greece (0.1%) | |||||||||||
Construction Materials | |||||||||||
1,340 | Titan Cement Company S. A. (b) | 35,288 | |||||||||
Hong Kong (1.7%) | |||||||||||
Electric Utilities | |||||||||||
2,000 | China Resources Power Holdings Co., Ltd. (b) | 4,427 | |||||||||
200 | China Resources Power Holdings Co., Ltd. (a)(b) | 85 | |||||||||
11,500 | CLP Holdings Ltd. (b) | 76,286 | |||||||||
80,798 | |||||||||||
Other Transportation | |||||||||||
164,000 | China Merchants Holdings International Co. Ltd. (b) | 471,513 | |||||||||
Total Hong Kong | 552,311 |
See Notes to Financial Statements
70
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Italy (9.3%) | |||||||||||
Construction | |||||||||||
82,586 | Impregilo S.p.A. (b) | $ | 288,076 | ||||||||
Electric Utilities | |||||||||||
120,350 | Enel S.p.A. (b) | 586,309 | |||||||||
27,343 | Terna - Rete Elettrica National S.p.A. (b) | 91,196 | |||||||||
677,505 | |||||||||||
Industrial | |||||||||||
39,900 | Atlantia S.p.A. (b) | 735,930 | |||||||||
Investment Managers | |||||||||||
6,500 | Societa Iniziative Autostradali e Servizi S.p.A. (SIAS) (b) | 45,377 | |||||||||
Oil & Gas Pipelines | |||||||||||
15,369 | Snam Rete Gas S.p.A. (b) | 67,608 | |||||||||
Other Transportation | |||||||||||
59,219 | Autostrade S.p.A. (b) | 1,198,488 | |||||||||
Specialty Telecommunications | |||||||||||
2,667 | Fastweb (a)(b) | 62,401 | |||||||||
Utilities | |||||||||||
3,313 | ACEA S.p.A. (b) | 40,482 | |||||||||
Total Italy | 3,115,867 | ||||||||||
Japan (10.0%) | |||||||||||
Construction | |||||||||||
8,000 | Toshiba Plant Systerms & Services Corp. (b) | 90,560 | |||||||||
5,500 | Electric Power Development Co., Ltd. (b) | 155,865 | |||||||||
4,600 | Hokkaido Electric Power (b) | 86,133 | |||||||||
2,000 | Kansai Electric Power Co., Inc. (The) (b) | 44,136 | |||||||||
3,700 | Kyushu Electric Power Co., Inc. (b) | 79,633 | |||||||||
5,000 | Tohoku Electric Power Co., Inc. (b) | 104,505 | |||||||||
6,500 | Tokyo Electric Power Co., Inc. (The) (b) | 167,076 | |||||||||
727,908 | |||||||||||
Engineering & Construction | |||||||||||
52,000 | Chiyoda Corp. (b) | 418,479 |
NUMBER OF SHARES | VALUE | ||||||||||
Major Telecommunications | |||||||||||
13,200 | Nippon Telegraph & Telephone Corp. (NTT) (b) | $ | 537,081 | ||||||||
Marine Shipping | |||||||||||
129,000 | Kamigumi Co., Ltd. (b) | 1,085,917 | |||||||||
Miscellaneous Manufacturing | |||||||||||
2,600 | Kurita Water Industries Ltd. (b) | 83,761 | |||||||||
Other Transportation | |||||||||||
6,800 | Japan Airport Terminal Co., Ltd. (b) | 82,279 | |||||||||
22,000 | Mitsubishi Logistics Corp. (b) | 242,493 | |||||||||
324,772 | |||||||||||
Warehouse | |||||||||||
16,000 | Sumitomo Warehouse Co., Ltd. (The) (b) | 72,058 | |||||||||
Wireless Telecommunications | |||||||||||
8 | KDDI Corp. (b) | 42,414 | |||||||||
33 | NTT DoCoMo, Inc. (b) | 48,198 | |||||||||
90,612 | |||||||||||
Total Japan | 3,340,588 | ||||||||||
Malaysia (0.6%) | |||||||||||
Electric Utilities | |||||||||||
95,800 | Tenaga Nasional Berhad (b) | 207,794 | |||||||||
Mexico (1.1%) | |||||||||||
Other Transportation | |||||||||||
3,700 | Grupo Aeroportuario del Pacifico SAB de CV (ADR) | 94,942 | |||||||||
69,700 | Grupo Aeroportuario del Pacifico SAB de CV (B Shares) | 177,952 | |||||||||
2,000 | Grupo Aeroportuario del Sureste SAB de C.V. (ADR) | 78,000 | |||||||||
Total Mexico | 350,894 | ||||||||||
Netherlands (3.9%) | |||||||||||
Mairne Shipping | |||||||||||
9,700 | Smit International NV (b) | 574,929 |
See Notes to Financial Statements
71
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Other Transportation | |||||||||||
14,307 | Koninklijke Vopak NV (b) | $ | 715,637 | ||||||||
Total Netherlands | 1,290,566 | ||||||||||
New Zealand (0.3%) | |||||||||||
Investment Trusts/Mutual Funds | |||||||||||
46,117 | Infratil Ltd. (b) | 51,647 | |||||||||
Other Transportation | |||||||||||
39,696 | Auckland International Airport Ltd. (b) | 41,174 | |||||||||
Total New Zealand | 92,821 | ||||||||||
Panama (0.3%) | |||||||||||
Engineering & Construction | |||||||||||
4,900 | McDermott International, Inc. (a) | 99,519 | |||||||||
Portugal (1.6%) | |||||||||||
Electric Utilities | |||||||||||
71,740 | Energias de Portugal, S.A. (b) | 281,484 | |||||||||
Other Transportation | |||||||||||
34,116 | Brisa (b) | 245,581 | |||||||||
Total Portugal | 527,065 | ||||||||||
Singapore (0.3%) | |||||||||||
Major Telecommunications | |||||||||||
47,000 | StarHub Ltd. (b) | 69,353 | |||||||||
Miscellaneous Commercial Services | |||||||||||
24,000 | SIA Engineering Co. (b) | 46,206 | |||||||||
Total Singapore | 115,559 | ||||||||||
South Africa (1.1%) | |||||||||||
Major Telecommunications | |||||||||||
73,413 | Telekom South Africa Ltd. (b) | 363,118 | |||||||||
South Korea (0.7%) | |||||||||||
Major Telecommunications | |||||||||||
2,090 | KT Corp. (b) | 60,228 | |||||||||
Telecommunication Equipment | |||||||||||
29,060 | LG Telecom Ltd. (b) | 182,806 | |||||||||
Total South Korea | 243,034 |
NUMBER OF SHARES | VALUE | ||||||||||
Spain (6.8%) | |||||||||||
Electric Utilities | |||||||||||
84,013 | Iberdola S.A. (b) | $ | 683,256 | ||||||||
13,192 | Iberdrola Renovables (b) | 60,374 | |||||||||
743,630 | |||||||||||
Engineering & Construction | |||||||||||
32,256 | Cintra Concesiones de Infraestructuras de Transporte S.A. (b) | 200,601 | |||||||||
2,226 | Grupo Ferrovial, S.A. (b) | 71,635 | |||||||||
272,236 | |||||||||||
Other Transportation | |||||||||||
67,615 | Abertis Infraestructuras S.A. (b) | 1,273,562 | |||||||||
Total Spain | 2,289,428 | ||||||||||
Switzerland (0.7%) | |||||||||||
Major Telecommunications | |||||||||||
801 | Swisscom AG (b) | 246,028 | |||||||||
Turkey (0.3%) | |||||||||||
Gas Distributors | |||||||||||
38,176 | Aygaz A.S. (b) | 89,301 | |||||||||
United Kingdom (4.1%) | |||||||||||
Electric Utilities | |||||||||||
21,398 | National Grid PLC (b) | 192,990 | |||||||||
4,291 | Scottish & Southern Energy PLC (b) | 80,562 | |||||||||
273,552 | |||||||||||
Engineering & Construction | |||||||||||
17,021 | Carillion PLC (b) | 70,810 | |||||||||
Gas Distributors | |||||||||||
191,568 | Centrica PLC (b) | 703,955 | |||||||||
Marine Shipping | |||||||||||
5,402 | Forth Ports PLC (b) | 84,538 | |||||||||
Miscellaneous Commercial Services | |||||||||||
119,000 | BBA Aviation PLC (b) | 223,634 | |||||||||
Total United Kingdom | 1,356,489 |
See Notes to Financial Statements
72
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
United States (21.4%) | |||||||||||
Electric Utilities | |||||||||||
61,000 | AES Corp. (The) | $ | 708,210 | ||||||||
1,200 | American Electric Power Co., Inc. | 34,668 | |||||||||
7,300 | CMS Energy Corp. (a) | 88,184 | |||||||||
10,100 | Constellation Energy Group | 268,458 | |||||||||
1,700 | Dominion Resources, Inc. | 56,814 | |||||||||
4,200 | DTE Energy Co. | 134,400 | |||||||||
3,510 | Duke Energy Corp. | 51,211 | |||||||||
600 | Entergy Corp. | 46,512 | |||||||||
5,100 | Exelon Corp. (a) | 261,171 | |||||||||
1,000 | FirstEnergy Corp. | 38,750 | |||||||||
2,300 | FPL Group, Inc. | 130,778 | |||||||||
1,900 | ITC Holdings Corp. | 86,184 | |||||||||
14,700 | NRG Energy, Inc. | 381,612 | |||||||||
1,000 | PG&E Corp. | 38,440 | |||||||||
11,300 | Public Service Enterprise Group Inc. | 368,719 | |||||||||
2,700 | SCANA Corp. | 87,669 | |||||||||
3,700 | Southern Co. (The) | 115,292 | |||||||||
2,897,072 | |||||||||||
Energy | |||||||||||
42,555 | Spectra Energy Corp. | 720,031 | |||||||||
81,800 | Williams Companies, Inc. (The) | 1,276,898 | |||||||||
1,996,929 | |||||||||||
Engineering & Construction | |||||||||||
10,100 | Dycom Industries, Inc. (a) | 111,807 | |||||||||
33,500 | KBR, Inc. | 617,740 | |||||||||
729,547 | |||||||||||
Gas Distributors | |||||||||||
2,400 | Southern Union Co. | 44,136 | |||||||||
11,700 | UGI Corp. | 298,233 | |||||||||
342,369 | |||||||||||
Major Telecommunications | |||||||||||
11,100 | Sprint Nextel Corp. | 53,391 | |||||||||
Alternative Power Generation | |||||||||||
6,000 | Ormat Technologies Inc. | 241,860 | |||||||||
Oil & Gas Pipelines | |||||||||||
42,300 | El Paso Corp. | 390,429 |
NUMBER OF SHARES | VALUE | ||||||||||
Oil & Gas Production | |||||||||||
5,600 | Energen Corp. | $ | 223,440 | ||||||||
Water Utilities | |||||||||||
5,100 | Aqua America Inc. | 91,290 | |||||||||
Wireless Telecommunications | |||||||||||
3,800 | Leap Wireless International Inc. (a) | 125,134 | |||||||||
2,300 | SBA Communications Corp. (a) | 56,442 | |||||||||
100 | United States Cellular Corp. (a) | 3,845 | |||||||||
185,421 | |||||||||||
Total United States | 7,151,748 | ||||||||||
Total Common Stocks (Cost $31,258,083) | 33,496,446 |
Total Investments (Cost $31,258,083) (c)(d) | 100.1 | % | 33,496,446 | ||||||||
Liabilites in Excess of Other Assets | (0.1 | ) | (22,685 | ) | |||||||
Net Assets | 100.0 | % | $ | 33,473,761 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Securities with a total market value equal to $22,869,074 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurements may be level 2 measurements if observable inputs are available. See Note 7.
(c) Securities have been designated as collateral in connection with forward foreign currency contracts.
(d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $3,005,435 and the aggregate gross unrealized depreciation is $767,072 resulting in net unrealized appreciation of $2,238,363.
See Notes to Financial Statements
73
Global Infrastructure
Portfolio of Investments n June 30, 2009 (unaudited) continued
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 2009:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AUD | 951,055 | $ | 773,003 | 07/16/09 | $ | (7,596 | ) | ||||||||
$ | 823,957 | BRL | 1,616,686 | 07/16/09 | 1,455 | ||||||||||
CAD | 692,249 | $ | 612,182 | 07/16/09 | (16,988 | ) | |||||||||
$ | 59,975 | CHF | 65,051 | 07/16/09 | 95 | ||||||||||
$ | 346,824 | CZK | 6,684,849 | 07/16/09 | (14,304 | ) | |||||||||
$ | 262,548 | EUR | 189,058 | 07/16/09 | (2,683 | ) | |||||||||
GBP | 218,472 | $ | 359,107 | 07/16/09 | 320 | ||||||||||
$ | 72,584 | HKD | 562,413 | 07/16/09 | 5 | ||||||||||
$ | 685,440 | JPY | 66,254,591 | 07/16/09 | (2,440 | ) | |||||||||
$ | 434,895 | KRW | 549,360,000 | 07/16/09 | 3,238 | ||||||||||
$ | 299,689 | MXN | 4,017,175 | 07/16/09 | (4,628 | ) | |||||||||
$ | 443,256 | MYR | 1,568,595 | 07/16/09 | (2,729 | ) | |||||||||
NOK | 784,214 | $ | 122,149 | 07/16/09 | (243 | ) | |||||||||
$ | 25,167 | NZD | 39,636 | 07/16/09 | (383 | ) | |||||||||
$ | 33,881 | SGD | 49,410 | 07/16/09 | (227 | ) | |||||||||
$ | 139,903 | TRY | 217,688 | 07/16/09 | (798 | ) | |||||||||
$ | 326,025 | ZAR | 2,606,896 | 07/16/09 | (10,869 | ) | |||||||||
Net Unrealized Depreciation | $ | (58,775 | ) |
Currency Abbreviations:
AUD Australian Dollar.
BRL Brazilian Real.
CAD Canadian Dollar.
CHF Swiss Franc.
CLP Chilean Peso.
CZK Czech Republic Koruna.
DKK Danish Krone.
EUR Euro.
GBP British Pound.
HKD Hong Kong Dollar.
JPY Japanese Yen.
KRW South Korean Won.
MXN Mexican New Peso.
NOK Norwegian Krone.
NZD New Zealand Dollar.
TRY Turkish Lira.
See Notes to Financial Statements
74
Global Infrastructure
Summary of Investments n June 30, 2009 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Electric Utilities | $ | 8,409,503 | 25.1 | % | |||||||
Other Transportation | 8,106,300 | 24.2 | |||||||||
Gas Distributors | 2,462,320 | 7.4 | |||||||||
Energy | 2,224,711 | 6.6 | |||||||||
Major Telecommunications | 1,914,575 | 5.7 | |||||||||
Marine Shipping | 1,766,414 | 5.3 | |||||||||
Engineering & Construction | 1,718,538 | 5.1 | |||||||||
Oil & Gas Pipelines | 1,497,505 | 4.5 | |||||||||
Construction | 1,147,775 | 3.4 | |||||||||
Industrial | 797,516 | 2.4 | |||||||||
Investment Trust/Mutual Funds | 457,285 | 1.4 | |||||||||
Engineering | 284,217 | 0.9 | |||||||||
Wireless Telecommunications | 276,033 | 0.8 | |||||||||
Miscellaneous Commercial Services | 269,840 | 0.8 | |||||||||
Alternative Power Generation | 241,860 | 0.7 | |||||||||
Specialty Telecommunications | 241,281 | 0.7 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Oil & Gas Production | $ | 223,440 | 0.7 | % | |||||||
Telecommunications Equipment | 182,806 | 0.6 | |||||||||
Transportation | 180,613 | 0.5 | |||||||||
Building Products | 175,933 | 0.5 | |||||||||
Manufacturers | 170,713 | 0.5 | |||||||||
Environmental Services | 161,756 | 0.5 | |||||||||
Construction Materials | 110,161 | 0.3 | |||||||||
Water Utilities | 91,290 | 0.3 | |||||||||
Miscellaneous Manufacturing | 83,761 | 0.3 | |||||||||
Warehouse | 72,058 | 0.2 | |||||||||
Shipping | 67,063 | 0.2 | |||||||||
Investment Managers | 45,377 | 0.1 | |||||||||
Utilities | 40,482 | 0.1 | |||||||||
Railroads | 38,063 | 0.1 | |||||||||
Natural Gas - Pipelines | 37,257 | 0.1 | |||||||||
$ | 33,496,446 | ^ | 100.0 | % |
^ Does not include open forward foreign currency contracts with net unrealized depreciation of $58,775.
See Notes to Financial Statements
75
Dividend Growth
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.6%) | |||||||||||
Aerospace & Defense (4.0%) | |||||||||||
17,070 | Boeing Co. | $ | 725,475 | ||||||||
10,820 | L-3 Communications Holdings, Inc. | 750,692 | |||||||||
21,708 | Northrop Grumman Corp. | 991,621 | |||||||||
25,100 | Raytheon Co. | 1,115,193 | |||||||||
3,582,981 | |||||||||||
Agricultural Commodities/ Milling (2.1%) | |||||||||||
32,340 | Bunge Ltd. (Bermuda) | 1,948,485 | |||||||||
Apparel/Footwear (2.2%) | |||||||||||
21,320 | Nike, Inc. (Class B) | 1,103,950 | |||||||||
16,349 | V.F. Corp. | 904,917 | |||||||||
2,008,867 | |||||||||||
Apparel/Footwear Retail (1.7%) | |||||||||||
95,730 | Gap, Inc. (The) | 1,569,972 | |||||||||
Biotechnology (1.4%) | |||||||||||
23,250 | Amgen Inc. (a) | 1,230,855 | |||||||||
Chemicals: Agricultural (1.4%) | |||||||||||
17,213 | Monsanto Co. | 1,279,614 | |||||||||
Computer Processing Hardware (3.7%) | |||||||||||
12,320 | Apple Inc. (a) | 1,754,738 | |||||||||
40,860 | Hewlett-Packard Co. | 1,579,239 | |||||||||
3,333,977 | |||||||||||
Contract Drilling (2.1%) | |||||||||||
25,810 | Transcocean, Ltd. (Switzerland) (a) | 1,917,425 | |||||||||
Drugstore Chains (2.0%) | |||||||||||
57,373 | CVS/Caremark Corp. | 1,828,478 | |||||||||
Electric Utilities (4.1%) | |||||||||||
19,259 | Exelon Corp. | 986,253 | |||||||||
15,820 | FirstEnergy Corp. | 613,025 | |||||||||
64,020 | Public Service Enterprise Group Inc. | 2,088,973 | |||||||||
3,688,251 |
NUMBER OF SHARES | VALUE | ||||||||||
Engineering & Construction (3.0%) | |||||||||||
33,500 | Fluor Corp. | $ | 1,718,215 | ||||||||
23,030 | Jacobs Engineering Group, Inc. (a) | 969,333 | |||||||||
2,687,548 | |||||||||||
Financial Conglomerates (2.0%) | |||||||||||
52,160 | JPMorgan Chase & Co. | 1,779,178 | |||||||||
Hotels/Resorts/Cruiselines (1.0%) | |||||||||||
64,480 | Royal Caribbean Cruises Ltd. (Liberia) | 873,059 | |||||||||
Household/Personal Care (1.0%) | |||||||||||
18,072 | Procter & Gamble Co. (The) | 923,479 | |||||||||
Industrial Conglomerates (4.1%) | |||||||||||
161,289 | General Electric Co. | 1,890,307 | |||||||||
35,849 | United Technologies Corp. | 1,862,714 | |||||||||
3,753,021 | |||||||||||
Industrial Machinery (0.8%) | |||||||||||
16,730 | Eaton Corp. | 746,325 | |||||||||
Information Technology Services (3.2%) | |||||||||||
23,360 | Computer Sciences Corp. (a) | 1,034,848 | |||||||||
18,160 | International Business Machines Corp. | 1,896,267 | |||||||||
2,931,115 | |||||||||||
Integrated Oil (7.5%) | |||||||||||
13,300 | BP PLC (ADR) (United Kingdom) | 634,144 | |||||||||
26,230 | Chevron Corp. | 1,737,738 | |||||||||
21,150 | ConocoPhillips | 889,569 | |||||||||
32,311 | Exxon Mobil Corp. | 2,258,862 | |||||||||
43,370 | Marathon Oil Corp. | 1,306,738 | |||||||||
6,827,051 | |||||||||||
Internet Retail (1.4%) | |||||||||||
58,050 | GameStop Corp. (Class A) (a) | 1,277,681 | |||||||||
Internet Software/ Services (1.7%) | |||||||||||
3,694 | Google Inc. (Class A) (a) | 1,557,353 |
See Notes to Financial Statements
76
Dividend Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Investment Banks/ Brokers (1.6%) | |||||||||||
9,653 | Goldman Sachs Group, Inc. (The) | $ | 1,423,238 | ||||||||
Life/Health Insurance (2.6%) | |||||||||||
40,140 | Aflac, Inc. | 1,247,953 | |||||||||
36,832 | MetLife, Inc. | 1,105,328 | |||||||||
2,353,281 | |||||||||||
Major Banks (3.0%) | |||||||||||
155,060 | Bank of America Corp. | 2,046,792 | |||||||||
26,980 | Wells Fargo & Co. | 654,535 | |||||||||
2,701,327 | |||||||||||
Major Telecommunications (2.0%) | |||||||||||
72,336 | AT&T Inc. | 1,796,826 | |||||||||
Managed Health Care (3.6%) | |||||||||||
58,590 | UnitedHealth Group Inc. | 1,463,578 | |||||||||
36,150 | WellPoint Inc. (a) | 1,839,673 | |||||||||
3,303,251 | |||||||||||
Media Conglomerates (2.0%) | |||||||||||
77,320 | Disney (Walt) Co. (The) | 1,803,876 | |||||||||
Oil Refining/Marketing (1.7%) | |||||||||||
88,950 | Valero Energy Corp. | 1,502,366 | |||||||||
Oilfield Services/ Equipment (1.3%) | |||||||||||
56,460 | Halliburton Co. | 1,168,722 | |||||||||
Packaged Software (5.4%) | |||||||||||
128,523 | Microsoft Corp. | 3,054,992 | |||||||||
83,760 | Oracle Corp. | 1,794,139 | |||||||||
4,849,131 | |||||||||||
Pharmaceuticals: Generic Drugs (2.2%) | |||||||||||
60,600 | Watson Pharmaceuticals, Inc. (a) | 2,041,614 | |||||||||
Pharmaceuticals: Major (8.0%) | |||||||||||
7,689 | Johnson & Johnson | 436,735 | |||||||||
80,240 | Merck & Co., Inc. | 2,243,510 |
NUMBER OF SHARES | VALUE | ||||||||||
159,314 | Pfizer, Inc. | $ | 2,389,710 | ||||||||
47,859 | Wyeth | 2,172,320 | |||||||||
7,242,275 | |||||||||||
Property - Casualty Insurers (3.7%) | |||||||||||
20,860 | ACE Ltd. (Switzerland) | 922,638 | |||||||||
60,990 | Allstate Corp. (The) | 1,488,156 | |||||||||
23,730 | Travelers Companies, Inc. (The) | 973,879 | |||||||||
3,384,673 | |||||||||||
Pulp & Paper (1.1%) | |||||||||||
63,470 | International Paper Co. | 960,301 | |||||||||
Railroads (1.9%) | |||||||||||
49,140 | CSX Corp. | 1,701,718 | |||||||||
Restaurants (2.2%) | |||||||||||
35,210 | McDonald's Corp. | 2,024,223 | |||||||||
Specialty Telecommunications (0.0%) | |||||||||||
439 | FairPoint Communications, Inc. | 263 | |||||||||
Steel (1.2%) | |||||||||||
30,350 | United States Steel Corp. | 1,084,709 | |||||||||
Tobacco (4.4%) | |||||||||||
74,479 | Altria Group, Inc. | 1,220,711 | |||||||||
64,529 | Philip Morris International Inc. | 2,814,755 | |||||||||
4,035,466 | |||||||||||
Trucks/Construction/ Farm Machinery (1.3%) | |||||||||||
34,420 | Caterpillar Inc. | 1,137,237 | |||||||||
Total Common Stocks (Cost $108,315,791) | 90,259,212 |
See Notes to Financial Statements
77
Dividend Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (b) (0.4%) | |||||||||||
Investment Company | |||||||||||
330 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $330,050) | $ | 330,050 |
Total Investments (Cost $108,645,841) (c) | 100.0 | % | 90,589,262 | ||||||||
Other Assets in Excess of Liabilities | 0.0 | 1,546 | |||||||||
Net Assets | 100.0 | % | $ | 90,590,808 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) See Note 4 to the financial statements regarding investments in Morgan Stanley Liquidity Funds - Money Market Portfolio - Institutional Class.
(c) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $5,542,073 and the aggregate gross unrealized depreciation is $23,598,652, resulting in net unrealized depreciation of $18,056,579.
