<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND Two World Trade Center,
LETTER TO THE SHAREHOLDERS August 31, 2000 New York, New York 10048
DEAR SHAREHOLDER:
During the six-month period ended August 31, 2000, inflation moderated while
growth in the economy continued to be robust. A confluence of events in March
and April raised concerns about a slowdown in the deployment of new technology,
which in turn led to a sharp correction in the Nasdaq and new-economy stocks.
First, the Department of Justice moved to split up Microsoft to prevent it from
using its monopoly power to restrain competition. Second, President Clinton
spoke of potential controls on the patenting of intellectual property in the
genomics area. The Federal Reserve Board raised the federal funds rate a total
of 75 basis points during the first half of the period, prompted by continued
evidence that the economy was on the verge of overheating. In the latter half
of the period, the economy began to show signs of decelerating, as retail
sales, construction spending and employment registered weaker numbers than
expected. With the Federal Reserve Board keeping rates unchanged at the most
recent meeting of the Federal Open Market Committee, we are optimistic that the
economy can achieve a soft landing.
PERFORMANCE AND PORTFOLIO STRATEGY
For the six-month period ended August 31, 2000, Morgan Stanley Dean Witter S&P
500 Select Fund's Class A, B, C and D shares posted total returns of 11.07
percent, 10.63 percent, 10.63 percent and 11.19 percent, respectively. For the
same period, the Standard and Poor's 500 Index (S&P 500) returned 11.72
percent.* The performance of the Fund's four share classes varies because each
has different expenses. The total return figures given assume the reinvestment
of all distributions but do not reflect the deduction of any applicable sales
charges.
----------
* The Standard and Poor's 500 Index (S&P 500(Reg. TM)) is a broad-based
index, the performance of which is based on the performance of 500
widely held common stocks chosen for market size, liquidity and industry
group representation. The Index does not include any expenses, fees or
charges. The Index is unmanaged and should not be considered an
investment.
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
LETTER TO THE SHAREHOLDERS August 31, 2000, continued
The Fund seeks to deliver investment performance, before expenses, that is
higher than the total return of the S&P 500 by investing in the common stocks
of selected companies included in the Index. The Fund seeks, according to the
recommendations and research of Wall Street analysts, to filter out potentially
underperforming stocks from the Index while focusing on stronger performers.
Based on these criteria, the Fund ended the period slightly overweighted in
technology and communications services, capital goods and energy and slightly
underweighted in the basic materials, consumer cyclicals, consumer staples,
financials, health care, utilities and transportation sectors. The Fund
remained diversified across a broad range of industries and companies in an
effort to reduce the volatility of specific sectors.
LOOKING AHEAD
In the months ahead, we believe that the stock market will show continued
volatility as a result of concerns over earnings and valuations. Certain
sectors, however, should exhibit strong earnings growth. Through its selection
criteria the Fund will seek to identify and overweight these sectors while
maintaining a diversified portfolio.
We appreciate your ongoing support of Morgan Stanley Dean Witter S&P 500 Select
Fund and look forward to continuing to serve your investment needs.
Very truly yours,
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
CHARLES A. FIUMEFREDDO MITCHELL M. MERIN
Chairman of the Board President
2
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FUND PERFORMANCE August 31, 2000
AVERAGE ANNUAL TOTAL RETURNS
--------------------------------------------------------------------------------
CLASS A SHARES*
---------------------------------------------------------------
PERIOD ENDED 8/31/00
---------------------------
1 Year 16.12%(1) 10.02%(2)
Since Inception (9/28/98) 21.96%(1) 18.59%(2)
CLASS B SHARES**
---------------------------------------------------------------
PERIOD ENDED 8/31/00
---------------------------
1 Year 15.34%(1) 10.34%(2)
Since Inception (9/28/98) 21.04%(1) 19.29%(2)
CLASS C SHARES+
---------------------------------------------------------------
PERIOD ENDED 8/31/00
---------------------------
1 Year 15.25%(1) 14.25%(2)
Since Inception (9/28/98) 21.04%(1) 21.04%(2)
CLASS D SHARES#
-----------------------------------------------
PERIOD ENDED 8/31/00
---------------------------
1 Year 16.41%(1)
Since Inception (9/28/98) 22.25%(1)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH
LESS THAN THEIR ORIGINAL COST.
---------------
(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 contingent deferred sales charge for Class C shares is 1% for
shares redeemed within one year of purchase.
# Class D shares have no sales charge.
3
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
COMMON STOCKS (92.7%)
Advertising/Marketing Services (0.2%)
2,917 Interpublic Group of Companies,
Inc. ............................... $ 111,575
1,725 Omnicom Group, Inc. .................. 143,930
694 Young & Rubicam, Inc. ................ 40,599
------------
296,104
------------
Aerospace & Defense (0.6%)
9,397 Boeing Co. ........................... 503,914
2,058 General Dynamics Corp. ............... 129,525
1,121 Goodrich (B.F.) Co. (The) ............ 45,751
3,287 Lockheed Martin Corp. ................ 93,269
1,108 Textron, Inc. ........................ 62,117
------------
834,576
------------
Agricultural Commodities/
Milling (0.0%)
4,842 Archer-Daniels-Midland Co. ........... 42,666
------------
Air Freight/Couriers (0.1%)
2,220 FedEx Corp.* ......................... 89,577
------------
Airlines (0.2%)
1,290 AMR Corp.* ........................... 42,328
1,306 Delta Air Lines, Inc. ................ 64,647
5,354 Southwest Airlines Co. ............... 121,134
------------
228,109
------------
Alternative Power Generation (0.2%)
4,141 AES Corp. (The)* ..................... 263,989
------------
Aluminum (0.3%)
2,120 Alcan Aluminium, Ltd. (Canada) ....... 69,562
8,436 Alcoa, Inc. .......................... 280,497
------------
350,059
------------
Apparel/Footwear (0.1%)
555 Liz Claiborne, Inc. .................. 24,385
2,830 Nike, Inc. (Class B) ................. 111,962
380 Russell Corp. ........................ 7,244
874 VF Corp. ............................. 19,993
------------
163,584
------------
Apparel/Footwear Retail (0.2%)
6,516 Gap, Inc. (The) ...................... 146,203
4,202 Limited, Inc. (The) .................. 84,040
1,877 Nordstrom, Inc. ...................... 32,378
2,888 TJX Companies, Inc. (The) ............ 54,330
------------
316,951
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Auto Parts: O.E.M. (0.3%)
8,433 Delphi Automotive Systems Corp........ $ 138,617
713 Eaton Corp. .......................... 47,325
863 Johnson Controls, Inc. ............... 46,117
1,815 TRW Inc. ............................. 82,923
1,900 Visteon Corp. ........................ 29,806
------------
344,788
