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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07170

TCW Funds, Inc.

(Exact name of registrant as specified in charter)

865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017

(Address of principal executive offices)

Patrick W. Dennis, Esq.

Vice President and Assistant Secretary

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

(Name and address of agent for service)

Registrant’s telephone number, including area code: (213) 244-0000

Date of fiscal year end: October 31

Date of reporting period: October 31, 2018

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OCTOBER 31  

A N N U A L

R E P O R T

EQUITY FUNDS

TCW Artificial Intelligence Equity Fund

TCW Global Real Estate Fund

TCW New America Premier Equities Fund

TCW Relative Value Dividend Appreciation Fund

TCW Relative Value Large Cap Fund

TCW Relative Value Mid Cap Fund

TCW Select Equities Fund

ASSET ALLOCATION FUND

TCW Conservative Allocation Fund

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TCW Funds, Inc.

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Dear Valued Investors,

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TCW Artificial Intelligence Equity Fund

Management Discussions

For the year ended October 31, 2018, the TCW Artificial Intelligence Equity Fund (the “Fund”) returned +5.09% and +5.00% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, Russell 3000 Growth Index, returned +10.20% over the same period.

The fiscal year of 2018 started with the S&P 500 posting an 11% gain for the year, though volatility shook the markets in October as the market entered “correction” territory and registered a 10% decline from its late-September peak. The catalysts for the recent leg down include, among other things:

Given the considerable uncertainty inherent in the above headwinds for the equity market, stock volatility (as measured by the CBOE Volatility Index (VIX)) at one point roughly doubled in the month of October, from around 12 to 25. Because there is no assurance that the above-stated cross-currents are likely to be resolved in the near-term, it is difficult to anticipate the duration of this period of heightened volatility.

Our two biggest stock contributors during the year were Amazon.com and Netflix, both of which are on the forefront of artificial intelligence technology. Amazon uses machine learning and artificial intelligence in all aspects of its businesses, both retail and Amazon Web Services. On its retail side, algorithmic pricing changes the list price of items, sometimes thousands of times per day, tens of thousands of Kiva robots help assist human workers in fulfilling orders, and drones just recently started delivering orders in the UK and US. Amazon has the leading position in the next frontier of AI — voice — through its Echo devices and the Alexa platform. In cloud computing, Amazon offers a family of AI services that provide cloud-native machine and deep learning, including natural language understanding and automatic speech recognition (Lex), visual search and image recognition (Rekognition), and text-to-speech (Polly).

Amazon showcased encouraging profitability performance during both its second and third quarters. The company exceeded expectations on operating profit behind a sizable margin improvement in the North American Retail segment. Management provided commentary that they are finding and driving efficiencies in the business that should result in sustainable margins. The company also saw continued acceleration of AWS at scale ($24.5B in annualized revenue growing at 49% with margin expansion). Building upon its strong earnings results, we hypothesize that strong results from Walmart and Target may have led to positive read-throughs to Amazon, as the retailers’ performances could be further evidence of a strong U.S. consumer. This positive momentum continued to support Amazon shares during the period.

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Netflix is a high-growth subscription based content company that applies sophisticated data analysis to its vast amount of generated data in order to determine how much to acquire its content for and how much to invest in its own internally produced content. Furthermore, Netflix’s neural network uses deep learning technology to provide more accurate content recommendations for its users.

Netflix posted stellar subscriber growth during the period. Netflix continues to focus on developing wholesale partnerships and growing its content library which should drive substantial sub growth going forward. The sub strength in the face of price increases suggests that churn has improved and pricing power continues to exist. We believe that the bidding work for 21^st Century Fox’s assets during the year gave investors some insight on how much global distribution at scale could be worth, and more specifically, how much value Netflix holds as a company that is already a more developed international platform than Fox. For company-specific news, Netflix announced a few additional distribution partnerships with Comcast, Telefonica, and KDDI, which should help drive incremental subscriber growth or reduce churn through bundled payment offerings.

Our biggest detractor in the period was Western Digital Corp. Western Digital traded down during the period due to weak NAND pricing concerns that negatively impacted the company’s performance. Flash pricing is expected to decline at a faster rate than in prior quarters due to an influx of flash supply amidst a softer demand environment. Partially offsetting this, however, is flash costs that are declining at 15% to 20% annual rates. In response to the difficult price environment, various suppliers of NAND have announced that they will cut production going into next year, which we believe should result in improved supply-demand dynamics in 2019.

