<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
Two World Trade Center, New York, New York 10048
LETTER TO THE SHAREHOLDERS February 28, 1999
DEAR SHAREHOLDER:
Last summer's economic turmoil in Asia and Russia, which sent the Standard &
Poor's 500 Composite Stock Price Index (S&P 500) tumbling nearly 20 percent
last fall, turned out to be no more than a speed bump for the equity markets,
not the beginning of a prolonged bear market as some had suspected. U.S.
corporate earnings, while slowing moderately, proved not to be the disaster
that most had expected. In fact, of the 500 companies in the S&P 500, nearly
60 percent reported positive earnings surprises. Additionally, there are
hints that the global economic crisis may have actually stimulated the U.S.
economy by keeping inflation in check. More recently, however, the persistent
strength in consumption, business investments and services that has been
driving the domestic market has rekindled fears of renewed inflation and
higher interest rates.
PERFORMANCE
For the six-month period ended February 28, 1999, Morgan Stanley Dean Witter
S&P 500 Index Fund's Class B shares posted a return of 29.38 percent,
compared to 30.27 percent for the S&P 500 Index and 30.14 percent for the
Lipper S&P 500 Fund Index. During the same period, the Fund's Class A, C and
D shares posted total returns of 29.93 percent, 29.40 percent and 30.05
percent, respectively. The performance of the Fund's four share classes
varies because of differing expenses.
The correlation between the Fund's total return and the S&P 500 Index since
inception remains high. The technology sector, which represents nearly 20
percent of the index, continues to be the driving force behind the Fund's
strong performance. The large-cap segment of the market continued its
leadership role by once again outperforming both the mid-cap and small-cap
sectors.
INVESTMENT STRATEGY
Morgan Stanley Dean Witter S&P 500 Index Fund seeks to deliver investment
performance that corresponds, before expenses, to the total
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
LETTER TO THE SHAREHOLDERS February 28, 1999, continued
return of the S&P 500 Index, by investing in substantially all the stocks
that comprise the index in approximately the same weightings. The fully
invested, broadly diversified Fund also seeks to minimize turnover in order
to generate tax-efficient returns.
Despite its strong performance, the Fund was able to minimize the capital
gains it distributed to shareholders. By efficiently managing cash flows, the
Fund actually posted a portfolio turnover ratio for the period less than that
of the index itself. Additionally, our strategy to remain fully invested has
proved to be beneficial in the current volatile market environment.
The strong relative performance of the index and the liquidity that the
large-cap market provides continue to attract investors. The Fund's assets
had increased to $1.398 billion by February 28, 1999.
LOOKING AHEAD
We believe that the strong domestic economy, which has driven the stock
market to record highs, is still stable. Despite this continued economic
strength, inflation has remained mostly in check. The large-cap segment of
the market continues to be the main attraction to new money. As a result, we
believe that the Fund is ideally positioned to participate in any market
appreciation.
We appreciate your ongoing 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>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS FEBRUARY 28, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (97.8%)
Accident & Health Insurance (0.1%)
18,246 Provident Companies, Inc. ....................................... $ 597,556
18,922 Torchmark Corp. ................................................. 629,156
18,729 UNUM Corp. ...................................................... 838,123
--------------
2,064,835
--------------
Advertising (0.2%)
18,810 Interpublic Group of Companies, Inc. ............................ 1,407,223
22,831 Omnicom Group, Inc. ............................................. 1,512,554
--------------
2,919,777
--------------
Aerospace (0.8%)
135,224 Boeing Co. ...................................................... 4,808,903
10,027 Goodrich (B.F.) Co. (The) ....................................... 342,171
53,123 Lockheed Martin Corp. ........................................... 2,002,073
9,283 Northrop Grumman Corp. .......................................... 578,447
30,563 United Technologies Corp. ...................................... 3,785,992
--------------
11,517,586
--------------
Air Freight/Delivery Services (0.1%)
19,970 FDX Corp.* ...................................................... 1,907,135
--------------
Airlines (0.3%)
24,679 AMR Corp.* ...................................................... 1,368,142
19,731 Delta Air Lines, Inc. .......................................... 1,199,891
45,524 Southwest Airlines Co. .......................................... 1,371,410
12,320 US Airways Group Inc.* .......................................... 583,660
--------------
4,523,103
--------------
Alcoholic Beverages (0.4%)
64,682 Anheuser-Busch Companies, Inc. .................................. 4,960,301
9,267 Brown-Forman Corp. (Class B) .................................... 611,043
4,937 Coors (Adolph) Co. (Class B) .................................... 294,060
--------------
5,865,404
--------------
Aluminum (0.2%)
30,710 Alcan Aluminium Ltd. (Canada) ................................... 746,637
49,690 Alcoa Inc. ...................................................... 2,012,445
9,301 Reynolds Metals Co. ............................................ 397,618
--------------
3,156,700
--------------
Apparel (0.1%)
9,726 Fruit of the Loom, Inc. (Class A)* .............................. 123,399
8,693 Liz Claiborne, Inc. ............................................. 292,845
4,875 Russell Corp. ................................................... 95,062
16,179 VF Corp. ........................................................ 778,614
--------------
1,289,920
--------------
Auto Parts: O.E.M. (0.2%)
22,333 Dana Corp. ..................................................... $ 843,071
9,634 Eaton Corp. ..................................................... 668,359
11,427 Johnson Controls, Inc. ......................................... 702,760
16,154 TRW Inc. ....................................................... 763,276
--------------
2,977,466
--------------
Automotive Aftermarket (0.1%)
10,228 Cooper Tire & Rubber Co. ....................................... 202,003
24,269 Genuine Parts Co. ............................................... 726,553
21,098 Goodyear Tire & Rubber Co. ...................................... 975,782
--------------
1,904,338
--------------
Banking (0.0%)
3,770 SouthTrust Corp. ............................................... 151,036
--------------
Beverages -Non-Alcoholic (2.2%)
333,632 Coca Cola Co.** ................................................. 21,331,596
53,135 Coca-Cola Enterprises Inc. ...................................... 1,647,185
198,578 PepsiCo, Inc. ................................................... 7,471,497
--------------
30,450,278
--------------
<PAGE>
<CAPTION>
Biotechnology (0.3%)
34,445 Amgen Inc.* ..................................................... 4,301,319
--------------
Books/Magazines (0.0%)
9,581 Harcourt General, Inc. .......................................... 438,930
7,058 Meredith Corp. .................................................. 238,207
--------------
677,137
--------------
Broadcasting (0.4%)
95,566 CBS Corp. ....................................................... 3,523,996
35,661 Clear Channel Communications, Inc.* ............................. 2,139,660
--------------
5,663,656
--------------
Building Materials (0.0%)
7,317 Owens Corning ................................................... 232,772
--------------
Building Materials/DIY Chains (1.1%)
200,999 Home Depot, Inc. (The) .......................................... 11,997,128
47,711 Lowe's Companies, Inc. .......................................... 2,829,859
--------------
14,826,987
--------------
Building Products (0.1%)
5,400 Armstrong World Industries, Inc. ................................ 265,612
45,911 Masco Corp. ..................................................... 1,205,164
--------------
1,470,776
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
3
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Cable Television (0.9%)
49,959 Comcast Corp. (Class A Special) ................................. $ 3,543,967
82,140 MediaOne Group Inc.* ............................................ 4,476,630
72,808 Tele-Communications, Inc. (Class A)* ........................... 4,573,252
--------------
12,593,849
--------------
Casino/Gambling (0.1%)
17,039 Harrah's Entertainment, Inc.* ................................... 284,338
24,286 Mirage Resorts, Inc.* ........................................... 473,577
--------------
757,915
--------------
Cellular Telephone (0.7%)
77,424 AirTouch Communications, Inc.* .................................. 7,050,423
