Morgan Stanley Investment Funds - stockselection

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101 Morgan Stanley Investment Funds 30 June 2009 Commodities Active GSLE Fund* INVESTMENT AIMS To generate a return in excess of the Light Energy sub-index of the S&P GSCITM Commodity Index (the “S&P GSCITM Light Energy Index”). The Investment Adviser aims to achieve the investment objective by using one or more derivatives to gain exposure to the S&P GSCITM Light Energy Index, including swaps, forwards, options, and other contingent liability investments whether executed on a recognised exchange or market or traded over-the-counter. * Name changed from Commodities Alpha Plus Fund on 6 March 2009. Please refer to the full prospectus for the Fund’s investment objective and policy. STATEMENT OF INVESTMENTS 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 US dollars. Investments Mutual Fund Ireland Morgan Stanley Alpha Plus Funds - Commodities Alpha Plus RC4000 Fund 121,398 13,004,141 9.37 Total for Ireland 9.37 Total for Mutual Fund 9.37 Total Investment Securities 13,004,141 9.37 DERIVATIVES OTC and exchange traded derivatives as at 30 June 2009, expressed in US dollars. Forward Foreign Currency Exchange Contracts Maturity date 03/07/2009 24,777,233 EUR 34,613,875 USD 140,124 0.10 03/07/2009 11,696,673 GBP 19,235,515 USD 27,116 0.02 Total Forward Foreign Currency Exchange Contracts 167,240 0.12 Total Return Swap Contracts Description Currency Amount bought Notional amount Holdings Amount sold Maturity date Market value Net unrealised gain as at 30 June 2009 Net unrealised (loss) as at 30 June 2009 % of net assets % of net assets % of net assets GS Light Energy Total Return Index USD 45,297,050 06/07/2009 (1,415,257) (1.02) GS Light Energy Total Return Index USD 26,894,049 06/07/2009 (841,270) (0.61) GS Light Energy Total Return Index USD 43,238,610 06/07/2009 (1,352,542) (0.97) GS Light Energy Total Return Index USD 26,924,341 06/07/2009 (841,221) (0.61) Total Total Return Swap Contracts (4,450,290) (3.21) Total Derivatives (4,283,050) (3.09) Other Assets less Liabilities 130,038,565 93.72 Total Net Asset Value 138,759,656 100.00
FX Alpha Plus RC 200 (Euro) Fund INVESTMENT AIMS To seek to generate a risk controlled (“RC”) return, measured in Euros, that has a low level of correlation to other asset classes by investing in currency pairs. The Fund seeks to outperform the Euro OverNight Index Average (EONIA) by 2.0% per annum, gross of fees, subject to an estimated annual ex-ante Value at Risk (VaR) of 2.0% over a holding period of 1-2 years. Please refer to the full prospectus for the Fund’s investment objective and policy. Corporate Bonds Morgan Stanley Investment Funds 30 June 2009 102 STATEMENT OF INVESTMENTS 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 France Credit Agricole sr unsecur SerEMTN 1.459% 26/08/2009 (3) 5,000,000 5,000,250 9.36 Total for France 9.36 United Kingdom Royal Bank of Scotland sr unsecur SerEMTN 1.46% 08/09/2009 (3) 4,500,000 4,511,250 8.44 Total for United Kingdom 8.44 Ireland GE Capital European Funding co gtd SerEMTN 1.287% 18/09/2009 (3) 3,000,000 2,989,749 5.59 Total for Ireland 5.59 Total for Corporate Bonds 23.39 Commercial Paper Nominal in Euro unless specified Intesa Sanpaolo 0% 31/07/2009 2,000,000 1,999,225 3.74 Nordea Bank 0% 24/07/2009 2,000,000 1,998,668 3.74 Santander Ser‘733’ 0% 16/07/2009 1,500,000 1,499,621 2.81 Lloyds TSB Bank 0% 20/07/2009 1,000,000 999,325 1.87 Total for Commercial Paper 12.16 Mortgage and Asset Backed Securities Market value % of net assets Australia Interstar Millennium Trust 2004-4E A1 1.491% /2036 (3) 231,655 202,017 0.38 Resimac MBS Trust 2005-1E 1A 1.545% /2037 (3) 184,596 173,233 0.32 Total for Australia 0.70 United Kingdom Southern Pacific Securities 2005-3X A2A 1.481% /2043 (3) 125,816 111,882 0.21 Total for United Kingdom 0.21 Total for Mortgage and Asset Backed Securities 0.91 Total Investment Securities 19,485,220 36.46
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