<PAGE> 1
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND Two World Trade Center
LETTER TO THE SHAREHOLDERS August 31, 1998 New York, New York 10048
DEAR SHAREHOLDER:
Morgan Stanley Dean Witter S&P 500 Index Fund commenced operations on September
26, 1997. The Fund seeks to deliver investment performance that corresponds,
before expenses, to the total return of the Standard & Poor's 500 Composite
Stock Price Index (S&P 500), by investing in substantially all the stocks that
comprise the S&P 500 in approximately the same weightings as they are
represented in the index.
MARKET COMMENTARY
The Fund's fiscal year-end ended amid increased fears of an international
economic slowdown and its potential impact on the U.S. corporate profit outlook.
The subsequent stock market selloff saw the S&P 500 relinquish almost all the
gains it had produced earlier in the year. The market's downturn has been blamed
on high valuation levels, the "Asian flu" and financial problems in Russia,
though we believe that Russia's problems pose little danger to the U.S. economy.
Yet, despite its larger exposure to international economies, the S&P 500 still
outperformed both the mid- and smaller-cap market segments over the reporting
period.
PERFORMANCE
The Fund's Class B shares returned 1.38 percent from September 26, 1997
(inception date) through August 31, 1998, compared with 2.74 percent for the S&P
500 and 2.26 percent for the Lipper S&P 500 Funds Index. During the same period,
the Fund's Class A, C and D shares posted total returns of 2.05 percent, 1.37
percent and 2.30 percent, respectively. THE PERFORMANCE OF THE FUND'S FOUR SHARE
CLASSES VARIES, SINCE EACH CLASS HAS DIFFERENT EXPENSES.
The accompanying chart illustrates the growth of a hypothetical $10,000
investment in the Fund's Class B shares from inception through the fiscal year
ended August 31, 1998, versus similar hypothetical investments in the issues
that comprise the S&P 500 and the Lipper S&P 500 Funds Index.
<PAGE> 2
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
LETTER TO THE SHAREHOLDERS August 31, 1998, continued
The Fund's performance was reflective of the overall market turbulence
experienced during the period. However, despite the market's recent selloff, the
S&P 500-based indexing strategy has continued to maintain its popularity among
investors. The interest in index investing has been made evident by the
continuing flow of assets into the Fund even during the market's most volatile
periods. Since the Fund's inception, its assets have grown threefold, with total
net assets reaching $619.9 million by August 31, 1998.
LOOKING AHEAD
Looking forward, we believe that the stock market's correction will be
short-lived and that the market will go on to new highs. The reason is that the
"Goldilocks economy" -- a financial environment that is neither too hot nor too
cold, allowing for economic expansion with vanishing inflation -- remains in
place and is expected to continue throughout the next decade. Thus our general
outlook for the economy remains favorable. The current environment of low
inflation and low interest rates may set the tone for U.S. markets to begin
their ascent back to the high levels set earlier this year.
We further believe that the large-cap stocks of the S&P 500 will fully
participate in any recovery and that the Fund's straightforward indexing
strategy will allow it to benefit from such a broad-based market comeback.
We appreciate your support of Morgan Stanley Dean Witter S&P 500 Index Fund and
look forward to continuing to serve your investment needs in the future.
Very truly yours,
/S/ CHARLES A. FIUMEFREDDO
CHARLES A. FIUMEFREDDO
Chairman of the Board
2
<PAGE> 3
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FUND PERFORMANCE August 31, 1998
GROWTH OF $10,000--CLASS B
($ IN THOUSANDS)
[GRAPHIC]
<TABLE>
<CAPTION>
Fund S&P(4) Lipper(5)
<S> <C> <C> <C>
10000 10000 10000
September 30, 1997 10020 10024 10000
October 30, 1997 9690 9689 9667
November 30, 1997 10110 10138 10110
December 31, 1997 10278 10312 10282
January 31, 1998 10378 10426 10396
February 28, 1998 11109 11177 11140
March 31, 1998 11659 11749 11706
April 30, 1998 11759 11867 11821
May 31, 1998 11549 11663 11614
June 30, 1998 12000 12137 12084
July 31, 1998 11859 12008 11954
August 31, 1998 9638(3) 10274 10226
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. PERFORMANCE FOR CLASS A,
CLASS C AND CLASS D SHARES WILL VARY FROM THE PERFORMANCE OF CLASS B SHOWN DUE
TO DIFFERENCES IN SALES CHARGES AND EXPENSES.
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS B SHARES**
- -----------------------------------------------
<S> <C> <C>
Since Inception (9/26/97) 1.38%(1) (3.62)%(2)
</TABLE>
<TABLE>
<CAPTION>
CLASS C SHARES++
- -----------------------------------------------
<S> <C> <C>
Since Inception (9/26/97) 1.37%(1) 0.37%(2)
</TABLE>
<TABLE>
<CAPTION>
CLASS A SHARES+
- -----------------------------------------------
<S> <C> <C>
Since Inception (9/26/97) 2.05%(1) (3.31)%(2)
</TABLE>
<TABLE>
<CAPTION>
CLASS D SHARES#
- -----------------------------------------------
<S> <C> <C>
Since Inception (9/26/97) 2.30%(1)
</TABLE>
- ---------------------
<TABLE>
<C> <S>
(1) Figure shown assumes reinvestment of all distributions and
does not reflect the deduction of any sales charges.
(2) Figure shown assumes reinvestment of all distributions and
the deduction of the maximum applicable sales charge. See
the Fund's current prospectus for complete details on fees
and sales charges.
(3) Closing value after the deduction of a 5% contingent
deferred sales charge (CDSC), assuming a complete redemption
on August 31, 1998.
(4) The Standard & Poor's 500 Stock Index (S&P 500) is a
broad-based index, the performance of which is based on the
average performance of 500 widely held common stocks. The
performance of the Index does not include any expenses, fees
or charges. The Index is unmanaged and should not be
considered an investment.
(5) The Lipper S&P 500 Fund Index is an equally-weighted
performance index of the largest qualifying funds (based on
net assets) in the Lipper S&P 500 Index Funds objective. The
Index, which is adjusted for capital gains distributions and
income dividends, is unmanaged and should not be considered
an investment. There are currently 10 funds represented in
this Index.
* For periods of less than one year, the fund quotes its total
return on a non-annualized basis.
** The maximum CDSC for Class B is 5.0%. The CDSC declines to
0% after six years.
+ The maximum front-end sales charge for Class A is 5.25%.
++ The maximum CDSC for Class C shares is 1% for shares
redeemed within one year of purchase.
# Class D shares have no sales charge.
</TABLE>
3
<PAGE> 4
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (94.6%)
Accident & Health Insurance (0.2%)
10,378 Provident Companies, Inc. ... $ 373,608
10,758 Torchmark Corp. ............. 384,598
10,605 UNUM Corp. .................. 466,620
------------
1,224,826
------------
Advertising (0.2%)
9,539 Interpublic Group of
Companies, Inc. ............ 543,723
13,056 Omnicom Group, Inc. ......... 621,792
------------
1,165,515
------------
Aerospace (0.9%)
77,489 Boeing Co. .................. 2,397,316
14,996 Lockheed Martin Corp. ....... 1,311,213
5,191 Northrop Grumman Corp. ...... 328,980
17,602 United Technologies Corp. ... 1,277,245
------------
5,314,754
------------
Air Freight/Delivery Services (0.1%)
11,284 FDX Corp.*................... 564,905
------------
Airlines (0.4%)
13,985 AMR Corp.*................... 762,183
5,809 Delta Air Lines, Inc. ....... 592,518
25,673 Southwest Airlines Co. ...... 457,291
7,737 US Airways Group Inc.*....... 450,680
------------
2,262,672
------------
Alcoholic Beverages (0.5%)
37,268 Anheuser-Busch Companies,
Inc. ....................... 1,718,986
5,279 Brown-Forman Corp. (Class
B).......................... 316,740
2,781 Coors (Adolph) Co. (Class
B).......................... 114,369
13,265 Fortune Brands, Inc. ........ 365,617
26,559 Seagram Co. Ltd. (Canada).... 820,009
------------
3,335,721
------------
Aluminum (0.2%)
17,444 Alcan Aluminium Ltd.
