<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05634
Morgan Stanley Strategist Fund
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: July 31, 2005
Date of reporting period: January 31, 2005
Item 1 - Report to Shareholders
<Page>
WELCOME, SHAREHOLDER:
IN THIS REPORT, YOU'LL LEARN ABOUT HOW YOUR INVESTMENT IN MORGAN STANLEY
STRATEGIST FUND PERFORMED DURING THE SEMIANNUAL PERIOD. WE WILL PROVIDE AN
OVERVIEW OF THE MARKET CONDITIONS, AND DISCUSS SOME OF THE FACTORS THAT AFFECTED
PERFORMANCE DURING THE REPORTING PERIOD. IN ADDITION, THIS REPORT INCLUDES THE
FUND'S FINANCIAL STATEMENTS AND A LIST OF FUND INVESTMENTS.
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE FUND BEING
OFFERED. MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO
PASS. THERE IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE.
THE FUND IS SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY THAT MARKET VALUES
OF SECURITIES OWNED BY THE FUND WILL DECLINE AND, THEREFORE, THE VALUE OF THE
FUND'S SHARES MAY BE LESS THAN WHAT YOU PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE
MONEY INVESTING IN THIS FUND.
<Page>
FUND REPORT
For the six-month period ended January 31, 2005
TOTAL RETURN FOR THE 6 MONTHS ENDED JANUARY 31, 2005
<Table>
<Caption>
LEHMAN
BROTHERS U.S. LIPPER
GOVERNMENT/ FLEXIBLE
S&P 500 CREDIT PORTFOLIO
CLASS A CLASS B CLASS C CLASS D INDEX(1) INDEX(2) FUNDS INDEX(3)
8.29% 7.93% 7.92% 8.48% 8.16% 4.02% 8.27%
</Table>
PERFORMANCE DATA QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES
SHOWN. FOR THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
morganstanley.com, OR SPEAK WITH YOUR FINANCIAL ADVISOR. INVESTMENT RETURNS AND
PRINCIPAL VALUE WILL FLUCTUATE AND FUND SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST.
THE PERFORMANCE OF THE FUND'S FOUR SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. THE FUND'S TOTAL RETURNS ASSUME THE REINVESTMENT OF ALL
DISTRIBUTIONS BUT DO NOT REFLECT THE DEDUCTION OF ANY APPLICABLE SALES CHARGES.
SUCH COSTS WOULD LOWER PERFORMANCE. SEE PERFORMANCE SUMMARY FOR STANDARDIZED
PERFORMANCE AND BENCHMARK INFORMATION.
MARKET CONDITIONS
From late summer to the early fall of 2004, both equity and fixed income markets
traded within narrow ranges, reflecting a number of geopolitical uncertainties
simmering around the world. Investor preoccupation centered on Iraq's future
sovereignty, the sustained growth of China and other developing markets and
global pressures on the world's resources and commodity supplies. In the U.S.,
concerns over the sluggishness of the economic recovery and the possibility of a
protracted presidential election held risk tolerances in check. The stock and
bond markets during these months mimicked trends that had developed in prior
months, with small- and mid-capitalization stocks outperforming larger
capitalization equities, cyclical industries outperforming staples and long
bonds marking time in a 4 to 4 1/2 percent trading range.
The backdrop shifted dramatically in the post-election period, as the reelection
of President Bush and a Republican tilt to both Senate and House races reduced
the possibility of major changes in domestic policy. At the same time, oil
prices, which had peaked above $50 per barrel, corrected back to the low
forties. Equities rallied in November and December, posting returns (as measured
by the S&P 500) in excess of 7 percent for the two-month period alone. At the
same time, diminishing concerns over inflation and run-away growth led to a
modest rally in the long end of the U.S. Treasury market.
Underlying this entire period, and somewhat ignored by the markets as a whole,
was the Federal Open Market Committee's (the "Fed's") policy shift, which began
in June with a 25 basis point hike in the federal funds rate. By January, 2005,
investors grew increasingly aware of the Fed's policy of gradual tightening, and
became somewhat more concerned with the extent and duration of the ongoing
increases in short-term rates. By the end of January, the Fed had increased
short-term rates by a combined 125 basis points, with no sign of slowing or
moderating in the pace of rate increases. Stock markets corrected a bit in
January, as investor concern surrounding the uncertainty of this policy shift,
as well as the impact higher rates might have on the consumer and corporate
profits, began to filter into asset class valuations.
2
<Page>
PERFORMANCE ANALYSIS
Morgan Stanley Strategist Fund's class A and D shares outperformed the S&P 500
Index and the Lipper Flexible Portfolio Funds Index for the six months ended
January 31, 2005 -- assuming no deduction of applicable sales charges -- while
the Fund's class B and C shares underperformed both benchmarks. All four share
classes outperformed the Lehman Brothers U.S. Government/Credit Index.
The Fund's strategic asset allocation target remained unchanged during the six
month period under review. As had been the case during the first half of the
fiscal year, we continued to favor equity investments over both bonds and money
market instruments. The Fund's asset allocation target stood as follows: 70
percent equity (versus a neutral benchmark weight of 55 percent), 30 percent
fixed income (versus 35 percent for the neutral benchmark), and zero percent
cash (versus a neutral benchmark weight of 10 percent).
While the Fund's overall asset allocation remained consistent over the full
year, we did make significant changes within the equity portion of its
portfolio. At approximately mid-year, the Fund shifted away from the deepest
cyclical sectors and increased its exposure to technology (software, hardware,
semiconductors, and contract manufactures) which had lagged other cyclical
industries. We also added to sectors that had a lesser exposure relative to the
S&P 500 Index, with the exception of financials, which remained a large
underweight versus the benchmark index. All other sectors were similarly
weighted to the S&P 500 Index. By the end of the period, the equity portfolio
featured exposures greater than the S&P 500 Index for technology, consumer
staples, industrials, basic materials and health care, equal weights in
telecommunication services and consumer discretionary, and exposures below those
of the index in financials, utilities and energy.
The fixed income portfolio remained largely unchanged throughout the second half
of 2004, with the exception of position-size adjustments made throughout the
year. The fixed income allocation was made up of two distinct strategic
portions. Two thirds of the portfolio featured high quality corporates,
mortgage-backed securities and agency paper with an effective duration of 4.6
years and an average yield-to-maturity of 3.80 percent. The remaining third of
the fixed income portfolio was made up of U.S. Treasury 10-year notes.
THERE IS NO GUARANTEE THAT ANY SECTORS MENTIONED WILL CONTINUE TO PERFORM WELL
OR BE HELD BY THE FUND IN THE FUTURE.
3
<Page>
TOP 10 HOLDINGS
<Table>
U.S. Treasury Securities 15.4%
Fed. Natl. Mtge. Assoc. 2.4
Archer Daniels Midland Co. 1.7
American Express 1.7
Apple Computer, Inc. 1.6
Citigroup Inc. 1.5
General Electric Co. 1.5
Bard (C.R.), Inc. 1.5
Bank of America Corp. 1.4
Coca-Cola Co. (The) 1.4
</Table>
PORTFOLIO COMPOSITION*
<Table>
Common Stocks 69.7%
U.S. Government Obligations 15.3
Corporate Bonds 5.9
Short-Term Investments 3.7
U.S. Government Agency -- Mortgage-Backed 2.9
Asset-Backed Securities 2.3
Foreign Government Obligations 0.2
</Table>
* DOES NOT INCLUDE OPEN SHORT FUTURES CONTRACTS WITH AN UNDERLYING FACE AMOUNT
OF $9,088,563 AND NET UNREALIZED DEPRECIATION OF $5,391.
DATA AS OF JANUARY 31, 2005. SUBJECT TO CHANGE DAILY. ALL PERCENTAGES FOR TOP 10
HOLDINGS ARE AS A PERCENTAGE OF NET ASSETS AND ALL PERCENTAGES FOR PORTFOLIO
COMPOSITION ARE AS A PERCENTAGE OF TOTAL INVESTMENTS. THESE DATA ARE PROVIDED
FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE DEEMED A RECOMMENDATION TO BUY
OR SELL THE SECURITIES MENTIONED. MORGAN STANLEY IS A FULL-SERVICE SECURITIES
FIRM ENGAGED IN SECURITIES TRADING AND BROKERAGE ACTIVITIES, INVESTMENT BANKING,
RESEARCH AND ANALYSIS, FINANCING AND FINANCIAL ADVISORY SERVICES.
INVESTMENT STRATEGY
THE FUND'S "INVESTMENT ADVISER," MORGAN STANLEY INVESTMENT ADVISORS INC.,
ACTIVELY ALLOCATES THE FUND'S ASSETS AMONG THE MAJOR ASSET CATEGORIES OF EQUITY
SECURITIES (INCLUDING DEPOSITARY RECEIPTS), FIXED-INCOME SECURITIES AND MONEY
MARKET INSTRUMENTS. IN DETERMINING WHICH SECURITIES TO BUY, HOLD OR SELL FOR THE
FUND, THE INVESTMENT MANAGER ALLOCATES THE FUND'S ASSETS BASED ON, AMONG OTHER
THINGS, ITS ASSESSMENT OF THE EFFECTS OF ECONOMIC AND MARKET TRENDS ON DIFFERENT
SECTORS OF THE MARKET. THERE IS NO LIMIT AS TO THE PERCENTAGE OF ASSETS THAT MAY
BE ALLOCATED TO ANY ONE ASSET CLASS.
