<PAGE>
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<CAPTION>
<S> <C>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND Two World Trade Center, New York, New York 10048
LETTER TO THE SHAREHOLDERS February 28, 1999
</TABLE>
DEAR SHAREHOLDER:
We are pleased to present the first annual report to shareholders of Morgan
Stanley Dean Witter S&P 500 Select Fund. The Fund, which commenced operations
on September 28, 1998, seeks to provide a total return (before expenses) that
exceeds the total return of the Standard & Poor's 500 Composite Stock Price
Index (S&P 500). The Fund invests primarily in common stocks of certain
companies included in the S&P 500 Index, utilizing equity research provided by
selected equity research firms.
MARKET OVERVIEW
The Fund's fiscal year ended amid optimism of continued U.S. economic strength.
The stock market sell-off during the first weeks of operation had presented a
challenge for many investors with respect to asset allocation. However, with
strong leadership from the technology sector, the S&P 500 rebounded sharply
from its October 8, 1998, low, returning 29.1 percent by the end of the year.
The beginning of 1999 was filled with continued optimism regarding the domestic
economy, but concerns were still lingering regarding Latin America, Asia and,
to a lesser extent, Europe.
PERFORMANCE
From its inception through February 28, 1999, the Fund's Class A, B, C and D
shares posted returns of 18.32 percent, 17.96 percent, 17.94 percent and 18.38
percent, respectively. During the same period, the S&P 500 Index returned 18.74
percent, while the Lipper Growth and Income Funds Index returned 14.76 percent.
The performance of the Fund's four share classes varies, because of differing
expenses.
The Fund's performance was reflective of the overall strength in the U.S. stock
market as well as the stringent criteria used in selecting stocks for the
portfolio. Being overweighted in the technology sector enabled the Fund to
outperform the S&P 500 Index through the end of 1998. During January and
February, however, the Fund's overall performance was hindered by its
overweighting in the financials sector.
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
LETTER TO THE SHAREHOLDERS February 28, 1999, continued
PORTFOLIO STRATEGY
Unlike an index fund, the Fund's actively managed investment approach, which
utilizes Wall Street research and recommendations, strives to eliminate the S&P
500's weaker stocks and emphasize those deemed more promising. Since its
inception, the Fund has maintained slightly overweighted positions in the
technology, financial services and health-care sectors and slightly
underweighted positions in energy, basic materials and utilities.
LOOKING AHEAD
We believe that the stock market will show continued strength due to a strong
domestic economy, continued benign inflation and solid corporate profits. In
the short term, fears concerning the Year 2000 issue may have a negative effect
on the U.S. economy during the second half of 1999, but we believe that any
downturn will be short-lived. Furthermore, we believe that large-capitalization
stocks will fully participate in future market gains.
We appreciate your ongoing support of the Morgan Stanley Dean Witter S&P 500
Select Fund and look forward to continuing to serve your investment needs in
the future.
Very truly yours,
/s/ CHARLES A. FIUMEFREDDO
CHARLES A. FIUMEFREDDO
Chairman of the Board
2
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
COMMON STOCKS (91.4%)
Accident & Health Insurance (0.4%)
774 Jefferson-Pilot Corp. ............... $ 52,487
705 Lincoln National Corp. .............. 66,755
1,752 Marsh & McLennan Companies,
Inc. ................................ 124,063
1,393 Provident Companies, Inc. ........... 45,621
1,429 Torchmark Corp. ..................... 47,514
1,361 UNUM Corp. .......................... 60,905
-----------
397,345
-----------
Advertising (0.1%)
1,358 Omnicom Group, Inc. ................. 89,967
-----------
Aerospace (0.5%)
2,650 Boeing Co. .......................... 94,241
562 Goodrich (B.F.) Co. (The) .......... 19,178
1,202 Northrop Grumman Corp. .............. 74,900
2,494 United Technologies Corp. ........... 308,944
-----------
497,263
-----------
Aerospace & Defense (0.2%)
5,191 Lockheed Martin Corp. ............... 195,636
-----------
Airlines (0.3%)
1,213 AMR Corp. * ......................... 67,246
1,109 Delta Air Lines, Inc. ............... 67,441
2,240 Southwest Airlines Co. .............. 67,480
771 US Airways Group Inc. * ............. 36,526
-----------
238,693
-----------
Alcoholic Beverages (0.3%)
3,257 Anheuser-Busch Companies, Inc. ...... 249,771
460 Brown-Forman Corp. (Class B) ....... 30,331
339 Coors (Adolph) Co. (Class B) ....... 20,192
-----------
300,294
-----------
Aluminum (0.2%)
1,520 Alcan Aluminium Ltd. (Canada) ....... 36,955
3,212 Alcoa Inc. .......................... 130,086
427 Reynolds Metals Co. ................ 18,254
-----------
185,295
-----------
Apparel (0.1%)
480 Fruit of the Loom, Inc. (Class A)*. 6,090
433 Liz Claiborne, Inc. ................. 14,587
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
320 Russell Corp. ....................... $ 6,240
800 VF Corp. ............................ 38,500
-----------
65,417
-----------
Auto Parts: O.E.M. (0.1%)
1,832 Dana Corp. ......................... 69,158
566 Eaton Corp. ........................ 39,266
-----------
108,424
-----------
Automotive Aftermarket (0.1%)
646 Cooper Tire & Rubber Co. ........... 12,758
1,465 Genuine Parts Co. .................. 43,858
1,269 Goodyear Tire & Rubber Co. .......... 58,691
-----------
115,307
-----------
Bank Holding Companies (0.1%)
1,084 Comerica, Inc. ..................... 71,815
-----------
Banking (0.1%)
1,230 SouthTrust Corp. ................... 49,277
-----------
Banks - Commercial (0.1%)
3,248 KeyCorp ............................. 104,748
-----------
Beverages - Non-Alcoholic (2.1%)
19,492 Coca Cola Co. ** .................... 1,246,270
3,734 Coca-Cola Enterprises Inc. .......... 115,754
14,315 PepsiCo, Inc. ....................... 538,602
-----------
1,900,626
-----------
Biotechnology (0.5%)
2,326 Amgen Inc. * ........................ 290,459
2,961 Guidant Corp. ....................... 168,777
-----------
459,236
-----------
Books/Magazines (0.1%)
573 Harcourt General, Inc. .............. 26,251
504 Meredith Corp. ...................... 17,010
-----------
43,261
-----------
Broadcasting (0.4%)
6,877 CBS Corp. * ......................... 253,589
2,557 Clear Channel Communications,
Inc. * .............................. 153,420
-----------
407,009
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
3
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Building Materials (0.2%)
3,381 Lowe's Companies, Inc. ................ $ 200,536
415 Owens Corning ......................... 13,202
-----------
213,738
-----------
Building Materials/DIY Chains (0.9%)
14,672 Home Depot, Inc. (The) ............... 875,735
-----------
Building Products (0.1%)
302 Armstrong World Industries, Inc. ...... 14,855
3,094 Masco Corp. ........................... 81,217
1,000 Rubbermaid, Inc. ...................... 33,062
-----------
129,134
-----------
Cable Television (1.0%)
3,604 Comcast Corp. (Class A Special) ...... 255,659
5,806 MediaOne Group Inc. * ................. 316,427
5,090 Tele-Communications, Inc.