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TCW Artificial Intelligence Equity Fund

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TCW Conservative Allocation Fund

Management Discussions

For the year ended October 31, 2018, the TCW Conservative Allocation Fund (the “Fund”) returned +0.04% for the I Class and -0.35% for the N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark of 40% S&P 500 Index and 60% Bloomberg Barclay U.S. Aggregate Bond Index returned +1.77% over the same period.

The Fund benefited from its allocation in the U.S. equities sector. The strongest returns came from TCW Select Equities Fund (9.3% allocation) and TCW New American Premier Equities Fund (11.4% allocation), both Funds up over 10% over the past year. At the asset allocation level, the decision to overweight large cap U.S. equities helped relative performance.

As of October, the allocation for the Fund was 37% equities, 60% fixed income and 3% cash. This gives the Fund slight underweight to equities and equal weight to fixed income relative to its blended benchmark. Over the past twelve months, the Fund has slightly increased the allocation to Fixed Income. Within Fixed Income, the allocation has been weighted towards lower duration and higher credit quality fixed income. The Fund increased its allocation to Metropolitan West Low Duration Fund over the past year. Within equites, the Fund focused on less volatile and defensive equities. The allocation to TCW Select Equities Fund was slightly increased. Allocations to TCW/Gargoyle Dynamic 500 Fund and TCW/Gargoyle Hedged Value Fund were eliminated this year. The Fund also increased the allocation to cash over the past few months.

Over the past year, U.S. stocks have been volatile. During the month of October, the U.S. equity market at one point registered a 10% price decline from its late-September record high, thereby entering “correction” territory. The catalysts for the recent downturn include, among other things, i) fears that the U.S. Fed will provoke a recession by continuing to raise interest rates, ii) concerns that the U.S. / China trade war is cutting into corporate profits by boosting input costs (many companies have referenced the potential damaging impact of tariffs given the uncertainty for supply chains and potentially higher input costs), and iii) fears that U.S. corporate profit margins have peaked.

The fixed income markets have struggled over the past year with the Bloomberg Barclays U.S. Aggregate Bond Index down 2%. With the 10-year Treasury yields climbing nearly 80 bps in the past year, nearly all sectors in fixed income have struggled. With the Federal Reserve on a path for higher interest rates and unwinding their balance sheets, we think the path for higher interest rates in the short term is likely.

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TCW Conservative Allocation Fund

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TCW Global Real Estate Fund

Management Discussions

For the year ended October 31, 2018, the TCW Global Real Estate Fund (the “Fund”) generated returns of -6.06% and -6.14% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the S&P Global REIT Index, had a positive return of 1.74% over the same period.

On an attribution basis, the Fund’s underperformance relative to its benchmark during the period was both a result of poor stock selection and sector allocation. From a relative standpoint, the Fund’s largest sector overweight was in Industrial REITs (average weight of 17.27% and up 8.3% for the Fund vs. average weight of 9.86% and up 5.32% for the index), which benefitted performance. The Fund’s largest sector underweight was in Diversified REITs (average weight of 5.11% and down 34.04% for the Fund vs. average weight of 15.20% and down 3.71% for the index), which hurt performance. From a stock selection perspective, positive contributors included NextPoint Residential (NXRT) and Ichigo Office REIT (8975 JP). Conversely, notable detractors from performance included Colony Capital (CLNY) and D.R. Horton (DHI).

After a volatile start to 2018, U.S. stocks resumed the upward march of the past several quarters and peaked in September at around 11% gain for the year. However, volatility again reemerged in October, and the S&P 500 at one point registered a 10% price decline from its late-September record high, thereby entering “correction” territory. The catalysts for the most recent leg down include: (i) Fears that the U.S. Federal Reserve will provoke a recession by continuing to raise interest rates, (ii) Concerns that the U.S. / China trade war is cutting into corporate profits by boosting input costs, (ii) Fears that U.S. corporate profit margins have peaked, and (iv) Concern that global growth will continue to slow due to trade issues, the Brexit impasse, the Italian budget dispute, and dislocations in emerging markets. Given the considerable uncertainty inherent in the above headwinds for the equity market, stock volatility (as measured by the VIX) at one point roughly doubled in the month of October, from around 12 to 25.

