Morgan Stanley Investment Funds - stockselection

99 Morgan Stanley Investment Funds 30 June 2009
Diversified Alpha Plus VaR 800 (Euro) Fund
STATEMENT OF INVESTMENTS (continued)
Transferable securities and money market instruments admitted
to official exchange listing or dealt in on another regulated
market. As at 30 June 2009, expressed in Euro.
Investments
Certificate of Deposit
Nominal in
Euro unless
specified
Market
value
% of net
assets
Rabobank Nederland
0% 15/07/2009 (Netherlands) (4) 1,000,000 999,638 4.26
Total for Certificate of Deposit 4.26
Total Investment Securities 15,955,531 68.05
DERIVATIVES
OTC and exchange traded derivatives as at 30 June 2009,
expressed in Euro.
Forward Foreign Currency Exchange Contracts
Maturity
date
Amount
bought
Amount
sold
Net unrealised
gain/(loss)
as at
30 June 2009
% of net
assets
02/07/2009 50,724 AUD 40,819 USD 135 0.00
02/07/2009 962,724 CAD 847,584 USD (13,271) (0.06)
02/07/2009 1,166,110 CHF 1,080,021 USD (5,551) (0.02)
02/07/2009 3,721,206 CZK 200,492 USD 116 0.00
02/07/2009 735,306 EUR 1,035,164 USD (2,700) (0.01)
02/07/2009 596,006 GBP 971,564 USD 7,107 0.03
02/07/2009 114,315,962 HUF 560,433 USD 19,994 0.09
02/07/2009 568,227 ILS 144,738 USD 114 0.00
02/07/2009 14,465,889 JPY 150,525 USD (425) 0.00
02/07/2009 3,490,567 MXN 258,844 USD 4,413 0.02
02/07/2009 4,943,303 NOK 771,632 USD (2,585) (0.01)
02/07/2009 130,466 NZD 82,038 USD 1,767 0.01
02/07/2009 1,167,824 PLN 362,605 USD 3,054 0.01
02/07/2009 2,329,668 SEK 297,221 USD 2,470 0.01
02/07/2009 1,352,797 SGD 931,101 USD 2,545 0.01
02/07/2009 1,785,565 TRY 1,144,724 USD 12,549 0.05
02/07/2009 40,196 USD 50,724 AUD (579) 0.00
02/07/2009 841,984 USD 962,724 CAD 9,278 0.04
02/07/2009 1,072,507 USD 1,166,110 CHF 193 0.00
02/07/2009 193,723 USD 3,721,206 CZK (4,942) (0.02)
02/07/2009 1,020,862 USD 735,306 EUR (7,496) (0.03)
02/07/2009 988,685 USD 596,006 GBP 5,099 0.02
02/07/2009 578,537 USD 114,315,962 HUF (7,087) (0.03)
02/07/2009 144,261 USD 568,227 ILS (454) 0.00
02/07/2009 151,782 USD 14,465,889 JPY 1,321 0.01
02/07/2009 262,624 USD 3,490,567 MXN (1,718) (0.01)
02/07/2009 772,605 USD 4,943,303 NOK 3,279 0.01
02/07/2009 84,597 USD 130,466 NZD 58 0.00
02/07/2009 358,470 USD 1,167,824 PLN (6,002) (0.03)
02/07/2009 298,005 USD 2,329,668 SEK (1,911) (0.01)
02/07/2009 927,701 USD 1,352,797 SGD (4,970) (0.02)
02/07/2009 1,148,606 USD 1,785,565 TRY (9,782) (0.04)
02/07/2009 407,667 USD 3,286,654 ZAR (12,781) (0.05)
02/07/2009 3,286,654 ZAR 407,663 USD 12,784 0.05
08/07/2009 153,788 AUD 123,703 USD 408 0.00
08/07/2009 1,065,523 BRL 545,774 USD (1,918) (0.01)
08/07/2009 555,987 CAD 486,266 USD (5,354) (0.02)
08/07/2009 65,343,098 CLP 149,873 USD (19,136) (0.08)
08/07/2009 1,656,692,986 COP 798,005 USD (19,623) (0.08)
08/07/2009 2,431,276 CZK 130,965 USD 80 0.00
08/07/2009 2,966,590 EUR 4,213,669 USD (37,377) (0.16)
08/07/2009 202,578 GBP 336,043 USD (1,733) (0.01)
08/07/2009 150,129,765 HUF 758,748 USD 9,345 0.04
