<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund Two World Trade Center,
Letter to the Shareholders August 31, 2000 New York, New York 10048
DEAR SHAREHOLDER:
After a series of interest-rate hikes this spring by the Federal Reserve Board,
the U.S. economy finally seems to be slowing to a lower but more sustainable
growth rate. As a result, many of the trends that were established in 1999 have
been reversed in 2000. Mid-cap companies, as represented by the S&P MidCap 400
Index, outperformed large-cap companies, as reflected by the Standard & Poor's
500 Stock Index (S&P 500), 23.04 percent to 4.10 percent, respectively, over
the first eight months of 2000. The technology sector, a favorite of the market
in 1999, has taken a back seat to more defensive sectors like utilities and
health care. Despite its modest return thus far in 2000, the S&P 500's recent
performance compares favorably to that of other widely followed benchmarks such
as the Nasdaq Composite Index and the Dow Jones Industrial Average.
PERFORMANCE
For the 12-month period ended August 31, 2000, Morgan Stanley Dean Witter S&P
500 Index Fund's Class B shares returned 14.69 percent compared to 16.31
percent for the S&P 500. During the same period, the Fund's Class A, C and D
shares posted total returns of 15.49 percent, 14.69 percent and 15.81 percent,
respectively. The performance of the Fund's four share classes varies because
each class has different expenses. The total return figures given assume the
reinvestment of all distributions but do not reflect the deduction of any
applicable sales charges. The accompanying chart compares the Fund's
performance to that of the S&P 500.
The Fund seeks to deliver investment performance that corresponds, before
expenses, to the total return of the S&P 500 by investing in stocks that make
up the S&P 500 in approximately the same weightings as they are represented in
the index. The fully invested, broadly diversified Fund also seeks to minimize
turnover to generate tax-efficient returns.
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Letter to the Shareholders August 31, 2000, continued
LOOKING AHEAD
As the fear of near-term interest-rate hikes subsides, market watchers now
wonder if earnings growth can meet the expectations that have been priced into
the market. Many of the large-cap blue-chip companies that have significant
overseas operations have recently come under pressure from the falling euro.
However, signs do not point to the U.S. economy slowing too much but rather
maintaining a healthier, more sustainable growth rate. Additionally, high
productivity and low labor costs are helping to buoy corporate earnings.
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.
Very truly yours,
/s/ Charles A. Fiumefreddo /s/ Mitchell M. Merin
-------------------------- -----------------------
CHARLES A. FIUMEFREDDO MITCHELL M. MERIN
Chairman of the Board President
2
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Fund Performance August 31, 2000
[GRAPHIC OMITTED]
GROWTH OF $10,000
($ in Thousands)
$17 15 13 11 9
September 26, August 31, August 31, August 31,
1997 1998 1999 2000
$16,483(3) $16,010(3) $15,503(3) $16,706 $15,710(3)
Class A Class B Class C Class D S&P 500(4)
Past performance is not predictive of future returns. Investment return and
principal value will fluctuate. When you sell fund shares, they may be worth
more or less than their original cost. Performance for Class A, Class B, Class
C, and Class D shares will vary due to differences in sales charges and
expenses.
<TABLE>
<CAPTION>
Average Annual Total Returns
--------------------------------------------------------------------------------
Class A Shares*
--------------------------------------------------------------
Period Ended 8/31/00
---------------------------
<S> <C> <C>
1 Year 15.49%(1) 9.43%(2)
Since Inception (9/26/97) 18.30%(1) 16.14%(2)
</TABLE>
<TABLE>
<CAPTION>
Class C Shares+
---------------------------------------------------------------
Period Ended 8/31/00
---------------------------
<S> <C> <C>
1 Year 14.69%(1) 13.69%(2)
Since Inception (9/26/97) 17.43%(1) 17.43%(2)
</TABLE>
<TABLE>
<CAPTION>
Class B Shares**
--------------------------------------------------------------
Period Ended 8/31/00
---------------------------
<S> <C> <C>
1 Year 14.69%(1) 9.69%(2)
Since Inception (9/26/97) 17.43%(1) 16.67%(2)
</TABLE>
<TABLE>
<CAPTION>
Class D Shares++
-----------------------------------------------
Period Ended 8/31/00
---------------------------
<S> <C>
1 Year 15.81%(1)
Since Inception (9/26/97) 18.60%(1)
</TABLE>
---------------
(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 assuming a complete redemption on August 31, 2000.
(4) The Standard and Poor's 500 Index (S&P 500(Reg. TM)) is a broad-based
index, the performance of which is based on the performance of 500 widely
held common stocks chosen for market size, liquidity, and industry group
representation. The Index does not include any expenses, fees or charges.
The Index is unmanaged and should not be considered an investment.
* The maximum front-end sales charge for Class A is 5.25%.
** The maximum contingent deferred sales charge (CDSC) for Class B is 5.0%.
The CDSC declines to 0% after six years.
+ The maximum contingent deferred sales charge for Class C shares is 1% for
shares redeemed within one year of purchase.
++ Class D shares have no sales charge.
3
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ --------------
<S> <C> <C>
COMMON STOCKS (98.2%)
Advertising/Marketing Services (0.2%)
56,193 Interpublic Group of Companies,
Inc. .................................. $ 2,149,382
33,087 Omnicom Group, Inc. ................... 2,760,697
13,442 Young & Rubicam, Inc. ................. 786,357
--------------
5,696,436
--------------
Aerospace & Defense (0.8%)
168,959 Boeing Co. ............................ 9,060,426
37,373 General Dynamics Corp. ................ 2,352,163
19,991 Goodrich (B.F.) Co. (The) ............. 815,883
79,684 Lockheed Martin Corp. ................. 2,261,033
13,003 Northrop Grumman Corp. ................ 1,011,796
63,297 Raytheon Co. (Class B) ................ 1,760,448
26,857 Textron, Inc. ......................... 1,505,671
--------------
18,767,420
--------------
Agricultural Commodities/Milling (0.0%)
117,762 Archer-Daniels-Midland Co. ............ 1,037,775
--------------
Air Freight/Couriers (0.1%)
54,005 FedEx Corp.* .......................... 2,179,102
--------------
Airlines (0.2%)
27,879 AMR Corp.* ............................ 914,780
22,811 Delta Air Lines, Inc. ................. 1,129,144
92,424 Southwest Airlines Co. ................ 2,091,093
12,408 US Airways Group Inc.* ................ 421,872
--------------
4,556,889
--------------
Alternative Power Generation (0.2%)
79,389 AES Corp. (The)* ...................... 5,061,049
--------------
Aluminum (0.3%)
40,753 Alcan Aluminium, Ltd. (Canada) ........ 1,337,208
160,928 Alcoa, Inc. ........................... 5,350,856
--------------
6,688,064
--------------
Apparel/Footwear (0.1%)
10,165 Liz Claiborne, Inc. ................... 446,625
50,931 Nike, Inc. (Class B) .................. 2,014,958
10,557 Reebok International Ltd.* ............ 202,562
6,050 Russell Corp. ......................... 115,328
21,268 VF Corp. .............................. 486,505
--------------
3,265,978
--------------
Apparel/Footwear Retail (0.3%)
158,481 Gap, Inc. (The) ....................... 3,555,917
80,019 Limited, Inc. (The) ................... 1,600,380
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
25,069 Nordstrom, Inc. ....................... $ 432,440
55,872 TJX Companies, Inc. (The) ............. 1,051,092
--------------
6,639,829
--------------
Auto Parts: O.E.M. (0.2%)
28,373 Dana Corp. ............................ 700,458
104,860 Delphi Automotive Systems Corp......... 1,723,636
13,541 Eaton Corp. ........................... 898,784
15,968 Johnson Controls, Inc. ................ 853,290
22,972 TRW Inc. .............................. 1,049,533
29,392 Visteon Corp. ......................... 461,087
--------------
5,686,788
--------------
Automotive Aftermarket (0.0%)
13,747 Cooper Tire & Rubber Co. .............. 165,823
29,124 Goodyear Tire & Rubber Co. (The) ...... 680,773
--------------
846,596
--------------
Beverages: Non-Alcoholic (1.5%)
460,993 Coca Cola Co. ......................... 24,259,757
78,328 Coca-Cola Enterprises Inc. ............ 1,458,859
268,393 PepsiCo, Inc. ......................... 11,440,252
--------------
37,158,868
--------------
Beverages: Alcoholic (0.3%)
84,142 Anheuser-Busch Companies, Inc.......... 6,631,441
12,760 Brown-Forman Corp. (Class B) .......... 676,280
6,834 Coors (Adolph) Co. (Class B) .......... 407,050
--------------
7,714,771
--------------
Biotechnology (0.8%)
191,238 Amgen Inc.* ........................... 14,498,231
27,654 Biogen, Inc.* ......................... 1,911,583
37,671 MedImmune, Inc.* ...................... 3,169,073
--------------
19,578,887
--------------
Broadcasting (0.3%)
100,924 Clear Channel Communications,
Inc.* ................................. 7,304,374
--------------
Building Products (0.1%)
7,498 Armstrong Holdings, Inc. .............. 119,499
