UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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Investment Company Act file number |
811-07185 | |||||||
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Morgan Stanley Select Dimensions Investment Series | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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522 Fifth Avenue, New York, New York |
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10036 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Arthur Lev | ||||||||
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522 Fifth Avenue, New York, New York 10036 | ||||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
201-830-8894 |
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Date of fiscal year end: |
December 31, 2012 |
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Date of reporting period: |
June 30, 2012 |
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Item 1 - Report to Shareholders
MORGAN STANLEY
SELECT DIMENSIONS INVESTMENT SERIES
Semi-Annual Report
JUNE 30, 2012
The Portfolios are intended to be the funding vehicle for variable annuity contracts and variable life insurance policies offered by the separate accounts of certain life insurance companies.
Morgan Stanley Select Dimensions Investment Series
Table of Contents
| Letter to the Shareholders | 1 | ||||||
| Fund Performance | 12 | ||||||
| Expense Examples | 14 | ||||||
| Investment Advisory Agreement Approval | 18 | ||||||
| Portfolio of Investments: | |||||||
| Money Market | 22 | ||||||
| Flexible Income | 25 | ||||||
| Global Infrastructure | 39 | ||||||
| Growth | 42 | ||||||
| Focus Growth | 45 | ||||||
| Multi Cap Growth | 48 | ||||||
| Mid Cap Growth | 51 | ||||||
| Financial Statements: | |||||||
| Statements of Assets and Liabilities | 56 | ||||||
| Statements of Operations | 58 | ||||||
| Statements of Changes in Net Assets | 60 | ||||||
| Notes to Financial Statements | 66 | ||||||
| Financial Highlights | 96 | ||||||
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n June 30, 2012 (unaudited)
Dear Shareholder:
After starting the year on a relatively optimistic note, financial markets endured some disappointments but ultimately finished the six-month period ended June 30, 2012 mostly higher. While sluggish economic growth across Europe was expected given the ongoing debt crisis and the resulting austerity measures, indications of slowing in the U.S. and China further tempered investors' outlooks on the global economy. Some progress was made on containing Europe's debt woes, including the European Central Bank's (ECB) two long-term refinancing operations (or LTROs, in December 2011 and February 2012), which provided three-year loans to European banks, and coordinated monetary policy responses from central banks around the world, which boosted liquidity in the system. However, Greece's embattled legislative election in the spring and a bank bailout in Spain were a reminder that many fundamental issues have yet to be resolved. In the final days of the reporting period, the latest European summit yielded some positive developments, including a willingness to enable bank supervision at a federal, rather than national level and an easing of restrictions on access to rescue funds.
Domestic Equity Overview
In the first few months of 2012, improving data from the labor market, housing market, and consumer confidence and spending bolstered investor confidence about the U.S. economy's prospects. However, part of the improvement in jobs and consumer data was due to the unseasonably warm spring, and the positive momentum in these metrics did not last beyond April. The economy began to appear more sluggish in the second quarter of 2012. Concerns about the effects of the ongoing European debt crisis on economies in Europe and China also contributed to volatility in stock prices. Despite the challenging backdrop, corporate earnings generally remained within or above expectations during the period, although signs emerged after the close of the period (as second quarter earnings reports were being released) that earnings expectations would need to be lowered going forward. While U.S. stock market performance was weaker in the second quarter of 2012 than in the first quarter, the S&P 500 Index closed the six-month period up 9.49%.
Fixed Income Overview
In 2011, the Federal Open Market Committee announced that it expected to keep interest rates on hold until at least mid-2013. Yields on the short end of the yield curve remained anchored by the Fed's near-zero interest rate policy, keeping money market yields low. Given the weaker-than-expected economic conditions, the Federal Reserve (the Fed) extended its timeline to late-2014 at the beginning of this year. Since October 2011, the Fed has been buying longer-maturity Treasuries and selling short-term Treasuries to put downward pressure on longer-term interest rates. This program was scheduled to end in June 2012, but has been extended to December 2012.
Morgan Stanley Select Dimensions Investment Series
Letter to the Shareholders n June 30, 2012 (unaudited) continued
Treasury yields rose in the first quarter but then declined in the second quarter, reflecting weaker growth as well as a flight to quality due to the European debt crisis. The 10-year Treasury yield reached an all time low of 1.47% at the beginning of June.
Agency mortgage-backed securities performed well over the period. The sector offers an attractive yield advantage in the current low yield environment. Despite historically low mortgage rates, refinancing activity has been slower than it has been in the past under similar rate incentives. Many borrowers are unable to refinance due to tighter underwriting standards. The U.S. housing market appears to be trying to find a bottom. The headline home price index was still showing a negative year-over-year trend at the end of the review period, but the momentum of the decline had meaningfully slowed.
The corporate segment outperformed Treasuries, aided by strong corporate balance sheets and low borrowing costs. The high yield corporate sector saw increased volatility in the second quarter of 2012 amid worries about the European debt crisis. For the period overall, the financial sector was the best-performing corporate sector.
International Equity Overview
Despite the concerns about the European debt crisis and the slackening pace of China's economy, many international equity markets posted gains for the six-month period ended June 30, 2012. The outcome of the European summit on June 28 and 29 surprised the markets, leading to a rally in the final days of the reporting period. However, the proposals' implementation details have yet to be worked out and the larger issue of developing a more sustainable framework for economic growth in the region remains. Meanwhile, European economies continued to show signs of deterioration, even within the so-called "core" countries. China's economy also cooled during the period, as export demand from the U.S. and Europe declined and credit remained restricted. The country's central bank unexpectedly cut interest rates in June (and again in July, just after the end of the reporting period) in an attempt to keep economic growth from sliding further.
Money Market Portfolio
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although money market funds seek to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in such funds.
As of June 30, 2012, Select Dimensions – Money Market Portfolio had net assets of approximately $73 million with an average portfolio maturity of 21 days. For the seven-day period ended June 30, 2012, the Portfolio's Class X shares provided an effective annualized yield of 0.01% (subsidized) and –0.34% (non-subsidized) and a current yield of 0.01% (subsidized) and –0.34% (non-subsidized), while its 30-day
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
moving average yield for June was 0.01% (subsidized) and –0.33% (non-subsidized). Yield quotations more closely reflect the current earnings of the Portfolio. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. For the six-month period ended June 30, 2012, the Portfolio's Class X shares returned 0.00%. Past performance is no guarantee of future results.
For the seven-day period ended June 30, 2012, the Portfolio's Class Y shares provided an effective annualized yield of 0.01% (subsidized) and –0.59% (non-subsidized) and a current yield of 0.01% (subsidized) and –0.59% (non-subsidized), while its 30-day moving average yield for June was 0.01% (subsidized) and –0.58% (non-subsidized). Yield quotations more closely reflect the current earnings of the Portfolio. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. For the six-month period ended June 30, 2012, the Portfolio's Class Y shares returned 0.00%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
We continued to remain cautious in our investment approach, focusing on high liquidity and short durations. We believe our investment process and focus on credit research and risk management have placed the Portfolio in a favorable position to respond to market uncertainty. Most of our investment activity has been focused on rolling significant amounts of overnight and short-dated maturities, with occasional selective purchases of one-month, three-month, and six-month fixed rate maturities, as well as selective purchases of nine-month and one-year floating rate paper.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Flexible Income Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Flexible Income Portfolio Class X shares produced a total return of 5.75%, outperforming the Barclays Capital Intermediate U.S. Government/Credit Index (the "Index"),1 which returned 2.10%. For the same period, the Portfolio's Class Y shares returned 5.67%. Past performance is no guarantee of future results.
1 The Barclays Capital Intermediate U.S. Government/Credit Index tracks the performance of U.S. government and corporate obligations, including U.S. government agency and Treasury securities, and corporate and Yankee bonds with maturities of 1 to 10 years. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's allocation to high yield corporate debt, a sector not represented in the Index, added marginally to performance. This allocation was sold by the end of February, following the sharp rally that occurred at the start of the year. The overweight position to credit risk, mainly in the financials sector, added to performance as spreads tightened over the period, particularly over the first quarter.
The Portfolio's interest rate positioning was also additive to relative performance. The Portfolio was able to benefit from a flattening (or, reduction in the difference of yield spreads) between the short and intermediate parts of the U.S. yield curve. These trades were unwound profitably during the period. A long position in Mexican rates was also positive, as rates there fell. As of the end of June, the Portfolio's duration was 0.4 years shorter than the Index, with half of the position in U.S. dollars.
Currency positions, which are managed through the use of currency forwards, detracted slightly from performance.
The Portfolio gained in the first two months of the year when its yield advantage over the Index was boosted by the high yield positions, which were subsequently sold.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Global Infrastructure Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Global Infrastructure Portfolio Class X shares produced a total return of 6.84%, outperforming the Dow Jones Brookfield Global Infrastructure IndexSM (the "Index"),2 which returned 6.44%, and the S&P Global BMI Index,3 which returned 6.09% For
2 The Dow Jones Brookfield Global Infrastructure IndexSM is a float-adjusted market capitalization weighted index that measures the stock performance of companies that exhibit strong infrastructure characteristics. The Index intends to measure all sectors of the infrastructure market. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
3 The Standard & Poor's Global BMI Index (S&P Global BMI Index) is a broad market index designed to capture exposure to equities in all countries in the world that meet minimum size and liquidity requirements. As of the date of this Report, there are approximately 11,000 index members representing 26 developed and 20 emerging market countries. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
the same period, the Portfolio's Class Y shares returned 6.69%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Infrastructure shares appreciated 6.44% during the first half of 2012, as measured by the Index. Among the major infrastructure sectors, the communications, European regulated utilities, and gas distribution utilities sectors exhibited relative outperformance over the Index, while the gas midstream, toll roads, pipeline companies, and transmission and distribution sectors underperformed the Index. In addition, all of the smaller sectors exhibited relative outperformance, with the water sector realizing the strongest gains.
Despite indications of slowing economic growth globally, the first half of 2012 ended on a high note for the broader equity markets as investors cheered the prospect of a common European banking regulator and the potential for direct bank bailouts within the European Union (EU) that will bypass sovereign governments (thus breaking the circular, co-dependent relationship between governments and banks that plagues the current crisis). While many would welcome these potential measures, we are cautious given the continued lack of specifics and the seemingly different interpretations of EU summit promises as expressed by members of the German and Spanish governments. Certain northern European countries have also threatened to block such initiatives unless current austerity drives are implemented in full.
If certain announcements in Europe are cause for optimism, such optimism may be in short supply as economic statistics elsewhere indicate a global economy struggling to escape from the global financial crisis. Job growth in the United States remains lackluster at best, and business optimism has started to deteriorate again, after improving earlier in the year. In Asia, the Chinese government has announced policy measures to stimulate growth and has lowered borrowing rates, but recent disclosure of various economic statistics indicate a broad slowing of growth in that country.
Within infrastructure, the strength of operating fundamentals exhibited in the first half of the year varies by sector and region. One of the strongest areas from a fundamental perspective remains the communications sector, where U.S.-based wireless tower operators in particular enjoyed robust growth, driven by upgrades to telecommunications companies' wireless networks. Utility assets globally that focus on transmission, distribution, and storage initiatives also witnessed very stable, steady growth. Within energy infrastructure in North America, there has been some softening in fundamentals off the very robust growth achieved over the last couple of years as lower natural gas, crude oil, and natural gas liquids (NGL)
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
prices have curtailed exploration and production company drilling plans somewhat, lessening the utilization of existing infrastructure in certain parts of the value chain (in particular, gathering and processing). We view this softening as temporary, however, as the long-term need for takeaway capacity and processing is significant and the geographical location of both resource and demand centers continues to evolve. We would also note that recent merger and acquisition activity in the exploration and production space for North American commodity resources by Asian buyers underscored the medium- to long-term demand for natural gas, crude oil, and commodity byproducts that will require infrastructure investment for some time to come. It is important to note the distinction between energy infrastructure company share prices, some of which were weak in the first half of 2012 — in particular within gas midstream — and the magnitude of their capital programs, which remained very robust.
As a final note, while the operating fundamentals (i.e., traffic) of European toll road companies have for the most part been weak for the first half of the year, current valuation levels are difficult to ignore. Current share prices imply a long-term cost of capital and/or indefinite weakness in traffic, which is difficult to justify despite the current financial and economic crises surrounding the countries in which these concessionaires are domiciled.
For the first half of 2012, the Portfolio realized favorable performance from both bottom-up stock selection and top-down allocation. From a bottom-up perspective, the Portfolio benefited from stock selection in the gas distribution utilities, communications, European regulated utilities, and gas midstream sectors, but relative gains were partially offset by adverse selection in the pipeline companies sector. From a top-down perspective, the Portfolio benefited from an underweight to the gas midstream sector and overweights to the communications and gas distribution utilities sectors. This outperformance was partially offset by overweights to the toll roads and pipeline companies sectors.
We remain committed to our core investment philosophy as an infrastructure value investor. As value-oriented, bottom-up driven investors, our investment perspective is that over the medium and long term, the key factor in determining the performance of infrastructure securities will be underlying infrastructure asset values. Given the large and growing private infrastructure market, we believe that there are limits as to the level of premium or discount at which the public sector should trade relative to its underlying private infrastructure value. These limits can be viewed as the point at which the arbitrage opportunity between owning infrastructure in the private versus public markets becomes compelling. In aiming to achieve core infrastructure exposure in a cost effective manner, we invest in equity securities of publicly listed infrastructure companies we believe offer the best value relative to their underlying infrastructure value and Net Asset Value growth prospects.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
Our research currently leads us to an overweighting in the Portfolio (amongst the largest sectors) to a group of companies in the gas distribution utilities, communications, toll road, and pipeline companies sectors, and an underweighting to companies in the gas midstream and transmission and distribution sectors. Since our year-end commentary dated December 31, 2011, the only change from a sector perspective is that we now hold close to a market-weight position in the European regulated utilities sector.
Looking forward, we continue to believe the toll road sector presents an attractive opportunity from a valuation perspective, and we also like the secular growth stories within the communications sector and energy infrastructure sector — in particular, gas distribution utilities within Asia and pipeline companies within North America. For the more processing and fractionation-focused midstream companies, we remain underweight but believe they have become more attractively valued given the absolute declines observed in the first half of the year.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Growth Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Growth Portfolio Class X shares produced a total return of 10.55%, outperforming the Russell 1000® Growth Index (the "Index"),4 which returned 10.08%. For the same period, the Portfolio's Class Y shares returned 10.43%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Stock selection in the consumer discretionary sector was the largest contributor to relative performance, led by holdings in an online retailer, an online auction and shopping management company, and an online travel company. Stock selection and an underweight in the producer durables sector also benefited relative returns. Top contributors within the sector included a global corporate services firm, a global consumer goods trading company, and a product testing and certification company. Both stock selection and an underweight in the consumer staples sector were additive as well, with good performance from holdings in a pediatric nutrition company and a global beer brewing company.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
The main detractor from relative performance was stock selection in the technology sector. Holdings in the computer services, software, and systems industry were the primary drivers of underperformance within the sector. An underweight in the health care sector also dampened relative results.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Focus Growth Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Focus Growth Portfolio Class X shares produced a total return of 10.77%, outperforming the Russell 1000® Growth Index (the "Index"),5 which returned 10.08%. For the same period, the Portfolio's Class Y shares returned 10.65%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The largest contributor to relative performance by far was the consumer discretionary sector. A number of holdings added to performance, led by an online retailer, an online travel company, and a South African diversified media company. Both stock selection and an underweight in the producer durables sector modestly benefited relative returns. Top contributors within the sector included a global corporate services firm, a global consumer goods trading company, and a product testing and certification company.
The main detractor from relative performance was stock selection in the technology sector. Holdings in the computer services, software, and systems industry were the primary drivers of underperformance within the sector.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Multi Cap Growth Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Multi Cap Growth Portfolio Class X shares produced a total return of 9.21%, underperforming the Russell 3000® Growth Index (the "Index"),6
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Index is an index of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
6 The Russell 3000® Growth Index measures the performance of the broad growth segment of the U.S. equity universe. It includes those Russell 3000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 3000® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
which returned 9.98%. For the same period, the Portfolio's Class Y shares returned 9.08%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Stock selection in the technology sector was by far the largest detractor from performance. Several holdings in the computer services, software and systems industry were among the weakest performers in the portfolio during the period. Stock selection in materials and processing dampened relative performance, due to positions in two companies specializing in rare earth minerals production. Stock selection in financial services also hurt relative returns. The Portfolio's position in an auto insurance provider and a lack of exposure to real estate investment trusts (REITs), a group that performed well in the Index, were the main reasons for the Portfolio's underperformance within the sector.
Conversely, stock selection in health care was additive to relative performance. The Portfolio held several stocks that performed well, including a provider of billing services to medical group practices and companies making medical and dental instrument and supplies. Stock selection in consumer discretionary was another positive contributor, mostly due to strong gains from a position in an online retailer. Stock selection in producer durables further benefited relative returns. Within the sector, the Portfolio was helped by exposure to companies involved in back office support, human resources, and consulting, as well as holdings in commercial services providers.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Mid Cap Growth Portfolio
For the six-month period ended June 30, 2012, Select Dimensions – Mid Cap Growth Portfolio Class X shares produced a total return of 6.36%, underperforming the Russell Midcap® Growth Index (the "Index"),7 which returned 8.10%. For the same period, the Portfolio's Class Y shares returned 6.25%. Past performance is no guarantee of future results.
7 The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Index is a subset of the Russell 1000® Index and includes approximately 800 of the smallest securities in the Russell 1000® Index, which in turn consists of approximately 1,000 of the largest U.S. securities based on a combination of market capitalization and current index membership. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's relative underperformance was driven in part by stock selection in the technology sector. Within the sector, a holding in a social network game developer was the largest detractor. Stock selection in the materials and processing sector also hampered relative results, particularly from exposure to mining companies specializing in rare earth minerals production. Further relative weakness came from stock selection in the financial services sector. Here, disappointing results from a holding in an automobile insurance provider and a lack of exposure to real estate investment trusts (REITs), a group which performed well in the Index during the period, were disadvantageous to performance.
In contrast, stock selection in the producer durables sector was favorable to relative performance. Holdings involved in back office support, human resources, and consulting businesses, as well as those involved in commercial services, contributed positively to performance within the sector. An underweight in the energy sector was beneficial to relative returns, given that the sector was among the weakest performers in the Index during the period. The Portfolio also benefited from stock selection in the utilities sector, due to a holding in an infrastructure assets management company.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
We appreciate your ongoing support of Morgan Stanley Select Dimensions Investment Series and look forward to continuing to serve your investment needs.
Very truly yours,
Arthur Lev
President and Principal Executive Officer
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Letter to the Shareholders n June 30, 2012 (unaudited) continued
For More Information About Portfolio Holdings
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund's second and fourth fiscal quarters. The semiannual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the semiannual and annual reports to fund shareholders and makes these reports available on its public web site, www.morganstanley.com. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters on Form N-Q and monthly holdings for each money market fund on Form N-MFP. Morgan Stanley does not deliver these reports to shareholders, nor are the first and third fiscal quarter reports posted to the Morgan Stanley public web site. However, the holdings for each money market fund are posted to the Morgan Stanley public web site. You may obtain the Form N-Q filings (as well as the Form N-CSR, N-CSRS and N-MFP filings) by accessing the SEC's web site, http://www.sec.gov. You may also review and copy them at the SEC's public reference room in Washington, DC. Information on the operation of the SEC's public reference room may be obtained by calling the SEC at (800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC's e-mail address (publicinfo@sec.gov) or by writing the public reference section of the SEC, Washington, DC 20549-1520.
Proxy Voting Policy and Procedures and Proxy Voting Record
You may obtain a copy of the Portfolio's Proxy Voting Policy and Procedures without charge, upon request, by calling toll free (800) 869-NEWS or by visiting the Mutual Fund Center on our web site at www.morganstanley.com. It is also available on the SEC's web site at http://www.sec.gov.
You may obtain information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 without charge by visiting the Mutual Fund Center on our web site at www.morganstanley.com. This information is also available on the SEC's web site at http://www.sec.gov.
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Morgan Stanley Select Dimensions Investment Series
Fund Performance n June 30, 2012 (unaudited)
| Average Annual Total Returns—Period Ended June 30, 2012(1) | |||||||||||||||||||||||||||
| Class X | 1 Year | 5 Years | 10 Years |
Since Inception |
Gross Expense Ratio |
Date of Inception |
|||||||||||||||||||||
| Flexible Income | 6.81 | % | 2.93 | % | 5.07 | % | 4.06 | % | 1.07 | % | 11/9/1994 | ||||||||||||||||
| Focus Growth | -3.53 | 4.21 | 5.89 | 9.02 | 0.76 | 11/9/1994 | |||||||||||||||||||||
| Global Infrastructure | 10.28 | 2.34 | 9.22 | 9.28 | 1.10 | 11/9/1994 | |||||||||||||||||||||
| Growth | -2.09 | 4.54 | 7.06 | 7.05 | 0.94 | 11/9/1994 | |||||||||||||||||||||
| Mid Cap Growth | -11.22 | 3.68 | 10.03 | 9.98 | 0.81 | 11/9/1994 | |||||||||||||||||||||
| Money Market | 0.01 | 0.97 | 1.67 | 3.07 | 0.61 | 11/9/1994 | |||||||||||||||||||||
| Multi Cap Growth | -3.81 | 3.86 | 9.71 | 4.06 | 1.17 | 1/21/1997 | |||||||||||||||||||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Expenses are as of each Portfolio's fiscal year end as outlined in the Portfolio's current prospectus.
(1) Figure assumes reinvestment of all distributions for the underlying fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance information included the effect of these additional charges, the total returns would be lower.
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Fund Performance n June 30, 2012 (unaudited) continued
| Average Annual Total Returns—Period Ended June 30, 2012(1) | |||||||||||||||||||||||||||
| Class Y | 1 Year | 5 Years | 10 Years |
Since Inception |
Gross Expense Ratio |
Date of Inception |
|||||||||||||||||||||
| Flexible Income | 6.55 | % | 2.66 | % | 4.80 | % | 3.46 | % | 1.32 | % | 7/24/2000 | ||||||||||||||||
| Focus Growth | -3.79 | 3.95 | 5.62 | 0.40 | 1.01 | 7/24/2000 | |||||||||||||||||||||
| Global Infrastructure | 9.99 | 2.09 | 8.95 | 2.96 | 1.35 | 7/24/2000 | |||||||||||||||||||||
| Growth | -2.29 | 4.29 | 6.79 | 0.70 | 1.19 | 7/24/2000 | |||||||||||||||||||||
| Mid Cap Growth | -11.41 | 3.42 | 9.76 | 2.81 | 1.06 | 7/24/2000 | |||||||||||||||||||||
| Money Market | 0.01 | 0.89 | 1.50 | 1.83 | 0.86 | 7/24/2000 | |||||||||||||||||||||
| Multi Cap Growth | -4.04 | 3.59 | 9.43 | -3.35 | 1.42 | 7/24/2000 | |||||||||||||||||||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. For most recent month-end performance figures, please contact the issuing insurance company or speak with your Financial Advisor. Investment return and principal value will fluctuate. When you sell Portfolio shares, they may be worth less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Performance for Class Y shares will vary from the performance of Class X shares due to differences in expenses. Expenses are as of each Portfolio's fiscal year end as outlined in the Portfolio's current prospectus.
(1) Figure assumes reinvestment of all distributions for the underlying fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges. If performance information included the effect of these additional charges, the total returns would be lower.
13
Morgan Stanley Select Dimensions Investment Series
Expense Examples n June 30, 2012 (unaudited)
As a shareholder of the Portfolio, you incur two types of costs: (1) insurance company charges; and (2) ongoing costs, including advisory fees; distribution and service (12b-1) fees; and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period 01/01/12 – 06/30/12.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any insurance company charges. Therefore, the second line of the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds. In addition, if these insurance company charges were included, your costs would have been higher.
14
Morgan Stanley Select Dimensions Investment Series
Expense Examples n June 30, 2012 (unaudited) continued
Money Market
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (0.00% return) | $ | 1,000.00 | $ | 1,000.00 | $ | 1.29 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.57 | $ | 1.31 | |||||||||
| Class Y | |||||||||||||||
| Actual (0.00% return) | $ | 1,000.00 | $ | 1,000.00 | $ | 1.29 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.57 | $ | 1.31 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.26% and 0.26% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.63% and 0.88% for Class X and Class Y shares, respectively.
Flexible Income
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (5.75% return) | $ | 1,000.00 | $ | 1,057.50 | $ | 5.12 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.89 | $ | 5.02 | |||||||||
| Class Y | |||||||||||||||
| Actual (5.67% return) | $ | 1,000.00 | $ | 1,056.70 | $ | 6.39 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.65 | $ | 6.27 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.00% and 1.25% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Global Infrastructure
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (6.84% return) | $ | 1,000.00 | $ | 1,068.40 | $ | 5.61 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.44 | $ | 5.47 | |||||||||
| Class Y | |||||||||||||||
| Actual (6.69% return) | $ | 1,000.00 | $ | 1,066.90 | $ | 6.89 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.20 | $ | 6.72 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.09% and 1.34% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
15
Morgan Stanley Select Dimensions Investment Series
Expense Examples n June 30, 2012 (unaudited) continued
Growth
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (10.55% return) | $ | 1,000.00 | $ | 1,105.50 | $ | 4.87 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.24 | $ | 4.67 | |||||||||
| Class Y | |||||||||||||||
| Actual (10.43% return) | $ | 1,000.00 | $ | 1,104.30 | $ | 6.17 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.00 | $ | 5.92 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.93% and 1.18% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Focus Growth
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (10.77% return) | $ | 1,000.00 | $ | 1,107.70 | $ | 3.98 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.08 | $ | 3.82 | |||||||||
| Class Y | |||||||||||||||
| Actual (10.65% return) | $ | 1,000.00 | $ | 1,106.50 | $ | 5.29 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.84 | $ | 5.07 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.76% and 1.01% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Multi Cap Growth
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (9.21% return) | $ | 1,000.00 | $ | 1,092.10 | $ | 6.66 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.50 | $ | 6.42 | |||||||||
| Class Y | |||||||||||||||
| Actual (9.08% return) | $ | 1,000.00 | $ | 1,090.80 | $ | 7.95 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,017.26 | $ | 7.67 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.28% and 1.53% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
16
Morgan Stanley Select Dimensions Investment Series
Expense Examples n June 30, 2012 (unaudited) continued
Mid Cap Growth
|
Beginning Account Value |
Ending Account Value |
Expenses Paid During Period@ |
|||||||||||||
| 01/01/12 | 06/30/12 |
01/01/12 – 06/30/12 |
|||||||||||||
| Class X | |||||||||||||||
| Actual (6.36% return) | $ | 1,000.00 | $ | 1,063.60 | $ | 4.67 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.34 | $ | 4.57 | |||||||||
| Class Y | |||||||||||||||
| Actual (6.25% return) | $ | 1,000.00 | $ | 1,062.50 | $ | 5.95 | |||||||||
| Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.10 | $ | 5.82 | |||||||||
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.91% and 1.16% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
17
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2012 (unaudited)
Nature, Extent and Quality of Services
The Board reviewed and considered the nature and extent of the investment advisory services provided by the Investment Adviser (as defined herein) under the advisory agreement, including portfolio management, investment research and equity and fixed income securities trading. The Board reviewed similar information and factors regarding the Sub-Advisers (as defined herein), to the extent applicable. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Administrator (as defined herein) under the administration agreement, including accounting, clerical, bookkeeping, compliance, business management and planning, and the provision of supplies, office space and utilities at the Investment Adviser's expense. (The Investment Adviser, Sub-Advisers and Administrator together are referred to as the "Adviser" and the advisory, sub-advisory and administration agreements together are referred to as the "Management Agreement.") The Board also compared the nature of the services provided by the Adviser with similar services provided by non-affiliated advisers as reported to the Board by Lipper, Inc. ("Lipper").
The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key personnel of the Adviser who provide the administrative and advisory services to the Portfolios. The Board determined that the Adviser's portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services provided were necessary and appropriate for the conduct of the business and investment activities of the Portfolios and supported its decision to approve the Management Agreement.
Performance, Fees and Expenses of the Portfolios
The Board reviewed the performance, fees and expenses of the Portfolios compared to their peers, as determined by Lipper, and to appropriate benchmarks where applicable. The Board discussed with the Adviser the performance goals and the actual results achieved in managing the Portfolios. When considering a fund's performance, the Board and the Adviser place emphasis on trends and longer-term returns (focusing on one-year, three-year and five-year performance, as of December 31, 2011, or since inception, as applicable). When a fund underperforms its benchmark and/or its peer group average, they discuss the causes of such underperformance and, where necessary, they discuss specific changes to investment strategy or investment personnel.
Performance
The Board noted that the performance of the Flexible Income Portfolio was below the peer group averages for the one-, three- and five-year periods.
The Board noted that the performance of the Money Market Portfolio was better than its peer group average for the one-year period but below its peer group average for the three- and five-year periods.
18
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2012 (unaudited) continued
The Board noted that the performance of the Global Infrastructure Portfolio was better than its peer group average for the one- and five year periods but below its peer group average for the three-year period.
The Board noted that the performance of the Growth, Focus Growth, Multi Cap Growth and Mid Cap Growth Portfolios was better than the peer group averages for the three- and five-year periods but below the peer group averages for the one-year period.
Performance Conclusions
With respect to the Money Market, Mid Cap Growth and Flexible Income Portfolios, after discussion, the Board concluded that performance was acceptable.
With respect to the Growth, Focus Growth, Multi Cap Growth and Global Infrastructure Portfolios, after discussion, the Board concluded that performance was competitive with the peer group averages.
Fees and Expenses
The Board members discussed with the Adviser the level of the advisory and administration fees (together, the "management fee") for the Portfolios relative to comparable funds and/or other accounts advised by the Adviser and/or compared to their peers as determined by Lipper. In addition to the management fee, the Board also reviewed the Portfolios' total expense ratios. When a fund's management fee and/or its expense ratio are higher than comparable funds or peers, the Board and the Adviser discuss the reasons for this and, where appropriate, they discuss possible waivers and/or caps.
The Board noted that the management fees and total expense ratios for the Money Market, Focus Growth, Growth and Mid Cap Growth Portfolios were lower than the peer group averages.
The Board noted for the Flexible Income Portfolio that while the management fee was lower than its peer group average, the total expense ratio was higher but close to its peer group average.
The Board noted for the Global Infrastructure Portfolio that while the management fee was lower than its peer group average, the total expense ratio was higher but close to its peer group average.
The Board noted for the Multi Cap Growth Portfolio that the management fee and total expense ratio were higher but close to the peer group averages.
Fee and Expense Conclusions
With respect to the Money Market, Flexible Income, Global Infrastructure, Growth, Focus Growth, Multi Cap Growth and Mid Cap Growth Portfolios, after discussion, the Board concluded that the management fees and total expense ratios were competitive with the peer group averages.
19
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2012 (unaudited) continued
Economies of Scale
The Board considered the size and growth prospects of the Portfolios and how that relates to the Portfolios' total expense ratios and particularly the Portfolios' management fee rates (which, for all the Portfolios except Flexible Income, include one or more breakpoints). In conjunction with its review of the Adviser's profitability, the Board discussed with the Adviser how a change in assets can affect the efficiency or effectiveness of managing the Portfolios and whether the management fee level is appropriate relative to current and projected asset levels and/or whether the management fee structure reflects economies of scale as asset levels change. The Board has determined that its review of the actual and potential economies of scale of each Portfolio supports its decision to approve the Management Agreement.
