95 <strong>Morgan</strong> <strong>Stanley</strong> <strong>Investment</strong> <strong>Funds</strong> 30 June 2009 Diversified Alpha Plus VaR 400 (Euro) Fund INVESTMENT AIMS To outperform the Euro OverNight Index Average (EONIA) by 4% per annum, gross of fees. The Fund will seek to achieve its investment objective by taking long and short positions in a diversified range of equity and equity related securities of any market capitalisation, fixed income securities and currencies through the use of derivatives, and by using one or more derivatives to gain exposure to the S&P GSCITM Light Energy Index whether executed on a recognised exchange or market or traded over-the-counter. 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 Euro. <strong>Investment</strong>s Commercial Paper Svenska Handelsbanken 0% 31/07/2009 4,000,000 3,996,623 5.63 Abbey National Treasury Service 0% 06/07/2009 3,000,000 2,999,636 4.23 Caisse des Depots et Consignation 0% 15/07/2009 3,000,000 2,999,178 4.23 Santander Ser‘722’ 0% 08/07/2009 3,000,000 2,999,113 4.23 Nordea Bank 0% 24/07/2009 3,000,000 2,998,501 4.23 National Australia Bank 0% 20/08/2009 3,000,000 2,996,762 4.22 Banco Bilbao Vizcaya Argentaria 0% 19/08/2009 3,000,000 2,996,259 4.22 Banco Bilbao Vizcaya 0% 17/07/2009 2,500,000 2,498,691 3.52 Banco Bilbao Vizcaya 0% 05/08/2009 1,000,000 998,961 1.41 Santander Ser‘781’ 0% 11/08/2009 1,000,000 998,890 1.41 Total for Commercial Paper 37.33 Government Obligations Netherlands Dutch Treasury Certificate 0% 17/07/2009 5,000,000 4,998,360 7.05 Dutch Treasury Certificate 0% 31/07/2009 3,000,000 2,998,347 4.23 Total for Netherlands 11.28 France France Treasury Bill BTF 0% 23/07/2009 3,000,000 2,998,823 4.23 France Treasury Bill BTF 0% 20/08/2009 3,000,000 2,997,296 4.22 Total for France 8.45 Total for Government Obligations 19.73 Mutual Fund Ireland <strong>Morgan</strong> <strong>Stanley</strong> <strong>Funds</strong> - Euro Liquidity Fund 6,000,000 6,000,000 8.46 Total for Ireland 8.46 Total for Mutual Fund 8.46 Certificate of Deposit Rabobank Nederland 0% 15/07/2009 (Netherlands) (4) 4,000,000 3,998,554 5.64 Total for Certificate of Deposit 5.64 Commodity Structured Notes Nominal in Euro unless specified Market value % of net assets United States of America Goldman Sachs Certificates 09/09/2009 (United Kingdom) (4) (USD) 38,523 3,193,840 4.50 Total for United States of America 4.50 Total for Commodity Structured Notes 4.50