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 BY FILING THE SCHEDULE ELECTRONICALLY WITH THE
SECURITIES AND EXCHANGE COMMISSION (SEC). THE SEMIANNUAL REPORTS ARE FILED ON
FORM N-CSRS AND THE ANNUAL REPORTS ARE FILED ON FORM N-CSR. MORGAN STANLEY ALSO
DELIVERS THE SEMIANNUAL AND ANNUAL REPORTS TO FUND SHAREHOLDERS AND MAKES THESE
REPORTS AVAILABLE ON ITS PUBLIC WEB SITE, www.morganstanley.com. EACH MORGAN
STANLEY FUND ALSO FILES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SEC
FOR THE FUND'S FIRST AND THIRD FISCAL QUARTERS ON FORM N-Q. MORGAN STANLEY DOES
NOT DELIVER THE REPORTS FOR THE FIRST AND THIRD FISCAL QUARTERS TO SHAREHOLDERS,
NOR ARE THE REPORTS POSTED TO THE MORGAN STANLEY PUBLIC WEB SITE. YOU MAY,
HOWEVER, OBTAIN THE FORM N-Q FILINGS (AS WELL AS THE FORM N-CSR AND N-CSRS
FILINGS) BY ACCESSING THE SEC'S WEB SITE, http://www.sec.gov. YOU MAY ALSO
REVIEW AND COPY THEM AT THE SEC'S PUBLIC REFERENCE ROOM IN WASHINGTON, DC.
INFORMATION ON THE
4
<Page>
OPERATION OF THE SEC'S PUBLIC REFERENCE ROOM MAY BE OBTAINED BY CALLING THE SEC
AT (800) SEC-0330. YOU CAN ALSO REQUEST COPIES OF THESE MATERIALS, UPON PAYMENT
OF A DUPLICATING FEE, BY ELECTRONIC REQUEST AT THE SEC'S E-MAIL ADDRESS
(publicinfo@sec.gov) OR BY WRITING THE PUBLIC REFERENCE SECTION OF THE SEC,
WASHINGTON, DC 20549-0102. YOU MAY OBTAIN COPIES OF A FUND'S FISCAL QUARTER
FILINGS BY CONTACTING MORGAN STANLEY CLIENT RELATIONS AT (800) 869-NEWS.
PROXY VOTING POLICIES AND PROCEDURES
A DESCRIPTION OF (1) THE FUND'S POLICIES AND PROCEDURES WITH RESPECT TO THE
VOTING OF PROXIES RELATING TO THE FUND'S PORTFOLIO SECURITIES AND (2) HOW THE
FUND VOTED PROXIES RELATING TO PORTFOLIO SECURITIES DURING THE MOST RECENT
12-MONTH PERIOD ENDED JUNE 30, 2004, IS AVAILABLE WITHOUT CHARGE, UPON REQUEST,
BY CALLING (800) 869-NEWS OR BY VISITING THE MUTUAL FUND CENTER ON OUR WEB SITE
AT www.morganstanley.com. THIS INFORMATION IS ALSO AVAILABLE ON THE SECURITIES
AND EXCHANGE COMMISSION'S WEBSITE AT http://www.sec.gov.
HOUSEHOLDING NOTICE
TO REDUCE PRINTING AND MAILING COSTS, THE FUND ATTEMPTS TO ELIMINATE DUPLICATE
MAILINGS TO THE SAME ADDRESS. THE FUND DELIVERS A SINGLE COPY OF CERTAIN
SHAREHOLDER DOCUMENTS, INCLUDING SHAREHOLDER REPORTS, PROSPECTUSES AND PROXY
MATERIALS, TO INVESTORS WITH THE SAME LAST NAME WHO RESIDE AT THE SAME ADDRESS.
YOUR PARTICIPATION IN THIS PROGRAM WILL CONTINUE FOR AN UNLIMITED PERIOD OF TIME
UNLESS YOU INSTRUCT US OTHERWISE. YOU CAN REQUEST MULTIPLE COPIES OF THESE
DOCUMENTS BY CALLING (800) 350-6414, 8:00 A.M. TO 8:00 P.M., ET. ONCE OUR
CUSTOMER SERVICE CENTER HAS RECEIVED YOUR INSTRUCTIONS, WE WILL BEGIN SENDING
INDIVIDUAL COPIES FOR EACH ACCOUNT WITHIN 30 DAYS.
5
<Page>
PERFORMANCE SUMMARY
AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED JANUARY 31, 2005
<Table>
<Caption>
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++
(SINCE 07/28/97) (SINCE 10/31/88) (SINCE 07/28/97) (SINCE 07/28/97)
SYMBOL SRTAX SRTBX SRTCX SRTDX
1 YEAR 7.13%(4) 6.30%(4) 6.35%(4) 7.38%(4)
1.51(5) 1.30(5) 5.35(5) --
5 YEARS 1.19(4) 0.41(4) 0.40(4) 1.41(4)
0.10(5) 0.08(5) 0.40(5) --
10 YEARS -- 8.94(4) -- --
-- 8.94(5) -- --
SINCE INCEPTION 5.71(4) 9.73(4) 4.89(4) 5.95(4)
4.95(5) 9.73(5) 4.89(5) --
</Table>
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 THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
morganstanley.com OR SPEAK WITH YOUR FINANCIAL ADVISOR. INVESTMENT RETURNS AND
PRINCIPAL VALUE WILL FLUCTUATE AND FUND SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF
FUND SHARES. PERFORMANCE FOR CLASS A, CLASS B, CLASS C, AND CLASS D SHARES WILL
VARY DUE TO DIFFERENCES IN SALES CHARGES AND EXPENSES.
* THE MAXIMUM FRONT-END SALES CHARGE FOR CLASS A IS 5.25%.
** THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS B IS 5.0%.
THE CDSC DECLINES TO 0% AFTER SIX YEARS.
+ THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C IS 1% FOR SHARES
REDEEMED WITHIN ONE YEAR OF PURCHASE.
++ CLASS D HAS NO SALES CHARGE.
(1) THE STANDARD & POOR'S 500 INDEX (S&P 500(R)) IS A BROAD-BASED INDEX, THE
PERFORMANCE OF WHICH IS BASED ON THE PERFORMANCE OF 500 WIDELY-HELD COMMON
STOCKS CHOSEN FOR MARKET SIZE, LIQUIDITY AND INDUSTRY GROUP REPRESENTATION.
THE INDEX DOES NOT INCLUDE ANY EXPENSES, FEES OR CHARGES. SUCH COSTS WOULD
LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(2) THE LEHMAN BROTHERS U.S. GOVERNMENT/CREDIT INDEX TRACKS THE PERFORMANCE OF
GOVERNMENT AND CORPORATE OBLIGATIONS, INCLUDING U.S. GOVERNMENT AGENCY AND
TREASURY SECURITIES AND CORPORATE AND YANKEE BONDS. THE INDEX DOES NOT
INCLUDE ANY EXPENSES, FEES OR CHARGES. SUCH COSTS WOULD LOWER PERFORMANCE.
IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(3) THE LIPPER FLEXIBLE PORTFOLIO FUNDS INDEX IS AN EQUALLY WEIGHTED
PERFORMANCE INDEX OF THE LARGEST QUALIFYING FUNDS (BASED ON NET ASSETS) IN
THE LIPPER FLEXIBLE PORTFOLIO FUNDS CLASSIFICATION. THE INDEX, WHICH IS
ADJUSTED FOR CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS, IS UNMANAGED
AND SHOULD NOT BE CONSIDERED AN INVESTMENT. THERE ARE CURRENTLY 30 FUNDS
REPRESENTED IN THIS INDEX.
(4) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT
THE DEDUCTION OF ANY SALES CHARGES.
(5) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND THE DEDUCTION OF
THE MAXIMUM APPLICABLE SALES CHARGE. SEE THE FUND'S CURRENT PROSPECTUS FOR
COMPLETE DETAILS ON FEES AND SALES CHARGES.
6
<Page>
EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments and redemption fees;
and (2) ongoing costs, including management fees; distribution and service
(12b-1) fees; and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period 08/01/04 - 01/31/05.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
expenses based on the Fund's actual expense ratio and an assumed rate of return
of 5% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing cost of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) and redemption fees. Therefore, the second line of the table is
useful in comparing ongoing costs, and will not help you determine the relative
total cost of owning different funds. In addition, if these transactional costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD *
------------- ------------- ---------------
08/01/04 -
08/01/04 01/31/05 01/31/05
------------- ------------- ---------------
CLASS A
Actual (8.29% return) $ 1,000.00 $ 1,082.90 $ 4.99
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,020.42 $ 4.84
CLASS B
Actual (7.93% return) $ 1,000.00 $ 1,079.30 $ 8.91
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,016.64 $ 8.64
CLASS C
Actual (7.92% return) $ 1,000.00 $ 1,079.20 $ 8.91
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,016.64 $ 8.64
CLASS D
Actual (8.48% return) $ 1,000.00 $ 1,084.80 $ 3.68
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,021.68 $ 3.57
</Table>
- ----------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.95%, 1.70%,
1.70% AND 0.70% RESPECTIVELY, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER
THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE ONE-HALF YEAR
PERIOD).
