N-Q 1 file1.htm FORM N-Q


UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-08265

Morgan Stanley S&P 500 Index Fund

(Exact name of registrant as specified in charter)

 

  522 Fifth Avenue, New York, New York
(Address of principal executive offices)
   10036
(Zip code)		  

Ronald E. Robison

522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

Registrant’s telephone number, including area code: 212-296-6990

Date of fiscal year end: August 31, 2008

Date of reporting period: November 30, 2007


 


Item 1. Schedule of Investments.

The Fund’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

 

Morgan Stanley S&P 500 Index Fund

Portfolio of Investments November 30, 2007 (unaudited)

 

NUMBER OF

 

 

 

 

 

 

SHARES

 

 

 

 

 

VALUE

 

 

Common Stocks (99.9%)

 

 

 

 

 

 

Advertising/Marketing Services (0.2%)

 

 

 

 

39,416

 

Interpublic Group of Companies, Inc. (The) *

 

 

$

374,058

27,447

 

Omnicom Group, Inc.

 

 

 

1,338,041

 

 

 

 

 

 

1,712,099

 

 

Aerospace & Defense (2.0%)

 

 

 

 

65,522

 

Boeing Co. (The)

 

 

 

6,063,406

33,888

 

General Dynamics Corp.

 

 

 

3,008,577

10,478

 

Goodrich Corp.

 

 

 

746,977

10,458

 

L-3 Communications Holdings, Inc.

 

 

 

1,157,178

29,029

 

Lockheed Martin Corp.

 

 

 

3,212,639

28,733

 

Northrop Grumman Corp.

 

 

 

2,263,873

11,518

 

Precision Castparts Corp.

 

 

 

1,697,062

36,563

 

Raytheon Co.

 

 

 

2,261,422

14,008

 

Rockwell Collins, Inc.

 

 

 

1,010,257

 

 

 

 

 

 

21,421,391

 

 

Agricultural Commodities/Milling (0.2%)

 

 

 

 

53,806

 

Archer-Daniels-Midland Co.

 

 

 

1,955,848

 

 

 

 

 

 

 

 

 

Air Freight/Couriers (1.0%)

 

 

 

 

14,430

 

C.H. Robinson Worldwide, Inc.

 

 

 

743,867

18,100

 

Expeditors International of Washington, Inc.

 

 

 

849,252

25,766

 

FedEx Corp.

 

 

 

2,537,178

87,767

 

United Parcel Service, Inc. (Class B)

 

 

 

6,466,673

 

 

 

 

 

 

10,596,970

 

 

Airlines (0.1%)

 

 

 

 

62,479

 

Southwest Airlines Co.

 

 

 

884,078

 

 

 

 

 

 

 

 

 

Aluminum (0.3%)

 

 

 

 

73,909

 

Alcoa, Inc.

 

 

 

2,688,070

 

 

 

 

 

 

 

 

 

Apparel/Footwear (0.4%)

 

 

 

 

31,192

 

Coach, Inc. *

 

 

 

1,158,471

7,812

 

Jones Apparel Group, Inc.

 

 

 

145,616

8,550

 

Liz Claiborne, Inc.

 

 

 

214,520

32,323

 

Nike, Inc. (Class B)

 

 

 

2,122,005

5,008

 

Polo Ralph Lauren Corp.

 

 

 

345,452

7,458

 

V.F. Corp.

 

 

 

557,784

 

 

 

 

 

 

4,543,848

 

 

Apparel/Footwear Retail (0.3%)

 

 

 

 

7,246

 

Abercrombie & Fitch Co. (Class A)

 

 

 

594,462

41,376

 

Gap, Inc. (The)

 

 

 

844,070

26,656

 

Limited Brands, Inc.

 

 

 

535,252

16,538

 

Nordstrom, Inc.

 

 

 

554,685

37,172

 

TJX Companies, Inc. (The)

 

 

 

1,090,626

 

 

 

 

 

 

3,619,095

 

 

Auto Parts: O.E.M. (0.3%)

 

 

 

 

12,263

 

Eaton Corp.

 

 

 

1,095,209

49,548

 

Johnson Controls, Inc.

 

 

 

1,913,544

1

 

WABCO Holdings Inc.

 

 

 

47

 

 

 

 

 

 

3,008,800

 

 

Automotive Aftermarket (0.0%)

 

 

 

 

17,640

 

Goodyear Tire & Rubber Co. (The) *

 

 

 

507,150

 

 

 

 

 

 

 

 

 

Beverages: Alcoholic (0.4%)

 

 

 

 

62,667

 

Anheuser-Busch Companies, Inc.

 

 

 

3,303,804

 

 


 

7,230

 

Brown-Forman Corp. (Class B)

 

 

 

510,727

16,172

 

Constellation Brands Inc. (Class A) *

 

 

 

380,851

11,396

 

Molson Coors Brewing Co. (Class B)

 

 

 

613,561

 

 

 

 

 

 

4,808,943

 

 

Beverages: Non-Alcoholic (2.0%)

 

 

 

 

166,345

 

Coca-Cola Co. (The)

 

 

 

10,330,025

23,832

 

Coca-Cola Enterprises Inc.

 

 

 

618,917

11,715

 

Pepsi Bottling Group, Inc. (The)

 

 

 

499,879

135,086

 

PepsiCo, Inc.

 

 

 

10,425,937

 

 

 

 

 

 

21,874,758

 

 

Biotechnology (1.3%)

 

 

 

 

90,856

 

Amgen Inc. *

 

 

 

5,019,794

24,072

 

Biogen Idec Inc. *

 

 

 

1,784,217

31,998

 

Celgene Corp. *

 

 

 

1,969,477

22,003

 

Genzyme Corp. *

 

 

 

1,648,685

77,447

 

Gilead Sciences, Inc. *

 

 

 

3,604,383

4,518

 

Millipore Corp. *

 

 

 

369,934

 

 

 

 

 

 

14,396,490

 

 

Broadcasting (0.1%)

 

 

 

 

41,551

 

Clear Channel Communications, Inc.

 

 

 

1,491,681

 

 

 

 

 

 

 

 

 

Building Products (0.1%)

 

 

 

 

30,694

 

Masco Corp.

 

 

 

687,546

15,172

 

Trane Inc.

 

 

 

556,964

 

 

 

 

 

 

1,244,510

 

 

Cable/Satellite TV (0.6%)

 

 

 

 

258,388

 

Comcast Corp. (Class A) *

 

 

 

5,307,290

63,504

 

DIRECTV Group, Inc. (The) *

 

 

 

1,579,344

 

 

 

 

 

 

6,886,634

 

 

Casino/Gaming (0.2%)

 

 

 

 

15,627

 

Harrah’s Entertainment, Inc.

 

 

 

1,376,270

28,058

 

International Game Technology

 

 

 

1,225,012

 

 

 

 

 

 

2,601,282

 

 

Chemicals: Agricultural (0.4%)

 

 

 

 

45,603

 

Monsanto Co.

