State Farm Mutual Fund Trust Class A, B and Institutional Class Shares

N-CSRS 1 dncsrs.htm STATE FARM MUTUAL FUND TRUST CLASS A, B AND INSTITUTIONAL CLASS SHARES State Farm Mutual Fund Trust Class A, B and Institutional Class Shares

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-10027

STATE FARM MUTUAL FUND TRUST

(Exact name of registrant as specified in charter)


One State Farm Plaza Bloomington, IL		61710-0001
(Address of principal executive offices)		(Zip code)


Michael L. Tipsord One State Farm Plaza Bloomington, Illinois 61710-0001		Alan Goldberg Bell, Boyd & Lloyd LLC Three First National Plaza 70 West Madison St., Suite 3100 Chicago, Illinois 60602

(Names and addresses of agents for service)

Registrant’s telephone number, including area code: 1-800-447-4930

Date of fiscal year end: 12/31/2005

Date of reporting period: 06/30/2005

ITEM 1.

REPORTS TO STOCKHOLDERS.

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Table of Contents
Message to Shareholders	1	Master Investment Portfolio

Report on Shareholder Meeting	2	Schedule of Investments

Portfolio Summary	3	S&P 500 Index Master Portfolio	108

Expense Example	8	Russell 2000 Index Master Portfolio	118

Board Approval of Investment Advisory Agreements	19	International Index Master Portfolio	144

Schedule of Investments		LifePath Retirement Master Portfolio	160

State Farm Equity Fund	25	LifePath 2010 Master Portfolio	164

State Farm Small Cap Equity Fund	27	LifePath 2020 Master Portfolio	168

State Farm International Equity Fund	30	LifePath 2030 Master Portfolio	172

State Farm Equity and Bond Fund	34	LifePath 2040 Master Portfolio	176

State Farm Bond Fund	35	Active Stock Master Portfolio	180

State Farm Tax Advantaged Bond Fund	41	CoreAlpha Bond Master Portfolio	188

State Farm Money Market Fund	46	Portfolio Allocations	197

Financial Statements		Financial Statements

Statements of Assets and Liabilities	48	Statements of Assets and Liabilities	199

Statements of Operations	52	Statements of Operations	202

Statements of Changes in Net Assets	54	Statements of Changes in Net Assets	205

Notes to Financial Statements	60	Notes to the Financial Statements	210
Financial Highlights	78	Board Review and Approval of the Investment Advisory Contracts	222

Service is only a phone call away

Contact your local Registered State Farm Agent or call our Securities Products Department toll free, at 1-800-447-4930.

Fund prices are available to you 24 hours a day, 7 days a week.

Investor Services Representatives are available 8 a.m.–6 p.m. Central Time Monday through Friday (except holidays)

1-800-447-4930

Visit our website www.statefarm.com^®

This report and material must be accompanied or preceded by a prospectus for the State Farm Mutual Fund Trust (the “Trust”).

The Trust offers Class A, Class B, Class R-1, Class R-2, Class R-3, and/or Institutional shares for fifteen separate funds through three prospectuses, one for Class A and Class B shares, one for Class R shares, and another for Institutional shares.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, are available without charge upon request at 1-800-447-4930 and at http://www.sec.gov.

The Funds file complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds make the information on Form N-Q available to shareholders upon request without charge at 1-800-447-4930.

Distributor: State Farm VP Management Corp.

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Message to Shareholders of State Farm Mutual Fund Trust

Dear Shareholders,

Thank you for investing with State Farm Mutual Funds^®. Enclosed is the Semi-Annual Report for the 6-month period ending June 30, 2005 for the State Farm Mutual Fund Trust. Included are financial statements and a complete list of portfolio holdings to help you with your individual investment planning and further understand the Fund(s) you own. We encourage your review and consideration of this entire report.

Shareholders were asked via proxy to approve a number of issues relating to the Trust. The proxy encompassed broad issues like re-electing the Board of Trustees for the entire Trust and approving a Manager of Managers structure across fourteen of the Funds, to fund specific issues, including the investment management of certain Funds and approving new sub-advisory contracts. See the Report on Shareholder Meeting page of this report for the results of the proxy votes registered at the June 17, 2005 Shareholder Meeting.

Rising short-term interest rates and slowing economic growth set the stage for rather erratic performance across financial markets during the first six months of 2005. As a result, performance for the fifteen Funds of State Farm Mutual Fund Trust varied – depending on the asset class and risk profile. Look for a detailed discussion of factors that impacted the performance of the Funds during 2005 in the next State Farm Mutual Fund Trust Annual Report.

Inevitably, performance is heavily influenced by market factors outside an individual investor’s control. Contact your registered State Farm Agent for assistance with your investment needs.

Sincerely,

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Phillip G. Hawkins

Vice President

State Farm Investment Management Corp.

Report on Shareholder Meeting

On June 17, 2005, the shareholders of the State Farm Mutual Fund Trust Funds had a special shareholder meeting. The results for those matters voted upon by the shareholders of these Funds are as follows:


Proposal	Votes Cast For	Votes Cast Against	Abstentions	Broker Non-Votes	Result
Approve Manager of Managers Structure for the State Farm Equity Fund	18,102,847	135,745	266,593	0	Adopted

Approve Manager of Managers Structure for the State Farm Small Cap Equity Fund	6,792,674	66,246	88,099	0	Adopted

Approve Manager of Managers Structure for the State Farm International Equity Fund	5,941,252	21,941	54,673	0	Adopted

Approve Manager of Managers Structure for the State Farm S&P 500 Index Fund	20,022,208	489,145	1,495,024	0	Quorum not met (not adopted)

Approve Manager of Managers Structure for the State Farm Small Cap Index Fund	9,426,005	145,603	437,563	0	Adopted

Approve Manager of Managers Structure for the State Farm International Index Fund	7,483,949	93,882	254,697	0	Adopted

Approve Manager of Managers Structure for the State Farm Bond Fund	15,035,819	220,576	447,878	0	Adopted

Approve Manager of Managers Structure for the State Farm Tax Advantaged Bond Fund	7,093,633	22,223	137,832	0	Adopted

Approve Manager of Managers Structure for the State Farm Money Market Fund	45,898,401	1,174,565	4,037,024	0	Adopted

Approve Manager of Managers Structure for the State Farm LifePath^® Income Fund	4,191,715	90,150	316,592	0	Adopted

Approve Manager of Managers Structure for the State Farm LifePath 2010^® Fund	7,127,766	170,520	463,070	0	Quorum not met (not adopted)

Approve Manager of Managers Structure for the State Farm LifePath 2020^® Fund	8,114,045	187,735	543,825	0	Quorum not met (not adopted)

Approve Manager of Managers Structure for the State Farm LifePath 2030^® Fund	4,152,083	122,268	327,186	0	Quorum not met (not adopted)

Approve Manager of Managers Structure for the State Farm LifePath 2040^® Fund	2,033,462	52,522	236,406	0	Quorum not met (not adopted)

Approve an Amendment to the Investment Sub-Advisory Agreement with Capital Guardian Trust Company appointing Capital Guardian Trust Company as Investment Sub-Adviser to the State Farm Equity Fund	18,108,609	131,727	264,849	0	Adopted

Approve an Amendment to the Investment Advisory and Management Services Agreement with State Farm Investment Management Corp. (SFIMC) increasing the investment advisory and management services fee payable by the State Farm Small Cap Index Fund	9,200,841	361,069	447,261	0	Adopted

Approve an Amendment to the Investment Advisory and Management Services Agreement with SFIMC increasing the investment advisory and management services fee payable by the State Farm International Index Fund	7,349,190	231,475	251,863	0	Adopted

Approve an Investment Sub-Advisory Agreement with Northern Trust Investments, N.A. appointing Northern Trust Investments, N.A. as Investment Sub-Adviser to the State Farm Small Cap Index Fund	9,383,467	158,829	466,874	0	Adopted

Approve an Investment Sub-Advisory Agreement with Northern Trust Investments, N.A. appointing Northern Trust Investments, N.A. as Investment Sub-Adviser to the State Farm International Index Fund	7,473,728	98,888	259,913	0	Adopted


Trustee	Votes Cast For	Votes Withheld	Abstentions	Broker Non-Votes	Result
Elect Edward B. Rust, Jr.	172,556,201	9,303,490	0	0	Elected

Elect Michael L. Tipsord	172,676,358	9,183,333	0	0	Elected

Elect Thomas M. Mengler	172,529,679	9,330,012	0	0	Elected

Elect James A. Shirk	172,565,745	9,293,946	0	0	Elected

Elect Donald A. Altorfer	172,593,608	9,266,083	0	0	Elected

Elect Victor J. Boschini	172,518,826	9,340,865	0	0	Elected

Elect David L. Vance	172,599,451	9,260,240	0	0	Elected

Elect Alan R. Latshaw	172,433,307	9,426,384	0	0	Elected

Portfolio Summary

State Farm Equity Fund

Fund Composition*

(unaudited)

Illustrated by Industry and based on total net assets as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Represents 7 other industries each of which represents less than 4% of net assets.

State Farm Small Cap Equity Fund

Fund Composition*

(unaudited)

Illustrated by Industry and based on total net assets as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Represents 3 other industries each of which represents less than 3% of net assets.

State Farm International Equity Fund

Fund Composition*

(unaudited)

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Based on total net assets as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Represents 14 other countries each of which represents less than 2% of net assets.

Portfolio Summary (continued)

State Farm S&P 500 Index Fund

S&P 500 Index Master Portfolio Composition*

(unaudited)

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Illustrated by Sector and based on total net assets in the Master Portfolio as of June 30, 2005. Please refer to the Schedule of Investments for the Master Portfolio later in this report for details concerning Fund holdings.

State Farm Small Cap Index Fund

Russell 2000 Index Master Portfolio Composition*

(unaudited)

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State Farm International Index Fund

International Index Master Portfolio Composition*

(unaudited)

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Based on total net assets in the Master Portfolio as of June 30, 2005. Please refer to the Schedule of Investments for the Master Portfolio later in this report for details concerning Fund holdings.

Represents 11 other countries each of which represents less than 2% of net assets.

Portfolio Summary (continued)

State Farm Equity and Bond Fund

Fund Composition*

(unaudited)

Based on total investments as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm Bond Fund

Fund Composition*

(unaudited)

Based on total investments as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm Tax Advantaged Bond Fund

Fund Composition*

(unaudited)

Illustrated by Credit Quality. Ratings by Moody’s Investor Services. Percentages are based on total investments as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Includes Advanced Refunded Bonds.

***

Two securities were not rated by Moody’s. Both securities, representing 3.85% of total investments, were rated AAA by S&P.

Portfolio Summary (continued)

State Farm Money Market Fund

Fund Composition*

(unaudited)

Based on total investments as of June 30, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm LifePath Income Fund

LifePath Retirement Master Portfolio Composition*

(unaudited)

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Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2005. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

State Farm LifePath 2010 Fund

LifePath 2010 Master Portfolio Composition*

(unaudited)

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Portfolio Summary (continued)

State Farm LifePath 2020 Fund

LifePath 2020 Master Portfolio Composition*

(unaudited)

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State Farm LifePath 2030 Fund

LifePath 2030 Master Portfolio Composition*

(unaudited)

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State Farm LifePath 2040 Fund

LifePath 2040 Master Portfolio Composition*

(unaudited)

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Expense Example (unaudited)

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and certain redemptions; and (2) ongoing costs, including management fees; distribution (12b-1) fees; shareholder servicing fees; and other Fund expenses. The Example in the following table for each Fund below is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2005 through June 30, 2005.

Actual Expenses

The Actual Expenses in the table under each Fund name below provides information about actual account values and actual expenses for each Class of shares. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value for a Fund Class by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual Expenses’ line under the heading entitled “Expenses Paid During Period” for the applicable Fund Class to estimate the expenses you paid on your account for that Fund Class during the period. If your account has multiple Fund positions, add up the results calculated for each Fund position by Class within your account to estimate the expenses you paid on your total account value. A potential $25 low balance fee is not included in the expenses shown in the table. This fee may be charged to an account holding Class A, Class B or Institutional shares (other than a SEP IRA, SIMPLE IRA, Archer Medical Savings Account, Tax Sheltered Account under §403(b)(7) of the Internal Revenue Code or an account held under other employer-sponsored qualified retirement plans) if the balance of the account falls below $1,000 at the close of business on the first business day in November, unless the account was opened on or after January 1 within the same year. You should consider any low balance fee you incurred when estimating the total ongoing expenses paid over the period and the impact of this fee on your ending account value. This additional fee has the effect of reducing investment returns.

Hypothetical Example for Comparison Purposes

The Hypothetical information in the table under each Fund name below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio by Class and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A potential $25 low balance fee is not included in the expenses shown in the table. This fee may be charged to an account holding Class A, Class B or Institutional shares (other than a SEP IRA, SIMPLE IRA, Archer Medical Savings Account, Tax Sheltered Account under §403(b)(7) of the Internal Revenue Code or an account held under other employer-sponsored qualified retirement plans) if the balance of the account falls below $1,000 at the close of business on the first business day in November, unless the account was opened on or after January 1 within the same year. You should consider any low balance fee that you incurred when estimating the total ongoing expenses paid over the period and the impact of this fee on your ending account value. This additional fee has the effect of reducing investment returns.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) applicable to Class A and Class B shares. Therefore, the Hypothetical information in the table under each Fund name is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

State Farm Equity Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 997.66	1.18%	$5.84
Class B Shares	$1,000.00	$ 996.47	1.58%	$7.82
Institutional Shares⁴	$1,000.00	$1,000.00	0.77%	$3.82
Class R-1 Shares	$1,000.00	$ 997.60	1.50%	$7.43
Class R-2 Shares	$1,000.00	$ 998.80	1.30%	$6.44
Class R-3 Shares	$1,000.00	$1,000.00	1.00%	$4.96
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.94	1.18%	$5.91
Class B Shares	$1,000.00	$1,016.96	1.58%	$7.90
Institutional Shares⁴	$1,000.00	$1,020.98	0.77%	$3.86
Class R-1 Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class R-2 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-3 Shares	$1,000.00	$1,019.84	1.00%	$5.01

State Farm Small Cap Equity Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 982.78	1.40%	$6.88
Class B Shares	$1,000.00	$ 981.54	1.80%	$8.84
Institutional Shares⁴	$1,000.00	$ 985.78	0.99%	$4.87
Class R-1 Shares	$1,000.00	$ 981.94	1.72%	$8.45
Class R-2 Shares	$1,000.00	$ 981.96	1.52%	$7.47
Class R-3 Shares	$1,000.00	$ 983.87	1.22%	$6.00
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,017.85	1.40%	$7.00
Class B Shares	$1,000.00	$1,015.87	1.80%	$9.00
Institutional Shares⁴	$1,000.00	$1,019.89	0.99%	$4.96
Class R-1 Shares	$1,000.00	$1,016.27	1.72%	$8.60
Class R-2 Shares	$1,000.00	$1,017.26	1.52%	$7.60
Class R-3 Shares	$1,000.00	$1,018.74	1.22%	$6.11

State Farm International Equity Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 975.43*	1.50%	$7.35
Class B Shares	$1,000.00	$ 973.15**	1.90%	$9.30
Institutional Shares⁴	$1,000.00	$ 978.52	1.09%	$5.35
Class R-1 Shares	$1,000.00	$ 974.25	1.82%	$8.91
Class R-2 Shares	$1,000.00	$ 975.32	1.62%	$7.93
Class R-3 Shares	$1,000.00	$ 976.40	1.32%	$6.47
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class B Shares	$1,000.00	$1,015.37	1.90%	$9.49
Institutional Shares⁴	$1,000.00	$1,019.39	1.09%	$5.46
Class R-1 Shares	$1,000.00	$1,015.77	1.82%	$9.10
Class R-2 Shares	$1,000.00	$1,016.76	1.62%	$8.10
Class R-3 Shares	$1,000.00	$1,018.25	1.32%	$6.61

See footnote (i) on page 82 in the Financial Highlights.

See footnote (l) on page 83 in the Financial Highlights.

State Farm S&P 500 Index Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 988.02	0.79%	$3.89
Class B Shares	$1,000.00	$ 985.84	1.19%	$5.86
Institutional Shares⁴	$1,000.00	$ 989.14	0.38%	$1.87
Class R-1 Shares	$1,000.00	$ 985.87	1.11%	$5.47
Class R-2 Shares	$1,000.00	$ 988.04	0.91%	$4.49
Class R-3 Shares	$1,000.00	$ 989.13	0.61%	$3.01
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.88	0.79%	$3.96
Class B Shares	$1,000.00	$1,018.89	1.19%	$5.96
Institutional Shares⁴	$1,000.00	$1,022.91	0.38%	$1.91
Class R-1 Shares	$1,000.00	$1,019.29	1.11%	$5.56
Class R-2 Shares	$1,000.00	$1,020.28	0.91%	$4.56
Class R-3 Shares	$1,000.00	$1,021.77	0.61%	$3.06

State Farm Small Cap Index Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 982.72	0.95%	$4.67
Class B Shares	$1,000.00	$ 980.35	1.35%	$6.63
Institutional Shares⁴	$1,000.00	$ 984.38	0.54%	$2.66
Class R-1 Shares	$1,000.00	$ 980.65	1.27%	$6.24
Class R-2 Shares	$1,000.00	$ 982.14	1.07%	$5.26
Class R-3 Shares	$1,000.00	$ 983.63	0.77%	$3.79
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.08	0.95%	$4.76
Class B Shares	$1,000.00	$1,018.10	1.35%	$6.76
Institutional Shares⁴	$1,000.00	$1,022.12	0.54%	$2.71
Class R-1 Shares	$1,000.00	$1,018.50	1.27%	$6.36
Class R-2 Shares	$1,000.00	$1,019.49	1.07%	$5.36
Class R-3 Shares	$1,000.00	$1,020.98	0.77%	$3.86

State Farm International Index Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$ 984.47	1.15%	$5.66
Class B Shares	$1,000.00	$ 983.48	1.55%	$7.62
Institutional Shares⁴	$1,000.00	$ 986.45	0.74%	$3.64
Class R-1 Shares	$1,000.00	$ 983.53	1.47%	$7.23
Class R-2 Shares	$1,000.00	$ 984.50	1.27%	$6.25
Class R-3 Shares	$1,000.00	$ 986.43	0.97%	$4.78
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.09	1.15%	$5.76
Class B Shares	$1,000.00	$1,017.11	1.55%	$7.75
Institutional Shares⁴	$1,000.00	$1,021.12	0.74%	$3.71
Class R-1 Shares	$1,000.00	$1,017.50	1.47%	$7.35
Class R-2 Shares	$1,000.00	$1,018.50	1.27%	$6.36
Class R-3 Shares	$1,000.00	$1,019.98	0.97%	$4.86

State Farm Equity and Bond Fund⁵


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005³	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,007.75	0.98%	$4.88
Class B Shares	$1,000.00	$1,004.70	1.38%	$6.86
Institutional Shares	$1,000.00	$1,008.73	0.57%	$2.84
Class R-1 Shares	$1,000.00	$1,005.41	1.30%	$6.46
Class R-2 Shares	$1,000.00	$1,006.14	1.10%	$5.47
Class R-3 Shares	$1,000.00	$1,008.70	0.81%	$4.03
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.93	0.98%	$4.91
Class B Shares	$1,000.00	$1,017.95	1.38%	$6.90
Institutional Shares	$1,000.00	$1,021.97	0.57%	$2.86
Class R-1 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-2 Shares	$1,000.00	$1,019.34	1.10%	$5.51
Class R-3 Shares	$1,000.00	$1,020.78	0.81%	$4.06

State Farm Bond Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,019.43	0.69%	$3.45
Class B Shares	$1,000.00	$1,017.52	1.09%	$5.45
Institutional Shares⁴	$1,000.00	$1,022.54	0.28%	$1.40
Class R-1 Shares	$1,000.00	$1,019.03	1.01%	$5.06
Class R-2 Shares	$1,000.00	$1,018.98	0.81%	$4.05
Class R-3 Shares	$1,000.00	$1,020.48	0.51%	$2.55
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.37	0.69%	$3.46
Class B Shares	$1,000.00	$1,019.39	1.09%	$5.46
Institutional Shares⁴	$1,000.00	$1,023.41	0.28%	$1.40
Class R-1 Shares	$1,000.00	$1,019.79	1.01%	$5.06
Class R-2 Shares	$1,000.00	$1,020.78	0.81%	$4.06
Class R-3 Shares	$1,000.00	$1,022.27	0.51%	$2.56

State Farm Tax Advantaged Bond Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,022.89	0.70%	$3.51
Class B Shares	$1,000.00	$1,021.78	1.10%	$5.51
Institutional Shares⁴	$1,000.00	$1,025.94	0.29%	$1.46
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.32	0.70%	$3.51
Class B Shares	$1,000.00	$1,019.34	1.10%	$5.51
Institutional Shares⁴	$1,000.00	$1,023.36	0.29%	$1.45

State Farm Money Market Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,010.52	0.60%	$2.99
Class B Shares	$1,000.00	$1,008.49	1.00%	$4.98
Institutional Shares⁴	$1,000.00	$1,012.16	0.29%	$1.45
Class R-1 Shares	$1,000.00	$1,008.96	0.92%	$4.58
Class R-2 Shares	$1,000.00	$1,009.89	0.72%	$3.59
Class R-3 Shares	$1,000.00	$1,010.89	0.52%	$2.59
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.82	0.60%	$3.01
Class B Shares	$1,000.00	$1,019.84	1.00%	$5.01
Institutional Shares⁴	$1,000.00	$1,023.36	0.29%	$1.45
Class R-1 Shares	$1,000.00	$1,020.23	0.92%	$4.61
Class R-2 Shares	$1,000.00	$1,021.22	0.72%	$3.61
Class R-3 Shares	$1,000.00	$1,022.22	0.52%	$2.61

State Farm LifePath Income Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,010.70	1.26%	$6.28
Class B Shares	$1,000.00	$1,009.25	1.66%	$8.27
Institutional Shares⁴	$1,000.00	$1,013.13	0.85%	$4.24
Class R-1 Shares	$1,000.00	$1,009.18	1.58%	$7.87
Class R-2 Shares	$1,000.00	$1,011.53	1.38%	$6.88
Class R-3 Shares	$1,000.00	$1,012.80	1.08%	$5.39
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.55	1.26%	$6.31
Class B Shares	$1,000.00	$1,016.56	1.66%	$8.30
Institutional Shares⁴	$1,000.00	$1,020.58	0.85%	$4.26
Class R-1 Shares	$1,000.00	$1,016.96	1.58%	$7.90
Class R-2 Shares	$1,000.00	$1,017.95	1.38%	$6.90
Class R-3 Shares	$1,000.00	$1,019.44	1.08%	$5.41

State Farm LifePath 2010 Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,009.50	1.23%	$6.13
Class B Shares	$1,000.00	$1,007.80	1.63%	$8.11
Institutional Shares⁴	$1,000.00	$1,011.17	0.82%	$4.09
Class R-1 Shares	$1,000.00	$1,006.87	1.55%	$7.71
Class R-2 Shares	$1,000.00	$1,008.59	1.35%	$6.72
Class R-3 Shares	$1,000.00	$1,010.31	1.05%	$5.23
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.70	1.23%	$6.16
Class B Shares	$1,000.00	$1,016.71	1.63%	$8.15
Institutional Shares⁴	$1,000.00	$1,020.73	0.82%	$4.11
Class R-1 Shares	$1,000.00	$1,017.11	1.55%	$7.75
Class R-2 Shares	$1,000.00	$1,018.10	1.35%	$6.76
Class R-3 Shares	$1,000.00	$1,019.59	1.05%	$5.26

State Farm LifePath 2020 Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,005.72	1.21%	$6.02
Class B Shares	$1,000.00	$1,004.09	1.61%	$8.00
Institutional Shares⁴	$1,000.00	$1,008.12	0.80%	$3.98
Class R-1 Shares	$1,000.00	$1,004.06	1.53%	$7.60
Class R-2 Shares	$1,000.00	$1,005.68	1.33%	$6.61
Class R-3 Shares	$1,000.00	$1,007.31	1.03%	$5.13
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.79	1.21%	$6.06
Class B Shares	$1,000.00	$1,016.81	1.61%	$8.05
Institutional Shares⁴	$1,000.00	$1,020.83	0.80%	$4.01
Class R-1 Shares	$1,000.00	$1,017.21	1.53%	$7.65
Class R-2 Shares	$1,000.00	$1,018.20	1.33%	$6.66
Class R-3 Shares	$1,000.00	$1,019.69	1.03%	$5.16

State Farm LifePath 2030 Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,003.94	1.22%	$6.06
Class B Shares	$1,000.00	$1,002.37	1.62%	$8.04
Institutional Shares⁴	$1,000.00	$1,006.28	0.81%	$4.03
Class R-1 Shares	$1,000.00	$1,002.35	1.54%	$7.65
Class R-2 Shares	$1,000.00	$1,003.14	1.34%	$6.66
Class R-3 Shares	$1,000.00	$1,004.71	1.04%	$5.17
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.74	1.22%	$6.11
Class B Shares	$1,000.00	$1,016.76	1.62%	$8.10
Institutional Shares⁴	$1,000.00	$1,020.78	0.81%	$4.06
Class R-1 Shares	$1,000.00	$1,017.16	1.54%	$7.70
Class R-2 Shares	$1,000.00	$1,018.15	1.34%	$6.71
Class R-3 Shares	$1,000.00	$1,019.64	1.04%	$5.21

State Farm LifePath 2040 Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005²	Expenses Paid During Period January 1, 2005 to June 30, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,001.52	1.21%	$6.00
Class B Shares	$1,000.00	$1,000.76	1.61%	$7.99
Institutional Shares⁴	$1,000.00	$1,004.56	0.81%	$4.03
Class R-1 Shares	$1,000.00	$1,000.76	1.53%	$7.59
Class R-2 Shares	$1,000.00	$1,001.52	1.33%	$6.60
Class R-3 Shares	$1,000.00	$1,003.04	1.03%	$5.12
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.79	1.21%	$6.06
Class B Shares	$1,000.00	$1,016.81	1.61%	$8.05
Institutional Shares⁴	$1,000.00	$1,020.78	0.81%	$4.06
Class R-1 Shares	$1,000.00	$1,017.21	1.53%	$7.65
Class R-2 Shares	$1,000.00	$1,018.20	1.33%	$6.66
Class R-3 Shares	$1,000.00	$1,019.69	1.03%	$5.16

Expenses are equal to the Fund’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Ratio reflects the expenses of both the Fund and its corresponding Master Portfolio.

Ratio reflects 60% of the State Farm Equity Fund Institutional shares expenses plus 40% of the State Farm Bond Fund Institutional shares expenses. The State Farm Equity and Bond Fund targets a 60%/40% investment ratio between the State Farm Equity Fund and the State Farm Bond Fund. This investment ratio may vary slightly from 60%/40% throughout the year. At June 30, 2005 the investment ratio was 60.4%/39.6%, based on total investments.

⁴

Restated Expense Example Table for Institutional Shares

An annual shareholder servicing fee of 0.25% of average daily net assets of each Fund listed in the example below was implemented for Institutional Shares on May 1, 2005. Also effective May 1, 2005, State Farm Investment Management Corp. increased its voluntary expense reimbursement threshold for these Funds by 0.25%. The following example reflects these changes as if they had been in effect throughout the entire period January 1, 2005 to June 30, 2005:

Institutional Shares


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005	Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual Expenses
State Farm Equity Fund	$1,000.00	$998.80	0.93%	$4.61
State Farm Small Cap Equity Fund	$1,000.00	$984.83	1.15%	$5.66
State Farm International Equity Fund	$1,000.00	$977.44	1.25%	$6.13
State Farm S&P 500 Index Fund**	$1,000.00	$989.14	0.54%	$2.66
State Farm Small Cap Index Fund**	$1,000.00	$983.63	0.70%	$3.44
State Farm International Index Fund**	$1,000.00	$985.48	0.90%	$4.43
State Farm Bond Fund	$1,000.00	$1,022.42	0.44%	$2.21
State Farm Tax Advantaged Bond Fund	$1,000.00	$1,025.82	0.45%	$2.26
State Farm Money Market Fund	$1,000.00	$1,010.90	0.45%	$2.24
State Farm LifePath Income Fund**	$1,000.00	$1,012.22	1.01%	$5.04
State Farm LifePath 2010 Fund**	$1,000.00	$1,010.31	0.98%	$4.88
State Farm LifePath 2020 Fund**	$1,000.00	$1,007.31	0.96%	$4.78
State Farm LifePath 2030 Fund**	$1,000.00	$1,005.49	0.97%	$4.82
State Farm LifePath 2040 Fund**	$1,000.00	$1,003.80	0.96%	$4.77
Hypothetical (5% return before expenses)
State Farm Equity Fund	$1,000.00	$1,020.18	0.93%	$4.66
State Farm Small Cap Equity Fund	$1,000.00	$1,019.09	1.15%	$5.76
State Farm International Equity Fund	$1,000.00	$1,018.60	1.25%	$6.26
State Farm S&P 500 Index Fund**	$1,000.00	$1,022.12	0.54%	$2.71
State Farm Small Cap Index Fund**	$1,000.00	$1,021.32	0.70%	$3.51
State Farm International Index Fund**	$1,000.00	$1,020.33	0.90%	$4.51
State Farm Bond Fund	$1,000.00	$1,022.61	0.44%	$2.21
State Farm Tax Advantaged Bond Fund	$1,000.00	$1,022.56	0.45%	$2.26
State Farm Money Market Fund	$1,000.00	$1,022.56	0.45%	$2.26
State Farm LifePath Income Fund**	$1,000.00	$1,019.79	1.01%	$5.06
State Farm LifePath 2010 Fund**	$1,000.00	$1,019.93	0.98%	$4.91
State Farm LifePath 2020 Fund**	$1,000.00	$1,020.03	0.96%	$4.81
State Farm LifePath 2030 Fund**	$1,000.00	$1,019.98	0.97%	$4.86
State Farm LifePath 2040 Fund**	$1,000.00	$1,020.03	0.96%	$4.81

Expenses are equal to the Fund's annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

The Annualized Expense Ratio reflects the expenses of both the Fund and its corresponding Master Portfolio.

⁵

Restated Expense Example Table for State Farm Equity and Bond Fund

An annual shareholder servicing fee of 0.25% of average daily net assets for Institutional Shares of the Funds in which the State Farm Equity and Bond Fund invests was implemented on May 1, 2005. Simultaneously, the annual shareholder servicing fee of 0.25% of average daily net assets for Class A and Class B Shares of State Farm Equity and Bond Fund was eliminated and the annual shareholder servicing fee for all Class R Shares of State Farm Equity and Bond Fund was reduced by 0.25% of average daily net assets during the period. Also effective May 1, 2005, State Farm Investment Management Corp. increased its voluntary expense reimbursement threshold for the Funds into which the State Farm Equity and Bond Fund invests by 0.25%, while the threshold decreased by 0.25% for Class A and Class B Shares of the State Farm Equity and Bond Fund. The following example reflects these changes as if they had been in effect throughout the entire period January 1, 2005 to June 30, 2005:

State Farm Equity and Bond Fund


	Beginning Account Value January 1, 2005	Ending Account Value June 30, 2005	Annualized Expense Ratio Based on the Period January 1, 2005 to June 30, 2005**	Expenses Paid During Period January 1, 2005 to June 30, 2005*
Actual
Class A Shares	$1,000.00	1,006.70	0.98%	$4.88
Class B Shares	$1,000.00	1,004.70	1.38%	$6.86
Institutional Shares	$1,000.00	1,007.66	0.73%	$3.63
Class R-1 Shares	$1,000.00	1,005.41	1.30%	$6.46
Class R-2 Shares	$1,000.00	1,006.14	1.10%	$5.47
Class R-3 Shares	$1,000.00	1,007.63	0.80%	$3.98
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	1,019.93	0.98%	$4.91
Class B Shares	$1,000.00	1,017.95	1.38%	$6.90
Institutional Shares	$1,000.00	1,021.17	0.73%	$3.66
Class R-1 Shares	$1,000.00	1,018.35	1.30%	$6.51
Class R-2 Shares	$1,000.00	1,019.34	1.10%	$5.51
Class R-3 Shares	$1,000.00	1,020.83	0.80%	$4.01

Ratio reflects 60% of the State Farm Equity Fund Institutional Shares expenses plus 40% of the State Farm Bond Fund Institutional Shares expenses. The State Farm Equity and Bond Fund targets a 60%/40% investment ratio between the State Farm Equity Fund and the State Farm Bond Fund. This investment ratio may vary slightly from 60%/40% throughout the year. At June 30, 2005 the investment ratio was 60.4%/39.6%, based on total investments.

Board Approval of Investment Advisory Agreements

Board Review of the Continuation of the Investment Advisory Agreement and Continuation of the Capital Guardian Sub-Advisory Agreement

At a meeting of the Board of Trustees (the “Board”) of State Farm Mutual Fund Trust (“Mutual Fund Trust”) held on June 17, 2005, all of the Trustees present, including those Trustees present who were not interested persons of Mutual Fund Trust as defined by Section 2(a)(19) of the Investment Company Act of 1940 (the “Independent Trustees”), considered whether (i) to approve continuation of the Investment Advisory and Management Services Agreement between State Farm Investment Management Corp. (“SFIMC”) and Mutual Fund Trust (the “Advisory Agreement), and (ii) to approve continuation of the Investment Sub-Advisory Agreement between SFIMC, Mutual Fund Trust and Capital Guardian Trust Company (“Capital Guardian”), which agreement will be referred to as the “Capital Guardian Sub-Advisory Agreement.”

Capital Guardian serves as the investment sub-adviser to Mutual Fund Trust’s State Farm Small Cap Equity Fund and State Farm International Equity Fund (collectively, the “Sub-Advised Equity Funds”). In this role, Capital Guardian is primarily responsible for the day-to-day management of the investments of the Sub-Advised Equity Funds.

Prior to the June 17, 2005 meeting, independent legal counsel to the Independent Trustees had sent to SFIMC and Capital Guardian a request for information to be provided to the Board in connection with the Board’s consideration of continuing the Advisory Agreement and the Capital Guardian Sub-Advisory Agreement. SFIMC and Capital Guardian provided materials to the Board in response to those requests prior to the meeting. SFIMC also provided the Board with additional information that SFIMC believed would be useful to the Board in evaluating whether to approve continuation of the Advisory Agreement and the Capital Guardian Sub-Advisory Agreement, including a report prepared by Lipper Inc., an independent fund tracking organization, (the “Lipper Report”) relating to the performance and expenses of the fifteen series of Mutual Fund Trust (each a “Fund” and collectively the “Funds”). In addition, the Board received and reviewed a memorandum from the independent legal counsel regarding their responsibilities (particularly the Independent Trustees’ responsibilities) in considering whether to approve continuation of the agreements.

In considering whether to approve the continuation of the Advisory Agreement and the Capital Guardian Sub-Advisory Agreement, the Board first considered the investment performance of SFIMC in managing each Fund and Capital Guardian in sub-advising the Sub-Advised Equity Funds, including, as applicable, the year-to-date, one, three, and four year performance of each Fund as compared to the performance of one or more benchmark indexes and a peer group of funds with comparable investment objectives, investment strategies, asset size and load structures (“Peer Funds”).

The Board further considered how closely the performance of the State Farm S&P 500 Index Fund, the State Farm Small Cap Index Fund and the State Farm International Index Fund matched the performance of each of those Fund’s benchmark index, net of fees. The Board concluded that the performance of these three Funds over the periods reviewed was acceptable and closely tracked their respective benchmarks.

The Board then considered the year-to-date, one, three and four year performance of the Sub-Advised Equity Funds, each of which is sub-advised by Capital Guardian. The Board reviewed each Fund’s performance compared to a benchmark index and compared to the performance of Peer Funds. SFIMC reminded the Board that Capital Guardian recently had added substantial resources to the investment management team responsible for managing the Sub-Advised Equity Funds to seek to enhance the performance of each. After extensively considering all of this information, the Board concluded that the performance of the Sub-Advised Equity Funds was acceptable, although the Board determined to closely monitor the performance of these two Funds.

The Board next reviewed the performance of the State Farm Bond Fund, State Farm Money Market Fund and State Farm Tax Advantaged Bond Fund. The Lipper Report indicated that the performance of the State Farm Bond Fund, State Farm Money Market Fund and State Farm Tax Advantaged Bond Fund was competitive with each Fund’s benchmark index and with the performance of each Fund’s Peer Funds. The Board examined the performance of the State Farm Equity and Bond Fund compared to its benchmark index and its Peer Funds. SFIMC representatives discussed with the Board the basis of the State Farm Equity and Bond Fund’s performance, noting the differences in performance between the equity component of the State Farm Equity and Bond Fund and the equity components of its Peer Funds. After extensive discussion of this and other information, the Board concluded that the investment performance of the State Farm Bond Fund, the State Farm Money Market Fund, State Farm Tax Advantaged Bond Fund and the State Farm Equity and Bond Fund over the periods reviewed was acceptable.

The Board next reviewed the 2004 performance of the State Farm LifePath Income, State Farm LifePath 2010, State Farm LifePath 2020, State Farm LifePath 2030 and State Farm LifePath 2040 Funds (collectively the “LifePath Funds”). The Board considered the 2004 performance of the LifePath Funds relative to a benchmark index for each LifePath Fund and relative to Peer

Funds. The Board noted that, due to the nature of each LifePath Fund, the benchmark index for each LifePath Fund was not as well defined as the benchmark indexes for the other Funds, but that the performance of the LifePath Funds was in line with those benchmarks. After extensively reviewing all the performance information provided to the Board, the Board concluded that the LifePath Funds’ performance was competitive.

The Board next examined the fee structure and expense ratio of each Fund, including in comparison to Peer Funds. The Board noted that each Fund’s expense structure and overall fees were very competitive to the expense structure and overall fees of the Peer Funds. The Board also considered SFIMC’s profitability in serving as investment adviser to Mutual Fund Trust, which relates closely to the sub-advisory fees it pays Capital Guardian. The Board concluded that the advisory and sub-advisory fees, which directly or indirectly are part of each Fund’s fee structure and expense ratio, were reasonable and appropriate for the shareholders. The Board noted its intention to closely monitor SFIMC’s profitability in managing Mutual Fund Trust.

The Board considered the nature, extent and quality of the advisory and sub-advisory services provided by SFIMC and Capital Guardian to the Funds. The Board considered the make-up, education and experience of the teams responsible for managing the Funds at SFIMC and Capital Guardian, and concluded that each organization’s investment management teams has a satisfactory, long-term track record. The Board considered that SFIMC has been engaged in the business of managing mutual funds since 1968, and that as of December 31, 2004, SFIMC managed more than $6.8 billion in assets. The Board noted that Capital Guardian had approximately $162 billion of assets under management, and that it was part of one of the largest investment managers in the world. SFIMC also noted that there were no reports of Capital Guardian being involved in any of the regulatory issues (i.e., market timing or late day trading) that have been plaguing the investment management industry, although with respect to an affiliate of Capital Guardian, there had been some recent negative press reports relating to other issues. After considering this information, the Board concluded that SFIMC and Capital Guardian each had more than sufficient resources and expertise to continue to manage or sub-advise the Funds, and that given the past experience of each, SFIMC and Capital Guardian would be able to continue to provide satisfactory services to Mutual Fund Trust.

The Board next discussed the extent to which economies of scale will be realized as each Fund grows and whether each Fund’s fee levels reflect economies of scale for the benefit of the Fund. Economies of scale occur when a mutual fund’s expenses per unit, such as per dollar invested in the fund, decrease as the fund increases in size. One way a mutual fund company achieves economies of scale is to lower the average cost per unit by spreading fixed costs over a larger asset base. As the Funds within Mutual Fund Trust grow, each Fund’s fixed costs will be spread over a larger asset base, so a Fund’s fee levels will reflect economies of scale for the benefit of the Fund as the Fund grows. The Board discussed the fact that the advisory fees payable by Mutual Fund Trust to SFIMC are a flat percentage of each Fund’s average daily net assets, and that the percentage does not decrease as a Fund increases in size. In tandem with monitoring SFIMC’s profitability, the Board determined to continue to monitor whether it is appropriate for SFIMC to charge a level percentage advisory fee to the Funds within Mutual Fund Trust.

The Board next discussed whether SFIMC or Capital Guardian derives any other direct or indirect benefits from serving as investment adviser and investment sub-adviser to the Funds. SFIMC indicated to the Board that it was not aware of any ancillary or other benefits (other than fees) that SFIMC (and its affiliates) and Capital Guardian (and its affiliates) receive for providing various services to Mutual Fund Trust, particularly because neither SFIMC nor Capital Guardian execute securities trades on behalf of the Funds through an affiliated broker-dealer. The Board concluded that the lack of any ancillary, or so-called “fallout” benefits, including no soft dollar arrangements, enables SFIMC and Capital Guardian to manage assets of the Funds in a manner that appears to be free of conflicts of interest.

Based on the Board’s deliberations and their evaluation of the information provided by SFIMC and Capital Guardian, the Board, including all of the Independent Trustees present at the Board meeting, unanimously approved the continuation of the Advisory Agreement and the Capital Guardian Sub-Advisory Agreement.

Board Review of the Revised Capital Guardian Sub-Advisory Agreement

At a meeting held on March 18, 2005, the Board, including the Independent Trustees, voted unanimously to approve an amendment to the Capital Guardian Sub-Advisory Agreement (the “Revised Capital Guardian Sub-Advisory Agreement”) pursuant to which Capital Guardian is appointed as sub-adviser to Mutual Fund Trust’s State Farm Equity Fund (“Equity Fund”). In connection with their considerations, on that same date, the Board met with representatives of Capital Guardian who provided the Board with extensive information on Capital Guardian, its current management of the Sub-Advised Equity Funds, and its plans on how it proposes to manage the Equity Fund.

Prior to the Board meeting, SFIMC had sent to Capital Guardian a request for information to be provided to the Board in connection with the Board’s consideration of the Revised Capital Guardian Sub-Advisory Agreement. Capital Guardian provided

materials to the Board that included responses to that request. SFIMC provided additional information to the Board, including a Lipper Report, which SFIMC believed would be useful to the Board in evaluating the Revised Capital Guardian Sub-Advisory Agreement. In addition, the Board received and reviewed a memorandum from its independent legal counsel regarding its responsibilities (particularly the Independent Trustees’ responsibilities) in considering whether to approve the agreement.

In considering the Revised Capital Guardian Sub-Advisory Agreement, the Board first considered the investment performance of Capital Guardian in managing its U.S. Value Equity strategy (which is essentially the same strategy under which the SFIMC currently manages the Equity Fund), including the three, five and ten year performance of the Capital Guardian Value Equity Composite as compared to performance of the Equity Fund, Morningstar’s Large Value Category and the Russell 1000 Value Index during those same time periods, as well as the annual performance of each since 2001.

The Board also reviewed information on the performance of the Capital Guardian composite against several nationally prominent retail mutual funds that have the same investment strategy and objective as the Equity Fund. The Board next examined the investment performance of other funds managed by Capital Guardian and its affiliates that utilize the same strategy. They noted that the performance of those funds was substantially similar to the performance of the composite information discussed above. The Board also discussed Capital Guardian’s performance in managing the Sub-Advised Equity Funds.

After extensively reviewing all of this information, the Board concluded that Capital Guardian’s performance in the U.S. Value Equity strategy was very competitive, particularly as compared to the funds in Morningstar’s universe, other stand-alone retail mutual funds in the same asset class and to the Russell 1000 Value Index. The Board further concluded that even though Capital Guardian’s long-term investment performance was competitive, it would closely monitor its performance, particularly because of Capital Guardian’s recent performance in managing the Sub-Advised Equity Funds. The Board also considered the make-up, education and experience of the proposed team that would be responsible for managing the Equity Fund and concluded that Capital Guardian’s proposed team had a satisfactory, long-term track record and could be capable of producing similar results for the Equity Fund.

The Board next considered the costs of the services proposed to be provided. The Board first noted that the overall costs to the Equity Fund’s shareholders would not change because SFIMC was solely responsible for the payment of Capital Guardian’s fees. Nevertheless, the Board examined the proposed sub-advisory fee structure, including the proposed breakpoints as assets in the Equity Fund increase, and Capital Guardian’s agreement to further reduce its fee because of its overall relationship with State Farm Mutual Automobile Insurance Company (“Auto Company”), SFIMC’s parent company. The Board further compared the proposed sub-advisory fees with proposed sub-advisory fee quotes of other investment advisers from whom SFIMC had obtained competitive bids, and noted that Capital Guardian’s proposed sub-advisory fee was substantially less than all of those competing bids. In that regard, SFIMC advised the Board that the Equity Fund was able to obtain those fees because Capital Guardian also managed substantial assets for Auto Company. In addition, Capital Guardian advised the Board that it does not offer lower fees than the fees proposed under the Revised Capital Guardian Sub-Advisory Agreement for any other similar client. After considering this information, the Board concluded that Capital Guardian’s proposed fees were reasonable and would be in the best interests of the Equity Fund’s shareholders.

The Board next considered the nature, extent and quality of services proposed to be provided by Capital Guardian. The Board first considered the level of services that Capital Guardian has provided to Sub-Advised Equity Funds. The Board also considered the fact that Capital Guardian has provided, and has agreed to continue to provide, detailed analytics on the Equity Fund for SFIMC and the Board. The Board next considered that Capital Guardian is a very large asset management firm and has substantial resources to provide industry-leading services. In that regard, the Board was advised that Capital Guardian had approximately $162 billion of assets under management, and that it was part of one of the largest investment managers in the world. SFIMC also noted that there were no reports of Capital Guardian being involved in any of the regulatory issues (i.e., market timing or late day trading) that have been plaguing the investment management industry, although with respect to an affiliate of Capital Guardian, there had been some recent negative press reports relating to other issues. After considering this information, the Board concluded that Capital Guardian had more than sufficient resources and expertise to capably manage the Equity Fund and that, given the Board’s past experience with Capital Guardian and its general reputation, the Board concluded that Capital Guardian would be able to provide satisfactory services for the Equity Fund.

The Board also had discussed with Capital Guardian how Capital Guardian would manage the Equity Fund on a day-to-day basis. Capital Guardian had provided extensive information to the Board on its investment philosophy, selection process and investment process. Capital Guardian further described to the Board the risk profile and portfolio characteristics of accounts currently under

its management that have substantially the same investment objectives and restrictions as the Equity Fund. The Board noted in particular that Capital Guardian emphasizes long-term investing and seeks to determine the differences between the fundamental value of a company and its price in the marketplace. Based on this information, the Board concluded that Capital Guardian’s proposed management of the Equity Fund was substantially similar to the manner in which the Equity Fund currently was managed, would not cause a substantial disruption to the Equity Fund’s portfolio and that having Capital Guardian serve as investment sub-adviser would be in the best interest of the Equity Fund’s shareholders.

The Board next discussed whether Capital Guardian would derive any other direct or indirect benefits from serving as investment sub-adviser to the Equity Fund. SFIMC indicated to the Board that it was not aware of any ancillary or other benefits (other than the sub-advisory fees) that Capital Guardian would receive for serving as investment sub-adviser, particularly because Capital Guardian did not have any affiliated broker/dealer with whom Capital Guardian might want to execute trades. The Board concluded that the lack of any ancillary or so-called “fallout” benefits would enable Capital Guardian to manage the assets of the Equity Fund in a manner that appeared to be free of conflicts of interest.

The Board next considered Capital Guardian’s practices regarding the selection and compensation of brokers and dealers that would execute portfolio transactions for the Fund, and those brokers’ and dealers’ provision of brokerage and research services to Capital Guardian. The Board also considered Capital Guardian’s soft dollar practices. The Board concluded that each of those practices appeared to be consistent with regulatory requirements.

The Board did not take into account the extent to which economies of scale would be realized as the Equity Fund’s assets grow, because the fee that the Equity Fund pays is to SFIMC. However, the Board noted the low fee that SFIMC was required to pay Capital Guardian, including the breakpoints therein, and determined to monitor the overall fees paid by the Equity Fund to ensure that those fees remain appropriate. The Board also did not take into account the projected profits of Capital Guardian for acting as sub-adviser to the Equity Fund, because the proposed relationship had not yet commenced and it would be difficult to project those profits. However, the Board determined to monitor in the future Capital Guardian’s profitability in serving as sub-adviser to the Equity Fund.

In addition, the Independent Trustees received advice from independent legal counsel. Based on the Board’s deliberations and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the Revised Capital Guardian Sub-Advisory Agreement and concluded that Capital Guardian’s proposed compensation is fair and reasonable in light of such services and expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable judgment.

Board Review of the Amended Advisory Agreement and the Northern Trust Sub-Advisory Agreement

At a meeting held on March 18, 2005, the Board, including the Independent Trustees, voted unanimously to approve an amendment to the Advisory Agreement increasing the investment advisory and management services fee payable to SFIMC by the State Farm Small Cap Index Fund (the “Small Cap Index Fund”) and the State Farm International Index Fund (the “International Index Fund”), and the adoption of the an investment sub-advisory agreement between Mutual Fund Trust, SFIMC and Northern Trust Investments, N.A. (the “Northern Trust Sub-Advisory Agreement”). In connection with that approval and recommendation, the Board met with representatives of SFIMC and discussed information regarding Northern Trust Investments, N.A. (“Northern Trust”) and Northern Trust’s plans on how it proposes to provide an investment advisory program to the Small Cap Index Fund and International Index Fund (collectively the “Index Funds”).

Approval of the Amended Advisory Agreement

As part of their deliberations relating to the proposed amended Advisory Agreement, the Board considered the current fees charged by SFIMC to the Index Funds. Those fees contemplate that the assets of the Index Funds will be invested into separate series of the Master Fund, each of which charges its own investment advisory and management service fee. For the Russell 2000 Index Master Portfolio, the Master Portfolio into which the Small Cap Index Fund invests its assets, those fees equal 0.10% of average daily net assets on an annual basis. For the International Index Master Portfolio, the Master Portfolio into which the International Index Fund invests its assets, those fees equal 0.25 % of average daily net assets on an annual basis. Accordingly, the Board considered that shareholders of the Small Cap Index Fund pay aggregate investment advisory and management service fees of 0.35% on an annual basis whereas shareholders of the International Index Fund currently pay such fees at an aggregate level of 0.50%. Under the proposed amended Advisory Agreement, the Board further considered that shareholders will pay the same effective rate of investment advisory and management service fees before and after Northern Trust begins providing sub-

advisory services to the Index Funds. Accordingly, the Board concluded that the amendment to the Advisory Agreement was fair and reasonable because shareholders would not pay any additional fees. The Board did not consider any other factors in approving the amended Advisory Agreement because other than the increase in the advisory fees paid to SFIMC as discussed above, the Advisory Agreement was not proposed to be changed.

Approval of the Northern Trust Sub-Advisory Agreement

Prior to the Board meeting, SFIMC had sent to Northern Trust a request for information to be provided to the Board in connection with their consideration of the Northern Trust Sub-Advisory Agreement appointing Northern Trust as investment sub-adviser to the Index Funds. Northern Trust provided materials to the Board that included responses to that request prior to the Board meeting. SFIMC provided other information that SFIMC believed would be useful to the Board in evaluating the Northern Trust Sub-Advisory Agreement, including a Lipper Report relating to the performance and expenses of the Index Funds. In addition, the Board had received and reviewed a memorandum from the independent legal counsel to the Independent Trustees regarding their responsibilities (particularly the Independent Trustees’ responsibilities) in considering whether to approve the agreement.

The Board first considered the past performance of Northern Trust in managing small cap and international equity index products. SFIMC advised the Board that Northern Trust is the third largest provider of index products in the U.S. and utilizes a proprietary, quantitative model that analyzes liquidity and trading to minimize the impact of trading costs on an index strategy. SFIMC further advised the Board that Barclays Global Fund Advisors and Northern Trust are responsible for a large percentage of the total index product market share in the U.S. and that SFIMC is comfortable with Northern Trust’s index process, compliance procedures and tracking of the respective indices. The Board also considered the three, five and ten year performance of the NT Small Cap Index Composite as compared to the Russell 2000 Index during those time periods, as well as the annual performance of each since 2001, and the three, five and ten year performance of the NT International Index Composite as compared to the MSCI EAFE Index during those time periods, as well as annual performance for each year since 2001.

The Board next considered the investment performance of other investment funds that are managed by Northern Trust with similar strategies to those of the Index Funds. The Board noted that because Northern Trust is proposed to execute an index strategy, the performance of those other funds differed only because of the internal expense structure of each of those funds, not because of Northern Trust’s services and performance.

After considering all of the above information, the Board concluded that Northern Trust’s experience in providing index product advisory services was satisfactory and that it could provide satisfactory sub-advisory services to the Index Funds, such that the performance of the Index Funds would be substantially in-line with the performance of the respective index that each Index Fund tracks.

The Board next considered the services that Northern Trust proposes to provide to the Index Funds. The Board considered the fact that Northern Trust has agreed to make available detailed analytics on the Index Funds for due diligence review, along with access to investment personnel, as well as provide marketing support in the field for large group audiences of State Farm agents and/or shareholders of the Index Funds. The Board next considered the general reputation, financial resources and business activities of Northern Trust. After considering this information, the Board concluded that Northern Trust had sufficient resources and expertise to capably manage the Index Funds in accordance with their respective indexes.

The Board next considered the costs of the services Northern Trust proposes to provide. The Board first considered that Northern Trust’s proposed fees were lower by almost half from the bids that SFIMC had received from other index product providers. SFIMC also advised the Board that – similar to Auto Company’s relationship with Capital Guardian – because of the overall relationship between Northern Trust and Auto Company, the overall fees charged by Northern Trust were extremely low. Given that providing investment sub-advice to the Index Funds was almost a commodity business, the Board concluded that Northern Trust’s proposed fees were extremely competitive and would be in the best interests of shareholders.

The Board next considered Northern Trust’s legal and compliance infrastructure, including how Northern Trust complies with regulatory requirements and concluded that Northern Trust’s compliance system was sufficiently robust, including particularly related to how it proposes to ensure compliance with the Index Funds’ prospectus limitations and other applicable regulatory requirements.

The Board next considered Northern Trust’s practices regarding the selection and compensation of brokers and dealers that would execute portfolio transactions for the Index Funds, and those brokers’ and dealers’ provision of brokerage and research

services to Northern Trust. The Board also considered Northern Trust’s soft dollar practices. The Board concluded that each of those practices appeared to be consistent with regulatory requirements.

The Board next considered the lack of any compensation that would be paid by the Index Funds to affiliates of Northern Trust as a result of the new relationship (including not utilizing an affiliated broker/dealer of Northern Trust to execute an Index Fund’s trades), and concluded that the lack of any ancillary, or so-called “fallout” benefits would enable Northern Trust to manage the assets of the Index Funds in a manner that appeared to be free of conflicts of interest.

The Board did not take into account the extent to which economies of scale would be realized as the Index Funds’ asset grow, because the fee that the Index Funds pay is to SFIMC. However, the Board noted that the low fee that SFIMC was required to pay Northern Trust, including the breakpoints therein, and determined to monitor the overall fees paid by the Index Funds to ensure that those fees remain appropriate. The Board also did not take into account the projected profits of Northern Trust for acting as sub-adviser to the Index Funds, because the proposed relationship had not yet commenced and it would be difficult to project those profits. However, the Board determined to monitor in the future the Northern Trust’s profitability in serving as sub-adviser to the Index Funds.

In addition, the Independent Trustees received advice from independent legal counsel. Based on the Boards’ deliberations and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the amended Advisory Agreement and the Northern Trust Sub-Advisory Agreement.

“Morningstar” is the registered trademark of Morningstar, Inc. “Russell 1000” is the registered trademark of the Frank Russell Company.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (91.71%)
Agriculture, Foods, & Beverage (10.31%)
Archer-Daniels-Midland Co.	237,550	$	5,078,819
Campbell Soup Co.	31,300		963,101
Kellogg Co.	55,600		2,470,864
McCormick & Co. Inc.	57,700		1,885,636
Nestle SA ADR	59,400		3,802,045
PepsiCo Inc.	78,800		4,249,684
Sara Lee Corp.	45,400		899,374
Sysco Corp.	78,900		2,855,391
The Coca-Cola Co.	89,500		3,736,625
The Hershey Co.	22,600		1,403,460

			27,344,999

Banks (6.48%)
Bank of America Corp.	44,000		2,006,840
Bank of New York Inc.	1,800		51,804
Fifth Third Bancorp	25,800		1,063,218
M&T Bank Corp.	20,100		2,113,716
Northern Trust Corp.	27,900		1,271,961
Popular Inc.	58,600		1,476,134
SunTrust Banks Inc.	39,200		2,831,808
Wells Fargo & Co.	103,400		6,367,372

			17,182,853

Chemicals (2.89%)
Air Products & Chemicals Inc.	51,100		3,081,330
E.I. du Pont de Nemours and Co.	19,500		838,695
Sigma-Aldrich Corp.	48,800		2,734,752
The Dow Chemical Co.	23,100		1,028,643

			7,683,420

Commercial Service/Supply (0.12%)
First Data Corp.	8,200		329,148

Computer Software & Services (4.77%)
Automatic Data Processing Inc.	59,600		2,501,412
Check Point Software Technologies Ltd. (a)	10,950		216,810
Intuit Inc. (a)	7,500		338,325
Microsoft Corp.	312,300		7,757,532
SAP AG	10,500		1,833,483

			12,647,562

Computers (4.20%)
Hewlett-Packard Co.	286,200		6,728,562
International Business Machines Corp.	59,400		4,407,480

			11,136,042

Consumer & Marketing (4.66%)
Aptargroup Inc.	30,000		1,524,000
Colgate-Palmolive Co.	50,000		2,495,500
The Gillette Co.	61,200		3,098,556
The Procter & Gamble Co.	76,800	$	4,051,200
Unilever NV ADR	18,300		1,186,389

			12,355,645

Electronic/Electrical Mfg. (8.38%)
Agilent Technologies Inc. (a)	27,400		630,748
Applied Materials Inc.	120,400		1,948,072
Emerson Electric Co.	23,900		1,496,857
General Electric Co.	294,100		10,190,565
Intel Corp.	222,200		5,790,532
KLA-Tencor Corp.	13,900		607,430
Lattice Semiconductor Corp. (a)	3,900		17,316
Linear Technology Corp.	33,600		1,232,784
Texas Instruments Inc.	11,800		331,226

			22,245,530

Financial Services (4.88%)
American Express Co.	9,500		505,685
Citigroup Inc.	126,900		5,866,587
MBNA Corp.	82,000		2,145,120
Wachovia Corp.	89,132		4,420,947

			12,938,339

Health Care (11.28%)
Abbott Laboratories	66,300		3,249,363
Allergan Inc.	11,200		954,688
Amgen Inc. (a)	11,500		695,290
Baxter International Inc.	26,500		983,150
Beckman Coulter Inc.	2,000		127,140
Biomet Inc.	23,550		815,772
Eli Lilly & Co.	58,800		3,275,748
GlaxoSmithKline PLC ADR	3,300		160,083
Johnson & Johnson	131,800		8,567,000
Medtronic Inc.	19,800		1,025,442
Merck & Co. Inc.	73,600		2,266,880
Novartis AG-ADR	14,900		706,856
Pfizer Inc.	222,580		6,138,756
Teva Pharmaceutical Industries Ltd. ADR	31,200		971,568

			29,937,736

Machinery & Manufacturing (3.95%)
3M Co.	42,200		3,051,060
Caterpillar Inc.	47,800		4,555,818
Illinois Tool Works Inc.	36,100		2,876,448

			10,483,326

Media & Broadcasting (2.90%)
Lee Enterprises Inc. Class A (b)	3,800		152,342
Reuters Group PLC ADR	16,400		695,262
The Walt Disney Co.	147,000		3,701,460

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Shares		Value
Common Stocks (Cont.)
Media & Broadcasting (Cont.)
Viacom Inc. Class B		98,300	$	3,147,566

				7,696,630

Mining & Metals (2.93%)
BHP Billiton PLC		197,010		2,512,676
Newmont Mining Corporation		9,600		374,688
Nucor Corp.		46,400		2,116,768
Rio Tinto PLC ADR		22,700		2,767,584

				7,771,716

Oil & Gas (14.76%)
Anadarko Petroleum Corp.		25,800		2,119,470
Baker Hughes Inc.		12,600		644,616
BG Group PLC		334,600		2,751,104
BP PLC ADR		117,100		7,304,698
Chevron Corp.		99,000		5,536,080
Devon Energy Corp.		36,800		1,865,024
Exxon Mobil Corp.		192,100		11,039,987
Murphy Oil Corp.		6,000		313,380
Royal Dutch Petroleum Co. ADR		70,300		4,562,470
Tidewater Inc.		16,500		628,980
Western Gas Resources Inc.		68,800		2,401,120

				39,166,929

Retailers (2.85%)
Home Depot Inc.		19,200		746,880
Wal-Mart Stores Inc.		141,300		6,810,660

				7,557,540

Telecom & Telecom Equipment (5.03%)
ADC Telecommunications Inc. (a)		8,014		174,465
BellSouth Corp.		45,300		1,203,621
Cisco Systems Inc. (a)		140,700		2,688,777
Corning Inc. (a)		37,500		623,250
Lucent Technologies Inc. (a)		806		621
Motorola Inc.		102,200		1,866,172
Nokia Corporation ADR		116,500		1,938,560
SBC Communications Inc.		97,000		2,303,750
Verizon Communications Inc.		32,200		1,112,510
Vodafone Group PLC ADR		59,010		1,435,123

				13,346,849

Utilities & Energy (1.32%)
Duke Energy Corp.		118,000		3,508,140

Total Common Stocks (cost $217,078,655)				243,332,404


	Shares or principal amount		Value
Short-term Investments (8.44%)
Household Finance Corp., 3.000%, 07/01/2005	$	12,000,000	$	12,000,000
JPMorgan Treasury Plus Money Market Fund		10,389,789		10,389,789

Total Short-term Investments (cost $ 22,389,789)				22,389,789

TOTAL INVESTMENTS (100.15%) (cost $ 239,468,444)				265,722,193
LIABILITIES, NET OF OTHER ASSETS (-0.15%)				(409,947	)

NET ASSETS (100.00%)			$	265,312,246

(a)	Non-income producing security.

(b)

This security was inadvertently listed as Class B shares rather than Class A shares in Schedules of Investments publicly available prior to March 31,2005, for the time period when the State Farm Equity Fund owned this security. The number of Class A shares owned and market value were accurately listed in prior publicly available Schedules of Investments.