7
<Page>
MORGAN STANLEY STRATEGIST FUND
PORTFOLIO OF INVESTMENTS - JANUARY 31, 2005 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
COMMON STOCKS (70.2%)
ADVERTISING/MARKETING SERVICES (2.1%)
821,340 Interpublic Group of Companies, Inc. (The)* $ 10,718,487
138,500 Lamar Advertising Co. (Class A)* 5,952,730
68,400 Omnicom Group, Inc. 5,806,476
--------------
22,477,693
--------------
AEROSPACE & DEFENSE (1.6%)
228,590 Northrop Grumman Corp. 11,859,249
148,300 Raytheon Co. 5,546,420
--------------
17,405,669
--------------
AGRICULTURAL COMMODITIES/MILLING (1.7%)
781,050 Archer-Daniels-Midland Co. 18,901,410
--------------
APPAREL/FOOTWEAR RETAIL (1.0%)
489,500 Gap, Inc. (The) 10,773,895
--------------
BEVERAGES: NON-ALCOHOLIC (1.4%)
363,570 Coca-Cola Co. (The) 15,084,519
--------------
BIOTECHNOLOGY (2.3%)
469,630 Applera Corp. - Celera Genomics Group* 6,231,990
313,800 Celgene Corp.* 8,579,292
303,940 Gilead Sciences, Inc.* 10,060,414
--------------
24,871,696
--------------
BROADCASTING (0.2%)
300,200 Sirius Satellite Radio Inc.* 1,987,324
--------------
CHEMICALS: MAJOR DIVERSIFIED (1.2%)
172,770 Dow Chemical Co. (The) 8,586,669
132,500 Engelhard Corp. 3,981,625
--------------
12,568,294
--------------
COMPUTER COMMUNICATIONS (1.1%)
685,230 Cisco Systems, Inc.* 12,361,549
--------------
COMPUTER PERIPHERALS (0.7%)
567,500 EMC Corp.* 7,434,250
--------------
COMPUTER PROCESSING HARDWARE (2.9%)
223,080 Apple Computer, Inc.* 17,154,852
286,700 Dell Inc.* 11,972,592
572,200 Sun Microsystems, Inc.* 2,494,792
--------------
31,622,236
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
8
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
CONTAINERS/PACKAGING (0.9%)
359,500 Smurfit-Stone Container Corp.* $ 5,406,880
72,370 Temple-Inland Inc. 4,602,732
--------------
10,009,612
--------------
CONTRACT DRILLING (0.9%)
225,300 Diamond Offshore Drilling, Inc. 9,861,381
--------------
DEPARTMENT STORES (0.9%)
203,950 Kohl's Corp.* 9,587,690
--------------
DISCOUNT STORES (1.4%)
315,200 Costco Wholesale Corp. 14,899,504
--------------
ELECTRICAL PRODUCTS (2.0%)
220,610 Emerson Electric Co. 14,833,816
193,800 Rayovac Corp.* 7,281,066
--------------
22,114,882
--------------
ELECTRONIC COMPONENTS (0.6%)
483,220 Flextronics International Ltd. (Singapore)* 6,837,563
--------------
ELECTRONIC PRODUCTION EQUIPMENT (0.8%)
520,040 Applied Materials, Inc.* 8,268,636
--------------
ENVIRONMENTAL SERVICES (1.0%)
367,610 Waste Management, Inc. 10,660,690
--------------
FINANCIAL CONGLOMERATES (4.0%)
280,400 American Express Co. 14,959,340
306,600 Citigroup, Inc. 15,038,730
364,540 JP Morgan Chase & Co. 13,608,278
--------------
43,606,348
--------------
FOOD: MAJOR DIVERSIFIED (1.2%)
219,900 Del Monte Foods Co.* 2,480,472
246,000 Kellogg Co. 10,981,440
--------------
13,461,912
--------------
FOOD: MEAT/FISH/DAIRY (1.2%)
383,790 Dean Foods Co.* 13,520,922
--------------
FOREST PRODUCTS (0.6%)
240,050 Louisiana-Pacific Corp. 6,145,280
--------------
HOUSEHOLD/PERSONAL CARE (1.8%)
125,050 Colgate-Palmolive Co. 6,570,127
</Table>
9
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
140,970 Gillette Co. (The) $ 7,149,998
112,790 Procter & Gamble Co. (The) 6,003,812
--------------
19,723,937
--------------
INDUSTRIAL CONGLOMERATES (1.4%)
421,720 General Electric Co. 15,236,744
--------------
INFORMATION TECHNOLOGY SERVICES (1.3%)
145,840 International Business Machines Corp. 13,624,373
--------------
INTEGRATED OIL (1.8%)
123,140 BP PLC (ADR) (United Kingdom) 7,341,607
138,970 Exxon Mobil Corp. 7,170,852
91,400 Royal Dutch Petroleum Co. (NY Registered Shares) (Netherlands) 5,344,158
--------------
19,856,617
--------------
INTERNET RETAIL (0.4%)
91,350 Amazon.com, Inc.* 3,948,147
--------------
INTERNET SOFTWARE/SERVICES (0.9%)
422,600 Siebel Systems, Inc.* 3,680,846
178,550 Yahoo! Inc.* 6,286,745
--------------
9,967,591
--------------
MAJOR BANKS (2.7%)
328,180 Bank of America Corp. 15,217,707
218,400 KeyCorp 7,298,928
117,600 Wells Fargo & Co. 7,208,880
--------------
29,725,515
--------------
MAJOR TELECOMMUNICATIONS (2.1%)
413,000 AT&T Corp. 7,925,470
435,400 MCI Inc. 8,398,866
117,000 SBC Communications, Inc. 2,779,920
110,530 Verizon Communications Inc. 3,933,763
--------------
23,038,019
--------------
MEDIA CONGLOMERATES (1.3%)
621,010 Time Warner, Inc.* 11,178,180
84,000 Viacom, Inc. (Class A) 3,160,920
--------------
14,339,100
--------------
MEDICAL SPECIALTIES (3.7%)
234,270 Bard (C.R.), Inc. 15,883,506
221,940 Fisher Scientific International, Inc.* 14,015,511
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
10
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
189,900 Hospira, Inc.* $ 5,486,211
96,790 Medtronic, Inc. 5,080,507
--------------
40,465,735
--------------
MOTOR VEHICLES (1.7%)
180,700 General Motors Corp. 6,651,567
463,240 Honda Motor Co., Ltd. (ADR) (Japan) 12,160,050
--------------
18,811,617
--------------
OIL & GAS PRODUCTION (0.6%)
156,530 Burlington Resources, Inc. 6,841,926
--------------
OILFIELD SERVICES/EQUIPMENT (1.3%)
202,320 Halliburton Co. 8,321,422
91,300 Smith International, Inc.* 5,404,960
--------------
13,726,382
--------------
PACKAGED SOFTWARE (2.7%)
394,200 Microsoft Corp. 10,359,576
859,300 Oracle Corp.* 11,832,561
344,140 Sybase, Inc.* 6,700,406
--------------
28,892,543
--------------
PHARMACEUTICALS: MAJOR (3.8%)
206,840 Johnson & Johnson 13,382,548
176,900 Lilly (Eli) & Co. 9,595,056
410,670 Pfizer, Inc. 9,921,787
218,320 Wyeth 8,652,022
--------------
41,551,413
--------------
PRECIOUS METALS (0.6%)
71,240 Newmont Mining Corp. 2,962,872
233,340 Placer Dome Inc. (Canada) 3,978,447
--------------
6,941,319
--------------
PROPERTY - CASUALTY INSURERS (0.8%)
178,600 Allstate Corp. (The) 9,008,584
--------------
RAILROADS (0.9%)
74,950 Burlington Northern Santa Fe Corp. 3,611,091
148,780 CSX Corp. 5,946,737
--------------
9,557,828
--------------
REGIONAL BANKS (0.4%)
177,860 AmSouth Bancorporation 4,435,828
--------------
</Table>
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11
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
SEMICONDUCTORS (2.3%)
277,151 Freescale Semiconductor Inc. (Class B)* $ 4,841,828
318,830 Intel Corp. 7,157,733
716,740 Micron Technology, Inc.* 7,461,263
657,962 Taiwan Semiconductor Manufacturing Co. Ltd. (ADR) (Taiwan) 5,757,167
--------------
25,217,991
--------------
SPECIALTY STORES (0.8%)
228,000 Bed Bath & Beyond Inc.* 9,186,120
--------------
TELECOMMUNICATION EQUIPMENT (3.2%)
1,100,550 Corning Inc.* 12,040,017
707,250 Motorola, Inc. 11,132,115
783,770 Nokia Corp. (ADR) (Finland) 11,976,006
--------------
35,148,138
--------------
TOBACCO (0.8%)
140,000 Altria Group, Inc. 8,936,200
--------------
TRUCKS/CONSTRUCTION/FARM MACHINERY (1.2%)
151,460 Caterpillar Inc. 13,495,086
--------------
TOTAL COMMON STOCKS
(COST $584,766,761) 766,139,708
--------------
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- ---------- ------ --------
CORPORATE BONDS (6.0%)
ADVERTISING/MARKETING SERVICES (0.1%)
$ 515 WPP Finance Corp. - 144A**
(United Kingdom) 5.875% 06/15/14 548,142
--------------
AEROSPACE & DEFENSE (0.2%)
350 Northrop Grumman Corp. 4.079 11/16/06 352,338
199 Raytheon Co. 6.15 11/01/08 213,057
55 Raytheon Co. 8.30 03/01/10 64,856
902 Systems 2001 Asset Trust - 144A**
(Kyrgyzstan) 6.664 09/15/13 994,656
--------------
1,624,907
--------------
AIR FREIGHT/COURIERS (0.0%)
335 Fedex Corp. 2.65 04/01/07 327,197
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
AIRLINES (0.1%)
$ 854 America West Airlines, Inc. (Series 01-1) 7.10% 04/02/21 $ 911,962
295 Southwest Airlines Co. (Series 01-1) 5.496 11/01/06 302,771
--------------
1,214,733
--------------