 

 

 

4,531,570

 

 

 

 

 

 

 

 

 

Chemicals: Major Diversified (0.7%)

 

 

 

 

79,429

 

Dow Chemical Co. (The)

 

 

 

3,331,252

76,960

 

Du Pont (E.I.) de Nemours & Co.

 

 

 

3,551,704

7,042

 

Eastman Chemical Co.

 

 

 

452,167

9,760

 

Hercules Inc.

 

 

 

189,442

11,484

 

Rohm & Haas Co.

 

 

 

624,385

 

 

 

 

 

 

8,148,950

 

 

Chemicals: Specialty (0.5%)

 

 

 

 

18,132

 

Air Products & Chemicals, Inc.

 

 

 

1,795,793

4,677

 

Ashland Inc.

 

 

 

230,295

26,678

 

Praxair, Inc.

 

 

 

2,277,768

10,992

 

Sigma-Aldrich Corp.

 

 

 

578,729

 

 

 

 

 

 

4,882,585

 

 

Coal (0.2%)

 

 

 

 

15,243

 

CONSOL Energy, Inc.

 

 

 

903,605

22,180

 

Peabody Energy Corp.

 

 

 

1,234,095

 

 

 

 

 

 

2,137,700

 

 

Commercial Printing/Forms (0.1%)

 

 

 

 

18,568

 

Donnelley (R.R.) & Sons Co.

 

 

 

680,703

 

 

 

 

 

 

 

 

 

Computer Communications (1.4%)

 

 

 

 

509,223

 

Cisco Systems, Inc. *

 

 

 

14,268,428

42,981

 

Juniper Networks, Inc. *

 

 

 

1,277,395

12,285

 

Qlogic Corp. *

 

 

 

166,093

 

 

 

 

 

 

15,711,916

 

 


 

 

 

Computer Peripherals (0.4%)

 

 

 

 

175,342

 

EMC Corp. *

 

 

 

3,378,840

7,916

 

Lexmark International, Inc. (Class A) *

 

 

 

276,110

29,748

 

Network Appliance, Inc. *

 

 

 

735,073

45,128

 

Seagate Technology Inc. (Escrow) (a) *

 

 

 

0

 

 

 

 

 

 

4,390,023

 

 

Computer Processing Hardware (2.8%)

 

 

 

 

72,706

 

Apple Inc. *

 

 

 

13,248,487

189,916

 

Dell Inc. *

 

 

 

4,660,539

215,537

 

Hewlett-Packard Co.

 

 

 

11,026,873

15,059

 

NCR Corp. *

 

 

 

360,512

73,937

 

Sun Microsystems, Inc.

 

 

 

1,536,411

 

 

 

 

 

 

30,832,822

 

 

Construction Materials (0.1%)

 

 

 

 

7,977

 

Vulcan Materials Co.

 

 

 

708,358

 

 

 

 

 

 

 

 

 

Containers/Packaging (0.1%)

 

 

 

 

8,546

 

Ball Corp.

 

 

 

395,253

8,756

 

Bemis Company, Inc.

 

 

 

237,550

10,914

 

Pactiv Corp. *

 

 

 

277,216

13,523

 

Sealed Air Corp.

 

 

 

316,033

8,858

 

Temple-Inland Inc.

 

 

 

407,202

 

 

 

 

 

 

1,633,254

 

 

Contract Drilling (0.5%)

 

 

 

 

12,373

 

ENSCO International Inc.

 

 

 

666,286

23,566

 

Nabors Industries, Ltd. (Bermuda) *

 

 

 

633,925

22,438

 

Noble Corp. (Cayman Islands)

 

 

 

1,169,693

9,262

 

Rowan Companies, Inc.

 

 

 

327,875

16,875

 

Transocean Inc.

 

 

 

2,316,776

 

 

 

 

 

 

5,114,555

 

 

Data Processing Services (0.7%)

 

 

 

 

8,301

 

Affiliated Computer Services, Inc. (Class A) *

 

 

 

348,310

44,399

 

Automatic Data Processing, Inc.

 

 

 

2,000,619

14,500

 

Computer Sciences Corp. *

 

 

 

765,890

11,335

 

Convergys Corp. *

 

 

 

184,874

14,203

 

Fidelity National Information Services, Inc.

 

 

 

613,854

13,951

 

Fiserv, Inc. *

 

 

 

716,105

7,428

 

Metavante Technologies, Inc.

 

 

 

169,210

28,454

 

Paychex, Inc.

 

 

 

1,109,706

64,678

 

Western Union Co.

 

 

 

1,461,723

 

 

 

 

 

 

7,370,291

 

 

Department Stores (0.3%)

 

 

 

 

5,172

 

Dillard’s, Inc. (Class A)

 

 

 

105,457

26,568

 

Kohl’s Corp. *

 

 

 

1,309,271

36,245

 

Macy’s, Inc.

 

 

 

1,074,664

18,530

 

Penney (J.C.) Co., Inc.

 

 

 

817,544

 

 

 

 

 

 

3,306,936

 

Discount Stores (1.6%)

 

 

 

 

8,509

 

Big Lots, Inc. *

 

 

 

158,863

36,613

 

Costco Wholesale Corp.

 

 

 

2,467,716

12,172

 

Family Dollar Stores, Inc.

 

 

 

286,651

6,329

 

Sears Holdings Corp. *

 

 

 

667,773

70,779

 

Target Corp.

 

 

 

4,250,987

200,671

 

Wal-Mart Stores, Inc.

 

 

 

9,612,141

 

 

 

 

 

 

17,444,131

 

 

Drugstore Chains (0.7%)

 

 

 

 

123,810

 

CVS Caremark Corp.

 

 

 

4,963,543

83,073

 

Walgreen Co.

 

 

 

3,039,641

 

 

 

 

 

 

8,003,184

 

 

Electric Utilities (3.3%)

 

 

 

 

55,883

 

AES Corp. (The) *

 

 

 

1,221,044

13,871

 

Allegheny Energy, Inc. *

 

 

 

842,663

17,266

 

Ameren Corp.

 

 

 

929,774

 

 


 

33,380

 

American Electric Power Co., Inc.

 

 

 

1,591,225

26,853

 

CenterPoint Energy, Inc.

 

 

 

479,326

18,792

 

CMS Energy Corp.

 

 

 

327,545

22,645

 

Consolidated Edison, Inc.

 

 

 

1,097,150

15,125

 

Constellation Energy Group, Inc.

 

 

 

1,515,676

48,662

 

Dominion Resources, Inc.

 

 

 

2,298,306

14,267

 

DTE Energy Co.

 

 

 

699,796

105,428

 

Duke Energy Corp.

 

 

 

2,086,420

27,273

 

Edison International

 

 

 

1,526,743

16,360

 

Entergy Corp.

