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 | ||||||||
(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: | December 31, 2009 |
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Item 1 - Report to Shareholders
MORGAN STANLEY
SELECT DIMENSIONS INVESTMENT SERIES
Annual Report
DECEMBER 31, 2009
The Portfolios are intended to be the funding vehicle for variable annuity contracts and variable life insurance policies offered by the separate accounts of certain life insurance companies.
Morgan Stanley Select Dimensions Investment Series
Table of Contents
Letter to the Shareholders | 1 | ||||||||||
Expense Example | 19 | ||||||||||
Portfolio of Investments: | |||||||||||
Money Market | 24 | ||||||||||
Flexible Income | 26 | ||||||||||
Balanced | 46 | ||||||||||
Global Infrastructure | 61 | ||||||||||
Dividend Growth | 67 | ||||||||||
Equally-Weighted S&P 500 | 71 | ||||||||||
Capital Growth | 81 | ||||||||||
Focus Growth | 84 | ||||||||||
Capital Opportunities | 86 | ||||||||||
Mid Cap Growth | 88 | ||||||||||
Financial Statements: | |||||||||||
Statements of Assets and Liabilities | 92 | ||||||||||
Statements of Operations | 94 | ||||||||||
Statements of Changes in Net Assets | 96 | ||||||||||
Notes to Financial Statements | 104 | ||||||||||
Financial Highlights | 142 | ||||||||||
Report of Independent Registered Public Accounting Firm | 151 | ||||||||||
Trustee and Officer Information | 152 | ||||||||||
Federal Tax Notice | 158 | ||||||||||
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009
Dear Shareholder,
As we entered 2009, the economy was still mired in recession and the financial markets continued to tumble as the credit crisis deepened and consumer confidence hit a new low. As the first quarter progressed, however, signs emerged that the unprecedented monetary and fiscal stimulus measures enacted by global governments and central banks had begun to take hold. Credit conditions became more favorable, thanks in part to the Federal Reserve's zero interest-rate policy and other initiatives to enhance liquidity, while at the same time, the contraction in economic growth appeared to be slowing, all of which served to boost investor confidence and a resurgence in risk appetite. Investors who had fled riskier asset classes in favor of the relatively safe haven of U.S. Treasury and cash-equivalent securities began to pour cash back into the credit and equity markets, sparking a brisk rebound in performance in early March.
Market sentiment continued to improve in the second quarter as encouraging news on the corporate and economic fronts — including better-than-expected corporate earnings and increased manufacturing activity — pointed to a potential economic recovery, propelling the markets higher. Although weak spots in the economy remained, most notably high unemployment and the still-languishing housing market, initial gross domestic product (GDP) estimates for the third quarter moved into positive territory, further stoking investor confidence. The rally continued to gain momentum through the third and fourth quarters and by year end, both the stock and bond markets had made a dramatic comeback, with many of the most beaten down sectors in 2008 posting the largest gains for the year.
While 2009 was certainly a remarkable year for the markets and the economy appears to be back on the path to expansion, concerns remain about the strength of the recovery going forward as the government begins winding down its various support programs and unemployment continues to hover near 10%.
Domestic Equity Overview
For the year overall, domestic equities were up 26.46% as measured by the S&P 500® Index. Performance was led by the most beaten-down sectors of the previous year, including sectors with greater economic sensitivity (cyclicals) and/or reliance on commodity prices. Within those sectors, lower quality, higher beta (more volatile) stocks tended to outperform.
In particular, financials, materials, information technology, and consumer discretionary were all among the top performing groups in 2009. Within financials, banks and diversified financial companies saw strong comebacks as government interventions helped stabilize the financial system and credit markets. Furthermore, companies with capital markets exposure were bolstered by the markets' rally. The materials sector gained on the back of rising commodity prices, as increasing optimism for a global economic recovery
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
drove expectations of rising demand for commodities. The information technology and consumer discretionary sectors performed well as investors began to anticipate a return to economic expansion and an eventual increase in spending by corporations and consumers.
Not surprisingly, the sectors left behind in 2009's rally were those that had outperformed in 2008: the defensive (or less economically sensitive) sectors such as health care, telecommunications services, and utilities. Although there were areas of strength within each sector, including several high-profile acquisitions in the pharmaceuticals industry, investors generally rotated out of these defensive sectors into riskier areas of the market as it became clearer that an economic depression had been averted and that the worst had passed. However, all sectors, including the laggards, posted positive returns for the 12-month period.
Fixed Income Overview
Within the fixed income market, spread (or non-government) sectors rebounded strongly in 2009, with the riskiest segments of the market staging the most impressive rallies. Although Treasury securities performed well early in the year, as investors assumed more risk and shifted to other sectors, performance lagged and yields moved markedly higher. As of year end, yields on 2-, 5-, 10-, and 30-year Treasuries were approximately 37, 113, 162, and 196 basis points higher, respectively, than at the end of 2008.
The agency sector performed relatively well, thanks in part to growing investor interest in FDIC-backed bank notes, which were introduced in late 2008 as part of the Temporary Liquidity Guarantee Program. The Federal Reserve's program of purchasing large quantities of agency mortgage-backed securities (MBS) and investors' increasing confidence in credit-related securities led to much strong performance for the residential mortgage sector. Despite lower rates and the Home Affordable Modification Program, refinancing activity remained low and mortgage prepayment speed only modestly increased.
The corporate credit sector benefited from a significant tightening in yield spreads (an indication of investors' willingness to assume credit risk), particularly within the lower quality, higher yielding segment. The Barclays Capital Corporate Bond Index, which is generally representative of the investment grade corporate credit market, returned 18.68% for the year. The best performing sectors were those with the widest yield spreads at the start of 2009: real estate investment trusts (REITs), metals/mining, life insurance, financials and telecommunications. The high yield corporate credit market made an even more dramatic comeback, posting a record 58.76% return for the year, as measured by the Barclays Capital U.S. Corporate High Yield -2% Issuer Cap Index. The lowest quality bonds delivered the best performance; CCC rated issues were up over 90%, easily outperforming better quality BB and B rated issues, which returned 46%
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Letter to the Shareholders n December 31, 2009 continued
and 45%, respectively. From an industry perspective, financials and insurance were the top performers while the utility and consumer non-cyclical industries trailed.
Money market liquidity improved significantly during the year and as a result, the 3-month London Interbank Offered Rate (LIBOR), a benchmark for short-term interest rates, fell roughly 1.17% to end the year at 0.25%. The decline is indicative of improving financial conditions as the various government-sponsored programs reinvigorated financing activity. As the financial markets moved closer to normalcy, usage of the government-sponsored liquidity programs materially declined. Nonetheless, the Federal Reserve Board of Governors approved the extension of and modifications to a number of these programs until February 1, 2010 in an effort to promote financial stability and support the flow of credit to households and businesses.
International Equity Overview
International equities also came back strongly starting in mid-March, supported by significant monetary and fiscal stimulus by governments and central banks around the world. As in the U.S., cyclical sectors (such as materials, financials and consumer discretionary) led the recovery globally while the more defensive health care, telecommunications and utilities sectors lagged.
On a regional basis, the emerging markets again outperformed developed markets in 2009, propelled by more stable banking systems and healthier corporate and government balance sheets in several emerging market countries, a low interest rate environment, and positive economic momentum from China. Within developed markets, Asia ex-Japan and Europe each posted double-digit gains, while Japan was the notable laggard, with a single-digit return for the year.
In Europe, the economic outlook continued to brighten but concerns about the pace of deleveraging remained. Although European bank stocks rebounded strongly during the year as governments and central banks across the region took extraordinary measures to stabilize the financial system, investors began to worry about what may happen once these measures are removed. Moreover, investors are questioning the effect that large government deficits might have on European economies going forward, particularly in Greece, Spain, and the U.K.
Japan benefited in the first half of the year from the return of investors' risk appetites. Investors rotated into Japan, attracted to its highly cyclical nature. But political noise in the second half of the year, combined with a stronger yen, mounting deflationary pressure and a stream of equity finance announcements slowed the market's advance. However, in December, Japanese equities reversed course as some of these concerns abated, the yen weakened, mid-year earnings announcements were solid, and the government and Bank of Japan took coordinated actions to fuel the economy.
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Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009
Balanced Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Balanced Portfolio Class X shares produced a total return of 19.48%, underperforming the Russell 1000® Value Index (the "Index"), which returned 19.69%, and outperforming the Barclays Capital U.S. Government/Credit Index, which returned 4.52%. For the same period, the Portfoli o's Class Y shares returned 19.07%. 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 portfolio, relative outperformance versus the Russell 1000® Value Index during period was driven by the energy sector, especially exploration and production (E&P) companies. E&P companies benefited from rising energy prices and the improving economic environment, whereas integrated oil companies (which we deemphasized in the portfolio) lagged the broad sector. Although we increased the Portfolio's exposure to the energy sector overall, the sector remained a relative underweight.
Health care also contributed to outperformance during the period. The Portfolio has historically maintained an overweight in the sector; however, over the past 12 months the weight has declined.
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 19.48 | % | 3.23 | % | 4.03 | % | 7.31 | % | |||||||||||
Class Y | 19.07 | % | 2.96 | % | — | 4.44 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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.
(3) 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
Most of the exposure in health care had been in the pharmaceutical industry and the Portfolio benefited from holding two companies that were targeted for acquisition. Given the relative strength in health care over the preceding fiscal year and the merger and acquisition tailwind in pharmaceuticals in this fiscal year, we reduced the Portfolio's exposure in the sector and used the proceeds to invest in other areas we believed had better risk/reward opportunities.
In the technology sector, exposure to both software and services, and semiconductors, added to relative gains. In software and services, we bought an undervalued Internet company undergoing a management change. The company's stock price appreciated as the new management drove revenue growth and sold a non-core asset.
However, the financials sector was the largest relative detractor during the review period. The Portfolio has maintained a significant underweight in financials versus the Index for some time, which benefited the portfolio significantly in 2007 and 2008. However, over the past 12 months, and specifically from March through May, financial stocks rebounded from their earlier dramatic decline. The Portfolio's exposure has been focused on financial companies that we believe possess conservative balance sheets and 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 was underexposed to the banks and diversified financials that rebounded most strongly during the period. The underexposure was based on our concerns regarding quality of balance sheets, uncertainty regarding additional capital requirements and incremental div idend cuts, and the unpredictability of government influence.
The materials sector also dampened relative gains. The Portfolio's underweight in the sector meant that it had less exposure to these economically sensitive stocks, which performed well as the market rebounded.
Within the fixed income portfolio, relative to the Barclays Capital U.S. Government/Credit Index, overweight allocations to the banking, food and beverage, insurance and media sectors were additive to relative returns as significant spread tightening in these sectors led to their strong 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.
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Letter to the Shareholders n December 31, 2009 continued
Capital Growth Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Capital Growth Portfolio Class X shares produced a total return of 66.17%, outperforming the Russell 1000® Growth Index (the "Index"), which returned 37.21%. For the same period, the Portfolio's Class Y shares returned 65.68%. 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.
Stock selection in consumer discretionary had the largest positive effect on relative performance. Within the sector, outperformance was driven by the diversified retail industry. Stock selection in technology also produced relative gains, but was slightly offset by the negative impact of an underweight in the sector. The computer services software and systems industry led performance within the sector. Both stock selection and an overweight in financial services added to relative performance. Here, exposure to the securities brokerage and services industry was the primary contributor.
Although the Portfolio outperformed the Index, one area was detrimental to overall performance. Stock selection in materials and processing detracted from relative performance, despite the benefit of an
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 66.17 | % | 4.54 | % | –0.82 | % | 6.28 | % | |||||||||||
Class Y | 65.68 | % | 4.27 | % | — | –1.98 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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. companies based on a combination of market capitalization and cu rrent 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
overweight position in the sector. The sole underperformer was in the building materials industry.
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 12-month period ended December 31, 2009, Select Dimensions — Capital Opportunities Portfolio Class X shares produced a total return of 69.79%, outperforming the Russell 3000® Growth Index (the "Index"), which returned 37.01%. For the same period, the Portfolio's Class Y shares returned 69.28%. 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.
Stock selection in technology was the largest positive contributor to relative performance, although it was partially offset by the negative effect of an underweight there. The computer services, software and systems industry led performance within the sector. Stock selection in consumer discretionary also had a positive effect on relative performance, driven by the diversified retail industry. Both stock selection and an overweight in financial services added to relative performance.
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 69.79 | % | 6.43 | % | –4.76 | % | 2.88 | % | |||||||||||
Class Y | 69.28 | % | 6.14 | % | — | –6.63 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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 Russell 3000® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. 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.
* Inception dates of January 21, 1997 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
Here, exposure to the financial data and systems industry was the primary contributor.
Although the Portfolio outperformed the Index, one area was detrimental to overall performance. Stock selection in materials and processing detracted from relative performance, despite the benefit of an overweight position in the sector. While none of our holdings had negative returns, they did not keep pace with the stronger performing industries within the sector. In particular, the paper and chemicals industries, in which the Portfolio had no exposure, saw large rebounds in 2009.
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 12-month period ended December 31, 2009, Select Dimensions — Dividend Growth Portfolio Class X shares produced a total return of 24.39%, underperforming the S&P 500® Index (the "Index"), which returned 26.46%. For the same period, the Portfolio's Class Y shares returned 24.11%. 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.
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 24.39 | % | –0.70 | % | 0.89 | % | 7.26 | % | |||||||||||
Class Y | 24.11 | % | –0.95 | % | — | 1.45 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
The main detractors from relative performance were stocks in the capital goods and technology sectors.
However, other positions benefited relative returns. The main contributors to relative performance were stocks in the shelter, health care, and consumer services sectors. In addition, an overweight position in the finance sector further added value to the Portfolio's relative returns.
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 Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Equally-Weighted S&P Portfolio Class X shares produced a total return of 45.08%, underperforming the Standard & Poor's Equal Weight Index (the "Index"), which returned 46.31%. For the same period, the Portfolio's Class Y shares returned 44.79%. 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 year began with a rough start, with woes in the financial system and significant declines in economic activity across all sectors and segments of the economy. Unemployment kept rising, while consumer confidence and spending collapsed. The
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 45.08 | % | 1.95 | % | 4.99 | % | 9.29 | % | |||||||||||
Class Y | 44.79 | % | 1.69 | % | — | 4.91 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) The Standard & Poor's Equal Weight Index (S&P EWI) is the equally-weighted version of the widely regarded S&P 500® Index, 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® Index, 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
recession, which spread beyond the U.S. into developed and emerging markets as well, has been the worst since the Great Depression. The U.S. equity market continued to tumble, reaching its lowest point of the year in March.
However, as a result of the truly unprecedented global policy response by governments and central banks in the first half of 2009, so-called "green shoots" — tentative signs of improvement in quite a few economic indicators — began to appear. Late summer saw a stabilization of housing prices, a decline in inventories and positive industrial production. Since early March markets have embarked on a sizeable rally following a slow stream of positive news through the end of the year. Although unemployment remains high (at 10 percent in December), the consensus at the end of the period seems to be that the global economy is in the early stage of an upturn and the recession is over.
Within the Index and therefore the Portfolio, all ten sectors had positive absolute performance during the 12-month period, posting double-digit returns. The best performing sectors were information technology, materials and consumer discretionary. Rising commodity prices in 2009 led to improvement in the performance of the materials and energy sectors. The financials sector rebounded as a result of government intervention.
Other performance trends within the Portfolio and the Index during the period included the outperformance of growth stocks within every capitalization segment, as well as the outperformance of small-cap stocks.
Since the Index and the Portfolio are equally-weighted, the overall contribution of each sector reflects its absolute performance. As such, the consumer discretionary and information technology sectors contributed the most to the Portfolio's return, while the utilities sector was the largest detractor.
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.
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Letter to the Shareholders n December 31, 2009 continued
Flexible Income Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Flexible Income Portfolio Class X shares produced a total return of 19.77%, outperforming the Barclays Capital Intermediate U.S. Government/Credit Index (the "Index"), which returned 5.24%. For the same period, the Portfolio's Class Y shares returned 19.45%. 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 primary contributor to the Portfolio's outperformance of the Index was its position in high yield corporate credit, a sector not represented in the Index. High yield corporate bonds rebounded strongly during the year, outpacing investment grade corporate bonds. Additionally, within high yield, overweight allocations to the energy, utilities and basic industry sectors were additive to performance.
Within investment-grade corporate credits, selected overweights in banking, food and beverage, insurance and media were additive to relative returns as significant spread tightening in these sectors led to their strong performance. The Portfolio's position in emerging market debt was another significant contributor to outperformance. Spreads in this sector narrowed considerably during the year.
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 19.77 | % | 1.19 | % | 2.50 | % | 3.47 | % | |||||||||||
Class Y | 19.45 | % | 0.96 | % | — | 2.41 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
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Letter to the Shareholders n December 31, 2009 continued
However, an underweight in government agency debentures detracted slightly from relative performance. Spreads in this sector also tightened during the year and the Portfolio's lower relative exposure kept it from more fully benefiting from the sector's strong 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.
Focus Growth Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Focus Growth Portfolio Class X shares produced a total return of 71.83%, outperforming the Russell 1000® Growth Index (the "Index"), which returned 37.21%. For the same period, the Portfolio's Class Y shares returned 71.43%. 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.
Stock selection and an overweight in technology by far was the largest positive contributor to relative performance. The computer services, software and systems industry led performance within the sector. Stock selection in consumer discretionary also had a positive effect on relative performance, although an overweight there slightly detracted. Within the
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 71.83 | % | 3.30 | % | –2.06 | % | 8.52 | % | |||||||||||
Class Y | 71.43 | % | 3.05 | % | — | –2.42 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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. companies based on a combination of market capitalization and cu rrent 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
12
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Letter to the Shareholders n December 31, 2009 continued
sector, outperformance was driven by the diversified retail industry. Both stock selection and an overweight in financial services added to relative performance. Here, exposure to the securities brokerage and services industry was the primary contributor.
Although the Portfolio outperformed the Index, one area was detrimental to overall performance. Stock selection in materials and processing detracted from relative performance, despite the benefit of an overweight position in the sector. While none of our holdings had negative returns, they did not keep pace with the stronger performing industries within the sector. In particular, the diversified chemicals and copper industries, in which the Portfolio had no exposure, saw large rebounds in 2009.
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 12-month period ended December 31, 2009, Select Dimensions — Global Infrastructure Portfolio Class X shares produced a total return of 18.47%, underperforming the S&P 500® Utilities Index/S&P Global Infrastructure Index (the "Index"), which returned 25.28%, and the S&P Global BMI Index, which returned 37.76%. For the same period, the Portfolio's Class Y shares returned 18.18%. 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
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 18.47 | % | 5.91 | % | 1.52 | % | 8.85 | % | |||||||||||
Class Y | 18.18 | % | 5.65 | % | — | 0.77 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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 Fund's inception to and including November 5, 2008 (the date the Fund 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.
(3) 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.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
13
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Relative to the Index, the primary detractors from performance were the Portfolio's positions in transportation infrastructure, energy transportation, and gas utilities. An underweight in transportation infrastructure detracted from returns as this was the leading sector within the Index and our lower exposure there kept the Portfolio from more fully benefiting from its strong performance. An underweight in energy transportation also hindered relative performance, as did security selection within the sector. Lastly, the Portfolio's exposure to gas utilities, which are not represented in the Index, was disadvantageous as this segment underperformed for the period.
Other positions, however, were additive to relative performance. Among the top contributors to relative returns was security selection within the utilities sector. In particular, security selection in independent power producers and energy traders boosted returns. Security selection in electric utilities also enhanced returns, as did an underweight allocation there, given that electric utilities stocks overall underperformed the broader utilities sector. Favorable security selection in multi-utilities was the third largest contributor to relative performance for the year.
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.
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Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
Mid Cap Growth Portfolio
For the 12-month period ended December 31, 2009, Select Dimensions — Mid Cap Growth Portfolio Class X shares produced a total return of 60.45%, outperforming the Russell Midcap® Growth Index (the "Index"), which returned 46.29%. For the same period, the Portfolio's Class Y shares returned 60.04%. 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.
Stock selection and an overweight in consumer discretionary had a positive effect on relative performance, due to exposure to the leisure time industry. Stock selection in technology also added to relative gains, although an underweight there slightly detracted. Within the sector, the computer services, software and systems industry was the leading contributor. Additionally, stock selection and an overweight in producer durables bolstered relative performance. Here, the commercial services industry outperformed the Index.
Conversely, both stock selection and an underweight in the materials and processing sector had a negative impact on relative performance. The sole detractor was in the building materials industry. Stock selection in energy also underperformed, despite the benefit of an
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Performance assumes reinvestment of all distributions for the underlying portfolio based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance inform ation included the effect of these additional charges, the total returns would be lower.
Average Annual Total Returns as of December 31, 2009
1 Year | 5 Years | 10 Years | Since Inception* | ||||||||||||||||
Class X | 60.45 | % | 6.12 | % | –0.17 | % | 9.72 | % | |||||||||||
Class Y | 60.04 | % | 5.86 | % | — | 0.67 | % |
(1) Ending value on December 31, 2009 for the underlying portfolio. This figure does not reflect the deduction of any account fees or sales charges.
(2) 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 index.
* Inception dates of November 9, 1994 for Class X and July 24, 2000 for Class Y.
15
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
overweight in the sector. While none of our energy holdings (largely in the natural gas industry) detracted from relative performance, they did not perform as well as other industries within the overall sector. By comparison, the coal industry, in which the Portfolio did not have exposure, experienced a large rebound throughout the year. Stock selection and an overweight in financial services dampened relative performance. Within the sector, the asset management and custodian industry was the leading detractor.
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 December 31, 2009, Select Dimensions — Money Market Portfolio had net assets of approximately $142 million with an average portfolio maturity of 35 days. For the seven-day period ended December 31, 2009, the Portfolio's Class X shares provided an effective annualized yield of 0.01% (subsidized) and – 0.37% (non-subsidized) and a current yield of 0.01% (subsidized) and – 0.37% (non-subsidized). Yield quotations more closely reflect the current earnings of the Portfolio. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. For the 12-month period ended December 31, 2009, the Portfolio's Class X shares returned 0.03%. Past performance is no guarantee of future results.
For the seven-day period ended December 31, 2009, the Portfolio's Class Y shares provided an effective annualized yield of 0.01% (subsidized) and – 0.62% (non-subsidized) and a current yield of 0.01% (subsidized) and – 0.62% (non-subsidized). Yield quotations more closely reflect the current earnings of the Portfolio. The non-subsidized yield reflects wh at the yield would have been had a fee and/or expense waiver not been in place during the period shown. For the 12-month period ended December 31, 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
16
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
average maturity to guard against the uncertainty caused by volatility in the financial markets. In addition, valuations have become very expensive with technical factors driving down absolute levels as well as tightening spreads dramatically versus historical levels. 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
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Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n December 31, 2009 continued
For More Information About Portfolio Holdings
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund's second and fourth fiscal quarters. The semiannual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the semiannual and annual reports to fund shareholders and makes these reports available on its public web site, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public web site. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC's web site, http://www.sec.gov. You may also review and copy them at the SEC's public reference room in Washington, DC. Information on the operation of the SEC's public reference room may be obtained by calling the SEC at (800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC's e-mail address (publicinfo@sec.gov) or by writing the public reference section of the SEC, Washington, DC 20549-1520.
Proxy Voting Policy and Procedures and Proxy Voting Record
You may obtain a copy of the Portfolio's Proxy Voting Policy and Procedures without charge, upon request, by calling toll free (800) 869-NEWS or by visiting the Mutual Fund Center on our web site at www.morganstanley.com. It is also available on the SEC's web site at http://www.sec.gov.
You may obtain information regarding how the 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 SEC's web site at http://www.sec.gov.
18
Morgan Stanley Select Dimensions Investment Series
Expense Example n December 31, 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 07/01/09 – 12/31/09.
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 December 31, 2009 continued
Money Market
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (0.01% return) | $ | 1,000.00 | $ | 1,000.10 | $ | 1.46 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | |||||||||
Class Y | |||||||||||||||
Actual (0.01% return) | $ | 1,000.00 | $ | 1,000.10 | $ | 1.46 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.29% and 0.29% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.60% and 0.85% 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 0.02%.
Flexible Income
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (9.75% return) | $ | 1,000.00 | $ | 1,097.50 | $ | 4.81 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.62 | $ | 4.63 | |||||||||
Class Y | |||||||||||||||
Actual (9.62% return) | $ | 1,000.00 | $ | 1,096.20 | $ | 6.13 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.36 | $ | 5.90 |
@ 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 184/365 (to reflect the one-half year period).
Balanced
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (19.31% return) | $ | 1,000.00 | $ | 1,193.10 | $ | 4.31 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.27 | $ | 3.97 | |||||||||
Class Y | |||||||||||||||
Actual (19.10% return) | $ | 1,000.00 | $ | 1,191.00 | $ | 5.69 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.01 | $ | 5.24 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.78% and 1.03% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.79% and 1.04% for Class X and Class Y shares, respectively.
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Morgan Stanley Select Dimensions Investment Series
Expense Example n December 31, 2009 continued
Global Infrastructure
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (17.03% return) | $ | 1,000.00 | $ | 1,170.30 | $ | 7.66 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.15 | $ | 7.12 | |||||||||
Class Y | |||||||||||||||
Actual (16.89% return) | $ | 1,000.00 | $ | 1,168.90 | $ | 9.02 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,016.89 | $ | 8.39 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.40% and 1.65% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Dividend Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (21.32% return) | $ | 1,000.00 | $ | 1,213.20 | $ | 3.96 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.63 | $ | 3.62 | |||||||||
Class Y | |||||||||||||||
Actual (21.19% return) | $ | 1,000.00 | $ | 1,211.90 | $ | 5.35 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.37 | $ | 4.89 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.71% and 0.96% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Equally-Weighted S&P 500
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (28.92% return) | $ | 1,000.00 | $ | 1,289.20 | $ | 2.02 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.44 | $ | 1.79 | |||||||||
Class Y | |||||||||||||||
Actual (28.87% return) | $ | 1,000.00 | $ | 1,288.70 | $ | 3.46 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.18 | $ | 3.06 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.35% and 0.60% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
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Morgan Stanley Select Dimensions Investment Series
Expense Example n December 31, 2009 continued
Capital Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (31.25% return) | $ | 1,000.00 | $ | 1,312.50 | $ | 5.25 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.67 | $ | 4.58 | |||||||||
Class Y | |||||||||||||||
Actual (31.12% return) | $ | 1,000.00 | $ | 1,311.20 | $ | 6.70 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.41 | $ | 5.85 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.90% and 1.15% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Focus Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (32.06% return) | $ | 1,000.00 | $ | 1,320.60 | $ | 4.50 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.32 | $ | 3.92 | |||||||||
Class Y | |||||||||||||||
Actual (31.82% return) | $ | 1,000.00 | $ | 1,318.20 | $ | 5.96 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.06 | $ | 5.19 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.77% and 1.02% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.78% and 1.03% for Class X and Class Y shares, respectively.
Capital Opportunities
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (29.37% return) | $ | 1,000.00 | $ | 1,293.70 | $ | 7.05 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.06 | $ | 6.21 | |||||||||
Class Y | |||||||||||||||
Actual (29.11% return) | $ | 1,000.00 | $ | 1,291.10 | $ | 8.49 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,017.80 | $ | 7.48 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.22% and 1.47% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 1.23% and 1.48% for Class X and Class Y shares, respectively.
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Morgan Stanley Select Dimensions Investment Series
Expense Example n December 31, 2009 continued
Mid Cap Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
07/01/09 | 12/31/09 | 07/01/09 – 12/31/09 | |||||||||||||
Class X | |||||||||||||||
Actual (28.87% return) | $ | 1,000.00 | $ | 1,288.70 | $ | 4.90 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.92 | $ | 4.33 | |||||||||
Class Y | |||||||||||||||
Actual (28.69% return) | $ | 1,000.00 | $ | 1,286.90 | $ | 6.34 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.66 | $ | 5.60 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.85% and 1.10% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
23
Money Market
Portfolio of Investments n December 31, 2009
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Repurchase Agreements (33.9%) | |||||||||||||||||||
$ | 18,064 | Barclays Capital Inc. (dated 12/31/09; proceeds $18,064,000; fully collateralized by Government National Mortgage Assoc. 6.00% due 09/15/39; valued at $18,605,920) | 0.00 | % | 01/04/10 | $ | 18,064,000 | ||||||||||||
30,000 | BNP Paribas Securities (dated 12/31/09; proceeds $30,000,000; fully collateralized by Federal Home Loan Mortgage Corp. 5.89% due 12/01/36 and Federal National Mortgage Assoc. 6.37% due 05/01/36; valued at $30,900,000) | 0.00 | 01/04/10 | 30,000,000 | |||||||||||||||
Total Repurchase Agreements (Cost $48,064,000) | 48,064,000 | ||||||||||||||||||
Commercial Paper (27.5%) | |||||||||||||||||||
Domestic Bank (3.5%) | |||||||||||||||||||
5,000 | J.P. Morgan Chase and Co. | 0.06 | 01/04/10 | 4,999,975 | |||||||||||||||
International Banks (24.0%) | |||||||||||||||||||
7,000 | DNB NOR Bank ASA (a) | 0.21 | 02/12/10 | 6,998,285 | |||||||||||||||
7,000 | Intesa Funding LLC | 0.20 - 0.25 | 01/19/10 - 03/29/10 | 6,997,283 | |||||||||||||||
6,000 | Lloyds TSB Bank PLC | 0.55 | 04/15/10 | 5,990,467 | |||||||||||||||
7,000 | National Australia Funding (a) | 0.20 | 01/27/10 | 6,998,989 | |||||||||||||||
5,000 | Rabobank Nederland | 0.24 | 03/29/10 | 4,997,100 | |||||||||||||||
2,000 | Societe Generale N.A. | 0.26 | 03/16/10 | 1,998,931 | |||||||||||||||
33,981,055 | |||||||||||||||||||
Total Commercial Paper (Cost $38,981,030) | 38,981,030 | ||||||||||||||||||
Certificates of Deposit (20.5%) | |||||||||||||||||||
International Banks | |||||||||||||||||||
5,000 | Banco Bilbao Vizcaya Argentaria - NY | 0.35 | 03/29/10 | 5,000,060 | |||||||||||||||
8,000 | Barclays Bank PLC - NY | 0.75 | 02/11/10 | �� | 8,000,000 | ||||||||||||||
7,000 | Calyon North America, Inc. | 0.22 | 03/03/10 | 7,000,000 | |||||||||||||||
5,000 | Nordea Bank AB | 0.19 | 01/15/10 | 5,000,000 | |||||||||||||||
4,000 | Royal Bank of Scotland PLC | 0.28 | 02/09/10 | 4,000,000 | |||||||||||||||
Total Certificates of Deposit (Cost $29,000,060) | 29,000,060 |
See Notes to Financial Statements
24
Money Market
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Floating Rate Notes (13.4%) | |||||||||||||||||||
International Banks (7.1%) | |||||||||||||||||||
$ | 5,000 | Westpac Banking Corp. (a) | 0.28 | (b)% | 03/08/10(c) | $ | 5,000,000 | ||||||||||||
5,000 | Societe Generale N.Y., Inc. | 0.38 | (b) | 02/05/10(c) | 5,000,000 | ||||||||||||||
10,000,000 | |||||||||||||||||||
U.S. Government Agency (6.3%) | |||||||||||||||||||
9,000 | Federal Home Loan Banks | 0.08 | (b) | 02/08/10(c) | 8,996,715 | ||||||||||||||
Total Floating Rate Notes (Cost $18,996,715) | 18,996,715 | ||||||||||||||||||
Short-Term Bank Note (4.9%) | |||||||||||||||||||
Domestic Bank | |||||||||||||||||||
7,000 | Bank of America N.A. (Cost $7,000,000) | 0.23 | 02/17/10 | 7,000,000 | |||||||||||||||
Total Investments (Cost $142,041,805) (d) | 100.2 | % | 142,041,805 | ||||||||||||||||
Liabilities in Excess of Other Assets | (0.2 | ) | (255,602 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 141,786,203 |
(a) Resale is restricted to qualified institutional investors.
(b) Rate shown is the rate in effect at December 31, 2009.
(c) Date of next interest rate reset.
(d) Cost is the same for federal income tax purposes.
MATURITY SCHEDULE†
1 - 30 Days | 48 | % | |||||
31 - 60 Days | 28 | ||||||
61 - 90 Days | 20 | ||||||
91 - 120 Days | 4 | ||||||
100 | % |
† As a percentage of total investments.