BEVERAGES: ALCOHOLIC (0.1%)
545 Miller Brewing Co. - 144A** 4.25 08/15/08 548,344
--------------
BROADCASTING (0.0%)
280 Clear Channel Communications, Inc. 7.65 09/15/10 316,933
--------------
CABLE/SATELLITE TV (0.1%)
135 Comcast Cable Communications Inc. 6.75 01/30/11 151,256
250 Comcast Corp. 6.50 01/15/15 279,336
60 Comcast Corp. 7.625 02/15/08 65,757
455 Cox Communications, Inc. - 144A** 4.625 01/15/10 453,560
490 TCI Communications, Inc. 7.875 02/15/26 614,333
--------------
1,564,242
--------------
CHEMICALS: MAJOR DIVERSIFIED (0.0%)
270 ICI Wilmington Inc. 4.375 12/01/08 271,532
--------------
CONTAINERS/PACKAGING (0.0%)
520 Sealed Air Corp. - 144A** 5.625 07/15/13 540,888
--------------
DEPARTMENT STORES (0.1%)
300 Federated Department Stores, Inc. 6.625 09/01/08 324,005
980 May Department Stores Co., Inc. 5.95 11/01/08 1,036,154
--------------
1,360,159
--------------
DRUGSTORE CHAINS (0.1%)
1,505 CVS Corp. 5.625 03/15/06 1,539,507
--------------
ELECTRIC UTILITIES (0.7%)
160 Appalachian Power Co. (Series H) 5.95 05/15/33 168,028
505 Arizona Public Service Co. 5.80 06/30/14 543,283
530 Carolina Power & Light Co. 5.125 09/15/13 546,957
250 Cincinnati Gas & Electric Co. 5.70 09/15/12 266,513
125 Cincinnati Gas & Electric Co. (Series B) 5.375 06/15/33 124,468
45 Columbus Southern Power Co. 4.40 12/01/10 44,671
175 Columbus Southern Power Co. (Series D) 6.60 03/01/33 202,528
300 Consolidated Natural Gas Co. 5.00 12/01/14 302,554
60 Consolidated Natural Gas Co. (Series A) 5.00 03/01/14 60,613
460 Consolidated Natural Gas Co. (Series C) 6.25 11/01/11 507,495
310 Consumers Energy Co. 4.80 02/17/09 316,712
140 Detroit Edison Co. 6.125 10/01/10 152,627
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 210 Duke Energy Corp. 3.75% 03/05/08 $ 209,140
345 Duke Energy Corp. 4.50 04/01/10 348,607
340 Entergy Gulf States, Inc. 2.80++ 12/01/09 340,081
205 Entergy Gulf States, Inc. 3.60 06/01/08 201,423
285 Exelon Corp. 6.75 05/01/11 318,576
655 FPL Group Capital Inc. 3.25 04/11/06 653,957
310 Ohio Edison Co. 5.45 05/01/15 317,082
265 Ohio Power Co. (Series G) 6.60 02/15/33 307,086
440 Pacific Gas & Electric Co. 6.05 03/01/34 474,623
105 Panhandle Eastern Pipe Line Co.
(Series B) 2.75 03/15/07 102,557
315 Public Service Electric & Gas Co.
(Series MTNB) 5.00 01/01/13 323,706
155 South Carolina Electric & Gas Co. 5.30 05/15/33 156,259
75 Southern California Edison Co. 5.00 01/15/14 76,742
240 Texas Eastern Transmission, L.P. 7.00 07/15/32 285,100
305 TXU Energy Co. 7.00 03/15/13 343,987
185 Wisconsin Electric Power Co. 3.50 12/01/07 183,891
70 Wisconsin Electric Power Co. 5.625 05/15/33 74,010
--------------
7,953,276
--------------
ELECTRICAL PRODUCTS (0.1%)
520 Cooper Industries Inc. 5.25 07/01/07 536,396
--------------
FINANCE/RENTAL/LEASING (0.3%)
395 CIT Group Inc. 2.875 09/29/06 390,216
125 CIT Group Inc. 7.375 04/02/07 134,302
755 Countrywide Home Loans, Inc.
(Series MTN) 3.25 05/21/08 736,004
105 Ford Motor Credit Co. 7.25 10/25/11 111,881
100 MBNA Capital I (Series A) 8.278 12/01/26 110,650
705 MBNA Corp. 6.125 03/01/13 762,741
395 SLM Corp. 4.00 01/15/10 390,572
580 SLM Corp. (Series MTNA) 5.00 10/01/13 592,574
--------------
3,228,940
--------------
FINANCIAL CONGLOMERATES (0.7%)
920 Chase Manhattan Corp. 6.00 02/15/09 978,780
275 Citicorp 6.75 08/15/05 280,454
660 Citigroup Inc. 5.625 08/27/12 705,369
530 Citigroup Inc. 5.75 05/10/06 545,296
530 Citigroup Inc. 6.00 02/21/12 580,852
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 225 Ford Motor Credit Co. 7.375% 10/28/09 $ 239,828
180 General Electric Capital Corp. 4.25 12/01/10 179,810
55 General Electric Capital Corp. 4.75 09/15/14 55,405
905 General Electric Capital Corp.
(Series MTNA) 6.75 03/15/32 1,088,868
200 General Motors Acceptance Corp. 4.50 07/15/06 199,264
1,380 General Motors Acceptance Corp. 6.875 09/15/11 1,387,572
1,220 General Motors Acceptance Corp. 8.00 11/01/31 1,238,045
540 Prudential Holdings, LLC (Series B)
(FSA) - 144A** 7.245 12/18/23 657,283
--------------
8,136,826
--------------
FOOD RETAIL (0.0%)
200 Albertson's, Inc. 7.50 02/15/11 231,160
--------------
FOOD: MAJOR DIVERSIFIED (0.1%)
575 Kraft Foods Inc. 5.625 11/01/11 610,773
150 Kraft Foods Inc. 6.25 06/01/12 165,289
--------------
776,062
--------------
FOREST PRODUCTS (0.0%)
165 Weyerhaeuser Co. 6.00 08/01/06 170,754
170 Weyerhaeuser Co. 6.75 03/15/12 192,999
--------------
363,753
--------------
GAS DISTRIBUTORS (0.1%)
325 Nisource Finance Corp. 2.915++ 11/23/09 325,354
415 Ras Laffan Liquid Natural Gas
Co. Ltd. - 144A** (Qatar) 8.294 03/15/14 494,909
--------------
820,263
--------------
HOME FURNISHINGS (0.0%)
290 Mohawk Industries, Inc. (Series D) 7.20 04/15/12 331,469
--------------
HOME IMPROVEMENT CHAINS (0.0%)
100 Lowe's Companies, Inc. 6.50 03/15/29 117,055
60 Lowe's Companies, Inc. 6.875 02/15/28 72,793
--------------
189,848
--------------
HOTELS/RESORTS/CRUISELINES (0.1%)
510 Hyatt Equities LLC - 144A** 6.875 06/15/07 534,047
760 Marriott International, Inc. (Series E) 7.00 01/15/08 823,562
--------------
1,357,609
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
HOUSEHOLD/PERSONAL CARE (0.0%)
$ 355 Clorox Co. (The) - 144A** 2.544%++ 12/14/07 $ 355,157
--------------
INDUSTRIAL CONGLOMERATES (0.1%)
245 Hutchison Whampoa International
Ltd. - 144A** (Kyrgyzstan) 5.45 11/24/10 254,909
335 Hutchison Whampoa International
Ltd. - 144A** (Kyrgyzstan) 6.50 02/13/13 364,792
--------------
619,701
--------------
INSURANCE BROKERS/SERVICES (0.2%)
1,055 Farmers Exchange Capital - 144A** 7.05 07/15/28 1,120,933
805 Marsh & McLennan Companies, Inc. 5.375 07/15/14 790,376
--------------
1,911,309
--------------
INTEGRATED OIL (0.1%)
395 Amerada Hess Corp. 7.875 10/01/29 485,820
70 Petro-Canada (Canada) 4.00 07/15/13 66,104
280 Petro-Canada (Canada) 5.35 07/15/33 271,482
--------------
823,406
--------------
INVESTMENT BANKS/BROKERS (0.1%)
360 Goldman Sachs Group Inc. 5.25 10/15/13 371,303
640 Goldman Sachs Group Inc. 6.60 01/15/12 715,555
265 Goldman Sachs Group Inc. 6.875 01/15/11 298,750
--------------
1,385,608
--------------
MAJOR BANKS (0.2%)
250 Bank of New York Co., Inc. (The)
(Series BKNT) 3.80 02/01/08 250,029
195 Bank of New York Co., Inc. (The) 5.20 07/01/07 201,787
485 FleetBoston Financial Corp. 7.25 09/15/05 497,320
280 HSBC Finance Corp. 6.75 05/15/11 314,637
325 Huntington National Bank (Series BKNT) 4.375 01/15/10 325,926
--------------
1,589,699
--------------
MAJOR TELECOMMUNICATIONS (0.3%)
555 Deutsche Telekom International Finance
Corp. NV (Netherlands) 8.75 06/15/30 753,070
255 France Telecom S.A. (France) 9.25++ 03/01/31 355,576
1,040 GTE Corp. 6.94 04/15/28 1,193,824
150 Sprint Capital Corp. 8.75 03/15/32 203,778
405 Telecom Italia Capital SpA - 144A**
(Luxembourg) 4.00 01/15/10 395,902
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 345 Telecom Italia Capital SpA (Luxembourg) 4.00% 11/15/08 $ 342,580
95 Verizon Global Funding Corp. 7.75 12/01/30 120,481
--------------
3,365,211
--------------
MANAGED HEALTH CARE (0.2%)
920 Aetna, Inc. 7.875 03/01/11 1,078,579
530 WellPoint Health Networks Inc. 6.375 06/15/06 550,035
--------------
1,628,614
--------------
MEDIA CONGLOMERATES (0.2%)
465 Historic TW Inc. 6.625 05/15/29 513,035
800 News America Holdings, Inc. 7.30 04/30/28 938,032
320 Time Warner, Inc. 7.625 04/15/31 395,418
190 Time Warner, Inc. 7.70 05/01/32 237,448
--------------
2,083,933
--------------
MOTOR VEHICLES (0.2%)
595 DaimlerChrysler North American
Holdings Co. 8.50 01/18/31 764,435
445 Ford Motor Co. 7.45 07/16/31 445,230
660 General Motors Corp. 8.375 07/15/33 666,407
--------------
1,876,072
--------------
MULTI-LINE INSURANCE (0.4%)