(Canada).................... 331,436
14,322 Aluminum Co. of America...... 857,530
5,522 Reynolds Metals Co. ......... 264,711
------------
1,453,677
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Apparel (0.1%)
5,517 Fruit of the Loom, Inc.
(Class A)*.................. $ 123,788
5,065 Liz Claiborne, Inc. ......... 144,352
2,786 Russell Corp. ............... 88,107
9,332 VF Corp. .................... 353,449
------------
709,696
------------
Auto Parts - Original Equipment (0.2%)
12,646 Dana Corp. .................. 495,565
5,476 Eaton Corp. ................. 320,688
6,490 Johnson Controls, Inc. ...... 277,853
9,406 TRW, Inc. ................... 403,282
------------
1,497,388
------------
Automotive Aftermarket (0.2%)
6,041 Cooper Tire & Rubber Co. .... 96,656
13,727 Genuine Parts Co. ........... 429,827
12,059 Goodyear Tire & Rubber
Co. ........................ 590,891
------------
1,117,374
------------
Banks - Commercial (0.1%)
16,378 Regions Financial Corp. ..... 562,994
------------
Banks - North East (0.1%)
13,615 Summit Bancorp. ............. 464,612
------------
Biotechnology (0.2%)
6,629 ALZA Corp. (Class A)*........ 238,644
19,486 Amgen Inc.*.................. 1,188,646
------------
1,427,290
------------
Books/Magazine (0.1%)
5,434 Harcourt General, Inc. ...... 263,889
4,049 Meredith Corp. .............. 135,895
------------
399,784
------------
Broadcasting (0.7%)
55,076 CBS Corp. ................... 1,431,976
19,015 Clear Channel Communications,
Inc.*....................... 855,675
46,699 MediaOne Group Inc.*......... 1,914,659
------------
4,202,310
------------
Building Materials (0.0%)
4,139 Owens Corning................ 145,124
------------
Building Materials Chains (0.9%)
112,707 Home Depot, Inc. ............ 4,339,219
26,827 Lowe's Companies, Inc. ...... 940,622
------------
5,279,841
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE> 5
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Building Products (0.2%)
3,070 Armstrong World Industries
Inc. ....................... $ 147,360
7,041 Georgia-Pacific Corp. ....... 301,883
26,074 Masco Corp. ................. 599,702
------------
1,048,945
------------
Cable Television (0.4%)
28,283 Comcast Corp. (Class A
Special).................... 1,072,986
38,899 Tele-Communications, Inc.
(Class A)*.................. 1,283,667
------------
2,356,653
------------
Casino/Gambling (0.1%)
7,754 Harrah's Entertainment,
Inc.*....................... 111,948
18,928 Hilton Hotels Corp. ......... 392,756
13,769 Mirage Resorts, Inc.*........ 204,814
------------
709,518
------------
Cellular Telephone (0.5%)
43,902 AirTouch Communications,
Inc.*....................... 2,469,487
20,958 Nextel Communications, Inc.
(Class A)*.................. 377,244
------------
2,846,731
------------
Clothing/Shoe/Accessory Chains (0.5%)
30,152 Gap, Inc. (The).............. 1,539,636
17,410 Limited (The), Inc. ......... 363,434
11,697 Nordstrom, Inc. ............. 350,179
24,496 TJX Companies, Inc. ......... 546,567
10,349 Venator Group, Inc.*......... 93,788
------------
2,893,604
------------
Computer Software (3.5%)
5,110 Adobe Systems, Inc. ......... 134,137
3,586 Autodesk, Inc. .............. 83,823
41,879 Computer Associates
International, Inc. ........ 1,130,733
188,981 Microsoft Corp. ............. 18,130,365
26,967 Novell, Inc.*................ 256,186
74,660 Oracle Corp.*................ 1,488,534
20,750 Parametric Technology
Corp.*...................... 212,687
------------
21,436,465
------------
Computer/Video Chains (0.1%)
7,573 Circuit City Stores, Inc. ... 233,816
7,767 Tandy Corp. ................. 423,787
------------
657,603
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Computers Communications (1.2%)
27,274 3Com Corp.*.................. $ 646,053
14,790 Ascend Communications,
Inc.*....................... 519,499
12,134 Cabletron Systems, Inc.*..... 84,938
78,457 Cisco Systems, Inc.*......... 6,423,667
------------
7,674,157
------------
Construction/Ag Equip/Trucks (0.4%)
5,465 Case Corp. .................. 147,555
28,117 Caterpillar, Inc. ........... 1,186,186
2,556 Cummins Engine Co., Inc. .... 103,997
19,025 Deere & Co. ................. 626,636
626 NACCO Industries, Inc. (Class
A).......................... 59,626
5,292 Navistar International
Corp.*...................... 111,132
5,991 PACCAR, Inc. ................ 244,882
------------
2,480,014
------------
Consumer Electric/Appliances (0.1%)
7,215 Maytag Corp. ................ 311,147
5,794 Whirlpool Corp. ............. 287,527
------------
598,674
------------
Consumer Specialities (0.0%)
2,838 Jostens, Inc. ............... 56,405
------------
Consumer Sundries (0.0%)
5,583 American Greetings Corp.
(Class A)................... 204,477
------------
Containers/Packaging (0.2%)
2,329 Ball Corp. .................. 87,046
4,093 Bemis Company, Inc. ......... 146,836
9,543 Crown Cork & Seal Co.,
Inc. ....................... 312,533
11,831 Owens-Illinois, Inc.*........ 368,979
6,405 Sealed Air Corp.*............ 230,580
8,031 Stone Container Corp. ....... 83,824
4,299 Temple-Inland, Inc. ......... 192,649
------------
1,422,447
------------
Contract Drilling (0.0%)
3,857 Helmerich & Payne, Inc. ..... 62,676
6,663 Rowan Companies, Inc.*....... 61,633
------------
124,309
------------
Crude Products (0.1%)
7,562 Apache Corp. ................ 172,981
28,172 Occidental Petroleum
Corp. ...................... 521,182
------------
694,163
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE> 6
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Department Stores (0.8%)
8,256 Dillard's, Inc. (Class A).... $ 238,392
16,152 Federated Department
Stores, Inc.*............... 703,621
12,110 Kohl's Corp.*................ 550,248
17,706 May Department Stores Co. ... 995,962
19,251 Penney (J.C.) Co., Inc. ..... 954,128
29,992 Sears, Roebuck & Co. ........ 1,362,761
------------
4,805,112
------------
Discount Chains (2.1%)
8,262 Consolidated Stores Corp.*... 260,253
16,540 Costco Companies, Inc.*...... 778,414
33,524 Dayton Hudson Corp. ......... 1,206,864
11,040 Dollar General Corp. ........ 296,700
37,421 Kmart Corp.*................. 477,118
172,248 Wal-Mart Stores, Inc.**...... 10,119,570
------------
13,138,919
------------
Diversified Electronic Products (0.1%)
6,135 Harris Corp. ................ 195,553
15,072 Rockwell International
Corp. ...................... 546,360
------------
741,913
------------
Diversified Financial Services (1.2%)
35,367 American Express Co. ........ 2,758,626
7,292 Providian Financial Corp. ... 468,055
4,827 Transamerica Corp. .......... 495,069
88,203 Travelers Group, Inc. ....... 3,914,008
------------
7,635,758
------------
Diversified Manufacturing (4.6%)
15,080 Allegheny Teledyne Inc. ..... 227,142
43,357 AlliedSignal, Inc. .......... 1,487,687
9,259 Cooper Industries, Inc. ..... 394,086
17,102 Dover Corp. ................. 466,029
13,459 Dresser Industries, Inc. .... 344,046
2,660 FMC Corp.*................... 137,655
249,873 General Electric Co.**....... 19,989,840
9,674 Honeywell, Inc. ............. 604,625
9,083 ITT Industries, Inc. ........ 273,625
31,025 Minnesota Mining &
Manufacturing Co. .......... 2,125,212
12,220 Thermo Electron Corp.*....... 198,575
44,720 Tyco International Ltd. ..... 2,481,960
------------
28,730,482
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Drug Store Chain (0.5%)
29,479 CVS Corp. ................... $ 1,072,299
2,962 Longs Drug Stores Corp. ..... 101,078
19,774 Rite Aid Corp. .............. 715,572