(Class A)* ............................ 319,716
-----------
891,802
-----------
Casino/Gambling (0.1%)
1,201 Harrah's Entertainment, Inc. * ........ 20,042
1,200 Mirage Resorts, Inc. * ................ 23,400
-----------
43,442
-----------
Cellular Telephone (0.2%)
2,801 Nextel Communications, Inc.
(Class A)* ............................ 84,205
4,284 Sprint Corp. (PCS Group)* ............ 137,088
-----------
221,293
-----------
Clothing/Shoe/Accessory Stores (0.3%)
3,286 Kmart Corp. * ......................... 57,505
1,444 Kohl's Corp. * ........................ 99,636
1,209 Nordstrom, Inc. ....................... 48,662
3,086 TJX Companies, Inc. ................... 88,144
-----------
293,947
-----------
Computer Communications (1.9%)
3,522 3Com Corp. * .......................... 110,723
2,017 Ascend Communications, Inc. * ......... 155,183
15,533 Cisco Systems, Inc. * ................. 1,519,322
-----------
1,785,228
-----------
</TABLE>
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<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Computer Hardware (4.6%)
906 Apple Computer, Inc. * ................ $ 31,483
16,710 Compaq Computer Corp. ................. 589,027
3,613 Computer Associates
International, Inc. ................... 151,746
336 Data General Corp. * .................. 4,641
9,563 Dell Computer Corp. * ................. 765,638
4,931 EMC Corp. * ........................... 504,811
1,069 Gateway 2000, Inc. * .................. 77,703
7,504 Hewlett-Packard Co. ................... 498,547
9,407 International Business Machines
Corp. ................................. 1,599,190
-----------
4,222,786
-----------
Computer/Video Chains (0.0%)
660 Tandy Corp. ........................... 36,712
-----------
Computer Software (4.7%)
443 Adobe Systems, Inc. ................... 17,831
405 Autodesk, Inc. ........................ 16,225
2,133 BMC Software, Inc. * .................. 87,186
1,688 Compuware Corp. * ..................... 94,422
24,720 Microsoft Corp. * ** .................. 3,709,545
2,416 Novell, Inc. * ........................ 46,810
6,532 Oracle Corp. * ........................ 364,567
1,827 Parametric Technology Corp. * ......... 28,090
-----------
4,364,676
-----------
Construction/Agricultural
Equipment/Trucks (0.3%)
2,676 Caterpillar, Inc. ..................... 121,925
1,733 Deere & Co. ........................... 56,647
1,465 Navistar International Corp. * ........ 62,995
-----------
241,567
-----------
Consumer Electronics/Appliances (0.1%)
875 Maytag Corp. .......................... 49,055
498 Whirlpool Corp. ....................... 21,663
-----------
70,718
-----------
Consumer Sundries (0.2%)
474 American Greetings Corp.
(Class A) ............................. 11,228
233 Jostens, Inc. ......................... 5,461
3,694 Kimberly-Clark Corp. .................. 174,541
-----------
191,230
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -------------
<S> <C> <C>
Containers/Packaging (0.2%)
207 Ball Corp. ............................... $ 8,668
342 Bemis Company, Inc. ...................... 11,649
813 Crown Cork & Seal Co. , Inc. ............. 22,561
1,514 Owens-Illinois, Inc. * ................... 36,241
795 Sealed Air Corp. * ....................... 40,346
373 Temple-Inland, Inc. ...................... 22,357
---------
141,822
---------
Contract Drilling (0.0%)
333 Helmerich & Payne, Inc. .................. 5,432
552 Rowan Companies, Inc. * .................. 4,761
---------
10,193
---------
Department Stores (0.3%)
868 Dillard's, Inc. (Class A) ............... 21,591
1,663 Federated Department Stores,
Inc. * ................................... 63,298
1,898 May Department Stores Co. ................ 112,456
2,553 Sears, Roebuck & Co. ..................... 103,716
---------
301,061
---------
Discount Chains (2.4%)
827 Consolidated Stores Corp. * .............. 20,830
2,068 Costco Companies, Inc. * ................. 166,086
4,295 Dayton Hudson Corp. ...................... 268,706
1,227 Dollar General Corp. ..................... 36,733
19,705 Wal-Mart Stores, Inc. ** ................. 1,702,019
---------
2,194,374
---------
Diversified Commercial Services (0.1%)
1,093 Paychex, Inc. ............................ 46,316
---------
Diversified Electronic Products (0.2%)
1,229 Honeywell, Inc. .......................... 85,953
1,798 Rockwell International Corp. ............. 79,899
---------
165,852
---------
Diversified Financial Services (2.0%)
4,419 American Express Co. ..................... 479,461
19,468 Citigroup Inc. ........................... 1,143,745
879 Lehman Brothers Holdings, Inc. ........... 46,587
1,363 Providian Financial Corp. ................ 139,196
833 Transamerica Corp. ....................... 60,445
---------
1,869,434
---------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -------------
<S> <C> <C>
Diversified Manufacturing (1.2%)
1,853 Allegheny Teledyne Inc. .................. $ 38,218
6,189 AlliedSignal, Inc. ....................... 256,070
829 Cooper Industries, Inc. .................. 36,269
1,482 Danaher Corp. ............................ 71,506
2,337 Dover Corp. .............................. 79,458
231 FMC Corp. * .............................. 11,824
433 Minnesota Mining &
Manufacturing Co. ........................ 32,069
1,739 Thermo Electron Corp. * .................. 24,020
7,118 Tyco International Ltd. .................. 529,846
---------
1,079,280
---------
Drugstore Chains (0.6%)
3,869 CVS Corp. ................................ 205,057
2,560 Rite Aid Corp. ........................... 105,920
6,808 Walgreen Co. ............................. 217,856
---------
528,833
---------
E.D.P. Peripherals (0.1%)
2,363 Seagate Technology, Inc. * ............... 68,379
---------
E.D.P. Services (0.6%)
4,025 Automatic Data Processing, Inc. .......... 159,994
700 Ceridian Corp. * ......................... 50,137
1,061 Computer Sciences Corp. * ................ 70,689
3,286 Electronic Data Systems Corp. ............ 152,799
2,953 First Data Corp. ......................... 112,952
---------
546,571
---------
Electric Utilities (1.6%)
1,765 AES Corp. (The)* ........................ 65,636