Diversified Alpha Plus VaR 400 (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. <strong>Investment</strong>s Warrants Germany Deutsche Bank Wts exp. 05/02/2010 (Unites States of America) (4) (USD) 41,474 2,939,978 4.14 Total for Germany 4.14 Total for Warrants 4.14 Total <strong>Investment</strong> Securities 56,607,812 79.80 DERIVATIVES OTC and exchange traded derivatives as at 30 June 2009, expressed in Euro. Forward Foreign Currency Exchange Contracts Maturity date Amount bought Nominal in Euro unless specified Amount sold Market value Net unrealised gain/(loss) as at 30 June 2009 % of net assets % of net assets 02/07/2009 59,040 AUD 47,511 USD 157 0.00 02/07/2009 1,133,025 CAD 998,278 USD (16,161) (0.02) 02/07/2009 1,359,106 CHF 1,258,769 USD (6,469) (0.01) 02/07/2009 4,234,288 CZK 228,136 USD 132 0.00 02/07/2009 635,915 EUR 895,241 USD (2,335) 0.00 02/07/2009 878,856 GBP 1,432,462 USD 10,610 0.01 02/07/2009 131,214,239 HUF 642,894 USD 23,221 0.03 02/07/2009 665,321 ILS 169,470 USD 134 0.00 02/07/2009 16,816,610 JPY 174,954 USD (472) 0.00 02/07/2009 4,061,833 MXN 301,153 USD 5,174 0.01 02/07/2009 5,827,584 NOK 909,665 USD (3,048) 0.00 02/07/2009 150,895 NZD 94,848 USD 2,069 0.00 02/07/2009 1,361,872 PLN 422,856 USD 3,561 0.01 02/07/2009 2,769,719 SEK 353,635 USD 2,743 0.00 02/07/2009 1,580,800 SGD 1,088,031 USD 2,974 0.00 02/07/2009 2,096,208 TRY 1,344,642 USD 14,187 0.02 02/07/2009 46,794 USD 59,040 AUD (668) 0.00 02/07/2009 990,926 USD 1,133,025 CAD 10,919 0.02 02/07/2009 1,250,025 USD 1,359,106 CHF 235 0.00 02/07/2009 220,033 USD 4,234,288 CZK (5,909) (0.01) 02/07/2009 883,159 USD 635,915 EUR (6,279) (0.01) 02/07/2009 1,457,890 USD 878,856 GBP 7,519 0.01 02/07/2009 664,056 USD 131,214,239 HUF (8,134) (0.01) 02/07/2009 168,953 USD 665,321 ILS (502) 0.00 02/07/2009 176,447 USD 16,816,610 JPY 1,536 0.00 02/07/2009 305,605 USD 4,061,833 MXN (1,999) 0.00 02/07/2009 911,616 USD 5,827,584 NOK 4,439 0.01 02/07/2009 97,843 USD 150,895 NZD 67 0.00 02/07/2009 418,160 USD 1,361,872 PLN (6,909) (0.01) 02/07/2009 354,295 USD 2,769,719 SEK (2,272) 0.00 02/07/2009 1,084,099 USD 1,580,800 SGD (5,777) (0.01) 02/07/2009 1,348,434 USD 2,096,208 TRY (11,483) (0.02) 02/07/2009 482,131 USD 3,886,988 ZAR (15,116) (0.02) 02/07/2009 3,886,988 ZAR 478,657 USD 17,592 0.02 03/07/2009 7,108,156 USD 5,087,762 EUR (20,131) (0.03) 08/07/2009 146,895 AUD 118,159 USD 390 0.00 08/07/2009 1,222,066 BRL 628,300 USD (3,869) (0.01) 08/07/2009 531,492 CAD 464,843 USD (5,118) (0.01) 08/07/2009 20,466 CHF 18,864 USD (32) 0.00 08/07/2009 56,907,337 CLP 139,951 USD (23,385) (0.03) 08/07/2009 1,802,853,123 COP 874,758 USD (25,881) (0.04) 08/07/2009 2,325,282 CZK 125,255 USD 76 0.00 08/07/2009 5,837,876 EUR 8,284,176 USD (67,997) (0.10) <strong>Morgan</strong> <strong>Stanley</strong> <strong>Investment</strong> <strong>Funds</strong> 30 June 2009 96 Forward Foreign Currency Exchange Contracts (continued) Maturity date 08/07/2009 40,488 EUR 57,003 USD (150) 0.00 08/07/2009 416,302 GBP 690,576 USD (3,562) (0.01) 08/07/2009 7,080 GBP 11,676 USD (12) 0.00 08/07/2009 143,750,230 HUF 726,507 USD 8,948 0.01 08/07/2009 26,751 ILS 6,760 USD 44 0.00 08/07/2009 58,750,920 JPY 