------------
Beverages: Non-Alcoholic (1.3%)
18,956 Coca-Cola Co.** ...................... 997,559
3,220 Coca-Cola Enterprises Inc. ........... 59,972
14,065 PepsiCo, Inc. ........................ 599,521
------------
1,657,052
------------
Beverages: Alcoholic (0.3%)
4,428 Anheuser-Busch Companies, Inc......... 348,982
362 Coors (Adolph) Co. (Class B) ......... 21,562
------------
370,544
------------
Biotechnology (0.8%)
10,041 Amgen Inc.* .......................... 761,233
1,137 Biogen, Inc.* ........................ 78,595
2,056 MedImmune, Inc.* ..................... 172,961
------------
1,012,789
------------
Broadcasting (0.2%)
3,708 Clear Channel Communications,
Inc.* .............................. 268,366
------------
Building Products (0.1%)
4,894 Masco Corp. .......................... 95,433
------------
Cable/Satellite TV (0.2%)
8,782 Comcast Corp. (Class A Special)*...... 327,129
------------
Casino/Gaming (0.0%)
1,179 Harrah's Entertainment, Inc.* ........ 33,454
------------
Chemicals: Major Diversified (0.5%)
5,782 Dow Chemical Co. (The) ............... 151,416
8,958 Du Pont (E.I.) de Nemours & Co.,
Inc. ............................... 401,990
2,332 Rohm & Haas Co. ...................... 67,482
------------
620,888
------------
Chemicals: Specialty (0.2%)
1,961 Air Products & Chemicals, Inc. ....... 71,209
977 Engelhard Corp. ...................... 18,319
232 FMC Corp.* ........................... 15,732
663 Grace (W. R.) & Co.* ................. 5,263
1,712 Praxair, Inc. ........................ 75,756
837 Sigma-Aldrich Corp. .................. 24,325
------------
210,604
------------
See Notes to Financial Statements
4
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Commercial Printing/Forms (0.0%)
1,500 Deluxe Corp. ......................... $ 33,000
------------
Computer Communications (3.6%)
1,395 Cabletron Systems, Inc.* ............. 52,225
67,992 Cisco Systems, Inc.* ................. 4,657,452
------------
4,709,677
------------
Computer Peripherals (2.0%)
22,438 EMC Corp.* ........................... 2,198,924
1,333 Lexmark International Group, Inc.* 90,394
2,963 Network Appliance, Inc.* ............. 346,671
------------
2,635,989
------------
Computer Processing Hardware (5.7%)
3,201 Apple Computer, Inc.* ................ 195,061
13,004 Compaq Computer Corp. ................ 442,949
25,149 Dell Computer Corp.* ................. 1,097,125
3,124 Gateway, Inc.* ....................... 212,744
9,776 Hewlett-Packard Co. .................. 1,180,452
17,322 International Business Machines
Corp. .............................. 2,286,504
943 NCR Corp.* ........................... 38,074
4,148 Palm, Inc.* .......................... 182,512
15,505 Sun Microsystems, Inc.* .............. 1,968,166
------------
7,603,587
------------
Construction Materials (0.0%)
959 Vulcan Materials Co. ................. 42,496
------------
Consumer Sundries (0.0%)
499 American Greetings Corp.
(Class A) .......................... 9,294
------------
Containers/Packaging (0.1%)
382 Ball Corp. ........................... 13,227
482 Bemis Company, Inc. .................. 16,147
1,884 Owens-Illinois, Inc.* ................ 24,610
1,294 Pactiv Corp.* ........................ 14,234
837 Sealed Air Corp.* .................... 42,949
522 Temple-Inland, Inc. .................. 22,152
------------
133,319
------------
Contract Drilling (0.1%)
912 Rowan Companies, Inc.* ............... 28,272
2,065 Transocean Sedco Forex Inc. .......... 123,384
------------
151,656
------------
Data Processing Services (0.4%)
4,803 Automatic Data Processing, Inc. ...... 286,379
1,466 Ceridian Corp.* ...................... 35,459
4,015 First Data Corp. ..................... 191,465
------------
513,303
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Department Stores (0.3%)
2,475 Federated Department Stores,
Inc.* .............................. $ 68,372
4,457 Kohl's Corp.* ........................ 249,592
2,728 Sears, Roebuck & Co. ................. 85,079
------------
403,043
------------
Discount Stores (1.9%)
849 Consolidated Stores Corp.* ........... 11,568
3,457 Costco Wholesale Corp.* .............. 119,050
3,163 Dollar General Corp. ................. 65,039
8,996 Target Corp. ......................... 209,157
43,927 Wal-Mart Stores, Inc.** .............. 2,083,787
------------
2,488,601
------------
Drugstore Chains (0.3%)
3,966 CVS Corp. ............................ 147,238
8,165 Walgreen Co. ......................... 268,424
------------
415,662
------------
Electric Utilities (1.3%)
1,366 CMS Energy Corp. ..................... 35,687
2,638 Consolidated Edison, Inc. ............ 82,602
1,862 Constellation Energy Group, Inc....... 71,221
2,962 Dominion Resources, Inc. ............. 156,986
5,328 Duke Energy Corp. .................... 398,601
2,862 Entergy Corp. ........................ 87,112
2,217 FPL Group, Inc. ...................... 118,332
2,495 PECO Energy Co. ...................... 120,228
1,054 Pinnacle West Capital Corp. .......... 43,412
2,692 Public Service Enterprise Group,
Inc. ............................... 97,585
8,073 Southern Co. (The) ................... 241,685
3,282 TXU Corp. ............................ 114,665
2,212 Unicom Corp. ......................... 101,061
4,201 Xcel Energy, Inc. .................... 105,286
------------
1,774,463
------------
Electrical Products (0.3%)
1,878 American Power Conversion
Corp.* ............................. 44,720
4,188 Emerson Electric Co. ................. 277,193
1,513 Molex Inc. ........................... 79,905
------------
401,818
------------
Electronic Components (0.3%)
1,466 Sanmina Corp.* ....................... 172,988
5,876 Solectron Corp.* ..................... 266,256
------------
439,244
------------
See Notes to Financial Statements
5
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Electronic Equipment/
Instruments (0.9%)
4,409 Agilent Technologies, Inc.* ............... $ 265,918
6,482 JDS Uniphase Corp.* ....................... 806,908
495 PerkinElmer, Inc. ......................... 44,519
1,450 Rockwell International Corp. .............. 58,634
458 Tektronix, Inc.* .......................... 34,894
------------
1,210,873
------------
Electronic Production
Equipment (0.7%)
7,891 Applied Materials, Inc.* .................. 681,092
1,832 KLA-Tencor Corp.* ......................... 120,225
1,271 Novellus Systems, Inc.* ................... 78,246
1,700 Teradyne, Inc.* ........................... 110,181
------------
989,744
------------
Electronics/Appliance Stores (0.2%)
2,002 Best Buy Co., Inc.* ....................... 123,623
1,983 Circuit City Stores, Inc.- Circuit
City Group .............................. 51,434
1,810 RadioShack Corp. .......................... 106,790
------------
281,847
------------
Electronics/Appliances (0.0%)
600 Maytag Corp. .............................. 22,875
580 Polaroid Corp. ............................ 9,860
559 Whirlpool Corp. ........................... 21,242
------------
53,977
------------
Engineering & Construction (0.0%)
866 Fluor Corp. ............................... 25,926
------------
Environmental Services (0.1%)
5,510 Waste Management, Inc. .................... 104,346
------------
Finance/Rental/Leasing (1.6%)
6,782 Associates First Capital Corp.