1,265 AIG Sun America Global
Finance VI - 144A** 6.30 05/10/11 1,380,828
575 American General Finance Corp.
(Series MTNF) 5.875 07/14/06 593,758
910 AXA Financial Inc. 6.50 04/01/08 979,821
95 Hartford Financial Services Group, Inc. 2.375 06/01/06 93,131
235 International Lease Finance Corp. 3.75 08/01/07 234,151
510 Nationwide Mutual Insurance Co. - 144A** 8.25 12/01/31 652,609
--------------
3,934,298
--------------
OIL & GAS PRODUCTION (0.2%)
125 Kerr-McGee Corp. 5.875 09/15/06 129,110
95 Kerr-McGee Corp. 6.625 10/15/07 101,182
125 Kerr-McGee Corp. 7.875 09/15/31 157,829
345 Nexen Inc. (Canada) 5.05 11/20/13 344,513
245 Pemex Project Funding Master Trust 7.375 12/15/14 274,400
430 Pemex Project Funding Master Trust 8.00 11/15/11 495,575
560 Pemex Project Funding Master Trust 8.625 02/01/22 666,400
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 145 Pemex Project Funding Master Trust 9.125% 10/13/10 $ 173,275
--------------
2,342,284
--------------
PROPERTY - CASUALTY INSURERS (0.1%)
760 Mantis Reef Ltd. - 144A** (Australia) 4.692 11/14/08 760,496
--------------
PULP & PAPER (0.0%)
305 Sappi Papier Holding AG - 144A**
(Austria) 6.75 06/15/12 339,338
--------------
RAILROADS (0.1%)
310 Burlington North Santa Fe Railway Co. 4.575 01/15/21 311,486
230 CSX Corp. 2.75 02/15/06 227,743
125 CSX Corp. 9.00 08/15/06 134,543
200 Norfolk Southern Corp. 7.35 05/15/07 215,340
100 Union Pacific Corp. - 144A** 5.214 09/30/14 101,578
180 Union Pacific Corp. 6.65 01/15/11 201,184
140 Union Pacific Corp. (Series MTNE) 6.79 11/09/07 150,366
--------------
1,342,240
--------------
REAL ESTATE DEVELOPMENT (0.1%)
1,405 World Financial Properties - 144A** 6.91 09/01/13 1,539,391
--------------
REAL ESTATE INVESTMENT TRUSTS (0.1%)
770 EOP Operating LP 6.763 06/15/07 815,880
--------------
REGIONAL BANKS (0.1%)
740 Marshall & Isley Corp. (Series BKNT) 3.80 02/08/08 739,227
--------------
SAVINGS BANKS (0.2%)
305 Household Finance Corp. 4.125 12/15/08 305,667
320 Household Finance Corp. 5.875 02/01/09 340,660
225 Household Finance Corp. 6.375 10/15/11 248,511
350 Household Finance Corp. 6.40 06/17/08 376,292
100 Sovereign Bank (Series CD) 4.00 02/01/08 100,067
470 Washington Mutual Bank 5.50 01/15/13 492,959
260 Washington Mutual Inc. 8.25 04/01/10 303,117
--------------
2,167,273
--------------
TOBACCO (0.1%)
325 Altria Group, Inc. 7.00 11/04/13 355,867
360 Altria Group, Inc. 7.75 01/15/27 416,227
--------------
772,094
--------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
TRUCKS/CONSTRUCTION/FARM MACHINERY (0.1%)
$ 635 Caterpillar Financial Services Corp.
(Series MTNF) 2.409%++ 08/20/07 $ 635,285
--------------
190 Caterpillar Financial Services Corp.
(Series MTNF) 3.625 11/15/07 189,217
--------------
824,502
--------------
WIRELESS TELECOMMUNICATIONS (0.0%)
250 AT&T Wireless Services, Inc. 8.75 03/01/31 344,911
--------------
TOTAL CORPORATE BONDS
(COST $61,832,173) 65,342,830
--------------
ASSET-BACKED SECURITIES (2.3%)
FINANCE/RENTAL/LEASING
2,300 American Express Credit Account Master
Trust 2001-2 A 5.53 10/15/08 2,356,705
1,500 American Express Credit Account Master
Trust 2002-3 A 2.59++ 12/15/09 1,504,236
544 Asset Backed Funding Certificates
2004-HE1 A1 2.66++ 06/25/22 544,274
650 Capital Auto Receivables Asset Trust
2003-2 A3A 1.44 02/15/07 644,533
850 Capital Auto Receivables Asset Trust
2003-3 A3B 2.56++ 01/15/08 851,187
2,960 Chase Credit Card Master Trust
2001-4 A 5.50 11/17/08 3,045,086
2,230 Citibank Credit Card Issuance Trust
2000-A1 A1 6.90 10/15/07 2,288,411
1,200 Citibank Credit Card Issuance Trust
2002-A2 A2 1.741++ 02/15/07 1,200,552
900 GE Capital Credit Card Master Note Trust
2004-2 A 2.52++ 09/15/10 900,967
850 GE Dealer Floorplan Master Note Trust
2004-1 A 2.55++ 07/20/08 850,550
1,150 Harley Davidson Motorcycle Trust
2005-1 A2 3.76 12/17/12 1,149,832
1,300 MBNA Master Credit Card Trust 2.55++ 02/15/10 1,305,096
1,550 MBNA Master Credit Card Trust 5.90 08/15/11 1,665,352
527 Nissan Auto Receivables Owner Trust
2001-C A4 4.80 02/15/07 528,423
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 955 Residential Asset Securities Corp.
2004-KSB AI1 2.69%++ 10/25/22 $ 955,535
1,475 SLM Student Loan Trust 2004-6 A2 2.74++ 01/25/13 1,477,494
1,600 SLM Student Loan Trust 2004-9 A2 2.72++ 10/25/12 1,600,728
275 TXU Electric Delivery Trans 2004-1 A2 4.81 11/17/14 282,025
1,550 USAA Auto Owner Trust 2004-3 A3 3.16 02/17/09 1,540,307
900 Wachovia Auto Owner Trust 2004-B A2 2.40 05/21/07 895,682
--------------
TOTAL ASSET-BACKED SECURITIES
(COST $25,346,960) 25,586,975
--------------
FOREIGN GOVERNMENT OBLIGATIONS (0.2%)
870 United Mexican States (Mexico) 8.00 09/24/22 1,031,820
610 United Mexican States (Mexico) 8.30 08/15/31 741,760
280 United Mexican States (Mexico) 8.375 01/14/11 329,700
--------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(COST $1,826,062) 2,103,280
--------------
U.S. GOVERNMENT AGENCY - MORTGAGE-BACKED
SECURITIES (3.0%)
Federal Home Loan Mortgage Corp. Gold
1,415 6.50 05/01/29 - 12/01/32 1,483,808
263 7.50 01/01/30 - 08/01/32 282,478
13 8.00 07/01/30 14,267
Federal Home Loan Mortgage Corp.
2,080 5.125 11/07/13 2,095,586
1,707 7.50 11/01/29 - 03/01/32 1,833,765
Federal National Mortgage Assoc.
11,030 (DD) 4.25 05/15/09 11,185,303
1,938 6.50 12/01/29 - 08/01/33 2,029,929
3,467 7.00 12/01/17 - 01/01/33 3,673,585
4,031 7.50 07/01/29 - 06/01/32 4,320,891
4,744 8.00 05/01/09 - 01/01/32 5,149,463
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE-BACKED
SECURITIES
(COST $31,722,783) 32,069,075
--------------
U.S. GOVERNMENT OBLIGATIONS (15.4%)
250 U.S. Treasury Bond 5.50 08/15/28 279,521
6,100 U.S. Treasury Bond 6.125 08/15/29 7,399,587
5,550 U.S. Treasury Bond 8.125 08/15/19 7,696,074
9,900 U.S. Treasury Bond 8.125 08/15/21 13,969,058
25,125 U.S. Treasury Note 3.50 11/15/06 25,250,650
6,850 U.S. Treasury Note 3.875 02/15/13 6,781,774
7,000 U.S. Treasury Note 4.25 08/15/13 7,088,053
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------
$ 7,100 U.S. Treasury Note 6.50% 02/15/10 $ 8,007,749
90,000 U.S. Treasury Note 3.625 05/15/13 87,686,730
8,500 U.S. Treasury Strip 0.00 02/15/25 3,260,022
755 U.S. Treasury Strip 0.00 02/15/25 288,436
---------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $162,955,722) 167,707,654
---------------
SHORT-TERM INVESTMENTS (3.7%)
U.S. GOVERNMENT OBLIGATION (a) (0.0%)
500 U.S. Treasury Bill*** 1.90 03/24/05 498,658
---------------
REPURCHASE AGREEMENT (3.7%)
40,233 Joint repurchase agreement account
(dated 01/31/05; proceeds
$40,235,777) (b)
(COST $40,233,000) 2.485 02/01/05 40,233,000
---------------
TOTAL SHORT-TERM INVESTMENTS
(COST $40,731,658) 40,731,658
---------------
TOTAL INVESTMENTS
(COST $909,182,119) (c) (d) 100.8% 1,099,681,180
LIABILITIES IN EXCESS OF OTHER ASSETS (0.8) (8,764,292)
----- ---------------
NET ASSETS 100.0% $ 1,090,916,888
===== ===============
</Table>
- ----------
ADR AMERICAN DEPOSITORY RECEIPT.
