Morgan Stanley Select Dimensions Investment Series NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-07185

Morgan Stanley Select Dimensions Investment Series
(Exact name of registrant as specified in charter)

522 Fifth Avenue, New York, New York					10036
(Address of principal executive offices)					(Zip code)

Arthur Lev 522 Fifth Avenue, New York, New York 10036
(Name and address of agent for service)

Registrant’s telephone number, including area code:				212-296-6990

Date of fiscal year end:	December 31, 2011

Date of reporting period:		June 30, 2011

Item 1 - Report to Shareholders

MORGAN STANLEY
SELECT DIMENSIONS INVESTMENT SERIES

Semi-Annual Report

JUNE 30, 2011

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

Fund Performance					12

Expense Example					14

Investment Advisory Agreement Approval					18

Portfolio of Investments:

Money Market					22

Flexible Income					24

Global Infrastructure					43

Growth					46

Focus Growth					49

Multi Cap Growth					51

Mid Cap Growth					54

Financial Statements:

Statements of Assets and Liabilities					58

Statements of Operations					60

Statements of Changes in Net Assets					62

Notes to Financial Statements					68

Financial Highlights					92

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited)

Dear Shareholder,

The financial markets benefited from a relatively positive outlook on the global economy in the early months of 2011, but gains diminished as the period progressed. Political turmoil in the Middle East and North Africa and the subsequent spike in oil prices, Japan's natural disaster and its repercussions on global supply chains, troubling U.S. economic data and uncertainties about the anticipated conclusion of the second round of quantitative easing (QE2) in June, and a renewed focus on the European sovereign debt crisis were among the issues weighing on the markets in the second quarter of 2011. Overall for the six-month period, riskier assets outperformed, with U.S. and international equities generally outpacing fixed income securities.

Domestic Equity Overview

The U.S. equity market rose in the six-month period ended June 30, 2011. The market as represented by the S&P 500 Index posted a stronger gain in the first quarter, when investors were more confident about the economy's path. However, heading into the second quarter, markets were disrupted by the news of political unrest in the Middle East and North Africa, and the earthquake and tsunami in Japan. The pace of U.S. economic growth began to look less certain, with weakening jobs reports, declining consumer spending and retail sales, and reduced activity in the manufacturing sector. Spiking oil prices also weighed on the market, but prices have eased since April's high.

Fixed Income Overview

Despite slowing U.S. economic growth and intensifying European debt concerns, U.S. fixed income securities, as represented by the Barclays U.S. Aggregate Index rose modestly during the period. Early in the period, opinions were divided on whether interest rates would rise or fall once the Treasury market's main buyer, the Federal Reserve, concluded its asset purchase program (QE2) in June. Corporate bonds fared well against a backdrop of global economic growth, low interest rates, and healthy corporate balance sheets. However, in the second quarter, a loss of momentum in the global economy and the worsening debt crisis in Europe slowed the corporate sector's gains and prompted a Treasury rally. The ultra-low interest rate environment continued to weigh on the money markets during the period. With economic growth stalling, investors expect the Fed to maintain its near-zero interest rate policy for a prolonged period, which would keep yields on the short end of the curve anchored. (Note: after the close of the reporting period, the Federal Open Market Committee's August 9, 2011 statement noted that the committee anticipates economic warrant maintaining the federal funds rate at nearly zero through mid-2013.) The money markets were also disrupted by concerns about U.S. money funds' exposure to European banks' commercial paper.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

International Equity Overview

Among international equity markets, Europe led, with the emerging markets trading nearly flat and Japan's market falling during the period (as measured by the MSCI regional indexes). In Europe, the debt crisis seemed to enter a new phase with Greece needing a second bailout and fears that Italy and Spain, the eurozone's third and fourth largest economies, respectively would be next. Yet, the "core" economies of Germany and France (which together comprise half of eurozone Gross Domestic Product) continued to look strong. European companies' exposure to the faster growth in the emerging markets has served them well, corporate profit margins have remained high, and balance sheets have been strong. Japan's equity market was volatile during the period. The market retreated following the earthquake and tsunami on March 11 and subsequent nuclear crisis but was able to regain some of its losses before the end of the reporting period. A rally in mid-June was driven by more optimistic corporate and economic news. Meanwhile, rising inflation and higher interest rates across the emerging markets, combined with concerns about reduced global liquidity, weighed on emerging market equities during the reporting period.

Money Market Portfolio

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although money market funds seek to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in such funds.

As of June 30, 2011, Select Dimensions — Money Market Portfolio had net assets of approximately $94 million with an average portfolio maturity of 11 days. For the seven-day period ended June 30, 2011, the Portfolio's Class X shares provided an effective annualized yield of 0.01% (subsidized) and – 0.45% (non-subsidized) and a current yield of 0.01% (subsidized) and – 0.45% (non-subsidized), while its 30-day moving average yield for June was 0.01% (subsidized) and – 0.40% (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 six-month period ended June 30, 2011, the Portfolio's Class X shares returned 0.00%. Past performance is no guarantee of future results.

For the seven-day period ended June 30, 2011, the Portfolio's Class Y shares provided an effective annualized yield of 0.01% (subsidized) and – 0.70% (non-subsidized) and a current yield of 0.01% (subsidized) and – 0.70% (non-subsidized), while its 30-day moving average yield for June was 0.01% (subsidized) and – 0.65% (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 six-month period ended June 30, 2011, the Portfolio's Class Y shares returned 0.00%. Past performance is no guarantee of future results.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

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.

We have focused our investment in the front-end of the curve. We remain quite comfortable in our conservative approach to managing our money market funds. Our investment process and focus on credit research and risk management, combined with the high degree of liquidity and short maturity position of the Portfolio, has put us in a unique position to respond to market uncertainty. Our investment philosophy continues to revolve around prudent credit and risk management and portfolios of securities that are positioned defensively and with very high levels of liquidity.

There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.

Flexible Income Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Flexible Income Portfolio Class X shares produced a total return of 3.45%, outperforming the Barclays Capital Intermediate U.S. Government/Credit Index (the "Index"),¹ which returned 2.47%. For the same period, the Portfolio's Class Y shares returned 3.34%. Past performance is no guarantee of future results.

The Portfolio's positioning in the investment grade credit sector added to returns. The credit markets appear to be weathering the macroeconomic shocks. While May witnessed some widening, credit spreads have since been remarkably resilient. In the investment-grade credit sector, the widening was mainly in financials, whereas industrials and utilities spreads did not move nearly as much. Overall, investment grade corporate spreads were relatively unchanged for the period. Additionally, allocations to non-agency mortgages and emerging market debt slightly helped performance.

However, an allocation to high yield corporate debt detracted from performance. High yield corporate spreads ended the period 9 basis points higher from the beginning of the year. Despite expected near-term

1 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.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

market volatility, driven primarily by macro-economic concerns, we believe spreads should tighten from current levels by year end. Credit fundamentals among high yield issuers have shown marked improvement. The U.S. high yield default rate ended the first half 2011 at 2.6%, down from 6.4% a year ago, according to Moody's. Despite the headwinds of slow economic growth and rising input costs, high yield issuers' operating margins and cash flow generation should show moderate improvement, in our opinion, following the aggressive cost cutting measures taken by issuers since 2008.

There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.

Global Infrastructure Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Global Infrastructure Portfolio Class X shares produced a total return of 12.19%, outperforming the Dow Jones Brookfield Global Infrastructure Index (the "Index"),² which returned 11.84%, and the S&P Global BMI Index,³ which returned 4.96%. For the same period, the Portfolio's Class Y shares returned 12.09%. Past performance is no guarantee of future results.

Infrastructure shares appreciated 11.84% during the first half of 2011, as measured by the Index. Among the major infrastructure sectors, the European regulated utilities, pipeline, and gas midstream sectors exhibited relative outperformance, while the communications, gas distribution utilities, and transmission and distribution sectors underperformed the Index.

The first six months of 2011 were characterized by considerable macroeconomic uncertainty, equity market volatility, and investor tendency towards risk aversion. In the U.S., despite some encouraging economic signs in the first quarter and the beginning of the second quarter, investors became increasingly concerned over the sustainability of economic growth without a further accommodative monetary policy by the Federal Reserve.

2 The Dow Jones Brookfield Global Infrastructure Index^SM is a float-adjusted market capitalization weighted index that measures the stock performance of companies that exhibit strong infrastructure characteristics. The Index intends to measure all sectors of the infrastructure 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.

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 10,000 index members representing 26 developed and 19 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.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

Furthermore, persistent weakness in the labor markets added to the unease. In Europe, concern over the weak fiscal condition of certain European Union member states — with a primary focus on Greece — continued to unsettle the markets. In Asia, investors focused on events in Japan and China, as they attempted to assess the longer-term impact of the Eastern Japan Great Earthquake and to handicap the Chinese central government's ability to control inflation while avoiding a significant slowdown in the Chinese economy.

Despite these macroeconomic challenges, the fundamentals and share price performance of infrastructure companies over the first six months of 2011 turned out to be quite resilient. This is most acutely observed in the European regulated utilities sector, where concerns over regulatory risk and the potential negative impact of higher debt interest costs resulting from the sovereign debt crisis have been largely overdone (at least to date). In fact, longer-term capital plans for the majority of the European regulated utilities have remained quite stable throughout the European debt crisis.

Aside from European regulated utilities, another bright spot within infrastructure for the first half of 2011 was energy infrastructure, where fundamentals in the U.S. and Canada continue to be quite strong and show little sign of letting up. During the first six months of 2011, a number of pipeline and gas midstream companies announced new projects or expansions of existing infrastructure to facilitate the gathering, processing, and transportation of natural gas and natural gas liquids, primarily in shale formations in the U.S. and western Canada. In particular, natural gas liquids take-away capacity remains insufficient in some markets, and companies have been aggressive in bidding for opportunities to meet this need.

Among the sectors that underperformed for the first six months of 2011, we attribute underperformance in the communications sector to the perceived negative impact of a proposed merger of two large wireless carriers on wireless tower company cash flows. Within gas distribution utilities, we attribute underperformance primarily to negative sentiment and perceived regulatory risk relating to the Hong Kong-listed Chinese gas distribution utilities.

The Portfolio's outperformance for the first half of 2011 was primarily driven by bottom-up stock selection, with neutral or favorable stock selection in all the infrastructure sectors except for gas distribution utilities and European regulated utilities. This positive bottom-up stock selection was only partially offset by negative top-down positioning, where our overweight to the communications sector and underweight to European regulated utilities detracted from performance.

In terms of portfolio positioning, we began the first part of 2011 with a large overweight in the toll road sector, more modest overweights in the diversified and gas midstream sectors, and a significant underweight to the gas distribution utilities sector. As many of our investments in the toll road, diversified,

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

and gas midstream sectors have played out in the first six months of the year, we have reduced positions in these sectors accordingly. Moreover, as companies in the gas distribution utilities sector have exhibited underperformance over the first six months of 2011 — with much of the underperformance coming from Hong Kong-listed Chinese gas distribution companies — we have increased the Portfolio's weight to this sector considerably. Overall, our research currently leads us to an overweighting in the Portfolio (amongst the largest sectors) to a group of companies in the gas distribution, communications, and pipeline companies sectors, and an underweighting to companies in the European regulated utilities, gas midstream, and transmission and distribution sectors. The Portfolio's underweight positions primarily reflect caution on near-term valuation.

We remain committed to our core investment philosophy as an infrastructure value investor. As value-oriented, bottom-up driven investors, our investment perspective is that over the medium and long terms, the key factor in determining the performance of infrastructure securities will be underlying infrastructure asset values. Given the large and growing private infrastructure market, we believe that there are limits as to the level of premium or discount at which the public sector should trade relative to its underlying private infrastructure value. These limits can be viewed as the point at which the arbitrage opportunity between owning infrastructure in the private versus public markets becomes compelling. In aiming to achieve core infrastructure exposure in a cost effective manner, we invest in equity securities of publicly listed infrastructure companies we believe offer the best value relative to their underlying assets and growth prospects.

As we look to the second half of the year, we continue to be most positive on infrastructure companies in Asia, where valuations appear to be quite attractive. Stocks are trading at significant discounts to intrinsic value, and growth — despite some concerns over the possibility of a significant slowdown in the Chinese economy — continues to be robust. We also remain positive on energy infrastructure, particularly within the pipeline and gas midstream space in the United States and Canada, as the extraction of shale gas and crude oil continues at a very resilient pace.

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.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

Growth Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Growth (formerly Capital Growth) Portfolio Class X shares produced a total return of 9.09%, outperforming the Russell 1000^® Growth Index (the "Index"),⁴ which returned 6.83%. For the same period, the Portfolio's Class Y shares returned 8.96%. Past performance is no guarantee of future results.

The main contributors to the Portfolio's relative outperformance during the period included stock selection in technology, although the overweight position in the sector slightly dampened relative gains. Performance here was primarily driven by several holdings in the computer services systems and software industry, and a position in a telecommunications equipment company that is not represented in the Index. Stock selection in the consumer discretionary sector also benefited performance, with contributions from holdings across a range of industries including diversified retail, specialty retail, hotel and casino operators, and restaurants. The health care sector was another positive contributor with strong performance from holdings in the medical equipment and pharmaceuticals industries.

In contrast, stock selection in producer durables was unfavorable, primarily due to disappointing performance from positions in two commercial services stocks that are not represented in the Index. The financial services sector also detracted from performance, with poor performance from holdings in the securities brokerage and services industry. Stock selection and an underweight in the energy sector were disadvantageous to performance. Energy was one of the better performing sectors in the Index during the period, and the Portfolio's lack of exposure to those gains combined with weak performance from a holding in a crude oil producer dampened relative performance.

There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.

Focus Growth Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Focus Growth Portfolio Class X shares produced a total return of 8.21%, outperforming the Russell 1000^® Growth Index (the "Index"),⁴

4 The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000^® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000^® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

which returned 6.83%. For the same period, the Portfolio's Class Y shares returned 8.14%. Past performance is no guarantee of future results.

The main contributor to the Portfolio's relative outperformance during the period was stock selection in several key sectors. Performance in the technology sector was primarily driven by several holdings in the computer services systems and software industry, and a position in a telecommunications equipment company that is not represented in the Index. Stock selection in consumer discretionary also aided performance due to a mixed group of holdings that performed well, including a diversified retailer, restaurant, specialty retailer, and an online commerce provider. Stock selections within the materials and processing and the health care sectors were additive as well.

However, stock selection and an underweight in the energy sector were disadvantageous to performance. Energy was one of the better performing sectors in the Index during the period, and the Portfolio's lack of exposure to those gains combined with weak performance from a holding in a crude oil producer dampened relative performance. Stock selection in producer durables was unfavorable, primarily due to disappointing performance from positions in two commercial services stocks that are not represented in the Index. The financial services sector also detracted from performance, largely due to the Portfolio's lack of exposure to the financial data and systems sub-sector, which fared particularly well over this period.

There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.

Multi Cap Growth Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Multi Cap Growth (formerly Capital Opportunities) Portfolio Class X shares produced a total return of 4.83%, underperforming the Russell 3000^® Growth Index (the "Index"),⁵ which returned 6.98%. For the same period, the Portfolio's Class Y shares returned 4.65%. Past performance is no guarantee of future results.

5 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.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

The largest detractor from relative performance during the period was the financial services sector. Within the sector, holdings in diversified financial services and in securities brokerage and services performed poorly. Stock selection in producer durables was also unfavorable, primarily due to disappointing performance from a position in a commercial services stock not represented in the Index and from a global logistics stock. The energy sector was another area of weakness. Energy was one of the better performing sectors in the Index during the period and the Portfolio's lack of exposure to those gains dampened relative performance.

However, stock selection in technology helped to offset relative losses. Performance within the sector was primarily driven by several holdings in the computer services systems and software industry, and a position in a telecommunications equipment company that is not represented in the Index. Stock selection in the health care sector also contributed positively, led by positions in two medical equipment stocks and a medical supply stock.

There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.

Mid Cap Growth Portfolio

For the six-month period ended June 30, 2011, Select Dimensions — Mid Cap Growth Portfolio Class X shares produced a total return of 11.45%, outperforming the Russell Midcap^® Growth Index (the "Index"),⁶ which returned 9.59%. For the same period, the Portfolio's Class Y shares returned 11.32%. Past performance is no guarantee of future results.

6 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.

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) continued

The Portfolio's outperformance was primarily driven by stock selection in the consumer discretionary and health care sectors. In consumer discretionary, top contributors to performance included an internet video streaming company, an apparel retailer and a hotel/casino operator. Leading contributors in the health care sector included positions in two medical equipment stocks and a medical supply stock.

Conversely, detractors from relative performance included stock selection and an underweight position in consumer staples. The Portfolio's sole holding in the sector performed well, but the lack of exposure to other names that also had strong performance was unfavorable to relative performance. Mixed performance among the Portfolio's holdings in the producer durables sector ultimately had a negative impact on relative returns. Stock selection in financial services also hurt performance, with weakness primarily from a holding in a diversified financial services provider.

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,

Arthur Lev
President and Principal Executive Officer

Morgan Stanley Select Dimensions Investment Series

Letter to the Shareholders n June 30, 2011 (unaudited) 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 and monthly holdings for each money market fund on Form N-MFP. Morgan Stanley does not deliver these reports to shareholders, nor are the first and third fiscal quarter reports posted to the Morgan Stanley public web site. However, the holdings for each money market fund are posted to the Morgan Stanley public web site. You may obtain the Form N-Q filings (as well as the Form N-CSR, N-CSRS and N-MFP 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

Morgan Stanley Select Dimensions Investment Series

Fund Performance n June 30, 2011 (unaudited)

Average Annual Total Returns—Period Ended June 30, 2011⁽¹⁾
Class X	1 Year			5 Years			10 Years			Since Inception			Date of Inception
Flexible Income		9.07	%		2.94	%		4.74	%		3.90	%	11/9/1994
Focus Growth		45.94			8.17			4.16			9.83		11/9/1994
Global Infrastructure		36.89			5.72			5.17			9.22		11/9/1994
Growth		42.50			8.51			4.67			7.62		11/9/1994
Mid Cap Growth		46.21			10.00			8.45			11.40		11/9/1994
Money Market		0.01			1.94			1.88			3.25		11/9/1994
Multi Cap Growth		44.91			7.66			3.74			4.63		1/21/1997

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.

⁽¹⁾ Figure assumes reinvestment of all distributions for the underlying fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance information included the effect of these additional charges, the total returns would be lower.

Morgan Stanley Select Dimensions Investment Series

Fund Performance n June 30, 2011 (unaudited) continued

Average Annual Total Returns—Period Ended June 30, 2011⁽¹⁾
Class Y	1 Year			5 Years			10 Years			Since Inception			Date of Inception
Flexible Income		8.80	%		2.68	%		4.48	%		3.18	%	7/24/2000
Focus Growth		45.62			7.90			3.91			0.79		7/24/2000
Global Infrastructure		36.54			5.47			4.91			2.33		7/24/2000
Growth		42.16			8.23			4.41			0.98		7/24/2000
Mid Cap Growth		45.85			9.73			8.18			4.22		7/24/2000
Money Market		0.01			1.81			1.69			1.99		7/24/2000
Multi Cap Growth		44.52			7.39			3.47			-3.29		7/24/2000

Morgan Stanley Select Dimensions Investment Series

Expense Example n June 30, 2011 (unaudited)

As a shareholder of the Portfolio, you incur two types of costs: (1) insurance company charges; and (2) ongoing costs, including advisory fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 01/01/11 – 06/30/11.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical expenses based on the 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.

Morgan Stanley Select Dimensions Investment Series

Expense Example n June 30, 2011 (unaudited) continued

Money Market

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (0.00% return)	$	1,000.00	$	1,000.00	$	1.59
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,023.21	$	1.61
Class Y
Actual (0.00% return)	$	1,000.00	$	1,000.00	$	1.59
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,023.21	$	1.61

@ Expenses are equal to the Portfolio's annualized expense ratios of 0.32% and 0.32% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.62% and 0.87% for class X and Class Y shares, respectively.