1,111 Baltimore Gas & Electric Co. ............. 28,469
1,124 Carolina Power & Light Co. ............... 44,819
1,585 Central & South West Corp. ............... 39,328
1,186 Cinergy Corp. ............................ 34,616
1,735 Consolidated Edison, Inc. ................ 81,111
1,454 Dominion Resources, Inc. ................. 56,161
2,700 Duke Power Co. ........................... 153,562
2,630 Edison International ..................... 67,065
1,842 Entergy Corp. ............................ 52,036
1,776 FirstEnergy Corp. ........................ 51,948
1,362 FPL Group, Inc. .......................... 70,058
990 GPU, Inc. ................................ 39,476
850 New Century Energies, Inc. ............... 34,478
1,567 Niagara Mohawk Power Corp. * ............. 22,917
1,138 Northern States Power Co. ................ 29,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
2,215 PacifiCorp ................................ $ 39,732
1,671 PECO Energy Co. ........................... 59,216
2,856 PG & E Corp. .............................. 89,964
1,700 Public Service Enterprise Group,
Inc. ...................................... 64,600
2,125 Reliant Energy, Inc. ...................... 56,977
5,198 Southern Co. .............................. 130,275
2,980 Texas Utilities Co. ....................... 126,464
2,092 Unicom Corp. .............................. 74,397
---------
1,512,680
---------
Electrical Products (0.3%)
4,147 Emerson Electric Co. ...................... 238,193
771 Raychem Corp. ............................. 17,588
593 Thomas & Betts Corp. ...................... 24,721
---------
280,502
---------
Electronic Components (0.2%)
1,460 AMP, Inc. ................................. 77,654
694 Andrew Corp. * ............................ 10,497
949 LSI Logic Corp. * ......................... 24,615
1,574 Solectron Corp. * ......................... 70,338
---------
183,104
---------
Electronic Data Processing (0.5%)
3,738 Sun Microsystems, Inc. * .................. 363,754
2,504 Unisys Corp. * ............................ 74,650
---------
438,404
---------
Electronic Production Equipment (0.2%)
3,306 Applied Materials, Inc. * ................. 183,896
783 KLA-Tencor Corp. * ........................ 40,373
---------
224,269
---------
Engineering & Construction (0.0%)
509 Fluor Corp. ............................... 17,910
380 Foster Wheeler Corp. ...................... 4,750
---------
22,660
---------
Environmental Services (0.3%)
1,160 Browning-Ferris Industries, Inc. .......... 36,540
5,609 Waste Management, Inc. .................... 274,140
---------
310,680
---------
Farming/Seeds/Milling (0.1%)
5,437 Archer-Daniels-Midland Co. ................ 82,235
1,613 Pioneer Hi-Bred International,
Inc. ...................................... 37,805
---------
120,040
---------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Finance Companies (2.2%)
7,761 Associates First Capital Corp.
(Class A) ................................. $ 315,291
644 Capital One Financial Corp. ............... 82,190
1,096 Countrywide Credit Industries,
Inc. ...................................... 41,511
11,069 Fannie Mae ................................ 774,830
7,248 Freddie Mac ............................... 426,726
4,701 Household International, Inc. ............. 190,978
6,873 MBNA Corp. ................................ 166,670
1,714 SLM Holding Corp. ......................... 73,488
---------
2,071,684
---------
Financial Publishing/Services (0.2%)
1,113 Dun & Bradstreet Corp. .................... 38,120
1,436 Equifax, Inc. ............................. 54,209
653 McGraw-Hill, Inc. ......................... 71,463
---------
163,792
---------
Fluid Controls (0.0%)
824 Parker-Hannifin Corp. ..................... 30,591
---------
Food Chains (0.8%)
2,535 Albertson's, Inc. ......................... 144,495
1,983 American Stores Co. ....................... 66,926
1,110 Fred Meyer, Inc. * ........................ 71,317
274 Great Atlantic & Pacific Tea Co. ,
Inc. ...................................... 8,648
2,639 Kroger Co. * .............................. 170,710
5,007 Safeway Inc. * ............................ 289,154
---------
751,250
---------
Food Distributors (0.1%)
1,070 Supervalu, Inc. ........................... 25,747
2,227 SYSCO Corp. ............................... 62,913
---------
88,660
---------
Forest Products (0.1%)
594 Georgia-Pacific Group ..................... 43,510
742 Louisiana-Pacific Corp. ................... 13,634
1,355 Weyerhaeuser Co. .......................... 75,541
---------
132,685
---------
Gold (0.1%)
2,623 Barrick Gold Corp. (Canada) .............. 46,394
---------
Health Care Diversified (0.0%)
1,113 Humana, Inc. * ............................ 19,477
---------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Health Care Drugs (0.8%)
8,310 Lilly (Eli) & Co. ................... $ 786,853
-----------
Home Building (0.1%)
620 Centex Corp. ........................ 22,824
339 Fleetwood Enterprises, Inc. ......... 10,996
320 Kaufman & Broad Home Corp. .......... 7,200
287 Pulte Corp. ......................... 6,906
-----------
47,926
-----------
Home Furnishings (0.1%)
1,773 Newell Co. .......................... 75,352
497 Tupperware Corp. .................... 8,697
-----------
84,049
-----------
Hospital/Nursing Management (0.2%)
6,310 Columbia/HCA Healthcare Corp. *...... 112,791
1,078 HCR Manor Care, Inc. ................ 24,120
3,033 Tenet Healthcare Corp. * ............ 59,712
-----------
196,623
-----------
Hotels/Resorts (0.4%)
5,317 Carnival Corp. ...................... 236,606
1,740 Hilton Hotels Corp. ................. 27,514
2,358 Marriott International, Inc. ........ 84,888
-----------
349,008
-----------
Industrial Machinery/Components (0.0%)
371 Milacron Inc. ....................... 6,608
-----------
Industrial Specialties (0.1%)
1,643 Ecolab, Inc. ........................ 65,515
293 Millipore Corp. ..................... 8,167
1,207 Pall Corp. .......................... 25,573
-----------
99,255
-----------
Insurance Brokers/Services (0.1%)
1,133 AON Corp. ........................... 66,776
-----------
Integrated Oil Companies (3.6%)
