<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: 811-08283
Morgan Stanley Multi-Asset Class 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: September 30, 2006
Date of reporting period: March 31, 2006
Item 1 - Report to Shareholders
<Page>
WELCOME, SHAREHOLDER:
IN THIS REPORT, YOU'LL LEARN ABOUT HOW YOUR INVESTMENT IN MORGAN STANLEY
MULTI-ASSET CLASS 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. PLEASE SEE THE PROSPECTUS FOR MORE COMPLETE
INFORMATION ON INVESTMENT RISKS.
<Page>
FUND REPORT
For the six months ended March 31, 2006
TOTAL RETURN FOR THE 6 MONTHS ENDED MARCH 31, 2006
<Table>
<Caption>
LIPPER
S&P FLEXIBLE
CLASS A CLASS B CLASS C CLASS D 500(R) PORTFOLIO
INDEX(1) FUNDS INDEX(2)
8.05% 7.66% 7.67% 8.15% 6.38% 6.46%
</Table>
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
For the six-month period ended March 31, 2006, U.S. equity markets posted
broadly positive returns. Although the S&P 500(R) Index returned a solid 6.38
percent, small-caps continued to outperform large-caps over the period. The
small-cap Russell 2000(R) Index far surpassed the returns of the large-cap S&P
500 Index, posting a total return of 15.23 percent.
Equity sector returns were largely positive across market caps. While energy
continued to be an important market force over the period, the materials and
industrials sectors posted the strongest returns. The steel industry performed
with exceptional strength, while diversified metals and mining also earned
sizable returns. After languishing for most of 2005, telecommunications picked
up steam. In contrast, after earning strong returns for the first three quarters
of 2005, the utilities sector struggled during the reporting period, and
produced the only negative sector return within the S&P 500 Index.
Given the strong economic fundamentals, the Federal Open Market Committee (the
"Fed") raised the federal funds target rate 25 basis points at each of its
meetings during the period. As of March 31, 2006, the federal funds rate stood
at 4.75 percent, more than three times higher than when the Fed embarked on the
current tightening cycle in June of 2004.
PERFORMANCE ANALYSIS
AT ITS OCTOBER 2005 MEETING, THE BOARD OF TRUSTEES OF THE FUND APPROVED THE
EXPANSION OF THE LIST OF AVAILABLE FUNDS FOR INVESTMENT BY MORGAN STANLEY
MULTI-ASSET CLASS FUND TO INCLUDE 1) ALL MORGAN STANLEY RETAIL FUNDS; AND 2) ALL
MORGAN STANLEY INSTITUTIONAL FUNDS WHOSE STRATEGY IS NOT AVAILABLE IN A RETAIL
PRODUCT.
Morgan Stanley Multi-Asset Class Fund outperformed the S&P 500 Index and the
Lipper Flexible Portfolio Funds Index for the six months ended March 31, 2006,
assuming no deduction of applicable sales charges.
Small- and mid-caps played an important role within the Fund over the period.
The Fund consistently increased its allocation to Morgan Stanley
Equally-Weighted S&P 500 Fund, which favors the smaller stocks of the S&P 500
Index. In the second half of the period, the Fund increased its investment in
Morgan Stanley Special Value Fund and Morgan Stanley Special Growth Fund to add
to its exposure to small- and mid-cap stocks.
Throughout the period, the Fund maintained a high allocation to growth-oriented
funds. Initially, almost 30 percent of the portfolio was allocated to such
funds, including Morgan Stanley Aggressive Equity Fund, Morgan Stanley
Developing Growth Securities Trust, Morgan Stanley Capital Opportunities Trust
and Morgan Stanley
2
<Page>
Growth Fund. Partly in response to weak performance by these funds early in the
first quarter of 2006, the Multi-Asset Class Fund reduced its allocation to the
growth suite and re-allocated to global and international funds, including
Morgan Stanley Global Advantage Fund, Morgan Stanley Japan Fund and Morgan
Stanley Global Utilities Fund.
In response to strong economic conditions and a robust capital spending cycle,
the Fund maintained a significant allocation to funds with high exposure to the
information technology sector. The Fund continued to reduce its exposure to
biotechnology stocks over the period through sales of shares of the Morgan
Stanley Biotechnology Fund. In the first half of the period, the Fund
significantly increased its allocation higher beta securities through purchases
of Morgan Stanley Nasdaq-100 Fund.
Throughout the six months, the Fund maintained an underweight position in fixed
income relative to its peer group. This decision served the Fund well, as a
sell-off in bonds in the second half of the period contributed to the Fund's
outperformance.