Flexible Income

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (3.45% return)	$	1,000.00	$	1,034.50	$	4.84
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,020.03	$	4.81
Class Y
Actual (3.34% return)	$	1,000.00	$	1,033.40	$	6.10
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,018.79	$	6.06

@ Expenses are equal to the Portfolio's annualized expense ratios of 0.96% and 1.21% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Global Infrastructure

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (12.19% return)	$	1,000.00	$	1,121.90	$	5.47
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.64	$	5.21
Class Y
Actual (12.09% return)	$	1,000.00	$	1,120.90	$	6.78
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,018.40	$	6.46

@ Expenses are equal to the Portfolio's annualized expense ratios of 1.04% and 1.29% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Morgan Stanley Select Dimensions Investment Series

Expense Example n June 30, 2011 (unaudited) continued

Growth

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (9.09% return)	$	1,000.00	$	1,090.90	$	4.61
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,020.38	$	4.46
Class Y
Actual (8.96% return)	$	1,000.00	$	1,089.60	$	5.91
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.14	$	5.71

@ Expenses are equal to the Portfolio's annualized expense ratios of 0.89% and 1.14% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Focus Growth

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (8.21% return)	$	1,000.00	$	1,082.10	$	3.82
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,021.12	$	3.71
Class Y
Actual (8.14% return)	$	1,000.00	$	1,081.40	$	5.11
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.89	$	4.96

@ Expenses are equal to the Portfolio's annualized expense ratios of 0.74% and 0.99% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Multi Cap Growth

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (4.83% return)	$	1,000.00	$	1,048.30	$	5.59
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.34	$	5.51
Class Y
Actual (4.65% return)	$	1,000.00	$	1,046.50	$	6.85
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,018.10	$	6.76

@ Expenses are equal to the Porfolio's annualized expense ratios of 1.10% and 1.35% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Morgan Stanley Select Dimensions Investment Series

Expense Example n June 30, 2011 (unaudited) continued

Mid Cap Growth

	Beginning Account Value		Ending Account Value		Expenses Paid During Period@
	01/01/11		06/30/11		01/01/11 – 06/30/11
Class X
Actual (11.45% return)	$	1,000.00	$	1,114.50	$	3.98
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,021.03	$	3.81
Class Y
Actual (11.32% return)	$	1,000.00	$	1,113.20	$	5.29
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.79	$	5.06

@ Expenses are equal to the Portfolio's annualized expense ratios of 0.76% and 1.01% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Morgan Stanley Select Dimensions Investment Series

Investment Advisory Agreement Approval n June 30, 2011 (unaudited)

Nature, Extent and Quality of Services

The Board reviewed and considered the nature and extent of the investment advisory services provided by the Investment Adviser (as defined herein) under the advisory agreement, including portfolio management, investment research and equity and fixed income securities trading. The Board reviewed similar information and factors regarding the Sub-Advisers (as defined herein), to the extent applicable. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Administrator (as defined herein) under the administration agreement, including accounting, clerical, bookkeeping, compliance, business management and planning, and the provision of supplies, office space and utilities at the Investment Adviser's expense. (The Investment Adviser, Sub-Advisers and Administrator together are referred to as the "Adviser" and the advisory, sub-advisory and administration agreements together are referred to as the "Management Agreement.") The Board also compared the nature of the services provided by the Adviser with similar services provided by non-affiliated advisers as reported to the Board by Lipper, Inc. ("Lipper").

The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key personnel of the Adviser who provide the administrative and advisory services to the Portfolios. The Board determined that the Adviser's portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services provided were necessary and appropriate for the conduct of the business and investment activities of the Portfolios and supported its decision to approve the Management Agreement.

Performance, Fees and Expenses of the Portfolios

The Board reviewed the performance, fees and expenses of the Portfolios compared to their peers, as determined by Lipper, and to appropriate benchmarks where applicable. The Board discussed with the Adviser the performance goals and the actual results achieved in managing the Portfolios. When considering a fund's performance, the Board and the Adviser place emphasis on trends and longer-term returns (focusing on one-year, three-year and five-year performance, as of December 31, 2010, or since inception, as applicable). When a fund underperforms its benchmark and/or its peer group average, they discuss the causes of such underperformance and, where necessary, they discuss specific changes to investment strategy or investment personnel.

Performance

The Board noted that the performance of the Money Market and Flexible Income Portfolios was below the peer group averages for the one-, three- and five-year periods.

The Board noted that the performance of the Global Infrastructure Portfolio was better than its peer group average for the five-year period but below its peer group average for the one- and three-year periods.

Morgan Stanley Select Dimensions Investment Series

Investment Advisory Agreement Approval n June 30, 2011 (unaudited) continued

The Board noted that the performance of the Growth, Focus Growth, Multi Cap Growth and Mid Cap Growth Portfolios was better than the peer group averages for the one-, three- and five-year periods.

Performance Conclusions

With respect to the Money Market, Flexible Income and Global Infrastructure Portfolios, after discussion, the Board concluded that performance was acceptable.

With respect to the Growth, Focus Growth, Multi Cap Growth and Mid Cap Growth Portfolios, after discussion, the Board concluded that performance was competitive with the peer group averages.

Fees and Expenses

The Board members discussed with the Adviser the level of the advisory and administration fees (together, the "management fee") for the Portfolios relative to comparable funds and/or other accounts advised by the Adviser and/or compared to their peers as determined by Lipper. In addition to the management fee, the Board also reviewed the Portfolios' total expense ratios.

The Board noted that the management fees and total expense ratios for the Money Market, Focus Growth and Mid Cap Growth Portfolios were lower than the peer group averages.

The Board noted for the Flexible Income Portfolio that while the management fee was lower than its peer group average, the total expense ratio was higher but close to its peer group average.

The Board noted for the Global Infrastructure Portfolio that while the management fee was lower than its peer group average, the total expense ratio was higher but close to its peer group average.

The Board noted for the Growth and Multi Cap Growth Portfolios that while the management fees were higher but close to the peer group averages, the total expense ratios were lower than the peer group averages.

Fee and Expense Conclusions

With respect to the Money Market, Flexible Income, Global Infrastructure, Growth, Focus Growth and Mid Cap Growth Portfolios, after discussion, the Board concluded that the management fees and total expense ratios were competitive with the peer group averages.

With respect to the Multi Cap Growth Portfolio, after discussion, the Board concluded that (i) the management fee, although higher than its peer group average, was acceptable given the quality and nature of services provided, and (ii) the total expense ratio was competitive with its peer group average.

Morgan Stanley Select Dimensions Investment Series

Investment Advisory Agreement Approval n June 30, 2011 (unaudited) continued

Economies of Scale

The Board considered the size and growth prospects of the Portfolios and how that relates to the Portfolios' total expense ratios and particularly the Portfolios' management fee rates (which, for all the Portfolios except Flexible Income, include one or more breakpoints). In conjunction with its review of the Adviser's profitability, the Board discussed with the Adviser how a change in assets can affect the efficiency or effectiveness of managing the Portfolios and whether the management fee level is appropriate relative to current and projected asset levels and/or whether the management fee structure reflects economies of scale as asset levels change. The Board has determined that its review of the actual and potential economies of scale of each Portfolio supports its decision to approve the Management Agreement.

Profitability of the Adviser and Affiliates

The Board considered information concerning the costs incurred and profits realized by the Adviser and its affiliates during the last year from their relationship with the Portfolios and during the last two years from their relationship with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost allocation methodology used to determine the profitability of the Adviser and affiliates. The Board has determined that its review of the analysis of the Adviser's expenses and profitability supports its decision to approve the Management Agreement.

Other Benefits of the Relationship

The Board considered other benefits to the Adviser and its affiliates derived from their relationship with the Portfolios and other funds advised by the Adviser. These benefits may include, among other things, "float" benefits derived from handling of checks for purchases and sales, research received by the Adviser generated from commission dollars spent on funds' portfolio trading and fees for distribution and/or shareholder servicing. The Board reviewed with the Adviser each of these arrangements and the reasonableness of the Adviser's costs relative to the services performed. The Board has determined that its review of the other benefits received by the Adviser or its affiliates supports its decision to approve the Management Agreement.

Resources of the Adviser and Historical Relationship Between the Portfolios and the Adviser

The Board considered whether the Adviser is financially sound and has the resources necessary to perform its obligations under the Management Agreement. The Board also reviewed and considered the historical relationship between the Portfolios and the Adviser, including the organizational structure of the Adviser, the policies and procedures formulated and adopted by the Adviser for managing the Portfolios' operations and the Board's confidence in the competence and integrity of the senior managers and key personnel of the Adviser. The Board concluded that the Adviser has the financial resources necessary to fulfill its obligations under the Management Agreement and that it is beneficial for the Portfolios to continue their relationship with the Adviser.

Morgan Stanley Select Dimensions Investment Series

Investment Advisory Agreement Approval n June 30, 2011 (unaudited) continued

Other Factors and Current Trends

The Board considered the controls and procedures adopted and implemented by the Adviser and monitored by the Fund's Chief Compliance Officer and concluded that the conduct of business by the Adviser indicates a good faith effort on its part to adhere to high ethical standards in the conduct of the Fund's business.

General Conclusion

After considering and weighing all of the above factors, the Board concluded that it would be in the best interest of each Portfolio and its shareholders to approve renewal of the Management Agreement for another year. In reaching this conclusion the Board did not give particular weight to any single factor referenced above. The Board considered these factors over the course of numerous meetings, some of which were in executive session with only the independent Board members and their counsel present. It is possible that individual Board members may have weighed these factors differently in reaching their individual decisions to approve the Management Agreement.

Money Market

Portfolio of Investments n June 30, 2011 (unaudited)

PRINCIPAL AMOUNT IN THOUSANDS			ANNUALIZED YIELD ON DATE OF PURCHASE				MATURITY DATE	VALUE
		Repurchase Agreements (59.8%)
$10,127		BNP Paribas Securities Corp., (dated 06/30/11; proceeds $10,127,014; fully collateralized by U.S. Government Agencies; Federal Home Loan Mortgage Corporation 2.48% - 4.74% due 12/01/30 - 08/01/37; Federal National Mortgage Association 1.70% - 3.57% due 04/01/29 - 09/01/46; Government National Mortgage Association 2.25% - 2.63% due 03/20/27 - 10/20/36; valued at $10,430,810)		0.05	%		07/01/11	$	10,127,000
20,000		Credit Agricole Securites Securities USA, Inc., (dated 06/30/11; proceeds $20,000,006; fully collateralized by a U.S. Government Obligation; U.S. Treasury Note 0.75% due 03/31/13; valued at $20,437,755)		0.01			07/01/11		20,000,000
10,000		ING Financial Markets LLC, (dated 06/30/11; proceeds $10,000,011; fully collateralized by U.S. Government Agencies; Federal Home Loan Mortgage Corporation 6.00% due 06/01/35 - 03/01/36; valued at $10,323,284)		0.04			07/01/11		10,000,000
16,000		TD Securities USA, (dated 06/30/11; proceeds $16,000,002; fully collateralized by a U.S. Government Obligation; U.S. Treasury Note 1.50% due 06/30/16; valued at $16,320,029)		0.005			07/01/11		16,000,000
		Total Repurchase Agreements (Cost $56,127,000)							56,127,000
						DEMAND DATE(b)
		Floating Rate Notes (19.2%)
		International Banks
	5,000	Barclays Bank PLC		0.78	(a)	07/19/11	07/19/11		5,000,000
	4,000	Lloyds TSB Bank PLC		0.77	(a)	07/29/11	07/29/11		4,000,000
	2,500	Royal Bank of Canada		0.26	(a)	08/25/11	02/27/12		2,500,000
	4,000	Societe Generale		0.27	(a)	08/08/11	05/08/12		4,000,000
	2,500	UBS AG		0.24	(a)	07/14/11	12/14/11		2,500,000
		Total Floating Rate Notes (Cost $18,000,000)							18,000,000

See Notes to Financial Statements
22

Money Market

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			ANNUALIZED YIELD ON DATE OF PURCHASE				MATURITY DATE			VALUE
		Commercial Paper (9.5%)
		International Banks
$	1,000	ABN Amro Funding USA LLC (c)		0.20	%		07/22/11			$	999,883
	3,500	BPCE SA (c)		0.25 - 0.43			07/08/11 - 09/12/11				3,498,861
	2,000	ING US Funding LLC		0.29			07/08/11				1,999,887
	2,400	Svenska Handelsbanken, Inc. (c)		0.29			07/15/11				2,399,729
		Total Commercial Paper (Cost $8,898,360)									8,898,360
		Certificates of Deposit (8.5%)
		International Banks
	2,000	Bank of Montreal		0.11			07/01/11				2,000,000
	2,000	Credit Agricole CIB		0.24			08/04/11				2,000,000
	2,000	Nordea Bank Finland PLC		0.07			07/05/11				2,000,000
	2,000	Svenska Handelsbanken AB		0.24			08/30/11				2,000,050
		Total Certificates of Deposit (Cost $8,000,050)									8,000,050
			COUPON RATE(a)			DEMAND DATE(b)
		Tax-Exempt Instrument
		Weekly Variable Rate Bond (3.2%)
	3,000	Miami-Dade County, Professional Sports Franchise Facilities Tax Ser 2009 E (Cost $3,000,000)		0.08	%	07/07/11	10/01/48				3,000,000
		Total Investments (Cost $94,025,410) (d)						100.2	%		94,025,410
		Liabilities in Excess of Other Assets						(0.2	)		(179,672	)
		Net Assets						100.0	%	$	93,845,738

(a) Rate shown is the rate in effect at June 30, 2011.

(b) Date of next interest rate reset.

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

(d) Cost is the same for federal income tax purposes.

MATURITY SCHEDULE†

1 - 30 Days	86.7	%
31 - 60 Days	9.0
61 - 90 Days	4.3
	100.0	%

† As a percentage of total investments.

See Notes to Financial Statements
23

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited)

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Foreign Government & Corporate Bonds (22.8%)
		Argentina (0.5%)
		Sovereign
$	141	Argentina Bonos		7.00	%	10/03/15	$	138,976
		Australia (2.1%)
		Basic Materials (0.8%)
	35	FMG Resources August 2006 Pty Ltd. (a)		6.375		02/01/16		35,087
	160	FMG Resources August 2006 Pty Ltd. (a)		6.875		02/01/18		163,200
								198,287
		Communications (0.1%)
	40	Telstra Corp. Ltd. (a)		4.80		10/12/21		40,213
		Consumer, Cyclical (0.1%)
	35	Wesfarmers Ltd. (a)		2.983		05/18/16		35,143
		Consumer, Non-Cyclical (0.2%)
	45	Woolworths Ltd. (a)		4.00		09/22/20		43,903
		Finance (0.9%)
	50	Dexus Diversfied Trust/Dexus Office Trust (a)		5.60		03/15/21		50,619
	100	National Australia Bank Ltd. (a)		3.375		07/08/14		106,447
	75	WEA Finance LLC (a)		4.625		05/10/21		72,926
								229,992
		Total Australia						547,538
		Belgium (0.1%)
		Consumer, Non-Cyclical
	34	Delhaize Group SA		5.70		10/01/40		31,740
		Brazil (2.0%)
		Basic Materials (0.2%)
	50	Vale Overseas Ltd.		5.625		09/15/19		53,613
	5	Vale Overseas Ltd.		6.875		11/10/39		5,459
								59,072
		Energy (0.2%)
	55	Petrobras International Finance Co.		5.75		01/20/20		58,946
		Sovereign (1.6%)
	200	Banco Nacional de Desenvolvimento Economico e Social (a)		6.369		06/16/18		225,000

See Notes to Financial Statements
24

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
$	150	Brazilian Government International Bond		5.875	%	01/15/19	$	174,375
	10	Brazilian Government International Bond		7.125		01/20/37		12,400
								411,775
		Total Brazil						529,793
		Canada (0.7%)
		Basic Materials
	40	Barrick North America Finance LLC (a)		4.40		05/30/21		39,894
	120	Nova Chemicals Corp.		8.375		11/01/16		132,600
		Total Canada						172,494
		Dominican Republic (0.0%)
		Sovereign
	5	Dominican Republic International Bond		9.04		01/23/18		6,175
		France (0.7%)
		Communications (0.2%)
	15	France Telecom SA		8.50		03/01/31		20,244
	40	Vivendi SA (a)		6.625		04/04/18		45,312
								65,556
		Finance (0.3%)
	75	BNP Paribas SA		5.00		01/15/21		75,547
		Industrials (0.2%)
	40	Lafarge SA (a)		5.85		07/09/15		42,804
		Total France						183,907
		Germany (0.1%)
		Communications
	25	Deutsche Telekom International Finance BV		8.75		06/15/30		33,081
		Ghana (0.4%)
		Sovereign
	100	Republic of Ghana (a)		8.50		10/04/17		113,500
		Indonesia (1.2%)
		Finance (0.1%)
	19	Tjiwi Kimia Finance BV, Tranche A (a)		3.279	(b)	04/28/15		3,340
	107	Tjiwi Kimia Finance BV, Tranche B (a)		3.279	(b)	04/28/18		12,166
	264	Tjiwi Kimia Finance BV, Tranche C (a)		0.00	(b)	04/28/27		9,095
								24,601

See Notes to Financial Statements
25

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Sovereign (1.1%)
$	100	Indonesia Government International Bond (a)		11.625	%	03/04/19	$	147,875
	100	Republic of Indonesia		7.75		01/17/38		126,375
								274,250
		Total Indonesia						298,851
		Ireland (1.1%)
		Consumer, Non-Cyclical (0.6%)
	145	Warner Chilcott Co. LLC/Warner Chilcott Finance LLC (a)		7.75		09/15/18		146,993
		Sovereign (0.2%)
EUR	68	Ireland Government Bond		5.40		03/13/25		61,100
		Utilities (0.3%)
$	75	Iberdrola Finance Ireland Ltd. (a)		5.00		09/11/19		74,089
		Total Ireland						282,182
		Italy (0.4%)
		Utilities
	100	Enel Finance International N.V. (a)		5.125		10/07/19		101,281
		Kazakhstan (0.5%)
		Sovereign
	100	KazMunayGas National Co. (a)		9.125		07/02/18		123,740
		Luxembourg (0.7%)
		Basic Materials (0.2%)
	40	ArcelorMittal		9.85		06/01/19		50,783
		Communications (0.5%)
	95	Intelsat Jackson Holdings SA		9.50		06/15/16		99,868
	25	Telecom Italia Capital SA		6.999		06/04/18		27,380
								127,248
		Total Luxembourg						178,031
		Mexico (2.2%)
		Basic Materials (0.1%)
	5	Southern Copper Corp.		5.375		04/16/20		5,147
	20	Southern Copper Corp.		6.75		04/16/40		19,556
								24,703

See Notes to Financial Statements
26

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Consumer, Non-Cyclical (0.4%)
$	100	Grupo Bimbo SAB de CV (a)		4.875	%	06/30/20	$	100,838
		Sovereign (1.7%)
MXN	1,083	Mexican Bonos		8.00		06/11/20		99,467
$	44	Mexico Government International Bond		5.95		03/19/19		50,710
	20	Mexico Government International Bond		6.05		01/11/40		21,380
	100	Mexico Government International Bond		6.75		09/27/34		116,750
	33	Pemex Project Funding Master Trust		6.625		06/15/35		34,948
	25	Pemex Project Funding Master Trust		6.625		06/15/38		26,341
	60	Petroleos Mexicanos		5.50		01/21/21		63,210
	15	Petroleos Mexicanos		8.00		05/03/19		18,570
								431,376
		Total Mexico						556,917
		Netherlands (0.8%)
		Finance (0.3%)
	75	Aegon N.V.		4.625		12/01/15		79,559
		Technology (0.5%)
	120	Sensata Technologies BV (a)		6.50		05/15/19		120,300
		Total Netherlands						199,859
		Peru (0.5%)
		Sovereign
	10	Peruvian Government International Bond		7.35		07/21/25		12,265
	56	Peruvian Government International Bond		8.75		11/21/33		76,636
	40	Republic of Peru		7.125		03/30/19		48,320
		Total Peru						137,221
		Philippines (0.4%)
		Sovereign
	87	Philippine Government International Bond		8.875		03/17/15		108,419
		Russia (1.4%)
		Communications (0.1%)
	23	Intelsat Luxembourg SA		11.50	(c)	02/04/17		25,087
		Sovereign (1.3%)
	142	Russian Foreign Bond - Eurobond		7.50		03/31/30		167,750
	90	Russian Foreign Bond - Eurobond		12.75		06/24/28		159,750
								327,500
		Total Russia						352,587