While REIT indices generally outperformed during the recent period of heightened volatility, they have considerably underperformed the broader markets over the past several quarters. The primary drivers of the performance disparity in recent years have been robust economic growth and the exceptionally strong performance of the technology space. As an illustration, consider that the technology-heavy Nasdaq Composite Index was up 6.7% year-to-date through October 2018, and was up as much as 18% for the year prior to the recent sell-off. To be sure, many of the megacap technology companies have proven that they have dominant business models and can grow share even at massive scale. Furthermore, unlike during the dot-com era, valuation levels do not yet appear excessively stretched. Accordingly, technology has been an area that many investors have overweight. In contrast, the real estate sector has been entirely out of favor. In a booming economy, most REITs are unable to post high revenue growth due to the contractual nature of leases. Additionally, viewed as a hybrid between fixed income instruments and equity, REITs suffer during periods of rising interest rates. Finally, REITs lack the potential upside capture or “homerun” nature of technology companies that are more levered to innovation. The market is not interested in owning land or hard assets as capital-light business models tend to compound capital faster over time.

We take a differentiated view to the space. Rent growth, while potentially delayed, will still come through in a strong economy. Interest rate concerns are not a REIT-specific phenomenon; in the event that rates rise sharply, all asset classes will be affected. Unlike other sectors, REITs just happen to be pricing in rate increases already. With regard to upside capture, the REIT space is evolving and the value of high quality real estate can provide considerable leverage to innovation, but without the risks. As technology hubs form in certain areas, REITs with outsized exposure to these geographies will perform very well and with less

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TCW Global Real Estate Fund

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downside from the next competitor’s disruptive technology. Finally, Real Estate will serve as a good inflation hedge as land tends to appreciate in inflationary environments. For these reasons, we believe it is beneficial to own high quality real estate assets at a time when the market is not interested.

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TCW New America Premier Equities Fund

Management Discussions

For the year ended October 31, 2018, the TCW New America Premier Equities Fund (the “Fund”) returned 10.60% on both I Class and N Class shares. The Fund’s benchmark, the Russell 1000 Index, returned 6.98% over the same period.

The Fund’s performance benefited from concentrated investments in Transunion, Heico Corporation, The Trade Desk Inc. and Constellation Software. The Fund’s performance was negatively impacted by investments in Conagra Brands Inc, Oracle Corporation and Celanese Corporation. Security selection was the primary driver of the Fund’s performance during the year.

As we have indicated in the past we eschew a reliance on macroeconomic forecasts and projections of the future direction of markets — our view is that these factors are unknowable. We therefore focus on what we think is knowable. We believe that a careful assessment of investment opportunities at the security level will provide us, in some cases, with a high probability view of the future free cash flows of a business. Risk adjusted cash flow stream is a key determinant of the future returns of an investment and therefore a key determinant of the portfolio’s future returns. We believe that we have made good decisions in this respect and that the portfolio of companies is built to weather most market environments.

Investment Philosophy

The Fund seeks to outperform the broad U.S. indices in both rising and falling markets with less risk and volatility. We seek to accomplish this objective by investing in a concentrated portfolio of businesses that carefully manage their environmental and social resources and that employ best in class corporate governance practices. We invest in businesses that have high barriers to entry, are stable, generate substantial free cash flow and are managed by prudent leaders.

Risk control. Our primary objective, as stewards of your capital, is to control risk while seeking attractive returns. We control risk in a unique manner; initially we apply our proprietary environmental, social and governance (ESG) quantitative framework to identify better managed businesses that have lower quantifiable and unquantifiable risks. Subsequently we hone our efforts on those businesses that we believe operate in stable industries with attractive industry structures, businesses that produce products that are critical to their customers, and businesses that we believe are led by proven, appropriately incentivized leaders. We endeavor to further control valuation risk by purchasing securities at attractive prices relative to the current free cash flow generation of the businesses. We believe that businesses that fit our profile produce fairly stable cash flow streams and are less prone to macroeconomic fluctuations, competitive pressures and valuation risks.