38,908 Nextel Communications, Inc. (Class A)* .......................... 1,169,672
59,522 Sprint Corp. (PCS Group)* ....................................... 1,904,704
--------------
10,124,799
--------------
Clothing/Shoe/Accessory Stores (0.2%)
30,840 Limited (The), Inc. ............................................. 1,094,820
20,097 Nordstrom, Inc. ................................................. 808,904
43,603 TJX Companies, Inc. ............................................. 1,245,411
--------------
3,149,135
--------------
Computer Communications (1.8%)
48,535 3Com Corp.* ..................................................... 1,525,819
29,360 Ascend Communications, Inc.* .................................... 2,258,885
22,221 Cabletron Systems, Inc.* ........................................ 180,546
213,710 Cisco Systems, Inc.* ............................................ 20,903,509
--------------
24,868,759
--------------
Computer Hardware (2.9%)
18,165 Apple Computer, Inc.* ........................................... 631,234
230,081 Compaq Computer Corp. ........................................... 8,110,355
6,678 Data General Corp.* ............................................. 92,240
172,360 Dell Computer Corp.* ............................................ 13,799,572
67,921 EMC Corp.* ...................................................... 6,953,412
21,152 Gateway 2000, Inc.* ............................................. 1,537,486
140,366 Hewlett-Packard Co. ............................................. 9,325,566
--------------
40,449,865
--------------
Computer/Video Chains (0.1%)
13,354 Tandy Corp. ..................................................... 742,816
--------------
Computers Software (4.7%)
8,846 Adobe Systems, Inc. ............................................ 356,051
6,258 Autodesk, Inc. ................................................. 250,711
29,170 BMC Software, Inc.* ............................................. 1,192,324
73,554 Computer Associates International, Inc. ........................ 3,089,268
24,869 Compuware Corp.* ................................................ $ 1,391,110
337,483 Microsoft Corp.* ................................................ 50,643,543
47,500 Novell, Inc.* ................................................... 920,312
131,540 Oracle Corp.* ................................................... 7,341,576
36,725 Parametric Technology Corp.* .................................... 564,647
31,436 PeopleSoft, Inc.* ............................................... 593,354
--------------
66,342,896
--------------
Construction/Agricultural Equipment/Trucks (0.3%)
9,827 Case Corp. ...................................................... 191,626
48,546 Caterpillar, Inc. ............................................... 2,211,877
5,652 Cummins Engine Co., Inc. ........................................ 231,732
32,224 Deere & Co. ..................................................... 1,053,322
1,106 NACCO Industries, Inc. (Class A) ................................ 97,328
9,045 Navistar International Corp.* ................................... 388,935
10,540 PACCAR, Inc. .................................................... 441,362
--------------
4,616,182
--------------
Consumer Electronics/Appliances (0.1%)
12,181 Maytag Corp. .................................................... 682,897
10,258 Whirlpool Corp. ................................................. 446,223
--------------
1,129,120
--------------
<PAGE>
Consumer Specialties (0.0%)
4,804 Jostens, Inc. ................................................... 112,594
--------------
Consumer Sundries (0.0%)
9,557 American Greetings Corp. (Class A) ............................. 226,381
--------------
Containers/Packaging (0.2%)
4,157 Ball Corp. ...................................................... 174,074
7,065 Bemis Company, Inc. ............................................. 240,652
16,505 Crown Cork & Seal Co., Inc. ..................................... 458,014
20,960 Owens-Illinois, Inc.* ........................................... 501,730
11,256 Sealed Air Corp.* ............................................... 571,242
7,500 Temple-Inland, Inc. ............................................. 449,531
--------------
2,395,243
--------------
Contract Drilling (0.0%)
6,785 Helmerich & Payne, Inc. ......................................... 110,680
11,283 Rowan Companies, Inc.* .......................................... 97,316
--------------
207,996
--------------
Department Stores (0.6%)
14,545 Dillard's, Inc. (Class A) ....................................... 361,807
27,719 Federated Department Stores, Inc.* .............................. 1,055,054
21,410 Kohl's Corp.* ................................................... 1,477,290
31,618 May Department Stores Co. ....................................... 1,873,366
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
34,373 Penney (J.C.) Co., Inc. ......................................... $ 1,241,725
51,850 Sears, Roebuck & Co. ............................................ 2,106,406
--------------
8,115,648
--------------
Discount Chains (2.5%)
14,771 Consolidated Stores Corp.* ...................................... 372,045
29,299 Costco Companies, Inc.* ......................................... 2,353,076
59,543 Dayton Hudson Corp. ............................................. 3,725,159
24,931 Dollar General Corp. ............................................ 746,372
66,714 Kmart Corp.* .................................................... 1,167,495
304,905 Wal-Mart Stores, Inc.** ......................................... 26,336,169
--------------
34,700,316
--------------
Diversified Commercial Services (0.1%)
22,133 Paychex, Inc. ................................................... 937,886
--------------
Diversified Electronic Products (0.2%)
10,799 Harris Corp. .................................................... 336,119
17,044 Honeywell, Inc. ................................................. 1,192,015
25,876 Rockwell International Corp. .................................... 1,149,865
--------------
2,677,999
--------------
Diversified Financial Services (2.0%)
61,186 American Express Co. ............................................ 6,638,681
307,492 Citigroup Inc. .................................................. 18,065,155
19,163 Providian Financial Corp. ....................................... 1,957,072
16,829 Transamerica Corp. .............................................. 1,221,154
--------------
27,882,062
--------------
Diversified Manufacturing (4.5%)
3,722 Aeroquip-Vickers, Inc. .......................................... 210,758
26,467 Allegheny Teledyne Inc. ......................................... 545,882
75,798 AlliedSignal, Inc. .............................................. 3,136,142
14,756 Cooper Industries, Inc. ......................................... 645,575
18,043 Danaher Corp. ................................................... 870,575
30,100 Dover Corp. ..................................................... 1,023,400
4,523 FMC Corp.* ...................................................... 231,521
443,493 General Electric Co.** .......................................... 44,487,892
14,797 ITT Industries, Inc. ............................................ 578,008
54,320 Minnesota Mining & Manufacturing Co. ............................ 4,023,075
21,747 Thermo Electron Corp.* .......................................... 300,380
87,202 Tyco International Ltd. ......................................... 6,491,099
--------------
62,544,307
--------------
Drugstore Chains (0.6%)
52,777 CVS Corp. ....................................................... 2,797,181
5,248 Longs Drug Stores Corp. ........................................ 189,912
34,983 Rite Aid Corp. .................................................. 1,447,422
134,994 Walgreen Co. .................................................... 4,319,808
--------------
8,754,323
--------------
E.D.P. Peripherals (0.1%)
33,193 Seagate Technology, Inc.* ....................................... $ 960,522
--------------
E.D.P. Services (0.8%)
81,774 Automatic Data Processing, Inc. ................................. 3,250,516
9,652 Ceridian Corp.* ................................................. 691,324
21,450 Computer Sciences Corp.* ........................................ 1,429,106
66,691 Electronic Data Systems Corp. ................................... 3,101,131
59,908 First Data Corp. ................................................ 2,291,481
--------------
10,763,558
--------------
<PAGE>
Electric Utilities (2.1%)
24,327 AES Corp. (The)* ................................................ 904,660
18,511 Ameren Corp. .................................................... 690,692
25,898 American Electric Power Co. ..................................... 1,078,004
20,136 Baltimore Gas & Electric Co. .................................... 515,985
20,415 Carolina Power & Light Co. ...................................... 814,048