See Notes to Financial Statements
27

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		South Africa (0.4%)
		Communications
$	100	Sable International Finance Ltd. (a)		7.75	%	02/15/17	$	101,000
		Spain (0.6%)
		Communications (0.2%)
	45	Telefonica Europe BV		8.25		09/15/30		53,871
		Finance (0.4%)
	100	BBVA US Senior SAU		3.25		05/16/14		98,960
		Total Spain						152,831
		Switzerland (0.5%)
		Finance (0.4%)
	25	ABB Treasury Center USA, Inc. (a)		2.50		06/15/16		24,836
	5	Credit Suisse		6.00		02/15/18		5,403
	70	Credit Suisse AG		5.40		01/14/20		70,987
								101,226
		Industrials (0.1%)
	25	Holcim US Finance Sarl & Cie SCS (a)		6.00		12/30/19		26,759
		Total Switzerland						127,985
		Turkey (1.1%)
		Sovereign
	100	Turkey Government International Bond		5.625		03/30/21		105,000
	100	Turkey Government International Bond		6.75		04/03/18		114,120
	17	Turkey Government International Bond		6.875		03/17/36		18,785
	15	Turkey Government International Bond		8.00		02/14/34		18,675
	19	Turkey Government International Bond		11.875		01/15/30		32,395
		Total Turkey						288,975
		Ukraine (0.4%)
		Sovereign
	100	Ukraine Government International Bond		6.75		11/14/17		101,375
		United Kingdom (2.8%)
		Communications (0.9%)
	100	Virgin Media Finance PLC, Series 1		9.50		08/15/16		113,500
	100	WPP Finance UK		8.00		09/15/14		117,388
								230,888

See Notes to Financial Statements
28

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Finance (1.3%)
$	65	Barclays Bank PLC		6.75	%	05/22/19	$	73,079
	30	HSBC Holdings PLC		5.10		04/05/21		30,802
	120	Nationwide Building Society (a)		6.25		02/25/20		124,999
	100	Royal Bank of Scotland PLC (The)		4.875		03/16/15		103,870
								332,750
		Industrials (0.4%)
	100	BAA Funding Ltd. (a)		4.875		07/15/21		97,802
		Utilities (0.2%)
	60	PPL WEM Holdings PLC (a)		3.90		05/01/16		61,639
		Total United Kingdom						723,079
		Uruguay (0.1%)
		Sovereign
	10	Uruguay Government International Bond		8.00		11/18/22		12,990
		Venezuela (1.1%)
		Sovereign
	130	Petroleos de Venezuela SA		8.50		11/02/17		97,045
	20	Venezuela Government International Bond		6.00		12/09/20		12,550
	150	Venezuela Government International Bond		7.65		04/21/25		97,875
	89	Venezuela Government International Bond		9.25		09/15/27		67,507
		Total Venezuela						274,977
		Total Foreign Government & Corporate Bonds (Cost $5,660,748)						5,879,504
		Domestic Corporate Bonds (56.9%)
		Basic Materials (3.4%)
	70	Boise Paper Holdings LLC/Boise Finance Co.		9.00		11/01/17		76,475
	95	CF Industries, Inc.		6.875		05/01/18		107,944
	65	Georgia-Pacific LLC		8.875		05/15/31		82,335
	60	International Paper Co.		7.50		08/15/21		70,259
	200	JMC Steel Group (a)		8.25		03/15/18		204,000
	108	Lyondell Chemical Co. (a)		8.00		11/01/17		120,420
	95	Nalco Co. (a)		6.625		01/15/19		97,850
	80	Nalco Co.		8.25		05/15/17		87,800
	35	PH Glatfelter Co.		7.125		05/01/16		36,269
								883,352

See Notes to Financial Statements
29

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Communications (7.4%)
$	30	CBS Corp.		8.875	%	05/15/19	$	38,300
	140	CCO Holdings LLC/CCO Holdings Capital Corp.		6.50		04/30/21		138,775
	105	Cincinnati Bell, Inc.		8.375		10/15/20		105,000
	140	CommScope, Inc. (a)		8.25		01/15/19		144,900
	95	Cricket Communications, Inc. (a)		7.75		10/15/20		93,337
	180	CSC Holdings LLC		8.625		02/15/19		203,850
	65	DISH DBS Corp.		6.625		10/01/14		68,575
	30	Earthlink, Inc. (a)		8.875		05/15/19		27,375
	80	EH Holding Corp. (a)		7.625		06/15/21		82,000
	15	Expedia, Inc.		5.95		08/15/20		14,663
	110	Frontier Communications Corp.		9.00		08/15/31		113,300
	145	inVentiv Health, Inc. (a)		10.00		08/15/18		142,462
	50	NBC Universal Media LLC (a)		5.15		04/30/20		52,889
	65	News America, Inc.		7.85		03/01/39		78,069
	75	Qwest Corp.		8.375		05/01/16		88,875
	70	Sprint Capital Corp.		6.90		05/01/19		72,450
	40	Time Warner Cable, Inc.		6.75		07/01/18		46,454
	15	Time Warner, Inc.		4.875		03/15/20		15,561
	30	Time Warner, Inc.		5.875		11/15/16		34,331
	65	Verizon Communications, Inc.		6.35		04/01/19		75,622
	30	Windstream Corp.		7.75		10/01/21		31,500
	100	Windstream Corp.		7.875		11/01/17		106,625
	120	XM Satellite Radio, Inc. (a)		7.625		11/01/18		126,000
								1,900,913
		Consumer, Cyclical (6.7%)
	70	Ameristar Casinos, Inc. (a)		7.50		04/15/21		72,538
	80	Caesars Entertainment Operating Co., Inc.		10.00		12/15/18		72,600
	110	Caesars Entertainment Operating Co., Inc.		11.25		06/01/17		121,962
	75	CVS Pass-Through Trust		6.036		12/10/28		80,202
	30	Daimler Finance North America LLC		7.30		01/15/12		31,048
	125	Dana Holding Corp.		6.50		02/15/19		124,375
	75	DR Horton, Inc.		6.50		04/15/16		78,563
	50	Gap, Inc. (The)		5.95		04/12/21		48,123
	65	Home Depot, Inc.		5.875		12/16/36		66,745
	30	Hyatt Hotels Corp. (a)		6.875		08/15/19		33,532
	15	Ingram Micro, Inc.		5.25		09/01/17		15,744
	15	JC Penney Co., Inc.		5.65		06/01/20		14,925
	36	JC Penney Corp., Inc.		6.375		10/15/36		32,400

See Notes to Financial Statements
30

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
$	145	Lennar Corp.		6.95	%	06/01/18	$	141,375
	100	Levi Strauss & Co.		7.625		05/15/20		100,500
	140	MGM Resorts International		7.625		01/15/17		135,450
	50	QVC, Inc. (a)		7.125		04/15/17		52,750
	299	Resort at Summerlin LP, Series B (d)(e)(f)(g)		13.00	(c)	12/15/07		0
	30	Tenneco, Inc.		6.875		12/15/20		30,675
	105	Tenneco, Inc.		7.75		08/15/18		110,513
	70	TRW Automotive, Inc. (a)		8.875		12/01/17		78,750
	35	Wal-Mart Stores, Inc.		5.25		09/01/35		35,122
	55	Wyndham Worldwide Corp.		5.625		03/01/21		54,963
	145	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.		7.75		08/15/20		158,231
	30	Yum! Brands, Inc.		6.875		11/15/37		34,143
								1,725,229
		Consumer, Non-Cyclical (13.6%)
	20	Altria Group, Inc.		9.25		08/06/19		26,118
	100	Aptalis Pharma, Inc.		12.75		03/01/16		108,875
	285	ARAMARK Corp.		8.50		02/01/15		297,469
	85	Boston Scientific Corp.		6.00		01/15/20		92,172
	35	Bunge Ltd. Finance Corp.		8.50		06/15/19		42,733
	195	CHS/Community Health Systems, Inc.		8.875		07/15/15		201,338
	25	ConAgra Foods, Inc.		7.00		10/01/28		26,297
	20	ConAgra Foods, Inc.		8.25		09/15/30		23,826
	285	Constellation Brands, Inc.		7.25		05/15/17		311,363
	195	Del Monte Foods Co. (a)		7.625		02/15/19		197,925
	65	Gilead Sciences, Inc.		4.50		04/01/21		65,235
	125	HCA, Inc.		7.69		06/15/25		117,500
	75	Healthsouth Corp.		7.75		09/15/22		79,406
	25	Healthsouth Corp.		10.75		06/15/16		26,500
	140	IASIS Healthcare LLC/IASIS Capital Corp. (a)		8.375		05/15/19		138,600
	280	Jarden Corp.		7.50		05/01/17		292,250
	75	JBS USA LLC/J BS USA Finance, Inc.		11.625		05/01/14		86,625
	135	Kindred Healthcare, Inc. (a)		8.25		06/01/19		135,000
	50	Kraft Foods, Inc.		5.375		02/10/20		54,755
	30	Quest Diagnostics, Inc.		6.95		07/01/37		33,412
	270	RSC Equipment Rental, Inc./RSC Holdings III LLC		8.25		02/01/21		270,000
	8	Select Medical Corp.		7.625		02/01/15		7,960
	35	Select Medical Holdings Corp.		6.211	(b)	09/15/15		33,600
	285	SUPERVALU, Inc.		8.00		05/01/16		292,125

See Notes to Financial Statements
31

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
$	80	Ticketmaster Entertainment LLC/Ticketmaster Noteco, Inc.		10.75	%	08/01/16	$	87,600
	125	TreeHouse Foods, Inc.		7.75		03/01/18		133,125
	75	Universal Health Services, Inc.		7.00		10/01/18		77,625
	115	Valeant Pharmaceuticals International (a)		6.50		07/15/16		114,281
	85	Valeant Pharmaceuticals International (a)		7.25		07/15/22		82,875
	55	Verisk Analytics, Inc.		5.80		05/01/21		58,448
								3,515,038
		Energy (7.5%)
	80	Alpha Natural Resources, Inc.		6.25		06/01/21		80,800
	55	Anadarko Petroleum Corp.		6.95		06/15/19		64,341
	275	Chaparral Energy, Inc. (a)		8.25		09/01/21		278,437
	200	Concho Resources, Inc.		7.00		01/15/21		207,500
	155	Denbury Resources, Inc.		9.75		03/01/16		173,987
	50	Energy Transfer Partners LP		9.00		04/15/19		62,261
	200	Energy XXI Gulf Coast, Inc. (a)		9.25		12/15/17		213,500
	25	EQT Corp.		8.125		06/01/19		30,628
	125	Linn Energy LLC/Linn Energy Finance Corp. (a)		6.50		05/15/19		124,063
	30	Marathon Petroleum Corp. (a)		5.125		03/01/21		30,900
	110	Plains Exploration & Production Co.		10.00		03/01/16		124,300
	95	QEP Resources, Inc.		6.875		03/01/21		100,700
	125	SandRidge Energy, Inc.		8.75		01/15/20		133,750
	150	Venoco, Inc. (a)		8.875		02/15/19		150,750
	130	Williams Cos., Inc. (The)		7.875		09/01/21		161,425
								1,937,342
		Finance (11.2%)
	255	Ally Financial, Inc. (a)		6.25		12/01/17		254,256
	215	Ally Financial, Inc.		7.50		09/15/20		225,750
	50	Brandywine Operating Partnership		4.95		04/15/18		50,763
	14	CA FM Lease Trust (a)(d)		8.50		07/15/17		16,277
	25	Citigroup, Inc. (See Note 6)		8.125		07/15/39		31,383
	85	Citigroup, Inc. (See Note 6)		8.50		05/22/19		105,529
	70	CNA Financial Corp.		5.75		08/15/21		72,420
	80	Digital Realty Trust LP		4.50		07/15/15		83,339
	40	General Electric Capital Corp.		5.30		02/11/21		41,700
	50	Genworth Financial, Inc.		7.20		02/15/21		50,122
	135	Goldman Sachs Group, Inc. (The)		6.15		04/01/18		147,130
	35	Harley-Davidson Funding Corp. (a)		6.80		06/15/18		39,612

See Notes to Financial Statements
32

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
$	60	Hartford Financial Services Group, Inc. (See Note 6)		5.50	%	03/30/20	$	61,956
	75	HCP, Inc.		5.625		05/01/17		81,555
	50	Health Care REIT, Inc.		6.125		04/15/20		53,647
	275	International Lease Finance Corp.		8.25		12/15/20		297,688
	65	JPMorgan Chase & Co.		4.625		05/10/21		64,600
	100	Merrill Lynch & Co., Inc.		6.11		01/29/37		94,052
	30	NASDAQ OMX Group, Inc. (The)		5.55		01/15/20		29,953
	35	Nationwide Financial Services (a)		5.375		03/25/21		35,221
	112	NSG Holdings LLC/NSG Holdings, Inc. (a)		7.75		12/15/25		110,320
	30	Principal Financial Group, Inc.		8.875		05/15/19		38,217
	35	Prudential Financial, Inc.		6.625		12/01/37		37,278
	275	Regions Financial Corp.		5.75		06/15/15		271,110
	30	Santander Holdings USA, Inc.		4.625		04/19/16		30,181
	215	SLM Corp.		6.25		01/25/16		223,282
	60	SLM Corp.		8.00		03/25/20		64,530
	80	TD Ameritrade Holding Corp.		5.60		12/01/19		85,906
	75	Ventas Realty LP/Ventas Capital Corp.		4.75		06/01/21		73,354
	60	Wells Operating Partnership II LP (a)		5.875		04/01/18		61,982
	55	Willis Group Holdings PLC		4.125		03/15/16		56,134
								2,889,247
		Industrials (3.0%)
	75	Clean Harbors, Inc. (a)		7.625		08/15/16		79,875
	45	Cooper US, Inc.		5.25		11/15/12		47,664
	45	CRH America, Inc.		6.00		09/30/16		49,451
	75	Graphic Packaging International, Inc.		7.875		10/01/18		79,875
	13	Hexcel Corp.		6.75		02/01/15		13,293
	70	Masco Corp.		6.125		10/03/16		71,987
	140	Pactiv Corp.		7.95		12/15/25		126,000
	185	RBS Global, Inc./Rexnord LLC		8.50		05/01/18		196,331
	70	Solo Cup Co.		8.50		02/15/14		65,625
	30	Union Pacific Corp.		6.125		02/15/20		34,937
								765,038
		Technology (1.3%)
	135	CDW LLC/CDW Finance Corp. (a)		8.50		04/01/19		132,975
	11	First Data Corp. (a)		12.625		01/15/21		11,825
	35	KLA-Tencor Corp.		6.90		05/01/18		39,591
	95	SunGard Data Systems, Inc.		7.375		11/15/18		95,475

See Notes to Financial Statements
33

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
$	30	SunGard Data Systems, Inc.		10.625	%	05/15/15	$	32,625
	20	Xerox Corp.		6.35		05/15/18		22,958
								335,449
		Utilities (2.8%)
	40	FirstEnergy Solutions Corp.		6.05		08/15/21		43,124
	245	GenOn Americas Generation LLC		8.50		10/01/21		252,350
	64	Homer City Funding LLC		8.137		10/01/19		58,880
	79	Midwest Generation LLC, Series B		8.56		01/02/16		80,833
	115	NRG Energy, Inc.		8.50		06/15/19		119,600
	150	Puget Energy, Inc.		6.50		12/15/20		155,177
								709,964
		Total Domestic Corporate Bonds (Cost $14,212,846)						14,661,572
		Asset-Backed Securities (2.2%)
	100	Ally Master Owner Trust (a)		2.88		04/15/15		102,910
	125	Ford Credit Floorplan Master Owner Trust (a)		1.887	(b)	02/15/17		129,983
	200	FUEL Trust (a)		4.207		10/15/22		200,978
	20	Specialty Underwriting & Residential Finance		0.456	(b)	05/25/35		16,464
	125	Westlake Automobile Receivables Trust (a)		5.00		05/15/15		125,670
		Total Asset-Backed Securities (Cost $569,524)						576,005
		Agency Fixed Rate Mortgages (0.6%)
		Federal National Mortgage Association,
		Conventional Pools:
	100			6.50		07/01/29 - 11/01/33		113,643
	34			7.00		02/01/33		39,111
	1			8.00		02/01/12		721
	1	Government National Mortgage Association, Various Pools:		8.00		06/15/26		699
		Total Agency Fixed Rate Mortgages (Cost $140,392)						154,174

See Notes to Financial Statements
34

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		U.S. Treasury Securities (7.4%)
		U.S. Treasury Bonds
$	200			3.50	%	02/15/39	$	171,781
	910			7.50		11/15/24		1,281,679
		U.S. Treasury Notes
	155			2.25		01/31/15		161,309
	280			2.75		02/28/18		286,759
		Total U.S. Treasury Securities (Cost $1,871,301)						1,901,528
		Municipal Bonds (1.2%)
	35	Chicago Illinois Transit Authority		6.20		12/01/40		35,358
	15	City of Chicago, IL		6.395		01/01/40		15,699
	30	City of New York, NY		5.968		03/01/36		31,755
	75	Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds		6.184		01/01/34		78,016
		Municipal Electric Authority of Georgia
	15			6.64		04/01/57		14,761
	20			6.66		04/01/57		18,999
	30	New York City Transitional Finance Authority		5.267		05/01/27		31,134
		State of California, General Obligation Bonds
	40			5.95		04/01/16		44,793
	25			6.65		03/01/22		28,047
		Total Municipal Bonds (Cost $286,662)						298,562
		Mortgages - Other (5.3%)
		Banc of America Alternative Loan Trust
	140			5.25		01/25/21		133,291
	150			5.913	(b)	10/25/36		106,060
	124	Chase Mortgage Finance Corp.		6.00		11/25/36		107,372
	88	Countrywide Alternative Loan Trust		6.00		04/25/36		64,866
	207	Countrywide Home Loan Mortgage Pass Through Trust		0.486	(b)	04/25/46		61,019
		First Horizon Alternative Mortgage Securities
	89			5.00		11/25/20		82,454
	79			6.25		08/25/36		61,775
	27	GMAC Mortgage Corp. Loan Trust (a)		4.25		07/25/40		27,004
	91	GS Mortgage Securities Corp. (a)		7.50	(b)	09/25/36		78,239

See Notes to Financial Statements
35

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE	VALUE
		Lehman Mortgage Trust
$	65			5.50	%	11/25/35	$	60,537
	98			5.50		02/25/36		93,984
	94			6.50		09/25/37		75,548
	19	Mastr Adjustable Rate Mortgages Trust		1.218	(b)	04/25/46		244
		Residential Accredit Loans, Inc.
	90			0.686	(b)	03/25/35		58,597
	108			6.00		04/25/36		75,626
	175	Structured Adjustable Rate Mortgage Loan Trust		2.618	(b)	08/25/34		152,072
	185	WaMu Mortgage Pass Through Certificates		1.048	(b)	05/25/47		124,375
		Total Mortgages - Other (Cost $1,355,425)						1,363,063
		Collateralized Mortgage Obligations - Agency Collateral Series (0.4%)
	273	Federal Home Loan Mortgage Corporation, IO REMIC		5.953	(b)	07/15/37		39,726
		Federal National Mortgage Association,
	239	IO REMIC		6.51	(b)	02/25/24		26,815
		IO STRIPS
	43			6.50	(b)	12/01/29		5,259
	39			7.00	(b)	11/01/19		5,542
	52			7.00		12/01/34		10,583
	88			8.00	(b)	06/01/35		21,517
		Total Collateralized Mortgage Obligations - Agency Collateral Series (Cost $80,542)						109,442

NUMBER OF SHARES
		Preferred Stocks (0.8%)
		Consumer Finance (0.5%)
	5,425	GMAC Capital Trust I (h)	138,880
		Diversified Financial Services (0.3%)
	82	Ally Financial, Inc. $70.00 (a)	77,070
		Total Preferred Stocks (Cost $171,474)	215,950

See Notes to Financial Statements
36

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES			VALUE
		Common Stocks (0.0%)
		Communications Equipment (0.0%)
	563	ORBCOMM, Inc. (h)	$	1,762
		Diversified Telecommunication Services (0.0%)
	109	XO Holdings, Inc. (e)(h)(i)		77
		Electric Utilities (0.0%)
	13	PNM Resources, Inc. (e)		218
		Wireless Telecommunication Services (0.0%)
	49	USA Mobility, Inc. (e)		748
		Total Common Stocks (Cost $637)		2,805

PRINCIPAL AMOUNT IN THOUSANDS			COUPON RATE			MATURITY DATE
		Short-Term Investments (1.8%)
		U.S. Treasury Security (0.9%)
$	230	U.S. Treasury Bill (Cost $229,976) (j)(k)		0.046	%	09/22/11				229,976
NUMBER OF SHARES (000)
		Investment Company (0.9%)
	225	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $225,198)								225,198
		Total Short-Term Investments (Cost $455,174)								455,174
		Total Investments (Cost $24,804,725) (l)(m)					99.4	%		25,617,779
		Other Assets in Excess of Liabilities					0.6			143,855
		Net Assets					100.0	%	$	25,761,634

See Notes to Financial Statements
37

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

IO Interest Only.