(Class A) ............................... 190,744
1,928 Capital One Financial Corp. ............... 116,282
3,072 CIT Group, Inc. (The) (Series A) .......... 53,760
1,121 Countrywide Credit Industries,
Inc. .................................... 42,458
11,498 Fannie Mae ................................ 618,017
7,919 Freddie Mac ............................... 333,588
4,635 Household International, Inc. ............. 222,480
8,343 MBNA Corp. ................................ 294,612
1,380 Providian Financial Corp. ................. 158,614
455 Ryder System, Inc. ........................ 8,730
1,458 USA Education Inc. ........................ 57,135
------------
2,096,420
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Financial Conglomerates (2.8%)
12,439 American Express Co. ...................... $ 735,456
51,388 Citigroup, Inc. ........................... 2,999,775
------------
3,735,231
------------
Financial Publishing/Services (0.2%)
1,375 Dun & Bradstreet Corp. (The) .............. 45,375
1,396 Equifax, Inc. ............................. 35,511
1,920 McGraw-Hill Companies, Inc. ............... 118,920
------------
199,806
------------
Food Distributors (0.1%)
1,288 Supervalu, Inc. ........................... 19,239
2,551 SYSCO Corp. ............................... 107,939
------------
127,178
------------
Food Retail (0.4%)
3,397 Albertson's, Inc. ......................... 73,035
8,500 Kroger Co.* ............................... 192,844
5,044 Safeway Inc.* ............................. 248,732
------------
514,611
------------
Food: Major Diversified (0.8%)
3,034 Bestfoods ................................. 214,276
3,804 General Mills, Inc. ....................... 122,203
3,892 Heinz (H.J.) Co. .......................... 148,382
3,608 Nabisco Group Holdings Corp. .............. 101,249
3,960 Quaker Oats Company (The) ................. 269,032
3,390 Ralston-Ralston Purina Group .............. 76,699
9,610 Sara Lee Corp. ............................ 178,986
------------
1,110,827
------------
Food: Meat/Fish/Dairy (0.1%)
6,465 ConAgra, Inc. ............................. 118,390
------------
Food: Specialty/Candy (0.1%)
1,516 Hershey Foods Corp. ....................... 64,714
1,263 Wrigley (Wm.) Jr. Co. ..................... 93,541
------------
158,255
------------
Gas Distributors (0.1%)
817 KeySpan Corp. ............................. 28,135
361 Nicor Inc. ................................ 13,312
227 ONEOK, Inc. ............................... 7,250
274 Peoples Energy Corp. ...................... 8,905
1,590 Sempra Energy ............................. 31,005
------------
88,607
------------
Home Building (0.0%)
726 Centex Corp. .............................. 20,963
368 Kaufman & Broad Home Corp. ................ 9,131
315 Pulte Corp. ............................... 10,375
------------
40,469
------------
See Notes to Financial Statements
6
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Home Furnishings (0.1%)
1,957 Leggett & Platt, Inc. ................... $ 34,614
2,035 Newell Rubbermaid, Inc. ................. 52,783
442 Tupperware Corp. ........................ 8,923
------------
96,320
------------
Home Improvement Chains (0.9%)
2,634 Home Depot, Inc. (The) .................. 1,087,847
3,736 Lowe's Companies, Inc. .................. 167,419
------------
1,255,266
------------
Hospital/Nursing Management (0.2%)
5,466 HCA-The Healthcare Corp. ................ 188,577
3,068 Tenet Healthcare Corp.* ................. 95,108
------------
283,685
------------
Hotels/Resorts/Cruiselines (0.2%)
4,629 Carnival Corp.* ......................... 92,291
2,820 Hilton Hotels Corp. ..................... 28,200
2,321 Marriott International, Inc.
(Class A) ............................. 91,679
------------
212,170
------------
Household/Personal Care (1.3%)
427 Alberto-Culver Co. (Class B) ............ 12,089
1,818 Avon Products, Inc. ..................... 71,243
2,298 Clorox Co. .............................. 83,159
10,235 Gillette Co. ............................ 307,050
1,010 International Flavors &
Fragrances, Inc. ...................... 26,008
6,626 Kimberly-Clark Corp. .................... 387,621
12,809 Procter & Gamble Co. (The) .............. 791,756
------------
1,678,926
------------
Industrial Conglomerates (5.6%)
97,232 General Electric Co. .................... 5,706,303
6,135 Honeywell International, Inc. ........... 236,581
3,042 Minnesota Mining &
Manufacturing Co. ....................... 282,906
16,523 Tyco International Ltd.
(Bermuda) ............................. 941,811
4,617 United Technologies Corp. ............... 288,274
------------
7,455,875
------------
Industrial Machinery (0.2%)
2,946 Illinois Tool Works Inc. ................ 165,160
1,598 Ingersoll-Rand Co. ...................... 72,809
1,084 Parker-Hannifin Corp. ................... 37,737
------------
275,706
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Industrial Specialties (0.2%)
1,553 Ecolab, Inc. ............................ $ 60,470
369 Millipore Corp. ......................... 22,463
1,704 PPG Industries, Inc. .................... 69,012
1,622 Sherwin-Williams Co. .................... 37,306
------------
189,251
------------
Information Technology Services (0.2%)
2,780 Computer Sciences Corp.* ................ 219,794
1,928 Sapient Corp.* .......................... 101,220
------------
321,014
------------
Insurance Brokers/Services (0.3%)
1,959 AON Corp. ............................... 73,095
2,628 Marsh & McLennan Companies,
Inc. .................................. 312,075
------------
385,170
------------
Integrated Oil (3.9%)
824 Amerada Hess Corp. ...................... 56,393
4,993 Chevron Corp. ........................... 421,909
7,003 Conoco, Inc. (Class B) .................. 182,953
34,023 Exxon Mobil Corp.** ..................... 2,777,127
2,308 Phillips Petroleum Co. .................. 142,808
20,963 Royal Dutch Petroleum Co. (ADR)
(Netherlands) ......................... 1,282,674
4,228 Texaco, Inc. ............................ 217,742
2,352 Unocal Corp. ............................ 78,498
------------
5,160,104
------------
Internet Software/Services (1.5%)
23,307 America Online, Inc.* ................... 1,366,373
5,516 Yahoo! Inc.* ............................ 670,194
------------
2,036,567
------------
Investment Banks/Brokers (1.1%)
1,389 Lehman Brothers Holdings, Inc. .......... 201,405
4,423 Merrill Lynch & Co., Inc. ............... 641,335
1,355 Paine Webber Group, Inc. ................ 96,883
12,679 Schwab (Charles) Corp. .................. 484,179
------------
1,423,802
------------
Investment Managers (0.1%)
2,267 Franklin Resources, Inc. ................ 86,146
1,998 Stillwell Financial, Inc.* .............. 96,653
------------
182,799
------------