28,682 Central & South West Corp. ...................................... 711,672
21,395 Cinergy Corp. .................................................. 624,467
31,560 Consolidated Edison, Inc. ....................................... 1,475,430
26,441 Dominion Resources, Inc. ........................................ 1,021,284
19,572 DTE Energy Co. .................................................. 773,094
48,991 Duke Power Co. ................................................. 2,786,363
47,736 Edison International ............................................ 1,217,268
33,268 Entergy Corp. .................................................. 939,821
32,086 FirstEnergy Corp. ............................................... 938,515
24,482 FPL Group, Inc. ................................................. 1,259,293
17,263 GPU, Inc. ....................................................... 688,362
15,422 New Century Energies, Inc. ...................................... 625,555
25,276 Niagara Mohawk Power Corp.* ..................................... 369,661
20,584 Northern States Power Co. ...................................... 531,324
40,114 PacifiCorp ...................................................... 719,545
30,323 PECO Energy Co. ................................................. 1,074,571
51,771 PG & E Corp. ................................................... 1,630,786
21,209 PP&L Resources, Inc. ........................................... 540,829
30,889 Public Service Enterprise Group, Inc. ........................... 1,173,782
38,814 Reliant Energy, Inc. ............................................ 1,040,700
94,366 Southern Co. ................................................... 2,365,048
38,211 Texas Utilities Co. ............................................. 1,621,579
29,393 Unicom Corp. .................................................... 1,045,289
--------------
29,177,627
--------------
Electrical Products (0.3%)
59,612 Emerson Electric Co. ............................................ 3,423,964
10,922 Raychem Corp. ................................................... 249,158
7,656 Thomas & Betts Corp. ............................................ 319,159
--------------
3,992,281
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
Electronic Components (0.2%)
<C> <S> <C>
29,612 AMP, Inc. ...................................................... $ 1,574,988
11,617 Andrew Corp.* ................................................... 175,707
31,794 Solectron Corp.* ................................................ 1,420,794
--------------
3,171,489
--------------
Electronic Data Processing (2.0%)
126,283 International Business Machines Corp. ........................... 21,468,110
25,289 Silicon Graphics, Inc.* ......................................... 403,043
51,509 Sun Microsystems, Inc.* ......................................... 5,012,470
34,539 Unisys Corp.* ................................................... 1,029,694
--------------
27,913,317
--------------
Electronic Production Equipment (0.2%)
50,016 Applied Materials, Inc.* ........................................ 2,782,140
11,792 KLA-Tencor Corp.* ............................................... 608,025
--------------
3,390,165
--------------
Engineering & Construction (0.0%)
10,524 Fluor Corp. ..................................................... 370,313
5,494 Foster Wheeler Corp. ............................................ 68,675
--------------
438,988
--------------
Environmental Services (0.3%)
23,679 Browning-Ferris Industries, Inc. ................................ 745,888
77,736 Waste Management, Inc. .......................................... 3,799,347
--------------
4,545,235
--------------
Farming/Seeds/Milling (0.1%)
80,292 Archer-Daniels-Midland Co. ...................................... 1,214,416
32,591 Pioneer Hi-Bred International, Inc. ............................. 763,852
--------------
1,978,268
--------------
Finance Companies (1.9%)
97,804 Associates First Capital Corp. (Class A) ........................ 3,973,287
8,877 Capital One Financial Corp. ..................................... 1,132,927
15,092 Countrywide Credit Industries, Inc. ............................. 571,609
140,336 Fannie Mae ...................................................... 9,823,520
91,845 Freddie Mac ..................................................... 5,407,374
65,342 Household International, Inc. ................................... 2,654,519
108,515 MBNA Corp. ...................................................... 2,631,489
22,354 SLM Holding Corp. ............................................... 958,428
--------------
27,153,153
--------------
Financial Publishing/Services (0.3%)
12,662 Dow Jones & Co., Inc. .......................................... 595,114
22,545 Dun & Bradstreet Corp. .......................................... 772,166
19,892 Equifax, Inc. ................................................... 750,923
13,318 McGraw-Hill, Inc. ............................................... 1,457,489
--------------
3,575,692
--------------
Fluid Controls (0.0%)
14,695 Parker-Hannifin Corp. .......................................... 545,552
--------------
Food Chains (0.8%)
33,230 Albertson's, Inc. ............................................... 1,894,110
37,154 American Stores Co. ............................................. 1,253,947
20,910 Fred Meyer, Inc.* ............................................... 1,343,467
5,166 Great Atlantic & Pacific Tea Co., Inc. .......................... 163,052
34,677 Kroger Co.* ..................................................... 2,243,168
65,804 Safeway Inc.* ................................................... 3,800,181
20,038 Winn-Dixie Stores, Inc. ......................................... 877,915
--------------
11,575,840
--------------
Food Distributors (0.1%)
16,255 Supervalu, Inc. ................................................. 391,136
45,216 SYSCO Corp. ..................................................... 1,277,352
--------------
1,668,488
--------------
Forest Products (0.2%)
12,177 Georgia-Pacific Group ........................................... 891,965
14,662 Louisiana-Pacific Corp. ......................................... 269,414
26,932 Weyerhaeuser Co. ................................................ 1,501,459
--------------
2,662,838
--------------
<PAGE>
Home Building (0.1%)
8,016 Centex Corp. .................................................... 295,089
4,720 Fleetwood Enterprises, Inc. ..................................... 153,105
6,468 Kaufman & Broad Home Corp. ...................................... 145,530
5,823 Pulte Corp. ..................................................... 140,116
--------------
733,840
--------------
Home Furnishings (0.1%)
22,013 Newell Co. ...................................................... 935,552
20,233 Rubbermaid, Inc. ................................................ 668,954
7,960 Tupperware Corp. ................................................ 139,300
--------------
1,743,806
--------------
Hospital/Nursing Management (0.2%)
87,364 Columbia/HCA Healthcare Corp. ................................... 1,561,631
14,955 HCR Manor Care, Inc. ............................................ 334,618
41,772 Tenet Healthcare Corp.* ......................................... 822,386
--------------
2,718,635
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
Hotels/Resorts (0.4%)
<C> <S> <C>
80,585 Carnival Corp. .................................................. $ 3,586,032
35,181 Hilton Hotels Corp. ............................................. 556,300
33,854 Marriott International, Inc. .................................... 1,218,744
--------------
5,361,076
--------------
Industrial Machinery/Components (0.3%)
6,450 Harnischfeger Industries, Inc. ................................. 49,584
33,845 Illinois Tool Works Inc. ....................................... 2,326,844
22,253 Ingersoll-Rand Co. .............................................. 1,057,017
5,152 Milacron Inc. ................................................... 91,770
--------------
3,525,215
--------------
Industrial Specialties (0.1%)
17,454 Ecolab, Inc. .................................................... 695,978
5,935 Millipore Corp. ................................................. 165,438
16,718 Pall Corp. ...................................................... 354,213
--------------
1,215,629
--------------
Insurance Brokers/Services (0.3%)
23,018 AON Corp. ....................................................... 1,356,623
34,824 Marsh & McLennan Companies, Inc. ................................ 2,465,974
--------------
3,822,597
--------------
Integrated Oil Companies (4.2%)
12,191 Amerada Hess Corp. .............................................. 553,167
43,474 Atlantic Richfield Co. .......................................... 2,374,767
88,303 Chevron Corp. .................................................. 6,788,293
329,047 Exxon Corp.** ................................................... 21,902,191
6,363 Kerr-McGee Corp. ................................................ 181,743