667 Amerada Hess Corp. .................. 30,265
2,380 Atlantic Richfield Co. .............. 130,007
4,552 Chevron Corp. ....................... 349,935
20,927 Exxon Corp. ** ...................... 1,392,953
5,556 Mobil Corp. ......................... 462,190
1,891 Phillips Petroleum Co. .............. 73,158
16,248 Royal Dutch Petroleum Co. (ADR)
(Netherlands) ....................... 712,881
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
3,766 Texaco, Inc. ........................ $ 175,354
1,787 Unocal Corp. ........................ 50,371
-----------
3,377,114
-----------
Internet Services (0.8%)
8,796 America Online, Inc. * .............. 782,294
-----------
Investment Bankers/Brokers/
Services (0.5%)
900 Bear Stearns Companies, Inc. ........ 38,512
2,690 Merrill Lynch & Co. , Inc. .......... 206,457
3,039 Schwab (Charles) Corp. .............. 226,595
-----------
471,564
-----------
Investment Managers (0.1%)
1,688 Franklin Resources, Inc. ............ 53,700
-----------
Life Insurance (0.2%)
1,755 American General Corp. .............. 128,554
3,067 Conseco, Inc. ....................... 91,818
-----------
220,372
-----------
Machinery - Diversified (0.1%)
938 Johnson Controls, Inc. .............. 57,687
-----------
Major Banks (5.9%)
6,989 Bank of New York Co. , Inc. ......... 244,178
11,765 Bank One Corp. ...................... 632,369
18,103 BankAmerica Corp. ................... 1,182,352
2,051 BankBoston Corp. .................... 82,937
657 Bankers Trust New York Corp. ........ 57,159
8,927 Chase Manhattan Corp. (The) ........ 710,812
10,509 First Union Corp. ................... 560,261
1,633 Firstar Corp. ....................... 136,764
5,598 Fleet Financial Group, Inc. ......... 240,364
2,622 Mellon Bank Corp. ................... 177,313
2,300 National City Corp. ................. 160,713
2,091 PNC Bank Corp. ...................... 108,863
1,119 State Street Corp. .................. 85,813
1,210 Summit Bancorp. ..................... 46,736
2,210 SunTrust Banks, Inc. ................ 150,142
7,162 U.S. Bancorp ........................ 231,422
1,410 Wachovia Corp. ...................... 119,938
16,247 Wells Fargo & Co. ................... 597,077
-----------
5,525,213
-----------
Major Chemicals (1.0%)
10,298 Du Pont (E.I.) de Nemours & Co. ,
Inc. ................................ 528,416
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
7
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
694 Eastman Chemical Co. ................... $ 32,748
1,287 Hercules, Inc. ......................... 35,634
5,546 Monsanto Co. ........................... 252,690
1,459 Rohm & Haas Co. ........................ 45,594
-----------
895,082
-----------
Major Pharmaceuticals (7.3%)
13,994 Abbott Laboratories .................... 649,846
9,459 American Home Products Corp. ........... 562,811
7,624 Bristol-Myers Squibb Co. ............... 960,148
20,642 Merck & Co. , Inc. ** .................. 1,687,484
12,274 Pfizer, Inc. ** ........................ 1,619,401
3,387 Pharmacia & Upjohn, Inc. ............... 184,592
10,746 Schering-Plough Corp. .................. 601,104
8,014 Warner-Lambert Co. ..................... 553,467
-----------
6,818,853
-----------
Major U.S. Telecommunications (7.8%)
5,496 AirTouch Communications, Inc. *......... 500,480
1,827 ALLTEL Corp. ........................... 109,392
7,825 Ameritech Corp. ........................ 511,559
13,987 AT&T Corp. ............................. 1,148,682
14,969 Bell Atlantic Corp. .................... 859,782
14,498 BellSouth Corp. ........................ 670,533
9,270 GTE Corp. .............................. 601,391
855 ITT Industries, Inc. ................... 33,398
17,890 MCI WorldCom, Inc. * ................... 1,475,925
14,694 SBC Communications, Inc. ............... 776,945
4,150 Sprint Corp. (FON Group) .............. 356,122
3,353 U.S. West, Inc. ........................ 178,757
-----------
7,222,966
-----------
Managed Health Care (0.1%)
954 Aetna Inc. ............................. 70,656
1,239 United Healthcare Corp. ................ 61,098
-----------
131,754
-----------
Manufacturer Consumer &
Industrial Products (0.1%)
1,787 Ingersoll-Rand Co. ..................... 84,883
326 National Service Industries, Inc. ...... 10,473
-----------
95,356
-----------
Manufacturing - Diversified
Industries (0.0%)
1,240 UST, Inc. .............................. 36,658
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Media Conglomerates (1.7%)
11,755 Time Warner, Inc. ...................... $ 758,198
3,382 Viacom, Inc. (Class B)* ............... 298,884
14,436 Walt Disney Co. ........................ 507,967
-----------
1,565,049
-----------
Medical Equipment & Supplies (0.4%)
5,455 Medtronic, Inc. ........................ 385,259
-----------
Medical Specialties (0.3%)
580 ALZA Corp. (Class A)* ................. 30,414
2,361 Becton, Dickinson & Co. ................ 79,094
746 Biomet, Inc. ........................... 27,369
2,620 Boston Scientific Corp. * .............. 69,430
499 Mallinckrodt Group, Inc. ............... 15,438
560 St. Jude Medical, Inc. * ............... 14,070
-----------
235,815
-----------
Medical/Dental Distributors (0.3%)
2,529 Cardinal Health, Inc. .................. 182,562
1,898 McKesson HBOC, Inc. .................... 129,064
-----------
311,626
-----------
Medical/Nursing Services (0.1%)
4,132 HEALTHSOUTH Corp. * .................... 48,035
-----------
Mid -- Sized Banks (0.4%)
1,856 Fifth Third Bancorp .................... 122,612
1,092 Mercantile Bancorporation, Inc. ........ 49,823
772 Northern Trust Corp. ................... 68,998
2,188 Regions Financial Corp. ................ 82,734
993 Union Planters Corp. ................... 44,871
-----------
369,038
-----------
Military/Gov't/Technical (0.3%)
429 EG & G, Inc. ........................... 11,369
1,637 General Dynamics Corp. ................. 98,936
3,289 Raytheon Co. (Class B) ................ 175,756
-----------
286,061
-----------
Motor Vehicles (0.9%)
8,675 Ford Motor Co. ......................... 514,536
4,374 General Motors Corp. ................... 361,128
-----------
875,664