Consistency. It is also our objective to deliver a consistently positive outcome. We would view outsized outperformance in one year and poor performance in the subsequent year as a poor outcome for our clients. Our bottoms up investment process is focused on selecting undervalued businesses that we believe should perform well in most market environments and hold up well in negative periods. We believe consistency in approach and consistency in outcome gives us the best chance of minimizing a left tail outcome in any given year. It is our view that if we can consistently deliver above average risk adjusted performance over a long period of time the outcome likely would be outperformance relative to our peers over the full period. That is our goal.

Environmental, Social, Governance Analysis: Traditional fundamental analysis does not capture risks associated with managing environmental resources nor does it assess the performance of businesses from

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the perspective of resource efficiency. Traditional analysis does not typically assess the risks associated with a heterogeneous workforce nor does it assess the competence, quality and engagement level of the Board of Directors. Our investment framework not only pays close attention to these issues, but also we quantify, score, and rank companies and exclude businesses based on these risk factors.

While those risks are not quantified through traditional financial analysis, we have found a significant correlation between companies that manage their resources prudently and businesses that sport strong financial metrics. Businesses that meet our rigorous ESG performance requirements typically have higher free cash flow yields, higher total yields, higher margins and lower levels of financial leverage.

Focus on Dominant, Predictable Businesses with High Barriers to Entry: In the long run the investment performance of a portfolio is inextricably linked to the underlying performance of the earnings and cash flows of the businesses comprising the portfolio. We believe one of the greatest risks in investing is valuing a business based on an erroneous view of the future free cash flows of the business. Such a circumstance results in an investor typically overpaying for a business and therefore generating a poor return on the investment.

In fast growing businesses or in industries that are undergoing rapid changes it is extraordinarily difficult and often dangerous to make an investment in a business when the long-term cash generation potential of the enterprise has a wide spectrum of outcomes. We seek to avoid companies and industries that are undergoing rapid changes.

What we do seek, however, are stable businesses that have dominant market positions, and whose long term cash flows we believe can be predicted reasonably well. The qualitative characteristics that we seek, including attractive industry structures, pricing power and dominant market positions, make us confident in our forecast of the future cash flows of the businesses and therefore provide greater confidence that our valuation of the business is reasonably accurate.

The famed value investor Benjamin Graham once said, “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” Our view is that the market weighs cash flows and in order to consistently purchase a security for less than what it is worth, one should have high confidence in the future free cash flows of a business.

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TCW New America Premier Equities Fund

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TCW Relative Value Dividend Appreciation Fund

Management Discussions

For the year ended October 31, 2018, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) posted a return of -3.28% and -3.52% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned +3.03% over the same period.

Market Outlook

With the midterm elections in the rear view mirror, investors can now refocus their attention to the health of the U.S. economy and corporate earnings. The advance release for 3Q 2018 GDP came in at a solid 3.5%. Over the course of 2018, the economy has added over 210,000 jobs, on average, per month, a pace not seen since 2015. The unemployment rate has dipped to 3.7%, the underemployment rate slid to 7.4%, and wage growth has risen to 3.1% year-over-year. Current year-over-year 3Q18 revenue run rates are 8-10% with earnings per share (EPS) approximately 25% (17-19% excluding taxes). This marks the third consecutive quarter of 20%+ EPS growth. Corporate profits have room to grow as the U.S. is firmly in the second, positive phase of an equity cycle where margins continue to increase based on top-line revenue growth.

While the U.S. and most of its partners have arrived at overarching agreements on trade, or are at least in negotiations, the situation with China remains tense. Across the Atlantic, with less than six months to go before Britain is to leave the European Union (EU), there is still uncertainty as to how this will play out. Prime Minister Theresa May suffered another setback after the EU rejected parts of the so-called Chequers Plan. Italian politicians are playing with fire over upcoming budget proposals to the EU. Brussels is likely to take relatively hard stances with both countries. Also of concern is Chancellor Angela Merkel’s announcement she will step down as leader of her Christian Democratic Union party in December and not seek re-election when her term expires in 2021. Her announcement came shortly after her party suffered the worst election results over fifty years in the western state of Hesse.