Profitability of the Adviser and Affiliates
The Board considered information concerning the costs incurred and profits realized by the Adviser and its affiliates during the last year from their relationship with the Portfolios and during the last two years from their relationship with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost allocation methodology used to determine the profitability of the Adviser and affiliates. The Board has determined that its review of the analysis of the Adviser's expenses and profitability supports its decision to approve the Management Agreement.
Other Benefits of the Relationship
The Board considered other benefits to the Adviser and its affiliates derived from their relationship with the Portfolios and other funds advised by the Adviser. These benefits may include, among other things, "float" benefits derived from handling of checks for purchases and sales, research received by the Adviser generated from commission dollars spent on funds' portfolio trading and fees for distribution and/or shareholder servicing. The Board reviewed with the Adviser each of these arrangements and the reasonableness of the Adviser's costs relative to the services performed. The Board has determined that its review of the other benefits received by the Adviser or its affiliates supports its decision to approve the Management Agreement.
Resources of the Adviser and Historical Relationship Between the Portfolios and the Adviser
The Board considered whether the Adviser is financially sound and has the resources necessary to perform its obligations under the Management Agreement. The Board also reviewed and considered the historical relationship between the Portfolios and the Adviser, including the organizational structure of the Adviser, the policies and procedures formulated and adopted by the Adviser for managing the Portfolios' operations and the Board's confidence in the competence and integrity of the senior managers and key personnel of the Adviser. The Board concluded that the Adviser has the financial resources necessary to fulfill its obligations under the Management Agreement and that it is beneficial for the Portfolios to continue their relationship with the Adviser.
20
Morgan Stanley Select Dimensions Investment Series
Investment Advisory Agreement Approval n June 30, 2012 (unaudited) continued
Other Factors and Current Trends
The Board considered the controls and procedures adopted and implemented by the Adviser and monitored by the Fund's Chief Compliance Officer and concluded that the conduct of business by the Adviser indicates a good faith effort on its part to adhere to high ethical standards in the conduct of the Fund's business.
General Conclusion
After considering and weighing all of the above factors, the Board concluded that it would be in the best interest of each Portfolio and its shareholders to approve renewal of the Management Agreement for another year. In reaching this conclusion the Board did not give particular weight to any single factor referenced above. The Board considered these factors over the course of numerous meetings, some of which were in executive session with only the independent Board members and their counsel present. It is possible that individual Board members may have weighed these factors differently in reaching their individual decisions to approve the Management Agreement.
21
Money Market
Portfolio of Investments n June 30, 2012 (unaudited)
|
PRINCIPAL AMOUNT (000) |
|
ANNUALIZED YIELD ON DATE OF PURCHASE |
|
MATURITY DATE |
VALUE |
||||||||||||||||||
| Repurchase Agreements (50.6%) | |||||||||||||||||||||||
| $ | 2,000 |
Bank of Montreal, (dated 06/19/12; proceeds $2,000,198; fully collateralized by U.S. Government Agencies; Federal National Mortgage Association 4.00% due 08/01/22 - 12/01/40; valued at $2,067,723) |
0.17 | % | 07/10/12 | $ | 2,000,000 | ||||||||||||||||
| 10,000 |
Bank of Nova Scotia, (dated 06/29/12; proceeds $10,000,125; fully collateralized by a U.S. Government Obligation; U.S. Treasury Note 0.63% due 07/15/14; valued at $10,228,820) |
0.15 | 07/02/12 | 10,000,000 | |||||||||||||||||||
| 14,760 |
BNP Paribas Securities Corp., (dated 06/29/12; proceeds $14,760,234; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 3.40% due 11/01/41; valued at $15,238,044) |
0.19 | 07/02/12 | 14,760,000 | |||||||||||||||||||
| 5,000 |
Credit Agricole CIB, (dated 06/29/12; proceeds $5,000,063; fully collateralized by a U.S. Government Obligation; U.S. Treasury Strip Zero Coupon due 04/04/13; valued at $5,100,075) |
0.15 | 07/02/12 | 5,000,000 | |||||||||||||||||||
| 5,000 |
TD Securities (USA) LLC, (dated 06/28/12; proceeds $5,000,136; fully collateralized by a U.S. Government Obligation; U.S. Treasury Bond 4.50% due 05/15/38; valued at $5,100,011) |
0.14 | 07/05/12 | 5,000,000 | |||||||||||||||||||
|
Total Repurchase Agreements (Cost $36,760,000) |
36,760,000 | ||||||||||||||||||||||
| Commercial Paper (17.9%) | |||||||||||||||||||||||
| International Banks | |||||||||||||||||||||||
| 1,000 | BNZ International Funding Ltd. (a) | 0.55 | 08/16/12 | 999,295 | |||||||||||||||||||
| 1,000 | ING US Funding LLC | 0.42 | 07/06/12 | 999,931 | |||||||||||||||||||
| 2,000 | National Australia Funding Corp. (a) | 0.13 | 07/05/12 | 1,999,964 | |||||||||||||||||||
| 1,000 | NRW Bank (a) | 0.25 | 07/02/12 | 999,986 | |||||||||||||||||||
| 500 | Oversea Chinese Banking | 0.48 | 01/02/13 | 498,786 | |||||||||||||||||||
| 3,500 | Rabobank USA Financial Corp. | 0.54 - 0.67 | 07/30/12 - 10/02/12 | 3,497,231 | |||||||||||||||||||
| 1,000 | Sumitomo Mitsui Banking Corp. (a) | 0.39 | 07/06/12 | 999,937 | |||||||||||||||||||
See Notes to Financial Statements
22
Money Market
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
ANNUALIZED YIELD ON DATE OF PURCHASE |
|
MATURITY DATE |
VALUE |
||||||||||||||||||
| $ | 1,000 | Toyota Motor Credit Corp. | 0.13 | % | 07/10/12 | $ | 999,964 | ||||||||||||||||
| 2,000 | Westpac Banking Corp. (a) | 0.48 | 09/14/12 | 1,997,973 | |||||||||||||||||||
|
Total Commercial Paper (Cost $12,993,067) |
12,993,067 | ||||||||||||||||||||||
| Certificates of Deposit (15.2%) | |||||||||||||||||||||||
| International Banks | |||||||||||||||||||||||
| 2,000 | Bank of Montreal | 0.16 | 07/06/12 | 2,000,000 | |||||||||||||||||||
| 1,000 | Deutsche Bank AG | 0.52 | 10/18/12 | 1,000,000 | |||||||||||||||||||
| 2,500 | Skandin Ens Banken | 0.44 - 0.49 | 08/15/12 - 09/07/12 | 2,499,990 | |||||||||||||||||||
| 2,500 | Sumitomo Mitsui Banking Corp. | 0.36 - 0.38 | 07/06/12 - 08/01/12 | 2,500,000 | |||||||||||||||||||
| 1,000 | Svenska Handelsbanken AB | 0.60 | 08/02/12 | 1,000,000 | |||||||||||||||||||
| 2,000 | Toronto Dominion Bank | 0.17 | 07/19/12 - 07/20/12 | 2,000,000 | |||||||||||||||||||
|
Total Certificates of Deposit (Cost $10,999,990) |
10,999,990 | ||||||||||||||||||||||
|
|
|
COUPON RATE(b) |
DEMAND DATE(c) |
|
|
||||||||||||||||||
| Floating Rate Notes (13.1%) | |||||||||||||||||||||||
| International Banks | |||||||||||||||||||||||
| 2,500 | Bank of Nova Scotia | 0.47 - 0.51 | % | 07/26/12 - 10/02/12 | 04/26/13 - 07/02/13 | 2,499,877 | |||||||||||||||||
| 3,000 | Barclays Bank PLC | 0.92 | 08/06/12 | 11/05/12 | 3,000,000 | ||||||||||||||||||
| 1,000 |
Commonwealth Bank of Australia |
0.57 | 09/05/12 | 09/10/12 | 1,000,217 | ||||||||||||||||||
| 2,000 | Deutsche Bank AG | 0.67 | 09/17/12 | 03/15/13 | 2,000,000 | ||||||||||||||||||
| 1,000 | Westpac Banking Corp. | 0.48 | 07/05/12 | 07/05/12 | 1,000,000 | ||||||||||||||||||
|
Total Floating Rate Notes (Cost $9,500,094) |
9,500,094 | ||||||||||||||||||||||
| Tax-Exempt Instruments (4.1%) | |||||||||||||||||||||||
| Weekly Variable Rate Bonds | |||||||||||||||||||||||
| 3,000 |
Miami-Dade County, FL, Professional Sports Franchise Facilities Tax Ser 2009 E (Cost $3,000,000) |
0.18 | 07/06/12 | 10/01/48 | 3,000,000 | ||||||||||||||||||
|
Total Investments (Cost $73,253,151) |
100.9 | % | 73,253,151 | ||||||||||||||||||||
| Liabilities in Excess of Other Assets | (0.9 | ) | (666,261 | ) | |||||||||||||||||||
| Net Assets | 100.0 | % | $ | 72,586,890 | |||||||||||||||||||
See Notes to Financial Statements
23
Money Market
Portfolio of Investments n June 30, 2012 (unaudited) continued
(a) 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(b) Rate shown is the rate in effect at June 30, 2012.
(c) Date of next interest rate reset.
MATURITY SCHEDULE†
| 1 - 30 Days | 73 | % | |||||
| 31 - 60 Days | 14 | ||||||
| 61 - 90 Days | 8 | ||||||
| 91 - 120 Days | 4 | ||||||
| 121 + Days | 1 | ||||||
| 100 | % | ||||||
† As a percentage of total investments.
See Notes to Financial Statements
24
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited)
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Corporate Bonds (70.6%) | |||||||||||||||||||
| Australia (1.9%) | |||||||||||||||||||
| Basic Materials | |||||||||||||||||||
| $ | 35 | FMG Resources August 2006 Pty Ltd. (a) | 6.375 | % | 02/01/16 | $ | 35,613 | ||||||||||||
| 160 | FMG Resources August 2006 Pty Ltd. (a) | 6.875 | 02/01/18 | 162,200 | |||||||||||||||
| 197,813 | |||||||||||||||||||
| Consumer, Cyclical | |||||||||||||||||||
| 35 | Wesfarmers Ltd. (a) | 2.983 | 05/18/16 | 36,063 | |||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| 45 | Woolworths Ltd. (a) | 4.00 | 09/22/20 | 48,134 | |||||||||||||||
| Finance | |||||||||||||||||||
| 50 | Dexus Diversified Trust/Dexus Office Trust (a) | 5.60 | 03/15/21 | 51,894 | |||||||||||||||
| 100 | National Australia Bank Ltd. (a) | 3.375 | 07/08/14 | 105,312 | |||||||||||||||
| 157,206 | |||||||||||||||||||
| Total Australia | 439,216 | ||||||||||||||||||
| Belgium (0.1%) | |||||||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| 34 | Delhaize Group SA | 5.70 | 10/01/40 | 28,652 | |||||||||||||||
| Brazil (0.5%) | |||||||||||||||||||
| Basic Materials | |||||||||||||||||||
| 50 | Vale Overseas Ltd. | 5.625 | 09/15/19 | 55,679 | |||||||||||||||
| 5 | Vale Overseas Ltd. | 6.875 | 11/10/39 | 5,867 | |||||||||||||||
| 61,546 | |||||||||||||||||||
| Energy | |||||||||||||||||||
| 55 | Petrobras International Finance Co. | 5.75 | 01/20/20 | 60,438 | |||||||||||||||
| Total Brazil | 121,984 | ||||||||||||||||||
| Canada (1.9%) | |||||||||||||||||||
| Basic Materials | |||||||||||||||||||
| 150 | Inmet Mining Corp. (a) | 8.75 | 06/01/20 | 149,250 | |||||||||||||||
| Communications | |||||||||||||||||||
| 200 | MDC Partners, Inc. | 11.00 | 11/01/16 | 214,000 | |||||||||||||||
| Energy | |||||||||||||||||||
| 50 | Canadian Oil Sands Ltd. (a) | 7.75 | 05/15/19 | 61,369 | |||||||||||||||
| Total Canada | 424,619 | ||||||||||||||||||
See Notes to Financial Statements
25
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| France (1.2%) | |||||||||||||||||||
| Communications | |||||||||||||||||||
| $ | 15 | France Telecom SA | 8.50 | % | 03/01/31 | $ | 21,108 | ||||||||||||
| 40 | Vivendi SA (a) | 6.625 | 04/04/18 | 44,268 | |||||||||||||||
| 65,376 | |||||||||||||||||||
| Energy | |||||||||||||||||||
| 50 | Total Capital International SA | 2.875 | 02/17/22 | 50,799 | |||||||||||||||
| Finance | |||||||||||||||||||
| 50 | BNP Paribas SA | 5.00 | 01/15/21 | 51,415 | |||||||||||||||
| Industrials | |||||||||||||||||||
| 40 | Lafarge SA (a) | 6.20 | 07/09/15 | 42,823 | |||||||||||||||
| 75 | LVMH Moet Hennessy Louis Vuitton SA (a) | 1.625 | 06/29/17 | 75,068 | |||||||||||||||
| 117,891 | |||||||||||||||||||
| Total France | 285,481 | ||||||||||||||||||
| Germany (0.1%) | |||||||||||||||||||
| Communications | |||||||||||||||||||
| 25 | Deutsche Telekom International Finance BV | 8.75 | 06/15/30 | 34,791 | |||||||||||||||
| Israel (0.4%) | |||||||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| 80 | Teva Pharmaceutical Finance IV BV | 3.65 | 11/10/21 | 84,309 | |||||||||||||||
| Italy (0.5%) | |||||||||||||||||||
| Communications | |||||||||||||||||||
| 25 | Telecom Italia Capital SA | 6.999 | 06/04/18 | 25,000 | |||||||||||||||
| Utilities | |||||||||||||||||||
| 100 | Enel Finance International N.V. (a) | 5.125 | 10/07/19 | 95,668 | |||||||||||||||
| Total Italy | 120,668 | ||||||||||||||||||
| Luxembourg (0.8%) | |||||||||||||||||||
| Basic Materials | |||||||||||||||||||
| 40 | ArcelorMittal | 9.85 | 06/01/19 | 47,663 | |||||||||||||||
| Technology | |||||||||||||||||||
| 120 | Sensata Technologies BV (a) | 6.50 | 05/15/19 | 124,500 | |||||||||||||||
| Total Luxembourg | 172,163 | ||||||||||||||||||
| Mexico (0.5%) | |||||||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| 100 | Grupo Bimbo SAB de CV (a) | 4.875 | 06/30/20 | 111,240 | |||||||||||||||
See Notes to Financial Statements
26
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Netherlands (1.4%) | |||||||||||||||||||
| Finance | |||||||||||||||||||
| $ | 75 | Aegon N.V. | 4.625 | % | 12/01/15 | $ | 80,097 | ||||||||||||
| 200 | Carlson Wagonlit BV (a) | 6.875 | 06/15/19 | 206,000 | |||||||||||||||
| 25 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.875 | 02/08/22 | 25,482 | |||||||||||||||
| Total Netherlands | 311,579 | ||||||||||||||||||
| New Zealand (0.5%) | |||||||||||||||||||
| Industrials | |||||||||||||||||||
| 140 | Pactiv LLC | 7.95 | 12/15/25 | 112,700 | |||||||||||||||
| Spain (1.4%) | |||||||||||||||||||
| Communications | |||||||||||||||||||
| 200 | Nara Cable Funding Ltd. (a) | 8.875 | 12/01/18 | 171,000 | |||||||||||||||
| 45 | Telefonica Europe BV | 8.25 | 09/15/30 | 43,627 | |||||||||||||||
| 214,627 | |||||||||||||||||||
| Finance | |||||||||||||||||||
| 30 | Santander Holdings USA, Inc. | 4.625 | 04/19/16 | 29,015 | |||||||||||||||
| Utilities | |||||||||||||||||||
| 75 | Iberdrola Finance Ireland Ltd. (a) | 5.00 | 09/11/19 | 69,368 | |||||||||||||||
| Total Spain | 313,010 | ||||||||||||||||||
| Switzerland (0.7%) | |||||||||||||||||||
| Finance | |||||||||||||||||||
| 65 | ABB Treasury Center USA, Inc. (a) | 2.50 | 06/15/16 | 67,289 | |||||||||||||||
| 70 | Credit Suisse | 5.40 | 01/14/20 | 72,917 | |||||||||||||||
| 5 | Credit Suisse | 6.00 | 02/15/18 | 5,356 | |||||||||||||||
| 145,562 | |||||||||||||||||||
| Industrials | |||||||||||||||||||
| 25 | Holcim US Finance Sarl & Cie SCS (a) | 6.00 | 12/30/19 | 26,250 | |||||||||||||||
| Total Switzerland | 171,812 | ||||||||||||||||||
| United Kingdom (3.6%) | |||||||||||||||||||
| Communications | |||||||||||||||||||
| 100 | Sable International Finance Ltd. (a) | 7.75 | 02/15/17 | 104,000 | |||||||||||||||
| 42 | Virgin Media Finance PLC, Series 1 | 9.50 | 08/15/16 | 47,040 | |||||||||||||||
| 100 | WPP Finance UK | 8.00 | 09/15/14 | 112,835 | |||||||||||||||
| 263,875 | |||||||||||||||||||
See Notes to Financial Statements
27
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| $ | 75 | BAT International Finance PLC (a) | 2.125 | % | 06/07/17 | $ | 74,988 | ||||||||||||
| 50 | Diageo Capital PLC | 1.50 | 05/11/17 | 50,243 | |||||||||||||||
| 125,231 | |||||||||||||||||||
| Finance | |||||||||||||||||||
| 120 | Nationwide Building Society (a) | 6.25 | 02/25/20 | 129,646 | |||||||||||||||
| Industrials | |||||||||||||||||||
| 100 | BAA Funding Ltd. (a) | 4.875 | 07/15/21 | 105,720 | |||||||||||||||
| 200 | CEVA Group PLC (a) | 8.375 | 12/01/17 | 195,000 | |||||||||||||||
| 300,720 | |||||||||||||||||||
| Total United Kingdom | 819,472 | ||||||||||||||||||
| United States (55.1%) | |||||||||||||||||||
| Basic Materials | |||||||||||||||||||
| 40 | Barrick North America Finance LLC | 4.40 | 05/30/21 | 43,193 | |||||||||||||||
| 65 | Georgia-Pacific LLC | 8.875 | 05/15/31 | 91,881 | |||||||||||||||
| 200 | Kraton Polymers LLC/Kraton Polymers Capital Corp. | 6.75 | 03/01/19 | 209,500 | |||||||||||||||
| 15 | MeadWestvaco Corp. | 7.375 | 09/01/19 | 17,880 | |||||||||||||||
| 362,454 | |||||||||||||||||||
| Communications | |||||||||||||||||||
| 140 | CCO Holdings LLC/CCO Holdings Capital Corp. | 6.50 | 04/30/21 | 149,800 | |||||||||||||||
| 30 | CenturyLink, Inc. | 6.45 | 06/15/21 | 31,270 | |||||||||||||||
| 100 | CommScope, Inc. (a) | 8.25 | 01/15/19 | 106,250 | |||||||||||||||
| 180 | CSC Holdings LLC | 8.625 | 02/15/19 | 208,800 | |||||||||||||||
| 50 | DirecTV Holdings LLC/DirecTV Financing Co., Inc. | 3.80 | 03/15/22 | 50,667 | |||||||||||||||
| 100 | DISH DBS Corp. | 6.75 | 06/01/21 | 108,500 | |||||||||||||||
| 100 | GXS Worldwide, Inc. | 9.75 | 06/15/15 | 100,250 | |||||||||||||||
| 150 |
Harron Communications LP/Harron Finance Corp. (a) |
9.125 | 04/01/20 | 156,000 | |||||||||||||||
| 80 | Hughes Satellite Systems Co. | 7.625 | 06/15/21 | 87,400 | |||||||||||||||
| 145 | inVentiv Health, Inc. (a) | 10.00 | 08/15/18 | 124,700 | |||||||||||||||
| 50 | Motorola Solutions, Inc. | 3.75 | 05/15/22 | 49,409 | |||||||||||||||
| 25 | NBC Universal Media LLC | 5.95 | 04/01/41 | 29,622 | |||||||||||||||
| 50 | Omnicom Group, Inc. | 3.625 | 05/01/22 | 50,910 | |||||||||||||||
| 65 | Verizon Communications, Inc. | 6.35 | 04/01/19 | 81,137 | |||||||||||||||
| 110 | Windstream Corp. | 7.50 | 06/01/22 | 113,850 | |||||||||||||||
| 120 | XM Satellite Radio, Inc. (a) | 7.625 | 11/01/18 | 129,600 | |||||||||||||||
| 1,578,165 | |||||||||||||||||||
See Notes to Financial Statements
28
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Consumer Discretionary | |||||||||||||||||||
| $ | 100 | ServiceMaster Co. | 8.00 | % | 02/15/20 | $ | 109,375 | ||||||||||||
| Consumer, Cyclical | |||||||||||||||||||
| 70 | Ameristar Casinos, Inc. | 7.50 | 04/15/21 | 75,250 | |||||||||||||||
| 150 | Caesars Entertainment Operating Co., Inc. (a) | 8.50 | 02/15/20 | 151,500 | |||||||||||||||
| 80 | Caesars Entertainment Operating Co., Inc. | 10.00 | 12/15/18 | 55,100 | |||||||||||||||
| 125 | Dana Holding Corp. | 6.50 | 02/15/19 | 133,437 | |||||||||||||||
| 30 | Gap, Inc. (The) | 5.95 | 04/12/21 | 31,148 | |||||||||||||||
| 65 | Home Depot, Inc. | 5.875 | 12/16/36 | 83,513 | |||||||||||||||
| 150 | IDQ Holdings, Inc. (a) | 11.50 | 04/01/17 | 156,750 | |||||||||||||||
| 15 | Ingram Micro, Inc. | 5.25 | 09/01/17 | 16,099 | |||||||||||||||
| 100 | Levi Strauss & Co. | 7.625 | 05/15/20 | 106,750 | |||||||||||||||
| 50 | Logan's Roadhouse, Inc. | 10.75 | 10/15/17 | 48,125 | |||||||||||||||
| 50 | Ltd. Brands, Inc. | 5.625 | 02/15/22 | 51,750 | |||||||||||||||
| 100 | MGM Resorts International | 7.75 | 03/15/22 | 103,500 | |||||||||||||||
| 50 | QVC, Inc. (a) | 7.125 | 04/15/17 | 53,125 | |||||||||||||||
| 299 | Resort at Summerlin LP, Series B (b)(c)(d)(e) | 13.00 | (f) | 12/15/07 | 0 | ||||||||||||||
| 105 | Tenneco, Inc. | 7.75 | 08/15/18 | 114,450 | |||||||||||||||
| 70 | TRW Automotive, Inc. (a) | 8.875 | 12/01/17 | 77,525 | |||||||||||||||
| 35 | Wal-Mart Stores, Inc. | 5.25 | 09/01/35 | 42,511 | |||||||||||||||
| 70 | Wyndham Worldwide Corp. | 4.25 | 03/01/22 | 70,622 | |||||||||||||||
| 45 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 7.75 | 08/15/20 | 50,063 | |||||||||||||||
| 30 | Yum! Brands, Inc. | 6.875 | 11/15/37 | 39,867 | |||||||||||||||
| 1,461,085 | |||||||||||||||||||
| Consumer, Non-Cyclical | |||||||||||||||||||
| 20 | Altria Group, Inc. | 9.25 | 08/06/19 | 27,824 | |||||||||||||||
| 110 | AMERIGROUP Corp. | 7.50 | 11/15/19 | 118,800 | |||||||||||||||
| 225 | ARAMARK Holdings Corp. (a) | 8.625 | (f) | 05/01/16 | 230,908 | ||||||||||||||
| 40 | Boston Scientific Corp. | 6.00 | 01/15/20 | 47,779 | |||||||||||||||
| 25 | Cigna Corp. | 2.75 | 11/15/16 | 25,783 | |||||||||||||||
| 5 | Cigna Corp. | 5.375 | 02/15/42 | 5,340 | |||||||||||||||
| 285 | Constellation Brands, Inc. | 7.25 | 05/15/17 | 327,394 | |||||||||||||||
| 45 | Coventry Health Care, Inc. | 5.45 | 06/15/21 | 50,676 | |||||||||||||||
| 20 | Covidien International Finance SA | 3.20 | 06/15/22 | 20,663 | |||||||||||||||
| 40 | Express Scripts Holding Co. (a) | 2.65 | 02/15/17 | 40,739 | |||||||||||||||
| 25 | Express Scripts Holding Co. (a) | 3.90 | 02/15/22 | 25,965 | |||||||||||||||
| 55 | Gilead Sciences, Inc. | 5.65 | 12/01/41 | 64,356 | |||||||||||||||
| 125 | HCA, Inc. | 7.69 | 06/15/25 | 120,938 | |||||||||||||||
| 135 | Kindred Healthcare, Inc. | 8.25 | 06/01/19 | 125,888 | |||||||||||||||
| 50 | Kraft Foods, Inc. | 5.375 | 02/10/20 | 59,262 | |||||||||||||||
See Notes to Financial Statements
29
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| $ | 50 | Life Technologies Corp. | 6.00 | % | 03/01/20 | $ | 58,750 | ||||||||||||
| 270 | RSC Equipment Rental, Inc./RSC Holdings III LLC | 8.25 | 02/01/21 | 288,900 | |||||||||||||||
| 35 | Select Medical Holdings Corp. | 6.494 | (g) | 09/15/15 | 34,125 | ||||||||||||||
| 80 |
Ticketmaster Entertainment LLC/Ticketmaster Noteco, Inc. |
10.75 | 08/01/16 | 85,000 | |||||||||||||||
| 125 | TreeHouse Foods, Inc. | 7.75 | 03/01/18 | 135,781 | |||||||||||||||
| 35 | Verisk Analytics, Inc. | 5.80 | 05/01/21 | 39,132 | |||||||||||||||
| 1,934,003 | |||||||||||||||||||
| Energy | |||||||||||||||||||
| 125 | Chesapeake Energy Corp. | 6.775 | 03/15/19 | 122,031 | |||||||||||||||
| 200 | Concho Resources, Inc. | 7.00 | 01/15/21 | 215,000 | |||||||||||||||
| 100 | Continental Resources, Inc. (a) | 5.00 | 09/15/22 | 101,625 | |||||||||||||||
| 200 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. |
7.75 | 04/01/19 | 199,500 | |||||||||||||||
| 100 |
Crosstex Energy LP/Crosstex Energy Finance Corp. (a) |
7.125 | 06/01/22 | 98,750 | |||||||||||||||
| 155 | Denbury Resources, Inc. | 9.75 | 03/01/16 | 171,081 | |||||||||||||||
| 40 | EQT Corp. | 4.875 | 11/15/21 | 40,934 | |||||||||||||||
| 200 | Linn Energy LLC/Linn Energy Finance Corp. (a) | 6.25 | 11/01/19 | 196,250 | |||||||||||||||
| 80 | Marathon Petroleum Corp. | 5.125 | 03/01/21 | 89,727 | |||||||||||||||
| 125 |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. |
6.25 | 06/15/22 | 129,375 | |||||||||||||||
| 150 | Northern Oil and Gas, Inc. (a) | 8.00 | 06/01/20 | 150,000 | |||||||||||||||
| 100 | Pioneer Natural Resources Co. | 7.50 | 01/15/20 | 123,914 | |||||||||||||||
| 100 | SM Energy Co. (a) | 6.50 | 01/01/23 | 100,875 | |||||||||||||||
| 50 | Weatherford International Ltd. | 4.50 | 04/15/22 | 51,344 | |||||||||||||||
| 80 | Williams Cos., Inc. (The) | 7.875 | 09/01/21 | 101,208 | |||||||||||||||
| 1,891,614 | |||||||||||||||||||
| Finance | |||||||||||||||||||
| 25 | Alexandria Real Estate Equities, Inc. | 4.60 | 04/01/22 | 25,646 | |||||||||||||||
| 165 | CIT Group, Inc. | 5.00 | 05/15/17 | 170,053 | |||||||||||||||
| 85 | Citigroup, Inc. (See Note 6) | 8.50 | 05/22/19 | 105,120 | |||||||||||||||
| 70 | CNA Financial Corp. | 5.75 | 08/15/21 | 77,055 | |||||||||||||||
| 125 | DPL, Inc. (a) | 7.25 | 10/15/21 | 139,375 | |||||||||||||||
| 100 | E*Trade Financial Corp. | 7.875 | 12/01/15 | 102,000 | |||||||||||||||
| 40 | General Electric Capital Corp. | 5.30 | 02/11/21 | 44,974 | |||||||||||||||
| 50 | Genworth Financial, Inc. | 7.20 | 02/15/21 | 47,700 | |||||||||||||||
| 135 | Goldman Sachs Group, Inc. (The) | 6.15 | 04/01/18 | 146,528 | |||||||||||||||
| 35 | Harley-Davidson Funding Corp. (a) | 6.80 | 06/15/18 | 41,779 | |||||||||||||||
See Notes to Financial Statements
30
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| $ | 60 | Hartford Financial Services Group, Inc. (See Note 6) | 5.50 | % | 03/30/20 | $ | 62,742 | ||||||||||||
| 75 | HCP, Inc. | 5.625 | 05/01/17 | 82,902 | |||||||||||||||
