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)

220 East Las Colinas Blvd., Suite 1200

Irving, Texas 75039

(Address of principal executive offices) (Zip code)

Gene L. Needles, Jr., PRESIDENT

220 East Las Colinas Blvd., Suite 1200

Irving, Texas 75039

(Name and address of agent for service)

Registrant’s telephone number, including area code: (817) 391-6100

Date of fiscal year end: December 31, 2015

Date of reporting period: March 31, 2015

Form N-Q is to be used by management investment companies, other than small business investment 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. SCHEDULE 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, 2015 is provided below.

Schedule of Investments March 31, 2015 (Unaudited)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 7.1%
AGL Energy, Ltd.		145,670	$	1,686,433
ALS Ltd.		92,006		345,586
Alumina Ltd.		512,206		623,310
Amcor Ltd.		267,014		2,845,021
AMP Ltd.		649,924		3,172,181
APA Group		260,454		1,791,428
Asciano Ltd.		211,529		1,017,239
ASX Ltd.		44,552		1,401,668
Aurizon Holdings Ltd.		462,702		1,703,074
AusNet Services		449,402		498,761
Australia & New Zealand Banking Group Ltd.		604,247		16,810,259
Bank of Queensland Ltd.		78,442		821,976
Bendigo and Adelaide Bank Ltd.		97,453		928,616
BGP Holdings PLC (a)		783,183		8
BHP Billiton Ltd.		709,967		16,502,483
Boral Ltd.		161,277		781,778
Brambles Ltd.		346,342		3,028,830
Caltex Australia Ltd.		30,182		801,012
Coca-Cola Amatil Ltd.		127,342		1,042,594
Cochlear Ltd.		13,689		941,074
Commonwealth Bank of Australia		356,446		25,282,929
Computershare Ltd.		102,841		994,044
Crown Resorts Ltd.		82,136		833,676
CSL Ltd.		103,795		7,261,739
Dexus Property Group		191,750		1,103,919
Federation Centres Ltd.		290,920		671,536
Flight Centre Travel Group Ltd.		12,329		371,074
Fortescue Metals Group Ltd. (b)		342,631		507,196
Goodman Group		375,441		1,807,804
GPT Group		387,750		1,346,792
Harvey Norman Holdings Ltd.		122,036		412,485
Healthscope Ltd.		246,247		572,485
Iluka Resources Ltd.		99,532		641,576
Incitec Pivot Ltd.		372,663		1,151,062
Insurance Australia Group Ltd.		524,673		2,428,704
Leighton Holdings Ltd.		23,200		371,749
Lend Lease Group		120,232		1,518,601
Macquarie Group Ltd.		63,403		3,685,387
Medibank Pvt, Ltd. (a)		576,866		1,017,384
Mirvac Group		775,736		1,184,481
National Australia Bank Ltd.		523,090		15,313,086
Newcrest Mining Ltd. (a)		169,932		1,713,849
Novion Property Group		496,915		946,607
Orica Ltd.		77,792		1,181,292
Origin Energy Ltd.		250,305		2,145,552
Platinum Asset Management Ltd.		50,793		301,749
Qantas Airways Ltd. (a)		112,951		267,909
QBE Insurance Group Ltd.		297,857		2,944,260
Ramsay Health Care Ltd.		29,991		1,531,209
REA Group Ltd.		13,923		510,011
Rio Tinto Ltd.		95,091		4,120,294
Santos Ltd.		213,333		1,154,002
Scentre Group		1,168,351		3,319,091

Common Stocks	Shares		Value
Australia (concluded)
Seek Ltd.		70,701	$	916,691
Sonic Healthcare Ltd.		79,491		1,234,963
Stockland		507,923		1,735,361
Suncorp Group Ltd.		283,857		2,910,841
Sydney Airport		221,305		870,874
Tabcorp Holdings Ltd.		189,516		682,826
Tatts Group Ltd.		325,611		985,096
Telstra Corp. Ltd.		942,962		4,526,647
Toll Holdings Ltd.		151,740		1,020,915
TPG Telecom Ltd.		63,778		442,771
Transurban Group		401,473		2,907,015
Treasury Wine Estates Ltd.		149,095		579,295
Wesfarmers Ltd.		249,441		8,329,810
Westfield Corp.		433,816		3,143,914
Westpac Banking Corp.		682,531		20,401,567
Woodside Petroleum Ltd.		165,716		4,341,581
Woolworths Ltd.		275,827		6,176,867
WorleyParsons Ltd.		39,073		282,779
				206,846,678
Austria — 0.2%
Andritz AG		17,694		1,056,457
Erste Group Bank AG		60,899		1,497,156
IMMOFINANZ AG (a)		211,895		624,070
OMV AG		33,108		908,203
Raiffeisen Bank International AG		21,912		304,515
Strabag SE		30,711		—
Vienna Insurance Group AG		8,077		357,622
Voestalpine AG		24,354		890,870
				5,638,893
Belgium — 1.3%
Ageas		47,677		1,712,200
Anheuser-Busch InBev NV		177,757		21,715,751
Belgacom SA		35,043		1,226,095
Colruyt SA		16,370		712,468
Delhaize Group		22,247		1,998,673
Groupe Bruxelles Lambert SA		17,077		1,415,840
KBC Groep NV (a)		55,357		3,421,193
Solvay SA		12,840		1,856,023
Telenet Group Holding NV (a)		12,687		698,107
UCB SA		26,975		1,948,702
Umicore SA		20,578		859,444
				37,564,496
Denmark — 1.6%
A.P. Moeller - Maersk A/S, Class A		839		1,703,712
A.P. Moeller - Maersk A/S, Class B		1,570		3,281,656
Carlsberg A/S, Class B		22,974		1,894,351
Coloplast A/S, Class B		23,743		1,793,667
Danske Bank A/S		143,478		3,782,531
DSV A/S		41,697		1,295,892
ISS A/S (a)		26,336		830,107

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 1

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Denmark (concluded)
Novo Nordisk A/S, Class B		443,648	$	23,683,595
Novozymes A/S, Class B		53,883		2,459,703
Pandora A/S		24,646		2,243,897
TDC A/S		180,713		1,294,801
Tryg A/S		4,978		585,455
Vestas Wind Systems A/S		48,205		1,987,535
William Demant Holding A/S (a)		5,076		430,996
				47,267,898
Finland — 0.9%
Elisa OYJ		29,105		730,930
Fortum OYJ		100,683		2,109,328
Kone OYJ, Class B		68,975		3,058,372
Metso OYJ		26,649		778,597
Neste Oil OYJ		25,426		667,177
Nokia OYJ		823,516		6,279,108
Nokian Renkaat OYJ		23,350		695,872
Orion OYJ, Class B		23,938		674,756
Sampo OYJ, Class A		99,788		5,033,147
Stora Enso OYJ, Class R		118,803		1,221,536
UPM-Kymmene OYJ		114,729		2,228,835
Wartsila OYJ		32,969		1,458,233
				24,935,891
France — 9.6%
Accor SA		37,445		1,952,610
Aeroports de Paris		5,931		708,898
Air Liquide SA		76,327		9,826,290
Airbus Group NV		128,662		8,364,429
Alcatel-Lucent (a)		599,383		2,253,355
Alstom SA (a)		47,225		1,453,169
ArcelorMittal		224,826		2,109,449
Arkema		14,849		1,175,979
AtoS		16,799		1,156,378
AXA SA		402,230		10,123,798
BNP Paribas SA		234,161		14,247,762
Bollore SA		191,273		1,019,144
Bollore SA (a)		200		1,049
Bouygues SA		37,554		1,474,211
Bureau Veritas SA		58,630		1,257,892
Cap Gemini SA		30,471		2,499,889
Carrefour SA		136,317		4,553,933
Casino Guichard-Perrachon SA		11,841		1,048,474
Christian Dior SA		12,358		2,325,996
Cie Generale des Etablissements Michelin		40,770		4,054,368
CNP Assurances		35,304		618,761
Compagnie de Saint-Gobain		98,898		4,342,342
Credit Agricole SA		227,128		3,337,637
Danone SA		128,599		8,668,583
Dassault Systemes SA		27,749		1,877,897
Edenred		48,112		1,200,389
EDF		52,815		1,266,413

Common Stocks	Shares		Value
France (continued)
Essilor International SA		44,592	$	5,119,837
Eurazeo		8,996		616,521
Eutelsat Communications SA		32,984		1,094,120
Fonciere Des Regions (a)		414		39,953
Fonciere Des Regions		6,633		656,825
GDF Suez		317,403		6,266,494
Gecina SA		6,152		832,064
Groupe Eurotunnel SA, Registered Shares		107,013		1,534,142
Hermes International		6,001		2,118,861
ICADE		7,932		716,618
Iliad SA		5,861		1,369,434
Imerys SA		8,311		609,805
JCDecaux SA		16,544		557,102
Kering		16,658		3,251,954
Klepierre		38,144		1,873,104
L’Oreal SA		55,635		10,247,450
Lafarge SA		41,241		2,681,103
Lagardere SCA		27,158		816,245
Legrand SA		58,354		3,160,906
LVMH Moet Hennessy Louis Vuitton SA		61,724		10,862,379
Natixis		210,350		1,575,645
Numericable-SFR (a)		22,719		1,239,508
Orange SA		406,089		6,521,613
Pernod Ricard SA		46,336		5,478,849
Peugeot SA (a)		85,406		1,427,614
Publicis Groupe SA		41,004		3,163,729
Remy Cointreau SA		5,536		407,724
Renault SA		42,011		3,815,861
Rexel SA		63,283		1,193,250
Safran SA		64,532		4,508,952
Sanofi		262,556		25,929,767
Schneider Electric SE		116,438		9,061,064
SCOR SE		33,603		1,133,352
SES SA		68,519		2,429,012
Societe BIC SA		6,127		872,918
Societe Generale SA		159,017		7,677,660
Sodexo		20,220		1,972,124
Suez Environnement Co.		63,813		1,098,638
Technip SA		22,724		1,374,524
Thales SA		21,062		1,168,571
Total SA		470,292		23,376,806
Unibail-Rodamco SE		21,639		5,842,573
Valeo SA		17,153		2,558,459
Vallourec SA		21,012		512,850
Veolia Environnement SA		91,896		1,738,082
Vinci SA		103,017		5,885,742
Vivendi SA (a)		266,837		6,624,973
Wendel SA		6,223		741,752

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 2

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
France (concluded)
Zodiac Aerospace		42,277	$	1,398,800
				278,074,424
Germany — 9.4%
adidas AG		45,916		3,625,677
Allianz SE, Registered Shares		101,024		17,539,447
Axel Springer AG		9,650		569,560
BASF SE		201,569		19,954,434
Bayer AG, Registered Shares		182,803		27,350,229
Bayerische Motoren Werke AG		73,372		9,137,391
Bayerische Motoren Werke AG, Preference Shares		12,181		1,125,106
Beiersdorf AG		21,699		1,881,511
Brenntag AG		33,322		1,990,808
Celesio AG		12,746		376,385
Commerzbank AG (a)		214,448		2,946,771
Continental AG		24,395		5,744,935
Daimler AG, Registered Shares		211,364		20,298,284
Deutsche Annington Immobilien SE		75,262		2,536,151
Deutsche Bank AG, Registered Shares		305,442		10,585,926
Deutsche Boerse AG		42,902		3,501,186
Deutsche Lufthansa AG, Registered Shares		53,816		753,568
Deutsche Post AG, Registered Shares		213,926		6,664,841
Deutsche Telekom AG, Registered Shares		701,834		12,836,832
Deutsche Wohnen AG, Bearer Shares		63,355		1,620,415
E.ON SE		439,026		6,527,843
Fraport AG Frankfurt Airport Services Worldwide		7,087		423,320
Fresenius Medical Care AG & Co. KGaA		47,543		3,951,856
Fresenius SE & Co. KGaA		82,699		4,930,225
Fuchs Petrolub SE, Preference Shares		15,102		602,364
GEA Group AG		39,573		1,902,329
Hannover Rueck SE		12,795		1,322,166
HeidelbergCement AG		31,860		2,519,563
Henkel AG & Co. KGaA		26,131		2,696,532
Henkel AG & Co. KGaA, Preference Shares		38,879		4,566,781
Hugo Boss AG		12,291		1,493,254
Infineon Technologies AG		250,919		2,985,165
K+S AG, Registered Shares		36,888		1,201,887
Kabel Deutschland Holding AG (a)		5,530		717,837
Lanxess AG		20,366		1,083,166
Linde AG		41,246		8,387,342
MAN SE		7,261		764,359
Merck KGaA		28,636		3,204,879
Metro AG		36,725		1,244,604

Common Stocks	Shares		Value
Germany (concluded)
Muenchener Rueckversicherungs AG, Registered Shares		37,811	$	8,124,908
Osram Licht AG		20,870		1,033,127
Porsche Automobil Holding SE, Preference Shares		33,796		3,309,587
ProSiebenSat.1 Media AG, Registered Shares		49,886		2,440,069
RWE AG		108,118		2,752,678
SAP AG		203,678		14,721,306
Siemens AG, Registered Shares		175,277		18,956,937
Symrise AG		26,862		1,693,747
Telefonica Deutschland Holding AG (a)		122,544		704,681
ThyssenKrupp AG		101,048		2,645,457
TUI AG		94,872		1,664,442
United Internet AG, Registered Shares		25,290		1,147,893
Volkswagen AG		6,587		1,693,664
Volkswagen AG, Preference Shares		35,478		9,408,851
				271,862,276
Hong Kong — 3.1%
AIA Group Ltd.		2,662,600		16,717,087
ASM Pacific Technology Ltd.		57,704		600,617
Bank of East Asia Ltd.		276,732		1,102,357
BOC Hong Kong Holdings Ltd.		817,400		2,915,226
Cathay Pacific Airways Ltd.		256,263		593,005
Cheung Kong Infrastructure Holdings Ltd.		140,500		1,206,725
CK Hutchison Holdings Ltd.		302,835		6,187,074
CLP Holdings Ltd.		418,687		3,659,374
First Pacific Co. Ltd.		505,250		504,426
Galaxy Entertainment Group Ltd.		491,000		2,229,308
Hang Lung Properties Ltd.		500,000		1,404,749
Hang Seng Bank Ltd.		161,153		2,916,685
Henderson Land Development Co. Ltd.		221,564		1,556,501
HKT Trust and HKT Ltd.		629,560		811,246
Hong Kong & China Gas Co. Ltd.		1,449,556		3,356,515
Hong Kong Exchanges & Clearing Ltd.		236,527		5,797,805
Hutchison Whampoa Ltd.		465,176		6,447,733
Hysan Development Co. Ltd.		154,791		678,495
Kerry Properties Ltd.		168,500		584,906
Li & Fung Ltd.		1,309,980		1,279,117
The Link REIT		508,914		3,139,582
MGM China Holdings Ltd.		223,600		420,095
MTR Corp.		321,500		1,529,153
New World Development Co. Ltd.		1,148,968		1,332,045
NWS Holdings Ltd.		375,824		625,971
PCCW Ltd.		849,000		518,802
Power Assets Holdings Ltd.		305,500		3,118,496
Sands China Ltd.		544,600		2,252,047

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 3

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Hong Kong (concluded)
Shangri-La Asia Ltd.		225,905	$	310,247
Sino Land Co. Ltd.		639,263		1,042,403
SJM Holdings Ltd.		469,000		612,548
Sun Hung Kai Properties Ltd.		369,324		5,694,786
Swire Pacific Ltd., Class A		140,077		1,906,793
Swire Properties Ltd.		254,400		826,251
Techtronic Industries Co.		294,000		991,190
WH Group, Ltd. (a)(c)		778,500		442,197
Wharf Holdings Ltd.		336,357		2,348,056
Wheelock & Co. Ltd.		205,000		1,047,566
Wynn Macau Ltd.		357,600		772,817
Yue Yuen Industrial Holdings Ltd.		167,785		593,697
				90,073,693
Ireland — 0.9%
Bank of Ireland (a)		5,825,131		2,222,569
CRH PLC		177,793		4,649,792
Experian PLC		216,498		3,583,693
James Hardie Industries SE		97,902		1,132,512
Kerry Group PLC, Class A		35,468		2,383,561
Ryanair Holdings PLC		10,891		130,017
Ryanair Holdings PLC - ADR		6,698		447,225
Shire PLC		130,389		10,395,008
				24,944,377
Israel — 0.6%
Bank Hapoalim BM		211,043		1,014,770
Bank Leumi Le-Israel BM (a)		264,903		982,330
Bezeq The Israeli Telecommunication Corp. Ltd.		461,895		860,114
Delek Group Ltd.		1,219		313,714
Israel Chemicals Ltd.		90,372		641,847
The Israel Corp. Ltd.		641		223,270
Mizrahi Tefahot Bank Ltd. (a)		35,985		365,169
NICE Systems Ltd.		12,039		734,845
Teva Pharmaceutical Industries Ltd.		182,827		11,426,180
				16,562,239
Italy — 2.1%
Assicurazioni Generali SpA		254,834		5,010,587
Atlantia SpA		87,994		2,310,753
Banca Monte dei Paschi di Siena SpA (a)		973,823		646,315
Banco Popolare SC (a)		72,344		1,126,189
Enel Green Power SpA		418,044		779,509
Enel SpA		1,481,608		6,693,051
Eni SpA		563,753		9,757,519
Exor SpA		21,875		992,253
Finmeccanica SpA (a)		85,824		1,019,428
Intesa Sanpaolo SpA		2,991,482		10,100,913
Luxottica Group SpA		36,122		2,287,812
Mediobanca SpA		136,250		1,303,573

Common Stocks	Shares		Value
Italy (concluded)
Pirelli & C SpA		57,147	$	945,938
Prysmian SpA		44,113		909,164
Saipem SpA (a)		64,930		660,467
Snam SpA		459,604		2,230,979
Telecom Italia SpA (a)		2,259,786		2,645,987
Telecom Italia SpA, Non- Convertible Savings Shares		1,286,225		1,209,457
Tenaris SA		102,746		1,440,297
Terna - Rete Elettrica Nazionale SpA		329,575		1,451,265
UniCredit SpA		972,098		6,592,081
Unione di Banche Italiane SCpA		192,624		1,502,291
UnipolSai SpA		211,988		616,827
				62,232,655
Japan — 22.0%
ABC-Mart, Inc.		4,700		274,881
Acom Co. Ltd. (a)		116,300		403,294
Advantest Corp.		32,000		403,438
Aeon Co. Ltd.		142,700		1,565,336
AEON Financial Service Co. Ltd.		26,100		658,403
Aeon Mall Co. Ltd.		22,050		436,658
Air Water, Inc.		36,000		642,880
Aisin Seiki Co. Ltd.		40,300		1,461,089
Ajinomoto Co., Inc.		123,000		2,698,427
Alfresa Holdings Corp.		37,800		532,652
Amada Co. Ltd.		68,600		660,666
ANA Holdings, Inc.		244,000		653,229
Aozora Bank Ltd.		231,000		818,793
Asahi Glass Co. Ltd.		218,100		1,428,553
Asahi Group Holdings Ltd.		82,500		2,615,946
Asahi Kasei Corp.		282,000		2,692,993
Asics Corp.		37,700		1,025,905
Astellas Pharma, Inc.		474,600		7,776,267
The Bank of Kyoto Ltd.		83,000		869,916
The Bank of Yokohama Ltd.		245,000		1,434,877
Benesse Holdings, Inc.		15,300		481,308
Bridgestone Corp.		141,900		5,681,665
Brother Industries Ltd.		55,700		884,954
Calbee, Inc.		15,700		681,570
Canon, Inc.		251,700		8,905,470
Casio Computer Co. Ltd.		43,000		814,490
Central Japan Railway Co.		31,500		5,692,663
The Chiba Bank Ltd.		170,000		1,245,940
Chiyoda Corp.		29,000		247,735
Chubu Electric Power Co., Inc.		140,500		1,675,311
Chugai Pharmaceutical Co. Ltd.		47,100		1,486,519
The Chugoku Bank Ltd.		41,000		612,213
The Chugoku Electric Power Co., Inc.		71,400		930,721
Citizen Holdings Co. Ltd.		53,500		410,048
COLOPL, Inc. (b)		12,900		278,081
Credit Saison Co. Ltd.		29,600		530,989

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 4

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Japan (continued)
Dai Nippon Printing Co. Ltd.		128,000	$	1,243,281
The Dai-ichi Life Insurance Co. Ltd.		236,900		3,436,260
Daicel Corp.		58,000		691,332
Daihatsu Motor Co. Ltd.		44,100		674,536
Daiichi Sankyo Co. Ltd.		136,800		2,173,873
Daikin Industries Ltd.		51,600		3,449,667
Daito Trust Construction Co. Ltd.		15,700		1,753,151
Daiwa House Industry Co. Ltd.		126,800		2,499,260
Daiwa Securities Group, Inc.		369,000		2,904,726
Denso Corp.		106,100		4,836,602
Dentsu, Inc.		46,413		1,985,481
Don Quijote Co. Ltd.		13,600		1,105,520
East Japan Railway Co.		74,649		5,981,921
Eisai Co. Ltd.		56,500		4,018,722
Electric Power Development Co. Ltd.		31,800		1,071,249
FamilyMart Co. Ltd.		14,700		615,907
FANUC Corp.		41,900		9,147,345
Fast Retailing Co. Ltd.		11,600		4,485,233
Fuji Electric Co. Ltd.		132,800		626,551
Fuji Heavy Industries Ltd.		128,100		4,252,437
FUJIFILM Holdings Corp.		101,700		3,618,135
Fujitsu Ltd.		420,000		2,864,247
Fukuoka Financial Group, Inc.		180,000		925,647
GungHo Online Entertainment, Inc. (b)		89,400		349,240
The Gunma Bank Ltd.		93,000		628,260
The Hachijuni Bank Ltd.		90,000		634,601
Hakuhodo DY Holdings, Inc.		50,500		536,880
Hamamatsu Photonics KK		30,000		904,264
Hankyu Hanshin Holdings, Inc.		254,000		1,569,061
Hikari Tsushin, Inc.		2,500		161,914
Hino Motors Ltd.		53,300		758,385
Hirose Electric Co. Ltd.		7,455		959,835
The Hiroshima Bank Ltd.		112,000		603,607
Hisamitsu Pharmaceutical Co., Inc.		12,100		496,961
Hitachi Chemical Co. Ltd.		21,700		463,372
Hitachi Construction Machinery Co. Ltd.		21,500		375,306
Hitachi High-Technologies Corp.		14,600		444,312
Hitachi Ltd.		1,055,000		7,205,494
Hitachi Metals Ltd.		51,000		781,654
Hokuhoku Financial Group, Inc.		287,000		639,746
Hokuriku Electric Power Co.		43,200		571,643
Honda Motor Co. Ltd.		360,400		11,764,510
Hoya Corp.		93,200		3,731,198
Hulic Co. Ltd.		50,600		568,544
Ibiden Co. Ltd.		28,100		473,699
Idemitsu Kosan Co. Ltd.		22,100		384,896
IHI Corp.		293,000		1,369,988
Iida Group Holdings Co. Ltd.		32,000		398,096
Inpex Corp.		188,400		2,075,939
Isetan Mitsukoshi Holdings Ltd.		73,805		1,219,464

Common Stocks	Shares		Value
Japan (continued)
Isuzu Motors Ltd.		129,400	$	1,716,811
ITOCHU Corp.		344,700		3,730,298
Itochu Techno-Solutions Corp.		9,600		199,145
The Iyo Bank Ltd.		52,600		623,797
J. Front Retailing Co. Ltd.		56,300		883,832
Japan Airlines Co. Ltd.		25,180		783,281
Japan Display, Inc. (a)		101,000		360,352
Japan Exchange Group, Inc.		56,900		1,647,414
Japan Prime Realty Investment Corp.		164		564,759
Japan Real Estate Investment Corp.		287		1,349,928
Japan Retail Fund Investment Corp.		521		1,035,269
Japan Tobacco, Inc.		240,000		7,587,567
JFE Holdings, Inc.		110,300		2,434,662
JGC Corp.		48,000		953,160
The Joyo Bank Ltd.		152,000		781,153
JSR Corp.		39,500		684,029
JTEKT Corp.		47,500		740,593
JX Holdings, Inc.		490,060		1,885,581
Kajima Corp.		175,800		815,046
Kakaku.com, Inc.		36,400		604,011
Kamigumi Co. Ltd.		60,000		566,410
Kaneka Corp.		75,000		527,291
The Kansai Electric Power Co., Inc. (a)		156,700		1,493,488
Kansai Paint Co. Ltd.		50,000		909,988
Kao Corp.		112,600		5,622,568
Kawasaki Heavy Industries Ltd.		314,000		1,584,137
KDDI Corp.		381,600		8,621,307
Keihan Electric Railway Co. Ltd.		110,000		669,442
Keikyu Corp.		97,000		775,338
Keio Corp.		123,000		963,342
Keisei Electric Railway Co. Ltd.		62,000		769,510
Keyence Corp.		10,192		5,561,741
Kikkoman Corp.		33,000		1,046,406
Kintetsu Corp.		413,000		1,515,249
Kirin Holdings Co. Ltd.		185,500		2,433,066
Kobe Steel Ltd.		668,000		1,232,069
Koito Manufacturing Co. Ltd.		19,800		595,361
Komatsu Ltd.		203,800		3,995,025
Konami Corp.		20,700		387,257
Konica Minolta, Inc.		105,900		1,073,226
Kubota Corp.		249,000		3,933,928
Kuraray Co. Ltd.		73,000		988,402
Kurita Water Industries Ltd.		25,700		620,890
Kyocera Corp.		70,500		3,853,017
Kyowa Hakko Kirin Co. Ltd.		52,000		677,810
Kyushu Electric Power Co., Inc. (a)		94,000		910,739
Lawson, Inc.		13,900		963,547
LIXIL Group Corp.		59,300		1,403,380
M3, Inc.		43,300		918,604

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 5

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Japan (continued)
Mabuchi Motor Co. Ltd.		10,000	$	529,019
Makita Corp.		26,600		1,378,419
Marubeni Corp.		352,300		2,036,820
Marui Group Co. Ltd.		58,700		665,173
Maruichi Steel Tube Ltd.		14,000		331,381
Mazda Motor Corp.		120,680		2,445,198
McDonald’s Holdings Co. Japan Ltd. (b)		15,400		341,287
Medipal Holdings Corp.		32,000		417,092
Meiji Holdings Co. Ltd.		12,993		1,582,675
Minebea Co. Ltd.		74,000		1,163,904
Miraca Holdings, Inc.		11,700		537,884
Mitsubishi Chemical Holdings Corp.		296,900		1,723,524
Mitsubishi Corp.		308,200		6,192,919
Mitsubishi Electric Corp.		418,000		4,962,279
Mitsubishi Estate Co. Ltd.		279,000		6,470,554
Mitsubishi Gas Chemical Co., Inc.		64,000		314,962
Mitsubishi Heavy Industries Ltd.		671,200		3,693,125
Mitsubishi Logistics Corp.		25,000		389,081
Mitsubishi Materials Corp.		235,000		789,658
Mitsubishi Motors Corp.		141,100		1,272,263
Mitsubishi Tanabe Pharma Corp.		52,900		907,519
Mitsubishi UFJ Financial Group, Inc.		2,796,574		17,320,334
Mitsubishi UFJ Lease & Finance Co., Ltd.		99,100		489,732
Mitsui & Co. Ltd.		372,400		4,987,246
Mitsui Chemicals, Inc.		207,000		663,805
Mitsui Fudosan Co. Ltd.		208,000		6,108,543
Mitsui OSK Lines Ltd.		240,000		814,004
Mixi, Inc. (b)		8,900		359,774
Mizuho Financial Group, Inc.		5,137,164		9,028,444
MS&AD Insurance Group Holdings, Inc.		111,970		3,134,715
Murata Manufacturing Co. Ltd.		43,900		6,029,188
Nabtesco Corp.		23,400		676,007
Nagoya Railroad Co. Ltd.		180,000		718,754
Namco Bandai Holdings, Inc.		41,200		801,917
NEC Corp.		565,000		1,659,643
Nexon Co. Ltd.		27,400		291,785
NGK Insulators Ltd.		59,000		1,257,086
NGK Spark Plug Co. Ltd.		38,200		1,025,441
NH Foods Ltd.		35,000		806,527
NHK Spring Co. Ltd.		41,900		435,890
Nidec Corp.		48,100		3,192,960
Nikon Corp.		73,600		986,868
Nintendo Co. Ltd.		23,700		3,477,378
Nippon Building Fund, Inc.		311		1,527,793
Nippon Electric Glass Co. Ltd.		103,500		505,823
Nippon Express Co. Ltd.		175,000		977,780
Nippon Paint Co. Ltd.		36,000		1,316,043
Nippon Prologis REIT, Inc.		336		739,660

Common Stocks	Shares		Value
Japan (continued)
Nippon Steel & Sumitomo Metal		1,659,265	$	4,172,062
Nippon Telegraph & Telephone Corp.		81,776		5,048,115
Nippon Yusen KK		345,000		992,472
Nissan Motor Co. Ltd.		555,800		5,652,788
Nisshin Seifun Group, Inc.		40,940		481,870
Nissin Foods Holdings Co. Ltd.		12,600		619,240
Nitori Holdings Co. Ltd.		15,000		1,015,402
Nitto Denko Corp.		33,810		2,257,626
NOK Corp.		23,500		706,587
Nomura Holdings, Inc.		792,400		4,654,263
Nomura Real Estate Holdings, Inc.		30,600		551,080
Nomura Research Institute Ltd.		24,700		927,984
NSK Ltd.		99,000		1,444,961
NTT Data Corp.		28,900		1,255,197
NTT DoCoMo, Inc.		333,100		5,821,261
NTT Urban Development Corp.		24,600		245,725
Obayashi Corp.		133,000		862,112
Odakyu Electric Railway Co. Ltd.		134,000		1,364,781
Oji Holdings Corp.		170,000		695,564
Olympus Corp. (a)		51,500		1,909,392
Omron Corp.		44,600		2,009,192
Ono Pharmaceutical Co. Ltd.		18,900		2,132,750
Oracle Corp. Japan		10,100		434,640
Oriental Land Co. Ltd.		44,800		3,392,170
ORIX Corp.		289,400		4,066,394
Osaka Gas Co. Ltd.		410,000		1,714,528
Otsuka Corp.		10,500		447,459
Otsuka Holdings Co. Ltd.		87,200		2,727,934
Panasonic Corp.		481,800		6,327,016
Park24 Co. Ltd.		18,900		386,689
Rakuten, Inc.		178,500		3,143,051
Recruit Holdings Co. Ltd.		33,000		1,029,647
Resona Holdings, Inc.		494,256		2,452,877
Ricoh Co. Ltd.		154,400		1,678,858
Rinnai Corp.		8,700		644,765
Rohm Co. Ltd.		21,900		1,496,489
Sankyo Co. Ltd.		11,200		397,785
Sanrio Co. Ltd. (b)		13,000		347,265
Santen Pharmaceutical Co. Ltd.		85,000		1,239,794
SBI Holdings, Inc.		48,340		585,174
Secom Co. Ltd.		44,300		2,954,822
Sega Sammy Holdings, Inc.		43,932		640,110
Seibu Holdings, Inc.		23,900		617,383
Seiko Epson Corp.		54,600		967,040
Sekisui Chemical Co. Ltd.		91,000		1,180,724
Sekisui House Ltd.		121,000		1,756,923
Seven & I Holdings Co. Ltd.		164,400		6,908,623
Seven Bank Ltd.		138,800		684,386
Sharp Corp. (a)(b)		332,000		650,287
Shikoku Electric Power Co., Inc. (a)		43,600		536,619
Shimadzu Corp.		44,000		490,024
Shimamura Co. Ltd.		4,400		407,531

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 6

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Japan (continued)
Shimano, Inc.		16,700	$	2,481,654
Shimizu Corp.		139,000		939,753
Shin-Etsu Chemical Co. Ltd.		90,700		5,921,630
Shinsei Bank Ltd.		341,000		678,023
Shionogi & Co. Ltd.		64,800		2,157,227
Shiseido Co. Ltd.		81,000		1,436,944
The Shizuoka Bank Ltd.		121,000		1,206,814
Showa Shell Sekiyu KK		48,300		441,152
SMC Corp.		11,600		3,454,060
Softbank Corp.		212,300		12,364,224
Sompo Japan Nipponkoa Holdings Inc.		71,475		2,222,039
Sony Corp. (a)		250,900		6,709,970
Sony Financial Holdings, Inc.		34,800		559,793
Stanley Electric Co. Ltd.		34,900		787,774
Sumitomo Chemical Co. Ltd.		329,000		1,688,577
Sumitomo Corp.		253,000		2,699,754
Sumitomo Dainippon Pharma Co. Ltd.		33,200		393,228
Sumitomo Electric Industries Ltd.		161,100		2,111,771
Sumitomo Heavy Industries Ltd.		124,000		811,493
Sumitomo Metal Mining Co. Ltd.		114,000		1,666,194
Sumitomo Mitsui Financial Group, Inc.		281,350		10,776,993
Sumitomo Mitsui Trust Holdings, Inc.		734,820		3,052,496
Sumitomo Realty & Development Co. Ltd.		79,000		2,844,107
Sumitomo Rubber Industries Ltd.		34,200		630,421
Suntory Beverage & Food Ltd.		31,800		1,361,647
Suruga Bank Ltd.		39,800		826,513
Suzuken Co. Ltd.		16,500		502,936
Suzuki Motor Corp.		81,600		2,450,792
Sysmex Corp.		33,400		1,851,924
T&D Holdings, Inc.		126,800		1,741,737
Taiheiyo Cement Corp.		252,000		769,430
Taisei Corp.		217,000		1,224,812
Taisho Pharmaceutical Holdings Co. Ltd.		7,100		527,546
Taiyo Nippon Sanso Corp.		28,000		381,018
Takashimaya Co. Ltd.		58,000		569,770
Takeda Pharmaceutical Co. Ltd.		175,000		8,735,628
TDK Corp.		26,900		1,904,721
Teijin Ltd.		210,000		712,490
Terumo Corp.		66,900		1,762,343
THK Co. Ltd.		26,200		665,763
Tobu Railway Co. Ltd.		236,000		1,118,101
Toho Co. Ltd.		22,700		555,032
Toho Gas Co. Ltd.		83,000		483,823
Tohoku Electric Power Co., Inc.		102,000		1,158,559
Tokio Marine Holdings, Inc.		153,800		5,805,458
The Tokyo Electric Power Co., Inc. (a)		307,500		1,163,871

Common Stocks	Shares		Value
Japan (concluded)
Tokyo Electron Ltd.		38,500	$	2,670,502
Tokyo Gas Co. Ltd.		519,000		3,262,812
Tokyo Tatemono Co. Ltd.		88,000		644,715
Tokyu Corp.		248,000		1,534,321
Tokyu Fudosan Holdings Corp.		116,800		796,642
TonenGeneral Sekiyu KK		52,000		448,453
Toppan Printing Co. Ltd.		124,000		953,850
Toray Industries, Inc.		330,700		2,767,951
Toshiba Corp.		883,000		3,699,825
Toto Ltd.		64,000		950,333
Toyo Seikan Kaisha Ltd.		32,800		479,755
Toyo Suisan Kaisha Ltd.		19,900		700,129
Toyoda Gosei Co. Ltd.		17,900		399,584
Toyota Industries Corp.		34,900		1,996,170
Toyota Motor Corp.		602,200		42,035,801
Toyota Tsusho Corp.		44,600		1,180,008
Trend Micro, Inc.		24,700		813,877
Unicharm Corp.		79,600		2,083,927
United Urban Investment Corp.		589		918,201
USS Co. Ltd.		48,800		843,243
West Japan Railway Co.		35,700		1,871,765
Yahoo! Japan Corp.		321,800		1,327,323
Yakult Honsha Co. Ltd.		19,000		1,323,588
Yamada Denki Co. Ltd.		192,800		793,937
Yamaguchi Financial Group, Inc.		42,000		482,718
Yamaha Corp.		33,500		584,990
Yamaha Motor Co. Ltd.		59,400		1,430,983
Yamato Holdings Co. Ltd.		79,200		1,825,452
Yamato Kogyo Co. Ltd.		6,400		154,265
Yamazaki Baking Co. Ltd.		29,000		522,532
Yaskawa Electric Corp.		51,200		748,249
Yokogawa Electric Corp.		46,100		496,660
The Yokohama Rubber Co. Ltd.		47,000		484,478
				636,181,409
Luxembourg — 0.1%
Altice SA (a)		19,825		2,149,803
RTL Group SA		8,978		863,327
				3,013,130
Netherlands — 4.2%
Aegon NV		401,805		3,172,516
Akzo Nobel NV		53,559		4,049,576
ASML Holding NV		76,546		7,760,197
CNH Industrial NV		206,659		1,693,631
Delta Lloyd NV		44,127		832,230
Gemalto NV (b)		17,609		1,403,519
Heineken Holding NV		22,349		1,537,934
Heineken NV		50,382		3,845,491
ING Groep NV CVA (a)		852,958		12,494,110
Koninklijke Ahold NV		195,780		3,858,014
Koninklijke Boskalis Westminster NV		18,803		926,774