See Notes to Financial Statements
25
Flexible Income
Portfolio of Investments n December 31, 2009
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Foreign Government & Corporate Bonds (18.0%) | |||||||||||||||||||
Argentina (0.3%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
$ | 202 | Argentina Bonos | 0.943 | (a)% | 08/03/12 | $ | 69,841 | ||||||||||||
20 | Argentina Government International Bond | 8.28 | 12/31/33 | 15,278 | |||||||||||||||
Total Argentina | 85,119 | ||||||||||||||||||
Australia (0.5%) | |||||||||||||||||||
Brewery (0.1%) | |||||||||||||||||||
35 | FBG Finance Ltd. (144A) (b) | 5.125 | 06/15/15 | 36,270 | |||||||||||||||
Commercial Banks Non-U.S. (0.3%) | |||||||||||||||||||
100 | National Australia Bank Ltd. (144A) (b) | 3.375 | 07/08/14 | 100,946 | |||||||||||||||
Diversified Minerals (0.1%) | |||||||||||||||||||
20 | Rio Tinto Finance USA Ltd. | 9.00 | 05/01/19 | 25,354 | |||||||||||||||
Total Australia | 162,570 | ||||||||||||||||||
Belgium (0.3%) | |||||||||||||||||||
Food - Retail | |||||||||||||||||||
70 | Delhaize Group SA | 5.875 | 02/01/14 | 75,249 | |||||||||||||||
Bermuda (0.4%) | |||||||||||||||||||
Multi-line Insurance | |||||||||||||||||||
150 | Catlin Insurance Co. Ltd. (144A) (b) | 7.249 | (a) | 12/31/49(c) | 111,000 | ||||||||||||||
Brazil (1.6%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
200 | Banco Nacional de Desenvolvimento Economico e Social (144A) (b) | 6.369 | 06/16/18 | 215,250 | |||||||||||||||
BRL | 120 | Brazil Notas do Tesouro Nacional Serie F | 10.00 | 01/01/17 | 62,673 | ||||||||||||||
$ | 150 | Brazilian Government International Bond | 5.875 | 01/15/19 | 160,500 | ||||||||||||||
10 | Brazilian Government International Bond | 7.125 | 01/20/37 | 11,525 | |||||||||||||||
30 | Brazilian Government International Bond | 11.00 | 08/17/40 | 40,125 | |||||||||||||||
Total Brazil | 490,073 | ||||||||||||||||||
Canada (1.8%) | |||||||||||||||||||
Agricultural Chemicals (0.2%) | |||||||||||||||||||
20 | Potash Corp. of Saskatchewan, Inc. | 4.875 | 03/30/20 | 19,772 | |||||||||||||||
40 | Potash Corp. of Saskatchewan, Inc. | 5.875 | 12/01/36 | 39,512 | |||||||||||||||
10 | Potash Corp. of Saskatchewan, Inc. | 6.50 | 05/15/19 | 11,095 | |||||||||||||||
70,379 | |||||||||||||||||||
Diversified Manufactured Operation (0.7%) | |||||||||||||||||||
200 | Bombardier, Inc. (144A) (b) | 6.30 | 05/01/14 | 199,000 |
See Notes to Financial Statements
26
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Diversified Minerals (0.4%) | |||||||||||||||||||
$ | 105 | Teck Resources Ltd. | 10.25 | %% | 05/15/16 | $ | 122,850 | ||||||||||||
Pipelines (0.4%) | |||||||||||||||||||
120 | Kinder Morgan Finance Co. ULC | 5.70 | 01/05/16 | 115,800 | |||||||||||||||
Real Estate Operation/Development (0.1%) | |||||||||||||||||||
10 | Brookfield Asset Management, Inc. | 5.80 | 04/25/17 | 9,125 | |||||||||||||||
25 | Brookfield Asset Management, Inc. | 7.125 | 06/15/12 | 26,259 | |||||||||||||||
35,384 | |||||||||||||||||||
Total Canada | 543,413 | ||||||||||||||||||
Cayman Islands (0.7%) | |||||||||||||||||||
Aerospace/Defense (0.2%) | |||||||||||||||||||
50 | Systems 2001 Asset Trust (144A) (b) | 6.664 | 09/15/13 | 51,053 | |||||||||||||||
Diversified Minerals (0.2%) | |||||||||||||||||||
50 | Vale Overseas Ltd. | 5.625 | 09/15/19 | 50,737 | |||||||||||||||
10 | Vale Overseas Ltd. | 6.875 | 11/10/39 | 10,117 | |||||||||||||||
60,854 | |||||||||||||||||||
Oil & Gas Drilling (0.1%) | |||||||||||||||||||
30 | Transocean, Inc. | 6.00 | 03/15/18 | 32,060 | |||||||||||||||
Oil Company - Integrated (0.2%) | |||||||||||||||||||
55 | Petrobras International Finance Co. | 5.75 | 01/20/20 | 56,226 | |||||||||||||||
Total Cayman Islands | 200,193 | ||||||||||||||||||
Dominican Republic (0.0%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
5 | Dominican Republic International Bond | 9.04 | 01/23/18 | 5,950 | |||||||||||||||
France (0.3%) | |||||||||||||||||||
Multimedia (0.1%) | |||||||||||||||||||
40 | Vivendi (144A) (b) | 6.625 | 04/04/18 | 43,421 | |||||||||||||||
Seismic Data Collection (0.1%) | |||||||||||||||||||
25 | Cie Generale de Geophysique-Veritas | 7.50 | 05/15/15 | 24,938 | |||||||||||||||
Telephone - Integrated (0.1%) | |||||||||||||||||||
15 | France Telecom SA | 8.50 | 03/01/31 | 20,018 | |||||||||||||||
Total France | 88,377 | ||||||||||||||||||
Ghana (0.3%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
100 | Republic of Ghana (144A) (b) | 8.50 | 10/04/17 | 102,750 |
See Notes to Financial Statements
27
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Indonesia (0.9%) | |||||||||||||||||||
Foreign Government Obligations (0.8%) | |||||||||||||||||||
$ | 100 | Indonesia Government International Bond | 7.75 | % | 01/17/38 | $ | 113,500 | ||||||||||||
100 | Indonesia Government International Bond (144A) (b) | 11.625 | 03/04/19 | 144,000 | |||||||||||||||
257,500 | |||||||||||||||||||
Paper & Related Products (0.1%) | |||||||||||||||||||
264 | Tjiwi Kimia Finance BV | 0.00 | 04/29/27 | 4,613 | |||||||||||||||
19 | Tjiwi Kimia Finance BV | 2.285 | (a) | 04/29/15 | 4,256 | ||||||||||||||
107 | Tjiwi Kimia Finance BV | 2.287 | (a) | 04/29/18 | 18,677 | ||||||||||||||
27,546 | |||||||||||||||||||
Total Indonesia | 285,046 | ||||||||||||||||||
Luxembourg (2.1%) | |||||||||||||||||||
Diversified Manufactured Operation (0.5%) | |||||||||||||||||||
155 | Tyco Electronics Group SA | 5.95 | 01/15/14 | 162,271 | |||||||||||||||
Steel - Producers (0.6%) | |||||||||||||||||||
130 | ArcelorMittal | 9.85 | 06/01/19 | 168,418 | |||||||||||||||
Telecommunication Services (0.6%) | |||||||||||||||||||
180 | Wind Acquisition Finance SA (144A) (b) | 12.00 | 12/01/15 | 193,500 | |||||||||||||||
Telephone - Integrated (0.4%) | |||||||||||||||||||
80 | Telecom Italia Capital SA | 6.999 | 06/04/18 | 88,165 | |||||||||||||||
30 | Telecom Italia Capital SA | 7.175 | 06/18/19 | 33,504 | |||||||||||||||
121,669 | |||||||||||||||||||
Total Luxembourg | 645,858 | ||||||||||||||||||
Mexico (1.1%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
MXN | 320 | Mexican Bonos (Series M 20) | 10.00 | 12/05/24 | 28,091 | ||||||||||||||
880 | Mexican Bonos (Series M 30) | 8.50 | 11/18/38 | 65,576 | |||||||||||||||
$ | 100 | Mexico Government International Bond (Series A) | 6.75 | 09/27/34 | 106,000 | ||||||||||||||
20 | United Mexican States | 6.05 | 01/11/40 | 19,326 | |||||||||||||||
98 | United Mexican States (Series E) | 5.95 | 03/19/19 | 104,125 | |||||||||||||||
Total Mexico | 323,118 | ||||||||||||||||||
Netherlands (1.7%) | |||||||||||||||||||
Electric - Generation (0.5%) | |||||||||||||||||||
130 | Intergen (144A) (b) | 9.00 | 06/30/17 | 136,175 | |||||||||||||||
Electronic Component (0.1%) | |||||||||||||||||||
40 | Koninklijke Philips Electronics N.V. | 5.75 | 03/11/18 | 42,632 |
See Notes to Financial Statements
28
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Oil Company - Exploration & Production (0.7%) | |||||||||||||||||||
$ | 200 | KazMunaiGaz Finance Sub BV (144A) (b) | 9.125 | % | 07/02/18 | $ | 223,000 | ||||||||||||
Telephone - Integrated (0.4%) | |||||||||||||||||||
25 | Deutsche Telekom International Finance BV | 8.75 | 06/15/30 | 32,239 | |||||||||||||||
70 | Telefonica Europe BV | 8.25 | 09/15/30 | 87,392 | |||||||||||||||
119,631 | |||||||||||||||||||
Total Netherlands | 521,438 | ||||||||||||||||||
Peru (0.6%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
40 | Peruvian Government International Bond | 7.125 | 03/30/19 | 46,200 | |||||||||||||||
10 | Peruvian Government International Bond | 7.35 | 07/21/25 | 11,500 | |||||||||||||||
96 | Peruvian Government International Bond | 8.75 | 11/21/33 | 125,280 | |||||||||||||||
Total Peru | 182,980 | ||||||||||||||||||
Philippines (0.4%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
87 | Philippine Government International Bond | 8.875 | 03/17/15 | 105,922 | |||||||||||||||
Russia (1.1%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
154 | Russian Foreign Bond - Eurobond | 7.50 | 03/31/30 | 174,586 | |||||||||||||||
7 | Russian Foreign Bond - Eurobond | 8.25 | 03/31/10 | 7,292 | |||||||||||||||
90 | Russian Foreign Bond - Eurobond | 12.75 | 06/24/28 | 153,450 | |||||||||||||||
Total Russia | 335,328 | ||||||||||||||||||
Singapore (0.2%) | |||||||||||||||||||
Electronic Component | |||||||||||||||||||
53 | Flextronics International Ltd. | 6.50 | 05/15/13 | 53,398 | |||||||||||||||
South Korea (0.1%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
20 | Republic of Korea | 5.75 | 04/16/14 | 21,903 | |||||||||||||||
Switzerland (0.5%) | |||||||||||||||||||
Commercial Banks - Eastern U.S. (0.4%) | |||||||||||||||||||
110 | Credit Suisse | 5.30 | 08/13/19 | 113,179 | |||||||||||||||
15 | Credit Suisse | 6.00 | 02/15/18 | 15,720 | |||||||||||||||
128,899 | |||||||||||||||||||
Oil - Field Services (0.1%) | |||||||||||||||||||
20 | Weatherford International Ltd. | 9.625 | 03/01/19 | 24,974 | |||||||||||||||
Total Switzerland | 153,873 |
See Notes to Financial Statements
29
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Turkey (1.1%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
TRY | 100 | Turkey Government Bond | 0.00 | % | 05/11/11 | $ | 59,892 | ||||||||||||
40 | Turkey Government Bond | 11.00 | 08/06/14 | 27,365 | |||||||||||||||
30 | Turkey Government Bond | 16.00 | 03/07/12 | 22,619 | |||||||||||||||
$ | 100 | Turkey Government International Bond | 6.75 | 04/03/18 | 109,000 | ||||||||||||||
17 | Turkey Government International Bond | 6.875 | 03/17/36 | 17,382 | |||||||||||||||
15 | Turkey Government International Bond | 8.00 | 02/14/34 | 17,400 | |||||||||||||||
27 | Turkey Government International Bond | 11.00 | 01/14/13 | 32,602 | |||||||||||||||
19 | Turkey Government International Bond | 11.875 | 01/15/30 | 30,780 | |||||||||||||||
Total Turkey | 317,040 | ||||||||||||||||||
United Kingdom (1.1%) | |||||||||||||||||||
Advertising Services (0.4%) | |||||||||||||||||||
100 | WPP Finance | 8.00 | 09/15/14 | 113,839 | |||||||||||||||
Commercial Banks - Non-U.S. (0.2%) | |||||||||||||||||||
65 | Barclays Bank PLC | 6.75 | 05/22/19 | 72,631 | |||||||||||||||
Telephone - Integrated (0.4%) | |||||||||||||||||||
8 | Virgin Media Finance PLC | 8.75 | 04/15/14 | 8,300 | |||||||||||||||
100 | Virgin Media Finance PLC | 9.125 | 08/15/16 | 105,875 | |||||||||||||||
114,175 | |||||||||||||||||||
Tobacco (0.1%) | |||||||||||||||||||
30 | BAT International Finance PLC (144A) (b) | 9.50 | 11/15/18 | 38,157 | |||||||||||||||
Total United Kingdom | 338,802 | ||||||||||||||||||
Uruguay (0.0%) | |||||||||||||||||||
Foreign Government Obligation | |||||||||||||||||||
10 | Uruguay Government International Bond | 8.00 | 11/18/22 | 11,500 | |||||||||||||||
Venezuela (0.9%) | |||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||
20 | Venezuela Government International Bond | 6.00 | 12/09/20 | 11,100 | |||||||||||||||
150 | Venezuela Government International Bond | 7.65 | 04/21/25 | 88,875 | |||||||||||||||
50 | Venezuela Government International Bond | 8.50 | 10/08/14 | 39,625 | |||||||||||||||
10 | Venezuela Government International Bond | 9.00 | 05/07/23 | 6,775 | |||||||||||||||
50 | Venezuela Government International Bond | 9.25 | 09/15/27 | 36,750 | |||||||||||||||
30 | Venezuela Government International Bond | 9.25 | 05/07/28 | 20,325 | |||||||||||||||
80 | Venezuela Government International Bond | 10.75 | 09/19/13 | 70,800 | |||||||||||||||
Total Venezuela | 274,250 | ||||||||||||||||||
Total Foreign Government & Corporate Bonds (Cost $5,219,929) | 5,435,150 |
See Notes to Financial Statements
30
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Domestic Corporate Bonds (46.9%) | |||||||||||||||||||
Advanced Materials/Products (0.1%) | |||||||||||||||||||
$ | 40 | Hexcel Corp. | 6.75 | % | 02/01/15 | $ | 38,600 | ||||||||||||
Agricultural Operations (0.1%) | |||||||||||||||||||
25 | Bunge Ltd. Finance Corp. | 8.50 | 06/15/19 | 28,545 | |||||||||||||||
Auto - Cars/Light Trucks (0.1%) | |||||||||||||||||||
30 | Daimler Finance North America LLC | 7.30 | 01/15/12 | 32,630 | |||||||||||||||
Auto - Medium & Heavy Duty Trucks (0.2%) | |||||||||||||||||||
70 | Navistar International Corp. | 8.25 | 11/01/21 | 72,100 | |||||||||||||||
Beverages - Wine/Spirits (0.5%) | |||||||||||||||||||
155 | Constellation Brands, Inc. | 7.25 | 05/15/17 | 157,906 | |||||||||||||||
Brewery (0.2%) | |||||||||||||||||||
45 | Anheuser-Busch InBev Worldwide, Inc. (144A) (b) | 5.375 | 11/15/14 | 47,695 | |||||||||||||||
Building Product - Cement/Aggregation (0.2%) | |||||||||||||||||||
20 | CRH America, Inc. | 6.00 | 09/30/16 | 20,918 | |||||||||||||||
25 | Holcim US Finance Sarl & Cie SCS (144A) (b) | 6.00 | 12/30/19 | 26,071 | |||||||||||||||
46,989 | |||||||||||||||||||
Building - Residential/Commercial (0.3%) | |||||||||||||||||||
75 | K Hovnanian Enterprises, Inc. (144A) (b) | 10.625 | 10/15/16 | 78,750 | |||||||||||||||
Cable/Satellite TV (2.9%) | |||||||||||||||||||
130 | Charter Communications Operating LLC/Charter Communications Operating Capital (144A) (b) | 10.875 | 09/15/14 | 146,250 | |||||||||||||||
65 | Comcast Corp. | 5.70 | 05/15/18 | 68,445 | |||||||||||||||
30 | COX Communications, Inc. (144A) (b) | 8.375 | 03/01/39 | 37,472 | |||||||||||||||
305 | CSC Holdings, Inc. (144A) (b) | 8.625 | 02/15/19 | 329,781 | |||||||||||||||
40 | DIRECTV Holdings LLC / Financing Co., Inc. | 7.625 | 05/15/16 | 43,756 | |||||||||||||||
65 | DISH DBS Corp. | 6.625 | 10/01/14 | 65,731 | |||||||||||||||
90 | DISH DBS Corp. | 7.00 | 10/01/13 | 93,038 | |||||||||||||||
40 | Time Warner Cable, Inc. | 6.75 | 07/01/18 | 44,014 | |||||||||||||||
5 | Time Warner Cable, Inc. | 8.25 | 04/01/19 | 5,966 | |||||||||||||||
35 | Time Warner Cable, Inc. | 8.75 | 02/14/19 | 42,727 | |||||||||||||||
877,180 | |||||||||||||||||||
Casino Gaming (0.0%) | |||||||||||||||||||
840 | Aladdin Gaming Holdings LLC (Series B) (d)(e)(f) | 13.50 | 03/01/10 | 0 | |||||||||||||||
Casino Hotels (1.8%) | |||||||||||||||||||
110 | Harrahs Operating Escrow LLC/Harrahs Escrow Corp. (144A) (b) | 11.25 | 06/01/17 | 115,638 | |||||||||||||||
90 | Las Vegas Sands Corp. | 6.375 | 02/15/15 | 80,100 |
See Notes to Financial Statements
31
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 225 | MGM Mirage (144A) (b) | 10.375 | % | 05/15/14 | $ | 245,250 | ||||||||||||
105 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 6.625 | 12/01/14 | 101,981 | |||||||||||||||
542,969 | |||||||||||||||||||
Cellular Telephone (0.4%) | |||||||||||||||||||
60 | MetroPCS Wireless, Inc. | 9.25 | 11/01/14 | 61,050 | |||||||||||||||
50 | Nextel Communications, Inc. (Series E) | 6.875 | 10/31/13 | 48,750 | |||||||||||||||
109,800 | |||||||||||||||||||
Chemicals - Other (0.8%) | |||||||||||||||||||
240 | Innophos, Inc. | 8.875 | 08/15/14 | 244,800 | |||||||||||||||
Chemicals: Major Diversified (0.3%) | |||||||||||||||||||
80 | Westlake Chemical Corp. | 6.625 | 01/15/16 | 76,900 | |||||||||||||||
Coal (0.4%) | |||||||||||||||||||
35 | Foundation PA Coal Co. LLC | 7.25 | 08/01/14 | 35,613 | |||||||||||||||
90 | Massey Energy Co. | 6.875 | 12/15/13 | 90,337 | |||||||||||||||
125,950 | |||||||||||||||||||
Commercial Banks - Southern U.S. (0.2%) | |||||||||||||||||||
45 | BB&T Corp. (MTN) | 6.85 | 04/30/19 | 50,561 | |||||||||||||||
Commercial Services (0.3%) | |||||||||||||||||||
80 | Ticketmaster Entertainment, Inc. | 10.75 | 08/01/16 | 86,600 | |||||||||||||||
Computer Services (0.5%) | |||||||||||||||||||
105 | SunGard Data Systems, Inc. | 9.125 | 08/15/13 | 108,150 | |||||||||||||||
30 | SunGard Data Systems, Inc. | 10.625 | 05/15/15 | 33,187 | |||||||||||||||
141,337 | |||||||||||||||||||
Containers - Paper/Plastic (1.6%) | |||||||||||||||||||
110 | Berry Plastics Corp. | 8.875 | 09/15/14 | 107,525 | |||||||||||||||
110 | Berry Plastics Escrow LLC/Berry Plastics Escrow Corp. (144A) (b) | 8.25 | 11/15/15 | 111,100 | |||||||||||||||
150 | Graphic Packaging International, Inc. | 9.50 | 08/15/13 | 155,625 | |||||||||||||||
125 | Solo Cup Co. | 8.50 | 02/15/14 | 122,812 | |||||||||||||||
497,062 | |||||||||||||||||||
Data Processing Services (0.3%) | |||||||||||||||||||
75 | First Data Corp. | 9.875 | 09/24/15 | 70,313 | |||||||||||||||
15 | Fiserv, Inc. | 6.80 | 11/20/17 | 16,577 | |||||||||||||||
86,890 | |||||||||||||||||||
Decision Support Software (0.3%) | |||||||||||||||||||
100 | Vangent, Inc. | 9.625 | 02/15/15 | 94,625 |
See Notes to Financial Statements
32
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Diversified Financial Services (2.1%) | |||||||||||||||||||
$ | 25 | Citigroup, Inc. (See Note 6) | 8.125 | % | 07/15/39 | $ | 28,301 | ||||||||||||
160 | Citigroup, Inc. (See Note 6) | 8.50 | 05/22/19 | 185,068 | |||||||||||||||
20 | General Electric Capital Corp. | 5.625 | 05/01/18 | 20,529 | |||||||||||||||
175 | General Electric Capital Corp. (Series G) | 6.00 | 08/07/19 | 181,984 | |||||||||||||||
70 | GMAC, Inc. (144A) (b) | 6.875 | 09/15/11 | 69,650 | |||||||||||||||
135 | Goldman Sachs Group, Inc. (The) | 6.15 | 04/01/18 | 144,752 | |||||||||||||||
630,284 | |||||||||||||||||||
Diversified Manufactured Operation (0.6%) | |||||||||||||||||||
45 | Cooper US, Inc. | 5.25 | 11/15/12 | 48,321 | |||||||||||||||
140 | General Electric Co. | 5.25 | 12/06/17 | 143,292 | |||||||||||||||
191,613 | |||||||||||||||||||
Diversified Operation/Commercial Service (0.5%) | |||||||||||||||||||
145 | ARAMARK Corp. | 8.50 | 02/01/15 | 150,075 | |||||||||||||||
E-Commerce/Services (0.5%) | |||||||||||||||||||
140 | Expedia, Inc. | 8.50 | 07/01/16 | 152,075 | |||||||||||||||
Electric - Generation (1.3%) | |||||||||||||||||||
80 | AES Corp. (The) | 7.75 | 03/01/14 | 81,600 | |||||||||||||||
85 | AES Corp. (The) | 8.00 | 06/01/20 | 86,912 | |||||||||||||||
20 | Edison Mission Energy | 7.00 | 05/15/17 | 15,900 | |||||||||||||||
45 | Edison Mission Energy | 7.75 | 06/15/16 | 38,475 | |||||||||||||||
73 | Homer City Funding LLC | 8.137 | 10/01/19 | 71,905 | |||||||||||||||
104 | Midwest Generation LLC (Series B) | 8.56 | 01/02/16 | 105,394 | |||||||||||||||
400,186 | |||||||||||||||||||
Electric - Integrated (2.6%) | |||||||||||||||||||
125 | Exelon Generation Co. LLC | 5.20 | 10/01/19 | 125,293 | |||||||||||||||
40 | FirstEnergy Solutions Corp. | 6.05 | 08/15/21 | 40,436 | |||||||||||||||
30 | Ipalco Enterprises, Inc. | 8.625 | 11/14/11 | 31,500 | |||||||||||||||
245 | Mirant Americas Generation LLC | 8.50 | 10/01/21 | 233,975 | |||||||||||||||
30 | NiSource Finance Corp. | 6.80 | 01/15/19 | 32,138 | |||||||||||||||
55 | Ohio Power Co. (Series K) | 6.00 | 06/01/16 | 58,387 | |||||||||||||||
60 | PPL Energy Supply LLC | 6.50 | 05/01/18 | 62,662 | |||||||||||||||
45 | Progress Energy, Inc. | 7.05 | 03/15/19 | 50,430 | |||||||||||||||
15 | Public Service Co. of Colorado | 5.125 | 06/01/19 | 15,632 | |||||||||||||||
80 | Texas Competitive Electric Holdings Co. LLC (Series A) | 10.25 | 11/01/15 | 65,200 | |||||||||||||||
45 | Virginia Electric & Power Co. | 8.875 | 11/15/38 | 63,725 | |||||||||||||||
779,378 |
See Notes to Financial Statements
33
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Electronic Connectors (0.1%) | |||||||||||||||||||
$ | 30 | Amphenol Corp. | 4.75 | % | 11/15/14 | $ | 30,043 | ||||||||||||
Electronic Measuring Instrument (0.1%) | |||||||||||||||||||
40 | Agilent Technologies, Inc. | 5.50 | 09/14/15 | 41,979 | |||||||||||||||
Electronics - Military (0.1%) | |||||||||||||||||||
25 | L-3 Communications Corp. | 5.875 | 01/15/15 | 25,094 | |||||||||||||||
Enterprise Software/Service (0.2%) | |||||||||||||||||||
65 | CA, Inc. | 5.375 | 12/01/19 | 65,489 | |||||||||||||||
Finance - Auto Loans (0.5%) | |||||||||||||||||||
135 | Ford Motor Credit Co. LLC | 7.25 | 10/25/11 | 136,392 | |||||||||||||||
Finance - Consumer Loans (0.1%) | |||||||||||||||||||
35 | SLM Corp. (MTN) | 8.45 | 06/15/18 | 34,588 | |||||||||||||||
Finance - Credit Card (0.5%) | |||||||||||||||||||
130 | American Express Co. | 8.125 | 05/20/19 | 154,320 | |||||||||||||||
Finance - Investment Banker/Broker (0.7%) | |||||||||||||||||||
25 | Bear Stearns Cos. LLC (The) | 7.25 | 02/01/18 | 28,741 | |||||||||||||||
15 | Credit Suisse USA, Inc. | 5.125 | 08/15/15 | 15,968 | |||||||||||||||
100 | Merrill Lynch & Co., Inc. | 6.11 | 01/29/37 | 92,483 | |||||||||||||||
80 | TD Ameritrade Holding Corp. | 5.60 | 12/01/19 | 79,619 | |||||||||||||||
216,811 | |||||||||||||||||||
Food - Meat Products (0.6%) | |||||||||||||||||||
75 | JBS USA LLC/JBS USA Finance, Inc. (144A) (b) | 11.625 | 05/01/14 | 85,312 | |||||||||||||||
85 | Smithfield Foods, Inc. | 7.00 | 08/01/11 | 85,213 | |||||||||||||||
170,525 | |||||||||||||||||||
Food - Miscellaneous/Diversified (0.4%) | |||||||||||||||||||
25 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 26,863 | |||||||||||||||
20 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 24,039 | |||||||||||||||
70 | Kraft Foods, Inc. | 6.125 | 08/23/18 | 73,928 | |||||||||||||||
124,830 | |||||||||||||||||||
Food-Retail (0.7%) | |||||||||||||||||||
144 | Delhaize America, Inc. | 9.00 | 04/15/31 | 184,858 | |||||||||||||||
20 | Kroger Co. (The) | 3.90 | 10/01/15 | 20,135 | |||||||||||||||
204,993 | |||||||||||||||||||
Gold Mining (0.3%) | |||||||||||||||||||
90 | Newmont Mining Corp. | 5.125 | 10/01/19 | 90,213 |
See Notes to Financial Statements
34
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Independent Power Producer (0.6%) | |||||||||||||||||||
$ | 115 | NRG Energy, Inc. | 8.50 | % | 06/15/19 | $ | 118,450 | ||||||||||||
75 | Orion Power Holdings, Inc. | 12.00 | 05/01/10 | 77,250 | |||||||||||||||
195,700 | |||||||||||||||||||
Industrial Gases (0.1%) | |||||||||||||||||||
35 | Airgas, Inc. (144A) (b) | 7.125 | 10/01/18 | 36,575 | |||||||||||||||
Life/Health Insurance (0.2%) | |||||||||||||||||||
30 | Principal Financial Group, Inc. | 8.875 | 05/15/19 | 34,662 | |||||||||||||||
35 | Prudential Financial, Inc. (Series D) | 6.625 | 12/01/37 | 35,993 | |||||||||||||||
70,655 | |||||||||||||||||||
Machinery - Electric Utility (0.2%) | |||||||||||||||||||
70 | Ormat Funding Corp. | 8.25 | 12/30/20 | 63,569 | |||||||||||||||
Machinery - Farm (0.2%) | |||||||||||||||||||
55 | Case New Holland, Inc. (144A) (b) | 7.75 | 09/01/13 | 56,513 | |||||||||||||||
Media (0.5%) | |||||||||||||||||||
65 | News America, Inc. | 7.85 | 03/01/39 | 76,271 | |||||||||||||||
30 | Time Warner, Inc. | 5.875 | 11/15/16 | 32,431 | |||||||||||||||
10 | Viacom, Inc. | 5.625 | 09/15/19 | 10,461 | |||||||||||||||
35 | Viacom, Inc. | 6.875 | 04/30/36 | 37,965 | |||||||||||||||
157,128 | |||||||||||||||||||
Medical Instruments (0.1%) | |||||||||||||||||||
35 | Boston Scientific Corp. | 6.00 | 01/15/20 | 35,829 | |||||||||||||||
Medical Labs & Testing Services (0.5%) | |||||||||||||||||||
40 | Quest Diagnostics, Inc. | 4.75 | 01/30/20 | 39,161 | |||||||||||||||
100 | Roche Holdings, Inc. (144A) (b) | 6.00 | 03/01/19 | 110,081 | |||||||||||||||
149,242 | |||||||||||||||||||
Medical Products (0.8%) | |||||||||||||||||||
100 | Biomet, Inc. | 10.00 | 10/15/17 | 109,125 | |||||||||||||||
91 | Fresenius Medical Care Capital Trust IV | 7.875 | 06/15/11 | 94,754 | |||||||||||||||
40 | Invacare Corp. | 9.75 | 02/15/15 | 41,900 | |||||||||||||||
245,779 | |||||||||||||||||||
Medical - Drugs (0.3%) | |||||||||||||||||||
40 | Axcan Intermediate Holdings, Inc. | 12.75 | 03/01/16 | 44,900 | |||||||||||||||
5 | Wyeth | 5.45 | 04/01/17 | 5,337 | |||||||||||||||
5 | Wyeth | 5.50 | 02/15/16 | 5,381 | |||||||||||||||
20 | Wyeth | 6.45 | 02/01/24 | 22,334 | |||||||||||||||
77,952 |
See Notes to Financial Statements
35
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Medical - Generic Drugs (0.2%) | |||||||||||||||||||
$ | 45 | Watson Pharmaceuticals, Inc. | 6.125 | % | 08/15/19 | $ | 46,515 | ||||||||||||
Medical - HMO (0.2%) | |||||||||||||||||||
50 | UnitedHealth Group, Inc. | 6.00 | 02/15/18 | 51,730 | |||||||||||||||
Medical - Hospitals (1.6%) | |||||||||||||||||||
45 | CHS/Community Health Systems, Inc. | 8.875 | 07/15/15 | 46,688 | |||||||||||||||
95 | HCA, Inc. | 5.75 | 03/15/14 | 89,775 | |||||||||||||||
125 | HCA, Inc. | 6.25 | 02/15/13 | 122,187 | |||||||||||||||
125 | HCA, Inc. | 7.69 | 06/15/25 | 115,088 | |||||||||||||||
90 | Tenet Healthcare Corp. (144A) (b) | 10.00 | 05/01/18 | 101,250 | |||||||||||||||
474,988 | |||||||||||||||||||
Medical - Nursing Homes (0.5%) | |||||||||||||||||||
135 | Sun Healthcare Group, Inc. | 9.125 | 04/15/15 | 139,387 | |||||||||||||||
Medical - Outpatient/Home Medical (0.3%) | |||||||||||||||||||
35 | Select Medical Corp. | 6.428 | (a) | 09/15/15 | 32,550 | ||||||||||||||
65 | Select Medical Corp. | 7.625 | 02/01/15 | 63,375 | |||||||||||||||
95,925 | |||||||||||||||||||
Medical - Wholesale Drug Distribution (0.1%) | |||||||||||||||||||
35 | AmerisourceBergen Corp. | 4.875 | 11/15/19 | 34,621 | |||||||||||||||
Metal - Copper (0.1%) | |||||||||||||||||||
20 | Freeport-McMoRan Copper & Gold, Inc. | 8.375 | 04/01/17 | 21,930 | |||||||||||||||
Multi-line Insurance (0.4%) | |||||||||||||||||||
40 | Allstate Corp. (The) | 7.45 | 05/16/19 | 46,553 | |||||||||||||||
65 | MetLife, Inc. | 7.717 | 02/15/19 | 76,513 | |||||||||||||||
123,066 | |||||||||||||||||||
Office Automation & Equipment (0.1%) | |||||||||||||||||||
10 | Xerox Corp. | 5.625 | 12/15/19 | 10,005 | |||||||||||||||
20 | Xerox Corp. | 6.35 | 05/15/18 | 20,896 | |||||||||||||||
30,901 | |||||||||||||||||||
Oil Companies - Exploration & Production (4.8%) | |||||||||||||||||||
100 | Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp. | 10.75 | 02/01/18 | 111,000 | |||||||||||||||
320 | Chesapeake Energy Corp. | 7.50 | 09/15/13 | 327,200 | |||||||||||||||
155 | Denbury Resources, Inc. | 9.75 | 03/01/16 | 166,237 | |||||||||||||||
70 | Forest Oil Corp. | 7.25 | 06/15/19 | 69,475 | |||||||||||||||
55 | Forest Oil Corp. | 7.75 | 05/01/14 | 55,963 | |||||||||||||||
95 | Hilcorp Energy I LP/Hilcorp Finance Co. (144A) (b) | 7.75 | 11/01/15 | 93,575 | |||||||||||||||
115 | Newfield Exploration Co. | 6.625 | 09/01/14 | 116,725 |
See Notes to Financial Statements
36
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 60 | Pemex Project Funding Master Trust (144A) (b) | 1.554 | (a)% | 06/15/10 | $ | 60,150 | ||||||||||||
70 | Plains Exploration & Production Co. | 7.625 | 06/01/18 | 71,925 | |||||||||||||||
55 | Plains Exploration & Production Co. | 7.75 | 06/15/15 | 56,238 | |||||||||||||||
110 | Plains Exploration & Production Co. | 10.00 | 03/01/16 | 121,000 | |||||||||||||||
170 | SandRidge Energy, Inc. | 8.625 | (g) | 04/01/15 | 170,850 | ||||||||||||||
45 | XTO Energy, Inc. | 5.50 | 06/15/18 | 48,081 | |||||||||||||||
1,468,419 | |||||||||||||||||||
Oil - Field Services (0.1%) | |||||||||||||||||||
35 | Key Energy Services, Inc. | 8.375 | 12/01/14 | 35,263 | |||||||||||||||
Paper & Related Products (0.9%) | |||||||||||||||||||
90 | Georgia - Pacific LLC (144A) (b) | 8.25 | 05/01/16 | 95,850 | |||||||||||||||
35 | Glatfelter | 7.125 | 05/01/16 | 34,956 | |||||||||||||||
30 | �� | International Paper Co. | 7.50 | 08/15/21 | 33,681 | ||||||||||||||
100 | NewPage Corp. (144A) (b) | 11.375 | 12/31/14 | 101,500 | |||||||||||||||
265,987 | |||||||||||||||||||
Pharmacy Services (0.5%) | |||||||||||||||||||
85 | Medco Health Solutions, Inc. | 7.125 | 03/15/18 | 95,703 | |||||||||||||||
70 | Omnicare, Inc. | 6.75 | 12/15/13 | 68,950 | |||||||||||||||
164,653 | |||||||||||||||||||
Physical Therapy/Rehabilitation Centers (0.3%) | |||||||||||||||||||
75 | Healthsouth Corp. | 10.75 | 06/15/16 | 81,938 | |||||||||||||||
Pipelines (1.3%) | |||||||||||||||||||
20 | CenterPoint Energy Resources Corp. | 6.25 | 02/01/37 | 19,450 | |||||||||||||||
10 | CenterPoint Energy Resources Corp. (Series B) | 7.875 | 04/01/13 | 11,272 | |||||||||||||||
50 | Enterprise Products Operating LLC (Series N) | 6.50 | 01/31/19 | 54,030 | |||||||||||||||
35 | Sonat, Inc. | 7.625 | 07/15/11 | 36,249 | |||||||||||||||
50 | Texas Eastern Transmission LP | 7.00 | 07/15/32 | 56,366 | |||||||||||||||
175 | Williams Cos., Inc. (The) | 7.875 | 09/01/21 | 201,124 | |||||||||||||||
378,491 | |||||||||||||||||||
Property Trust (0.2%) | |||||||||||||||||||
60 | WEA Finance LLC/WT Finance Aust Pty Ltd. (144A) (b) | 6.75 | 09/02/19 | 64,540 | |||||||||||||||
Property/Casualty Insurance (0.1%) | |||||||||||||||||||
25 | ACE INA Holdings, Inc. | 5.60 | 05/15/15 | 26,859 | |||||||||||||||
Radio (0.1%) | |||||||||||||||||||
45 | Sirius XM Radio, Inc. | 9.625 | 08/01/13 | 45,000 | |||||||||||||||
REITS - Apartments (0.2%) | |||||||||||||||||||
50 | AvalonBay Communities, Inc. (MTN) | 6.10 | 03/15/20 | 51,154 |
See Notes to Financial Statements
37
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Rental Auto/Equipment (0.2%) | |||||||||||||||||||
$ | 75 | United Rentals North America, Inc. | 6.50 | % | 02/15/12 | $ | 75,188 | ||||||||||||
Resorts/Theme Parks (0.0%) | |||||||||||||||||||
299 | Resort at Summerlin LP (Series B) (d)(e)(f)(h) | 13.00 | (g) | 12/15/07 | 0 | ||||||||||||||
Retail - Building Products (0.2%) | |||||||||||||||||||
65 | Home Depot, Inc. (The) | 5.875 | 12/16/36 | 62,949 | |||||||||||||||
Retail - Drug Store (0.6%) | |||||||||||||||||||
79 | CVS Pass-Through Trust | 6.036 | 12/10/28 | 74,859 | |||||||||||||||
125 | RITE AID Corp. | 8.625 | 03/01/15 | 109,375 | |||||||||||||||
184,234 | |||||||||||||||||||
Retail - Regional Department Store (0.4%) | |||||||||||||||||||
55 | Kohl's Corp. | 6.875 | 12/15/37 | 62,585 | |||||||||||||||
70 | Macy's Retail Holdings, Inc. | 5.90 | 12/01/16 | 68,600 | |||||||||||||||
131,185 | |||||||||||||||||||
Retail - Restaurants (0.2%) | |||||||||||||||||||
20 | Yum! Brands, Inc. | 6.25 | 03/15/18 | 21,851 | |||||||||||||||
30 | Yum! Brands, Inc. | 6.875 | 11/15/37 | 32,520 | |||||||||||||||
54,371 | |||||||||||||||||||
Satellite Telecommunication (0.7%) | |||||||||||||||||||
215 | Intelsat Corp. | 9.25 | 06/15/16 | 223,062 | |||||||||||||||
Schools (0.2%) | |||||||||||||||||||
55 | Duke University | 5.15 | 04/01/19 | 57,441 | |||||||||||||||
Semiconductor Equipment (0.1%) | |||||||||||||||||||
35 | KLA-Tencor Corp. | 6.90 | 05/01/18 | 36,883 | |||||||||||||||
Special Purpose Entity (1.6%) | |||||||||||||||||||
160 | AIG SunAmerica Global Financing (144A) (b) | 6.30 | 05/10/11 | 159,200 | |||||||||||||||
22 | CA FM Lease Trust (144A) (b) | 8.50 | 07/15/17 | 22,807 | |||||||||||||||
50 | Harley-Davidson Funding Corp. (144A) (b) | 6.80 | 06/15/18 | 49,940 | |||||||||||||||
115 | LPL Holdings, Inc. (144A) (b) | 10.75 | 12/15/15 | 119,169 | |||||||||||||||
150 | NSG Holdings LLC/NSG Holdings, Inc. (144A) (b) | 7.75 | 12/15/25 | 135,000 | |||||||||||||||
486,116 | |||||||||||||||||||
Super - Regional Banks - U.S. (0.6%) | |||||||||||||||||||
35 | PN | C | Funding Corp. | 6.70 | 06/10/19 | 39,234 | |||||||||||||
145 | Wells Fargo & Co. | 5.625 | 12/11/17 | 151,063 | |||||||||||||||
190,297 | |||||||||||||||||||
Telecom Equipment Fiber Optics (0.1%) | |||||||||||||||||||
25 | Corning, Inc. | 6.625 | 05/15/19 | 27,292 |
See Notes to Financial Statements
38
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Telecommunication Services (0.3%) | |||||||||||||||||||
$ | 90 | PAETEC Holding Corp. | 8.875 | % | 06/30/17 | $ | 91,575 | ||||||||||||
Telephone - Integrated (2.4%) | |||||||||||||||||||
60 | AT&T Corp. | 8.00 | 11/15/31 | 73,439 | |||||||||||||||
10 | AT&T, Inc. | 6.15 | 09/15/34 | 9,916 | |||||||||||||||
15 | CenturyTel, Inc. (Series Q) | 6.15 | 09/15/19 | 15,364 | |||||||||||||||
180 | Citizens Communications Co. | 9.00 | 08/15/31 | 177,750 | |||||||||||||||
125 | Qwest Capital Funding, Inc. | 7.25 | 02/15/11 | 127,500 | |||||||||||||||
70 | Sprint Capital Corp. | 6.90 | 05/01/19 | 64,750 | |||||||||||||||
30 | Verizon Communications, Inc. | 5.50 | 02/15/18 | 31,358 | |||||||||||||||
125 | Verizon Communications, Inc. | 6.35 | 04/01/19 | 138,148 | |||||||||||||||
100 | Windstream Corp. (144A) (b) | 7.875 | 11/01/17 | 99,250 | |||||||||||||||
737,475 | |||||||||||||||||||
Tobacco (0.2%) | |||||||||||||||||||
20 | Altria Group, Inc. | 9.25 | 08/06/19 | 24,413 | |||||||||||||||
35 | Philip Morris International, Inc. | 5.65 | 05/16/18 | 36,867 | |||||||||||||||
61,280 | |||||||||||||||||||
Transport - Rail (0.2%) | |||||||||||||||||||
25 | CSX Corp. | 7.375 | 02/01/19 | 28,609 | |||||||||||||||
30 | Union Pacific Corp. | 6.125 | 02/15/20 | 32,536 | |||||||||||||||
61,145 | |||||||||||||||||||
Total Domestic Corporate Bonds (Cost $14,225,653) | 14,207,579 | ||||||||||||||||||
Asset-Backed Security (0.0%) | |||||||||||||||||||
20 | Specialty Underwriting & Residential Finance 2004-BC2 A2 (Cost $19,539) | 0.501 | (a) | 05/25/35 | 14,279 | ||||||||||||||
U.S. Government Agencies and Obligations (27.8%) | |||||||||||||||||||
U.S. Government Agencies (2.4%) | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||
150 | 3.00 | 07/28/14 | 152,188 | ||||||||||||||||
200 | 6.75 | 03/15/31 | 244,301 | ||||||||||||||||
Federal National Mortgage Assoc. | |||||||||||||||||||
100 | 4.375 | 10/15/15 | 106,520 | ||||||||||||||||
200 | 5.00 | 05/11/17 | 217,576 | ||||||||||||||||
720,585 |
See Notes to Financial Statements
39
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
U.S. Government Obligations (25.4%) | |||||||||||||||||||
U.S. Treasury Bonds | |||||||||||||||||||
$ | 300 | 4.25 | % | 05/15/39 | $ | 281,531 | |||||||||||||
725 | 5.375 | 02/15/31 | 801,352 | ||||||||||||||||
U.S. Treasury Notes | |||||||||||||||||||
300 | 0.75 | 11/30/11 | 298,137 | ||||||||||||||||
312 | 1.50 | 12/31/13 | 303,883 | ||||||||||||||||
520 | 1.75 | 01/31/14 | 510,291 | ||||||||||||||||
690 | 1.75 | 03/31/14 | 673,829 | ||||||||||||||||
2,800 | 2.375 | 10/31/14 | 2,770,469 | ||||||||||||||||
120 | 2.75 | 02/15/19 | 110,513 | ||||||||||||||||
480 | 3.00 | 08/31/16 | 472,238 | ||||||||||||||||
175 | 3.375 | 11/15/19 | 168,384 | ||||||||||||||||
181 | 4.00 | 08/15/18 | 184,917 | ||||||||||||||||
44 | 4.75 | 08/15/17 | 47,757 | ||||||||||||||||
U.S. Treasury Strips | |||||||||||||||||||
790 | 0.00 | 11/15/19 | 524,714 | ||||||||||||||||
920 | 0.00 | 11/15/21 | 542,359 | ||||||||||||||||
7,690,374 | |||||||||||||||||||
Total U.S. Government Agencies and Obligations (Cost $8,515,668) | 8,410,959 | ||||||||||||||||||
U.S. Government Agencies - Mortgage-Backed Securities (1.0%) | |||||||||||||||||||
Federal National Mortgage Assoc. (1.0%) | |||||||||||||||||||
58 | 6.50 | 07/01/29 | 63,230 | ||||||||||||||||
17 | 6.50 | 05/01/31 | 18,028 | ||||||||||||||||
95 | 6.50 | 03/01/32 | 102,333 | ||||||||||||||||
10 | 6.50 | 11/01/33 | 11,090 | ||||||||||||||||
35 | 7.00 | 02/01/33 | 38,190 | ||||||||||||||||
10 | 8.00 | 02/01/12 | 10,625 | ||||||||||||||||
70 | (IO) 356 47 | 6.50 | 12/01/29 | 9,183 | |||||||||||||||
71 | (IO) 356 49 | 7.00 | 11/01/19 | 9,988 | |||||||||||||||
83 | (IO) 356 25 | 7.00 | 12/01/34 | 16,853 | |||||||||||||||
132 | (IO) 356 30 | 8.00 | 06/01/35 | 25,444 | |||||||||||||||
304,964 | |||||||||||||||||||
Government National Mortgage Assoc. (0.0%) | |||||||||||||||||||
1 | 8.00 | 06/15/26 | 810 | ||||||||||||||||
Total U.S. Government Agencies - Mortgage-Backed Securities (Cost $261,235) | 305,774 |
See Notes to Financial Statements
40
Flexible Income
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Municipal Bonds (0.4%) | |||||||||||||||||||
$ | 75 | Illinois State Toll Highway Authority (The) 2009 (Series A) | 6.184 | % | 01/01/34 | $ | 76,360 | ||||||||||||
40 | State of California - Various Purpose General Obligation Bonds | 5.95 | 04/01/16 | 40,411 | |||||||||||||||
Total Municipal Bonds (Cost $115,186) | 116,771 | ||||||||||||||||||
Collateralized Mortgage Obligations (0.1%) | |||||||||||||||||||
Private Issues | |||||||||||||||||||
120 | American Home Mortgage Assets 2006-4 1A3 | 0.541 | (a) | 10/25/46 | 11,980 | ||||||||||||||
112 | Mastr Adjustable Rate Mortgages Trust 2006-OA1 3A3 | 1.484 | (a) | 04/25/46 | 12,222 | ||||||||||||||
Total Collateralized Mortgage Obligations (Cost $193,223) | 24,202 |
NUMBER OF SHARES | |||||||||||
Preferred Stock (0.2%) | |||||||||||
Diversified Financial Services | |||||||||||
82 | GMAC, Inc. $70.00 (144A) (b) (Cost $34,389) | 54,053 | |||||||||
Common Stocks (0.0%) | |||||||||||
Casino Gaming (0.0%) | |||||||||||
787 | Fitzgeralds Gaming Corp. (e)(h)(i) | 0 | |||||||||
Communications Equipment (0.0%) | |||||||||||
1,171 | Birch Telecom, Inc. (e)(i)(j)(m) | 12 | |||||||||
563 | Orbcomm, Inc. (i) | 1,520 | |||||||||
1,532 | |||||||||||
Diversified Telecommunication Services (0.0%) | |||||||||||
109 | XO Holdings, Inc. (i)(k)(m) | 64 | |||||||||
Food Products (0.0%) | |||||||||||
100 | SFAC New Holdings, Inc. (e)(i)(l) | 0 | |||||||||
18 | SFFB Holdings, Inc. (e)(i) | 0 | |||||||||
0 | |||||||||||
Multi-Utilities (0.0%) | |||||||||||
13 | PNM Resources, Inc. (m) | 164 | |||||||||
Textile - Apparel (0.0%) | |||||||||||
11,192 | U.S. Leather, Inc. (e)(i)(m) | 0 |
See Notes to Financial Statements
41
Flexible Income
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Wireless Telecommunication Services (0.0%) | |||||||||||
46 | USA Mobility, Inc. (k)(m) | $ | 507 | ||||||||
Total Common Stocks (Cost $1,904,442) | 2,267 |
NUMBER OF WARRANTS | EXPIRATION DATE | ||||||||||||||
Warrants (0.0%) | |||||||||||||||
Casino Gaming (0.0%) | |||||||||||||||
9,000 | Aladdin Gaming Enterprises, Inc. (144A) (b)(e) | 03/01/10 | 0 | ||||||||||||
Telecommunication Services (0.0%) | |||||||||||||||
219 | XO Holdings, Inc. (Series A) (k)(m) | 01/16/10 | 2 | ||||||||||||
164 | XO Holdings, Inc. (Series B) (k)(m) | 01/16/10 | 1 | ||||||||||||
164 | XO Holdings, Inc. (Series C) (k)(m) | 01/16/10 | 0 | ||||||||||||
3 | |||||||||||||||
Total Warrants (Cost $249) | 3 |
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | |||||||||||||||||
Short-Term Investments (5.4%) | |||||||||||||||||||
U.S. Government Obligation (n)(o) (1.2%) | |||||||||||||||||||
$ | 370 | U.S. Treasury Bill (Cost $369,807) | 0.15 | % | 05/06/10 | 369,812 |
NUMBER OF SHARES (000) | |||||||||||
Investment Company (4.2%) | |||||||||||
1,278 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $1,278,455) | 1,278,455 |
Total Short-Term Investments (Cost $1,648,262) | 1,648,267 | ||||||||||
Total Investments (Cost $32,137,775) (p)(q) | 99.8 | % | 30,219,304 | ||||||||
Other Assets in Excess of Liabilities | 0.2 | 61,478 | |||||||||
Net Assets | 100.0 | % | $ | 30,280,782 |
See Notes to Financial Statements
42
Flexible Income
Portfolio of Investments n December 31, 2009 continued
IO Interest Only Security.
MTN Medium Term Note.
(a) Floating rate security. Rate shown is the rate in effect at December 31, 2009.
(b) Resale is restricted to qualified institutional investors.
(c) Security issued with perpetual maturity.
(d) Non-income producing security; bond in default.
(e) Securities with a total market value equal to $12 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 2.
(f) Issuer in bankruptcy.
(g) Payment-in-kind security.
(h) Resale is restricted, acquired (12/22/98) at a cost basis of $3,549.
(i) Non-income producing security.
(j) Resale is restricted, acquired (between 06/18/98 and 08/15/99) at a cost basis of $573,998.
(k) Illiquid security.
(l) Resale is restricted, acquired (06/10/99) at a cost basis of $1.
(m) Acquired through exchange offer.
(n) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.
(o) A portion of this security has been physically segregated in connection with open futures contracts.
(p) Securities have been designated as collateral in connection with open futures contracts, forward foreign currency contracts and swap contracts.
(q) The aggregate cost for federal income tax purposes is $32,271,942. The aggregate gross unrealized appreciation is $1,688,086 and the aggregate gross unrealized depreciation is $3,740,724 resulting in net unrealized depreciation of $2,052,638.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 2009:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
$ | 57,206 | KRW | 67,600,000 | 01/28/10 | $ | 795 | |||||||||
$ | 29,073 | RUB | 890,000 | 03/24/10 | (102 | ) | |||||||||
Net Unrealized Appreciation | $ | 693 |
Currency Abbreviations:
BRL Brazilian Real.
KRW South Korean Won.
MXN Mexican New Peso.
RUB Russian Ruble.
TRY Turkish Lira.
See Notes to Financial Statements
43
Flexible Income
Portfolio of Investments n December 31, 2009 continued
FUTURES CONTRACTS OPEN AT DECEMBER 31, 2009:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
9 | Long | U.S. Treasury Notes 5 Year, March 2010 | $ | 1,029,445 | $ | (12,483 | ) | ||||||||||||
11 | Short | U.S. Treasury Bonds 30 Year, March 2010 | (1,269,125 | ) | 53,055 | ||||||||||||||
10 | Short | U.S. Treasury Notes 2 Year, March 2010 | (2,162,656 | ) | 11,776 | ||||||||||||||
24 | Short | U.S. Treasury Notes 10 Year, March 2010 | (2,770,875 | ) | 69,853 | ||||||||||||||
Net Unrealized Appreciation | $ | 122,201 |
CREDIT DEFAULT SWAPS CONTRACTS OPEN AT DECEMBER 31, 2009:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000's) | INTEREST RATE | TERMINATION DATE | UNREALIZED DEPRECIATION | UPFRONT PAYMENTS | VALUE | CREDIT RATING OF REFERENCE OBLIGATION+ | |||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||||||||||
Bank of America, N.A. Carnival Corp. | Buy | $ | 115 | 1.57 | % | March 20, 2018 | $ | (5,493 | ) | — | $ | (5,493 | ) | BBB+ | |||||||||||||||||||||
Bank of America, N.A. Tyco Electronics Ltd. | Buy | 125 | 5.00 | June 20, 2014 | (18,029 | ) | $ | (5,251 | ) | (23,280 | ) | BBB- | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 240 | $ | (23,522 | ) | $ | (5,251 | ) | $ | (28,773 | ) |
+ Credit rating as issued by Standard & Poors.
See Notes to Financial Statements
44
Flexible Income
Portfolio of Investments n December 31, 2009 continued
INTEREST RATE SWAP CONTRACTS OPEN AT DECEMBER 31, 2009:
COUNTERPARTY | NOTIONAL AMOUNT (000's) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Barclays Bank PLC ^ | $ | 920 | Floating Rate 4.026#% | Fixed Rate 0.00% | November 15, 2021 | $ | (34,670 | ) | |||||||||||||||
Credit Suisse Group *** | 1,890 | Fixed Rate 5.09 | Floating Rate 0.00# | December 23, 2019 | (9,072 | ) | |||||||||||||||||
Credit Suisse Group | 452 | Floating Rate 0.25# | Fixed Rate 4.39 | December 23, 2039 | 10,423 | ||||||||||||||||||
Deutsche Bank AG *** | 6,523 | Fixed Rate 4.40 | Floating Rate 0.00# | October 1, 2016 | (39,986 | ) | |||||||||||||||||
Deutsche Bank AG *** | 3,510 | Floating Rate 0.00# | Fixed Rate 4.41 | October 3, 2018 | 41,664 | ||||||||||||||||||
Deutsche Bank AG ^ | 750 | Floating Rate 4.117# | Fixed Rate 0.00 | November 15, 2021 | (15,624 | ) | |||||||||||||||||
Deutsche Bank AG ^^ | 750 | Fixed Rate 0.00 | Floating Rate 0.816# | November 15, 2021 | (51,762 | ) | |||||||||||||||||
JPMorgan Chase Bank N.A. New York ^ | 535 | Floating Rate 4.314# | Fixed Rate 0.00 | November 15, 2019 | (19,814 | ) | |||||||||||||||||
UBS AG ^ | 255 | Floating Rate 4.526# | Fixed Rate 0.00 | November 15, 2019 | (7,937 | ) | |||||||||||||||||
Net Unrealized Depreciation | $ | (126,778 | ) |
^ Portfolio will make payments of $412,031, $323,462, $203,364, and $95,443, respectively, on termination date.
^^ Portfolio will receive $250,453 on termination date.
*** Forward interest rate swap. Periodic payments on specified notional contract amount with future effective date, unless terminated earlier.