ADR - American Depository Receipt

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (94.52%)
Consumer Discretionary (18.47%)
Advo Inc.	35,200	$	1,121,120
Alloy Inc. (a)	46,200		237,468
Arbitron Inc.	38,300		1,643,070
Beazer Homes USA Inc.	21,000		1,200,150
Blue Nile Inc. (a)	10,000		326,900
Borders Group Inc.	8,900		225,259
BorgWarner Inc.	4,600		246,882
California Pizza Kitchen Inc. (a)	56,000		1,527,120
Entercom Communications Corp. (a)	5,300		176,437
Four Seasons Hotels Inc.	6,200		409,820
Furniture Brands International Inc.	79,900		1,726,639
Jarden Corp. (a)	36,500		1,968,080
Libbey Inc.	19,500		308,295
Lithia Motors Inc. Class A	15,200		438,520
OfficeMax Inc.	1,971		58,677
Orient Express Hotels Ltd. Class A	52,200		1,653,174
Petco Animal Supplies Inc. (a)	24,000		703,680
PF Chang’s China Bistro Inc. (a)	14,600		861,108
Prestige Brands Holdings Inc. (a)	36,300		707,850
Princeton Review Inc. (a)	59,300		345,719
Radio One Inc. Class A (a)	4,000		50,920
Radio One Inc. Class D (a)	76,800		980,736
Reader’s Digest Association Inc.	73,100		1,206,150
Restoration Hardware Inc. (a)	88,100		720,658
Six Flags Inc. (a)	153,600		714,240
Sports Authority Inc. (a)	7,100		225,780
Stage Stores Inc. (a)	3,100		135,160
Steiner Leisure Ltd. (a)	9,300		344,751
Texas Roadhouse Inc. Class A (a)	7,900		274,525
Tweeter Home Entertainment Group Inc. (a)	80,700		201,750
ValueVision Media Inc. Class A (a)	42,100		505,621
Warnaco Group Inc. (a)	49,100		1,141,575

			22,387,834

Consumer Staples (2.58%)
Central Garden & Pet Co. (a)	6,800		334,016
Fresh Del Monte Produce Inc.	7,400		199,208
Interstate Bakeries Corp. (a)	80,200		562,202
Performance Food Group Co. (a)	52,800		1,595,088
Tootsie Roll Industries Inc.	8,485		248,186
WD-40 Co.	6,600		184,338

			3,123,038

Energy (5.10%)
Alpha Natural Resources Inc. (a)	41,000		979,080
Cabot Oil & Gas Corp.	5,100		176,970
Delta Petroleum Corp. (a)	28,600		403,832
Energy Partners Ltd. (a)	32,600		854,446
Helmerich & Payne Inc.	27,300		1,280,916
Hydril (a)	8,000		434,800
Newpark Resources Inc. (a)	134,800		1,011,000
SEACOR Holdings Inc. (a)	3,200	$	205,760
St. Mary Land & Exploration Co.	16,600		481,068
Swift Energy Co. (a)	9,800		351,036

			6,178,908

Financial Services (16.30%)
American Capital Strategies Ltd.	28,500		1,029,135
American Financial Realty Trust	10,500		161,490
AmeriCredit Corp. (a)	55,500		1,415,250
Annaly Mortgage Management Inc.	34,100		611,413
Anthracite Capital Inc.	70,600		836,610
Endurance Specialty Holdings Ltd.	13,500		510,570
Federal Agricultural Mortgage Corp. Class C	35,900		791,595
First American Corp.	9,000		361,260
First Community Bancorp Inc. (CA)	1,000		47,500
First Midwest Bancorp Inc.	13,000		457,210
Franklin Bank Corp. (a)	15,800		296,408
Fulton Financial Corp.	20,618		371,124
Gramercy Capital Corp.	42,100		1,029,766
Harbor Florida Bancshares Inc.	16,000		599,040
LaSalle Hotel Properties	3,700		121,397
Max Re Capital Ltd.	17,700		405,330
Medallion Financial Corp.	24,000		226,800
MeriStar Hospitality Corp. Inc. (a)	42,100		362,060
MFA Mortgage Investments Inc.	52,000		387,400
National Financial Partners Corp.	37,800		1,479,492
Netbank Inc.	23,100		215,292
Pan Pacific Retail Properties Inc.	5,900		391,642
Placer Sierra Bancshares	24,900		679,023
Provident Bankshares Corp.	25,118		801,515
Saxon Capital Inc.	30,400		518,928
SL Green Realty Corp.	22,000		1,419,000
Sterling Bancshares Inc.	32,300		502,588
Trammell Crow Co. (a)	58,400		1,415,616
Umpqua Holdings Corp.	49,500		1,165,230
Zenith National Insurance Corp.	17,000		1,153,620

			19,763,304

Health Care (10.68%)
Alnylam Pharmaceuticals Inc. (a)	11,700		85,410
American Healthways Inc. (a)	8,000		338,160
AMN Healthcare Services Inc. (a)	58,937		885,823
Amylin Pharmaceuticals Inc. (a)	49,800		1,042,314
Atherogenics Inc. (a)	40,800		651,984
Candela Corp. (a)	50,900		531,905
Cotherix Inc. (a)	33,300		339,327
Cytokinetics Inc. (a)	7,900		54,905
ID Biomedical Corp. (a)	15,400		251,636
Illumina Inc. (a)	48,900		590,223
Magellan Health Services Inc. (a)	16,400		579,084
Option Care Inc.	82,000		1,156,200

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Pharmion Corp. (a)	28,800	$	668,448
Qiagen N. V. (a)	23,700		273,498
Renovis Inc. (a)	29,200		445,884
Rigel Pharmaceuticals Inc. (a)	22,500		448,200
SonoSite Inc. (a)	5,500		170,720
Vicuron Pharmaceuticals Inc. (a)	61,200		1,707,480
VistaCare Inc. Class A (a)	37,800		698,166
Wilson Greatbatch Technologies Inc. (a)	23,100		552,090
Wright Medical Group Inc. (a)	55,500		1,481,850

			12,953,307

Industrials (12.60%)
Actuant Corp. Class A (a)	33,400		1,601,196
Albany International Corp. Class A	21,600		693,576
Ambassadors International Inc.	2,400		32,760
Astec Industries Inc. (a)	42,900		994,851
Celadon Group Inc. (a)	14,000		238,560
Columbus McKinnon Corp. (a)	36,400		398,762
Delta Air Lines Inc. (a)	198,300		745,608
ESCO Technologies Inc. (a)	24,800		2,499,840
Exponent Inc. (a)	24,400		697,352
G&K Services Inc. Class A	18,400		694,232
Jacuzzi Brands Inc. (a)	25,000		268,250
Northwest Airlines Corp. (a)	106,200		484,272
Orbital Sciences Corp. (a)	83,700		828,630
Pacer International Inc. (a)	25,000		544,750
Pinnacle Airlines Corp. (a)	57,800		496,502
Power-One Inc. (a)	51,400		324,334
Resources Connection Inc. (a)	53,900		1,252,097
Tennant Co.	22,800		807,348
Tetra Tech Inc. (a)	33,900		458,667
United Stationers Inc. (a)	7,200		353,520
West Corportation (a)	22,500		864,000

			15,279,107

Materials & Processes (4.07%)
Aptargroup Inc.	26,200		1,330,960
Georgia Gulf Corp.	26,400		819,720
Glatfelter	51,700		641,080
Methanex Corp.	129,800		2,137,806

			4,929,566

Technology (22.28%)
Advanced Energy Industries Inc. (a)	115,800		910,188
Alliance Fiber Optic Products Inc. (a)	138,300		139,683
Altiris Inc. (a)	13,500		198,180
Applied Micro Circuits Corp. (a)	74,300		190,208
Ariba Inc. (a)	14,066		81,583
Ask Jeeves Inc. (a)	26,500		800,035
ASM International NV (a)	11,800		187,620
Atheros Communications (a)	73,100		589,186
Benchmark Electronics Inc. (a)	30,300		921,726
Blackboard Inc. (a)	3,900	$	93,288
Brocade Communications Systems Inc. (a)	126,900		492,372
Captiva Software Corp. (a)	16,300		235,372
Credence Systems Corp. (a)	106,500		963,825
Cymer Inc. (a)	61,300		1,615,255
Dot Hill Systems Corp. (a)	130,500		683,820
Electro Scientific Industries Inc. (a)	33,200		593,616
Embarcadero Technologies Inc. (a)	13,300		74,613
Emcore Corp. (a)	104,300		430,759
Fairchild Semiconductor International Inc. (a)	49,600		731,600
FEI Co. (a)	29,700		677,457
Formfactor Inc. (a)	9,100		240,422
Gateway Inc. (a)	381,900		1,260,270
Helix Technology Corp.	12,900		171,312
Intergraph Corp. (a)	14,400		496,224
Kulicke & Soffa Industries Inc. (a)	129,100		1,021,181
Lowrance Electronics Inc.	3,500		73,570
LTX Corp. (a)	79,600		394,816
MIPS Technologies Inc. (a)	37,700		271,440
MKS Instruments Inc. (a)	51,300		866,457
Netgear Inc. (a)	18,300		340,380
Netlogic Microsystems Inc. (a)	31,800		563,814
Novatel Wireless Inc. (a)	64,000		798,080
ON Semiconductor Corp. (a)	189,300		870,780
OSI Systems Inc. (a)	6,800		107,372
Overland Storage Inc. (a)	40,000		381,600
Pixelworks Inc. (a)	39,900		342,342
Plexus Corp. (a)	78,500		1,117,055
Polycom Inc. (a)	22,600		336,966
Power Integrations Inc. (a)	9,400		202,758
Quest Software Inc. (a)	25,700		350,291
Rudolph Technologies Inc. (a)	19,500		279,435
Sapient Corp. (a)	111,200		881,816
SCO Group Inc. (a)	66,800		255,844
Semtech Corp. (a)	24,500		407,925
Sigmatel Inc. (a)	9,500		163,020
Spatialight Inc. (a)	77,800		441,126
SupportSoft Inc. (a)	38,000		197,220
SYNNEX Corp. (a)	28,600		500,786
TNS Inc. (a)	23,800		556,206
TranSwitch Corp. (a)	163,300		334,765
United Online Inc.	81,500		885,090
Veeco Instruments Inc. (a)	65,200		1,061,456
X-Rite Inc.	19,500		224,445

			27,006,650

Telecommunication Services (0.43%)
Arbinet-thexchange Inc. (a)	11,300		75,710
CallWave Inc. (a)	13,300		66,500

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (Cont.)
Telecommunication Services (Cont.)
General Communication Inc. Class A (a)	38,800	$	382,956

			525,166

Utilities (2.01%)
Calpine Corp. (a)	163,800		556,920
CMS Energy Corp. (a)	53,600		807,216
SEMCO Energy Inc. (a)	47,800		286,322
Southwest Gas Corp.	20,400		520,404
Westar Energy Inc.	11,300		271,539

			2,442,401

Total Common Stocks (cost $103,623,141)			114,589,281

Short-term Investments (6.70%)
JPMorgan 100% US Treasury Securities Money Market Fund	4,035,312		4,035,312
JPMorgan Treasury Plus Money Market Fund	4,083,762		4,083,762

Total Short-term Investments (cost $8,119,074)			8,119,074

TOTAL INVESTMENTS (101.22%) (cost $111,742,215)			122,708,355
LIABILITIES, NET OF OTHER ASSETS (-1.22%)			(1,475,877	)

NET ASSETS (100.00%)		$	121,232,478

(a)	Non-income producing security.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (97.69%)

Australia (1.78%)
Amcor Ltd.	18,400	$	93,841
Australia & New Zealand Banking Group Ltd.	6,800		112,581
BHP Billiton Ltd.	3,812		52,666
Brambles Industries Ltd.	6,630		41,232
Foster’s Group Ltd.	32,370		131,085
Insurance Australia Group Ltd.	32,600		149,139
Promina Group Ltd.	23,200		83,178
Rinker Group Ltd.	32,945		351,088
Wesfarmers Ltd.	4,900		149,233
Woolworths Ltd.	14,013		176,107

			1,340,150

Austria (0.64%)
Erste Bank Der Oester Spark	3,400		170,217
Raiffeisen International Bank Holding (a)	700		44,735
Telekom Austria AG	6,414		124,734
Wienerberger AG	3,100		143,944

			483,630

Belgium (0.58%)
Fortis Group	3,600		99,896
SES Globel FDR	13,000		192,716
UCB SA	2,900		141,044

			433,656

Canada (4.46%)
Abitibi Consolidated Inc.	18,500		82,444
Alcan Inc.	13,000		390,255
CAMECO Corp.	6,900		307,774
Great West Lifeco Inc.	4,800		109,109
INCO Ltd.	9,500		358,625
Magna International Inc. Class A	1,500		105,362
Manulife Financial Corp.	2,400		114,613
Methanex Corp.	8,000		131,113
Noranda Inc.	5,093		87,378
Potash Corp. of Saskatchewan	6,800		649,086
Suncor Energy Inc.	4,800		226,915
Telus Corp.	5,700		200,328
Telus Corp.-Non Voting	8,400		286,513
Thomson Corp.	4,200		140,617
Toronto Dominion Bank	3,600		160,548

			3,350,680

Denmark (0.74%)
Novo Nordisk A/S	3,700		188,391
TDC A/S	8,600		368,742

			557,133

Finland (0.58%)
Nokia OYJ	11,400		191,070
Stora Enso OYJ R	8,800	$	112,670
UPM-Kymmene OYJ	7,000		134,436

			438,176

France (11.20%)
Accor SA	7,900		370,648
Air Liquide	2,073		353,468
AXA Co.	5,900		147,581
BNP Paribas	20,600		1,413,479
Bouygues	22,900		949,428
Carrefour SA	2,800		135,876
Essilor International	3,300		225,633
Euronext	4,400		149,037
Groupe Danone	4,600		404,698
L’Oreal	3,700		265,743
Lafarge SA	1,900		173,251
Michelin Class B Registered	2,700		164,514
Renault SA	2,000		176,440
Sanofi-Aventis	24,000		1,972,060
Sanofi-Aventis	1,416		116,523
Schneider Electric SA	7,900		596,078
Societe Generale Class A	2,200		224,035
STMicroelectronics NV	7,800		125,163
Total SA	700		164,593
Vivendi Universal SA	9,000		283,829

			8,412,077

Germany (6.70%)
Allianz AG	4,500		517,176
Bayer AG	9,400		313,848
Bayerische Hypo-Und Vereinsbank (a)	13,500		351,409
Bayerische Motoren Werke AG	3,800		173,504
DaimlerChrysler AG	8,900		361,668
Deutsche Bank AG	2,800		219,265
Deutsche Boerse AG	3,516		275,461
E.On AG	7,900		704,394
Infineon Technologies AG (a)	22,700		212,072
SAP AG	4,100		714,522
SAP AG Sponsored	2,400		103,920
Siemans AG	10,450		763,064
Volkswagen AG	7,000		320,375

			5,030,678

Hong Kong (1.65%)
Bank of East Asia	38,600		113,997
Espirit Holdings Ltd. (b)	10,000		72,385
Espirit Holdings Ltd.	12,600		91,204
Hang Lung Group Ltd.	58,000		102,998
Hang Lung Properties Ltd.	75,000		110,507
Hong Kong & China Gas	72,000		146,391
Li & Fung Ltd.	124,000		257,702

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Shares	Value
Common Stocks (Cont.)

Hong Kong (Cont.)
PCCW Ltd.	157,000	$	97,986
Shangri-La Asia Ltd.	1,230		1,899
Sun Hung Kai Properties	11,000		108,641
Swire Pacific Ltd. Class A	15,000		132,705

			1,236,415

Ireland (0.38%)
CRH PLC	8,600		226,462
CRH PLC (Special Placement)	2,325		61,224

			287,686

Italy (0.59%)
ENI SpA	11,800		304,302
Unicredito Italiano SpA	26,500		140,061

			444,363

Japan (25.24%)
Advantest Corp.	5,900		435,678
Aeon Co. Ltd.	30,000		457,398
Aiful Corp.	2,107		157,108
Astellas Pharma Inc.	8,800		300,712
Bridgestone Corp.	5,000		96,249
Canon Inc.	5,900		310,666
Daito Trust Construction Co. Ltd.	4,000		149,671
East Japan Railway Co.	22		113,065
Fanuc Ltd.	7,700		489,451
Furukawa Electric Co. Ltd. (a)	15,000		58,155
Hirose Electric Co. Ltd.	2,800		308,250
Hoya Corp.	1,700		196,195
Japan Airlines Corp.	38,000		102,443
Kansai Electric Power	13,200		265,404
KAO Corp.	6,000		141,466
Keyence Corp.	600		134,487
Millea Holdings Inc.	42		564,241
Mitsubishi Corp.	33,700		458,206
Mitsubishi Estate Co. Ltd.	70,000		770,625
Mitsubishi Heavy Industries Ltd.	37,000		96,745
Mitsubishi Tokyo Financial	58		492,093
Mitsui & Co. Ltd.	16,000		151,474
Mitsui Fudosan Co. Ltd.	10,000		112,253
Mitsui Sumitomo Insurance Co.	27,830		250,673
Mizuho Financial Group Inc.	62		280,624
Murata Manufacturing Co. Ltd.	2,700		137,544
NEC Corp.	26,000		140,655
Nidec Corp.	1,600		169,363
Nikon Corp.	15,000		169,868
Nintendo Co. Ltd.	2,100		219,638
Nippon Electric Glass Co. Ltd.	11,000		166,225
Nissan Motor Co. Ltd.	53,000		524,696
Nitto Denko Corp.	3,600		206,438
NTT Corp.	130		556,758
Omron Corp.	6,000		132,269
Orix Corp.	4,600	$	690,145
Ricoh Co. Ltd.	15,000		234,379
Rohm Co. Ltd.	2,900		279,776
Sankyo Co. Ltd.	18,600		357,209
Secom Co. Ltd.	3,500		150,527
Sekisui House Ltd.	26,000		262,790
Shimamura Co. Ltd.	1,200		101,271
Shin-Etsu Chemical Co. Ltd.	4,000		151,835
Shionogi & Co. Ltd.	10,000		129,024
SMC Corp.	4,600		501,848
Softbank Corp.	11,500		451,041
Sompo Japan Insurance Inc.	16,000		161,572
Sony Corp.	5,100		175,656
Sumitomo Chemical Co. Ltd.	14,000		64,377
Sumitomo Corp.	52,000		416,806
Sumitomo Mitsui Financial Group Inc.	233		1,575,602
Suzuki Motor Corp.	34,000		534,325
T&D Holdings Inc.	3,050		143,549
Takeda Pharmaceutical Co. Ltd.	8,300		411,595
TDK Corp.	1,800		122,694
Tokyo Electron Ltd.	8,500		449,869
Tokyo Gas Co. Ltd.	45,000		168,380
Toyota Motor Corp.	2,900		103,805
Trend Micro Inc.	2,000		71,229
UFJ Holdings Inc. (a)	189		984,961
UNI Charm Corp.	3,100		124,660
Yahoo! Japan Corp.	64		134,451
Yamada Denki Co. Ltd.	4,900		281,868
Yamato Transport Co. Ltd.	29,000		402,669

			18,954,699

Netherlands (9.47%)
ABN AMRO Holdings NV	41,204		1,014,713
Aegon NV	43,172		559,540
ASML Holding NV (a)	9,100		143,381
Heineken NV	27,962		864,228
ING Groep NV	21,426		605,953
Koninklijke KPN NV	116,600		979,258
Koninklijke Numico NV (a)	3,500		140,111
Reed Elsevier NV	13,700		190,991
Royal Dutch Petroleum Co.	3,600		233,640
Royal Dutch Petroleum Co.	28,200		1,842,816
TNT Post Group	8,300		210,427
Unilever NV CVA	1,200		77,909
VNU NV	8,801		245,708

			7,108,675

Norway (0.34%)
DNB NOR ASA	17,200		179,652
Norske Skogindustrier Class ASA	4,400		72,556

			252,208

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Shares		Value
Common Stocks (Cont.)
Portugal (0.16%)
Portugal Telecom SGPS SA		12,700	$	120,492

Singapore (1.13%)
DBS Group Holdings Ltd.		17,000		144,200
Singapore Telecommunications (b)		428,000		703,242

				847,442

Spain (5.43%)
Altadis SA		4,200		176,215
Banco Bilbao Vizcaya Argenta		54,500		841,563
Banco Santander Central Hispano SA		54,600		633,651
Iberdrola SA		9,500		250,852
Inditex		13,300		342,501
Repsol YPF SA		32,000		819,417
Telefonica SA		62,058		1,016,844

				4,081,043

Sweden (1.38%)
Atlas Copco AB Class A		12,600		200,004
Ericsson LM Class B		189,000		607,270
Ericsson LM Class B ADR		4,100		130,995
Svenska Cellulosa AB Class B		3,100		99,208

				1,037,477

Switzerland (9.68%)
Adecco SA		2,880		131,246
Credit Suisse Group		9,891		390,160
Geberit AG Reg		206		131,814
Givaudan		230		133,800
Holcim Ltd.		14,546		885,359
Nestle SA		3,769		964,676
Novartis AG		28,770		1,370,588
Richemont AG INHA Units		25,057		843,737
Roche Holding AG		4,518		571,845
Serono SA Class B		146		93,308
Swiss Reinsurance		9,870		606,911
Swisscom AG		1,264		412,292
Syngenta AG (a)		1,210		124,541
Synthes Inc.		1,340		147,123
UBS AG		5,926		462,427

				7,269,827

United Kingdom (15.40%)
ARM Holdings PLC		35,400		71,830
AstraZeneca PLC		32,300		1,341,724
BHP Billiton PLC		12,810		163,416
Bradford and Bingley		24,500		143,762
Brambles Industries PLC		18,000		98,687

	Shares or principal amount		Value
British Land Co. PLC		9,000	$	141,258
Centrica PLC		25,560		106,132
Diageo PLC		21,500		317,032
Hanson PLC		12,600		121,117
HBOS PLC		62,900		969,766
HSBC Holdings PLC		27,200		433,735
Lloyds TSB Group PLC		30,800		261,022
National Grid Transco PLC		11,800		114,379
Next PLC		5,400		145,999
Pearson PLC		40,000		471,217
Reckitt Benckiser PLC		4,700		138,525
Reed Elsevier PLC		50,600		484,578
Rolls Royce Group (a)		25,600		131,754
Royal Bank of Scotland Group (b)		6,700		202,394
Royal Bank of Scotland Group		35,900		1,084,469
Scottish & Southern Energy PLC		11,700		212,354
Shell Transport & Trading Co. PLC		20,200		196,434
Standard Chartered PLC		25,100		458,711
Tesco PLC		26,000		148,487
Unilever PLC		69,600		671,522
Vodafone Group PLC		999,000		2,434,275
Wolseley PLC		8,800		185,104
Xstrata PLC		16,250		313,570

				11,563,253

United States (0.16%)
News Corp. Inc. CDI		7,329		119,052

Total Common Stocks (cost $64,667,040)				73,368,812

Foreign Corporate Bonds (0.10%)
United Kingdom (0.10%)
Credit Suisse GP Finance CV
6.000%, 12/23/2005	$	68,000	$	72,882

Total Foreign Corporate Bonds (cost $49,219)				72,882

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Repurchase Agreement (2.09%)
IBT Repurchase Agreement, 2.01%, to be repurchased at $1,573,581 on 07/01/2005 (c)	$	1,573,493		1,573,493

Total Repurchase Agreement (cost $1,573,493)				1,573,493

TOTAL INVESTMENTS (99.88%) (cost $66,289,752)				75,015,187
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.12%)				90,521

NET ASSETS (100.00%)			$	75,105,708

(a)	Non-income producing security.

(b)	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, the value of these securities amounted to $978,021 or 1.30% of net assets.

(c)	Repurchase agreement is fully collateralized by U.S. Treasury or Government Agency Securities with a market value of $1,652,168 as of June 30, 2005.

Approximately 35.33% of the investment securities are denominated in the Euro, followed by 25.27% in the Japanese Yen, 13.62% in the British Pound, 9.79% in the Swiss Franc, 3.99% in the Canadian Dollar, 3.20% in the United States Dollar and 3.00% Swedish Krone. The remaining investment securities representing 5.80% of total investments are denominated in five currencies, each of which represents less than 1.94% of total investments.

ADR - American Depository Receipt

FDR - Fiduciary Depository Receipt

INTERNATIONAL FUND SECTOR CLASSIFICATIONS


Industry	Value		%
Financials	$	20,499,457	27.30	%
Telecommunication Services		8,250,893	10.99
Consumer Discretionary		7,956,845	10.59
Health Care		7,366,778	9.81
Information Technology		6,394,633	8.51
Materials		6,215,843	8.28
Industrials		5,592,222	7.44
Consumer Staples		5,335,739	7.10
Energy		3,788,116	5.05
Utilities		1,968,286	2.62

Total Stocks		73,368,812	97.69
Foreign Corporate Bonds		72,882	0.10
Repurchase Agreement		1,573,493	2.09
Cash and Other Assets, Net of Liabilities		90,521	0.12

Net Assets	$	75,105,708	100.00	%

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Shares	Value
Registered Investment Companies (99.81%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (39.48%) (a)	6,385,263	$	68,003,049
State Farm Mutual Fund Trust Equity Fund Institutional Shares (60.33%) (a)	12,461,693		103,930,521

Total Registered Investment Companies (cost $163,954,696)			171,933,570

TOTAL INVESTMENTS (99.81%) (cost $163,954,696)			171,933,570
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.19%)			326,621

NET ASSETS (100.00%)		$	172,260,191

(a)	The Equity and Bond Fund’s Investment Adviser is an affiliate of the issuer.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Principal amount		Value
Corporate Bonds (39.48%)
Aerospace/Defense (0.36%)
General Dynamics Corp.
4.250%, 05/15/2013	$	1,000,000	$	988,615

Agriculture, Foods, & Beverage (2.79%)
Coca-Cola Enterprises Inc.
2.500%, 09/15/2006		1,000,000		979,625
Bottling Group LLC
2.450%, 10/16/2006		500,000		490,739
General Mills Inc.
2.625%, 10/24/2006		500,000		489,887
Kellogg Co.
2.875%, 06/01/2008		500,000		481,691
Sara Lee Corp.
2.750%, 06/15/2008		1,000,000		957,199
Kraft Foods Inc.
4.125%, 11/12/2009		1,000,000		991,514
ConAgra Inc.
7.875%, 09/15/2010		500,000		575,349
Kellogg Co.
6.600%, 04/01/2011		500,000		554,116
General Mills Inc.
6.000%, 02/15/2012		500,000		543,583
Bottling Group LLC
4.625%, 11/15/2012		500,000		507,516
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		509,480
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		510,978

				7,591,677

Automotive (2.49%)
Daimler Chrysler North America
6.400%, 05/15/2006		500,000		509,763
General Motors Acceptance Corp.
6.125%, 02/01/2007		1,000,000		993,144
6.150%, 04/05/2007		500,000		497,399
Ford Motor Credit Co.
4.950%, 01/15/2008		1,000,000		953,921
Toyota Motor Credit Corp.
2.875%, 08/01/2008		1,000,000		966,221
Ford Motor Credit Co.
5.625%, 10/01/2008		500,000		476,489
Goodyear Tire & Rubber Co.
7.857%, 08/15/2011		500,000		486,250
General Motors Acceptance Corp.
6.875%, 09/15/2011		500,000		461,544
General Motors Corp.
7.125%, 07/15/2013		500,000		447,500
Daimler Chrysler North America
6.500%, 11/15/2013		500,000		541,104
Ford Motor Co.
7.450%, 07/16/2031	$	500,000	$	417,408

				6,750,743

Banks (2.19%)
Wells Fargo & Co.
7.250%, 08/24/2005		500,000		502,476
JPMorgan Chase & Co.
3.625%, 05/01/2008		500,000		492,278
Bank One Corp.
2.625%, 06/30/2008		1,000,000		956,536
Bank of America Corp.
3.250%, 08/15/2008		1,000,000		975,815
Wells Fargo & Co.
4.200%, 01/15/2010		1,000,000		999,473
Bank of America Corp.
4.250%, 10/01/2010		1,000,000		998,167
US Bank NA
4.950%, 10/30/2014		500,000		513,870
Fifth Third Bank
4.750%, 02/01/2015		500,000		503,934

				5,942,549

Building Materials & Construction (1.13%)
Masco Corp.
6.750%, 03/15/2006		500,000		509,028
Hanson Australia Funding
5.250%, 03/15/2013		500,000		512,869
Leggett & Platt Inc.
4.700%, 04/01/2013		500,000		504,564
CRH America Inc.
5.300%, 10/15/2013		1,000,000		1,035,120
Masco Corp.
4.800%, 06/15/2015		500,000		496,857

				3,058,438

Chemicals (1.21%)
Air Products & Chemicals Inc.
4.125%, 12/01/2010		1,000,000		994,139
E.I. du Pont de Nemours and Co.
4.125%, 03/06/2013		500,000		494,134
4.875%, 04/30/2014		500,000		517,171
PPG Industries Inc.
7.400%, 08/15/2019		500,000		626,434
The Dow Chemical Co.
7.375%, 11/01/2029		500,000		645,760

				3,277,638

Commercial Service/Supply (1.11%)
RR Donnelley & Sons Co. (a)
4.950%, 05/15/2010		500,000		502,336

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Corporate Bonds (Cont.)
Commercial Service/Supply (Cont.)
First Data Corp.
4.500%, 06/15/2010	$	500,000	$	504,532
Pitney Bowes Inc.
4.625%, 10/01/2012		500,000		507,008
RR Donnelley & Sons Co.
4.950%, 04/01/2014		1,000,000		977,745
Pitney Bowes Inc.
4.875%, 08/15/2014		500,000		511,984

				3,003,605

Computers (0.18%)
International Business Machines Corp.
4.250%, 09/15/2009		500,000		502,454

Consumer & Marketing (2.09%)
The Gillette Co.
2.500%, 06/01/2008		500,000		480,584
The Procter & Gamble Co.
3.500%, 12/15/2008		500,000		492,467
Clorox Co.
4.200%, 01/15/2010		500,000		500,809
Newell Rubbermaid Inc.
4.000%, 05/01/2010		500,000		484,616
Reed Elsevier Capital
4.625%, 06/15/2012		500,000		497,694
Avery Dennison Corp.
4.875%, 01/15/2013		500,000		511,006
The Procter & Gamble Co.
4.950%, 08/15/2014		1,000,000		1,042,293
Clorox Co.
5.000%, 01/15/2015		500,000		518,008
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,147,590

				5,675,067

Electronic/Electrical Mfg. (0.70%)
Raytheon Co.
6.550%, 03/15/2010		500,000		541,378
Emerson Electric Co.
7.125%, 08/15/2010		315,000		356,869
General Electric Co.
5.000%, 02/01/2013		500,000		516,255
Emerson Electric Co.
4.500%, 05/01/2013		500,000		500,396

				1,914,898

Financial Services (2.04%)
General Electric Capital Corp.
6.800%, 11/01/2005		500,000		505,008
Caterpillar Financial Services Corp.
5.950%, 05/01/2006		500,000		508,193
2.700%, 07/15/2008		500,000		477,974
4.500%, 06/15/2009	$	500,000	$	504,585
Household Finance Corp.
4.125%, 11/16/2009		1,000,000		989,191
Citigroup Inc.
4.125%, 02/22/2010		1,000,000		996,450
5.125%, 05/05/2014		500,000		521,623
Goldman Sachs Group Inc.
5.500%, 11/15/2014		500,000		522,502
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		512,815

				5,538,341

Forest Products & Paper (0.83%)
International Paper Co.
6.750%, 09/01/2011		500,000		545,023
MeadWestvaco Corp.
6.850%, 04/01/2012		500,000		561,156
International Paper Co.
5.250%, 04/01/2016		500,000		496,316
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		648,337

				2,250,832

Health Care (4.85%)
Abbott Laboratories
6.400%, 12/01/2006		500,000		516,548
Bristol-Myers Squibb Co.
4.000%, 08/15/2008		1,000,000		996,490
Abbott Laboratories
3.500%, 02/17/2009		500,000		490,078
Hillenbrand Industries
4.500%, 06/15/2009		1,000,000		1,000,749
Amgen Inc.
4.000%, 11/18/2009		500,000		496,225
Merck & Co. Inc.
4.375%, 02/15/2013		500,000		498,227
Wyeth
5.500%, 03/15/2013		500,000		526,225
Becton Dickinson & Co.
4.550%, 04/15/2013		500,000		502,543
Johnson & Johnson
3.800%, 05/15/2013		1,000,000		972,614
Schering-Plough Corp.
5.550%, 12/01/2013		1,000,000		1,060,251
Pfizer Inc.
4.500%, 02/15/2014		1,000,000		1,007,060
GlaxoSmithKline
4.375%, 04/15/2014		1,000,000		994,541
AstraZeneca PLC SP
5.400%, 06/01/2014		1,000,000		1,066,586
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		1,049,742

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Corporate Bonds (Cont.)
Health Care (Cont.)
Amgen Inc.
4.850%, 11/18/2014	$	500,000	$	513,614
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		504,462
Baxter International Inc.
4.625%, 03/15/2015		1,000,000		991,848

				13,187,803

Machinery & Manufacturing (2.20%)
United Technologies Corp.
4.375%, 05/01/2010		500,000		504,624
Deere & Co.
7.850%, 05/15/2010		500,000		577,038
Bemis Co. Inc. (a)
4.875%, 04/01/2012		500,000		510,815
Goodrich Corp.
7.625%, 12/15/2012		500,000		587,000
Parker Hannifin Corp.
4.875%, 02/15/2013		500,000		516,978
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		752,713
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		1,022,921
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		1,009,383
Thermo Electron Corp. (a)
5.000%, 06/01/2015		500,000		503,467

				5,984,939

Media & Broadcasting (1.14%)
The Walt Disney Co.
5.500%, 12/29/2006		500,000		508,009
Knight-Ridder Inc.
9.875%, 04/15/2009		500,000		591,682
New York Times Co.
4.500%, 03/15/2010		500,000		504,765
Knight-Ridder Inc.
4.625%, 11/01/2014		1,000,000		968,649
New York Times Co.
5.000%, 03/15/2015		500,000		517,444

				3,090,549

Mining & Metals (1.59%)
Rio Tinto Finance USA Ltd.
2.625%, 09/30/2008		1,000,000		952,285
Alcoa Inc.
7.375%, 08/01/2010		500,000		568,771
6.500%, 06/01/2011		250,000		276,790
BHP Billiton Finance
4.800%, 04/15/2013		500,000		507,419
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		998,812
Alcan Inc.
5.000%, 06/01/2015	$	1,000,000	$	1,004,607

				4,308,684

Oil & Gas (1.15%)
BP Capital Markets PLC
2.625%, 03/15/2007		1,000,000		981,074
Chevron Corp.
3.500%, 09/17/2007		500,000		495,155
Phillips Petroleum Co.
8.750%, 05/25/2010		500,000		595,623
Marathon Oil Corp.
6.125%, 03/15/2012		500,000		544,204
National Fuel Gas Co.
5.250%, 03/01/2013		500,000		513,904

				3,129,960

Retailers (2.96%)
Safeway Inc.
4.125%, 11/01/2008		1,000,000		985,605
May Department Stores Co.
4.800%, 07/15/2009		1,000,000		1,010,875
CVS Corp.
4.000%, 09/15/2009		1,000,000		990,822
Home Depot Inc.
3.750%, 09/15/2009		1,000,000		988,876
Wal-Mart Stores Inc.
4.125%, 07/01/2010		1,000,000		997,013
Safeway Inc.
4.950%, 08/16/2010		500,000		502,859
Albertson’s Inc.
7.500%, 02/15/2011		500,000		563,167
Wal-Mart Stores Inc.
4.550%, 05/01/2013		1,000,000		1,009,413
McDonald’s Corp.
4.125%, 06/01/2013		1,000,000		985,784

				8,034,414

Telecom & Telecom Equipment (1.98%)
Cingular Wireless
5.625%, 12/15/2006		500,000		508,314
GTE North Inc.
5.650%, 11/15/2008		500,000		515,474
Vodafone Group PLC
7.750%, 02/15/2010		500,000		570,893
Deutsche Telekom International Financial
8.500%, 06/15/2010		500,000		579,467
Telstra Corp. Ltd.
6.375%, 04/01/2012		500,000		552,571
Alltel Corp.
7.000%, 07/01/2012		500,000		570,233

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Corporate Bonds (Cont.)
Telecom & Telecom Equipment (Cont.)
BellSouth Corp.
5.200%, 09/15/2014	$	1,000,000	$	1,030,575
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		1,054,390

				5,381,917

Utilities & Energy (6.49%)
Dominion Resources Inc.
7.625%, 07/15/2005		500,000		500,450
Duke Energy Field Services
7.500%, 08/16/2005		500,000		501,965
Alabama Power Co.
7.125%, 10/01/2007		300,000		319,077
3.125%, 05/01/2008		500,000		486,762
Pacificorp
4.300%, 09/15/2008		1,000,000		1,003,854
Duke Energy Corp.
4.500%, 04/01/2010		500,000		504,385
Progress Energy Florida
4.500%, 06/01/2010		500,000		503,217
Commonwealth Edison
4.740%, 08/15/2010		500,000		509,926
Puget Sound Energy Inc.
7.690%, 02/01/2011		500,000		576,440
Reliant Energy
7.750%, 02/15/2011		500,000		573,800
Oncor Electric Delivery
6.375%, 05/01/2012		500,000		547,914
Tampa Electric Co.
6.875%, 06/15/2012		500,000		565,530
Northern States Power Co.
8.000%, 08/28/2012		500,000		607,848
Southern California Gas
4.800%, 10/01/2012		500,000		510,879
Georgia Power
5.125%, 11/15/2012		200,000		207,821
MidAmerican Energy Co.
5.125%, 01/15/2013		1,000,000		1,033,448
Florida Power Corp.
4.800%, 03/01/2013		500,000		507,198
Peoples Gas Lt.
4.625%, 05/01/2013		500,000		504,749
Wisconsin Electric Power
4.500%, 05/15/2013		1,000,000		998,377
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		516,020
PSI Energy
5.000%, 09/15/2013		1,000,000		1,023,960
Boston Edison
4.875%, 04/15/2014		1,000,000		1,025,852
Union Elec Co.
5.500%, 05/15/2014		500,000		534,509
Atmos Energy Corp.
4.950%, 10/15/2014	$	1,000,000	$	998,159
Union Elec Co.
4.750%, 04/01/2015		500,000		506,035
Commonwealth Edison
4.700%, 04/15/2015		500,000		502,147
Southwestern Electric Power
5.375%, 04/15/2015		500,000		518,468
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		516,708
Southern California Gas
5.450%, 04/15/2018		500,000		532,503

				17,638,001

Total Corporate Bonds (cost $104,715,054)				107,251,124

Taxable Municipal Bonds (0.71%)
Illinois State
3.850%, 06/01/2013		1,000,000		961,000
New Jersey State Turnpike Authority Transportation
2.840%, 01/01/2008		1,000,000		971,880

Total Taxable Municipal Bonds (cost $1,998,360)				1,932,880

Foreign Government Bonds (0.19%)
Province of Ontario
5.500%, 10/01/2008		500,000		524,504

Total Foreign Government Bonds (cost $481,894)				524,504

Government Agency Securities (34.73%) (b)
Agency Notes & Bonds (7.19%)
Federal Home Loan Mortgage Corp.
7.000%, 07/15/2005		1,000,000		1,001,327
2.875%, 09/15/2005		1,000,000		998,726
6.625%, 09/15/2009		1,000,000		1,100,971
4.500%, 07/15/2013		1,500,000		1,532,209
5.200%, 03/05/2019		2,000,000		2,030,504
5.300%, 05/12/2020		3,000,000		3,056,859
Federal National Mortgage Association
2.875%, 10/15/2005		1,000,000		998,238
5.500%, 02/15/2006		500,000		505,415
6.625%, 10/15/2007		500,000		530,160
3.250%, 01/15/2008		3,000,000		2,958,714
3.250%, 08/15/2008		1,500,000		1,472,091
6.625%, 11/15/2010		1,000,000		1,123,329

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Government Agency Securities (Cont.)
Agency Notes & Bonds (Cont.)
4.375%, 09/15/2012	$	1,500,000	$	1,531,951
7.125%, 01/15/2030		500,000		683,618

				19,524,112

Mortgage-Backed Securities (27.54%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018		816,725		826,550
5.000%, 09/01/2018		772,179		781,980
5.000%, 09/01/2018		727,118		735,865
5.500%, 11/01/2018		751,759		771,997
4.500%, 11/01/2018		1,616,528		1,610,522
5.000%, 01/01/2019		799,793		809,199
5.000%, 04/01/2019		845,069		855,008
4.500%, 05/01/2019		872,920		869,792
4.000%, 05/01/2019		890,837		871,456
5.500%, 06/01/2019		1,302,829		1,337,962
5.000%, 01/01/2020		965,931		977,292
5.500%, 04/01/2020		988,879		1,015,418
6.000%, 11/01/2028		112,770		115,975
6.500%, 06/01/2029		195,838		203,415
7.500%, 12/01/2030		20,116		21,539
7.000%, 07/01/2031		20,831		21,934
6.500%, 09/01/2031		38,020		39,442
6.000%, 11/01/2032		508,335		521,752
6.000%, 12/01/2032		249,661		256,251
5.500%, 05/01/2033		2,466,177		2,502,829
5.500%, 07/01/2033		1,542,016		1,564,933
5.000%, 08/01/2033		1,686,361		1,689,049
5.500%, 03/01/2034		1,117,051		1,133,388
5.000%, 04/01/2034		1,392,154		1,393,918
6.000%, 07/01/2034		2,279,267		2,338,646
5.000%, 05/01/2035		1,995,197		1,997,731
5.500%, 05/01/2035		1,956,497		1,985,056
Federal National Mortgage Association
6.000%, 09/01/2013		410,733		425,031
5.500%, 12/01/2016		199,273		204,713
5.500%, 01/01/2017		103,281		106,100
5.500%, 01/01/2017		750,258		770,740
6.500%, 01/01/2017		105,231		109,588
5.500%, 02/01/2017		669,426		687,701
5.000%, 03/01/2017		791,871		801,676
6.000%, 04/01/2017		124,173		128,431
5.500%, 01/01/2018		496,236		509,751
5.000%, 02/01/2018		860,720		871,378
5.000%, 05/01/2018		656,802		664,703
5.000%, 05/01/2018		1,261,125		1,276,242
5.000%, 05/01/2018		1,270,673		1,285,904
4.500%, 05/01/2018		1,520,629		1,514,808
4.500%, 05/01/2018		1,530,797		1,524,937
4.500%, 03/01/2019		868,344		865,233
5.500%, 10/01/2019		1,799,704		1,848,651
5.000%, 11/01/2019		1,844,078		1,865,720
4.500%, 12/01/2019	$	947,932	$	944,359
7.500%, 09/01/2029		145,903		155,984
8.000%, 03/01/2030		17,685		19,020
6.500%, 05/01/2030		167,725		174,185
7.000%, 08/01/2030		21,371		22,543
7.000%, 08/01/2031		39,737		41,915
6.500%, 08/01/2031		50,399		52,278
6.500%, 10/01/2031		115,762		120,078
6.000%, 11/01/2031		150,550		154,541
7.000%, 01/01/2032		144,755		152,686
6.000%, 03/01/2032		169,813		174,316
6.500%, 03/01/2032		64,696		67,108
6.500%, 04/01/2032		485,121		502,897
7.000%, 04/01/2032		159,354		168,094
6.500%, 05/01/2032		1,046,445		1,092,561
6.000%, 05/01/2032		119,005		122,085
6.500%, 06/01/2032		137,151		142,177
7.000%, 06/01/2032		266,603		281,225
7.000%, 06/01/2032		232,643		245,402
6.500%, 07/01/2032		362,676		375,965
6.000%, 08/01/2032		472,218		484,439
6.500%, 10/01/2032		702,836		728,589
5.500%, 10/01/2032		1,640,065		1,664,476
6.000%, 11/01/2032		657,953		674,980
6.000%, 01/01/2033		423,045		433,993
5.500%, 03/01/2033		567,948		576,238
5.500%, 03/01/2033		1,353,929		1,373,692
6.000%, 04/01/2033		1,083,134		1,110,868
5.000%, 05/01/2033		807,775		808,908
5.000%, 05/01/2033		1,220,391		1,222,103
5.000%, 08/01/2033		1,558,709		1,560,895
5.500%, 10/01/2033		1,335,106		1,354,595
5.000%, 03/01/2034		2,531,057		2,534,608
5.500%, 05/01/2034		1,760,016		1,785,123
6.000%, 07/01/2034		1,194,414		1,224,957
5.500%, 12/01/2034		2,419,914		2,454,435
5.500%, 04/01/2035		1,993,227		2,021,699
Government National Mortgage Association
6.000%, 05/15/2017		312,929		324,983
6.500%, 06/15/2028		204,984		214,620
6.000%, 11/15/2028		210,684		217,803
6.500%, 03/15/2029		228,538		239,066
7.000%, 06/15/2029		139,726		148,055
7.500%, 08/20/2030		61,540		65,654
6.500%, 11/15/2031		13,438		14,051
6.000%, 01/15/2032		126,221		130,336
5.500%, 10/15/2033		1,358,721		1,389,096
5.000%, 11/20/2033		1,637,769		1,647,683

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Principal amount		Value
Government Agency Securities(Cont.)
Mortgage-Backed Securities(Cont.)
6.000%, 12/20/2033	$	660,217	$	680,064

				74,805,634

Total Government Agency Securities (cost $93,606,703)				94,329,746

U.S. Treasury Obligations (21.95%)
U.S. Treasury Bonds
7.250%, 05/15/2016		3,000,000		3,841,524
7.500%, 11/15/2016		1,500,000		1,965,996
8.125%, 08/15/2019		750,000		1,062,773
6.250%, 08/15/2023		1,000,000		1,246,211
6.875%, 08/15/2025		1,000,000		1,346,094
U.S. Treasury Notes
4.625%, 05/15/2006		3,000,000		3,028,125
6.500%, 10/15/2006		3,000,000		3,108,867
4.375%, 05/15/2007		3,000,000		3,039,960
6.125%, 08/15/2007		1,750,000		1,837,909
3.000%, 11/15/2007		2,000,000		1,970,938
5.500%, 02/15/2008		2,000,000		2,092,578
5.625%, 05/15/2008		3,000,000		3,158,202
4.750%, 11/15/2008		3,000,000		3,099,375
6.000%, 08/15/2009		4,600,000		4,998,006
6.500%, 02/15/2010		2,000,000		2,231,954
5.750%, 08/15/2010		4,000,000		4,371,720
5.000%, 08/15/2011		4,000,000		4,264,532
4.375%, 08/15/2012		4,000,000		4,148,436
4.000%, 11/15/2012		1,500,000		1,516,817
4.250%, 08/15/2013		4,000,000		4,100,000
4.750%, 05/15/2014		3,000,000		3,183,282

Total U.S. Treasury Obligations (cost $58,538,980)				59,613,299


	Shares		Value
Short-term Investments (2.26%)
JPMorgan Treasury Plus Money Market Fund		6,131,387		6,131,387

Total Short-term Investments (cost $6,131,387)				6,131,387

TOTAL INVESTMENTS (99.32%) (cost $265,472,378)				269,782,940
OTHER ASSETS, NET OF LIABILITIES (0.68%)				1,850,390

NET ASSETS (100.00%)			$	271,633,330

(a)	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, the value of these securities amounted to $1,516,618 or 0.56% of net assets.

(b)	The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Coupon rate		Maturity date	Rating (Moody's or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (95.84%)
California (9.12%)
Department of Water and Power of the City of Los Angeles, California, Power System Revenue Bonds, 2001 Series A, Subseries A-1	5.250	%	07/01/2015	Aa3	$	1,500,000	$	1,645,740
State of California, Economic Recovery Bonds, Series A	5.000	%	07/01/2017	Aa3		900,000		965,304
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2017	Aaa		1,395,000		1,532,952
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2018	Aaa		1,500,000		1,642,770
State of California, General Obligation Bonds	5.250	%	02/01/2019	A3		2,200,000		2,402,026
State of California, Various Purpose General Obligation Bonds	5.000	%	02/01/2019	A3		650,000		691,457
Metropolitan Water District of Southern California, Water Revenue Refunding Bonds, 1996 Series B	4.750	%	07/01/2021	Aaa		230,000		232,473
Metropolitan Water District Southern of California, Water Revenue Refunding Bonds, 1996 Series B (Prerefunded to 07-01-2006 @ 100) (b)	4.750	%	07/01/2021	Aaa		155,000		158,405
State of California, Various Purpose General Obligation Bonds	5.000	%	11/01/2022	A3		600,000		638,142

								9,909,269

Colorado (1.81%)
Adams County, School District, Number 12, Colorado, General Obligation Bonds, Series 2001A (Prerefunded to 12-15-2007 @ 101) (b)	5.400	%	12/15/2014	Aaa		440,000		472,001
Arapahoe County Water & Wastewater Public Improvement District (In Arapahoe County, Colorado) General Obligation Project Bonds, Series 2002A	5.750	%	12/01/2018	Aaa		1,320,000		1,498,345

								1,970,346

Connecticut (2.02%)
Town of New Canaan, Connecticut	4.500	%	04/01/2020	Aaa		1,500,000		1,528,095
Town of Clinton, Connecticut, General Obligation Bonds (Prerefunded to 01-15-2012 @100) (b)	5.000	%	01/15/2021	Aaa		600,000		662,400

								2,190,495

Delaware (1.63%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005	5.000	%	01/01/2021	Aaa		1,625,000		1,775,020

Georgia (3.04%)
Dekalb County, Georgia, Water & Sewage Revenue Bonds, Series 2000	5.500	%	10/01/2014	Aa2		2,000,000		2,223,680
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005	5.000	%	07/01/2023	Aaa		1,000,000		1,082,510

								3,306,190

Idaho (1.49%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties, Idaho General Obligation School Bonds, Series 2002	5.125	%	07/30/2019	Aaa		500,000		547,190
Nampa School District Number 131, Canyon County, Idaho, General Obligation School Bonds, Series 2003	4.875	%	08/15/2020	A		1,000,000		1,072,210

								1,619,400

Illinois (1.03%)
State of Illinois, General Obligation Bonds, First Series of December 2000	5.750	%	12/01/2017	Aaa		1,000,000		1,120,300

Indiana (1.39%)
Highland School Building Corporation, Lake County, Indiana, First Mortgage Refunding Bonds, Series 2003	5.000	%	01/10/2020	Aaa		1,410,000		1,511,816

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Coupon rate		Maturity date	Rating (Moody's or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Iowa (0.48%)
Des Moines, Iowa Urban Renewal Series D	5.000	%	06/01/2022	Aa2	$	500,000	$	525,220

Kansas (7.59%)
State of Kansas, Department of Transportation, Highway Revenue Bonds, Series 2000A (Prerefunded to 09-01-2010 @ 100) (b)	5.750	%	09/01/2013	Aa2		2,300,000		2,595,113
Johnson County, Kansas, Unified School District Number 229, Series A (Prerefunded to 10-01-2008 @ 100) (b)	5.500	%	10/01/2016	AA		2,000,000		2,165,220
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 1999	4.000	%	10/01/2017	Aaa		850,000		856,893
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2019	Aaa		730,000		789,758
Kansas Development Finance Authority, Kansas Water Pollution Control Revolving Fund Revenue Bonds, Series 2001	4.800	%	11/01/2020	Aaa		1,000,000		1,053,360
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2020	Aaa		235,000		253,361
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2021	Aaa		245,000		263,961
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2022	Aaa		250,000		268,237

								8,245,903

Louisiana (1.01%)
State of Louisiana, General Obligation Bonds, Series 2000-A (Prerefunded to 11-15-2010 @100) (b)	5.000	%	11/15/2019	Aaa		1,000,000		1,095,170

Maryland (2.26%)
Baltimore County Maryland, General Obligation Bonds, Consolidated Public Improvement, Series 2002	5.000	%	09/01/2014	Aaa		1,250,000		1,377,663
Washington Suburban Sanitary District, Maryland	5.000	%	06/01/2023	Aaa		1,000,000		1,081,070

								2,458,733

Massachusetts (2.08%)
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2002, Series E (Prerefunded to 01-01-2013 @ 100) (b)	5.500	%	01/01/2015	Aa2		1,000,000		1,129,310
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2003, Series C (Prerefunded to 08-01-2013 @ 100) (b)	5.250	%	08/01/2020	Aa2		1,000,000		1,124,320

								2,253,630

Michigan (4.59%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2000 School Building and Site Bonds (General Obligation - Unlimited Tax)	5.250	%	05/01/2019	Aa2		2,575,000		2,792,150
State of Michigan, General Obligation Bonds, Environmental Protection Program, Series 2000 (Prerefunded to 11-01-2010 @ 100) (b)	5.250	%	11/01/2020	Aa2		1,985,000		2,196,819

								4,988,969

Minnesota (2.55%)
Independent School District Number 181 (Brainerd), Minnesota, General Obligation School Building Bonds, Series 2002A	5.375	%	02/01/2019	Aaa		2,500,000		2,769,800

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)

Mississippi (2.47%)
State of Mississippi, General Obligation Bonds, Capital Improvements Issue, Series 2000 (Prerefunded to 11-01-2010 @ 100) (b)	5.500	%	11/01/2015	AA	$	2,400,000	$	2,685,360

Missouri (6.21%)
The School District of North Kansas City, Missouri, General Obligation School Building Bonds (Missouri Direct Deposit Program) Series 2002	5.000	%	03/01/2016	AA+		1,250,000		1,356,500
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B (Prerefunded to 10-01-2010 @ 100) (b)	5.625	%	07/01/2016	Aaa		1,260,000		1,416,504
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B	5.625	%	07/01/2016	Aaa		1,155,000		1,284,857
Missouri Highways and Transportation Commission, State Road Bonds, Series A 2000	5.000	%	02/01/2017	Aa2		2,500,000		2,682,975

								6,740,836

Montana (0.31%)
State of Montana, General Obligation Bonds, (Drinking Water State Revolving Fund Program), Series 2005F	4.750	%	07/15/2018	Aa3		315,000		337,308

Nebraska (1.60%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and Refunding Bonds, Series 2002	5.000	%	09/01/2015	Aa2		1,595,000		1,738,837

New Hampshire (3.06%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2021	Aaa		1,510,000		1,627,976
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2023	Aaa		1,580,000		1,698,769

								3,326,745

New Jersey (1.51%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F	5.000	%	12/01/2018	Aaa		1,500,000		1,634,025

New York (1.30%)
New York City, Municipal Water Finance Authority, Water and Sewer System Revenue Bonds, Fiscal 2003, Series D	5.000	%	06/15/2016	Aa2		1,300,000		1,409,226

North Carolina (2.02%)
City of Winston-Salem, North Carolina, Water and Sewer System
Revenue and Revenue Refunding Bonds, Series 2001 (Prerefunded to 6-01-2011 @ 101) (b)	5.000	%	06/01/2018	Aa2		1,000,000		1,108,370
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2002B	5.000	%	07/01/2021	Aaa		1,000,000		1,085,150

								2,193,520

Ohio (7.22%)
City of Columbus, Ohio, General Obligation Bonds, Various Purpose Unlimited Tax Bonds, Series 2000-1 (Prerefunded to 11-15-2010 @ 101) (b)	5.500	%	11/15/2014	Aaa		2,400,000		2,707,680
City of Cleveland, Ohio, Waterworks Refunding Revenue Bonds, Series J, 2001	5.375	%	01/01/2016	Aaa		1,000,000		1,109,790
State of Ohio, Full Faith and Credit General Obligation Infrastructure Improvement Bonds, Series 2000 (Prerefunded to 2-01-2010 @ 100) (b)	5.750	%	02/01/2016	Aa1		2,400,000		2,673,312
City of Cincinnati, Ohio, Water System Revenue Bonds, Series 2003	5.000	%	12/01/2020	Aa2		1,270,000		1,352,626

								7,843,408

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)

Oklahoma (1.02%)
State of Oklahoma, General Obligation Bonds, Oklahoma Building Bonds Commission	5.000	%	07/15/2018	Aaa	$	1,000,000	$	1,110,980

Oregon (5.35%)
Newberg School District Number 29J, Yamhill, Clackamas and Washington
Counties, Oregon, General Obligation Bonds, Series 2002 (Prerefunded to 06-15-2012 @ 100) (b)	5.250	%	06/15/2015	Aaa		1,000,000		1,125,360
Eagle Point School District Number 9, Jackson County, Oregon, General Obligation Bonds, Series 2000 (Prerefunded 6-15-2011 @ 100) (b)	5.625	%	06/15/2017	Aa3		1,500,000		1,701,450
Reynolds School District Number 7, Multnomah County, Oregon, General Obligation Bonds, Series 2000 (Prerefunded to 6-15-2011 @ 100) (b)	5.000	%	06/15/2018	Aa3		2,000,000		2,201,300
Emerald People’s Utility District, Lane County, Oregon	5.250	%	11/01/2021	Aaa		705,000		778,348

								5,806,458

Rhode Island (0.97%)
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2004A (Pooled Loan Issue)	4.750	%	10/01/2022	Aaa		1,000,000		1,058,180

Tennessee (5.02%)
Tennessee State School Bonds Authority, Higher Educational Facilities Second Program Bonds, Series A (Prerefunded 5-01-2010 @ 100) (b)	5.400	%	05/01/2013	Aa3		2,440,000		2,699,689
Williamson County, Tennessee, General Obligation Public Improvement Bonds, Series 2000 (ULT) (Prerefunded to 3-01-2010 @ 100) (b)	5.400	%	03/01/2020	Aa1		2,500,000		2,751,800

								5,451,489

Texas (9.96%)
City of Dallas, Texas, (Dallas, Denton, Collin and Rockwall Counties),
Waterworks and Sewer System Revenue Refunding Bonds, Series 2000 (Prerefunded 10-01-2010 @100) (b)	5.500	%	10/01/2013	Aa2		2,400,000		2,683,680
City of San Antonio, Texas, Electric and Gas Systems Revenue Bonds, New Series 2000A (Prerefunded to 2-01-2010 @ 100) (b)	5.750	%	02/01/2015	Aa1		2,400,000		2,667,888
Plano Independent School District, (Collin County, Texas), School Building Unlimited Tax Bonds, Series 2000	5.125	%	02/15/2016	Aaa		2,500,000		2,696,925
Fort Bend Independent School District, (Fort Bend County, Texas), Unlimited Tax School Building Bonds, Series 2000	5.250	%	08/15/2017	AAA		2,550,000		2,775,650

								10,824,143

Utah (1.13%)
West Jordan Utah, General Obligation Bonds Series 2004	5.250	%	04/01/2022	Aaa		680,000		745,790
Payson City, Utah, Water Revenue and Refunding Bonds, Series 2005	5.000	%	10/15/2022	Aaa		440,000		475,561

								1,221,351

Virginia (2.04%)
Virginia Public School Authority, School Financing Bonds, (1997 Resolution) Series 1999A (Prerefunded to 8-01-2009 @ 101) (b)	5.000	%	08/01/2016	Aaa		1,000,000		1,087,730
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997	5.000	%	04/01/2021	Aaa		1,000,000		1,130,930

								2,218,660

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Shares or principal amount		Value
Long-term Municipal Bonds(Cont.)

Wisconsin (2.56%)
State of Wisconsin, General Obligation Bonds of 2000, Series D (Prerefunded to 5-01-2011 @ 100) (b)	5.300	%	05/01/2018	Aa3	$	2,500,000	$	2,779,425

Total Long-term Municipal Bonds (cost $96,963,560)								104,120,212

Short-term Investments (3.01%)
JPMorgan Tax Free Money Market Fund						3,276,598		3,276,598
Total Short-term Investments (cost $3,276,598)								3,276,598

TOTAL INVESTMENTS (98.85%) (cost $100,240,158)								107,396,810
OTHER ASSETS, NET OF LIABILITIES (1.15%)								1,245,901

NET ASSETS (100.00%)							$	108,642,711

(a)	Ratings represent the lower of Moody’s or S&P’s ratings.

(b)	Advanced Refund Bonds are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to ensure the timely payment of principal and interest.

Long-term Municipal Bonds consisted of 40.23% Advanced Refund Bonds, 34.80% General Obligation Bonds, and 24.97% Municipal Revenue Bonds.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


	Principal amount		Value
Short-term Investments (99.44%)
Agriculture, Foods, & Beverage (4.00%)
Coca-Cola
3.290%, 09/16/2005	$	4,000,000	$	3,971,852

Automotive (19.03%)
Toyota Motor Credit Corp.
3.040%, 07/08/2005		4,900,000		4,897,104
American Honda Finance Corp.
3.110%, 08/03/2005		4,200,000		4,188,027
FCAR Owner Trust Series I
3.220%, 08/08/2005		4,900,000		4,883,345
New Center Asset Trust
3.300%, 08/15/2005		4,960,000		4,939,540

				18,908,016

Chemicals (2.91%)
E.I. du Pont de Nemours and Co.
3.220%, 08/09/2005		2,897,000		2,886,894

Consumer & Marketing (4.12%)
The Procter & Gamble Co. (a)
3.020%, 07/22/2005		2,900,000		2,894,891
3.070%, 07/25/2005		1,200,000		1,197,544

				4,092,435

Financial Services (19.61%)
General Electric Capital Corp.
3.090%, 07/20/2005		4,900,000		4,892,009
Citicorp
3.110%, 07/29/2005		4,900,000		4,888,148
ChevronTexaco Funding Corp.
3.150%, 08/26/2005		4,950,000		4,925,745
Household Finance Corp.
3.210% to 3.220%, 08/29/2005		4,800,000		4,774,723

				19,480,625

Government Agency Securities (39.66%) (b)
Federal Home Loan Mortgage Corp.
2.950%, 07/01/2005		4,000,000		4,000,000
Federal National Mortgage Association
2.960%, 07/11/2005		5,000,000		4,995,861
2.970%, 07/13/2005		4,000,000		3,996,040
Federal Home Loan Mortgage Corp.
2.995%, 07/26/2005		5,000,000		4,989,601
3.060%, 08/01/2005		5,000,000		4,986,825
Federal National Mortgage Association
3.090%, 08/10/2005		4,000,000		3,986,267
3.276%, 09/07/2005		1,631,000		1,620,907
3.335%, 09/21/2005		4,900,000		4,862,778
Federal Home Loan Mortgage Corp.
3.300%, 09/27/2005		4,000,000		3,967,733

	Shares or principal amount		Value
Federal National Mortgage Association
3.365%, 09/28/2005	$	2,000,000	$	1,983,362

				39,389,374

Registered Investment Companies (1.36%)
JPMorgan Treasury Plus Money Market Fund		1,353,467		1,353,467

Telecom & Telecom Equipment (8.75%)
BellSouth Corp.
3.050%, 07/15/2005		3,800,000		3,795,493
SBC Communications (a)
3.140%, 07/18/2005		4,900,000		4,892,734

				8,688,227

Total Short-term Investments (cost $98,770,890)				98,770,890

TOTAL INVESTMENTS (99.44%) (cost $98,770,890)				98,770,890
OTHER ASSETS, NET OF LIABILITIES (0.56%)				553,757

NET ASSETS (100.00%)			$	99,324,647

(a)

Securities exempt from registration under Section 4(2) of the Securities Act of 1933. These securities are purchased as part of the normal course of business, valued at amortized cost and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, the value of these securities amounted to $8,985,169 or 9.05% of net assets.

(b)	The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

See accompanying notes to financial statements.

(This page intentionally left blank.)

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2005

(Unaudited)


	Equity Fund			Small Cap Equity Fund		International Equity Fund
Assets
Investments in securities
At identified cost	$	239,468,444		111,742,215		66,289,752

At market value	$	265,722,193		122,708,355		75,015,187
In Master Portfolios		—		—		—
Cash		—		—		—
Foreign currencies at value (cost $ 69,719)		—		—		69,712
Receivables:
Dividends and interest		302,267		109,257		188,363
Shares of the Fund sold		120,574		32,519		19,382
Securities sold		—		104,095		367,420
Expense cap reimbursement		—		25,305		33,046
Unrealized gain on forward foreign currency contracts		—		—		100,210
Prepaid expenses		60,757		53,165		48,415

Total assets		266,205,791		123,032,696		75,841,735

Liabilities and Net Assets
Dividends to shareowners		—		—		—
Payables:
Shares of the Fund redeemed		79,007		42,347		7,507
Securities purchased		—		1,243,556		314,885
Unrealized loss on forward foreign currency contracts		—		—		23,000
Distribution Fees		134,506		103,827		70,776
SFIMC		629,653		364,683		293,264
Chief Compliance Officer expense		1,444		649		411
Accrued liabilities		48,935		45,156		26,184

Total Liabilities		893,545		1,800,218		736,027

Net assets applicable to shares outstanding of common stock	$	265,312,246		121,232,478		75,105,708

Analysis of Net Assets
Paid-in-capital	$	242,742,785		106,662,461		74,987,711
Accumulated net realized gain (loss)		(5,167,330	)	3,893,515		(8,846,120	)
Net unrealized appreciation		26,253,902		10,966,140		8,798,248
Undistributed (accumulated) net investment income (loss)		1,482,889		(289,638	)	165,869

Net assets applicable to shares outstanding	$	265,312,246		121,232,478		75,105,708

Class A Shares:
Fund shares outstanding		11,412,820		6,191,165		3,937,686
Net assets applicable to shares outstanding	$	97,255,400		63,606,609		35,973,175

Net asset value	$	8.52		10.27		9.14

Maximum offering price	$	8.78		10.59		9.42

Class B Shares:
Fund shares outstanding		5,162,578		4,069,352		3,167,952
Net assets applicable to shares outstanding	$	43,651,089		41,081,682		28,718,458

Net asset value	$	8.46		10.10		9.07

Institutional Shares:
Fund shares outstanding		14,384,278		1,213,779		754,858
Net assets applicable to shares outstanding	$	119,959,358		12,618,908		6,875,764

Net asset value	$	8.34		10.40		9.11

Class R-1 Shares:
Fund shares outstanding		183,682		137,595		139,953
Net assets applicable to shares outstanding	$	1,525,507		1,420,866		1,270,748

Net asset value	$	8.31		10.33		9.08

Class R-2 Shares:
Fund shares outstanding		217,257		122,880		127,382
Net assets applicable to shares outstanding	$	1,806,516		1,271,027		1,157,841

Net asset value	$	8.32		10.34		9.09

Class R-3 Shares:
Fund shares outstanding		133,833		118,943		121,902
Net assets applicable to shares outstanding	$	1,114,376		1,233,386		1,109,722

Net asset value	$	8.33		10.37		9.10

See accompanying notes to financial statements.


S&P 500 Index Fund		Small Cap Index Fund	International Index Fund		Equity and Bond Fund		Bond Fund		Tax Advantaged Bond Fund		Money Market Fund


—		—	—		163,954,696		265,472,378		100,240,158		98,770,890

—		—	—		171,933,570		269,782,940		107,396,810		98,770,890
499,678,606		251,286,178	133,139,775		—		—		—		—
—		—	—		256,879		—		—		—
—		—	—		—		—		—		—

—		—	—		235,338		2,706,866		1,375,152		4,591
408,050		276,665	192,141		139,174		212,509		302,940		927,033
—		—	—		—		—		—		—
—		12,241	7,873		—		—		7,662		19,321
—		—	—		—		—		—		—
144,217		85,081	53,503		58,942		71,401		26,894		50,931


500,230,873		251,660,165	133,393,292		172,623,903		272,773,716		109,109,458		99,772,766



—		—	—		—		7		—		480

246,083		154,011	19,898		111,345		586,165		232,031		237,445
—		—	—		—		—		—		—
—		—	—		—		—		—		—
404,223		199,530	111,562		159,677		173,657		100,444		40,215
715,032		431,257	230,022		54,703		324,728		115,611		138,468
2,619		1,293	679		936		1,427		574		538
151,127		78,311	72,103		37,051		54,402		18,087		30,973


1,519,084		864,402	434,264		363,712		1,140,386		466,747		448,119


498,711,789		250,795,763	132,959,028		172,260,191		271,633,330		108,642,711		99,324,647



470,745,435		210,610,052	126,688,326		164,326,062		267,735,903		101,591,334		99,324,647
(1,378,694	)	9,045,329	(6,565,755	)	(14,986	)	(413,135	)	(105,275	)	—
26,874,268		30,429,909	11,255,862		7,978,874		4,310,562		7,156,652		—
2,470,780		710,473	1,580,595		(29,759	)	—		—		—


498,711,789		250,795,763	132,959,028		172,260,191		271,633,330		108,642,711		99,324,647


34,668,185		11,176,935	7,181,616		10,832,570		12,449,857		6,603,836		77,032,461
314,472,868		146,165,724	72,821,802		103,207,249		132,722,820		73,795,368		77,032,461


9.07		13.08	10.14		9.53		10.66		11.17		1.00


9.35		13.48	10.45		9.82		10.99		11.52		—


14,420,064		5,568,076	4,030,111		6,073,240		5,306,784		3,098,206		6,251,883
130,486,855		72,232,639	40,773,601		57,900,220		56,591,987		34,625,927		6,251,883


9.05		12.97	10.12		9.53		10.66		11.18		1.00



5,239,612		2,124,177	1,494,826		822,955		7,332,905		19,792		10,166,531
47,750,024		28,098,965	15,227,926		7,796,088		78,078,223		221,416		10,166,531


9.11		13.23	10.19		9.47		10.65		11.19		1.00


313,516		134,311	150,994		132,775		159,421				2,062,935
2,844,251		1,769,667	1,532,615		1,248,189		1,698,213				2,062,935


9.07		13.18	10.15		9.40		10.65				1.00



225,389		107,291	143,471		113,636		139,337				2,359,313
2,047,850		1,416,126	1,457,580		1,068,717		1,483,866				2,359,313


9.09		13.20	10.16		9.40		10.65				1.00



121,966		84,166	112,578		110,544		99,366				1,451,524
1,109,941		1,112,642	1,145,504		1,039,728		1,058,221				1,451,524


9.10		13.22	10.18		9.41		10.65				1.00

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2005

(Unaudited)


	LifePath Income Fund		LifePath 2010 Fund	LifePath 2020 Fund	LifePath 2030 Fund	LifePath 2040 Fund
Assets
Investments in securities
At identified cost	$	—	—	—	—	—

At market value	$	—	—	—	—	—
In Master Portfolios		102,452,090	230,583,331	334,481,608	212,323,600	133,776,500
Cash		—	—	—	—	—
Foreign currencies at value (cost $69,719)		—	—	—	—	—
Receivables:
Dividends and interest		—	—	—	—	—
Shares of the Fund sold		209,946	434,869	405,239	547,382	201,262
Securities sold		—	—	—	—	—
Expense cap reimbursement		3,463	—	—	4,476	15,525
Unrealized gain on forward foreign currency contracts		—	—	—	—	—
Prepaid expenses		40,249	54,618	72,331	57,644	55,647

Total assets		102,705,748	231,072,818	334,959,178	212,933,102	134,048,934

Liabilities and Net Assets
Dividends to shareowners		6,179	—	—	—	—
Payables:
Shares of the Fund redeemed		67,386	29,116	140,019	76,276	50,877
Securities purchased		—	—	—	—	—
Unrealized loss on forward foreign currency contracts		—	—	—	—	—
Distribution Fees		66,345	158,726	233,977	145,345	89,610
SFIMC		196,120	408,795	589,292	386,348	266,102
Chief Compliance Officer expense		505	1,080	1,556	945	574
Accrued liabilities		21,337	36,993	54,098	46,818	40,392

Total Liabilities		357,872	634,710	1,018,942	655,732	447,555

Net assets applicable to shares outstanding of common stock	$	102,347,876	230,438,108	333,940,236	212,277,370	133,601,379

Analysis of Net Assets
Paid-in-capital		98,884,898	220,703,965	316,081,765	200,017,136	125,996,359
Accumulated net realized gain (loss)		1,388,752	3,423,986	7,489,844	5,481,870	3,699,839
Net unrealized appreciation		1,903,742	4,616,972	8,899,570	6,124,053	3,721,817
Undistributed (accumulated) net investment income (loss)		170,484	1,693,185	1,469,057	654,311	183,364

Net assets applicable to shares outstanding	$	102,347,876	230,438,108	333,940,236	212,277,370	133,601,379

Class A Shares:
Fund shares outstanding		7,437,681	14,938,602	19,698,701	11,109,862	6,518,014
Net assets applicable to shares outstanding	$	82,964,440	174,580,259	242,492,806	141,621,942	85,672,178

Net asset value	$	11.15	11.69	12.31	12.75	13.14

Maximum offering price	$	11.49	12.05	12.69	13.14	13.55

Class B Shares:
Fund shares outstanding		923,146	3,110,172	4,827,905	3,293,076	1,990,676
Net assets applicable to shares outstanding	$	10,285,190	36,179,464	59,241,443	41,742,915	26,082,271

Net asset value	$	11.14	11.63	12.27	12.68	13.10

Institutional Shares:
Fund shares outstanding		694,435	1,530,858	2,386,139	2,075,564	1,465,042
Net assets applicable to shares outstanding	$	7,763,567	18,019,084	29,610,157	26,612,364	19,368,747

Net asset value	$	11.18	11.77	12.41	12.82	13.22

Class R-1 Shares:
Fund shares outstanding		51,646	61,575	95,637	90,696	78,138
Net assets applicable to shares outstanding	$	571,733	721,878	1,182,391	1,158,088	1,027,909

Net asset value	$	11.07	11.72	12.36	12.77	13.16

Class R-2 Shares:
Fund shares outstanding		59,373	69,983	84,610	66,599	100,140
Net assets applicable to shares outstanding	$	661,151	821,505	1,048,216	851,973	1,320,029

Net asset value	$	11.14	11.74	12.39	12.79	13.18

Class R-3 Shares:
Fund shares outstanding		9,133	9,858	29,438	22,650	9,868
Net assets applicable to shares outstanding	$	101,795	115,918	365,223	290,088	130,245

Net asset value	$	11.15	11.76	12.41	12.81	13.20

See accompanying notes to financial statements.