FSA FINANCIAL SECURITY ASSURANCE INC.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
*** A PORTION OF THIS SECURITY HAS BEEN PHYSICALLY SEGREGATED IN CONNECTION
WITH OPEN FUTURES CONTRACTS IN AN AMOUNT EQUAL TO $54,300.
DD SECURITY PURCHASED ON A DELAYED DELIVERY BASIS.
+ SECURITIES PURCHASED ON A FORWARD COMMITMENT BASIS WITH AN APPROXIMATE
PRINCIPAL AMOUNT AND NO DEFINITE MATURITY DATE; THE ACTUAL PRINCIPAL
AMOUNT AND MATURITY DATE WILL BE DETERMINED UPON SETTLEMENT.
++ VARIABLE RATE SECURITY; RATE SHOWN IS THE RATE IN EFFECT AT JANUARY 31,
2005.
(a) PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS BEEN ADJUSTED
TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(b) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(c) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN A AMOUNT EQUAL TO
$19,247,366 IN CONNECTION WITH SECURITIES PURCHASED ON A FORWARD
COMMITMENT BASIS, A DELAYED DELIVERY BASIS AND OPEN FUTURES CONTRACTS.
(d) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $205,375,440 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $14,876,379, RESULTING IN NET UNREALIZED APPRECIATION OF
$190,499,061.
SEE NOTES TO FINANCIAL STATEMENTS
21
<Page>
FUTURES CONTRACTS OPEN AT JANUARY 31, 2005:
<Table>
<Caption>
UNREALIZED
NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE APPRECIATION
CONTRACTS LONG/SHORT MONTH, AND YEAR AMOUNT AT VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
44 Short U.S Treasury Notes 5 Year, $ (4,807,000) $ 16,989
March 2005
32 Short U.S Treasury Notes 10 Year, (3,592,500) (14,238)
March 2005
6 Short U.S Treasury Bonds 20 Year, (689,063) (8,142)
March 2005
--------------
Net unrealized depreciation $ (5,391)
==============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
22
<Page>
MORGAN STANLEY STRATEGIST FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2005 (UNAUDITED)
<Table>
ASSETS:
Investments in securities, at value
(cost $909,182,119) $ 1,099,681,180
Receivable for:
Interest 3,447,071
Investments sold 3,281,274
Shares of beneficial interest sold 523,858
Dividends 432,717
Prepaid expenses and other assets 68,432
-----------------
TOTAL ASSETS 1,107,434,532
-----------------
LIABILITIES:
Payable for:
Investments purchased 13,197,267
Shares of beneficial interest redeemed 1,784,139
Distribution fee 840,612
Investment advisory fee 391,650
Administration fee 74,600
Accrued expenses and other payables 229,376
-----------------
TOTAL LIABILITIES 16,517,644
-----------------
NET ASSETS $ 1,090,916,888
=================
COMPOSITION OF NET ASSETS:
Paid-in-capital $ 1,011,885,213
Net unrealized appreciation 190,495,882
Accumulated undistributed net
investment income 271,278
Accumulated net realized loss (111,735,485)
-----------------
NET ASSETS $ 1,090,916,888
=================
CLASS A SHARES:
Net Assets $ 62,862,816
Shares Outstanding (UNLIMITED
AUTHORIZED, $.01 PAR VALUE) 3,592,978
NET ASSET VALUE PER SHARE $ 17.50
=================
MAXIMUM OFFERING PRICE PER SHARE,
(NET ASSET VALUE PLUS 5.54% OF
NET ASSET VALUE) $ 18.47
=================
CLASS B SHARES:
Net Assets $ 923,437,334
Shares Outstanding (UNLIMITED
AUTHORIZED, $.01 PAR VALUE) 52,718,428
NET ASSET VALUE PER SHARE $ 17.52
=================
CLASS C SHARES:
Net Assets $ 43,699,015
Shares Outstanding (UNLIMITED
AUTHORIZED, $.01 PAR VALUE) 2,507,840
NET ASSET VALUE PER SHARE $ 17.42
=================
CLASS D SHARES:
Net Assets $ 60,917,723
Shares Outstanding (UNLIMITED
AUTHORIZED, $.01 PAR VALUE) 3,477,616
NET ASSET VALUE PER SHARE $ 17.52
=================
</Table>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2005 (UNAUDITED)
<Table>
NET INVESTMENT INCOME:
INCOME
Interest $ 6,881,877
Dividends (net of $10,588 foreign
withholding tax) 6,666,155
-----------------
TOTAL INCOME 13,548,032
-----------------
EXPENSES
Distribution fee (Class A shares) 79,950
Distribution fee (Class B shares) 4,783,952
Distribution fee (Class C shares) 214,930
Investment advisory fee 2,775,230
Transfer agent fees and expenses 696,915
Administration fee 225,410
Shareholder reports and notices 80,695
Professional fees 41,959
Registration fees 31,076
Trustees' fees and expenses 12,171
Custodian fees 10,814
Other 52,886
-----------------
TOTAL EXPENSES 9,005,988
-----------------
NET INVESTMENT INCOME 4,542,044
-----------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
NET REALIZED GAIN/LOSS ON:
Investments 63,684,078
Futures contracts (753,133)
-----------------
NET REALIZED GAIN 62,930,945
-----------------
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 17,454,774
Futures contracts 359,715
-----------------
NET APPRECIATION 17,814,489
-----------------
NET GAIN 80,745,434
-----------------
NET INCREASE $ 85,287,478
=================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
23
<Page>
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JANUARY 31, 2005 JULY 31, 2004
----------------- -----------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 4,542,044 $ 6,920,566
Net realized gain 62,930,945 107,937,929
Net change in unrealized appreciation 17,814,489 18,496,783
----------------- -----------------
NET INCREASE 85,287,478 133,355,278
----------------- -----------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENTS INCOME:
Class A shares (472,045) (801,953)
Class B shares (3,349,624) (6,130,739)
Class C shares (156,507) (254,636)
Class D shares (519,806) (1,005,940)
----------------- -----------------
TOTAL DIVIDENDS (4,497,982) (8,193,268)
----------------- -----------------
Net decrease from transactions in shares of beneficial interest (121,438,659) (187,139,550)
----------------- -----------------
NET DECREASE (40,649,163) (61,977,540)
NET ASSETS:
Beginning of period 1,131,566,051 1,193,543,591
----------------- -----------------
END OF PERIOD
(INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME OF
$271,278 AND $227,216, RESPECTIVELY) $ 1,090,916,888 $ 1,131,566,051
================= =================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
24
<Page>
MORGAN STANLEY STRATEGIST FUND
NOTES TO FINANCIAL STATEMENTS - JANUARY 31, 2005 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Strategist Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended (the "Act"), as a non-diversified, open-end
management investment company. The Fund's investment objective is to maximize
the total return of its investments. The Fund was organized as a Massachusetts
business trust on August 5, 1988 and commenced operations on October 31, 1988.
On July 28, 1997, the Fund converted to a multiple class share structure.
The Fund offers Class A shares, Class B shares, Class C shares and Class D
shares. The four classes are substantially the same except that most Class A
shares are subject to a sales charge imposed at the time of purchase and some
Class A shares, and most Class B shares and Class C shares are subject to a
contingent deferred sales charge imposed on shares redeemed within one year, six
years and one year, respectively. Class D shares are not subject to a sales
charge. Additionally, Class A shares, Class B shares and Class C shares incur
distribution expenses.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- (1) an equity portfolio security listed or traded
on the New York Stock Exchange ("NYSE") or American Stock Exchange or other
exchange is valued at its latest sale price prior to the time when assets are
valued; if there were no sales that day, the security is valued at the mean
between the last reported bid and asked price; (2) an equity portfolio security
listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price;
if there were no sales that day, the security is valued at the mean between the
last reported bid and asked price; (3) all other portfolio securities for which
over-the-counter market quotations are readily available are valued at the mean
between the last reported bid and asked price. In cases where a security is
traded on more than one exchange, the security is valued on the exchange
designated as the primary market; (4) for equity securities traded on foreign
exchanges, the last reported sale price or the latest bid price may be used if
there were no sales on a particular day; (5) futures are valued at the latest
price published by the commodities exchange on which they trade; (6) when market
quotations are not readily available or Morgan Stanley Investment Advisors Inc.
(the "Investment Adviser") determines that the latest sale price, the bid price
or the mean between the last reported bid and asked price do not reflect a
security's market value, portfolio securities are valued at their fair value as
determined in good faith under procedures established by and under the general
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
25
<Page>
by the Trustees of the Fund; (7) certain portfolio securities may be valued by
an outside pricing service approved by the Fund's Trustees; and (8) 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.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date.
Discounts are accreted and premiums are amortized over the life of the
respective securities. Interest income is accrued daily.
C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated
entities managed by the Investment Adviser, may transfer uninvested cash
balances into one or more joint repurchase agreement accounts. These balances
are invested in one or more repurchase agreements and are collateralized by
cash, U.S. Treasury or federal agency obligations. The Fund may also invest
directly with institutions in repurchase agreements. The Fund's custodian
receives the collateral, which is marked-to-market daily to determine that the
value of the collateral does not decrease below the repurchase price plus
accrued interest.
