<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund Two World Trade Center,
Letter to the Shareholders February 29, 2000 New York, New York 10048
DEAR SHAREHOLDER:
During the six-month period ended February 29, 2000, the tight labor market,
strong housing markets and high consumer confidence once again raised concerns
of potential inflationary pressure. Acting on these concerns, the Federal
Reserve Board raised the federal funds rate 50 basis points during the period.
Anticipation of higher interest rates placed an exorbitant amount of pressure on
large-cap "old economy" stocks, which sharply underperformed new-economy
technology issues. As a result, S&P 500 index funds, which thrived in prior
years, took a back seat to growth funds focusing on technology.
PERFORMANCE AND INVESTMENT STRATEGY
For the six-month period ended February 29, 2000, Morgan Stanley Dean Witter S&P
500 Index Fund's Class B shares posted a total return of 3.40 percent compared
to 4.11 percent for the S&P 500. For the same period, the Fund's Class A, C and
D shares posted total returns of 3.72 percent, 3.40 percent and 3.86 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 and do not reflect the deduction of any
applicable sales charges.
Morgan Stanley Dean Witter S&P 500 Index Fund seeks to deliver investment
performance that corresponds, before expenses, to the total return of the
Standard & Poor's 500 Composite Stock Price Index (S&P 500), by investing in
stocks that compose 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.
LOOKING AHEAD
We believe that the global economic recovery will continue. However, continued
strength in the U.S. economy could lead the Fed to raise interest
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Letter to the Shareholders February 29, 2000, continued
rates further. Rising rates could pressure valuations in the first half of 2000.
Strong corporate earnings, which have helped the stock market overcome past Fed
rate hikes, are expected to improve with increasing efficiencies attributable to
technology. As a result, we expect the large-cap S&P 500 to rebound from its
recent selloff even in the midst of moderate Fed tightening.
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 February 29, 2000
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
CLASS A SHARES*
- --------------------------------------------------------------
PERIOD ENDED 2/29/00
- --------------------
1 year 10.82%(1) 5.00%(2)
Since Inception (9/26/97) 17.19%(1) 14.62%(2)
CLASS C SHARES+
- --------------------------------------------------------------
PERIOD ENDED 2/29/00
- --------------------
1 year 10.03%(1) 9.03%(2)
Since Inception (9/26/97) 16.33%(1) 16.33%(2)
CLASS B SHARES**
- --------------------------------------------------------------
PERIOD ENDED 2/29/00
- --------------------
1 year 10.03%(1) 5.03%(2)
Since Inception (9/26/97) 16.33%(1) 15.33%(2)
CLASS D SHARES++
- --------------------------------------------------------------
PERIOD ENDED 2/29/00
- --------------------
1 year 11.11%(1)
Since Inception (9/26/97) 17.48%(1)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
- ---------------
(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.
* 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 CDSC 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 February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
COMMON STOCKS (100.1%)
Accident & Health Insurance (0.1%)
49,897 AFLAC, Inc. ........................... $ 1,824,359
24,663 Torchmark Corp. ....................... 488,636
45,005 UNUMProvident Corp. ................... 601,942
--------------
2,914,937
--------------
Advertising (0.3%)
52,622 Interpublic Group of Companies,
Inc. ................................ 2,114,747
33,271 Omnicom Group, Inc. ................... 3,133,712
13,051 Young & Rubicam, Inc. ................. 659,075
--------------
5,907,534
--------------
Aerospace (0.6%)
175,224 Boeing Co. ............................ 6,461,385
20,653 Goodrich (B.F.) Co. (The) ............. 494,381
74,240 Lockheed Martin Corp. ................. 1,294,560
13,029 Northrop Grumman Corp. ................ 592,005
89,763 United Technologies Corp. ............. 4,572,303
--------------
13,414,634
--------------
Air Freight/Delivery Services (0.1%)
55,981 FedEx Corp. ........................... 1,955,836
--------------
Airlines (0.2%)
27,765 AMR Corp.* ............................ 1,468,074
24,912 Delta Air Lines, Inc. ................. 1,136,610
94,581 Southwest Airlines Co. ................ 1,743,837
13,398 US Airways Group Inc.* ................ 250,375
--------------
4,598,896
--------------
Alcoholic Beverages (0.3%)
87,241 Anheuser-Busch Companies, Inc. ........ 5,594,329
12,845 Brown-Forman Corp. (Class B) .......... 611,743
6,892 Coors (Adolph) Co. (Class B) .......... 302,386
--------------
6,508,458
--------------
Aluminum (0.3%)
41,090 Alcan Aluminium, Ltd. (Canada) ........ 1,355,970
68,701 Alcoa, Inc. ........................... 4,706,018
11,855 Reynolds Metals Co. ................... 752,792
--------------
6,814,780
--------------
Apparel (0.0%)
11,084 Liz Claiborne, Inc. ................... 414,957
6,175 Russell Corp. ......................... 85,292
22,147 VF Corp. .............................. 546,754
--------------
1,047,003
--------------
Auto Parts: O.E.M. (0.3%)
30,845 Dana Corp. ............................ 657,384
105,936 Delphi Automotive Systems Corp. 1,767,807
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
13,800 Eaton Corp. ........................... $ 1,034,137
15,998 Johnson Controls, Inc. ................ 853,893
22,801 TRW Inc. .............................. 1,094,448
--------------
5,407,669
--------------
Automotive Aftermarket (0.1%)
14,221 Cooper Tire & Rubber Co. .............. 153,765
33,339 Genuine Parts Co. ..................... 752,211
29,312 Goodyear Tire & Rubber Co. ............ 665,016
--------------
1,570,992
--------------
Beverages - Non-Alcoholic (1.5%)
463,117 Coca Cola Co. ......................... 22,432,230
79,776 Coca-Cola Enterprises Inc. ............ 1,864,764
272,941 PepsiCo, Inc. ......................... 8,802,347
--------------
33,099,341
--------------
Biotechnology (0.7%)
191,532 Amgen Inc.* ........................... 13,048,117
28,170 Biogen, Inc. .......................... 3,040,599
--------------
16,088,716
--------------
Books/Magazines (0.0%)
13,342 Harcourt General, Inc. ................ 459,465
9,679 Meredith Corp. ........................ 277,061
--------------
736,526
--------------
Broadcasting (0.6%)
142,948 CBS Corp.* ............................ 8,514,340
63,468 Clear Channel Communications,
Inc.* ............................... 4,228,555
--------------
12,742,895
--------------
Building Materials (0.0%)
10,277 Owens Corning ......................... 149,016
18,759 Vulcan Materials Co. .................. 750,360
--------------
899,376
--------------
Building Materials/DIY Chains (1.3%)
431,689 Home Depot, Inc. (The) ................ 24,957,020
71,650 Lowe's Companies, Inc. ................ 3,412,331
--------------
28,369,351
--------------
Building Products (0.1%)
7,473 Armstrong World Industries, Inc. ...... 141,987
83,812 Masco Corp. ........................... 1,498,139
--------------
1,640,126
--------------
Cable Television (0.7%)
162,690 Comcast Corp. (Class A Special) ....... 6,914,325
114,745 MediaOne Group, Inc.* ................. 9,007,482
--------------
15,921,807
--------------
</TABLE>
See Notes to Financial Statements
4
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Casino/Gambling (0.0%)
24,111 Harrah's Entertainment, Inc.* ......... $ 461,123
36,224 Mirage Resorts, Inc.* ................. 575,056
-------------
1,036,179
-------------
Cellular Telephone (0.8%)
68,142 Nextel Communications, Inc.