Life/Health Insurance (0.4%)
2,157 AFLAC, Inc. ............................. 116,478
2,524 American General Corp. .................. 183,779
838 Jefferson-Pilot Corp. ................... 55,465
1,558 Lincoln National Corp. .................. 84,132
See Notes to Financial Statements
7
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
1,041 Torchmark Corp. ...................... $ 29,213
1,955 UnumProvident Corp. .................. 42,399
------------
511,466
------------
Major Banks (3.8%)
20,317 Bank of America Corp. ................ 1,088,229
9,680 Bank of New York Co., Inc. ........... 507,595
5,111 BB&T Corp. ........................... 138,316
15,941 Chase Manhattan Corp. (The) .......... 890,703
2,045 Comerica, Inc. ....................... 115,159
11,805 FleetBoston Financial Corp. .......... 503,926
6,448 Mellon Financial Corp. ............... 291,772
3,194 PNC Financial Services Group,
Inc. ............................... 188,246
2,170 SouthTrust Corp. ..................... 61,167
3,327 SunTrust Banks, Inc. ................. 164,271
8,271 U.S. Bancorp ......................... 179,894
21,146 Wells Fargo & Co. .................... 913,243
------------
5,042,521
------------
Major Telecommunications (4.4%)
3,064 ALLTEL Corp. ......................... 154,924
41,030 AT&T Corp. ........................... 1,292,445
14,410 BellSouth Corp. ...................... 537,673
33,224 SBC Communications, Inc. ............. 1,387,102
6,713 Sprint Corp. (FON Group) ............. 224,886
26,574 Verizon Communications ............... 1,159,291
28,005 WorldCom, Inc.* ...................... 1,022,183
------------
5,778,504
------------
Managed Health Care (0.3%)
1,115 Aetna Inc. ........................... 62,370
1,598 CIGNA Corp. .......................... 155,406
1,624 UnitedHealth Group Inc. .............. 153,468
635 Wellpoint Health Networks, Inc.*...... 54,808
------------
426,052
------------
Media Conglomerates (2.1%)
15,913 Disney (Walt) Co. (The) .............. 619,612
12,866 Time Warner Inc. ..................... 1,100,043
14,907 Viacom, Inc. (Class B)
(Non-Voting)* ...................... 1,003,427
------------
2,723,082
------------
Medical Distributors (0.2%)
2,700 Cardinal Health, Inc. ................ 220,894
2,157 McKesson HBOC, Inc. .................. 53,790
------------
274,684
------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Medical Specialties (1.3%)
999 ALZA Corp. * ......................... $ 75,549
386 Bard (C.R.), Inc. .................... 18,842
510 Bausch & Lomb, Inc. .................. 18,233
2,827 Baxter International, Inc. ........... 235,348
1,933 Becton, Dickinson & Co. .............. 58,232
1,726 Biomet, Inc. ......................... 58,360
3,122 Boston Scientific Corp.* ............. 59,123
2,987 Guidant Corp.* ....................... 201,062
14,425 Medtronic, Inc. ...................... 739,281
991 Pall Corp. ........................... 21,183
2,032 PE Corporation-PE Biosystems
Group .............................. 199,898
642 St. Jude Medical, Inc.* .............. 25,439
------------
1,710,550
------------
Medical/Nursing Services (0.0%)
4,716 Healthsouth Corp.* ................... 28,886
------------
Miscellaneous Commercial
Services (0.2%)
1,650 Convergys Corp.* ..................... 64,556
2,843 Paychex, Inc. ........................ 126,869
2,181 Sabre Holdings Corp.* ................ 60,795
------------
252,220
------------
Miscellaneous Manufacturing (0.2%)
465 Crane Co. ............................ 11,683
1,374 Danaher Corp. ........................ 77,202
1,605 Dover Corp. .......................... 78,444
838 ITT Industries, Inc.* ................ 28,178
1,198 Thermo Electron Corp.* ............... 27,854
------------
223,361
------------
Motor Vehicles (0.6%)
18,300 Ford Motor Company ................... 442,631
4,097 General Motors Corp. ................. 295,752
2,325 Harley-Davidson, Inc. ................ 115,814
------------
854,197
------------
Movies/Entertainment (0.2%)
3,342 Seagram Co. Ltd. (The) (Canada)....... 201,147
------------
Multi-Line Insurance (1.6%)
22,605 American International Group,
Inc. ............................... 2,014,671
2,100 Hartford Financial Services
Group, Inc. (The) .................. 139,913
------------
2,154,584
------------
See Notes to Financial Statements
8
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Office Equipment/Supplies (0.1%)
898 Avery Dennison Corp. .................... $ 48,548
2,530 Pitney Bowes, Inc. ...................... 92,503
------------
141,051
------------
Oil & Gas Pipelines (0.9%)
2,119 Coastal Corp. (The) ..................... 145,946
628 Columbia Energy Group ................... 44,078
2,284 El Paso Energy Corp. .................... 133,043
7,221 Enron Corp. ............................. 612,882
4,399 Williams Companies, Inc. (The) .......... 202,629
------------
1,138,578
------------
Oil & Gas Production (0.4%)
2,384 Anardarko Petroleum Corp. ............... 156,796
1,124 Apache Corp. ............................ 70,812
2,082 Burlington Resources, Inc. .............. 81,849
1,033 Devon Energy Corp. ...................... 60,495
907 Kerr-McGee Corp. ........................ 57,311
7,643 Occidental Petroleum Corp. .............. 165,280
------------
592,543
------------
Oil Refining/Marketing (0.1%)
540 Ashland, Inc. ........................... 19,035
864 Sunoco, Inc. ............................ 23,490
1,380 Tosco Corp. ............................. 42,090
3,476 USX-Marathon Group ...................... 95,373
------------
179,988
------------
Oilfield Services/Equipment (0.6%)
3,240 Baker Hughes Inc. ....................... 118,463
4,363 Halliburton Co. ......................... 231,239
5,573 Schlumberger Ltd. ....................... 475,447
------------
825,149
------------
Other Consumer Services (0.1%)
7,654 Cendant Corp.* .......................... 100,937
------------
Other Consumer Specialties (0.0%)
1,551 Fortune Brands, Inc. .................... 39,551
------------
Other Metals/Minerals (0.1%)
637 Allegheny Technologies Inc. ............. 13,855
1,391 Inco Ltd. (Canada)* ..................... 24,864
602 Phelps Dodge Corp. ...................... 26,789
------------
65,508
------------
Packaged Software (5.6%)
1,220 Adobe Systems, Inc. ..................... 158,600
468 Autodesk, Inc. .......................... 13,163
810 Mercury Interactive Corp.* .............. 98,972
53,386 Microsoft Corp.* ** ..................... 3,727,010
28,810 Oracle Corp.* ........................... 2,619,909
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
2,018 Siebel Systems, Inc.* ................... $ 399,186
3,968 Veritas Software Corp.* ................. 478,392
------------
7,495,232
------------
Pharmaceuticals: Generic Drugs (0.0%)