105,545 Mobil Corp. ..................................................... 8,780,025
34,462 Phillips Petroleum Co. ......................................... 1,333,249
290,214 Royal Dutch Petroleum Co. (ADR)(Netherlands) .................... 12,733,139
72,345 Texaco, Inc. .................................................... 3,368,564
32,667 Unocal Corp. .................................................... 920,801
--------------
58,935,939
--------------
Internet Services (0.8%)
124,014 America Online, Inc.* ........................................... 11,029,495
--------------
Investment Bankers/Brokers/Services (1.2%)
15,949 Bear Stearns Companies, Inc. ................................... 682,808
15,648 Lehman Brothers Holdings, Inc. .................................. 829,344
48,008 Merrill Lynch & Co., Inc. ....................................... 3,684,614
78,183 Morgan Stanley Dean Witter & Co. (Note 4) ....................... 7,075,561
54,262 Schwab (Charles) Corp. .......................................... 4,045,910
--------------
16,318,237
--------------
Investment Managers (0.1%)
34,246 Franklin Resources, Inc. ........................................ $ 1,089,451
--------------
Life Insurance (0.3%)
34,113 American General Corp. .......................................... 2,498,777
42,557 Conseco, Inc. .................................................. 1,274,050
14,344 Jefferson-Pilot Corp. ........................................... 972,702
--------------
4,745,529
--------------
<PAGE>
Major Banks (6.2%)
102,949 Bank of New York Co., Inc. ...................................... 3,596,781
158,485 Bank One Corp. .................................................. 8,518,569
234,229 BankAmerica Corp. ............................................... 15,298,082
39,873 BankBoston Corp. ................................................ 1,612,364
12,899 Bankers Trust New York Corp. .................................... 1,122,213
114,470 Chase Manhattan Corp. (The) ..................................... 9,114,674
21,051 Comerica, Inc. .................................................. 1,394,629
134,091 First Union Corp. ............................................... 7,148,726
31,129 Firstar Corp. .................................................. 2,607,054
76,918 Fleet Financial Group, Inc. ..................................... 3,302,667
28,475 Huntington Bancshares, Inc. ..................................... 904,081
61,607 KeyCorp ......................................................... 1,986,826
35,344 Mellon Bank Corp. .............................................. 2,390,138
23,660 Morgan (J.P.) & Co., Inc. ....................................... 2,636,611
44,764 National City Corp. ............................................. 3,127,885
40,723 PNC Bank Corp. .................................................. 2,120,141
14,473 Republic New York Corp. ......................................... 655,808
21,723 State Street Corp. .............................................. 1,665,883
23,421 Summit Bancorp. ................................................ 904,636
43,011 SunTrust Banks, Inc. ............................................ 2,922,060
98,219 U.S. Bancorp .................................................... 3,173,701
27,441 Wachovia Corp. ................................................. 2,334,200
218,868 Wells Fargo & Co. ............................................... 8,043,399
--------------
86,581,128
--------------
Major Chemicals (1.2%)
29,957 Dow Chemical Co. ................................................ 2,947,020
152,377 Du Pont (E.I.) de Nemours & Co., Inc. ........................... 7,818,845
10,691 Eastman Chemical Co. ............................................ 504,482
13,569 Hercules, Inc. .................................................. 375,692
84,792 Monsanto Co. .................................................... 3,863,336
23,349 Rohm & Haas Co. ................................................. 729,656
17,927 Union Carbide Corp. ............................................ 788,788
--------------
17,027,819
--------------
Major Pharmaceuticals (10.1%)
205,397 Abbott Laboratories ............................................. 9,538,123
178,381 American Home Products Corp. .................................... 10,613,670
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
7
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
38,707 Baxter International, Inc. ...................................... $ 2,724,005
134,471 Bristol-Myers Squibb Co. ....................................... 16,934,942
181,990 Johnson & Johnson ............................................... 15,537,396
148,835 Lilly (Eli) & Co. .............................................. 14,092,814
322,401 Merck & Co., Inc.** ............................................. 26,356,282
175,646 Pfizer, Inc. .................................................... 23,174,294
68,761 Pharmacia & Upjohn, Inc. ....................................... 3,747,475
198,900 Schering-Plough Corp. ........................................... 11,125,969
111,171 Warner-Lambert Co. ............................................. 7,677,747
--------------
141,522,717
--------------------------------................................ --------------
Major U.S. Telecommunications (7.7%)
37,141 ALLTEL Corp. .................................................... 2,223,817
149,316 Ameritech Corp. ................................................. 9,761,534
244,473 AT&T Corp. ..................................................... 20,077,345
210,087 Bell Atlantic Corp. ............................................ 12,066,872
264,674 BellSouth Corp. ................................................. 12,241,173
130,620 GTE Corp. ....................................................... 8,473,973
248,139 MCI WorldCom, Inc.* ............................................. 20,471,468
264,730 SBC Communications, Inc. ....................................... 13,997,599
58,297 Sprint Corp. (FON Group) ........................................ 5,002,611
68,011 U.S. West, Inc. ................................................ 3,625,836
--------------
107,942,228
--------------
Managed Health Care (0.2%)
19,347 Aetna Inc. ...................................................... 1,432,887
22,581 Humana, Inc.* ................................................... 395,168
25,562 United Healthcare Corp. ......................................... 1,260,526
--------------
3,088,581
--------------
Meat/Poultry/Fish (0.1%)
66,225 ConAgra, Inc. ................................................... 1,995,028
--------------
Media Conglomerates (1.8%)
166,061 Time Warner, Inc. ............................................... 10,710,935
47,057 Viacom, Inc. (Class B)* ......................................... 4,158,662
277,273 Walt Disney Co. ................................................. 9,756,544
--------------
24,626,141
--------------
Medical Equipment & Supplies (0.4%)
79,064 Medtronic, Inc. ................................................. 5,583,895
--------------
Medical Specialties (0.5%)
11,753 ALZA Corp. (Class A)* ........................................... 616,298
7,347 Bard (C.R.), Inc. .............................................. 414,187
7,567 Bausch & Lomb, Inc. ............................................. 456,385
33,460 Becton, Dickinson & Co. ......................................... 1,120,910
15,135 Biomet, Inc. .................................................... 555,265
53,179 Boston Scientific Corp.* ........................................ 1,409,244
40,776 Guidant Corp. .................................................. 2,324,232
9,625 Mallinckrodt Group, Inc. ........................................ $ 297,773
11,354 St. Jude Medical, Inc.* ......................................... 285,269
--------------
7,479,563
--------------
Medical/Dental Distributors (0.4%)
36,649 Cardinal Health, Inc. ........................................... 2,645,600
36,730 McKesson HBOC, Inc. ............................................ 2,497,640
--------------
5,143,240
--------------
Medical/Nursing Services (0.0%)
57,074 HEALTHSOUTH Corp.* .............................................. 663,485
--------------
Metals Fabrications (0.0%)
8,379 Timken Co. (The) ................................................ 148,204
--------------
Mid-Sized Banks (0.5%)
36,104 Fifth Third Bancorp ............................................. 2,385,121
21,228 Mercantile Bancorporation, Inc. ................................. 968,528
15,028 Northern Trust Corp. ............................................ 1,343,128
29,933 Regions Financial Corp. ......................................... 1,131,842
36,061 Synovus Financial Corp. ......................................... 858,703
18,356 Union Planters Corp. ............................................ 829,462
--------------
7,516,784
--------------
<PAGE>
Military/Gov't/Technical (0.3%)
6,042 EG & G, Inc. .................................................... 160,113
17,151 General Dynamics Corp. .......................................... 1,036,564