 

 

 

1,955,674

56,307

 

Exelon Corp.

 

 

 

4,564,808

25,517

 

FirstEnergy Corp.

 

 

 

1,749,446

34,021

 

FPL Group, Inc.

 

 

 

2,373,305

6,335

 

Integrys Energy Group, Inc.

 

 

 

323,148

16,300

 

Pepco Holdings, Inc.

 

 

 

458,030

29,542

 

PG&E Corp.

 

 

 

1,366,908

8,391

 

Pinnacle West Capital Corp.

 

 

 

359,638

32,029

 

PPL Corp.

 

 

 

1,632,198

21,646

 

Progress Energy, Inc.

 

 

 

1,056,758

21,259

 

Public Service Enterprise Group

 

 

 

2,035,337

63,240

 

Southern Co. (The)

 

 

 

2,379,089

17,544

 

TECO Energy, Inc.

 

 

 

303,862

35,103

 

Xcel Energy, Inc.

 

 

 

811,230

 

 

 

 

 

 

35,985,099

 

 

Electrical Products (0.5%)

 

 

 

 

15,322

 

Cooper Industries Ltd. (Class A) (Bermuda)

 

 

 

769,471

66,216

 

Emerson Electric Co.

 

 

 

3,775,636

12,005

 

Molex Inc.

 

 

 

330,858

 

 

 

 

 

 

4,875,965

 

 

Electronic Components (0.4%)

 

 

 

 

17,353

 

Jabil Circuit, Inc.

 

 

 

294,133

18,783

 

MEMC Electronic Materials, Inc. *

 

 

 

1,457,185

19,103

 

SanDisk Corp. *

 

 

 

715,216

41,487

 

Tyco Electronics Ltd. (Bermuda)

 

 

 

1,551,199

 

 

 

 

 

 

4,017,733

 

 

Electronic Equipment/Instruments (0.3%)

 

 

 

 

32,317

 

Agilent Technologies, Inc. *

 

 

 

1,222,552

17,678

 

JDS Uniphase Corp. *

 

 

 

237,946

12,755

 

Rockwell Automation, Inc.

 

 

 

865,937

78,241

 

Xerox Corp. *

 

 

 

1,320,708

 

 

 

 

 

 

3,647,143

 

 

Electronic Production Equipment (0.3%)

 

 

 

 

115,215

 

Applied Materials, Inc.

 

 

 

2,169,498

16,148

 

KLA-Tencor Corp.

 

 

 

776,396

10,352

 

Novellus Systems, Inc. *

 

 

 

269,256

15,881

 

Teradyne, Inc. *

 

 

 

172,944

 

 

 

 

 

 

3,388,094

 

Electronics/Appliance Stores (0.2%)

 

 

 

 

33,281

 

Best Buy Co., Inc.

 

 

 

1,698,995

14,089

 

Circuit City Stores - Circuit City Group

 

 

 

91,156

11,519

 

RadioShack Corp.

 

 

 

213,102

 

 

 

 

 

 

2,003,253

 

 

Electronics/Appliances (0.1%)

 

 

 

 

24,082

 

Eastman Kodak Co.

 

 

 

565,445

5,453

 

Harman International Industries, Inc.

 

 

 

401,341

6,606

 

Whirlpool Corp.

 

 

 

534,822

 

 

 

 

 

 

1,501,608

 

 

Engineering & Construction (0.2%)

 

 

 

 

7,381

 

Fluor Corp.

 

 

 

1,086,262

10,100

 

Jacobs Engineering Group, Inc. *

 

 

 

846,077

 

 

 

 

 

 

1,932,339

 

 


 

 

 

Environmental Services (0.2%)

 

 

 

 

24,109

 

Allied Waste Industries, Inc. *

 

 

 

275,084

43,313

 

Waste Management, Inc.

 

 

 

1,486,502

 

 

 

 

 

 

1,761,586

 

 

Finance/Rental/Leasing (1.0%)

 

 

 

 

15,712

 

American Capital Strategies, Ltd.

 

 

 

590,928

34,920

 

Capital One Financial Corp.

 

 

 

1,861,585

15,952

 

CIT Group, Inc.

 

 

 

424,323

48,157

 

Countrywide Financial Corp.

 

 

 

521,059

39,899

 

Discover Financial Services

 

 

 

693,046

81,453

 

Fannie Mae

 

 

 

3,129,424

54,354

 

Freddie Mac

 

 

 

1,906,195

5,002

 

Ryder System, Inc.

 

 

 

216,887

34,439

 

SLM Corp. *

 

 

 

1,311,437

 

 

 

 

 

 

10,654,884

 

 

Financial Conglomerates (3.5%)

 

 

 

 

98,894

 

American Express Co.

 

 

 

5,832,768

415,893

 

Citigroup, Inc. (Note 4)

 

 

 

13,849,237

282,908

 

JPMorgan Chase & Co.

 

 

 

12,906,263

13,765

 

Leucadia National Corp. *

 

 

 

646,404

22,207

 

Principal Financial Group, Inc.

 

 

 

1,454,336

38,374

 

Prudential Financial, Inc.

 

 

 

3,612,528

 

 

 

 

 

 

38,301,536

 

 

Financial Publishing/Services (0.2%)

 

 

 

 

11,930

 

Equifax, Inc.

 

 

 

444,154

28,333

 

McGraw-Hill Companies, Inc. (The)

 

 

 

1,390,584

18,521

 

Moody’s Corp.

 

 

 

697,501

 

 

 

 

 

 

2,532,239

 

 

Food Distributors (0.2%)

 

 

 

 

50,996

 

SYSCO Corp.

 

 

 

1,657,880

 

 

 

 

 

 

 

 

 

Food Retail (0.4%)

 

 

 

 

59,150

 

Kroger Co. (The)

 

 

 

1,700,563

36,711

 

Safeway Inc.

 

 

 

1,277,543

17,565

 

SUPERVALU, Inc.

 

 

 

735,447

11,620

 

Whole Foods Market, Inc.

 

 

 

499,776

 

 

 

 

 

 

4,213,329

 

 

Food: Major Diversified (1.0%)

 

 

 

 

18,787

 

Campbell Soup Co.

 

 

 

689,859

40,950

 

ConAgra Foods Inc.

 

 

 

1,024,569

27,605

 

General Mills, Inc.

 

 

 

1,660,441

26,682

 

Heinz (H.J.) Co.

 

 

 

1,262,059

22,182

 

Kellogg Co.

 

 

 

1,198,715

131,819

 

Kraft Foods Inc. (Class A)

 

 

 

4,554,346

60,573

 

Sara Lee Corp.