83,562 Masco Corp. ........................... 1,629,459
--------------
1,748,958
--------------
Cable/Satellite TV (0.2%)
167,197 Comcast Corp. (Class A Special)*....... 6,228,088
--------------
Casino/Gaming (0.0%)
22,765 Harrah's Entertainment, Inc.* ......... 645,957
--------------
</TABLE>
See Notes to Financial Statements
4
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
Chemicals: Major Diversified (0.6%)
125,913 Dow Chemical Co. (The) ................... $ 3,297,347
195,065 Du Pont (E.I.) de Nemours & Co.,
Inc. ..................................... 8,753,542
14,285 Eastman Chemical Co. ..................... 616,041
19,966 Hercules Inc. ............................ 264,549
40,515 Rohm & Haas Co. .......................... 1,172,403
25,086 Union Carbide Corp. ...................... 1,005,008
--------------
15,108,890
--------------
Chemicals: Specialty (0.2%)
42,709 Air Products & Chemicals, Inc. ........... 1,550,871
23,769 Engelhard Corp. .......................... 445,669
5,654 FMC Corp.* ............................... 383,412
12,571 Grace (W. R.) & Co.* ..................... 99,782
10,140 Great Lakes Chemical Corp. ............... 342,225
29,363 Praxair, Inc. ............................ 1,299,313
15,876 Sigma-Aldrich Corp. ...................... 461,396
--------------
4,582,668
--------------
Commercial Printing/Forms (0.0%)
13,470 Deluxe Corp. ............................. 296,340
22,706 Donnelley (R.R.) & Sons Co. .............. 584,679
--------------
881,019
--------------
Computer Communications (3.6%)
19,360 Adaptec, Inc.* ........................... 474,320
33,946 Cabletron Systems, Inc.* ................. 1,270,853
1,295,597 Cisco Systems, Inc.* ..................... 88,748,394
--------------
90,493,567
--------------
Computer Peripherals (2.0%)
404,154 EMC Corp.* ............................... 39,607,092
24,071 Lexmark International Group,
Inc.* .................................... 1,632,315
56,727 Network Appliance, Inc.* ................. 6,637,059
42,321 Seagate Technology, Inc.* ................ 2,512,809
--------------
50,389,275
--------------
Computer Processing Hardware (6.0%)
60,624 Apple Computer, Inc.* .................... 3,694,275
316,257 Compaq Computer Corp. .................... 10,772,504
479,601 Dell Computer Corp.* ..................... 20,922,594
59,936 Gateway, Inc.* ........................... 4,081,642
186,274 Hewlett-Packard Co. ...................... 22,492,585
330,196 International Business Machines
Corp. .................................. 43,585,872
17,720 NCR Corp.* ............................... 715,445
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
105,088 Palm, Inc.* .............................. $ 4,623,872
295,474 Sun Microsystems, Inc.* .................. 37,506,731
--------------
148,395,520
--------------
Construction Materials (0.0%)
10,333 Owens Corning ............................ 53,602
18,763 Vulcan Materials Co. ..................... 831,435
--------------
885,037
--------------
Consumer Sundries (0.0%)
12,017 American Greetings Corp.
(Class A) .............................. 223,817
--------------
Containers/Packaging (0.1%)
5,535 Ball Corp. ............................... 191,649
9,897 Bemis Company, Inc. ...................... 331,549
23,860 Crown Cork & Seal Co., Inc. .............. 308,689
27,296 Owens-Illinois, Inc.* .................... 356,554
31,468 Pactiv Corp.* ............................ 346,148
15,582 Sealed Air Corp.* ........................ 799,551
9,764 Temple-Inland, Inc. ...................... 414,360
--------------
2,748,500
--------------
Contract Drilling (0.1%)
17,481 Rowan Companies, Inc.* ................... 541,911
39,198 Transocean Sedco Forex Inc. .............. 2,342,080
--------------
2,883,991
--------------
Data Processing Services (0.4%)
116,819 Automatic Data Processing, Inc. .......... 6,965,333
26,997 Ceridian Corp.* .......................... 652,990
76,786 First Data Corp. ......................... 3,661,732
--------------
11,280,055
--------------
Department Stores (0.4%)
17,433 Dillard's, Inc. (Class A) ................ 223,360
39,858 Federated Department Stores,
Inc.* .................................. 1,101,077
60,755 Kohl's Corp.* ............................ 3,402,280
61,931 May Department Stores Co. ................ 1,420,542
48,612 Penney (J.C.) Co., Inc. .................. 680,568
65,664 Sears, Roebuck & Co. ..................... 2,047,896
--------------
8,875,723
--------------
Discount Stores (2.0%)
20,641 Consolidated Stores Corp.* ............... 281,234
83,210 Costco Wholesale Corp.* .................. 2,865,544
61,293 Dollar General Corp. ..................... 1,260,337
89,588 Kmart Corp.* ............................. 627,116
169,862 Target Corp. ............................. 3,949,291
830,128 Wal-Mart Stores, Inc. .................... 39,379,197
--------------
48,362,719
--------------
</TABLE>
See Notes to Financial Statements
5
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ --------------
<S> <C> <C>
Drugstore Chains (0.4%)
72,673 CVS Corp. .............................. $ 2,697,985
7,336 Longs Drug Stores Corp. ................ 138,467
187,716 Walgreen Co. ........................... 6,171,163
--------------
9,007,615
--------------
Electric Utilities (1.6%)
25,557 Ameren Corp. ........................... 1,033,461
59,712 American Electric Power Co., Inc........ 2,104,848
29,600 Cinergy Corp. .......................... 869,500
20,441 CMS Energy Corp. ....................... 534,021
39,478 Consolidated Edison, Inc. .............. 1,236,155
27,864 Constellation Energy Group, Inc......... 1,065,798
29,733 CP&L, Inc .............................. 1,100,121
44,328 Dominion Resources, Inc. ............... 2,349,384
26,571 DTE Energy Co. ......................... 923,342
68,441 Duke Energy Corp. ...................... 5,120,242
61,891 Edison International ................... 1,280,370
42,833 Entergy Corp. .......................... 1,303,729
43,007 FirstEnergy Corp. ...................... 1,064,423
18,367 Florida Progress Corp. ................. 952,788
33,184 FPL Group, Inc. ........................ 1,771,196
22,597 GPU, Inc. .............................. 692,033
32,103 Niagara Mohawk Holdings Inc.* .......... 413,326
31,583 PECO Energy Co. ........................ 1,521,906
71,768 PG & E Corp. ........................... 2,076,786
15,782 Pinnacle West Capital Corp ............. 650,021
26,870 PPL Corp. .............................. 900,145
40,297 Public Service Enterprise Group,
Inc. ................................. 1,460,766
55,070 Reliant Energy, Inc. ................... 2,044,474
120,808 Southern Co. (The) ..................... 3,616,689
49,120 TXU Corp. .............................. 1,716,130
33,113 Unicom Corp. ........................... 1,512,850
62,893 Xcel Energy, Inc. ...................... 1,576,251
--------------
40,890,755
--------------
Electrical Products (0.4%)
36,103 American Power Conversion
Corp.* ............................... 859,703
17,355 Cooper Industries, Inc. ................ 612,848
79,477 Emerson Electric Co. ................... 5,260,384
36,538 Molex Inc. ............................. 1,929,663
7,585 National Service Industries, Inc. ...... 151,226
10,795 Thomas & Betts Corp. ................... 202,406
--------------
9,016,230
--------------
Electronic Components (0.3%)
27,606 Sanmina Corp.* ......................... 3,257,508
111,046 Solectron Corp.* ....................... 5,031,772
--------------
8,289,280
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ --------------
<S> <C> <C>
Electronic Equipment/Instruments (1.3%)
84,186 Agilent Technologies, Inc.* ............ $ 5,077,468
173,523 JDS Uniphase Corp.* .................... 21,600,902
9,152 PerkinElmer, Inc. ...................... 823,108
35,020 Rockwell International Corp. ........... 1,416,121
8,978 Tektronix, Inc.* ....................... 684,011
124,094 Xerox Corp. ............................ 1,993,260
--------------
31,594,870
--------------
Electronic Production Equipment (0.7%)
150,409 Applied Materials, Inc.* ............... 12,982,177
34,639 KLA-Tencor Corp.* ...................... 2,273,184
23,413 Novellus Systems, Inc.* ................ 1,441,363
32,256 Teradyne, Inc.* ........................ 2,090,592
--------------
18,787,316
--------------
Electronics/Appliance Stores (0.2%)
38,072 Best Buy Co., Inc.* .................... 2,350,946
37,874 Circuit City Stores, Inc.- Circuit
City Group ........................... 982,357
34,766 RadioShack Corp. ....................... 2,051,194
--------------
5,384,497
--------------
Electronics/Appliances (0.0%)
14,600 Maytag Corp. ........................... 556,625
8,361 Polaroid Corp. ......................... 142,137
13,604 Whirlpool Corp. ........................ 516,952
--------------
1,215,714
--------------
Engineering & Construction (0.0%)
14,224 Fluor Corp. ............................ 425,831
--------------
Environmental Services (0.1%)
35,189 Allied Waste Industries, Inc.* ......... 323,299
115,679 Waste Management, Inc. ................. 2,190,671
--------------
2,513,970
--------------
Finance/Rental/Leasing (1.5%)
135,658 Associates First Capital Corp.