(This page intentionally left blank.)

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF OPERATIONS

Six months ended June 30, 2005

(Unaudited)


	Equity Fund			Small Cap Equity Fund		International Equity Fund		S&P 500 Index Fund		Small Cap Index Fund		International Index Fund
Investment Income: (a)
Dividends	$	2,717,494		518,666		1,359,672		4,179,117		1,488,247		2,438,049
Interest		176,324		54,974		22,890		228,211		124,931		11,960
Securities lending - net		—		—		—		20,443		80,078		38,802
Tax-exempt interest		—		—		—		—		—		—

		2,893,818		573,640		1,382,562		4,427,771		1,693,256		2,488,811
Less: foreign withholding taxes		(58,146	)	(3,741	)	(150,200	)	—		(551	)	(130,052	)
Portfolio expenses of Master Portfolios (b)		—		—		—		(118,552	)	(116,076	)	(153,960	)

Total investment income (loss)		2,835,672		569,899		1,232,362		4,309,219		1,576,629		2,204,799
Expenses:
Investment advisory and management fees		776,334		458,983		293,101		354,708		289,614		153,713
Shareholder services fees		230,031		135,382		87,489		558,034		270,923		144,382
Distribution fees Class A		119,601		75,640		43,519		373,525		169,026		82,862
Distribution fees Class B		140,432		127,251		92,636		408,176		220,576		128,049
Distribution fees Class R-1		3,148		3,114		2,976		5,507		3,626		3,520
Distribution fees Class R-2		2,359		1,795		1,719		2,412		1,765		1,854
Reports to shareowners		33,116		25,649		13,343		92,895		53,633		22,582
Registration fees		21,358		22,719		19,885		28,326		23,354		27,365
Professional fees		15,989		25,418		20,338		26,455		18,554		23,433
Proxy and related expense		15,562		6,491		2,892		22,750		14,050		6,634
Errors & omissions insurance		7,316		3,555		2,286		11,818		6,358		3,013
Custodian fees		3,175		6,640		65,664		—		—		—
Trustees’ fees and expenses		2,787		1,273		762		4,770		2,520		1,356
Chief Compliance Officer expense		2,087		1,007		557		4,072		1,872		965
ICI dues		1,730		739		422		1,967		1,028		674
Security valuation fees		1,427		2,207		13,552		—		—		—
Fidelity bond expense		812		391		246		1,366		705		336
Index license fees		—		—		—		10,775		9,953		24,166

Total expenses		1,377,264		898,254		661,387		1,907,556		1,087,557		624,904
Less: expense reimbursement from SFIMC		—		(38,717	)	(66,673	)	—		(16,411	)	(18,543	)

Net expenses		1,377,264		859,537		594,714		1,907,556		1,071,146		606,361

Net investment income		1,458,408		(289,638	)	637,648		2,401,663		505,483		1,598,438
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments		236,890		6,231,428		386,541		5,743,109		7,927,490		62,942
Net realized gain (loss) on forward foreign currency contracts		—		—		136,942		—		—		(94,456	)
Net realized gain (loss) on foreign currency transactions		—		—		(7,640	)	—		—		22,276
Net realized gain on future contracts		—		—		—		523,600		289,351		85,055
Change in net unrealized gain (loss) on open futures contracts		—		—		—		(210,793	)	32,394		(2,017	)
Change in net unrealized appreciation or depreciation on investments and foreign currency transactions		(2,012,059	)	(7,898,653	)	(2,982,367	)	(13,768,782	)	(12,135,623	)	(3,616,742	)

Net realized and unrealized gain (loss) on investments		(1,775,169	)	(1,667,225	)	(2,466,524	)	(7,712,866	)	(3,886,388	)	(3,542,942	)

Net change in net assets resulting from operations	$	(316,761	)	(1,956,863	)	(1,828,876	)	(5,311,203	)	(3,380,905	)	(1,944,504)

(a)	Components of investment income for the S&P 500 Index, Small Cap Index, International Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds reflect each Fund’s proportionate income from its Master Portfolio.

(b)	Portfolio expenses of Master Portfolios for the LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds include the effect of waived investment advisory fees charged to the Underlying Funds.

See accompanying notes to financial statements.


Equity and Bond Fund		Bond Fund	Tax Advantaged Bond Fund		Money Market Fund		LifePath Income Fund		LifePath 2010 Fund		LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund

1,436,425		—	—		—		203,105		606,304		1,203,882		894,173		641,710
—		5,934,842	—		1,298,867		1,292,628		2,290,947		2,192,320		825,681		250,375
—		—	—		—		12,323		34,177		63,467		33,383		20,424
—		—	2,350,716		—		—		—		—		—		—


1,436,425		5,934,842	2,350,716		1,298,867		1,508,029		2,931,476		3,458,504		1,753,357		9312,709
—		—	—		—		—		—		—		—		—
—		—	—		—		(142,449	)	(299,368	)	(405,356	)	(236,535	)	(141,880	)


1,436,425		5,934,842	2,350,716		1,298,867		1,365,687		2,632,060		3,054,313		1,516,702		770,629

—		129,256	51,727		47,909		161,118		351,417		504,780		308,701		189,255
133,067		262,343	129,156		112,854		109,467		238,153		341,351		203,747		123,763
125,414		155,332	86,176		55,957		92,980		188,228		262,451		146,889		86,314
184,885		178,413	111,511		16,390		31,185		105,671		167,974		114,932		70,387
2,933		3,600	—		3,735		502		1,093		1,763		1,503		1,387
1,578		1,825	—		1,835		751		921		745		708		1,407
27,111		38,508	5,287		21,888		5,845		17,176		32,585		26,521		26,089
21,334		25,517	20,530		24,758		18,447		29,817		31,922		27,588		21,630
15,341		18,198	19,543		16,592		19,417		20,142		22,375		23,097		19,423
7,760		10,188	839		6,788		1,278		3,782		7,781		7,101		6,553
4,850		7,396	3,155		2,619		2,163		4,125		5,812		3,307		2,030
—		3,210	550		1,037		55		55		50		55		65
1,810		2,780	1,113		1,026		801		1,924		3,036		1,723		937
1,358		2,059	770		815		737		1,336		2,143		1,308		786
990		1,747	702		726		174		1,188		1,625		954		74
—		9,808	8,776		—		—		—		—		—		—
537		822	275		292		239		458		648		367		227
—		—	—		—		—		—		—		—		—


528,968		851,002	440,110		315,221		445,159		965,486		1,387,041		868,501		550,327
(81,091	)	—	(9,813	)	(28,633	)	(3,479	)	—		—		(4,486	)	(23,937	)


447,877		851,002	430,297		286,588		441,680		965,486		1,387,041		864,015		526,390


988,548		5,083,840	1,920,419		1,012,279		924,007		1,666,574		1,667,272		652,687		244,239

(1,538	)	85,145	—		—		678,689		1,990,760		3,544,107		2,605,869		1,679,840
—		—	—		—		(1	)	(5	)	—		(8	)	(24	)
—		—	—		—		1		12		1		15		24
—		—	—		—		—		—		—		—		—
—		—	—		—		—		—		—		—		—
100,154		185,924	425,551		—		(442,191	)	(1,340,505	)	(2,526,407	)	(1,888,351	)	(1,114,648	)


98,616		271,069	425,551		—		236,498		650,262		1,017,701		717,525		565,192


1,087,164		5,354,909	2,345,970		1,012,279		1,160,505		2,316,836		2,684,973		1,370,212		809,431

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	Equity Fund
Six months ended June 30, 2005 (unaudited) and the year ended December 31, 2004	2005			2004
From operations:
Net investment income (loss)	$	1,458,408		2,920,343
Net realized gain (loss)		236,890		(341,235	)
Change in net unrealized appreciation or depreciation		(2,012,059	)	16,013,774

Net change in net assets resulting from operations		(316,761	)	18,592,882
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(489	)	(933,313	)
Class B Shares		(185	)	(267,200	)
Institutional Shares		(80	)	(1,671,374	)
Class R-1 Shares		—		(13,336	)
Class R-2 Shares		—		(13,419	)
Class R-3 Shares		—		(14,609	)

		(754	)	(2,913,251	)
Net realized gain:
Class A Shares		—		—
Class B Shares		—		—
Institutional Shares		—		—
Class R-1 Shares		—		—
Class R-2 Shares		—		—
Class R-3 Shares		—		—

		—		—
Total distributions to shareowners		(754	)	(2,913,251	)
From Fund share transactions:
Proceeds from shares sold		23,069,722		60,766,088
Reinvestment of distributions		780		1,299,340

		23,070,502		62,065,428
Less payments for shares redeemed		(13,785,085	)	(21,555,817	)

		9,285,417		40,509,611

Net increase (decrease) in net assets from Fund share transactions
Total increase in net assets		8,967,902		56,189,242

Net assets:
Beginning of period		256,344,344		200,155,102

End of period*	$	265,312,246		256,344,344

	$	1,482,889		25,235

*	Including undistributed (accumulated) net investment income (loss)

See accompanying notes to financial statements.


Small Cap Equity Fund				International Equity Fund				S&P 500 Index Fund				Small Cap Index Fund
2005		2004		2005		2004		2005		2004		2005		2004

(289,638	)	(522,345	)	637,648		213,318		2,401,663		4,687,539		505,483		637,687
6,231,428		3,284,542		515,843		469,291		6,266,709		23,617,407		8,216,841		7,467,043
(7,898,653	)	4,158,774		(2,982,367	)	7,152,767		(13,979,575	)	11,259,273		(12,103,229	)	24,620,768

(1,956,863	)	6,920,971		(1,828,876	)	7,835,376		(5,311,203	)	39,564,219		(3,380,905	)	32,725,498


—		—		(197	)	(237,487	)	(1,043	)	(3,107,990	)	(413	)	(251,882	)
—		—		(21	)	(102,478	)	(172	)	(878,178	)	(674	)	51
—		—		(200	)	(72,205	)	(39	)	(593,158	)	(1,962	)	(136,168	)
—		—		—		(10,806	)	—		(21,246	)	—		(4,996	)
—		—		—		(10,937	)	—		(13,805	)	—		(4,534	)
—		—		—		(11,903	)	—		(14,770	)	—		(5,450	)

—		—		(418	)	(445,816	)	(1,254	)	(4,629,147	)	(3,049	)	(402,979	)

—		—		—		—		—		—		—		(3,914,771	)
—		—		—		—		—		—		—		(2,043,326	)
—		—		—		—		—		—		—		(683,380	)
—		—		—		—		—		—		—		(38,067	)
—		—		—		—		—		—		—		(32,039	)
—		—		—		—		—		—		—		(32,092	)

—		—		—		—		—		—		—		(6,743,675	)
—		—		(418	)	(445,816	)	(1,254	)	(4,629,147	)	(3,049	)	(7,146,654	)

9,012,870		26,414,801		6,038,354		12,860,563		71,362,414		174,054,598		31,944,990		73,167,283
—		—		418		170,932		4,239,014		1,526,087		5,058,480		668,787

9,012,870		26,414,801		6,038,772		13,031,495		75,601,428		175,580,685		37,003,470		73,836,070
(6,847,280	)	(13,533,505	)	(2,098,323	)	(6,024,605	)	(31,190,350	)	(50,040,974	)	(13,809,471	)	(22,034,647	)

2,165,590		12,881,296		3,940,449		7,006,890		44,411,078		125,539,711		23,193,999		51,801,423


208,727		19,802,267		2,111,155		14,396,450		39,098,621		160,474,783		19,810,045		77,380,267


121,023,751		101,221,484		72,994,553		58,598,103		459,613,168		299,138,385		230,985,718		153,605,451

121,232,478		121,023,751		75,105,708		72,994,553		498,711,789		459,613,168		250,795,763		230,985,718

(289,638	)	—		165,869		(471,361	)	2,470,780		70,371		710,473		208,039

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST FUND

STATEMENTS OF CHANGES IN NET ASSETS


	International Index Fund
Six months ended June 30, 2005 (unaudited) and the year ended December 31, 2004	2005			2004
From operations:
Net investment income (loss)	$	1,598,438		1,098,634
Net realized gain (loss)		75,817		4,789,717
Change in net unrealized appreciation or depreciation		(3,618,759	)	11,219,144

Net change in net assets resulting from operations		(1,944,504	)	17,107,495
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(705	)	(664,249	)
Class B Shares		(61	)	(284,551	)
Institutional Shares		(477	)	(174,286	)
Class R-1 Shares		—		(16,391	)
Class R-2 Shares		—		(14,884	)
Class R-3 Shares		—		(15,886	)

		(1,243	)	(1,170,247	)
Net realized gain:
Class A Shares		—		—
Class B Shares		—		—
Institutional Shares		—		—
Class R-1 Shares		—		—
Class R-2 Shares		—		—
Class R-3 Shares		—		—

		—		—
Total distributions to shareowners		(1,243	)	(1,170,247	)
From Fund share transactions:
Proceeds from shares sold		26,904,595		35,650,953
Reinvestment of distributions		669,428		658

		27,574,023		35,651,611
Less payments for shares redeemed		(6,561,220	)	(8,769,587	)

Net increase (decrease) in net assets from Fund share transactions		21,012,803		26,882,024

Total increase in net assets		19,067,056		42,819,272

Net assets:
Beginning of period		113,891,972		71,072,700

End of period*	$	132,959,028		113,891,972

	$	1,580,595		(16,600	)

*	Including undistributed (accumulated) net investment income (loss)

See accompanying notes to financial statements.


Equity and Bond Fund				Bond Fund				Tax Advantaged Bond Fund				Money Market Fund
2005		2004		2005		2004		2005		2004		2005		2004

988,548		3,142,145		5,083,840		8,969,278		1,920,419		3,638,945		1,012,279		680,081
(1,538	)	(1,144	)	85,145		157,457		—		(428	)	—		—
100,154		6,249,197		185,924		(257,454	)	425,551		(151,290	)	—		—

1,087,164		9,390,198		5,354,909		8,869,281		2,345,970		3,487,227		1,012,279		680,081


(690,532	)	(1,973,569	)	(2,419,705	)	(4,209,020	)	(1,324,908	)	(2,427,578	)	(786,368	)	(548,076	)
(271,666	)	(918,892	)	(960,493	)	(1,762,045	)	(591,229	)	(1,203,717	)	(51,024	)	(21,039	)
(67,817	)	(164,979	)	(1,633,625	)	(2,957,929	)	(4,282	)	(7,650	)	(127,358	)	(99,400	)
(6,830	)	(24,897	)	(25,968	)	(12,909	)	—		—		(17,258	)	(3,245	)
(6,590	)	(23,768	)	(23,157	)	(13,143	)	—		—		(18,684	)	(3,786	)
(7,959	)	(24,785	)	(20,892	)	(14,232	)	—		—		(11,587	)	(4,535	)

(1,051,394	)	(3,130,890	)	(5,083,840	)	(8,969,278	)	(1,920,419	)	(3,638,945	)	(1,012,279	)	(680,081	)

—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—

—		—		—		—		—		—		—		—
(1,051,394	)	(3,130,890	)	(5,083,840	)	(8,969,278	)	(1,920,419	)	(3,638,945	)	(1,012,279	)	(680,081	)

14,825,898		41,143,195		33,115,590		69,919,861		11,192,875		16,837,793		66,655,111		133,845,314
763,015		2,176,364		2,925,338		6,198,716		631,607		1,147,008		895,268		609,130

15,588,913		43,319,559		36,040,928		76,118,577		11,824,482		17,984,801		67,550,379		134,454,444
(9,248,838	)	(20,464,598	)	(16,437,195	)	(36,733,310	)	(4,735,247	)	(11,705,645	)	(59,615,032	)	(120,752,588	)

6,340,075		22,854,961		19,603,733		39,385,267		7,089,235		6,279,156		7,935,347		13,701,856

6,375,845		29,114,269		19,874,802		39,285,270		7,514,786		6,127,438		7,935,347		13,701,856


165,884,346		136,770,077		251,758,528		212,473,258		101,127,925		95,000,487		91,389,300		77,687,444

172,260,191		165,884,346		271,633,330		251,758,528		108,642,711		101,127,925		99,324,647		91,389,300

(29,759	)	33,087		—		—		—		—		—		—

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	LifePath Income Fund
Six months ended June 30, 2005 (unaudited) and the year ended December 31, 2004	2005			2004
From operations:
Net investment income (loss)	$	924,007		934,852
Net realized gain (loss)		678,689		2,067,826
Change in net unrealized appreciation or depreciation		(442,191	)	1,067,256

Net change in net assets resulting from operations		1,160,505		4,069,934
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(556,721	)	(900,466	)
Class B Shares		(54,769	)	(90,213	)
Institutional Shares		(63,359	)	(116,834	)
Class R-1 Shares		(4,314	)	(1,781	)
Class R-2 Shares		(4,447	)	(1,562	)
Class R-3 Shares		(740	)	(1,653	)

		(684,350	)	(1,112,509	)
Net realized gain:
Class A Shares		—		(1,004,454	)
Class B Shares		—		(131,811	)
Institutional Shares		—		(102,986	)
Class R-1 Shares		—		(1,795	)
Class R-2 Shares		—		(1,545	)
Class R-3 Shares		—		(1,545	)

		—		(1,244,136	)
Total distributions to shareowners		(684,350	)	(2,356,645	)
From Fund share transactions:
Proceeds from shares sold		27,018,380		53,278,382
Reinvestment of distributions		2,497,237		582,658

		29,515,617		53,861,040
Less payments for shares redeemed		(9,412,798	)	(11,883,235	)

Net increase (decrease) in net assets from Fund share transactions		20,102,819		41,977,805

Total increase in net assets		20,578,974		43,691,094

Net assets:
Beginning of period		81,768,902		38,077,808

End of period*	$	102,347,876		81,768,902

	$	170,484		(69,173	)

*	Including undistributed (accumulated) net investment income (loss)

See accompanying notes to financial statements.


LifePath 2010 Fund			LifePath 2020 Fund				LifePath 2030 Fund				LifePath 2040 Fund
2005	2004		2005		2004		2005		2004		2005		2004

1,666,574	1,659,038		1,667,272		1,987,640		652,687		1,035,904		244,239		518,411
1,990,767	5,129,876		3,544,108		8,140,122		2,605,876		5,446,904		1,679,840		3,386,772
(1,340,505)	3,335,354		(2,526,407	)	7,094,458		(1,888,351	)	5,235,643		(1,114,648	)	3,273,164

2,316,836	10,124,268		2,684,973		17,222,220		1,370,212		11,718,451		809,431		7,178,347


(1,831)	(1,468,547	)	(4,231	)	(1,725,887	)	(9,054	)	(728,942	)	(1,338	)	(399,823	)
2,204	(236,668	)	2,549		(303,335	)	2,184		(142,219	)	4,362		(85,644	)
2,043	(207,935	)	(1,408	)	(267,601	)	(280	)	(190,886	)	(33	)	(128,753	)
—	(1,720	)	—		(2,178	)	—		(1,536	)	—		(1,619	)
—	(1,340	)	—		(1,163	)	—		(933	)	—		(911	)
—	(1,381	)	—		(1,244	)	—		(1,018	)	—		(1,013	)

2,416	(1,917,591	)	(3,090	)	(2,301,408	)	(7,150	)	(1,065,534	)	2,991		(617,763	)

—	(2,558,555	)	—		(2,972,237	)	—		(1,687,539	)	—		(846,697	)
—	(568,617	)	—		(748,950	)	—		(518,141	)	—		(282,642	)
—	(282,700	)	—		(349,242	)	—		(315,925	)	—		(196,484	)
—	(2,707	)	—		(3,235	)	—		(3,020	)	—		(2,898	)
—	(2,080	)	—		(1,766	)	—		(1,867	)	—		(1,689	)
—	(2,007	)	—		(1,759	)	—		(1,854	)	—		(1,696	)

—	(3,416,666	)	—		(4,077,189	)	—		(2,528,346	)	—		(1,332,106	)
2,416	(5,334,257	)	(3,090	)	(6,378,597	)	(7,150	)	(3,593,880	)	2,991		(1,949,869	)

64,769,364	126,971,153		98,279,378		176,426,563		71,806,604		106,488,983		52,443,865		66,816,426
5,290,351	146,990		6,332,483		184,161		3,554,376		102,312		1,913,607		39,117

70,059,715	127,118,143		104,611,861		176,610,724		75,360,980		106,591,295		54,357,472		66,855,543
(15,821,265)	(14,500,423	)	(17,101,129	)	(16,610,093	)	(9,155,306	)	(11,331,490	)	(5,961,796	)	(7,844,098	)

54,238,450	112,617,720		87,510,732		160,000,631		66,205,674		95,259,805		48,395,676		59,011,445

56,557,702	117,407,731		90,192,615		170,844,254		67,568,736		103,384,376		49,208,098		64,239,923


173,880,406	56,472,675		243,747,621		72,903,367		144,708,634		41,324,258		84,393,281		20,153,358

230,438,108	173,880,406		333,940,236		243,747,621		212,277,370		144,708,634		133,601,379		84,393,281

1,693,185	24,195		1,469,057		(195,125	)	654,311		8,774		183,364		(63,866	)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

(Unaudited)

1.	Investment Objective

State Farm Mutual Fund Trust (the “Trust”) has 15 separate investment portfolios (the “Funds”). Each Fund is a separate investment portfolio with its own investment objective, investment policies, restrictions, and attendant risks.

The State Farm Equity Fund (the “Equity Fund”) seeks long-term growth of capital. The Equity Fund seeks to achieve this objective by investing, under normal circumstances, at least 80% of its assets in common stocks and other equity securities of U.S. companies with market capitalizations of at least $1.5 billion.

The State Farm Small Cap Equity Fund (the “Small Cap Equity Fund”) seeks long-term growth of capital. The Small Cap Equity Fund invests most of its assets in equity securities of companies with relatively small market capitalizations located in the U.S. The companies in which the Small Cap Equity Fund invests typically have market capitalizations of $59 million to $3.6 billion at the time the Small Cap Equity Fund purchases the securities.

The State Farm International Equity Fund (the “International Equity Fund”) seeks long-term growth of capital. The International Equity Fund invests its assets primarily in common stocks of companies located in 16 European countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom), Australia, New Zealand, Hong Kong, Japan and Singapore. The International Equity Fund may also invest in companies located in other countries and in emerging markets.

The State Farm S&P 500 Index Fund (the “S&P 500 Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of the Standard & Poor’s 500 Stock Index (the “S&P 500^® Index”)¹. The S&P 500 Index Fund invests all of its assets in a separate series of an unaffiliated mutual fund called Master Investment Portfolio. That series, called the S&P 500 Index Master Portfolio, holds each of the stocks that make up the S&P 500 Index. The S&P 500 Index Master Portfolio and the S&P 500 Index Fund have substantially similar investment objectives.

The State Farm Small Cap Index Fund (the “Small Cap Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of the Russell 2000 Small Stock Index (the “Russell 2000^® Index”)². The Small Cap Index Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the Russell 2000 Index Master Portfolio. The Russell 2000 Index Master Portfolio and the Small Cap Index Fund have substantially similar investment objectives.

The State Farm International Index Fund (the “International Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of an international portfolio of common stocks represented by the Morgan Stanley Capital International Europe, Australasia, and Far East Free Index (“EAFE^® Free Index”)³. The International Index Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the International Index Master Portfolio. The International Index Master Portfolio and the International Index Fund have substantially similar investment objectives.

The State Farm Equity and Bond Fund (the “Equity and Bond Fund”) seeks long-term growth of principal while providing some current income. The Equity and Bond Fund invests substantially all of its assets in shares of the State Farm Equity Fund and State Farm Bond Fund of the Trust.

The State Farm Bond Fund (the “Bond Fund”) seeks to realize over a period of years the highest yield consistent with investing in investment grade bonds. The Bond Fund invests primarily in investment grade bonds issued by U.S. companies, U.S. Government and agency obligations, and mortgage-backed securities.

(1)

“S&P 500^®” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by the State Farm Mutual Fund Trust. The State Farm S&P 500 Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

(2)

The Russell 2000^® Index is a trademark/service mark, and Russell ^™ is a trademark of the Frank Russell Company. The State Farm Small Cap Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by, nor in any way affiliated with the Frank Russell Company. Frank Russell Company is not responsible for and has not reviewed the Fund nor any associated literature or publications and Frank Russell Company makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise.

(3)

The EAFE^® Free Index is a trademark, service mark and the exclusive property of Morgan Stanley Capital International, Inc. (“MSCI”) and its affiliates and has been licensed for use by the State Farm Mutual Fund Trust (the “Trust”). The State Farm International Index Fund (the “Fund”), based on the EAFE^® Free Index, has not been passed on by MSCI as to its legality or suitability, and is not issued, sponsored, endorsed, sold or promoted by MSCI. MSCI makes no warranties and bears no liability with respect to the Fund. MSCI has no responsibility for and does not participate in the management of the Fund assets or sale of the Fund shares. The Trust’s Prospectus contains a more detailed description of the limited relationship MSCI has with the Trust and the Fund.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

The State Farm Tax Advantaged Bond Fund (the “Tax Advantaged Bond Fund”) seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Tax Advantaged Bond Fund normally invests so that either (1) at least 80% of the Tax Advantaged Bond Fund’s net investment income is exempt from regular federal income tax or (2) at least 80% or more of the Tax Advantaged Bond Fund’s net assets are invested in securities that produce income exempt from regular federal income tax.

The State Farm Money Market Fund (the “Money Market Fund”) seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Money Market Fund invests exclusively in short-term, U.S. dollar-denominated money market securities, including those issued by U.S. and foreign financial institutions, corporate issuers, the U.S. Government and its agencies and instrumentalities, municipalities, foreign governments, and multi-national organizations, such as The World Bank.

The State Farm LifePath^® Income Fund (the “LifePath Income Fund”)⁴ is managed for investors seeking income and moderate long-term growth of capital. The LifePath Income Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath Retirement Master Portfolio. The LifePath Retirement Master Portfolio and the LifePath Income Fund have substantially similar investment objectives.

The State Farm LifePath 2010^® Fund (the “LifePath 2010 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2010. The LifePath 2010 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2010 Master Portfolio. The LifePath 2010 Master Portfolio and the LifePath 2010 Fund have substantially similar investment objectives.

The State Farm LifePath 2020^® Fund (the “LifePath 2020 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2020. The LifePath 2020 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2020 Master Portfolio. The LifePath 2020 Master Portfolio and the LifePath 2020 Fund have substantially similar investment objectives.

The State Farm LifePath 2030^® Fund (the “LifePath 2030 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2030. The LifePath 2030 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2030 Master Portfolio. The LifePath 2030 Master Portfolio and the LifePath 2030 Fund have substantially similar investment objectives.

The State Farm LifePath 2040^® Fund (the “LifePath 2040 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2040. The LifePath 2040 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2040 Master Portfolio. The LifePath 2040 Master Portfolio and the LifePath 2040 Fund have substantially similar investment objectives.

Each LifePath Master Portfolio invests in a combination of stock, bond and short-term money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive asset allocation investment strategy that gradually becomes more conservative as the year in the LifePath Fund’s name approaches, except for the LifePath Retirement Master Portfolio that already is in its most conservative phase.

2.	Significant accounting policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) in the United States.

Securities valuation

Investments are stated at market value. Stocks traded on securities exchanges, or in an over-the-counter market in which transaction prices are reported, are valued at the last sales prices on the day of valuation or, if there are no reported sales on that day, at the last reported bid price for the day. Stocks traded on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Portfolio securities that are primarily traded on foreign securities exchanges are generally valued at the closing values of such securities on the respective exchanges where the security is primarily traded. Long-term debt securities and U.S. Treasury bills are valued using quotations provided by an independent pricing service. All of the securities and assets of the Money Market Fund and short-term debt securities with remaining maturities of 60 days or less (other than U.S. Treasury bills) held by any of the other Funds are valued on an amortized cost basis, which approximates market value. Investments in open-end investment companies are valued each day based on the closing net asset value of the respective Fund. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using quoted forward exchange rates. Short sales are valued at the net proceeds from the sales transaction.

(4)	LifePath and LifePath followed by 2010, 2020, 2030 and 2040 are registered trademarks of Barclays Global Investors, N.A.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Securities not valued as described above, and securities for which market prices are not readily available or are considered unreliable, are valued pursuant to procedures established by the Trust’s Board of Trustees. These procedures require State Farm Investment Management Corp. (“SFIMC”), the Trust’s investment adviser, to obtain at least one daily bid price quotation from a broker or dealer in the securities. If SFIMC cannot obtain a daily bid price quotation for the security or if SFIMC believes the bid price quotation does not represent the security’s fair value, then SFIMC will determine the security’s fair value in its reasonable judgment.

Fair value, as a general principle, means the value the Fund might reasonably expect to receive upon sale of that security. In fair valuing a security, SFIMC may use different methodologies, including multiple of earnings, multiple of book value, discount from market of a similar freely traded security or, for debt securities, yield to maturity. Other factors SFIMC may consider in fair valuing securities include, but are not limited to, fundamental analytical data relating to the security, the nature and duration of any restrictions on disposition of the security, significant global or regional events such as political unrest, natural disasters, and war, and significant movements in major market indices, exchange traded funds, index futures or other financial instruments in the U.S. or other markets.

Repurchase Agreements

The Funds, including the S&P 500 Index, Small Cap Index, International Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds (“Feeder Funds”) through their investment in the Master Portfolios, may enter into repurchase agreements with banks, brokers, dealers or other financial institutions, in accordance with a Fund’s investment restrictions. Repurchase agreements involve the purchase of securities with a simultaneous commitment to resell the securities to the seller at an agreed-upon price and date. A Fund will invest only in repurchase agreements collateralized in an amount at least equal to the repurchase price plus accrued interest. To the extent that the proceeds from any sale of such collateral upon a default in the obligation to repurchase were less than the repurchase price, the Fund would suffer a loss. If the financial institution which is the party to the repurchase agreement petitions for bankruptcy or otherwise becomes subject to bankruptcy or other liquidation proceedings, there may be restrictions on the ability to sell the collateral and the Fund could suffer a loss. For those Funds that are not Feeder Funds, a Fund’s Schedule of Investments reflects repurchase agreements, if any, entered into as of June 30, 2005. For the Feeder Funds, see the Notes to Financial Statements for the Master Portfolios included elsewhere in this report for more information on repurchase agreements entered into by the Master Portfolios.

Securities transactions and investment income

For financial reporting purposes, security transactions are accounted for on trade date (date the order to buy or sell is executed). Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information is available to the Funds. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts on money market instruments and long-term debt instruments. Realized gains and losses from security transactions are reported on an identified cost basis.

Securities purchased on a “when-issued” basis

The Tax Advantaged Bond Fund may purchase municipal bonds on a “when-issued” basis. Delivery and payment for these securities may be a month or more after the purchase date, during which time such securities are subject to market fluctuations. The Tax Advantaged Bond Fund identifies and holds specific liquid assets with a market value at least equal to the amount of the when-issued purchase commitments. It is possible that the securities will never be issued and the commitment cancelled. At June 30, 2005, there were no commitments for such securities in the Tax Advantaged Bond Fund’s portfolio.

Multi-class fund structure

The Funds offer multiple classes of shares. Class A shares are offered to investors subject to an initial sales charge. Class B shares are offered without an initial sales charge, but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions. Class B shares automatically convert to Class A shares eight years after issuance. Institutional shares are offered to institutional investors, including certain insurance companies, defined contribution plans, defined benefit plans, and may be used as a funding vehicle for certain IRAs. Institutional shares are not subject to an initial sales charge or a contingent deferred sales charge. Class R-1, R-2 and R-3 shares are available for purchase or exchange for all Funds except the Tax Advantaged Bond Fund only by individuals or entities who enter into a Retirement Plan Record Keeping Service Agreement with Retirement Services, Inc. (“Bisys”), and who intend that the plan for which Bisys is providing administrative services will purchase Fund shares.

Investment income and certain Fund level expenses and expense reductions, if any, are borne pro rata on the basis of fair value of settled shares outstanding for the Bond, Tax Advantaged Bond, Money Market Funds and, indirectly, the Equity and Bond Fund, and relative net assets for all other Funds. Realized and unrealized gains and losses are borne pro rata on the basis of relative net assets for all Funds. However, each class bears certain expenses unique to that class such as distribution services and certain other class specific expenses. Differences in class expenses may result in the payment of different per share dividends by class. All shares of the Funds have equal rights with respect to voting subject to class specific arrangements.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Expenses

Expenses arising in connection with a specific Fund are allocated to that Fund. Common Trust expenses are generally allocated between the Funds in proportion to each Funds’ relative net assets.

Fund share valuation

The offering price of the shares of each Fund, other than Money Market Fund, is its Net Asset Value (“NAV”), plus an initial sales charge on the Class A shares. The offering price of the Money Market Fund and all Funds’ Class B, Institutional, Class R-1, Class R-2 and Class R-3 shares is the NAV. A separate NAV is calculated for each class of each Fund.

The NAV for each class of each Fund is determined as of the time of the close of regular session trading on the New York Stock Exchange (“NYSE”) (currently at 3:00 p.m., Central Time), on each day when the NYSE is open for business. Shares of the Funds will not be priced on days when the NYSE is closed.

Investments in Master Portfolios

The Feeder Funds, through their investments in the Master Portfolios, are diversified, open-end management investment companies. The Feeder Funds invest all of their assets in the Master Portfolios. The percentage of ownership in the Master Portfolios held by the Feeder Funds is detailed below:


Feeder Fund	Invests in Master Portfolio	% ownership interest held by the Feeder Funds at 06/30/2005
S&P 500 Index Fund	S&P 500 Index Master Portfolio	21.20	%

Small Cap Index Fund	Russell 2000 Index Master Portfolio	100.00	%

International Index Fund	International Index Master Portfolio	100.00	%

LifePath Income Fund	LifePath Retirement Master Portfolio	49.14	%

LifePath 2010 Fund	LifePath 2010 Master Portfolio	39.83	%

LifePath 2020 Fund	LifePath 2020 Master Portfolio	37.00	%

LifePath 2030 Fund	LifePath 2030 Master Portfolio	38.91	%

LifePath 2040 Fund	LifePath 2040 Master Portfolio	37.81	%

The Master Portfolios are diversified, open-end management investment companies, which have similar investment objectives as the respective Feeder Funds. The Master Portfolios operate as partnerships for federal income tax purposes. The financial statements of each Master Portfolio, including the Schedules of Investments, are included elsewhere in this report and should be read in conjunction with each Feeder Fund’s financial statements.

Each Feeder Fund records its investment in its Master Portfolio at fair value, based upon each Feeder Fund’s proportionate interest in the net assets of the respective Master Portfolio. Valuation policies relating to securities held by each Master Portfolio are disclosed in the notes of the respective Master Portfolio’s financial statements included elsewhere in this report.

Each Feeder Fund records daily its proportionate share of the Master Portfolio’s income, expenses, and realized and unrealized gains and losses. In addition, the Feeder Funds accrue their own expenses.

Federal income taxes, dividends and distributions to shareowners

It is the Funds’ policy to comply with the special provisions of Subchapter M of the Internal Revenue Code available to regulated investment companies and, in the manner provided therein, to distribute substantially all of their taxable income, as well as any net realized gain on sales of investments reportable for federal income tax purposes. The Funds intend to comply with this policy and, accordingly, no provision for federal income taxes has been made.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

As of June 30, 2005, aggregate securities holdings’ unrealized gains and losses based on cost for federal income tax purposes for certain Funds were as follows:


Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Equity Fund	$	239,468,444	$	40,140,558	$	(13,886,809	)	$	26,253,749
Small Cap Equity Fund		111,879,489		22,287,240		(11,458,374	)		10,828,866
International Equity Fund		67,109,302		11,432,497		(3,526,612	)		7,905,885
Equity and Bond Fund		163,954,696		7,978,874		—			7,978,874
Bond Fund		265,472,378		5,805,307		(1,494,745	)		4,310,562
Tax Advantaged Bond Fund		100,240,158		7,157,905		(1,253	)		7,156,652
Money Market Fund		98,770,890		—		—			—

The unrealized appreciation and depreciation information for the Master Investment Portfolio (“MIP”) can be found in the MIP Notes to Financials. The tax cost information noted in the LifePath Master Portfolios’ Notes to Financials does not include the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios. See the MIP Notes to Financials for the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios.

The Equity Fund, Small Cap Equity Fund, International Equity Fund, S&P 500 Index Fund, Small Cap Index Fund, International Index Fund, Equity and Bond Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund declare and pay dividend and capital gain distributions, if any, at least annually.

The Bond Fund, Tax Advantaged Bond Fund, and Money Market Fund declare dividends daily and distribute dividends monthly on the last business day of the month. Capital gain distributions on these Funds, if any, are generally paid annually.

The LifePath Income Fund declares and distributes dividends quarterly and capital gain distributions, if any, at least annually.

The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for futures contracts, the recognition of net realized losses, and foreign currency transactions. As a result, net investment income and net realized gain or loss on investment transactions for a reporting period may differ from distributions during such period. In addition, certain reclassifications were made among the components of net assets. These reclassifications had no affect on net investment income, net realized gain or loss, or net assets.

The International Equity Fund has elected to mark-to-market its investments in Passive Foreign Investment Companies (“PFICs”) for federal income tax purposes. In accordance with this election, the International Equity Fund recognized unrealized appreciation of $512,545 and capital gains of $18,674 during 2004 as ordinary income for federal income taxes. The cumulative amount of mark-to-market adjustments recognized on PFICs at December 31, 2004, was $639,116.

The tax character of distributions made during the six months ended June 30, 2005, were the same as the composition of distributions reflected in the Statements of Changes in Net Assets as of June 30, 2005.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

The tax character of distributions for all classes was as follows for the year ended December 31, 2004:


2004	Ordinary Income
2004	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3
Small Cap Index Fund	$	2,279,189	1,058,127	490,071	24,710	21,126	22,069
LifePath Income Fund		1,212,830	131,204	148,861	2,339	2,043	2,134
LifePath 2010 Fund		2,149,975	388,103	283,224	2,441	1,894	1,915
LifePath 2020 Fund		2,774,333	567,528	390,797	3,319	1,786	1,865
LifePath 2030 Fund		1,151,422	271,935	269,978	2,292	1,400	1,482
LifePath 2040 Fund		854,241	237,339	234,207	3,174	1,817	1,923

2004	Long Term Capital Gain
2004	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3
Small Cap Index Fund	$	1,887,464	985,148	329,477	18,353	15,447	15,473
LifePath Income Fund		692,090	90,820	70,959	1,237	1,064	1,064
LifePath 2010 Fund		1,877,127	417,182	207,411	1,986	1,526	1,473
LifePath 2020 Fund		1,923,791	484,757	226,046	2,094	1,143	1,138
LifePath 2030 Fund		1,265,059	388,425	236,833	2,264	1,400	1,390
LifePath 2040 Fund		392,279	130,947	91,030	1,343	783	786

2004	Total Distributions
2004	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3
Small Cap Index Fund	$	4,166,653	2,043,275	819,548	43,063	36,573	37,542
LifePath Income Fund		1,904,920	222,024	219,820	3,576	3,107	3,198
LifePath 2010 Fund		4,027,102	805,285	490,635	4,427	3,420	3,388
LifePath 2020 Fund		4,698,124	1,052,285	616,843	5,413	2,929	3,003
LifePath 2030 Fund		2,416,481	660,360	506,811	4,556	2,800	2,872
LifePath 2040 Fund		1,246,520	368,286	325,237	4,517	2,600	2,709

The tax character of distributions for the remaining Funds was the same as the composition of distributions reflected in the Statement of Changes in Net Assets as of December 31, 2004.

From November 1, 2004 through December 31, 2004, the Equity Fund incurred approximately $842,771 of net realized losses. As permitted by tax regulations, the Equity Fund elected to defer these losses and treat them as arising on January 1, 2005.

From November 1, 2004 through December 31, 2004, the International Equity Fund, LifePath Income Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund incurred approximately $66,131, $3,695, $132,597, $1,884 and $58,149 in foreign exchange losses, respectively. As permitted by tax regulations, those Funds elected to defer these losses and treat them as arising on January 1, 2005.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

At June 30, 2005, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:


	Year of Expiration					Total
	2009		2010	2011	2012	Total
Equity Fund	$	—	3,983,984	577,465	—	$	4,561,449
Small Cap Equity Fund		—	—	2,200,639	—		2,200,639
International Equity Fund		104,896	4,360,867	4,740,479	—		9,206,242
S&P 500 Index Fund		187,247	3,819,990	903,770	—		4,911,007
International Index Fund		—	972,310	622,378	—		1,594,688
Equity and Bond Fund		—	—	—	8,846		8,846
Bond Fund		—	—	498,280	—		498,280
Tax Advantaged Bond Fund		328	2,457	102,062	428		105,275

At December 31, 2004, the Small Cap Index Fund, LifePath Income Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund had an undistributed long-term capital gain of $738,944, $93,101, $79,426, $203,906, $36,679 and $8,317, respectively.

The undistributed net investment income in accordance with the federal tax regulations at December 31, 2004, for the International Equity Fund, S&P 500 Index Fund, Small Cap Index Fund, International Index Fund, Bond Fund and Money Market Fund, was $199,523, $55,646, $428,362, $184,088, $48,913 and $7,441, respectively. The difference between these amounts and the undistributed net investment income reported on the Statement of Assets and Liabilities as of December 31, 2004, for the International Equity Fund relates to forward foreign currency contracts, mark-to-market of PFICs, and post-October loss deferrals. For the S&P 500 Index Fund and the Small Cap Index Fund, the difference relates to return of capital transactions. For the International Index Fund, the difference relates to mark-to-market of PFICs and forward foreign currency contracts. For the Bond Fund and Money Market Fund, dividends paid for federal income tax purposes are less than dividends paid in accordance with GAAP due to non-deductible 12b-1 fees in 2001. The undistributed net investment income in accordance with the federal tax regulations at December 31, 2004, for the LifePath Income Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund, was $5,556, $127,405, $553,456, $436,561 and $424,522, respectively. The difference between these amounts and the undistributed net investment income reported on the Statement of Assets and Liabilities as of December 31, 2004, relates primarily to amortization for GAAP but not for federal income tax purposes and post-October loss deferrals. For the remaining Funds, the undistributed net investment income in accordance with federal tax regulations at December 31, 2004 was the same as the undistributed net investment income reflected in the Statements of Assets and Liabilities as of December 31, 2004.

Foreign currency translation

Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing foreign exchange rates at June 30, 2005. Purchases and sales of investment securities are translated into U.S. dollars at the prevailing foreign exchange rates on the respective dates of transactions. That portion of realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with realized and unrealized gains and losses on investment securities.

Use of estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Commitments and contingencies

In the normal course of business, the Trust enters into contracts on behalf of the Funds that may contain provisions for general indemnifications. Each Fund’s maximum exposure under these indemnification provisions is unknown, as this would involve future claims that may be made against each Fund that are not known at this time. However, based on past experience, the Funds believe the risk of loss from these indemnification provisions is improbable.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Financial instruments

The Feeder Funds, through their investment in the Master Portfolios, may enter into stock index futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. These contracts obligate such Funds to make or take delivery of a financial instrument or the cash value of a securities index at a specified future date at a specified price. Realized and unrealized gains and losses are reflected in the Statement of Operations. Unrealized gains and losses on open futures contracts are reflected as a component of net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Daily fluctuations in the margin requirements for futures contracts are recorded as variation margin receivable or payable on the Statements of Assets and Liabilities. Additionally, the International Equity and International Index Funds may enter into forward foreign currency contracts to purchase or sell foreign currencies. These Funds bear the market risk that arises from changes in the value of financial instruments and securities indices (futures contracts) or from changes in foreign currency rates (forward foreign currency contracts) and the credit risk should a counterparty fail to perform under such contracts.

Investment Advisory and Management Services Agreement

The Trust has entered into an investment advisory and management services agreement with SFIMC, which serves as the Trust’s investment adviser and conducts the business and affairs of the Trust. Each Fund pays SFIMC an investment advisory and management services fee based upon that Fund’s average daily net assets. The fee is accrued daily and paid to SFIMC quarterly. The rates for the Feeder Funds include the fee for Barclays Global Fund Advisors’ (“Barclays”) investment advisory services to the Master Portfolio.


Equity Fund	0.60	%
Small Cap Equity Fund	0.80	%
International Equity Fund	0.80	%
S&P 500 Index Fund	0.20	%
Small Cap Index Fund	0.35	%
International Index Fund	0.50	%
Equity and Bond Fund	None
Bond Fund	0.10	%
Tax Advantaged Bond Fund	0.10	%
Money Market Fund	0.10	%
LifePath Income Fund	0.70	%
LifePath 2010 Fund	0.70	%
LifePath 2020 Fund	0.70	%
LifePath 2030 Fund	0.70	%
LifePath 2040 Fund	0.70	%

SFIMC does not receive an investment advisory and management services fee for performing its services for the Equity and Bond Fund. However, SFIMC receives investment advisory and management services fees from managing the underlying Funds into which the Equity and Bond Fund invests. The Equity and Bond Fund pays no sales loads or similar compensation to SFIMC to acquire shares of each Fund in which it invests. Because the underlying Funds have varied expenses and fee levels and the Equity and Bond Fund may own different proportions of the underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Equity and Bond Fund will vary.

SFIMC has engaged Capital Guardian Trust Company (“Capital Guardian”) as the investment sub-adviser to provide day-to-day portfolio management for the Small Cap Equity Fund and International Equity Fund. In accordance with the overall investment objectives of each respective Fund, Capital Guardian determines which securities to buy and sell for each of those Funds, selects the brokers and dealers to effect the transactions, and negotiates commissions. Capital Guardian’s sub-advisory fees for managing the respective portfolios are paid by SFIMC. No additional advisory fees are charged to the Funds. During the six months ended June 30, 2005, the following fees were earned by Capital Guardian for providing sub-advisory services (although not all amounts indicated were paid during that period):


Small Cap Equity Fund	$	199,435
International Equity Fund		127,427

Total	$	326,862

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Distribution and Shareholder Services Agreements

The Trust has entered into distribution plan agreements pursuant to Rule 12b-1 of the Investment Company Act of 1940 with State Farm VP Management Corp. (“VP Management Corp.”). Under terms of these agreements, each Fund pays VP Management Corp. an annual fee based on a specified percentage of average daily net assets, up to the following amounts:


	Class A		Class B		Class R-1		Class R-2
All Funds other than Money Market Fund	0.25	%	0.65	%	0.50	%	0.30	%
Money Market Fund	0.15	%	0.55	%	0.40	%	0.20	%

The annual fee amount is payable to VP Management Corp. by each Fund only to the extent VP Management Corp. has incurred distribution expenses to be reimbursed. Any distribution expenses incurred by VP Management Corp. and not otherwise reimbursed by the Funds under the applicable distribution plan can be carried forward and reimbursed in a later time period. At June 30, 2005, VP Management Corp. had not been reimbursed for the following amounts:


Equity Fund	$	3,189,204
Small Cap Equity Fund		4,106,440
International Equity Fund		2,950,856
S&P 500 Index Fund		8,681,127
Small Cap Index Fund		5,625,027
International Index Fund		3,392,220
Equity and Bond Fund		5,474,480
Bond Fund		4,841,680
Tax Advantaged Bond Fund		4,661,713
Money Market Fund		2,462,573
LifePath Income Fund		766,853
LifePath 2010 Fund		1,687,671
LifePath 2020 Fund		2,480,528
LifePath 2030 Fund		1,512,155
LifePath 2040 Fund		898,576

TOTAL	$	52,731,103

The Trust has a separate shareholder services agreement with SFIMC. Through April 30, 2005, the terms of the shareholder services agreement provided that each Fund paid SFIMC a fee of 0.25% of average daily net assets of Class A and Class B shares and 0.32% of Class R-1, Class R-2 and Class R-3 shares. Effective May 1, 2005, each Fund, except the Equity and Bond Fund, pays SFIMC a fee of 0.25% of average daily net assets of Class A, Class B and Institutional shares and, for the current year, 0.32% of Class R-1, Class R-2 and Class R-3 shares. The Equity and Bond Fund does not directly pay SFIMC any shareholder services fee for Class A, Class B or Institutional shares and, for the current year, directly pays 0.07% of average daily net assets of Class R-1, Class R-2 and Class R-3 shares. However, SFIMC receives a shareholder services fee from managing the Equity Fund and Bond Fund into which the Equity and Bond Fund invests.

Officers and Trustees

Certain officers and/or trustees of the Trust are also officers and/or directors of SFIMC. The Trust made no payments to its officers or trustees except for trustees’ fees paid to or accrued for the Trust’s independent trustees and the Trust’s portion of the compensation paid to or accrued for the Trust’s Chief Compliance Officer.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Expense Limitation and Expense Waiver Agreements

For the Class A, Class B and Institutional shares of all Funds other than the LifePath Funds, SFIMC has agreed to reimburse each Class if, and to the extent, the Class’s total annual operating expenses exceed the percentage of each Class’s average net assets indicated in the table below. SFIMC has agreed to reimburse each LifePath Fund Class if, and to the extent, the LifePath Fund Class’s total annual operating expenses, including net expenses incurred at the Master Portfolio and Underlying Fund levels, exceed the percentages of each LifePath Fund Class’s average net assets shown in the table below:


	Class A		Class B		Institutional through 04/30/2005		Institutional effective 05/01/2005
Equity Fund	1.20	%	1.60	%	0.70	%	0.95	%
Small Cap Equity Fund	1.40	%	1.80	%	0.90	%	1.15	%
International Equity Fund	1.50	%	1.90	%	1.00	%	1.25	%
S&P 500 Index Fund	0.80	%	1.20	%	0.30	%	0.55	%
Small Cap Index Fund	0.95	%	1.35	%	0.45	%	0.70	%
International Index Fund	1.15	%	1.55	%	0.65	%	0.90	%
Equity and Bond Fund	0.25	%(a)	0.65	%(a)	—		—
Bond Fund	0.70	%	1.10	%	0.20	%	0.45	%
Tax Advantaged Bond Fund	0.70	%	1.10	%	0.20	%	0.45	%
Money Market Fund	0.60	%	1.00	%	0.20	%	0.45	%
LifePath Income Fund	1.30	%	1.70	%	0.80	%	1.05	%
LifePath 2010 Fund	1.30	%	1.70	%	0.80	%	1.05	%
LifePath 2020 Fund	1.30	%	1.70	%	0.80	%	1.05	%
LifePath 2030 Fund	1.30	%	1.70	%	0.80	%	1.05	%
LifePath 2040 Fund	1.30	%	1.70	%	0.80	%	1.05	%

(a)

Through April 30, 2005, the expense reimbursement threshold for Equity and Bond Fund Class A and Class B shares was 0.50% and 0.90%, respectively. Effective May 1, 2005, the expense reimbursement threshold for the Equity and Bond Fund Class A and Class B shares was reduced to 0.25% and 0.65%, respectively.

All changes effective May 1, 2005, are a result of changes previously described in the Distribution and Shareholder Services Agreements section.

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

For all Class R shares, SFIMC has agreed to reimburse each Class for any expenses incurred by the Class, other than management fees, administrative fees charged by the Master Portfolios, distribution (12b-1) fees, and shareholder services fees, that exceed the following percentage of the Class’s average daily assets:


Fund	Expense Reimbursement Threshold
Equity Fund	0.10	%
Small Cap Equity Fund	0.10	%
International Equity Fund	0.20	%
S&P 500 Index Fund	0.10	%
Small Cap Index Fund	0.10	%
International Index Fund	0.15	%
Bond Fund	0.10	%
Money Market Fund	0.10	%
LifePath Income Fund	0.10	%
LifePath 2010 Fund	0.10	%
LifePath 2020 Fund	0.10	%
LifePath 2030 Fund	0.10	%
LifePath 2040 Fund	0.10	%

SFIMC has agreed to reimburse all expenses directly incurred by all Class R shares of the Equity and Bond Fund excluding distribution and shareholder servicing fees directly incurred by the Equity and Bond Fund. With respect to all classes of the LifePath Funds, Barclays has voluntarily agreed to waive management fees at the Master Portfolio level in an amount equal to the management fees, if any, charged to the Underlying Funds.

These arrangements are voluntary and may be eliminated by SFIMC or Barclays at any time.

3.	Investment transactions

Investment transactions (exclusive of short-term instruments) were as follows:


	Six months ended June 30, 2005				Year ended December 31, 2004
	Purchases		Sales		Purchases		Sales
Equity Fund	$	—	$	1,170,745	$	44,534,300	$	4,022,647
Small Cap Equity Fund		28,071,575		27,835,754		50,988,662		37,852,316
International Equity Fund		15,369,149		10,116,732		19,938,849		13,282,925
Equity and Bond Fund		8,915,660		1,521,414		22,104,368		1,235,563
Bond Fund		39,441,445		18,415,358		64,828,968		26,133,534
Tax Advantaged Bond Fund		6,136,591		—		7,361,835		1,739,955

Foreign currency contracts

International Equity Fund had the following open forward foreign currency contracts at June 30, 2005:


Foreign amount	Currency	Contracts	Settlement date	U.S. Dollar	Unrealized gain (loss)
712,890	Canadian Dollar	3	07/05/2005-07/29/2005	582,349		(6,349	)
336,839	Euro	2	07/05/2005-07/07/2005	407,663		24,872
500,993	Great Britain Pound	4	07/05/2005-09/28/2005	896,072		(13,421	)
230,215	Hong Kong Dollar	1	07/05/2005	29,625		10
111,157,100	Japanese Yen	6	07/01/2005-07/20/2005	1,003,042		28,675
2,021,860	Swiss Franc	8	07/01/2005-09/28/2005	1,585,368		43,423

				Total	$	77,210

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

4.	Fund share transactions

Proceeds and payments on Fund shares as shown in the Statements of Changes in Net Assets are in respect of the following number of shares and dollars by class:

Six months ended June 30, 2005


	Class A Dollar Amounts								Class A Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	11,719,657	$	740	$	9,951,193	$	1,769,204	1,370,480	87	1,162,390	208,177
Small Cap Equity Fund		5,392,348		—		4,936,347		456,001	545,505	—	496,874	48,631
International Equity Fund		3,895,245		197		1,428,838		2,466,604	422,773	21	155,142	267,652
S&P 500 Index Fund		46,220,833		3,010,141		22,835,836		26,395,138	5,135,942	330,422	2,533,584	2,932,780
Small Cap Index Fund		20,287,883		3,296,738		9,679,075		13,905,546	1,609,667	252,042	768,509	1.093,200
International Index Fund		17,407,770		449,167		4,020,313		13,836,624	1,706,441	43,822	395,049	1,355,214
Equity and Bond Fund		9,797,590		541,162		6,522,925		3,815,827	1,026,052	56,607	683,457	399,202
Bond Fund		20,581,602		2,075,008		11,220,114		11,436,496	1,944,890	195,868	1,059,859	1,080,899
Tax Advantaged Bond Fund		10,781,746		566,301		4,019,637		7,328,410	970,895	50,920	361,532	660,283
Money Market Fund		53,687,476		747,505		50,493,279		3,941,702	53,687,476	747,505	50,493,279	3,941,702
LifePath Income Fund		22,725,899		2,043,087		8,209,268		16,559,718	2,053,437	184,662	743,054	1,495,045
LifePath 2010 Fund		50,405,570		4,022,535		11,953,803		42,474,302	4,373,065	348,875	1,035,367	3,686,573
LifePath 2020 Fund		71,301,049		4,685,764		13,120,728		62,866,085	5,873,733	385,343	1,080,034	5,179,042
LifePath 2030 Fund		48,586,365		2,410,441		6,810,985		44,185,821	3,859,287	191,153	540,930	3,509,510
LifePath 2040 Fund		34,252,702		1,243,324		4,008,495		31,487,531	2,640,004	95,567	307,814	2,427,757

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class B Dollar Amounts										Class B Share Amounts
	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	3,624,663	$	(20	)	$	2,814,081	$	810,562		427,091	(2	)	331,233	95,856
Small Cap Equity Fund		1,614,306		—			1,200,311		413,995		166,465	—		123,525	42,940
International Equity Fund		919,598		21			368,155		551,464		100,431	2		40,139	60,294
S&P 500 Index Fund		13,707,236		713,743			6,329,662		8,091,317		1,526,489	78,433		703,440	901,482
Small Cap Index Fund		5,179,521		1,046,185			2,332,677		3,893,029		414,996	80,476		186,730	308,742
International Index Fund		3,696,751		93,238			899,287		2,890,702		362,573	9,096		88,264	283,405
Equity and Bond Fund		3,470,475		153,444			2,317,646		1,306,273		364,111	16,034		242,777	137,368
Bond Fund		4,433,558		642,110			3,016,971		2,058,697		418,977	60,600		285,003	194,574
Tax Advantaged Bond Fund		370,944		63,372			707,774		(273,458	)	33,288	5,696		63,675	(24,691	)
Money Market Fund		772,942		6,803			417,622		362,123		772,942	6,803		417,622	362,123
LifePath Income Fund		2,142,596		223,718			778,698		1,587,616		193,882	20,221		70,531	143,572
LifePath 2010 Fund		8,163,347		791,000			1,845,166		7,109,181		710,051	68,842		160,591	618,302
LifePath 2020 Fund		15,680,811		1,038,031			2,504,400		14,214,442		1,293,581	85,505		206,504	1,172,582
LifePath 2030 Fund		12,768,561		648,104			1,534,823		11,881,842		1,019,243	51,601		122,681	948,163
LifePath 2040 Fund		8,854,935		354,616			1,035,295		8,174,256		683,140	27,320		80,060	630,400

	Institutional Class Dollar Amounts										Institutional Class Share Amounts
	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	6,502,010	$	60		$	980,714	$	5,521,356		782,406	8		117,305	665,109
Small Cap Equity Fund		1,623,032		—			677,137		945,895		164,202	—		67,896	96,306
International Equity Fund		982,963		200			273,357		709,806		107,635	26		29,560	78,101
S&P 500 Index Fund		8,943,539		507,768			1,795,576		7,655,731		992,687	55,617		198,928	849,376
Small Cap Index Fund		5,594,649		708,676			1,698,111		4,605,214		442,142	53,691		133,237	362,596
International Index Fund		5,114,315		125,176			1,588,487		3,651,004		499,779	12,181		156,662	355,298
Equity and Bond Fund		1,345,200		66,856			383,187		1,028,869		141,680	7,031		40,231	108,480
Bond Fund		6,992,541		195,260			2,109,823		5,077,978		661,011	18,451		199,490	479,972
Tax Advantaged Bond Fund		40,185		1,934			7,836		34,283		3,631	174		704	3,101
Money Market Fund		5,873,482		123,116			5,056,372		940,226		5,873,482	123,116		5,056,372	940,226
LifePath Income Fund		1,106,459		223,019			385,134		944,344		100,042	20,116		34,770	85,388
LifePath 2010 Fund		4,898,071		475,553			2,005,064		3,368,560		423,230	41,031		173,661	290,600
LifePath 2020 Fund		9,060,685		606,105			1,384,175		8,282,615		742,105	49,559		113,294	678,370
LifePath 2030 Fund		8,519,900		494,013			765,363		8,248,550		674,534	39,053		60,688	652,899
LifePath 2040 Fund		7,271,038		313,767			877,915		6,706,890		557,925	24,043		27,166	514,802

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class R-1 Dollar Amounts								Class R-1 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	430,344	$	—	$	24,771	$	405,573	51,474	—	2,964	48,510
Small Cap Equity Fund		217,923		—		13,247		204,676	22,062	—	1,308	20,754
International Equity Fund		137,364		—		7,168		130,196	15,029	—	788	14,241
S&P 500 Index Fund		1,377,681		7,325		157,854		1,227,152	152,918	803	17,472	136,249
Small Cap Index Fund		526,236		6,819		75,223		457,832	41,561	517	5,778	36,300
International Index Fund		305,934		1,838		32,435		275,337	29,790	179	3,183	26,786
Equity and Bond Fund		157,692		1,244		17,094		141,842	16,779	132	1,815	15,096
Bond Fund		569,406		7,958		67,889		509,475	53,854	752	6,397	48,209
Money Market Fund		2,269,815		8,272		1,336,947		941,140	2,269,815	8,272	1,336,947	941,140
LifePath Income Fund		482,298		3,669		32,575		453,392	43,486	332	2,921	40,897
LifePath 2010 Fund		589,525		1,143		16,380		574,288	50,982	99	1,415	49,666
LifePath 2020 Fund		1,018,422		2,504		48,224		972,702	83,465	205	3,942	79,728
LifePath 2030 Fund		1,002,872		1,772		33,352		971,292	79,450	140	2,658	76,932
LifePath 2040 Fund		840,327		1,886		36,035		806,178	64,639	145	2,739	62,045

	Class R-2 Dollar Amounts								Class R-2 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	753,863	$	—	$	12,706	$	741,157	89,740	—	1,516	88,224
Small Cap Equity Fund		104,218		—		10,454		93,764	10,162	—	1,048	9,114
International Equity Fund		87,903		—		20,791		67,112	9,462	—	2,273	7,189
S&P 500 Index Fund		1,025,507		—		36,215		989,292	113,344	—	3,965	109,379
Small Cap Index Fund		322,407		—		10,702		311,705	25,682	—	832	24,850
International Index Fund		355,247		—		19,168		336,079	35,097	—	1,881	33,216
Equity and Bond Fund		38,724		237		—		38,961	4,081	25	—	4,106
Bond Fund		490,983		4,370		21,481		473,872	46,693	412	2,021	45,084
Money Market Fund		3,599,649		8,830		2,249,433		1,359,046	3,599,649	8,830	2,249,433	1,359,046
LifePath Income Fund		561,118		3,744		7,123		557,739	50,539	340	638	50,241
LifePath 2010 Fund		700,385		120		696		699,809	60,454	10	60	60,404
LifePath 2020 Fund		926,077		45		7,969		918,153	75,990	4	652	75,342
LifePath 2030 Fund		746,670		33		10,782		735,921	58,976	3	844	58,135
LifePath 2040 Fund		1,203,146		2		4,052		1,199,096	92,307	—	307	92,000

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class R-3 Dollar Amounts								Class R-3 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	39,185	$	—	$	1,620	$	37,565	4,740	—	194	4,546
Small Cap Equity Fund		61,043		—		9,784		51,259	6,053	—	977	5,076
International Equity Fund		15,281		—		14		15,267	1,668	—	2	1,666
S&P 500 Index Fund		87,618		37		35,207		52,448	9,662	4	4,001	5,665
Small Cap Index Fund		34,294		62		13,683		20,673	2,705	5	1,122	1,588
International Index Fund		24,578		9		1,530		23,057	2,407	1	149	2,259
Equity and Bond Fund		16,217		72		7,986		8,303	1,711	8	848	871
Bond Fund		47,500		632		917		47,215	4,495	60	86	4,469
Money Market Fund		451,747		742		61,379		391,110	451,747	742	61,379	391,110
LifePath Income Fund		10		—		—		10	1	—	—	1
LifePath 2010 Fund		12,466		—		156		12,310	1,075	—	13	1,062
LifePath 2020 Fund		292,334		34		35,633		256,735	23,760	3	2,905	20,858
LifePath 2030 Fund		182,236		13		1		182,248	14,305	1	—	14,306
LifePath 2040 Fund		21,717		12		4		21,725	1,699	1	—	1,700

*Year ended December 31, 2004 (Since September 13, 2004, for all Class R shares)*

	Class A Dollar Amounts								Class A Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	30,509,211	$	877,951	$	15,871,530	$	15,515,632	3,759,736	102,445	1,963,049	1,899,132
Small Cap Equity Fund		15,440,914		—		10,375,109		5,065,805	1,592,755	—	1,115,529	477,226
International Equity Fund		6,728,156		116,971		5,007,424		1,837,703	789,799	12,561	595,649	206,711
S&P 500 Index Fund		121,031,241		1,110,016		37,076,819		85,064,438	14,066,971	131,980	4,315,887	9,883,064
Small Cap Index Fund		47,919,275		456,837		16,565,535		31,810,577	3,914,519	38,814	1,363,556	2,589,777
International Index Fund		22,483,201		565		6,779,641		15,704,125	2,447,136	67	740,949	1,706,254
Equity and Bond Fund		26,722,179		1,506,161		15,627,996		12,600,344	2,885,938	159,821	1,691,426	1,354,333
Bond Fund		43,608,056		3,467,988		27,079,642		19,996,402	4,094,023	326,202	2,545,901	1,874,324
Tax Advantaged Bond Fund		15,840,534		1,009,339		10,222,541		6,627,332	1,428,604	91,249	924,590	595,263
Money Market Fund		116,045,100		510,161		108,518,512		8,036,749	116,045,100	510,161	108,518,512	8,036,749
LifePath Income Fund		43,821,573		484,049		10,719,548		33,586,074	4,015,245	44,672	985,547	3,074,370
LifePath 2010 Fund		97,420,269		111,956		11,629,613		85,902,612	8,612,027	10,051	1,026,895	7,595,183
LifePath 2020 Fund		130,559,341		136,886		12,542,234		118,153,993	11,097,835	11,873	1,065,677	10,044,031
LifePath 2030 Fund		73,238,584		66,638		8,028,883		65,276,339	6,062,226	5,658	659,780	5,408,104
LifePath 2040 Fund		43,587,000		25,915		5,527,561		38,085,354	3,519,848	2,145	444,706	3,077,287

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class B Dollar Amounts										Class B Share Amounts
	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	9,159,427	$	213,834		$	3,559,477	$	5,813,784		1,136,949	25,098		441,414	720,633
Small Cap Equity Fund		4,375,867		—			1,886,431		2,489,436		455,021	—		199,637	255,384
International Equity Fund		1,733,030		18,974			598,985		1,153,019		204,538	2,049		70,318	136,269
S&P 500 Index Fund		33,996,084		228,195			9,549,850		24,674,429		3,959,032	27,131		1,110,289	2,875,874
Small Cap Index Fund		12,499,960		97,964			3,340,940		9,256,984		1,032,948	8,350		275,453	765,845
International Index Fund		5,070,288		(97	)		1,082,118		3,988,073		554,886	(12	)	118,379	436,495
Equity and Bond Fund		8,916,229		506,725			4,081,207		5,341,747		961,240	53,594		439,675	575,159
Bond Fund		9,729,416		1,144,754			6,109,222		4,764,948		913,087	107,611		572,880	447,818
Tax Advantaged Bond Fund		966,827		134,830			1,474,535		(372,878	)	87,015	12,188		133,515	(34,312	)
Money Market Fund		798,002		2,379			609,952		190,429		798,002	2,379		609,952	190,429
LifePath Income Fund		5,151,052		45,121			846,413		4,349,760		473,145	4,173		77,918	399,400
LifePath 2010 Fund		18,307,057		19,662			1,789,852		16,536,867		1,623,915	1,768		158,398	1,467,285
LifePath 2020 Fund		29,951,785		26,807			2,868,971		27,109,621		2,553,277	2,327		243,158	2,312,446
LifePath 2030 Fund		20,708,505		14,788			2,263,293		18,460,000		1,721,797	1,259		186,612	1,536,444
LifePath 2040 Fund		13,188,031		5,558			1,641,406		11,552,183		1,068,974	461		132,731	936,704

	Institutional Class Dollar Amounts										Institutional Class Share Amounts
	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	18,044,567	$	206,966		$	2,124,688	$	16,126,845		2,289,954	24,727		267,379	2,047,302
Small Cap Equity Fund		3,565,611		—			1,271,816		2,293,795		364,961	—		133,130	231,831
International Equity Fund		1,349,386		34,512			418,186		965,712		158,757	3,729		48,992	113,494
S&P 500 Index Fund		15,463,275		187,876			3,414,238		12,236,913		1,793,379	22,293		395,043	1,420,629
Small Cap Index Fund		9,534,270		113,986			2,128,172		7,520,084		770,624	9,595		171,957	608,262
International Index Fund		4,955,157		190			907,828		4,047,519		534,470	22		95,668	438,824
Equity and Bond Fund		2,427,355		161,769			755,339		1,833,785		262,970	17,265		81,778	198,457
Bond Fund		13,395,564		1,585,495			3,544,446		11,436,613		1,260,817	149,516		334,340	1,075,993
Tax Advantaged Bond Fund		30,432		2,839			8,569		24,702		2,728	257		782	2,203
Money Market Fund		13,819,705		96,393			11,623,896		2,292,202		13,819,705	96,393		11,623,896	2,292,202
LifePath Income Fund		3,987,617		53,488			317,259		3,723,846		361,446	4,924		29,024	337,346
LifePath 2010 Fund		10,897,675		15,372			1,080,943		9,832,104		955,252	1,375		94,397	862,230
LifePath 2020 Fund		15,511,700		20,468			1,198,739		14,333,429		1,313,615	1,769		100,693	1,214,691
LifePath 2030 Fund		12,169,000		20,886			1,039,160		11,150,726		1,004,184	1,768		85,089	920,863
LifePath 2040 Fund		9,635,156		7,644			675,026		8,967,774		775,392	631		54,024	721,999

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class R-1 Dollar Amounts								Class R-1 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	1,050,653	$	561	$	—	$	1,051,214	135,105	67	—	135,172
Small Cap Equity Fund		1,031,224		—		—		1,031,224	116,841	—	—	116,841
International Equity Fund		1,049,582		469		—		1,050,051	125,662	50	—	125,712
S&P 500 Index Fund		1,561,325		—		67		1,561,258	177,275	—	8	177,267
Small Cap Index Fund		1,211,918		—		—		1,211,918	98,011	—	—	98,011
International Index Fund		1,141,642		—		—		1,141,642	124,208	—	—	124,208
Equity and Bond Fund		1,076,019		1,677		—		1,077,696	117,501	178	—	117,679
Bond Fund		1,179,943		463		—		1,180,406	111,169	43	—	111,212
Money Market Fund		1,121,776		117		98		1,121,795	1,121,776	117	98	1,121,795
LifePath Income Fund		118,140		—		15		118,125	10,750	—	1	10,749
LifePath 2010 Fund		136,943		—		15		136,928	11,910	—	1	11,909
LifePath 2020 Fund		192,810		—		149		192,661	15,921	—	12	15,909
LifePath 2030 Fund		170,372		—		154		170,218	13,776	—	12	13,764
LifePath 2040 Fund		205,612		—		105		205,507	16,101	—	8	16,093


	Class R-2 Dollar Amounts								Class R-2 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	1,000,010	$	—	$	—	$	1,000,010	129,033	—	—	129,033
Small Cap Equity Fund		1,000,135		—		128		1,000,007	113,780	—	14	113,766
International Equity Fund		1,000,010		—		—		1,000,010	120,193	—	—	120,193
S&P 500 Index Fund		1,000,010		—		—		1,000,010	116,010	—	—	116,010
Small Cap Index Fund		1,000,010		—		—		1,000,010	82,441	—	—	82,441
International Index Fund		1,000,010		—		—		1,000,010	110,255	—	—	110,255
Equity and Bond Fund		1,000,010		—		—		1,000,010	109,530	—	—	109,530
Bond Fund		1,000,020		—		—		1,000,020	94,253	—	—	94,253
Money Market Fund		1,000,357		—		90		1,000,267	1,000,357	—	90	1,000,267
LifePath Income Fund		100,000		—		—		100,000	9,132	—	—	9,132
LifePath 2010 Fund		109,199		—		—		109,199	9,579	—	—	9,579
LifePath 2020 Fund		109,711		—		—		109,711	9,269	—	—	9,269
LifePath 2030 Fund		102,033		—		—		102,033	8,464	—	—	8,464
LifePath 2040 Fund		100,130		—		—		100,130	8,140	—	—	8,140

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)


	Class R-3 Dollar Amounts								Class R-3 Share Amounts
	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	1,002,220	$	28	$	122	$	1,002,126	129,298	3	14	129,287
Small Cap Equity Fund		1,001,050		—		21		1,001,029	113,869	—	2	113,867
International Equity Fund		1,000,401		4		10		1,000,395	120,236	1	1	120,236
S&P 500 Index Fund		1,002,663		—		—		1,002,663	116,301	—	—	116,301
Small Cap Index Fund		1,001,850		—		—		1,001,850	82,578	—	—	82,578
International Index Fund		1,000,655		—		—		1,000,655	110,319	—	—	110,319
Equity and Bond Fund		1,001,403		32		56		1,001,379	109,676	3	6	109,673
Bond Fund		1,006,862		16		—		1,006,878	94,896	1	—	94,897
Money Market Fund		1,060,374		80		40		1,060,414	1,060,374	80	40	1,060,414
LifePath Income Fund		100,000		—		—		100,000	9,132	—	—	9,132
LifePath 2010 Fund		100,010		—		—		100,010	8,796	—	—	8,796
LifePath 2020 Fund		101,216		—		—		101,216	8,580	—	—	8,580
LifePath 2030 Fund		100,489		—		—		100,489	8,344	—	—	8,344
LifePath 2040 Fund		100,497		—		—		100,497	8,168	—	—	8,168

STATE FARM MUTUAL FUND TRUST EQUITY FUND

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the financial performance of each Fund. Certain information reflects financial results for a single Fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions).