 

 

 

1,019,444

 

 

 

 

 

 

11,409,433

 

 

Food: Meat/Fish/Dairy (0.1%)

 

 

 

 

10,882

 

Dean Foods Co. *

 

 

 

271,397

22,998

 

Tyson Foods, Inc. (Class A)

 

 

 

342,900

 

 

 

 

 

 

614,297

 

 

Food: Specialty/Candy (0.2%)

 

 

 

 

14,134

 

Hershey Foods Co. (The)

 

 

 

564,088

10,898

 

McCormick & Co., Inc. (Non-Voting)

 

 

 

416,413

18,162

 

Wrigley (Wm.) Jr. Co.

 

 

 

1,162,368

 

 

 

 

 

 

2,142,869

 

 

Forest Products (0.1%)

 

 

 

 

18,074

 

Weyerhaeuser Co.

 

 

 

1,322,655

 

 

 

 

 

 

 

 

 

Gas Distributors (0.4%)

 

 

 

 

41,432

 

Dynegy, Inc. (Class A) *

 

 

 

315,298

3,769

 

Nicor Inc.

 

 

 

158,826

22,942

 

NiSource, Inc.

 

 

 

424,656

14,433

 

Questar Corp.

 

 

 

771,444

 

 


 

22,083

 

Sempra Energy

 

 

 

1,382,837

52,890

 

Spectra Energy Corp.

 

 

 

1,303,210

 

 

 

 

 

 

4,356,271

 

 

Home Building (0.1%)

 

 

 

 

9,998

 

Centex Corp.

 

 

 

208,558

22,875

 

D.R. Horton, Inc.

 

 

 

273,814

6,431

 

KB Home

 

 

 

134,344

11,655

 

Lennar Corp. (Class A)

 

 

 

184,615

17,784

 

Pulte Homes, Inc.

 

 

 

181,752

 

 

 

 

 

 

983,083

 

 

Home Furnishings (0.1%)

 

 

 

 

14,606

 

Leggett & Platt, Inc.

 

 

 

300,591

23,100

 

Newell Rubbermaid, Inc.

 

 

 

618,618

 

 

 

 

 

 

919,209

 

 

Home Improvement Chains (0.7%)

 

 

 

 

141,172

 

Home Depot, Inc. (The)

 

 

 

4,031,872

123,617

 

Lowe’s Companies, Inc.

 

 

 

3,017,491

9,163

 

Sherwin-Williams Co.

 

 

 

575,711

 

 

 

 

 

 

7,625,074

 

 

Hospital/Nursing Management (0.0%)

 

 

 

 

39,596

 

Tenet Healthcare Corp. *

 

 

 

218,174

 

 

 

 

 

 

 

 

 

Hotels/Resorts/Cruiselines (0.4%)

 

 

 

 

36,481

 

Carnival Corp (Panama) (Units)

 

 

 

1,646,023

26,716

 

Marriott International, Inc. (Class A)

 

 

 

1,001,850

17,543

 

Starwood Hotels & Resorts Worldwide, Inc.

 

 

 

941,708

14,931

 

Wyndham Worldwide Corp. *

 

 

 

435,537

 

 

 

 

 

 

4,025,118

 

 

Household/Personal Care (2.6%)

 

 

 

 

36,171

 

Avon Products, Inc.

 

 

 

1,484,820

11,568

 

Clorox Co. (The)

 

 

 

750,532

42,634

 

Colgate-Palmolive Co.

 

 

 

3,414,131

9,583

 

Estee Lauder Companies, Inc. (The) (Class A)

 

 

 

430,085

7,465

 

International Flavors & Fragrances, Inc.

 

 

 

374,295

35,583

 

Kimberly-Clark Corp.

 

 

 

2,484,049

260,908

 

Procter & Gamble Co. (The)

 

 

 

19,307,192

 

 

 

 

 

 

28,245,104

 

 

Industrial Conglomerates (5.0%)

 

 

 

 

59,845

 

3M Co.

 

 

 

4,982,695

20,612

 

Danaher Corp.

 

 

 

1,789,534

856,622

 

General Electric Co. **

 

 

 

32,800,056

62,569

 

Honeywell International, Inc.

 

 

 

3,542,657

23,966

 

Ingersoll-Rand Co. Ltd. (Class A) (Bermuda)

 

 

 

1,237,604

15,212

 

ITT Corp.

 

 

 

980,261

20,877

 

Textron, Inc.

 

 

 

1,441,557

41,487

 

Tyco International Ltd. (Bermuda)

 

 

 

1,664,873

82,917

 

United Technologies Corp.

 

 

 

6,199,704

 

 

 

 

 

54,638,941

 

 

Industrial Machinery (0.3%)

 

 

 

 

35,076

 

Illinois Tool Works Inc.

 

 

 

1,946,718

14,544

 

Parker Hannifin Corp.

 

 

 

1,155,230

 

 

 

 

 

 

3,101,948

 

 

Industrial Specialties (0.2%)

 

 

 

 

14,561

 

Ecolab Inc.

 

 

 

697,472

13,743

 

PPG Industries, Inc.

 

 

 

943,320

 

 

 

 

 

 

1,640,792

 

 

Information Technology Services (1.3%)

 

 

 

 

15,117

 

Citrix Systems, Inc. *

 

 

 

559,027

24,068

 

Cognizant Technology Solutions Corp. (Class A) *

 

 

 

748,515

42,596

 

Electronic Data Systems Corp.

 

 

 

862,995

113,736

 

International Business Machines Corp.

 

 

 

11,962,752

15,059

 

Teradata Corp. *

 

 

 

390,932

29,257

 

Unisys Corp. *

 

 

 

145,115

 

 

 

 

 

 

14,669,336

 

 


 

 

 

Insurance Brokers/Services (0.2%)

 

 

 

 

24,477

 

AON Corp.

 

 

 

1,223,116

45,313

 

Marsh & McLennan Companies, Inc.

 

 

 

1,138,263

 

 

 

 

 

 

2,361,379

 

 

Integrated Oil (6.5%)

 

 

 

 

178,220

 

Chevron Corp.

 

 

 

15,642,369

136,039

 

ConocoPhillips

 

 

 

10,888,562

463,690

 

Exxon Mobil Corp.

 

 

 

41,342,600

23,129

 

Hess Corp.

 

 

 

1,647,247

15,748

 

Murphy Oil Corp.

 

 

 

1,126,297

 

 

 

 

 

 

70,647,075

 

 

Internet Retail (0.3%)

 

 

 

 

25,551

 

Amazon.com, Inc. *

 

 

 

2,313,899

15,973

 

IAC/InterActiveCorp. *

 

 

 

444,529

 

 

 

 

 

 

2,758,428

 

 

Internet Software/Services (1.6%)

 

 

 

 

13,805

 

Akamai Technologies, Inc. *

 

 

 

525,418

19,311

 

Google Inc. (Class A) *

 

 

 

13,382,523

20,386

 

VeriSign, Inc. *

 

 

 

833,787

112,630

 

Yahoo! Inc. *

 

 

 

3,019,610

 

 

 

 

 

 

17,761,338

 

 

Investment Banks/Brokers (2.7%)

 

 

 

 

19,692

 

Ameriprise Financial, Inc.