940 Watson Pharmaceuticals, Inc.* ........... 57,986
------------
Pharmaceuticals: Major (6.8%)
11,952 Abbott Laboratories ..................... 522,900
10,060 American Home Products Corp. ............ 545,126
15,216 Bristol-Myers Squibb Co. ................ 806,448
13,667 Johnson & Johnson ....................... 1,256,510
20,950 Merck & Co., Inc.** ..................... 1,463,881
70,640 Pfizer Inc.** ........................... 3,055,180
11,565 Pharmacia Corp. ......................... 677,275
16,425 Schering-Plough Corp. ................... 659,053
------------
8,986,373
------------
Pharmaceuticals: Other (0.1%)
999 Allergan, Inc. .......................... 73,052
------------
Precious Metals (0.1%)
3,062 Barrick Gold Corp. (Canada) ............. 48,801
1,225 Freeport-McMoRan Copper &
Gold, Inc. (Class B)* ................. 12,020
1,285 Newmont Mining Corp. .................... 23,853
2,535 Placer Dome Inc. (Canada) ............... 22,498
------------
107,172
------------
Property - Casualty Insurers (0.4%)
7,384 Allstate Corp. (The) .................... 214,598
1,735 Chubb Corp. (The) ....................... 132,836
755 Loews Corp. ............................. 61,108
2,102 St. Paul Companies, Inc. ................ 100,108
------------
508,650
------------
Publishing: Books/Magazines (0.0%)
690 Harcourt General, Inc. .................. 40,926
387 Meredith Corp. .......................... 10,570
------------
51,496
------------
Publishing: Newspapers (0.3%)
678 Dow Jones & Co., Inc. ................... 42,417
2,608 Gannett Co., Inc. ....................... 147,678
594 Knight-Ridder, Inc. ..................... 32,447
1,630 New York Times Co. (The)
(Class A) ............................. 63,876
2,361 Tribune Co. ............................. 84,258
------------
370,676
------------
Pulp & Paper (0.3%)
713 Boise Cascade Corp. ..................... 21,301
2,015 Fort James Corp. ........................ 63,724
See Notes to Financial Statements
9
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
1,839 Georgia-Pacific Corp. ................. $ 49,193
6,224 International Paper Co. ............... 198,390
1,108 Mead Corp. ............................ 29,708
1,084 Westavaco Corp. ....................... 29,675
1,194 Willamette Industries, Inc. ........... 36,417
------------
428,408
------------
Railroads (0.2%)
3,842 Burlington Northern Santa Fe
Corp. ............................... 85,965
1,959 CSX Corp. ............................. 46,771
2,223 Union Pacific Corp. ................... 88,364
------------
221,100
------------
Recreational Products (0.3%)
673 Brunswick Corp. ....................... 12,619
4,667 Eastman Kodak Co. ..................... 290,521
1,641 Hasbro, Inc. .......................... 20,205
3,260 Mattel, Inc. .......................... 32,193
------------
355,538
------------
Regional Banks (0.5%)
4,322 AmSouth Bancorporation ................ 78,877
5,110 Fifth Third Bancorp ................... 236,018
12,711 Firstar Corp. ......................... 303,475
1,510 Old Kent Financial Corp. .............. 44,262
------------
662,632
------------
Restaurants (0.3%)
947 Darden Restaurants, Inc. .............. 16,750
10,234 McDonald's Corp. ...................... 305,741
1,812 Starbucks Corp.* ...................... 66,365
1,129 Tricon Global Restaurants, Inc.* ...... 32,882
871 Wendy's International, Inc. ........... 16,440
------------
438,178
------------
Savings Banks (0.2%)
2,041 Charter One Financial, Inc. ........... 48,474
1,517 Golden West Financial Corp. ........... 72,247
5,322 Washington Mutual, Inc. ............... 186,270
------------
306,991
------------
Semiconductors (6.6%)
2,352 Advanced Micro Devices, Inc.* ......... 88,494
3,896 Altera Corp.* ......................... 252,510
3,468 Analog Devices, Inc.* ................. 348,534
2,108 Broadcom Corp. (Class A)* ............. 527,000
2,131 Conexant Systems, Inc.* ............... 79,247
65,618 Intel Corp.** ......................... 4,913,148
3,067 Linear Technology Corp. ............... 220,632
2,998 LSI Logic Corp.* ...................... 107,741
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
2,772 Maxim Integrated Products, Inc.*....... $ 243,070
5,440 Micron Technology, Inc.* .............. 444,720
1,712 National Semiconductor Corp.* ......... 76,184
16,893 Texas Instruments, Inc. ............... 1,130,775
3,157 Xilinx, Inc.* ......................... 280,578
------------
8,712,633
------------
Services to the Health Industry (0.0%)
2,528 IMS Health Inc. ....................... 47,716
------------
Specialty Insurance (0.1%)
1,180 MBIA, Inc. ............................ 77,585
1,260 MGIC Investment Corp. ................. 74,104
------------
151,689
------------
Specialty Stores (0.2%)
1,621 AutoZone, Inc.* ....................... 36,473
3,246 Bed Bath & Beyond Inc.* ............... 57,008
5,745 Staples, Inc.* ........................ 88,329
1,680 Tiffany & Co. ......................... 69,930
------------
251,740
------------
Specialty Telecommunications (0.8%)
1,350 CenturyTel, Inc. ...................... 38,897
6,754 Global Crossing Ltd. (Bermuda)*........ 203,042
15,962 Qwest Communications
International, Inc.* .................. 824,038
------------
1,065,977
------------
Steel (0.1%)
1,010 Bethlehem Steel Corp.* ................ 3,535
808 Nucor Corp. ........................... 29,694
818 USX-U.S. Steel Group .................. 14,213
660 Worthington Industries, Inc. .......... 6,889
------------
54,331
------------
Telecommunication Equipment (4.9%)
6,614 ADC Telecommunications, Inc.* ......... 270,761
798 Andrew Corp.* ......................... 23,641
1,486 Comverse Technology, Inc.* ............ 136,619
2,695 Corning Inc. .......................... 883,792
31,845 Lucent Technologies Inc. .............. 1,331,519
21,070 Motorola, Inc. ........................ 759,837
28,936 Nortel Networks Corp. (Canada) ........ 2,360,093
5,675 QUALCOMM Inc.* ........................ 339,791
1,561 Scientific-Atlanta, Inc. .............. 121,660
3,999 Tellabs, Inc.* ........................ 224,694
------------
6,452,407
------------
Tobacco (0.5%)
22,998 Philip Morris Companies, Inc. ......... 681,316
------------
See Notes to Financial Statements
10
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
PORTFOLIO OF INVESTMENTS August 31, 2000 (unaudited) continued
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
Tools/Hardware (0.1%)
1,264 Black & Decker Corp. ............... $ 50,639
841 Snap-On, Inc. ...................... 25,913
------------
76,552
------------
Trucks/Construction/Farm
Machinery (0.1%)
2,757 Caterpillar, Inc. .................. 101,320
1,851 Deere & Co. ........................ 60,967
------------
162,287
------------
Wireless Communications (0.6%)
7,172 Nextel Communications, Inc.