# Floating rate based on USD-3 Months LIBOR.
SUMMARY OF INVESTMENTS PORTFOLIO COMPOSITION | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Domestic Corporate Bonds | $ | 14,207,579 | 47.0 | % | |||||||
U.S. Government Agencies and Obligations | 9,086,545 | 30.0 | |||||||||
Foreign Government & Corporate Bonds | 5,435,150 | 18.0 | |||||||||
Investment Company | 1,278,455 | 4.2 | |||||||||
Municipal Bonds | 116,771 | 0.4 | |||||||||
Preferred Stocks | 54,053 | 0.2 | |||||||||
Asset-Backed Security | 14,279 | 0.1 | |||||||||
Collateralized Mortgage Obligations | 24,202 | 0.1 | |||||||||
Common Stocks | 2,267 | — | |||||||||
Warrants | 3 | — | |||||||||
$ | 30,219,304 | ^ | 100.0 | % |
^ Does not include open forward foreign currency contracts with net unrealized appreciation of $693. Does not include open long/short futures contracts with an underlying face amount of $7,232,101 and unrealized appreciation of $122,201. Also does not include open swap contracts with net unrealized depreciation of $150,300.
See Notes to Financial Statements
45
Balanced
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (68.2%) | |||||||||||
Aerospace & Defense (0.3%) | |||||||||||
2,200 | General Dynamics Corp. | $ | 149,974 | ||||||||
Air Freight & Logistics (0.3%) | |||||||||||
1,800 | FedEx Corp. | 150,210 | |||||||||
Automobiles (0.5%) | |||||||||||
3,700 | Ford Motor Co. (a) | 37,000 | |||||||||
6,302 | Harley-Davidson, Inc. | 158,810 | |||||||||
195,810 | |||||||||||
Beverages (0.7%) | |||||||||||
4,910 | Coca-Cola Co. (The) | 279,870 | |||||||||
Capital Markets (1.4%) | |||||||||||
23,492 | Charles Schwab Corp. (The) | 442,119 | |||||||||
3,900 | State Street Corp. | 169,806 | |||||||||
611,925 | |||||||||||
Chemicals (0.8%) | |||||||||||
12,100 | Dow Chemical Co. (The) | 334,323 | |||||||||
Commercial Banks (3.4%) | |||||||||||
7,800 | BB&T Corp. | 197,886 | |||||||||
16,200 | Fifth Third Bancorp | 157,950 | |||||||||
6,673 | First Horizon National Corp. (a) | 89,424 | |||||||||
10,588 | PNC Financial Services Group, Inc. | 558,941 | |||||||||
5,900 | US Bancorp | 132,809 | |||||||||
10,500 | Wells Fargo & Co. | 283,395 | |||||||||
1,420,405 | |||||||||||
Commercial Services & Supplies (0.7%) | |||||||||||
4,000 | Avery Dennison Corp. | 145,960 | |||||||||
5,700 | Cintas Corp. | 148,485 | |||||||||
294,445 | |||||||||||
Communications Equipment (1.1%) | |||||||||||
19,170 | Cisco Systems, Inc. (a) | 458,930 | |||||||||
Computers & Peripherals (1.8%) | |||||||||||
11,100 | Dell, Inc. (a) | 159,396 | |||||||||
11,760 | Hewlett-Packard Co. | 605,758 | |||||||||
765,154 |
See Notes to Financial Statements
46
Balanced
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Financial Services (5.3%) | |||||||||||
36,100 | Bank of America Corp. | $ | 543,666 | ||||||||
61,700 | Citigroup, Inc. (See Note 6) | 204,227 | |||||||||
35,585 | JPMorgan Chase & Co. | 1,482,827 | |||||||||
2,230,720 | |||||||||||
Diversified Telecommunication Services (0.8%) | |||||||||||
9,630 | Verizon Communications, Inc. | 319,042 | |||||||||
Electric Utilities (3.2%) | |||||||||||
18,411 | American Electric Power Co., Inc. | 640,519 | |||||||||
4,200 | Edison International | 146,076 | |||||||||
3,090 | Entergy Corp. | 252,886 | |||||||||
6,610 | FirstEnergy Corp. | 307,034 | |||||||||
1,346,515 | |||||||||||
Electronic Equipment, Instruments & Components (0.9%) | |||||||||||
11,800 | Agilent Technologies, Inc. (a) | 366,626 | |||||||||
Energy Equipment & Services (1.5%) | |||||||||||
6,000 | Schlumberger Ltd. (Netherlands Antilles) | 390,540 | |||||||||
8,900 | Smith International, Inc. | 241,813 | |||||||||
632,353 | |||||||||||
Food & Staples Retailing (2.9%) | |||||||||||
11,700 | Sysco Corp. | 326,898 | |||||||||
11,300 | Wal-Mart Stores, Inc. | 603,985 | |||||||||
8,100 | Walgreen Co. | 297,432 | |||||||||
1,228,315 | |||||||||||
Food Products (2.0%) | |||||||||||
22,500 | Kraft Foods, Inc. (Class A) | 611,550 | |||||||||
7,330 | Unilever N.V. (NY Registered Shares) (Netherlands) | 236,979 | |||||||||
848,529 | |||||||||||
Health Care Equipment & Supplies (1.5%) | |||||||||||
22,890 | Boston Scientific Corp. (a) | 206,010 | |||||||||
8,892 | Covidien PLC (Ireland) | 425,838 | |||||||||
631,848 | |||||||||||
Health Care Providers & Services (1.1%) | |||||||||||
5,800 | Cardinal Health, Inc. | 186,992 | |||||||||
8,600 | UnitedHealth Group, Inc. | 262,128 | |||||||||
449,120 | |||||||||||
Hotels, Restaurants & Leisure (0.2%) | |||||||||||
3,400 | Starbucks Corp. (a) | 78,404 |
See Notes to Financial Statements
47
Balanced
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Household Durables (0.9%) | |||||||||||
13,500 | Sony Corp. (ADR) (Japan) | $ | 391,500 | ||||||||
Industrial Conglomerates (3.6%) | |||||||||||
51,900 | General Electric Co. | 785,247 | |||||||||
3,240 | Siemens AG (ADR) (Germany) | 297,108 | |||||||||
12,202 | Tyco International Ltd. (Luxembourg) | 435,367 | |||||||||
1,517,722 | |||||||||||
Insurance (4.3%) | |||||||||||
7,822 | Chubb Corp. | 384,686 | |||||||||
39,630 | Marsh & McLennan Cos., Inc. | 875,030 | |||||||||
1,800 | Transatlantic Holdings, Inc. | 93,798 | |||||||||
9,021 | Travelers Companies, Inc. (The) | 449,787 | |||||||||
1,803,301 | |||||||||||
Internet Software & Services (2.1%) | |||||||||||
27,200 | eBay, Inc. (a) | 640,288 | |||||||||
14,300 | Yahoo!, Inc. (a) | 239,954 | |||||||||
880,242 | |||||||||||
Machinery (1.5%) | |||||||||||
9,500 | Dover Corp. | 395,295 | |||||||||
6,471 | Ingersoll-Rand PLC (Ireland) | 231,273 | |||||||||
626,568 | |||||||||||
Media (4.7%) | |||||||||||
25,335 | Comcast Corp. (Class A) | 427,148 | |||||||||
6,644 | Time Warner Cable, Inc. | 274,995 | |||||||||
18,051 | Time Warner, Inc. | 526,006 | |||||||||
25,558 | Viacom, Inc. (Class B) (a) | 759,840 | |||||||||
1,987,989 | |||||||||||
Metals & Mining (1.0%) | |||||||||||
2,800 | Freeport-McMoRan Copper & Gold, Inc. (a) | 224,812 | |||||||||
4,250 | Newmont Mining Corp. | 201,067 | |||||||||
425,879 | |||||||||||
Oil, Gas & Consumable Fuels (8.2%) | |||||||||||
10,200 | Anadarko Petroleum Corp. | 636,684 | |||||||||
5,500 | BP PLC (ADR) (United Kingdom) | 318,835 | |||||||||
4,880 | ConocoPhillips | 249,222 | |||||||||
4,500 | Devon Energy Corp. | 330,750 | |||||||||
6,020 | Exxon Mobil Corp. | 410,504 | |||||||||
3,700 | Hess Corp. | 223,850 |
See Notes to Financial Statements
48
Balanced
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
8,610 | Occidental Petroleum Corp. | $ | 700,423 | ||||||||
9,840 | Royal Dutch Shell PLC (ADR) (United Kingdom) | 591,482 | |||||||||
3,461,750 | |||||||||||
Personal Products (0.7%) | |||||||||||
6,080 | Estee Lauder Cos., Inc. (The) (Class A) | 294,029 | |||||||||
Pharmaceuticals (5.8%) | |||||||||||
4,570 | Abbott Laboratories | 246,734 | |||||||||
6,160 | Bayer AG (ADR) (Germany) | 491,568 | |||||||||
21,390 | Bristol-Myers Squibb Co. | 540,098 | |||||||||
10,023 | Merck & Co., Inc. | 366,241 | |||||||||
24,800 | Pfizer, Inc. | 451,112 | |||||||||
8,360 | Roche Holding AG (ADR) (Switzerland) | 353,962 | |||||||||
2,449,715 | |||||||||||
Professional Services (0.8%) | |||||||||||
3,534 | Manpower, Inc. | 192,886 | |||||||||
5,500 | Robert Half International, Inc. | 147,015 | |||||||||
339,901 | |||||||||||
Semiconductors & Semiconductor Equipment (1.4%) | |||||||||||
16,619 | Intel Corp. | 339,028 | |||||||||
6,506 | Lam Research Corp. (a) | 255,100 | |||||||||
594,128 | |||||||||||
Software (0.2%) | |||||||||||
4,156 | Symantec Corp. (a) | 74,351 | |||||||||
Specialty Retail (1.7%) | |||||||||||
10,600 | Gap, Inc. (The) | 222,070 | |||||||||
17,882 | Home Depot, Inc. | 517,326 | |||||||||
739,396 | |||||||||||
Wireless Telecommunication Services (0.9%) | |||||||||||
17,200 | Vodafone Group PLC (ADR) (United Kingdom) | 397,148 | |||||||||
Total Common Stocks (Cost $27,817,446) | 28,776,137 |
See Notes to Financial Statements
49
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Corporate Bonds (10.7%) | |||||||||||||||||||
Aerospace/Defense (0.1%) | |||||||||||||||||||
$ | 30 | Systems 2001 Asset Trust (144A) (Cayman Islands) (b) | 6.664 | % | 09/15/13 | $ | 30,632 | ||||||||||||
Agricultural Chemicals (0.1%) | |||||||||||||||||||
10 | Potash Corp. of Saskatchewan, Inc. (Canada) | 4.875 | 03/30/20 | 9,886 | |||||||||||||||
5 | Potash Corp. of Saskatchewan, Inc. (Canada) | 5.875 | 12/01/36 | 4,939 | |||||||||||||||
15 | Potash Corp. of Saskatchewan, Inc. (Canada) | 6.50 | 05/15/19 | 16,643 | |||||||||||||||
31,468 | |||||||||||||||||||
Agricultural Operations (0.0%) | |||||||||||||||||||
10 | Bunge Ltd. Finance Corp. | 8.50 | 06/15/19 | 11,418 | |||||||||||||||
Auto - Cars/Light Trucks (0.1%) | |||||||||||||||||||
20 | Daimler Finance North America LLC | 7.30 | 01/15/12 | 21,753 | |||||||||||||||
Brewery (0.1%) | |||||||||||||||||||
25 | Anheuser - Busch InBev Worldwide, Inc. (144A) (b) | 7.20 | 01/15/14 | 28,379 | |||||||||||||||
30 | FBG Finance Ltd. (144A) (Australia) (b) | 5.125 | 06/15/15 | 31,089 | |||||||||||||||
59,468 | |||||||||||||||||||
Building Product - Cement/Aggregation (0.0%) | |||||||||||||||||||
15 | Holcim US Finance Sarl & Cie SCS (144A) (Luxembourg) (b) | 6.00 | 12/30/19 | 15,643 | |||||||||||||||
Building Societies (0.1%) | |||||||||||||||||||
35 | Nationwide Building Society (144A) (United Kingdom) (b) | 4.25 | 02/01/10 | 35,011 | |||||||||||||||
Cable/Satellite TV (0.4%) | |||||||||||||||||||
45 | Comcast Corp. | 5.70 | 05/15/18 | 47,385 | |||||||||||||||
30 | COX Communications, Inc. (144A) (b) | 8.375 | 03/01/39 | 37,472 | |||||||||||||||
25 | DIRECTV Holdings LLC/Financing Co., Inc. (144A) (b) | 5.875 | 10/01/19 | 25,474 | |||||||||||||||
10 | Time Warner Cable, Inc. | 6.75 | 07/01/18 | 11,003 | |||||||||||||||
5 | Time Warner Cable, Inc. | 6.75 | 06/15/39 | 5,254 | |||||||||||||||
10 | Time Warner Cable, Inc. | 8.25 | 04/01/19 | 11,931 | |||||||||||||||
15 | Time Warner Cable, Inc. | 8.75 | 02/14/19 | 18,312 | |||||||||||||||
156,831 | |||||||||||||||||||
Commercial Banks Non-U.S. (0.2%) | |||||||||||||||||||
25 | Barclays Bank PLC (United Kingdom) | 6.75 | 05/22/19 | 27,935 | |||||||||||||||
35 | Commonwealth Bank of Australia (144A) (Australia) (b) | 5.00 | 10/15/19 | 34,816 | |||||||||||||||
25 | Westpac Banking Corp. (Australia) | 4.20 | 02/27/15 | 25,441 | |||||||||||||||
88,192 |
See Notes to Financial Statements
50
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Commercial Banks - Eastern U.S. (0.1%) | |||||||||||||||||||
$ | 15 | Credit Suisse (Switzerland) | 6.00 | % | 02/15/18 | $ | 15,720 | ||||||||||||
25 | UBS AG/Stamford Branch (Switzerland) | 5.875 | 12/20/17 | 25,733 | |||||||||||||||
41,453 | |||||||||||||||||||
Commercial Banks - Southern U.S. (0.1%) | |||||||||||||||||||
21 | BB&T Corp. (MTN) | 6.85 | 04/30/19 | 23,595 | |||||||||||||||
Containers - Paper/Plastic (0.0%) | |||||||||||||||||||
10 | Sealed Air Corp. (144A) (b) | 7.875 | 06/15/17 | 10,667 | |||||||||||||||
Diversified Financial Services (1.6%) | |||||||||||||||||||
115 | Bank of America Corp. | 5.75 | 12/01/17 | 117,948 | |||||||||||||||
10 | Bank of America Corp. | 7.625 | 06/01/19 | 11,588 | |||||||||||||||
25 | Citigroup, Inc. (See Note 6) | 5.875 | 05/29/37 | 22,100 | |||||||||||||||
35 | Citigroup, Inc. (See Note 6) | 6.125 | 11/21/17 | 35,334 | |||||||||||||||
25 | Citigroup, Inc. (See Note 6) | 6.125 | 05/15/18 | 25,176 | |||||||||||||||
60 | Citigroup, Inc. (See Note 6) | 8.50 | 05/22/19 | 69,400 | |||||||||||||||
65 | General Electric Capital Corp. | 5.625 | 05/01/18 | 66,718 | |||||||||||||||
15 | General Electric Capital Corp. (MTN) | 5.875 | 01/14/38 | 13,934 | |||||||||||||||
50 | General Electric Capital Corp. (Series G) | 6.00 | 08/07/19 | 51,996 | |||||||||||||||
75 | Goldman Sachs Group, Inc. (The) | 6.15 | 04/01/18 | 80,418 | |||||||||||||||
20 | Goldman Sachs Group, Inc. (The) | 6.75 | 10/01/37 | 20,623 | |||||||||||||||
75 | Iberdrola Finance Ireland Ltd. (144A) (Ireland) (b) | 3.80 | 09/11/14 | 75,419 | |||||||||||||||
80 | JPMorgan Chase & Co. | 6.00 | 01/15/18 | 86,137 | |||||||||||||||
676,791 | |||||||||||||||||||
Diversified Manufactured Operation (0.3%) | |||||||||||||||||||
25 | Cooper US, Inc. | 5.25 | 11/15/12 | 26,845 | |||||||||||||||
90 | General Electric Co. | 5.25 | 12/06/17 | 92,116 | |||||||||||||||
118,961 | |||||||||||||||||||
Diversified Minerals (0.1%) | |||||||||||||||||||
15 | Rio Tinto Finance USA Ltd. (Australia) | 9.00 | 05/01/19 | 19,016 | |||||||||||||||
25 | Vale Overseas Ltd. (Cayman Islands) | 5.625 | 09/15/19 | 25,368 | |||||||||||||||
44,384 | |||||||||||||||||||
Electric - Integrated (1.1%) | |||||||||||||||||||
25 | Electricite de France (EDF) (144A) (France) (b) | 6.50 | 01/26/19 | 28,114 | |||||||||||||||
100 | Enel Finance International SA (144A) (Luxembourg) (b) | 5.125 | 10/07/19 | 100,809 | |||||||||||||||
50 | Exelon Generation Co. LLC | 5.20 | 10/01/19 | 50,117 | |||||||||||||||
60 | FirstEnergy Solutions Corp. | 6.05 | 08/15/21 | 60,654 | |||||||||||||||
25 | NiSource Finance Corp. | 6.80 | 01/15/19 | 26,781 | |||||||||||||||
50 | Ohio Power Co. (Series 1) | 5.375 | 10/01/21 | 50,242 |
See Notes to Financial Statements
51
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 20 | Ohio Power Co. (Series K) | 6.00 | % | 06/01/16 | $ | 21,232 | ||||||||||||
20 | PPL Energy Supply LLC | 6.30 | 07/15/13 | 21,554 | |||||||||||||||
10 | PPL Energy Supply LLC | 6.50 | 05/01/18 | 10,444 | |||||||||||||||
35 | Progress Energy, Inc. | 7.05 | 03/15/19 | 39,224 | |||||||||||||||
35 | Virginia Electric & Power Co. | 8.875 | 11/15/38 | 49,564 | |||||||||||||||
458,735 | |||||||||||||||||||
Electronic Component (0.1%) | |||||||||||||||||||
25 | Koninklijke Philips Electronics N.V. (Netherlands) | 5.75 | 03/11/18 | 26,645 | |||||||||||||||
Electronic Connectors (0.0%) | |||||||||||||||||||
15 | Amphenol Corp. | 4.75 | 11/15/14 | 15,021 | |||||||||||||||
Electronic Measuring Instrument (0.0%) | |||||||||||||||||||
15 | Agilent Technologies, Inc. | 5.50 | 09/14/15 | 15,742 | |||||||||||||||
Finance - Consumer Loans (0.2%) | |||||||||||||||||||
25 | HSBC Finance Corp. | 6.375 | 10/15/11 | 26,600 | |||||||||||||||
55 | HSBC Finance Corp. | 6.75 | 05/15/11 | 58,147 | |||||||||||||||
84,747 | |||||||||||||||||||
Finance - Credit Card (0.1%) | |||||||||||||||||||
20 | American Express Co. | 8.125 | 05/20/19 | 23,742 | |||||||||||||||
35 | American Express Credit Corp. (Series C) | 7.30 | 08/20/13 | 39,367 | |||||||||||||||
63,109 | |||||||||||||||||||
Finance - Investment Banker/Broker (0.3%) | |||||||||||||||||||
5 | Bear Stearns Cos. LLC (The) | 6.40 | 10/02/17 | 5,459 | |||||||||||||||
55 | Bear Stearns Cos. LLC (The) | 7.25 | 02/01/18 | 63,230 | |||||||||||||||
15 | Credit Suisse USA, Inc. | 5.125 | 08/15/15 | 15,968 | |||||||||||||||
40 | Merrill Lynch & Co., Inc. (MTN) | 6.875 | 04/25/18 | 43,166 | |||||||||||||||
127,823 | |||||||||||||||||||
Food - Miscellaneous/Diversified (0.2%) | |||||||||||||||||||
20 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 21,490 | |||||||||||||||
10 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 12,019 | |||||||||||||||
20 | Kraft Foods, Inc. | 6.875 | 01/26/39 | 21,068 | |||||||||||||||
30 | Kraft Foods, Inc. | 7.00 | 08/11/37 | 32,051 | |||||||||||||||
86,628 | |||||||||||||||||||
Food - Retail (0.1%) | |||||||||||||||||||
10 | Delhaize America, Inc. | 9.00 | 04/15/31 | 12,837 | |||||||||||||||
15 | Delhaize Group SA (Belgium) | 5.875 | 02/01/14 | 16,125 | |||||||||||||||
20 | Kroger Co. (The) | 3.90 | 10/01/15 | 20,135 | |||||||||||||||
5 | Kroger Co. (The) | 6.40 | 08/15/17 | 5,470 | |||||||||||||||
54,567 |
See Notes to Financial Statements
52
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Gold Mining (0.1%) | |||||||||||||||||||
$ | 35 | Newmont Mining Corp. | 5.125 | % | 10/01/19 | $ | 35,083 | ||||||||||||
Life/Health Insurance (0.2%) | |||||||||||||||||||
15 | Principal Financial Group, Inc. | 8.875 | 05/15/19 | 17,331 | |||||||||||||||
25 | Prudential Financial, Inc. (MTN) | 4.75 | 09/17/15 | 25,382 | |||||||||||||||
15 | Prudential Financial, Inc. (MTN) | 6.625 | 12/01/37 | 15,425 | |||||||||||||||
5 | Prudential Financial, Inc. (Series D) | 7.375 | 06/15/19 | 5,616 | |||||||||||||||
63,754 | |||||||||||||||||||
Media (0.3%) | |||||||||||||||||||
30 | News America, Inc. | 7.85 | 03/01/39 | 35,202 | |||||||||||||||
10 | Time Warner, Inc. | 5.875 | 11/15/16 | 10,811 | |||||||||||||||
20 | Time Warner, Inc. | 7.70 | 05/01/32 | 23,554 | |||||||||||||||
5 | Viacom, Inc. | 5.625 | 09/15/19 | 5,230 | |||||||||||||||
25 | Viacom, Inc. | 6.875 | 04/30/36 | 27,118 | |||||||||||||||
15 | Vivendi (144A) (France) (b) | 6.625 | 04/04/18 | 16,283 | |||||||||||||||
118,198 | |||||||||||||||||||
Medical Labs & Testing Services (0.2%) | |||||||||||||||||||
20 | Quest Diagnostics, Inc. | 4.75 | 01/30/20 | 19,581 | |||||||||||||||
40 | Roche Holdings, Inc. (144A) (b) | 6.00 | 03/01/19 | 44,032 | |||||||||||||||
63,613 | |||||||||||||||||||
Medical - Biomedical/Genetics (0.1%) | |||||||||||||||||||
20 | Biogen Idec, Inc. | 6.875 | 03/01/18 | 21,561 | |||||||||||||||
Medical - Drugs (0.0%) | |||||||||||||||||||
5 | Wyeth | 5.45 | 04/01/17 | 5,337 | |||||||||||||||
10 | Wyeth | 6.45 | 02/01/24 | 11,167 | |||||||||||||||
16,504 | |||||||||||||||||||
Medical - HMO (0.1%) | |||||||||||||||||||
25 | UnitedHealth Group, Inc. | 6.00 | 02/15/18 | 25,865 | |||||||||||||||
5 | WellPoint, Inc. | 7.00 | 02/15/19 | 5,602 | |||||||||||||||
31,467 | |||||||||||||||||||
Medical - Wholesale Drug Distribution (0.0%) | |||||||||||||||||||
15 | AmerisourceBergen Corp. | 4.875 | 11/15/19 | 14,837 | |||||||||||||||
Metal - Copper (0.0%) | |||||||||||||||||||
5 | Freeport-McMoRan Copper & Gold, Inc. | 8.375 | 04/01/17 | 5,483 | |||||||||||||||
Mortgage Banks (0.2%) | |||||||||||||||||||
100 | Abbey National Treasury Services PLC (144A) (United Kingdom) (b) | 3.875 | 11/10/14 | 100,466 |
See Notes to Financial Statements
53
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Multi-line Insurance (0.2%) | |||||||||||||||||||
$ | 15 | Allstate Corp. (The) | 7.45 | % | 05/16/19 | $ | 17,458 | ||||||||||||
20 | MetLife, Inc. (Series A) | 6.817 | 08/15/18 | 22,312 | |||||||||||||||
25 | MetLife, Inc. | 6.75 | 06/01/16 | 28,033 | |||||||||||||||
10 | MetLife, Inc. | 7.717 | 02/15/19 | 11,771 | |||||||||||||||
79,574 | |||||||||||||||||||
Networking Products (0.1%) | |||||||||||||||||||
25 | Cisco Systems, Inc. | 4.95 | 02/15/19 | 25,672 | |||||||||||||||
5 | Cisco Systems, Inc. | 5.90 | 02/15/39 | 5,073 | |||||||||||||||
30,745 | |||||||||||||||||||
Non-Hazardous Waste Disposal (0.1%) | |||||||||||||||||||
25 | Republic Services, Inc. (144A) (b) | 5.50 | 09/15/19 | 25,434 | |||||||||||||||
25 | Waste Management, Inc. | 6.125 | 11/30/39 | 24,929 | |||||||||||||||
50,363 | |||||||||||||||||||
Office Automation & Equipment (0.0%) | |||||||||||||||||||
5 | Xerox Corp. | 5.625 | 12/15/19 | 5,003 | |||||||||||||||
10 | Xerox Corp. | 6.35 | 05/15/18 | 10,448 | |||||||||||||||
15,451 | |||||||||||||||||||
Oil & Gas Drilling (0.1%) | |||||||||||||||||||
20 | Transocean, Inc. (Cayman Islands) | 6.00 | 03/15/18 | 21,373 | |||||||||||||||
Oil Companies - Exploration & Production (0.1%) | |||||||||||||||||||
25 | Questar Market Resources, Inc. | 6.80 | 04/01/18 | 26,094 | |||||||||||||||
35 | XTO Energy, Inc. | 5.50 | 06/15/18 | 37,396 | |||||||||||||||
63,490 | |||||||||||||||||||
Oil Company - Integrated (0.1%) | |||||||||||||||||||
25 | Hess Corp. | 6.00 | 01/15/40 | 24,841 | |||||||||||||||
20 | Petrobras International Finance Co. (Cayman Islands) | 5.75 | 01/20/20 | 20,446 | |||||||||||||||
45,287 | |||||||||||||||||||
Oil - Field Services (0.1%) | |||||||||||||||||||
50 | Weatherford International Ltd. (Switzerland) | 9.625 | 03/01/19 | 62,435 | |||||||||||||||
Pharmacy Services (0.1%) | |||||||||||||||||||
30 | Medco Health Solutions, Inc. | 7.125 | 03/15/18 | 33,777 | |||||||||||||||
Pipelines (0.5%) | |||||||||||||||||||
20 | CenterPoint Energy Resources Corp. | 6.25 | 02/01/37 | 19,450 | |||||||||||||||
10 | CenterPoint Energy Resources Corp. (Series B) | 7.875 | 04/01/13 | 11,272 | |||||||||||||||
25 | Energy Transfer Partners LP | 8.50 | 04/15/14 | 28,884 |
See Notes to Financial Statements
54
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 15 | Enterprise Products Operating LLC | 5.25 | % | 01/31/20 | $ | 14,867 | ||||||||||||
25 | Enterprise Products Operating LLC (Series N) | 6.50 | 01/31/19 | 27,015 | |||||||||||||||
45 | Kinder Morgan Energy Partners LP | 5.95 | 02/15/18 | 47,741 | |||||||||||||||
20 | Plains All American Pipeline LP/PAA Finance Corp. | 6.70 | 05/15/36 | 20,461 | |||||||||||||||
20 | Plains All American Pipeline LP/PAA Finance Corp. | 8.75 | 05/01/19 | 23,621 | |||||||||||||||
20 | Texas Eastern Transmission LP | 7.00 | 07/15/32 | 22,546 | |||||||||||||||
215,857 | |||||||||||||||||||
Property Trust (0.1%) | |||||||||||||||||||
25 | WEA Finance LLC/WT Finance Aust Pty Ltd. (144A) (b) | 6.75 | 09/02/19 | 26,892 | |||||||||||||||
Property/Casualty Insurance (0.1%) | |||||||||||||||||||
20 | ACE INA Holdings, Inc. | 5.60 | 05/15/15 | 21,487 | |||||||||||||||
Real Estate Operation/Development (0.0%) | |||||||||||||||||||
10 | Brookfield Asset Management, Inc. (Canada) | 5.80 | 04/25/17 | 9,125 | |||||||||||||||
10 | Brookfield Asset Management, Inc. (Canada) | 7.125 | 06/15/12 | 10,504 | |||||||||||||||
19,629 | |||||||||||||||||||
Reinsurance (0.1%) | |||||||||||||||||||
30 | Platinum Underwriters Finance, Inc. (Series B) | 7.50 | 06/01/17 | 30,725 | |||||||||||||||
25 | Reinsurance Group of America, Inc. | 6.45 | 11/15/19 | 24,963 | |||||||||||||||
55,688 | |||||||||||||||||||
REITS - Apartments (0.1%) | |||||||||||||||||||
25 | AvalonBay Communities, Inc. (MTN) | 6.10 | 03/15/20 | 25,577 | |||||||||||||||
REITS - Office Property (0.1%) | |||||||||||||||||||
25 | Boston Properties LP | 5.875 | 10/15/19 | 25,125 | |||||||||||||||
REITS - Regional Malls (0.0%) | |||||||||||||||||||
15 | Simon Property Group LP | 6.75 | 05/15/14 | 16,000 | |||||||||||||||
Retail - Building Products (0.1%) | |||||||||||||||||||
25 | Home Depot, Inc. (The) | 5.875 | 12/16/36 | 24,211 | |||||||||||||||
Retail - Drug Store (0.1%) | |||||||||||||||||||
42 | CVS Pass-Through Trust | 6.036 | 12/10/28 | 39,631 | |||||||||||||||
Retail - Regional Department Store (0.1%) | |||||||||||||||||||
25 | Kohl's Corp. | 6.875 | 12/15/37 | 28,448 | |||||||||||||||
Retail - Restaurants (0.1%) | |||||||||||||||||||
20 | Yum! Brands, Inc. | 5.30 | 09/15/19 | 20,126 | |||||||||||||||
10 | Yum! Brands, Inc. | 6.25 | 03/15/18 | 10,926 | |||||||||||||||
31,052 |
See Notes to Financial Statements
55
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Semiconductor Equipment (0.0%) | |||||||||||||||||||
$ | 15 | KLA-Tencor Corp. | 6.90 | % | 05/01/18 | $ | 15,807 | ||||||||||||
Special Purpose Entity (0.1%) | |||||||||||||||||||
20 | Harley-Davidson Funding Corp. (144A) (b) | 6.80 | 06/15/18 | 19,976 | |||||||||||||||
35 | Xlliac Global Funding (144A) (b) | 4.80 | 08/10/10 | 35,208 | |||||||||||||||
55,184 | |||||||||||||||||||
Steel - Producers (0.2%) | |||||||||||||||||||
56 | ArcelorMittal (Luxembourg) | 9.85 | 06/01/19 | 72,549 | |||||||||||||||
Super - Regional Banks-U.S. (0.4%) | |||||||||||||||||||
50 | Capital One Financial Corp. | 6.75 | 09/15/17 | 53,885 | |||||||||||||||
20 | PNC Funding Corp. | 6.70 | 06/10/19 | 22,419 | |||||||||||||||
105 | Wells Fargo & Co. | 5.625 | 12/11/17 | 109,391 | |||||||||||||||
185,695 | |||||||||||||||||||
Telecom Equipment Fiber Optics (0.0%) | |||||||||||||||||||
5 | Corning, Inc. | 6.625 | 05/15/19 | 5,458 | |||||||||||||||
Telephone - Integrated (0.7%) | |||||||||||||||||||
20 | AT&T Corp. | 8.00 | (d) | 11/15/31 | 24,480 | ||||||||||||||
15 | AT&T, Inc. | 6.15 | 09/15/34 | 14,874 | |||||||||||||||
50 | AT&T, Inc. | 6.30 | 01/15/38 | 50,955 | |||||||||||||||
5 | AT&T, Inc. | 6.55 | 02/15/39 | 5,286 | |||||||||||||||
20 | Deutsche Telekom International Finance BV (Netherlands) | 8.75 | (d) | 06/15/30 | 25,791 | ||||||||||||||
35 | Telecom Italia Capital SA (Luxembourg) | 6.999 | 06/04/18 | 38,572 | |||||||||||||||
20 | Telecom Italia Capital SA (Luxembourg) | 7.175 | 06/18/19 | 22,336 | |||||||||||||||
40 | Telefonica Europe BV (Netherlands) | 8.25 | 09/15/30 | 49,938 | |||||||||||||||
25 | Verizon Communications, Inc. | 5.50 | 02/15/18 | 26,132 | |||||||||||||||
25 | Verizon Communications, Inc. | 6.35 | 04/01/19 | 27,630 | |||||||||||||||
20 | Verizon Communications, Inc. | 8.95 | 03/01/39 | 27,146 | |||||||||||||||
313,140 | |||||||||||||||||||
Tobacco (0.2%) | |||||||||||||||||||
20 | Altria Group, Inc. | 9.25 | 08/06/19 | 24,413 | |||||||||||||||
15 | BAT International Finance PLC (144A) (United Kingdom) (b) | 9.50 | 11/15/18 | 19,079 | |||||||||||||||
25 | Philip Morris International, Inc. | 5.65 | 05/16/18 | 26,333 | |||||||||||||||
69,825 | |||||||||||||||||||
Transport - Rail (0.2%) | |||||||||||||||||||
15 | CSX Corp. | 7.375 | 02/01/19 | 17,165 | |||||||||||||||
20 | Norfolk Southern Corp. | 5.75 | 01/15/16 | 21,304 |
See Notes to Financial Statements
56
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 5 | Union Pacific Corp. | 6.125 | % | 02/15/20 | $ | 5,423 | ||||||||||||
30 | Union Pacific Corp. | 7.875 | 01/15/19 | 36,361 | |||||||||||||||
80,253 | |||||||||||||||||||
Total Corporate Bonds (Cost $4,283,072) | 4,500,253 | ||||||||||||||||||
Foreign Government Obligations (0.4%) | |||||||||||||||||||
100 | Federative Republic of Brazil (Brazil) | 6.00 | 01/17/17 | 108,500 | |||||||||||||||
30 | Italian Republic (Italy) | 6.875 | 09/27/23 | 34,034 | |||||||||||||||
10 | Republic of Peru (Peru) | 7.125 | 03/30/19 | 11,550 | |||||||||||||||
Total Foreign Government Obligations (Cost $145,566) | 154,084 | ||||||||||||||||||
U.S. Government Agencies and Obligations (16.2%) | |||||||||||||||||||
Commercial Banks-Central U.S. - FDIC Guaranteed (0.1%) | |||||||||||||||||||
50 | KeyBank NA | 3.20 | 06/15/12 | 51,930 | |||||||||||||||
Diversified Financial Service - FDIC Guaranteed (2.2%) | |||||||||||||||||||
360 | Citigroup Funding, Inc. (See Note 6) | 2.25 | 12/10/12 | 363,082 | |||||||||||||||
180 | General Electric Capital Corp. | 2.20 | 06/08/12 | 182,632 | |||||||||||||||
300 | General Electric Capital Corp. (Series G) | 2.625 | 12/28/12 | 305,742 | |||||||||||||||
50 | GMAC, Inc. | 2.20 | 12/19/12 | 50,332 | |||||||||||||||
901,788 | |||||||||||||||||||
U.S. Government Agencies (1.4%) | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||
120 | 3.00 | 07/28/14 | 121,750 | ||||||||||||||||
140 | 5.50 | 08/23/17 | 156,501 | ||||||||||||||||
100 | 6.75 | 03/15/31 | 122,150 | ||||||||||||||||
Federal National Mortgage Assoc. | |||||||||||||||||||
180 | 4.375 | 10/15/15 | 191,737 | ||||||||||||||||
592,138 | |||||||||||||||||||
U.S. Government Obligations (12.5%) | |||||||||||||||||||
U.S. Treasury Bonds | |||||||||||||||||||
350 | 3.50 | 02/15/39 | 286,782 | ||||||||||||||||
70 | 4.25 | 05/15/39 | 65,691 | ||||||||||||||||
540 | 5.25 | 02/15/29 | 585,226 | ||||||||||||||||
U.S. Treasury Notes | |||||||||||||||||||
385 | 0.75 | 11/30/11 | 382,609 | ||||||||||||||||
150 | 0.875 | 03/31/11 | 150,322 |
See Notes to Financial Statements
57
Balanced
Portfolio of Investments n December 31, 2009 continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 1,700 | 1.375 | % | 09/15/12 | $ | 1,692,564 | |||||||||||||
500 | 1.50 | 12/31/13 | 486,992 | ||||||||||||||||
1,370 | 2.375 | 10/31/14 | 1,355,551 | ||||||||||||||||
100 | 2.625 | 07/31/14 | 100,531 | ||||||||||||||||
50 | 2.75 | 02/15/19 | 46,047 | ||||||||||||||||
120 | 3.375 | 11/15/19 | 115,463 | ||||||||||||||||
5,267,778 | |||||||||||||||||||
Total U.S. Government Agencies and Obligations (Cost $6,921,854) | 6,813,634 |
NUMBER OF SHARES | |||||||||||
Convertible Preferred Stock (0.2%) | |||||||||||
Diversified Financial Services | |||||||||||
7,000 | Bank of America Corp. $1.50 (Cost $105,000) | 105,140 |
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||||||||||
Short-Term Investments (4.1%) | |||||||||||||||||||
U.S. Government Obligation (c)(e) (0.2%) | |||||||||||||||||||
$ | 100 | U.S. Treasury Bill (Cost $99,947) | 0.152 | 05/06/10 | 99,948 |
NUMBER OF SHARES (000) | |||||||||||
Investment Company (3.9%) | |||||||||||
1,633 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $1,632,918) | 1,632,918 |
Total Short-Term Investments (Cost $1,732,865) | 1,732,866 | ||||||||||||||
Total Investments (Cost $41,005,803) (f)(g) | 99.8 | % | 42,082,114 | ||||||||||||
Other Assets in Excess of Liabilities | 0.2 | 88,086 | |||||||||||||
Net Assets | 100.0 | % | $ | 42,170,200 |
ADR American Depositary Receipt.
FDIC Federal Deposit Insurance Corporation.
MTN Medium Term Note.
See Notes to Financial Statements
58
Balanced
Portfolio of Investments n December 31, 2009 continued
(a) Non-income producing security.
(b) Resale is restricted to qualified institutional investors.
(c) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.
(d) Floating rate security. Rate shown is the rate in effect at December 31, 2009.
(e) A portion of this security has been physically segregated in connection with open futures contracts.
(f) Securities have been designated as collateral in connection with open futures and swap contracts.
(g) The aggregate cost for federal income tax purposes is $41,088,882. The aggregate gross unrealized appreciation is $3,416,236 and the aggregate gross unrealized depreciation is $2,423,004 resulting in net unrealized appreciation of $993,232.
FUTURES CONTRACTS OPEN AT DECEMBER 31, 2009:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
8 | Long | U.S. Treasury Notes 5 Year, March 2010 | $ | 915,063 | $ | (18,225 | ) | ||||||||||||
2 | Short | U.S. Treasury Notes 10 Year, March 2010 | (230,906 | ) | 7,207 | ||||||||||||||
5 | Short | U.S. Treasury Bonds 30 Year, March 2010 | (576,875 | ) | 24,125 | ||||||||||||||
8 | Short | U.S. Treasury Notes 2 Year, March 2010 | (1,730,125 | ) | 8,691 | ||||||||||||||
Net Unrealized Appreciation | $ | 21,798 |
CREDIT DEFAULT SWAPS CONTRACTS OPEN AT DECEMBER 31, 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 | $ | 38 | — | $ | 38 | BB+ |
+ Credit rating as issued by Standard & Poors.
See Notes to Financial Statements
59
Balanced
Summary of Investments n December 31, 2009
TYPE OF INVESTMENT | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Common Stocks | $ | 28,776,137 | 68.4 | % | |||||||
U.S. Government Agencies and Obligations | 6,913,582 | 16.4 | |||||||||
Corporate Bonds | 4,500,253 | 10.7 | |||||||||
Investment Company | 1,632,918 | 3.9 | |||||||||
Foreign Government Obligations | 154,084 | 0.4 | |||||||||
Convertible Preferred Stock | 105,140 | 0.2 | |||||||||
$ | 42,082,114++ | 100.0 | % |
++ Does not include open long/short futures contracts with an underlying face amount of $3,452,969 and unrealized appreciation of $21,798. Also does not include open swaps contracts with an unrealized appreciation of $38.