(Class A) .............................. 3,815,381
36,472 Capital One Financial Corp. ............ 2,199,717
48,988 CIT Group, Inc. (The) (Series A) ....... 857,290
21,108 Countrywide Credit Industries,
Inc. ................................. 799,465
187,628 Fannie Mae ............................. 10,085,005
129,479 Freddie Mac ............................ 5,454,303
88,130 Household International, Inc. .......... 4,230,240
158,634 MBNA Corp. ............................. 5,601,763
26,539 Providian Financial Corp. .............. 3,050,326
11,077 Ryder System, Inc. ..................... 212,540
29,168 USA Education Inc. ..................... 1,143,021
--------------
37,449,051
--------------
</TABLE>
See Notes to Financial Statements
6
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
Financial Conglomerates (2.5%)
248,818 American Express Co. .................. $ 14,711,364
838,060 Citigroup, Inc. ....................... 48,921,753
60,581 Conseco, Inc. ......................... 511,152
--------------
64,144,269
--------------
Financial Publishing/Services (0.2%)
30,118 Dun & Bradstreet Corp. (The) .......... 993,894
26,290 Equifax, Inc. ......................... 668,752
36,226 McGraw-Hill Companies, Inc. ........... 2,243,748
--------------
3,906,394
--------------
Food Distributors (0.1%)
24,487 Supervalu, Inc. ....................... 365,775
62,060 SYSCO Corp. ........................... 2,625,914
--------------
2,991,689
--------------
Food Retail (0.4%)
78,902 Albertson's, Inc. ..................... 1,696,393
155,521 Kroger Co.* ........................... 3,528,383
92,456 Safeway Inc.* ......................... 4,559,236
26,913 Winn-Dixie Stores, Inc. ............... 375,100
--------------
10,159,112
--------------
Food: Major Diversified (1.0%)
51,135 Bestfoods ............................. 3,611,409
78,692 Campbell Soup Co. ..................... 1,996,809
54,288 General Mills, Inc. ................... 1,744,002
65,604 Heinz (H.J.) Co. ...................... 2,501,152
75,539 Kellogg Co. ........................... 1,751,561
60,801 Nabisco Group Holdings Corp. .......... 1,706,228
24,383 Quaker Oats Company (The) ............. 1,656,520
57,135 Ralston-Ralston Purina Group .......... 1,292,679
161,959 Sara Lee Corp. ........................ 3,016,486
106,457 Unilever N.V. (Netherlands) ........... 5,030,093
--------------
24,306,939
--------------
Food: Meat/Fish/Dairy (0.1%)
99,234 ConAgra, Inc. ......................... 1,817,223
--------------
Food: Specialty/Candy (0.1%)
25,552 Hershey Foods Corp. ................... 1,090,751
21,254 Wrigley (Wm.) Jr. Co. ................. 1,574,124
--------------
2,664,875
--------------
Forest Products (0.1%)
19,400 Louisiana-Pacific Corp. ............... 204,912
43,388 Weyerhaeuser Co. ...................... 2,009,407
--------------
2,214,319
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ --------------
<S> <C> <C>
Gas Distributors (0.1%)
5,056 Eastern Enterprises ................... $ 319,792
24,935 KeySpan Corp. ......................... 858,699
8,651 Nicor Inc. ............................ 319,006
5,437 ONEOK, Inc. ........................... 173,644
6,573 Peoples Energy Corp. .................. 213,622
38,045 Sempra Energy ......................... 741,877
--------------
2,626,640
--------------
Home Building (0.0%)
11,061 Centex Corp. .......................... 319,386
8,963 Kaufman & Broad Home Corp. ............ 222,394
7,669 Pulte Corp. ........................... 252,598
--------------
794,378
--------------
Home Furnishings (0.1%)
36,590 Leggett & Platt, Inc. ................. 647,186
49,642 Newell Rubbermaid, Inc. ............... 1,287,589
10,752 Tupperware Corp. ...................... 217,056
--------------
2,151,831
--------------
Home Improvement Chains (1.0%)
430,903 Home Depot, Inc. (The) ................ 20,710,275
71,208 Lowe's Companies, Inc. ................ 3,191,008
--------------
23,901,283
--------------
Hospital/Nursing Management (0.2%)
103,862 HCA-The Healthcare Corp. .............. 3,583,239
19,049 Manor Care, Inc.* ..................... 254,780
58,252 Tenet Healthcare Corp.* ............... 1,805,812
--------------
5,643,831
--------------
Hotels/Resorts/Cruiselines (0.2%)
112,581 Carnival Corp. ........................ 2,244,584
68,598 Hilton Hotels Corp. ................... 685,980
44,630 Marriott International, Inc.
(Class A) ............................. 1,762,885
--------------
4,693,449
--------------
Household/Personal Care (1.4%)
10,383 Alberto-Culver Co. (Class B) .......... 293,969
44,220 Avon Products, Inc. ................... 1,732,871
43,716 Clorox Co. ............................ 1,581,973
107,402 Colgate-Palmolive Co. ................. 5,470,789
194,427 Gillette Co. .......................... 5,832,810
19,150 International Flavors &
Fragrances, Inc. ...................... 493,112
103,481 Kimberly-Clark Corp. .................. 6,053,638
243,599 Procter & Gamble Co. (The) ............ 15,057,463
--------------
36,516,625
--------------
</TABLE>
See Notes to Financial Statements
7
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
Industrial Conglomerates (5.7%)
1,842,677 General Electric Co.** .................... $ 108,142,106
148,660 Honeywell International, Inc. ............. 5,732,701
73,720 Minnesota Mining &
Manufacturing Co. ....................... 6,855,960
314,396 Tyco International Ltd.