(Class A)* ....................... 397,598
8,927 Sprint Corp. (PCS Group)* .......... 448,024
------------
845,622
------------
TOTAL COMMON STOCKS
(Cost $88,241,679).................. 122,925,289
------------
PRINCIPAL
AMOUNT IN
THOUSANDS
-----------
SHORT-TERM INVESTMENT (a) (6.9%)
U.S. GOVERNMENT AGENCY
$ 9,100 Federal National Mortgage Assoc.
6.53% due 09/01/00
(Cost $9,100,000)............... 9,100,000
------------
VALUE
-----------------------------------------------------------
TOTAL INVESTMENTS
(Cost $97,341,679) (b)......... 99.6% $132,025,289
OTHER ASSETS IN EXCESS OF
LIABILITIES ................... 0.4 579,775
----- ------------
NET ASSETS .................... 100.0% $132,605,064
===== ============
--------------------
ADR American Depository Receipt.
* Non-income producing security.
** Some or all of these securities are segregated in connection with open
future contracts.
(a) Purchased on a discount basis. The interest rate shown has been adjusted to
reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates the
aggregate cost for book purposes. The aggregate gross unrealized
appreciation is $38,929,182 and the aggregate gross unrealized depreciation
is $4,245,572, resulting in net unrealized appreciation of $34,683,610.
FUTURES CONTRACTS OPEN AT AUGUST 31, 2000:
DESCRIPTION, UNDERLYING
NUMBER OF DELIVERY MONTH, FACE AMOUNT UNREALIZED
CONTRACTS AND YEAR AT VALUE GAIN
-------------------------------------------------------------
25 S&P 500 Index $9,507,500 $131,788
September/2000
See Notes to Financial Statements
11
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
August 31, 2000 (unaudited)
ASSETS:
Investments in securities, at value
(cost $97,341,679) .............................. $132,025,289
Cash ............................................... 82,535
Receivable for:
Shares of beneficial interest sold ............ 493,047
Dividends ..................................... 146,127
Variation margin .............................. 110,000
Prepaid expenses and other assets .................. 88,158
------------
TOTAL ASSETS .................................. 132,945,156
------------
LIABILITIES:
Payable for:
Plan of distribution fee ...................... 103,983
Shares of beneficial interest repurchased ..... 66,364
Investment management fee ..................... 65,557
Investments purchased ......................... 62,424
Accrued expenses and other payables ................ 41,764
------------
TOTAL LIABILITIES ............................. 340,092
------------
NET ASSETS .................................... $132,605,064
============
COMPOSITION OF NET ASSETS:
Paid-in-capital .................................... $99,848,356
Net unrealized appreciation ........................ 34,815,398
Accumulated net investment loss .................... (340,232)
Accumulated net realized loss ...................... (1,718,458)
------------
NET ASSETS .................................... $132,605,064
============
CLASS A SHARES:
Net Assets ......................................... $5,266,769
Shares Outstanding (unlimited authorized, $.01
par value) ...................................... 361,931
NET ASSET VALUE PER SHARE ..................... $14.55
======
MAXIMUM OFFERING PRICE PER SHARE,
(net asset value plus 5.54% of net asset
value) ...................................... $15.36
======
CLASS B SHARES:
Net Assets ......................................... $116,033,866
Shares Outstanding (unlimited authorized, $.01
par value) ...................................... 8,080,676
NET ASSET VALUE PER SHARE ..................... $14.36
======
CLASS C SHARES:
Net Assets ......................................... $8,775,316
Shares Outstanding (unlimited authorized, $.01
par value) ...................................... 610,999
NET ASSET VALUE PER SHARE ..................... $14.36
======
CLASS D SHARES:
Net Assets ......................................... $2,529,113
Shares Outstanding (unlimited authorized, $.01
par value) ...................................... 173,106
NET ASSET VALUE PER SHARE ..................... $14.61
======
STATEMENT OF OPERATIONS
For the six months ended August 31, 2000 (unaudited)
NET INVESTMENT LOSS:
INCOME
Dividends (net of $6,175 foreign withholding
tax) ........................................... $ 655,028
Interest .......................................... 202,007
-----------
TOTAL INCOME .................................. 857,035
-----------
EXPENSES
Plan of distribution fee (Class A shares) ......... 6,377
Plan of distribution fee (Class B shares) ......... 556,802
Plan of distribution fee (Class C shares) ......... 43,154
Investment management fee ......................... 380,780
Transfer agent fees and expenses .................. 73,378
Shareholder reports and notices ................... 40,363
Registration fees ................................. 29,227
Professional fees ................................. 25,219
Custodian fees .................................... 17,721
Trustees' fees and expenses ....................... 6,158
Other ............................................. 18,088
-----------
TOTAL EXPENSES ................................ 1,197,267
-----------
NET INVESTMENT LOSS: .......................... (340,232)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments .................................. (181,469)
Futures contracts ............................ (61,495)
-----------
NET LOSS ...................................... (242,964)
-----------
Net change in unrealized
appreciation/depreciation on:
Investments .................................. 12,931,027
Futures contracts ............................ 344,030
-----------
NET APPRECIATION .............................. 13,275,057
-----------
NET GAIN ...................................... 13,032,093
-----------
NET INCREASE ...................................... $12,691,861
===========
See Notes to Financial Statements
12
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL STATEMENTS, continued
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
AUGUST 31, 2000 FEBRUARY 29, 2000
----------------- ------------------
<S> <C> <C>
(unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss .................................. $ (340,232) $ (714,457)
Net realized loss .................................... (242,964) (1,590,815)
Net change in unrealized appreciation ................ 13,275,057 13,055,695
------------ ------------
NET INCREASE ...................................... 12,691,861 10,750,423
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET REALIZED GAIN:
Class A shares ....................................... -- (16,029)
Class B shares ....................................... -- (368,751)
Class C shares ....................................... -- (29,852)
Class D shares ....................................... -- (910)
------------ ------------
TOTAL DISTRIBUTIONS ............................... -- (415,542)
------------ ------------
Net increase (decrease) from transactions in shares of
beneficial interest ................................ (1,144,065) 17,812,441
------------ ------------
NET INCREASE ...................................... 11,547,796 28,147,322
NET ASSETS:
Beginning of period .................................. 121,057,268 92,909,946
------------ ------------
END OF PERIOD
(Including a net investment loss of $340,232 and $0,
respectively) ..................................... $132,605,064 $121,057,268
============ ============
</TABLE>
See Notes to Financial Statements
13
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS August 31, 2000 (unaudited)
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 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 portfolio security listed or traded
on the New York or American Stock Exchange, NASDAQ, or other exchange is valued
at its latest sale price prior to the time when assets are valued; if there
were no sales that day, the security is valued at the latest bid price (in
cases where a security is traded on more than one exchange, the security is
valued on the exchange designated as the primary market pursuant to procedures
adopted by the Trustees); (2) all other portfolio securities for which
over-the-counter market quotations are readily available are valued at the
latest available bid price; (3) when market quotations are not readily
available, including circumstances under which it is determined by 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 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.