(Class A)* ............................ 9,318,418
161,602 Sprint Corp. (PCS Group)* ............. 8,362,903
-------------
17,681,321
-------------
Clothing/Shoe/Accessory Stores (0.5%)
160,539 Gap, Inc. (The) ....................... 7,756,040
40,258 Limited (The), Inc. ................... 1,368,772
25,979 Nordstrom, Inc. ....................... 553,677
58,140 TJX Companies, Inc. ................... 926,606
-------------
10,605,095
-------------
Computer Communications (4.2%)
64,692 3Com Corp.* ........................... 6,351,946
19,146 Adaptec, Inc.* ........................ 783,789
33,854 Cabletron Systems, Inc.* .............. 1,658,846
613,306 Cisco Systems, Inc.* .................. 81,033,055
-------------
89,827,636
-------------
Computer Software (6.8%)
22,537 Adobe Systems, Inc. ................... 2,297,365
11,438 Autodesk, Inc. ........................ 508,991
45,440 BMC Software, Inc.* ................... 2,090,240
33,604 Citrix Systems, Inc. .................. 3,543,122
101,066 Computer Associates
International, Inc. ................. 6,499,807
67,096 Compuware Corp.* ...................... 1,484,499
967,495 Microsoft Corp.* ...................... 86,409,398
62,449 Novell, Inc.* ......................... 2,064,720
533,872 Oracle Corp.* ......................... 39,606,629
50,485 Parametric Technology Corp.* .......... 1,530,327
50,336 PeopleSoft, Inc.* ..................... 1,041,326
-------------
147,076,424
-------------
Computer/Video Chains (0.2%)
38,488 Best Buy Co., Inc.* ................... 2,092,785
38,127 Circuit City Stores, Inc. - Circuit
City Group .......................... 1,539,378
36,246 Tandy Corp. ........................... 1,379,613
-------------
5,011,776
-------------
Construction/Agricultural
Equipment/Trucks (0.2%)
66,666 Caterpillar, Inc. ..................... 2,337,477
7,762 Cummins Engine Co., Inc. .............. 258,572
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
43,816 Deere & Co. ........................... $ 1,566,422
1,558 NACCO Industries, Inc. (Class A) ...... 67,676
11,922 Navistar International Corp.* ......... 390,445
14,685 PACCAR, Inc. .......................... 632,373
-------------
5,252,965
-------------
Consumer Electronics/Appliances (0.1%)
15,830 Maytag Corp. .......................... 418,506
13,955 Whirlpool Corp. ....................... 757,931
-------------
1,176,437
-------------
Consumer Specialties (0.0%)
6,217 Jostens, Inc. ......................... 149,597
-------------
Consumer Sundries (0.0%)
12,047 American Greetings Corp.
(Class A) ........................... 207,811
-------------
Containers/Packaging (0.1%)
5,696 Ball Corp. ............................ 153,436
9,808 Bemis Company, Inc. ................... 291,788
22,849 Crown Cork & Seal Co., Inc. ........... 319,886
28,148 Owens-Illinois, Inc.* ................. 388,794
32,129 Pactiv Corp. .......................... 267,072
15,659 Sealed Air Corp.* ..................... 778,057
10,472 Temple-Inland, Inc. ................... 535,381
-------------
2,734,414
-------------
Contract Drilling (0.1%)
15,613 Rowan Companies, Inc.* ................ 392,277
38,858 Transocean Sedco Forex Inc. ........... 1,532,462
-------------
1,924,739
-------------
Department Stores (0.4%)
20,128 Dillard's, Inc. (Class A) ............. 349,724
39,364 Federated Department Stores,
Inc.* ............................... 1,444,167
30,552 Kohl's Corp.* ......................... 2,316,223
62,651 May Department Stores Co. ............. 1,640,673
48,792 Penney (J.C.) Co., Inc. ............... 768,474
70,866 Sears, Roebuck & Co. .................. 1,953,244
-------------
8,472,505
-------------
Discount Chains (2.4%)
20,757 Consolidated Stores Corp.* ............ 233,516
83,187 Costco Wholesale Corp.* ............... 4,138,553
49,871 Dollar General Corp. .................. 1,044,174
92,567 Kmart Corp.* .......................... 815,747
82,621 Target Corp. .......................... 4,874,639
834,392 Wal-Mart Stores, Inc. ................. 40,624,460
-------------
51,731,089
-------------
</TABLE>
See Notes to Financial Statements
5
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Diversified Commercial Services (0.1%)
46,235 Paychex, Inc. ......................... $ 2,314,640
--------------
Diversified Electronic Products (0.1%)
35,666 Rockwell International Corp. .......... 1,613,886
--------------
Diversified Financial Services (2.1%)
83,938 American Express Co. .................. 11,263,430
632,181 Citigroup, Inc. ....................... 32,675,855
26,619 Providian Financial Corp. ............. 1,725,244
--------------
45,664,529
--------------
Diversified Manufacturing (1.4%)
26,690 Danaher Corp. ......................... 1,089,286
38,180 Dover Corp. ........................... 1,472,316
148,426 Honeywell International, Inc. ......... 7,143,001
16,484 ITT Industries, Inc. .................. 399,737
75,249 Minnesota Mining &
Manufacturing Co. ................... 6,631,318
29,669 Thermo Electron Corp.* ................ 463,578
316,630 Tyco International Ltd. (Bermuda) 12,012,151
--------------
29,211,387
--------------
Drugstore Chains (0.4%)
73,478 CVS Corp. ............................. 2,571,730
7,334 Longs Drug Stores Corp. ............... 136,137
48,548 Rite Aid Corp. ........................ 333,767
188,151 Walgreen Co. .......................... 4,856,648
--------------
7,898,282
--------------
E.D.P. Peripherals (1.5%)
190,780 EMC Corp.* ............................ 22,702,820
23,948 Lexmark International Group, Inc.