REIT Real Estate Investment Trust.

REMIC Real Estate Mortgage Investment Conduit.

STRIPS Separate Trading of Registered Interest and Principal of Securities.

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

(b) Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on June 30, 2011.

(c) Payment-in-kind security.

(d) At June 30, 2011, the Portfolio held fair valued securities valued at $16,277, representing 0.1% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(e) Acquired through exchange offer.

(f) Non-income producing security; bond in default.

(g) Issuer in bankruptcy.

(h) Non-income producing security.

(i) Illiquid security.

(j) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.

(k) A portion of this security has been physically segregated in connection with open futures contracts and swap agreements.

(l) Securities have been designated as collateral in connection with open foreign currency exchange, futures contracts and swap agreements.

(m) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $1,420,855 and the aggregate gross unrealized depreciation is $607,801 resulting in net unrealized appreciation of $813,054.

See Notes to Financial Statements
38

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

FOREIGN CURRENCY EXCHANGE CONTRACTS OPEN AT JUNE 30, 2011:

COUNTERPARTY	CONTRACTS TO DELIVER		IN EXCHANGE FOR		DELIVERY DATE	UNREALIZED APPRECIATION (DEPRECIATION)
JPMorgan Chase Bank	$	67,056	KRW	72,571,760	07/11/11	$	892
JPMorgan Chase Bank	$	30,655	THB	929,760	07/11/11		(404	)
UBS AG	CHF	124,000	$	147,558	07/15/11		62
UBS AG	EUR	54,953	$	79,220	07/15/11		(448	)
UBS AG	JPY	5,652,000	$	69,401	07/15/11		(810	)
UBS AG	JPY	5,653,943	$	69,425	07/15/11		(810	)
UBS AG	$	140,529	NOK	760,000	07/15/11		252
UBS AG	$	140,564	SEK	870,000	07/15/11		(3,098	)
JPMorgan Chase Bank	$	11,287	CLP	5,338,080	07/25/11		106
Net Unrealized Depreciation						$	(4,258	)

FUTURES CONTRACTS OPEN AT JUNE 30, 2011:

NUMBER OF CONTRACTS		LONG/SHORT	DESCRIPTION, DELIVERY MONTH AND YEAR	UNDERLYING FACE AMOUNT AT VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
	18	Long	U.S. Treasury 5 yr. Note, Sep-11	$	2,145,516		$	3,406
	4	Long	U.S. Treasury Ultra Long Bond, Sep-11		505,000			(9,593	)
	1	Long	U.S. Treasury 2 yr. Note, Sep-11		219,344			156
	1	Short	German Euro Bund, Sep-11		(181,965	)		218
	4	Short	U.S. Treasury 30 yr. Bond, Sep-11		(492,125	)		2,906
	36	Short	U.S. Treasury 10 yr. Note, Sep-11		(4,403,813	)		(13,216	)
Net Unrealized Depreciation							$	(16,123	)

See Notes to Financial Statements
39

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

INTEREST RATE SWAP AGREEMENTS OPEN AT JUNE 30, 2011:

SWAP COUNTERPARTY	NOTIONAL AMOUNT (000)		FLOATING RATE INDEX	PAY/RECEIVE FLOATING RATE	FIXED RATE			TERMINATION DATE	UNREALIZED APPRECIATION (DEPRECIATION)
Credit Suisse	$	2,615	3 Month LIBOR	Receive		0.80	%	10/28/13	$	(876	)
Credit Suisse	CAD	849	3 Month CDOR	Receive		2.18		09/08/15		5,196
Credit Suisse		611	3 Month CDOR	Receive		2.21		09/08/15		2,974
Credit Suisse	$	1,095	3 Month LIBOR	Pay		2.10		10/28/17		(21,116	)
Credit Suisse	CAD	1,000	3 Month CDOR	Pay		4.07		09/08/20		(10,047	)
Credit Suisse		720	3 Month CDOR	Pay		4.12		09/08/20		(5,480	)
Goldman Sachs	GBP	870	6 Month LIBOR	Pay		4.90		03/04/21		8,657
Goldman Sachs		320	6 Month LIBOR	Pay		4.85		04/01/21		1,946
Goldman Sachs		200	6 Month LIBOR	Receive		4.18		03/04/41		(9,280	)
Goldman Sachs		70	6 Month LIBOR	Receive		4.13		04/01/41		(2,023	)
Net Unrealized Depreciation									$	(30,049	)

See Notes to Financial Statements
40

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

ZERO COUPON SWAP AGREEMENTS OPEN AT JUNE 30, 2011:

SWAP COUNTERPARTY	NOTIONAL AMOUNT (000)		FLOATING RATE INDEX	PAY/RECEIVE FLOATING RATE	TERMINATION DATE	PREMIUM PAID (RECEIVED) (000)		UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	$	508	3 Month LIBOR	Receive	11/15/21	$	—	$	(123,289	)
Deutsche Bank		500	3 Month LIBOR	Pay	11/15/21		—		20,083
Deutsche Bank		427	3 Month LIBOR	Receive	11/15/21		—		(87,813	)
JPMorgan Chase		332	3 Month LIBOR	Receive	11/15/19		—		(73,809	)
UBS AG		160	3 Month LIBOR	Receive	11/15/19		—		(33,665	)
Net Unrealized Depreciation								$	(298,493	)

CDOR Canadian Dealer Offered Rate.

LIBOR London Interbank Offered Rate.

Currency Abbreviations:

CAD Canadian Dollar.

CHF Swiss Franc.

CLP Chilean Peso.

EUR Euro.

GBP British Pound.

JPY Japanese Yen.

KRW South Korean Won.

MXN Mexican New Peso.

NOK Norwegian Krone.

SEK Swedish Krona.

THB Thai Baht.

See Notes to Financial Statements
41

Flexible Income

Portfolio of Investments n June 30, 2011 (unaudited) continued

SUMMARY OF INVESTMENTS

PORTFOLIO COMPOSITION	VALUE			PERCENT OF TOTAL INVESTMENTS
Domestic Corporate Bonds	$	14,661,572			57.2	%
Foreign Government & Corporate Bonds		5,879,504			23.0
U.S. Treasury Securities		1,901,528			7.4
Mortgages - Other		1,363,063			5.3
Asset-Backed Securities		576,005			2.2
Short-Term Investments		455,174			1.8
Municipal Bonds		298,562			1.2
Preferred Stocks		215,950			0.8
Agency Fixed Rate Mortgages		154,174			0.6
Collateralized Mortgage Obligations - Agency Collateral Series		109,442			0.4
Common Stocks		2,805			0.1
	$	25,617,779	+		100.0	%

+ Does not include open foreign currency contracts with net unrealized depreciation of $4,258. Does not include open long/short futures contracts with an underlying face amount of $7,947,763 and net unrealized depreciation of $16,123. Also does not include open swap agreements with net unrealized depreciation of $328,542.

See Notes to Financial Statements
42

Global Infrastructure

Portfolio of Investments n June 30, 2011 (unaudited)

NUMBER OF SHARES			VALUE
		Common Stocks (96.8%) Australia (4.2%)
		Airports
	112,148	MAp Group (Stapled Securities) (a)	$	403,315
		Diversified
	28,700	DUET Group (Stapled Securities) (a)(b)		52,413
		Oil & Gas Storage & Transportation
	41,800	APA Group (Stapled Securities) (a)		182,671
		Toll Roads
	90,500	Transurban Group (Stapled Securities) (a)		509,571
		Transmission & Distribution
	74,157	Spark Infrastructure Group		102,737
		Total Australia		1,250,707
		Brazil (0.7%)
		Water
	3,200	Cia de Saneamento Basico do Estado de Sao Paulo ADR		190,944
		Canada (14.1%)
		Oil & Gas Storage & Transportation
	49,440	Enbridge, Inc.		1,607,588
	55,590	TransCanada Corp.		2,441,015
				4,048,603
		Transmission & Distribution
	4,490	Fortis, Inc.		150,605
		Total Canada		4,199,208
		China (12.4%)
		Oil & Gas Storage & Transportation
	290,000	Beijing Enterprises Holdings Ltd. (c)		1,517,072
	1,303,000	China Gas Holdings Ltd. (c)		526,128

NUMBER OF SHARES			VALUE
	208,000	ENN Energy Holdings Ltd. (c)	$	707,018
	425,000	Sichuan Expressway Co. Ltd. (c)		219,666
				2,969,884
		Ports
	100,370	China Merchants Holdings International Co., Ltd. (c)		389,678
		Toll Roads
	362,000	Jiangsu Expressway Co., Ltd. H Shares (c)		335,941
		Total China		3,695,503
		France (4.5%)
		Communications
	5,994	Eutelsat Communications SA		269,601
	37,987	SES SA		1,065,658
		Total France		1,335,259
		Germany (0.3%)
		Airports
	1,246	Fraport AG Frankfurt Airport Services Worldwide		100,188
		Hong Kong (2.7%)
		Oil & Gas Storage & Transportation
	357,260	Hong Kong & China Gas Co., Ltd.		812,931
		Italy (3.8%)
		Oil & Gas Storage & Transportation
	83,796	Snam Rete Gas SpA		496,074
		Toll Roads
	25,730	Atlantia SpA		547,767
		Transmission & Distribution
	14,400	Terna Rete Elettrica Nazionale SpA		66,915
		Total Italy		1,110,756

See Notes to Financial Statements
43

Global Infrastructure

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES			VALUE
		Netherlands (1.2%)
		Oil & Gas Storage & Transportation
	7,202	Koninklijke Vopak N.V.	$	352,922
		Spain (3.7%)
		Diversified
	8,141	Ferrovial SA		102,797
		Oil & Gas Storage & Transportation
	3,037	Enagas SA		73,644
		Toll Roads
	36,770	Abertis Infraestructuras SA		821,472
		Transmission & Distribution
	1,798	Red Electrica Corp. SA		108,648
		Total Spain		1,106,561
		Switzerland (0.6%)
		Airports
	367	Flughafen Zuerich AG		167,432
		United Kingdom (12.7%)
		Transmission & Distribution
	289,300	National Grid PLC		2,846,916
		Water
	25,700	Pennon Group PLC		287,918
	11,200	Severn Trent PLC		264,439
	39,800	United Utilities Group PLC		382,398
				934,755
		Total United Kingdom		3,781,671
		United States (35.9%)
		Communications
	29,690	American Tower Corp. Class A (d)		1,553,678
	26,460	Crown Castle International Corp. (d)		1,079,303
	8,010	SBA Communications Corp. Class A (d)		305,902
				2,938,883

NUMBER OF SHARES			VALUE
		Diversified
	55,020	CenterPoint Energy, Inc.	$	1,064,637
		Oil & Gas Storage & Transportation
	1,590	Atmos Energy Corp.		52,868
	6,870	Enbridge Energy Management LLC (d)		212,283
	3,126	Kinder Morgan Management LLC (d)		205,034
	22,480	NiSource, Inc.		455,220
	1,540	Northwest Natural Gas Co.		69,500
	6,150	Oneok, Inc.		455,161
	15,320	Sempra Energy		810,122
	1,550	Southwest Gas Corp.		59,846
	54,415	Spectra Energy Corp.		1,491,515
				3,811,549
		Transmission & Distribution
	11,990	Consolidated Edison, Inc.		638,348
	12,250	ITC Holdings Corp.		879,182
	19,090	Northeast Utilities		671,395
	8,360	NSTAR		384,393
				2,573,318
		Water
	6,220	American Water Works Co., Inc.		183,179
	4,810	Aqua America, Inc.		105,724
				288,903
		Total United States		10,677,290
		Total Common Stocks (Cost $23,838,885)		28,781,372

See Notes to Financial Statements
44

Global Infrastructure

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES (000)					VALUE
		Short-Term Investment (1.5%)
		Investment Company
	439	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $439,302)			$	439,302
Total Investments (Cost $24,278,187) (e)(f)			98.3	%		29,220,674
Other Assets in Excess of Liabilities			1.7			492,191
Net Assets			100.0	%	$	29,712,865

ADR American Depositary Receipt.

(a) Comprised of securities in separate entities that are traded as a single stapled security.

(b) Consists of one or more classes of securities traded together as a unit; stocks with attached warrants.

(c) Security trades on the Hong Kong exchange.

(d) Non-income producing security.

(e) The market value and percentage of net assets, $13,713,930 and 46.2%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.

(f) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $5,186,902 and the aggregate gross unrealized depreciation is $244,415 resulting in net unrealized appreciation of $4,942,487.

SUMMARY OF INVESTMENTS INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Oil & Gas Storage & Transportation	$	12,748,278		43.6	%
Transmission & Distribution		5,849,139		20.0
Communications		4,274,142		14.6
Toll Roads		2,214,751		7.6
Water		1,414,602		4.9
Diversified		1,219,847		4.2
Airports		670,935		2.3
Investment Company		439,302		1.5
Ports		389,678		1.3
	$	29,220,674		100.0	%

See Notes to Financial Statements
45

Growth Portfolio

Portfolio of Investments n June 30, 2011 (unaudited)

NUMBER OF SHARES			VALUE
		Common Stocks (97.7%)
		Air Transport (2.1%)
	11,092	Expeditors International of Washington, Inc.	$	567,800
		Alternative Energy (3.5%)
	5,014	Range Resources Corp.		278,277
	14,798	Ultra Petroleum Corp. (a)		677,748
				956,025
		Beverage: Brewers & Distillers (1.6%)
	7,440	Anheuser-Busch InBev N.V. ADR		431,594
		Biotechnology (3.0%)
	11,060	Illumina, Inc. (a)		831,159
		Casinos & Gambling (3.9%)
	15,657	Las Vegas Sands Corp. (a)		660,882
	2,803	Wynn Resorts Ltd.		402,343
				1,063,225
		Chemicals: Diversified (2.6%)
	9,974	Monsanto Co.		723,514
		Commercial Finance & Mortgage Companies (1.8%)
	76,467	BM&F Bovespa SA (Brazil)		506,138
		Commercial Services (5.4%)
	16,769	eBay, Inc. (a)		541,136
	16,852	Leucadia National Corp.		574,653
	200	SGS SA (Switzerland)		379,683
				1,495,472
		Communications Technology (3.5%)
	21,019	Motorola Solutions, Inc. (a)		967,715
		Computer Services, Software & Systems (16.5%)
	8,328	Baidu, Inc. ADR (China) (a)		1,167,003
	33,323	Facebook, Inc. Class B (a)(b)(c)		833,075
	2,287	Google, Inc. Class A (a)		1,158,091
	4,855	Salesforce.com, Inc. (a)		723,298

NUMBER OF SHARES			VALUE
	14,000	Tencent Holdings Ltd. (China) (d)	$	383,961
	2,596	VMware, Inc. Class A (a)		260,197
				4,525,625
		Computer Technology (8.7%)
	5,549	Apple, Inc. (a)		1,862,633
	5,226	NVIDIA Corp. (a)		83,276
	12,431	Yandex N.V. Class A (Russia) (a)		441,425
				2,387,334
		Consumer Lending (1.3%)
	1,203	CME Group, Inc.		350,783
		Diversified Media (1.7%)
	8,374	Naspers Ltd. Class N (South Africa)		473,923
		Diversified Retail (13.5%)
	10,293	Amazon.com, Inc. (a)		2,104,816
	5,126	Costco Wholesale Corp.		416,436
	2,865	NetFlix, Inc. (a)		752,607
	828	Priceline.com, Inc. (a)		423,878
				3,697,737
		Medical Equipment (2.6%)
	1,913	Intuitive Surgical, Inc. (a)		711,846
		Metals & Minerals: Diversified (2.4%)
	10,861	Molycorp, Inc. (a)		663,173
		Pharmaceuticals (5.5%)
	4,663	Allergan, Inc.		388,195
	10,351	Mead Johnson Nutrition Co.		699,210
	7,962	Valeant Pharmaceuticals International, Inc. (Canada)		413,705
				1,501,110
		Real Estate Investment Trusts (REIT) (3.6%)
	29,743	Brookfield Asset Management, Inc. Class A (Canada)		986,575

See Notes to Financial Statements
46

Growth Portfolio

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES			VALUE
		Recreational Vehicles & Boats (3.5%)
	31,823	Edenred (France)	$	970,423
		Restaurants (3.6%)
	15,292	Starbucks Corp.		603,881
	7,084	Yum! Brands, Inc.		391,320
				995,201
		Securities Brokerage & Services (1.4%)
	23,101	Charles Schwab Corp. (The)		380,012
		Semiconductors & Components (2.3%)
	14,830	ARM Holdings PLC ADR (United Kingdom)		421,617
	1,546	First Solar, Inc. (a)		204,489
				626,106
		Tobacco (1.9%)
	7,994	Philip Morris International, Inc.		533,759
		Wholesale & International Trade (1.8%)
	247,633	Li & Fung Ltd. (d)		498,046
		Total Common Stocks (Cost $18,801,475)		26,844,295
		Convertible Preferred Stock (0.6%)
		Alternative Energy
	54,420	Better Place, Inc. (Cost $163,260) (a)(b)(c)		163,260

NUMBER OF SHARES (000)					VALUE
		Short-Term Investment (2.0%)
		Investment Company
	538	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $538,403)			$	538,403
Total Investments (Cost $19,503,138) (e)(f)			100.3	%		27,545,958
Liabilities in Excess of Other Assets			(0.3	)		(71,883	)
Net Assets			100.0	%	$	27,474,075

ADR American Depositary Receipt.

REIT Real Estate Investment Trust.

(a) Non-income producing security.

(b) Illiquid security. Resale is restricted to qualified institutional investors.

(c) At June 30, 2011, the Portfolio held fair valued securities valued at $996,335, representing 3.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(d) Security trades on the Hong Kong exchange.

(e) The market value and percentage of net assets, $2,706,036 and 9.9%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.

(f) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $8,836,781 and the aggregate gross unrealized depreciation is $793,961 resulting in net unrealized appreciation of $8,042,820.