Historically, when election results are finalized, regardless of which party wins, there have been significant late fourth quarter rallies as investors reposition their portfolios for the new Congress. Since 1926, the S&P 500 has returned 7.4%, on average, in the fourth quarter of mid-term election years versus 3.8% for all fourth quarters. Secondly, the third year of Republican presidential terms (since the Eisenhower administration) have proven to be the strongest for stocks with the S&P 500 returning 17.2% on average, or nearly 2.5x the average yearly return of 7.1%. Finally, the combination of a Republican president and a split Congress has resulted in an average return of 15.7% for the S&P 500 since 1950, the second-best among all permutations.

It is typical for there to be much political “noise” during mid-term election years and this one was no exception, albeit exacerbated by the trade strife between the U.S and China and the specter of higher interest rates. The Democrats taking the House of Representatives has led to a divided government, and a “gridlock” environment has historically been supportive for stocks. Infrastructure legislation represents the most likely common ground opportunity which could provide support for industrials and materials stocks. Even though the risk of recession is still low, acrimonious trade talks with China, Washington strife, a tightening Fed, and the narrowing spread between the 2- and 10-Year Treasury yields are all being continuously monitored.

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TCW Relative Value Dividend Appreciation Fund

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Fund Review

Over the course of the one-year period ended October 31, 2018, the Fund’s top ten conviction-weighted holdings outperformed the portfolio and the benchmark over the period returning +14.2%, on average, led by AES, Cisco Systems, and Merck. The Fund’s Utilities names were the best relative performers led by AES while its Consumer Staples and Consumer Discretionary names outperformed with solid returns from PepsiCo, Procter & Gamble, and Regal Entertainment. Other notable performers included Intercontinental Exchange and Microsoft, with the latter having been completely sold early in 2018 after appreciating past all five valuation factors. On the downside, the Fund’s Financials names were the biggest detractors due in large part to State Street, MetLife, Invesco, and Citigroup. Schlumberger and Baker Hughes were largely responsible for the loss in Energy while General Electric and to a lesser degree Johnson Controls were mostly to blame for the underperformance in Industrials. The Fund also lost ground in Health Care and Materials due to Gilead, Royal Philips, DowDuPont, and Freeport-McMoRan.

The Fund’s strategy tends to outperform one or more of the benchmarks in most market environments, especially those that favor relative value and growth at a reasonable price (GARP). On the other hand, the Fund’s strategy tends to underperform in deep value environments such as 2002 (when only REITs were positive) and 2011 and 2014 (when Utilities was the best performing sector) as well as in momentum markets such as 2008, 2011 and 2015 when correlations were historically high. While performance for the one-year period ending October 31, 2018 is disappointing, it becomes more understandable as to why the Fund’s strategy has underperformed with both deep value and momentum outperforming. Analysis has shown the strategy has a strong record of rebounding after periods of underperformance, and on a three-year rolling period basis (ending October 31, 2018), has outperformed the Russell 1000 Value Index in 10 out of the 14 periods, over 70% of the time.

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TCW Relative Value Large Cap Fund

Management Discussions

For the year ended October 31, 2018, the TCW Relative Value Large Cap Fund (the “Fund”) posted a return of -5.11% and -5.35% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned +3.03% over the same period.

Market Outlook

With the midterm elections in the rear view mirror, investors can now refocus their attention to the health of the U.S. economy and corporate earnings. The advance release for 3Q 2018 GDP came in at a solid 3.5%. Over the course of 2018, the economy has added over 210,000 jobs, on average, per month, a pace not seen since 2015. The unemployment rate has dipped to 3.7%, the underemployment rate slid to 7.4%, and wage growth has risen to 3.1% year-over-year. Current year-over-year 3Q18 revenue run rates are 8-10% with earnings per share (EPS) approximately 25% (17-19% excluding taxes). This marks the third consecutive quarter of 20%+ EPS growth. Corporate profits have room to grow as the U.S. is firmly in the second, positive phase of an equity cycle where margins continue to increase based on top-line revenue growth.