See Notes to Financial Statements
60
Global Infrastructure
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.3%) Australia (a)(5.8%) | |||||||||||
Electric Utilities | |||||||||||
64,231 | Spark Infrastructure Group (b) | $ | 79,414 | ||||||||
Transportation Infrastructure | |||||||||||
145,604 | Australian Infrastructure Fund (Stapled Securities) (c)(d) | 231,074 | |||||||||
276,600 | ConnectEast Group (Stapled Securities) (d) | 107,200 | |||||||||
239,560 | Macquarie Airports (Stapled Securities) (d) | 646,848 | |||||||||
196,343 | Transurban Group (Stapled Securities) (c)(d) | 972,634 | |||||||||
1,957,756 | |||||||||||
Total Australia | 2,037,170 | ||||||||||
Austria (a)(0.8%) | |||||||||||
Construction & Engineering | |||||||||||
9,797 | Strabag SE | 288,825 | |||||||||
Belgium (a)(0.1%) | |||||||||||
Construction & Engineering | |||||||||||
900 | Compagnie d'Entreprises CFE | 45,518 | |||||||||
Oil, Gas & Consumable Fuels | |||||||||||
17 | Euronav NV | 370 | |||||||||
Total Belgium | 45,888 | ||||||||||
Bermuda (a)(0.3%) | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
4,300 | Frontline Ltd. (e) | 119,653 | |||||||||
Brazil (0.4%) | |||||||||||
Electric Utilities | |||||||||||
50 | Cia Energetica de Minas Gerais (ADR) | 903 | |||||||||
Transportation Infrastructure | |||||||||||
7,800 | Obrascon Huarte Lain Brasil SA (a) | 150,025 | |||||||||
Total Brazil | 150,928 |
NUMBER OF SHARES | VALUE | ||||||||||
Canada (7.6%) | |||||||||||
Diversified Telecommunication Services | |||||||||||
3,500 | BCE, Inc. | $ | 97,050 | ||||||||
Multi-Utilities | |||||||||||
2,100 | Atco Ltd. | 92,707 | |||||||||
2,500 | Canadian Utilities Ltd. | 104,580 | |||||||||
7,300 | Just Energy Income Fund (Units) (c) | 100,651 | |||||||||
297,938 | |||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
30,000 | Enbridge, Inc. | 1,394,942 | |||||||||
25,200 | TransCanada Corp. | 872,006 | |||||||||
2,266,948 | |||||||||||
Total Canada | 2,661,936 | ||||||||||
Chile (0.9%) | |||||||||||
Electric Utilities | |||||||||||
6,100 | Enersis SA (ADR) | 139,446 | |||||||||
Independent Power Producers & Energy Traders | |||||||||||
109,022 | Empresa Nacional de Electricidad SA (a) | 182,192 | |||||||||
Total Chile | 321,638 | ||||||||||
China (a)(4.4%) | |||||||||||
Machinery | |||||||||||
229,000 | China National Materials Co., Ltd. (H Shares) (f) | 169,031 | |||||||||
Transportation Infrastructure | |||||||||||
128,000 | Beijing Capital International Airport Co., Ltd. (H Shares) (f)(g) | 84,140 | |||||||||
190,000 | Jiangsu Expressway Co., Ltd. (H Shares) (f) | 168,302 | |||||||||
1,208,000 | Zhejiang Expressway Co., Ltd. (H Shares) (f) | 1,110,353 | |||||||||
1,362,795 | |||||||||||
Total China | 1,531,826 |
See Notes to Financial Statements
61
Global Infrastructure
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Czech Republic (a)(0.4%) | |||||||||||
Electric Utilities | |||||||||||
2,846 | CEZ | $ | 133,508 | ||||||||
France (a)(7.7%) | |||||||||||
Construction & Engineering | |||||||||||
1,857 | Bouygues SA | 96,845 | |||||||||
Electric Utilities | |||||||||||
6,697 | EDF SA | 398,507 | |||||||||
Multi-Utilities | |||||||||||
35,056 | GDF Suez | 1,520,859 | |||||||||
Transportation Infrastructure | |||||||||||
8,000 | Aeroports de Paris (ADP) | 643,496 | |||||||||
849 | Societe Des Autoroutes Paris-Rhin-Rhone (g) | 65,033 | |||||||||
708,529 | |||||||||||
Total France | 2,724,740 | ||||||||||
Germany (a)(7.9%) | |||||||||||
Electric Utilities | |||||||||||
27,261 | E.ON AG | 1,138,082 | |||||||||
Multi-Utilities | |||||||||||
13,622 | RWE AG | 1,323,751 | |||||||||
Transportation Infrastructure | |||||||||||
6,021 | Fraport AG Frankfurt Airport Services Worldwide | 313,176 | |||||||||
Total Germany | 2,775,009 | ||||||||||
Italy (a)(8.3%) | |||||||||||
Transportation Infrastructure | |||||||||||
40,800 | Ansaldo STS SpA | 774,169 | |||||||||
75,551 | Atlantia SpA | 1,963,880 | |||||||||
236,800 | Gemina SpA (g) | 191,985 | |||||||||
Total Italy | 2,930,034 | ||||||||||
Japan (a)(7.0%) | |||||||||||
Diversified Telecommunication Services | |||||||||||
5,300 | Nippon Telegraph & Telephone Corp. | 208,476 |
NUMBER OF SHARES | VALUE | ||||||||||
Gas Utilities | |||||||||||
40,000 | Osaka Gas Co., Ltd. | $ | 134,765 | ||||||||
74,000 | Toho Gas Co., Ltd. | 392,460 | |||||||||
527,225 | |||||||||||
Metals & Mining | |||||||||||
275,000 | Kobe Steel Ltd. (g) | 498,080 | |||||||||
Transportation Infrastructure | |||||||||||
110,000 | Kamigumi Co., Ltd. (g) | 799,298 | |||||||||
Wireless Telecommunication Services | |||||||||||
50 | KDDI Corp. | 263,669 | |||||||||
122 | NTT DoCoMo, Inc. | 169,948 | |||||||||
433,617 | |||||||||||
Total Japan | 2,466,696 | ||||||||||
Malaysia (a)(0.9%) | |||||||||||
Electric Utilities | |||||||||||
37,900 | Tenaga Nasional Berhad | 92,773 | |||||||||
Transportation Infrastructure | |||||||||||
247,600 | PLUS Expressways Berhad | 235,680 | |||||||||
Total Malaysia | 328,453 | ||||||||||
Mexico (0.3%) | |||||||||||
Transportation Infrastructure | |||||||||||
36,000 | Grupo Aeroportuario del Pacifico SAB de CV (Class B) | 112,304 | |||||||||
Netherlands (a)(4.0%) | |||||||||||
Transportation Infrastructure | |||||||||||
13,840 | Koninklijke Vopak NV (g) | 1,093,438 | |||||||||
3,800 | Smit Internationale NV | 327,122 | |||||||||
Total Netherlands | 1,420,560 | ||||||||||
Portugal (a)(0.9%) | |||||||||||
Electric Utilities | |||||||||||
34,354 | EDP - Energias de Portugal SA | 152,050 |
See Notes to Financial Statements
62
Global Infrastructure
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Transportation Infrastructure | |||||||||||
17,151 | Brisa Auto-Estradas de Portugal SA | $ | 175,248 | ||||||||
Total Portugal | 327,298 | ||||||||||
Singapore (a)(0.9%) | |||||||||||
Transportation Infrastructure | |||||||||||
166,000 | Singapore Airport Terminal Services Ltd. | 322,231 | |||||||||
South Africa (a)(1.6%) | |||||||||||
Diversified Telecommunication Services | |||||||||||
72,690 | Telkom South Africa Ltd. | 366,479 | |||||||||
Wireless Telecommunication Services | |||||||||||
12,735 | MTN Group Ltd. | 202,606 | |||||||||
Total South Africa | 569,085 | ||||||||||
Spain (a)(7.9%) | |||||||||||
Electric Utilities | |||||||||||
4,983 | Acciona SA | 647,199 | |||||||||
14,334 | Iberdrola SA | 136,554 | |||||||||
783,753 | |||||||||||
Transportation Infrastructure | |||||||||||
67,043 | Abertis Infraestructuras SA | 1,512,836 | |||||||||
41,281 | Cintra Concesiones de Infraestructuras de Transporte SA | 482,095 | |||||||||
1,994,931 | |||||||||||
Total Spain | 2,778,684 | ||||||||||
Turkey (a)(1.7%) | |||||||||||
Gas Utilities | |||||||||||
159,616 | Aygaz | 599,991 | |||||||||
United Kingdom (a)(7.3%) | |||||||||||
Diversified Telecommunication Services | |||||||||||
224,317 | BT Group PLC | 485,695 |
NUMBER OF SHARES | VALUE | ||||||||||
Independent Power Producers & Energy Traders | |||||||||||
45,194 | Drax Group PLC | $ | 302,535 | ||||||||
Multi-Utilities | |||||||||||
251,469 | Centrica PLC | 1,135,716 | |||||||||
36,130 | National Grid PLC | 394,939 | |||||||||
1,530,655 | |||||||||||
Transportation Infrastructure | |||||||||||
96,902 | BBA Aviation PLC | 255,247 | |||||||||
Total United Kingdom | 2,574,132 | ||||||||||
United States (22.2%) | |||||||||||
Communications Equipment | |||||||||||
9,000 | Comverse Technology, Inc. (g) | 85,050 | |||||||||
Construction & Engineering | |||||||||||
7,500 | EMCOR Group, Inc. (g) | 201,750 | |||||||||
13,600 | KBR, Inc. | 258,400 | |||||||||
460,150 | |||||||||||
Electric Utilities | |||||||||||
3,400 | Entergy Corp. | 278,256 | |||||||||
2,000 | FirstEnergy Corp. | 92,900 | |||||||||
3,100 | FPL Group, Inc. | 163,742 | |||||||||
534,898 | |||||||||||
Gas Utilities | |||||||||||
3,600 | Atmos Energy Corp. | 105,840 | |||||||||
11,200 | Nicor, Inc. | 471,520 | |||||||||
5,700 | Southwest Gas Corp. | 162,621 | |||||||||
18,700 | UGI Corp. | 452,353 | |||||||||
1,192,334 | |||||||||||
Independent Power Producers & Energy Traders | |||||||||||
10,300 | Constellation Energy Group, Inc. | 362,251 | |||||||||
Multi-Utilities | |||||||||||
7,700 | DTE Energy Co. | 335,643 | |||||||||
16,900 | Public Service Enterprise Group, Inc. | 561,925 | |||||||||
897,568 |
See Notes to Financial Statements
63
Global Infrastructure
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Oil, Gas & Consumable Fuels | |||||||||||
70,000 | El Paso Corp. | $ | 688,100 | ||||||||
43,600 | Southern Union Co. | 989,720 | |||||||||
47,655 | Spectra Energy Corp. | 977,404 | |||||||||
78,600 | Williams Cos., Inc. (The) | 1,656,888 | |||||||||
4,312,112 | |||||||||||
Total United States | 7,844,363 | ||||||||||
Total Common Stocks (Cost $30,454,641) | 35,064,952 | ||||||||||
Preferred Stock (0.5%) Brazil (a) | |||||||||||
Electric Utilities | |||||||||||
8,700 | Eletropaulo Metropolitana Eletricidade de Sao Paulo SA (Cost $121,043) | 169,714 | |||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (0.1%) | |||||||||||
Investment Company | |||||||||||
30 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $30,064) | 30,064 | |||||||||
Total Investments (Cost $30,605,748) (g)(h) | 99.9 | % | 35,264,730 | ||||||||
Total Written Options Outstanding (premium received $12,220) | (0.0 | ) | (21,877 | ) | |||||||
Other Assets in Excess of Liabilities | 0.1 | 42,593 | |||||||||
Net Assets | 100.0 | % | $ | 35,285,446 |
ADR American Depositary Receipt.
(a) Securities with a total market value equal to $24,475,714 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 2.
(b) Non-income producing security.
(c) Consists of one or more class of securities traded together as a unit; stocks with attached warrants.
(d) Comprised of securities in separate entities that are traded as a single stapled security.
(e) Security trades on the Norwegian exchange.
(f) Security trades on the Hong Kong exchange.
(g) Securities have been designated as collateral in connection with open option and forward foreign currency contracts.
(h) The aggregate cost for federal income tax purposes is $31,280,168. The aggregate gross unrealized appreciation is $4,258,969 and the aggregate gross unrealized depreciation is $274,407 resulting in net unrealized appreciation of $3,984,562.
See Notes to Financial Statements
64
Global Infrastructure
Portfolio of Investments n December 31, 2009 continued
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 2009:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
$ | 815,402 | AUD | 895,033 | 01/14/10 | $ | (12,586 | ) | ||||||||
$ | 977,960 | CAD | 1,036,637 | 01/14/10 | 13,234 | ||||||||||
$ | 295,457 | HKD | 2,289,201 | 01/14/10 | (176 | ) | |||||||||
$ | 259,414 | HKD | 2,010,667 | 01/14/10 | (60 | ) | |||||||||
$ | 67,515 | NOK | 392,328 | 01/14/10 | 205 | ||||||||||
$ | 148,473 | NZD | 205,897 | 01/14/10 | 868 | ||||||||||
$ | 186,415 | SGD | 260,105 | 01/14/10 | (1,296 | ) | |||||||||
BRL | 579,231 | $ | 330,989 | 01/14/10 | (684 | ) | |||||||||
EUR | 182,503 | $ | 269,188 | 01/14/10 | 7,564 | ||||||||||
EUR | 174,936 | $ | 254,781 | 01/14/10 | 4,005 | ||||||||||
GBP | 367,521 | $ | 597,662 | 01/14/10 | 4,090 | ||||||||||
JPY | 45,588,004 | $ | 508,341 | 01/14/10 | 18,822 | ||||||||||
MXN | 1,211,238 | $ | 94,917 | 01/14/10 | 2,467 | ||||||||||
MYR | 1,672,751 | $ | 490,543 | 01/14/10 | 2,313 | ||||||||||
TRY | 993,707 | $ | 655,480 | 01/14/10 | (8,695 | ) | |||||||||
ZAR | 5,064,229 | $ | 677,489 | 01/14/10 | (6,854 | ) | |||||||||
Net Unrealized Appreciation | $ | 23,217 |
Currency Abbreviations:
AUD Australian Dollar.
BRL Brazilian Real.
CAD Canadian Dollar.
EUR Euro.
GBP British Pound.
HKD Hong Kong Dollar.
JPY Japanese Yen.
MXN Mexican New Peso.
MYR Malaysian Ringgit.
NOK Norwegian Krone.
NZD New Zealand Dollar.
SGD Singapore Dollar.
TRY Turkish Lira.
ZAR South African Rand.
See Notes to Financial Statements
65
Global Infrastructure
Portfolio of Investments n December 31, 2009 continued
OPTIONS WRITTEN AT DECEMBER 31, 2009:
NUMBER OF CONTRACTS | DESCRIPTION | STRIKE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
62 | E.ON AG | $ | 29.00 | January 2010 | $ | 2,822 | $ | 5,871 | |||||||||||||||
48 | EDF SA | 42.00 | January 2010 | 2,909 | 3,099 | ||||||||||||||||||
48 | Fraport AG Frankfurt Airport Services Worldwide | 38.00 | January 2010 | 2,185 | 1,309 | ||||||||||||||||||
86 | RWE AG | 68.00 | January 2010 | 4,304 | 11,598 | ||||||||||||||||||
Total | $12,220 | $21,877 |
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Transportation Infrastructure | $ | 12,737,814 | 36.1 | % | |||||||
Oil, Gas & Consumable Fuels | 6,699,083 | 19.0 | |||||||||
Multi-Utilities | 5,570,771 | 15.8 | |||||||||
Electric Utilities | 3,623,048 | 10.3 | |||||||||
Gas Utilities | 2,319,550 | 6.6 | |||||||||
Diversified Telecommunication Services | 1,157,700 | 3.3 | |||||||||
Construction & Engineering | 891,338 | 2.5 | |||||||||
Independent Power Producers & Energy Traders | 846,978 | 2.4 | |||||||||
Wireless Telecommunication Services | 636,223 | 1.8 | |||||||||
Metals & Mining | 498,080 | 1.4 | |||||||||
Machinery | 169,031 | 0.5 | |||||||||
Communications Equipment | 85,050 | 0.2 | |||||||||
Investment Company | 30,064 | 0.1 | |||||||||
$ | 35,264,730 | ^ | 100.0 | % |
^ Does not include open forward foreign currency contracts with net unrealized appreciation of $23,217 and options written with a value of $21,877.
See Notes to Financial Statements
66
Dividend Growth
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.2%) | |||||||||||
Aerospace & Defense (5.2%) | |||||||||||
17,070 | Boeing Co. (The) | $ | 923,999 | ||||||||
10,820 | L-3 Communications Holdings, Inc. | 940,799 | |||||||||
25,100 | Raytheon Co. | 1,293,152 | |||||||||
29,069 | United Technologies Corp. | 2,017,679 | |||||||||
5,175,629 | |||||||||||
Biotechnology (1.2%) | |||||||||||
21,440 | Amgen, Inc. (a) | 1,212,861 | |||||||||
Capital Markets (2.1%) | |||||||||||
12,113 | Goldman Sachs Group, Inc. (The) | 2,045,159 | |||||||||
Chemicals (1.4%) | |||||||||||
18,670 | Lubrizol Corp. (The) | 1,361,976 | |||||||||
Commercial Banks (2.1%) | |||||||||||
77,640 | Wells Fargo & Co. | 2,095,504 | |||||||||
Commercial Services & Supplies (1.0%) | |||||||||||
41,400 | Pitney Bowes, Inc. | 942,264 | |||||||||
Computers & Peripherals (7.4%) | |||||||||||
12,320 | Apple, Inc. (a) | 2,597,795 | |||||||||
40,860 | Hewlett-Packard Co. | 2,104,699 | |||||||||
20,020 | International Business Machines Corp. | 2,620,618 | |||||||||
7,323,112 | |||||||||||
Construction & Engineering (1.4%) | |||||||||||
30,620 | Fluor Corp. | 1,379,125 | |||||||||
Diversified Financial Services (2.9%) | |||||||||||
68,080 | JPMorgan Chase & Co. | 2,836,894 | |||||||||
Diversified Telecommunication Services (2.0%) | |||||||||||
72,336 | AT&T, Inc. | 2,027,578 | |||||||||
Electronic Equipment, Instruments & Components (1.3%) | |||||||||||
66,730 | Corning, Inc. | 1,288,556 |
NUMBER OF SHARES | VALUE | ||||||||||
Energy Equipment & Services (2.7%) | |||||||||||
16,800 | Halliburton Co. | $ | 505,512 | ||||||||
25,810 | Transocean Ltd. (Switzerland) (a) | 2,137,068 | |||||||||
2,642,580 | |||||||||||
Food & Staples Retailing (1.6%) | |||||||||||
50,803 | CVS Caremark Corp. | 1,636,365 | |||||||||
Health Care Providers & Services (3.5%) | |||||||||||
58,590 | UnitedHealth Group, Inc. | 1,785,823 | |||||||||
29,320 | WellPoint, Inc. (a) | 1,709,063 | |||||||||
3,494,886 | |||||||||||
Hotels, Restaurants & Leisure (3.3%) | |||||||||||
30,840 | McDonald's Corp. | 1,925,649 | |||||||||
52,000 | Royal Caribbean Cruises Ltd. (Liberia) (a) | 1,314,560 | |||||||||
3,240,209 | |||||||||||
Household Durables (1.1%) | |||||||||||
13,330 | Whirlpool Corp. | 1,075,198 | |||||||||
Household Products (2.9%) | |||||||||||
29,640 | Kimberly-Clark Corp. | 1,888,364 | |||||||||
16,212 | Procter & Gamble Co. (The) | 982,934 | |||||||||
2,871,298 | |||||||||||
Independent Power Producers & Energy Traders (1.2%) | |||||||||||
49,060 | NRG Energy, Inc. (a) | 1,158,307 | |||||||||
Industrial Conglomerates (2.2%) | |||||||||||
146,999 | General Electric Co. | 2,224,095 | |||||||||
Information Technology Services (1.4%) | |||||||||||
23,360 | Computer Sciences Corp. (a) | 1,343,901 | |||||||||
Insurance (5.7%) | |||||||||||
20,860 | ACE Ltd. (Switzerland) (a) | 1,051,344 | |||||||||
35,240 | Aflac, Inc. | 1,629,850 | |||||||||
43,682 | MetLife, Inc. | 1,544,158 | |||||||||
29,030 | Travelers Cos., Inc. (The) | 1,447,436 | |||||||||
5,672,788 |
See Notes to Financial Statements
67
Dividend Growth
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Internet Software & Services (2.3%) | |||||||||||
3,694 | Google, Inc. (Class A) (a) | $ | 2,290,206 | ||||||||
Leisure Equipment & Products (1.5%) | |||||||||||
75,980 | Mattel, Inc. | 1,518,080 | |||||||||
Metals & Mining (1.9%) | |||||||||||
23,190 | Freeport-McMoRan Copper & Gold, Inc. (a) | 1,861,925 | |||||||||
Multi-Utilities (2.9%) | |||||||||||
45,640 | Public Service Enterprise Group, Inc. | 1,517,530 | |||||||||
24,870 | Sempra Energy | 1,392,223 | |||||||||
2,909,753 | |||||||||||
Multiline Retail (1.6%) | |||||||||||
32,220 | Target Corp. | 1,558,481 | |||||||||
Oil, Gas & Consumable Fuels (9.3%) | |||||||||||
17,890 | Apache Corp. | 1,845,711 | |||||||||
13,300 | BP PLC (ADR) (United Kingdom) | 771,001 | |||||||||
26,230 | Chevron Corp. | 2,019,448 | |||||||||
21,150 | ConocoPhillips | 1,080,131 | |||||||||
32,311 | Exxon Mobil Corp. | 2,203,287 | |||||||||
43,370 | Marathon Oil Corp. | 1,354,011 | |||||||||
9,273,589 | |||||||||||
Paper & Forest Products (1.7%) | |||||||||||
63,470 | International Paper Co. | 1,699,727 | |||||||||
Pharmaceuticals (8.1%) | |||||||||||
45,260 | Bristol-Myers Squibb Co. | 1,142,815 | |||||||||
7,689 | Johnson & Johnson | 495,248 | |||||||||
64,180 | Merck & Co., Inc. | 2,345,137 | |||||||||
151,811 | Pfizer, Inc. | 2,761,442 | |||||||||
33,060 | Watson Pharmaceuticals, Inc. (a) | 1,309,507 | |||||||||
8,054,149 | |||||||||||
Road & Rail (1.9%) | |||||||||||
39,620 | CSX Corp. | 1,921,174 |
NUMBER OF SHARES | VALUE | ||||||||||
Semiconductors & Semiconductor Equipment (2.1%) | |||||||||||
103,210 | Intel Corp. | $ | 2,105,484 | ||||||||
Software (3.3%) | |||||||||||
108,423 | Microsoft Corp. | 3,305,817 | |||||||||
Specialty Retail (4.0%) | |||||||||||
59,940 | Gap, Inc. (The) | 1,255,743 | |||||||||
39,920 | Guess?, Inc. | 1,688,616 | |||||||||
16,820 | Sherwin-Williams Co. (The) | 1,036,953 | |||||||||
3,981,312 | |||||||||||
Textiles, Apparel & Luxury Goods (1.2%) | |||||||||||
16,349 | VF Corp. | 1,197,401 | |||||||||
Tobacco (3.8%) | |||||||||||
69,659 | Altria Group, Inc. | 1,367,406 | |||||||||
50,179 | Philip Morris International, Inc. | 2,418,126 | |||||||||
3,785,532 | |||||||||||
Total Common Stocks (Cost $94,891,887) | 98,510,915 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (0.8%) | |||||||||||
Investment Company | |||||||||||
799 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $799,346) | 799,346 | |||||||||
Total Investments (Cost $95,691,233) (b)(c) | 100.0 | % | 99,310,261 | ||||||||
Total Written Options Outstanding (premium received $4,422) | 0.0 | (1,298 | ) | ||||||||
Other Assets in Excess of Liabilities | 0.0 | 13,689 | |||||||||
Net Assets | 100.0 | % | $ | 99,322,652 |
See Notes to Financial Statements
68
Dividend Growth
Portfolio of Investments n December 31, 2009 continued
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Securities have been designated as collateral in connection with option contracts.
(c) The aggregate cost for federal income tax purposes is $95,802,959. The aggregate gross unrealized appreciation is $11,876,111 and the aggregate gross unrealized depreciation is $8,368,809 resulting in net unrealized appreciation of $3,507,302.
OPTIONS WRITTEN AT DECEMBER 31, 2009:
NUMBER OF CONTRACTS | DESCRIPTION | STRIKE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
22 | MetLife, Inc. | $ | 36.00 | January 2010 | $ | 4,422 | $ | 1,298 |
See Notes to Financial Statements
69
Dividend Growth
Summary of Investments n December 31, 2009
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Oil, Gas & Consumable Fuels | $ | 9,273,589 | 9.3 | % | |||||||
Pharmaceuticals | 8,054,149 | 8.1 | |||||||||
Computers & Peripherals | 7,323,112 | 7.4 | |||||||||
Insurance | 5,672,788 | 5.7 | |||||||||
Aerospace & Defense | 5,175,629 | 5.2 | |||||||||
Specialty Retail | 3,981,312 | 4.0 | |||||||||
Tobacco | 3,785,532 | 3.8 | |||||||||
Health Care Providers & Services | 3,494,886 | 3.5 | |||||||||
Software | 3,305,817 | 3.3 | |||||||||
Hotels, Restaurants & Leisure | 3,240,209 | 3.3 | |||||||||
Multi-Utilities | 2,909,753 | 2.9 | |||||||||
Household Products | 2,871,298 | 2.9 | |||||||||
Diversified Financial Services | 2,836,894 | 2.9 | |||||||||
Energy Equipment & Services | 2,642,580 | 2.7 | |||||||||
Internet Software & Services | 2,290,206 | 2.3 | |||||||||
Industrial Conglomerates | 2,224,095 | 2.2 | |||||||||
Semiconductors & Semiconductor Equipment | 2,105,484 | 2.1 | |||||||||
Commercial Banks | 2,095,504 | 2.1 | |||||||||
Capital Markets | 2,045,159 | 2.1 | |||||||||
Diversified Telecommunication Services | 2,027,578 | 2.0 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Road & Rail | $ | 1,921,174 | 1.9 | % | |||||||
Metals & Mining | 1,861,925 | 1.9 | |||||||||
Paper & Forest Products | 1,699,727 | 1.7 | |||||||||
Food & Staples Retailing | 1,636,365 | 1.6 | |||||||||
Multiline Retail | 1,558,481 | 1.6 | |||||||||
Leisure Equipment & Products | 1,518,080 | 1.5 | |||||||||
Construction & Engineering | 1,379,125 | 1.4 | |||||||||
Chemicals | 1,361,976 | 1.4 | |||||||||
Information Technology Services | 1,343,901 | 1.4 | |||||||||
Electronic Equipment, Instruments & Components | 1,288,556 | 1.3 | |||||||||
Biotechnology | 1,212,861 | 1.2 | |||||||||
Textiles, Apparel & Luxury Goods | 1,197,401 | 1.2 | |||||||||
Independent Power Producers & Energy Traders | 1,158,307 | 1.2 | |||||||||
Household Durables | 1,075,198 | 1.1 | |||||||||
Commercial Services & Supplies | 942,264 | 1.0 | |||||||||
Investment Company | 799,346 | 0.8 | |||||||||
$ | 99,310,261 | ^ | 100.0 | % |
^ Does not include options written with a value of $1,298.
See Notes to Financial Statements
70
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.3%) | |||||||||||
Aerospace & Defense (2.3%) | |||||||||||
3,585 | Boeing Co. (The) | $ | 194,056 | ||||||||
2,975 | General Dynamics Corp. | 202,806 | |||||||||
2,969 | Goodrich Corp. | 190,758 | |||||||||
5,082 | Honeywell International, Inc. | 199,214 | |||||||||
3,873 | ITT Corp. | 192,643 | |||||||||
2,426 | L-3 Communications Holdings, Inc. | 210,941 | |||||||||
2,547 | Lockheed Martin Corp. | 191,917 | |||||||||
3,699 | Northrop Grumman Corp. | 206,589 | |||||||||
1,687 | Precision Castparts Corp. | 186,160 | |||||||||
3,933 | Raytheon Co. | 202,628 | |||||||||
3,385 | Rockwell Collins, Inc. | 187,394 | |||||||||
3,016 | United Technologies Corp. | 209,341 | |||||||||
2,374,447 | |||||||||||
Air Freight & Logistics (0.8%) | |||||||||||
3,440 | C.H. Robinson Worldwide, Inc. | 202,031 | |||||||||
6,036 | Expeditors International of Washington, Inc. | 209,630 | |||||||||
2,231 | FedEx Corp. | 186,177 | |||||||||
3,334 | United Parcel Service, Inc. (Class B) | 191,272 | |||||||||
789,110 | |||||||||||
Airlines (0.2%) | |||||||||||
16,862 | Southwest Airlines Co. | 192,733 | |||||||||
Auto Components (0.4%) | |||||||||||
14,607 | Goodyear Tire & Rubber Co. (The) (a) | 205,959 | |||||||||
6,943 | Johnson Controls, Inc. | 189,127 | |||||||||
395,086 | |||||||||||
Automobiles (0.4%) | |||||||||||
21,405 | Ford Motor Co. (a) | 214,050 | |||||||||
7,293 | Harley-Davidson, Inc. | 183,784 | |||||||||
397,834 | |||||||||||
Beverages (1.6%) | |||||||||||
3,951 | Brown-Forman Corp. (Class B) | 211,655 | |||||||||
3,535 | Coca-Cola Co. (The) | 201,495 |
NUMBER OF SHARES | VALUE | ||||||||||
10,149 | Coca-Cola Enterprises, Inc. | $ | 215,159 | ||||||||
12,346 | Constellation Brands, Inc. (Class A) (a) | 196,672 | |||||||||
7,335 | Dr Pepper Snapple Group, Inc. | 207,580 | |||||||||
4,775 | Molson Coors Brewing Co. (Class B) | 215,639 | |||||||||
5,202 | Pepsi Bottling Group, Inc. | 195,075 | |||||||||
3,521 | PepsiCo, Inc. | 214,077 | |||||||||
1,657,352 | |||||||||||
Biotechnology (1.2%) | |||||||||||
3,396 | Amgen, Inc. (a) | 192,112 | |||||||||
4,085 | Biogen Idec, Inc. (a) | 218,547 | |||||||||
3,618 | Celgene Corp. (a) | 201,450 | |||||||||
3,492 | Cephalon, Inc. (a) | 217,936 | |||||||||
3,884 | Genzyme Corp. (a) | 190,355 | |||||||||
4,424 | Gilead Sciences, Inc. (a) | 191,471 | |||||||||
1,211,871 | |||||||||||
Building Products (0.2%) | |||||||||||
14,033 | Masco Corp. | 193,796 | |||||||||
Capital Markets (2.8%) | |||||||||||
4,989 | Ameriprise Financial, Inc. | 193,673 | |||||||||
7,747 | Bank of New York Mellon Corp. (The) | 216,684 | |||||||||
10,794 | Charles Schwab Corp. (The) | 203,143 | |||||||||
105,277 | E*Trade Financial Corp. (a) | 184,235 | |||||||||
7,159 | Federated Investors, Inc. (Class B) | 196,873 | |||||||||
1,818 | Franklin Resources, Inc. | 191,526 | |||||||||
1,161 | Goldman Sachs Group, Inc. (The) | 196,023 | |||||||||
8,970 | Invesco Ltd. (Bermuda) | 210,705 | |||||||||
15,905 | Janus Capital Group, Inc. | 213,922 | |||||||||
6,576 | Legg Mason, Inc. | 198,332 | |||||||||
7,171 | Morgan Stanley (See Note 6) | 212,262 | |||||||||
3,752 | Northern Trust Corp. | 196,605 | |||||||||
4,978 | State Street Corp. | 216,742 | |||||||||
3,520 | T. Rowe Price Group, Inc. | 187,440 | |||||||||
2,818,165 |
See Notes to Financial Statements
71
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Chemicals (2.6%) | |||||||||||
2,521 | Air Products & Chemicals, Inc. | $ | 204,352 | ||||||||
4,087 | Airgas, Inc. | 194,541 | |||||||||
2,312 | CF Industries Holdings, Inc. | 209,883 | |||||||||
7,598 | Dow Chemical Co. (The) | 209,933 | |||||||||
3,488 | Eastman Chemical Co. | 210,117 | |||||||||
4,310 | Ecolab, Inc. | 192,140 | |||||||||
5,898 | EI Du Pont de Nemours & Co. | 198,586 | |||||||||
3,517 | FMC Corp. | 196,108 | |||||||||
5,134 | International Flavors & Fragrances, Inc. | 211,213 | |||||||||
2,601 | Monsanto Co. | 212,632 | |||||||||
3,362 | PPG Industries, Inc. | 196,811 | |||||||||
2,429 | Praxair, Inc. | 195,073 | |||||||||
3,692 | Sigma-Aldrich Corp. | 186,557 | |||||||||
2,617,946 | |||||||||||
Commercial Banks (2.7%) | |||||||||||
7,341 | BB&T Corp. | 186,241 | |||||||||
6,708 | Comerica, Inc. | 198,356 | |||||||||
21,309 | Fifth Third Bancorp | 207,763 | |||||||||
14,091 | First Horizon National Corp. (a) | 188,818 | |||||||||
56,158 | Huntington Bancshares, Inc. | 204,977 | |||||||||
37,674 | Keycorp | 209,091 | |||||||||
2,921 | M&T Bank Corp. | 195,386 | |||||||||
34,710 | Marshall & Ilsley Corp. | 189,169 | |||||||||
3,870 | PNC Financial Services Group, Inc. | 204,297 | |||||||||
34,774 | Regions Financial Corp. | 183,954 | |||||||||
9,020 | SunTrust Banks, Inc. | 183,016 | |||||||||
8,498 | US Bancorp | 191,290 | |||||||||
7,076 | Wells Fargo & Co. | 190,981 | |||||||||
15,965 | Zions BanCorp. | 204,831 | |||||||||
2,738,170 | |||||||||||
Commercial Services & Supplies (1.6%) | |||||||||||
5,358 | Avery Dennison Corp. | 195,513 | |||||||||
6,417 | Cintas Corp. | 167,163 |
NUMBER OF SHARES | VALUE | ||||||||||
8,179 | Iron Mountain, Inc. (a) | $ | 186,154 | ||||||||
8,301 | Pitney Bowes, Inc. | 188,931 | |||||||||
7,380 | Republic Services, Inc. | 208,928 | |||||||||
9,587 | RR Donnelley & Sons Co. | 213,502 | |||||||||
3,798 | Stericycle, Inc. (a) | 209,536 | |||||||||
6,181 | Waste Management, Inc. | 208,980 | |||||||||
1,578,707 | |||||||||||
Communications Equipment (1.4%) | |||||||||||
8,465 | Cisco Systems, Inc. (a) | 202,652 | |||||||||
4,206 | Harris Corp. | 199,995 | |||||||||
26,443 | JDS Uniphase Corp. (a) | 218,155 | |||||||||
7,261 | Juniper Networks, Inc. (a) | 193,651 | |||||||||
24,125 | Motorola, Inc. (a) | 187,210 | |||||||||
4,653 | QUALCOMM, Inc. | 215,248 | |||||||||
37,222 | Tellabs, Inc. (a) | 211,421 | |||||||||
1,428,332 | |||||||||||
Computers & Peripherals (2.5%) | |||||||||||
1,028 | Apple, Inc. (a) | 216,764 | |||||||||
13,793 | Dell, Inc. (a) | 198,068 | |||||||||
11,982 | EMC Corp. (a) | 209,326 | |||||||||
3,681 | Hewlett-Packard Co. | 189,608 | |||||||||
1,556 | International Business Machines Corp. | 203,680 | |||||||||
8,183 | Lexmark International, Inc. (Class A) (a) | 212,594 | |||||||||
6,304 | NetApp, Inc. (a) | 216,795 | |||||||||
10,813 | QLogic Corp. (a) | 204,041 | |||||||||
8,206 | SanDisk Corp. (a) | 237,892 | |||||||||
22,451 | Sun Microsystems, Inc. (a) | 210,366 | |||||||||
6,712 | Teradata Corp. (a) | 210,958 | |||||||||
4,848 | Western Digital Corp. (a) | 214,039 | |||||||||
2,524,131 | |||||||||||
Construction & Engineering (0.6%) | |||||||||||
4,304 | Fluor Corp. | 193,852 | |||||||||
5,021 | Jacobs Engineering Group, Inc. (a) | 188,840 | |||||||||
9,936 | Quanta Services, Inc. (a) | 207,066 | |||||||||
589,758 |
See Notes to Financial Statements
72
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Construction Materials (0.2%) | |||||||||||
3,807 | Vulcan Materials Co. | $ | 200,515 | ||||||||
Consumer Finance (0.7%) | |||||||||||
4,679 | American Express Co. | 189,593 | |||||||||
4,738 | Capital One Financial Corp. | 181,655 | |||||||||
12,677 | Discover Financial Services | 186,479 | |||||||||
16,574 | SLM Corp. (a) | 186,789 | |||||||||
744,516 | |||||||||||
Containers & Packaging (1.0%) | |||||||||||
3,754 | Ball Corp. | 194,082 | |||||||||
6,778 | Bemis Co., Inc. | 200,968 | |||||||||
5,882 | Owens-Illinois, Inc. (a) | 193,341 | |||||||||
8,023 | Pactiv Corp. (a) | 193,675 | |||||||||
9,236 | Sealed Air Corp. | 201,899 | |||||||||
983,965 | |||||||||||
Distributors (0.2%) | |||||||||||
5,237 | Genuine Parts Co. | 198,797 | |||||||||
Diversified Consumer Services (0.6%) | |||||||||||
3,245 | Apollo Group, Inc. (Class A) (a) | 196,582 | |||||||||
3,620 | DeVry, Inc. | 205,362 | |||||||||
9,277 | H&R Block, Inc. | 209,846 | |||||||||
611,790 | |||||||||||
Diversified Financial Services (1.8%) | |||||||||||
13,936 | Bank of America Corp. | 209,876 | |||||||||
55,741 | Citigroup, Inc. (See Note 6) | 184,503 | |||||||||
625 | CME Group, Inc. | 209,969 | |||||||||
1,947 | IntercontinentalExchange, Inc. (a) | 218,648 | |||||||||
5,115 | JPMorgan Chase & Co. | 213,142 | |||||||||
8,200 | Leucadia National Corp. (a) | 195,078 | |||||||||
7,077 | Moody's Corp. | 189,663 | |||||||||
9,476 | NASDAQ OMX Group, Inc. (The) (a) | 187,814 | |||||||||
7,372 | NYSE Euronext | 186,512 | |||||||||
1,795,205 |
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Telecommunication Services (1.2%) | |||||||||||
7,528 | AT&T, Inc. | $ | 211,010 | ||||||||
5,402 | CenturyTel, Inc. | 195,607 | |||||||||
26,151 | Frontier Communications Corp. | 204,239 | |||||||||
44,235 | Qwest Communications International, Inc. | 186,229 | |||||||||
5,779 | Verizon Communications, Inc. | 191,458 | |||||||||
18,970 | Windstream Corp. | 208,480 | |||||||||
1,197,023 | |||||||||||
Electric Utilities (2.7%) | |||||||||||
8,047 | Allegheny Energy, Inc. | 188,943 | |||||||||
5,854 | American Electric Power Co., Inc. | 203,661 | |||||||||
12,055 | Duke Energy Corp. | 207,466 | |||||||||
5,432 | Edison International | 188,925 | |||||||||
2,349 | Entergy Corp. | 192,242 | |||||||||
3,810 | Exelon Corp. | 186,195 | |||||||||
4,047 | FirstEnergy Corp. | 187,983 | |||||||||
3,835 | FPL Group, Inc. | 202,565 | |||||||||
7,902 | Northeast Utilities | 203,793 | |||||||||
11,142 | Pepco Holdings, Inc. | 187,743 | |||||||||
5,594 | Pinnacle West Capital Corp. | 204,628 | |||||||||
5,805 | PPL Corp. | 187,559 | |||||||||
5,085 | Progress Energy, Inc. | 208,536 | |||||||||
5,934 | Southern Co. | 197,721 | |||||||||
2,747,960 | |||||||||||
Electrical Equipment (0.8%) | |||||||||||
4,950 | Emerson Electric Co. | 210,870 | |||||||||
1,542 | First Solar, Inc. (a) | 208,787 | |||||||||
4,244 | Rockwell Automation, Inc. | 199,383 | |||||||||
3,827 | Roper Industries, Inc. | 200,420 | |||||||||
819,460 | |||||||||||
Electronic Equipment, Instruments & Components (1.2%) | |||||||||||
6,499 | Agilent Technologies, Inc. (a) | 201,924 | |||||||||
4,390 | Amphenol Corp. (Class A) | 202,730 |
See Notes to Financial Statements
73
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
10,262 | Corning, Inc. | $ | 198,159 | ||||||||
6,243 | FLIR Systems, Inc. (a) | 204,271 | |||||||||
13,927 | Jabil Circuit, Inc. | 241,912 | |||||||||
10,027 | Molex, Inc. | 216,082 | |||||||||
1,265,078 | |||||||||||
Energy Equipment & Services (2.2%) | |||||||||||
5,170 | Baker Hughes, Inc. | 209,282 | |||||||||
10,113 | BJ Services Co. | 188,102 | |||||||||
4,904 | Cameron International Corp. (a) | 204,987 | |||||||||
2,005 | Diamond Offshore Drilling, Inc. | 197,332 | |||||||||
3,497 | FMC Technologies, Inc. (a) | 202,266 | |||||||||
6,399 | Halliburton Co. | 192,546 | |||||||||
9,446 | Nabors Industries Ltd. (Bermuda) (a) | 206,773 | |||||||||
4,378 | National Oilwell Varco, Inc. | 193,026 | |||||||||
8,557 | Rowan Cos., Inc. (a) | 193,730 | |||||||||
3,287 | Schlumberger Ltd. (Netherlands Antilles) | 213,951 | |||||||||
7,141 | Smith International, Inc. | 194,021 | |||||||||
2,196,016 | |||||||||||
Food & Staples Retailing (1.8%) | |||||||||||
3,304 | Costco Wholesale Corp. | 195,498 | |||||||||
6,078 | CVS Caremark Corp. | 195,772 | |||||||||
9,414 | Kroger Co. (The) | 193,269 | |||||||||
9,743 | Safeway, Inc. | 207,429 | |||||||||
15,186 | SUPERVALU, Inc. | 193,014 | |||||||||
7,405 | Sysco Corp. | 206,896 | |||||||||
3,964 | Wal-Mart Stores, Inc. | 211,876 | |||||||||
5,544 | Walgreen Co. | 203,576 | |||||||||
7,021 | Whole Foods Market, Inc. (a) | 192,726 | |||||||||
1,800,056 | |||||||||||
Food Products (2.7%) | |||||||||||
6,527 | Archer-Daniels-Midland Co. (b) | 204,361 | |||||||||
5,769 | Campbell Soup Co. | 194,992 | |||||||||
8,632 | ConAgra Foods, Inc. | 198,968 | |||||||||
10,858 | Dean Foods Co. (a) | 195,878 | |||||||||
3,007 | General Mills, Inc. | 212,926 |
NUMBER OF SHARES | VALUE | ||||||||||
5,370 | Hershey Co. (The) | $ | 192,192 | ||||||||
4,936 | HJ Heinz Co. | 211,063 | |||||||||
5,116 | Hormel Foods Corp. | 196,710 | |||||||||
3,140 | JM Smucker Co. (The) | 193,895 | |||||||||
3,968 | Kellogg Co. | 211,098 | |||||||||
7,027 | Kraft Foods, Inc. (Class A) | 190,994 | |||||||||
5,424 | McCormick & Co., Inc. | 195,969 | |||||||||
15,873 | Sara Lee Corp. | 193,333 | |||||||||
15,560 | Tyson Foods, Inc. (Class A) | 190,921 | |||||||||
2,783,300 | |||||||||||
Gas Utilities (0.6%) | |||||||||||
4,484 | EQT Corp. | 196,937 | |||||||||
4,444 | Nicor, Inc. | 187,092 | |||||||||
4,557 | Questar Corp. | 189,435 | |||||||||
573,464 | |||||||||||
Health Care Equipment & Supplies (2.6%) | |||||||||||
3,636 | Baxter International, Inc. | 213,361 | |||||||||
2,672 | Becton Dickinson and Co. | 210,714 | |||||||||
21,294 | Boston Scientific Corp. (a) | 191,646 | |||||||||
2,668 | C.R. Bard, Inc. | 207,837 | |||||||||
7,494 | CareFusion Corp. (a) | 187,425 | |||||||||
5,779 | DENTSPLY International, Inc. | 203,247 | |||||||||
3,983 | Hospira, Inc. (a) | 203,133 | |||||||||