See Notes to Financial Statements
78
Dividend Growth
Summary of Investments n June 30, 2009 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Pharmaceuticals: Major | $ | 7,242,275 | 8.0 | % | |||||||
Integrated Oil | 6,827,051 | 7.5 | |||||||||
Packaged Software | 4,849,131 | 5.3 | |||||||||
Tobacco | 4,035,466 | 4.5 | |||||||||
Industrial Conglomerates | 3,753,021 | 4.1 | |||||||||
Electric Utilities | 3,688,251 | 4.1 | |||||||||
Aerospace & Defense | 3,582,981 | 4.0 | |||||||||
Property - Casualty Insurers | 3,384,673 | 3.7 | |||||||||
Computer Processing Hardware | 3,333,977 | 3.7 | |||||||||
Managed Health Care | 3,303,251 | 3.6 | |||||||||
Information Technology Services | 2,931,115 | 3.2 | |||||||||
Major Banks | 2,701,327 | 3.0 | |||||||||
Engineering & Construction | 2,687,548 | 3.0 | |||||||||
Life/Health Insurance | 2,353,281 | 2.6 | |||||||||
Pharmaceuticals: Generic Drugs | 2,041,614 | 2.2 | |||||||||
Restaurants | 2,024,223 | 2.2 | |||||||||
Apparel/Footwear | 2,008,867 | 2.2 | |||||||||
Agricultural Commodities/ Milling | 1,948,485 | 2.1 | |||||||||
Contract Drilling | 1,917,425 | 2.1 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Drugstore Chains | $ | 1,828,478 | 2.0 | % | |||||||
Media Conglomerates | 1,803,876 | 2.0 | |||||||||
Major Telecommunications | 1,796,826 | 2.0 | |||||||||
Financial Conglomerates | 1,779,178 | 2.0 | |||||||||
Railroads | 1,701,718 | 1.9 | |||||||||
Apparel/Footwear Retail | 1,569,972 | 1.7 | |||||||||
Internet Software/Services | 1,557,353 | 1.7 | |||||||||
Oil Refining/Marketing | 1,502,366 | 1.7 | |||||||||
Investment Banks/Brokers | 1,423,238 | 1.6 | |||||||||
Chemicals: Agricultural | 1,279,614 | 1.4 | |||||||||
Internet Retail | 1,277,681 | 1.4 | |||||||||
Biotechnology | 1,230,855 | 1.4 | |||||||||
Oilfield Services/ Equipment | 1,168,722 | 1.3 | |||||||||
Trucks/Construction/ Farm Machinery | 1,137,237 | 1.3 | |||||||||
Steel | 1,084,709 | 1.2 | |||||||||
Pulp & Paper | 960,301 | 1.1 | |||||||||
Household/Personal Care | 923,479 | 1.0 | |||||||||
Hotels/Resorts/Cruiselines | 873,059 | 1.0 | |||||||||
Industrial Machinery | 746,325 | 0.8 | |||||||||
Investment Company | 330,050 | 0.4 | |||||||||
Specialty Telecommunications | 263 | 0.0 | |||||||||
$ | 90,589,262 | 100.0 | % |
See Notes to Financial Statements
79
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.6%) | |||||||||||
Advertising/Marketing Services (0.4%) | |||||||||||
32,139 | Interpublic Group of Companies, Inc. (The) (a) | $ | 162,302 | ||||||||
4,982 | Omnicom Group, Inc. | 157,332 | |||||||||
319,634 | |||||||||||
Aerospace (0.2%) | |||||||||||
3,996 | ITT Corp. | 177,822 | |||||||||
Aerospace & Defense (1.9%) | |||||||||||
3,344 | Boeing Co. | 142,120 | |||||||||
7,062 | FLIR Systems, Inc. (a) | 159,319 | |||||||||
3,048 | General Dynamics Corp. | 168,829 | |||||||||
3,403 | Goodrich Corp. | 170,048 | |||||||||
2,496 | L-3 Communications Holdings, Inc. | 173,172 | |||||||||
1,961 | Lockheed Martin Corp. | 158,155 | |||||||||
3,799 | Northrop Grumman Corp. | 173,538 | |||||||||
2,226 | Precision Castparts Corp. | 162,565 | |||||||||
3,563 | Raytheon Co. | 158,304 | |||||||||
3,985 | Rockwell Collins, Inc. | 166,294 | |||||||||
1,632,344 | |||||||||||
Agricultural Commodities/ Milling (0.2%) | |||||||||||
6,561 | Archer-Daniels-Midland Co. | 175,638 | |||||||||
Air Freight/Couriers (0.9%) | |||||||||||
3,547 | C.H. Robinson Worldwide, Inc. | 184,976 | |||||||||
5,423 | Expeditors International of Washington, Inc. | 180,803 | |||||||||
3,478 | FedEx Corp. | 193,446 | |||||||||
3,718 | United Parcel Service, Inc. (Class B) | 185,863 | |||||||||
745,088 | |||||||||||
Airlines (0.2%) | |||||||||||
26,955 | Southwest Airlines Co. | 181,407 | |||||||||
Aluminum (0.2%) | |||||||||||
14,722 | Alcoa, Inc. | 152,078 |
NUMBER OF SHARES | VALUE | ||||||||||
Apparel/Footwear (0.8%) | |||||||||||
6,172 | Coach, Inc. (a) | $ | 165,903 | ||||||||
2,968 | Nike, Inc. (Class B) | 153,683 | |||||||||
3,098 | Polo Ralph Lauren Corp. | 165,867 | |||||||||
3,020 | V.F. Corp. | 167,157 | |||||||||
652,610 | |||||||||||
Apparel/Footwear Retail (1.0%) | |||||||||||
6,881 | Abercrombie & Fitch Co. (Class A) | 174,709 | |||||||||
10,686 | Gap, Inc. (The) | 175,250 | |||||||||
13,678 | Limited Brands, Inc. | 163,726 | |||||||||
8,430 | Nordstrom, Inc. | 167,673 | |||||||||
5,249 | TJX Companies, Inc. (The) | 165,134 | |||||||||
846,492 | |||||||||||
Auto Parts: O.E.M. (0.2%) | |||||||||||
7,862 | Johnson Controls, Inc. | 170,763 | |||||||||
Automotive Aftermarket (0.2%) | |||||||||||
14,635 | Goodyear Tire & Rubber Co. (The) (a) | 164,790 | |||||||||
Beverages: Alcoholic (0.6%) | |||||||||||
3,682 | Brown-Forman Corp. (Class B) | 158,252 | |||||||||
13,789 | Constellation Brands Inc. (Class A) (a) | 174,845 | |||||||||
3,856 | Molson Coors Brewing Co. (Class B) | 163,224 | |||||||||
496,321 | |||||||||||
Beverages: Non-Alcoholic (1.0%) | |||||||||||
3,666 | Coca-Cola Co. (The) | 175,931 | |||||||||
9,238 | Coca-Cola Enterprises Inc. | 153,813 | |||||||||
8,012 | Dr Pepper Snapple Group Inc. | 169,774 | |||||||||
5,359 | Pepsi Bottling Group, Inc. (The) | 181,349 | |||||||||
3,320 | PepsiCo, Inc. | 182,467 | |||||||||
863,334 | |||||||||||
Biotechnology (1.6%) | |||||||||||
3,419 | Amgen Inc. (a) | 181,002 | |||||||||
3,459 | Biogen Idec Inc. (a) | 156,174 | |||||||||
3,449 | Celgene Corp. (a) | 165,000 | |||||||||
3,016 | Cephalon, Inc. (a) | 170,856 |
See Notes to Financial Statements
80
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
2,943 | Genzyme Corp. (a) | $ | 163,837 | ||||||||
3,444 | Gilead Sciences, Inc. (a) | 161,317 | |||||||||
4,115 | Life Technologies Corp | 171,678 | |||||||||
2,621 | Millipore Corp. (a) | 184,020 | |||||||||
1,353,884 | |||||||||||
Building Products (0.2%) | |||||||||||
19,270 | Masco Corp. | 184,607 | |||||||||
Cable/Satellite TV (0.8%) | |||||||||||
12,904 | Comcast Corp. (Class A) | 186,979 | |||||||||
7,558 | DIRECTV Group, Inc. (The) (a) | 186,758 | |||||||||
6,004 | Scripps Networks Interactive (Class A) | 167,092 | |||||||||
5,460 | Time Warner Cable | 172,918 | |||||||||
713,747 | |||||||||||
Casino/Gaming (0.4%) | |||||||||||
11,008 | International Game Technology | 175,027 | |||||||||
4,378 | Wynn Resorts, Ltd. (a) | 154,543 | |||||||||
329,570 | |||||||||||
Chemicals: Agricultural (0.4%) | |||||||||||
2,059 | CF Industries Holdings, Inc. | 152,654 | |||||||||
2,005 | Monsanto Co. | 149,052 | |||||||||
301,706 | |||||||||||
Chemicals: Major Diversified (0.8%) | |||||||||||
10,974 | Dow Chemical Co. (The) | 177,120 | |||||||||
7,168 | Du Pont (E.I.) de Nemours & Co. | 183,644 | |||||||||
4,225 | Eastman Chemical Co. | 160,128 | |||||||||
5,512 | International Flavors & Fragrances, Inc. | 180,353 | |||||||||
701,245 | |||||||||||
Chemicals: Specialty (0.6%) | |||||||||||
2,521 | Air Products & Chemicals, Inc. | 162,831 | |||||||||
2,481 | Praxair, Inc. | 176,325 | |||||||||
3,756 | Sigma-Aldrich Corp. | 186,147 | |||||||||
525,303 |
NUMBER OF SHARES | VALUE | ||||||||||
Coal (0.6%) | |||||||||||
4,455 | CONSOL Energy, Inc. | $ | 151,292 | ||||||||
8,159 | Massey Energy Co. | 159,427 | |||||||||
5,701 | Peabody Energy Corp. | 171,942 | |||||||||
482,661 | |||||||||||
Commercial Printing/Forms (0.2%) | |||||||||||
14,127 | Donnelley (R.R.) & Sons Co. | 164,156 | |||||||||
Computer Communications (0.6%) | |||||||||||
9,460 | Cisco Systems, Inc. (a) | 176,334 | |||||||||
7,984 | Juniper Networks, Inc. (a) | 188,422 | |||||||||
12,582 | QLogic Corp. (a) | 159,540 | |||||||||
524,296 | |||||||||||
Computer Peripherals (0.6%) | |||||||||||
12,361 | EMC Corp. (a) | 161,929 | |||||||||
10,618 | Lexmark International, Inc. (Class A) (a) | 168,295 | |||||||||
8,324 | NetApp, Inc. | 164,149 | |||||||||
6,322 | Western Digital | 167,533 | |||||||||
5,600 | Seagate Technology Inc. (Escrow) (d)(a) | 0 | |||||||||
661,906 | |||||||||||
Computer Processing Hardware (0.8%) | |||||||||||
1,221 | Apple Inc. (a) | 173,907 | |||||||||
13,468 | Dell Inc. (a) | 184,916 | |||||||||
4,366 | Hewlett-Packard Co. | 168,746 | |||||||||
19,518 | Sun Microsytems (a) | 179,956 | |||||||||
707,525 | |||||||||||
Construction Materials (0.2%) | |||||||||||
3,716 | Vulcan Materials Co. | 160,160 | |||||||||
Containers/Packaging (1.0%) | |||||||||||
4,270 | Ball Corp. | 192,833 | |||||||||
6,713 | Bemis Company, Inc. | 169,168 | |||||||||
6,366 | Owens-Illinois, Inc. (a) | 178,312 | |||||||||
7,939 | Pactiv Corp. (a) | 172,276 | |||||||||
9,073 | Sealed Air Corp. | 167,397 | |||||||||
879,986 |
See Notes to Financial Statements
81
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Contract Drilling (0.8%) | |||||||||||
1,933 | Diamond Offshore Drilling, Inc. | $ | 160,536 | ||||||||
4,536 | ENSCO International Inc. | 158,170 | |||||||||
10,198 | Nabors Industries, Ltd. (Bermuda) (a) | 158,885 | |||||||||
8,804 | Rowan Companies, Inc. | 170,093 | |||||||||
647,684 | |||||||||||
Data Processing Services (1.6%) | |||||||||||
3,639 | Affiliated Computer Services, Inc. (Class A) (a) | 161,644 | |||||||||
5,016 | Automatic Data Processing, Inc. | 177,767 | |||||||||
20,201 | Convergys Corp. (a) | 187,465 | |||||||||
9,057 | Fidelity National Information Services, Inc. | 180,778 | |||||||||
3,909 | Fiserv, Inc. (a) | 178,641 | |||||||||
6,034 | Paychex, Inc. | 152,057 | |||||||||
13,457 | Total System Services, Inc. | 180,189 | |||||||||
11,090 | Western Union Co. | 181,876 | |||||||||
1,400,417 | |||||||||||
Department Stores (0.6%) | |||||||||||
3,702 | Kohl's Corp. (a) | 158,261 | |||||||||
14,218 | MACY'S Inc. | 167,204 | |||||||||
6,088 | Penney (J.C.) Co., Inc. | 174,786 | |||||||||
500,251 | |||||||||||
Discount Stores (1.2%) | |||||||||||
8,843 | Big Lots, Inc. (a) | 185,968 | |||||||||
3,881 | Costco Wholesale Corp. | 177,362 | |||||||||
5,580 | Family Dollar Stores, Inc. | 157,914 | |||||||||
2,724 | Sears Holdings Corp. (a) | 181,200 | |||||||||
4,373 | Target Corp. | 172,602 | |||||||||
3,715 | Wal-Mart Stores, Inc. | 179,955 | |||||||||
1,055,001 | |||||||||||
Drugstore Chains (0.4%) | |||||||||||
5,213 | CVS/Caremark Corp. | 166,138 | |||||||||
5,649 | Walgreen Co. | 166,081 | |||||||||
332,219 |
NUMBER OF SHARES | VALUE | ||||||||||
Electric Utilities (5.9%) | |||||||||||
16,610 | AES Corp. (The) (a) | $ | 192,842 | ||||||||
6,103 | Allegheny Energy, Inc. (a) | 156,542 | |||||||||
7,436 | Ameren Corp. | 185,082 | |||||||||
6,308 | American Electric Power Co., Inc. | 182,238 | |||||||||
15,064 | CenterPoint Energy, Inc. | 166,909 | |||||||||
14,853 | CMS Energy Corp. | 179,424 | |||||||||
4,865 | Consolidated Edison, Inc. | 182,048 | |||||||||
6,638 | Constellation Energy Group | 176,438 | |||||||||
4,949 | Dominion Resources, Inc. | 165,396 | |||||||||
5,718 | DTE Energy Co. | 182,976 | |||||||||
12,420 | Duke Energy Corp. | 181,208 | |||||||||
5,116 | Edison International | 160,949 | |||||||||
2,328 | Entergy Corp. | 180,467 | |||||||||
3,242 | Exelon Corp. | 166,023 | |||||||||
4,639 | FirstEnergy Corp. | 179,761 | |||||||||
2,838 | FPL Group, Inc. | 161,369 | |||||||||
6,221 | Integrys Energy Group, Inc. | 186,568 | |||||||||
8,146 | Northeast Utilities | 181,737 | |||||||||
12,258 | Pepco Holdings, Inc. | 164,748 | |||||||||
4,746 | PG&E Corp. | 182,436 | |||||||||
5,576 | Pinnacle West Capital Corp. | 168,116 | |||||||||
5,425 | PPL Corp. | 178,808 | |||||||||
4,846 | Progress Energy, Inc. | 183,324 | |||||||||
5,603 | Public Service Enterprise Group Inc. | 182,826 | |||||||||
5,172 | SCANA Corp. | 167,935 | |||||||||
5,290 | Southern Co. (The) | 164,836 | |||||||||
13,540 | TECO Energy, Inc. | 161,532 | |||||||||
4,025 | Wisconsin Energy Corp. | 163,858 | |||||||||
8,941 | Xcel Energy, Inc. | 164,604 | |||||||||
5,051,000 | |||||||||||
Electrical Products (0.6%) | |||||||||||
5,520 | Cooper Industries Ltd. (Class A) (Bermuda) | 171,396 | |||||||||
5,463 | Emerson Electric Co. | 177,001 | |||||||||
11,444 | Molex Inc. | 177,954 | |||||||||
526,351 |
See Notes to Financial Statements
82
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electronic Components (1.0%) | |||||||||||
5,655 | Amphenol Corporation (Class A) | $ | 178,924 | ||||||||
11,698 | Corning Inc. | 187,870 | |||||||||
23,641 | Jabil Circuit, Inc. | 175,416 | |||||||||
8,802 | MEMC Electronic Materials, Inc. (a) | 156,764 | |||||||||
12,302 | SanDisk Corp. (a) | 180,716 | |||||||||
879,690 | |||||||||||
Electronic Equipment/ Instruments (0.6%) | |||||||||||
8,579 | Agilent Technologies, Inc. (a) | 174,239 | |||||||||
30,754 | JDS Uniphase Corp. (a) | 175,913 | |||||||||
26,556 | Xerox Corp. (a) | 172,083 | |||||||||
522,235 | |||||||||||
Electronic Production Equipment (0.8%) | |||||||||||
14,748 | Applied Materials, Inc. | 161,786 | |||||||||
6,524 | KLA-Tencor Corp. | 164,731 | |||||||||
10,762 | Novellus Systems, Inc. (a) | 179,725 | |||||||||
24,537 | Teradyne, Inc. (a) | 168,324 | |||||||||
674,566 | |||||||||||
Electronics/Appliance Stores (0.4%) | |||||||||||
5,206 | Best Buy Co., Inc. | 174,349 | |||||||||
12,859 | RadioShack Corp. | 179,512 | |||||||||
353,861 | |||||||||||
Electronics/Appliances (0.6%) | |||||||||||
56,820 | Eastman Kodak Co. | 168,187 | |||||||||
8,845 | Harman International Industries, Inc. | 166,286 | |||||||||
3,736 | Whirlpool Corp. | 159,004 | |||||||||
493,477 | |||||||||||
Engineering & Construction (0.4%) | |||||||||||
3,222 | Fluor Corp. | 165,256 | |||||||||
7,531 | Quantra Services, Inc. (a) | 174,192 | |||||||||
3,831 | Jacobs Engineering Group, Inc. (a) | 161,247 | |||||||||
500,695 |
NUMBER OF SHARES | VALUE | ||||||||||
Environmental Services (0.4%) | |||||||||||
7,380 | Republic Services, Inc. | $ | 180,146 | ||||||||
6,342 | Waste Management, Inc. | 178,591 | |||||||||
358,737 | |||||||||||
Finance/Rental/Leasing (1.2%) | |||||||||||
7,253 | Capital One Financial Corp. | 158,696 | |||||||||
62,524 | CIT Group, Inc. | 134,427 | |||||||||
17,376 | Discover Financial Services | 178,452 | |||||||||
1,003 | Mastercard Inc. Class A (a) | 167,812 | |||||||||
5,519 | Ryder System, Inc. | 154,090 | |||||||||
18,508 | SLM Corp. | 190,077 | |||||||||
983,554 | |||||||||||
Financial Conglomerates (1.2%) | |||||||||||
7,264 | American Express Co. | 168,815 | |||||||||
51,084 | Citigroup, Inc. (Note 4) | 151,719 | |||||||||
4,627 | JPMorgan Chase & Co. | 157,827 | |||||||||
8,136 | Leucadia National Corp. (a) | 171,588 | |||||||||
9,421 | Principal Financial Group, Inc. | 177,492 | |||||||||
4,238 | Prudential Financial, Inc. | 157,738 | |||||||||
985,179 | |||||||||||
Financial Publishing/ Services (0.8%) | |||||||||||
2,234 | Dun & Bradstreet Corp. (a) | 181,423 | |||||||||
6,855 | Equifax, Inc. | 178,916 | |||||||||
5,455 | McGraw-Hill Companies, Inc. (The) | 164,250 | |||||||||
6,219 | Moody's Corp. | 163,871 | |||||||||
688,460 | |||||||||||
Food Distributors (0.2%) | |||||||||||
6,838 | SYSCO Corp. | 153,718 | |||||||||
Food Retail (0.7%) | |||||||||||
7,546 | Kroger Co. (The) | 166,389 | |||||||||
7,737 | Safeway Inc. | 157,603 | |||||||||
11,256 | SUPERVALU, Inc. | 145,765 | |||||||||
8,887 | Whole Foods Market, Inc. | 168,675 | |||||||||
638,432 |
See Notes to Financial Statements
83
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Food: Major Diversified (1.5%) | |||||||||||
6,264 | Campbell Soup Co. | $ | 184,287 | ||||||||
8,632 | ConAgra Foods Inc. | 164,526 | |||||||||
3,270 | General Mills, Inc. | 183,185 | |||||||||
4,420 | Heinz (H.J.) Co. | 157,794 | |||||||||
3,969 | Kellogg Co. | 184,836 | |||||||||
7,043 | Kraft Foods Inc. (Class A) | 178,470 | |||||||||
19,755 | Sara Lee Corp. | 192,809 | |||||||||
1,245,907 | |||||||||||
Food: Meat/Fish/Dairy (0.6%) | |||||||||||
8,711 | Dean Foods Co. | 167,164 | |||||||||
5,190 | Hormel Foods Corp. | 179,263 | |||||||||
13,971 | Tyson Foods, Inc. (Class A) | 176,174 | |||||||||
522,601 | |||||||||||
Food: Specialty/Candy (0.6%) | |||||||||||
4,657 | Hershey Foods Co. (The) | 167,652 | |||||||||
5,029 | McCormick & Co., Inc. (Non-Voting) | 163,593 | |||||||||
3,732 | Smucker (J.M.) Co. | 181,599 | |||||||||
512,844 | |||||||||||
Forest Products (0.2%) | |||||||||||
5,605 | Weyerhaeuser Co. | 170,560 | |||||||||
Gas Distributors (1.4%) | |||||||||||
77,097 | Dynegy, Inc. (Class A) (a) | 175,010 | |||||||||
4,929 | EQT Corp. | 172,071 | |||||||||
4,654 | Nicor Inc. | 161,121 | |||||||||
14,242 | NiSource, Inc. | 166,062 | |||||||||
4,883 | Questar Corp. | 151,666 | |||||||||
3,664 | Sempra Energy | 181,844 | |||||||||
9,814 | Spectra Energy Corp. | 166,053 | |||||||||
1,173,827 | |||||||||||
Home Building (1.0%) | |||||||||||
19,187 | Centex Corp. | 162,322 | |||||||||
19,061 | D.R. Horton, Inc. | 178,411 | |||||||||
12,075 | KB Home | 165,186 | |||||||||
22,976 | Lennar Corp. (Class A) | 222,637 | |||||||||
18,444 | Pulte Homes, Inc. | 162,861 | |||||||||
891,417 |
NUMBER OF SHARES | VALUE | ||||||||||
Home Furnishings (0.4%) | |||||||||||
10,949 | Leggett & Platt, Inc. | $ | 166,753 | ||||||||
16,759 | Newell Rubbermaid, Inc. | 174,461 | |||||||||
341,214 | |||||||||||
Home Improvement Chains (0.8%) | |||||||||||
5,374 | Fastenal Co. | 178,256 | |||||||||
7,609 | Home Depot, Inc. (The) | 179,801 | |||||||||
9,530 | Lowe's Companies, Inc. | 184,977 | |||||||||
3,022 | Sherwin-Williams Co. | 162,433 | |||||||||
705,467 | |||||||||||
Hospital/Nursing Management (0.2%) | |||||||||||
58,252 | Tenet Healthcare Corp. (a) | 164,271 | |||||||||
Hotels/Resorts/Cruiselines (0.8%) | |||||||||||
6,441 | Carnival Corp. (Panama) (Units) (c) | 165,985 | |||||||||
7,339 | Marriott International, Inc. (Class A) | 161,971 | |||||||||
7,150 | Starwood Hotels & Resorts Worldwide, Inc. | 158,730 | |||||||||
13,166 | Wyndham Worldwide Corp. (a) | 159,572 | |||||||||
646,258 | |||||||||||
Household/Personal Care (1.2%) | |||||||||||
6,258 | Avon Products, Inc. | 161,331 | |||||||||
2,888 | Clorox Co. (The) | 161,237 | |||||||||
2,357 | Colgate-Palmolive Co. | 166,734 | |||||||||
5,151 | Estee Lauder Companies, Inc. (The) (Class A) | 168,283 | |||||||||
3,532 | Kimberly-Clark Corp. | 185,183 | |||||||||
3,534 | Procter & Gamble Co. (The) | 180,587 | |||||||||
1,023,355 | |||||||||||
Industrial Conglomerates (1.4%) | |||||||||||
2,742 | 3M Co. | 164,794 | |||||||||
2,924 | Danaher Corp. | 180,528 | |||||||||
13,684 | General Electric Co. (b) | 160,376 | |||||||||
5,082 | Honeywell International, Inc. | 159,575 | |||||||||
18,664 | Textron, Inc. | 180,294 | |||||||||
3,124 | United Technologies Corp. | 162,323 | |||||||||
1,007,890 |
See Notes to Financial Statements
84
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Industrial Machinery (1.0%) | |||||||||||
3,743 | Eaton Corp. | $ | 166,975 | ||||||||
2,328 | Flowserve Corp. (a) | 162,518 | |||||||||
4,667 | Illinois Tool Works Inc. | 174,266 | |||||||||
3,811 | Parker Hannifin Corp. | 163,721 | |||||||||
5,617 | Rockwell Automation, Inc. | 180,418 | |||||||||
847,898 | |||||||||||
Industrial Specialties (0.4%) | |||||||||||
4,310 | Ecolab Inc. | 168,047 | |||||||||
3,759 | PPG Industries, Inc. | 165,020 | |||||||||
333,067 | |||||||||||
Information Technology Services (1.0%) | |||||||||||
5,520 | Citrix Systems, Inc. (a) | 176,033 | |||||||||
6,961 | Cognizant Technology Solutions Corp. (Class A) (a) | 185,859 | |||||||||
4,078 | Computer Sciences Corp. (a) | 180,655 | |||||||||
1,529 | International Business Machines Corp. | 159,658 | |||||||||
7,038 | Teradata Corp | 164,900 | |||||||||
867,105 | |||||||||||
Insurance Brokers/ Services (0.4%) | |||||||||||
4,756 | AON Corp. | 180,110 | |||||||||
7,830 | Marsh & McLennan Companies, Inc. | 157,618 | |||||||||
337,728 | |||||||||||
Integrated Oil (1.2%) | |||||||||||
2,629 | Chevron Corp. | 174,171 | |||||||||
3,768 | ConocoPhillips | 158,482 | |||||||||
2,279 | Exxon Mobil Corp. | 159,325 | |||||||||
3,043 | Hess Corp. | 163,561 | |||||||||
5,637 | Marathon Oil Corp. | 169,843 | |||||||||
3,257 | Murphy Oil Corp. | 176,920 | |||||||||
1,002,302 | |||||||||||
Internet Retail (0.4%) | |||||||||||
2,157 | Amazon.com, Inc. (a) | 180,455 | |||||||||
7,798 | Gamestop Corp (Class A) (a) | 171,634 | |||||||||
352,089 |
NUMBER OF SHARES | VALUE | ||||||||||
Internet Software/Services (0.8%) | |||||||||||
8,722 | Akamai Technologies, Inc. (a) | $ | 167,288 | ||||||||
421 | Google Inc. (Class A) (a) | 177,489 | |||||||||
8,706 | VeriSign, Inc. (a) | 160,887 | |||||||||
11,328 | Yahoo! Inc. (a) | 177,396 | |||||||||
683,060 | |||||||||||
Investment Banks/Brokers (1.8%) | |||||||||||
6,821 | Ameriprise Financial, Inc. | 165,546 | |||||||||
495 | CME Group Inc. | 153,999 | |||||||||
140,933 | E*TRADE Group, Inc. (a) | 180,394 | |||||||||
1,251 | Goldman Sachs Group, Inc. (The) | 184,447 | |||||||||
1,553 | intercontinental Exchange, Inc. | 177,415 | |||||||||
5,729 | Morgan Stanley (Note 4) | 163,334 | |||||||||
7,649 | Nasdaq Stock Market Inc. (a) | 163,000 | |||||||||
6,318 | NYSE Euronext | 172,166 | |||||||||
9,988 | Schwab (Charles) Corp. (The) | 175,190 | |||||||||
1,535,491 | |||||||||||
Investment Managers (1.4%) | |||||||||||
7,314 | Federated Investors, Inc. (Class B) | 176,194 | |||||||||
2,440 | Franklin Resources, Inc. | 175,704 | |||||||||
10,175 | INVESCO LTD | 181,319 | |||||||||
13,853 | Janus Capital Group, Inc. | 157,924 | |||||||||
6,756 | Legg Mason, Inc. | 164,711 | |||||||||
4,234 | Price (T.) Rowe Group, Inc. | 176,431 | |||||||||
3,732 | �� | State Street Corp. | 176,150 | ||||||||
1,208,433 | |||||||||||
Life/Health Insurance (1.2%) | |||||||||||
5,756 | AFLAC, Inc. | 178,954 | |||||||||
23,815 | Genworth Financial Inc. (Class A) | 166,467 | |||||||||
9,605 | Lincoln National Corp. | 165,302 | |||||||||
5,191 | MetLife, Inc. | 155,782 | |||||||||
4,387 | Torchmark Corp. | 162,494 | |||||||||
11,095 | UnumProvident Corp. | 175,967 | |||||||||
1,004,966 |
See Notes to Financial Statements
85
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Major Banks (2.1%) | |||||||||||
12,250 | Bank of America Corp. | $ | 161,700 | ||||||||
6,046 | Bank of New York Mellon Corp. | 177,208 | |||||||||
7,377 | BB&T Corp. | 162,146 | |||||||||
7,708 | Comerica, Inc. | 163,024 | |||||||||
39,424 | Huntington Bancshares, Inc. | 164,792 | |||||||||
29,486 | KeyCorp | 154,507 | |||||||||
4,031 | PNC Financial Services Group | 156,443 | |||||||||
39,210 | Regions Financial Corp. | 158,408 | |||||||||
11,001 | SunTrust Banks, Inc. | 180,966 | |||||||||
9,445 | U.S. Bancorp | 169,254 | |||||||||
7,400 | Wells Fargo & Co. | 179,524 | |||||||||
1,827,972 | |||||||||||
Major Telecommunications (0.8%) | |||||||||||
6,736 | AT&T Inc. | 167,322 | |||||||||
36,086 | Sprint Nextel Corp. | 173,574 | |||||||||
6,034 | Verizon Communications, Inc. | 185,425 | |||||||||
526,321 | |||||||||||
Managed Health Care (1.2%) | |||||||||||
6,254 | Aetna, Inc. | 156,663 | |||||||||
6,416 | CIGNA Corp. | 154,561 | |||||||||
9,526 | Coventry Health Care, Inc. (a) | 178,231 | |||||||||
5,267 | Humana, Inc. (a) | 169,913 | |||||||||
6,368 | UnitedHealth Group Inc. | 159,073 | |||||||||
3,555 | WellPoint Inc. (a) | 180,914 | |||||||||
999,355 | |||||||||||
Media Conglomerates (0.9%) | |||||||||||
22,063 | CBS Corp. (Class B) | 152,676 | |||||||||
7,191 | Disney (Walt) Co. (The) | 167,766 | |||||||||
16,975 | News Corp. (Class A) | 154,642 | |||||||||
6,439 | Time Warner, Inc. | 162,198 | |||||||||
6,954 | Viacom Inc. (Class B) (a) | 157,856 | |||||||||
795,138 | |||||||||||
Medical Distributors (0.8%) | |||||||||||
8,806 | AmerisourceBergen Corp. | 156,218 | |||||||||
5,113 | Cardinal Health, Inc. | 156,202 |
NUMBER OF SHARES | VALUE | ||||||||||
4,012 | McKesson Corp. | $ | 176,528 | ||||||||
7,808 | Patterson Companies, Inc. (a) | 169,434 | |||||||||
658,382 | |||||||||||
Medical Specialties (3.2%) | |||||||||||
2,407 | Bard (C.R.), Inc. | 179,201 | |||||||||
3,482 | Baxter International, Inc. | 184,407 | |||||||||
2,341 | Becton, Dickinson & Co. | 166,937 | |||||||||
17,190 | Boston Scientific Corp. (a) | 174,307 | |||||||||
5,960 | DENTSPLY International, Inc. | 181,899 | |||||||||
4,434 | Hospira, Inc. (a) | 170,798 | |||||||||
1,005 | Intuitive Surgical, Inc. (a) | 164,478 | |||||||||
4,839 | Medtronic, Inc. | 168,833 | |||||||||
6,353 | Pall Corp. | 168,736 | |||||||||
9,002 | PerkinElmer, Inc. | 156,635 | |||||||||
4,472 | St. Jude Medical, Inc. (a) | 183,799 | |||||||||
3,992 | Stryker Corp. | 158,642 | |||||||||
4,326 | Thermo Fisher Scientific, Inc. (a) | 176,371 | |||||||||
4,505 | Varian Medical Systems, Inc. (a) | 158,306 | |||||||||
3,301 | Waters Corp. (a) | 169,902 | |||||||||
3,918 | Zimmer Holdings, Inc. (a) | 166,907 | |||||||||
2,730,158 | |||||||||||
Medical/Nursing Services (0.2%) | |||||||||||
3,718 | DaVita, Inc. (a) | 183,892 | |||||||||
Miscellaneous Commercial Services (0.4%) | |||||||||||
7,226 | Cintas Corp. | 165,042 | |||||||||
5,949 | Iron Mountain Inc. (a) | 171,034 | |||||||||
336,076 | |||||||||||
Miscellaneous Manufacturing (0.2%) | |||||||||||
5,005 | Dover Corp. | 165,615 | |||||||||
Motor Vehicles (0.4%) | |||||||||||
31,292 | Ford Motor Co. (a) | 189,942 | |||||||||
10,189 | Harley-Davidson, Inc. | 165,164 | |||||||||
355,106 |
See Notes to Financial Statements
86
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Multi-Line Insurance (0.3%) | |||||||||||
108,775 | American International Group, Inc. | $ | 126,179 | ||||||||
13,113 | Hartford Financial Services Group, Inc. (The) (Note 4) | 155,651 | |||||||||
281,830 | |||||||||||
Office Equipment/ Supplies (0.4%) | |||||||||||
6,242 | Avery Dennison Corp. | 160,295 | |||||||||
8,450 | Pitney Bowes, Inc. | 185,309 | |||||||||
345,604 | |||||||||||
Oil & Gas Pipelines (0.4%) | |||||||||||
18,904 | El Paso Corp. | 174,484 | |||||||||
11,205 | Williams Companies, Inc. (The) | 174,910 | |||||||||
349,394 | |||||||||||
Oil & Gas Production (2.5%) | |||||||||||
3,930 | Anadarko Petroleum Corp. | 178,383 | |||||||||
2,149 | Apache Corp. | 155,050 | |||||||||
5,624 | Cabot Oil & Gas Corp. | 172,319 | |||||||||
7,774 | Chesapeake Energy Corp. | 154,158 | |||||||||
10,971 | Denbury Resources Inc. (a) | 161,603 | |||||||||
2,906 | Devon Energy Corp. | 158,377 | |||||||||
2,559 | EOG Resources, Inc. | 173,807 | |||||||||
2,975 | Noble Energy, Inc. | 175,436 | |||||||||
2,509 | Occidental Petroleum Corp. | 165,117 | |||||||||
6,239 | Pioneer Natural Resources Co. (a) | 159,095 | |||||||||
3,638 | Range Resources Corp. | 150,650 | |||||||||
4,125 | Southwestern Energy Co. (a) | 160,256 | |||||||||
4,526 | XTO Energy Inc. | 172,622 | |||||||||
2,136,873 | |||||||||||
Oil Refining/Marketing (0.6%) | |||||||||||
7,317 | Sunoco, Inc. | 169,754 | |||||||||
11,550 | Tesoro Corp. | 147,032 | |||||||||
10,412 | Valero Energy Corp. | 175,859 | |||||||||
492,645 |
NUMBER OF SHARES | VALUE | ||||||||||
Oilfield Services/ Equipment (1.6%) | |||||||||||
4,748 | Baker Hughes Inc. | $ | 173,017 | ||||||||
12,392 | BJ Services Co. | 168,903 | |||||||||
6,351 | Cameron International Corp. (a) | 179,733 | |||||||||
4,316 | FMC Technologies, Inc. (a) | 162,195 | |||||||||
7,553 | Halliburton Co. | 156,347 | |||||||||
4,717 | National-Oilwell Varco, Inc. (a) | 154,057 | |||||||||
3,015 | Schlumberger Ltd. (Netherlands Antilles) | 163,142 | |||||||||
6,751 | Smith International, Inc. | 173,838 | |||||||||
1,331,232 | |||||||||||
Other Consumer Services (1.0%) | |||||||||||
2,704 | Apollo Group, Inc. (Class A) (a) | 192,308 | |||||||||
11,637 | Block (H&R), Inc. | 200,506 | |||||||||
3,602 | DeVry, Inc. (a) | 180,244 | |||||||||
9,372 | eBay Inc. (a) | 160,542 | |||||||||
9,774 | Expedia, Inc. (a) | 147,685 | |||||||||
881,285 | |||||||||||
Other Consumer Specialties (0.2%) | |||||||||||
4,641 | Fortune Brands, Inc. | 161,228 | |||||||||
Other Metals/Minerals (0.2%) | |||||||||||
18,080 | Titanium Metals Corp. | 166,155 | |||||||||
Packaged Software (2.4%) | |||||||||||
6,117 | Adobe Systems, Inc. (a) | 173,111 | |||||||||
8,714 | Autodesk, Inc. (a) | 165,392 | |||||||||
5,141 | BMC Software, Inc. (a) | 173,714 | |||||||||
9,404 | CA Inc. | 163,912 | |||||||||
23,224 | Compuware Corp. (a) | 159,317 | |||||||||
6,371 | Intuit Inc. (a) | 179,407 | |||||||||
4,403 | McAfee Inc. (a) | 185,763 | |||||||||
6,728 | Microsoft Corp. (b) | 159,925 | |||||||||
34,750 | Novell, Inc. (a) | 157,418 | |||||||||
8,663 | Oracle Corp. (a) | 185,561 | |||||||||
4,484 | Salesforce.com Inc. (a) | 171,154 | |||||||||
11,271 | Symantec Corp. (a) | 175,377 | |||||||||
2,050,051 |
See Notes to Financial Statements
87
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Personnel Services (0.4%) | |||||||||||
14,612 | Monster Worldwide Inc. (a) | $ | 172,568 | ||||||||
7,738 | Robert Half International, Inc. | 182,772 | |||||||||
355,340 | |||||||||||
Pharmaceuticals: Generic Drugs (0.4%) | |||||||||||
12,399 | Mylan Laboratories, Inc. | 161,807 | |||||||||
5,124 | Watson Pharmaceuticals, Inc. (a) | 172,628 | |||||||||
334,435 | |||||||||||
Pharmaceuticals: Major (1.7%) | |||||||||||
3,403 | Abbott Laboratories | 160,077 | |||||||||
8,697 | Bristol-Myers Squibb Co. | 176,636 | |||||||||
3,191 | Johnson & Johnson | 181,249 | |||||||||
5,309 | Lilly (Eli) & Co. | 183,904 | |||||||||
6,250 | Merck & Co., Inc. | 174,750 | |||||||||
11,932 | Pfizer, Inc. | 178,980 | |||||||||
7,520 | Schering-Plough Corp. | 188,902 | |||||||||
3,981 | Wyeth | 180,698 | |||||||||
1,425,196 | |||||||||||
Pharmaceuticals: Other (0.6%) | |||||||||||
3,484 | Allergan, Inc. | 165,769 | |||||||||
7,329 | Forest Laboratories, Inc. (a) | 184,031 | |||||||||
18,209 | King Pharmaceuticals, Inc. (a) | 175,353 | |||||||||
525,153 | |||||||||||
Precious Metals (0.4%) | |||||||||||
3,190 | Freeport-McMoRan Copper & Gold, Inc. | 159,851 | |||||||||
4,273 | Newmont Mining Corp. | 174,638 | |||||||||
334,489 | |||||||||||
Property - Casualty Insurers (1.4%) | |||||||||||
6,827 | Allstate Corp. (The) | 166,579 | |||||||||
4,030 | Chubb Corp. (The) | 160,716 | |||||||||
7,884 | Cincinnati Financial Corp. | 176,207 | |||||||||
6,525 | Loews Corp. | 178,785 | |||||||||
11,798 | Progressive Corp. (The) | 178,268 |
NUMBER OF SHARES | VALUE | ||||||||||
3,848 | St. Paul Travelers Companies, Inc. (The) | $ | 157,922 | ||||||||
15,939 | XL Capital Ltd. (Class A) (Cayman Islands) | 182,661 | |||||||||
1,201,138 | |||||||||||
Publishing: Books/ Magazines (0.2%) | |||||||||||
6,111 | Meredith Corp. | 156,136 | |||||||||
Publishing: Newspapers (0.6%) | |||||||||||
45,109 | Gannett Co., Inc. | 161,039 | |||||||||
27,873 | New York Times Co. (The) (Class A) | 153,580 | |||||||||
473 | Washington Post Co. (The) (Class B) | 166,581 | |||||||||
481,200 | |||||||||||
Pulp & Paper (0.4%) | |||||||||||
13,018 | International Paper Co. | 196,962 | |||||||||
10,401 | MeadWestvaco Corp. | 170,680 | |||||||||
367,642 | |||||||||||
Railroads (0.8%) | |||||||||||
2,286 | Burlington Northern Santa Fe Corp. | 168,112 | |||||||||
4,686 | CSX Corp. | 162,276 | |||||||||
4,178 | Norfolk Southern Corp. | 157,385 | |||||||||
3,292 | Union Pacific Corp. | 171,382 | |||||||||
659,155 | |||||||||||
Real Estate Development (0.2%) | |||||||||||
18,722 | CB Richard Ellis Group, Inc. (Class A) (a) | 175,238 | |||||||||
Real Estate Investment Trusts (2.8%) | |||||||||||
19,691 | Apartment Investment & Management Co. (Class A) | 174,265 | |||||||||
3,098 | AvalonBay Communities, Inc. | 173,302 | |||||||||
3,559 | Boston Properties, Inc. | 169,764 | |||||||||
7,447 | Equity Residential | 165,547 | |||||||||
8,056 | HCP INC | 170,707 | |||||||||
4,724 | Health Care REIT, Inc. | 161,088 |
See Notes to Financial Statements
88
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
23,367 | Host Hotels & Resorts Inc. | $ | 196,049 | ||||||||
15,924 | Kimco Realty Corp. | 160,036 | |||||||||
5,467 | Plum Creek Timber Co., Inc. | 162,807 | |||||||||
19,558 | ProLogis | 157,637 | |||||||||
2,658 | Public Storage, Inc. | 174,046 | |||||||||
3,420 | Simon Property Group, Inc. | 175,891 | |||||||||
5,757 | Ventas, Inc. | 171,904 | |||||||||
3,969 | Vornado Realty Trust | 178,724 | |||||||||
2,391,767 | |||||||||||
Recreational Products (0.6%) | |||||||||||
8,638 | Electronic Arts Inc. (a) | 187,617 | |||||||||
7,119 | Hasbro, Inc. | 172,565 | |||||||||
10,914 | Mattel, Inc. | 175,170 | |||||||||
535,352 | |||||||||||
Regional Banks (1.1%) | |||||||||||
21,973 | Fifth Third Bancorp | 156,008 | |||||||||
12,799 | First Horizon National Corp. | 153,586 | |||||||||
3,460 | M&T Bank Corp. | 176,218 | |||||||||
31,262 | Marshall & Ilsely Corp | 150,058 | |||||||||
2,982 | Northern Trust Corp. | 160,074 | |||||||||
13,039 | Zions Bancorporation | 150,731 | |||||||||
946,675 | |||||||||||
Restaurants (0.8%) | |||||||||||
5,158 | Darden Restaurants, Inc. | 170,111 | |||||||||
2,783 | McDonald's Corp. | 159,995 | |||||||||
11,364 | Starbucks Corp. (a) | 157,846 | |||||||||
4,825 | Yum! Brands, Inc. | 160,866 | |||||||||
648,818 | |||||||||||
Savings Banks (0.4%) | |||||||||||
13,437 | Hudson City Bancorp, Inc. | 178,578 | |||||||||
10,717 | People's United Financial Inc. | 161,184 | |||||||||
339,762 | |||||||||||
Semiconductors (2.5%) | |||||||||||
41,845 | Advanced Micro Devices, Inc. (a) | 161,940 | |||||||||
9,916 | Altera Corp. | 161,432 | |||||||||
7,293 | Analog Devices, Inc. | 180,721 | |||||||||
6,354 | Broadcom Corp. (Class A) (a) | 157,516 | |||||||||
10,114 | Intel Corp. (b) | 167,387 |
NUMBER OF SHARES | VALUE | ||||||||||
7,252 | Linear Technology Corp. | $ | 169,334 | ||||||||
39,252 | LSI Logic Corp. (a) | 178,989 | |||||||||
7,965 | Microchip Technology Inc. | 179,611 | |||||||||
33,581 | Micron Technology, Inc. (a) | 169,920 | |||||||||
12,309 | National Semiconductor Corp. | 154,478 | |||||||||
14,433 | NVIDIA Corp. (a) | 162,949 | |||||||||
7,477 | Texas Instruments Inc. | 159,260 | |||||||||
8,068 | Xilinx, Inc. | 165,071 | |||||||||
2,168,608 | |||||||||||
Services to the Health Industry (1.2%) | |||||||||||
2,698 | Express Scripts, Inc. (a) | 185,488 | |||||||||
13,267 | IMS Health Inc. | 168,491 | |||||||||
2,432 | Laboratory Corp. of America Holdings (a) | 164,865 | |||||||||
3,883 | Medco Health Solutions Inc. (a) | 177,104 | |||||||||
3,022 | Quest Diagnostics Inc. | 170,531 | |||||||||
3,495 | Stericycle, Inc. (a) | 180,097 | |||||||||
1,046,576 | |||||||||||
Specialty Insurance (0.4%) | |||||||||||
7,362 | Assurant, Inc. | 177,351 | |||||||||
36,231 | MBIA Inc. | 156,880 | |||||||||
334,231 | |||||||||||
Specialty Stores (1.4%) | |||||||||||
10,492 | AutoNation, Inc. (a) | 182,036 | |||||||||
1,149 | AutoZone, Inc. (a) | 173,625 | |||||||||
5,768 | Bed Bath & Beyond Inc. (a) | 177,366 | |||||||||
39,402 | Office Depot, Inc. (a) | 179,673 | |||||||||
4,774 | O'Reilly Automotive, Inc. (a) | 181,794 | |||||||||
8,083 | Staples, Inc. | 163,034 | |||||||||
6,740 | Tiffany & Co. | 170,926 | |||||||||
1,228,454 | |||||||||||
Specialty Telecommunications (1.0%) | |||||||||||
6,036 | American Tower Corp. (Class A) (a) | 190,315 | |||||||||
5,251 | CenturyTel, Inc. | 161,206 | |||||||||
26,915 | Frontier Communications Corp | 192,173 |
See Notes to Financial Statements
89
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
40,688 | Qwest Communications International, Inc. (a) | $ | 168,855 | ||||||||
21,800 | Windstream Corp. | 182,248 | |||||||||
894,797 | |||||||||||
Steel (0.8%) | |||||||||||
9,436 | AK Steel Holding Corp. (a) | 181,077 | |||||||||
4,686 | Allegheny Technologies, Inc. | 163,682 | |||||||||
3,834 | Nucor Corp. | 170,345 | |||||||||
4,311 | United States Steel Corp. | 154,075 | |||||||||
669,179 | |||||||||||
Telecommunication Equipment (1.0%) | |||||||||||
16,870 | Ciena Corp. (a) | 174,605 | |||||||||
5,870 | Harris Corp. | 166,473 | |||||||||
26,504 | Motorola, Inc. | 175,722 | |||||||||
3,890 | QUALCOMM, Inc. | 175,828 | |||||||||
28,018 | Tellabs, Inc. (a) | 160,543 | |||||||||
853,171 | |||||||||||
Tobacco (0.8%) | |||||||||||
9,868 | Altria Group, Inc. | 161,737 | |||||||||
2,345 | Lorillard, Inc | 158,921 | |||||||||
4,246 | Philip Morris International | 185,211 | |||||||||
4,288 | Reynolds American, Inc. | 165,603 | |||||||||
671,472 | |||||||||||
Tools/Hardware (0.6%) | |||||||||||
6,203 | Black & Decker Corp. | 177,778 | |||||||||
6,008 | Snap-On, Inc. | 172,670 | |||||||||
4,672 | Stanley Works (The) | 158,100 | |||||||||
508,548 | |||||||||||
Trucks/Construction/Farm Machinery (1.0%) | |||||||||||
4,812 | Caterpillar Inc. | 158,988 | |||||||||
5,350 | Cummins Inc. | 188,374 | |||||||||
4,117 | Deere & Co. | 164,474 | |||||||||
30,754 | Manitowoc Co., Inc. | 161,766 | |||||||||
5,154 | PACCAR, Inc. | 167,557 | |||||||||
841,159 | |||||||||||
Wholesale Distributors (0.4%) | |||||||||||
5,412 | Genuine Parts Co. | 181,627 | |||||||||
2,212 | Grainger (W.W.), Inc. | 181,119 | |||||||||
362,746 |
NUMBER OF SHARES | VALUE | ||||||||||
Wireless Telecommunications (0.2%) | |||||||||||
10,600 | Metropcs Communications Inc. (a) | $ | 141,086 | ||||||||
Total Common Stocks (Cost $68,259,369) | 84,964,185 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (e) (0.4%) | |||||||||||
Investment Company | |||||||||||
370 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $369,884) | 369,884 |
Total Investments (Cost $68,629,253) (f)(g) | 100.0 | % | 85,334,069 | ||||||||
Other Assets in Excess of Liabilities | 0.0 | 38,451 | |||||||||
Net Assets | 100.0 | % | $ | 85,372,520 |
(a) Non-income producing security.
