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  • Morgan Stanley Frontier Emerging Markets Fund, Inc.

    Directors Michael E. Nugent

    Frank L. Bowman

    Michael Bozic

    Kathleen A. Dennis

    James F. Higgins

    Dr. Manuel H. Johnson

    Joseph J. Kearns

    Michael F. Klein

    W. Allen Reed

    Fergus Reid

    Stefanie V. Chang Yu Vice President

    Francis J. Smith Treasurer and Principal Financial Officer

    Mary Ann Picciotto Chief Compliance Officer

    Mary E. Mullin Secretary

    Officers Michael E. Nugent Chairman of the Board and Director

    Arthur Lev President and Principal Executive Officer

    Investment Adviser and Administrator Morgan Stanley Investment Management Inc. 522 Fifth Avenue New York, New York 10036

    Custodian State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts 02111

    Stockholder Servicing Agent Computershare Trust Company, N.A. 250 Royall Street Canton, Massachusetts 02021

    Legal Counsel Dechert LLP 1095 Avenue of the Americas New York, New York 10036

    Independent Registered Public Accounting Firm Ernst & Young LLP 200 Clarendon Street Boston, Massachusetts 02116

    For additional Fund information, including the Fund’s net asset value per share and information regarding the investments comprising the Fund’s portfolio, please call toll free 1 (800) 231-2608 or visit our website at www.morganstanley.com/im. All investments involve risks, including the possible loss of principal.

    © 2011 Morgan Stanley

    M SITFAN

    N IU11-02592P-Y10/11

    Annual Report October 31, 2011

    Morgan Stanley Investment Management Inc. Investment Adviser

    INVESTMENT MANAGEMENT

    Morgan Stanley Frontier Emerging Markets Fund, Inc. (FFD)

    Merrill Corp - MS Frontier Emerging Markets Fund_ Inc. Annual Report [Funds] 10-31-2011 ED [AUX] | bjasper | 19-Dec-11 10:37 | 11-29067-2.aa | Sequence: 1 CHKSUM Content: 13078 Layout: 57604 Graphics: 26433 CLEAN

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    Morgan Stanley Frontier Emerging Markets Fund, Inc.

    Overview

    Letter to Stockholders (unaudited) Performance For the year ended October 31, 2011, the Morgan Stanley Frontier Emerging Markets Fund, Inc. (the “Fund”) had total returns

    of -15.35%, based on net asset value, and -17.74% based on market value per share (including reinvestment of distributions),

    compared to its benchmark, the Morgan Stanley Capital International (MSCI) Frontier Markets Index (the “Index”), which

    returned -12.09%. On October 31, 2011, the closing price of the Fund’s shares on the New York Stock Exchange was $11.40,

    representing a 10.6% discount to the Fund’s net asset value per share. Past performance is no guarantee of future results.

    Factors Affecting Performance • Performance dispersion between countries continued to be high, highlighting the importance of conducting strong macro

    analysis and rigorous country allocation, along with active management within the frontier universe.

    • Rising inflation and growing political risk across many of the frontier markets around the world have made 2011 the most

    challenging year for performance since the inception of the Fund. While Argentina dealt with presidential elections and an

    economy in desperate need of policy change, Kenya struggled with inflation and a weak currency. The European Union debt

    crisis also weighed heavily on the peripheral Eastern European frontier markets. On a positive note, following the Arab Spring,

    many of the countries in the Middle East recovered quickly, with Qatar and Tunisia posting positive returns year-to-date.

    • Country allocation contributed to performance, driven by an underweight allocation to Bangladesh. An overweight allocation to

    Saudi Arabia also added to returns.

    • Stock selection and an overweight allocation to Kazakhstan also aided performance.

    • However, stock selection detracted from returns, primarily in Argentina, Pakistan and Nigeria.

    • An overweight allocation in Kenya also dampened performance.