45,606 Raytheon Co. (Class B) .......................................... 2,437,071
--------------
3,633,748
--------------
Motor Vehicles (1.2%)
163,765 Ford Motor Co. .................................................. 9,713,312
88,579 General Motors Corp. ............................................ 7,313,304
--------------
17,026,616
--------------
Movies/Entertainment (0.2%)
9,871 King World Productions Inc.* .................................... 260,965
53,352 Seagram Co. Ltd. (Canada) ....................................... 2,474,199
--------------
2,735,164
--------------
Multi-Line Insurance (2.1%)
111,046 Allstate Corp. .................................................. 4,164,225
167,224 American International Group, Inc. .............................. 19,053,085
27,952 CIGNA Corp. ..................................................... 2,194,232
31,594 Hartford Financial Services Group, Inc. ......................... 1,708,051
13,675 Lincoln National Corp. .......................................... 1,294,852
18,529 Safeco Corp. .................................................... 744,634
--------------
29,159,079
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Multi-Sector Companies (0.3%)
9,257 Crane Co. ...................................................... $ 253,989
23,072 Fortune Brands, Inc. ............................................ 695,044
15,387 Loews Corp. ..................................................... 1,203,071
7,961 McDermott International, Inc. ................................... 158,722
5,593 National Service Industries, Inc. ............................... 179,675
22,953 Tenneco, Inc. ................................................... 687,155
21,517 Textron, Inc. ................................................... 1,678,326
--------------
4,855,982
--------------
Natural Gas (0.1%)
12,929 Consolidated Natural Gas Co. ................................... 710,287
3,036 Eastern Enterprises ............................................. 116,696
6,426 Nicor Inc. ..................................................... 245,393
4,253 ONEOK, Inc. ..................................................... 114,565
4,773 Peoples Energy Corp. ............................................ 161,984
32,381 Sempra Energy ................................................... 680,001
--------------
2,028,926
--------------
Newspapers (0.4%)
38,112 Gannett Co., Inc. ............................................... 2,420,112
10,587 Knight-Ridder, Inc. ............................................ 531,335
24,841 New York Times Co. (The)(Class A) .............................. 770,071
11,329 Times Mirror Co. (Class A) ...................................... 632,300
16,037 Tribune Co. ..................................................... 1,063,454
--------------
5,417,272
--------------
Office Equipment/Supplies (0.6%)
15,685 Avery Dennison Corp. ............................................ 842,088
18,370 IKON Office Solutions, Inc. ..................................... 259,476
36,900 Pitney Bowes, Inc. .............................................. 2,331,619
88,762 Xerox Corp. ..................................................... 4,898,553
--------------
8,331,736
--------------
Oil & Gas Production (0.2%)
16,233 Anardarko Petroleum Corp. ....................................... 446,408
13,189 Apache Corp. .................................................... 262,956
23,909 Burlington Resources, Inc. ...................................... 774,054
47,320 Occidental Petroleum Corp. ...................................... 712,758
14,332 Oryx Energy Co.* ................................................ 148,695
33,863 Union Pacific Resources Group, Inc. ............................. 302,651
--------------
2,647,522
--------------
Oil Refining/Marketing (0.1%)
10,316 Ashland, Inc. ................................................... 459,062
12,619 Sunoco, Inc. .................................................... 384,091
41,630 USX-Marathon Group .............................................. 861,221
--------------
1,704,374
--------------
Oil/Gas Transmission (0.5%)
28,691 Coastal Corp. ................................................... $ 918,112
11,259 Columbia Energy Group .......................................... 568,580
44,761 Enron Corp. ..................................................... 2,909,465
14,846 Sonat, Inc. ..................................................... 375,789
57,896 Williams Companies, Inc. ........................................ 2,142,152
--------------
6,914,098
--------------
Oilfield Services/Equipment (0.4%)
44,107 Baker Hughes, Inc. .............................................. 793,926
59,503 Halliburton Co. ................................................. 1,680,960
73,883 Schlumberger, Ltd. .............................................. 3,587,943
--------------
6,062,829
--------------
Other Consumer Services (0.2%)
13,833 Block (H.&R.), Inc. ............................................ 627,672
115,457 Cendant Corp.* .................................................. 1,912,257
36,996 Service Corp. International ..................................... 568,814
--------------
3,108,743
--------------
Other Metals/Minerals (0.1%)
5,350 ASARCO, Inc. ................................................... 75,569
12,311 Cyprus Amax Minerals Co. ........................................ 138,499
22,404 Inco Ltd. (Canada) .............................................. 282,851
7,817 Phelps Dodge Corp. .............................................. 379,125
--------------
876,044
--------------
<PAGE>
Other Pharmaceuticals (0.1%)
8,902 Allergan, Inc. .................................................. 725,513
--------------
Other Specialty Stores (0.2%)
8,232 Pep Boys-Manny, Moe & Jack ...................................... 150,234
63,282 Staples, Inc.* .................................................. 1,854,939
35,849 Toys 'R' Us, Inc.* .............................................. 506,367
--------------
2,511,540
--------------
Other Transportation (0.0%)
44,489 Laidlaw, Inc. (Canada) .......................................... 342,009
--------------
Package Goods/Cosmetics (2.5%)
7,437 Alberto-Culver Co. (Class B) .................................... 178,488
35,555 Avon Products, Inc. ............................................. 1,479,977
15,855 Clorox Co. ...................................................... 1,875,845
39,629 Colgate-Palmolive Co. ........................................... 3,363,511
150,136 Gillette Co. .................................................... 8,051,043
14,315 International Flavors & Fragrances, Inc. ........................ 589,599
73,339 Kimberly-Clark Corp. ............................................ 3,465,268
179,577 Procter & Gamble Co. ........................................... 16,072,142
--------------
35,075,873
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Packaged Foods (1.6%)
38,675 Bestfoods ....................................................... $ 1,815,308
60,634 Campbell Soup Co. ............................................... 2,436,729
20,699 General Mills, Inc. ............................................. 1,670,151
49,000 Heinz (H.J.) Co. ................................................ 2,667,438
54,855 Kellogg Co. .................................................... 2,029,635
18,382 Quaker Oats Company (The) ....................................... 1,004,117
42,255 Ralston-Ralston Purina Group .................................... 1,138,244
123,626 Sara Lee Corp. .................................................. 3,361,082
86,642 Unilever N.V. (Netherlands) ..................................... 6,276,130
22,398,834
--------------
Paints/Coatings (0.1%)
23,981 PPG Industries, Inc. ............................................ 1,248,511
23,196 Sherwin-Williams Co. ............................................ 558,154
--------------
1,806,665
--------------
Paper (0.4%)
7,601 Boise Cascade Corp. ............................................ 236,106
12,895 Champion International Corp. .................................... 477,115
29,743 Fort James Corp. ................................................ 888,572
41,591 International Paper Co. ........................................ 1,746,822
13,861 Mead Corp. ...................................................... 421,894
3,913 Potlatch Corp. ................................................. 135,732
9,334 Union Camp Corp. ............................................... 624,211
13,655 Westvaco Corp. ................................................. 305,531
14,969 Willamette Industries, Inc. .................................... 545,433
--------------
5,381,416
--------------
Photographic Products (0.2%)
43,844 Eastman Kodak Co. ............................................... 2,901,925
5,916 Polaroid Corp. ................................................. 141,245
--------------
3,043,170
--------------
Precious Metals (0.2%)
50,483 Barrick Gold Corp. (Canada) ..................................... 892,918
31,006 Battle Mountain Gold Co. ........................................ 104,645