(b) A portion of this security has been physically segregated in connection with open futures contracts.
(c) Consist of one or more class of securities traded together as a unit. Stocks with attached paired trust shares.
(d) A security with total market value equal to $0 has been valued at its fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurement may be level 2 measurement if observable inputs are available. See Note 7.
(e) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class.
(f) Securities have been designated as collateral in connection with open futures contracts.
(g) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $24,795,932 and the aggregate gross unrealized depreciation is $8,091,116 resulting in net unrealized appreciation of $16,704,816.
See Notes to Financial Statements
90
Equally-Weighted S&P 500
Portfolio of Investments n June 30, 2009 (unaudited) continued
FUTURES CONTRACTS OPEN AT JUNE 30, 2009:
NUMBER OF CONTRACTS | LONG/ SHORT | DESCRIPTION, DELIVERY MONTH, AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION | |||||||||||||||
15 | Long | S&P 500 Mini Index September 2009 | $686,625 | $576 |
SUMMARY OF INVESTMENTS SECTOR | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Finance | $ | 13,553,964 | 15.9 | % | |||||||
Electronic Technology | 8,634,630 | 10.1 | |||||||||
Utilities | 6,399,019 | 7.5 | |||||||||
Health Technology | 6,368,826 | 7.5 | |||||||||
Retail Trade | 6,012,266 | 7.0 | |||||||||
Consumer Non-Durables | 5,988,444 | 7.0 | |||||||||
Technology Services | 5,168,166 | 6.1 | |||||||||
Consumer Services | 4,652,152 | 5.5 | |||||||||
Energy Minerals | 4,114,481 | 4.8 | |||||||||
Producer Manufacturing | 4,089,887 | 4.8 | |||||||||
Consumer Durables | 3,451,132 | 4.0 | |||||||||
Process Industries | 3,284,587 | 3.9 | |||||||||
Industrial Services | 3,013,550 | 3.5 | |||||||||
Health Services | 2,394,094 | 2.8 | |||||||||
Commercial Services | 1,863,666 | 2.2 | |||||||||
Non-Energy Minerals | 1,652,621 | 1.9 | |||||||||
Transportation | 1,585,650 | 1.9 | |||||||||
Communications | 1,562,204 | 1.8 | |||||||||
Distribution Services | 1,174,846 | 1.4 | |||||||||
Investment Company | 369,884 | 0.4 | |||||||||
$ | 85,334,069 | ^ | 100.0 | % |
^ Does not include open long futures contracts with an underlying face amount of $686,625 with an unrealized appreciation of $576.
See Notes to Financial Statements
91
Capital Growth
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (96.7%) | |||||||||||
Air Freight/Couriers (4.0%) | |||||||||||
7,790 | C.H. Robinson Worldwide, Inc. | $ | 406,249 | ||||||||
17,503 | Expeditors International of Washington, Inc. | 583,550 | |||||||||
989,799 | |||||||||||
Biotechnology (3.1%) | |||||||||||
3,962 | Gen-Probe Inc. (a) | 170,287 | |||||||||
15,068 | Illumina, Inc. (a) | 586,748 | |||||||||
757,035 | |||||||||||
Casino/Gaming (2.0%) | |||||||||||
14,365 | Wynn Resorts, Ltd. (a) | 507,085 | |||||||||
Chemicals: Agricultural (5.3%) | |||||||||||
17,584 | Monsanto Co. | 1,307,195 | |||||||||
Computer Communications (2.4%) | |||||||||||
31,463 | Cisco Systems, Inc. (a) | 586,470 | |||||||||
Computer Peripherals (0.0%) | |||||||||||
20,100 | Seagate Technology Inc. (Escrow) (a)(b) | 0 | |||||||||
Computer Processing Hardware (5.8%) | |||||||||||
10,181 | Apple Inc. (a) | 1,450,080 | |||||||||
Construction Materials (2.5%) | |||||||||||
26,915 | Cemex SAB de C.V. (ADR) (Mexico) (a) | 251,386 | |||||||||
4,758 | Martin Marietta Materials, Inc. | 375,311 | |||||||||
626,697 | |||||||||||
Discount Stores (1.0%) | |||||||||||
3,896 | Sears Holdings Corp. (a) | 259,162 | |||||||||
Electronic Components (0.9%) | |||||||||||
1,378 | First Solar, Inc. (a) | 223,401 | |||||||||
Finance/Rental/Leasing (6.7%) | |||||||||||
4,127 | Mastercard Inc. Class A (a) | 690,488 | |||||||||
45,033 | Redecard SA (Brazil) | 689,456 | |||||||||
4,454 | VISA Inc. (Class A) | 277,306 | |||||||||
1,657,250 |
NUMBER OF SHARES | VALUE | ||||||||||
Financial Conglomerates (7.8%) | |||||||||||
17,715 | American Express Co. | $ | 411,697 | ||||||||
52,437 | Brookfield Asset Management Inc. (Class A) (Canada) | 895,100 | |||||||||
29,710 | Leucadia National Corp. (a) | 626,584 | |||||||||
1,933,381 | |||||||||||
Financial Publishing/ Services (1.0%) | |||||||||||
8,164 | McGraw-Hill Companies, Inc. (The) | 245,818 | |||||||||
Information Technology Services (0.7%) | |||||||||||
6,222 | VMware Inc (Class A) (a) | 169,674 | |||||||||
Internet Retail (7.1%) | |||||||||||
20,909 | Amazon.com, Inc. (a) | 1,749,247 | |||||||||
Internet Software/ Services (12.6%) | |||||||||||
1,884 | Baidu.com, Inc. (ADR) (Cayman Islands) (a) | 567,254 | |||||||||
4,032 | Google Inc. (Class A) (a) | 1,699,851 | |||||||||
64,400 | Tencent Holdings Ltd. (Cayman Islands) (b) | 749,822 | |||||||||
7,194 | Yahoo! Inc. (a) | 112,658 | |||||||||
3,129,585 | |||||||||||
Investment Banks/Brokers (4.8%) | |||||||||||
101,758 | BM&F BOVESPA SA (Brazil) | 607,587 | |||||||||
1,841 | CME Group Inc. | 572,754 | |||||||||
1,180,341 | |||||||||||
Medical Specialties (1.1%) | |||||||||||
1,607 | Intuitive Surgical, Inc. (a) | 263,002 | |||||||||
Miscellaneous Commercial Services (0.7%) | |||||||||||
8,624 | Corporate Executive Board Co. (The) | 179,034 | |||||||||
Oil & Gas Production (7.4%) | |||||||||||
20,989 | Southwestern Energy Co. (a) | 815,423 | |||||||||
26,089 | Ultra Petroleum Corp. (Canada) (a) | 1,017,471 | |||||||||
1,832,894 |
See Notes to Financial Statements
92
Capital Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Other Consumer Services (1.5%) | |||||||||||
21,696 | eBay Inc. (a) | $ | 371,652 | ||||||||
Other Transportation (0.4%) | |||||||||||
38,000 | China Merchants Holdings International Co., Ltd. (Hong Kong) (b) | 109,253 | |||||||||
Packaged Software (1.7%) | |||||||||||
11,200 | Salesforce.com Inc. (a) | 427,504 | |||||||||
Personnel Services (0.5%) | |||||||||||
10,721 | Monster Worldwide Inc. (a) | 126,615 | |||||||||
Pharmaceuticals: Other (1.3%) | |||||||||||
7,027 | Allergan, Inc. | 334,345 | |||||||||
Property - Casualty Insurers (3.6%) | |||||||||||
179 | Berkshire Hathaway Inc. (Class B) (a) | 518,336 | |||||||||
13,588 | Loews Corp. | 372,311 | |||||||||
890,647 | |||||||||||
Restaurants (2.4%) | |||||||||||
42,669 | Starbucks Corp. (a) | 592,672 | |||||||||
Telecommunication Equipment (4.3%) | |||||||||||
8,703 | QUALCOMM, Inc. | 393,376 | |||||||||
9,596 | Research In Motion Ltd. (Canada) (a) | 681,796 | |||||||||
1,075,172 | |||||||||||
Wholesale Distributors (2.4%) | |||||||||||
218,000 | Li & Fung Ltd. (Bermuda) (b)(c) | 582,734 | |||||||||
Wireless Telecommunications (1.7%) | |||||||||||
11,086 | America Movil SAB de C.V. (Series L) (ADR) (Mexico) | 429,250 | |||||||||
Total Common Stocks (Cost $27,544,475) | 23,986,994 |
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (d) (3.4%) | |||||||||||
Investment Company | |||||||||||
829 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $828,878) | $ | 828,878 |
Total Investments (Cost $28,373,353) (e) | 100.1 | % | 24,815,872 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (20,647 | ) | |||||||
Net Assets | 100.0 | % | $ | 24,795,225 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Securities with a total market value of $1,441,809 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurements may be Level 2 measurements if observable inputs are available. See Note 7.
(c) Security trades on a Hong Kong exchange.
(d) See Note 4 to the financial statements regarding investments in Morgan Stanley Liquidity Funds - Money Market Portfolio - Institutional Class.
(e) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $3,360,844 and the aggregate gross unrealized depreciation is $6,918,325, resulting in net unrealized depreciation of $3,557,481.
See Notes to Financial Statements
93
Capital Growth
Summary of Investments n June 30, 2009 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software/ Services | $ | 3,129,585 | 12.6 | % | |||||||
Financial Conglomerates | 1,933,381 | 7.8 | |||||||||
Oil & Gas Production | 1,832,894 | 7.4 | |||||||||
Internet Retail | 1,749,247 | 7.1 | |||||||||
Finance/Rental/Leasing | 1,657,250 | 6.7 | |||||||||
Computer Processing Hardware | 1,450,080 | 5.8 | |||||||||
Chemicals: Agricultural | 1,307,195 | 5.3 | |||||||||
Investment Banks/Brokers | 1,180,341 | 4.8 | |||||||||
Telecommunication Equipment | 1,075,172 | 4.3 | |||||||||
Air Freight/Couriers | 989,799 | 4.0 | |||||||||
Property - Casualty Insurers | 890,647 | 3.6 | |||||||||
Investment Company | 828,878 | 3.3 | |||||||||
Biotechnology | 757,035 | 3.1 | |||||||||
Construction Materials | 626,697 | 2.5 | |||||||||
Restaurants | 592,672 | 2.4 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Computer Communications | $ | 586,470 | 2.4 | % | |||||||
Wholesale Distributors | 582,734 | 2.3 | |||||||||
Casino/Gaming | 507,085 | 2.0 | |||||||||
Wireless Telecommunications | 429,250 | 1.7 | |||||||||
Packaged Software | 427,504 | 1.7 | |||||||||
Other Consumer Services | 371,652 | 1.5 | |||||||||
Pharmaceuticals: Other | 334,345 | 1.4 | |||||||||
Medical Specialties | 263,002 | 1.1 | |||||||||
Discount Stores | 259,162 | 1.0 | |||||||||
Financial Publishing/Services | 245,818 | 1.0 | |||||||||
Electronic Components | 223,401 | 0.9 | |||||||||
Miscellaneous Commercial Services | 179,034 | 0.7 | |||||||||
Information Technology Services | 169,674 | 0.7 | |||||||||
Personnel Services | 126,615 | 0.5 | |||||||||
Other Transportation | 109,253 | 0.4 | |||||||||
$ | 24,815,872 | 100.0 | % |
See Notes to Financial Statements
94
Focus Growth
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.2%) | |||||||||||
Air Freight/Couriers (6.3%) | |||||||||||
35,177 | C.H. Robinson Worldwide, Inc. | $ | 1,834,481 | ||||||||
84,384 | Expeditors International of Washington, Inc. | 2,813,363 | |||||||||
4,647,844 | |||||||||||
Biotechnology (2.6%) | |||||||||||
48,885 | Illumina, Inc. (a) | 1,903,582 | |||||||||
Casino/Gaming (2.6%) | |||||||||||
54,713 | Wynn Resorts, Ltd. (a) | 1,931,369 | |||||||||
Chemicals: Agricultural (7.2%) | |||||||||||
71,152 | Monsanto Co. | 5,289,440 | |||||||||
Computer Communications (2.5%) | |||||||||||
98,098 | Cisco Systems, Inc. (a) | 1,828,547 | |||||||||
Computer Processing Hardware (8.1%) | |||||||||||
42,136 | Apple Inc. (a) | 6,001,430 | |||||||||
Construction Materials (1.0%) | |||||||||||
79,724 | Cemex SAB de C.V. (ADR) (Mexico) (a) | 744,622 | |||||||||
Finance/Rental/Leasing (4.6%) | |||||||||||
20,313 | Mastercard Inc. Class A (a) | 3,398,568 | |||||||||
Financial Conglomerates (8.1%) | |||||||||||
197,851 | Brookfield Asset Management Inc. (Class A) (Canada) | 3,377,317 | |||||||||
124,567 | Leucadia National Corp. (a) | 2,627,118 | |||||||||
6,004,435 | |||||||||||
Internet Retail (9.4%) | |||||||||||
83,460 | Amazon.com, Inc. (a) | 6,982,264 | |||||||||
Internet Software/ Services (17.7%) | |||||||||||
9,657 | Baidu.com, Inc. (ADR) (Cayman Islands) (a) | 2,907,626 | |||||||||
15,418 | Google Inc. (Class A) (a) | 6,500,075 | |||||||||
315,200 | Tencent Holdings Ltd. (Cayman Islands) (b) | 3,669,942 | |||||||||
13,077,643 |
NUMBER OF SHARES | VALUE | ||||||||||
Investment Banks/ Brokers (8.6%) | |||||||||||
611,390 | BM&F BOVESPA SA (Brazil) | $ | 3,650,555 | ||||||||
8,714 | CME Group Inc. | 2,711,013 | |||||||||
6,361,568 | |||||||||||
Miscellaneous Commercial Services (0.9%) | |||||||||||
33,278 | Corporate Executive Board Co. (The) | 690,851 | |||||||||
Oil & Gas Production (7.6%) | |||||||||||
143,226 | Ultra Petroleum Corp. (Canada) (a) | 5,585,814 | |||||||||
Packaged Software (2.2%) | |||||||||||
42,800 | Salesforce.com Inc. (a) | 1,633,676 | |||||||||
Property - Casualty Insurers (2.6%) | |||||||||||
666 | Berkshire Hathaway Inc. (Class B) (a) | 1,928,556 | |||||||||
Telecommunication Equipment (4.1%) | |||||||||||
42,392 | Research In Motion Ltd. (Canada) (a) | 3,011,951 | |||||||||
Wholesale Distributors (3.1%) | |||||||||||
844,000 | Li & Fung Ltd. (Bermuda) (b)(c) | 2,256,091 | |||||||||
Total Common Stocks (Cost $85,130,876) | 73,278,251 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (d) (0.9%) | |||||||||||
Investment Company | |||||||||||
696 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $695,808) | 695,808 |
Total Investments (Cost $85,826,684) (e) | 100.1 | % | 73,974,059 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (62,351 | ) | |||||||
Net Assets | 100.0 | % | $ | 73,911,708 |
See Notes to Financial Statements
95
Focus Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Securities with a total market value of $5,926,033 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurements may be Level 2 measurements if observable inputs are available. See Note 7.
(c) Security trades on a Hong Kong exchange.
(d) See Note 4 to the financial statements regarding investments in Morgan stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class.
(e) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $9,709,535 and the aggregate gross unrealized depreciation is $21,562,160 resulting in net unrealized depreciation of $11,852,625.
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software/ Services | $ | 13,077,643 | 17.7 | % | |||||||
Internet Retail | 6,982,264 | 9.4 | |||||||||
Investment Banks/ Brokers | 6,361,568 | 8.6 | |||||||||
Financial Conglomerates | 6,004,435 | 8.1 | |||||||||
Computer Processing Hardware | 6,001,430 | 8.1 | |||||||||
Oil & Gas Production | 5,585,814 | 7.6 | |||||||||
Chemicals: Agricultural | 5,289,440 | 7.2 | |||||||||
Air Freight/Couriers | 4,647,844 | 6.3 | |||||||||
Finance/Rental/Leasing | 3,398,568 | 4.6 | |||||||||
Telecommunication Equipment | 3,011,951 | 4.1 | |||||||||
Wholesale Distributors | 2,256,091 | 3.0 | |||||||||
Casino/Gaming | 1,931,369 | 2.6 | |||||||||
Property - Casualty Insurers | 1,928,556 | 2.6 | |||||||||
Biotechnology | 1,903,582 | 2.6 | |||||||||
Computer Communications | 1,828,547 | 2.5 | |||||||||
Packaged Software | 1,633,676 | 2.2 | |||||||||
Construction Materials | 744,622 | 1.0 | |||||||||
Investment Company | 695,808 | 0.9 | |||||||||
Miscellaneous Commercial Services | 690,851 | 0.9 | |||||||||
$ | 73,974,059 | 100.0 | % |
See Notes to Financial Statements
96
Capital Opportunities
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (97.0%) | |||||||||||
Air Freight/Couriers (2.7%) | |||||||||||
15,276 | Expeditors International of Washington, Inc. | $ | 509,302 | ||||||||
Biotechnology (6.9%) | |||||||||||
17,458 | Illumina, Inc. (a) | 679,815 | |||||||||
9,583 | Techne Corp. (a) | 611,491 | |||||||||
1,291,306 | |||||||||||
Casino/Gaming (1.9%) | |||||||||||
10,015 | Wynn Resorts, Ltd. (a) | 353,530 | |||||||||
Chemicals: Agricultural (5.2%) | |||||||||||
13,030 | Monsanto Co. | 968,650 | |||||||||
Computer Processing Hardware (5.6%) | |||||||||||
7,344 | Apple Inc. (a) | 1,046,006 | |||||||||
Construction Materials (0.9%) | |||||||||||
18,352 | Cemex SAB de C.V. (ADR) (Mexico) (a) | 171,408 | |||||||||
Electric Utilities (0.1%) | |||||||||||
1,783 | Brookfield Infrastructure LP | 21,984 | |||||||||
Electronic Production Equipment (3.1%) | |||||||||||
22,875 | Tessera Technologies, Inc. (a) | 578,509 | |||||||||
Finance/Rental/Leasing (6.5%) | |||||||||||
4,392 | Mastercard Inc. Class A (a) | 734,826 | |||||||||
31,518 | Redecard SA (Brazil) | 482,541 | |||||||||
1,217,367 | |||||||||||
Financial Conglomerates (5.7%) | |||||||||||
36,664 | Brookfield Asset Management Inc. (Class A) (Canada) | 625,854 | |||||||||
21,052 | Leucadia National Corp. (a) | 443,987 | |||||||||
1,069,841 | |||||||||||
Financial Publishing/ Services (1.8%) | |||||||||||
8,172 | Morningstar, Inc. (a) | 336,932 | |||||||||
Home Building (0.6%) | |||||||||||
7,080 | Gafisa S.A. (ADR) (Brazil) | 116,820 |
NUMBER OF SHARES | VALUE | ||||||||||
Internet Retail (10.0%) | |||||||||||
15,486 | Amazon.com, Inc. (a) | $ | 1,295,559 | ||||||||
12,173 | Ctrip.com International Ltd. (ADR) (Cayman Islands) | 563,610 | |||||||||
1,859,169 | |||||||||||
Internet Software/ Services (14.8%) | |||||||||||
2,127 | Baidu.com, Inc. (ADR) (Cayman Islands) (a) | 640,418 | |||||||||
2,873 | Google Inc. (Class A) (a) | 1,211,228 | |||||||||
78,600 | Tencent Holdings Ltd. (Cayman Islands) (c) | 915,158 | |||||||||
2,766,804 | |||||||||||
Investment Banks/ Brokers (8.8%) | |||||||||||
70,826 | BM&F Bovespa SA (Brazil) | 422,895 | |||||||||
1,296 | CME Group Inc. | 403,199 | |||||||||
11,311 | Greenhill & Co., Inc. | 816,767 | |||||||||
1,642,861 | |||||||||||
Miscellaneous Commercial Services (3.0%) | |||||||||||
13,837 | Costar Group, Inc. (a) | 551,681 | |||||||||
Oil & Gas Production (8.4%) | |||||||||||
21,813 | Southwestern Energy Co. (a) | 847,435 | |||||||||
18,732 | Ultra Petroleum Corp. (Canada) (a) | 730,548 | |||||||||
1,577,983 | |||||||||||
Packaged Software (2.3%) | |||||||||||
11,255 | Salesforce.com Inc. (a) | 429,603 | |||||||||
Services to the Health Industry (3.5%) | |||||||||||
17,510 | AthenaHealth, Inc | 648,045 | |||||||||
Telecommunication Equipment (2.5%) | |||||||||||
6,607 | Research In Motion Ltd. (Canada) (a) | 469,427 | |||||||||
Wholesale Distributors (2.7%) | |||||||||||
190,974 | Li & Fung Ltd. (Bermuda) (c)(d) | 510,491 | |||||||||
Total Common Stocks (Cost $18,533,654) | 18,137,719 |
See Notes to Financial Statements
97
Capital Opportunities
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (b) (3.3%) | |||||||||||
Investment Company | |||||||||||
614 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $613,512) | $ | 613,512 |
Total Investments (Cost $19,147,166) (e) | 100.3 | % | 18,751,231 | ||||||||
Liabilities in Excess of Other Assets | (0.0 | ) | (64,097 | ) | |||||||
Net Assets | 100.3 | % | $ | 18,687,134 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class.
(c) Securities with total market value of $1,425,649 have been valued at their fair value as determined in good faith under procedures established by and under the general supervison of the Fund's Trustees. Such fair value measurements may be level 2 measurements if observable inputs are available. See Note 7.
(d) Security trades on a Hong Kong exchange.
(e) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $2,904,236 and the aggregate gross unrealized depreciation is $3,300,171 resulting in net unrealized depreciation of $395,935.