See Notes to Financial Statements
47

Growth Portfolio

Summary of Investments n June 30, 2011 (unaudited)

INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Computer Services, Software & Systems	$	4,525,625		16.4	%
Diversified Retail		3,697,737		13.4
Computer Technology		2,387,334		8.7
Pharmaceuticals		1,501,110		5.4
Commercial Services		1,495,472		5.4
Alternative Energy		1,119,285		4.1
Casinos & Gambling		1,063,225		3.9
Restaurants		995,201		3.6
Real Estate Investment Trusts (REIT)		986,575		3.6
Recreational Vehicles & Boats		970,423		3.5
Communications Technology		967,715		3.5
Biotechnology		831,159		3.0
Chemicals: Diversified		723,514		2.6
Medical Equipment		711,846		2.6

INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Metals & Minerals: Diversified	$	663,173		2.4	%
Semiconductors & Components		626,106		2.3
Air Transport		567,800		2.1
Investment Company		538,403		2.0
Tobacco		533,759		1.9
Commercial Finance & Mortgage Companies		506,138		1.8
Wholesale & International Trade		498,046		1.8
Diversified Media		473,923		1.7
Beverage: Brewers & Distillers		431,594		1.6
Securities Brokerage & Services		380,012		1.4
Consumer Lending		350,783		1.3
	$	27,545,958		100.0	%

See Notes to Financial Statements
48

Focus Growth

Portfolio of Investments n June 30, 2011 (unaudited)

NUMBER OF SHARES			VALUE
		Common Stocks (96.4%)
		Air Transport (2.5%)
	43,586	Expeditors International of Washington, Inc.	$	2,231,167
		Alternative Energy (3.8%)
	74,134	Ultra Petroleum Corp. (a)		3,395,337
		Beverage: Brewers & Distillers (1.9%)
	29,703	Anheuser-Busch InBev N.V. ADR		1,723,071
		Biotechnology (3.6%)
	42,643	Illumina, Inc. (a)		3,204,622
		Casinos & Gambling (2.9%)
	62,245	Las Vegas Sands Corp. (a)		2,627,361
		Chemicals: Diversified (3.4%)
	42,181	Monsanto Co.		3,059,810
		Commercial Finance & Mortgage Companies (2.2%)
	300,400	BM&F Bovespa SA (Brazil)		1,988,359
		Commercial Services (2.5%)
	65,036	Leucadia National Corp.		2,217,728
		Communications Technology (4.4%)
	86,748	Motorola Solutions, Inc. (a)		3,993,878
		Computer Services, Software & Systems (18.1%)
	32,886	Baidu, Inc. ADR (China) (a)		4,608,315
	109,483	Facebook, Inc. Class B (a)(b)(c)		2,737,075
	8,932	Google, Inc. Class A (a)		4,522,986
	19,103	Salesforce.com, Inc. (a)		2,845,965
	54,200	Tencent Holdings Ltd. (China) (d)		1,486,478
				16,200,819
		Computer Technology (10.0%)
	21,851	Apple, Inc. (a)		7,334,725
	47,192	Yandex N.V. Class A (Russia) (a)		1,675,788
				9,010,513

NUMBER OF SHARES			VALUE
		Diversified Media (2.0%)
	32,553	Naspers Ltd. Class N (South Africa)	$	1,842,324
		Diversified Retail (12.4%)
	39,881	Amazon.com, Inc. (a)		8,155,266
	11,219	NetFlix, Inc. (a)		2,947,119
				11,102,385
		Medical Equipment (3.1%)
	7,416	Intuitive Surgical, Inc. (a)		2,759,568
		Metals & Minerals: Diversified (2.9%)
	43,405	Molycorp, Inc. (a)		2,650,309
		Pharmaceuticals (3.0%)
	40,071	Mead Johnson Nutrition Co.		2,706,796
		Real Estate Investment Trusts (REIT) (4.2%)
	112,582	Brookfield Asset Management, Inc. Class A (Canada)		3,734,345
		Recreational Vehicles & Boats (4.4%)
	130,095	Edenred (France)		3,967,169
		Restaurants (2.6%)
	58,727	Starbucks Corp.		2,319,129
		Semiconductors & Components (1.9%)
	58,654	ARM Holdings PLC ADR (United Kingdom)		1,667,533
		Tobacco (2.4%)
	31,897	Philip Morris International, Inc.		2,129,763
		Wholesale & International Trade (2.2%)
	968,000	Li & Fung Ltd. (d)		1,946,866
		Total Common Stocks (Cost $62,837,110)		86,478,852
		Convertible Preferred Stock (0.6%)
		Alternative Energy
	166,815	Better Place, Inc. (Cost $500,445) (a)(b)(c)		500,445

See Notes to Financial Statements
49

Focus Growth

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES (000)					VALUE
		Short-Term Investment (3.3%)
		Investment Company
	2,983	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $2,982,768)			$	2,982,768
Total Investments (Cost $66,320,323) (e)(f)			100.3	%		89,962,065
Liabilities in Excess of Other Assets			(0.3	)		(237,351	)
Net Assets			100.0	%	$	89,724,714

ADR American Depositary Receipt.

(a) Non-income producing security.

(b) Illiquid security. Resale is restricted to qualified institutional investors.

(c) At June 30, 2011, the Portfolio held fair valued securities valued at $3,237,520, representing 3.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(d) Security trades on the Hong Kong exchange.

(e) The market value and percentage of net assets, $9,242,837 and 10.3%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.

(f) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $28,175,127 and the aggregate gross unrealized depreciation is $4,533,385 resulting in net unrealized appreciation of $23,641,742.

SUMMARY OF INVESTMENTS INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Computer Services, Software & Systems	$	16,200,819		18.0	%
Diversified Retail		11,102,385		12.3
Computer Technology		9,010,513		10.0
Communications Technology		3,993,878		4.4
Recreational Vehicles & Boats		3,967,169		4.4
Alternative Energy		3,895,782		4.3
Real Estate Investment Trusts (REIT)		3,734,345		4.2
Biotechnology		3,204,622		3.6
Chemicals: Diversified		3,059,810		3.4
Investment Company		2,982,768		3.3
Medical Equipment		2,759,568		3.1
Pharmaceuticals		2,706,796		3.0
Metals & Minerals: Diversified		2,650,309		2.9
Casinos & Gambling		2,627,361		2.9
Restaurants		2,319,129		2.6
Air Transport		2,231,167		2.5
Commercial Services		2,217,728		2.5
Tobacco		2,129,763		2.4
Commercial Finance & Mortgage Companies		1,988,359		2.2
Wholesale & International Trade		1,946,866		2.2
Diversified Media		1,842,324		2.0
Beverage: Brewers & Distillers		1,723,071		1.9
Semiconductors & Components		1,667,533		1.9
	$	89,962,065		100.0	%

See Notes to Financial Statements
50

Multi Cap Growth

Portfolio of Investments n June 30, 2011 (unaudited)

NUMBER OF SHARES			VALUE
		Common Stocks (98.5%)
		Air Transport (2.1%)
	8,512	Expeditors International of Washington, Inc.	$	435,729
		Alternative Energy (4.4%)
	6,809	Range Resources Corp.		377,900
	12,198	Ultra Petroleum Corp. (a)		558,668
				936,568
		Asset Management & Custodian (2.0%)
	7,649	Greenhill & Co., Inc.		411,669
		Biotechnology (3.5%)
	9,753	Illumina, Inc. (a)		732,938
		Casinos & Gambling (2.5%)
	12,446	Las Vegas Sands Corp. (a)		525,346
		Chemicals: Diversified (2.9%)
	8,334	Monsanto Co.		604,548
		Commercial Finance & Mortgage Companies (2.0%)
	63,096	BM&F Bovespa SA (Brazil)		417,635
		Commercial Services (7.5%)
	9,528	CoStar Group, Inc. (a)		564,820
	15,899	eBay, Inc. (a)		513,061
	14,495	Leucadia National Corp.		494,279
				1,572,160
		Communications Technology (3.5%)
	16,196	Motorola Solutions, Inc. (a)		745,664
		Computer Services, Software & Systems (15.9%)
	6,297	Baidu, Inc. ADR (China) (a)		882,398
	26,507	Facebook, Inc. Class B (a)(b)(c)		662,675
	1,778	Google, Inc. Class A (a)		900,344
	4,006	Salesforce.com, Inc. (a)		596,814
	11,700	Tencent Holdings Ltd. (China) (d)		320,882
				3,363,113

NUMBER OF SHARES			VALUE
		Computer Technology (10.8%)
	4,315	Apple, Inc. (a)	$	1,448,416
	2,903	LinkedIn Corp. Class A (a)		261,531
	15,883	Yandex N.V. Class A (Russia) (a)		564,006
				2,273,953
		Diversified Media (1.9%)
	7,035	Naspers Ltd. Class N (South Africa)		398,143
		Diversified Retail (13.7%)
	8,006	Amazon.com, Inc. (a)		1,637,147
	12,112	Ctrip.com International Ltd. ADR (China) (a)		521,785
	2,769	NetFlix, Inc. (a)		727,388
				2,886,320
		Financial Data & Systems (4.8%)
	14,388	MSCI, Inc. Class A (a)		542,140
	13,616	Verisk Analytics, Inc. Class A (a)		471,386
				1,013,526
		Health Care Services (2.1%)
	10,966	athenahealth, Inc. (a)		450,703
		Medical Equipment (2.7%)
	1,514	Intuitive Surgical, Inc. (a)		563,375
		Metals & Minerals: Diversified (4.4%)
	219,731	Lynas Corp. Ltd. (Australia) (a)		424,210
	8,312	Molycorp, Inc. (a)		507,531
				931,741
		Pharmaceuticals (2.5%)
	7,940	Mead Johnson Nutrition Co.		536,347
		Real Estate Investment Trusts (REIT) (3.8%)
	24,488	Brookfield Asset Management, Inc. Class A (Canada)		812,267
		Recreational Vehicles & Boats (3.6%)
	24,774	Edenred (France)		755,468

See Notes to Financial Statements
51

Multi Cap Growth

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES					VALUE
		Wholesale & International Trade (1.9%)
	204,026	Li & Fung Ltd. (d)			$	410,342
		Total Common Stocks (Cost $14,526,843)				20,777,555
		Convertible Preferred Stocks (0.6%)
		Alternative Energy
	40,264	Better Place, Inc. (Cost $120,792) (a)(b)(c)				120,792
NUMBER OF SHARES (000)
		Short-Term Investment (1.2%)
		Investment Company
	250	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $250,324)				250,324
Total Investments (Cost $14,897,959) (e)(f)			100.3	%		21,148,671
Liabilities in Excess of Other Assets			(0.3	)		(61,309	)
Net Assets			100.0	%	$	21,087,362

ADR American Depositary Receipt.

REIT Real Estate Investment Trust.

(a) Non-income producing security.

(b) Illiquid security. Resale is restricted to qualified institutional investors.

(c) At June 30, 2011, the Portfolio held fair valued securities valued at $783,467, representing 3.7% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(d) Security trades on the Hong Kong exchange.

(e) The market value and percentage of net assets, $2,309,045 and 11.0%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.

(f) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $6,824,226 and the aggregate gross unrealized depreciation is $573,514 resulting in net unrealized appreciation of $6,250,712.

See Notes to Financial Statements
52

Multi Cap Growth

Summary of Investments n June 30, 2011 (unaudited)

INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Computer Services, Software & Systems	$	3,363,113		15.9	%
Diversified Retail		2,886,320		13.6
Computer Technology		2,273,953		10.8
Commercial Services		1,572,160		7.4
Alternative Energy		1,057,360		5.0
Financial Data & Systems		1,013,526		4.8
Metals & Minerals: Diversified		931,741		4.4
Real Estate Investment Trusts (REIT)		812,267		3.8
Recreational Vehicles & Boats		755,468		3.6
Communications Technology		745,664		3.5
Biotechnology		732,938		3.5

INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Chemicals: Diversified	$	604,548		2.9	%
Medical Equipment		563,375		2.7
Pharmaceuticals		536,347		2.5
Casinos & Gambling		525,346		2.5
Health Care Services		450,703		2.1
Air Transport		435,729		2.1
Commercial Finance & Mortgage Companies		417,635		2.0
Asset Management & Custodian		411,669		1.9
Wholesale & International Trade		410,342		1.9
Diversified Media		398,143		1.9
Investment Company		250,324		1.2
	$	21,148,671		100.0	%

See Notes to Financial Statements
53

Mid Cap Growth

Portfolio of Investments n June 30, 2011 (unaudited)

NUMBER OF SHARES			VALUE
		Common Stocks (93.8%)
		Air Transport (2.0%)
	14,655	Expeditors International of Washington, Inc.	$	750,189
		Alternative Energy (3.4%)
	10,098	Range Resources Corp.		560,439
	14,746	Ultra Petroleum Corp. (a)		675,367
				1,235,806
		Asset Management & Custodian (0.8%)
	5,313	Greenhill & Co., Inc.		285,946
		Biotechnology (4.2%)
	5,631	IDEXX Laboratories, Inc. (a)		436,740
	14,552	Illumina, Inc. (a)		1,093,583
				1,530,323
		Casinos & Gambling (1.5%)
	3,783	Wynn Resorts Ltd.		543,012
		Cement (1.0%)
	4,398	Martin Marietta Materials, Inc.		351,708
		Chemicals: Diversified (2.9%)
	15,433	Intrepid Potash, Inc. (a)		501,572
	10,182	Rockwood Holdings, Inc. (a)		562,963
				1,064,535
		Commercial Services (5.7%)
	12,733	Gartner, Inc. (a)		513,013
	20,000	Intertek Group PLC (United Kingdom)		633,340
	16,672	Leucadia National Corp.		568,515
	3,278	New Oriental Education & Technology Group, Inc. ADR (China) (a)		366,218
				2,081,086
		Communications Technology (4.5%)
	3,500	Millicom International Cellular SA SDR (Sweden)		365,171
	28,110	Motorola Solutions, Inc. (a)		1,294,185
				1,659,356

NUMBER OF SHARES			VALUE
		Computer Services, Software & Systems (13.0%)
	16,464	Akamai Technologies, Inc. (a)	$	518,122
	156,000	Alibaba.com Ltd. (China) (b)		249,686
	10,038	Autodesk, Inc. (a)		387,467
	3,878	Citrix Systems, Inc. (a)		310,240
	5,768	IHS, Inc. Class A (a)		481,167
	15,900	Red Hat, Inc. (a)		729,810
	20,414	Renren, Inc. ADR (China) (a)		180,664
	5,478	Rovi Corp. (a)		314,218
	5,176	Salesforce.com, Inc. (a)		771,120
	13,406	Solera Holdings, Inc.		793,099
				4,735,593
		Computer Technology (5.0%)
	4,783	LinkedIn Corp. Class A (a)		430,900
	6,833	NVIDIA Corp. (a)		108,884
	26,158	Yandex N.V. Class A (Russia) (a)		928,871
	10,723	Youku.com, Inc. ADR (China) (a)		368,335
				1,836,990
		Consumer Lending (1.7%)
	3,591	IntercontinentalExchange, Inc. (a)		447,833
	4,542	Moody's Corp.		174,186
				622,019
		Consumer Services: Miscellaneous (1.3%)
	49,097	Qualicorp SA (Brazil) (a)		468,744
		Cosmetics (1.0%)
	14,718	Natura Cosmeticos SA (Brazil)		367,797
		Diversified Materials & Processing (1.6%)
	4,733	Schindler Holding AG (Switzerland)		575,359
		Diversified Media (3.0%)
	5,090	Factset Research Systems, Inc.		520,809
	10,340	Naspers Ltd. Class N (South Africa)		585,188
				1,105,997

See Notes to Financial Statements
54

Mid Cap Growth

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES			VALUE
		Diversified Retail (10.5%)
	2,037	Chipotle Mexican Grill, Inc. (a)	$	627,783
	18,029	Ctrip.com International Ltd. ADR (China) (a)		776,689
	8,473	Dollar Tree, Inc. (a)		564,471
	20,893	Fastenal Co.		751,939
	4,247	NetFlix, Inc. (a)		1,115,645
				3,836,527
		Financial Data & Systems (4.5%)
	25,092	MSCI, Inc. Class A (a)		945,466
	20,185	Verisk Analytics, Inc. Class A (a)		698,805
				1,644,271
		Health Care Services (1.4%)
	5,703	Stericycle, Inc. (a)		508,251
		Medical & Dental Instruments & Supplies (1.3%)
	5,851	Techne Corp.		487,798
		Medical Equipment (2.6%)
	2,507	Intuitive Surgical, Inc. (a)		932,880
		Metals & Minerals: Diversified (2.8%)
	115,088	Lynas Corp. Ltd. (Australia) (a)		222,188
	12,888	Molycorp, Inc. (a)		786,941
				1,009,129
		Pharmaceuticals (6.0%)
	8,571	Gen-Probe, Inc. (a)		592,684
	14,664	Ironwood Pharmaceuticals, Inc. (a)(c)		230,518
	2,504	Ironwood Pharmaceuticals, Inc. (a)		39,363
	11,302	Mead Johnson Nutrition Co.		763,450
	10,731	Valeant Pharmaceuticals International, Inc. (Canada)		557,583
				2,183,598
		Publishing (1.3%)
	7,634	Morningstar, Inc.		463,995

NUMBER OF SHARES			VALUE
		Recreational Vehicles & Boats (3.5%)
	41,891	Edenred (France) (a)	$	1,277,441
		Scientific Instruments: Pollution Control (2.1%)
	22,582	Covanta Holding Corp.		372,377
	14,301	Nalco Holding Co.		397,711
				770,088
		Semiconductors & Components (2.2%)
	19,178	ARM Holdings PLC ADR (United Kingdom)		545,231
	1,905	First Solar, Inc. (a)		251,974
				797,205
		Shipping (1.3%)
	5,824	C.H. Robinson Worldwide, Inc.		459,164
		Textiles Apparel & Shoes (1.7%)
	5,594	Lululemon Athletica, Inc. (Canada) (a)		625,521
		Total Common Stocks (Cost $27,503,103)		34,210,328
		Convertible Preferred Stocks (1.9%)
		Alternative Energy (0.5%)
	56,056	Better Place, Inc. (a)(d)(e)		168,168
		Computer Technology (1.4%)
	8,291	Groupon, Inc. Series G (a)(d)(e)		530,624
		Total Convertible Preferred Stocks (Cost $430,081)		698,792
		Preferred Stock (0.7%)
		Leisure Time
	17,620	Zynga, Inc. Series C (Cost $247,193) (a)(d)(e)		247,193

See Notes to Financial Statements
55

Mid Cap Growth

Portfolio of Investments n June 30, 2011 (unaudited) continued

NUMBER OF SHARES (000)					VALUE
		Short-Term Investment (3.7%)
		Investment Company
	1,348	Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $1,347,649)			$	1,347,649
Total Investments (Cost $29,528,026) (f)(g)			100.1	%		36,503,962
Liabilities in Excess of Other Assets			(0.1	)		(48,614	)
Net Assets			100.0	%	$	36,455,348

ADR American Depositary Receipt.

SDR Swedish Depositary Receipt.

(a) Non-income producing security.

(b) Security trades on the Hong Kong exchange.

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

(d) Illiquid security. Resale is restricted to qualified institutional investors.

(e) At June 30, 2011, the Portfolio held fair valued securities valued at $945,985, representing 2.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.

(f) The market value and percentage of net assets, $3,908,373 and 10.7%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.

(g) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $8,677,411 and the aggregate gross unrealized depreciation is $1,701,475 resulting in net unrealized appreciation of $6,975,936.