 

 

 

1,155,723

9,708

 

Bear Stearns Companies, Inc. (The)

 

 

 

967,888

79,238

 

Charles Schwab Corp. (The)

 

 

 

1,926,276

4,441

 

CME Group Inc.

 

 

 

2,924,843

35,553

 

E*TRADE Group, Inc. *

 

 

 

163,544

33,914

 

Goldman Sachs Group, Inc. (The)

 

 

 

7,686,269

4,500

 

IntercontinentalExchange Inc. *

 

 

 

751,320

44,376

 

Lehman Brothers Holdings Inc.

 

 

 

2,779,269

72,059

 

Merrill Lynch & Co., Inc.

 

 

 

4,319,216

98,268

 

Morgan Stanley

 

 

 

5,180,689

22,600

 

NYSE Euronext

 

 

 

1,957,160

 

 

 

 

 

 

29,812,197

 

 

Investment Managers (0.7%)

 

 

 

 

7,414

 

Federated Investors, Inc. (Class B)

 

 

 

302,417

13,571

 

Franklin Resources, Inc.

 

 

 

1,671,676

13,196

 

Janus Capital Group, Inc.

 

 

 

442,990

11,008

 

Legg Mason, Inc.

 

 

 

840,020

22,235

 

Price (T.) Rowe Group, Inc.

 

 

 

1,367,008

32,565

 

State Street Corp.

 

 

 

2,601,618

 

 

 

 

 

 

7,225,729

 

 

Life/Health Insurance (0.9%)

 

 

 

 

40,839

 

AFLAC,Inc.

 

 

 

2,558,155

37,010

 

Genworth Financial Inc. (Class A)

 

 

 

971,142

22,666

 

Lincoln National Corp.

 

 

 

1,395,546

62,079

 

MetLife, Inc.

 

 

 

4,071,762

7,994

 

Torchmark Corp.

 

 

 

493,070

30,164

 

UnumProvident Corp.

 

 

 

749,274

 

 

 

 

 

 

10,238,949

 

 

Major Banks (4.8%)

 

 

 

 

370,981

 

Bank of America Corp.

 

 

 

17,113,354

95,129

 

Bank of New York Mellon Corp.

 

 

 

4,562,387

46,145

 

BB&T Corp.

 

 

 

1,664,912

12,792

 

Comerica, Inc.

 

 

 

585,618

30,593

 

Huntington Bancshares, Inc.

 

 

 

480,004

32,552

 

KeyCorp

 

 

 

857,420

52,945

 

National City Corp.

 

 

 

1,046,193

28,593

 

PNC Financial Services Group, Inc.

 

 

 

2,093,294

58,851

 

Regions Financial Corp.

 

 

 

1,555,432

29,182

 

SunTrust Banks, Inc.

 

 

 

2,045,950

144,337

 

U.S. Bancorp

 

 

 

4,776,111

159,100

 

Wachovia Corp.

 

 

 

6,841,300

279,443

 

Wells Fargo & Co.

 

 

 

9,062,336

 

 

 

 

 

 

52,684,311

 

 


 

 

 

Major Telecommunications (3.1%)

 

 

 

 

509,899

 

AT&T Inc.

 

 

 

19,483,241

12,756

 

Embarq Corp.

 

 

 

649,918

237,989

 

Sprint Nextel Corp.

 

 

 

3,693,589

242,664

 

Verizon Communications, Inc.

 

 

 

10,485,511

 

 

 

 

 

 

34,312,259

 

 

Managed Health Care (1.5%)

 

 

 

 

42,755

 

Aetna, Inc.

 

 

 

2,389,149

23,648

 

CIGNA Corp.

 

 

 

1,267,769

13,086

 

Coventry Health Care, Inc. *

 

 

 

757,418

14,066

 

Humana, Inc. *

 

 

 

1,083,504

110,765

 

UnitedHealth Group Inc.

 

 

 

6,092,075

50,483

 

WellPoint Inc. *

 

 

 

4,251,173

 

 

 

 

 

 

15,841,088

 

 

Media Conglomerates (1.7%)

 

 

 

 

57,263

 

CBS Corp. (Class B)

 

 

 

1,570,724

162,269

 

Disney (Walt) Co. (The)

 

 

 

5,379,217

193,544

 

News Corp. (Class A)

 

 

 

4,077,972

311,785

 

Time Warner, Inc.

 

 

 

5,381,409

57,404

 

Viacom Inc. (Class B) *

 

 

 

2,412,116

 

 

 

 

 

 

18,821,438

 

 

Medical Distributors (0.4%)

 

 

 

 

15,063

 

AmerisourceBergen Corp.

 

 

 

683,408

30,476

 

Cardinal Health, Inc.

 

 

 

1,845,322

24,727

 

McKesson Corp.

 

 

 

1,650,033

11,647

 

Patterson Companies, Inc. *

 

 

 

374,800

 

 

 

 

 

 

4,553,563

 

 

Medical Specialties (2.1%)

 

 

 

 

15,365

 

Applera Corp. - Applied Biosystems Group

 

 

 

524,868

8,645

 

Bard (C.R.), Inc.

 

 

 

730,762

53,902

 

Baxter International, Inc.

 

 

 

3,227,113

20,348

 

Becton, Dickinson & Co.

 

 

 

1,683,390

111,536

 

Boston Scientific Corp. *

 

 

 

1,408,700

41,487

 

Covidien Ltd.

 

 

 

1,664,044

13,043

 

Hospira, Inc. *

 

 

 

564,762

94,817

 

Medtronic, Inc.

 

 

 

4,821,444

10,263

 

Pall Corp.

 

 

 

392,560

10,141

 

PerkinElmer, Inc.

 

 

 

276,646

28,501

 

St. Jude Medical, Inc. *

 

 

 

1,132,915

19,836

 

Stryker Corp.

 

 

 

1,440,689

35,664

 

Thermo Fisher Scientific, Inc. *

 

 

 

2,055,673

10,569

 

Varian Medical Systems, Inc. *

 

 

 

528,027

8,344

 

Waters Corp. *

 

 

 

651,166

19,820

 

Zimmer Holdings, Inc. *

 

 

 

1,282,949

 

 

 

 

 

 

22,385,708

 

 

Miscellaneous Commercial Services (0.0%)

 

 

 

 

11,289

 

Cintas Corp.

 

 

 

361,135

 

 

 

 

 

 

 

 

Miscellaneous Manufacturing (0.1%)

 

 

 

 

17,111

 

Dover Corp.

 

 

 

791,897

 

 

 

 

 

 

 

 

 

Motor Vehicles (0.3%)

 

 

 

 

175,535

 

Ford Motor Co. *

 

 

 

1,318,268

47,358

 

General Motors Corp.

 

 

 

1,412,689

21,001

 

Harley-Davidson, Inc.