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 7

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Netherlands (concluded)
Koninklijke DSM NV		39,069	$	2,177,487
Koninklijke KPN NV (a)		681,010		2,308,386
Koninklijke Philips Electronics NV		206,132		5,847,956
Koninklijke Vopak NV		15,223		840,110
NN Group NV (a)		34,372		974,438
OCI NV (a)		20,453		632,965
QIAGEN NV (a)		48,737		1,223,026
Randstad Holding NV		25,914		1,570,904
Reed Elsevier NV		158,675		3,953,800
TNT Express NV		95,298		605,314
Unilever NV CVA		360,100		15,047,696
Wolters Kluwer NV		69,291		2,262,674
				79,018,748
New Zealand — 0.1%
Auckland International Airport Ltd.		211,147		709,222
Contact Energy Ltd.		102,592		458,118
Fletcher Building Ltd.		146,940		922,883
Meridian Energy, Ltd.		302,548		457,374
Mighty River Power, Ltd.		166,224		384,919
Ryman Healthcare Ltd.		92,866		543,474
Telecom Corp. of New Zealand Ltd.		365,242		812,281
				4,288,271
Norway — 0.6%
DnB NOR ASA		214,418		3,441,345
Gjensidige Forsikring ASA		42,157		727,388
Norsk Hydro ASA		292,550		1,537,739
Orkla ASA		181,380		1,368,933
Seadrill Ltd. (b)		96,362		902,294
Statoil ASA		243,539		4,306,109
Subsea 7 SA		67,352		578,365
Telenor ASA		165,267		3,335,150
Yara International ASA		38,972		1,978,721
				18,176,044
Portugal — 0.2%
Banco Comercial Portugues SA (a)		7,943,508		816,707
EDP - Energias de Portugal SA		531,905		1,992,061
Galp Energia SGPS SA		86,244		932,669
Jeronimo Martins SGPS SA		56,235		707,648
				4,449,085
Singapore — 1.4%
Ascendas Real Estate Investment Trust		443,962		837,415
CapitaCommercial Trust		492,000		633,307
CapitaLand Ltd.		596,249		1,554,166
CapitaMall Trust		521,600		835,039
City Developments Ltd.		96,535		707,571
ComfortDelGro Corp. Ltd.		461,816		972,869

Common Stocks	Shares		Value
Singapore (concluded)
DBS Group Holdings Ltd.		378,607	$	5,613,929
Genting Singapore PLC		1,506,127		1,007,043
Global Logistic Properties Ltd.		697,000		1,345,276
Golden Agri-Resources Ltd.		1,714,651		530,613
Hutchison Port Holdings Trust		1,360,000		944,051
Jardine Cycle & Carriage Ltd.		24,721		738,389
Keppel Corp. Ltd.		334,177		2,189,541
Noble Group Ltd.		994,840		666,381
Oversea-Chinese Banking Corp. Ltd.		672,598		5,179,278
SembCorp Industries Ltd.		206,590		634,213
SembCorp Marine Ltd. (b)		220,197		467,371
Singapore Airlines Ltd.		104,009		905,559
Singapore Exchange Ltd.		186,000		1,102,861
Singapore Press Holdings Ltd.		99,985		305,209
Singapore Technologies Engineering Ltd.		360,213		913,461
Singapore Telecommunications Ltd.		1,787,232		5,703,124
StarHub Ltd.		121,157		384,097
Suntec Real Estate Investment Trust		500,000		675,276
United Overseas Bank Ltd.		281,847		4,724,363
UOL Group Ltd.		119,599		665,616
Wilmar International Ltd.		421,670		1,001,037
Yangzijiang Shipbuilding Holdings Ltd.		427,183		392,746
				41,629,801
Spain — 3.5%
Abertis Infraestructuras SA		93,604		1,691,851
ACS Actividades de Construccion y Servicios SA		40,810		1,444,442
Aena SA (a)(c)		14,742		1,482,259
Amadeus IT Holding SA, Class A		101,183		4,336,409
Banco Bilbao Vizcaya Argentaria SA		1,377,998		13,917,114
Banco de Sabadell SA		785,857		1,920,129
Banco Popular Espanol SA		416,821		2,038,734
Banco Santander SA		3,112,239		23,330,505
Bankia SA (a)		1,045,214		1,456,632
Bankinter SA		154,899		1,181,004
CaixaBank SA		513,675		2,436,080
Distribuidora Internacional de Alimentacion SA		143,344		1,118,651
Enagas SA		13,781		394,066
Endesa SA		76,846		1,483,500
Ferrovial SA		94,291		2,004,821
Gas Natural SDG SA		81,875		1,838,267
Grifols SA		35,955		1,540,625
Iberdrola SA		1,149,461		7,412,361
Inditex SA		244,287		7,842,997

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 8

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Spain (concluded)
International Consolidated Airlines Group SA (a)		194,733	$	1,744,786
Mapfre SA		208,345		760,693
Red Electrica Corp. SA		7,322		595,376
Repsol SA		230,614		4,292,959
Telefonica SA		931,302		13,251,964
Zardoya Otis SA		47,968		619,087
				100,135,312
Sweden — 3.0%
Alfa Laval AB		71,495		1,404,188
Assa Abloy AB, Class B		72,831		4,338,205
Atlas Copco AB, Class A		146,538		4,743,970
Atlas Copco AB, Class B		88,275		2,606,709
Boliden AB		60,183		1,192,197
Electrolux AB, Class B		52,732		1,506,469
Elekta AB, B Shares		77,103		693,396
Getinge AB, Class B		43,965		1,086,322
Hennes & Mauritz AB, Class B		210,773		8,540,041
Hexagon AB, Class B		55,180		1,959,170
Husqvarna AB, Class B		98,836		715,927
ICA Gruppen AB		16,112		540,062
Industrivarden AB, Class C		41,350		775,835
Investment AB Kinnevik, Class B		53,594		1,789,090
Investor AB, Class B		99,672		3,967,624
Lundin Petroleum AB (a)		45,190		618,324
Millicom International Cellular SA		16,019		1,158,319
Nordea Bank AB		673,865		8,207,995
Sandvik AB		239,136		2,677,854
Securitas AB, Class B		65,801		944,666
Skandinaviska Enskilda Banken AB, Class A		331,478		3,868,922
Skanska AB, Class B		82,272		1,844,481
SKF AB, Class B		85,423		2,205,706
Svenska Cellulosa AB, B Shares		129,702		2,980,402
Svenska Handelsbanken AB, Class A		108,870		4,903,124
Swedbank AB, Class A		197,620		4,717,926
Swedish Match AB		44,654		1,312,946
Tele2 AB, Class B		68,811		823,035
Telefonaktiebolaget LM Ericsson, Class B		675,278		8,478,072
TeliaSonera AB		566,944		3,602,751
Volvo AB, Class B		335,263		4,057,427
				88,261,155
Switzerland — 9.6%
ABB Ltd., Registered Shares (a)		486,900		10,329,097
Actelion Ltd., Registered Shares (a)		22,916		2,642,984
Adecco SA, Registered Shares (a)		37,802		3,142,232
Aryzta AG (a)		19,184		1,176,031
Baloise Holding AG, Registered Shares		10,837		1,432,186

Common Stocks	Shares		Value
Switzerland (continued)
Barry Callebaut AG, Registered Shares (a)		423	$	412,994
Cie Financiere Richemont SA, Registered Shares		115,621		9,290,249
Coca-Cola HBC AG (a)		47,316		851,141
Credit Suisse Group AG, Registered Shares (a)		338,849		9,116,367
EMS-Chemie Holding AG, Registered Shares		1,697		690,066
Geberit AG, Registered Shares		8,367		3,131,061
Givaudan SA, Registered Shares (a)		2,020		3,649,426
Glencore PLC (a)		2,458,642		10,379,744
Holcim Ltd., Registered Shares (a)		50,052		3,728,996
Julius Baer Group Ltd.		47,897		2,394,075
Kuehne & Nagel International AG, Registered Shares		11,799		1,751,815
Lindt & Spruengli AG (a)		217		1,161,518
Lindt & Spruengli AG, Registered Shares (a)		21		1,328,475
Lonza Group AG, Registered Shares (a)		12,065		1,502,068
Nestle SA, Registered Shares		710,170		53,477,485
Novartis AG, Registered Shares		506,567		49,998,405
Pargesa Holding SA, Bearer Shares		7,471		524,313
Partners Group Holding AG		3,735		1,113,505
Roche Holding AG		154,720		42,515,821
Schindler Holding AG, Participation Certificates		9,973		1,655,136
Schindler Holding AG, Registered Shares		4,420		722,248
SGS SA, Registered Shares		1,234		2,352,765
Sika AG - Bearer Shares		466		1,668,487
Sonova Holding AG, Registered Shares		11,639		1,614,942
STMicroelectronics NV		145,524		1,356,142
Sulzer AG, Registered Shares		5,564		610,748
The Swatch Group AG, Bearer Shares		6,793		2,872,802
The Swatch Group AG, Registered Shares		11,193		938,120
Swiss Life Holding AG, Registered Shares		7,012		1,732,292
Swiss Prime Site AG, Registered Shares (a)		11,481		996,865
Swiss Re AG		77,286		7,454,847
Swisscom AG, Registered Shares		5,163		2,993,971
Syngenta AG, Registered Shares		20,376		6,922,306
Transocean Ltd. (b)		79,185		1,140,809
UBS Group AG (a)		807,287		15,137,518

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 9

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Switzerland (concluded)
Zurich Insurance Group AG (a)		33,073	$	11,178,745
				277,088,797
United Kingdom — 17.3%
3i Group PLC		216,564		1,547,420
Aberdeen Asset Management PLC		206,139		1,402,425
Admiral Group PLC		42,240		956,425
Aggreko PLC		57,717		1,305,587
AMEC PLC		79,944		1,069,378
Anglo American PLC		310,536		4,637,845
Antofagasta PLC		87,688		948,633
ARM Holdings PLC		306,262		4,974,085
Ashtead Group PLC		108,709		1,743,451
Associated British Foods PLC		78,125		3,260,399
AstraZeneca PLC		279,154		19,155,115
Aviva PLC		655,649		5,247,079
Babcock International Group PLC		55,593		810,983
BAE Systems PLC		688,264		5,333,745
Barclays PLC		3,637,349		13,129,101
BG Group PLC		756,702		9,287,562
BHP Billiton PLC		461,416		10,125,916
BP PLC		4,010,353		25,995,749
British American Tobacco PLC		409,378		21,199,235
British Land Co. PLC		215,645		2,657,801
BT Group PLC		1,800,169		11,697,217
Bunzl PLC		71,691		1,943,647
Burberry Group PLC		98,900		2,539,800
Capita PLC		148,161		2,449,218
Carnival PLC		39,920		1,952,108
Centrica PLC		1,093,842		4,091,303
Cobham PLC		242,454		1,092,179
Compass Group PLC		369,300		6,410,770
Croda International PLC		28,719		1,164,788
Diageo PLC		550,572		15,214,687
Direct Line Insurance Group PLC		330,650		1,560,335
Dixons Carphone PLC		219,345		1,341,477
easyJet PLC		32,924		916,321
Fiat Chrysler Automobiles NV (a)		196,118		3,183,793
Fresnillo PLC		50,551		510,507
Friends Life Group Ltd.		306,280		1,875,053
G4S PLC		345,007		1,512,312
GKN PLC		353,070		1,872,814
GlaxoSmithKline PLC		1,068,502		24,596,849
Hammerson PLC		170,614		1,680,233
Hargreaves Lansdown PLC		48,072		819,975
HSBC Holdings PLC		4,225,531		36,007,510
ICAP PLC		124,022		967,308
IMI PLC		58,145		1,097,212
Imperial Tobacco Group PLC		211,950		9,297,451
Inmarsat PLC		91,023		1,246,525
InterContinental Hotels Group PLC		50,547		1,971,517
Intertek Group PLC		37,081		1,373,509
Intu Properties PLC		197,682		1,019,150

Common Stocks	Shares		Value
United Kingdom (continued)
Investec PLC		118,620	$	983,779
ITV PLC		847,385		3,172,648
J. Sainsbury PLC		271,116		1,040,384
Johnson Matthey PLC		46,256		2,317,576
Kingfisher PLC		527,604		2,976,779
Land Securities Group PLC		173,988		3,230,135
Legal & General Group PLC		1,318,661		5,430,702
Lloyds Banking Group PLC (a)		12,500,530		14,489,817
London Stock Exchange Group PLC		51,289		1,865,381
Marks & Spencer Group PLC		363,783		2,877,110
Meggitt PLC		182,085		1,480,106
Melrose Industries PLC		229,546		942,773
Merlin Entertainments PLC (c)		156,867		1,026,991
National Grid PLC		832,689		10,705,092
Next PLC		33,553		3,489,460
Old Mutual PLC		1,074,872		3,528,444
Pearson PLC		179,198		3,856,997
Persimmon PLC		66,765		1,645,319
Petrofac Ltd.		53,021		746,437
Prudential PLC		567,378		14,079,737
Randgold Resources Ltd.		18,240		1,264,438
Reckitt Benckiser Group PLC		142,952		12,280,372
Reed Elsevier PLC		248,477		4,273,287
Rexam PLC		159,626		1,368,049
Rio Tinto PLC		281,302		11,600,004
Rolls-Royce Holdings PLC (a)		417,015		5,881,558
Rolls-Royce Holdings PLC, C Shares (a)		4,022,460		5,967
Royal Bank of Scotland Group PLC (a)		555,495		2,806,194
Royal Dutch Shell PLC, A Shares		859,584		25,561,515
Royal Dutch Shell PLC, Class B		534,953		16,663,945
Royal Mail PLC		145,671		944,850
RSA Insurance Group PLC		221,639		1,381,481
SABMiller PLC		213,987		11,209,016
The Sage Group PLC		236,675		1,634,886
Schroders PLC		26,579		1,259,086
Segro PLC		169,862		1,048,931
Severn Trent PLC		52,237		1,592,315
Sky PLC		226,673		3,334,810
Smith & Nephew PLC		195,927		3,340,860
Smiths Group PLC		86,720		1,434,284
Sports Direct International PLC (a)		59,623		535,852
SSE PLC		216,773		4,810,829
Standard Chartered PLC		540,398		8,752,671
Standard Life PLC		429,835		3,020,316
Tate & Lyle PLC		106,806		946,655
Tesco PLC		1,795,645		6,409,650
Travis Perkins PLC		54,510		1,573,870
Tullow Oil PLC		209,466		878,124
Unilever PLC		283,718		11,837,687
United Utilities Group PLC		146,303		2,022,970
Vodafone Group PLC		5,859,963		19,175,689

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 10

Schedule of Investments (continued)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
United Kingdom (concluded)
The Weir Group PLC		48,844		1,232,510
Whitbread PLC		39,989		3,105,141
William Hill PLC		190,301	$	1,044,993
WM Morrison Supermarkets PLC		480,544		1,373,365
Wolseley PLC		58,455		3,454,951
WPP PLC		289,829		6,582,191
				541,722,481
Total Common Stocks — 98.8%				2,859,967,753
Rights
Spain — 0.0%
Banco Bilbao Vizcaya Argentaria SA (Expires 04/14/15) (a)		1,377,998		198,547
Banco de Sabadell SA (Expires 04/17/15) (a)		785,857		199,418
Telefonica SA (Expires 04/10/15) (a)		931,302		150,208
Total Rights — 0.0%				548,173
Total Long-Term Investments (Cost — $2,589,111,581) — 98.8%				2,860,515,926

Short-Term Securities — 0.4%	Shares		Value
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.07% (d)(e)		3,892,965	$	3,892,965
	Beneficial Interest (000)		Value
BlackRock Liquidity Series, LLC, Money Market Series, 0.20% (d)(e)(f)		5,750		5,749,612
Total Short-Term Securities (Cost — $ 9,642,577) — 0.4%				9,642,577
Total Investments (Cost — $ 2,598,754,158*) — 99.2%				2,870,158,503
Other Assets Less Liabilities — 0.8%				24,229,797
Net Assets — 100.0%			$	2,894,388,300

* As of March 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,2,643,589,745
Gross unrealized appreciation	$	345,382,323
Gross unrealized depreciation		(118,813,565	)
Net unrealized appreciation	$	226,568,758

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) Represents the current yield as of report date.

(e) During the period ended March 31, 2015, investments in issuers considered to be an affiliate of the Master Series for purposes of Section 2(a)(3) of the 1940 Act were as follows:

Affiliate	Shares/Beneficial Interest Held at December 31, 2014		Net Activity			Shares/Beneficial Interest Held at March 31, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		3,872,785		20,180	1		3,892,965		1,154
BlackRock Liquidity Series, LLC, Money Market Series		4,107,347		1,642,265	1		5,749,612		68,959

¹  Represents net shares/beneficial interest

(f) Security was purchased with the cash collateral from loaned securities. The Master 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.

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 11

Schedule of Investments (continued) Master International Index Series

Portfolio Abbreviations

ADR	American Depositary Receipts
CLP	Chilean Peso
CVA	Certificaten Van Aandelen (Dutch Certificate)
FTSE	Financial Times Stock Exchange
NOK	Norwegian Krone
REIT	Real Estate Investment Trust
USD	U.S. Dollar

• As of March 31, 2015, financial futures contracts outstanding were as follows:

Contracts Long	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
39	SPI 200 Index	Australian Securities Exchange	June 2015	$	4,370,995	$	(44,127	)
78	FTSE 100 Index	UBS Securities LLC	June 2015	$	7,783,489		(209,940	)
84	Nikkei 225 Index	Bank Of America Securities LLC	June 2015	$	6,746,404		(91,008	)
250	Euro Stoxx 50 Index	Eurex Mercantile	June 2015	$	9,760,585		37,079
Total						$	(307,996	)

• 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. 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or 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’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Series’s policy regarding valuation of investments and derivative financial instruments, refer to the Series’s most recent financial statements as contained in its annual report.

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 12

Schedule of Investments (concluded) Master International Index Series

As of March 31, 2015, the following tables summarize the Series’s investments and derivative financial instruments categorized in the disclosure hierarch:

	Level 1			Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia	$	1,686,433		$	205,160,237	$	8	$	206,846,678
Austria		—			5,638,893		—		5,638,893
Belgium		—			37,564,496		—		37,564,496
Denmark		430,996			46,836,902		—		47,267,898
Finland		—			24,935,891		—		24,935,891
France		3,522,862			274,551,562		—		278,074,424
Germany		—			271,862,276		—		271,862,276
Hong Kong		3,187,793			86,885,900		—		90,073,693
Ireland		2,830,786			22,113,591		—		24,944,377
Israel		—			16,562,239		—		16,562,239
Italy		—			62,232,655		—		62,232,655
Japan		—			636,181,409		—		636,181,409
Luxembourg		2,149,803			863,327		—		3,013,130
Netherlands		832,230			78,186,518		—		79,018,748
New Zealand		—			4,288,271		—		4,288,271
Norway		—			18,176,044		—		18,176,044
Portugal		—			4,449,085		—		4,449,085
Singapore		—			41,629,801		—		41,629,801
Spain		1,482,259			98,653,053		—		100,135,312
Sweden		693,396			87,567,759		—		88,261,155
Switzerland		—			277,088,797		—		277,088,797
United Kingdom		946,655			540,769,859		5,967		541,722,481
Rights		548,173			—		—		548,173
Short-Term Securities		3,892,965			5,749,612		—		9,642,577
Total	$	22,204,351		$	2,847,947,177	$	5,975	$	2,870,158,503
	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments 1
Assets:
Equity contracts	$	37,079			—		—	$	37,079
Liabilities:
Equity contracts		(345,075	)		—		—		(345,075	)
Total	$	(307,996	)		—		—	$	(307,996	)

¹  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of March 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	1,459,000		—			—	$	1,459,000
Foreign currency at value		13,457,858		—			—		13,457,858
Liabilities:
Collateral on securities loaned at value		—	$	(5,749,612	)		—		(5,749,612	)
Total	$	14,916,858	$	(5,749,612	)		—	$	9,167,246

During the period ended March 31, 2015, there were no transfers between levels.

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 13

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, 2015 is provided below.

State Street Equity 500 Index Portfolio

Portfolio of Investments

March 31, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – 97.9%
Consumer Discretionary – 12.4%
Amazon.com, Inc.(a)		59,602	$	22,177,904
AutoNation, Inc.(a)		12,469		802,131
AutoZone, Inc.(a)		4,988		3,402,614
Bed Bath & Beyond, Inc.(a)		31,630		2,428,393
Best Buy Co., Inc.		44,213		1,670,809
BorgWarner, Inc.		36,423		2,202,863
Cablevision Systems Corp. (Class A)		30,812		563,860
CarMax, Inc.(a)		32,197		2,221,915
Carnival Corp.		69,149		3,308,088
CBS Corp. (Class B)		72,993		4,425,566
Chipotle Mexican Grill, Inc.(a)		5,014		3,261,808
Coach, Inc.		45,800		1,897,494
Comcast Corp. (Class A)		401,965		22,698,963
D.R. Horton, Inc.		50,179		1,429,098
Darden Restaurants, Inc.		20,917		1,450,385
Delphi Automotive PLC		47,381		3,778,161
DIRECTV(a)		79,675		6,780,342
Discovery Communications, Inc. (Class A)(a)		21,597		664,324
Discovery Communications, Inc. (Class C)(a)		39,797		1,173,017
Dollar General Corp.(a)		48,287		3,639,874
Dollar Tree, Inc.(a)		33,793		2,742,133
Expedia, Inc.		15,023		1,414,115
Family Dollar Stores, Inc.		16,865		1,336,383
Ford Motor Co.		606,560		9,789,878
Fossil Group, Inc.(a)		7,617		628,022
GameStop Corp. (Class A)		16,878		640,689
Gannett Co., Inc.		34,252		1,270,064
Gap, Inc.		44,764		1,939,624
Garmin Ltd.		19,560		929,491
General Motors Co.		214,477		8,042,887
Genuine Parts Co.		24,420		2,275,700
Goodyear Tire & Rubber Co.		40,813		1,105,216
H&R Block, Inc.		45,551		1,460,821
Hanesbrands, Inc.		62,600		2,097,726
Harley-Davidson, Inc.		33,585		2,039,953
Harman International Industries, Inc.		10,405		1,390,420
Hasbro, Inc.		19,928		1,260,247
Home Depot, Inc.		206,910		23,507,045
Interpublic Group of Cos., Inc.		62,228		1,376,483
Johnson Controls, Inc.		102,206		5,155,271
Kohl’s Corp.		33,588		2,628,261
L Brands, Inc.		39,546		3,728,792
Leggett & Platt, Inc.		20,944		965,309
Lennar Corp. (Class A)		26,425		1,369,079
Lowe’s Cos., Inc.		153,812		11,442,075
Macy’s, Inc.		53,161		3,450,680
Marriott International, Inc. (Class A)		33,797		2,714,575
Mattel, Inc.		56,543		1,292,007
McDonald’s Corp.		153,315		14,939,014
Michael Kors Holdings, Ltd.(a)		33,686		2,214,854
Mohawk Industries, Inc.(a)		9,669		1,796,017
Netflix, Inc.(a)		9,628		4,011,891
Newell Rubbermaid, Inc.		41,451		1,619,491
News Corp. (Class A)(a)		86,114		1,378,685
NIKE, Inc. (Class B)		110,751		11,111,648

	Shares		Value
Nordstrom, Inc.		23,856	$	1,916,114
O’Reilly Automotive, Inc.(a)		15,320		3,312,797
Omnicom Group, Inc.		38,550		3,006,129
Priceline Group, Inc.(a)		8,108		9,438,928
PulteGroup, Inc.		47,343		1,052,435
PVH Corp.		12,451		1,326,779
Ralph Lauren Corp.		9,236		1,214,534
Ross Stores, Inc.		33,772		3,558,218
Royal Caribbean Cruises, Ltd.		25,100		2,054,435
Scripps Networks Interactive, Inc. (Class A)		15,263		1,046,431
Staples, Inc.		95,234		1,550,886
Starbucks Corp.		117,546		11,131,606
Starwood Hotels & Resorts Worldwide, Inc.		29,944		2,500,324
Target Corp.		99,044		8,128,541
Tiffany & Co.		18,581		1,635,314
Time Warner Cable, Inc.		44,474		6,665,763
Time Warner, Inc.		130,780		11,043,063
TJX Cos., Inc.		109,375		7,661,719
Tractor Supply Co.		22,674		1,928,650
TripAdvisor, Inc.(a)		19,015		1,581,477
Twenty-First Century Fox, Inc. (Class A)		294,609		9,969,569
Under Armour, Inc. (Class A)(a)		25,076		2,024,887
Urban Outfitters, Inc.(a)		15,839		723,050
V.F. Corp.		53,528		4,031,194
Viacom, Inc. (Class B)		57,541		3,930,050
Walt Disney Co.		245,593		25,760,250
Whirlpool Corp.		12,459		2,517,465
Wyndham Worldwide Corp.		19,646		1,777,374
Wynn Resorts, Ltd.		11,859		1,492,811
Yum! Brands, Inc.		67,990		5,352,173
				364,375,121
Consumer Staples – 9.5%
Altria Group, Inc.		309,070		15,459,681
Archer-Daniels-Midland Co.		102,992		4,881,821
Brown-Forman Corp. (Class B)		24,161		2,182,946
Campbell Soup Co.		30,583		1,423,639
Clorox Co.		19,379		2,139,248
Coca-Cola Co.		614,722		24,926,977
Coca-Cola Enterprises, Inc.		35,313		1,560,835
Colgate-Palmolive Co.		134,579		9,331,708
ConAgra Foods, Inc.		66,051		2,412,843
Constellation Brands, Inc. (Class A)(a)		27,076		3,146,502
Costco Wholesale Corp.		68,834		10,428,007
CVS Health Corp.		179,927		18,570,266
Dr. Pepper Snapple Group, Inc.		31,703		2,488,051
Estee Lauder Cos., Inc. (Class A)		36,263		3,015,631
General Mills, Inc.		94,522		5,349,945
Hershey Co.		23,615		2,382,990
Hormel Foods Corp.		23,349		1,327,391
J.M. Smucker Co.		14,855		1,719,169
Kellogg Co.		40,207		2,651,652
Keurig Green Mountain, Inc.		18,089		2,021,084
Kimberly-Clark Corp.		57,473		6,155,933
Kraft Foods Group, Inc.		90,751		7,905,773
Kroger Co.		76,955		5,899,370
Lorillard, Inc.		57,328		3,746,385

1

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
McCormick & Co., Inc.		20,261	$	1,562,326
Mead Johnson Nutrition Co.		30,568		3,073,001
Molson Coors Brewing Co. (Class B)		23,509		1,750,245
Mondelez International, Inc. (Class A)		263,594		9,513,107
Monster Beverage Corp.(a)		23,647		3,272,627
PepsiCo, Inc.		235,838		22,550,829
Philip Morris International, Inc.		245,087		18,462,404
Procter & Gamble Co.		423,461		34,698,394
Reynolds American, Inc.		49,170		3,388,305
Sysco Corp.		93,735		3,536,621
Tyson Foods, Inc. (Class A)		44,691		1,711,665
Wal-Mart Stores, Inc.		248,299		20,422,593
Walgreens Boots Alliance, Inc.		137,213		11,619,197
Whole Foods Market, Inc.		55,587		2,894,971
				279,584,132
Energy – 7.9%
Anadarko Petroleum Corp.		81,044		6,711,254
Apache Corp.		60,570		3,654,188
Baker Hughes, Inc.		69,094		4,392,997
Cabot Oil & Gas Corp.		65,622		1,937,818
Cameron International Corp.(a)		30,467		1,374,671
Chesapeake Energy Corp.		78,594		1,112,891
Chevron Corp.(b)		294,834		30,951,673
Cimarex Energy Co.		13,242		1,524,022
ConocoPhillips		191,303		11,910,525
CONSOL Energy, Inc.		32,173		897,305
Devon Energy Corp.		59,550		3,591,460
Diamond Offshore Drilling, Inc.		9,954		266,668
Ensco PLC (Class A)		32,889		692,971
EOG Resources, Inc.		86,263		7,909,454
EQT Corp.		22,243		1,843,277
Exxon Mobil Corp.(b)		661,372		56,216,620
FMC Technologies, Inc.(a)		39,709		1,469,630
Halliburton Co.		130,167		5,711,728
Helmerich & Payne, Inc.		18,874		1,284,753
Hess Corp.		38,344		2,602,407
Kinder Morgan, Inc.		264,476		11,123,861
Marathon Oil Corp.		109,289		2,853,536
Marathon Petroleum Corp.		43,801		4,484,784
Murphy Oil Corp.		24,962		1,163,229
National Oilwell Varco, Inc.		66,641		3,331,384
Newfield Exploration Co.(a)		29,185		1,024,102
Noble Corp. PLC		37,996		542,583
Noble Energy, Inc.		62,595		3,060,896
Occidental Petroleum Corp.		121,135		8,842,855
ONEOK, Inc.		31,504		1,519,753
Phillips 66		85,692		6,735,391
Pioneer Natural Resources Co.		23,524		3,846,409
QEP Resources, Inc.		27,323		569,685
Range Resources Corp.		24,841		1,292,726
Schlumberger, Ltd.		202,072		16,860,888
Southwestern Energy Co.(a)		63,944		1,482,861
Spectra Energy Corp.		104,141		3,766,780
Tesoro Corp.		20,049		1,830,273
Transocean, Ltd.		47,690		699,612
Valero Energy Corp.		83,386		5,305,017

	Shares		Value
Williams Cos., Inc.		108,410	$	5,484,462
				231,877,399
Financials – 15.8%
ACE, Ltd.		52,067		5,804,950
Affiliated Managers Group, Inc.(a)		8,476		1,820,475
Aflac, Inc.		69,737		4,463,865
Allstate Corp.		63,967		4,552,531
American Express Co.		139,752		10,917,426
American International Group, Inc.		221,132		12,115,822
American Tower Corp. REIT		66,982		6,306,355
Ameriprise Financial, Inc.		29,963		3,920,359
Aon PLC		45,682		4,390,954
Apartment Investment & Management Co. (Class A) REIT		27,165		1,069,214
Assurant, Inc.		10,846		666,053
AvalonBay Communities, Inc. REIT		21,029		3,664,303
Bank of America Corp.		1,655,566		25,479,161
Bank of New York Mellon Corp.		179,791		7,234,790
BB&T Corp.		116,439		4,539,957
Berkshire Hathaway, Inc. (Class B)(a)		287,519		41,494,742
BlackRock, Inc.		20,118		7,359,969
Boston Properties, Inc. REIT		24,821		3,486,854
Capital One Financial Corp.		88,868		7,004,576
CBRE Group, Inc.(a)		42,908		1,660,969
Charles Schwab Corp.		181,489		5,524,525
Chubb Corp.		35,896		3,629,086
Cincinnati Financial Corp.		23,305		1,241,690
Citigroup, Inc.		474,493		24,445,879
CME Group, Inc.		49,092		4,649,503
Comerica, Inc.		25,917		1,169,634
Crown Castle International Corp. REIT		51,842		4,279,039
Discover Financial Services		72,977		4,112,254
E*TRADE Financial Corp.(a)		43,889		1,253,250
Equity Residential REIT		56,238		4,378,691
Essex Property Trust, Inc. REIT		9,555		2,196,695
Fifth Third Bancorp		136,554		2,574,043
Franklin Resources, Inc.		62,651		3,215,249
General Growth Properties, Inc. REIT		100,542		2,971,016
Genworth Financial, Inc. (Class A)(a)		71,189		520,392
Goldman Sachs Group, Inc.		63,688		11,971,433
Hartford Financial Services Group, Inc.		70,630		2,953,747
HCP, Inc. REIT		69,777		3,015,064
Health Care REIT, Inc.		55,581		4,299,746
Host Hotels & Resorts, Inc. REIT		113,659		2,293,639
Hudson City Bancorp, Inc.		66,376		695,620
Huntington Bancshares, Inc.		122,865		1,357,658
Intercontinental Exchange, Inc.		17,525		4,088,057
Invesco Ltd.		65,489		2,599,258
Iron Mountain, Inc. REIT		33,274		1,213,836
JPMorgan Chase & Co.		587,672		35,601,170

2

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Financials – (continued)
KeyCorp		128,679	$	1,822,095
Kimco Realty Corp. REIT		64,016		1,718,830
Legg Mason, Inc.		15,615		861,948
Leucadia National Corp.		47,809		1,065,663
Lincoln National Corp.		40,310		2,316,213
Loews Corp.		48,012		1,960,330
M&T Bank Corp.		21,534		2,734,818
Macerich Co. REIT		20,945		1,766,292
Marsh & McLennan Cos., Inc.		82,934		4,651,768
McGraw Hill Financial, Inc.		43,298		4,477,013
MetLife, Inc.		175,626		8,877,894
Moody’s Corp.		29,934		3,107,149
Morgan Stanley		239,155		8,535,442
NASDAQ OMX Group, Inc.		21,225		1,081,202
Navient Corp.		59,941		1,218,601
Northern Trust Corp.		35,310		2,459,342
People’s United Financial, Inc.		49,334		749,877
Plum Creek Timber Co., Inc. REIT		27,186		1,181,232
PNC Financial Services Group, Inc.		82,842		7,724,188
Principal Financial Group, Inc.		45,626		2,343,808
Progressive Corp.		85,852		2,335,174
ProLogis, Inc. REIT		80,147		3,491,203
Prudential Financial, Inc.		73,437		5,897,725
Public Storage, Inc. REIT		22,852		4,505,043
Regions Financial Corp.		213,143		2,014,201
Simon Property Group, Inc. REIT		48,935		9,573,643
State Street Corp.(c)		66,647		4,900,554
SunTrust Banks, Inc.		78,882		3,241,261
T. Rowe Price Group, Inc.		41,420		3,354,192
Torchmark Corp.		19,384		1,064,569
Travelers Cos., Inc.		51,098		5,525,227
U.S. Bancorp		278,230		12,150,304
Unum Group		43,424		1,464,692
Ventas, Inc. REIT		51,003		3,724,239
Vornado Realty Trust REIT		27,746		3,107,552
Wells Fargo & Co.		741,746		40,350,982
Weyerhaeuser Co. REIT		81,681		2,707,725
XL Group PLC		38,920		1,432,256
Zions Bancorporation		31,258		843,966
				466,541,712
Health Care – 14.6%
Abbott Laboratories		233,759		10,830,054
AbbVie, Inc.		249,863		14,626,980
Actavis PLC(a)		61,526		18,311,368
Aetna, Inc.		55,415		5,903,360
Agilent Technologies, Inc.		52,075		2,163,716
Alexion Pharmaceuticals, Inc.(a)		31,627		5,480,959
AmerisourceBergen Corp.		33,552		3,813,856
Amgen, Inc.		119,991		19,180,561
Anthem, Inc.		42,119		6,503,595
Baxter International, Inc.		86,645		5,935,183
Becton Dickinson and Co.		33,504		4,810,839
Biogen, Inc.(a)		37,347		15,769,397
Boston Scientific Corp.(a)		208,377		3,698,692
Bristol-Myers Squibb Co.		261,112		16,841,724
C.R. Bard, Inc.		11,162		1,867,961