SUMMARY OF INVESTMENTS INDUSTRY	VALUE		PERCENT OF TOTAL INVESTMENTS
Computer Services, Software & Systems	$	4,735,593		13.0	%
Diversified Retail		3,836,527		10.5
Computer Technology		2,367,614		6.5
Pharmaceuticals		2,183,598		6.0
Commercial Services		2,081,086		5.7
Communications Technology		1,659,356		4.5
Financial Data & Systems		1,644,271		4.5
Biotechnology		1,530,323		4.2
Alternative Energy		1,403,974		3.8
Investment Company		1,347,649		3.7
Recreational Vehicles & Boats		1,277,441		3.5
Diversified Media		1,105,997		3.0
Chemicals: Diversified		1,064,535		2.9
Metals & Minerals: Diversified		1,009,129		2.8
Medical Equipment		932,880		2.5
Semiconductors & Components		797,205		2.2
Scientific Instruments: Pollution Control		770,088		2.1
Air Transport		750,189		2.0
Textiles Apparel & Shoes		625,521		1.7
Consumer Lending		622,019		1.7
Diversified Materials & Processing		575,359		1.6
Casinos & Gambling		543,012		1.5
Health Care Services		508,251		1.4
Medical & Dental Instruments & Supplies		487,798		1.3
Consumer Services: Miscellaneous		468,744		1.3
Publishing		463,995		1.3
Shipping		459,164		1.3
Cosmetics		367,797		1.0
Cement		351,708		1.0
Asset Management & Custodian		285,946		0.8
Leisure Time		247,193		0.7
	$	36,503,962		100.0	%

See Notes to Financial Statements
56

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Morgan Stanley Select Dimensions Investment Series

Financial Statements

Statements of Assets and Liabilities
June 30, 2011 (unaudited)

	Money Market			Flexible Income			Global Infrastructure			Growth
Assets:
Investments in securities, at value*	$	94,025,410	⁽¹⁾	$	25,193,713		$	28,781,372		$	27,007,555
Investment in affiliates, at value**		—			424,066			439,302			538,403
Total investments in securities, at value		94,025,410			25,617,779			29,220,674			27,545,958
Unrealized appreciation on open swap agreements		—			38,856			—			—
Unrealized appreciation on open foreign currency exchange contracts		—			1,312			—			—
Cash		4,525			—			50,972	⁽²⁾		10,611	⁽²⁾
Due from broker		—			20,000			—			—
Receivable for:
Investments sold		—			257,972			378,615			—
Interest		17,670			394,236			—			—
Dividends		—			—			217,172			11,605
Foreign withholding taxes reclaimed		—			—			14,045			3,479
Interest and dividends from affiliates		—			2,572			33			76
Shares of beneficial interest sold		—			—			—			—
Variation margin		—			14,531			—			—
Prepaid expenses and other assets		2,012			1,046			2,542			2,569
Total Assets		94,049,617			26,348,304			29,884,053			27,574,298
Liabilities:
Unrealized depreciation on open swap agreements		—			367,398			—			—
Unrealized depreciation on open foreign currency exchange contracts		—			5,570			—			—
Payable to bank		—			2,918			—			—
Payable for:
Investments purchased		—			155,029			119,332			45,298
Shares of beneficial interest redeemed		151,758			5,099			4,558			14,768
Investment advisory fee		1,775			6,358			13,662			10,940
Administration fee		3,804			1,709			1,924			1,765
Distribution fee (Class Y)		—			2,814			1,700			3,235
Transfer agent fee		167			2,246			1,690			159
Accrued expenses and other payables		46,375			37,529			28,322			24,058
Total Liabilities		203,879			586,670			171,188			100,223
Net Assets	$	93,845,738		$	25,761,634		$	29,712,865		$	27,474,075
Composition of Net Assets:
Paid-in-capital	$	93,838,855		$	46,627,542		$	22,932,478		$	20,240,348
Net unrealized appreciation		—			464,385			4,942,976			8,043,591
Accumulated undistributed net investment income (net investment loss)		6,532			713,140			372,244			(44,953	)
Accumulated net realized gain (loss)		351			(22,043,433	)		1,465,167			(764,911	)
Net Assets	$	93,845,738		$	25,761,634		$	29,712,865		$	27,474,075
* Cost	$	94,025,410		$	24,404,667		$	23,838,885		$	18,964,735
Affiliated Cost**	$	—		$	400,058		$	439,302		$	538,403
Class X Shares:
Net Assets	$	30,274,934		$	12,255,219		$	21,320,794		$	11,285,320
Shares Outstanding (unlimited shares authorized, $.01 par value)		30,273,038			2,039,520			927,632			443,581
Net Asset Value Per Share	$	1.00		$	6.01		$	22.98		$	25.44
Class Y Shares:
Net Assets	$	63,570,804		$	13,506,415		$	8,392,071		$	16,188,755
Shares Outstanding (unlimited shares authorized, $.01 par value)		63,565,817			2,258,913			365,339			649,643
Net Asset Value Per Share	$	1.00		$	5.98		$	22.97		$	24.92

⁽¹⁾ Including repurchase agreements of $56,127,000.

⁽²⁾ Including foreign currency valued at $50,969, $10,710 and $8,895, respectively with a cost of $50,588, $10,259 and $8,521, respectively.

See Notes to Financial Statements
58

	Focus Growth			Multi Cap Growth			Mid Cap Growth
Assets:
Investments in securities, at value*	$	86,979,297		$	20,898,347		$	35,156,313
Investment in affiliates, at value**		2,982,768			250,324			1,347,649
Total investments in securities, at value		89,962,065			21,148,671			36,503,962
Unrealized appreciation on open swap agreements		—			—			—
Unrealized appreciation on open foreign currency exchange contracts		—			—			—
Cash		—			8,895	⁽²⁾		—
Due from broker		—			—			—
Receivable for:
Investments sold		108,991			—			975,280
Interest		—			—			—
Dividends		48,100			5,198			17,818
Foreign withholding taxes reclaimed		3,573			—			3,875
Interest and dividends from affiliates		99			51			46
Shares of beneficial interest sold		—			—			190
Variation margin		—			—			—
Prepaid expenses and other assets		11,237			3,397			3,549
Total Assets		90,134,065			21,166,212			37,504,720
Liabilities:
Unrealized depreciation on open swap agreements		—			—			—
Unrealized depreciation on open foreign currency exchange contracts		—			—			—
Payable to bank		366			—			37,832
Payable for:
Investments purchased		223,134			13,254			925,049
Shares of beneficial interest redeemed		103,126			26,174			49,261
Investment advisory fee		39,111			11,418			12,182
Administration fee		5,778			1,363			2,337
Distribution fee (Class Y)		4,165			2,329			2,351
Transfer agent fee		251			198			167
Accrued expenses and other payables		33,420			24,114			20,193
Total Liabilities		409,351			78,850			1,049,372
Net Assets	$	89,724,714		$	21,087,362		$	36,455,348
Composition of Net Assets:
Paid-in-capital	$	67,382,046		$	14,926,610		$	29,022,682
Net unrealized appreciation		23,641,659			6,251,135			6,975,092
Accumulated undistributed net investment income (net investment loss)		(96,072	)		(85,816	)		(58,443	)
Accumulated net realized gain (loss)		(1,202,919	)		(4,567	)		516,017
Net Assets	$	89,724,714		$	21,087,362		$	36,455,348
* Cost	$	63,337,555		$	14,647,635		$	28,180,377
Affiliated Cost**	$	2,982,768		$	250,324		$	1,347,649
Class X Shares:
Net Assets	$	69,154,562		$	9,639,619		$	24,821,591
Shares Outstanding (unlimited shares authorized, $.01 par value)		2,852,364			555,314			632,311
Net Asset Value Per Share	$	24.24		$	17.36		$	39.26
Class Y Shares:
Net Assets	$	20,570,152		$	11,447,743		$	11,633,757
Shares Outstanding (unlimited shares authorized, $.01 par value)		860,364			677,959			302,076
Net Asset Value Per Share	$	23.91		$	16.89		$	38.51

Morgan Stanley Select Dimensions Investment Series

Financial Statements continued

Statements of Operations
For the six months ended June 30, 2011 (unaudited)

	Money Market			Flexible Income			Global Infrastructure			Growth
Net Investment Income:
Income
Dividends†	$	—		$	1,457		$	556,673		$	122,667
Interest†		158,060			954,872			—			—
Interest and dividends from affiliates		—			6,938			320			566
Total Income		158,060			963,267			556,993			123,233
†Net of foreign withholding taxes		—			426			43,436			6,543
Expenses
Investment advisory fee (Note 4)		215,912			42,497			85,576			71,047
Distribution fee (Class Y shares) (Note 5)		81,517			17,638			10,677			21,001
Professional fees		35,591			37,578			27,379			27,206
Administration fee (Note 4)		23,990			10,624			12,011			11,368
Shareholder reports and notices		7,821			8,413			11,815			7,025
Custodian fees		7,766			6,844			13,162			4,799
Transfer agent fees and expenses		1,000			1,029			992			992
Trustees' fees and expenses		1,770			564			627			591
Other		1,515			20,763			5,573			3,769
Total Expenses		376,882			145,950			167,812			147,798
Less: amounts waived (Note 5)		(224,857	)		—			—			—
Less: rebate from Morgan Stanley affiliated cash sweep (Note 6)		—			(308	)		(343	)		(329	)
Net Expenses		152,025			145,642			167,469			147,469
Net Investment Income (Loss)		6,035			817,625			389,524			(24,236	)
Realized and Unrealized Gain (Loss):
Realized Gain (Loss) on:
Investments		422			552,454			1,600,517			2,615,748
Investments in affiliates		—			17,113			—			—
Futures contracts		—			(6,328	)		—			—
Swap agreements		—			61,916			—			—
Foreign currency exchange contracts		—			(6,074	)		—			—
Foreign currency translation		—			8,572			5,868			(128	)
Net Realized Gain		422			627,653			1,606,385			2,615,620
Change in Unrealized Appreciation/Depreciation on:
Investments		—			(398,211	)		1,491,151			(120,622	)
Investments in affiliates		—			(19,082	)		—			—
Futures contracts		—			(37,381	)		—			—
Swap agreements		—			(77,763	)		—			—
Foreign currency exchange contracts		—			(4,354	)		—			—
Foreign currency translation		—			583			(1,042	)		335
Net Change in Unrealized Appreciation/Depreciation		—			(536,208	)		1,490,109			(120,287	)
Net Gain		422			91,445			3,096,494			2,495,333
Net Increase	$	6,457		$	909,070		$	3,486,018		$	2,471,097

See Notes to Financial Statements
60

	Focus Growth			Multi Cap Growth			Mid Cap Growth
Net Investment Income:
Income
Dividends†	$	369,561		$	73,793		$	126,878
Interest†		—			—			—
Interest and dividends from affiliates		1,726			497			683
Total Income		371,287			74,290			127,561
†Net of foreign withholding taxes		26,791			4,469			9,703
Expenses
Investment advisory fee (Note 4)		251,913			74,947			75,907
Distribution fee (Class Y shares) (Note 5)		26,989			15,547			14,452
Professional fees		29,188			23,341			29,451
Administration fee (Note 4)		36,978			8,949			14,458
Shareholder reports and notices		9,175			5,865			4,977
Custodian fees		7,457			4,730			6,703
Transfer agent fees and expenses		1,294			1,031			1,000
Trustees' fees and expenses		1,585			491			674
Other		2,834			3,497			4,114
Total Expenses		367,413			138,398			151,736
Less: amounts waived (Note 5)		—			—			—
Less: rebate from Morgan Stanley affiliated cash sweep (Note 6)		(254	)		(251	)		(428	)
Net Expenses		367,159			138,147			151,308
Net Investment Income (Loss)		4,128			(63,857	)		(23,747	)
Realized and Unrealized Gain (Loss):
Realized Gain (Loss) on:
Investments		7,247,941			2,288,788			2,965,573
Investments in affiliates		—			—			—
Futures contracts		—			—			—
Swap agreements		—			—			—
Foreign currency exchange contracts		—			—			—
Foreign currency translation		28,090			(6,365	)		297
Net Realized Gain		7,276,031			2,282,423			2,965,870
Change in Unrealized Appreciation/Depreciation on:
Investments		72,734			(1,165,886	)		954,439
Investments in affiliates		—			—			—
Futures contracts		—			—			—
Swap agreements		—			—			—
Foreign currency exchange contracts		—			—			—
Foreign currency translation		(144	)		408			(849	)
Net Change in Unrealized Appreciation/Depreciation		72,590			(1,165,478	)		953,590
Net Gain		7,348,621			1,116,945			3,919,460
Net Increase	$	7,352,749		$	1,053,088		$	3,895,713

Morgan Stanley Select Dimensions Investment Series

Financial Statements continued

Statements of Changes in Net Assets

	Money Market						Flexible Income						Global Infrastructure
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011				For The Year Ended December 31, 2010
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,035		$	11,948		$	817,625		$	1,233,307		$	389,524			$	812,554
Net realized gain (loss)		422			1,731			627,653			(1,668,517	)		1,606,385				2,317,011
Net change in unrealized appreciation/depreciation		—			—			(536,208	)		2,946,470			1,490,109				(1,223,731	)
Net Increase		6,457			13,679			909,070			2,511,260			3,486,018				1,905,834
Dividends and Distributions to Shareholders from:
Net investment income
Class X shares		(1,539	)		(3,673	)		(790,731	)		(837,953	)		(586,125	)	��		(542,666	)
Class Y shares		(3,262	)		(8,275	)		(838,939	)		(947,382	)		(208,666	)			(198,117	)
Net realized gain
Class X shares		—			—			—			—			(1,282,100	)			(992,833	)
Class Y shares		—			—			—			—			(506,405	)			(407,171	)
Total Dividends and Distributions		(4,801	)		(11,948	)		(1,629,670	)		(1,785,335	)		(2,583,296	)			(2,140,787	)
Net decrease from transactions in shares of beneficial interest		(6,441,051	)		(41,502,801	)		(976,872	)		(3,547,601	)		(1,915,320	)			(4,325,030	)
Net Increase (Decrease)		(6,439,395	)		(41,501,070	)		(1,697,472	)		(2,821,676	)		(1,012,598	)			(4,559,983	)
Net Assets:
Beginning of period		100,285,133			141,786,203			27,459,106			30,280,782			30,725,463				35,285,446
End of Period	$	93,845,738		$	100,285,133		$	25,761,634		$	27,459,106		$	29,712,865			$	30,725,463
Accumulated Undistributed Net Investment Income (Loss)	$	6,532		$	5,298		$	713,140		$	1,525,185		$	372,244			$	777,511

See Notes to Financial Statements
62

	Growth						Focus Growth
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010
	(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(24,236	)	$	(9,738	)	$	4,128		$	(83,180	)
Net realized gain (loss)		2,615,620			1,103,912			7,276,031			7,234,097
Net change in unrealized appreciation/depreciation		(120,287	)		4,868,370			72,590			14,442,368
Net Increase		2,471,097			5,962,544			7,352,749			21,593,285
Dividends and Distributions to Shareholders from:
Net investment income
Class X shares		—			—			—			(32,429	)
Class Y shares		—			—			—			—
Net realized gain
Class X shares		—			—			—			—
Class Y shares		—			—			—			—
Total Dividends and Distributions		—			—			—			(32,429	)
Net decrease from transactions in shares of beneficial interest		(4,244,669	)		(6,326,474	)		(11,577,464	)		(17,590,923	)
Net Increase (Decrease)		(1,773,572	)		(363,930	)		(4,224,715	)		3,969,933
Net Assets:
Beginning of period		29,247,647			29,611,577			93,949,429			89,979,496
End of Period	$	27,474,075		$	29,247,647		$	89,724,714		$	93,949,429
Accumulated Undistributed Net Investment Income (Loss)	$	(44,953	)	$	(20,717	)	$	(96,072	)	$	(100,200	)

Morgan Stanley Select Dimensions Investment Series

Financial Statements continued

Statements of Changes in Net Assets continued

	Multi Cap Growth						Mid Cap Growth
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010
	(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(63,857	)	$	(95,194	)	$	(23,747	)	$	87,901
Net realized gain		2,282,423			2,187,759			2,965,870			2,713,414
Net change in unrealized appreciation/depreciation		(1,165,478	)		3,019,003			953,590			6,205,126
Net Increase		1,053,088			5,111,568			3,895,713			9,006,441
Dividends to Shareholders from:
Net investment income
Class X shares		—			—			(80,805	)		(29,523	)
Class Y shares		—			—			(15,788	)		—
Total Dividends		—			—			(96,593	)		(29,523	)
Net decrease from transactions in shares of beneficial interest		(3,253,884	)		(3,879,238	)		(2,490,583	)		(3,407,109	)
Net Increase (Decrease)		(2,200,796	)		1,232,330			1,308,537			5,569,809
Net Assets:
Beginning of period		23,288,158			22,055,828			35,146,811			29,577,002
End of Period	$	21,087,362		$	23,288,158		$	36,455,348		$	35,146,811
Accumulated Undistributed Net Investment Income (Loss)	$	(85,816	)	$	(21,959	)	$	(58,443	)	$	61,897

See Notes to Financial Statements
64

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
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010
	(unaudited)						(unaudited)
Class X Shares
Shares
Sold		2,834,439			5,757,479			68,817			53,531
Reinvestment of dividends and distributions		1,539			3,673			131,569			144,226
Redeemed		(4,990,403	)		(14,103,994	)		(209,855	)		(439,460	)
Net Decrease - Class X		(2,154,425	)		(8,342,842	)		(9,469	)		(241,703	)
Amount
Sold	$	2,834,439		$	5,757,479		$	438,173		$	328,959
Reinvestment of dividends and distributions		1,539			3,673			790,731			837,953
Redeemed		(4,990,403	)		(14,103,994	)		(1,334,379	)		(2,707,210	)
Net Decrease - Class X	$	(2,154,425	)	$	(8,342,842	)	$	(105,475	)	$	(1,540,298	)
Class Y Shares
Shares
Sold		24,138,249			22,638,817			60,297			142,135
Reinvestment of dividends and distributions		3,262			8,275			140,291			163,907
Redeemed		(28,428,137	)		(55,807,051	)		(331,261	)		(623,896	)
Net Decrease - Class Y		(4,286,626	)		(33,159,959	)		(130,673	)		(317,854	)
Amount
Sold	$	24,138,249		$	22,638,817		$	379,319		$	863,174
Reinvestment of dividends and distributions		3,262			8,275			838,939			947,382
Redeemed		(28,428,137	)		(55,807,051	)		(2,089,655	)		(3,817,859	)
Net Decrease - Class Y	$	(4,286,626	)	$	(33,159,959	)	$	(871,397	)	$	(2,007,303	)

See Notes to Financial Statements
65

Morgan Stanley Select Dimensions Investment Series

Financial Statements continued

Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest

	Global Infrastructure						Growth						Focus Growth
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010
	(unaudited)						(unaudited)						(unaudited)
Class X Shares
Shares
Sold		8,661			11,492			9,504			2,702			10,348			43,098
Reinvestment of dividends and distributions		81,298			83,678			—			—			—			1,816
Redeemed		(135,315	)		(222,273	)		(67,919	)		(123,516	)		(379,704	)		(684,557	)
Net Decrease - Class X		(45,356	)		(127,103	)		(58,415	)		(120,814	)		(369,356	)		(639,643	)
Amount
Sold	$	210,913		$	252,287		$	232,441		$	52,085		$	240,957		$	869,653
Reinvestment of dividends and distributions		1,868,225			1,535,499			—			—			—			32,429
Redeemed		(3,233,221	)		(4,746,483	)		(1,665,929	)		(2,488,117	)		(8,931,599	)		(13,127,780	)
Net Decrease - Class X	$	(1,154,083	)	$	(2,958,697	)	$	(1,433,488	)	$	(2,436,032	)	$	(8,690,642	)	$	(12,225,698	)
Class Y Shares
Shares
Sold		10,363			14,004			22,152			38,641			40,513			28,751
Reinvestment of dividends and distributions		31,131			33,004			—			—			—			—
Redeemed		(72,643	)		(107,162	)		(139,173	)		(235,362	)		(165,148	)		(310,572	)
Net Decrease - Class Y		(31,149	)		(60,154	)		(117,021	)		(196,721	)		(124,635	)		(281,821	)
Amount
Sold	$	250,765		$	302,815		$	527,829		$	704,857		$	928,308		$	540,408
Reinvestment of dividends and distributions		715,071			605,288			—			—			—			—
Redeemed		(1,727,073	)		(2,274,436	)		(3,339,010	)		(4,595,299	)		(3,815,130	)		(5,905,633	)
Net Decrease - Class Y	$	(761,237	)	$	(1,366,333	)	$	(2,811,181	)	$	(3,890,442	)	$	(2,886,822	)	$	(5,365,225	)

See Notes to Financial Statements
66

	Multi Cap Growth						Mid Cap Growth
	For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010			For The Six Months Ended June 30, 2011			For The Year Ended December 31, 2010
	(unaudited)						(unaudited)
Class X Shares
Shares
Sold		3,680			8,366			5,755			11,847
Reinvestment of dividends and distributions		—			—			2,058			1,037
Redeemed		(66,091	)		(126,854	)		(63,690	)		(124,390	)
Net Decrease - Class X		(62,411	)		(118,488	)		(55,877	)		(111,506	)
Amount
Sold	$	61,574		$	116,813		$	217,854		$	368,371
Reinvestment of dividends and distributions		—			—			80,805			29,523
Redeemed		(1,129,347	)		(1,717,896	)		(2,401,583	)		(3,677,621	)
Net Decrease - Class X	$	(1,067,773	)	$	(1,601,083	)	$	(2,102,924	)	$	(3,279,727	)
Class Y Shares
Shares
Sold		28,011			48,202			52,436			78,762
Reinvestment of dividends and distributions		—			—			410			—
Redeemed		(159,777	)		(216,786	)		(63,325	)		(82,285	)
Net Decrease - Class Y		(131,766	)		(168,584	)		(10,479	)		(3,523	)
Amount
Sold	$	464,812		$	630,278		$	1,928,598		$	2,315,177
Reinvestment of dividends and distributions		—			—			15,788			—
Redeemed		(2,650,923	)		(2,908,433	)		(2,332,045	)		(2,442,559	)
Net Decrease - Class Y	$	(2,186,111	)	$	(2,278,155	)	$	(387,659	)	$	(127,382	)

Morgan Stanley Select Dimensions Investment Series

Notes to Financial Statements n June 30, 2011 (unaudited)

1. Organization and Accounting Policies

Morgan Stanley Select Dimensions Investment Series (the "Fund") is registered under the Investment Company Act of 1940 as amended (the "Act"), as a diversified (except Focus Growth is non-diversified, effective August 8, 2007), open-end management investment company. The Fund is offered exclusively to life insurance companies in connection with particular life insurance and/or annuity contracts they offer. The Fund, which consists of 7 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 Multi Cap Growth 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.