| 100 | Host Hotels & Resorts LP | 6.00 | 10/01/21 | 110,250 | |||||||||||||||
| 100 | International Lease Finance Corp. | 8.25 | 12/15/20 | 114,767 | |||||||||||||||
| 25 | JPMorgan Chase & Co. | 4.50 | 01/24/22 | 26,983 | |||||||||||||||
| 65 | JPMorgan Chase & Co. | 4.625 | 05/10/21 | 69,676 | |||||||||||||||
| 100 | Merrill Lynch & Co., Inc. | 6.11 | 01/29/37 | 94,516 | |||||||||||||||
| 25 | MetLife, Inc. | 7.717 | 02/15/19 | 31,705 | |||||||||||||||
| 35 | Nationwide Financial Services (a) | 5.375 | 03/25/21 | 36,266 | |||||||||||||||
| 30 | Principal Financial Group, Inc. | 8.875 | 05/15/19 | 38,938 | |||||||||||||||
| 35 | Prudential Financial, Inc., MTN | 6.625 | 12/01/37 | 39,715 | |||||||||||||||
| 150 |
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. (a) |
9.50 | 06/15/19 | 156,188 | |||||||||||||||
| 215 | SLM Corp., MTN | 6.25 | 01/25/16 | 226,825 | |||||||||||||||
| 60 | SLM Corp., MTN | 8.00 | 03/25/20 | 66,000 | |||||||||||||||
| 30 | Wachovia Corp. | 5.625 | 10/15/16 | 33,850 | |||||||||||||||
| 60 | Wells Operating Partnership II LP | 5.875 | 04/01/18 | 62,458 | |||||||||||||||
| 2,154,011 | |||||||||||||||||||
| Industrials | |||||||||||||||||||
| 50 | Ball Corp. | 5.00 | 03/15/22 | 52,063 | |||||||||||||||
| 40 | Bemis Co., Inc. | 4.50 | 10/15/21 | 43,250 | |||||||||||||||
| 55 | Cardinal Health, Inc. | 1.90 | 06/15/17 | 55,477 | |||||||||||||||
| 100 |
Consolidated Container Co., LLC/Consolidated Container Capital, Inc. |
10.125 | 07/15/20 | 103,500 | |||||||||||||||
| 45 | Cooper US, Inc. | 5.25 | 11/15/12 | 45,746 | |||||||||||||||
| 45 | CRH America, Inc. | 6.00 | 09/30/16 | 49,305 | |||||||||||||||
| 200 | Ford Motor Credit Co., LLC (a) | 4.207 | 04/15/16 | 207,857 | |||||||||||||||
| 75 | Graphic Packaging International, Inc. | 7.875 | 10/01/18 | 82,875 | |||||||||||||||
| 250 | Heckmann Corp. (a) | 9.875 | 04/15/18 | 238,125 | |||||||||||||||
| 100 | JB Poindexter & Co., Inc. (a) | 9.00 | 04/01/22 | 100,500 | |||||||||||||||
| 200 |
Marquette Transportation Co./Marquette Transportation Finance Corp. |
10.875 | 01/15/17 | 211,500 | |||||||||||||||
| 100 | Mediacom LLC/Mediacom Capital Corp. | 7.25 | 02/15/22 | 102,250 | |||||||||||||||
| 100 | Pretium Packaging LLC/Pretium Finance, Inc. | 11.50 | 04/01/16 | 101,500 | |||||||||||||||
| 100 | RBS Global, Inc./Rexnord LLC | 8.50 | 05/01/18 | 109,000 | |||||||||||||||
| 100 | Sealed Air Corp. (a) | 8.125 | 09/15/19 | 112,000 | |||||||||||||||
| 100 | Sequa Corp. (a) | 11.75 | 12/01/15 | 106,000 | |||||||||||||||
| 100 | Silgan Holdings, Inc. (a) | 5.00 | 04/01/20 | 102,500 | |||||||||||||||
| 50 | Sonoco Products Co. | 5.75 | 11/01/40 | 56,870 | |||||||||||||||
| 150 | Tekni-Plex, Inc. (a) | 9.75 | 06/01/19 | 151,875 | |||||||||||||||
See Notes to Financial Statements
31
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| $ | 100 | Terex Corp. | 6.50 | % | 04/01/20 | $ | 101,500 | ||||||||||||
| 25 | Time Warner, Inc. | 4.90 | 06/15/42 | 25,466 | |||||||||||||||
| 30 | Union Pacific Corp. | 6.125 | 02/15/20 | 37,107 | |||||||||||||||
| 25 | United Technologies Corp. | 4.50 | 06/01/42 | 27,577 | |||||||||||||||
| 2,223,843 | |||||||||||||||||||
| Technology | |||||||||||||||||||
| 135 | CDW LLC/CDW Finance Corp. | 8.50 | 04/01/19 | 144,450 | |||||||||||||||
| 120 | Fidelity National Information Services, Inc. (a) | 5.00 | 03/15/22 | 122,700 | |||||||||||||||
| 45 | Hewlett-Packard Co. | 4.65 | 12/09/21 | 47,259 | |||||||||||||||
| 150 | Lawson Software, Inc. (a) | 9.375 | 04/01/19 | 160,875 | |||||||||||||||
| 20 | Xerox Corp. | 6.35 | 05/15/18 | 23,346 | |||||||||||||||
| 498,630 | |||||||||||||||||||
| Utilities | |||||||||||||||||||
| 100 | CMS Energy Corp. | 5.05 | 03/15/22 | 104,224 | |||||||||||||||
| 40 | FirstEnergy Solutions Corp. | 6.05 | 08/15/21 | 44,009 | |||||||||||||||
| 60 | PPL WEM Holdings PLC (a) | 3.90 | 05/01/16 | 62,940 | |||||||||||||||
| 150 | Puget Energy, Inc. | 6.50 | 12/15/20 | 163,670 | |||||||||||||||
| 374,843 | |||||||||||||||||||
| Total United States | 12,588,023 | ||||||||||||||||||
|
Total Corporate Bonds (Cost $15,700,494) |
16,139,719 | ||||||||||||||||||
| Sovereign (10.6%) | |||||||||||||||||||
| Argentina (0.5%) | |||||||||||||||||||
| 141 | Argentina Boden Bonds | 7.00 | 10/03/15 | 107,101 | |||||||||||||||
| Brazil (1.9%) | |||||||||||||||||||
| 200 |
Banco Nacional de Desenvolvimento, Economico e Social (a) |
6.369 | 06/16/18 | 235,500 | |||||||||||||||
| 150 | Brazilian Government International Bond | 5.875 | 01/15/19 | 181,800 | |||||||||||||||
| 10 | Brazilian Government International Bond | 7.125 | 01/20/37 | 14,475 | |||||||||||||||
| Total Brazil | 431,775 | ||||||||||||||||||
| Indonesia (1.3%) | |||||||||||||||||||
| 100 | Indonesia Government International Bond | 7.75 | 01/17/38 | 138,250 | |||||||||||||||
| 100 | Indonesia Government International Bond (a) | 11.625 | 03/04/19 | 148,000 | |||||||||||||||
| Total Indonesia | 286,250 | ||||||||||||||||||
| Kazakhstan (0.5%) | |||||||||||||||||||
| 100 | KazMunayGas National Co. (a) | 9.125 | 07/02/18 | 124,125 | |||||||||||||||
See Notes to Financial Statements
32
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Mexico (2.0%) | |||||||||||||||||||
| MXN | 810 | Mexican Bonos | 8.00 | % | 06/11/20 | $ | 72,012 | ||||||||||||
| $ | 44 | Mexico Government International Bond | 5.95 | 03/19/19 | 53,856 | ||||||||||||||
| 20 | Mexico Government International Bond | 6.05 | 01/11/40 | 25,900 | |||||||||||||||
| 100 | Mexico Government International Bond | 6.75 | 09/27/34 | 137,000 | |||||||||||||||
| 33 | Pemex Project Funding Master Trust | 6.625 | 06/15/35 | 39,435 | |||||||||||||||
| 25 | Pemex Project Funding Master Trust | 6.625 | 06/15/38 | 29,875 | |||||||||||||||
| 60 | Petroleos Mexicanos | 5.50 | 01/21/21 | 68,100 | |||||||||||||||
| 15 | Petroleos Mexicanos | 8.00 | 05/03/19 | 19,125 | |||||||||||||||
| Total Mexico | 445,303 | ||||||||||||||||||
| Peru (0.4%) | |||||||||||||||||||
| 40 | Peruvian Government International Bond | 7.125 | 03/30/19 | 51,600 | |||||||||||||||
| 10 | Peruvian Government International Bond | 7.35 | 07/21/25 | 14,100 | |||||||||||||||
| 16 | Peruvian Government International Bond | 8.75 | 11/21/33 | 26,320 | |||||||||||||||
| Total Peru | 92,020 | ||||||||||||||||||
| Russia (1.2%) | |||||||||||||||||||
| 100 | Russian Foreign Bond - Eurobond | 7.50 | 03/31/30 | 120,093 | |||||||||||||||
| 90 | Russian Foreign Bond - Eurobond | 12.75 | 06/24/28 | 162,000 | |||||||||||||||
| Total Russia | 282,093 | ||||||||||||||||||
| Turkey (0.8%) | |||||||||||||||||||
| 100 | Turkey Government International Bond | 6.75 | 04/03/18 | 114,000 | |||||||||||||||
| 17 | Turkey Government International Bond | 6.875 | 03/17/36 | 20,022 | |||||||||||||||
| 15 | Turkey Government International Bond | 8.00 | 02/14/34 | 19,789 | |||||||||||||||
| 19 | Turkey Government International Bond | 11.875 | 01/15/30 | 33,696 | |||||||||||||||
| Total Turkey | 187,507 | ||||||||||||||||||
| Ukraine (0.4%) | |||||||||||||||||||
| 100 | Ukraine Government International Bond | 6.75 | 11/14/17 | 89,340 | |||||||||||||||
| Uruguay (0.1%) | |||||||||||||||||||
| 10 | Uruguay Government International Bond | 8.00 | 11/18/22 | 14,125 | |||||||||||||||
| Venezuela (1.5%) | |||||||||||||||||||
| 130 | Petroleos de Venezuela SA | 8.50 | 11/02/17 | 105,950 | |||||||||||||||
| 20 | Venezuela Government International Bond | 6.00 | 12/09/20 | 13,550 | |||||||||||||||
| 150 | Venezuela Government International Bond | 7.65 | 04/21/25 | 104,250 | |||||||||||||||
| 159 | Venezuela Government International Bond | 9.25 | 09/15/27 | 129,585 | |||||||||||||||
| Total Venezuela | 353,335 | ||||||||||||||||||
|
Total Sovereign (Cost $2,067,963) |
2,412,974 | ||||||||||||||||||
See Notes to Financial Statements
33
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| Municipal Bonds (1.5%) | |||||||||||||||||||
| $ | 35 | Chicago, IL, Transit Authority | 6.20 | % | 12/01/40 | $ | 38,661 | ||||||||||||
| 15 |
City of Chicago, IL, O'Hare International Airport Revenue |
6.395 | 01/01/40 | 19,290 | |||||||||||||||
| 30 | City of New York, NY, Series G-1 | 5.968 | 03/01/36 | 37,421 | |||||||||||||||
| 75 |
Illinois State Toll Highway Authority, Highway Revenue, Build America Bonds |
6.184 | 01/01/34 | 93,121 | |||||||||||||||
| Municipal Electric Authority of Georgia | |||||||||||||||||||
| 15 | 6.637 | 04/01/57 | 17,575 | ||||||||||||||||
| 20 | 6.655 | 04/01/57 | 23,151 | ||||||||||||||||
| 30 |
New York City, NY, Transitional Finance Authority Future Tax Secured Revenue |
5.267 | 05/01/27 | 34,659 | |||||||||||||||
| State of California, General Obligation Bonds | |||||||||||||||||||
| 40 | 5.95 | 04/01/16 | 45,672 | ||||||||||||||||
| 25 | 6.65 | 03/01/22 | 30,789 | ||||||||||||||||
|
Total Municipal Bonds (Cost $286,662) |
340,339 | ||||||||||||||||||
| Agency Fixed Rate Mortgages (0.7%) | |||||||||||||||||||
|
Federal National Mortgage Association, Conventional Pools: |
|||||||||||||||||||
| 87 | 6.50 | 07/01/29 - 11/01/33 | 99,304 | ||||||||||||||||
| 33 | 7.00 | 02/01/33 | 39,213 | ||||||||||||||||
| IO STRIPS | |||||||||||||||||||
| 29 | 6.50 | 12/01/29 | 2,910 | ||||||||||||||||
| 19 | 7.00 | 11/01/19 | 1,757 | ||||||||||||||||
| 78 | 8.00 | 06/01/35 | 17,074 | ||||||||||||||||
| 1 |
Government National Mortgage Association, Various Pool |
8.00 |
06/15/26 |
657 | |||||||||||||||
|
Total Agency Fixed Rate Mortgages (Cost $132,144) |
160,915 | ||||||||||||||||||
| Asset-Backed Securities (1.8%) | |||||||||||||||||||
| 100 | Ally Master Owner Trust (a) | 2.88 | 04/15/15 | 101,354 | |||||||||||||||
| 73 | CVS Pass-Through Trust | 6.036 | 12/10/28 | 82,360 | |||||||||||||||
| 125 | Ford Credit Floorplan Master Owner Trust (a) | 1.942 | (g) | 02/15/17 | 129,122 | ||||||||||||||
| 20 | Specialty Underwriting & Residential Finance | 0.515 | (g) | 05/25/35 | 15,477 | ||||||||||||||
| 81 | Westlake Automobile Receivables Trust (a) | 5.00 | 05/15/15 | 81,785 | |||||||||||||||
|
Total Asset-Backed Securities (Cost $398,551) |
410,098 | ||||||||||||||||||
See Notes to Financial Statements
34
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
PRINCIPAL AMOUNT (000) |
|
COUPON RATE |
MATURITY DATE |
VALUE | |||||||||||||||
| U.S. Treasury Securities (8.9%) | |||||||||||||||||||
| U.S. Treasury Bonds | |||||||||||||||||||
| $ | 155 | 3.50 | % | 02/15/39 | $ | 179,388 | |||||||||||||
| 500 | 3.875 | 08/15/40 | 615,625 | ||||||||||||||||
| U.S. Treasury Notes | |||||||||||||||||||
| 600 | 0.25 | 12/15/14 | 598,547 | ||||||||||||||||
| 305 | 2.25 | 03/31/16 | 324,396 | ||||||||||||||||
| 280 | 2.75 | 02/28/18 | 309,072 | ||||||||||||||||
|
Total U.S. Treasury Securities (Cost $1,889,653) |
2,027,028 | ||||||||||||||||||
| Mortgages - Other (4.3%) | |||||||||||||||||||
| 178 | Banc of America Alternative Loan Trust | 5.913 | (g) | 10/25/36 | 116,372 | ||||||||||||||
| 108 | Chase Mortgage Finance Corp. | 6.00 | 11/25/36 | 87,903 | |||||||||||||||
| 98 | Countrywide Alternative Loan Trust | 6.00 | 04/25/36 | 70,254 | |||||||||||||||
| 183 |
Countrywide Home Loan Mortgage Pass-Through Trust |
0.545 | (g) | 04/25/46 | 37,991 | ||||||||||||||
| 70 | First Horizon Alternative Mortgage Securities | 6.25 | 08/25/36 | 51,085 | |||||||||||||||
| 78 | GS Mortgage Securities Corp. (a) | 7.50 | (g) | 09/25/36 | 62,789 | ||||||||||||||
| Lehman Mortgage Trust | |||||||||||||||||||
| 55 | 5.50 | 11/25/35 | 51,954 | ||||||||||||||||
| 117 | 5.50 | 02/25/36 | 107,783 | ||||||||||||||||
| 200 | 6.50 | 09/25/37 | 153,736 | ||||||||||||||||
| Residential Accredit Loans, Inc. | |||||||||||||||||||
| 80 | 0.745 | (g) | 03/25/35 | 43,520 | |||||||||||||||
| 96 | 6.00 | 04/25/36 | 62,976 | ||||||||||||||||
| 162 |
Structured Adjustable Rate Mortgage Loan Trust |
2.744 | (g) | 08/25/34 | 136,087 | ||||||||||||||
|
Total Mortgages - Other (Cost $1,009,239) |
982,450 | ||||||||||||||||||
|
NUMBER OF SHARES |
|
|
|||||||||
| Common Stocks (0.0%) | |||||||||||
| Communications Equipment | |||||||||||
| 563 | ORBCOMM, Inc. (h) | 1,835 | |||||||||
| Electric Utilities | |||||||||||
| 13 | PNM Resources, Inc. (e) | 254 | |||||||||
| Wireless Telecommunication Services | |||||||||||
| 49 | USA Mobility, Inc. (e) | 630 | |||||||||
|
Total Common Stocks (Cost $365) |
2,719 | ||||||||||
See Notes to Financial Statements
35
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES (000) |
|
|
VALUE |
||||||||||||
| Short-Term Investment (0.8%) | |||||||||||||||
| Investment Company | |||||||||||||||
| 192 |
Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $192,341) |
$ | 192,341 | ||||||||||||
|
|
Total Investments (Cost $21,677,412) (i) |
99.2 | % | 22,668,583 | |||||||||||
| Other Assets in Excess of Liabilities | 0.8 | 175,509 | |||||||||||||
| Net Assets | 100.0 | % | $ | 22,844,092 | |||||||||||
IO Interest Only.
MTN Medium Term Note.
STRIPS Separate Trading of Registered Interest and Principal of Securities.
(a) 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to
be liquid.
(b) Issuer in bankruptcy.
(c) Non-income producing security; bond in default.
(d) At June 30, 2012, the Portfolio held a fair valued security valued at $0, representing 0.0% of net assets. This security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.
(e) Acquired through exchange offer.
(f) Payment-in-kind security.
(g) Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on June 30, 2012.
(h) Non-income producing security.
(i) Securities are available for collateral in connection with open foreign currency exchange contracts, futures contracts and swap agreements.
See Notes to Financial Statements
36
Flexible Income
Portfolio of Investments n June 30, 2012 (unaudited) continued
FOREIGN CURRENCY EXCHANGE CONTRACTS OPEN AT JUNE 30, 2012:
| COUNTERPARTY |
CONTRACTS TO DELIVER |
IN EXCHANGE FOR |
DELIVERY DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| UBS AG | CAD | 230,480 | $ | 221,733 | 07/13/12 | $ | (4,600 | ) | |||||||||||
| Wells Fargo Bank | $ | 223,701 | CAD | 230,480 | 07/13/12 | 2,632 | |||||||||||||
| Net Unrealized Depreciation | $ | (1,968 | ) | ||||||||||||||||
FUTURES CONTRACTS OPEN AT JUNE 30, 2012:
|
NUMBER OF CONTRACTS |
LONG/SHORT |
DESCRIPTION, DELIVERY MONTH AND YEAR |
UNDERLYING FACE AMOUNT AT VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| 8 | Long |
U.S. Treasury 2 yr. Note, Sep-12 |
$ | 1,761,500 | $ | (744 | ) | ||||||||||||
| 1 | Short |
U.S. Treasury Ultra Long Bond, Sep-12 |
(166,844 | ) | (2,516 | ) | |||||||||||||
| 2 | Short |
U.S. Treasury 5 yr. Note, Sep-12 |
(247,938 | ) | 258 | ||||||||||||||
| 3 | Short |
U.S. Treasury 30 yr. Bond, Sep-12 |
(443,906 | ) | (2,484 | ) | |||||||||||||
| 31 | Short |
U.S. Treasury 10 yr. Note, Sep-12 |
(4,134,625 | ) | (17,004 | ) | |||||||||||||
| Net Unrealized Depreciation | $ | (22,490 | ) | ||||||||||||||||
INTEREST RATE SWAP AGREEMENTS OPEN AT JUNE 30, 2012:
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT (000) |
FLOATING RATE INDEX |
PAY/RECEIVE FLOATING RATE |
FIXED RATE |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||||
| Bank of America | EUR | 1,190 | 6 Month EURIBOR | Pay | 4.26 | % | 08/18/26 | $ | 77,013 | ||||||||||||||||||
| Bank of America | $ | 1,595 | 3 Month LIBOR | Receive | 4.35 | 08/18/26 | (72,472 | ) | |||||||||||||||||||
| Bank of America | EUR | 1,505 | 6 Month EURIBOR | Receive | 3.61 | 08/18/31 | (80,657 | ) | |||||||||||||||||||
| Bank of America | $ | 1,980 | 3 Month LIBOR | Pay | 4.15 | 08/18/31 | 70,836 | ||||||||||||||||||||
| Net Unrealized Depreciation | $ | (5,280 | ) | ||||||||||||||||||||||||
EURIBOR Euro Interbank Offered Rate.
LIBOR London Interbank Offered Rate.
Currency Abbreviations:
CAD Canadian Dollar.
EUR Euro.
MXN Mexican New Peso.
See Notes to Financial Statements
37
Flexible Income
Summary of Investments n June 30, 2012 (unaudited)
| PORTFOLIO COMPOSITION | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
| Corporate Bonds | $ | 16,139,719 | 71.2 | % | |||||||
| Sovereign | 2,412,974 | 10.7 | |||||||||
| U.S. Treasury Securities | 2,027,028 | 8.9 | |||||||||
| Mortgages - Other | 982,450 | 4.3 | |||||||||
| Asset-Backed Securities | 410,098 | 1.8 | |||||||||
| Municipal Bonds | 340,339 | 1.5 | |||||||||
| Short-Term Investment | 192,341 | 0.9 | |||||||||
| Agency Fixed Rate Mortgages | 160,915 | 0.7 | |||||||||
| Common Stocks | 2,719 | 0.0 | * | ||||||||
| $ | 22,668,583 | ** | 100.0 | % | |||||||
* Amount is less than 0.05%.
** Does not include open foreign currency exchange contracts with net unrealized depreciation of $1,968. Does not include open long/short futures contracts with an underlying face amount of $6,754,813 with net unrealized depreciation of $22,490. Also does not include open swap agreements with net unrealized depreciation of $5,280.
See Notes to Financial Statements
38
Global Infrastructure
Portfolio of Investments n June 30, 2012 (unaudited)
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Common Stocks (97.6%) Australia (5.3%) |
|||||||||||
| Airports | |||||||||||
| 14,750 |
Australian Infrastructure Fund (Stapled Securities) (a)(b) |
$ | 36,412 | ||||||||
| 105,189 |
Sydney Airport (Stapled Securities) (a) |
313,406 | |||||||||
| 349,818 | |||||||||||
| Diversified | |||||||||||
| 65,604 |
DUET Group (Stapled Securities) (a)(b) |
123,809 | |||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 47,845 |
APA Group (Stapled Securities) (a)(b) |
245,174 | |||||||||
| Toll Roads | |||||||||||
| 28,646 |
Macquarie Atlas Roads Group (Stapled Securities) (a)(c) |
44,222 | |||||||||
| 91,437 |
Transurban Group (Stapled Securities) (a) |
533,134 | |||||||||
| 577,356 | |||||||||||
| Transmission & Distribution | |||||||||||
| 89,001 |
Spark Infrastructure Group |
139,143 | |||||||||
| Total Australia | 1,435,300 | ||||||||||
| Brazil (0.9%) | |||||||||||
| Water | |||||||||||
| 3,200 |
Cia de Saneamento Basico do Estado de Sao Paulo ADR |
242,752 | |||||||||
| Canada (11.1%) | |||||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 29,420 | Enbridge, Inc. | 1,174,951 | |||||||||
| 1,686 | Keyera Corp. | 70,182 | |||||||||
| 41,890 | TransCanada Corp. | 1,755,669 | |||||||||
| Total Canada | 3,000,802 | ||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| China (14.5%) | |||||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 275,500 |
Beijing Enterprises Holdings Ltd. (d) |
$ | 1,662,878 | ||||||||
| 2,180,000 | China Gas Holdings Ltd. (d) | 1,089,332 | |||||||||
| 92,000 | ENN Energy Holdings Ltd. (d) | 323,501 | |||||||||
| 606,400 |
Sichuan Expressway Co., Ltd., H Shares (d) |
205,694 | |||||||||
| 3,281,405 | |||||||||||
| Ports | |||||||||||
| 84,003 |
China Merchants Holdings International Co., Ltd. (d) |
256,932 | |||||||||
| Toll Roads | |||||||||||
| 420,000 |
Jiangsu Expressway Co., Ltd., H Shares (d) |
394,052 | |||||||||
| Total China | 3,932,389 | ||||||||||
| France (3.8%) | |||||||||||
| Communications | |||||||||||
| 8,123 | Eutelsat Communications SA | 249,756 | |||||||||
| 32,824 | SES SA | 776,200 | |||||||||
| Total France | 1,025,956 | ||||||||||
| Germany (0.4%) | |||||||||||
| Airports | |||||||||||
| 1,863 |
Fraport AG Frankfurt Airport Services Worldwide |
100,307 | |||||||||
| Italy (5.2%) | |||||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 78,707 | Snam SpA | 350,876 | |||||||||
| Toll Roads | |||||||||||
| 22,617 | Atlantia SpA | 288,868 | |||||||||
| 67,392 |
Societa Iniziative Autostradali e Servizi SpA |
475,438 | |||||||||
| 764,306 | |||||||||||
See Notes to Financial Statements
39
Global Infrastructure
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Transmission & Distribution | |||||||||||
| 82,732 |
Terna Rete Elettrica Nazionale SpA |
$ | 298,092 | ||||||||
| Total Italy | 1,413,274 | ||||||||||
| Japan (1.1%) | |||||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 56,000 | Tokyo Gas Co., Ltd. | 285,996 | |||||||||
| Netherlands (0.8%) | |||||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 3,604 | Koninklijke Vopak N.V. | 231,112 | |||||||||
| Spain (1.7%) | |||||||||||
| Diversified | |||||||||||
| 11,825 | Ferrovial SA | 133,328 | |||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 8,525 | Enagas SA | 155,565 | |||||||||
| Toll Roads | |||||||||||
| 13,226 | Abertis Infraestructuras SA | 179,079 | |||||||||
| Total Spain | 467,972 | ||||||||||
| Switzerland (1.2%) | |||||||||||
| Airports | |||||||||||
| 958 |
Flughafen Zuerich AG (Registered) |
336,413 | |||||||||
| United Kingdom (10.6%) | |||||||||||
| Transmission & Distribution | |||||||||||
| 214,119 | National Grid PLC | 2,266,370 | |||||||||
| Water | |||||||||||
| 11,026 | Severn Trent PLC | 285,576 | |||||||||
| 29,632 | United Utilities Group PLC | 313,523 | |||||||||
| 599,099 | |||||||||||
| Total United Kingdom | 2,865,469 | ||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| United States (41.0%) | |||||||||||
| Communications | |||||||||||
| 18,590 |
American Tower Corp., Class A |
$ | 1,299,627 | ||||||||
| 12,440 |
Crown Castle International Corp. (c) |
729,730 | |||||||||
| 15,320 |
SBA Communications Corp., Class A (c) |
874,006 | |||||||||
| 2,903,363 | |||||||||||
| Diversified | |||||||||||
| 23,960 | CenterPoint Energy, Inc. | 495,253 | |||||||||
|
Oil & Gas Storage & Transportation |
|||||||||||
| 3,580 | AGL Resources, Inc. | 138,725 | |||||||||
| 1,920 | Atmos Energy Corp. | 67,334 | |||||||||
| 21,365 |
Enbridge Energy Management LLC (c) |
683,039 | |||||||||
| 4,860 | Kinder Morgan, Inc. | 156,589 | |||||||||
| 3,841 |
Kinder Morgan Management LLC (c) |
282,006 | |||||||||
| 5,200 | New Jersey Resources Corp. | 226,772 | |||||||||
| 15,520 | NiSource, Inc. | 384,120 | |||||||||
| 9,300 | Oneok, Inc. | 393,483 | |||||||||
| 15,530 | PG&E Corp. | 703,043 | |||||||||
| 15,020 | Sempra Energy | 1,034,578 | |||||||||
| 34,665 | Spectra Energy Corp. | 1,007,365 | |||||||||
| 3,130 | WGL Holdings, Inc. | 124,418 | |||||||||
| 20,150 | Williams Cos., Inc. (The) | 580,723 | |||||||||
| 5,782,195 | |||||||||||
| Transmission & Distribution | |||||||||||
| 8,210 | ITC Holdings Corp. | 565,751 | |||||||||
| 27,648 | Northeast Utilities | 1,073,019 | |||||||||
| 4,840 | Pepco Holdings, Inc. | 94,719 | |||||||||
| 1,733,489 | |||||||||||
See Notes to Financial Statements
40
Global Infrastructure
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE |
|||||||||
| Water | |||||||||||
| 6,120 | American Water Works Co., Inc. | $ | 209,794 | ||||||||
| Total United States | 11,124,094 | ||||||||||
|
Total Common Stocks (Cost $21,505,035) |
26,461,836 | ||||||||||
|
NUMBER OF SHARES (000) |
|||||||||||
| Short-Term Investment (1.5%) | |||||||||||
| Investment Company | |||||||||||
| 419 |
Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class (See Note 6) (Cost $419,326) |
419,326 | |||||||||
|
Total Investments (Cost $21,924,361) (e) |
99.1 | % | 26,881,162 | ||||||||
|
Other Assets in Excess of Liabilities |
0.9 | 244,940 | |||||||||
| Net Assets | 100.0 | % | $ | 27,126,102 | |||||||
ADR American Depositary Receipt.
(a) Comprised of securities in separate entities that are traded as a single stapled security.
(b) Consists of one or more classes of securities traded together as a unit; stocks with attached warrants.
(c) Non-income producing security.
(d) Security trades on the Hong Kong exchange.