38,092 Walgreen Co. ................ 1,466,542
------------
3,355,491
------------
E.D.P. Peripherals (0.3%)
38,169 EMC Corp.*................... 1,724,762
18,641 Seagate Technology, Inc.*.... 326,217
------------
2,050,979
------------
E.D.P. Services (0.7%)
23,087 Automatic Data
Processing, Inc. ........... 1,471,796
5,570 Ceridian Corp.*.............. 270,145
11,957 Computer Sciences Corp.*..... 676,318
37,695 Electronic Data Systems
Corp. ...................... 1,262,782
34,243 First Data Corp. ............ 708,402
------------
4,389,443
------------
Electric Utilities: Central (0.5%)
14,605 American Electric Power
Co. ........................ 660,876
12,099 CINergy Corp. ............... 420,440
11,127 DTE Energy Co. .............. 468,725
17,687 FirstEnergy Corp. ........... 510,712
11,561 Northern States Power Co. ... 306,366
16,635 Unicom Corp. ................ 592,622
------------
2,959,741
------------
Electric Utilities: East (0.5%)
11,341 Baltimore Gas & Electric
Co. ........................ 349,445
18,060 Consolidated Edison, Inc. ... 854,464
9,808 GPU, Inc. ................... 368,413
14,366 Niagara Mohawk Power Corp.*.. 222,673
17,069 PECO Energy Co. ............. 584,613
12,852 PP&L Resources, Inc. ........ 302,825
17,790 Public Service Enterprise
Group, Inc. ................ 651,559
------------
3,333,992
------------
Electric Utilities: South (1.3%)
11,607 Carolina Power & Light
Co. ........................ 499,826
16,282 Central & South West
Corp. ...................... 425,367
15,004 Dominion Resources, Inc. .... 625,479
27,642 Duke Power Co. .............. 1,724,170
18,897 Entergy Corp. ............... 544,470
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
6
<PAGE> 7
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
13,919 FPL Group, Inc. ............. $ 926,483
22,679 Houston Industries, Inc. .... 653,439
53,486 Southern Co. ................ 1,504,294
21,436 Texas Utilities Co. ......... 911,030
------------
7,814,558
------------
Electric Utilities: West (0.4%)
27,780 Edison International......... 789,994
22,797 PacifiCorp................... 514,357
29,257 PG & E Corp. ................ 939,881
------------
2,244,232
------------
Electrical Products (0.4%)
33,954 Emerson Electric Co. ........ 1,935,378
6,429 Raychem Corp. ............... 186,441
4,238 Thomas & Betts Corp. ........ 144,357
------------
2,266,176
------------
Electronic Components (0.1%)
16,828 AMP, Inc. ................... 600,549
------------
Electronic Data Processing (3.7%)
10,204 Apple Computer, Inc.*........ 318,237
126,755 COMPAQ Computer Corp. ....... 3,541,218
3,768 Data General Corp.*.......... 28,260
49,392 Dell Computer Corp.*......... 4,936,113
11,934 Gateway 2000, Inc.*.......... 564,627
79,443 Hewlett-Packard Co. ......... 3,857,951
72,316 International Business
Machines Corp. ............. 8,144,589
14,480 Silicon Graphics, Inc.*...... 131,225
29,052 Sun Microsystems, Inc.*...... 1,147,554
19,281 Unisys Corp.*................ 345,853
------------
23,015,627
------------
Electronic Production Equipment (0.1%)
28,091 Applied Materials, Inc.*..... 689,985
6,663 KLA-Tencor Corp.*............ 141,589
------------
831,574
------------
Engineering & Construction (0.0%)
6,294 Fluor Corp. ................. 249,006
3,124 Foster Wheeler Corp. ........ 38,464
------------
287,470
------------
Environmental Services (0.4%)
14,124 Browning-Ferris
Industries, Inc. ........... 459,030
43,328 Waste Management, Inc.*...... 1,911,848
------------
2,370,878
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Farming/Seeds/Milling (0.2%)
45,946 Archer-Daniels-Midland
Co. ........................ $ 689,188
18,732 Pioneer Hi-Bred
International, Inc. ........ 632,205
------------
1,321,393
------------
Finance Companies (1.9%)
26,576 Associates First Capital
Corp. (Class A)............. 1,571,306
5,029 Capital One Financial
Corp. ...................... 440,037
8,325 Countrywide Credit
Industries, Inc. ........... 311,667
79,524 Fannie Mae................... 4,517,957
52,046 Freddie Mac.................. 2,055,817
37,560 Household International,
Inc. ....................... 1,387,372
38,438 MBNA Corp. .................. 903,293
13,039 SLM Holding Corp. ........... 467,774
------------
11,655,223
------------
Financial Publishing/Services (0.3%)
7,144 Dow Jones & Co., Inc. ....... 355,860
13,166 Dun & Bradstreet Corp. ...... 309,401
11,342 Equifax, Inc. ............... 404,059
7,631 McGraw-Hill, Inc. ........... 581,864
------------
1,651,184
------------
Fluid Controls (0.1%)
8,480 Parker-Hannifin Corp. ....... 245,920
------------
Food Chains (0.6%)
18,853 Albertson's, Inc. ........... 953,255
20,962 American Stores Co. ......... 607,898
11,731 Fred Meyer, Inc.*............ 461,175
2,933 Great Atlantic & Pacific Tea
Co., Inc. .................. 69,842
19,638 Kroger Co.*.................. 883,710
11,392 Winn-Dixie Stores, Inc. ..... 424,352
------------
3,400,232
------------
Food Distributors (0.1%)
9,220 Supervalu, Inc. ............. 187,281
25,891 Sysco Corp. ................. 522,675
------------
709,956
------------
Forest Products (0.1%)
8,423 Louisiana-Pacific Corp. ..... 158,984
15,261 Weyerhaeuser Co. ............ 573,241
------------
732,225
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
7
<PAGE> 8
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Health Care Diversified (0.0%)
4,361 Alberto-Culver Co. (Class
B).......................... $ 87,220
------------
Home Building (0.1%)
4,562 Centex Corp. ................ 161,381
2,806 Fleetwood Enterprises,
Inc. ....................... 93,826
3,008 Kaufman & Broad Home Corp. .. 64,296
3,270 Pulte Corp. ................. 94,421
------------
413,924
------------
Home Furnishings (0.2%)
12,220 Newell Co. .................. 583,505
11,490 Rubbermaid, Inc. ............ 292,277
4,783 Tupperware Corp. ............ 90,279
------------
966,061
------------
Hospital/Nursing Management (0.3%)
49,355 Columbia/HCA Healthcare
Corp. ...................... 1,113,572
4,883 Manor Care, Inc. ............ 117,192
23,642 Tenet Healthcare Corp.*...... 610,259
------------
1,841,023
------------
Hotels/Resorts (0.1%)
19,593 Marriott International,
Inc. ....................... 549,829
------------
Industrial Machinery/Components (0.3%)
3,031 Cincinnati Milacron, Inc. ... 58,726
3,346 General Signal Corp. ........ 122,965
3,666 Harnischfeger Industries,
Inc. ....................... 58,885
19,166 Illinois Tool Works Inc. .... 928,353
12,694 Ingersoll-Rand Co. .......... 504,586
------------
1,673,515
------------
Industrial Specialties (0.2%)
17,799 Corning, Inc. ............... 438,300
9,875 Ecolab, Inc. ................ 274,648
3,360 Millipore Corp. ............. 72,870
9,517 Pall Corp. .................. 195,098
------------
980,916
------------
Insurance Brokers/Services (0.3%)
12,935 AON Corp. ................... 809,246
19,683 Marsh & McLennan Companies,
Inc. ....................... 954,625
------------
1,763,871
------------
Integrated Oil Companies (5.8%)
7,009 Amerada Hess Corp. .......... 344,317
73,599 Amoco Corp. ................. 3,334,955
24,610 Atlantic Richfield Co. ...... 1,427,380
50,162 Chevron Corp. ............... 3,715,123
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
187,656 Exxon Corp.**................ $ 12,279,739
3,661 Kerr-McGee Corp. ............ 141,406
59,928 Mobil Corp. ................. 4,142,523
3,657 Pennzoil Co. ................ 130,738
20,022 Phillips Petroleum Co. ...... 817,148
164,455 Royal Dutch Petroleum Co.