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | TOTAL INVESTMENTS | |||||||||
Internet Software/ Services | $ | 2,766,804 | 14.8 | % | |||||||
Internet Retail | 1,859,169 | 9.9 | |||||||||
Investment Banks/ Brokers | 1,642,861 | 8.8 | |||||||||
Oil & Gas Production | 1,577,983 | 8.4 | |||||||||
Biotechnology | 1,291,306 | 6.9 | |||||||||
Finance/Rental/Leasing | 1,217,367 | 6.5 | |||||||||
Financial Conglomerates | 1,069,841 | 5.7 | |||||||||
Computer Processing Hardware | 1,046,006 | 5.6 | |||||||||
Chemicals: Agricultural | 968,650 | 5.2 | |||||||||
Services To The Health Industry | 648,045 | 3.5 | |||||||||
Investment Company | 613,512 | 3.3 | |||||||||
Electronic Production Equipment | 578,509 | 3.1 | |||||||||
Miscellaneous Commercial Services | 551,681 | 2.9 | |||||||||
Wholesale Distributors | 510,491 | 2.7 | |||||||||
Air Freight/Couriers | 509,302 | 2.7 | |||||||||
Telecommunication Equipment | 469,427 | 2.5 | |||||||||
Packaged Software | 429,603 | 2.3 | |||||||||
Casino/Gaming | 353,530 | 1.9 | |||||||||
Financial Publishing/ Services | 336,932 | 1.8 | |||||||||
Construction Materials | 171,408 | 0.9 | |||||||||
Home Building | 116,820 | 0.6 | |||||||||
Electric Utilities | 21,984 | 0.1 | |||||||||
$ | 18,751,231 | 100.0 | % |
See Notes to Financial Statements
98
Mid Cap Growth
Portfolio of Investments n June 30, 2009 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (97.0%) | |||||||||||
Air Freight/Couriers (4.9%) | |||||||||||
9,746 | C.H. Robinson Worldwide, Inc. | $ | 508,254 | ||||||||
20,219 | Expeditors International of Washington, Inc. | 674,101 | |||||||||
1,182,355 | |||||||||||
Alternative Power Generation (1.1%) | |||||||||||
16,415 | Covanta Holding Corp. (a) | 278,398 | |||||||||
Apparel/Footwear Retail (1.1%) | |||||||||||
10,049 | Abercrombie & Fitch Co. (Class A) | 255,144 | |||||||||
Biotechnology (8.1%) | |||||||||||
8,907 | Gen-Probe Inc. (a) | 382,823 | |||||||||
24,352 | Illumina, Inc. (a) | 948,267 | |||||||||
9,793 | Techne Corp. | 624,891 | |||||||||
1,955,981 | |||||||||||
Broadcasting (1.0%) | |||||||||||
12,281 | Discovery Communications, Inc. (Class C) (a) | 252,129 | |||||||||
Casino/Gaming (2.7%) | |||||||||||
24,758 | Las Vegas Sands Corp. (a) | 194,598 | |||||||||
13,222 | Wynn Resorts, Ltd. (a) | 466,737 | |||||||||
661,335 | |||||||||||
Chemicals: Major Diversified (1.7%) | |||||||||||
23,932 | Nalco Holding Co. | 403,015 | |||||||||
Chemicals: Specialty (1.1%) | |||||||||||
17,471 | Rockwood Holdings Inc. (a) | 255,775 | |||||||||
Construction Materials (3.0%) | |||||||||||
7,360 | Martin Marietta Materials, Inc. | 580,557 | |||||||||
4,607 | Texas Industries, Inc. | 144,476 | |||||||||
725,033 | |||||||||||
Discount Stores (1.0%) | |||||||||||
3,701 | Sears Holdings Corp. (a) | 246,191 | |||||||||
Electronic Components (0.9%) | |||||||||||
56,100 | BYD Company Ltd. (H Shares) (Cayman Islands) (a)(c)(d) | 224,351 |
NUMBER OF SHARES | VALUE | ||||||||||
Engineering & Construction (1.3%) | |||||||||||
10,019 | Aecom Technology Corp. (a) | $ | 320,608 | ||||||||
Finance/Rental/Leasing (2.6%) | |||||||||||
41,741 | Redecard SA (Brazil) | 639,056 | |||||||||
Financial Conglomerates (4.1%) | |||||||||||
23,148 | Brookfield Asset Management Inc. (Class A) (Canada) | 395,136 | |||||||||
28,012 | Leucadia National Corp. (a) | 590,773 | |||||||||
985,909 | |||||||||||
Financial Publishing/ Services (2.7%) | |||||||||||
7,816 | Moody's Corp. | 205,952 | |||||||||
10,700 | Morningstar, Inc. (a) | 441,161 | |||||||||
647,113 | |||||||||||
Home Building (1.9%) | |||||||||||
13,557 | Gafisa S.A. (ADR) (Brazil) | 223,690 | |||||||||
497 | NVR, Inc. (a) | 249,688 | |||||||||
473,378 | |||||||||||
Home Furnishings (0.6%) | |||||||||||
3,865 | Mohawk Industries, Inc. (a) | 137,903 | |||||||||
Information Technology Services (2.1%) | |||||||||||
21,455 | Teradata Corporation (a) | 502,691 | |||||||||
Internet Retail (4.0%) | |||||||||||
16,975 | Ctrip.com International Ltd. (ADR) (Cayman Islands) (a) | 785,942 | |||||||||
4,623 | Netflix Inc. (a) | 191,115 | |||||||||
977,057 | |||||||||||
Internet Software/ Services (8.8%) | |||||||||||
2,932 | Baidu, Inc. (ADR) (Cayman Islands) (a) | 882,796 | |||||||||
3,790 | Equinix, Inc. (a) | 275,685 | |||||||||
84,000 | Tencent Holdings Ltd. (Cayman Islands) (c)(d) | 978,030 | |||||||||
2,136,511 |
See Notes to Financial Statements
99
Mid Cap Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Investment Banks/ Brokers (3.2%) | |||||||||||
3,303 | Greenhill & Co., Inc. | $ | 238,510 | ||||||||
4,683 | IntercontinentalExchange Inc. (a) | 534,986 | |||||||||
773,496 | |||||||||||
Investment Managers (1.0%) | |||||||||||
17,614 | Calamos Asset Management, Inc. (Class A) | 248,534 | |||||||||
Investment Trusts/Mutual Funds (1.1%) | |||||||||||
36,161 | Groupe Aeroplan Inc. (Canada) | 256,483 | |||||||||
Medical Specialties (2.5%) | |||||||||||
1,508 | Intuitive Surgical, Inc. (a) | 246,799 | |||||||||
12,866 | Mindray Medical International Limited (ADR) (Cayman Islands) | 359,219 | |||||||||
606,018 | |||||||||||
Miscellaneous Commercial Services (2.6%) | |||||||||||
10,419 | Corporate Executive Board Co. (The) | 216,298 | |||||||||
8,394 | IHS Inc. (Class A) (a) | 418,609 | |||||||||
634,907 | |||||||||||
Oil & Gas Production (10.3%) | |||||||||||
9,882 | Petrohawk Energy Corp. (a) | 220,369 | |||||||||
5,142 | Range Resources Corp. | 212,930 | |||||||||
28,241 | Southwestern Energy Co. (a) | 1,097,163 | |||||||||
24,677 | Ultra Petroleum Corp. (Canada) (a) | 962,403 | |||||||||
2,492,865 | |||||||||||
Other Consumer Services (7.9%) | |||||||||||
261,000 | Alibaba.com Ltd. (Cayman Islands) (a)(c)(d) | 460,709 | |||||||||
6,668 | New Oriental Education & Technology Group, Inc. (ADR) (Cayman Islands) (a) | 449,156 | |||||||||
5,939 | Priceline.com Inc. (a) | 662,495 | |||||||||
1,564 | Strayer Education, Inc. | 341,124 | |||||||||
1,913,484 |
NUMBER OF SHARES | VALUE | ||||||||||
Other Metals/Minerals (1.6%) | |||||||||||
13,699 | Intrepid Potash, Inc. (a) | $ | 384,668 | ||||||||
Packaged Software (3.6%) | |||||||||||
16,719 | Autodesk, Inc. (a) | 317,327 | |||||||||
14,695 | Salesforce.com, Inc. (a) | 560,908 | |||||||||
878,235 | |||||||||||
Personnel Services (0.7%) | |||||||||||
14,713 | Monster Worldwide, Inc. (a) | 173,761 | |||||||||
Pharmaceuticals: Other (1.3%) | |||||||||||
6,752 | Allergan, Inc. | 321,260 | |||||||||
Restaurants (2.2%) | |||||||||||
38,784 | Starbucks Corp. (a) | 538,710 | |||||||||
Wholesale Distributors (2.9%) | |||||||||||
264,185 | Li & Fung Ltd. (Bermuda) (c)(d) | 706,191 | |||||||||
Wireless Telecommunications (1.4%) | |||||||||||
2,394 | Millicom International Cellular S.A. (Luxembourg) (a) | 134,686 | |||||||||
10,831 | NII Holdings Inc. (a) | 206,547 | |||||||||
341,233 | |||||||||||
Total Common Stocks (Cost $29,645,044) | 23,529,778 | ||||||||||
Convertible Preferred Stock (0.7%) | |||||||||||
Biotechnology | |||||||||||
14,664 | Ironwood Pharmaceuticals (Cost $175,968) (b)(c) | 175,968 |
See Notes to Financial Statements
100
Mid Cap Growth
Portfolio of Investments n June 30, 2009 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Short-Term Investment (e) (2.4%) | |||||||||||
Investment Company | |||||||||||
$ | 582 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (Cost $582,036) | $ | 582,036 |
Total Investments (Cost $30,403,048) | 100.1 | % | 24,287,782 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (15,782 | ) | |||||||
Net Assets | 100.0 | % | $ | 24,272,000 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Resale is restricted to qualified institutional investors.
(c) Securities with a total market value equal to $2,545,249 have been valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Such fair value measurements may be level 2 measurements if observable inputs are available. See Note 7.
(d) Security trades on a Hong Kong exchange.
(e) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Funds-Money Market Portfolio - Institutional Class.
(f) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $2,284,478 and the aggregate gross unrealized depreciation is $8,399,744, resulting in net unrealized depreciation of $6,115,266.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 2009:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
HKD | 56,720 | $ | 7,319 | 07/02/09 | $ | (0 | ) | ||||||||
HKD | 54,507 | 7,033 | 07/06/09 | (0 | ) | ||||||||||
Total Unrealized Depreciation | $ | (0 | ) |
Currency Abbreviations:
HKD Hong Kong Dollar.
See Notes to Financial Statements
101
Mid Cap Growth
Summary of Investments n June 30, 2009 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Oil & Gas Production | $ | 2,492,865 | 10.3 | % | |||||||
Internet Software/Services | 2,136,511 | 8.8 | |||||||||
Biotechnology | 2,131,949 | 8.8 | |||||||||
Other Consumer Services | 1,913,484 | 7.9 | |||||||||
Air Freight/Couriers | 1,182,355 | 4.9 | |||||||||
Financial Conglomerates | 985,909 | 4.0 | |||||||||
Internet Retail | 977,057 | 4.0 | |||||||||
Packaged Software | 878,235 | 3.6 | |||||||||
Investment Banks/Brokers | 773,496 | 3.2 | |||||||||
Construction Materials | 725,033 | 3.0 | |||||||||
Wholesale Distributors | 706,191 | 2.9 | |||||||||
Casino/Gaming | 661,335 | 2.7 | |||||||||
Financial Publishing/ Services | 647,113 | 2.7 | |||||||||
Finance/Rental/Leasing | 639,056 | 2.6 | |||||||||
Miscellaneous Commercial Services | 634,907 | 2.6 | |||||||||
Medical Specialties | 606,018 | 2.5 | |||||||||
Investment Company | 582,036 | 2.4 | |||||||||
Restaurants | 538,710 | 2.2 | |||||||||
Information Technology Services | 502,691 | 2.1 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Home Building | $ | 473,378 | 1.9 | % | |||||||
Chemicals: Major Diversified | 403,015 | 1.7 | |||||||||
Other Metals/Minerals | 384,668 | 1.6 | |||||||||
Wireless Telecommunications | 341,233 | 1.4 | |||||||||
Pharmaceuticals: Other | 321,260 | 1.3 | |||||||||
Engineering & Construction | 320,608 | 1.3 | |||||||||
Alternative Power Generation | 278,398 | 1.1 | |||||||||
Investment Trusts/Mutual Funds | 256,483 | 1.1 | |||||||||
Chemicals: Specialty | 255,775 | 1.1 | |||||||||
Apparel/Footwear Retail | 255,144 | 1.1 | |||||||||
Broadcasting | 252,129 | 1.0 | |||||||||
Investment Managers | 248,534 | 1.0 | |||||||||
Discount Stores | 246,191 | 1.0 | |||||||||
Electronic Components | 224,351 | 0.9 | |||||||||
Personnel Services | 173,761 | 0.7 | |||||||||
Home Furnishings | 137,903 | 0.6 | |||||||||
$ | 24,287,782 | 100.0 | % |
See Notes to Financial Statements
102
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Morgan Stanley Select Dimensions Investment Series
Financial Statements
Statements of Assets and Liabilities
For the six months ended June 30, 2009 (unaudited)
Money Market | Flexible Income | Balanced | Global Infrastructure | Dividend Growth | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 191,232,392 | (1) | $ | 28,430,674 | $ | 37,657,655 | $ | 33,496,446 | $ | 90,259,212 | ||||||||||||
Investments in affiliates, at value** | — | 2,887,882 | 1,395,843 | — | 330,050 | ||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | 5,113 | — | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | 76,225 | 34 | — | — | ||||||||||||||||||
Cash | 5,010 | 571 | 444 | (2) | 29,826 | (2) | — | ||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | — | 2,796,567 | 126,272 | 2,065,288 | — | ||||||||||||||||||
Interest | 44,183 | 422,025 | 128,519 | — | — | ||||||||||||||||||
Dividends | — | — | 20,534 | 165,383 | 134,845 | ||||||||||||||||||
Shares of beneficial interest sold | — | 6,195 | — | 8,428 | — | ||||||||||||||||||
Foreign withholding taxes reclaimed | — | 174 | 717 | 37,551 | 3,553 | ||||||||||||||||||
Interest and dividends from affiliates | — | 1,537 | 1,250 | 135 | 45 | ||||||||||||||||||
Variation margin | — | 1,826 | — | — | — | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | 2,009 | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 38,213 | 8,102 | 7,622 | 14,489 | 10,882 | ||||||||||||||||||
Total Assets | 191,319,798 | 34,633,787 | 39,338,890 | 35,822,659 | 90,738,587 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Written call options outstanding, at value | — | 281 | (3) | 113 | (3) | — | — | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 63,888 | — | ||||||||||||||||||
Unrealized depreciation on open swap contracts | — | 154,538 | — | — | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Investments purchased | — | 4,229,226 | 56,342 | 2,206,292 | — | ||||||||||||||||||
Shares of beneficial interest redeemed | 364,232 | 16,972 | 51,615 | 20,870 | 33,395 | ||||||||||||||||||
Investment advisory fee | 65,245 | 7,671 | 17,727 | 16,653 | 44,045 | ||||||||||||||||||
Variation margin | — | — | 809 | — | — | ||||||||||||||||||
Distribution fee | — | 3,481 | 3,378 | 2,159 | 4,878 | ||||||||||||||||||
Administration fee | 8,702 | 2,088 | 2,782 | 2,362 | 6,478 | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | 2,371 | — | — | — | ||||||||||||||||||
Premium received on open swap contracts | — | 92,892 | — | — | — | ||||||||||||||||||
Transfer agent fee | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Accrued expenses and other payables | 36,010 | 120,749 | 51,033 | 36,424 | 58,733 | ||||||||||||||||||
Total Liabilities | 474,439 | 4,630,519 | 184,049 | 2,348,898 | 147,779 | ||||||||||||||||||
Net Assets | $ | 190,845,359 | $ | 30,003,268 | $ | 39,154,841 | $ | 33,473,761 | $ | 90,590,808 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 190,842,794 | $ | 63,212,155 | $ | 47,683,128 | $ | 32,816,023 | $ | 189,955,981 | |||||||||||||
Accumulated undistributed net investment income (net investment loss) | — | 602,409 | 383,064 | 616,823 | 841,476 | ||||||||||||||||||
Accumulated net realized gain (loss) | 2,565 | (30,257,634 | ) | (5,068,867 | ) | (2,142,291 | ) | (82,150,070 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) | — | (3,553,662 | ) | (3,842,484 | ) | 2,183,206 | (18,056,579 | ) | |||||||||||||||
Net Assets | $ | 190,845,359 | $ | 30,003,268 | $ | 39,154,841 | $ | 33,473,761 | $ | 90,590,808 | |||||||||||||
* Cost | $ | 191,232,392 | $ | 31,879,967 | $ | 41,408,556 | $ | 31,258,083 | $ | 108,315,791 | |||||||||||||
** Affiliated Cost | $ | — | $ | 2,886,267 | $ | 1,433,892 | $ | — | $ | 330,050 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 49,992,919 | $ | 13,925,039 | $ | 23,965,964 | $ | 23,733,344 | $ | 68,815,124 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 49,992,334 | 2,513,790 | 2,234,195 | 1,223,793 | 5,823,566 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 5.54 | $ | 10.73 | $ | 19.39 | $ | 11.82 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 140,852,440 | $ | 16,078,229 | $ | 15,188,877 | $ | 9,740,417 | $ | 21,775,684 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 140,850,460 | 2,916,555 | 1,421,253 | 502,859 | 1,845,885 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 5.51 | $ | 10.69 | $ | 19.37 | $ | 11.80 |
(1) Including repurchase agreements of $57,771,000.
(2) Including foreign currency valued at $444 and $46,282, respectively with a cost of $449 and $46,391 respectively.
(3) Premium received $5,331 and $2,164 respectively.
See Notes to Financial Statements
104
Equally- Weighted S&P 500 | Capital Growth | Focus Growth | Capital Opportunities | Mid Cap Growth | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 84,641,707 | $ | 23,986,994 | $ | 73,278,251 | $ | 18,137,719 | $ | 23,705,746 | |||||||||||||
Investments in affiliates, at value** | 692,362 | 828,878 | 695,808 | 613,512 | 582,036 | ||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Cash | — | 37 | — | 34 | 122 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | 494,431 | — | — | 18,329 | 14,352 | ||||||||||||||||||
Interest | 3 | — | — | 5 | — | ||||||||||||||||||
Dividends | 115,240 | 10,637 | 27,298 | 5,200 | 6,514 | ||||||||||||||||||
Shares of beneficial interest sold | — | 331 | — | — | — | ||||||||||||||||||
Foreign withholding taxes reclaimed | 80 | — | — | — | — | ||||||||||||||||||
Interest and dividends from affiliates | 1,028 | 203 | 388 | 130 | 129 | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 17,719 | 9,977 | 19,317 | 14,221 | 8,917 | ||||||||||||||||||
Total Assets | 85,962,570 | 24,837,057 | 74,021,062 | 18,789,150 | 24,317,816 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Written call options outstanding, at value | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Investments purchased | 485,531 | — | — | — | — | ||||||||||||||||||
Shares of beneficial interest redeemed | 6,873 | 1,910 | 27,510 | 44,872 | 11,682 | ||||||||||||||||||
Investment advisory fee | 9,074 | 10,924 | 36,305 | 10,952 | 8,975 | ||||||||||||||||||
Variation margin | 4,275 | — | — | — | — | ||||||||||||||||||
Distribution fee | 10,973 | 3,375 | 4,066 | 2,346 | 1,438 | ||||||||||||||||||
Administration fee | 6,136 | 1,779 | 5,390 | 1,322 | 1,735 | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Premium received on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Transfer agent fee | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Accrued expenses and other payables | 66,938 | 23,594 | 35,833 | 42,274 | 21,736 | ||||||||||||||||||
Total Liabilities | 590,050 | 41,832 | 109,354 | 102,016 | 45,816 | ||||||||||||||||||
Net Assets | $ | 85,372,520 | $ | 24,795,225 | $ | 73,911,708 | $ | 18,687,134 | $ | 24,272,000 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 80,711,476 | $ | 53,556,375 | $ | 293,713,384 | $ | 96,856,537 | $ | 44,648,654 | |||||||||||||
Accumulated undistributed net investment income (net investment loss) | 732,828 | (16,436 | ) | (189,123 | ) | (6,085 | ) | (3,796 | ) | ||||||||||||||
Accumulated net realized gain (loss) | (12,777,177 | ) | (25,187,237 | ) | (207,759,928 | ) | (77,767,386 | ) | (14,257,596 | ) | |||||||||||||
Net unrealized appreciation (depreciation) | 16,705,393 | (3,557,477 | ) | (11,852,625 | ) | (395,932 | ) | (6,115,262 | ) | ||||||||||||||
Net Assets | $ | 85,372,520 | $ | 24,795,225 | $ | 73,911,708 | $ | 18,687,134 | $ | 24,272,000 | |||||||||||||
* Cost | $ | 68,064,951 | $ | 27,544,475 | $ | 85,130,876 | $ | 18,533,654 | $ | 29,821,012 | |||||||||||||
** Affiliated Cost | $ | 564,302 | $ | 828,878 | $ | 695,808 | $ | 613,512 | $ | 582,036 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 36,455,419 | $ | 9,638,225 | $ | 55,989,357 | $ | 7,983,318 | $ | 17,802,769 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 2,996,442 | 670,793 | 4,202,069 | 792,016 | 861,008 | ||||||||||||||||||
Net Asset Value Per Share | $ | 12.17 | $ | 14.37 | $ | 13.32 | $ | 10.08 | $ | 20.68 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 48,917,101 | $ | 15,157,000 | $ | 17,922,351 | $ | 10,703,816 | $ | 6,469,231 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 4,068,229 | 1,071,719 | 1,357,955 | 1,085,999 | 318,386 | ||||||||||||||||||
Net Asset Value Per Share | $ | 12.02 | $ | 14.14 | $ | 13.20 | $ | 9.86 | $ | 20.32 |
105
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Operations
For the six months ended June 30, 2009 (unaudited)
Money Market | Flexible Income | Balanced | Global Infrastructure | Dividend Growth | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Interest† | $ | 530,165 | $ | 664,386 | $ | 221,804 | — | — | |||||||||||||||
Interest and dividends from affiliates | — | 8,255 | 6,127 | $ | 701 | $ | 1,144 | ||||||||||||||||
Dividends+ | — | 2,240 | 356,836 | 914,346 | 1,196,832 | ||||||||||||||||||
Total Income | 530,165 | 674,881 | 584,767 | 915,047 | 1,197,976 | ||||||||||||||||||
†Net of foreign withholding tax | — | 1,089 | 18,679 | 91,958 | 32,849 | ||||||||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 462,696 | 47,083 | 99,062 | 89,866 | 241,693 | ||||||||||||||||||
Administration fee | 51,411 | 11,771 | 15,240 | 12,613 | 35,478 | ||||||||||||||||||
Distribution fee (Class Y shares) | 200,818 | 19,155 | 18,982 | 11,547 | 26,471 | ||||||||||||||||||
Mutual fund insurance (Note 10) | 36,479 | — | — | — | — | ||||||||||||||||||
Professional fees | 19,934 | 42,554 | 26,846 | 37,784 | 21,264 | ||||||||||||||||||
Shareholder reports and notices | 14,068 | 10,079 | 7,999 | 56,282 | 18,429 | ||||||||||||||||||
Custodian fees | 4,572 | 11,345 | 2,922 | 22,799 | 3,347 | ||||||||||||||||||
Trustees' fees and expenses | 2,462 | 562 | 611 | 543 | 1,083 | ||||||||||||||||||
Transfer agent fees and expenses | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Other | 7,058 | 16,025 | 12,349 | 7,374 | 6,454 | ||||||||||||||||||
Total Expenses | 799,748 | 158,824 | 184,261 | 239,058 | 354,469 | ||||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 4) | — | (2,236 | ) | (1,521 | ) | (276 | ) | (299 | ) | ||||||||||||||
Less: amounts waived | (292,397 | ) | — | — | — | — | |||||||||||||||||
Net Expenses | 507,351 | 156,588 | 182,740 | 238,782 | 354,170 | ||||||||||||||||||
Net Investment Income (Loss) | 22,814 | 518,293 | 402,027 | 676,265 | 843,806 | ||||||||||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | 2,748 | (3,976,722 | ) | (2,860,853 | ) | (745,496 | ) | (4,853,629 | ) | ||||||||||||||
Investments in affiliates | — | — | — | — | — | ||||||||||||||||||
Futures contracts | — | 177,216 | 24,305 | — | — | ||||||||||||||||||
Options written | — | 45,657 | (10,838 | ) | — | — | |||||||||||||||||
Swap contracts | — | 964,403 | 664,826 | — | — | ||||||||||||||||||
Forward foreign currency transactions | — | 3,877 | — | (46,251 | ) | — | |||||||||||||||||
Foreign exchange transactions | — | (35,883 | ) | (435 | ) | (11,814 | ) | — | |||||||||||||||
Net Realized Gain (Loss) | 2,748 | (2,821,452 | ) | (2,182,995 | ) | (803,561 | ) | (4,853,629 | ) | ||||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | — | 5,694,793 | 2,211,680 | 215,766 | 5,141,488 | ||||||||||||||||||
Investments in affiliates | — | (1,615 | ) | (38,049 | ) | — | — | ||||||||||||||||
Futures contracts | — | 136,046 | 57,764 | — | — | ||||||||||||||||||
Swap contracts | — | (960,698 | ) | (698,552 | ) | — | — | ||||||||||||||||
Options written | — | 30,603 | 12,462 | — | — | ||||||||||||||||||
Forward foreign currency transactions | — | 2,323 | — | (104,038 | ) | — | |||||||||||||||||
Foreign currency transactions | — | 1,495 | (3 | ) | 1,186 | — | |||||||||||||||||
Net Change in Unrealized Appreciation/Depreciation | — | 4,902,947 | 1,545,302 | 112,914 | 5,141,488 | ||||||||||||||||||
Net Gain (Loss) | 2,748 | 2,081,495 | (637,693 | ) | (690,647 | ) | 287,859 | ||||||||||||||||
Net Increase (Decrease) | $ | 25,562 | $ | 2,599,788 | $ | (235,666 | ) | $ | (14,382 | ) | $ | 1,131,665 |
See Notes to Financial Statements
106
Equally- Weigthed S&P 500 | Capital Growth | Focus Growth | Capital Opportunities | Mid Cap Growth | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Interest† | — | — | — | — | — | ||||||||||||||||||
Interest and dividends from affiliates | $ | 5,703 | $ | 2,143 | $ | 3,121 | $ | 1,098 | $ | 1,670 | |||||||||||||
Dividends+ | 903,827 | 101,130 | 271,992 | 85,649 | 93,239 | ||||||||||||||||||
Total Income | 909,530 | 103,273 | 275,113 | 86,747 | 94,909 | ||||||||||||||||||
†Net of foreign withholding tax | 333 | 2,944 | 13,322 | 2,326 | 1,981 | ||||||||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 47,140 | 56,118 | 183,681 | 54,630 | 45,052 | ||||||||||||||||||
Administration fee | 31,427 | 8,979 | 26,963 | 6,523 | 8,582 | ||||||||||||||||||
Distribution fee (Class Y shares) | 55,472 | 16,980 | 19,700 | 11,469 | 6,906 | ||||||||||||||||||
Mutual fund insurance (Note 10) | — | — | — | — | — | ||||||||||||||||||
Professional fees | 21,741 | 18,824 | 18,911 | 20,315 | 17,323 | ||||||||||||||||||
Shareholder reports and notices | 19,429 | 10,743 | 16,966 | 11,234 | 9,768 | ||||||||||||||||||
Custodian fees | 16,467 | 5,005 | 4,910 | 4,503 | 5,110 | ||||||||||||||||||
Trustees' fees and expenses | 1,436 | 356 | 846 | 288 | 336 | ||||||||||||||||||
Transfer agent fees and expenses | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Other | 13,510 | 2,620 | 4,012 | 2,660 | 3,355 | ||||||||||||||||||
Total Expenses | 206,872 | 119,875 | 276,239 | 111,872 | 96,682 | ||||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 4) | (354 | ) | (625 | ) | (1,046 | ) | (343 | ) | (484 | ) | |||||||||||||
Less: amounts waived | — | — | — | — | — | ||||||||||||||||||
Net Expenses | 206,518 | 119,250 | 275,193 | 111,529 | 96,198 | ||||||||||||||||||
Net Investment Income (Loss) | 703,012 | (15,977 | ) | (80 | ) | (24,782 | ) | (1,289 | ) | ||||||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | (8,622,555 | ) | (1,193 | ) | (2,481,391 | ) | (551,806 | ) | (1,122,319 | ) | |||||||||||||
Investments in affiliates | (100,062 | ) | — | — | — | — | |||||||||||||||||
Futures contracts | 97,004 | — | — | — | — | ||||||||||||||||||
Options written | — | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Forward foreign currency transactions | — | 703 | 1,954 | (1,193 | ) | 631 | |||||||||||||||||
Foreign exchange transactions | — | 52 | (326 | ) | 1,996 | (1,441 | ) | ||||||||||||||||
Net Realized Gain (Loss) | (8,625,613 | ) | (438 | ) | (2,479,763 | ) | (551,003 | ) | (1,123,129 | ) | |||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | 16,936,416 | 5,243,596 | 20,365,624 | 4,970,111 | 5,910,801 | ||||||||||||||||||
Investments in affiliates | 189,153 | — | — | — | — | ||||||||||||||||||
Futures contracts | (4,957 | ) | — | — | — | — | |||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Options written | — | — | — | — | — | ||||||||||||||||||
Forward foreign currency transactions | — | — | — | — | — | ||||||||||||||||||
Foreign currency transactions | — | (5 | ) | — | (5 | ) | (5 | ) | |||||||||||||||
Net Change in Unrealized Appreciation/Depreciation | 17,120,612 | 5,243,591 | 20,365,624 | 4,970,106 | 5,910,796 | ||||||||||||||||||
Net Gain (Loss) | 8,494,999 | 5,243,153 | 17,885,861 | 4,419,103 | 4,787,667 | ||||||||||||||||||
Net Increase (Decrease) | $ | 9,198,011 | $ | 5,227,176 | $ | 17,885,781 | $ | 4,394,321 | $ | 4,786,378 |
107
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets
Money Market | Flexible Income | Balanced | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income | $ | 22,814 | $ | 3,480,741 | $ | 518,293 | $ | 2,545,573 | $ | 402,027 | $ | 1,418,795 | |||||||||||||||
Net realized gain (loss) | 2,748 | — | (2,821,452 | ) | (8,437,054 | ) | (2,182,995 | ) | (2,343,300 | ) | |||||||||||||||||
Net change in unrealized appreciation/depreciation | — | — | 4,902,947 | (3,817,917 | ) | 1,545,302 | (13,140,467 | ) | |||||||||||||||||||
Net Increase (Decrease) | 25,562 | 3,480,741 | 2,599,788 | (9,709,398 | ) | (235,666 | ) | (14,064,972 | ) | ||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||
Class X shares | (8,663 | ) | (939,829 | ) | (1,003,665 | ) | (443,828 | ) | (750,282 | ) | (278,395 | ) | |||||||||||||||
Class Y shares | (14,310 | ) | (2,540,820 | ) | (1,132,621 | ) | (467,814 | ) | (437,618 | ) | (167,071 | ) | |||||||||||||||
Net realized gain | |||||||||||||||||||||||||||
Class X shares | — | — | — | — | — | (4,165,125 | ) | ||||||||||||||||||||
Class Y shares | — | — | — | — | — | (2,847,875 | ) | ||||||||||||||||||||
Total Dividends and Distributions | (22,973 | ) | (3,480,649 | ) | (2,136,286 | ) | (911,642 | ) | (1,187,900 | ) | (7,458,466 | ) | |||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (24,942,676 | ) | 93,025,321 | (861,043 | ) | (8,494,169 | ) | (1,694,674 | ) | (6,225,884 | ) | ||||||||||||||||
Total Increase (Decrease) | (24,940,087 | ) | 93,025,413 | (397,541 | ) | (19,115,209 | ) | (3,118,240 | ) | (27,749,322 | ) | ||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 215,785,446 | 122,760,033 | 30,400,809 | 49,516,018 | 42,273,081 | 70,022,403 | |||||||||||||||||||||
End of period | $ | 190,845,359 | $ | 215,785,446 | $ | 30,003,268 | $ | 30,400,809 | $ | 39,154,841 | $ | 42,273,081 | |||||||||||||||
Accumulated Undistributed Net Investment Income | $ | — | $ | 159 | $ | 602,409 | $ | 2,220,402 | $ | 383,064 | $ | 1,168,937 |
See Notes to Financial Statements
108
Global Infrastructure | Dividend Growth | ||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 676,265 | $ | 1,172,078 | $ | 843,806 | $ | 2,398,545 | |||||||||||
Net realized gain (loss) | (803,561 | ) | 10,668,307 | (4,853,629 | ) | (17,850,412 | ) | ||||||||||||
Net change in unrealized appreciation/depreciation | 112,914 | (31,985,020 | ) | 5,141,488 | (50,149,070 | ) | |||||||||||||
Net Increase (Decrease) | (14,382 | ) | (20,144,635 | ) | 1,131,665 | (65,600,937 | ) | ||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X shares | (820,899 | ) | (228,880 | ) | (1,414,595 | ) | (524,657 | ) | |||||||||||
Class Y shares | (310,320 | ) | (83,579 | ) | (386,002 | ) | (137,934 | ) | |||||||||||
Net realized gain | |||||||||||||||||||
Class X shares | — | — | — | — | |||||||||||||||
Class Y shares | — | — | — | — | |||||||||||||||
Total Dividends and Distributions | (1,131,219 | ) | (312,459 | ) | (1,800,597 | ) | (662,591 | ) | |||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (2,563,362 | ) | (9,705,138 | ) | (10,523,455 | ) | (34,650,154 | ) | |||||||||||
Total Increase (Decrease) | (3,708,963 | ) | (30,162,232 | ) | (11,192,387 | ) | (100,913,682 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 37,182,724 | 67,344,956 | 101,783,195 | 202,696,877 | |||||||||||||||
End of period | $ | 33,473,761 | $ | 37,182,724 | $ | 90,590,808 | $ | 101,783,195 | |||||||||||
Accumulated Undistributed Net Investment Income | $ | 616,823 | $ | 1,071,777 | $ | 841,476 | $ | 1,798,267 |
109
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Equally-Weighted S&P 500 | Capital Growth | Focus Growth | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 703,012 | $ | 2,102,001 | $ | (15,977 | ) | $ | (130,399 | ) | $ | (80 | ) | $ | (300,910 | ) | |||||||||||
Net realized loss | (8,625,613 | ) | (135,269 | ) | (438 | ) | (123,439 | ) | (2,479,763 | ) | (5,051,380 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation | 17,120,612 | (64,387,939 | ) | 5,243,591 | (21,420,292 | ) | 20,365,624 | (68,239,875 | ) | ||||||||||||||||||
Net Increase (Decrease) | 9,198,011 | (62,421,207 | ) | 5,227,176 | (21,674,130 | ) | 17,885,781 | (73,592,165 | ) | ||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||
Class X shares | (960,460 | ) | (1,225,564 | ) | — | (52,598 | ) | (70,533 | ) | (378,716 | ) | ||||||||||||||||
Class Y shares | (1,118,274 | ) | (1,332,310 | ) | — | (614 | ) | — | (17,783 | ) | |||||||||||||||||
Net realized gain | |||||||||||||||||||||||||||
Class X shares | (1,537,281 | ) | (13,484,166 | ) | — | — | — | — | |||||||||||||||||||
Class Y shares | (2,093,569 | ) | (17,706,568 | ) | — | — | — | — | |||||||||||||||||||
Total Dividends and Distributions | (5,709,584 | ) | (33,748,608 | ) | — | (53,212 | ) | (70,533 | ) | (396,499 | ) | ||||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (1,377,518 | ) | 1,882,742 | (2,005,279 | ) | (6,205,790 | ) | (6,830,986 | ) | (27,436,195 | ) | ||||||||||||||||
Total Increase (Decrease) | 2,110,909 | (94,287,073 | ) | 3,221,897 | (27,933,132 | ) | 10,984,262 | (101,424,859 | ) | ||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 83,261,611 | 177,548,684 | 21,573,328 | 49,506,460 | 62,927,446 | 164,352,305 | |||||||||||||||||||||
End of period | $ | 85,372,520 | $ | 83,261,611 | $ | 24,795,225 | $ | 21,573,328 | $ | 73,911,708 | $ | 62,927,446 | |||||||||||||||
Accumulated Undistributed Net Investment Income (Net Investment Loss) | $ | 732,828 | $ | 2,108,550 | $ | (16,436 | ) | $ | (459 | ) | $ | (189,123 | ) | $ | (118,510 | ) |
See Notes to Financial Statements
110
Capital Opportunities | Mid Cap Growth | ||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (24,782 | ) | $ | (138,895 | ) | $ | (1,289 | ) | $ | (92,812 | ) | |||||||
Net realized loss | (551,003 | ) | (2,141,345 | ) | (1,123,129 | ) | (1,330,335 | ) | |||||||||||
Net change in unrealized appreciation/depreciation | 4,970,106 | (13,749,028 | ) | 5,910,796 | (20,148,607 | ) | |||||||||||||
Net Increase (Decrease) | 4,394,321 | (16,029,268 | ) | 4,786,378 | (21,571,754 | ) | |||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X shares | — | — | — | (200,849 | ) | ||||||||||||||
Class Y shares | — | — | — | (42,690 | ) | ||||||||||||||
Net realized gain | |||||||||||||||||||
Class X shares | — | — | — | — | |||||||||||||||
Class Y shares | — | — | — | — | |||||||||||||||
Total Dividends and Distributions | — | — | — | (243,539 | ) | ||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (1,022,440 | ) | (4,125,299 | ) | (2,006,213 | ) | (7,549,908 | ) | |||||||||||
Total Increase (Decrease) | 3,371,881 | (20,154,567 | ) | 2,780,165 | (29,365,201 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 15,315,253 | 35,469,820 | 21,491,835 | 50,857,036 | |||||||||||||||
End of period | $ | 18,687,134 | $ | 15,315,253 | $ | 24,272,000 | $ | 21,491,835 | |||||||||||
Accumulated Undistributed Net Investment Income (Net Investment Loss) | $ | (6,085 | ) | $ | 18,697 | $ | (3,796 | ) | $ | (2,507 | ) |
111
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