14
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS August 31, 2000 (unaudited) continued
B. ACCOUNTING FOR INVESTMENTS - Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date.
Discounts are accreted over the life of the respective securities. Interest
income is accrued daily.
C. MULTIPLE CLASS ALLOCATIONS - Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date
such items are recognized. Distribution fees are charged directly to the
respective class.
D. FUTURES CONTRACTS - A futures contract is an agreement between two parties
to buy and sell financial instruments at a set price on a future date. Upon
entering into such a contract, the Fund is required to pledge to the broker
cash, U.S. Government securities or other liquid portfolio securities equal to
the minimum initial margin requirements of the applicable futures exchange.
Pursuant to the contract, the Fund agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in the value of the contract,
which is known as variation margin. Such receipts or payments are recorded by
the Fund as unrealized gains or losses. Upon closing of the contract, the Fund
realizes a gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
E. FEDERAL INCOME TAX STATUS - It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income to its shareholders.
Accordingly, no federal income tax provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS - The Fund records dividends and
distributions to its shareholders on the ex-dividend date. The amount of
dividends and distributions from net investment income and net realized capital
gains are determined in accordance with federal income tax regulations which
may differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes, are reported as distributions of paid-in-capital.
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.
15
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS August 31, 2000 (unaudited) continued
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Dean Witter Distributors
Inc. (the "Distributor"), an affiliate of the Investment Manager. The Fund has
adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the
Act. The Plan provides that the Fund will pay the Distributor a fee which is
accrued daily and paid monthly at the following annual rates: (i) Class A - up
to 0.25% of the average daily net assets of Class A; (ii) Class B - 1.0% of the
average daily net assets of Class B; and (iii) Class C - up to 1.0% of the
average daily net assets of Class C.
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund
pursuant to the Plan and contingent deferred sales charges paid by investors
upon redemption of Class B shares. Although there is no legal obligation for
the Fund to pay expenses incurred in excess of payments made to the Distributor
under the Plan and the proceeds of contingent deferred sales charges paid by
investors upon redemption of shares, if for any reason the Plan is terminated,
the Trustees will consider at that time the manner in which to treat such
expenses. The Distributor has advised the Fund that such excess amounts,
totaled $4,728,665 at August 31, 2000.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will 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 August 31, 2000, the distribution fee
was accrued for Class A shares and Class C shares at the annual rate of 0.25%
and 1.0%, respectively.
The Distributor has informed the Fund that for the six months ended August 31,
2000, it received contingent deferred sales charges from certain redemptions of
the Fund's Class A shares, Class B shares and Class C shares of $213, $140,521
and $6,789, respectively and received $7,276 in front-end sales charges from
sales of the Fund's Class A shares. The respective shareholders pay such
charges which are not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities,
excluding short-term investments, for the six months ended August 31, 2000
aggregated $39,460,923 and $45,923,410, respectively.
Morgan Stanley Dean Witter Trust FSB, an affiliate of the Investment Manager
and Distributor, is the Fund's transfer agent.
16
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS August 31, 2000 (unaudited) continued
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
AUGUST 31, 2000 FEBRUARY 29, 2000
-------------------------------- -------------------------------
(unaudited)
SHARES AMOUNT SHARES AMOUNT
--------------- ---------------- --------------- ---------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Sold .................................. 54,419 $ 771,268 195,682 $ 2,483,357
Reinvestment of distributions ......... -- -- 1,113 14,063
Redeemed .............................. (51,528) (708,959) (115,113) (1,473,680)
------- ------------- -------- -------------
Net increase - Class A ................ 2,891 62,309 81,682 1,023,740
------- ------------- -------- -------------
CLASS B SHARES
Sold .................................. 991,409 13,689,543 3,616,854 45,961,205
Reinvestment of distributions ......... -- -- 26,589 334,485
Redeemed .............................. (1,085,558) (14,839,055) (2,525,828) (32,424,065)
---------- ------------- ---------- -------------
Net increase (decrease) - Class B ..... (94,149) (1,149,512) 1,117,615 13,871,625
---------- ------------- ---------- -------------
CLASS C SHARES
Sold .................................. 103,552 1,424,097 379,260 4,809,371
Reinvestment of distributions ......... -- -- 2,318 29,166
Redeemed .............................. (196,138) (2,672,625) (223,405) (2,877,016)
---------- ------------- ---------- -------------
Net increase (decrease) - Class C ..... (92,586) (1,248,528) 158,173 1,961,521
---------- ------------- ---------- -------------
CLASS D SHARES
Sold .................................. 90,183 1,259,917 76,694 1,032,652
Reinvestment of distributions ......... -- -- 54 685
Redeemed .............................. (4,889) (68,251) (6,132) (77,782)
---------- ------------- ---------- -------------
Net increase - Class D ................ 85,294 1,191,666 70,616 955,555
---------- ------------- ---------- -------------
Net increase (decrease) in Fund ....... (98,550) $ (1,144,065) 1,428,086 $ 17,812,441
========== ============= ========== =============
</TABLE>
6. FEDERAL INCOME TAX STATUS
As of February 28, 2000, the Fund had a net capital loss carryover of
approximately $746,000, which will be available though February 29, 2008 to
offset future capital gains to the extent provided by regulations.
Capital losses incurred after October 31 ("post-October" losses) within the
taxable year are deemed to arise on the first business day of the Fund's next
taxable year. The Fund incurred and will elect to defer net capital losses of
approximately $612,000 during fiscal 2000.
17
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
NOTES TO FINANCIAL STATEMENTS August 31, 2000 (unaudited) continued
As of February 29, 2000, the Fund had temporary book/tax differences primarily
attributable to post-October losses, the mark-to-market of 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 August 31, 2000, the Fund had outstanding futures contracts.
18
<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 each period:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR SEPTEMBER 28, 1998*
MONTHS ENDED ENDED THROUGH
AUGUST 31, 2000 FEBRUARY 29, 2000 FEBRUARY 28, 1999
----------------- ------------------- ----------------------
<S> <C> <C> <C>
(unaudited)
CLASS A SHARES #
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $13.10 $11.79 $10.00
------ ------ ------
Income from investment operations:
Net investment income .......................... 0.01 0.01 0.02
Net realized and unrealized gain ............... 1.44 1.34 1.81
------ ------ ------
Total income from investment operations ......... 1.45 1.35 1.83
------ ------ ------
Less dividends and distributions from:
Net investment income .......................... -- - (0.02)
Net realized gains ............................. -- (0.04) (0.02)
------ ------ ------
Total dividends and distributions ............... -- (0.04) (0.04)
------ ------ ------
Net asset value, end of period .................. $14.55 $13.10 $11.79
====== ====== ======
TOTAL RETURN+ .................................. 11.07%(1) 11.50% 18.32%(1)
RATIOS TO AVERAGE NET ASSETS (4):
Expenses ........................................ 1.18%(2) 1.22% 1.23%(2)(3)
Net investment income ........................... 0.16%(2) 0.11% 0.38%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $5,267 $4,703 $3,269
Portfolio turnover rate ......................... 33%(1) 26% 3%(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 the net investment
income ratios would have been 1.55% and 0.06%, respectively, for the
period ended February 28, 1999.