 

 

 

1,008,468

 

 

 

 

 

 

3,739,425

 

 


 

 

 

Multi-Line Insurance (1.6%)

 

 

 

 

214,393

 

American International Group, Inc.

 

 

 

12,462,665

26,508

 

Hartford Financial Services Group, Inc. (The)

 

 

 

2,526,743

37,169

 

Loews Corp.

 

 

 

1,776,307

8,703

 

SAFECO Corp.

 

 

 

502,250

 

 

 

 

 

 

17,267,965

 

 

Office Equipment/Supplies (0.1%)

 

 

 

 

8,902

 

Avery Dennison Corp.

 

 

 

463,883

18,386

 

Pitney Bowes Inc.

 

 

 

707,861

 

 

 

 

 

 

1,171,744

 

 

Oil & Gas Pipelines (0.2%)

 

 

 

 

58,616

 

El Paso Corp.

 

 

 

942,545

50,130

 

Williams Companies, Inc. (The)

 

 

 

1,740,012

 

 

 

 

 

 

2,682,557

 

 

Oil & Gas Production (1.6%)

 

 

 

 

38,835

 

Anadarko Petroleum Corp.

 

 

 

2,198,061

27,721

 

Apache Corp.

 

 

 

2,683,116

34,275

 

Chesapeake Energy Corp.

 

 

 

1,297,309

37,235

 

Devon Energy Corp.

 

 

 

3,083,430

20,475

 

EOG Resources, Inc.

 

 

 

1,694,921

69,454

 

Occidental Petroleum Corp.

 

 

 

4,845,806

32,256

 

XTO Energy, Inc.

 

 

 

1,994,066

 

 

 

 

 

 

17,796,709

 

 

Oil Refining/Marketing (0.7%)

 

 

 

 

56,943

 

Marathon Oil Corp.

 

 

 

3,183,114

10,063

 

Sunoco, Inc.

 

 

 

675,227

9,900

 

Tesoro Corp.

 

 

 

486,882

46,302

 

Valero Energy Corp.

 

 

 

3,012,871

 

 

 

 

 

 

7,358,094

 

 

Oilfield Services/Equipment (1.8%)

 

 

 

 

26,815

 

Baker Hughes Inc.

 

 

 

2,152,440

24,381

 

BJ Services Co.

 

 

 

599,285

74,421

 

Halliburton Co.

 

 

 

2,724,553

29,736

 

National-Oilwell Varco, Inc. *

 

 

 

2,026,508

99,661

 

Schlumberger Ltd. (Netherlands Antilles)

 

 

 

9,313,320

16,781

 

Smith International, Inc.

 

 

 

1,052,504

28,235

 

Weatherford International Ltd. (Bermuda) *

 

 

 

1,768,076

 

 

 

 

 

 

19,636,686

 

 

Other Consumer Services (0.5%)

 

 

 

 

11,880

 

Apollo Group, Inc. (Class A) *

 

 

 

909,058

27,141

 

Block (H&R), Inc.

 

 

 

534,135

95,384

 

eBay Inc. *

 

 

 

3,198,226

13,700

 

Expedia, Inc. *

 

 

 

446,620

 

 

 

 

 

 

5,088,039

 

 

Other Consumer Specialties (0.1%)

 

 

 

 

12,787

 

Fortune Brands, Inc.

 

 

 

980,124

 

 

 

 

 

 

 

 

Other Metals/Minerals (0.0%)

 

 

 

 

7,500

 

Titanium Metals Corp.

 

 

 

222,525

 

 

 

 

 

 

 

 

 

Packaged Software (3.3%)

 

 

 

 

49,221

 

Adobe Systems, Inc. *

 

 

 

2,074,173

19,229

 

Autodesk, Inc. *

 

 

 

905,494

16,821

 

BMC Software, Inc. *

 

 

 

556,439

32,492

 

CA Inc.

 

 

 

795,729

25,335

 

Compuware Corp. *

 

 

 

209,267

28,333

 

Intuit Inc. *

 

 

 

830,724

674,093

 

Microsoft Corp.

 

 

 

22,649,525

29,155

 

Novell, Inc. *

 

 

 

204,668

329,152

 

Oracle Corp. *

 

 

 

6,642,287

75,195

 

Symantec Corp. *

 

 

 

1,338,471

 

 

 

 

 

 

36,206,777

 

 


 

 

 

Personnel Services (0.1%)

 

 

 

 

11,066

 

Monster Worldwide Inc. *

 

 

 

373,699

13,706

 

Robert Half International, Inc.

 

 

 

369,514

 

 

 

 

 

 

743,213

 

 

Pharmaceuticals: Generic Drugs (0.1%)

 

 

 

 

8,963

 

Barr Pharmaceuticals Inc. *

 

 

 

481,313

20,794

 

Mylan Laboratories, Inc. *

 

 

 

299,018

8,583

 

Watson Pharmaceuticals, Inc. *

 

 

 

251,568

 

 

 

 

 

 

1,031,899

 

 

Pharmaceuticals: Major (6.2%)

 

 

 

 

129,206

 

Abbott Laboratories

 

 

 

7,430,637

165,361

 

Bristol-Myers Squibb Co.

 

 

 

4,899,646

82,589

 

Eli Lilly & Co.

 

 

 

4,373,088

241,993

 

Johnson & Johnson

 

 

 

16,392,606

181,953

 

Merck & Co., Inc.

 

 

 

10,800,730

579,135

 

Pfizer, Inc.

 

 

 

13,760,248

135,388

 

Schering-Plough Corp.

 

 

 

4,237,644

112,417

 

Wyeth

 

 

 

5,519,675

 

 

 

 

 

 

67,414,274

 

 

Pharmaceuticals: Other (0.3%)

 

 

 

 

25,741

 

Allergan, Inc.

 

 

 

1,725,677

26,431

 

Forest Laboratories, Inc. *

 

 

 

1,018,915

20,397

 

King Pharmaceuticals, Inc. *

 

 

 

216,004

 

 

 

 

 

 

2,960,596

 

 

Precious Metals (0.5%)

 

 

 

 

31,914

 

Freeport-McMoRan Copper & Gold, Inc.

 

 

 

3,157,252

37,761

 

Newmont Mining Corp.

 

 

 

1,876,344

 

 

 

 

 

 

5,033,596

 

 

Property – Casualty Insurers (1.0%)

 

 

 

 

27,506

 

ACE Ltd. (Cayman Islands)

 

 

 

1,645,684

48,908

 

Allstate Corp. (The)

 

 

 

2,500,177

32,882

 

Chubb Corp. (The)

 

 

 

1,793,713

14,371

 

Cincinnati Financial Corp.

 

 

 

574,553

60,538

 

Progressive Corp. (The)

 

 

 

1,113,899

54,887

 

Travelers Companies, Inc. (The)

 

 

 

2,915,049

15,195

 

XL Capital Ltd. (Class A) (Cayman Islands)

 

 

 

889,363

 

 

 

 

 

 

11,432,438

 

 

Publishing: Books/Magazines (0.0%)

 

 

 

 

3,261

 

Meredith Corp.