(Class A)* .......................... 2,855,799
28,001 Network Appliance, Inc.* .............. 5,285,189
39,057 Seagate Technology, Inc.* ............. 1,947,968
--------------
32,791,776
--------------
E.D.P. Services (0.8%)
117,207 Automatic Data Processing, Inc. ....... 5,105,830
27,120 Ceridian Corp.* ....................... 537,315
31,216 Computer Sciences Corp.* .............. 2,460,211
88,271 Electronic Data Systems Corp. ......... 5,715,547
78,574 First Data Corp. ...................... 3,535,830
--------------
17,354,733
--------------
Electric Utilities (1.6%)
38,697 AES Corp. (The)* ...................... 3,243,292
25,728 Ameren Corp. .......................... 771,840
36,394 American Electric Power Co. ........... 1,023,581
29,923 Carolina Power & Light Co. ............ 890,209
39,871 Central & South West Corp. ............ 670,331
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
29,797 Cinergy Corp. ......................... $ 636,911
21,712 CMS Energy Corp. ...................... 363,676
41,441 Consolidated Edison, Inc. ............. 1,142,218
28,041 Constellation Energy Group, Inc. ...... 834,220
45,739 Dominion Resources, Inc. .............. 1,678,050
27,196 DTE Energy Co. ........................ 820,979
68,565 Duke Energy Corp. ..................... 3,325,402
65,101 Edison International .................. 1,712,970
46,281 Entergy Corp. ......................... 937,190
43,692 FirstEnergy Corp. ..................... 816,494
18,413 Florida Progress Corp. ................ 784,854
33,607 FPL Group, Inc. ....................... 1,298,070
21,956 GPU, Inc. ............................. 546,155
21,665 New Century Energies, Inc. ............ 586,309
35,116 Niagara Mohawk Holdings Inc. .......... 412,613
29,025 Northern States Power Co. ............. 509,752
34,835 PECO Energy Co. ....................... 1,299,781
71,996 PG & E Corp. .......................... 1,484,917
15,888 Pinnacle West Capital Corp. ........... 438,906
26,942 PPL Corp. ............................. 542,208
40,985 Public Service Enterprise Group,
Inc. ................................ 1,188,565
55,438 Reliant Energy, Inc. .................. 1,139,944
126,204 Southern Co. .......................... 2,800,151
51,826 Texas Utilities Co. ................... 1,690,823
40,784 Unicom Corp. .......................... 1,542,145
--------------
35,132,556
--------------
Electrical Products (0.3%)
17,655 Cooper Industries, Inc. ............... 534,064
81,470 Emerson Electric Co. .................. 3,711,977
29,394 Molex Inc. ............................ 1,638,715
10,841 Thomas & Betts Corp. .................. 243,245
--------------
6,128,001
--------------
Electronic Components (0.2%)
15,384 Andrew Corp.* ......................... 378,831
54,928 Solectron Corp.* ...................... 3,597,784
--------------
3,976,615
--------------
Electronic Data Processing (5.8%)
30,165 Apple Computer, Inc.* ................. 3,457,663
318,747 Compaq Computer Corp. ................. 7,928,832
476,409 Dell Computer Corp.* .................. 19,413,667
59,350 Gateway, Inc. ......................... 4,080,312
191,061 Hewlett-Packard Co. ................... 25,697,704
337,985 International Business Machines
Corp. ............................... 34,474,470
18,105 NCR Corp.* ............................ 686,858
34,463 Silicon Graphics, Inc.* ............... 338,168
</TABLE>
See Notes to Financial Statements
6
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
292,894 Sun Microsystems, Inc.* ............. $ 27,898,153
58,107 Unisys Corp.* ....................... 1,739,578
--------------
125,715,405
--------------
Electronic Production Equipment (0.9%)
70,952 Applied Materials, Inc.* ............ 12,975,347
33,731 KLA-Tencor Corp.* ................... 2,628,910
32,062 Teradyne, Inc.* ..................... 2,789,394
--------------
18,393,651
--------------
Engineering & Construction (0.0%)
14,243 Fluor Corp. ......................... 405,035
--------------
Environmental Services (0.1%)
35,409 Allied Waste Industries, Inc.* ...... 199,176
116,179 Waste Management, Inc. .............. 1,742,685
--------------
1,941,861
--------------
Farming/Seeds/Milling (0.1%)
114,066 Archer-Daniels-Midland Co. .......... 1,147,789
--------------
Finance Companies (1.3%)
136,545 Associates First Capital Corp.
(Class A) ......................... 2,713,832
36,971 Capital One Financial Corp. ......... 1,360,995
21,218 Countrywide Credit Industries,
Inc. .............................. 529,124
192,186 Fannie Mae .......................... 10,185,858
130,345 Freddie Mac ......................... 5,441,904
88,150 Household International, Inc. ....... 2,815,291
150,332 MBNA Corp. .......................... 3,420,053
29,828 SLM Holding Corp. ................... 933,989
--------------
27,401,046
--------------
Financial Publishing/Services (0.1%)
30,165 Dun & Bradstreet Corp. .............. 789,946
26,519 Equifax, Inc. ....................... 561,871
36,768 McGraw-Hill Companies, Inc. ......... 1,870,572
--------------
3,222,389
--------------
Fluid Controls (0.0%)
20,999 Parker-Hannifin Corp. ............... 761,214
--------------
Food Chains (0.4%)
79,415 Albertson's, Inc. ................... 1,945,667
7,166 Great Atlantic & Pacific Tea Co.,
Inc. .............................. 167,953
155,994 Kroger Co.* ......................... 2,320,411
95,399 Safeway Inc.* ....................... 3,678,824
27,868 Winn-Dixie Stores, Inc. ............. 449,372
--------------
8,562,227
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Food Distributors (0.1%)
26,175 Supervalu, Inc. ..................... $ 449,883
61,758 SYSCO Corp. ......................... 2,026,434
--------------
2,476,317
--------------
Forest Products (0.2%)
32,060 Georgia-Pacific Corp. ............... 1,112,081
19,959 Louisiana-Pacific Corp. ............. 235,766
44,034 Weyerhaeuser Co. .................... 2,259,495
--------------
3,607,342
--------------
Generic Drugs (0.0%)
17,996 Watson Pharmaceuticals, Inc.* ....... 719,840
--------------
Home Building (0.0%)
11,112 Centex Corp. ........................ 218,768
8,942 Kaufman & Broad Home Corp. .......... 171,016
8,052 Pulte Corp. ......................... 135,374
--------------
525,158
--------------
Home Furnishings (0.1%)
36,803 Leggett & Platt, Inc. ............... 618,750
52,882 Newell Rubbermaid, Inc. ............. 1,222,896
10,811 Tupperware Corp. .................... 185,814
--------------
2,027,460
--------------
Hospital/Nursing Management (0.1%)
105,613 Columbia/HCA Healthcare Corp. ....... 2,039,651
19,265 Manor Care, Inc. .................... 167,365
58,383 Tenet Healthcare Corp.* ............. 1,021,703
--------------
3,228,719
--------------
Hotels/Resorts (0.2%)
115,671 Carnival Corp. (Class A) ............ 3,332,771
69,152 Hilton Hotels Corp. ................. 484,064
46,646 Marriott International, Inc.