Global Infrastructure				Seeks both capital appreciation and current income.

Growth* (Formally Capital Growth)				Seeks long-term capital growth.

Focus Growth				Seeks long-term capital growth.

Multi Cap Growth* (Formally Capital Opportunities)				Seeks long-term capital growth.

Mid Cap Growth				Seeks long-term capital growth.

* Name change effective April 29, 2011.

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

Morgan Stanley Select Dimensions Investment Series

Notes to Financial Statements n June 30, 2011 (unaudited) continued

Exchange or other domestic exchange is valued at its last sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and ask price; (3) all other domestic securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and ask price. In cases where a security is traded on more than one domestic exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) swaps are marked-to-market daily based upon quotations from market makers; (7) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Advisors Inc. (the "Investment Adviser") or Morgan Stanley Investment Management Limited or Morgan Stanley Investment Management Company (each, a "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 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; (8) certain portfolio securities may be valued by an outside pricing service approved by the Fund's Trustees; (9) 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 (10) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates fair value.

B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date

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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 as earned 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 invests 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. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, other assets and liabilities and foreign currency contracts are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the exchange rates prevailing on the respective dates of such transactions. The resultant exchange gains and losses are recorded as realized and unrealized gains/losses on foreign currency exchange contracts and foreign currency translations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains/losses included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of the securities held.

F. 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

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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, 2010 remains subject to examination by taxing authorities.

G. Dividends and Distributions to Shareholders — The Fund records dividends and distributions to its shareholders on the ex-dividend date.

H. 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.

I. 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.

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

2. Fair Valuation Measurements

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund's investments carried at fair value:

			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Money Market
Short-Term Investments
Repurchase Agreements	$	56,127,000		—	$	56,127,000		—
Floating Rate Notes		18,000,000		—		18,000,000		—
Commercial Paper		8,898,360		—		8,898,360		—
Certificates of Deposit		8,000,050		—		8,000,050		—
Weekly Variable Rate Bond		3,000,000		—		3,000,000		—
Total Assets	$	94,025,410		—	$	94,025,410		—

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			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Flexible Income
Assets:
Sovereign	$	2,812,349		—	$	2,812,349		—
Corporate Bonds		17,728,727		—		17,712,450	$	16,277
Asset-Backed Securities		576,005		—		576,005		—
Agency Fixed Rate Mortgages		154,174		—		154,174		—
U.S. Treasury Securities		1,901,528		—		1,901,528		—
Municipal Bonds		298,562		—		298,562		—
Mortgages — Other		1,363,063		—		1,363,063		—
Collateralized Mortgage Obligations — Agency Collateral Series		109,442		—		109,442		—
Preferred Stocks		215,950	$	138,880		77,070		—
Common Stocks
Communications Equipment		1,762		1,762		—		—
Diversified Telecommunication Services		77		77		—		—
Electric Utilities		218		218		—		—
Wireless Telecommunication Services		748		748		—		—
Total Common Stocks		2,805		2,805		—		—
Short-Term Investments
U.S. Treasury Security		229,976		—		229,976		—
Investment Company		225,198		225,198		—		—
Total Short-Term Investments		455,174		225,198		229,976		—
Foreign Currency Exchange Contracts		1,312		—		1,312		—
Futures		6,686		6,686		—		—
Interest Rate Swaps		18,773		—		18,773		—
Zero Coupon Swaps		20,083		—		20,083		—
Total Assets		25,664,633		373,569		25,274,787		16,277

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				Fair Value Measurements at June 30, 2011 Using
Investment Type	Total			Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)			Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Liabilities:
Foreign Currency Exchange Contracts	$	(5,570	)		—		$	(5,570	)		—
Futures		(22,809	)	$	(22,809	)		—			—
Interest Rate Swaps		(48,822	)		—			(48,822	)		—
Zero Coupon Swaps		(318,576	)		—			(318,576	)		—
Total Liabilities		(395,777	)		(22,809	)		(372,968	)		—
Total	$	25,268,856		$	350,760		$	24,901,819		$	16,277
Global Infrastructure
Common Stocks
Airports	$	670,935			—		$	670,935			—
Communications		4,274,142		$	2,938,883			1,335,259			—
Diversified		1,219,847			1,064,637			155,210			—
Oil & Gas Storage & Transportation		12,748,278			7,860,152			4,888,126			—
Ports		389,678			—			389,678			—
Toll Roads		2,214,751			—			2,214,751			—
Transmission & Distribution		5,849,139			2,723,923			3,125,216			—
Water		1,414,602			479,847			934,755			—
Total Common Stocks		28,781,372			15,067,442			13,713,930			—
Short-Term Investment — Investment Company		439,302			439,302			—			—
Total Assets	$	29,220,674		$	15,506,744		$	13,713,930			—
Growth
Common Stocks
Air Transport	$	567,800		$	567,800			—			—
Alternative Energy		956,025			956,025			—			—
Beverage: Brewers & Distillers		431,594			431,594			—			—
Biotechnology		831,159			831,159			—			—
Casinos & Gambling		1,063,225			1,063,225			—			—
Chemicals: Diversified		723,514			723,514			—			—
Commercial Finance & Mortgage Companies		506,138			506,138			—			—
Commercial Services		1,495,472			1,115,789		$	379,683			—
Communications Technology		967,715			967,715			—			—

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			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Computer Services, Software & Systems	$	4,525,625	$	3,308,589	$	383,961	$	833,075
Computer Technology		2,387,334		2,387,334		—		—
Consumer Lending		350,783		350,783		—		—
Diversified Media		473,923		—		473,923		—
Diversified Retail		3,697,737		3,697,737		—		—
Medical Equipment		711,846		711,846		—		—
Metals & Minerals: Diversified		663,173		663,173		—		—
Pharmaceuticals		1,501,110		1,501,110		—		—
Real Estate Investment Trusts (REIT)		986,575		986,575		—		—
Recreational Vehicles & Boats		970,423		—		970,423		—
Restaurants		995,201		995,201		—		—
Securities Brokerage & Services		380,012		380,012		—		—
Semiconductors & Components		626,106		626,106		—		—
Tobacco		533,759		533,759		—		—
Wholesale & International Trade		498,046		—		498,046		—
Total Common Stocks		26,844,295		23,305,184		2,706,036		833,075
Convertible Preferred Stock		163,260		—		—		163,260
Short-Term Investment — Investment Company		538,403		538,403		—		—
Total Assets	$	27,545,958	$	23,843,587	$	2,706,036	$	996,335
Focus Growth
Common Stocks
Air Transport	$	2,231,167	$	2,231,167		—		—
Alternative Energy		3,395,337		3,395,337		—		—
Beverage: Brewers & Distillers		1,723,071		1,723,071		—		—
Biotechnology		3,204,622		3,204,622		—		—
Casinos & Gambling		2,627,361		2,627,361		—		—
Chemicals: Diversified		3,059,810		3,059,810		—		—
Commercial Finance & Mortgage Companies		1,988,359		1,988,359		—		—
Commercial Services		2,217,728		2,217,728		—		—
Communications Technology		3,993,878		3,993,878		—		—
Computer Services, Software & Systems		16,200,819		11,977,266	$	1,486,478	$	2,737,075

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			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Computer Technology	$	9,010,513	$	9,010,513		—		—
Diversified Media		1,842,324		—	$	1,842,324		—
Diversified Retail		11,102,385		11,102,385		—		—
Medical Equipment		2,759,568		2,759,568		—		—
Metals & Minerals: Diversified		2,650,309		2,650,309		—		—
Pharmaceuticals		2,706,796		2,706,796		—		—
Real Estate Investment Trusts (REIT)		3,734,345		3,734,345		—		—
Recreational Vehicles & Boats		3,967,169		—		3,967,169		—
Restaurants		2,319,129		2,319,129		—		—
Semiconductors & Components		1,667,533		1,667,533		—		—
Tobacco		2,129,763		2,129,763		—		—
Wholesale & International Trade		1,946,866		—		1,946,866		—
Total Common Stocks		86,478,852		74,498,940		9,242,837	$	2,737,075
Convertible Preferred Stock		500,445		—		—		500,445
Short-Term Investment — Investment Company		2,982,768		2,982,768		—		—
Total Assets	$	89,962,065	$	77,481,708	$	9,242,837	$	3,237,520
Multi Cap Growth
Common Stocks
Air Transport	$	435,729	$	435,729		—		—
Alternative Energy		936,568		936,568		—		—
Asset Management & Custodian		411,669		411,669		—		—
Biotechnology		732,938		732,938		—		—
Casinos & Gambling		525,346		525,346		—		—
Chemicals: Diversified		604,548		604,548		—		—
Commercial Finance & Mortgage Companies		417,635		417,635		—		—
Commercial Services		1,572,160		1,572,160		—		—
Communications Technology		745,664		745,664		—		—
Computer Services, Software & Systems		3,363,113		2,379,556	$	320,882	$	662,675
Computer Technology		2,273,953		2,273,953		—		—
Diversified Media		398,143		—		398,143		—
Diversified Retail		2,886,320		2,886,320		—		—
Financial Data & Systems		1,013,526		1,013,526		—		—

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			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Health Care Services	$	450,703	$	450,703		—		—
Medical Equipment		563,375		563,375		—		—
Metals & Minerals: Diversified		931,741		507,531	$	424,210		—
Pharmaceuticals		536,347		536,347		—		—
Real Estate Investment Trusts (REIT)		812,267		812,267		—		—
Recreational Vehicles & Boats		755,468		—		755,468		—
Wholesale & International Trade		410,342		—		410,342		—
Total Common Stocks		20,777,555		17,805,835		2,309,045	$	662,675
Convertible Preferred Stocks		120,792		—		—		120,792
Short-Term Investment — Investment Company		250,324		250,324		—		—
Total Assets	$	21,148,671	$	18,056,159	$	2,309,045	$	783,467
Mid Cap Growth
Common Stocks
Air Transport	$	750,189	$	750,189		—		—
Alternative Energy		1,235,806		1,235,806		—		—
Asset Management & Custodian		285,946		285,946		—		—
Biotechnology		1,530,323		1,530,323		—		—
Casinos & Gambling		543,012		543,012		—		—
Cement		351,708		351,708		—		—
Chemicals: Diversified		1,064,535		1,064,535		—		—
Commercial Services		2,081,086		1,447,746	$	633,340		—
Communications Technology		1,659,356		1,294,185		365,171		—
Computer Services, Software & Systems		4,735,593		4,485,907		249,686		—
Computer Technology		1,836,990		1,836,990		—		—
Consumer Lending		622,019		622,019		—		—
Consumer Services: Miscellaneous		468,744		468,744		—		—
Cosmetics		367,797		367,797		—		—
Diversified Materials & Processing		575,359		—		575,359		—
Diversified Media		1,105,997		520,809		585,188		—
Diversified Retail		3,836,527		3,836,527		—		—
Financial Data & Systems		1,644,271		1,644,271		—		—
Health Care Services		508,251		508,251		—		—

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			Fair Value Measurements at June 30, 2011 Using
Investment Type	Total		Unadjusted Quoted Prices In Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Medical & Dental Instruments & Supplies	$	487,798	$	487,798		—		—
Medical Equipment		932,880		932,880		—		—
Metals & Minerals: Diversified		1,009,129		786,941	$	222,188		—
Pharmaceuticals		2,183,598		2,183,598		—		—
Publishing		463,995		463,995		—		—
Recreational Vehicles & Boats		1,277,441		—		1,277,441		—
Scientific Instruments: Pollution Control		770,088		770,088		—		—
Semiconductors & Components		797,205		797,205		—		—
Shipping		459,164		459,164		—		—
Textiles Apparel & Shoes		625,521		625,521		—		—
Total Common Stocks		34,210,328		30,301,955		3,908,373		—
Convertible Preferred Stock		698,792		—		—	$	698,792
Preferred Stocks		247,193		—		—		247,193
Short-Term Investment — Investment Company		1,347,649		1,347,649		—		—
Total Assets	$	36,503,962	$	31,649,604	$	3,908,373	$	945,985

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. At June 30, 2011, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. The values of the transfers were as follows:

GLOBAL INFRASTRUCTURE				GROWTH				FOCUS GROWTH				MULTI CAP GROWTH				MID CAP GROWTH
$	12,859,488			$	2,207,990			$	7,295,971			$	1,898,703			$	3,543,202

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

	Flexible Income			Growth				Focus Growth				Multi Cap Growth				Mid Cap Growth
	Corporate Bonds			Common Stock		Convertible Preferred Stock		Common Stock		Convertible Preferred Stock		Common Stock		Convertible Preferred Stock		Convertible Preferred Stock		Preferred Stock
Beginning Balance	$	19,199			—	$	163,260	$	1,747,698	$	500,445		—	$	120,792	$	430,081		—
Purchases		—		$	733,162		—		444,691		—	$	583,198		—		—	$	247,193
Sales		—			—		—		—		—		—		—		—		—
Amortization of discount		(1,873	)		—		—		—		—		—		—		—		—
Transfers in		—			—		—		—		—		—		—		—		—
Transfers out		—			—		—		—		—		—		—		—		—
Change in unrealized appreciation (depreciation)		(737	)		99,913		—		544,686		—		79,477		—		268,711		—
Realized gains (losses)		(312	)		—		—		—		—		—		—		—		—
Ending Balance	$	16,277		$	833,075	$	163,260	$	2,737,075	$	500,445	$	662,675	$	120,792	$	698,792	$	247,193
Net change in unrealized appreciation/ (depreciation) from investments still held as of June 30, 2011.	$	(737	)	$	99,913		—	$	544,686		—	$	79,477		—	$	268,711		—

3. Derivatives

Certain Portfolios use derivative instruments for a variety of purposes, including hedging, risk management, portfolio management or to earn income. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument. A derivative instrument often has risks similar to its underlying instrument and may have additional risks, including imperfect correlation between the value of the derivative and the underlying instrument, risks of default by the other party to certain transactions, magnification of losses incurred due to changes in the market value of the securities, instruments, indices or interest rates to which they relate, and risks that the transactions may not be liquid. The use of derivatives involves risks that are different from, and possibly greater than, the risks associated

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with other portfolio investments. Derivatives may involve the use of highly specialized instruments that require investment techniques and risk analyses different from those associated with other portfolio investments. All of a Portfolio's holdings, including derivative instruments, are marked-to-market each day with the change in value reflected in unrealized appreciation (depreciation). Upon disposition, a realized gain or loss is recognized.

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

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

Foreign Currency Exchange Contracts In connection with its investments in foreign securities, certain Portfolios entered into contracts with banks, brokers or dealers to purchase or sell foreign currencies at a future date. A foreign currency exchange contract ("currency contracts") is a negotiated agreement between the contracting parties to exchange a specified amount of currency at a specified future time at a specified rate. The rate can be higher or lower than the spot rate between the currencies that are the subject of the currency contract. Currency contracts are used to protect against uncertainty in the level of future foreign currency exchange rates or to gain or modify exposure to a particular currency. In addition, certain Portfolios used cross currency hedging or proxy hedging with respect to currencies in which a Portfolio has or expects to have portfolio or currency exposure. Cross currency hedges involve the sale of one currency against the positive exposure to a different currency and may be used for hedging purposes or to establish an active exposure to the exchange rate between any two currencies. Hedging a Portfolio's currency risks involves the risk of mismatching a Portfolio's objectives under a currency contract with the value of securities denominated in a particular currency. Furthermore, such transactions reduce or preclude the opportunity for gain if the value of the currency should move in the direction opposite to the position taken. There is an additional risk to the effect that currency contracts create exposure to currencies in which a Portfolio's securities are not denominated. Unanticipated changes in currency prices may result in poorer overall performance for a Portfolio than if it had not entered into such contracts. A currency contract is

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

marked-to-market daily and the change in market value is recorded by a Portfolio as unrealized gain or (loss). A Portfolio records realized gains (losses) when the currency contract is closed equal to the difference between the value of the currency contract at the time it was opened and the value at the time it was closed.

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

Swaps A swap agreement is an agreement between two parties pursuant to which the parties exchange payments at specified dates on the basis of a specified notional amount, with the payments calculated by reference to specified securities, indexes, reference rates, currencies or other instruments. Most swap agreements provide that when the period payment dates for both parties are the same, the payments are made on a net basis (i.e., the two payment streams are netted out, with only the net amount paid by one party to the other). A Portfolio's obligations or rights under a swap agreement entered into on a net basis will generally be equal only to the net amount to be paid or received under the agreement, based on the relative values of the positions held by each counterparty. Swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. Therefore, swaps are subject to credit risk or the risk of default or non-performance by the counterparty. Swaps could result in losses if interest rate or foreign currency exchange rates or credit quality changes are not correctly anticipated by a Portfolio or if the reference index, security or investments do not perform as expected.

When a Portfolio has an unrealized loss on a swap agreement, the Portfolio has instructed the custodian to pledge cash or liquid securities as collateral with a value approximately equal to the amount of the unrealized loss. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate. If applicable, cash collateral is included with "Due from (to) Broker" on the Statements of Assets

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

and Liabilities. Cash collateral has been offset against open swap agreements under the provisions of FASB ASC 210, Balance Sheet ("ASC 210").

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

The following table sets forth the fair value of each Portfolio's derivative contracts by primary risk exposure as of June 30, 2011.

PORTFOLIO	PRIMARY RISK EXPOSURE	ASSET DERIVATIVES STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE			LIABILITY DERIVATIVES STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Flexible Income	Interest Rate	Variation margin	$	6,686	†	Variation margin	$	(22,809	)†
	Risk	Unrealized appreciation on open swap agreements		38,856		Unrealized depreciation on open swap agreements		(367,398	)
	Currency Risk	Unrealized appreciation on open foreign currency exchange contracts		1,312		Unrealized depreciation on open foreign currency exchange contracts		(5,570	)
			$	46,854			$	(395,777	)

† Includes cumulative appreciation/depreciation of futures contracts as reported in the Portfolio of Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities.

The following tables set forth by primary risk exposure the Fund's realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended June 30, 2011 in accordance with ASC 815.

AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS

PORTFOLIO	PRIMARY RISK EXPOSURE	FUTURES			SWAPS		FOREIGN CURRENCY EXCHANGE
Flexible Income	Interest Rate Risk	$	(6,328	)	$	61,916		—
	Currency Risk		—			—	$	(6,074	)
	Total	$	(6,328	)	$	61,916	$	(6,074	)

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CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVE CONTRACTS

PORTFOLIO	PRIMARY RISK EXPOSURE	FUTURES			SWAPS			FOREIGN CURRENCY EXCHANGE
Flexible Income	Interest Rate Risk	$	(37,381	)	$	(77,763	)		—
	Currency Risk		—			—		$	(4,354	)
	Total	$	(37,381	)	$	(77,763	)	$	(4,354	)

For the six months ended June 30, 2011, Flexible Income Portfolio's average monthly principal amount of foreign currency exchange contracts was $964,696, the average monthly original value of futures contracts was $7,473,976 and the average monthly notional amount of swap agreements was $33,251,677.