 

 

 

179,518

 

 

 

 

 

 

 

 

 

Publishing: Newspapers (0.2%)

 

 

 

 

5,471

 

Dow Jones & Co., Inc.

 

 

 

326,892

19,471

 

Gannett Co., Inc.

 

 

 

715,559

12,047

 

New York Times Co. (The) (Class A)

 

 

 

198,776

7,503

 

Scripps (E.W.) Co. (Class A)

 

 

 

326,005

6,436

 

Tribune Co. *

 

 

 

199,773

 

 

 

 

 

 

1,767,005

 

Pulp & Paper (0.2%)

 

 

 

 

35,919

 

International Paper Co.

 

 

 

1,212,266

15,335

 

MeadWestvaco Corp.

 

 

 

504,061

 

 

 

 

 

 

1,716,327

 

 

Railroads (0.7%)

 

 

 

 

25,115

 

Burlington Northern Santa Fe Corp.

 

 

 

2,097,605

36,703

 

CSX Corp.

 

 

 

1,541,526

32,916

 

Norfolk Southern Corp.

 

 

 

1,685,628

22,272

 

Union Pacific Corp.

 

 

 

2,809,390

 

 

 

 

 

 

8,134,149

 

 

Real Estate Development (0.0%)

 

 

 

 

16,485

 

CB Richard Ellis Group, Inc. (Class A) *

 

 

 

391,519

 

 

 

 

 

 

 

 

 


 

 

 

Real Estate Investment Trusts (1.1%)

 

 

 

 

8,133

 

Apartment Investment & Management Co. (Class A)

 

 

 

323,449

6,666

 

AvalonBay Communities, Inc.

 

 

 

662,867

9,962

 

Boston Properties, Inc.

 

 

 

980,460

10,459

 

Developers Diversified Realty Corp.

 

 

 

464,484

23,170

 

Equity Residential

 

 

 

862,156

20,532

 

General Growth Properties, Inc.

 

 

 

953,506

43,700

 

Host Hotels & Resorts Inc.

 

 

 

838,603

21,087

 

Kimco Realty Corp.

 

 

 

832,726

14,595

 

Plum Creek Timber Co., Inc.

 

 

 

676,770

21,479

 

ProLogis

 

 

 

1,405,156

10,275

 

Public Storage, Inc.

 

 

 

794,669

18,699

 

Simon Property Group, Inc.

 

 

 

1,840,917

11,183

 

Vornado Realty Trust

 

 

 

1,006,470

 

 

 

 

 

 

11,642,233

 

 

Recreational Products (0.2%)

 

 

 

 

7,433

 

Brunswick Corp.

 

 

 

151,559

25,953

 

Electronic Arts Inc. *

 

 

 

1,458,299

13,341

 

Hasbro, Inc.

 

 

 

370,480

32,926

 

Mattel, Inc.

 

 

 

657,861

 

 

 

 

 

 

2,638,199

 

 

Regional Banks (0.5%)

 

 

 

 

16,020

 

Commerce Bancorp, Inc.

 

 

 

637,916

44,786

 

Fifth Third Bancorp

 

 

 

1,339,549

10,526

 

First Horizon National Corp.

 

 

 

232,414

6,342

 

M&T Bank Corp.

 

 

 

576,868

22,284

 

Marshall & Ilsley Corp.

 

 

 

701,277

16,009

 

Northern Trust Corp.

 

 

 

1,296,569

27,371

 

Synovus Financial Corp.

 

 

 

681,264

8,994

 

Zions Bancorporation

 

 

 

490,803

 

 

 

 

 

 

5,956,660

 

 

Restaurants (0.9%)

 

 

 

 

11,835

 

Darden Restaurants, Inc.

 

 

 

470,915

99,637

 

McDonald’s Corp.

 

 

 

5,825,775

62,310

 

Starbucks Corp. *

 

 

 

1,457,431

7,304

 

Wendy’s International, Inc.

 

 

 

204,731

43,471

 

Yum! Brands, Inc.

 

 

 

1,614,948

 

 

 

 

 

 

9,573,800

 

 

Savings Banks (0.2%)

 

 

 

 

44,463

 

Hudson City Bancorp, Inc.

 

 

 

676,727

30,044

 

Sovereign Bancorp, Inc.

 

 

 

353,618

73,214

 

Washington Mutual, Inc.

 

 

 

1,427,673

 

 

 

 

 

 

2,458,018

 

 

Semiconductors (2.2%)

 

 

 

 

46,077

 

Advanced Micro Devices, Inc. *

 

 

 

449,712

29,722

 

Altera Corp.

 

 

 

558,179

26,016

 

Analog Devices, Inc.

 

 

 

800,772

39,219

 

Broadcom Corp. (Class A) *

 

 

 

1,048,716

488,248

 

Intel Corp.

 

 

 

12,733,508

18,560

 

Linear Technology Corp.

 

 

 

565,338

59,866

 

LSI Logic Corp. *

 

 

 

332,256

18,179

 

Microchip Technology Inc.

 

 

 

523,373

63,314

 

Micron Technology, Inc. *

 

 

 

526,772

20,098

 

National Semiconductor Corp.

 

 

 

459,440

45,882

 

NVIDIA Corp. *

 

 

 

1,447,118

119,477

 

Texas Instruments Inc.

 

 

 

3,771,889

24,739

 

Xilinx, Inc.

 

 

 

541,784

 

 

 

 

 

 

23,758,857

 

 

Services to the Health Industry (0.5%)

 

 

 

 

21,557

 

Express Scripts, Inc. *

 

 

 

1,460,487

16,300

 

IMS Health Inc.

 

 

 

380,605

9,844

 

Laboratory Corp. of America Holdings *

 

 

 

715,363

22,638

 

Medco Health Solutions Inc. *

 

 

 

2,263,574

13,069

 

Quest Diagnostics Inc.

 

 

 

719,579

 

 

 

 

 

 

5,539,608

 

 


 

 

 

Specialty Insurance (0.1%)

 

 

 

 

8,532

 

Ambac Financial Group, Inc.

 

 

 

232,326

8,067

 

Assurant, Inc.

 

 

 

527,824

10,580

 

MBIA Inc.

 

 

 

386,276

6,852

 

MGIC Investment Corp. *

 

 

 

161,159

 

 

 

 

 

 

1,307,585

 

 

Specialty Stores (0.4%)

 

 

 

 

12,647

 

AutoNation, Inc. *

 

 

 

208,676

3,825

 

AutoZone, Inc. *

 

 

 

426,985

22,686

 

Bed Bath & Beyond Inc. *

 

 

 

713,475

22,805

 

Office Depot, Inc. *

 

 

 

390,878

6,307

 

OfficeMax Inc.