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain		Total distributions
Class A Shares
Six months ended 06/30/2005 (d)	$	8.54	$	0.04		$	(0.06	)	$	(0.02	)	$	—		$	—	$	—
Year ended 12/31/2004		8.00		0.09			0.53			0.62			(0.08	)		—		(0.08	)
Year ended 12/31/2003		6.55		0.05			1.44			1.49			(0.04	)		—		(0.04	)
Year ended 12/31/2002		8.10		0.04			(1.56	)		(1.52	)		(0.03	)		—		(0.03	)
Year ended 12/31/2001		9.47		0.02			(1.39	)		(1.37	)		—			—		—
Period ended 12/31/2000 (f)		10.00		0.01			(0.53	)		(0.52	)		(0.01	)		—		(0.01	)
Class B Shares
Six months ended 06/30/2005 (d)		8.49		0.03			(0.06	)		(0.03	)		—			—		—
Year ended 12/31/2004		7.96		0.06			0.52			0.58			(0.05	)		—		(0.05	)
Year ended 12/31/2003		6.51		0.02			1.45			1.47			(0.02	)		—		(0.02	)
Year ended 12/31/2002		8.06		0.01			(1.55	)		(1.54	)		(0.01	)		—		(0.01	)
Year ended 12/31/2001		9.47		(0.02	)		(1.39	)		(1.41	)		—			—		—
Period ended 12/31/2000 (f)		10.00		0.01			(0.53	)		(0.52	)		(0.01	)		—		(0.01	)
Institutional Shares
Six months ended 06/30/2005 (d)		8.34		0.06			(0.06	)		(0.00	)		—			—		—
Year ended 12/31/2004		7.81		0.13			0.52			0.65			(0.12	)		—		(0.12	)
Year ended 12/31/2003		6.38		0.09			1.41			1.50			(0.07	)		—		(0.07	)
Year ended 12/31/2002		7.88		0.07			(1.52	)		(1.45	)		(0.05	)		—		(0.05	)
Period ended 12/31/2001 (g)		7.54		0.02			0.34			0.36			(0.02	)		—		(0.02	)
Class R-1 Shares
Six months ended 06/30/2005 (d)		8.33		0.03			(0.05	)		(0.02	)		—			—		—
Period ended 12/31/2004 (h)		7.75		0.04			0.64			0.68			(0.10	)		—		(0.10	)
Class R-2 Shares
Six months ended 06/30/2005 (d)		8.33		0.04			(0.05	)		(0.01	)		—			—		—
Period ended 12/31/2004 (h)		7.75		0.04			0.64			0.68			(0.10	)		—		(0.10	)
Class R-3 Shares
Six months ended 06/30/2005 (d)		8.33		0.05			(0.05	)		0.00			—			—		—
Period ended 12/31/2004 (h)		7.75		0.05			0.64			0.69			(0.11	)		—		(0.11	)

(a)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(b)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(c)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(d)	Unaudited.

(e)	Determined on an annualized basis.

(f)	From commencement of investment operations October 31, 2000.

(g)	From commencement of investment operations November 1, 2001.

(h)	From commencement of investment operations August 23, 2004.

See accompanying notes to financial statements.


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (b)		Net assets, end of period (millions)		Expenses (c)		Net investment income (loss)		Expenses (c)		Net investment income (loss)		Portfolio turnover rate
$	8.52	(0.23	)%	$	97.3	1.18	%(e)	1.01	%(e)	1.18	%(e)	1.01	%(e)	0	%(e)
	8.54	7.80			95.7	1.18		1.11		1.18		1.11		2
	8.00	22.81			74.4	1.20		0.72		1.23		0.69		1
	6.55	(18.75	)		29.2	1.20		0.58		1.24		0.54		3
	8.10	(14.47	)		13.6	1.20		0.22		1.27		0.15		1
	9.47	(5.17	)		24.2	0.81	(e)	0.86	(e)	0.81	(e)	0.86	(e)	0	(e)
	8.46	(0.35	)		43.7	1.58	(e)	0.61	(e)	1.58	(e)	0.61	(e)	0	(e)
	8.49	7.32			43.0	1.58		0.71		1.58		0.71		2
	7.96	22.57			34.6	1.60		0.32		1.62		0.30		1
	6.51	(19.15	)		16.2	1.60		0.16		1.64		0.12		3
	8.06	(14.89	)		10.9	1.60		(0.18	)	1.67		(0.25	)	1
	9.47	(5.17	)		24.2	0.81	(e)	0.86	(e)	0.81	(e)	0.86	(e)	0	(e)
	8.34	0.00			120.0	0.77	(e)	1.42	(e)	0.77	(e)	1.42	(e)	0	(e)
	8.34	8.34			114.4	0.68		1.62		0.68		1.62		2
	7.81	23.52			91.2	0.68		1.24		0.68		1.24		1
	6.38	(18.35	)		51.5	0.70		1.07		0.72		1.05		3
	7.88	4.82			33.0	0.70	(e)	0.85	(e)	0.70	(e)	0.85	(e)	1	(e)
	8.31	(0.24	)		1.5	1.50	(e)	0.69	(e)	1.50	(e)	0.69	(e)	0	(e)
	8.33	8.76			1.1	1.51	(e)	1.33	(e)	1.51	(e)	1.33	(e)	2	(e)
	8.32	(0.12	)		1.8	1.30	(e)	0.90	(e)	1.30	(e)	0.90	(e)	0	(e)
	8.33	8.82			1.1	1.31	(e)	1.53	(e)	1.31	(e)	1.53	(e)	2	(e)
	8.33	0.00			1.1	1.00	(e)	1.19	(e)	1.00	(e)	1.19	(e)	0	(e)
	8.33	8.94			1.1	1.01	(e)	1.84	(e)	1.01	(e)	1.84	(e)	2	(e)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Income from investment operations											Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a) (b) (c)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (d)			Net realized gain			Total distributions
Class A Shares
Six months ended 06/30/2005 (g)	$	10.45	$	(0.02	)	$	(0.16	)	$	(0.18	)	$	—		$	—		$	—
Year ended 12/31/2004		9.84		(0.04	)		0.65			0.61			—			—			—
Year ended 12/31/2003		7.06		(0.03	)		2.81			2.78			—			—			—
Year ended 12/31/2002		9.56		(0.02	)		(2.48	)		(2.50	)		—			—			—
Year ended 12/31/2001		9.78		(0.04	)		(0.17	)		(0.21	)		—			(0.01	)		(0.01	)
Period ended 12/31/2000 (i)		10.00		0.01			(0.22	)		(0.21	)		(0.01	)		—			(0.01	)
Class B Shares
Six months ended 06/30/2005 (g)		10.29		(0.04	)		(0.15	)		(0.19	)		—			—			—
Year ended 12/31/2004		9.73		(0.08	)		0.64			0.56			—			—			—
Year ended 12/31/2003		7.00		(0.06	)		2.79			2.73			—			—			—
Year ended 12/31/2002		9.53		(0.06	)		(2.47	)		(2.53	)		—			—			—
Year ended 12/31/2001		9.78		(0.08	)		(0.16	)		(0.24	)		—			(0.01	)		(0.01	)
Period ended 12/31/2000 (i)		10.00		0.01			(0.22	)		(0.21	)		(0.01	)		—			(0.01	)
Institutional Shares
Six months ended 06/30/2005 (g)		10.55		—			(0.15	)		(0.15	)		—			—			—
Year ended 12/31/2004		9.90		0.01			0.64			0.65			—			—			—
Year ended 12/31/2003		7.06		0.02			2.82			2.84			—			—			—
Period ended 12/31/2002 (j)		9.00		0.03			(1.97	)		(1.94	)		—			—			—
Class R-1 Shares
Six months ended 06/30/2005 (g)		10.52		(0.04	)		(0.15	)		(0.19	)		—			—			—
Period ended 12/31/2004 (k)		8.79		(0.02	)		1.75			1.73			—			—			—
Class R-2 Shares
Six months ended 06/30/2005 (g)		10.53		(0.03	)		(0.16	)		(0.19	)		—			—			—
Period ended 12/31/2004 (k)		8.79		(0.01	)		1.75			1.74			—			—			—
Class R-3 Shares
Six months ended 06/30/2005 (g)		10.54		(0.01	)		(0.16	)		(0.17	)		—			—			—
Period ended 12/31/2004 (k)		8.79		—			1.75			1.75			—			—			—

(a)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(b)	Net investment income for Institutional shares represents less than $0.01 per share for the six months ended June 30, 2005.

(c)	Net investment income for Class R-3 shares represent less than $0.01 per share in 2004.

(d)	Distributions represent less than $0.01 per share in 2001.

(e)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(f)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(g)	Unaudited.

(h)	Determined on an annualized basis.

(i)	From commencement of investment operations December 5, 2000.

(j)	From commencement of investment operations February 28, 2002.

(k)	From commencement of investment operations August 31, 2004.

See accompanying notes to financial statements.


		Total return (e)		Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period				Net assets, end of period (millions)		Expenses (f)		Net investment income (loss)		Expenses (f)		Net investment income (loss)		Portfolio turnover rate
$	10.27	(1.72	)%	$	63.6	1.40	%(h)	(0.41	)%(h)	1.47	%(h)	(0.48	)%(h)	50	%(h)
	10.45	6.20			64.2	1.40		(0.40	)	1.44		(0.44	)	37
	9.84	39.38			55.8	1.40		(0.31	)	1.48		(0.39	)	33
	7.06	(26.15	)		25.8	1.40		(0.29	)	1.48		(0.37	)	29
	9.56	(2.14	)		26.6	1.40		(0.42	)	1.48		(0.50	)	44
	9.78	(2.13	)		24.5	1.40	(h)	1.02	(h)	1.55	(h)	0.87	(h)	15	(h)
	10.10	(1.85	)		41.1	1.80	(h)	(0.81	)(h)	1.87	(h)	(0.88	)(h)	50	(h)
	10.29	5.76			41.4	1.80		(0.80	)	1.84		(0.84	)	37
	9.73	39.00			36.7	1.80		(0.71	)	1.87		(0.78	)	33
	7.00	(26.55	)		21.2	1.80		(0.70	)	1.88		(0.78	)	29
	9.53	(2.45	)		24.8	1.80		(0.82	)	1.88		(0.90	)	44
	9.78	(2.14	)		24.5	1.55	(h)	0.87	(h)	1.55	(h)	0.87	(h)	15	(h)
	10.40	(1.42	)		12.6	0.99	(h)	0.01	(h)	1.06	(h)	(0.06	)(h)	50	(h)
	10.55	6.57			11.8	0.90		0.11		0.95		0.06		37
	9.90	40.23			8.8	0.90		0.19		0.98		0.11		33
	7.06	(22.00	)		3.3	0.90	(h)	0.40	(h)	0.98	(h)	0.32	(h)	29	(h)
	10.33	(1.81	)		1.4	1.72	(h)	(0.72	)(h)	1.79	(h)	(0.79	)(h)	50	(h)
	10.52	19.68			1.2	1.72	(h)	(0.47	)(h)	1.80	(h)	(0.55	)(h)	37	(h)
	10.34	(1.80	)		1.3	1.52	(h)	(0.52	)(h)	1.59	(h)	(0.59	)(h)	50	(h)
	10.53	19.80			1.2	1.52	(h)	(0.28	)(h)	1.60	(h)	(0.36	)(h)	37	(h)
	10.37	(1.61	)		1.2	1.22	(h)	(0.22	)(h)	1.29	(h)	(0.29	)(h)	50	(h)
	10.54	19.91			1.2	1.22	(h)	0.02	(h)	1.30	(h)	(0.06	)(h)	37	(h)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a) (b) (c)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (d)			Net realized gain (e)		Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	9.36	$	0.09		$	(0.31	)	$	(0.22	)	$	—		$	—	$	—
Year ended 12/31/2004		8.39		0.04			1.00			1.04			(0.07	)		—		(0.07	)
Year ended 12/31/2003		6.34		0.03			2.10			2.13			(0.08	)		—		(0.08	)
Year ended 12/31/2002		7.77		0.02			(1.35	)		(1.33	)		(0.10	)		—		(0.10	)
Year ended 12/31/2001		9.64		—			(1.87	)		(1.87	)		—			—		—
Period ended 12/31/2000 (k)		10.00		—			(0.36	)		(0.36	)		—			—		—
Class B Shares
Six months ended 06/30/2005 (h)		9.31		0.07			(0.31	)		(0.24	)		—			—		—
Year ended 12/31/2004		8.35		0.01			0.98			0.99			(0.03	)		—		(0.03	)
Year ended 12/31/2003		6.31		—			2.09			2.09			(0.05	)		—		(0.05	)
Year ended 12/31/2002		7.74		(0.01	)		(1.35	)		(1.36	)		(0.07	)		—		(0.07	)
Year ended 12/31/2001		9.64		(0.03	)		(1.87	)		(1.90	)		—			—		—
Period ended 12/31/2000 (k)		10.00		—			(0.36	)		(0.36	)		—			—		—
Institutional Shares
Six months ended 06/30/2005 (h)		9.31		0.10			(0.30	)		(0.20	)		—			—		—
Year ended 12/31/2004		8.35		0.08			0.99			1.07			(0.11	)		—		(0.11	)
Year ended 12/31/2003		6.29		0.07			2.10			2.17			(0.11	)		—		(0.11	)
Period ended 12/31/2002 (m)		7.34		0.03			(0.95	)		(0.92	)		(0.13	)		—		(0.13	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		9.32		0.07			(0.31	)		(0.24	)		—			—		—
Period ended 12/31/2004 (n)		8.32		(0.02	)		1.11			1.09			(0.09	)		—		(0.09	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		9.32		0.08			(0.31	)		(0.23	)		—			—		—
Period ended 12/31/2004 (n)		8.32		(0.01	)		1.10			1.09			(0.09	)		—		(0.09	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		9.32		0.09			(0.31	)		(0.22	)		—			—		—
Period ended 12/31/2004 (n)		8.32		—			1.10			1.10			(0.10	)		—		(0.10	)

(a)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(b)	Net investment income for Class B shares represents less than $0.01 per share in 2003.

(c)	Net investment income for Class R-3 shares represents less than $0.01 per share in 2004.

(d)	Distributions represent less than $0.01 per share in 2001 and 2000.

(e)	Distributions represent less than $0.01 per share in 2001.

(f)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(g)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(h)	Unaudited.

(i)

Based upon net asset value of $9.14 as of June 30, 2005 (as calculated for financial reporting purposes, taking into account transactions that occurred on June 30, 2005). For shareholder purchases and redemptions on June 30, 2005 the net asset value was $9.13, which caused the total return for the six months ended June 30, 2005 to be equivalent to (2.46%).

See accompanying notes to financial statements.


		Total return (f)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations				Portfolio turnover rate
Net asset value, end of period				Net assets, end of period (millions)		Expenses (g)		Net investment income (loss)		Expenses (g)		Net investment income (loss)		Portfolio turnover rate
$	9.14	(2.35	)%(i)	$	36.0	1.50	%(j)	1.87	%(j)	1.68	%(j)	1.69	%(j)	28	%(j)
	9.36	12.34			34.4	1.50		0.48		1.68		0.30		22
	8.39	33.61			29.1	1.50		0.45		1.91		0.04		16
	6.34	(17.17	)		18.4	1.50		0.23		2.00		(0.27	)	24
	7.77	(19.35	)		20.8	1.50		0.05		1.75		(0.20	)	26
	9.64	(3.56	)		24.1	1.50	(j)	0.71	(j)	2.05	(j)	0.16	(j)	6	(j)
	9.07	(2.58	)(l)		28.7	1.90	(j)	1.46	(j)	2.08	(j)	1.28	(j)	28	(j)
	9.31	11.89			28.9	1.90		0.06		2.08		(0.12	)	22
	8.35	33.18			24.8	1.90		0.07		2.32		(0.35	)	16
	6.31	(17.59	)		17.4	1.90		(0.17	)	2.40		(0.67	)	24
	7.74	(19.66	)		19.8	1.90		(0.35	)	2.15		(0.60	)	26
	9.64	(3.58	)		24.1	1.90	(j)	0.31	(j)	2.05	(j)	0.16	(j)	6	(j)
	9.11	(2.15	)		6.9	1.09	(j)	2.29	(j)	1.27	(j)	2.11	(j)	28	(j)
	9.31	12.78			6.3	1.00		0.96		1.18		0.78		22
	8.35	34.56			4.7	1.00		0.94		1.41		0.53		16
	6.29	(12.55	)		2.7	1.00	(j)	0.56	(j)	1.51	(j)	0.05	(j)	24	(j)
	9.08	(2.58	)		1.3	1.82	(j)	1.54	(j)	2.00	(j)	1.36	(j)	28	(j)
	9.32	13.06			1.2	1.82	(j)	(0.70	)(j)	2.04	(j)	(0.92	)(j)	22	(j)
	9.09	(2.47	)		1.2	1.62	(j)	1.75	(j)	1.80	(j)	1.57	(j)	28	(j)
	9.32	13.12			1.1	1.62	(j)	(0.49	)(j)	1.84	(j)	(0.71	)(j)	22	(j)
	9.10	(2.36	)		1.1	1.32	(j)	2.04	(j)	1.50	(j)	1.86	(j)	28	(j)
	9.32	13.22			1.1	1.32	(j)	(0.19	)(j)	1.54	(j)	(0.41	)(j)	22	(j)

(j)	Determined on an annualized basis.

(k)	From commencement of investment operations December 5, 2000.

(l)

Based upon net asset value of $9.07 as of June 30, 2005 (as calculated for financial reporting purposes, taking into account transactions that occurred on June 30, 2005). For shareholder purchases and redemptions on June 30, 2005 the net asset value was $9.06, which caused the total return for the six months ended June 30, 2005 to be equivalent to (2.69%).

(m)	From commencement of investment operations February 28, 2002.

(n)	From commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Income from investment operations										Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (c)			Net realized gain (d)		Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	9.18	$	0.05	$	(0.16	)	$	(0.11	)	$	—		$	—	$	—
Year ended 12/31/2004		8.43		0.11		0.74			0.85			(0.10	)		—		(0.10	)
Year ended 12/31/2003		6.66		0.07		1.75			1.82			(0.05	)		—		(0.05	)
Year ended 12/31/2002		8.66		0.06		(2.02	)		(1.96	)		(0.04	)		—		(0.04	)
Year ended 12/31/2001		9.98		0.05		(1.33	)		(1.28	)		(0.04	)		—		(0.04	)
Period ended 12/31/2000 (j)		10.00		—		(0.02	)		(0.02	)		—			—		—
Class B Shares
Six months ended 06/30/2005 (h)		9.18		0.03		(0.16	)		(0.13	)		—			—		—
Year ended 12/31/2004		8.43		0.08		0.74			0.82			(0.07	)		—		(0.07	)
Year ended 12/31/2003		6.65		0.04		1.77			1.81			(0.03	)		—		(0.03	)
Year ended 12/31/2002		8.66		0.03		(2.02	)		(1.99	)		(0.02	)		—		(0.02	)
Year ended 12/31/2001		9.98		0.01		(1.31	)		(1.30	)		(0.02	)		—		(0.02	)
Period ended 12/31/2000 (j)		10.00		—		(0.02	)		(0.02	)		—			—		—
Institutional Shares
Six months ended 06/30/2005(h)		9.21		0.07		(0.17	)		(0.10	)		—			—		—
Year ended 12/31/2004		8.45		0.16		0.74			0.90			(0.14	)		—		(0.14	)
Year ended 12/31/2003		6.65		0.11		1.77			1.88			(0.08	)		—		(0.08	)
Period ended 12/31/2002 (k)		8.35		0.09		(1.72	)		(1.63	)		(0.07	)		—		(0.07	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		9.20		0.04		(0.17	)		(0.13	)		—			—		—
Period ended 12/31/2004 (l)		8.62		0.04		0.66			0.70			(0.12	)		—		(0.12	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		9.20		0.04		(0.15	)		(0.11	)		—			—		—
Period ended 12/31/2004 (l)		8.62		0.05		0.65			0.70			(0.12	)		—		(0.12	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		9.20		0.06		(0.16	)		(0.10	)		—			—		—
Period ended 12/31/2004 (l)		8.62		0.06		0.65			0.71			(0.13	)		—		(0.13	)

(a)

The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio. The expense and net investment income ratios for the Master Portfolio were 0.05% and 1.82%, respectively, for the six months ended June 30, 2005.

(b)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(c)	Distributions represent less than $0.01 per share in 2000.

(d)	Distributions represent less than $0.01 per share in 2001.

(e)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(f)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

See accompanying notes to financial statements.


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (e)		Net assets, end of period (millions)		Expenses (a) (f)		Net investment income (a)		Expenses (a) (f)		Net investment income (loss) (a)		Portfolio turnover rate (g)
$	9.07	(1.20	)%	$	314.5	0.79	%(i)	1.09	%(i)	0.79	%(i)	1.09	%(i)	7	%
	9.18	10.06			291.4	0.80		1.29		0.80		1.29		14
	8.43	27.39			184.3	0.80		0.99		0.89		0.90		8
	6.66	(22.60	)		62.9	0.80		0.88		0.86		0.82		12
	8.66	(12.75	)		32.4	0.80		0.57		0.90		0.47		9
	9.98	(0.19	)		25.0	0.80	(i)	0.41	(i)	2.96	(i)	(1.75	)(i)	10
	9.05	(1.42	)		130.5	1.19	(i)	0.68	(i)	1.19	(i)	(0.68	)(i)	7
	9.18	9.67			124.1	1.20		0.87		1.20		0.87		14
	8.43	27.19			89.7	1.20		0.59		1.29		0.50		8
	6.65	(23.00	)		38.4	1.20		0.46		1.27		0.39		12
	8.66	(13.03	)		26.1	1.20		0.17		1.30		0.07		9
	9.98	(0.20	)		24.9	1.20	(i)	0.01	(i)	2.95	(i)	(1.75	)(i)	10
	9.11	(1.09	)		47.8	0.38	(i)	1.50	(i)	0.38	(i)	1.50	(i)	7
	9.21	10.59			40.4	0.30		1.79		0.30		1.79		14
	8.45	28.27			25.1	0.30		1.49		0.39		1.40		8
	6.65	(19.57	)		8.3	0.30	(i)	1.48	(i)	0.35	(i)	1.43	(i)	12
	9.07	(1.41	)		2.8	1.11	(i)	0.78	(i)	1.11	(i)	0.78	(i)	7
	9.20	8.12			1.6	1.12	(i)	1.65	(i)	1.12	(i)	1.65	(i)	14
	9.09	(1.20	)		2.0	0.91	(i)	1.98	(i)	0.91	(i)	0.98	(i)	7
	9.20	8.11			1.1	0.92	(i)	1.93	(i)	0.92	(i)	1.93	(i)	14
	9.10	(1.09	)		1.1	0.61	(i)	1.26	(i)	0.61	(i)	1.26	(i)	7
	9.20	8.20			1.1	0.62	(i)	2.24	(i)	0.62	(i)	2.24	(i)	14

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations December 18, 2000.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(l)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b) (c)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (d) (e) (f)			Net realized gain			Total distributions
Class A Shares
Six months ended 06/30/2005 (j)	$	13.31	$	0.03	$	(0.26	)	$	(0.23	)	$	—		$	—		$	—
Year ended 12/31/2004		11.69		0.05		1.99			2.04			(0.03	)		(0.39	)		(0.42	)
Year ended 12/31/2003		8.14		0.04		3.60			3.64			(0.04	)		(0.05	)		(0.09	)
Year ended 12/31/2002		10.37		0.05		(2.23	)		(2.18	)		—			(0.05	)		(0.05	)
Year ended 12/31/2001		10.43		0.06		0.10			0.16			(0.07	)		(0.15	)		(0.22	)
Period ended 12/31/2000 (l)		10.00		0.01		0.43			0.44			(0.01	)		—			(0.01	)
Class B Shares
Six months ended 06/30/2005 (j)		13.23		0.01		(0.27	)		(0.26	)		—			—			—
Year ended 12/31/2004		11.65		—		1.97			1.97			—			(0.39	)		(0.39	)
Year ended 12/31/2003		8.10		—		3.60			3.60			—			(0.05	)		(0.05	)
Year ended 12/31/2002		10.36		0.01		(2.22	)		(2.21	)		—			(0.05	)		(0.05	)
Year ended 12/31/2001		10.43		0.02		0.09			0.11			(0.03	)		(0.15	)		(0.18	)
Period ended 12/31/2000 (l)		10.00		0.01		0.43			0.44			(0.01	)		—			(0.01	)
Institutional Shares
Six months ended 06/30/2005 (j)		13.44		0.06		(0.27	)		(0.21	)		—			—			—
Year ended 12/31/2004		11.80		0.11		2.00			2.11			(0.08	)		(0.39	)		(0.47	)
Year ended 12/31/2003		8.17		0.09		3.67			3.76			(0.08	)		(0.05	)		(0.13	)
Period ended 12/31/2002 (m)		9.95		0.10		(1.83	)		(1.73	)		—			(0.05	)		(0.05	)
Class R-1 Shares
Six months ended 06/30/2005 (j)		13.44		0.01		(0.27	)		(0.26	)		—			—			—
Period ended 12/31/2004 (n)		12.13		0.02		1.73			1.75			(0.05	)		(0.39	)		(0.44	)
Class R-2 Shares
Six months ended 06/30/2005 (j)		13.44		0.03		(0.27	)		(0.24	)		—			—			—
Period ended 12/31/2004 (n)		12.13		0.03		1.73			1.76			(0.06	)		(0.39	)		(0.45	)
Class R-3 Shares
Six months ended 06/30/2005 (j)		13.44		0.04		(0.26	)		(0.22	)		—			—			—
Period ended 12/31/2004 (n)		12.13		0.04		1.73			1.77			(0.07	)		(0.39	)		(0.46	)

(a)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(b)	Net investment income for Class B shares represents less than $0.01 per share in 2003 and 2004.

(c)

The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund's proportionate share of income and expenses of the Master Portfolio. The expense and net investment income ratios for the Master Portfolio were 0.10% and 1.35%, respectively, for the six months ended June 30, 2005.

(d)	Distributions for Class A shares represent less than $0.01 per share in 2002.

(e)	Distributions for Class B shares represent less than $0.01 per share in 2003 and 2002.

(f)	Distributions for Institutional shares represent less than $0.01 per share in 2002.

(g)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for class A and Class B shares. All other classes do not have a sales charge.

(h)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(i)	Amount represents the portfolio turnover rate of the Master Portfolio. The rate for 2000 rounds to less than 1%.

See accompanying notes to financial statements.


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (g)		Net assets, end of period (millions)		Expenses (c) (h)		Net investment income (loss) (c)		Expenses (c) (h)		Net investment income (loss) (c)		Portfolio turnover rate (i)
$	13.08	(1.73	)%	$	146.2	0.95	%(k)	0.51	%(k)	0.96	%(k)	0.50	%(k)	19	%
	13.31	17.40			134.2	0.95		0.41		0.97		0.39		20
	11.69	44.70			87.6	0.95		0.42		1.11		0.26		48
	8.14	(21.06	)		34.0	0.95		0.53		1.05		0.43		28
	10.37	1.42			29.4	0.95		0.61		1.08		0.48		46
	10.43	4.36			26.1	0.95	(k)	2.75	(k)	3.21	(k)	0.51	(k)	0
	12.97	(1.97	)		72.2	1.35	(k)	0.11	(k)	1.36	(k)	0.10	(k)	19
	13.23	16.90			69.6	1.35		0.00		1.37		(0.02	)	20
	11.65	44.46			52.4	1.35		0.02		1.51		(0.14	)	48
	8.10	(21.37	)		26.8	1.35		0.12		1.45		0.02		28
	10.36	1.03			27.5	1.35		0.21		1.48		0.08		46
	10.43	4.35			26.1	1.35	(k)	2.37	(k)	3.21	(k)	0.51	(k)	0
	13.23	(1.56	)		28.1	0.54	(k)	0.93	(k)	0.55	(k)	0.92	(k)	19
	13.44	17.84			23.7	0.45		0.92		0.47		0.90		20
	11.80	45.97			13.6	0.45		0.91		0.61		0.75		48
	8.17	(17.43	)		3.9	0.45	(k)	1.16	(k)	0.53	(k)	1.08	(k)	28
	13.18	(1.93	)		1.8	1.27	(k)	0.22	(k)	1.29	(k)	0.20	(k)	19
	13.44	14.42			1.3	1.27	(k)	0.57	(k)	1.31	(k)	0.53	(k)	20
	13.20	(1.79	)		1.4	1.07	(k)	0.41	(k)	1.09	(k)	0.39	(k)	19
	13.44	14.46			1.1	1.07	(k)	0.74	(k)	1.11	(k)	0.70	(k)	20
	13.22	(1.64	)		1.1	0.77	(k)	0.68	(k)	0.78	(k)	0.67	(k)	19
	13.44	14.55			1.1	0.77	(k)	1.04	(k)	0.81	(k)	1.00	(k)	20

(j)	Unaudited.

(k)	Determined on an annualized basis.

(l)	From commencement of investment operations December 18, 2000.

(m)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(n)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (c)			Net realized gain (d)		Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	10.30	$	0.14	$	(0.30	)	$	(0.16	)	$	—		$	—	$	—
Year ended 12/31/2004		8.74		0.12		1.55			1.67			(0.11	)		—		(0.11	)
Year ended 12/31/2003		6.45		0.09		2.29			2.38			(0.09	)		—		(0.09	)
Year ended 12/31/2002		7.87		0.08		(1.43	)		(1.35	)		(0.07	)		—		(0.07	)
Year ended 12/31/2001		10.15		0.05		(2.31	)		(2.26	)		(0.02	)		—		(0.02	)
Period ended 12/31/2000 (j)		10.00		—		0.15			0.15			—			—		—
Class B Shares
Six months ended 06/30/2005 (h)		10.29		0.11		(0.28	)		(0.17	)		—			—		—
Year ended 12/31/2004		8.74		0.09		1.54			1.63			(0.08	)		—		(0.08	)
Year ended 12/31/2003		6.44		0.07		2.29			2.36			(0.06	)		—		(0.06	)
Year ended 12/31/2002		7.87		0.05		(1.43	)		(1.38	)		(0.05	)		—		(0.05	)
Year ended 12/31/2001		10.15		0.02		(2.30	)		(2.28	)		—			—		—
Period ended 12/31/2000 (j)		10.00		—		0.15			0.15			—			—		—
Institutional Shares
Six months ended 06/30/2005 (h)		10.33		0.16		(0.30	)		(0.14	)		—			—		—
Year ended 12/31/2004		8.75		0.17		1.56			1.73			(0.15	)		—		(0.15	)
Year ended 12/31/2003		6.44		0.13		2.30			2.43			(0.12	)		—		(0.12	)
Period ended 12/31/2002 (k)		7.48		0.08		(1.01	)		(0.93	)		(0.11	)		—		(0.11	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		10.32		0.12		(0.29	)		(0.17	)		—			—		—
Period ended 12/31/2004 (l)		9.07		0.01		1.37			1.38			(0.13	)		—		(0.13	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		10.32		0.13		(0.29	)		(0.16	)		—			—		—
Period ended 12/31/2004 (l)		9.07		0.01		1.38			1.39			(0.14	)		—		(0.14	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		10.32		0.14		(0.28	)		(0.14	)		—			—		—
Period ended 12/31/2004 (l)		9.07		0.02		1.37			1.39			(0.14	)		—		(0.14	)

(a)

The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio. The expense and net investment income ratios for the Master Portfolio were 0.25% and 3.58%, respectively, for the six months ended June 30, 2005.

(b)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(c)	Distributions represent less than $0.01 per share in 2000.

(d)	Distributions represent less than $0.01 per share in 2001.

(e)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(f)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

See accompanying notes to financial statements.


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (e)		Net assets, end of period (millions)		Expenses (a) (f)		Net investment income (a)		Expenses (a) (f)		Net investment income (loss) (a)		Portfolio turnover rate (g)
$	10.14	(1.55	)%	$	72.8	1.15	%(i)	2.70	%(i)	1.18	%(i)	2.67	%(i)	3	%
	10.30	19.15			60.0	1.15		1.36		1.21		1.30		39
	8.74	36.95			36.0	1.15		1.29		1.35		1.09		18
	6.45	(17.08	)		19.5	1.15		1.06		1.27		0.94		20
	7.87	(22.19	)		21.0	1.15		0.59		1.29		0.45		7
	10.15	1.50			25.4	1.15	(i)	0.67	(i)	3.36	(i)	(1.54	)(i)	45
	10.12	(1.65	)		40.8	1.55	(i)	2.25	(i)	1.58	(i)	2.22	(i)	3
	10.29	18.60			38.6	1.55		0.98		1.61		0.92		39
	8.74	36.71			28.9	1.55		0.93		1.75		0.73		18
	6.44	(17.56	)		18.7	1.55		0.66		1.67		0.54		20
	7.87	(22.43	)		20.2	1.55		0.19		1.69		0.05		7
	10.15	1.51			25.4	1.55	(i)	0.27	(i)	3.36	(i)	(1.54	)(i)	45
	10.19	(1.36	)		15.2	0.74	(i)	3.15	(i)	0.77	(i)	3.12	(i)	3
	10.33	19.81			11.8	0.65		1.86		0.71		1.80		39
	8.75	37.79			6.1	0.65		1.75		0.85		1.55		18
	6.44	(12.45	)		2.8	0.65	(i)	1.33	(i)	0.74	(i)	1.24	(i)	20
	10.15	(1.65	)		1.5	1.47	(i)	2.39	(i)	1.50	(i)	2.36	(i)	3
	10.32	15.24			1.3	1.47	(i)	0.28	(i)	1.56	(i)	0.19	(i)	39
	10.16	(1.55	)		1.5	1.27	(i)	2.59	(i)	1.30	(i)	2.56	(i)	3
	10.32	15.27			1.1	1.27	(i)	0.47	(i)	1.36	(i)	0.38	(i)	39
	10.18	(1.36	)		1.1	0.97	(i)	2.81	(i)	1.00	(i)	2.78	(i)	3
	10.32	15.37			1.1	0.97	(i)	0.77	(i)	1.05	(i)	0.69	(i)	39

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations December 18, 2000.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(l)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (b)			Total distributions
Class A Shares
Six months ended 06/30/2005 (e)	$	9.52	$	0.06	$	0.01		$	0.07		$	(0.06	)	$	—		$	(0.06	)
Year ended 12/31/2004		9.14		0.20		0.37			0.57			(0.19	)		—			(0.19	)
Year ended 12/31/2003		8.10		0.16		1.03			1.19			(0.15	)		—			(0.15	)
Year ended 12/31/2002		8.98		0.19		(0.97	)		(0.78	)		(0.10	)		—			(0.10	)
Year ended 12/31/2001		9.78		0.24		(0.79	)		(0.55	)		(0.23	)		(0.02	)		(0.25	)
Period ended 12/31/2000 (h)		10.00		0.05		(0.22	)		(0.17	)		(0.05	)		—			(0.05	)
Class B Shares
Six months ended 06/30/2005 (e)		9.53		0.04		0.01			0.05			(0.05	)		—			(0.05	)
Year ended 12/31/2004		9.15		0.16		0.38			0.54			(0.16	)		—			(0.16	)
Year ended 12/31/2003		8.10		0.12		1.04			1.16			(0.11	)		—			(0.11	)
Year ended 12/31/2002		8.97		0.16		(0.95	)		(0.79	)		(0.08	)		—			(0.08	)
Year ended 12/31/2001		9.78		0.23		(0.80	)		(0.57	)		(0.22	)		(0.02	)		(0.24	)
Period ended 12/31/2000 (h)		10.00		0.05		(0.22	)		(0.17	)		(0.05	)		—			(0.05	)
Institutional Shares
Six months ended 06/30/2005 (e)		9.47		0.08		—			0.08			(0.08	)		—			(0.08	)
Year ended 12/31/2004		9.10		0.25		0.36			0.61			(0.24	)		—			(0.24	)
Year ended 12/31/2003		8.06		0.21		1.01			1.22			(0.18	)		—			(0.18	)
Period ended 12/31/2002 (i)		8.94		0.22		(0.94	)		(0.72	)		(0.16	)		—			(0.16	)
Class R-1 Shares
Six months ended 06/30/2005 (e)		9.40		0.05		—			0.05			(0.05	)		—			(0.05	)
Period ended 12/31/2004 (j)		9.13		0.13		0.35			0.48			(0.21	)		—			(0.21	)
Class R-2 Shares
Six months ended 06/30/2005 (e)		9.40		0.06		—			0.06			(0.06	)		—			(0.06	)
Period ended 12/31/2004 (j)		9.13		0.14		0.35			0.49			(0.22	)		—			(0.22	)
Class R-3 Shares
Six months ended 06/30/2005 (e)		9.40		0.07		0.01			0.08			(0.07	)		—			(0.07	)
Period ended 12/31/2004 (j)		9.13		0.15		0.35			0.50			(0.23	)		—			(0.23	)

(a)	Beginning in 2001, average shares outstanding for the period were used to calculate net investment income per share.

(b)	Distributions represent less than $0.01 per share in 2003 and 2002.

(c)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(d)	The expense ratios for all classes other than the Institutional shares include the effect of the decreased voluntary expense limitation threshold (where applicable) and decreased shareholder services fees effective May 1, 2005.

(e)	Unaudited.

(f)	Determined on an annualized basis.

(g)	Represents less than 0.5% in 2003.

(h)	From commencement of investment operations October 31, 2000.

(i)	From commencement of investment operations February 28, 2002.

(j)	From commencement of investment operations August 31, 2004.

See accompanying notes to financial statements.


Net asset value, end of period		Total return (c)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations				Portfolio turnover rate
				Net assets, end of period (millions)		Expenses (d)		Net investment income		Expenses (d)		Net investment income		Portfolio turnover rate
$	9.53	0.78	%	$	103.2	0.41	%(f)	1.30	%(f)	0.51	%(f)	1.20	%(f)	2	%(f)
	9.52	6.28			99.4	0.50		2.16		0.59		2.07		1
	9.14	14.70			83.0	0.50		1.89		0.61		1.78		0	(f)
	8.10	(7.93	)		48.6	0.50		2.30		0.61		2.19		3
	8.98	(5.67	)		29.3	0.09		2.62		0.21		2.50		6
	9.78	(1.71	)		24.6	0.00	(f)	3.04	(f)	0.21	(f)	2.83	(f)	11	(f)
	9.53	0.47			57.9	0.81	(f)	0.90	(f)	0.91	(f)	0.80	(f)	2	(f)
	9.53	5.89			56.6	0.90		1.76		0.99		1.67		1
	9.15	14.36			49.0	0.90		1.45		1.00		1.35		0	(g)
	8.10	(8.25	)		33.3	0.90		1.85		1.01		1.74		3
	8.97	(5.90	)		25.9	0.15		2.46		0.27		2.34		6
	9.78	(1.71	)		24.6	0.00	(f)	3.04	(f)	0.21	(f)	2.83	(f)	11	(f)
	9.47	0.87			7.8	0.00	(f)	1.71	(f)	0.10	(f)	1.61	(f)	2	(f)
	9.47	6.77			6.8	0.00		2.75		0.09		2.66		1
	9.10	15.26			4.7	0.00		2.44		0.13		2.31		0	(f)
	8.06	(7.12	)		1.5	0.00	(f)	3.33	(f)	0.09	(f)	3.24	(f)	3	(f)
	9.40	0.54			1.2	0.73	(f)	0.98	(f)	0.83	(f)	0.88	(f)	2	(f)
	9.40	5.28			1.1	0.82	(f)	3.77	(f)	0.92	(f)	3.67	(f)	1	(f)
	9.40	0.61			1.1	0.53	(f)	1.18	(f)	0.63	(f)	1.08	(f)	2	(f)
	9.40	5.33			1.0	0.62	(f)	3.82	(f)	0.72	(f)	3.72	(f)	1	(f)
	9.41	0.87			1.0	0.24	(f)	1.48	(f)	0.33	(f)	1.39	(f)	2	(f)
	9.40	5.43			1.0	0.32	(f)	4.13	(f)	0.42	(f)	4.03	(f)	1	(f)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain			Total distributions
Class A Shares
Six months ended 06/30/2005 (c)	$	10.66	$	0.20	$	—		$	0.20		$	(0.20	)	$	—		$	(0.20	)
Year ended 12/31/2004		10.66		0.40		—			0.40			(0.40	)		—			(0.40	)
Year ended 12/31/2003		10.73		0.40		(0.07	)		0.33			(0.40	)		—			(0.40	)
Year ended 12/31/2002		10.35		0.51		0.40			0.91			(0.51	)		(0.02	)		(0.53	)
Year ended 12/31/2001		10.25		0.60		0.14			0.74			(0.60	)		(0.04	)		(0.64	)
Period ended 12/31/2000 (e)		10.00		0.10		0.25			0.35			(0.10	)		—			(0.10	)

Class B Shares
Six months ended 06/30/2005 (c)		10.66		0.18		—			0.18			(0.18	)		—			(0.18	)
Year ended 12/31/2004		10.66		0.36		—			0.36			(0.36	)		—			(0.36	)
Year ended 12/31/2003		10.73		0.36		(0.07	)		0.29			(0.36	)		—			(0.36	)
Year ended 12/31/2002		10.35		0.47		0.40			0.87			(0.47	)		(0.02	)		(0.49	)
Year ended 12/31/2001		10.25		0.56		0.14			0.70			(0.56	)		(0.04	)		(0.60	)
Period ended 12/31/2000 (e)		10.00		0.10		0.25			0.35			(0.10	)		—			(0.10	)

Institutional Shares
Six months ended 06/30/2005 (c)		10.64		0.23		0.01			0.24			(0.23	)		—			(0.23	)
Year ended 12/31/2004		10.65		0.46		(0.01	)		0.45			(0.46	)		—			(0.46	)
Year ended 12/31/2003		10.72		0.46		(0.07	)		0.39			(0.46	)		—			(0.46	)
Year ended 12/31/2002		10.33		0.56		0.41			0.97			(0.56	)		(0.02	)		(0.58	)
Period ended 12/31/2001 (f)		10.73		0.10		(0.36	)		(0.26	)		(0.10	)		(0.04	)		(0.14	)

Class R-1 Shares
Six months ended 06/30/2005 (c)		10.64		0.19		0.01			0.20			(0.19	)		—			(0.19	)
Period ended 12/31/2004 (g)		10.61		0.13		0.03			0.16			(0.13	)		—			(0.13	)

Class R-2 Shares
Six months ended 06/30/2005 (c)		10.65		0.20		—			0.20			(0.20	)		—			(0.20	)
Period ended 12/31/2004 (g)		10.61		0.14		0.04			0.18			(0.14	)		—			(0.14	)

Class R-3 Shares
Six months ended 06/30/2005 (c)		10.65		0.21		—			0.21			(0.21	)		—			(0.21	)
Period ended 12/31/2004 (g)		10.61		0.15		0.04			0.19			(0.15	)		—			(0.15	)

(a)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(b)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(c)	Unaudited.

(d)	Determined on an annualized basis.

(e)	From commencement of investment operations October 31, 2000.

(f)	From commencement of investment operations November 1, 2001.

(g)	From commencement of investment operations August 23, 2004.

See accompanying notes to financial statements.


Net asset value, end of period		Total return (a)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations				Portfolio turnover rate
				Net assets, end of period (millions)		Expenses (b)		Net investment income		Expenses (b)		Net investment income		Portfolio turnover rate
$	10.66	1.94	%	$	132.7	0.69	%(d)	3.89	%(d)	0.69	%(d)	3.89	%(d)	15	%(d)
	10.66	3.86			121.1	0.68		3.79		0.68		3.79		12
	10.66	3.16			101.2	0.70		3.76		0.70		3.75		18
	10.73	9.02			55.8	0.70		4.80		0.71		4.79		15
	10.35	7.42			21.0	0.70		5.74		0.73		5.71		26
	10.25	3.54			25.5	0.29	(d)	6.35	(d)	0.29	(d)	6.35	(d)	190	(d)
	10.66	1.75			56.6	1.09	(d)	3.50	(d)	1.09	(d)	3.50	(d)	15	(d)
	10.66	3.45			54.5	1.08		3.39		1.08		3.39		12
	10.66	2.78			49.7	1.10		3.36		1.10		3.36		18
	10.73	8.59			31.4	1.10		4.44		1.11		4.43		15
	10.35	7.00			18.0	1.10		5.34		1.13		5.31		26
	10.25	3.54			25.4	0.29	(d)	6.35	(d)	0.29	(d)	6.35	(d)	190	(d)
	10.65	2.25			78.1	0.28	(d)	4.32	(d)	0.28	(d)	4.32	(d)	15	(d)
	10.64	4.29			72.9	0.18		4.29		0.18		4.29		12
	10.65	3.69			61.5	0.20		4.28		0.20		4.28		18
	10.72	9.69			35.8	0.20		5.36		0.20		5.36		15
	10.33	(2.33	)		22.2	0.20	(d)	6.16	(d)	0.22	(d)	6.14	(d)	26	(d)
	10.65	1.90			1.7	1.01	(d)	3.61	(d)	1.01	(d)	3.61	(d)	15	(d)
	10.64	1.53			1.2	1.00	(d)	3.48	(d)	1.00	(d)	3.48	(d)	12	(d)
	10.65	1.90			1.5	0.81	(d)	3.81	(d)	0.81	(d)	3.81	(d)	15	(d)
	10.65	1.70			1.0	0.80	(d)	3.68	(d)	0.80	(d)	3.68	(d)	12	(d)
	10.65	2.05			1.1	0.51	(d)	4.10	(d)	0.51	(d)	4.10	(d)	15	(d)
	10.65	1.81			1.0	0.50	(d)	3.98	(d)	0.50	(d)	3.98	(d)	12	(d)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations							Less distributions
	Net asset value, beginning of period		Net investment income		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations		Net investment income			Net realized gain		Total distributions
Class A Shares
Six months ended 06/30/2005 (c)	$	11.13	$	0.21	$	0.04		$	0.25	$	(0.21	)	$	—	$	(0.21	)
Year ended 12/31/2004		11.15		0.43		(0.02	)		0.41		(0.43	)		—		(0.43	)
Year ended 12/31/2003		10.97		0.42		0.18			0.60		(0.42	)		—		(0.42	)
Year ended 12/31/2002		10.23		0.43		0.74			1.17		(0.43	)		—		(0.43	)
Year ended 12/31/2001		10.29		0.44		(0.06	)		0.38		(0.44	)		—		(0.44	)
Period ended 12/31/2000 (e)		10.00		0.09		0.29			0.38		(0.09	)		—		(0.09	)
Class B Shares
Six months ended 06/30/2005 (c)		11.13		0.19		0.05			0.24		(0.19	)		—		(0.19	)
Year ended 12/31/2004		11.15		0.38		(0.02	)		0.36		(0.38	)		—		(0.38	)
Year ended 12/31/2003		10.97		0.38		0.18			0.56		(0.38	)		—		(0.38	)
Year ended 12/31/2002		10.23		0.39		0.74			1.13		(0.39	)		—		(0.39	)
Year ended 12/31/2001		10.29		0.40		(0.06	)		0.34		(0.40	)		—		(0.40	)
Period ended 12/31/2000 (e)		10.00		0.09		0.29			0.38		(0.09	)		—		(0.09	)
Institutional Shares
Six months ended 06/30/2005 (c)		11.14		0.24		0.05			0.29		(0.24	)		—		(0.24	)
Year ended 12/31/2004		11.16		0.48		(0.02	)		0.46		(0.48	)		—		(0.48	)
Year ended 12/31/2003		10.98		0.48		0.18			0.66		(0.48	)		—		(0.48	)
Period ended 12/31/2002 (f)		10.52		0.40		0.46			0.86		(0.40	)		—		(0.40	)

(a)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(b)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(c)	Unaudited.

(d)	Determined on an annualized basis.

(e)	From commencement of investment operations October 31, 2000.

(f)	From commencement of investment operations February 28, 2002.

See accompanying notes to financial statements.


Net asset value, end of period		Total return (a)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations				Portfolio turnover rate
				Net assets, end of period (millions)		Expenses (b)		Net investment income		Expenses (b)		Net investment income		Portfolio turnover rate
$	11.17	2.29	%	$	73.8	0.70	%(d)	3.84	%(d)	0.72	%(d)	3.82	%(d)	0	%(d)
	11.13	3.74			66.2	0.70		3.86		0.70		3.86		2
	11.15	5.60			59.6	0.70		3.83		0.70		3.83		8
	10.97	11.64			43.7	0.70		4.03		0.71		4.02		7
	10.23	3.77			29.0	0.70		4.26		0.71		4.25		0
	10.29	3.79			26.0	0.36	(d)	5.47	(d)	0.36	(d)	5.47	(d)	0	(d)
	11.18	2.18			34.6	1.10	(d)	3.45	(d)	1.12	(d)	3.43	(d)	0	(d)
	11.13	3.33			34.8	1.10		3.46		1.10		3.46		2
	11.15	5.18			35.2	1.10		3.43		1.10		3.43		8
	10.97	11.20			32.0	1.10		3.64		1.12		3.62		7
	10.23	3.35			27.0	1.10		3.86		1.11		3.85		0
	10.29	3.79			26.0	0.36	(d)	5.47	(d)	0.36	(d)	5.47	(d)	0	(d)
	11.19	2.59			0.2	0.29	(d)	4.25	(d)	0.31	(d)	4.23	(d)	0	(d)
	11.14	4.26			0.2	0.20		4.36		0.20		4.36		2
	11.16	6.18			0.2	0.20		4.33		0.21		4.32		8
	10.98	8.35			0.1	0.20	(d)	4.49	(d)	0.21	(d)	4.48	(d)	7	(d)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations				Less distributions
	Net asset value, beginning of period		Net investment income (a) (b) (c)		Total from investment operations		Net investment income (a) (b) (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (f)	$	1.00	$	0.01	$	0.01	$	(0.01	)	$	(0.01	)
Year ended 12/31/2004		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2003		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2002		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2001		1.00		0.04		0.04		(0.04	)		(0.04	)
Period ended 12/31/2000 (h)		1.00		—		—		—			—
Class B Shares
Six months ended 06/30/2005 (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2004		1.00		—		—		—			—
Year ended 12/31/2003		1.00		—		—		—			—
Year ended 12/31/2002		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2001		1.00		0.03		0.03		(0.03	)		(0.03	)
Period ended 12/31/2000 (h)		1.00		—		—		—			—
Institutional Shares
Six months ended 06/30/2005 (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2004		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2003		1.00		0.01		0.01		(0.01	)		(0.01	)
Period ended 12/31/2002 (i)		1.00		0.01		0.01		(0.01	)		(0.01	)
Class R-1 Shares
Six months ended 06/30/2005 (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Period ended 12/31/2004 (j)		1.00		—		—		—			—
Class R-2 Shares
Six months ended 06/30/2005 (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Period ended 12/31/2004 (j)		1.00		—		—		—			—
Class R-3 Shares
Six months ended 06/30/2005 (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Period ended 12/31/2004 (j)		1.00		—		—		—			—

(a)	Net investment income and distributions for Class A shares represent less than $0.01 per share in 2000.

(b)	Net investment income and distributions for Class B shares represent less than $0.01 per share in 2004, 2003 and 2000.

(c)	Net investment income and distributions for Class R-1 shares, Class R-2 shares and Class R-3 shares represent less than $0.01 per share in 2004.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)	Unaudited.

(g)	Determined on an annualized basis.

(h)	From commencement of investment operations December 12, 2000.

(i)	From commencement of investment operations February 28, 2002.

(j)	From commencement of investment operations August 31, 2004.

See accompanying notes to financial statements.


		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period				Net assets, end of period (millions)		Expenses (e)		Net investment income		Expenses (e)		Net investment income
$	1.00	1.05	%	$	77.0	0.60	%(g)	2.11	%(g)	0.66	%(g)	2.05	%(g)
	1.00	0.76			73.1	0.60		0.78		0.63		0.75
	1.00	0.54			65.1	0.60		0.52		0.65		0.47
	1.00	1.14			36.2	0.60		1.10		0.71		0.99
	1.00	3.62			11.0	0.60		3.22		0.84		2.98
	1.00	0.29			5.0	0.60	(g)	5.94	(g)	1.93	(g)	4.61	(g)
	1.00	0.85			6.3	1.00	(g)	1.72	(g)	1.06	(g)	1.66	(g)
	1.00	0.36			5.9	1.00		0.36		1.03		0.33
	1.00	0.14			5.7	1.00		0.14		1.03		0.11
	1.00	0.74			5.4	1.00		0.73		1.13		0.60
	1.00	3.21			5.2	1.00		3.15		1.26		2.89
	1.00	0.27			5.0	1.00	(g)	5.54	(g)	1.93	(g)	4.61	(g)
	1.00	1.22			10.2	0.29	(g)	2.43	(g)	0.35	(g)	2.37	(g)
	1.00	1.17			9.2	0.20		1.20		0.23		1.17
	1.00	0.94			6.9	0.20		0.92		0.24		0.88
	1.00	1.28			2.6	0.20	(g)	1.47	(g)	0.27	(g)	1.40	(g)
	1.00	0.90			2.1	0.92	(g)	1.85	(g)	0.99	(g)	1.78	(g)
	1.00	0.31			1.1	0.92	(g)	0.94	(g)	0.98	(g)	0.88	(g)
	1.00	0.99			2.4	0.72	(g)	2.04	(g)	0.78	(g)	1.98	(g)
	1.00	0.38			1.0	0.72	(g)	1.14	(g)	0.78	(g)	1.08	(g)
	1.00	1.09			1.5	0.52	(g)	2.20	(g)	0.58	(g)	2.14	(g)
	1.00	0.45			1.1	0.52	(g)	1.34	(g)	0.58	(g)	1.28	(g)

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST LIFEPATH INCOME FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations						Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations		Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	11.11	$	0.11	$	0.01	$	0.12	$	(0.08	)	$	—		$	(0.08	)
Year ended 12/31/2004		10.82		0.17		0.46		0.63		(0.17	)		(0.17	)		(0.34	)
Period ended 12/31/2003 (j)		10.00		0.07		0.80		0.87		(0.05	)		—			(0.05	)
Class B Shares
Six months ended 06/30/2005 (h)		11.10		0.09		0.01		0.10		(0.06	)		—			(0.06	)
Year ended 12/31/2004		10.81		0.13		0.46		0.59		(0.13	)		(0.17	)		(0.30	)
Period ended 12/31/2003 (j)		10.00		0.05		0.79		0.84		(0.03	)		—			(0.03	)
Institutional Shares
Six months ended 06/30/2005 (h)		11.13		0.13		0.02		0.15		(0.10	)		—			(0.10	)
Year ended 12/31/2004		10.84		0.23		0.46		0.69		(0.23	)		(0.17	)		(0.40	)
Period ended 12/31/2003 (j)		10.00		0.10		0.80		0.90		(0.06	)		—			(0.06	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		11.08		0.09		0.01		0.10		(0.11	)		—			(0.11	)
Period ended 12/31/2004 (k)		10.95		0.04		0.44		0.48		(0.18	)		(0.17	)		(0.35	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		11.09		0.11		0.02		0.13		(0.08	)		—			(0.08	)
Period ended 12/31/2004 (k)		10.95		0.05		0.43		0.48		(0.17	)		(0.17	)		(0.34	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		11.09		0.12		0.02		0.14		(0.08	)		—			(0.08	)
Period ended 12/31/2004 (k)		10.95		0.06		0.43		0.49		(0.18	)		(0.17	)		(0.35	)

(a)

The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense waivers, were 0.31% and 2.96%, respectively, for the six months ended June 30, 2005.

(b)	Average shares outstanding for the period were used to calculate net investment income.

(c)	Distributions represent less than $0.01 per share in 2003.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)

Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, excluding any expense waivers for the Underlying Funds were 0.65% and 2.62%, respectively, for the six months ended June 30, 2005.

See accompanying notes to financial statements.