(ADR) (Netherlands)......... 6,537,086
41,501 Texaco, Inc. ................ 2,305,899
18,512 Unocal Corp. ................ 579,657
------------
35,755,971
------------
Investment Bankers/Brokers/ Services (0.9%)
8,724 Bear Stearns Companies,
Inc. ....................... 322,243
9,091 Lehman Brothers Holdings,
Inc. ....................... 357,958
26,536 Merrill Lynch & Co., Inc. ... 1,751,376
46,017 Morgan Stanley Dean Witter &
Co. (Note 4)................ 2,671,862
20,471 Schwab (Charles) Corp. ...... 611,571
------------
5,715,010
------------
Investment Managers (0.1%)
19,401 Franklin Resources, Inc. .... 625,682
------------
Life Insurance (0.5%)
19,456 American General Corp. ...... 1,250,048
23,759 Conseco, Inc. ............... 656,342
8,159 Jefferson-Pilot Corp. ....... 463,023
14,986 SunAmerica Inc. ............. 928,195
------------
3,297,608
------------
Major Banks (6.8%)
53,824 Banc One Corp. .............. 2,045,312
57,658 Bank of New York Co.,
Inc. ....................... 1,394,603
52,359 BankAmerica Corp. ........... 3,354,248
22,526 BankBoston Corp. ............ 803,897
7,515 Bankers Trust New York
Corp. ...................... 558,458
21,658 BB&T Corp. .................. 610,485
65,455 Chase Manhattan Corp. ....... 3,469,115
34,629 Citicorp..................... 3,744,261
12,012 Comerica, Inc. .............. 627,627
22,025 First Chicago NBD Corp. ..... 1,395,834
74,320 First Union Corp. ........... 3,604,520
21,794 Fleet Financial Group,
Inc. ....................... 1,428,869
16,226 Huntington Bancshares,
Inc. ....................... 369,141
33,751 KeyCorp...................... 860,650
19,957 Mellon Bank Corp. ........... 1,037,764
13,684 Morgan (J.P.) & Co., Inc. ... 1,272,612
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
8
<PAGE> 9
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
25,172 National City Corp. ......... $ 1,478,855
73,465 NationsBank Corp. ........... 4,187,505
58,041 Norwest Corp. ............... 1,726,720
23,070 PNC Bank Corp. .............. 992,010
8,284 Republic New York Corp. ..... 341,715
12,365 State Street Corp. .......... 643,753
16,191 SunTrust Banks, Inc. ........ 906,696
56,977 U.S. Bancorp................. 1,944,340
15,809 Wachovia Corp. .............. 1,158,997
6,545 Wells Fargo & Co. ........... 1,844,872
------------
41,802,859
------------
Major Chemicals (1.6%)
17,265 Dow Chemical Co. ............ 1,346,670
86,550 Du Pont (E.I.) de Nemours
& Co., Inc. ................ 4,992,853
6,068 Eastman Chemical Co. ........ 312,881
7,278 Hercules, Inc. .............. 186,044
45,935 Monsanto Co. ................ 2,512,070
4,653 Rohm & Haas Co. ............. 401,612
10,445 Union Carbide Corp. ......... 419,758
------------
10,171,888
------------
Major Pharmaceuticals (9.9%)
118,385 Abbott Laboratories.......... 4,557,823
100,670 American Home Products
Corp. ...................... 5,046,084
21,554 Baxter International,
Inc. ....................... 1,147,751
76,334 Bristol-Myers Squibb Co. .... 7,471,190
103,129 Johnson & Johnson............ 7,115,901
84,934 Lilly (Eli) & Co. ........... 5,563,177
91,669 Merck & Co., Inc.**.......... 10,627,875
100,134 Pfizer, Inc. ................ 9,312,462
38,960 Pharmacia & Upjohn, Inc. .... 1,619,275
56,269 Schering-Plough Corp. ....... 4,839,134
62,851 Warner-Lambert Co. .......... 4,101,028
------------
61,401,700
------------
Major US Telecommunications (6.7%)
21,025 ALLTEL Corp. ................ 948,753
84,402 Ameritech Corp. ............. 3,977,444
138,974 AT&T Corp. .................. 6,966,072
119,060 Bell Atlantic Corp. ......... 5,253,523
75,934 BellSouth Corp. ............. 5,206,225
73,826 GTE Corp. ................... 3,691,300
55,556 MCI Communications Corp. .... 2,777,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
141,030 SBC Communications, Inc. .... $ 5,359,140
33,020 Sprint Corp. ................ 2,214,404
38,469 U.S. West, Inc. ............. 2,000,388
79,155 WorldCom, Inc.*.............. 3,235,461
------------
41,630,510
------------
Managed Health Care (0.1%)
11,157 Aetna Inc. .................. 671,512
12,765 Humana, Inc.*................ 165,945
------------
837,457
------------
Manufacturing - Diversified
Industries (0.0%)
2,162 Aeroquip-Vickers, Inc. ...... 87,156
------------
Meat/Poultry/Fish (0.2%)
36,845 ConAgra, Inc. ............... 911,914
------------
Medical Electronics (0.3%)
36,009 Medtronic, Inc. ............. 1,849,962
------------
Medical Specialties (0.6%)
4,356 Bard (C.R.), Inc. ........... 142,659
4,266 Bausch & Lomb, Inc. ......... 180,505
18,882 Becton, Dickinson & Co. ..... 629,007
8,586 Biomet, Inc. ................ 230,749
14,909 Boston Scientific Corp.*..... 1,032,448
11,566 Guidant Corp. ............... 714,201
5,611 Mallinckrodt Group, Inc. .... 128,352
6,443 St. Jude Medical, Inc.*...... 142,149
5,879 United States Surgical
Corp. ...................... 234,793
------------
3,434,863
------------
Medical/Dental Distributors (0.2%)
10,234 Cardinal Health, Inc. ....... 895,475
------------
Medical/Nursing Services (0.1%)
32,291 HEALTHSOUTH Corp.*........... 611,511
------------
Metals Fabrications (0.0%)
4,764 Timken Co. .................. 86,645
------------
Mid-Sized Banks (0.4%)
20,162 Fifth Third Bancorp.......... 1,072,366
11,626 Mercantile Bancorporation,
Inc. ....................... 510,817
8,553 Northern Trust Corp. ........ 476,830
20,174 Synovus Financial Corp. ..... 366,915
------------
2,426,928
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE> 10
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Military/Gov't/Technical (0.3%)
3,483 EG & G, Inc. ................ $ 81,633
9,693 General Dynamics Corp. ...... 461,023
25,985 Raytheon Co. (Class B)....... 1,185,566
------------
1,728,222
------------
Motor Vehicles (1.5%)
49,506 Chrysler Corp. .............. 2,209,205
93,030 Ford Motor Co. .............. 4,093,320
51,261 General Motors Corp. ........ 2,960,323
------------
9,262,848
------------
Movies/Entertainment (1.5%)
5,608 King World Productions
Inc.*....................... 117,768
45,312 Time Warner, Inc. ........... 3,641,952
27,351 Viacom, Inc. (Class B)*...... 1,357,293
156,855 Walt Disney Co. ............. 4,303,709
------------
9,420,722
------------
Multi-line Insurance (1.9%)
64,395 Allstate Corp. .............. 2,414,813
80,488 American International Group,
Inc. ....................... 6,222,729
16,517 CIGNA Corp. ................. 961,083
18,076 Hartford Financial Services
Group Inc. ................. 808,901
7,704 Lincoln National Corp. ...... 662,544
10,829 Safeco Corp. ................ 438,575
------------
11,508,645
------------
Multi-Sector Companies (0.4%)
3,507 Crane Co. ................... 141,157
8,820 Loews Corp. ................. 744,188
4,630 McDermott International,
Inc. ....................... 92,889
3,254 National Service Industries,
Inc. ....................... 121,212
13,011 Tenneco, Inc. ............... 412,286
12,549 Textron, Inc. ............... 787,450
------------
2,299,182
------------
Natural Gas - Distribution (0.2%)
7,348 Consolidated Natural Gas
Co. ........................ 321,934
1,566 Eastern Enterprises.......... 61,955
3,679 Nicor Inc. .................. 142,791
2,421 ONEOK, Inc. ................. 72,781
2,708 Peoples Energy Corp. ........ 89,703
18,351 Sempra Energy*............... 466,804
------------
1,155,968