656 | Intuitive Surgical, Inc. (a) | 198,978 | |||||||||
4,386 | Medtronic, Inc. | 192,896 | |||||||||
5,307 | St Jude Medical, Inc. (a) | 195,192 | |||||||||
3,919 | Stryker Corp. | 197,400 | |||||||||
4,505 | Varian Medical Systems, Inc. (a) | 211,059 | |||||||||
3,242 | Zimmer Holdings, Inc. (a) | 191,635 | |||||||||
2,604,523 | |||||||||||
Health Care Providers & Services (3.1%) | |||||||||||
6,254 | Aetna, Inc. | 198,252 | |||||||||
8,048 | AmerisourceBergen Corp. | 209,811 | |||||||||
5,897 | Cardinal Health, Inc. | 190,119 | |||||||||
5,294 | CIGNA Corp. | 186,719 | |||||||||
7,717 | Coventry Health Care, Inc. (a) | 187,446 | |||||||||
3,180 | DaVita, Inc. (a) | 186,793 |
See Notes to Financial Statements
74
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
2,247 | Express Scripts, Inc. (a) | $ | 194,253 | ||||||||
4,762 | Humana, Inc. (a) | 209,004 | |||||||||
2,814 | Laboratory Corp. of America Holdings (a) | 210,600 | |||||||||
3,309 | McKesson Corp. | 206,812 | |||||||||
3,004 | Medco Health Solutions, Inc. (a) | 191,986 | |||||||||
7,024 | Patterson Cos., Inc. (a) | 196,532 | |||||||||
3,078 | Quest Diagnostics, Inc. | 185,850 | |||||||||
38,599 | Tenet Healthcare Corp. (a) | 208,049 | |||||||||
6,009 | UnitedHealth Group, Inc. | 183,154 | |||||||||
3,399 | WellPoint, Inc. (a) | 198,128 | |||||||||
3,143,508 | |||||||||||
Health Care Technology (0.2%) | |||||||||||
10,189 | IMS Health, Inc. | 214,580 | |||||||||
Hotels, Restaurants & Leisure (2.0%) | |||||||||||
5,817 | Carnival Corp. (Units) (Panama) (a)(c) | 184,341 | |||||||||
5,394 | Darden Restaurants, Inc. | 189,168 | |||||||||
10,814 | International Game Technology | 202,979 | |||||||||
7,390 | Marriott International, Inc. (Class A) | 201,377 | |||||||||
3,301 | McDonald's Corp. | 206,114 | |||||||||
8,004 | Starbucks Corp. (a) | 184,572 | |||||||||
5,577 | Starwood Hotels & Resorts Worldwide, Inc. | 203,951 | |||||||||
10,028 | Wyndham Worldwide Corp. | 202,265 | |||||||||
3,490 | Wynn Resorts Ltd. | 203,223 | |||||||||
6,069 | Yum! Brands, Inc. | 212,233 | |||||||||
1,990,223 | |||||||||||
Household Durables (2.2%) | |||||||||||
3,268 | Black & Decker Corp. | 211,864 | |||||||||
19,688 | DR Horton, Inc. | 214,009 | |||||||||
5,224 | Fortune Brands, Inc. | 225,677 | |||||||||
5,781 | Harman International Industries, Inc. | 203,954 | |||||||||
9,525 | Leggett & Platt, Inc. | 194,310 | |||||||||
15,084 | Lennar Corp. (Class A) | 192,623 |
NUMBER OF SHARES | VALUE | ||||||||||
12,779 | Newell Rubbermaid, Inc. | $ | 191,813 | ||||||||
20,422 | Pulte Homes, Inc. (a) | 204,220 | |||||||||
5,098 | Snap-On, Inc. | 215,441 | |||||||||
3,736 | Stanley Works (The) | 192,441 | |||||||||
2,572 | Whirlpool Corp. | 207,457 | |||||||||
2,253,809 | |||||||||||
Household Products (0.8%) | |||||||||||
3,281 | Clorox Co. | 200,141 | |||||||||
2,536 | Colgate-Palmolive Co. | 208,332 | |||||||||
2,962 | Kimberly-Clark Corp. | 188,709 | |||||||||
3,255 | Procter & Gamble Co. (The) | 197,351 | |||||||||
794,533 | |||||||||||
Independent Power Producers & Energy Traders (0.4%) | |||||||||||
13,773 | AES Corp. (The) (a) | 183,319 | |||||||||
5,837 | Constellation Energy Group, Inc. | 205,287 | |||||||||
388,606 | |||||||||||
Industrial Conglomerates (0.6%) | |||||||||||
2,319 | 3M Co. | 191,712 | |||||||||
12,357 | General Electric Co. (b) | 186,961 | |||||||||
10,458 | Textron, Inc. | 196,715 | |||||||||
575,388 | |||||||||||
Information Technology Services (2.3%) | |||||||||||
3,200 | Affiliated Computer Services, Inc. (Class A) (a) | 191,008 | |||||||||
4,866 | Automatic Data Processing, Inc. | 208,362 | |||||||||
4,666 | Cognizant Technology Solutions Corp. (Class A) (a) | 211,370 | |||||||||
3,403 | Computer Sciences Corp. (a) | 195,775 | |||||||||
8,054 | Fidelity National Information Services, Inc. | 188,786 | |||||||||
4,399 | Fiserv, Inc. (a) | 213,263 | |||||||||
744 | Mastercard, Inc. (Class A) | 190,449 | |||||||||
6,324 | Paychex, Inc. | 193,767 | |||||||||
10,054 | SAIC, Inc. (a) | 190,423 | |||||||||
11,909 | Total System Services, Inc. | 205,668 |
See Notes to Financial Statements
75
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
2,130 | Visa, Inc. (Class A) | $ | 186,290 | ||||||||
9,907 | Western Union Co. (The) | 186,747 | |||||||||
2,361,908 | |||||||||||
Insurance (4.0%) | |||||||||||
4,447 | Aflac, Inc. | 205,674 | |||||||||
7,190 | Allstate Corp. (The) | 215,988 | |||||||||
6,723 | American International Group, Inc. (a) | 201,556 | |||||||||
5,545 | AON Corp. | 212,595 | |||||||||
7,105 | Assurant, Inc. | 209,455 | |||||||||
4,030 | Chubb Corp. | 198,195 | |||||||||
7,641 | Cincinnati Financial Corp. | 200,500 | |||||||||
16,831 | Genworth Financial, Inc. (Class A) (a) | 191,032 | |||||||||
8,917 | Hartford Financial Services Group, Inc. (See Note 6) | 207,409 | |||||||||
8,137 | Lincoln National Corp. | 202,449 | |||||||||
5,726 | Loews Corp. | 208,140 | |||||||||
8,737 | Marsh & McLennan Cos., Inc. | 192,913 | |||||||||
5,350 | MetLife, Inc. | 189,123 | |||||||||
8,736 | Principal Financial Group, Inc. | 210,013 | |||||||||
11,450 | Progressive Corp. (The) (a) | 205,985 | |||||||||
3,875 | Prudential Financial, Inc. | 192,820 | |||||||||
4,383 | Torchmark Corp. | 192,633 | |||||||||
4,279 | Travelers Cos., Inc. (The) | 213,351 | |||||||||
9,810 | Unum Group | 191,491 | |||||||||
11,388 | XL Capital Ltd. (Class A) (Cayman Islands) | 208,742 | |||||||||
4,050,064 | |||||||||||
Internet & Catalog Retail (0.6%) | |||||||||||
1,612 | Amazon.com, Inc. (a) | 216,846 | |||||||||
7,766 | Expedia, Inc. (a) | 199,664 | |||||||||
958 | Priceline.com, Inc. (a) | 209,323 | |||||||||
625,833 | |||||||||||
Internet Software & Services (1.0%) | |||||||||||
7,352 | Akamai Technologies, Inc. (a) | 186,226 | |||||||||
8,360 | eBay, Inc. (a) | 196,794 | |||||||||
348 | Google, Inc. (Class A) (a) | 215,753 |
NUMBER OF SHARES | VALUE | ||||||||||
8,706 | VeriSign, Inc. (a) | $ | 211,034 | ||||||||
11,639 | Yahoo!, Inc. (a) | 195,302 | |||||||||
1,005,109 | |||||||||||
Leisure Equipment & Products (0.6%) | |||||||||||
46,112 | Eastman Kodak Co. (a) | 194,593 | |||||||||
6,577 | Hasbro, Inc. | 210,858 | |||||||||
10,258 | Mattel, Inc. | 204,955 | |||||||||
610,406 | |||||||||||
Life Sciences Tools & Services (1.0%) | |||||||||||
3,693 | Life Technologies Corp. (a) | 192,886 | |||||||||
2,820 | Millipore Corp. (a) | 204,027 | |||||||||
9,419 | PerkinElmer, Inc. | 193,937 | |||||||||
4,116 | Thermo Fisher Scientific, Inc. (a) | 196,292 | |||||||||
3,148 | Waters Corp. (a) | 195,050 | |||||||||
982,192 | |||||||||||
Machinery (2.2%) | |||||||||||
3,628 | Caterpillar, Inc. | 206,760 | |||||||||
4,128 | Cummins, Inc. | 189,310 | |||||||||
2,788 | Danaher Corp. | 209,657 | |||||||||
3,821 | Deere & Co. | 206,678 | |||||||||
5,005 | Dover Corp. | 208,258 | |||||||||
3,181 | Eaton Corp. | 202,375 | |||||||||
2,085 | Flowserve Corp. | 197,095 | |||||||||
4,404 | Illinois Tool Works, Inc. | 211,348 | |||||||||
5,258 | PACCAR, Inc. | 190,708 | |||||||||
5,562 | Pall Corp. | 201,344 | |||||||||
3,510 | Parker Hannifin Corp. | 189,119 | |||||||||
2,212,652 | |||||||||||
Media (3.2%) | |||||||||||
13,665 | CBS Corp. (Class B) | 191,993 | |||||||||
10,999 | Comcast Corp. (Class A) | 185,443 | |||||||||
6,283 | DIRECTV (Class A) (a) | 209,538 | |||||||||
14,799 | Gannett Co., Inc. | 219,765 | |||||||||
29,214 | Interpublic Group of Cos., Inc. (a) | 215,599 |
See Notes to Financial Statements
76
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
6,118 | McGraw-Hill Cos., Inc. (The) | $ | 205,014 | ||||||||
6,823 | Meredith Corp. | 210,490 | |||||||||
18,224 | New York Times Co. (The) (Class A) (a) | 225,249 | |||||||||
14,982 | News Corp. (Class A) | 205,104 | |||||||||
4,982 | Omnicom Group, Inc. | 195,045 | |||||||||
4,513 | Scripps Networks Interactive, Inc. (Class A) | 187,290 | |||||||||
4,776 | Time Warner Cable, Inc. | 197,679 | |||||||||
6,439 | Time Warner, Inc. | 187,632 | |||||||||
6,954 | Viacom, Inc. (Class B) (a) | 206,742 | |||||||||
5,932 | Walt Disney Co. (The) | 191,307 | |||||||||
432 | Washington Post Co. (The) (Class B) | 189,907 | |||||||||
3,223,797 | |||||||||||
Metals & Mining (1.9%) | |||||||||||
9,476 | AK Steel Holding Corp. | 202,312 | |||||||||
14,181 | Alcoa, Inc. | 228,598 | |||||||||
5,052 | Allegheny Technologies, Inc. | 226,178 | |||||||||
4,309 | Cliffs Natural Resources, Inc. | 198,602 | |||||||||
2,706 | Freeport-McMoRan Copper & Gold, Inc. (a) | 217,265 | |||||||||
4,341 | Newmont Mining Corp. | 205,373 | |||||||||
4,291 | Nucor Corp. | 200,175 | |||||||||
16,758 | Titanium Metals Corp. (a) | 209,810 | |||||||||
3,878 | United States Steel Corp. | 213,755 | |||||||||
1,902,068 | |||||||||||
Multi-Utilities (2.9%) | |||||||||||
7,207 | Ameren Corp. | 201,436 | |||||||||
13,026 | Centerpoint Energy, Inc. | 189,007 | |||||||||
12,095 | CMS Energy Corp. | 189,408 | |||||||||
4,178 | Consolidated Edison, Inc. | 189,807 | |||||||||
5,354 | Dominion Resources, Inc. | 208,378 | |||||||||
4,824 | DTE Energy Co. | 210,278 | |||||||||
4,508 | Integrys Energy Group, Inc. | 189,291 | |||||||||
12,259 | NiSource, Inc. | 188,543 | |||||||||
4,540 | PG&E Corp. | 202,711 | |||||||||
5,942 | Public Service Enterprise Group, Inc. | 197,571 | |||||||||
5,351 | SCANA Corp. | 201,626 | |||||||||
3,733 | Sempra Energy | 208,973 |
NUMBER OF SHARES | VALUE | ||||||||||
11,699 | TECO Energy, Inc. | $ | 189,758 | ||||||||
4,069 | Wisconsin Energy Corp. | 202,758 | |||||||||
9,208 | Xcel Energy, Inc. | 195,394 | |||||||||
2,964,939 | |||||||||||
Multiline Retail (1.6%) | |||||||||||
6,456 | Big Lots, Inc. (a) | 187,095 | |||||||||
7,194 | Family Dollar Stores, Inc. | 200,209 | |||||||||
7,752 | JC Penney Co., Inc. | 206,281 | |||||||||
3,702 | Kohl's Corp. (a) | 199,649 | |||||||||
11,349 | Macy's, Inc. | 190,209 | |||||||||
5,806 | Nordstrom, Inc. | 218,189 | |||||||||
2,486 | Sears Holdings Corp. (a) | 207,457 | |||||||||
3,886 | Target Corp. | 187,966 | |||||||||
1,597,055 | |||||||||||
Office Electronics (0.2%) | |||||||||||
22,642 | Xerox Corp. | 191,551 | |||||||||
Oil, Gas & Consumable Fuels (5.5%) | |||||||||||
3,099 | Anadarko Petroleum Corp. | 193,440 | |||||||||
1,898 | Apache Corp. | 195,817 | |||||||||
4,360 | Cabot Oil & Gas Corp. | 190,052 | |||||||||
7,213 | Chesapeake Energy Corp. | 186,672 | |||||||||
2,465 | Chevron Corp. | 189,780 | |||||||||
4,061 | ConocoPhillips | 207,395 | |||||||||
4,365 | Consol Energy, Inc. | 217,377 | |||||||||
13,073 | Denbury Resources, Inc. (a) | 193,480 | |||||||||
2,885 | Devon Energy Corp. | 212,048 | |||||||||
19,398 | El Paso Corp. | 190,682 | |||||||||
2,227 | EOG Resources, Inc. | 216,687 | |||||||||
2,778 | Exxon Mobil Corp. | 189,432 | |||||||||
3,290 | Hess Corp. | 199,045 | |||||||||
6,131 | Marathon Oil Corp. | 191,410 | |||||||||
5,122 | Massey Energy Co. | 215,175 | |||||||||
3,549 | Murphy Oil Corp. | 192,356 | |||||||||
2,898 | Noble Energy, Inc. | 206,396 | |||||||||
2,509 | Occidental Petroleum Corp. | 204,107 | |||||||||
4,256 | Peabody Energy Corp. | 192,414 | |||||||||
4,610 | Pioneer Natural Resources Co. | 222,064 | |||||||||
3,708 | Range Resources Corp. | 184,844 | |||||||||
4,317 | Southwestern Energy Co. (a) | 208,079 |
See Notes to Financial Statements
77
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
9,814 | Spectra Energy Corp. | $ | 201,285 | ||||||||
8,208 | Sunoco, Inc. | 214,229 | |||||||||
14,567 | Tesoro Corp. | 197,383 | |||||||||
11,355 | Valero Energy Corp. | 190,196 | |||||||||
10,068 | Williams Cos., Inc. (The) | 212,234 | |||||||||
4,429 | XTO Energy, Inc. | 206,081 | |||||||||
5,620,160 | |||||||||||
Paper & Forest Products (0.6%) | |||||||||||
7,783 | International Paper Co. | 208,429 | |||||||||
6,831 | MeadWestvaco Corp. | 195,571 | |||||||||
4,429 | Weyerhaeuser Co. | 191,067 | |||||||||
595,067 | |||||||||||
Personal Products (0.6%) | |||||||||||
6,258 | Avon Products, Inc. | 197,127 | |||||||||
4,366 | Estee Lauder Cos., Inc. (The) (Class A) | 211,140 | |||||||||
4,518 | Mead Johnson Nutrition Co. | 197,436 | |||||||||
605,703 | |||||||||||
Pharmaceuticals (2.2%) | |||||||||||
3,554 | Abbott Laboratories | 191,880 | |||||||||
3,418 | Allergan, Inc. | 215,368 | |||||||||
8,126 | Bristol-Myers Squibb Co. | 205,181 | |||||||||
5,784 | Eli Lilly & Co. | 206,547 | |||||||||
5,975 | Forest Laboratories, Inc. (a) | 191,857 | |||||||||
3,036 | Johnson & Johnson | 195,549 | |||||||||
17,447 | King Pharmaceuticals, Inc. (a) | 214,075 | |||||||||
5,601 | Merck & Co., Inc. | 204,661 | |||||||||
11,478 | Mylan, Inc. (a) | 211,540 | |||||||||
10,250 | Pfizer, Inc. | 186,447 | |||||||||
5,006 | Watson Pharmaceuticals, Inc. (a) | 198,288 | |||||||||
2,221,393 | |||||||||||
Professional Services (0.8%) | |||||||||||
2,515 | Dun & Bradstreet Corp. | 212,190 | |||||||||
6,600 | Equifax, Inc. | 203,874 | |||||||||
11,287 | Monster Worldwide, Inc. (a) | 196,394 | |||||||||
7,938 | Robert Half International, Inc. | 212,183 | |||||||||
824,641 |
NUMBER OF SHARES | VALUE | ||||||||||
Real Estate Investment Trusts (REITs) (2.8%) | |||||||||||
13,248 | Apartment Investment & Management Co. (Class A) | $ | 210,908 | ||||||||
2,358 | AvalonBay Communities, Inc. | 193,615 | |||||||||
2,894 | Boston Properties, Inc. | 194,101 | |||||||||
5,988 | Equity Residential | 202,275 | |||||||||
6,199 | HCP, Inc. | 189,318 | |||||||||
4,246 | Health Care REIT, Inc. | 188,183 | |||||||||
18,086 | Host Hotels & Resorts, Inc. (a) | 211,064 | |||||||||
16,125 | Kimco Realty Corp. | 218,171 | |||||||||
5,194 | Plum Creek Timber Co., Inc. | 196,125 | |||||||||
15,147 | ProLogis | 207,362 | |||||||||
2,617 | Public Storage | 213,155 | |||||||||
2,585 | Simon Property Group, Inc. | 206,283 | |||||||||
4,822 | Ventas, Inc. | 210,914 | |||||||||
2,799 | Vornado Realty Trust | 195,762 | |||||||||
2,837,236 | |||||||||||
Real Estate Management & Development (0.2%) | |||||||||||
15,652 | CB Richard Ellis Group, Inc. (Class A) (a) | 212,398 | |||||||||
Road & Rail (1.0%) | |||||||||||
2,131 | Burlington Northern Santa Fe Corp. | 210,159 | |||||||||
4,143 | CSX Corp. | 200,894 | |||||||||
3,642 | Norfolk Southern Corp. | 190,914 | |||||||||
4,615 | Ryder System, Inc. | 189,999 | |||||||||
3,261 | Union Pacific Corp. | 208,378 | |||||||||
1,000,344 | |||||||||||
Semiconductors & Semiconductor Equipment (3.7%) | |||||||||||
22,863 | Advanced Micro Devices, Inc. (a) | 221,314 | |||||||||
8,424 | Altera Corp. | 190,635 | |||||||||
6,784 | Analog Devices, Inc. | 214,239 | |||||||||
14,748 | Applied Materials, Inc. | 205,587 | |||||||||
6,354 | Broadcom Corp. (Class A) (a) | 199,833 | |||||||||
10,114 | Intel Corp. | 206,326 |
See Notes to Financial Statements
78
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
5,349 | Kla-Tencor Corp. | $ | 193,420 | ||||||||
7,082 | Linear Technology Corp. | 216,284 | |||||||||
36,908 | LSI Corp. (a) | 221,817 | |||||||||
15,017 | MEMC Electronic Materials, Inc. (a) | 204,531 | |||||||||
6,832 | Microchip Technology, Inc. | 198,538 | |||||||||
22,498 | Micron Technology, Inc. (a) | 237,579 | |||||||||
12,878 | National Semiconductor Corp. | 197,806 | |||||||||
7,917 | Novellus Systems, Inc. (a) | 184,783 | |||||||||
12,316 | Nvidia Corp. (a) | 230,063 | |||||||||
20,257 | Teradyne, Inc. (a) | 217,358 | |||||||||
7,900 | Texas Instruments, Inc. | 205,874 | |||||||||
8,153 | Xilinx, Inc. | 204,314 | |||||||||
3,750,301 | |||||||||||
Software (3.0%) | |||||||||||
5,077 | Adobe Systems, Inc. (a) | 186,732 | |||||||||
8,075 | Autodesk, Inc. (a) | 205,186 | |||||||||
5,511 | BMC Software, Inc. (a) | 220,991 | |||||||||
8,408 | CA, Inc. | 188,844 | |||||||||
4,809 | Citrix Systems, Inc. (a) | 200,102 | |||||||||
28,916 | Compuware Corp. (a) | 209,063 | |||||||||
12,384 | Electronic Arts, Inc. (a) | 219,816 | |||||||||
6,845 | Intuit, Inc. (a) | 210,210 | |||||||||
5,319 | McAfee, Inc. (a) | 215,792 | |||||||||
6,207 | Microsoft Corp. (b) | 189,251 | |||||||||
46,451 | Novell, Inc. (a) | 192,772 | |||||||||
8,523 | Oracle Corp. | 209,154 | |||||||||
6,475 | Red Hat, Inc. (a) | 200,077 | |||||||||
2,793 | Salesforce.com, Inc. (a) | 206,040 | |||||||||
10,763 | Symantec Corp. (a) | 192,550 | |||||||||
3,046,580 | |||||||||||
Specialty Retail (3.5%) | |||||||||||
5,536 | Abercrombie & Fitch Co. (Class A) | 192,930 | |||||||||
10,496 | AutoNation, Inc. (a) | 200,998 | |||||||||
1,198 | AutoZone, Inc. (a) | 189,368 | |||||||||
5,055 | Bed Bath & Beyond, Inc. (a) | 195,275 | |||||||||
5,015 | Best Buy Co., Inc. | 197,892 |
NUMBER OF SHARES | VALUE | ||||||||||
8,430 | GameStop Corp. (Class A) (a) | $ | 184,954 | ||||||||
10,027 | Gap, Inc. (The) | 210,066 | |||||||||
6,808 | Home Depot, Inc. (The) | 196,955 | |||||||||
10,028 | Limited Brands, Inc. | 192,939 | |||||||||
8,869 | Lowe's Cos., Inc. | 207,446 | |||||||||
5,079 | O'Reilly Automotive, Inc. (a) | 193,611 | |||||||||
30,126 | Office Depot, Inc. (a) | 194,313 | |||||||||
9,675 | RadioShack Corp. | 188,663 | |||||||||
4,882 | Ross Stores, Inc. | 208,510 | |||||||||
3,388 | Sherwin-Williams Co. (The) | 208,870 | |||||||||
8,526 | Staples, Inc. | 209,654 | |||||||||
4,900 | Tiffany & Co. | 210,700 | |||||||||
5,249 | TJX Cos., Inc. | 191,851 | |||||||||
3,574,995 | |||||||||||
Textiles, Apparel & Luxury Goods (0.8%) | |||||||||||
5,216 | Coach, Inc. | 190,540 | |||||||||
2,942 | NIKE, Inc. (Class B) | 194,378 | |||||||||
2,442 | Polo Ralph Lauren Corp. | 197,753 | |||||||||
2,594 | VF Corp. | 189,985 | |||||||||
772,656 | |||||||||||
Thrifts & Mortgage Finance (0.4%) | |||||||||||
14,049 | Hudson City Bancorp, Inc. | 192,893 | |||||||||
11,712 | People's United Financial, Inc. | 195,590 | |||||||||
388,483 | |||||||||||
Tobacco (0.8%) | |||||||||||
10,467 | Altria Group, Inc. | 205,467 | |||||||||
2,504 | Lorillard, Inc. | 200,896 | |||||||||
4,114 | Philip Morris International, Inc. | 198,254 | |||||||||
3,568 | Reynolds American, Inc. | 188,997 | |||||||||
793,614 | |||||||||||
Trading Companies & Distributors (0.4%) | |||||||||||
5,186 | Fastenal Co. | 215,945 | |||||||||
2,162 | WW Grainger, Inc. | 209,346 | |||||||||
425,291 |
See Notes to Financial Statements
79
Equally-Weighted S&P 500
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Wireless Telecommunication Services (0.6%) | |||||||||||
4,500 | American Tower Corp. (Class A) (a) | $ | 194,445 | ||||||||
27,817 | MetroPCS Communications, Inc. (a) | 212,244 | |||||||||
50,946 | Sprint Nextel Corp. (a) | 186,462 | |||||||||
593,151 | |||||||||||
Total Investments (Cost $61,546,645) (d)(e) | 99.3 | % | 100,379,340 | ||||||||
Other Assets in Excess of Liabilities | 0.7 | 751,358 | |||||||||
Net Assets | 100.0 | % | $ | 101,130,698 |
(a) Non-income producing security.
(b) A portion of this security has been physically segregated in connection with open futures contracts.
(c) Consists of one or more class of securities traded together as a unit; stocks with attached warrants.
(d) Securities have been designated as collateral in connection with open futures contracts.
(e) The aggregate cost for federal income tax purposes is $64,050,219. The aggregate gross unrealized appreciation is $38,116,984 and the aggregate gross unrealized depreciation is $1,787,863 resulting in net unrealized appreciation of $36,329,121.
FUTURES CONTRACTS OPEN AT DECEMBER 31, 2009:
NUMBER OF CONTRACTS | LONG/ SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED DEPRECIATION | |||||||||||||||
16 | Long | S&P 500 E-MINI, March 2010 | $888,560 | $(10,364) |
SUMMARY OF INVESTMENTS SECTOR | VALUE | PERCENT OF NET ASSETS | |||||||||
Consumer Discretionary | $ | 15,844,399 | 15.8 | % | |||||||
Financials | 15,584,237 | 15.5 | |||||||||
Information Technology | 15,572,990 | 15.5 | |||||||||
Industrials | 11,984,209 | 11.9 | |||||||||
Health Care | 10,378,067 | 10.3 | |||||||||
Consumer Staples | 8,434,558 | 8.4 | |||||||||
Energy | 7,816,176 | 7.8 | |||||||||
Utilities | 6,674,969 | 6.7 | |||||||||
Materials | 6,299,561 | 6.3 | |||||||||
Telecommunication Services | 1,790,174 | 1.8 | |||||||||
$ | 100,379,340+ | 100.0 | % |
+ Does not include open long futures contracts with an underlying face amount of $888,560 and total unrealized depreciation of $10,364.
See Notes to Financial Statements
80
Capital Growth
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.6%) | |||||||||||
Air Freight & Logistics (3.3%) | |||||||||||
7,057 | C.H. Robinson Worldwide, Inc. | $ | 414,457 | ||||||||
15,856 | Expeditors International of Washington, Inc. | 550,679 | |||||||||
965,136 | |||||||||||
Capital Markets (3.0%) | |||||||||||
1,879 | BlackRock, Inc. | 436,304 | |||||||||
23,410 | Charles Schwab Corp. (The) | 440,576 | |||||||||
876,880 | |||||||||||
Chemicals (4.4%) | |||||||||||
15,929 | Monsanto Co. | 1,302,196 | |||||||||
Communications Equipment (3.3%) | |||||||||||
17,016 | Cisco Systems, Inc. (a) | 407,363 | |||||||||
8,393 | Research In Motion Ltd. (Canada) (a) | 566,863 | |||||||||
974,226 | |||||||||||
Computers & Peripherals (7.1%) | |||||||||||
10,014 | Apple, Inc. (a) | 2,111,552 | |||||||||
Construction Materials (2.3%) | |||||||||||
24,383 | Cemex SAB de CV (ADR) (Mexico) (a) | 288,207 | |||||||||
4,310 | Martin Marietta Materials, Inc. | 385,357 | |||||||||
673,564 | |||||||||||
Consumer Finance (2.2%) | |||||||||||
16,106 | American Express Co. | 652,615 | |||||||||
Distributors (2.7%) | |||||||||||
198,000 | Li & Fung Ltd. (Bermuda) (b)(c) | 814,865 | |||||||||
Diversified Financial Services (6.2%) | |||||||||||
92,181 | BM&F BOVESPA SA (Brazil) (c) | 640,644 | |||||||||
1,668 | CME Group, Inc. | 560,365 | |||||||||
26,914 | Leucadia National Corp. (a) | 640,284 | |||||||||
1,841,293 |
NUMBER OF SHARES | VALUE | ||||||||||
Electrical Equipment (0.6%) | |||||||||||
1,248 | First Solar, Inc. (a) | $ | 168,979 | ||||||||
Health Care Equipment & Supplies (2.0%) | |||||||||||
3,589 | Gen-Probe, Inc. (a) | 153,968 | |||||||||
1,456 | Intuitive Surgical, Inc. (a) | 441,634 | |||||||||
595,602 | |||||||||||
Hotels, Restaurants & Leisure (5.5%) | |||||||||||
23,771 | Las Vegas Sands Corp. (a) | 355,139 | |||||||||
20,371 | Starbucks Corp. (a) | 469,755 | |||||||||
13,849 | Wynn Resorts Ltd. | 806,427 | |||||||||
1,631,321 | |||||||||||
Information Technology Services (6.6%) | |||||||||||
3,615 | Mastercard, Inc. (Class A) | 925,367 | |||||||||
40,966 | Redecard SA (Brazil) (c) | 672,702 | |||||||||
4,050 | Visa, Inc. (Class A) | 354,213 | |||||||||
1,952,282 | |||||||||||
Insurance (3.3%) | |||||||||||
162 | Berkshire Hathaway, Inc. (Class B) (a) | 532,332 | |||||||||
12,309 | Loews Corp. | 447,432 | |||||||||
979,764 | |||||||||||
Internet & Catalog Retail (7.2%) | |||||||||||
15,911 | Amazon.com, Inc. (a) | 2,140,348 | |||||||||
Internet Software & Services (15.8%) | |||||||||||
1,706 | Baidu, Inc. (ADR) (Cayman Islands) (a) | 701,558 | |||||||||
19,725 | eBay, Inc. (a) | 464,327 | |||||||||
3,653 | Google, Inc. (Class A) (a) | 2,264,787 | |||||||||
58,500 | Tencent Holdings Ltd. (Cayman Islands) (b)(c) | 1,260,816 | |||||||||
4,691,488 | |||||||||||
Life Sciences Tools & Services (1.8%) | |||||||||||
17,663 | Illumina, Inc. (a) | 541,371 |
See Notes to Financial Statements
81
Capital Growth
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Media (0.8%) | |||||||||||
7,239 | McGraw-Hill Cos., Inc. (The) | $ | 242,579 | ||||||||
Multiline Retail (1.0%) | |||||||||||
3,455 | Sears Holdings Corp. (a) | 288,320 | |||||||||
Oil, Gas & Consumable Fuels (5.3%) | |||||||||||
8,007 | Range Resources Corp. | 399,149 | |||||||||
23,634 | Ultra Petroleum Corp. (Canada) (a) | 1,178,391 | |||||||||
1,577,540 | |||||||||||
Pharmaceuticals (1.4%) | |||||||||||
6,389 | Allergan, Inc. | 402,571 | |||||||||
Professional Services (2.5%) | |||||||||||
7,813 | Corporate Executive Board Co. (The) | 178,293 | |||||||||
9,712 | Monster Worldwide, Inc. (a) | 168,989 | |||||||||
311 | SGS SA (Registered Shares) (Switzerland) (c) | 404,966 | |||||||||
752,248 | |||||||||||
Real Estate Management & Development (3.6%) | |||||||||||
47,592 | Brookfield Asset Management, Inc. (Class A) (Canada) | 1,055,591 | |||||||||
Software (4.9%) | |||||||||||
12,068 | Adobe Systems, Inc. (a) | 443,861 | |||||||||
10,376 | Salesforce.com, Inc. (a) | 765,438 | |||||||||
5,637 | VMware, Inc. (Class A) (a) | 238,896 | |||||||||
1,448,195 | |||||||||||
Transportation Infrastructure (1.2%) | |||||||||||
111,139 | China Merchants Holdings International Co., Ltd. (Hong Kong) (c) | 358,032 | |||||||||
Wireless Telecommunication Services (1.6%) | |||||||||||
9,858 | America Movil SAB de CV (Series L) (ADR) (Mexico) | 463,129 | |||||||||
Total Common Stocks (Cost $26,206,211) | 29,501,687 |
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (0.5%) Investment Company | |||||||||||
146 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $145,507) | $ | 145,507 | ||||||||
Total Investments (Cost $26,351,718) (d) | 100.1 | % | 29,647,194 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (35,617 | ) | |||||||
Net Assets | 100.0 | % | $ | 29,611,577 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Security trades on the Hong Kong exchange.
(c) Securities with a total market value equal to $4,152,025 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 2.
(d) The aggregate cost for federal income tax purposes is $26,575,162. The aggregate gross unrealized appreciation is $6,803,941 and the aggregate gross unrealized depreciation is $3,731,909 resulting in net unrealized appreciation of $3,072,032.
See Notes to Financial Statements
82
Capital Growth
Summary of Investments n December 31, 2009
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software & Services | $ | 4,691,488 | 15.8 | % | |||||||
Internet & Catalog Retail | 2,140,348 | 7.2 | |||||||||
Computers & Peripherals | 2,111,552 | 7.1 | |||||||||
Information Technology Services | 1,952,282 | 6.6 | |||||||||
Diversified Financial Services | 1,841,293 | 6.2 | |||||||||
Hotels, Restaurants & Leisure | 1,631,321 | 5.5 | |||||||||
Oil, Gas & Consumable Fuels | 1,577,540 | 5.3 | |||||||||
Software | 1,448,195 | 4.9 | |||||||||
Chemicals | 1,302,196 | 4.4 | |||||||||
Real Estate Management & Development | 1,055,591 | 3.6 | |||||||||
Insurance | 979,764 | 3.3 | |||||||||
Communications Equipment | 974,226 | 3.3 | |||||||||
Air Freight & Logistics | 965,136 | 3.2 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Capital Markets | $ | 876,880 | 3.0 | % | |||||||
Distributors | 814,865 | 2.7 | |||||||||
Professional Services | 752,248 | 2.5 | |||||||||
Construction Materials | 673,564 | 2.3 | |||||||||
Consumer Finance | 652,615 | 2.2 | |||||||||
Health Care Equipment & Supplies | 595,602 | 2.0 | |||||||||
Life Sciences Tools & Services | 541,371 | 1.8 | |||||||||
Wireless Telecommunication Services | 463,129 | 1.6 | |||||||||
Pharmaceuticals | 402,571 | 1.4 | |||||||||
Transportation Infrastructure | 358,032 | 1.2 | |||||||||
Multiline Retail | 288,320 | 1.0 | |||||||||
Media | 242,579 | 0.8 | |||||||||
Electrical Equipment | 168,979 | 0.6 | |||||||||
Investment Company | 145,507 | 0.5 | |||||||||
$ | 29,647,194 | 100.0 | % |
See Notes to Financial Statements
83
Focus Growth
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (98.1%) | |||||||||||
Air Freight & Logistics (4.9%) | |||||||||||
30,698 | C.H. Robinson Worldwide, Inc. | $ | 1,802,894 | ||||||||
73,900 | Expeditors International of Washington, Inc. | 2,566,547 | |||||||||
4,369,441 | |||||||||||
Chemicals (5.7%) | |||||||||||
62,962 | Monsanto Co. | 5,147,144 | |||||||||
Communications Equipment (5.1%) | |||||||||||
86,301 | Cisco Systems, Inc. (a) | 2,066,046 | |||||||||
37,512 | Research In Motion Ltd. (Canada) (a) | 2,533,560 | |||||||||
4,599,606 | |||||||||||
Computers & Peripherals (8.7%) | |||||||||||
37,286 | Apple, Inc. (a) | 7,862,126 | |||||||||
Consumer Finance (3.0%) | |||||||||||
66,796 | American Express Co. | 2,706,574 | |||||||||
Distributors (3.4%) | |||||||||||
748,000 | Li & Fung Ltd. (Bermuda) (b)(c) | 3,078,378 | |||||||||
Diversified Financial Services (10.0%) | |||||||||||
541,009 | BM&F BOVESPA SA (Brazil) (c) | 3,759,933 | |||||||||
7,711 | CME Group, Inc. | 2,590,510 | |||||||||
110,227 | Leucadia National Corp. (a) | 2,622,300 | |||||||||
8,972,743 | |||||||||||
Hotels, Restaurants & Leisure (3.3%) | |||||||||||
50,979 | Wynn Resorts Ltd. | 2,968,507 | |||||||||
Information Technology Services (5.1%) | |||||||||||
17,975 | Mastercard, Inc. (Class A) | 4,601,241 | |||||||||
Insurance (2.2%) | |||||||||||
589 | Berkshire Hathaway, Inc. (Class B) (a) | 1,935,454 |
NUMBER OF SHARES | VALUE | ||||||||||
Internet & Catalog Retail (9.2%) | |||||||||||
61,716 | Amazon.com, Inc. (a) | $ | 8,302,036 | ||||||||
Internet Software & Services (20.0%) | |||||||||||
8,546 | Baidu, Inc. (ADR) (Cayman Islands) (a) | 3,514,372 | |||||||||
13,643 | Google, Inc. (Class A) (a) | 8,458,387 | |||||||||
279,000 | Tencent Holdings Ltd. (Cayman Islands) (b)(c) | 6,013,123 | |||||||||
17,985,882 | |||||||||||
Life Sciences Tools & Services (2.2%) | |||||||||||
65,754 | Illumina, Inc. (a) | 2,015,360 | |||||||||
Oil, Gas & Consumable Fuels (7.0%) | |||||||||||
126,739 | Ultra Petroleum Corp. (Canada) (a) | 6,319,207 | |||||||||
Professional Services (0.8%) | |||||||||||
29,448 | Corporate Executive Board Co. (The) | 672,003 | |||||||||
Real Estate Management & Development (4.3%) | |||||||||||
175,075 | Brookfield Asset Management, Inc. (Class A) (Canada) | 3,883,164 | |||||||||
Software (3.2%) | |||||||||||
38,307 | Salesforce.com, Inc. (a) | 2,825,907 | |||||||||
Total Common Stocks (Cost $79,118,140) | 88,244,773 |
See Notes to Financial Statements
84
Focus Growth
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (2.0%) Investment Company | |||||||||||
1,812 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $1,811,621) | $ | 1,811,621 | ||||||||
Total Investments (Cost $80,929,761) (d) | 100.1 | % | 90,056,394 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (76,898 | ) | |||||||
Net Assets | 100.0 | % | $ | 89,979,496 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Security trades on the Hong Kong exchange.
(c) Securities with a total market value equal to $12,851,434 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 2.
(d) The aggregate cost for federal income tax purposes is $81,052,485. The aggregate gross unrealized appreciation is $22,310,923 and the aggregate gross unrealized depreciation is $13,307,014 resulting in net unrealized appreciation of $9,003,909.
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software & Services | $ | 17,985,882 | 20.0 | % | |||||||
Diversified Financial Services | 8,972,743 | 10.0 | |||||||||
Internet & Catalog Retail | 8,302,036 | 9.2 | |||||||||
Computers & Peripherals | 7,862,126 | 8.7 | |||||||||
Oil, Gas & Consumable Fuels | 6,319,207 | 7.0 | |||||||||
Chemicals | 5,147,144 | 5.7 | |||||||||
Information Technology Services | 4,601,241 | 5.1 | |||||||||
Communications Equipment | 4,599,606 | 5.1 | |||||||||
Air Freight & Logistics | 4,369,441 | 4.9 | |||||||||
Real Estate Management & Development | 3,883,164 | 4.3 | |||||||||
Distributors | 3,078,378 | 3.4 | |||||||||
Hotels, Restaurants & Leisure | 2,968,507 | 3.3 | |||||||||
Software | 2,825,907 | 3.1 | |||||||||
Consumer Finance | 2,706,574 | 3.0 | |||||||||
Life Sciences Tools & Services | 2,015,360 | 2.2 | |||||||||
Insurance | 1,935,454 | 2.2 | |||||||||
Investment Company | 1,811,621 | 2.0 | |||||||||
Professional Services | 672,003 | 0.8 | |||||||||
$ | 90,056,394 | 100.0 | % |
See Notes to Financial Statements
85
Capital Opportunities
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (97.8%) | |||||||||||
Air Freight & Logistics (2.1%) | |||||||||||
13,511 | Expeditors International of Washington, Inc. | $ | 469,237 | ||||||||
Capital Markets (3.8%) | |||||||||||
10,407 | Greenhill & Co., Inc. | 835,058 | |||||||||
Chemicals (4.2%) | |||||||||||
11,339 | Monsanto Co. | 926,963 | |||||||||
Computers & Peripherals (9.9%) | |||||||||||
7,117 | Apple, Inc. (a) | 1,500,691 | |||||||||
21,958 | Teradata Corp. (a) | 690,140 | |||||||||
2,190,831 | |||||||||||
Distributors (3.3%) | |||||||||||
176,974 | Li & Fung Ltd. (Bermuda) (b)(c) | 728,333 | |||||||||
Diversified Financial Services (7.0%) | |||||||||||
66,355 | BM&F BOVESPA SA (Brazil) (c) | 461,157 | |||||||||
19,723 | Leucadia National Corp. (a) | 469,210 | |||||||||
19,587 | MSCI, Inc. (Class A) (a) | 622,867 | |||||||||
1,553,234 | |||||||||||
Health Care Technology (3.1%) | |||||||||||
14,921 | athenahealth, Inc. (a) | 675,026 | |||||||||
Hotels, Restaurants & Leisure (6.2%) | |||||||||||
11,096 | Ctrip.com International Ltd. (ADR) (Cayman Islands) (a) | 797,358 | |||||||||
9,695 | Wynn Resorts Ltd. | 564,540 | |||||||||
1,361,898 | |||||||||||
Information Technology Services (6.4%) | |||||||||||
3,597 | Mastercard, Inc. (Class A) | 920,760 | |||||||||
29,529 | Redecard SA (Brazil) (c) | 484,895 | |||||||||
1,405,655 | |||||||||||
Internet & Catalog Retail (7.4%) | |||||||||||
12,084 | Amazon.com, Inc. (a) | 1,625,540 |
NUMBER OF SHARES | VALUE | ||||||||||
Internet Software & Services (18.4%) | |||||||||||
1,936 | Baidu, Inc. (ADR) (Cayman Islands) (a) | $ | 796,141 | ||||||||
2,691 | Google, Inc. (Class A) (a) | 1,668,366 | |||||||||
73,500 | Tencent Holdings Ltd. (Cayman Islands) (b)(c) | 1,584,103 | |||||||||
4,048,610 | |||||||||||
Life Sciences Tools & Services (5.0%) | |||||||||||
15,896 | Illumina, Inc. (a) | 487,212 | |||||||||
8,978 | Techne Corp. | 615,532 | |||||||||
1,102,744 | |||||||||||
Oil, Gas & Consumable Fuels (6.5%) | |||||||||||
11,203 | Range Resources Corp. | 558,470 | |||||||||
17,550 | Ultra Petroleum Corp. (Canada) (a) | 875,043 | |||||||||
1,433,513 | |||||||||||
Professional Services (5.4%) | |||||||||||
12,964 | CoStar Group, Inc. (a) | 541,506 | |||||||||
21,665 | Verisk Analytics, Inc. (Class A) (a) | 656,016 | |||||||||
1,197,522 | |||||||||||
Real Estate Management & Development (3.4%) | |||||||||||
34,350 | Brookfield Asset Management, Inc. (Class A) (Canada) | 761,883 | |||||||||
Semiconductors & Semiconductor Equipment (2.4%) | |||||||||||
23,030 | Tessera Technologies, Inc. (a) | 535,908 | |||||||||
Software (3.3%) | |||||||||||
9,800 | Salesforce.com, Inc. (a) | 722,946 | |||||||||
Total Common Stocks (Cost $17,177,310) | 21,574,901 |
See Notes to Financial Statements
86
Capital Opportunities
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (2.5%) Investment Company | |||||||||||
545 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $544,539) | $ | 544,539 | ||||||||
Total Investments (Cost $17,721,849) (d) | 100.3 | % | 22,119,440 | ||||||||
Liabilities in Excess of Other Assets | (0.3 | ) | (63,612 | ) | |||||||
Net Assets | 100.0 | % | $ | 22,055,828 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Security trades on the Hong Kong exchange.
(c) Securities with a total market value equal to $3,258,488 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 2.
(d) The aggregate cost for federal income tax purposes is $17,789,514. The aggregate gross unrealized appreciation is $5,933,641 and the aggregate gross unrealized depreciation is $1,603,715 resulting in net unrealized appreciation of $4,329,926.