		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
Net asset value, end of period				Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	11.15	1.07	%	$	83.0	1.26	%(i)	2.02	%(i)	1.61	%(i)	1.67	%(i)	7	%
	11.11	5.87			66.0	1.26		1.58		1.61		1.23		138
	10.82	8.74			31.0	1.30	(i)	1.13	(i)	1.73	(i)	0.70	(i)	29
	11.14	0.92			10.3	1.66	(i)	1.62	(i)	2.01	(i)	1.27	(i)	7
	11.10	5.46			8.7	1.66		1.18		2.01		0.83		138
	10.81	8.47			4.1	1.70	(i)	0.75	(i)	2.31	(i)	0.14	(i)	29
	11.18	1.31			7.8	0.85	(i)	2.43	(i)	1.20	(i)	2.08	(i)	7
	11.13	6.37			6.8	0.76		2.10		1.11		1.75		138
	10.84	9.09			2.9	0.80	(i)	1.66	(i)	1.56	(i)	0.90	(i)	29
	11.07	0.92			0.6	1.58	(i)	1.72	(i)	1.94	(i)	1.36	(i)	7
	11.08	4.44			0.1	1.56	(i)	1.30	(i)	1.86	(i)	1.00	(i)	138
	11.14	1.15			0.7	1.38	(i)	1.87	(i)	1.74	(i)	1.51	(i)	7
	11.09	4.43			0.1	1.36	(i)	1.46	(i)	1.65	(i)	1.17	(i)	138
	11.15	1.28			0.1	1.08	(i)	2.20	(i)	1.43	(i)	1.85	(i)	7
	11.09	4.52			0.1	1.06	(i)	1.76	(i)	1.35	(i)	1.47	(i)	138

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST LIFEPATH 2010 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations						Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations		Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	11.58	$	0.10	$	0.01	$	0.11	$	—		$	—		$	—
Year ended 12/31/2004		11.16		0.17		0.61		0.78		(0.13	)		(0.23	)		(0.36	)
Period ended 12/31/2003 (j)		10.00		0.06		1.13		1.19		(0.03	)		—			(0.03	)
Class B Shares
Six months ended 06/30/2005 (h)		11.54		0.07		0.02		0.09		—			—			—
Year ended 12/31/2004		11.14		0.12		0.61		0.73		(0.10	)		(0.23	)		(0.33	)
Period ended 12/31/2003 (j)		10.00		0.04		1.12		1.16		(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2005 (h)		11.64		0.12		0.01		0.13		—			—			—
Year ended 12/31/2004		11.21		0.23		0.60		0.83		(0.17	)		(0.23	)		(0.40	)
Period ended 12/31/2003 (j)		10.00		0.09		1.16		1.25		(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		11.64		0.08		—		0.08		—			—			—
Period ended 12/31/2004 (k)		11.37		0.04		0.61		0.65		(0.15	)		(0.23	)		(0.38	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		11.64		0.09		0.01		0.10		—			—			—
Period ended 12/31/2004 (k)		11.37		0.05		0.60		0.65		(0.15	)		(0.23	)		(0.38	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		11.64		0.11		0.01		0.12		—			—			—
Period ended 12/31/2004 (k)		11.37		0.06		0.60		0.66		(0.16	)		(0.23	)		(0.39	)

(a)

The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense waivers, were 0.30% and 2.62%, respectively, for the six months ended June 30, 2005.

(b)	Average shares outstanding for the period were used to calculate net investment income.

(c)	Distributions represent less than $0.01 per share in 2003.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)

Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, excluding any expense waivers for the Underlying Funds were 0.64% and 2.28%, respectively, for the six months ended June 30, 2005.

See accompanying notes to financial statements.

100


Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
				Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	11.69	0.95	%	$	174.6	1.23	%(i)	1.69	%(i)	1.57	%(i)	1.35	%(i)	9	%
	11.58	6.98			130.3	1.25		1.49		1.57		1.17		130
	11.16	11.91			40.8	1.30	(i)	0.98	(i)	1.59	(i)	0.69	(i)	23
	11.63	0.78			36.2	1.63	(i)	1.29	(i)	1.97	(i)	0.95	(i)	9
	11.54	6.49			28.8	1.65		1.09		1.97		0.77		130
	11.14	11.60			11.4	1.70	(i)	0.58	(i)	2.07	(i)	0.21	(i)	23
	11.77	1.12			18.0	0.82	(i)	2.10	(i)	1.16	(i)	1.76	(i)	9
	11.64	7.37			14.4	0.75		2.00		1.07		1.68		130
	11.21	12.55			4.2	0.80	(i)	1.47	(i)	1.31	(i)	0.96	(i)	23
	11.72	0.69			0.7	1.55	(i)	1.32	(i)	1.89	(i)	0.98	(i)	9
	11.64	5.66			0.1	1.55	(i)	1.27	(i)	1.85	(i)	0.97	(i)	130
	11.74	0.86			0.8	1.35	(i)	1.55	(i)	1.69	(i)	1.21	(i)	9
	11.64	5.67			0.1	1.35	(i)	1.38	(i)	1.65	(i)	1.08	(i)	130
	11.76	1.03			0.1	1.05	(i)	1.87	(i)	1.39	(i)	1.53	(i)	9
	11.64	5.76			0.1	1.05	(i)	1.66	(i)	1.35	(i)	1.36	(i)	130

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

101

STATE FARM MUTUAL FUND TRUST LIFEPATH 2020 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations		Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	12.24	$	0.07	$	—	$	0.07	$	—		$	—		$	—
Year ended 12/31/2004		11.55		0.16		0.85		1.01		(0.12	)		(0.20	)		(0.32	)
Period ended 12/31/2003 (j)		10.00		0.06		1.52		1.58		(0.03	)		—			(0.03	)
Class B Shares
Six months ended 06/30/2005 (h)		12.22		0.05		—		0.05		—			—			—
Year ended 12/31/2004		11.54		0.11		0.85		0.96		(0.08	)		(0.20	)		(0.28	)
Period ended 12/31/2003 (j)		10.00		0.04		1.52		1.56		(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2005 (h)		12.31		0.10		—		0.10		—			—			—
Year ended 12/31/2004		11.59		0.22		0.86		1.08		(0.16	)		(0.20	)		(0.36	)
Period ended 12/31/2003 (j)		10.00		0.10		1.53		1.63		(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		12.31		0.05		—		0.05		—			—			—
Period ended 12/31/2004 (k)		11.79		0.05		0.81		0.86		(0.14	)		(0.20	)		(0.34	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		12.32		0.06		0.01		0.07		—			—			—
Period ended 12/31/2004 (k)		11.79		0.05		0.82		0.87		(0.14	)		(0.20	)		(0.34	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		12.32		0.08		0.01		0.09		—			—			—
Period ended 12/31/2004 (k)		11.79		0.06		0.82		0.88		(0.15	)		(0.20	)		(0.35	)

(a)

The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense waivers, were 0.28% and 2.12%, respectively, for the six months ended June 30, 2005.

(b)	Average shares outstanding for the period were used to calculate net investment income.

(c)	Distributions represent less than $0.01 per share in 2003.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)

Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, excluding any expense waivers for the Underlying Funds were 0.62% and 1.78%, respectively, for the six months ended June 30, 2005.

See accompanying notes to financial statements.

102


Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
				Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	12.31	0.57	%	$	242.5	1.21	%(i)	1.19	%(i)	1.54	%(i)	0.86	%(i)	14	%
	12.24	8.78			177.7	1.24		1.32		1.55		1.01		140
	11.55	15.81			51.7	1.30	(i)	1.03	(i)	1.53	(i)	0.80	(i)	23
	12.27	0.41			59.2	1.61	(i)	0.79	(i)	1.94	(i)	0.46	(i)	14
	12.22	8.39			44.7	1.64		0.91		1.95		0.60		140
	11.54	15.61			15.5	1.70	(i)	0.63	(i)	1.98	(i)	0.35	(i)	23
	12.41	0.81			29.6	0.80	(i)	1.60	(i)	1.14	(i)	1.26	(i)	14
	12.31	9.34			21.0	0.74		1.82		1.05		1.51		140
	11.59	16.35			5.7	0.80	(i)	1.50	(i)	1.23	(i)	1.07	(i)	23
	12.36	0.41			1.2	1.53	(i)	0.83	(i)	1.86	(i)	0.50	(i)	14
	12.31	7.32			0.2	1.55	(i)	1.46	(i)	1.86	(i)	1.15	(i)	140
	12.39	0.57			1.0	1.33	(i)	1.01	(i)	1.66	(i)	0.68	(i)	14
	12.32	7.38			0.1	1.35	(i)	1.35	(i)	1.65	(i)	1.05	(i)	140
	12.41	0.73			0.4	1.03	(i)	1.35	(i)	1.36	(i)	1.02	(i)	14
	12.32	7.46			0.1	1.05	(i)	1.64	(i)	1.35	(i)	1.34	(i)	140

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

103

STATE FARM MUTUAL FUND TRUST LIFEPATH 2030 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations						Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations		Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	12.70	$	0.05	$	—	$	0.05	$	—		$	—		$	—
Year ended 12/31/2004		11.80		0.14		1.08		1.22		(0.10	)		(0.22	)		(0.32	)
Period ended 12/31/2003 (j)		10.00		0.07		1.76		1.83		(0.03	)		—			(0.03	)
Class B Shares
Six months ended 06/30/2005 (h)		12.65		0.02		0.01		0.03		—			—			—
Year ended 12/31/2004		11.77		0.09		1.07		1.16		(0.06	)		(0.22	)		(0.28	)
Period ended 12/31/2003 (j)		10.00		0.04		1.75		1.79		(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2005 (h)		12.74		0.07		0.01		0.08		—			—			—
Year ended 12/31/2004		11.83		0.20		1.06		1.26		(0.13	)		(0.22	)		(0.35	)
Period ended 12/31/2003 (j)		10.00		0.10		1.77		1.87		(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		12.74		0.02		0.01		0.03		—			—			—
Period ended 12/31/2004 (k)		12.04		0.05		0.98		1.03		(0.11	)		(0.22	)		(0.33	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		12.75		0.04		—		0.04		—			—			—
Period ended 12/31/2004 (k)		12.04		0.05		0.99		1.04		(0.11	)		(0.22	)		(0.33	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		12.75		0.06		—		0.06		—			—			—
Period ended 12/31/2004 (k)		12.04		0.06		0.99		1.05		(0.12	)		(0.22	)		(0.34	)

(a)

The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense waivers, were 0.27% and 1.71%, respectively, for the six months ended June 30, 2005.

(b)	Average shares outstanding for the period were used to calculate net investment income.

(c)	Distributions represent less than $0.01 per share in 2003.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)

Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, excluding any expense waivers for the Underlying Funds were 0.60% and 1.38%, respectively, for the six months ended June 30, 2005.

See accompanying notes to financial statements.

104


Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
				Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	12.75	0.39	%	$	141.6	1.22	%(i)	0.77	%(i)	1.56	%(i)	0.43	%(i)	17	%
	12.70	10.32			96.5	1.23		1.18		1.58		0.83		138
	11.80	18.31			25.9	1.30	(i)	1.05	(i)	1.80	(i)	0.55	(i)	32
	12.68	0.24			41.7	1.62	(i)	0.37	(i)	1.96	(i)	0.03	(i)	17
	12.65	9.88			29.7	1.63		0.77		1.98		0.42		138
	11.77	17.89			9.5	1.70	(i)	0.64	(i)	2.29	(i)	0.05	(i)	32
	12.82	0.63			26.6	0.81	(i)	1.17	(i)	1.15	(i)	0.83	(i)	17
	12.74	10.70			18.1	0.73		1.67		1.08		1.32		138
	11.83	18.74			5.9	0.80	(i)	1.53	(i)	1.49	(i)	0.84	(i)	32
	12.77	0.24			1.2	1.54	(i)	0.41	(i)	1.88	(i)	0.07	(i)	17
	12.74	8.60			0.2	1.53	(i)	1.46	(i)	1.87	(i)	1.12	(i)	138
	12.79	0.31			0.9	1.34	(i)	0.63	(i)	1.68	(i)	0.29	(i)	17
	12.75	8.66			0.1	1.34	(i)	1.32	(i)	1.67	(i)	0.99	(i)	138
	12.81	0.47			0.3	1.04	(i)	0.94	(i)	1.38	(i)	0.60	(i)	17
	12.75	8.76			0.1	1.04	(i)	1.61	(i)	1.37	(i)	1.28	(i)	138

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

105

STATE FARM MUTUAL FUND TRUST LIFEPATH 2040 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)


	Net asset value, beginning of period		Income from investment operations							Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations		Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Six months ended 06/30/2005 (h)	$	13.12	$	0.03	$	(0.01	)	$	0.02	$	—		$	—		$	—
Year ended 12/31/2004		12.11		0.13		1.19			1.32		(0.10	)		(0.21	)		(0.31	)
Period ended 12/31/2003 (j)		10.00		0.06		2.08			2.14		(0.03	)		—			(0.03	)
Class B Shares
Six months ended 06/30/2005 (h)		13.09		0.01		—			0.01		—			—			—
Year ended 12/31/2004		12.09		0.08		1.19			1.27		(0.06	)		(0.21	)		(0.27	)
Period ended 12/31/2003 (j)		10.00		0.03		2.07			2.10		(0.01	)		—			(0.01	)
Institutional Shares
Six months ended 06/30/2005 (h)		13.16		0.06		—			0.06		—			—			—
Year ended 12/31/2004		12.13		0.19		1.19			1.38		(0.14	)		(0.21	)		(0.35	)
Period ended 12/31/2003 (j)		10.00		0.09		2.08			2.17		(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2005 (h)		13.15		0.01		—			0.01		—			—			—
Period ended 12/31/2004 (k)		12.30		0.05		1.13			1.18		(0.12	)		(0.21	)		(0.33	)
Class R-2 Shares
Six months ended 06/30/2005 (h)		13.16		0.02		—			0.02		—			—			—
Period ended 12/31/2004 (k)		12.30		0.05		1.13			1.18		(0.11	)		(0.21	)		(0.32	)
Class R-3 Shares
Six months ended 06/30/2005 (h)		13.16		0.04		—			0.04		—			—			—
Period ended 12/31/2004 (k)		12.30		0.06		1.13			1.19		(0.12	)		(0.21	)		(0.33	)

(a)

The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense waivers, were 0.26% and 1.42%, respectively, for the six months ended June 30, 2005.

(b)	Average shares outstanding for the period were used to calculate net investment income.

(c)	Distributions represent less than $0.01 per share in 2003.

(d)	Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A and Class B shares. All other classes do not have a sales charge.

(e)	The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f)

Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2005, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ voluntary expense waivers of the management fees charged to the Master Portfolio in an amount equal to the Fund’s indirect proportionate amount of the management and administration fees, if any, charged to the Underlying Funds, including the Active Stock and CoreAlpha Bond Master Portfolios. The expense and net investment income ratios for the Master Portfolio, excluding any expense waivers for the Underlying Funds were 0.60% and 1.08%, respectively, for the six months ended June 30, 2005.

See accompanying notes to financial statements.

106


Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
				Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (loss) (f)		Portfolio turnover rate (g)
$	13.14	0.15	%	$	85.7	1.21	%(i)	0.48	%(i)	1.59	%(i)	0.10	%(i)	31	%
	13.12	10.86			53.7	1.22		1.06		1.67		0.61		147
	12.11	21.37			12.3	1.30	(i)	0.86	(i)	2.38	(i)	(0.22	)(i)	29
	13.10	0.08			26.1	1.61	(i)	0.08	(i)	1.99	(i)	(0.30	)(i)	31
	13.09	10.51			17.8	1.62		0.63		2.08		0.17		147
	12.09	21.05			5.1	1.70	(i)	0.47	(i)	2.85	(i)	(0.68	)(i)	29
	13.22	0.46			19.4	0.81	(i)	0.88	(i)	1.19	(i)	0.50	(i)	31
	13.16	11.32			12.5	0.72		1.56		1.17		1.11		147
	12.13	21.70			2.8	0.80	(i)	1.36	(i)	2.22	(i)	(0.06	)(i)	29
	13.16	0.08			1.0	1.53	(i)	0.13	(i)	1.91	(i)	(0.25	)(i)	31
	13.15	9.54			0.2	1.52	(i)	1.38	(i)	1.92	(i)	0.98	(i)	147
	13.18	0.15			1.3	1.33	(i)	0.33	(i)	1.70	(i)	(0.04	)(i)	31
	13.16	9.59			0.1	1.33	(i)	1.23	(i)	1.72	(i)	0.84	(i)	147
	13.20	0.30			0.1	1.03	(i)	0.67	(i)	1.41	(i)	0.29	(i)	31
	13.16	9.69			0.1	1.03	(i)	1.54	(i)	1.42	(i)	1.15	(i)	147

(g)	Amount represents the portfolio turnover rate of the Master Portfolio.

(h)	Unaudited.

(i)	Determined on an annualized basis.

(j)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(k)	For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

107

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (97.55%)

ADVERTISING (0.18%)
Interpublic Group of Companies Inc. (a) (b)	88,404	$	1,076,761
Omnicom Group Inc.	39,000		3,114,540

			4,191,301


AEROSPACE & DEFENSE (1.93%)
Boeing Co. (The)	174,795		11,536,470
General Dynamics Corp.	42,200		4,622,588
Goodrich (B.F.) Co.	25,180		1,031,373
L-3 Communications Holdings Inc.	24,905		1,907,225
Lockheed Martin Corp.	85,118		5,521,605
Northrop Grumman Corp. (b)	76,187		4,209,332
Raytheon Co.	95,259		3,726,532
Rockwell Collins Inc.	37,452		1,785,711
United Technologies Corp.	215,877		11,085,284

			45,426,120


AGRICULTURE (1.50%)
Altria Group Inc.	437,004		28,256,679
Monsanto Co.	56,445		3,548,697
Reynolds American Inc.	24,795		1,953,846
UST Inc. (b)	34,712		1,584,950

			35,344,172


AIRLINES (0.10%)
Delta Air Lines Inc. (a) (b)	29,109		109,450
Southwest Airlines Co.	156,413		2,178,833

			2,288,283


APPAREL (0.44%)
Coach Inc. (a)	80,178		2,691,575
Jones Apparel Group Inc.	25,516		792,017
Liz Claiborne Inc.	22,633		899,888
Nike Inc. Class B	48,479		4,198,281
Reebok International Ltd. (b)	12,028		503,131
VF Corp.	21,387		1,223,764

			10,308,656


AUTO MANUFACTURERS (0.46%)
Ford Motor Co.	387,505		3,968,051
General Motors Corp. (b)	119,067		4,048,278
Navistar International Corp. (a) (b)	14,387		460,384
PACCAR Inc.	36,500		2,482,000

			10,958,713


AUTO PARTS & EQUIPMENT (0.18%)
Cooper Tire & Rubber Co. (b)	14,702		273,016
Dana Corp. (b)	31,143		467,456
Delphi Corp. (b)	116,584		542,116
Goodyear Tire & Rubber Co. (The) (a) (b)	36,495		543,775


Security	Shares	Value

COMMON STOCKS (Cont.)

AUTO PARTS & EQUIPMENT (Cont.)
Johnson Controls Inc.	40,346	$	2,272,690
Visteon Corp.	26,822		161,737

			4,260,790


BANKS (6.23%)
AmSouth Bancorp (b)	74,565		1,938,690
Bank of America Corp.	849,436		38,742,776
Bank of New York Co. Inc. (The)	163,944		4,718,308
BB&T Corp.	115,334		4,609,900
Comerica Inc.	35,744		2,066,003
Compass Bancshares Inc.	25,822		1,161,990
Fifth Third Bancorp	110,004		4,533,265
First Horizon National Corp. (b)	25,941		1,094,710
Huntington Bancshares Inc. (b)	48,473		1,170,138
KeyCorp	85,725		2,841,784
M&T Bank Corp. (b)	20,858		2,193,427
Marshall & Ilsley Corp.	44,704		1,987,093
Mellon Financial Corp.	89,047		2,554,758
National City Corp.	125,747		4,290,488
North Fork Bancorp Inc.	100,422		2,820,854
Northern Trust Corp.	43,267		1,972,543
PNC Financial Services Group	59,650		3,248,539
Regions Financial Corp. (b)	97,659		3,308,687
State Street Corp.	70,107		3,382,663
SunTrust Banks Inc.	71,709		5,180,258
Synovus Financial Corp.	65,267		1,871,205
U.S. Bancorp	387,675		11,320,110
Wachovia Corp.	333,238		16,528,605
Wells Fargo & Co.	356,569		21,957,519
Zions Bancorporation	18,847		1,385,820

			146,880,133


BEVERAGES (2.19%)
Anheuser-Busch Companies Inc.	163,622		7,485,706
Brown-Forman Corp. Class B (b)	19,386		1,172,078
Coca-Cola Co. (The)	477,448		19,933,454
Coca-Cola Enterprises Inc.	75,304		1,657,441
Molson Coors Brewing Co. Class B	16,860		1,045,320
Pepsi Bottling Group Inc. (b)	42,177		1,206,684
PepsiCo Inc.	353,295		19,053,199

			51,553,882


BIOTECHNOLOGY (1.04%)
Amgen Inc. (a)	261,616		15,817,303
Biogen Idec Inc. (a) (b)	72,435		2,495,386
Chiron Corp. (a) (b)	31,686		1,105,525
Genzyme Corp. (a) (b)	53,078		3,189,457
MedImmune Inc. (a)	51,997		1,389,360
Millipore Corp. (a)	10,312		585,000

			24,582,031

The accompanying notes are an integral part of these financial statements.

108

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

BUILDING MATERIALS (0.25%)
American Standard Companies Inc.	38,257	$	1,603,733
Masco Corp.	92,261		2,930,209
Vulcan Materials Co. (b)	21,511		1,398,000

			5,931,942


CHEMICALS (1.53%)
Air Products & Chemicals Inc.	48,219		2,907,606
Ashland Inc.	14,240		1,023,429
Dow Chemical Co. (The)	202,683		9,025,474
Du Pont (E.I.) de Nemours and Co.	210,036		9,033,648
Eastman Chemical Co. (b)	16,772		924,976
Ecolab Inc. (b)	47,010		1,521,244
Engelhard Corp. (b)	25,454		726,712
Great Lakes Chemical Corp.	10,599		333,551
Hercules Inc. (a)	23,233		328,747
International Flavors & Fragrances Inc.	19,111		692,200
PPG Industries Inc. (b)	36,396		2,284,213
Praxair Inc.	68,054		3,171,316
Rohm & Haas Co. (b)	41,219		1,910,088
Sherwin-Williams Co. (The) (b)	26,938		1,268,510
Sigma-Aldrich Corp.	14,350		804,174

			35,955,888


COMMERCIAL SERVICES (0.91%)
Apollo Group Inc. Class A (a)	34,803		2,722,291
Block (H & R) Inc. (b)	34,694		2,024,395
Cendant Corp.	221,901		4,963,925
Convergys Corp. (a)	29,325		417,001
Donnelley (R.R.) & Sons Co.	45,556		1,572,138
Equifax Inc.	28,038		1,001,237
McKesson Corp.	62,016		2,777,697
Moody’s Corp. (b)	58,239		2,618,425
Paychex Inc. (b)	75,486		2,456,314
Robert Half International Inc. (b)	34,560		862,963

			21,416,386


COMPUTERS (3.78%)
Affiliated Computer Services Inc. Class A (a)	26,511		1,354,712
Apple Computer Inc. (a)	173,633		6,391,431
Computer Sciences Corp. (a)	39,396		1,721,605
Dell Inc. (a)	511,652		20,215,371
Electronic Data Systems Corp. (b)	108,745		2,093,341
EMC Corp. (a)	506,434		6,943,210
Gateway Inc. (a) (b)	67,376		222,341
Hewlett-Packard Co.	610,266		14,347,354
International Business Machines Corp.	340,870		25,292,554
Lexmark International Inc. (a) (b)	26,569		1,722,468
NCR Corp. (a)	39,135		1,374,421
Network Appliance Inc. (a)	76,903		2,174,048
Sun Microsystems Inc. (a)	716,030		2,670,792
SunGard Data Systems Inc. (a)	60,956		2,143,823
Unisys Corp. (a)	69,652		440,897

			89,108,368


Security	Shares	Value

COMMON STOCKS (Cont.)

COSMETICS & PERSONAL CARE (2.32%)
Alberto-Culver Co. (b)	18,302	$	793,026
Avon Products Inc.	99,350		3,760,397
Colgate-Palmolive Co.	110,537		5,516,902
Gillette Co. (The)	210,381		10,651,590
Kimberly-Clark Corp.	101,177		6,332,668
Procter & Gamble Co.	522,795		27,577,436

			54,632,019


DISTRIBUTION & WHOLESALE (0.10%)
Genuine Parts Co. (b)	36,559		1,502,209
Grainger (W.W.) Inc.	17,848		977,892

			2,480,101


DIVERSIFIED FINANCIAL SERVICES (7.90%)
American Express Co.	247,381		13,168,091
Bear Stearns Companies Inc. (The)	23,887		2,482,815
Capital One Financial Corp. (b)	53,073		4,246,371
CIT Group Inc.	44,265		1,902,067
Citigroup Inc.	1,098,648		50,790,497
Countrywide Financial Corp.	123,777		4,779,030
E*TRADE Financial Corp. (a)	77,446		1,083,470
Federal Home Loan Mortgage Corp.	145,614		9,498,401
Federal National Mortgage Association	204,131		11,921,250
Federated Investors Inc. Class B (b)	20,674		620,427
Franklin Resources Inc. (b)	41,948		3,229,157
Goldman Sachs Group Inc. (The)	93,513		9,540,196
Janus Capital Group Inc. (b)	49,212		740,148
JP Morgan Chase & Co.	743,435		26,258,124
Lehman Brothers Holdings Inc.	58,273		5,785,343
MBNA Corp.	268,545		7,025,137
Merrill Lynch & Co. Inc.	199,361		10,966,849
Morgan Stanley	231,736		12,159,188
Providian Financial Corp. (a)	61,291		1,080,560
Schwab (Charles) Corp. (The)	242,562		2,736,099
SLM Corp.	89,039		4,523,181
T. Rowe Price Group Inc.	26,403		1,652,828

			186,189,229


ELECTRIC (3.18%)
AES Corp. (The) (a)	137,169		2,246,828
Allegheny Energy Inc. (a) (b)	34,117		860,431
Ameren Corp.	42,713		2,362,029
American Electric Power Co. Inc.	81,233		2,995,061
Calpine Corp. (a) (b)	109,445		372,113
CenterPoint Energy Inc. (b)	62,366		823,855
Cinergy Corp.	41,609		1,864,915
CMS Energy Corp. (a) (b)	45,357		683,076
Consolidated Edison Inc.	51,076		2,392,400
Constellation Energy Group Inc.	37,274		2,150,337
Dominion Resources Inc.	71,726		5,263,971
DTE Energy Co. (b)	36,517		1,707,900

The accompanying notes are an integral part of these financial statements.

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

ELECTRIC (Cont.)
Duke Energy Corp.	196,443	$	5,840,250
Edison International	68,452		2,775,729
Entergy Corp.	45,068		3,404,887
Exelon Corp. (b)	141,025		7,238,813
FirstEnergy Corp.	69,320		3,334,985
FPL Group Inc.	82,470		3,468,688
NiSource Inc.	56,745		1,403,304
PG&E Corp. (b)	77,822		2,921,438
Pinnacle West Capital Corp.	20,512		911,758
PPL Corp.	39,867		2,367,302
Progress Energy Inc.	52,249		2,363,745
Public Service Enterprise Group Inc.	50,200		3,053,164
Southern Co. (The) (b)	156,800		5,436,256
TECO Energy Inc. (b)	42,938		811,958
TXU Corp. (b)	50,511		4,196,959
Xcel Energy Inc. (b)	84,347		1,646,453

			74,898,605


ELECTRICAL COMPONENTS & EQUIPMENT (0.31%)
American Power Conversion Corp. (b)	38,605		910,692
Emerson Electric Co.	88,203		5,524,154
Molex Inc. (b)	36,052		938,794

			7,373,640


ELECTRONICS (0.51%)
Agilent Technologies Inc. (a)	91,876		2,114,986
Applera Corp. - Applied Biosystems Group	40,939		805,270
Fisher Scientific International Inc. (a) (b)	25,183		1,634,377
Jabil Circuit Inc. (a)	39,375		1,209,994
Parker Hannifin Corp.	25,227		1,564,326
PerkinElmer Inc.	26,933		509,034
Sanmina-SCI Corp. (a)	108,801		595,141
Solectron Corp. (a)	202,830		768,726
Symbol Technologies Inc.	50,551		498,938
Tektronix Inc.	18,831		438,197
Thermo Electron Corp. (a)	33,615		903,235
Waters Corp. (a)	25,253		938,654

			11,980,878


ENGINEERING & CONSTRUCTION (0.04%)
Fluor Corp. (b)	18,095		1,042,091

			1,042,091


ENTERTAINMENT (0.09%)
International Game Technology Inc. (b)	72,314		2,035,639

			2,035,639


ENVIRONMENTAL CONTROL (0.16%)
Allied Waste Industries Inc. (a) (b)	59,527		472,049
Waste Management Inc.	119,535		3,387,622

			3,859,671


Security	Shares	Value

COMMON STOCKS (Cont.)

FOOD (1.67%)
Albertson’s Inc. (b)	77,029	$	1,592,960
Archer-Daniels-Midland Co.	131,989		2,821,925
Campbell Soup Co.	69,159		2,128,022
ConAgra Foods Inc.	108,868		2,521,383
General Mills Inc. (b)	77,826		3,641,479
Heinz (H.J.) Co. (b)	73,564		2,605,637
Hershey Co. (The)	46,260		2,872,746
Kellogg Co.	74,286		3,301,270
Kroger Co. (a)	153,659		2,924,131
McCormick & Co. Inc. NVS	28,368		927,066
Safeway Inc.	94,148		2,126,803
Sara Lee Corp.	165,945		3,287,370
SUPERVALU Inc.	28,390		925,798
Sysco Corp. (b)	133,934		4,847,071
Wrigley (William Jr.) Co.	41,512		2,857,686

			39,381,347


FOREST PRODUCTS & PAPER (0.46%)
Georgia-Pacific Corp.	54,570		1,735,326
International Paper Co. (b)	103,098		3,114,591
Louisiana-Pacific Corp.	22,749		559,170
MeadWestvaco Corp.	40,127		1,125,161
Temple-Inland Inc.	26,210		973,701
Weyerhaeuser Co.	51,530		3,279,884

			10,787,833


GAS (0.18%)
KeySpan Corp. (b)	36,413		1,482,009
Nicor Inc.	9,040		372,177
Peoples Energy Corp. (b)	7,851		341,204
Sempra Energy	50,232		2,075,084

			4,270,474


HAND & MACHINE TOOLS (0.11%)
Black & Decker Corp.	16,828		1,511,996
Snap-On Inc.	11,953		409,988
Stanley Works (The)	16,224		738,841

			2,660,825


HEALTH CARE-PRODUCTS (3.64%)
Bard (C.R.) Inc.	21,978		1,461,757
Bausch & Lomb Inc. (b)	11,175		927,525
Baxter International Inc.	130,731		4,850,120
Becton, Dickinson & Co.	53,163		2,789,463
Biomet Inc.	53,075		1,838,518
Boston Scientific Corp. (a)	159,092		4,295,484
Guidant Corp.	68,456		4,607,089
Johnson & Johnson	627,537		40,789,905
Medtronic Inc.	255,115		13,212,406
St. Jude Medical Inc. (a)	76,209		3,323,474

The accompanying notes are an integral part of these financial statements.

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE-PRODUCTS (Cont.)
Stryker Corp.	79,343	$	3,773,553
Zimmer Holdings Inc. (a) (b)	51,993		3,960,307

			85,829,601


HEALTH CARE-SERVICES (1.75%)
Aetna Inc.	61,588		5,100,718
HCA Inc.	88,277		5,002,658
Health Management Associates Inc. Class A (b)	51,631		1,351,700
Humana Inc. (a)	33,881		1,346,431
Laboratory Corp. of America Holdings (a)	28,441		1,419,206
Manor Care Inc.	18,016		715,776
Quest Diagnostics Inc. (b)	38,858		2,069,966
Tenet Healthcare Corp. (a) (b)	97,884		1,198,100
UnitedHealth Group Inc.	267,732		13,959,546
WellPoint Inc. (a)	129,162		8,994,842

			41,158,943


HOME BUILDERS (0.23%)
Centex Corp.	26,843		1,896,995
KB Home (b)	17,874		1,362,535
Pulte Homes Inc.	25,209		2,123,858

			5,383,388


HOME FURNISHINGS (0.10%)
Leggett & Platt Inc.	39,902		1,060,595
Maytag Corp.	16,129		252,580
Whirlpool Corp. (b)	14,121		990,023

			2,303,198


HOUSEHOLD PRODUCTS & WARES (0.24%)
Avery Dennison Corp.	21,707		1,149,603
Clorox Co. (The)	32,348		1,802,431
Fortune Brands Inc.	30,578		2,715,326

			5,667,360


HOUSEWARES (0.06%)
Newell Rubbermaid Inc. (b)	57,445		1,369,489

			1,369,489


INSURANCE (4.58%)
ACE Ltd.	60,440		2,710,734
AFLAC Inc.	105,654		4,572,705
Allstate Corp. (The)	141,455		8,451,936
Ambac Financial Group Inc. (b)	22,814		1,591,505
American International Group Inc.	548,129		31,846,295
AON Corp.	66,644		1,668,766
Chubb Corp. (b)	41,106		3,519,085
CIGNA Corp. (b)	27,824		2,978,003


Security	Shares	Value

COMMON STOCKS (Cont.)

INSURANCE (Cont.)
Cincinnati Financial Corp. (b)	35,547	$	1,406,239
Hartford Financial Services Group Inc.	62,470		4,671,507
Jefferson-Pilot Corp. (b)	28,549		1,439,441
Lincoln National Corp.	36,516		1,713,331
Loews Corp.	33,916		2,628,490
Marsh & McLennan Companies Inc. (b)	112,094		3,105,004
MBIA Inc. (b)	28,978		1,718,685
MetLife Inc.	154,548		6,945,387
MGIC Investment Corp. (b)	20,224		1,319,009
Principal Financial Group Inc.	62,603		2,623,066
Progressive Corp. (The) (b)	42,092		4,159,111
Prudential Financial Inc.	110,230		7,237,702
SAFECO Corp. (b)	26,674		1,449,465
St. Paul Travelers Companies Inc.	141,950		5,611,283
Torchmark Corp. (b)	22,414		1,170,011
UNUMProvident Corp. (b)	62,200		1,139,504
XL Capital Ltd. Class A (b)	29,431		2,190,255

			107,866,519


INTERNET (0.93%)
eBay Inc. (a)	256,145		8,455,346
Monster Worldwide Inc. (a)	25,126		720,614
Symantec Corp. (a) (b)	149,648		3,253,348
Yahoo! Inc. (a)	276,796		9,590,981

			22,020,289


IRON & STEEL (0.12%)
Allegheny Technologies Inc.	19,629		433,016
Nucor Corp.	33,559		1,530,962
United States Steel Corp. (b)	23,872		820,481

			2,784,459


LEISURE TIME (0.45%)
Brunswick Corp.	20,217		875,800
Carnival Corp.	111,337		6,073,433
Harley-Davidson Inc. (b)	60,561		3,003,826
Sabre Holdings Corp. (b)	28,235		563,288

			10,516,347


LODGING (0.43%)
Harrah’s Entertainment Inc.	38,200		2,753,074
Hilton Hotels Corp.	80,586		1,921,976
Marriott International Inc. Class A	42,237		2,881,408
Starwood Hotels & Resorts Worldwide Inc.	45,428		2,660,718

			10,217,176


MACHINERY (0.54%)
Caterpillar Inc.	72,144		6,876,045
Cummins Inc. (b)	9,296		693,575

The accompanying notes are an integral part of these financial statements.

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

MACHINERY (Cont.)
Deere & Co.	51,902	$	3,399,062
Rockwell Automation Inc.	37,149		1,809,528

			12,778,210


MANUFACTURING (5.50%)
Cooper Industries Ltd.	19,440		1,242,216
Danaher Corp.	58,336		3,053,306
Dover Corp.	42,761		1,555,645
Eastman Kodak Co.	60,203		1,616,451
Eaton Corp.	32,119		1,923,928
General Electric Co.	2,238,562		77,566,173
Honeywell International Inc.	179,776		6,585,195
Illinois Tool Works Inc.	57,906		4,613,950
Ingersoll-Rand Co. Class A	35,898		2,561,322
ITT Industries Inc. (b)	19,375		1,891,581
Pall Corp. (b)	25,816		783,774
Textron Inc.	28,371		2,151,940
3M Co.	162,552		11,752,509
Tyco International Ltd.	425,957		12,437,944

			129,735,934


MEDIA (3.39%)
Clear Channel Communications Inc. (b)	108,402		3,352,874
Comcast Corp. Class A (a)	465,534		14,291,894
Dow Jones & Co. Inc. (b)	15,363		544,618
Gannett Co. Inc. (b)	52,745		3,751,752
Knight Ridder Inc. (b)	15,987		980,643
McGraw-Hill Companies Inc. (The)	79,623		3,523,318
Meredith Corp.	9,890		485,203
New York Times Co. Class A (b)	30,464		948,954
News Corp. Class A	608,195		9,840,595
Time Warner Inc. (a)	988,475		16,517,417
Tribune Co. (b)	63,292		2,226,613
Univision Communications Inc. Class A (a) (b)	62,181		1,713,087
Viacom Inc. Class B	340,023		10,887,536
Walt Disney Co. (The)	430,836		10,848,450

			79,912,954


MINING (0.50%)
Alcoa Inc.	183,706		4,800,238
Freeport-McMoRan Copper & Gold Inc.	37,629		1,408,830
Newmont Mining Corp.	93,848		3,662,887
Phelps Dodge Corp.	20,304		1,878,120

			11,750,075


OFFICE & BUSINESS EQUIPMENT (0.21%)
Pitney Bowes Inc.	48,490		2,111,740
Xerox Corp. (a)	201,214		2,774,741

			4,886,481


Security	Shares	Value

COMMON STOCKS (Cont.)

OIL & GAS (7.40%)
Amerada Hess Corp. (b)	18,149	$	1,933,050
Anadarko Petroleum Corp.	50,046		4,111,279
Apache Corp.	69,108		4,464,377
Burlington Resources Inc.	81,282		4,490,018
Chevron Corp.	442,937		24,769,037
ConocoPhillips	293,717		16,885,790
Devon Energy Corp.	100,482		5,092,428
EOG Resources Inc.	50,306		2,857,381
Exxon Mobil Corp.	1,344,138		77,247,611
Kerr-McGee Corp.	24,444		1,865,322
Marathon Oil Corp.	73,223		3,907,912
Nabors Industries Ltd. (a)	31,317		1,898,437
Noble Corp.	28,455		1,750,267
Occidental Petroleum Corp.	83,929		6,456,658
Rowan Companies Inc.	22,491		668,208
Sunoco Inc.	14,738		1,675,416
Transocean Inc. (a)	68,642		3,704,609
Unocal Corp.	57,190		3,720,210
Valero Energy Corp.	54,050		4,275,896
XTO Energy Inc.	75,858		2,578,413

			174,352,319


OIL & GAS SERVICES (0.92%)
Baker Hughes Inc. (b)	71,298		3,647,606
BJ Services Co.	34,105		1,789,830
Halliburton Co.	106,518		5,093,691
National Oilwell Varco Inc. (a)	36,087		1,715,576
Schlumberger Ltd.	124,225		9,433,647

			21,680,350


PACKAGING & CONTAINERS (0.13%)
Ball Corp.	23,146		832,330
Bemis Co. Inc.	22,337		592,824
Pactiv Corp. (a)	30,910		667,038
Sealed Air Corp. (a)	17,432		867,939

			2,960,131


PHARMACEUTICALS (6.13%)
Abbott Laboratories	327,816		16,066,262
Allergan Inc.	27,637		2,355,778
AmerisourceBergen Corp.	22,188		1,534,300
Bristol-Myers Squibb Co. (b)	412,098		10,294,208
Cardinal Health Inc.	90,805		5,228,552
Caremark Rx Inc. (a)	96,078		4,277,393
Express Scripts Inc. (a)	31,716		1,585,166
Forest Laboratories Inc. (a)	72,449		2,814,644
Gilead Sciences Inc. (a)	95,123		4,184,461
Hospira Inc. (a)	33,086		1,290,354
King Pharmaceuticals Inc. (a)	50,431		525,491
Lilly (Eli) & Co. (b)	238,999		13,314,634
Medco Health Solutions Inc. (a)	58,293		3,110,514

The accompanying notes are an integral part of these financial statements.

112

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

PHARMACEUTICALS (Cont.)
Merck & Co. Inc.	464,679	$	14,312,113
Mylan Laboratories Inc.	56,270		1,082,635
Pfizer Inc.	1,570,219		43,306,640
Schering-Plough Corp.	310,817		5,924,172
Watson Pharmaceuticals Inc. (a) (b)	22,904		677,042
Wyeth	282,293		12,562,039

			144,446,398


PIPELINES (0.26%)
Dynegy Inc. Class A (a) (b)	73,998		359,630
El Paso Corp.	134,706		1,551,813
Kinder Morgan Inc. (b)	23,195		1,929,824
Williams Companies Inc.	119,786		2,275,934

			6,117,201


REAL ESTATE INVESTMENT TRUSTS (0.59%)
Apartment Investment & Management Co. Class A (b)	19,923		815,249
Archstone-Smith Trust	41,919		1,618,912
Equity Office Properties Trust (b)	85,706		2,836,869
Equity Residential (b)	60,202		2,216,638
Plum Creek Timber Co. Inc.	38,438		1,395,299
ProLogis	39,142		1,575,074
Simon Property Group Inc.	46,482		3,369,480

			13,827,521


RETAIL (6.50%)
AutoNation Inc. (a)	48,286		990,829
AutoZone Inc. (a)	14,105		1,304,148
Bed Bath & Beyond Inc. (a)	62,918		2,628,714
Best Buy Co. Inc.	63,277		4,337,638
Big Lots Inc. (a) (b)	23,954		317,151
Circuit City Stores Inc. (b)	39,727		686,880
Costco Wholesale Corp.	100,594		4,508,623
CVS Corp.	170,623		4,960,011
Darden Restaurants Inc.	31,460		1,037,551
Dillard’s Inc. Class A	15,581		364,907
Dollar General Corp.	64,321		1,309,576
Family Dollar Stores Inc.	35,032		914,335
Federated Department Stores Inc.	35,826		2,625,329
Gap Inc. (The)	161,066		3,181,054
Home Depot Inc.	453,665		17,647,569
Kohl’s Corp. (a) (b)	68,997		3,857,622
Limited Brands Inc. (b)	81,191		1,739,111
Lowe’s Companies Inc. (b)	162,879		9,482,815
May Department Stores Co. (The)	62,937		2,527,550
McDonald’s Corp.	267,651		7,427,315
Nordstrom Inc.	26,284		1,786,523
Office Depot Inc. (a)	66,180		1,511,551
OfficeMax Inc.	14,729		438,482
Penney (J.C.) Co. Inc. (Holding Co.) (b)	56,018		2,945,426


Security	Shares	Value

COMMON STOCKS (Cont.)

RETAIL (Cont.)
RadioShack Corp.	33,100	$	766,927
Sears Holdings Corp. (a)	21,509		3,223,554
Staples Inc.	155,947		3,324,790
Starbucks Corp. (a)	82,703		4,272,437
Target Corp.	186,899		10,169,175
Tiffany & Co. (b)	30,366		994,790
TJX Companies Inc.	100,276		2,441,721
Toys R Us Inc. (a)	46,341		1,227,110
Walgreen Co.	215,585		9,914,754
Wal-Mart Stores Inc.	706,712		34,063,518
Wendy’s International Inc.	24,025		1,144,791
Yum! Brands Inc. (b)	61,247		3,189,744

			153,264,021


SAVINGS & LOANS (0.56%)
Golden West Financial Corp. (b)	59,817		3,851,018
Sovereign Bancorp Inc.	78,026		1,743,101
Washington Mutual Inc.	184,908		7,523,907

			13,118,026


SEMICONDUCTORS (3.18%)
Advanced Micro Devices Inc. (a)	82,631		1,432,822
Altera Corp. (a)	77,971		1,545,385
Analog Devices Inc.	78,195		2,917,455
Applied Materials Inc. (b)	348,410		5,637,274
Applied Micro Circuits Corp. (a) (b)	65,144		166,769
Broadcom Corp. Class A (a)	61,956		2,200,058
Freescale Semiconductor Inc. Class B (a)	84,264		1,784,712
Intel Corp.	1,303,959		33,981,172
KLA-Tencor Corp.	41,271		1,803,543
Linear Technology Corp.	64,520		2,367,239
LSI Logic Corp. (a) (b)	79,865		678,054
Maxim Integrated Products Inc. (b)	68,948		2,634,503
Micron Technology Inc. (a) (b)	128,384		1,310,801
National Semiconductor Corp.	74,430		1,639,693
Novellus Systems Inc.	29,133		719,876
NVIDIA Corp. (a)	35,256		942,040
PMC-Sierra Inc. (a)	36,924		344,501
QLogic Corp. (a)	19,132		590,605
Teradyne Inc. (a) (b)	40,516		484,977
Texas Instruments Inc. (b)	351,733		9,873,145
Xilinx Inc.	73,639		1,877,795

			74,932,419


SOFTWARE (4.23%)
Adobe Systems Inc.	102,881		2,944,454
Autodesk Inc.	48,040		1,651,135
Automatic Data Processing Inc. (b)	122,883		5,157,400
BMC Software Inc. (a)	46,124		827,926
Citrix Systems Inc. (a)	35,342		765,508

The accompanying notes are an integral part of these financial statements.

113

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

SOFTWARE (Cont.)
Computer Associates International Inc.	112,836	$	3,100,733
Compuware Corp. (a)	80,692		580,175
Electronic Arts Inc. (a)	64,754		3,665,724
First Data Corp. (b)	164,941		6,620,732
Fiserv Inc. (a) (b)	40,475		1,738,401
IMS Health Inc.	48,475		1,200,726
Intuit Inc. (a)	38,882		1,753,967
Mercury Interactive Corp. (a)	18,007		690,749
Microsoft Corp.	2,122,022		52,711,026
Novell Inc. (a) (b)	78,907		489,223
Oracle Corp. (a)	935,224		12,344,957
Parametric Technology Corp. (a)	55,685		355,270
Siebel Systems Inc. (b)	107,842		959,794
Veritas Software Corp. (a)	89,767		2,190,315

			99,748,215


TELECOMMUNICATIONS (5.64%)
ADC Telecommunications Inc. (a)	24,147		525,680
Alltel Corp. (b)	68,839		4,287,293
Andrew Corp. (a)	33,562		428,251
AT&T Corp.	168,559		3,209,363
Avaya Inc. (a)	100,652		837,425
BellSouth Corp.	386,113		10,259,022
CenturyTel Inc. (b)	28,107		973,345
CIENA Corp. (a)	117,825		246,254
Cisco Systems Inc. (a)	1,350,249		25,803,258
Citizens Communications Co.	71,060		955,046
Comverse Technology Inc. (a)	41,833		989,350
Corning Inc. (a)	305,263		5,073,471
JDS Uniphase Corp. (a)	300,075		456,114
Lucent Technologies Inc. (a) (b)	931,097		2,709,492
Motorola Inc.	517,047		9,441,278
Nextel Communications Inc. Class A (a)	237,221		7,664,611
QUALCOMM Inc.	345,512		11,405,351
Qwest Communications International Inc. (a)	356,799		1,323,724
SBC Communications Inc. (b)	696,816		16,549,380
Scientific-Atlanta Inc.	31,850		1,059,650
Sprint Corp. (FON Group) (b)	311,924		7,826,173
Tellabs Inc. (a)	96,270		837,549
Verizon Communications Inc. (b)	583,824		20,171,119

			133,032,199


TEXTILES (0.05%)
Cintas Corp. (b)	31,947		1,233,154

			1,233,154


TOYS, GAMES & HOBBIES (0.10%)
Hasbro Inc.	35,998		748,398
Mattel Inc. (b)	87,287		1,597,352

			2,345,750


Security	Shares or principal		Value

COMMON STOCKS (Cont.)

TRANSPORTATION (1.44%)
Burlington Northern Santa Fe Corp.		79,566	$	3,745,967
CSX Corp.		45,458		1,939,238
FedEx Corp.		63,639		5,155,395
Norfolk Southern Corp.		84,998		2,631,538
Ryder System Inc.		13,303		486,890
Union Pacific Corp.		55,348		3,586,550
United Parcel Service Inc. Class B (b)		235,477		16,285,589

				33,831,167


TOTAL COMMON STOCKS
(Cost: $2,379,268,346)				2,298,868,311


SHORT-TERM INVESTMENTS (9.76%)

COMMERCIAL PAPER (c) (1.99%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	247,722		246,856
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		1,664,413		1,661,050
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		3,798,408		3,791,257
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		412,870		411,356
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		1,570,931		1,568,283
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		825,741		825,025
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		318,852		318,714
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		297,316		297,004
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		825,741		824,276
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		1,033,927		1,032,314
Charta LLC
3.31%, 08/11/05 (d)		1,238,611		1,233,942
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		776,196		775,551
Dexia Delaware LLC
3.04%, 07/01/05		1,094,932		1,094,932
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		619,306		615,709
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)		1,366,163		1,360,453

The accompanying notes are an integral part of these financial statements.

114

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)	$	2,190,253	$	2,186,471
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		165,148		164,568
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		894,343		892,856
General Electric Capital Corp.
2.74%, 07/07/05		412,870		412,682
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		784,454		783,394
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		2,749,717		2,738,093
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		2,497,758		2,494,073
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		412,870		412,870
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		1,208,373		1,207,298
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		1,577,165		1,575,256
Nordea North America Inc.
2.74%, 07/11/05		412,870		412,556
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		1,643,224		1,640,112
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		413,201		413,200
Polonius Inc.
3.15%, 07/11/05 (d)		578,019		577,513
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		2,685,879		2,684,122
Santander Central Hispano
2.75%, 07/08/05		1,032,176		1,031,625
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		1,477,159		1,474,276
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		3,003,219		2,995,134
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)		2,688,604		2,685,781


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Three Pillars Funding Corp.
3.30%, 07/28/05	$	120,071	$	119,774
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		1,610,195		1,610,194
UBS Finance Delaware LLC
3.03%, 07/01/05		1,238,611		1,238,611
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		718,394		716,793
Yorktown Capital LLC
3.15%, 07/13/05		479,929		479,425

				47,003,399


FLOATING RATE NOTES (c) (3.37%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		1,535,878		1,535,887
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		2,023,065		2,023,081
American Express Centurion Bank
3.29%, 06/29/06		330,296		330,297
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		2,353,361		2,353,643
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		536,732		536,732
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		536,731		536,658
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		4,244,308		4,244,266
BMW US Capital LLC
3.19%, 07/14/06 (d)		825,741		825,741
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		2,807,519		2,807,255
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		3,088,270		3,088,076
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		206,435		206,435
Credit Suisse First Boston
3.15%, 05/09/06		825,741		825,741
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		2,477,222		2,477,083
DEPFA Bank PLC
3.42%, 03/15/06		825,741		825,741

The accompanying notes are an integral part of these financial statements.

115

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)	$	1,998,293	$	1,998,367
Fairway Finance LLC
3.21%, 10/20/05		330,296		330,291
Fifth Third Bancorp
3.26%, 04/21/06 (d)		1,651,482		1,651,482
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		578,019		578,039
General Electric Capital Corp.
3.28%, 07/07/06		371,583		371,984
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		118,619		118,619
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		949,602		949,602
Hartford Life Global Funding Trust
3.21%, 07/15/06		825,741		825,741
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		2,477,222		2,477,223
HSBC Bank USA N.A.
3.57%, 05/04/06		289,009		289,207
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		3,633,259		3,633,275
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		867,028		867,028
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		3,220,389		3,220,858
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		1,238,611		1,238,611
Marshall & Ilsley Bank
3.36%, 02/20/06		825,741		826,375
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		1,238,611		1,238,611
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		1,238,611		1,238,521
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		3,055,241		3,055,657
Norddeutsche Landesbank
3.11%, 07/27/05		825,741		825,720
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		2,477,222		2,477,223


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06	$	3,179,102	$	3,179,102
Principal Life Income Funding Trusts
3.21%, 05/10/06		619,306		619,335
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		2,343,039		2,342,380
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		454,157		454,104
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		4,714,980		4,715,106
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		825,741		825,741
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		1,279,898		1,279,612
SunTrust Bank
3.17%, 04/28/06		1,238,611		1,238,611
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		2,832,291		2,832,116
Toronto-Dominion Bank
3.81%, 06/20/06		1,032,176		1,032,274
UniCredito Italiano SpA
3.34%, 06/14/06		1,073,463		1,073,100
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		2,129,721		2,129,721
Wells Fargo & Co.
3.19%, 07/14/06 (d)		412,870		412,916
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		2,766,232		2,766,126
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		2,774,489		2,774,393
Winston Funding Ltd.
3.23%, 07/23/05 (d)		589,579		589,579
World Savings Bank
3.13%, 09/09/05		289,009		289,004

				79,382,290


MONEY MARKET FUNDS (2.42%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (c) (e) (f)		3,302,963		3,302,963
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (e) (f)		53,227,880		53,227,880

The accompanying notes are an integral part of these financial statements.

116

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (Cont.)
BlackRock Temp Cash Money Market Fund, 3.04% (c) (f)		119,615	$	119,615
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (f)		289,468		289,468

				56,939,926


REPURCHASE AGREEMENTS (c) (1.23%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $14,026,171 and effective yields of 3.40% - 3.44%. (g)	$	14,024,836		14,024,836
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $10,735,654 and effective yields of 3.43% - 3.44%. (g)		10,734,630		10,734,630
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of $4,129,094 and an effective yield of 3.40%. (g)		4,128,704		4,128,704

				28,888,170


TIME DEPOSITS (c) (0.58%)
American Express Centurion Bank
3.08%, 07/01/05		619,306		619,306
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		825,741		825,741
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		1,156,037		1,156,038
Credit Suisse First Boston
3.16%, 07/13/05		412,870		412,870
Deutsche Bank AG
3.31%, 07/01/05		33,954		33,954
HBOS Treasury Services PLC
3.39%, 12/14/05		495,444		495,444
Key Bank N.A.
3.34%, 07/01/05		2,477,222		2,477,222
Natexis Banques
2.98%, 08/18/05		825,741		825,741
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		1,486,333		1,486,296
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		660,593		660,589
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		578,019		578,010


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
US Bank N.A.
3.12%, 07/08/05	$	825,741	$	825,741
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		2,477,222		2,477,222
Wells Fargo Bank N.A.
3.04%, 07/01/05		825,741		825,741

				13,699,915


U.S. GOVERNMENT AGENCY NOTES (c) (0.05%)
Federal National Mortgage Association
2.33%, 07/22/05		1,238,611		1,236,931

				1,236,931


U.S. TREASURY OBLIGATIONS (0.12%)
U.S. Treasury Bill
3.04%, 09/22/05 (h) (i)		2,800,000		2,780,579

				2,780,579


TOTAL SHORT-TERM INVESTMENTS
(Cost: $229,931,381)				229,931,210


TOTAL INVESTMENTS IN SECURITIES (107.31%)
(Cost: $2,609,199,727)				2,528,799,521

Other Assets, Less Liabilities (-7.31%)				(172,157,443	)

NET ASSETS (100.00%)			$	2,356,642,078

NVS	Non-Voting Shares

(a)	Non-income earning security.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(f)	The rate quoted is the annualized seven-day yield of the fund at period end.

(g)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

(h)	The rate quoted is the yield to maturity.

(i)	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of June 30, 2005, the open futures contracts held by the Master Portfolio were as follows:


Futures contracts (expiration date)	Number of contracts	Notional contract value		Net unrealized depreciation

S&P 500 Index (09/16/05)	961	$	57,443,775	$	(578,642	)


				$	(578,642	)

The accompanying notes are an integral part of these financial statements.

117

RUSSELL 2000 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (95.02%)

ADVERTISING (0.31%)
ADVO Inc.	6,359	$	202,534
Catalina Marketing Corp. (a)	10,770		273,666
FTD Group Inc. (b)	2,609		29,612
Greenfield Online Inc. (b)	3,326		40,411
Marchex Inc. Class B (a) (b)	4,072		61,243
ValueVision Media Inc. Class A (b)	5,500		66,055
Ventiv Health Inc. (b)	5,431		104,710

			778,231


AEROSPACE & DEFENSE (1.28%)
AAR Corp. (b)	6,603		103,733
ARGON ST Inc. (b)	1,763		62,586
Armor Holdings Inc. (b)	7,016		277,904
BE Aerospace Inc. (b)	11,694		182,777
Curtiss-Wright Corp.	4,370		235,761
DRS Technologies Inc.	5,545		284,348
EDO Corp.	3,364		100,617
Engineered Support Systems Inc.	8,450		302,764
Esterline Technologies Corp. (b)	5,089		203,967
GenCorp Inc. (b)	11,026		212,361
HEICO Corp. (a)	4,362		102,114
Herley Industries Inc. (b)	2,580		47,059
Innovative Solutions & Support Inc. (b)	1,811		60,795
Kaman Corp. Class A	4,446		80,206
Moog Inc. Class A (b)	8,043		253,274
MTC Technologies Inc. (b)	2,032		74,839
Orbital Sciences Corp. (a) (b)	11,343		112,296
Sequa Corp. Class A (b)	1,463		96,807
Teledyne Technologies Inc. (b)	6,797		221,446
Triumph Group Inc. (b)	3,552		123,468
United Industrial Corp.	2,265		80,951

			3,220,073


AGRICULTURE (0.31%)
Alico Inc.	785		40,373
Alliance One International Inc.	17,673		106,214
Delta & Pine Land Co.	7,743		194,040
Maui Land & Pineapple Co. Inc. (b)	717		27,303
Tejon Ranch Co. (b)	1,883		96,918
Universal Corp. (a)	5,177		226,649
Vector Group Ltd. (a)	5,087		94,466

			785,963


AIRLINES (0.52%)
AirTran Holdings Inc. (b)	17,667		163,066
Alaska Air Group Inc. (b)	5,584		166,124
America West Holdings Corp. Class B (a) (b)	8,702		52,212
Continental Airlines Inc. Class B (a) (b)	14,000		185,920
Delta Air Lines Inc. (a) (b)	25,172		94,647
ExpressJet Holdings Inc. (b)	8,911		75,833


Security	Shares	Value

COMMON STOCKS (Cont.)

AIRLINES (Cont.)
Frontier Airlines Inc. (b)	7,426	$	76,711
MAIR Holdings Inc. (a) (b)	2,313		20,447
Mesa Air Group Inc. (a) (b)	6,085		40,830
Northwest Airlines Corp. (a) (b)	17,408		79,380
Pinnacle Airlines Corp. (b)	3,894		33,449
Republic Airways Holdings Inc. (b)	2,432		35,142
SkyWest Inc.	11,905		216,433
World Air Holdings Inc. (b)	4,760		55,787

			1,295,981


APPAREL (0.85%)
Carter’s Inc. (b)	3,767		219,917
Cherokee Inc.	1,482		51,307
Deckers Outdoor Corp. (a) (b)	2,053		50,504
DHB Industries Inc. (b)	5,546		46,864
Guess? Inc. (b)	3,292		54,581
Gymboree Corp. (b)	6,365		86,946
Hartmarx Corp. (b)	5,317		53,542
Kellwood Co.	5,820		156,558
K-Swiss Inc. Class A	5,371		173,698
OshKosh B’Gosh Inc. Class A	1,676		43,559
Oxford Industries Inc. (a)	2,941		126,610
Perry Ellis International Inc. (b)	1,951		45,634
Phillips-Van Heusen Corp.	5,397		176,428
Russell Corp.	6,633		135,645
Skechers U.S.A. Inc. Class A (b)	4,553		64,926
Steven Madden Ltd. (b)	2,679		47,579
Stride Rite Corp.	7,363		101,536
Warnaco Group Inc. (The) (b)	9,466		220,084
Wolverine World Wide Inc.	11,994		287,976

			2,143,894


AUTO MANUFACTURERS (0.13%)
A.S.V. Inc. (a) (b)	1,787		72,445
Noble International Ltd.	1,465		34,501
R & B Inc. (b)	2,075		29,133
Titan International Inc.	2,517		35,188
Wabash National Corp.	6,351		153,885

			325,152


AUTO PARTS & EQUIPMENT (0.73%)
Accuride Corp. (b)	2,167		23,035
Aftermarket Technology Corp. (b)	4,368		76,134
American Axle & Manufacturing Holdings Inc.	8,685		219,470
ArvinMeritor Inc.	14,356		255,393
Bandag Inc.	2,354		108,402
Commercial Vehicle Group Inc. (b)	2,559		45,422
Cooper Tire & Rubber Co.	12,935		240,203
Hayes Lemmerz International Inc. (b)	7,962		56,689

The accompanying notes are an integral part of these financial statements.

118

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

AUTO PARTS & EQUIPMENT (Cont.)
Keystone Automotive Industries Inc. (b)	3,209	$	79,359
Modine Manufacturing Co.	7,100		231,176
Standard Motor Products Inc.	2,947		38,900
Strattec Security Corp. (b)	753		41,008
Superior Industries International Inc. (a)	4,641		109,992
Tenneco Automotive Inc. (b)	8,885		147,846
Visteon Corp.	26,102		157,395

			1,830,424


BANKS (8.06%)
ABC Bancorp	2,230		40,318
ACE Cash Express Inc. (b)	2,270		58,021
Alabama National Bancorp (a)	2,800		183,036
AMCORE Financial Inc.	5,421		161,979
Amegy Bancorporation Inc.	14,237		318,624
AmericanWest Bancorporation (b)	1,963		39,162
Ames National Corp. (a)	535		59,150
Arrow Financial Corp.	1,949		54,260
Banc Corp. (The) (b)	2,518		26,640
BancFirst Corp.	724		62,981
Bancorp Inc. (The) (b)	1,678		29,264
BancorpSouth Inc.	15,991		377,388
BancTrust Financial Group Inc.	4,446		86,830
Bank of Granite Corp.	2,476		47,391
Bank of the Ozarks Inc. (a)	2,518		82,691
Banner Corp.	2,140		59,941
Boston Private Financial Holdings Inc.	5,840		147,168
Camden National Corp.	2,023		66,253
Capital City Bank Group Inc. (a)	1,759		71,064
Capital Corp of the West	1,829		50,755
Capital Crossing Bank (b)	1,043		35,566
Capitol Bancorp Ltd.	2,622		88,125
Cardinal Financial Corp. (b)	4,546		42,687
Cascade Bancorp (a)	5,333		112,206
Cathay General Bancorp	9,155		308,615
Center Financial Corp.	2,181		54,154
Central Coast Bancorp (b)	2,226		40,291
Central Pacific Financial Corp.	6,254		222,642
Chemical Financial Corp. (a)	5,249		173,794
Chittenden Corp.	9,869		268,437
Citizens & Northern Corp. (a)	1,578		49,297
Citizens Banking Corp.	9,173		277,208
City Bank	3,053		94,704
City Holding Co.	3,389		123,766
Coastal Financial Corp.	5,659		83,414
CoBiz Inc. (a)	2,804		50,837
Colony Bankcorp Inc.	1,057		31,752
Columbia Bancorp	1,071		39,038
Columbia Banking System Inc.	3,001		73,885
Commercial Bankshares Inc.	831		32,251


Security	Shares	Value

COMMON STOCKS (Cont.)

BANKS (Cont.)
Community Bancorp (b)	952	$	29,531
Community Bank System Inc. (a)	6,034		147,169
Community Banks Inc.	2,454		63,608
Community Trust Bancorp Inc.	2,889		94,528
Corus Bankshares Inc.	3,696		205,091
CVB Financial Corp. (a)	9,588		188,692
Enterprise Financial Services Corp.	1,476		34,907
EuroBancshares Inc. (b)	4,785		76,799
Farmers Capital Bank Corp.	2,461		85,249
Financial Institutions Inc.	1,697		30,580
First BanCorp (Puerto Rico)	7,330		294,299
First Bancorp Inc. (North Carolina)	2,182		48,288
First Busey Corp. Class A	2,579		49,800
First Charter Corp.	6,028		132,435
First Citizens BancShares Inc. Class A	1,155		166,955
First Commonwealth Financial Corp. (a)	14,321		196,198
First Community Bancorp	2,946		139,935
First Community Bancshares Inc. (a)	1,951		63,407
First Financial Bancorp (a)	7,623		144,075
First Financial Bankshares Inc. (a)	3,570		120,809
First Financial Corp.	2,599		74,669
First Indiana Corp.	2,744		81,414
First Merchants Corp.	3,806		94,579
First Midwest Bancorp Inc.	9,761		343,294
First Oak Brook Bancshares Inc. Class A	1,171		33,046
First Regional Bancorp (b)	471		31,157
First Republic Bank	4,372		154,463
1st Source Corp.	2,298		52,716
First South Bancorp Inc.	909		28,979
First State Bancorp	2,956		57,021
FNB Corp. (Pennsylvania) (a)	11,188		219,844
FNB Corp. (Virginia)	1,295		36,260
Fremont General Corp. (a)	13,256		322,518
Frontier Financial Corp.	4,822		121,804
GB&T Bancshares Inc.	2,432		57,784
Glacier Bancorp Inc. (a)	6,447		168,460
Gold Bancorp Inc.	8,234		119,805
Great Southern Bancorp Inc. (a)	1,882		58,888
Greater Bay Bancorp (a)	10,701		282,185
Greene County Bancshares Inc.	1,196		32,675
Hancock Holding Co. (a)	5,726		196,974
Hanmi Financial Corp. (a)	7,930		132,431
Harleysville National Corp.	5,493		127,218
Heartland Financial USA Inc.	1,943		37,947
Heritage Commerce Corp.	2,304		42,301
Hudson United Bancorp	8,875		320,387
IBERIABANK Corp.	1,540		94,879
Independent Bank Corp. (Massachusetts)	2,950		83,219
Independent Bank Corp. (Michigan)	4,120		117,173

The accompanying notes are an integral part of these financial statements.

119

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

BANKS (Cont.)
Integra Bank Corp.	2,955	$	66,842
Interchange Financial Services Corp.	3,269		59,986
Irwin Financial Corp.	4,310		95,639
KNBT Bancorp Inc.	6,510		98,236
Lakeland Bancorp Inc. (a)	3,299		51,497
Lakeland Financial Corp.	1,066		43,365
Macatawa Bank Corp.	2,013		69,831
Main Street Banks Inc.	3,276		83,407
MainSource Financial Group Inc.	2,249		40,684
MB Financial Inc.	4,324		172,225
MBT Financial Corp.	2,782		53,553
Mercantile Bank Corp.	1,344		59,096
Mid-State Bancshares	4,597		127,659
Midwest Banc Holdings Inc.	2,202		42,477
Nara Bancorp Inc. (a)	3,884		57,017
National Penn Bancshares Inc. (a)	6,827		170,538
NBC Capital Corp.	2,109		51,333
NBT Bancorp Inc.	6,565		155,197
NewAlliance Bancshares Inc.	22,321		313,610
Northern Empire Bancshares (a) (b)	1,555		48,112
Old National Bancorp (a)	14,673		314,002
Old Second Bancorp Inc.	2,604		75,750
Omega Financial Corp.	2,412		74,893
Oriental Financial Group Inc.	4,222		64,428
Pacific Capital Bancorp	9,261		343,398
Park National Corp. (a)	3,054		337,467
Peapack-Gladstone Financial Corp. (a)	1,564		43,323
PennRock Financial Services Corp.	1,703		61,121
Pennsylvania Commerce Bancorp Inc. (b)	826		27,051
Peoples Bancorp Inc.	2,010		53,768
Pinnacle Financial Partners Inc. (b)	1,414		33,936
Placer Sierra Bancshares	1,252		34,142
PremierWest Bancorp (b)	2,629		38,962
PrivateBancorp Inc. (a)	3,508		124,113
Prosperity Bancshares Inc.	4,125		118,016
Provident Bankshares Corp.	6,789		216,637
R&G Financial Corp. Class B	6,274		110,987
Renasant Corp.	2,411		74,162
Republic Bancorp Inc. (a)	13,985		209,495
Republic Bancorp Inc. Class A	1,315		28,549
S&T Bancorp Inc. (a)	5,355		193,315
Sandy Spring Bancorp Inc.	2,794		97,874
Santander BanCorp	1,445		36,212
SCBT Financial Corp.	1,814		57,413
Seacoast Banking Corp. of Florida	2,111		41,566
Security Bank Corp.	1,835		42,021
Signature Bank (b)	2,213		53,997
Simmons First National Corp. Class A	2,790		75,637
Southside Bancshares Inc.	1,803		36,961
Southwest Bancorp Inc.	2,655		54,374


Security	Shares	Value

COMMON STOCKS (Cont.)