(e) The fair value and percentage of net assets, $12,094,188 and 44.6%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.
|
SUMMARY OF INVESTMENTS INDUSTRY |
VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
|
Oil & Gas Storage & Transportation |
$ | 13,333,125 | 49.6 | % | |||||||
|
Transmission & Distribution |
4,437,094 | 16.5 | |||||||||
| Communications | 3,929,319 | 14.6 | |||||||||
| Toll Roads | 1,914,793 | 7.1 | |||||||||
| Water | 1,051,645 | 3.9 | |||||||||
| Airports | 786,538 | 2.9 | |||||||||
| Diversified | 752,390 | 2.8 | |||||||||
| Investment Company | 419,326 | 1.6 | |||||||||
| Ports | 256,932 | 1.0 | |||||||||
| $ | 26,881,162 | 100.0 | % | ||||||||
See Notes to Financial Statements
41
Growth
Portfolio of Investments n June 30, 2012 (unaudited)
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Common Stocks (95.7%) | |||||||||||
| Air Transport (1.4%) | |||||||||||
| 7,996 |
Expeditors International of Washington, Inc. |
$ | 309,845 | ||||||||
| Alternative Energy (2.2%) | |||||||||||
| 3,713 | Range Resources Corp. | 229,723 | |||||||||
| 10,959 | Ultra Petroleum Corp. (a) | 252,824 | |||||||||
| 482,547 | |||||||||||
|
Asset Management & Custodian (0.6%) |
|||||||||||
| 2,364 | Citigroup, Inc. (See Note 6) | 64,797 | |||||||||
| 628 |
Goldman Sachs Group, Inc. (The) |
60,200 | |||||||||
| 124,997 | |||||||||||
|
Beverage: Brewers & Distillers (3.1%) |
|||||||||||
| 4,879 |
Anheuser-Busch InBev N.V. ADR |
388,613 | |||||||||
| 24,105 |
DE Master Blenders 1753 N.V. (Netherlands) (a) |
271,798 | |||||||||
| 660,411 | |||||||||||
| Beverage: Soft Drinks (1.6%) | |||||||||||
| 4,850 | PepsiCo, Inc. | 342,701 | |||||||||
| Biotechnology (2.2%) | |||||||||||
| 11,763 | Illumina, Inc. (a) | 475,108 | |||||||||
| Chemicals: Diversified (2.8%) | |||||||||||
| 7,386 | Monsanto Co. | 611,413 | |||||||||
|
Commercial Finance & Mortgage Companies (1.3%) |
|||||||||||
| 56,630 | BM&F Bovespa SA (Brazil) | 289,001 | |||||||||
| Commercial Services (3.0%) | |||||||||||
| 7,739 | eBay, Inc. (a) | 325,116 | |||||||||
| 7,811 |
Intertek Group PLC (United Kingdom) |
328,277 | |||||||||
| 653,393 | |||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Communications Technology (3.6%) |
|||||||||||
| 14,646 | Motorola Solutions, Inc. | $ | 704,619 | ||||||||
| 10,351 |
Research In Motion Ltd. (Canada) (a) |
76,494 | |||||||||
| 781,113 | |||||||||||
|
Computer Services, Software & Systems (19.7%) |
|||||||||||
| 5,871 | Baidu, Inc. ADR (China) (a) | 675,047 | |||||||||
| 14,998 | Facebook, Inc. (a) | 466,738 | |||||||||
| 33,323 |
Facebook, Inc., Class B (a)(b)(c) |
950,705 | |||||||||
| 1,645 | Google, Inc., Class A (a) | 954,215 | |||||||||
| 2,982 | LinkedIn Corp., Class A (a) | 316,897 | |||||||||
| 3,596 | Salesforce.com, Inc. (a) | 497,183 | |||||||||
| 2,844 | VMware, Inc., Class A (a) | 258,918 | |||||||||
| 25,981 | Zynga, Inc., Class A (a) | 141,337 | |||||||||
| 4,261,040 | |||||||||||
| Computer Technology (10.0%) | |||||||||||
| 3,350 | Apple, Inc. (a) | 1,956,400 | |||||||||
| 10,567 |
Yandex N.V., Class A (Russia) (a) |
201,301 | |||||||||
| 2,157,701 | |||||||||||
| Consumer Lending (4.4%) | |||||||||||
| 1,195 | CME Group, Inc. | 320,391 | |||||||||
| 735 | Mastercard, Inc., Class A | 316,131 | |||||||||
| 2,628 | Visa, Inc., Class A | 324,900 | |||||||||
| 961,422 | |||||||||||
|
Diversified Financial Services (0.4%) |
|||||||||||
| 9,571 | Bank of America Corp. | 78,291 | |||||||||
| Diversified Media (2.7%) | |||||||||||
| 6,565 | McGraw-Hill Cos., Inc. (The) | 295,425 | |||||||||
| 5,256 |
Naspers Ltd., Class N (South Africa) |
281,072 | |||||||||
| 576,497 | |||||||||||
See Notes to Financial Statements
42
Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Diversified Retail (13.6%) | |||||||||||
| 8,403 | Amazon.com, Inc. (a) | $ | 1,918,825 | ||||||||
| 28,782 | Groupon, Inc. (a) | 305,953 | |||||||||
| 1,068 | Priceline.com, Inc. (a) | 709,707 | |||||||||
| 2,934,485 | |||||||||||
| Electronic Components (1.3%) | |||||||||||
| 10,164 |
Sensata Technologies Holding N.V. (a) |
272,192 | |||||||||
| Financial Data & Systems (2.9%) | |||||||||||
| 8,649 | MSCI, Inc., Class A (a) | 294,239 | |||||||||
| 6,614 |
Verisk Analytics, Inc., Class A (a) |
325,806 | |||||||||
| 620,045 | |||||||||||
| Foods (0.6%) | |||||||||||
| 4,821 | Hillshire Brands Co. | 139,761 | |||||||||
| Insurance: Multi-Line (0.4%) | |||||||||||
| 2,720 |
American International Group, Inc. (a) |
87,285 | |||||||||
|
Insurance: Property-Casualty (1.8%) |
|||||||||||
| 18,151 | Progressive Corp. (The) | 378,085 | |||||||||
| Medical Equipment (3.4%) | |||||||||||
| 1,312 | Intuitive Surgical, Inc. (a) | 726,572 | |||||||||
|
Metals & Minerals: Diversified (0.8%) |
|||||||||||
| 8,044 | Molycorp, Inc. (a) | 173,348 | |||||||||
| Pharmaceuticals (2.5%) | |||||||||||
| 3,673 | Mead Johnson Nutrition Co. | 295,713 | |||||||||
| 5,650 |
Valeant Pharmaceuticals International, Inc. (Canada) (a) |
253,064 | |||||||||
| 548,777 | |||||||||||
|
Real Estate Investment Trusts (REIT) (3.7%) |
|||||||||||
| 24,152 |
Brookfield Asset Management, Inc., Class A (Canada) |
799,431 | |||||||||
|
Recreational Vehicles & Boats (3.6%) |
|||||||||||
| 27,656 | Edenred (France) | 784,758 | |||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Semiconductors & Components (0.5%) |
|||||||||||
| 7,149 | First Solar, Inc. (a) | $ | 107,664 | ||||||||
|
Wholesale & International Trade (1.6%) |
|||||||||||
| 183,633 | Li & Fung Ltd. (d) | 356,330 | |||||||||
|
Total Common Stocks (Cost $16,205,469) |
20,694,213 | ||||||||||
|
Convertible Preferred Stock (1.0%) |
|||||||||||
| Alternative Energy | |||||||||||
| 65,304 |
Better Place, Inc. (Cost $163,260) (a)(b)(c) |
216,156 | |||||||||
|
NUMBER OF SHARES (000) |
|||||||||||
| Short-Term Investment (3.9%) | |||||||||||
| Investment Company | |||||||||||
| 842 |
Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $841,656) |
841,656 | |||||||||
|
Total Investments (Cost $17,210,385) (e) |
100.6 | % | 21,752,025 | ||||||||
|
Liabilities in Excess of Other Assets |
(0.6 | ) | (125,981 | ) | |||||||
| Net Assets | 100.0 | % | $ | 21,626,044 | |||||||
See Notes to Financial Statements
43
Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Illiquid security. Resale is restricted to qualified institutional investors.
(c) At June 30, 2012, the Portfolio held fair valued securities valued at $1,166,861, representing 5.4% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.
(d) Security trades on the Hong Kong exchange.
(e) The fair value and percentage of net assets, $1,750,437 and 8.1%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.
|
SUMMARY OF INVESTMENTS INDUSTRY |
VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
|
Computer Services, Software & Systems |
$ | 4,261,040 | 19.6 | % | |||||||
| Diversified Retail | 2,934,485 | 13.5 | |||||||||
| Computer Technology | 2,157,701 | 9.9 | |||||||||
| Consumer Lending | 961,422 | 4.4 | |||||||||
| Investment Company | 841,656 | 3.9 | |||||||||
|
Real Estate Investment Trusts (REIT) |
799,431 | 3.7 | |||||||||
|
Recreational Vehicles & Boats |
784,758 | 3.6 | |||||||||
|
Communications Technology |
781,113 | 3.6 | |||||||||
| Medical Equipment | 726,572 | 3.3 | |||||||||
| Alternative Energy | 698,703 | 3.2 | |||||||||
|
Beverage: Brewers & Distillers |
660,411 | 3.0 | |||||||||
| Commercial Services | 653,393 | 3.0 | |||||||||
| Financial Data & Systems | 620,045 | 2.9 | |||||||||
| Chemicals: Diversified | 611,413 | 2.8 | |||||||||
| Diversified Media | 576,497 | 2.7 | |||||||||
| Pharmaceuticals | 548,777 | 2.5 | |||||||||
| Biotechnology | 475,108 | 2.2 | |||||||||
|
Insurance: Property-Casualty |
378,085 | 1.7 | |||||||||
|
Wholesale & International Trade |
356,330 | 1.6 | |||||||||
| Beverage: Soft Drinks | 342,701 | 1.6 | |||||||||
| Air Transport | 309,845 | 1.4 | |||||||||
|
Commercial Finance & Mortgage Companies |
289,001 | 1.3 | |||||||||
| Electronic Components | 272,192 | 1.3 | |||||||||
|
Metals & Minerals: Diversified |
173,348 | 0.8 | |||||||||
| Foods | 139,761 | 0.6 | |||||||||
|
Asset Management & Custodian |
124,997 | 0.6 | |||||||||
|
Semiconductors & Components |
107,664 | 0.5 | |||||||||
| Insurance: Multi-Line | 87,285 | 0.4 | |||||||||
|
Diversified Financial Services |
78,291 | 0.4 | |||||||||
| $ | 21,752,025 | 100.0 | % | ||||||||
See Notes to Financial Statements
44
Focus Growth
Portfolio of Investments n June 30, 2012 (unaudited)
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Common Stocks (97.9%) | |||||||||||
| Air Transport (1.9%) | |||||||||||
| 34,456 |
Expeditors International of Washington, Inc. |
$ | 1,335,170 | ||||||||
| Alternative Energy (1.8%) | |||||||||||
| 57,649 | Ultra Petroleum Corp. (a) | 1,329,962 | |||||||||
|
Asset Management & Custodian (0.8%) |
|||||||||||
| 11,048 | Citigroup, Inc.(See Note 6) | 302,826 | |||||||||
| 3,043 |
Goldman Sachs Group, Inc. (The) |
291,702 | |||||||||
| 594,528 | |||||||||||
|
Beverage: Brewers & Distillers (1.6%) |
|||||||||||
| 101,534 |
DE Master Blenders 1753 N.V. (Netherlands) (a) |
1,144,857 | |||||||||
| Biotechnology (2.8%) | |||||||||||
| 50,954 | Illumina, Inc. (a) | 2,058,032 | |||||||||
| Chemicals: Diversified (3.8%) | |||||||||||
| 32,798 | Monsanto Co. | 2,715,018 | |||||||||
|
Commercial Finance & Mortgage Companies (1.7%) |
|||||||||||
| 233,592 | BM&F Bovespa SA (Brazil) | 1,192,093 | |||||||||
| Commercial Services (1.7%) | |||||||||||
| 29,798 |
Intertek Group PLC (United Kingdom) |
1,252,337 | |||||||||
|
Communications Technology (4.0%) |
|||||||||||
| 60,024 | Motorola Solutions, Inc. | 2,887,755 | |||||||||
|
Computer Services, Software & Systems (22.3%) |
|||||||||||
| 24,267 | Baidu, Inc. ADR (China) (a) | 2,790,220 | |||||||||
| 80,307 | Facebook, Inc. (a) | 2,499,154 | |||||||||
| 109,483 |
Facebook, Inc., Class B (a)(b)(c) |
3,123,550 | |||||||||
| 6,454 | Google, Inc., Class A (a) | 3,743,772 | |||||||||
| 12,535 | LinkedIn Corp., Class A (a) | 1,332,094 | |||||||||
| 14,858 | Salesforce.com, Inc. (a) | 2,054,267 | |||||||||
| 107,218 | Zynga, Inc., Class A (a) | 583,266 | |||||||||
| 16,126,323 | |||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Computer Technology (11.8%) | |||||||||||
| 13,126 | Apple, Inc. (a) | $ | 7,665,584 | ||||||||
| 47,019 |
Yandex N.V., Class A (Russia) (a) |
895,712 | |||||||||
| 8,561,296 | |||||||||||
| Consumer Lending (3.6%) | |||||||||||
| 3,000 | Mastercard, Inc., Class A | 1,290,330 | |||||||||
| 10,820 | Visa, Inc., Class A | 1,337,677 | |||||||||
| 2,628,007 | |||||||||||
|
Diversified Financial Services (0.5%) |
|||||||||||
| 47,600 | Bank of America Corp. | 389,368 | |||||||||
| Diversified Media (1.8%) | |||||||||||
| 24,422 |
Naspers Ltd., Class N (South Africa) |
1,306,000 | |||||||||
| Diversified Retail (17.2%) | |||||||||||
| 36,278 | Amazon.com, Inc. (a) | 8,284,081 | |||||||||
| 112,708 | Groupon, Inc. (a) | 1,198,086 | |||||||||
| 4,511 | Priceline.com, Inc. (a) | 2,997,650 | |||||||||
| 12,479,817 | |||||||||||
| Financial Data & Systems (1.6%) | |||||||||||
| 33,872 | MSCI, Inc., Class A (a) | 1,152,325 | |||||||||
| Foods (0.8%) | |||||||||||
| 20,306 | Hillshire Brands Co. | 588,671 | |||||||||
| Insurance: Multi-Line (0.6%) | |||||||||||
| 13,516 |
American International Group, Inc. (a) |
433,728 | |||||||||
|
Insurance: Property-Casualty (2.1%) |
|||||||||||
| 71,906 | Progressive Corp. (The) | 1,497,802 | |||||||||
| Medical Equipment (3.9%) | |||||||||||
| 5,137 | Intuitive Surgical, Inc. (a) | 2,844,819 | |||||||||
|
Metals & Minerals: Diversified (1.0%) |
|||||||||||
| 33,756 | Molycorp, Inc. (a) | 727,442 | |||||||||
See Notes to Financial Statements
45
Focus Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Real Estate Investment Trusts (REIT) (4.3%) |
|||||||||||
| 94,830 |
Brookfield Asset Management, Inc., Class A (Canada) |
$ | 3,138,873 | ||||||||
|
Recreational Vehicles & Boats (4.0%) |
|||||||||||
| 101,018 | Edenred (France) | 2,866,457 | |||||||||
|
Semiconductors & Components (0.3%) |
|||||||||||
| 12,607 | First Solar, Inc. (a) | 189,861 | |||||||||
|
Wholesale & International Trade (2.0%) |
|||||||||||
| 750,000 | Li & Fung Ltd. (d) | 1,455,336 | |||||||||
|
Total Common Stocks (Cost $57,405,021) |
70,895,877 | ||||||||||
|
Convertible Preferred Stock (0.9%) |
|||||||||||
| Alternative Energy | |||||||||||
| 200,178 |
Better Place, Inc. (Cost $500,445) (a)(b)(c) |
662,590 | |||||||||
|
NUMBER OF SHARES (000) |
|||||||||||
| Short-Term Investment (1.4%) | |||||||||||
| Investment Company | |||||||||||
| 998 |
Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $997,881) |
997,881 | |||||||||
|
Total Investments (Cost $58,903,347) (e) |
100.2 | % | 72,556,348 | ||||||||
|
Liabilities in Excess of Other Assets |
(0.2 | ) | (146,567 | ) | |||||||
| Net Assets | 100.0 | % | $ | 72,409,781 | |||||||
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) At June 30, 2012, the Portfolio held fair valued securities valued at $3,786,140, representing 5.2% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.
(c) Illiquid security. Resale is restricted to qualified institutional investors.
(d) Security trades on the Hong Kong exchange.
(e) The fair value and percentage of net assets, $6,880,130 and 9.5%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.
See Notes to Financial Statements
46
Focus Growth
Summary of Investments n June 30, 2012 (unaudited)
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
|
Computer Services, Software & Systems |
$ | 16,126,323 | 22.2 | % | |||||||
| Diversified Retail | 12,479,817 | 17.2 | |||||||||
| Computer Technology | 8,561,296 | 11.8 | |||||||||
|
Real Estate Investment Trusts (REIT) |
3,138,873 | 4.3 | |||||||||
|
Communications Technology |
2,887,755 | 4.0 | |||||||||
|
Recreational Vehicles & Boats |
2,866,457 | 4.0 | |||||||||
| Medical Equipment | 2,844,819 | 3.9 | |||||||||
| Chemicals: Diversified | 2,715,018 | 3.7 | |||||||||
| Consumer Lending | 2,628,007 | 3.6 | |||||||||
| Biotechnology | 2,058,032 | 2.8 | |||||||||
| Alternative Energy | 1,992,552 | 2.8 | |||||||||
|
Insurance: Property-Casualty |
1,497,802 | 2.1 | |||||||||
|
Wholesale & International Trade |
1,455,336 | 2.0 | |||||||||
| Air Transport | 1,335,170 | 1.8 | |||||||||
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
| Diversified Media | $ | 1,306,000 | 1.8 | % | |||||||
| Commercial Services | 1,252,337 | 1.7 | |||||||||
|
Commercial Finance & Mortgage Companies |
1,192,093 | 1.7 | |||||||||
| Financial Data & Systems | 1,152,325 | 1.6 | |||||||||
|
Beverage: Brewers & Distillers |
1,144,857 | 1.6 | |||||||||
| Investment Company | 997,881 | 1.4 | |||||||||
|
Metals & Minerals: Diversified |
727,442 | 1.0 | |||||||||
|
Asset Management & Custodian |
594,528 | 0.8 | |||||||||
| Foods | 588,671 | 0.8 | |||||||||
| Insurance: Multi-Line | 433,728 | 0.6 | |||||||||
|
Diversified Financial Services |
389,368 | 0.5 | |||||||||
|
Semiconductors & Components |
189,861 | 0.3 | |||||||||
| $ | 72,556,348 | 100.0 | % | ||||||||
See Notes to Financial Statements
47
Multi Cap Growth
Portfolio of Investments n June 30, 2012 (unaudited)
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Common Stocks (95.8%) | |||||||||||
| Air Transport (1.6%) | |||||||||||
| 7,004 |
Expeditors International of Washington, Inc. |
$ | 271,405 | ||||||||
| Alternative Energy (3.6%) | |||||||||||
| 5,836 | Range Resources Corp. | 361,073 | |||||||||
| 10,455 | Ultra Petroleum Corp. (a) | 241,197 | |||||||||
| 602,270 | |||||||||||
|
Beverage: Brewers & Distillers (1.3%) |
|||||||||||
| 19,663 |
DE Master Blenders 1753 N.V. (Netherlands) (a) |
221,712 | |||||||||
| Biotechnology (2.3%) | |||||||||||
| 9,704 | Illumina, Inc. (a) | 391,945 | |||||||||
| Chemicals: Diversified (3.0%) | |||||||||||
| 6,190 | Monsanto Co. | 512,408 | |||||||||
|
Commercial Finance & Mortgage Companies (1.4%) |
|||||||||||
| 47,609 | BM&F Bovespa SA (Brazil) | 242,963 | |||||||||
| Commercial Services (4.6%) | |||||||||||
| 10,109 |
Intertek Group PLC (United Kingdom) |
424,856 | |||||||||
| 6,610 |
Weight Watchers International, Inc. (a) |
340,812 | |||||||||
| 765,668 | |||||||||||
|
Communications Technology (3.4%) |
|||||||||||
| 11,848 | Motorola Solutions, Inc. | 570,007 | |||||||||
|
Computer Services, Software & Systems (19.8%) |
|||||||||||
| 4,628 | Baidu, Inc. ADR (China) (a) | 532,127 | |||||||||
| 11,056 | Facebook, Inc. (a) | 344,063 | |||||||||
| 26,507 |
Facebook, Inc., Class B (a)(b)(c) |
756,245 | |||||||||
| 1,277 | Google, Inc., Class A (a) | 740,749 | |||||||||
| 4,054 | LinkedIn Corp., Class A (a) | 430,819 | |||||||||
| 3,020 | Salesforce.com, Inc. (a) | 417,545 | |||||||||
| 21,677 | Zynga, Inc., Class A (a) | 117,923 | |||||||||
| 3,339,471 | |||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Computer Technology (10.8%) | |||||||||||
| 2,600 | Apple, Inc. (a) | $ | 1,518,400 | ||||||||
| 15,437 |
Yandex N.V., Class A (Russia) (a) |
294,075 | |||||||||
| 1,812,475 | |||||||||||
| Consumer Lending (3.0%) | |||||||||||
| 590 | Mastercard, Inc., Class A | 253,765 | |||||||||
| 2,068 | Visa, Inc., Class A | 255,667 | |||||||||
| 509,432 | |||||||||||
| Diversified Retail (14.7%) | |||||||||||
| 6,630 | Amazon.com, Inc. (a) | 1,513,961 | |||||||||
| 37,137 | Groupon, Inc. (a) | 394,766 | |||||||||
| 856 | Priceline.com, Inc. (a) | 568,829 | |||||||||
| 2,477,556 | |||||||||||
| Financial Data & Systems (5.3%) | |||||||||||
| 12,065 | MSCI, Inc., Class A (a) | 410,451 | |||||||||
| 9,724 |
Verisk Analytics, Inc., Class A (a) |
479,004 | |||||||||
| 889,455 | |||||||||||
| Foods (0.7%) | |||||||||||
| 3,932 | Hillshire Brands Co. | 113,989 | |||||||||
| Health Care Services (4.3%) | |||||||||||
| 9,195 | athenahealth, Inc. (a) | 727,968 | |||||||||
|
Insurance: Property-Casualty (1.8%) |
|||||||||||
| 14,897 | Progressive Corp. (The) | 310,304 | |||||||||
| Medical Equipment (3.5%) | |||||||||||
| 1,052 | Intuitive Surgical, Inc. (a) | 582,587 | |||||||||
|
Metals & Minerals: Diversified (1.9%) |
|||||||||||
| 188,321 |
Lynas Corp., Ltd. (Australia) (a) |
166,508 | |||||||||
| 7,124 | Molycorp, Inc. (a) | 153,522 | |||||||||
| 320,030 | |||||||||||
|
Real Estate Investment Trusts (REIT) (3.6%) |
|||||||||||
| 18,456 |
Brookfield Asset Management, Inc., Class A (Canada) |
610,894 | |||||||||
See Notes to Financial Statements
48
Multi Cap Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Recreational Vehicles & Boats (3.4%) |
|||||||||||
| 19,848 | Edenred (France) | $ | 563,201 | ||||||||
|
Wholesale & International Trade (1.8%) |
|||||||||||
| 154,026 | Li & Fung Ltd. (d) | 298,880 | |||||||||
|
Total Common Stocks (Cost $12,589,523) |
16,134,620 | ||||||||||
|
Convertible Preferred Stocks (1.1%) |
|||||||||||
| Alternative Energy (0.9%) | |||||||||||
| 48,317 | Better Place, Inc. (a)(b)(c) | 159,929 | |||||||||
|
Computer Services, Software & Systems (0.2%) |
|||||||||||
| 2,142 | Workday, Inc. (a)(b)(c) | 28,403 | |||||||||
|
Total Convertible Preferred Stocks (Cost $149,195) |
188,332 | ||||||||||
|
NUMBER OF SHARES (000) |
|||||||||||
| Short-Term Investment (3.5%) | |||||||||||
| Investment Company | |||||||||||
| 593 |
Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $593,107) |
593,107 | |||||||||
|
Total Investments (Cost $13,331,825) (e) |
100.4 | % | 16,916,059 | ||||||||
|
Liabilities in Excess of Other Assets |
(0.4 | ) | (61,552 | ) | |||||||
| Net Assets | 100.0 | % | $ | 16,854,507 | |||||||
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) At June 30, 2012, the Portfolio held fair valued securities valued at $944,577, representing 5.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.
(c) Illiquid security. Resale is restricted to qualified institutional investors.
(d) Security trades on the Hong Kong exchange.
(e) The fair value and percentage of net assets, $1,453,445 and 8.6%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.
See Notes to Financial Statements
49
Multi Cap Growth
Summary of Investments n June 30, 2012 (unaudited)
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
|
Computer Services, Software & Systems |
$ | 3,367,874 | 19.9 | % | |||||||
| Diversified Retail | 2,477,556 | 14.7 | |||||||||
| Computer Technology | 1,812,475 | 10.7 | |||||||||
| Financial Data & Systems | 889,455 | 5.3 | |||||||||
| Commercial Services | 765,668 | 4.5 | |||||||||
| Alternative Energy | 762,199 | 4.5 | |||||||||
| Health Care Services | 727,968 | 4.3 | |||||||||
|
Real Estate Investment Trusts (REIT) |
610,894 | 3.6 | |||||||||
| Investment Company | 593,107 | 3.5 | |||||||||
| Medical Equipment | 582,587 | 3.5 | |||||||||
|
Communications Technology |
570,007 | 3.4 | |||||||||
|
Recreational Vehicles & Boats |
563,201 | 3.3 | |||||||||
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
| Chemicals: Diversified | $ | 512,408 | 3.0 | % | |||||||
| Consumer Lending | 509,432 | 3.0 | |||||||||
| Biotechnology | 391,945 | 2.3 | |||||||||
|
Metals & Minerals: Diversified |
320,030 | 1.9 | |||||||||
|
Insurance: Property-Casualty |
310,304 | 1.8 | |||||||||
|
Wholesale & International Trade |
298,880 | 1.8 | |||||||||
| Air Transport | 271,405 | 1.6 | |||||||||
|
Commercial Finance & Mortgage Companies |
242,963 | 1.4 | |||||||||
|
Beverage: Brewers & Distillers |
221,712 | 1.3 | |||||||||
| Foods | 113,989 | 0.7 | |||||||||
| $ | 16,916,059 | 100.0 | % | ||||||||
See Notes to Financial Statements
50
Mid Cap Growth
Portfolio of Investments n June 30, 2012 (unaudited)
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Common Stocks (94.4%) | |||||||||||
| Air Transport (1.8%) | |||||||||||
| 12,114 |
Expeditors International of Washington, Inc. |
$ | 469,418 | ||||||||
| Alternative Energy (3.0%) | |||||||||||
| 8,254 | Range Resources Corp. | 510,675 | |||||||||
| 12,006 | Ultra Petroleum Corp. (a) | 276,978 | |||||||||
| 787,653 | |||||||||||
|
Asset Management & Custodian (0.6%) |
|||||||||||
| 4,326 | Greenhill & Co., Inc. | 154,222 | |||||||||
|
Beverage: Brewers & Distillers (1.4%) |
|||||||||||
| 31,734 |
DE Master Blenders 1753 N.V. (Netherlands) (a) |
357,820 | |||||||||
| Biotechnology (4.3%) | |||||||||||
| 5,164 | IDEXX Laboratories, Inc. (a) | 496,415 | |||||||||
| 15,605 | Illumina, Inc. (a) | 630,286 | |||||||||
| 1,126,701 | |||||||||||
| Cement (1.1%) | |||||||||||
| 3,581 |
Martin Marietta Materials, Inc. |
282,254 | |||||||||
| Chemicals: Diversified (2.5%) | |||||||||||
| 12,566 | Intrepid Potash, Inc. (a) | 286,002 | |||||||||
| 8,291 | Rockwood Holdings, Inc. | 367,706 | |||||||||
| 653,708 | |||||||||||
| Commercial Services (7.8%) | |||||||||||
| 12,692 | Gartner, Inc. (a) | 546,391 | |||||||||
| 16,641 |
Intertek Group PLC (United Kingdom) |
699,380 | |||||||||
| 3,557 | MercadoLibre, Inc. (Brazil) | 269,621 | |||||||||
| 10,482 |
Weight Watchers International, Inc. (a) |
540,452 | |||||||||
| 2,055,844 | |||||||||||
|
Communications Technology (3.9%) |
|||||||||||
| 19,406 | Motorola Solutions, Inc. | 933,623 | |||||||||
| 12,710 |
Research In Motion Ltd. (Canada) (a) |
93,927 | |||||||||
| 1,027,550 | |||||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Computer Services, Software & Systems (15.4%) |
|||||||||||
| 13,406 | Akamai Technologies, Inc. (a) | $ | 425,640 | ||||||||
| 4,871 | Citrix Systems, Inc. (a) | 408,872 | |||||||||
| 5,038 | IHS, Inc., Class A (a) | 542,744 | |||||||||
| 6,543 | LinkedIn Corp., Class A (a) | 695,325 | |||||||||
| 7,389 | Red Hat, Inc. (a) | 417,331 | |||||||||
| 4,156 | Salesforce.com, Inc. (a) | 574,608 | |||||||||
| 2,487 | SINA Corp. (China) (a) | 128,851 | |||||||||
| 12,709 | Solera Holdings, Inc. | 531,109 | |||||||||
| 39,180 | Zynga, Inc., Class A (a) | 213,139 | |||||||||
| 17,620 | Zynga, Inc., Class B (a) | 95,853 | |||||||||
| 4,033,472 | |||||||||||
| Computer Technology (3.7%) | |||||||||||
| 15,229 | Dropbox, Inc. (a)(b)(c) | 137,809 | |||||||||
| 24,420 |
Yandex N.V., Class A (Russia) (a) |
465,201 | |||||||||
| 16,833 |
Youku.com, Inc. ADR (China) (a) |
364,939 | |||||||||
| 967,949 | |||||||||||
| Consumer Lending (1.6%) | |||||||||||
| 3,131 |
IntercontinentalExchange, Inc. (a) |
425,753 | |||||||||
|
Consumer Services: Miscellaneous (1.8%) |
|||||||||||
| 43,579 | Qualicorp SA (Brazil) (a) | 381,004 | |||||||||
| 82,000 |
Sun Art Retail Group Ltd. (Hong Kong) |
90,058 | |||||||||
| 471,062 | |||||||||||
|
Diversified Materials & Processing (0.1%) |
|||||||||||
| 340 |
Schindler Holding AG (Switzerland) |
38,022 | |||||||||
| Diversified Media (3.1%) | |||||||||||
| 4,144 |
Factset Research Systems, Inc. |
385,143 | |||||||||
| 9,319 | McGraw-Hill Cos., Inc. (The) | 419,355 | |||||||||
| 804,498 | |||||||||||
See Notes to Financial Statements
51
Mid Cap Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
| Diversified Retail (5.6%) | |||||||||||
| 9,170 | Dollar Tree, Inc. (a) | $ | 493,346 | ||||||||
| 8,905 | Fastenal Co. | 358,961 | |||||||||
| 26,190 | Groupon, Inc. (a) | 278,400 | |||||||||
| 33,164 | Groupon, Inc., Series A (a) | 352,533 | |||||||||
| 1,483,240 | |||||||||||
| Education Services (1.4%) | |||||||||||
| 15,388 |
New Oriental Education & Technology Group ADR (China) (a) |
377,006 | |||||||||
| Electronic Components (1.4%) | |||||||||||
| 13,330 |
Sensata Technologies Holding N.V. (a) |
356,977 | |||||||||
| Financial Data & Systems (5.7%) | |||||||||||
| 20,148 | MSCI, Inc., Class A (a) | 685,435 | |||||||||
| 16,485 |
Verisk Analytics, Inc., Class A (a) |
812,051 | |||||||||
| 1,497,486 | |||||||||||
| Foods (0.7%) | |||||||||||
| 6,346 | Hillshire Brands Co. | 183,971 | |||||||||
| Health Care Services (3.9%) | |||||||||||
| 5,755 | athenahealth, Inc. (a) | 455,623 | |||||||||
| 6,352 | Stericycle, Inc. (a) | 582,288 | |||||||||
| 1,037,911 | |||||||||||
|
Insurance: Property-Casualty (1.8%) |
|||||||||||
| 22,406 | Progressive Corp. (The) | 466,717 | |||||||||
| Media (0.6%) | |||||||||||
| 153 |
Legend Pictures LLC Ltd. (a)(b)(c) |
163,577 | |||||||||
|
Medical & Dental Instruments & Supplies (1.4%) |
|||||||||||
| 4,950 | Techne Corp. | 367,290 | |||||||||
| Medical Equipment (3.6%) | |||||||||||
| 1,715 | Intuitive Surgical, Inc. (a) | 949,750 | |||||||||
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Metals & Minerals: Diversified (1.2%) |
|||||||||||
| 93,709 |
Lynas Corp., Ltd. (Australia) (a) |
$ | 82,855 | ||||||||
| 10,494 | Molycorp, Inc. (a) | 226,145 | |||||||||
| 309,000 | |||||||||||
| Pharmaceuticals (3.5%) | |||||||||||
| 13,798 |
Ironwood Pharmaceuticals, Inc. (a) |
190,137 | |||||||||
| 4,873 | Mead Johnson Nutrition Co. | 392,325 | |||||||||
| 7,495 |
Valeant Pharmaceuticals International, Inc. (Canada) (a) |
335,701 | |||||||||
| 918,163 | |||||||||||
| Publishing (1.4%) | |||||||||||
| 6,216 | Morningstar, Inc. | 359,533 | |||||||||
|
Recreational Vehicles & Boats (3.6%) |
|||||||||||
| 33,347 | Edenred (France) | 946,245 | |||||||||
| Restaurants (1.5%) | |||||||||||
| 11,115 | Dunkin' Brands Group, Inc. | 381,689 | |||||||||
|
Scientific Instruments: Pollution Control (1.2%) |
|||||||||||
| 18,388 | Covanta Holding Corp. | 315,354 | |||||||||
|
Semiconductors & Components (0.5%) |
|||||||||||
| 8,921 | First Solar, Inc. (a) | 134,350 | |||||||||
| Utilities: Electrical (3.3%) | |||||||||||
| 26,071 |
Brookfield Infrastructure Partners LP (Canada) |
875,204 | |||||||||
|
Total Common Stocks (Cost $23,207,562) |
24,779,389 | ||||||||||
See Notes to Financial Statements
52
Mid Cap Growth
Portfolio of Investments n June 30, 2012 (unaudited) continued
|
NUMBER OF SHARES |
|
VALUE | |||||||||
|
Convertible Preferred Stocks (1.3%) |
|||||||||||
| Alternative Energy (0.8%) | |||||||||||
| 67,268 |
Better Place, Inc. (a)(b)(c) |
$ | 222,657 | ||||||||
|
Computer Services, Software & Systems (0.2%) |
|||||||||||
| 3,419 | Workday, Inc. (a)(b)(c) | 45,336 | |||||||||
| Computer Technology (0.1%) | |||||||||||
| 1,479 |
Dropbox, Inc., Series A (a)(b)(c) |
13,384 | |||||||||
|
Technology: Miscellaneous (0.2%) |
|||||||||||
| 2,438 |
Peixe Urbano, Inc. (Brazil) (a)(b)(c) |
68,264 | |||||||||
|
Total Convertible Preferred Stocks (Cost $307,149) |
349,641 | ||||||||||
|
NUMBER OF SHARES (000) |
|||||||||||
| Short-Term Investment (3.7%) | |||||||||||
| Investment Company | |||||||||||
| 960 |
Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (See Note 6) (Cost $960,279) |
960,279 | |||||||||
|
Total Investments (Cost $24,474,990) (d) |
99.4 | % | 26,089,309 | ||||||||
|
Other Assets in Excess of Liabilities |
0.6 | 167,476 | |||||||||
| Net Assets | 100.0 | % | $ | 26,256,785 | |||||||
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Illiquid security. Resale is restricted to qualified institutional investors.