23,353 Freeport-McMoran Copper & Gold, Inc. (Class B) .................. 220,394
32,246 Homestake Mining Co. ............................................ 296,260
22,560 Newmont Mining Corp. ........................................... 389,160
33,731 Placer Dome Inc. (Canada) ....................................... 368,933
--------------
2,272,310
--------------
Precision Instruments (0.1%)
6,719 Perkin-Elmer Corp. .............................................. 636,625
6,492 Tektronix, Inc. ................................................. 126,594
--------------
763,219
--------------
Printing/Forms (0.1%)
10,854 Deluxe Corp. .................................................... $ 367,679
18,396 Donnelley (R.R.) & Sons Co. .................................... 630,063
11,934 Moore Corp. Ltd. (Canada) ....................................... 125,307
--------------
1,123,049
--------------
Property -Casualty Insurers (0.3%)
22,053 Chubb Corp. ..................................................... 1,317,667
22,526 Cincinnati Financial Corp. ...................................... 789,818
9,811 Progressive Corp. ............................................... 1,260,714
31,905 St. Paul Companies, Inc. ........................................ 1,032,924
--------------
4,401,123
--------------
Railroads (0.5%)
63,488 Burlington Northern Santa Fe Corp. .............................. 2,103,040
29,542 CSX Corp. ....................................................... 1,159,524
51,323 Norfolk Southern Corp. ......................................... 1,440,252
33,480 Union Pacific Corp. ............................................. 1,569,375
--------------
6,272,191
--------------
Recreational Products/Toys (0.1%)
12,948 Brunswick Corp. ................................................. 275,954
17,648 Hasbro, Inc. .................................................... 652,976
38,929 Mattel, Inc. ................................................... 1,026,752
--------------
1,955,682
--------------
<PAGE>
Rental/Leasing Companies (0.0%)
9,659 Ryder System, Inc. .............................................. 260,793
--------------
Restaurants (0.7%)
18,747 Darden Restaurants, Inc. ........................................ 412,434
91,567 McDonald's Corp. ................................................ 7,783,195
20,643 Tricon Global Restaurants, Inc.* ................................ 1,279,866
16,957 Wendy's International, Inc. ..................................... 405,908
--------------
9,881,403
--------------
Retail -Specialty (0.5%)
20,605 AutoZone, Inc.* ................................................. 721,175
13,537 Circuit City Stores, Inc. ...................................... 734,382
78,428 Gap, Inc. (The) ................................................. 5,073,311
--------------
6,528,868
--------------
Savings & Loan Associations (0.3%)
7,679 Golden West Financial Corp. ..................................... 721,346
80,292 Washington Mutual, Inc. ......................................... 3,211,680
3,933,026
--------------
Semiconductors (2.5%)
19,531 Advanced Micro Devices, Inc.* ................................... 349,117
225,614 Intel Corp. ..................................................... 27,059,579
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<C> <S> <C>
19,057 LSI Logic Corp.* ................................................$ 494,291
33,518 Micron Technology, Inc.* ........................................ 1,931,475
22,418 National Semiconductor Corp.* ................................... 235,389
52,770 Texas Instruments, Inc. ......................................... 4,706,424
--------------
34,776,275
--------------
Services to the Health Industry (0.1%)
43,584 IMS Health Inc. ................................................ 1,547,232
3,590 Shared Medical Systems Corp. .................................... 183,090
--------------
1,730,322
--------------
Shoe Manufacturing (0.2%)
38,751 Nike, Inc. (Class B) ............................................ 2,078,022
7,615 Reebok International Ltd. (United Kingdom)* ..................... 122,792
--------------
2,200,814
--------------
Smaller Banks (0.1%)
39,811 BB&T Corp. ..................................................... 1,507,842
--------------
Specialty Chemicals (0.3%)
31,323 Air Products & Chemicals, Inc. .................................. 1,006,251
19,325 Engelhard Corp. ................................................. 344,227
9,967 Grace (W. R.) & Co. ............................................. 133,932
7,974 Great Lakes Chemical Corp. ..................................... 310,488
16,969 Morton International, Inc. ...................................... 613,005
8,836 Nalco Chemical Co. .............................................. 248,513
21,284 Praxair, Inc. ................................................... 743,610
13,575 Sigma-Aldrich Corp. ............................................ 358,041
--------------
3,758,067
--------------
Specialty Foods/Candy (0.2%)
19,375 Hershey Foods Corp. ............................................. 1,206,094
15,728 Wrigley (Wm.) Jr. Co. (Class A) ................................. 1,462,704
--------------
2,668,798
--------------
Specialty Insurers (0.1%)
13,404 MBIA, Inc. ...................................................... 825,184
14,880 MGIC Investment Corp. ........................................... 506,850
--------------
1,332,034
--------------
Specialty Steels (0.0%)
11,815 Nucor Corp. ..................................................... 526,506
--------------
Steel/Iron Ore (0.0%)
17,536 Bethlehem Steel Corp.* .......................................... 154,536
11,917 USX-U.S. Steel Group ............................................ 301,649
12,660 Worthington Industries, Inc. .................................... 160,624
--------------
616,809
--------------
Telecommunications (0.1%)
23,152 Frontier Corp. .................................................. 832,025
--------------
Telecommunications Equipment (2.5%)
31,286 Corning, Inc. .................................................. 1,673,801
22,582 General Instrument Corp.* ....................................... 660,524
177,972 Lucent Technologies Inc. ....................................... 18,075,281
81,229 Motorola, Inc. .................................................. 5,706,337
88,260 Northern Telecom Ltd. (Canada) .................................. 5,124,596
10,260 Scientific-Atlanta, Inc. ....................................... 332,809
26,291 Tellabs, Inc.* .................................................. 2,101,637
--------------
33,674,985
--------------
Textiles (0.0%)
2,458 Springs Industries, Inc. (Class A) .............................. 81,729
--------------
Tobacco (1.1%)
329,512 Philip Morris Companies, Inc. ................................... 12,892,157
43,962 RJR Nabisco Holdings Corp. ...................................... 1,200,712
25,087 UST, Inc. ....................................................... 741,634
--------------
14,834,503
--------------
<PAGE>
Tools/Hardware (0.1%)
12,189 Black & Decker Corp. ............................................ 594,214
3,162 Briggs & Stratton Corp. ......................................... 154,345
7,943 Snap-On, Inc. ................................................... 224,390
11,981 Stanley Works ................................................... 291,288
--------------
1,264,237
--------------
Wholesale Distributor (0.0%)
12,842 Grainger (W.W.), Inc. ........................................... 571,469
--------------
TOTAL COMMON STOCKS
(Identified Cost $1,199,413,050) 1,366,856,823
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ----------- ----------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.4%)
<C> <S> <C>
U.S. GOVERNMENT AGENCY (a)(1.4%)
Federal Home Loan Mortgage Corp. 4.70% due 03/01/99 (Identified
$19,900 Cost $19,900,000) ............................................... 19,900,000
------------
REPURCHASE AGREEMENT (0.0%)
The Bank of New York 4.75% due 03/01/99 (dated 02/26/99;
proceeds $203,712)(b)
203 (Identified Cost $203,631) ...................................... 203,631
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $20,103,631) ................................... 20,103,631
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS February 28, 1999 (unaudited) continued
<TABLE>
<CAPTION>
VALUE
- ------------------------------------ -------- --------------
<S> <C> <C>
TOTAL INVESTMENTS
(Identified Cost $1,219,516,681)(c) . 99.2% $1,386,960,454
OTHER ASSETS IN EXCESS OF
LIABILITIES ......................... 0.8 11,019,918
-------- ---------------
NET ASSETS .......................... 100.0% $1,397,980,372
======== ===============
</TABLE>
- ------------
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 $161,602 U.S. Treasury Bond 8.125% due 08/15/21
valued at $207,704.
(c) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unrealized appreciation is
$213,023,574 and the aggregate gross unrealized depreciation is
$45,579,801, resulting in net unrealized appreciation of
$167,443,773.