(4) Reflects overall Fund ratios for investment income and non-class specific
expenses.
See Notes to Financial Statements
19
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL HIGHLIGHTS, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR SEPTEMBER 28, 1998*
MONTHS ENDED ENDED THROUGH
AUGUST 31, 2000 FEBRUARY 29, 2000 FEBRUARY 28, 1999
------------------- ------------------- ------------------------
<S> <C> <C> <C>
(unaudited)
CLASS B SHARES#
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............... $12.98 $11.76 $10.00
------ ------ ------
Income (loss) from investment operations:
Net investment loss ............................... (0.04) (0.08) (0.02)
Net realized and unrealized gain .................. 1.42 1.34 1.80
------ ------ ------
Total income from investment operations ............ 1.38 1.26 1.78
------ ------ ------
Less distributions from net realized gains ......... -- (0.04) (0.02)#
------ ------ ------
Net asset value, end of period ..................... $14.36 $12.98 $11.76
====== ====== ======
TOTAL RETURN+ ..................................... 10.63 %(1) 10.67 % 17.96 %(1)
RATIOS TO AVERAGE NET ASSETS (4):
Expenses ........................................... 1.93 %(2) 1.97 % 1.98 %(2)(3)
Net investment loss ................................ (0.59)%(2) (0.64)% (0.37)%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ............ $116,034 $106,070 $83,021
Portfolio turnover rate ............................ 33 %(1) 26 % 3 %(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.
++ Includes $0.002 of dividends from net investment income.
(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 2.30% and (0.69)%, respectively, for period
ended February 28, 1999.
(4) Reflects overall Fund ratios for investment income and non-class specific
expenses.
See Notes to Financial Statements
20
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL HIGHLIGHTS, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR SEPTEMBER 28, 1998*
MONTHS ENDED ENDED THROUGH
AUGUST 31, 2000 FEBRUARY 29, 2000 FEBRUARY 28, 1999
------------------- ------------------- ------------------------
<S> <C> <C> <C>
(unaudited)
CLASS C SHARES#
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............... $12.98 $11.77 $10.00
------ ------ ------
Income (loss) from investment operations:
Net investment loss ............................... (0.04) (0.08) (0.02)
Net realized and unrealized gain .................. 1.42 1.33 1.81
------ ------ ------
Total income from investment operations ............ 1.38 1.25 1.79
------ ------ ------
Less distributions from net realized gains ......... -- (0.04) (0.02)++
------ ------ ------
Net asset value, end of period ..................... $14.36 $12.98 $11.77
====== ====== ======
TOTAL RETURN+ ..................................... 10.63 %(1) 10.67 % 17.94 %(1)
RATIOS TO AVERAGE NET ASSETS (4):
Expenses ........................................... 1.93 %(2) 1.97 % 1.98 %(2)(3)
Net investment loss ................................ (0.59)%(2) (0.64)% (0.37)%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ............ $8,775 $9,131 $6,417
Portfolio turnover rate ............................ 33 %(1) 26 % 3 %(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.
++ Includes $.000859 of dividends from net investment income.
(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 2.30% and (0.69)%, respectively, for the
period ended February 28, 1999.
(4) Reflects overall Fund ratios for investment income and non-class specific
expenses.
See Notes to Financial Statements
21
<PAGE>
MORGAN STANLEY DEAN WITTER S&P 500 SELECT FUND
FINANCIAL HIGHLIGHTS, continued
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR SEPTEMBER 28, 1998*
MONTHS ENDED ENDED THROUGH
AUGUST 31, 2000 FEBRUARY 29, 2000 FEBRUARY 28, 1999
----------------- ------------------- ----------------------
<S> <C> <C> <C>
(unaudited)
CLASS D SHARES#
SELECTED PER SHARE DATA:
Net asset value, beginning of period ............ $13.14 $11.79 $10.00
------ ------ ------
Income from investment operations:
Net investment income .......................... 0.03 0.04 0.02
Net realized and unrealized gain ............... 1.44 1.35 1.81
------ ------ ------
Total income from investment operations ......... 1.47 1.39 1.83
------ ------ ------
Less dividends and distributions from:
Net investment income .......................... -- -- (0.02)
Net realized gains ............................. -- (0.04) (0.02)
------ ------ ------
Total dividends and distributions ............... -- (0.04) (0.04)
------ ------ ------
Net asset value, end of period .................. $14.61 $13.14 $11.79
====== ====== ======
TOTAL RETURN+ .................................. 11.19%(1) 11.84% 18.38%(1)
RATIOS TO AVERAGE NET ASSETS (4):
Expenses ........................................ 0.93%(2) 0.97% 0.98%(2)(3)
Net investment income ........................... 0.41%(2) 0.36% 0.63%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ......... $2,529 $1,153 $203
Portfolio turnover rate ......................... 33%(1) 26% 3%(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 the net investment
income ratios would have been 1.30% and 0.31%, respectively, for the
period ended February 28, 1999.
(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
CHANGE IN INDEPENDENT ACCOUNTANTS
On July 1, 2000 PricewaterhouseCoopers LLP resigned as independent accountants
of the Fund.
The reports of PricewaterhouseCoopers LLP on the financial statements of the
Fund for the past two fiscal years contained no adverse opinion or disclaimer
of opinion and were not qualified or modified as to uncertainty, audit scope or
accounting principle.
In connection with its audits for the two most recent fiscal years and through
July 1, 2000, there have been no disagreements with PricewaterhouseCoopers LLP
on any matter of accounting principles or practices, financial statement
disclosure, or auditing scope or procedure, which disagreements if not resolved
to the satisfaction of PricewaterhouseCoopers LLP would have caused them to
make reference thereto in their report on the financial statements for such
years.
The Fund, with the approval of its Board of Trustees and its Audit Committee,
engaged Deloitte & Touche LLP as its new independent accountants as of July 1,
2000.
23
<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Mitchell M. Merin
President
Barry Fink
Vice President, Secretary and General Counsel
Guy G. Rutherfurd, Jr.
Vice President
Kevin Jung
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Morgan Stanley Dean Witter Trust FSB
Harborside Financial Center - Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
Deloitte & Touche LLP
Two World Trade Center
New York, New York 10281
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 Distributors Inc., member NASD.
MORGAN STANLEY
DEAN WITTER
S&P 500
SELECT FUND
[GRAPHIC OMITTED]
SEMIANNUAL REPORT
AUGUST 31, 2000