Money Market | Flexible Income | Balanced | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 21,753,469 | 21,538,342 | 81,122 | 71,029 | 161,039 | 40,927 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 8,663 | 939,829 | 181,167 | 64,680 | 69,989 | 339,971 | |||||||||||||||||||||
Redeemed | (13,959,899 | ) | (18,323,669 | ) | (448,598 | ) | (823,887 | ) | (279,050 | ) | (689,333 | ) | |||||||||||||||
Net increase (decrease) - Class X | 7,802,233 | 4,154,502 | (186,309 | ) | (688,178 | ) | (48,022 | ) | (308,435 | ) | |||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 21,753,469 | $ | 21,538,342 | $ | 455,088 | $ | 403,477 | $ | 1,728,749 | $ | 533,009 | |||||||||||||||
Reinvestment of dividends and distributions | 8,663 | 939,829 | 1,003,665 | 443,828 | 750,282 | 4,443,520 | |||||||||||||||||||||
Redeemed | (13,959,899 | ) | (18,323,669 | ) | (2,529,144 | ) | (5,207,215 | ) | (2,865,086 | ) | (9,409,851 | ) | |||||||||||||||
Net increase (decrease) - Class X | $ | 7,802,233 | $ | 4,154,502 | $ | (1,070,391 | ) | $ | (4,359,910 | ) | $ | (386,055 | ) | $ | (4,433,322 | ) | |||||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 13,920,141 | 139,265,862 | 166,459 | 306,600 | 23,024 | 54,637 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 14,310 | 2,540,820 | 205,557 | 68,448 | 40,975 | 231,801 | |||||||||||||||||||||
Redeemed | (46,679,360 | ) | (52,935,863 | ) | (338,152 | ) | (1,067,817 | ) | (192,845 | ) | (419,750 | ) | |||||||||||||||
Net increase (decrease) - Class Y | (32,744,909 | ) | 88,870,819 | 33,864 | (692,769 | ) | (128,846 | ) | (133,312 | ) | |||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 13,920,141 | $ | 139,265,862 | $ | 927,246 | $ | 1,972,386 | $ | 240,647 | $ | 729,768 | |||||||||||||||
Reinvestment of dividends and distributions | 14,310 | 2,540,820 | 1,132,621 | 467,814 | 437,618 | 3,014,946 | |||||||||||||||||||||
Redeemed | (46,679,360 | ) | (52,935,863 | ) | (1,850,519 | ) | (6,574,459 | ) | (1,986,884 | ) | (5,537,276 | ) | |||||||||||||||
Net increase (decrease) - Class Y | $ | (32,744,909 | ) | $ | 88,870,819 | $ | 209,348 | $ | (4,134,259 | ) | $ | (1,308,619 | ) | $ | (1,792,562 | ) |
See Notes to Financial Statements
112
Global Infrastructure | Dividend Growth | ||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 22,524 | 19,928 | 30,253 | 22,280 | |||||||||||||||
Reinvestment of dividends and distributions | 42,358 | 8,601 | 119,678 | 31,118 | |||||||||||||||
Redeemed | (166,943 | ) | (334,421 | ) | (903,059 | ) | (1,721,581 | ) | |||||||||||
Net increase (decrease) - Class X | (102,061 | ) | (305,892 | ) | (753,128 | ) | (1,668,183 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 406,716 | $ | 505,860 | $ | 338,037 | $ | 258,592 | |||||||||||
Reinvestment of dividends and distributions | 820,899 | 228,880 | 1,414,595 | 524,657 | |||||||||||||||
Redeemed | (2,979,222 | ) | (8,392,248 | ) | (9,840,126 | ) | (26,613,525 | ) | |||||||||||
Net increase (decrease) - Class X | $ | (1,751,607 | ) | $ | (7,657,508 | ) | $ | (8,087,494 | ) | $ | (25,830,276 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 14,287 | 73,907 | 47,194 | 33,846 | |||||||||||||||
Reinvestment of dividends and distributions | 16,029 | 3,143 | 32,712 | 8,191 | |||||||||||||||
Redeemed | (77,800 | ) | (157,444 | ) | (309,587 | ) | (600,343 | ) | |||||||||||
Net increase (decrease) - Class Y | (47,484 | ) | (80,394 | ) | (229,681 | ) | (558,306 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 251,739 | $ | 1,886,951 | $ | 515,678 | $ | 534,770 | |||||||||||
Reinvestment of dividends and distributions | 310,320 | 83,579 | 386,002 | 137,934 | |||||||||||||||
Redeemed | (1,373,814 | ) | (4,018,160 | ) | (3,337,641 | ) | (9,492,582 | ) | |||||||||||
Net increase (decrease) - Class Y | $ | (811,755 | ) | $ | (2,047,630 | ) | $ | (2,435,961 | ) | $ | (8,819,878 | ) |
113
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
Equally Weighted S&P 500 | Capital Growth | Focus Growth | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 47,970 | 45,914 | 18,424 | 15,330 | 16,598 | 13,579 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 205,237 | 854,720 | — | 2,641 | 5,295 | 19,481 | |||||||||||||||||||||
Redeemed | (428,336 | ) | (791,695 | ) | (107,025 | ) | (244,005 | ) | (573,652 | ) | (1,220,491 | ) | |||||||||||||||
Net increase (decrease) - Class X | (175,129 | ) | 108,939 | (88,601 | ) | (226,034 | ) | (551,759 | ) | (1,187,431 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 555,461 | $ | 626,399 | $ | 249,869 | $ | 237,995 | $ | 201,066 | $ | 209,355 | |||||||||||||||
Reinvestment of dividends and distributions | 2,497,741 | 14,709,730 | — | 52,598 | 70,533 | 378,716 | |||||||||||||||||||||
Redeemed | (4,921,477 | ) | (14,439,208 | ) | (1,336,192 | ) | (4,302,340 | ) | (6,610,339 | ) | (20,577,432 | ) | |||||||||||||||
Net increase (decrease) - Class X | $ | (1,868,275 | ) | $ | 896,921 | $ | (1,086,323 | ) | $ | (4,011,747 | ) | $ | (6,338,740 | ) | $ | (19,989,361 | ) | ||||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 126,399 | 96,471 | 83,032 | 185,940 | 88,968 | 59,759 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 267,208 | 1,119,934 | — | 32 | — | 922 | |||||||||||||||||||||
Redeemed | (381,284 | ) | (1,142,802 | ) | (169,071 | ) | (293,052 | ) | (130,355 | ) | (498,859 | ) | |||||||||||||||
Net increase (decrease) - Class Y | 12,323 | 73,603 | (86,039 | ) | (107,080 | ) | (41,387 | ) | (438,178 | ) | |||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 1,424,701 | $ | 1,754,862 | $ | 1,123,769 | $ | 2,868,438 | $ | 991,310 | $ | 1,067,781 | |||||||||||||||
Reinvestment of dividends and distributions | 3,211,843 | 19,038,878 | — | 614 | — | 17,783 | |||||||||||||||||||||
Redeemed | (4,145,787 | ) | (19,807,919 | ) | (2,042,725 | ) | (5,063,095 | ) | (1,483,556 | ) | (8,532,398 | ) | |||||||||||||||
Net increase (decrease) - Class Y | $ | 490,757 | $ | 985,821 | $ | (918,956 | ) | $ | (2,194,043 | ) | $ | (492,246 | ) | $ | (7,446,834 | ) |
See Notes to Financial Statements
114
Capital Opportunities | Mid Cap Growth | ||||||||||||||||||
For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | For The Six Months Ended June 30, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 16,003 | 22,242 | 6,773 | 11,659 | |||||||||||||||
Reinvestment of dividends and distributions | — | — | — | 6,957 | |||||||||||||||
Redeemed | (102,089 | ) | (279,009 | ) | (110,300 | ) | (236,726 | ) | |||||||||||
Net increase (decrease) - Class X | (86,086 | ) | (256,767 | ) | (103,527 | ) | (218,110 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 149,925 | $ | 247,289 | $ | 133,112 | $ | 282,887 | |||||||||||
Reinvestment of dividends and distributions | — | — | — | 200,849 | |||||||||||||||
Redeemed | (877,532 | ) | (3,438,512 | ) | (1,909,924 | ) | (6,229,858 | ) | |||||||||||
Net increase (decrease) - Class X | $ | (727,607 | ) | $ | (3,191,223 | ) | $ | (1,776,812 | ) | $ | (5,746,122 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 105,154 | 234,377 | 18,859 | 31,369 | |||||||||||||||
Reinvestment of dividends and distributions | — | — | — | 1,501 | |||||||||||||||
Redeemed | (159,085 | ) | (335,799 | ) | (35,094 | ) | (102,005 | ) | |||||||||||
Net increase (decrease) - Class Y | (53,931 | ) | (101,422 | ) | (16,235 | ) | (69,135 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 994,793 | $ | 2,941,000 | $ | 353,431 | $ | 816,596 | |||||||||||
Reinvestment of dividends and distributions | — | — | — | 42,690 | |||||||||||||||
Redeemed | (1,289,626 | ) | (3,875,076 | ) | (582,832 | ) | (2,663,072 | ) | |||||||||||
Net increase (decrease) - Class Y | $ | (294,833 | ) | $ | (934,076 | ) | $ | (229,401 | ) | $ | (1,803,786 | ) |
115
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited)
1. Organization and Accounting Policies
Morgan Stanley Select Dimensions Investment Series (the "Fund") is registered under the Investment Company Act of 1940 as amended (the "Act"), as a diversified (except Focus Growth is non-diversified, effective August 8, 2007), open-end management investment company. The Fund is offered exclusively to life insurance companies in connection with particular life insurance and/or annuity contracts they offer. The Fund, which consists of 10 separate portfolios ("Portfolios"), was organized on June 2, 1994, as a Massachusetts business trust and commenced operations on November 9, 1994, with the exception of Capital Opportunities which commenced operations on January 21, 1997.
On July 24, 2000, the Fund commenced offering one additional class of shares (Class Y shares). The two classes are identical except that Class Y shares incur distribution expenses. Class X shares are generally available to holders of contracts offered before May 1, 2000. Class Y shares are available to holders of contracts offered on or after July 24, 2000.
The investment objectives of each Portfolio are as follows:
PORTFOLIO | INVESTMENT OBJECTIVE | ||||||
Money Market | Seeks high current income, preservation of capital and Liquidity. | ||||||
Flexible Income | Seeks, as a primary objective, to earn a high level of current income and, as a secondary objective, to maximize total return, but only to the extent consistent with its primary objective. | ||||||
Balanced | Seeks to provide capital growth with reasonable current income. | ||||||
Global Infrastructure | Seeks both capital appreciation and current income. | ||||||
Dividend Growth | Seeks to provide reasonable current income and long-term growth of income and capital. | ||||||
Equally-Weighted S&P 500 | Seeks to achieve a high level of total return on its assets through a combination of capital appreciation and current income. | ||||||
Capital Growth | Seeks long-term capital growth. | ||||||
Focus Growth | Seeks long-term capital growth. | ||||||
Capital Opportunities | Seeks long-term capital growth. | ||||||
Mid-Cap Growth | Seeks long-term capital growth. | ||||||
The following is a summary of significant accounting policies:
A. Valuation of Investments — Money Market: securities are valued at amortized cost which approximates market value, in accordance with rule 2a-7 of the Investment Company Act of 1940. All remaining Portfolios: (1) an equity portfolio security listed or traded on the New York Stock Exchange
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Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
("NYSE") or American Stock Exchange or other exchange is valued at its latest sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (3) all other portfolio securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked price. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular da y; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) credit default/interest rate/asset swaps are marked-to-market daily based upon quotations from market makers; (7) listed/written options are valued at the latest sale price on the exchange on which they are listed unless no sale of such options have taken place that day, in which case they are valued at the mean between their latest bid and asked price; (8) when market quotations are not readily available including circumstances under which Morgan Stanley Investment Advisors Inc. (the "Investment Adviser") or Morgan Stanley Investment Management Limited (the "Sub-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 asked price do not reflect a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general s upervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund's Trustees or by the Investment Adviser using a pricing service and/or procedures approved by the Trustees of the Fund; (9) certain portfolio securities may be valued by an outside pricing service approved by the Fund's Trustees; (10) investments in open-end 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 (11) short-term debt securities hav ing 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 market value.
117
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
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 except certain dividends on foreign securities which are recorded as soon as the Fund is informed after the ex-dividend date. Interest income is accrued daily except where collection is not expected. The Fund amortizes premiums and accretes discounts over the life of the respective securities.
C. Repurchase Agreements — The Fund may invest directly with institutions in repurchase agreements. The Fund's custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest as earned. If such a decrease occurs, additional collateral will be requested and, when received, will be added to the account to maintain full collateralization.
D. Multiple Class Allocations — Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class.
E. Futures Contracts — A futures contract is an agreement between two parties to buy and sell financial instruments or contracts based on financial indices at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker cash, U.S. government securities or other liquid portfolio securities equal to the minimum initial margin requirements of the applicable futures exchange. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract which is known as variation margin. Such receipts or payments are recorded by the Fund as unrealized gains or losses. Upon closing of the contract, the Fund realizes a gain or loss equal to the difference between the value of the contract at the time it was opened and the val ue at the time it was closed.
F. Swaps — The Fund may enter into credit default swap contracts, a type of credit derivative, for hedging purposes or to gain exposure to a credit or index of credits in which the Fund may otherwise invest. A credit default swap is an agreement between two parties to exchange the credit risk of an issuer or index of issuers. A buyer of a credit default swap is said to buy protection by paying periodic fees in return for a contingent payment from the seller if the issuer has a credit event such as bankruptcy, a failure to pay outstanding obligations or deteriorating credit while the swap is outstanding. A seller of a credit default swap is said to sell protection and thus collects the periodic fees and profits if the credit of the issuer remains stable or improves while the swap is outstanding. The seller in a credit default swap contract would b e required to pay an agreed
118
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
upon amount, to the buyer in the event of an adverse credit event of the issuer. This agreed-upon amount approximates the notional amount of the swap as disclosed in the table following the Portfolio of Investments and is estimated to be the maximum potential future payment that the seller could be required to make under the credit default swap contract. In the event of an adverse credit event, the seller generally does not have any contractual remedies against the issuer or any other third party. However, if a physical settlement is elected, the seller would receive the defaulted credit and, as a result, become a creditor of the issuer.
The current credit rating of each individual issuer is listed in the table following the Portfolio of Investments and serves as indicator of the current status of the payment/performance risk of the credit derivative. Alternatively, for credit default swaps on an index of credits, the quoted market prices and current values serve as an indicator of the current status of the payment/performance risk of the credit derivative. Generally, lower credit ratings and increasing market values, in absolute terms, represent a deterioration of the credit and a greater likelihood of an adverse credit event of the issuer.
The Fund accrues for the periodic fees on credit default swaps on a daily basis with the net amount accrued recorded within realized gains/losses on swap contracts on the Statements of Operations. Net unrealized gains are recorded as an asset or net unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in value of the swap contracts is reported as unrealized gains or losses on the Statements of Operations. Payments received or made upon entering into a credit default swap contract, if any, are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. Credit default swaps may involve greater risks than if a Fund had invested in the issuer directly. Credit default swaps are subject to general market risk, counterparty risk and credit risk.
The Fund may also enter into interest rate swaps and asset swaps (where parties combine the purchase or sale of a bond/note with an interest rate swap) ("swaps") primarily to preserve a return or spread on a particular investment or portion of its portfolio, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Swaps are contractual agreements to exchange periodic interest payment streams calculated on a predetermined notional principal amount. Swaps generally involve one party paying a fixed interest rate and the other party paying a variable rate. The Fund will usually enter into swaps on a net basis, i.e, the two payment streams are netted out in a cash settlement on the payment date or date specified in the instrument, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. The Fund accrues the net amount with respect to each swap on a daily basis. This net amount is recorded within realized gains/losses on swap contracts on
119
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
the Statements of Operations. Risk may arise as a result of the potential inability of the counterparties to meet the terms of the contracts.
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 the risk of default or non-performance by the counterparty. If there is a default by the counterparty to a swap agreement, the Fund will have contractual remedies pursuant to the agreements related to the transaction. Counterparties are required to pledge collateral daily (based on the valuation of each swap) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain. Reciprocally, when the Fund has an unrealized loss on a swap contract, 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. For cash collateral received, the Fund pays a mon thly fee to the counterparty based on the effective rate for Federal Funds.
G. Options — When the Fund writes a call or put option, an amount equal to the premium received is included in the Fund's Statements of Assets and Liabilities as a liability which is subsequently marked-to-market to reflect the current market value of the option written. If a written option either expires or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security or currency and the liability related to such option is extinguished. If a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security or currency and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the secu rity, which the Fund purchases upon exercise of the option. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price, should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current market price.
When the Fund purchases a call or put option, the premium paid is recorded as an investment which is subsequently marked-to-market to reflect the current market value. If a purchased option expires, the Fund will realize a loss to the extent of the premium paid. If the Fund enters into a closing sale transaction, a gain or loss is realized for the difference between the proceeds from the sale and the cost of the option. If a put option is exercised, the cost of the security or currency sold upon exercise will be increased by the premium originally paid. If a call option is exercised, the cost of the security purchased upon exercise will be increased
120
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
by the premium originally paid. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
H. Treasury Inflation-Protected Securities — The Fund may invest in Treasury Inflation-Protected Securities ("TIPS"), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Fund's distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
I. Foreign Currency Translation and Forward Foreign Currency Contracts — 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 forward foreign currency contracts ("forward 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 exchange transactions. 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. Forward contracts are valued daily at the appropriate exchange rates. The resultant unrealized exchange gains and losses are recorded as unrealized foreign currency gains or losses. The Fund records realized gains or losses on delivery of the currency or at the time the forward contract is extinguished (compensated) by entering into a closing transaction prior to delivery.
J. Federal Income Tax Policy — It is the Fund's policy to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. The Fund files tax returns with the U.S. Internal Revenue Service, New York State and New York City. The Fund follows the provisions of the Financial Accounting Standards Board ("FASB") Interpretation No. 48 ("FIN 48") Accounting for Uncertainty in Income Taxes. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be t aken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. If applicable, the Fund recognizes
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interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Operations. Each of the tax years in the four-year period ended December 31, 2008, remains subject to examination by taxing authorities.
K. Dividends and Distributions to Shareholders — The Fund records dividends and distributions to its shareholders on the ex-dividend date.
L. Expenses — Direct expenses are charged to the respective Portfolio and general Fund expenses are allocated on the basis of relative net assets or equally among the Portfolios.
M. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
N. Subsequent Events — The Fund considers events or transactions that occur after the date of the statement of assets and liabilities but before the financial statements are issued to provide additional evidence relative to certain estimates or to identify matters that require additional disclosure. Subsequent events have been evaluated through August 26, 2009, the date of issuance of these financial statements.
2. Investment Advisory/Administration and Sub-Advisory Agreements
Pursuant to an Investment Advisory Agreement with the Investment Adviser, the Fund pays an advisory fee, accrued daily and payable monthly, by applying the annual rates listed below to each Portfolio's net assets determined at the close of each business day.
Money Market — 0.45% to the portion of the daily net assets not exceeding $250 million; 0.375% to the portion of the daily net assets exceeding $250 million but not exceeding $750 million; 0.325% to the portion of the daily net assets exceeding $750 million but not exceeding $1.25 billion; 0.30% to the portion of the daily net assets exceeding $1.25 billion but not exceeding $1.5 billion and 0.275% to the portion of the daily net assets in excess of $1.5 billion.
Flexible Income — 0.32%.
Balanced — 0.52% to the portion of the daily net assets not exceeding $500 million and 0.495% to the portion of the daily net assets in excess of $500 million.
Global Infrastructure — 0.57% to the portion of the daily net assets not exceeding $500 million; 0.47% to the portion of the daily net assets exceeding $500 million but not exceeding $1 billion; 0.445% to the portion
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of the daily net assets exceeding $1 billion but not exceeding $1.5 billion; 0.42% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $2.5 billion; 0.395% to the portion of the daily net assets exceeding $2.5 billion but not exceeding $3.5 billion; 0.37% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $5 billion and 0. 345% to the portion of the daily net assets in excess of $5 billion.
Under the Sub-Advisory Agreement between the Investment Adviser and the Sub-Adviser, the Sub-Adviser provides Global Infrastructure with investment advisory services, subject to the overall supervision of the Investment Adviser and the Fund's Officers and Trustees. The Investment Adviser pays the Sub-Adviser on a monthly basis a portion of the net advisory fees the Investment Adviser receives from the Portfolio.
Dividend Growth — 0.545% to the portion of the daily net assets not exceeding $250 million; 0.42% to the portion of the daily net assets exceeding $250 million but not exceeding $1 billion; 0.395% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion and 0.37% to the portion of the daily net assets in excess of $2 billion.
Equally-Weighted S&P 500 — 0.12% to the portion of the daily net assets not exceeding $2 billion and 0.10% to the portion of the daily net assets in excess of $2 billion.
Capital Growth — 0.50% to the portion of the daily net assets not exceeding $1 billion; 0.45% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion; 0.40% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion and 0.35% to the portion of the daily net assets in excess of $3 billion.
Focus Growth — 0.545% to the portion of the daily net assets not exceeding $250 million; 0.42% to the portion of the daily net assets exceeding $250 million but not exceeding $2.5 billion; 0.395% to the portion of the daily net assets exceeding $2.5 billion but not exceeding $3.5 billion; 0.37% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $4.5 billion and 0.345% to the portion of the daily net assets in excess of $4.5 billion.
Capital Opportunities — 0.67% to the portion of the daily net assets not exceeding $500 million; 0.645% to the portion of the daily net assets exceeding $500 million but not exceeding $2 billion; 0.62% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion and 0.595% to the portion of the daily net assets in excess of $3 billion.
Mid Cap Growth — 0.42% to the portion of the daily net assets not exceeding $500 million and 0.395% to the portion of the daily net assets in excess of $500 million.
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Pursuant to an Administration Agreement with Morgan Stanley Services Company Inc. (the "Administrator"), an affiliate of the Investment Adviser, each Portfolio pays an administration fee, accrued daily and payable monthly, by applying the annual rate of 0.08% (Money Market 0.05%) to each Portfolio's daily net assets.
Under an agreement between the Administrator and State Street Bank and Trust Company ("State Street"), State Street provides certain administrative services to the Fund. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Fund.
3. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Adviser and Administrator. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. Under the Plan, Class Y shares of each Portfolio bear a distribution fee, which is accrued daily and paid monthly at the annual rate of 0.25% of the average daily net assets of the class.
The Distributor, Investment Adviser and Administrator have voluntarily agreed to waive all or a portion of the Money Market Portfolio's distribution fee, investment advisory fee and administration fee, respectively, to the extent that total expenses exceed total income of the Money Market Portfolio on a daily basis. For the six months ended June 30, 2009, the Distributor waived $183,171 and the Investment Adviser waived $109,226. This waiver may be terminated at any time.
4. Security Transactions and Transactions with Affiliates
Each Portfolio (except Money Market) may invest in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class, an open-end management investment company managed by an affiliate of the Investment Adviser. Investment advisory fees paid by the Portfolio are reduced by an amount equal to the advisory and administrative service fees paid by Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class with respect to assets invested by the Portfolio in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class. For the six months ended June 30, 2009, the tables below identifies, for each Portfolio that invested in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class, the investment advisory fee reduction and the income distributions earned, if any, by each Portf olio for that Portfolio's investment in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class. Income distributions are recorded as "dividends from affiliates" in the Statements of Operations.
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PORTFOLIO | INCOME DISTRIBUTION EARNED | ADVISORY FEE REDUCTION | |||||||||
Flexible Income | $ | 7,664 | $ | 2,236 | |||||||
Balanced | 5,246 | 1,521 | |||||||||
Global Infrastructure | 701 | 276 | |||||||||
Dividend Growth | 1,144 | 299 | |||||||||
Equally-Weighted S&P 500 | 997 | 354 | |||||||||
Capital Growth | 2,143 | 625 | |||||||||
Focus Growth | 3,121 | 1,046 | |||||||||
Capital Opportunities | 1,098 | 343 | |||||||||
Mid Cap Growth | 1,670 | 484 |
During the six months ended June 30, 2009, each Portfolio's cost of purchases and proceeds from sales of investments in Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class were as follows:
PORTFOLIO | PURCHASES | SALES | |||||||||
Flexible Income | $ | 11,956,279 | $ | 15,626,864 | |||||||
Balanced | 6,952,054 | 9,159,930 | |||||||||
Global Infrastructure | 12,908,451 | 13,273,437 | |||||||||
Dividend Growth | 9,215,451 | 9,607,933 | |||||||||
Equally-Weighted S&P500 | 7,176,632 | 6,806,748 | |||||||||
Capital Growth | 2,745,117 | 3,318,939 | |||||||||
Focus Growth | 7,277,186 | 8,561,855 | |||||||||
Capital Opportunities | 2,734,013 | 2,846,063 | |||||||||
Mid Cap Growth | 1,998,007 | 2,792,321 |
Purchases and sales/maturities/prepayments of portfolio securities, excluding short-term investments (except for the Money Market Portfolio), for the six months ended June 30, 2009 were as follows:
U.S. GOVERNMENT SECURITIES | OTHER | ||||||||||||||||||
PURCHASES | SALES/PREPAYMENTS MATURITIES | PURCHASES | SALES/PREPAYMENTS MATURITIES | ||||||||||||||||
Money Market | — | — | $ | 12,092,055,914 | $ | 12,116,951,918 | |||||||||||||
Flexible Income | $ | 23,508,114 | $ | 22,585,891 | 8,452,575 | 8,504,777 | |||||||||||||
Balanced | 6,122,489 | 6,104,066 | 7,934,495 | 8,539,600 | |||||||||||||||
Global Infrastructure | — | — | 40,707,658 | 43,271,545 | |||||||||||||||
Dividend Growth | — | — | 14,368,303 | 24,680,639 | |||||||||||||||
Equally-Weighted S&P 500 | — | — | 16,426,964 | 22,956,911 | |||||||||||||||
Capital Growth | — | — | 1,336,413 | 2,724,500 | |||||||||||||||
Focus Growth | — | — | 4,438,933 | 9,981,521 | |||||||||||||||
Capital Opportunities | — | — | 1,498,482 | 2,404,812 | |||||||||||||||
Mid Cap Growth | — | — | 2,372,001 | 3,553,363 |
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Equally-Weighted S&P 500 had transactions in Morgan Stanley common stock, an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor:
PURCHASES | SALES | NET REALIZED LOSS | INCOME | VALUE | |||||||||||||||
$ | 18,343 | $ | 108,597 | $ | (42,641 | ) | $ | 3,136 | $ | 163,334 |
Equally-Weighted S&P 500 had transactions in Hartford Financial Services Group, Inc., an affiliate of the Fund:
PURCHASES | SALES | NET REALIZED LOSS | INCOME | VALUE | |||||||||||||||
$ | 75,460 | $ | 67,141 | $ | (57,421 | ) | $ | 1,348 | $ | 155,651 |
Balanced had transactions in Mitsubishi UFJ Financial Group, Inc., an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor:
PURCHASES | SALES | NET REALIZED GAIN (LOSS) | INCOME | VALUE | |||||||||||||||
— | — | — | $ | 412 | $ | 53,651 |
For the period June 1, 2009 through June 30, 2009, the following Portfolios had transactions in Citigroup Inc., an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor:
PORTFOLIO | PURCHASES | SALES | NET REALIZED GAIN (LOSS) | INCOME | VALUE | ||||||||||||||||||
Flexible Income | — | — | — | $ | 591 | $ | 81,514 | ||||||||||||||||
Balanced | — | — | — | 462 | 77,325 | ||||||||||||||||||
Equally-Weighted S&P 500 | $ | 76,715 | — | — | 222 | 151,719 |
The following Portfolios had transactions with other Morgan Stanley funds during the six months ended June 30, 2009:
PORTFOLIO | PURCHASES | SALES | NET REALIZED LOSS | ||||||||||||
Focus Growth | $ | 240,800 | $ | 22,224 | $ | (121,179 | ) | ||||||||
Capital Opportunities | 37,858 | 32,560 | (27,498 | ) | |||||||||||
Mid Cap Growth | — | 16,771 | (47,323 | ) |
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For the six months ended June 30, 2009, the following Portfolios incurred brokerage commissions with Morgan Stanley & Co., Inc., an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor, for portfolio transactions executed on behalf of the Portfolio:
BALANCED | DIVIDEND GROWTH | CAPITAL OPPORTUNITIES | MID CAP GROWTH | FOCUS GROWTH | |||||||||||||||
$ | 1,033 | $ | 284 | $ | 555 | $ | 31 | $ | 821 |
For the period June 1, 2009 to June 30, 2009, the following Portfolios incurred brokerage commissions with Citigroup Inc., an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor, for portfolio transactions executed on behalf of the Portfolio:
GLOBAL INFRASTRUCTURE | MID CAP GROWTH | ||||||
$ | 24 | $ | 338 |
Morgan Stanley Trust, an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor, is the Fund's transfer agent.