(Class A) ......................... 1,285,680
--------------
5,102,515
--------------
Industrial Machinery/Components (0.2%)
56,339 Illinois Tool Works Inc. ............ 2,912,022
30,670 Ingersoll-Rand Co. .................. 1,175,044
6,902 Milacron Inc. ....................... 95,765
--------------
4,182,831
--------------
Industrial Specialties (0.1%)
24,296 Ecolab, Inc. ........................ 686,362
8,487 Millipore Corp. ..................... 453,524
23,281 Pall Corp. .......................... 459,800
--------------
1,599,686
--------------
</TABLE>
See Notes to Financial Statements
7
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Insurance Brokers/Services (0.2%)
48,118 AON Corp. ................................. $ 1,007,471
50,024 Marsh & McLennan Companies,
Inc. .................................... 3,870,607
--------------
4,878,078
--------------
Integrated Oil Companies (4.4%)
17,005 Amerada Hess Corp. ........................ 859,815
60,512 Atlantic Richfield Co. .................... 4,296,352
123,049 Chevron Corp. ............................. 9,190,222
117,422 Conoco, Inc. (Class B) .................... 2,311,746
647,535 Exxon Mobil Corp. ......................... 48,767,480
47,490 Phillips Petroleum Co. .................... 1,816,493
402,051 Royal Dutch Petroleum Co. (ADR)
(Netherlands) .......................... 21,107,678
103,698 Texaco, Inc. .............................. 4,919,174
45,453 Unocal Corp. .............................. 1,215,868
--------------
94,484,828
--------------
Internet Services (1.9%)
419,149 America Online, Inc.* ..................... 24,729,791
98,714 Yahoo! Inc.* .............................. 15,763,392
--------------
40,493,183
--------------
Investment Bankers/Brokers/
Services (1.5%)
22,345 Bear Stearns Companies, Inc. .............. 877,041
22,502 Lehman Brothers Holdings, Inc. ............ 1,631,395
69,500 Merrill Lynch & Co., Inc. ................. 7,123,750
208,859 Morgan Stanley Dean Witter &
Co. (Note 4) ............................ 14,711,506
26,759 Paine Webber Group, Inc. .................. 1,023,532
153,743 Schwab (Charles) Corp. .................... 6,428,379
--------------
31,795,603
--------------
Investment Managers (0.1%)
47,275 Franklin Resources, Inc. .................. 1,285,289
22,435 Price (T.) Rowe Associates, Inc. .......... 738,953
--------------
2,024,242
--------------
Life Insurance (0.2%)
46,334 American General Corp. .................... 2,418,056
61,334 Conseco, Inc. ............................. 897,010
19,636 Jefferson-Pilot Corp. ..................... 1,022,299
36,651 Lincoln National Corp. .................... 1,019,356
--------------
5,356,721
--------------
Major Banks (3.9%)
320,094 Bank of America Corp. ..................... 14,744,330
138,073 Bank of New York Co., Inc. ................ 4,599,557
215,038 Bank One Corp. ............................ 5,550,668
65,141 BB&T Corp. ................................ 1,530,814
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
154,644 Chase Manhattan Corp. (The) ............... $ 12,313,529
29,323 Comerica, Inc. ............................ 1,083,118
185,200 First Union Corp. ......................... 5,463,400
171,667 FleetBoston Financial Corp. ............... 4,677,926
43,079 Huntington Bancshares, Inc. ............... 899,274
83,869 KeyCorp ................................... 1,420,531
95,371 Mellon Financial Corp. .................... 2,873,051
32,464 Morgan (J.P.) & Co., Inc. ................. 3,603,504
115,605 National City Corp. ....................... 2,225,396
55,124 PNC Bank Corp. ............................ 2,132,610
31,463 SouthTrust Corp. .......................... 721,683
29,995 State Street Corp. ........................ 2,185,886
32,768 Summit Bancorp. ........................... 784,384
59,993 SunTrust Banks, Inc. ...................... 3,048,394
136,433 U.S. Bancorp .............................. 2,498,429
38,014 Wachovia Corp. ............................ 2,173,926
307,927 Wells Fargo & Co. ......................... 10,180,836
--------------
84,711,246
--------------
Major Chemicals (1.1%)
41,118 Dow Chemical Co. .......................... 4,461,303
195,846 Du Pont (E.I.) de Nemours & Co.,
Inc. .................................... 9,890,223
14,667 Eastman Chemical Co. ...................... 527,095
19,935 Hercules Inc. ............................. 328,928
118,988 Monsanto Co. .............................. 4,618,222
41,040 Rohm & Haas Co. ........................... 1,656,990
25,098 Union Carbide Corp. ....................... 1,347,449
--------------
22,830,210
--------------
Major Pharmaceuticals (7.0%)
288,243 Abbott Laboratories ....................... 9,439,958
244,820 American Home Products Corp. .............. 10,649,670
371,938 Bristol-Myers Squibb Co. .................. 21,130,728
260,727 Johnson & Johnson ......................... 18,707,162
204,471 Lilly (Eli) & Co. ......................... 12,153,245
438,262 Merck & Co., Inc. ......................... 26,980,504
725,854 Pfizer, Inc. .............................. 23,318,060
97,218 Pharmacia & Upjohn, Inc. .................. 4,630,007
275,449 Schering-Plough Corp. ..................... 9,606,284
160,997 Warner-Lambert Co. ........................ 13,775,306
--------------
150,390,924
--------------
Major U.S. Telecommunications (6.4%)
58,861 ALLTEL Corp. .............................. 3,413,938
599,122 AT&T Corp. ................................ 29,619,094
291,144 Bell Atlantic Corp. ....................... 14,247,860
352,931 BellSouth Corp. ........................... 14,381,938
182,210 GTE Corp. ................................. 10,750,390
532,184 MCI WorldCom, Inc.* ....................... 23,748,711
</TABLE>
See Notes to Financial Statements
8
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
639,627 SBC Communications, Inc. ............... $ 24,305,826
163,394 Sprint Corp. (FON Group) ............... 9,967,034
94,744 U.S. West, Inc. ........................ 6,880,783
--------------
137,315,574
--------------
Managed Health Care (0.2%)
28,064 Aetna Inc. ............................. 1,154,132
31,410 Humana, Inc.* .......................... 213,981
31,828 United HealthCare Corp. ................ 1,627,207
11,932 Wellpoint Health Networks, Inc.*........ 805,410
--------------
3,800,730
--------------
Meat/Poultry/Fish (0.1%)
92,298 ConAgra, Inc. .......................... 1,511,380
--------------
Media Conglomerates (1.9%)
386,683 Disney (Walt) Co. ...................... 12,953,881
241,220 Time Warner Inc. ....................... 20,624,310
130,684 Viacom, Inc. (Class B)* ................ 7,285,633
--------------
40,863,824
--------------
Medical Equipment & Supplies (0.5%)
224,111 Medtronic, Inc. ........................ 10,855,377
--------------
Medical Specialties (0.8%)
19,148 ALZA Corp. (Class A)* .................. 702,492
9,598 Bard (C.R.), Inc. ...................... 379,121
10,821 Bausch & Lomb, Inc. .................... 570,808
54,549 Baxter International, Inc. ............. 2,972,921
46,933 Becton, Dickinson & Co. ................ 1,457,856
21,154 Biomet, Inc. ........................... 698,082
77,756 Boston Scientific Corp.* ............... 1,419,047
57,630 Guidant Corp. .......................... 3,882,821
13,046 Mallinckrodt, Inc. ..................... 321,258
38,652 PE Corporation-PE Biosystems