	Shares		Value
Cardinal Health, Inc.		52,424	$	4,732,315
Celgene Corp.(a)		125,265		14,440,549
Cerner Corp.(a)		47,263		3,462,487
CIGNA Corp.		42,111		5,450,848
DaVita HealthCare Partners, Inc.(a)		26,572		2,159,772
DENTSPLY International, Inc.		20,166		1,026,248
Edwards Lifesciences Corp.(a)		16,445		2,342,755
Eli Lilly & Co.		152,857		11,105,061
Endo International PLC(a)		27,500		2,466,750
Express Scripts Holding Co.(a)		114,747		9,956,597
Gilead Sciences, Inc.(a)		237,646		23,320,202
HCA Holdings, Inc.(a)		46,800		3,520,764
Henry Schein, Inc.(a)		13,100		1,829,022
Hospira, Inc.(a)		28,117		2,469,797
Humana, Inc.		24,717		4,400,120
Intuitive Surgical, Inc.(a)		5,452		2,753,424
Johnson & Johnson		437,341		43,996,505
Laboratory Corp. of America Holdings(a)		16,747		2,111,629
Mallinckrodt PLC(a)		17,700		2,241,705
McKesson Corp.		36,031		8,150,212
Medtronic PLC		221,604		17,282,896
Merck & Co., Inc.		445,198		25,589,981
Mylan NV(a)		56,907		3,377,430
Patterson Cos., Inc.		11,159		544,448
PerkinElmer, Inc.		16,632		850,560
Perrigo Co. PLC		22,414		3,710,638
Pfizer, Inc.		966,348		33,619,247
Quest Diagnostics, Inc.		22,158		1,702,842
Regeneron Pharmaceuticals, Inc.(a)		11,458		5,173,058
St. Jude Medical, Inc.		44,053		2,881,066
Stryker Corp.		45,595		4,206,139
Tenet Healthcare Corp.(a)		13,452		666,009
Thermo Fisher Scientific, Inc.		62,512		8,397,862
UnitedHealth Group, Inc.		151,522		17,923,537
Universal Health Services, Inc.		13,300		1,565,543
Varian Medical Systems, Inc.(a)		15,631		1,470,721
Vertex Pharmaceuticals, Inc.(a)		38,748		4,571,102
Waters Corp.(a)		14,215		1,767,209
Zimmer Holdings, Inc.		25,727		3,023,437
Zoetis, Inc.		76,228		3,528,594
				429,527,326
Industrials – 10.2%
3M Co.		101,243		16,700,033
ADT Corp.		25,056		1,040,325
Allegion PLC		17,437		1,066,621
American Airlines Group, Inc.		112,000		5,911,360
AMETEK, Inc.		37,101		1,949,287
Boeing Co.		104,724		15,716,978
C.H. Robinson Worldwide, Inc.		22,382		1,638,810
Caterpillar, Inc.		93,855		7,511,216
Cintas Corp.		15,222		1,242,572
CSX Corp.		155,859		5,162,050
Cummins, Inc.		26,444		3,666,196
Danaher Corp.		96,478		8,190,982
Deere & Co.		53,554		4,696,150
Delta Air Lines, Inc.		130,566		5,870,247
Dover Corp.		27,945		1,931,558
Dun & Bradstreet Corp.		6,145		788,772

3

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Industrials – (continued)
Eaton Corp. PLC		76,199	$	5,176,960
Emerson Electric Co.		110,169		6,237,769
Equifax, Inc.		20,295		1,887,435
Expeditors International of Washington, Inc.		29,444		1,418,612
Fastenal Co.		44,042		1,824,880
FedEx Corp.		41,950		6,940,628
Flowserve Corp.		23,555		1,330,622
Fluor Corp.		22,556		1,289,301
General Dynamics Corp.		48,689		6,608,558
General Electric Co.		1,586,963		39,372,552
Honeywell International, Inc.		123,603		12,893,029
Illinois Tool Works, Inc.		56,071		5,446,737
Ingersoll-Rand PLC		41,116		2,799,177
Jacobs Engineering Group, Inc.(a)		20,157		910,290
Joy Global, Inc.		14,887		583,273
Kansas City Southern		16,704		1,705,144
L-3 Communications Holdings, Inc.		12,465		1,567,972
Lockheed Martin Corp.		42,749		8,676,337
Masco Corp.		54,139		1,445,511
Nielsen NV		52,275		2,329,897
Norfolk Southern Corp.		49,768		5,122,123
Northrop Grumman Corp.		31,686		5,100,179
PACCAR, Inc.		54,235		3,424,398
Pall Corp.		16,107		1,616,982
Parker-Hannifin Corp.		23,914		2,840,505
Pentair PLC		28,991		1,823,244
Pitney Bowes, Inc.		30,921		721,078
Precision Castparts Corp.		21,978		4,615,380
Quanta Services, Inc.(a)		30,293		864,259
Raytheon Co.		47,736		5,215,158
Republic Services, Inc.		41,114		1,667,584
Robert Half International, Inc.		20,374		1,233,034
Rockwell Automation, Inc.		21,779		2,526,146
Rockwell Collins, Inc.		22,300		2,153,065
Roper Industries, Inc.		16,535		2,844,020
Ryder System, Inc.		9,755		925,652
Snap-on, Inc.		8,872		1,304,716
Southwest Airlines Co.		105,927		4,692,566
Stanley Black & Decker, Inc.		24,950		2,379,232
Stericycle, Inc.(a)		14,104		1,980,625
Textron, Inc.		44,906		1,990,683
Tyco International PLC		67,336		2,899,488
Union Pacific Corp.		140,038		15,167,516
United Parcel Service, Inc. (Class B)		109,455		10,610,568
United Rentals, Inc.(a)		15,200		1,385,632
United Technologies Corp.		132,627		15,543,884
W.W. Grainger, Inc.		9,412		2,219,444
Waste Management, Inc.		68,204		3,698,703
Xylem, Inc.		32,634		1,142,843
				301,236,548
Information Technology – 19.3%
Accenture PLC (Class A)		99,282		9,301,731
Adobe Systems, Inc.(a)		73,813		5,457,733
Akamai Technologies, Inc.(a)		27,734		1,970,362
Alliance Data Systems Corp.(a)		10,204		3,022,935

	Shares		Value
Altera Corp.		51,354	$	2,203,600
Amphenol Corp. (Class A)		49,980		2,945,321
Analog Devices, Inc.		50,818		3,201,534
Apple, Inc.		919,464		114,408,906
Applied Materials, Inc.		190,653		4,301,132
Autodesk, Inc.(a)		34,170		2,003,729
Automatic Data Processing, Inc.		76,465		6,548,463
Avago Technologies, Ltd.		38,718		4,916,412
Broadcom Corp. (Class A)		87,635		3,794,157
CA, Inc.		54,159		1,766,125
Cisco Systems, Inc.		803,029		22,103,373
Citrix Systems, Inc.(a)		25,678		1,640,054
Cognizant Technology Solutions Corp. (Class A)(a)		93,627		5,841,389
Computer Sciences Corp.		22,732		1,483,945
Corning, Inc.		203,350		4,611,978
eBay, Inc.(a)		176,658		10,189,633
Electronic Arts, Inc.(a)		50,121		2,947,867
EMC Corp.		316,474		8,089,075
Equinix, Inc. REIT		8,800		2,049,080
F5 Networks, Inc.(a)		10,559		1,213,651
Facebook, Inc. (Class A)(a)		327,407		26,917,767
Fidelity National Information Services, Inc.		44,886		3,054,941
First Solar, Inc.(a)		11,749		702,473
Fiserv, Inc.(a)		40,042		3,179,335
FLIR Systems, Inc.		20,339		636,204
Google, Inc. (Class A)(a)		45,023		24,974,258
Google, Inc. (Class C)(a)		44,723		24,508,204
Harris Corp.		16,098		1,267,878
Hewlett-Packard Co.		289,363		9,016,551
Intel Corp.		755,020		23,609,475
International Business Machines Corp.		143,647		23,055,343
Intuit, Inc.		46,126		4,472,377
Juniper Networks, Inc.		58,444		1,319,666
KLA-Tencor Corp.		26,573		1,548,940
Lam Research Corp.		24,281		1,705,376
Linear Technology Corp.		35,021		1,638,983
Mastercard, Inc. (Class A)		155,049		13,394,683
Microchip Technology, Inc.		34,006		1,662,893
Micron Technology, Inc.(a)		173,328		4,702,389
Microsoft Corp.(b)		1,294,077		52,610,700
Motorola Solutions, Inc.		33,022		2,201,577
NetApp, Inc.		49,643		1,760,341
NVIDIA Corp.		87,012		1,820,726
Oracle Corp.		507,070		21,880,071
Paychex, Inc.		49,131		2,437,635
QUALCOMM, Inc.		258,985		17,958,020
Red Hat, Inc.(a)		28,130		2,130,848
Salesforce.com, Inc.(a)		93,805		6,267,112
SanDisk Corp.		33,206		2,112,566
Seagate Technology PLC		49,776		2,589,845
Skyworks Solutions, Inc.		29,700		2,919,213
SL Green Realty Corp. REIT		15,400		1,977,052
Symantec Corp.		108,203		2,528,163
TE Connectivity, Ltd.		64,849		4,644,485
Teradata Corp.(a)		21,913		967,240
Texas Instruments, Inc.		163,806		9,367,246
Total System Services, Inc.		22,999		877,412
VeriSign, Inc.(a)		19,320		1,293,860
Visa, Inc. (Class A)		304,440		19,913,420

4

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Information Technology – (continued)
Western Digital Corp.		33,647	$	3,062,213
Western Union Co.		89,340		1,859,165
Xerox Corp.		161,592		2,076,457
Xilinx, Inc.		39,642		1,676,857
Yahoo!, Inc.(a)		137,637		6,115,900
				570,428,045
Materials – 3.1%
Air Products & Chemicals, Inc.		29,807		4,509,203
Airgas, Inc.		10,040		1,065,344
Alcoa, Inc.		183,889		2,375,846
Allegheny Technologies, Inc.		14,911		447,479
Avery Dennison Corp.		13,318		704,655
Ball Corp.		21,658		1,529,921
C.F. Industries Holdings, Inc.		8,006		2,271,142
Dow Chemical Co.		173,790		8,338,444
E.I. du Pont de Nemours & Co.		142,594		10,191,193
Eastman Chemical Co.		25,372		1,757,265
Ecolab, Inc.		41,565		4,754,205
FMC Corp.		22,922		1,312,285
Freeport-McMoRan, Inc.		157,964		2,993,418
International Flavors & Fragrances, Inc.		13,780		1,617,772
International Paper Co.		66,808		3,707,176
LyondellBasell Industries NV (Class A)		62,452		5,483,286
Martin Marietta Materials, Inc.		10,555		1,475,589
MeadWestvaco Corp.		24,943		1,243,907
Monsanto Co.		75,094		8,451,079
Mosaic Co.		47,516		2,188,587
Newmont Mining Corp.		73,573		1,597,270
Nucor Corp.		53,006		2,519,375
Owens-Illinois, Inc.(a)		22,763		530,833
PPG Industries, Inc.		21,444		4,836,480
Praxair, Inc.		45,000		5,433,300
Sealed Air Corp.		32,469		1,479,288
Sherwin-Williams Co.		13,287		3,780,151
Sigma-Aldrich Corp.		19,661		2,718,133
Vulcan Materials Co.		22,290		1,879,047
				91,191,673
Telecommunication Services – 2.2%
AT&T, Inc.		816,573		26,661,108
CenturyLink, Inc.		86,173		2,977,277
Frontier Communications Corp.		143,538		1,011,943
Level 3 Communications, Inc.(a)		41,500		2,234,360
Verizon Communications, Inc.		652,651		31,738,418
Windstream Holdings, Inc.		85,867		635,416
				65,258,522
Utilities – 2.9%
AES Corp.		98,059		1,260,058
AGL Resources, Inc.		18,002		893,799
Ameren Corp.		36,056		1,521,563
American Electric Power Co., Inc.		75,043		4,221,169
CenterPoint Energy, Inc.		65,335		1,333,487
CMS Energy Corp.		42,001		1,466,255
Consolidated Edison, Inc.		47,100		2,873,100
Dominion Resources, Inc.		91,268		6,468,163
DTE Energy Co.		29,539		2,383,502

	Shares		Value
Duke Energy Corp.		110,491	$	8,483,499
Edison International		49,505		3,092,577
Entergy Corp.		27,000		2,092,230
Eversource Energy		51,243		2,588,796
Exelon Corp.		131,659		4,425,059
FirstEnergy Corp.		68,129		2,388,603
Integrys Energy Group, Inc.		11,180		805,184
NextEra Energy, Inc.		69,057		7,185,381
NiSource, Inc.		47,478		2,096,628
NRG Energy, Inc.		51,498		1,297,235
Pepco Holdings, Inc.		35,659		956,731
PG&E Corp.		77,112		4,092,334
Pinnacle West Capital Corp.		18,956		1,208,445
PPL Corp.		105,756		3,559,747
Public Service Enterprise Group, Inc.		76,936		3,225,157
SCANA Corp.		23,801		1,308,817
Sempra Energy		35,624		3,883,729
Southern Co.		139,484		6,176,352
TECO Energy, Inc.		42,650		827,410
Wisconsin Energy Corp.		32,976		1,632,312
Xcel Energy, Inc.		80,800		2,812,648
				86,559,970
TOTAL COMMON STOCKS (Cost $1,398,480,820)				2,886,580,448
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.2%
U.S. Treasury Bill(b)(d)(e) 0.05% due 04/09/2015	$	2,000,000		1,999,993
U.S. Treasury Bill(b)(d)(e) 0.05% due 04/16/2015		3,760,000		3,759,996
TOTAL U.S. GOVERNMENT SECURITIES (Cost $5,759,989)				5,759,989
	Shares
SHORT TERM INVESTMENT – 1.8%
MONEY MARKET FUND – 1.8%
State Street Institutional Liquid Reserves Fund, Premier Class 0.10%(c)(f)		52,775,048		52,775,048
(Cost $52,775,048)
TOTAL INVESTMENTS(g)† – 99.9% (Cost $1,457,015,857(h))				2,945,115,485
Assets in Excess of Other Liabilities – 0.1%				2,579,741
NET ASSETS – 100.0%			$	2,947,695,226

^(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)  Securities are valued in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs.

5

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

^(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, 2015 was $1,504,390,649 and $16,291,021, respectively, resulting in net unrealized appreciation of investments of $1,488,099,628.

† Security valuation: The Portfolio’s 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 at the quoted daily settlement price at the end of each day on the exchange upon which they are traded. 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. Investments in other mutual funds are valued at net asset value per share. 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.

PLC	Public Limited Company
REIT	Real Estate Investment Trust

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 Portfolio’s 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 Portfolio’s 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, 2015, in valuing the Portfolio’s 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	$	2,886,580,448	$	—	$	—	$	2,886,580,448
U.S. Government Securities		—		5,759,989		—		5,759,989
Short Term Investment		52,775,048		—		—		52,775,048
Total Investments		2,939,355,496		5,759,989		—		2,945,115,485
Other Financial Instruments:
Futures contracts		213,946		—		—		213,946
Total Investments and Other Financial Instruments	$	2,939,569,442	$	5,759,989	$	—	$	2,945,329,431

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 Portfolio’s investments by category.

For the three months ended March 31, 2015, there were no transfers between levels.

6

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

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. 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.

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 06/2015		599	$	61,720,960	$	213,946
Total unrealized appreciation on open futures contracts purchased					$	213,946

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 benchmark 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 Portfolio’s 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 Portfolio’s 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 Portfolio’s 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 Portfolio’s 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 discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at March 31, 2015:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk		Total
Futures Contracts	$	213,946	$	213,946

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts.

The average notional value of futures outstanding during the period ended March 31, 2015, was $80,934,549.

7

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

March 31, 2015 (Unaudited)

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSGA Funds Management, Inc. 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, 2015 were as follows:

Security Description	Number of shares held at 12/31/14		Shares purchased for the three months ended 3/31/15		Shares sold for the three months ended 3/31/15		Number of shares held at 3/31/15		Value at 3/31/15		Income earned for the three months ended 3/31/15		Realized gain/loss on shares sold
State Street Corp.		62,947		3,700		—		66,647	$	4,900,554	$	19,994	$	—
State Street Institutional Liquid Reserves Fund, Premier Class		91,116,189		97,171,058		135,512,199		52,775,048		52,775,048		18,590		—

8

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, 2015 is provided below.

Schedule of Investments March 31, 2015 (Unaudited)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Advertising Agencies — 0.3%
Constant Contact, Inc. (a)		15,069	$	575,786
Harte-Hanks, Inc.		24,398		190,304
Marchex, Inc., Class B		17,264		70,437
Marin Software, Inc. (a)		12,062		75,870
Marketo, Inc. (a)		12,408		317,893
MDC Partners, Inc., Class A		20,550		582,593
National CineMedia, Inc.		29,738		449,044
QuinStreet, Inc. (a)		16,800		99,960
ReachLocal, Inc. (a)		5,647		16,433
Sizmek, Inc. (a)		10,278		74,618
TubeMogul, Inc. (a)		1,507		20,827
Viad Corp.		10,061		279,897
				2,753,662
Aerospace — 1.3%
AAR Corp.		19,077		585,664
Aerovironment, Inc. (a)		8,950		237,265
Astronics Corp. (a)		9,039		666,174
Cubic Corp.		9,924		513,765
Curtiss-Wright Corp.		23,114		1,709,049
Ducommun, Inc. (a)		5,478		141,880
Erickson Air-Crane, Inc. (a)		2,979		12,869
Esterline Technologies Corp. (a)		15,255		1,745,477
GenCorp, Inc. (a)		28,867		669,426
HEICO Corp.		31,485		1,922,789
Kaman Corp.		13,174		558,973
Kratos Defense & Security Solutions, Inc. (a)		21,444		118,585
LMI Aerospace, Inc. (a)		5,125		62,576
Moog, Inc., Class A (a)		19,835		1,488,617
SIFCO Industries, Inc.		1,154		25,146
Teledyne Technologies, Inc. (a)		16,641		1,776,094
				12,234,349
Agriculture, Fishing & Ranching — 0.4%
Alico, Inc.		1,336		68,483
The Andersons, Inc.		13,592		562,301
Cal-Maine Foods, Inc.		14,865		580,627
Calavo Growers, Inc.		6,935		356,597
Fresh Del Monte Produce, Inc.		15,613		607,502
Limoneira Co.		5,576		121,557
Sanderson Farms, Inc.		11,115		885,310
Seaboard Corp. (a)		130		537,160
				3,719,537
Air Transport — 0.7%
Air Transport Services Group, Inc. (a)		24,621		227,006
Allegiant Travel Co.		6,581		1,265,460
Atlas Air Worldwide Holdings, Inc. (a)		12,132		521,919
Bristow Group, Inc.		16,935		922,111
Era Group, Inc. (a)		9,593		199,918

Common Stocks	Shares		Value
Air Transport (concluded)
Hawaiian Holdings, Inc. (a)		21,697	$	477,876
JetBlue Airways Corp. (a)		119,096		2,292,598
PHI, Inc. (a)		6,167		185,503
Republic Airways Holdings, Inc. (a)		24,157		332,159
SkyWest, Inc.		24,628		359,815
Virgin America, Inc. (a)		7,499		227,970
				7,012,335
Alternative Energy — 0.2%
Abengoa Yield PLC		13,828		467,110
Ameresco, Inc., Class A (a)		9,290		68,746
Amyris, Inc. (a)(b)		13,914		33,394
EnerNOC, Inc. (a)		12,727		145,088
Green Plains Renewable Energy, Inc.		18,073		515,984
REX American Resources Corp. (a)		3,113		189,301
Solazyme, Inc. (a)(b)		35,351		101,104
TerraForm Power, Inc., Class A (a)		13,777		502,998
Vivint Solar, Inc. (a)		9,529		115,682
				2,139,407
Aluminum — 0.1%
Century Aluminum Co. (a)		24,705		340,929
Kaiser Aluminum Corp.		8,646		664,791
Noranda Aluminum Holding Corp.		21,363		63,448
				1,069,168
Asset Management & Custodian — 0.6%
Arlington Asset Investment Corp.		8,623		207,469
Ashford, Inc. (a)		381		45,248
Calamos Asset Management, Inc., Class A		8,215		110,492
CIFC Corp.		2,412		18,452
Cohen & Steers, Inc.		9,305		381,040
Cowen Group, Inc., Class A (a)		56,195		292,214
Diamond Hill Investment Group, Inc.		1,392		222,720
Fifth Street Asset Management, Inc.		2,924		32,953
Financial Engines, Inc.		24,406		1,020,903
GAMCO Investors, Inc., Class A		3,138		246,364
KCG Holdings, Inc., Class A (a)		21,865		268,065
Manning & Napier, Inc.		6,381		83,017
Medley Management, Inc.		2,907		31,948
OM Asset Management PLC		11,916		222,114
Oppenheimer Holdings, Inc., Class A		4,731		110,989
Pzena Investment Management, Inc., Class A		5,392		49,445
RCS Capital Corp., Class A		5,067		53,913
Resource America, Inc., Class A		7,195		65,475
Silvercrest Asset Management Group, Inc., Class A		2,861		40,769

BLACKROCK INDEX FUNDS, INC. MARCH 31, 2015 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)
Virtus Investment Partners, Inc.		3,414	$	446,449
Westwood Holdings Group, Inc.		3,631		218,949
WisdomTree Investments, Inc.		51,748		1,110,512
				5,279,500
Auto Parts — 0.9%
American Axle & Manufacturing Holdings, Inc. (a)		32,597		841,981
Dana Holding Corp.		80,206		1,697,159
Dorman Products, Inc. (a)		12,970		645,258
Federal-Mogul Corp. (a)		13,719		182,600
Fox Factory Holding Corp. (a)		5,183		79,507
Fuel Systems Solutions, Inc. (a)		6,833		75,436
Gentherm, Inc. (a)		16,902		853,720
Meritor, Inc. (a)		47,190		595,066
Metaldyne Performance Group, Inc. (a)		4,903		88,352
Remy International, Inc.		14,807		328,863
Standard Motor Products, Inc.		9,480		400,625
Stoneridge, Inc. (a)		13,106		147,967
Superior Industries International, Inc.		11,232		212,622
Tenneco, Inc. (a)		28,832		1,655,533
Tower International, Inc. (a)		10,047		267,250
				8,071,939
Auto Services — 0.1%
Cooper Tire & Rubber Co.		27,879		1,194,336
Back Office Support, HR & Consulting — 1.8%
The Advisory Board Co. (a)		20,232		1,077,961
Angie’s List, Inc. (a)		20,552		120,640
Arrowhead Research Corp. (a)(b)		26,691		180,565
Barrett Business Services, Inc.		3,334		142,829
CBIZ, Inc. (a)		20,831		194,353
CDI Corp.		6,648		93,404
Convergys Corp.		48,936		1,119,166
The Corporate Executive Board Co.		16,289		1,300,840
CRA International, Inc. (a)		4,817		149,905
Dice Holdings, Inc. (a)		19,043		169,864
ExlService Holdings, Inc. (a)		15,802		587,834
Forrester Research, Inc.		5,414		199,127
FTI Consulting, Inc. (a)		19,741		739,498
GP Strategies Corp. (a)		6,233		230,621
The Hackett Group, Inc.		11,635		104,017
Heidrick & Struggles International, Inc.		8,479		208,414
Huron Consulting Group, Inc. (a)		11,370		752,125
ICF International, Inc. (a)		9,708		396,572
Insperity, Inc.		10,859		567,817
Kelly Services, Inc., Class A		12,903		225,028
Kforce, Inc.		12,056		268,969
Korn/Ferry International		23,907		785,823
Liquidity Services, Inc. (a)		11,457		113,195

Common Stocks	Shares		Value
Back Office Support, HR & Consulting (concluded)
MAXIMUS, Inc.		32,082	$	2,141,794
Monster Worldwide, Inc. (a)		44,099		279,588
Navigant Consulting, Inc. (a)		24,045		311,623
On Assignment, Inc. (a)		24,245		930,281
Patriot National, Inc. (a)		3,813		48,425
Paylocity Holding Corp. (a)		3,862		110,608
PRGX Global, Inc. (a)		13,291		53,430
Resources Connection, Inc.		18,899		330,733
RPX Corp. (a)		25,935		373,205
ServiceSource International, Inc. (a)		31,775		98,503
Sykes Enterprises, Inc. (a)		19,152		475,927
TeleTech Holdings, Inc.		8,674		220,753
TriNet Group, Inc. (a)		7,727		272,222
TrueBlue, Inc. (a)		20,012		487,292
WageWorks, Inc. (a)		16,861		899,197
				16,762,148
Banks: Diversified — 7.0%
1st Source Corp.		6,988		224,524
Ambac Financial Group, Inc. (a)		17,555		424,831
American National Bankshares, Inc.		3,989		90,072
Ameris Bancorp		14,148		373,366
Ames National Corp.		4,021		99,922
Anchor BanCorp Wisconsin, Inc. (a)		3,076		106,829
Arrow Financial Corp.		5,066		137,542
Bancfirst Corp.		3,349		204,222
Banco Latinoamericano de Comercio Exterior SA		14,348		470,471
The Bancorp, Inc. (a)		15,902		143,595
BancorpSouth, Inc.		45,401		1,054,211
The Bank of Kentucky Financial Corp.		3,003		147,297
Bank of Marin Bancorp		2,840		144,556
Bank of the Ozarks, Inc.		40,719		1,503,753
Banner Corp.		9,200		422,280
BBCN Bancorp, Inc.		38,433		556,126
BBX Capital Corp. (a)		3,562		66,253
Beneficial Bancorp, Inc. (a)		15,449		174,419
BNC Bancorp		9,287		168,095
Boston Private Financial Holdings, Inc.		38,605		469,051
Bridge Bancorp, Inc.		5,569		143,847
Bridge Capital Holdings (a)		4,539		118,513
Bryn Mawr Bank Corp.		7,428		225,885
Camden National Corp.		3,733		148,723
Capital City Bank Group, Inc.		5,174		84,078
Capitol Federal Financial, Inc.		68,585		857,312
Cardinal Financial Corp.		15,487		309,430
Cascade Bancorp (a)		14,544		69,811
Cathay General Bancorp		38,252		1,088,269
Centerstate Banks, Inc.		17,397		207,198

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 2

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Banks: Diversified (continued)
Central Pacific Financial Corp.		6,540	$	150,224
Century Bancorp, Inc., Class A		1,790		71,063
Charter Financial Corp.		8,108		93,242
Chemical Financial Corp.		15,753		494,014
Citizens & Northern Corp.		5,932		119,708
City Holding Co.		7,608		357,804
CNB Financial Corp.		6,875		117,013
CoBiz Financial, Inc.		17,060		210,179
Columbia Banking System, Inc.		27,600		799,572
Community Bank System, Inc.		19,573		692,688
Community Trust Bancorp, Inc.		7,652		253,740
CommunityOne Bancorp (a)		5,682		55,911
ConnectOne Bancorp, Inc.		10,688		207,988
CU Bancorp (a)		4,818		109,610
Customers Bancorp, Inc. (a)		12,506		304,646
CVB Financial Corp.		50,804		809,816
Eagle Bancorp, Inc. (a)		13,597		522,125
Enterprise Bancorp, Inc.		3,640		77,350
Enterprise Financial Services Corp.		9,667		199,720
EverBank Financial Corp.		43,868		790,940
Fidelity Southern Corp.		7,644		129,031
Financial Institutions, Inc.		6,448		147,853
First Bancorp, Inc.		4,334		75,628
First Bancorp, North Carolina		9,141		160,516
First BanCorp, Puerto Rico (a)		48,694		301,903
First Busey Corp.		34,170		228,597
First Business Financial Services, Inc.		1,912		82,675
First Citizens BancShares, Inc., Class A		4,606		1,196,132
First Commonwealth Financial Corp.		45,603		410,427
First Community Bancshares, Inc.		7,809		136,892
First Connecticut Bancorp, Inc.		7,637		117,381
First Financial Bancorp		27,849		495,991
First Financial Bankshares, Inc.		30,208		834,949
First Financial Corp.		5,343		191,760
First Interstate Bancsystem, Inc.		8,874		246,875
First Merchants Corp.		17,325		407,831
First Midwest Bancorp, Inc.		36,346		631,330
First NBC Bank Holding Co. (a)		7,344		242,205
The First of Long Island Corp.		5,664		144,432
FirstMerit Corp.		78,427		1,494,819
Flagstar Bancorp, Inc. (a)		9,388		136,220
FNB Corp.		83,227		1,093,603
German American Bancorp, Inc.		6,305		185,556
Glacier Bancorp, Inc.		35,121		883,293
Great Western Bancorp, Inc.		8,698		191,443
Guaranty Bancorp		7,105		120,501
Hampton Roads Bankshares, Inc. (a)		14,153		26,749
Hancock Holding Co.		39,053		1,166,123
Hanmi Financial Corp.		14,962		316,446

Common Stocks	Shares		Value
Banks: Diversified (continued)
Heartland Financial USA, Inc.		7,480	$	244,072
Heritage Commerce Corp.		9,841		89,848
Heritage Oaks Bancorp		10,871		90,338
Home BancShares, Inc.		25,949		879,412
Horizon Bancorp		4,619		108,038
Hudson Valley Holding Corp.		7,009		179,150
Iberiabank Corp.		15,101		951,816
Independent Bank Corp./MA		12,263		537,978
Independent Bank Corp./MI		8,253		105,886
Independent Bank Group, Inc.		4,379		170,387
International Bancshares Corp.		26,125		680,034
Janus Capital Group, Inc.		71,888		1,235,755
Lakeland Bancorp, Inc.		18,033		207,380
Lakeland Financial Corp.		8,014		325,208
Macatawa Bank Corp.		11,734		62,777
MainSource Financial Group, Inc.		9,642		189,369
MB Financial, Inc.		31,852		997,286
Mercantile Bank Corp.		8,073		157,827
Merchants Bancshares, Inc.		2,361		68,870
Metro Bancorp, Inc.		6,790		187,200
MidSouth Bancorp, Inc.		3,793		55,947
National Bank Holdings Corp., Class A		16,574		311,757
National Bankshares, Inc.		3,332		99,427
National Penn Bancshares, Inc.		59,723		643,217
NBT Bancorp, Inc.		21,036		527,162
NewBridge Bancorp		16,187		144,388
Northrim BanCorp, Inc.		3,092		75,878
OFG Bancorp		21,886		357,180
Old Line Bancshares, Inc.		3,870		61,146
Old National Bancorp		56,688		804,403
Opus Bank		2,425		74,884
Pacific Continental Corp.		9,360		123,739
Pacific Premier Bancorp, Inc. (a)		9,367		151,652
Palmetto Bancshares, Inc.		2,178		41,382
Park National Corp.		6,138		525,167
Park Sterling Corp.		21,058		149,512
Peapack Gladstone Financial Corp.		7,467		161,287
Penns Woods Bancorp, Inc.		2,230		109,069
Peoples Bancorp, Inc.		7,204		170,303
Peoples Financial Services Corp.		3,610		161,981
Pinnacle Financial Partners, Inc.		17,090		759,821
Preferred Bank		5,550		152,459
PrivateBancorp, Inc.		34,353		1,208,195
Prosperity Bancshares, Inc.		33,150		1,739,712
Provident Financial Services, Inc.		29,091		542,547
Renasant Corp.		15,185		456,309
Republic Bancorp, Inc., Class A		4,755		117,591
Republic First Bancorp, Inc. (a)		14,150		51,365
S&T Bancorp, Inc.		15,045		426,977
Sandy Spring Bancorp, Inc.		12,135		318,301
Seacoast Banking Corp. of Florida (a)		9,082		129,600

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 3

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Banks: Diversified (concluded)
ServisFirst Bancshares, Inc.		889	$	29,328
Sierra Bancorp		5,718		95,491
Simmons First National Corp., Class A		10,540		479,254
South State Corp.		11,579		791,888
Southside Bancshares, Inc.		11,625		333,521
Southwest Bancorp, Inc.		9,780		173,986
Square 1 Financial, Inc. (a)		3,215		86,066
State Bank Financial Corp.		17,034		357,714
Stock Yards Bancorp, Inc.		6,869		236,500
Stonegate Bank		4,959		149,712
Suffolk Bancorp		5,532		131,440
Susquehanna Bancshares, Inc.		89,985		1,233,694
Talmer Bancorp, Inc., Class A		8,969		137,360
Texas Capital Bancshares, Inc. (a)		21,750		1,058,137
Tompkins Financial Corp.		7,183		386,805
TowneBank		20,870		335,590
Trico Bancshares		11,007		265,599
Tristate Capital Holdings, Inc. (a)		10,369		108,563
Triumph Bancorp, Inc. (a)		3,514		48,001
TrustCo Bank Corp. NY		45,635		313,969
Trustmark Corp.		32,416		787,060
UMB Financial Corp.		17,767		939,697
Umpqua Holdings Corp.		78,910		1,355,674
Union Bankshares Corp.		22,330		495,949
United Bankshares, Inc.		33,016		1,240,741
United Community Banks, Inc.		23,998		453,082
United Community Financial Corp.		24,080		131,477
Univest Corp. of Pennsylvania		7,718		152,739
Valley National Bancorp		109,154		1,030,414
Washington Trust Bancorp, Inc.		7,095		270,958
Webster Financial Corp.		43,346		1,605,969
WesBanco, Inc.		15,671		510,561
West BanCorp., Inc.		7,393		147,047
Westamerica BanCorp		12,468		538,742
Western Alliance Bancorp (a)		36,196		1,072,849
Wilshire Bancorp, Inc.		34,130		340,276
Wintrust Financial Corp.		22,348		1,065,553
Yadkin Financial Corp. (a)		9,457		191,977
				65,673,367
Banks: Savings, Thrift & Mortgage Lending — 1.2%
Apollo Residential Mortgage, Inc.		15,875		253,206
Astoria Financial Corp.		41,953		543,291
Banc of California, Inc.		16,633		204,752
Bank Mutual Corp.		21,565		157,856
BankFinancial Corp.		8,963		117,774
Berkshire Hills Bancorp, Inc.		12,297		340,627
BofI Holding, Inc. (a)		7,270		676,401
Brookline Bancorp, Inc.		34,143		343,137
Clifton Bancorp, Inc.		12,339		174,103
Dime Community Bancshares, Inc.		16,075		258,808
First Defiance Financial Corp.		4,582		150,381

Common Stocks	Shares		Value
Banks: Savings, Thrift & Mortgage Lending (concluded)
First Financial Northwest, Inc.		6,328	$	78,151
Flushing Financial Corp.		14,686		294,748
Fox Chase Bancorp, Inc.		5,747		96,722
Great Southern Bancorp, Inc.		4,915		193,602
Heritage Financial Corp.		14,239		242,063
Home Loan Servicing Solutions Ltd.		34,264		566,727
HomeStreet, Inc. (a)		10,923		200,109
Investors Bancorp, Inc.		171,460		2,009,511
Kearny Financial Corp. (a)		6,561		89,099
Ladder Capital Corp., Class A (a)		7,714		142,786
LegacyTexas Financial Group, Inc.		19,683		447,395
Meridian Bancorp, Inc. (a)		9,795		129,000
Northfield Bancorp, Inc.		22,154		328,322
Northwest Bancshares, Inc.		45,486		539,009
OceanFirst Financial Corp.		6,218		107,385
Oritani Financial Corp.		22,145		322,210
Sterling Bancorp		43,854		588,082
Territorial Bancorp, Inc.		4,133		98,200
United Financial Bancorp, Inc.		22,950		285,269
Washington Federal, Inc.		48,620		1,060,159
Waterstone Financial, Inc.		16,098		206,698
WSFS Financial Corp.		4,321		326,797
				11,572,380
Beverage: Brewers & Distillers — 0.1%
The Boston Beer Co., Inc., Class A (a)		3,995		1,068,263
Craft Brew Alliance, Inc. (a)		4,976		67,873
				1,136,136
Beverage: Soft Drinks — 0.0%
Coca-Cola Bottling Co. Consolidated		2,194		248,054
Farmer Bros Co. (a)		3,443		85,214
National Beverage Corp. (a)		5,293		129,202
				462,470
Biotechnology — 5.0%
Acceleron Pharma, Inc. (a)		7,909		301,017
Acorda Therapeutics, Inc. (a)		20,056		667,464
Actinium Pharmaceuticals, Inc. (a)(b)		13,234		32,688
Aegerion Pharmaceuticals, Inc. (a)		14,275		373,577
Agenus, Inc. (a)		29,775		152,746
Akebia Therapeutics, Inc. (a)		3,686		40,951
Albany Molecular Research, Inc. (a)		11,236		197,754
Alder Biopharmaceuticals, Inc. (a)		4,854		140,086
Alimera Sciences, Inc. (a)(b)		12,835		64,303
AMAG Pharmaceuticals, Inc. (a)		8,505		464,883
ANI Pharmaceuticals, Inc. (a)		3,267		204,351
Applied Genetic Technologies Corp. (a)		2,761		55,192