(c) At June 30, 2012, the Portfolio held fair valued securities valued at $651,027, representing 2.5% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees.
(d) The fair value and percentage of net assets, $1,856,560 and 7.1%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note 1A within the Notes to the Financial Statements.
See Notes to Financial Statements
53
Mid Cap Growth
Summary of Investments n June 30, 2012 (unaudited)
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
|
Computer Services, Software & Systems |
$ | 4,078,808 | 15.6 | % | |||||||
| Commercial Services | 2,055,844 | 7.9 | |||||||||
| Financial Data & Systems | 1,497,486 | 5.7 | |||||||||
| Diversified Retail | 1,483,240 | 5.7 | |||||||||
| Biotechnology | 1,126,701 | 4.3 | |||||||||
| Health Care Services | 1,037,911 | 4.0 | |||||||||
|
Communications Technology |
1,027,550 | 3.9 | |||||||||
| Alternative Energy | 1,010,310 | 3.9 | |||||||||
| Computer Technology | 981,333 | 3.8 | |||||||||
| Investment Company | 960,279 | 3.7 | |||||||||
| Medical Equipment | 949,750 | 3.6 | |||||||||
|
Recreational Vehicles & Boats |
946,245 | 3.6 | |||||||||
| Pharmaceuticals | 918,163 | 3.5 | |||||||||
| Utilities: Electrical | 875,204 | 3.4 | |||||||||
| Diversified Media | 804,498 | 3.1 | |||||||||
| Chemicals: Diversified | 653,708 | 2.5 | |||||||||
|
Consumer Services: Miscellaneous |
471,062 | 1.8 | |||||||||
| Air Transport | 469,418 | 1.8 | |||||||||
|
Insurance: Property-Casualty |
466,717 | 1.8 | |||||||||
| INDUSTRY | VALUE |
PERCENT OF TOTAL INVESTMENTS |
|||||||||
| Consumer Lending | $ | 425,753 | 1.6 | % | |||||||
| Restaurants | 381,689 | 1.5 | |||||||||
| Education Services | 377,006 | 1.4 | |||||||||
|
Medical & Dental Instruments & Supplies |
367,290 | 1.4 | |||||||||
| Publishing | 359,533 | 1.4 | |||||||||
|
Beverage: Brewers & Distillers |
357,820 | 1.4 | |||||||||
| Electronic Components | 356,977 | 1.4 | |||||||||
|
Scientific Instruments: Pollution Control |
315,354 | 1.2 | |||||||||
|
Metals & Minerals: Diversified |
309,000 | 1.2 | |||||||||
| Cement | 282,254 | 1.1 | |||||||||
| Foods | 183,971 | 0.7 | |||||||||
| Media | 163,577 | 0.6 | |||||||||
|
Asset Management & Custodian |
154,222 | 0.6 | |||||||||
|
Semiconductors & Components |
134,350 | 0.5 | |||||||||
|
Technology: Miscellaneous |
68,264 | 0.3 | |||||||||
|
Diversified Materials & Processing |
38,022 | 0.1 | |||||||||
| $ | 26,089,309 | 100.0 | % | ||||||||
See Notes to Financial Statements
54
(This page has been intentionally left blank.)
Morgan Stanley Select Dimensions Investment Series
Financial Statements
Statements of Assets and Liabilities
June 30, 2012 (unaudited)
|
Money Market |
Flexible Income |
Global Infrastructure |
Growth | ||||||||||||||||
| Assets: | |||||||||||||||||||
| Investments in securities, at value* | $ | 73,253,151 | (1) | $ | 22,308,380 | $ | 26,461,836 | $ | 20,845,572 | ||||||||||
| Investment in affiliates, at value** | — | 360,203 | 419,326 | 906,453 | |||||||||||||||
| Total investments in securities, at value | 73,253,151 | 22,668,583 | 26,881,162 | 21,752,025 | |||||||||||||||
| Unrealized appreciation on open swap agreements | — | 147,849 | — | — | |||||||||||||||
| Unrealized appreciation on open foreign currency exchange contracts | — | 2,632 | — | — | |||||||||||||||
| Cash | 12,924 | 2,572 | (2) | 59,342 | (2) | — | |||||||||||||
| Due from broker | — | 71,796 | — | — | |||||||||||||||
| Receivable for: | |||||||||||||||||||
| Shares of beneficial interest sold | 369,050 | — | 16,146 | — | |||||||||||||||
| Interest | 14,609 | 326,564 | — | — | |||||||||||||||
| Dividends | — | — | 240,476 | 7,889 | |||||||||||||||
| Investments sold | — | 49,795 | 96,186 | — | |||||||||||||||
| Foreign withholding taxes reclaimed | — | 515 | 13,310 | 3,971 | |||||||||||||||
| Interest and dividends from affiliates | — | 1,619 | 11 | 162 | |||||||||||||||
| Prepaid expenses and other assets | 4,337 | 1,630 | 2,607 | 3,339 | |||||||||||||||
| Total Assets | 73,654,071 | 23,273,555 | 27,309,240 | 21,767,386 | |||||||||||||||
| Liabilities: | |||||||||||||||||||
| Unrealized depreciation on open swap agreements | — | 153,129 | — | — | |||||||||||||||
| Unrealized depreciation on open foreign currency exchange contracts | — | 4,600 | — | — | |||||||||||||||
| Payable for: | |||||||||||||||||||
| Investments purchased | 1,000,000 | 200,292 | 74,142 | 12,146 | |||||||||||||||
| Shares of beneficial interest redeemed | 21,282 | 12,149 | 49,130 | 87,737 | |||||||||||||||
| Advisory fee | 6,215 | 6,030 | 12,339 | 8,597 | |||||||||||||||
| Administration fee | 2,936 | 1,513 | 1,734 | 1,394 | |||||||||||||||
| Distribution fee (Class Y) | — | 2,503 | 1,520 | 2,390 | |||||||||||||||
| Transfer agent fee | 173 | 176 | 176 | 177 | |||||||||||||||
| Accrued expenses and other payables | 36,575 | 49,071 | 44,097 | 28,901 | |||||||||||||||
| Total Liabilities | 1,067,181 | 429,463 | 183,138 | 141,342 | |||||||||||||||
| Net Assets | $ | 72,586,890 | $ | 22,844,092 | $ | 27,126,102 | $ | 21,626,044 | |||||||||||
| Composition of Net Assets: | |||||||||||||||||||
| Paid-in-capital | $ | 72,583,189 | $ | 37,722,891 | $ | 20,868,384 | $ | 15,877,665 | |||||||||||
| Net unrealized appreciation (depreciation) | — | 961,417 | 4,958,495 | 4,541,481 | |||||||||||||||
| Accumulated undistributed net investment income (net investment loss) | 5,229 | 524,233 | 359,973 | 27,859 | |||||||||||||||
| Accumulated net realized gain (loss) | (1,528 | ) | (16,364,449 | ) | 939,250 | 1,179,039 | |||||||||||||
| Net Assets | $ | 72,586,890 | $ | 22,844,092 | $ | 27,126,102 | $ | 21,626,044 | |||||||||||
| * Cost | $ | 73,253,151 | $ | 21,334,536 | $ | 21,505,035 | $ | 16,307,293 | |||||||||||
| ** Affiliated Cost | $ | — | $ | 342,876 | $ | 419,326 | $ | 903,092 | |||||||||||
| Class X Shares: | |||||||||||||||||||
| Net Assets | $ | 24,947,510 | $ | 10,550,163 | $ | 19,464,250 | $ | 9,732,221 | |||||||||||
| Shares Outstanding (unlimited shares authorized, $0.01 par value) | 24,946,572 | 1,758,388 | 868,695 | 409,064 | |||||||||||||||
| Net Asset Value Per Share | $ | 1.00 | $ | 6.00 | $ | 22.41 | $ | 23.79 | |||||||||||
| Class Y Shares: | |||||||||||||||||||
| Net Assets | $ | 47,639,380 | $ | 12,293,929 | $ | 7,661,852 | $ | 11,893,823 | |||||||||||
| Shares Outstanding (unlimited shares authorized, $0.01 par value) | 47,636,617 | 2,059,381 | 342,116 | 512,241 | |||||||||||||||
| Net Asset Value Per Share | $ | 1.00 | $ | 5.97 | $ | 22.40 | $ | 23.22 | |||||||||||
(1) Including repurchase agreements of $36,760,000.
(2) Including foreign currency valued at $2,572, $59,342 and $220,998, respectively with a cost of $2,592, $59,002 and $220,990, respectively.
See Notes to Financial Statements
56
|
Focus Growth |
Multi Cap Growth |
Mid Cap Growth |
|||||||||||||
| Assets: | |||||||||||||||
| Investments in securities, at value* | $ | 71,255,641 | $ | 16,322,952 | $ | 25,129,030 | |||||||||
| Investment in affiliates, at value** | 1,300,707 | 593,107 | 960,279 | ||||||||||||
| Total investments in securities, at value | 72,556,348 | 16,916,059 | 26,089,309 | ||||||||||||
| Unrealized appreciation on open swap agreements | — | — | — | ||||||||||||
| Unrealized appreciation on open foreign currency exchange contracts | — | — | — | ||||||||||||
| Cash | — | — | 220,998 | (2) | |||||||||||
| Due from broker | — | — | — | ||||||||||||
| Receivable for: | |||||||||||||||
| Shares of beneficial interest sold | — | — | — | ||||||||||||
| Interest | — | — | — | ||||||||||||
| Dividends | 27,051 | 6,794 | 13,613 | ||||||||||||
| Investments sold | — | — | 53,000 | ||||||||||||
| Foreign withholding taxes reclaimed | 3,573 | — | 1,508 | ||||||||||||
| Interest and dividends from affiliates | 275 | 122 | 212 | ||||||||||||
| Prepaid expenses and other assets | 5,861 | 4,876 | 3,985 | ||||||||||||
| Total Assets | 72,593,108 | 16,927,851 | 26,382,625 | ||||||||||||
| Liabilities: | |||||||||||||||
| Unrealized depreciation on open swap agreements | — | — | — | ||||||||||||
| Unrealized depreciation on open foreign currency exchange contracts | — | — | — | ||||||||||||
| Payable for: | |||||||||||||||
| Investments purchased | 49,086 | 16,034 | 57,796 | ||||||||||||
| Shares of beneficial interest redeemed | 53,819 | 4,785 | 24,192 | ||||||||||||
| Advisory fee | 31,462 | 8,977 | 8,779 | ||||||||||||
| Administration fee | 4,648 | 1,082 | 1,701 | ||||||||||||
| Distribution fee (Class Y) | 3,299 | 1,770 | 1,540 | ||||||||||||
| Transfer agent fee | 214 | 156 | 178 | ||||||||||||
| Accrued expenses and other payables | 40,799 | 40,540 | 31,654 | ||||||||||||
| Total Liabilities | 183,327 | 73,344 | 125,840 | ||||||||||||
| Net Assets | $ | 72,409,781 | $ | 16,854,507 | $ | 26,256,785 | |||||||||
| Composition of Net Assets: | |||||||||||||||
| Paid-in-capital | $ | 55,741,330 | $ | 12,546,659 | $ | 24,652,982 | |||||||||
| Net unrealized appreciation (depreciation) | 13,652,920 | 3,584,217 | 1,614,275 | ||||||||||||
| Accumulated undistributed net investment income (net investment loss) | 182,094 | (23,334 | ) | 81,177 | |||||||||||
| Accumulated net realized gain (loss) | 2,833,437 | 746,965 | (91,649 | ) | |||||||||||
| Net Assets | $ | 72,409,781 | $ | 16,854,507 | $ | 26,256,785 | |||||||||
| * Cost | $ | 57,552,331 | $ | 12,738,718 | $ | 23,514,711 | |||||||||
| ** Affiliated Cost | $ | 1,351,016 | $ | 593,107 | $ | 960,279 | |||||||||
| Class X Shares: | |||||||||||||||
| Net Assets | $ | 55,951,620 | $ | 8,029,192 | $ | 18,647,364 | |||||||||
| Shares Outstanding (unlimited shares authorized, $0.01 par value) | 2,474,777 | 515,428 | 578,188 | ||||||||||||
| Net Asset Value Per Share | $ | 22.61 | $ | 15.58 | $ | 32.25 | |||||||||
| Class Y Shares: | |||||||||||||||
| Net Assets | $ | 16,458,161 | $ | 8,825,315 | $ | 7,609,421 | |||||||||
| Shares Outstanding (unlimited shares authorized, $0.01 par value) | 740,452 | 585,180 | 241,518 | ||||||||||||
| Net Asset Value Per Share | $ | 22.23 | $ | 15.08 | $ | 31.51 | |||||||||
57
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Operations
For the six months ended June 30, 2012 (unaudited)
|
Money Market |
Flexible Income |
Global Infrastructure |
Growth | ||||||||||||||||
| Net Investment Income: | |||||||||||||||||||
| Income | |||||||||||||||||||
| Dividends† | $ | — | $ | 2,898 | $ | 540,236 | $ | 167,226 | |||||||||||
| Interest† | 106,247 | 693,603 | — | — | |||||||||||||||
| Interest and dividends from affiliates (Note 6) | — | 5,880 | 207 | 537 | |||||||||||||||
| Total Income | 106,247 | 702,381 | 540,443 | 167,763 | |||||||||||||||
| †Net of foreign withholding taxes | — | — | 29,983 | 4,712 | |||||||||||||||
| Expenses | |||||||||||||||||||
| Advisory fee (Note 4) | 176,231 | 37,846 | 78,561 | 58,435 | |||||||||||||||
| Professional fees | 22,654 | 27,807 | 26,306 | 20,818 | |||||||||||||||
| Distribution fee (Class Y shares) (Note 5) | 64,998 | 15,530 | 9,660 | 16,471 | |||||||||||||||
| Administration fee (Note 4) | 19,581 | 9,462 | 11,026 | 9,350 | |||||||||||||||
| Custodian fees | 10,980 | 12,666 | 13,736 | 4,288 | |||||||||||||||
| Shareholder reports and notices | 11,709 | 6,441 | 9,371 | 7,878 | |||||||||||||||
| Trustees' fees and expenses | 2,008 | 891 | 1,754 | 927 | |||||||||||||||
| Transfer agent fees and expenses | 1,012 | 1,009 | 1,009 | 1,010 | |||||||||||||||
| Other | 4,237 | 22,376 | 7,847 | 6,535 | |||||||||||||||
| Total Expenses | 313,410 | 134,028 | 159,270 | 125,712 | |||||||||||||||
| Less: amounts waived (Note 5) | (211,112 | ) | — | — | — | ||||||||||||||
| Less: rebate from Morgan Stanley affiliated cash sweep (Note 6) | — | (483 | ) | (217 | ) | (416 | ) | ||||||||||||
| Net Expenses | 102,298 | 133,545 | 159,053 | 125,296 | |||||||||||||||
| Net Investment Income (Loss) | 3,949 | 568,836 | 381,390 | 42,467 | |||||||||||||||
| Realized and Unrealized Gain (Loss): | |||||||||||||||||||
| Realized Gain (Loss) on: | |||||||||||||||||||
| Investments | 2 | 459,937 | 1,070,363 | 1,343,969 | |||||||||||||||
| Investments in affiliates (Note 6) | — | — | — | 647 | |||||||||||||||
| Futures contracts | — | (82,466 | ) | — | — | ||||||||||||||
| Swap agreements | — | (86,581 | ) | — | — | ||||||||||||||
| Foreign currency exchange contracts | — | (1,894 | ) | — | — | ||||||||||||||
| Foreign currency translation | — | (515 | ) | 2,307 | (666 | ) | |||||||||||||
| Net Realized Gain (Loss) | 2 | 288,481 | 1,072,670 | 1,343,950 | |||||||||||||||
| Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||
| Investments | — | 408,394 | 360,476 | 1,034,772 | |||||||||||||||
| Investments in affiliates (Note 6) | — | 6,548 | — | 2,373 | |||||||||||||||
| Futures contracts | — | 4,206 | — | — | |||||||||||||||
| Swap agreements | — | 43,834 | — | — | |||||||||||||||
| Foreign currency exchange contracts | — | 1,154 | — | — | |||||||||||||||
| Foreign currency translation | — | 2,367 | 2,239 | 158 | |||||||||||||||
| Net Change in Unrealized Appreciation/Depreciation | — | 466,503 | 362,715 | 1,037,303 | |||||||||||||||
| Net Gain | 2 | 754,984 | 1,435,385 | 2,381,253 | |||||||||||||||
| Net Increase | $ | 3,951 | $ | 1,323,820 | $ | 1,816,775 | $ | 2,423,720 | |||||||||||
See Notes to Financial Statements
58
|
Focus Growth |
Multi Cap Growth |
Mid Cap Growth |
|||||||||||||
| Net Investment Income: | |||||||||||||||
| Income | |||||||||||||||
| Dividends† | $ | 566,649 | $ | 117,792 | $ | 218,645 | |||||||||
| Interest† | — | — | — | ||||||||||||
| Interest and dividends from affiliates (Note 6) | 1,898 | 504 | 726 | ||||||||||||
| Total Income | 568,547 | 118,296 | 219,371 | ||||||||||||
| †Net of foreign withholding taxes | 17,199 | 3,419 | 5,581 | ||||||||||||
| Expenses | |||||||||||||||
| Advisory fee (Note 4) | 208,235 | 59,343 | 59,005 | ||||||||||||
| Professional fees | 28,213 | 28,251 | 26,602 | ||||||||||||
| Distribution fee (Class Y shares) (Note 5) | 21,718 | 11,670 | 10,081 | ||||||||||||
| Administration fee (Note 4) | 30,567 | 7,086 | 11,239 | ||||||||||||
| Custodian fees | 5,570 | 4,870 | 8,944 | ||||||||||||
| Shareholder reports and notices | 6,790 | 4,644 | 9,786 | ||||||||||||
| Trustees' fees and expenses | 1,682 | 809 | 1,419 | ||||||||||||
| Transfer agent fees and expenses | 1,256 | 990 | 1,011 | ||||||||||||
| Other | 7,147 | 8,433 | 9,729 | ||||||||||||
| Total Expenses | 311,178 | 126,096 | 137,816 | ||||||||||||
| Less: amounts waived (Note 5) | — | — | — | ||||||||||||
| Less: rebate from Morgan Stanley affiliated cash sweep (Note 6) | (1,425 | ) | (475 | ) | (674 | ) | |||||||||
| Net Expenses | 309,753 | 125,621 | 137,142 | ||||||||||||
| Net Investment Income (Loss) | 258,794 | (7,325 | ) | 82,229 | |||||||||||
| Realized and Unrealized Gain (Loss): | |||||||||||||||
| Realized Gain (Loss) on: | |||||||||||||||
| Investments | 2,842,211 | 747,186 | (43,021 | ) | |||||||||||
| Investments in affiliates (Note 6) | 1,350 | — | — | ||||||||||||
| Futures contracts | — | — | — | ||||||||||||
| Swap agreements | — | — | — | ||||||||||||
| Foreign currency exchange contracts | — | — | — | ||||||||||||
| Foreign currency translation | (738 | ) | (53 | ) | (3,286 | ) | |||||||||
| Net Realized Gain (Loss) | 2,842,823 | 747,133 | (46,307 | ) | |||||||||||
| Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||
| Investments | 4,794,453 | 812,646 | 1,757,117 | ||||||||||||
| Investments in affiliates (Note 6) | (50,309 | ) | — | — | |||||||||||
| Futures contracts | — | — | — | ||||||||||||
| Swap agreements | — | — | — | ||||||||||||
| Foreign currency exchange contracts | — | — | — | ||||||||||||
| Foreign currency translation | 805 | 163 | 57 | ||||||||||||
| Net Change in Unrealized Appreciation/Depreciation | 4,744,949 | 812,809 | 1,757,174 | ||||||||||||
| Net Gain | 7,587,772 | 1,559,942 | 1,710,867 | ||||||||||||
| Net Increase | $ | 7,846,566 | $ | 1,552,617 | $ | 1,793,096 | |||||||||
59
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets
| Money Market | Flexible Income | Global Infrastructure | |||||||||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||||||||
| (unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
| Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
| Operations: | |||||||||||||||||||||||||||
| Net investment income (loss) | $ | 3,949 | $ | 9,366 | $ | 568,836 | $ | 1,428,092 | $ | 381,390 | $ | 631,992 | |||||||||||||||
| Net realized gain (loss) | 2 | (1,549 | ) | 288,481 | 195,884 | 1,072,670 | 2,497,127 | ||||||||||||||||||||
| Net change in unrealized appreciation/depreciation | — | — | 466,503 | (505,679 | ) | 362,715 | 1,142,913 | ||||||||||||||||||||
| Net Increase (Decrease) | 3,951 | 7,817 | 1,323,820 | 1,118,297 | 1,816,775 | 4,272,032 | |||||||||||||||||||||
| Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
| Net investment income | |||||||||||||||||||||||||||
| Class X shares | (1,320 | ) | (2,982 | ) | (689,754 | ) | (790,731 | ) | (438,478 | ) | (586,125 | ) | |||||||||||||||
| Class Y shares | (2,607 | ) | (6,385 | ) | (775,294 | ) | (838,939 | ) | (151,957 | ) | (208,666 | ) | |||||||||||||||
| Net realized gain | |||||||||||||||||||||||||||
| Class X shares | — | — | — | — | (1,819,783 | ) | (1,282,100 | ) | |||||||||||||||||||
| Class Y shares | — | — | — | — | (715,240 | ) | (506,405 | ) | |||||||||||||||||||
| Total Dividends and Distributions | (3,927 | ) | (9,367 | ) | (1,465,048 | ) | (1,629,670 | ) | (3,125,458 | ) | (2,583,296 | ) | |||||||||||||||
|
Net increase (decrease) from transactions in shares of beneficial interest |
(11,048,622 | ) | (16,648,095 | ) | (947,978 | ) | (3,014,435 | ) | 289,428 | (4,268,842 | ) | ||||||||||||||||
| Net Increase (Decrease) | (11,048,598 | ) | (16,649,645 | ) | (1,089,206 | ) | (3,525,808 | ) | (1,019,255 | ) | (2,580,106 | ) | |||||||||||||||
| Net Assets: | |||||||||||||||||||||||||||
| Beginning of period | 83,635,488 | 100,285,133 | 23,933,298 | 27,459,106 | 28,145,357 | 30,725,463 | |||||||||||||||||||||
| End of Period | $ | 72,586,890 | $ | 83,635,488 | $ | 22,844,092 | $ | 23,933,298 | $ | 27,126,102 | $ | 28,145,357 | |||||||||||||||
|
Accumulated Undistributed Net Investment Income (Loss) |
$ | 5,229 | $ | 5,207 | $ | 524,233 | $ | 1,420,445 | $ | 359,973 | $ | 569,018 | |||||||||||||||
See Notes to Financial Statements
60
| Growth | Focus Growth | ||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||
| (unaudited) | (unaudited) | ||||||||||||||||||
| Increase (Decrease) in Net Assets: | |||||||||||||||||||
| Operations: | |||||||||||||||||||
| Net investment income (loss) | $ | 42,467 | $ | (87,190 | ) | $ | 258,794 | $ | (105,629 | ) | |||||||||
| Net realized gain (loss) | 1,343,950 | 4,219,867 | 2,842,823 | 10,903,216 | |||||||||||||||
| Net change in unrealized appreciation/depreciation | 1,037,303 | (4,659,700 | ) | 4,744,949 | (14,661,098 | ) | |||||||||||||
| Net Increase (Decrease) | 2,423,720 | (527,023 | ) | 7,846,566 | (3,863,511 | ) | |||||||||||||
| Dividends and Distributions to Shareholders from: | |||||||||||||||||||
| Net investment income | |||||||||||||||||||
| Class X shares | — | — | — | — | |||||||||||||||
| Class Y shares | — | — | — | — | |||||||||||||||
| Net realized gain | |||||||||||||||||||
| Class X shares | (443,966 | ) | — | (1,852,844 | ) | — | |||||||||||||
| Class Y shares | (552,326 | ) | — | (553,913 | ) | — | |||||||||||||
| Total Dividends and Distributions | (996,292 | ) | — | (2,406,757 | ) | — | |||||||||||||
|
Net increase (decrease) from transactions in shares of beneficial interest |
(1,955,314 | ) | (6,566,694 | ) | (5,039,361 | ) | (18,076,585 | ) | |||||||||||
| Net Increase (Decrease) | (527,886 | ) | (7,093,717 | ) | 400,448 | (21,940,096 | ) | ||||||||||||
| Net Assets: | |||||||||||||||||||
| Beginning of period | 22,153,930 | 29,247,647 | 72,009,333 | 93,949,429 | |||||||||||||||
| End of Period | $ | 21,626,044 | $ | 22,153,930 | $ | 72,409,781 | $ | 72,009,333 | |||||||||||
|
Accumulated Undistributed Net Investment Income (Loss) |
$ | 27,859 | $ | (14,608 | ) | $ | 182,094 | $ | (76,700 | ) | |||||||||
61
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
| Multi Cap Growth | Mid Cap Growth | ||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||
| (unaudited) | (unaudited) | ||||||||||||||||||
| Increase (Decrease) in Net Assets: | |||||||||||||||||||
| Operations: | |||||||||||||||||||
| Net investment income (loss) | $ | (7,325 | ) | $ | (144,516 | ) | $ | 82,229 | $ | (89,696 | ) | ||||||||
| Net realized gain (loss) | 747,133 | 3,438,750 | (46,307 | ) | 4,377,600 | ||||||||||||||
| Net change in unrealized appreciation/depreciation | 812,809 | (4,645,205 | ) | 1,757,174 | (6,164,401 | ) | |||||||||||||
| Net Increase (Decrease) | 1,552,617 | (1,350,971 | ) | 1,793,096 | (1,876,497 | ) | |||||||||||||
| Dividends and Distributions to Shareholders from: | |||||||||||||||||||
| Net investment income | |||||||||||||||||||
| Class X shares | — | — | — | (80,806 | ) | ||||||||||||||
| Class Y shares | — | — | — | (15,788 | ) | ||||||||||||||
| Net realized gain | |||||||||||||||||||
| Class X shares | (537,907 | ) | — | (1,395,029 | ) | — | |||||||||||||
| Class Y shares | (609,634 | ) | — | (581,952 | ) | — | |||||||||||||
| Total Dividends and Distributions | (1,147,541 | ) | — | (1,976,981 | ) | (96,594 | ) | ||||||||||||
|
Net decrease from transactions in shares of beneficial interest |
(342,914 | ) | (5,144,842 | ) | (557,573 | ) | (6,175,477 | ) | |||||||||||
| Net Increase (Decrease) | 62,162 | (6,495,813 | ) | (741,458 | ) | (8,148,568 | ) | ||||||||||||
| Net Assets: | |||||||||||||||||||
| Beginning of period | 16,792,345 | 23,288,158 | 26,998,243 | 35,146,811 | |||||||||||||||
| End of Period | $ | 16,854,507 | $ | 16,792,345 | $ | 26,256,785 | $ | 26,998,243 | |||||||||||
|
Accumulated Undistributed Net Investment Income (Loss) |
$ | (23,334 | ) | $ | (16,009 | ) | $ | 81,177 | $ | (1,052 | ) | ||||||||
See Notes to Financial Statements
62
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
| Money Market | Flexible Income | ||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||
| (unaudited) | (unaudited) | ||||||||||||||||||
| Class X Shares | |||||||||||||||||||
| Shares | |||||||||||||||||||
| Sold | 2,799,101 | 4,856,704 | 15,899 | 110,334 | |||||||||||||||
| Reinvestment of dividends and distributions | 1,320 | 2,982 | 114,959 | 131,570 | |||||||||||||||
| Redeemed | (5,407,570 | ) | (9,733,428 | ) | (251,506 | ) | (411,857 | ) | |||||||||||
| Net Decrease - Class X | (2,607,149 | ) | (4,873,742 | ) | (120,648 | ) | (169,953 | ) | |||||||||||
| Amount | |||||||||||||||||||
| Sold | $ | 2,799,101 | $ | 4,856,704 | $ | 100,194 | $ | 684,830 | |||||||||||
| Reinvestment of dividends and distributions | 1,320 | 2,982 | 689,754 | 790,731 | |||||||||||||||
| Redeemed | (5,407,570 | ) | (9,733,428 | ) | (1,588,078 | ) | (2,540,228 | ) | |||||||||||
| Net Decrease - Class X | $ | (2,607,149 | ) | $ | (4,873,742 | ) | $ | (798,130 | ) | $ | (1,064,667 | ) | |||||||
| Class Y Shares | |||||||||||||||||||
| Shares | |||||||||||||||||||
| Sold | 10,457,920 | 39,958,406 | 118,838 | 163,930 | |||||||||||||||
| Reinvestment of dividends and distributions | 2,607 | 6,385 | 129,865 | 140,291 | |||||||||||||||
| Redeemed | (18,902,000 | ) | (51,739,144 | ) | (266,441 | ) | (616,688 | ) | |||||||||||
| Net Decrease - Class Y | (8,441,473 | ) | (11,774,353 | ) | (17,738 | ) | (312,467 | ) | |||||||||||
| Amount | |||||||||||||||||||
| Sold | $ | 10,457,920 | $ | 39,958,406 | $ | 746,212 | $ | 999,654 | |||||||||||
| Reinvestment of dividends and distributions | 2,607 | 6,385 | 775,294 | 838,939 | |||||||||||||||
| Redeemed | (18,902,000 | ) | (51,739,144 | ) | (1,671,354 | ) | (3,788,361 | ) | |||||||||||
| Net Decrease - Class Y | $ | (8,441,473 | ) | $ | (11,774,353 | ) | $ | (149,848 | ) | $ | (1,949,768 | ) | |||||||
See Notes to Financial Statements
63
Morgan Stanley Select Dimensions Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
| Global Infrastructure | Growth | Focus Growth | |||||||||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||||||||
| (unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
| Class X Shares | |||||||||||||||||||||||||||
| Shares | |||||||||||||||||||||||||||
| Sold | 2,814 | 15,921 | 8,541 | 11,561 | 3,842 | 17,128 | |||||||||||||||||||||
| Reinvestment of dividends and distributions | 100,770 | 81,298 | 18,662 | — | 81,948 | — | |||||||||||||||||||||
| Redeemed | (89,823 | ) | (215,273 | ) | (36,890 | ) | (94,806 | ) | (254,882 | ) | (594,979 | ) | |||||||||||||||
| Net Increase (Decrease) - Class X | 13,761 | (118,054 | ) | (9,687 | ) | (83,245 | ) | (169,092 | ) | (577,851 | ) | ||||||||||||||||
| Amount | |||||||||||||||||||||||||||
| Sold | $ | 68,572 | $ | 373,423 | $ | 214,341 | $ | 282,367 | $ | 87,060 | $ | 398,715 | |||||||||||||||
| Reinvestment of dividends and distributions | 2,258,261 | 1,868,225 | 443,966 | — | 1,852,844 | — | |||||||||||||||||||||
| Redeemed | (2,200,285 | ) | (5,010,940 | ) | (916,127 | ) | (2,307,685 | ) | (6,036,167 | ) | (13,778,514 | ) | |||||||||||||||
| Net Increase (Decrease) - Class X | $ | 126,548 | $ | (2,769,292 | ) | $ | (257,820 | ) | $ | (2,025,318 | ) | $ | (4,096,263 | ) | $ | (13,379,799 | ) | ||||||||||
| Class Y Shares | |||||||||||||||||||||||||||
| Shares | |||||||||||||||||||||||||||
| Sold | 5,784 | 24,755 | 18,029 | 38,570 | 18,802 | 86,759 | |||||||||||||||||||||
| Reinvestment of dividends and distributions | 38,714 | 31,131 | 23,787 | — | 24,917 | — | |||||||||||||||||||||
| Redeemed | (34,446 | ) | (120,310 | ) | (106,177 | ) | (228,632 | ) | (81,918 | ) | (293,107 | ) | |||||||||||||||
| Net Increase (Decrease) - Class Y | 10,052 | (64,424 | ) | (64,361 | ) | (190,062 | ) | (38,199 | ) | (206,348 | ) | ||||||||||||||||
| Amount | |||||||||||||||||||||||||||
| Sold | $ | 138,160 | $ | 573,294 | $ | 432,946 | $ | 898,899 | $ | 449,312 | $ | 1,966,965 | |||||||||||||||
| Reinvestment of dividends and distributions | 867,197 | 715,071 | 552,326 | — | 553,913 | — | |||||||||||||||||||||
| Redeemed | (842,477 | ) | (2,787,915 | ) | (2,682,766 | ) | (5,440,275 | ) | (1,946,323 | ) | (6,663,751 | ) | |||||||||||||||
| Net Increase (Decrease) - Class Y | $ | 162,880 | $ | (1,499,550 | ) | $ | (1,697,494 | ) | $ | (4,541,376 | ) | $ | (943,098 | ) | $ | (4,696,786 | ) | ||||||||||
See Notes to Financial Statements
64
| Multi Cap Growth | Mid Cap Growth | ||||||||||||||||||
|
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
For The Six Months Ended June 30, 2012 |
For The Year Ended December 31, 2011 |
||||||||||||||||
| (unaudited) | (unaudited) | ||||||||||||||||||
| Class X Shares | |||||||||||||||||||
| Shares | |||||||||||||||||||
| Sold | 1,744 | 5,172 | 1,034 | 6,721 | |||||||||||||||
| Reinvestment of dividends and distributions | 34,525 | — | 43,257 | 2,058 | |||||||||||||||
| Redeemed | (43,733 | ) | (100,005 | ) | (51,603 | ) | (111,467 | ) | |||||||||||
| Net Increase (Decrease) - Class X | (7,464 | ) | (94,833 | ) | (7,312 | ) | (102,688 | ) | |||||||||||
| Amount | |||||||||||||||||||
| Sold | $ | 30,067 | $ | 85,322 | $ | 37,756 | $ | 251,586 | |||||||||||
| Reinvestment of dividends and distributions | 537,907 | — | 1,395,029 | 80,806 | |||||||||||||||
| Redeemed | (726,761 | ) | (1,677,230 | ) | (1,865,422 | ) | (4,082,760 | ) | |||||||||||
| Net Increase (Decrease) - Class X | $ | (158,787 | ) | $ | (1,591,908 | ) | $ | (432,637 | ) | $ | (3,750,368 | ) | |||||||
| Class Y Shares | |||||||||||||||||||
| Shares | |||||||||||||||||||
| Sold | 22,502 | 39,117 | 17,562 | 93,013 | |||||||||||||||
| Reinvestment of dividends and distributions | 40,427 | — | 18,469 | 410 | |||||||||||||||
| Redeemed | (69,960 | ) | (256,631 | ) | (37,812 | ) | (162,679 | ) | |||||||||||
| Net Increase (Decrease) - Class Y | (7,031 | ) | (217,514 | ) | (1,781 | ) | (69,256 | ) | |||||||||||
| Amount | |||||||||||||||||||
| Sold | $ | 372,246 | $ | 636,747 | $ | 626,930 | $ | 3,378,268 | |||||||||||
| Reinvestment of dividends and distributions | 609,634 | — | 581,952 | 15,788 | |||||||||||||||
| Redeemed | (1,166,007 | ) | (4,189,681 | ) | (1,333,818 | ) | (5,819,165 | ) | |||||||||||
| Net Increase (Decrease) - Class Y | $ | (184,127 | ) | $ | (3,552,934 | ) | $ | (124,936 | ) | $ | (2,425,109 | ) | |||||||
65
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited)
1. Organization and Accounting Policies
Morgan Stanley Select Dimensions Investment Series (the "Fund") is registered under the Investment Company Act of 1940 as amended (the "Act"), as a diversified (except Focus Growth is non-diversified, effective August 8, 2007), open-end management investment company. The Fund is offered exclusively to life insurance companies in connection with particular life insurance and/or annuity contracts they offer.