Group ................................ 4,077,786
15,778 St. Jude Medical, Inc.* ................ 412,200
--------------
16,894,392
--------------
Medical/Dental Distributors (0.1%)
52,546 Cardinal Health, Inc. .................. 2,167,523
52,798 McKesson HBOC, Inc. .................... 1,022,961
--------------
3,190,484
--------------
Medical/Nursing Services (0.0%)
72,421 Healthsouth Corp.* ..................... 353,052
--------------
Metals Fabrications (0.0%)
11,612 Timken Co. (The) ....................... 166,197
--------------
Mid-Sized Banks (0.6%)
73,328 AmSouth Bancorporation ................. 1,063,256
57,881 Fifth Third Bancorp .................... 3,009,812
183,783 Firstar Corp. .......................... 3,273,635
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
41,736 Northern Trust Corp. ................... $ 2,355,476
22,073 Old Kent Financial Corp. ............... 578,037
40,996 Regions Financial Corp. ................ 830,169
52,463 Synovus Financial Corp. ................ 859,082
26,443 Union Planters Corp. ................... 723,877
--------------
12,693,344
--------------
Military/Gov't/Technical (0.2%)
37,682 General Dynamics Corp. ................. 1,629,747
8,657 PerkinElmer, Inc. ...................... 559,459
63,454 Raytheon Co. (Class B) ................. 1,173,899
--------------
3,363,105
--------------
Motor Vehicles (1.0%)
226,476 Ford Motor Co. ......................... 9,427,064
120,038 General Motors Corp. ................... 9,130,390
28,372 Harley-Davidson, Inc. .................. 1,932,843
--------------
20,490,297
--------------
Movies/Entertainment (0.2%)
81,282 Seagram Co. Ltd. (Canada) .............. 4,775,318
--------------
Multi-Line Insurance (1.5%)
151,010 Allstate Corp. ......................... 2,944,695
290,292 American International Group,
Inc. ................................. 25,672,699
34,865 CIGNA Corp. ............................ 2,573,473
41,553 Hartford Financial Services
Group, Inc. ............................ 1,298,531
24,377 Safeco Corp. ........................... 511,917
--------------
33,001,315
--------------
Multi-Sector Companies (3.9%)
12,354 Crane Co. .............................. 245,536
30,765 Fortune Brands, Inc. ................... 672,984
615,180 General Electric Co. ................... 81,319,106
11,070 McDermott International, Inc. .......... 103,781
7,588 National Service Industries, Inc. ...... 155,554
27,889 Textron, Inc. .......................... 1,701,229
--------------
84,198,190
--------------
Natural Gas (0.1%)
5,066 Eastern Enterprises .................... 293,195
8,821 Nicor Inc. ............................. 267,938
5,907 ONEOK, Inc. ............................ 134,015
6,643 Peoples Energy Corp. ................... 192,232
38,315 Sempra Energy .......................... 689,670
--------------
1,577,050
--------------
Newspapers (0.4%)
16,776 Dow Jones & Co., Inc. .................. 1,046,403
52,269 Gannett Co., Inc. ...................... 3,407,285
</TABLE>
See Notes to Financial Statements
9
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
15,738 Knight-Ridder, Inc. .................. $ 737,719
32,110 New York Times Co. (The)
(Class A) .......................... 1,356,648
11,247 Times Mirror Co. (Class A) ........... 573,597
44,556 Tribune Co. .......................... 1,734,899
--------------
8,856,551
--------------
Office Equipment/Supplies (0.3%)
21,127 Avery Dennison Corp. ................. 1,282,145
49,735 Pitney Bowes, Inc. ................... 2,461,883
124,548 Xerox Corp. .......................... 2,701,135
--------------
6,445,163
--------------
Oil & Gas Production (0.2%)
23,910 Anardarko Petroleum Corp. ............ 735,233
21,390 Apache Corp. ......................... 780,735
40,780 Burlington Resources, Inc. ........... 1,126,548
17,618 Kerr-McGee Corp. ..................... 788,406
68,920 Occidental Petroleum Corp. ........... 1,107,028
47,259 Union Pacific Resources Group,
Inc. ............................... 422,377
--------------
4,960,327
--------------
Oil Refining/Marketing (0.1%)
13,533 Ashland, Inc. ........................ 421,215
16,917 Sunoco, Inc. ......................... 417,638
26,987 Tosco Corp. .......................... 721,902
58,259 USX-Marathon Group ................... 1,259,851
--------------
2,820,606
--------------
Oil/Gas Transmission (0.8%)
40,052 Coastal Corp. ........................ 1,684,687
15,237 Columbia Energy Group ................ 898,983
42,810 El Paso Energy Corp. ................. 1,586,646
134,176 Enron Corp. .......................... 9,258,144
81,512 Williams Companies, Inc. ............. 3,408,221
--------------
16,836,681
--------------
Oilfield Services/Equipment (0.6%)
61,726 Baker Hughes Inc. .................... 1,597,160
82,828 Halliburton Co. ...................... 3,162,994
103,095 Schlumberger Ltd. (Netherlands) ...... 7,616,143
--------------
12,376,297
--------------
Other Consumer Services (0.2%)
18,353 Block (H.&R.), Inc. .................. 805,238
133,316 Cendant Corp.* ....................... 2,374,691
51,011 Service Corp. International .......... 188,103
--------------
3,368,032
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Other Metals/Minerals (0.1%)
17,542 Allegheny Technologies Inc. .......... $ 297,118
35,992 Inco Ltd. (Canada)* .................. 629,860
15,181 Phelps Dodge Corp. ................... 715,405
--------------
1,642,383
--------------
Other Pharmaceuticals (0.1%)
24,654 Allergan, Inc. ....................... 1,240,404
--------------
Other Specialty Stores (0.2%)
27,066 AutoZone, Inc.* ...................... 664,809
26,220 Bed Bath & Beyond Inc.* .............. 742,354
61,719 Office Depot, Inc.* .................. 752,200
9,869 Pep Boys-Manny Moe & Jack ............ 61,064
87,083 Staples, Inc.* ....................... 2,351,241
45,894 Toys 'R' Us, Inc.* ................... 567,938
--------------
5,139,606
--------------
Other Telecommunications (0.3%)
26,190 CenturyTel, Inc. ..................... 880,639
142,288 Global Crossing Ltd. (Bermuda)*....... 6,634,178
--------------
7,514,817
--------------
Package Goods/Cosmetics (2.0%)
10,460 Alberto-Culver Co. (Class B) ......... 223,583
45,431 Avon Products, Inc. .................. 1,229,476
44,325 Clorox Co. ........................... 1,792,392
109,233 Colgate-Palmolive Co. ................ 5,700,597
201,121 Gillette Co. ......................... 7,089,515
19,707 International Flavors &
Fragrances, Inc. ................... 591,210
102,064 Kimberly-Clark Corp. ................. 5,275,433
246,405 Procter & Gamble Co. ................. 21,683,640
--------------
43,585,846
--------------
Packaged Foods (1.0%)
52,299 Bestfoods ............................ 2,193,289
80,219 Campbell Soup Co. .................... 2,276,214
56,969 General Mills, Inc. .................. 1,876,416
67,195 Heinz (H.J.) Co. ..................... 2,146,040
76,012 Kellogg Co. .......................... 1,924,054
61,152 Nabisco Group Holdings Corp. ......... 527,436
25,086 Quaker Oats Company (The) ............ 1,353,076
57,194 Ralston-Ralston Purina Group ......... 1,619,305
170,379 Sara Lee Corp. ....................... 2,555,685
107,169 Unilever N.V. (Netherlands) .......... 4,876,190
--------------
21,347,705
--------------
Paints/Coatings (0.1%)
32,586 PPG Industries, Inc. ................. 1,608,934
31,101 Sherwin-Williams Co. ................. 594,807