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Newspapers (0.5%)
21,814 Gannett Co., Inc. ........... $ 1,287,026
6,018 Knight-Ridder, Inc. ......... 286,607
14,699 New York Times Co. (Class
A).......................... 426,271
6,805 Times Mirror Co. (Class A)... 389,161
9,364 Tribune Co. ................. 603,393
------------
2,992,458
------------
Office Equipment & Supplies (0.6%)
8,995 Avery Dennison Corp. ........ 482,919
20,981 Pitney Bowes, Inc. .......... 1,041,182
25,174 Xerox Corp. ................. 2,210,592
------------
3,734,693
------------
Oil & Gas Production (0.2%)
9,206 Anardarko Petroleum Corp. ... 264,673
13,582 Burlington Resources,
Inc. ....................... 401,518
8,141 Oryx Energy Co.*............. 101,254
19,256 Union Pacific Resources
Group, Inc. ................ 164,880
------------
932,325
------------
Oil Refining/Marketing (0.2%)
5,827 Ashland, Inc. ............... 265,493
7,194 Sun Co., Inc. ............... 237,852
22,181 USX-Marathon Group........... 576,706
------------
1,080,051
------------
Oil/Gas Transmission (0.4%)
16,294 Coastal Corp. ............... 423,644
6,387 Columbia Gas System, Inc. ... 317,753
25,193 Enron Corp. ................. 1,065,979
8,441 Sonat, Inc. ................. 228,435
32,516 Williams Companies, Inc. .... 747,868
------------
2,783,679
------------
Oilfield Services/Equipment (0.4%)
24,363 Baker Hughes, Inc. .......... 444,625
20,170 Halliburton Co. ............. 535,766
38,255 Schlumberger, Ltd. .......... 1,676,047
------------
2,656,438
------------
Other Consumer Services (0.3%)
8,038 Block (H.&R.), Inc. ......... 314,487
65,286 Cendant Corp.*............... 754,869
19,633 Service Corp.
International............... 665,068
------------
1,734,424
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE> 11
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Other Metals/Minerals (0.1%)
3,042 ASARCO, Inc. ................ $ 48,482
7,183 Cyprus Amax Minerals Co. .... 65,994
11,086 Engelhard Corp. ............. 203,705
13,875 Freeport-McMoran Copper &
Gold, Inc. (Class B)........ 161,297
12,733 Inco Ltd. (Canada)........... 106,639
4,499 Phelps Dodge Corp. .......... 201,330
------------
787,447
------------
Other Pharmaceuticals (0.0%)
5,041 Allergan, Inc. .............. 238,187
------------
Other Specialty Stores (0.1%)
11,700 AutoZone, Inc.*.............. 303,469
4,868 Pep Boys-Manny, Moe & Jack... 71,499
21,400 Toys 'R' Us, Inc.*........... 397,238
------------
772,206
------------
Other Transportation (0.0%)
25,207 Laidlaw, Inc. (Canada)....... 217,410
------------
Package Goods/Cosmetics (2.6%)
10,103 Avon Products, Inc. ......... 635,226
7,967 Clorox Co. .................. 768,318
22,711 Colgate-Palmolive Co. ....... 1,638,031
86,160 Gillette Co. ................ 3,543,330
8,265 International Flavors &
Fragrances Inc. ............ 320,269
42,729 Kimberly-Clark Corp. ........ 1,629,043
102,845 Procter & Gamble Co. ........ 7,867,643
------------
16,401,860
------------
Packaged Foods (1.9%)
22,148 Bestfoods.................... 1,111,553
34,830 Campbell Soup Co. ........... 1,754,561
12,136 General Mills, Inc. ......... 794,150
28,046 Heinz (H.J.) Co. ............ 1,495,202
31,383 Kellogg Co. ................. 957,182
10,627 Quaker Oats Company (The).... 564,559
24,297 Ralston-Ralston Purina
Corp. ...................... 639,315
35,823 Sara Lee Corp. .............. 1,620,991
49,097 Unilever N.V.
(Netherlands)............... 3,111,522
------------
12,049,035
------------
Paints/Coatings (0.2%)
13,603 PPG Industries, Inc. ........ 691,202
13,306 Sherwin-Williams Co. ........ 317,681
------------
1,008,883
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Paper (0.4%)
4,319 Boise Cascade Corp. ......... $ 105,546
7,378 Champion International
Corp. ...................... 243,474
16,904 Fort James Corp. ............ 492,329
23,582 International Paper Co. ..... 872,534
7,981 Mead Corp. .................. 218,480
2,225 Potlatch Corp. .............. 73,147
5,314 Union Camp Corp. ............ 196,950
7,781 Westvaco Corp. .............. 163,401
8,543 Willamette Industries,
Inc. ....................... 210,371
------------
2,576,232
------------
Photographic Products (0.3%)
24,749 Eastman Kodak Co. ........... 1,933,516
3,402 Polaroid Corp. .............. 95,681
------------
2,029,197
------------
Precious Metals (0.1%)
28,607 Barrick Gold Corp.
(Canada).................... 371,891
17,624 Battle Mountain Gold Co. .... 53,974
16,195 Homestake Mining Co. ........ 143,731
12,004 Newmont Mining Corp. ........ 164,305
19,174 Placer Dome Inc. (Canada).... 154,590
------------
888,491
------------
Precision Instruments (0.0%)
3,767 Perkin-Elmer Corp. .......... 218,015
3,875 Tektronix, Inc. ............. 58,852
------------
276,867
------------
Printing Forms (0.1%)
6,199 Deluxe Corp. ................ 179,771
10,882 Donnelley (R.R.) & Sons
Co. ........................ 394,473
6,784 Moore Corp. Ltd. (Canada).... 64,872
------------
639,116
------------
Private Issues (0.1%)
13,131 Frontier Corp. .............. 398,854
------------
Property - Casualty Insurance (0.6%)
12,892 Chubb Corp. ................. 805,750
12,790 Cincinnati Financial
Corp. ...................... 430,064
5,868 General Re Corp. ............ 1,217,610
5,561 Progressive Corp. ........... 541,850
17,991 St. Paul Companies, Inc. .... 549,850
------------
3,545,124
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE> 12
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Railroads (0.5%)
12,086 Burlington Northern Santa Fe
Corp. ...................... $ 1,124,753
16,803 CSX Corp. ................... 634,313
29,048 Norfolk Southern Corp. ...... 818,791
18,966 Union Pacific Corp. ......... 755,084
------------
3,332,941
------------
Recreational Products/Toys (0.2%)
7,627 Brunswick Corp. ............. 113,928
10,189 Hasbro, Inc. ................ 319,043
22,511 Mattel, Inc. ................ 728,794
------------
1,161,765
------------
Rental/Leasing Companies (0.0%)
5,700 Ryder System, Inc. .......... 134,306
------------
Restaurants (0.6%)
10,948 Darden Restaurants, Inc. .... 169,694
52,721 McDonald's Corp. ............ 2,955,671
11,680 TRICON Global Restaurants,
Inc.*....................... 432,890
10,069 Wendy's International,
Inc. ....................... 202,009
------------
3,760,264
------------
Savings & Loan Associations (0.3%)
8,417 Ahmanson (H.F.) & Co. ....... 448,731
4,393 Golden West Financial
Corp. ...................... 334,417
29,687 Washington Mutual, Inc. ..... 949,984
------------
1,733,132
------------
Semiconductors (1.8%)
10,995 Advanced Micro Devices,
Inc.*....................... 144,997
130,077 Intel Corp. ................. 9,259,856
10,795 LSI Logic Corp.*............. 132,239
16,316 Micron Technology, Inc.*..... 371,189
12,596 National Semiconductor
Corp.*...................... 114,939
29,951 Texas Instruments, Inc. ..... 1,428,288
------------
11,451,508
------------
Services to the Health Industry (0.3%)
32,953 HBO & Co. ................... 700,251
12,490 IMS Health Inc. ............. 686,950
2,018 Shared Medical Systems
Corp. ...................... 107,711
14,779 United Healthcare Corp. ..... 533,891
------------
2,028,803
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
Shoe Manufacturing (0.1%)
22,067 Nike, Inc. (Class B)......... $ 765,449
4,320 Reebok International Ltd.