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Movies/Entertainment (0.1%)
487 King World Productions Inc. * .......... $ 12,875
2,627 Seagram Co. Ltd. (Canada) ............. 121,827
-----------
134,702
-----------
Multi-Line Insurance (2.2%)
8,442 Allstate Corp. ......................... 316,575
11,961 American International Group, Inc.. 1,362,806
2,283 CIGNA Corp. ............................ 179,216
2,231 Hartford Financial Services
Group, Inc. ............................ 120,613
778 Loews Corp. ............................ 60,830
975 SAFECO Corp. ........................... 39,183
-----------
2,079,223
-----------
Multi-Sector Companies (3.7%)
756 Crane Co. .............................. 20,743
1,862 Fortune Brands, Inc. ................... 56,093
32,072 General Electric Co. ** ................ 3,217,223
407 McDermott International, Inc. .......... 8,115
1,353 Tenneco, Inc. .......................... 40,505
1,282 Textron, Inc. .......................... 99,996
-----------
3,442,675
-----------
Natural Gas (0.1%)
697 Consolidated Natural Gas Co. ........... 38,291
154 Eastern Enterprises .................... 5,919
349 Nicor Inc. ............................. 13,327
232 ONEOK, Inc. ............................ 6,250
214 Peoples Energy Corp. ................... 7,263
-----------
71,050
-----------
Newspapers (0.3%)
2,079 Gannett Co. , Inc. ..................... 132,017
575 Knight-Ridder, Inc. .................... 28,858
1,824 New York Times Co. (The)
(Class A) .............................. 56,544
610 Times Mirror Co. (Class A) ............ 34,046
877 Tribune Co. ............................ 58,156
-----------
309,621
-----------
Office Equipment/Supplies (0.7%)
1,084 Avery Dennison Corp. ................... 58,197
918 IKON Office Solutions, Inc. ............ 12,967
2,763 Pitney Bowes, Inc. ..................... 174,587
6,458 Xerox Corp. ............................ 356,401
-----------
602,152
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Oil & Gas Production (0.2%)
824 Anardarko Petroleum Corp. .............. $ 22,660
653 Apache Corp. ........................... 13,019
1,726 Burlington Resources, Inc. ............. 55,879
763 Oryx Energy Co. * ...................... 7,916
2,023 Union Pacific Corp. .................... 94,828
1,673 Union Pacific Resources Group,
Inc. ................................... 14,952
-----------
209,254
-----------
Oil Refining/Marketing (0.1%)
517 Ashland, Inc. .......................... 23,007
903 Sunoco, Inc. ........................... 27,485
3,234 USX-Marathon Group ..................... 66,903
-----------
117,395
-----------
Oil Related (0.0%)
337 Kerr-McGee Corp. ....................... 9,626
-----------
Oil Well -- Machinery (0.1%)
3,890 Halliburton Co. ........................ 109,893
-----------
Oil/Gas Transmission (0.6%)
2,204 Coastal Corp. .......................... 70,528
884 Columbia Energy Group .................. 44,642
3,370 Enron Corp. ............................ 219,050
799 Sonat, Inc. ............................ 20,225
4,295 Williams Companies, Inc. ............... 158,915
-----------
513,360
-----------
Oilfield Services/Equipment (0.3%)
2,181 Baker Hughes, Inc. ..................... 39,258
4,745 Schlumberger, Ltd. ..................... 230,429
-----------
269,687
-----------
Other Consumer Services (0.2%)
988 Block (H.&R.), Inc. .................... 44,831
5,686 Cendant Corp. * ........................ 94,174
2,580 Service Corp. International ........... 39,668
-----------
178,673
-----------
Other Metals/Minerals (0.1%)
267 ASARCO, Inc. ........................... 3,771
900 Cyprus Amax Minerals Co. ............... 10,125
953 Engelhard Corp. ........................ 16,975
1,643 Inco Ltd. (Canada) ..................... 20,743
387 Phelps Dodge Corp. ..................... 18,770
-----------
70,384
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Other Pharmaceuticals (1.2%)
440 Allergan, Inc. ........................ $ 35,860
12,596 Johnson & Johnson ..................... 1,075,384
-----------
1,111,244
-----------
Other Specialty Stores (0.3%)
1,335 Interpublic Group of Companies,
Inc. .................................. 99,875
468 Pep Boys-Manny, Moe & Jack ............ 8,541
5,161 Staples, Inc. * ....................... 151,282
-----------
259,698
-----------
Package Goods/Cosmetics (1.8%)
406 Alberto-Culver Co. (Class B) ......... 9,744
2,566 Avon Products, Inc. ................... 106,810
780 Clorox Co. ............................ 92,284
1,953 Colgate-Palmolive Co. ................. 165,761
7,435 Gillette Co. .......................... 398,702
10,098 Procter & Gamble Co. .................. 903,771
-----------
1,677,072
-----------
Packaged Foods (1.3%)
2,469 Bestfoods ............................. 115,889
1,321 General Mills, Inc. ................... 106,588
3,125 Heinz (H.J.) Co. ...................... 170,117
1,234 Hershey Foods Corp. ................... 76,817
1,174 Quaker Oats Company (The) ............. 64,130
3,327 Ralston-Ralston Purina Group .......... 89,621
7,883 Sara Lee Corp. ........................ 214,319
5,565 Unilever N.V. (Netherlands) ........... 403,115
-----------
1,240,596
-----------
Paints/Coatings (0.1%)
1,208 PPG Industries, Inc. .................. 62,892
1,148 Sherwin-Williams Co. .................. 27,624
-----------
90,516
-----------
Paper (0.3%)
381 Boise Cascade Corp. ................... 11,835
653 Champion International Corp. .......... 24,161
2,117 Fort James Corp. ...................... 63,245
2,091 International Paper Co. ............... 87,822
702 Mead Corp. ............................ 21,367
460 Union Camp Corp. ...................... 30,763
688 Westvaco Corp. ........................ 15,394
757 Willamette Industries, Inc. ........... 27,583
-----------
282,170
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Photographic Products (0.2%)
3,083 Eastman Kodak Co. ..................... $ 204,056
-----------
Precious Metals (0.1%)
1,970 Freeport-McMoran Copper &
Gold, Inc. (Class B) ................. 18,592
1,714 Homestake Mining Co. .................. 15,747
1,174 Newmont Mining Corp. .................. 20,252
1,758 Placer Dome Inc. (Canada) ............ 19,228