THERE IS NO GUARANTEE THAT ANY SECTORS MENTIONED WILL CONTINUE TO PERFORM AS
DISCUSSED HEREIN OR THAT SECURITIES IN SUCH SECTORS WILL BE HELD BY THE FUND IN
THE FUTURE.
THE RUSSELL 2000(R) INDEX IS A CAPITALIZATION-WEIGHTED INDEX, WHICH IS COMPRISED
OF 2000 OF THE SMALLEST STOCKS INCLUDED IN THE RUSSELL 3000(R) INDEX. INDEXES
ARE UNMANAGED AND THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH
COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN
INDEX.
TOP FIVE FUNDS
<Table>
Morgan Stanley Equally-Weighted S&P 500 Fund 11.5%
Morgan Stanley Information Fund 9.5
Morgan Stanley S&P 500 Index Fund 9.3
Morgan Stanley Dividend Growth Securities Inc. 8.1
Morgan Stanley Global Advantage Fund 6.5
</Table>
DATA AS OF MARCH 31, 2006. SUBJECT TO CHANGE DAILY. ALL PERCENTAGES FOR TOP FIVE
FUNDS ARE AS A PERCENTAGE OF NET ASSETS. 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.
3
<Page>
INVESTMENT STRATEGY
THE FUND NORMALLY INVESTS AT LEAST 80 PERCENT OF ITS ASSETS IN SHARES OF
AFFILIATED MUTUAL FUNDS ("UNDERLYING FUNDS"). IN DECIDING HOW TO ALLOCATE FUND
ASSETS AMONG UNDERLYING FUNDS, THE FUND'S "INVESTMENT ADVISER," MORGAN STANLEY
INVESTMENT ADVISORS INC., CONSIDERS ITS OUTLOOK FOR THE U.S. AND GLOBAL
ECONOMIES AND FINANCIAL MARKETS AND THE RELATIVE MARKET VALUATIONS OF THE
UNDERLYING FUNDS. THE FUND NORMALLY EXPECTS TO INVEST BETWEEN 50 PERCENT AND 100
PERCENT OF ITS NET ASSETS IN UNDERLYING FUNDS WHICH INVEST PRIMARILY IN U.S.
EQUITY SECURITIES, BETWEEN 0 PERCENT AND 50 PERCENT OF ITS NET ASSETS IN
UNDERLYING FUNDS WHICH INVEST PRIMARILY IN NON-U.S. EQUITY SECURITIES AND
BETWEEN 0 PERCENT AND 50 PERCENT OF ITS NET ASSETS IN UNDERLYING FUNDS WHICH
INVEST PRIMARILY IN FIXED INCOME SECURITIES. THE INVESTMENT ADVISER THEN
DETERMINES THE COMBINATION OF UNDERLYING FUNDS THAT IT BELIEVES BEST REPRESENTS
THE SELECTED ASSET ALLOCATION STRATEGY. THE INVESTMENT ADVISER CONTINUOUSLY
MONITORS THE FUND'S ASSET ALLOCATION STRATEGY AND THE SELECTION OF INDIVIDUAL
UNDERLYING FUNDS AND MAY MAKE ADJUSTMENTS TO BOTH AS MARKET CHANGES WARRANT. THE
FUND GENERALLY SELLS THE SECURITIES OF AN UNDERLYING FUND WHEN SUCH UNDERLYING
FUND IS NO LONGER REPRESENTATIVE OF THE SELECTED ASSET ALLOCATION STRATEGY.
THERE ARE NO MINIMUM OR MAXIMUM PERCENTAGES IN WHICH THE FUND MUST INVEST IN ANY
UNDERLYING FUND. THE INVESTMENT ADVISER FOR EACH UNDERLYING FUND IS RESPONSIBLE
FOR DECIDING WHICH SECURITIES TO PURCHASE AND SELL FOR EACH RESPECTIVE
UNDERLYING FUND. FOR MORE INFORMATION ABOUT THE UNDERLYING FUNDS, SEE "FUND
MANAGEMENT -- MANAGEMENT OF THE UNDERLYING FUNDS" IN THE FUND'S PROSPECTUS. IN
ADDITION, THE FUND MAY INVEST UP TO 20 PERCENT OF ITS ASSETS DIRECTLY IN
GOVERNMENT SECURITIES AND CASH EQUIVALENTS WHEN THE INVESTMENT ADVISER BELIEVES
MARKET CONDITIONS SO WARRANT.
FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS
EACH MORGAN STANLEY FUND PROVIDES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS IN
ITS SEMIANNUAL AND ANNUAL REPORTS 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 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.
4
<Page>
PROXY VOTING POLICY AND PROCEDURES AND PROXY VOTING RECORD
YOU MAY OBTAIN A COPY OF THE FUND'S PROXY VOTING POLICY AND PROCEDURES WITHOUT
CHARGE, UPON REQUEST, BY CALLING TOLL FREE (800) 869-NEWS OR BY VISITING THE
MUTUAL FUND CENTER ON OUR WEB SITE AT www.morganstanley.com. IT IS ALSO
AVAILABLE ON THE SECURITIES AND EXCHANGE COMMISSION'S WEB SITE AT
http://www.sec.gov.
YOU MAY OBTAIN INFORMATION REGARDING HOW THE FUND VOTED PROXIES RELATING TO
PORTFOLIO SECURITIES DURING THE MOST RECENT TWELVE-MONTH PERIOD ENDED JUNE 30
WITHOUT CHARGE BY VISITING THE MUTUAL FUND CENTER ON OUR WEB SITE AT
www.morganstanley.com. THIS INFORMATION IS ALSO AVAILABLE ON THE SECURITIES AND
EXCHANGE COMMISSION'S WEB SITE AT http://www.sec.gov.
HOUSEHOLDING NOTICE
TO REDUCE PRINTING AND MAILING COSTS, THE FUND ATTEMPTS TO ELIMINATE DUPLICATE
MAILINGS TO THE SAME ADDRESS. THE FUND DELIVERS A SINGLE COPY OF CERTAIN
SHAREHOLDER DOCUMENTS, INCLUDING SHAREHOLDER REPORTS, PROSPECTUSES AND PROXY
MATERIALS, TO INVESTORS WITH THE SAME LAST NAME WHO RESIDE AT THE SAME ADDRESS.
YOUR PARTICIPATION IN THIS PROGRAM WILL CONTINUE FOR AN UNLIMITED PERIOD OF TIME
UNLESS YOU INSTRUCT US OTHERWISE. YOU CAN REQUEST MULTIPLE COPIES OF THESE
DOCUMENTS BY CALLING (800) 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 MARCH 31, 2006
<Table>
<Caption>
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++
(SINCE 11/25/97) (SINCE 11/25/97) (SINCE 11/25/97) (SINCE 11/25/97)
SYMBOL MAFAX MAFBX MAFCX MAFDX
1 YEAR 17.18%(3) 16.31%(3) 16.30%(3) 17.43%(3)
11.03(4) 11.31(4) 15.30(4) --
5 YEARS 5.00(3) 4.20(3) 4.22(3) 5.26(3)
3.87(4) 3.86(4) 4.22(4) --
SINCE INCEPTION 5.85(3) 5.06(3) 5.12(3) 6.10(3)
5.17(4) 5.06(4) 5.12(4) --
</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 most recent month-end performance figures, please visit
www.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 1.0% FOR SHARES
REDEEMED WITHIN ONE YEAR OF PURCHASE.
++ CLASS D HAS NO SALES CHARGE.
(1) THE STANDARD & POOR'S 500(R) 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.
INDEXES ARE UNMANAGED AND THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR
FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST
DIRECTLY IN AN INDEX.
(2) THE 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.
(3) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT
THE DEDUCTION OF ANY SALES CHARGES.
(4) 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 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 10/01/05 - 03/31/06.
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 *
------------- ------------- ---------------
10/01/05 -
10/01/05 03/31/06 03/31/06
------------- ------------- ---------------
CLASS A
Actual (8.05% return) $ 1,000.00 $ 1,080.50 $ 1.24
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,023.73 $ 1.21
CLASS B
Actual (7.66% return) $ 1,000.00 $ 1,076.60 $ 5.18
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,019.95 $ 5.04
CLASS C
Actual (7.67% return) $ 1,000.00 $ 1,076.70 $ 4.92
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,020.19 $ 4.78
CLASS D
Actual (8.15% return) $ 1,000.00 $ 1,081.50 $ 0.00
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,024.93 $ 0.00
</Table>
- ----------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.24%, 1.00%,
0.95% AND 0.00% FOR CLASS A, CLASS B, CLASS C AND CLASS D SHARES,
RESPECTIVELY, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD,
MULTIPLIED BY 182/365 (TO REFLECT THE ONE-HALF YEAR PERIOD). IF THE FUND
HAD BORNE ALL OF ITS EXPENSES, THE ANNUALIZED EXPENSE RATIO WOULD HAVE BEEN
0.96%, 1.72%, 1.67%, AND 0.72% FOR CLASS A, CLASS B, CLASS C AND CLASS D
SHARES, RESPECTIVELY.