(United Kingdom)*........... 69,930
------------
835,379
------------
Soft Drinks (2.5%)
189,386 Coca Cola Co.**.............. 12,333,763
114,353 PepsiCo, Inc. ............... 3,166,149
------------
15,499,912
------------
Specialty Chemicals (0.3%)
17,964 Air Products & Chemicals,
Inc. ....................... 549,025
5,592 Goodrich (B.F.) Co. ......... 151,334
5,821 Grace (W. R.) & Co. ......... 74,945
4,528 Great Lakes Chemical
Corp. ...................... 177,158
9,998 Morton International,
Inc. ....................... 222,456
5,077 Nalco Chemical Co. .......... 146,916
12,103 Praxair, Inc. ............... 434,195
7,713 Sigma-Aldrich Corp. ......... 214,036
------------
1,970,065
------------
Specialty Foods/Candy (0.2%)
10,978 Hershey Foods Corp. ......... 768,460
8,913 Wrigley (Wm.) Jr. Co. (Class
A).......................... 690,758
------------
1,459,218
------------
Specialty Insurers (0.1%)
7,488 MBIA, Inc. .................. 420,264
8,750 MGIC Investment Corp. ....... 363,125
------------
783,389
------------
Specialty Steel (0.0%)
6,753 Nucor Corp. ................. 242,686
------------
Steel/Iron Ore (0.1%)
8,271 Armco, Inc.*................. 34,118
9,839 Bethlehem Steel Corp.*....... 70,718
6,659 USX-U.S. Steel Group,
Inc. ....................... 139,423
7,419 Worthington Industries,
Inc. ....................... 96,447
------------
340,706
------------
Telecommunication Equipment (2.0%)
6,791 Andrew Corp.*................ 100,592
11,514 General Instrument Corp.*.... 228,841
100,621 Lucent Technologies Inc. .... 7,131,513
45,838 Motorola, Inc. .............. 1,973,899
50,131 Northern Telecom Ltd.
(Canada).................... 2,393,765
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE> 13
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS August 31, 1998, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------
<C> <S> <C>
6,046 Scientific-Atlanta, Inc. .... $ 106,939
14,832 Tellabs, Inc.*............... 626,652
------------
12,562,201
------------
Textiles (0.0%)
1,463 Springs Industries, Inc.
(Class A)................... 48,370
------------
Tobacco (1.3%)
186,320 Philip Morris Companies,
Inc. ....................... 7,743,925
14,237 UST, Inc. ................... 371,942
------------
8,115,867
------------
Tools/Hardware (0.1%)
7,286 Black & Decker Corp. ........ 303,280
1,842 Briggs & Stratton Corp. ..... 67,809
4,540 Snap-On, Inc. ............... 119,175
6,807 Stanley Works................ 268,026
------------
758,290
------------
Utilities - Electric (0.1%)
10,524 Ameren Corp. ................ 416,356
------------
Wholesale Distributor (0.1%)
7,496 Grainger (W.W.), Inc. ....... 293,750
10,385 IKON Office Solutions,
Inc. ....................... 57,767
------------
351,517
------------
TOTAL COMMON STOCKS
(Identified Cost
$617,607,234)............... 586,546,412
------------
PRINCIPAL
AMOUNT IN
THOUSANDS
- --------
SHORT-TERM INVESTMENTS (5.0%)
U.S. GOVERNMENT AGENCIES (a) (5.0%)
$ 30,800 Federal Home Loan Mortgage
Corp. 5.70% due 09/01/98
(Identified Cost
$30,800,000)................ 30,800,000
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (0.0%)
$ 245 The Bank of New York 5.75%
due 09/01/98 (dated
08/31/98; proceeds
$245,222)(b)
(Identified Cost
$245,182)................... $ 245,182
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost
$31,045,182)................ 31,045,182
------------
</TABLE>
<TABLE>
<C> <S> <C>
TOTAL INVESTMENTS
(Identified Cost $648,652,416)
(c)............................. 99.6% $617,591,594
OTHER ASSETS IN EXCESS OF
LIABILITIES..................... 0.4 2,391,806
---- ------------
NET ASSETS...................... 100.0% $619,983,400
===== ============
</TABLE>
- ---------------------
<TABLE>
<C> <S>
ADR American Depository Receipt.
* Non-income producing security.
** Some or all of these securities are segregated in
connection with open futures contracts.
(a) Security was purchased on a discount basis. The
interest rate shown has been adjusted to reflect
a money market equivalent yield.
(b) Collateralized by $191,295 U.S. Treasury Bond
7.875% due 02/15/21 valued at $250,086.
(c) The aggregate cost for federal income tax
purposes approximates identified cost. The
aggregate gross unrealized appreciation is
$34,245,812 and the aggregate gross unrealized
depreciation is $65,306,634, resulting in net
unrealized depreciation of $31,060,822.