-----------
73,819
-----------
Precision Instruments (0.1%)
498 Perkin-Elmer Corp. .................... 47,186
313 Tektronix, Inc. ....................... 6,104
-----------
53,290
-----------
Printing/Forms (0.1%)
532 Deluxe Corp. .......................... 18,022
907 Donnelley (R.R.) & Sons Co. ........... 31,065
-----------
49,087
-----------
Property - Casualty Insurers (0.2%)
1,175 Chubb Corp. ........................... 70,206
502 Progressive Corp. ..................... 64,507
1,701 St. Paul Companies, Inc. .............. 55,070
-----------
189,783
-----------
Railroads (0.2%)
3,832 Burlington Northern Santa Fe
Corp. ................................. 126,935
3,105 Norfolk Southern Corp. ................ 87,134
-----------
214,069
-----------
Recreational Products/Toys (0.1%)
640 Brunswick Corp. ....................... 13,640
1,282 Hasbro, Inc. .......................... 47,434
2,515 Mattel, Inc. .......................... 66,333
-----------
127,407
-----------
Rental/Leasing Companies (0.0%)
480 Ryder System, Inc. .................... 12,960
-----------
Restaurants (0.6%)
927 Darden Restaurants, Inc. .............. 20,394
4,536 McDonald's Corp. ...................... 385,560
1,491 Tricon Global Restaurants, Inc. *...... 92,442
814 Wendy's International, Inc. ........... 19,485
-----------
517,881
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
Retail - Specialty (0.4%)
1,525 AutoZone, Inc. * ........................ $ 53,375
976 Circuit City Stores, Inc. ............... 52,948
3,860 Gap, Inc. (The) ........................ 249,694
----------
356,017
----------
Retail - Specialty Apparel (0.1%)
1,520 Limited (The), Inc. ..................... 53,960
----------
Savings & Loan Associations (0.3%)
380 Golden West Financial Corp. ............. 35,696
5,789 Washington Mutual, Inc. ................. 231,560
----------
267,256
----------
Semiconductors (2.6%)
16,363 Intel Corp. ** .......................... 1,962,537
1,668 Micron Technology, Inc. * ............... 96,119
1,117 National Semiconductor Corp. * .......... 11,729
3,416 Texas Instruments, Inc. ................. 304,665
----------
2,375,050
----------
Services to the Health Industry (0.3%)
360 Bard (C.R.), Inc. ....................... 20,295
1,949 Baxter International, Inc. .............. 137,161
2,133 IMS Health Inc. ......................... 75,722
208 Shared Medical Systems Corp. ............ 10,608
----------
243,786
----------
Shoe Manufacturing (0.1%)
1,907 Nike, Inc. (Class B) ................... 102,263
657 Reebok International Ltd. (United
Kingdom)* ............................... 10,594
----------
112,857
----------
Smaller Banks (0.1%)
2,090 BB&T Corp. .............................. 79,159
----------
Specialty Chemicals (0.2%)
2,030 Air Products & Chemicals, Inc. .......... 65,214
752 Great Lakes Chemical Corp. .............. 29,281
1,545 Praxair, Inc. ........................... 53,978
1,287 Sigma-Aldrich Corp. ..................... 33,945
----------
182,418
----------
Specialty Foods/Candy (0.1%)
4,221 ConAgra, Inc. ........................... 127,158
----------
Specialty Insurers (0.1%)
714 MBIA, Inc. .............................. 43,956
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------- -----------------
<S> <C> <C>
1,118 MGIC Investment Corp. ................... $ 38,082
----------
82,038
----------
Specialty Steels (0.0%)
590 Nucor Corp. ............................. 26,292
----------
Steel/Iron Ore (0.0%)
867 Bethlehem Steel Corp. * ................. 7,640
587 USX-U.S. Steel Group .................... 14,858
613 Worthington Industries, Inc. ............ 7,777
----------
30,275
----------
Telecommunications (0.0%)
1,147 Frontier Corp. .......................... 41,220
----------
Telecommunications Equipment (2.1%)
1,873 Corning, Inc. ........................... 100,206
1,646 General Instrument Corp. * .............. 48,146
10,292 Lucent Technologies Inc. ................ 1,045,281
4,050 Motorola, Inc. .......................... 284,513
4,498 Northern Telecom Ltd. (Canada) .......... 261,165
546 Scientific-Atlanta, Inc. ................ 17,711
1,912 Tellabs, Inc. * ......................... 152,841
----------
1,909,863
----------
Tobacco (1.1%)
23,589 Philip Morris Companies, Inc. ........... 922,920
2,168 RJR Nabisco Holdings Corp. .............. 59,214
----------
982,134
----------
Tools/Hardware (0.2%)
1,136 Black & Decker Corp. .................... 55,380
212 Briggs & Stratton Corp. ................. 10,348
2,027 Illinois Tool Works Inc. ................ 139,356
640 Snap-On, Inc. ........................... 18,080
----------
223,164
----------
Vision Care & Instruments (0.0%)
373 Bausch & Lomb, Inc. ..................... 22,497
----------
Waste Management (0.0%)
3,161 Laidlaw, Inc. (Canada) ................. 24,300
----------
Wholesale Distributor (0.0%)
633 Grainger (W.W.), Inc. ................... 28,169
----------
TOTAL COMMON STOCKS
(Identified Cost $76,350,651)............ 84,951,822
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS February 28, 1999, continued
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ------------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENT (a) (8.0%)
U.S. GOVERNMENT AGENCY
$ 7,400 Federal Home Loan Mortgage
Corp. 4.70% due 03/01/99
(Amortized Cost $7,400,000).......... 7,400,000
---------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS
(Identified Cost $83,750,651) (b) ..... 99.4% 92,351,822
CASH AND OTHER ASSETS IN
EXCESS OF LIABILITIES 0.6 558,124
----- ----------
NET ASSETS ............................ 100.0% $92,909,946
===== ===========
</TABLE>
- --------------------------------
ADR American Depository Receipt.
* Non-income producing security.
** Some or all of these securities are segregated in connection with open
futures contracts.
(a) Security was purchased on a discount basis. The interest rate
shown has been adjusted to reflect a money market equivalent
yield.
(b) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unealized appreciation is
$10,532,814 and the aggregate gross unrealized depreciation is
$1,931,643, resulting in net unrealized appreciation of
$8,601,171.