--------------
2,203,741
--------------
</TABLE>
See Notes to Financial Statements
10
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Paper (0.3%)
10,713 Boise Cascade Corp. ................... $ 319,381
18,037 Champion International Corp. .......... 933,415
40,569 Fort James Corp. ...................... 763,204
77,639 International Paper Co. ............... 2,858,086
19,246 Mead Corp. ............................ 576,177
5,456 Potlatch Corp. ........................ 207,328
18,807 Westavaco Corp. ....................... 518,368
20,917 Willamette Industries, Inc. ........... 709,871
--------------
6,885,830
--------------
Photographic Products (0.2%)
59,175 Eastman Kodak Co. ..................... 3,391,467
8,348 Polaroid Corp. ........................ 209,222
--------------
3,600,689
--------------
Precious Metals (0.1%)
73,926 Barrick Gold Corp. (Canada) ........... 1,205,918
30,653 Freeport-McMoran Copper &
Gold, Inc. (Class B) ................ 421,479
48,799 Homestake Mining Co. .................. 317,194
31,426 Newmont Mining Corp. .................. 695,300
61,051 Placer Dome Inc. (Canada) ............. 534,196
--------------
3,174,087
--------------
Precision Instruments (0.0%)
8,859 Tektronix, Inc. ....................... 513,822
--------------
Printing/Forms (0.0%)
13,763 Deluxe Corp. .......................... 322,570
23,707 Donnelley (R.R.) & Sons Co. ........... 453,396
--------------
775,966
--------------
Property - Casualty Insurers (0.2%)
32,988 Chubb Corp. ........................... 1,622,597
30,771 Cincinnati Financial Corp. ............ 919,284
19,884 Loews Corp. ........................... 884,838
13,708 Progressive Corp. ..................... 815,626
42,610 St. Paul Companies, Inc. .............. 953,399
--------------
5,195,744
--------------
Railroads (0.3%)
85,677 Burlington Northern Santa Fe
Corp. ............................... 1,686,766
40,938 CSX Corp. ............................. 908,312
20,723 Kansas City Southern Industries,
Inc. ................................ 1,631,936
71,367 Norfolk Southern Corp. ................ 967,915
46,606 Union Pacific Corp. ................... 1,771,028
--------------
6,965,957
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Recreational Products/Toys (0.1%)
17,217 Brunswick Corp. ....................... $ 304,526
36,330 Hasbro, Inc. .......................... 572,198
78,895 Mattel, Inc. .......................... 759,364
--------------
1,636,088
--------------
Rental/Leasing Companies (0.0%)
11,997 Ryder System, Inc. .................... 223,444
--------------
Restaurants (0.4%)
24,641 Darden Restaurants, Inc. .............. 324,953
253,876 McDonald's Corp. ...................... 8,012,961
28,787 Tricon Global Restaurants, Inc.* ...... 766,454
22,419 Wendy's International, Inc. ........... 353,099
--------------
9,457,467
--------------
Savings & Loan Associations (0.2%)
30,302 Golden West Financial Corp. ........... 863,607
108,243 Washington Mutual, Inc. ............... 2,394,876
--------------
3,258,483
--------------
Semiconductors (5.6%)
27,602 Advanced Micro Devices, Inc.* ......... 1,079,928
32,711 Analog Devices, Inc.* ................. 5,135,627
36,823 Conexant Systems, Inc.* ............... 3,617,860
626,431 Intel Corp. ........................... 70,786,703
55,772 LSI Logic Corp.* ...................... 3,572,894
50,596 Micron Technology, Inc.* .............. 4,961,570
32,159 National Semiconductor Corp.* ......... 2,415,945
150,373 Texas Instruments, Inc. ............... 25,037,105
59,784 Xilinx, Inc.* ......................... 4,767,774
--------------
121,375,406
--------------
Services to the Health Industry (0.1%)
57,736 IMS Health Inc. ....................... 1,161,937
21,553 Quintiles Transnational Corp.* ........ 639,855
5,044 Shared Medical Systems Corp. .......... 196,401
--------------
1,998,193
--------------
Shoe Manufacturing (0.1%)
52,507 Nike, Inc. (Class B) .................. 1,493,168
10,550 Reebok International Ltd.* ............ 84,400
--------------
1,577,568
--------------
Specialty Chemicals (0.2%)
42,994 Air Products & Chemicals, Inc. ........ 1,107,096
23,595 Engelhard Corp. ....................... 321,482
5,736 FMC Corp.* ............................ 277,121
13,460 Grace (W. R.) & Co. ................... 135,441
10,783 Great Lakes Chemical Corp. ............ 313,381
29,803 Praxair, Inc. ......................... 1,005,851
18,917 Sigma-Aldrich Corp. ................... 449,279
--------------
3,609,651
--------------
</TABLE>
See Notes to Financial Statements
11
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Portfolio of Investments February 29, 2000 (unaudited) continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- --------- --------------
<S> <C> <C>
Specialty Foods/Candy (0.1%)
25,944 Hershey Foods Corp. .................... $ 1,139,915
21,706 Wrigley (Wm.) Jr. Co. (Class A) ........ 1,467,868
-------------
2,607,783
-------------
Specialty Insurers (0.1%)
18,671 MBIA, Inc. ............................. 716,500
19,820 MGIC Investment Corp. .................. 740,773
-------------
1,457,273
-------------
Specialty Steels (0.0%)
16,352 Nucor Corp. ............................ 812,490
-------------
Steel/Iron Ore (0.0%)
24,591 Bethlehem Steel Corp.* ................. 139,861
16,574 USX-U.S. Steel Group ................... 362,556
16,709 Worthington Industries, Inc. ........... 221,394
-------------
723,811
-------------
Telecommunication Equipment (5.7%)
56,098 ADC Telecommunications, Inc.* .......... 2,517,398
14,315 Comverse Technology, Inc.* ............. 2,810,213
51,024 Corning Inc. ........................... 9,592,512
587,449 Lucent Technologies Inc. ............... 34,953,216
132,966 Motorola, Inc. ......................... 22,670,703
250,424 Nortel Networks Corp. (Canada) ......... 27,922,276
123,717 QUALCOMM Inc.* ......................... 17,621,940
14,730 Scientific-Atlanta, Inc. ............... 1,512,587
75,426 Tellabs, Inc.* ......................... 3,620,448
-------------
123,221,293
-------------
Textiles (0.0%)
3,355 Springs Industries, Inc. (Class A)...... 118,893
-------------
Tobacco (0.4%)
443,647 Philip Morris Companies, Inc. .......... 8,900,668
32,080 UST, Inc. .............................. 619,545
-------------
9,520,213
-------------
Tools/Hardware (0.1%)
16,286 Black & Decker Corp. ................... 536,420
4,338 Briggs & Stratton Corp. ................ 145,052
10,972 Snap-On, Inc. .......................... 239,327
16,767 Stanley Works .......................... 385,641
-------------
1,306,440
-------------
Wholesale Distributors (0.0%)
17,509 Grainger (W.W.), Inc. .................. 749,604
27,960 IKON Office Solutions, Inc. ............ 195,720
-------------
945,324
-------------
TOTAL COMMON STOCKS
(Identified Cost $1,833,986,326) ....... 2,156,948,493
-------------
VALUE
-------------
<S> <C> <C>
TOTAL INVESTMENTS
(Identified Cost $1,833,986,326) (a)..... 100.1% $2,156,948,493
LIABILITIES IN EXCESS OF OTHER
ASSETS .................................. (0.1) (2,246,788)
----- --------------
NET ASSETS .............................. 100.0% $2,154,701,705
===== ==============
</TABLE>
- --------------------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $539,539,105 and the
aggregate gross unrealized depreciation is $216,576,938, resulting in net
unrealized appreciation of $322,962,167.