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software & Services | $ | 4,048,610 | 18.3 | % | |||||||
Computers & Peripherals | 2,190,831 | 9.9 | |||||||||
Internet & Catalog Retail | 1,625,540 | 7.3 | |||||||||
Diversified Financial Services | 1,553,234 | 7.0 | |||||||||
Oil, Gas & Consumable Fuels | 1,433,513 | 6.5 | |||||||||
Information Technology Services | 1,405,655 | 6.4 | |||||||||
Hotels, Restaurants & Leisure | 1,361,898 | 6.2 | |||||||||
Professional Services | 1,197,522 | 5.4 | |||||||||
Life Sciences Tools & Services | 1,102,744 | 5.0 | |||||||||
Chemicals | 926,963 | 4.2 | |||||||||
Capital Markets | 835,058 | 3.8 | |||||||||
Real Estate Management & Development | 761,883 | 3.4 | |||||||||
Distributors | 728,333 | 3.3 | |||||||||
Software | 722,946 | 3.3 | |||||||||
Health Care Technology | 675,026 | 3.0 | |||||||||
Investment Company | 544,539 | 2.5 | |||||||||
Semiconductors & Semiconductor Equipment | 535,908 | 2.4 | |||||||||
Air Freight & Logistics | 469,237 | 2.1 | |||||||||
$ | 22,119,440 | 100.0 | % |
See Notes to Financial Statements
87
Mid Cap Growth
Portfolio of Investments n December 31, 2009
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (96.4%) | |||||||||||
Air Freight & Logistics (3.9%) | |||||||||||
8,864 | C.H. Robinson Worldwide, Inc. | $ | 520,583 | ||||||||
18,388 | Expeditors International of Washington, Inc. | 638,615 | |||||||||
1,159,198 | |||||||||||
Capital Markets (4.0%) | |||||||||||
16,156 | Calamos Asset Management, Inc. (Class A) | 186,279 | |||||||||
6,926 | Greenhill & Co., Inc. | 555,742 | |||||||||
8,105 | T. Rowe Price Group, Inc. | 431,591 | |||||||||
1,173,612 | |||||||||||
Chemicals (4.3%) | |||||||||||
12,246 | Intrepid Potash, Inc. (a) | 357,216 | |||||||||
21,765 | Nalco Holding Co. | 555,225 | |||||||||
15,497 | Rockwood Holdings, Inc. (a) | 365,109 | |||||||||
1,277,550 | |||||||||||
Commercial Services & Supplies (0.9%) | |||||||||||
14,928 | Covanta Holding Corp. (a) | 270,048 | |||||||||
Communications Equipment (1.1%) | |||||||||||
33,210 | Palm, Inc. (a) | 333,428 | |||||||||
Computers & Peripherals (3.1%) | |||||||||||
29,382 | Teradata Corp. (a) | 923,476 | |||||||||
Construction Materials (2.5%) | |||||||||||
6,694 | Martin Marietta Materials, Inc. | 598,511 | |||||||||
4,189 | Texas Industries, Inc. | 146,573 | |||||||||
745,084 | |||||||||||
Distributors (3.3%) | |||||||||||
240,185 | Li & Fung Ltd. (Bermuda) (b)(c) | 988,476 |
NUMBER OF SHARES | VALUE | ||||||||||
Diversified Consumer Services (3.0%) | |||||||||||
6,064 | New Oriental Education & Technology Group (ADR) (Cayman Islands) (a) | $ | 458,499 | ||||||||
2,022 | Strayer Education, Inc. | 429,655 | |||||||||
888,154 | |||||||||||
Diversified Financial Services (7.2%) | |||||||||||
4,258 | IntercontinentalExchange, Inc. (a) | 478,174 | |||||||||
25,475 | Leucadia National Corp. (a) | 606,050 | |||||||||
6,913 | Moody's Corp. | 185,268 | |||||||||
27,180 | MSCI, Inc. (Class A) (a) | 864,324 | |||||||||
2,133,816 | |||||||||||
Health Care Equipment & Supplies (3.3%) | |||||||||||
13,044 | Gen-Probe, Inc. (a) | 559,588 | |||||||||
1,372 | Intuitive Surgical, Inc. (a) | 416,155 | |||||||||
975,743 | |||||||||||
Hotels, Restaurants & Leisure (7.5%) | |||||||||||
15,437 | Ctrip.com International Ltd. (ADR) (Cayman Islands) (a) | 1,109,303 | |||||||||
22,401 | Las Vegas Sands Corp. (a) | 334,671 | |||||||||
13,415 | Wynn Resorts Ltd. | 781,155 | |||||||||
2,225,129 | |||||||||||
Household Durables (2.9%) | |||||||||||
12,329 | Gafisa SA (ADR) (Brazil) | 398,966 | |||||||||
628 | NVR, Inc. (a) | 446,326 | |||||||||
845,292 | |||||||||||
Information Technology Services (2.1%) | |||||||||||
37,961 | Redecard SA (Brazil) (c) | 623,357 |
See Notes to Financial Statements
88
Mid Cap Growth
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES | VALUE | ||||||||||
Internet & Catalog Retail (4.6%) | |||||||||||
4,016 | NetFlix, Inc. (a) | $ | 221,442 | ||||||||
5,172 | Priceline.com, Inc. (a) | 1,130,082 | |||||||||
1,351,524 | |||||||||||
Internet Software & Services (8.6%) | |||||||||||
21,411 | Akamai Technologies, Inc. (a) | 542,341 | |||||||||
237,000 | Alibaba.com Ltd. (Cayman Islands) (b)(c) | 544,767 | |||||||||
2,666 | Baidu, Inc. (ADR) (Cayman Islands) (a) | 1,096,339 | |||||||||
3,447 | Equinix, Inc. (a) | 365,899 | |||||||||
2,549,346 | |||||||||||
Life Sciences Tools & Services (4.4%) | |||||||||||
22,147 | Illumina, Inc. (a) | 678,806 | |||||||||
8,906 | Techne Corp. | 610,595 | |||||||||
1,289,401 | |||||||||||
Media (4.1%) | |||||||||||
11,168 | Discovery Communications, Inc. Ser C (a) | 296,176 | |||||||||
32,886 | Groupe Aeroplan, Inc. (Canada) | 342,428 | |||||||||
11,618 | Morningstar, Inc. (a) | 561,614 | |||||||||
1,200,218 | |||||||||||
Multiline Retail (0.9%) | |||||||||||
3,273 | Sears Holdings Corp. (a) | 273,132 | |||||||||
Oil, Gas & Consumable Fuels (7.1%) | |||||||||||
8,741 | Petrohawk Energy Corp. (a) | 209,697 | |||||||||
15,428 | Range Resources Corp. | 769,086 | |||||||||
22,442 | Ultra Petroleum Corp. (Canada) (a) | 1,118,958 | |||||||||
2,097,741 | |||||||||||
Personal Products (1.5%) | |||||||||||
10,455 | Mead Johnson Nutrition Co. | 456,884 |
NUMBER OF SHARES | VALUE | ||||||||||
Pharmaceuticals (1.3%) | |||||||||||
5,881 | Allergan, Inc. | $ | 370,562 | ||||||||
Professional Services (8.3%) | |||||||||||
9,475 | Corporate Executive Board Co. (The) | 216,220 | |||||||||
7,461 | IHS, Inc. (Class A) (a) | 408,937 | |||||||||
32,331 | Intertek Group PLC (United Kingdom) (c) | 650,983 | |||||||||
13,381 | Monster Worldwide, Inc. (a) | 232,829 | |||||||||
30,813 | Verisk Analytics, Inc. (Class A) (a) | 933,018 | |||||||||
2,441,987 | |||||||||||
Software (5.5%) | |||||||||||
15,278 | Autodesk, Inc. (a) | 388,214 | |||||||||
8,337 | Rovi Corp. (a) | 265,700 | |||||||||
13,364 | Salesforce.com, Inc. (a) | 985,862 | |||||||||
1,639,776 | |||||||||||
Wireless Telecommunication Services (1.0%) | |||||||||||
3,794 | Millicom International Cellular SA (Luxembourg) (a) | �� | 279,883 | ||||||||
Total Common Stocks (Cost $28,843,099) | 28,512,817 | ||||||||||
Convertible Preferred Stock (1.1%) | |||||||||||
Biotechnology | |||||||||||
14,664 | Ironwood Pharmaceuticals (144A) (c)(d)(e) (Cost $175,968) | 322,608 |
See Notes to Financial Statements
89
Mid Cap Growth
Portfolio of Investments n December 31, 2009 continued
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (2.6%) Investment Company | |||||||||||
762 | Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $761,967) | $ | 761,967 | ||||||||
Total Investments (Cost $29,781,034) (f) | 100.1 | % | 29,597,392 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (20,390 | ) | |||||||
Net Assets | 100.0 | % | $ | 29,577,002 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Security trades on the Hong Kong exchange.
(c) Securities with a total market value equal to $3,130,191 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 2.
(d) Resale is restricted to qualified institutional investors.
(e) Illiquid security.
(f) The aggregate cost for federal income tax purposes is $29,822,517. The aggregate gross unrealized appreciation is $4,294,051 and the aggregate gross unrealized depreciation is $4,519,176 resulting in net unrealized depreciation of $225,125.
SUMMARY OF INVESTMENTS INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Internet Software & Services | $ | 2,549,346 | 8.6 | % | |||||||
Professional Services | 2,441,987 | 8.3 | |||||||||
Hotels, Restaurants & Leisure | 2,225,129 | 7.5 | |||||||||
Diversified Financial Services | 2,133,816 | 7.2 | |||||||||
Oil, Gas & Consumable Fuels | 2,097,741 | 7.1 | |||||||||
Software | 1,639,776 | 5.5 | |||||||||
Internet & Catalog Retail | 1,351,524 | 4.6 | |||||||||
Life Sciences Tools & Services | 1,289,401 | 4.4 | |||||||||
Chemicals | 1,277,550 | 4.3 | |||||||||
Media | 1,200,218 | 4.1 | |||||||||
Capital Markets | 1,173,612 | 4.0 | |||||||||
Air Freight & Logistics | 1,159,198 | 3.9 | |||||||||
Distributors | 988,476 | 3.3 | |||||||||
Health Care Equipment & Supplies | 975,743 | 3.3 | |||||||||
Computers & Peripherals | 923,476 | 3.1 | |||||||||
Diversified Consumer Services | 888,154 | 3.0 | |||||||||
Household Durables | 845,292 | 2.9 | |||||||||
Investment Company | 761,967 | 2.6 | |||||||||
Construction Materials | 745,084 | 2.5 | |||||||||
Information Technology Services | 623,357 | 2.1 | |||||||||
Personal Products | 456,884 | 1.5 | |||||||||
Pharmaceuticals | 370,562 | 1.3 | |||||||||
Communications Equipment | 333,428 | 1.1 | |||||||||
Biotechnology | 322,608 | 1.1 | |||||||||
Wireless Telecommunication Services | 279,883 | 0.9 | |||||||||
Multiline Retail | 273,132 | 0.9 | |||||||||
Commercial Services & Supplies | 270,048 | 0.9 | |||||||||
$ | 29,597,392 | 100.0 | % |
See Notes to Financial Statements
90
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Morgan Stanley Select Dimensions Investment Series
Financial Statements
Statements of Assets and Liabilities
December 31, 2009
Money Market | Flexible Income | Balanced | Global Infrastructure | Dividend Growth | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 142,041,805 | (1) | $ | 28,727,480 | $ | 39,729,877 | $ | 35,234,666 | $ | 98,510,915 | ||||||||||||
Investments in affiliates, at value** | — | 1,491,824 | 2,352,237 | 30,064 | 799,346 | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | 52,087 | 38 | — | — | ||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | 795 | — | 53,568 | — | ||||||||||||||||||
Cash | 5,359 | 4,178 | (2) | — | 10,607 | (2) | — | ||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | — | 18,472 | 2,481 | — | — | ||||||||||||||||||
Interest | 39,844 | 415,394 | 104,831 | — | — | ||||||||||||||||||
Dividends | — | — | 49,269 | 83,553 | 152,923 | ||||||||||||||||||
Shares of beneficial interest sold | — | 857 | — | — | — | ||||||||||||||||||
Foreign withholding taxes reclaimed | — | 443 | 6,398 | 35,562 | 3,553 | ||||||||||||||||||
Variation margin | — | 15,106 | 3,099 | — | — | ||||||||||||||||||
Interest and dividends from affiliates | — | 2,579 | 1,938 | 30 | 102 | ||||||||||||||||||
Periodic interest on open swap contracts | — | 28 | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 14,227 | 4,189 | 4,831 | 2,247 | 8,631 | ||||||||||||||||||
Total Assets | 142,101,235 | 30,733,432 | 42,254,999 | 35,450,297 | 99,475,470 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Unrealized depreciation on open swap contracts | — | 202,387 | — | — | — | ||||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | 102 | — | 30,351 | — | ||||||||||||||||||
Written options outstanding, at value | — | — | — | 21,877 | (3) | 1,298 | (3) | ||||||||||||||||
Payable to bank | — | — | — | — | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Shares of beneficial interest redeemed | 250,442 | 30,333 | 17,127 | 10,909 | 37,957 | ||||||||||||||||||
Investment advisory fee | 11,952 | 8,092 | 18,435 | 17,007 | 45,780 | ||||||||||||||||||
Swap contracts termination | — | 146,184 | — | — | — | ||||||||||||||||||
Distribution fee | — | 3,502 | 3,476 | 2,192 | 4,958 | ||||||||||||||||||
Administration fee | 6,194 | 2,070 | 2,890 | 2,390 | 6,748 | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Premium received on open swap contracts | — | 5,251 | — | — | — | ||||||||||||||||||
Transfer agent fee | 500 | 500 | 500 | 500 | 500 | ||||||||||||||||||
Periodic interest on open swap contracts | — | 724 | 4 | — | — | ||||||||||||||||||
Accrued expenses and other payables | 45,944 | 53,505 | 42,367 | 79,625 | 55,577 | ||||||||||||||||||
Total Liabilities | 315,032 | 452,650 | 84,799 | 164,851 | 152,818 | ||||||||||||||||||
Net Assets | $ | 141,786,203 | $ | 30,280,782 | $ | 42,170,200 | $ | 35,285,446 | $ | 99,322,652 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 141,782,707 | $ | 57,934,013 | $ | 43,441,034 | $ | 29,172,828 | $ | 180,005,093 | |||||||||||||
Net unrealized appreciation (depreciation) | — | (1,945,877 | ) | 1,098,147 | 4,676,598 | 3,622,152 | |||||||||||||||||
Accumulated undistributed net investment income (net investment loss) | 3,496 | 1,682,126 | 783,495 | 528,597 | 1,544,040 | ||||||||||||||||||
Accumulated net realized gain (loss) | — | (27,389,480 | ) | (3,152,476 | ) | 907,423 | (85,848,633 | ) | |||||||||||||||
Net Assets | $ | 141,786,203 | $ | 30,280,782 | $ | 42,170,200 | $ | 35,285,446 | $ | 99,322,652 | |||||||||||||
* Cost | $ | 142,041,805 | $ | 30,667,039 | $ | 38,605,459 | $ | 30,575,684 | $ | 94,891,887 | |||||||||||||
** Affiliated Cost | $ | — | $ | 1,470,736 | $ | 2,400,344 | $ | 30,064 | $ | 799,346 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 40,771,136 | $ | 13,923,704 | $ | 25,960,545 | $ | 24,952,956 | $ | 75,962,024 | |||||||||||||
Shares Outstanding (unlimited shares authorized, $.01 par value) | 40,770,305 | 2,290,692 | 2,030,229 | 1,100,091 | 5,295,659 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 6.08 | $ | 12.79 | $ | 22.68 | $ | 14.34 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 101,015,067 | $ | 16,357,078 | $ | 16,209,655 | $ | 10,332,490 | $ | 23,360,628 | |||||||||||||
Shares Outstanding (unlimited shares authorized, $.01 par value) | 101,012,402 | 2,707,440 | 1,274,019 | 456,642 | 1,633,368 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 6.04 | $ | 12.72 | $ | 22.63 | $ | 14.30 |
(1) Including repurchase agreements of $48,064,000.
(2) Including foreign currency valued at $4,127 and $10,606, respectively with a cost of $4,125 and $10,541, respectively.
(3) Premium received $12,220 and $4,422, respectively.
See Notes to Financial Statements
92
Equally- Weighted S&P 500 | Capital Growth | Focus Growth | Capital Opportunities | Mid Cap Growth | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 99,775,166 | $ | 29,501,687 | $ | 88,244,773 | $ | 21,574,901 | $ | 28,835,425 | |||||||||||||
Investments in affiliates, at value** | 604,174 | 145,507 | 1,811,621 | 544,539 | 761,967 | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Cash | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | 906,198 | — | — | — | — | ||||||||||||||||||
Interest | — | — | — | — | — | ||||||||||||||||||
Dividends | 132,438 | 3,203 | 10,777 | 881 | 10,018 | ||||||||||||||||||
Shares of beneficial interest sold | — | 9,018 | 16,444 | 1,817 | 26,750 | ||||||||||||||||||
Foreign withholding taxes reclaimed | 532 | — | — | — | — | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Interest and dividends from affiliates | 406 | 32 | 451 | 142 | 99 | ||||||||||||||||||
Periodic interest on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 19,511 | 2,683 | 13,005 | 1,958 | 3,993 | ||||||||||||||||||
Total Assets | 101,438,425 | 29,662,130 | 90,097,071 | 22,124,238 | 29,638,252 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Unrealized depreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Written options outstanding, at value | — | — | — | — | — | ||||||||||||||||||
Payable to bank | 147,401 | — | — | — | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Shares of beneficial interest redeemed | 32,078 | 1,114 | 16,314 | 612 | 13,395 | ||||||||||||||||||
Investment advisory fee | 10,159 | 12,274 | 40,519 | 12,331 | 10,328 | ||||||||||||||||||
Swap contracts termination | — | — | — | — | — | ||||||||||||||||||
Distribution fee | 12,162 | 3,727 | 4,616 | 2,626 | 1,734 | ||||||||||||||||||
Administration fee | 6,829 | 1,977 | 6,034 | 1,492 | 1,995 | ||||||||||||||||||
Variation margin | 9,120 | — | — | — | — | ||||||||||||||||||
Premium received on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Transfer agent fee | 500 | 500 | 500 | 500 | 500 | ||||||||||||||||||
Periodic interest on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Accrued expenses and other payables | 89,478 | 30,961 | 49,592 | 50,849 | 33,298 | ||||||||||||||||||
Total Liabilities | 307,727 | 50,553 | 117,575 | 68,410 | 61,250 | ||||||||||||||||||
Net Assets | $ | 101,130,698 | $ | 29,611,577 | $ | 89,979,496 | $ | 22,055,828 | $ | 29,577,002 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 72,627,172 | $ | 46,145,245 | $ | 164,207,344 | $ | 77,588,756 | $ | 43,090,370 | |||||||||||||
Net unrealized appreciation (depreciation) | 38,822,331 | 3,295,508 | 9,126,701 | 4,397,610 | (183,624 | ) | |||||||||||||||||
Accumulated undistributed net investment income (net investment loss) | 1,361,039 | (27,090 | ) | (91,045 | ) | (24,930 | ) | 11,008 | |||||||||||||||
Accumulated net realized gain (loss) | (11,679,844 | ) | (19,802,086 | ) | (83,263,504 | ) | (59,905,608 | ) | (13,340,752 | ) | |||||||||||||
Net Assets | $ | 101,130,698 | $ | 29,611,577 | $ | 89,979,496 | $ | 22,055,828 | $ | 29,577,002 | |||||||||||||
* Cost | $ | 61,111,028 | $ | 26,206,211 | $ | 79,118,140 | $ | 17,177,310 | $ | 29,019,067 | |||||||||||||
** Affiliated Cost | $ | 435,617 | $ | 145,507 | $ | 1,811,621 | $ | 544,539 | $ | 761,967 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 43,553,090 | $ | 11,747,752 | $ | 67,932,363 | $ | 9,601,098 | $ | 21,310,272 | |||||||||||||
Shares Outstanding (unlimited shares authorized, $.01 par value) | 2,775,354 | 622,810 | 3,861,363 | 736,213 | 799,694 | ||||||||||||||||||
Net Asset Value Per Share | $ | 15.69 | $ | 18.86 | $ | 17.59 | $ | 13.04 | $ | 26.65 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 57,577,608 | $ | 17,863,825 | $ | 22,047,133 | $ | 12,454,730 | $ | 8,266,730 | |||||||||||||
Shares Outstanding (unlimited shares authorized, $.01 par value) | 3,717,058 | 963,385 | 1,266,820 | 978,309 | 316,078 | ||||||||||||||||||
Net Asset Value Per Share | $ | 15.49 | $ | 18.54 | $ | 17.40 | $ | 12.73 | $ | 26.15 |
93
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Operations
For the year ended December 31, 2009
Money Market | Flexible Income | Balanced | Global Infrastructure | Dividend Growth | |||||||||||||||||||
Net Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Dividends† | $ | — | $ | 5,128 | $ | 654,225 | $ | 1,395,526 | $ | 2,274,565 | |||||||||||||
Interest† | 776,320 | 1,946,392 | 430,390 | — | — | ||||||||||||||||||
Interest and dividends from affiliates† | — | 15,634 | 14,857 | 870 | 1,876 | ||||||||||||||||||
Total Income | 776,320 | 1,967,154 | 1,099,472 | 1,396,396 | 2,276,441 | ||||||||||||||||||
†Net of foreign withholding taxes | — | 1,461 | 16,639 | 123,204 | 35,112 | ||||||||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 837,831 | 96,794 | 209,247 | 190,941 | 509,509 | ||||||||||||||||||
Administration fee | 93,092 | 24,198 | 32,192 | 26,799 | 74,790 | ||||||||||||||||||
Distribution fee (Class Y shares) | 352,977 | 40,153 | 39,519 | 24,435 | 55,563 | ||||||||||||||||||
Mutual fund insurance (Note 9) | 51,984 | — | — | — | — | ||||||||||||||||||
Professional fees | 54,759 | 89,286 | 46,194 | 72,366 | 47,876 | ||||||||||||||||||
Shareholder reports and notices | 30,293 | 23,248 | 14,489 | 58,831 | 27,485 | ||||||||||||||||||
Custodian fees | 5,100 | 11,782 | 3,966 | 105,435 | 3,406 | ||||||||||||||||||
Trustees' fees and expenses | 4,969 | 980 | 1,076 | 934 | 2,343 | ||||||||||||||||||
Transfer agent fees and expenses | 500 | 500 | 500 | 500 | 500 | ||||||||||||||||||
Other | 17,445 | 34,600 | 24,207 | 19,635 | 10,033 | ||||||||||||||||||
Total Expenses | 1,448,950 | 321,541 | 371,390 | 499,876 | 731,505 | ||||||||||||||||||
Less: amounts waived | (703,799 | ) | — | — | — | — | |||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 6) | — | (2,912 | ) | (2,402 | ) | (403 | ) | (895 | ) | ||||||||||||||
Net Expenses | 745,151 | 318,629 | 368,988 | 499,473 | 730,610 | ||||||||||||||||||
Net Investment Income (Loss) | 31,169 | 1,648,525 | 730,484 | 896,923 | 1,545,831 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Net Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | 3,679 | (3,869,872 | ) | (832,988 | ) | 2,272,234 | (8,640,860 | ) | |||||||||||||||
Investments in affiliates | — | — | (25,930 | ) | — | — | |||||||||||||||||
Futures contracts | — | 24,470 | 9,172 | — | — | ||||||||||||||||||
Swap contracts | — | 1,171,050 | 664,769 | — | — | ||||||||||||||||||
Options written | — | (21,913 | ) | (8,946 | ) | 1,374 | 89,207 | ||||||||||||||||
Forward foreign currency contracts | — | 8,208 | (747 | ) | (354,903 | ) | — | ||||||||||||||||
Foreign currency translation | — | (37,171 | ) | 40 | 18,564 | — | |||||||||||||||||
Net Realized Gain (Loss) | 3,679 | (2,725,228 | ) | (194,630 | ) | 1,937,269 | (8,551,653 | ) | |||||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | — | 7,201,297 | 7,106,999 | 2,636,385 | 26,817,095 | ||||||||||||||||||
Investments in affiliates | — | 21,088 | (48,107 | ) | — | — | |||||||||||||||||
Futures contracts | — | 290,968 | 115,178 | — | — | ||||||||||||||||||
Swap contracts | — | (1,032,685 | ) | (698,548 | ) | — | — | ||||||||||||||||
Options written | — | 25,553 | 10,411 | (9,657 | ) | 3,124 | |||||||||||||||||
Forward foreign currency contracts | — | 3,016 | — | (22,046 | ) | — | |||||||||||||||||
Foreign currency translation | — | 1,495 | — | 1,624 | — | ||||||||||||||||||
Net Change in Unrealized Appreciation/Depreciation | — | 6,510,732 | 6,485,933 | 2,606,306 | 26,820,219 | ||||||||||||||||||
Net Gain | 3,679 | 3,785,504 | 6,291,303 | 4,543,575 | 18,268,566 | ||||||||||||||||||
Net Increase | $ | 34,848 | $ | 5,434,029 | $ | 7,021,787 | $ | 5,440,498 | $ | 19,814,397 |
See Notes to Financial Statements
94
Equally- Weighted S&P 500 | Capital Growth | Focus Growth | Capital Opportunities | Mid Cap Growth | |||||||||||||||||||
Net Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Dividends† | $ | 1,824,381 | $ | 253,933 | $ | 658,545 | $ | 182,775 | $ | 236,972 | |||||||||||||
Interest† | — | — | — | — | — | ||||||||||||||||||
Interest and dividends from affiliates† | 7,509 | 2,673 | 5,373 | 1,660 | 2,254 | ||||||||||||||||||
Total Income | 1,831,890 | 256,606 | 663,918 | 184,435 | 239,226 | ||||||||||||||||||
†Net of foreign withholding taxes | — | 5,614 | 23,824 | 4,191 | 4,508 | ||||||||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 105,157 | 126,326 | 413,659 | 124,567 | 104,236 | ||||||||||||||||||
Administration fee | 70,105 | 20,212 | 60,720 | 14,874 | 19,855 | ||||||||||||||||||
Distribution fee (Class Y shares) | 124,561 | 38,376 | 45,388 | 26,266 | 16,531 | ||||||||||||||||||
Mutual fund insurance (Note 9) | — | — | — | — | — | ||||||||||||||||||
Professional fees | 59,251 | 48,783 | 46,254 | 60,775 | 47,765 | ||||||||||||||||||
Shareholder reports and notices | 37,247 | 16,897 | 44,173 | 9,847 | 20,974 | ||||||||||||||||||
Custodian fees | 27,072 | 8,965 | 7,931 | 10,046 | 8,157 | ||||||||||||||||||
Trustees' fees and expenses | 2,605 | 713 | 1,840 | 562 | 558 | ||||||||||||||||||
Transfer agent fees and expenses | 500 | 500 | 500 | 500 | 500 | ||||||||||||||||||
Other | 20,959 | 7,529 | 9,074 | 7,411 | 7,965 | ||||||||||||||||||
Total Expenses | 447,457 | 268,301 | 629,539 | 254,848 | 226,541 | ||||||||||||||||||
Less: amounts waived | — | — | — | — | — | ||||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 6) | (711 | ) | (1,054 | ) | (2,848 | ) | (811 | ) | (932 | ) | |||||||||||||
Net Expenses | 446,746 | 267,247 | 626,691 | 254,037 | 225,609 | ||||||||||||||||||
Net Investment Income (Loss) | 1,385,144 | (10,641 | ) | 37,227 | (69,602 | ) | 13,617 | ||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Net Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | (7,755,391 | ) | 580,432 | (618,814 | ) | (70,140 | ) | (191,967 | ) | ||||||||||||||
Investments in affiliates | (109,361 | ) | — | — | — | — | |||||||||||||||||
Futures contracts | 274,412 | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Options written | — | — | — | — | — | ||||||||||||||||||
Forward foreign currency contracts | — | 2,603 | (4,429 | ) | (1,311 | ) | (2,208 | ) | |||||||||||||||
Foreign currency translation | — | (1,738 | ) | 189 | 2,280 | 1,994 | |||||||||||||||||
Net Realized Gain (Loss) | (7,590,340 | ) | 581,297 | (623,054 | ) | (69,171 | ) | (192,181 | ) | ||||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | 39,023,797 | 12,096,554 | 41,344,880 | 9,763,636 | 11,842,424 | ||||||||||||||||||
Investments in affiliates | 229,651 | — | — | — | — | ||||||||||||||||||
Futures contracts | (15,898 | ) | — | — | — | — | |||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Options written | — | — | — | — | — | ||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Foreign currency translation | — | 22 | 70 | 12 | 10 | ||||||||||||||||||
Net Change in Unrealized Appreciation/Depreciation | 39,237,550 | 12,096,576 | 41,344,950 | 9,763,648 | 11,842,434 | ||||||||||||||||||
Net Gain | 31,647,210 | 12,677,873 | 40,721,896 | 9,694,477 | 11,650,253 | ||||||||||||||||||
Net Increase | $ | 33,032,354 | $ | 12,667,232 | $ | 40,759,123 | $ | 9,624,875 | $ | 11,663,870 |
95
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets
Money Market | Flexible Income | Balanced | |||||||||||||||||||||||||
For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income | $ | 31,169 | $ | 3,480,741 | $ | 1,648,525 | $ | 2,545,573 | $ | 730,484 | $ | 1,418,795 | |||||||||||||||
Net realized gain (loss) | 3,679 | — | (2,725,228 | ) | (8,437,054 | ) | (194,630 | ) | (2,343,300 | ) | |||||||||||||||||
Net change in unrealized appreciation/depreciation | — | — | 6,510,732 | (3,817,917 | ) | 6,485,933 | (13,140,467 | ) | |||||||||||||||||||
Net Increase (Decrease) | 34,848 | 3,480,741 | 5,434,029 | (9,709,398 | ) | 7,021,787 | (14,064,972 | ) | |||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||
Class X shares | (10,917 | ) | (939,829 | ) | (1,003,665 | ) | (443,828 | ) | (750,282 | ) | (278,395 | ) | |||||||||||||||
Class Y shares | (20,411 | ) | (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 | (31,328 | ) | (3,480,649 | ) | (2,136,286 | ) | (911,642 | ) | (1,187,900 | ) | (7,458,466 | ) | |||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (74,002,763 | ) | 93,025,321 | (3,417,770 | ) | (8,494,169 | ) | (5,936,768 | ) | (6,225,884 | ) | ||||||||||||||||
Net Increase (Decrease) | (73,999,243 | ) | 93,025,413 | (120,027 | ) | (19,115,209 | ) | (102,881 | ) | (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 | $ | 141,786,203 | $ | 215,785,446 | $ | 30,280,782 | $ | 30,400,809 | $ | 42,170,200 | $ | 42,273,081 | |||||||||||||||
Accumulated Undistributed Net Investment Income | $ | 3,496 | $ | 159 | $ | 1,682,126 | $ | 2,220,402 | $ | 783,495 | $ | 1,168,937 |
See Notes to Financial Statements
96
Global Infrastructure | Dividend Growth | ||||||||||||||||||
For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 896,923 | $ | 1,172,078 | $ | 1,545,831 | $ | 2,398,545 | |||||||||||
Net realized gain (loss) | 1,937,269 | 10,668,307 | (8,551,653 | ) | (17,850,412 | ) | |||||||||||||
Net change in unrealized appreciation/depreciation | 2,606,306 | (31,985,020 | ) | 26,820,219 | (50,149,070 | ) | |||||||||||||
Net Increase (Decrease) | 5,440,498 | (20,144,635 | ) | 19,814,397 | (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 | (6,206,557 | ) | (9,705,138 | ) | (20,474,343 | ) | (34,650,154 | ) | |||||||||||
Net Increase (Decrease) | (1,897,278 | ) | (30,162,232 | ) | (2,460,543 | ) | (100,913,682 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 37,182,724 | 67,344,956 | 101,783,195 | 202,696,877 | |||||||||||||||
End of Period | $ | 35,285,446 | $ | 37,182,724 | $ | 99,322,652 | $ | 101,783,195 | |||||||||||
Accumulated Undistributed Net Investment Income | $ | 528,597 | $ | 1,071,777 | $ | 1,544,040 | $ | 1,798,267 |
97
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 Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,385,144 | $ | 2,102,001 | $ | (10,641 | ) | $ | (130,399 | ) | $ | 37,227 | $ | (300,910 | ) | ||||||||||||
Net realized gain (loss) | (7,590,340 | ) | (135,269 | ) | 581,297 | (123,439 | ) | (623,054 | ) | (5,051,380 | ) | ||||||||||||||||
Net change in unrealized appreciation/depreciation | 39,237,550 | (64,387,939 | ) | 12,096,576 | (21,420,292 | ) | 41,344,950 | (68,239,875 | ) | ||||||||||||||||||
Net Increase (Decrease) | 33,032,354 | (62,421,207 | ) | 12,667,232 | (21,674,130 | ) | 40,759,123 | (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 | (9,453,683 | ) | 1,882,742 | (4,628,983 | ) | (6,205,790 | ) | (13,636,540 | ) | (27,436,195 | ) | ||||||||||||||||
Net Increase (Decrease) | 17,869,087 | (94,287,073 | ) | 8,038,249 | (27,933,132 | ) | 27,052,050 | (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 | $ | 101,130,698 | $ | 83,261,611 | $ | 29,611,577 | $ | 21,573,328 | $ | 89,979,496 | $ | 62,927,446 | |||||||||||||||
Accumulated Undistributed Net Investment Income (Net Investment Loss) | $ | 1,361,039 | $ | 2,108,550 | $ | (27,090 | ) | $ | (459 | ) | $ | (91,045 | ) | $ | (118,510 | ) |
See Notes to Financial Statements
98
Capital Opportunities | Mid Cap Growth | ||||||||||||||||||
For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (69,602 | ) | $ | (138,895 | ) | $ | 13,617 | $ | (92,812 | ) | ||||||||
Net realized gain (loss) | (69,171 | ) | (2,141,345 | ) | (192,181 | ) | (1,330,335 | ) | |||||||||||
Net change in unrealized appreciation/depreciation | 9,763,648 | (13,749,028 | ) | 11,842,434 | (20,148,607 | ) | |||||||||||||
Net Increase (Decrease) | 9,624,875 | (16,029,268 | ) | 11,663,870 | (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 | (2,884,300 | ) | (4,125,299 | ) | (3,578,703 | ) | (7,549,908 | ) | |||||||||||
Net Increase (Decrease) | 6,740,575 | (20,154,567 | ) | 8,085,167 | (29,365,201 | ) | |||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 15,315,253 | 35,469,820 | 21,491,835 | 50,857,036 | |||||||||||||||
End of Period | $ | 22,055,828 | $ | 15,315,253 | $ | 29,577,002 | $ | 21,491,835 | |||||||||||
Accumulated Undistributed Net Investment Income (Net Investment Loss) | $ | (24,930 | ) | $ | 18,697 | $ | 11,008 | $ | (2,507 | ) |
99
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 Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 23,532,252 | 21,538,342 | 122,598 | 71,029 | 205,613 | 40,927 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 10,917 | 939,829 | 181,167 | 64,680 | 69,989 | 339,971 | |||||||||||||||||||||
Redeemed | (24,962,965 | ) | (18,323,669 | ) | (713,172 | ) | (823,887 | ) | (527,590 | ) | (689,333 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | (1,419,796 | ) | 4,154,502 | (409,407 | ) | (688,178 | ) | (251,988 | ) | (308,435 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 23,532,252 | $ | 21,538,342 | $ | 702,112 | $ | 403,477 | $ | 2,288,162 | $ | 533,009 | |||||||||||||||
Reinvestment of dividends and distributions | 10,917 | 939,829 | 1,003,665 | 443,828 | 750,282 | 4,443,520 | |||||||||||||||||||||
Redeemed | (24,962,965 | ) | (18,323,669 | ) | (4,093,617 | ) | (5,207,215 | ) | (5,871,276 | ) | (9,409,851 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | $ | (1,419,796 | ) | $ | 4,154,502 | $ | (2,387,840 | ) | $ | (4,359,910 | ) | $ | (2,832,832 | ) | $ | (4,433,322 | ) | ||||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 21,918,415 | 139,265,862 | 281,684 | 306,600 | 32,359 | 54,637 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 20,411 | 2,540,820 | 205,557 | 68,448 | 40,975 | 231,801 | |||||||||||||||||||||
Redeemed | (94,521,793 | ) | (52,935,863 | ) | (662,492 | ) | (1,067,817 | ) | (349,414 | ) | (419,750 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | (72,582,967 | ) | 88,870,819 | (175,251 | ) | (692,769 | ) | (276,080 | ) | (133,312 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 21,918,415 | $ | 139,265,862 | $ | 1,600,793 | $ | 1,972,386 | $ | 351,813 | $ | 729,768 | |||||||||||||||
Reinvestment of dividends and distributions | 20,411 | 2,540,820 | 1,132,621 | 467,814 | 437,618 | 3,014,946 | |||||||||||||||||||||
Redeemed | (94,521,793 | ) | (52,935,863 | ) | (3,763,344 | ) | (6,574,459 | ) | (3,893,367 | ) | (5,537,276 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | $ | (72,582,967 | ) | $ | 88,870,819 | $ | (1,029,930 | ) | $ | (4,134,259 | ) | $ | (3,103,936 | ) | $ | (1,792,562 | ) |
See Notes to Financial Statements
100
Global Infrastructure | Dividend Growth | ||||||||||||||||||
For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 40,541 | 19,928 | 65,164 | 22,280 | |||||||||||||||
Reinvestment of dividends and distributions | 42,358 | 8,601 | 119,678 | 31,118 | |||||||||||||||
Redeemed | (308,662 | ) | (334,421 | ) | (1,465,877 | ) | (1,721,581 | ) | |||||||||||
Net Increase (Decrease) - Class X | (225,763 | ) | (305,892 | ) | (1,281,035 | ) | (1,668,183 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 802,001 | $ | 505,860 | $ | 821,495 | $ | 258,592 | |||||||||||
Reinvestment of dividends and distributions | 820,899 | 228,880 | 1,414,595 | 524,657 | |||||||||||||||
Redeemed | (6,042,158 | ) | (8,392,248 | ) | (17,440,567 | ) | (26,613,525 | ) | |||||||||||
Net Increase (Decrease) - Class X | $ | (4,419,258 | ) | $ | (7,657,508 | ) | $ | (15,204,477 | ) | $ | (25,830,276 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 27,618 | 73,907 | 57,615 | 33,846 | |||||||||||||||
Reinvestment of dividends and distributions | 16,029 | 3,143 | 32,712 | 8,191 | |||||||||||||||
Redeemed | (137,348 | ) | (157,444 | ) | (532,525 | ) | (600,343 | ) | |||||||||||
Net Increase (Decrease) - Class Y | (93,701 | ) | (80,394 | ) | (442,198 | ) | (558,306 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 544,472 | $ | 1,886,951 | $ | 653,317 | $ | 534,770 | |||||||||||
Reinvestment of dividends and distributions | 310,320 | 83,579 | 386,002 | 137,934 | |||||||||||||||
Redeemed | (2,642,091 | ) | (4,018,160 | ) | (6,309,185 | ) | (9,492,582 | ) | |||||||||||
Net Increase (Decrease) - Class Y | $ | (1,787,299 | ) | $ | (2,047,630 | ) | $ | (5,269,866 | ) | $ | (8,819,878 | ) |
101
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 Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 85,681 | 45,914 | 31,329 | 15,330 | 46,132 | 13,579 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 205,238 | 854,720 | — | 2,641 | 5,295 | 19,481 | |||||||||||||||||||||
Redeemed | (687,136 | ) | (791,694 | ) | (167,913 | ) | (244,005 | ) | (943,893 | ) | (1,220,491 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | (396,217 | ) | 108,940 | (136,584 | ) | (226,034 | ) | (892,466 | ) | (1,187,431 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 1,108,596 | $ | 626,399 | $ | 474,904 | $ | 237,995 | $ | 680,683 | $ | 209,355 | |||||||||||||||
Reinvestment of dividends and distributions | 2,497,741 | 14,709,730 | — | 52,598 | 70,533 | 378,716 | |||||||||||||||||||||
Redeemed | (8,620,430 | ) | (14,439,208 | ) | (2,353,678 | ) | (4,302,340 | ) | (12,485,193 | ) | (20,577,432 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | $ | (5,014,093 | ) | $ | 896,921 | $ | (1,878,774 | ) | $ | (4,011,747 | ) | $ | (11,733,977 | ) | $ | (19,989,361 | ) | ||||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 143,074 | 96,471 | 105,217 | 185,940 | 125,006 | 59,759 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 267,208 | 1,119,934 | — | 32 | — | 922 | |||||||||||||||||||||
Redeemed | (749,130 | ) | (1,142,802 | ) | (299,590 | ) | (293,052 | ) | (257,529 | ) | (498,859 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | (338,848 | ) | 73,603 | (194,373 | ) | (107,080 | ) | (132,523 | ) | (438,178 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 1,655,307 | $ | 1,754,862 | $ | 1,488,379 | $ | 2,868,438 | $ | 1,546,171 | $ | 1,067,781 | |||||||||||||||
Reinvestment of dividends and distributions | 3,211,843 | 19,038,878 | — | 614 | — | 17,783 | |||||||||||||||||||||
Redeemed | (9,306,740 | ) | (19,807,919 | ) | (4,238,588 | ) | (5,063,095 | ) | (3,448,734 | ) | (8,532,398 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | $ | (4,439,590 | ) | $ | 985,821 | $ | (2,750,209 | ) | $ | (2,194,043 | ) | $ | (1,902,563 | ) | $ | (7,446,834 | ) |
See Notes to Financial Statements
102
Capital Opportunities | Mid Cap Growth | ||||||||||||||||||
For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | For The Year Ended December 31, 2009 | For The Year Ended December 31, 2008 | ||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 41,405 | 22,242 | 12,864 | 11,659 | |||||||||||||||
Reinvestment of dividends and distributions | — | — | — | 6,957 | |||||||||||||||
Redeemed | (183,294 | ) | (279,009 | ) | (177,705 | ) | (236,726 | ) | |||||||||||
Net Increase (Decrease) - Class X | (141,889 | ) | (256,767 | ) | (164,841 | ) | (218,110 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 465,679 | $ | 247,289 | $ | 271,252 | $ | 282,887 | |||||||||||
Reinvestment of dividends and distributions | — | — | — | 200,849 | |||||||||||||||
Redeemed | (1,852,397 | ) | (3,438,512 | ) | (3,567,865 | ) | (6,229,858 | ) | |||||||||||
Net Increase (Decrease) - Class X | $ | (1,386,718 | ) | $ | (3,191,223 | ) | $ | (3,296,613 | ) | $ | (5,746,122 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 144,491 | 234,377 | 51,866 | 31,369 | |||||||||||||||
Reinvestment of dividends and distributions | — | — | — | 1,501 | |||||||||||||||
Redeemed | (306,112 | ) | (335,799 | ) | (70,409 | ) | (102,005 | ) | |||||||||||
Net Increase (Decrease) - Class Y | (161,621 | ) | (101,422 | ) | (18,543 | ) | (69,135 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 1,449,714 | $ | 2,941,000 | $ | 1,151,962 | $ | 816,596 | |||||||||||
Reinvestment of dividends and distributions | — | — | — | 42,690 | |||||||||||||||
Redeemed | (2,947,296 | ) | (3,875,076 | ) | (1,434,052 | ) | (2,663,072 | ) | |||||||||||
Net Increase (Decrease) - Class Y | $ | (1,497,582 | ) | $ | (934,076 | ) | $ | (282,090 | ) | $ | (1,803,786 | ) |
103
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009
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. | ||||||
Morgan Stanley announced on October 19, 2009 that it has entered into a definitive agreement to sell substantially all of its retail asset management business to Invesco Ltd. ("Invesco"), a leading global investment management company. The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization with respect to the Balanced, Dividend Growth and Equally-Weighted S&P 500 portfolios
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Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
(each a "Plan"). Pursuant to each Plan, substantially all of the assets of the applicable Portfolio would be combined with those of a newly organized mutual fund advised by an affiliate of Invesco Ltd. (each a "New Portfolio"). Pursuant to each Plan, shareholders of the applicable Portfolio would become shareholders of a New Portfolio, receiving shares of such New Portfolio equal to the value of their holdings in the Portfolio. Each Plan is subject to the approval of the applicable Portfolio's shareholders at a special meeting of shareholders anticipated to be held during the second quarter of 2010.
The following is a summary of significant accounting policies:
A. Valuation of Investments — Money Market: Portfolio securities are valued at amortized cost, which approximates market value, in accordance with Rule 2a-7 under the Act. All remaining Portfolios: (1) an equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange or other exchange is valued at its latest sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (3) all other portfolio securities for which over-the-counter market quotations are readily available are valu ed at the mean between the last reported bid and ask price. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) credit default/interest rate/asset swaps are marked-to-market daily based upon quotations from market makers; (7) listed options are valued at the latest sale price on the exchange on which they are listed unless no sales of such options have taken place that day, in which case they are valued at the mean between their latest bid and ask 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"), each a wholly owned subsidiary of Morgan Stanley, determines that the latest sale price, the bid price or the mean between the last reported bid and ask price do not reflect a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to
105
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Notes to Financial Statements n December 31, 2009 continued
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 having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates market value.
B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date except for 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. Discounts are accreted and premiums are amortized over the life of the respective securities and are included in interest income.
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 — A futures contract is an agreement between two parties to buy and sell financial instruments or contracts based on financial indices at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker cash, U.S. Government securities or other liquid portfolio securities equal to the minimum initial margin requirements of the applicable futures exchange. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments known as variation margin are recorded by the Fund as unrealized gains and losses. Upon closing of the contract, the Fund realizes a gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
106
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
F. Swaps — Certain Portfolios 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 of underlying issue in which the Portfolio 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 c redit default swap contract would be required to pay an agreed-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 Portfolio accrues for the periodic fees on credit default swaps on a daily basis as earned 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 Portfolio had invested in the issuer directly. Credit default swaps are subject to general market risk, counterparty risk and credit risk.
Certain Portfolios 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) primarily to preserve a return or spread on a
107
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
particular investment or portion of its portfolio, as a duration management technique or to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date. These are contractual agreements to exchange periodic interest payment streams calculated on a predetermined notional principal amount. They generally involve one party paying a fixed interest rate and the other party paying a variable rate. The Portfolio will usually enter into them 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 Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio 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 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 Portfolio 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 Portfolio with a value approximately equal to the amount of any unrealized gain. Reciprocally, when the Portfolio has an unrealized loss on a swap contract, the Portfolio has instructed the custodian to pledge cash or liquid securities as collateral with a value approximately equal to the amount of the unrealized loss. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate. For cash collateral received, the Portfolio pays a monthly 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
108
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
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 by the premium originally paid. The maximum exposure of loss for any purchased option is limited to the premium initially paid for the option.
H. Treasury Inflation-Protected Securities — Certain Portfolios 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 Pricing 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 Portfolio'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 currency translations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains/losses included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of the securities held. Forward contracts are valued daily at the appropriate exchange rates. The resultant unrealized exchange gains and losses are recorded as unrealized foreign currency translation 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.
109
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
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 recognizes the tax effects of a tax position taken or expected to be taken in a tax return only if it is more likely than not to be sustained based solely on its technical merits as of the reporting date. The more-likely-than-not threshold must continue to be met in each reporting period to support continued recognition of the benefit. The difference between the tax benefit recognized in the financial statements for a tax position taken and the tax benefit claimed in the income tax return is referred to as an unrecognized tax benefit. There are no unrecognized tax benefits in the accompanying financial statements. If applicable, the Fund recognizes 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, 2009, 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 ("GAAP") 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 Statements 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 February 26, 2010, the date of issuance of these financial statements.