FUTURES CONTRACTS OPEN AT FEBRUARY 28, 1999:
<TABLE>
<CAPTION>
UNDERLYING
DESCRIPTION, FACE
NUMBER OF DELIVERY YEAR, AMOUNT UNREALIZED
CONTRACTS AND MONTH AT VALUE GAIN/LOSS
- ----------- -------------- ------------- ------------
<S> <C> <C> <C>
88 S&P 500 INDEX $27,181,000 $(411,667)
MARCH/1999
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1999 (unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities, at value
(identified cost $1,219,516,681) .......... $1,386,960,454
Receivable for:
Shares of beneficial interest sold ....... 12,212,794
Dividends................................. 1,698,313
Deferred organizational expenses............ 49,012
Prepaid expenses and other assets........... 200,989
--------------
TOTAL ASSETS ............................. 1,401,121,562
--------------
LIABILITIES:
Payable for:
Shares of beneficial interest
repurchased.............................. 1,163,491
Plan of distribution fee.................. 1,019,550
Investment management fee................. 359,450
Investments purchased..................... 149,386
Variation margin on futures contracts .... 137,090
Accrued expenses and other payables ........ 312,223
--------------
TOTAL LIABILITIES ........................ 3,141,190
--------------
NET ASSETS ............................... $1,397,980,372
==============
COMPOSITION OF NET ASSETS:
Paid-in-capital............................. $1,228,142,607
Net unrealized appreciation................. 167,032,106
Accumulated net investment loss............. (202,131)
Accumulated undistributed net realized
gain...................................... 3,007,790
--------------
NET ASSETS ............................... $1,397,980,372
==============
CLASS A SHARES:
Net Assets.................................. $ 69,192,863
Shares Outstanding (unlimited authorized,
$.01 par value)........................... 5,261,422
NET ASSET VALUE PER SHARE ................ $ 13.15
==============
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net asset
value)................................... $ 13.88
==============
CLASS B SHARES:
Net Assets.................................. $1,175,712,934
Shares Outstanding (unlimited authorized,
$.01 par value)........................... 89,822,244
NET ASSET VALUE PER SHARE ................ $ 13.09
==============
CLASS C SHARES:
Net Assets.................................. $ 93,226,875
Shares Outstanding (unlimited authorized,
$.01 par value)........................... 7,122,608
NET ASSET VALUE PER SHARE ................ $ 13.09
==============
CLASS D SHARES:
Net Assets.................................. $ 59,847,700
Shares Outstanding (unlimited authorized,
$.01 par value)........................... 4,543,920
NET ASSET VALUE PER SHARE ................ $ 13.17
==============
</TABLE>
STATEMENT OF OPERATIONS
For the six months ended February 28, 1999 (unaudited)
<TABLE>
<CAPTION>
<S> <C>
NET INVESTMENT INCOME:
INCOME
Dividends (net of $28,254 foreign withholding
tax)......................................... $ 6,484,441
Interest...................................... 831,141
-------------
TOTAL INCOME ............................... 7,315,582
-------------
EXPENSES
Plan of distribution fee (Class A shares) .... 50,564
Plan of distribution fee (Class B shares) .... 4,101,082
Plan of distribution fee (Class C shares) .... 313,317
Investment management fee..................... 1,910,540
Transfer agent fees and expenses.............. 450,769
Registration fees............................. 211,824
Custodian fees................................ 138,773
Shareholder reports and notices............... 56,913
S&P license fees.............................. 50,264
Professional fees............................. 26,063
Trustees' fees and expenses................... 6,994
Organizational expenses....................... 6,837
Other......................................... 7,702
-------------
TOTAL EXPENSES ............................. 7,331,642
Less: amounts waived.......................... (478,505)
-------------
NET EXPENSES ............................... 6,853,137
-------------
NET INVESTMENT INCOME ...................... 462,445
-------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments.................................. 756,055
Futures contracts............................ 3,192,842
-------------
NET GAIN ................................... 3,948,897
-------------
Net change in unrealized depreciation on:
Investments.................................. 198,504,595
Futures contracts............................ 3,565,185
-------------
NET APPRECIATION ........................... 202,069,780
-------------
NET GAIN ................................... 206,018,677
-------------
NET INCREASE ................................. $206,481,122
=============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL STATEMENTS, continued
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 26, 1997*
MONTHS ENDED THROUGH
FEBRUARY 28, 1999 AUGUST 31, 1998
- ----------------------------------------------------- ----------------- -------------------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ................................ $ 462,445 $ 891,814
Net realized gain (loss).............................. 3,948,897 (730,026)
Net change in unrealized appreciation/depreciation ... 202,069,780 (35,037,674)
----------------- -------------------
NET INCREASE (DECREASE) ............................ 206,481,122 (34,875,886)
----------------- -------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A shares...................................... (306,810) (32,194)
Class B shares...................................... (955,074) (218,934)
Class C shares...................................... (81,020) (12,314)
Class D shares...................................... (147,141) (36,579)
Net realized gain
Class A shares...................................... (10,890) --
Class B shares...................................... (182,298) --
Class C shares...................................... (13,680) --
Class D shares...................................... (4,213) --
----------------- -------------------
TOTAL DIVIDENDS AND DISTRIBUTIONS .................. (1,701,126) (300,021)
----------------- -------------------
Net increase from transactions in shares of
beneficial interest.................................. 573,216,976 655,059,307
----------------- -------------------
NET INCREASE ....................................... 777,996,972 619,883,400
NET ASSETS:
Beginning of period................................... 619,983,400 100,000
----------------- -------------------
END OF PERIOD
(Including a net investment loss of $202,131 and
undistributed net investment income of $825,469,
respectively)....................................... $1,397,980,372 $619,983,400
================= ===================
</TABLE>
- ------------
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Dean Witter S&P 500 Index Fund (the "Fund"), is registered
under the Investment Company Act of 1940, 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
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"), 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 fair value as determined in good faith under procedures established
by and under the general supervision of the Trustees (valuation of debt
securities for which market quotations are not readily available may be based
15
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited) continued
upon current market prices of securities which are comparable in coupon,
rating and maturity or an appropriate matrix utilizing similar factors); and
(4) short-term debt securities having a maturity date of more than sixty days
at time of purchase are valued on a mark-to-market basis until sixty days
prior to maturity and thereafter at amortized cost based on their value on
the 61st day. Short-term debt securities having a maturity date of sixty days
or less at the time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on
the trade date (date the order to buy or sell is executed). Realized gains
and losses on security transactions are determined by the identified cost
method. Dividend income and other distributions are recorded on the
ex-dividend date. Discounts are accreted over the life of the respective
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
treatment; temporary differences do not require reclassification. Dividends
and distributions which exceed net
16
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited) continued
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
which will be 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 (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
17
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited) continued
paid under the Plan are paid to the Distributor for (1) 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, the 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; (2) printing and distribution of
prospectuses and reports used in connection with the offering of these shares
to other than current shareholders; and (3) 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 $35,739,075 at February
28, 1999.
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 six months ended February 28, 1999, the
distribution fee was accrued for Class A shares and Class C shares at the
annual rate of 0.21% and 1.0%, respectively.
The Distributor has informed the Fund that for the six months ended February
28, 1999, it received contingent deferred sales charges from certain
redemptions of the Fund's Class A shares, Class B shares and Class C shares
of $8,225, $848,811 and $32,127, respectively and received $270,959 in
front-end sales charges from sales of the Fund's Class A shares. The
respective shareholders pay such charges which are not an expense of the
Fund.
18
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited) continued
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities,
excluding short-term investments, for the six months ended February 28, 1999
aggregated $591,895,198 and $10,845,437, respectively. Included in the
aforementioned are purchases of U.S. Government securities of $6,559,793 and
purchases of common stock of Morgan Stanley Dean Witter & Co., an affiliate
of the Investment Manager of $2,432,332.
5. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 26, 1997*
MONTHS ENDED THROUGH
FEBRUARY 28, 1999 AUGUST 31, 1998
------------------------------ -----------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
------------- --------------- ------------- --------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Sold ....................................... 3,736,691 $ 45,136,665 4,387,871 $ 48,070,798
Reinvestment of dividends and
distributions.............................. 23,092 300,892 2,992 30,640
Redeemed ................................... (1,318,712) (15,395,411) (1,573,012) (17,786,190)
------------- --------------- ------------- --------------
Net increase -Class A ...................... 2,441,071 30,042,146 2,817,851 30,315,248
------------- --------------- ------------- --------------
CLASS B SHARES
Sold........................................ 45,582,066 566,811,433 59,465,374 638,937,231
Reinvestment of dividends and
distributions.............................. 80,119 1,040,747 19,651 201,231
Redeemed ................................... (8,798,335) (105,602,326) (6,529,131) (73,134,069)
------------- --------------- ------------- --------------
Net increase -Class B ...................... 36,863,850 462,249,854 52,955,894 566,004,393
------------- --------------- ------------- --------------
CLASS C SHARES
Sold ....................................... 3,867,116 48,145,059 4,702,373 51,244,820
Reinvestment of dividends and
distributions.............................. 6,822 88,622 1,134 11,618
Redeemed ................................... (772,604) (9,209,500) (684,733) (7,711,458)
------------- --------------- ------------- --------------
Net increase -Class C ...................... 3,101,334 39,024,181 4,018,774 43,544,980
------------- --------------- ------------- --------------
CLASS D SHARES
Sold ....................................... 3,920,440 51,250,755 2,826,399 30,380,237
Reinvestment of dividends and
distributions.............................. 9,731 126,988 190 1,940
Redeemed ................................... (776,754) (9,476,948) (1,438,586) (15,187,491)
------------- --------------- ------------- --------------
Net increase -Class D ...................... 3,153,417 41,900,795 1,388,003 15,194,686
------------- --------------- ------------- --------------
Net increase in Fund ....................... 45,559,672 $ 573,216,976 61,180,522 $655,059,307
============= =============== ============= ==============
</TABLE>
- ------------
* Commencement of operations.
19
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999 (unaudited) 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.
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 February 28, 1999, the Fund had outstanding futures contracts.
20
<PAGE>
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 each period:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 26, 1997*
MONTHS ENDED THROUGH
FEBRUARY 28, 1999 AUGUST 31, 1998
- ------------------------------------------ ----------------- -------------------
(UNAUDITED)
<S> <C> <C>
CLASS B SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ..... $ 10.13 $10.00
----------------- -------------------
Income from investment operations:
Net investment income .................... -- 0.02
Net realized and unrealized gain ........ 2.97 0.12
----------------- -------------------
Total income from investment operations .. 2.97 0.14
----------------- -------------------
Less dividends from net investment income (0.01)** (0.01)
----------------- -------------------
Net asset value, end of period ............ $ 13.09 $10.13
================= ===================
TOTAL RETURN+ ............................. 29.38%(1) 1.38%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses .................................. 1.50%(2)(3)(4) 1.50%(2)(3)
Net investment income ..................... 0.03%(2)(3)(4) 0.16%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ... $1,175,713 $536,349
Portfolio turnover rate ................... 1%(1) 1%
</TABLE>
- ------------
* Commencement of operations.
** Includes capital gain distribution of $0.00261.
++ 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 net
investment income ratios would have been 1.60% and (0.07)%,
respectively for the period ended February 28, 1999 and 1.64% and
0.02%, respectively for the period ended August 31, 1998.
(4) Reflects overall Fund ratios for investment income and non-class
specific expenses.
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 26, 1997*
MONTHS ENDED THROUGH
FEBRUARY 28, 1999 AUGUST 31, 1998
- ------------------------------------------ ----------------- -------------------
(UNAUDITED)
<S> <C> <C>
CLASS A SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ..... $10.18 $10.00
----------------- -------------------
Income from investment operations:
Net investment income .................... 0.05 0.10
Net realized and unrealized gain.......... 2.99 0.11
----------------- -------------------
Total income from investment operations ... 3.04 0.21
----------------- -------------------
Less dividends from net investment income (0.07)** (0.03)
----------------- -------------------
Net asset value, end of period............. $13.15 $10.18
================= ===================
TOTAL RETURN+ ............................. 29.93%(1) 2.05%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses................................... 0.71%(2)(3)(4) 0.75%(2)(3)
Net investment income ..................... 0.82%(2)(3)(4) 0.91%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands .. $69,193 $28,719
Portfolio turnover rate ................... 1% 1%
CLASS C SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ..... $10.13 $10.00
----------------- -------------------
Income from investment operations:
Net investment income .................... -- 0.02
Net realized and unrealized gain.......... 2.98 0.12
----------------- -------------------
Total income from investment operations ... 2.98 0.14
----------------- -------------------
Less dividends from net investment income (0.02)** (0.01)
----------------- -------------------
Net asset value, end of period............. $13.09 $10.13
================= ===================
TOTAL RETURN+ ............................. 29.40%(1) 1.37%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses .................................. 1.50%(2)(3)(4) 1.50%(2)(3)
Net investment income ..................... 0.03%(2)(3)(4) 0.16%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ... $93,227 $40,730
Portfolio turnover rate.................... 1%(1) 1%
</TABLE>
- ------------
* Commencement of operations.
** Includes capital gain distribution for Class A and Class C of $0.00261.
++ 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 net
investment income ratios would have been 0.81% and 0.72%, for Class A
shares, 1.60% and (0.07)%, for Class C shares, respectively for period
ended February 28, 1999 and 0.89% and 0.77% for Class A shares, and
1.64% and 0.02% for Class C shares, respectively for the period ended
August 31, 1998.
(4) Reflects overall Fund ratios for investment income and non-class
specific expenses.
SEE NOTES TO FINANCIAL STATEMENTS
22
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX SEPTEMBER 26, 1997*
MONTHS ENDED THROUGH
FEBRUARY 28, 1999 AUGUST 31, 1998
- ------------------------------------------ ----------------- -------------------
(UNAUDITED)
<S> <C> <C>
CLASS D SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ..... $10.20 $10.00
----------------- -------------------
Income from investment operations:
Net investment income .................... 0.07 0.12
Net realized and unrealized gain ........ 2.99 0.11
----------------- -------------------
Total income from investment operations .. 3.06 0.23
----------------- -------------------
Less dividends from net investment income (0.09)** (0.03)
----------------- -------------------
Net asset value, end of period ............ $13.17 $10.20
================= ===================
TOTAL RETURN+ ............................. 30.05%(1) 2.30%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses .................................. 0.50%(2)(3)(4) 0.50%(2)(3)
Net investment income ..................... 1.03%(2)(3)(4) 1.16%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands .. $59,848 $14,186
Portfolio turnover rate ................... 1% 1%
</TABLE>
- ------------
* Commencement of operations.
** Includes capital gain distribution of $0.00261.
++ The per share amounts were computed using an average number of shares
outstanding.
+ 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 net
investment income ratios would have been 0.60% and 0.93%, respectively
for the period ended February 28, 1999 and 0.64% and 1.02%,
respectively for the period ended August 31, 1998.
(4) Reflects overall Fund ratios for investment income and non-class
specific expenses.
SEE NOTES TO FINANCIAL STATEMENTS
23
<PAGE>
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
Kevin Jung
Assistant 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 Stanely Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
The financial statements included herein have been taken from the records
of the Fund without examination by the independent accountants and
accordingly they do not express an opinion thereon.
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
SEMIANNUAL REPORT
FEBRUARY 28, 1999