While the U.S. and most of its partners have arrived at overarching agreements on trade, or are at least in negotiations, the situation with China remains tense. Across the Atlantic, with less than six months to go before Britain is to leave the European Union (EU), there is still uncertainty as to how this will play out. Prime Minister Theresa May suffered another setback after the EU rejected parts of the so-called Chequers Plan. Italian politicians are playing with fire over upcoming budget proposals to the EU. Brussels is likely to take relatively hard stances with both countries. Also of concern is Chancellor Angela Merkel’s announcement she will step down as leader of her Christian Democratic Union party in December and not seek re-election when her term expires in 2021. Her announcement came shortly after her party suffered the worst election results over fifty years in the western state of Hesse.

Historically, when election results are finalized, regardless of which party wins, there have been significant late fourth quarter rallies as investors reposition their portfolios for the new Congress. Since 1926, the S&P 500 has returned 7.4%, on average, in the fourth quarter of mid-term election years versus 3.8% for all fourth quarters. Secondly, the third year of Republican presidential terms (since the Eisenhower administration) have proven to be the strongest for stocks with the S&P 500 returning 17.2% on average, or nearly 2.5x the average yearly return of 7.1%. Finally, the combination of a Republican president and a split Congress has resulted in an average return of 15.7% for the S&P 500 since 1950, the second-best among all permutations.

It is typical for there to be much political “noise” during mid-term election years and this one was no exception, albeit exacerbated by the trade strife between the U.S and China and the specter of higher interest rates. The Democrats taking the House of Representatives has led to a divided government, and a “gridlock” environment has historically been supportive for stocks. Infrastructure legislation represents the most likely common ground opportunity which could provide support for industrials and materials stocks. Even though the risk of recession is still low, acrimonious trade talks with China, Washington strife, a tightening Fed, and the narrowing spread between the 2- and 10-Year Treasury yields are all being continuously monitored.

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TCW Relative Value Large Cap Fund

Management Discussions (Continued)

Fund Review

Usually a long-term positive, the Fund’s diversified portfolio structure has hampered returns since mid-May as economically sensitive companies and industries have been negatively impacted by President Trump’s trade war rhetoric and the rotation to U.S. domestic, high dividend oriented sectors. Over the course of the one-year period ended October 31, 2018, the Fund’s top ten conviction-weighted holdings outperformed the portfolio and the benchmark returning +14.5%, on average, led by AES, Cisco Systems, and Merck. The Fund’s Utilities names were the best relative performers led by AES while the strong gains by Molina Healthcare, Merck, and Centene propelled the outperformance in Health Care. The Fund also benefited from stock selection in Consumer Staples and Real Estate led by Procter & Gamble, PepsiCo, and Jones Lang LaSalle. Other positive performers included Intercontinental Exchange and Microsoft, with the latter having been completely sold early in 2018 after appreciating past all five valuation factors. On the downside, the Fund’s Information Technology names were the biggest detractors due in large part to Western Digital and to a lesser degree Cypress Semiconductor and ON Semiconductor. Dana was largely responsible for the loss experienced in Consumer Discretionary while State Street, Hartford Financial, and Invesco detracted in Financials. The Fund also underperformed with its Industrials and Energy names from Terex, General Electric, and Baker Hughes.

The Fund’s strategy tends to outperform one or more of the benchmarks in most market environments, especially those that favor relative value and growth at a reasonable price (GARP). On the other hand, the Fund’s strategy tends to underperform in deep value environments such as 2002 (when only REITs were positive) and 2011 and 2014 (when Utilities was the best performing sector) as well as in momentum markets such as 2008, 2011 and 2015 when correlations were historically high. While performance for the one-year period ending October 31, 2018 is disappointing, it becomes more understandable as to why the Fund’s strategy has underperformed with both deep value and momentum outperforming. Analysis has shown the strategy has a strong record of rebounding after periods of underperformance, and on a three-year rolling period basis (ending October 31, 2018), has outperformed the Russell 1000 Value Index in 15 out of the 21 periods, over 70% of the time.

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TCW Relative Value Large Cap Fund

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TCW Relative Value Mid Cap Fund

Management Discussions

For the year ended October 31, 2018, the TCW Relative Value Mid Cap Fund (the “Fund”) posted a return of -6.48% and -6.61% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell Midcap Value Index, returned +0.16% over the same period.