4. Investment Advisory/Administration and Sub-Advisory Agreements

Pursuant to an Investment Advisory Agreement with the Investment Adviser and Sub-Advisers, 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%.

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.

Under the Sub-Advisory Agreement between the Investment Adviser and the Sub-Advisers, the Sub-Advisers provide 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

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Sub-Advisers on a monthly basis a portion of the net advisory fees the Investment Adviser receives from Global Infrastructure.

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.

Multi Cap Growth — 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.

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

5. Plan of Distribution

Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Adviser, Administrator and Sub-Advisers. 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.

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The Distributor, Investment Adviser and Administrator have agreed to waive all or a portion of the Money Market Portfolio's distribution fee, investment advisory fee and administration fee, respectively, to the extent that total expenses exceed total income of the Money Market Portfolio on a daily basis. For the six months ended June 30, 2011, the Distributor waived $81,517 and the Investment Adviser waived $143,340. The fee waivers and/or expense reimbursements are expected to continue for one year or until such time that the Board of Trustees acts to discontinue such waivers and/or expense reimbursements when it deems such action is appropriate.

6. Security Transactions and Transactions with Affiliates

For the six months ended June 30, 2011, purchases and sales/prepayments/maturities of investment securities, excluding short-term investments, were as follows:

	U.S. GOVERNMENT SECURITIES				OTHER
	PURCHASES		SALES/PREPAYMENTS MATURITIES		PURCHASES		SALES/PREPAYMENTS MATURITIES
Flexible Income	$	9,323,145	$	10,990,244	$	1,569,922	$	1,789,172
Global Infrastructure		—		—		5,374,698		9,761,625
Growth		—		—		4,527,092		8,748,398
Focus Growth		—		—		14,175,585		24,323,246
Multi Cap Growth		—		—		3,962,819		7,037,392
Mid Cap Growth		—		—		6,249,844		9,685,225

Each Portfolio (except Money Market) invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds Money Market Portfolio (the "Liquidity Funds"), an open-end management investment company managed by the Investment Adviser. Investment advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds.

A summary of the Portfolios' transactions in shares of the Liquidity Funds during the six months ended June 30, 2011 is as follows:

PORTFOLIO	VALUE DECEMBER 31, 2010		PURCHASED AT COST		SALES PROCEED		VALUE JUNE 30, 2011
Flexible Income	$	205,676	$	7,546,709	$	7,527,187	$	225,198
Global Infrastructure		510,304		5,036,276		5,107,278		439,302
Growth		567,179		5,061,783		5,090,559		538,403
Focus Growth		4,357,343		16,884,025		18,258,600		2,982,768
Multi Cap Growth		489,005		4,702,646		4,941,327		250,324
Mid Cap Growth		516,425		7,418,538		6,587,314		1,347,649

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

In addition, the table also identifies the income distributions earned, if any, by each Portfolio for that Portfolio's investment in the Liquidity Funds.

Income distributions are included in "interest and dividends from affiliates" in the Statements of Operations.

PORTFOLIO	INCOME DISTRIBUTION EARNED		ADVISORY FEE REDUCTION
Flexible Income	$	476	$	308
Global Infrastructure		320		343
Growth		566		329
Focus Growth		1,726		254
Multi Cap Growth		497		251
Mid Cap Growth		683		428

The following Portfolio had transactions with Hartford Financial Services Group, Inc., an affiliate of the Fund:

PORTFOLIO				INCOME				VALUE
Flexible Income				$	1,662			$	61,956

The following Portfolio had transactions with Citigroup, Inc., and its affiliated broker/dealers, which may be deemed to be affiliates of the Investment Adviser, Sub-Advisers, Administrator and Distributor under Section 17 of the Act, for the six months ended June 30, 2011:

PORTFOLIO				PURCHASES				SALES				INCOME				VALUE				REALIZED GAIN (LOSS)
Flexible Income				$	36,173			$	74,795			$	4,800			$	136,912			$	17,113

The following Portfolios had transactions with other Morgan Stanley funds for the six months ended June 30, 2011:

PORTFOLIO	PURCHASES		SALES		REALIZED GAIN (LOSS)
Focus Growth		—	$	747,756	$	(58,726	)
Growth	$	413,133		413,780		79,283
Mid Cap Growth		113,927		581,317		228,851

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

During the six months ended June 30, 2011, the following Portfolios incurred brokerage commissions with Morgan Stanley & Co., LLC, an affiliate of the Investment Adviser, Sub-Advisers, Administrator and Distributor, for portfolio transactions executed on behalf of each Portfolio:

GLOBAL INFRASTRUCTURE				MULTI CAP GROWTH				MID CAP GROWTH
$	274			$	145			$	31

During the six months ended June 30, 2011, the following Portfolios incurred brokerage commissions with Citigroup, Inc. and its affiliated broker/dealers which may be deemed affiliates of the Investment Adviser, Sub-Advisers, Administrator and Distributor, under Section 17 of the Act, for portfolio transactions executed on behalf of each Portfolio:

GLOBAL INFRASTRUCTURE				FOCUS GROWTH				GROWTH				MULTI CAP GROWTH				MID CAP GROWTH
$	2,347			$	189			$	11			$	51			$	31

Morgan Stanley Services Company Inc., an affiliate of the Investment Adviser, Sub-Advisers and Distributor, is the Fund's transfer agent.

7. Purposes of and Risks Relating to Certain Financial Instruments

Certain Portfolios may invest in mortgage securities, including securities issued by Federal National Mortgage Association ("FNMA") and Federal Home Loan Mortgage Corporation ("FHLMC"). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage backed security and could result in losses to the 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 issued by FNMA and FHLMC that are held by the Portfolio's are not backed by subprime mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States; rather, they are supported by the right of the issuer to borrow from the U.S. Department of the Treasury.

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

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.

Certain Portfolios may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In the event of default on the obligation to repurchase, the Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral proceeds may be subject to costs and delays.

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.

As of December 31, 2010, 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,	2011		2012		2013		2014		2016		2017		2018		TOTAL
Flexible Income	$	6,161	$	1,199	$	562	$	939	$	4,961	$	6,610	$	2,199	$	22,631
Growth		3,145		60		—		—		—		—		—		3,205
Focus Growth		—		—		—		—		4,859		3,620		—		8,479
Multi Cap Growth		—		—		—		—		1,929		334		—		2,263
Mid Cap Growth		—		—		—		—		—		2,332		—		2,332

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At December 31, 2010, the primary reason(s) for significant temporary book/tax differences were as follows:

	TEMPORARY DIFFERENCES
	POST- OCTOBER LOSSES	LOSS DEFERRALS FROM WASH SALES
Money Market
Flexible Income	•	•
Global Infrastructure	•	•
Growth		•
Focus Growth	•	•
Multi Cap Growth	•	•
Mid Cap Growth	•	•

Additionally, the following Portfolios had other temporary differences: Flexible Income and Global Infrastructure — gain/loss from the mark-to-market of futures and/or options contracts; Flexible Income — interest on bonds in default and capital loss deferrals on straddles; Global Infrastructure — mark-to-market of passive foreign investment companies ("PFICs") and foreign tax credit pass through. The following Portfolios had temporary and/or permanent differences attributable to book amortization of premiums on debt securities: Flexible Income.

9. Expense Offset

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

10. Accounting Pronouncement

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

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Notes to Financial Statements n June 30, 2011 (unaudited) continued

11. Subsequent Event

Effective July 31, 2011, the Board of Trustees of the Fund has approved (i) changing the investment adviser with respect to each Portfolio from Morgan Stanley Investment Advisors Inc. to Morgan Stanley Investment Management Inc., and (ii) changing the distributor with respect to each Portfolio from Morgan Stanley Distributors Inc. to Morgan Stanley Distribution, Inc. In connection with this approval, there will be no change in the nature of the services currently provided to the Fund through its existing advisory and distribution relationships.

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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
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	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
2010		1.00		0.000	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
2011^		1.00		0.000	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
CLASS Y SHARES
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	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
2010		1.00		0.000	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
2011^		1.00		0.000	(d)		—			0.000	(d)		(0.000	)(d)		—			(0.000	)(d)
FLEXIBLE INCOME CLASS X SHARES
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	)
2010		6.08		0.27			0.25			0.52			(0.39	)		—			(0.39	)
2011^		6.21		0.20			0.01			0.21			(0.41	)		—			(0.41	)
CLASS Y SHARES
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	)
2010		6.04		0.25			0.26			0.51			(0.38	)		—			(0.38	)
2011^		6.17		0.19			0.02			0.21			(0.40	)		—			(0.40	)

See Notes to Financial Statements
92

								RATIO 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
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
2010		1.00		0.01			32,429		0.30	(f)		0.01	(f)		—			N/A
2011^		1.00		0.00	(i)(k)		30,275		0.32	(f)(l)		0.01	(f)(l)		—			N/A
CLASS Y SHARES
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
2010		1.00		0.01			67,856		0.30	(f)		0.01	(f)		—			N/A
2011^		1.00		0.00	(i)(k)		63,571		0.32	(f)(l)		0.01	(f)(l)		—			N/A
FLEXIBLE INCOME CLASS X SHARES
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
2010		6.21		9.08			12,719		0.90	(h)		4.38	(h)		0.00	(i)		91
2011^		6.01		3.45	(k)		12,255		0.96	(h)(l)		6.29	(h)(l)		0.00	(i)(l)		42	(k)
CLASS Y SHARES
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
2010		6.17		8.85			14,740		1.15	(h)		4.13	(h)		0.00	(i)		91
2011^		5.98		3.34	(k)		13,506		1.21	(h)(l)		6.04	(h)(l)		0.00	(i)(l)		42	(k)

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
GLOBAL INFRASTRUCTURE CLASS X SHARES
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	)
2010		22.68		0.56			0.72			1.28			(0.53	)	$	(0.98	)		(1.51	)
2011^		22.45		0.32			2.41			2.73			(0.69	)		(1.51	)		(2.20	)
CLASS Y SHARES
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	)
2010		22.63		0.51			0.71			1.22			(0.47	)		(0.98	)		(1.45	)
2011^		22.40		0.29			2.41			2.70			(0.62	)		(1.51	)		(2.13	)
GROWTH CLASS X SHARES
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			—			—			—
2010		18.86		0.02			4.45			4.47			—			—			—
2011^		23.33		0.00			2.11			2.11			—			—			—
CLASS Y SHARES
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	)(j)		—			(0.00	)(j)
2009		11.19		(0.02	)		7.37			7.35			—			—			—
2010		18.54		(0.03	)		4.36			4.33			—			—			—
2011^		22.87		(0.03	)		2.08			2.05			—			—			—

See Notes to Financial Statements
94

								RATIO 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
GLOBAL INFRASTRUCTURE CLASS X SHARES
2006	$	25.29		20.50	%	$	52,982		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
2010		22.45		7.13			21,843		0.93	(h)		2.66	(h)		0.00	(i)		148
2011^		22.98		12.19	(k)		21,321		1.04	(h)(l)		2.67	(h)(l)		0.00	(i)(l)		18	(k)
CLASS Y SHARES
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
2010		22.40		6.81			8,883		1.18	(h)		2.41	(h)		0.00	(i)		148
2011^		22.97		12.09	(k)		8,392		1.29	(h)(l)		2.42	(h)(l)		0.00	(i)(l)		18	(k)
GROWTH CLASS X SHARES
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
2010		23.33		23.70			11,710		0.89	(h)		0.11	(h)		0.00	(i)		33
2011^		25.44		9.09	(k)		11,285		0.89	(h)(l)		(0.02	)(h)(l)		0.00	(i)(l)		16	(k)
CLASS Y SHARES
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
2010		22.87		23.35			17,537		1.14	(h)		(0.14	)(h)		0.00	(i)		33
2011^		24.92		8.96	(k)		16,189		1.14	(h)(l)		(0.27	)(h)(l)		0.00	(i)(l)		16	(k)

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 X SHARES
2006	$	17.19	$	(0.03	)	$	0.09		$	0.06		$	0.00	(j)		—	$	(0.00	)(j)
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	)
2010		17.59		(0.01	)		4.83			4.82			(0.01	)		—		(0.01	)
2011^		22.40		0.01			1.83			1.84			—			—		—
CLASS Y SHARES
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			—			—		—
2010		17.40		(0.05	)		4.77			4.72			—			—		—
2011^		22.12		(0.02	)		1.81			1.79			—			—		—
MULTI CAP GROWTH CLASS X SHARES
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			—			—		—
2010		13.04		(0.04	)		3.56			3.52			—			—		—
2011^		16.56		(0.04	)		0.84			0.80			—			—		—
CLASS Y SHARES
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			—			—		—
2010		12.73		(0.07	)		3.47			3.40			—			—		—
2011^		16.13		(0.06	)		0.82			0.76			—			—		—

See Notes to Financial Statements
96

								RATIO 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 X SHARES
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
2010		22.40		27.41			72,166		0.75	(h)		(0.04	)(h)		0.00	(i)		44
2011^		24.24		8.21	(k)		69,155		0.74	(h)(l)		0.07	(h)(l)		0.00	(i)(l)		16	(k)
CLASS Y SHARES
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
2010		22.12		27.07			21,783		1.00	(h)		(0.29	)(h)		0.00	(i)		44
2011^		23.91		8.14	(k)		20,570		0.99	(h)(l)		(0.18	)(h)(l)		0.00	(i)(l)		16	(k)
MULTI CAP GROWTH CLASS X SHARES
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
2010		16.56		26.99			10,230		1.08	(h)		(0.31	)(h)		0.00	(i)		27
2011^		17.36		4.83	(k)		9,640		1.10	(h)(l)		(0.43	)(h)(l)		0.00	(i)(l)		18	(k)
CLASS Y SHARES
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
2010		16.13		26.71			13,058		1.33	(h)		(0.56	)(h)		0.00	(i)		27
2011^		16.89		4.65	(k)		11,448		1.35	(h)(l)		(0.68	)(h)(l)		0.00	(i)(l)		18	(k)

Morgan Stanley Select Dimensions Investment Series

Financial Highlights continued


FOR THE YEAR ENDED DECEMBER 31	NET ASSET VALUE BEGINNING OF PERIOD		NET INVESTMENT INCOME (LOSS)(a)			NET REALIZED AND UNREALIZED GAIN (LOSS)			TOTAL FROM INVESTMENT OPERATIONS			DIVIDENDS TO SHAREHOLDERS			DISTRIBUTIONS TO SHAREHOLDERS		TOTAL DIVIDENDS AND DISTRIBUTIONS
MID CAP GROWTH CLASS X SHARES
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			—			—		—
2010		26.65		0.10			8.63			8.73			(0.04	)		—		(0.04	)
2011^		35.34		(0.01	)		4.06			4.05			(0.13	)		—		(0.13	)
CLASS Y SHARES
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			—			—		—
2010		26.15		0.03			8.46			8.49			—			—		—
2011^		34.64		(0.06	)		3.98			3.92			(0.05	)		—		(0.05	)

^ For the six months ended June 30, 2011 (unaudited).

(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 charges, the total returns would be lower.

(c) Reflects overall Portfolio ratios for investment income and non-class specific expenses.

(d) Amount is less than $0.001.

(e) Reflects fees paid in connection with the U.S. Treasury's Temporary Guarantee Program for Money Market Funds. This fee had an effect of 0.03% for the year ended 2009.

(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
June 30, 2011
Class X		0.62	%		(0.29	)%
Class Y		0.87			(0.54	)
December 31, 2010
Class X		0.59			(0.29	)
Class Y		0.84			(0.54	)
December 31, 2009
Class X		0.59			(0.17	)
Class Y		0.84			(0.42	)

See Notes to Financial Statements
98

								RATIO TO AVERAGE NET ASSETS(c)
FOR THE YEAR ENDED DECEMBER 31	NET ASSET VALUE END OF PERIOD		TOTAL RETURN(b)			NET ASSETS END OF PERIOD (000'S)		EXPENSES			NET INVESTMENT INCOME (LOSS)			REBATE FROM MORGAN STANLEY AFFILIATE			PORTFOLIO TURNOVER RATE
MID CAP GROWTH CLASS X SHARES
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
2010		35.34		32.79			24,319		0.79	(h)		0.36	(h)		0.00	(i)		44
2011^		39.26		11.45	(k)		24,822		0.76	(h)(l)		(0.05	)(h)(l)		0.00	(i)(l)		17	(k)
CLASS Y SHARES
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
2010		34.64		32.47			10,828		1.04	(h)		0.11	(h)		0.00	(i)		44
2011^		38.51		11.32	(k)		11,634		1.01	(h)(l)		(0.30	)(h)(l)		0.00	(i)(l)		17	(k)

(g) Distribution from paid-in-capital.

(h) The ratios reflect 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) Includes dividends of less than $0.001.

(k) Not annualized.

(l) Annualized.

Morgan Stanley Select Dimensions Investment Series

Change in Independent Registered Public Accounting Firm (unaudited)

On June 7, 2011, Deloitte & Touche LLP were dismissed as Independent Registered Public Accounting Firm of the Fund.

The reports of Deloitte & Touche LLP on the financial statements of the Fund for the past two fiscal years contained no adverse opinion or disclaimer of opinion and were not qualified or modified as to uncertainty, audit scope or accounting principle.

In connection with its audits for the two most recent fiscal years, there have been no disagreements with Deloitte & Touche LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of Deloitte & Touche LLP, would have caused them to make reference thereto in their reports on the financial statements for such years.

On June 7, 2011, the Fund, with the approval of its Board of Trustees and its Audit Committee, engaged Ernst & Young LLP as its new Independent Registered Public Accounting Firm.

100

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Trustees
	Frank L. Bowman	Joseph J. Kearns

	Michael Bozic	Michael F. Klein

	Kathleen A. Dennis	Michael E. Nugent

	James F. Higgins	W. Allen Reed

	Dr. Manuel H. Johnson	Fergus Reid

Officers
Michael E. Nugent Chairperson of the Board

Arthur Lev President and Principal Executive Officer

Mary Ann Picciotto Chief Compliance Officer

Stefanie V. Chang Yu Vice President

Francis J. Smith Treasurer and Principal Financial Officer

Mary E. Mullin Secretary

	Transfer Agent	Custodian
	Morgan Stanley Services Company Inc. P.O. Box 219886 Kansas City, Missouri 64121	State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts 02111

	Independent Registered Public Accounting Firm	Legal Counsel
	Ernst & Young LLP 200 Clarendon Street Boston, Massachusetts 02116	Dechert LLP 1095 Avenue of the Americas New York, New York 10036

	Counsel to the Independent Trustees	Investment Adviser
	Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York 10036	Morgan Stanley Investment Advisors Inc. 522 Fifth Avenue New York, New York 10036

	Sub-Adviser (Global Infrastructure)
	Morgan Stanley Investment Management Limited 25 Cabot Square, London, E14 4QA England

	Morgan Stanley Investment Management Company 23 Church Street 16-01 Capital Square 049481 Singapore

This report is submitted for the general information of shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund's Statement of Additional Information contains additional information about the Fund, including its trustees. It is available without charge, by calling (800) 869-NEWS.

This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing.

Morgan Stanley Distributors Inc., member FINRA.

SELDIMSAN
IU11-01702P-Y06/11

#40474

Item 2. Code of Ethics.

Not applicable for semiannual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semiannual reports.

Item 4. Principal Accountant Fees and Services

Not applicable for semiannual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable for semiannual reports.

Item 6.

(a) Refer to Item 1.

(b) Not applicable.

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

Not applicable for semiannual reports.

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

Applicable only to reports filed by closed-end funds.

Item 9. Closed-End Fund Repurchases

Applicable to reports filed by closed-end funds.

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

Not applicable.

Item 11. Controls and Procedures

(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

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

Item 12. Exhibits

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

(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Morgan Stanley Select Dimensions Investment Series

/s/ Arthur Lev
Arthur Lev
Principal Executive Officer
August 25, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/ Arthur Lev
Arthur Lev
Principal Executive Officer
August 25, 2011

/s/ Francis Smith
Francis Smith
Principal Financial Officer
August 25, 2011

Morgan Stanley Select Dimensions Investment Series Inactive N-CSRSCertified semi-annual shareholder report (management investment company)