 

 

 

157,234

59,688

 

Staples, Inc.

 

 

 

1,414,606

11,446

 

Tiffany & Co.

 

 

 

531,438

 

 

 

 

 

 

3,843,292

 

 

Specialty Telecommunications (0.3%)

 

 

 

 

35,100

 

American Tower Corp. (Class A) *

 

 

 

1,598,454

9,357

 

CenturyTel, Inc.

 

 

 

398,889

28,446

 

Citizens Communications Co.

 

 

 

369,229

133,573

 

Qwest Communications International, Inc. *

 

 

 

885,589

39,907

 

Windstream Corp.

 

 

 

516,796

 

 

 

 

 

 

3,768,957

 

 

Steel (0.3%)

 

 

 

 

8,551

 

Allegheny Technologies, Inc.

 

 

 

835,860

24,070

 

Nucor Corp.

 

 

 

1,425,185

9,904

 

United States Steel Corp.

 

 

 

967,621

 

 

 

 

 

 

3,228,666

 

 

Telecommunication Equipment (1.2%)

 

 

 

 

7,148

 

Ciena Corp. *

 

 

 

314,369

131,509

 

Corning Inc. *

 

 

 

3,194,354

193,510

 

Motorola, Inc.

 

 

 

3,090,355

139,973

 

QUALCOMM, Inc.

 

 

 

5,708,099

36,645

 

Tellabs, Inc. *

 

 

 

255,049

 

 

 

 

 

 

12,562,226

 

 

Tobacco (1.4%)

 

 

 

 

176,060

 

Altria Group, Inc.

 

 

 

13,655,214

14,322

 

Reynolds American, Inc.

 

 

 

1,002,826

13,408

 

UST, Inc.

 

 

 

776,323

 

 

 

 

 

 

15,434,363

 

 

Tools/Hardware (0.1%)

 

 

 

 

5,522

 

Black & Decker Corp.

 

 

 

456,393

4,853

 

Snap-On, Inc.

 

 

 

237,215

6,863

 

Stanley Works (The)

 

 

 

357,905

 

 

 

 

 

 

1,051,513

 

 

Trucks/Construction/Farm Machinery (1.0%)

 

 

 

 

53,436

 

Caterpillar Inc.

 

 

 

3,842,048

8,729

 

Cummins Inc.

 

 

 

1,020,420

18,550

 

Deere & Co.

 

 

 

3,186,890

10,600

 

Manitowoc Co., Inc.

 

 

 

464,810

31,179

 

PACCAR, Inc.

 

 

 

1,577,969

8,519

 

Terex Corp. *

 

 

 

549,050

 

 

 

 

 

 

10,641,187

 

 

Wholesale Distributors (0.1%)

 

 

 

 

14,262

 

Genuine Parts Co.

 

 

 

685,289

5,946

 

Grainger (W.W.), Inc.

 

 

 

525,032

 

 

 

 

 

 

1,210,321

 

 

Total Common Stocks

 

 

 

 

 

 

(Cost $770,227,049)

 

 

 

1,089,650,775

 

 


 

 

 

 

 

 

 

 

NUMBER OF

 

 

 

 

 

 

WARRANTS

 

 

 

 

 

 

 

 

Warrants (0.0%)

 

 

 

 

 

 

Aerospace & Defense (0.0%)

 

 

 

 

317

 

Raytheon Co (expire 06/16/11) * (Cost $3,867)

 

 

 

8,220

 

 

 

 

 

 

 

NUMBER OF

 

 

 

 

 

 

SHARES (000)

 

 

 

 

 

 

 

 

Short-Term Investment (0.0%)

 

 

 

 

 

 

Investment Company

 

 

 

 

330

 

Morgan Stanley Institutional Liquidity Money Market

 

 

 

 

 

 

Portfolio - Institutional Class (Cost $329,796)

 

 

 

329,796

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investments

 

 

 

 

 

 

(Cost $770,560,712)(d)

 

99.9%

 

1,089,988,791

 

 

Other Assets in Excess of Liabilities

 

0.1

 

809,091

 

 

Net Assets

 

100.0%

$

1,090,797,882

 

 

 

 

 

 

 

 

______________

*

Non-income producing security.

**

A portion of this security has been physically segregated in connection with open futures contracts in the amount of $72,000.

+

Consists of one or more class of securities trades as a unit. Stocks with attached paired trust shares.

(a)

A security with total market value equal to $0 has been valued at its fair value as determined in good faith under procedures established by and under general supervision of the Fund’s Trustees.

(b)

The Fund invests in Morgan Stanley Institutional Liquidity Money Market Portfolio - Intitutional Class, an open-end management investment company managed by the Investment Adviser. Investment advisory fees paid by the Fund are reduced by an amount equal to the advisory and administrative service fees paid by Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class with respect to assets invested by the Fund in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class. Income distributions earned by the Fund totaled $226,077 for the period ended November 30, 2007.

(c)

Securities have been designated as collateral in an amount equal to $1,417,950. in connection with open futures contracts.

(d)

The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

 


 

 

 

Futures Contracts Open at November 30, 2007:

 

NUMBER OF

CONTRACTS

 

LONG /

SHORT

 

DESCRIPTION,

DELIVERY

MONTH AND YEAR

 

UNDERLYING FACE

AMOUNT

AT VALUE

 

UNREALIZED

DEPRECIATION

 

 

 

 

 

20

Long

S&P 500 Index E-Mini

December 2007

1,483,700

($6,250)

 

 

 

 

 

 

 

 

 

 

 


 

Item 2. Controls and Procedures.

(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

(b) There were no changes in the Fund’s internal control over financial reporting that occurred during the registrant’s fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 3. Exhibits.

(a) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto.

 

 

2

 


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Morgan Stanley S&P 500 Index Fund

 

 

 


/s/ Ronald E. Robison

 

 

Ronald E. Robison
Principal Executive Officer
January 17, 2008

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 


/s/ Ronald E. Robison

 

 

Ronald E. Robison
Principal Executive Officer
January 17, 2008

 

 

 

 


/s/ Francis Smith

 

 

Francis Smith
Principal Financial Officer
January 17, 2008

 

 

 

 

 

3

 


Exhibit 3 A1

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

I, Ronald E. Robison, certify that:

1.

I have reviewed this report on Form N-Q of Morgan Stanley S&P 500 Index Fund;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

 

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)

Omitted;

 

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.

The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: January 17, 2008

 

 

 

 

 


/s/ Ronald E. Robison

 

 

 

Ronald E. Robison
Principal Executive Officer

 

 

4

 


Exhibit 3 A2

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

I, Francis Smith, certify that:

1.

I have reviewed this report on Form N-Q of Morgan Stanley S&P 500 Index Fund;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have:

 

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)

Omitted;

 

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.

The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: January 17, 2008

 

 

 

 

 


/s/ Francis Smith

 

 

 

Francis Smith


Principal Financial Officer

 

 

5