FUTURES CONTRACTS OPEN AT FEBRUARY 28, 1999:
<TABLE>
<CAPTION>
UNDERLYING
DESCRIPTION FACE
NUMBER OF DELIVERY MONTH, AMOUNT UNREALIZED
CONTRACTS AND YEAR AT VALUE LOSS
- ----------- ----------------- ------------- --------------
<S> <C> <C> <C>
25 S&P 500 Index/ $7,721,875 $ (116,525)
March 1999
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1999
<TABLE>
<CAPTION>
<S> <C>
ASSETS :
Investments in securities, at value
(identified cost $83,750,651)................................... $92,351,822
Cash ............................................................. 47,958
Receivable for:
Shares of beneficial interest sold ............................. 793,336
Dividends ...................................................... 100,579
Deferred offering costs .......................................... 77,621
Prepaid expenses and other assets ................................ 21,221
Receivable from affiliate ........................................ 36,064
------------
TOTAL ASSETS ................................................... 93,428,601
------------
LIABILITIES:
Payable for:
Shares of beneficial interest repurchased ...................... 195,168
Plan of distribution fee ....................................... 71,896
Investments purchased .......................................... 48,739
Investment management fee ...................................... 44,434
Variation margin on futures contracts .......................... 38,009
Accrued expenses and other payables .............................. 86,409
Offering costs ................................................... 34,000
------------
TOTAL LIABILITIES .............................................. 518,655
------------
NET ASSETS ..................................................... $92,909,946
============
COMPOSITION OF NET ASSETS:
Paid-in-capital .................................................. $83,895,619
Net unrealized appreciation ...................................... 8,484,646
Undistributed net realized gain .................................. 529,681
------------
NET ASSETS ..................................................... $92,909,946
============
CLASS A SHARES:
Net Assets ....................................................... $ 3,269,158
Shares Outstanding (unlimited authorized, $.01 par value)......... 277,358
NET ASSET VALUE PER SHARE ...................................... $ 11.79
============
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net asset value) ............... $ 12.44
============
CLASS B SHARES:
Net Assets ....................................................... $83,020,581
Shares Outstanding (unlimited authorized, $.01 par value)......... 7,057,210
NET ASSET VALUE PER SHARE ...................................... $ 11.76
============
CLASS C SHARES:
Net Assets ....................................................... $ 6,417,422
Shares Outstanding (unlimited authorized, $.01 par value)......... 545,412
NET ASSET VALUE PER SHARE ...................................... $ 11.77
============
CLASS D SHARES:
Net Assets ....................................................... $ 202,785
Shares Outstanding (unlimited authorized, $.01 par value)......... 17,196
NET ASSET VALUE PER SHARE ...................................... $ 11.79
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL STATEMENTS, continued
STATEMENT OF OPERATIONS
For the period September 28, 1998* through February 28, 1999
<TABLE>
<S> <C>
NET INVESTMENT LOSS:
INCOME
Dividends ......................................... $ 330,836
Interest .......................................... 113,793
----------
TOTAL INCOME .................................... 444,629
----------
EXPENSES
Plan of distribution fee (Class A shares) ......... 2,495
Plan of distribution fee (Class B shares) ......... 248,111
Plan of distribution fee (Class C shares) ......... 17,478
Investment management fee ......................... 165,675
Offering costs .................................... 65,099
Professional fees ................................. 49,000
Transfer agent fees and expenses .................. 30,899
Registration fees ................................. 23,337
Shareholder reports and notices ................... 9,010
Custodian fees .................................... 6,661
S&P license fees .................................. 4,968
Trustees' fees and expenses ....................... 3,053
Other ............................................. 439
----------
TOTAL EXPENSES .................................. 626,225
Less: amounts waived/reimbursed ................... (88,703)
----------
NET EXPENSES .................................... 537,522
----------
NET INVESTMENT LOSS ............................. (92,893)
----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments ...................................... 11,797
Futures contracts ................................ 673,662
----------
NET GAIN ........................................ 685,459
----------
Net unrealized appreciation/depreciation on:
Investments ...................................... 8,601,171
Futures contracts ................................ (116,525)
----------
NET APPRECIATION ................................ 8,484,646
----------
NET GAIN ........................................ 9,170,105
----------
NET INCREASE ...................................... $9,077,212
==========
</TABLE>
- ---------------------
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL STATEMENTS, continued
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 28, 1998*
THROUGH
FEBRUARY 28, 1999
--------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss ............................................ $ (92,893)
Net realized gain .............................................. 685,459
Net unrealized appreciation .................................... 8,484,646
-----------
NET INCREASE ................................................. 9,077,212
-----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A shares ............................................... (3,651)
Class B shares ............................................... (13,797)
Class C shares ............................................... (301)
Class D shares ............................................... (252)
Net realized gain
Class A shares ............................................... (4,603)
Class B shares ............................................... (128,154)
Class C shares ............................................... (8,097)
Class D shares ............................................... (235)
-----------
TOTAL DIVIDENDS AND DISTRIBUTIONS ........................... (159,090)
-----------
Net increase from transactions in shares of beneficial interest 83,891,824
-----------
NET INCREASE ................................................. 92,809,946
NET ASSETS:
Beginning of period ............................................ 100,000
-----------
END OF PERIOD ................................................ $92,909,946
===========
</TABLE>
- ---------------------
* Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Dean Witter S&P 500 Select 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 a total return (before expenses) that exceeds 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, under normal circumstances,
at least 80% of the value of its net assets in common stocks of selected
companies included in the S&P 500 Index. The Fund was organized as a
Massachusetts business trust on June 8, 1998 and had no operations other than
those relating to organizational matters and the issuance of 2,500 shares of
beneficial interest by each class for $25,000 of each class to Morgan Stanley
Dean Witter Advisors Inc. (the "Investment Manager") to effect the Fund's
initial capitalization. The Fund commenced operations on September 28, 1998.
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 security listed or traded on the
New York, American or other domestic or foreign stock exchange is valued at its
latest sale price on that exchange prior to the time when assets are valued; if
there were no sales that day, the security is valued at the latest bid price
(in cases where a security is traded on more than one exchange, the security is
valued on the exchange designated as the primary market pursuant to procedures
adopted by the Trustees); (2) all other portfolio securities for which
over-the-counter market quotations are readily available are valued at the
latest available bid price prior to the time of valuation; (3) when market
quotations are not readily available, including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees; and (4) short-term debt securities having
a maturity date of more than sixty days at time of
16
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999, continued
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 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999, 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. OFFERING COSTS -- The Investment Manager incurred offering costs on behalf
of the Fund in the amount of approximately $143,000 which will be reimbursed
for the full amount thereof. Such expenses were deferred and are being
amortized by the Fund on the straight-line method over a period of
approximately one year or less from the commencement of operations.
2. INVESTMENT MANAGEMENT AGREEMENT
Pursuant to an Investment Management Agreement, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
annual rate of 0.60% to the net assets of the Fund determined as of the close
of each business day.
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services,
heat, light, power and other utilities provided to the Fund.