BANKS (Cont.)
State Bancorp Inc.	2,014	$	45,557
State Financial Services Corp. Class A	1,049		42,233
Sterling Bancorp	4,074		86,980
Sterling Bancshares Inc.	8,862		137,893
Sterling Financial Corp. (Pennsylvania)	5,009		106,742
Suffolk Bancorp	2,093		67,583
Summit Bancshares Inc.	1,885		32,610
Summit Financial Group Inc.	1,029		33,638
Sun Bancorp Inc. (New Jersey) (b)	2,131		44,048
Susquehanna Bancshares Inc.	9,616		236,457
SVB Financial Group (a) (b)	7,443		356,520
SY Bancorp Inc.	2,938		67,133
Taylor Capital Group Inc.	817		32,067
Texas Capital Bancshares Inc. (b)	4,480		88,435
Texas Regional Bancshares Inc. Class A	8,551		260,634
Tompkins Trustco Inc.	2,212		96,001
TriCo Bancshares	2,292		51,203
TrustCo Bank Corp. NY (a)	15,010		196,031
Trustmark Corp. (a)	9,759		285,548
UCBH Holdings Inc.	18,626		302,486
UMB Financial Corp.	3,427		195,442
Umpqua Holdings Corp.	8,846		208,235
Union Bankshares Corp.	1,709		66,002
United Bancshares Inc.	7,794		277,544
United Community Banks Inc.	6,255		162,755
United PanAm Financial Corp. (b)	960		26,314
United Security Bancshares Inc.	1,132		34,820
Univest Corp. of Pennsylvania	2,236		66,991
Unizan Financial Corp.	4,983		133,495
USB Holding Co. Inc.	2,856		66,830
Vineyard National Bancorp	1,556		49,107
Virginia Commerce Bancorp Inc. (b)	1,759		42,796
Virginia Financial Group Inc.	1,345		47,196
W Holding Co. Inc.	21,943		224,257
Washington Trust Bancorp Inc.	2,456		67,958
WesBanco Inc.	4,476		134,370
West Bancorporation	3,253		61,156
West Coast Bancorp	3,035		74,084
Westamerica Bancorp	6,568		346,856
Western Sierra Bancorp (b)	1,295		43,836
Wilshire Bancorp Inc.	3,218		46,114
Wintrust Financial Corp.	4,720		247,092
Yardville National Bancorp	1,841		65,816

			20,254,769


BEVERAGES (0.15%)
Boston Beer Co. Inc. Class A (b)	1,880		42,187
Coca-Cola Bottling Co. Consolidated	947		47,861
Farmer Brothers Co.	1,393		31,008
Green Mountain Coffee Roasters Inc. (b)	959		32,539

The accompanying notes are an integral part of these financial statements.

120

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

BEVERAGES (Cont.)
Hansen Natural Corp. (a) (b)	1,619	$	137,162
Peet’s Coffee & Tea Inc. (b)	2,841		93,867

			384,624


BIOTECHNOLOGY (2.06%)
Aastrom Biosciences Inc. (b)	21,005		65,746
Alexion Pharmaceuticals Inc. (b)	5,793		133,471
Applera Corp. - Celera Genomics Group (b)	15,247		167,260
Arena Pharmaceuticals Inc. (b)	7,158		48,818
ARIAD Pharmaceuticals Inc. (b)	11,056		73,633
ArQule Inc. (b)	6,573		42,593
Barrier Therapeutics Inc. (b)	3,005		23,830
Bio-Rad Laboratories Inc. Class A (b)	3,596		212,919
Cambrex Corp.	5,698		108,547
Cell Genesys Inc. (a) (b)	9,214		49,295
CoTherix Inc. (b)	2,561		26,097
CuraGen Corp. (a) (b)	8,753		44,990
Curis Inc. (b)	10,493		40,923
deCODE genetics Inc. (a) (b)	11,203		105,196
Digene Corp. (b)	3,316		91,787
Diversa Corp. (b)	4,803		25,024
Encysive Pharmaceuticals Inc. (b)	11,958		129,266
Enzo Biochem Inc. (b)	5,661		101,502
Enzon Pharmaceuticals Inc. (b)	9,015		58,417
Exelixis Inc. (b)	15,612		115,997
Genitope Corp. (b)	4,911		63,057
Geron Corp. (a) (b)	11,373		88,027
GTx Inc. (b)	1,572		15,626
Human Genome Sciences Inc. (b)	26,766		309,950
ICOS Corp. (b)	13,090		277,115
Illumina Inc. (b)	7,436		89,753
Immunogen Inc. (b)	8,543		49,464
Incyte Corp. (a) (b)	16,954		121,221
Integra LifeSciences Holdings Corp. (a) (b)	4,200		122,640
InterMune Inc. (b)	6,089		79,401
Keryx Biopharmaceuticals Inc. (a) (b)	4,902		64,706
Lexicon Genetics Inc. (b)	13,560		66,986
LifeCell Corp. (b)	6,080		96,125
Martek Biosciences Corp. (b)	6,453		244,891
Maxygen Inc. (b)	5,179		35,528
Momenta Pharmaceuticals Inc. (b)	1,650		32,620
Myogen Inc. (a) (b)	4,721		33,000
Myriad Genetics Inc. (a) (b)	6,594		103,196
Nanogen Inc. (a) (b)	11,343		43,557
Nektar Therapeutics (b)	17,465		294,111
Orchid Cellmark Inc. (b)	5,062		54,720
Regeneron Pharmaceuticals Inc. (b)	8,282		69,486
Savient Pharmaceuticals Inc. (b)	12,578		55,469
Seattle Genetics Inc. (b)	6,728		36,062


Security	Shares	Value

COMMON STOCKS (Cont.)

BIOTECHNOLOGY (Cont.)
Serologicals Corp. (b)	7,178	$	152,532
StemCells Inc. (b)	12,886		54,250
SuperGen Inc. (b)	11,834		58,460
Telik Inc. (b)	10,665		173,413
Tercica Inc. (b)	2,209		19,196
Transkaryotic Therapies Inc. (a) (b)	6,160		225,333
Vertex Pharmaceuticals Inc. (a) (b)	19,496		328,313
ViroLogic Inc. (b)	25,043		62,107

			5,185,626


BUILDING MATERIALS (0.96%)
Aaon Inc. (b)	1,688		30,030
Apogee Enterprises Inc.	5,536		85,088
Comfort Systems USA Inc. (b)	7,873		51,804
Drew Industries Inc. (a) (b)	1,766		80,176
Eagle Materials Inc. (a)	3,787		350,638
ElkCorp	4,211		120,224
Genlyte Group Inc. (The) (b)	5,044		245,845
Interline Brands Inc. (b)	2,502		49,540
Lennox International Inc.	10,064		213,055
LSI Industries Inc.	3,890		54,227
NCI Building Systems Inc. (b)	4,216		138,285
Simpson Manufacturing Co. Inc. (a)	7,359		224,817
Texas Industries Inc.	4,630		260,345
Trex Co. Inc. (a) (b)	2,272		58,390
Universal Forest Products Inc.	3,210		133,054
York International Corp.	8,502		323,076

			2,418,594


CHEMICALS (1.56%)
American Vanguard Corp. (a)	2,185		45,688
Arch Chemicals Inc.	4,972		124,101
Balchem Corp.	1,597		47,990
Cabot Microelectronics Corp. (a) (b)	5,075		147,124
Ferro Corp.	8,940		177,548
Fuller (H.B.) Co.	6,307		214,816
Georgia Gulf Corp.	6,958		216,046
Grace (W.R.) & Co. (b)	13,576		105,757
Great Lakes Chemical Corp.	10,586		333,141
Hercules Inc. (b)	22,991		325,323
Kronos Worldwide Inc.	710		21,435
MacDermid Inc.	6,134		191,135
Minerals Technologies Inc.	4,146		255,394
NewMarket Corp. (b)	3,493		51,661
NL Industries Inc.	1,843		28,364
Octel Corp.	2,480		44,640
Olin Corp.	14,508		264,626
OM Group Inc. (b)	5,767		142,387
Pioneer Companies Inc. (b)	2,314		50,885
PolyOne Corp. (b)	18,748		124,112
Schulman (A.) Inc.	6,260		111,991

The accompanying notes are an integral part of these financial statements.

121

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

CHEMICALS (Cont.)
Sensient Technologies Corp. (a)	9,694	$	199,793
Spartech Corp.	6,521		116,074
Stepan Co.	1,151		25,437
Symyx Technologies Inc. (b)	6,686		187,074
Terra Industries Inc. (a) (b)	18,979		129,247
UAP Holding Corp.	6,821		113,229
Wellman Inc.	6,432		65,542
Westlake Chemical Corp.	2,749		67,350

			3,927,910


COAL (0.14%)
Alpha Natural Resources Inc. (b)	6,045		144,355
Foundation Coal Holdings Inc.	4,822		125,083
James River Coal Co. (b)	2,696		93,416

			362,854


COMMERCIAL SERVICES (4.80%)
Aaron Rents Inc.	7,958		198,075
ABM Industries Inc.	7,977		155,551
Administaff Inc. (a)	4,499		106,896
Advance America Cash Advance Centers Inc.	14,101		225,616
Advisory Board Co. (The) (a) (b)	4,028		196,325
Albany Molecular Research Inc. (b)	4,951		69,314
Alderwoods Group Inc. (b)	8,000		114,960
AMN Healthcare Services Inc. (b)	3,095		46,518
Arbitron Inc.	6,673		286,272
Bankrate Inc. (b)	1,983		39,938
Banta Corp.	5,112		231,880
BearingPoint Inc. (b)	37,622		275,769
Bowne & Co. Inc.	7,365		106,498
Bright Horizons Family Solutions Inc. (b)	5,606		228,276
CDI Corp. (a)	2,888		63,305
Central Parking Corp.	4,189		57,599
Century Business Services Inc. (b)	12,236		49,556
Cenveo Inc. (b)	10,071		76,137
Chemed Corp.	5,312		217,155
Clark Inc.	3,990		57,177
Coinstar Inc. (a) (b)	5,106		115,855
Consolidated Graphics Inc. (b)	2,495		101,721
Corinthian Colleges Inc. (b)	18,678		238,518
Corrections Corp. of America (b)	8,140		319,495
CorVel Corp. (b)	1,270		31,902
CoStar Group Inc. (a) (b)	3,440		149,984
CRA International Inc. (a) (b)	2,308		124,286
Cross Country Healthcare Inc. (b)	6,526		110,942
DeVry Inc. (a) (b)	11,900		236,810
DiamondCluster International Inc. Class A (b)	6,059		68,467
Dollar Thrifty Automotive Group Inc. (b)	5,548		210,713


Security	Shares	Value

COMMON STOCKS (Cont.)

COMMERCIAL SERVICES (Cont.)
Educate Inc. (b)	3,631	$	51,379
Electro Rent Corp. (b)	3,606		52,431
Euronet Worldwide Inc. (a) (b)	6,350		184,594
Exponent Inc. (b)	1,563		44,671
First Advantage Corp. Class A (b)	601		14,009
Forrester Research Inc. (b)	2,813		50,156
FTI Consulting Inc. (b)	8,717		182,185
Gartner Inc. Class A (a) (b)	12,451		132,230
Geo Group Inc. (The) (b)	2,360		59,118
Gevity HR Inc.	5,645		113,069
Healthcare Services Group Inc. (a)	5,394		108,312
Heidrick & Struggles International Inc. (b)	3,945		102,886
Hooper Holmes Inc.	13,139		54,527
Hudson Highland Group Inc. (b)	4,572		71,277
Huron Consulting Group Inc. (b)	1,336		31,463
iPayment Holdings Inc. (b)	2,505		91,483
Jackson Hewitt Tax Service Inc.	7,692		181,839
Kelly Services Inc. Class A	3,710		106,254
Kforce Inc. (b)	6,526		55,210
Korn/Ferry International (b)	6,888		122,262
Labor Ready Inc. (b)	8,912		207,739
Landauer Inc.	1,980		102,782
Learning Tree International Inc. (a) (b)	1,775		21,335
LECG Corp. (b)	2,929		62,271
Magellan Health Services Inc. (b)	5,512		194,629
MAXIMUS Inc.	4,060		143,277
McGrath RentCorp	4,140		98,118
Midas Inc. (a) (b)	3,884		89,332
MoneyGram International Inc. (a)	17,600		336,512
Monro Muffler Brake Inc. (b)	2,090		61,676
Morningstar Inc. (b)	1,705		47,996
MPS Group Inc. (b)	21,125		198,997
Navigant Consulting Inc. (b)	9,964		175,964
NCO Group Inc. (b)	6,545		141,568
Neurogen Corp. (b)	4,676		31,890
Odyssey Marine Exploration Inc. (b)	7,616		37,928
PAREXEL International Corp. (b)	5,567		110,505
PHH Corp. (b)	10,701		275,230
PRA International (b)	2,337		62,585
Pre-Paid Legal Services Inc. (a)	2,867		128,012
PRG-Schultz International Inc. (b)	8,307		23,426
Providence Service Corp. (The) (b)	1,899		47,152
Quanta Services Inc. (b)	23,773		209,202
Rent-Way Inc. (a) (b)	5,313		52,280
Resources Connection Inc. (a) (b)	9,723		225,865
Rollins Inc.	5,995		120,140
Senomyx Inc. (b)	4,360		71,984
SFBC International Inc. (b)	3,745		144,669
Sotheby’s Holdings Inc. Class A (b)	9,387		128,602
Source Interlink Companies Inc. (b)	6,766		83,695

The accompanying notes are an integral part of these financial statements.

122

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

COMMERCIAL SERVICES (Cont.)
SOURCECORP Inc. (b)	3,544	$	70,242
Spherion Corp. (b)	12,793		84,434
StarTek Inc.	2,579		42,347
Stewart Enterprises Inc. Class A	21,654		141,617
Strayer Education Inc.	3,084		266,026
TeleTech Holdings Inc. (b)	7,505		61,166
TNS Inc. (b)	2,605		60,879
United Rentals Inc. (a) (b)	13,680		276,473
Universal Technical Institute Inc. (b)	4,334		143,889
Valassis Communications Inc. (b)	10,610		393,100
Vertrue Inc. (b)	1,536		59,843
Viad Corp.	4,450		126,113
Volt Information Sciences Inc. (b)	1,869		44,351
Watson Wyatt & Co. Holdings (a)	6,949		178,103
Wright Express Corp. (b)	8,199		151,436

			12,056,245


COMPUTERS (2.72%)
Advanced Digital Information Corp. (b)	12,886		97,934
Agilysys Inc.	5,791		90,919
Ansoft Corp. (b)	1,492		36,047
Anteon International Corp. (b)	5,587		254,879
Blue Coat Systems Inc. (b)	2,266		67,708
Bottomline Technologies Inc. (b)	2,531		37,889
Brocade Communications Systems Inc. (b)	54,820		212,702
Catapult Communications Corp. (b)	1,952		33,301
CIBER Inc. (b)	10,743		85,729
COMSYS IT Partners Inc. (b)	2,545		43,418
Covansys Corp. (b)	6,236		80,133
CyberGuard Corp. (b)	4,292		25,516
CyberSource Corp. (b)	5,429		39,686
Dot Hill Systems Corp. (b)	8,861		46,432
Echelon Corp. (b)	5,844		40,207
Electronics For Imaging Inc. (b)	11,337		238,530
Equinix Inc. (b)	3,140		136,088
FactSet Research Systems Inc. (a)	6,954		249,231
Gateway Inc. (b)	52,295		172,573
Henry (Jack) & Associates Inc.	14,718		269,487
Hutchinson Technology Inc. (a) (b)	5,434		209,263
iGATE Corp. (b)	6,126		21,931
Imation Corp.	7,339		284,680
Integral Systems Inc.	1,983		44,875
Intergraph Corp. (b)	7,136		245,907
InterVoice-Brite Inc. (b)	7,577		65,390
Kanbay International Inc. (b)	5,055		116,821
Komag Inc. (b)	5,913		167,752
Kronos Inc. (b)	6,563		265,080
Lexar Media Inc. (b)	16,245		79,763
Magma Design Automation Inc. (b)	7,069		59,097
Manhattan Associates Inc. (b)	6,305		121,119


Security	Shares	Value

COMMON STOCKS (Cont.)

COMPUTERS (Cont.)
Maxtor Corp. (b)	51,881	$	269,781
McDATA Corp. Class A (b)	24,333		97,332
Mentor Graphics Corp. (b)	15,926		163,241
Mercury Computer Systems Inc. (b)	4,370		119,607
Merge Technologies Inc. (a) (b)	2,454		46,012
MICROS Systems Inc. (b)	7,792		348,692
Mobility Electronics Inc. (b)	5,404		49,447
MTS Systems Corp.	4,457		149,666
Ness Technologies Inc. (b)	3,805		40,409
NetScout Systems Inc. (b)	4,807		31,678
PalmOne Inc. (b)	8,876		264,239
PAR Technology Corp. (b)	804		25,728
Perot Systems Corp. Class A (b)	16,663		236,948
Phoenix Technologies Ltd. (b)	4,885		38,005
Quantum Corp. (a) (b)	37,040		110,009
Radiant Systems Inc. (b)	4,614		52,600
RadiSys Corp. (a) (b)	4,229		68,298
Rimage Corp. (b)	1,881		39,934
SI International Inc. (a) (b)	1,977		59,231
Silicon Storage Technology Inc. (b)	17,900		72,137
Stratasys Inc. (b)	2,099		68,595
Sykes Enterprises Inc. (b)	5,269		49,950
Synaptics Inc. (b)	4,731		101,054
Syntel Inc.	1,605		25,728
TALX Corp.	4,089		118,213
3D Systems Corp. (b)	2,472		59,476
Tyler Technologies Inc. (a) (b)	7,590		57,380
Ultimate Software Group Inc. (a) (b)	4,533		74,341
Vasco Data Security International Inc. (b)	4,901		47,540

			6,825,358


COSMETICS & PERSONAL CARE (0.16%)
Chattem Inc. (a) (b)	3,643		150,820
Elizabeth Arden Inc. (b)	5,173		120,996
Inter Parfums Inc. (a)	867		16,811
Parlux Fragrances Inc. (a) (b)	1,274		35,252
Revlon Inc. Class A (b)	29,111		89,371

			413,250


DISTRIBUTION & WHOLESALE (1.00%)
Aviall Inc. (b)	6,845		216,234
Beacon Roofing Supply Inc. (b)	3,290		86,527
Bell Microproducts Inc. (b)	5,897		55,432
BlueLinx Holdings Inc.	1,935		20,472
Brightpoint Inc. (b)	3,952		87,695
Building Materials Holdings Corp.	2,846		197,199
Central European Distribution Corp. (a) (b)	2,811		104,935
Handleman Co. (a)	4,965		81,972
Hughes Supply Inc.	13,510		379,631

The accompanying notes are an integral part of these financial statements.

123

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

DISTRIBUTION & WHOLESALE (Cont.)
Huttig Building Products Inc. (b)	2,741	$	29,904
LKQ Corp. (b)	3,002		81,504
NuCo2 Inc. (a) (b)	2,161		55,473
Owens & Minor Inc.	8,062		260,806
ScanSource Inc. (b)	2,601		111,687
United Stationers Inc. (b)	7,050		346,155
Watsco Inc.	4,699		200,177
WESCO International Inc. (b)	6,577		206,386

			2,522,189


DIVERSIFIED FINANCIAL SERVICES (1.80%)
Accredited Home Lenders Holding Co. (a) (b)	3,605		158,620
Advanta Corp. Class B	4,026		113,372
Archipelago Holdings Inc. (a) (b)	6,006		234,174
Asset Acceptance Capital Corp. (b)	1,799		46,612
Asta Funding Inc.	2,147		59,644
BKF Capital Group Inc.	1,798		68,162
Calamos Asset Management Inc. Class A	4,851		132,141
Capital Southwest Corp.	532		47,704
Capital Trust Inc. Class A	2,733		91,310
CharterMac (a)	8,293		182,114
Cohen & Steers Inc.	1,834		37,799
Collegiate Funding Services LLC (b)	2,950		43,011
CompuCredit Corp. (b)	4,281		146,753
Credit Acceptance Corp. (b)	2,062		30,703
Delta Financial Corp.	2,147		20,418
Doral Financial Corp.	17,640		291,766
Encore Capital Group Inc. (b)	3,048		51,816
eSpeed Inc. (b)	4,901		43,668
Federal Agricultural Mortgage Corp. (a)	2,147		47,341
Financial Federal Corp.	3,788		146,368
First Cash Inc. (b)	2,607		55,712
Gabelli Asset Management Inc. Class A	1,825		80,647
GFI Group Inc. (b)	1,139		40,548
Greenhill & Co. Inc.	2,418		97,953
Greg Manning Auctions Inc. (a) (b)	1,309		15,643
Harris & Harris Group Inc. (a) (b)	3,495		41,625
International Securities Exchange Inc. (b)	2,184		54,840
Investment Technology Group Inc. (b)	9,071		190,672
Knight Capital Group Inc. Class A (b)	23,708		180,655
LaBranche & Co. Inc. (b)	10,780		67,914
Lo-Jack Corp. (b)	3,414		59,950
MarketAxess Holdings Inc. (b)	4,696		53,065
Marlin Business Services Corp. (b)	1,229		24,703
Metris Companies Inc. (b)	11,850		171,351
Nasdaq Stock Market Inc. (The) (b)	9,124		172,079
National Financial Partners Corp.	7,195		281,612


Security	Shares	Value

COMMON STOCKS (Cont.)

DIVERSIFIED FINANCIAL SERVICES (Cont.)
Online Resources Corp. (b)	4,318	$	48,837
optionsXpress Holdings Inc.	4,077		61,970
Piper Jaffray Companies Inc. (b)	4,410		134,196
Portfolio Recovery Associates Inc. (a) (b)	3,183		133,750
Sanders Morris Harris Group Inc. (a)	2,475		42,570
Stifel Financial Corp. (b)	1,788		43,198
SWS Group Inc.	3,665		62,965
Waddell & Reed Financial Inc. Class A	15,426		285,381
World Acceptance Corp. (b)	3,888		116,834

			4,512,166


ELECTRIC (1.52%)
ALLETE Inc.	5,063		252,644
Aquila Inc. (b)	48,625		175,536
Avista Corp.	10,333		192,090
Black Hills Corp.	7,032		259,129
Calpine Corp. (a) (b)	110,461		375,567
Central Vermont Public Service Corp.	3,145		58,182
CH Energy Group Inc. (a)	3,447		167,628
Cleco Corp.	10,266		221,438
Duquesne Light Holdings Inc. (a)	15,119		282,423
El Paso Electric Co. (b)	9,521		194,704
Empire District Electric Co. (The)	6,566		157,321
IDACORP Inc. (a)	8,610		263,724
MGE Energy Inc.	4,021		146,284
NorthWestern Corp.	7,157		225,589
Otter Tail Corp.	5,966		163,051
Sierra Pacific Resources Corp. (a) (b)	23,865		297,119
UIL Holdings Corp. (a)	2,944		158,417
UniSource Energy Corp.	7,198		221,338

			3,812,184


ELECTRICAL COMPONENTS & EQUIPMENT (0.68%)
Advanced Energy Industries Inc. (a) (b)	5,074		39,882
Artesyn Technologies Inc. (b)	7,609		66,198
Belden CDT Inc. (a)	9,883		209,520
C&D Technologies Inc.	5,124		47,090
Color Kinetics Inc. (b)	2,647		28,164
Encore Wire Corp. (b)	3,295		38,189
Energy Conversion Devices Inc. (a) (b)	4,718		105,589
EnerSys (b)	9,411		128,272
General Cable Corp. (a) (b)	8,189		121,443
GrafTech International Ltd. (b)	20,027		86,116
Intermagnetics General Corp. (b)	5,928		182,345
Littelfuse Inc. (a) (b)	4,649		129,475
Medis Technologies Ltd. (a) (b)	2,994		49,700
Powell Industries Inc. (b)	1,335		25,191
Power-One Inc. (b)	15,181		95,792
Superior Essex Inc. (b)	3,549		62,853
Universal Display Corp. (a) (b)	4,731		48,635

The accompanying notes are an integral part of these financial statements.

124

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

ELECTRICAL COMPONENTS & EQUIPMENT (Cont.)
Valence Technology Inc. (a) (b)	26,436	$	74,021
Vicor Corp.	3,808		51,789
Wilson Greatbatch Technologies Inc. (a) (b)	4,656		111,278

			1,701,542


ELECTRONICS (2.22%)
ADE Corp. (a) (b)	1,984		55,651
American Science & Engineering Inc. (b)	1,681		74,569
American Superconductor Corp. (b)	6,450		59,017
Analogic Corp.	2,761		138,934
Badger Meter Inc.	1,115		46,049
Bei Technologies Inc.	2,507		66,887
Bel Fuse Inc. Class B	2,277		69,585
Benchmark Electronics Inc. (b)	8,425		256,288
Brady Corp. Class A	8,410		260,710
Checkpoint Systems Inc. (b)	7,998		141,565
Cogent Inc. (b)	4,549		129,874
Coherent Inc. (b)	6,303		226,971
CTS Corp.	7,233		88,894
Cubic Corp. (a)	3,065		54,373
Cymer Inc. (a) (b)	7,572		199,522
Daktronics Inc.	3,026		60,550
Dionex Corp. (a) (b)	4,088		178,278
Electro Scientific Industries Inc. (b)	6,253		111,804
Evergreen Solar Inc. (b)	8,070		51,890
Excel Technology Inc. (b)	2,546		61,868
Fargo Electronics (b)	2,567		51,314
FEI Co. (a) (b)	5,046		115,099
Identix Inc. (a) (b)	18,125		91,169
II-VI Inc. (b)	4,798		88,235
International DisplayWorks Inc. (b)	6,550		52,400
Intevac Inc. (b)	4,432		46,403
Ionatron Inc. (a) (b)	4,995		42,907
Itron Inc. (b)	4,758		212,587
Keithley Instruments Inc.	2,871		44,242
KEMET Corp. (b)	17,496		110,225
LaBarge Inc. (b)	2,082		37,788
Measurements Specialties Inc. (a) (b)	2,400		55,704
Methode Electronics Inc.	7,267		86,259
Metrologic Instruments Inc. (a) (b)	2,303		28,880
MIPS Technologies Inc. Class A (b)	8,620		62,064
Molecular Devices Corp. (b)	3,464		74,926
Multi-Fineline Electronix Inc. (b)	1,634		30,066
OSI Systems Inc. (a) (b)	3,165		49,975
Park Electrochemical Corp.	3,976		100,195
Paxar Corp. (b)	7,154		126,983
Photon Dynamics Inc. (a) (b)	3,524		72,630
Plexus Corp. (a) (b)	9,133		129,963
PLX Technology Inc. (a) (b)	4,811		48,880


Security	Shares	Value

COMMON STOCKS (Cont.)

ELECTRONICS (Cont.)
Rofin-Sinar Technologies Inc. (b)	3,067	$	100,598
Rogers Corp. (a) (b)	3,591		145,615
Sonic Solutions Inc. (a) (b)	4,933		91,754
Spatialight Inc. (a) (b)	8,398		47,617
Sypris Solutions Inc.	1,749		21,635
Taser International Inc. (a) (b)	12,592		126,424
Technitrol Inc.	8,688		122,761
TTM Technologies Inc. (b)	8,460		64,381
Ultralife Batteries Inc. (a) (b)	3,061		49,435
Varian Inc. (a) (b)	7,335		277,190
Viisage Technology Inc. (a) (b)	6,522		29,219
Watts Water Technologies Inc. Class A	5,142		172,206
Woodward Governor Co.	1,985		166,800
X-Rite Inc.	4,166		47,951
Zoltek Companies Inc. (b)	2,205		24,762

			5,580,521


ENERGY-ALTERNATE SOURCES (0.27%)
FuelCell Energy Inc. (a) (b)	9,710		99,139
Headwaters Inc. (a) (b)	8,461		290,889
KFx Inc. (a) (b)	12,126		173,281
Plug Power Inc. (a) (b)	9,483		64,959
Quantum Fuel Systems Technologies Worldwide Inc. (b)	9,260		46,300

			674,568


ENERGY & RELATED (0.05%)
Edge Petroleum Corp. (b)	3,471		54,217
Syntroleum Corp. (b)	7,926		81,321

			135,538


ENGINEERING & CONSTRUCTION (0.66%)
Dycom Industries Inc. (b)	9,992		197,942
EMCOR Group Inc. (b)	3,285		160,636
Granite Construction Inc.	7,043		197,908
Infrasource Services Inc. (b)	2,444		25,466
Insituform Technologies Inc. Class A (a) (b)	5,459		87,508
Perini Corp. (b)	3,918		64,334
Shaw Group Inc. (The) (a) (b)	15,920		342,439
URS Corp. (b)	8,312		310,453
Washington Group International Inc. (a) (b)	5,331		272,521

			1,659,207


ENTERTAINMENT (0.96%)
Alliance Gaming Corp. (a) (b)	10,562		148,079
Argosy Gaming Co. (b)	6,063		282,596
Carmike Cinemas Inc.	2,365		72,558
Churchill Downs Inc. (a)	1,561		66,327

The accompanying notes are an integral part of these financial statements.

125

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

ENTERTAINMENT (Cont.)
Dover Downs Gaming & Entertainment Inc.	2,068	$	27,422
Dover Motorsports Inc.	5,633		33,798
Gaylord Entertainment Co. (b)	8,214		381,869
Great Wolf Resorts Inc. (b)	5,228		106,860
Isle of Capri Casinos Inc. (b)	2,909		76,216
Macrovision Corp. (b)	10,363		233,582
Magna Entertainment Corp. Class A (a) (b)	7,377		41,606
Mikohn Gaming Corp. (b)	4,708		69,325
Pinnacle Entertainment Inc. (b)	8,348		163,287
Shuffle Master Inc. (a) (b)	7,278		204,002
Six Flags Inc. (b)	20,756		96,515
Speedway Motorsports Inc.	3,207		117,248
Steinway Musical Instruments Inc. (b)	1,637		48,062
Sunterra Corp. (b)	3,995		64,759
Vail Resorts Inc. (b)	6,291		176,777

			2,410,888


ENVIRONMENTAL CONTROL (0.57%)
Aleris International Inc. (b)	6,331		142,764
American Ecology Corp.	2,546		45,573
Calgon Carbon Corp.	6,752		59,755
Casella Waste Systems Inc. Class A (b)	3,945		47,340
Clean Harbors Inc. (b)	3,135		67,967
Darling International Inc. (b)	13,725		51,469
Duratek Inc. (b)	2,882		66,805
Layne Christensen Co. (b)	1,926		38,260
Metal Management Inc.	4,494		86,959
Mine Safety Appliances Co. (a)	5,918		273,412
Tetra Tech Inc. (a) (b)	11,551		156,285
Waste Connections Inc. (b)	9,560		356,492
Waste Services Inc. (b)	13,072		50,196

			1,443,277


FOOD (1.40%)
American Italian Pasta Co. Class A (a)	3,712		78,026
Andersons Inc.	1,396		49,991
Chiquita Brands International Inc.	8,753		240,357
Corn Products International Inc.	15,433		366,688
Flowers Foods Inc.	7,327		259,083
Gold Kist Inc. (b)	10,669		230,237
Great Atlantic & Pacific Tea Co. (a) (b)	4,223		122,720
Hain Celestial Group Inc. (b)	6,023		117,448
Ingles Markets Inc. Class A	2,105		28,986
J&J Snack Foods Corp.	1,321		69,154
Lance Inc.	6,205		106,788
M&F Worldwide Corp. (b)	2,264		30,247
Nash Finch Co.	2,591		95,193
Pathmark Stores Inc. (b)	6,088		53,331
Performance Food Group Co. (a) (b)	9,647		291,436


Security	Shares	Value

COMMON STOCKS (Cont.)

FOOD (Cont.)
Provide Commerce Inc. (b)	1,635	$	35,300
Ralcorp Holdings Inc.	6,085		250,398
Ruddick Corp.	6,990		178,455
Sanderson Farms Inc.	2,151		97,741
Sanfilippo (John B.) & Son Inc. (b)	1,686		38,879
Seaboard Corp.	74		123,136
Spartan Stores Inc. (b)	4,352		63,844
Tootsie Roll Industries Inc.	5,108		149,409
United Natural Foods Inc. (a) (b)	8,442		256,384
Weis Markets Inc.	2,886		111,948
Wild Oats Markets Inc. (a) (b)	5,981		68,482

			3,513,661


FOREST PRODUCTS & PAPER (0.66%)
Bowater Inc.	11,312		366,169
Buckeye Technologies Inc. (b)	6,074		48,410
Caraustar Industries Inc. (b)	6,104		64,092
Deltic Timber Corp.	2,230		84,807
Glatfelter Co.	8,796		109,070
Longview Fibre Co.	10,778		221,488
Mercer International Inc. (b)	5,644		41,145
Neenah Paper Inc.	2,917		90,339
Potlatch Corp.	6,147		321,673
Rock-Tenn Co. Class A	6,285		79,505
Schweitzer-Mauduit International Inc.	3,150		98,059
Wausau Paper Corp.	9,226		110,527
Xerium Technologies Inc. (b)	2,592		30,715

			1,665,999


GAS (0.85%)
Cascade Natural Gas Corp.	2,369		48,564
EnergySouth Inc.	1,212		33,585
Laclede Group Inc. (The)	4,688		148,891
New Jersey Resources Corp.	5,832		281,394
Nicor Inc.	8,524		350,933
Northwest Natural Gas Co.	5,773		220,760
Peoples Energy Corp. (a)	7,468		324,559
South Jersey Industries Inc.	3,225		197,112
Southwest Gas Corp.	7,724		197,039
WGL Holdings Inc. (a)	9,912		333,440

			2,136,277


HAND & MACHINE TOOLS (0.43%)
Baldor Electric Co. (a)	6,997		170,167
Franklin Electric Co. Inc.	4,498		173,848
Kennametal Inc.	7,652		350,844
Lincoln Electric Holdings Inc. (a)	7,434		246,437
Regal-Beloit Corp. (a)	5,134		149,707

			1,091,003

The accompanying notes are an integral part of these financial statements.

126

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE (0.40%)
Abaxis Inc. (b)	4,121	$	44,836
ABIOMED Inc. (b)	3,901		33,354
America Service Group Inc. (b)	2,215		35,108
American Dental Partners Inc. (b)	1,589		38,787
CNS Inc.	2,918		66,676
FARO Technologies Inc. (b)	2,272		61,935
Flanders Corp. (b)	2,643		23,787
HealthTronics Inc. (b)	6,972		90,566
I-Flow Corp. (a) (b)	4,102		68,257
LeCroy Corp. (b)	2,459		33,811
MedCath Corp. (a) (b)	1,456		40,462
Palomar Medical Technologies Inc. (b)	3,479		83,218
Psychiatric Solutions Inc. (a) (b)	4,196		204,387
Res-Care Inc. (b)	4,088		55,433
Somanetics Corp. (b)	2,132		47,906
ThermoGenesis Corp. (b)	17,548		76,334

			1,004,857


HEALTH CARE-PRODUCTS (3.16%)
Advanced Neuromodulation Systems Inc. (a) (b)	4,271		169,473
Align Technology Inc. (a) (b)	12,639		93,149
American Medical Systems Holdings Inc. (b)	14,207		293,375
Animas Corp. (a) (b)	2,496		50,294
Arrow International Inc.	4,273		136,309
ArthroCare Corp. (a) (b)	4,986		174,211
Aspect Medical Systems Inc. (b)	3,362		99,986
Biosite Inc. (b)	3,464		190,485
Bruker BioSciences Corp. (b)	7,813		31,174
Caliper Life Sciences Inc. (b)	5,617		31,455
Candela Corp. (b)	4,684		48,948
Cantel Medical Corp. (b)	2,309		37,775
Cepheid Inc. (a) (b)	8,630		63,344
CONMED Corp. (b)	6,029		185,512
Cyberonics Inc. (b)	4,358		189,094
Datascope Corp.	2,437		81,274
Diagnostic Products Corp. (a)	4,667		220,889
DJ Orthopedics Inc. (b)	4,437		121,707
Encore Medical Corp. (b)	8,388		46,553
EPIX Pharmaceuticals Inc. (b)	5,025		44,471
FoxHollow Technologies Inc. (a) (b)	2,819		107,883
Haemonetics Corp. (b)	3,897		158,374
Hologic Inc. (a) (b)	4,487		178,358
ICU Medical Inc. (b)	2,832		91,105
Immucor Inc. (b)	9,357		270,885
IntraLase Corp. (b)	2,658		52,150
Intuitive Surgical Inc. (a) (b)	7,174		334,595
Invacare Corp. (a)	6,237		276,673
Inverness Medical Innovations Inc. (a) (b)	3,508		95,768


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE-PRODUCTS (Cont.)
IRIS International Inc. (b)	3,416	$	60,805
Kensey Nash Corp. (a) (b)	1,900		57,456
Kyphon Inc. (a) (b)	5,980		208,044
Laserscope (a) (b)	4,096		169,738
LCA-Vision Inc.	4,182		202,660
Lifeline Systems Inc. (b)	2,482		79,722
Luminex Corp. (b)	5,338		52,526
Mentor Corp.	8,813		365,563
Meridian Bioscience Inc.	2,315		43,869
Merit Medical Systems Inc. (a) (b)	5,497		84,709
Neurometrix Inc. (b)	1,174		23,515
NuVasive Inc. (b)	3,122		51,888
Oakley Inc.	4,885		83,192
Occulogix Inc. (b)	2,338		19,616
OraSure Technologies Inc. (b)	9,275		92,657
PolyMedica Corp.	5,688		202,834
PSS World Medical Inc. (a) (b)	13,233		164,751
SonoSite Inc. (b)	3,223		100,042
Stereotaxis Inc. (b)	2,835		22,765
Steris Corp.	14,199		365,908
SurModics Inc. (b)	3,100		134,447
Sybron Dental Specialties Inc. (b)	8,203		308,597
Symmetry Medical Inc. (b)	1,708		40,206
Thoratec Corp. (a) (b)	9,930		152,326
TriPath Imaging Inc. (b)	6,116		52,353
Ventana Medical Systems Inc. (b)	6,396		257,311
Viasys Healthcare Inc. (b)	6,734		152,121
Vital Images Inc. (a) (b)	2,437		43,744
Vital Sign Inc.	1,124		48,692
West Pharmaceutical Services Inc.	6,349		178,089
Wright Medical Group Inc. (a) (b)	5,936		158,491
Young Innovations Inc.	989		36,919
Zoll Medical Corp. (b)	2,133		54,285

			7,945,110


HEALTH CARE-SERVICES (1.67%)
Alliance Imaging Inc. (b)	4,642		48,555
Allied Healthcare International Inc. (b)	6,192		43,839
Amedisys Inc. (a) (b)	3,124		114,901
American Healthways Inc. (a) (b)	6,793		287,140
American Retirement Corp. (b)	5,603		81,916
AmSurg Corp. (a) (b)	6,104		169,020
Apria Healthcare Group Inc. (b)	9,942		344,391
Beverly Enterprises Inc. (b)	22,354		284,790
Centene Corp. (b)	8,542		286,840
Genesis HealthCare Corp. (b)	4,052		187,527
Gentiva Health Services Inc. (b)	4,726		84,406
Horizon Health Corp. (b)	2,132		49,867
Kindred Healthcare Inc. (a) (b)	5,803		229,857
LabOne Inc. (b)	3,915		155,856
Matria Healthcare Inc. (b)	3,309		106,649

The accompanying notes are an integral part of these financial statements.

127

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE-SERVICES (Cont.)
Molina Healthcare Inc. (a) (b)	2,232	$	98,788
National Healthcare Corp.	1,573		55,543
OCA Inc. (a) (b)	8,686		16,330
Odyssey Healthcare Inc. (b)	7,498		108,121
Option Care Inc. (a)	4,370		61,617
PainCare Holdings Inc. (b)	8,897		38,524
Pediatrix Medical Group Inc. (b)	4,707		346,153
Radiation Therapy Services Inc. (b)	2,242		59,525
RehabCare Group Inc. (b)	3,594		96,068
Specialty Laboratories Inc. (b)	1,407		11,833
Sunrise Senior Living Inc. (b)	3,548		191,521
Symbion Inc. (b)	3,505		83,594
U.S. Physical Therapy Inc. (b)	2,423		46,473
United Surgical Partners International Inc. (a) (b)	6,061		315,657
VistaCare Inc. Class A (b)	2,371		43,792
Wellcare Health Plans Inc. (b)	3,784		134,370

			4,183,463


HOLDING COMPANIES-DIVERSIFIED (0.17%)
Resource America Inc. Class A	3,210		123,681
Walter Industries Inc. (a)	7,420		298,284

			421,965


HOME BUILDERS (0.71%)
Brookfield Homes Corp.	3,230		147,288
Champion Enterprises Inc. (b)	15,388		152,957
Coachmen Industries Inc.	3,286		41,174
Comstock Homebuilding Companies Inc. Class A (b)	1,034		25,043
Fleetwood Enterprises Inc. (a) (b)	11,258		114,269
Levitt Corp. Class A	3,293		98,527
M/I Homes Inc.	2,500		135,250
Monaco Coach Corp. (a)	5,398		92,792
Palm Harbor Homes Inc. (a) (b)	3,305		62,233
Skyline Corp.	1,843		73,591
Technical Olympic USA Inc.	2,983		72,427
Thor Industries Inc. (a)	7,224		227,050
WCI Communities Inc. (b)	7,111		227,765
William Lyon Homes Inc. (b)	824		79,936
Winnebago Industries Inc. (a)	6,761		221,423

			1,771,725


HOME FURNISHINGS (0.54%)
American Woodmark Corp.	2,270		68,123
Bassett Furniture Industries Inc.	1,941		36,607
DTS Inc. (b)	3,884		69,252
Ethan Allen Interiors Inc. (a)	7,023		235,341
Furniture Brands International Inc.	10,317		222,950
Hooker Furniture Corp.	2,784		48,636
Kimball International Inc. Class B	4,483		59,176


Security	Shares	Value

COMMON STOCKS (Cont.)

HOME FURNISHINGS (Cont.)
La-Z-Boy Inc. (a)	11,322	$	164,962
Maytag Corp.	16,300		255,258
Stanley Furniture Co. Inc.	2,516		61,793
TiVo Inc. (a) (b)	11,640		77,755
Universal Electronics Inc. (b)	2,675		44,378

			1,344,231


HOUSEHOLD PRODUCTS & WARES (0.86%)
Blyth Inc.	6,145		172,367
Central Garden & Pet Co. (b)	3,904		191,764
CSS Industries Inc.	1,077		36,446
Ennis Inc.	5,186		93,970
Fossil Inc. (b)	9,961		226,115
Harland (John H.) Co. (a)	5,490		208,620
Jarden Corp. (b)	5,965		321,633
Lifetime Hoan Corp.	1,273		24,862
Playtex Products Inc. (a) (b)	8,110		87,264
Russ Berrie & Co. Inc.	2,353		30,142
Standard Register Co. (The)	3,277		51,809
Tupperware Corp. (a)	10,696		249,966
Water Pik Technologies Inc. (b)	2,424		46,177
WD-40 Co.	3,444		96,191
Yankee Candle Co. Inc. (The)	9,697		311,274

			2,148,600


HOUSEWARES (0.05%)
Libbey Inc.	3,627		57,343
National Presto Industries Inc.	1,318		58,084

			115,427


INSURANCE (2.17%)
Affirmative Insurance Holdings Inc.	1,958		31,034
Alfa Corp.	6,219		91,544
American Equity Investment Life Holding Co. (a)	6,569		78,040
American Physicians Capital Inc. (b)	2,109		78,349
Argonaut Group Inc. (a) (b)	5,580		128,842
Baldwin & Lyons Inc. Class B	1,211		29,185
Bristol West Holdings Inc.	3,563		65,203
Ceres Group Inc. (b)	6,836		41,563
Citizens Inc. (a) (b)	6,283		38,326
CNA Surety Corp. (b)	2,949		43,793
Crawford & Co. Class B	4,776		35,438
Danielson Holding Corp. (b)	10,284		125,156
Delphi Financial Group Inc. Class A	5,525		243,929
Direct General Corp. (a)	3,851		71,667
Donegal Group Inc. Class A	1,777		35,469
EMC Insurance Group Inc.	946		17,104
Enstar Group Inc. (b)	621		42,091
FBL Financial Group Inc. Class A	2,731		75,403
First Acceptance Corp. (b)	3,695		34,955

The accompanying notes are an integral part of these financial statements.

128

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

INSURANCE (Cont.)
FPIC Insurance Group Inc. (b)	2,049	$	60,097
Great American Financial Resources Inc.	1,833		36,312
Harleysville Group Inc.	5,232		109,296
Hilb, Rogal & Hobbs Co. (a)	6,463		222,327
Horace Mann Educators Corp.	8,902		167,536
Infinity Property & Casualty Corp.	4,501		156,995
Kansas City Life Insurance Co.	1,395		67,030
KMG America Corp. (b)	4,199		41,738
LandAmerica Financial Group Inc. (a)	3,814		226,437
Midland Co. (The)	2,093		73,653
National Western Life Insurance Co. Class A (b)	422		81,822
Navigators Group Inc. (The) (b)	1,746		60,359
Odyssey Re Holdings Corp. (a)	2,046		50,495
Ohio Casualty Corp.	12,759		308,513
Phoenix Companies Inc. (a)	19,403		230,896
PMA Capital Corp. Class A (a) (b)	6,163		54,419
Presidential Life Corp.	4,357		74,548
ProAssurance Corp. (b)	5,581		233,063
RLI Corp.	4,938		220,235
Safety Insurance Group Inc.	2,328		78,593
Selective Insurance Group Inc.	5,833		289,025
State Auto Financial Corp.	2,746		85,236
Stewart Information Services Corp.	3,611		151,662
Tower Group Inc.	3,391		53,001
Triad Guaranty Inc. (b)	2,194		110,556
21st Century Insurance Group	6,086		90,316
U.S.I. Holdings Corp. (b)	9,160		117,981
UICI	7,622		226,907
United Fire & Casualty Co.	3,058		135,836
Universal American Financial Corp. (b)	5,056		114,367
Zenith National Insurance Corp.	3,169		215,048

			5,451,390


INTERNET (3.10%)
Agile Software Corp. (b)	10,523		66,295
Alloy Inc. (b)	8,071		41,485
Applied Digital Solutions Inc. (b)	12,537		41,247
aQuantive Inc. (a) (b)	11,639		206,243
Ariba Inc. (b)	13,429		77,888
AsiaInfo Holdings Inc. (b)	7,388		40,708
Audible Inc. (b)	4,951		85,999
autobytel.com Inc. (b)	8,631		41,688
Avocent Corp. (b)	10,156		265,478
Blue Nile Inc. (a) (b)	3,004		98,201
Click Commerce Inc. (b)	1,703		39,118
CMGI Inc. (b)	99,056		187,216
CNET Networks Inc. (b)	26,524		311,392
Digital Insight Corp. (b)	7,890		188,729
Digital River Inc. (a) (b)	6,992		221,996


Security	Shares	Value

COMMON STOCKS (Cont.)

INTERNET (Cont.)
Digitas Inc. (b)	18,274	$	208,506
DoubleClick Inc. (b)	25,754		216,076
Drugstore.com Inc. (b)	13,990		58,338
E.piphany Inc. (b)	16,306		56,745
EarthLink Inc. (b)	26,132		226,303
eCollege.com Inc. (a) (b)	3,627		43,161
E-LOAN Inc. (b)	11,135		37,191
Entrust Inc. (b)	12,536		60,047
eResearch Technology Inc. (a) (b)	10,355		138,653
GSI Commerce Inc. (b)	6,364		106,597
Harris Interactive Inc. (b)	10,463		50,955
HomeStore Inc. (b)	30,208		61,322
InfoSpace Inc. (a) (b)	6,775		223,101
Intermix Media Inc. (b)	5,543		46,395
Internet Capital Group Inc. (b)	10,321		75,653
Internet Security Systems Inc. (b)	8,021		162,746
Interwoven Inc. (b)	8,361		62,958
Ipass Inc. (b)	10,928		66,224
j2 Global Communications Inc. (b)	4,852		167,103
Keynote Systems Inc. (b)	3,519		41,067
Lionbridge Technologies Inc. (b)	10,492		71,136
MatrixOne Inc. (b)	10,531		52,655
Motive Inc. (b)	4,378		43,474
NetBank Inc. (a)	9,193		85,679
NetFlix Inc. (b)	7,453		122,304
NetRatings Inc. (b)	2,796		38,026
NIC Inc. (b)	6,806		31,444
Nutri/System Inc. (b)	4,594		67,807
1-800 CONTACTS INC. (b)	1,749		33,878
1-800-FLOWERS.COM Inc. (b)	5,115		36,010
Openwave Systems Inc. (a) (b)	14,051		230,436
Opsware Inc. (b)	15,060		77,107
Overstock.com Inc. (a) (b)	2,399		85,404
Phase Forward Inc. (b)	4,407		29,968
Priceline.com Inc. (a) (b)	5,097		118,913
ProQuest Co. (b)	5,292		173,525
RealNetworks Inc. (b)	23,579		117,188
Redback Networks Inc. (b)	8,206		52,354
RightNow Technologies Inc. (b)	2,194		26,372
RSA Security Inc. (b)	14,496		166,414
S1 Corp. (b)	14,144		66,618
Sapient Corp. (b)	16,308		129,322
Secure Computing Corp. (b)	7,462		81,187
SeeBeyond Technology Corp. (b)	11,053		46,202
Sohu.com Inc. (a) (b)	5,050		110,696
SonicWALL Inc. (b)	11,966		64,497
Stamps.com Inc. (b)	3,528		66,150
Stellent Inc. (b)	4,795		35,962
SupportSoft Inc. (b)	8,774		45,537
Terremark Worldwide Inc. (b)	7,158		50,106
TIBCO Software Inc. (b)	44,220		289,199

The accompanying notes are an integral part of these financial statements.

129

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

INTERNET (Cont.)
Travelzoo Inc. (a) (b)	708	$	23,244
TriZetto Group Inc. (The) (b)	8,672		121,495
United Online Inc.	12,737		138,324
ValueClick Inc. (a) (b)	16,978		209,339
Verity Inc. (b)	7,623		66,854
Vignette Corp. (b)	5,841		65,711
WebEx Communications Inc. (a) (b)	6,784		179,165
webMethods Inc. (b)	10,645		59,612
Websense Inc. (b)	4,865		233,763
WebSideStory Inc. (b)	1,826		26,769

			7,792,670


INVESTMENT COMPANIES (0.24%)
Apollo Investment Corp.	12,622		232,623
Ares Capital Corp.	4,624		82,446
Gladstone Capital Corp. (a)	2,211		51,737
MCG Capital Corp. (a)	9,637		164,600
NGP Capital Resources Co.	3,426		51,150
Technology Investment Capital Corp.	1,682		24,894

			607,450


IRON & STEEL (0.64%)
AK Steel Holding Corp. (a) (b)	22,459		143,962
Carpenter Technology Corp.	5,020		260,036
Cleveland-Cliffs Inc.	4,493		259,516
Gibraltar Industries Inc.	4,960		91,958
Oregon Steel Mills Inc. (b)	7,283		125,340
Reliance Steel & Aluminum Co.	5,907		218,972
Roanoke Electric Steel Corp.	2,349		38,805
Ryerson Tull Inc. (a)	5,090		72,634
Schnitzer Steel Industries Inc. Class A	4,484		106,271
Steel Dynamics Inc.	8,300		217,875
Steel Technologies Inc. (a)	2,288		38,667
Wheeling-Pittsburgh Corp. (b)	1,927		29,637

			1,603,673


LEISURE TIME (0.48%)
Ambassadors Group Inc.	1,686		62,702
Arctic Cat Inc.	2,552		52,393
Callaway Golf Co. (a)	15,481		238,872
Escalade Inc.	1,591		22,004
K2 Inc. (b)	9,723		123,288
Life Time Fitness Inc. (b)	4,789		157,127
Marine Products Corp.	2,692		39,169
Multimedia Games Inc. (a) (b)	5,636		62,052
Nautilus Inc. (a)	6,802		193,857
Navigant International Inc. (a) (b)	3,114		45,745
Pegasus Solutions Inc. (b)	4,909		54,735
WMS Industries Inc. (a) (b)	4,336		146,340

			1,198,284


Security	Shares	Value

COMMON STOCKS (Cont.)

LODGING (0.42%)
Ameristar Casinos Inc. (a)	5,057	$	131,937
Aztar Corp. (a) (b)	7,136		244,408
La Quinta Corp. (b)	36,763		342,999
Lakes Gaming Inc. (b)	3,201		49,295
Lodgian Inc. (b)	4,929		50,621
Marcus Corp.	4,237		89,909
Monarch Casino & Resort Inc. (b)	1,966		43,331
MTR Gaming Group Inc. (b)	4,861		56,582
Riviera Holdings Corp. (b)	1,773		40,158

			1,049,240


MACHINERY (1.80%)
AGCO Corp. (b)	18,457		352,898
Alamo Group Inc.	1,211		22,609
Albany International Corp. Class A	5,835		187,362
Applied Industrial Technologies Inc.	6,085		196,485
Astec Industries Inc. (b)	3,207		74,370
Briggs & Stratton Corp.	10,455		361,952
Bucyrus International Inc. Class A	4,143		157,351
Cascade Corp.	2,477		107,130
Cognex Corp.	8,456		221,463
Flowserve Corp. (b)	11,355		343,602
Gardner Denver Inc. (b)	5,091		178,592
Gehl Corp. (b)	1,386		53,971
Global Power Equipment Group Inc. (b)	7,258		57,701
Gorman-Rupp Co. (The)	1,784		38,195
JLG Industries Inc.	10,458		287,386
Kadant Inc. (b)	2,958		64,869
Lindsay Manufacturing Co. (a)	2,795		65,906
Manitowoc Co. Inc. (The)	6,092		249,894
Middleby Corp. (The) (a) (b)	1,007		53,230
NACCO Industries Inc.	1,036		111,080
Nordson Corp.	5,619		192,619
Presstek Inc. (a) (b)	5,962		67,490
Robbins & Myers Inc.	3,329		71,607
Sauer-Danfoss Inc.	2,239		39,787
Stewart & Stevenson Services Inc.	6,094		138,090
Tecumseh Products Co. Class A	3,662		100,485
Tennant Co.	1,888		66,854
Thomas Industries Inc.	3,251		129,910
TurboChef Technologies Inc. (b)	2,627		47,076
Unova Inc. (a) (b)	10,244		272,798
Wabtec Corp.	9,386		201,611

			4,514,373


MANUFACTURING (1.61%)
Actuant Corp. Class A (a) (b)	5,428		260,218
Acuity Brands Inc.	8,916		229,052
Ameron International Corp.	2,223		83,140
Applied Films Corp. (b)	3,245		83,072
Barnes Group Inc.	3,472		114,923

The accompanying notes are an integral part of these financial statements.

130

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(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

MANUFACTURING (Cont.)
Blount International Inc. (b)	5,994	$	100,040
Ceradyne Inc. (a) (b)	4,953		119,219
CLARCOR Inc. (a)	10,462		306,014
Crane Co.	10,431		274,335
CUNO Inc. (b)	3,524		251,755
EnPro Industries Inc. (b)	4,340		125,296
ESCO Technologies Inc. (b)	2,605		262,584
Federal Signal Corp.	9,983		155,735
FreightCar America Inc. (b)	1,532		30,380
Griffon Corp. (b)	5,855		129,981
Hexcel Corp. (b)	9,532		161,281
Jacuzzi Brands Inc. (b)	15,590		167,281
Lancaster Colony Corp.	5,319		228,291
Matthews International Corp. Class A	6,568		255,889
Myers Industries Inc.	5,345		66,813
Raven Industries Inc.	3,192		74,757
Smith (A.O.) Corp.	3,629		96,931
Standex International Corp.	2,827		80,315
Sturm Ruger & Co. Inc.	4,384		36,694
Tredegar Corp.	5,799		90,464
Trinity Industries Inc.	8,302		265,913

			4,050,373


MEDIA (1.67%)
Charter Communications Inc. Class A (a) (b)	55,372		65,339
Citadel Broadcasting Corp. (b)	8,869		101,550
Courier Corp.	2,001		76,858
Cox Radio Inc. Class A (b)	7,763		122,267
Crown Media Holdings Inc. (b)	2,762		26,046
Cumulus Media Inc. Class A (b)	11,706		137,897
Emmis Communications Corp. (a) (b)	10,521		185,906
Entercom Communications Corp. (b)	7,349		244,648
Entravision Communications Corp. (b)	15,640		121,836
Fisher Communications Inc. (b)	1,296		61,288
4Kids Entertainment Inc. (a) (b)	3,347		66,538
Gemstar-TV Guide International Inc. (b)	50,609		181,686
Gray Television Inc.	9,347		112,725
Hollinger International Inc.	11,713		117,247
Insight Communications Co. Inc. (b)	10,270		113,484
Journal Communications Inc. Class A	5,582		93,778
Journal Register Co. (a) (b)	8,941		156,557
Liberty Corp.	3,540		130,307
Lin TV Corp. Class A (a) (b)	6,365		88,410
LodgeNet Entertainment Corp. (b)	3,121		51,777
Martha Stewart Living Omnimedia Inc. Class A (a) (b)	4,578		133,586
Media General Inc. Class A	4,342		281,188
Mediacom Communications Corp. (a) (b)	12,628		86,754
Nelson (Thomas) Inc.	2,328		50,657


Security	Shares	Value

COMMON STOCKS (Cont.)

MEDIA (Cont.)
Playboy Enterprises Inc. Class B (b)	4,694	$	60,740
Primedia Inc. (b)	30,321		122,800
Radio One Inc. Class D (b)	17,183		219,427
Readers Digest Association Inc. (The)	20,330		335,445
Regent Communications Inc. (b)	8,005		46,989
Saga Communications Inc. (a) (b)	3,508		49,112
Salem Communications Corp. Class A (b)	2,459		48,787
Scholastic Corp. (a) (b)	6,738		259,750
Sinclair Broadcast Group Inc. Class A	8,904		80,848
Spanish Broadcasting System Inc. Class A (b)	7,892		78,841
Value Line Inc.	162		6,359
World Wrestling Entertainment Inc.	3,869		44,184
WPT Enterprises Inc. (a) (b)	1,111		21,653

			4,183,264


METAL FABRICATE & HARDWARE (0.68%)
Castle (A.M.) & Co. (b)	2,189		33,842
CIRCOR International Inc.	3,721		91,797
Commercial Metals Co.	12,431		296,106
Earle M Jorgensen Co. (b)	3,681		29,632
Kaydon Corp. (a)	6,001		167,128
Lawson Products Inc.	881		34,200
Metals USA Inc. (b)	4,340		82,547
Mueller Industries Inc.	7,528		204,009
NN Inc.	3,390		42,985
NS Group Inc. (b)	4,573		148,668
Quanex Corp.	5,161		273,585
Valmont Industries Inc.	3,475		89,655
Worthington Industries Inc.	14,147		223,523

			1,717,677


METALS-DIVERSIFIED (0.02%)
Dynamic Materials Corp.	562		21,744
Sun Hydraulics Corp.	906		32,969

			54,713


MINING (0.53%)
AMCOL International Corp.	4,544		85,382
Brush Engineered Materials Inc. (b)	4,281		61,047
Century Aluminum Co. (b)	4,685		95,574
Charles & Colvard Ltd.	2,554		62,691
Coeur d’Alene Mines Corp. (a) (b)	48,775		177,053
Compass Minerals International Inc.	4,050		94,770
Hecla Mining Co. (b)	23,991		109,399
Royal Gold Inc. (a)	3,831		77,080
RTI International Metals Inc. (b)	4,679		146,967
Stillwater Mining Co. (b)	8,499		63,063
Titanium Metals Corp. (a) (b)	1,615		91,716
USEC Inc.	17,691		258,996

			1,323,738

The accompanying notes are an integral part of these financial statements.

131

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

OFFICE & BUSINESS EQUIPMENT (0.24%)
CompX International Inc.	818	$	13,702
General Binding Corp. (b)	1,228		26,918
Global Imaging Systems Inc. (a) (b)	4,786		152,482
IKON Office Solutions Inc.	23,254		221,146
Imagistics International Inc. (b)	3,720		104,160
Navarre Corp. (a) (b)	5,201		41,582
TRM Corp. (b)	2,216		37,273

			597,263


OFFICE FURNISHINGS (0.04%)
Interface Inc. Class A (b)	9,305		74,905
Knoll Inc.	2,044		34,973

			109,878


OIL & GAS (2.96%)
ATP Oil & Gas Corp. (b)	3,719		87,025
Atwood Oceanics Inc. (b)	2,679		164,919
Berry Petroleum Co. Class A	3,833		202,689
Bill Barrett Corp. (b)	2,732		80,813
Bois d’Arc Energy LLC (b)	2,642		38,970
Brigham Exploration Co. (b)	5,049		46,097
Cabot Oil & Gas Corp.	10,285		356,890
Callon Petroleum Co. (b)	3,105		45,892
Carrizo Oil & Gas Inc. (b)	3,840		65,510
Cheniere Energy Inc. (b)	10,794		335,693
Cimarex Energy Co. (b)	16,637		647,346
Clayton Williams Energy Inc. (b)	1,110		33,289
Comstock Resources Inc. (b)	8,296		209,806
Crosstex Energy Inc.	1,156		55,835
Delta Petroleum Corp. (b)	6,243		88,151
Encore Acquisition Co. (b)	6,687		274,167
Endeavour International Corp. (b)	11,356		41,222
Energy Partners Ltd. (b)	6,803		178,307
Frontier Oil Corp.	11,240		329,894
FX Energy Inc. (a) (b)	7,096		78,269
Gasco Energy Inc. (b)	12,984		48,041
Giant Industries Inc. (b)	2,676		96,336
Goodrich Petroleum Corp. (b)	2,044		42,066
Grey Wolf Inc. (b)	39,257		290,894
Harvest Natural Resources Inc. (b)	7,632		83,418
Holly Corp.	4,966		231,763
Houston Exploration Co. (b)	5,830		309,282
KCS Energy Inc. (b)	10,220		177,521
MarkWest Hydrocarbon Inc.	1,091		25,311
McMoRan Exploration Co. (a) (b)	4,118		80,342
Meridian Resource Corp. (The) (b)	17,723		84,716
Mission Resources Corp. (b)	8,480		68,434
Parallel Petroleum Corp. (b)	6,397		56,613
Parker Drilling Co. (b)	19,621		137,543
Penn Virginia Corp.	3,974		177,519
Petrohawk Energy Corp. (b)	4,794		51,775


Security	Shares	Value

COMMON STOCKS (Cont.)

OIL & GAS (Cont.)
Petroleum Development Corp. (b)	3,412	$	108,672
PetroQuest Energy Inc. (b)	8,363		54,945
Pioneer Drilling Co. (b)	4,082		62,291
Remington Oil & Gas Corp. (b)	4,732		168,932
Spinnaker Exploration Co. (b)	5,430		192,711
St. Mary Land & Exploration Co. (a)	11,932		345,789
Stone Energy Corp. (b)	4,892		239,219
Swift Energy Co. (a) (b)	5,778		206,968
Tipperary Corp. (b)	3,587		22,419
TODCO Class A (b)	9,675		248,357
Toreador Resources Corp. (b)	2,928		71,121
Tri-Valley Corp. (b)	4,630		64,496
W&T Offshore Inc.	2,519		60,632
Warren Resources Inc. (b)	3,746		39,146
Whiting Petroleum Corp. (b)	6,105		221,673

			7,429,729


OIL & GAS SERVICES (1.52%)
Cal Dive International Inc. (a) (b)	8,050		421,579
CARBO Ceramics Inc.	2,623		207,112
Dril-Quip Inc. (b)	1,694		49,143
Global Industries Ltd. (b)	17,059		145,002
Gulf Island Fabrication Inc.	1,913		38,030
Hanover Compressor Co. (b)	15,879		182,767
Hornbeck Offshore Services Inc. (b)	2,962		80,241
Hydril Co. LP (b)	3,896		211,748
Input/Output Inc. (a) (b)	14,032		88,121
Lone Star Technologies Inc. (b)	6,125		278,688
Lufkin Industries Inc.	2,882		103,694
Maverick Tube Corp. (b)	8,811		262,568
Newpark Resources Inc. (b)	17,257		129,428
Oceaneering International Inc. (b)	5,278		203,995
Oil States International Inc. (b)	8,370		210,673
RPC Inc.	3,289		55,650
Seacor Holdings Inc. (a) (b)	3,780		243,054
Superior Energy Services Inc. (b)	15,977		284,391
Tetra Technologies Inc. (b)	4,598		146,446
Universal Compression Holdings Inc. (a) (b)	3,705		134,269
Veritas DGC Inc. (b)	6,936		192,405
W-H Energy Services Inc. (b)	5,741		143,123

			3,812,127


PACKAGING & CONTAINERS (0.18%)
Chesapeake Corp.	4,281		89,644
Graphic Packaging Corp. (b)	14,160		51,684
Greif Inc. Class A	3,113		190,204
Silgan Holdings Inc.	2,276		128,002

			459,534

The accompanying notes are an integral part of these financial statements.