(Bermuda) ............................... 17,920,572
87,636 United Technologies Corp. ................. 5,471,773
--------------
144,123,112
--------------
Industrial Machinery (0.2%)
56,162 Illinois Tool Works Inc. .................. 3,148,582
30,146 Ingersoll-Rand Co. ........................ 1,373,527
11,181 McDermott International, Inc.* ............ 85,954
20,852 Parker-Hannifin Corp. ..................... 725,910
--------------
5,333,973
--------------
Industrial Specialties (0.1%)
24,149 Ecolab, Inc. .............................. 940,302
8,581 Millipore Corp. ........................... 522,368
32,435 PPG Industries, Inc. ...................... 1,313,617
30,499 Sherwin-Williams Co. ...................... 701,477
--------------
3,477,764
--------------
Information Technology Services (0.5%)
34,478 Citrix Systems, Inc.* ..................... 758,516
31,166 Computer Sciences Corp.* .................. 2,464,062
86,759 Electronic Data Systems Corp. ............. 4,321,683
51,402 PeopleSoft, Inc.* ......................... 1,657,714
21,914 Sapient Corp.* ............................ 1,150,485
58,069 Unisys Corp.* ............................. 754,897
--------------
11,107,357
--------------
Insurance Brokers/Services (0.3%)
47,655 AON Corp. ............................... 1,778,127
50,209 Marsh & McLennan Companies,
Inc. .................................... 5,962,319
--------------
7,740,446
--------------
Integrated Oil (4.0%)
16,874 Amerada Hess Corp. ........................ 1,154,814
121,431 Chevron Corp. ............................. 10,260,919
116,278 Conoco, Inc. (Class B) .................... 3,037,763
648,369 Exxon Mobil Corp. ......................... 52,923,120
47,281 Phillips Petroleum Co. .................... 2,925,512
399,381 Royal Dutch Petroleum Co. (ADR)
(Netherlands) ............................. 24,437,125
102,819 Texaco, Inc. .............................. 5,295,178
45,233 Unocal Corp. .............................. 1,509,651
--------------
101,544,082
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
Internet Software/Services (1.5%)
427,894 America Online, Inc.* ..................... $ 25,085,286
101,184 Yahoo! Inc.* .............................. 12,293,856
--------------
37,379,142
--------------
Investment Banks/Brokers (2.0%)
20,601 Bear Stearns Companies, Inc. .............. 1,381,555
22,507 Lehman Brothers Holdings, Inc. ............ 3,263,515
72,243 Merrill Lynch & Co., Inc. ................. 10,475,235
210,805 Morgan Stanley Dean Witter &
Co. (Note 4) ............................ 22,674,713
27,123 Paine Webber Group, Inc. .................. 1,939,295
253,616 Schwab (Charles) Corp. .................... 9,684,961
--------------
49,419,274
--------------
Investment Managers (0.2%)
45,361 Franklin Resources, Inc. .................. 1,723,718
22,493 Price (T.) Rowe Associates, Inc. .......... 1,017,808
41,508 Stillwell Financial, Inc.* ................ 2,007,950
--------------
4,749,476
--------------
Life/Health Insurance (0.4%)
49,439 AFLAC, Inc. ............................... 2,669,706
46,264 American General Corp. .................... 3,368,598
19,202 Jefferson-Pilot Corp. ..................... 1,270,932
35,709 Lincoln National Corp. .................... 1,928,286
23,869 Torchmark Corp. ........................... 669,824
44,792 UnumProvident Corp. ....................... 971,427
--------------
10,878,773
--------------
Major Banks (4.1%)
308,665 Bank of America Corp. ..................... 16,532,869
137,366 Bank of New York Co., Inc. ................ 7,203,130
213,609 Bank One Corp. ............................ 7,529,717
72,911 BB&T Corp. ................................ 1,973,154
242,634 Chase Manhattan Corp. (The) ............... 13,557,175
29,134 Comerica, Inc. ............................ 1,640,608
182,628 First Union Corp. ......................... 5,284,798
167,849 FleetBoston Financial Corp. ............... 7,165,054
45,480 Huntington Bancshares, Inc. ............... 767,475
80,979 KeyCorp ................................... 1,634,764
91,489 Mellon Financial Corp. .................... 4,139,877
30,236 Morgan (J.P.) & Co., Inc. ................. 5,055,081
112,912 National City Corp. ....................... 2,364,095
54,088 PNC Financial Services Group,
Inc. .................................... 3,187,812
31,308 SouthTrust Corp. .......................... 882,494
29,965 State Street Corp. ........................ 3,528,379
32,767 Summit Bancorp. ........................... 907,236
56,331 SunTrust Banks, Inc. ...................... 2,781,343
</TABLE>
See Notes to Financial Statements
8
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ---------------
<S> <C> <C>
140,031 U.S. Bancorp ......................... $ 3,045,674
37,708 Wachovia Corp. ....................... 2,161,140
300,091 Wells Fargo & Co. .................... 12,960,180
--------------
104,302,055
--------------
Major Telecommunications (4.4%)
58,722 ALLTEL Corp. ......................... 2,969,131
698,624 AT&T Corp. ........................... 22,006,656
350,441 BellSouth Corp. ...................... 13,075,830
633,579 SBC Communications, Inc. ............. 26,451,923
163,271 Sprint Corp. (FON Group) ............. 5,469,579
506,648 Verizon Communications ............... 22,102,519
533,252 WorldCom, Inc.* ...................... 19,463,698
--------------
111,539,336
--------------
Managed Health Care (0.3%)
26,249 Aetna Inc. ........................... 1,468,303
30,332 CIGNA Corp. .......................... 2,949,787
31,242 Humana, Inc.* ........................ 267,510
30,249 UnitedHealth Group Inc. .............. 2,858,531
11,562 Wellpoint Health Networks, Inc.*...... 997,945
--------------
8,542,076
--------------
Media Conglomerates (2.2%)
386,996 Disney (Walt) Co. (The) .............. 15,068,657
245,061 Time Warner Inc. ..................... 20,952,716
284,035 Viacom, Inc. (Class B)
(Non-Voting)* ...................... 19,119,106
--------------
55,140,479
--------------
Medical Distributors (0.2%)
51,279 Cardinal Health, Inc. ................ 4,195,263
52,476 McKesson HBOC, Inc. .................. 1,308,620
--------------
5,503,883
--------------
Medical Specialties (1.3%)
19,116 ALZA Corp. * ......................... 1,445,648
9,400 Bard (C.R.), Inc. .................... 458,838
9,886 Bausch & Lomb, Inc. .................. 353,425
54,066 Baxter International, Inc. ........... 4,500,995
47,015 Becton, Dickinson & Co. .............. 1,416,327
33,054 Biomet, Inc. ......................... 1,117,638
75,935 Boston Scientific Corp.* ............. 1,438,019
57,079 Guidant Corp.* ....................... 3,842,130
12,518 Mallinckrodt, Inc. ................... 564,092
222,926 Medtronic, Inc. ...................... 11,424,958
23,030 Pall Corp. ........................... 492,266
38,799 PE Corporation-PE Biosystems
Group .............................. 3,816,852
15,613 St. Jude Medical, Inc.* .............. 618,665
--------------
31,489,853
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
Medical/Nursing Services (0.0%)
71,789 Healthsouth Corp.* ................... $ 439,708
--------------
Metal Fabrications (0.0%)
11,355 Timken Co. (The) ..................... 185,228
--------------
Miscellaneous Manufacturing (0.2%)
11,278 Crane Co. ............................ 283,360
26,389 Danaher Corp. ........................ 1,482,732
37,809 Dover Corp. .......................... 1,847,915
16,374 ITT Industries, Inc.* ................ 550,576
32,175 Thermo Electron Corp.* ............... 748,069
--------------
4,912,652
--------------
Miscellaneous Commercial Services (0.2%)
28,557 Convergys Corp.* ..................... 1,117,293
69,156 Paychex, Inc. ........................ 3,086,087
24,039 Sabre Holdings Corp. ................. 670,087
--------------
4,873,467
--------------
Motor Vehicles (0.7%)
348,987 Ford Motor Co. ....................... 8,441,123
99,645 General Motors Corp. ................. 7,193,123
56,545 Harley-Davidson, Inc. ................ 2,816,648
--------------
18,450,894
--------------
Movies/Entertainment (0.2%)
81,286 Seagram Co. Ltd. (The) (Canada)....... 4,892,401
--------------
Multi-Line Insurance (1.7%)
430,630 American International Group,
Inc. ............................... 38,379,899
40,024 Hartford Financial Services
Group, Inc. (The) .................... 2,666,599
23,769 Safeco Corp. ......................... 625,422
--------------
41,671,920
--------------
Office Equipment/Supplies (0.1%)
20,887 Avery Dennison Corp. ................. 1,129,203
48,005 Pitney Bowes, Inc. ................... 1,755,183
--------------
2,884,386
--------------
Oil & Gas Pipelines (0.9%)
39,844 Coastal Corp. (The) .................. 2,744,256
15,025 Columbia Energy Group ................ 1,054,567
43,074 El Paso Energy Corp. ................. 2,509,061
136,345 Enron Corp. .......................... 11,572,282
82,281 Williams Companies, Inc. (The) ....... 3,790,069
--------------
21,670,235
--------------
Oil & Gas Production (0.4%)
45,215 Anardarko Petroleum Corp. ............ 2,973,791
21,180 Apache Corp. ......................... 1,334,340
</TABLE>
See Notes to Financial Statements
9
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------- --------------
<S> <C> <C>
40,098 Burlington Resources, Inc. ............. $ 1,576,353
23,580 Devon Energy Corp. ..................... 1,380,904
17,533 Kerr-McGee Corp. ....................... 1,107,866
68,657 Occidental Petroleum Corp. ............. 1,484,708
--------------
9,857,962
--------------
Oil Refining/Marketing (0.1%)
13,145 Ashland, Inc. .......................... 463,361
16,482 Sunoco, Inc. ........................... 448,104
26,917 Tosco Corp. ............................ 820,969
58,069 USX-Marathon Group ..................... 1,593,268
--------------
3,325,702
--------------
Oilfield Services/Equipment (0.6%)
61,503 Baker Hughes Inc. ...................... 2,248,703
82,684 Halliburton Co. ........................ 4,382,252
105,989 Schlumberger Ltd. ...................... 9,042,187
--------------
15,673,142
--------------
Other Consumer Services (0.1%)
18,324 Block (H.&R.), Inc. .................... 657,374
134,297 Cendant Corp.* ......................... 1,771,042
--------------
2,428,416
--------------
Other Consumer Specialties (0.0%)
29,489 Fortune Brands, Inc. ................... 751,970
--------------
Other Metals/Minerals (0.1%)
15,497 Allegheny Technologies Inc. ............ 337,060
33,842 Inco Ltd. (Canada)* .................... 604,926
14,662 Phelps Dodge Corp. ..................... 652,459
--------------
1,594,445
--------------
Packaged Software (5.7%)
22,300 Adobe Systems, Inc. .................... 2,899,000
10,859 Autodesk, Inc. ......................... 305,409
45,480 BMC Software, Inc.* .................... 1,227,960
109,601 Computer Associates
International, Inc. .................. 3,479,832
67,139 Compuware Corp.* ....................... 709,156
14,810 Mercury Interactive Corp.* ............. 1,809,597
980,137 Microsoft Corp.* ....................... 68,425,814
61,357 Novell, Inc.* .......................... 751,623
528,661 Oracle Corp.* .......................... 48,075,110
51,407 Parametric Technology Corp.* ........... 687,569
37,177 Siebel Systems, Inc.* .................. 7,354,075
72,806 Veritas Software Corp.* ................ 8,777,673
--------------
144,502,818
--------------
Pharmaceuticals: Generic Drugs (0.0%)
17,983 Watson Pharmaceuticals, Inc.* .......... 1,109,326
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------- --------------
<S> <C> <C>
Pharmaceuticals: Major (7.5%)
288,584 Abbott Laboratories .................... $ 12,625,550
242,910 American Home Products Corp. ........... 13,162,686
367,400 Bristol-Myers Squibb Co. ............... 19,472,200
259,058 Johnson & Johnson ...................... 23,817,145
210,345 Lilly (Eli) & Co. ...................... 15,355,185
428,273 Merck & Co., Inc. ...................... 29,925,576
1,171,781 Pfizer Inc. ............................ 50,679,528
236,414 Pharmacia Corp. ........................ 13,844,995
272,693 Schering-Plough Corp. .................. 10,941,807
--------------
189,824,672
--------------
Pharmaceuticals: Other (0.1%)
24,134 Allergan, Inc. ......................... 1,764,799
--------------
Precious Metals (0.1%)
73,686 Barrick Gold Corp. (Canada) ............ 1,174,371
29,801 Freeport-McMoRan Copper &
Gold, Inc. (Class B)* ................ 292,422
48,508 Homestake Mining Co. ................... 269,826
31,268 Newmont Mining Corp. ................... 580,412
61,000 Placer Dome Inc. (Canada) .............. 541,375
--------------
2,858,406
--------------
Property - Casualty Insurers (0.5%)
138,689 Allstate Corp. (The) ................... 4,030,649
32,586 Chubb Corp. (The) ...................... 2,494,866
29,946 Cincinnati Financial Corp. ............. 1,164,151
18,368 Loews Corp. ............................ 1,486,660
13,604 Progressive Corp. ...................... 1,031,353
39,497 St. Paul Companies, Inc. ............... 1,881,045
--------------
12,088,724
--------------
Publishing: Books/Magazines (0.0%)
13,361 Harcourt General, Inc. ................. 792,474
9,434 Meredith Corp. ......................... 257,666
--------------
1,050,140
--------------
Publishing: Newspapers (0.3%)
16,513 Dow Jones & Co., Inc. .................. 1,033,095
49,636 Gannett Co., Inc. ...................... 2,810,639
14,466 Knight-Ridder, Inc. .................... 790,205
31,652 New York Times Co. (The)
(Class A) ............................ 1,240,363
57,441 Tribune Co. ............................ 2,049,926
--------------
7,924,228
--------------
Pulp & Paper (0.3%)
10,658 Boise Cascade Corp. .................... 318,408
38,325 Fort James Corp. ....................... 1,212,028
31,763 Georgia-Pacific Corp. .................. 849,660
</TABLE>
See Notes to Financial Statements
10
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------- --------------
<S> <C> <C>
89,811 International Paper Co. ............... $ 2,862,726
19,145 Mead Corp. ............................ 513,325
5,336 Potlatch Corp. ........................ 179,423
18,731 Westvaco Corp. ........................ 512,761
20,629 Willamette Industries, Inc. ........... 629,185
--------------
7,077,516
--------------
Railroads (0.2%)
79,767 Burlington Northern Santa Fe
Corp. ................................. 1,784,787
40,687 CSX Corp. ............................. 971,402
71,355 Norfolk Southern Corp. ................ 1,146,140
46,162 Union Pacific Corp. ................... 1,834,940
--------------
5,737,269
--------------
Recreational Products (0.2%)
16,368 Brunswick Corp. ....................... 306,900
57,698 Eastman Kodak Co. ..................... 3,591,701
32,059 Hasbro, Inc. .......................... 394,726
79,284 Mattel, Inc. .......................... 782,930
--------------
5,076,257
--------------
Regional Banks (0.7%)
73,172 AmSouth Bancorporation ................ 1,335,389
86,542 Fifth Third Bancorp ................... 3,997,159
180,670 Firstar Corp. ......................... 4,313,496
41,404 Northern Trust Corp. .................. 3,490,875
25,578 Old Kent Financial Corp. .............. 749,755
41,096 Regions Financial Corp. ............... 893,838
52,595 Synovus Financial Corp. ............... 1,035,464
25,203 Union Planters Corp. .................. 763,966
--------------
16,579,942
--------------
Restaurants (0.4%)
23,045 Darden Restaurants, Inc. .............. 407,608
248,877 McDonald's Corp. ...................... 7,435,200
34,186 Starbucks Corp.* ...................... 1,252,062
27,461 Tricon Global Restaurants, Inc.* ...... 799,802
21,184 Wendy's International, Inc. ........... 399,848
--------------
10,294,520
--------------
Savings Banks (0.3%)
39,027 Charter One Financial, Inc. ........... 926,891
29,444 Golden West Financial Corp. ........... 1,402,271
102,022 Washington Mutual, Inc. ............... 3,570,770
--------------
5,899,932
--------------
Semiconductors (6.6%)
57,064 Advanced Micro Devices, Inc.* ......... 2,147,033
74,154 Altera Corp.* ......................... 4,806,106
65,900 Analog Devices, Inc.* ................. 6,622,950
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------- --------------
<S> <C> <C>
40,000 Broadcom Corp. (Class A)* ............. $ 10,000,000
40,478 Conexant Systems, Inc.* ............... 1,505,276
1,247,520 Intel Corp. ........................... 93,408,060
57,942 Linear Technology Corp. ............... 4,168,203
57,175 LSI Logic Corp.* ...................... 2,054,727
52,645 Maxim Integrated Products, Inc.*....... 4,616,308
103,337 Micron Technology, Inc.* .............. 8,447,800
32,881 National Semiconductor Corp.* ......... 1,463,205
321,146 Texas Instruments, Inc. ............... 21,496,710
59,842 Xilinx, Inc.* ......................... 5,318,458
--------------
166,054,836
--------------
Services to the Health Industry (0.1%)
55,356 IMS Health Inc. ....................... 1,044,845
21,449 Quintiles Transnational Corp.* ........ 298,945
--------------
1,343,790
--------------
Specialty Insurance (0.1%)
18,324 MBIA, Inc. ............................ 1,204,803
19,714 MGIC Investment Corp. ................. 1,159,430
--------------
2,364,233
--------------
Specialty Stores (0.2%)
24,917 AutoZone, Inc.* ....................... 560,633
52,278 Bed Bath & Beyond Inc.* ............... 918,132
58,893 Office Depot, Inc.* ................... 430,655
90,209 Staples, Inc.* ........................ 1,386,963
27,000 Tiffany & Co. ......................... 1,123,875
40,274 Toys 'R' Us, Inc.* .................... 732,483
--------------
5,152,741
--------------
Specialty Telecommunications (0.8%)
26,119 CenturyTel, Inc. ...................... 752,554
164,100 Global Crossing Ltd. (Bermuda)*........ 4,933,256
304,051 Qwest Communications
International, Inc.* ................ 15,696,633
--------------
21,382,443
--------------
Steel (0.0%)
24,556 Bethlehem Steel Corp.* ................ 85,946
15,840 Nucor Corp. ........................... 582,120
16,464 USX-U.S. Steel Group .................. 286,062
16,055 Worthington Industries, Inc. .......... 167,574
--------------
1,121,702
--------------
Telecommunication Equipment (5.0%)
125,692 ADC Telecommunications, Inc.* ......... 5,145,516
15,021 Andrew Corp.* ......................... 444,997
28,440 Comverse Technology, Inc.* ............ 2,614,703
51,371 Corning Inc. .......................... 16,846,477
606,512 Lucent Technologies Inc. .............. 25,359,783
</TABLE>
See Notes to Financial Statements
11
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments August 31, 2000, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------- --------------
<S> <C> <C>
400,861 Motorola, Inc. ......................... $ 14,456,050
551,732 Nortel Networks Corp. (Canada) ......... 45,000,641
138,020 QUALCOMM Inc.* ......................... 8,263,948
29,662 Scientific-Atlanta, Inc. ............... 2,311,782
76,269 Tellabs, Inc.* ......................... 4,285,364
--------------
124,729,261
--------------
Textiles (0.0%)
3,337 Springs Industries, Inc. (Class A)...... 99,693
--------------
Tobacco (0.5%)
425,902 Philip Morris Companies, Inc. .......... 12,617,347
30,212 UST, Inc. .............................. 653,335
--------------
13,270,682
--------------
Tools/Hardware (0.1%)
15,859 Black & Decker Corp. ................... 635,351
4,154 Briggs & Stratton Corp. ................ 179,661
10,909 Snap-On, Inc. .......................... 336,134
16,322 Stanley Works .......................... 436,614