    Management Strategies • Despite the difficulties of 2011, in our view, the long-term prospects for the asset class remain positive given the compelling

    economic and demographic characteristics of so many frontier markets. Sentiment toward the asset class has been relatively

    positive in the past year and any change in risk appetite leaves it vulnerable to near-term corrections. However, in our opinion,

    the strong fundamentals of many frontier markets contribute to our positive strategic outlook for many of these markets.

    Merrill Corp - MS Frontier Emerging Markets Fund_ Inc. Annual Report [Funds] 10-31-2011 ED [AUX] | bjasper | 19-Dec-11 10:37 | 11-29067-2.aa | Sequence: 2 CHKSUM Content: 63519 Layout: 63406 Graphics: No Graphics CLEAN

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    Morgan Stanley Frontier Emerging Markets Fund, Inc.

    Overview

    Letter to Stockholders (unaudited) (cont’d) • In terms of portfolio positioning, we continue to focus on countries where we believe gross domestic product (GDP) growth,

    fiscal policy, and reform agendas remain constructive and on companies with what we consider strong earnings visibility, sensible

    management and solid balance sheets. We continue to search for oversold opportunities where we believe valuations are not

    reflecting underlying fundamentals. This core view has not changed. We remain overweight in the portfolio to such countries as

    Saudi Arabia, Qatar, Nigeria, and Sri Lanka, where we believe healthy reform-led growth, reasonable inflation, and increasing

    access to credit have set the stage for strong growth potential in currently low penetration levels in such sectors as banking and

    wireless. Kuwait and Bangladesh remain the portfolio’s largest underweight country positions and drive the large underweight to

    the Middle East and North Africa (MENA) region.

    Sincerely,

    Arthur Lev

    President and Principal Executive Officer November 2011

    Merrill Corp - MS Frontier Emerging Markets Fund_ Inc. Annual Report [Funds] 10-31-2011 ED [AUX] | bjasper | 19-Dec-11 10:37 | 11-29067-2.aa | Sequence: 3 CHKSUM Content: 732 Layout: 56113 Graphics: 25631 CLEAN

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  • 4

    Morgan Stanley Frontier Emerging Markets Fund, Inc.

    October 31, 2011

    Investment Advisory Agreement Approval (unaudited) Nature, Extent and Quality of Services The Board reviewed and considered the nature and extent of the investment advisory services provided by the Adviser (as defined

    herein) under the advisory agreement, including portfolio management, investment research and equity and fixed income securities

    trading. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the

    Fund’s Adviser under the administration agreement, including accounting, clerical, bookkeeping, compliance, business management

    and planning, and the provision of supplies, office space and utilities at the Adviser’s expense. (The advisory and administration

    agreements together are referred to as the “Management Agreement.”) The Board also compared the nature of the services provided by

    the Adviser with similar services provided by non-affiliated advisers as reported to the Board by Lipper, Inc. (“Lipper”).

    The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key

    personnel of the Adviser who provide the administrative and advisory services to the Fund. The Board determined that the Adviser’s

    portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an

    efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services

    provided were necessary and appropriate for the conduct of the business and investment activities of the Fund and supported its

    decision to approve the Management Agreement.

    Performance, Fees and Expenses of the Fund The Board reviewed the performance, fees and expenses of the Fund compared to its peers, as determined by Lipper, and to appropriate

    benchmarks where applicable. The Board discussed with the Adviser the performance goals and the actual results achieved in managing the

    Fund. When considering a fund’s performance, the Board and the Adviser place emphasis on trends and longer-term returns (focusing on

    one-year, three-year and five-year performance, as of December 31, 2010, or since inception, as applicable). When a fund underperforms its

    benchmark and/or its peer group average, the Board and the Adviser discuss the causes of such underperformance and, where necessary,

    they discuss specific changes to investment strategy or investment personnel. The Board noted that the Fund’s performance was better than its

    peer group average for the one-year period but below its peer group average since the end of A