The Investment Manager agreed to assume all operating expenses (except for plan
of distribution fees) and waive the compensation provided for in the Agreement
until such time as the Fund had $50 million of net assets or until March 28,
1999, whichever occurred first. The Fund attained $50 million of net assets on
November 13, 1998. At February 28, 1999, included in the Statement of Assets
and Liabilities, is a receivable from an affiliate which represents expense
reimbursements due to 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 paid under the Plan are paid to the
Distributor for (1) services provided and the expenses borne by it and
18
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999, continued
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 $2,944,607 at February 28, 1999.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Dean Witter Financial Advisors or other
selected broker-dealer representatives may be reimbursed in the subsequent
calendar year. For the period ended February 28, 1999, the distribution fee was
accrued for Class A shares and Class C shares at the annual rate of 0.25% and
1.0%, respectively.
The Distributor has informed the Fund that for the period ended February 28,
1999, it received contingent deferred sales charges from certain redemptions of
the Fund's Class B shares and Class C shares of $34,119 and $3,891,
respectively and received $21,224 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 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999, 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 period ended February 28, 1999
aggregated $78,352,276 and $2,013,422, respectively.
Morgan Stanley Dean Witter Trust FSB, an affiliate of the Investment Manager
and Distributor, is the Fund's transfer agent.
5. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 28, 1998*
THROUGH
FEBRUARY 28, 1999
-------------------------------
SHARES AMOUNT
------------- ---------------
<S> <C> <C>
CLASS A
Sold ................................................ 287,669 $ 3,063,240
Reinvestment of dividends and distributions ......... 696 8,153
Redeemed ............................................ (13,507) (148,699)
------- ------------
Net increase -- Class A ............................. 274,858 2,922,694
------- ------------
CLASS B
Sold ................................................ 7,352,876 78,346,802
Reinvestment of dividends and distributions ......... 11,216 131,227
Redeemed ............................................ (309,382) (3,536,821)
--------- ------------
Net increase -- Class B ............................. 7,054,710 74,941,208
--------- ------------
CLASS C
Sold ................................................ 590,107 6,366,780
Reinvestment of dividends and distributions ......... 691 8,077
Redeemed ............................................ (47,886) (514,807)
--------- ------------
Net increase -- Class C ............................. 542,912 5,860,050
--------- ------------
CLASS D
Sold ................................................ 14,665 167,520
Reinvestment of dividends and distributions ......... 42 488
Redeemed ............................................ (11) (136)
--------- ------------
Net increase -- Class D ............................. 14,696 167,872
--------- ------------
Net increase in Fund ................................ 7,887,176 $ 83,891,824
========= ============
</TABLE>
- ---------------
* Commencement of operations.
20
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS February 28, 1999, continued
6. FEDERAL INCOME TAX STATUS
As of February 28, 1999, the Fund had temporary book/tax differences primarily
attributable to the mark-to-market of futures contracts and permanent book/tax
differences primarily attributable to nondeductible expenses. To reflect
reclassifications arising from the permanent differences, paid-in-capital was
charged $96,205, undistributed net realized gain was charged $14,689 and net
investment income was credited $110,894.
7. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
The Fund may purchase and sell stock index futures ("futures contracts") for
the following reasons: to simulate full investment in the S&P 500 Index while
retaining a cash balance for fund management purposes; to facilitate trading;
to reduce transaction costs; or to seek higher investment returns when a
futures contract is priced more attractively than stocks comprising the S&P 500
Index.
These futures contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Fund bears the risk
of an unfavorable change in the value of the underlying securities.
At February 28, 1999, the Fund had outstanding futures contracts.
21
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout the period:
<TABLE>
<CAPTION>
FOR THE PERIOD SEPTEMBER 28, 1998*
THROUGH FEBRUARY 28, 1999**
---------------------------------------------------------
CLASS A CLASS B CLASS C CLASS D
SHARES SHARES SHARES SHARES
----------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $ 10.00 $ 10.00 $ 10.00 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income (loss) ................... 0.02 (0.02) ( 0.02) 0.02
Net realized and unrealized gain ............... 1.81 1.80 1.81 1.81
------- ------- ------- -------
Total income from investment operations ......... 1.83 1.78 1.79 1.83
------- ------- ------- -------
Less dividends and distributions from:
Net investment income .......................... (0.02) --++ --++ (0.02)
Net realized gains ............................. (0.02) (0.02) ( 0.02) (0.02)
-------- ------- ------- --------
Total dividends and distributions ............... (0.04) (0.02) ( 0.02) (0.04)
-------- ------- ------- --------
Net asset value, end of period .................. $ 11.79 $ 11.76 $ 11.77 $ 11.79
======== ======= ======= ========
TOTAL RETURN+(1) ................................ 18.32% 17.96% 17.94% 18.38%
RATIOS TO AVERAGE NET ASSETS(2)(3)(4):
Expenses ........................................ 1.23% 1.98% 1.98% 0.98%
Net investment income ........................... 0.38% (0.37)% (0.37)% 0.63%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $ 3,269 $83,021 $6,417 $ 203
Portfolio turnover rate (1) ..................... 3% 3% 3% 3%
</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.
++ Excludes $0.002484 and $0.000859 of dividends from net investment income
for Class B and Class C, respectively.
(1) Not annualized.
(2) Annualized.
(3) If the Fund had borne all of its expenses that were reimbursed or waived
by the Investment Manager, the annualized expense and the net investment
income ratios would have been 1.55% and 0.06%, respectively, for Class A
shares, 2.30% and (0.69)%, respectively, for Class B shares, 2.30% and
(0.69)%, respectively, for Class C shares and 1.30% and 0.31%,
respectively, for Class D shares.
(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 SELECT FUND
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES
OF MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Morgan Stanley Dean Witter S&P 500
Select Fund (the "Fund") at February 28, 1999, and the results of its
operations, the changes in its net assets and the financial highlights for the
period September 28, 1998 (commencement of operations) through February 28,
1999, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audit, which included confirmation of
securities at February 28, 1999 by correspondence with the custodian and
brokers, provides a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
April 14, 1999
1999 FEDERAL TAX NOTICE (unaudited)
For the period ended February 28, 1999, the Fund paid to shareholders
$0.01 per share from long-term capital gains. For such period, 97.46% of
the income paid qualified for the dividends received deduction available
to corporations.
23
<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
John R. Haire
Wayne E. Hedien
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Barry Fink
Vice President, Secretary and General Counsel
Guy Rutherford, Jr.
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Morgan Stanley Dean Witter Trust FSB
Harborside Financial Center - Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
INVESTMENT MANAGER
Morgan Stanley Dean Witter Advisors Inc.
Two World Trade Center
New York, New York 10048
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and trustees,
fees, expenses and other pertinent information, please see the prospectus of
the Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus.
MORGAN STANLEY
DEAN WITTER
S&P 500
SELECT FUND
ANNUAL REPORT
FEBRUARY 28, 1999