--------------
1,587,760
--------------
Trucks/Construction/Farm
Machinery (0.2%)
64,926 Caterpillar, Inc. ...................... 2,386,031
7,729 Cummins Engine Co., Inc. ............... 274,380
43,590 Deere & Co. ............................ 1,435,746
11,526 Navistar International Corp.* .......... 432,225
14,251 PACCAR, Inc. ........................... 604,777
--------------
5,133,159
--------------
Wholesale Distributors (0.0%)
32,940 Genuine Parts Co. ...................... 677,329
17,497 Grainger (W.W.), Inc. .................. 505,226
--------------
1,182,555
--------------
Wireless Communications (0.6%)
141,243 Nextel Communications, Inc.
(Class A)* ........................... 7,830,159
170,462 Sprint Corp. (PCS Group)* .............. 8,555,062
--------------
16,385,221
--------------
TOTAL COMMON STOCKS
(Cost $1,895,365,749)................... 2,476,504,830
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
----------- ----------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENT (a) (1.8%)
U.S. GOVERNMENT AGENCY
$ 44,800 Federal National Mortgage Assoc.
6.53% due 09/01/00
(Cost $44,800,000).............. $ 44,800,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $1,940,165,749) (b)......... 100.0% 2,521,304,830
OTHER ASSETS IN EXCESS OF
LIABILITIES ...................... 0.0 1,378,585
----- -------------
NET ASSETS ....................... 100.0% $2,522,683,415
===== ==============
</TABLE>
--------------------------------
ADR American Depository Receipt.
* Non-income producing security.
** Some of this security is segregated in connection with open futures
contracts.
(a) Purchased on a discount basis. The interest rate shown has been adjusted to
reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates the
aggregate cost for book purposes. The aggregate gross unrealized
appreciation is $748,839,333 and the aggregate gross unrealized
depreciation is $167,700,252, resulting in net unrealized appreciation of
$581,139,081.
FUTURES CONTRACTS OPEN AT AUGUST 31, 2000:
<TABLE>
<CAPTION>
UNDERLYING
DESCRIPTION, FACE
NUMBER OF DELIVERY YEAR, AMOUNT UNREALIZED
CONTRACTS AND MONTH AT VALUE GAIN
----------- ---------------- -------------- -------------
<S> <C> <C> <C>
124 S&P 500 Index
September/2000 $47,157,200 $1,011,984
</TABLE>
See Notes to Financial Statements
12
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
August 31, 2000
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments in securities, at value
(cost $1,940,165,749) ........................................... $2,521,304,830
Cash .............................................................. 68,380
Receivable for:
Shares of beneficial interest sold ............................. 6,435,048
Dividends ...................................................... 3,123,071
Variation margin ............................................... 545,600
Investments sold ............................................... 97,147
Deferred organizational expenses .................................. 28,370
Prepaid expenses and other assets ................................. 84,608
--------------
TOTAL ASSETS ................................................... 2,531,687,054
--------------
LIABILITIES:
Payable for:
Investments purchased .......................................... 3,607,212
Shares of beneficial interest repurchased ...................... 2,482,722
Plan of distribution fee ....................................... 1,887,740
Investment management fee ...................................... 790,327
Accrued expenses and other payables ............................... 235,638
--------------
TOTAL LIABILITIES .............................................. 9,003,639
--------------
NET ASSETS ..................................................... $2,522,683,415
==============
COMPOSITION OF NET ASSETS:
Paid-in-capital ................................................... $1,962,699,372
Net unrealized appreciation ....................................... 582,151,065
Accumulated net realized loss ..................................... (22,167,022)
--------------
NET ASSETS ..................................................... $2,522,683,415
==============
CLASS A SHARES:
Net Assets ........................................................ $ 183,084,710
Shares Outstanding (unlimited authorized, $.01 par value) ......... 11,305,011
NET ASSET VALUE PER SHARE ...................................... $ 16.20
==============
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net asset value) ................. $ 17.10
==============
CLASS B SHARES:
Net Assets ........................................................ $2,035,848,439
Shares Outstanding (unlimited authorized, $.01 par value) ......... 127,746,797
NET ASSET VALUE PER SHARE ...................................... $ 15.94
==============
CLASS C SHARES:
Net Assets ........................................................ $ 211,446,488
Shares Outstanding (unlimited authorized, $.01 par value) ......... 13,268,332
NET ASSET VALUE PER SHARE ...................................... $ 15.94
==============
CLASS D SHARES:
Net Assets ........................................................ $ 92,303,778
Shares Outstanding (unlimited authorized, $.01 par value) ......... 5,670,123
NET ASSET VALUE PER SHARE ...................................... $ 16.28
==============
</TABLE>
See Notes to Financial Statements
13
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Statements, continued
STATEMENT OF OPERATIONS
For the year ended August 31, 2000
<TABLE>
<CAPTION>
NET INVESTMENT LOSS:
<S> <C>
INCOME
Dividends (net of $122,661 foreign withholding tax) ......... $ 25,846,907
Interest .................................................... 1,426,040
------------
TOTAL INCOME ............................................. 27,272,947
------------
EXPENSES
Plan of distribution fee (Class A shares) ................... 337,108
Plan of distribution fee (Class B shares) ................... 18,407,231
Plan of distribution fee (Class C shares) ................... 1,777,625
Investment management fee ................................... 8,627,398
Transfer agent fees and expenses ............................ 1,909,951
Registration fees ........................................... 278,723
Shareholder reports and notices ............................. 166,253
Professional fees ........................................... 75,635
Organizational expenses ..................................... 13,736
Trustees' fees and expenses ................................. 9,667
Other ....................................................... 237,246
------------
TOTAL EXPENSES ........................................... 31,840,573
Less: amounts waived/reimbursed ............................. (315,412)
------------
NET EXPENSES ............................................. 31,525,161
------------
NET INVESTMENT LOSS ...................................... (4,252,214)
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments .............................................. (17,279,996)
Futures contracts ........................................ (1,617,279)
------------
NET LOSS ................................................. (18,897,275)
------------
Net change in unrealized appreciation/depreciation on:
Investments .............................................. 320,520,224
Futures contracts ........................................ 1,560,852
------------
NET APPRECIATION ......................................... 322,081,076
------------
NET GAIN ................................................. 303,183,801
------------
NET INCREASE ................................................ $298,931,587
============
</TABLE>
See Notes to Financial Statements
14
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Statements, continued
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR
ENDED ENDED
AUGUST 31, 2000 AUGUST 31, 1999
----------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) ......................... $ (4,252,214) $ 251,395
Net realized gain (loss) ............................. (18,897,275) 3,050,206
Net change in unrealized appreciation ................ 322,081,076 295,107,663
-------------- --------------
NET INCREASE ...................................... 298,931,587 298,409,264
-------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A shares .................................... - (286,359)
Class B shares .................................... - (612,696)
Class C shares .................................... - (55,326)
Class D shares .................................... - (139,228)
Net realized gain
Class A shares .................................... (283,108) (31,341)
Class B shares .................................... (4,247,416) (524,676)
Class C shares .................................... (390,381) (39,375)
Class D shares .................................... (61,600) (12,126)
-------------- --------------
TOTAL DIVIDENDS AND DISTRIBUTIONS ................. (4,982,505) (1,701,127)
-------------- --------------
Net increase from transactions in shares of beneficial
interest ........................................... 382,303,284 929,739,512
-------------- --------------
NET INCREASE ...................................... 676,252,366 1,226,447,649
NET ASSETS:
Beginning of period .................................. 1,846,431,049 619,983,400
-------------- --------------
END OF PERIOD ..................................... $2,522,683,415 $1,846,431,049
============== ==============
</TABLE>
See Notes to Financial Statements
15
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements August 31, 2000
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, 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 commenced operations on
September 26, 1997.