132

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

PHARMACEUTICALS (3.64%)
Abgenix Inc. (b)	18,328	$	157,254
ACADIA Pharmaceuticals Inc. (b)	3,334		28,006
Adolor Corp. (b)	8,563		79,208
Alkermes Inc. (b)	18,673		246,857
Alpharma Inc. Class A	8,363		121,013
Amylin Pharmaceuticals Inc. (a) (b)	21,431		448,551
Andrx Corp. (b)	15,010		304,853
Antigenics Inc. (a) (b)	5,738		31,043
Array BioPharma Inc. (b)	6,478		40,811
AtheroGenics Inc. (a) (b)	7,759		123,989
AVANIR Pharmaceuticals Class A (b)	22,336		62,541
Bentley Pharmaceuticals Inc. (a) (b)	3,815		41,774
Bioenvision Inc. (b)	8,333		60,664
BioMarin Pharmaceutical Inc. (b)	13,819		103,504
Bio-Reference Laboratories Inc. (a) (b)	2,046		28,398
BioScrip Inc. (b)	7,533		45,198
Bone Care International Inc. (b)	4,149		136,793
Caraco Pharmaceutical Laboratories Ltd. (b)	2,074		17,795
Cell Therapeutics Inc. (a) (b)	13,106		35,517
Connetics Corp. (a) (b)	7,163		126,355
Conor Medsystems Inc. (b)	1,609		24,698
Corixa Corp. (b)	13,562		59,402
Cubist Pharmaceuticals Inc. (b)	10,915		143,751
CV Therapeutics Inc. (a) (b)	7,611		170,639
Cypress Bioscience Inc. (b)	6,601		87,133
Dendreon Corp. (b)	12,155		63,571
Discovery Laboratories Inc. (b)	10,902		79,476
DOV Pharmaceutical Inc. (b)	4,649		86,750
Durect Corp. (a) (b)	7,448		37,910
DUSA Pharmaceuticals Inc. (b)	3,498		32,531
Eyetech Pharmaceuticals Inc. (b)	6,895		87,153
First Horizon Pharmaceutical Corp. (a) (b)	5,679		108,128
HealthExtras Inc. (a) (b)	4,333		86,963
Hi-Tech Pharmacal Co. (b)	1,072		34,154
Idenix Pharmaceuticals Inc. (b)	2,569		55,696
Impax Laboratories Inc. (a) (b)	10,068		158,068
Inspire Pharmaceuticals Inc. (a) (b)	8,639		72,740
Introgen Therapeutics Inc. (b)	3,769		24,272
Isis Pharmaceuticals Inc. (b)	11,802		46,146
ISTA Pharmaceuticals Inc. (b)	2,725		22,672
K-V Pharmaceutical Co. Class A (a) (b)	7,402		123,984
Ligand Pharmaceuticals Inc. Class B (b)	15,145		105,258
Mannatech Inc. (a)	3,279		62,367
MannKind Corp. (b)	3,315		33,316
Medarex Inc. (b)	22,693		189,033
Medicines Co. (The) (a) (b)	10,178		238,063
Medicis Pharmaceutical Corp. Class A	11,074		351,378
MGI Pharma Inc. (b)	14,771		321,417


Security	Shares	Value

COMMON STOCKS (Cont.)

PHARMACEUTICALS (Cont.)
Nabi Biopharmaceuticals (b)	12,111	$	184,451
Nastech Pharmaceutical Co. Inc. (b)	3,643		51,840
Nature’s Sunshine Products Inc.	2,285		39,850
NBTY Inc. (b)	11,407		295,898
NeighborCare Inc. (b)	7,623		252,855
NeoPharm Inc. (a) (b)	3,902		38,981
Neurocrine Biosciences Inc. (b)	7,529		316,670
New River Pharmaceuticals Inc. (b)	1,258		37,765
NitroMed Inc. (b)	2,259		43,938
Northfield Laboratories Inc. (b)	4,852		69,432
Noven Pharmaceuticals Inc. (a) (b)	4,841		84,621
NPS Pharmaceuticals Inc. (a) (b)	8,170		92,730
Nuvelo Inc. (b)	8,621		66,640
Onyx Pharmaceuticals Inc. (a) (b)	7,249		173,106
Pain Therapeutics Inc. (b)	5,659		38,198
Par Pharmaceutical Companies Inc. (a) (b)	6,951		221,111
Penwest Pharmaceuticals Co. (b)	4,405		52,067
Perrigo Co.	17,138		238,904
Pharmion Corp. (b)	5,049		117,187
POZEN Inc. (b)	5,499		45,092
Prestige Brands Holdings Inc. (b)	5,721		111,560
Priority Healthcare Corp. Class B (a) (b)	7,184		182,186
Progenics Pharmaceuticals Inc. (a) (b)	3,605		75,200
Renovis Inc. (b)	3,970		60,622
Rigel Pharmaceuticals Inc. (b)	4,055		80,776
Salix Pharmaceuticals Ltd. (a) (b)	7,559		133,492
Star Scientific Inc. (a) (b)	7,498		33,516
Tanox Inc. (b)	4,920		57,662
Trimeris Inc. (a) (b)	3,664		36,567
United Therapeutics Inc. (b)	4,640		223,648
USANA Health Sciences Inc. (b)	2,174		91,960
Vicuron Pharmaceuticals Inc. (b)	12,546		350,033
Zymogenetics Inc. (b)	5,532		97,363

			9,142,714


PIPELINES (0.03%)
TransMontaigne Inc. (b)	7,334		77,007

			77,007


REAL ESTATE (0.37%)
Agree Realty Corp.	1,360		41,140
Avatar Holdings Inc. (a) (b)	1,448		72,791
Bluegreen Corp. (b)	4,223		73,522
California Coastal Communities Inc. (b)	1,554		53,411
Consolidated-Tomoka Land Co.	1,442		124,012
Hersha Hospitality Trust	3,925		37,445
Jones Lang LaSalle Inc. (b)	7,018		310,406
Tarragon Corp. (a) (b)	2,117		53,454
Trammell Crow Co. (b)	7,099		172,080

			938,261

The accompanying notes are an integral part of these financial statements.

133

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

REAL ESTATE INVESTMENT TRUSTS (6.33%)
Aames Investment Corp.	8,130	$	79,024
Acadia Realty Trust	5,731		106,883
Affordable Residential Communities Inc. (a)	5,715		76,295
Alexander’s Inc. (b)	440		109,450
Alexandria Real Estate Equities Inc.	4,091		300,484
American Campus Communities Inc.	3,594		81,512
American Home Mortgage Investment Corp. (a)	7,209		252,027
AMLI Residential Properties Trust	6,200		193,812
Anthracite Capital Inc.	10,355		122,707
Anworth Mortgage Asset Corp.	9,057		89,121
Arbor Realty Trust Inc.	2,356		67,617
Ashford Hospitality Trust Inc.	6,602		71,302
Bedford Property Investors Inc.	3,738		86,049
Bimini Mortgage Management Inc. Class A	4,414		62,237
BioMed Realty Trust Inc.	8,067		192,398
Boykin Lodging Co. (b)	3,240		43,416
Brandywine Realty Trust (a)	10,922		334,759
Capital Automotive REIT	7,828		298,795
Capital Lease Funding Inc.	4,756		51,603
Cedar Shopping Centers Inc. (a)	4,575		67,481
Colonial Properties Trust	7,734		340,296
Commercial Net Lease Realty Inc.	10,101		206,767
Corporate Office Properties Trust	7,424		218,637
Correctional Properties Trust	2,836		80,259
Cousins Properties Inc. (a)	7,738		228,890
CRIIMI MAE Inc. (b)	2,940		64,239
CRT Properties Inc. (a)	6,721		183,483
DiamondRock Hospitality Co.	4,655		52,602
EastGroup Properties Inc.	5,028		211,729
ECC Capital Corp.	11,452		76,270
Education Realty Trust Inc.	4,829		88,371
Entertainment Properties Trust	5,270		242,420
Equity Inns Inc.	10,397		138,280
Equity Lifestyle Properties Inc. (a)	4,076		162,062
Equity One Inc.	7,146		162,214
Extra Space Storage Inc.	5,856		83,916
FelCor Lodging Trust Inc. (b)	10,496		151,982
Fieldstone Investment Corp.	9,692		139,565
First Industrial Realty Trust Inc.	8,436		336,596
First Potomac Realty Trust	3,102		76,930
Gables Residential Trust	5,927		256,224
Getty Realty Corp.	3,794		105,094
Glenborough Realty Trust Inc.	6,882		141,700
Glimcher Realty Trust (a)	7,318		203,075
GMH Communities Trust	5,683		78,710
Government Properties Trust Inc.	5,621		54,636
Gramercy Capital Corp.	2,835		69,344
Heritage Property Investment Trust Inc.	6,003		210,225


Security	Shares	Value

COMMON STOCKS (Cont.)

REAL ESTATE INVESTMENT TRUSTS (Cont.)
Highland Hospitality Corp.	7,684	$	80,298
Highwoods Properties Inc.	11,111		330,663
Home Properties Inc.	6,783		291,805
HomeBanc Corp.	10,562		96,009
Impac Mortgage Holdings Inc. (a)	15,268		284,748
Inland Real Estate Corp.	13,817		222,177
Innkeepers USA Trust	8,115		121,238
Investors Real Estate Trust	8,304		80,217
Kilroy Realty Corp. (a)	5,975		283,753
Kite Realty Group Trust	5,494		82,410
LaSalle Hotel Properties	6,442		211,362
Lexington Corporate Properties Trust	9,882		240,231
LTC Properties Inc.	4,087		84,601
Luminent Mortgage Capital Inc.	7,264		78,379
Maguire Properties Inc.	7,686		217,821
Meristar Hospitality Corp. (b)	17,536		150,810
MFA Mortgage Investments Inc.	16,169		120,459
Mid-America Apartment Communities Inc.	4,349		197,532
MortgageIT Holdings Inc.	3,138		57,269
National Health Investors Inc.	4,801		134,764
Nationwide Health Properties Inc.	13,210		311,888
Newcastle Investment Corp.	8,683		261,792
NorthStar Realty Finance Corp.	3,411		35,781
Novastar Financial Inc. (a)	5,314		208,043
Omega Healthcare Investors Inc.	10,057		129,333
Parkway Properties Inc. (a)	3,098		154,931
Pennsylvania Real Estate Investment Trust	7,199		341,953
Post Properties Inc. (a)	8,630		311,629
Prentiss Properties Trust	8,834		321,911
PS Business Parks Inc.	3,602		160,109
RAIT Investment Trust	5,525		165,474
Ramco-Gershenson Properties Trust (a)	4,218		123,503
Redwood Trust Inc.	3,834		197,834
Saul Centers Inc.	2,948		107,160
Saxon Capital Inc.	10,853		185,261
Senior Housing Properties Trust	11,746		222,117
Sizeler Property Investors Inc.	3,189		42,095
Sovran Self Storage Inc.	3,973		180,613
Spirit Finance Corp.	13,044		153,267
Strategic Hotel Capital Inc.	5,746		103,428
Sun Communities Inc.	4,161		154,748
Sunstone Hotel Investors Inc.	5,554		134,740
Tanger Factory Outlet Centers Inc.	6,224		167,612
Taubman Centers Inc.	9,984		340,355
Town & Country Trust (The) (a)	4,799		136,819
Trustreet Properties Inc. (a)	11,317		187,975
Universal Health Realty Income Trust	3,155		120,237
Urstadt Biddle Properties Inc. Class A	4,604		79,741

The accompanying notes are an integral part of these financial statements.

134

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

REAL ESTATE INVESTMENT TRUSTS (Cont.)
U-Store-It Trust	5,706	$	108,699
Washington Real Estate Investment Trust (a)	8,748		272,938
Winston Hotels Inc.	5,007		56,379

			15,896,399


RETAIL (6.54%)
AC Moore Arts & Crafts Inc. (a) (b)	2,955		93,408
Aeropostale Inc. (b)	11,380		382,368
AFC Enterprises Inc.	3,941		51,942
America’s Car-Mart Inc. (a) (b)	1,784		40,158
Asbury Automotive Group Inc. (b)	2,665		41,068
Big 5 Sporting Goods Corp.	4,219		119,735
Big Lots Inc. (b)	23,245		307,764
BJ’s Restaurants Inc. (b)	2,939		59,779
Blair Corp.	2,041		80,620
Blockbuster Inc.	38,709		353,026
Bob Evans Farms Inc. (a)	7,845		182,945
Bombay Co. Inc. (The) (a) (b)	7,463		42,539
Brookstone Inc. (b)	4,218		79,636
Brown Shoe Co. Inc.	4,047		158,440
Buckle Inc. (The)	1,694		75,112
Buffalo Wild Wings Inc. (b)	1,398		43,618
Build-A-Bear Workshop Inc. (a) (b)	2,029		47,580
Burlington Coat Factory Warehouse Corp.	4,287		182,798
Cabela’s Inc. Class A (b)	6,220		132,859
Cache Inc. (b)	2,557		42,497
California Pizza Kitchen Inc. (a) (b)	3,919		106,871
Casey’s General Store Inc.	10,366		205,454
Cash America International Inc.	6,137		123,476
Casual Male Retail Group Inc. (a) (b)	5,643		41,250
Cato Corp. Class A	6,245		128,949
CEC Entertainment Inc. (b)	7,606		320,137
Charlotte Russe Holding Inc. (a) (b)	3,067		38,215
Charming Shoppes Inc. (b)	24,681		230,274
Children’s Place Retail Stores Inc. (The) (a) (b)	4,321		201,661
Christopher & Banks Corp. (a)	7,542		137,717
CKE Restaurants Inc. (a)	11,972		166,650
Coldwater Creek Inc. (b)	7,331		182,615
Conn’s Inc. (b)	986		24,127
Cost Plus Inc. (b)	4,966		123,852
CSK Auto Corp. (b)	9,627		160,578
Dave & Buster’s Inc. (b)	2,814		51,890
Deb Shops Inc.	893		25,870
Denny’s Corp. (b)	18,544		92,720
Design Within Reach Inc. (b)	2,393		43,313
Domino’s Pizza Inc.	6,466		143,933
Dress Barn Inc. (b)	4,363		98,735
Electronics Boutique Holdings Corp. (b)	2,491		158,154


Security	Shares	Value

COMMON STOCKS (Cont.)

RETAIL (Cont.)
Finish Line Inc. (The)	8,643	$	163,526
Fred’s Inc. (a)	8,240		136,619
GameStop Corp. Class B (b)	9,309		278,339
Genesco Inc. (a) (b)	4,606		170,837
Goody’s Family Clothing Inc.	3,862		28,482
Group 1 Automotive Inc. (b)	4,393		105,608
Guitar Center Inc. (b)	5,295		309,069
Haverty Furniture Companies Inc.	3,853		56,947
Hibbet Sporting Goods Inc. (b)	4,875		184,470
Hot Topic Inc. (a) (b)	9,392		179,575
IHOP Corp.	4,372		189,701
Insight Enterprises Inc. (b)	9,883		199,439
Jack in the Box Inc. (b)	7,437		282,011
Jill (J.) Group Inc. (The) (b)	4,116		56,595
Jo-Ann Stores Inc. (b)	4,689		123,743
Joseph A. Bank Clothiers Inc. (a) (b)	2,750		119,075
Kenneth Cole Productions Inc. Class A	2,291		71,296
Krispy Kreme Doughnuts Inc. (a) (b)	11,206		77,994
Landry’s Restaurants Inc.	4,195		126,228
Linens ’n Things Inc. (b)	9,200		217,672
Lithia Motors Inc. Class A	3,293		95,003
Lone Star Steakhouse & Saloon Inc.	3,582		108,929
Longs Drug Stores Corp. (a)	6,265		269,708
Luby’s Inc. (b)	4,606		55,042
MarineMax Inc. (b)	2,732		85,375
McCormick & Schmick’s Seafood Restaurants Inc. (b)	1,526		24,096
Movado Group Inc.	3,664		69,176
Movie Gallery Inc.	5,104		134,899
New York & Co. Inc. (b)	2,656		55,935
99 Cents Only Stores (b)	10,278		130,633
Nu Skin Enterprises Inc. Class A (a)	11,426		266,226
O’Charley’s Inc. (b)	4,509		79,629
P.F. Chang’s China Bistro Inc. (a) (b)	5,327		314,186
Pacific Sunwear of California Inc. (b)	15,506		356,483
Pantry Inc. (The) (b)	3,527		136,601
Papa John’s International Inc. (a) (b)	2,312		92,411
Party City Corp. (b)	2,346		28,152
Payless ShoeSource Inc. (b)	13,778		264,538
Pep Boys-Manny, Moe & Jack Inc. (a)	11,627		157,430
PETCO Animal Supplies Inc. (b)	11,813		346,357
Pier 1 Imports Inc.	17,504		248,382
Rare Hospitality International Inc. (b)	7,031		214,235
Red Robin Gourmet Burgers Inc. (a) (b)	2,905		180,052
Regis Corp.	9,179		358,715
Restoration Hardware Inc. (b)	5,448		44,565
Retail Ventures Inc. (a) (b)	3,421		46,662
Ruby Tuesday Inc.	13,160		340,844
Rush Enterprises Inc. Class A (b)	4,212		56,188
Ryan’s Restaurant Group Inc. (b)	8,540		119,645
School Specialty Inc. (b)	4,624		215,016

The accompanying notes are an integral part of these financial statements.

135

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

RETAIL (Cont.)
Select Comfort Corp. (a) (b)	7,680	$	164,582
Sharper Image Corp. (a) (b)	2,447		31,150
Shoe Carnival Inc. (b)	1,517		33,010
ShopKo Stores Inc. (b)	6,083		147,878
Smart & Final Inc. (b)	2,799		34,288
Sonic Automotive Inc.	5,927		126,008
Sports Authority Inc. (The) (b)	5,269		167,554
Stage Stores Inc. (b)	3,959		172,612
Steak n Shake Co. (The) (b)	5,636		104,942
Stein Mart Inc.	5,303		116,666
Talbots Inc. (The)	4,634		150,466
TBC Corp. (b)	4,590		124,527
Texas Roadhouse Inc. Class A (a) (b)	4,259		148,000
Too Inc. (b)	7,028		164,244
Tractor Supply Co. (a) (b)	6,736		330,738
Trans World Entertainment Corp. (b)	3,980		47,083
Triarc Companies Inc. Class B (a)	7,635		113,456
Tuesday Morning Corp. (a)	5,315		167,529
United Auto Group Inc.	5,404		161,039
West Marine Inc. (a) (b)	2,895		52,284
Wet Seal Inc. Class A (b)	8,605		58,385
Wilsons The Leather Experts Inc. (b)	3,936		26,135
World Fuel Services Corp.	5,828		136,433
Zale Corp. (b)	10,867		344,375
Zumiez Inc. (b)	633		18,452

			16,438,508


SAVINGS & LOANS (1.82%)
Anchor BanCorp Wisconsin Inc.	4,216		127,576
Bank Mutual Corp.	15,132		167,360
BankAtlantic Bancorp Inc. Class A	8,607		163,103
BankUnited Financial Corp. Class A	5,765		155,886
Berkshire Hills Bancorp Inc.	1,636		54,512
Beverly Hills Bancorp Inc.	2,621		28,700
BFC Financial Corp. Class A (b)	3,591		30,631
Brookline Bancorp Inc. (a)	11,981		194,811
Charter Financial Corp. (a)	504		17,610
Commercial Capital Bancorp Inc.	8,804		147,115
Commercial Federal Corp.	9,094		306,286
Dime Community Bancshares	5,969		90,729
Fidelity Bankshares Inc.	4,147		109,978
First Defiance Financial Corp.	1,157		30,880
First Financial Holdings Inc. (a)	2,589		77,437
First Niagara Financial Group Inc.	24,141		351,976
First Place Financial Corp.	2,615		52,535
FirstFed Financial Corp. (b)	3,782		225,445
Flagstar Bancorp Inc. (a)	6,494		122,931
Flushing Financial Corp.	3,367		61,953
Franklin Bank Corp. (Texas) (b)	3,685		69,131
Harbor Florida Bancshares Inc. (a)	4,468		167,282
Horizon Financial Corp.	1,734		38,495


Security	Shares	Value

COMMON STOCKS (Cont.)

SAVINGS & LOANS (Cont.)
ITLA Capital Corp. (b)	1,110	$	59,829
Kearny Financial Corp. (b)	3,806		44,911
MAF Bancorp Inc.	6,260		266,864
NASB Financial Inc.	1,546		67,792
Northwest Bancorp Inc.	3,412		72,539
OceanFirst Financial Corp.	2,205		49,635
Ocwen Financial Corp. (a) (b)	7,912		53,485
Partners Trust Financial Group Inc.	9,712		103,724
PennFed Financial Services Inc.	2,346		39,600
PFF Bancorp Inc.	4,749		143,847
Provident Financial Services Inc. (a)	15,569		273,547
Provident New York Bancorp	8,070		97,728
Rockville Financial Inc. (b)	457		5,585
Sound Federal Bancorp Inc.	1,771		28,619
Sterling Financial Corp. (Washington) (b)	4,790		179,146
TierOne Corp.	4,419		119,887
United Community Financial Corp.	5,193		56,811
Westfield Financial Inc.	2,003		48,553
WSFS Financial Corp.	1,335		73,038

			4,577,502


SEMICONDUCTORS (3.75%)
Actel Corp. (b)	5,237		72,794
AMIS Holdings Inc. (b)	8,950		119,393
Amkor Technology Inc. (b)	20,364		91,638
Applied Micro Circuits Corp. (b)	62,850		160,896
Asyst Technologies Inc. (b)	9,475		42,259
Atmel Corp. (b)	86,321		204,581
ATMI Inc. (b)	7,594		220,302
August Technology Corp. (b)	4,290		49,979
Axcelis Technologies Inc. (b)	20,486		140,534
Brooks Automation Inc. (b)	9,555		141,892
Cirrus Logic Inc. (b)	17,397		92,378
Cohu Inc.	4,398		88,180
Conexant Systems Inc. (b)	96,060		154,657
Credence Systems Corp. (a) (b)	18,741		169,606
Cypress Semiconductor Corp. (b)	27,001		339,943
Diodes Inc. (b)	1,983		61,870
DSP Group Inc. (b)	6,224		148,567
EMCORE Corp. (b)	7,481		30,897
Emulex Corp. (b)	17,026		310,895
Entegris Inc. (b)	12,285		121,622
Exar Corp. (b)	8,467		126,074
Fairchild Semiconductor International Inc. Class A (b)	24,469		360,918
FormFactor Inc. (b)	6,933		183,170
Genesis Microchip Inc. (b)	6,817		125,842
Helix Technology Corp. (a)	6,121		81,287
Integrated Circuit Systems Inc. (b)	14,346		296,101
Integrated Device Technology Inc. (b)	21,429		230,362

The accompanying notes are an integral part of these financial statements.

136

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

SEMICONDUCTORS (Cont.)
Integrated Silicon Solution Inc. (a) (b)	7,457	$	55,256
IXYS Corp. (b)	5,114		72,517
Kopin Corp. (b)	14,401		73,445
Kulicke & Soffa Industries Inc. (a) (b)	10,528		83,276
Lattice Semiconductor Corp. (b)	23,993		106,529
Leadis Technology Inc. (b)	3,727		30,002
LTX Corp. (b)	13,169		65,318
Mattson Technology Inc. (b)	8,752		62,664
Micrel Inc. (b)	13,895		160,070
Microsemi Corp. (b)	12,653		237,876
Microtune Inc. (b)	10,677		53,545
MKS Instruments Inc. (b)	7,278		122,925
Monolithic Power Systems Inc. (b)	3,525		31,302
Mykrolis Corp. (b)	9,143		129,922
NetLogic Microsystems Inc. (b)	2,106		37,339
OmniVision Technologies Inc. (a) (b)	11,680		158,731
ON Semiconductor Corp. (b)	29,337		134,950
Pericom Semiconductor Corp. (b)	5,309		43,215
Photronics Inc. (b)	6,846		159,786
Pixelworks Inc. (b)	9,553		81,965
PMC-Sierra Inc. (b)	36,979		345,014
PortalPlayer Inc. (a) (b)	3,100		64,542
Power Integrations Inc. (a) (b)	6,124		132,095
Rambus Inc. (b)	20,446		273,567
Rudolph Technologies Inc. (b)	2,918		41,815
Semitool Inc. (b)	3,345		31,911
Semtech Corp. (b)	15,075		250,999
SigmaTel Inc. (b)	7,327		125,731
Silicon Image Inc. (b)	16,273		166,961
Silicon Laboratories Inc. (b)	8,760		229,600
SiRF Technology Holdings Inc. (b)	7,188		127,084
Skyworks Solutions Inc. (b)	32,367		238,545
Standard Microsystems Corp. (b)	4,251		99,388
Supertex Inc. (b)	2,039		36,009
Tessera Technologies Inc. (b)	9,042		302,093
TranSwitch Corp. (b)	21,206		43,472
TriQuint Semiconductor Inc. (b)	28,309		94,269
Ultratech Inc. (a) (b)	4,930		90,219
Varian Semiconductor Equipment Associates Inc. (b)	7,519		278,203
Veeco Instruments Inc. (b)	5,572		90,712
Virage Logic Corp. (b)	2,798		28,819
Vitesse Semiconductor Corp. (b)	44,598		93,210
Volterra Semiconductor Corp. (b)	3,121		46,472
Zoran Corp. (b)	8,848		117,590

			9,415,590


SOFTWARE (2.96%)
Acxiom Corp.	17,963		375,067
Advent Software Inc. (b)	6,305		127,739
Allscripts Healthcare Solutions Inc. (a) (b)	6,850		113,779


Security	Shares	Value

COMMON STOCKS (Cont.)

SOFTWARE (Cont.)
Altiris Inc. (a) (b)	4,447	$	65,282
American Reprographics Co. (b)	2,621		42,172
AMICAS Inc. (b)	8,793		39,832
ANSYS Inc. (b)	6,419		227,939
Aspen Technology Inc. (b)	8,420		43,784
Atari Inc. (b)	9,647		26,819
Blackbaud Inc.	1,955		26,393
Blackboard Inc. (b)	3,707		88,671
Borland Software Corp. (b)	16,101		110,453
CCC Information Services Group Inc. (b)	2,637		63,156
Computer Programs & Systems Inc.	1,484		55,309
Concur Technologies Inc. (b)	5,797		61,042
CSG Systems International Inc. (b)	10,717		203,409
Dendrite International Inc. (b)	8,634		119,149
Digi International Inc. (b)	4,548		53,939
Eclipsys Corp. (b)	7,693		108,241
eFunds Corp. (b)	9,897		178,047
Emageon Inc. (b)	2,837		39,746
Epicor Software Corp. (b)	10,814		142,745
EPIQ Systems Inc. (a) (b)	2,560		41,882
FalconStor Software Inc. (a) (b)	6,416		41,896
FileNET Corp. (b)	8,659		217,687
IDX Systems Corp. (b)	5,014		151,122
Infocrossing Inc. (a) (b)	4,111		51,264
Informatica Corp. (b)	17,629		147,907
infoUSA Inc.	6,625		77,513
InPhonic Inc. (a) (b)	3,174		48,816
Inter-Tel Inc.	4,342		80,805
InterVideo Inc. (b)	2,033		29,235
iVillage Inc. (a) (b)	9,689		57,940
JDA Software Group Inc. (b)	5,832		66,368
Jupitermedia Corp. (a) (b)	4,155		71,175
Keane Inc. (b)	10,500		143,850
Lawson Software Inc. (a) (b)	12,284		63,263
Majesco Holdings Inc. (a) (b)	3,196		20,902
ManTech International Corp. Class A (b)	3,737		115,996
MapInfo Corp. (b)	4,141		43,522
Micromuse Inc. (b)	16,366		92,632
MicroStrategy Inc. Class A (a) (b)	3,325		176,358
Midway Games Inc. (a) (b)	9,223		101,084
MRO Software Inc. (b)	4,098		59,872
NDCHealth Corp. (a)	7,957		142,987
NetIQ Corp. (b)	11,896		135,020
Niku Corp. (b)	1,873		38,827
Open Solutions Inc. (a) (b)	3,901		79,229
Packeteer Inc. (b)	7,394		104,255
Parametric Technology Corp. (b)	55,485		353,994
PDF Solutions Inc. (b)	3,699		48,531
Per-Se Technologies Inc. (a) (b)	5,223		109,787

The accompanying notes are an integral part of these financial statements.

137

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

SOFTWARE (Cont.)
Pinnacle Systems Inc. (b)	14,335	$	78,843
Progress Software Corp. (b)	7,535		227,180
QAD Inc.	2,454		18,896
Quality Systems Inc.	1,506		71,354
Quest Software Inc. (b)	12,998		177,163
Renaissance Learning Inc.	1,792		36,378
ScanSoft Inc. (a) (b)	17,040		64,411
Schawk Inc.	2,582		64,550
SeaChange International Inc. (b)	4,999		35,093
SERENA Software Inc. (b)	5,637		108,794
SPSS Inc. (b)	3,529		67,792
SS&C Technologies Inc.	3,222		102,073
SSA Global Technologies Inc. (b)	1,665		19,980
SYNNEX Corp. (b)	1,805		31,606
THQ Inc. (a) (b)	7,953		232,784
TradeStation Group Inc. (a) (b)	4,602		39,485
Transaction Systems Architects Inc. Class A (b)	8,216		202,360
Trident Microsystems Inc. (a) (b)	5,165		117,194
Ulticom Inc. (b)	2,478		26,292
VeriFone Holdings Inc. (b)	5,000		81,250
Verint Systems Inc. (b)	2,607		83,841
Wind River Systems Inc. (b)	14,654		229,775
Witness Systems Inc. (b)	5,484		99,973

			7,443,499


STORAGE & WAREHOUSING (0.04%)
Mobile Mini Inc. (a) (b)	2,994		103,233

			103,233


TELECOMMUNICATION EQUIPMENT (0.08%)
Endwave Corp. (a) (b)	1,377		65,545
Glenayre Technologies Inc. (b)	13,615		51,329
Novatel Wireless Inc. (a) (b)	5,894		73,498

			190,372


TELECOMMUNICATIONS (3.73%)
Adaptec Inc. (b)	22,524		87,393
ADTRAN Inc.	13,415		332,558
Aeroflex Inc. (b)	15,209		127,756
Airspan Networks Inc. (b)	3,376		18,737
Alaska Communications Systems Group Inc.	2,479		24,567
Anaren Inc. (b)	3,946		51,890
Anixter International Inc. (b)	6,398		237,814
Applied Signal Technology Inc.	2,249		42,821
Arris Group Inc. (b)	17,944		156,292
Aspect Communications Corp. (b)	8,714		97,858
Atheros Communications Inc. (b)	7,023		56,605
Audiovox Corp. Class A (b)	3,404		52,762
Black Box Corp.	3,670		129,918


Security	Shares	Value

COMMON STOCKS (Cont.)

TELECOMMUNICATIONS (Cont.)
Broadwing Corp. (a) (b)	12,986	$	59,995
C-COR Inc. (a) (b)	9,769		66,918
Centennial Communications Corp. (b)	4,528		62,849
CIENA Corp. (b)	117,148		244,839
Cincinnati Bell Inc. (b)	50,285		216,226
Commonwealth Telephone Enterprises Inc.	4,562		191,193
CommScope Inc. (b)	11,065		192,642
Comtech Telecommunications Corp. (a) (b)	4,632		151,142
CT Communications Inc.	3,875		50,569
Ditech Communications Corp. (b)	6,377		41,387
Dobson Communications Corp. Class A (a) (b)	23,092		98,372
Essex Corp. (b)	3,532		80,812
Extreme Networks Inc. (b)	24,764		101,532
FairPoint Communications Inc.	5,457		88,131
Finisar Corp. (a) (b)	37,775		39,664
Foundry Networks Inc. (b)	24,998		215,733
General Communication Inc. Class A (b)	11,382		112,340
GlobeTel Communications Corp. (b)	13,028		36,348
Golden Telecom Inc. (a)	4,453		136,618
Harmonic Inc. (a) (b)	14,854		71,745
Hypercom Corp. (b)	10,941		70,788
IDT Corp. Class B (b)	11,693		153,880
InterDigital Communications Corp. (b)	11,730		205,275
Intrado Inc. (b)	3,829		57,282
Iowa Telecommunications Services Inc.	4,516		84,675
Ixia (b)	6,720		130,637
JAMDAT Mobile Inc. (a) (b)	2,390		66,155
Level 3 Communications Inc. (a) (b)	142,528		289,332
MasTec Inc. (b)	5,781		50,873
MRV Communications Inc. (a) (b)	21,088		45,761
NETGEAR Inc. (b)	6,466		120,268
Newport Corp. (b)	8,918		123,603
North Pittsburgh Systems Inc.	3,085		60,343
Oplink Communications Inc. (b)	21,080		36,047
Plantronics Inc.	10,005		363,782
Polycom Inc. (b)	20,043		298,841
Powerwave Technologies Inc. (a) (b)	20,736		211,922
Premiere Global Services Inc. (b)	14,540		164,157
Price Communications Corp. (b)	9,281		160,561
RCN Corp. (b)	4,567		105,452
RF Micro Devices Inc. (b)	38,420		208,621
SafeNet Inc. (a) (b)	5,057		172,241
SBA Communications Corp. (b)	15,132		204,282
Shenandoah Telecommunications Co.	1,383		54,974
Sonus Networks Inc. (b)	51,006		243,809
SpectraLink Corp.	4,202		44,205

The accompanying notes are an integral part of these financial statements.

138

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

TELECOMMUNICATIONS (Cont.)
SureWest Communications (a)	3,180	$	81,567
Sycamore Networks Inc. (b)	35,274		121,695
Symmetricom Inc. (b)	9,346		96,918
Syniverse Holdings Inc. (b)	3,546		49,644
TALK America Holdings Inc. (b)	5,605		56,106
Tekelec (a) (b)	11,507		193,318
Telkonet Inc. (b)	7,151		35,254
Terayon Communication Systems Inc. (b)	15,454		47,753
3Com Corp. (b)	78,171		284,542
Time Warner Telecom Inc. Class A (a) (b)	11,316		66,991
UbiquiTel Inc. (b)	15,608		127,361
US Unwired Inc. (b)	26,705		155,423
USA Mobility Inc. (b)	5,550		162,948
UTStarcom Inc. (a) (b)	20,391		152,729
Valor Communications Group Inc.	5,908		81,530
Viasat Inc. (b)	4,357		88,578
Westell Technologies Inc. Class A (b)	10,964		65,565
Wireless Facilities Inc. (a) (b)	11,496		72,770
Zhone Technologies Inc. (a) (b)	11,588		38,820

			9,383,304


TEXTILES (0.13%)
Angelica Corp.	2,048		50,196
Dixie Group Inc. (b)	2,137		37,633
G&K Services Inc. Class A	3,903		147,260
Innovo Group Inc. (b)	5,375		11,503
UniFirst Corp.	2,175		88,175

			334,767


TOYS, GAMES & HOBBIES (0.15%)
Jakks Pacific Inc. (a) (b)	5,227		100,411
LeapFrog Enterprises Inc. (a) (b)	6,580		74,354
RC2 Corp. (b)	3,700		139,009
Topps Co. (The)	7,276		72,978

			386,752


TRANSPORTATION (1.37%)
ABX Air Inc. (b)	12,011		97,890
Arkansas Best Corp.	4,490		142,827
Covenant Transport Inc. Class A (b)	1,737		22,928
Dynamex Inc. (b)	2,404		40,964
EGL Inc. (b)	8,715		177,089
Florida East Coast Industries Inc. (a)	6,511		281,926
Forward Air Corp.	6,673		188,646
Frozen Food Express Industries Inc. (b)	3,207		36,303
Genesee & Wyoming Inc. Class A (b)	4,683		127,424
GulfMark Offshore Inc. (b)	3,080		84,115
Heartland Express Inc.	9,381		182,273
Hub Group Inc. Class A (b)	4,028		100,901


Security	Shares	Value

COMMON STOCKS (Cont.)

TRANSPORTATION (Cont.)
Kansas City Southern Industries Inc. (a) (b)	16,615	$	335,291
Kirby Corp. (b)	4,456		200,966
Knight Transportation Inc. (a)	7,864		191,331
Maritrans Inc.	1,792		48,474
Marten Transport Ltd. (b)	2,106		44,205
Offshore Logistics Inc. (b)	4,791		157,336
Old Dominion Freight Line Inc. (b)	3,892		104,422
Overnite Corp.	5,946		255,559
Pacer International Inc. (b)	7,706		167,914
RailAmerica Inc. (b)	7,536		89,678
SCS Transportation Inc. (b)	3,235		57,583
Seabulk International Inc. (b)	918		19,508
SIRVA Inc. (b)	4,596		39,112
U.S. Xpress Enterprises Inc. Class A (b)	2,112		25,154
USA Truck Inc. (b)	1,106		27,374
Werner Enterprises Inc.	10,474		205,709

			3,452,902


TRUCKING & LEASING (0.21%)
AMERCO	2,088		111,812
GATX Corp.	10,098		348,381
Greenbrier Companies Inc. (The)	1,407		38,130
Interpool Inc.	1,554		33,225

			531,548


WATER (0.20%)
American States Water Co.	3,878		113,897
California Water Service Group (a)	3,904		146,556
Connecticut Water Service Inc.	1,469		36,710
Middlesex Water Co.	2,068		40,161
PICO Holdings Inc. (b)	1,577		46,932
SJW Corp.	1,674		78,695
Southwest Water Co. (a)	3,800		44,954

			507,905


TOTAL COMMON STOCKS
(Cost: $209,428,634)			238,778,985


EXCHANGE-TRADED FUNDS (2.72%)
iShares Russell 2000 Index Fund (a) (c)	107,020		6,817,174


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $3,800,461)			6,817,174

The accompanying notes are an integral part of these financial statements.

139

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (21.70%)

COMMERCIAL PAPER (d) (5.28%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	69,995	$	69,752
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (e)		470,287		469,337
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (e)		1,073,256		1,071,236
ANZ National Bank Ltd.
2.94%, 08/15/05 (e)		116,658		116,230
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		443,873		443,125
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		233,317		233,115
Bryant Park Funding LLC
3.10%, 07/06/05 (e)		90,093		90,054
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (e)		84,008		83,920
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (e)		233,317		232,902
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (e)		292,140		291,684
Charta LLC
3.31%, 08/11/05 (e)		349,975		348,656
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (e)		219,318		219,135
Dexia Delaware LLC
3.04%, 07/01/05		309,378		309,378
Edison Asset Securitization LLC
3.12%, 09/06/05 (e)		174,987		173,971
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (e)		386,015		384,402
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (e)		618,865		617,797
Ford Credit Floorplan Motown
3.33%, 08/08/05 (e)		46,663		46,500
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		252,701		252,280
General Electric Capital Corp.
2.74%, 07/07/05		116,658		116,605
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		221,651		221,351


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (d) (Cont.)
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (e)	$	776,944	$	773,661
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (e)		705,752		704,710
Liberty Street Funding Corp.
3.05%, 07/01/05 (e)		116,658		116,659
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (e)		341,431		341,127
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		445,635		445,095
Nordea North America Inc.
2.74%, 07/11/05		116,658		116,570
Park Avenue Receivables Corp.
3.25%, 07/22/05 (e)		464,300		463,420
Park Granada LLC
3.08% - 3.09%, 07/01/05 (e)		116,752		116,752
Polonius Inc.
3.15%, 07/11/05 (e)		163,322		163,179
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (e)		758,907		758,410
Santander Central Hispano
2.75%, 07/08/05		291,646		291,490
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (e)		417,378		416,563
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (e)		848,573		846,288
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (e)		759,677		758,880
Three Pillars Funding Corp.
3.30%, 07/28/05		33,927		33,843
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (e)		454,967		454,967
UBS Finance Delaware LLC
3.03%, 07/01/05		349,975		349,975
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		202,985		202,534
Yorktown Capital LLC
3.15%, 07/13/05		135,606		135,464

				13,281,017

The accompanying notes are an integral part of these financial statements.

140

RUSSELL 2000 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (d) (8.93%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (e)	$	433,969	$	433,971
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		571,626		571,630
American Express Centurion Bank
3.29%, 06/29/06		93,327		93,327
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		664,952		665,032
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (e)		151,656		151,656
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		151,656		151,635
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (e)		1,199,247		1,199,236
BMW US Capital LLC
3.19%, 07/14/06 (e)		233,317		233,317
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		793,276		793,202
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (e)		872,604		872,550
Commodore CDO Ltd.
3.47%, 12/12/05 (e)		58,329		58,329
Credit Suisse First Boston
3.15%, 05/09/06		233,317		233,317
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		699,950		699,911
DEPFA Bank PLC
3.42%, 03/15/06		233,317		233,317
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (e)		564,626		564,646
Fairway Finance LLC
3.21%, 10/20/05		93,327		93,325
Fifth Third Bancorp
3.26%, 04/21/06 (e)		466,633		466,633
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (e)		163,322		163,327
General Electric Capital Corp.
3.28%, 07/07/06		104,992		105,106
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		33,516		33,516


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (d) (Cont.)
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06	$	268,314	$	268,315
Hartford Life Global Funding Trust
3.21%, 07/15/06		233,317		233,317
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (e)		699,950		699,951
HSBC Bank USA N.A.
3.57%, 05/04/06		81,661		81,717
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (e)		1,026,593		1,026,599
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (e)		244,982		244,982
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (e)		909,935		910,068
Lothian Mortgages PLC
3.29%, 01/24/06 (e)		349,975		349,975
Marshall & Ilsley Bank
3.36%, 02/20/06		233,317		233,496
Metropolitan Life Global Funding I
3.14%, 07/06/06 (e)		349,975		349,975
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		349,975		349,949
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (e)		863,271		863,389
Norddeutsche Landesbank
3.11%, 07/27/05		233,317		233,311
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (e)		699,950		699,950
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		898,269		898,269
Principal Life Income Funding Trusts
3.21%, 05/10/06		174,987		174,996
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		662,036		661,850
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (e)		128,324		128,310
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (e)		1,332,238		1,332,259
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (e)		233,317		233,317

The accompanying notes are an integral part of these financial statements.

141

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (d) (Cont.)
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06	$	361,641	$	361,560
SunTrust Bank
3.17%, 04/28/06		349,975		349,975
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (e)		800,276		800,226
Toronto-Dominion Bank
3.81%, 06/20/06		291,646		291,673
UniCredito Italiano SpA
3.34%, 06/14/06		303,312		303,209
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (e)		601,762		601,762
Wells Fargo & Co.
3.19%, 07/14/06 (e)		116,658		116,672
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (e)		781,611		781,580
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (e)		783,944		783,917
Winston Funding Ltd.
3.23%, 07/23/05 (e)		166,588		166,588
World Savings Bank
3.13%, 09/09/05		81,661		81,659

				22,429,799


MONEY MARKET FUNDS (2.29%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (c) (d) (f)		933,266		933,266
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (c) (f)		4,716,886		4,716,886
BlackRock Temp Cash Money Market Fund, 3.04% (d) (f)		33,798		33,798
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (d) (f)		81,791		81,791

				5,765,741


REPURCHASE AGREEMENTS (d) (3.25%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $3,963,155 and effective yields of 3.40% - 3.44%. (g)	$	3,962,777		3,962,777


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (d) (Cont.)
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $3,033,405 and effective yields of 3.43% -3.44%. (g)	$	3,033,116	$	3,033,116
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of $1,166,693 and an effective yield of 3.40%. (g)		1,166,583		1,166,583

				8,162,476


TIME DEPOSITS (d) (1.54%)
American Express Centurion Bank
3.08%, 07/01/05		174,987		174,987
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		233,317		233,317
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		326,643		326,644
Credit Suisse First Boston
3.16%, 07/13/05		116,658		116,659
Deutsche Bank AG
3.31%, 07/01/05		9,594		9,594
HBOS Treasury Services PLC
3.39%, 12/14/05		139,990		139,990
Key Bank N.A.
3.34%, 07/01/05		699,950		699,950
Natexis Banques
2.98%, 08/18/05		233,317		233,317
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		419,970		419,960
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		186,653		186,652
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		163,322		163,320
US Bank N.A.
3.12%, 07/08/05		233,317		233,317
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		699,950		699,951
Wells Fargo Bank N.A.
3.04%, 07/01/05		233,317		233,317

				3,870,975

The accompanying notes are an integral part of these financial statements.

142

RUSSELL 2000 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (d) (0.14%)
Federal National Mortgage Association
2.33%, 07/22/05	$	349,975	$	349,500

				349,500


U.S. TREASURY OBLIGATIONS (0.27%)
U.S. Treasury Bill
3.04%, 09/22/05 (h) (i)		675,000		670,318

				670,318


TOTAL SHORT-TERM INVESTMENTS
(Cost: $54,529,897)				54,529,826


TOTAL INVESTMENTS IN SECURITIES (119.44%)
(Cost: $267,758,992)				300,125,985

Other Assets, Less Liabilities (-19.44%)				(48,839,699	)


NET ASSETS (100.00%)			$	251,286,286

(a)	All or a portion of this security represents a security on loan. See Note 4.

(b)	Non-income earning security.

(c)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(d)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(e)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(f)	The rate quoted is the annualized seven-day yield of the fund at period end.

(g)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

(h)	The rate quoted is the yield to maturity.

(i)	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of June 30, 2005, the open futures contracts held by the Master Portfolio were as follows:


Futures contracts (expiration date)	Number of contracts	Notional contract value		Net unrealized appreciation

Russell Mini Index (09/16/05)	85	$	5,466,350	$	115,488


				$	115,488

The accompanying notes are an integral part of these financial statements.

143

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (97.32%)

AUSTRALIA (5.31%)
Alinta Ltd.	3,561	$	26,465
Alumina Ltd.	16,988		72,127
Amcor Ltd.	12,552		64,104
AMP Ltd.	26,642		131,392
Ansell Ltd.	1,967		15,053
APN News & Media Ltd. (a)	4,395		17,219
Aristocrat Leisure Ltd. (a)	4,438		39,241
Australia and New Zealand Banking Group Ltd.	26,613		441,215
Australian Gas & Light Co. Ltd.	6,314		68,487
Australian Stock Exchange Ltd.	1,448		25,529
AXA Asia Pacific Holdings Ltd.	13,077		43,660
Babcock & Brown Ltd. (b)	1,945		20,474
BHP Billiton Ltd.	52,106		720,878
BHP Steel	10,153		63,693
Billabong International Ltd.	1,662		17,267
Boral Ltd.	8,308		41,036
Brambles Industries Ltd. (a)	13,624		84,845
Caltex Australia Ltd.	1,845		22,291
Centro Properties Group	11,124		49,943
Challenger Financial Services Group Ltd. (b)	5,317		12,645
Coca-Cola Amatil Ltd.	7,137		42,923
Cochlear Ltd.	673		20,109
Coles Myer Ltd.	16,482		116,337
Commonwealth Bank of Australia	18,487		534,781
Commonwealth Property Office Fund	21,676		20,901
Computershare Ltd.	5,242		23,415
CSL Ltd.	2,930		75,310
CSR Ltd.	12,165		24,851
DB RREEF Trust	47,056		48,960
DCA Group Ltd.	4,790		13,838
Downer EDI Ltd.	3,636		14,772
Foster’s Group Ltd.	29,125		118,107
Futuris Corp. Ltd.	6,792		9,423
Gandel Retail Trust	22,899		29,237
General Property Trust	32,591		90,675
Harvey Normand Holdings Ltd. (a)	6,411		12,217
Iluka Resources Ltd.	3,350		19,228
ING Industrial Fund	11,697		18,635
Insurance Australia Group Ltd.	23,141		106,012
Investa Property Group	25,561		37,799
James Hardie Industries NV	6,878		39,793
John Fairfax Holdings Ltd.	12,349		40,476
Leighton Holdings Ltd. (a)	1,701		14,911
Lend Lease Corp. Ltd.	4,921		48,613
Macquarie Airports (a)	8,998		24,554
Macquarie Bank Ltd.	3,226		146,926
Macquarie Communications Infrastructure Group	4,641		22,287
Macquarie Goodman Group	17,697		55,037


Security	Shares	Value

COMMON STOCKS (Cont.)

AUSTRALIA (Cont.)
Macquarie Infrastructure Group	30,721	$	97,415
Mayne Group Ltd.	8,727		31,531
Mirvac Group	11,907		32,402
Multiplex Group	7,811		17,326
National Australia Bank Ltd.	22,613		530,203
Newcrest Mining Ltd.	5,236		69,366
OneSteel Ltd.	7,379		14,905
Orica Ltd.	4,378		59,401
Origin Energy Ltd.	11,412		66,198
Pacific Brands Ltd. (a)	11,294		19,542
PaperlinX Ltd. (a)	6,208		14,243
Patrick Corp. Ltd. (a)	9,079		38,685
Perpetual Trustees Australia Ltd.	548		23,989
Publishing & Broadcasting Ltd.	2,191		24,801
Qantas Airways Ltd.	12,809		32,904
QBE Insurance Group Ltd.	10,882		132,966
Rinker Group Ltd.	13,611		145,250
Rio Tinto Ltd. (a)	4,175		142,635
Santos Ltd.	8,231		71,023
SFE Corp. Ltd.	1,798		14,596
Sonic Healthcare Ltd.	3,542		33,938
Stockland Trust Group	17,943		75,497
Suncorp-Metway Ltd.	7,625		116,882
TABCORP Holdings Ltd.	7,230		90,382
Telstra Corp. Ltd.	30,794		118,772
Toll Holdings Ltd.	3,390		33,747
Transurban Group	11,789		66,947
UNiTAB Ltd.	1,707		18,542
Wesfarmers Ltd.	5,518		168,286
Westfield Group	20,658		279,344
Westpac Banking Corp.	26,055		396,215
Woodside Petroleum Ltd.	6,923		154,354
Woolworths Ltd.	15,349		193,163

			7,073,141


AUSTRIA (0.44%)
Andritz AG	159		15,178
Bank Austria Creditanstalt AG	508		53,038
Boehler-Uddeholm AG	121		16,026
Erste Bank der Oesterreichischen Sparkassen AG	1,894		94,860
Flughafen Wien AG	163		10,577
Immofinanz Immobillien Anlagen AG (b)	5,217		47,812
Mayr-Melnhof Karton AG	48		6,654
Meinl European Land Ltd. (b)	1,096		19,001
Oesterreichische Elektrizitaetswirtschafts AG Class A	100		27,602
OMV AG	253		110,263
RHI AG (a) (b)	493		13,441
Telekom Austria AG	5,215		101,459

The accompanying notes are an integral part of these financial statements.

144

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

AUSTRIA (Cont.)
VA Technologie AG (b)	142	$	11,174
Voest-Alpine AG (a)	352		24,674
Wienberger AG	818		37,998

			589,757


BELGIUM (1.30%)
AGFA Gevaert NV	1,361		37,650
Barco NV (a)	165		11,776
Bekaert NV	182		13,683
Belgacom SA	2,398		82,014
Cofinimmo (a)	103		16,161
Colruyt NV	226		30,836
Compagnie Maritime Belge SA	295		9,200
Delhaize-Le Lion SA (a)	1,030		61,850
Dexia Group	8,389		184,943
D’Ieteren NV SA	69		14,284
Electrabel SA (a)	400		174,866
Euronav NV	354		10,393
Fortis	16,928		470,335
Groupe Bruxelles Lambert SA (a)	977		84,689
InBev NV	2,589		87,668
KBC Groupe SA (a)	2,631		207,995
Mobistar SA (a)	402		33,630
Omega Pharma SA	317		16,387
Solvay SA (a)	896		92,149
UCB SA	1,239		60,285
Umicore Mines SA	339		27,231

			1,728,025


DENMARK (0.78%)
AP Moller - Maersk A/S	18		171,949
Bang & Olufsen A/S Class B (a)	178		12,507
Carlsberg A/S Class B	509		26,131
Coloplast A/S Class B	352		20,444
D/S Torm A/S	200		10,787
Danisco A/S	772		50,168
Danske Bank A/S (a)	6,439		193,788
De Sammensluttede Vognmaend A/S	265		22,516
East Asiatic Co. Ltd. A/S (a)	263		18,586
FLS Industries A/S Class B (a)	535		10,865
GN Store Nord A/S	3,096		35,083
H. Lundbeck A/S (a)	1,015		25,559
Kobenhavns Lufthavne A/S	73		17,363
NKT Holding A/S	220		8,238
Novo Nordisk A/S Class B (a)	3,547		180,655
Novozymes A/S Class B (a)	720		35,677
TDC A/S (a)	2,763		118,505
Topdanmark A/S (a) (b)	281		20,498
Vestas Wind Systems A/S (b)	2,501		41,546
William Demant Holding (b)	358		17,826

			1,038,691


Security	Shares	Value

COMMON STOCKS (Cont.)

FINLAND (1.49%)
Amer Group Ltd. (a)	1,120	$	21,288
Cargotec Corp. (b)	526		14,691
Elisa OYJ Class A (a)	2,046		32,052
Fortum OYJ	5,006		80,302
KCI Konecranes OYJ	208		8,876
Kesko OYJ Class B	882		22,146
Kone OYJ (b)	526		31,522
Metso Corp. (a)	1,458		31,808
Neste Oil OYJ (a) (b)	1,875		48,577
Nokia OYJ	67,343		1,129,174
Nokian Renkaat OYJ	1,360		24,796
Orion-Yhtyma OYJ Class B	1,088		20,996
Outokumpu OYJ (a)	1,366		17,612
Pohjola Group PLC Class D (a)	837		12,160
Rautaruukki OYJ (a)	1,201		17,957
Sampo OYJ Class A	5,956		92,873
Stora Enso OYJ Class R	9,013		115,445
TietoEnator OYJ	1,272		38,807
UPM-Kymmene OYJ (a)	7,724		148,401
Uponor OYJ	962		18,762
Wartsila OYJ Class B	1,041		30,070
YIT-Yhtyma OYJ	883		29,505

			1,987,820


FRANCE (9.28%)
Accor SA (a)	2,838		133,207
Air France-KLM (a)	1,977		30,062
Alcatel SA (a) (b)	17,799		195,444
Alstom (b)	62,666		62,211
Arcelor	7,380		144,919
Atos Origin SA (b)	805		51,068
Autoroutes du Sud de la France SA (a)	879		50,335
AXA (a)	20,844		521,603
BIC SA (a)	441		26,326
BNP Paribas SA (a)	11,584		795,170
Bouygues SA (a)	2,927		121,403
Business Objects SA (a) (b)	887		23,764
Cap Gemini SA (a) (b)	1,756		55,869
Carrefour SA (a)	8,131		394,736
CNP Assurances (a)	510		32,662
Compagnie de Saint-Gobain SA (a)	4,462		247,894
Compagnie Generale des Etablissements Michelin Class B (a)	2,075		126,484
Credit Agricole SA (a)	9,597		243,526
Dassault Systemes SA	806		39,080
Essilor International SA (a)	1,472		100,687
Etablissements Economiques du Casino Guichard-Perrachon SA (a)	552		38,794
European Aeronautic Defence and Space Co.	3,553		113,343
France Telecom SA (a)	21,419		626,491

The accompanying notes are an integral part of these financial statements.

145

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June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

FRANCE (Cont.)
Gecina SA (a)	133	$	15,103
Groupe Danone (a)	3,523		310,074
Hermes International	130		26,236
Imerys SA (a)	434		29,923
Klepierre (a)	320		30,547
Lafarge SA (a)	2,493		227,418
Lagardere S.C.A. (a)	1,772		131,398
L’Air Liquide SA (a)	1,595		272,076
L’Oreal SA (a)	4,386		315,143
LVMH Moet Hennessy Louis Vuitton SA (a)	3,584		277,260
Neopost SA	459		40,426
PagesJaunes SA	1,808		42,267
Pernod-Ricard SA (a)	741		118,416
PPR (a)	956		98,725
PSA Peugeot Citroen (a)	2,308		136,859
Publicis Groupe (a)	2,093		61,903
Renault SA (a)	2,713		239,440
Safran SA (a)	2,411		50,000
Sanofi-Aventis (a)	15,355		1,262,229
Schneider Electric SA (a)	3,286		248,041
SCOR	9,397		18,885
Societe des Autoroutes du Nord et de l’Est de la France (b)	308		16,534
Societe des Autoroutes Paris-Rhin-Rhone	489		29,020
Societe Generale Class A (a)	4,827		491,756
Societe Television Francaise (a)	1,669		44,412
Sodexho Alliance SA (a)	1,368		42,414
STMicroelectronics NV	9,142		146,759
Suez SA (a)	11,929		323,931
Technip-Coflexip SA (a)	1,294		60,094
Thales/Ex Thomson CSF (a)	1,097		44,610
Thomson SA	3,738		89,603
Total SA (a)	8,300		1,952,403
Union du Credit Bail Immobilier (a)	636		81,694
Valeo SA (a)	1,039		46,667
Veolia Environment (a)	4,458		167,687
Vinci SA (a)	2,104		175,248
Vivendi Universal SA (a)	15,605		492,331
Zodiac SA (a)	551		29,611

			12,362,221


GERMANY (6.36%)
Adidas-Salomon AG	646		108,326
Allianz AG (a)	5,038		579,246
Altana AG (a)	991		56,784
BASF AG (a)	7,829		521,300
Bayer AG (a)	9,467		316,215
Bayerische Hypo-Und Vereinsbank AG (b)	8,224		214,162
Beiersdorf AG (a)	263		29,532


Security	Shares	Value

COMMON STOCKS (Cont.)

GERMANY (Cont.)
Celesio AG (a)	543	$	42,723
Commerzbank AG	6,441		140,048
Continental AG (a)	1,895		136,710
DaimlerChrysler AG Registered (a)	12,504		508,333
Deutsche Bank AG (a)	7,053		552,540
Deutsche Boerse AG (a)	1,496		117,253
Deutsche Lufthansa AG (a)	3,175		39,053
Deutsche Post AG	7,189		168,149
Deutsche Telekom AG (a)	39,631		734,083
Douglas Holding AG (a)	411		14,878
E.ON AG (a)	9,061		808,247
Epcos AG (a) (b)	513		6,434
Fresenius Medical Care AG (a)	489		41,837
Heidelberger Druckmaschinen AG (b)	624		18,282
Heidelberger Zement AG (a)	1,045		75,263
Hochtief AG	857		30,088
Hypo Real Estate Holding AG	1,908		72,739
Infineon Technologies AG (b)	9,482		88,621
IVG Immobilien AG	924		17,171
Karstadtquelle AG (a) (b)	678		9,029
Linde AG (a)	1,311		88,595
MAN AG	2,140		88,942
Merck KGaA (a)	710		56,619
Metro AG	2,121		105,305
MLP AG (a)	946		17,695
Muenchener Rueckversicherungs-Gesellschaft AG (a)	2,682		286,122
Premiere AG (b)	644		22,298
Puma AG (a)	246		60,958
RWE AG (a)	6,111		394,920
SAP AG (a)	3,199		557,732
Schering AG (a)	2,427		149,498
Siemens AG (a)	11,661		851,843
Suedzucker AG (a)	1,169		23,422
ThyssenKrupp AG (a)	5,166		89,998
TUI AG (a)	2,341		58,071
Volkswagen AG (a)	3,238		148,258
Wincor Nixdorf AG	202		16,510

			8,463,832


GREECE (0.57%)
Alpha Bank AE	4,126		110,093
Bank of Piraeus	2,399		44,727
Coca-Cola Hellenic Bottling Co. SA	1,460		39,664
Cosmote Mobile Telecommunication SA	1,960		35,830
EFG Eurobank Ergasias	2,600		80,266
Emporiki Bank of Greece SA (b)	720		21,426
Folli-Follie SA	200		5,864
Germanos SA	440		14,745
Greek Organization of Football Prognostics	2,240		64,868

The accompanying notes are an integral part of these financial statements.

146

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

GREECE (Cont.)
Hellenic Copper & Aluminum Industry SA	1,670	$	10,756
Hellenic Duty Free Shops SA	320		5,571
Hellenic Exchanges SA	640		4,711
Hellenic Petroleum SA	1,458		15,604
Hellenic Technodomiki Tev SA	1,414		7,121
Hellenic Telecommunications Organization SA (b)	3,440		66,801
Hyatt Regency SA	709		7,759
Intracom SA	1,000		5,085
National Bank of Greece SA	3,727		126,700
Public Power Corp.	1,764		44,079
Technical Olympic SA	1,340		8,079
Titan Cement Co. SA	1,080		33,367

			753,116


HONG KONG (1.73%)
ASM Pacific Technology Ltd. (a)	2,000		9,365
Bank of East Asia Ltd.	19,800		58,458
BOC Hong Kong Holdings Ltd. (a)	53,500		101,173
Cathay Pacific Airways Ltd.	15,000		27,305
Cheung Kong (Holdings) Ltd.	22,000		214,388
Cheung Kong Infrastructure Holdings Ltd.	7,000		20,847
CLP Holdings Ltd.	26,700		153,194
Esprit Holdings Ltd.	13,500		97,690
Giordano International Ltd.	22,000		15,142
Hang Lung Properties Ltd.	25,000		36,825
Hang Seng Bank Ltd.	11,000		150,001
Henderson Land Development Co. Ltd.	10,000		47,856
Hong Kong & China Gas Co. Ltd.	50,672		102,996
Hong Kong Exchanges & Clearing Ltd.	16,000		41,372
Hongkong Electric Holdings Ltd.	21,500		98,189
Hopewell Holdings Ltd.	9,000		23,098
Hutchison Telecommunications International Ltd. (b)	21,000		20,802
Hutchison Whampoa Ltd.	30,700		277,447
Hysan Development Co. Ltd.	12,000		24,931
Johnson Electric Holdings Ltd.	20,000		18,396
Kerry Properties Ltd.	7,000		15,579
Kingboard Chemicals Holdings Co. Ltd.	7,000		22,333
Li & Fung Ltd.	24,000		49,863
MTR Corp. Ltd.	18,500		35,699
New World Development Co. Ltd.	31,600		38,823
Noble Group Ltd.	12,000		10,312
Orient Overseas International Ltd.	4,400		19,245
PCCW Ltd.	50,118		31,270
SCMP Group Ltd.	14,000		6,124
Shangri-La Asia Ltd. (a)	14,108		21,779
Sino Land Co. Ltd. (a)	24,000		25,626
SmarTone Telecommunications Holdings Ltd.	5,500		6,050


Security	Shares	Value

COMMON STOCKS (Cont.)

HONG KONG (Cont.)
Solomon Systech International Ltd.	22,000	$	7,783
Sun Hung Kai Properties Ltd.	19,000		187,597
Swire Pacific Ltd. Class A	13,500		119,399
Techtronic Industries Co.	14,500		36,654
Television Broadcasts Ltd.	4,000		22,590
Texwinca Holdings Ltd.	10,000		8,298
Wharf Holdings Ltd.	18,000		63,216
Wing Hang Bank Ltd.	3,000		19,586
Yue Yen Industrial (Holdings) Ltd.	7,000		21,432

			2,308,733


IRELAND (0.85%)
Allied Irish Banks PLC	12,751		273,235
Bank of Ireland	14,027		227,896
CRH PLC	7,797		207,196
DCC PLC	1,234		24,650
DEPFA Bank PLC	5,167		82,822
Elan Corp. PLC (b)	5,574		38,127
Fyffes PLC	3,720		11,124
Grafton Group PLC (b)	2,970		34,446
Greencore Group PLC	1,824		7,950
Iaws Group PLC	1,289		18,040
Independent News & Media PLC	7,490		23,123
Irish Life & Permanent PLC	4,047		70,896
Kerry Group PLC Class A	1,807		44,628
Kingspan Group PLC	1,726		20,394
Paddy Power PLC	834		14,247
Ryanair Holdings PLC (b)	3,664		28,345

			1,127,119


ITALY (3.81%)
Alleanza Assicurazioni SpA (a)	6,586		71,601
Arnoldo Mondadori Editore SpA (a)	1,769		16,865
Assicurazioni Generali SpA (a)	13,874		433,351
Autogrill SpA (a)	1,491		19,675
Autostrade SpA	4,092		108,789
Banca Antonveneta SpA (a)	3,365		108,771
Banca Fideuram SpA (a)	4,878		23,179
Banca Intesa SpA (a)	46,911		214,961
Banca Monte dei Paschi di Siena SpA (a)	15,262		53,906
Banca Nazionale del Lavoro SpA (a) (b)	19,522		67,476
Banca Popolare di Milano SCRL (a)	5,513		54,429
Banche Popolari Unite SCRL (a)	4,937		98,022
Banco Popolare di Verona e Novara SCRL (a)	5,527		94,213
Benetton Group SpA (a)	1,018		9,397
Bulgari SpA	1,904		21,357
Capitalia SpA (a)	20,904		117,173
Edison SpA (a) (b)	12,498		27,841
Enel SpA (a)	53,488		466,238

The accompanying notes are an integral part of these financial statements.