7
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MORGAN STANLEY MULTI-ASSET CLASS FUND
PORTFOLIO OF INVESTMENTS - MARCH 31, 2006 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS (99.4%)
INVESTMENT TRUST/MUTUAL FUNDS (99.4%)
131,137 Morgan Stanley Aggressive Equity Fund* $ 1,672,001
195 Morgan Stanley Biotechnology Fund 3,434
56,121 Morgan Stanley Capital Opportunities Trust* 1,121,854
120,314 Morgan Stanley Convertible Securities Trust 2,077,818
87,735 Morgan Stanley Developing Growth Securities Trust* 2,615,387
95,998 Morgan Stanley Dividend Growth Securities Inc. 3,235,123
112,096 Morgan Stanley Equally-Weighted S&P 500 Fund 4,613,871
290 Morgan Stanley Financial Services Trust 4,109
302,401 Morgan Stanley Global Advantage Fund* 2,996,793
50,200 Morgan Stanley Global Utilities Fund 789,646
117,222 Morgan Stanley Growth Fund* 1,773,572
22,065 Morgan Stanley Health Sciences Trust 399,151
1 Morgan Stanley Income Builder Fund 11
348,272 Morgan Stanley Information Fund* 3,799,643
126,200 Morgan Stanley Japan Fund* 1,253,166
194,205 Morgan Stanley Nasdaq-100 Index Fund* 1,901,268
170 Morgan Stanley Natural Resource Development Securities Inc. 4,640
118,200 Morgan Stanley Real Estate Fund 2,014,132
264,052 Morgan Stanley S&P 500 Index Fund 3,728,415
98,279 Morgan Stanley Special Growth Fund* 2,226,994
97,680 Morgan Stanley Special Value Fund 2,131,378
85,658 Morgan Stanley U. S. Government Securities Trust 764,924
220 Morgan Stanley Utilities Fund 3,161
51,003 Morgan Stanley Value Fund 718,120
------------
39,848,611
------------
TOTAL COMMON STOCKS
(COST $33,622,294) 39,848,611
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- --------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT (0.4%)
REPURCHASE AGREEMENT
$ 166 Joint repurchase agreement account 4.785% due 04/03/06 (dated 03/31/06;
proceeds $166,066) (a) (COST $166,000) $ 166,000
------------
TOTAL INVESTMENTS (COST $33,788,294) (b) 99.8% 40,014,611
OTHER ASSETS IN EXCESS OF LIABILITIES 0.2 73,410
----- ------------
NET ASSETS 100.0% $ 40,088,021
===== ============
</Table>
- ----------
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $6,897,312 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $670,995, RESULTING IN NET UNREALIZED APPRECIATION OF
$6,226,317.
SEE NOTES TO FINANCIAL STATEMENTS
9
<Page>
MORGAN STANLEY MULTI-ASSET CLASS FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2006 (UNAUDITED)
<Table>
ASSETS:
Investments in securities, at value (cost $33,788,294) $ 40,014,611
Cash 34,744
Receivable for:
Shares of beneficial interest sold 79,413
Prepaid expenses and other assets 33,147
Receivable from affiliate 41,664
-------------
TOTAL ASSETS 40,203,579
-------------
LIABILITIES:
Payable for:
Distribution fee 24,955
Shares of beneficial interest redeemed 16,005
Transfer agent fee 2,573
Accrued expenses and other payables 72,025
-------------
TOTAL LIABILITIES 115,558
-------------
NET ASSETS $ 40,088,021
=============
COMPOSITION OF NET ASSETS:
Paid-in-capital $ 36,162,586
Net unrealized appreciation 6,226,317
Accumulated undistributed net investment income 191,548
Accumulated net realized loss (2,492,430)
-------------
NET ASSETS $ 40,088,021
=============
CLASS A SHARES:
Net Assets $ 13,076,711
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,095,412
NET ASSET VALUE PER SHARE $ 11.94
=============
MAXIMUM OFFERING PRICE PER SHARE,
(NET ASSET VALUE PLUS 5.54% OF NET ASSET VALUE) $ 12.60
=============
CLASS B SHARES:
Net Assets $ 21,635,188
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,845,991
NET ASSET VALUE PER SHARE $ 11.72
=============
CLASS C SHARES:
Net Assets $ 4,630,405
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 395,103
NET ASSET VALUE PER SHARE $ 11.72
=============
CLASS D SHARES:
Net Assets $ 745,717
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 61,995
NET ASSET VALUE PER SHARE $ 12.03
=============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
10
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
<Table>
NET INVESTMENT INCOME:
INCOME
Dividends Income $ 330,960
Interest Income 11,179
-------------
TOTAL INCOME 342,139
-------------
EXPENSES
Distribution fee (Class A shares) 12,879
Distribution fee (Class B shares) 116,404
Distribution fee (Class C shares) 21,307
Professional fees 64,636
Transfer agent fees and expenses 35,953
Registration fees 20,386
Shareholder reports and notices 15,967