Market Outlook

With the midterm elections in the rear view mirror, investors can now refocus their attention to the health of the U.S. economy and corporate earnings. The advance release for 3Q 2018 GDP came in at a solid 3.5%. Over the course of 2018, the economy has added over 210,000 jobs, on average, per month, a pace not seen since 2015. The unemployment rate has dipped to 3.7%, the underemployment rate slid to 7.4%, and wage growth has risen to 3.1% year-over-year. For the Russell Midcap, current year-over-year 3Q18 revenue run rates are 8-10% with earnings per share (EPS) approximately 25-30% (20-22% excluding taxes). This marks the fourth consecutive quarter of 20%+ EPS growth. Corporate profits have room to grow as the U.S. is firmly in the second, positive phase of an equity cycle where margins continue to increase based on top-line revenue growth.

While the U.S. and most of its partners have arrived at overarching agreements on trade, or are at least in negotiations, the situation with China remains tense. Across the Atlantic, with less than six months to go before Britain is to leave the European Union (EU), there is still uncertainty as to how this will play out. Prime Minister Theresa May suffered another setback after the EU rejected parts of the so-called Chequers Plan. Italian politicians are playing with fire over upcoming budget proposals to the EU. Brussels is likely to take relatively hard stances with both countries. Also of concern is Chancellor Angela Merkel’s announcement she will step down as leader of her Christian Democratic Union party in December and not seek re-election when her term expires in 2021. Her announcement came shortly after her party suffered the worst election results over fifty years in the western state of Hesse.

Historically, when election results are finalized, regardless of which party wins, there have been significant late fourth quarter rallies as investors reposition their portfolios for the new Congress. Since 1926, the S&P 500 has returned 7.4%, on average, in the fourth quarter of mid-term election years versus 3.8% for all fourth quarters. Secondly, the third year of Republican presidential terms (since the Eisenhower administration) have proven to be the strongest for stocks with the S&P 500 returning 17.2% on average, or nearly 2.5x the average yearly return of 7.1%. Finally, the combination of a Republican president and a split Congress has resulted in an average return of 15.7% for the S&P 500 since 1950, the second-best among all permutations.

It is typical for there to be much political “noise” during mid-term election years and this one was no exception, albeit exacerbated by the trade strife between the U.S and China and the specter of higher interest rates. The Democrats taking the House of Representatives has led to a divided government, and a “gridlock” environment has historically been supportive for stocks. Infrastructure legislation represents the most likely common ground opportunity which could provide support for industrials and materials stocks. Even though the risk of recession is still low, acrimonious trade talks with China, Washington strife, a tightening Fed, and the narrowing spread between the 2- and 10-Year Treasury yields are all being continuously monitored.

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TCW Relative Value Mid Cap Fund

Management Discussions (Continued)

Fund Review

Usually a long-term positive, the Fund diversified portfolio structure has hampered returns since mid-May as economically sensitive companies and industries have been negatively impacted by President Trump’s trade war rhetoric and the rotation to U.S. domestic, high dividend oriented sectors. Over the course of the one-year period ended October 31, 2018, the Fund’s top ten conviction-weighted holdings outperformed the portfolio and the benchmark returning +11.4%, on average, led by Popular, AES, and Centene. The Fund’s benefited significantly from its Health Care names led by the strong returns from Molina Healthcare and Centene while achieving nearly similar results with its Financials holdings led by Popular and E*Trade. AES’s strong showing propelled the outperformance in Utilities. On the downside, the Fund’s Information Technology names were the most deleterious largely due to Western Digital and to a lesser degree Cypress Semiconductor and ON Semiconductor. The Fund also lost value with its Consumer Discretionary holdings due to Dana and homebuilders Toll Brothers, KB Home, Beazer Homes, and Lennar which have struggled as a group due to the specter of rising interest rates, supply, and affordability. After a robust rise in 2017, Manitowoc has struggled in 2018 and was most responsible for the loss experienced in Industrials.

The Fund’s strategy tends to outperform one or more of the benchmarks in most market environments, especially those that favor relative value and growth at a reasonable price (GARP). On the other hand, the Fund’s strategy tends to underperform in deep value environments such as 2002 (when only REITs were positive) and 2011 and 2014 (when Utilities was the best performing sector) as well as in momentum markets such as 2008, 2011 and 2015 when correlations were historically high. While performance for the one-year period ending October 31, 2018 is disappointing, it becomes more understandable as to why the Fund’s strategy has underperformed with both deep value and momentum outperforming. It is worth noting that the Fund achieved the Wall Street Category Kings designation in seven of the twelve months during the fiscal year with the most recent reward being for outstanding one-year performance ended June 30, 2018.