</TABLE>
FUTURES CONTRACTS OPEN AT AUGUST 31, 1998:
<TABLE>
<CAPTION>
UNDERLYING
DESCRIPTION, FACE
NUMBER OF DELIVERY YEAR, AMOUNT UNREALIZED
CONTRACTS AND MONTH AT VALUE GAIN/LOSS
- -----------------------------------------------------
<S> <C> <C> <C>
128 S&P 500 Index $30,528,000 $(3,976,852)
Sept/1998
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE> 14
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL STATEMENTS
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
August 31, 1998
ASSETS:
Investments in securities, at value
(identified cost $648,652,416).......... $617,591,594
Receivable for:
Shares of beneficial interest sold... 9,108,591
Dividends............................ 980,846
Investments sold..................... 419,109
Receivable from affiliate................ 93,948
Deferred organizational expenses......... 55,635
Prepaid expenses and other assets........ 151,145
------------
TOTAL ASSETS......................... 628,400,868
------------
LIABILITIES:
Payable for:
Shares of beneficial interest
repurchased......................... 4,029,393
Variation margin on futures
contracts........................... 2,385,313
Investments purchased................ 947,494
Plan of distribution fee............. 539,486
Investment management fee............ 134,751
Accrued expenses and other payables...... 381,031
------------
TOTAL LIABILITIES.................... 8,417,468
------------
NET ASSETS........................... $619,983,400
============
COMPOSITION OF NET ASSETS:
Paid-in-capital.......................... $654,925,631
Net unrealized depreciation.............. (35,037,674)
Undistributed net investment income...... 825,469
Net realized loss........................ (730,026)
------------
NET ASSETS........................... $619,983,400
============
CLASS A SHARES:
Net Assets............................... $28,718,548
Shares Outstanding (unlimited authorized,
$.01 par value)......................... 2,820,351
NET ASSET VALUE PER SHARE............ $10.18
============
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net
asset value)........................ $10.74
============
CLASS B SHARES:
Net Assets............................... $536,348,884
Shares Outstanding (unlimited authorized,
$.01 par value)......................... 52,958,394
NET ASSET VALUE PER SHARE............ $10.13
============
CLASS C SHARES:
Net Assets............................... $40,730,073
Shares Outstanding (unlimited authorized,
$.01 par value)......................... 4,021,274
NET ASSET VALUE PER SHARE............ $10.13
============
CLASS D SHARES:
Net Assets............................... $14,185,895
Shares Outstanding (unlimited authorized,
$.01 par value)......................... 1,390,503
NET ASSET VALUE PER SHARE............ $10.20
============
</TABLE>
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
For the period September 26, 1997*
through August 31, 1998
NET INVESTMENT INCOME:
INCOME
Dividends (net of $29,061 foreign
withholding tax)........................ $ 6,069,179
Interest................................. 870,606
-----------
TOTAL INCOME......................... 6,939,785
-----------
EXPENSES
Plan of distribution fee (Class A
shares)................................. 45,470
Plan of distribution fee (Class B
shares)................................. 3,648,993
Plan of distribution fee (Class C
shares)................................. 258,271
Investment management fee................ 1,676,190
Transfer agent fees and expenses......... 429,209
Registration fees........................ 295,214
Custodian fees........................... 132,521
Professional fees........................ 42,058
S&P license fees......................... 41,905
Shareholder reports and notices.......... 31,176
Organizational expenses.................. 12,726
Trustees' fees and expenses.............. 11,479
Other.................................... 6,740
-----------
TOTAL EXPENSES....................... 6,631,952
Less: amounts waived/reimbursed.......... (583,981)
-----------
NET EXPENSES......................... 6,047,971
-----------
NET INVESTMENT INCOME................ 891,814
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain/loss on:
Investments.......................... 68,639
Futures contracts.................... (798,665)
-----------
NET LOSS............................. (730,026)
-----------
Net unrealized depreciation on:
Investments.......................... (31,060,822)
Futures contracts.................... (3,976,852)
-----------
NET DEPRECIATION..................... (35,037,674)
-----------
NET LOSS............................. (35,767,700)
-----------
NET DECREASE............................. ($34,875,886)
===========
</TABLE>
- ---------------------
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE> 15
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL STATEMENTS, continued
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD
SEPTEMBER 26, 1997*
THROUGH
AUGUST 31, 1998
- ---------------------------------------------------------------------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income....................................... $ 891,814
Net realized loss........................................... (730,026)
Net unrealized depreciation................................. (35,037,674)
-----------
NET DECREASE............................................ (34,875,886)
-----------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Class A shares.............................................. (32,194)
Class B shares.............................................. (218,934)
Class C shares.............................................. (12,314)
Class D shares.............................................. (36,579)
-----------
TOTAL DIVIDENDS......................................... (300,021)
-----------
Net increase from transactions in shares of beneficial
interest................................................... 655,059,307
-----------
NET INCREASE............................................ 619,883,400
NET ASSETS:
Beginning of period......................................... 100,000
-----------
END OF PERIOD
(Including undistributed net investment income of
$825,469)............................................... $619,983,400
===========
</TABLE>
- ---------------------
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE> 16
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Dean Witter S&P 500 Index Fund (the "Fund"), formerly Dean Witter
S&P 500 Index Fund, is registered under the Investment Company Act of 1940, as
amended (the "Act"), as a diversified, open-end management investment company.
The Fund's investment objective is to provide investment results that, before
expenses, correspond to the total return of the Standard & Poor's 500 Composite
Stock Price Index (the "S&P 500 Index"). The Fund seeks to achieve its objective
by investing at least 80% of its total assets in common stocks included in the
S&P 500 Index in approximately the same weighting as the Index. The Fund was
organized as a Massachusetts business trust on June 18, 1997 and had no other
operations other than those relating to organizational matters and the issuance
2,500 shares of beneficial interest by each class for $25,000 of each class to
Morgan Stanley Dean Witter Advisors Inc. (The "Investment Manager"), formerly
Dean Witter InterCapital Inc., to effect the Fund's initial capitalization. The
Fund commenced operations on September 26, 1997.
The Fund offers four classes of shares. Class A shares, Class B shares, Class C
shares and Class D shares. The four classes are substantially the same except
that most Class A shares are subject to a sales charge imposed at the time of
purchase and some Class A shares, and most Class B shares and Class C shares are
subject to a contingent deferred sales charge imposed on shares redeemed within
one year, six years and one year, respectively. Class D shares are not subject
to a sales charge. Additionally, Class A shares, Class B shares and Class C
shares incur distribution expenses.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual results could differ from
those estimates.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- (1) an equity security listed or traded on the
New York, American or other domestic or foreign stock exchange is valued at its
latest sale price on that exchange prior to the time when assets are valued; if
there were no sales that day, the security is valued at the latest bid price (in
cases where a security is traded on more than one exchange, the security is
valued on the exchange designated as the primary market pursuant to procedures
adopted by the Trustees); (2) all other portfolio securities for which
over-the-counter market quotations are readily available are valued at the
latest available bid price prior to the time of valuation; (3) when market
quotations are not readily available, including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their
16
<PAGE> 17
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998, continued
fair value as determined in good faith under procedures established by and under
the general supervision of the Trustees; and (4) short-term debt securities
having a maturity date of more than sixty days at time of purchase are valued on
a market-to-market basis until sixty days prior to maturity and thereafter at
amortized cost based on their value on the 61st day. Short-term debt securities
having a maturity date of sixty days or less at the time of purchase are valued
at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date.
Discounts are accreted over the respective life of the securities. Interest
income is accrued daily.
C. 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.
D. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments at a set price on a future date. Upon
entering into such a contract, the Fund is required to pledge to the broker
cash, U.S. Government securities or other liquid portfolio securities equal to
the minimum initial margin requirements of the applicable futures exchange.
Pursuant to the contract, the Fund agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in the value of the contract
which is known as variation margin. Such receipts or payments are recorded by
the Fund as unrealized gains or losses. Upon closing of the contract, the Fund
realizes a gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
E. FEDERAL INCOME TAX STATUS -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income to its shareholders.
Accordingly, no federal income tax provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends and
distributions to its shareholders on the ex-dividend date. The amount of
dividends and distributions from net investment income and net realized capital
gains are determined in accordance with federal income tax regulations which may
differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis
17
<PAGE> 18
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998, continued
treatment; temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for financial reporting purposes but not for tax purposes are reported as
dividends in excess of net investment income or distributions in excess of net
realized capital gains. To the extent they exceed net investment income and net
realized capital gains for tax purposes, they are reported as distributions of
paid-in-capital.
G. ORGANIZATIONAL EXPENSES -- The Investment Manager incurred the organizational
expenses of the Fund in the amount of approximately $68,000 and was reimbursed
for the full amount thereof. Such expenses have been deferred and are being
amortized on the straight-line method over a period not to exceed five years
from the commencement of operations.
2. INVESTMENT MANAGEMENT AGREEMENT
Pursuant to an Investment Management Agreement, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
annual rate of 0.40% to the net assets of the Fund determined as of the close of
each business day.
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services, heat,
light, power and other utilities provided to the Fund.
The Investment Manager has agreed to assume all operating expenses (except for
Plan of Distribution fees) and to waive the compensation provided for in its
Investment Management Agreement to the extent that such expenses and
compensation on an annualized basis exceed 0.50% of the daily net assets of the
Fund.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Dean Witter Distributors
Inc. (the "Distributor"), an affiliate of the Investment Manager. The Fund has
adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the
Act. The Plan provides that the Fund will pay the Distributor a fee which is
accrued daily and paid monthly at the following annual rates: (i) Class A -- up
to 0.25% of the average daily net assets of Class A; (ii) Class B -- 1.0% of the
average daily net assets of Class B; and
18
<PAGE> 19
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998, continued
(iii) Class C -- up to 1.0% of the average daily net assets of Class C. In the
case of Class A shares, amounts paid under the Plan are paid to the Distributor
for services provided. In the case of Class B and Class C shares, amounts paid
under the Plan are paid to the Distributor for services provided and the
expenses borne by it and others in the distribution of the shares of these
Classes, including the payment of commissions for sales of these Classes and
incentive compensation to, and expenses of, Morgan Stanley Dean Witter Financial
Advisors and others who engage in or support distribution of the shares or who
service shareholder accounts, including overhead and telephone expenses;
printing and distribution of prospectuses and reports used in connection with
the offering of these shares to other than current shareholders; and
preparation, printing and distribution of sales literature and advertising
materials. In addition, the Distributor may utilize fees paid pursuant to the
Plan, in the case of Class B shares, to compensate Dean Witter Reynolds Inc.