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 4

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Biotechnology (continued)
Ardelyx, Inc. (a)		2,278	$	29,819
Arena Pharmaceuticals, Inc. (a)		116,158		507,610
Ariad Pharmaceuticals, Inc. (a)		79,306		653,481
Array BioPharma, Inc. (a)		67,158		494,954
Atara Biotherapeutics, Inc. (a)		3,394		141,089
Avalanche Biotechnologies, Inc. (a)		3,692		149,600
Bellicum Pharmaceuticals, Inc. (a)		3,857		89,367
Bio Path Holdings, Inc. (a)(b)		33,228		59,810
BioCryst Pharmaceuticals, Inc. (a)		33,867		305,819
BioDelivery Sciences International, Inc. (a)		20,212		212,226
BioTelemetry, Inc. (a)		12,221		108,156
Biotime, Inc. (a)(b)		23,740		117,988
Bluebird Bio, Inc. (a)		11,830		1,428,709
Calithera Biosciences, Inc. (a)(b)		3,873		63,595
Celldex Therapeutics, Inc. (a)		46,585		1,298,324
Cellular Dynamics International, Inc. (a)		4,032		66,246
Cepheid, Inc. (a)		33,122		1,884,642
ChemoCentryx, Inc. (a)		13,248		100,022
Clovis Oncology, Inc. (a)		11,844		879,180
Coherus Biosciences, Inc. (a)		3,160		96,633
CTI BioPharma Corp. (a)		70,070		126,827
Cytokinetics, Inc. (a)		16,507		111,917
Cytori Therapeutics, Inc. (a)(b)		45,840		54,091
CytRx Corp. (a)(b)		25,794		86,926
Dermira, Inc. (a)		3,793		58,223
Dyax Corp. (a)		65,152		1,091,622
Dynavax Technologies Corp. (a)		13,658		306,349
Eleven Biotherapeutics, Inc. (a)		2,260		20,159
Emergent Biosolutions, Inc. (a)		14,043		403,877
Enzo Biochem, Inc. (a)		16,680		49,206
Epizyme, Inc. (a)		7,186		134,953
Exact Sciences Corp. (a)		42,514		936,158
Exelixis, Inc. (a)(b)		94,404		242,618
FibroGen, Inc. (a)		4,465		140,112
Five Prime Therapeutics, Inc. (a)		9,845		224,958
Flex Pharma, Inc. (a)		2,362		46,295
Foundation Medicine, Inc. (a)		6,721		323,347
Galena Biopharma, Inc. (a)(b)		71,116		98,851
GenMark Diagnostics, Inc. (a)		20,216		262,404
Genocea Biosciences, Inc. (a)		2,789		33,078
Genomic Health, Inc. (a)		8,131		248,402
Geron Corp. (a)		73,907		278,629
Halozyme Therapeutics, Inc. (a)		49,745		710,359
Heron Therapeutics, Inc. (a)		10,739		156,252
Hyperion Therapeutics, Inc. (a)		6,442		295,688
Idera Pharmaceuticals, Inc. (a)		41,630		154,447
IGI Laboratories, Inc. (a)		15,159		123,697
Immunogen, Inc. (a)		41,503		371,452
Immunomedics, Inc. (a)		40,657		155,716
INC Research Holdings, Inc., Class A (a)		4,462		146,041

Common Stocks	Shares		Value
Biotechnology (continued)
Inovio Pharmaceuticals, Inc. (a)(b)		28,279	$	230,757
Insmed, Inc. (a)		23,822		495,498
Insys Therapeutics, Inc. (a)		4,586		266,584
Intrexon Corp. (a)		18,125		822,331
Invitae Corp. (a)		3,233		54,185
Karyopharm Therapeutics, Inc. (a)		6,923		211,913
Keryx Biopharmaceuticals, Inc. (a)(b)		48,649		619,302
Kindred Biosciences, Inc. (a)		5,328		38,042
Lexicon Pharmaceuticals, Inc. (a)		117,319		110,784
Liberator Medical Holdings, Inc.		14,812		51,842
Ligand Pharmaceuticals, Inc., Class B (a)		9,492		731,928
Loxo Oncology, Inc. (a)		1,684		20,966
MacroGenics, Inc. (a)		9,656		302,909
MannKind Corp. (a)(b)		109,759		570,747
Merrimack Pharmaceuticals, Inc. (a)		47,136		559,976
Mirati Therapeutics, Inc. (a)		4,136		121,267
Momenta Pharmaceuticals, Inc. (a)		24,036		365,347
Nektar Therapeutics (a)		61,171		672,881
Neuralstem, Inc. (a)(b)		33,193		63,067
Neurocrine Biosciences, Inc. (a)		40,436		1,605,714
NewLink Genetics Corp. (a)		9,521		520,894
Northwest Biotherapeutics, Inc. (a)(b)		20,444		150,672
Novavax, Inc. (a)		114,262		944,947
Omeros Corp. (a)		18,102		398,787
OncoMed Pharmaceuticals, Inc. (a)		6,028		155,402
Oncothyreon, Inc. (a)		47,319		77,130
Ophthotech Corp. (a)		6,669		310,309
Opko Health, Inc. (a)(b)		94,439		1,338,201
Orexigen Therapeutics, Inc. (a)(b)		59,265		464,045
Organovo Holdings, Inc. (a)(b)		30,848		109,202
Osiris Therapeutics, Inc. (a)		9,038		158,888
Pacific Biosciences of California, Inc. (a)		28,799		168,186
PDL BioPharma, Inc.		77,691		546,556
Peregrine Pharmaceuticals, Inc. (a)(b)		92,367		124,695
PRA Health Sciences, Inc. (a)		9,491		273,720
Progenics Pharmaceuticals, Inc. (a)		33,097		197,920
Prothena Corp. PLC (a)		12,840		489,718
PTC Therapeutics, Inc. (a)		11,687		711,154
Puma Biotechnology, Inc. (a)		11,682		2,758,237
RadNet, Inc. (a)		15,746		132,266
Raptor Pharmaceutical Corp. (a)		32,811		356,656
Regado Biosciences, Inc. (a)		6,473		7,897
Regulus Therapeutics, Inc. (a)		7,423		125,746
Repligen Corp. (a)		15,351		466,056
Repros Therapeutics, Inc. (a)		11,824		101,568
Retrophin, Inc. (a)		12,925		309,683
Rigel Pharmaceuticals, Inc. (a)		40,719		145,367

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 5

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Biotechnology (concluded)
Rockwell Medical, Inc. (a)(b)		23,073	$	252,188
RTI Surgical, Inc. (a)		26,668		131,740
Sage Therapeutics, Inc. (a)		2,862		143,758
Sangamo Biosciences, Inc. (a)		32,685		512,501
Sarepta Therapeutics, Inc. (a)(b)		19,832		263,369
Sequenom, Inc. (a)(b)		56,875		224,656
Spark Therapeutics, Inc. (a)		3,766		291,865
Stemline Therapeutics, Inc. (a)		7,209		104,314
Sucampo Pharmaceuticals, Inc., Class A (a)		8,221		127,919
Sunesis Pharmaceuticals, Inc. (a)		27,245		66,750
Synageva BioPharma Corp. (a)		11,133		1,085,801
Synergy Pharmaceuticals, Inc. (a)(b)		43,535		201,132
Synta Pharmaceuticals Corp. (a)		31,091		60,317
TESARO, Inc. (a)		9,988		573,311
Theravance, Inc. (b)		39,599		622,496
Threshold Pharmaceuticals, Inc. (a)		28,535		115,852
Tokai Pharmaceuticals, Inc. (a)		2,795		31,583
Vanda Pharmaceuticals, Inc. (a)(b)		15,873		147,619
Veracyte, Inc. (a)		2,754		20,049
Verastem, Inc. (a)		12,993		132,139
Versartis, Inc. (a)		3,840		70,541
Vitae Pharmaceuticals, Inc. (a)		2,949		34,533
Vital Therapies, Inc. (a)		2,724		68,127
West Pharmaceutical Services, Inc.		33,872		2,039,433
Wright Medical Group, Inc. (a)		24,137		622,735
Xencor Inc. (a)		8,205		125,701
XOMA Corp. (a)		43,234		157,372
ZIOPHARM Oncology, Inc. (a)(b)		43,557		469,109
				46,931,788
Building Materials — 0.9%
Aspen Aerogels, Inc. (a)		2,512		18,287
Builders FirstSource, Inc. (a)		21,851		145,746
Continental Building Products, Inc. (a)		5,500		124,245
Gibraltar Industries, Inc. (a)		14,507		238,060
Griffon Corp.		19,189		334,464
Headwaters, Inc. (a)		35,424		649,676
Louisiana-Pacific Corp. (a)		68,114		1,124,562
LSI Industries, Inc.		10,242		83,472
Masonite International Corp. (a)		14,177		953,545
NCI Building Systems, Inc. (a)		13,240		228,787
Patrick Industries, Inc. (a)		3,880		241,608
PGT, Inc. (a)		22,471		251,114
Quanex Building Products Corp.		16,983		335,245
Revolution Lighting Technologies, Inc. (a)(b)		19,621		21,779
Simpson Manufacturing Co., Inc.		19,794		739,702
Stock Building Supply Holdings, Inc. (a)		6,771		122,284
Trex Co., Inc. (a)		16,176		882,077

Common Stocks	Shares		Value
Building Materials (concluded)
Watsco, Inc.		12,351	$	1,552,521
				8,047,174
Building: Climate Control — 0.1%
AAON, Inc.		18,929		464,328
Comfort Systems USA, Inc.		18,174		382,381
Nortek, Inc. (a)		4,403		388,565
				1,235,274
Building: Roofing, Wallboard & Plumbing — 0.1%
Beacon Roofing Supply, Inc. (a)		23,166		725,096
Casinos & Gambling — 0.3%
Boyd Gaming Corp. (a)		37,913		538,364
Caesars Acquisition Co., Class A (a)		23,297		158,420
Caesars Entertainment Corp. (a)(b)		25,187		265,219
Empire Resorts, Inc. (a)(b)		7,240		33,304
Isle of Capri Casinos, Inc. (a)		11,029		154,957
Monarch Casino & Resort, Inc. (a)		5,140		98,380
Penn National Gaming, Inc. (a)		38,203		598,259
Pinnacle Entertainment, Inc. (a)		23,194		837,071
Scientific Games Corp., Class A (a)		24,546		256,997
				2,940,971
Cement — 0.0%
US Concrete, Inc. (a)		6,933		234,890
Chemicals: Diversified — 1.1%
Aceto Corp.		13,829		304,238
American Vanguard Corp.		13,693		145,420
Axiall Corp.		33,562		1,575,400
Chemtura Corp. (a)		35,001		955,177
Hawkins, Inc.		4,984		189,342
Innophos Holdings, Inc.		10,509		592,287
KMG Chemicals, Inc.		4,683		125,177
Landec Corp. (a)		12,757		177,960
LSB Industries, Inc. (a)		9,330		385,609
Marrone Bio Innovations, Inc. (a)(b)		6,261		24,230
Olin Corp.		37,932		1,215,341
OM Group, Inc.		14,090		423,123
OMNOVA Solutions, Inc. (a)		23,212		197,998
PolyOne Corp.		42,696		1,594,696
Sensient Technologies Corp.		23,711		1,633,214
Tronox Ltd., Class A		29,678		603,354
				10,142,566
Chemicals: Specialty — 0.5%
Balchem Corp.		14,567		806,720
Calgon Carbon Corp.		25,565		538,654
FutureFuel Corp.		10,103		103,758
Innospec, Inc.		11,708		543,134
Kraton Performance Polymers, Inc. (a)		15,919		321,723
Polypore International, Inc. (a)		21,621		1,273,477

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 6

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Chemicals: Specialty (concluded)
Quaker Chemical Corp.		6,348	$	543,643
Stepan Co.		9,310		387,855
Zep, Inc.		11,258		191,724
				4,710,688
Coal — 0.1%
Arch Coal, Inc. (a)(b)		99,159		99,149
Cloud Peak Energy, Inc. (a)		30,343		176,596
Hallador Energy Co.		4,864		56,860
Walter Energy, Inc. (b)		30,075		18,647
Westmoreland Coal Co. (a)		7,069		189,166
				540,418
Commercial Banks — 0.0%
Blue Hills Bancorp, Inc. (a)		13,353		176,527
C1 Financial, Inc. (a)		1,508		28,275
Green Bancorp, Inc. (a)		2,266		25,334
HomeTrust Bancshares, Inc. (a)		9,827		156,937
Sun Bancorp, Inc. (a)		4,107		77,663
				464,736
Commercial Finance & Mortgage Companies — 0.1%
Capital Bank Financial Corp., Class A (a)		11,150		307,851
Federal Agricultural Mortgage Corp., Class C		5,131		144,643
Meta Financial Group, Inc.		3,112		123,640
NewStar Financial, Inc. (a)		12,587		147,645
On Deck Capital, Inc. (a)		5,244		111,645
PennyMac Financial Services, Inc. (a)(c)		5,912		100,327
RE/MAX Holdings, Inc., Class A		5,336		177,208
Stonegate Mortgage Corp. (a)(b)		6,740		72,927
Walker & Dunlop, Inc. (a)		7,867		139,482
				1,325,368
Commercial Services & Supplies — 0.1%
ARC Document Solutions, Inc. (a)		20,262		187,018
Civeo Corp.		44,804		113,802
Collectors Universe, Inc.		3,279		73,974
Hill International, Inc. (a)		14,511		52,095
Information Services Group, Inc.		17,327		69,135
LifeLock, Inc. (a)		38,869		548,442
National Research Corp.		4,427		63,749
National Research Corp., Class B		262		8,384
Performant Financial Corp. (a)		13,883		47,202
Quest Resource Holding Corp. (a)(b)		4,700		5,922

Common Stocks	Shares		Value
Commercial Services & Supplies (concluded)
Weight Watchers International, Inc. (a)		13,153	$	91,939
				1,261,662
Commercial Services: Rental & Leasing — 0.4%
Aircastle Ltd.		31,053		697,450
CAI International, Inc. (a)		8,090		198,771
Electro Rent Corp.		7,520		85,277
H&E Equipment Services, Inc.		15,108		377,549
Marlin Business Services Corp.		3,828		76,675
McGrath RentCorp		12,471		410,420
Mobile Mini, Inc.		21,937		935,394
Neff Corp., Class A (a)		5,058		53,311
PHH Corp. (a)		24,575		593,978
TAL International Group, Inc. (a)		16,449		669,968
				4,098,793
Commercial Vehicles & Parts — 0.3%
Accuride Corp. (a)		17,519		81,639
Commercial Vehicle Group, Inc. (a)		12,908		83,127
Cooper-Standard Holding, Inc. (a)		6,615		391,608
Miller Industries, Inc.		5,339		130,805
Modine Manufacturing Co. (a)		23,041		310,362
Motorcar Parts of America, Inc. (a)		8,240		228,990
Rush Enterprises, Inc., Class A (a)		16,580		453,629
Spartan Motors, Inc.		16,548		80,258
Strattec Security Corp.		1,603		118,365
Wabash National Corp. (a)		33,226		468,487
				2,347,270
Communications Equipment — 0.1%
Aerohive Networks, Inc. (a)		3,939		17,568
Polycom, Inc. (a)		66,352		889,117
Ruckus Wireless, Inc. (a)		31,426		404,452
				1,311,137
Communications Technology — 1.7%
ADTRAN, Inc.		25,024		467,198
Alliance Fiber Optic Products, Inc.		5,851		101,924
Anixter International, Inc. (a)		13,082		995,933
Aruba Networks, Inc. (a)		50,715		1,242,010
Bel Fuse, Inc., Class B		4,832		91,953
Black Box Corp.		7,458		156,096
Calix, Inc. (a)		19,856		166,592
Ciena Corp. (a)		50,676		978,554
Comtech Telecommunications Corp.		7,446		215,562
Cyan, Inc. (a)(b)		13,091		52,233
Datalink Corp. (a)		9,999		120,388
Digi International, Inc. (a)		11,520		114,970
DigitalGlobe, Inc. (a)		36,232		1,234,424
Emulex Corp. (a)		33,549		267,386
Extreme Networks, Inc. (a)		45,904		145,057

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 7

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Communications Technology (concluded)
Finisar Corp. (a)		49,705	$	1,060,705
General Cable Corp.		22,954		395,497
Harmonic, Inc. (a)		42,452		314,569
Infinera Corp. (a)		58,722		1,155,062
Intelsat SA (a)		13,595		163,140
InterDigital, Inc.		17,781		902,208
Ixia (a)		27,773		336,886
KVH Industries, Inc. (a)		7,635		115,441
Loral Space & Communications, Inc. (a)		6,267		428,913
NETGEAR, Inc. (a)		16,659		547,748
Numerex Corp., Class A (a)		7,108		81,031
Parkervision, Inc. (a)(b)		47,603		39,510
Plantronics, Inc.		20,407		1,080,551
Procera Networks, Inc. (a)		9,609		90,229
QLogic Corp. (a)		41,850		616,869
Rightside Group Ltd. (a)		3,728		37,839
RingCentral, Inc., Class A (a)		13,867		212,581
Seachange International, Inc. (a)		15,146		118,896
ShoreTel, Inc. (a)		29,349		200,160
Sonus Networks, Inc. (a)		23,682		186,614
TeleNav, Inc. (a)		12,841		101,701
ViaSat, Inc. (a)		19,855		1,183,557
				15,719,987
Computer Services Software & Systems — 5.6%
A10 Networks, Inc. (a)		5,452		23,607
ACI Worldwide, Inc. (a)		54,633		1,183,351
Acxiom Corp. (a)		36,529		675,421
American Software, Inc., Class A		11,457		117,091
Aspen Technology, Inc. (a)		43,804		1,686,016
AVG Technologies NV (a)		16,849		364,781
Bankrate, Inc. (a)		32,423		367,677
Barracuda Networks, Inc. (a)		3,768		144,955
Bazaarvoice, Inc. (a)		23,254		131,385
Benefitfocus, Inc. (a)		2,269		83,477
Blackbaud, Inc.		22,135		1,048,756
Blucora, Inc. (a)		20,542		280,604
Bottomline Technologies, Inc. (a)		19,055		521,535
Box, Inc., Class A Class A (a)		5,893		116,387
Brightcove, Inc. (a)		14,782		108,352
BroadSoft, Inc. (a)		13,751		460,108
CACI International, Inc., Class A (a)		11,365		1,021,941
Callidus Software, Inc. (a)		25,171		319,168
CIBER, Inc. (a)		36,452		150,182
CommVault Systems, Inc. (a)		22,688		991,466
Computer Task Group, Inc.		7,280		53,217
ComScore, Inc. (a)		16,623		851,098
Connecture, Inc. (a)		2,784		28,814
Cornerstone OnDemand, Inc. (a)		25,304		731,033
Covisint Corp. (a)		18,502		37,559
CSG Systems International, Inc.		16,557		503,167
Cvent, Inc. (a)		8,783		246,275

Common Stocks	Shares		Value
Computer Services Software & Systems (continued)
DealerTrack Holdings, Inc. (a)		25,508	$	982,568
Demandware, Inc. (a)		14,468		881,101
Digimarc Corp.		3,599		78,998
Dot Hill Systems Corp. (a)		28,549		151,310
EarthLink Holdings Corp.		49,852		221,343
Ebix, Inc. (b)		13,155		399,649
Endurance International Group Holdings, Inc. (a)		14,614		278,543
Envestnet, Inc. (a)		16,302		914,216
EPAM Systems, Inc. (a)		17,067		1,046,036
EPIQ Systems, Inc.		15,096		270,671
ePlus, Inc. (a)		2,555		222,106
Guidance Software, Inc. (a)		8,283		44,811
Guidewire Software, Inc. (a)		32,337		1,701,250
Hortonworks, Inc. (a)		3,316		79,053
HubSpot, Inc. (a)(b)		2,694		107,491
iGATE Corp. (a)		17,692		754,741
Imperva, Inc. (a)		12,283		524,484
Infoblox, Inc. (a)		26,968		643,726
Interactive Intelligence Group, Inc. (a)		8,126		334,629
Internap Network Services Corp. (a)		26,577		271,883
IntraLinks Holdings, Inc. (a)		19,166		198,176
Jive Software, Inc. (a)		19,350		99,266
The KEYW Holding Corp. (a)(b)		15,597		128,363
Limelight Networks, Inc. (a)		28,228		102,468
Lionbridge Technologies, Inc. (a)		32,080		183,498
LivePerson, Inc. (a)		26,166		267,809
LogMeIn, Inc. (a)		11,668		653,291
Luxoft Holding, Inc. (a)		3,876		200,544
Manhattan Associates, Inc. (a)		35,952		1,819,531
Mantech International Corp., Class A		11,648		395,333
Mavenir Systems, Inc. (a)		5,502		97,605
Mentor Graphics Corp.		46,398		1,114,944
Mercury Systems, Inc. (a)		16,091		250,215
MicroStrategy, Inc., Class A (a)		4,350		735,977
Millennial Media, Inc. (a)		34,430		49,924
ModusLink Global Solutions, Inc. (a)		17,640		67,914
Monotype Imaging Holdings, Inc.		18,938		618,136
Netscout Systems, Inc. (a)		17,496		767,200
New Relic, Inc. (a)		2,515		87,271
NIC, Inc.		31,332		553,636
Nimble Storage, Inc. (a)(b)		4,686		104,545
PDF Solutions, Inc. (a)		14,338		256,937
Pegasystems, Inc.		17,058		371,012
Perficient, Inc. (a)		16,677		345,047
Progress Software Corp. (a)		24,688		670,773
Proofpoint, Inc. (a)		18,489		1,094,919
PROS Holdings, Inc. (a)		11,107		274,454
Q2 Holdings, Inc. (a)		5,133		108,512

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 8

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Computer Services Software & Systems (concluded)
QAD, Inc., Class A		3,212	$	77,730
QLIK Technologies, Inc. (a)		42,632		1,327,134
RealNetworks, Inc. (a)		10,991		73,969
RealPage, Inc. (a)		24,888		501,244
Reis, Inc.		4,162		106,714
Rocket Fuel, Inc. (a)(b)		8,616		79,267
Sapiens International Corp. NV (a)		11,642		95,464
Science Applications International Corp.		19,138		982,736
SciQuest, Inc. (a)		12,869		217,872
Shutterstock, Inc. (a)		7,239		497,102
SPS Commerce, Inc. (a)		7,853		526,936
SS&C Technologies Holdings, Inc.		32,268		2,010,296
Synchronoss Technologies, Inc. (a)		16,938		803,877
SYNNEX Corp.		13,650		1,054,463
Syntel, Inc. (a)		14,952		773,467
Tangoe, Inc. (a)(b)		18,400		253,920
TechTarget, Inc. (a)		8,024		92,517
TeleCommunication Systems, Inc., Class A (a)		21,923		83,965
Textura Corp. (a)		8,778		238,586
Travelzoo, Inc. (a)		3,218		31,022
Tremor Video, Inc. (a)		17,581		41,140
Turtle Beach Corp. (a)(b)		2,916		5,424
Tyler Technologies, Inc. (a)		15,823		1,907,146
The Ultimate Software Group, Inc. (a)		13,485		2,291,843
Unisys Corp. (a)		24,798		575,562
Unwired Planet, Inc. (a)		39,752		22,730
Varonis Systems, Inc. (a)		2,511		64,432
VASCO Data Security International, Inc. (a)(b)		14,250		306,945
Verint Systems, Inc. (a)		28,394		1,758,440
VirnetX Holding Corp. (a)(b)		21,279		129,589
Virtusa Corp. (a)		12,595		521,181
Web.com Group, Inc. (a)		25,016		474,053
Wix.com Ltd. (a)		6,391		122,452
Workiva, Inc. (a)		3,352		48,269
Yodlee, Inc. (a)		3,403		45,804
YuMe, Inc. (a)(b)		8,623		44,753
Zix Corp. (a)		29,641		116,489
				52,077,865
Computer Technology — 0.4%
Cray, Inc. (a)		19,545		548,823
Immersion Corp. (a)		13,626		125,087
Insight Enterprises, Inc. (a)		19,671		561,017
PC Connection, Inc.		4,584		119,596
Quantum Corp. (a)		107,797		172,475
Safeguard Scientifics, Inc. (a)		10,220		184,778
Silicon Graphics International Corp. (a)		16,585		144,124
Super Micro Computer, Inc. (a)		16,505		548,131

Common Stocks	Shares		Value
Computer Technology (concluded)
Synaptics, Inc. (a)		17,289	$	1,405,682
Violin Memory, Inc. (a)		37,119		139,939
				3,949,652
Construction — 0.4%
Aegion Corp. (a)		18,456		333,131
EMCOR Group, Inc.		29,657		1,378,161
Granite Construction, Inc.		18,870		663,092
Great Lakes Dredge & Dock Corp. (a)		28,176		169,338
Orion Marine Group, Inc. (a)		12,767		113,116
Primoris Services Corp.		18,402		316,330
Sterling Construction Co., Inc. (a)		8,004		36,178
Tutor Perini Corp. (a)		18,073		422,004
				3,431,350
Consumer Electronics — 0.2%
RealD, Inc. (a)		18,952		242,396
Skullcandy, Inc. (a)		9,174		103,666
TiVo, Inc. (a)		45,443		482,150
Universal Electronics, Inc. (a)		7,334		413,931
VOXX International Corp. (a)		9,457		86,626
XO Group, Inc. (a)		12,652		223,561
				1,552,330
Consumer Lending — 0.8%
Cash America International, Inc.		13,631		317,602
Credit Acceptance Corp. (a)		3,104		605,280
Encore Capital Group, Inc. (a)		12,423		516,673
Enova International, Inc. (a)		12,540		246,913
Ezcorp, Inc., Class A (a)		25,051		228,716
First Cash Financial Services, Inc. (a)		13,884		645,884
LendingTree, Inc. (a)		3,042		170,382
Marcus & Millichap, Inc. (a)		3,789		142,012
MGIC Investment Corp. (a)		161,425		1,554,523
MoneyGram International, Inc. (a)		14,619		126,308
Nelnet, Inc., Class A		9,961		471,354
Nicholas Financial, Inc. (a)		2,465		34,535
PRA Group, Inc. (a)		23,992		1,303,245
Regional Management Corp. (a)		5,066		74,774
Springleaf Holdings, Inc. (a)		11,785		610,109
World Acceptance Corp. (a)		3,824		278,846
				7,327,156
Consumer Services: Miscellaneous — 0.5%
Chuy’s Holdings, Inc. (a)		7,804		175,824
Core-Mark Holding Co., Inc.		11,008		708,034
Del Frisco’s Restaurant Group, Inc. (a)		11,124		224,149
Nutrisystem, Inc.		14,022		280,159
Sotheby’s		29,303		1,238,345
Steiner Leisure Ltd. (a)		6,588		312,271

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 9

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Consumer Services: Miscellaneous (concluded)
WEX, Inc. (a)		18,635	$	2,000,654
				4,939,436
Containers & Packaging — 0.5%
AEP Industries, Inc. (a)		1,965		108,154
Berry Plastics Group, Inc. (a)		43,132		1,560,947
Graphic Packaging Holding Co.		156,928		2,281,733
Myers Industries, Inc.		12,309		215,777
UFP Technologies, Inc. (a)		2,725		62,075
				4,228,686
Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)(b)		12,642		197,215
Inter Parfums, Inc.		7,915		258,187
Revlon, Inc., Class A (a)		5,564		229,237
				684,639
Diversified Financial Services — 0.7%
Altisource Asset Management Corp. (a)		657		121,631
Altisource Portfolio Solutions SA (a)(b)		6,805		87,580
Blackhawk Network Holdings, Inc. (a)		25,265		903,729
Evercore Partners, Inc., Class A		15,982		825,630
FBR & Co. (a)		3,761		86,917
FCB Financial Holdings, Inc., Class A (a)		3,837		105,019
Greenhill & Co., Inc.		13,518		535,989
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		12,955		236,817
HRG Group, Inc. (a)		39,950		498,576
JG Wentworth Co (a)		5,762		59,867
Liberty Tax, Inc. (a)		1,727		48,062
MidWestOne Financial Group, Inc.		3,337		96,206
Moelis & Co., Class A		3,691		111,173
Outerwall, Inc.		9,161		605,725
Piper Jaffray Cos. (a)		7,905		414,696
Stifel Financial Corp. (a)		31,433		1,752,390
Tiptree Financial, Inc. A REIT (a)		3,203		21,236
				6,511,243
Diversified Manufacturing Operations — 0.5%
AM Castle & Co. (a)(b)		9,140		33,361
ARC Group Worldwide, Inc. (a)(b)		1,293		6,905
Barnes Group, Inc.		26,000		1,052,740
Federal Signal Corp.		30,087		475,074
Harsco Corp.		37,982		655,569
Lydall, Inc. (a)		8,294		263,086
OSI Systems, Inc. (a)		9,578		711,262
Raven Industries, Inc.		17,597		360,035
Standex International Corp.		6,164		506,249

Common Stocks	Shares		Value
Diversified Manufacturing Operations (concluded)
TriMas Corp. (a)		21,698	$	668,081
				4,732,362
Diversified Materials & Processing — 0.6%
Belden, Inc.		20,898		1,955,217
Cabot Microelectronics Corp. (a)		11,602		579,752
CLARCOR, Inc.		24,119		1,593,301
Encore Wire Corp.		9,983		378,156
Insteel Industries, Inc.		8,695		188,073
Koppers Holdings, Inc.		10,066		198,099
NL Industries, Inc. (a)		3,493		27,071
Tredegar Corp.		12,093		243,190
				5,162,859
Diversified Media — 0.1%
Demand Media, Inc. (a)		3,728		21,324
EW Scripps Co. (a)		15,068		428,534
Hemisphere Media Group, Inc. (a)(b)		3,830		48,450
				498,308
Diversified Retail — 0.3%
The Bon-Ton Stores, Inc. (b)		6,766		47,091
EVINE Live, Inc. (a)		20,451		137,226
Fred’s, Inc., Class A		17,753		303,399
Gaiam, Inc., Class A (a)		6,785		49,463
HSN, Inc.		15,873		1,083,015
Overstock.com, Inc. (a)		5,390		130,546
Pricesmart, Inc.		8,994		764,310
Tuesday Morning Corp. (a)		20,966		337,552
Winmark Corp.		1,096		95,977
				2,948,579
Drug & Grocery Store Chains — 0.4%
Casey’s General Stores, Inc.		18,452		1,662,525
Diplomat Pharmacy, Inc. (a)		7,465		258,140
Ingles Markets, Inc., Class A		5,712		282,630
PetMed Express, Inc.		9,342		154,330
Smart & Final Stores, Inc. (a)		6,738		118,589
Supervalu, Inc. (a)		97,638		1,135,530
Village Super Market, Inc., Class A		3,158		99,287
Weis Markets, Inc.		5,151		256,314
				3,967,345
Education Services — 0.6%
2U, Inc. (a)		4,960		126,877
American Public Education, Inc. (a)		8,507		255,040
Bridgepoint Education, Inc. (a)		7,595		73,292
Bright Horizons Family Solutions, Inc. (a)		13,286		681,173
Capella Education Co.		5,284		342,826
Career Education Corp. (a)		32,125		161,589
Chegg, Inc. (a)		34,372		273,257

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 10

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Education Services (concluded)
Franklin Covey Co. (a)		5,057	$	97,398
Grand Canyon Education, Inc. (a)		22,409		970,310
HealthStream, Inc. (a)		10,243		258,124
HMH Holdings/EduMedia. (a)		51,363		1,206,003
ITT Educational Services, Inc. (a)(b)		10,904		74,038
K12, Inc. (a)		16,667		262,005
Rosetta Stone, Inc. (a)		9,805		74,616
Strayer Education, Inc. (a)		5,257		280,776
Universal Technical Institute, Inc.		10,421		100,042
				5,237,366
Electronic Components — 0.6%
Acacia Research Corp.		24,397		261,048
Checkpoint Systems, Inc.		19,595		212,018
InvenSense, Inc. (a)(b)		34,338		522,281
Kemet Corp. (a)		21,053		87,159
Methode Electronics, Inc.		18,218		856,975
Multi-Fineline Electronix, Inc. (a)		4,407		80,516
NVE Corp.		2,317		159,688
Park Electrochemical Corp.		9,816		211,633
Rogers Corp. (a)		8,699		715,145
Sanmina Corp. (a)		39,475		954,900
ScanSource, Inc. (a)		13,730		558,124
Sparton Corp. (a)		4,720		115,640
Speed Commerce, Inc. (a)		22,141		14,141
TTM Technologies, Inc. (a)		24,952		224,818
Universal Display Corp. (a)		19,472		910,316
Viasystems Group, Inc. (a)		2,551		44,617
				5,929,019
Electronic Entertainment — 0.2%
DTS, Inc. (a)		7,855		267,620
Glu Mobile, Inc. (a)		43,909		219,984
Take-Two Interactive Software, Inc. (a)		40,116		1,021,153
				1,508,757
Electronics — 0.3%
Agilysys, Inc. (a)		6,601		64,954
American Science & Engineering, Inc.		3,397		165,977
Coherent, Inc. (a)		11,972		777,701
Control4 Corp. (a)		5,184		62,104
CUI Global, Inc. (a)		9,512		55,740
Daktronics, Inc.		17,978		194,342
II-VI, Inc. (a)		25,281		466,687
Imprivata, Inc. (a)		2,991		41,874
iRobot Corp. (a)		14,269		465,598
Newport Corp. (a)		19,261		367,115

Common Stocks	Shares		Value
Electronics (concluded)
Rofin-Sinar Technologies, Inc. (a)		13,572	$	328,850
				2,990,942
Energy Equipment — 0.3%
Capstone Turbine Corp. (a)(b)		153,937		100,059
Dynegy, Inc. (a)		58,577		1,841,075
Enphase Energy, Inc. (a)		8,701		114,766
FuelCell Energy, Inc. (a)(b)		112,115		140,144
Matador Resources Co. (a)		35,302		773,820
PowerSecure International, Inc. (a)		10,813		142,299
Silver Spring Networks, Inc. (a)		16,671		149,039
				3,261,202
Energy Equipment & Services — 0.0%
CHC Group, Ltd. (a)		16,424		21,844
Geospace Technologies Corp. (a)		6,275		103,600
Pioneer Energy Services Corp. (a)		29,912		162,123
				287,567
Engineering & Contracting Services — 0.4%
Argan, Inc.		5,978		216,224
Dycom Industries, Inc. (a)		16,302		796,190
Engility Holdings, Inc.		8,525		256,091
Exponent, Inc.		6,348		564,337
Furmanite Corp. (a)		18,807		148,387
Layne Christensen Co. (a)		9,447		47,330
MasTec, Inc. (a)		31,598		609,841
Mistras Group, Inc. (a)		7,785		149,939
MYR Group, Inc. (a)		10,358		324,620
Power Solutions International, Inc. (a)		2,232		143,495
Tetra Tech, Inc.		29,682		712,962
VSE Corp.		2,071		169,574
				4,138,990
Entertainment — 0.2%
AMC Entertainment Holdings, Inc., Class A		10,272		364,553
Ascent Capital Group, Inc., Class A (a)		6,799		270,668
Carmike Cinemas, Inc. (a)		11,709		393,423
Reading International, Inc., Class A (a)		8,335		112,106
Rentrak Corp. (a)		4,822		267,910
World Wrestling Entertainment, Inc.		14,130		197,961
				1,606,621
Environmental, Maintenance, & Security Service — 0.5%
ABM Industries, Inc.		26,791		853,561
The Brink’s Co.		23,328		644,553
G&K Services, Inc., Class A		9,537		691,718
Healthcare Services Group, Inc.		32,755		1,052,418

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 11

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Environmental, Maintenance, & Security Service (concluded)
MSA Safety, Inc.		14,207	$	708,645
SP Plus Corp. (a)		7,134		155,878
UniFirst Corp.		7,072		832,304
				4,939,077
Fertilizers — 0.0%
Intrepid Potash, Inc. (a)		26,936		311,111
Rentech, Inc. (a)		83,520		93,542
				404,653
Financial Data & Systems — 0.8%
Advent Software, Inc.		24,720		1,090,399
Cardtronics, Inc. (a)		21,519		809,114
Cass Information Systems, Inc.		5,668		318,202
Consumer Portfolio Services, Inc. (a)		9,776		68,334
Euronet Worldwide, Inc. (a)		24,477		1,438,024
EVERTEC, Inc.		31,706		693,093
Fair Isaac Corp.		15,461		1,371,700
Global Cash Access Holdings, Inc. (a)		31,076		236,799
Green Dot Corp., Class A (a)		14,771		235,154
Heartland Payment Systems, Inc.		17,302		810,599
Higher One Holdings, Inc. (a)		15,898		38,473
Xoom Corp. (a)		15,211		223,450
				7,333,341
Food & Staples Retailing — 0.0%
Fairway Group Holdings Corp. (a)(b)		8,972		60,741
Natural Grocers by Vitamin
Cottage, Inc. (a)		4,315		119,137
				179,878
Foods — 1.3%
B&G Foods, Inc.		25,854		760,883
Boulder Brands, Inc. (a)		29,522		281,345
The Chefs’ Warehouse, Inc. (a)		8,892		199,448
Dean Foods Co.		45,098		745,470
Diamond Foods, Inc. (a)		10,596		345,112
The Fresh Market, Inc. (a)		20,636		838,647
Freshpet, Inc. (a)(b)		5,636		109,508
Inventure Foods, Inc. (a)		7,454		83,410
J&J Snack Foods Corp.		7,145		762,372
John B Sanfilippo & Son, Inc.		3,832		165,159
Lancaster Colony Corp.		8,853		842,540
Lifeway Foods, Inc. (a)		2,337		49,989
Medifast, Inc. (a)		5,636		168,911
Nature’s Sunshine Products, Inc.		5,208		68,329
Nutraceutical International Corp. (a)		4,496		88,571
Omega Protein Corp. (a)		9,797		134,121
Post Holdings, Inc. (a)		24,998		1,170,906