08/07/2009 61,225,141 JPY 642,446 USD (5,594) (0.02)
08/07/2009 388,104,998 KRW 307,045 USD (1,629) (0.01)
08/07/2009 2,190,576 NZD 1,419,909 USD (930) 0.00
08/07/2009 140,754,276 PHP 3,000,849 USD (55,392) (0.24)
Forward Foreign Currency Exchange Contracts (continued)
Maturity
date
08/07/2009 51,379,914 RUB 1,656,966 USD (6,754) (0.03)
08/07/2009 1,306,602 RUB 41,612 USD 203 0.00
08/07/2009 872,913 TRY 560,692 USD 4,775 0.02
08/07/2009 3,558,822 TWD 108,336 USD 327 0.00
08/07/2009 239,606 USD 474,659 BRL (1,655) (0.01)
08/07/2009 417,952 USD 451,233 CHF 2,151 0.01
08/07/2009 306,617 USD 169,712,319 CLP (9,214) (0.04)
08/07/2009 233,228 USD 479,983,269 COP 7,130 0.03
08/07/2009 165,895 USD 651,272 ILS (129) 0.00
08/07/2009 779,456 USD 991,911,598 KRW 396 0.00
08/07/2009 108,682 USD 1,445,853 MXN (713) 0.00
08/07/2009 835,567 USD 5,353,810 NOK 2,793 0.01
08/07/2009 383,022 USD 18,679,994 PHP (3,507) (0.01)
08/07/2009 555,283 USD 1,789,177 PLN (4,662) (0.02)
08/07/2009 320,318 USD 2,504,132 SEK (2,053) (0.01)
08/07/2009 1,531,521 USD 2,225,300 SGD (4,197) (0.02)
08/07/2009 4,672,857 USD 151,361,719 TWD 32,558 0.14
08/07/2009 3,275,090 ZAR 405,760 USD 12,686 0.05
Total Forward Foreign Currency Exchange Contracts (104,696) (0.45)
Futures Contracts
Description
Maturity
date
Amount
bought
Amsterdam Index
Future 07/2009 (33) 1,676,070 35,656 0.15
CAC40 10 Euro
Future 07/2009 (5) 156,300 (617) 0.00
Hang Seng Index
Future 07/2009 8 677,791 8,022 0.03
H-Shares Index
Future 07/2009 1 50,641 1,320 0.01
IBEX 35 Index
Future 07/2009 3 290,040 5,580 0.02
KL Composite
Index Future 07/2009 8 86,648 306 0.00
MSCI Singapore
Index 07/2009 6 164,916 1,537 0.01
MSCI Taiwan Index
Future 07/2009 (21) 344,947 (1,497) (0.01)
OBX Index Future 07/2009 342 964,834 (2,520) (0.01)
OMX Index Future 07/2009 31 227,062 7,747 0.03
SGX CNX Nifty
Index Future 07/2009 113 693,234 11,093 0.05
Bovespa Index
Future 08/2009 13 245,679 (5,730) (0.02)
DJ Euro Stoxx 50
Index Future 09/2009 (1) 23,910 (355) 0.00
DJ Euro Stoxx
Construction Index
Future 09/2009 (37) 416,990 13,640 0.06
ASE-20 Index Future 09/2009 265 1,452,200 21,074 0.09
DAX Index Future 09/2009 (1) 120,138 (2,175) (0.01)
FTSE 100 Index
Future 09/2009 (13) 642,317 5,542 0.02
FTSE/JSE Top 40
Index Future 09/2009 13 239,910 (2,675) (0.01)
FTSE/MIB Index
Future 09/2009 2 189,875 4,550 0.02
KOSPI2 Index Future 09/2009 5 249,873 951 0.00
Mexico Bolsa Index
Future 09/2009 16 212,632 (5,785) (0.02)
S&P 500 EMINI
Future 09/2009 (23) 748,138 7,644 0.03
S&P/TSE 60 Index
Future 09/2009 (3) 229,949 6,271 0.03
SGX Nikkei 225
Index Future 09/2009 7 257,196 2,276 0.01
SPI 200 Future 09/2009 (8) 449,686 9,915 0.04
Swiss Market Index
Future 09/2009 (24) 847,067 5,347 0.02
Total Futures Contracts 11,658,043 1 127,117 0.54
1 Cash of EUR 2,321,880 held as collateral.
Amount
sold
Number of Notional
contracts commitments
Net unrealised
gain/(loss)
as at
30 June 2009
Net unrealised
gain/(loss)
as at
30 June 2009
% of net
assets
% of net
assets