FUTURES CONTRACTS OPEN AT FEBRUARY 29, 2000:
<TABLE>
<CAPTION>
DESCRIPTION, UNDERLYING
NUMBER OF DELIVERY MONTH, FACE AMOUNT UNREALIZED
CONTRACTS AND YEAR AT VALUE LOSS
- ----------- ----------------- ------------- -------------
<S> <C> <C> <C>
S&P 500 Index
11 March/2000 $3,773,000 $(84,849)
</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 29, 2000 (unaudited)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments in securities, at value
(identified cost $1,833,986,326) ................................ $2,156,948,493
Receivable for:
Shares of beneficial interest sold ............................. 7,124,079
Dividends ...................................................... 2,590,890
Investments sold ............................................... 1,409,619
Variation margin ............................................... 88,221
Deferred organizational expenses .................................. 35,276
Prepaid expenses and other assets ................................. 165,611
--------------
TOTAL ASSETS ................................................... 2,168,362,189
--------------
LIABILITIES:
Payable for:
Shares of beneficial interest repurchased ...................... 9,893,445
Plan of distribution fee ....................................... 1,633,406
Investment management fee ...................................... 666,990
Payable to bank ................................................... 1,262,312
Accrued expenses and other payables ............................... 204,331
--------------
TOTAL LIABILITIES .............................................. 13,660,484
--------------
NET ASSETS ..................................................... $2,154,701,705
==============
COMPOSITION OF NET ASSETS:
Paid-in-capital ................................................... $1,838,852,385
Net unrealized appreciation ....................................... 322,877,318
Accumulated net investment loss ................................... (1,995,035)
Accumulated net realized loss ..................................... (5,032,963)
--------------
NET ASSETS ..................................................... $2,154,701,705
==============
CLASS A SHARES:
Net Assets ........................................................ $130,706,013
Shares Outstanding (unlimited authorized, $.01 par value) ......... 8,987,239
NET ASSET VALUE PER SHARE ...................................... $14.54
======
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net asset value) ................ $15.35
======
CLASS B SHARES:
Net Assets ........................................................ $1,813,724,580
Shares Outstanding (unlimited authorized, $.01 par value) ......... 126,256,752
NET ASSET VALUE PER SHARE ...................................... $14.37
======
CLASS C SHARES:
Net Assets ........................................................ $174,464,881
Shares Outstanding (unlimited authorized, $.01 par value) ......... 12,145,139
NET ASSET VALUE PER SHARE ...................................... $14.36
======
CLASS D SHARES:
Net Assets ........................................................ $35,806,231
Shares Outstanding (unlimited authorized, $.01 par value) ......... 2,452,316
NET ASSET VALUE PER SHARE ...................................... $14.60
======
</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 six months ended February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
NET INVESTMENT LOSS:
<S> <C>
INCOME
Dividends (net of $16,046 foreign withholding tax) ......... $12,194,439
Interest ................................................... 674,200
-----------
TOTAL INCOME ............................................ 12,868,639
-----------
EXPENSES
Plan of distribution fee (Class A shares) .................. 142,107
Plan of distribution fee (Class B shares) .................. 8,766,004
Plan of distribution fee (Class C shares) .................. 810,855
Investment management fee .................................. 4,045,006
Transfer agent fees and expenses ........................... 890,291
Registration fees .......................................... 167,589
Shareholder reports and notices ............................ 70,328
Custodian fees ............................................. 48,550
Professional fees .......................................... 38,663
Organizational expenses .................................... 6,831
Trustees' fees and expenses ................................ 6,185
Other ...................................................... 23,132
-----------
TOTAL EXPENSES .......................................... 15,015,541
Less: amounts waived/reimbursed ............................ (151,867)
-----------
NET EXPENSES ............................................ 14,863,674
-----------
NET INVESTMENT LOSS ..................................... (1,995,035)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments ............................................. (517,969)
Futures contracts ....................................... (1,245,151)
-----------
NET LOSS ................................................ (1,763,120)
-----------
Net change in unrealized appreciation/depreciation on:
Investments ............................................. 62,343,310
Futures contracts ....................................... 464,019
-----------
NET APPRECIATION ........................................ 62,807,329
-----------
NET GAIN ................................................ 61,044,209
-----------
NET INCREASE ............................................... $59,049,174
===========
</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 SIX FOR THE YEAR
MONTHS ENDED ENDED
FEBRUARY 29, 2000 AUGUST 31, 1999
------------------- ------------------
<S> <C> <C>
(unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) ......................... $ (1,995,035) $ 251,395
Net realized gain (loss) ............................. (1,763,120) 3,050,206
Net change in unrealized appreciation ................ 62,807,329 295,107,663
-------------- --------------
NET INCREASE ...................................... 59,049,174 298,409,264
-------------- --------------
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 ........................................... 254,203,987 929,739,512
-------------- --------------
NET INCREASE ...................................... 308,270,656 1,226,447,649
NET ASSETS:
Beginning of period .................................. 1,846,431,049 619,983,400
-------------- --------------
END OF PERIOD
(Including a net investment loss of $1,995,035 and
$0, respectively) ................................. $2,154,701,705 $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 February 29, 2000 (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, 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 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 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
16
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements February 29, 2000 (unaudited) continued
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 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
17
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements February 29, 2000 (unaudited) continued
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
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.
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
18
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements February 29, 2000 (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 $51,724,709 at February 29, 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 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 29, 2000, the distribution fee
was accrued for Class A shares and Class C shares at the annual rate of 0.24%
and 1.0%, respectively.
The Distributor has informed the Fund that for the six months ended February 29,
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 $8,475,
$2,005,423 and $67,668, respectively and received $204,148 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.
19
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements February 29, 2000 (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 29, 2000 aggregated
$299,436,965 and $2,623,436, respectively. Included in the aforementioned are
purchases of common stock of Morgan Stanley Dean Witter & Co., an affiliate of
the Investment Manager and Distributor, of $1,023,348.
5. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
FEBRUARY 29, 2000 AUGUST 31, 1999
---------------------------------- ----------------------------------
(unaudited)
SHARES AMOUNT SHARES AMOUNT
--------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Sold ................................................ 3,477,256 $ 51,328,885 6,680,320 $ 86,767,191
Reinvestment of dividends and distributions ......... 17,601 265,419 23,092 300,893
Redeemed ............................................ (1,561,903) (23,200,911) (2,469,479) (31,741,936)
---------- -------------- ---------- --------------
Net increase - Class A .............................. 1,932,954 28,393,393 4,233,933 55,326,148
---------- -------------- ---------- --------------
CLASS B SHARES
Sold ................................................ 28,206,620 410,290,446 80,470,161 1,054,390,780
Reinvestment of dividends and distributions ......... 264,957 3,953,148 80,119 1,040,747
Redeemed ............................................ (16,151,264) (234,888,259) (19,572,235) (256,833,169)
----------- -------------- ----------- --------------
Net increase - Class B .............................. 12,320,313 179,355,335 60,978,045 798,598,358
----------- -------------- ----------- --------------
CLASS C SHARES
Sold ................................................ 3,411,332 49,586,674 7,972,059 105,606,189
Reinvestment of dividends and distributions ......... 25,132 374,970 6,822 88,622
Redeemed ............................................ (1,560,427) (22,648,305) (1,731,053) (22,722,524)
----------- -------------- ----------- --------------
Net increase - Class C .............................. 1,876,037 27,313,339 6,247,828 82,972,287
----------- -------------- ----------- --------------
CLASS D SHARES
Sold ................................................ 2,007,074 29,753,798 4,490,458 59,446,759
Reinvestment of dividends and distributions ......... 3,003 45,467 9,731 126,988
Redeemed ............................................ (731,314) (10,657,345) (4,717,139) (66,731,028)
----------- -------------- ----------- --------------
Net increase (decrease) - Class D ................... 1,278,763 19,141,920 (216,950) (7,157,281)
----------- -------------- ----------- --------------
Net increase in Fund ................................ 17,408,067 $ 254,203,987 71,242,856 $ 929,739,512
=========== ============== =========== ==============
</TABLE>
20
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Notes to Financial Statements February 29, 2000 (unaudited) continued
6. FEDERAL INCOME TAX STATUS
At August 31, 1999, the Fund had temporary book/tax differences primarily
attributable to the mark-to-market of open futures contracts and capital loss
deferrals on wash sales.
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 29, 2000, the Fund had outstanding futures contracts.
21
<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 FOR THE YEAR SEPTEMBER 26, 1997*
MONTHS ENDED ENDED THROUGH
FEBRUARY 29, 2000 AUGUST 31, 1999 AUGUST 31, 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(unaudited)
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 ......................... 0.04 0.10 0.10
Net realized and unrealized gain .............. 0.59 3.85 0.11
------ ------ ------
Total income from investment operations ......... 0.63 3.95 0.21
------ ------ ------
Less dividends and distributions from:
Net investment income ......................... - (0.07) (0.03)
Net realized gain ............................. (0.14) (0.01) -
------ ------ ------
Total dividends and distributions ............... (0.14) (0.08) (0.03)
------ ------ ------
Net asset value, end of period .................. $14.54 $14.05 $10.18
====== ====== ======
TOTAL RETURN + .................................. 3.72%(1) 38.82% 2.05%(1)
RATIOS TO AVERAGE NET ASSETS(3):
Expenses ........................................ 0.74%(2)(4) 0.73%(4) 0.75%(2)
Net investment income ........................... 0.51%(2)(4) 0.72%(4) 0.91%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $130,706 $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 0.75% and 0.50%, respectively, for the six months
ended February 29, 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.
(5) Less than 0.5%.
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 FOR THE YEAR SEPTEMBER 26, 1997*
MONTHS ENDED ENDED THROUGH
FEBRUARY 29, 2000 AUGUST 31, 1999 AUGUST 31, 1998
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(unaudited)
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) .................. (0.02) (0.01) 0.02
Net realized and unrealized gain .............. 0.60 3.83 0.12
------ ------ ------
Total income from investment operations ......... 0.58 3.82 0.14
------ ------ ------
Less dividends and distributions from:
Net investment income ......................... - (0.01) (0.01)
Net realized gain ............................. (0.14) (0.01) -
------ ------ ------
Total dividends and distributions ............... (0.14) (0.02) (0.01)
------ ------ ------
Net asset value, end of period .................. $14.37 $13.93 $10.13
====== ====== ======
TOTAL RETURN + .................................. 3.40 %(1) 37.68 % 1.38%(1)
RATIOS TO AVERAGE NET ASSETS(3):
Expenses ........................................ 1.50 %(2)(4) 1.50 %(4) 1.50%(2)
Net investment income (loss) .................... (0.25)%(2)(4) (0.05)%(4) 0.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $1,813,725 $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 (0.26)%, respectively, for the six months
ended February 29, 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.
(5) Less than 0.5%.
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 SIX FOR THE YEAR SEPTEMBER 26, 1997*
MONTHS ENDED ENDED THROUGH
FEBRUARY 29, 2000 AUGUST 31, 1999 AUGUST 31, 1998
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(unaudited)
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) .................. (0.02) (0.01) 0.02
Net realized and unrealized gain .............. 0.59 3.83 0.12
------ ------ ------
Total income from investment operations ......... 0.57 3.82 0.14
------ ------ ------
Less dividends and distributions from:
Net investment income ......................... - (0.01) (0.01)
Net realized gain ............................. (0.14) (0.01) -
------ ------ ------
Total dividends and distributions ............... (0.14) (0.02) (0.01)
------ ------ ------
Net asset value, end of period .................. $14.36 $13.93 $10.13
====== ====== ======
TOTAL RETURN + .................................. 3.40 %(1) 37.70 % 1.37 %(1)
RATIOS TO AVERAGE NET ASSETS(3):
Expenses ........................................ 1.50 %(2)(4) 1.50 %(4) 1.50%(2)
Net investment income (loss) .................... (0.25)%(2)(4) (0.05)%(4) 0.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $174,465 $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 (0.26)%, respectively, for the six months
ended February 29, 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.
(5) Less than 0.5%.
See Notes to Financial Statements
24
<PAGE>
Morgan Stanley Dean Witter S&P 500 Index Fund
Financial Highlights, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR SEPTEMBER 26, 1997*
MONTHS ENDED ENDED THROUGH
FEBRUARY 29, 2000 AUGUST 31, 1999 AUGUST 31, 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(unaudited)
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 ......................... 0.05 0.13 0.12
Net realized and unrealized gain .............. 0.60 3.85 0.11
------ ------ ------
Total income from investment operations ......... 0.65 3.98 0.23
------ ------ ------
Less dividends and distributions from:
Net investment income ......................... - (0.08) (0.03)
Net realized gain ............................. (0.14) (0.01) -
------ ------ ------
Total dividends and distributions ............... (0.14) (0.09) (0.03)
------ ------ ------
Net asset value, end of period .................. $14.60 $14.09 $10.20
====== ====== ======
TOTAL RETURN + .................................. 3.86%(1) 39.13% 2.30%(1)
RATIOS TO AVERAGE NET ASSETS(3):
Expenses ........................................ 0.50%(2)(4) 0.50%(4) 0.50%(2)
Net investment income ........................... 0.75%(2)(4) 0.95%(4) 1.16%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $35,806 $ 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 0.74%, respectively, for the six months
ended February 29, 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.
(5) Less than 0.5%.
See Notes to Financial Statements
25
<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
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
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
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
INVESTMENT MANAGER
Morgan Stanley Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
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.
Read the prospectus carefully before investing.
MORGAN STANLEY
DEAN WITTER
S&P 500
INDEX FUND
[GRAPHIC OMITTED]
SEMIANNUAL REPORT
FEBRUARY 29, 2000