The Fund, which consists of seven separate portfolios ("Portfolios"), was organized on June 2, 1994, as a Massachusetts business trust and commenced operations on November 9, 1994, with the exception of Multi Cap Growth which commenced operations on January 21, 1997.
On July 24, 2000, the Fund commenced offering one additional class of shares (Class Y shares). The two classes are identical except that Class Y shares incur distribution expenses. Class X shares are generally available to holders of contracts offered before May 1, 2000. Class Y shares are available to holders of contracts offered on or after July 24, 2000.
The investment objectives of each Portfolio are as follows:
| PORTFOLIO | INVESTMENT OBJECTIVE | ||||||
| Money Market | Seeks high current income, preservation of capital and liquidity. | ||||||
| Flexible Income | Seeks, as a primary objective, to earn a high level of current income and, as a secondary objective, to maximize total return, but only to the extent consistent with its primary objective. | ||||||
| Global Infrastructure | Seeks both capital appreciation and current income. | ||||||
| Growth | Seeks long-term capital growth. | ||||||
| Focus Growth | Seeks long-term capital growth. | ||||||
| Multi Cap Growth | Seeks long-term capital growth. | ||||||
| Mid Cap Growth | Seeks long-term capital growth. | ||||||
The following is a summary of significant accounting policies:
A. Valuation of Investments — Money Market: Portfolio securities are valued at amortized cost, which approximates fair value, in accordance with Rule 2a-7 under the Act. All remaining Portfolios: (1) an equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange or other domestic exchange is valued at its latest sales price (or at the exchange official closing price if such exchange reports an official closing 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
66
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
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 domestic securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked prices. In cases where a security is traded on more than one domestic exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price) or the mean between the last reported bid and asked prices may be used if there were no sales on a particular day or the latest bid price may be used if only bid prices are available; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) swaps are marked-to-market daily based upon quotations from market makers; (7) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the "Adviser") or Morgan Stanley Investment Management Limited or Morgan Stanley Investment Management Company (each, a "Sub-Adviser"), each a wholly owned subsidiary of Morgan Stanley, determines that the latest sale price, the bid price or the mean between the last reported bid and ask price do not reflect a security's fair 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 Board of Trustees (the "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 Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; (8) certain portfolio securities may be valued by an outside pricing service approved by the Trustees. The prices provided by a pricing service take into account broker-dealer market price quotations for trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific securities; (9) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day; and (10) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates fair value.
67
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
Under procedures approved by the Trustees, the Fund's Adviser has formed a Valuation Committee. The Valuation Committee provides administration and oversight of the Fund's valuation policies and procedures, which are reviewed at least annually by the Trustees. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
The Fund has procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available. Under these procedures, the Valuation Committee convenes on a regular and adhoc basis to review such securities and considers a number of factors, including valuation methodologies and significant unobservable valuation inputs, when arriving at fair value. The Valuation Committee may employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of valuation methodologies, key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity.
B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date except for certain dividends on foreign securities which are recorded as soon as the Fund is informed after the ex-dividend date. Interest income is accrued daily as earned except where collection is not expected. Discounts are accreted and premiums are amortized over the life of the respective securities and are included in interest income.
C. Repurchase Agreements — The Fund invests directly with institutions in repurchase agreements. The Fund's custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest as earned. If such a decrease occurs, additional collateral will be requested and, when received, will be added to the account to maintain full collateralization.
68
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
D. Multiple Class Allocations — Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class.
E. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, other assets and liabilities and foreign currency exchange contracts are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the exchange rates prevailing on the respective dates of such transactions. The resultant exchange gains and losses are recorded as realized and unrealized gains/losses on foreign currency exchange contracts and foreign currency translations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains/losses included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of the securities held.
F. Dividends and Distributions to Shareholders — The Fund records dividends and distributions to its shareholders on the ex-dividend date.
G. Expenses — Direct expenses are charged to the respective Portfolio and general Fund expenses are allocated on the basis of relative net assets or equally among the Portfolios.
H. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles in the United States ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
I. Indemnifications — The Fund enters into contracts that contain a variety of indemnifications. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
2. Fair Valuation Measurements
Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 820, Fair Value Measurements and Disclosures ("ASC 820"), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment
69
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below.
• Level 1 — unadjusted quoted prices in active markets for identical investments
• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 — significant unobservable inputs including the Fund's own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.
The following is a summary of the inputs used to value each Portfolio's investments as of June 30, 2012.
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Money Market | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Repurchase Agreements | $ | — | $ | 36,760,000 | $ | — | $ | 36,760,000 | |||||||||||
| Commercial Paper | — | 12,993,067 | — | 12,993,067 | |||||||||||||||
| Certificates of Deposit | — | 10,999,990 | — | 10,999,990 | |||||||||||||||
| Floating Rate Notes | — | 9,500,094 | — | 9,500,094 | |||||||||||||||
| Tax-Exempt Instruments | — | 3,000,000 | — | 3,000,000 | |||||||||||||||
| Total Assets | $ | — | $ | 73,253,151 | $ | — | $ | 73,253,151 | |||||||||||
70
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Flexible Income | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Fixed Income Securities | |||||||||||||||||||
| Corporate Bonds | $ | — | $ | 16,139,719 | $ | — | † | $ | 16,139,719 | ||||||||||
| Sovereign | — | 2,412,974 | — | 2,412,974 | |||||||||||||||
| Municipal Bonds | — | 340,339 | — | 340,339 | |||||||||||||||
| Agency Fixed Rate Mortgages | — | 160,915 | — | 160,915 | |||||||||||||||
| Asset-Backed Securities | — | 410,098 | — | 410,098 | |||||||||||||||
| U.S. Treasury Securities | — | 2,027,028 | — | 2,027,028 | |||||||||||||||
| Mortgages — Other | — | 982,450 | — | 982,450 | |||||||||||||||
| Total Fixed Income Securities | — | 22,473,523 | — | † | 22,473,523 | ||||||||||||||
| Common Stocks | |||||||||||||||||||
| Communications Equipment | 1,835 | — | — | 1,835 | |||||||||||||||
| Electric Utilities | 254 | — | — | 254 | |||||||||||||||
| Wireless Telecommunication Services | 630 | — | — | 630 | |||||||||||||||
| Total Common Stocks | 2,719 | — | — | 2,719 | |||||||||||||||
| Short-Term Investment — Investment Company | 192,341 | — | — | 192,341 | |||||||||||||||
| Foreign Currency Exchange Contracts | — | 2,632 | — | 2,632 | |||||||||||||||
| Futures Contracts | 258 | — | — | 258 | |||||||||||||||
| Interest Rate Swap Agreements | — | 147,849 | — | 147,849 | |||||||||||||||
| Total Assets | $ | 195,318 | $ | 22,624,004 | $ | — | † | $ | 22,819,322 | ||||||||||
| Liabilities: | |||||||||||||||||||
| Foreign Currency Exchange Contracts | $ | — | $ | (4,600 | ) | $ | — | $ | (4,600 | ) | |||||||||
| Futures Contracts | (22,748 | ) | — | — | (22,748 | ) | |||||||||||||
| Total Liabilities | (22,748 | ) | (157,729 | ) | — | (180,477 | ) | ||||||||||||
| Total | $ | 172,570 | $ | 22,466,275 | $ | — | † | $ | 22,638,845 | ||||||||||
† — Includes one security which is valued at zero.
| Global Infrastructure | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Common Stocks | |||||||||||||||||||
| Airports | $ | — | $ | 786,538 | $ | — | $ | 786,538 | |||||||||||
| Communications | 2,903,363 | 1,025,956 | — | 3,929,319 | |||||||||||||||
| Diversified | 495,253 | 257,137 | — | 752,390 | |||||||||||||||
| Oil & Gas Storage & Transportation | 8,782,997 | 4,550,128 | — | 13,333,125 | |||||||||||||||
71
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Ports | $ | — | $ | 256,932 | $ | — | $ | 256,932 | |||||||||||
| Toll Roads | — | 1,914,793 | — | 1,914,793 | |||||||||||||||
| Transmission & Distribution | 1,733,489 | 2,703,605 | — | 4,437,094 | |||||||||||||||
| Water | 452,546 | 599,099 | — | 1,051,645 | |||||||||||||||
| Total Common Stocks | 14,367,648 | 12,094,188 | — | 26,461,836 | |||||||||||||||
| Short-Term Investment — Investment Company | 419,326 | — | — | 419,326 | |||||||||||||||
| Total Assets | $ | 14,786,974 | $ | 12,094,188 | $ | — | $ | 26,881,162 | |||||||||||
| Growth | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Common Stocks | |||||||||||||||||||
| Air Transport | $ | 309,845 | $ | — | $ | — | $ | 309,845 | |||||||||||
| Alternative Energy | 482,547 | — | — | 482,547 | |||||||||||||||
| Asset Management & Custodian | 124,997 | — | — | 124,997 | |||||||||||||||
| Beverage: Brewers & Distillers | 660,411 | — | — | 660,411 | |||||||||||||||
| Beverage: Soft Drinks | 342,701 | — | — | 342,701 | |||||||||||||||
| Biotechnology | 475,108 | — | — | 475,108 | |||||||||||||||
| Chemicals: Diversified | 611,413 | — | — | 611,413 | |||||||||||||||
| Commercial Finance & Mortgage Companies | 289,001 | — | — | 289,001 | |||||||||||||||
| Commercial Services | 325,116 | 328,277 | — | 653,393 | |||||||||||||||
| Communications Technology | 781,113 | — | — | 781,113 | |||||||||||||||
| Computer Services, Software & Systems | 3,310,335 | — | 950,705 | 4,261,040 | |||||||||||||||
| Computer Technology | 2,157,701 | — | — | 2,157,701 | |||||||||||||||
| Consumer Lending | 961,422 | — | — | 961,422 | |||||||||||||||
| Diversified Financial Services | 78,291 | — | — | 78,291 | |||||||||||||||
| Diversified Media | 295,425 | 281,072 | — | 576,497 | |||||||||||||||
| Diversified Retail | 2,934,485 | — | — | 2,934,485 | |||||||||||||||
| Electronic Components | 272,192 | — | — | 272,192 | |||||||||||||||
| Financial Data & Systems | 620,045 | — | — | 620,045 | |||||||||||||||
| Foods | 139,761 | — | — | 139,761 | |||||||||||||||
| Insurance: Multi-Line | 87,285 | — | — | 87,285 | |||||||||||||||
| Insurance: Property-Casualty | 378,085 | — | — | 378,085 | |||||||||||||||
| Medical Equipment | 726,572 | — | — | 726,572 | |||||||||||||||
| Metals & Minerals: Diversified | 173,348 | — | — | 173,348 | |||||||||||||||
| Pharmaceuticals | 548,777 | — | — | 548,777 | |||||||||||||||
| Real Estate Investment Trusts (REIT) | 799,431 | — | — | 799,431 | |||||||||||||||
| Recreational Vehicles & Boats | — | 784,758 | — | 784,758 | |||||||||||||||
72
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Semiconductors & Components | $ | 107,664 | $ | — | $ | — | $ | 107,664 | |||||||||||
| Wholesale & International Trade | — | 356,330 | — | 356,330 | |||||||||||||||
| Total Common Stocks | 17,993,071 | 1,750,437 | 950,705 | 20,694,213 | |||||||||||||||
| Convertible Preferred Stock | — | — | 216,156 | 216,156 | |||||||||||||||
| Short-Term Investment — Investment Company | 841,656 | — | — | 841,656 | |||||||||||||||
| Total Assets | $ | 18,834,727 | $ | 1,750,437 | $ | 1,166,861 | $ | 21,752,025 | |||||||||||
Growth
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2012.
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
| Common Stocks | |||||||||||||||||||||||||||||||
| Computer Services, |
|
||||||||||||||||||||||||||||||
| Software & Systems | $ | 950,705 | Adjusted Stock Price | Discount for |
|
||||||||||||||||||||||||||
| Illiquidity | 8.3 | % | 8.3 | % | 8.3 | % | Decrease | ||||||||||||||||||||||||
|
Convertible Preferred Stock |
|||||||||||||||||||||||||||||||
| Alternative Energy | $ | 216,156 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
22.5 | % | 27.5 | % | 24.2 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.5 | % | 3.5 | % | 3.0 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
2.6 | x | 3.4 | x | 3.1 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
73
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Focus Growth | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Common Stocks | |||||||||||||||||||
| Air Transport | $ | 1,335,170 | $ | — | $ | — | $ | 1,335,170 | |||||||||||
| Alternative Energy | 1,329,962 | — | — | 1,329,962 | |||||||||||||||
| Asset Management & Custodian | 594,528 | — | — | 594,528 | |||||||||||||||
| Beverage: Brewers & Distillers | 1,144,857 | — | — | 1,144,857 | |||||||||||||||
| Biotechnology | 2,058,032 | — | — | 2,058,032 | |||||||||||||||
| Chemicals: Diversified | 2,715,018 | — | — | 2,715,018 | |||||||||||||||
| Commercial Finance & Mortgage Companies | 1,192,093 | — | — | 1,192,093 | |||||||||||||||
| Commercial Services | — | 1,252,337 | — | 1,252,337 | |||||||||||||||
| Communications Technology | 2,887,755 | — | — | 2,887,755 | |||||||||||||||
| Computer Services, Software & Systems | 13,002,773 | — | 3,123,550 | 16,126,323 | |||||||||||||||
| Computer Technology | 8,561,296 | — | — | 8,561,296 | |||||||||||||||
| Consumer Lending | 2,628,007 | — | — | 2,628,007 | |||||||||||||||
| Diversified Financial Services | 389,368 | — | — | 389,368 | |||||||||||||||
| Diversified Media | — | 1,306,000 | — | 1,306,000 | |||||||||||||||
| Diversified Retail | 12,479,817 | — | — | 12,479,817 | |||||||||||||||
| Financial Data & Systems | 1,152,325 | — | — | 1,152,325 | |||||||||||||||
| Foods | 588,671 | — | — | 588,671 | |||||||||||||||
| Insurance: Multi-Line | 433,728 | — | — | 433,728 | |||||||||||||||
| Insurance: Property-Casualty | 1,497,802 | — | — | 1,497,802 | |||||||||||||||
| Medical Equipment | 2,844,819 | — | — | 2,844,819 | |||||||||||||||
| Metals & Minerals: Diversified | 727,442 | — | — | 727,442 | |||||||||||||||
| Real Estate Investment Trusts (REIT) | 3,138,873 | — | — | 3,138,873 | |||||||||||||||
| Recreational Vehicles & Boats | — | 2,866,457 | — | 2,866,457 | |||||||||||||||
| Semiconductors & Components | 189,861 | — | — | 189,861 | |||||||||||||||
| Wholesale & International Trade | — | 1,455,336 | — | 1,455,336 | |||||||||||||||
| Total Common Stocks | 60,892,197 | 6,880,130 | 3,123,550 | 70,895,877 | |||||||||||||||
| Convertible Preferred Stock | — | — | 662,590 | 662,590 | |||||||||||||||
| Short-Term Investment — Investment Company | 997,881 | — | — | 997,881 | |||||||||||||||
| Total Assets | $ | 61,890,078 | $ | 6,880,130 | $ | 3,786,140 | $ | 72,556,348 | |||||||||||
74
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
Focus Growth
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2012.
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
| Common Stocks | |||||||||||||||||||||||||||||||
|
Computer Services, |
|||||||||||||||||||||||||||||||
| Software & Systems | $ | 3,123,550 | Adjusted Stock Price | Discount for |
|
||||||||||||||||||||||||||
| Illiquidity | 8.3 | % | 8.3 | % | 8.3 | % | Decrease | ||||||||||||||||||||||||
|
Convertible Preferred Stock |
|||||||||||||||||||||||||||||||
| Alternative Energy | $ | 662,590 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
22.5 | % | 27.5 | % | 24.2 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.5 | % | 3.5 | % | 3.0 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
2.6 | x | 3.4 | x | 3.1 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Multi Cap Growth | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Common Stocks | |||||||||||||||||||
| Air Transport | $ | 271,405 | $ | — | $ | — | $ | 271,405 | |||||||||||
| Alternative Energy | 602,270 | — | — | 602,270 | |||||||||||||||
| Beverage: Brewers & Distillers | 221,712 | — | — | 221,712 | |||||||||||||||
| Biotechnology | 391,945 | — | — | 391,945 | |||||||||||||||
| Chemicals: Diversified | 512,408 | — | — | 512,408 | |||||||||||||||
| Commercial Finance & Mortgage Companies | 242,963 | — | — | 242,963 | |||||||||||||||
75
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Commercial Services | $ | 340,812 | $ | 424,856 | $ | — | $ | 765,668 | |||||||||||
| Communications Technology | 570,007 | — | — | 570,007 | |||||||||||||||
| Computer Services, Software & Systems | 2,583,226 | — | 756,245 | 3,339,471 | |||||||||||||||
| Computer Technology | 1,812,475 | — | — | 1,812,475 | |||||||||||||||
| Consumer Lending | 509,432 | — | — | 509,432 | |||||||||||||||
| Diversified Retail | 2,477,556 | — | — | 2,477,556 | |||||||||||||||
| Financial Data & Systems | 889,455 | — | — | 889,455 | |||||||||||||||
| Foods | 113,989 | — | — | 113,989 | |||||||||||||||
| Health Care Services | 727,968 | — | — | 727,968 | |||||||||||||||
| Insurance: Property-Casualty | 310,304 | — | — | 310,304 | |||||||||||||||
| Medical Equipment | 582,587 | — | — | 582,587 | |||||||||||||||
| Metals & Minerals: Diversified | 153,522 | 166,508 | — | 320,030 | |||||||||||||||
| Real Estate Investment Trusts (REIT) | 610,894 | — | — | 610,894 | |||||||||||||||
| Recreational Vehicles & Boats | — | 563,201 | — | 563,201 | |||||||||||||||
| Wholesale & International Trade | — | 298,880 | — | 298,880 | |||||||||||||||
| Total Common Stocks | 13,924,930 | 1,453,445 | 756,245 | 16,134,620 | |||||||||||||||
| Convertible Preferred Stocks | — | — | 188,332 | 188,332 | |||||||||||||||
| Short-Term Investment — Investment Company | 593,107 | — | — | 593,107 | |||||||||||||||
| Total Assets | $ | 14,518,037 | $ | 1,453,445 | $ | 944,577 | $ | 16,916,059 | |||||||||||
Multi Cap Growth
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2012.
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
| Common Stocks | |||||||||||||||||||||||||||||||
|
Computer Services, |
|||||||||||||||||||||||||||||||
| Software & Systems | $ | 756,245 | Adjusted Stock Price | Discount for |
|
||||||||||||||||||||||||||
| Illiquidity | 8.3 | % | 8.3 | % | 8.3 | % | Decrease | ||||||||||||||||||||||||
76
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
|
Convertible Preferred Stocks |
|||||||||||||||||||||||||||||||
| Alternative Energy | $ | 159,929 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
22.5 | % | 27.5 | % | 24.2 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.5 | % | 3.5 | % | 3.0 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
2.6 | x | 3.4 | x | 3.1 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
|
Computer Services, |
|||||||||||||||||||||||||||||||
| Software & Systems | $ | 28,403 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
13 | % | 18 | % | 15 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.0 | % | 3.0 | % | 2.5 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
6.7 | x | 15.7 | x | 9.6 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
N/A | N/A | N/A | Decrease | |||||||||||||||||||||||||||
|
Merger & Acquisition Transactions |
Enterprise Value / Revenue |
8.7 | x | 10.8 | x | 9.4 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of control |
25 | % | 25 | % | 25 | % | Decrease | ||||||||||||||||||||||||
77
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
| Investment Type |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Total | |||||||||||||||
| Mid Cap Growth | |||||||||||||||||||
| Assets: | |||||||||||||||||||
| Common Stocks | |||||||||||||||||||
| Air Transport | $ | 469,418 | $ | — | $ | — | $ | 469,418 | |||||||||||
| Alternative Energy | 787,653 | — | — | 787,653 | |||||||||||||||
| Asset Management & Custodian | 154,222 | — | — | 154,222 | |||||||||||||||
| Beverage: Brewers & Distillers | 357,820 | — | — | 357,820 | |||||||||||||||
| Biotechnology | 1,126,701 | — | — | 1,126,701 | |||||||||||||||
| Cement | 282,254 | — | — | 282,254 | |||||||||||||||
| Chemicals: Diversified | 653,708 | — | — | 653,708 | |||||||||||||||
| Commercial Services | 1,356,464 | 699,380 | — | 2,055,844 | |||||||||||||||
| Communications Technology | 1,027,550 | — | — | 1,027,550 | |||||||||||||||
| Computer Services, Software & Systems | 3,937,619 | 95,853 | — | 4,033,472 | |||||||||||||||
| Computer Technology | 830,140 | — | 137,809 | 967,949 | |||||||||||||||
| Consumer Lending | 425,753 | — | — | 425,753 | |||||||||||||||
| Consumer Services: Miscellaneous | 381,004 | 90,058 | — | 471,062 | |||||||||||||||
| Diversified Materials & Processing | — | 38,022 | — | 38,022 | |||||||||||||||
| Diversified Media | 804,498 | — | — | 804,498 | |||||||||||||||
| Diversified Retail | 1,130,707 | 352,533 | — | 1,483,240 | |||||||||||||||
| Education Services | 377,006 | — | — | 377,006 | |||||||||||||||
| Electronic Components | 356,977 | — | — | 356,977 | |||||||||||||||
| Financial Data & Systems | 1,497,486 | — | — | 1,497,486 | |||||||||||||||
| Foods | 183,971 | — | — | 183,971 | |||||||||||||||
| Health Care Services | 1,037,911 | — | — | 1,037,911 | |||||||||||||||
| Insurance: Property-Casualty | 466,717 | — | — | 466,717 | |||||||||||||||
| Media | — | — | 163,577 | 163,577 | |||||||||||||||
| Medical & Dental Instruments & Supplies | 367,290 | — | — | 367,290 | |||||||||||||||
| Medical Equipment | 949,750 | — | — | 949,750 | |||||||||||||||
| Metals & Minerals: Diversified | 226,145 | 82,855 | — | 309,000 | |||||||||||||||
| Pharmaceuticals | 918,163 | — | — | 918,163 | |||||||||||||||
| Publishing | 359,533 | — | — | 359,533 | |||||||||||||||
| Recreational Vehicles & Boats | — | 946,245 | — | 946,245 | |||||||||||||||
| Restaurants | 381,689 | — | — | 381,689 | |||||||||||||||
| Scientific Instruments: Pollution Control | 315,354 | — | — | 315,354 | |||||||||||||||
| Semiconductors & Components | 134,350 | — | — | 134,350 | |||||||||||||||
| Utilities: Electrical | 875,204 | — | — | 875,204 | |||||||||||||||
| Total Common Stocks | 22,173,057 | 2,304,946 | 301,386 | 24,779,389 | |||||||||||||||
| Convertible Preferred Stocks | — | — | 349,641 | 349,641 | |||||||||||||||
| Short-Term Investment — Investment Company | 960,279 | — | — | 960,279 | |||||||||||||||
| Total Assets | $ | 23,133,336 | $ | 2,304,946 | $ | 651,027 | $ | 26,089,309 | |||||||||||
78
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
Mid Cap Growth
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2012.