Common Stocks	Shares		Value
Foods (concluded)
Roundy’s, Inc. (a)		17,780	$	86,944
Seneca Foods Corp., Class A (a)		3,736		111,370
Senomyx, Inc. (a)		19,464		85,836
Snyders-Lance, Inc.		22,800		728,688
SpartanNash Co.		18,178		573,698
Synutra International, Inc. (a)		9,436		60,390
Tootsie Roll Industries, Inc.		9,351		317,189
TreeHouse Foods, Inc. (a)		20,203		1,717,659
United Natural Foods, Inc. (a)		23,506		1,810,902
				12,307,397
Forest Products — 0.2%
Boise Cascade Co. (a)		19,026		712,714
Deltic Timber Corp.		5,414		358,678
Universal Forest Products, Inc.		9,703		538,322
				1,609,714
Forms & Bulk Printing Services — 0.3%
Deluxe Corp.		24,007		1,663,205
Ennis, Inc.		12,134		171,332
InnerWorkings, Inc. (a)		16,801		112,903
Multi-Color Corp.		5,962		413,346
Quad/Graphics, Inc.		12,987		298,441
				2,659,227
Funeral Parlors & Cemeteries — 0.2%
Carriage Services, Inc.		7,586		181,078
Hillenbrand, Inc.		30,115		929,650
Matthews International Corp., Class A		14,298		736,490
				1,847,218
Gas Pipeline — 0.2%
SemGroup Corp., Class A		20,309		1,651,934
Glass — 0.1%
Apogee Enterprises, Inc.		13,942		602,294
Gold — 0.0%
Coeur Mining, Inc. (a)		50,283		236,833
Gold Resource Corp.		17,346		55,334
				292,167
Health Care Equipment & Supplies — 0.0%
Inogen, Inc. (a)		2,322		74,281
Health Care Facilities — 0.7%
AAC Holdings, Inc. (a)		2,673		81,740
Adeptus Health, Inc., Class A (a)		2,835		142,374
Amsurg Corp. (a)		20,276		1,247,380
Capital Senior Living Corp. (a)		14,085		365,365
The Ensign Group, Inc.		10,724		502,527
Five Star Quality Care, Inc. (a)		20,768		92,210
Genesis Healthcare, Inc. (a)		11,307		80,506
Hanger, Inc. (a)		17,075		387,432

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 12

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Health Care Facilities (concluded)
HealthSouth Corp.		41,948	$	1,860,813
Kindred Healthcare, Inc.		37,656		895,836
National Healthcare Corp.		4,978		317,148
Select Medical Holdings Corp.		37,886		561,849
Surgical Care Affiliates, Inc. (a)		5,993		205,740
U.S. Physical Therapy, Inc.		5,943		282,292
				7,023,212
Health Care Management Services — 0.5%
BioScrip, Inc. (a)		31,777		140,772
Computer Programs & Systems, Inc.		5,452		295,826
Magellan Health Services, Inc. (a)		13,225		936,594
Molina Healthcare, Inc. (a)		14,488		974,898
Triple-S Management Corp., Class B (a)		12,083		240,210
Universal American Corp. (a)		20,049		214,123
WellCare Health Plans, Inc. (a)		20,811		1,903,374
				4,705,797
Health Care Services — 1.9%
Acadia Healthcare Co., Inc. (a)		20,506		1,468,229
Accelerate Diagnostics, Inc. (a)(b)		10,590		238,275
Addus HomeCare Corp. (a)		2,898		66,712
Air Methods Corp. (a)		18,793		875,566
Alliance HealthCare Services, Inc. (a)		2,443		54,186
Almost Family, Inc. (a)		3,931		175,755
Amedisys, Inc. (a)		13,154		352,264
AMN Healthcare Services, Inc. (a)		22,367		516,007
Cara Therapeutics, Inc. (a)		2,816		28,301
Care.com, Inc. (a)(b)		2,860		21,679
Catalent, Inc. (a)		23,518		732,586
Chemed Corp.		8,417		1,004,990
Civitas Solutions, Inc. (a)		5,888		123,295
Corvel Corp. (a)		5,284		181,822
Cross Country Healthcare, Inc. (a)		14,841		176,014
ExamWorks Group, Inc. (a)		16,721		695,928
Flexion Therapeutics, Inc. (a)		2,945		66,321
Globus Medical, Inc., Class A (a)		31,687		799,780
HealthEquity, Inc. (a)		4,706		117,603
Healthways, Inc. (a)		15,204		299,519
HMS Holdings Corp. (a)		42,333		654,045
IPC The Hospitalist Co., Inc. (a)		8,308		387,485
LHC Group, Inc. (a)		5,911		195,240
Medidata Solutions, Inc. (a)		25,730		1,261,799
MiMedx Group, Inc. (a)		44,607		463,913
Omnicell, Inc. (a)		17,556		616,216
OvaScience, Inc. (a)		8,227		285,724
PharMerica Corp. (a)		14,490		408,473
Phibro Animal Health Corp., Class A		7,171		253,925
Quality Systems, Inc.		23,989		383,344

Common Stocks	Shares		Value
Health Care Services (concluded)
Roka Bioscience, Inc. (a)		1,703	$	5,450
Ryman Hospitality Properties		20,929		1,274,785
T2 Biosystems, Inc. (a)(b)		2,785		43,223
Team Health Holdings, Inc. (a)		33,322		1,949,670
Tetraphase Pharmaceuticals, Inc. (a)		14,298		523,879
WebMD Health Corp. (a)		18,654		817,698
				17,519,701
Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		29,704		559,029
The Providence Service Corp. (a)		5,421		287,964
				846,993
Home Building — 0.7%
Beazer Homes USA, Inc. (a)		13,253		234,843
Century Communities, Inc. (a)		2,323		44,904
Hovnanian Enterprises, Inc., Class A (a)		54,798		195,081
Installed Building Products, Inc. (a)		4,417		96,114
KB Home		40,722		636,078
LGI Homes, Inc. (a)		6,751		112,472
M/I Homes, Inc. (a)		12,064		287,606
MDC Holdings, Inc.		19,020		542,070
Meritage Homes Corp. (a)		18,898		919,199
The New Home Co., Inc. (a)		4,542		72,445
The Ryland Group, Inc.		22,666		1,104,741
Standard Pacific Corp. (a)		69,951		629,559
Tile Shop Holdings, Inc. (a)		13,112		158,786
TRI Pointe Homes, Inc. (a)		70,758		1,091,796
UCP, Inc., Class A (a)		3,432		29,858
WCI Communities, Inc. (a)		5,989		143,436
William Lyon Homes, Class A (a)		8,771		226,467
				6,525,455
Hotel/Motel — 0.3%
Belmond Ltd., Class A (a)		47,300		580,844
Bloomin’ Brands, Inc.		37,127		903,300
Intrawest Resorts Holdings, Inc. (a)		6,494		56,628
La Quinta Holdings, Inc. (a)		21,718		514,282
The Marcus Corp.		8,924		189,992
Morgans Hotel Group Co. (a)		15,434		119,613
				2,364,659
Household Appliances — 0.0%
National Presto Industries, Inc.		2,264		143,515
Household Equipment & Products — 0.2%
Central Garden and Pet Co., Class A (a)		20,598		218,751
CSS Industries, Inc.		4,362		131,514
Helen of Troy Ltd. (a)		13,708		1,117,065
Libbey, Inc.		10,349		413,029

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 13

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Household Equipment & Products (concluded)
Sears Hometown and Outlet
Stores, Inc. (a)		5,317	$	41,047
				1,921,406
Household Furnishings — 0.3%
American Woodmark Corp. (a)		5,989		327,778
Ethan Allen Interiors, Inc.		12,236		338,203
Flexsteel Industries, Inc.		2,319		72,562
Kirkland’s, Inc. (a)		6,888		163,590
La-Z-Boy, Inc.		25,195		708,231
Lifetime Brands, Inc.		5,021		76,721
Norcraft Cos., Inc. (a)		3,477		88,907
Select Comfort Corp. (a)		26,028		897,185
				2,673,177
Insurance: Life — 0.7%
American Equity Investment Life
Holding Co.		35,674		1,039,184
Citizens, Inc. (a)(b)		20,805		128,159
CNO Financial Group, Inc.		97,291		1,675,351
FBL Financial Group, Inc., Class A		4,245		263,232
Fidelity & Guaranty Life		5,229		110,855
Independence Holding Co.		3,763		51,139
Kansas City Life Insurance Co.		1,805		82,904
National Western Life Insurance Co., Class A		1,088		276,678
The Phoenix Cos., Inc. (a)		2,665		133,223
Primerica, Inc.		26,179		1,332,511
Symetra Financial Corp.		36,027		845,193
Third Point Reinsurance Ltd. (a)		27,871		394,375
Trupanion, Inc. (a)(b)		3,837		30,696
				6,363,500
Insurance: Multi-Line — 0.3%
Atlas Financial Holdings, Inc. (a)		5,933		104,836
Crawford & Co., Class B		13,092		113,115
eHealth, Inc. (a)		8,697		81,578
Horace Mann Educators Corp.		19,601		670,354
James River Group Holdings, Ltd.		5,257		123,697
Kemper Corp.		20,495		798,485
Maiden Holdings Ltd.		24,170		358,441
PICO Holdings, Inc. (a)		10,707		173,561
				2,424,067
Insurance: Property-Casualty —1.6%
Amerisafe, Inc.		9,092		420,505
AmTrust Financial Services, Inc.		14,369		818,817
Argo Group International Holdings Ltd.		13,868		695,480
Baldwin & Lyons, Inc., Class B		4,394		103,083
Donegal Group, Inc., Class A		3,937		61,890
EMC Insurance Group, Inc.		2,283		77,165
Employers Holdings, Inc.		15,214		410,626

Common Stocks	Shares		Value
Insurance: Property-Casualty (concluded)
Enstar Group Ltd. (a)		4,118	$	584,179
Essent Group Ltd. (a)		21,435		512,511
Federated National Holding Co.		6,739		206,213
First American Financial Corp.		51,247		1,828,493
Global Indemnity PLC (a)		4,148		115,107
Greenlight Capital Re Ltd. (a)		13,833		439,889
Hallmark Financial Services, Inc. (a)		6,453		68,402
HCI Group, Inc.		4,018		184,306
Heritage Insurance Holdings, Inc. (a)		3,332		73,337
Hilltop Holdings, Inc. (a)		36,066		701,123
Infinity Property & Casualty Corp.		5,434		445,860
Meadowbrook Insurance Group, Inc.		23,407		198,960
Montpelier Re Holdings Ltd.		17,737		681,810
National General Holdings Corp.		17,211		321,846
National Interstate Corp.		3,458		97,101
The Navigators Group, Inc. (a)		5,079		395,349
NMI Holdings, Inc., Class A (a)		23,792		178,202
OneBeacon Insurance Group Ltd.		11,438		173,972
Radian Group, Inc.		91,067		1,529,015
RLI Corp.		20,628		1,081,113
Safety Insurance Group, Inc.		6,122		365,790
Selective Insurance Group, Inc.		26,976		783,653
State Auto Financial Corp.		7,503		182,248
State National Cos., Inc.		13,146		130,803
Stewart Information Services Corp.		10,491		426,354
United Fire Group, Inc.		10,010		318,018
United Insurance Holdings Corp.		7,878		177,255
Universal Insurance Holdings, Inc.		15,022		384,413
				15,172,888
International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		7,099		41,600
Internet Software & Services — 0.2%
Amber Road, Inc. (a)		4,525		41,856
Borderfree, Inc. (a)		2,515		15,115
ChannelAdvisor Corp. (a)		9,618		93,198
Cinedigm Corp. (a)		35,684		57,808
Coupons.com, Inc. (a)(b)		5,962		69,994
Everyday Health, Inc. (a)		3,576		45,987
Global Eagle Entertainment, Inc. (a)		19,587		260,703
Gogo, Inc. (a)(b)		26,938		513,438
GrubHub, Inc. (a)		4,266		193,634
OPOWER, Inc. (a)(b)		3,689		37,370
TrueCar, Inc. (a)(b)		3,806		67,937
Zendesk, Inc. (a)		5,879		133,395
				1,530,435
Leisure Time — 1.1%
Black Diamond, Inc. (a)		10,421		98,479

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 14

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Leisure Time (concluded)
Callaway Golf Co.		37,597	$	358,299
Churchill Downs, Inc.		6,425		738,682
ClubCorp Holdings, Inc.		10,774		208,585
Escalade, Inc.		4,711		81,877
International Speedway Corp., Class A		13,365		435,833
Interval Leisure Group, Inc.		19,063		499,641
Johnson Outdoors, Inc.		2,255		74,663
Life Time Fitness, Inc. (a)		19,633		1,393,158
Marriott Vacations Worldwide Corp.		13,005		1,054,055
Nautilus, Inc. (a)		15,253		232,913
Orbitz Worldwide, Inc. (a)		25,162		293,389
Pool Corp.		21,604		1,507,095
SFX Entertainment, Inc. (a)		21,037		86,041
Smith & Wesson Holding Corp. (a)		26,544		337,905
Speedway Motorsports, Inc.		5,544		126,126
Sturm Ruger & Co., Inc.		9,364		464,735
Travelport Worldwide, Ltd. (b)		13,934		232,698
Vail Resorts, Inc.		17,357		1,795,061
West Marine, Inc. (a)		8,061		74,726
				10,093,961
Luxury Items — 0.0%
Movado Group, Inc.		8,649		246,670
Machinery: Agricultural — 0.1%
Alamo Group, Inc.		3,163		199,680
Lindsay Corp. (b)		5,881		448,426
Titan International, Inc.		20,866		195,306
Titan Machinery, Inc. (a)(b)		8,589		114,663
				958,075
Machinery: Construction & Handling — 0.1%
Astec Industries, Inc.		9,076		389,179
Douglas Dynamics, Inc.		10,918		249,367
NACCO Industries, Inc., Class A		2,104		111,491
				750,037
Machinery: Engines — 0.0%
Briggs & Stratton Corp.		22,547		463,115
Machinery: Industrial — 0.9%
Actuant Corp., Class A		29,759		706,479
Altra Industrial Motion Corp.		13,099		362,056
Applied Industrial Technologies, Inc.		20,062		909,611
Chart Industries, Inc. (a)		14,740		517,005
Columbus McKinnon Corp.		9,703		261,399
DXP Enterprises, Inc. (a)		6,273		276,577
EnPro Industries, Inc.		10,967		723,274
The ExOne Co. (a)(b)		4,635		63,268
Graham Corp.		4,751		113,881
Hyster-Yale Materials Handling, Inc.		4,999		366,377

Common Stocks	Shares		Value
Machinery: Industrial (concluded)
Intevac, Inc. (a)		11,373	$	69,830
John Bean Technologies Corp.		13,948		498,223
Kadant, Inc.		5,267		277,097
Manitex International, Inc. (a)		7,157		69,638
MTS Systems Corp.		7,271		550,051
Omega Flex, Inc.		1,267		31,865
Proto Labs, Inc. (a)		10,901		763,070
Tennant Co.		8,798		575,125
Twin Disc, Inc.		4,028		71,175
Woodward, Inc.		31,743		1,619,210
				8,825,211
Machinery: Specialty — 0.1%
Albany International Corp., Class A		13,568		539,328
Hurco Cos., Inc.		3,120		102,742
Xerium Technologies, Inc. (a)		5,292		85,836
				727,906
Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		4,297		322,533
Medical & Dental Instruments & Supplies — 1.9%
ABIOMED, Inc. (a)		19,154		1,371,043
AngioDynamics, Inc. (a)		11,643		207,129
Anika Therapeutics, Inc. (a)		7,000		288,190
Antares Pharma, Inc. (a)		55,966		151,668
AtriCure, Inc. (a)		13,422		275,017
Atrion Corp.		751		259,478
Cantel Medical Corp.		16,211		770,023
Cardiovascular Systems, Inc. (a)		13,281		518,490
Cerus Corp. (a)(b)		44,854		187,041
CONMED Corp.		13,101		661,470
CryoLife, Inc.		13,375		138,699
Derma Sciences, Inc. (a)		10,752		91,069
Endologix, Inc. (a)		30,872		526,985
Entellus Medical, Inc. (a)		2,420		52,998
Exactech, Inc. (a)		4,925		126,228
HeartWare International, Inc. (a)		8,206		720,241
ICU Medical, Inc. (a)		6,435		599,356
Insulet Corp. (a)		26,405		880,607
Integra LifeSciences Holdings Corp. (a)		12,008		740,293
Intersect ENT, Inc. (a)		2,714		70,103
Invacare Corp.		15,185		294,741
K2M Group Holdings, Inc. (a)		4,663		102,819
Landauer, Inc.		4,722		165,931
LDR Holding Corp. (a)		8,014		293,633
Meridian Bioscience, Inc.		20,103		383,565
Merit Medical Systems, Inc. (a)		20,707		398,610
NanoString Technologies, Inc. (a)		4,823		49,146
Navidea Biopharmaceuticals, Inc. (a)(b)		75,561		120,142
Neogen Corp. (a)		17,612		823,009
NuVasive, Inc. (a)		22,413		1,030,774

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 15

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Medical & Dental Instruments & Supplies (concluded)
Ocular Therapeutix, Inc. (a)		2,709	$	113,737
OraSure Technologies, Inc. (a)		27,470		179,654
Orthofix International NV (a)		8,917		320,031
Owens & Minor, Inc.		30,379		1,028,025
Quidel Corp. (a)		13,777		371,703
Second Sight Medical Products, Inc. (a)(b)		2,224		28,512
Sientra, Inc. (a)		2,707		51,947
Staar Surgical Co. (a)		18,988		141,081
STERIS Corp.		28,334		1,991,030
SurModics, Inc. (a)		6,412		166,904
Symmetry Surgical, Inc. (a)		4,416		32,369
Tornier NV (a)		17,128		449,096
TransEnterix, Inc. (a)		14,449		42,336
TriVascular Technologies, Inc. (a)(b)		3,749		39,327
Unilife Corp. (a)(b)		60,734		243,543
Utah Medical Products, Inc.		1,828		109,424
Vascular Solutions, Inc. (a)		8,400		254,688
				17,861,905
Medical Equipment — 1.4%
Abaxis, Inc.		10,777		690,914
Accuray, Inc. (a)		37,227		346,211
Affymetrix, Inc. (a)		34,980		439,349
Analogic Corp.		6,000		545,400
Cyberonics, Inc. (a)		12,912		838,247
Cynosure, Inc., Class A (a)		10,853		332,862
DexCom, Inc. (a)		35,566		2,217,185
Fluidigm Corp. (a)		13,523		569,318
Greatbatch, Inc. (a)		11,980		693,043
Haemonetics Corp. (a)		25,029		1,124,303
Luminex Corp. (a)		18,132		290,112
Masimo Corp. (a)		21,539		710,356
Merge Healthcare, Inc. (a)		34,889		155,954
Natus Medical, Inc. (a)		15,454		609,969
Nevro Corp. (a)		3,809		182,565
NxStage Medical, Inc. (a)		29,626		512,530
Oxford Immunotec Global PLC (a)		8,318		117,117
Spectranetics Corp. (a)		20,021		695,930
Tandem Diabetes Care, Inc. (a)		5,376		67,845
Thoratec Corp. (a)		25,800		1,080,762
Zeltiq Aesthetics, Inc. (a)		13,986		431,188
				12,651,160
Medical Services — 0.2%
Bio-Reference Laboratories, Inc. (a)		11,809		416,149
PAREXEL International Corp. (a)		27,015		1,863,765
				2,279,914
Metal Fabricating — 0.6%
Advanced Drainage Systems, Inc.		7,590		227,245

Common Stocks	Shares		Value
Metal Fabricating (concluded)
Ampco-Pittsburgh Corp.		3,950	$	68,967
Dynamic Materials Corp.		6,418		81,958
Global Brass & Copper Holdings, Inc.		10,064		155,489
Haynes International, Inc.		5,815		259,407
LB Foster Co., Class A		4,841		229,851
Mueller Industries, Inc.		27,108		979,412
Mueller Water Products, Inc., Series A		76,609		754,599
NN, Inc.		8,404		210,772
Northwest Pipe Co. (a)		4,522		103,780
RBC Bearings, Inc.		11,127		851,661
Rexnord Corp. (a)		36,144		964,683
RTI International Metals, Inc. (a)		14,294		513,297
Worthington Industries, Inc.		24,768		659,076
				6,060,197
Metals & Minerals: Diversified — 0.6%
Alpha Natural Resources, Inc. (a)(b)		102,946		102,936
Commercial Metals Co.		54,985		890,207
Globe Specialty Metals, Inc.		30,689		580,636
Hecla Mining Co.		176,554		526,131
Materion Corp.		9,918		381,149
Minerals Technologies, Inc.		16,540		1,209,074
Molycorp, Inc. (a)(b)		85,278		32,857
Oil-Dri Corp. of America		2,209		74,333
Ring Energy, Inc. (a)		9,193		97,630
SunCoke Energy, Inc.		31,934		477,094
U.S. Silica Holdings, Inc.		25,878		921,515
United States Lime & Minerals, Inc.		890		57,405
				5,350,967
Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		55,033		457,324
Eastman Kodak Co. (a)		8,324		158,073
Electronics for Imaging, Inc. (a)		22,378		934,282
Herman Miller, Inc.		28,437		789,411
HNI Corp.		21,589		1,191,065
Kimball International, Inc., Class B		16,213		169,912
Knoll, Inc.		23,252		544,794
Steelcase, Inc., Class A		39,606		750,138
United Stationers, Inc.		18,986		778,236
				5,773,235
Offshore Drilling & Other Services — 0.0%
Hercules Offshore, Inc. (a)(b)		75,307		31,569
North Atlantic Drilling, Ltd. (b)		33,546		38,913
Vantage Drilling Co. (a)		101,314		33,180
				103,662
Oil Well Equipment & Services — 0.7%
Basic Energy Services, Inc. (a)		14,761		102,294

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 16

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)
C&J Energy Services, Ltd. (a)		22,481	$	250,214
Exterran Holdings, Inc.		27,915		937,107
Flotek Industries, Inc. (a)		25,998		383,211
FMSA Holdings, Inc. (a)(b)		11,816		85,548
Forum Energy Technologies, Inc. (a)		28,298		554,641
Glori Energy, Inc. (a)(b)		5,086		10,833
Gulf Island Fabrication, Inc.		6,932		103,010
Helix Energy Solutions Group, Inc. (a)		50,196		750,932
Hornbeck Offshore Services, Inc. (a)		17,690		332,749
Independence Contract Drilling, Inc. (a)		4,853		33,825
ION Geophysical Corp. (a)		60,471		131,222
Key Energy Services, Inc. (a)		60,887		110,814
Matrix Service Co. (a)		12,943		227,279
McDermott International, Inc. (a)		112,659		432,611
Mitcham Industries, Inc. (a)		6,405		29,463
Natural Gas Services Group, Inc. (a)		5,965		114,647
Newpark Resources, Inc. (a)		41,032		373,802
Nuverra Environmental Solutions, Inc. (a)(b)		6,238		22,207
Parker Drilling Co. (a)		56,643		197,684
Profire Energy, Inc. (a)		6,300		8,505
RigNet, Inc. (a)		5,614		160,504
SEACOR Holdings, Inc. (a)		8,823		614,698
Tesco Corp.		16,585		188,571
TETRA Technologies, Inc. (a)		37,737		233,215
Willbros Group, Inc. (a)		19,153		63,396
				6,452,982
Oil, Gas & Consumable Fuels — 0.2%
Ardmore Shipping Corp.		8,786		88,475
CARBO Ceramics, Inc. (b)		9,673		295,123
DHT Holdings, Inc.		45,075		314,624
Dorian LPG, Ltd. (a)		3,495		45,540
Emerald Oil, Inc. (a)(b)		40,934		30,291
EXCO Resources, Inc. (b)		72,393		132,479
Gastar Exploration, Inc. (a)		32,594		85,396
Navios Maritime Acq Corp.		39,579		140,110
Pacific Ethanol, Inc. (a)		11,946		128,897
Parsley Energy, Inc., Class A (a)		25,838		412,891
Plug Power, Inc. (a)(b)		81,672		211,531
RSP Permian, Inc. (a)		11,922		300,315
TransAtlantic Petroleum, Ltd. (a)		10,566		56,423
				2,242,095
Oil: Crude Producers — 1.1%
Abraxas Petroleum Corp. (a)		43,057		139,935
American Eagle Energy Corp. (a)		12,925		2,327
Approach Resources, Inc. (a)(b)		18,570		122,376

Common Stocks	Shares		Value
Oil: Crude Producers (concluded)
Bill Barrett Corp. (a)		24,414	$	202,636
Bonanza Creek Energy, Inc. (a)		19,089		470,735
Callon Petroleum Co. (a)		31,343		234,132
Carrizo Oil & Gas, Inc. (a)		24,534		1,218,113
Clayton Williams Energy, Inc. (a)		2,779		140,701
Comstock Resources, Inc. (b)		22,384		79,911
Contango Oil & Gas Co. (a)		8,172		179,784
Diamondback Energy, Inc. (a)		21,046		1,617,175
Eclipse Resources Corp. (a)		14,629		82,215
Energy XXI Bermuda Ltd. (b)		43,946		159,963
Evolution Petroleum Corp.		9,233		54,936
FX Energy, Inc. (a)		24,797		30,996
Goodrich Petroleum Corp. (a)		22,570		80,124
Halcon Resources Corp. (a)(b)		122,365		188,442
Harvest Natural Resources, Inc. (a)		17,052		7,622
Isramco, Inc. (a)(b)		423		53,213
Jones Energy, Inc., Class A (a)		6,532		58,657
Magnum Hunter Resources Corp. (a)(b)		93,959		250,871
Midstates Petroleum Co., Inc. (a)(b)		15,172		12,896
Northern Oil and Gas, Inc. (a)		29,891		230,460
ONE Gas, Inc.		24,889		1,075,952
Panhandle Oil and Gas, Inc.		6,696		132,514
PDC Energy, Inc. (a)		19,049		1,029,408
Penn Virginia Corp. (a)		32,145		208,300
PetroQuest Energy, Inc. (a)		27,224		62,615
Resolute Energy Corp. (a)		37,897		21,351
Rex Energy Corp. (a)(b)		22,334		83,083
Rosetta Resources, Inc. (a)		35,446		603,291
Sanchez Energy Corp. (a)(b)		24,823		322,947
Stone Energy Corp. (a)		27,208		399,413
Swift Energy Co. (a)(b)		21,387		46,196
Synergy Resources Corp. (a)		39,157		464,011
Triangle Petroleum Corp. (a)(b)		31,855		160,231
Vaalco Energy, Inc. (a)		23,781		58,263
W&T Offshore, Inc.		17,638		90,130
Warren Resources, Inc. (a)		34,869		31,033
				10,406,958
Oil: Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		1,047		70,369
Alon USA Energy, Inc.		12,484		206,860
Clean Energy Fuels Corp. (a)(b)		32,888		175,457
Delek U.S. Holdings, Inc.		28,560		1,135,260
Miller Energy Resources, Inc. (a)(b)		12,729		7,957
Renewable Energy Group, Inc. (a)		16,491		152,047
Trecora Resources (a)		9,378		114,411
Vertex Energy, Inc. (a)(b)		6,281		23,240

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 17

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Oil: Refining & Marketing (concluded)
Western Refining, Inc.		23,523	$	1,161,801
				3,047,402
Paints & Coatings — 0.2%
Chase Corp.		3,113		136,131
Ferro Corp. (a)		34,596		434,180
HB Fuller Co.		24,053		1,031,152
Kronos Worldwide, Inc.		9,930		125,615
				1,727,078
Paper — 0.5%
Clearwater Paper Corp. (a)		9,011		588,418
KapStone Paper and Packaging Corp.		40,663		1,335,373
Neenah Paper, Inc.		8,004		500,570
PH Glatfelter Co.		20,914		575,762
Resolute Forest Products (a)		30,834		531,887
Schweitzer-Mauduit International, Inc.		14,700		677,964
Wausau Paper Corp.		20,794		198,167
				4,408,141
Personal Care — 0.1%
The Female Health Co.		11,034		31,226
Orchids Paper Products Co.		3,818		102,933
PhotoMedex, Inc. (a)(b)		5,565		11,186
USANA Health Sciences, Inc. (a)		2,776		308,469
WD-40 Co.		7,192		636,780
				1,090,594
Pharmaceuticals — 2.9%
ACADIA Pharmaceuticals, Inc. (a)		37,780		1,231,250
AcelRx Pharmaceuticals, Inc. (a)(b)		11,302		43,626
Achaogen, Inc. (a)		3,270		31,915
Achillion Pharmaceuticals, Inc. (a)		54,746		539,796
Adamas Pharmaceuticals, Inc. (a)		1,461		25,553
Aerie Pharmaceuticals, Inc. (a)		4,978		156,011
Agios Pharmaceuticals, Inc. (a)		6,989		659,063
Akorn, Inc. (a)		29,852		1,418,269
Amphastar Pharmaceuticals, Inc. (a)		4,294		64,238
Ampio Pharmaceuticals, Inc. (a)(b)		19,682		148,205
Anacor Pharmaceuticals, Inc. (a)		15,767		912,121
Aratana Therapeutics, Inc. (a)		13,527		216,567
Auspex Pharmaceuticals, Inc. (a)		5,019		503,255
Biospecifics Technologies Corp. (a)		1,636		64,049
Cambrex Corp. (a)		14,708		582,878
Cempra, Inc. (a)		14,375		493,206
Chimerix, Inc. (a)		14,477		545,638
Corcept Therapeutics, Inc. (a)		26,178		146,597
Depomed, Inc. (a)		27,856		624,253
Dicerna Pharmaceuticals, Inc. (a)		1,715		41,211
Egalet Corp. (a)		1,683		21,761

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
Enanta Pharmaceuticals, Inc. (a)		4,909	$	150,314
Endocyte, Inc. (a)		17,110		107,109
Esperion Therapeutics, Inc. (a)		3,042		281,689
Furiex Pharamceuticals, Inc.		3,003		30,030
Galectin Therapeutics, Inc. (a)(b)		9,174		30,733
Horizon Pharma PLC (a)		31,251		811,588
Immune Design Corp. (a)		2,957		62,422
Impax Laboratories, Inc. (a)		33,591		1,574,410
Infinity Pharmaceuticals, Inc. (a)		23,416		327,356
Intra-Cellular Therapies, Inc. (a)		9,161		218,765
Ironwood Pharmaceuticals, Inc. (a)		56,645		906,320
Isis Pharmaceuticals, Inc. (a)		55,990		3,564,883
Kite Pharma, Inc. (a)		4,549		262,386
Lannett Co., Inc. (a)		12,365		837,234
The Medicines Co. (a)		31,314		877,418
Nanoviricides, Inc. (a)(b)		21,108		47,493
NeoStem, Inc. (a)(b)		11,325		28,766
Ohr Pharmaceutical, Inc. (a)		9,674		24,572
Otonomy, Inc. (a)		3,857		136,384
Pacira Pharmaceuticals, Inc. (a)		17,101		1,519,424
Pain Therapeutics, Inc. (a)		18,378		34,734
Pernix Therapeutics Holdings (a)		15,693		167,758
Portola Pharmaceuticals, Inc. (a)		21,620		820,695
Pozen, Inc. (a)		12,653		97,681
Prestige Brands Holdings, Inc. (a)		24,904		1,068,133
Radius Health, Inc. (a)		4,356		179,293
Receptos, Inc. (a)		10,396		1,714,196
Relypsa, Inc. (a)		9,604		346,416
Revance Therapeutics, Inc. (a)		4,025		83,438
Sagent Pharmaceuticals, Inc. (a)		10,597		246,380
Sciclone Pharmaceuticals, Inc. (a)		24,437		216,512
Spectrum Pharmaceuticals, Inc. (a)		30,945		187,836
Supernus Pharmaceuticals, Inc. (a)		13,625		164,726
TG Therapeutics, Inc. (a)		13,622		210,869
TherapeuticsMD, Inc. (a)		57,412		347,343
Theravance Biopharma, Inc. (a)		11,439		198,467
Ultragenyx Pharmaceutical, Inc. (a)		3,777		234,514
Vivus, Inc. (a)(b)		44,846		110,321
XenoPort, Inc. (a)		27,572		196,313
Zafgen, Inc. (a)		3,770		149,330
Zogenix, Inc. (a)		57,507		78,785
ZS Pharma, Inc. (a)		3,398		142,988
				27,265,486
Plastics — 0.1%
A. Schulman, Inc.		13,992		674,415
Ply Gem Holdings, Inc. (a)		10,630		138,190
Trinseo SA (a)		5,379		106,504
				919,109
Power Transmission Equipment — 0.3%
Advanced Energy Industries, Inc. (a)		19,853		509,428

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 18

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Power Transmission Equipment (concluded)
Generac Holdings, Inc. (a)		33,032	$	1,608,328
Global Power Equipment Group, Inc.		8,226		108,583
Maxwell Technologies, Inc. (a)(b)		15,068		121,448
Powell Industries, Inc.		4,295		145,042
Vicor Corp. (a)		7,957		120,947
				2,613,776
Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)		27,103		343,124
Stillwater Mining Co. (a)		57,711		745,626
				1,088,750
Printing & Copying Services — 0.2%
Casella Waste Systems, Inc. (a)		19,849		109,170
Cenveo, Inc. (a)		26,452		56,607
Cimpress NV (a)		15,972		1,347,717
				1,513,494
Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		23,825		306,866
Park-Ohio Holdings Corp.		4,276		225,217
				532,083
Production Technology Equipment — 0.9%
Axcelis Technologies, Inc. (a)		51,370		122,261
Brooks Automation, Inc.		32,199		374,474
Cognex Corp. (a)		41,066		2,036,463
Cohu, Inc.		11,643		127,374
Electro Scientific Industries, Inc.		11,581		71,571
Entegris, Inc. (a)		66,788		914,328
FEI Co.		19,999		1,526,724
GSI Group, Inc. (a)		14,283		190,250
MKS Instruments, Inc.		25,640		866,888
Nanometrics, Inc. (a)		11,403		191,798
Photronics, Inc. (a)		32,102		272,867
Rudolph Technologies, Inc. (a)		16,291		179,527
Tessera Technologies, Inc.		25,616		1,031,812
Ultra Clean Holdings, Inc. (a)		13,661		97,676
Ultratech, Inc. (a)		13,218		229,200
Veeco Instruments, Inc. (a)		19,331		590,562
				8,823,775
Publishing — 0.6%
AH Belo Corp.		8,809		72,498
Daily Journal Corp. (a)		498		91,234
Dex Media, Inc. (a)(b)		6,945		29,100
Eros International PLC (a)		10,457		182,684
Journal Communications, Inc., Class A (a)		20,632		305,766
Lee Enterprises, Inc. (a)		24,978		79,180
Martha Stewart Living Omnimedia, Class A (a)		13,789		89,629

Common Stocks	Shares		Value
Publishing (concluded)
The McClatchy Co., Class A (a)		28,674	$	52,760
Media General, Inc. (a)		38,401		633,232
Meredith Corp.		17,242		961,586
New Media Investment Group, Inc.		21,393		511,934
The New York Times Co., Class A		65,329		898,927
Scholastic Corp.		12,775		523,009
Time, Inc.		52,243		1,172,333
				5,603,872
Radio & TV Broadcasters — 0.3%
Central European Media Enterprises Ltd. (a)		33,219		88,363
Crown Media Holdings, Inc., Class A (a)		16,618		66,472
Cumulus Media, Inc., Class A (a)		71,085		175,580
Entercom Communications Corp., Class A (a)		11,736		142,592
Entravision Communications Corp., Class A		28,374		179,607
Gray Television, Inc. (a)		24,086		332,869
Nexstar Broadcasting Group, Inc., Class A		14,703		841,306
Radio One, Inc., Class D (a)		11,893		36,630
Saga Communications, Inc., Class A		1,655		73,714
Salem Communications Corp., Class A		5,124		31,564
Sinclair Broadcast Group, Inc., Class A		33,045		1,037,943
Townsquare Media, Inc. (a)		4,084		52,479
				3,059,119
Railroad Equipment — 0.1%
American Railcar Industries, Inc.		4,648		231,145
FreightCar America, Inc.		5,741		180,440
The Greenbrier Cos., Inc. (b)		13,279		770,182
				1,181,767
Real Estate — 0.3%
AV Homes, Inc. (a)		5,161		82,370
Consolidated-Tomoka Land Co.		2,059		122,840
Forestar Group, Inc. (a)		16,591		261,640
HFF, Inc., Class A		15,705		589,566
Kennedy-Wilson Holdings, Inc.		34,540		902,876
The St. Joe Co. (a)		16,367		303,771
Tejon Ranch Co. (a)		6,299		166,608
				2,429,671
Real Estate Investment Trusts (REITs) — 8.3%
Acadia Realty Trust		32,727		1,141,518
AG Mortgage Investment Trust, Inc.		14,344		270,241
Agree Realty Corp.		8,813		290,565
Alexander & Baldwin, Inc.		23,199		1,001,733

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 19

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)
Alexander’s, Inc.		1,010	$	461,146
Altisource Residential Corp.		27,369		570,917
American Assets Trust, Inc.		13,915		602,241
American Capital Mortgage Investment Corp.		24,981		448,659
American Residential Properties, Inc. (a)		15,749		283,324
Anworth Mortgage Asset Corp.		52,035		264,858
Apollo Commercial Real Estate Finance, Inc.		28,478		489,252
Ares Commercial Real Estate Corp.		15,143		167,330
Armada Hoffler Properties, Inc.		13,614		145,125
ARMOUR Residential REIT, Inc.		174,414		552,892
Ashford Hospitality Prime, Inc.		11,373		190,725
Ashford Hospitality Trust, Inc.		38,740		372,679
Associated Estates Realty Corp.		27,838		687,042
Aviv REIT, Inc.		9,520		347,480
Campus Crest Communities, Inc.		31,715		227,079
Capstead Mortgage Corp.		46,448		546,693
CareTrust REIT, Inc.		13,337		180,850
Catchmark Timber Trust, Inc.		9,014		105,644
Cedar Realty Trust, Inc.		41,822		313,247
Chambers Street Properties		114,868		905,160
Chatham Lodging Trust		18,662		548,849
Chesapeake Lodging Trust		26,429		894,093
Colony Financial, Inc.		51,834		1,343,537
CorEnergy Infrastructure Trust, Inc.		22,373		155,045
Coresite Realty Corp.		10,178		495,465
Cousins Properties, Inc.		105,588		1,119,233
CubeSmart		77,821		1,879,377
CyrusOne, Inc.		15,985		497,453
CYS Investments, Inc.		79,852		711,481
DCT Industrial Trust, Inc.		39,769		1,378,394
DiamondRock Hospitality Co.		93,118		1,315,757
DuPont Fabros Technology, Inc.		30,753		1,005,008
Dynex Capital, Inc.		27,408		232,146
Easterly Government Properties, Inc. (a)		6,769		108,642
EastGroup Properties, Inc.		15,019		903,243
Education Realty Trust, Inc.		16,857		596,401
Empire State Realty Trust, Inc., Class A		44,525		837,515
EPR Properties		27,444		1,647,463
Equity One, Inc.		30,698		819,330
Excel Trust, Inc.		29,653		415,735
FelCor Lodging Trust, Inc.		59,105		679,116
First Industrial Realty Trust, Inc.		51,963		1,113,567
First Potomac Realty Trust		28,395		337,617
Franklin Street Properties Corp.		42,947		550,581
Geo Group, Inc.		34,749		1,519,921
Getty Realty Corp.		12,430		226,226
Gladstone Commercial Corp.		10,188		189,599

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
Government Properties Income Trust		26,595	$	607,696
Gramercy Property Trust, Inc.		22,497		631,491
Great Ajax Corp. (a)		2,564		37,255
Hatteras Financial Corp.		46,561		845,548
Healthcare Realty Trust, Inc.		46,211		1,283,742
Hersha Hospitality Trust		97,540		631,084
Highwoods Properties, Inc.		43,289		1,981,770
Hudson Pacific Properties, Inc.		31,584		1,048,273
InfraREIT, Inc.		10,977		313,832
Inland Real Estate Corp.		42,821		457,756
Invesco Mortgage Capital, Inc.		59,591		925,448
Investors Real Estate Trust		54,226		406,695
iStar Financial, Inc. (a)		40,444		525,772
Kite Realty Group Trust		16,128		454,326
KYTHERA Biopharmaceuticals, Inc. (a)		9,337		468,251
LaSalle Hotel Properties		53,013		2,060,085
Lexington Realty Trust		99,661		979,668
LTC Properties, Inc.		16,820		773,720
Mack-Cali Realty Corp.		42,801		825,203
Medical Properties Trust, Inc.		99,980		1,473,705
Monmouth Real Estate Investment Corp., Class A		27,512		305,658
National Health Investors, Inc.		18,031		1,280,381
New Residential Investment Corp.		68,156		1,024,385
New York Mortgage Trust, Inc.		52,585		408,060
New York REIT, Inc.		78,604		823,770
One Liberty Properties, Inc.		5,792		141,441
Owens Realty Mortgage, Inc. REIT		5,134		76,907
Parkway Properties, Inc.		37,733		654,668
Pebblebrook Hotel Trust		34,252		1,595,116
Pennsylvania Real Estate Investment Trust		32,758		760,968
PennyMac Mortgage Investment Trust (c)		28,817		613,514
Physicians Realty Trust		34,213		602,491
Potlatch Corp.		19,717		789,469
PS Business Parks, Inc.		9,388		779,580
QTS Realty Trust, Inc., Class A		6,528		237,684
RAIT Financial Trust		38,843		266,463
Ramco-Gershenson Properties Trust		36,798		684,443
Redwood Trust, Inc.		40,316		720,447
Resource Capital Corp.		64,864		294,483
Retail Opportunity Investments Corp.		43,375		793,762
Rexford Industrial Realty, Inc.		28,431		449,494
RLJ Lodging Trust		62,876		1,968,648
Rouse Properties, Inc.		17,896		339,308
Sabra Health Care REIT, Inc.		28,459		943,416
Saul Centers, Inc.		4,880		279,136
Select Income REIT		18,152		453,618

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 20

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) (concluded)
Silver Bay Realty Trust Corp.		17,380	$	280,861
Sovran Self Storage, Inc.		16,747		1,573,213
STAG Industrial, Inc.		27,181		639,297
Starwood Waypoint Residential Trust		19,404		501,593
STORE Capital Corp.		15,535		362,742
Strategic Hotels & Resorts, Inc. (a)		127,083		1,579,642
Summit Hotel Properties, Inc.		41,994		590,856
Sun Communities, Inc.		23,044		1,537,496
Sunstone Hotel Investors, Inc.		98,905		1,648,746
Terreno Realty Corp.		20,593		469,520
Trade Street Residential, Inc.		8,842		63,309
UMH Properties, Inc.		11,555		116,359
Universal Health Realty Income Trust		4,736		266,400
Urstadt Biddle Properties, Inc., Class A		12,676		292,309
Walter Investment Management Corp. (a)(b)		18,408		297,289
Washington Real Estate Investment Trust		32,372		894,438
Western Asset Mortgage Capital Corp. (b)		19,692		296,955
Whitestone REIT		11,742		186,463
				77,703,312
Recreational Vehicles & Boats — 0.4%
Arctic Cat, Inc.		6,107		221,806
Brunswick Corp.		43,934		2,260,404
Drew Industries, Inc.		11,329		697,187
Malibu Boats, Inc. (a)		3,990		93,167
Marine Products Corp.		5,203		44,590
Winnebago Industries, Inc.		13,221		281,078
				3,598,232
Rental & Leasing Services: Consumer — 0.1%
Rent-A-Center, Inc.		25,397		696,894
Restaurants — 1.9%
Biglari Holdings, Inc. (a)		845		349,915
BJ’s Restaurants, Inc. (a)		10,424		525,891
Bob Evans Farms, Inc.		11,910		550,957
Bravo Brio Restaurant Group, Inc. (a)		7,309		107,369
Buffalo Wild Wings, Inc. (a)		8,974		1,626,448
Carrols Restaurant Group, Inc. (a)		16,553		137,224
The Cheesecake Factory, Inc.		23,614		1,164,879
Cracker Barrel Old Country Store, Inc.		9,139		1,390,407
Dave & Buster’s Entertainment, Inc. (a)		3,301		100,548
Denny’s Corp. (a)		41,941		478,127
Diamond Resorts International, Inc. (a)		17,137		572,890

Common Stocks	Shares		Value
Restaurants (concluded)
DineEquity, Inc.		8,015	$	857,685
El Pollo Loco Holdings, Inc. (a)(b)		3,847		98,522
Ellie Mae, Inc. (a)		13,490		746,132
Famous Dave’s Of America, Inc. (a)(b)		2,111		60,164
Fiesta Restaurant Group, Inc. (a)		12,873		785,253
The Habit Restaurants, Inc. (a)(b)		2,690		86,457
Ignite Restaurant Group, Inc. (a)		3,176		15,404
Jack in the Box, Inc.		19,191		1,840,801
Jamba, Inc. (a)		7,982		117,415
Krispy Kreme Doughnuts, Inc. (a)		31,369		627,066
Nathan’s Famous, Inc.		1,483		80,304
Noodles & Co. (a)(b)		5,107		89,066
Papa John’s International, Inc.		14,693		908,174
Papa Murphy’s Holdings, Inc. (a)(b)		3,126		56,706
Popeyes Louisiana Kitchen, Inc. (a)		11,368		680,034
Potbelly Corp. (a)		6,936		95,023
Red Robin Gourmet Burgers, Inc. (a)		6,894		599,778
Ruby Tuesday, Inc. (a)		30,031		180,486
Ruth’s Hospitality Group, Inc.		17,448		277,074
Shake Shack, Inc., Class A Class A (a)		2,689		134,584
Sonic Corp.		26,155		829,114
Texas Roadhouse, Inc.		32,666		1,190,022
Zoe’s Kitchen, Inc. (a)		2,731		90,915
				17,450,834
Scientific Instruments: Control & Filter — 0.4%
Brady Corp., Class A		23,046		651,971
CIRCOR International, Inc.		8,531		466,646
Energy Recovery, Inc. (a)(b)		18,311		47,425
ESCO Technologies, Inc.		12,766		497,619
The Gorman-Rupp Co.		9,119		273,114
Sun Hydraulics Corp.		10,671		441,353
Thermon Group Holdings, Inc. (a)		15,402		370,726
Watts Water Technologies, Inc., Class A		13,678		752,700
				3,501,554
Scientific Instruments: Electrical — 0.5%
AZZ, Inc.		12,287		572,451
EnerSys, Inc.		21,177		1,360,411
Franklin Electric Co., Inc.		22,822		870,431
GrafTech International Ltd. (a)		54,744		212,954
Houston Wire & Cable Co.		8,576		83,445
Littelfuse, Inc.		10,791		1,072,518
Preformed Line Products Co.		1,225		51,609
Taser International, Inc. (a)		25,940		625,413
				4,849,232
Scientific Instruments: Gauges & Meters — 0.2%
Badger Meter, Inc.		6,947		416,403

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 21

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Scientific Instruments: Gauges & Meters (concluded)
FARO Technologies, Inc. (a)		8,294	$	515,306
Itron, Inc. (a)		18,578		678,283
Mesa Laboratories, Inc.		1,349		97,398
Vishay Precision Group, Inc. (a)		5,879		93,653
				1,801,043
Scientific Instruments: Pollution Control — 0.2%
Ceco Environmental Corp.		9,935		105,410
Darling International, Inc. (a)		79,270		1,110,573
Heritage-Crystal Clean, Inc. (a)		4,919		57,552
Team, Inc. (a)		9,916		386,526
U.S. Ecology, Inc.		10,320		515,690
				2,175,751
Securities Brokerage & Services — 0.4%
BGC Partners, Inc., Class A		83,424		788,357
FXCM, Inc., Class A		21,630		46,072
Gain Capital Holdings, Inc.		10,762		105,145
INTL. FCStone, Inc. (a)		7,352		218,575
Investment Technology Group, Inc. (a)		16,057		486,687
Ladenburg Thalmann Financial Services, Inc. (a)		47,110		181,844
MarketAxess Holdings, Inc.		18,053		1,496,594
				3,323,274
Semiconductors & Components — 2.7%
Alpha & Omega Semiconductor Ltd. (a)		9,868		87,924
Amkor Technology, Inc. (a)		40,880		361,175
Applied Micro Circuits Corp. (a)		38,186		194,749
Audience, Inc. (a)		5,958		27,049
Cavium, Inc. (a)		25,085		1,776,520
Ceva, Inc. (a)		10,003		213,264
Cirrus Logic, Inc. (a)		29,789		990,782
Cypress Semiconductor Corp. (a)		145,659		2,055,248
Diodes, Inc. (a)		17,536		500,828
DSP Group, Inc. (a)		10,528		126,125
Entropic Communications, Inc. (a)		41,114		121,697
Exar Corp. (a)		18,441		185,332
Fairchild Semiconductor International, Inc. (a)		55,328		1,005,863
FormFactor, Inc. (a)		26,090		231,418
Inphi Corp. (a)		15,190		270,838
Integrated Device Technology, Inc. (a)		64,017		1,281,620
Integrated Silicon Solution, Inc.		14,738		263,663
Intersil Corp., Class A		61,718		883,802
IXYS Corp.		11,762		144,908
Kopin Corp. (a)		31,203		109,835
Lattice Semiconductor Corp. (a)		56,790		360,049
MA-COM Technology Solutions Holdings, Inc. (a)		6,223		231,869

Common Stocks	Shares		Value
Semiconductors & Components (concluded)
MaxLinear, Inc., Class A (a)		13,994	$	113,771
Micrel, Inc.		20,994		316,589
Microsemi Corp. (a)		44,844		1,587,478
Monolithic Power Systems, Inc.		18,509		974,499
OmniVision Technologies, Inc. (a)		26,927		710,065
Pericom Semiconductor Corp.		10,465		161,893
PMC - Sierra, Inc. (a)		83,332		773,321
Power Integrations, Inc.		14,632		762,035
Qorvo, Inc. (a)		68,244		5,439,047
QuickLogic Corp. (a)(b)		24,475		47,237
Rambus, Inc. (a)		54,788		688,959
Rubicon Technology, Inc. (a)		12,638		49,794
Semtech Corp. (a)		32,317		861,086
Silicon Laboratories, Inc. (a)		20,577		1,044,694
Vitesse Semiconductor Corp. (a)		26,184		139,037
				25,094,063
Semiconductors & Semiconductor Equipment — 0.1%
Ambarella, Inc. (a)(b)		13,832		1,047,221
Cascade Microtech, Inc. (a)		6,200		84,196
Xcerra Corp. (a)		25,059		222,774
				1,354,191
Shipping — 0.5%
Baltic Trading Ltd.		22,975		34,233
Frontline Ltd. (a)(b)		34,482		77,240
GasLog Ltd.		20,556		399,198
Gulfmark Offshore, Inc., Class A		11,817		154,094
International Shipholding Corp.		2,641		31,982
Knightsbridge Tankers Ltd. (b)		15,128		75,640
Matson, Inc.		20,529		865,503
Navios Maritime Holdings, Inc.		37,678		157,494
Nordic American Offshore, Ltd. (b)		8,356		76,541
Nordic American Tankers Ltd.		43,130		513,678
Safe Bulkers, Inc.		20,456		73,437
Scorpio Tankers, Inc.		78,951		743,718
Ship Finance International Ltd.		28,462		421,238
Teekay Tankers Ltd., Class A		39,345		225,840
Ultrapetrol Bahamas Ltd. (a)		9,205		13,347
UTI Worldwide, Inc. (a)		43,911		540,105
				4,403,288
Software — 0.3%
Actua Corp. (a)		19,885		308,019
Castlight Health, Inc. (a)(b)		5,879		45,621
Comverse, Inc. (a)		10,592		208,662
Five9, Inc. (a)		5,079		28,239
FleetMatics Group PLC (a)		17,967		805,820
Gigamon, Inc. (a)		11,448		243,155
Globant SA (a)		3,155		66,444
Kofax, Ltd. (a)		35,260		386,097
MobileIron, Inc. (a)		5,796		53,671
Model N, Inc. (a)		8,808		105,344

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 22

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Software (concluded)
Park City Group, Inc. (a)(b)		4,583	$	63,154
Paycom Software, Inc. (a)		3,143		100,765
Qualys, Inc. (a)		9,628		447,509
Rally Software Development Corp. (a)		11,712		183,761
The Rubicon Project, Inc. (a)		3,705		66,394
Vringo, Inc. (a)(b)		30,292		19,702
				3,132,357
Specialty Retail — 3.2%
1-800-Flowers.com, Inc., Class A (a)		11,876		140,493
Aeéropostale, Inc. (a)		36,603		127,012
America’s Car-Mart, Inc. (a)		3,689		200,128
American Eagle Outfitters, Inc.		92,550		1,580,754
ANN, Inc. (a)		22,256		913,164
Asbury Automotive Group, Inc. (a)		12,890		1,071,159
Barnes & Noble, Inc. (a)		19,745		468,944
bebe Stores, Inc.		14,016		50,878
Big 5 Sporting Goods Corp.		8,820		117,041
Blue Nile, Inc. (a)		5,985		190,562
Boot Barn Holdings, Inc. (a)		2,672		63,914
Brown Shoe Co., Inc.		20,977		688,046
The Buckle, Inc.		13,546		692,065
Build-A-Bear Workshop, Inc. (a)		5,705		112,103
Burlington Stores, Inc. (a)		13,743		816,609
The Cato Corp., Class A		13,169		521,492
The Children’s Place Retail Stores, Inc.		10,647		683,431
Christopher & Banks Corp. (a)		16,932		94,142
Citi Trends, Inc. (a)		7,409		200,043
Conn’s, Inc. (a)(b)		13,355		404,389
The Container Store Group, Inc. (a)(b)		8,224		156,667
Destination Maternity Corp.		6,360		95,782
Destination XL Group, Inc. (a)		16,807		83,027
Express, Inc. (a)		40,085		662,605
The Finish Line, Inc., Class A		23,293		571,144
Five Below, Inc. (a)		25,802		917,777
Francesca’s Holdings Corp. (a)		20,560		365,968
FTD Cos., Inc. (a)		9,181		274,879
Genesco, Inc. (a)		11,551		822,778
Group 1 Automotive, Inc.		11,651		1,005,831
Guess?, Inc.		29,227		543,330
Haverty Furniture Cos., Inc.		9,455		235,240
hhgregg, Inc. (a)		5,971		36,602
Hibbett Sports, Inc. (a)		12,502		613,348
Lands’ End, Inc. (a)		7,972		286,035
Lithia Motors, Inc., Class A		10,934		1,086,949
Lumber Liquidators Holdings, Inc. (a)(b)		13,300		409,374
MarineMax, Inc. (a)		11,971		317,351
Mattress Firm Holding Corp. (a)		7,183		500,224

Common Stocks	Shares		Value
Specialty Retail (concluded)
The Men’s Wearhouse, Inc.		22,759	$	1,188,020
Monro Muffler Brake, Inc.		15,111		982,971
New York & Co., Inc. (a)		12,643		31,608
Office Depot, Inc. (a)		254,519		2,341,575
Pacific Sunwear of California, Inc. (a)		22,538		62,205
The Pep Boys-Manny Moe & Jack (a)		25,053		241,010
Pier 1 Imports, Inc.		45,682		638,634
Regis Corp. (a)		21,072		344,738
Restoration Hardware Holdings, Inc. (a)		14,987		1,486,561
RetailMeNot, Inc. (a)		14,570		262,406
Shoe Carnival, Inc.		7,229		212,822
Shutterfly, Inc. (a)		18,534		838,478
Sonic Automotive, Inc., Class A		19,253		479,400
Sportsman’s Warehouse Holdings, Inc. (a)		4,880		38,991
Stage Stores, Inc.		15,380		352,510
Stamps.com, Inc. (a)		6,840		460,264
Stein Mart, Inc.		13,127		163,431
Systemax, Inc. (a)		5,534		67,626
Tilly’s, Inc., Class A (a)		5,419		84,807
Vitamin Shoppe, Inc. (a)		14,868		612,413
Wayfair, Inc., Class A (a)(b)		6,229		200,076
Zumiez, Inc. (a)		9,973		401,413
				29,613,239
Steel — 0.1%
AK Steel Holding Corp. (a)		86,137		385,032
Carbonite, Inc. (a)		8,212		117,432
Handy & Harman Ltd. (a)		1,921		78,876
Olympic Steel, Inc.		4,453		59,937
Ryerson Holding Corp. (a)		6,480		41,278
Schnitzer Steel Industries, Inc., Class A		12,512		198,440
Shiloh Industries, Inc. (a)		3,688		51,780
Universal Stainless & Alloy Products, Inc. (a)		3,373		88,440
				1,021,215
Technology: Miscellaneous — 0.2%
Benchmark Electronics, Inc. (a)		25,963		623,891
CTS Corp.		16,370		294,496
Fabrinet (a)		16,957		322,014
Kimball Electronics, Inc. (a)		12,317		174,162
Pendrell Corp. (a)		77,103		100,234
Plexus Corp. (a)		16,329		665,733
				2,180,530
Telecommunications Equipment — 0.2%
Applied Optoelectronics, Inc. (a)		7,470		103,684
CalAmp Corp. (a)		17,431		282,208

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 23

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Telecommunications Equipment (concluded)
Clearfield, Inc. (a)		5,320	$	78,842
Inteliquent, Inc.		15,747		247,858
Oclaro, Inc. (a)		45,201		89,498
Tessco Technologies, Inc.		2,592		63,919
Ubiquiti Networks, Inc.		14,340		423,747
Vocera Communications, Inc. (a)		11,411		113,197
				1,402,953
Textile Products — 0.1%
Culp, Inc.		4,276		114,383
The Dixie Group, Inc. (a)		6,913		62,562
Interface, Inc.		31,973		664,399
Unifi, Inc. (a)		6,863		247,686
				1,089,030
Textiles Apparel & Shoes — 0.9%
Columbia Sportswear Co.		13,108		798,277
Crocs, Inc. (a)		36,695		433,368
G-III Apparel Group Ltd. (a)		9,194		1,035,704
Iconix Brand Group, Inc. (a)		23,196		781,009
Oxford Industries, Inc.		7,038		531,017
Perry Ellis International, Inc. (a)		5,733		132,776
Quiksilver, Inc. (a)		63,053		116,648
Sequential Brands Group, Inc. (a)		7,906		84,594
Skechers U.S.A., Inc., Class A (a)		18,759		1,348,960
Steven Madden Ltd. (a)		27,461		1,043,518
Tumi Holdings, Inc. (a)		24,466		598,438
Vera Bradley, Inc. (a)		10,319		167,478
Vince Holding Corp. (a)		5,235		97,109
Weyco Group, Inc.		3,110		92,989
Wolverine World Wide, Inc.		47,859		1,600,884
				8,862,769
Tobacco — 0.1%
22nd Century Group Inc. (a)(b)		20,815		17,901
Alliance One International, Inc. (a)		39,744		43,718
Universal Corp.		11,048		521,024
Vector Group Ltd.		36,293		797,357
				1,380,000
Toys — 0.0%
JAKKS Pacific, Inc. (a)		8,811		60,267
LeapFrog Enterprises, Inc. (a)		30,795		67,133
				127,400
Transportation Miscellaneous — 0.3%
Echo Global Logistics, Inc. (a)		11,393		310,573
General Finance Corp. (a)		5,588		45,095
Hub Group, Inc., Class A (a)		17,666		694,097
Scorpio Bulkers, Inc. (a)		62,570		148,291
Textainer Group Holdings Ltd.		10,454		313,515
Wesco Aircraft Holdings, Inc. (a)		25,380		388,822

Common Stocks	Shares		Value
Transportation Miscellaneous (concluded)
XPO Logistics, Inc. (a)		25,199	$	1,145,799
				3,046,192
Truckers — 0.7%
ArcBest Corp.		12,504		473,777
Celadon Group, Inc.		10,236		278,624
Forward Air Corp.		14,915		809,884
FRP Holdings, Inc. (a)		3,061		111,420
Heartland Express, Inc.		25,958		616,762
Knight Transportation, Inc.		28,554		920,866
Marten Transport Ltd.		11,110		257,752
PAM Transportation Services, Inc. (a)		1,402		80,293
Patriot Transportation Holding, Inc. (a)		974		24,321
Quality Distribution, Inc. (a)		12,793		132,152
Roadrunner Transportation
Systems, Inc. (a)		13,433		339,452
Saia, Inc. (a)		11,819		523,582
Swift Transportation Co. (a)		40,910		1,064,478
Universal Truckload Services, Inc.		3,187		80,249
USA Truck, Inc. (a)		2,984		82,627
Werner Enterprises, Inc.		21,335		670,132
YRC Worldwide, Inc. (a)		15,199		272,974
				6,739,345
Utilities: Electrical — 1.7%
ALLETE, Inc.		20,986		1,107,221
Atlantic Power Corp.		57,213		160,769
Avista Corp.		28,973		990,297
Black Hills Corp.		21,122		1,065,394
Cleco Corp.		28,980		1,579,990
El Paso Electric Co.		18,923		731,185
The Empire District Electric Co.		20,281		503,374
IDACORP, Inc.		24,145		1,517,996
MGE Energy, Inc.		16,664		738,548
NorthWestern Corp.		22,512		1,210,921
NRG Yield, Inc., Class A		11,536		585,221
Otter Tail Corp.		17,532		564,004
Pattern Energy Group, Inc.		21,226		601,120
PNM Resources, Inc.		36,647		1,070,092
Portland General Electric Co.		37,617		1,395,215
Spark Energy, Inc., Class A		1,501		22,140
TCP International Holdings Ltd. (a)		3,336		6,138
UIL Holdings Corp.		27,142		1,395,642
Unitil Corp.		6,609		229,795
				15,475,062
Utilities: Gas Distributors — 0.9%
Chesapeake Utilities Corp.		7,019		355,232
The Laclede Group, Inc.		20,706		1,060,561
New Jersey Resources Corp.		40,197		1,248,519
Northwest Natural Gas Co.		13,021		624,357

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 24

Schedule of Investments (continued)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Utilities: Gas Distributors (concluded)
Piedmont Natural Gas Co., Inc.		37,275	$	1,375,820
South Jersey Industries, Inc.		15,883		862,129
Southwest Gas Corp.		22,247		1,294,108
WGL Holdings, Inc.		24,825		1,400,130
				8,220,856
Utilities: Miscellaneous — 0.1%
Ormat Technologies, Inc.		15,871		603,415
Utilities: Telecommunications — 0.9%
8x8, Inc. (a)		42,702		358,697
Atlantic Tele-Network, Inc.		4,530		313,567
Boingo Wireless, Inc. (a)		10,671		80,459
Cincinnati Bell, Inc. (a)		101,812		359,396
Cogent Communications Group, Inc.		22,385		790,862
Consolidated Communications Holdings, Inc.		24,233		494,353
Fairpoint Communications, Inc. (a)		9,813		172,709
General Communication, Inc., Class A (a)		17,563		276,793
Globalstar, Inc. (a)(b)		129,550		431,402
GTT Communications, Inc. (a)		7,956		150,209
Hawaiian Telcom Holdco, Inc. (a)		4,996		133,043
IDT Corp., Class B		7,892		140,083
inContact, Inc. (a)		29,338		319,784
Iridium Communications, Inc. (a)		38,934		378,049
j2 Global, Inc.		22,767		1,495,337
Lumos Networks Corp.		8,961		136,745
magicJack VocalTec Ltd. (a)		9,465		64,741
NeuStar, Inc., Class A (a)(b)		9,676		238,223
NTELOS Holdings Corp.		8,432		40,474
ORBCOMM, Inc. (a)		25,552		152,545
Premiere Global Services, Inc. (a)		22,691		216,926
Shenandoah Telecommunications Co.		11,600		361,456
Spok Holdings, Inc.		10,144		194,460
Vonage Holdings Corp. (a)		83,849		411,699
West Corp.		18,441		622,015
				8,334,027
Utilities: Water — 0.2%
American States Water Co.		18,532		739,242
Artesian Resources Corp., Class A		3,685		78,822
California Water Service Group		22,989		563,460
Connecticut Water Service, Inc.		5,042		183,176
Middlesex Water Co.		7,424		168,970
SJW Corp.		7,618		235,472

Common Stocks	Shares		Value
Utilities: Water (concluded) — 0.2%
York Water Co.		6,142	$	149,128
				2,118,270
Total Common Stocks — 92.5%				867,421,440
Other Interests (d) — 0.0%	Beneficial Interest (000)
Gerber Scientific, Inc.	$	13		129
Rights — 0.0%	Shares
Utilities: Telecommunications — 0.0%
Leap Wireless, CVR (a)		28,200		71,064
Warrants (e) — 0.0%
Magnum Hunter Resources Corp., (Issued 10/15/13, 1 Share for 10 Warrant, Expires 4/15/16, Strike Price $8.50)		7,791		—
Total Long-Term Investments (Cost — $571,195,255) — 92.5%				867,492,633
Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.03%, (c)(f)		69,937,992	$	69,937,992
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.20% (c)(f)(g)	$	18,743		18,743,259
Total Short-Term Securities (Cost — $88,681,251) — 7.5%				88,681,251
Total Investments (Cost — $659,876,506) —100.0%				956,173,884
Liabilities in Excess of Other Assets — (0.0)%				(18,789,637	)
Net Assets — 100.0%			$	937,384,247

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 25

Schedule of Investments (continued) Master Small Cap Index Series

* As of March 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	677,899,122
Gross unrealized appreciation	$	327,354,923
Gross unrealized depreciation		(49,080,161	)
Net unrealized appreciation	$	278,274,762

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) During the period ended March 31, 2015, investments in issuers considered to be an affiliate of the Master Series for purposes of Section 2(a)(3) of the Investment Company Act of 1940 were as follows:

	Shares/							Shares/
	Beneficial							Beneficial
	Interest		Shares/					Interest
	Held at		Beneficial			Shares/		Held at		Value at
	December 31,		Interest			Beneficial		March 31,		March 31,				Realized
Affiliate	2014		Purchased			Interest Sold		2015		2015		Income		Gain (Loss)
BlackRock Liquidity Funds, TempFund, Institutional Class		14,055,813		55,882,179	1		—		69,937,992	$	69,937,992	$	5,961	$	—
BlackRock Liquidity Series, LLC, Money Market Series	$	18,352,402	$	390,857	1			$	18,743,259	$	18,743,259	$	394,815	$	—
PennyMac Financial Services, Inc.		5,912		—			—		5,912	$	100,327	$	—	$	—
PennyMac Mortgage Investment Trust		28,817		—			—		28,817	$	613,514	$	18,247	$	—

¹  Represents net shares/beneficial interest purchased.

(d) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(e) Warrants entitle the Master 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, if any.

(f) Represents the current yield as of report date.

(g) Security was purchased with the cash collateral from loaned securities. The Master 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.

• As of March 31, 2015, financial futures contracts outstanding were as follows:

Contracts Long	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation
460	Russell 2000 Mini Index	ICE Futures U.S. Indices	June 2015	$	57,449,400	$	141,061

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 26

Schedule of Investments (continued) Master Small Cap Index Series

• 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 ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications 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. 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Master Series’s policy regarding valuation of investments and derivative financial instruments, please refer to the Series’s most recent financial statements as contained in its annual report.

As of March 31, 2015, the following tables summarize the Series’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1
Common Stocks	$	867,391,410		—	$	30,030	$	867,421,440
Other Interests		—		—		129		129
Rights		—		—		71,064		71,064
Short-Term Securities		69,937,992	$	18,743,259		—		88,681,251
Total	$	937,329,402	$	18,743,259	$	101,223	$	956,173,884

¹  See above Schedule of Investments for values in each industry.

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments 2
Assets:
Equity contracts	$	141,061		—		—	$	141,061

²  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 27

Schedule of Investments (concluded) Master Small Cap Index Series

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of March 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	552,547		—			—	$	552,547
Cash pledged for financial futures contracts		1,393,000		—			—		1,393,000
Liabilities:
Collateral on securities loaned at value		—	$	(18,743,259	)		—		(18,743,259	)
Total	$	1,945,547	$	(18,743,259	)		—	$	(16,797,712	)

During the period ended March 31, 2015, there were no transfers between levels.

QUANTITATIVE MASTER SERIES LLC MARCH 31, 2015 28

CONSOLIDATED SCHEDULE OF INVESTMENTS

AMERICAN BEACON AHL MANAGED FUTURES STRATEGY FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value (000)
SHORT-TERM INVESTMENTS – 91.01%
Money Market Funds – 3.50%
JPMorgan U.S. Government Money Market Fund, Capital ClassA		1,813	$	1,813
	Par Amount
U.S. Treasury Bills – 87.51%
0.01%, Due 06/18/2015A	$	45,300		45,299
Total Short-Term Investments (Cost 47,112)				47,112
TOTAL INVESTMENTS - 91.01% (Cost $47,112)				47,112
LIABILITIES, NET OF OTHER ASSETS - 8.99%				4,652
TOTAL NET ASSETS - 100.00%			$	51,764

Percentages are stated as a percent of net assets.

Purchased Futures Contracts Open on March 31, 2015:

Commodity Futures Contracts
Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
LME Copper FuturesA	1	April 2015	$	151,612	$	9,613
LME Copper FuturesA	1	May 2015		151,375		(1,540	)
LME Lead FuturesA	3	April 2015		136,894		2,261
LME Lead FuturesA	2	May 2015		91,013		(692	)
LME Lead FuturesA	1	June 2015		45,513		(712	)
LME Primary Aluminum FuturesA	1	April 2015		44,681		575
LME Zinc FuturesA	3	May 2015		155,869		(1,523	)
			$	776,957	$	7,982
Currency Futures Contracts
Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
90-Day Eurodollar Futures	54	June 2016	$	13,360,950	$	17,903
90-Day Eurodollar Futures	55	March 2017		13,536,875		16,685
90-Day Eurodollar Futures	61	December 2017		14,956,438		16,384
90-Day Sterling Futures	143	June 2016		26,282,436		38,180
90-Day Sterling Futures	137	March 2017		25,095,846		27,671
Mexican Peso Futures	90	June 2015		2,938,050		(52,046	)
U.S. Dollar Index Futures	15	June 2015		1,479,915		6,457
			$	97,650,510	$	71,234

1

Equity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Amsterdam Index Futures	8	April 2015	$	841,362	$	(7,751	)
CAC40 Index Futures	18	April 2015		974,693		2,249
DAX Index Futures	4	June 2015		1,291,429		7,039
E-Mini Russell 2000 Futures	15	June 2015		1,873,350		21,921
Euro Stoxx 50 Index Futures	32	June 2015		1,249,355		13,714
FTSE 100 Index Futures	19	June 2015		1,895,978		(38,781	)
FTSE/JSE Top 40 Index Futures	18	June 2015		688,464		(5,684	)
FTSE/MIB Index Futures	7	June 2015		858,727		26,441
Hang Seng Index Futures	15	April 2015		2,413,594		24,820
H-SHARES Index Futures	17	April 2015		1,358,548		50,842
IBEX 35 Index Futures	6	April 2015		741,297		32,348
KOSPI 200 Index Futures	27	June 2015		3,134,526		25,504
MSCI Taiwan Stock Index Futures	34	April 2015		1,200,200		(906	)
NASDAQ 100 E-Mini Futures	17	June 2015		1,472,030		(13,740	)
Nikkei 225 (SGX) Futures	24	June 2015		1,927,544		47,220
OMXS30 Index Futures	56	April 2015		1,078,105		(7,644	)
S&P 500 E-mini Futures	23	June 2015		2,369,920		(14,119	)
S&P/TSX 60 Index Futures	7	June 2015		956,472		(301	)
SPI 200 Futures	13	June 2015		1,456,998		8,456
TOPIX Index Futures	9	June 2015		1,158,252		9,513
			$	28,940,844	$	181,141

Interest Rate Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
10-Year Japanese Government Bond (OSE) Futures	19	June 2015	$	23,322,466	$	(41,309	)
3-Month Euro Euribor Futures	160	June 2016		43,014,314		126
3-Month Euro Euribor Futures	40	March 2017		10,747,127		(506	)
3-Month Euro Euribor Futures	105	December 2017		28,178,749		4,175
Australia 10-Year Bond Futures	56	June 2015		5,658,906		73,875
Australia 3-Year Bond Futures	202	June 2015		17,331,573		54,455
Euro-Bobl Futures	59	June 2015		8,211,009		24,277
Euro-Bund Futures	25	June 2015		4,267,669		68,419
Euro-Buxl 30-Year Bond Futures	5	June 2015		947,080		62,362
Long GILT Futures	34	June 2015		6,090,099		68,333
U.S. 10-Year Treasury Note Futures	30	June 2015		3,867,187		27,022
U.S. 2-Year Treasury Note Futures	95	June 2015		20,819,844		39,882
U.S. 5-Year Treasury Note Futures	54	June 2015		6,491,391		26,123
U.S. Long Bond (CBT) Futures	6	June 2015		983,250		(3,130	)
U.S. Ultra Bond (CBT) Futures	11	June 2015		1,868,625		(5,228	)
			$	181,799,289	$	398,876

2

Sold Futures Contracts Open on March 31, 2015:

Commodity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Brent Crude FuturesA	7	May 2015	$	385,770	$	12,873
Cocoa FuturesA	29	July 2015		782,710		9,876
Coffee ‘C’ FuturesA	7	May 2015		348,862		65,685
Copper FuturesA	4	May 2015		274,000		(18,432	)
Corn FuturesA	19	May 2015		357,438		(2,815	)
Gasoline RBOB FuturesA	6	May 2015		446,040		(186	)
Gold 100oz FuturesA	29	June 2015		3,431,280		26,632
LME Copper FuturesA	1	April 2015		151,613		(9,832	)
LME Copper FuturesA	2	May 2015		302,750		(15,759	)
LME Lead FuturesA	3	April 2015		136,894		698
LME Lead FuturesA	2	May 2015		91,013		(3,193	)
LME Lead FuturesA	7	June 2015		318,587		(2,335	)
LME Nickel FuturesA	1	April 2015		74,088		14,606
LME Nickel FuturesA	4	May 2015		296,808		43,586
LME Primary Aluminum FuturesA	2	April 2015		89,363		2,804
LME Primary Aluminum FuturesA	42	May 2015		1,868,212		(15,967	)
LME Primary Aluminum FuturesA	1	June 2015		44,600		(101	)
LME Zinc FuturesA	11	May 2015		571,519		(10,845	)
LME Zinc FuturesA	3	June 2015		156,187		(5,213	)
Low Sulphur Gasoil FuturesA	10	April 2015		526,500		14,590
Natural Gas FuturesA	23	May 2015		607,200		12,432
Natural Gas Swap FuturesA	8	November 2015		58,320		20,211
Natural Gas Swap FuturesA	8	December 2015		61,560		16,972
Natural Gas Swap FuturesA	8	January 2016		63,760		14,772
Natural Gas Swap FuturesA	8	February 2016		63,480		15,052
Natural Gas Swap FuturesA	8	March 2016		62,580		15,952
Natural Gas Swap FuturesA	4	April 2016		29,950		896
Natural Gas Swap FuturesA	4	May 2016		30,000		846
Natural Gas Swap FuturesA	4	June 2016		30,330		516
Natural Gas Swap FuturesA	4	July 2016		30,710		136
Natural Gas Swap FuturesA	4	August 2016		30,790		56
Natural Gas Swap FuturesA	4	September 2016		30,690		156
Natural Gas Swap FuturesA	4	October 2016		30,970		(124	)
NY Harbor ULSD FuturesA	8	May 2015		573,888		625
Silver FuturesA	9	May 2015		746,910		(28,500	)
Soybean FuturesA	33	May 2015		1,605,862		20,468
Sugar #11 (World Markets) FuturesA	93	May 2015		1,242,629		290,103
Wheat (CBT) FuturesA	13	May 2015		332,638		(12,490	)
WTI Crude FuturesA	12	May 2015		571,200		17,500
			$	16,857,701	$	492,251

Currency Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Australian Dollar Currency Futures	26	June 2015	$	1,971,060	$	6,085
Canadian Dollar Currency Futures	25	June 2015		1,973,000		(12,564	)
Euro FX Currency Futures	22	June 2015		2,957,350		32,294
Japanese Yen Currency Futures	4	June 2015		417,300		(4,422	)
Pound Sterling Currency Futures	61	June 2015		5,656,606		75,403
Swiss Franc Currency Futures	10	June 2015		1,289,375		(40,972	)
			$	14,264,691	$	55,824

3

Foreign Currency Contracts open at March 31, 2015:

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Buy	KRW		360,362	4/17/2015	DUB	$	—	$	(1,563	)	$	(1,563	)
Buy	KRW		90,091	4/17/2015	DUB		—		(393	)		(393	)
Buy	TWD		79,900	4/17/2015	DUB		—		(137	)		(137	)
Buy	CLP		79,785	5/13/2015	RBS		—		(224	)		(224	)
Buy	CLP		79,785	5/13/2015	RBS		—		(213	)		(213	)
Buy	TWD		79,900	4/17/2015	DUB		—		(180	)		(180	)
Buy	BRL		2,224,624	4/2/2015	RBS		—		(40,128	)		(40,128	)
Buy	CLP		797,851	5/13/2015	RBS		—		(3,649	)		(3,649	)
Buy	PEN		481,056	5/13/2015	RBS		—		(4,286	)		(4,286	)
Buy	SEK		29,890	4/17/2015	DUB		—		(38	)		(38	)
Buy	CLP		79,785	5/13/2015	RBS		433		—			433
Buy	CLP		159,570	5/13/2015	RBS		484		—			484
Buy	EUR		80,087	4/17/2015	DUB		—		(465	)		(465	)
Buy	JPY		84,895	4/17/2015	DUB		23		—			23
Buy	HKD		36,896	4/17/2015	RBS		11		—			11
Buy	INR		279,343	4/10/2015	DUB		—		(433	)		(433	)
Buy	AUD		89,405	4/17/2015	RBS		—		(1,775	)		(1,775	)
Buy	INR		239,437	4/10/2015	DUB		—		(659	)		(659	)
Buy	TWD		79,900	4/17/2015	DUB		325		—			325
Buy	TWD		79,900	4/17/2015	DUB		368		—			368
Buy	INR		319,249	4/10/2015	DUB		—		(623	)		(623	)
Buy	INR		239,437	4/10/2015	DUB		—		(563	)		(563	)
Buy	KRW		450,453	4/17/2015	DUB		2,516		—			2,516
Buy	INR		239,437	4/10/2015	DUB		241		—			241
Buy	INR		199,531	4/10/2015	DUB		248		—			248
Buy	TWD		79,900	4/17/2015	DUB		180		—			180
Buy	INR		279,343	4/10/2015	DUB		381		—			381
Buy	CNY		3,368,090	5/22/2015	RBS		—		(19,007	)		(19,007	)
Buy	EUR		251,982	4/17/2015	DUB		3,687		—			3,687
Buy	BRL		250,662	4/2/2015	RBS		3,477		—			3,477
Buy	COP		76,573	5/13/2015	RBS		1,654		—			1,654
Buy	BRL		156,664	4/2/2015	RBS		3,128		—			3,128
Buy	BRL		156,664	4/2/2015	RBS		3,567		—			3,567
Buy	AUD		309,757	4/17/2015	RBS		—		(2,566	)		(2,566	)
Buy	SEK		109,991	4/17/2015	DUB		211		—			211
Buy	MYR		67,435	4/13/2015	DUB		378		—			378
Buy	BRL		156,664	4/2/2015	RBS		—		(9,146	)		(9,146	)
Buy	BRL		187,996	4/2/2015	RBS		—		(11,674	)		(11,674	)
Buy	PHP		222,556	7/1/2015	BNP		—		(350	)		(350	)
Buy	PHP		222,556	7/1/2015	BRC		—		(584	)		(584	)
Buy	PHP		222,556	7/1/2015	BRC		—		(608	)		(608	)
Buy	INR		6,903,766	4/10/2015	DUB		9,139		—			9,139
Buy	BRL		219,329	4/2/2015	RBS		—		(7,336	)		(7,336	)
Buy	BRL		156,664	4/2/2015	RBS		—		(3,878	)		(3,878	)
Buy	PHP		2,512,479	4/30/2015	DUB		—		(23,476	)		(23,476	)
Buy	EUR		127,462	4/17/2015	DUB		1,541		—			1,541
Buy	JPY		70,531	4/17/2015	DUB		677		—			677
Buy	TWD		319,599	4/17/2015	DUB		874		—			874
Buy	TWD		79,900	4/17/2015	DUB		305		—			305
Buy	MYR		67,435	4/13/2015	DUB		—		(659	)		(659	)

4

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Buy	INR		199,531	4/10/2015	DUB	$	—	$	(54	)	$	(54	)
Buy	INR		279,343	4/10/2015	DUB		681		—			681
Buy	COP		76,573	5/13/2015	RBS		—		(63	)		(63	)
Buy	TWD		79,900	4/17/2015	DUB		434		—			434
Buy	TWD		559,299	4/17/2015	DUB		657		—			657
Buy	MYR		67,435	4/13/2015	DUB		—		(568	)		(568	)
Buy	KRW		180,181	4/17/2015	DUB		—		(125	)		(125	)
Buy	KRW		90,090	4/17/2015	DUB		—		(68	)		(68	)
Buy	KRW		180,181	4/17/2015	DUB		—		(108	)		(108	)
Buy	TWD		1,038,698	4/17/2015	DUB		1,122		—			1,122
Buy	INR		2,474,182	4/10/2015	DUB		—		(10,389	)		(10,389	)
Buy	MYR		67,435	4/13/2015	DUB		—		(810	)		(810	)
Buy	INR		2,793,431	4/10/2015	DUB		—		(12,990	)		(12,990	)
Buy	TWD		878,898	4/17/2015	DUB		—		(539	)		(539	)
Buy	INR		1,356,810	4/10/2015	DUB		—		(6,113	)		(6,113	)
Buy	INR		1,995,308	4/10/2015	DUB		—		(9,423	)		(9,423	)
Buy	CLP		159,570	5/13/2015	RBS		—		(296	)		(296	)
Buy	PEN		641,408	5/13/2015	RBS		—		(6,050	)		(6,050	)
Buy	PEN		80,176	5/13/2015	RBS		—		(1,127	)		(1,127	)
Buy	CLP		478,711	5/13/2015	RBS		—		(3,880	)		(3,880	)
Buy	CLP		1,196,776	5/13/2015	RBS		—		(11,148	)		(11,148	)
Buy	JPY		149,659	4/17/2015	DUB		—		(407	)		(407	)
Buy	GBP		276,027	4/17/2015	RBS		—		(1,031	)		(1,031	)
Buy	TWD		79,900	4/17/2015	DUB		—		(172	)		(172	)
Buy	MYR		67,435	4/13/2015	DUB		—		(692	)		(692	)
Buy	EUR		1,065	4/17/2015	DUB		—		(20	)		(20	)
Buy	MYR		404,610	4/13/2015	DUB		—		(4,891	)		(4,891	)
Buy	KRW		1,621,629	4/17/2015	DUB		—		(6,667	)		(6,667	)
Buy	TWD		1,438,197	4/17/2015	DUB		—		(1,573	)		(1,573	)
Buy	KRW		540,543	4/17/2015	DUB		—		(3,393	)		(3,393	)
Buy	KRW		540,543	4/17/2015	DUB		—		(3,644	)		(3,644	)
Buy	KRW		540,543	4/17/2015	DUB		—		(3,857	)		(3,857	)
Buy	KRW		630,634	4/17/2015	DUB		—		(3,924	)		(3,924	)
Buy	TWD		559,299	4/17/2015	DUB		—		(791	)		(791	)
Buy	TWD		79,900	4/17/2015	DUB		—		(280	)		(280	)
Buy	CLP		79,785	5/13/2015	RBS		—		(662	)		(662	)
Buy	CLP		79,785	5/13/2015	RBS		—		(212	)		(212	)
Buy	TWD		79,900	4/17/2015	DUB		—		(44	)		(44	)
Sell	PHP		55,873	4/17/2015	DUB		—		(242	)		(242	)
Sell	PHP		55,873	4/17/2015	DUB		—		(169	)		(169	)
Sell	PHP		55,873	4/17/2015	DUB		—		(200	)		(200	)
Sell	PHP		55,873	4/17/2015	DUB		—		(256	)		(256	)
Sell	PHP		949,159	4/30/2015	DUB		—		(2,400	)		(2,400	)
Sell	PHP		55,873	4/17/2015	DUB		—		(278	)		(278	)
Sell	PHP		55,873	4/17/2015	DUB		—		(416	)		(416	)
Sell	PHP		111,747	4/17/2015	DUB		—		(418	)		(418	)
Sell	PHP		55,873	4/17/2015	DUB		17		—			17
Sell	CNY		80,193	5/22/2015	RBS		808		—			808
Sell	MYR		67,435	4/13/2015	DUB		—		(2	)		(2	)
Sell	PHP		55,833	4/30/2015	DUB		367		—			367
Sell	PHP		390,830	4/30/2015	DUB		1,811		—			1,811
Sell	INR		199,531	4/10/2015	DUB		—		(1,871	)		(1,871	)
Sell	INR		239,437	4/10/2015	DUB		—		(2,024	)		(2,024	)
Sell	CLP		398,925	5/13/2015	RBS		—		(6,060	)		(6,060	)
Sell	CLP		79,785	5/13/2015	RBS		—		(1,404	)		(1,404	)
Sell	BRL		3,509,267	4/2/2015	RBS		346,288		—			346,288

5

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	PHP		55,873	4/17/2015	DUB	$	5	$	—		$	5
Sell	AUD		9,711	4/17/2015	RBS		316		—			316
Sell	EUR		34,165	4/17/2015	DUB		643		—			643
Sell	HKD		67,919	4/17/2015	RBS		—		(19	)		(19	)
Sell	JPY		23,018	4/17/2015	DUB		62		—			62
Sell	SEK		6,679	4/17/2015	DUB		91		—			91
Sell	ZAR		50,224	4/17/2015	DUB		1,388		—			1,388
Sell	PHP		55,873	4/17/2015	DUB		—		(80	)		(80	)
Sell	PHP		55,873	4/17/2015	DUB		—		(216	)		(216	)
Sell	BRL		2,206,331	5/5/2015	RBS		39,485					39,485
Sell	INR		2,553,994	4/10/2015	DUB		—		(15,823	)		(15,823	)
Sell	INR		2,593,901	4/10/2015	DUB		—		(18,623	)		(18,623	)
Sell	INR		957,748	4/10/2015	DUB		—		(7,328	)		(7,328	)
Sell	PEN		1,683,697	5/13/2015	DUB		—		(2,567	)		(2,567	)
Sell	CLP		79,785	5/13/2015	DUB		—		(2,139	)		(2,139	)
Sell	PHP		111,666	4/30/2015	RBS		701		—			701
Sell	INR		239,437	4/10/2015	RBS		—		(2,609	)		(2,609	)
Sell	PHP		55,833	4/30/2015	RBS		363		—			363
Sell	INR		319,249	4/10/2015	RBS		—		(2,844	)		(2,844	)
Sell	PHP		446,663	4/30/2015	RBS		2,705		—			2,705
Sell	TWD		79,900	4/17/2015	RBS		—		(978	)		(978	)
Sell	MYR		67,435	4/13/2015	DUB		124		—			124
Sell	PHP		223,331	4/30/2015	DUB		—		(167	)		(167	)
Sell	PHP		893,975	4/17/2015	DUB		—		(3,007	)		(3,007	)
Sell	PHP		167,620	4/17/2015	DUB		—		(694	)		(694	)
Sell	CLP		79,785	5/13/2015	RBS		—		(2,226	)		(2,226	)
Sell	PHP		111,747	4/17/2015	DUB		—		(189	)		(189	)
Sell	INR		239,437	4/10/2015	DUB		—		(2,609	)		(2,609	)
Sell	PHP		837,493	4/30/2015	DUB		1,715		—			1,715
Sell	AUD		67,251	4/17/2015	RBS		308		—			308
Sell	ZAR		3,888	4/17/2015	DUB		—		(83	)		(83	)
Sell	CLP		79,785	5/13/2015	RBS		—		(2,211	)		(2,211	)
Sell	JPY		7,354	4/17/2015	DUB		—		(85	)		(85	)
Sell	MYR		67,435	4/13/2015	RBS		—		(133	)		(133	)
Sell	MYR		67,435	4/13/2015	DUB		14		—			14
Sell	PHP		55,833	4/30/2015	DUB		476		—			476
Sell	INR		239,437	4/10/2015	DUB		—		(1,479	)		(1,479	)
Sell	TWD		159,800	4/17/2015	DUB		—		(2,106	)		(2,106	)
Sell	TWD		79,900	4/17/2015	DUB		—		(1,060	)		(1,060	)
Sell	PHP		55,833	4/30/2015	DUB		546		—			546
Sell	TWD		79,900	4/17/2015	DUB		—		(876	)		(876	)
Sell	PHP		55,833	4/30/2015	DUB		499		—			499
Sell	HKD		384,552	4/17/2015	RBS		—		(760	)		(760	)
Sell	CLP		79,785	5/13/2015	RBS		—		(1,433	)		(1,433	)
Sell	ZAR		12,445	4/17/2015	DUB		—		(149	)		(149	)
Sell	COP		765,727	5/13/2015	RBS		—		(1,406	)		(1,406	)
Sell	MYR		3,506,616	4/13/2015	DUB		8,037		—			8,037
Sell	KRW		225,226	4/17/2015	RBS		—		(998	)		(998	)
Sell	INR		2,593,901	4/10/2015	DUB		—		(15,150	)		(15,150	)
Sell	INR		359,155	4/10/2015	DUB		—		(3,284	)		(3,284	)
Sell	PHP		55,833	4/30/2015	DUB		457		—			457
Sell	PHP		55,833	4/30/2015	DUB		470		—			470
Sell	CLP		79,785	5/13/2015	RBS		—		(1,800	)		(1,800	)
Sell	CLP		1,675,487	5/13/2015	RBS		—		(39,973	)		(39,973	)
Sell	CLP		159,570	5/13/2015	RBS		—		(3,729	)		(3,729	)
Sell	INR		359,155	4/10/2015	DUB		—		(3,284	)		(3,284	)

6

Type	Currency	Principal Amount Covered by Contract		Settlement Date		Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	TWD		2,476,895		4/17/2015	DUB	$	—	$	(29,784	)	$	(29,784	)
Sell	PHP		111,666		4/30/2015	DUB		671		—			671
Sell	KRW		5,945,974		4/17/2015	DUB		—		(87,379	)		(87,379	)
Sell	MYR		67,435		4/13/2015	DUB		5		—			5
Sell	INR		239,437		4/10/2015	DUB		—		(1,678	)		(1,678	)
Sell	PEN		1,683,697		5/13/2015	RBS		—		(2,567	)		(2,567	)
							$	445,114	$	(509,889	)	$	(64,775	)

^A  All or a portion represents positions held by the American Beacon Cayman Managed Futures Strategy Fund, Ltd.

Glossary

Counterparty Abbreviations:
BNP	Banque Nationale De Paris	DUB	Deutsche Bank AG
BRC	Barclays Bank PLC	RBS	Royal Bank of Scotland
Currency Abbreviations:
AUD	Australian Dollar	GBP	Pound Sterling	PEN	Peruvian Nuevo Sol
BRL	Brazilian Real	HKD	Hong Kong Dollar	PHP	Philippine Peso
CLP	Chilean Peso	INR	Indian Rupee	SEK	Swedish Krona
CNY	Yuan Renminbi	JPY	Japanese Yen	TWD	New Taiwan Dollar
COP	Colombian Peso	KRW	South Korean Won	ZAR	South African Rand
EUR	Euro Currency	MYR	Malaysian Ringgit
Index Abbreviations:
CAC 40	French Stock Market Index	IBEX 35	Spanish Continuous Market Index	S&P 500	Standard and Poor’s top 500 companies Index
DAX	Deutsche Boerse AG German Stock Index	KOSPI 200	Korea Stock Exchange Index	S&P/TSX 60	S&P/Toronto Stock Exchange Composite Index
FTSE 100	Index of high market capitalization on the London Stock Exchange	MSCI	Morgan Stanley Capital International	SPI 200	Swiss Performance Index
FTSE/JSE Top 40	South African Index measures high market capitalization	Nikkei 225	Stock market index on the Tokyo Stock Exchange	Stoxx 50	European Index of to blue-chip companies
FTSE/MIB	Italian Stock Market Index	OMXS30	OMX Stockholm 30 Index	TOPIX	Tokyo Stock Price Index
Exchange Abbreviations:
CBT	Chicago Board of Trade	LME	London Metal Exchange	SGX	Singapore Exchange
ICE	Intercontinental Exchange	OSE	Oslo Stock Exchange
Other Abbreviations:
Buxl	Euro Buxl Futures	NASDAQ	National Association of Securities Dealers Automated Quotations	RBOB	Reformulated Blendstock for Oxygenate Blending
GILT	Gilt-Edged Securities	ULSD	Ultra-Low-Sulfur Diesel
H-Shares	A share of a company incorporated in the Chinese mainland that is listed on the Hong Kong Stock Exchange or other foreign exchange	WTI	West Texas Intermediate

7

TOP ACTIVE EXPOSURES BY ASSET CLASS

Commodities		% of VaR
Gold Futures	Short		3.85
Crude Oil Futures	Short		2.54
Natural Gas Futures	Short		2.50
Currencies		% of VaR
BRL/USD Cross-Currency			2.69
GBP/USD Cross-Currency			2.55
INR/USD Cross-Currency			2.28
Equities		% of VaR
Nikkei Futures	Long		2.45
S&P 500 Futures	Long		2.20
Korean Kospi Futures	Long		2.20
Fixed Income		% of VaR
U.S. Treasury Futures	Long		6.60
Australian Bond Futures	Long		3.45

ASSET CLASS EXPOSURE	% of VaR
Equities		38.1
Fixed Income		30.0
Commodities		18.1
Currencies		13.8

HOLDINGS SUMMARY
Number of Long Holdings	30
Number of Short Holdings	18
Number of Currency Pairs	18

8

AMERICAN BEACON BAHL & GAYNOR SMALL CAP

GROWTH FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.74%
CONSUMER DISCRETIONARY - 17.80%
Auto Components - 1.35%
Strattec Security Corp.		960	$	71
Automobiles - 3.22%
Hyster-Yale Materials Handling, Inc.		725		53
Thor Industries, Inc.		1,830		116
				169
Hotels, Restaurants & Leisure - 4.66%
Brinker International, Inc.		1,555		96
Texas Roadhouse, Inc.		4,125		149
				245
Household Durables - 2.30%
Flexsteel Industries, Inc.		2,215		69
Matthews International Corp., Class A		1,010		52
				121
Multiline Retail - 1.62%
Pricesmart, Inc.		995		85
Specialty Retail - 2.17%
Buckle, Inc.		450		23
Monro Muffler Brake, Inc.		1,395		91
				114
Textiles & Apparel - 2.48%
Movado Group, Inc.		1,350		39
Wolverine World Wide, Inc.		2,725		91
				130
Total Consumer Discretionary				935
CONSUMER STAPLES - 7.79%
Food & Drug Retailing - 3.18%
B&G Foods, Inc.		2,220		65
United Natural Foods, Inc.A		1,320		102
				167
Food Products - 2.95%
J&J Snack Foods Corp.		895		96
Lifeway Foods, Inc.		2,775		59
				155
Personal Products - 1.66%
Inter Parfums, Inc.		2,675		87
Total Consumer Staples				409
ENERGY - 3.01%
Energy Equipment & Services - 0.59%
Bristow Group, Inc.		575		31

	Shares		Fair Value
			(000’s)
Oil & Gas - 2.42%
GasLog Ltd.		2,985	$	58
SemGroup Corp., Class A		840		69
				127
Total Energy				158
FINANCIALS - 12.61%
Banks - 5.95%
Bank of the Ozarks, Inc.		1,045		39
Evercore Partners, Inc., Class A		1,375		71
Glacier Bancorp, Inc.		1,135		29
PacWest Bancorp		2,625		123
S&T Bancorp, Inc.		1,755		50
				312
Diversified Financials - 5.10%
Jack Henry & Associates, Inc.		1,730		121
MarketAxess Holdings, Inc.		1,780		147
				268
Insurance - 1.56%
Horace Mann Educators Corp.		2,400		82
Total Financials				662
HEALTH CARE - 14.78%
Biotechnology - 3.03%
Myriad Genetics, Inc.A		1,430		51
Neogen Corp., Sponsored ADRA B		760		36
Trinity Biotech PLC, Sponsored ADRB C		3,810		72
				159
Health Care Equipment & Supplies - 9.26%
Abaxis, Inc.		1,910		122
Atrion Corp.		100		35
Computer Programs and Systems, Inc.		1,060		58
STERIS Corp.		2,015		142
West Pharmaceutical Services, Inc.		2,140		129
				486
Health Care Providers & Services - 2.49%
Cantel Medical Corp.		2,115		100
HealthSouth Corp.		690		31
				131
Total Health Care				776
INDUSTRIALS - 13.64%
Building Products - 2.32%
Watsco, Inc.		970		122
Commercial Services & Supplies - 7.41%
G&K Services, Inc., Class A		840		61

9

	Shares		Fair Value
			(000’s)
Healthcare Services Group, Inc.		2,510	$	81
Monotype Imaging Holdings, Inc.		2,400		78
MSA Safety, Inc.		1,285		64
Rollins, Inc.		4,292		105
				389
Electrical Equipment - 0.69%
II-VI, Inc.		1,940		36
Industrial Conglomerates - 0.67%
Raven Industries, Inc.		1,700		35
Machinery - 2.55%
Applied Industrial Technologies, Inc.		1,780		81
Valmont Industries, Inc.		430		53
				134
Total Industrials				716
INFORMATION TECHNOLOGY - 22.92%
Communications Equipment - 1.28%
Plantronics, Inc.		1,270		67
Electronic Equipment & Instruments - 5.31%
Analogic Corp.		630		57
Intersil Corp., Class A		3,390		49
Methode Electronics, Inc.		2,520		118
NVE Corp.		475		33
Tessco Technologies, Inc.		895		22
				279
Internet Software & Services - 2.59%
j2 Global, Inc.		1,480		97
Reis, Inc.		1,515		39
				136
IT Consulting & Services - 2.89%
Ritchie Bros Auctioneers, Inc.		3,845		96
Syntel, Inc.A		1,085		56
				152
Semiconductor Equipment & Products - 3.28%
FEI Co.		920		71
Micrel, Inc.		2,730		41
Power Integrations, Inc.		1,160		60
				172
Software - 7.57%
Blackbaud, Inc.		1,910		90
EPIQ Systems, Inc.		1,840		33
Mentor Graphics Corp.		3,490		84
National Instruments Corp.		2,270		73
Pegasystems, Inc.		2,140		47
Solera Holdings, Inc.		1,375		71
				398
Total Information Technology				1,204
MATERIALS - 3.54%
Chemicals - 3.54%
Balchem Corp.		1,185		66
PolyOne Corp.		2,650		98

	Shares		Fair Value
			(000’s)
Stepan Co.		520	$	22
Total Materials				186
UTILITIES - 0.65%
Gas - 0.65%
Targa Resources Corp.		355		34
Total Common Stock (Cost $4,627)				5,080
SHORT-TERM INVESTMENTS - 3.64% (Cost $191)
JPMorgan U.S. Government Money Market Fund, Capital Class		191,499		191
TOTAL INVESTMENTS - 100.38% (Cost $4,818)				5,271
LIABILITIES, NET OF OTHER ASSETS - (0.38%)				(20	)
TOTAL NET ASSETS - 100.00%			$	5,251

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  ADR - American Depositary Receipt.

^C  PLC - Public Limited Company.

10

Futures Contracts Open on March 31, 2015:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index June Futures	Long	1	June 2015	$	124,890	$	2,283
				$	124,890	$	2,283

Top Ten Holdings (% Net Assets)
Texas Roadhouse, Inc.		2.9
MarketAxess Holdings, Inc.		2.8
STERIS Corp.		2.7
West Pharmaceutical Services, Inc.		2.5
PacWest Bancorp		2.3
Abaxis, Inc.		2.3
Watsco, Inc.		2.3
Jack Henry & Associates, Inc.		2.3
Methode Electronics, Inc.		2.3
Thor Industries, Inc.		2.2
Total Fund Holdings	71

Sector Allocation (% Equities)
Information Technology	23.7
Consumer Discretionary	18.4
Health Care	15.3
Industrials	14.1
Financials	13.0
Consumer Staples	8.1
Materials	3.7
Energy	3.1
Utilities	0.6

11

AMERICAN BEACON BRIDGEWAY LARGE CAP VALUE FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.46%
CONSUMER DISCRETIONARY - 6.80%
Automobiles - 2.02%
Ford Motor Co.		903,740	$	14,586
General Motors Co.		429,980		16,125
				30,711
Hotels, Restaurants & Leisure - 0.89%
Marriott International, Inc., Class A		169,000		13,574
Media - 2.98%
CBS Corp., Class BA		234,700		14,230
Comcast Corp., Class A		273,600		15,450
Time Warner, Inc.		185,900		15,697
				45,377
Specialty Retail - 0.91%
Best Buy Co., Inc.		365,000		13,793
Total Consumer Discretionary				103,455
CONSUMER STAPLES - 5.79%
Beverages - 1.02%
Constellation Brands, Inc., Class AB		134,000		15,572
Food & Drug Retailing - 3.11%
Rite Aid Corp.B		3,465,200		30,112
Sysco Corp.		450,700		17,005
				47,117
Food Products - 1.66%
Pilgrim’s Pride Corp.		719,400		16,252
Tyson Foods, Inc., Class A		236,300		9,050
				25,302
Total Consumer Staples				87,991
ENERGY - 10.54%
Oil & Gas - 10.54%
Apache Corp.		206,700		12,470
Cimarex Energy Co.		53,500		6,157
ConocoPhillips		113,670		7,077
Devon Energy Corp.		192,000		11,580
Exxon Mobil Corp.		134,770		11,455
Hess Corp.		236,900		16,078
Kinder Morgan, Inc.		210,700		8,862
Marathon Petroleum Corp.		149,870		15,345
Murphy Oil Corp.		110,600		5,154
Phillips 66		185,400		14,572
Tesoro Corp.		338,000		30,857
Valero Energy Corp.		257,300		16,370
Whiting Petroleum Corp.B		140,150		4,331
Total Energy				160,308

	Shares		Fair Value
			(000’s)
FINANCIALS - 24.36%
Banks - 4.70%
Fifth Third Bancorp		405,200	$	7,638
M&T Bank Corp.		119,520		15,179
New York Community Bancorp, Inc.		914,000		15,292
PNC Financial Services Group, Inc.		101,000		9,417
SunTrust Banks, Inc.		258,700		10,630
U.S. Bancorp		305,800		13,354
				71,510
Diversified Financials - 4.53%
Ameriprise Financial, Inc.		69,600		9,106
Capital One Financial Corp.		120,600		9,506
Citigroup, Inc.		157,900		8,135
Discover Financial Services		108,800		6,131
Morgan Stanley		337,800		12,056
Raymond James Financial, Inc.		160,000		9,085
Wells Fargo & Co.		272,500		14,824
				68,843
Insurance - 13.18%
ACE Ltd.		100,300		11,182
Aflac, Inc.		249,200		15,952
Allstate Corp.		226,800		16,142
Chubb Corp.		105,200		10,636
Everest Re Group Ltd.		75,600		13,154
Genworth Financial, Inc., Class AB		739,270		5,404
Lincoln National Corp.		251,200		14,434
Marsh & McLennan Cos., Inc.		216,600		12,149
MetLife, Inc.		311,200		15,731
Principal Financial Group, Inc.		172,800		8,877
Progressive Corp.		510,000		13,872
Torchmark Corp.		227,400		12,489
Travelers Cos., Inc.		146,300		15,819
Unum Group		269,900		9,104
Voya Financial, Inc.		361,200		15,571
WR Berkley Corp.		196,300		9,915
				200,431
Real Estate - 1.95%
Simon Property Group, Inc.C		56,600		11,073
SL Green Realty Corp.C		69,000		8,858
Vornado Realty TrustC		86,580		9,697
				29,628
Total Financials				370,412
HEALTH CARE - 13.06%
Biotechnology - 1.04%
Amgen, Inc.		99,300		15,873
Health Care Equipment & Supplies - 0.89%
Zimmer Holdings, Inc.		115,300		13,550
Health Care Providers & Services - 8.40%
Anthem, Inc.		139,410		21,526

12

	Shares		Fair Value
			(000’s)
Cardinal Health, Inc.		209,100	$	18,875
Cigna Corp.		249,800		32,335
HCA Holdings, Inc.B		313,100		23,555
Quest Diagnostics, Inc.		257,100		19,758
Universal Health Services, Inc.		99,000		11,653
				127,702
Pharmaceuticals - 2.73%
Abbott Laboratories		403,700		18,703
Eli Lilly & Co.		104,900		7,683
Pfizer, Inc.		433,020		15,065
				41,451
Total Health Care				198,576
INDUSTRIALS - 12.99%
Aerospace & Defense - 3.58%
General Dynamics Corp.		87,500		11,876
Huntington Ingalls Industries, Inc.		82,900		11,618
L-3 Communications Holdings, Inc.		100,900		12,692
Northrop Grumman Corp.		113,600		18,286
				54,472
Air Freight & Couriers - 0.86%
FedEx Corp.		78,800		13,037
Airlines - 3.99%
Alaska Air Group, Inc.		324,400		21,469
Delta Air Lines, Inc.		318,500		14,320
Southwest Airlines Co.		558,900		24,760
				60,549
Commercial Services & Supplies - 2.37%
Equifax, Inc.		71,200		6,622
Graham Holdings Co.		13,652		14,330
Waste Management, Inc.		279,400		15,151
				36,103
Electrical Equipment - 0.88%
Emerson Electric Co.		236,300		13,379
Machinery - 1.31%
Deere & Co.		158,000		13,855
Trinity Industries, Inc.		171,400		6,086
				19,941
Total Industrials				197,481
INFORMATION TECHNOLOGY - 11.64%
Communications Equipment - 1.17%
Cisco Systems, Inc.		648,600		17,853
Computers & Peripherals - 0.67%
Hewlett-Packard Co.		326,140		10,163
Electronic Equipment & Instruments - 1.06%
ADT Corp.		389,700		16,180
IT Consulting & Services - 0.78%
Computer Sciences Corp.		181,900		11,874

	Shares		Fair Value
			(000’s)
Semiconductor Equipment & Products - 4.07%
Broadcom Corp., Class A		422,800	$	18,306
Intel Corp.		343,500		10,741
Micron Technology, Inc.B		540,600		14,666
Skyworks Solutions, Inc.		182,900		17,978
				61,691
Software - 3.89%
Activision Blizzard, Inc.		312,400		7,099
Amdocs Ltd.		254,000		13,818
Electronic Arts, Inc.B		212,300		12,486
Microsoft Corp.		321,700		13,079
Navient Corp.		622,400		12,653
				59,135
Total Information Technology				176,896
MATERIALS - 5.30%
Chemicals - 3.68%
Ashland, Inc.		117,500		14,959
Celanese Corp., Class A		185,700		10,373
CF Industries Holdings, Inc.		50,800		14,411
Dow Chemical Co.		337,300		16,184
				55,927
Metals & Mining - 1.62%
Alcoa, Inc.		857,700		11,081
Freeport-McMoRan Copper & Gold, Inc.		716,700		13,582
				24,663
Total Materials				80,590
TELECOMMUNICATION SERVICES - 1.18%
Diversified Telecommunication Services - 1.18%
AT&T, Inc.		332,849		10,868
CenturyLink, Inc.		206,000		7,117
Total Telecommunication Services				17,985
UTILITIES - 6.80%
Electric - 6.80%
American Electric Power Co., Inc.		158,800		8,933
Edison International		90,800		5,672
Entergy Corp.		211,500		16,389
Exelon Corp.		398,100		13,380
PG&E Corp.		224,400		11,909
Pinnacle West Capital Corp.		79,900		5,094
PPL Corp.		501,100		16,866
Public Service Enterprise Group, Inc.		399,400		16,743
Southern Co.		188,300		8,338
Total Utilities				103,324
Total Common Stock (Cost $1,379,051)				1,497,018
SHORT-TERM INVESTMENTS - 1.19% (Cost $18,044)
JPMorgan U.S. Government Money Market Fund, Capital Class		18,044,059		18,044

13

	Shares	Fair Value
		(000’s)
TOTAL INVESTMENTS - 99.65% (Cost $1,397,095)		$	1,515,062
OTHER ASSETS, NET OF LIABILITIES - 0.35%			5,279
TOTAL NET ASSETS - 100.00%		$	1,520,341

Percentages are stated as a percent of net assets.

^A  Non-voting participating shares.

^B  Non-income producing security.

^C  REIT - Real Estate Investment Trust.

Futures Contracts Open on March 31, 2015:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index June Futures	Long	163	June 2015	$	16,795,520	$	(158,167	)
				$	16,795,520	$	(158,167	)

Top Ten Holdings (% Net Assets)
Cigna Corp.		2.1
Tesoro Corp.		2.0
Rite Aid Corp.		2.0
Southwest Airlines Co.		1.6
HCA Holdings, Inc.		1.5
Anthem, Inc.		1.4
Alaska Air Group, Inc.		1.4
Quest Diagnostics, Inc.		1.3
Cardinal Health, Inc.		1.2
Abbott Laboratories		1.2
Total Fund Holdings	112
Sector Allocation (% Equities)
Financials		24.7
Health Care		13.3
Industrials		13.2
Information Technology		11.8
Energy		10.7
Consumer Discretionary		6.9
Utilities		6.9
Consumer Staples		5.9
Materials		5.4
Telecommunication Services		1.2

14

AMERICAN BEACON HOLLAND LARGE CAP GROWTH FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.31%
CONSUMER DISCRETIONARY - 20.78%
Hotels, Restaurants & Leisure - 2.52%
Yum! Brands, Inc.		32,673	$	2,572
Internet & Catalog Retail - 6.54%
Amazon.com, Inc.A		8,278		3,080
priceline.com, Inc.A		3,088		3,595
				6,675
Media - 2.16%
Twenty-First Century Fox, Inc., Class A		65,316		2,210
Specialty Retail - 5.74%
Advance Auto Parts, Inc.		16,091		2,409
GNC Holdings, Inc., Class A		38,811		1,904
Lowe’s Cos., Inc.		20,782		1,546
				5,859
Textiles & Apparel - 3.82%
NIKE, Inc., Class B		19,465		1,953
Under Armour, Inc., Class AA		24,185		1,953
				3,906
Total Consumer Discretionary				21,222
CONSUMER STAPLES - 11.48%
Beverages - 3.56%
Monster Beverage Corp.A		19,383		2,683
PepsiCo, Inc.		9,978		954
				3,637
Food & Drug Retailing - 6.80%
Costco Wholesale Corp.		13,984		2,119
CVS Caremark Corp.		18,695		1,930
Mead Johnson Nutrition Co., Class A		17,827		1,792
Whole Foods Market, Inc.		21,205		1,104
				6,945
Household Products - 1.12%
Procter & Gamble Co.		13,906		1,139
Total Consumer Staples				11,721
ENERGY - 4.62%
Energy Equipment & Services - 1.90%
Cameron International Corp.A		19,317		872
Halliburton Co.		24,263		1,064
				1,936
Oil & Gas - 2.72%
Concho Resources, Inc.A		8,571		994
Range Resources Corp.		34,280		1,784
				2,778
Total Energy				4,714

	Shares		Fair Value
			(000’s)
FINANCIALS - 3.82%
Diversified Financials - 3.82%
BlackRock, Inc., Class A		3,640	$	1,332
Greenhill & Co., Inc.		19,153		759
TD Ameritrade Holding Corp.		48,690		1,814
Total Financials				3,905
HEALTH CARE - 14.71%
Biotechnology - 4.86%
Gilead Sciences, Inc.A		33,073		3,245
Medivation, Inc.		7,214		931
Vertex Pharmaceuticals, Inc.A		6,644		784
				4,960
Health Care Equipment & Supplies - 3.06%
Medtronic PLCB		40,064		3,125
Health Care Providers & Services - 4.95%
Cerner Corp.A		33,684		2,468
DaVita HealthCare Partners, Inc.A		31,970		2,598
				5,066
Pharmaceuticals - 1.84%
Bristol-Myers Squibb Co.		29,096		1,877
Total Health Care				15,028
INDUSTRIALS - 8.80%
Aerospace & Defense - 1.53%
Boeing Co.		10,388		1,559
Airlines - 0.84%
Southwest Airlines Co.		19,259		853
Electrical Equipment - 1.89%
Roper Industries, Inc.		11,260		1,937
Industrial Conglomerates - 2.70%
Honeywell International, Inc.		26,567		2,771
Machinery - 1.17%
WABCO Holdings, Inc.A		9,685		1,190
Road & Rail - 0.67%
Union Pacific Corp.		6,284		681
Total Industrials				8,991
INFORMATION TECHNOLOGY - 32.78%
Communications Equipment - 2.99%
Cisco Systems, Inc.		110,889		3,052
Computers & Peripherals - 6.09%
Apple, Inc.		36,966		4,599

15

	Shares		Fair Value
			(000’s)
International Business Machines Corp.		10,092	$	1,620
				6,219
Internet Software & Services - 3.58%
Google, Inc., Class CA		6,672		3,656
IT Consulting & Services - 7.23%
Automatic Data Processing, Inc.		11,594		993
IHS, Inc., Class AA		15,029		1,710
Visa, Inc., Class A		71,444		4,673
				7,376
Semiconductor Equipment & Products - 3.76%
Qualcomm, Inc.		55,421		3,843
Software - 9.13%
Adobe Systems, Inc.A		45,436		3,360
Citrix Systems, Inc.A		50,803		3,245
Intuit, Inc.		14,796		1,435
Microsoft Corp.		31,440		1,278
				9,318
Total Information Technology				33,464
MATERIALS - 1.32%
Chemicals - 1.32%
Ecolab, Inc.		11,821		1,352
Total Common Stock (Cost $69,797)				100,397
SHORT-TERM INVESTMENTS - 1.68% (Cost $1,716)
JPMorgan U.S. Government Money Market Fund, Capital Class		1,716,386		1,716
TOTAL INVESTMENTS - 99.99% (Cost $71,513)				102,113
OTHER ASSETS, NET OF LIABILITIES - 0.01%				15
TOTAL NET ASSETS - 100.00%			$	102,128

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  PLC - Public Limited Company.

16

Futures Contracts Open on March 31, 2015:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index June Futures	Long	16	June 2015	$	1,648,640	$	(5,016	)
				$	1,648,640	$	(5,016	)

Top Ten Holdings (% Net Assets)
Visa, Inc.		4.6
Apple, Inc.		4.5
Qualcomm, Inc.		3.8
Google, Inc.		3.6
Adobe Systems, Inc.		3.3
Gilead Sciences, Inc.		3.2
Citrix Systems, Inc.		3.2
Medtronic PLC		3.1
Amazon.com, Inc.		3.0
Priceline.com, Inc.		3.5
Total Fund Holdings	49

Sector Allocation (% Equities)
Information Technology	33.3
Consumer Discretionary	21.1
Health Care	15.0
Consumer Staples	11.7
Industrials	9.0
Energy	4.7
Financials	3.9
Materials	1.3

17

AMERICAN BEACON STEPHENS SMALL CAP GROWTH FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.31%
CONSUMER DISCRETIONARY - 14.05%
Auto Components - 0.92%
Motorcar Parts of America, Inc.A		234,000	$	6,503
Hotels, Restaurants & Leisure - 5.46%
Buffalo Wild Wings, Inc.A		40,224		7,290
Chuy’s Holdings, Inc.A		154,391		3,478
Krispy Kreme Doughnuts, Inc.A		431,022		8,616
National CineMedia, Inc.		592,755		8,952
Papa John’s International, Inc.		82,300		5,087
Potbelly Corp.A B		378,100		5,180
				38,603
Internet & Catalog Retail - 0.66%
Homeaway, Inc.A		154,400		4,658
Leisure Equipment & Products - 1.08%
Callaway Golf Co.		409,716		3,904
Sportsman’s Warehouse Holdings, Inc.A B		462,300		3,694
				7,598
Media - 2.30%
IMAX Corp.A B		307,678		10,372
Rentrak Corp.A B		34,800		1,933
Shutterstock, Inc.A		57,143		3,924
				16,229
Specialty Retail - 2.78%
Cabela’s, Inc.A		118,500		6,634
Men’s Wearhouse, Inc.		96,800		5,053
Monro Muffler Brake, Inc.		122,099		7,942
				19,629
Textiles & Apparel - 0.85%
Five Below, Inc.A		169,700		6,036
Total Consumer Discretionary				99,256
CONSUMER STAPLES - 3.69%
Food & Drug Retailing - 1.64%
United Natural Foods, Inc.A		150,540		11,598
Food Products - 2.05%
Calavo Growers, Inc.		71,333		3,668
Inventure Foods, Inc.A		328,166		3,672
TreeHouse Foods, Inc.A		84,300		7,167
				14,507
Total Consumer Staples				26,105
ENERGY - 4.38%
Energy Equipment & Services - 2.48%
Flotek Industries, Inc.A		296,000		4,363
Forum Energy Technologies, Inc.A		179,000		3,508
PDC Energy, Inc.A		100,700		5,443

	Shares		Fair Value
			(000’s)
RigNet, Inc.A		147,721	$	4,223
				17,537
Oil & Gas - 1.90%
Carrizo Oil & Gas, Inc.A		116,800		5,799
Rice Energy, Inc.A		270,000		5,875
Whiting Petroleum Corp.A		56,588		1,749
				13,423
Total Energy				30,960
FINANCIALS - 9.00%
Banks - 1.30%
East West Bancorp, Inc.		104,900		4,244
Green Bancorp, Inc.A		24,075		269
SVB Financial GroupA		36,600		4,650
				9,163
Diversified Financials - 6.10%
Cardtronics, Inc.A		200,500		7,539
Demandware, Inc.A		119,500		7,278
Encore Capital Group, Inc.A		169,032		7,030
Euronet Worldwide, Inc.A		136,500		8,019
PRA Group, Inc.		117,400		6,377
WisdomTree Investments, Inc.		321,400		6,897
				43,140
Insurance - 1.60%
Hilltop Holdings, Inc.A		320,500		6,231
WEX, Inc.A		47,200		5,067
				11,298
Total Financials				63,601
HEALTH CARE - 25.46%
Biotechnology - 4.35%
Cepheid, Inc.A		181,700		10,339
MiMedx Group, Inc.A B		537,580		5,591
Myriad Genetics, Inc.A B		131,929		4,670
Neogen Corp. A		216,750		10,129
				30,729
Health Care Equipment & Supplies - 4.69%
Abaxis, Inc.		107,381		6,884
ABIOMED, Inc.A		39,900		2,856
Bio-Techne Corp.		44,800		4,493
DexCom, Inc.A		22,300		1,390
Medidata Solutions, Inc.A		191,842		9,408
NuVasive, Inc.A		176,280		8,107
				33,138
Health Care Providers & Services - 9.57%
Acadia Healthcare Co., Inc.A		178,500		12,780
Advisory Board Co.A		197,425		10,519
HealthEquity, Inc.A		278,072		6,949
IPC Healthcare, Inc.A		150,360		7,013
MAXIMUS, Inc.		106,200		7,090
Omnicell, Inc.A		79,800		2,801
PAREXEL International Corp.A		167,200		11,535

18

	Shares		Fair Value
			(000’s)
VCA Antech, Inc.A		163,255	$	8,950
				67,637
Pharmaceuticals - 6.85%
Akorn, Inc.A		254,100		12,072
ICON PLCA D		176,500		12,448
Ligand Pharmaceuticals, Inc.		102,035		7,868
Pacira Pharmaceuticals, Inc.A		91,400		8,121
Proto Labs, Inc.A B		112,740		7,892
				48,401
Total Health Care				179,905
INDUSTRIALS - 11.10%
Aerospace & Defense - 1.33%
Astronics Corp.		127,415		9,390
Air Freight & Couriers - 0.67%
Echo Global Logistics, Inc.A		174,500		4,757
Building Products - 1.20%
Trex Co., Inc.A		155,100		8,458
Commercial Services & Supplies - 4.86%
Corporate Executive Board Co.		103,100		8,234
CoStar Group, Inc.A		53,901		10,662
HMS Holdings Corp.A		417,769		6,455
WageWorks, Inc.A		168,705		8,997
				34,348
Diversified Manufacturing - 0.61%
Acuity Brands, Inc.		25,700		4,322
Electrical Equipment - 0.68%
Power Solutions International, Inc.A B		75,220		4,836
Industrial Conglomerates - 0.45%
RPX Corp.A		218,900		3,150
Machinery - 0.82%
RBC Bearings, Inc.		75,300		5,763
Trading Companies & Distributors - 0.48%
MSC Industrial Direct Co., Inc., Class A		46,645		3,368
Total Industrials				78,392
INFORMATION TECHNOLOGY - 27.98%
Banks - 0.06%
Materialise N.V., ADRA B C		60,487		423
Communications Equipment - 0.42%
CalAmp Corp.A		181,800		2,943
Computers & Peripherals - 1.17%
Stratasys Ltd.A B		78,500		4,143
KEYW Holding Corp.A B		499,400		4,110
				8,253

	Shares		Fair Value
			(000’s)
Electronic Equipment & Instruments - 0.84%
Taser International, Inc.A B		245,000	$	5,907
Internet Software & Services - 5.28%
Athenahealth, Inc.A B		59,702		7,128
Fortinet, Inc.A		248,800		8,696
Global Eagle Entertainment, Inc.A		363,370		4,836
HealthStream, Inc.A		240,114		6,051
Proofpoint, Inc.A		179,226		10,613
				37,324
IT Consulting & Services - 1.43%
Tyler Technologies, Inc.		83,984		10,123
Semiconductor Equipment & Products - 6.12%
8x8, Inc.A		622,400		5,228
Cavium, Inc.A		108,900		7,712
Fluidigm Corp.A		83,700		3,524
Integrated Device Technology, Inc.A		175,400		3,512
Microsemi Corp.		238,530		8,444
Power Integrations, Inc.		111,000		5,781
Rudolph Technologies, Inc.A		267,000		2,942
Semtech Corp.A		229,086		6,104
				43,247
Software - 12.66%
Aspen Technology, Inc.A		159,048		6,122
Cognex Corp.		207,600		10,296
CyberArk Software Ltd.A B		89,800		4,990
Envestnet, Inc.A		167,809		9,411
Guidewire Software, Inc.A		144,600		7,607
inContact, Inc.A		510,800		5,568
Manhattan Associates, Inc.A		186,217		9,424
National Instruments Corp.		124,867		4,001
PROS Holdings, Inc.A		236,100		5,834
Qlik Technologies, Inc.A		106,800		3,325
Qualys, Inc.A		133,500		6,205
SPS Commerce, Inc.A		73,718		4,946
Ultimate Software Group, Inc.A		49,700		8,447
VASCO Data Security International, Inc.A B		150,200		3,235
				89,411
Total Information Technology				197,631
MATERIALS - 1.65%
Chemicals - 0.66%
Balchem Corp.		84,266		4,667
Metals & Mining - 0.99%
Mueller Water Products, Inc., Class A		709,800		6,991
Total Materials				11,658
Total Common Stock (Cost $567,794)				687,508
SHORT-TERM INVESTMENTS - 0.38% (Cost $2,657)

19

	Shares		Fair Value
			(000’s)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,657,480	$	2,657
SECURITIES LENDING COLLATERAL - 7.84%
American Beacon U.S. Government Money Market Select Fund, Select ClassE		40,840,241		40,841
DWS Government and Agency Securities Portfolio, Institutional Class		14,575,300		14,575
Total Securities Lending Collateral (Cost $55,416)				55,416
TOTAL INVESTMENTS - 105.53% (Cost $625,867)				745,581
LIABILITIES, NET OF OTHER ASSETS - (5.53%)				(39,061	)
TOTAL NET ASSETS - 100.00%			$	706,520

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, 2015.

^C  ADR - American Depositary Receipt.

^D  PLC - Public Limited Company.

^E  The Fund is affiliated by having the same investment advisor.

20

Top Ten Holdings (% Net Assets)
Acadia Healthcare Co., Inc.		1.8
ICON PLC		1.8
Akorn, Inc.		1.7
United Natural Foods, Inc.		1.6
PAREXEL International Corp.		1.6
CoStar Group, Inc.		1.5
Proofpoint, Inc.		1.5
Advisory Board Co.		1.5
IMAX Corp.		1.5
Cepheid, Inc.		1.5
Total Fund Holdings	109

Sector Allocation (% Equities)
Information Technology	28.7
Health Care	26.2
Consumer Discretionary	14.4
Industrials	11.4
Financials	9.3
Energy	4.5
Consumer Staples	3.8
Materials	1.7

21

AMERICAN BEACON STEPHENS MID-CAP GROWTH FUND

March 31, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 98.24%
CONSUMER DISCRETIONARY - 21.63%
Auto Components - 1.31%
LKQ Corp.A		45,750	$	1,169
Mobileye N.V.A		13,350		561
				1,730
Automobiles - 0.59%
Tesla Motors, Inc.A B		4,150		783
Hotels, Restaurants & Leisure - 2.91%
Buffalo Wild Wings, Inc.A		7,800		1,414
Chipotle Mexican Grill, Inc.A		2,150		1,399
Papa John’s International, Inc.		16,800		1,038
				3,851
Household Durables - 0.88%
Harman International Industries, Inc.		8,750		1,169
Internet & Catalog Retail - 1.47%
Homeaway, Inc.A		29,250		882
TripAdvisor, Inc.A		12,850		1,069
				1,951
Leisure Equipment & Products - 1.22%
Polaris Industries, Inc.		11,450		1,616
Media - 3.73%
Cinemark Holdings, Inc.		34,650		1,562
IMAX Corp.A		53,812		1,813
Netflix, Inc.A		3,750		1,563
				4,938
Specialty Retail - 8.16%
Cabela’s, Inc.A		31,500		1,763
CarMax, Inc.A		28,450		1,963
Copart, Inc.A		29,400		1,105
Ross Stores, Inc.		21,050		2,218
Tractor Supply Co.		21,350		1,816
Ulta Salon Cosmetics & Fragrance, Inc.		12,700		1,916
				10,781
Textiles & Apparel - 1.36%
Under Armour, Inc., Class AA		22,250		1,797
Total Consumer Discretionary				28,616
CONSUMER STAPLES - 4.84%
Beverages - 3.36%
Brown-Forman Corp., Class B		19,480		1,760
Monster Beverage Corp.A		19,450		2,692
				4,452
Food & Drug Retailing - 1.48%
United Natural Foods, Inc.A		25,350		1,953
Total Consumer Staples				6,405

	Shares		Fair Value
			(000’s)
ENERGY - 5.24%
Energy Equipment & Services - 2.37%
Core Laboratories N.V.B		10,250	$	1,071
FMC Technologies, Inc.A		16,380		606
Oceaneering International, Inc.		18,550		1,000
RPC, Inc.		35,800		459
				3,136
Oil & Gas - 2.87%
Pioneer Natural Resources Co.		7,550		1,235
Range Resources Corp.		23,600		1,228
Southwestern Energy Co.A		43,510		1,009
Whiting Petroleum Corp.A		10,700		331
				3,803
Total Energy				6,939
FINANCIALS - 6.98%
Banks - 2.65%
East West Bancorp, Inc.		39,300		1,590
SVB Financial GroupA		15,100		1,918
				3,508
Diversified Financials - 3.56%
Affiliated Managers Group, Inc.A		6,180		1,327
PRA Group, Inc.		25,400		1,379
Towers Watson & Co., Class A		9,500		1,256
WisdomTree Investments, Inc.		34,750		746
				4,708
Insurance - 0.77%
WEX, Inc.A		9,450		1,015
Total Financials				9,231
HEALTH CARE - 20.33%
Biotechnology - 2.85%
Alexion Pharmaceuticals, Inc.A		4,950		858
Cepheid, Inc.A		31,300		1,781
QIAGEN N.V.A		44,850		1,130
				3,769
Health Care Equipment & Supplies - 8.14%
Hologic, Inc.A		37,850		1,250
Idexx Laboratories, Inc.A		11,750		1,815
Illumina, Inc.A		14,200		2,637
Medidata Solutions, Inc.A		25,350		1,243
ResMed, Inc.		23,850		1,712
Sirona Dental Systems, Inc.		10,800		972
Varian Medical Systems, Inc.A		12,100		1,138
				10,767
Health Care Providers & Services - 6.79%
Catamaran Corp.A		30,950		1,843
Cerner Corp.A		33,730		2,471
Henry Schein, Inc.A		10,795		1,507

22

	Shares		Fair Value
			(000’s)
PAREXEL International Corp.A		21,350	$	1,473
VCA Antech, Inc.A		30,930		1,696
				8,990
Pharmaceuticals - 2.55%
Akorn, Inc.A		26,750	$	1,270
ICON PLCA C		11,850		836
Pacira Pharmaceuticals, Inc.A		14,300		1,271
				3,377
Total Health Care				26,903
INDUSTRIALS - 11.88%
Aerospace & Defense - 0.97%
B/E Aerospace, Inc.A		20,200		1,285
Commercial Services & Supplies - 5.55%
CoStar Group, Inc.A		10,370		2,051
HMS Holdings Corp.A		75,712		1,170
Stericycle, Inc.A		15,500		2,178
Verisk Analytics, Inc., Class AA		27,250		1,946
				7,345
Diversified Manufacturing - 1.14%
Acuity Brands, Inc.		9,000		1,513
Electrical Equipment - 1.33%
IPG Photonics Corp.		5,000		464
Roper Industries, Inc.		4,650		799
Sensata Technologies Holding N.V.A		8,550		491
				1,754
Machinery - 0.86%
Pall Corp.		11,300		1,134
Road & Rail - 0.54%
J.B. Hunt Transport Services, Inc.		8,350		713
Trading Companies & Distributors - 1.49%
Fastenal Co.		24,460		1,014
MSC Industrial Direct Co., Inc., Class A		13,330		962
				1,976
Total Industrials				15,720
INFORMATION TECHNOLOGY - 26.10%
Communications Equipment - 1.33%
Palo Alto Networks, Inc.A		12,050		1,760
Computers & Peripherals - 1.00%
SanDisk Corp.		10,550		671
Stratasys Ltd.A B		12,350		652
				1,323
Electronic Equipment & Instruments - 1.14%
FLIR Systems, Inc.		48,200		1,508
Internet Software & Services - 5.70%
Akamai Technologies, Inc.A		13,000		924
Athenahealth, Inc.A		11,577		1,382
Fortinet, Inc.A		73,300		2,561

	Shares		Fair Value
			(000’s)
MercadoLibre, Inc.		14,550	$	1,783
Twitter, Inc.A		17,850		894
				7,544
IT Consulting & Services - 1.62%
Alliance Data Systems Corp.A		4,350	$	1,289
IHS, Inc., Class AA		7,500		853
				2,142
Semiconductor Equipment & Products - 4.36%
Cree, Inc.A B		16,700		593
FEI Co.		9,937		759
Lam Research Corp.		20,118		1,413
Microchip Technology, Inc.B		30,930		1,512
NXP Semiconductors N.V.A		8,450		848
Xilinx, Inc.		15,350		649
				5,774
Software - 10.95%
Ansys, Inc.A		7,150		631
Aspen Technology, Inc.A		30,900		1,189
Autodesk, Inc.A		18,400		1,079
Cadence Design Systems, Inc.A		75,850		1,399
Check Point Software Technologies Ltd.A		16,350		1,340
Cognex Corp.		23,200		1,150
FireEye, Inc.A B		27,569		1,082
Inovalon Holdings, Inc.A		10,750		325
National Instruments Corp.		30,655		982
Red Hat, Inc.A		14,840		1,124
Salesforce.com, Inc.A		10,470		700
Splunk, Inc.A		13,600		805
Tableau Software, Inc., Class AA		13,050		1,207
Ultimate Software Group, Inc.A		8,650		1,470
				14,483
Total Information Technology				34,534
MATERIALS - 1.24%
Chemicals - 1.24%
Airgas, Inc.		15,500		1,645
Total Common Stock (Cost $101,556)				129,993
SHORT-TERM INVESTMENTS - 1.82% (Cost $2,412)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,411,914		2,412
SECURITIES LENDING COLLATERAL - 4.30%
DWS Government and Agency Securities Portfolio, Institutional Class		1,164,768		1,165
American Beacon U.S. Government Money Market Select Fund, Select ClassD		4,529,068		4,529
Total Securities Lending Collateral (Cost $5,694)				5,694

23

	Shares	Fair Value
		(000’s)
TOTAL INVESTMENTS - 104.36% (Cost $109,662)		$	138,099
LIABILITIES, NET OF OTHER ASSETS - (4.36%)			(5,771	)
TOTAL NET ASSETS - 100.00%		$	132,328

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, 2015.

^C  PLC - Public Limited Company.

^D  The Fund is affiliated by having the same investment advisor.

Top Ten Holdings (% Net Assets)
Monster Beverage Corp.		2.0
Illumina, Inc.		2.0
Fortinet, Inc.		1.9
Cerner Corp.		1.9
Ross Stores, Inc.		1.7
Stericycle, Inc.		1.6
CoStar Group, Inc.		1.6
CarMax, Inc.		1.5
United Natural Foods, Inc.		1.5
Verisk Analytics, Inc.		1.5
Total Fund Holdings	101

Sector Allocation (% Equities)
Information Technology	26.6
Consumer Discretionary	22.0
Health Care	20.7
Industrials	12.1
Financials	7.1
Energy	5.3
Consumer Staples	4.9
Materials	1.3

24

AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND

March 31, 2015 (Unaudited)

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY OBLIGATIONS - 98.66%
0.125%, Due 4/15/2016 A	$	13,253	$	13,386
2.50%, Due 7/15/2016 A		4,133		4,341
0.125%, Due 4/15/2017 A		26,942		27,423
1.625%, Due 1/15/2018 A		1,400		1,492
0.125%, Due 4/15/2018 A		13,054		13,317
1.375%, Due 7/15/2018 A		2,434		2,604
2.125%, Due 1/15/2019 A		9,929		10,930
0.125%, Due 4/15/2019 A		21,278		21,672
1.875%, Due 7/15/2019 A		4,154		4,580
1.375%, Due 1/15/2020 A		838		906
1.25%, Due 7/15/2020 A		14,801		16,045
0.625%, Due 7/15/2021 A		15,002		15,722
0.125%, Due 1/15/2022 A		36,037		36,334
0.125%, Due 7/15/2022 A		17,122		17,298
0.125%, Due 1/15/2023 A		9,853		9,895
0.375%, Due 7/15/2023 A		14,468		14,836
0.625%, Due 1/15/2024 A		22,194		23,116
0.125%, Due 7/15/2024 A		6,482		6,480
0.25%, Due 1/15/2025 A		2,319		2,335
2.375%, Due 1/15/2025 A		6,374		7,725
Total U.S. Treasury Obligations (Cost $248,465)				250,437
	Shares
SHORT-TERM INVESTMENTS - 1.33% (Cost $3,372)
JPMorgan U.S. Government Money Market Fund, Capital Class		3,371,678		3,372
TOTAL INVESTMENTS - 99.99% (Cost $251,837)				253,809
OTHER ASSETS, NET OF LIABILITIES - 0.01%				36
TOTAL NET ASSETS - 100.00%			$	253,845

Percentages are stated as a percent of net assets.

^A  Inflation-Indexed Note.

25

Portfolio Statistics
Effective Maturity (years)	5.4
Effective Duration (years)	5.4
3-Year Standard Deviation	3.9

Security Type (% Investments)
U.S. Treasury	98.9
Cash Equivalent	1.1

Top Ten Holdings (% Net Assets)
U.S. Treasury Inflation Protected Securities, 0.125%, Due 1/15/22		14.3
U.S. Treasury Inflation Protected Securities, 0.125%, Due 4/15/17		10.8
U.S. Treasury Inflation Protected Securities, 0.625%, Due 1/15/2024		9.1
U.S. Treasury Inflation Protected Securities, 0.125%, Due 4/15/2019		8.5
U.S. Treasury Inflation Protected Securities, 0.125%, Due 7/15/22		6.8
U.S. Treasury Inflation Protected Securities, 1.25%, Due 7/15/20		6.3
U.S. Treasury Inflation Protected Securities, 0.625%, Due 7/15/21		6.2
U.S. Treasury Inflation Protected Securities, 0.375%, Due 7/15/2023		5.8
U.S. Treasury Inflation Protected Securities, 0.125%, Due 4/15/16		5.3
U.S. Treasury Inflation Protected Securities, 0.125%, Due 4/15/2018		5.2
Total Fund Holdings	20

26

AMERICAN BEACON FUNDS

SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS

1. Organization

American Beacon Funds (the “Trust”), is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. As of March 31, 2015, the Trust consists of thirty-one active series, ten of which are presented in this filing (collectively, the “Funds” and each individually a “Fund”): American Beacon AHL Managed Futures Strategy Fund, American Beacon Bahl & Gaynor Small Cap Growth Fund, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Small Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, American Beacon Treasury Inflation Protected Securities Fund, American Beacon S&P 500 Index Fund, American Beacon International Equity Index Fund and American Beacon Small Cap Index Fund. The remaining twenty-one active series are reported in separate filings.

Effective April 30, 2015 American Beacon Advisors, Inc. (the “Manager”) became a wholly-owned subsidiary of Astro AB Borrower, Inc., which is indirectly owned by investment funds affiliated with Kelso & Company, L.P. and Estancia Capital Management, LLC, two prominent private equity firms. Prior to April 30 the Manager was a wholly-owned subsidiary of Lighthouse Holdings, Inc., which was indirectly owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, L.P., two leading private equity firms.

2. Consolidation of Subsidiaries

The consolidated Schedule of Investments of the American Beacon AHL Managed Futures Strategy Fund, (the “CFC Fund”), includes the accounts of the American Beacon Cayman Managed Futures Strategy Fund Ltd., a wholly-owned and controlled subsidiary (the “Subsidiary”). All inter-company accounts and transactions have been eliminated in consolidation for the CFC Fund.

For Federal tax purposes, taxable income for the CFC Fund and its Subsidiary are calculated separately. The Subsidiary is classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”) and the Subsidiary’s taxable income is included in the calculation of the CFC Fund’s taxable income. Net losses of the Subsidiary are not deductible by the CFC Fund either in the current period or future periods. The Subsidiary has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

The CFC Fund may each invest up to 25% of its total assets in the Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the CFC Fund’s investment objectives and policies. The CFC Fund expects to achieve a significant portion of its exposure to commodities and commodities-related investments through investment in the Subsidiary. Unlike the CFC Fund, the Subsidiary may invest without limitation in commodities and commodities-related investments.

	Inception Date of Subsidiary		Subsidiary Net Assets at March 31, 2015		% of Total Net Assets of the Fund at March 31, 2015			Net Realized Gain (Loss) from Investments Held in Subsidiary
American Beacon Cayman Managed Futures Strategy Fund, Ltd.		August 19, 2014	$	12,192,314		23.6	%	$	361,402

3. CFTC Regulation

On August 13, 2013, the CFTC adopted rules to harmonize conflicting United States Securities and Exchange Commission (the “SEC’’) and Commodity Futures Trading Commission (“CFTC”) disclosure, reporting and recordkeeping requirements fur registered investment companies that do not meet an exemption from the definition of commodity pool. The harmonization rules provide that the CFTC will accept the SEC’s disclosure, reporting, and recordkeeping regime as substituted compliance for substantially all of the otherwise applicable CFTC regulations as long as such investment companies meet the applicable SEC requirements.

The AHL Managed Futures Strategy Fund is a commodity pool, as defined in the regulation of the CFTC and operated by the Manager, a commodity pool operator regulated with the CFTC.

4. 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. The 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.

Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Fund’s Board.

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 Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Level 1 and Level 2 trading assets and trading liabilities, at fair value.

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 Fund’s assets and liabilities. During the period ended March 31, 2015, there were no transfers between levels. As of March 31, 2015, the investments were classified as described below (in thousands):

AHL Managed Futures Strategy1	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	45,299	$	—	$	45,299
Short-Term Investments - Money Market Funds		1,813		—		—		1,813
Total Investments in Securities	$	1,813	$	45,299	$	—	$	47,112

Financial Derivative Instruments - Assets
Futures Contracts	$	1,587		$	—		$	—	$	1,587
Forward Currency Contracts		—			445			—		445
	$	1,587		$	445		$	—	$	2,032
Financial Derivative Instruments - Liabilities
Futures Contracts	$	(378	)	$	—		$	—	$	(378	)
Forward Currency Contracts		—			(510	)		—		(510	)
	$	(378	)	$	(510	)	$	—	$	(888	)
Bahl & Gaynor Small Cap Growth1	Level 1			Level 2			Level 3		Total
Common Stock	$	5,080		$	—		$	—	$	5,080
Short-Term Investments - Money Market Funds		191			—			—		191
Total Investments in Securities	$	5,271		$	—		$	—	$	5,271
Financial Derivative Instruments
Futures Contracts	$	2,283		$	—		$	—	$	$2,283
Bridgeway Large Cap Value Fund1	Level 1			Level 2			Level 3		Total
Common Stock	$	1,497,018		$	—		$	—	$	1,497,018
Short-Term Investments - Money Market Funds		18,044			—			—		18,044
Total Investments in Securities	$	1,515,062		$	—		$	—	$	1,515,062
Financial Derivative Instruments
Futures Contracts	$	(158	)	$	—		$	—	$	(158	)
Holland Large-Cap Growth Fund1	Level 1			Level 2			Level 3		Total
Common Stock	$	100,397		$	—		$	—	$	100,397
Short-Term Investments - Money Market Funds		1,716			—			—		1,716
Total Investments in Securities	$	102,113		$	—		$	—	$	102,113
Financial Derivative Instruments
Futures Contracts	$	(5	)	$	—		$	—	$	(5	)
Stephens Small Cap Growth Fund1	Level 1			Level 2			Level 3		Total
Common Stock	$	687,508		$	—		$	—	$	687,508
Short-Term Investments - Money Market Funds		2,657			—			—		2,657
Securities Lending Collateral invested in Money Market Funds		55,416			—			—		55,416
Total Investments in Securities	$	745,581		$	—		$	—	$	745,581
Stephens Mid-Cap Growth Fund1	Level 1			Level 2			Level 3		Total
Common Stock	$	129,993		$	—		$	—	$	129,993
Short-Term Investments - Money Market Funds		2,412			—			—		2,412
Securities Lending Collateral Invested in Money Market Funds		5,694								5,694
Total Investments in Securities	$	138,099		$	—		$	—	$	138,099

Treasury Inflation Protected Securities Fund1	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	250,437	$	—	$	250,437
Short-Term Investments - Money Market Fund		3,372		—		—		3,372
Total Investments in Securities	$	3,372	$	250,437	$	—	$	253,809

¹  Refer to the schedules of investments for sector and industry information.

5. Securities and Other Investments

American Depositary Receipts (ADRs)

ADRs are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers and listed companies.

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.

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 Fund’s 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 Fund’s 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 issuer’s portfolio securities.

Forward Foreign Currency Contracts

The Flexible Bond Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of the Fund’s securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Fund bears

the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Fund also bears the credit risk if the counterparty fails to perform under the contract.

For the period ended March 31, 2015, the Fund entered into foreign currency exchange contracts primarily for return enhancement and hedging.

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.

During the period ended March 31, 2015 the Funds entered into future contracts primarily for return enhancement and exposing cash to markets.

6. Principal Risks

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit and counterparty risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Funds’ income. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Funds’ investments may be illiquid and the Funds may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Fund is required to liquidate all or a portion of its investments quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

Market Risks

The Funds’ investments in financial derivatives and other financial instruments expose the Funds to various risks such as, but not limited to, interest rate, foreign currency and equity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

The fair values of equities, such as common stocks and preferred securities or equity related investments such as futures, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.

Counterparty Credit Risk

A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as Deposits with brokers for futures contracts and Payable to brokers for futures contracts, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party is determined at the close of business of the Funds and additional required collateral is delivered to/pledged by the Funds on the next business day. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

7. Securities Lending

The Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds may lend its securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned and initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked to market daily. Daily mark to market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark to market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.

To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds, and other short-term investments, provided the investments meet certain quality and diversification requirements. Securities purchased with cash collateral proceeds are listed in the Fund’s Schedule of Investments and the collateral is shown on the Statements of Assets and Liabilities as a payable.

Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured by non-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Fund, the Agent, and the Manager retain 80%, 10% and 10%, respectively, of the income generated from securities lending.

While securities are on loan, the Fund continues to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Fund would be subject to on the dividend.

Securities lending transactions pose certain risks to the Fund, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, that non-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Fund could also experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidate non-cash collateral to satisfy a borrower default.

8. Federal Income and Excise Taxes

It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.

The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2013 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.

Cost of Investments for Federal Income Tax Purposes

As of March 31, 2015, 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)
AHL Managed Futures Fund	$	47,712	$	—	$	—		$	—
Bahl & Gaynor Small Cap Growth Fund		4,820		574		(123	)		451
Bridgeway Large Cap Value Fund		1,397,095		159,681		(41,714	)		117,967
Holland Large Cap Growth Fund		71,737		31,500		(1,124	)		30,376
Stephens Small Cap Growth Fund		627,052		146,842		(28,313	)		118,529
Stephens Mid-Cap Growth Fund		109,854		32,407		(4,162	)		28,245
TIPs Fund		254,258		1,517		(1,966	)		(449	)

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

For the period ended March 31, 2015, the Funds did not have capital loss carryforwards.

ITEM 2. CONTROLS AND PROCEDURES.

(a) The Registrant’s principal executive office and principal financial officer have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”) as of date within 90 days of the filing date of this report and have concluded based on such evaluation, that the Registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There was no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the Registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270:30a-2(a)) is attached hereto.

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 29, 2015

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 29, 2015

By:
	/s/ Melinda G. Heika
	Melinda G. Heika
	Treasurer
Date:	May 29, 2015