5. Purposes of and Risks Relating to Certain Financial Instruments
Certain Portfolios may invest in mortgage securities, including securities issued by Federal National Mortgage Assoc. ("FNMA") and Federal Home Loan Mortgage Corp. ("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 Portfolio. 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 Portfolios are not backed by subprime borrowers.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency ("FHFA") was appointed as conservator of FNMA and FHLMC. In addition, 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.
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6. Federal Income Tax Status
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed net investment income and net realized capital gains for tax purposes are reported as distributions of paid-in-capital.
As of December 31, 2008, the following Portfolios had a net capital loss carryforward which may be used to offset future capital gains to the extent provided by regulations:
(AMOUNTS IN THOUSANDS) | |||||||||||||||||||||||||||||||||||
AVAILABLE THROUGH DECEMBER 31, | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2016 | TOTAL | |||||||||||||||||||||||||||
Flexible Income | $ | 2,688 | $ | 6,782 | $ | 6,161 | $ | 1,199 | $ | 562 | $ | 939 | $ | 4,701 | $ | 23,032 | |||||||||||||||||||
Balanced | — | — | — | — | — | — | 1,122 | 1,122 | |||||||||||||||||||||||||||
Global Infrastructure | — | 977 | — | — | — | — | — | 977 | |||||||||||||||||||||||||||
Dividend Growth | — | 37,657 | 21,222 | — | — | — | 7,831 | 66,710 | |||||||||||||||||||||||||||
Capital Growth | 5,305 | 16,400 | 3,145 | 60 | — | — | — | 24,910 | |||||||||||||||||||||||||||
Focus Growth | 122,700 | 74,785 | — | — | — | — | 4,819 | 202,304 | |||||||||||||||||||||||||||
Capital Opportunities | 17,415 | 57,567 | — | — | — | — | 1,921 | 76,903 | |||||||||||||||||||||||||||
Mid Cap Growth | — | 10,928 | — | — | — | — | — | 10,928 |
At December 31, 2008, the primary reason(s) for significant temporary book/tax differences were as follows:
TEMPORARY DIFFERENCES | |||||||||||
POST- OCTOBER LOSSES | LOSS DEFERRALS FROM WASH SALES | ||||||||||
Flexible Income | • | • | |||||||||
Balanced | • | ||||||||||
Global Infrastructure | • | ||||||||||
Dividend Growth | • | • | |||||||||
Equally-Weighted S&P 500 | • | ||||||||||
Capital Growth | • | • | |||||||||
Focus Growth | • | ||||||||||
Capital Opportunities | • | • | |||||||||
Mid Cap Growth | • | • |
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Additionally, the following Portfolios had other temporary differences: Flexible Income — interest on bonds in default and capital loss deferrals on straddles; Flexible Income, Balanced, Global Infrastructure and Equally-Weighted S&P 500 — gain/loss from the mark-to-market of futures, options and/or forward foreign currency exchange contracts; Equally-Weighted S&P 500 — tax adjustments on real estate investment trusts (REITs) held by the Portfolio.
7. Fair Valuation Measurements
The Fund adopted FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), effective January 1, 2008. In accordance with SFAS 157, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below.
• Level 1 — unadjusted quoted prices in active markets for identical investments
• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
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.
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The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund's investments carried at value:
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Money Market | |||||||||||||||||||
Short-Term Investments | |||||||||||||||||||
Commercial Paper | $ | 81,468,694 | — | $ | 81,468,694 | — | |||||||||||||
Repurchase Agreements | 57,771,000 | — | 57,771,000 | — | |||||||||||||||
Floating Rate Notes — Corporate | 12,000,000 | — | 12,000,000 | — | |||||||||||||||
Floating Rate Notes — U.S. Government Agencies | 14,992,695 | — | 14,992,695 | — | |||||||||||||||
Certificates of Deposit | 14,000,003 | — | 14,000,003 | — | |||||||||||||||
Time Deposits | 11,000,000 | — | 11,000,000 | — | |||||||||||||||
Total | $ | 191,232,392 | — | $ | 191,232,392 | — | |||||||||||||
Flexible Income | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Casino/Gaming | $ | 0 | — | — | 0 | ||||||||||||||
Electric Utilities | 139 | $ | 139 | — | — | ||||||||||||||
Food: Specialty/Candy | 0 | — | — | 0 | |||||||||||||||
Specialty Telecommunications | 45 | — | $ | 33 | $ | 12 | |||||||||||||
Textiles | 0 | — | 0 | — | |||||||||||||||
Wireless Telecommunications | 587 | 587 | — | — | |||||||||||||||
Total Common Stocks | 771 | 726 | 33 | 12 | |||||||||||||||
Warrants | |||||||||||||||||||
Casino/Gaming | 0 | — | 0 | — | |||||||||||||||
Specialty Telecommunications | 5 | — | 5 | — | |||||||||||||||
Total Warrants | 5 | — | 5 | — | |||||||||||||||
Preferred Stocks Finance/Rental/Leasing | 35,270 | — | 35,270 | — | |||||||||||||||
Asset-Backed Securities | 146,585 | — | 146,585 | — | |||||||||||||||
Collateralized Mortgage Obligations Private Issues | 38,125 | — | 37,070 | 1,055 | |||||||||||||||
U.S. Government Agency | 57,683 | — | 57,683 | — | |||||||||||||||
Corporate Bonds | 16,614,199 | — | 16,614,199 | — |
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Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Foreign Government Agencies & Obligations | $ | 2,016,870 | — | $ | 2,016,870 | — | |||||||||||||
Mortgage-Backed Securities | 2,462,160 | — | 2,462,160 | — | |||||||||||||||
Municipal Bonds | 115,612 | — | 115,612 | — | |||||||||||||||
U.S. Government Agencies & Obligations | 6,649,780 | — | 6,649,780 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 2,806,368 | $ | 2,806,368 | — | — | ||||||||||||||
U.S. Government Obligation | 369,628 | — | 369,628 | — | |||||||||||||||
Total Short-Term Investments | 3,175,996 | 2,806,368 | 369,628 | — | |||||||||||||||
Credit Default Swaps | 61,848 | — | 61,848 | — | |||||||||||||||
Futures | 7,480 | 7,480 | — | — | |||||||||||||||
Interest Rate Swaps | 14,377 | — | 14,377 | — | |||||||||||||||
Options | 5,500 | 5,500 | — | — | |||||||||||||||
Total Assets | $ | 31,402,261 | $ | 2,820,074 | $ | 28,581,120 | $ | 1,067 | |||||||||||
Liabilities | |||||||||||||||||||
Credit Default Swaps | $ | (9,771 | ) | — | $ | (9,771 | ) | — | |||||||||||
Futures | (40,201 | ) | $ | (40,201 | ) | — | — | ||||||||||||
Interest Rate Swaps | (144,767 | ) | — | (144,767 | ) | — | |||||||||||||
Options | (281 | ) | (281 | ) | — | — | |||||||||||||
Total Liabilities | $ | (195,020 | ) | $ | (40,482 | ) | $ | (154,538 | ) | — | |||||||||
Balanced | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 344,453 | $ | 344,453 | — | — | |||||||||||||
Apparel/Footwear Retail | 173,840 | 173,840 | — | — | |||||||||||||||
Auto Parts: OEM | 189,882 | 189,882 | — | — | |||||||||||||||
Beverages: Non-Alcoholic | 206,837 | 206,837 | — | — | |||||||||||||||
Cable/Satellite TV | 759,243 | 759,243 | — | — | |||||||||||||||
Chemicals: Major Diversified | 405,216 | 405,216 | — | — | |||||||||||||||
Computer Communications | 463,577 | 463,577 | — | — | |||||||||||||||
Computer Peripherals | 86,460 | 86,460 | — | — | |||||||||||||||
Computer Processing Hardware | 512,499 | 512,499 | — | — | |||||||||||||||
Department Stores | 239,904 | 239,904 | — | — | |||||||||||||||
Discount Stores | 101,724 | 101,724 | — | — | |||||||||||||||
Drugstore Chains | 276,360 | 276,360 | — | — |
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Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Electric Utilities | $ | 1,243,891 | $ | 1,243,891 | — | — | |||||||||||||
Electronic Equipment/Instruments | 316,836 | 316,836 | — | — | |||||||||||||||
Electronic Production Equipment | 457,131 | 457,131 | — | — | |||||||||||||||
Electronics/Appliances | 413,760 | 413,760 | — | — | |||||||||||||||
Financial Conglomerates | 1,617,105 | 1,617,105 | — | — | |||||||||||||||
Food: Major Diversified | 581,045 | 581,045 | — | — | |||||||||||||||
Food: Specialty/Candy | 701,732 | 701,732 | — | — | |||||||||||||||
Home Improvement Chains | 618,681 | 618,681 | — | — | |||||||||||||||
Household/Personal Care | 319,513 | 319,513 | — | — | |||||||||||||||
Industrial Conglomerates | 1,342,695 | 1,342,695 | — | — | |||||||||||||||
Insurance Brokers/Services | 962,818 | 962,818 | — | — | |||||||||||||||
Integrated Oil | 1,847,102 | 1,847,102 | — | — | |||||||||||||||
Investment Banks/Brokers | 408,542 | 408,542 | — | — | |||||||||||||||
Investment Managers | 66,080 | 66,080 | — | — | |||||||||||||||
Major Banks | 1,111,881 | 1,014,829 | $ | 97,052 | — | ||||||||||||||
Major Telecommunications | 704,639 | 704,639 | — | — | |||||||||||||||
Media Conglomerates | 1,442,099 | 1,442,099 | — | — | |||||||||||||||
Medical Distributors | 207,740 | 207,740 | — | — | |||||||||||||||
Medical Specialties | 712,831 | 712,831 | — | — | |||||||||||||||
Miscellaneous Manufacturing | 228,321 | 228,321 | — | — | |||||||||||||||
Motor Vehicles | 139,438 | 139,438 | — | — | |||||||||||||||
Oil & Gas Production | 1,584,657 | 1,584,657 | — | — | |||||||||||||||
Oilfield Services/Equipment | 417,917 | 417,917 | — | — | |||||||||||||||
Other Consumer Services | 673,209 | 673,209 | — | — | |||||||||||||||
Packaged Software | 77,115 | 77,115 | — | — | |||||||||||||||
Personnel Services | 368,630 | 368,630 | — | — | |||||||||||||||
Pharmaceuticals: Major | 1,785,343 | 1,785,343 | — | — | |||||||||||||||
Precious Metals | 651,805 | 651,805 | — | — | |||||||||||||||
Property/Casualty Insurers | 1,037,013 | 1,037,013 | — | — | |||||||||||||||
Regional Banks | 59,728 | 59,728 | — | — | |||||||||||||||
Restaurants | 247,242 | 247,242 | — | — | |||||||||||||||
Semiconductors | 328,004 | 328,004 | — | — | |||||||||||||||
Tobacco | 143,073 | 143,073 | — | — | |||||||||||||||
Total Common Stocks | 26,577,611 | 26,480,559 | 97,052 | — | |||||||||||||||
Asset-Backed Securities | 38,945 | — | 38,945 | — | |||||||||||||||
Corporate Bonds | 4,665,613 | — | 4,665,613 | — |
132
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Foreign Government Bonds | $ | 147,626 | — | $ | 147,626 | — | |||||||||||||
Mortgage-Backed Securities | 128,096 | — | 128,096 | — | |||||||||||||||
U.S. Government Agencies & Obligations | 6,128,641 | — | 6,128,641 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 1,264,867 | $ | 1,264,867 | — | — | ||||||||||||||
U.S. Government Obligation | 99,899 | — | 99,899 | — | |||||||||||||||
Total Short-Term Investments | 1,364,766 | 1,264,867 | 99,899 | — | |||||||||||||||
Credit Default Swaps | 34 | — | 34 | — | |||||||||||||||
Futures | 506 | 506 | — | — | |||||||||||||||
Options | 2,200 | 2,200 | — | — | |||||||||||||||
Total Assets | $ | 39,054,038 | $ | 27,748,132 | $ | 11,305,906 | — | ||||||||||||
Liabilities | |||||||||||||||||||
Futures | $ | (36,122 | ) | $ | (36,122 | ) | — | — | |||||||||||
Options | (113 | ) | (113 | ) | — | — | |||||||||||||
Total Liabilities | $ | (36,235 | ) | $ | (36,235 | ) | — | — | |||||||||||
Global Infrastructure | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Building Products | $ | 175,933 | — | $ | 175,933 | — | |||||||||||||
Construction | 1,147,775 | — | 1,147,775 | — | |||||||||||||||
Construction Materials | 110,161 | — | 110,161 | — | |||||||||||||||
Electric Utilities | 8,409,503 | $ | 3,111,923 | 5,297,580 | — | ||||||||||||||
Energy | 2,224,711 | 2,224,711 | — | — | |||||||||||||||
Engineering | 284,217 | — | 284,217 | — | |||||||||||||||
Engineering & Construction | 1,718,538 | 829,066 | 889,472 | — | |||||||||||||||
Environmental Services | 161,756 | — | 161,756 | — | |||||||||||||||
Gas Distributors | 2,462,320 | 1,171,717 | 1,290,603 | — | |||||||||||||||
Industrial | 797,516 | — | 797,516 | — | |||||||||||||||
Investment Managers | 45,377 | — | 45,377 | — | |||||||||||||||
Investment Trusts/Mutual Funds | 457,285 | — | 457,285 | — | |||||||||||||||
Major Telecommunications | 1,914,575 | 53,391 | 1,861,184 | — | |||||||||||||||
Manufacturers | 170,713 | — | 170,713 | — | |||||||||||||||
Marine Shipping | 1,766,414 | 21,030 | 1,745,384 | — | |||||||||||||||
Alternative Power Generation | 241,860 | 241,860 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 269,840 | — | 269,840 | — |
133
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Miscellaneous Manufacturing | $ | 83,761 | — | $ | 83,761 | — | |||||||||||||
Natural Gas-Pipelines | 37,257 | $ | 37,257 | — | — | ||||||||||||||
Oil & Gas Pipelines | 1,497,505 | 1,429,897 | 67,608 | — | |||||||||||||||
Oil & Gas Production | 223,440 | 223,440 | — | — | |||||||||||||||
Other Transportation | 8,106,300 | 984,095 | 7,122,205 | — | |||||||||||||||
Railroads | 38,063 | — | 38,063 | — | |||||||||||||||
Shipping | 67,063 | 22,274 | 44,789 | — | |||||||||||||||
Specialty Telecommunications | 241,281 | — | 241,281 | — | |||||||||||||||
Telecommunications Equipment | 182,806 | — | 182,806 | — | |||||||||||||||
Transportation | 180,613 | — | 180,613 | — | |||||||||||||||
Utilities | 40,482 | — | 40,482 | — | |||||||||||||||
Warehouse | 72,058 | — | 72,058 | — | |||||||||||||||
Water Utilities | 91,290 | 91,290 | — | — | |||||||||||||||
Wireless Telecommunications | 276,033 | 185,421 | 90,612 | — | |||||||||||||||
Total Common Stocks | 33,496,446 | 10,627,372 | 22,869,074 | — | |||||||||||||||
Forward Contracts | 5,113 | — | 5,113 | — | |||||||||||||||
Total Assets | $ | 33,501,559 | $ | 10,627,372 | $ | 22,874,187 | — | ||||||||||||
Liabilities | |||||||||||||||||||
Forward Contracts | $ | (63,888 | ) | — | $ | (63,888 | ) | — | |||||||||||
Dividend Growth | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 3,582,981 | $ | 3,582,981 | — | — | |||||||||||||
Agricultural Commodities/Milling | 1,948,485 | 1,948,485 | — | — | |||||||||||||||
Apparel/Footwear | 2,008,867 | 2,008,867 | — | — | |||||||||||||||
Apparel/Footwear Retail | 1,569,972 | 1,569,972 | — | — | |||||||||||||||
Biotechnology | 1,230,855 | 1,230,855 | — | — | |||||||||||||||
Chemicals: Agricultural | 1,279,614 | 1,279,614 | — | — | |||||||||||||||
Computer Processing Hardware | 3,333,977 | 3,333,977 | — | — | |||||||||||||||
Contract Drilling | 1,917,425 | 1,917,425 | — | — | |||||||||||||||
Drugstore Chains | 1,828,478 | 1,828,478 | — | — | |||||||||||||||
Electric Utilities | 3,688,251 | 3,688,251 | — | — | |||||||||||||||
Engineering & Construction | 2,687,548 | 2,687,548 | — | — | |||||||||||||||
Financial Conglomerates | 1,779,178 | 1,779,178 | — | — | |||||||||||||||
Hotels/Resorts/Cruiselines | 873,059 | 873,059 | — | — | |||||||||||||||
Household/Personal Care | 923,479 | 923,479 | — | — |
134
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Industrial Conglomerates | $ | 3,753,021 | $ | 3,753,021 | — | — | |||||||||||||
Industrial Machinery | 746,325 | 746,325 | — | — | |||||||||||||||
Information Technology Services | 2,931,115 | 2,931,115 | — | — | |||||||||||||||
Integrated Oil | 6,827,051 | 6,827,051 | — | — | |||||||||||||||
Internet Retail | 1,277,681 | 1,277,681 | — | — | |||||||||||||||
Internet Software/Services | 1,557,353 | 1,557,353 | — | — | |||||||||||||||
Investment Banks/Brokers | 1,423,238 | 1,423,238 | — | — | |||||||||||||||
Life/Health Insurance | 2,353,281 | 2,353,281 | — | — | |||||||||||||||
Major Banks | 2,701,327 | 2,701,327 | — | — | |||||||||||||||
Major Telecommunications | 1,796,826 | 1,796,826 | — | — | |||||||||||||||
Managed Health Care | 3,303,251 | 3,303,251 | — | — | |||||||||||||||
Media Conglomerates | 1,803,876 | 1,803,876 | — | — | |||||||||||||||
Oil Refining/Marketing | 1,502,366 | 1,502,366 | — | — | |||||||||||||||
Oilfield Services/Equipment | 1,168,722 | 1,168,722 | — | — | |||||||||||||||
Packaged Software | 4,849,131 | 4,849,131 | — | — | |||||||||||||||
Pharmaceuticals: Generic Drugs | 2,041,614 | 2,041,614 | — | — | |||||||||||||||
Pharmaceuticals: Major | 7,242,275 | 7,242,275 | — | — | |||||||||||||||
Property/Casualty Insurers | 3,384,673 | 3,384,673 | — | — | |||||||||||||||
Pulp & Paper | 960,301 | 960,301 | — | — | |||||||||||||||
Railroads | 1,701,718 | 1,701,718 | — | — | |||||||||||||||
Restaurants | 2,024,223 | 2,024,223 | — | — | |||||||||||||||
Specialty Telecommunications | 263 | 263 | — | — | |||||||||||||||
Steel | 1,084,709 | 1,084,709 | — | — | |||||||||||||||
Tobacco | 4,035,466 | 4,035,466 | — | — | |||||||||||||||
Trucks/Construction/Farm Machinery | 1,137,237 | 1,137,237 | — | — | |||||||||||||||
Total Common Stocks | 90,259,212 | 90,259,212 | — | — | |||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | 330,050 | 330,050 | — | — | |||||||||||||||
Total Assets | $ | 90,589,262 | $ | 90,589,262 | — | — | |||||||||||||
Equally-Weighted S&P 500 | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Advertising/Marketing Services | $ | 319,634 | $ | 319,634 | — | — | |||||||||||||
Aerospace & Defense | 1,632,344 | 1,632,344 | — | — | |||||||||||||||
Aerospace | 177,822 | 177,822 | — | — | |||||||||||||||
Agricultural Commodities/Milling | 175,638 | 175,638 | — | — |
135
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Air Freight/Couriers | $ | 745,088 | $ | 745,088 | — | — | |||||||||||||
Airlines | 181,407 | 181,407 | — | — | |||||||||||||||
Aluminum | 152,078 | 152,078 | — | — | |||||||||||||||
Apparel/Footwear | 652,610 | 652,610 | — | — | |||||||||||||||
Apparel/Footwear Retail | 846,492 | 846,492 | — | — | |||||||||||||||
Auto Parts: OEM | 170,763 | 170,763 | — | — | |||||||||||||||
Automotive Aftermarket | 164,790 | 164,790 | — | — | |||||||||||||||
Beverages: Alcoholic | 496,321 | 496,321 | — | — | |||||||||||||||
Beverages: Non-Alcoholic | 863,334 | 863,334 | — | — | |||||||||||||||
Biotechnology | 1,353,884 | 1,353,884 | — | — | |||||||||||||||
Building Products | 184,607 | 184,607 | — | — | |||||||||||||||
Cable/Satellite TV | 713,747 | 713,747 | — | — | |||||||||||||||
Casinos/Gaming | 329,570 | 329,570 | — | — | |||||||||||||||
Chemicals: Agricultural | 301,706 | 301,706 | — | — | |||||||||||||||
Chemicals: Major Diversified | 701,245 | 701,245 | — | — | |||||||||||||||
Chemicals: Specialty | 525,303 | 525,303 | — | — | |||||||||||||||
Coal | 482,661 | 482,661 | — | — | |||||||||||||||
Commercial Printing/Forms | 164,156 | 164,156 | — | — | |||||||||||||||
Computer Communications | 524,296 | 524,296 | — | — | |||||||||||||||
Computer Peripherals | 661,906 | 661,906 | — | 0 | |||||||||||||||
Computer Processing Hardware | 707,525 | 707,525 | — | — | |||||||||||||||
Construction Materials | 160,160 | 160,160 | — | — | |||||||||||||||
Containers/Packaging | 879,986 | 879,986 | — | — | |||||||||||||||
Contract Drilling | 647,684 | 647,684 | — | — | |||||||||||||||
Data Processing Services | 1,400,417 | 1,400,417 | — | — | |||||||||||||||
Department Stores | 500,251 | 500,251 | — | — | |||||||||||||||
Discount Stores | 1,055,001 | 1,055,001 | — | — | |||||||||||||||
Drugstore Chains | 332,219 | 332,219 | — | — | |||||||||||||||
Electric Utilities | 5,051,000 | 5,051,000 | — | — | |||||||||||||||
Electrical Products | 526,351 | 526,351 | — | — | |||||||||||||||
Electronic Components | 879,690 | 879,690 | — | — | |||||||||||||||
Electronic Equipment/Instruments | 522,235 | 522,235 | — | — | |||||||||||||||
Electronic Production Equipment | 674,566 | 674,566 | — | — | |||||||||||||||
Electronics/Appliance Stores | 353,861 | 353,861 | — | — | |||||||||||||||
Electronics/Appliances | 493,477 | 493,477 | — | — | |||||||||||||||
Engineering & Construction | 500,695 | 500,695 | — | — | |||||||||||||||
Environmental Services | 358,737 | 358,737 | — | — |
136
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Finance/Rental/Leasing | $ | 983,554 | $ | 983,554 | — | — | |||||||||||||
Financial Conglomerates | 985,179 | 985,179 | — | — | |||||||||||||||
Financial Publishing/Services | 688,460 | 688,460 | — | — | |||||||||||||||
Food Distributors | 153,718 | 153,718 | — | — | |||||||||||||||
Food Retail | 638,432 | 638,432 | — | — | |||||||||||||||
Food: Major Diversified | 1,245,907 | 1,245,907 | — | — | |||||||||||||||
Food: Meat/Fish/Dairy | 522,601 | 522,601 | — | — | |||||||||||||||
Food: Specialty/Candy | 512,844 | 512,844 | — | — | |||||||||||||||
Forest Products | 170,560 | 170,560 | — | — | |||||||||||||||
Gas Distributors | 1,173,827 | 1,173,827 | — | — | |||||||||||||||
Home Building | 891,417 | 891,417 | — | — | |||||||||||||||
Home Furnishings | 341,214 | 341,214 | — | — | |||||||||||||||
Home Improvement Chains | 705,467 | 705,467 | — | — | |||||||||||||||
Hospital/Nursing Management | 164,271 | 164,271 | — | — | |||||||||||||||
Hotels/Resorts/Cruiselines | 646,258 | 646,258 | — | — | |||||||||||||||
Household/Personal Care | 1,023,355 | 1,023,355 | — | — | |||||||||||||||
Industrial Conglomerates | 1,007,890 | 1,007,890 | — | — | |||||||||||||||
Industrial Machinery | 847,898 | 847,898 | — | — | |||||||||||||||
Industrial Specialties | 333,067 | 333,067 | — | — | |||||||||||||||
Information Technology Services | 867,105 | 867,105 | — | — | |||||||||||||||
Insurance Brokers/Services | 337,728 | 337,728 | — | — | |||||||||||||||
Integrated Oil | 1,002,302 | 1,002,302 | — | — | |||||||||||||||
Internet Retail | 352,089 | 352,089 | — | — | |||||||||||||||
Internet Software/Services | 683,060 | 683,060 | — | — | |||||||||||||||
Investment Banks/Brokers | 1,535,491 | 1,535,491 | — | — | |||||||||||||||
Investment Managers | 1,208,433 | 1,208,433 | — | — | |||||||||||||||
Life/Health Insurance | 1,004,966 | 1,004,966 | — | — | |||||||||||||||
Major Banks | 1,827,972 | 1,827,972 | — | — | |||||||||||||||
Major Telecommunications | 526,321 | 526,321 | — | — | |||||||||||||||
Managed Health Care | 999,355 | 999,355 | — | — | |||||||||||||||
Media Conglomerates | 795,138 | 795,138 | — | — | |||||||||||||||
Medical Distributors | 658,382 | 658,382 | — | — | |||||||||||||||
Medical Specialties | 2,730,158 | 2,730,158 | — | — | |||||||||||||||
Medical/Nursing Services | 183,892 | 183,892 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 336,076 | 336,076 | — | — | |||||||||||||||
Miscellaneous Manufacturing | 165,615 | 165,615 | — | — | |||||||||||||||
Motor Vehicles | 355,106 | 355,106 | — | — | |||||||||||||||
Multi-Line Insurance | 281,830 | 281,830 | — | — |
137
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Office Equipment/Supplies | $ | 345,604 | $ | 345,604 | — | — | |||||||||||||
Oil & Gas Pipelines | 349,394 | 349,394 | — | — | |||||||||||||||
Oil & Gas Production | 2,136,873 | 2,136,873 | — | — | |||||||||||||||
Oil Refining/Marketing | 492,645 | 492,645 | — | — | |||||||||||||||
Oilfield Services/Equipment | 1,331,232 | 1,331,232 | — | — | |||||||||||||||
Other Consumer Services | 881,285 | 881,285 | — | — | |||||||||||||||
Other Consumer Specialties | 161,228 | 161,228 | — | — | |||||||||||||||
Other Metals/Minerals | 166,155 | 166,155 | — | — | |||||||||||||||
Packaged Software | 2,050,051 | 2,050,051 | — | — | |||||||||||||||
Personnel Services | 355,340 | 355,340 | — | — | |||||||||||||||
Pharmaceuticals: Generic Drugs | 334,435 | 334,435 | — | — | |||||||||||||||
Pharmaceuticals: Major | 1,425,196 | 1,425,196 | — | — | |||||||||||||||
Pharmaceuticals: Other | 525,153 | 525,153 | — | — | |||||||||||||||
Precious Metals | 334,489 | 334,489 | — | — | |||||||||||||||
Property/Casualty Insurers | 1,201,138 | 1,201,138 | — | — | |||||||||||||||
Publishing: Books/Magazines | 156,136 | 156,136 | — | — | |||||||||||||||
Publishing: Newspapers | 481,200 | 481,200 | — | — | |||||||||||||||
Pulp & Paper | 367,642 | 367,642 | — | — | |||||||||||||||
Railroads | 659,155 | 659,155 | — | — | |||||||||||||||
Real Estate Development | 175,238 | 175,238 | — | — | |||||||||||||||
Real Estate Investment Trusts | 2,391,767 | 2,391,767 | — | — | |||||||||||||||
Recreational Products | 535,352 | 535,352 | — | — | |||||||||||||||
Regional Banks | 946,675 | 946,675 | — | — | |||||||||||||||
Restaurants | 648,818 | 648,818 | — | — | |||||||||||||||
Savings Banks | 339,762 | 339,762 | — | — | |||||||||||||||
Semiconductors | 2,168,608 | 2,168,608 | — | — | |||||||||||||||
Services To The Health Industry | 1,046,576 | 1,046,576 | — | — | |||||||||||||||
Specialty Insurance | 334,231 | 334,231 | — | — | |||||||||||||||
Specialty Stores | 1,228,454 | 1,228,454 | — | — | |||||||||||||||
Specialty Telecommunications | 894,797 | 894,797 | — | — | |||||||||||||||
Steel | 669,179 | 669,179 | — | — | |||||||||||||||
Telecommunications Equipment | 853,171 | 853,171 | — | — | |||||||||||||||
Tobacco | 671,472 | 671,472 | — | — | |||||||||||||||
Tools & Hardware | 508,548 | 508,548 | — | — | |||||||||||||||
Trucks/Construction/Farm Machinery | 841,159 | 841,159 | — | — | |||||||||||||||
Wholesale Distributors | 362,746 | 362,746 | — | — | |||||||||||||||
Wireless Telecommunications | 141,086 | 141,086 | — | — | |||||||||||||||
Total Common Stocks | 84,964,185 | 84,964,185 | — | — |
138
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2009 (unaudited) continued
Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | $ | 369,884 | $ | 369,884.00 | — | — | |||||||||||||
Futures | 576 | 576 | — | — | |||||||||||||||
Total Assets | $ | 85,334,645 | $ | 85,334,645 | — | — | |||||||||||||
Capital Growth | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight/Couriers | 989,799 | 989,799 | — | — | |||||||||||||||
Biotechnology | 757,035 | 757,035 | — | — | |||||||||||||||
Casino/Gaming | 507,085 | 507,085 | — | — | |||||||||||||||
Chemicals: Agricultural | 1,307,195 | 1,307,195 | — | — | |||||||||||||||
Computer Communications | 586,470 | 586,470 | — | — | |||||||||||||||
Computer Peripherals | 0 | — | — | 0 | |||||||||||||||
Computer Processing Hardware | 1,450,080 | 1,450,080 | — | — | |||||||||||||||
Construction Materials | 626,697 | 626,697 | — | — | |||||||||||||||
Discount Stores | 259,162 | 259,162 | — | — | |||||||||||||||
Electronic Components | 223,401 | 223,401 | — | — | |||||||||||||||
Finance/Rental/Leasing | 1,657,250 | 1,657,250 | — | — | |||||||||||||||
Financial Conglomerates | 1,933,381 | 1,933,381 | — | — | |||||||||||||||
Financial Publishing/Services | 245,818 | 245,818 | — | — | |||||||||||||||
Information Technology Services | 169,674 | 169,674 | — | — | |||||||||||||||
Internet Retail | 1,749,247 | 1,749,247 | — | — | |||||||||||||||
Internet Software/Services | 3,129,585 | 2,379,763 | $ | 749,822 | — | ||||||||||||||
Investment Banks/Brokers | 1,180,341 | 1,180,341 | — | — | |||||||||||||||
Medical Specialties | 263,002 | 263,002 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 179,034 | 179,034 | — | — | |||||||||||||||
Oil & Gas Production | 1,832,894 | 1,832,894 | — | — | |||||||||||||||
Other Consumer Services | 371,652 | 371,652 | — | — | |||||||||||||||
Other Transportation | 109,253 | — | 109,253 | — | |||||||||||||||
Packaged Software | 427,504 | 427,504 | — | — | |||||||||||||||
Personnel Services | 126,615 | 126,615 | — | — | |||||||||||||||
Pharmaceuticals: Other | 334,345 | 334,345 | — | — | |||||||||||||||
Property/Casualty Insurers | 890,647 | 890,647 | — | — | |||||||||||||||
Restaurants | 592,672 | 592,672 | — | — | |||||||||||||||
Telecommunications Equipment | 1,075,172 | 1,075,172 | — | — | |||||||||||||||
Wholesale Distributors | 582,734 | — | 582,734 | — | |||||||||||||||
Wireless Telecommunications | 429,250 | 429,250 | — | — | |||||||||||||||
Total Common Stocks | 23,986,994 | 22,545,185 | 1,441,809 | — |
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Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | $ | 828,878 | $ | 828,878 | — | — | |||||||||||||
Total Assets | $ | 24,815,872 | $ | 23,374,063 | $ | 1,441,809 | — | ||||||||||||
Focus Growth | |||||||||||||||||||
Assets | �� | ||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight/Couriers | $ | 4,647,844 | $ | 4,647,844 | — | — | |||||||||||||
Biotechnology | 1,903,582 | 1,903,582 | — | — | |||||||||||||||
Casino/Gaming | 1,931,369 | 1,931,369 | — | — | |||||||||||||||
Chemicals: Agricultural | 5,289,440 | 5,289,440 | — | — | |||||||||||||||
Computer Communications | 1,828,547 | 1,828,547 | — | — | |||||||||||||||
Computer Processing Hardware | 6,001,430 | 6,001,430 | — | — | |||||||||||||||
Construction Materials | 744,622 | 744,622 | — | — | |||||||||||||||
Finance/Rental/Leasing | 3,398,568 | 3,398,568 | — | — | |||||||||||||||
Financial Conglomerates | 6,004,435 | 6,004,435 | — | — | |||||||||||||||
Internet Retail | 6,982,264 | 6,982,264 | — | — | |||||||||||||||
Internet Software/Services | 13,077,643 | 9,407,701 | $ | 3,669,942 | — | ||||||||||||||
Investment Banks/Brokers | 6,361,568 | 6,361,568 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 690,851 | 690,851 | — | — | |||||||||||||||
Oil & Gas Production | 5,585,814 | 5,585,814 | — | — | |||||||||||||||
Packaged Software | 1,633,676 | 1,633,676 | — | — | |||||||||||||||
Property/Casualty Insurers | 1,928,556 | 1,928,556 | — | — | |||||||||||||||
Telecommunications Equipment | 3,011,951 | 3,011,951 | — | — | |||||||||||||||
Wholesale Distributors | 2,256,091 | — | 2,256,091 | — | |||||||||||||||
Total Common Stocks | 73,278,251 | 67,352,218 | 5,926,033 | — | |||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | 695,808 | 695,808 | — | — | |||||||||||||||
Total Assets | $ | 73,974,059 | $ | 68,048,026 | $ | 5,926,033 | — | ||||||||||||
Capital Opportunities | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight/Couriers | $ | 509,302 | $ | 509,302 | — | — | |||||||||||||
Biotechnology | 1,291,306 | 1,291,306 | — | — | |||||||||||||||
Casino/Gaming | 353,530 | 353,530 | — | — | |||||||||||||||
Chemicals: Agricultural | 968,650 | 968,650 | — | — | |||||||||||||||
Computer Processing Hardware | 1,046,006 | 1,046,006 | — | — |
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Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Construction Materials | $ | 171,408 | $ | 171,408 | — | — | |||||||||||||
Electric Utilities | 21,984 | 21,984 | — | — | |||||||||||||||
Electronic Production Equipment | 578,509 | 578,509 | — | — | |||||||||||||||
Finance/Rental/Leasing | 1,217,367 | 1,217,367 | — | — | |||||||||||||||
Financial Conglomerates | 1,069,841 | 1,069,841 | — | — | |||||||||||||||
Financial Publishing/Services | 336,932 | 336,932 | — | — | |||||||||||||||
Homebuilding | 116,820 | 116,820 | — | — | |||||||||||||||
Internet Retail | 1,859,169 | 1,859,169 | — | — | |||||||||||||||
Internet Software/Services | 2,766,804 | 1,851,646 | $ | 915,158 | — | ||||||||||||||
Investment Banks/Brokers | 1,642,861 | 1,642,861 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 551,681 | 551,681 | — | — | |||||||||||||||
Oil & Gas Production | 1,577,983 | 1,577,983 | — | — | |||||||||||||||
Packaged Software | 429,603 | 429,603 | — | — | |||||||||||||||
Services To The Health Industry | 648,045 | 648,045 | — | — | |||||||||||||||
Telecommunications Equipment | 469,427 | 469,427 | — | — | |||||||||||||||
Wholesale Distributors | 510,491 | — | 510,491 | — | |||||||||||||||
Total Common Stocks | 18,137,719 | 16,712,070 | 1,425,649 | — | |||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | 613,512 | 613,512 | — | — | |||||||||||||||
Total Assets | $ | 18,751,231 | $ | 17,325,582 | $ | 1,425,649 | — | ||||||||||||
Mid-Cap Growth | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight/Couriers | $ | 1,182,355 | $ | 1,182,355 | — | — | |||||||||||||
Alternative Power Generation | 278,398 | 278,398 | — | — | |||||||||||||||
Apparel/Footwear Retail | 255,144 | 255,144 | — | — | |||||||||||||||
Biotechnology | 1,955,981 | 1,955,981 | — | — | |||||||||||||||
Broadcasting | 252,129 | 252,129 | — | — | |||||||||||||||
Casino/Gaming | 661,335 | 661,335 | — | — | |||||||||||||||
Chemicals: Major Diversified | 403,015 | 403,015 | — | — | |||||||||||||||
Chemicals: Specialty | 255,775 | 255,775 | — | — | |||||||||||||||
Construction Materials | 725,033 | 725,033 | — | — | |||||||||||||||
Discount Stores | 246,191 | 246,191 | — | — | |||||||||||||||
Electronic Components | 224,351 | — | $ | 224,351 | — | ||||||||||||||
Engineering & Construction | 320,608 | 320,608 | — | — | |||||||||||||||
Finance/Rental/Leasing | 639,056 | 639,056 | — | — |
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Fair Value Measurements at June 30, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Financial Conglomerates | $ | 985,909 | $ | 985,909 | — | — | |||||||||||||
Financial Publishing/Services | 647,113 | 647,113 | — | — | |||||||||||||||
Home Building | 473,378 | 473,378 | — | — | |||||||||||||||
Home Furnishings | 137,903 | 137,903 | — | — | |||||||||||||||
Information Technology Services | 502,691 | 502,691 | — | — | |||||||||||||||
Internet Retail | 977,057 | 977,057 | — | — | |||||||||||||||
Internet Software/Services | 2,136,511 | 1,158,481 | $ | 978,030 | — | ||||||||||||||
Investment Banks/Brokers | 773,496 | 773,496 | — | — | |||||||||||||||
Investment Managers | 248,534 | 248,534 | — | — | |||||||||||||||
Investment Trusts/Mutual Funds | 256,483 | 256,483 | — | — | |||||||||||||||
Medical Specialties | 606,018 | 606,018 | — | — | |||||||||||||||
Miscellaneous Commercial Services | 634,907 | 634,907 | — | — | |||||||||||||||
Oil & Gas Production | 2,492,865 | 2,492,865 | — | — | |||||||||||||||
Other Consumer Services | 1,913,484 | 1,452,775 | 460,709 | — | |||||||||||||||
Other Metals/Minerals | 384,668 | 384,668 | — | — | |||||||||||||||
Packaged Software | 878,235 | 878,235 | — | — | |||||||||||||||
Personnel Services | 173,761 | 173,761 | — | — | |||||||||||||||
Pharmaceuticals: Other | 321,260 | 321,260 | — | — | |||||||||||||||
Restaurants | 538,710 | 538,710 | — | — | |||||||||||||||
Wholesale Distributors | 706,191 | — | 706,191 | — | |||||||||||||||
Wireless Telecommunications | 341,233 | 341,233 | — | — | |||||||||||||||
Total Common Stocks | 23,529,778 | 21,160,497 | 2,369,281 | — | |||||||||||||||
Convertible Preferred Stock | 175,968 | — | — | $ | 175,968 | ||||||||||||||
Short-Term Investment | |||||||||||||||||||
Investment Company | 582,036 | 582,036 | — | — | |||||||||||||||
Total | $ | 24,287,782 | $ | 21,742,533 | $ | 2,369,281 | $ | 175,968 |
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Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
Flexible Income | Balanced | Mid Cap Growth | |||||||||||||
Beginning Balance | $ | 464,042 | $ | 40,375 | $ | 175,968 | |||||||||
Net purchases (sales) | (437,554 | ) | (63,818 | ) | — | ||||||||||
Transfers in and/or (out) | (97,195 | ) | — | — | |||||||||||
Change in unrealized appreciation/depreciation | 2,386,868 | 46,490 | — | ||||||||||||
Realized gains (losses) | (2,315,094 | ) | (23,047 | ) | — | ||||||||||
Ending Balance | $ | 1,067 | $ | 0 | $ | 175,968 | |||||||||
Net change in unrealized appreciation/depreciation from investments still held as of June 30, 2009 | $ | (1,246 | ) | — | — |
Equally-Weighted S&P 500 and Capital Growth held one Level 3 security with a value of $0 for the entire period.