The Fund offers Class A shares, Class B shares, Class C shares and Class D
shares. The four classes are substantially the same except that most Class A
shares are subject to a sales charge imposed at the time of purchase and some
Class A shares, and most Class B shares and Class C shares are subject to a
contingent deferred sales charge imposed on shares redeemed within 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 portfolio security listed or traded
on the New York or American stock exchange, NASDAQ, or other exchange is valued
at its latest sale price, prior to the time when assets are valued; if there
were no sales that day, the security is valued at the 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; (3) when market quotations are not readily
available, including circumstances under which it is determined by Morgan
Stanley Dean Witter Advisors Inc. (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 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
16
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements August 31, 2000, continued
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 investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in-capital.
17
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements August 31, 2000, continued
G. ORGANIZATIONAL EXPENSES - The Investment Manager incurred the organizational
expenses of the Fund in the amount of approximately $68,000 which have been
reimbursed by the Fund 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
following annual rates to the net assets of the Fund determined as of the close
of each business day: 0.40% of the portion of daily net assets not exceeding
$1.5 billion; 0.375% to the portion of daily net assets exceeding $1.5 billion
but not exceeding $3 billion; and 0.35% of the portion of daily net assets in
excess of $3 billion.
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 B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund
pursuant to the Plan and contingent deferred sales charges paid by investors
upon redemption of Class B shares. Although there is no legal obligation for
the Fund to pay expenses incurred in excess of payments made to the Distributor
under the Plan and the proceeds of contingent deferred sales charges paid by
investors upon redemption of shares, if for any reason the Plan is terminated,
the Trustees will consider at that time the manner in which to treat such
expenses. The Distributor has advised the Fund that such excess amounts totaled
$53,054,813 at August 31, 2000.
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
18
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements August 31, 2000, continued
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 year ended August 31, 2000,
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 year ended August 31, 2000
it received contingent deferred sales charges from certain redemptions of the
Fund's Class A shares, Class B shares and Class C shares of $8,761 , $4,206,084
and $128,722, respectively and received $368,755 in front-end sales charges
from sales of the Fund's Class A shares. The respective shareholders pay such
charges which are not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities,
excluding short-term investments, for the year ended August 31, 2000 aggregated
$474,710,652 and $105,080,381, respectively. Included in the aforementioned are
purchases and sales of common stock of Morgan Stanley Dean Witter & Co., an
affiliate of the Investment Manager and Distributor, of $8,674,481 and
$392,268, respectively, as well as a realized gain of $75,202.
Morgan Stanley Dean Witter Trust FSB, an affiliate of the Investment Manager
and Distributor, is the Fund's transfer agent.
5. FEDERAL INCOME TAX STATUS
At August 31, 2000, the Fund had a net capital loss carryover of approximately
$1,014,000 which will be available through August 31, 2008 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 $16,323,000 during fiscal 2000.
At August 31, 2000, the Fund had temporary book/tax differences primarily
attributable to post-October losses, mark-to-market of open futures contracts
and capital loss deferrals on wash sales and permanent book/tax differences
primarily attributable to a net operating loss. To reflect reclassifications
arising from the permanent differences, paid-in-capital was charged $4,252,310,
net investment loss was credited $4,252,214 and accumulated net realized loss
was credited $96.
19
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements August 31, 2000, continued
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR
ENDED ENDED
AUGUST 31, 2000 AUGUST 31, 1999
----------------------------------- ----------------------------------
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Sold ................................................ 7,116,892 $ 107,676,840 6,680,320 $ 86,767,191
Reinvestment of dividends and distributions ......... 17,601 265,419 23,092 300,893
Redeemed ............................................ (2,883,766) (43,685,750) (2,469,479) (31,741,936)
---------- -------------- ---------- --------------
Net increase - Class A .............................. 4,250,727 64,256,509 4,233,933 55,326,148
---------- -------------- ---------- --------------
CLASS B SHARES
Sold ................................................ 46,386,133 688,740,928 80,470,161 1,054,390,780
Reinvestment of dividends and distributions ......... 264,957 3,953,148 80,119 1,040,747
Redeemed ............................................ (32,840,732) (488,362,464) (19,572,235) (256,833,169)
----------- -------------- ----------- --------------
Net increase - Class B .............................. 13,810,358 204,331,612 60,978,045 798,598,358
----------- -------------- ----------- --------------
CLASS C SHARES
Sold ................................................ 6,318,335 93,989,704 7,972,059 105,606,189
Reinvestment of dividends and distributions ......... 25,132 374,970 6,822 88,622
Redeemed ............................................ (3,344,237) (49,854,787) (1,731,053) (22,722,524)
----------- -------------- ----------- --------------
Net increase - Class C .............................. 2,999,230 44,509,887 6,247,828 82,972,287
----------- -------------- ----------- --------------
CLASS D SHARES
Sold ................................................ 5,582,313 85,395,200 4,490,458 59,446,759
Reinvestment of dividends and distributions ......... 3,003 45,467 9,731 126,988
Redeemed ............................................ (1,088,746) (16,235,391) (4,717,139) (66,731,028)
----------- -------------- ----------- --------------
Net increase (decrease) - Class D ................... 4,496,570 69,205,276 (216,950) (7,157,281)
----------- -------------- ----------- --------------
Net increase in Fund ................................ 25,556,885 $ 382,303,284 71,242,856 $ 929,739,512
=========== ============== =========== ==============
</TABLE>
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, 2000, 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 YEAR FOR THE YEAR SEPTEMBER 26, 1997*
ENDED ENDED THROUGH
AUGUST 31, 2000 AUGUST 31, 1999 AUGUST 31, 1998
------------------ ----------------- --------------------
<S> <C> <C> <C>
CLASS A SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $ 14.05 $ 10.18 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income .......................... 0.08 0.10 0.10
Net realized and unrealized gain ............... 2.10 3.85 0.11
------- ------- -------
Total income from investment operations ......... 2.18 3.95 0.21
------- ------- -------
Less dividends and distributions from:
Net investment income .......................... - (0.07) (0.03)
Net realized gain .............................. (0.03) (0.01) -
------- ------- -------
Total dividends and distributions ............... (0.03) (0.08) (0.03)
------- ------- -------
Net asset value, end of period .................. $ 16.20 $ 14.05 $ 10.18
======= ======= =======
TOTAL RETURN+ .................................. 15.49% 38.82% 2.05%(1)
RATIOS TO AVERAGE NET ASSETS (3):
Expenses ........................................ 0.75%(4) 0.73%(4) 0.75%(2)
Net investment income ........................... 0.49%(4) 0.72%(4) 0.91%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $183,085 $ 99,140 $ 28,719
Portfolio turnover rate ......................... 5% 5% 1%
</TABLE>
-------------
* Commencement of operations.