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
| Common Stocks | |||||||||||||||||||||||||||||||
| Computer |
|
||||||||||||||||||||||||||||||
| Technology | $ | 137,809 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Media | $ | 163,577 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
15 | % | 18 | % | 17 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.0 | % | 3.0 | % | 2.5 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / EBITDA |
10.6 | x | 11.5 | x | 11.1 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
|
Equity Value / Net Income |
12.2 | x | 17.3 | x | 14.7 | x | Increase | ||||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
|
Merger & Acquisition Transactions |
Enterprise Value / EBITDA |
13.7 | x | 16.3 | x | 15.0 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of control |
35 | % | 35 | % | 35 | % | Decrease | ||||||||||||||||||||||||
|
Equity Value / Net Income |
22.2 | x | 25.0 | x | 23.6 | x | Increase | ||||||||||||||||||||||||
|
Discount for lack of control |
35 | % | 35 | % | 35 | % | Decrease | ||||||||||||||||||||||||
79
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
|
Convertible Preferred Stocks |
|||||||||||||||||||||||||||||||
|
Alternative |
|||||||||||||||||||||||||||||||
| Energy | $ | 222,657 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
22.5 | % | 27.5 | % | 24.2 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.5 | % | 3.5 | % | 3.0 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
2.6 | x | 3.4 | x | 3.1 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
15 | % | 15 | % | 15 | % | Decrease | ||||||||||||||||||||||||
|
Computer |
|||||||||||||||||||||||||||||||
|
Services, |
|||||||||||||||||||||||||||||||
|
Software & |
|||||||||||||||||||||||||||||||
| Systems | $ | 45,336 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
13 | % | 18 | % | 15 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
2.0 | % | 3.0 | % | 2.5 | % | Increase | ||||||||||||||||||||||||
|
Market Comparable Companies |
Enterprise Value / Revenue |
6.7 | x | 15.7 | x | 9.6 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of marketability |
N/A | N/A | N/A | Decrease | |||||||||||||||||||||||||||
|
Merger & Acquisition Transactions |
Enterprise Value / Revenue |
8.7 | x | 10.8 | x | 9.4 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of control |
25 | % | 25 | % | 25 | % | Decrease | ||||||||||||||||||||||||
80
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
|
Fair Value at June 30, 2012 |
Valuation Technique(s) | Unobservable Input | Range |
Weighted Average |
Impact to Valuation from an Increase in Input |
||||||||||||||||||||||||||
|
Computer |
|||||||||||||||||||||||||||||||
| Technology | $ | 13,384 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
|
Technology: |
|||||||||||||||||||||||||||||||
| Miscellaneous | $ | 68,264 | Market Transaction | Purchase Price of |
|
||||||||||||||||||||||||||
| Preferred | — | — | — | — | |||||||||||||||||||||||||||
| Discounted cash flow |
Weighted average cost of capital |
26 | % | 30 | % | 28 | % | Decrease | |||||||||||||||||||||||
|
Perpetual growth rate |
5.0 | % | 6.0 | % | 5.5 | % | Increase | ||||||||||||||||||||||||
|
Merger & Acquisition Transactions |
Enterprise Value / Revenue |
1.8 | x | 2.9 | x | 2.7 | x | Increase | |||||||||||||||||||||||
|
Discount for lack of control |
30 | % | 30 | % | 30 | % | Decrease | ||||||||||||||||||||||||
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of June 30, 2012, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. The values of the transfers were as follows:
|
GLOBAL INFRASTRUCTURE |
GROWTH | FOCUS GROWTH |
MULTI CAP GROWTH |
MID CAP GROWTH |
|||||||||||||||
| $ | 12,094,188 | $ | 1,422,160 | $ | 5,627,793 | $ | 1,028,589 | $ | 1,856,560 | ||||||||||
At June 30, 2012, Mid Cap Growth Portfolio held a security with a value of $352,533 that transferred from Level 3 to Level 2. This security was valued using significant unobservable inputs at December 31, 2011 and was valued using other significant observable inputs at June 30, 2012.
81
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
Flexible Income |
Growth | Focus Growth | Multi Cap Growth | Mid Cap Growth | |||||||||||||||||||||||||||||||||||||||
|
Corporate Bonds |
Common Stock |
Convertible Preferred Stock |
Common Stock |
Convertible Preferred Stock |
Common Stock |
Convertible Preferred Stocks |
Common Stocks |
Convertible Preferred Stocks |
Preferred Stock |
||||||||||||||||||||||||||||||||||
| Beginning Balance | $ | 14,262 | $ | 899,721 | $ | 296,480 | $ | 2,956,041 | $ | 908,808 | $ | 715,689 | $ | 247,762 | $ | 627,131 | $ | 430,994 | $ | 149,241 | |||||||||||||||||||||||
| Purchases | — | — | — | — | — | — | — | 301,386 | 13,384 | — | |||||||||||||||||||||||||||||||||
| Sales | (13,451 | ) | — | — | — | — | — | — | — | — | (247,193 | ) | |||||||||||||||||||||||||||||||
|
Amortization of discount |
— | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
| Transfers in | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
| Transfers out | — | — | — | — | — | — | — | (352,533 | ) | — | — | ||||||||||||||||||||||||||||||||
|
Change in unrealized appreciation (depreciation) |
(166 | ) | 50,984 | (80,324 | ) | 167,509 | (246,218 | ) | 40,556 | (59,430 | ) | (274,598 | ) | (94,737 | ) | 97,952 | |||||||||||||||||||||||||||
|
Realized gains (losses) |
(645 | ) | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Ending Balance | $ | — | † | $ | 950,705 | $ | 216,156 | $ | 3,123,550 | $ | 662,590 | $ | 756,245 | $ | 188,332 | $ | 301,386 | $ | 349,641 | $ | — | ||||||||||||||||||||||
|
Net change in unrealized appreciation/ depreciation from investments still held as of June 30, 2012. |
$ | — | $ | 50,984 | $ | (80,324 | ) | $ | 167,509 | $ | (246,218 | ) | $ | 40,556 | $ | (59,430 | ) | $ | — | $ | (94,737 | ) | $ | — | |||||||||||||||||||
† Includes one security which is valued at zero.
3. Derivatives
Certain Portfolios may, but are not required to, use derivative instruments for a variety of purposes, including hedging, risk management, portfolio management or to earn income. Derivatives are financial instruments whose value is based on the value of an underlying asset, interest rate, index or financial instrument. A derivative instrument often has risks similar to its underlying asset and may have additional risks, including imperfect correlation between the value of the derivative and the underlying asset, risks of default by the counterparty to certain transactions, magnification of losses incurred due to changes in the market value of the securities, instruments, indices or interest rates to which they relate, and risks that the transactions may not be liquid. The use of derivatives involves risks that are different from, and possibly greater than, the risks associated with other portfolio investments. Derivatives may involve the use of highly specialized instruments that require investment techniques and risk analyses different from those associated
82
Morgan Stanley Select Dimensions Investment Series
Notes to Financial Statements n June 30, 2012 (unaudited) continued
with other portfolio investments. All of a Portfolio's holdings, including derivative instruments, are marked-to-market each day with the change in value reflected in unrealized appreciation (depreciation). Upon disposition, a realized gain or loss is recognized.
Certain derivative transactions may give rise to a form of leverage. Leverage magnifies the potential for gain and risk of loss. Leverage associated with derivative transactions may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet earmarking or segregation requirements, pursuant to applicable Securities and Exchange Commission rules and regulations, or may cause the Portfolios to be more volatile than if the Portfolios had not been leveraged. Although the Adviser and/or Sub-Advisers seek to use derivatives to further the Portfolio's investment objectives, there is no assurance that the use of derivatives will achieve this result.
Following is a description of the derivative instruments and techniques that the Portfolios used during the period and their associated risks:
Foreign Currency Exchange Contracts In connection with its investments in foreign securities, certain Portfolios entered into contracts with banks, brokers or dealers to purchase or sell foreign currencies at a future date. A foreign currency exchange contract ("currency contracts") is a negotiated agreement between two parties to exchange specified amounts of two or more currencies at a specified future time at a specified rate. The rate specified by the currency contract can be higher or lower than the spot rate between the currencies that are the subject of the currency contract. Currency contracts may be used to protect against uncertainty in the level of future foreign currency exchange rates or to gain or modify exposure to a particular currency. Hedging a Portfolio's currency risks involves the risk of mismatching a Portfolio's objectives under a currency contract with the value of securities denominated in a particular currency. Furthermore, such transactions reduce or preclude the opportunity for gain if the value of the currency should move in the direction opposite to the position taken. There is an additional risk to the effect that currency contracts create exposure to currencies in which a Portfolio's securities are not denominated. Unanticipated changes in currency prices may result in poorer overall performance for a Portfolio than if it had not entered into such currency contracts. The use of currency contracts involves the risk of loss from the insolvency or bankruptcy of the counterparty to the contract or the failure of the counterparty to make payments or otherwise comply with the term of the contract. A currency contract is marked-to-market daily and the change in market value is recorded by a Portfolio as unrealized gain or (loss). A Portfolio records realized gains (losses) when the currency contract is closed equal to the difference between the value of the currency contract at the time it was opened and the value at the time it was closed.
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Futures A futures contract is a standardized agreement between two parties to buy or sell a specific quantity of an underlying instrument at a specific price at a specific future time. The value of a futures contract tends to increase and decrease in tandem with the value of the underlying instrument. Depending on the terms of the particular contract, futures contracts are settled through either physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. During the period the futures contract is open, payments are received from or made to the broker based upon changes in the value of the contract (the variation margin). A decision as to whether, when and how to use futures involves the exercise of skill and judgment and even a well-conceived futures transaction may be unsuccessful because of market behavior or unexpected events. In addition to the derivatives risks discussed above, the prices of futures can be highly volatile, using futures can lower total return, and the potential loss from futures can exceed a Portfolio's initial investment in such contracts.
Swaps An over-the-counter ("OTC") swap agreement is an agreement between two parties pursuant to which the parties exchange payments at specified dates on the basis of a specified notional amount, with the payments calculated by reference to specified securities, indexes, reference rates, currencies or other instruments. A small percentage of swap agreements are cleared through a central clearing house. Most swap agreements provide that when the period payment dates for both parties are the same, the payments are made on a net basis (i.e., the two payment streams are netted out, with only the net amount paid by one party to the other). A Portfolio's obligations or rights under a swap agreement entered into on a net basis will generally be equal only to the net amount to be paid or received under the agreement, based on the relative values of the positions held by each counterparty. Most swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. These OTC swaps are often subject to credit risk or the risk of default or non-performance by the counterparty. Swaps could result in losses if interest rate or foreign currency exchange rates or credit quality changes are not correctly anticipated by a Portfolio or if the reference index, security or investments do not perform as expected.
When a Portfolio has an unrealized loss on a swap agreement, the Portfolio has instructed the custodian to pledge cash or liquid securities as collateral with a value approximately equal to the amount of the unrealized loss. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate. If applicable, cash collateral is included with "Due from (to) Broker" in the Statements of Assets and Liabilities.
FASB ASC 815, Derivatives and Hedging: Overall ("ASC 815"), is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how
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and why a Portfolio uses derivative instruments, how these derivative instruments are accounted for and their effects on a Portfolio's financial position and results of operations.
The following table sets forth the fair value of the Portfolio's derivative contracts by primary risk exposure as of June 30, 2012.
| PORTFOLIO |
PRIMARY RISK EXPOSURE |
ASSET DERIVATIVES STATEMENTS OF ASSETS AND LIABILITIES LOCATION |
FAIR VALUE |
LIABILITIES DERIVATIVES STATEMENTS OF ASSETS AND LIABILITIES LOCATION |
FAIR VALUE | ||||||||||||||||||
| Flexible Income | Interest Rate | Variation margin | $ | 258 | † | Variation margin | $ | (22,748 | )† | ||||||||||||||
|
Risk |
Unrealized appreciation on open swap agreements |
147,849 |
Unrealized depreciation on open swap agreements |
(153,129 | ) | ||||||||||||||||||
|
Currency Risk |
Unrealized appreciation on open foreign currency exchange contracts |
2,632 |
Unrealized depreciation on open foreign currency exchange contracts |
(4,600 | ) | ||||||||||||||||||
| $ | 150,739 | $ | (180,477 | ) | |||||||||||||||||||
† Includes cumulative appreciation/depreciation of futures contracts as reported in the Portfolio of Investments. Only current day's net variation margin is reported within the Statements of Assets and Liabilities.
The following tables set forth by primary risk exposure of the Portfolio's realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended June 30, 2012 in accordance with ASC 815.
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVE CONTRACTS
| PORTFOLIO |
PRIMARY RISK EXPOSURE |
FUTURES | SWAPS |
FOREIGN CURRENCY EXCHANGE |
|||||||||||||||
| Flexible Income | Interest Rate Risk | $ | (82,466 | ) | $ | (86,581 | ) | — | |||||||||||
| Currency Risk | — | — | $ | (1,894 | ) | ||||||||||||||
| Total | $ | (82,466 | ) | $ | (86,581 | ) | $ | (1,894 | ) | ||||||||||
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE CONTRACTS
| PORTFOLIO |
PRIMARY RISK EXPOSURE |
FUTURES | SWAPS |
FOREIGN CURRENCY EXCHANGE |
|||||||||||||||
| Flexible Income | Interest Rate Risk | $ | 4,206 | $ | 43,834 | — | |||||||||||||
| Currency Risk | — | — | $ | 1,154 | |||||||||||||||
| Total | $ | 4,206 | $ | 43,834 | $ | 1,154 | |||||||||||||
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For the six months ended June 30, 2012, Flexible Income Portfolio's average monthly original value of futures contracts was $5,179,788, the average monthly notional value of swap agreements was $14,920,861 and the average monthly principal amount of foreign currency exchange contracts was $910,382.
4. Advisory/Administration and Sub-Advisory Agreements
Pursuant to an Investment Advisory Agreement with the Adviser and Sub-Advisers, the Fund pays an advisory fee, accrued daily and payable monthly, by applying the annual rates listed below to each Portfolio's net assets determined at the close of each business day.
Money Market — 0.45% to the portion of the daily net assets not exceeding $250 million; 0.375% to the portion of the daily net assets exceeding $250 million but not exceeding $750 million; 0.325% to the portion of the daily net assets exceeding $750 million but not exceeding $1.25 billion; 0.30% to the portion of the daily net assets exceeding $1.25 billion but not exceeding $1.5 billion; and 0.275% to the portion of the daily net assets in excess of $1.5 billion.
Flexible Income — 0.32%.
Global Infrastructure — 0.57% to the portion of the daily net assets not exceeding $500 million; 0.47% to the portion of the daily net assets exceeding $500 million but not exceeding $1 billion; 0.445% to the portion of the daily net assets exceeding $1 billion but not exceeding $1.5 billion; 0.42% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $2.5 billion; 0.395% to the portion of the daily net assets exceeding $2.5 billion but not exceeding $3.5 billion; 0.37% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $5 billion; and 0.345% to the portion of the daily net assets in excess of $5 billion.
Growth — 0.50% to the portion of the daily net assets not exceeding $1 billion; 0.45% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion; 0.40% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion; and 0.35% to the portion of the daily net assets in excess of $3 billion.
Focus Growth — 0.545% to the portion of the daily net assets not exceeding $250 million; 0.42% to the portion of the daily net assets exceeding $250 million but not exceeding $2.5 billion; 0.395% to the portion of the daily net assets exceeding $2.5 billion but not exceeding $3.5 billion; 0.37% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $4.5 billion; and 0.345% to the portion of the daily net assets in excess of $4.5 billion.
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Multi Cap Growth — 0.67% to the portion of the daily net assets not exceeding $500 million; 0.645% to the portion of the daily net assets exceeding $500 million but not exceeding $2 billion; 0.62% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion; and 0.595% to the portion of the daily net assets in excess of $3 billion.
Mid Cap Growth — 0.42% to the portion of the daily net assets not exceeding $500 million; and 0.395% to the portion of the daily net assets in excess of $500 million.
Under the Sub-Advisory Agreement between the Adviser and the Sub-Advisers, the Sub-Advisers provide Global Infrastructure Portfolio and Money Market Portfolio (effective June 25th, 2012) with advisory services, subject to the overall supervision of the Adviser and the Fund's Officers and Trustees. The Adviser pays the Sub-Advisers on a monthly basis a portion of the net advisory fees the Adviser receives from each Portfolio.
Pursuant to an Administration Agreement with Morgan Stanley Services Company Inc. (the "Administrator"), an affiliate of the Adviser, each Portfolio pays an administration fee, accrued daily and payable monthly, by applying the annual rate of 0.08% (Money Market 0.05%) to each Portfolio's daily net assets.
Under a Sub-Administration agreement between the Administrator and State Street Bank and Trust Company ("State Street"), State Street provides certain administrative services to the Fund. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Fund.
5. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distribution, Inc. (the "Distributor"), an affiliate of the Adviser, Administrator and Sub-Advisers. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. Under the Plan, Class Y shares of each Portfolio bear a distribution fee which is accrued daily and paid monthly at the annual rate of 0.25% of the average daily net assets of the class.
The Distributor, Adviser and Administrator have agreed to waive and/or reimburse all or a portion of the Money Market Portfolio's distribution fee, advisory fee and administration fee, respectively, to the extent that total expenses exceed total income of the Money Market Portfolio on a daily basis. For the six months ended June 30, 2012, the Distributor waived $64,998 and the Adviser waived $146,114. These fee waivers and/or expense reimbursements will continue for at least one year or until such time that the Trustees acts to discontinue such waivers and/or expense reimbursements when it deems such action is appropriate.
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6. Security Transactions and Transactions with Affiliates
For the six months ended June 30, 2012, purchases and sales of investment securities, excluding short-term investments, were as follows:
| U.S. GOVERNMENT SECURITIES | OTHER | ||||||||||||||||||
| PORTFOLIO | PURCHASES | SALES | PURCHASES | SALES | |||||||||||||||
| Flexible Income | $ | 1,534,856 | $ | 1,442,232 | $ | 9,587,077 | $ | 10,512,935 | |||||||||||
| Global Infrastructure | — | — | 4,304,662 | 6,572,778 | |||||||||||||||
| Growth | — | — | 6,891,040 | 10,153,163 | |||||||||||||||
| Focus Growth | — | — | 20,267,620 | 27,334,155 | |||||||||||||||
| Multi Cap Growth | — | — | 5,093,771 | 6,175,831 | |||||||||||||||
| Mid Cap Growth | — | — | 4,431,856 | 6,788,847 | |||||||||||||||
Each Portfolio (except Money Market) invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Portfolios are reduced by an amount equal to its pro-rata share of advisory and administrative fees paid by the Portfolios due to its investment in the Liquidity Funds.
A summary of the Portfolio's transactions in shares of the Liquidity Funds during the six months ended June 30, 2012 is as follows:
| PORTFOLIO |
VALUE DECEMBER 31, 2011 |
PURCHASES AT COST |
SALES |
DIVIDEND INCOME |
VALUE JUNE 30, 2012 |
||||||||||||||||||
| Flexible Income | $ | 1,105,730 | $ | 5,802,139 | $ | 6,715,528 | $ | 521 | $ | 192,341 | |||||||||||||
| Global Infrastructure | 765,145 | 3,598,044 | 3,943,863 | 207 | 419,326 | ||||||||||||||||||
| Growth | 379,026 | 6,138,853 | 5,676,223 | 478 | 841,656 | ||||||||||||||||||
| Focus Growth | 1,101,134 | 20,003,632 | 20,106,885 | 1,656 | 997,881 | ||||||||||||||||||
| Multi Cap Growth | 969,287 | 3,400,433 | 3,776,613 | 504 | 593,107 | ||||||||||||||||||
| Mid Cap Growth | 1,001,688 | 3,596,107 | 3,637,516 | 726 | 960,279 | ||||||||||||||||||
In addition, the table also identifies the income distributions earned, if any, by each Portfolio for that Portfolio's investment in the Liquidity Funds.
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Income distributions are included in "interest and dividends from affiliates" in the Statements of Operations.
| PORTFOLIO |
ADVISORY FEE REDUCTION |
||||||
| Flexible Income | $ | 483 | |||||
| Global Infrastructure | 217 | ||||||
| Growth | 416 | ||||||
| Focus Growth | 1,425 | ||||||
| Multi Cap Growth | 475 | ||||||
| Mid Cap Growth | 674 | ||||||
The following Portfolio had transactions with Hartford Financial Services Group, Inc., an affiliate of the Fund:
| PORTFOLIO |
VALUE DECEMBER 31, 2011 |
PURCHASES AT COST |
SALES |
INTEREST INCOME |
VALUE JUNE 30, 2012 |
||||||||||||||||||
| Flexible Income | $ | 60,996 | — | — | $ | 1,766 | $ | 62,742 | |||||||||||||||
The following Portfolios had transactions with Citigroup, Inc., and its affiliated broker-dealers, which may be deemed to be affiliates of the Adviser, Sub-Advisers, Administrator and Distributor under Section 17 of the Act, for the six months ended June 30, 2012:
| PORTFOLIO |
VALUE DECEMBER 31, 2011 |
PURCHASES AT COST |
SALES |
NET REALIZED GAIN |
DIVIDEND/ INTEREST INCOME |
VALUE JUNE 30, 2012 |
|||||||||||||||||||||
| Flexible Income | $ | 100,193 | — | — | — | $ | 3,593 | $ | 105,120 | ||||||||||||||||||
| Growth | 61,145 | $ | 24,516 | $ | 23,884 | $ | 647 | 59 | 64,797 | ||||||||||||||||||
| Focus Growth | — | 399,482 | 47,697 | 1,350 | 242 | 302,826 | |||||||||||||||||||||
For the six months ended June 30, 2012, the following Portfolio incurred brokerage commissions with Morgan Stanley & Co., LLC, an affiliate of the Adviser, Sub-Advisers, Administrator and Distributor, for portfolio transactions executed on behalf of the Portfolio:
|
MID CAP GROWTH |
|||||||
| $ | 91 | ||||||
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For the six months ended June 30, 2012, the following Portfolios incurred brokerage commissions with Citigroup, Inc., and its affiliated broker-dealers, which may be deemed affiliates of the Adviser, Sub-Advisers, Administrator and Distributor under Section 17 of the Act, for portfolio transactions executed on behalf of each Portfolio:
|
GLOBAL INFRASTRUCTURE |
FOCUS GROWTH |
GROWTH |
MULTI CAP GROWTH |
MID CAP GROWTH |
|||||||||||||||
| $ | 466 | $ | 100 | $ | 30 | $ | 22 | $ | 161 | ||||||||||
Morgan Stanley Services Company Inc., an affiliate of the Adviser, Sub-Advisers and Distributor, is the Fund's transfer agent.
7. Purposes of and Risks Relating to Certain Financial Instruments
Certain Portfolios may invest in mortgage securities, including securities issued by Federal National Mortgage Association ("FNMA") and Federal Home Loan Mortgage Corporation ("FHLMC"). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage backed security and could result in losses to the Portfolio. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages. The securities issued by FNMA and FHLMC that are held by the Portfolios are not backed by sub-prime mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States; rather, they are supported by the right of the issuer to borrow from the U.S. Department of the Treasury.
The Federal Housing Finance Agency ("FHFA") serves as conservator of FNMA and FHLMC and the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
Certain Portfolios may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In the event of default on the obligation to repurchase, the Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral proceeds may be subject to certain costs and delays.
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8. Federal Income Tax Status
It is the Portfolios' intention to continue to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for Federal income taxes is required in the financial statements.
Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Dividends from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually.
A Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as such income and/or gains are earned. Taxes may also be based on transactions in foreign currency and are accrued based on the value of investments denominated in such currency.
FASB ASC 740-10, Income Taxes — Overall, sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has concluded there are no significant uncertain tax positions that would require recognition in the financial statements. If applicable, the Portfolios recognize interest accrued related to unrecognized tax benefits in "interest expense" and penalties in "other expenses" in the Statements of Operations. The Portfolios file tax returns with the U.S. Internal Revenue Service, New York and various states. Each of the tax years in the four-year period ended December 31, 2011, remains subject to examination by taxing authorities.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2011and 2010 was as follows:
| 2011 DISTRIBUTIONS PAID FROM: | 2010 DISTRIBUTIONS PAID FROM: | ||||||||||||||||||
| PORTFOLIO |
ORDINARY INCOME |
LONG-TERM CAPITAL GAIN |
ORDINARY INCOME |
LONG-TERM CAPITAL GAIN |
|||||||||||||||
| Money Market | $ | 9,367 | $ | — | $ | 11,764 | $ | 184 | |||||||||||
| Flexible Income | 1,629,670 | — | 1,785,335 | — | |||||||||||||||
| Global Infrastructure | 794,791 | 1,788,505 | 1,004,960 | 1,135,827 | |||||||||||||||
| Focus Growth | — | — | 32,429 | — | |||||||||||||||
| Mid Cap Growth | 96,594 | — | 29,523 | — | |||||||||||||||
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The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature.
Temporary differences are primarily due to differing book and tax treatments in the timing of the recognition of gains (losses) on certain investment transactions and the timing of the deductibility of certain expenses.
Permanent differences, primarily due to differing treatments of gains (losses) related to foreign currency transactions, swap transactions, paydown adjustments, expiring capital losses, net operating losses, partnership basis adjustments and certain equity securities designated as issued by passive foreign investment companies, resulted in the following reclassifications among the Portfolio's components of net assets at December 31, 2011:
| PORTFOLIO |
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME |
ACCUMULATED NET REALIZED GAIN (LOSS) |
PAID-IN-CAPITAL |
||||||||||||
| Money Market | $ | (90 | ) | $ | 90 | $ | — | ||||||||
| Flexible Income | 96,838 | 5,822,272 | (5,919,110 | ) | |||||||||||
| Global Infrastructure | (45,694 | ) | 45,694 | — | |||||||||||
| Growth | 93,299 | (7,955 | ) | (85,344 | ) | ||||||||||
| Focus Growth | 129,129 | (26,895 | ) | (102,234 | ) | ||||||||||
| Multi Cap Growth | 150,466 | (4,387 | ) | (146,079 | ) | ||||||||||
| Mid Cap Growth | 123,341 | 3,892 | (127,233 | ) | |||||||||||
At December 31, 2011, the components of distributable earnings on a tax basis were as follows:
| PORTFOLIO |
UNDISTRIBUTED ORDINARY INCOME |
UNDISTRIBUTED LONG-TERM CAPITAL GAIN |
|||||||||
| Money Market | $ | 6,883 | $ | — | |||||||
| Flexible Income | 1,428,996 | — | |||||||||
| Global Infrastructure | 1,127,851 | 1,997,601 | |||||||||
| Growth | — | 996,287 | |||||||||
| Focus Growth | — | 2,406,744 | |||||||||
| Multi Cap Growth | — | 1,147,535 | |||||||||
| Mid Cap Growth | — | 1,976,981 | |||||||||
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At June 30, 2012, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation/(depreciation) and net unrealized appreciation/(depreciation) of the investments of each of the Portfolios were as follows:
| PORTFOLIO | APPRECIATION | DEPRECIATION |
NET APPRECIATION (DEPRECIATION) |
||||||||||||
| Money Market | $ | — | $ | — | $ | — | |||||||||
| Flexible Income | 1,521,688 | (530,517 | ) | 991,171 | |||||||||||
| Global Infrastructure | 5,382,637 | (425,836 | ) | 4,956,801 | |||||||||||
| Growth | 6,408,588 | (1,866,948 | ) | 4,541,640 | |||||||||||
| Focus Growth | 22,806,708 | (9,153,707 | ) | 13,653,001 | |||||||||||
| Multi Cap Growth | 5,132,673 | (1,548,439 | ) | 3,584,234 | |||||||||||
| Mid Cap Growth | 4,626,879 | (3,012,560 | ) | 1,614,319 | |||||||||||
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Modernization Act") was signed into law. The Modernization Act modernizes several tax provisions related to Regulated Investment Companies ("RICs") and their shareholders. One key change made by the Modernization Act is that capital losses will generally retain their character as short-term or long-term and may be carried forward indefinitely to offset future gains. These losses are utilized before other capital loss carryforwards that expire. Generally, the Modernization Act is effective for taxable years beginning after December 22, 2010.
At December 31, 2011, the following Portfolio had available for Federal income tax purposes unused short-term capital losses that will not expire:
| PORTFOLIO |
SHORT-TERM LOSSES NO EXPIRATION |
||||||
| Money Market | $ | 1,530 | |||||
In addition, the following Portfolio had available capital loss carryforwards to offset future net capital gains, to the extent provided by regulations, which will expire on the indicated dates:
| AMOUNTS IN THOUSANDS AVAILABLE THROUGH DECEMBER 31, | |||||||||||||||||||||||||||||||
| PORTFOLIO | 2012 | 2013 | 2014 | 2016 | 2017 | 2018 | TOTAL | ||||||||||||||||||||||||
| Flexible Income | $ | 1,199 | $ | 562 | $ | 938 | $ | 4,961 | $ | 6,610 | $ | 2,202 | $ | 16,472 | |||||||||||||||||
During the year ended December 31, 2011, the following Portfolio expired capital loss carryforwards for U.S. Federal income tax purposes as follows:
| PORTFOLIO |
EXPIRED CAPITAL LOSS CARRYFORWARDS |
||||||
| Flexible Income | $ | 5,919,110 | |||||
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To the extent that capital loss carryforwards are used to offset any future capital gains realized during the carryover period as provided by U.S. Federal income tax regulations, no capital gains tax liability will be incurred by a Portfolio for gains realized and not distributed. To the extent that capital gains are offset, such gains will not be distributed to the shareholders. During the year ended December 31, 2011, the following Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of:
| PORTFOLIO |
UTILIZED CAPITAL LOSS CARRYFORWARDS |
||||||
| Flexible Income | $ | 241,980 | |||||
| Growth | 3,205,346 | ||||||
| Focus Growth | 8,478,656 | ||||||
| Multi Cap Growth | 2,262,631 | ||||||
| Mid Cap Growth | 2,331,608 | ||||||
9. Expense Offset
The Fund has entered into an arrangement with State Street (the "Custodian"), whereby credits realized on uninvested cash balances were used to offset a portion of the Fund's expenses. If applicable, these custodian credits are shown as "expense offset" in the Statements of Operations.
10. Accounting Pronouncement
In December 2011, FASB issued Accounting Standards Update ("ASU") 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities. The pronouncement improves disclosures for recognized financial and derivative instruments that are either offset on the balance sheet in accordance with the offsetting guidance in ASC 210-20-45 or ASC 815-10-45 or are subject to an enforceable master netting agreements or similar. The Fund will be required to disclose information about rights to offset and related arrangements (such as collateral agreements) in order to enable financial statement users to understand the effect of those rights and arrangements on its financial position as well as disclose the following (1) gross amounts; (2) amounts offset in the statement of financial position; (3) any other amounts that can be offset in the event of bankruptcy, insolvency or default of any of the parties (including cash and noncash financial collateral); and (4) the Fund's net exposure. The requirements are effective for annual reporting periods beginning on or after January 1, 2013, and must be applied retrospectively. At this time, the Fund's management is evaluating the implications of ASU 2011-11 and its impact, if any, on the financial statements.