2. Fair Valuation Measurements
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. GAAP utilizes 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
110
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
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.
The following is the summary of the inputs used as of December 31, 2009 in valuing the Fund's investments carried at fair value:
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Money Market | |||||||||||||||||||
Short-Term Investments | |||||||||||||||||||
Repurchase Agreements | $ | 48,064,000 | — | $ | 48,064,000 | — | |||||||||||||
Commercial Paper | 38,981,030 | — | 38,981,030 | — | |||||||||||||||
Certificates of Deposit | 29,000,060 | — | 29,000,060 | — | |||||||||||||||
Floating Rate Notes — Corporate | 10,000,000 | — | 10,000,000 | — | |||||||||||||||
Floating Rate Notes — US Government Agencies | 8,996,715 | — | 8,996,715 | — | |||||||||||||||
Short-Term Bank Note | 7,000,000 | — | 7,000,000 | — | |||||||||||||||
Total | $ | 142,041,805 | — | $ | 142,041,805 | — |
111
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Flexible Income | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Casino/Gaming | $ | 0 | — | — | $ | 0 | |||||||||||||
Communications Equipment | 1,532 | $ | 1,520 | — | 12 | ||||||||||||||
Diversified Telecommunication Services | 64 | — | $ | 64 | — | ||||||||||||||
Food Products | 0 | — | — | 0 | |||||||||||||||
Multi-Utilities | 164 | 164 | — | ||||||||||||||||
Textile — Apparel | 0 | — | — | 0 | |||||||||||||||
Wireless Telecommunication Services | 507 | 507 | — | — | |||||||||||||||
Total Common Stocks | 2,267 | 2,191 | 64 | 12 | |||||||||||||||
Warrants | |||||||||||||||||||
Casino/Gaming | 0 | — | — | 0 | |||||||||||||||
Specialty Telecommunications | 3 | — | 3 | — | |||||||||||||||
Total Warrants | 3 | — | 3 | 0 | |||||||||||||||
Preferred Stocks | 54,053 | — | 54,053 | — | |||||||||||||||
Asset-Backed Security | 14,279 | — | 14,279 | — | |||||||||||||||
Collateralized Mortgage Obligations — Private Issues | 24,202 | — | 24,202 | — | |||||||||||||||
Corporate Bonds | 17,129,296 | — | 17,129,296 | 0 | |||||||||||||||
Foreign Government Agencies & Obligations | 2,513,433 | — | 2,513,433 | — | |||||||||||||||
Mortgage-Backed Securities — U.S. Government Agencies | 305,774 | — | 305,774 | — | |||||||||||||||
Municipal Bonds | 116,771 | — | 116,771 | — | |||||||||||||||
U.S. Government Agencies & Obligations | 8,410,959 | — | 8,410,959 | — |
112
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | $ | 1,278,455 | $ | 1,278,455 | — | — | |||||||||||||
U.S. Government Obligation | 369,812 | — | $ | 369,812 | — | ||||||||||||||
Total Short-Term Investments | 1,648,267 | 1,278,455 | 369,812 | — | |||||||||||||||
Forward Foreign Currency Contracts | 795 | — | 795 | — | |||||||||||||||
Futures | 134,684 | 134,684 | — | — | |||||||||||||||
Interest Rate Swaps | 52,087 | — | 52,087 | — | |||||||||||||||
Total | $ | 30,406,870 | $ | 1,415,330 | $ | 28,991,528 | $ | 12 | |||||||||||
Liabilities | |||||||||||||||||||
Credit Default Swaps | $ | (23,522 | ) | — | $ | (23,522 | ) | — | |||||||||||
Forward Foreign Currency Contracts | (102 | ) | — | (102 | ) | — | |||||||||||||
Futures | (12,483 | ) | (12,483 | ) | — | — | |||||||||||||
Interest Rate Swaps | (178,865 | ) | — | (178,865 | ) | — | |||||||||||||
Total | $ | (214,972 | ) | $ | (12,483 | ) | $ | (202,489 | ) | — | |||||||||
Balanced | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 149,974 | $ | 149,974 | — | — | |||||||||||||
Air Freight & Logistics | 150,210 | 150,210 | — | — | |||||||||||||||
Automobiles | 195,810 | 195,810 | — | — | |||||||||||||||
Beverages | 279,870 | 279,870 | — | — | |||||||||||||||
Capital Markets | 611,925 | 611,925 | — | — | |||||||||||||||
Chemicals | 334,323 | 334,323 | — | — | |||||||||||||||
Commercial Banks | 1,420,405 | 1,420,405 | — | — | |||||||||||||||
Commercial Services & Supplies | 294,445 | 294,445 | — | — | |||||||||||||||
Communications Equipment | 458,930 | 458,930 | — | — | |||||||||||||||
Computers & Peripherals | 765,154 | 765,154 | — | — | |||||||||||||||
Diversified Financial Services | 2,230,720 | 2,230,720 | — | — | |||||||||||||||
Diversified Telecommunication Services | 319,042 | 319,042 | — | — | |||||||||||||||
Electric Utilities | 1,346,515 | 1,346,515 | — | — |
113
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Electronic Equipment, Instruments & Components | $ | 366,626 | $ | 366,626 | — | — | |||||||||||||
Energy Equipment & Services | 632,353 | 632,353 | — | — | |||||||||||||||
Food & Staples Retailing | 1,228,315 | 1,228,315 | — | — | |||||||||||||||
Food Products | 848,529 | 848,529 | — | — | |||||||||||||||
Health Care Equipment & Supplies | 631,848 | 631,848 | — | — | |||||||||||||||
Health Care Providers & Services | 449,120 | 449,120 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 78,404 | 78,404 | — | — | |||||||||||||||
Household Durables | 391,500 | 391,500 | — | — | |||||||||||||||
Industrial Conglomerates | 1,517,722 | 1,517,722 | — | — | |||||||||||||||
Insurance | 1,803,301 | 1,803,301 | — | — | |||||||||||||||
Internet Software & Services | 880,242 | 880,242 | — | — | |||||||||||||||
Machinery | 626,568 | 626,568 | — | — | |||||||||||||||
Media | 1,987,989 | 1,987,989 | — | — | |||||||||||||||
Metals & Mining | 425,879 | 425,879 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 3,461,750 | 3,461,750 | — | — | |||||||||||||||
Personal Products | 294,029 | 294,029 | — | — | |||||||||||||||
Pharmaceuticals | 2,449,715 | 2,449,715 | — | — | |||||||||||||||
Professional Services | 339,901 | 339,901 | — | — | |||||||||||||||
Semiconductors & Semiconductor Equipment | 594,128 | 594,128 | — | — | |||||||||||||||
Software | 74,351 | 74,351 | — | — | |||||||||||||||
Specialty Retail | 739,396 | 739,396 | — | — | |||||||||||||||
Wireless Telecommunication Services | 397,148 | 397,148 | — | — | |||||||||||||||
Total Common Stocks | 28,776,137 | 28,776,137 | — | — | |||||||||||||||
Convertible Preferred Stock | 105,140 | — | $ | 105,140 | — | ||||||||||||||
Corporate Bonds | 4,500,253 | — | 4,500,253 | — | |||||||||||||||
Foreign Government Obligations | 154,084 | — | 154,084 | — | |||||||||||||||
U.S. Government Agencies & Obligations | 6,813,634 | — | 6,813,634 | — |
114
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | $ | 1,632,918 | $ | 1,632,918 | — | — | |||||||||||||
U.S. Government Obligation | 99,948 | — | $ | 99,948 | — | ||||||||||||||
Total Short-Term Investments | 1,732,866 | 1,632,918 | 99,948 | — | |||||||||||||||
Credit Default Swaps | 38 | — | 38 | — | |||||||||||||||
Futures | 40,023 | 40,023 | — | — | |||||||||||||||
Total | $ | 42,122,175 | $ | 30,449,078 | $ | 11,673,097 | — | ||||||||||||
Liabilities | |||||||||||||||||||
Futures | $ | (18,225 | ) | $ | (18,225 | ) | — | — | |||||||||||
Global Infrastructure | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Communications Equipment | $ | 85,050 | $ | 85,050 | — | — | |||||||||||||
Construction & Engineering | 891,338 | 460,150 | $ | 431,188 | — | ||||||||||||||
Diversified Telecommunication Services | 1,157,700 | 97,050 | 1,060,650 | — | |||||||||||||||
Electric Utilities | 3,453,334 | 675,247 | 2,778,087 | — | |||||||||||||||
Gas Utilities | 2,319,550 | 1,192,334 | 1,127,216 | — | |||||||||||||||
Independent Power Producers & Energy Traders | 846,978 | 362,251 | 484,727 | — | |||||||||||||||
Machinery | 169,031 | — | 169,031 | — | |||||||||||||||
Metals & Mining | 498,080 | — | 498,080 | — | |||||||||||||||
Multi-Utilities | 5,570,771 | 1,195,506 | 4,375,265 | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 6,699,083 | 6,579,060 | 120,023 | — | |||||||||||||||
Transportation Infrastructure | 12,737,814 | 112,304 | 12,625,510 | — | |||||||||||||||
Wireless Telecommunications Services | 636,223 | — | 636,223 | — | |||||||||||||||
Total Common Stocks | 35,064,952 | 10,758,952 | 24,306,000 | — | |||||||||||||||
Preferred Stocks | 169,714 | — | 169,714 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 30,064 | 30,064 | — | — | |||||||||||||||
Forward Foreign Currency Contracts | 53,568 | — | 53,568 | — | |||||||||||||||
Total | $ | 35,318,298 | $ | 10,789,016 | $ | 24,529,282 | — |
115
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Liabilities | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | (30,351 | ) | — | $ | (30,351 | ) | — | |||||||||||
Options Written | (21,877 | ) | (21,877 | ) | — | — | |||||||||||||
Total | $ | (52,228 | ) | $ | (21,877 | ) | $ | (30,351 | ) | — | |||||||||
Dividend Growth | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 5,175,629 | $ | 5,175,629 | — | — | |||||||||||||
Biotechnology | 1,212,861 | 1,212,861 | — | — | |||||||||||||||
Capital Markets | 2,045,159 | 2,045,159 | — | — | |||||||||||||||
Chemicals | 1,361,976 | 1,361,976 | — | — | |||||||||||||||
Commercial Banks | 2,095,504 | 2,095,504 | — | — | |||||||||||||||
Commercial Services & Supplies | 942,264 | 942,264 | — | — | |||||||||||||||
Computers & Peripherals | 7,323,112 | 7,323,112 | — | — | |||||||||||||||
Construction & Engineering | 1,379,125 | 1,379,125 | — | — | |||||||||||||||
Diversified Financial Services | 2,836,894 | 2,836,894 | — | — | |||||||||||||||
Diversified Telecommunication Services | 2,027,578 | 2,027,578 | — | — | |||||||||||||||
Electronic Equipment, Instruments & Components | 1,288,556 | 1,288,556 | — | — | |||||||||||||||
Energy Equipment & Services | 2,642,580 | 2,642,580 | — | — | |||||||||||||||
Food & Staples Retailing | 1,636,365 | 1,636,365 | — | — | |||||||||||||||
Health Care Providers & Services | 3,494,886 | 3,494,886 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 3,240,209 | 3,240,209 | — | — | |||||||||||||||
Household Durables | 1,075,198 | 1,075,198 | — | — | |||||||||||||||
Household Products | 2,871,298 | 2,871,298 | — | — | |||||||||||||||
Independent Power Producers & Energy Traders | 1,158,307 | 1,158,307 | — | — | |||||||||||||||
Industrial Conglomerates | 2,224,095 | 2,224,095 | — | — | |||||||||||||||
Information Technology Services | 1,343,901 | 1,343,901 | — | — | |||||||||||||||
Insurance | 5,672,788 | 5,672,788 | — | — | |||||||||||||||
Internet Software & Services | 2,290,206 | 2,290,206 | — | — | |||||||||||||||
Leisure Equipment & Products | 1,518,080 | 1,518,080 | — | — | |||||||||||||||
Metals & Mining | 1,861,925 | 1,861,925 | — | — | |||||||||||||||
Multi-Utilities | 2,909,753 | 2,909,753 | — | — |
116
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Multiline Retail | $ | 1,558,481 | $ | 1,558,481 | — | — | |||||||||||||
Oil, Gas & Consumable Fuels | 9,273,589 | 9,273,589 | — | — | |||||||||||||||
Paper & Forest Products | 1,699,727 | 1,699,727 | — | — | |||||||||||||||
Pharmaceuticals | 8,054,149 | 8,054,149 | — | — | |||||||||||||||
Road & Rail | 1,921,174 | 1,921,174 | — | — | |||||||||||||||
Semiconductors & Semiconductor Equipment | 2,105,484 | 2,105,484 | — | — | |||||||||||||||
Software | 3,305,817 | 3,305,817 | — | — | |||||||||||||||
Specialty Retail | 3,981,312 | 3,981,312 | — | — | |||||||||||||||
Textiles, Apparel & Luxury Goods | 1,197,401 | 1,197,401 | — | — | |||||||||||||||
Tobacco | 3,785,532 | 3,785,532 | — | — | |||||||||||||||
Total Common Stocks | 98,510,915 | 98,510,915 | — | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 799,346 | 799,346 | — | — | |||||||||||||||
Total | $ | 99,310,261 | $ | 99,310,261 | — | — | |||||||||||||
Liabilities | |||||||||||||||||||
Options Written | $ | (1,298 | ) | $ | (1,298 | ) | — | — | |||||||||||
Equally-Weighted S&P 500 | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 2,374,447 | $ | 2,374,447 | — | — | |||||||||||||
Air Freight & Logistics | 789,110 | 789,110 | — | — | |||||||||||||||
Airlines | 192,733 | 192,733 | — | — | |||||||||||||||
Auto Components | 395,086 | 395,086 | — | — | |||||||||||||||
Automobiles | 397,834 | 397,834 | — | — | |||||||||||||||
Beverages | 1,657,352 | 1,657,352 | — | — | |||||||||||||||
Biotechnology | 1,211,871 | 1,211,871 | — | — | |||||||||||||||
Building Products | 193,796 | 193,796 | — | — | |||||||||||||||
Capital Markets | 2,818,165 | 2,818,165 | — | — | |||||||||||||||
Chemicals | 2,617,946 | 2,617,946 | — | — | |||||||||||||||
Commercial Banks | 2,738,170 | 2,738,170 | — | — | |||||||||||||||
Commercial Services & Supplies | 1,578,707 | 1,578,707 | — | — | |||||||||||||||
Communications Equipment | 1,428,332 | 1,428,332 | — | — | |||||||||||||||
Computers & Peripherals | 2,524,131 | 2,524,131 | — | — |
117
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Construction & Engineering | $ | 589,758 | $ | 589,758 | — | — | |||||||||||||
Construction Materials | 200,515 | 200,515 | — | — | |||||||||||||||
Consumer Finance | 744,516 | 744,516 | — | — | |||||||||||||||
Containers & Packaging | 983,965 | 983,965 | — | — | |||||||||||||||
Distributors | 198,797 | 198,797 | — | — | |||||||||||||||
Diversified Consumer Services | 611,790 | 611,790 | — | — | |||||||||||||||
Diversified Financial Services | 1,795,205 | 1,795,205 | — | — | |||||||||||||||
Diversified Telecommunication Services | 1,197,023 | 1,197,023 | — | — | |||||||||||||||
Electric Utilities | 2,747,960 | 2,747,960 | — | — | |||||||||||||||
Electrical Equipment | 819,460 | 819,460 | — | — | |||||||||||||||
Electronic Equipment, Instruments & Components | 1,265,078 | 1,265,078 | — | — | |||||||||||||||
Energy Equipment & Services | 2,196,016 | 2,196,016 | — | — | |||||||||||||||
Food & Staples Retailing | 1,800,056 | 1,800,056 | — | — | |||||||||||||||
Food Products | 2,783,300 | 2,783,300 | — | — | |||||||||||||||
Gas Utilities | 573,464 | 573,464 | — | — | |||||||||||||||
Health Care Equipment & Supplies | 2,604,523 | 2,604,523 | — | — | |||||||||||||||
Health Care Providers & Services | 3,143,508 | 3,143,508 | — | — | |||||||||||||||
Health Care Technology | 214,580 | 214,580 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 1,990,223 | 1,990,223 | — | — | |||||||||||||||
Household Durables | 2,253,809 | 2,253,809 | — | — | |||||||||||||||
Household Products | 794,533 | 794,533 | — | — | |||||||||||||||
Independent Power Producers & Energy Traders | 388,606 | 388,606 | — | — | |||||||||||||||
Industrial Conglomerates | 575,388 | 575,388 | — | — | |||||||||||||||
Information Technology Services | 2,361,908 | 2,361,908 | — | — | |||||||||||||||
Insurance | 4,050,064 | 4,050,064 | — | — | |||||||||||||||
Internet & Catalog Retail | 625,833 | 625,833 | — | — | |||||||||||||||
Internet Software & Services | 1,005,109 | 1,005,109 | — | — | |||||||||||||||
Leisure Equipment & Products | 610,406 | 610,406 | — | — | |||||||||||||||
Life Sciences Tools & Services | 982,192 | 982,192 | — | — | |||||||||||||||
Machinery | 2,212,652 | 2,212,652 | — | — | |||||||||||||||
Media | 3,223,797 | 3,223,797 | — | — |
118
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Metals & Mining | $ | 1,902,068 | $ | 1,902,068 | — | — | |||||||||||||
Multi-Utilities | 2,964,939 | 2,964,939 | — | — | |||||||||||||||
Multiline Retail | 1,597,055 | 1,597,055 | — | — | |||||||||||||||
Office Electronics | 191,551 | 191,551 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 5,620,160 | 5,620,160 | — | — | |||||||||||||||
Paper & Forest Products | 595,067 | 595,067 | — | — | |||||||||||||||
Personal Products | 605,703 | 605,703 | — | — | |||||||||||||||
Pharmaceuticals | 2,221,393 | 2,221,393 | — | — | |||||||||||||||
Professional Services | 824,641 | 824,641 | — | — | |||||||||||||||
Real Estate Investment Trusts | 2,837,236 | 2,837,236 | — | — | |||||||||||||||
Real Estate Management & Development | 212,398 | 212,398 | — | — | |||||||||||||||
Road & Rail | 1,000,344 | 1,000,344 | — | — | |||||||||||||||
Semiconductors & Semiconductor Equipment | 3,750,301 | 3,750,301 | — | — | |||||||||||||||
Software | 3,046,580 | 3,046,580 | — | — | |||||||||||||||
Specialty Retail | 3,574,995 | 3,574,995 | — | — | |||||||||||||||
Textiles, Apparel & Luxury Goods | 772,656 | 772,656 | — | — | |||||||||||||||
Thrifts & Mortgage Finance | 388,483 | 388,483 | — | — | |||||||||||||||
Tobacco | 793,614 | 793,614 | — | — | |||||||||||||||
Trading Companies & Distributors | 425,291 | 425,291 | — | — | |||||||||||||||
Wireless Telecommunication Services | 593,151 | 593,151 | — | — | |||||||||||||||
Total Common Stocks | 100,379,340 | 100,379,340 | — | — | |||||||||||||||
Liabilities | |||||||||||||||||||
Futures | $ | (10,364 | ) | $ | (10,364 | ) | — | — |
119
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n December 31, 2009 continued
Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Capital Growth | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight & Logistics | $ | 965,136 | $ | 965,136 | — | — | |||||||||||||
Capital Markets | 876,880 | 876,880 | — | — | |||||||||||||||
Chemicals | 1,302,196 | 1,302,196 | — | — | |||||||||||||||
Communications Equipment | 974,226 | 974,226 | — | — | |||||||||||||||
Computers & Peripherals | 2,111,552 | 2,111,552 | — | — | |||||||||||||||
Construction Materials | 673,564 | 673,564 | — | — | |||||||||||||||
Consumer Finance | 652,615 | 652,615 | — | — | |||||||||||||||
Distributors | 814,865 | — | $ | 814,865 | — | ||||||||||||||
Diversified Financial Services | 1,841,293 | 1,200,649 | 640,644 | — | |||||||||||||||
Electrical Equipment | 168,979 | 168,979 | — | — | |||||||||||||||
Health Care Equipment & Supplies | 595,602 | 595,602 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 1,631,321 | 1,631,321 | — | — | |||||||||||||||
Information Technology Services | 1,952,282 | 1,279,580 | 672,702 | — | |||||||||||||||
Insurance | 979,764 | 979,764 | — | — | |||||||||||||||
Internet & Catalog Retail | 2,140,348 | 2,140,348 | — | — | |||||||||||||||
Internet Software & Services | 4,691,488 | 3,430,672 | 1,260,816 | — | |||||||||||||||
Life Sciences Tools & Services | 541,371 | 541,371 | — | — | |||||||||||||||
Media | 242,579 | 242,579 | — | — | |||||||||||||||
Multiline Retail | 288,320 | 288,320 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 1,577,540 | 1,577,540 | — | — | |||||||||||||||
Pharmaceuticals | 402,571 | 402,571 | — | — | |||||||||||||||
Professional Services | 752,248 | 347,282 | 404,966 | — | |||||||||||||||
Real Estate Management & Development | 1,055,591 | 1,055,591 | — | — | |||||||||||||||
Software | 1,448,195 | 1,448,195 | — | — | |||||||||||||||
Transportation Infrastructure | 358,032 | — | 358,032 | — | |||||||||||||||
Wireless Telecommunication Services | 463,129 | 463,129 | — | — | |||||||||||||||
Total Common Stocks | 29,501,687 | 25,349,662 | 4,152,025 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 145,507 | 145,507 | — | — | |||||||||||||||
Total | $ | 29,647,194 | $ | 25,495,169 | $ | 4,152,025 | — |
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Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Focus Growth | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight & Logistics | $ | 4,369,441 | $ | 4,369,441 | — | — | |||||||||||||
Chemicals | 5,147,144 | 5,147,144 | — | — | |||||||||||||||
Communications Equipment | 4,599,606 | 4,599,606 | — | — | |||||||||||||||
Computers & Peripherals | 7,862,126 | 7,862,126 | — | — | |||||||||||||||
Consumer Finance | 2,706,574 | 2,706,574 | — | — | |||||||||||||||
Distributors | 3,078,378 | — | $ | 3,078,378 | — | ||||||||||||||
Diversified Financial Services | 8,972,743 | 5,212,810 | 3,759,933 | — | |||||||||||||||
Hotels, Restaurants & Leisure | 2,968,507 | 2,968,507 | — | — | |||||||||||||||
Information Technology Services | 4,601,241 | 4,601,241 | — | — | |||||||||||||||
Insurance | 1,935,454 | 1,935,454 | — | — | |||||||||||||||
Internet & Catalog Retail | 8,302,036 | 8,302,036 | — | — | |||||||||||||||
Internet Software & Services | 17,985,882 | 11,972,759 | 6,013,123 | — | |||||||||||||||
Life Sciences Tools & Services | 2,015,360 | 2,015,360 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 6,319,207 | 6,319,207 | — | — | |||||||||||||||
Professional Services | 672,003 | 672,003 | — | — | |||||||||||||||
Real Estate Management & Development | 3,883,164 | 3,883,164 | — | — | |||||||||||||||
Software | 2,825,907 | 2,825,907 | — | — | |||||||||||||||
Total Common Stocks | 88,244,773 | 75,393,339 | 12,851,434 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 1,811,621 | 1,811,621 | — | — | |||||||||||||||
Total | $ | 90,056,394 | $ | 77,204,960 | $ | 12,851,434 | — |
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Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Capital Opportunities | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight & Logistics | $ | 469,237 | $ | 469,237 | — | — | |||||||||||||
Capital Markets | 835,058 | 835,058 | — | — | |||||||||||||||
Chemicals | 926,963 | 926,963 | — | — | |||||||||||||||
Computers & Peripherals | 2,190,831 | 2,190,831 | — | — | |||||||||||||||
Distributors | 728,333 | — | $ | 728,333 | — | ||||||||||||||
Diversified Financial Services | 1,553,234 | 1,092,077 | 461,157 | — | |||||||||||||||
Health Care Technology | 675,026 | 675,026 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 1,361,898 | 1,361,898 | — | — | |||||||||||||||
Information Technology Services | 1,405,655 | 920,760 | 484,895 | — | |||||||||||||||
Internet & Catalog Retail | 1,625,540 | 1,625,540 | — | — | |||||||||||||||
Internet Software & Services | 4,048,610 | 2,464,507 | 1,584,103 | — | |||||||||||||||
Life Sciences Tools & Services | 1,102,744 | 1,102,744 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 1,433,513 | 1,433,513 | — | — | |||||||||||||||
Professional Services | 1,197,522 | 1,197,522 | — | — | |||||||||||||||
Real Estate Management & Development | 761,883 | 761,883 | — | — | |||||||||||||||
Semiconductors & Semiconductor Equipment | 535,908 | 535,908 | — | — | |||||||||||||||
Software | 722,946 | 722,946 | — | — | |||||||||||||||
Total Common Stocks | 21,574,901 | 18,316,413 | 3,258,488 | — | |||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 544,539 | 544,539 | — | — | |||||||||||||||
Total | $ | 22,119,440 | $ | 18,860,952 | $ | 3,258,488 | — |
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Fair Value Measurements at December 31, 2009 Using | |||||||||||||||||||
Investment Type | Total | Unadjusted Quoted Prices In Active Market for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||||
Mid Cap Growth | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight & Logistics | $ | 1,159,198 | $ | 1,159,198 | — | — | |||||||||||||
Capital Markets | 1,173,612 | 1,173,612 | — | — | |||||||||||||||
Chemicals | 1,277,550 | 1,277,550 | — | — | |||||||||||||||
Commercial Services & Supplies | 270,048 | 270,048 | — | — | |||||||||||||||
Communications Equipment | 333,428 | 333,428 | — | — | |||||||||||||||
Computers & Peripherals | 923,476 | 923,476 | — | — | |||||||||||||||
Construction Materials | 745,084 | 745,084 | — | — | |||||||||||||||
Distributors | 988,476 | — | $ | 988,476 | — | ||||||||||||||
Diversified Consumer Services | 888,154 | 888,154 | — | — | |||||||||||||||
Diversified Financial Services | 2,133,816 | 2,133,816 | — | — | |||||||||||||||
Health Care Equipment & Supplies | 975,743 | 975,743 | — | — | |||||||||||||||
Hotels, Restaurants & Leisure | 2,225,129 | 2,225,129 | — | — | |||||||||||||||
Household Durables | 845,292 | 845,292 | — | — | |||||||||||||||
Information Technology Services | 623,357 | — | 623,357 | — | |||||||||||||||
Internet & Catalog Retail | 1,351,524 | 1,351,524 | — | — | |||||||||||||||
Internet Software & Services | 2,549,346 | 2,004,579 | 544,767 | — | |||||||||||||||
Life Sciences Tools & Services | 1,289,401 | 1,289,401 | — | — | |||||||||||||||
Media | 1,200,218 | 1,200,218 | — | — | |||||||||||||||
Multiline Retail | 273,132 | 273,132 | — | — | |||||||||||||||
Oil, Gas & Consumable Fuels | 2,097,741 | 2,097,741 | — | — | |||||||||||||||
Personal Products | 456,884 | 456,884 | — | — | |||||||||||||||
Pharmaceuticals | 370,562 | 370,562 | — | — | |||||||||||||||
Professional Services | 2,441,987 | 1,791,004 | 650,983 | — | |||||||||||||||
Software | 1,639,776 | 1,639,776 | — | — | |||||||||||||||
Wireless Telecommunication Services | 279,883 | 279,883 | — | — | |||||||||||||||
Total Common Stocks | 28,512,817 | 25,705,234 | 2,807,583 | — | |||||||||||||||
Convertible Preferred Stock | 322,608 | — | — | $ | 322,608 | ||||||||||||||
Short-Term Investments | |||||||||||||||||||
Investment Company | 761,967 | 761,967 | — | — | |||||||||||||||
Total | $ | 29,597,392 | $ | 26,467,201 | $ | 2,807,583 | $ | 322,608 |
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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) | (838,091 | ) | (63,818 | ) | — | ||||||||||
Transfers in and/or out | (97,195 | ) | — | — | |||||||||||
Change in unrealized appreciation/depreciation | 2,589,593 | 46,490 | 146,640 | ||||||||||||
Realized gains (losses) | (2,118,337 | ) | (23,047 | ) | — | ||||||||||
Ending Balance | $ | 12 | $ | 0 | $ | 322,608 | |||||||||
Net change in unrealized appreciation/depreciation from investments still held as of December 31, 2009 | — | — | $ | 146,640 |
3. 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 to 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 unrealized appreciation/depreciation. Upon disposition, a realized gain or loss is recognized accordingly, except when taking delivery of a security underlying a contract. In these instances, the recognition of gain or loss is postponed until the disposal of the security underlying the contract. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts.
Summarized below are specific types of derivative 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 bear the risk of an unfavorable change in the foreign exchange rates 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.
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During the year ended December 31, 2009, the value of forward foreign currency contracts opened and closed were as follows:
PORTFOLIO | OPEN | CLOSE | |||||||||
Flexible Income | $ | 691,662 | $ | 502,758 | |||||||
Global Infrastructure | 108,861,604 | 116,303,873 | |||||||||
Capital Growth | 801,335 | 481,862 | |||||||||
Focus Growth | — | 1,887,710 | |||||||||
Capital Opportunities | 43 | 416,102 | |||||||||
Mid Cap Growth | 964,281 | 2,523,929 | |||||||||
Balanced | 17,149 | 128,360 |
Futures Certain Portfolios may purchase and sell interest rate, Eurodollar and index futures ("futures contracts") 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 involve elements of market risk in excess of the amount reflected in the Statements of Assets and Liabilities. The respective Portfolios bear the risk of an unfavorable change in the value of the underlying securities. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
Transactions in futures contracts for the year ended December 31, 2009, were as follows:
Flexible Income: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures, outstanding at beginning of the period | 59 | ||||||
Futures opened | 613 | ||||||
Futures closed | (618 | ) | |||||
Futures, outstanding at end of the period | 54 | ||||||
Balanced: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures, outstanding at beginning of the period | 41 | ||||||
Futures opened | 304 | ||||||
Futures closed | (322 | ) | |||||
Futures, outstanding at end of the period | 23 |
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Equally-Weighted S&P 500: | |||||||
NUMBER OF CONTRACTS | |||||||
Futures, outstanding at beginning of the period | 4 | ||||||
Futures opened | 243 | ||||||
Futures closed | (231 | ) | |||||
Futures, outstanding at end of the period | 16 |
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 price 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 year ended December 31, 2009, were as follows:
Flexible Income: | |||||||||||
NUMBER OF CONTRACTS | COST | ||||||||||
Options purchased, outstanding at beginning of period | 27 | $ | 24,371 | ||||||||
Options purchased | 55 | 42,496 | |||||||||
Options closed | (82 | ) | (66,867 | ) | |||||||
Options purchased, outstanding at end of period | — | — | |||||||||
NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of period | 27 | $ | 13,428 | ||||||||
Options written | 84 | 15,690 | |||||||||
Options closed | (111 | ) | (29,118 | ) | |||||||
Options written, outstanding at end of period | — | — | |||||||||
Balanced: | |||||||||||
NUMBER OF CONTRACTS | COST | ||||||||||
Options purchased, outstanding at beginning of period | 11 | $ | 9,929 | ||||||||
Options purchased | 22 | 17,021 | |||||||||
Options closed | (33 | ) | (26,950 | ) | |||||||
Options purchased, outstanding at end of period | — | — |
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NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of period | 11 | $ | 5,470 | ||||||||
Options written | 33 | 6,150 | |||||||||
Options closed | (44 | ) | (11,620 | ) | |||||||
Options written, outstanding at end of period | — | — | |||||||||
Global Infrastructure: | |||||||||||
NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of period | — | — | |||||||||
Options written | 275 | $ | 14,141 | ||||||||
Options closed | (31 | ) | (1,921 | ) | |||||||
Options written, outstanding at end of period | 244 | $ | 12,220 | ||||||||
Dividend Growth: | |||||||||||
NUMBER OF CONTRACTS | PREMIUM | ||||||||||
Options written, outstanding at beginning of period | — | — | |||||||||
Options written | 722 | $ | 148,863 | ||||||||
Options expired | (384 | ) | (93,621 | ) | |||||||
Options closed | (316 | ) | (50,820 | ) | |||||||
Options written, outstanding at end of period | 22 | $ | 4,422 |
Swaps Certain Portfolios may enter into swaps 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 positions 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 imperfect correlation and manager risk. Such 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 to gain exposure to a credit in which the Portfolio may otherwise invest. Credit default swaps may involve greater risks than if the Portfolio had invested in the issuer directly. Credit default swaps are subject to general market risk, counterparty risk and credit risk. If the Portfolio is a buyer and no credit event occurs, it will lose its investment. In addition, if the Portfolio is a seller and a credit event occurs, the value of the
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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 year ended December 31, 2009, were as follows:
Flexible Income: | |||||||||||
NOTIONAL AMOUNT (000'S) | NOTIONAL AMOUNT (000'S) | ||||||||||
Swaps, outstanding at beginning of period | EUR | 17,991 | $ | 65,513 | |||||||
Swaps opened | 5,512 | 42,299 | |||||||||
Swaps closed | (23,503 | ) | (91,987 | ) | |||||||
Swaps, outstanding at end of period | — | $ | 15,825 | ||||||||
Balanced: | |||||||||||
NOTIONAL AMOUNT (000'S) | NOTIONAL AMOUNT (000'S) | ||||||||||
Swaps, outstanding at beginning of period | EUR | 8,084 | $ | 18,546 | |||||||
Swaps opened | — | 833 | |||||||||
Swaps closed | (8,084 | ) | (19,369 | ) | |||||||
Swaps, outstanding at end of period | — | $ | 10 |
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The following table sets forth the fair value of the Fund's derivative contracts by primary risk exposure as of December 31, 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 | $ | 134,684 | † | Variation margin | $ | (12,483 | )† | ||||||||||||||
Risk | Unrealized appreciation on open swap contracts | 52,087 | Unrealized depreciation on open swap contracts | (178,865 | ) | ||||||||||||||||||
Credit Risk | Unrealized appreciation on open swap contracts | — | Unrealized depreciation on open swap contracts | (23,522 | ) | ||||||||||||||||||
Foreign Currency Risk | Unrealized appreciation on open forward foreign currency contracts | 795 | Unrealized depreciation on open forward foreign currency contracts | (102 | ) | ||||||||||||||||||
$ | 187,566 | $ | (214,972 | ) | |||||||||||||||||||
Balanced | Interest Rate | Variation margin | $ | 40,023 | † | Variation Margin | $ | (18,225 | )† | ||||||||||||||
Risk Credit Risk | Unrealized appreciation on open swap contracts | 38 | Unrealized depreciation on open swap contracts | — | |||||||||||||||||||
$ | 40,061 | $ | (18,225 | ) | |||||||||||||||||||
Global Infrastructure | Foreign Currency Risk | Unrealized appreciation on open forward foreign currency contracts | $ | 53,568 | Unrealized depreciation on open forward foreign currency contracts | $ | (30,351 | ) | |||||||||||||||
Equity Risk | Options purchased Investments, at value | — | Written options outstanding, at value | (21,877 | ) | ||||||||||||||||||
$ | 53,568 | $ | (52,228 | ) | |||||||||||||||||||
Dividend Growth | Equity Risk | Options purchased Investments, at value | — | Written options outstanding, at value | $ | (1,298 | ) | ||||||||||||||||
Equally-Weighted S&P 500 | Equity Risk | Variation Margin | — | Variation Margin | $ | (10,364 | )† |
† Includes cumulative appreciation/depreciation of futures contracts as reported in the respective Portfolio of Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities.
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The following tables set forth by primary risk exposure the Fund's realized gains (losses) and change in unrealized gains (losses) by type of derivative contract for the year ended December 31, 2009.
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 | $ | 24,470 | $ | 1,042,870 | $ | (21,913 | ) | $ | 5,078 | — | ||||||||||||||||
Credit Risk | — | 128,180 | — | — | — | ||||||||||||||||||||||
Foreign Currency Risk | — | — | — | — | $ | 8,208 | |||||||||||||||||||||
Total | $ | 24,470 | $ | 1,171,050 | $ | (21,913 | ) | $ | 5,078 | $ | 8,208 | ||||||||||||||||
Balanced | Interest Rate Risk | $ | 9,172 | $ | 658,710 | $ | (8,946 | ) | $ | 2,287 | — | ||||||||||||||||
Credit Risk | — | 6,059 | — | — | — | ||||||||||||||||||||||
Foreign Currency Risk | — | — | — | — | $ | (747 | ) | ||||||||||||||||||||
Total | $ | 9,172 | $ | 664,769 | $ | (8,946 | ) | $ | 2,287 | $ | (747 | ) | |||||||||||||||
Global Infrastructure | Foreign Currency Risk | — | — | — | — | $ | (354,903 | ) | |||||||||||||||||||
Equity Risk | — | — | $ | 1,374 | — | — | |||||||||||||||||||||
Total | — | — | $ | 1,374 | — | $ | (354,903 | ) | |||||||||||||||||||
Equally-Weighted S&P 500 | Interest Rate Risk | $ | 274,412 | — | — | — | — | ||||||||||||||||||||
Capital Growth | Foreign Currency Risk | — | — | — | — | $ | 2,603 | ||||||||||||||||||||
Focus Growth | Foreign Currency Risk | — | — | — | — | $ | (4,429 | ) | |||||||||||||||||||
Capital Opportunities | Foreign Currency Risk | — | — | — | — | $ | (1,311 | ) | |||||||||||||||||||
Mid Cap Growth | Foreign Currency Risk | — | — | — | — | $ | (2,208 | ) | |||||||||||||||||||
Dividend Growth | Equity Risk | — | — | $ | 89,207 | — | — |
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 | $ | 290,968 | $ | (994,099 | ) | $ | 25,553 | $ | (38,404 | ) | — | |||||||||||||||
Credit Risk | — | (38,586 | ) | — | — | — | |||||||||||||||||||||
Foreign Currency Risk | — | — | — | — | $ | 3,016 | |||||||||||||||||||||
Total | $ | 290,968 | $ | (1,032,685 | ) | $ | 25,553 | $ | (38,404 | ) | $ | 3,016 | |||||||||||||||
Balanced | Interest Rate Risk | $ | 115,178 | $ | (689,823 | ) | $ | 10,411 | $ | (15,646 | ) | — | |||||||||||||||
Credit Risk | — | (8,725 | ) | — | — | — | |||||||||||||||||||||
Total | $ | 115,178 | $ | (698,548 | ) | $ | 10,411 | $ | (15,646 | ) | — |
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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 | |||||||||||||||||||||
Global Infrastructure | Equity Risk | — | — | $ | (9,657 | ) | — | — | |||||||||||||||||||
Foreign Currency Risk | — | — | — | — | $ | ( | 22,046) | ||||||||||||||||||||
Total | — | — | $ | (9,657 | ) | — | $ | (22,046 | ) | ||||||||||||||||||
Dividend Growth | Equity Risk | — | — | $ | 3,124 | — | — | ||||||||||||||||||||
Equally-Weighted S&P 500 | Interest Rate Risk | $ | (15,898 | ) | — | — | — | — |
†† Amounts are included in investments in the Statements of Operations
4. 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 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.
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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.
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.
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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.
5. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Adviser, Administrator and Sub-Adviser. 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 year ended December 31, 2009, the Distributor waived $335,329 and the Investment Adviser waived $368,470. This waiver may be terminated at any time.
6. 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 services 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 year ended December 31, 2009, the table below identifies, for each Portfolio that invested in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class, that amount by which that Portfolio's advisory fees were reduced in relation to that Portfolio's i nvestment in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class.
In addition, the table also identifies the income distributions earned, if any, by each Portfolio for that Portfolio's investment in Morgan Stanley Institutional Liquidity Funds – Money Market Portfolio – Institutional Class.
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Income distributions are included in "interest and dividends from affiliates" in the Statements of Operations.
PORTFOLIO | INCOME DISTRIBUTION EARNED | ADVISORY FEE REDUCTION | |||||||||
Flexible Income | $ | 8,596 | $ | 2,912 | |||||||
Balanced | 6,374 | 2,402 | |||||||||
Global Infrastructure | 870 | 403 | |||||||||
Dividend Growth | 1,876 | 895 | |||||||||
Equally-Weighted S&P 500 | 1,434 | 711 | |||||||||
Capital Growth | 2,673 | 1,054 | |||||||||
Focus Growth | 5,373 | 2,848 | |||||||||
Capital Opportunities | 1,660 | 811 | |||||||||
Mid Cap Growth | 2,254 | 932 |
During the year ended December 31, 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 | $ | 21,242,234 | $ | 26,440,732 | |||||||
Balanced | 14,846,542 | 16,686,367 | |||||||||
Global Infrastructure | 19,821,235 | 20,156,157 | |||||||||
Dividend Growth | 20,846,234 | 20,769,420 | |||||||||
Equally-Weighted S&P 500 | 14,033,954 | 14,033,954 | |||||||||
Capital Growth | 6,171,533 | 7,428,726 | |||||||||
Focus Growth | 16,218,196 | 16,387,052 | |||||||||
Capital Opportunities | 6,122,671 | 6,313,249 | |||||||||
Mid Cap Growth | 6,235,111 | 6,849,494 |
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Purchases and sales/prepayments/maturities of portfolio securities, excluding short-term investments (except Money Market), for the year ended December 31, 2009 were as follows:
U.S. GOVERNMENT SECURITIES | OTHER | ||||||||||||||||||
PURCHASES | SALES/PREPAYMENTS MATURITIES | PURCHASES | SALES/PREPAYMENTS MATURITIES | ||||||||||||||||
Money Market | — | — | $ | 21,521,517,838 | $ | 21,595,696,865 | |||||||||||||
Flexible Income | $ | 33,442,251 | $ | 33,043,173 | 13,769,106 | 15,101,119 | |||||||||||||
Balanced | 12,807,921 | 12,359,388 | 16,810,424 | 22,009,994 | |||||||||||||||
Global Infrastructure | — | — | 92,838,329 | 99,109,020 | |||||||||||||||
Dividend Growth | — | — | 40,313,839 | 58,274,271 | |||||||||||||||
Equally-Weighted S&P 500 | — | — | 27,891,948 | 41,962,331 | |||||||||||||||
Capital Growth | — | — | 4,533,750 | 7,837,814 | |||||||||||||||
Focus Growth | — | — | 8,073,136 | 21,440,240 | |||||||||||||||
Capital Opportunities | — | — | 4,162,386 | 6,892,023 | |||||||||||||||
Mid Cap Growth | — | — | 8,616,373 | 11,494,968 |
The following Portfolio had transactions in Morgan Stanley common stock, an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator:
PURCHASES | SALES | NET REALIZED LOSS | INCOME | VALUE | |||||||||||||||||||
Equally-Weighted S&P 500 | $ | 61,794 | $ | 108,597 | $ | (42,640 | ) | $ | 3,725 | $ | 212,262 |
The following Portfolio had transactions in Hartford Financial Services Group, Inc. common stock, an affiliate of the Fund:
PURCHASES | SALES | NET REALIZED GAIN | INCOME | VALUE | |||||||||||||||||||
Equally-Weighted S&P 500 | $ | 121,983 | $ | 234,230 | $ | 34,974 | $ | 2,350 | $ | 207,409 |
The following Portfolio had transactions in Mitsubishi UFJ Financial Group, Inc. common stock, an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator:
SALES | NET REALIZED LOSS | INCOME | |||||||||||||
Balanced | $ | 54,802 | $ | (27,057 | ) | $ | 412 |
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For the period June 1, 2009 through December 31, 2009 the following Portfolios had transactions with Citigroup, Inc. an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator:
PORTFOLIO | PURCHASES | SALES | NET REALIZED GAIN (LOSS) | INCOME | VALUE | ||||||||||||||||||
Flexible Income | $ | 112,586 | — | — | $ | 7,038 | $ | 213,369 | |||||||||||||||
Balanced | 694,753 | $ | 10,412 | $ | 1,127 | 8,070 | 719,319 | ||||||||||||||||
Equally-Weighted S&P 500 | 41,443 | 28,243 | (101,695 | ) | — | 184,503 |
The following Portfolios had transactions with other Morgan Stanley funds during the period ended December 31, 2009:
PORTFOLIO | PURCHASES | SALES | NET REALIZED GAIN (LOSS) | ||||||||||||
Global Infrastructure | — | $ | 502,831 | $ | 11,367 | ||||||||||
Capital Growth | — | 353 | 36 | ||||||||||||
Focus Growth | $ | 240,800 | 571,330 | (160,208 | ) | ||||||||||
Capital Opportunities | 102,461 | 823,622 | 16,644 | ||||||||||||
Mid Cap Growth | 46,960 | 19,548 | (48,555 | ) |
For the year ended December 31, 2009, the following Portfolios incurred brokerage commissions with Morgan Stanley & Co., Inc. an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator for portfolio transactions executed on behalf of each Portfolio:
FOCUS GROWTH | BALANCED | CAPITAL GROWTH | MID CAP GROWTH | DIVIDEND GROWTH | GLOBAL INFRASTRUCTURE | CAPITAL OPPORTUNITIES | |||||||||||||||||||||
$ | 3,226 | $ | 1,386 | $ | 132 | $ | 122 | $ | 790 | $ | 1,324 | $ | 959 |
For the period June 1, 2009 (the date on which Citigroup, Inc. became an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator, through December 31, 2009, the following Portfolios incurred brokerage commission with Citigroup, Inc. for portfolio transactions executed on behalf of the Portfolio.
