Free Writing Prospectus
Registration Statement No. 333-178081
Dated October 4, 2012
Filed Pursuant To Rule 433
 |
US Target Equity Alpha (ER)
Morgan Stanley Target Equity Index Family
The Target Equity Alpha Index (ER) is a market-neutral strategy, which
represents the outperformance of a regional Target Equity Index against the
relevant benchmark. Each alpha index rebalances monthly and is expressed as
long-short excess return index.
The US Target Equity Alpha Index (ER) is part of the Target Equity Index
Family, a series of indices that seek to identify undervalued stocks that could
generate attractive returns. The indices screen stocks using some of the
valuation metrics used by private equity investors and corporate buyers to
identify their targets. There are World, Europe, Asia, US, UK, Japan and a
Global Shariah compliant index available. The indices rebalance quarterly and
are independently calculated daily by S and P.
Absolute returns
Index
----- ----
US Target Equity Alpha (ER) US Target Equity (PR) S and P 500 (TR)
---------- ---------------------------- ---- --------------------------------------------- ---- -------------- ----
3,500
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
3,000
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
2,500
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
2,000
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
1,500
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
1,000
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
500
----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
---------- ----- ---- ----------------- ---- ----- --------------------------------------- ---- ---- --------- ----
Source: Morgan Stanley as at September 28, 2012; Excess Return = (ER), Total Return = (TR)
Annual returns
02 03 04 05 06 07 08 09 10 11 12*
Annual return
US Target Equity Alpha 25.5% 8.7% 13.1% 5.6% 1.6% -6.7% 4.5% 21.0% 1.9% 1.0% -5.7%
US Target Equity -2.8% 38.0% 24.5% 10.2% 16.9% -2.2% -35.5% 45.6% 16.6% 2.5% 9.8%
S and P 500 -22.5% 28.0% 10.2% 4.3% 15.1% 4.9% -37.4% 25.6% 14.4% 1.5% 15.9%
Volatility**
US Target Equity Alpha 12.2% 6.4% 4.1% 3.7% 3.6% 5.0% 11.3% 15.6% 3.9% 4.2% 6.2%
US Target Equity 26.8% 16.6% 10.5% 10.9% 10.1% 17.3% 44.6% 38.2% 17.8% 23.2% 15.0%
S and P 500 25.5% 16.7% 10.9% 10.1% 9.9% 15.7% 40.3% 26.8% 17.8% 23.0% 12.6%
Risk-adjusted returns***
US Target Equity Alpha 2.10 1.36 3.21 1.52 0.43 -1.34 0.40 1.34 0.49 0.22 -0.92
US Target Equity -0.10 2.29 2.34 0.93 1.67 -0.13 -0.79 1.19 0.93 0.11 0.66
S and P 500 -0.88 1.67 0.94 0.43 1.54 0.31 -0.93 0.95 0.81 0.06 1.26
------------------------ ------ ----- ----- ----- ----- ------ ------ ------ ------ ------ ------
Source: Morgan Stanley; * data until September 28, 2012 ** Standard deviation
of daily returns, annualized
*** Annual return / volatility; Returns prior to the Index launch, from April
4, 2001 through September 28, 2012, are simulated based on historical data.
Returns from July 1, 2007 through September 28, 2012 reflect actual results.
The various performance-related comparisons between US Target Equity Alpha
(ER), US Target Equity and the S and P 500 are for informational purposes only.
There is no guarantee that the US Target Equity Alpha Index will have positive
performance or will outperform the US Target Equity or S and P 500. No one can
guarantee short-term or long-term performance. The stock selection for the US
Target Equity Index could select stocks that underperform the benchmark index,
possibly significantly.