Custodian fees 1,402
Other 3,722
-------------
TOTAL EXPENSES 292,656
Less: amounts waived/reimbursed (142,066)
-------------
NET EXPENSES 150,590
-------------
NET INVESTMENT INCOME 191,549
-------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain 2,766,100
Capital gain distribution received 757,133
-------------
NET REALIZED GAIN 3,523,233
-------------
Net Change in Unrealized Appreciation (788,667)
-------------
NET GAIN 2,734,566
-------------
NET INCREASE $ 2,926,115
=============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
MARCH 31, 2006 SEPTEMBER 30, 2005
------------------ ------------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 191,549 $ 270,395
Net realized gain 3,523,233 1,336,820
Net change in unrealized appreciation (788,667) 3,753,230
------------- -------------
NET INCREASE 2,926,115 5,360,445
------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Class A shares (119,004) (22,825)
Class B shares (8,653) (87,702)
Class C shares (14,600) (4,678)
Class D shares (8,386) (4,548)
------------- -------------
TOTAL DIVIDENDS (150,643) (119,753)
------------- -------------
Net decrease from transactions in shares of beneficial interest (2,024,144) (4,766,662)
------------- -------------
NET INCREASE 751,328 474,030
NET ASSETS:
Beginning of period 39,336,693 38,862,663
------------- -------------
END OF PERIOD
(INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME
OF $191,548 AND $150,642, RESPECTIVELY) $ 40,088,021 $ 39,336,693
============= =============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
MORGAN STANLEY MULTI-ASSET CLASS FUND
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2006 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Multi-Asset Class 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 will invest in Class D shares
of other open-end management investment companies that are either members of the
Morgan Stanley Family of Funds or managed by an investment advisor that is an
affiliate of Morgan Stanley Investment Advisors, Inc. (the "Investment Adviser")
(individually, an "Underlying Fund" and collectively, the "Underlying Funds").
The Fund investment objective is to maximize total investment return. The Fund
was organized as a Massachusetts business trust on July 3, 1997 and commenced
operations on November 25, 1997.
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 eighteen
months, 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) Investments are valued at the net asset value
per share of each Underlying Fund determined as of the close of the New York
Stock Exchange on valuation date; and (2) 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.
13
<Page>
E. 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.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders are recorded on the ex-dividend date.
G. 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
Pursuant to an Investment Advisory Agreement, the Fund pays no investment
advisory fee. However, the Fund, through its investments in the Underlying
Funds, will pay its pro rata share of the advisory or sub-advisory fees to the
Investment Adviser and/or Sub-Advisers or Adviser of the Underlying Funds.
Pursuant to an Administration Agreement with Morgan Stanley Services Company
Inc. (the "Administrator"), an affiliate of the Investment Adviser, the Fund
pays no administration fee. However, the Fund through its investments in the
Underlying Funds, will pay its pro rata share of the administration fee to the
Administrator.
The Investment Adviser agreed to assume all operating expenses (except for
distribution fees) until April 30, 2007. At March 31, 2006, included in the
Statements of Assets and Liabilities are receivables from an affiliate which
represent expense reimbursements due to the Fund.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Adviser and Administrator. The
Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1
under the Act. 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 average daily net assets of Class B; 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.
14
<Page>
The Distributor has advised the Fund that such excess amounts totaled $3,619,159
at March 31, 2006.
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 March 31, 2006, the distribution fee was accrued for
Class A shares and Class C shares at the annual rate of 0.24% and 0.95%,
respectively.