BALANCED | MID CAP GROWTH | DIVIDEND GROWTH | GLOBAL INFRASTRUCTURE | ||||||||||||
$ | 422 | $ | 351 | $ | 219 | $ | 24 |
Morgan Stanley Trust, an affiliate of the Investment Adviser, Distributor, Sub-Adviser and Administrator is the Fund's transfer agent.
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Notes to Financial Statements n December 31, 2009 continued
7. 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 subprime mortgages. Subprime 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 sub-prime borrowers.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States; rather, they are supported by the right of the issuer to borrow from the Treasury.
The Federal Housing Finance Agency ("FHFA") serves as conservator of FNMA and FHLMC and the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
8. 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 GAAP. 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.
The tax character of distributions paid for the years ended December 31, 2008 and December 31, 2009 for all portfolios was the same as the book character shown on the Statements of Changes except as follows:
BALANCED | EQUALLY-WEIGHTED S&P 500 | ||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2008 | FOR THE YEAR ENDED DECEMBER 31, 2009 | FOR THE YEAR ENDED DECEMBER 31, 2008 | |||||||||||||
Ordinary income | $ | 1,038,204 | $ | 2,078,765 | $ | 4,338,685 | |||||||||
Long-term capital gains | 6,420,262 | 3,630,819 | 29,409,923 | ||||||||||||
Total distributions | $ | 7,458,466 | $ | 5,709,584 | $ | 33,748,608 |
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As of December 31, 2009, the tax-basis components of accumulated earnings (losses) were as follows:
MONEY MARKET | FLEXIBLE INCOME | BALANCED | GLOBAL INFRASTRUCTURE | DIVIDEND GROWTH | |||||||||||||||||||
Undistributed ordinary income | $ | 4,469 | $ | 1,785,332 | $ | 802,163 | $ | 969,026 | $ | 1,544,512 | |||||||||||||
Undistributed long-term gains | — | — | — | 1,342,154 | — | ||||||||||||||||||
Net accumulated earnings | 4,469 | 1,785,332 | 802,163 | 2,311,180 | 1,544,512 | ||||||||||||||||||
Foreign tax credit pass-through | — | — | — | 97,438 | — | ||||||||||||||||||
Capital loss carryforward | — | (27,213,970 | ) | (3,066,072 | ) | — | (84,708,974 | ) | |||||||||||||||
Post-October losses | — | (8,878 | ) | — | (178,134 | ) | (1,027,933 | ) | |||||||||||||||
Temporary differences | (973 | ) | (12,777 | ) | (195 | ) | (97,608 | ) | (472 | ) | |||||||||||||
Net unrealized appreciation (depreciation) | — | (2,202,938 | ) | 993,270 | 3,979,742 | 3,510,426 | |||||||||||||||||
Total accumulated earnings (losses) | $ | 3,496 | $ | (27,653,231 | ) | $ | (1,270,834 | ) | $ | 6,112,618 | $ | (80,682,441 | ) | ||||||||||
EQUALLY- WEIGHTED S&P 500 | CAPITAL GROWTH | FOCUS GROWTH | CAPITAL OPPORTUNITIES | MID CAP GROWTH | |||||||||||||||||||
Undistributed ordinary income | $ | 1,346,448 | — | $ | 32,426 | — | $ | 29,522 | |||||||||||||||
Undistributed long-term gains | — | — | — | — | — | ||||||||||||||||||
Net accumulated earnings | 1,346,448 | — | 32,426 | — | 29,522 | ||||||||||||||||||
Capital loss carryforward | (9,171,642 | ) | $ | (19,605,066 | ) | (83,263,497 | ) | $ | (59,862,680 | ) | (13,258,425 | ) | |||||||||||
Post-October losses | — | (551 | ) | (406 | ) | (109 | ) | (59,247 | ) | ||||||||||||||
Temporary differences | (401 | ) | (115 | ) | (348 | ) | (84 | ) | (112 | ) | |||||||||||||
Net unrealized appreciation (depreciation) | 36,329,121 | 3,072,064 | 9,003,977 | 4,329,945 | (225,106 | ) | |||||||||||||||||
Total accumulated earnings (losses) | $ | 28,503,526 | $ | (16,533,668 | ) | $ | (74,227,848 | ) | $ | (55,532,928 | ) | $ | (13,513,368 | ) |
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As of December 31, 2009, 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, | 2010 | 2011 | 2012 | 2013 | 2014 | 2016 | 2017 | TOTAL | |||||||||||||||||||||||||||
Flexible Income | $ | 6,782 | $ | 6,161 | $ | 1,199 | $ | 562 | $ | 939 | $ | 4,961 | $ | 6,610 | $ | 27,214 | |||||||||||||||||||
Balanced | — | — | — | — | — | 1,128 | 1,938 | 3,066 | |||||||||||||||||||||||||||
Dividend Growth | 37,657 | 21,222 | — | — | — | 7,857 | 17,973 | 84,709 | |||||||||||||||||||||||||||
Equally-Weighted S&P 500 | — | — | — | — | — | — | 9,172 | 9,172 | |||||||||||||||||||||||||||
Capital Growth | 16,400 | 3,145 | 60 | — | — | — | — | 19,605 | |||||||||||||||||||||||||||
Focus Growth | 74,785 | — | — | — | — | 4,859 | 3,619 | 83,263 | |||||||||||||||||||||||||||
Capital Opportunities | 57,567 | — | — | — | — | 1,929 | 367 | 59,863 | |||||||||||||||||||||||||||
Mid Cap Growth | 10,927 | — | — | — | — | — | 2,331 | 13,258 |
During the year ended December 31, 2009, the following Portfolios utilized net capital loss carryforwards: Money Market — $285; Global Infrastructure — $1,102,225; Capital Growth — $496,914.
At December 31, 2009, the primary reason(s) for significant temporary/permanent book/tax differences were as follows:
TEMPORARY DIFFERENCES | PERMANENT DIFFERENCES | ||||||||||||||||||
POST- OCTOBER LOSSES | LOSS DEFERRALS FROM WASH SALES | FOREIGN CURRENCY GAINS/LOSSES | NET OPERATING LOSS | ||||||||||||||||
Money Market | |||||||||||||||||||
Flexible Income | ��� | • | • | ||||||||||||||||
Balanced | • | • | |||||||||||||||||
Global Infrastructure | • | • | • | ||||||||||||||||
Dividend Growth | • | • | |||||||||||||||||
Equally-Weighted S&P 500 | • | ||||||||||||||||||
Capital Growth | • | • | • | • | |||||||||||||||
Focus Growth | • | • | |||||||||||||||||
Capital Opportunities | • | • | • | • | |||||||||||||||
Mid Cap Growth | • | • | • |
Additionally, the following Portfolios had other temporary differences: Flexible Income — interest on bonds in default; Flexible Income, Balanced, Global Infrastructure and Equally-Weighted S&P 500 — gain/loss from the mark-to-market of futures and/or options contracts; Flexible Income, Balanced and Dividend Growth — capital loss deferrals on straddles; Global Infrastructure — mark-to-market of passive foreign investment
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Notes to Financial Statements n December 31, 2009 continued
companies ("PFICs"); Equally-Weighted S&P 500 — tax adjustments on real estate investment trusts (REITs) held by the Portfolio. The following Portfolios had other permanent differences: Flexible Income and Balanced — reclassification of net gains/losses on paydowns and gains on swaps; Global Infrastructure — tax adjustments on PFICs sold by the Portfolio; Equally-Weighted S&P 500 — tax adjustments on REITs held/sold by the Portfolio; Flexible Income, Capital Growth, Focus Growth and Capital Opportunities — expired capital loss carryforward. The following Portfolios had temporary and/or permanent differences attrib utable to book amortization of premiums on debt securities: Flexible Income and Balanced.
The permanent differences resulted in the following reclassifications among the Portfolios' components of net assets at December 31, 2009:
ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) | ACCUMULATED NET REALIZED GAIN (LOSS) | PAID-IN-CAPITAL | |||||||||||||
Money Market | $ | 3,496 | $ | (3,496 | ) | — | |||||||||
Flexible Income | (50,515 | ) | 2,771,930 | $ | (2,721,415 | ) | |||||||||
Balanced | 71,974 | (71,974 | ) | — | |||||||||||
Global Infrastructure | (308,884 | ) | 308,884 | — | |||||||||||
Dividend Growth | 539 | (539 | ) | — | |||||||||||
Equally-Weighted S&P 500 | (53,921 | ) | 62,060 | (8,139 | ) | ||||||||||
Capital Growth | (15,990 | ) | 4,803,416 | (4,787,426 | ) | ||||||||||
Focus Growth | 60,771 | 122,639,715 | (122,700,486 | ) | |||||||||||
Capital Opportunities | 25,975 | 17,379,946 | (17,405,921 | ) | |||||||||||
Mid Cap Growth | (102 | ) | (14,104 | ) | 14,206 |
9. 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 guaranteed investors of participating money market funds that they would receive $1.00 for each money market fund share held as of close of business on September 19, 2008.
Each money market fund paid a fee in order to participate in the Program. The Program went into effect for an initial three month term and was subsequently extended by the U.S. Treasury through September 18, 2009.
10. New Accounting Pronouncement
On January 21, 2010, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") 2010-06. The ASU amends Accounting Standards Codification 820 to add new requirements for disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales,
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issuances, and settlements relating to Level 3 measurements. It also clarifies existing fair value disclosures about the level of disaggregation and about inputs and valuation techniques in Level 2 and Level 3 fair value measurements. The application of ASU 2010-06 is required for fiscal years and interim periods beginning after December 15, 2009, except for disclosures about purchases, sales, issuances, and settlements relating to Level 3 measurements, which are required for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. At this time, the Fund's management is evaluating the implications of ASU 2010-06.
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Financial Highlights
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 | |||||||||||||||||||||||||||||||
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 | (j) | — | 0.000 | (j) | 0.000 | (j) | — | 0.000 | (j) | ||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (j) | — | 0.000 | (j) | 0.000 | (j) | — | 0.000 | (j) | ||||||||||||||||||||
FLEXIBLE INCOME CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | )(g) | (0.45 | ) | |||||||||||||||||||
2008 | 7.12 | 0.41 | (1.93 | ) | (1.52 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
2009 | 5.46 | 0.32 | 0.73 | 1.05 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | )(g) | (0.43 | ) | ||||||||||||||||||||
2008 | 7.10 | 0.39 | (1.93 | ) | (1.54 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||
2009 | 5.43 | 0.31 | 0.72 | 1.03 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
BALANCED CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 0.22 | 1.87 | 2.09 | (0.35 | ) | — | (0.35 | ) |
See Notes to Financial Statements
142
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 | |||||||||||||||||||||||||||||||
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 | 0.03 | 40,771 | 0.39 | (e)(f) | 0.03 | (e)(f) | — | N/A | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | 101,015 | 0.40 | (e)(f) | 0.02 | (e)(f) | — | N/A | ||||||||||||||||||||||
FLEXIBLE INCOME CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 6.48 | (h) | 0.01 | % | 73 | ||||||||||||||||||||
2009 | 6.08 | 19.77 | 13,924 | 0.92 | (h) | 5.58 | (h) | 0.01 | 165 | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 6.23 | (h) | 0.01 | 73 | |||||||||||||||||||||
2009 | 6.04 | 19.45 | 16,357 | 1.17 | (h) | 5.33 | (h) | 0.01 | 165 | ||||||||||||||||||||||
BALANCED CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 2.65 | (h) | 0.01 | 65 | |||||||||||||||||||||
2009 | 12.79 | 19.48 | 25,961 | 0.82 | (h) | 1.91 | (h) | 0.01 | 77 |
143
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
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 | ||||||||||||||||||||||||
BALANCED CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | 0.19 | 1.85 | 2.04 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||||
GLOBAL INFRASTRUCTURE CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 0.54 | 3.00 | 3.54 | (0.69 | ) | — | (0.69 | ) | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | 0.49 | 3.00 | 3.49 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 0.21 | 2.61 | 2.82 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | 0.18 | 2.60 | 2.78 | (0.21 | ) | — | (0.21 | ) |
See Notes to Financial Statements
144
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 | |||||||||||||||||||||||||||||||
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 | (h) | 2.40 | (h) | 0.01 | % | 65 | ||||||||||||||||||||
2009 | 12.72 | 19.07 | 16,210 | 1.07 | (h) | 1.66 | (h) | 0.01 | 77 | ||||||||||||||||||||||
GLOBAL INFRASTRUCTURE CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 2.28 | (h) | 0.00 | (i) | 77 | ||||||||||||||||||||
2009 | 22.68 | 18.47 | 24,953 | 1.42 | (h) | 2.75 | (h) | 0.00 | (i) | 279 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 2.03 | (h) | 0.00 | (i) | 77 | ||||||||||||||||||||
2009 | 22.63 | 18.18 | 10,332 | 1.67 | (h) | 2.50 | (h) | 0.00 | (i) | 279 | |||||||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 1.63 | (h) | 0.01 | 61 | |||||||||||||||||||||
2009 | 14.34 | 24.39 | 75,962 | 0.72 | (h) | 1.72 | (h) | 0.00 | (i) | 44 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 1.38 | (h) | 0.01 | 61 | |||||||||||||||||||||
2009 | 14.30 | 24.11 | 23,361 | 0.97 | (h) | 1.47 | (h) | 0.00 | (i) | 44 |
145
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 | ||||||||||||||||||||||||
EQUALLY-WEIGHTED S&P 500 CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 0.22 | 4.75 | 4.97 | (0.34 | ) | (0.55 | ) | (0.89 | ) | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | 0.19 | 4.69 | 4.88 | (0.29 | ) | (0.55 | ) | (0.84 | ) | |||||||||||||||||||||
CAPITAL GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 3.91 | 3.99 | — | — | — | ||||||||||||||||||||||||
2008 | 22.19 | (0.04 | ) | (10.74 | ) | (10.78 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
2009 | 11.35 | 0.02 | 7.49 | 7.51 | — | — | — | ||||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||||||
2008 | 21.86 | (0.08 | ) | (10.59 | ) | (10.67 | ) | 0.00 | (d) | — | 0.00 | (d) | |||||||||||||||||||
2009 | 11.19 | (0.02 | ) | 7.37 | 7.35 | — | — | — | |||||||||||||||||||||||
FOCUS GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2005 | 15.14 | 0.01 | 2.15 | 2.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2006 | 17.19 | (0.03 | ) | 0.09 | 0.06 | 0.00 | (d) | — | 0.00 | (d) | |||||||||||||||||||||
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 | 0.01 | 7.35 | 7.36 | (0.02 | ) | — | (0.02 | ) |
See Notes to Financial Statements
146
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 | ||||||||||||||||||||||||
EQUALLY-WEIGHTED S&P 500 CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 1.70 | (h) | 0.00 | %(i) | 32 | ||||||||||||||||||||
2009 | 15.69 | 45.08 | 43,553 | 0.37 | (h) | 1.72 | (h) | 0.00 | (i) | 13 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | 1.45 | (h) | 0.00 | (i) | 32 | ||||||||||||||||||||
2009 | 15.49 | 44.79 | 57,578 | 0.62 | (h) | 1.47 | (h) | 0.00 | (i) | 13 | |||||||||||||||||||||
CAPITAL GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.21 | )(h) | 0.00 | (i) | 42 | ||||||||||||||||||||
2009 | 18.86 | 66.17 | 11,748 | 0.91 | (h) | 0.11 | (h) | 0.00 | (i) | 19 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.46 | )(h) | 0.00 | (i) | 42 | ||||||||||||||||||||
2009 | 18.54 | 65.68 | 17,864 | 1.16 | (h) | (0.14 | )(h) | 0.00 | (i) | 19 | |||||||||||||||||||||
FOCUS GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.19 | )(h) | 0.01 | 31 | |||||||||||||||||||||
2009 | 17.59 | 71.83 | 67,932 | 0.77 | (h) | 0.10 | (h) | 0.00 | (i) | 11 |
147
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 | ||||||||||||||||||||||||
FOCUS GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||||||
2008 | 20.97 | (0.08 | ) | (10.73 | ) | (10.81 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
2009 | 10.15 | (0.02 | ) | 7.27 | 7.25 | — | — | — | |||||||||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||||||
2008 | 15.07 | (0.05 | ) | (7.34 | ) | (7.39 | ) | — | — | — | |||||||||||||||||||||
2009 | 7.68 | (0.02 | ) | 5.38 | 5.36 | — | — | — | |||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | — | — | — | ||||||||||||||||||||||||
2008 | 14.79 | (0.08 | ) | (7.19 | ) | (7.27 | ) | — | — | — | |||||||||||||||||||||
2009 | 7.52 | (0.05 | ) | 5.26 | 5.21 | — | — | — | |||||||||||||||||||||||
MID CAP GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | 0.03 | 10.01 | 10.04 | — | — | — | ||||||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (0.03 | ) | 9.84 | 9.81 | — | — | — |
See Notes to Financial Statements
148
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 | ||||||||||||||||||||||||
FOCUS GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.44 | )(h) | 0.01 | % | 31 | ||||||||||||||||||||
2009 | 17.40 | 71.43 | 22,047 | 1.02 | (h) | (0.15 | )(h) | 0.00 | (i) | 11 | |||||||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.37 | )(h) | 0.00 | (i) | 33 | ||||||||||||||||||||
2009 | 13.04 | 69.79 | 9,601 | 1.23 | (h) | (0.24 | )(h) | 0.00 | (i) | 23 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.62 | )(h) | 0.00 | (i) | 33 | ||||||||||||||||||||
2009 | 12.73 | 69.28 | 12,455 | 1.48 | (h) | (0.49 | )(h) | 0.00 | (i) | 23 | |||||||||||||||||||||
MID CAP GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.19 | )(h) | 0.01 | 43 | |||||||||||||||||||||
2009 | 26.65 | 60.45 | 21,310 | 0.84 | (h) | 0.12 | (h) | 0.00 | (i) | 36 | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
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 | (h) | (0.44 | )(h) | 0.01 | 43 | |||||||||||||||||||||
2009 | 26.15 | 60.04 | 8,267 | 1.09 | (h) | (0.13 | )(h) | 0.00 | (i) | 36 |
149
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
(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) Includes dividends of less than $0.001.
(e) Reflects fees paid in connection with the U.S. Treasury Guarantee Program for Money Market Funds. This fee had an effect of 0.03%. See Note 9.
(f) If the Portfolio had borne all of its expenses that were reimbursed or waived by the Distributor, Investment Adviser and Administrator, the annualized expense and net investment loss ratios would have been as follows:
PERIOD ENDED | EXPENSE RATIO | NET INVESTMENT LOSS RATIO | |||||||||
December 31, 2009 | |||||||||||
Class X | 0.59 | % | (0.17 | )% | |||||||
Class Y | 0.84 | (0.42 | ) |
(g) Distribution from paid-in-capital.
(h) 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".
(i) Amount is less than 0.005%.
(j) Amount is less than $0.001.
See Notes to Financial Statements
150
Morgan Stanley Select Dimensions Investment Series
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Morgan Stanley Select Dimensions Investment Series:
We have audited the accompanying statements of assets and liabilities of Morgan Stanley Select Dimensions Investment Series (the "Fund"), comprised of the Money Market Portfolio, Flexible Income Portfolio, Balanced Portfolio, Global Infrastructure Portfolio, Dividend Growth Portfolio, Equally-Weighted S&P 500 Portfolio, Capital Growth Portfolio, Focus Growth Portfolio, Capital Opportunities Portfolio and Mid Cap Growth Portfolio (the "Portfolios"), including the portfolios of investments, as of December 31, 2009, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and fina ncial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Portfolios of Morgan Stanley Select Dimensions Investment Series as of December 31, 2009, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
February 26, 2010
151
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited)
Independent Trustees:
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Independent Trustee** | Other Directorships Held by Independent Trustee*** | ||||||||||||||||||
Frank L. Bowman (65) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 1177 Avenue of the Americas New York, NY 10036 | Trustee | Since August 2006 | President, Stategic Decisions, LLC (consulting) (since February 2009); Director or Trustee of various Retail Funds and Institutional Funds (since August 2006); Chairperson of the Insurance Sub-Committee of the Compliance and Insurance Committee (since February 2007); served as President and Chief Executive Officer of the Nuclear Energy Institute (policy organization) through November 2008; retired as Admiral, U.S. Navy in January 2005 after serving over 8 years as Director of the Naval Nuclear Propulsion Program and Deputy Administrator — Naval Reactors in the National Nuclear Security Administration at the U.S. Department of Energy (1996-2004). Knighted as Honorary Knight Commander of the Most Excellent Order of the British Empire; Awarded the Officer de l'Orde National du Mérite by the French Government. | 162 | Director of the Armed Services YMCA of the USA; member, BP America External Advisory Council (energy); member, National Academy of Engineers. | ||||||||||||||||||
Michael Bozic (69) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 1177 Avenue of the Americas New York, NY 10036 | Trustee | Since April 1994 | Private investor; Chairperson of the Compliance and Insurance Committee (since October 2006); Director or Trustee of the Retail Funds (since April 1994) and Institutional Funds (since July 2003); formerly, Chairperson of the Insurance Committee (July 2006-September 2006); Vice Chairman of Kmart Corporation (December 1998-October 2000), Chairman and Chief Executive Officer of Levitz Furniture Corporation (November 1995-November 1998) and President and Chief Executive Officer of Hills Department Stores (May 1991-July 1995); variously Chairman, Chief Executive Officer, President and Chief Operating Officer (1987-1991) of the Sears Merchandise Group of Sears, Roebuck & Co. | 164 | Director of various business organizations. | ||||||||||||||||||
152
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited) continued
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Independent Trustee** | Other Directorships Held by Independent Trustee*** | ||||||||||||||||||
Kathleen A. Dennis (56) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 1177 Avenue of the Americas New York, NY 10036 | Trustee | Since August 2006 | President, Cedarwood Associates (mutual fund and investment management consulting) (since July 2006); Chairperson of the Money Market and Alternatives Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Retail Funds and Institutional Funds (since August 2006); formerly, Senior Managing Director of Victory Capital Management (1993-2006). | 162 | Director of various non-profit organizations. | ||||||||||||||||||
Dr. Manuel H. Johnson (60) c/o Johnson Smick Group, Inc. 888 16th Street, N.W. Suite 740 Washington, D.C. 20006 | Trustee | Since July 1991 | Senior Partner, Johnson Smick International, Inc. (consulting firm); Chairperson of the Investment Committee (since October 2006) and Director or Trustee of the Retail Funds (since July 1991) and Institutional Funds (since July 2003); Co-Chairman and a founder of the Group of Seven Council (G7C) (international economic commission); formerly, Chairperson of the Audit Committee (July 1991-September 2006), Vice Chairman of the Board of Governors of the Federal Reserve System and Assistant Secretary of the U.S. Treasury. | 164 | Director of NVR, Inc. (home construction); Director of Evergreen Energy; Director of Greenwich Capital Holdings. | ||||||||||||||||||
Joseph J. Kearns (67) c/o Kearns & Associates LLC PMB754 23852 Pacific Coast Highway Malibu, CA 90265 | Trustee | Since August 1994 | President, Kearns & Associates LLC (investment consulting); Chairperson of the Audit Committee (since October 2006) and Director or Trustee of the Retail Funds (since July 2003) and Institutional Funds (since August 1994); formerly, Deputy Chairperson of the Audit Committee (July 2003-September 2006) and Chairperson of the Audit Committee of the Institutional Funds (October 2001-July 2003); CFO of the J. Paul Getty Trust. | 165 | Director of Electro Rent Corporation (equipment leasing) and The Ford Family Foundation. | ||||||||||||||||||
153
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited) continued
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Independent Trustee** | Other Directorships Held by Independent Trustee*** | ||||||||||||||||||
Michael F. Klein (51) c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 1177 Avenue of the Americas New York, NY 10036 | Trustee | Since August 2006 | Managing Director, Aetos Capital, LLC (since March 2000) and Co-President, Aetos Alternatives Management, LLC (since January 2004); Chairperson of the Fixed Income Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Retail Funds and Institutional Funds (since August 2006); formerly, Managing Director, Morgan Stanley & Co. Inc. and Morgan Stanley Dean Witter Investment Management, President, Morgan Stanley Institutional Funds (June 1998-March 2000) and Principal, Morgan Stanley & Co. Inc. and Morgan Stanley Dean Witter Investment Management (August 1997-December 1999). | 162 | Director of certain investment funds managed or sponsored by Aetos Capital, LLC. Director of Sanitized AG and Sanitized Marketing AG (specialty chemicals). | ||||||||||||||||||
Michael E. Nugent (73) c/o Triumph Capital, L.P. 445 Park Avenue New York, NY 10022 | Chairperson of the Board and Trustee | Chairperson of the Boards since July 2006 and Trustee since July 1991 | General Partner, Triumph Capital, L.P. (private investment partnership); Chairperson of the Boards of the Retail Funds and Institutional Funds (since July 2006); Director or Trustee of the Retail Funds (since July 1991) and Institutional Funds (since July 2001); formerly, Chairperson of the Insurance Committee (until July 2006). | 164 | None. | ||||||||||||||||||
154
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited) continued
Name, Age and Address of Independent Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Independent Trustee** | Other Directorships Held by Independent Trustee*** | ||||||||||||||||||
W. Allen Reed (62)† c/o Kramer Levin Naftalis & Frankel LLP Counsel to the Independent Trustees 1177 Avenue of the Americas New York, NY 10036 | Trustee | Since August 2006 | Chairperson of the Equity Sub-Committee of the Investment Committee (since October 2006) and Director or Trustee of various Retail Funds and Institutional Funds (since August 2006); formerly, President and CEO of General Motors Asset Management; Chairman and Chief Executive Officer of the GM Trust Bank and Corporate Vice President of General Motors Corporation (August 1994-December 2005). | 162 | Director of Temple-Inland Industries (packaging and forest products); Director of Legg Mason, Inc. and Director of the Auburn University Foundation; formerly, Director of iShares, Inc. (2001-2006). | ||||||||||||||||||
Fergus Reid (77) c/o Joe Pietryka, Inc 85 Charles Colman Blvd. Pawling, NY 12564 | Trustee | Since June 1992 | Chairman, Joe Pietryka, Inc; Chairperson of the Governance Committee and Director or Trustee of the Retail Funds (since July 2003) and Institutional Funds (since June 1992). | 165 | Trustee and Director of certain investment companies in the JPMorgan Funds complex managed by JP Morgan Investment Management Inc. | ||||||||||||||||||
Interested Trustee:
Name, Age and Address of Interested Trustee | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Interested Trustee** | Other Directorships Held by Interested Trustee*** | ||||||||||||||||||
James F. Higgins (61) c/o Morgan Stanley Trust Harborside Financial Center Plaza Two Jersey City, NJ 07311 | Trustee | Since June 2000 | Director or Trustee of the Retail Funds (since June 2000) and Institutional Funds (since July 2003); Senior Advisor of Morgan Stanley (since August 2000). | 163 | Director of AXA Financial, Inc. and The Equitable Life Assurance Society of the United States (financial services). | ||||||||||||||||||
* This is the earliest date the Trustee began serving the funds advised by Morgan Stanley Investment Advisors Inc. (the "Investment Adviser") (the "Retail Funds") or the funds advised by Morgan Stanley Investment Management Inc. and Morgan Stanley AIP GP LP (the "Institutional Funds").
** The Fund Complex includes all open-end and closed-end funds (including all of their portfolios) advised by the Investment Adviser and any funds that have an investment adviser that is an affiliated person of the Investment Adviser (including, but not limited to, Morgan Stanley Investment Management Inc.).
*** This includes any directorships at public companies and registered investment companies held by the Trustee at any time during the past five years.
† For the period September 26, 2008 through February 5, 2009, W. Allen Reed was an Interested Trustee. At all other times covered by this report, Mr. Reed was an Independent Trustee.
155
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited) continued
Executive Officers:
Name, Age and Address of Executive Officer | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | ||||||||||||
Randy Takian (35) 522 Fifth Avenue New York, NY 10036 | President and Principal Executive Officer | Since September 2008 | President and Principal Executive Officer (since September 2008) of funds in the Fund Complex; President and Chief Executive Officer of Morgan Stanley Services Company Inc. (since September 2008). President of the Investment Adviser (since July 2008). Head of the Retail and Intermediary business within Morgan Stanley Investment Management (since July 2008). Head of Liquidity and Bank Trust business (since July 2008) and the Latin American franchise (since July 2008) at Morgan Stanley Investment Management. Managing Director, Director and/or Officer of the Investment Adviser and various entities affiliated with the Investment Adviser. Formerly Head of Strategy and Product Development for the Alternatives Group and Senior Loan Investment Management. Formerly with Bank of America (July 1996-March 2006), most recently as Head of the Strategy, Mergers and Acquisitions team for Global Wealth and Investment Management. | ||||||||||||
Kevin Klingert (47) 522 Fifth Avenue New York, NY 10036 | Vice President | Since June 2008 | Head, Chief Operating Officer and acting Chief Investment Officer of the Global Fixed Income Group of Morgan Stanley Investment Management Inc. and the Investment Adviser (since April 2008). Head of Global Liquidity Portfolio Management and co-Head of Liquidity Credit Research of Morgan Stanley Investment Management (since December 2007). Managing Director of Morgan Stanley Investment Management Inc. and the Investment Adviser (since December 2007). Previously, Managing Director on the Management Committee and head of Municipal Portfolio Management and Liquidity at BlackRock (October 1991 to January 2007). | ||||||||||||
Carsten Otto (46) 522 Fifth Avenue New York, NY 10036 | Chief Compliance Officer | Since October 2004 | Managing Director and Global Head of Compliance for Morgan Stanley Investment Management (since April 2007) and Chief Compliance Officer of the Retail Funds and Institutional Funds (since October 2004). Formerly, U.S. Director of Compliance (October 2004-April 2007) and Assistant Secretary and Assistant General Counsel of the Retail Funds. | ||||||||||||
Stefanie V. Chang Yu (43) 522 Fifth Avenue New York, NY 10036 | Vice President | Since December 1997 | Managing Director and Secretary of the Investment Adviser and various entities affiliated with the Investment Adviser; Vice President of the Retail Funds (since July 2002) and Institutional Funds (since December 1997). | ||||||||||||
156
Morgan Stanley Select Dimensions Investment Series
Trustee and Officer Information (unaudited) continued
Name, Age and Address of Executive Officer | Position(s) Held with Registrant | Term of Office and Length of Time Served* | Principal Occupation(s) During Past 5 Years | ||||||||||||
Francis J. Smith (44) c/o Morgan Stanley Trust Harborside Financial Center, Plaza Two, Jersey City, NJ 07311 | Treasurer and Chief Financial Officer | Treasurer since July 2003 and Chief Financial Officer since September 2002 | Executive Director of the Investment Adviser and various entities affiliated with the Investment Adviser; Treasurer and Chief Financial Officer of the Retail Funds (since July 2003). | ||||||||||||
Mary E. Mullin (42) 522 Fifth Avenue New York, NY 10036 | Secretary | Since June 1999 | Executive Director of the Investment Adviser and various entities affiliated with the Investment Adviser; Secretary of the Retail Funds (since July 2003) and Institutional Funds (since June 1999). | ||||||||||||
* This is the earliest date the Officer began serving the Retail Funds or Institutional Funds.
157
Morgan Stanley Select Dimensions Investment Series
Federal Tax Notice n December 31, 2009 (unaudited)
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Portfolio during the taxable year ended December 31, 2009. For corporate shareholders, the following percentages of dividends paid by each Portfolio qualified for the dividends received deduction. Additionally, the following percentages of each Portfolio's dividends was attributable to qualifying U.S. Government obligations. (Please consult your tax advisor to determine if any portion of the dividends you received is exempt from state income tax.)
FUND | DIVIDENDS RECEIVED DEDUCTION% | QUALIFYING U.S. GOVT. INCOME% | |||||||||
Balanced Portfolio | 48.45 | % | 5.67 | % | |||||||
Capital Growth Portfolio | 0.00 | % | 0.00 | % | |||||||
Capital Opportunities Portfolio | 0.00 | % | 0.00 | % | |||||||
Dividend Growth Portfolio | 100.00 | % | 0.00 | % | |||||||
Equally-Weighted S&P 500 Portfolio | 100.00 | % | 0.00 | % | |||||||
Flexible Income Portfolio | 0.00 | % | 3.67 | % | |||||||
Focus Growth Portfolio | 100.00 | % | 0.00 | % | |||||||
Global Infrastructure Portfolio | 92.04 | % | 0.00 | % | |||||||
Mid Cap Growth Portfolio | 0.00 | % | 0.00 | % | |||||||
Money Market Portfolio | 0.00 | % | 5.63 | % |
Each of the applicable Portfolios designated and paid the following amounts as a long-term capital gain distribution:
FUND | AMOUNT | ||||||
Equally-Weighted S&P 500 Portfolio | $ | 3,630,819 |
For Federal income tax purposes, the following information is furnished with respect to the earnings of each applicable Portfolio for the taxable year ended December 31, 2009. The Global Infrastructure Portfolio intends to pass through foreign tax credits of $97,438 and has derived net income from sources within foreign countries amounting to $765,350.
158
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 | ||||||
Dechert LLP 1095 Avenue of the Americas New York, New York 10036 | 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.
SELDIMANN
IU10-00731P-Y12/09
#40474
Item 2. Code of Ethics.
(a) The Fund has adopted a code of ethics (the “Code of Ethics”) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Fund or a third party.
(b) No information need be disclosed pursuant to this paragraph.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f)
(1) The Fund’s Code of Ethics is attached hereto as Exhibit 12 A.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The Fund’s Board of Trustees has determined that Joseph J. Kearns, an “independent” Trustee, is an “audit committee financial expert” serving on its audit committee. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification
Item 4. Principal Accountant Fees and Services.
(a)(b)(c)(d) and (g). Based on fees billed for the periods shown:
2009
|
| Registrant |
| Covered Entities(1) |
| ||
Audit Fees |
| $ | 207,200 |
| N/A |
| |
|
|
|
|
|
| ||
Non-Audit Fees |
|
|
|
|
| ||
Audit-Related Fees |
| $ | — | (2) | $ | 6,909,000 | (2) |
Tax Fees |
| $ | 42,660 | (3) | $ | 1,013,000 | (4) |
All Other Fees |
| $ |
| $ |
| ||
Total Non-Audit Fees |
| $ | 42,660 |
| $ | 7,922,000 |
|
|
|
|
|
|
| ||
Total |
| $ | 249,860 |
| $ | 7,922,000 |
|
2008
|
| Registrant |
| Covered Entities(1) |
| ||
Audit Fees |
| $ | 238,605 |
| N/A |
| |
|
|
|
|
|
| ||
Non-Audit Fees |
|
|
|
|
| ||
Audit-Related Fees |
| $ | — | (2) | $ | 6,418,000 | (2) |
Tax Fees |
| $ | 49,401 | (3) | $ | 881,000 | (4) |
All Other Fees |
| $ |
| $ |
| (5) | |
Total Non-Audit Fees |
| $ | 49,401 |
| $ | 7,299,000 |
|
|
|
|
|
|
| ||
Total |
| $ | 288,006 |
| $ | 7,299,000 |
|
N/A- Not applicable, as not required by Item 4. | |
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(1) | Covered Entities include the Adviser (excluding sub-advisors) and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Registrant. |
(2) | Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Covered Entities’ and funds advised by the Adviser or its affiliates, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. |
(3) | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant’s tax returns. |
(4) | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of Covered Entities’ tax returns. |
(5) | All other fees represent project management for future business applications and improving business and operational processes. |
(e)(1) The audit committee’s pre-approval policies and procedures are as follows:
APPENDIX A
AUDIT COMMITTEE
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY AND PROCEDURES
OF THE
MORGAN STANLEY RETAIL AND INSTITUTIONAL FUNDS
AS ADOPTED AND AMENDED JULY 23, 2004,(1)
1. Statement of Principles
The Audit Committee of the Board is required to review and, in its sole discretion, pre-approve all Covered Services to be provided by the Independent Auditors to the Fund and Covered Entities in order to assure that services performed by the Independent Auditors do not impair the auditor’s independence from the Fund.
The SEC has issued rules specifying the types of services that an independent auditor may not provide to its audit client, as well as the audit committee’s administration of the engagement of the independent auditor. The SEC’s rules establish two different approaches to pre-approving services, which the SEC considers to be equally valid. Proposed services either: may be pre-approved without consideration of specific case-by-case services by the Audit Committee (“general pre-approval”); or require the specific pre-approval of the Audit Committee or its delegate (“specific pre-approval”). The Audit Committee believes that the combination of these two approaches in this Policy will result in an effective and efficient procedure to pre-approve services performed by the Independent Auditors. As set forth in this Policy, unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee (or by any member of the Audit Committee to which pre-approval authority has been delegated) if it is to be provided by the Independent Auditors. Any proposed services exceeding pre-approved cost levels or budgeted amounts will also require specific pre-approval by the Audit Committee.
The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services that have the general pre-approval of the Audit Committee. The term of any general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee considers and provides a different period and states otherwise. The Audit Committee will annually review and pre-approve the services that may be provided by the Independent Auditors without obtaining specific pre-approval from the Audit Committee. The Audit Committee will add to or subtract from the list of general pre-approved services from time to time, based on subsequent determinations.
(1) |
| This Audit Committee Audit and Non-Audit Services Pre-Approval Policy and Procedures (the “Policy”), adopted as of the date above, supersedes and replaces all prior versions that may have been adopted from time to time. |
The purpose of this Policy is to set forth the policy and procedures by which the Audit Committee intends to fulfill its responsibilities. It does not delegate the Audit Committee’s responsibilities to pre-approve services performed by the Independent Auditors to management.
The Fund’s Independent Auditors have reviewed this Policy and believes that implementation of the Policy will not adversely affect the Independent Auditors’ independence.
2. Delegation
As provided in the Act and the SEC’s rules, the Audit Committee may delegate either type of pre-approval authority to one or more of its members. The member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting.
3. Audit Services
The annual Audit services engagement terms and fees are subject to the specific pre-approval of the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by the Independent Auditors to be able to form an opinion on the Fund’s financial statements. These other procedures include information systems and procedural reviews and testing performed in order to understand and place reliance on the systems of internal control, and consultations relating to the audit. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, Fund structure or other items.
In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant general pre-approval to other Audit services, which are those services that only the Independent Auditors reasonably can provide. Other Audit services may include statutory audits and services associated with SEC registration statements (on Forms N-1A, N-2, N-3, N-4, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings.
The Audit Committee has pre-approved the Audit services in Appendix B.1. All other Audit services not listed in Appendix B.1 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
4. Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements and, to the extent they are Covered Services, the Covered Entities or that are traditionally performed by the Independent Auditors. Because the Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor and is consistent with the SEC’s rules on auditor independence, the Audit Committee may grant general pre-approval to Audit-related services. Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters
not classified as “Audit services”; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Forms N-SAR and/or N-CSR.
The Audit Committee has pre-approved the Audit-related services in Appendix B.2. All other Audit-related services not listed in Appendix B.2 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
5. Tax Services
The Audit Committee believes that the Independent Auditors can provide Tax services to the Fund and, to the extent they are Covered Services, the Covered Entities, such as tax compliance, tax planning and tax advice without impairing the auditor’s independence, and the SEC has stated that the Independent Auditors may provide such services.
Pursuant to the preceding paragraph, the Audit Committee has pre-approved the Tax Services in Appendix B.3. All Tax services in Appendix B.3 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
6. All Other Services
The Audit Committee believes, based on the SEC’s rules prohibiting the Independent Auditors from providing specific non-audit services, that other types of non-audit services are permitted. Accordingly, the Audit Committee believes it may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence.
The Audit Committee has pre-approved the All Other services in Appendix B.4. Permissible All Other services not listed in Appendix B.4 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
7. Pre-Approval Fee Levels or Budgeted Amounts
Pre-approval fee levels or budgeted amounts for all services to be provided by the Independent Auditors will be established annually by the Audit Committee. Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee. The Audit Committee is mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services.
8. Procedures
All requests or applications for services to be provided by the Independent Auditors that do not require specific approval by the Audit Committee will be submitted to the Fund’s Chief Financial Officer and must include a detailed description of the services to be
rendered. The Fund’s Chief Financial Officer will determine whether such services are included within the list of services that have received the general pre-approval of the Audit Committee. The Audit Committee will be informed on a timely basis of any such services rendered by the Independent Auditors. Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the Independent Auditors and the Fund’s Chief Financial Officer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
The Audit Committee has designated the Fund’s Chief Financial Officer to monitor the performance of all services provided by the Independent Auditors and to determine whether such services are in compliance with this Policy. The Fund’s Chief Financial Officer will report to the Audit Committee on a periodic basis on the results of its monitoring. Both the Fund’s Chief Financial Officer and management will immediately report to the chairman of the Audit Committee any breach of this Policy that comes to the attention of the Fund’s Chief Financial Officer or any member of management.
9. Additional Requirements
The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the Independent Auditors and to assure the auditor’s independence from the Fund, such as reviewing a formal written statement from the Independent Auditors delineating all relationships between the Independent Auditors and the Fund, consistent with Independence Standards Board No. 1, and discussing with the Independent Auditors its methods and procedures for ensuring independence.
10. Covered Entities
Covered Entities include the Fund’s investment adviser(s) and any entity controlling, controlled by or under common control with the Fund’s investment adviser(s) that provides ongoing services to the Fund(s). Beginning with non-audit service contracts entered into on or after May 6, 2003, the Fund’s audit committee must pre-approve non-audit services provided not only to the Fund but also to the Covered Entities if the engagements relate directly to the operations and financial reporting of the Fund. This list of Covered Entities would include:
Morgan Stanley Retail Funds
Morgan Stanley Investment Advisors Inc.
Morgan Stanley & Co. Incorporated
Morgan Stanley DW Inc.
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Limited
Morgan Stanley Investment Management Private Limited
Morgan Stanley Asset & Investment Trust Management Co., Limited
Morgan Stanley Investment Management Company
Van Kampen Asset Management
Morgan Stanley Services Company, Inc.
Morgan Stanley Distributors Inc.
Morgan Stanley Trust FSB
Morgan Stanley Institutional Funds
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Advisors Inc.
Morgan Stanley Investment Management Limited
Morgan Stanley Investment Management Private Limited
Morgan Stanley Asset & Investment Trust Management Co., Limited
Morgan Stanley Investment Management Company
Morgan Stanley & Co. Incorporated
Morgan Stanley Distribution, Inc.
Morgan Stanley AIP GP LP
Morgan Stanley Alternative Investment Partners LP
(e)(2) Beginning with non-audit service contracts entered into on or after May 6, 2003, the audit committee also is required to pre-approve services to Covered Entities to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Registrant. 100% of such services were pre-approved by the audit committee pursuant to the Audit Committee’s pre-approval policies and procedures (attached hereto).
(f) Not applicable.
(g) See table above.
(h) The audit committee of the Board of Trustees has considered whether the provision of services other than audit services performed by the auditors to the Registrant and Covered Entities is compatible with maintaining the auditors’ independence in performing audit services.
Item 5. Audit Committee of Listed Registrants.
(a) The Fund has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act whose members are: Joseph Kearns, Michael Nugent and Allen Reed.
(b) Not applicable.
Item 6. Schedule of Investments
(a) Refer to Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Applicable only to reports filed by closed-end funds.
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 only 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) The Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Select Dimensions Investment Series
/s/ Randy Takian |
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Randy Takian
Principal Executive Officer
February 18, 2010
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 |
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Randy Takian
Principal Executive Officer
February 18, 2010
/s/ Francis Smith |
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Francis Smith
Principal Financial Officer
February 18, 2010