616,484 USD (5,368) (0.01) 08/07/2009 524,365,755 KRW 414,604 USD (2,028) 0.00 08/07/2009 82,677 MXN 6,277 USD (4) 0.00 08/07/2009 240,595 NOK 37,342 USD 23 0.00 08/07/2009 2,093,178 NZD 1,356,777 USD (889) 0.00 08/07/2009 253,894,371 PHP 5,410,066 USD (97,847) (0.14) 08/07/2009 100,984 PLN 31,506 USD 146 0.00 08/07/2009 55,527,310 RUB 1,806,947 USD (18,870) (0.03) 08/07/2009 135,020 SEK 17,331 USD 68 0.00 08/07/2009 106,978 SGD 73,579 USD 235 0.00 08/07/2009 833,539 TRY 535,401 USD 4,560 0.01 08/07/2009 29,333,079 TWD 892,274 USD 3,172 0.00 08/07/2009 6,772 USD 8,412 AUD (19) 0.00 08/07/2009 351,710 USD 696,173 BRL (2,225) 0.00 08/07/2009 22,264 USD 25,648 CAD 127 0.00 08/07/2009 400,347 USD 432,227 CHF 2,061 0.00 08/07/2009 269,525 USD 150,748,384 CLP (10,202) (0.01) 08/07/2009 351,859 USD 728,628,380 COP 9,264 0.01 08/07/2009 7,296 USD 134,920 CZK 15 0.00 08/07/2009 45,365 USD 8,899,315 HUF (277) 0.00 08/07/2009 158,740 USD 623,181 ILS (124) 0.00 08/07/2009 30,509 USD 2,908,844 JPY 256 0.00 08/07/2009 843,750 USD 1,072,732,402 KRW 988 0.00 08/07/2009 104,109 USD 1,385,013 MXN (683) 0.00 08/07/2009 798,151 USD 5,114,072 NOK 2,668 0.00 08/07/2009 70,164 USD 108,780 NZD (201) 0.00 08/07/2009 2,005,354 USD 96,056,450 PHP 7,469 0.01 08/07/2009 959,843 USD 46,729,778 PHP (7,578) (0.01) 08/07/2009 530,742 USD 1,710,104 PLN (4,456) (0.01) 08/07/2009 245,084 USD 7,700,533 RUB (1,307) 0.00 08/07/2009 305,861 USD 2,391,111 SEK (1,960) 0.00 08/07/2009 1,467,376 USD 2,132,098 SGD (4,021) (0.01) 08/07/2009 31,770 USD 48,999 TRY (57) 0.00 08/07/2009 5,112,779 USD 164,144,992 TWD 67,585 0.10 08/07/2009 26,528 USD 210,273 ZAR (474) 0.00 08/07/2009 3,132,714 ZAR 388,120 USD 12,134 0.02 Total Forward Foreign Currency Exchange Contracts (174,762) (0.27) Futures Contracts Description Maturity date Amount bought 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 Amsterdam Index Future 07/2009 (58) 2,945,820 63,854 0.09 CAC40 10 Euro Future 07/2009 (8) 250,080 (987) 0.00 Hang Seng Index Future 07/2009 14 1,186,134 14,038 0.02 H-Shares Index Future 07/2009 3 151,923 3,960 0.01 IBEX 35 Index Future 07/2009 5 483,400 9,300 0.01 KL Composite Index Future 07/2009 14 151,633 536 0.00 MSCI Singapore Index 07/2009 10 274,860 2,561 0.00 MSCI Taiwan Index Future 07/2009 (37) 607,764 (2,638) 0.00 OBX Index Future 07/2009 606 1,709,618 (4,132) (0.01) OMX Index Future 07/2009 55 402,852 13,472 0.02 SGX CNX Nifty Index Future 07/2009 200 1,226,963 19,520 0.03 Bovespa Index Future 08/2009 23 434,663 (9,874) (0.01) DJ Euro Stoxx 50 Index Future 09/2009 (1) 23,910 (355) 0.00 DJ Euro Stoxx Construction Index Future 09/2009 (64) 721,280 23,765 0.03 ASE-20 Index Future 09/2009 470 2,575,600 37,445 0.05 DAX Index Future 09/2009 (2) 240,275 (4,350) (0.01)
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