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TCW Relative Value Mid Cap Fund

Management Discussions (Continued)

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TCW Select Equities Fund

Management Discussions

For the year ended October 31, 2018, the TCW Select Equities Fund (the “Fund”) returned +12.59% and +12.36% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, Russell 1000 Growth Index, returned +10.71% over the same period.

Solid economic data led the market higher in 2018. Early in the year, real GDP for 3Q17 was revised higher to +3.3% quarter-on-quarter (QoQ), ISM Manufacturing Index ticked up to a 161 month high and volatility remained subdued. In fact, calendar year 2017 was the only year besides 1995 when we did not have a single trading day with a 5% or greater pullback (vs. the historical average of three times per year since 1928). President Trump signed the Tax Cuts and Jobs Act of 2017, billed as the most sweeping tax reform since 1986. Alas, volatility finally returned in February 2018 and the S&P 500 Index logged its worst month in two years. In Washington, a bipartisan budget deal was passed, which will increase spending by $500 billion over the next two years and the debt ceiling was suspended. In March, fears of a potential trade war emerged when President Trump announced 25% tariffs on aluminum and 10% on steel (while excluding Canada and Mexico) as well as tariffs to ~$50B of Chinese goods but the U.S. economy remained solid as U.S. GDP grew +4.1% QoQ annualized rate in 2Q18. In September, the S&P 500 Index touched an all-time high and the Federal Reserve (“Fed”) hiked rates another 25bps, its eighth tightening since December 2015. Trade war concerns remained center stage as President Trump announced plans for additional tariffs on ~$200B of imports from China. In October, the S&P 500 Index finished with its worst monthly return (-7%) in seven years. Bond yields spiked up, the VIX jumped above 20 for the first time since April and the spread between 2-year Treasuries and 10-year Treasuries finished October at 28bps, essentially one Fed tightening from yield curve inversion. As the fiscal year ended, focus turned to midterm elections and ponderance of whether a Fed policy error may be imminent.

Net of expenses, the Fund outperformed the benchmark for the year primarily as a result of security selection, particularly in the information technology sector. Our biggest stock contributor during the year was Adobe Systems Incorporated (ADBE). The stock rallied due to a string of solid earnings reports and the news that it had entered the e-commerce market with the acquisition of privately-held Magento Commerce for ~$1.7B. We believe Magento will expand Adobe’s TAM (Total Addressable Market) by $13B; and by adding Magento’s e-Commerce and Order Management assets to its portfolio, ADBE will be able to manage the entire digital customer lifecycle. Also in the information technology sector, shares of ServiceNow, Inc. (NOW) moved higher after several strong earnings reports that included both operating margin as well as TAM expansion.

Our two biggest stock detractors during the year came from the financials and real estate sectors. Shares of Chubb Limited (CB) pulled back after the company announced preliminary fourth quarter loss estimates of $320 million from California’s wildfires and other natural catastrophes, net of reinsurance recoveries. Shares of Equinix, Inc. (EQIX) declined after reporting mixed quarterly results that missed consensus EBITDA estimates largely due to accelerating investments. While near-term investments and rising interest rates create a modest headwind for the stock, we remain constructive on the company as we believe long-term demand trends remain favorable and EQIX has an enviable competitive position in the rapidly growing data center industry.

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TCW Select Equities Fund

Management Discussions (Continued)

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TCW Artificial Intelligence Equity Fund

Schedule of Investments

See accompanying notes to financial statements.

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TCW Artificial Intelligence Equity Fund

October 31, 2018

See accompanying notes to financial statements.

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TCW Artificial Intelligence Equity Fund

See accompanying notes to financial statements.

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TCW Artificial Intelligence Equity Fund

The following is a summary of the fair valuations according to the inputs used as of October 31, 2018 in valuing the Fund’s investments:

See accompanying notes to financial statements.

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TCW Conservative Allocation Fund

Schedule of Investments

See accompanying notes to financial statements.

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TCW Conservative Allocation Fund

October 31, 2018

The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the year ended October 31, 2018 is as follows: