United States
Securities and Exchange Commission
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-04984
AMERICAN BEACON FUNDS
(Exact name of registrant as specified in charter)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Address of principal executive offices) (Zip code)
Gene L. Needles, Jr., PRESIDENT
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
Registrants telephone number, including area code: (817) 391-6100
Date of fiscal year end: December 31, 2013
Date of reporting period: March 31, 2013
Form N-Q is to be used by management investment companies, other than small business investments companies, registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. SCHEDULES OF INVESTMENTS.
The American Beacon International Equity Index Fund invests all of its investable assets in the Master International Index Series of the Quantitative Master Series Trust. The Schedule of Investments for the Master International Index Series for the fiscal quarter ended March 31, 2013 is provided below.
Schedule of Investments March 31, 2013 (Unaudited) |
Master International Index Series (Percentages shown are based on Net Assets)
|
Common Stocks |
Shares | Value | ||||||
Australia 9.1% |
|
|||||||
AGL Energy Ltd. |
39,470 | $ | 653,014 | |||||
ALS Ltd./Queensland |
24,392 | 267,414 | ||||||
Alumina Ltd. (a) |
187,836 | 217,974 | ||||||
Amcor Ltd. |
86,968 | 842,151 | ||||||
AMP Ltd. |
213,247 | 1,161,185 | ||||||
APA Group |
59,921 | 372,629 | ||||||
Asciano Ltd. |
71,199 | 415,174 | ||||||
ASX Ltd. |
12,704 | 479,740 | ||||||
Aurizon Holdings Ltd. |
132,372 | 556,539 | ||||||
Australia & New Zealand Banking Group Ltd. |
196,509 | 5,857,680 | ||||||
Bendigo and Adelaide Bank Ltd. |
29,133 | 312,495 | ||||||
BGP Holdings Plc (a) |
783,183 | 10 | ||||||
BHP Billiton Ltd. |
232,135 | 7,931,405 | ||||||
Boral Ltd. |
54,919 | 281,747 | ||||||
Brambles Ltd. |
112,049 | 992,957 | ||||||
Caltex Australia Ltd. |
9,654 | 215,463 | ||||||
CFS Retail Property Trust |
140,788 | 294,978 | ||||||
Coca-Cola Amatil Ltd. |
41,486 | 630,494 | ||||||
Cochlear Ltd. |
4,105 | 291,465 | ||||||
Commonwealth Bank of Australia |
116,308 | 8,256,990 | ||||||
Computershare Ltd. |
32,768 | 349,258 | ||||||
Crown Ltd. |
28,521 | 366,520 | ||||||
CSL Ltd. |
36,197 | 2,236,220 | ||||||
Dexus Property Group |
331,249 | 359,772 | ||||||
Echo Entertainment Group Ltd. |
52,974 | 192,705 | ||||||
Federation Centres Ltd. (a) |
98,111 | 240,944 | ||||||
Flight Centre Ltd. |
3,947 | 138,501 | ||||||
Fortescue Metals Group Ltd. |
100,976 | 417,825 | ||||||
Goodman Group |
123,669 | 617,843 | ||||||
GPT Group |
101,916 | 394,212 | ||||||
Harvey Norman Holdings Ltd. |
38,809 | 110,703 | ||||||
Iluka Resources Ltd. |
31,008 | 304,607 | ||||||
Incitec Pivot Ltd. |
119,122 | 384,821 | ||||||
Insurance Australia Group Ltd. |
149,844 | 893,450 | ||||||
Leighton Holdings Ltd. |
11,313 | 243,507 | ||||||
Lend Lease Group |
39,211 | 418,073 | ||||||
Macquarie Group Ltd. |
23,283 | 905,275 | ||||||
Metcash Ltd. |
63,088 | 272,499 | ||||||
Mirvac Group |
250,343 | 423,372 | ||||||
National Australia Bank Ltd. |
167,852 | 5,413,098 | ||||||
Newcrest Mining Ltd. |
55,167 | 1,154,270 | ||||||
Orica Ltd. |
26,352 | 673,264 | ||||||
Origin Energy Ltd. |
78,703 | 1,094,775 | ||||||
OZ Minerals Ltd. |
21,549 | 120,230 | ||||||
Qantas Airways Ltd. (a) |
77,541 | 144,504 | ||||||
QBE Insurance Group Ltd. |
87,087 | 1,230,546 | ||||||
Ramsay Health Care Ltd. |
9,527 | 320,494 | ||||||
Rio Tinto Ltd. |
31,469 | 1,886,589 | ||||||
Santos Ltd. |
70,044 | 909,330 | ||||||
Sims Metal Management Ltd. |
11,568 | 121,512 | ||||||
Sonic Healthcare Ltd. |
27,393 | 398,382 | ||||||
SP AusNet |
124,539 | 155,327 | ||||||
Stockland |
159,894 | 609,894 | ||||||
Suncorp Group Ltd. |
92,725 | 1,143,776 |
Common Stocks |
Shares | Value | ||||||
Australia (concluded) |
|
|||||||
Sydney Airport |
13,793 | $ | 47,116 | |||||
Tabcorp Holdings Ltd. |
52,333 | 176,387 | ||||||
Tatts Group Ltd. |
100,334 | 331,634 | ||||||
Telstra Corp. Ltd. |
313,884 | 1,475,141 | ||||||
Toll Holdings Ltd. |
49,469 | 306,384 | ||||||
Transurban Group |
95,232 | 632,885 | ||||||
Treasury Wine Estates Ltd. |
46,594 | 276,841 | ||||||
Wesfarmers Ltd. |
72,778 | 3,054,393 | ||||||
Westfield Group |
154,589 | 1,750,587 | ||||||
Westfield Retail Trust |
209,106 | 657,983 | ||||||
Westpac Banking Corp. |
222,717 | 7,163,636 | ||||||
Whitehaven Coal Ltd. |
34,376 | 76,391 | ||||||
Woodside Petroleum Ltd. |
47,582 | 1,782,491 | ||||||
Woolworths Ltd. |
89,098 | 3,143,837 | ||||||
WorleyParsons Ltd. |
14,832 | 383,351 | ||||||
|
|
|||||||
75,936,659 | ||||||||
|
|
|||||||
Austria 0.3% |
|
|||||||
Andritz AG |
5,341 | 359,500 | ||||||
Erste Group Bank AG (a) |
15,852 | 443,587 | ||||||
Immoeast AG NPV (a) |
30,711 | | ||||||
IMMOFINANZ AG (a) |
67,515 | 256,117 | ||||||
OMV AG |
10,613 | 452,508 | ||||||
Raiffeisen Bank AG |
3,624 | 123,567 | ||||||
Telekom Austria AG |
15,806 | 103,803 | ||||||
Verbund AG |
4,748 | 103,158 | ||||||
Vienna Insurance Group |
2,890 | 140,263 | ||||||
Voestalpine AG |
8,327 | 256,245 | ||||||
|
|
|||||||
2,238,748 | ||||||||
|
|
|||||||
Belgium 1.2% |
|
|||||||
Ageas |
16,837 | 571,447 | ||||||
Anheuser-Busch InBev NV |
58,066 | 5,772,562 | ||||||
Belgacom SA |
10,971 | 273,113 | ||||||
Colruyt SA |
5,505 | 266,094 | ||||||
Delhaize Group |
7,266 | 396,633 | ||||||
Groupe Bruxelles Lambert SA |
5,931 | 454,285 | ||||||
KBC Groep NV |
17,094 | 592,698 | ||||||
Solvay SA |
4,290 | 582,117 | ||||||
Telenet Group Holding NV |
3,836 | 190,021 | ||||||
UCB SA |
7,928 | 507,134 | ||||||
Umicore SA |
8,215 | 386,385 | ||||||
|
|
|||||||
9,992,489 | ||||||||
|
|
|||||||
Denmark 1.1% |
|
|||||||
A.P. Moller - Maersk A/S, Class A |
40 | 300,100 | ||||||
A.P. Moller - Maersk A/S, Class B |
95 | 745,612 | ||||||
Carlsberg A/S, Class B |
7,700 | 750,704 | ||||||
Coloplast A/S, Class B |
8,311 | 447,833 | ||||||
Danske Bank A/S (a) |
47,225 | 846,711 | ||||||
DSV A/S |
13,734 | 332,365 | ||||||
Novo-Nordisk A/S, Class B |
29,441 | 4,745,362 | ||||||
Novozymes A/S, Class B |
17,793 | 604,185 | ||||||
TDC A/S |
47,982 | 369,312 | ||||||
Tryg A/S |
1,856 | 150,125 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 1 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Denmark (concluded) |
|
|||||||
William Demant Holding A/S (a) |
1,914 | $ | 160,417 | |||||
|
|
|||||||
9,452,726 | ||||||||
|
|
|||||||
Finland 0.8% |
|
|||||||
Elisa Oyj |
10,481 | 195,038 | ||||||
Fortum Oyj |
32,241 | 650,325 | ||||||
Kesko Oyj, Class B |
4,450 | 139,354 | ||||||
Kone Oyj, Class B |
11,207 | 883,604 | ||||||
Metso Oyj |
9,209 | 393,467 | ||||||
Neste Oil Oyj |
8,875 | 125,418 | ||||||
Nokia Oyj |
269,151 | 875,496 | ||||||
Nokian Renkaat Oyj |
8,076 | 360,285 | ||||||
Orion Oyj, Class B |
6,857 | 180,423 | ||||||
Pohjola Bank Plc, Class A |
10,148 | 148,411 | ||||||
Sampo Oyj, Class A |
30,224 | 1,165,669 | ||||||
Stora Enso Oyj, Class R |
40,003 | 258,968 | ||||||
UPM-Kymmene Oyj |
38,762 | 433,526 | ||||||
Wartsila Oyj |
12,185 | 549,253 | ||||||
|
|
|||||||
6,359,237 | ||||||||
|
|
|||||||
France 9.0% |
|
|||||||
Accor SA |
10,644 | 370,176 | ||||||
Aeroports de Paris |
2,172 | 184,308 | ||||||
Air Liquide SA |
22,572 | 2,745,329 | ||||||
Alstom SA |
15,683 | 639,657 | ||||||
ArcelorMittal |
71,870 | 933,661 | ||||||
Arkema |
4,574 | 416,812 | ||||||
Atos Origin SA |
3,901 | 268,800 | ||||||
AXA SA |
127,851 | 2,209,358 | ||||||
BNP Paribas SA |
72,515 | 3,728,412 | ||||||
Bouygues SA |
13,613 | 369,700 | ||||||
Bureau Veritas SA |
4,060 | 505,427 | ||||||
Cap Gemini SA |
11,178 | 509,359 | ||||||
Carrefour SA |
43,447 | 1,190,112 | ||||||
Casino Guichard-Perrachon SA |
4,079 | 428,888 | ||||||
Christian Dior SA |
3,929 | 652,146 | ||||||
Cie Generale de Geophysique-Veritas (a) |
11,523 | 259,881 | ||||||
Cie Generale des Etablissements Michelin, Class B |
13,107 | 1,098,074 | ||||||
CNP Assurances |
12,012 | 165,072 | ||||||
Compagnie de Saint-Gobain |
28,676 | 1,064,802 | ||||||
Credit Agricole SA (a) |
72,435 | 597,910 | ||||||
Danone SA |
41,853 | 2,914,070 | ||||||
Dassault Systemes SA |
4,506 | 521,324 | ||||||
Edenred |
12,432 | 407,424 | ||||||
EDF SA |
17,318 | 332,190 | ||||||
Essilor International SA |
14,607 | 1,625,354 | ||||||
Eurazeo |
2,187 | 111,051 | ||||||
European Aeronautic Defence and Space Co. NV |
32,826 | 1,673,029 | ||||||
Eutelsat Communications SA |
9,730 | 343,241 | ||||||
Fonciere Des Regions |
1,928 | 151,090 | ||||||
France Telecom SA |
133,763 | 1,355,350 | ||||||
GDF Suez |
95,781 | 1,839,977 | ||||||
Gecina SA |
1,582 | 183,816 |
Common Stocks |
Shares | Value | ||||||
France (concluded) |
|
|||||||
Groupe Eurotunnel SA |
40,461 | $ | 322,547 | |||||
ICADE |
1,743 | 152,560 | ||||||
Iliad SA |
1,652 | 351,406 | ||||||
Imerys SA |
2,500 | 162,894 | ||||||
JC Decaux SA |
4,659 | 127,804 | ||||||
Klepierre |
7,240 | 284,696 | ||||||
LOreal SA |
17,580 | 2,789,027 | ||||||
Lafarge SA |
13,459 | 896,044 | ||||||
Lagardere S.C.A. |
8,569 | 315,822 | ||||||
Legrand SA |
17,069 | 744,652 | ||||||
LVMH Moet Hennessy Louis Vuitton SA |
18,354 | 3,153,286 | ||||||
Natixis |
68,093 | 259,041 | ||||||
Pernod Ricard SA |
15,326 | 1,910,130 | ||||||
Peugeot SA (a) |
16,412 | 119,026 | ||||||
PPR |
5,446 | 1,197,684 | ||||||
Publicis Groupe SA |
12,996 | 872,242 | ||||||
Remy Cointreau SA |
1,623 | 187,566 | ||||||
Renault SA |
13,861 | 869,576 | ||||||
Rexel SA |
10,866 | 237,253 | ||||||
Safran SA |
16,531 | 737,771 | ||||||
Sanofi |
86,096 | 8,780,214 | ||||||
Schneider Electric SA |
38,044 | 2,781,983 | ||||||
Scor SE |
12,076 | 347,375 | ||||||
SES SA |
21,947 | 688,312 | ||||||
Societe BIC SA |
2,103 | 244,327 | ||||||
Societe Generale SA (a) |
50,659 | 1,667,786 | ||||||
Sodexo |
6,794 | 633,263 | ||||||
Suez Environnement Co. |
20,503 | 261,428 | ||||||
Technip SA |
7,315 | 750,272 | ||||||
Thales SA |
6,750 | 285,646 | ||||||
Total SA |
153,907 | 7,370,946 | ||||||
Unibail-Rodamco SE |
6,649 | 1,548,578 | ||||||
Vallourec SA |
7,450 | 358,375 | ||||||
Veolia Environnement SA |
24,529 | 310,806 | ||||||
Vinci SA |
33,221 | 1,499,468 | ||||||
Vivendi SA |
95,613 | 1,977,974 | ||||||
Wendel SA |
2,421 | 256,355 | ||||||
Zodiac Aerospace |
2,491 | 290,371 | ||||||
|
|
|||||||
75,540,306 | ||||||||
|
|
|||||||
Germany 8.3% |
|
|||||||
Adidas AG |
15,097 | 1,569,266 | ||||||
Allianz SE, Registered Shares |
32,961 | 4,493,155 | ||||||
Axel Springer AG |
2,723 | 118,298 | ||||||
BASF SE |
66,391 | 5,829,088 | ||||||
Bayer AG, Registered Shares |
59,775 | 6,177,286 | ||||||
Bayerische Motoren Werke AG |
23,932 | 2,070,957 | ||||||
Bayerische Motoren Werke AG, Preference Shares |
3,839 | 245,750 | ||||||
Beiersdorf AG |
7,314 | 675,967 | ||||||
Brenntag AG |
3,765 | 588,701 | ||||||
Celesio AG |
5,979 | 112,490 | ||||||
Commerzbank AG (a) |
274,914 | 404,975 | ||||||
Continental AG |
7,932 | 950,697 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 2 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Germany (concluded) |
|
|||||||
Daimler AG, Registered Shares |
65,590 | $ | 3,576,974 | |||||
Deutsche Bank AG, Registered Shares |
67,209 | 2,627,529 | ||||||
Deutsche Boerse AG |
13,902 | 843,305 | ||||||
Deutsche Lufthansa AG, Registered Shares |
17,030 | 333,083 | ||||||
Deutsche Post AG, Registered Shares |
65,373 | 1,508,609 | ||||||
Deutsche Telekom AG, Registered Shares |
203,072 | 2,149,705 | ||||||
E.ON AG |
130,218 | 2,278,439 | ||||||
Fraport AG Frankfurt Airport Services Worldwide |
2,725 | 152,970 | ||||||
Fresenius Medical Care AG & Co. KGaA |
15,231 | 1,029,779 | ||||||
Fresenius SE & Co. KGaA |
8,975 | 1,108,886 | ||||||
GEA Group AG |
13,064 | 431,476 | ||||||
Hannover Rueckversicherung AG, Registered Shares |
4,466 | 351,598 | ||||||
HeidelbergCement AG |
10,213 | 736,402 | ||||||
Henkel AG & Co. KGaA |
9,370 | 740,584 | ||||||
Henkel AG & Co. KGaA, Preference Shares |
12,852 | 1,238,131 | ||||||
Hochtief AG (a) |
2,160 | 140,836 | ||||||
Hugo Boss AG |
1,734 | 194,717 | ||||||
Infineon Technologies AG |
78,361 | 619,998 | ||||||
K+S AG |
12,414 | 578,720 | ||||||
Kabel Deutschland Holding AG |
6,465 | 596,848 | ||||||
Lanxess AG |
6,082 | 432,335 | ||||||
Linde AG |
13,386 | 2,493,422 | ||||||
MAN SE |
3,073 | 331,091 | ||||||
Merck KGaA |
4,674 | 705,949 | ||||||
Metro AG |
9,325 | 265,423 | ||||||
Muenchener Rueckversicherungs AG, Registered Shares |
12,969 | 2,430,657 | ||||||
Porsche Automobil Holding SE, Preference Shares |
11,021 | 807,441 | ||||||
ProSieben SAT.1 Media AG, Preference Shares |
7,550 | 270,239 | ||||||
RWE AG |
35,276 | 1,316,835 | ||||||
RWE AG, Non-Voting Preference Shares |
2,740 | 98,431 | ||||||
Salzgitter AG |
2,967 | 119,237 | ||||||
SAP AG |
66,594 | 5,355,780 | ||||||
Siemens AG, Registered Shares |
60,496 | 6,521,156 | ||||||
Suedzucker AG |
5,905 | 249,573 | ||||||
ThyssenKrupp AG (a) |
27,809 | 566,932 | ||||||
United Internet AG |
6,744 | 164,184 | ||||||
Volkswagen AG |
2,178 | 410,766 | ||||||
Volkswagen AG, Preference Shares |
10,450 | 2,081,275 | ||||||
|
|
|||||||
69,095,945 | ||||||||
|
|
|||||||
Greece 0.1% |
|
|||||||
Coca Cola Hellenic Bottling Co. SA |
14,579 | 390,859 |
Common Stocks |
Shares | Value | ||||||
Greece (concluded) |
|
|||||||
OPAP SA |
15,543 | $ | 122,424 | |||||
|
|
|||||||
513,283 | ||||||||
|
|
|||||||
Hong Kong 3.1% |
||||||||
AIA Group Ltd. |
870,800 | 3,828,251 | ||||||
ASM Pacific Technology Ltd. |
14,604 | 160,752 | ||||||
Bank of East Asia Ltd. |
88,932 | 351,800 | ||||||
BOC Hong Kong Holdings Ltd. |
266,900 | 892,583 | ||||||
Cathay Pacific Airways Ltd. |
87,263 | 149,638 | ||||||
Cheung Kong Holdings Ltd. |
100,835 | 1,493,632 | ||||||
Cheung Kong Infrastructure Holdings Ltd. |
34,500 | 237,055 | ||||||
CLP Holdings Ltd. |
127,687 | 1,119,229 | ||||||
First Pacific Co. Ltd. |
154,000 | 208,734 | ||||||
Galaxy Entertainment Group Ltd. (a) |
151,000 | 633,134 | ||||||
Hang Lung Properties Ltd. |
162,000 | 606,439 | ||||||
Hang Seng Bank Ltd. |
55,153 | 886,066 | ||||||
Henderson Land Development Co. Ltd. |
70,491 | 483,475 | ||||||
HKT Trust/HKT Ltd. |
156,000 | 156,288 | ||||||
Hong Kong & China Gas Ltd. |
376,295 | 1,099,264 | ||||||
Hong Kong Exchanges and Clearing Ltd. |
76,627 | 1,309,244 | ||||||
Hopewell Holdings Ltd. |
41,349 | 167,835 | ||||||
Hutchison Whampoa Ltd. |
153,176 | 1,601,305 | ||||||
Hysan Development Co. Ltd. |
45,791 | 231,790 | ||||||
Kerry Properties Ltd. |
52,500 | 233,672 | ||||||
Li & Fung Ltd. |
421,980 | 583,274 | ||||||
The Link REIT |
164,414 | 896,627 | ||||||
MGM China Holdings Ltd. |
68,000 | 145,793 | ||||||
MTR Corp. |
103,500 | 411,852 | ||||||
New World Development Co. Ltd. |
264,226 | 449,016 | ||||||
NWS Holdings Ltd. |
100,500 | 179,123 | ||||||
Orient Overseas International Ltd. |
15,057 | 101,970 | ||||||
PCCW Ltd. |
276,000 | 128,211 | ||||||
Power Assets Holdings Ltd. |
100,000 | 945,000 | ||||||
Sands China Ltd. |
174,200 | 906,340 | ||||||
Shangri-La Asia Ltd. |
115,905 | 227,561 | ||||||
Sino Land Co. Ltd. |
211,263 | 359,524 | ||||||
SJM Holdings Ltd. |
137,000 | 342,915 | ||||||
Sun Hung Kai Properties Ltd. |
112,324 | 1,515,588 | ||||||
Swire Pacific Ltd., Class A |
49,577 | 633,261 | ||||||
Swire Properties Ltd. |
83,000 | 295,161 | ||||||
Wharf Holdings Ltd. |
109,357 | 977,890 | ||||||
Wheelock & Co. Ltd. |
64,000 | 341,682 | ||||||
Wing Hang Bank Ltd. |
13,000 | 138,379 | ||||||
Wynn Macau Ltd. (a) |
114,400 | 304,776 | ||||||
Yue Yuen Industrial Holdings Ltd. |
54,285 | 177,346 | ||||||
|
|
|||||||
25,911,475 | ||||||||
|
|
|||||||
Ireland 0.5% |
|
|||||||
CRH Plc |
52,841 | 1,166,769 | ||||||
Elan Corp. Plc (a) |
36,980 | 428,487 | ||||||
Experian Plc |
72,827 | 1,262,529 | ||||||
Irish Bank Resolution Corp. Ltd. (a) |
62,641 | 1 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 3 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Ireland (concluded) |
|
|||||||
James Hardie Industries SE |
32,487 | $ | 340,618 | |||||
Kerry Group Plc |
10,894 | 649,116 | ||||||
Ryanair Holdings Plc |
10,891 | 83,190 | ||||||
|
|
|||||||
3,930,710 | ||||||||
|
|
|||||||
Israel 0.5% |
||||||||
Bank Hapoalim BM (a) |
77,469 | 351,119 | ||||||
Bank Leumi Le-Israel BM (a) |
92,590 | 326,674 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd. |
143,441 | 198,614 | ||||||
Delek Group Ltd. |
355 | 99,788 | ||||||
Israel Chemicals Ltd. |
32,516 | 420,359 | ||||||
The Israel Corp. Ltd. |
178 | 135,034 | ||||||
Mellanox Technologies Ltd. (a) |
2,589 | 142,934 | ||||||
Mizrahi Tefahot Bank Ltd. (a) |
8,935 | 95,233 | ||||||
Nice Systems Ltd. (a) |
4,090 | 150,054 | ||||||
Teva Pharmaceutical Industries Ltd. |
66,185 | 2,624,689 | ||||||
|
|
|||||||
4,544,498 | ||||||||
|
|
|||||||
Italy 1.9% |
|
|||||||
Assicurazioni Generali SpA |
84,129 | 1,317,119 | ||||||
Atlantia SpA |
24,043 | 380,787 | ||||||
Banca Monte dei Paschi di Siena SpA (a) |
447,785 | 106,874 | ||||||
Banco Popolare SC (a) |
131,809 | 166,976 | ||||||
Enel Green Power SpA |
128,859 | 242,156 | ||||||
Enel SpA |
474,601 | 1,556,128 | ||||||
Eni SpA |
183,903 | 4,117,146 | ||||||
Exor SpA |
4,458 | 124,951 | ||||||
Fiat Industrial SpA |
61,678 | 695,549 | ||||||
Fiat SpA (a) |
63,071 | 336,903 | ||||||
Finmeccanica SpA (a) |
29,559 | 142,588 | ||||||
Intesa Sanpaolo SpA |
724,454 | 1,067,374 | ||||||
Intesa Sanpaolo SpA, Non-Convertible Savings Shares |
66,198 | 83,872 | ||||||
Luxottica Group SpA |
12,016 | 603,297 | ||||||
Mediobanca SpA |
37,921 | 193,834 | ||||||
Pirelli & C SpA |
16,831 | 177,065 | ||||||
Prysmian SpA |
14,595 | 301,109 | ||||||
Saipem SpA |
19,168 | 589,114 | ||||||
Snam Rete Gas SpA |
121,853 | 556,631 | ||||||
Telecom Italia SpA |
678,486 | 478,522 | ||||||
Telecom Italia SpA, Non-Convertible Savings Shares |
434,224 | 267,703 | ||||||
Tenaris SA |
34,032 | 693,043 | ||||||
Terna SpA |
94,144 | 390,737 | ||||||
UniCredit SpA (a) |
291,372 | 1,250,652 | ||||||
Unione di Banche Italiane ScpA (a) |
62,528 | 231,614 | ||||||
|
|
|||||||
16,071,744 | ||||||||
|
|
|||||||
Japan 20.9% |
|
|||||||
ABC-Mart, Inc. |
2,000 | 76,131 | ||||||
Acom Co. Ltd. (a) |
2,980 | 85,400 | ||||||
Advantest Corp. |
11,200 | 160,068 | ||||||
Aeon Co. Ltd. |
44,100 | 568,926 |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
Aeon Credit Service Co. Ltd. |
4,500 | $ | 127,766 | |||||
Aeon Mall Co. Ltd. |
5,000 | 151,412 | ||||||
Air Water, Inc. |
10,000 | 143,555 | ||||||
Aisin Seiki Co. Ltd. |
14,000 | 512,848 | ||||||
Ajinomoto Co., Inc. |
47,000 | 706,148 | ||||||
Alfresa Holdings Corp. |
2,900 | 156,732 | ||||||
All Nippon Airways Co. Ltd. |
81,000 | 165,131 | ||||||
Amada Co. Ltd. |
27,000 | 180,325 | ||||||
Aozora Bank Ltd. |
77,000 | 215,842 | ||||||
Asahi Glass Co. Ltd. |
73,100 | 500,632 | ||||||
Asahi Group Holdings Ltd. |
28,300 | 675,798 | ||||||
Asahi Kasei Corp. |
90,000 | 600,127 | ||||||
Asics Corp. |
11,000 | 184,073 | ||||||
Astellas Pharma, Inc. |
32,100 | 1,724,634 | ||||||
The Bank of Kyoto Ltd. |
23,000 | 224,188 | ||||||
The Bank of Yokohama Ltd. |
87,000 | 503,451 | ||||||
Benesse Holdings, Inc. |
4,700 | 201,863 | ||||||
Bridgestone Corp. |
46,900 | 1,578,605 | ||||||
Brother Industries Ltd. |
17,100 | 178,662 | ||||||
Calbee, Inc. |
1,100 | 89,117 | ||||||
Canon, Inc. |
82,000 | 2,960,289 | ||||||
Casio Computer Co. Ltd. |
15,800 | 121,629 | ||||||
Central Japan Railway Co. |
10,400 | 1,095,434 | ||||||
The Chiba Bank Ltd. |
53,000 | 379,858 | ||||||
Chiyoda Corp. |
12,000 | 133,659 | ||||||
Chubu Electric Power Co., Inc. |
46,800 | 572,950 | ||||||
Chugai Pharmaceutical Co. Ltd. |
15,900 | 360,105 | ||||||
The Chugoku Bank Ltd. |
13,000 | 212,158 | ||||||
The Chugoku Electric Power Co., Inc. |
21,600 | 287,832 | ||||||
Citizen Holdings Co. Ltd. |
19,000 | 99,660 | ||||||
Coca-Cola West Co. Ltd. |
4,900 | 85,482 | ||||||
Cosmo Oil Co. Ltd. |
38,000 | 79,890 | ||||||
Credit Saison Co. Ltd. |
11,600 | 288,707 | ||||||
Dai Nippon Printing Co. Ltd. |
40,000 | 376,301 | ||||||
The Dai-ichi Life Insurance Co. Ltd. |
612 | 822,022 | ||||||
Daicel Corp. |
21,000 | 166,341 | ||||||
Daido Steel Co. Ltd. |
21,000 | 114,164 | ||||||
Daihatsu Motor Co. Ltd. |
13,000 | 269,441 | ||||||
Daiichi Sankyo Co. Ltd. |
48,600 | 936,600 | ||||||
Daikin Industries Ltd. |
17,100 | 669,983 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. |
11,900 | 221,751 | ||||||
Daito Trust Construction Co. Ltd. |
5,300 | 451,327 | ||||||
Daiwa House Industry Co. Ltd. |
37,000 | 715,014 | ||||||
Daiwa Securities Group, Inc. |
120,000 | 835,846 | ||||||
Dena Co. Ltd. |
7,400 | 200,754 | ||||||
Denki Kagaku Kogyo KK |
34,000 | 120,578 | ||||||
Denso Corp. |
35,000 | 1,480,941 | ||||||
Dentsu, Inc. |
13,313 | 394,527 | ||||||
Don Quijote Co. Ltd. |
4,100 | 181,535 | ||||||
East Japan Railway Co. |
24,349 | 1,995,904 | ||||||
Eisai Co. Ltd. |
18,200 | 811,637 | ||||||
Electric Power Development Co. Ltd. |
8,400 | 220,926 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 4 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
FamilyMart Co. Ltd. |
4,400 | $ | 203,228 | |||||
FANUC Corp. |
13,900 | 2,138,575 | ||||||
Fast Retailing Co. Ltd. |
3,800 | 1,236,674 | ||||||
Fuji Electric Co. Ltd. |
40,800 | 118,700 | ||||||
Fuji Heavy Industries Ltd. |
43,000 | 667,052 | ||||||
FUJIFILM Holdings Corp. |
33,500 | 653,069 | ||||||
Fujitsu Ltd. |
134,000 | 552,049 | ||||||
Fukuoka Financial Group, Inc. |
54,000 | 276,938 | ||||||
Furukawa Electric Co. Ltd. |
46,000 | 102,570 | ||||||
Gree, Inc. |
6,400 | 79,032 | ||||||
GS Yuasa Corp. |
25,000 | 101,136 | ||||||
The Gunma Bank Ltd. |
27,000 | 162,264 | ||||||
The Hachijuni Bank Ltd. |
31,000 | 187,290 | ||||||
Hakuhodo DY Holdings, Inc. |
1,640 | 124,855 | ||||||
Hamamatsu Photonics KK |
5,300 | 213,283 | ||||||
Hankyu Hanshin Holdings, Inc. |
84,000 | 507,496 | ||||||
Hino Motors Ltd. |
18,000 | 193,035 | ||||||
Hirose Electric Co. Ltd. |
2,100 | 283,404 | ||||||
The Hiroshima Bank Ltd. |
35,000 | 170,949 | ||||||
Hisamitsu Pharmaceutical Co., Inc. |
4,400 | 240,136 | ||||||
Hitachi Chemical Co. Ltd. |
7,400 | 112,045 | ||||||
Hitachi Construction Machinery Co. Ltd. |
8,000 | 172,266 | ||||||
Hitachi High-Technologies Corp. |
4,400 | 92,504 | ||||||
Hitachi Ltd. |
340,000 | 1,960,289 | ||||||
Hitachi Metals Ltd. |
12,000 | 112,253 | ||||||
Hokkaido Electric Power Co., Inc. (a) |
14,000 | 147,611 | ||||||
Hokuriku Electric Power Co. |
12,800 | 157,520 | ||||||
Honda Motor Co. Ltd. |
117,900 | 4,450,356 | ||||||
Hoya Corp. |
31,500 | 585,984 | ||||||
Hulic Co. Ltd. |
18,200 | 149,380 | ||||||
Ibiden Co. Ltd. |
8,400 | 130,754 | ||||||
Idemitsu Kosan Co. Ltd. |
1,500 | 129,327 | ||||||
IHI Corp. |
94,000 | 285,453 | ||||||
Inpex Corp. |
158 | 838,819 | ||||||
Isetan Mitsukoshi Holdings Ltd. |
25,205 | 363,436 | ||||||
Isuzu Motors Ltd. |
86,000 | 506,795 | ||||||
ITOCHU Corp. |
108,600 | 1,304,169 | ||||||
Itochu Techno-Solutions Corp. |
1,700 | 85,199 | ||||||
The Iyo Bank Ltd. |
19,000 | 179,348 | ||||||
J. Front Retailing Co. Ltd. |
34,600 | 267,821 | ||||||
Japan Airlines Co. Ltd. |
4,340 | 201,378 | ||||||
Japan Exchange Group, Inc. |
3,700 | 335,114 | ||||||
Japan Petroleum Exploration Co. |
2,000 | 79,316 | ||||||
Japan Prime Realty Investment Corp. |
58 | 230,017 | ||||||
Japan Real Estate Investment Corp. |
42 | 574,835 | ||||||
Japan Retail Fund Investment Corp. |
147 | 362,427 | ||||||
The Japan Steel Works Ltd. |
24,000 | 127,670 | ||||||
Japan Tobacco, Inc. |
79,600 | 2,535,570 | ||||||
JFE Holdings, Inc. |
35,300 | 662,297 |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
JGC Corp. |
15,000 | $ | 378,902 | |||||
The Joyo Bank Ltd. |
45,000 | 251,805 | ||||||
JS Group Corp. |
19,300 | 380,754 | ||||||
JSR Corp. |
13,200 | 267,980 | ||||||
JTEKT Corp. |
16,600 | 157,222 | ||||||
Jupiter Telecommunications Co. Ltd. |
156 | 204,566 | ||||||
JX Holdings, Inc. |
161,760 | 894,850 | ||||||
Kajima Corp. |
63,800 | 173,421 | ||||||
Kamigumi Co. Ltd. |
17,000 | 157,942 | ||||||
Kaneka Corp. |
20,000 | 115,736 | ||||||
The Kansai Electric Power Co., Inc. (a) |
54,800 | 539,970 | ||||||
Kansai Paint Co. Ltd. |
15,000 | 166,596 | ||||||
Kao Corp. |
37,900 | 1,239,456 | ||||||
Kawasaki Heavy Industries Ltd. |
104,000 | 325,759 | ||||||
KDDI Corp. |
39,200 | 1,610,788 | ||||||
Keikyu Corp. |
34,000 | 355,596 | ||||||
Keio Corp. |
41,000 | 352,187 | ||||||
Keisei Electric Railway Co. Ltd. |
20,000 | 212,996 | ||||||
Keyence Corp. |
3,292 | 1,000,743 | ||||||
Kikkoman Corp. |
12,000 | 211,128 | ||||||
Kinden Corp. |
10,000 | 66,893 | ||||||
Kintetsu Corp. |
116,000 | 537,014 | ||||||
Kirin Holdings Co. Ltd. |
63,000 | 1,010,756 | ||||||
Kobe Steel Ltd. (a) |
179,000 | 207,167 | ||||||
Koito Manufacturing Co. Ltd. |
8,000 | 139,138 | ||||||
Komatsu Ltd. |
67,300 | 1,607,111 | ||||||
Konami Corp. |
7,500 | 150,908 | ||||||
Konica Minolta Holdings, Inc. |
35,500 | 259,333 | ||||||
Kubota Corp. |
78,000 | 1,108,133 | ||||||
Kuraray Co. Ltd. |
25,500 | 379,874 | ||||||
Kurita Water Industries Ltd. |
8,200 | 179,359 | ||||||
Kyocera Corp. |
11,000 | 1,028,987 | ||||||
Kyowa Hakko Kirin Co. Ltd. |
19,000 | 216,670 | ||||||
Kyushu Electric Power Co., Inc. (a) |
31,000 | 321,586 | ||||||
Lawson, Inc. |
4,400 | 338,713 | ||||||
M3, Inc. |
49 | 94,639 | ||||||
Mabuchi Motor Co. Ltd. |
1,800 | 97,282 | ||||||
Makita Corp. |
8,000 | 363,134 | ||||||
Marubeni Corp. |
120,000 | 895,732 | ||||||
Marui Group Co. Ltd. |
15,700 | 162,534 | ||||||
Maruichi Steel Tube Ltd. |
3,400 | 79,964 | ||||||
Mazda Motor Corp. (a) |
194,400 | 580,021 | ||||||
McDonalds Holdings Co. Japan Ltd. |
5,100 | 138,736 | ||||||
Medipal Holdings Corp. |
11,100 | 156,871 | ||||||
Meiji Holdings Co. Ltd. |
4,393 | 203,604 | ||||||
Miraca Holdings, Inc. |
4,100 | 199,602 | ||||||
Mitsubishi Chemical Holdings Corp. |
97,500 | 450,334 | ||||||
Mitsubishi Corp. |
101,500 | 1,878,472 | ||||||
Mitsubishi Electric Corp. |
139,000 | 1,117,254 | ||||||
Mitsubishi Estate Co. Ltd. |
91,000 | 2,508,346 | ||||||
Mitsubishi Gas Chemical Co., Inc. |
27,000 | 178,031 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 5 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
Mitsubishi Heavy Industries Ltd. |
219,200 | $ | 1,245,190 | |||||
Mitsubishi Logistics Corp. |
9,000 | 166,851 | ||||||
Mitsubishi Materials Corp. |
83,000 | 236,186 | ||||||
Mitsubishi Motors Corp. (a) |
294,000 | 305,925 | ||||||
Mitsubishi Tanabe Pharma Corp. |
16,000 | 245,487 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
921,174 | 5,457,795 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. |
41,900 | 221,112 | ||||||
Mitsui & Co. Ltd. |
125,400 | 1,748,250 | ||||||
Mitsui Chemicals, Inc. |
63,000 | 137,131 | ||||||
Mitsui Fudosan Co. Ltd. |
60,000 | 1,681,249 | ||||||
Mitsui OSK Lines Ltd. (a) |
81,000 | 265,757 | ||||||
Mizuho Financial Group, Inc. |
1,652,364 | 3,491,404 | ||||||
MS&AD Insurance Group Holdings |
36,570 | 802,226 | ||||||
Murata Manufacturing Co. Ltd. |
14,600 | 1,086,706 | ||||||
Nabtesco Corp. |
7,300 | 149,984 | ||||||
Namco Bandai Holdings, Inc. |
13,000 | 229,826 | ||||||
NEC Corp. |
157,000 | 408,420 | ||||||
Nexon Co. Ltd. |
7,300 | 70,923 | ||||||
NGK Insulators Ltd. |
19,000 | 204,364 | ||||||
NGK Spark Plug Co. Ltd. |
13,000 | 198,216 | ||||||
NHK Spring Co. Ltd. |
10,700 | 111,454 | ||||||
Nidec Corp. |
7,900 | 472,255 | ||||||
Nikon Corp. |
24,700 | 585,110 | ||||||
Nintendo Co. Ltd. |
7,700 | 826,577 | ||||||
Nippon Building Fund, Inc. |
50 | 690,168 | ||||||
Nippon Electric Glass Co. Ltd. |
26,500 | 134,498 | ||||||
Nippon Express Co. Ltd. |
63,000 | 307,040 | ||||||
Nippon Meat Packers, Inc. |
13,000 | 214,090 | ||||||
Nippon Paper Group, Inc. |
7,094 | 108,169 | ||||||
Nippon Steel Corp. |
548,265 | 1,368,043 | ||||||
Nippon Telegraph & Telephone Corp. |
31,476 | 1,371,936 | ||||||
Nippon Yusen KK |
118,000 | 304,460 | ||||||
The Nishi-Nippon City Bank Ltd. |
48,000 | 150,350 | ||||||
Nissan Motor Co. Ltd. |
179,500 | 1,724,862 | ||||||
Nisshin Seifun Group, Inc. |
14,000 | 190,125 | ||||||
Nissin Foods Holdings Co. Ltd. |
4,300 | 200,207 | ||||||
Nitori Holdings Co. Ltd. |
2,550 | 194,946 | ||||||
Nitto Denko Corp. |
12,010 | 710,296 | ||||||
NKSJ Holdings, Inc. |
27,275 | 568,784 | ||||||
NOK Corp. |
7,100 | 101,773 | ||||||
Nomura Holdings, Inc. |
262,000 | 1,605,160 | ||||||
Nomura Real Estate Holdings, Inc. |
6,500 | 143,831 | ||||||
Nomura Real Estate Office Fund, Inc. |
19 | 142,429 | ||||||
Nomura Research Institute Ltd. |
7,500 | 192,398 | ||||||
NSK Ltd. |
32,000 | 242,939 | ||||||
NTT Data Corp. |
91 | 302,915 | ||||||
NTT DoCoMo, Inc. |
1,102 | 1,662,712 | ||||||
NTT Urban Development Corp. |
84 | 99,269 | ||||||
Obayashi Corp. |
46,000 | 219,792 | ||||||
Odakyu Electric Railway Co. Ltd. |
44,000 | 547,080 | ||||||
OJI Paper Co. Ltd. |
57,000 | 210,013 |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
Olympus Corp. (a) |
14,500 | $ | 340,407 | |||||
Omron Corp. |
15,000 | 369,505 | ||||||
Ono Pharmaceutical Co. Ltd. |
6,100 | 371,130 | ||||||
Oracle Corp. Japan |
2,600 | 117,605 | ||||||
Oriental Land Co. Ltd. |
3,600 | 585,602 | ||||||
ORIX Corp. |
75,500 | 954,773 | ||||||
Osaka Gas Co. Ltd. |
134,000 | 589,042 | ||||||
Otsuka Corp. |
1,100 | 119,250 | ||||||
Otsuka Holdings Co. Ltd. |
26,100 | 914,525 | ||||||
Panasonic Corp. |
159,100 | 1,104,814 | ||||||
Park24 Co. Ltd. |
7,000 | 137,057 | ||||||
Rakuten, Inc. |
52,300 | 531,441 | ||||||
Resona Holdings, Inc. |
136,956 | 709,647 | ||||||
Ricoh Co. Ltd. |
45,000 | 479,720 | ||||||
Rinnai Corp. |
2,300 | 165,332 | ||||||
Rohm Co. Ltd. |
6,900 | 252,761 | ||||||
Sankyo Co. Ltd. |
3,600 | 170,291 | ||||||
Sanrio Co. Ltd. |
3,200 | 142,536 | ||||||
Santen Pharmaceutical Co. Ltd. |
5,200 | 245,700 | ||||||
SBI Holdings, Inc. |
17,140 | 151,235 | ||||||
Secom Co. Ltd. |
15,200 | 782,756 | ||||||
Sega Sammy Holdings, Inc. |
14,332 | 290,810 | ||||||
Sekisui Chemical Co. Ltd. |
31,000 | 339,690 | ||||||
Sekisui House Ltd. |
38,000 | 516,054 | ||||||
Seven & I Holdings Co. Ltd. |
54,400 | 1,799,278 | ||||||
Seven Bank Ltd. |
39,600 | 128,244 | ||||||
Sharp Corp. (a) |
74,000 | 213,718 | ||||||
Shikoku Electric Power Co., Inc. (a) |
12,200 | 177,210 | ||||||
Shimadzu Corp. |
16,000 | 113,994 | ||||||
Shimamura Co. Ltd. |
1,600 | 188,915 | ||||||
Shimano, Inc. |
5,400 | 455,829 | ||||||
Shimizu Corp. |
41,000 | 133,213 | ||||||
Shin-Etsu Chemical Co. Ltd. |
29,600 | 1,964,324 | ||||||
Shinsei Bank Ltd. |
110,000 | 247,611 | ||||||
Shionogi & Co. Ltd. |
21,600 | 445,623 | ||||||
Shiseido Co. Ltd. |
26,000 | 366,341 | ||||||
The Shizuoka Bank Ltd. |
38,000 | 427,692 | ||||||
Showa Denko KK |
101,000 | 151,210 | ||||||
Showa Shell Sekiyu KK |
13,200 | 97,549 | ||||||
SMC Corp. |
3,900 | 752,835 | ||||||
Softbank Corp. |
68,600 | 3,161,223 | ||||||
Sojitz Corp. |
87,100 | 134,100 | ||||||
Sony Corp. |
72,600 | 1,265,759 | ||||||
Sony Financial Holdings, Inc. |
12,300 | 184,147 | ||||||
Stanley Electric Co. Ltd. |
10,600 | 186,496 | ||||||
Sumco Corp. |
8,600 | 99,533 | ||||||
Sumitomo Chemical Co. Ltd. |
106,000 | 329,773 | ||||||
Sumitomo Corp. |
81,300 | 1,016,897 | ||||||
Sumitomo Electric Industries Ltd. |
54,700 | 674,312 | ||||||
Sumitomo Heavy Industries Ltd. |
42,000 | 169,909 | ||||||
Sumitomo Metal Mining Co. Ltd. |
38,000 | 541,877 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
97,150 | 3,894,046 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. |
224,820 | 1,057,499 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 6 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Japan (continued) |
|
|||||||
Sumitomo Realty & Development Co. Ltd. |
25,000 | $ | 954,290 | |||||
Sumitomo Rubber Industries Ltd. |
12,700 | 216,162 | ||||||
Suruga Bank Ltd. |
14,000 | 225,802 | ||||||
Suzuken Co. Ltd. |
4,900 | 182,098 | ||||||
Suzuki Motor Corp. |
26,300 | 589,502 | ||||||
Sysmex Corp. |
5,100 | 313,538 | ||||||
T&D Holdings, Inc. |
42,500 | 512,635 | ||||||
Taiheiyo Cement Corp. |
82,000 | 192,419 | ||||||
Taisei Corp. |
73,000 | 200,754 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. |
2,700 | 195,519 | ||||||
Taiyo Nippon Sanso Corp. |
18,000 | 121,937 | ||||||
Takashimaya Co. Ltd. |
19,000 | 188,830 | ||||||
Takeda Pharmaceutical Co. Ltd. |
57,100 | 3,049,618 | ||||||
TDK Corp. |
8,900 | 309,015 | ||||||
Teijin Ltd. |
70,000 | 162,030 | ||||||
Terumo Corp. |
10,900 | 468,730 | ||||||
THK Co. Ltd. |
9,000 | 173,731 | ||||||
Tobu Railway Co. Ltd. |
75,000 | 427,639 | ||||||
Toho Co. Ltd. |
8,500 | 176,895 | ||||||
Toho Gas Co. Ltd. |
30,000 | 195,264 | ||||||
Tohoku Electric Power Co., Inc. (a) |
32,300 | 260,650 | ||||||
Tokio Marine Holdings, Inc. |
49,900 | 1,404,067 | ||||||
The Tokyo Electric Power Co., Inc. (a) |
108,200 | 292,960 | ||||||
Tokyo Electron Ltd. |
12,600 | 557,220 | ||||||
Tokyo Gas Co. Ltd. |
177,000 | 966,001 | ||||||
Tokyu Corp. |
83,000 | 624,835 | ||||||
Tokyu Land Corp. |
31,000 | 288,671 | ||||||
TonenGeneral Sekiyu KK |
21,000 | 206,031 | ||||||
Toppan Printing Co. Ltd. |
39,000 | 279,932 | ||||||
Toray Industries, Inc. |
106,700 | 720,548 | ||||||
Toshiba Corp. |
291,000 | 1,458,399 | ||||||
Toto Ltd. |
20,000 | 177,320 | ||||||
Toyo Seikan Kaisha Ltd. |
11,500 | 161,669 | ||||||
Toyo Suisan Kaisha Ltd. |
6,000 | 183,478 | ||||||
Toyoda Gosei Co. Ltd. |
4,900 | 113,629 | ||||||
Toyota Boshoku Corp. |
5,000 | 70,079 | ||||||
Toyota Industries Corp. |
11,700 | 426,110 | ||||||
Toyota Motor Corp. |
199,400 | 10,289,701 | ||||||
Toyota Tsusho Corp. |
15,600 | 403,997 | ||||||
Trend Micro, Inc. |
7,500 | 213,182 | ||||||
Tsumura & Co. |
4,100 | 151,279 | ||||||
Ube Industries Ltd. |
76,000 | 149,289 | ||||||
Uni-charm Corp. |
8,300 | 490,879 | ||||||
Ushio, Inc. |
7,700 | 79,633 | ||||||
USS Co. Ltd. |
1,610 | 188,899 | ||||||
West Japan Railway Co. |
12,100 | 580,075 | ||||||
Yahoo! Japan Corp. |
1,048 | 481,826 | ||||||
Yakult Honsha Co. Ltd. |
7,100 | 286,850 | ||||||
Yamada Denki Co. Ltd. |
6,350 | 289,586 | ||||||
Yamaguchi Financial Group, Inc. |
16,000 | 161,733 | ||||||
Yamaha Corp. |
10,800 | 107,106 | ||||||
Yamaha Motor Co. Ltd. |
19,800 | 271,204 |
Common Stocks |
Shares | Value | ||||||
Japan (concluded) |
|
|||||||
Yamato Holdings Co. Ltd. |
27,300 | $ | 504,375 | |||||
Yamato Kogyo Co. Ltd. |
2,900 | 85,048 | ||||||
Yamazaki Baking Co. Ltd. |
8,000 | 108,728 | ||||||
Yaskawa Electric Corp. |
15,000 | 148,598 | ||||||
Yokogawa Electric Corp. |
15,400 | 154,687 | ||||||
|
|
|||||||
175,393,167 | ||||||||
|
|
|||||||
Mexico 0.0% |
||||||||
Fresnillo Plc |
13,315 | 275,463 | ||||||
|
|
|||||||
Netherlands 2.5% |
||||||||
Aegon NV |
129,127 | 779,649 | ||||||
Akzo Nobel NV |
17,172 | 1,091,006 | ||||||
ASML Holding NV |
22,697 | 1,528,722 | ||||||
Corio NV |
4,942 | 230,850 | ||||||
DE Master Blenders 1753 NV (a) |
36,670 | 566,395 | ||||||
Delta Lloyd NV |
12,841 | 221,159 | ||||||
Fugro NV - CVA |
5,062 | 280,575 | ||||||
Gemalto NV |
5,787 | 505,170 | ||||||
Heineken Holding NV |
7,264 | 466,075 | ||||||
Heineken NV |
16,614 | 1,253,088 | ||||||
ING Groep NV - CVA (a) |
276,758 | 1,991,324 | ||||||
Koninklijke Ahold NV |
72,702 | 1,114,503 | ||||||
Koninklijke Boskalis Westminster NV |
5,624 | 223,734 | ||||||
Koninklijke DSM NV |
11,114 | 647,621 | ||||||
Koninklijke KPN NV |
72,455 | 244,036 | ||||||
Koninklijke Philips Electronics NV |
69,219 | 2,047,909 | ||||||
Koninklijke Vopak NV |
5,213 | 314,472 | ||||||
QIAGEN NV (a) |
17,354 | 362,304 | ||||||
Randstad Holding NV |
8,848 | 363,175 | ||||||
Reed Elsevier NV |
49,710 | 852,181 | ||||||
STMicroelectronics NV |
46,746 | 361,124 | ||||||
TNT Express NV |
24,385 | 178,827 | ||||||
Unilever NV - CVA |
117,756 | 4,824,707 | ||||||
Wolters Kluwer NV |
21,755 | 475,371 | ||||||
Ziggo NV |
8,545 | 300,649 | ||||||
|
|
|||||||
21,224,626 | ||||||||
|
|
|||||||
New Zealand 0.1% |
|
|||||||
Auckland International Airport Ltd. |
68,782 | 169,822 | ||||||
Contact Energy Ltd. |
25,128 | 119,944 | ||||||
Fletcher Building Ltd. |
49,552 | 356,379 | ||||||
SKYCITY Entertainment Group Ltd. |
43,664 | 161,405 | ||||||
Telecom Corp. of New Zealand Ltd. |
133,880 | 262,887 | ||||||
|
|
|||||||
1,070,437 | ||||||||
|
|
|||||||
Norway 0.9% |
|
|||||||
Aker Solutions ASA |
12,065 | 226,184 | ||||||
DnB NOR ASA |
70,393 | 1,034,701 | ||||||
Gjensidige Forsikring ASA |
14,091 | 232,882 | ||||||
Norsk Hydro ASA |
67,655 | 294,187 | ||||||
Orkla ASA |
54,841 | 440,290 | ||||||
Seadrill Ltd. |
25,363 | 923,167 | ||||||
Statoil ASA |
80,608 | 1,965,438 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 7 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Norway (concluded) |
||||||||
Subsea 7 SA |
20,624 | $ | 484,098 | |||||
Telenor ASA |
50,604 | 1,112,821 | ||||||
Yara International ASA |
13,475 | 614,355 | ||||||
|
|
|||||||
7,328,123 | ||||||||
|
|
|||||||
Portugal 0.2% |
||||||||
Banco Espirito Santo SA, |
||||||||
Registered Shares (a) |
140,243 | 143,832 | ||||||
EDP - Energias de Portugal SA |
136,366 | 420,219 | ||||||
Galp Energia SGPS SA |
19,954 | 312,806 | ||||||
Jeronimo Martins SGPS SA |
16,209 | 315,703 | ||||||
Portugal Telecom SGPS SA, Registered Shares |
44,559 | 220,882 | ||||||
|
|
|||||||
1,413,442 | ||||||||
|
|
|||||||
Singapore 1.7% |
||||||||
Ascendas Real Estate Investment Trust |
137,962 | 289,840 | ||||||
CapitaCommercial Trust |
149,000 | 190,796 | ||||||
CapitaLand Ltd. |
186,749 | 534,038 | ||||||
CapitaMall Trust |
166,700 | 281,307 | ||||||
CapitaMalls Asia Ltd. |
100,000 | 165,873 | ||||||
City Developments Ltd. |
35,535 | 325,771 | ||||||
ComfortDelGro Corp. Ltd. |
135,816 | 209,532 | ||||||
DBS Group Holdings Ltd. |
131,407 | 1,700,433 | ||||||
Genting Singapore Plc |
446,227 | 539,762 | ||||||
Global Logistic Properties Ltd. |
157,000 | 333,348 | ||||||
Golden Agri-Resources Ltd. |
545,251 | 255,103 | ||||||
Hutchison Port Holdings Trust |
371,000 | 316,543 | ||||||
Jardine Cycle & Carriage Ltd. |
7,721 | 319,215 | ||||||
Keppel Corp. Ltd. |
103,577 | 938,074 | ||||||
Keppel Land Ltd. |
56,000 | 178,575 | ||||||
Noble Group Ltd. |
281,840 | 277,627 | ||||||
Olam International Ltd. |
120,900 | 168,277 | ||||||
Oversea-Chinese Banking Corp. |
185,914 | 1,601,253 | ||||||
SembCorp Industries Ltd. |
70,590 | 296,334 | ||||||
Sembcorp Marine Ltd. |
59,197 | 212,339 | ||||||
Singapore Airlines Ltd. |
40,009 | 351,376 | ||||||
Singapore Exchange Ltd. |
63,000 | 392,389 | ||||||
Singapore Press Holdings Ltd. |
84,316 | 304,948 | ||||||
Singapore Technologies Engineering Ltd. |
112,213 | 390,851 | ||||||
Singapore Telecommunications Ltd. |
574,132 | 1,664,296 | ||||||
StarHub Ltd. |
44,157 | 155,198 | ||||||
United Overseas Bank Ltd. |
92,572 | 1,525,829 | ||||||
UOL Group Ltd. |
32,457 | 183,246 | ||||||
Wilmar International Ltd. |
138,670 | 387,617 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. |
135,183 | 106,231 | ||||||
|
|
|||||||
14,596,021 | ||||||||
|
|
|||||||
Spain 2.7% |
||||||||
Abertis Infraestructuras SA |
26,606 | 448,262 | ||||||
Acciona SA |
1,866 | 102,161 |
Common Stocks |
Shares | Value | ||||||
Spain (concluded) |
||||||||
ACS Actividades de Construccion y Servicios SA |
10,405 | $ | 243,780 | |||||
Amadeus IT Holding SA, Class A |
22,771 | 617,255 | ||||||
Banco Bilbao Vizcaya Argentaria SA |
393,930 | 3,439,605 | ||||||
Banco de Sabadell SA (a) |
204,915 | 377,301 | ||||||
Banco Popular Espanol SA (a) |
398,211 | 296,092 | ||||||
Banco Santander SA |
761,794 | 5,160,691 | ||||||
Bankia SA (a) |
64,874 | 13,791 | ||||||
Caixa Bank |
81,589 | 276,793 | ||||||
Distribuidora Internacional de Alimentacion SA |
44,107 | 306,109 | ||||||
Enagas SA |
13,781 | 321,392 | ||||||
Ferrovial SA |
29,072 | 462,699 | ||||||
Gas Natural SDG SA |
25,240 | 447,866 | ||||||
Grifols SA (a) |
10,747 | 399,151 | ||||||
Iberdrola SA |
339,799 | 1,588,459 | ||||||
Inditex SA |
15,763 | 2,100,509 | ||||||
International Consolidated Airlines Group SA (a) |
65,894 | 254,189 | ||||||
Mapfre SA |
56,128 | 174,418 | ||||||
Red Electrica Corp. SA |
7,798 | 392,703 | ||||||
Repsol YPF SA |
60,662 | 1,232,366 | ||||||
Telefonica SA |
296,097 | 4,011,542 | ||||||
Zardoya Otis SA |
11,354 | 152,197 | ||||||
|
|
|||||||
22,819,331 | ||||||||
|
|
|||||||
Sweden 3.2% |
||||||||
Alfa Laval AB |
24,501 | 564,825 | ||||||
Assa Abloy AB, Class B |
24,073 | 982,757 | ||||||
Atlas Copco AB, Class A |
48,379 | 1,374,644 | ||||||
Atlas Copco AB, Class B |
28,123 | 711,544 | ||||||
Boliden AB |
19,708 | 317,917 | ||||||
Electrolux AB, Class B |
17,162 | 436,861 | ||||||
Elekta AB, Class B |
26,558 | 402,300 | ||||||
Getinge AB, Class B |
14,723 | 448,933 | ||||||
Hennes & Mauritz AB, Class B |
68,655 | 2,455,408 | ||||||
Hexagon AB, Class B |
17,064 | 465,368 | ||||||
Husqvarna AB, Class B |
29,922 | 176,763 | ||||||
Industrivarden AB, Class C |
8,848 | 161,170 | ||||||
Investor AB, Class B |
32,823 | 948,140 | ||||||
Kinnevik Investment AB, Class B |
14,676 | 355,777 | ||||||
Lundin Petroleum AB (a) |
16,421 | 356,332 | ||||||
Millicom International Cellular SA |
4,627 | 369,169 | ||||||
Nordea Bank AB |
190,276 | 2,155,631 | ||||||
Ratos AB, Class B |
14,492 | 153,148 | ||||||
Sandvik AB |
72,262 | 1,113,148 | ||||||
Scania AB, Class B |
23,456 | 491,423 | ||||||
Securitas AB, Class B |
22,513 | 211,865 | ||||||
Skandinaviska Enskilda Banken AB, Class A |
101,621 | 1,020,562 | ||||||
Skanska AB, Class B |
27,380 | 495,147 | ||||||
SKF AB, Class B |
28,256 | 689,480 | ||||||
Svenska Cellulosa AB, B Shares |
41,744 | 1,076,249 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 8 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Sweden (concluded) |
||||||||
Svenska Handelsbanken AB, Class A |
35,799 | $ | 1,529,041 | |||||
Swedbank AB, Class A |
58,182 | 1,323,803 | ||||||
Swedish Match AB |
15,013 | 465,391 | ||||||
Tele2 AB, Class B |
23,163 | 403,460 | ||||||
Telefonaktiebolaget LM Ericsson, Class B |
220,047 | 2,752,858 | ||||||
TeliaSonera AB |
156,095 | 1,113,293 | ||||||
Volvo AB, Class B |
108,414 | 1,580,630 | ||||||
|
|
|||||||
27,103,037 | ||||||||
|
|
|||||||
Switzerland 9.0% |
||||||||
ABB Ltd., Registered Shares (a) |
158,979 | 3,610,224 | ||||||
Actelion Ltd., Registered Shares (a) |
7,806 | 424,591 | ||||||
Adecco SA, Registered Shares (a) |
9,660 | 530,001 | ||||||
Aryzta AG (a) |
6,314 | 373,295 | ||||||
Baloise Holding AG, Registered Shares |
3,524 | 331,189 | ||||||
Banque Cantonale Vaudoise |
218 | 121,860 | ||||||
Barry Callebaut AG (a) |
137 | 132,227 | ||||||
Cie Financiere Richemont SA, Class A |
37,743 | 2,972,508 | ||||||
Credit Suisse Group AG |
90,685 | 2,385,834 | ||||||
EMS-Chemie Holding AG |
575 | 173,197 | ||||||
Geberit AG, Registered Shares (a) |
2,680 | 661,027 | ||||||
Givaudan SA, Registered Shares (a) |
601 | 739,066 | ||||||
Holcim Ltd., Registered Shares (a) |
16,505 | 1,318,770 | ||||||
Julius Baer Group Ltd. (a) |
15,618 | 608,865 | ||||||
Kuehne & Nagel International AG, Registered Shares |
3,968 | 433,354 | ||||||
Lindt & Spruengli AG |
62 | 238,822 | ||||||
Lindt & Spruengli AG, Registered Shares |
7 | 315,996 | ||||||
Lonza Group AG, Registered Shares (a) |
3,867 | 251,499 | ||||||
Nestle SA, Registered Shares |
233,060 | 16,872,953 | ||||||
Novartis AG, Registered Shares |
166,249 | 11,852,629 | ||||||
Pargesa Holding SA |
2,037 | 138,719 | ||||||
Partners Group Holding AG |
1,231 | 304,102 | ||||||
Roche Holding AG |
50,777 | 11,841,028 | ||||||
Schindler Holding AG, Participation Certificates |
3,552 | 521,155 | ||||||
Schindler Holding AG, Registered Shares |
1,514 | 216,119 | ||||||
SGS SA, Registered Shares |
394 | 967,334 | ||||||
Sika AG |
157 | 382,134 | ||||||
Sonova Holding AG, Registered Shares (a) |
3,664 | 440,161 | ||||||
Sulzer AG |
1,732 | 296,473 | ||||||
The Swatch Group AG, Bearer Shares |
2,223 | 1,296,415 | ||||||
The Swatch Group AG, Registered Shares |
3,151 | 320,496 | ||||||
Swiss Life Holding, Registered Shares (a) |
2,181 | 324,314 | ||||||
Swiss Prime Site AG (a) |
3,878 | 314,040 |
Common Stocks |
Shares | Value | ||||||
Switzerland (concluded) |
||||||||
Swiss Re AG (a) |
25,448 | $ | 2,073,193 | |||||
Swisscom AG, Registered Shares |
1,680 | 778,300 | ||||||
Syngenta AG, Registered Shares |
6,734 | 2,818,788 | ||||||
Transocean Ltd. |
25,894 | 1,338,211 | ||||||
UBS AG, Registered Shares (a) |
263,245 | 4,049,251 | ||||||
Zurich Insurance Group AG (a) |
10,657 | 2,975,836 | ||||||
|
|
|||||||
75,743,976 | ||||||||
|
|
|||||||
United Kingdom 21.5% |
|
|||||||
3i Group Plc |
70,365 | 338,960 | ||||||
Aberdeen Asset Management Plc |
64,746 | 423,214 | ||||||
Admiral Group Plc |
15,222 | 308,929 | ||||||
Aggreko Plc |
19,598 | 532,022 | ||||||
AMEC Plc |
21,713 | 349,013 | ||||||
Anglo American Plc |
100,571 | 2,597,667 | ||||||
Antofagasta Plc |
28,668 | 430,436 | ||||||
ARM Holdings Plc |
99,369 | 1,400,460 | ||||||
Associated British Foods Plc |
25,675 | 742,781 | ||||||
AstraZeneca Plc |
90,014 | 4,516,216 | ||||||
Aviva Plc |
214,333 | 971,784 | ||||||
Babcock International Group Plc |
26,054 | 431,540 | ||||||
BAE Systems Plc |
234,485 | 1,408,211 | ||||||
Balfour Beatty Plc |
48,360 | 173,041 | ||||||
Barclays Plc |
838,046 | 3,729,553 | ||||||
BG Group Plc |
245,906 | 4,232,544 | ||||||
BHP Billiton Plc |
152,681 | 4,447,364 | ||||||
BP Plc |
1,377,884 | 9,691,535 | ||||||
British American Tobacco Plc |
139,663 | 7,490,821 | ||||||
British Land Co. Plc |
61,463 | 508,926 | ||||||
British Sky Broadcasting Group Plc |
76,819 | 1,032,755 | ||||||
BT Group Plc |
569,632 | 2,406,445 | ||||||
Bunzl Plc |
23,887 | 471,602 | ||||||
Burberry Group Plc |
31,826 | 644,466 | ||||||
The Capita Group Plc |
47,602 | 650,841 | ||||||
Capital Shopping Centres Group Plc |
41,493 | 211,402 | ||||||
Carnival Plc |
13,140 | 459,484 | ||||||
Centrica Plc |
375,627 | 2,103,125 | ||||||
Cobham Plc |
76,587 | 283,700 | ||||||
Compass Group Plc |
132,963 | 1,702,221 | ||||||
Croda International Plc |
9,750 | 407,346 | ||||||
Diageo Plc |
181,116 | 5,708,391 | ||||||
Eurasian Natural Resources Corp. Plc |
18,522 | 69,603 | ||||||
Evraz Plc |
21,093 | 71,473 | ||||||
G4S Plc |
101,655 | 451,818 | ||||||
GKN Plc |
116,331 | 468,905 | ||||||
GlaxoSmithKline Plc |
354,851 | 8,311,490 | ||||||
Glencore International Plc |
281,419 | 1,527,327 | ||||||
Hammerson Plc |
52,061 | 390,323 | ||||||
Hargreaves Lansdown Plc |
17,626 | 233,106 | ||||||
HSBC Holdings Plc |
1,330,228 | 14,196,269 | ||||||
ICAP Plc |
39,581 | 175,199 | ||||||
IMI Plc |
23,015 | 454,436 | ||||||
Imperial Tobacco Group Plc |
71,354 | 2,496,205 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 9 |
Schedule of Investments (continued) |
Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
United Kingdom (continued) |
|
|||||||
Inmarsat Plc |
33,148 | $ | 354,950 | |||||
InterContinental Hotels Group Plc |
19,268 | 589,106 | ||||||
Intertek Group Plc |
11,695 | 604,450 | ||||||
Invensys Plc |
58,779 | 314,875 | ||||||
Investec Plc |
39,244 | 274,516 | ||||||
ITV Plc |
272,181 | 536,790 | ||||||
J Sainsbury Plc |
90,168 | 519,483 | ||||||
Johnson Matthey Plc |
14,995 | 526,160 | ||||||
Kazakhmys Plc |
15,170 | 90,796 | ||||||
Kingfisher Plc |
170,770 | 748,716 | ||||||
Land Securities Group Plc |
56,242 | 710,137 | ||||||
Legal & General Group Plc |
426,186 | 1,121,782 | ||||||
Lloyds Banking Group Plc (a) |
3,051,357 | 2,274,146 | ||||||
London Stock Exchange Group Plc |
12,540 | 249,443 | ||||||
Marks & Spencer Group Plc |
115,856 | 687,204 | ||||||
Meggitt Plc |
56,373 | 421,893 | ||||||
Melrose Industries Plc |
86,968 | 352,303 | ||||||
National Grid Plc |
263,043 | 3,057,206 | ||||||
Next Plc |
11,651 | 774,229 | ||||||
Old Mutual Plc |
352,304 | 1,088,788 | ||||||
Pearson Plc |
58,849 | 1,059,126 | ||||||
Petrofac Ltd. |
19,043 | 415,797 | ||||||
Prudential Plc |
184,864 | 3,003,172 | ||||||
Randgold Resources Ltd. |
6,323 | 545,413 | ||||||
Reckitt Benckiser Group Plc |
46,788 | 3,360,044 | ||||||
Reed Elsevier Plc |
86,617 | 1,030,773 | ||||||
Resolution Ltd. |
101,525 | 421,853 | ||||||
Rexam PLC |
58,197 | 467,429 | ||||||
Rio Tinto Plc |
96,912 | 4,565,660 | ||||||
Rolls-Royce Holdings Plc (a) |
135,382 | 2,330,077 | ||||||
Royal Bank of Scotland Group Plc (a) |
154,585 | 649,743 | ||||||
Royal Dutch Shell Plc, Class A |
270,182 | 8,762,253 | ||||||
Royal Dutch Shell Plc, Class B |
189,383 | 6,299,407 | ||||||
RSA Insurance Group Plc |
258,983 | 459,320 | ||||||
SABMiller Plc |
69,224 | 3,652,120 | ||||||
The Sage Group Plc |
88,222 | 460,166 | ||||||
Schroders Plc |
8,386 | 269,441 | ||||||
Scottish & Southern Energy Plc |
69,081 | 1,562,031 | ||||||
Segro Plc |
52,071 | 201,744 | ||||||
Serco Group Plc |
36,071 | 344,895 | ||||||
Severn Trent Plc |
17,021 | 443,631 | ||||||
Shire Plc |
40,513 | 1,234,086 | ||||||
Smith & Nephew Plc |
64,894 | 750,761 |
Common Stocks |
Shares | Value | ||||||
United Kingdom (concluded) |
|
|||||||
Smiths Group Plc |
28,603 | $ | 547,935 | |||||
Standard Chartered Plc |
174,290 | 4,526,686 | ||||||
Standard Life Plc |
170,115 | 948,681 | ||||||
Tate & Lyle Plc |
33,703 | 435,583 | ||||||
Tesco Plc |
581,394 | 3,380,505 | ||||||
Tui Travel Plc |
31,441 | 156,014 | ||||||
Tullow Oil Plc |
65,394 | 1,224,444 | ||||||
Unilever Plc |
92,786 | 3,925,493 | ||||||
United Utilities Group Plc |
49,610 | 534,767 | ||||||
Vedanta Resources Plc |
7,455 | 114,411 | ||||||
Vodafone Group Plc |
3,554,749 | 10,089,587 | ||||||
The Weir Group Plc |
15,570 | 537,301 | ||||||
Whitbread Plc |
13,035 | 509,958 | ||||||
WM Morrison Supermarkets Plc |
161,978 | 681,000 | ||||||
Wolseley Plc |
19,757 | 985,533 | ||||||
WPP Plc |
91,054 | 1,455,475 | ||||||
Xstrata Plc (a) |
151,987 | 2,474,866 | ||||||
|
|
|||||||
179,767,103 | ||||||||
|
|
|||||||
Total Long-Term Investments (Cost $651,592,546) 98.6% |
|
826,322,546 | ||||||
|
|
|||||||
Short-Term Securities |
||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.11% (b)(c) |
287,809 | 287,809 | ||||||
|
|
|||||||
Total Short-Term Securities (Cost $287,809) 0.0% |
|
287,809 | ||||||
|
|
|||||||
Total Investments (Cost - $651,880,355*) 98.6% |
|
826,610,355 | ||||||
Other Assets Less Liabilities 1.4% |
|
11,524,464 | ||||||
|
|
|||||||
Net Assets 100.0% |
|
$ | 838,134,819 | |||||
|
|
* | As of March 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 693,884,356 | ||||
|
|
|||||
Gross unrealized appreciation |
$ | 217,219,998 | ||||
Gross unrealized depreciation |
(84,493,999 | ) | ||||
|
|
|||||
Net unrealized appreciation |
$ | 132,725,999 | ||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 10 |
Schedule of Investments (continued) | Master International Index Series |
Notes to Schedule of Investments
(a) | Non-income producing security. |
(b) | Investments in issuers considered to be an affiliate of the Series during the period ended March 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate |
Shares
Held at December 31, 2012 |
Net
Activity |
Shares
Held at March 31, 2013 |
Income | ||||||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class |
| 287,809 | 287,809 | $ | 781 |
(c) | Represents the current yield as of report date. |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
DKK | Danish Krone | |
EAFE | Europe Australasia and Far East | |
FTSE | Financial Times Stock Exchange | |
GBP | British Pound | |
MSCI | Morgan Stanley Capital International | |
NOK | Norwegian Krone | |
USD | US Dollar |
|
Financial futures contracts as of March 31, 2013 were as follows: |
Contracts
|
Issue |
Exchange |
Expiration |
Notional
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||
84 | DJ Euro Stoxx 50 Index | Eurex | June 2013 | $ | 2,750,031 | $ | (91,893 | ) | ||||||
8 | E-Mini MSCI EAFE Index | Chicago Mercantile | June 2013 | $ | 663,680 | (4,779 | ) | |||||||
28 | FTSE 100 Index | Euronext LIFFE | June 2013 | $ | 2,702,007 | (30,041 | ) | |||||||
26 | Nikkei 225 Index | Singapore Exchange | June 2013 | $ | 1,715,887 | 82,509 | ||||||||
9 | SPI 200 Index | Australian Security Exchange | June 2013 | $ | 1,163,564 | (17,854 | ) | |||||||
|
|
|||||||||||||
Total | $ | (62,058 | ) | |||||||||||
|
|
|
Foreign currency exchange contracts as of March 31, 2013 were as follows: |
Currency
Purchased |
Currency
Sold |
Counterparty |
Settlement
|
Unrealized
Appreciation (Depreciation) |
||||||||||||||||
USD | 64,267 | DKK | 375,000 | Deutsche Bank AG | 4/02/13 | $ | (206 | ) | ||||||||||||
USD | 150,000 | GBP | 98,853 | Deutsche Bank AG | 4/02/13 | (202 | ) | |||||||||||||
USD | 7,686 | NOK | 45,000 | Deutsche Bank AG | 4/02/13 | (19 | ) | |||||||||||||
USD | 88,518 | NOK | 517,000 | Deutsche Bank AG | 4/02/13 | 2 | ||||||||||||||
|
|
|||||||||||||||||||
Total | $ | (425 | ) | |||||||||||||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 11 |
Schedule of Investments (continued) | Master International Index Series |
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Series has the ability to access |
|
Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Series most recent financial statements as contained in its annual report.
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 12 |
Schedule of Investments (continued) | Master International Index Series |
The following tables summarize the Series investments and derivative financial instruments categorized in the disclosure hierarchy as of March 31, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long Term Investments |
||||||||||||||||
Common Stocks: |
||||||||||||||||
Australia |
$ | 240,944 | $ | 75,695,705 | $ | 10 | $ | 75,936,659 | ||||||||
Austria |
| 2,238,748 | | 2,238,748 | ||||||||||||
Belgium |
| 9,992,489 | | 9,992,489 | ||||||||||||
Denmark |
| 9,452,726 | | 9,452,726 | ||||||||||||
Finland |
| 6,359,237 | | 6,359,237 | ||||||||||||
France |
538,972 | 75,001,334 | | 75,540,306 | ||||||||||||
Germany |
| 69,095,945 | | 69,095,945 | ||||||||||||
Greece |
| 513,283 | | 513,283 | ||||||||||||
Hong Kong |
| 25,911,475 | | 25,911,475 | ||||||||||||
Ireland |
649,116 | 3,281,593 | 1 | 3,930,710 | ||||||||||||
Israel |
| 4,544,498 | | 4,544,498 | ||||||||||||
Italy |
| 16,071,744 | | 16,071,744 | ||||||||||||
Japan |
175,393,167 | | | 175,393,167 | ||||||||||||
Mexico |
| 275,463 | | 275,463 | ||||||||||||
Netherlands |
566,395 | 20,658,231 | | 21,224,626 | ||||||||||||
New Zealand |
| 1,070,437 | | 1,070,437 | ||||||||||||
Norway |
| 7,328,123 | | 7,328,123 | ||||||||||||
Portugal |
315,703 | 1,097,739 | | 1,413,442 | ||||||||||||
Singapore |
| 14,596,021 | | 14,596,021 | ||||||||||||
Spain |
| 22,819,331 | | 22,819,331 | ||||||||||||
Sweden |
| 27,103,037 | | 27,103,037 | ||||||||||||
Switzerland |
630,036 | 75,113,940 | | 75,743,976 | ||||||||||||
United Kingdom |
| 179,767,103 | | 179,767,103 | ||||||||||||
Short-Term Securities |
287,809 | | | 287,809 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 178,622,142 | $ | 647,988,202 | $ | 11 | $ | 826,610,355 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial |
||||||||||||||||
Instruments 1 |
||||||||||||||||
Assets: |
||||||||||||||||
Equity contracts |
$ | 82,509 | | | $ | 82,509 | ||||||||||
Foreign currency exchange contracts |
| $ | 2 | | 2 | |||||||||||
Liabilities |
||||||||||||||||
Equity contracts |
(144,567 | ) | | (144,567 | ) | |||||||||||
Foreign currency exchange contracts |
| (427 | ) | | (427 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (62,058 | ) | $ | (425 | ) | | $ | (62,483 | ) | ||||||
|
|
|
|
|
|
|
|
1 |
Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 13 |
Schedule of Investments (concluded) | Master International Index Series |
Certain of the Series assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of March 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Cash pledged as collateral for financial futures contracts |
$ | 628,000 | | | $ | 628,000 | ||||||||||
Foreign currency at value |
5,950,594 | | | 5,950,594 | ||||||||||||
Liabilities: |
||||||||||||||||
Bank overdraft |
| $ | (179,044 | ) | | (179,044 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 6,578,594 | $ | (179,044 | ) | | $ | 6,399,550 | ||||||||
|
|
|
|
|
|
|
|
Certain foreign securities are fair valued utilizing an external pricing service to reflect any significant market movements between the time the Series values such foreign securities and the earlier closing of foreign markets. Such fair valuations are categorized as Level 2 in the disclosure hierarchy. On March 29, 2013, US and certain other financial markets were closed, while some foreign markets were open. The Series was re-priced for financial reporting purposes to reflect, in the valuation, the transactions related to open foreign market activities and were valued at the official closing price on the primary market or exchange on which the securities trade. The re-pricing resulted in the investments being categorized as Level 1. Therefore, these securities, with a value of $147,589,817, were transferred from Level 2 to Level 1 during the period December 31, 2012 to March 31, 2013.
Certain of the Series investments that are categorized as Level 3 were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 14 |
The American Beacon S&P 500 Index Fund invests all of its investable assets in the State Street Equity 500 Index Portfolio of the State Street Master Funds. The Schedule of Investments for the State Street Equity 500 Index Portfolio for the fiscal quarter ended March 31, 2013 is provided below.
STATE STREET EQUITY 500 INDEX PORTFOLIO
Portfolio of Investments
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS 98.0% |
||||||||
Consumer Discretionary 12.2% |
||||||||
Abercrombie & Fitch Co. Class A |
13,046 | $ | 602,725 | |||||
Amazon.com, Inc.(a) |
57,992 | 15,454,288 | ||||||
Apollo Group, Inc. Class A(a) |
18,029 | 313,524 | ||||||
AutoNation, Inc.(a) |
6,363 | 278,381 | ||||||
AutoZone, Inc.(a) |
5,964 | 2,366,336 | ||||||
Bed Bath & Beyond, Inc.(a) |
36,545 | 2,354,229 | ||||||
Best Buy Co., Inc. |
42,119 | 932,936 | ||||||
BorgWarner, Inc.(a) |
18,500 | 1,430,790 | ||||||
Cablevision Systems Corp. |
35,600 | 532,576 | ||||||
CarMax, Inc.(a) |
37,200 | 1,551,240 | ||||||
Carnival Corp. |
70,650 | 2,423,295 | ||||||
CBS Corp. Class B |
95,403 | 4,454,366 | ||||||
Chipotle Mexican Grill, Inc.(a) |
5,100 | 1,661,937 | ||||||
Coach, Inc. |
44,828 | 2,240,952 | ||||||
Comcast Corp. Class A |
420,748 | 17,675,623 | ||||||
D.R. Horton, Inc. |
46,076 | 1,119,647 | ||||||
Darden Restaurants, Inc. |
20,588 | 1,063,988 | ||||||
Delphi Automotive PLC |
45,500 | 2,020,200 | ||||||
DIRECTV(a) |
91,377 | 5,172,852 | ||||||
Discovery Communications, Inc. Class A(a) |
39,900 | 3,141,726 | ||||||
Dollar General Corp.(a) |
48,200 | 2,437,956 | ||||||
Dollar Tree, Inc.(a) |
36,600 | 1,772,538 | ||||||
eBay, Inc.(a) |
182,503 | 9,895,313 | ||||||
Expedia, Inc. |
14,357 | 861,564 | ||||||
Family Dollar Stores, Inc. |
15,558 | 918,700 | ||||||
Ford Motor Co. |
625,498 | 8,225,299 | ||||||
Fossil, Inc.(a) |
8,800 | 850,080 | ||||||
GameStop Corp. Class A |
19,500 | 545,415 | ||||||
Gannett Co., Inc. |
39,574 | 865,483 | ||||||
Gap, Inc. |
44,198 | 1,564,609 | ||||||
Garmin Ltd. |
17,300 | 571,592 | ||||||
Genuine Parts Co. |
25,209 | 1,966,302 | ||||||
Goodyear Tire & Rubber Co.(a) |
34,957 | 440,808 | ||||||
H&R Block, Inc. |
47,115 | 1,386,123 | ||||||
Harley-Davidson, Inc. |
35,801 | 1,908,193 | ||||||
Harman International Industries, Inc. |
12,021 | 536,497 | ||||||
Hasbro, Inc. |
17,825 | 783,231 | ||||||
Home Depot, Inc. |
236,712 | 16,517,763 | ||||||
Host Hotels & Resorts, Inc. |
118,721 | 2,076,430 | ||||||
International Game Technology |
39,819 | 657,014 | ||||||
Interpublic Group of Cos., Inc. |
71,894 | 936,779 | ||||||
JC Penney Co., Inc. |
21,810 | 329,549 | ||||||
Johnson Controls, Inc. |
109,586 | 3,843,181 | ||||||
Kohls Corp. |
34,533 | 1,593,007 | ||||||
L Brands, Inc. |
38,167 | 1,704,538 | ||||||
Lennar Corp. Class A |
25,931 | 1,075,618 | ||||||
Lowes Cos., Inc. |
176,962 | 6,710,399 | ||||||
Macys, Inc. |
61,423 | 2,569,938 | ||||||
Marriott International, Inc. Class A |
39,050 | 1,649,082 | ||||||
Mattel, Inc. |
53,776 | 2,354,851 | ||||||
McDonalds Corp. |
160,325 | 15,982,799 | ||||||
McGraw-Hill Cos., Inc. |
45,766 | 2,383,493 | ||||||
NetFlix, Inc.(a) |
8,900 | 1,685,749 | ||||||
Newell Rubbermaid, Inc. |
47,893 | 1,250,007 | ||||||
News Corp. Class A |
320,809 | 9,791,091 |
1
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Consumer Discretionary - (continued) |
||||||||
NIKE, Inc. Class B |
116,504 | $ | 6,874,901 | |||||
Nordstrom, Inc. |
23,633 | 1,305,251 | ||||||
OReilly Automotive, Inc.(a) |
17,700 | 1,815,135 | ||||||
Omnicom Group, Inc. |
43,541 | 2,564,565 | ||||||
PetSmart, Inc. |
17,300 | 1,074,330 | ||||||
Priceline.com, Inc.(a) |
7,990 | 5,496,561 | ||||||
PulteGroup, Inc.(a) |
54,705 | 1,107,229 | ||||||
PVH Corp. |
12,400 | 1,324,444 | ||||||
Ralph Lauren Corp. |
9,515 | 1,610,985 | ||||||
Ross Stores, Inc. |
35,900 | 2,176,258 | ||||||
Scripps Networks Interactive, Inc. Class A |
12,035 | 774,332 | ||||||
Snap-on, Inc. |
9,212 | 761,832 | ||||||
Stanley Black & Decker, Inc. |
27,007 | 2,186,757 | ||||||
Staples, Inc. |
110,033 | 1,477,743 | ||||||
Starbucks Corp. |
120,461 | 6,861,459 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. |
31,247 | 1,991,371 | ||||||
Target Corp. |
104,216 | 7,133,585 | ||||||
Tiffany & Co. |
19,880 | 1,382,455 | ||||||
Time Warner Cable, Inc. |
48,471 | 4,656,124 | ||||||
Time Warner, Inc. |
151,091 | 8,705,863 | ||||||
TJX Cos., Inc. |
117,212 | 5,479,661 | ||||||
TripAdvisor, Inc.(a) |
16,857 | 885,330 | ||||||
Urban Outfitters, Inc.(a) |
18,300 | 708,942 | ||||||
V.F. Corp. |
14,393 | 2,414,426 | ||||||
Viacom, Inc. Class B |
72,422 | 4,459,023 | ||||||
Walt Disney Co. |
287,945 | 16,355,276 | ||||||
Washington Post Co. Class B |
660 | 295,020 | ||||||
Whirlpool Corp. |
12,661 | 1,499,822 | ||||||
Wyndham Worldwide Corp. |
22,699 | 1,463,632 | ||||||
Wynn Resorts, Ltd. |
12,700 | 1,589,532 | ||||||
Yum! Brands, Inc. |
73,292 | 5,272,626 | ||||||
|
|
|||||||
277,137,072 | ||||||||
|
|
|||||||
Consumer Staples 10.6% |
||||||||
Altria Group, Inc. |
320,199 | 11,011,644 | ||||||
Archer-Daniels-Midland Co. |
107,324 | 3,620,038 | ||||||
Avon Products, Inc. |
67,660 | 1,402,592 | ||||||
Beam, Inc. |
25,045 | 1,591,359 | ||||||
Brown-Forman Corp. Class B |
23,482 | 1,676,615 | ||||||
Campbell Soup Co. |
28,865 | 1,309,316 | ||||||
Clorox Co. |
20,543 | 1,818,672 | ||||||
Coca-Cola Co. |
610,822 | 24,701,642 | ||||||
Coca-Cola Enterprises, Inc. |
40,801 | 1,506,373 | ||||||
Colgate-Palmolive Co. |
70,101 | 8,274,021 | ||||||
ConAgra Foods, Inc. |
65,375 | 2,341,079 | ||||||
Constellation Brands, Inc. Class A(a) |
23,026 | 1,096,959 | ||||||
Costco Wholesale Corp. |
68,589 | 7,277,979 | ||||||
CVS Caremark Corp. |
196,332 | 10,796,297 | ||||||
Dean Foods Co.(a) |
31,858 | 577,585 | ||||||
Dr Pepper Snapple Group, Inc. |
34,100 | 1,600,995 | ||||||
Estee Lauder Cos., Inc. Class A |
38,504 | 2,465,411 | ||||||
General Mills, Inc. |
103,664 | 5,111,672 | ||||||
H.J. Heinz Co. |
52,069 | 3,763,027 | ||||||
Hormel Foods Corp. |
21,200 | 875,984 | ||||||
Kellogg Co. |
39,035 | 2,515,025 |
2
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Consumer Staples - (continued) |
||||||||
Kimberly-Clark Corp. |
61,800 | $ | 6,055,164 | |||||
Kraft Foods Group, Inc. |
94,769 | 4,883,446 | ||||||
Kroger Co. |
77,576 | 2,570,869 | ||||||
Lorillard, Inc. |
61,383 | 2,476,804 | ||||||
McCormick & Co., Inc. |
20,753 | 1,526,383 | ||||||
Molson Coors Brewing Co. Class B |
25,162 | 1,231,177 | ||||||
Mondelez International, Inc. Class A |
284,309 | 8,702,698 | ||||||
Monster Beverage Corp.(a) |
24,300 | 1,160,082 | ||||||
PepsiCo, Inc. |
247,554 | 19,583,997 | ||||||
Philip Morris International, Inc. |
262,799 | 24,364,095 | ||||||
Procter & Gamble Co. |
433,619 | 33,414,680 | ||||||
Reynolds American, Inc. |
52,074 | 2,316,772 | ||||||
Safeway, Inc. |
37,164 | 979,271 | ||||||
Sysco Corp. |
93,209 | 3,278,160 | ||||||
The Hershey Co. |
23,482 | 2,055,379 | ||||||
The J.M. Smucker Co. |
18,060 | 1,790,830 | ||||||
Tyson Foods, Inc. Class A |
44,235 | 1,097,913 | ||||||
Wal-Mart Stores, Inc. |
267,402 | 20,009,692 | ||||||
Walgreen Co. |
137,218 | 6,542,554 | ||||||
Whole Foods Market, Inc. |
27,533 | 2,388,488 | ||||||
|
|
|||||||
241,762,739 | ||||||||
|
|
|||||||
Energy 10.7% |
||||||||
Anadarko Petroleum Corp. |
79,126 | 6,919,569 | ||||||
Apache Corp. |
62,125 | 4,793,565 | ||||||
Baker Hughes, Inc. |
69,973 | 3,247,447 | ||||||
Cabot Oil & Gas Corp. |
32,600 | 2,204,086 | ||||||
Cameron International Corp.(a) |
38,500 | 2,510,200 | ||||||
Chesapeake Energy Corp. |
83,182 | 1,697,745 | ||||||
Chevron Corp.(b) |
309,746 | 36,804,020 | ||||||
ConocoPhillips |
191,330 | 11,498,933 | ||||||
Consol Energy, Inc. |
34,973 | 1,176,841 | ||||||
Denbury Resources, Inc.(a) |
61,500 | 1,146,975 | ||||||
Devon Energy Corp. |
60,151 | 3,393,719 | ||||||
Diamond Offshore Drilling, Inc. |
11,500 | 799,940 | ||||||
Ensco PLC Class A |
36,500 | 2,190,000 | ||||||
EOG Resources, Inc. |
42,717 | 5,470,766 | ||||||
EQT Corp. |
23,300 | 1,578,575 | ||||||
ExxonMobil Corp.(b) |
714,447 | 64,378,819 | ||||||
FMC Technologies, Inc.(a) |
38,600 | 2,099,454 | ||||||
Halliburton Co. |
148,634 | 6,006,300 | ||||||
Helmerich & Payne, Inc. |
16,300 | 989,410 | ||||||
Hess Corp. |
47,801 | 3,423,030 | ||||||
Kinder Morgan, Inc. |
101,326 | 3,919,290 | ||||||
Marathon Oil Corp. |
111,777 | 3,769,120 | ||||||
Marathon Petroleum Corp. |
54,288 | 4,864,205 | ||||||
Murphy Oil Corp. |
27,441 | 1,748,815 | ||||||
Nabors Industries, Ltd. |
48,204 | 781,869 | ||||||
National Oilwell Varco, Inc. |
67,757 | 4,793,808 | ||||||
Newfield Exploration Co.(a) |
20,600 | 461,852 | ||||||
Noble Corp. |
39,400 | 1,503,110 | ||||||
Noble Energy, Inc. |
27,910 | 3,228,071 | ||||||
Occidental Petroleum Corp. |
127,044 | 9,956,438 | ||||||
Peabody Energy Corp. |
44,124 | 933,223 | ||||||
Phillips 66 |
99,165 | 6,938,575 |
3
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Energy - (continued) |
||||||||
Pioneer Natural Resources Co. |
21,100 | $ | 2,621,675 | |||||
QEP Resources, Inc. |
27,068 | 861,845 | ||||||
Range Resources Corp. |
25,500 | 2,066,520 | ||||||
Rowan Cos. PLC Class A(a) |
19,620 | 693,763 | ||||||
Schlumberger, Ltd. |
209,558 | 15,693,799 | ||||||
Southwestern Energy Co.(a) |
54,600 | 2,034,396 | ||||||
Spectra Energy Corp. |
104,398 | 3,210,238 | ||||||
Tesoro Corp. |
23,165 | 1,356,311 | ||||||
Valero Energy Corp. |
87,909 | 3,998,980 | ||||||
Williams Cos., Inc. |
105,468 | 3,950,831 | ||||||
WPX Energy, Inc.(a) |
30,856 | 494,313 | ||||||
|
|
|||||||
242,210,441 | ||||||||
|
|
|||||||
Financials 16.5% |
||||||||
ACE, Ltd. |
52,700 | 4,688,719 | ||||||
AFLAC, Inc. |
73,990 | 3,848,960 | ||||||
Allstate Corp. |
76,406 | 3,749,242 | ||||||
American Express Co. |
153,264 | 10,339,189 | ||||||
American International Group, Inc.(a) |
234,433 | 9,100,689 | ||||||
American Tower Corp. REIT |
62,800 | 4,830,576 | ||||||
Ameriprise Financial, Inc. |
34,007 | 2,504,616 | ||||||
Aon PLC |
51,247 | 3,151,691 | ||||||
Apartment Investment & Management Co. Class A |
22,952 | 703,708 | ||||||
Assurant, Inc. |
14,131 | 636,036 | ||||||
AvalonBay Communities, Inc. |
17,798 | 2,254,473 | ||||||
Bank of America Corp. |
1,714,371 | 20,881,039 | ||||||
BB&T Corp. |
111,970 | 3,514,738 | ||||||
Berkshire Hathaway, Inc. Class B(a) |
289,503 | 30,166,213 | ||||||
BlackRock, Inc. |
20,434 | 5,249,086 | ||||||
Boston Properties, Inc. |
23,867 | 2,411,999 | ||||||
Capital One Financial Corp. |
92,963 | 5,108,317 | ||||||
CBRE Group, Inc.(a) |
49,575 | 1,251,769 | ||||||
Charles Schwab Corp. |
175,293 | 3,100,933 | ||||||
Chubb Corp. |
43,175 | 3,779,108 | ||||||
Cincinnati Financial Corp. |
20,814 | 982,213 | ||||||
Citigroup, Inc. |
484,620 | 21,439,589 | ||||||
CME Group, Inc. |
48,955 | 3,005,347 | ||||||
Comerica, Inc. |
32,144 | 1,155,577 | ||||||
DDR Corp. REIT |
1,532 | 26,687 | ||||||
Discover Financial Services |
79,005 | 3,542,584 | ||||||
E*Trade Financial Corp.(a) |
35,531 | 380,537 | ||||||
Equity Residential |
51,157 | 2,816,704 | ||||||
Fifth Third Bancorp |
147,916 | 2,412,510 | ||||||
First Horizon National Corp. |
43,755 | 467,303 | ||||||
Franklin Resources, Inc. |
22,380 | 3,375,128 | ||||||
Genworth Financial, Inc. Class A(a) |
72,151 | 721,510 | ||||||
Goldman Sachs Group, Inc. |
70,534 | 10,379,078 | ||||||
Hartford Financial Services Group, Inc. |
70,197 | 1,811,083 | ||||||
HCP, Inc. |
73,400 | 3,659,724 | ||||||
Health Care REIT, Inc. |
40,700 | 2,763,937 | ||||||
Hudson City Bancorp, Inc. |
76,692 | 662,619 | ||||||
Huntington Bancshares, Inc. |
141,956 | 1,049,055 | ||||||
IntercontinentalExchange, Inc.(a) |
11,980 | 1,953,579 | ||||||
Invesco, Ltd. |
72,200 | 2,090,912 | ||||||
J.P. Morgan Chase & Co. |
610,315 | 28,965,550 |
4
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Financials - (continued) |
||||||||
KeyCorp |
148,675 | $ | 1,480,803 | |||||
Kimco Realty Corp. |
62,669 | 1,403,786 | ||||||
Legg Mason, Inc. |
18,042 | 580,050 | ||||||
Leucadia National Corp. |
46,736 | 1,281,968 | ||||||
Lincoln National Corp. |
46,592 | 1,519,365 | ||||||
Loews Corp. |
51,131 | 2,253,343 | ||||||
M&T Bank Corp. |
18,737 | 1,932,909 | ||||||
Marsh & McLennan Cos., Inc. |
88,553 | 3,362,357 | ||||||
Mastercard, Inc. Class A |
16,800 | 9,090,984 | ||||||
MetLife, Inc. |
174,396 | 6,630,536 | ||||||
Moodys Corp. |
30,266 | 1,613,783 | ||||||
Morgan Stanley |
221,530 | 4,869,229 | ||||||
NASDAQ OMX Group, Inc. |
18,400 | 594,320 | ||||||
Northern Trust Corp. |
32,506 | 1,773,527 | ||||||
NYSE Euronext |
40,200 | 1,553,328 | ||||||
Paychex, Inc. |
50,738 | 1,779,382 | ||||||
Peoples United Financial, Inc. |
57,000 | 766,080 | ||||||
PNC Financial Services Group, Inc. |
84,717 | 5,633,681 | ||||||
Principal Financial Group, Inc. |
39,991 | 1,360,894 | ||||||
Progressive Corp. |
84,501 | 2,135,340 | ||||||
ProLogis, Inc. |
72,299 | 2,890,514 | ||||||
Prudential Financial, Inc. |
74,339 | 4,385,258 | ||||||
Public Storage, Inc. |
23,087 | 3,516,612 | ||||||
Regions Financial Corp. |
218,789 | 1,791,882 | ||||||
Simon Property Group, Inc. |
48,815 | 7,740,106 | ||||||
SLM Corp. |
77,454 | 1,586,258 | ||||||
State Street Corp.(c) |
72,725 | 4,297,320 | ||||||
SunTrust Banks, Inc. |
86,518 | 2,492,584 | ||||||
T. Rowe Price Group, Inc. |
40,075 | 3,000,415 | ||||||
The Bank of New York Mellon Corp. |
188,685 | 5,281,293 | ||||||
Torchmark Corp. |
14,931 | 892,874 | ||||||
Total System Services, Inc. |
26,575 | 658,529 | ||||||
Travelers Cos., Inc. |
61,604 | 5,186,441 | ||||||
U.S. Bancorp |
300,952 | 10,211,301 | ||||||
Unum Group |
46,829 | 1,322,919 | ||||||
Ventas, Inc. |
47,300 | 3,462,360 | ||||||
Visa, Inc. Class A |
82,400 | 13,994,816 | ||||||
Vornado Realty Trust |
25,514 | 2,133,991 | ||||||
Wells Fargo & Co. |
781,649 | 28,913,197 | ||||||
Western Union Co. |
98,485 | 1,481,214 | ||||||
XL Group PLC |
50,268 | 1,523,120 | ||||||
Zions Bancorp. |
30,453 | 761,020 | ||||||
|
|
|||||||
374,072,016 | ||||||||
|
|
|||||||
Health Care 12.0% |
||||||||
Abbott Laboratories |
251,206 | 8,872,596 | ||||||
AbbVie, Inc. |
251,206 | 10,244,181 | ||||||
Actavis, Inc.(a) |
20,946 | 1,929,336 | ||||||
Aetna, Inc. |
54,750 | 2,798,820 | ||||||
Alexion Pharmaceuticals, Inc.(a) |
30,400 | 2,801,056 | ||||||
Allergan, Inc. |
49,192 | 5,491,303 | ||||||
AmerisourceBergen Corp. |
34,986 | 1,800,030 | ||||||
Amgen, Inc. |
119,345 | 12,234,056 | ||||||
Baxter International, Inc. |
87,561 | 6,360,431 | ||||||
Becton Dickinson and Co. |
31,997 | 3,059,233 |
5
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Health Care - (continued) |
||||||||
Biogen Idec, Inc.(a) |
37,731 | $ | 7,278,687 | |||||
Boston Scientific Corp.(a) |
219,034 | 1,710,656 | ||||||
Bristol-Myers Squibb Co. |
263,016 | 10,833,629 | ||||||
C.R. Bard, Inc. |
11,997 | 1,209,058 | ||||||
Cardinal Health, Inc. |
53,957 | 2,245,690 | ||||||
CareFusion Corp.(a) |
33,878 | 1,185,391 | ||||||
Celgene Corp.(a) |
67,118 | 7,779,647 | ||||||
Cerner Corp.(a) |
23,000 | 2,179,250 | ||||||
CIGNA Corp. |
45,996 | 2,868,771 | ||||||
Coventry Health Care, Inc. |
21,903 | 1,030,098 | ||||||
Covidien PLC |
76,800 | 5,210,112 | ||||||
DaVita, Inc.(a) |
12,300 | 1,458,657 | ||||||
Dentsply International, Inc. |
23,300 | 988,386 | ||||||
Edwards Lifesciences Corp.(a) |
19,000 | 1,561,040 | ||||||
Eli Lilly & Co. |
159,675 | 9,067,943 | ||||||
Express Scripts Holding Co.(a) |
129,914 | 7,489,542 | ||||||
Forest Laboratories, Inc.(a) |
37,402 | 1,422,772 | ||||||
Gilead Sciences, Inc.(a) |
241,998 | 11,840,962 | ||||||
Hospira, Inc.(a) |
25,303 | 830,698 | ||||||
Humana, Inc. |
26,207 | 1,811,166 | ||||||
Intuitive Surgical, Inc.(a) |
6,300 | 3,094,497 | ||||||
Johnson & Johnson |
445,749 | 36,341,916 | ||||||
Laboratory Corp. of America Holdings(a) |
15,422 | 1,391,064 | ||||||
Life Technologies Corp.(a) |
27,887 | 1,802,337 | ||||||
McKesson Corp. |
37,255 | 4,022,050 | ||||||
Mead Johnson Nutrition Co. |
32,618 | 2,526,264 | ||||||
Medtronic, Inc. |
159,778 | 7,503,175 | ||||||
Merck & Co., Inc. |
480,370 | 21,246,765 | ||||||
Mylan, Inc.(a) |
63,209 | 1,829,269 | ||||||
Patterson Cos., Inc. |
12,894 | 490,488 | ||||||
Perrigo Co. |
14,400 | 1,709,712 | ||||||
Pfizer, Inc. |
1,146,411 | 33,085,422 | ||||||
Quest Diagnostics, Inc. |
25,600 | 1,445,120 | ||||||
St. Jude Medical, Inc. |
45,126 | 1,824,895 | ||||||
Stryker Corp. |
46,289 | 3,019,894 | ||||||
Tenet Healthcare Corp.(a) |
18,342 | 872,712 | ||||||
UnitedHealth Group, Inc. |
161,796 | 9,256,349 | ||||||
Varian Medical Systems, Inc.(a) |
18,060 | 1,300,320 | ||||||
WellPoint, Inc. |
47,738 | 3,161,688 | ||||||
Zimmer Holdings, Inc. |
28,252 | 2,125,115 | ||||||
|
|
|||||||
273,642,249 | ||||||||
|
|
|||||||
Industrials 10.1% |
||||||||
3M Co. |
99,672 | 10,596,130 | ||||||
ADT Corp. |
36,250 | 1,774,075 | ||||||
Amphenol Corp. Class A |
26,100 | 1,948,365 | ||||||
Avery Dennison Corp. |
15,388 | 662,761 | ||||||
Boeing Co. |
108,488 | 9,313,695 | ||||||
Caterpillar, Inc. |
103,679 | 9,016,963 | ||||||
CH Robinson Worldwide, Inc. |
25,861 | 1,537,695 | ||||||
Cintas Corp. |
17,588 | 776,158 | ||||||
CSX Corp. |
162,814 | 4,010,109 | ||||||
Cummins, Inc. |
28,358 | 3,284,140 | ||||||
Danaher Corp. |
93,572 | 5,815,500 | ||||||
Deere & Co. |
62,737 | 5,394,127 |
6
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Industrials - (continued) |
||||||||
Dover Corp. |
27,895 | $ | 2,032,988 | |||||
Eaton Corp. PLC |
75,124 | 4,601,345 | ||||||
Emerson Electric Co. |
115,548 | 6,455,667 | ||||||
Equifax, Inc. |
19,983 | 1,150,821 | ||||||
Expeditors International Washington, Inc. |
34,020 | 1,214,854 | ||||||
Fastenal Co. |
40,300 | 2,069,405 | ||||||
FedEx Corp. |
46,800 | 4,595,760 | ||||||
First Solar, Inc.(a) |
8,070 | 217,567 | ||||||
Flir Systems, Inc. |
23,500 | 611,235 | ||||||
Flowserve Corp. |
8,400 | 1,408,764 | ||||||
Fluor Corp. |
26,960 | 1,788,257 | ||||||
Fortune Brands Home & Security, Inc.(a) |
1,145 | 42,857 | ||||||
General Dynamics Corp. |
53,161 | 3,748,382 | ||||||
General Electric Co. |
1,663,433 | 38,458,571 | ||||||
Honeywell International, Inc. |
124,981 | 9,417,318 | ||||||
Illinois Tool Works, Inc. |
66,271 | 4,038,555 | ||||||
Ingersoll-Rand PLC |
43,300 | 2,381,933 | ||||||
Iron Mountain, Inc. |
24,010 | 871,803 | ||||||
Jacobs Engineering Group, Inc.(a) |
20,400 | 1,147,296 | ||||||
Joy Global, Inc. |
17,200 | 1,023,744 | ||||||
L-3 Communications Holdings, Inc. |
15,703 | 1,270,687 | ||||||
Leggett & Platt, Inc. |
20,398 | 689,044 | ||||||
Lockheed Martin Corp. |
43,152 | 4,165,031 | ||||||
Masco Corp. |
57,123 | 1,156,741 | ||||||
Norfolk Southern Corp. |
50,855 | 3,919,903 | ||||||
Northrop Grumman Corp. |
39,511 | 2,771,697 | ||||||
PACCAR, Inc. |
56,774 | 2,870,493 | ||||||
Pall Corp. |
18,609 | 1,272,297 | ||||||
Parker Hannifin Corp. |
23,903 | 2,189,037 | ||||||
Pentair, Ltd. |
33,495 | 1,766,861 | ||||||
Pitney Bowes, Inc. |
29,727 | 441,743 | ||||||
Precision Castparts Corp. |
23,007 | 4,362,587 | ||||||
Quanta Services, Inc.(a) |
35,000 | 1,000,300 | ||||||
Raytheon Co. |
52,982 | 3,114,812 | ||||||
Republic Services, Inc. |
50,103 | 1,653,399 | ||||||
Robert Half International, Inc. |
23,540 | 883,456 | ||||||
Rockwell Automation, Inc. |
22,505 | 1,943,307 | ||||||
Rockwell Collins, Inc. |
22,531 | 1,422,157 | ||||||
Roper Industries, Inc. |
16,100 | 2,049,691 | ||||||
Ryder System, Inc. |
7,921 | 473,280 | ||||||
Southwest Airlines Co. |
114,186 | 1,539,227 | ||||||
Stericycle, Inc.(a) |
14,100 | 1,497,138 | ||||||
Textron, Inc. |
44,839 | 1,336,651 | ||||||
Thermo Fisher Scientific, Inc. |
58,124 | 4,445,905 | ||||||
Tyco International, Ltd. |
72,500 | 2,320,000 | ||||||
Union Pacific Corp. |
74,268 | 10,576,506 | ||||||
United Parcel Service, Inc. Class B |
112,546 | 9,667,701 | ||||||
United Technologies Corp. |
134,478 | 12,564,280 | ||||||
W.W. Grainger, Inc. |
9,669 | 2,175,332 | ||||||
Waste Management, Inc. |
68,239 | 2,675,651 | ||||||
Xylem, Inc. |
28,692 | 790,752 | ||||||
|
|
|||||||
230,412,506 | ||||||||
|
|
7
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Information Technology 16.1% |
||||||||
Accenture PLC Class A |
101,500 | $ | 7,710,955 | |||||
Adobe Systems, Inc.(a) |
77,957 | 3,391,909 | ||||||
Advanced Micro Devices, Inc.(a) |
84,086 | 214,419 | ||||||
Agilent Technologies, Inc. |
54,968 | 2,307,007 | ||||||
Akamai Technologies, Inc.(a) |
27,324 | 964,264 | ||||||
Altera Corp. |
50,554 | 1,793,150 | ||||||
Analog Devices, Inc. |
47,269 | 2,197,536 | ||||||
AOL, Inc.(a) |
1 | 38 | ||||||
Apple, Inc. |
149,384 | 66,121,840 | ||||||
Applied Materials, Inc. |
185,707 | 2,503,330 | ||||||
Autodesk, Inc.(a) |
36,476 | 1,504,270 | ||||||
Automatic Data Processing, Inc. |
75,317 | 4,897,111 | ||||||
BMC Software, Inc.(a) |
22,421 | 1,038,765 | ||||||
Broadcom Corp. Class A |
82,359 | 2,855,387 | ||||||
CA, Inc. |
56,999 | 1,434,665 | ||||||
Cisco Systems, Inc. |
850,319 | 17,780,170 | ||||||
Citrix Systems, Inc.(a) |
29,667 | 2,140,771 | ||||||
Cognizant Technology Solutions Corp. Class A(a) |
47,784 | 3,660,732 | ||||||
Computer Sciences Corp. |
23,144 | 1,139,379 | ||||||
Corning, Inc. |
238,976 | 3,185,550 | ||||||
Dell, Inc. |
236,250 | 3,385,463 | ||||||
Dun & Bradstreet Corp. |
7,100 | 593,915 | ||||||
Electronic Arts, Inc.(a) |
50,400 | 892,080 | ||||||
EMC Corp.(a) |
334,284 | 7,986,045 | ||||||
F5 Networks, Inc.(a) |
12,200 | 1,086,776 | ||||||
Fidelity National Information Services, Inc. |
46,777 | 1,853,305 | ||||||
Fiserv, Inc.(a) |
21,052 | 1,848,997 | ||||||
Google, Inc. Class A(a) |
42,590 | 33,817,738 | ||||||
Harris Corp. |
18,600 | 861,924 | ||||||
Hewlett-Packard Co. |
312,916 | 7,459,917 | ||||||
Intel Corp. |
788,756 | 17,234,319 | ||||||
International Business Machines Corp. |
167,042 | 35,630,059 | ||||||
Intuit, Inc. |
42,163 | 2,768,001 | ||||||
Jabil Circuit, Inc. |
27,551 | 509,142 | ||||||
Juniper Networks, Inc.(a) |
84,393 | 1,564,646 | ||||||
KLA-Tencor Corp. |
27,005 | 1,424,244 | ||||||
Lam Research Corp.(a) |
25,858 | 1,072,073 | ||||||
Linear Technology Corp. |
35,263 | 1,353,041 | ||||||
LSI Corp.(a) |
89,162 | 604,518 | ||||||
Microchip Technology, Inc. |
29,389 | 1,080,340 | ||||||
Micron Technology, Inc.(a) |
160,962 | 1,606,401 | ||||||
Microsoft Corp.(b) |
1,201,435 | 34,373,055 | ||||||
Molex, Inc. |
23,205 | 679,442 | ||||||
Motorola Solutions, Inc. |
45,952 | 2,942,307 | ||||||
NetApp, Inc.(a) |
57,357 | 1,959,315 | ||||||
NVIDIA Corp. |
99,956 | 1,281,436 | ||||||
Oracle Corp. |
588,862 | 19,043,797 | ||||||
PerkinElmer, Inc. |
19,218 | 646,494 | ||||||
QUALCOMM, Inc. |
271,011 | 18,144,186 | ||||||
Red Hat, Inc.(a) |
29,800 | 1,506,688 | ||||||
SAIC, Inc. |
42,900 | 581,295 | ||||||
Salesforce.com, Inc.(a) |
20,500 | 3,666,015 | ||||||
SanDisk Corp.(a) |
38,367 | 2,110,185 | ||||||
Seagate Technology PLC |
54,800 | 2,003,488 | ||||||
Symantec Corp.(a) |
109,963 | 2,713,887 | ||||||
TE Connectivity, Ltd. |
67,300 | 2,821,889 |
8
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Information Technology - (continued) |
||||||||
Teradata Corp.(a) |
27,720 | $ | 1,621,897 | |||||
Teradyne, Inc.(a) |
28,149 | 456,577 | ||||||
Texas Instruments, Inc. |
176,199 | 6,251,541 | ||||||
VeriSign, Inc.(a) |
24,721 | 1,168,809 | ||||||
Waters Corp.(a) |
13,765 | 1,292,671 | ||||||
Western Digital Corp. |
32,400 | 1,629,072 | ||||||
Xerox Corp. |
209,101 | 1,798,269 | ||||||
Xilinx, Inc. |
42,502 | 1,622,301 | ||||||
Yahoo!, Inc.(a) |
154,519 | 3,635,832 | ||||||
|
|
|||||||
365,424,640 | ||||||||
|
|
|||||||
Materials 3.5% |
||||||||
Air Products & Chemicals, Inc. |
33,209 | 2,893,168 | ||||||
Airgas, Inc. |
11,600 | 1,150,256 | ||||||
Alcoa, Inc. |
169,749 | 1,446,262 | ||||||
Allegheny Technologies, Inc. |
17,228 | 546,300 | ||||||
Ball Corp. |
25,024 | 1,190,642 | ||||||
Bemis Co., Inc. |
17,462 | 704,766 | ||||||
CF Industries Holdings, Inc. |
9,450 | 1,798,997 | ||||||
Cliffs Natural Resources, Inc. |
22,200 | 422,022 | ||||||
Dow Chemical Co. |
189,628 | 6,037,756 | ||||||
E.I. du Pont de Nemours & Co. |
148,112 | 7,281,186 | ||||||
Eastman Chemical Co. |
23,708 | 1,656,478 | ||||||
Ecolab, Inc. |
42,166 | 3,380,870 | ||||||
FMC Corp. |
21,400 | 1,220,442 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B |
152,104 | 5,034,642 | ||||||
International Flavors & Fragrances, Inc. |
13,031 | 999,087 | ||||||
International Paper Co. |
71,411 | 3,326,324 | ||||||
LyondellBasell Industries NV |
59,400 | 3,759,426 | ||||||
MeadWestvaco Corp. |
26,720 | 969,936 | ||||||
Monsanto Co. |
85,355 | 9,016,049 | ||||||
Mosaic Co. |
41,900 | 2,497,659 | ||||||
Newmont Mining Corp. |
78,406 | 3,284,427 | ||||||
Nucor Corp. |
49,654 | 2,291,532 | ||||||
Owens-Illinois, Inc.(a) |
24,000 | 639,600 | ||||||
Plum Creek Timber Co., Inc. |
25,311 | 1,321,234 | ||||||
PPG Industries, Inc. |
22,771 | 3,049,948 | ||||||
Praxair, Inc. |
46,511 | 5,187,837 | ||||||
Sealed Air Corp. |
28,792 | 694,175 | ||||||
Sherwin-Williams Co. |
13,696 | 2,313,117 | ||||||
Sigma-Aldrich Corp. |
19,134 | 1,486,329 | ||||||
United States Steel Corp. |
21,478 | 418,821 | ||||||
Vulcan Materials Co. |
21,361 | 1,104,364 | ||||||
Weyerhaeuser Co. |
87,474 | 2,744,934 | ||||||
|
|
|||||||
79,868,586 | ||||||||
|
|
|||||||
Telecommunication Services 2.9% |
||||||||
AT&T, Inc. |
875,750 | 32,131,267 | ||||||
CenturyLink, Inc. |
99,565 | 3,497,718 | ||||||
Crown Castle International Corp.(a) |
46,900 | 3,266,116 | ||||||
Frontier Communications Corp. |
165,844 | 660,059 | ||||||
JDS Uniphase Corp.(a) |
32,523 | 434,833 | ||||||
MetroPCS Communications, Inc.(a) |
52,500 | 572,250 | ||||||
Sprint Nextel Corp.(a) |
479,365 | 2,976,857 |
9
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS - (continued) |
||||||||
Telecommunication Services - (continued) |
||||||||
Verizon Communications, Inc. |
455,766 | $ | 22,400,899 | |||||
Windstream Corp. |
99,213 | 788,743 | ||||||
|
|
|||||||
66,728,742 | ||||||||
|
|
|||||||
Utilities 3.4% |
||||||||
AES Corp. |
103,195 | 1,297,161 | ||||||
AGL Resources, Inc. |
18,100 | 759,295 | ||||||
Ameren Corp. |
37,560 | 1,315,351 | ||||||
American Electric Power Co., Inc. |
76,652 | 3,727,587 | ||||||
CenterPoint Energy, Inc. |
66,311 | 1,588,812 | ||||||
CMS Energy Corp. |
42,056 | 1,175,045 | ||||||
Consolidated Edison, Inc. |
47,252 | 2,883,789 | ||||||
Dominion Resources, Inc. |
90,862 | 5,286,351 | ||||||
DTE Energy Co. |
27,484 | 1,878,257 | ||||||
Duke Energy Corp. |
112,783 | 8,186,918 | ||||||
Edison International |
53,219 | 2,677,980 | ||||||
Entergy Corp. |
27,698 | 1,751,621 | ||||||
Exelon Corp. |
136,543 | 4,708,003 | ||||||
FirstEnergy Corp. |
68,122 | 2,874,748 | ||||||
Integrys Energy Group, Inc. |
11,616 | 675,587 | ||||||
NextEra Energy, Inc. |
67,721 | 5,260,567 | ||||||
NiSource, Inc. |
45,982 | 1,349,112 | ||||||
Northeast Utilities |
50,060 | 2,175,608 | ||||||
NRG Energy, Inc. |
49,000 | 1,298,010 | ||||||
Oneok, Inc. |
32,200 | 1,534,974 | ||||||
Pepco Holdings, Inc. |
34,700 | 742,580 | ||||||
PG&E Corp. |
66,926 | 2,980,215 | ||||||
Pinnacle West Capital Corp. |
17,860 | 1,033,915 | ||||||
PPL Corp. |
92,275 | 2,889,130 | ||||||
Public Service Enterprise Group, Inc. |
80,924 | 2,778,930 | ||||||
SCANA Corp. |
21,000 | 1,074,360 | ||||||
Sempra Energy |
35,286 | 2,820,763 | ||||||
Southern Co. |
139,943 | 6,566,125 | ||||||
TECO Energy, Inc. |
34,951 | 622,827 | ||||||
Wisconsin Energy Corp. |
38,100 | 1,634,109 | ||||||
Xcel Energy, Inc. |
75,951 | 2,255,745 | ||||||
|
|
|||||||
77,803,475 | ||||||||
|
|
|||||||
TOTAL COMMON STOCKS (Cost: $1,187,040,667) |
2,229,062,466 | |||||||
|
|
|||||||
Par
Amount |
||||||||
U.S. GOVERNMENT SECURITIES 0.1% |
||||||||
U.S. Treasury Bill(b)(d)(e) 0.01% due 04/04/13 |
$ | 400,000 | 399,998 | |||||
U.S. Treasury Bill(b)(d)(e) 0.01% due 05/09/13 |
1,000,000 | 999,932 | ||||||
U.S. Treasury Bill(b)(d)(e) 0.01% due 05/09/13 |
610,000 | 609,961 |
10
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
Par
Amount |
Market Value | |||||||
U.S. GOVERNMENT SECURITIES - (continued) |
||||||||
U.S. Treasury Bill(b)(d)(e) 0.01% due 06/06/13 |
$ | 1,150,000 | $ | 1,149,810 | ||||
|
|
|||||||
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $3,159,701) |
3,159,701 | |||||||
|
|
|||||||
Shares | ||||||||
MONEY MARKET FUND 2.1% |
||||||||
State Street Institutional Liquid Reserves Fund 0.13%(c)(f) |
47,345,712 | 47,345,712 | ||||||
|
|
|||||||
TOTAL MONEY MARKET FUND (Cost: $47,345,712) |
47,345,712 | |||||||
|
|
|||||||
TOTAL INVESTMENTS(g) 100.2% (Cost $1,237,546,080(h)) |
2,279,567,879 | |||||||
Liabilities in Excess of Assets (0.2)% |
(3,954,196 | ) | ||||||
|
|
|||||||
NET ASSETS 100.0% |
$ | 2,275,613,683 | ||||||
|
|
(a) | Non-income producing security. |
(b) | All or part of this security has been designated as collateral for futures contracts. |
(c) | Affiliated issuer. See table that follows for more information. |
(d) | Rate represents annualized yield at date of purchase. |
(e) | Value determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. |
(f) | The rate shown is the annualized seven-day yield at period end. |
(g) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. |
(h) | Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2013 was $1,070,068,594 and $28,046,795, respectively, resulting in net unrealized appreciation of investments of $1,042,021,799. |
PLC = Public Limited Company
REIT = Real Estate Investment Trust
| Security valuation: The Portfolios investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at fair value, as determined in good faith pursuant to procedures established by the Board of Trustees. |
11
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. These provisions apply to fair value measurements that are already required or permitted by other accounting standards and are intended to increase the consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolios investments.
The three tier hierarchy of inputs is summarized below:
|
Level 1 quoted prices in active markets for identical securities |
|
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
|
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of March 31, 2013, in valuing the Portfolios assets carried at fair value:
Description |
Quoted Prices
in
Active Markets for Identical Assets (Level 1) |
Significant
Other
Observable Inputs (Level 2) |
Significant
Unobservable Inputs (Level 3) |
Total | ||||||||||||
ASSETS: |
||||||||||||||||
INVESTMENTS: |
||||||||||||||||
Common Stocks |
$ | 2,229,062,466 | $ | | $ | | $ | 2,229,062,466 | ||||||||
U.S. Government Securities |
| 3,159,701 | | 3,159,701 | ||||||||||||
Money Market Fund |
47,345,712 | | | 47,345,712 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL INVESTMENTS |
2,276,408,178 | 3,159,701 | | 2,279,567,879 | ||||||||||||
OTHER ASSETS: |
||||||||||||||||
Futures contracts |
789,023 | | | 789,023 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL ASSETS |
$ | 2,277,197,201 | $ | 3,159,701 | $ | | $ | 2,280,356,902 | ||||||||
|
|
|
|
|
|
|
|
The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolios investments by category.
For the three months ended March 31, 2013, there were no transfers between levels.
Derivatives
Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500 ® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Asset and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.
12
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.
Number of
Contracts |
Notional
Value |
Unrealized
Appreciation |
||||||||||
Schedule of Futures Contracts |
||||||||||||
S&P 500 Financial Futures Contracts (long) Expiration Date 06/2013 |
659 | $ | 50,701,942 | $ | 789,023 | |||||||
|
|
|||||||||||
Total unrealized appreciation on open futures contracts purchased |
$ | 789,023 | ||||||||||
|
|
13
State Street Equity 500 Index Portfolio
Portfolio of Investments (continued)
March 31, 2013 (Unaudited)
The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolios Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolios use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn market-like returns with the Portfolios excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolios investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolios use of derivative instruments and hedging activities at March 31, 2013:
Asset Derivatives (1)
Equity
Contracts Risk |
Total | |||||||
Futures Contracts |
$ | 789,023 | $ | 789,023 |
(1) |
Portfolio of Investments: Unrealized appreciation of futures contracts. |
Transactions in derivative instruments during the three months ended March 31, 2013, were as follows:
Realized Gain (Loss)
Equity
Contracts Risk |
Total | |||||||
Futures Contracts |
$ | 3,328,180 | $ | 3,328,180 |
Change in Appreciation (Depreciation)
Equity
Contracts Risk |
Total | |||||||
Futures Contracts |
$ | 719,853 | $ | 719,853 |
The average notional value of futures outstanding during the period ended March 31, 2013, was $39,167,384.
Affiliates Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500 ® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending March 31, 2013 were as follows:
Security Description |
Number
of shares held at 12/31/12 |
Shares
purchased for the three months ended 03/31/13 |
Shares
sold for the three months ended 03/31/13 |
Number
of shares held at 03/31/13 |
Value at
03/31/13 |
Income
earned for the three months ended 03/31/13 |
Realized
gain on shares sold |
|||||||||||||||||||||
State Street Corp. |
72,725 | | | 72,725 | $ | 4,297,320 | $ | 18,909 | $ | | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund |
25,053,183 | 63,311,262 | 41,018,733 | 47,345,712 | 47,345,712 | 13,565 | |
14
The American Beacon Small Cap Index Fund invests all of its investable assets in the Master Small Cap Index Series of the Quantitative Master Series Trust. The Schedule of Investments for the Master Small Cap Index Series for the fiscal quarter ended March 31, 2013 is provided below.
Schedule of Investments March 31, 2013 (Unaudited) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Advertising Agencies 0.6% |
|
|||||||
Arbitron, Inc. |
13,028 | $ | 610,622 | |||||
Constant Contact, Inc. (a) |
15,040 | 195,219 | ||||||
Digital Generation, Inc. (a) |
13,596 | 87,422 | ||||||
Harte-Hanks, Inc. |
21,965 | 171,107 | ||||||
Marchex, Inc., Class B |
11,260 | 47,405 | ||||||
MDC Partners, Inc., Class A |
12,553 | 202,982 | ||||||
National CineMedia, Inc. |
27,490 | 433,792 | ||||||
QuinStreet, Inc. (a)(b) |
16,082 | 96,010 | ||||||
ReachLocal, Inc. (a) |
5,009 | 74,935 | ||||||
Travelzoo, Inc. (a) |
3,560 | 76,077 | ||||||
Valassis Communications, Inc. |
19,554 | 584,078 | ||||||
ValueClick, Inc. (a) |
36,870 | 1,089,509 | ||||||
Viad Corp. |
9,971 | 275,798 | ||||||
|
|
|||||||
3,944,956 | ||||||||
|
|
|||||||
Aerospace 1.2% |
|
|||||||
AAR Corp. |
19,797 | 364,067 | ||||||
AeroVironment, Inc. (a)(b) |
8,460 | 153,380 | ||||||
API Technologies Corp. (a) |
16,007 | 39,697 | ||||||
Astronics Corp. (a) |
5,909 | 176,206 | ||||||
CPI Aerostructures, Inc. (a) |
3,201 | 27,433 | ||||||
Cubic Corp. |
7,817 | 333,942 | ||||||
Curtiss-Wright Corp. |
23,008 | 798,378 | ||||||
Esterline Technologies Corp. (a) |
15,032 | 1,137,922 | ||||||
GenCorp, Inc. (a) |
29,409 | 391,140 | ||||||
Heico Corp. |
25,866 | 1,122,843 | ||||||
Kaman Corp., Class A |
12,944 | 459,124 | ||||||
Kratos Defense & Security Solutions, Inc. (a) |
19,376 | 97,461 | ||||||
LMI Aerospace, Inc. (a) |
4,376 | 90,977 | ||||||
Moog, Inc., Class A (a)(b) |
22,166 | 1,015,868 | ||||||
Orbital Sciences Corp. (a)(b) |
28,951 | 483,192 | ||||||
SIFCO Industries, Inc. |
1,224 | 22,534 | ||||||
Teledyne Technologies, Inc. (a) |
18,025 | 1,413,881 | ||||||
|
|
|||||||
8,128,045 | ||||||||
|
|
|||||||
Agriculture, Fishing & Ranching 0.4% |
|
|||||||
Alico, Inc. |
1,735 | 80,244 | ||||||
The Andersons, Inc. |
9,118 | 487,995 | ||||||
Cadiz, Inc. (a) |
6,404 | 43,291 | ||||||
Cal-Maine Foods, Inc. |
7,098 | 302,091 | ||||||
Calavo Growers, Inc. |
5,869 | 168,910 | ||||||
Fresh Del Monte Produce, Inc. |
18,681 | 504,013 | ||||||
Limoneira Co. |
4,713 | 91,055 | ||||||
Pilgrims Pride Corp. (a) |
29,692 | 272,869 | ||||||
Sanderson Farms, Inc. |
11,276 | 615,895 | ||||||
Seaboard Corp. |
149 | 417,199 | ||||||
|
|
|||||||
2,983,562 | ||||||||
|
|
|||||||
Air Transport 1.2% |
|
|||||||
Air Transport Services Group, Inc. (a) |
26,327 | 153,486 | ||||||
Alaska Air Group, Inc. (a)(b) |
34,996 | 2,238,344 | ||||||
Allegiant Travel Co. |
7,400 | 656,972 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) |
12,954 | 528,005 |
Common Stocks |
Shares | Value | ||||||
Air Transport (concluded) |
|
|||||||
Bristow Group, Inc. |
17,533 | $ | 1,156,126 | |||||
Hawaiian Holdings, Inc. (a) |
25,623 | 147,588 | ||||||
JetBlue Airways Corp. (a) |
115,226 | 795,059 | ||||||
PHI, Inc. (a) |
6,354 | 217,370 | ||||||
Republic Airways Holdings, Inc. (a) |
23,898 | 275,783 | ||||||
SkyWest, Inc. |
25,214 | 404,685 | ||||||
Spirit Airlines, Inc. (a) |
20,593 | 522,239 | ||||||
US Airways Group, Inc. (a)(b) |
78,017 | 1,323,949 | ||||||
|
|
|||||||
8,419,606 | ||||||||
|
|
|||||||
Alternative Energy 0.1% |
|
|||||||
Ameresco, Inc., Class A (a) |
9,942 | 73,571 | ||||||
Amyris, Inc. (a) |
15,208 | 46,841 | ||||||
EnerNOC, Inc. (a) |
12,673 | 220,130 | ||||||
Gevo, Inc. (a)(b) |
16,156 | 36,189 | ||||||
Green Plains Renewable Energy, Inc. (a) |
12,298 | 140,689 | ||||||
Rex American Resources Corp. (a) |
2,741 | 60,631 | ||||||
Solazyme, Inc. (a) |
16,658 | 130,099 | ||||||
|
|
|||||||
708,150 | ||||||||
|
|
|||||||
Aluminum 0.1% |
||||||||
Century Aluminum Co. (a) |
25,323 | 196,000 | ||||||
Kaiser Aluminum Corp. |
9,445 | 610,619 | ||||||
Noranda Aluminum Holding Corp. |
16,548 | 74,301 | ||||||
|
|
|||||||
880,920 | ||||||||
|
|
|||||||
Asset Management & Custodian 1.1% |
|
|||||||
Apollo Investment Corp. |
99,780 | 834,161 | ||||||
Arlington Asset Investment Corp. |
7,037 | 181,625 | ||||||
Artio Global Investors, Inc. |
15,465 | 42,065 | ||||||
Calamos Asset Management, Inc., Class A |
9,521 | 112,062 | ||||||
Capital Southwest Corp. |
1,449 | 166,635 | ||||||
CIFC Corp. (a) |
3,260 | 26,830 | ||||||
Cohen & Steers, Inc. |
9,089 | 327,840 | ||||||
Cowen Group, Inc., Class A (a) |
42,839 | 120,806 | ||||||
Diamond Hill Investments Group, Inc. |
1,310 | 101,931 | ||||||
Fifth Street Finance Corp. |
51,752 | 570,307 | ||||||
Financial Engines, Inc. |
22,732 | 823,353 | ||||||
GAMCO Investors, Inc., Class A |
3,152 | 167,403 | ||||||
Golub Capital BDC, Inc. |
8,997 | 148,541 | ||||||
GSV Capital Corp. (a) |
9,477 | 78,280 | ||||||
Harris & Harris Group, Inc. (a) |
15,303 | 55,091 | ||||||
Horizon Technology Finance Corp. |
3,740 | 54,641 | ||||||
JMP Group, Inc. |
7,944 | 54,893 | ||||||
KCAP Financial, Inc. |
12,650 | 136,241 | ||||||
Manning & Napier, Inc. |
6,660 | 110,156 | ||||||
MCG Capital Corp. |
35,899 | 171,597 | ||||||
Medley Capital Corp. |
14,168 | 224,563 | ||||||
MVC Capital, Inc. |
11,698 | 150,085 | ||||||
National Financial Partners Corp. (a) |
19,984 | 448,241 | ||||||
New Mountain Finance Corp. |
11,861 | 173,408 | ||||||
NGP Capital Resources Co. |
10,704 | 76,105 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 1 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Asset Management & Custodian (concluded) |
|
|||||||
Oppenheimer Holdings, Inc. |
5,029 | $ | 97,915 | |||||
Pzena Investment Management, Inc., Class A |
4,972 | 32,318 | ||||||
Resource America, Inc., Class A |
6,293 | 62,678 | ||||||
Solar Capital Ltd. |
21,964 | 515,934 | ||||||
Solar Senior Capital Ltd. |
5,636 | 108,211 | ||||||
TCP Capital Corp. |
2,799 | 44,672 | ||||||
THL Credit, Inc. |
7,424 | 111,212 | ||||||
TICC Capital Corp. |
25,302 | 251,502 | ||||||
Virtus Investment Partners, Inc. (a) |
2,973 | 553,810 | ||||||
Westwood Holdings Group, Inc. |
3,254 | 144,575 | ||||||
WhiteHorse Finance, Inc. |
3,049 | 48,266 | ||||||
WisdomTree Investments, Inc. (a) |
28,800 | 299,520 | ||||||
|
|
|||||||
7,627,473 | ||||||||
|
|
|||||||
Auto Parts 0.7% |
|
|||||||
American Axle & Manufacturing Holdings, Inc. (a) |
32,813 | 447,897 | ||||||
Dana Holding Corp. |
72,524 | 1,293,103 | ||||||
Dorman Products, Inc. |
12,007 | 446,781 | ||||||
Exide Technologies (a)(b) |
38,642 | 104,333 | ||||||
Federal-Mogul Corp., Class A (a) |
9,115 | 54,963 | ||||||
Fuel Systems Solutions, Inc. (a) |
7,236 | 119,177 | ||||||
Gentherm, Inc. (a)(b) |
14,425 | 236,282 | ||||||
Meritor, Inc. (a) |
47,438 | 224,382 | ||||||
Standard Motor Products, Inc. |
9,770 | 270,824 | ||||||
Stoneridge, Inc. (a) |
13,742 | 104,852 | ||||||
Superior Industries International, Inc. |
11,253 | 210,206 | ||||||
Tenneco, Inc. (a) |
29,794 | 1,171,202 | ||||||
Tower International, Inc. (a) |
2,704 | 37,856 | ||||||
U.S. Auto Parts Network, Inc. (a) |
7,304 | 8,765 | ||||||
|
|
|||||||
4,730,623 | ||||||||
|
|
|||||||
Auto Services 0.1% |
|
|||||||
Cooper Tire & Rubber Co. |
30,613 | 785,530 | ||||||
|
|
|||||||
Back Office Support, HR & Consulting 2.0% |
|
|||||||
The Advisory Board Co. (a)(b) |
16,822 | 883,491 | ||||||
Angies List, Inc. (a) |
17,494 | 345,681 | ||||||
Barrett Business Services, Inc. |
3,437 | 180,992 | ||||||
CBIZ, Inc. (a) |
18,413 | 117,475 | ||||||
CDI Corp. |
6,678 | 114,862 | ||||||
Convergys Corp. |
53,572 | 912,331 | ||||||
The Corporate Executive Board Co. |
16,458 | 957,197 | ||||||
CoStar Group, Inc. (a) |
13,832 | 1,514,051 | ||||||
CRA International, Inc. (a) |
5,089 | 113,841 | ||||||
Dice Holdings, Inc. (a) |
20,790 | 210,603 | ||||||
ExlService Holdings, Inc. (a) |
11,435 | 375,983 | ||||||
Forrester Research, Inc. |
6,872 | 217,499 | ||||||
FTI Consulting, Inc. (a)(b) |
20,596 | 775,645 | ||||||
GP Strategies Corp. (a) |
7,268 | 173,415 | ||||||
The Hackett Group, Inc. |
12,095 | 55,274 | ||||||
Heidrick & Struggles International, Inc. |
8,820 | 131,859 | ||||||
Hudson Global, Inc. (a) |
16,359 | 64,454 |
Common Stocks |
Shares | Value | ||||||
Back Office Support, HR & Consulting (concluded) |
|
|||||||
Huron Consulting Group, Inc. (a) |
11,236 | $ | 453,036 | |||||
ICF International, Inc. (a) |
9,727 | 264,574 | ||||||
Innodata Corp. (a) |
11,136 | 38,419 | ||||||
Insperity, Inc. |
11,164 | 316,723 | ||||||
Kelly Services, Inc., Class A |
13,105 | 244,801 | ||||||
Kforce, Inc. |
13,421 | 219,702 | ||||||
Korn/Ferry International (a) |
23,498 | 419,674 | ||||||
Liquidity Services, Inc. (a)(b) |
11,573 | 344,991 | ||||||
MAXIMUS, Inc. |
16,661 | 1,332,380 | ||||||
Monster Worldwide, Inc. (a) |
59,745 | 302,907 | ||||||
Navigant Consulting, Inc. (a) |
25,394 | 333,677 | ||||||
On Assignment, Inc. (a) |
21,110 | 534,294 | ||||||
PDI, Inc. (a) |
4,950 | 29,205 | ||||||
PRGX Global, Inc. (a) |
11,469 | 79,710 | ||||||
Resources Connection, Inc. |
20,868 | 265,024 | ||||||
RPX Corp. (a) |
10,429 | 147,153 | ||||||
ServiceSource International, Inc. (a) |
24,344 | 172,112 | ||||||
SYKES Enterprises, Inc. (a) |
19,052 | 304,070 | ||||||
TeleTech Holdings, Inc. (a) |
10,605 | 224,932 | ||||||
TrueBlue, Inc. (a) |
19,862 | 419,883 | ||||||
WageWorks, Inc. (a) |
3,589 | 89,833 | ||||||
|
|
|||||||
13,681,753 | ||||||||
|
|
|||||||
Banks: Diversified 6.3% |
|
|||||||
1st Source Corp. |
7,357 | 174,361 | ||||||
1st United Bancorp, Inc. |
14,669 | 94,762 | ||||||
Access National Corp. |
3,776 | 61,926 | ||||||
American National BankShares, Inc. |
3,964 | 85,464 | ||||||
Ameris Bancorp (a) |
11,788 | 169,158 | ||||||
Ames National Corp. |
4,147 | 86,506 | ||||||
Arrow Financial Corp. |
5,149 | 126,871 | ||||||
Bancfirst Corp. |
3,197 | 133,315 | ||||||
Banco Latinoamericana De Comercio Exterior SA |
13,971 | 345,643 | ||||||
The Bancorp, Inc. (a) |
16,080 | 222,708 | ||||||
BancorpSouth, Inc. (b) |
46,579 | 759,238 | ||||||
Bank of Kentucky Financial Corp. |
2,950 | 80,919 | ||||||
Bank of Marin Bancorp |
2,678 | 107,361 | ||||||
Bank of the Ozarks, Inc. |
14,413 | 639,217 | ||||||
Banner Corp. |
9,492 | 302,130 | ||||||
Bar Harbor Bankshares |
1,910 | 69,811 | ||||||
BBCN Bancorp, Inc. |
38,397 | 501,465 | ||||||
Berkshire Bancorp, Inc. |
2,118 | 17,685 | ||||||
Boston Private Financial Holdings, Inc. |
38,546 | 380,834 | ||||||
Bridge Bancorp, Inc. |
4,298 | 92,450 | ||||||
Bridge Capital Holdings (a) |
4,600 | 70,104 | ||||||
Bryn Mawr Bank Corp. |
5,725 | 133,278 | ||||||
C&F Financial Corp. |
1,605 | 65,725 | ||||||
Camden National Corp. |
3,811 | 126,068 | ||||||
Cape Bancorp, Inc. |
5,378 | 49,262 | ||||||
Capital City Bank Group, Inc. (a) |
5,874 | 72,544 | ||||||
Cardinal Financial Corp. |
14,436 | 262,446 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 2 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Banks: Diversified (continued) |
|
|||||||
Cascade Bancorp (a) |
3,306 | $ | 22,349 | |||||
Cathay General Bancorp |
38,717 | 778,986 | ||||||
Center Bancorp, Inc. |
5,885 | 73,151 | ||||||
Centerstate Banks, Inc. |
14,797 | 126,958 | ||||||
Central Pacific Financial Corp. (a) |
10,769 | 169,073 | ||||||
Century Bancorp, Inc., Class A |
1,676 | 56,833 | ||||||
Chemical Financial Corp. |
13,593 | 358,583 | ||||||
Citizens & Northern Corp. |
6,120 | 119,340 | ||||||
Citizens Republic Bancorp, Inc. (a) |
19,724 | 444,776 | ||||||
City Holding Co. |
7,738 | 307,895 | ||||||
CNB Financial Corp. |
6,244 | 106,460 | ||||||
CoBiz Financial, Inc. |
17,376 | 140,398 | ||||||
Columbia Banking System, Inc. |
19,616 | 431,160 | ||||||
Community Bank System, Inc. |
19,483 | 577,281 | ||||||
Community Trust Bancorp, Inc. |
6,941 | 236,202 | ||||||
Crescent Financial Bancshares, Inc. (a) |
1,441 | 5,678 | ||||||
CVB Financial Corp. |
43,567 | 491,000 | ||||||
Eagle Bancorp, Inc. (a) |
9,432 | 206,466 | ||||||
Enterprise Bancorp, Inc. |
3,045 | 51,613 | ||||||
Enterprise Financial Services Corp. |
8,823 | 126,522 | ||||||
EverBank Financial Corp. |
11,013 | 169,600 | ||||||
Farmers National Banc Corp. |
9,348 | 58,986 | ||||||
Fidelity Southern Corp. (a) |
4,837 | 55,626 | ||||||
Financial Institutions, Inc. |
6,867 | 137,065 | ||||||
First Bancorp, Inc. |
4,452 | 80,181 | ||||||
First Bancorp, North Carolina |
8,752 | 118,064 | ||||||
First Bancorp, Puerto Rico (a)(b) |
34,823 | 216,947 | ||||||
First Busey Corp. |
37,054 | 169,337 | ||||||
First Commonwealth Financial Corp. |
49,428 | 368,733 | ||||||
First Community Bancshares, Inc. |
8,837 | 140,066 | ||||||
First Connecticut Bancorp, Inc. |
8,721 | 128,460 | ||||||
First Financial Bancorp |
28,969 | 464,952 | ||||||
First Financial Bankshares, Inc. |
15,531 | 754,807 | ||||||
First Financial Corp. |
5,543 | 174,549 | ||||||
First Interstate Bancsystem, Inc. |
8,017 | 150,800 | ||||||
First Merchants Corp. |
14,148 | 218,870 | ||||||
First Midwest Bancorp, Inc. |
36,865 | 489,567 | ||||||
The First of Long Island Corp. |
3,853 | 114,241 | ||||||
FirstMerit Corp. |
54,065 | 893,694 | ||||||
FNB Corp. |
68,906 | 833,763 | ||||||
FNB United Corp. (a) |
5,049 | 49,278 | ||||||
German American Bancorp, Inc. |
6,316 | 145,331 | ||||||
Glacier Bancorp, Inc. |
35,455 | 672,936 | ||||||
Guaranty Bancorp (a) |
38,357 | 80,550 | ||||||
Hancock Holding Co. |
37,531 | 1,160,459 | ||||||
Hanmi Financial Corp. (a) |
15,599 | 249,584 | ||||||
Heartland Financial USA, Inc. |
7,206 | 182,096 | ||||||
Heritage Commerce Corp. (a) |
10,391 | 69,931 | ||||||
Heritage Oaks Bancorp (a) |
9,797 | 55,843 | ||||||
Home Bancshares, Inc. |
10,875 | 409,661 | ||||||
Horizon Bancorp |
3,312 | 66,936 | ||||||
Hudson Valley Holding Corp. |
7,826 | 116,686 | ||||||
IBERIABANK Corp. |
14,517 | 726,140 |
Common Stocks |
Shares | Value | ||||||
Banks: Diversified (continued) |
|
|||||||
Independent Bank Corp. (b) |
10,979 | $ | 357,806 | |||||
International Bancshares Corp. |
26,289 | 546,811 | ||||||
Investors Bancorp, Inc. |
21,625 | 406,117 | ||||||
Lakeland Bancorp, Inc. |
14,790 | 145,681 | ||||||
Lakeland Financial Corp. |
8,088 | 215,869 | ||||||
MainSource Financial Group, Inc. |
9,977 | 140,077 | ||||||
MB Financial, Inc. |
26,895 | 650,052 | ||||||
Mercantile Bank Corp. |
4,281 | 71,536 | ||||||
Merchants Bancshares, Inc. |
2,583 | 77,839 | ||||||
Meridian Interstate Bancorp, Inc. (a) |
4,124 | 77,325 | ||||||
Metro Bancorp, Inc. (a) |
7,024 | 116,177 | ||||||
MetroCorp Bancshares, Inc. (a) |
7,863 | 79,338 | ||||||
Middleburg Financial Corp. |
2,712 | 52,640 | ||||||
Midsouth Bancorp, Inc. |
4,204 | 68,357 | ||||||
NASB Financial, Inc. (a) |
2,097 | 44,142 | ||||||
National Bank Holdings Corp. Class A |
3,597 | 65,825 | ||||||
National Bankshares, Inc. |
3,493 | 122,010 | ||||||
National Penn Bancshares, Inc. |
60,908 | 651,107 | ||||||
NBT Bancorp, Inc. |
21,548 | 477,285 | ||||||
Northrim BanCorp, Inc. |
3,248 | 72,983 | ||||||
OFS Capital Corp. |
3,229 | 45,206 | ||||||
Old National Bancorp |
50,033 | 687,954 | ||||||
Oriental Financial Group, Inc. |
22,549 | 349,735 | ||||||
Pacific Continental Corp. |
9,120 | 101,870 | ||||||
Pacific Mercantile Bancorp (a) |
5,238 | 30,642 | ||||||
PacWest Bancorp |
14,977 | 435,980 | ||||||
Park National Corp. |
5,599 | 390,754 | ||||||
Park Sterling Corp. (a) |
22,020 | 124,193 | ||||||
Peapack-Gladstone Financial Corp. |
4,413 | 65,798 | ||||||
Penns Woods Bancorp, Inc. |
1,926 | 78,908 | ||||||
Peoples Bancorp, Inc. |
5,373 | 120,301 | ||||||
Pinnacle Financial Partners, Inc. (a)(b) |
17,013 | 397,424 | ||||||
Preferred Bank (a) |
5,844 | 92,218 | ||||||
PrivateBancorp, Inc. |
31,695 | 599,352 | ||||||
Prosperity Bancshares, Inc. |
23,406 | 1,109,210 | ||||||
Provident Financial Services, Inc. |
29,647 | 452,710 | ||||||
Renasant Corp. |
12,452 | 278,676 | ||||||
Republic Bancorp, Inc., Class A |
4,962 | 112,340 | ||||||
Rockville Financial, Inc. |
14,086 | 182,555 | ||||||
Roma Financial Corp. |
3,690 | 59,261 | ||||||
S&T Bancorp, Inc. |
14,329 | 265,660 | ||||||
Sandy Spring Bancorp, Inc. |
11,937 | 239,934 | ||||||
SCBT Financial Corp. |
8,200 | 413,280 | ||||||
Seacoast Banking Corp. of Florida (a) |
37,024 | 77,380 | ||||||
Sierra Bancorp |
6,114 | 80,399 | ||||||
Simmons First National Corp., Class A |
8,459 | 214,182 | ||||||
Southside Bancshares, Inc. |
8,518 | 178,963 | ||||||
Southwest Bancorp, Inc. (a) |
9,730 | 122,209 | ||||||
State Bank Financial Corp. |
15,611 | 255,552 | ||||||
StellarOne Corp. |
11,501 | 185,741 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 3 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Banks: Diversified (concluded) |
|
|||||||
Stellus Capital Investment Corp. |
4,227 | $ | 62,644 | |||||
Sterling Bancorp |
15,517 | 157,653 | ||||||
Sterling Financial Corp. |
13,232 | 287,002 | ||||||
Suffolk Bancorp (a) |
4,849 | 69,050 | ||||||
Sun Bancorp, Inc. (a) |
20,075 | 68,456 | ||||||
Susquehanna Bancshares, Inc. |
92,477 | 1,149,489 | ||||||
SY Bancorp, Inc. |
6,098 | 137,205 | ||||||
Taylor Capital Group, Inc. (a) |
8,075 | 129,119 | ||||||
Texas Capital Bancshares, Inc. (a) |
19,746 | 798,726 | ||||||
Tompkins Trustco, Inc. |
5,514 | 233,132 | ||||||
Towne Bank |
13,008 | 194,730 | ||||||
Trico Bancshares |
7,998 | 136,766 | ||||||
TrustCo Bank Corp. NY |
46,693 | 260,547 | ||||||
Trustmark Corp. |
33,077 | 827,256 | ||||||
UMB Financial Corp. |
15,914 | 780,900 | ||||||
Umpqua Holdings Corp. |
55,100 | 730,626 | ||||||
Union First Market Bankshares Corp. |
10,042 | 196,422 | ||||||
United Bankshares, Inc. |
10,792 | 287,175 | ||||||
United Community Banks, Inc. (a) |
20,716 | 234,919 | ||||||
Univest Corp. of Pennsylvania |
8,365 | 145,718 | ||||||
Virginia Commerce Bancorp, Inc. (a) |
13,262 | 186,331 | ||||||
Washington Banking Co. |
7,669 | 106,906 | ||||||
Washington Trust Bancorp, Inc. |
7,103 | 194,480 | ||||||
Webster Financial Corp. |
35,519 | 861,691 | ||||||
WesBanco, Inc. |
12,613 | 302,081 | ||||||
West Bancorp., Inc. |
7,859 | 87,235 | ||||||
West Coast Bancorp |
9,594 | 232,942 | ||||||
Westamerica Bancorp |
13,752 | 623,378 | ||||||
Western Alliance Bancorp (a) |
35,918 | 497,105 | ||||||
Wilshire Bancorp, Inc. (a)(b) |
30,635 | 207,705 | ||||||
Wintrust Financial Corp. |
17,846 | 661,016 | ||||||
|
|
|||||||
42,821,483 | ||||||||
|
|
|||||||
Banks: Savings, Thrift & Mortgage Lending 1.4% |
|
|||||||
Apollo Residential Mortgage, Inc. |
15,442 | 344,202 | ||||||
Astoria Financial Corp. |
43,028 | 424,256 | ||||||
Bank Mutual Corp. |
23,303 | 128,865 | ||||||
BankFinancial Corp. |
10,586 | 85,641 | ||||||
Beneficial Mutual Bancorp, Inc. (a) |
16,059 | 165,408 | ||||||
Berkshire Hills Bancorp, Inc. |
12,179 | 311,052 | ||||||
BofI Holding, Inc. (a) |
5,458 | 195,833 | ||||||
Brookline Bancorp, Inc. |
34,578 | 316,043 | ||||||
BSB Bancorp, Inc. (a) |
3,951 | 54,563 | ||||||
Charter Financial Corp. |
3,254 | 41,619 | ||||||
Clifton Savings Bancorp, Inc. |
4,338 | 54,051 | ||||||
Dime Community Bancshares, Inc. |
15,429 | 221,560 | ||||||
Doral Financial Corp. (a) |
51,829 | 36,524 | ||||||
ESB Financial Corp. |
5,130 | 70,230 | ||||||
ESSA Bancorp, Inc. |
4,772 | 51,728 | ||||||
First Defiance Financial Corp. |
4,806 | 112,076 | ||||||
First Federal Bancshares of Arkansas, Inc. (a) |
1,745 | 17,450 | ||||||
First Financial Holdings, Inc. |
8,167 | 171,180 |
Common Stocks |
Shares | Value | ||||||
Banks: Savings, Thrift & Mortgage Lending (concluded) |
|
|||||||
First Financial Northwest, Inc. (a) |
7,927 | $ | 61,910 | |||||
First Pactrust Bancorp, Inc. |
5,372 | 61,241 | ||||||
Flushing Financial Corp. |
15,256 | 258,437 | ||||||
Fox Chase Bancorp., Inc. |
6,270 | 105,900 | ||||||
Franklin Financial Corp. |
6,480 | 118,260 | ||||||
Great Southern Bancorp, Inc. |
5,098 | 124,340 | ||||||
Heritage Financial Corp. |
7,713 | 111,838 | ||||||
Heritage Financial Group, Inc. |
3,925 | 56,834 | ||||||
Hingham Institution for Savings |
594 | 41,402 | ||||||
Home Bancorp, Inc. (a) |
3,331 | 61,990 | ||||||
Home Federal Bancorp, Inc. |
7,244 | 92,723 | ||||||
Home Loan Servicing Solutions Ltd. |
26,212 | 611,526 | ||||||
HomeStreet, Inc. (a) |
4,386 | 97,983 | ||||||
Kearny Financial Corp. |
7,328 | 74,746 | ||||||
Northfield Bancorp, Inc. |
10,263 | 116,588 | ||||||
Northwest Bancshares, Inc. |
48,070 | 610,008 | ||||||
OceanFirst Financial Corp. |
7,059 | 101,791 | ||||||
Ocwen Financial Corp. (a) |
52,880 | 2,005,210 | ||||||
OmniAmerican Bancorp, Inc. (a) |
5,509 | 139,267 | ||||||
Oritani Financial Corp. |
22,374 | 346,573 | ||||||
Peoples Federal Bancshares, Inc. |
2,876 | 54,932 | ||||||
Provident Financial Holdings, Inc. |
4,878 | 82,975 | ||||||
Provident New York Bancorp |
19,738 | 179,024 | ||||||
SI Financial Group, Inc. |
5,141 | 62,155 | ||||||
Simplicity Bancorp, Inc. |
4,125 | 61,999 | ||||||
Territorial Bancorp., Inc. |
5,364 | 127,556 | ||||||
United Financial Bancorp, Inc. |
9,833 | 149,462 | ||||||
ViewPoint Financial Group, Inc. |
16,549 | 332,800 | ||||||
Waterstone Financial, Inc. (a) |
3,727 | 30,822 | ||||||
Westfield Financial, Inc. |
11,022 | 85,751 | ||||||
WSFS Financial Corp. |
3,720 | 180,941 | ||||||
|
|
|||||||
9,349,265 | ||||||||
|
|
|||||||
Beverage: Brewers & Distillers 0.1% |
|
|||||||
The Boston Beer Co., Inc., Class A (a) |
3,819 | 609,665 | ||||||
Central European Distribution Corp. (a)(b) |
31,832 | 10,664 | ||||||
Craft Brew Alliance, Inc. (a) |
4,948 | 36,813 | ||||||
|
|
|||||||
657,142 | ||||||||
|
|
|||||||
Beverage: Soft Drinks 0.1% |
|
|||||||
Coca-Cola Bottling Co. |
||||||||
Consolidated |
2,236 | 134,876 | ||||||
Farmer Bros. Co. (a) |
3,426 | 50,362 | ||||||
Heckmann Corp. (a)(b) |
69,359 | 297,550 | ||||||
National Beverage Corp. |
5,521 | 77,570 | ||||||
|
|
|||||||
560,358 | ||||||||
|
|
|||||||
Biotechnology 3.6% |
|
|||||||
Accelrys, Inc. (a) |
27,239 | 265,853 | ||||||
Acorda Therapeutics, Inc. (a) |
19,652 | 629,454 | ||||||
Aegerion Pharmaceuticals, Inc. (a)(b) |
13,831 | 557,943 | ||||||
Affymax, Inc. (a) |
18,094 | 25,151 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 4 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Biotechnology (continued) |
|
|||||||
Agenus, Inc. (a) |
12,045 | $ | 46,855 | |||||
Alkermes Plc (a) |
60,053 | 1,423,857 | ||||||
Allos Therapeutcs, Inc. |
29,014 | | ||||||
Alnylam Pharmaceuticals, Inc. (a) |
27,028 | 658,672 | ||||||
AMAG Pharmaceuticals, Inc. (a) |
10,448 | 249,185 | ||||||
Amicus Therapeutics, Inc. (a) |
14,887 | 47,192 | ||||||
Arena Pharmaceuticals, Inc. (a)(b) |
106,564 | 874,890 | ||||||
ArQule, Inc. (a) |
28,752 | 74,468 | ||||||
Array Biopharma, Inc. (a) |
57,049 | 280,681 | ||||||
Astex Pharmaceuticals (a) |
45,626 | 203,492 | ||||||
AVEO Pharmaceuticals, Inc. (a) |
22,473 | 165,177 | ||||||
BG Medicine, Inc. (a) |
7,563 | 14,067 | ||||||
BioDelivery Sciences International, Inc. (a) |
13,446 | 56,608 | ||||||
BioTime, Inc. (a)(b) |
16,324 | 62,358 | ||||||
Celldex Therapeutics, Inc. (a) |
39,658 | 459,240 | ||||||
Cepheid, Inc. (a) |
32,202 | 1,235,591 | ||||||
ChemoCentryx, Inc. (a) |
2,600 | 35,932 | ||||||
Clovis Oncology, Inc. (a) |
6,711 | 192,404 | ||||||
Codexis, Inc. (a) |
13,188 | 31,519 | ||||||
Cornerstone Therapeutics, Inc. (a) |
4,097 | 28,966 | ||||||
Coronado Biosciences, Inc. (a) |
9,219 | 89,609 | ||||||
Cubist Pharmaceuticals, Inc. (a)(b) |
31,054 | 1,453,948 | ||||||
Curis, Inc. (a) |
39,073 | 128,159 | ||||||
Cytori Therapeutics, Inc. (a) |
30,395 | 76,291 | ||||||
Dendreon Corp. (a)(b) |
75,804 | 358,553 | ||||||
Discovery Laboratories, Inc. (a) |
21,409 | 49,027 | ||||||
Durata Therapeutics, Inc. (a) |
4,189 | 37,701 | ||||||
Dyax Corp. (a) |
48,444 | 211,216 | ||||||
Dynavax Technologies Corp. (a) |
89,809 | 199,376 | ||||||
Emergent Biosolutions, Inc. (a) |
12,686 | 177,350 | ||||||
Enzon Pharmaceuticals, Inc. |
18,775 | 71,345 | ||||||
Exact Sciences Corp. (a)(b) |
31,276 | 306,505 | ||||||
Exelixis, Inc. (a)(b) |
90,046 | 416,012 | ||||||
Furiex Pharmaceuticals, Inc. (a) |
3,631 | 136,090 | ||||||
Genomic Health, Inc. (a) |
7,822 | 221,206 | ||||||
Geron Corp. (a) |
65,705 | 70,304 | ||||||
GTx, Inc. (a) |
13,311 | 55,241 | ||||||
Halozyme Therapeutics, Inc. (a)(b) |
44,168 | 254,849 | ||||||
Harvard Bioscience, Inc. (a) |
12,156 | 68,681 | ||||||
Horizon Pharma, Inc. (a) |
18,925 | 51,287 | ||||||
Hyperion Therapeutics, Inc. (a) |
2,048 | 52,879 | ||||||
Idenix Pharmaceuticals, Inc. (a) |
44,159 | 157,206 | ||||||
ImmunoCellular Therapeutics Ltd. (a) |
25,180 | 68,993 | ||||||
ImmunoGen, Inc. (a) |
41,003 | 658,508 | ||||||
Immunomedics, Inc. (a) |
34,987 | 84,319 | ||||||
Intercept Pharmaceuticals, Inc. (a) |
2,325 | 86,955 | ||||||
InterMune, Inc. (a) |
40,032 | 362,290 | ||||||
KaloBios Pharmaceuticals, Inc. (a) |
4,083 | 24,498 | ||||||
Keryx Biopharmaceuticals, Inc. (a) |
40,158 | 282,712 | ||||||
Lexicon Genetics, Inc. (a)(b) |
103,970 | 226,655 | ||||||
Ligand Pharmaceuticals, Inc. (a)(b) |
8,532 | 227,378 | ||||||
MannKind Corp. (a)(b) |
65,934 | 223,516 | ||||||
Maxygen, Inc. |
13,277 | 31,998 |
Common Stocks |
Shares | Value | ||||||
Biotechnology (concluded) |
|
|||||||
Merrimack Pharmaceuticals, Inc. (a) |
7,539 | $ | 45,988 | |||||
Momenta Pharmaceuticals, Inc. (a) |
22,949 | 306,140 | ||||||
Nektar Therapeutics (a) |
56,278 | 619,058 | ||||||
Neurocrine Biosciences, Inc. (a)(b) |
32,588 | 395,618 | ||||||
NewLink Genetics Corp. (a) |
7,665 | 94,050 | ||||||
Novavax, Inc. (a) |
63,690 | 145,213 | ||||||
NPS Pharmaceuticals, Inc. (a)(b) |
42,276 | 430,792 | ||||||
Omeros Corp. (a) |
12,737 | 52,476 | ||||||
OncoGenex Pharmaceutical, Inc. (a) |
7,183 | 81,383 | ||||||
Oncothyreon, Inc. (a) |
27,958 | 58,153 | ||||||
Opko Health, Inc. (a)(b) |
52,489 | 400,491 | ||||||
Orexigen Therapeutics, Inc. (a) |
40,417 | 252,606 | ||||||
Osiris Therapeutics, Inc. (a) |
8,042 | 83,637 | ||||||
Pacific Biosciences of California, Inc. (a) |
18,661 | 46,466 | ||||||
PDL BioPharma, Inc. |
68,750 | 502,562 | ||||||
Peregrine Semiconductor Corp. (a) |
3,172 | 30,990 | ||||||
Progenics Pharmaceuticals, Inc. (a) |
22,220 | 119,766 | ||||||
Raptor Pharmaceutical Corp. (a)(b) |
25,315 | 148,093 | ||||||
Regulus Therapeutics, Inc. (a) |
6,478 | 50,204 | ||||||
Repligen Corp. (a) |
15,129 | 104,541 | ||||||
Repros Therapeutics, Inc. (a) |
9,187 | 147,911 | ||||||
Rigel Pharmaceuticals, Inc. (a) |
41,911 | 284,576 | ||||||
RTI Biologics, Inc. (a) |
27,652 | 108,949 | ||||||
Sangamo Biosciences, Inc. (a) |
25,912 | 247,719 | ||||||
Seattle Genetics, Inc. (a) |
46,640 | 1,656,186 | ||||||
Sequenom, Inc. (a)(b) |
56,417 | 234,131 | ||||||
Sucampo Pharmaceuticals, Inc., Class A (a) |
5,388 | 35,237 | ||||||
Sunesis Pharmaceuticals, Inc. (a)(b) |
14,580 | 79,753 | ||||||
Synageva BioPharma Corp. (a)(b) |
5,520 | 303,158 | ||||||
Synergy Pharmaceuticals, Inc. (a)(b) |
20,321 | 123,348 | ||||||
Synta Pharmaceuticals Corp. (a) |
19,560 | 168,216 | ||||||
Targacept, Inc. (a) |
13,322 | 57,018 | ||||||
TESARO, Inc. (a) |
2,618 | 57,491 | ||||||
Theravance, Inc. (a)(b) |
29,752 | 702,742 | ||||||
Threshold Pharmaceuticals, Inc. (a) |
22,139 | 102,061 | ||||||
Transcept Pharmaceuticals, Inc. (a) |
6,288 | 30,119 | ||||||
Trius Therapeutics, Inc. (a) |
15,039 | 102,867 | ||||||
Vanda Pharmaceuticals, Inc. (a) |
13,936 | 54,629 | ||||||
Ventrus Biosciences, Inc. (a) |
9,647 | 28,845 | ||||||
Verastem, Inc. (a) |
3,137 | 30,178 | ||||||
ViroPharma, Inc. (a) |
32,349 | 813,901 | ||||||
XOMA Corp. (a) |
39,900 | 139,251 | ||||||
ZIOPHARM Oncology, Inc. (a) |
32,894 | 60,196 | ||||||
|
|
|||||||
24,076,921 | ||||||||
|
|
|||||||
Building Materials 1.1% |
|
|||||||
Acuity Brands, Inc. |
20,847 | 1,445,739 | ||||||
BlueLinx Holdings, Inc. (a) |
16,675 | 47,524 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 5 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Building Materials (concluded) |
|
|||||||
Builders FirstSource, Inc. (a) |
22,488 | $ | 131,780 | |||||
Gibraltar Industries, Inc. (a) |
14,980 | 273,385 | ||||||
Griffon Corp. |
22,339 | 266,281 | ||||||
Headwaters, Inc. (a) |
36,062 | 393,076 | ||||||
Louisiana-Pacific Corp. (a)(b) |
67,573 | 1,459,577 | ||||||
LSI Industries, Inc. |
9,703 | 67,727 | ||||||
NCI Building Systems, Inc. (a) |
9,008 | 156,469 | ||||||
Patrick Industries, Inc. (a) |
2,113 | 33,301 | ||||||
PGT, Inc. (a) |
10,020 | 68,837 | ||||||
Quanex Building Products Corp. |
18,237 | 293,616 | ||||||
Simpson Manufacturing Co., Inc. |
19,662 | 601,854 | ||||||
Texas Industries, Inc. (a) |
11,124 | 702,035 | ||||||
Trex Co., Inc. (a) |
7,372 | 362,555 | ||||||
Watsco, Inc. |
14,444 | 1,215,896 | ||||||
|
|
|||||||
7,519,652 | ||||||||
|
|
|||||||
Building: Climate Control 0.1% |
|
|||||||
Aaon, Inc. |
9,127 | 251,814 | ||||||
Comfort Systems USA, Inc. |
18,541 | 261,243 | ||||||
Nortek, Inc. (a) |
3,770 | 269,027 | ||||||
|
|
|||||||
782,084 | ||||||||
|
|
|||||||
Building: Roofing, Wallboard & Plumbing 0.3% |
|
|||||||
Beacon Roofing Supply, Inc. (a) |
23,072 | 891,963 | ||||||
USG Corp. (a) |
36,472 | 964,320 | ||||||
|
|
|||||||
1,856,283 | ||||||||
|
|
|||||||
Casinos & Gambling 0.4% |
|
|||||||
Ameristar Casinos, Inc. |
16,132 | 423,142 | ||||||
Boyd Gaming Corp. (a)(b) |
27,291 | 225,697 | ||||||
Caesars Entertainment Corp. (a)(b) |
18,096 | 287,002 | ||||||
Isle of Capri Casinos, Inc. (a) |
10,276 | 64,636 | ||||||
Monarch Casino & Resort, Inc. (a) |
4,337 | 42,199 | ||||||
MTR Gaming Group, Inc. (a) |
11,256 | 37,145 | ||||||
Multimedia Games Holding Co., Inc. (a) |
13,473 | 281,181 | ||||||
Pinnacle Entertainment, Inc. (a)(b) |
28,930 | 422,957 | ||||||
Scientific Games Corp., Class A (a) |
25,525 | 223,344 | ||||||
WMS Industries, Inc. (a) |
27,110 | 683,443 | ||||||
|
|
|||||||
2,690,746 | ||||||||
|
|
|||||||
Cement 0.2% |
|
|||||||
Eagle Materials, Inc. |
24,051 | 1,602,518 | ||||||
|
|
|||||||
Chemicals: Diversified 1.3% |
|
|||||||
Aceto Corp. |
13,227 | 146,423 | ||||||
American Vanguard Corp. |
13,680 | 417,787 | ||||||
Axiall Corp. |
34,131 | 2,121,583 | ||||||
Chemtura Corp. (a) |
48,458 | 1,047,177 | ||||||
Hawkins, Inc. |
4,457 | 178,057 | ||||||
Innophos Holdings, Inc. |
10,694 | 583,465 | ||||||
KMG Chemicals, Inc. |
3,840 | 74,650 | ||||||
Landec Corp. (a) |
12,513 | 181,063 | ||||||
LSB Industries, Inc. (a) |
9,217 | 320,567 | ||||||
Olin Corp. |
39,352 | 992,457 | ||||||
OM Group, Inc. (a) |
15,899 | 373,308 | ||||||
Omnova Solutions, Inc. (a) |
22,791 | 174,807 |
Common Stocks |
Shares | Value | ||||||
Chemicals: Diversified (concluded) |
|
|||||||
PolyOne Corp. |
48,778 | $ | 1,190,674 | |||||
Sensient Technologies Corp. |
24,517 | 958,370 | ||||||
|
|
|||||||
8,760,388 | ||||||||
|
|
|||||||
Chemicals: Specialty 0.5% |
|
|||||||
Balchem Corp. |
14,339 | 630,056 | ||||||
Calgon Carbon Corp. (a) |
26,497 | 479,596 | ||||||
FutureFuel Corp. |
9,513 | 115,583 | ||||||
GSE Holding, Inc. (a) |
3,905 | 32,255 | ||||||
Innospec, Inc. |
11,319 | 501,205 | ||||||
Kraton Performance Polymers, Inc. (a) |
15,824 | 370,282 | ||||||
Quaker Chemical Corp. |
6,363 | 375,544 | ||||||
Stepan Co. |
8,703 | 549,159 | ||||||
Zep, Inc. |
10,901 | 163,624 | ||||||
|
|
|||||||
3,217,304 | ||||||||
|
|
|||||||
Coal 0.2% |
|
|||||||
Arch Coal, Inc. |
104,365 | 566,702 | ||||||
Cloud Peak Energy, Inc. (a) |
29,981 | 563,043 | ||||||
Hallador Energy Co. |
3,138 | 21,652 | ||||||
KiOR, Inc., Class A (a)(b) |
12,730 | 59,195 | ||||||
Westmoreland Coal Co. (a) |
5,278 | 59,958 | ||||||
|
|
|||||||
1,270,550 | ||||||||
|
|
|||||||
Commercial Banks 0.0% |
||||||||
HomeTrust Bancshares, Inc. (a) |
10,455 | 165,189 | ||||||
|
|
|||||||
Commercial Finance & Mortgage Companies 0.2% |
|
|||||||
Asta Funding, Inc. |
5,152 | 49,459 | ||||||
Capital Bank Financial Corp., Class A (a) |
4,770 | 81,853 | ||||||
Federal Agricultural Mortgage Corp., Class B |
4,954 | 152,534 | ||||||
Medallion Financial Corp. |
9,205 | 121,690 | ||||||
Nationstar Mortgage Holdings, Inc. (a) |
9,506 | 350,771 | ||||||
NewStar Financial, Inc. (a)(b) |
13,026 | 172,334 | ||||||
Walker & Dunlop, Inc. (a) |
5,771 | 103,705 | ||||||
|
|
|||||||
1,032,346 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.0% |
|
|||||||
ARC Document Solutions, Inc. (a) |
18,135 | 54,042 | ||||||
LifeLock, Inc. (a) |
8,896 | 85,669 | ||||||
Performant Financial Corp. (a) |
4,450 | 54,646 | ||||||
|
|
|||||||
194,357 | ||||||||
|
|
|||||||
Commercial Services: Rental & Leasing 0.5% |
|
|||||||
Aircastle Ltd. |
27,157 | 371,508 | ||||||
CAI International, Inc. (a)(b) |
7,142 | 205,832 | ||||||
Electro Rent Corp. |
9,205 | 170,661 | ||||||
H&E Equipment Services, Inc. |
14,127 | 288,191 | ||||||
Marlin Business Services, Inc. |
4,048 | 93,873 | ||||||
McGrath RentCorp |
12,138 | 377,492 | ||||||
MicroFinancial, Inc. |
4,434 | 37,379 | ||||||
Mobile Mini, Inc. (a)(b) |
18,756 | 551,989 | ||||||
PHH Corp. (a) |
27,860 | 611,806 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 6 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Commercial Services: Rental & Leasing (concluded) |
|
|||||||
SeaCube Container Leasing Ltd. |
5,361 | $ | 123,088 | |||||
TAL International Group, Inc. |
14,346 | 650,017 | ||||||
Willis Lease Finance Corp. (a) |
2,307 | 34,882 | ||||||
|
|
|||||||
3,516,718 | ||||||||
|
|
|||||||
Commercial Vehicles & Parts 0.2% |
|
|||||||
Accuride Corp. (a) |
23,052 | 124,250 | ||||||
Commercial Vehicle Group, Inc. (a) |
12,057 | 94,045 | ||||||
Miller Industries, Inc. |
5,302 | 85,097 | ||||||
Modine Manufacturing Co. (a) |
22,919 | 208,563 | ||||||
Rush Enterprises, Inc., Class A (a) |
16,260 | 392,191 | ||||||
Spartan Motors, Inc. |
16,811 | 89,267 | ||||||
Sypris Solutions, Inc. |
5,141 | 21,489 | ||||||
Wabash National Corp. (a) |
33,638 | 341,762 | ||||||
|
|
|||||||
1,356,664 | ||||||||
|
|
|||||||
Communications Equipment 0.0% |
|
|||||||
Envivio, Inc. (a) |
3,561 | 6,054 | ||||||
Ruckus Wireless, Inc. (a) |
4,160 | 87,360 | ||||||
|
|
|||||||
93,414 | ||||||||
|
|
|||||||
Communications Technology 2.1% |
|
|||||||
Adtran, Inc. |
31,335 | 615,733 | ||||||
Ambient Corp. (a) |
1,020 | 2,499 | ||||||
Anaren, Inc. (a) |
6,413 | 124,348 | ||||||
Anixter International, Inc. |
13,842 | 967,833 | ||||||
Aruba Networks, Inc. (a)(b) |
54,940 | 1,359,216 | ||||||
Aviat Networks, Inc. (a) |
30,370 | 102,347 | ||||||
Bel Fuse, Inc. |
5,190 | 81,016 | ||||||
Black Box Corp. |
8,069 | 175,985 | ||||||
Calix, Inc. (a)(b) |
19,442 | 158,452 | ||||||
Ciena Corp. (a) |
48,713 | 779,895 | ||||||
Comtech Telecommunications Corp. |
8,224 | 199,679 | ||||||
Datalink Corp. (a) |
7,458 | 90,093 | ||||||
Digi International, Inc. (a) |
12,345 | 110,241 | ||||||
DigitalGlobe, Inc. (a) |
26,247 | 758,801 | ||||||
Echelon Corp. (a) |
18,488 | 45,111 | ||||||
Emulex Corp. (a) |
42,617 | 278,289 | ||||||
Extreme Networks, Inc. (a) |
45,660 | 153,874 | ||||||
Finisar Corp. (a)(b) |
44,854 | 591,624 | ||||||
Globecomm Systems, Inc. (a) |
11,314 | 135,881 | ||||||
GSI Technology, Inc. (a) |
10,192 | 67,165 | ||||||
Harmonic, Inc. (a) |
57,688 | 334,014 | ||||||
Infinera Corp. (a) |
56,482 | 395,374 | ||||||
InterDigital, Inc. |
20,114 | 962,053 | ||||||
Ixia (a) |
20,701 | 447,970 | ||||||
KVH Industries, Inc. (a) |
7,283 | 98,830 | ||||||
Loral Space & Communications Ltd. |
5,374 | 332,543 | ||||||
NeoPhotonics Corp. (a) |
9,446 | 48,269 | ||||||
NETGEAR, Inc. (a) |
18,637 | 624,526 | ||||||
Numerex Corp., Class A (a) |
5,699 | 72,890 | ||||||
Oclaro, Inc. (a) |
35,751 | 45,046 | ||||||
Oplink Communications, Inc. (a) |
9,291 | 152,372 | ||||||
ParkerVision, Inc. (a) |
39,289 | 144,191 |
Common Stocks |
Shares | Value | ||||||
Communications Technology (concluded) |
|
|||||||
PC-Tel, Inc. |
8,921 | $ | 63,339 | |||||
Plantronics, Inc. |
20,880 | 922,687 | ||||||
Procera Networks, Inc. (a) |
10,085 | 119,911 | ||||||
QLogic Corp. (a) |
44,742 | 519,007 | ||||||
SeaChange International, Inc. (a) |
14,069 | 167,280 | ||||||
Shoretel, Inc. (a) |
23,773 | 86,296 | ||||||
Sonus Networks, Inc. (a) |
104,565 | 270,823 | ||||||
TeleNav, Inc. (a) |
7,934 | 51,174 | ||||||
Tellabs, Inc. |
179,993 | 376,185 | ||||||
Viasat, Inc. (a) |
18,407 | 891,635 | ||||||
Westell Technologies, Inc., Class A (a) |
22,140 | 44,501 | ||||||
|
|
|||||||
13,968,998 | ||||||||
|
|
|||||||
Computer Services Software & Systems 5.2% |
|
|||||||
ACI Worldwide, Inc. (a)(c) |
19,503 | 952,917 | ||||||
The Active Network, Inc. (a) |
19,193 | 80,419 | ||||||
Actuate Corp. (a) |
24,236 | 145,416 | ||||||
Acxiom Corp. (a) |
37,692 | 768,917 | ||||||
American Software, Inc., Class A |
11,521 | 95,855 | ||||||
Aspen Technology, Inc. (a) |
45,923 | 1,482,854 | ||||||
AVG Technologies NV (a) |
4,011 | 55,833 | ||||||
Avid Technology, Inc. (a) |
14,561 | 91,297 | ||||||
Aware, Inc. |
5,907 | 27,349 | ||||||
Bankrate, Inc. (a) |
22,698 | 271,014 | ||||||
Bazaarvoice, Inc. (a) |
5,216 | 38,181 | ||||||
Blackbaud, Inc. |
22,171 | 656,927 | ||||||
Blucora, Inc. (a) |
19,645 | 304,105 | ||||||
Bottomline Technologies, Inc. (a)(b) |
18,451 | 526,038 | ||||||
Brightcove, Inc. (a) |
3,037 | 18,860 | ||||||
BroadSoft, Inc. (a) |
13,514 | 357,716 | ||||||
CACI International, Inc., Class A (a) |
11,117 | 643,341 | ||||||
Callidus Software, Inc. (a) |
18,029 | 82,392 | ||||||
Ciber, Inc. (a) |
35,939 | 168,913 | ||||||
CommVault Systems, Inc. (a)(b) |
21,929 | 1,797,739 | ||||||
Computer Task Group, Inc. |
7,529 | 161,045 | ||||||
ComScore, Inc. (a) |
17,318 | 290,596 | ||||||
Cornerstone OnDemand, Inc. (a) |
16,507 | 562,889 | ||||||
CSG Systems International, Inc. (a)(b) |
16,644 | 352,686 | ||||||
DealerTrack Technologies, Inc. (a)(b) |
20,833 | 612,074 | ||||||
Demand Media, Inc. (a) |
14,788 | 127,620 | ||||||
Demandware, Inc. (a) |
3,227 | 81,804 | ||||||
Digimarc Corp. |
3,440 | 75,577 | ||||||
Digital River, Inc. (a) |
18,050 | 255,227 | ||||||
EarthLink, Inc. |
52,016 | 281,927 | ||||||
Ebix, Inc. (b) |
13,928 | 225,912 | ||||||
Envestnet, Inc. (a) |
10,373 | 181,631 | ||||||
EPAM Systems, Inc. (a) |
2,502 | 58,121 | ||||||
EPIQ Systems, Inc. |
15,435 | 216,553 | ||||||
ePlus, Inc. |
1,906 | 88,076 | ||||||
ExactTarget, Inc. (a)(b) |
4,746 | 110,439 | ||||||
FalconStor Software, Inc. (a) |
15,315 | 41,044 | ||||||
Guidance Software, Inc. (a) |
7,014 | 76,102 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 7 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Computer Services Software & Systems (continued) |
|
|||||||
Guidewire Software, Inc. (a) |
10,064 | $ | 386,860 | |||||
ICG Group, Inc. (a) |
18,237 | 227,598 | ||||||
iGate Corp. (a) |
15,712 | 295,543 | ||||||
Imperva, Inc. (a) |
5,053 | 194,540 | ||||||
Infoblox, Inc. (a) |
4,074 | 88,406 | ||||||
Interactive Intelligence Group,
|
7,214 | 319,941 | ||||||
Internap Network Services Corp. (a) |
25,999 | 243,091 | ||||||
IntraLinks Holdings, Inc. (a) |
18,011 | 114,550 | ||||||
Jive Software, Inc. (a) |
8,463 | 128,638 | ||||||
Keynote Systems, Inc. |
7,763 | 108,371 | ||||||
The KEYW Holding Corp. (a) |
12,246 | 197,528 | ||||||
Limelight Networks, Inc. (a) |
27,845 | 57,361 | ||||||
Lionbridge Technologies, Inc. (a) |
27,784 | 107,524 | ||||||
LivePerson, Inc. (a)(b) |
27,005 | 366,728 | ||||||
LogMeIn, Inc. (a) |
10,883 | 209,171 | ||||||
Manhattan Associates, Inc. (a)(b) |
9,973 | 740,894 | ||||||
Mantech International Corp., Class A |
11,302 | 303,685 | ||||||
Mattersight Corp. (a) |
5,127 | 21,995 | ||||||
MeetMe, Inc. (a)(b) |
9,496 | 21,651 | ||||||
Mentor Graphics Corp. |
45,715 | 825,156 | ||||||
Mercury Systems, Inc. (a)(b) |
15,152 | 111,670 | ||||||
MicroStrategy, Inc., Class A (a) |
4,185 | 423,020 | ||||||
Millennial Media, Inc. (a) |
5,657 | 35,922 | ||||||
Moduslink Global Solutions, Inc. (a) |
19,322 | 63,763 | ||||||
Monotype Imaging Holdings, Inc. |
17,984 | 427,120 | ||||||
NetScout Systems, Inc. (a) |
18,038 | 443,194 | ||||||
NIC, Inc. |
31,663 | 606,663 | ||||||
OpenTable, Inc. (a) |
11,084 | 698,070 | ||||||
PDF Solutions, Inc. (a) |
11,931 | 191,135 | ||||||
Pegasystems, Inc. |
8,440 | 236,995 | ||||||
Perficient, Inc. (a) |
15,598 | 181,873 | ||||||
Pervasive Software, Inc. (a) |
6,380 | 58,505 | ||||||
Progress Software Corp. (a) |
28,411 | 647,203 | ||||||
Proofpoint, Inc. (a) |
3,078 | 51,895 | ||||||
PROS Holdings, Inc. (a) |
10,742 | 291,860 | ||||||
PTC, Inc. (a) |
58,694 | 1,496,110 | ||||||
QAD, Inc., Class A |
2,957 | 37,968 | ||||||
QLIK Technologies, Inc. (a) |
41,929 | 1,083,026 | ||||||
RealNetworks, Inc. (a) |
10,775 | 83,075 | ||||||
RealPage, Inc. (a)(b) |
17,590 | 364,289 | ||||||
Responsys, Inc. (a) |
17,545 | 155,273 | ||||||
Saba Software, Inc. (a) |
14,697 | 116,841 | ||||||
Sapiens International Corp. NV |
6,750 | 36,720 | ||||||
Sapient Corp. (a) |
60,551 | 738,117 | ||||||
SciQuest, Inc. (a) |
8,748 | 210,302 | ||||||
Shutterstock, Inc. (a) |
2,557 | 115,014 | ||||||
Sourcefire, Inc. (a)(b) |
14,526 | 860,375 | ||||||
Spark Networks, Inc. (a) |
5,705 | 40,163 | ||||||
SPS Commerce, Inc. (a)(b) |
6,057 | 258,452 |
Common Stocks |
Shares | Value | ||||||
Computer Services Software & Systems (concluded) |
|
|||||||
SS&C Technologies Holdings, Inc. (a)(b) |
16,628 | $ | 498,507 | |||||
Support.com, Inc. (a) |
24,124 | 100,838 | ||||||
Synacor, Inc. (a) |
3,279 | 9,804 | ||||||
Synchronoss Technologies, Inc. (a) |
13,592 | 421,760 | ||||||
SYNNEX Corp. (a) |
12,843 | 475,191 | ||||||
Syntel, Inc. |
7,556 | 510,181 | ||||||
Tangoe, Inc. (a) |
14,713 | 182,294 | ||||||
TechTarget, Inc. (a) |
7,737 | 37,834 | ||||||
Tyler Technologies, Inc. (a) |
14,779 | 905,361 | ||||||
Ultimate Software Group, Inc. (a)(b) |
13,069 | 1,361,267 | ||||||
Unisys Corp. (a)(b) |
21,558 | 490,444 | ||||||
United Online, Inc. |
44,522 | 268,468 | ||||||
Unwired Planet, Inc. (a) |
28,985 | 64,347 | ||||||
VASCO Data Security International, Inc. (a) |
13,881 | 117,156 | ||||||
Verint Systems, Inc. (a) |
24,635 | 900,409 | ||||||
VirnetX Holding Corp. (a)(b) |
20,647 | 395,803 | ||||||
Virtusa Corp. (a)(b) |
9,141 | 217,190 | ||||||
Web.com Group, Inc. (a) |
17,174 | 293,332 | ||||||
Websense, Inc. (a)(b) |
18,344 | 275,160 | ||||||
Yelp, Inc. (a) |
4,177 | 99,037 | ||||||
Zillow, Inc. (a)(b) |
1,725 | 94,306 | ||||||
Zix Corp. (a) |
29,907 | 107,067 | ||||||
|
|
|||||||
35,215,006 | ||||||||
|
|
|||||||
Computer Technology 0.5% |
|
|||||||
Cray, Inc. (a)(b) |
19,320 | 448,417 | ||||||
Imation Corp. (a) |
15,964 | 60,982 | ||||||
Immersion Corp. (a) |
13,741 | 161,319 | ||||||
Insight Enterprises, Inc. (a)(b) |
21,747 | 448,423 | ||||||
Intermec, Inc. (a) |
29,503 | 290,015 | ||||||
OCZ Technology Group, Inc. (a)(b) |
33,415 | 60,147 | ||||||
PC Connection, Inc. |
4,354 | 71,188 | ||||||
Quantum Corp. (a) |
115,678 | 148,068 | ||||||
Radisys Corp. (a) |
11,118 | 54,701 | ||||||
Safeguard Scientifics, Inc. (a) |
10,164 | 160,591 | ||||||
Silicon Graphics International Corp. (a) |
15,767 | 216,796 | ||||||
STEC, Inc. (a) |
17,457 | 77,160 | ||||||
Super Micro Computer, Inc. (a) |
14,292 | 161,357 | ||||||
Synaptics, Inc. (a) |
16,553 | 673,542 | ||||||
Telular Corp. |
8,217 | 82,663 | ||||||
|
|
|||||||
3,115,369 | ||||||||
|
|
|||||||
Construction 0.5% |
|
|||||||
Aegion Corp. (a) |
19,329 | 447,466 | ||||||
EMCOR Group, Inc. |
32,828 | 1,391,579 | ||||||
Granite Construction, Inc. |
19,065 | 607,030 | ||||||
Great Lakes Dredge & Dock Corp. |
29,439 | 198,124 | ||||||
Orion Marine Group, Inc. (a) |
13,507 | 134,260 | ||||||
Primoris Services Corp. |
14,774 | 326,653 | ||||||
Sterling Construction Co., Inc. (a) |
8,112 | 88,340 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 8 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Construction (concluded) |
|
|||||||
Tutor Perini Corp. (a) |
17,587 | $ | 339,429 | |||||
|
|
|||||||
3,532,881 | ||||||||
|
|
|||||||
Consumer Electronics 0.2% |
|
|||||||
RealD, Inc. (a)(b) |
20,292 | 263,796 | ||||||
Skullcandy, Inc. (a) |
8,014 | 42,314 | ||||||
TiVo, Inc. (a) |
61,260 | 759,012 | ||||||
Universal Electronics, Inc. (a) |
7,329 | 170,399 | ||||||
VOXX International Corp. (a) |
8,884 | 95,148 | ||||||
XO Group, Inc. (a) |
12,834 | 128,340 | ||||||
Zagg, Inc. (a) |
12,580 | 91,582 | ||||||
|
|
|||||||
1,550,591 | ||||||||
|
|
|||||||
Consumer Lending 0.9% |
|
|||||||
Asset Acceptance Capital Corp. (a) |
7,998 | 53,907 | ||||||
Cash America International, Inc. |
14,506 | 761,130 | ||||||
Credit Acceptance Corp. (a)(b) |
3,635 | 443,979 | ||||||
Encore Capital Group, Inc. (a) |
10,194 | 306,839 | ||||||
Ezcorp, Inc. (a) |
23,690 | 504,597 | ||||||
First Cash Financial Services, Inc. (a) |
14,143 | 825,103 | ||||||
The First Marblehead Corp. (a) |
28,627 | 28,913 | ||||||
MGIC Investment Corp. (a) |
154,914 | 766,824 | ||||||
MoneyGram International, Inc. (a) |
10,722 | 194,068 | ||||||
Nelnet, Inc., Class A |
11,822 | 399,584 | ||||||
Netspend Holdings, Inc. (a) |
14,123 | 224,415 | ||||||
Nicholas Financial, Inc. |
5,138 | 75,529 | ||||||
Portfolio Recovery Associates, Inc. (a) |
8,434 | 1,070,443 | ||||||
Regional Management Corp. (a) |
2,421 | 48,904 | ||||||
Tree.com, Inc. |
3,151 | 58,262 | ||||||
World Acceptance Corp. (a) |
4,820 | 413,893 | ||||||
|
|
|||||||
6,176,390 | ||||||||
|
|
|||||||
Consumer Services: Miscellaneous 0.7% |
|
|||||||
Chuys Holdings, Inc. (a) |
3,318 | 108,100 | ||||||
Coinstar, Inc. (a)(b) |
13,729 | 802,048 | ||||||
Collectors Universe, Inc. |
2,664 | 31,355 | ||||||
Core-Mark Holdings Co., Inc. |
5,576 | 286,105 | ||||||
Del Friscos Restaurant Group, Inc. (a) |
2,864 | 47,542 | ||||||
Move, Inc. (a) |
19,253 | 230,073 | ||||||
NutriSystem, Inc. |
13,956 | 118,347 | ||||||
Sothebys |
33,272 | 1,244,706 | ||||||
Steiner Leisure Ltd. (a) |
7,451 | 360,330 | ||||||
WEX, Inc. (a) |
19,075 | 1,497,388 | ||||||
|
|
|||||||
4,725,994 | ||||||||
|
|
|||||||
Containers & Packaging 0.2% |
|
|||||||
AEP Industries, Inc. (a) |
2,035 | 146,133 | ||||||
Berry Plastics Group, Inc. (a) |
14,395 | 274,225 | ||||||
Graphic Packaging Holding Co. (a) |
72,042 | 539,595 | ||||||
Myers Industries, Inc. |
16,489 | 230,186 | ||||||
UFP Technologies, Inc. (a) |
2,657 | 52,316 | ||||||
|
|
|||||||
1,242,455 | ||||||||
|
|
Common Stocks |
Shares | Value | ||||||
Copper 0.0% |
|
|||||||
Revett Minerals, Inc. (a) |
11,984 | $ | 27,324 | |||||
|
|
|||||||
Cosmetics 0.1% |
||||||||
Elizabeth Arden, Inc. (a)(b) |
12,370 | 497,892 | ||||||
Inter Parfums, Inc. |
8,109 | 198,103 | ||||||
Revlon, Inc., Class A (a) |
5,533 | 123,718 | ||||||
|
|
|||||||
819,713 | ||||||||
|
|
|||||||
Diversified Financial Services 0.7% |
|
|||||||
California First National Bancorp |
1,210 | 20,921 | ||||||
ConnectOne Bancorp, Inc. (a) |
737 | 23,031 | ||||||
DFC Global Corp. (a) |
21,700 | 361,088 | ||||||
Duff & Phelps Corp. |
15,510 | 240,560 | ||||||
Evercore Partners, Inc., Class A |
14,083 | 585,853 | ||||||
FBR & Co. (a) |
4,559 | 86,302 | ||||||
Fidus Investment Corp. |
6,667 | 127,673 | ||||||
First California Financial Group, Inc. (a) |
11,167 | 95,143 | ||||||
Greenhill & Co., Inc. |
14,298 | 763,227 | ||||||
Intersections, Inc. |
4,575 | 43,051 | ||||||
Main Street Capital Corp. |
15,038 | 482,569 | ||||||
MidwestOne Financial Group, Inc. |
3,368 | 80,192 | ||||||
Piper Jaffray Cos. (a) |
7,486 | 256,770 | ||||||
Stifel Financial Corp. (a)(b) |
30,022 | 1,040,863 | ||||||
Triangle Capital Corp. |
13,434 | 376,017 | ||||||
|
|
|||||||
4,583,260 | ||||||||
|
|
|||||||
Diversified Manufacturing Operations 0.5% |
|
|||||||
A.M. Castle & Co. (a) |
8,274 | 144,795 | ||||||
Barnes Group, Inc. |
26,666 | 771,447 | ||||||
Federal Signal Corp. (a) |
30,613 | 249,190 | ||||||
Lydall, Inc. (a) |
8,408 | 129,063 | ||||||
OSI Systems, Inc. (a) |
9,741 | 606,767 | ||||||
Raven Industries, Inc. |
17,775 | 597,418 | ||||||
Standex International Corp. |
6,201 | 342,419 | ||||||
Trimas Corp. (a) |
15,796 | 512,896 | ||||||
|
|
|||||||
3,353,995 | ||||||||
|
|
|||||||
Diversified Materials & Processing 0.9% |
|
|||||||
Belden, Inc. |
22,336 | 1,153,654 | ||||||
Cabot Microelectronics Corp. (a) |
11,545 | 401,189 | ||||||
Clarcor, Inc. |
24,663 | 1,291,848 | ||||||
Encore Wire Corp. |
8,087 | 283,207 | ||||||
Harbinger Group, Inc. (a) |
20,108 | 166,092 | ||||||
Hexcel Corp. (a) |
48,891 | 1,418,328 | ||||||
Insteel Industries, Inc. |
8,716 | 142,245 | ||||||
Koppers Holdings, Inc. |
10,174 | 447,452 | ||||||
NL Industries, Inc. |
3,243 | 40,310 | ||||||
Tredegar Corp. |
11,874 | 349,571 | ||||||
Uranium Energy Corp. (a)(b) |
42,069 | 92,552 | ||||||
|
|
|||||||
5,786,448 | ||||||||
|
|
|||||||
Diversified Media 0.1% |
|
|||||||
Belo Corp., Class A |
46,067 | 452,839 | ||||||
EW Scripps Co. (a) |
14,686 | 176,672 | ||||||
|
|
|||||||
629,511 | ||||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 9 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Diversified Retail 0.4% |
|
|||||||
The Bon-Ton Stores, Inc. |
6,302 | $ | 81,926 | |||||
Freds, Inc., Class A |
17,985 | 246,035 | ||||||
Geeknet, Inc. (a) |
2,109 | 31,150 | ||||||
Gordmans Stores, Inc. (a) |
4,216 | 49,369 | ||||||
HSN, Inc. |
17,524 | 961,367 | ||||||
Overstock.com, Inc. (a) |
5,788 | 71,308 | ||||||
PriceSmart, Inc. |
8,918 | 694,088 | ||||||
Saks, Inc. (a) |
50,979 | 584,729 | ||||||
Tuesday Morning Corp. (a) |
20,565 | 159,584 | ||||||
Winmark Corp. |
1,090 | 68,659 | ||||||
|
|
|||||||
2,948,215 | ||||||||
|
|
|||||||
Drug & Grocery Store Chains 0.7% |
|
|||||||
Arden Group, Inc., Class A |
555 | 56,105 | ||||||
Caseys General Stores, Inc. |
18,694 | 1,089,860 | ||||||
Harris Teeter Supermarkets |
21,606 | 922,792 | ||||||
Ingles Markets, Inc., Class A |
6,071 | 130,405 | ||||||
Nash Finch Co. |
5,927 | 116,051 | ||||||
The Pantry, Inc. (a) |
11,423 | 142,445 | ||||||
PetMed Express, Inc. |
9,977 | 133,841 | ||||||
Rite Aid Corp. (a) |
324,150 | 615,885 | ||||||
Spartan Stores, Inc. |
10,649 | 186,890 | ||||||
SUPERVALU, Inc. (b) |
104,333 | 525,838 | ||||||
Susser Holdings Corp. (a) |
5,499 | 281,054 | ||||||
Village Super Market, Inc., Class A |
4,129 | 139,106 | ||||||
Weis Markets, Inc. |
5,405 | 219,984 | ||||||
|
|
|||||||
4,560,256 | ||||||||
|
|
|||||||
Education Services 0.4% |
|
|||||||
American Public Education, Inc. (a) |
8,837 | 308,323 | ||||||
Bridgepoint Education, Inc. (a) |
8,576 | 87,733 | ||||||
Bright Horizons Family Solutions, Inc. (a) |
5,706 | 192,806 | ||||||
Capella Education Co. (a) |
6,257 | 194,843 | ||||||
Career Education Corp. (a) |
25,626 | 60,734 | ||||||
Corinthian Colleges, Inc. (a) |
38,703 | 81,276 | ||||||
Education Management Corp. (a)(b) |
13,292 | 48,782 | ||||||
Franklin Covey Co. (a) |
6,799 | 98,789 | ||||||
Grand Canyon Education, Inc. (a) |
19,601 | 497,669 | ||||||
HealthStream, Inc. (a) |
9,563 | 219,375 | ||||||
K12, Inc. (a) |
13,108 | 316,034 | ||||||
Lincoln Educational Services Corp. |
11,421 | 66,927 | ||||||
National American University Holdings, Inc. |
4,853 | 18,927 | ||||||
Rosetta Stone, Inc. (a) |
5,250 | 80,745 | ||||||
Strayer Education, Inc. |
5,848 | 282,926 | ||||||
Universal Technical Institute, Inc. |
10,438 | 131,832 | ||||||
|
|
|||||||
2,687,721 | ||||||||
|
|
|||||||
Electronic Components 0.8% |
|
|||||||
3D Systems Corp. (a)(b) |
38,214 | 1,232,019 | ||||||
Acacia Research Corp. (a) |
24,393 | 735,937 | ||||||
Checkpoint Systems, Inc. (a) |
19,732 | 257,700 | ||||||
InvenSense, Inc. (a)(b) |
17,927 | 191,460 | ||||||
Kemet Corp. (a) |
22,029 | 137,681 |
Common Stocks |
Shares | Value | ||||||
Electronic Components (concluded) |
|
|||||||
Methode Electronics, Inc. |
18,326 | $ | 236,039 | |||||
Multi-Fineline Electronix, Inc. (a) |
4,334 | 66,874 | ||||||
Neonode, Inc. (a) |
11,105 | 64,076 | ||||||
NVE Corp. (a) |
2,345 | 132,305 | ||||||
Park Electrochemical Corp. |
10,199 | 258,443 | ||||||
Rogers Corp. (a) |
7,976 | 379,817 | ||||||
Sanmina Corp. (a) |
40,008 | 454,491 | ||||||
ScanSource, Inc. (a) |
13,497 | 380,885 | ||||||
TTM Technologies, Inc. (a) |
26,033 | 197,851 | ||||||
Universal Display Corp. (a) |
19,521 | 573,722 | ||||||
Viasystems Group, Inc. (a) |
1,843 | 24,033 | ||||||
|
|
|||||||
5,323,333 | ||||||||
|
|
|||||||
Electronic Entertainment 0.1% |
|
|||||||
DTS, Inc. (a)(b) |
8,968 | 149,138 | ||||||
Glu Mobile, Inc. (a)(b) |
27,107 | 80,779 | ||||||
Take-Two Interactive Software, Inc. (a) |
38,437 | 620,757 | ||||||
|
|
|||||||
850,674 | ||||||||
|
|
|||||||
Electronics 0.4% |
|
|||||||
Agilysys, Inc. (a) |
7,203 | 71,598 | ||||||
American Science & Engineering, Inc. |
4,126 | 251,645 | ||||||
Coherent, Inc. |
11,597 | 658,014 | ||||||
Daktronics, Inc. |
17,814 | 187,047 | ||||||
II-VI, Inc. (a) |
25,763 | 439,001 | ||||||
iRobot Corp. (a) |
13,493 | 346,230 | ||||||
Newport Corp. (a) |
18,727 | 316,861 | ||||||
Richardson Electronics Ltd. |
6,170 | 73,176 | ||||||
Rofin-Sinar Technologies, Inc. (a)(b) |
14,001 | 379,287 | ||||||
|
|
|||||||
2,722,859 | ||||||||
|
|
|||||||
Energy Equipment 0.3% |
|
|||||||
C&J Energy Services, Inc. (a) |
21,882 | 501,098 | ||||||
Capstone Turbine Corp. (a) |
133,145 | 119,830 | ||||||
Enphase Energy, Inc. (a) |
4,078 | 25,284 | ||||||
First Solar, Inc. (a) |
29,606 | 798,178 | ||||||
FuelCell Energy, Inc. (a) |
73,023 | 68,919 | ||||||
Matador Resources Co. (a)(b) |
6,775 | 60,027 | ||||||
Solarcity Corp. (a) |
6,441 | 121,606 | ||||||
STR Holdings, Inc. (a) |
14,830 | 32,181 | ||||||
SunPower Corp. (a) |
19,612 | 226,322 | ||||||
|
|
|||||||
1,953,445 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.1% |
|
|||||||
Geospace Technologies Corp. (a) |
6,259 | 675,472 | ||||||
Pioneer Energy Services Corp. (a) |
30,541 | 251,963 | ||||||
|
|
|||||||
927,435 | ||||||||
|
|
|||||||
Engineering & Contracting Services 0.5% |
|
|||||||
Argan, Inc. |
4,960 | 73,954 | ||||||
Dycom Industries, Inc. (a) |
16,607 | 326,992 | ||||||
Exponent, Inc. |
6,558 | 353,738 | ||||||
Furmamite Corp. (a) |
18,498 | 123,752 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 10 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Engineering & Contracting Services (concluded) |
|
|||||||
Hill International, Inc. (a) |
10,944 | $ | 32,722 | |||||
Layne Christensen Co. (a)(b) |
9,741 | 208,263 | ||||||
Mastec, Inc. (a) |
26,980 | 786,467 | ||||||
Michael Baker Corp. |
4,267 | 104,541 | ||||||
Mistras Group, Inc. (a) |
7,751 | 187,652 | ||||||
MYR Group, Inc. (a) |
10,181 | 250,045 | ||||||
Tetra Tech, Inc. (a)(b) |
31,136 | 949,337 | ||||||
VSE Corp. |
1,929 | 48,206 | ||||||
|
|
|||||||
3,445,669 | ||||||||
|
|
|||||||
Entertainment 0.5% |
|
|||||||
Ascent Capital Group, Inc., Class A (a) |
6,931 | 515,944 | ||||||
Carmike Cinemas, Inc. (a) |
8,680 | 157,282 | ||||||
Lions Gate Entertainment Corp. (a) |
39,112 | 929,692 | ||||||
Live Nation Entertainment, Inc. (a) |
68,623 | 848,866 | ||||||
Reading International, Inc., Class A (a) |
7,742 | 43,355 | ||||||
Rentrak Corp. (a) |
4,536 | 99,701 | ||||||
SHFL Entertainment, Inc. (a)(b) |
26,984 | 447,125 | ||||||
World Wrestling Entertainment, Inc. |
13,012 | 114,766 | ||||||
|
|
|||||||
3,156,731 | ||||||||
|
|
|||||||
Environmental, Maintenance, & Security Service 0.7% |
|
|||||||
ABM Industries, Inc. |
26,391 | 586,936 | ||||||
The Brinks Co. |
23,204 | 655,745 | ||||||
G&K Services, Inc., Class A |
9,251 | 421,013 | ||||||
The Geo Group, Inc. |
34,934 | 1,314,217 | ||||||
Healthcare Services Group, Inc. |
32,964 | 844,867 | ||||||
Mac-Gray Corp. |
5,788 | 74,086 | ||||||
Standard Parking Corp. (a) |
7,642 | 158,190 | ||||||
Swisher Hygiene, Inc. (a) |
55,814 | 72,000 | ||||||
Unifirst Corp. |
7,099 | 642,460 | ||||||
|
|
|||||||
4,769,514 | ||||||||
|
|
|||||||
Fertilizers 0.0% |
|
|||||||
Rentech, Inc. |
60,976 | 143,294 | ||||||
|
|
|||||||
Financial Data & Systems 0.6% |
|
|||||||
Advent Software, Inc. (a) |
15,487 | 433,171 | ||||||
Cardtronics, Inc. (a) |
21,636 | 594,125 | ||||||
Cass Information Systems, Inc. |
5,001 | 210,242 | ||||||
Euronet Worldwide, Inc. (a) |
24,871 | 655,102 | ||||||
Fair Isaac Corp. |
16,815 | 768,277 | ||||||
Global Cash Access, Inc. (a) |
14,592 | 102,874 | ||||||
Green Dot Corp., Class A (a) |
11,954 | 199,751 | ||||||
Heartland Payment Systems, Inc. |
19,047 | 627,980 | ||||||
Higher One Holdings, Inc. (a) |
13,509 | 120,095 | ||||||
Xoom Corp. (a) |
3,497 | 79,871 | ||||||
|
|
|||||||
3,791,488 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.0% |
|
|||||||
Natural Grocers by Vitamin Cottage, Inc. (a) |
3,524 | 79,466 | ||||||
|
|
Common Stocks |
Shares | Value | ||||||
Foods 1.3% |
|
|||||||
Annies, Inc. (a) |
2,477 | $ | 94,770 | |||||
B&G Foods, Inc., Class A |
25,852 | 788,227 | ||||||
Boulder Brands, Inc. (a) |
29,015 | 260,555 | ||||||
The Chefs Warehouse, Inc. (a) |
5,389 | 99,535 | ||||||
Chiquita Brands International, Inc. (a) |
22,526 | 174,802 | ||||||
Diamond Foods, Inc. (a)(b) |
10,856 | 183,032 | ||||||
Dole Food Co., Inc. (a)(b) |
17,580 | 191,622 | ||||||
The Hain Celestial Group, Inc. (a) |
18,106 | 1,105,914 | ||||||
Inventure Foods, Inc. (a) |
6,447 | 50,158 | ||||||
J&J Snack Foods Corp. |
7,261 | 558,298 | ||||||
John B. Sanfilippo & Son, Inc. |
3,910 | 78,122 | ||||||
Lancaster Colony Corp. |
9,062 | 697,774 | ||||||
Lifeway Foods, Inc. |
2,217 | 30,816 | ||||||
Medifast, Inc. (a) |
6,111 | 140,064 | ||||||
Natures Sunshine Prods, Inc. |
5,531 | 84,292 | ||||||
Nutraceutical International Corp. |
4,197 | 72,818 | ||||||
Omega Protein Corp. (a) |
9,662 | 103,867 | ||||||
Post Holdings, Inc. (a) |
12,861 | 552,123 | ||||||
Roundys, Inc. |
9,903 | 65,063 | ||||||
Seneca Foods Corp. (a) |
4,053 | 133,830 | ||||||
Snyders-Lance, Inc. |
21,658 | 547,081 | ||||||
Synutra International, Inc. (a) |
8,420 | 39,574 | ||||||
Tootsie Roll Industries, Inc. |
12,086 | 361,493 | ||||||
TreeHouse Foods, Inc. (a) |
17,643 | 1,149,441 | ||||||
United Natural Foods, Inc. (a) |
23,969 | 1,179,275 | ||||||
|
|
|||||||
8,742,546 | ||||||||
|
|
|||||||
Forest Products 0.1% |
|
|||||||
Boise Cascade Co. (a) |
6,566 | 222,850 | ||||||
Deltic Timber Corp. |
5,327 | 366,071 | ||||||
Universal Forest Products, Inc. |
9,666 | 384,804 | ||||||
|
|
|||||||
973,725 | ||||||||
|
|
|||||||
Forms & Bulk Printing Services 0.3% |
|
|||||||
Consolidated Graphics, Inc. (a) |
3,664 | 143,262 | ||||||
Deluxe Corp. |
25,046 | 1,036,904 | ||||||
Ennis, Inc. |
12,720 | 191,690 | ||||||
Innerworkings, Inc. (a) |
15,577 | 235,836 | ||||||
Multi-Color Corp. |
6,543 | 168,744 | ||||||
Quad/Graphics, Inc. |
12,322 | 294,989 | ||||||
Schawk, Inc. |
5,828 | 64,050 | ||||||
|
|
|||||||
2,135,475 | ||||||||
|
|
|||||||
Funeral Parlors & Cemeteries 0.2% |
|
|||||||
Carriage Services, Inc. |
7,815 | 166,069 | ||||||
Hillenbrand, Inc. |
27,076 | 684,481 | ||||||
Matthews International Corp., Class A |
13,782 | 480,854 | ||||||
Stewart Enterprises, Inc., Class A |
36,789 | 341,770 | ||||||
|
|
|||||||
1,673,174 | ||||||||
|
|
|||||||
Gas Pipeline 0.2% |
|
|||||||
Crosstex Energy, Inc. |
20,348 | 391,902 | ||||||
SemGroup Corp. (a) |
20,736 | 1,072,466 | ||||||
|
|
|||||||
1,464,368 | ||||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 11 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Glass 0.1% |
|
|||||||
Apogee Enterprises, Inc. |
13,969 | $ | 404,403 | |||||
|
|
|||||||
Gold 0.2% |
||||||||
Coeur dAlene Mines Corp. (a) |
44,119 | 832,084 | ||||||
Gold Resource Corp. |
14,570 | 189,847 | ||||||
Golden Star Resources Ltd. (a)(b) |
126,992 | 203,187 | ||||||
Midway Gold Corp. (a) |
62,939 | 76,786 | ||||||
Vista Gold Corp. (a) |
29,944 | 64,679 | ||||||
|
|
|||||||
1,366,583 | ||||||||
|
|
|||||||
Health Care Facilities 0.7% |
|
|||||||
Amsurg Corp. (a) |
15,474 | 520,545 | ||||||
Assisted Living Concepts, Inc. |
9,666 | 114,929 | ||||||
Capital Senior Living Corp. (a) |
13,843 | 365,870 | ||||||
Emeritus Corp. (a) |
15,060 | 418,517 | ||||||
The Ensign Group, Inc. |
8,518 | 284,501 | ||||||
Five Star Quality Care, Inc. (a) |
21,011 | 140,564 | ||||||
Hanger Orthopedic Group, Inc. (a) |
16,728 | 527,434 | ||||||
HealthSouth Corp. (a) |
46,902 | 1,236,806 | ||||||
Kindred Healthcare, Inc. (a) |
25,909 | 272,822 | ||||||
National Healthcare Corp. |
5,144 | 235,184 | ||||||
Select Medical Holdings Corp. |
17,075 | 153,675 | ||||||
Skilled Healthcare Group, Inc., Class A (a) |
9,429 | 61,949 | ||||||
US Physical Therapy, Inc. |
5,770 | 154,924 | ||||||
Vanguard Health Systems, Inc. (a) |
15,544 | 231,139 | ||||||
|
|
|||||||
4,718,859 | ||||||||
|
|
|||||||
Health Care Management Services 0.7% |
|
|||||||
Bioscript, Inc. (a) |
21,565 | 274,091 | ||||||
Centene Corp. (a)(b) |
25,299 | 1,114,168 | ||||||
Computer Programs & Systems, Inc. |
5,460 | 295,441 | ||||||
Magellan Health Services, Inc. (a)(b) |
13,366 | 635,821 | ||||||
Molina Healthcare, Inc. (a) |
14,735 | 454,869 | ||||||
National Research Corp. |
1,232 | 71,505 | ||||||
Triple-S Management Corp. (a) |
9,424 | 164,166 | ||||||
Universal American Corp. |
18,384 | 153,139 | ||||||
WellCare Health Plans, Inc. (a) |
21,173 | 1,227,187 | ||||||
|
|
|||||||
4,390,387 | ||||||||
|
|
|||||||
Health Care Services 1.7% |
|
|||||||
Acadia Healthcare Co., Inc. (a)(b) |
13,231 | 388,859 | ||||||
Accretive Health, Inc. (a) |
27,726 | 281,696 | ||||||
Air Methods Corp. |
18,886 | 911,061 | ||||||
Almost Family, Inc. |
4,054 | 82,823 | ||||||
Amedisys, Inc. (a) |
14,725 | 163,742 | ||||||
AMN Healthcare Services, Inc. (a) |
21,835 | 345,648 | ||||||
athenahealth, Inc. (a) |
17,592 | 1,707,128 | ||||||
Chemed Corp. |
9,441 | 755,091 | ||||||
Chindex International, Inc. (a) |
5,663 | 77,810 | ||||||
Corvel Corp. (a) |
3,077 | 152,281 | ||||||
Cross Country Healthcare, Inc. (a) |
13,367 | 70,979 | ||||||
ExamWorks Group, Inc. (a)(b) |
14,320 | 248,022 | ||||||
Gentiva Health Services, Inc. (a) |
14,871 | 160,904 |
Common Stocks |
Shares | Value | ||||||
Health Care Services (concluded) |
|
|||||||
Globus Medical, Inc., Class A (a) |
4,746 | $ | 69,671 | |||||
Greenway Medical Technologies (a) |
3,911 | 62,185 | ||||||
Healthways, Inc. (a) |
16,379 | 200,643 | ||||||
HMS Holdings Corp. (a)(b) |
42,174 | 1,145,024 | ||||||
IPC The Hospitalist Co., Inc. (a)(b) |
8,120 | 361,178 | ||||||
LHC Group, Inc. (a) |
7,227 | 155,308 | ||||||
Medidata Solutions, Inc. (a)(b) |
11,450 | 663,871 | ||||||
MWI Veterinary Supply, Inc. (a) |
6,233 | 824,376 | ||||||
Omnicell, Inc. (a) |
16,369 | 309,047 | ||||||
PharMerica Corp. (a) |
14,429 | 202,006 | ||||||
Quality Systems, Inc. |
19,489 | 356,259 | ||||||
Ryman Hospitality Properties |
16,116 | 737,307 | ||||||
Team Health Holdings, Inc. (a) |
13,930 | 506,773 | ||||||
WebMD Health Corp. (a) |
24,872 | 604,887 | ||||||
|
|
|||||||
11,544,579 | ||||||||
|
|
|||||||
Health Care: Miscellaneous 0.1% |
|
|||||||
MedAssets, Inc. (a) |
28,586 | 550,281 | ||||||
The Providence Service Corp. (a) |
6,382 | 118,003 | ||||||
|
|
|||||||
668,284 | ||||||||
|
|
|||||||
Home Building 0.7% |
|
|||||||
Beazer Homes USA, Inc. (a) |
12,171 | 192,789 | ||||||
Hovnanian Enterprises, Inc., Class A (a) |
49,147 | 283,578 | ||||||
KB Home |
37,142 | 808,581 | ||||||
M/I Homes, Inc. (a) |
11,893 | 290,784 | ||||||
MDC Holdings, Inc. |
18,892 | 692,392 | ||||||
Meritage Homes Corp. (a)(b) |
15,073 | 706,321 | ||||||
Ryland Group, Inc. |
21,459 | 893,124 | ||||||
Standard-Pacific Corp. (a) |
57,149 | 493,767 | ||||||
TRI Pointe Homes, Inc. (a) |
7,717 | 155,497 | ||||||
|
|
|||||||
4,516,833 | ||||||||
|
|
|||||||
Hotel/Motel 0.1% |
|
|||||||
Bloomin Brands, Inc. (a) |
9,003 | 160,884 | ||||||
Marcus Corp. |
8,991 | 112,298 | ||||||
Morgans Hotel Group Co. (a) |
10,833 | 64,131 | ||||||
Orient Express Hotels Ltd., Class A (a) |
47,493 | 468,281 | ||||||
Red Lion Hotels Corp. (a) |
6,784 | 48,234 | ||||||
|
|
|||||||
853,828 | ||||||||
|
|
|||||||
Household Appliances 0.0% |
|
|||||||
National Presto Industries, Inc. |
2,343 | 188,611 | ||||||
|
|
|||||||
Household Equipment & Products 0.2% |
|
|||||||
American Greetings Corp., Class A |
15,513 | 249,759 | ||||||
Blyth, Inc. (b) |
5,206 | 90,376 | ||||||
Central Garden & Pet Co., Class A (a) |
19,018 | 156,328 | ||||||
CSS Industries, Inc. |
4,730 | 122,838 | ||||||
Helen of Troy Ltd. (a) |
15,519 | 595,309 | ||||||
Libbey, Inc. (a) |
10,042 | 194,112 | ||||||
|
|
|||||||
1,408,722 | ||||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 12 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Household Furnishings 0.3% |
|
|||||||
American Woodmark Corp. (a) |
4,826 | $ | 164,229 | |||||
Bassett Furniture Industries, Inc. |
5,608 | 89,504 | ||||||
Ethan Allen Interiors, Inc. |
11,914 | 392,209 | ||||||
Flexsteel Industries, Inc. |
2,201 | 54,453 | ||||||
Hooker Furniture Corp. |
5,334 | 85,024 | ||||||
Kirklands, Inc. (a) |
6,685 | 76,610 | ||||||
La-Z-Boy, Inc. |
25,442 | 480,090 | ||||||
Lifetime Brands, Inc. |
4,700 | 53,627 | ||||||
Select Comfort Corp. (a) |
27,887 | 551,326 | ||||||
|
|
|||||||
1,947,072 | ||||||||
|
|
|||||||
Insurance: Life 0.5% |
|
|||||||
American Equity Investment Life Holding Co. |
30,973 | 461,188 | ||||||
Citizens, Inc. (a)(b) |
19,176 | 160,887 | ||||||
CNO Financial Group, Inc. |
98,839 | 1,131,707 | ||||||
FBL Financial Group, Inc., Class A |
4,776 | 185,595 | ||||||
Health Insurance Innovations, Inc. (a) |
2,025 | 30,557 | ||||||
Independence Holding Co. |
3,888 | 39,580 | ||||||
Kansas City Life Insurance Co. |
2,011 | 78,690 | ||||||
National Western Life Insurance Co., Class A |
1,049 | 184,624 | ||||||
The Phoenix Cos., Inc. (a) |
2,865 | 88,156 | ||||||
Primerica, Inc. |
21,792 | 714,342 | ||||||
Symetra Financial Corp. |
38,085 | 510,720 | ||||||
|
|
|||||||
3,586,046 | ||||||||
|
|
|||||||
Insurance: Multi-Line 0.5% |
|
|||||||
Alterra Capital Holdings Ltd. |
42,176 | 1,328,544 | ||||||
Crawford & Co., Class B |
13,155 | 99,846 | ||||||
Eastern Insurance Holdings, Inc. |
3,348 | 62,808 | ||||||
eHealth, Inc. (a) |
10,334 | 184,772 | ||||||
Fortegra Financial Corp. (a) |
3,517 | 30,809 | ||||||
Horace Mann Educators Corp. |
19,601 | 408,681 | ||||||
Maiden Holdings Ltd. |
24,889 | 263,575 | ||||||
Pico Holdings, Inc. (a)(b) |
11,209 | 248,840 | ||||||
Platinum Underwriters Holdings Ltd. |
16,204 | 904,345 | ||||||
|
|
|||||||
3,532,220 | ||||||||
|
|
|||||||
Insurance: Property-Casualty 1.5% |
|
|||||||
American Safety Insurance Holdings Ltd. (a) |
4,495 | 112,195 | ||||||
Amerisafe, Inc. |
8,982 | 319,220 | ||||||
AmTrust Financial Services, Inc. |
13,274 | 459,944 | ||||||
Argo Group International Holdings Ltd. |
12,720 | 526,354 | ||||||
Baldwin & Lyons, Inc., Class B |
4,594 | 109,291 | ||||||
Donegal Group, Inc., Class A |
3,999 | 61,065 | ||||||
EMC Insurance Group, Inc. |
2,341 | 61,638 | ||||||
Employers Holdings, Inc. |
10,430 | 244,583 | ||||||
Enstar Group Ltd. (a) |
4,138 | 514,312 | ||||||
First American Financial Corp. |
52,335 | 1,338,206 | ||||||
Global Indemnity Plc (a) |
5,088 | 118,042 | ||||||
Greenlight Capital Re Ltd. (a) |
13,844 | 338,486 |
Common Stocks |
Shares | Value | ||||||
Insurance: Property-Casualty (concluded) |
|
|||||||
Hallmark Financial Services, Inc. (a) |
7,083 | $ | 63,747 | |||||
Hilltop Holdings, Inc. (a) |
19,724 | 266,077 | ||||||
Homeowners Choice, Inc. |
4,155 | 113,224 | ||||||
Infinity Property & Casualty Corp. |
5,841 | 328,264 | ||||||
Investors Title Co. |
626 | 43,238 | ||||||
Meadowbrook Insurance Group, Inc. |
24,958 | 175,954 | ||||||
Montpelier Re Holdings Ltd. |
23,496 | 612,071 | ||||||
National Interstate Corp. |
3,166 | 94,917 | ||||||
Navigators Group, Inc. (a) |
4,944 | 290,460 | ||||||
OneBeacon Insurance Group Ltd. |
11,403 | 154,169 | ||||||
Radian Group, Inc. |
85,013 | 910,489 | ||||||
RLI Corp. |
10,506 | 754,856 | ||||||
Safety Insurance Group, Inc. |
6,325 | 310,874 | ||||||
Selective Insurance Group, Inc. |
27,079 | 650,167 | ||||||
State Auto Financial Corp. |
7,387 | 128,681 | ||||||
Stewart Information Services Corp. |
9,818 | 250,064 | ||||||
Tower Group International, Ltd. (b) |
19,473 | 359,282 | ||||||
United Fire Group, Inc. |
9,955 | 253,554 | ||||||
Universal Insurance Holdings, Inc. |
9,867 | 47,855 | ||||||
|
|
|||||||
10,011,279 | ||||||||
|
|
|||||||
International Trade & Diversified Logistic 0.0% |
|
|||||||
Global Sources Ltd. (a) |
9,263 | 70,028 | ||||||
|
|
|||||||
Internet & Catalog Retail 0.0% |
|
|||||||
Kayak Software Corp. (a) |
1,676 | 66,973 | ||||||
Vitacost.com, Inc. (a) |
10,781 | 77,947 | ||||||
|
|
|||||||
144,920 | ||||||||
|
|
|||||||
Internet Software & Services 0.0% |
|
|||||||
E2open, Inc. (a) |
2,323 | 46,321 | ||||||
|
|
|||||||
Leisure Time 1.2% |
|
|||||||
Black Diamond, Inc. (a) |
10,194 | 92,867 | ||||||
Bluegreen Corp. (a) |
7,189 | 70,740 | ||||||
Callaway Golf Co. |
31,986 | 211,747 | ||||||
Churchill Downs, Inc. |
6,356 | 445,174 | ||||||
International Speedway Corp., Class A |
13,584 | 443,925 | ||||||
Interval Leisure Group, Inc. |
19,004 | 413,147 | ||||||
Johnson Outdoors, Inc. (a) |
2,748 | 65,512 | ||||||
Life Time Fitness, Inc. (a) |
21,057 | 900,818 | ||||||
Marriott Vacations Worldwide Corp. (a) |
13,057 | 560,276 | ||||||
Orbitz Worldwide, Inc. (a) |
11,315 | 64,609 | ||||||
Pool Corp. |
23,288 | 1,117,824 | ||||||
Premier Exhibitions, Inc. (a) |
12,453 | 33,125 | ||||||
Six Flags Entertainment Corp. |
18,236 | 1,321,745 | ||||||
Smith & Wesson Holding Corp. (a) |
31,939 | 287,451 | ||||||
Speedway Motorsports, Inc. |
5,634 | 101,356 | ||||||
Steinway Musical Instruments, Inc. (a) |
3,331 | 80,011 | ||||||
Sturm Ruger & Co., Inc. |
9,438 | 478,790 | ||||||
Town Sports International Holdings, Inc. |
11,349 | 107,362 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 13 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Leisure Time (concluded) |
|
|||||||
Vail Resorts, Inc. |
17,677 | $ | 1,101,631 | |||||
West Marine, Inc. (a) |
7,350 | 84,010 | ||||||
|
|
|||||||
7,982,120 | ||||||||
|
|
|||||||
Luxury Items 0.0% |
|
|||||||
Movado Group, Inc. |
8,667 | 290,518 | ||||||
|
|
|||||||
Machinery: Agricultural 0.2% |
|
|||||||
Alamo Group, Inc. |
3,422 | 130,892 | ||||||
Lindsay Manufacturing Co. |
6,252 | 551,301 | ||||||
Titan International, Inc. |
26,288 | 554,151 | ||||||
Titan Machinery, Inc. (a) |
8,321 | 230,908 | ||||||
|
|
|||||||
1,467,252 | ||||||||
|
|
|||||||
Machinery: Construction & Handling 0.1% |
|
|||||||
Astec Industries, Inc. |
9,860 | 344,410 | ||||||
Douglas Dynamics, Inc. |
10,980 | 151,744 | ||||||
NACCO Industries, Inc., Class A |
2,715 | 144,872 | ||||||
|
|
|||||||
641,026 | ||||||||
|
|
|||||||
Machinery: Engines 0.1% |
|
|||||||
Briggs & Stratton Corp. |
23,942 | 593,762 | ||||||
|
|
|||||||
Machinery: Industrial 1.5% |
|
|||||||
Actuant Corp., Class A |
35,762 | 1,095,032 | ||||||
Altra Holdings, Inc. |
13,220 | 359,848 | ||||||
Applied Industrial Technologies, Inc. |
20,718 | 932,310 | ||||||
Chart Industries, Inc. (a) |
14,680 | 1,174,547 | ||||||
Columbus McKinnon Corp. (a) |
9,526 | 183,376 | ||||||
DXP Enterprises, Inc. (a) |
4,311 | 322,032 | ||||||
EnPro Industries, Inc. (a) |
10,072 | 515,384 | ||||||
The ExOne Co. (a) |
2,963 | 99,261 | ||||||
Flow International Corp. (a) |
23,501 | 91,889 | ||||||
Graham Corp. |
4,929 | 121,943 | ||||||
Hardinge, Inc. |
5,751 | 78,386 | ||||||
Hyster-Yale Materials Handling, Inc. |
5,397 | 308,115 | ||||||
John Bean Technologies Corp. |
14,226 | 295,190 | ||||||
Kadant, Inc. (a) |
5,731 | 143,275 | ||||||
Middleby Corp. (a) |
9,182 | 1,397,041 | ||||||
MTS Systems Corp. |
7,881 | 458,280 | ||||||
Omega Flex, Inc. |
1,265 | 21,745 | ||||||
Proto Labs, Inc. (a) |
2,586 | 126,973 | ||||||
Sauer-Danfoss, Inc. |
5,743 | 335,564 | ||||||
Tennant Co. |
9,283 | 450,782 | ||||||
Twin Disc, Inc. |
4,204 | 105,436 | ||||||
Woodward, Inc. |
33,933 | 1,349,176 | ||||||
|
|
|||||||
9,965,585 | ||||||||
|
|
|||||||
Machinery: Specialty 0.1% |
|
|||||||
Albany International Corp., Class A |
13,548 | 391,537 | ||||||
Cascade Corp. |
4,232 | 274,996 | ||||||
Hurco Cos., Inc. (a) |
3,171 | 86,346 | ||||||
|
|
|||||||
752,879 | ||||||||
|
|
Common Stocks |
Shares | Value | ||||||
Manufactured Housing 0.0% |
|
|||||||
Cavco Industries, Inc. (a) |
3,401 | $ | 161,786 | |||||
|
|
|||||||
Medical & Dental Instruments & Supplies 2.3% |
|
|||||||
Abiomed, Inc. (a) |
16,452 | 307,159 | ||||||
Align Technology, Inc. (a) |
35,279 | 1,182,199 | ||||||
Alphatec Holdings, Inc. (a) |
26,737 | 56,415 | ||||||
AngioDynamics, Inc. (a) |
11,872 | 135,697 | ||||||
Anika Therapeutics, Inc. (a) |
5,735 | 83,272 | ||||||
Antares Pharma, Inc. (a) |
52,949 | 189,557 | ||||||
AtriCure, Inc. (a) |
8,875 | 70,290 | ||||||
Atrion Corp. |
764 | 146,680 | ||||||
Cantel Medical Corp. |
10,407 | 312,835 | ||||||
Cardiovascular Systems, Inc. (a) |
8,963 | 183,562 | ||||||
Cerus Corp. (a) |
31,336 | 138,505 | ||||||
Conceptus, Inc. (a) |
15,393 | 371,741 | ||||||
CONMED Corp. |
13,843 | 471,493 | ||||||
CryoLife, Inc. |
13,586 | 81,652 | ||||||
Derma Sciences, Inc. (a) |
5,707 | 68,941 | ||||||
Endologix, Inc. (a)(b) |
27,156 | 438,569 | ||||||
Exactech, Inc. (a) |
4,174 | 86,360 | ||||||
Hansen Medical, Inc. (a)(b) |
27,449 | 55,173 | ||||||
Heartware International, Inc. (a) |
7,970 | 704,787 | ||||||
ICU Medical, Inc. (a) |
6,127 | 361,187 | ||||||
Insulet Corp. (a)(b) |
25,615 | 662,404 | ||||||
Integra LifeSciences Holdings Corp. (a) |
9,539 | 372,116 | ||||||
Invacare Corp. |
15,555 | 202,993 | ||||||
Landauer, Inc. |
4,626 | 260,814 | ||||||
MAKO Surgical Corp. (a) |
19,335 | 215,585 | ||||||
Meridian Bioscience, Inc. |
20,261 | 462,356 | ||||||
Merit Medical Systems, Inc. (a)(b) |
20,664 | 253,341 | ||||||
Navidea Biopharmaceuticals, Inc. (a)(b) |
52,825 | 143,156 | ||||||
Neogen Corp. (a)(b) |
11,533 | 571,691 | ||||||
NuVasive, Inc. (a) |
21,188 | 451,516 | ||||||
OraSure Technologies, Inc. (a)(b) |
26,747 | 144,434 | ||||||
Orthofix International NV (a) |
9,167 | 328,820 | ||||||
Owens & Minor, Inc. |
31,177 | 1,015,123 | ||||||
Quidel Corp. (a) |
13,834 | 328,558 | ||||||
Rochester Medical Corp. (a) |
5,208 | 76,141 | ||||||
Rockwell Medical Technologies, Inc. (a) |
12,543 | 49,670 | ||||||
Staar Surgical Co. (a)(b) |
18,045 | 101,593 | ||||||
Steris Corp. |
28,391 | 1,181,350 | ||||||
SurModics, Inc. (a) |
6,273 | 170,939 | ||||||
Symmetry Medical, Inc. (a) |
18,047 | 206,638 | ||||||
Tornier NV (a)(b) |
7,776 | 146,578 | ||||||
Unilife Corp. (a) |
44,337 | 96,655 | ||||||
Utah Medical Products, Inc. |
1,573 | 76,715 | ||||||
Vascular Solutions, Inc. (a) |
7,983 | 129,484 | ||||||
Volcano Corp. (a) |
26,151 | 582,121 | ||||||
West Pharmaceutical Services, Inc. |
16,622 | 1,079,433 | ||||||
Wright Medical Group, Inc. (a) |
21,519 | 512,367 | ||||||
|
|
|||||||
15,268,665 | ||||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 14 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Medical Equipment 1.0% |
|
|||||||
Abaxis, Inc. |
10,649 | $ | 503,911 | |||||
Accuray, Inc. (a) |
35,043 | 162,599 | ||||||
Affymetrix, Inc. (a) |
34,654 | 163,567 | ||||||
Analogic Corp. |
6,012 | 475,068 | ||||||
ArthroCare Corp. (a) |
13,562 | 471,415 | ||||||
Cyberonics, Inc. (a) |
13,525 | 633,105 | ||||||
Cynosure, Inc., Class A (a) |
6,047 | 158,250 | ||||||
DexCom, Inc. (a)(b) |
33,672 | 562,996 | ||||||
EnteroMedics, Inc. (a) |
17,618 | 17,618 | ||||||
Fluidigm Corp. (a) |
11,894 | 220,158 | ||||||
Greatbatch, Inc. (a) |
11,573 | 345,685 | ||||||
Haemonetics Corp. (a) |
24,855 | 1,035,459 | ||||||
LipoScience, Inc. (a) |
2,754 | 28,944 | ||||||
Luminex Corp. (a) |
20,425 | 337,421 | ||||||
Masimo Corp. |
24,496 | 480,611 | ||||||
Merge Healthcare, Inc. (a) |
29,158 | 84,267 | ||||||
Natus Medical, Inc. (a) |
14,499 | 194,867 | ||||||
NxStage Medical, Inc. (a) |
25,440 | 286,963 | ||||||
Palomar Medical Technologies, Inc. (a) |
9,595 | 129,437 | ||||||
Solta Medical, Inc. (a) |
33,868 | 74,510 | ||||||
Spectranetic Corp. (a) |
16,864 | 312,490 | ||||||
Zeltiq Aesthetics, Inc. (a) |
8,363 | 31,947 | ||||||
|
|
|||||||
6,711,288 | ||||||||
|
|
|||||||
Medical Services 0.2% |
|
|||||||
Bio-Reference Labs, Inc. (a)(b) |
12,073 | 313,657 | ||||||
Parexel International Corp. (a)(b) |
29,387 | 1,161,080 | ||||||
|
|
|||||||
1,474,737 | ||||||||
|
|
|||||||
Metal Fabricating 0.7% |
|
|||||||
Ampco-Pittsburgh Corp. |
4,213 | 79,668 | ||||||
Compx International, Inc. |
465 | 5,892 | ||||||
Dynamic Materials Corp. |
6,598 | 114,805 | ||||||
The Eastern Co. |
3,030 | 53,146 | ||||||
Haynes International, Inc. |
6,023 | 333,072 | ||||||
Kaydon Corp. |
15,771 | 403,422 | ||||||
L.B. Foster Co., Class A |
4,465 | 197,755 | ||||||
Metals USA Holdings Corp. |
5,706 | 117,829 | ||||||
Mueller Industries, Inc. |
9,714 | 517,659 | ||||||
Mueller Water Products, Inc., Series A |
77,179 | 457,672 | ||||||
NN, Inc. (a) |
8,405 | 79,511 | ||||||
Northwest Pipe Co. (a) |
4,575 | 128,009 | ||||||
RBC Bearings, Inc. (a) |
10,865 | 549,334 | ||||||
Rexnord Corp. (a) |
14,127 | 299,916 | ||||||
RTI International Metals, Inc. (a) |
14,884 | 471,674 | ||||||
Worthington Industries, Inc. |
25,681 | 795,597 | ||||||
|
|
|||||||
4,604,961 | ||||||||
|
|
|||||||
Metals & Minerals: Diversified 0.6% |
|
|||||||
AMCOL International Corp. |
12,364 | 373,269 | ||||||
General Moly, Inc. (a) |
33,193 | 73,357 | ||||||
Globe Specialty Metals, Inc. |
30,153 | 419,730 | ||||||
Hecla Mining Co. |
140,119 | 553,470 | ||||||
Materion Corp. |
10,014 | 285,399 |
Common Stocks |
Shares | Value | ||||||
Metals & Minerals: Diversified (concluded) |
|
|||||||
McEwen Mining, Inc. (a) |
106,520 | $ | 304,647 | |||||
Minerals Technologies, Inc. |
17,398 | 722,191 | ||||||
Oil-Dri Corp. of America |
2,454 | 66,822 | ||||||
Paramount Gold and Silver Corp. (a) |
64,324 | 143,443 | ||||||
SunCoke Energy, Inc. (a) |
34,344 | 560,838 | ||||||
United States Lime & Minerals, Inc. (a) |
818 | 43,509 | ||||||
Uranerz Energy Corp. (a)(b) |
33,191 | 42,153 | ||||||
US Antimony Corp. (a) |
27,128 | 46,931 | ||||||
US Silica Holdings, Inc. |
5,840 | 137,707 | ||||||
|
|
|||||||
3,773,466 | ||||||||
|
|
|||||||
Miscellaneous Consumer Staples 0.1% |
|
|||||||
Spectrum Brands Holdings, Inc. |
11,280 | 638,335 | ||||||
|
|
|||||||
Office Supplies & Equipment 0.7% |
|
|||||||
ACCO Brands Corp. (a) |
55,537 | 370,987 | ||||||
AT Cross Co., Class A (a) |
4,686 | 64,526 | ||||||
Electronics for Imaging, Inc. (a) |
22,783 | 577,777 | ||||||
Herman Miller, Inc. |
28,583 | 790,892 | ||||||
HNI Corp. |
22,382 | 794,337 | ||||||
Kimball International, Inc., Class B |
16,002 | 144,978 | ||||||
Knoll, Inc. |
23,559 | 427,125 | ||||||
Steelcase, Inc., Class A |
37,428 | 551,314 | ||||||
United Stationers, Inc. |
19,951 | 771,106 | ||||||
|
|
|||||||
4,493,042 | ||||||||
|
|
|||||||
Offshore Drilling & Other Services 0.1% |
|
|||||||
Hercules Offshore, Inc. (a)(b) |
77,870 | 577,795 | ||||||
Vantage Drilling Co. (a) |
93,878 | 164,287 | ||||||
|
|
|||||||
742,082 | ||||||||
|
|
|||||||
Oil Well Equipment & Services 1.5% |
|
|||||||
Basic Energy Services, Inc. (a) |
15,274 | 208,796 | ||||||
Bolt Technology Corp. |
4,172 | 72,843 | ||||||
Cal Dive International, Inc. (a) |
47,863 | 86,153 | ||||||
Dawson Geophysical Co. (a) |
3,905 | 117,150 | ||||||
Dril-Quip, Inc. (a)(b) |
19,711 | 1,718,208 | ||||||
Edgen Group, Inc. (a) |
7,281 | 52,642 | ||||||
Exterran Holdings, Inc. (a) |
31,811 | 858,897 | ||||||
Flotek Industries, Inc. (a) |
24,343 | 398,008 | ||||||
Forbes Energy Services Ltd. (a) |
7,102 | 26,135 | ||||||
Forum Energy Technologies, Inc. (a) |
11,680 | 335,917 | ||||||
Global Geophysical Services, Inc. (a) |
9,293 | 22,768 | ||||||
Gulf Island Fabrication, Inc. |
7,032 | 148,094 | ||||||
Helix Energy Solutions Group, Inc. (a) |
51,876 | 1,186,923 | ||||||
Hornbeck Offshore Services, Inc. (a)(b) |
17,350 | 806,081 | ||||||
ION Geophysical Corp. (a) |
64,873 | 441,785 | ||||||
Key Energy Services, Inc. (a) |
74,280 | 600,183 | ||||||
Lufkin Industries, Inc. |
16,488 | 1,094,638 | ||||||
Matrix Service Co. (a) |
12,717 | 189,483 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 15 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Oil Well Equipment & Services (concluded) |
|
|||||||
Mitcham Industries, Inc. (a) |
6,262 | $ | 105,953 | |||||
Natural Gas Services Group, Inc. (a) |
6,039 | 116,311 | ||||||
Newpark Resources, Inc. (a) |
44,158 | 409,786 | ||||||
Parker Drilling Co. (a) |
57,758 | 247,204 | ||||||
RigNet, Inc. (a) |
5,962 | 148,692 | ||||||
Tesco Corp. (a) |
14,867 | 199,069 | ||||||
Tetra Technologies, Inc. (a) |
38,115 | 391,060 | ||||||
TGC Industries, Inc. |
7,230 | 71,577 | ||||||
Willbros Group, Inc. (a) |
19,145 | 188,004 | ||||||
|
|
|||||||
10,242,360 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.1% |
|
|||||||
Emerald Oil, Inc. (a) |
7,969 | 56,102 | ||||||
EPL Oil & Gas, Inc. (a) |
13,614 | 364,991 | ||||||
|
|
|||||||
421,093 | ||||||||
|
|
|||||||
Oil: Crude Producers 2.6% |
|
|||||||
Abraxas Petroleum Corp. (a) |
40,764 | 94,165 | ||||||
Apco Oil and Gas International, Inc. |
4,529 | 56,160 | ||||||
Approach Resources, Inc. (a) |
16,325 | 401,758 | ||||||
Berry Petroleum Co., Class A |
25,724 | 1,190,764 | ||||||
Bill Barrett Corp. (a) |
23,656 | 479,507 | ||||||
Bonanza Creek Energy, Inc. (a) |
4,890 | 189,096 | ||||||
BPZ Resources, Inc. (a) |
51,512 | 116,932 | ||||||
Callon Petroleum Co. (a) |
19,584 | 72,461 | ||||||
Carrizo Oil & Gas, Inc. (a) |
19,416 | 500,350 | ||||||
Ceres, Inc. (a) |
3,130 | 10,892 | ||||||
Clayton Williams Energy, Inc. (a) |
2,868 | 125,418 | ||||||
Comstock Resources,
|
23,639 | 384,134 | ||||||
Contango Oil & Gas Co. |
6,235 | 249,961 | ||||||
Crimson Exploration, Inc. (a) |
10,456 | 29,904 | ||||||
Diamondback Energy, Inc. (a) |
7,038 | 188,900 | ||||||
Endeavour International Corp. (a) |
23,189 | 68,408 | ||||||
Energy XXI Bermuda Ltd. |
38,696 | 1,053,305 | ||||||
Evolution Petroleum
|
8,053 | 81,738 | ||||||
Forest Oil Corp. (a)(b) |
57,959 | 304,864 | ||||||
FX Energy, Inc. (a) |
26,121 | 87,767 | ||||||
Gastar Exploration Ltd. (a) |
28,956 | 50,963 | ||||||
Goodrich Petroleum Corp. (a) |
12,863 | 201,306 | ||||||
Gulfport Energy Corp. (a)(b) |
37,403 | 1,714,179 | ||||||
Halcon Resources Corp. (a) |
54,739 | 426,417 | ||||||
Harvest Natural Resources, Inc. (a) |
19,452 | 68,277 | ||||||
Isramco, Inc. (a) |
501 | 49,669 | ||||||
Kodiak Oil & Gas Corp. (a) |
129,458 | 1,176,773 | ||||||
Magnum Hunter Resources Corp. (a)(b) |
72,517 | 290,793 | ||||||
McMoRan Exploration Co. (a) |
49,868 | 815,342 | ||||||
Midstates Petroleum Co., Inc. (a) |
11,834 | 101,181 | ||||||
Northern Oil and Gas, Inc. (a) |
31,186 | 448,455 | ||||||
Oasis Petroleum, Inc. (a)(b) |
39,201 | 1,492,382 | ||||||
Panhandle Oil & Gas, Inc. |
3,362 | 96,321 | ||||||
PDC Energy, Inc. (a) |
14,695 | 728,431 | ||||||
Penn Virginia Corp. |
27,102 | 109,492 | ||||||
Petroquest Energy, Inc. (a)(b) |
28,029 | 124,449 | ||||||
Quicksilver Resources, Inc. (a) |
57,492 | 129,357 |
Common Stocks |
Shares | Value | ||||||
Oil: Crude Producers (concluded) |
|
|||||||
Resolute Energy Corp. (a) |
23,582 | $ | 271,429 | |||||
Rex Energy Corp. (a) |
21,171 | 348,898 | ||||||
Rosetta Resources, Inc. (a) |
25,949 | 1,234,653 | ||||||
Sanchez Energy Corp. (a)(b) |
5,652 | 112,588 | ||||||
Saratoga Resources, Inc. (a) |
9,520 | 25,323 | ||||||
Stone Energy Corp. (a) |
24,300 | 528,525 | ||||||
Swift Energy Co. (a) |
21,064 | 311,958 | ||||||
Synergy Resources Corp. (a) |
19,346 | 132,714 | ||||||
Triangle Petroleum Corp. (a)(b) |
21,705 | 143,253 | ||||||
Vaalco Energy, Inc. (a) |
28,394 | 215,510 | ||||||
W&T Offshore, Inc. |
17,079 | 242,522 | ||||||
Warren Resources, Inc. (a) |
34,969 | 112,250 | ||||||
ZaZa Energy Corp. (a) |
12,336 | 22,328 | ||||||
|
|
|||||||
17,412,222 | ||||||||
|
|
|||||||
Oil: Integrated 0.1% |
|
|||||||
Targa Resources, Inc. |
14,199 | 964,964 | ||||||
|
|
|||||||
Oil: Refining & Marketing 0.4% |
|
|||||||
Adams Resources & Energy, Inc. |
1,128 | 57,528 | ||||||
Alon USA Energy, Inc. |
5,476 | 104,318 | ||||||
Arabian American Development Co. (a) |
10,217 | 86,129 | ||||||
Clean Energy Fuels Corp. (a)(b) |
32,786 | 426,218 | ||||||
CVR Energy, Inc. |
8,242 | 425,452 | ||||||
Delek US Holdings, Inc. |
8,508 | 335,726 | ||||||
Miller Energy Resources, Inc. (a) |
15,433 | 57,256 | ||||||
Renewable Energy Group, Inc. (a) |
3,953 | 30,399 | ||||||
Western Refining, Inc. |
28,325 | 1,002,988 | ||||||
|
|
|||||||
2,526,014 | ||||||||
|
|
|||||||
Paints & Coatings 0.2% |
|
|||||||
Chase Corp. |
3,101 | 59,911 | ||||||
Ferro Corp. (a) |
42,650 | 287,888 | ||||||
H.B. Fuller Co. |
24,502 | 957,538 | ||||||
|
|
|||||||
1,305,337 | ||||||||
|
|
|||||||
Paper 0.6% |
|
|||||||
Boise, Inc. |
49,424 | 428,012 | ||||||
Buckeye Technologies, Inc. |
19,372 | 580,191 | ||||||
Clearwater Paper Corp. (a) |
11,470 | 604,354 | ||||||
Kapstone Paper and Packaging Corp. |
19,838 | 551,496 | ||||||
Neenah Paper, Inc. |
7,753 | 238,482 | ||||||
P.H. Glatfelter Co. |
20,994 | 490,840 | ||||||
Resolute Forest Products (a) |
39,696 | 642,281 | ||||||
Schweitzer-Mauduit International, Inc. |
15,335 | 593,925 | ||||||
Wausau Paper Corp. |
21,629 | 233,161 | ||||||
|
|
|||||||
4,362,742 | ||||||||
|
|
|||||||
Personal Care 0.1% |
|
|||||||
Female Health Co. |
9,551 | 69,149 | ||||||
Orchids Paper Products Co. |
2,807 | 65,487 | ||||||
PhotoMedex, Inc. (a) |
6,371 | 102,510 | ||||||
USANA Health Sciences, Inc. (a)(b) |
2,689 | 129,959 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 16 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Personal Care (concluded) |
|
|||||||
WD-40 Co. |
7,813 | $ | 427,918 | |||||
|
|
|||||||
795,023 | ||||||||
|
|
|||||||
Pharmaceuticals 2.0% |
|
|||||||
Achillion Pharmaceuticals, Inc. (a) |
35,574 | 310,917 | ||||||
Acura Pharmaceuticals, Inc. (a) |
5,863 | 12,488 | ||||||
Akorn, Inc. (a) |
27,903 | 385,898 | ||||||
Ampio Pharmaceuticals,
|
12,685 | 57,970 | ||||||
Anacor Pharmaceuticals, Inc. (a) |
7,926 | 51,202 | ||||||
Auxilium Pharmaceuticals, Inc. (a) |
23,758 | 410,538 | ||||||
Avanir Pharmaceuticals, Inc. (a) |
66,605 | 182,498 | ||||||
BioCryst Pharmaceuticals, Inc. (a) |
24,365 | 28,994 | ||||||
Biospecifics Technologies (a) |
2,295 | 39,130 | ||||||
Cadence Pharmaceuticals, Inc. (a) |
29,493 | 197,308 | ||||||
Cambrex Corp. (a) |
14,645 | 187,310 | ||||||
Cempra, Inc. (a) |
2,014 | 13,595 | ||||||
Corcept Therapeutics, Inc. (a) |
24,630 | 49,260 | ||||||
Cumberland Pharmaceuticals, Inc. (a) |
5,860 | 29,183 | ||||||
Depomed, Inc. (a) |
27,507 | 161,466 | ||||||
Endocyte, Inc. (a) |
14,647 | 182,355 | ||||||
Hi-Tech Pharmacal Co., Inc. |
5,237 | 173,397 | ||||||
Impax Laboratories, Inc. (a) |
32,866 | 507,451 | ||||||
Infinity Pharmaceuticals, Inc. (a) |
14,627 | 708,971 | ||||||
Ironwood Pharmaceuticals, Inc. (a)(b) |
36,871 | 674,371 | ||||||
Isis Pharmaceuticals, Inc. (a)(b) |
49,175 | 833,025 | ||||||
Jazz Pharmaceuticals Plc (a) |
20,394 | 1,140,229 | ||||||
Lannett Co., Inc. (a) |
7,896 | 79,829 | ||||||
The Medicines Co. (a)(b) |
27,060 | 904,345 | ||||||
Obagi Medical Products, Inc. (a) |
8,551 | 168,882 | ||||||
Optimer Pharmaceuticals, Inc. (a) |
23,100 | 274,890 | ||||||
Pacira Pharmaceuticals, Inc. (a) |
9,077 | 261,962 | ||||||
Pain Therapeutics, Inc. (a) |
18,587 | 63,753 | ||||||
Pernix Therapeutics Holdings, Inc. (a) |
4,668 | 23,153 | ||||||
Pharmacyclics, Inc. (a) |
26,708 | 2,147,590 | ||||||
Pozen, Inc. (a) |
13,057 | 68,810 | ||||||
Prestige Brands Holdings, Inc. (a) |
24,675 | 633,901 | ||||||
Questcor Pharmaceuticals, Inc. (b) |
26,430 | 860,032 | ||||||
Sagent Pharmaceuticals, Inc. (a) |
4,616 | 81,011 | ||||||
Santarus, Inc. (a) |
26,877 | 465,778 | ||||||
Sciclone Pharmaceuticals, Inc. (a) |
28,094 | 129,232 | ||||||
SIGA Technologies, Inc. (a)(b) |
17,167 | 61,458 | ||||||
Spectrum Pharmaceuticals, Inc. |
29,394 | 219,279 | ||||||
Supernus Pharmaceuticals, Inc. (a) |
2,025 | 11,381 | ||||||
Vical, Inc. (a) |
37,225 | 148,156 | ||||||
Vivus, Inc. (a)(b) |
49,033 | 539,363 | ||||||
Xenoport, Inc. (a)(b) |
21,061 | 150,586 | ||||||
Zogenix, Inc. (a) |
27,433 | 49,379 | ||||||
|
|
|||||||
13,680,326 | ||||||||
|
|
|||||||
Plastics 0.1% |
|
|||||||
A. Schulman, Inc. |
14,484 | 457,115 | ||||||
|
|
Common Stocks |
Shares | Value | ||||||
Power Transmission Equipment 0.2% |
|
|||||||
Advanced Energy Industries, Inc. (a) |
19,493 | $ | 356,722 | |||||
Generac Holdings, Inc. |
12,170 | 430,088 | ||||||
Global Power Equipment Group, Inc. |
8,389 | 147,814 | ||||||
Maxwell Technologies, Inc. (a)(b) |
14,384 | 77,530 | ||||||
Powell Industries, Inc. (a) |
4,397 | 231,150 | ||||||
Power-One, Inc. (a) |
33,206 | 137,805 | ||||||
Vicor Corp. (a) |
9,270 | 46,072 | ||||||
|
|
|||||||
1,427,181 | ||||||||
|
|
|||||||
Precious Metals & Minerals 0.2% |
|
|||||||
Golden Minerals Co. (a)(b) |
16,556 | 39,403 | ||||||
Horsehead Holding Corp. (a)(b) |
21,464 | 233,528 | ||||||
Stillwater Mining Co. (a) |
56,923 | 736,015 | ||||||
|
|
|||||||
1,008,946 | ||||||||
|
|
|||||||
Printing & Copying Services 0.1% |
|
|||||||
Casella Waste Systems, Inc. (a) |
18,336 | 80,128 | ||||||
Cenveo, Inc. (a) |
26,539 | 57,059 | ||||||
VistaPrint NV (a) |
16,753 | 647,671 | ||||||
|
|
|||||||
784,858 | ||||||||
|
|
|||||||
Producer Durables: Miscellaneous 0.1% |
|
|||||||
Blount International, Inc. (a) |
24,090 | 322,324 | ||||||
Park-Ohio Holdings Corp. (a) |
4,246 | 140,670 | ||||||
|
|
|||||||
462,994 | ||||||||
|
|
|||||||
Production Technology Equipment 1.3% |
|
|||||||
ATMI, Inc. (a)(b) |
15,628 | 350,536 | ||||||
Axcelis Technologies, Inc. (a) |
53,748 | 67,185 | ||||||
Brooks Automation, Inc. |
32,618 | 332,051 | ||||||
Cognex Corp. |
21,019 | 885,951 | ||||||
Cohu, Inc. |
12,017 | 112,479 | ||||||
Cymer, Inc. (a) |
15,183 | 1,459,086 | ||||||
Electro Scientific Industries, Inc. |
11,175 | 123,484 | ||||||
Entegris, Inc. (a) |
67,399 | 664,554 | ||||||
FEI Co. |
18,609 | 1,201,211 | ||||||
GSI Group, Inc. (a) |
14,396 | 122,798 | ||||||
Intevac, Inc. (a) |
11,036 | 52,090 | ||||||
LTX-Credence Corp. (a) |
24,200 | 146,168 | ||||||
Mattson Technology, Inc. (a) |
29,337 | 40,485 | ||||||
MKS Instruments, Inc. |
25,768 | 700,890 | ||||||
Nanometrics, Inc. (a) |
11,567 | 166,912 | ||||||
Photronics, Inc. (a)(b) |
29,671 | 198,202 | ||||||
Rudolph Technologies, Inc. (a)(b) |
15,864 | 186,878 | ||||||
Tessera Technologies, Inc. |
25,463 | 477,431 | ||||||
Ultra Clean Holdings, Inc. (a) |
13,738 | 89,297 | ||||||
Ultratech, Inc. (a) |
12,853 | 508,079 | ||||||
Veeco Instruments, Inc. (a) |
19,080 | 731,337 | ||||||
|
|
|||||||
8,617,104 | ||||||||
|
|
|||||||
Publishing 0.3% |
|
|||||||
Courier Corp. |
4,720 | 68,015 | ||||||
Daily Journal Corp. (a) |
448 | 49,728 | ||||||
The Dolan Co. (a) |
14,640 | 34,990 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 17 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Publishing (concluded) |
|
|||||||
Journal Communications, Inc., Class A (a) |
19,893 | $ | 133,681 | |||||
Martha Stewart Living Omnimedia, Inc., Class A (a) |
13,953 | 36,836 | ||||||
McClatchy Co., Class A (a) |
28,746 | 83,363 | ||||||
Meredith Corp. |
17,831 | 682,214 | ||||||
The New York Times Co., Class A (a) |
66,919 | 655,806 | ||||||
Scholastic Corp. |
12,689 | 338,162 | ||||||
Value Line, Inc. |
607 | 5,718 | ||||||
|
|
|||||||
2,088,513 | ||||||||
|
|
|||||||
Radio & TV Broadcasters 0.2% |
|
|||||||
Beasley Broadcasting Group, Inc., Class A |
1,845 | 10,886 | ||||||
Central European Media Enterprises Ltd. (a) |
18,116 | 76,450 | ||||||
Crown Media Holdings, Inc., Class A (a) |
16,840 | 34,522 | ||||||
Cumulus Media, Inc., Class A (a) |
30,139 | 101,568 | ||||||
Entercom Communications Corp. (a) |
12,040 | 89,578 | ||||||
Entravision Communications Corp., Class A |
24,913 | 79,472 | ||||||
Fisher Communications, Inc. |
4,351 | 170,733 | ||||||
Lin TV Corp., Class A (a) |
15,131 | 166,290 | ||||||
Nexstar Broadcasting Group, Inc., Class A |
5,629 | 101,322 | ||||||
Outdoor Channel Holdings, Inc. |
7,087 | 63,216 | ||||||
Saga Communications, Inc. |
2,294 | 106,120 | ||||||
Salem Communications Corp., Class A |
5,006 | 39,698 | ||||||
Sinclair Broadcast Group, Inc., Class A |
24,771 | 501,365 | ||||||
|
|
|||||||
1,541,220 | ||||||||
|
|
|||||||
Railroad Equipment 0.1% |
|
|||||||
American Railcar Industries, Inc. |
4,655 | 217,575 | ||||||
Freightcar America, Inc. |
5,887 | 128,454 | ||||||
Greenbrier Cos., Inc. (a)(b) |
11,278 | 256,123 | ||||||
|
|
|||||||
602,152 | ||||||||
|
|
|||||||
Railroads 0.3% |
|
|||||||
Genesee & Wyoming, Inc., Class A (a)(b) |
21,764 | 2,026,446 | ||||||
|
|
|||||||
Real Estate 0.2% |
|
|||||||
AV Homes, Inc. (a) |
4,935 | 65,783 | ||||||
Consolidated-Tomoka Land Co. |
2,113 | 82,935 | ||||||
Forestar Group, Inc. (a) |
17,060 | 372,932 | ||||||
Griffin Land & Nurseries, Inc. |
1,365 | 41,018 | ||||||
HFF, Inc., Class A |
16,183 | 322,527 | ||||||
Kennedy-Wilson Holdings, Inc. |
24,080 | 373,481 | ||||||
Market Leader, Inc. (a) |
10,923 | 97,870 | ||||||
Tejon Ranch Co. (a) |
6,538 | 194,702 |
Common Stocks |
Shares | Value | ||||||
Real Estate (concluded) |
|
|||||||
Thomas Properties Group, Inc. |
16,012 | $ | 82,142 | |||||
|
|
|||||||
1,633,390 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 8.6% |
|
|||||||
Acadia Realty Trust (b) |
25,994 | 721,853 | ||||||
AG Mortgage Investment Trust, Inc. |
13,363 | 340,356 | ||||||
Agree Realty Corp. |
6,460 | 194,446 | ||||||
Alexanders, Inc. |
1,006 | 331,668 | ||||||
American Assets Trust, Inc. |
16,153 | 517,058 | ||||||
American Capital Mortgage Investment Corp. |
29,303 | 757,483 | ||||||
AmREIT, Inc., Class B |
1,913 | 37,227 | ||||||
Anworth Mortgage Asset Corp. |
68,124 | 431,225 | ||||||
Apollo Commercial Real Estate Finance, Inc. |
14,749 | 259,435 | ||||||
Ares Commercial Real Estate Corp. |
3,829 | 64,787 | ||||||
ARMOUR Residential REIT, Inc. |
184,309 | 1,203,538 | ||||||
Ashford Hospitality Trust, Inc. (b) |
26,289 | 324,932 | ||||||
Associated Estates Realty Corp. |
24,393 | 454,686 | ||||||
Campus Crest Communities, Inc. |
31,514 | 438,045 | ||||||
CapLease, Inc. |
37,361 | 237,990 | ||||||
Capstead Mortgage Corp. |
48,576 | 622,744 | ||||||
Cedar Realty Trust, Inc. |
29,609 | 180,911 | ||||||
Chatham Lodging Trust |
8,552 | 150,601 | ||||||
Chesapeake Lodging Trust |
23,854 | 547,211 | ||||||
Colonial Properties Trust |
43,220 | 977,204 | ||||||
Colony Financial, Inc. |
31,713 | 704,029 | ||||||
Coresite Realty Corp. |
10,104 | 353,438 | ||||||
Cousins Properties, Inc. |
45,170 | 482,867 | ||||||
CreXus Investment Corp. |
33,105 | 431,027 | ||||||
CubeSmart |
65,523 | 1,035,263 | ||||||
CyrusOne, Inc. |
9,162 | 209,260 | ||||||
CYS Investments, Inc. |
86,350 | 1,013,749 | ||||||
DCT Industrial Trust, Inc. (b) |
134,760 | 997,224 | ||||||
DiamondRock Hospitality Co. |
92,507 | 861,240 | ||||||
DuPont Fabros Technology, Inc. (b) |
30,176 | 732,372 | ||||||
Dynex Capital Corp. |
26,443 | 282,411 | ||||||
Eastgroup Properties, Inc. (b) |
14,660 | 853,212 | ||||||
Education Realty Trust, Inc. |
55,680 | 586,310 | ||||||
EPR Properties (b) |
22,964 | 1,195,276 | ||||||
Equity One, Inc. (b) |
26,949 | 645,968 | ||||||
Excel Trust, Inc. |
21,816 | 297,788 | ||||||
FelCor Lodging Trust, Inc. (a) |
61,123 | 363,682 | ||||||
First Industrial Realty Trust, Inc. (b) |
52,604 | 901,107 | ||||||
First Potomac Realty Trust |
25,056 | 371,580 | ||||||
Franklin Street Properties Corp. (b) |
35,716 | 522,168 | ||||||
Getty Realty Corp. |
12,598 | 254,606 | ||||||
Gladstone Commercial Corp. |
5,199 | 101,225 | ||||||
Glimcher Realty Trust (b) |
68,634 | 796,154 | ||||||
Government Properties Income Trust |
21,177 | 544,884 | ||||||
Gramercy Capital Corp. (a) |
22,490 | 117,173 | ||||||
Gyrodyne Co. of America, Inc. |
538 | 39,548 | ||||||
Healthcare Realty Trust, Inc. (b) |
42,874 | 1,217,193 | ||||||
Hersha Hospitality Trust |
84,801 | 495,238 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 18 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Real Estate Investment Trusts (REITs) (continued) |
|
|||||||
Highwoods Properties, Inc. (b) |
38,609 | $ | 1,527,758 | |||||
Hudson Pacific Properties, Inc. |
21,073 | 458,338 | ||||||
Inland Real Estate Corp. (b) |
37,803 | 381,432 | ||||||
InvesCo. Mortgage Capital, Inc. |
65,728 | 1,405,922 | ||||||
Investors Real Estate Trust |
44,652 | 440,715 | ||||||
iStar Financial, Inc. (a)(b) |
41,493 | 451,859 | ||||||
JAVELIN Mortgage Investment Corp. |
3,503 | 68,834 | ||||||
Kite Realty Group Trust |
32,310 | 217,769 | ||||||
KYTHERA Biopharmaceuticals, Inc. (a) |
2,498 | 60,851 | ||||||
LaSalle Hotel Properties (b) |
46,957 | 1,191,769 | ||||||
Lexington Realty Trust |
74,724 | 881,743 | ||||||
LTC Properties, Inc. |
14,930 | 608,099 | ||||||
Medical Properties Trust, Inc. (b) |
73,421 | 1,177,673 | ||||||
Monmouth Real Estate Investment Corp., Class A |
19,733 | 220,023 | ||||||
National Health Investors, Inc. (b) |
12,011 | 786,120 | ||||||
New York Mortgage Trust, Inc. (b) |
24,690 | 186,163 | ||||||
NorthStar Realty Finance Corp. |
95,342 | 903,842 | ||||||
Omega Healthcare Investors, Inc. |
55,113 | 1,673,231 | ||||||
One Liberty Properties, Inc. |
5,634 | 122,370 | ||||||
Parkway Properties, Inc. |
12,846 | 238,293 | ||||||
Pebblebrook Hotel Trust |
29,812 | 768,851 | ||||||
Pennsylvania Real Estate Investment Trust (b) |
27,490 | 533,031 | ||||||
PennyMac Mortgage Investment Trust (d) |
28,588 | 740,143 | ||||||
Potlatch Corp. |
19,819 | 908,899 | ||||||
PS Business Parks, Inc. (b) |
8,984 | 709,017 | ||||||
RAIT Financial Trust |
29,772 | 237,283 | ||||||
Ramco-Gershenson Properties Trust |
29,051 | 488,057 | ||||||
Redwood Trust, Inc. (b) |
38,832 | 900,126 | ||||||
Resource Capital Corp. |
52,593 | 347,640 | ||||||
Retail Opportunity Investments Corp. |
28,229 | 395,488 | ||||||
RLJ Lodging Trust |
59,892 | 1,363,142 | ||||||
Rouse Properties, Inc. |
10,850 | 196,385 | ||||||
Sabra Healthcare REIT, Inc. |
18,184 | 527,518 | ||||||
Saul Centers, Inc. |
3,600 | 157,464 | ||||||
Select Income REIT |
5,670 | 149,971 | ||||||
Silver Bay Realty Trust Corp. |
14,777 | 305,894 | ||||||
Sovran Self Storage, Inc. |
14,903 | 961,094 | ||||||
Spirit Realty Capital, Inc. |
16,342 | 310,498 | ||||||
STAG Industrial, Inc. |
18,000 | 382,860 | ||||||
Starwood Property Trust, Inc. |
66,564 | 1,847,817 | ||||||
Strategic Hotel Capital, Inc. (a) |
89,023 | 743,342 | ||||||
Summit Hotel Properties, Inc. |
27,533 | 288,271 | ||||||
Sun Communities, Inc. |
17,474 | 861,992 | ||||||
Sunstone Hotel Investors, Inc. (a) |
79,683 | 980,898 | ||||||
Terreno Realty Corp. |
9,288 | 166,998 | ||||||
Two Harbors Investment Corp. |
175,713 | 2,215,741 | ||||||
UMH Properties, Inc. |
6,661 | 68,408 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 19 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Restaurants (concluded) |
|
|||||||
Papa Johns International, Inc. (a) |
8,290 | $ | 512,488 | |||||
Red Robin Gourmet Burgers, Inc. (a) |
7,214 | 328,958 | ||||||
Ruby Tuesday, Inc. (a) |
31,389 | 231,337 | ||||||
Ruths Hospitality Group, Inc. (a) |
17,442 | 166,397 | ||||||
Sonic Corp. (a)(b) |
27,831 | 358,463 | ||||||
Texas Roadhouse, Inc., Class A |
30,680 | 619,429 | ||||||
|
|
|||||||
11,243,867 | ||||||||
|
|
|||||||
Scientific Instruments: Control & Filter 0.6% |
|
|||||||
Brady Corp. |
24,069 | 807,034 | ||||||
CIRCOR International, Inc. |
8,526 | 362,355 | ||||||
Energy Recovery, Inc. (a) |
21,680 | 80,216 | ||||||
ESCO Technologies, Inc. |
13,108 | 535,593 | ||||||
The Gorman-Rupp Co. |
7,441 | 223,602 | ||||||
Mine Safety Appliances Co. |
13,557 | 672,698 | ||||||
PMFG, Inc. (a) |
10,237 | 63,162 | ||||||
Sun Hydraulics, Inc. |
10,169 | 330,594 | ||||||
Thermon Group Holdings, Inc. (a) |
7,240 | 160,801 | ||||||
Watts Water Technologies, Inc., Class A |
13,799 | 662,214 | ||||||
|
|
|||||||
3,898,269 | ||||||||
|
|
|||||||
Scientific Instruments: Electrical 0.8% |
|
|||||||
A.O. Smith Corp. |
19,135 | 1,407,762 | ||||||
American Superconductor Corp. (a) |
19,530 | 51,950 | ||||||
AZZ, Inc. |
12,409 | 598,114 | ||||||
Coleman Cable, Inc. |
4,092 | 61,380 | ||||||
EnerSys (a) |
23,538 | 1,072,862 | ||||||
Franklin Electric Co., Inc. |
22,982 | 771,506 | ||||||
Houston Wire & Cable Co. |
8,697 | 112,626 | ||||||
Littelfuse, Inc. |
10,625 | 720,906 | ||||||
Preformed Line Products Co. |
1,128 | 78,926 | ||||||
Taser International, Inc. (a)(b) |
25,349 | 201,524 | ||||||
|
|
|||||||
5,077,556 | ||||||||
|
|
|||||||
Scientific Instruments: Gauges & Meters 0.2% |
|
|||||||
Badger Meter, Inc. |
7,146 | 382,454 | ||||||
Faro Technologies, Inc. (a) |
8,313 | 360,701 | ||||||
Measurement Specialties, Inc. (a) |
7,399 | 294,258 | ||||||
Mesa Laboratories, Inc. |
1,249 | 66,185 | ||||||
Vishay Precision Group, Inc. (a) |
5,919 | 86,950 | ||||||
Zygo Corp. (a) |
7,970 | 118,036 | ||||||
|
|
|||||||
1,308,584 | ||||||||
|
|
|||||||
Scientific Instruments: Pollution Control 0.3% |
|
|||||||
ADA-ES, Inc. (a) |
4,403 | 116,988 | ||||||
Ceco Environmental Corp. |
3,486 | 45,074 | ||||||
Darling International, Inc. (a) |
57,754 | 1,037,262 | ||||||
EnergySolutions, Inc. (a) |
38,954 | 146,077 | ||||||
Heritage-Crystal Clean, Inc. (a) |
3,711 | 56,036 | ||||||
Met-Pro Corp. |
7,228 | 74,665 | ||||||
Metalico, Inc. (a) |
19,391 | 31,413 | ||||||
Team, Inc. (a) |
9,773 | 401,377 | ||||||
TRC Cos., Inc. (a) |
7,542 | 48,646 |
Common Stocks |
Shares | Value | ||||||
Scientific Instruments: Pollution Control (concluded) |
|
|||||||
US Ecology, Inc. |
9,001 | $ | 238,977 | |||||
|
|
|||||||
2,196,515 | ||||||||
|
|
|||||||
Securities Brokerage & Services 0.3% |
|
|||||||
BGC Partners, Inc. |
48,660 | 202,426 | ||||||
FXCM, Inc. |
11,620 | 158,962 | ||||||
Gain Capital Holdings, Inc. |
7,748 | 34,556 | ||||||
GFI Group, Inc. |
34,109 | 113,924 | ||||||
Gladstone Investment Corp. |
12,811 | 93,648 | ||||||
International FCStone,
|
6,667 | 116,072 | ||||||
Investment Technology Group, Inc. (a) |
19,120 | 211,085 | ||||||
Knight Capital Group, Inc., Class A (a) |
89,295 | 332,177 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) |
50,235 | 83,390 | ||||||
MarketAxess Holdings, Inc. |
17,946 | 669,386 | ||||||
SWS Group, Inc. (a) |
14,276 | 86,370 | ||||||
|
|
|||||||
2,101,996 | ||||||||
|
|
|||||||
Semiconductors & Components 2.1% |
|
|||||||
Aeroflex Holding Corp. (a) |
9,746 | 76,604 | ||||||
Alpha & Omega Semiconductor Ltd. (a) |
8,309 | 73,784 | ||||||
Amkor Technology, Inc. (a) |
36,318 | 145,272 | ||||||
Anadigics, Inc. (a) |
39,967 | 79,934 | ||||||
Applied Micro Circuits Corp. (a) |
32,122 | 238,345 | ||||||
Audience, Inc. (a) |
2,947 | 44,942 | ||||||
AXT, Inc. (a) |
16,001 | 47,043 | ||||||
Cavium, Inc. (a) |
24,413 | 947,469 | ||||||
Ceva, Inc. (a) |
11,367 | 177,325 | ||||||
Cirrus Logic, Inc. (a) |
31,702 | 721,220 | ||||||
Diodes, Inc. (a) |
17,428 | 365,639 | ||||||
DSP Group, Inc. (a) |
10,738 | 86,656 | ||||||
Entropic Communications, Inc. (a) |
43,191 | 175,787 | ||||||
Exar Corp. (a) |
18,203 | 191,132 | ||||||
Formfactor, Inc. (a) |
24,156 | 113,533 | ||||||
GT Advanced Technologies, Inc. (a) |
58,485 | 192,416 | ||||||
Hittite Microwave Corp. (a) |
15,437 | 934,865 | ||||||
Inphi Corp. (a)(b) |
11,557 | 120,771 | ||||||
Integrated Device Technology, Inc. (a) |
69,841 | 521,712 | ||||||
Integrated Silicon Solutions, Inc. (a) |
13,432 | 123,171 | ||||||
Intermolecular, Inc. (a) |
6,819 | 69,554 | ||||||
International Rectifier Corp. (a) |
33,960 | 718,254 | ||||||
Intersil Corp., Class A |
62,616 | 545,385 | ||||||
IXYS Corp. |
12,049 | 115,550 | ||||||
Kopin Corp. (a) |
32,975 | 122,008 | ||||||
Lattice Semiconductor Corp. (a) |
57,986 | 316,024 | ||||||
M/A-COM Technology Solutions Holdings, Inc. (a) |
2,945 | 47,326 | ||||||
MaxLinear, Inc., Class A (a) |
10,743 | 66,607 | ||||||
MEMC Electronic Materials,
|
113,571 | 499,712 | ||||||
Micrel, Inc. |
23,824 | 250,390 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 20 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Semiconductors & Components (concluded) |
|
|||||||
Microsemi Corp. (a) |
43,535 | $ | 1,008,706 | |||||
Mindspeed Technologies, Inc. (a) |
17,977 | 59,863 | ||||||
Monolithic Power Systems, Inc. |
15,723 | 383,170 | ||||||
MoSys, Inc. (a) |
16,693 | 78,624 | ||||||
Omnivision Technologies, Inc. (a)(b) |
25,743 | 354,739 | ||||||
Pericom Semiconductor Corp. (a) |
11,620 | 79,132 | ||||||
PLX Technology, Inc. (a) |
22,227 | 101,355 | ||||||
Power Integrations, Inc. |
13,926 | 604,528 | ||||||
QuickLogic Corp. (a)(b) |
21,617 | 53,178 | ||||||
Rambus, Inc. (a) |
54,225 | 304,202 | ||||||
RF Micro Devices, Inc. (a)(b) |
136,691 | 727,196 | ||||||
Rubicon Technology, Inc. (a) |
8,308 | 54,833 | ||||||
Semtech Corp. (a) |
32,124 | 1,136,868 | ||||||
Sigma Designs, Inc. (a) |
16,168 | 78,738 | ||||||
Silicon Image, Inc. (a) |
37,998 | 184,670 | ||||||
Spansion, Inc., Class A (a) |
23,626 | 304,067 | ||||||
Supertex, Inc. |
5,040 | 111,938 | ||||||
TriQuint Semiconductor, Inc. (a)(b) |
82,868 | 418,483 | ||||||
Volterra Semiconductor Corp. (a) |
12,449 | 176,776 | ||||||
|
|
|||||||
14,349,496 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.0% |
|
|||||||
Ambarella, Inc. (a) |
2,908 | 45,539 | ||||||
|
|
|||||||
Shipping 0.3% |
|
|||||||
Frontline Ltd. (a)(b) |
25,565 | 59,822 | ||||||
GasLog Ltd. |
12,109 | 155,722 | ||||||
Genco Shipping & Trading Ltd. (a) |
15,637 | 45,034 | ||||||
Gulfmark Offshore, Inc., Class A (b) |
13,154 | 512,480 | ||||||
International Shipholding Corp. |
2,638 | 48,012 | ||||||
Knightsbridge Tankers Ltd. |
12,023 | 98,588 | ||||||
Nordic American Tankers Ltd. (b) |
26,047 | 300,843 | ||||||
Rand Logistics, Inc. (a) |
8,542 | 52,320 | ||||||
Scorpio Tankers, Inc. (a) |
53,326 | 475,668 | ||||||
Ship Finance International Ltd. |
23,939 | 422,284 | ||||||
Teekay Tankers Ltd., Class A |
31,024 | 88,418 | ||||||
|
|
|||||||
2,259,191 | ||||||||
|
|
|||||||
Software 0.1% |
|
|||||||
Comverse, Inc. (a) |
10,740 | 301,150 | ||||||
Exa Corp. (a) |
3,030 | 28,846 | ||||||
FleetMatics Group Plc (a) |
4,421 | 107,209 | ||||||
Qualys, Inc. (a) |
4,310 | 53,185 | ||||||
Trulia, Inc. (a) |
3,880 | 121,754 | ||||||
|
|
|||||||
612,144 | ||||||||
|
|
|||||||
Specialty Retail 3.3% |
|
|||||||
1-800-FLOWERS.COM, Inc., Class A (a) |
12,821 | 63,720 | ||||||
Americas Car-Mart,
|
3,916 | 183,034 | ||||||
ANN, Inc. (a) |
23,990 | 696,190 | ||||||
Asbury Automotive Group, Inc. (a)(b) |
13,662 | 501,259 | ||||||
Aéropostale, Inc. (a) |
39,985 | 543,796 | ||||||
Barnes & Noble, Inc. (a)(b) |
13,935 | 229,231 |
Common Stocks |
Shares | Value | ||||||
Specialty Retail (continued) |
||||||||
bebe Stores, Inc. |
18,045 | $ | 75,248 | |||||
Big 5 Sporting Goods Corp. |
8,166 | 127,471 | ||||||
Blue Nile, Inc. (a) |
6,093 | 209,904 | ||||||
Body Central Corp. (a) |
7,919 | 74,439 | ||||||
Brown Shoe Co., Inc. |
21,071 | 337,136 | ||||||
The Buckle, Inc. (b) |
13,625 | 635,606 | ||||||
Cabelas, Inc., Class A (a)(b) |
22,900 | 1,391,862 | ||||||
CafePress, Inc. (a) |
2,353 | 14,142 | ||||||
The Cato Corp., Class A |
13,420 | 323,959 | ||||||
The Childrens Place Retail Stores, Inc. (a) |
11,901 | 533,403 | ||||||
Citi Trends, Inc. (a) |
7,285 | 74,526 | ||||||
Conns, Inc. (a) |
8,281 | 297,288 | ||||||
Destination Maternity Corp. |
6,533 | 152,872 | ||||||
Destination XL Group, Inc. (a) |
20,472 | 104,202 | ||||||
Express, Inc. (a) |
43,942 | 782,607 | ||||||
The Finish Line, Inc., Class A |
24,958 | 488,927 | ||||||
Five Below, Inc. (a) |
5,430 | 205,743 | ||||||
Francescas Holdings
|
17,078 | 489,455 | ||||||
Genesco, Inc. (a) |
12,011 | 721,741 | ||||||
Group 1 Automotive, Inc. |
11,254 | 676,028 | ||||||
Haverty Furniture Cos., Inc. |
9,399 | 193,243 | ||||||
hhgregg, Inc. (a) |
7,085 | 78,289 | ||||||
Hibbett Sports, Inc. (a)(b) |
12,936 | 727,909 | ||||||
Hot Topic, Inc. |
20,727 | 287,691 | ||||||
Jos. A. Bank Clothiers, Inc. (a) |
13,641 | 544,276 | ||||||
Lithia Motors, Inc., Class A |
10,655 | 505,899 | ||||||
Lumber Liquidators Holdings, Inc. (a) |
13,538 | 950,638 | ||||||
MarineMax, Inc. (a)(b) |
10,029 | 136,294 | ||||||
Mattress Firm Holding Corp. (a) |
5,399 | 186,481 | ||||||
The Mens Wearhouse, Inc. |
25,007 | 835,734 | ||||||
Monro Muffler, Inc. |
15,169 | 602,361 | ||||||
New York & Co. (a) |
13,555 | 55,440 | ||||||
Office Depot, Inc. (a) |
139,599 | 548,624 | ||||||
OfficeMax, Inc. |
42,589 | 494,458 | ||||||
Orchard Supply Hardware Stores Corp., Class A (a)(b) |
785 | 3,109 | ||||||
Penske Automotive Group, Inc. |
20,816 | 694,422 | ||||||
The Pep Boys - Manny, Moe & Jack (a) |
25,978 | 306,281 | ||||||
Perfumania Holdings, Inc. (a) |
2,591 | 14,924 | ||||||
Pier 1 Imports, Inc. |
47,722 | 1,097,606 | ||||||
RadioShack Corp. (b) |
49,067 | 164,865 | ||||||
Regis Corp. |
28,271 | 514,249 | ||||||
Restoration Hardware Holdings, Inc. (a) |
2,723 | 95,305 | ||||||
Rue21, Inc. (a) |
7,544 | 221,718 | ||||||
Shoe Carnival, Inc. |
6,924 | 141,527 | ||||||
Shutterfly, Inc. (a)(b) |
17,578 | 776,420 | ||||||
Sonic Automotive, Inc. |
20,974 | 464,784 | ||||||
Stage Stores, Inc. |
15,070 | 390,012 | ||||||
Stamps.com, Inc. (a) |
6,574 | 164,153 | ||||||
Stein Mart, Inc. |
13,442 | 112,644 | ||||||
Systemax, Inc. |
5,373 | 53,193 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 21 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Specialty Retail (concluded) |
|
|||||||
Tillys, Inc., Class A (a) |
4,546 | $ | 57,825 | |||||
Vitamin Shoppe, Inc. (a) |
14,464 | 706,566 | ||||||
The Wet Seal, Inc., Class A (a) |
44,237 | 133,596 | ||||||
Zumiez, Inc. (a) |
10,756 | 246,312 | ||||||
|
|
|||||||
22,440,637 | ||||||||
|
|
|||||||
Steel 0.1% |
|
|||||||
AK Steel Holding Corp. |
67,040 | 221,902 | ||||||
Carbonite, Inc. (a) |
5,506 | 60,291 | ||||||
Handy & Harman Ltd. (a) |
2,533 | 38,983 | ||||||
Olympic Steel, Inc. |
4,456 | 106,498 | ||||||
Schnitzer Steel Industries, Inc., Class A |
12,377 | 329,971 | ||||||
Shiloh Industries, Inc. |
2,791 | 30,059 | ||||||
TMS International Corp. (a) |
6,233 | 82,276 | ||||||
Universal Stainless & Alloy Products, Inc. (a) |
3,319 | 120,646 | ||||||
|
|
|||||||
990,626 | ||||||||
|
|
|||||||
Synthetic Fibers & Chemicals 0.0% |
|
|||||||
Zoltek Cos., Inc. (a) |
13,557 | 162,006 | ||||||
|
|
|||||||
Technology: Miscellaneous 0.2% |
|
|||||||
Acorn Energy, Inc. (b) |
8,808 | 64,739 | ||||||
Benchmark Electronics, Inc. (a) |
28,244 | 508,957 | ||||||
CTS Corp. |
16,682 | 174,160 | ||||||
Fabrinet (a) |
10,808 | 157,905 | ||||||
Key Tronic Corp. (a) |
5,115 | 58,618 | ||||||
Pendrell Corp. (a) |
76,913 | 127,675 | ||||||
Plexus Corp. (a) |
17,142 | 416,722 | ||||||
Vocus, Inc. (a) |
10,174 | 143,962 | ||||||
|
|
|||||||
1,652,738 | ||||||||
|
|
|||||||
Telecommunications Equipment 0.2% |
|
|||||||
Arris Group, Inc. (a) |
55,494 | 952,832 | ||||||
CalAmp Corp. (a) |
17,335 | 190,165 | ||||||
Symmetricom, Inc. (a) |
20,426 | 92,734 | ||||||
Tessco Technologies, Inc. |
2,621 | 56,719 | ||||||
Ubiquiti Networks, Inc. |
4,906 | 67,310 | ||||||
Vocera Communications, Inc. (a) |
3,489 | 80,247 | ||||||
|
|
|||||||
1,440,007 | ||||||||
|
|
|||||||
Textile Products 0.1% |
|
|||||||
Culp, Inc. |
4,273 | 67,983 | ||||||
Interface, Inc. |
28,749 | 552,556 | ||||||
Unifi, Inc. (a) |
6,925 | 132,268 | ||||||
|
|
|||||||
752,807 | ||||||||
|
|
|||||||
Textiles Apparel & Shoes 1.2% |
|
|||||||
Cherokee, Inc. |
4,084 | 55,951 | ||||||
Columbia Sportswear Co. (b) |
5,989 | 346,643 | ||||||
Crocs, Inc. (a) |
44,152 | 654,333 | ||||||
Delta Apparel, Inc. (a) |
3,348 | 55,142 | ||||||
Fifth & Pacific Cos., Inc. (a)(b) |
58,862 | 1,111,315 | ||||||
G-III Apparel Group Ltd. (a) |
8,130 | 326,094 | ||||||
Iconix Brand Group, Inc. (a) |
31,782 | 822,200 | ||||||
The Jones Group, Inc. |
40,333 | 513,036 |
Common Stocks |
Shares | Value | ||||||
Textiles Apparel & Shoes (concluded) |
|
|||||||
K-Swiss, Inc., Class A (a) |
12,916 | $ | 61,222 | |||||
Maidenform Brands, Inc. (a) |
11,536 | 202,226 | ||||||
Oxford Industries, Inc. |
6,884 | 365,540 | ||||||
Perry Ellis International, Inc. |
5,812 | 105,720 | ||||||
Quiksilver, Inc. (a)(b) |
64,194 | 389,658 | ||||||
R.G. Barry Corp. |
4,171 | 55,850 | ||||||
Skechers U.S.A., Inc., Class A (a) |
18,606 | 393,517 | ||||||
Steven Madden Ltd. (a) |
19,244 | 830,186 | ||||||
True Religion Apparel, Inc. |
12,664 | 330,657 | ||||||
Tumi Holdings, Inc. (a)(b) |
10,566 | 221,252 | ||||||
Vera Bradley, Inc. (a)(b) |
9,875 | 233,346 | ||||||
Weyco Group, Inc. |
3,152 | 77,256 | ||||||
Wolverine World Wide, Inc. |
23,885 | 1,059,777 | ||||||
|
|
|||||||
8,210,921 | ||||||||
|
|
|||||||
Tobacco 0.2% |
|
|||||||
Alliance One International, Inc. (a) |
42,657 | 165,936 | ||||||
Star Scientific, Inc. (a)(b) |
72,345 | 120,093 | ||||||
Universal Corp. |
11,429 | 640,481 | ||||||
Vector Group Ltd. |
27,279 | 439,737 | ||||||
|
|
|||||||
1,366,247 | ||||||||
|
|
|||||||
Toys 0.1% |
|
|||||||
Jakks Pacific, Inc. |
10,721 | 112,463 | ||||||
Leapfrog Enterprises, Inc. (a) |
25,076 | 214,651 | ||||||
|
|
|||||||
327,114 | ||||||||
|
|
|||||||
Transportation Miscellaneous 0.2% |
|
|||||||
Echo Global Logistics, Inc. (a) |
7,196 | 159,175 | ||||||
HUB Group, Inc., Class A (a)(b) |
18,161 | 698,472 | ||||||
Odyssey Marine Exploration, Inc. (a) |
37,495 | 122,234 | ||||||
Pacer International, Inc. (a) |
17,483 | 87,939 | ||||||
Textainer Group Holdings Ltd. |
6,794 | 268,703 | ||||||
Wesco Aircraft Holdings, Inc. (a) |
8,547 | 125,812 | ||||||
XPO Logistics, Inc. (a)(b) |
8,714 | 146,744 | ||||||
|
|
|||||||
1,609,079 | ||||||||
|
|
|||||||
Truckers 0.7% |
|
|||||||
Arkansas Best Corp. |
12,537 | 146,432 | ||||||
Celadon Group, Inc. |
9,816 | 204,762 | ||||||
Forward Air Corp. |
14,258 | 531,681 | ||||||
Heartland Express, Inc. |
23,568 | 314,397 | ||||||
Knight Transportation, Inc. |
28,478 | 458,496 | ||||||
Marten Transport Ltd. |
7,622 | 153,431 | ||||||
Old Dominion Freight Line, Inc. (a) |
34,962 | 1,335,549 | ||||||
Patriot Transportation Holding, Inc. (a) |
3,120 | 86,798 | ||||||
Quality Distribution, Inc. (a) |
10,581 | 88,986 | ||||||
Roadrunner Transportation Systems, Inc. (a) |
7,019 | 161,437 | ||||||
Saia, Inc. (a) |
7,848 | 283,862 | ||||||
Swift Transportation Co. (a) |
38,830 | 550,609 | ||||||
Universal Truckload Services, Inc. (a) |
2,669 | 62,268 |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 22 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks |
Shares | Value | ||||||
Truckers (concluded) |
|
|||||||
Werner Enterprises, Inc. |
21,723 | $ | 524,393 | |||||
|
|
|||||||
4,903,101 | ||||||||
|
|
|||||||
Utilities: Electrical 2.0% |
|
|||||||
Allete, Inc. |
18,732 | 918,243 | ||||||
American DG Energy, Inc. (a) |
12,249 | 25,723 | ||||||
Atlantic Power Corp. |
58,773 | 289,751 | ||||||
Avista Corp. |
28,785 | 788,709 | ||||||
Black Hills Corp. |
21,650 | 953,466 | ||||||
CH Energy Group, Inc. |
7,280 | 476,039 | ||||||
Cleco Corp. |
29,914 | 1,406,856 | ||||||
El Paso Electric Co. |
19,648 | 661,155 | ||||||
The Empire District Electric Co. |
20,696 | 463,590 | ||||||
Genie Energy Ltd. |
7,182 | 66,505 | ||||||
IDACORP, Inc. |
24,583 | 1,186,622 | ||||||
MGE Energy, Inc. |
11,330 | 628,135 | ||||||
NorthWestern Corp. |
17,880 | 712,697 | ||||||
Otter Tail Corp. |
17,744 | 552,548 | ||||||
Pike Electric Corp. |
8,600 | 122,378 | ||||||
PNM Resources, Inc. |
39,187 | 912,665 | ||||||
Portland General Electric Co. |
37,089 | 1,124,909 | ||||||
UIL Holdings Corp. |
24,863 | 984,326 | ||||||
Unitil Corp. |
6,684 | 188,021 | ||||||
UNS Energy Corp. |
19,786 | 968,327 | ||||||
|
|
|||||||
13,430,665 | ||||||||
|
|
|||||||
Utilities: Gas Distributors 1.0% |
|
|||||||
Chesapeake Utilities Corp. |
4,733 | 232,154 | ||||||
Delta Natural Gas Co., Inc. |
3,361 | 73,471 | ||||||
The Laclede Group, Inc. |
11,118 | 474,739 | ||||||
New Jersey Resources Corp. |
20,455 | 917,407 | ||||||
Northwest Natural Gas Co. |
13,158 | 576,583 | ||||||
Piedmont Natural Gas Co. |
37,151 | 1,221,525 | ||||||
South Jersey Industries, Inc. |
14,940 | 830,515 | ||||||
Southwest Gas Corp. |
22,654 | 1,075,159 | ||||||
WGL Holdings, Inc. |
25,352 | 1,118,023 | ||||||
|
|
|||||||
6,519,576 | ||||||||
|
|
|||||||
Utilities: Miscellaneous 0.0% |
|
|||||||
Ormat Technologies, Inc. |
8,667 | 178,974 | ||||||
|
|
|||||||
Utilities: Telecommunications 0.8% |
|
|||||||
8x8, Inc. (a) |
34,968 | 239,531 | ||||||
Atlantic Tele-Network, Inc. |
4,466 | 216,646 | ||||||
Boingo Wireless, Inc. (a) |
7,597 | 41,935 | ||||||
Cbeyond Communications, Inc. (a) |
13,604 | 101,078 | ||||||
Cincinnati Bell, Inc. (a)(b) |
97,437 | 317,645 | ||||||
Cogent Communications Group, Inc. |
22,942 | 605,669 | ||||||
Consolidated Communications Holdings, Inc. |
20,104 | 352,825 | ||||||
Fairpoint Communications, Inc. (a)(b) |
10,575 | 78,995 | ||||||
General Communication, Inc., Class A (a) |
18,222 | 167,096 |
Common Stocks |
Shares | Value | ||||||
Utilities: Telecommunications (concluded) |
|
|||||||
Hawaiian Telcom HoldCo, Inc. (a)(b) |
5,256 | $ | 121,256 | |||||
HickoryTech Corp. |
7,237 | 73,455 | ||||||
IDT Corp., Class B |
7,903 | 95,310 | ||||||
inContact, Inc. (a) |
18,791 | 152,019 | ||||||
Ipass, Inc. (a) |
25,746 | 50,977 | ||||||
Iridium Communications, Inc. (a) |
24,308 | 146,334 | ||||||
j2 Global, Inc. |
22,713 | 890,577 | ||||||
Leap Wireless International, Inc. (a) |
26,610 | 156,733 | ||||||
Lumos Networks Corp. |
7,718 | 104,039 | ||||||
magicJack VocalTec Ltd. (a) |
7,061 | 98,854 | ||||||
Neutral Tandem, Inc. |
14,343 | 46,902 | ||||||
NTELOS Holdings Corp. |
7,321 | 93,782 | ||||||
ORBCOMM, Inc. (a) |
17,542 | 91,394 | ||||||
Premiere Global Services, Inc. (a) |
24,658 | 270,991 | ||||||
Primus Telecommunications Group, Inc. |
5,860 | 64,753 | ||||||
Shenandoah Telecom Co. |
11,822 | 180,049 | ||||||
Towerstream Corp. (a) |
27,967 | 62,366 | ||||||
USA Mobility, Inc. |
10,539 | 139,852 | ||||||
Vonage Holdings Corp. (a) |
49,566 | 143,246 | ||||||
|
|
|||||||
5,104,309 | ||||||||
|
|
|||||||
Utilities: Water 0.3% |
|
|||||||
American States Water Co. |
9,294 | 535,056 | ||||||
Artesian Resources Corp., Class A |
3,684 | 82,779 | ||||||
California Water Service Group |
22,719 | 452,108 | ||||||
Connecticut Water Service, Inc. |
5,330 | 155,796 | ||||||
Consolidated Water Co., Inc. |
7,317 | 72,438 | ||||||
Middlesex Water Co. |
7,746 | 151,202 | ||||||
SJW Corp. |
6,981 | 184,997 | ||||||
York Water Co. |
6,330 | 119,004 | ||||||
|
|
|||||||
1,753,380 | ||||||||
|
|
|||||||
Total Common Stocks 97.4% |
|
659,924,165 | ||||||
|
|
|||||||
Investment Companies |
||||||||
BlackRock Kelso Capital Corp. (d) |
35,687 | 356,870 | ||||||
Firsthand Technology Value Fund, Inc. (a) |
4,156 | 80,169 | ||||||
Gladstone Capital Corp. |
10,407 | 95,744 | ||||||
Hercules Technology Growth |
||||||||
Capital, Inc. |
29,664 | 363,384 | ||||||
Pennantpark Investment Corp. |
32,265 | 364,272 | ||||||
Prospect Capital Corp. |
98,505 | 1,074,690 | ||||||
|
|
|||||||
Total Investment Companies 0.3% |
|
2,335,129 | ||||||
|
|
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 23 |
Schedule of Investments (continued) |
Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Other Interests (e) |
Beneficial
Interest (000) |
Value | ||||||
Machinery: Industrial 0.0% |
|
|||||||
Gerber Scientific, Inc. (a) |
$ | 13 | | |||||
|
|
|||||||
Warrants (f) |
Shares | |||||||
Oil: Crude Producers 0.0% |
|
|||||||
Magnum Hunter Resources Corp. (Issued 08/31/12, 1 Share for 1 Warrant, Expires 10/14/13, Strike Price $ 10.50) |
5,700 | | ||||||
|
|
|||||||
Total Long-Term Investments
|
|
$ | 662,259,294 | |||||
|
|
Short-Term Securities |
Shares | Value | ||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.09%(d)(g) |
33,049,980 | $ | 33,049,980 | |||||
|
|
|||||||
Beneficial
Interest (000) |
||||||||
BlackRock Liquidity Series, LLC Money Market Series, 0.23% (d)(g)(h) |
$ | 80,117 | 80,117,282 | |||||
|
|
|||||||
Total Short-Term Securities
|
|
113,167,262 | ||||||
|
|
|||||||
Total Investments (Cost $594,048,794*) 114.4% |
|
775,426,556 | ||||||
Liabilities in Excess of Other Assets (14.4)% |
|
(97,668,418 | ) | |||||
|
|
|||||||
Net Assets 100.0% |
|
$ | 677,758,138 | |||||
|
|
* | As of March 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 612,149,874 | ||
|
|
|||
Gross unrealized appreciation |
$ | 198,623,268 | ||
Gross unrealized depreciation |
(35,346,586 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 163,276,682 | ||
|
|
Notes to Schedule of Investments
(a) | Non-income producing security. |
(b) | Security, or a portion of security, is on loan. |
(c) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
(d) | Investments in issuers considered to be an affiliate of the Series during the period ended March 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate |
Shares/
Beneficial Interest Held at December 31, 2012 |
Shares/
Beneficial Interest Purchased |
Shares/
Beneficial Interest Sold |
Shares/
Beneficial Interest Held at March 31, 2013 |
Value at
March 31, 2013 |
Income |
Realized
Gain/Loss |
|||||||||||||||||||||
BlackRock Kelso Capital Corp. |
24,999 | 10,688 | | 35,687 | $ | 356,870 | $ | 6,500 | | |||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
20,512,415 | 12,537,565 | 1 | | 33,049,980 | $ | 33,049,980 | $ | 6,204 | | ||||||||||||||||||
BlackRock Liquidity Series LLC, Money Market Series |
$ | 36,877,998 | $ | 43,239,284 | 1 | | $ | 80,117,282 | $ | 80,117,282 | $ | 263,360 | | |||||||||||||||
PennyMac Mortgage Investment Trust |
27,689 | 899 | | 28,588 | $ | 740,143 | $ | 16,295 | |
1 |
Represents net shares/beneficial interest purchased. |
(e) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 24 |
Schedule of Investments (continued) | Master Small Cap Index Series |
(f) | Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
(g) | Represents the current yield as of report date. |
(h) | Security was purchased with the cash collateral from loaned securities. The Series may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
|
Financial futures contracts as of March 31, 2013 were as follows: |
Contracts
|
Issue |
Exchange |
Expiration |
Notional
Value |
Unrealized
Appreciation |
|||||||||
162 |
Russell 2000 E-Mini Index | ICE Futures US Indices | June 2013 | $ | 15,372,180 | $ | 286,859 |
|
For Series compliance purposes, the Series industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease. |
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Series has the ability to access |
|
Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Series most recent financial statements as contained in its annual report.
The following tables summarize the Series investments and derivative financial instruments categorized in the disclosure hierarchy as of March 31, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: |
||||||||||||||||
Long Term Investments: |
||||||||||||||||
Common Stocks 1 |
$ | 659,924,165 | | | $ | 659,924,165 | ||||||||||
Investment Companies |
2,335,129 | | | 2,335,129 | ||||||||||||
Short-Term Securities |
33,049,980 | $ | 80,117,282 | | 113,167,262 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 695,309,274 | $ | 80,117,282 | | $ | 775,426,556 | |||||||||
|
|
|
|
|
|
|
|
1 |
See above Schedule of Investments for values in each industry. |
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 25 |
Schedule of Investments (concluded) | Master Small Cap Index Series |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments 2 |
||||||||||||||||
Assets: |
||||||||||||||||
Equity contracts |
$ | 286,859 | | | $ | 286,859 |
2 |
Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Series assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of March 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
There were no transfers between levels during the period ended March 31, 2013.
QUANTITATIVE MASTER SERIES LLC | MARCH 31, 2013 | 26 |
AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND
SCHEDULE OF INVESTMENTS
March 31, 2013 (Unaudited)
Par Amount | Fair Value | |||||||
(000s) | (000s) | |||||||
U.S. TREASURY OBLIGATIONS - 92.07% |
||||||||
U.S. Treasury Note, |
||||||||
1.875%, Due 7/15/2013 A |
$ | 890 | $ | 907 | ||||
1.250%, Due 4/15/2014 A |
2,497 | 2,580 | ||||||
2.000%, Due 7/15/2014 A |
10,494 | 11,107 | ||||||
1.625%, Due 1/15/2015 A |
10,174 | 10,852 | ||||||
0.500%, Due 4/15/2015 A |
9,217 | 9,682 | ||||||
2.000%, Due 1/15/2016 A |
1,903 | 2,120 | ||||||
0.125%, Due 4/15/2016 A |
25,902 | 27,518 | ||||||
2.500%, Due 7/15/2016 A |
2,064 | 2,387 | ||||||
2.375%, Due 1/15/2017 A |
2,969 | 3,463 | ||||||
0.125%, Due 4/15/2017 A |
33,302 | 35,918 | ||||||
2.625%, Due 7/15/2017 A |
5,844 | 7,030 | ||||||
1.625%, Due 1/15/2018 A |
1,165 | 1,358 | ||||||
1.375%, Due 7/15/2018 A |
1,970 | 2,307 | ||||||
2.125%, Due 1/15/2019 A |
4,590 | 5,599 | ||||||
1.875%, Due 7/15/2019 A |
2,966 | 3,630 | ||||||
1.375%, Due 1/15/2020 A |
2,737 | 3,260 | ||||||
1.125%, Due 1/15/2021 A |
11,279 | 13,296 | ||||||
0.625%, Due 7/15/2021 A |
18,711 | 21,401 | ||||||
0.125%, Due 1/15/2022 A |
17,274 | 18,795 | ||||||
0.125%, Due 7/15/2022 A |
17,868 | 19,472 | ||||||
0.125%, Due 1/15/2023 A |
6,090 | 6,571 | ||||||
2.375%, Due 1/15/2025 A |
1,509 | 2,025 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $208,324) |
211,278 | |||||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 1.28% (Cost $2,947) |
||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class |
2,946,529 | 2,946 | ||||||
|
|
|||||||
TOTAL INVESTMENTS - 93.35% (Cost $211,271) |
$ | 214,224 | ||||||
OTHER ASSETS, NET OF LIABILITIES - 6.65% |
15,243 | |||||||
|
|
|||||||
TOTAL NET ASSETS - 100.00% |
$ | 229,467 | ||||||
|
|
Percentages are stated as a percent of net assets.
A |
Inflation-Indexed Note. |
AMERICAN BEACON HOLLAND LARGE CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
March 31, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000s) | ||||||||
COMMON STOCK - 98.19% |
||||||||
CONSUMER DISCRETIONARY - 15.92% |
||||||||
Hotels, Restaurants & Leisure - 3.75% |
||||||||
Yum! Brands, Inc. |
38,750 | $ | 2,788 | |||||
|
|
|||||||
Internet & Catalog Retail - 5.75% |
||||||||
Amazon.com, Inc. A |
10,650 | 2,838 | ||||||
priceline.com, Inc. A |
2,105 | 1,448 | ||||||
|
|
|||||||
4,286 | ||||||||
|
|
|||||||
Specialty Retail - 3.48% |
||||||||
Advance Auto Parts, Inc. |
19,900 | 1,644 | ||||||
GNC Holdings, Inc., Class A |
24,000 | 943 | ||||||
|
|
|||||||
2,587 | ||||||||
|
|
|||||||
Textiles & Apparel - 2.94% |
||||||||
NIKE, Inc., Class B |
24,050 | 1,419 | ||||||
Under Armour, Inc., Class A A |
15,050 | 771 | ||||||
|
|
|||||||
2,190 | ||||||||
|
|
|||||||
Total Consumer Discretionary |
11,851 | |||||||
|
|
|||||||
CONSUMER STAPLES - 8.91% |
||||||||
Beverages - 3.73% |
||||||||
Monster Beverage Corp. A |
26,350 | 1,258 | ||||||
PepsiCo, Inc. |
19,150 | 1,515 | ||||||
|
|
|||||||
2,773 | ||||||||
|
|
|||||||
Food & Drug Retailing - 4.33% |
||||||||
Costco Wholesale Corp. |
14,950 | 1,586 | ||||||
Mead Johnson Nutrition Co., Class A |
21,150 | 1,638 | ||||||
|
|
|||||||
3,224 | ||||||||
|
|
|||||||
Household Products - 0.85% |
||||||||
Procter & Gamble Co. |
8,250 | 636 | ||||||
|
|
|||||||
Total Consumer Staples |
6,633 | |||||||
|
|
|||||||
ENERGY - 8.90% |
||||||||
Energy Equipment & Services - 2.02% |
||||||||
Halliburton Co. |
37,150 | 1,501 | ||||||
|
|
|||||||
Oil & Gas - 6.88% |
||||||||
Occidental Petroleum Corp. |
15,000 | 1,176 | ||||||
Range Resources Corp. |
37,950 | 3,075 | ||||||
Southwestern Energy Co. A |
23,350 | 870 | ||||||
|
|
|||||||
5,121 | ||||||||
|
|
|||||||
Total Energy |
6,622 | |||||||
|
|
|||||||
FINANCIALS - 3.40% |
||||||||
BlackRock, Inc., Class A |
3,550 | 912 | ||||||
Greenhill & Co., Inc. |
17,100 | 913 |
Shares | Fair Value | |||||||
(000s) | ||||||||
TD Ameritrade Holding Corp. |
34,100 | $ | 703 | |||||
|
|
|||||||
Total Financials |
2,528 | |||||||
|
|
|||||||
HEALTH CARE - 14.40% |
||||||||
Biotechnology - 4.35% |
||||||||
BioMarin Pharmaceutical, Inc. A |
17,300 | 1,077 | ||||||
Gilead Sciences, Inc. A |
26,800 | 1,312 | ||||||
Vertex Pharmaceuticals, Inc. A |
15,450 | 849 | ||||||
|
|
|||||||
3,238 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies - 5.22% |
||||||||
Covidien PLC |
38,250 | 2,594 | ||||||
Waters Corp. A |
13,700 | 1,287 | ||||||
|
|
|||||||
3,881 | ||||||||
|
|
|||||||
Health Care Providers & Services - 4.83% |
||||||||
Cerner Corp. A |
13,000 | 1,232 | ||||||
DaVita HealthCare Partners, Inc. A |
13,250 | 1,571 | ||||||
Laboratory Corp. of America Holdings A |
8,800 | 794 | ||||||
|
|
|||||||
3,597 | ||||||||
|
|
|||||||
Total Health Care |
10,716 | |||||||
|
|
|||||||
INDUSTRIALS - 6.52% |
||||||||
Aerospace & Defense - 1.25% |
||||||||
United Technologies Corp. |
10,000 | 934 | ||||||
|
|
|||||||
Electrical Equipment - 1.85% |
||||||||
Roper Industries, Inc. |
10,800 | 1,375 | ||||||
|
|
|||||||
Industrial Conglomerates - 2.41% |
||||||||
Honeywell International, Inc. |
23,750 | 1,790 | ||||||
|
|
|||||||
Machinery - 1.01% |
||||||||
WABCO Holdings, Inc. A |
10,650 | 752 | ||||||
|
|
|||||||
Total Industrials |
4,851 | |||||||
|
|
|||||||
INFORMATION TECHNOLOGY - 35.42% |
||||||||
Communications Equipment - 4.61% |
||||||||
Cisco Systems, Inc. |
111,650 | 2,335 | ||||||
NeuStar, Inc., Class A A |
23,500 | 1,093 | ||||||
|
|
|||||||
3,428 | ||||||||
|
|
|||||||
Computers & Peripherals - 5.79% |
||||||||
Apple, Inc. |
4,850 | 2,147 | ||||||
International Business Machines Corp. |
10,150 | 2,165 | ||||||
|
|
|||||||
4,312 | ||||||||
|
|
|||||||
Internet Software & Services - 3.04% |
||||||||
Google, Inc., Class A A |
2,850 | 2,263 | ||||||
|
|
|||||||
IT Consulting & Services - 7.03% |
||||||||
Automatic Data Processing, Inc. |
9,900 | 644 | ||||||
IHS, Inc., Class A A |
15,050 | 1,576 |
Percentages are stated as a percent of net assets.
A |
Non-income producing security. |
Futures Contracts Open on March 31, 2013 (000s):
Description |
Type |
Number of
Contracts |
Expiration Date | Contract Value |
Unrealized
Appreciation (Depreciation) |
|||||||||
S&P 500 Mini E Index Future |
Long | 15 | June, 2013 | $ | 1,172 | $ | 18 | |||||||
|
|
|
|
|||||||||||
$ | 1,172 | $ | 18 | |||||||||||
|
|
|
|
AMERICAN BEACON BRIDGEWAY LARGE CAP VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000s) | ||||||||
COMMON STOCK - 96.26% |
||||||||
CONSUMER DISCRETIONARY - 9.34% |
||||||||
Automobiles - 1.98% |
||||||||
Ford Motor Co. |
38,900 | $ | 512 | |||||
General Motors Co. A |
16,500 | 459 | ||||||
|
|
|||||||
971 | ||||||||
|
|
|||||||
Home Builders - 0.66% |
||||||||
D.R. Horton, Inc. |
13,300 | 323 | ||||||
|
|
|||||||
Household Durables - 2.76% |
||||||||
Mohawk Industries, Inc. A |
3,700 | 419 | ||||||
Pulte Group, Inc. A |
22,700 | 459 | ||||||
Whirlpool Corp. |
4,000 | 474 | ||||||
|
|
|||||||
1,352 | ||||||||
|
|
|||||||
Media - 0.77% |
||||||||
Time Warner, Inc. |
6,600 | 380 | ||||||
|
|
|||||||
Multiline Retail - 1.01% |
||||||||
Dillards, Inc., Class A |
6,300 | 495 | ||||||
|
|
|||||||
Specialty Retail - 1.64% |
||||||||
American Eagle Outfitters, Inc. |
12,300 | 230 | ||||||
Gap, Inc. |
7,800 | 276 | ||||||
Home Depot, Inc. |
4,300 | 300 | ||||||
|
|
|||||||
806 | ||||||||
|
|
|||||||
Textiles & Apparel - 0.52% |
||||||||
PVH Corp. |
2,400 | 256 | ||||||
|
|
|||||||
Total Consumer Discretionary |
4,583 | |||||||
|
|
|||||||
CONSUMER STAPLES - 11.57% |
||||||||
Beverages - 1.98% |
||||||||
Brown-Forman Corp., Class B |
2,550 | 182 | ||||||
Constellation Brands, Inc., Class A A |
9,700 | 462 | ||||||
Molson Coors Brewing Co., Class B |
6,700 | 328 | ||||||
|
|
|||||||
972 | ||||||||
|
|
|||||||
Food & Drug Retailing - 2.73% |
||||||||
Kroger Co. |
11,800 | 391 | ||||||
Safeway, Inc. |
19,700 | 519 | ||||||
Sysco Corp. |
12,200 | 429 | ||||||
|
|
|||||||
1,339 | ||||||||
|
|
|||||||
Food Products - 4.63% |
||||||||
Archer-Daniels-Midland Co. |
17,200 | 580 | ||||||
Campbell Soup Co. |
7,400 | 336 | ||||||
ConAgra Foods, Inc. |
10,700 | 383 | ||||||
General Mills, Inc. |
6,800 | 335 | ||||||
Green Mountain Coffee Roasters, Inc. A |
7,200 | 409 | ||||||
Mondelez International, Inc., Class A |
7,500 | 230 | ||||||
|
|
|||||||
2,273 | ||||||||
|
|
|||||||
Household Products - 2.23% |
||||||||
Colgate-Palmolive Co. |
2,300 | 271 |
Shares | Fair Value | |||||||
(000s) | ||||||||
Kimberly-Clark Corp. |
4,300 | $ | 421 | |||||
Procter & Gamble Co. |
5,200 | 401 | ||||||
|
|
|||||||
1,093 | ||||||||
|
|
|||||||
Total Consumer Staples |
5,677 | |||||||
|
|
|||||||
ENERGY - 14.13% |
||||||||
Energy Equipment & Services - 1.69% |
||||||||
Cobalt International Energy, Inc. A |
12,600 | 355 | ||||||
Helmerich & Payne, Inc. |
7,800 | 474 | ||||||
|
|
|||||||
829 | ||||||||
|
|
|||||||
Oil & Gas - 12.44% |
||||||||
Chesapeake Energy Corp. |
16,300 | 333 | ||||||
Chevron Corp. |
7,514 | 893 | ||||||
ConocoPhillips |
8,600 | 517 | ||||||
Exxon Mobil Corp. |
6,500 | 586 | ||||||
Hess Corp. |
5,300 | 380 | ||||||
HollyFrontier Corp. |
7,800 | 401 | ||||||
Marathon Petroleum Corp. |
7,200 | 645 | ||||||
Murphy Oil Corp. |
8,400 | 535 | ||||||
Phillips 66 |
3,300 | 231 | ||||||
Pioneer Natural Resources Co. |
2,600 | 323 | ||||||
SandRidge Energy, Inc. A |
69,300 | 365 | ||||||
Tesoro Corp. |
6,400 | 375 | ||||||
Valero Energy Corp. |
11,500 | 523 | ||||||
|
|
|||||||
6,107 | ||||||||
|
|
|||||||
Total Energy |
6,936 | |||||||
|
|
|||||||
FINANCIALS - 26.71% |
||||||||
Banks - 6.15% |
||||||||
Bank of America Corp. |
36,300 | 442 | ||||||
BB&T Corp. |
6,500 | 204 | ||||||
Fifth Third Bancorp |
28,100 | 458 | ||||||
Huntington Bancshares, Inc. |
51,800 | 383 | ||||||
Northern Trust Corp. |
8,500 | 464 | ||||||
Regions Financial Corp. |
34,500 | 283 | ||||||
U.S. Bancorp |
11,700 | 397 | ||||||
Wells Fargo & Co. |
10,500 | 388 | ||||||
|
|
|||||||
3,019 | ||||||||
|
|
|||||||
Diversified Financials - 7.04% |
||||||||
Ameriprise Financial, Inc. |
5,400 | 398 | ||||||
Capital One Financial Corp. |
8,600 | 473 | ||||||
Citigroup, Inc. |
7,400 | 327 | ||||||
Discover Financial Services |
13,100 | 588 | ||||||
Goldman Sachs Group, Inc. |
2,300 | 338 | ||||||
H&R Block, Inc. |
16,800 | 494 | ||||||
JPMorgan Chase & Co. |
7,500 | 356 | ||||||
SLM Corp. |
23,500 | 481 | ||||||
|
|
|||||||
3,455 | ||||||||
|
|
|||||||
Insurance - 10.32% |
||||||||
ACE Ltd. |
3,500 | 311 | ||||||
Aflac, Inc. |
9,200 | 480 | ||||||
Allstate Corp. |
9,600 | 472 | ||||||
American International Group, Inc. A |
8,300 | 322 |
Shares | Fair Value | |||||||
(000s) | ||||||||
Axis Capital Holdings Ltd. |
8,000 | $ | 333 | |||||
Berkshire Hathaway, Inc., Class B A |
3,700 | 386 | ||||||
Chubb Corp. |
3,500 | 306 | ||||||
Everest Re Group Ltd. |
1,600 | 208 | ||||||
Genworth Financial, Inc., Class A A |
39,300 | 393 | ||||||
Marsh & McLennan Cos., Inc. |
10,400 | 395 | ||||||
MetLife, Inc. |
7,900 | 300 | ||||||
PartnerRe Ltd. |
1,700 | 158 | ||||||
Prudential Financial, Inc. |
5,000 | 295 | ||||||
Reinsurance Group of America, Inc. |
3,500 | 209 | ||||||
Torchmark Corp. |
3,200 | 191 | ||||||
Travelers Cos., Inc. |
3,600 | 303 | ||||||
|
|
|||||||
5,062 | ||||||||
|
|
|||||||
Real Estate - 3.20% |
||||||||
AvalonBay Communities, Inc. B |
1,200 | 152 | ||||||
Federal Realty Investment Trust B |
4,400 | 475 | ||||||
HCP, Inc. B |
6,365 | 317 | ||||||
Ventas, Inc. B |
4,300 | 315 | ||||||
Weyerhaeuser Co. B |
9,900 | 311 | ||||||
|
|
|||||||
1,570 | ||||||||
|
|
|||||||
Total Financials |
13,106 | |||||||
|
|
|||||||
HEALTH CARE - 8.23% |
||||||||
Health Care Providers & Services - 4.82% |
||||||||
Aetna, Inc. |
8,000 | 409 | ||||||
Cigna Corp. |
9,200 | 574 | ||||||
Humana, Inc. |
3,200 | 221 | ||||||
Medtronic, Inc. |
12,800 | 601 | ||||||
WellPoint, Inc. |
8,500 | 563 | ||||||
|
|
|||||||
2,368 | ||||||||
|
|
|||||||
Pharmaceuticals - 3.41% |
||||||||
Abbott Laboratories |
5,300 | 187 | ||||||
AbbVie, Inc. |
5,300 | 216 | ||||||
Eli Lilly & Co. |
10,500 | 597 | ||||||
Johnson & Johnson |
4,000 | 326 | ||||||
Pfizer, Inc. |
12,000 | 346 | ||||||
|
|
|||||||
1,672 | ||||||||
|
|
|||||||
Total Health Care |
4,040 | |||||||
|
|
|||||||
INDUSTRIALS - 7.09% |
||||||||
Aerospace & Defense - 2.16% |
||||||||
L-3 Communications Holdings, Inc. |
6,500 | 526 | ||||||
Northrop Grumman Corp. |
7,500 | 527 | ||||||
|
|
|||||||
1,053 | ||||||||
|
|
|||||||
Airlines - 0.83% |
||||||||
Delta Air Lines, Inc. A |
24,800 | 409 | ||||||
|
|
|||||||
Commercial Services & Supplies - 1.06% |
||||||||
Cintas Corp. |
11,800 | 521 | ||||||
|
|
|||||||
Electrical Equipment - 0.75% |
||||||||
Hubbell, Inc., Class B |
3,800 | 369 | ||||||
|
|
|||||||
Industrial Conglomerates - 1.40% |
||||||||
General Electric Co. |
16,400 | 379 |
Shares | Fair Value | |||||||
(000s) | ||||||||
Textron, Inc. |
10,400 | $ | 310 | |||||
|
|
|||||||
689 | ||||||||
|
|
|||||||
Road & Rail - 0.89% |
||||||||
Norfolk Southern Corp. |
5,700 | 439 | ||||||
|
|
|||||||
Total Industrials |
3,480 | |||||||
|
|
|||||||
INFORMATION TECHNOLOGY - 8.06% |
||||||||
Computers & Peripherals - 1.89% |
||||||||
Hewlett-Packard Co. |
10,800 | 257 | ||||||
NVIDIA Corp. |
27,600 | 354 | ||||||
Western Digital Corp. |
6,300 | 317 | ||||||
|
|
|||||||
928 | ||||||||
|
|
|||||||
Electronic Equipment & Instruments - 0.92% |
||||||||
Avnet, Inc. A |
12,500 | 453 | ||||||
|
|
|||||||
IT Consulting & Services - 2.81% |
||||||||
Fidelity National Information Services, Inc. |
3,900 | 155 | ||||||
Fiserv, Inc. A |
4,000 | 351 | ||||||
Paychex, Inc. |
13,200 | 462 | ||||||
Visa, Inc., Class A |
2,400 | 407 | ||||||
|
|
|||||||
1,375 | ||||||||
|
|
|||||||
Office Electronics - 1.07% |
||||||||
Xerox Corp. |
61,000 | 525 | ||||||
|
|
|||||||
Semiconductor Equipment & Products - 0.60% |
||||||||
Intel Corp. |
13,500 | 295 | ||||||
|
|
|||||||
Software - 0.77% |
||||||||
Activision Blizzard, Inc. |
26,000 | 379 | ||||||
|
|
|||||||
Total Information Technology |
3,955 | |||||||
|
|
|||||||
MATERIALS - 2.38% |
||||||||
Chemicals - 1.49% |
||||||||
CF Industries Holdings, Inc. |
1,900 | 362 | ||||||
Westlake Chemical Corp. |
3,900 | 364 | ||||||
|
|
|||||||
726 | ||||||||
|
|
|||||||
Metals & Mining - 0.20% |
||||||||
Cliffs Natural Resources, Inc. |
5,200 | 99 | ||||||
|
|
|||||||
Paper & Forest Products - 0.69% |
||||||||
MeadWestvaco Corp. |
9,400 | 341 | ||||||
|
|
|||||||
Total Materials |
1,166 | |||||||
|
|
|||||||
TELECOMMUNICATION SERVICES - 1.96% |
||||||||
AT&T, Inc. |
15,849 | 582 | ||||||
Verizon Communications, Inc. |
7,700 | 378 | ||||||
|
|
|||||||
Total Telecommunication Services |
960 | |||||||
|
|
|||||||
UTILITIES - 6.79% |
||||||||
Electric Utilities - 5.91% |
||||||||
AES Corp. |
26,600 | 334 | ||||||
American Electric Power Co., Inc. |
10,700 | 521 | ||||||
CMS Energy Corp. |
14,300 | 400 |
Percentages are stated as a percent of net assets.
A |
Non-income producing security. |
B |
REIT - Real Estate Investment Trust. |
Futures Contracts Open on March 31, 2013 (000s):
Description |
Type |
Number of
Contracts |
Expiration Date | Contract Value |
Unrealized
Appreciation (Depreciation) |
|||||||||
S&P 500 Mini E Index Future |
Long | 14 | June, 2013 | $ | 1,094 | $ | 14 | |||||||
|
|
|
|
|||||||||||
$ | 1,094 | $ | 14 | |||||||||||
|
|
|
|
AMERICAN BEACON STEPHENS SMALL CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
March 31, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000s) | ||||||||
COMMON STOCK - 96.22% |
||||||||
CONSUMER DISCRETIONARY - 13.19% |
||||||||
Distributors - 0.85% |
||||||||
Beacon Roofing Supply, Inc. A |
62,700 | $ | 2,424 | |||||
|
|
|||||||
Hotels, Restaurants & Leisure - 5.75% |
||||||||
BJs Restaurants, Inc. A |
38,496 | 1,281 | ||||||
Buffalo Wild Wings, Inc. A |
28,800 | 2,521 | ||||||
Chuys Holdings, Inc. A B |
95,930 | 3,125 | ||||||
Ignite Restaurant Group, Inc. A |
164,170 | 2,410 | ||||||
Krispy Kreme Doughnuts, Inc. A |
250,900 | 3,623 | ||||||
National CineMedia, Inc. |
224,000 | 3,535 | ||||||
|
|
|||||||
16,495 | ||||||||
|
|
|||||||
Media - 4.02% |
||||||||
Acacia Research Corp. A |
111,800 | 3,373 | ||||||
IMAX Corp. A B |
126,056 | 3,369 | ||||||
Lions Gate Entertainment Corp. A B |
200,300 | 4,762 | ||||||
|
|
|||||||
11,504 | ||||||||
|
|
|||||||
Specialty Retail - 2.57% |
||||||||
Aarons, Inc. |
121,218 | 3,476 | ||||||
Cabelas, Inc. A |
33,300 | 2,024 | ||||||
Titan Machinery, Inc. A B C |
66,700 | 1,851 | ||||||
|
|
|||||||
7,351 | ||||||||
|
|
|||||||
Total Consumer Discretionary |
37,774 | |||||||
|
|
|||||||
CONSUMER STAPLES - 5.79% |
||||||||
Food & Drug Retailing - 3.55% |
||||||||
Andersons, Inc. |
32,000 | 1,713 | ||||||
Annies, Inc. A B |
54,562 | 2,088 | ||||||
Fresh Market, Inc. A |
68,000 | 2,908 | ||||||
United Natural Foods, Inc. A |
70,540 | 3,470 | ||||||
|
|
|||||||
10,179 | ||||||||
|
|
|||||||
Food Products - 1.36% |
||||||||
Boulder Brands, Inc. A B |
187,900 | 1,687 | ||||||
TreeHouse Foods, Inc. A |
33,900 | 2,209 | ||||||
|
|
|||||||
3,896 | ||||||||
|
|
|||||||
Personal Products - 0.88% |
||||||||
Steiner Leisure Ltd. A |
52,000 | 2,515 | ||||||
|
|
|||||||
Total Consumer Staples |
16,590 | |||||||
|
|
|||||||
ENERGY - 8.12% |
||||||||
Energy Equipment & Services - 4.69% |
||||||||
Dril-Quip, Inc. A |
30,100 | 2,623 | ||||||
Forum Energy Technologies, Inc. A B |
85,800 | 2,468 | ||||||
Hercules Offshore, Inc. A |
299,700 | 2,224 | ||||||
Hornbeck Offshore Services, Inc. A |
39,100 | 1,817 | ||||||
Oil States International, Inc. A |
30,100 | 2,455 | ||||||
Pacific Drilling S.A. A |
184,800 | 1,866 | ||||||
|
|
|||||||
13,453 | ||||||||
|
|
|||||||
Oil & Gas - 3.43% |
||||||||
Carrizo Oil & Gas, Inc. A |
90,400 | 2,330 |
Shares | Fair Value | |||||||
(000s) | ||||||||
Halcon Resources Corp. A |
268,789 | $ | 2,094 | |||||
Kodiak Oil & Gas Corp. A |
191,700 | 1,743 | ||||||
Pioneer Energy Services Corp. A |
282,500 | 2,330 | ||||||
Rosetta Resources, Inc. A |
27,600 | 1,313 | ||||||
|
|
|||||||
9,810 | ||||||||
|
|
|||||||
Total Energy |
23,263 | |||||||
|
|
|||||||
FINANCIALS - 10.24% |
||||||||
Banks - 1.52% |
||||||||
East West Bancorp, Inc. |
74,300 | 1,907 | ||||||
SVB Financial Group A |
34,600 | 2,455 | ||||||
|
|
|||||||
4,362 | ||||||||
|
|
|||||||
Diversified Financials - 5.95% |
||||||||
Cardtronics, Inc. A |
111,700 | 3,067 | ||||||
Encore Capital Group, Inc. A |
122,091 | 3,675 | ||||||
Euronet Worldwide, Inc. A |
100,000 | 2,634 | ||||||
First Cash Financial Services, Inc. A |
67,201 | 3,921 | ||||||
Portfolio Recovery Associates, Inc. |
29,400 | 3,731 | ||||||
|
|
|||||||
17,028 | ||||||||
|
|
|||||||
Insurance - 2.77% |
||||||||
Hilltop Holdings, Inc. A |
149,400 | 2,015 | ||||||
ProAssurance Corp. |
57,600 | 2,726 | ||||||
Radian Group, Inc. B |
298,900 | 3,202 | ||||||
|
|
|||||||
7,943 | ||||||||
|
|
|||||||
Total Financials |
29,333 | |||||||
|
|
|||||||
HEALTH CARE - 19.71% |
||||||||
Biotechnology - 4.79% |
||||||||
Cepheid, Inc. A |
76,900 | 2,951 | ||||||
Cubist Pharmaceuticals, Inc. A |
34,600 | 1,620 | ||||||
Myriad Genetics, Inc. A |
89,729 | 2,279 | ||||||
Neogen Corp. A |
77,200 | 3,827 | ||||||
Polypore International, Inc. A B |
44,300 | 1,780 | ||||||
Techne Corp. |
18,500 | 1,255 | ||||||
|
|
|||||||
13,712 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies - 4.17% |
||||||||
Abaxis, Inc. |
34,387 | 1,627 | ||||||
Medidata Solutions, Inc. A |
68,621 | 3,979 | ||||||
NuVasive, Inc. A |
118,080 | 2,516 | ||||||
Thoratec Corp. A |
62,100 | 2,329 | ||||||
Volcano Corp. A B |
66,905 | 1,489 | ||||||
|
|
|||||||
11,940 | ||||||||
|
|
|||||||
Health Care Providers & Services - 5.18% |
||||||||
Acadia Healthcare Co. Inc A |
71,200 | 2,093 | ||||||
Advisory Board Co. A |
72,725 | 3,820 | ||||||
IPC The Hospitalist Co., Inc. A |
62,460 | 2,778 | ||||||
PAREXEL International Corp. A |
103,900 | 4,105 | ||||||
VCA Antech, Inc. A |
87,155 | 2,047 | ||||||
|
|
|||||||
14,843 | ||||||||
|
|
|||||||
Pharmaceuticals - 5.57% |
||||||||
Akorn, Inc. A |
196,900 | 2,723 | ||||||
Greenway Medical Technologies A B |
91,800 | 1,460 |
Shares | Fair Value | |||||||
(000s) | ||||||||
ICON PLC A |
105,700 | $ | 3,413 | |||||
Pacira Pharmaceuticals, Inc. A B C |
84,200 | 2,430 | ||||||
Proto Labs, Inc. A |
87,340 | 4,288 | ||||||
Salix Pharmaceuticals Ltd. A |
32,000 | 1,638 | ||||||
|
|
|||||||
15,952 | ||||||||
|
|
|||||||
Total Health Care |
56,447 | |||||||
|
|
|||||||
INDUSTRIALS - 14.10% |
||||||||
Air Freight & Couriers - 0.93% |
||||||||
Echo Global Logistics, Inc. A |
120,600 | 2,668 | ||||||
|
|
|||||||
Building Products - 0.53% |
||||||||
Trex Co. Inc A |
30,800 | 1,515 | ||||||
|
|
|||||||
Commercial Services & Supplies - 7.38% |
||||||||
Clean Harbors, Inc. A |
28,600 | 1,661 | ||||||
Corporate Executive Board Co. |
54,000 | 3,141 | ||||||
CoStar Group, Inc. A |
45,101 | 4,936 | ||||||
HMS Holdings Corp. A |
98,700 | 2,680 | ||||||
Liquidity Services, Inc. A B |
48,970 | 1,460 | ||||||
Marlin Business Services Corp. |
70,779 | 1,641 | ||||||
Tetra Tech, Inc. A |
66,700 | 2,034 | ||||||
WageWorks, Inc. A |
141,702 | 3,546 | ||||||
|
|
|||||||
21,099 | ||||||||
|
|
|||||||
Construction & Engineering - 1.21% |
||||||||
Aegion Corp. A |
60,100 | 1,391 | ||||||
Mistras Group, Inc. A |
86,058 | 2,084 | ||||||
|
|
|||||||
3,475 | ||||||||
|
|
|||||||
Industrial Conglomerates - 0.41% |
||||||||
RPX Corp. A |
83,900 | 1,184 | ||||||
|
|
|||||||
Machinery - 2.31% |
||||||||
Chart Industries, Inc. A |
20,746 | 1,660 | ||||||
ExOne Co. A B |
13,823 | 463 | ||||||
Flow International Corp. A |
360,600 | 1,410 | ||||||
Lindsay Corp. |
15,300 | 1,349 | ||||||
Valmont Industries, Inc. |
11,100 | 1,746 | ||||||
|
|
|||||||
6,628 | ||||||||
|
|
|||||||
Road & Rail - 0.56% |
||||||||
Knight Transportation, Inc. |
99,400 | 1,600 | ||||||
|
|
|||||||
Trading Companies & Distributors - 0.77% |
||||||||
MSC Industrial Direct Co., Inc., Class A |
25,645 | 2,200 | ||||||
|
|
|||||||
Total Industrials |
40,369 | |||||||
|
|
|||||||
INFORMATION TECHNOLOGY - 23.84% |
||||||||
Communications Equipment - 1.49% |
||||||||
Aruba Networks, Inc. A |
137,900 | 3,412 | ||||||
Procera Networks, Inc. A |
73,019 | 868 | ||||||
|
|
|||||||
4,280 | ||||||||
|
|
|||||||
Computers & Peripherals - 1.00% |
||||||||
Stratasys Ltd. A B |
38,400 | 2,850 | ||||||
|
|
|||||||
Electronic Equipment & Instruments - 2.28% |
||||||||
Hittite Microwave Corp. A |
35,800 | 2,168 |
Shares | Fair Value | |||||||
(000s) | ||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class D |
25,961,265 | $ | 25,961 | |||||
|
|
|||||||
Total Securities Lending Collateral (Cost $34,499) |
34,499 | |||||||
|
|
|||||||
TOTAL INVESTMENTS - 111.29% (Cost $270,396) |
318,690 | |||||||
LIABILITIES, NET OF OTHER ASSETS - (11.29%) |
(32,322 | ) | ||||||
|
|
|||||||
TOTAL NET ASSETS - 100.00% |
$ | 286,368 | ||||||
|
|
|||||||
Percentages are stated as a percent of net assets.
A |
Non-income producing security. |
B |
All or a portion of this security is on loan at March 31, 2013. |
C |
Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $5,998 or 2.09% of net assets. The Fund has no right to demand registration of these securities. |
D |
The fund is affiliated by having the same investment advisor. |
AMERICAN BEACON STEPHENS MID-CAP GROWTH FUND
SCHEDULE OF INVESTMENTS
March 31, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000s) | ||||||||
COMMON STOCK - 97.76% |
||||||||
CONSUMER DISCRETIONARY - 19.64% |
||||||||
Auto Components -1.42% |
||||||||
LKQ Corp. A |
43,450 | $ | 945 | |||||
|
|
|||||||
Automobiles - 0.35% |
||||||||
Tesla Motors, Inc. A |
6,100 | 231 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure - 1.52% |
||||||||
Chipotle Mexican Grill, Inc. A |
1,000 | 326 | ||||||
Panera Bread Co., Class A A |
4,150 | 686 | ||||||
|
|
|||||||
1,012 | ||||||||
|
|
|||||||
Leisure Equipment & Products - 0.99% |
||||||||
Polaris Industries, Inc. |
7,100 | 657 | ||||||
|
|
|||||||
Media - 4.60% |
||||||||
Cinemark Holdings, Inc. |
22,500 | 662 | ||||||
Discovery Communications, Inc., Class C A |
16,000 | 1,113 | ||||||
IMAX Corp. A |
22,577 | 603 | ||||||
Lions Gate Entertainment Corp. A |
28,550 | 679 | ||||||
|
|
|||||||
3,057 | ||||||||
|
|
|||||||
Multiline Retail - 0.87% |
||||||||
Nordstrom, Inc. |
10,450 | 577 | ||||||
|
|
|||||||
Specialty Retail - 7.86% |
||||||||
Cabelas, Inc. A |
15,200 | 924 | ||||||
CarMax, Inc. A |
23,700 | 989 | ||||||
Ross Stores, Inc. |
15,200 | 921 | ||||||
Tractor Supply Co. |
7,500 | 781 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. |
9,650 | 783 | ||||||
Urban Outfitters, Inc. A |
21,300 | 825 | ||||||
|
|
|||||||
5,223 | ||||||||
|
|
|||||||
Textiles & Apparel - 2.03% |
||||||||
Lululemon Athletica, Inc. A |
9,650 | 602 | ||||||
Under Armour, Inc., Class A A |
14,600 | 747 | ||||||
|
|
|||||||
1,349 | ||||||||
|
|
|||||||
Total Consumer Discretionary |
13,051 | |||||||
|
|
|||||||
CONSUMER STAPLES - 4.95% |
||||||||
Beverages - 2.11% |
||||||||
Brown-Forman Corp., Class B |
11,030 | 788 | ||||||
Monster Beverage Corp. A |
12,850 | 613 | ||||||
|
|
|||||||
1,401 | ||||||||
|
|
|||||||
Food & Drug Retailing - 2.84% |
||||||||
Fresh Market, Inc. A |
13,650 | 584 | ||||||
United Natural Foods, Inc. A |
9,100 | 448 | ||||||
Whole Foods Market, Inc. |
9,850 | 854 | ||||||
|
|
|||||||
1,886 | ||||||||
|
|
|||||||
Total Consumer Staples |
3,287 | |||||||
|
|
Shares | Fair Value | |||||||
(000s) | ||||||||
ENERGY - 9.97% |
||||||||
Energy Equipment & Services - 7.02% |
||||||||
Core Laboratories N.V. |
6,700 | $ | 923 | |||||
Dril-Quip, Inc. A |
9,500 | 828 | ||||||
Ensco plc, Class A |
7,900 | 474 | ||||||
FMC Technologies, Inc. A |
10,480 | 570 | ||||||
Oceaneering International, Inc. |
11,850 | 787 | ||||||
Oil States International, Inc. A |
6,700 | 547 | ||||||
Superior Energy Services, Inc. A |
20,550 | 534 | ||||||
|
|
|||||||
4,663 | ||||||||
|
|
|||||||
Oil & Gas - 2.95% |
||||||||
Pioneer Natural Resources Co. |
2,950 | 367 | ||||||
Range Resources Corp. |
7,700 | 623 | ||||||
Southwestern Energy Co. A |
9,660 | 360 | ||||||
Whiting Petroleum Corp. A |
12,050 | 613 | ||||||
|
|
|||||||
1,963 | ||||||||
|
|
|||||||
Total Energy |
6,626 | |||||||
|
|
|||||||
FINANCIALS - 7.01% |
||||||||
Banks - 1.92% |
||||||||
East West Bancorp, Inc. |
25,050 | 643 | ||||||
SVB Financial Group A |
8,900 | 631 | ||||||
|
|
|||||||
1,274 | ||||||||
|
|
|||||||
Diversified Financials - 4.08% |
||||||||
Affiliated Managers Group, Inc. A |
5,930 | 911 | ||||||
IntercontinentalExchange, Inc. A |
5,350 | 872 | ||||||
Portfolio Recovery Associates, Inc. |
7,300 | 927 | ||||||
|
|
|||||||
2,710 | ||||||||
|
|
|||||||
Insurance - 1.01% |
||||||||
ProAssurance Corp. |
14,200 | 672 | ||||||
|
|
|||||||
Total Financials |
4,656 | |||||||
|
|
|||||||
HEALTH CARE - 18.27% |
||||||||
Biotechnology - 3.47% |
||||||||
Alexion Pharmaceuticals, Inc. A |
3,750 | 346 | ||||||
Cepheid, Inc. A |
14,600 | 560 | ||||||
Life Technologies Corp. A |
7,500 | 485 | ||||||
Polypore International, Inc. A |
7,700 | 309 | ||||||
QIAGEN N.V. A |
28,600 | 603 | ||||||
|
|
|||||||
2,303 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies - 7.31% |
||||||||
Hologic, Inc. A |
22,050 | 498 | ||||||
Idexx Laboratories, Inc. A |
7,300 | 674 | ||||||
Illumina, Inc. A |
13,400 | 724 | ||||||
Intuitive Surgical, Inc. A |
1,555 | 764 | ||||||
ResMed, Inc. |
18,550 | 859 | ||||||
Sirona Dental Systems, Inc. |
6,500 | 479 | ||||||
Varian Medical Systems, Inc. A |
6,300 | 454 | ||||||
Waters Corp. A |
4,350 | 409 | ||||||
|
|
|||||||
4,861 | ||||||||
|
|
Shares | Fair Value | |||||||
(000s) | ||||||||
Health Care Providers & Services - 6.31% |
||||||||
Catamaran Corp. A |
18,950 | $ | 1,005 | |||||
Cerner Corp. A |
13,840 | 1,312 | ||||||
Covance, Inc. A |
10,480 | 779 | ||||||
Henry Schein, Inc. A |
6,895 | 638 | ||||||
VCA Antech, Inc. A |
19,730 | 463 | ||||||
|
|
|||||||
4,197 | ||||||||
|
|
|||||||
Pharmaceuticals - 1.18% |
||||||||
Salix Pharmaceuticals Ltd. A |
7,500 | 384 | ||||||
Shire PLC, ADR B |
4,355 | 398 | ||||||
|
|
|||||||
782 | ||||||||
|
|
|||||||
Total Health Care |
12,143 | |||||||
|
|
|||||||
INDUSTRIALS - 13.07% |
||||||||
Aerospace & Defense - 1.23% |
||||||||
B/E Aerospace, Inc. A |
13,600 | 820 | ||||||
|
|
|||||||
Commercial Services & Supplies - 6.64% |
||||||||
Clean Harbors, Inc. A |
9,100 | 529 | ||||||
Factset Research Systems, Inc. |
3,950 | 366 | ||||||
HMS Holdings Corp. A |
22,700 | 616 | ||||||
Iron Mountain, Inc. |
18,898 | 686 | ||||||
Stericycle, Inc. A |
10,850 | 1,153 | ||||||
Verisk Analytics, Inc., Class A A |
17,350 | 1,069 | ||||||
|
|
|||||||
4,419 | ||||||||
|
|
|||||||
Electrical Equipment - 0.88% |
||||||||
IPG Photonics Corp. |
3,150 | 209 | ||||||
Roper Industries, Inc. |
2,950 | 376 | ||||||
|
|
|||||||
585 | ||||||||
|
|
|||||||
Machinery - 1.98% |
||||||||
Pall Corp. |
6,900 | 472 | ||||||
Valmont Industries, Inc. |
5,350 | 841 | ||||||
|
|
|||||||
1,313 | ||||||||
|
|
|||||||
Road & Rail - 0.60% |
||||||||
JB Hunt Transport Services, Inc. |
5,350 | 398 | ||||||
|
|
|||||||
Trading Companies & Distributors - 1.74% |
||||||||
Fastenal Co. |
8,310 | 427 | ||||||
MSC Industrial Direct Co., Inc., Class A |
8,480 | 727 | ||||||
|
|
|||||||
1,154 | ||||||||
|
|
|||||||
Total Industrials |
8,689 | |||||||
|
|
|||||||
INFORMATION TECHNOLOGY - 23.38% |
||||||||
Communications Equipment - 2.17% |
||||||||
Aruba Networks, Inc. A |
24,700 | 610 | ||||||
F5 Networks, Inc. A |
5,700 | 508 | ||||||
Palo Alto Networks, Inc. A |
5,700 | 323 | ||||||
|
|
|||||||
1,441 | ||||||||
|
|
|||||||
Computers & Peripherals - 1.72% |
||||||||
SanDisk Corp. A |
9,100 | 501 | ||||||
Stratasys Ltd. A |
5,700 | 423 | ||||||
Teradata Corp. A |
3,750 | 219 | ||||||
|
|
|||||||
1,143 | ||||||||
|
|
|||||||
Electronic Equipment & Instruments - 0.68% |
||||||||
Trimble Navigation Ltd. A |
15,020 | 450 | ||||||
|
|
Percentages are stated as a percent of net assets.
A Non-income producing security.
B ADR - American Depositary Receipt.
AMERICAN BEACON FUNDS SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS
Security Valuation and Fair Value Measurements
Investments are valued at the close of the New York Stock Exchange (the Exchange), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities, including exchange-traded funds (ETFs), for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. Prices of debt securities may be determined using quotes obtained from brokers.
Investments in open-end mutual funds are valued at the closing net asset value (NAV) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates market value.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at a fair value following procedures approved by the Board of Trustees (the Board).
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (variation margin) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
For valuation purposes, the last quoted price of non U.S. equity securities may be adjusted under the circumstances described below. If the Fund determines that developments between the close of a foreign market and the close of the NYSE will, in its judgment, materially affect the value of some or all of its portfolio securities, the Fund will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the NYSE. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Fund reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. A Fund may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. Adjustments to closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.
Valuation Inputs
Various inputs may be used to determine the value of the Funds investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 - | Quoted prices in active markets for identical securities. | |
Level 2 - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities include fixed-income securities that are valued using observable inputs as stated above. | |
Level 3 - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Common stocks and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Fixed income securities including corporate, U.S. government agencies, and U.S. treasury obligations, are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.
The Funds investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (U.S. GAAP) also requires all transfers between any levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of each Funds assets and liabilities. During the period ended March 31, 2013, there were no transfers between levels. As of March 31, 2013, the investments were classified as described below (in thousands):
Treasury Inflation Protected Securities Fund |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations |
$ | | $ | 211,278 | $ | | $ | 211,278 | ||||||||
Short-Term Investments - Money Market Funds |
2,946 | | | 2,946 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 2,946 | $ | 211,278 | $ | | $ | 214,224 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Holland Large-Cap Growth Fund |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock |
$ | 73,078 | $ | | $ | | $ | 73,078 | ||||||||
Short-Term Investments - Money Market Funds |
1,281 | | | 1,281 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 74,359 | $ | | $ | | $ | 74,359 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts |
$ | 18 | $ | | $ | | $ | 18 | ||||||||
Bridgeway Large Cap Value Fund |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock |
$ | 47,236 | $ | | $ | | $ | 47,236 | ||||||||
Short-Term Investments - Money Market Funds |
1,940 | | | 1,940 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 49,176 | $ | | $ | | $ | 49,176 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts |
$ | 14 | $ | | $ | | $ | 14 |
Stephens Small Cap Growth Fund |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock |
$ | 275,545 | $ | | $ | | $ | 275,545 | ||||||||
Short-Term Investments - Money Market Funds |
8,646 | | | 8,646 | ||||||||||||
Securities Lending Collateral invested in Money Market Funds |
34,499 | | | 34,499 | ||||||||||||
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Total Investments in Securities |
$ | 318,690 | $ | | $ | | $ | 318,690 | ||||||||
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Stephens Mid-Cap Growth Fund |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock |
$ | 64,975 | $ | | $ | | $ | 64,975 | ||||||||
Short-Term Investments - Money Market Funds |
1,348 | | | 1,348 | ||||||||||||
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Total Investments in Securities |
$ | 66,323 | $ | | $ | | $ | 66,323 | ||||||||
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Securities and Other Investments
Treasury Inflation Protected Securities
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
Restricted Securities
The Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding at the period ended March 31, 2013 are disclosed in the Notes to the Schedules of Investments.
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts (REITs) which report information on the source of their distributions annually. The Funds re-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.
Other Investment Company Securities and Other Exchange Traded Products
The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (ETNs), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Funds proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Funds own operations. These
other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuers portfolio securities.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. Certain Funds may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Funds are required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents 5% of the face value of the futures contract. The initial margin amount is reflected as a Deposit with broker for futures contracts on the Statements of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
Federal Income and Excise Taxes
Cost of Investments for Federal Income Tax Purposes
As of March 31, 2013, the Funds cost of investments for federal income tax purposes were as follows (in thousands):
Cost of
Investments for Federal Income Tax Purposes |
Unrealized
Appreciation |
Unrealized
Depreciation |
Net
Unrealized Appreciation / (Depreciation) |
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TIPs Fund |
$ | 211,400 | $ | 2,827 | $ | (3 | ) | $ | 2,824 | |||||||
Holland Large Cap Growth Fund |
$ | 51,940 | $ | 23,317 | $ | (898 | ) | $ | 22,419 | |||||||
Bridgeway Large Cap Value Fund |
$ | 41,069 | $ | 8,416 | $ | (309 | ) | $ | 8,107 | |||||||
Stephens Small Cap Growth Fund |
$ | 271,242 | $ | 51,043 | $ | (3,595 | ) | $ | 47,448 | |||||||
Stephens Mid-Cap Growth Fund |
$ | 52,620 | $ | 14,115 | $ | (412 | ) | $ | 13,703 |
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trusts internal control over financial reporting during the Trusts last fiscal quarter that materially affected, or were reasonably likely to materially affect, the Trusts internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as
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.
AMERICAN BEACON FUNDS | ||
By: |
/s/ Gene L. Needles, Jr. |
|
Gene L. Needles, Jr. |
||
President |
Date: May 30, 2013
By: |
/s/ Melinda G. Heika |
|
Melinda G. Heika | ||
Treasurer |
Date: May 30, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/ Gene L. Needles, Jr. |
|
Gene L. Needles, Jr. | ||
President |
Date: May 30, 2013
By: |
/s/ Melinda G. Heika |
|
Melinda G. Heika | ||
Treasurer |
Date: May 30, 2013