The Distributor has informed the Fund that for the six months ended March 31,
2006, it received contingent deferred sales charges from certain redemptions of
the Fund's Class B shares and Class C shares of $29,954 and $311, respectively
and received $10,877 in front-end sales charges from sales of the Fund's Class A
shares. The respective shareholders pay such charges which are not an expense of
the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities, excluding
short-term investments, for the six months ended March 31, 2006 aggregated
$14,193,187 and $15,419,970, respectively.
Morgan Stanley Trust, an affiliate of the Investment Adviser, Administrator and
Distributor, is the Funds transfer agent.
The Fund has an unfunded Deferred Compensation Plan (the "Compensation Plan")
which allows each independent Trustee to defer payment of all, or a portion, of
the fees he 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.
5. 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.
15
<Page>
As of September 30, 2005, the Fund had a net capital loss carryforward of
$5,716,273 which will expire on September 30, 2011 to offset future capital
gains to the extent provided by regulations.
As of September 30, 2005, the Fund had temporary book/tax differences
attributable to capital loss deferrals on wash sales.
6. SHARES OF BENEFICIAL INTEREST
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
MARCH 31, 2006 SEPTEMBER 30, 2005
------------------------------- -------------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
-------------- -------------- -------------- --------------
CLASS A SHARES
Sold 99,312 $ 1,158,633 80,674 $ 857,579
Conversion from Class B 321,940 3,723,238 587,622 5,936,471
Reinvestment of dividends 9,504 108,246 2,046 21,874
Redeemed (92,925) (1,068,647) (106,287) (1,136,265)
-------------- -------------- -------------- --------------
Net increase -- Class A 337,831 3,921,470 564,055 5,679,659
-------------- -------------- -------------- --------------
CLASS B SHARES
Sold 100,263 1,131,788 459,041 4,661,249
Conversion to Class A (329,582) (3,723,238) (600, 804) (5,936,471)
Reinvestment of dividends 709 7,937 7,564 79,269
Redeemed (287,636) (3,232,835) (887,262) (9,055,258)
-------------- -------------- -------------- --------------
Net decrease -- Class B (516,246) (5,816,348) (1,021,461) (10,251,211)
-------------- -------------- -------------- --------------
CLASS C SHARES
Sold 21,406 240,122 95,068 965,554
Reinvestment of dividends 1,168 13,076 395 4,148
Redeemed (34,594) (389,407) (139,876) (1,438,752)
-------------- -------------- -------------- --------------
Net decrease -- Class C (12,020) (136,209) (44,413) (469,050)
-------------- -------------- -------------- --------------
CLASS D SHARES
Sold 1,918 22,514 40,412 417,085
Reinvestment of dividends 724 8,302 399 4,293
Redeemed (2,124) (23,873) (14,137) (147,438)
-------------- -------------- -------------- --------------
Net increase -- Class D 518 6,943 26,674 273,940
-------------- -------------- -------------- --------------
Net decrease in Fund (189,917) $ (2,024,144) (475,145) $ (4,766,662)
============== ============== ============== ==============
</Table>
7. 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
16
<Page>
defendants certain individual Trustees and Directors of the Morgan Stanley
funds. The consolidated amended complaint, filed in the United States District
Court Southern District of New York on April 16, 2004, 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. On March 9, 2005, Plaintiffs sought leave to supplement their complaint
to assert claims on behalf of other investors, which motion defendants opposed.
On April 14, 2006, the Court granted defendants' motion to dismiss in its
entirety. Additionally, the Court denied plaintiff's motion to supplement their
complaint. This matter in now concluded.
17
<Page>
MORGAN STANLEY MULTI-ASSET CLASS 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 SEPTEMBER 30,
MONTHS ENDED ----------------------------------------------------------------
MARCH 31, 2006 2005 2004 2003 2002 2001
-------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 11.17 $ 9.80 $ 8.60 $ 6.69 $ 8.17 $ 12.37
-------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income^ 0.09 0.14 0.06 0.01 0.05 0.11
Net realized and unrealized gain (loss) 0.80 1.35 1.14 1.90 (1.45) (3.21)
-------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.89 1.49 1.20 1.91 (1.40) (3.10)
-------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.12) (0.12) - - (0.08) (0.31)
Net realized gain - - - - - (0.79)
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.12) (0.12) - - (0.08) (1.10)
-------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 11.94 $ 11.17 $ 9.80 $ 8.60 $ 6.69 $ 8.17
============== ========== ========== ========== ========== ==========
TOTAL RETURN+ 8.05%(3) 15.21% 13.95% 28.55% (17.44)% (27.24)%
RATIOS TO AVERAGE NET ASSETS(1)(2)(5):
Expenses 0.24%(4) 0.24% 0.24% 0.23% 0.24% 0.23%
Net investment income 1.50%(4) 1.33% 0.72% 0.16% 0.50% 0.91%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 13,077 $ 8,462 $ 1,896 $ 890 $ 846 $ 976
Portfolio turnover rate 36%(3) 12% 46% 87% 163% 177%
</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) DOES NOT INCLUDE ANY EXPENSES INCURRED AS A RESULT OF INVESTMENT IN THE
UNDERLYING FUNDS.