++ The per share amounts were computed using an average number of shares
outstanding during the period.
+ Does not reflect the deduction of sales charge. Calculated based on the net
asset value as of the last business day of the period.
(1) Not annualized.
(2) Annualized.
(3) 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 0.76% and 0.48%, respectively, for the year ended
August 31, 2000, 0.81% and 0.64%, respectively, for the year ended August
31, 1999 and 0.89% and 0.77%, 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 YEAR FOR THE YEAR SEPTEMBER 26, 1997*
ENDED ENDED THROUGH
AUGUST 31, 2000 AUGUST 31, 1999 AUGUST 31, 1998
--------------------- --------------------- --------------------
<S> <C> <C> <C>
CLASS B SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $ 13.93 $ 10.13 $ 10.00
------------- ------------- ---------
Income (loss) from investment operations:
Net investment income (loss) ................... (0.04) (0.01) 0.02
Net realized and unrealized gain ............... 2.08 3.83 0.12
------------- ------------- ---------
Total income from investment operations ......... 2.04 3.82 0.14
------------- ------------- ---------
Less dividends and distributions from:
Net investment income .......................... - (0.01) (0.01)
Net realized gain .............................. (0.03) (0.01) -
------------- ------------- ---------
Total dividends and distributions ............... (0.03) (0.02) (0.01)
------------- ------------- ---------
Net asset value, end of period .................. $ 15.94 $ 13.93 $ 10.13
============= ============= =========
TOTAL RETURN+ ................................... 14.69 % 37.68 % 1.38%(1)
RATIOS TO AVERAGE NET ASSETS (3):
Expenses ........................................ 1.50 %(4) 1.50 %(4) 1.50%(2)
Net investment income (loss) .................... (0.26)%(4) (0.05)%(4) 0.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $2,035,848 $1,587,661 $536,349
Portfolio turnover rate ......................... 5 % 5 % 1%
</TABLE>
--------------
* Commencement of operations.
++ The per share amounts were computed using an average number of shares
outstanding during the period.
+ Does not reflect the deduction of sales charge. Calculated based on the net
asset value as of the last business day of the period.
(1) Not annualized.
(2) Annualized.
(3) 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 1.51% and (0.27)%, respectively, for the year ended
August 31, 2000, 1.58% and (0.13)%, respectively, for the year ended August
31, 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
22
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Highlights, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR FOR THE YEAR SEPTEMBER 26, 1997*
ENDED ENDED THROUGH
AUGUST 31, 2000 AUGUST 31, 1999 AUGUST 31, 1998
----------------- ----------------- --------------------
<S> <C> <C> <C>
CLASS C SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $ 13.93 $ 10.13 $ 10.00
---------- ---------- --------
Income (loss) from investment operations:
Net investment income (loss) ................... (0.04) (0.01) 0.02
Net realized and unrealized gain ............... 2.08 3.83 0.12
---------- ---------- --------
Total income from investment operations ......... 2.04 3.82 0.14
---------- ---------- --------
Less dividends and distributions from:
Net investment income .......................... - (0.01) (0.01)
Net realized gain .............................. (0.03) (0.01) -
---------- ---------- --------
Total dividends and distributions ............... (0.03) (0.02) (0.01)
---------- ---------- --------
Net asset value, end of period .................. $ 15.94 $ 13.93 $ 10.13
========== ========== ========
TOTAL RETURN+ ................................... 14.69 % 37.70 % 1.37%(1)
RATIOS TO AVERAGE NET ASSETS (3):
Expenses ........................................ 1.50 %(4) 1.50 %(4) 1.50%(2)
Net investment income (loss) .................... (0.26)%(4) (0.05)%(4) 0.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $211,446 $143,092 $40,730
Portfolio turnover rate ......................... 5 % 5 % 1%
</TABLE>
--------------
* Commencement of operations.
++ The per share amounts were computed using an average number of shares
outstanding during the period.
+ Does not reflect the deduction of sales charge. Calculated based on the net
asset value as of the last business day of the period.
(1) Not annualized.
(2) Annualized.
(3) 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 1.51% and (0.27)%, respectively, for the year ended
August 31, 2000, 1.58% and (0.13)%, respectively, for the year ended August
31, 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
23
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Highlights, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR FOR THE YEAR SEPTEMBER 26, 1997*
ENDED ENDED THROUGH
AUGUST 31, 2000 AUGUST 31, 1999 AUGUST 31, 1998
----------------- ----------------- --------------------
<S> <C> <C> <C>
CLASS D SHARES++
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $ 14.09 $ 10.20 $ 10.00
-------- -------- --------
Income from investment operations:
Net investment income .......................... 0.11 0.13 0.12
Net realized and unrealized gain ............... 2.11 3.85 0.11
-------- -------- --------
Total income from investment operations ......... 2.22 3.98 0.23
-------- -------- --------
Less dividends and distributions from:
Net investment income .......................... - (0.08) (0.03)
Net realized gain .............................. (0.03) (0.01) -
-------- -------- --------
Total dividends and distributions ............... (0.03) (0.09) (0.03)
-------- -------- --------
Net asset value, end of period .................. $ 16.28 $ 14.09 $ 10.20
======== ======== ========
TOTAL RETURN+ ................................... 15.81% 39.13% 2.30%(1)
RATIOS TO AVERAGE NET ASSETS (3):
Expenses ........................................ 0.50%(4) 0.50%(4) 0.50%(2)
Net investment income ........................... 0.74%(4) 0.95%(4) 1.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $ 92,304 $16,538 $14,186
Portfolio turnover rate ......................... 5% 5% 1%
</TABLE>
--------------
* Commencement of operations.
++ The per share amounts were computed using an average number of shares
outstanding during the period.
+ Calculated based on the net asset value as of the last business day of the
period.
(1) Not annualized.
(2) Annualized.
(3) 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 0.51% and 0.73%, respectively, for the year ended
August 31, 2000, 0.58% and 0.87%, respectively, for the year ended August
31, 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
24
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Report of Independent Accountants
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
MORGAN STANLEY DEAN WITTER S&P 500 INDEX FUND:
We have audited the accompanying statement of assets and liabilities of Morgan
Stanley Dean Witter S&P 500 Index Fund (the "Fund"), including the portfolio of
investments, as of August 31, 2000, and the related statements of operations
and changes in net assets, and the financial highlights for the year then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit. The statement of changes in net assets for the year ended August 31,
1999 and the financial highlights for each of the respective stated periods
ended August 31, 1999 were audited by other independent accountants whose
report, dated October 11, 1999, expressed an unqualified opinion on that
statement and financial highlights.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards 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. Our procedures included confirmation of securities owned as of
August 31, 2000, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Morgan Stanley Dean Witter S&P 500 Index Fund as of August 31, 2000, the
results of its operations, the changes in its net assets, and the financial
highlights for the year then ended, in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
October 10, 2000
2000 FEDERAL TAX NOTICE (unaudited)
During the fiscal year ended August 31, 2000, the Fund paid to its
shareholders $0.02 per share from long-term capital gains.
25
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Change in Independent Accountants
On July 1, 2000 PricewaterhouseCoopers LLP resigned as independent accountants
of the Fund.
The reports of PricewaterhouseCoopers LLP on the financial statements of the
Fund for the past two fiscal years contained no adverse opinion or disclaimer
of opinion and were not qualified or modified as to uncertainty, audit scope or
accounting principle.
In connection with its audits for the two most recent fiscal years and through
July 1, 2000, there have been no disagreements with PricewaterhouseCoopers LLP
on any matter of accounting principles or practices, financial statement
disclosure, or auditing scope or procedure, which disagreements if not resolved
to the satisfaction of PricewaterhouseCoopers LLP would have caused them to
make reference thereto in their report on the financial statements for such
years.
The Fund, with the approval of its Board of Trustees and its Audit Committee,
engaged Deloitte & Touche LLP as its new independent accountants as of July 1,
2000.
26
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<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Mitchell M. Merin
President
Barry Fink
Vice President, Secretary and General Counsel
Guy G. Rutherford, Jr.
Vice President
Kevin Jung
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
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
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.
Read the prospectus carefully before investing.
Morgan Stanley Dean Witter Distributors Inc., member NASD.
MORGAN STANLEY
DEAN WITTER
S&P 500
INDEX FUND
[GRAPHIC OMITTED]
ANNUAL REPORT
August 31, 2000