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Morgan Stanley Select Dimensions Investment Series
Financial Highlights
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE BEGINNING OF PERIOD |
NET INVESTMENT INCOME(a) |
NET REALIZED AND UNREALIZED GAIN (LOSS) |
TOTAL FROM INVESTMENT OPERATIONS |
DIVIDENDS TO SHAREHOLDERS |
DISTRIBUTIONS TO SHAREHOLDERS |
TOTAL DIVIDENDS AND DISTRIBUTIONS |
||||||||||||||||||||||||
|
MONEY MARKET CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 1.00 | $ | 0.050 | — | $ | 0.050 | $ | (0.050 | ) | — | $ | (0.050 | ) | |||||||||||||||||
| 2008^ | 1.00 | 0.020 | — | 0.020 | (0.020 | ) | — | (0.020 | ) | ||||||||||||||||||||||
| 2009^ | 1.00 | 0.000 | (d) | — | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | ||||||||||||||||||||
| 2010^ | 1.00 | 0.000 | (d) | — | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | ||||||||||||||||||||
| 2011 | 1.00 | 0.000 | (d) | (0.000 | )(d) | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | |||||||||||||||||||
| 2012^^ | 1.00 | 0.000 | (d) | 0.000 | (d) | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 1.00 | 0.050 | — | 0.050 | (0.050 | ) | — | (0.050 | ) | ||||||||||||||||||||||
| 2008^ | 1.00 | 0.020 | — | 0.020 | (0.020 | ) | — | (0.020 | ) | ||||||||||||||||||||||
| 2009^ | 1.00 | 0.000 | (d) | — | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | ||||||||||||||||||||
| 2010^ | 1.00 | 0.000 | (d) | — | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | ||||||||||||||||||||
| 2011 | 1.00 | 0.000 | (d) | (0.000 | )(d) | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | |||||||||||||||||||
| 2012^^ | 1.00 | 0.000 | (d) | 0.000 | (d) | 0.000 | (d) | (0.000 | )(d) | — | (0.000 | )(d) | |||||||||||||||||||
|
FLEXIBLE INCOME CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | 7.30 | 0.48 | $ | (0.21 | ) | 0.27 | (0.44 | ) | $ | (0.01 | )(h) | (0.45 | ) | ||||||||||||||||||
| 2008^ | 7.12 | 0.41 | (1.93 | ) | (1.52 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
| 2009^ | 5.46 | 0.32 | 0.73 | 1.05 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||||||
| 2010^ | 6.08 | 0.27 | 0.25 | 0.52 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||||||
| 2011 | 6.21 | 0.35 | (0.08 | ) | 0.27 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||||
| 2012^^ | 6.07 | 0.15 | 0.20 | 0.35 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 7.27 | 0.46 | (0.20 | ) | 0.26 | (0.42 | ) | (0.01 | )(h) | (0.43 | ) | ||||||||||||||||||||
| 2008^ | 7.10 | 0.39 | (1.93 | ) | (1.54 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||
| 2009^ | 5.43 | 0.31 | 0.72 | 1.03 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
| 2010^ | 6.04 | 0.25 | 0.26 | 0.51 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||||||
| 2011 | 6.17 | 0.33 | (0.07 | ) | 0.26 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||||
| 2012^^ | 6.03 | 0.15 | 0.19 | 0.34 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||||||
See Notes to Financial Statements
96
|
RATIO TO AVERAGE NET ASSETS(c) |
|||||||||||||||||||||||||||||||
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE END OF PERIOD |
TOTAL RETURN(b) |
NET ASSETS END OF PERIOD (000'S) |
EXPENSES |
NET INVESTMENT INCOME |
REBATE FROM MORGAN STANLEY AFFILIATE |
PORTFOLIO TURNOVER RATE |
||||||||||||||||||||||||
|
MONEY MARKET CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 1.00 | 4.93 | % | $ | 38,036 | 0.58 | % | 4.79 | % | — | N/A | |||||||||||||||||||
| 2008^ | 1.00 | 2.38 | 42,190 | 0.58 | 2.34 | — | N/A | ||||||||||||||||||||||||
| 2009^ | 1.00 | 0.03 | 40,771 | 0.39 | (e)(f) | 0.03 | (e)(f) | — | N/A | ||||||||||||||||||||||
| 2010^ | 1.00 | 0.01 | 32,429 | 0.30 | (f) | 0.01 | (f) | — | N/A | ||||||||||||||||||||||
| 2011 | 1.00 | 0.01 | 27,555 | 0.23 | (f) | 0.01 | (f) | — | N/A | ||||||||||||||||||||||
| 2012^^ | 1.00 | 0.00 | (g)(k) | 24,948 | 0.26 | (f)(l) | 0.01 | (f)(l) | — | N/A | |||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 1.00 | 4.67 | 84,724 | 0.83 | 4.54 | — | N/A | ||||||||||||||||||||||||
| 2008^ | 1.00 | 2.13 | 173,595 | 0.83 | 1.91 | — | N/A | ||||||||||||||||||||||||
| 2009^ | 1.00 | 0.01 | 101,015 | 0.40 | (e)(f) | 0.02 | (e)(f) | — | N/A | ||||||||||||||||||||||
| 2010^ | 1.00 | 0.01 | 67,856 | 0.30 | (f) | 0.01 | (f) | — | N/A | ||||||||||||||||||||||
| 2011 | 1.00 | 0.01 | 56,081 | 0.23 | (f) | 0.01 | (f) | — | N/A | ||||||||||||||||||||||
| 2012^^ | 1.00 | 0.00 | (g)(k) | 47,639 | 0.26 | (f)(l) | 0.01 | (f)(l) | — | N/A | |||||||||||||||||||||
|
FLEXIBLE INCOME CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | 7.12 | 3.89 | 24,135 | 0.61 | 6.62 | — | 51 | % | |||||||||||||||||||||||
| 2008^ | 5.46 | (21.62 | ) | 14,743 | 0.67 | (i) | 6.48 | (i) | 0.01 | % | 73 | ||||||||||||||||||||
| 2009^ | 6.08 | 19.77 | 13,924 | 0.92 | (i) | 5.58 | (i) | 0.01 | 165 | ||||||||||||||||||||||
| 2010^ | 6.21 | 9.08 | 12,719 | 0.90 | (i) | 4.38 | (i) | 0.00 | (g) | 91 | |||||||||||||||||||||
| 2011 | 6.07 | 4.48 | 11,405 | 1.07 | (i) | 5.71 | (i) | 0.00 | (g) | 65 | |||||||||||||||||||||
| 2012^^ | 6.00 | 5.75 | (k) | 10,550 | 1.00 | (i)(l) | 4.94 | (i)(l) | 0.00 | (g)(l) | 48 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 7.10 | 3.64 | 25,381 | 0.86 | 6.37 | — | 51 | ||||||||||||||||||||||||
| 2008^ | 5.43 | (21.89 | ) | 15,658 | 0.92 | (i) | 6.23 | (i) | 0.01 | 73 | |||||||||||||||||||||
| 2009^ | 6.04 | 19.45 | 16,357 | 1.17 | (i) | 5.33 | (i) | 0.01 | 165 | ||||||||||||||||||||||
| 2010^ | 6.17 | 8.85 | 14,740 | 1.15 | (i) | 4.13 | (i) | 0.00 | (g) | 91 | |||||||||||||||||||||
| 2011 | 6.03 | 4.20 | 12,529 | 1.32 | (i) | 5.46 | (i) | 0.00 | (g) | 65 | |||||||||||||||||||||
| 2012^^ | 5.97 | 5.67 | (k) | 12,294 | 1.25 | (i)(l) | 4.69 | (i)(l) | 0.00 | (g)(l) | 48 | (k) | |||||||||||||||||||
97
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE BEGINNING OF PERIOD |
NET INVESTMENT INCOME (LOSS)(a) |
NET REALIZED AND UNREALIZED GAIN (LOSS) |
TOTAL FROM INVESTMENT OPERATIONS |
DIVIDENDS TO SHAREHOLDERS |
DISTRIBUTIONS TO SHAREHOLDERS |
TOTAL DIVIDENDS AND DISTRIBUTIONS |
||||||||||||||||||||||||
|
GLOBAL INFRASTRUCTURE CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 25.29 | $ | 0.51 | $ | 4.49 | $ | 5.00 | $ | (0.52 | ) | — | $ | (0.52 | ) | ||||||||||||||||
| 2008^ | 29.77 | 0.58 | (10.37 | ) | (9.79 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||
| 2009^ | 19.83 | 0.54 | 3.00 | 3.54 | (0.69 | ) | — | (0.69 | ) | ||||||||||||||||||||||
| 2010^ | 22.68 | 0.56 | 0.72 | 1.28 | (0.53 | ) | $ | (0.98 | ) | (1.51 | ) | ||||||||||||||||||||
| 2011 | 22.45 | 0.52 | 2.95 | 3.47 | (0.69 | ) | (1.51 | ) | (2.20 | ) | |||||||||||||||||||||
| 2012^^ | 23.72 | 0.34 | 1.28 | 1.62 | (0.57 | ) | (2.36 | ) | (2.93 | ) | |||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 25.27 | 0.45 | 4.48 | 4.93 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||||||
| 2008^ | 29.75 | 0.52 | (10.36 | ) | (9.84 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||
| 2009^ | 19.78 | 0.49 | 3.00 | 3.49 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||||||
| 2010^ | 22.63 | 0.51 | 0.71 | 1.22 | (0.47 | ) | (0.98 | ) | (1.45 | ) | |||||||||||||||||||||
| 2011 | 22.40 | 0.46 | 2.95 | 3.41 | (0.62 | ) | (1.51 | ) | (2.13 | ) | |||||||||||||||||||||
| 2012^^ | 23.68 | 0.31 | 1.27 | 1.58 | (0.50 | ) | (2.36 | ) | (2.86 | ) | |||||||||||||||||||||
|
GROWTH CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | 18.20 | 0.08 | 3.91 | 3.99 | — | — | — | ||||||||||||||||||||||||
| 2008^ | 22.19 | (0.04 | ) | (10.74 | ) | (10.78 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
| 2009^ | 11.35 | 0.02 | 7.49 | 7.51 | — | — | — | ||||||||||||||||||||||||
| 2010^ | 18.86 | 0.02 | 4.45 | 4.47 | — | — | — | ||||||||||||||||||||||||
| 2011 | 23.33 | (0.04 | ) | (0.75 | ) | (0.79 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 22.54 | 0.06 | 2.32 | 2.38 | — | (1.13 | ) | (1.13 | ) | ||||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 17.97 | 0.03 | 3.86 | 3.89 | — | — | — | ||||||||||||||||||||||||
| 2008^ | 21.86 | (0.08 | ) | (10.59 | ) | (10.67 | ) | (0.00 | )(j) | — | (0.00 | )(j) | |||||||||||||||||||
| 2009^ | 11.19 | (0.02 | ) | 7.37 | 7.35 | — | — | — | |||||||||||||||||||||||
| 2010^ | 18.54 | (0.03 | ) | 4.36 | 4.33 | — | — | — | |||||||||||||||||||||||
| 2011 | 22.87 | (0.10 | ) | (0.72 | ) | (0.82 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 22.05 | 0.03 | 2.27 | 2.30 | — | (1.13 | ) | (1.13 | ) | ||||||||||||||||||||||
See Notes to Financial Statements
98
|
RATIO TO AVERAGE NET ASSETS(c) |
|||||||||||||||||||||||||||||||
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE END OF PERIOD |
TOTAL RETURN(b) |
NET ASSETS END OF PERIOD (000'S) |
EXPENSES |
NET INVESTMENT INCOME (LOSS) |
REBATE FROM MORGAN STANLEY AFFILIATE |
PORTFOLIO TURNOVER RATE |
||||||||||||||||||||||||
|
GLOBAL INFRASTRUCTURE CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 29.77 | 19.86 | % | $ | 48,582 | 0.75 | % | 1.83 | % | — | 8 | % | ||||||||||||||||||
| 2008^ | 19.83 | (33.02 | ) | 26,297 | 0.84 | (i) | 2.28 | (i) | 0.00 | %(g) | 77 | ||||||||||||||||||||
| 2009^ | 22.68 | 18.47 | 24,953 | 1.42 | (i) | 2.75 | (i) | 0.00 | (g) | 279 | |||||||||||||||||||||
| 2010^ | 22.45 | 7.13 | 21,843 | 0.93 | (i) | 2.66 | (i) | 0.00 | (g) | 148 | |||||||||||||||||||||
| 2011 | 23.72 | 15.81 | 20,282 | 1.10 | (i) | 2.26 | (i) | 0.00 | (g) | 36 | |||||||||||||||||||||
| 2012^^ | 22.41 | 6.84 | (k) | 19,464 | 1.09 | (i)(l) | 2.83 | (i)(l) | 0.00 | (g)(l) | 16 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 29.75 | 19.59 | 18,763 | 1.00 | 1.58 | — | 8 | ||||||||||||||||||||||||
| 2008^ | 19.78 | (33.19 | ) | 10,886 | 1.09 | (i) | 2.03 | (i) | 0.00 | (g) | 77 | ||||||||||||||||||||
| 2009^ | 22.63 | 18.18 | 10,332 | 1.67 | (i) | 2.50 | (i) | 0.00 | (g) | 279 | |||||||||||||||||||||
| 2010^ | 22.40 | 6.81 | 8,883 | 1.18 | (i) | 2.41 | (i) | 0.00 | (g) | 148 | |||||||||||||||||||||
| 2011 | 23.68 | 15.56 | 7,863 | 1.35 | (i) | 2.01 | (i) | 0.00 | (g) | 36 | |||||||||||||||||||||
| 2012^^ | 22.40 | 6.69 | (k) | 7,662 | 1.34 | (i)(l) | 2.58 | (i)(l) | 0.00 | (g)(l) | 16 | (k) | |||||||||||||||||||
|
GROWTH CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | 22.19 | 21.92 | 21,863 | 0.70 | 0.38 | — | 55 | ||||||||||||||||||||||||
| 2008^ | 11.35 | (48.70 | ) | 8,621 | 0.81 | (i) | (0.21 | )(i) | 0.00 | (g) | 42 | ||||||||||||||||||||
| 2009^ | 18.86 | 66.17 | 11,748 | 0.91 | (i) | 0.11 | (i) | 0.00 | (g) | 19 | |||||||||||||||||||||
| 2010^ | 23.33 | 23.70 | 11,710 | 0.89 | (i) | 0.11 | (i) | 0.00 | (g) | 33 | |||||||||||||||||||||
| 2011 | 22.54 | (3.39 | ) | 9,439 | 0.94 | (i) | (0.19 | )(i) | 0.00 | (g) | 29 | ||||||||||||||||||||
| 2012^^ | 23.79 | 10.55 | (k) | 9,732 | 0.93 | (i)(l) | 0.51 | (i)(l) | 0.00 | (g)(l) | 30 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 21.86 | 21.58 | 27,644 | 0.95 | 0.13 | — | 55 | ||||||||||||||||||||||||
| 2008^ | 11.19 | (48.81 | ) | 12,953 | 1.06 | (i) | (0.46 | )(i) | 0.00 | (g) | 42 | ||||||||||||||||||||
| 2009^ | 18.54 | 65.68 | 17,864 | 1.16 | (i) | (0.14 | )(i) | 0.00 | (g) | 19 | |||||||||||||||||||||
| 2010^ | 22.87 | 23.35 | 17,537 | 1.14 | (i) | (0.14 | )(i) | 0.00 | (g) | 33 | |||||||||||||||||||||
| 2011 | 22.05 | (3.59 | ) | 12,715 | 1.19 | (i) | (0.44 | )(i) | 0.00 | (g) | 29 | ||||||||||||||||||||
| 2012^^ | 23.22 | 10.43 | (k) | 11,894 | 1.18 | (i)(l) | 0.26 | (i)(l) | 0.00 | (g)(l) | 30 | (k) | |||||||||||||||||||
99
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE BEGINNING OF PERIOD |
NET INVESTMENT INCOME (LOSS)(a) |
NET REALIZED AND UNREALIZED GAIN (LOSS) |
TOTAL FROM INVESTMENT OPERATIONS |
DIVIDENDS TO SHAREHOLDERS |
DISTRIBUTIONS TO SHAREHOLDERS |
TOTAL DIVIDENDS AND DISTRIBUTIONS |
||||||||||||||||||||||||
|
FOCUS GROWTH CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 17.25 | $ | 0.08 | $ | 3.85 | $ | 3.93 | — | — | — | ||||||||||||||||||||
| 2008^ | 21.18 | (0.03 | ) | (10.83 | ) | (10.86 | ) | $ | (0.07 | ) | — | $ | (0.07 | ) | |||||||||||||||||
| 2009^ | 10.25 | 0.01 | 7.35 | 7.36 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
| 2010^ | 17.59 | (0.01 | ) | 4.83 | 4.82 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
| 2011 | 22.40 | (0.01 | ) | (1.28 | ) | (1.29 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 21.11 | 0.09 | 2.18 | 2.27 | — | $ | (0.77 | ) | (0.77 | ) | |||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 17.12 | 0.04 | 3.81 | 3.85 | — | — | — | ||||||||||||||||||||||||
| 2008^ | 20.97 | (0.08 | ) | (10.73 | ) | (10.81 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
| 2009^ | 10.15 | (0.02 | ) | 7.27 | 7.25 | — | — | — | |||||||||||||||||||||||
| 2010^ | 17.40 | (0.05 | ) | 4.77 | 4.72 | — | — | — | |||||||||||||||||||||||
| 2011 | 22.12 | (0.07 | ) | (1.26 | ) | (1.33 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 20.79 | 0.06 | 2.15 | 2.21 | — | (0.77 | ) | (0.77 | ) | ||||||||||||||||||||||
|
MULTI CAP GROWTH CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | 12.62 | 0.04 | 2.41 | 2.45 | — | — | — | ||||||||||||||||||||||||
| 2008^ | 15.07 | (0.05 | ) | (7.34 | ) | (7.39 | ) | — | — | — | |||||||||||||||||||||
| 2009^ | 7.68 | (0.02 | ) | 5.38 | 5.36 | — | — | — | |||||||||||||||||||||||
| 2010^ | 13.04 | (0.04 | ) | 3.56 | 3.52 | — | — | — | |||||||||||||||||||||||
| 2011 | 16.56 | (0.09 | ) | (1.18 | ) | (1.27 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 15.29 | 0.00 | (d) | 1.41 | 1.41 | — | (1.12 | ) | (1.12 | ) | |||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 12.42 | 0.00 | 2.37 | 2.37 | — | — | — | ||||||||||||||||||||||||
| 2008^ | 14.79 | (0.08 | ) | (7.19 | ) | (7.27 | ) | — | — | — | |||||||||||||||||||||
| 2009^ | 7.52 | (0.05 | ) | 5.26 | 5.21 | — | — | — | |||||||||||||||||||||||
| 2010^ | 12.73 | (0.07 | ) | 3.47 | 3.40 | — | — | — | |||||||||||||||||||||||
| 2011 | 16.13 | (0.13 | ) | (1.15 | ) | (1.28 | ) | — | — | — | |||||||||||||||||||||
| 2012^^ | 14.85 | (0.02 | ) | 1.37 | 1.35 | — | (1.12 | ) | (1.12 | ) | |||||||||||||||||||||
See Notes to Financial Statements
100
|
RATIO TO AVERAGE NET ASSETS(c) |
|||||||||||||||||||||||||||||||
|
FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE END OF PERIOD |
TOTAL RETURN(b) |
NET ASSETS END OF PERIOD (000'S) |
EXPENSES |
NET INVESTMENT INCOME (LOSS) |
REBATE FROM MORGAN STANLEY AFFILIATE |
PORTFOLIO TURNOVER RATE |
||||||||||||||||||||||||
|
FOCUS GROWTH CLASS X SHARES |
|||||||||||||||||||||||||||||||
| 2007^ | $ | 21.18 | 22.78 | % | $ | 125,826 | 0.72 | % | 0.44 | % | — | 48 | % | ||||||||||||||||||
| 2008^ | 10.25 | (51.43 | ) | 48,722 | 0.70 | (i) | (0.19 | )(i) | 0.01 | % | 31 | ||||||||||||||||||||
| 2009^ | 17.59 | 71.83 | 67,932 | 0.77 | (i) | 0.10 | (i) | 0.00 | (g) | 11 | |||||||||||||||||||||
| 2010^ | 22.40 | 27.41 | 72,166 | 0.75 | (i) | (0.04 | )(i) | 0.00 | (g) | 44 | |||||||||||||||||||||
| 2011 | 21.11 | (5.76 | ) | 55,818 | 0.76 | (i) | (0.07 | )(i) | 0.00 | (g) | 32 | ||||||||||||||||||||
| 2012^^ | 22.61 | 10.77 | (k) | 55,952 | 0.76 | (i)(l) | 0.73 | (i)(l) | 0.00 | (g)(l) | 27 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 20.97 | 22.49 | 38,526 | 0.97 | 0.19 | — | 48 | ||||||||||||||||||||||||
| 2008^ | 10.15 | (51.57 | ) | 14,206 | 0.95 | (i) | (0.44 | )(i) | 0.01 | 31 | |||||||||||||||||||||
| 2009^ | 17.40 | 71.43 | 22,047 | 1.02 | (i) | (0.15 | )(i) | 0.00 | (g) | 11 | |||||||||||||||||||||
| 2010^ | 22.12 | 27.07 | 21,783 | 1.00 | (i) | (0.29 | )(i) | 0.00 | (g) | 44 | |||||||||||||||||||||
| 2011 | 20.79 | (5.97 | ) | 16,191 | 1.01 | (i) | (0.32 | )(i) | 0.00 | (g) | 32 | ||||||||||||||||||||
| 2012^^ | 22.23 | 10.65 | (k) | 16,458 | 1.01 | (i)(l) | 0.48 | (i)(l) | 0.00 | (g)(l) | 27 | (k) | |||||||||||||||||||
|
MULTI CAP GROWTH CLASS X SHARES |
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| 2007^ | 15.07 | 19.32 | 17,108 | 0.94 | 0.26 | — | 57 | ||||||||||||||||||||||||
| 2008^ | 7.68 | (49.04 | ) | 6,744 | 1.04 | (i) | (0.37 | )(i) | 0.00 | (g) | 33 | ||||||||||||||||||||
| 2009^ | 13.04 | 69.79 | 9,601 | 1.23 | (i) | (0.24 | )(i) | 0.00 | (g) | 23 | |||||||||||||||||||||
| 2010^ | 16.56 | 26.99 | 10,230 | 1.08 | (i) | (0.31 | )(i) | 0.00 | (g) | 27 | |||||||||||||||||||||
| 2011 | 15.29 | (7.67 | ) | 7,995 | 1.17 | (i) | (0.57 | )(i) | 0.00 | (g) | 27 | ||||||||||||||||||||
| 2012^^ | 15.58 | 9.21 | (k) | 8,029 | 1.28 | (i)(l) | 0.06 | (i)(l) | 0.01 | (l) | 30 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 14.79 | 19.08 | 18,362 | 1.19 | 0.01 | — | 57 | ||||||||||||||||||||||||
| 2008^ | 7.52 | (49.15 | ) | 8,571 | 1.29 | (i) | (0.62 | )(i) | 0.00 | (g) | 33 | ||||||||||||||||||||
| 2009^ | 12.73 | 69.28 | 12,455 | 1.48 | (i) | (0.49 | )(i) | 0.00 | (g) | 23 | |||||||||||||||||||||
| 2010^ | 16.13 | 26.71 | 13,058 | 1.33 | (i) | (0.56 | )(i) | 0.00 | (g) | 27 | |||||||||||||||||||||
| 2011 | 14.85 | (7.94 | ) | 8,797 | 1.42 | (i) | (0.82 | )(i) | 0.00 | (g) | 27 | ||||||||||||||||||||
| 2012^^ | 15.08 | 9.08 | (k) | 8,825 | 1.53 | (i)(l) | (0.19 | )(i)(l) | 0.01 | (l) | 30 | (k) | |||||||||||||||||||
101
Morgan Stanley Select Dimensions Investment Series
Financial Highlights continued
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FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE BEGINNING OF PERIOD |
NET INVESTMENT INCOME (LOSS)(a) |
NET REALIZED AND UNREALIZED GAIN (LOSS) |
TOTAL FROM INVESTMENT OPERATIONS |
DIVIDENDS TO SHAREHOLDERS |
DISTRIBUTIONS TO SHAREHOLDERS |
TOTAL DIVIDENDS AND DISTRIBUTIONS |
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|
MID CAP GROWTH CLASS X SHARES |
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| 2007^ | $ | 26.28 | $ | 0.16 | $ | 5.87 | $ | 6.03 | $ | (0.12 | ) | — | $ | (0.12 | ) | ||||||||||||||||
| 2008^ | 32.19 | (0.05 | ) | (15.34 | ) | (15.39 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
| 2009^ | 16.61 | 0.03 | 10.01 | 10.04 | — | — | — | ||||||||||||||||||||||||
| 2010^ | 26.65 | 0.10 | 8.63 | 8.73 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
| 2011 | 35.34 | (0.07 | ) | (2.37 | ) | (2.44 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||
| 2012^^ | 32.77 | 0.12 | 1.97 | 2.09 | — | $ | (2.61 | ) | (2.61 | ) | |||||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 25.86 | 0.09 | 5.76 | 5.85 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
| 2008^ | 31.67 | (0.11 | ) | (15.10 | ) | (15.21 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
| 2009^ | 16.34 | (0.03 | ) | 9.84 | 9.81 | — | — | — | |||||||||||||||||||||||
| 2010^ | 26.15 | 0.03 | 8.46 | 8.49 | — | — | — | ||||||||||||||||||||||||
| 2011 | 34.64 | (0.16 | ) | (2.32 | ) | (2.48 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
| 2012^^ | 32.11 | 0.07 | 1.94 | 2.01 | — | (2.61 | ) | (2.61 | ) | ||||||||||||||||||||||
^^ For the six months ended June, 30, 2012 (unaudited).
^ Beginning with the year ended December 31, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm.
(a) The per share amounts were computed using an average number of shares outstanding during the period.
(b) Calculated based on the net asset value as of the last business day of the period. Performance shown does not reflect fees and expenses imposed by your insurance company. If performance information included the effect of these charges, the total returns would be lower.
(c) Reflects overall Portfolio ratios for investment income and non-class specific expenses.
(d) Amount is less than $0.001.
(e) Reflects fees paid in connection with the U.S. Treasury's Temporary Guarantee Program for Money Market Funds. This fee had an effect of 0.03% for the year ended 2009.
See Notes to Financial Statements
102
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RATIO TO AVERAGE NET ASSETS(c) |
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FOR THE YEAR ENDED DECEMBER 31 |
NET ASSET VALUE END OF PERIOD |
TOTAL RETURN(b) |
NET ASSETS END OF PERIOD (000'S) |
EXPENSES |
NET INVESTMENT INCOME (LOSS) |
REBATE FROM MORGAN STANLEY AFFILIATE |
PORTFOLIO TURNOVER RATE |
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MID CAP GROWTH CLASS X SHARES |
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| 2007^ | $ | 32.19 | 22.94 | % | $ | 38,069 | 0.67 | % | 0.54 | % | — | 78 | % | ||||||||||||||||||
| 2008^ | 16.61 | (48.06 | ) | 16,023 | 0.74 | (i) | (0.19 | )(i) | 0.01 | % | 43 | ||||||||||||||||||||
| 2009^ | 26.65 | 60.45 | 21,310 | 0.84 | (i) | 0.12 | (i) | 0.00 | (g) | 36 | |||||||||||||||||||||
| 2010^ | 35.34 | 32.79 | 24,319 | 0.79 | (i) | 0.36 | (i) | 0.00 | (g) | 44 | |||||||||||||||||||||
| 2011 | 32.77 | (6.97 | ) | 19,186 | 0.81 | (i) | (0.19 | )(i) | 0.00 | (g) | 33 | ||||||||||||||||||||
| 2012^^ | 32.25 | 6.36 | (k) | 18,647 | 0.91 | (i)(l) | 0.65 | (i)(l) | 0.00 | (g)(l) | 16 | (k) | |||||||||||||||||||
| CLASS Y SHARES | |||||||||||||||||||||||||||||||
| 2007^ | 31.67 | 22.65 | 12,788 | 0.92 | 0.29 | — | 78 | ||||||||||||||||||||||||
| 2008^ | 16.34 | (48.20 | ) | 5,469 | 0.99 | (i) | (0.44 | )(i) | 0.01 | 43 | |||||||||||||||||||||
| 2009^ | 26.15 | 60.04 | 8,267 | 1.09 | (i) | (0.13 | )(i) | 0.00 | (g) | 36 | |||||||||||||||||||||
| 2010^ | 34.64 | 32.47 | 10,828 | 1.04 | (i) | 0.11 | (i) | 0.00 | (g) | 44 | |||||||||||||||||||||
| 2011 | 32.11 | (7.18 | ) | 7,812 | 1.06 | (i) | (0.44 | )(i) | 0.00 | (g) | 33 | ||||||||||||||||||||
| 2012^^ | 31.51 | 6.25 | (k) | 7,609 | 1.16 | (i)(l) | 0.40 | (i)(l) | 0.00 | (g)(l) | 16 | (k) | |||||||||||||||||||
(f) If the Portfolio had borne all of its expenses that were reimbursed or waived by the Distributor, Adviser, and Administrator, the annualized expense and net investment loss ratios, would have been as follows:
| PERIOD ENDED |
EXPENSE RATIO |
NET INVESTMENT LOSS RATIO |
|||||||||
| June 30, 2012 | |||||||||||
| Class X | 0.63 | % | (0.36 | )% | |||||||
| Class Y | 0.88 | (0.61 | ) | ||||||||
| December 31, 2011 | |||||||||||
| Class X | 0.61 | (0.37 | ) | ||||||||
| Class Y | 0.86 | (0.62 | ) | ||||||||
| December 31, 2010 | |||||||||||
| Class X | 0.59 | (0.29 | ) | ||||||||
| Class Y | 0.84 | (0.54 | ) | ||||||||
| December 31, 2009 | |||||||||||
| Class X | 0.59 | (0.17 | ) | ||||||||
| Class Y | 0.84 | (0.42 | ) | ||||||||
(g) Amount is less than 0.005%.
(h) Distribution from paid-in-capital.
(i) The ratios reflect the rebate of certain Portfolio expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."
(j) Includes dividends of less than $0.001.
(k) Not annualized.
(l) Annualized.
103
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| Trustees | |||||||||||
| Frank L. Bowman | Joseph J. Kearns | ||||||||||
| Michael Bozic | Michael F. Klein | ||||||||||
| Kathleen A. Dennis | Michael E. Nugent | ||||||||||
| James F. Higgins | W. Allen Reed | ||||||||||
| Dr. Manuel H. Johnson | Fergus Reid | ||||||||||
| Officers | |||||||||||
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Michael E. Nugent Chairperson of the Board |
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Arthur Lev President and Principal Executive Officer |
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Mary Ann Picciotto Chief Compliance Officer |
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Stefanie V. Chang Yu Vice President |
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Francis J. Smith Treasurer and Principal Financial Officer |
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Mary E. Mullin Secretary |
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| Transfer Agent | Custodian | ||||||||||
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Morgan Stanley Services Company Inc. P.O. Box 219886 Kansas City, Missouri 64121 |
State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts 02111 |
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| Independent Registered Public Accounting Firm | Legal Counsel | ||||||||||
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Ernst & Young LLP 200 Clarendon Street Boston, Massachusetts 02116 |
Dechert LLP 1095 Avenue of the Americas New York, New York 10036 |
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| Counsel to the Independent Trustees | Adviser | ||||||||||
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Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York 10036 |
Morgan Stanley Investment Management Inc. 522 Fifth Avenue New York, New York 10036 |
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| Sub-Advisers | |||||||||||
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Morgan Stanley Investment Management Limited 25 Cabot Square, London, E14 4QA England |
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Morgan Stanley Investment Management Company 23 Church Street 16-01 Capital Square 049481 Singapore |
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This report is submitted for the general information of shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund's Statement of Additional Information contains additional information about the Fund, including its trustees. It is available without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing.
Morgan Stanley Distribution, Inc., member FINRA.
SELDIMSAN
IU12-01683P-Y06/12
#40474
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
(a) Refer to Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semiannual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to annual reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) Code of Ethics – Not applicable for semiannual reports.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Select Dimensions Investment Series
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/s/ Arthur Lev |
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Arthur Lev |
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Principal Executive Officer |
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August 15, 2012 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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/s/ Arthur Lev |
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Arthur Lev |
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Principal Executive Officer |
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August 15, 2012 |
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/s/ Francis Smith |
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Francis Smith |
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Principal Financial Officer |
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August 15, 2012 |
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