("DWR"), an affiliate of the Investment Manager and Distributor and other
selected broker-dealers for their opportunity costs in advancing such amounts,
which compensation would be in the form of a carrying charge on any unreimbursed
expenses.
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund pursuant
to the Plan and contingent deferred sales charges paid by investors upon
redemption of Class B shares. Although there is no legal obligation for the Fund
to pay expenses incurred in excess of payments made to the Distributor under the
Plan and the proceeds of contingent deferred sales charges paid by investors
upon redemption of shares, if for any reason the Plan is terminated, the
Trustees will consider at that time the manner in which to treat such expenses.
The Distributor has advised the Fund that such excess amounts, including
carrying charges, totaled $23,605,509 at August 31, 1998.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Dean Witter Financial Advisors or other
selected broker-dealer representatives may be reimbursed in the subsequent
calendar year. For the period ended August 31, 1998, the distribution fee was
accrued for Class A shares and Class C shares at the annual rate of 0.25% and
1.0%, respectively.
The Distributor has informed the Fund that for the period ended August 31, 1998,
it received contingent deferred sales charges from certain redemptions of the
Fund's Class A shares, Class B shares and Class C shares of $17,842, $689,099
and $24,054, respectively and received $297,370 in
19
<PAGE> 20
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998, continued
front-end sales charges from sales of the Fund's Class A shares. The respective
shareholders pay such charges which are not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities, excluding
short-term investments, for the period ended August 31, 1998 aggregated
$621,244,544 and $3,705,941, respectively. Included in the aforementioned are
purchases of U.S. Government securities of $6,481,356 and purchases of common
stock of Morgan Stanley Dean Witter & Co., an affiliate of the Investment
Manager, of $2,970,358.
5. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 26, 1997*
THROUGH
AUGUST 31, 1998
-------------------------
SHARES AMOUNT
---------- ------------
<S> <C> <C>
CLASS A SHARES
Sold........................................................ 4,387,871 $ 48,070,798
Reinvestment of dividends................................... 2,992 30,640
Redeemed.................................................... (1,573,012) (17,786,190)
---------- ------------
Net increase - Class A...................................... 2,817,851 30,315,248
---------- ------------
CLASS B SHARES
Sold........................................................ 59,465,374 638,937,231
Reinvestment of dividends................................... 19,651 201,231
Redeemed.................................................... (6,529,131) (73,134,069)
---------- ------------
Net increase - Class B...................................... 52,955,894 566,004,393
---------- ------------
CLASS C SHARES
Sold........................................................ 4,702,373 51,244,820
Reinvestment of dividends................................... 1,134 11,618
Redeemed.................................................... (684,733) (7,711,458)
---------- ------------
Net increase - Class C...................................... 4,018,774 43,544,980
---------- ------------
CLASS D SHARES
Sold........................................................ 2,826,399 30,380,237
Reinvestment of dividends................................... 190 1,940
Redeemed.................................................... (1,438,586) (15,187,491)
---------- ------------
Net increase - Class D...................................... 1,388,003 15,194,686
---------- ------------
Net increase in Fund........................................ 61,180,522 $655,059,307
========== ============
</TABLE>
- ---------------------
* Commencement of operations.
20
<PAGE> 21
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS August 31, 1998, continued
6. FEDERAL INCOME TAX STATUS
At August 31, 1998, the Fund had a net capital loss carryover of approximately
$289,000 which will be available through August 31, 2006 to offset future
capital gains to the extent provided by regulations.
Capital losses incurred after October 31 ("post-October" losses) within the
taxable year are deemed to arise on the first business day of the Fund's next
taxable year. The Fund incurred and will elect to defer net capital losses of
approximately $4,325,000 during the fiscal 1998.
At August 31, 1998, the Fund had temporary book/tax differences primarily
attributable to post-October losses and the mark-to-market of open futures
contracts and permanent book/tax differences attributable to nondeductible
expenses. To reflect reclassifications arising from the permanent differences,
paid-in-capital was charged and undistributed net investment income was credited
$233,676.
7. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
The Fund may purchase and sell stock index futures ("futures contracts") for the
following reasons: to simulate full investment in the S&P 500 Index while
retaining a cash balance for fund management purposes; to facilitate trading; to
reduce transaction costs; or to seek higher investment returns when a futures
contract is priced more attractively than stocks comprising the S&P 500 Index.
These futures contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Fund bears the risk of
an unfavorable change in the value of the underlying securities.
At August 31, 1998, the Fund had outstanding futures contracts.
21
<PAGE> 22
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout the period:
<TABLE>
<CAPTION>
FOR THE PERIOD SEPTEMBER 26, 1997*
THROUGH AUGUST 31, 1998++
-------------------------------------
CLASS A CLASS B CLASS C CLASS D
SHARES SHARES SHARES SHARES
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period........................ $10.00 $10.00 $10.00 $10.00
------ ------ ------ ------
Net investment income....................................... 0.10 0.02 0.02 0.12
Net realized and unrealized gain............................ 0.11 0.12 0.12 0.11
------ ------ ------ ------
Total from investment operations............................ 0.21 0.14 0.14 0.23
------ ------ ------ ------
Less dividends from net investment income................... (0.03) (0.01) (0.01) (0.03)
------ ------ ------ ------
Net asset value, end of period.............................. $10.18 $10.13 $10.13 $10.20
====== ====== ====== ======
TOTAL INVESTMENT RETURN+(1)................................. 2.05% 1.38% 1.37% 2.30%
RATIOS TO AVERAGE NET ASSETS(2)(3)(4):
Expenses.................................................... 0.75% 1.50% 1.50% 0.50%
Net investment income....................................... 0.91% 0.16% 0.16% 1.16%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands..................... $28,719 $536,349 $40,730 $14,186
Portfolio turnover rate (1)................................. 1% 1% 1% 1%
</TABLE>
- ---------------------
<TABLE>
<C> <S>
* Commencement of operations.
++ The per share amounts were computed using an average number
of shares outstanding.
+ Does not reflect the deduction of sales charge. Calculated
based on the net asset value as of the last business day of
the period.
(1) Not annualized.
(2) Annualized.
(3) If the Fund had borne all of its expenses that were
reimbursed or waived by the Investment Manager, the
annualized expense and the net investment income ratios
would have been 0.89% and 0.77%, respectively, for Class A
shares, 1.64% and 0.02%, respectively, for Class B shares,
1.64% and 0.02%, respectively, for Class C shares and 0.64%
and 1.02%, respectively, for Class D shares.
(4) Reflects overall Fund ratios for investment income and
non-class specific expenses.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE> 23
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES
OF MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Morgan Stanley Dean Witter S&P 500
Index Fund (the "Fund"), formerly Dean Witter S&P 500 Index Fund, at August 31,
1998, and the results of its operations, the changes in its net assets and the
financial highlights for the period September 26, 1997 (commencement of
operations) through August 31, 1998 in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management; our responsibility is to express an opinion on these
financial statements based on our audit. We conducted our audit of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit, which included
confirmation of securities at August 31, 1998 by correspondence with the
custodian and brokers, provides a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
October 12, 1998
--------------------------------------------------------------------
1998 FEDERAL TAX NOTICE (unaudited)
During the fiscal year ended August 31, 1998, 100% of the
income dividends qualified for the dividends received
deduction available to corporations.
23
<PAGE> 24
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
John R. Haire
Wayne E. Hedien
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Barry Fink
Vice President, Secretary and General Counsel
Kenton J. Hinchliffe
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Morgan Stanley Dean Witter Trust FSB
Harborside Financial Center - Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
INVESTMENT MANAGER
Morgan Stanley Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and
trustees, fees, expenses and other pertinent information, please see the
prospectus of the Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus.
MORGAN STANLEY
DEAN WITTER
S&P 500
INDEX FUND
[PHOTO]
ANNUAL REPORT
AUGUST 31, 1998