(2) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(3) NOT ANNUALIZED
(4) ANNUALIZED
(5) IF THE FUND HAD BORNE ALL OF ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED: RATIO INCOME (LOSS) RATIO
---------------- ------- --------------------
MARCH 31, 2006 0.96% 0.78%
SEPTEMBER 30, 2005 0.87 0.70
SEPTEMBER 30, 2004 0.64 0.32
SEPTEMBER 30, 2003 0.67 (0.28)
SEPTEMBER 30, 2002 0.63 0.11
SEPTEMBER 30, 2001 0.57 0.57
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
18
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED SEPTEMBER 30,
MONTHS ENDED ----------------------------------------------------------------
MARCH 31, 2006 2005 2004 2003 2002 2001
-------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 10.89 $ 9.55 $ 8.44 $ 6.62 $ 8.09 $ 12.28
-------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)^ 0.04 0.07 0.00 (0.05) (0.02) 0.01
Net realized and unrealized gain (loss) 0.79 1.30 1.11 1.87 (1.44) (3.16)
-------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.83 1.37 1.11 1.82 (1.46) (3.15)
-------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income - (0.03) - - (0.01) (0.25)
Net realized gain - - - - - (0.79)
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions 0.00 (0.03) - - (0.01) (1.04)
-------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 11.72 $ 10.89 $ 9.55 $ 8.44 $ 6.62 $ 8.09
============== ========== ========== ========== ========== ==========
TOTAL RETURN+ 7.66%(3) 14.32% 13.15% 27.49% (18.05)% (27.79)%
RATIOS TO AVERAGE NET ASSETS(1)(2)(5):
Expenses 1.00%(4) 1.00% 1.00% 1.00% 1.00% 1.00%
Net investment income (loss) 0.74%(4) 0.57% (0.04)% (0.61)% (0.26)% 0.14%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 21,635 $ 25,736 $ 32,309 $ 21,804 $ 18,474 $ 26,364
Portfolio turnover rate 36%(3) 12% 46% 87% 163% 177%
</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) DOES NOT INCLUDE ANY EXPENSES INCURRED AS A RESULT OF INVESTMENT IN THE
UNDERLYING FUNDS.
(2) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(3) NOT ANNUALIZED.
(4) ANNUALIZED.
(5) IF THE FUND HAD BORNE ALL OF ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED: RATIO INCOME (LOSS) RATIO
---------------- ------- --------------------
MARCH 31, 2006 1.72% 0.02%
SEPTEMBER 30, 2005 1.63 (0.06)
SEPTEMBER 30, 2004 1.40 (0.44)
SEPTEMBER 30, 2003 1.44 (1.05)
SEPTEMBER 30, 2002 1.39 (0.65)
SEPTEMBER 30, 2001 1.34 (0.20)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
19
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED SEPTEMBER 30,
MONTHS ENDED ----------------------------------------------------------------
MARCH 31, 2006 2005 2004 2003 2002 2001
-------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 10.92 $ 9.55 $ 8.45 $ 6.63 $ 8.08 $ 12.29
-------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)^ 0.05 0.06 0.00 (0.05) (0.02) 0.01
Net realized and unrealized gain (loss) 0.79 1.32 1.10 1.87 (1.42) (3.17)
-------------- ---------- ---------- ---------- ---------- ----------
Total income (loss)from investment
operations 0.84 1.38 1.10 1.82 (1.44) (3.16)
-------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.04) (0.01) - - (0.01) (0.26)
Net realized gain - - - - - (0.79)
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.04) (0.01) - - (0.01) (1.05)
-------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 11.72 $ 10.92 $ 9.55 $ 8.45 $ 6.63 $ 8.08
============== ========== ========== ========== ========== ==========
TOTAL RETURN+ 7.67%(3) 14.47% 13.02% 27.45% (18.00)% (27.79)%
RATIOS TO AVERAGE NET ASSETS(1)(2)(5):
Expenses 0.95%(4) 0.95% 1.00% 1.00% 1.00% 1.00%
Net investment income (loss) 0.79%(4) 0.62% (0.04)% (0.61)% (0.26)% 0.14%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 4,630 $ 4,447 $ 4,314 $ 2,623 $ 2,218 $ 2,643
Portfolio turnover rate 36%(3) 12% 46% 87% 163% 177%
</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) DOES NOT INCLUDE ANY EXPENSES INCURRED AS A RESULT OF INVESTMENT IN THE
UNDERLYING FUNDS.