Index facts
Bloomberg ticker MSPIATDA Currency USD
Ric .MSPIATDA Index type Excess return
Calculation Agent and Index Sponsor Morgan Stanley Rebalancing frequency Monthly
Please refer to important information at the end of this material
|
 |
US Target Equity Alpha (ER)
Volatility - rolling 12 month
---- ----
US Target Equity Alpha (ER) US Target Equity (PR) S and P 500 (TR)
-------- ---- --------------------------- ---- ---- ---------------------------------------------------- ---- ------------
60%
---- --------------- ----------- ---- ---- ----------- ---------------------------------------- ---- ---- -------
50%
---- --------------- ----------- ---- ---- ----------- ---------------------------------------- ---- ---- -------
40%
---- --------------- ----------- ---- ---- ----------- ---------------------------------------- ---- ---- -------
30%
---- --------------- ----------- ---- ---- ----------- ---------------------------------------- ---- ---- =======
20%
==== --------------- =========== ==== ==== ----------- ---------------------------------------- ---- ---- -------
10%
---- --------------- =========== ==== ==== ----------- ---------------------------------------- ---- ---- -------
0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
-------- ---- --------------- ----------- ---- ---- ----------- ---------------------------------------- ---- ---- -------
Source: Morgan Stanley; Past performance (actual or simulated) is not an indicator of future performance
Monthly returns
US Target Equity US Target Equity
Alpha (ER) (PR) S and P 500 (TR)
1 Sep-12 -0.7% 2.0% 2.5%
2 Aug-12 1.5% 3.7% 2.2%
3 Jul-12 -2.3% -0.8% 1.4%
4 Jun-12 -0.6% 3.6% 4.1%
5 May-12 -1.6% -7.7% -6.1%
6 Apr-12 -2.0% -2.5% -0.7%
7 Mar-12 -3.4% -0.1% 3.2%
8 Feb-12 2.8% 7.0% 4.2%
9 Jan-12 0.6% 5.0% 4.4%
Dec-11 0.9% 1.9% 1.0%
Nov-11 0.1% -0.2% -0.3%
Oct-11 5.0% -10.5% -14.3%
-------- ---------------- ---------------- ------------
Monthly return profile
Frequency Target Equity Alpha, monthly return profile
---------------------------------------------------------------------------------------- ----
50%
----
45%
----
40%
----
35%
----
30%
----
25%
----
20%
----
15%
----
10%
----
5%
====
0%
- 10% - 10/ - 8% - 8/ - 6% - 6/ - 4% - 4/ - 2% - 2/0% 0/2% 2/4% 4/6% 6/8% 8/10% 10%
---------------------------------------------------------------------------------------- ----
Source: Morgan Stanley as at September 28, 2012; Past performance (actual or
simulated) is not an indicator of future performance.
Important information
Morgan Stanley has filed a registration statement (including a prospectus), and
will file a pricing supplement, with the SEC for any offering to which this
communication relates. Before you invest in any offering, you should read the
prospectus in that registration statement, the applicable pricing supplement
and other documents Morgan Stanley has filed with the SEC for more complete
information about Morgan Stanley and that offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov . Alternatively,
Morgan Stanley will arrange to send you the prospectus if you request by
calling toll free 1-800-584-6837, or you may request a copy from any other
dealer participating in the offering.
This material was prepared by sales, trading or other non-research personnel of
Morgan Stanley and Co. LLC (together with its affiliates, hereinafter "Morgan
Stanley"). This material was not produced by a Morgan Stanley research analyst.
Unless otherwise indicated, these views may differ from those of the Morgan
Stanley fixed income or equity research department or others in the firm.
The Target Equity principles and methodology described herein may not work in
every circumstance or with respect to the financial information of every
company. The measures and factors considered in the Target Equity analysis are
not necessarily correlated with financial or market performance of the
constituent companies and may fail to highlight negative information or data
that could adversely affect the Target Equity Index performance or an
investment related to Target Equity. In addition, the Target Equity principles
are subject to change and may not always achieve their intended results.
Performance data for the index prior to the Index Inception Date has been
calculated retrospectively, based on simulated historical performance.
Retrospective index calculation based on simulated performance is purely
hypothetical and may not be an accurate or meaningful comparison. Past
performance (actual or simulated) is not necessarily indicative of future
results. No representation or warranty is made that any returns indicated will
be achieved.
Investments and services are offered through Morgan Stanley and Co. LLC, member
SIPC.
Copyright [C] by Morgan Stanley 2012, all rights reserved.
|