D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date such
items are recognized. Distribution fees are charged directly to the respective
class.
E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments or contracts based on financial indices at
a set price on a future date. Upon entering into such a contract, the Fund is
required to pledge to the broker cash, U.S. Government securities or other
liquid portfolio securities equal to the minimum initial margin requirements of
the applicable futures exchange. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments known as
variation margin are recorded by the Fund as unrealized gains and losses. Upon
closing of the contract, the Fund realizes a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
F. FOREIGN CURRENCY TRANSLATION AND FORWARD FOREIGN CURRENCY CONTRACTS -- The
books and records of the Fund are maintained in U.S. dollars as follows: (1) the
foreign currency market value of investment securities, other assets and
liabilities and forward foreign currency contracts ("forward contracts") are
translated at the exchange rates prevailing at the end of the period; and (2)
purchases, sales, income and expenses are translated at the exchange rates
prevailing on the respective dates of such
26
<Page>
transactions. The resultant exchange gains and losses are recorded as realized
and unrealized gain/loss on foreign exchange transactions. Pursuant to U.S.
federal income tax regulations, certain foreign exchange gains/losses included
in realized and unrealized gain/loss 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.
Forward contracts are valued daily at the appropriate exchange rates. The
resultant unrealized exchange gains and losses are recorded as unrealized
foreign currency gain or loss. The Fund records realized gains or losses on
delivery of the currency or at the time the forward contract is extinguished
(compensated) by entering into a closing transaction prior to delivery.
G. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
H. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders are recorded on the ex-dividend date.
I. USE OF ESTIMATES -- The preparation of financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures.
Actual results could differ from those estimates.
2. INVESTMENT ADVISORY/ADMINISTRATION AGREEMENTS
Effective November 1, 2004, pursuant to an Investment Advisory Agreement, the
Fund pays the Investment Adviser an advisory fee, accrued daily and payable
monthly, by applying the following annual rates to the net assets of the Fund
determined as of the close of each business day: 0.42% to the portion of the
daily net assets not exceeding $1.5 billion; and 0.395% to the portion of the
daily net assets exceeding $1.5 billion.
Effective November 1, 2004, pursuant to an Administration Agreement with Morgan
Stanley Services Company Inc. (the "Administrator"), an affiliate of the
Investment Adviser, the Fund pays an administration fee, accrued daily and
payable monthly, by applying the annual rate of 0.08% to the Fund's daily net
assets.
Prior to November 1, 2004, the Fund had retained the Investment Adviser to
provide administrative services and to manage the investment of the Fund's
assets pursuant to an investment management agreement pursuant to which the Fund
paid the Investment Adviser a monthly management fee, accrued daily and payable
monthly, by applying the following annual rates to the net assets of the Fund
determined as of the close of each business day: 0.60% to the portion of daily
net assets not exceeding $500 million; 0.55% to the portion of daily net assets
exceeding $500 million but not exceeding $1 billion; 0.50% to the
27
<Page>
portion of daily net assets exceeding $1 billion but not exceeding $1.5 billion;
0.475% to the portion of daily net assets exceeding $1.5 billion but not
exceeding $2 billion; 0.45% to the portion of daily net assets exceeding $2
billion but not exceeding $3 billion; and 0.425% to the portion of daily net
assets in excess of $3 billion.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Adviser. The Fund has adopted a
Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan
provides that the Fund will pay the Distributor a fee which is accrued daily and
paid monthly at the following annual rates: (i) Class A -- up to 0.25% of the
average daily net assets of Class A; (ii) Class B -- up to 1.0% of the lesser
of: (a) the average daily aggregate gross sales of the Class B shares since the
inception of the Plan on November 8, 1989 (not including reinvestment of
dividend or capital gain distributions) less the average daily aggregate net
asset value of the Class B shares redeemed since the Plan's inception upon which
a contingent deferred sales charge has been imposed or waived; or (b) the
average daily net assets of Class B attributable to shares issued, net of
related shares redeemed, since the Plan's inception; and (iii) Class C -- up to
1.0% of the average daily net assets of Class C.
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund pursuant
to the Plan and contingent deferred sales charges paid by investors upon
redemption of Class B shares. Although there is no legal obligation for the Fund
to pay expenses incurred in excess of payments made to the Distributor under the
Plan and the proceeds of contingent deferred sales charges paid by investors
upon redemption of shares, if for any reason the Plan is terminated, the
Trustees will consider at that time the manner in which to treat such expenses.
The Distributor has advised the Fund that such excess amounts totaled
$12,422,899 at January 31, 2005.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Financial Advisors or other selected
broker-dealer representatives may be reimbursed in the subsequent calendar year.
For the six months ended January 31, 2005, the distribution fee was accrued for
Class A shares and Class C shares at the annual rate of 0.25% and 1.0%,
respectively.
The Distributor has informed the Fund that for the six months ended January 31,
2005, it received contingent deferred sales charges from certain redemptions of
the Fund's Class B shares and Class C shares of $423,438 and $4,433,
respectively and received $31,349 in front-end sales charges from
28
<Page>
sales of the Fund's Class A shares. The respective shareholders pay such charges
which are not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales/maturities/prepayments of
portfolio securities, excluding short-term investments, for the six months ended
January 31, 2005 aggregated $323,129,901 and $453,356,832, respectively.
Included in the aforementioned are purchases and sales/maturities/prepayments of
U.S. Government securities of $137,086,390 and $181,449,846, respectively.
Included in the aforementioned are sales of $2,190,936 for portfolio
transactions with other Morgan Stanley funds including a realized gain of
$790,539.
For the six months ended January 31, 2005, the Fund incurred brokerage
commissions of $119,518 with Morgan Stanley & Co., Inc. an affiliate of the
Investment Adviser, Administrator and Distributor, for portfolio transactions
executed on behalf of the Fund.
Morgan Stanley Trust, an affiliate of the Investment Adviser and Distributor, is
the Fund's transfer agent. At January 31, 2005, the Fund had transfer agent fees
and expenses payable of approximately $47,000.
The Fund has an unfunded noncontributory defined benefit pension plan covering
certain independent Trustees of the Fund who will have served as independent
Trustees for at least five years at the time of retirement. Benefits under this
plan are based on factors which include years of service and compensation.
Aggregate pension costs for the six months ended January 31, 2005 included in
Trustees' fees and expenses in the Statement of Operations amounted to $4,872.
At January 31, 2005, the Fund had an accrued pension liability of $77,640 which
is included in accrued expenses in the Statement of Assets and Liabilities. On
December 2, 2003, the Trustees voted to close the plan to new participants and
eliminate the future benefits growth due to increases to compensation after July
31, 2003.
Effective April 1, 2004, the Fund began an unfunded Deferred Compensation Plan
(the "Compensation Plan") which allows each independent Trustee to defer payment
of all, or a portion, of the fees he receives for serving on the Board of
Trustees. Each eligible Trustee generally may elect to have the deferred amounts
credited with a return equal to the total return on one or more of the Morgan
Stanley funds that are offered as investment options under the Compensation
Plan. Appreciation/depreciation and distributions received from these
investments are recorded with an offsetting increase/decrease in the deferred
compensation obligation and do not affect the net asset value of the Fund.
29
<Page>
5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
The Fund may enter into forward contracts to facilitate settlement of foreign
currency denominated portfolio transactions or to manage foreign currency
exposure associated with foreign currency denominated securities. The Fund may
invest in interest rate and index future contracts.
Forward contracts and future contracts involve elements of market risk in excess
of the amounts reflected in the Statement of Asset and Liabilities. The Fund
bears the risk of an unfavorable change in the foreign exchange rates underlying
the forward contracts or in the value of underlying securities. Risks may also
arise upon entering into these contracts from the potential inability of the
counterparties to meet the terms of their contracts.
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JANUARY 31, 2005 JULY 31, 2004
------------------------------- -------------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
-------------- -------------- -------------- --------------
CLASS A SHARES
Sold 473,690 $ 7,819,395 903,778 $ 14,533,257
Reinvestment of dividends and distributions 26,275 448,073 46,974 756,837
Redeemed (530,077) (9,053,251) (993,765) (16,018,424)
-------------- -------------- -------------- --------------
Net decrease -- Class A (30,112) (785,783) (43,013) (728,330)
-------------- -------------- -------------- --------------
CLASS B SHARES
Sold 1,178,505 20,021,661 4,954,252 79,101,285
Reinvestment of dividends and distributions 170,419 2,908,929 330,204 5,346,630
Redeemed (8,206,663) (138,902,880) (16,430,935) (264,441,706)
-------------- -------------- -------------- --------------
Net decrease -- Class B (6,857,739) (115,972,290) (11,146,479) (179,993,791)
-------------- -------------- -------------- --------------
CLASS C SHARES
Sold 230,710 3,900,006 682,246 10,833,219
Reinvestment of dividends and distributions 8,365 142,250 14,352 231,305
Redeemed (303,398) (5,097,511) (604,217) (9,773,538)
-------------- -------------- -------------- --------------
Net increase (decrease) -- Class C (64,323) (1,055,255) 92,381 1,290,986
-------------- -------------- -------------- --------------
CLASS D SHARES
Sold 134,255 2,306,572 493,807 7,927,291
Reinvestment of dividends and distributions 28,138 480,317 57,940 933,078
Redeemed (377,849) (6,412,220) (1,027,786) (16,568,784)
-------------- -------------- -------------- --------------
Net decrease -- Class D (215,456) (3,625,331) (476,039) (7,708,415)
-------------- -------------- -------------- --------------
Net decrease in Fund (7,167,630) $ (121,438,659) (11,573,150) $ (187,139,550)
============== ============== ============== ==============
</Table>
30
<Page>
7. FEDERAL INCOME TAX STATUS
The amount of dividends and distributions from net investment income and net
realized capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal tax-basis
treatment; temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in-capital.