(2) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(3) NOT ANNUALIZED.
(4) ANNUALIZED.
(5) IF THE FUND HAD BORNE ALL OF ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED: RATIO INCOME (LOSS) RATIO
---------------- ------- --------------------
MARCH 31, 2006 1.67% 0.07%
SEPTEMBER 30, 2005 1.58 (0.01)
SEPTEMBER 30, 2004 1.40 (0.44)
SEPTEMBER 30, 2003 1.44 (1.05)
SEPTEMBER 30, 2002 1.39 (0.65)
SEPTEMBER 30, 2001 1.34 (0.20)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
20
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED SEPTEMBER 30,
MONTHS ENDED ----------------------------------------------------------------
MARCH 31, 2006 2005 2004 2003 2002 2001
-------------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 11.26 $ 9.87 $ 8.64 $ 6.71 $ 8.19 $ 12.39
-------------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income++ 0.10 0.15 0.09 0.03 0.07 0.13
Net realized and unrealized gain (loss) 0.81 1.38 1.14 1.90 (1.45) (3.21)
-------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.91 1.53 1.23 1.93 (1.38) (3.08)
-------------- ---------- ---------- ---------- ---------- ----------
Less dividends and distributions from:
Net investment income (0.14) (0.14) - - (0.10) (0.33)
Net realized gain - - - - - (0.79)
-------------- ---------- ---------- ---------- ---------- ----------
Total dividends and distributions (0.14) (0.14) - - (0.10) (1.12)
-------------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 12.03 $ 11.26 $ 9.87 $ 8.64 $ 6.71 $ 8.19
============== ========== ========== ========== ========== ==========
TOTAL RETURN+ 8.15%(3) 15.58% 14.24% 28.76% (17.18)% (27.07)%
RATIOS TO AVERAGE NET ASSETS(1)(2)(5):
Expenses -%(4) -% -% -% -% -%
Net investment income 1.74%(4) 1.57% 0.96% 0.39% 0.74% 1.14%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 746 $ 692 $ 344 $ 70 $ 100 $ 93
Portfolio turnover rate 36%(3) 12% 46% 87% 163% 177%
</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) DOES NOT INCLUDE ANY EXPENSES INCURRED AS A RESULT OF INVESTMENT IN THE
UNDERLYING FUNDS.
(2) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(3) NOT ANNUALIZED.
(4) ANNUALIZED.
(5) IF THE FUND HAD BORNE ALL OF ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED: RATIO INCOME (LOSS) RATIO
---------------- ------- --------------------
MARCH 31, 2006 0.72% 1.02%
SEPTEMBER 30, 2005 0.63 0.94
SEPTEMBER 30, 2004 0.40 0.56
SEPTEMBER 30, 2003 0.44 (0.05)
SEPTEMBER 30, 2002 0.39 0.35
SEPTEMBER 30, 2001 0.34 0.80
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
21
<Page>
(This page has been left blank intentionally.)
<Page>
(This page has been left blank intentionally.)
<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
Ronald E. Robison
PRESIDENT and PRINCIPAL EXECUTIVE OFFICER
J. David Germany
VICE PRESIDENT
Dennis F. Shea
VICE PRESIDENT
Barry Fink
VICE PRESIDENT
Amy R. Doberman
VICE PRESIDENT
Carsten Otto
CHIEF COMPLIANCE OFFICER
Stefanie V. Chang Yu
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) 2006 Morgan Stanley
[MORGAN STANLEY LOGO]
36016RPT-RA06-00399P-Y03/06
[GRAPHIC] MORGAN STANLEY FUNDS
MORGAN STANLEY
MULTI-ASSET CLASS FUND
SEMIANNUAL REPORT
MARCH 31, 2006
[MORGAN STANLEY LOGO]
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Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
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.
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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.
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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 Multi-Asset Class Fund
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
May 18, 2006
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
May 18, 2006
/s/ Francis Smith
Francis Smith
Principal Financial Officer
May 18, 2006