8. Derivative Financial Instruments
A derivative financial instrument in very general terms refers to a security whose value is "derived" from the value of an underlying asset, reference rate or index.
The Fund may use derivative instruments for a variety of reasons, such as to attempt to protect the Fund against possible changes in the market value of its portfolio or to manage the Fund's foreign currency exposure or the generate potential gain. All of the Fund's portfolio holdings, including derivative instruments, are marked-to-market each day with the change in value reflected in the unrealized appreciation/depreciation. Upon disposition, a realized gain or loss is recognized accordingly, except when taking delivery of a security underlying a contact. In these instances, the recognition of gain or loss is postponed until the disposal of the security underlying the contract. Risk may arise as result of the potential inability of the counterparties to meet the term of their contracts.
Summarized below are specific types of financial instruments used by certain Portfolios.
Forward Foreign Currency Contracts Certain Portfolios may enter into forward contracts for many purposes, including to facilitate settlement of foreign currency denominated portfolio transactions or to manage foreign currency exposure associated with foreign currency denominated securities. Forward contracts involve elements of market risk in excess of the amount reflected in the Statements of Assets and Liabilities. The respective Portfolios bears the risk of an unfavorable change in the foreign exchange rates
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underlying the forward contracts. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
During the six months ended June 30, 2009, the cost of purchases and the proceeds from sales of forward foreign currency contracts were as follows:
PORTFOLIO | PURCHASES | SALES | |||||||||
Flexible Income | $ | 200,561 | $ | 331,758 | |||||||
Global Infrastructure | 48,449,602 | 52,814,138 | |||||||||
Capital Growth | 131,490 | 136,478 | |||||||||
Focus Growth | — | 530,279 | |||||||||
Capital Opportunities | — | 157,421 | |||||||||
Mid Cap Growth | 255,896 | 440,115 |
Futures Certain Portfolios may purchase and sell interest rate, Eurodollar and index futures ("derivative instruments") to facilitate trading, increase or decrease the Portfolio's market exposure, seek higher investment returns, or to seek to protect against a decline in the value of the Portfolio's securities or an increase in prices of securities that may be purchased. These futures contracts involve elements of market risk in excess of the amount reflected in the Statements of Assets and Liabilities. The Portfolio bears the risk of an unfavorable change in value of the underlying securities. Risk may also arise upon entering into these contracts from the potential inability of the counterparties to meet the term of their contracts.
Transactions in futures contracts for the six months ended June 30, 2009, were as follows:
Flexible Income: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures contracts, outstanding at beginning of the period | 59 | ||||||
Futures contracts opened | 356 | ||||||
Futures contracts closed | (352 | ) | |||||
Futures contracts, outstanding at end of the period | 63 | ||||||
Balanced: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures contracts, outstanding at beginning of the period | 41 | ||||||
Futures contracts opened | 190 | ||||||
Futures contracts closed | (183 | ) | |||||
Futures contracts, outstanding at end of the period | 48 |
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Equally-Weighted S&P 500: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures contracts, outstanding at beginning of the period | 4 | ||||||
Futures contracts opened | 55 | ||||||
Futures contracts closed | (44 | ) | |||||
Futures contracts, outstanding at end of the period | 15 |
Options For hedging and investment purposes, certain Portfolios may engage in transactions in listed and over-the-counter options. Risks may arise from an imperfect correlation between the change in the market value of the securities held by the Portfolio and the prices of options relating to the securities purchased or sold by the Portfolio and from the possible lack of a liquid secondary market for an option.
Transactions in options for the six months ended June 30, 2009 were as follows:
Flexible Income: | |||||||||||
NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of the period | 27 | $ | 13,428 | ||||||||
Options written | 84 | 15,690 | |||||||||
Options closed | (66 | ) | (23,787 | ) | |||||||
Options written, outstanding at end of period | 45 | $ | 5,331 | ||||||||
NUMBER OF CONTRACTS | COST | ||||||||||
Options purchased, outstanding at beginning of the period | 27 | $ | 24,371 | ||||||||
Options purchased | 55 | 42,495 | |||||||||
Options closed | (27 | ) | (24,371 | ) | |||||||
Options purchased, outstanding at end of the period | 55 | $ | 42,495 | ||||||||
Balanced: | |||||||||||
NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of the period | 11 | $ | 5,470 | ||||||||
Options written | 33 | 6,150 | |||||||||
Options closed | (26 | ) | (9,456 | ) | |||||||
Options written, outstanding at end of period | 18 | $ | 2,164 |
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NUMBER OF CONTRACTS | COST | ||||||||||
Options purchased, outstanding at beginning of the period | 11 | $ | 9,929 | ||||||||
Options purchased | 22 | 17,021 | |||||||||
Options closed | (11 | ) | (9,929 | ) | |||||||
Options purchased, outstanding at end of the period | 22 | $ | 17,021 |
Swaps Certain Portfolios may enter into interest rate swaps and asset swaps (where parties combine the purchase or sale of a bond/note with an interest rate swap) ("swap") and may purchase or sell interest rate caps, floors and collars. The Portfolio expects to enter into these transactions primarily to manage interest rate risk, hedge portfolio position and preserve a return or spread on a particular investment or portion of its portfolio. The Portfolio may also enter into these transactions to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date. Swap transactions are subject to market risk, risk of default by the other party to the transaction, risk of correlation and manage risk. Suck risks may exceed the related amounts shown in the Statements of Assets and Liabilities.
Certain Portfolios may enter into credit default swaps for hedging purposes, to add leverage to its portfolio or gain exposure to a credit in which the Portfolio may otherwise invest. Credit default swaps may involve greater risks than if a Portfolio had invested in the issuer directly. Credit default swaps are subject to general market risks, counterparty risk and credit risk. If the Portfolio is a buyer and no credit event occurs, it will lose its investments. In addition, if the portfolio is a seller and a credit event occurs, the value of the referenced obligation received by the portfolio coupled with the periodic payments previously received may be less than the maximum payout amount it pays to the buyer, resulting in a loss to the Portfolio.
Transactions in swap contracts for the six months ended June 30, 2009, were as follows:
Flexible Income: | |||||||
NOTIONAL AMOUNT (000'S) | |||||||
Swap contracts, outstanding at beginning of the period | $ | 83,503 | |||||
Swap opened | 24,293 | ||||||
Swap closed | (98,752 | ) | |||||
Swap contracts, outstanding at end of the period | $ | 9,044 |
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Balanced: | |||||||
NOTIONAL AMOUNT (000'S) | |||||||
Swap contracts, outstanding at beginning of the period | $ | 26,630 | |||||
Swap opened | 833 | ||||||
Swap closed | (27,453 | ) | |||||
Swap contracts, outstanding at end of the period | $ | 10 |
The Fund adopted FASB Standard No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"), effective December 1, 2008. SFAS 161 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understanding how and way the Fund uses derivative instruments, how these derivative instruments are accounted for their effects on the Fund's financial position and results of operations.
The following table sets forth the fair value of each Portfolio's derivative contracts by primary risk exposure as of June 30, 2009.
PORTFOLIO | PRIMARY RISK EXPOSURE | ASSET DERIVATIVE BALANCE SHEET LOCATION | FAIR VALUE | LIABILITIES DERIVATIVE BALANCE SHEET LOCATION | FAIR VALUE | ||||||||||||||||||
Flexible Income | Interest Rate | Variation margin | $ | 7,480 | † | Variation margin | $ | (40,201 | )† | ||||||||||||||
Risk | Option purchased - Investments, at value | 5,500 | Written options outstanding | (281 | ) | ||||||||||||||||||
Unrealized appreciation on open swap contracts | 14,377 | Unrealized depreciation on open swap contracts | (144,767 | ) | |||||||||||||||||||
Credit Risk | Unrealized appreciation on open swap contracts | 61,848 | Unrealized depreciation on open swap contracts | (9,771 | ) | ||||||||||||||||||
$ | 89,205 | $ | (195,020 | ) | |||||||||||||||||||
Balanced | Interest Rate | Variation margin | $ | 506 | † | Variation margin | $ | (36,122 | )† | ||||||||||||||
Risk | Option purchased - Investments, at value | 2,200 | Written options outstanding | (113 | ) | ||||||||||||||||||
Credit Risk | Unrealized appreciation on open swap contracts | 34 | Unrealized depreciation on open swap contracts | — | |||||||||||||||||||
$ | 2,740 | $ | (36,235 | ) | |||||||||||||||||||
Global Infrastructure | Foreign Exchange Risk | Unrealized appreciation on open forward foreign exchange contracts | $ | 5,113 | Unrealized depreciation on open forward foreign exchange contracts | $ | (63,888 | ) |
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PORTFOLIO | PRIMARY RISK EXPOSURE | ASSET DERIVATIVE BALANCE SHEET LOCATION | FAIR VALUE | LIABILITIES DERIVATIVE BALANCE SHEET LOCATION | FAIR VALUE | ||||||||||||||||||
Equally-Weighted S&P 500 | Equity Risk | Variation margin | $ | 576 | † | Variation margin | — | ||||||||||||||||
Mid Cap Growth | Foreign Exchange Risk | Unrealized appreciation on open forward foreign exchange contracts | 0†† | Unrealized depreciation on open forward foreign exchange contracts | 0†† |
† Includes cumulative appreciation/depreciation of futures contracts as reported in the Portfolio of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
†† Amounts less than $1.
The following tables set forth by primary risk exposure the Portfolio's realized gains (losses) and change in unrealized gains (losses) by type of derivative contract for the six months ended June 30, 2009 in accordance with SFAS 161.
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS
PORTFOLIO | PRIMARY RISK EXPOSURE | FUTURES | SWAPS | OPTIONS WRITTEN | OPTIONS PURCHASED | FORWARD FOREIGN CURRENCY | |||||||||||||||||||||
Flexible Income | Interest Rate Risk | $ | 177,216 | $ | 940,119 | $ | 45,657 | $ | (26,562 | ) | — | ||||||||||||||||
Credit Risk | — | 24,284 | — | — | — | ||||||||||||||||||||||
Foreign Exchange Risk | — | — | — | — | $ | 3,877 | |||||||||||||||||||||
$ | 177,216 | $ | 964,403 | $ | 45,657 | $ | (26,562 | ) | $ | 3,877 | |||||||||||||||||
Balanced | Interest Rate Risk | $ | 24,305 | $ | 658,710 | $ | (10,838 | ) | $ | 18,541 | — | ||||||||||||||||
Credit Risk | — | 6,116 | — | — | — | ||||||||||||||||||||||
$ | 24,305 | $ | 664,826 | $ | (10,838 | ) | $ | 18,541 | — | ||||||||||||||||||
Global Infrastructure | Foreign Exchange Risk | — | — | — | — | $ | (46,251 | ) | |||||||||||||||||||
Equally-Weighted S&P 500 | Equity Risk | $ | 97,004 | — | — | — | — | ||||||||||||||||||||
Capital Growth | Foreign Exchange Risk | — | — | — | — | $ | 703 | ||||||||||||||||||||
Focus Growth | Foreign Exchange Risk | — | — | — | — | $ | 1,954 | ||||||||||||||||||||
Capital Opportunities | Foreign Exchange Risk | — | — | — | — | $ | (1,193 | ) | |||||||||||||||||||
Mid Cap Growth | Foreign Exchange Risk | — | — | — | — | $ | 631 |
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CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVE CONTRACTS
PORTFOLIO | PRIMARY RISK EXPOSURE | FUTURES | SWAPS | OPTIONS WRITTEN | OPTIONS PURCHASED | FORWARD FOREIGN CURRENCY | |||||||||||||||||||||
Flexible Income | Interest Rate Risk | $ | 136,046 | $ | (997,711 | ) | $ | 30,603 | $ | (75,399 | ) | — | |||||||||||||||
Credit Risk | — | 37,013 | — | — | — | ||||||||||||||||||||||
Foreign Exchange Risk | — | — | — | — | $ | 2,323 | |||||||||||||||||||||
$ | 136,046 | $ | (960,698 | ) | $ | 30,603 | $ | (75,399 | ) | $ | 2,323 | ||||||||||||||||
Balanced | Interest Rate Risk | $ | 57,764 | $ | (689,823 | ) | $ | 12,462 | $ | (30,467 | ) | — | |||||||||||||||
Credit Risk | — | (8,729 | ) | — | — | — | |||||||||||||||||||||
$ | 57,764 | $ | (698,552 | ) | $ | 12,462 | $ | (30,467 | ) | — | |||||||||||||||||
Global Infrastructure | Foreign Exchange Risk | — | — | — | — | $ | (104,038 | ) | |||||||||||||||||||
Equally-Weighted S&P 500 | Equity Risk | $ | (4,957 | ) | — | — | — | — |
9. Accounting Pronouncements
On April 9, 2009, FASB issued Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157, when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 also requires additional disaggregation of the current SFAS 157 required disclosures. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. The Fund has adopted the provisions of FSP 157-4 as of June 30, 2009 and it did not have a material impact on the Fund's financial statements. The disclosures required by FSP 1 57-4 are included in Note 7 of the financial statements.
In May 2009, FASB issued Statement of Financial Accounting Standards No. 165 ("SFAS 165"), Subsequent Events, which is intended to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or are available to be issued. SFAS 165 is effective for interim or annual financial periods ending after June 15, 2009. The Fund has adopted the provisions of SFAS 165 as of June 30, 2009. Although the adoption of SFAS 165 did not materially impact its financial position, results of operations or changes in net assets, the Fund is now required to provide additional disclosures, which are included in Note 1.
In June 2009, FASB issued SFAS No. 168, The FASB Accounting Standards Codification and the Hierarchy of Generally Accepted Accounting Principles — a replacement of FASB Statement No. 162 ("SFAS 168"). SFAS 168 will become the source of authoritative U.S. Generally Accepted Accounting Principles recognized by the FASB to be applied by nongovernmental entities. Once in effect, all of the Codification's content will carry
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Notes to Financial Statements n June 30, 2009 (unaudited) continued
the same level of authority, effectively superseding FASB Statement No. 162. SFAS 168 is effective for financial statements issued for interim and annual periods ending after September 15, 2009. The Fund does not anticipate that SFAS 168 will have a material impact on its financial statements.
10. Guarantee Program for Money Market Funds
On September 29, 2008, the Trustees approved the participation by the Money Market Portfolio in the U.S. Treasury's Temporary Guarantee Program for Money Market Funds (the "Program"). Under this Program, the U.S. Treasury will guarantee to investors that they will receive $1.00 for each money market fund share held as of close of business on September 19, 2008. Eligible funds must be regulated under Rule 2a-7 of the Act, must maintain a stable share price of $1.00 and must be publicly offered and registered with the Securities and Exchange Commission ("SEC"). To participate in the Program, eligible funds must pay a fee. While the Program protects the accounts of investors, each money market fund makes the decision to sign-up for the Program. Investors cannot sign-up for the Program individually. The Program was in effect for an initial three month term, expiring December 18, 2008. On November 24, 2008, the U.S. Treasury announced an extension of the Program through April 30, 2009 and on March 31, 2009, the U.S. Treasury announced the further extension of the Program until September 19, 2009. All money market funds that currently participate in the Program and meet the extension requirements are eligible to continue to participate for an additional fee. The Money Market Portfolio has met the requirements and continues to participate in this Program. The Program will continue to provide coverage to shareholders up to amounts that they held in participating money market funds as of the close of business on September 19, 2008.