As of July 31, 2004, the Fund had a net capital loss carryforward of
$167,862,299 of which $71,039,211 will expire on July 31, 2010 and $96,823,088
will expire on July 31, 2011 to offset future capital gains to the extent
provided by regulations.
As of July 31, 2004, the Fund had temporary book/tax differences primarily
attributable to capital loss deferrals on wash sales and book amortization of
premiums on debt securities.
8. LEGAL MATTERS
The Investment Adviser, certain affiliates of the Investment Adviser, certain
officers of such affiliates and certain investment companies advised by the
Investment Adviser or its affiliates, including the Fund, are named as
defendants in a consolidated class action. This consolidated action also names
as defendants certain individual Trustees and Directors of the Morgan Stanley
funds. The consolidated amended complaint generally alleges that defendants,
including the Fund, violated their statutory disclosure obligations and
fiduciary duties by failing properly to disclose (i) that the Investment Adviser
and certain affiliates of the Investment Adviser allegedly offered economic
incentives to brokers and others to recommend the funds advised by the
Investment Adviser or its affiliates to investors rather than funds managed by
other companies, and (ii) that the funds advised by the Investment Adviser or
its affiliates, including the Fund, allegedly paid excessive commissions to
brokers in return for their efforts to recommend these funds to investors. The
complaint seeks, among other things, unspecified compensatory damages,
rescissionary damages, fees and costs. The defendants have moved to dismiss the
action and intend to otherwise vigorously defend it. On March 10, 2005,
Plaintiffs sought leave to supplement their complaint to assert claims on behalf
of other investors. While the Fund and Adviser believe that each has meritorious
defenses, the ultimate outcome of this matter is not presently determinable at
this early stage of the litigation, and no provision has been made in the Fund's
financial statements for the effect, if any, of this matter.
31
<Page>
MORGAN STANLEY STRATEGIST FUND
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED --------------------------------------------------------------
JANUARY 31, 2005 2004 2003 2002 2001 2000
---------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 16.28 $ 14.72 $ 13.53 $ 16.43 $ 20.64 $ 20.16
------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income++ 0.12 0.20 0.14 0.22 0.44 0.44
Net realized and unrealized gain (loss) 1.23 1.58 1.21 (2.84) (1.55) 2.16
------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.35 1.78 1.35 (2.62) (1.11) 2.60
------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.13) (0.22) (0.16) (0.28) (0.50) (0.37)
Net realized gain - - - - (2.60) (1.75)
------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.13) (0.22) (0.16) (0.28) (3.10) (2.12)
------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 17.50 $ 16.28 $ 14.72 $ 13.53 $ 16.43 $ 20.64
============= ========== ========== ========== ========== ==========
TOTAL RETURN+ 8.29% 12.10% 10.11% (16.14)% (6.24)% 13.48%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 0.95%(1)(2) 0.95% 0.93% 0.88% 0.85% 0.88%
Net investment income 1.46%(1)(2) 1.24% 0.95% 1.44% 2.41% 2.06%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 62,863 $ 58,968 $ 53,951 $ 78,583 $ 116,383 $ 110,600
Portfolio turnover rate 30% 42% 124% 164% 136% 187%
</Table>
- ----------
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
32
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED --------------------------------------------------------------
JANUARY 31, 2005 2004 2003 2002 2001 2000
---------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 16.29 $ 14.73 $ 13.54 $ 16.43 $ 20.65 $ 20.16
------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income++ 0.06 0.08 0.02 0.10 0.30 0.29
Net realized and unrealized gain (loss) 1.23 1.58 1.22 (2.84) (1.57) 2.18
------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.29 1.66 1.24 (2.74) (1.27) 2.47
------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.06) (0.10) (0.05) (0.15) (0.35) (0.23)
Net realized gain - - - - (2.60) (1.75)
------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.06) (0.10) (0.05) (0.15) (2.95) (1.98)
------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 17.52 $ 16.29 $ 14.73 $ 13.54 $ 16.43 $ 20.65
============= ========== ========== ========== ========== ==========
TOTAL RETURN+ 7.93% 11.24% 9.20% (16.77)% (7.05)% 12.79%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 1.70%(1)(2) 1.71% 1.73% 1.67% 1.63% 1.53%
Net investment income 0.71%(1)(2) 0.48% 0.15% 0.64% 1.63% 1.41%
SUPPLEMENTAL DATA:
Net assets, end of period, in millions $ 923 $ 971 $ 1,042 $ 1,216 $ 1,827 $ 2,044
Portfolio turnover rate 30% 42% 124% 164% 136% 187%
</Table>
- ----------
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
33
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED --------------------------------------------------------------
JANUARY 31, 2005 2004 2003 2002 2001 2000
---------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 16.21 $ 14.66 $ 13.46 $ 16.36 $ 20.57 $ 20.11
------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income++ 0.06 0.08 0.03 0.10 0.29 0.29
Net realized and unrealized gain (loss) 1.21 1.57 1.21 (2.83) (1.55) 2.15
------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.27 1.65 1.24 (2.73) (1.26) 2.44
------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.06) (0.10) (0.04) (0.17) (0.35) (0.23)
Net realized gain - - - - (2.60) (1.75)
------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.06) (0.10) (0.04) (0.17) (2.95) (1.98)
------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 17.42 $ 16.21 $ 14.66 $ 13.46 $ 16.36 $ 20.57
============= ========== ========== ========== ========== ==========
TOTAL RETURN+ 7.92% 11.25% 9.09% (16.70)% (7.00)% 12.62%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 1.70%(1)(2) 1.71% 1.73% 1.67% 1.63% 1.63%
Net investment income 0.71%(1)(2) 0.48% 0.15% 0.64% 1.63% 1.31%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 43,699 $ 41,697 $ 36,351 $ 34,727 $ 45,612 $ 39,006
Portfolio turnover rate 30% 42% 124% 164% 136% 187%
</Table>
- ----------
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
34
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED --------------------------------------------------------------
JANUARY 31, 2005 2004 2003 2002 2001 2000
---------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 16.29 $ 14.73 $ 13.55 $ 16.45 $ 20.67 $ 20.18
------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income++ 0.15 0.24 0.16 0.26 0.48 0.48
Net realized and unrealized gain (loss) 1.23 1.58 1.21 (2.85) (1.56) 2.18
------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.38 1.82 1.37 (2.59) (1.08) 2.66
------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.15) (0.26) (0.19) (0.31) (0.54) (0.42)
Net realized gain - - - - (2.60) (1.75)
------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.15) (0.26) (0.19) (0.31) (3.14) (2.17)
------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 17.52 $ 16.29 $ 14.73 $ 13.55 $ 16.45 $ 20.67
============= ========== ========== ========== ========== ==========
TOTAL RETURN+ 8.48% 12.37% 10.25% (15.94)% (6.07)% 13.79%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 0.70%(1)(2) 0.71% 0.73% 0.67% 0.63% 0.63%
Net investment income 1.71%(1)(2) 1.48% 1.15% 1.64% 2.63% 2.31%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 60,918 $ 60,177 $ 61,423 $ 58,834 $ 81,594 $ 80,925
Portfolio turnover rate 30% 42% 124% 164% 136% 187%
</Table>
- ----------
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE
PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
35
<Page>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael E. Nugent
Fergus Reid
OFFICERS
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
Mitchell M. Merin
PRESIDENT
Ronald E. Robison
EXECUTIVE VICE PRESIDENT AND PRINCIPAL EXECUTIVE OFFICER
Joseph J. McAlinden
VICE PRESIDENT
Barry Fink
VICE PRESIDENT
Amy R. Doberman
VICE PRESIDENT
Carsten Otto
CHIEF COMPLIANCE OFFICER
Stefanie V. Chang
VICE PRESIDENT
Francis J. Smith
TREASURER AND CHIEF FINANCIAL OFFICER
Thomas F. Caloia
VICE PRESIDENT
Mary E. Mullin
SECRETARY
TRANSFER AGENT
Morgan Stanley Trust
Harborside Financial Center, Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
INVESTMENT ADVISER
Morgan Stanley Investment Advisors Inc.
1221 Avenue of the Americas
New York, New York 10020
The financial statements included herein have been taken from the records of the
Fund without examination by the independent auditors and accordingly they do not
express an opinion thereon.
This report is submitted for the general information of the shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses and
other pertinent information, please read its Prospectus. The Fund's Statement of
Additional Information contains additional information about the Fund, including
its trustees. It is available, without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Read the
Prospectus carefully before investing.
Investments and services offered through Morgan Stanley DW Inc., member SIPC.
Morgan Stanley Distributors Inc., member NASD.
(C) 2005 Morgan Stanley
[MORGAN STANLEY LOGO]
38585RPT-RA05-00201P-Y01/05
[GRAPHIC]
MORGAN STANLEY FUNDS
MORGAN STANLEY
STRATEGIST FUND
SEMIANNUAL REPORT
JANUARY 31, 2005
[MORGAN STANLEY LOGO]
<Page>
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.
Refer to Item 1.
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.
<Page>
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 registrant's most recent fiscal half-year
(the registrant's second fiscal half-year in the case of an annual 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.
<Page>
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 Strategist Fund
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 22, 2005
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/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 22, 2005
/s/ Francis Smith
Francis Smith
Principal Financial Officer
March 22, 2005