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Financial Highlights
Selected ratios and per share data for a share of beneficial interest outstanding throughout each period:
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
MONEY MARKET CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 1.00 | $ | 0.010 | — | $ | 0.010 | $ | (0.010 | ) | — | $ | (0.010 | ) | |||||||||||||||||
2005 | 1.00 | 0.030 | — | 0.030 | (0.030 | ) | — | (0.030 | ) | ||||||||||||||||||||||
2006 | 1.00 | 0.040 | — | 0.040 | (0.040 | ) | — | (0.040 | ) | ||||||||||||||||||||||
2007 | 1.00 | 0.050 | — | 0.050 | (0.050 | ) | — | (0.050 | ) | ||||||||||||||||||||||
2008 | 1.00 | 0.020 | — | 0.020 | (0.020 | ) | — | (0.020 | ) | ||||||||||||||||||||||
2009 | ^ | 1.00 | 0.000 | (l) | — | 0.000 | (l) | 0.000 | (l) | — | 0.000 | (l) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 1.00 | 0.010 | — | 0.010 | (0.010 | ) | — | (0.010 | ) | ||||||||||||||||||||||
2005 | 1.00 | 0.020 | — | 0.020 | (0.020 | ) | — | (0.020 | ) | ||||||||||||||||||||||
2006 | 1.00 | 0.040 | — | 0.040 | (0.040 | ) | — | (0.040 | ) | ||||||||||||||||||||||
2007 | 1.00 | 0.050 | — | 0.050 | (0.050 | ) | — | (0.050 | ) | ||||||||||||||||||||||
2008 | 1.00 | 0.020 | — | 0.020 | (0.020 | ) | — | (0.020 | ) | ||||||||||||||||||||||
2009 | ^ | 1.00 | 0.000 | (l) | — | 0.000 | (l) | 0.000 | (l) | — | 0.000 | (l) | |||||||||||||||||||
FLEXIBLE INCOME CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 7.80 | 0.38 | $ | 0.14 | 0.52 | (0.64 | ) | — | (0.64 | ) | |||||||||||||||||||||
2005 | 7.68 | 0.38 | (0.17 | ) | 0.21 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||||
2006 | 7.35 | 0.46 | (0.04 | ) | 0.42 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||||
2007 | 7.30 | 0.48 | (0.21 | ) | 0.27 | (0.44 | ) | $ | (0.01 | )(d) | (0.45 | ) | |||||||||||||||||||
2008 | 7.12 | 0.41 | (1.93 | ) | (1.52 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
2009 | ^ | 5.46 | 0.10 | 0.41 | 0.51 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 7.78 | 0.36 | 0.13 | 0.49 | (0.62 | ) | — | (0.62 | ) | ||||||||||||||||||||||
2005 | 7.65 | 0.36 | (0.16 | ) | 0.20 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||||
2006 | 7.33 | 0.44 | (0.05 | ) | 0.39 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||||||
2007 | 7.27 | 0.46 | (0.20 | ) | 0.26 | (0.42 | ) | (0.01 | )(d) | (0.43 | ) | ||||||||||||||||||||
2008 | 7.10 | 0.39 | (1.93 | ) | (1.54 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||
2009 | ^ | 5.43 | 0.09 | 0.41 | 0.50 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||
BALANCED CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 14.71 | 0.31 | 1.28 | 1.59 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||||||
2005 | 15.95 | 0.34 | 0.95 | 1.29 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||||||
2006 | 16.88 | 0.41 | 1.60 | 2.01 | (0.44 | ) | (0.88 | ) | (1.32 | ) | |||||||||||||||||||||
2007 | 17.57 | 0.42 | 0.28 | 0.70 | (0.45 | ) | (1.42 | ) | (1.87 | ) | |||||||||||||||||||||
2008 | 16.40 | 0.36 | (3.77 | ) | (3.41 | ) | (0.11 | ) | (1.83 | ) | (1.94 | ) | |||||||||||||||||||
2009 | ^ | 11.05 | 0.12 | (0.09 | ) | 0.03 | (0.35 | ) | — | (0.35 | ) |
See Notes to Financial Statements
152
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | REBATE FROM MORGAN STANLEY AFFILIATE | PORTFOLIO TURNOVER RATE | ||||||||||||||||||||||||
MONEY MARKET CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 1.00 | 0.86 | % | $ | 67,945 | 0.55 | % | 0.84 | % | — | N/A | |||||||||||||||||||
2005 | 1.00 | 2.73 | 52,030 | 0.57 | 2.68 | — | N/A | ||||||||||||||||||||||||
2006 | 1.00 | 4.59 | 46,731 | 0.58 | 4.56 | — | N/A | ||||||||||||||||||||||||
2007 | 1.00 | 4.93 | 38,036 | 0.58 | 4.79 | — | N/A | ||||||||||||||||||||||||
2008 | 1.00 | 2.38 | 42,190 | 0.58 | 2.34 | — | N/A | ||||||||||||||||||||||||
2009 | ^ | 1.00 | 0.02 | (j) | 49,993 | 0.48 | (h)(i)(k) | 0.04 | (h)(i)(k) | — | N/A | ||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 1.00 | 0.61 | 33,468 | 0.80 | 0.59 | — | N/A | ||||||||||||||||||||||||
2005 | 1.00 | 2.48 | 37,010 | 0.82 | 2.43 | — | N/A | ||||||||||||||||||||||||
2006 | 1.00 | 4.34 | 74,239 | 0.83 | 4.31 | — | N/A | ||||||||||||||||||||||||
2007 | 1.00 | 4.67 | 84,724 | 0.83 | 4.54 | — | N/A | ||||||||||||||||||||||||
2008 | 1.00 | 2.13 | 173,595 | 0.83 | 1.91 | — | N/A | ||||||||||||||||||||||||
2009 | ^ | 1.00 | 0.01 | (j) | 140,852 | 0.50 | (h)(i)(k) | 0.02 | (h)(i)(k) | — | N/A | ||||||||||||||||||||
FLEXIBLE INCOME CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 7.68 | 7.00 | 43,658 | 0.69 | 4.96 | — | 201 | % | |||||||||||||||||||||||
2005 | 7.35 | 2.88 | 35,755 | 0.60 | 5.11 | — | 83 | ||||||||||||||||||||||||
2006 | 7.30 | 5.76 | 29,166 | 0.56 | 6.30 | — | 52 | ||||||||||||||||||||||||
2007 | 7.12 | 3.89 | 24,135 | 0.61 | 6.62 | — | 51 | ||||||||||||||||||||||||
2008 | 5.46 | (21.62 | ) | 14,743 | 0.67 | (f) | 6.48 | (f) | 0.00 | %(g) | 73 | ||||||||||||||||||||
2009 | ^ | 5.54 | 9.14 | (j) | 13,925 | 0.93 | (f)(k) | 3.67 | (f)(k) | 0.00 | (g)(k) | 112 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 7.65 | 6.61 | 26,927 | 0.94 | 4.71 | — | 201 | ||||||||||||||||||||||||
2005 | 7.33 | 2.62 | 25,624 | 0.85 | 4.86 | — | 83 | ||||||||||||||||||||||||
2006 | 7.27 | 5.68 | 25,765 | 0.81 | 6.05 | — | 52 | ||||||||||||||||||||||||
2007 | 7.10 | 3.64 | 25,381 | 0.86 | 6.37 | — | 51 | ||||||||||||||||||||||||
2008 | 5.43 | (21.89 | ) | 15,658 | 0.92 | (f) | 6.23 | (f) | 0.00 | (g) | 73 | ||||||||||||||||||||
2009 | ^ | 5.51 | 8.97 | (j) | 16,078 | 1.18 | (f)(k) | 3.42 | (f)(k) | 0.00 | (g)(k) | 112 | (j) | ||||||||||||||||||
BALANCED CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 15.95 | 10.93 | 75,517 | 0.69 | 2.04 | — | 62 | ||||||||||||||||||||||||
2005 | 16.88 | 8.21 | 64,663 | 0.70 | 2.07 | — | 55 | ||||||||||||||||||||||||
2006 | 17.57 | 12.67 | 54,204 | 0.74 | 2.42 | — | 45 | ||||||||||||||||||||||||
2007 | 16.40 | 3.86 | 42,488 | 0.78 | 2.44 | — | 86 | ||||||||||||||||||||||||
2008 | 11.05 | (22.51 | ) | 25,225 | 0.84 | (f) | 2.65 | (f) | 0.01 | 65 | |||||||||||||||||||||
2009 | ^ | 10.73 | 0.14 | (j) | 23,966 | 0.86 | (f)(k) | 2.21 | (f)(k) | 0.01 | (k) | 39 | (j) |
153
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
BALANCED CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 14.68 | $ | 0.27 | $ | 1.28 | $ | 1.55 | $ | (0.31 | ) | — | $ | (0.31 | ) | ||||||||||||||||
2005 | 15.92 | 0.30 | 0.95 | 1.24 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||||
2006 | 16.84 | 0.37 | 1.59 | 1.96 | (0.40 | ) | $ | (0.88 | ) | (1.28 | ) | ||||||||||||||||||||
2007 | 17.52 | 0.38 | 0.29 | 0.67 | (0.41 | ) | (1.42 | ) | (1.83 | ) | |||||||||||||||||||||
2008 | 16.36 | 0.33 | (3.76 | ) | (3.43 | ) | (0.10 | ) | (1.83 | ) | (1.93 | ) | |||||||||||||||||||
2009 | ^ | 11.00 | 0.10 | (0.09 | ) | 0.01 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||
GLOBAL INFRASTRUCTURE CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 15.46 | 0.36 | 3.37 | 3.73 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||||||
2005 | 18.82 | 0.43 | 2.62 | 3.05 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||||||
2006 | 21.43 | 0.46 | 3.88 | 4.34 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||||||
2007 | 25.29 | 0.51 | 4.49 | 5.00 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||||||
2008 | 29.77 | 0.58 | (10.37 | ) | (9.79 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||
2009 | ^ | 19.83 | 0.39 | (0.14 | ) | 0.25 | (0.69 | ) | — | (0.69 | ) | ||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 15.45 | 0.32 | 3.37 | 3.69 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2005 | 18.81 | 0.38 | 2.62 | 3.00 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||||||
2006 | 21.42 | 0.40 | 3.87 | 4.27 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
2007 | 25.27 | 0.45 | 4.48 | 4.93 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||||||
2008 | 29.75 | 0.52 | (10.36 | ) | (9.84 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||
2009 | ^ | 19.78 | 0.37 | (0.14 | ) | 0.23 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 14.83 | 0.23 | 0.99 | 1.22 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||
2005 | 15.81 | 0.20 | 0.67 | 0.87 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2006 | 16.48 | 0.22 | 1.62 | 1.84 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||||
2007 | 18.09 | 0.22 | 0.55 | 0.77 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2008 | 18.64 | 0.26 | (7.06 | ) | (6.80 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||
2009 | ^ | 11.77 | 0.11 | 0.19 | 0.30 | (0.25 | ) | — | (0.25 | ) |
See Notes to Financial Statements
154
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | REBATE FROM MORGAN STANLEY AFFILIATE | PORTFOLIO TURNOVER RATE | ||||||||||||||||||||||||
BALANCED CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 15.92 | 10.68 | % | $ | 27,308 | 0.94 | % | 1.79 | % | — | 62 | % | ||||||||||||||||||
2005 | 16.84 | 7.89 | 27,970 | 0.95 | 1.82 | — | 55 | ||||||||||||||||||||||||
2006 | 17.52 | 12.37 | 30,562 | 0.99 | 2.17 | — | 45 | ||||||||||||||||||||||||
2007 | 16.36 | 3.60 | 27,535 | 1.03 | 2.19 | — | 86 | ||||||||||||||||||||||||
2008 | 11.00 | (22.64 | ) | 17,048 | 1.09 | (f) | 2.40 | (f) | 0.01 | % | 65 | ||||||||||||||||||||
2009 | ^ | 10.69 | (0.03 | )(j) | 15,189 | 1.11 | (f)(k) | 1.96 | (f)(k) | 0.01 | (k) | 39 | (j) | ||||||||||||||||||
GLOBAL INFRASTRUCTURE CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 18.82 | 24.44 | 63,052 | 0.71 | 2.19 | — | 29 | ||||||||||||||||||||||||
2005 | 21.43 | 16.28 | 59,823 | 0.72 | 2.12 | — | 38 | ||||||||||||||||||||||||
2006 | 25.29 | 20.50 | 52,892 | 0.74 | 2.02 | — | 21 | ||||||||||||||||||||||||
2007 | 29.77 | 19.86 | 48,582 | 0.75 | 1.83 | — | 8 | ||||||||||||||||||||||||
2008 | 19.83 | (33.02 | ) | 26,297 | 0.84 | (f) | 2.28 | (f) | 0.00 | (g) | 77 | ||||||||||||||||||||
2009 | ^ | 19.39 | 1.23 | (j) | 23,733 | 1.44 | (f)(k) | 4.38 | (f)(k) | 0.00 | (g)(k) | 128 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 18.81 | 24.15 | 15,650 | 0.96 | 1.94 | — | 29 | ||||||||||||||||||||||||
2005 | 21.42 | 16.00 | 16,267 | 0.97 | 1.87 | — | 38 | ||||||||||||||||||||||||
2006 | 25.27 | 20.17 | 17,495 | 0.99 | 1.77 | — | 21 | ||||||||||||||||||||||||
2007 | 29.75 | 19.59 | 18,763 | 1.00 | 1.58 | — | 8 | ||||||||||||||||||||||||
2008 | 19.78 | (33.19 | ) | 10,886 | 1.09 | (f) | 2.03 | (f) | 0.00 | (g) | 77 | ||||||||||||||||||||
2009 | ^ | 19.37 | 1.10 | (j) | 9,740 | 1.69 | (f)(k) | 4.13 | (f)(k) | 0.00 | (g)(k) | 128 | (j) | ||||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 15.81 | 8.29 | 307,093 | 0.65 | 1.54 | — | 44 | ||||||||||||||||||||||||
2005 | 16.48 | 5.57 | 249,516 | 0.63 | 1.26 | — | 38 | ||||||||||||||||||||||||
2006 | 18.09 | 11.25 | 201,169 | 0.67 | 1.31 | — | 115 | ||||||||||||||||||||||||
2007 | 18.64 | 4.27 | 153,676 | 0.67 | 1.18 | — | 48 | ||||||||||||||||||||||||
2008 | 11.77 | (36.60 | ) | 77,428 | 0.71 | (f) | 1.63 | (f) | 0.01 | 61 | |||||||||||||||||||||
2009 | ^ | 11.82 | 2.53 | (j) | 68,815 | 0.74 | (f)(k) | 1.96 | (f)(k) | 0.00 | (g)(k) | 16 | (j) |
155
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
DIVIDEND GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 14.81 | $ | 0.20 | $ | 0.98 | $ | 1.18 | $ | (0.20 | ) | — | $ | (0.20 | ) | ||||||||||||||||
2005 | 15.79 | 0.16 | 0.66 | 0.82 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||||
2006 | 16.45 | 0.18 | 1.62 | 1.80 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2007 | 18.07 | 0.17 | 0.55 | 0.72 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2008 | 18.61 | 0.22 | (7.04 | ) | (6.82 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||
2009 | ^ | 11.73 | 0.09 | 0.19 | 0.28 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||
EQUALLY-WEIGHTED S&P 500 CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 21.13 | 0.23 | 3.27 | 3.50 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2005 | 24.45 | 0.32 | 1.54 | 1.86 | (0.23 | ) | $ | (0.37 | ) | (0.60 | ) | ||||||||||||||||||||
2006 | 25.71 | 0.37 | 3.45 | 3.82 | (0.34 | ) | (1.44 | ) | (1.78 | ) | |||||||||||||||||||||
2007 | 27.75 | 0.41 | 0.20 | 0.61 | (0.42 | ) | (2.57 | ) | (2.99 | ) | |||||||||||||||||||||
2008 | 25.37 | 0.32 | (8.73 | ) | (8.41 | ) | (0.45 | ) | (4.90 | ) | (5.35 | ) | |||||||||||||||||||
2009 | ^ | 11.61 | 0.11 | 1.34 | 1.45 | (0.34 | ) | (0.55 | ) | (0.89 | ) | ||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 20.99 | 0.18 | 3.23 | 3.41 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||
2005 | 24.25 | 0.26 | 1.53 | 1.79 | (0.19 | ) | (0.37 | ) | (0.56 | ) | |||||||||||||||||||||
2006 | 25.48 | 0.30 | 3.42 | 3.72 | (0.29 | ) | (1.44 | ) | (1.73 | ) | |||||||||||||||||||||
2007 | 27.47 | 0.34 | 0.19 | 0.53 | (0.35 | ) | (2.57 | ) | (2.92 | ) | |||||||||||||||||||||
2008 | 25.08 | 0.27 | (8.63 | ) | (8.36 | ) | (0.37 | ) | (4.90 | ) | (5.27 | ) | |||||||||||||||||||
2009 | ^ | 11.45 | 0.10 | 1.31 | 1.41 | (0.29 | ) | (0.55 | ) | (0.84 | ) | ||||||||||||||||||||
CAPITAL GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 14.16 | 0.05 | 1.03 | 1.08 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2005 | 15.21 | 0.01 | 2.35 | 2.36 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||||
2006 | 17.51 | (0.01 | ) | 0.70 | 0.69 | — | — | — | |||||||||||||||||||||||
2007 | 18.20 | 0.08 | 3.92 | 3.99 | — | — | 0.00 | ||||||||||||||||||||||||
2008 | 22.19 | (0.04 | ) | (10.74 | ) | (10.78 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
2009 | ^ | 11.35 | 0.00 | 3.02 | 3.02 | — | — | — |
See Notes to Financial Statements
156
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | REBATE FROM MORGAN STANLEY AFFILIATE | PORTFOLIO TURNOVER RATE | ||||||||||||||||||||||||
DIVIDEND GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 15.79 | 8.03 | % | $ | 59,314 | 0.90 | % | 1.29 | % | — | 44 | % | ||||||||||||||||||
2005 | 16.45 | 5.32 | 56,061 | 0.88 | 1.01 | — | 38 | ||||||||||||||||||||||||
2006 | 18.07 | 10.98 | 54,255 | 0.92 | 1.06 | — | 115 | ||||||||||||||||||||||||
2007 | 18.61 | 3.95 | 49,021 | 0.92 | 0.93 | — | 48 | ||||||||||||||||||||||||
2008 | 11.73 | (36.76 | ) | 24,355 | 0.96 | (f) | 1.38 | (f) | 0.01 | % | 61 | ||||||||||||||||||||
2009 | ^ | 11.80 | 2.41 | (j) | 21,776 | 0.99 | (f)(k) | 1.71 | (f)(k) | 0.00 | (g)(k) | 16 | (j) | ||||||||||||||||||
EQUALLY-WEIGHTED S&P 500 CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 24.45 | 16.65 | 142,320 | 0.50 | 1.07 | — | 20 | ||||||||||||||||||||||||
2005 | 25.71 | 7.81 | 120,117 | 0.27 | 1.30 | — | 17 | ||||||||||||||||||||||||
2006 | 27.75 | 15.69 | 103,824 | 0.27 | 1.40 | — | 17 | ||||||||||||||||||||||||
2007 | 25.37 | 1.47 | 77,688 | 0.28 | 1.48 | — | 17 | ||||||||||||||||||||||||
2008 | 11.61 | (40.02 | ) | 36,814 | 0.31 | (f) | 1.70 | (f) | 0.00 | (g) | 32 | ||||||||||||||||||||
2009 | ^ | 12.17 | 12.53 | (j) | 36,456 | 0.39 | (f)(k) | 1.93 | (f)(k) | 0.00 | (g)(k) | 21 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 24.25 | 16.33 | 80,900 | 0.75 | 0.82 | — | 20 | ||||||||||||||||||||||||
2005 | 25.48 | 7.57 | 101,156 | 0.52 | 1.05 | — | 17 | ||||||||||||||||||||||||
2006 | 27.47 | 15.34 | 112,897 | 0.52 | 1.15 | — | 17 | ||||||||||||||||||||||||
2007 | 25.08 | 1.23 | 99,861 | 0.53 | 1.23 | — | 17 | ||||||||||||||||||||||||
2008 | 11.45 | (40.19 | ) | 46,447 | 0.56 | (f) | 1.45 | (f) | 0.00 | (g) | 32 | ||||||||||||||||||||
2009 | ^ | 12.02 | 12.36 | (j) | 48,917 | 0.64 | (f)(k) | 1.68 | (f)(k) | 0.00 | (g)(k) | 21 | (j) | ||||||||||||||||||
CAPITAL GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 15.21 | 7.64 | 34,038 | 0.93 | 0.37 | — | 168 | ||||||||||||||||||||||||
2005 | 17.51 | 15.55 | 31,126 | 0.70 | 0.05 | — | 83 | ||||||||||||||||||||||||
2006 | 18.20 | 3.94 | 23,975 | 0.71 | (0.04 | ) | — | 61 | |||||||||||||||||||||||
2007 | 22.19 | 21.92 | 21,863 | 0.70 | 0.38 | — | 55 | ||||||||||||||||||||||||
2008 | 11.35 | (48.70 | ) | 8,621 | 0.81 | (f) | (0.21 | )(f) | 0.00 | (g) | 42 | ||||||||||||||||||||
2009 | ^ | 14.37 | 26.61 | (j) | 9,638 | 0.91 | (f)(k) | 0.01 | (f)(k) | 0.01 | (k) | 6 | (j) |
157
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
CAPITAL GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 14.05 | $ | 0.03 | $ | 1.01 | $ | 1.04 | $ | (0.01 | ) | — | $ | (0.01 | ) | ||||||||||||||||
2005 | 15.08 | (0.03 | ) | 2.32 | 2.29 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||
2006 | 17.33 | (0.05 | ) | 0.69 | 0.64 | — | — | — | |||||||||||||||||||||||
2007 | 17.97 | 0.03 | 3.86 | 3.89 | — | — | 0.00 | ||||||||||||||||||||||||
2008 | 21.86 | (0.08 | ) | (10.59 | ) | (10.67 | ) | 0.00 | — | 0.00 | |||||||||||||||||||||
2009 | ^ | 11.19 | (0.02 | ) | 2.97 | 2.95 | — | — | — | ||||||||||||||||||||||
FOCUS GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 14.03 | 0.08 | 1.08 | 1.16 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2005 | 15.14 | 0.01 | 2.15 | 2.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2006 | 17.19 | (0.03 | ) | 0.09 | 0.06 | 0.00 | (e) | — | 0.00 | (e) | |||||||||||||||||||||
2007 | 17.25 | 0.08 | 3.85 | 3.93 | — | — | — | ||||||||||||||||||||||||
2008 | 21.18 | (0.03 | ) | (10.83 | ) | (10.86 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
2009 | ^ | 10.25 | 0.00 | 3.09 | 3.09 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 13.96 | 0.05 | 1.06 | 1.11 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2005 | 15.05 | (0.03 | ) | 2.15 | 2.12 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2006 | 17.10 | (0.07 | ) | 0.09 | 0.02 | — | — | — | |||||||||||||||||||||||
2007 | 17.12 | 0.04 | 3.81 | 3.85 | — | — | 0.00 | ||||||||||||||||||||||||
2008 | 20.97 | (0.08 | ) | (10.73 | ) | (10.81 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
2009 | ^ | 10.15 | (0.01 | ) | 3.06 | 3.05 | — | — | 0.00 | ||||||||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 7.79 | (0.03 | ) | 1.79 | 1.76 | — | — | — | |||||||||||||||||||||||
2005 | 9.55 | (0.03 | ) | 2.19 | 2.16 | — | — | — | |||||||||||||||||||||||
2006 | 11.71 | (0.04 | ) | 0.95 | 0.91 | — | — | — | |||||||||||||||||||||||
2007 | 12.62 | 0.04 | 2.41 | 2.45 | — | — | 0.00 | ||||||||||||||||||||||||
2008 | 15.07 | (0.05 | ) | (7.34 | ) | (7.39 | ) | — | — | 0.00 | |||||||||||||||||||||
2009 | ^ | 7.68 | (0.01 | ) | 2.41 | 2.40 | — | — | 0.00 | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 7.72 | (0.05 | ) | 1.78 | 1.73 | — | — | — | |||||||||||||||||||||||
2005 | 9.45 | (0.06 | ) | 2.16 | 2.10 | — | — | — | |||||||||||||||||||||||
2006 | 11.55 | (0.07 | ) | 0.94 | 0.87 | — | — | — | |||||||||||||||||||||||
2007 | 12.42 | 0.00 | 2.37 | 2.37 | — | — | 0.00 | ||||||||||||||||||||||||
2008 | 14.79 | (0.08 | ) | (7.19 | ) | (7.27 | ) | — | — | 0.00 | |||||||||||||||||||||
2009 | ^ | 7.52 | (0.02 | ) | 2.36 | 2.34 | — | — | 0.00 |
See Notes to Financial Statements
158
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME (LOSS) | REBATE FROM MORGAN STANLEY AFFILIATE | PORTFOLIO TURNOVER RATE | ||||||||||||||||||||||||
CAPITAL GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 15.08 | 7.38 | % | $ | 10,934 | 1.18 | % | 0.12 | % | — | 168 | % | ||||||||||||||||||
2005 | 17.33 | 15.21 | 21,746 | 0.95 | (0.20 | ) | — | 83 | |||||||||||||||||||||||
2006 | 17.97 | 3.75 | 27,009 | 0.96 | (0.29 | ) | — | 61 | |||||||||||||||||||||||
2007 | 21.86 | 21.58 | 27,644 | 0.95 | 0.13 | — | 55 | ||||||||||||||||||||||||
2008 | 11.19 | (48.81 | ) | 12,953 | 1.06 | (f) | (0.46 | )(f) | 0.00 | %(g) | 42 | ||||||||||||||||||||
2009 | ^ | 14.14 | 26.36 | (j) | 15,157 | 1.16 | (f)(k) | (0.24 | )(f)(k) | 0.01 | (k) | 6 | (j) | ||||||||||||||||||
FOCUS GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 15.14 | 8.29 | 212,736 | 0.67 | 0.60 | — | 134 | ||||||||||||||||||||||||
2005 | 17.19 | 14.39 | 186,633 | 0.67 | 0.06 | — | 73 | ||||||||||||||||||||||||
2006 | 17.25 | 0.37 | 137,081 | 0.69 | (0.15 | ) | — | 98 | |||||||||||||||||||||||
2007 | 21.18 | 22.78 | 125,826 | 0.72 | 0.44 | — | 48 | ||||||||||||||||||||||||
2008 | 10.25 | (51.43 | ) | 48,722 | 0.70 | (f) | (0.19 | )(f) | 0.01 | 31 | |||||||||||||||||||||
2009 | ^ | 13.32 | 30.12 | (j) | 55,989 | 0.76 | (f)(k) | 0.06 | (f)(k) | 0.00 | (g)(k) | 7 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 15.05 | 7.96 | 43,269 | 0.92 | 0.35 | — | 134 | ||||||||||||||||||||||||
2005 | 17.10 | 14.16 | 42,906 | 0.92 | (0.19 | ) | — | 73 | |||||||||||||||||||||||
2006 | 17.12 | 0.12 | 36,895 | 0.94 | (0.40 | ) | — | 98 | |||||||||||||||||||||||
2007 | 20.97 | 22.49 | 38,526 | 0.97 | 0.19 | — | 48 | ||||||||||||||||||||||||
2008 | 10.15 | (51.57 | ) | 14,206 | 0.95 | (f) | (0.44 | )(f) | 0.01 | 31 | |||||||||||||||||||||
2009 | ^ | 13.20 | 30.05 | (j) | 17,922 | 1.01 | (f)(k) | (0.19 | )(f)(k) | 0.00 | (g)(k) | 7 | (j) | ||||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | 9.55 | 22.59 | 25,408 | 0.90 | (0.32 | ) | — | 118 | |||||||||||||||||||||||
2005 | 11.71 | 22.62 | 24,087 | 0.89 | (0.33 | ) | — | 87 | |||||||||||||||||||||||
2006 | 12.62 | 7.86 | 19,112 | 0.90 | (0.32 | ) | — | 59 | |||||||||||||||||||||||
2007 | 15.07 | 19.32 | 17,108 | 0.94 | 0.26 | — | 57 | ||||||||||||||||||||||||
2008 | 7.68 | (49.04 | ) | 6,744 | 1.04 | (f) | (0.37 | )(f) | 0.00 | (g) | 33 | ||||||||||||||||||||
2009 | ^ | 10.08 | 31.25 | (j) | 7,983 | 1.23 | (f)(k) | (0.17 | )(f)(k) | 0.00 | (g)(k) | 9 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 9.45 | 22.41 | 13,980 | 1.15 | (0.57 | ) | — | 118 | |||||||||||||||||||||||
2005 | 11.55 | 22.22 | 15,897 | 1.14 | (0.58 | ) | — | 87 | |||||||||||||||||||||||
2006 | 12.42 | 7.53 | 16,127 | 1.15 | (0.57 | ) | — | 59 | |||||||||||||||||||||||
2007 | 14.79 | 19.08 | 18,362 | 1.19 | 0.01 | — | 57 | ||||||||||||||||||||||||
2008 | 7.52 | (49.15 | ) | 8,571 | 1.29 | (f) | (0.62 | )(f) | 0.00 | (g) | 33 | ||||||||||||||||||||
2009 | ^ | 9.86 | 31.12 | (j) | 10,704 | 1.48 | (f)(k) | (0.42 | )(f)(k) | 0.00 | (g)(k) | 9 | (j) |
159
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
MID CAP GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 16.36 | $ | (0.03 | ) | $ | 3.68 | $ | 3.65 | — | — | — | |||||||||||||||||||
2005 | 20.01 | (0.03 | ) | 3.78 | 3.75 | — | — | — | |||||||||||||||||||||||
2006 | 23.76 | 0.12 | 2.40 | 2.52 | — | — | — | ||||||||||||||||||||||||
2007 | 26.28 | 0.16 | 5.87 | 6.03 | $ | (0.12 | ) | — | $ | (0.12 | ) | ||||||||||||||||||||
2008 | 32.19 | (0.05 | ) | (15.34 | ) | (15.39 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
2009 | ^ | 16.61 | 0.01 | 4.06 | 4.07 | — | — | — | |||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 16.22 | (0.07 | ) | 3.64 | 3.57 | — | — | — | |||||||||||||||||||||||
2005 | 19.79 | (0.08 | ) | 3.72 | 3.64 | — | — | — | |||||||||||||||||||||||
2006 | 23.43 | 0.05 | 2.38 | 2.43 | — | — | — | ||||||||||||||||||||||||
2007 | 25.86 | 0.09 | 5.76 | 5.85 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2008 | 31.67 | (0.11 | ) | (15.10 | ) | (15.21 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
2009 | ^ | 16.34 | (0.02 | ) | 4.00 | 3.98 | — | — | — |
^ For the six months ended June 30, 2009.
(a) The per share amounts were computed using an average number of shares outstanding during the period.
(b) Calculated based on the net asset value as of the last business day of the period. Performance shown does not reflect fees and expenses imposed by your insurance company. If performance information included the effect of these additional charges, the total returns would be lower.
(c) Reflects overall Portfolio ratios for investment income and non-class specific expenses.
(d) Distribution from paid-in-capital.
(e) Includes dividends of less than $0.001.
(f) The ratio reflects the rebate of certain Portfolio 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".
(g) Amount is less than 0.005%.
(h) Reflects fees paid in connection with the U.S. Treasury Guarantee Program for Money Market Funds. This fee had an effect of 0.04% See Note 10.
See Notes to Financial Statements
160
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31 | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME (LOSS) | REBATE FROM MORGAN STANLEY AFFILIATE | PORTFOLIO TURNOVER RATE | ||||||||||||||||||||||||
MID CAP GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2004 | $ | 20.01 | 22.31 | % | $ | 52,359 | 0.64 | % | (0.19 | )% | — | 135 | % | ||||||||||||||||||
2005 | 23.76 | 18.69 | 49,116 | 0.63 | (0.15 | ) | — | 102 | |||||||||||||||||||||||
2006 | 26.28 | 10.69 | 41,466 | 0.63 | 0.47 | — | 65 | ||||||||||||||||||||||||
2007 | 32.19 | 22.94 | 38,069 | 0.67 | 0.54 | — | 78 | ||||||||||||||||||||||||
2008 | 16.61 | (48.06 | ) | 16,023 | 0.74 | (f) | (0.19 | )(f) | 0.01 | % | 43 | ||||||||||||||||||||
2009 | ^ | 20.68 | 24.50 | (j) | 17,803 | 0.83 | (f)(k) | 0.05 | (f)(k) | 0.01 | (k) | 11 | (j) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2004 | 19.79 | 21.95 | 8,943 | 0.89 | (0.44 | ) | — | 135 | |||||||||||||||||||||||
2005 | 23.43 | 18.40 | 10,704 | 0.88 | (0.40 | ) | — | 102 | |||||||||||||||||||||||
2006 | 25.86 | 10.42 | 10,192 | 0.88 | 0.22 | — | 65 | ||||||||||||||||||||||||
2007 | 31.67 | 22.65 | 12,788 | 0.92 | 0.29 | — | 78 | ||||||||||||||||||||||||
2008 | 16.34 | (48.20 | ) | 5,469 | 0.99 | (f) | (0.44 | )(f) | 0.01 | 43 | |||||||||||||||||||||
2009 | ^ | 20.32 | 24.36 | (j) | 6,469 | 1.08 | (f)(k) | (0.20 | )(f)(k) | 0.01 | (k) | 11 | (j) |
(i) If the Portfolio had borne all of its expenses that were reimbursed or waived by the Distributor, Investment Advisor and Administrator, the annualized expense and net investment loss ratios would have been as follows:
PERIOD ENDED | EXPENSE RATIO | NET INVESTMENT LOSS RATIO | |||||||||
June 30, 2009 | |||||||||||
Class X | 0.58 | % | (0.06 | )% | |||||||
Class Y | 0.83 | (0.31 | ) |
(j) Not annualized.
(k) Annualized.
(l) Amount is less than $0.001.
161
Morgan Stanley Select Dimensions Investment Series
An Important Notice Concerning Our U.S. Privacy Policy (unaudited)
We are required by federal law to provide you with a copy of our Privacy Policy annually.
This Policy applies to individual clients who are current and former advisory clients of certain Morgan Stanley Investment Management's U.S. investment advisers and to current and former individual investors in certain U.S. mutual funds advised by Morgan Stanley and its affiliates.
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.
Please note that we may amend this Policy at any time, and will inform you of any changes to this Policy as required by law.
We Respect Your Privacy
We appreciate that you have provided us with your personal financial information and understand your concerns about safeguarding such information. We strive to maintain the privacy of such information while we help you achieve your financial objectives.
This Policy describes what nonpublic personal information we collect about you, how we collect it, when we may share it with others, and how others may use it. It discusses the steps you may take to limit our sharing of information about you with affiliated Morgan Stanley companies ("other Morgan Stanley companies"), including but not limited to our global financial services affiliates that are part of our integrated securities and investment management business, and our credit services 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 or your accounts as "personal information."
1. What Personal Information Do We Collect About You?
To better serve you and manage our business, it is important that we collect and maintain accurate information about you. We obtain this information from applications and other forms you submit to us, from your dealings with us, from consumer reporting agencies and from third parties and other sources. For example:
• We collect information such as your name, address, e-mail address, phone number and account title.
162
Morgan Stanley Select Dimensions Investment Series
An Important Notice Concerning Our U.S. Privacy Policy (unaudited) continued
• 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?
To provide you with the products and services you request, to better serve you, to manage our business and as otherwise required or permitted by law, we may disclose personal information we collect about you to other Morgan Stanley companies and to non-affiliated third parties.
a. Information We Disclose to Other Morgan Stanley Companies In order to manage your account(s) effectively, including servicing and processing your transactions, to let you know about products and services offered by us and other Morgan Stanley companies, to manage our business, and as otherwise required or permitted by law, we may disclose personal information to other Morgan Stanley companies, Offers for products and services from other Morgan Stanley companies are developed under conditions designed to safeguard your personal information.
b. Information We Disclose to Third Parties We do not disclose personal information that we collect about you to non-affiliated third parties except to enable them to provide marketing services on our behalf, to perform joint marketing agreements with other financial institutions, and as otherwise required or permitted by law. For example, some instances where we may disclose information about you to third parties include: for servicing and processing transactions, to offer our own products and services, to protect against fraud, for institutional risk control, to respond to judicial process or to perform services on our behalf. Morgan Stanley recognizes that your relationship with your Financial Advisor is important. If your Financial Advisor's affiliation with Morgan Stanley e nds and he/she joins a non-affiliated securities broker-dealer with which Morgan Stanley has entered into an agreement limiting the use of information, Morgan Stanley will permit your Financial Advisor to retain certain of your contact information, limited to your name, address, e-mail address, phone number and account title.
When we share personal information with a non-affiliated third party, they are required to limit their use of personal information to the particular purpose for which it was shared and they are not allowed to share personal information with others except to fulfill that limited purpose.
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An Important Notice Concerning Our U.S. Privacy Policy (unaudited) continued
3. How Do We Protect the Security and Confidentiality of Personal Information We Collect About You?
We maintain physical, electronic and procedural security measures to help safeguard the personal information we collect about you. We have internal policies governing the proper handling of client information. Third parties that provide support or marketing services on our behalf may also receive personal information, and we require them to adhere to confidentiality standards with respect to such information.
4. How Can You Limit the Sharing of Certain Types of Personal Information with Other Morgan Stanley Companies?
We respect your privacy and offer you choices as to whether we share with other Morgan Stanley companies personal information that was collected to determine your eligibility for products and services you request ("eligibility information"). Please note that, even if you direct us not to share eligibility information with other Morgan Stanley companies ("opt-out"), we may still share personal information, including eligibility information, with those companies in circumstances excluded from the opt-out under applicable law, such as to process transactions or to service your account. We may also share certain other types of personal information with other Morgan Stanley companies — such as your name, address, telephone number, e-mail address and account number(s), and information about your transactions and experiences with us.
5. How Can You Limit the Use of Certain Types of Personal Information by Other Morgan Stanley Companies for Marketing?
You may limit other Morgan Stanley companies from marketing their products or services to you based on your personal information that they receive from other Morgan Stanley companies. This information includes your income, assets and account history. Your choice to limit marketing offers from other Morgan Stanley companies will apply until you tell us to change your choice.
If you wish to opt-out of sharing and to limit marketing offers, you may do so by:
• Calling us at 800.350.6414
Monday–Friday between 8 a.m. and 8 p.m. (ET)
• Writing to us at the following address:
Morgan Stanley Privacy Department
Harborside Financial Center, Plaza Two, 3rd Floor
Jersey City, NJ 07311
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An Important Notice Concerning Our U.S. Privacy Policy (unaudited) continued
If you choose to write to us, your written request should include your name, address, telephone number and account number(s) to which the opt-out applies and should not be sent with any other correspondence. In order to process your request, we require that the request be provided by you directly and not through a third party.
If you have previously notified us about your privacy preferences, it is not necessary to do so again unless you decide to change your preferences. Your opt-out preference will remain in effect with respect to this Policy (as it may be amended) until you notify us otherwise in writing. If you have a joint account, your direction for us not to share this information with other Morgan Stanley companies and for those Morgan Stanley companies not to use your personal information for marketing will be applied to all account holders on that account.
Please understand that if you opt-out, you and any joint account holders may not receive information about Morgan Stanley products and services that could help you manage your financial resources and achieve your investment objectives.
If you hold more than one account with Morgan Stanley, you may receive multiple privacy policies from us, and would need to follow the directions stated in each particular policy for each account you have with us.
Special Notice to Residents of Vermont
This section supplements our Policy with respect to our individual clients who have a Vermont address and supersedes anything to the contrary in the above Policy with respect to those clients only.
The State of Vermont requires financial institutions to obtain your consent prior to sharing personal information that they collect about you with affiliated companies and non-affiliated third parties other than in certain limited circumstances. Except as permitted by law, we will not share personal information we collect about you with non-affiliated third parties or other Morgan Stanley companies unless you provide us with your written consent to share such information ("opt-in"). If you wish to receive offers for investment products and services offered by or through other Morgan Stanley companies, please notify us in writing at the following address:
Morgan Stanley Privacy Department
Harborside Financial Center, Plaza Two, 3rd Floor
Jersey City, NJ 07311
Your authorization should include your name, address, telephone number and account number(s) to which the opt-in applies and should not be sent with any other correspondence. In order to process your authorization, we require that the authorization be provided by you directly and not through a third-party.
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Trustees | |||||||
Frank L. Bowman | Joseph J. Kearns | ||||||
Michael Bozic | Michael F. Klein | ||||||
Kathleen A. Dennis | Michael E. Nugent | ||||||
James F. Higgins | W. Allen Reed | ||||||
Dr. Manuel H. Johnson | Fergus Reid | ||||||
Officers | |||||||
Michael E. Nugent Chairperson of the Board | |||||||
Randy Takian President and Principal Executive Officer | |||||||
Kevin Klingert Vice President | |||||||
Carsten Otto Chief Compliance Officer | |||||||
Stefanie V. Chang Yu Vice President | |||||||
Francis J. Smith Treasurer and Chief Financial Officer | |||||||
Mary E. Mullin Secretary | |||||||
Transfer Agent | Independent Registered Public Accounting Firm | ||||||
Morgan Stanley Trust Harborside Financial Center, Plaza Two Jersey City, New Jersey 07311 | Deloitte & Touche LLP Two World Financial Center New York, New York 10281 | ||||||
Legal Counsel | Counsel to the Independent Trustees | ||||||
Clifford Chance US LLP 31 West 52nd Street New York, New York 10019 | Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York 10036 | ||||||
Investment Adviser | Sub-Adviser (Global Infrastructure) | ||||||
Morgan Stanley Investment Advisors Inc. 522 Fifth Avenue New York, New York 10036 | Morgan Stanley Investment Management Limited 25 Cabot Square, London, E14 4QA, England | ||||||
This report is submitted for the general information of 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 Distributors Inc., member FINRA.
SELDIMSAN
IU09-03620P-Y06/09
#40474
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 Select Dimensions Investment Series
/s/ Randy Takian |
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Randy Takian |
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Principal Executive Officer |
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August 20, 2009 |
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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/ Randy Takian |
|
Randy Takian |
|
Principal Executive Officer |
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August 20, 2009 |
|
|
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/s/ Francis Smith |
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Francis Smith |
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Principal Financial Officer |
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August 20, 2009 |
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