147

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

ITALY (Cont.)
Eni SpA (a)	37,789	$	974,917
Fiat SpA (a) (b)	7,058		51,354
Fineco SpA (a)	2,356		21,135
Finmeccanica SpA (a)	87,663		81,985
Gruppo Editoriale L’Espresso SpA (a)	2,305		12,613
Italcementi SpA (a)	1,048		16,380
Lottomatica SpA	426		13,894
Luxottica Group SpA (a)	1,976		40,979
Mediaset SpA (a)	11,914		140,487
Mediobanca SpA	6,780		127,145
Mediolanum SpA (a)	3,393		21,237
Pirelli & Co. SpA (a)	38,295		39,964
Riunione Adriatica di Sicurta SpA (a)	4,462		86,917
Sanpaolo IMI SpA (a)	16,191		222,675
Seat Pagine Gaille SpA (a) (b)	55,520		23,189
Snam Rete Gas SpA (a)	13,695		73,366
Telecom Italia Media SpA (a) (b)	33,055		15,927
Telecom Italia SpA (a)	156,469		488,727
Telecom Italia SpA RNC (a)	86,906		225,681
Terna SpA	16,997		44,087
Tiscali SpA (a) (b)	3,509		10,015
Unicredito Italiano SpA (a)	64,165		339,273

			5,079,191


JAPAN (21.25%)
Acom Co. Ltd.	1,050		67,372
Aderans Co. Ltd.	600		14,214
Advantest Corp. (a)	1,100		81,301
AEON Co. Ltd.	9,300		141,921
AEON Credit Service Co. Ltd.	400		25,052
AIFUL Corp.	975		72,766
Aisin Seiki Co. Ltd.	2,800		60,771
Ajinomoto Co. Inc.	9,000		100,307
Alfresa Holdings Corp.	300		13,401
All Nippon Airways Co. Ltd.	9,000		27,452
Alps Electric Co. Ltd. (a)	3,000		45,971
Amada Co. Ltd.	5,000		34,067
Amano Corp.	1,000		11,930
Anritsu Corp.	1,000		6,110
Aoyama Trading Co. Ltd.	700		17,656
Ariake Japan Co. Ltd. (a)	220		5,063
Asahi Breweries Ltd.	5,300		63,231
Asahi Glass Co. Ltd.	15,000		157,838
Asahi Kasei Corp.	18,000		85,768
Asatsu-DK Inc. (a)	400		11,154
Astellas Pharma Inc.	7,798		266,713
Autobacs Seven Co. Ltd. (a)	400		13,464
Bandai Co. Ltd.	1,200		24,258
Bank of Fukuoka Ltd. (a)	8,000		47,433
Bank of Kyoto Ltd. (The)	4,000		34,040
Bank of Yokohama Ltd.	17,000		98,340


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Benesse Corp.	1,000	$	32,127
Bridgestone Corp.	10,000		192,672
Canon Inc. (a)	10,900		574,461
Canon Sales Co. Inc.	1,000		16,876
Casio Computer Co. Ltd.	3,000		39,256
Central Glass Co. Ltd.	3,000		18,762
Central Japan Railway Co. (a)	14		108,275
Chiba Bank Ltd. (The)	10,000		65,969
Chiyoda Corp.	2,000		24,817
Chubu Electric Power Co. Inc. (a)	8,500		204,043
Chugai Pharmaceutical Co. Ltd.	3,800		58,710
Circle K Sunkus Co. Ltd.	600		13,510
Citizen Watch Co. Ltd. (a)	3,600		32,618
Coca Cola West Japan Co. Ltd. (a)	500		11,258
COMSYS Holdings Corp.	2,000		18,500
Credit Saison Co. Ltd.	2,200		73,261
CSK Corp. (a)	900		35,412
Dai Nippon Printing Co. Ltd.	9,000		145,140
Daicel Chemical Industries Ltd.	4,000		21,081
Daido Steel Co. Ltd.	5,000		22,561
Daiichi Pharmaceutical Co. Ltd.	3,400		75,327
Daikin Industries Ltd.	3,400		85,146
Daimaru Inc. (The) (a)	3,000		26,640
Dainippon Ink & Chemical Inc.	9,000		28,833
Dainippon Screen Manufacturing Co. Ltd.	3,000		20,224
Daito Trust Construction Co. Ltd.	1,200		44,942
Daiwa House Industry Co. Ltd.	7,000		80,291
Daiwa Securities Group Inc.	18,000		111,434
Denki Kagaku Kogyo Kabushiki Kaisha	6,000		21,605
Denso Corp.	7,800		177,737
DENTSU Inc.	27		66,763
Dowa Mining Co. Ltd.	4,000		26,712
E*Trade Securities Co. Ltd. (a)	7		21,289
eAccess Ltd.	18		12,134
East Japan Railway Co.	50		257,197
Ebara Corp. (a)	4,000		15,414
Eisai Co. Ltd.	3,800		127,913
Electric Power Development Co.	2,100		60,834
Elpida Memory Inc. (b)	500		16,154
FamilyMart Co. Ltd.	800		22,958
Fanuc Ltd.	2,600		165,418
Fast Retailing Co. Ltd.	800		41,585
Fuji Electric Holdings Co. Ltd.	7,000		21,352
Fuji Photo Film Co. Ltd.	7,000		225,521
Fuji Soft ABC Inc.	400		12,779
Fuji Television Network Inc.	8		15,522
Fujikura Ltd.	5,000		24,456
Fujitsu Ltd.	25,000		131,306
Furukawa Electric Co. Ltd. (b)	8,000		31,044
Glory Ltd.	800		12,822

The accompanying notes are an integral part of these financial statements.

148

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Goodwill Group Inc. (The) (a)	6	$	10,992
Gunma Bank Ltd.	5,000		30,097
Gunze Ltd.	3,000		13,483
Hakuhodo DY Holdings Inc.	300		21,063
Hankyu Department Stores Inc. (a)	2,000		12,670
Heavy Industries Co. Ltd. (a) (b)	17,000		24,700
Hikari Tsushin Inc.	400		28,806
Hino Motors Ltd.	4,000		23,211
Hirose Electric Co. Ltd.	400		44,075
Hitachi Cable Ltd.	2,000		8,790
Hitachi Chemical Co. Ltd.	1,600		29,384
Hitachi Construction Machinery Co. Ltd.	1,300		15,521
Hitachi Credit Corp.	700		13,866
Hitachi Ltd.	46,000		279,794
Hitachi Software Engineering Co. Ltd.	400		6,804
Hokkaido Electric Power Co. Inc.	2,400		49,165
Honda Motor Co. Ltd.	11,500		567,684
House Foods Corp.	800		11,840
Hoya Corp.	1,500		173,270
Ibiden Co. Ltd.	1,300		34,140
Index Corp.	6		18,247
INPEX Corp.	6		34,004
Isetan Co. Ltd.	2,500		31,428
Ishihara Sangyo Kaisha Ltd.	4,000		8,844
Ito En Ltd.	400		20,540
Itochu Corp.	22,000		111,380
Itochu Techno-Science Corp.	400		14,042
Ito-Yokado Co. Ltd.	4,900		162,729
JAFCO Co. Ltd. (a)	500		26,622
Japan Airlines System Corp. (a)	9,000		24,285
Japan Prime Realty Investment Corp.	6		17,760
Japan Real Estate Investment Corp.	5		42,505
Japan Retail Fund Investment Corp.	3		25,747
Japan Tobacco Inc.	13		173,631
JFE Holdings Inc.	8,000		197,816
JGC Corp.	3,000		36,928
Joyo Bank Ltd.	10,000		48,913
JS Group Corp.	3,500		59,318
JSR Corp.	2,500		52,793
Kajima Corp.	12,000		44,400
Kaken Pharmaceutical Co. Ltd. (a)	1,000		6,877
Kamigumi Co. Ltd.	4,000		30,900
Kaneka Corp.	4,000		44,942
Kansai Electric Power Co. Inc.	11,100		223,382
Kansai Paint Co. Ltd. (a)	3,000		19,330
Kao Corp.	8,000		188,792
Katokichi Co. Ltd.	1,800		12,264
Kawasaki Heavy Industries Ltd. (a)	16,000		30,755
Kawasaki Kisen Kaisha Ltd. (a)	7,000		41,567
KDDI Corp.	37		171,293


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Keihin Electric Express Railway Co. Ltd. (a)	6,000	$	36,711
Keio Corp.	9,000		48,651
Keisei Electric Railway Co. Ltd.	3,000		15,026
Keyence Corp.	450		100,957
Kikkoman Corp.	2,000		17,706
Kinden Corp.	2,000		14,800
Kintetsu Corp. (a)	21,000		64,056
Kirin Brewery Co. Ltd. (a)	11,000		106,615
Kobe Steel Ltd. (a)	37,000		69,786
Kokuhoku Financial Group Inc.	15,000		46,025
Kokuyo Co. Ltd.	900		12,151
Komatsu Ltd.	13,000		101,011
Komori Corp.	1,000		15,134
Konami Co. Ltd. (a)	1,200		25,341
Konica Minolta Holdings Inc.	6,500		60,771
Kose Corp.	400		13,825
Koyo Seiko Co. Ltd.	2,000		26,803
Kubota Corp.	15,000		82,303
Kuraray Co. Ltd.	5,000		47,424
Kurita Water Industries Ltd.	1,400		21,642
Kyocera Corp.	2,300		176,013
Kyowa Hakko Kogyo Co. Ltd.	5,000		32,443
Kyushu Electric Power Co. Inc.	5,600		121,794
Lawson Inc.	800		27,940
Leopalace21 Corp.	1,700		28,275
Mabuchi Motor Co. Ltd.	400		23,067
Makita Corp.	2,000		39,347
Marubeni Corp.	19,000		65,328
Marui Co. Ltd.	4,300		58,014
Matsui Securities Co. Ltd.	1,500		16,136
Matsumotokiyoshi Co. Ltd.	500		13,627
Matsushita Electric Industrial Co. Ltd.	30,000		455,645
Matsushita Electric Works Ltd.	4,400		36,690
Mediceo Holdings Co. Ltd. (a)	1,800		24,025
Meiji Dairies Corp.	4,000		22,886
Meiji Seika Kaisha Ltd.	4,000		19,746
Meitec Corp.	400		12,309
Millea Holdings Inc.	22		295,822
Minebea Co. Ltd.	5,000		20,215
Mitsubishi Chemical Corp.	25,000		73,324
Mitsubishi Corp.	17,100		232,712
Mitsubishi Electric Corp.	28,000		148,579
Mitsubishi Estate Co. Ltd. (a)	16,000		176,302
Mitsubishi Gas Chemical Co. Inc.	5,000		25,629
Mitsubishi Heavy Industries Ltd.	44,000		115,152
Mitsubishi Logistics Corp. (a)	2,000		20,486
Mitsubishi Materials Corp.	13,000		30,737
Mitsubishi Rayon Co.	8,000		33,210
Mitsubishi Securities Co. Ltd.	3,000		26,613
Mitsubishi Tokyo Financial Group Inc.	71		602,933

The accompanying notes are an integral part of these financial statements.

149

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Mitsui & Co. Ltd.	21,000	$	198,989
Mitsui Chemicals Inc.	9,000		52,874
Mitsui Engineering & Shipbuilding Co. Ltd. (a)	9,000		17,625
Mitsui Fudosan Co. Ltd.	11,000		123,590
Mitsui Mining & Smelting Co. Ltd.	8,000		37,614
Mitsui O.S.K. Lines Ltd.	15,000		92,726
Mitsui Sumitomo Insurance Co. Ltd.	18,000		162,278
Mitsui Trust Holdings Inc.	8,000		82,303
Mitsukoshi Ltd.	6,000		27,073
Mitsumi Electric Co. Ltd.	900		9,283
Mizuho Financial Group Inc.	122		552,694
Murata Manufacturing Co. Ltd.	3,100		158,063
Namco Ltd.	1,000		13,320
NEC Corp.	27,000		146,196
NEC Electronics Corp.	500		22,561
Net One Systems Co. Ltd.	9		23,229
NGK Insulators Ltd.	4,000		39,022
NGK Spark Plug Co. Ltd.	3,000		34,627
NHK Spring Co. Ltd. (a)	2,000		16,876
Nichii Gakkan Co.	250		6,092
Nichirei Corp.	3,000		11,696
Nidec Corp.	800		84,758
Nikko Cordial Corp.	22,000		96,887
Nikon Corp. (a)	4,000		45,339
Nintendo Co. Ltd.	1,400		146,557
Nippon Building Fund Inc.	4		36,098
Nippon Electric Glass Co. Ltd.	3,000		45,375
Nippon Express Co. Ltd.	11,000		47,848
Nippon Kayaku Co. Ltd. (a)	2,000		12,039
Nippon Light Metal Co. Ltd. (a)	6,000		14,241
Nippon Meat Packers Inc.	3,000		34,898
Nippon Mining Holdings Inc.	11,000		62,440
Nippon Oil Corp.	19,000		129,113
Nippon Paper Group Inc.	14		51,421
Nippon Sheet Glass Co. Ltd.	5,000		19,583
Nippon Shokubai Co. Ltd.	2,000		16,352
Nippon Steel Corp.	89,000		207,220
Nippon Telegraph & Telephone Corp.	75		321,496
Nippon Yusen Kabushiki Kaisha	15,000		86,364
Nishimatsu Construction Co. Ltd. (a)	4,000		14,439
Nishi-Nippon City Bank Ltd. (The)	7,000		30,575
Nissan Chemical Industries Ltd.	3,000		32,326
Nissan Motor Co. Ltd.	32,900		326,001
Nisshin Seifun Group Inc.	3,000		31,161
Nisshin Steel Co. Ltd.	12,000		30,214
Nisshinbo Industries Inc.	2,000		16,388
Nissin Food Products Co. Ltd.	1,400		35,944
Nitori Co. Ltd.	250		17,936
Nitto Denko Corp.	2,400		137,749
NOK Corp.	1,400		39,166
Nomura Holdings Inc.	25,500		305,374


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Nomura Real Estate Office Fund Inc.	3	$	22,796
Nomura Research Institute Ltd.	300		29,997
NSK Ltd. (a)	6,000		30,810
NTN Corp.	6,000		32,271
NTT Data Corp. (a)	20		68,405
NTT DoCoMo Inc.	254		375,923
NTT Urban Development Corp.	4		16,425
Obayashi Corp.	9,000		48,488
OBIC Co. Ltd.	100		16,993
Odakyu Electric Railway Co. Ltd. (a)	9,000		47,595
Oji Paper Co. Ltd.	12,000		62,702
Oki Electric Industry Co. Ltd.	7,000		24,700
Okumura Corp.	3,000		16,975
Olympus Corp.	3,000		57,666
Omron Corp.	3,200		70,607
Onward Kashiyama Co. Ltd.	2,000		25,341
Oracle Corp. Japan (a)	400		15,125
Oriental Land Co. Ltd.	700		41,567
ORIX Corp.	1,200		180,200
Osaka Gas Co. Ltd.	29,000		91,337
Pioneer Corp.	2,100		31,819
Promise Co. Ltd.	1,350		86,621
Q.P. Corp.	1,200		10,039
Rakuten Inc. (a)	60		48,136
Resona Holdings Inc. (a) (b)	65,000		121,424
Ricoh Corp. Ltd.	10,000		156,394
Rinnai Corp. (a)	400		9,873
Rohm Co. Ltd.	1,600		154,499
Ryohin Keikaku Co. Ltd.	300		14,836
Sanden Corp.	1,000		4,214
Sanken Electric Co. Ltd.	2,000		26,117
Sankyo Co. Ltd.	5,800		111,488
Sankyo Co. Ltd. Gunma	700		32,596
Santen Pharmaceutical Co. Ltd.	1,000		22,697
Sanwa Shutter Corp.	2,000		11,533
Sanyo Electric Co. Ltd. (a)	24,000		61,294
Sapporo Breweries Ltd. (a)	5,000		24,140
SBI Holdings Inc.	70		23,594
Secom Co. Ltd.	3,000		129,140
Sega Sammy Holdings Inc.	963		59,096
Seiko Epson Corp.	1,600		53,425
Seino Transportation Co. Ltd.	2,000		18,085
Sekisui Chemical Co. Ltd.	7,000		48,263
Sekisui House Ltd. (a)	7,000		70,815
Seven-Eleven Japan Co. Ltd.	5,400		150,095
77 Bank Ltd. (The)	5,000		30,819
SFCG Co. Ltd.	80		18,735
Sharp Corp.	14,000		219,078
Shimachu Co. Ltd.	600		15,107
Shimamura Co. Ltd.	300		25,341
Shimano Inc.	1,000		28,427
Shimizu Corp.	8,000		37,325
Shin-Etsu Chemical Co. Ltd.	5,300		201,363

The accompanying notes are an integral part of these financial statements.

150

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Shinko Securities Co. Ltd.	7,000	$	22,236
Shinsei Bank Ltd.	14,000		75,553
Shionogi & Co. Ltd.	5,000		64,570
Shiseido Co. Ltd.	5,000		63,171
Shizuoka Bank Ltd.	8,000		68,802
Showa Denko K.K.	14,000		33,228
Showa Shell Sekiyu K.K. (a)	2,500		25,043
Skylark Co. (a)	1,200		18,280
SMC Corp.	800		87,357
Softbank Corp. (a)	3,600		141,323
Sojitz Holdings Corp. (a) (b)	2,900		12,536
Sompo Japan Insurance Inc.	12,000		121,289
Sony Corp.	13,400		461,944
Stanley Electric Co. Ltd.	2,200		35,737
Sumitomo Bakelite Co. Ltd. (a)	3,000		19,439
Sumitomo Chemical Co. Ltd.	22,000		101,254
Sumitomo Corp.	15,000		120,341
Sumitomo Electric Industries Ltd.	11,000		112,770
Sumitomo Heavy Industries Ltd.	8,000		38,480
Sumitomo Metal Industries Ltd.	60,000		102,879
Sumitomo Metal Mining Co. Ltd.	8,000		54,941
Sumitomo Mitsui Financial Group Inc.	59		399,332
Sumitomo Osaka Cement Co. Ltd.	5,000		13,311
Sumitomo Realty & Development Co. Ltd.	6,000		67,359
Sumitomo Rubber Industries Inc.	2,000		20,431
Sumitomo Trust & Banking Co. Ltd. (The)	18,000		109,647
Suruga Bank Ltd. (The)	3,000		24,474
Suzuken Co. Ltd.	880		22,197
T&D Holdings Inc.	3,300		155,455
Taiheiyo Cement Corp.	12,000		32,055
Taisei Corp.	12,000		40,502
Taisho Pharmaceutical Co. Ltd.	3,000		58,478
Taiyo Nippon Sanso Corp.	4,000		20,359
Taiyo Yuden Co. Ltd.	2,000		22,200
Takara Holdings Inc. (a)	3,000		18,708
Takashimaya Co. Ltd.	4,000		35,845
Takeda Pharmaceutical Co. Ltd.	12,900		640,285
Takefuji Corp.	1,660		112,354
Takuma Co. Ltd. (a)	1,000		7,102
Tanabe Seiyaku Co. Ltd.	3,000		28,969
TDK Corp.	1,700		115,982
Teijin Ltd.	12,000		55,771
Teikoku Oil Co. Ltd. (a)	3,000		22,363
Terumo Corp.	2,500		72,196
THK Co. Ltd. (a)	1,400		28,932
TIS Inc.	500		17,101
Tobu Railway Co. Ltd.	10,000		36,278
Toda Corp.	3,000		12,833
Toho Co. Ltd.	1,800		25,990


Security	Shares	Value

COMMON STOCKS (Cont.)

JAPAN (Cont.)
Tohoku Electric Power Co. Inc.	6,500	$	138,728
Tokuyama Corp.	3,000		21,388
Tokyo Broadcasting System	700		11,598
Tokyo Electric Power Co. Inc. (The)	16,700		398,624
Tokyo Electron Ltd.	2,400		127,137
Tokyo Gas Co. Ltd.	32,000		119,845
Tokyo Steel Manufacturing Co. Ltd.	1,500		18,992
Tokyo Style Co. Ltd.	1,000		9,999
Tokyo Tatemono Co. Ltd.	3,000		20,170
Tokyu Corp.	13,000		58,424
Tokyu Land Corp.	5,000		23,599
TonenGeneral Sekiyu K.K.	4,000		43,317
Toppan Printing Co. Ltd.	8,000		84,830
Toray Industries Inc.	19,000		90,190
Toshiba Corp. (a)	42,000		167,530
Tosoh Corp.	7,000		29,122
TOTO Ltd.	4,000		31,658
Toyo Seikan Kaisha Ltd.	2,200		34,804
Toyo Suisan Kaisha Ltd.	1,000		15,666
Toyobo Co. Ltd.	8,000		18,699
Toyoda Gosei Co. Ltd. (a)	900		14,506
Toyota Industries Corp.	2,800		76,563
Toyota Motor Corp.	41,900		1,501,155
Toyota Tsusho Corp.	2,000		32,687
Trend Micro Inc.	1,500		53,470
Ube Industries Ltd.	14,000		28,553
UFJ Holdings Inc. (b)	56		292,104
Uni-Charm Corp. (a)	600		24,149
Uniden Corp.	1,000		15,847
Uny Co. Ltd.	3,000		34,140
Ushio Inc.	2,000		35,647
USS Co. Ltd.	350		22,331
Wacoal Corp.	2,000		25,341
West Japan Railway Co.	25		85,732
World Co. Ltd.	500		17,507
Yahoo! Japan Corp.	57		119,854
Yakult Honsha Co. Ltd. (a)	2,000		36,098
Yamada Denki Co. Ltd. (a)	1,200		69,091
Yamaha Corp.	2,400		37,470
Yamaha Motor Co. Ltd.	2,600		47,748
Yamato Transport Co. Ltd.	6,000		83,386
Yamazaki Baking Co. Ltd.	2,000		17,273
Yaskawa Electric Corp. (b)	3,000		17,868
Yokogawa Electric Corp.	3,000		37,118
Zeon Corp.	3,000		25,963

			28,291,367


NETHERLANDS (4.83%)
ABN AMRO Holding NV	25,418		626,216
Aegon NV	20,201		261,927
Akzo Nobel NV	4,023		158,679

The accompanying notes are an integral part of these financial statements.

151

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

NETHERLANDS (Cont.)
ASML Holding NV (a) (b)	7,049	$	111,111
Burhmann NV	1,538		15,212
Corio NV	662		37,003
DSM NV	1,122		76,883
Euronext NV (a)	1,412		47,847
Getronics NV	1,757		20,762
Hagemeyer NV (a) (b)	7,243		17,187
Heineken NV	3,461		107,014
IHC Caland NV	500		34,322
ING Groep NV	27,219		770,104
Koninklijke Ahold NV (b)	22,260		183,254
Koninklijke KPN NV	30,520		256,426
Koninklijke Philips Electronics NV NYS	19,097		483,203
Oce NV (a)	1,230		18,137
QIAGEN NV (a) (b)	2,043		23,917
Randstad Holding NV	699		24,169
Reed Elsevier NV (a)	10,127		141,238
Rodamco Europe NV	645		52,904
Royal Dutch Petroleum Co. (a)	30,106		1,968,183
Royal Numico NV (b)	2,148		86,024
TNT Post Group NV	5,397		136,885
Unilever NV CVA	8,271		537,213
Vedior NV	2,456		34,669
VNU NV	3,421		95,548
Wereldhave NV	263		28,067
Wolters Kluwer NV CVA	4,046		77,491

			6,431,595


NEW ZEALAND (0.24%)
Auckland International Airport Ltd.	12,792		21,273
Carter Holt Harvey Ltd.	8,370		13,278
Contact Energy Ltd. (a)	3,680		19,716
Fisher & Paykel Appliances Holdings	2,401		5,597
Fisher & Paykel Healthcare Corp Ltd.	6,712		15,225
Fletcher Building Ltd.	6,357		30,564
Kiwi Income Property Trust	6,353		4,862
Lion Nathan Ltd.	4,316		24,937
NGC Holdings Ltd.	3,508		9,275
Sky City Entertainment Group Ltd. (a)	5,666		17,662
Sky Network Television Ltd. (b)	3,715		14,734
Telecom Corp. of New Zealand Ltd. (a)	27,924		116,771
Tower Ltd. (b)	4,553		6,811
Warehouse Group Ltd. (The)	2,278		6,340
Waste Management NZ Ltd.	2,027		9,492

			316,537


NORWAY (0.69%)
DNB NOR ASA	9,828		102,597
Frontline Ltd. (a)	722		28,934
Norsk Hydro ASA	2,110		193,643
Norske Skogindustrier ASA (a)	1,527		25,167


Security	Shares	Value

COMMON STOCKS (Cont.)

NORWAY (Cont.)
Orkla ASA (a)	2,876	$	106,017
Petroleum Geo-Services ASA (b)	777		18,718
ProSafe ASA	405		12,173
Schibsted ASA (a)	662		18,226
Smedvig ASA Class A	613		12,424
Statoil ASA (a)	9,474		193,456
Storebrand ASA	3,208		30,054
Tandberg ASA (a)	1,880		20,129
Tandberg Television ASA (b)	819		10,178
Telenor ASA (a)	11,118		88,855
Tomra Systems ASA (a)	2,145		8,858
Yara International ASA	3,074		48,900

			918,329


PORTUGAL (0.29%)
Banco Comercial Portugues SA Class R (a)	27,801		71,353
Banco Espirito Santo e Comercial de Lisboa SA	2,040		31,835
BPI-SPGS SA Registered	4,836		18,442
Brisa-Auto Estradas de Portugal SA (a)	4,821		37,879
CIMPOR-Cimentos de Portugal SGPS SA (a)	2,953		16,588
Energias de Portugal SA	24,874		62,637
Jeronimo Martins SGPS SA	651		9,339
Portugal Telecom SGPS SA (a)	10,798		102,489
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA	1,318		13,866
Sonae SGPS SA	11,939		16,478

			380,906


SINGAPORE (0.87%)
Allgreen Properties Ltd.	6,000		4,125
Ascendas Real Estate Investment Trust	18,000		23,576
Capitaland Ltd. (a)	12,000		16,926
CapitaMall Trust	7,000		9,874
Chartered Semiconductor Manufacturing Ltd. (a) (b)	18,000		14,188
City Developments Ltd.	7,000		31,115
ComfortDelGro Corp. Ltd.	30,000		30,048
Cosco Corp. Singapore Ltd.	4,000		4,599
Creative Technology Ltd.	650		4,276
Datacraft Asia Ltd. (b)	4,000		4,440
DBS Group Holdings Ltd.	16,652		141,127
Fraser & Neave Ltd.	2,760		25,681
Haw Par Corp. Ltd.	2,792		8,522
Jardine Cycle & Carriage Ltd.	2,004		15,796
Keppel Corp. Ltd. (a)	8,000		59,266
Keppel Land Ltd.	6,000		8,890

The accompanying notes are an integral part of these financial statements.

152

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

SINGAPORE (Cont.)
Neptune Orient Lines Ltd.	6,000	$	13,442
Olam International Ltd. (b)	9,000		4,694
Oversea-Chinese Banking Corp. Ltd.	18,420		126,635
Parkway Holdings Ltd.	10,000		11,142
SembCorp Industries Ltd.	12,220		19,337
SembCorp Logistics Ltd.	4,200		4,281
SembCorp Marine Ltd.	12,000		18,704
Singapore Airlines Ltd.	8,000		53,103
Singapore Exchange Ltd.	13,000		16,257
Singapore Land Ltd.	2,000		6,697
Singapore Petroleum Co. Ltd.	2,000		5,879
Singapore Post Ltd.	15,000		8,845
Singapore Press Holdings Ltd.	22,000		56,066
Singapore Technologies Engineering Ltd.	17,000		24,382
Singapore Telecommunications Ltd.	96,000		157,601
SMRT Corp. Ltd.	17,000		11,889
STATS ChipPAC Ltd. (b)	16,000		11,474
Suntec Real Estate Investment Trust	10,000		7,230
United Overseas Bank Ltd.	16,392		137,952
United Overseas Land Ltd. (a)	5,639		7,620
Venture Corp. Ltd.	4,000		37,930
Want Want Holdings Ltd.	4,000		5,080
Wing Tai Holdings Ltd.	8,000		4,718

			1,153,407


SPAIN (3.87%)
Abertis Infraestructuras SA (a)	3,202		81,678
Acciona SA	489		48,545
Acerinox SA	2,997		40,891
Actividades de Construcciones y Servicios SA (a)	3,859		108,108
Altadis SA	3,852		161,681
Amadeus Global Travel Distribution SA Class A	4,476		39,178
Antena 3 de Television SA	1,176		23,548
Banco Bilbao Vizcaya Argentaria SA	48,888		755,217
Banco Popular Espanol SA (a)	12,610		152,510
Banco Santander Central Hispano SA (a)	86,194		1,000,724
Cintra Concesiones de Infraestructuras de Transporte SA (b)	2,827		33,233
Corporacion Mapfre SA (a)	1,394		20,876
Ebro Puleva SA	1,129		20,092
Endesa SA (a)	13,662		321,039
Fomento de Construcciones y Contratas SA	661		37,283
Gamesa Corp. Tecnologica SA (a)	1,414		19,190
Gas Natural SDG SA (a)	2,543		75,058
Grupo Ferrovial SA (a)	879		56,720
Iberdrola SA (a)	11,536		304,739


Security	Shares	Value

COMMON STOCKS (Cont.)

SPAIN (Cont.)
Iberia Lineas Aereas de Espana SA (a)	5,885	$	16,885
Indra Sistemas SA	1,873		37,120
Industria de Diseno Textil SA (a)	3,260		83,986
Inmobiliaria Colonial	419		22,320
Metrovacesa SA (a)	573		33,797
Metrovacesa SA New (a)	28		1,656
Metrovacesa SA Rights (a) (b)	601		3,260
NH Hoteles SA (a)	1,022		14,043
Promotora de Informaciones SA	1,117		21,677
Repsol YPF SA (a)	13,184		337,739
Sacyr Vallehermoso SA	1,430		33,742
Sacyr Vallehermoso SA Rights (b)	1,430		1,056
Sociedad General de Aguas de Barcelona SA Class A (a)	818		17,647
Sogecable SA (a) (b)	549		19,534
Telefonica Publicidad e Informacion SA (a)	2,123		18,583
Telefonica SA (a)	65,553		1,074,558
Union Fenosa SA (a)	3,186		97,238
Zeltia SA (a)	3,034		20,569

			5,155,720


SWEDEN (2.34%)
Alfa Laval AB (a)	1,238		17,915
ASSA Abloy AB Class B	4,181		53,809
Atlas Copco AB Class A	5,006		79,491
Atlas Copco AB Class B	2,895		41,707
Axfood AB	402		10,090
Billerud AB (a)	843		10,094
Capio AB (b)	1,035		15,242
Castellum AB	491		19,995
D Carnegie & Co. AB	700		8,292
Electrolux AB Class B (a)	4,134		88,144
Elekta AB Class B (b)	373		15,476
Eniro AB (a)	2,294		26,145
Fabege AB	1,086		23,642
Gambro AB Class A (a)	2,436		32,599
Gambro AB Class B (a)	1,242		16,621
Getinge AB (a)	2,617		35,691
Hennes & Mauritz AB Class B (a)	6,909		243,307
Hoganas AB Class B (a)	301		8,075
Holmen AB Class B	780		21,076
Lundin Petroleum AB (b)	2,310		19,820
Modern Times Group AB Class B (b)	727		22,297
Nordea AB (a)	30,885		280,810
OM AB (a) (b)	974		11,101
Oriflame Cosmetics SA	400		9,118
Sandvik AB (a)	2,958		110,040
SAS AB (a) (b)	1,227		10,567
Scania AB Class B (a)	1,313		48,424
Securitas AB Class B (a)	4,232		70,723

The accompanying notes are an integral part of these financial statements.

153

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

SWEDEN (Cont.)
Skandia Forsakrings AB (a)	14,731	$	80,928
Skandinaviska Enskilda Banken AB Class A (a)	6,886		114,635
Skanska AB Class B (a)	5,698		70,414
SKF AB (a)	5,579		57,155
SSAB Svenskt Stal AB Series A	850		19,593
SSAB Svenskt Stal AB Series B	547		12,048
Svenska Cellulosa AB Class B (a)	2,933		93,899
Svenska Handelsbanken AB Class A (a)	7,477		152,720
Swedish Match AB	5,142		58,440
Tele2 AB Class B (a)	4,248		39,983
Telefonaktiebolaget LM Ericsson Class B (a)	215,584		692,943
Telelogic AB (b)	3,317		6,372
TeliaSonera AB (a)	27,977		133,634
Trelleborg AB Class B (a)	1,248		18,539
Volvo AB Class A (a)	1,344		53,010
Volvo AB Class B (a)	3,370		137,235
Wihlborgs Fastigheter AB (b)	217		5,280
WM-Data AB Class B (a)	5,077		12,808

			3,109,947


SWITZERLAND (6.58%)
ABB Ltd. (b)	28,609		187,585
Adecco SA	1,977		90,123
Ciba Specialty Chemicals AG	921		53,703
Clariant AG Registered (b)	3,262		43,414
Compagnie Financiere Richemont AG	7,156		240,749
Credit Suisse Group	17,593		694,189
Geberit AG Registered	56		35,844
Givaudan SA Registered (a)	100		58,192
Holcim Ltd.	2,635		160,432
Kudelski SA Bearer (b)	497		18,195
Kuoni Reisen Holding AG (b)	38		15,439
Logitech International SA (b)	1,154		37,112
Lonza Group AG Registered	532		29,463
Micronas Semiconductor Holdings AG (b)	502		19,005
Nestle SA	5,866		1,501,872
Nobel Biocare Holding AG	78		15,830
Nobel Biocare Holding AG (Sweden Shares) (b)	252		50,794
Novartis AG	34,239		1,631,638
Phonak Holding AG	687		25,794
PSP Swiss Property AG (b)	541		23,480
Rieter Holding AG	62		17,181
Roche Holding AG Genusschein	10,192		1,290,409
Schindler Holding AG Certificates of Participation	75		27,106
Serono SA (a)	93		59,454


Security	Shares	Value

COMMON STOCKS (Cont.)

SWITZERLAND (Cont.)
SIG Holding AG	93	$	21,070
Societe Generale de Surveillance Holding SA	62		42,613
Straumann Holding AG	119		24,801
Sulzer AG Registered	51		21,059
Swatch Group AG (The) Class B (a)	468		65,756
Swatch Group AG (The) Registered	1,009		28,866
Swiss Re (a)	4,666		287,004
Swisscom AG	334		108,978
Syngenta AG (b)	1,570		161,645
Synthes Inc.	675		74,134
UBS AG Registered	15,536		1,212,708
Unaxis Holding AG Class R (a) (b)	97		13,326
Valora Holding AG (b)	58		13,141
Zurich Financial Services AG (b)	2,087		359,698

			8,761,802


UNITED KINGDOM (24.44%)
Aegis Group PLC	15,694		27,990
Aggreko PLC	4,131		13,736
Alliance Unichem PLC	3,524		53,659
AMEC PLC	4,853		28,706
AMVESCAP PLC	10,809		64,517
Anglo American PLC	20,598		483,294
ARM Holdings PLC	20,557		41,730
Arriva PLC	2,835		27,695
Associated British Ports Holdings PLC	4,120		36,408
AstraZeneca PLC	23,698		981,655
Aviva PLC	34,268		382,055
BAA PLC	15,778		175,344
BAE Systems PLC	46,712		240,302
Balfour Beatty PLC	6,390		37,883
Barclays PLC (c)	93,740		933,375
Barratt Developments PLC	3,400		43,666
BBA Group PLC	5,973		33,029
Bellway PLC	1,627		25,168
Berkeley Group Holdings PLC	1,551		25,438
BG Group PLC	51,343		422,417
BHP Billiton PLC	35,977		459,147
BOC Group PLC	7,510		135,151
Boots Group PLC	11,145		121,659
Bovis Homes Group PLC	1,750		22,271
BP PLC	311,010		3,238,900
BPB PLC	7,007		66,441
Brambles Industries PLC	10,855		59,539
Britannic Group PLC	2,834		25,831
British Airways PLC (b)	7,855		37,100
British American Tobacco PLC	23,322		449,806
British Land Co. PLC	7,568		118,832
British Sky Broadcasting Group PLC	17,769		168,009
Brixton PLC	3,680		23,499

The accompanying notes are an integral part of these financial statements.

154

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

UNITED KINGDOM (Cont.)
BT Group PLC	124,168	$	511,899
Bunzl PLC	5,129		47,898
Cable & Wireless PLC	33,968		90,720
Cadbury Schweppes PLC	30,011		286,718
Capita Group PLC	9,376		61,846
Carnival PLC	2,457		139,476
Cattles PLC	4,859		26,825
Centrica PLC	53,752		223,286
Close Brothers Group PLC	1,821		24,040
Cobham PLC	1,623		41,164
Compass Group PLC	31,189		131,097
Cookson Group PLC (b)	2,731		14,955
Corus Group PLC (b)	62,375		46,958
Daily Mail and General Trust PLC Class A	4,164		49,074
Davis Service Group PLC (The)	2,800		22,761
De La Rue PLC	2,459		17,895
Diageo PLC	43,702		644,686
Dixons Group PLC	28,268		79,550
Eircom Group PLC	7,244		16,137
Electrocomponents PLC	5,712		24,624
EMAP PLC	3,591		50,077
EMI Group PLC	11,954		54,424
Enterprise Inns PLC	5,182		77,466
Exel PLC	4,600		70,002
First Choice Holidays PLC	7,204		24,663
FirstGroup PLC	5,780		34,111
FKI PLC	6,964		12,139
Friends Provident PLC	27,585		89,989
Gallaher Group PLC	9,440		140,273
George Wimpey PLC	5,627		44,278
GKN PLC	11,565		53,483
GlaxoSmithKline PLC	85,062		2,059,861
Great Portland Estates PLC	2,365		14,816
Group 4 Securicor PLC (b)	16,107		42,440
GUS PLC	14,439		227,884
Hammerson PLC	3,789		60,411
Hanson PLC	11,096		106,705
Hays PLC	25,150		58,379
HBOS PLC	57,031		879,648
Hilton Group PLC	23,591		121,043
HMV Group PLC	6,211		26,329
HSBC Holdings PLC	162,547		2,593,081
ICAP PLC	6,833		36,376
IMI PLC	5,051		37,754
Imperial Chemical Industries PLC	17,327		78,887
Imperial Tobacco Group PLC	10,586		285,192
Inchcape PLC	1,092		40,263
Intercontinental Hotels Group PLC	6,739		85,103
International Power PLC (b)	21,544		79,550
Intertek Testing Services Ltd.	2,025		25,481


Security	Shares	Value

COMMON STOCKS (Cont.)

UNITED KINGDOM (Cont.)
Invensys PLC (b)	76,382	$	14,376
iSOFT Group PLC	2,868		21,565
ITV PLC	60,438		133,248
J Sainsbury PLC	19,329		98,828
Johnson Matthey PLC	3,120		59,671
Kelda Group PLC	5,201		65,118
Kesa Electricals PLC	7,775		38,952
Kingfisher PLC	34,112		150,414
Land Securities Group PLC	6,820		169,921
Legal & General Group PLC	95,438		196,728
Liberty International PLC	3,419		59,353
Lloyds TSB Group PLC	81,428		690,370
LogicaCMG PLC	10,304		32,229
London Stock Exchange PLC	3,396		29,918
Man Group PLC	4,250		110,231
Marconi Corp. PLC (b)	2,976		16,110
Marks & Spencer Group PLC	24,208		156,427
Meggitt PLC	7,332		37,160
MFI Furniture Group PLC	9,514		18,887
Misys PLC	7,550		32,209
Mitchells & Butlers PLC	7,660		45,893
National Express Group PLC	1,974		32,163
National Grid Transco PLC	44,264		429,235
Next PLC	3,925		106,164
Pearson PLC	11,968		141,047
Peninsular & Oriental Steam Navigation Co. PLC	10,985		62,467
Persimmon PLC	3,747		52,454
Pilkington PLC	15,883		34,092
Premier Farnell PLC	5,332		15,435
Provident Financial PLC	3,617		46,550
Prudential Corp. PLC	34,545		307,279
Punch Taverns PLC	3,564		46,826
Rank Group PLC	9,223		44,470
Reckitt Benckiser PLC	8,913		262,807
Reed International PLC	18,761		179,742
Rentokil Initial PLC	27,854		79,758
Reuters Group PLC	21,137		149,654
Rexam PLC	7,762		67,026
Rio Tinto PLC	15,575		476,829
Rolls-Royce Group PLC (b)	22,136		113,974
Royal & Sun Alliance Insurance Group PLC	43,432		65,199
Royal Bank of Scotland Group PLC	46,092		1,392,933
SABMiller PLC	12,694		198,296
Sage Group PLC	19,770		79,290
Schroders PLC	1,750		23,745
Scottish & Newcastle PLC	11,093		92,210
Scottish & Southern Energy PLC	12,512		227,187
Scottish Power PLC	27,068		240,892
Serco Group PLC	6,684		30,551

The accompanying notes are an integral part of these financial statements.

155

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

UNITED KINGDOM (Cont.)
Severn Trent PLC	5,272	$	96,104
Shell Transport & Trading Co. PLC	139,463		1,356,769
Signet Group PLC	24,254		47,278
Slough Estates PLC	5,900		55,151
Smith & Nephew PLC	13,652		134,833
Smiths Group PLC	8,288		136,525
SSL International PLC	2,302		11,677
Stagecoach Group PLC	11,851		25,066
Stolt Offshore SA (b)	2,881		26,330
Stolt-Nielsen SA (b)	507		17,061
Tate & Lyle PLC	6,937		59,311
Taylor Woodrow PLC	8,540		51,701
Tesco PLC	112,170		640,876
3i Group PLC	9,026		109,691
TI Automotive Ltd. (b) (d)	7,024		—
Tomkins PLC	11,645		54,583
Travis Perkins PLC	1,646		51,277
Trinity Mirror PLC	4,061		44,985
Unilever PLC	39,926		385,379
United Business Media PLC	3,831		34,025
United Utilities PLC	8,495		100,497
United Utilities PLC Class A	9,385		55,513
Vodafone Group PLC	941,863		2,296,010
Whitbread PLC	3,587		61,338
William Hill PLC	5,644		54,579
Wolseley PLC	8,627		181,541
WPP Group PLC	17,259		177,727
Yell Group PLC	10,366		79,014

			32,536,693


TOTAL COMMON STOCKS
(Cost: $117,483,016)			129,567,949


PREFERRED STOCKS (0.26%)

GERMANY (0.22%)
Fresenius Medical Care AG (a)	385		26,847
Henkel KGaA (a)	823		73,751
Porsche AG	117		88,053
Prosieben Satellite Media AG (a)	1,119		19,278
RWE AG	553		31,653
Volkswagen AG (a)	1,577		55,978

			295,560


ITALY (0.04%)
Banca Intesa SpA (a)	13,103		56,076

			56,076


TOTAL PREFERRED STOCKS
(Cost: $257,025)			351,636


Security	Shares or principal		Value

EXCHANGE-TRADED FUNDS (1.29%)
iShares MSCI EAFE Index Fund (a) (c)		32,751	$	1,715,825


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $1,600,501)				1,715,825



SHORT-TERM INVESTMENTS (22.56%)

COMMERCIAL PAPER (e) (5.93%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	41,640		41,495
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (f)		279,774		279,209
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (f)		638,480		637,278
ANZ National Bank Ltd.
2.94%, 08/15/05 (f)		69,400		69,145
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		264,060		263,615
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		138,800		138,680
Bryant Park Funding LLC
3.10%, 07/06/05 (f)		53,596		53,573
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (f)		49,976		49,924
Cantabric Finance LLC
3.08% - 3.12%,\| 07/11/05 - 07/25/05 (f)		138,800		138,553
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (f)		173,794		173,523
Charta LLC
3.31%, 08/11/05 (f)		208,200		207,415
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (f)		130,472		130,363
Dexia Delaware LLC
3.04%, 07/01/05		184,049		184,049
Edison Asset Securitization LLC
3.12%, 09/06/05 (f)		104,100		103,496
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (f)		229,640		228,680
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (f)		368,163		367,528
Ford Credit Floorplan Motown
3.33%, 08/08/05 (f)		27,760		27,662
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		150,332		150,082

The accompanying notes are an integral part of these financial statements.

156

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (e) (Cont.)
General Electric Capital Corp.
2.74%, 07/07/05	$	69,400	$	69,368
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		131,860		131,683
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (f)		462,204		460,249
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (f)		419,852		419,232
Liberty Street Funding Corp.
3.05%, 07/01/05 (f)		69,400		69,401
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (f)		203,117		202,937
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		265,108		264,789
Nordea North America Inc.
2.74%, 07/11/05		69,400		69,347
Park Avenue Receivables Corp.
3.25%, 07/22/05 (f)		276,212		275,689
Park Granada LLC
3.08% - 3.09%, 07/01/05 (f)		69,456		69,457
Polonius Inc.
3.15%, 07/11/05 (f)		97,160		97,075
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (f)		451,473		451,178
Santander Central Hispano
2.75%, 07/08/05		173,500		173,407
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (f)		248,298		247,813
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (f)		504,816		503,456
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (f)		451,931		451,458
Three Pillars Funding Corp.
3.30%, 07/28/05		20,183		20,133
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (f)		270,660		270,662
UBS Finance Delaware LLC
3.03%, 07/01/05		208,200		208,201
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		120,756		120,487
Yorktown Capital LLC
3.15%, 07/13/05		80,672		80,587

				7,900,879


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (e) (10.02%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (f)	$	258,168	$	258,171
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		340,060		340,065
American Express Centurion Bank
3.29%, 06/29/06		55,520		55,521
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		395,580		395,627
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (f)		90,220		90,221
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		90,220		90,207
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (f)		713,432		713,372
BMW US Capital LLC
3.19%, 07/14/06 (f)		138,800		138,801
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		471,920		471,876
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (f)		519,112		519,079
Commodore CDO Ltd.
3.47%, 12/12/05 (f)		34,700		34,701
Credit Suisse First Boston
3.15%, 05/09/06		138,800		138,801
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		416,400		416,377
DEPFA Bank PLC
3.42%, 03/15/06		138,800		138,801
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (f)		335,896		335,909
Fairway Finance LLC
3.21%, 10/20/05		55,520		55,519
Fifth Third Bancorp
3.26%, 04/21/06 (f)		277,600		277,601
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (f)		97,160		97,163
General Electric Capital Corp.
3.28%, 07/07/06		62,460		62,527
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		19,939		19,939

The accompanying notes are an integral part of these financial statements.

157

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (e) (Cont.)
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06	$	159,620	$	159,622
Hartford Life Global Funding Trust
3.21%, 07/15/06		138,800		138,801
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (f)		416,400		416,403
HSBC Bank USA N.A.
3.57%, 05/04/06		48,580		48,613
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (f)		610,720		610,723
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (f)		145,740		145,742
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (f)		541,320		541,400
Lothian Mortgages PLC
3.29%, 01/24/06 (f)		208,200		208,201
Marshall & Ilsley Bank
3.36%, 02/20/06		138,800		138,907
Metropolitan Life Global Funding I
3.14%, 07/06/06 (f)		208,200		208,201
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		208,200		208,185
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (f)		513,560		513,631
Norddeutsche Landesbank
3.11%, 07/27/05		138,800		138,797
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (f)		416,400		416,402
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		534,380		534,383
Principal Life Income Funding Trusts
3.21%, 05/10/06		104,100		104,106
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		393,845		393,734
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (f)		76,340		76,332
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (f)		792,548		792,569
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (f)		138,800		138,801


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (e) (Cont.)
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06	$	215,140	$	215,091
SunTrust Bank
3.17%, 04/28/06		208,200		208,201
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (f)		476,084		476,054
Toronto-Dominion Bank
3.81%, 06/20/06		173,500		173,516
UniCredito Italiano SpA
3.34%, 06/14/06		180,440		180,380
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (f)		357,988		357,988
Wells Fargo & Co.
3.19%, 07/14/06 (f)		69,400		69,408
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (f)		464,980		464,963
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (f)		466,368		466,352
Winston Funding Ltd.
3.23%, 07/23/05 (f)		99,103		99,104
World Savings Bank
3.13%, 09/09/05		48,580		48,579

				13,343,467


MONEY MARKET FUNDS (1.07%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (c) (e) (g)		555,200		555,200
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (c) (g)		795,007		795,007
BlackRock Temp Cash Money Market Fund, 3.04% (e) (g)		20,106		20,106
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (e) (g)		48,657		48,657

				1,418,970


REPURCHASE AGREEMENTS (e) (3.65%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $2,357,680 and effective yields of 3.40% - 3.44%. (h)	$	2,357,457		2,357,457

The accompanying notes are an integral part of these financial statements.

158

INTERNATIONAL INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (e) (Cont.)
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of $1,804,572 and effective yields of 3.43% - 3.44%. (h)	$	1,804,400	$	1,804,400
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of $694,066 and an effective yield of 3.40%. (h)		694,000		694,000

				4,855,857


TIME DEPOSITS (e) (1.73%)
American Express Centurion Bank
3.08%, 07/01/05		104,100		104,101
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		138,800		138,801
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		194,320		194,322
Credit Suisse First Boston
3.16%, 07/13/05		69,400		69,401
Deutsche Bank AG
3.31%, 07/01/05		5,707		5,707
HBOS Treasury Services PLC
3.39%, 12/14/05		83,280		83,281
Key Bank N.A.
3.34%, 07/01/05		416,400		416,400
Natexis Banques
2.98%, 08/18/05		138,800		138,801
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		249,840		249,834
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		111,040		111,039
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		97,160		97,160
US Bank N.A.
3.12%, 07/08/05		138,800		138,801
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		416,400		416,403
Wells Fargo Bank N.A.
3.04%, 07/01/05		138,800		138,801

				2,302,852


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (e) (0.16%)
Federal National Mortgage Association
2.33%, 07/22/05	$	208,200	$	207,918

				207,918


TOTAL SHORT-TERM INVESTMENTS
(Cost: $30,029,943)				30,029,943


TOTAL INVESTMENTS IN SECURITIES (121.43%)
(Cost: $149,370,485)				161,665,353

Other Assets, Less Liabilities (-21.43%)				(28,525,463	)


NET ASSETS (100.00%)			$	133,139,890

NYS	New York Registered Shares

(a)	All or a portion of this security represents a security on loan. See Note 4.

(b)	Non-income earning security.

(c)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(d)	Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

(e)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(f)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)	The rate quoted is the annualized seven-day yield of the fund at period end.

(h)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

As of June 30, 2005, the open futures contracts held by the Master Portfolio were as follows:


Futures contracts (expiration Date)	Number of contracts	Notional contract value		Net unrealized appreciation

Euro 50 Index (09/16/05)	13	$	503,316	$	6,618

FTSE 100 Index (09/16/05)	5		459,002		5,394

TOPIX Index (09/08/05)	4		423,969		8,920


				$	20,932

The accompanying notes are an integral part of these financial statements.

159

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

MASTER PORTFOLIOS (85.04%)
Active Stock Master Portfolio (a)			$	42,837,056
CoreAlpha Bond Master Portfolio (a)				134,471,930


TOTAL MASTER PORTFOLIOS				177,308,986


EXCHANGE-TRADED FUNDS (14.76%)
iShares MSCI EAFE Index Fund (a) (b)		350,247		18,349,440
iShares S&P MidCap 400 Index Fund (a) (b)		109,583		7,506,435
iShares S&P SmallCap 600 Index Fund (a) (b)		89,435		4,920,714


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $27,943,754)				30,776,589


SHORT-TERM INVESTMENTS (6.88%)

COMMERCIAL PAPER (c) (1.73%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	19,006		18,899
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		127,696		127,438
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		291,419		290,871
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		31,676		31,560
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		120,524		120,322
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		63,352		63,298
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		24,463		24,452
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		22,811		22,787
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		63,352		63,239
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		79,324		79,201
Charta LLC
3.31%, 08/11/05 (d)		95,028		94,670
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		59,551		59,501
Dexia Delaware LLC
3.04%, 07/01/05		84,005		84,005
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		47,514		47,239
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)		104,814		104,376


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)	$	168,039	$	167,749
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		12,670		12,626
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		68,615		68,502
General Electric Capital Corp.
2.74%, 07/07/05		31,676		31,662
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		60,184		60,104
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		210,962		210,071
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		191,632		191,348
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		31,676		31,677
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		92,708		92,626
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		121,002		120,856
Nordea North America Inc.
2.74%, 07/11/05		31,676		31,652
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		126,070		125,832
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		31,701		31,702
Polonius Inc.
3.15%, 07/11/05 (d)		44,346		44,308
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		206,064		205,930
Santander Central Hispano
2.75%, 07/08/05		79,190		79,148
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		113,330		113,109
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		230,411		229,791
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)		206,273		206,056

The accompanying notes are an integral part of these financial statements.

160

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Three Pillars Funding Corp.
3.30%, 07/28/05	$	9,212	$	9,189
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		123,536		123,536
UBS Finance Delaware LLC
3.03%, 07/01/05		95,028		95,028
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		55,116		54,994
Yorktown Capital LLC
3.15%, 07/13/05		36,821		36,782

				3,606,136


FLOATING RATE NOTES (c) (2.92%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		117,835		117,836
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		155,212		155,215
American Express Centurion Bank
3.29%, 06/29/06		25,341		25,341
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		180,553		180,576
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		41,179		41,179
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		41,179		41,173
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		325,629		325,627
BMW US Capital LLC
3.19%, 07/14/06 (d)		63,352		63,353
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		215,397		215,377
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		236,936		236,922
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		15,838		15,839
Credit Suisse First Boston
3.15%, 05/09/06		63,352		63,353
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		190,056		190,045
DEPFA Bank PLC
3.42%, 03/15/06		63,352		63,353


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)	$	153,312	$	153,317
Fairway Finance LLC
3.21%, 10/20/05		25,341		25,340
Fifth Third Bancorp
3.26%, 04/21/06 (d)		126,704		126,704
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		44,346		44,348
General Electric Capital Corp.
3.28%, 07/07/06		28,508		28,539
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		9,101		9,101
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		72,855		72,856
Hartford Life Global Funding Trust
3.21%, 07/15/06		63,352		63,353
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		190,056		190,059
HSBC Bank USA N.A.
3.57%, 05/04/06		22,173		22,188
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		278,749		278,751
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		66,520		66,521
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		247,073		247,109
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		95,028		95,028
Marshall & Ilsley Bank
3.36%, 02/20/06		63,352		63,401
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		95,028		95,028
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		95,028		95,021
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		234,402		234,435
Norddeutsche Landesbank
3.11%, 07/27/05		63,352		63,350
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		190,056		190,057

The accompanying notes are an integral part of these financial statements.

161

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06	$	243,905	$	243,907
Principal Life Income Funding Trusts
3.21%, 05/10/06		47,514		47,516
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		179,761		179,710
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		34,844		34,840
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		361,740		361,749
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		63,352		63,353
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		98,196		98,174
SunTrust Bank
3.17%, 04/28/06		95,028		95,028
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		217,297		217,285
Toronto-Dominion Bank
3.81%, 06/20/06		79,190		79,198
UniCredito Italiano SpA
3.34%, 06/14/06		82,358		82,330
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		163,395		163,396
Wells Fargo & Co.
3.19%, 07/14/06 (d)		31,676		31,680
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		212,229		212,221
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		212,863		212,855
Winston Funding Ltd.
3.23%, 07/23/05 (d)		45,233		45,233
World Savings Bank
3.13%, 09/09/05		22,173		22,173

				6,090,343


MONEY MARKET FUNDS (0.62%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (a) (c) (e)		253,408		253,408
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (a) (e)		996,847		996,847


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (Cont.)
BlackRock Temp Cash Money Market Fund, 3.04% (c) (e)		9,178	$	9,178
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (e)		22,208		22,208

				1,281,641


REPURCHASE AGREEMENTS (c) (1.06%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 1,076,108 and effective yields of 3.40% - 3.44%. (f)	$	1,076,005		1,076,005
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 823,655 and effective yields of 3.43% - 3.44%. (f)		823,576		823,576
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 316,790 and an effective yield of 3.40%. (f)		316,760		316,760

				2,216,341


TIME DEPOSITS (c) (0.50%)
American Express Centurion Bank
3.08%, 07/01/05		47,514		47,515
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		63,352		63,353
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		88,693		88,694
Credit Suisse First Boston
3.16%, 07/13/05		31,676		31,677
Deutsche Bank AG
3.31%, 07/01/05		2,605		2,605
HBOS Treasury Services PLC
3.39%, 12/14/05		38,011		38,012
Key Bank N.A.
3.34%, 07/01/05		190,056		190,056
Natexis Banques
2.98%, 08/18/05		63,352		63,353
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		114,034		114,031
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		50,682		50,681

The accompanying notes are an integral part of these financial statements.

162

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05	$	44,346	$	44,347
US Bank N.A.
3.12%, 07/08/05		63,352		63,353
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		190,056		190,058
Wells Fargo Bank N.A.
3.04%, 07/01/05		63,352		63,353

				1,051,088


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (c) (0.05%)
Federal National Mortgage Association
2.33%, 07/22/05	$	95,028	$	94,899

				94,899


TOTAL SHORT-TERM INVESTMENTS
(Cost: $14,340,448)				14,340,448


TOTAL INVESTMENTS (106.68%)				222,426,023

Other Assets, Less Liabilities (-6.68%)				(13,936,836	)


NET ASSETS (100.00%)			$	208,489,187

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

The accompanying notes are an integral part of these financial statements.

163

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

MASTER PORTFOLIOS (81.13%)
Active Stock Master Portfolio (a)			$	165,593,009
CoreAlpha Bond Master Portfolio (a)				304,107,465


TOTAL MASTER PORTFOLIOS				469,700,474


EXCHANGE-TRADED FUNDS (18.15%)
iShares MSCI EAFE Index Fund (a) (b)		1,290,389		67,603,480
iShares S&P MidCap 400 Index Fund (a) (b)		334,661		22,924,279
iShares S&P SmallCap 600 Index Fund (a) (b)		264,874		14,573,367


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $95,181,285)				105,101,126


SHORT-TERM INVESTMENTS (6.27%)

COMMERCIAL PAPER (c) (1.47%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	44,670		44,516
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		300,135		299,528
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		684,946		683,658
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		74,451		74,178
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		283,277		282,801
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		148,901		148,772
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		57,497		57,472
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		53,613		53,557
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		148,901		148,637
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		186,442		186,152
Charta LLC
3.31%, 08/11/05 (d)		223,352		222,510
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		139,967		139,851
Dexia Delaware LLC
3.04%, 07/01/05		197,443		197,444
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		111,676		111,028
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)		246,353		245,323


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)	$	394,956	$	394,274
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		29,780		29,676
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		161,272		161,004
General Electric Capital Corp.
2.74%, 07/07/05		74,451		74,417
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		141,456		141,266
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		495,842		493,746
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		450,407		449,743
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		74,451		74,451
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		217,899		217,705
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		284,402		284,057
Nordea North America Inc.
2.74%, 07/11/05		74,451		74,394
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		296,314		295,752
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		74,510		74,510
Polonius Inc.
3.15%, 07/11/05 (d)		104,231		104,140
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		484,330		484,013
Santander Central Hispano
2.75%, 07/08/05		186,127		186,027
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		266,368		265,849
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		541,554		540,096
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)		484,821		484,314

The accompanying notes are an integral part of these financial statements.

164

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Three Pillars Funding Corp.
3.30%, 07/28/05	$	21,652	$	21,598
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		290,358		290,357
UBS Finance Delaware LLC
3.03%, 07/01/05		223,352		223,352
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		129,544		129,255
Yorktown Capital LLC
3.15%, 07/13/05		86,543		86,452

				8,475,875


FLOATING RATE NOTES (c) (2.47%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		276,957		276,958
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		364,808		364,811
American Express Centurion Bank
3.29%, 06/29/06		59,561		59,561
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		424,369		424,419
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		96,786		96,786
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		96,786		96,772
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		765,353		765,346
BMW US Capital LLC
3.19%, 07/14/06 (d)		148,901		148,901
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		506,265		506,216
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		556,891		556,856
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		37,225		37,225
Credit Suisse First Boston
3.15%, 05/09/06		148,901		148,901
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		446,704		446,679
DEPFA Bank PLC
3.42%, 03/15/06		148,901		148,901


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)	$	360,341	$	360,355
Fairway Finance LLC
3.21%, 10/20/05		59,561		59,560
Fifth Third Bancorp
3.26%, 04/21/06 (d)		297,803		297,803
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		104,231		104,235
General Electric Capital Corp.
3.28%, 07/07/06		67,006		67,078
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		21,390		21,390
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		171,237		171,237
Hartford Life Global Funding Trust
3.21%, 07/15/06		148,901		148,901
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		446,704		446,703
HSBC Bank USA N.A.
3.57%, 05/04/06		52,115		52,151
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		655,166		655,169
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		156,346		156,346
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		580,715		580,799
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		223,352		223,352
Marshall & Ilsley Bank
3.36%, 02/20/06		148,901		149,016
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		223,352		223,352
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		223,352		223,336
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		550,935		551,010
Norddeutsche Landesbank
3.11%, 07/27/05		148,901		148,898
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		446,704		446,704

The accompanying notes are an integral part of these financial statements.

165

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06	$	573,270	$	573,271
Principal Life Income Funding Trusts
3.21%, 05/10/06		111,676		111,681
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		422,508		422,389
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		81,896		81,887
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		850,227		850,250
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		148,901		148,901
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		230,797		230,745
SunTrust Bank
3.17%, 04/28/06		223,352		223,352
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		510,732		510,699
Toronto-Dominion Bank
3.81%, 06/20/06		186,127		186,144
UniCredito Italiano SpA
3.34%, 06/14/06		193,572		193,506
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		384,041		384,041
Wells Fargo & Co.
3.19%, 07/14/06 (d)		74,451		74,459
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		498,820		498,800
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		500,309		500,291
Winston Funding Ltd.
3.23%, 07/23/05 (d)		106,316		106,316
World Savings Bank
3.13%, 09/09/05		52,115		52,114

				14,314,573


MONEY MARKET FUNDS (0.96%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (a) (c) (e)		595,605		595,605
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (a) (e)		4,904,805		4,904,805


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (Cont.)
BlackRock Temp Cash Money Market Fund, 3.04% (c) (e)		21,569	$	21,569
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (e)		52,198		52,198

				5,574,177


REPURCHASE AGREEMENTS (c) (0.90%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 2,529,264 and effective yields of 3.40% - 3.44%. (f)	$	2,529,023		2,529,023
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 1,935,902 and effective yields of 3.43% - 3.44%. (f)		1,935,718		1,935,718
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 744,577 and an effective yield of 3.40%. (f)		744,507		744,507

				5,209,248


TIME DEPOSITS (c) (0.43%)
American Express Centurion Bank
3.08%, 07/01/05		111,676		111,676
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		148,901		148,901
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		208,462		208,462
Credit Suisse First Boston
3.16%, 07/13/05		74,451		74,451
Deutsche Bank AG
3.31%, 07/01/05		6,123		6,123
HBOS Treasury Services PLC
3.39%, 12/14/05		89,341		89,341
Key Bank N.A.
3.34%, 07/01/05		446,704		446,704
Natexis Banques
2.98%, 08/18/05		148,901		148,901
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		268,022		268,015
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		119,121		119,120

The accompanying notes are an integral part of these financial statements.

166

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05	$	104,231	$	104,230
US Bank N.A.
3.12%, 07/08/05		148,901		148,901
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		446,704		446,704
Wells Fargo Bank N.A.
3.04%, 07/01/05		148,901		148,901

				2,470,430


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (c) (0.04%)
Federal National Mortgage Association
2.33%, 07/22/05	$	223,352	$	223,049

				223,049


TOTAL SHORT-TERM INVESTMENTS
(Cost: $36,267,352)				36,267,352


TOTAL INVESTMENTS (105.55%)				611,068,952

Other Assets, Less Liabilities (-5.55%)				(32,138,406	)

NET ASSETS (100.00%)			$	578,930,546

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

The accompanying notes are an integral part of these financial statements.

167

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

MASTER PORTFOLIOS (75.83%)
Active Stock Master Portfolio (a)			$	368,761,879
CoreAlpha Bond Master Portfolio (a)				316,658,434


TOTAL MASTER PORTFOLIOS				685,420,313

EXCHANGE-TRADED FUNDS (23.91%)
iShares MSCI EAFE Index Fund (a) (b)		2,772,271		145,239,278
iShares S&P MidCap 400 Index Fund (a) (b)		630,553		43,192,880
iShares S&P SmallCap 600 Index Fund (a) (b)		504,391		27,751,593

TOTAL EXCHANGE-TRADED FUNDS
(Cost: $196,757,613)				216,183,751


SHORT-TERM INVESTMENTS (18.51%)

COMMERCIAL PAPER (c) (4.85%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	230,814		229,998
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		1,550,808		1,547,675
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		3,539,147		3,532,484
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		384,690		383,279
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		1,463,707		1,461,239
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		769,380		768,713
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		297,088		296,960
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		277,023		276,732
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		769,380		768,015
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		963,356		961,854
Charta LLC
3.31%, 08/11/05 (d)		1,154,070		1,149,719
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		723,217		722,615
Dexia Delaware LLC
3.04%, 07/01/05		1,020,198		1,020,198
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		577,035		573,684
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)		1,272,916		1,267,595


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)	$	2,040,757	$	2,037,233
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		153,876		153,335
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		833,300		831,915
General Electric Capital Corp.
2.74%, 07/07/05		384,690		384,514
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		730,911		729,924
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		2,562,035		2,551,205
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		2,327,274		2,323,839
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		384,690		384,690
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		1,125,895		1,124,894
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		1,469,515		1,467,738
Nordea North America Inc.
2.74%, 07/11/05		384,690		384,397
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		1,531,066		1,528,166
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		384,998		384,998
Polonius Inc.
3.15%, 07/11/05 (d)		538,566		538,095
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		2,502,554		2,500,916
Santander Central Hispano
2.75%, 07/08/05		961,725		961,211
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		1,376,336		1,373,649
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		2,798,234		2,790,702
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)		2,505,093		2,502,464

The accompanying notes are an integral part of these financial statements.

168

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Three Pillars Funding Corp.
3.30%, 07/28/05	$	111,876	$	111,599
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		1,500,291		1,500,291
UBS Finance Delaware LLC
3.03%, 07/01/05		1,154,070		1,154,070
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		669,360		667,868
Yorktown Capital LLC
3.15%, 07/13/05		447,171		446,702

				43,795,175


FLOATING RATE NOTES (c) (8.18%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		1,431,046		1,431,056
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		1,884,981		1,884,996
American Express Centurion Bank
3.29%, 06/29/06		307,752		307,752
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		2,192,733		2,192,995
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		500,097		500,097
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		500,097		500,029
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		3,954,612		3,954,575
BMW US Capital LLC
3.19%, 07/14/06 (d)		769,380		769,380
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		2,615,891		2,615,645
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		2,877,481		2,877,300
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		192,345		192,345
Credit Suisse First Boston
3.15%, 05/09/06		769,380		769,380
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		2,308,139		2,308,009
DEPFA Bank PLC
3.42%, 03/15/06		769,380		769,380


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)	$	1,861,899	$	1,861,969
Fairway Finance LLC
3.21%, 10/20/05		307,752		307,747
Fifth Third Bancorp
3.26%, 04/21/06 (d)		1,538,760		1,538,760
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		538,566		538,584
General Electric Capital Corp.
3.28%, 07/07/06		346,221		346,594
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		110,523		110,523
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		884,787		884,787
Hartford Life Global Funding Trust
3.21%, 07/15/06		769,380		769,380
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		2,308,139		2,308,140
HSBC Bank USA N.A.
3.57%, 05/04/06		269,283		269,467
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		3,385,271		3,385,287
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		807,849		807,849
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		3,000,581		3,001,020
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		1,154,070		1,154,070
Marshall & Ilsley Bank
3.36%, 02/20/06		769,380		769,971
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		1,154,070		1,154,070
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		1,154,070		1,153,985
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		2,846,705		2,847,093
Norddeutsche Landesbank
3.11%, 07/27/05		769,380		769,361
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		2,308,139		2,308,140

The accompanying notes are an integral part of these financial statements.

169

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06	$	2,962,112	$	2,962,113
Principal Life Income Funding Trusts
3.21%, 05/10/06		577,035		577,063
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		2,183,115		2,182,502
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		423,159		423,108
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		4,393,159		4,393,277
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		769,380		769,380
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		1,192,539		1,192,272
SunTrust Bank
3.17%, 04/28/06		1,154,070		1,154,070
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		2,638,973		2,638,811
Toronto-Dominion Bank
3.81%, 06/20/06		961,725		961,816
UniCredito Italiano SpA
3.34%, 06/14/06		1,000,194		999,856
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		1,984,357		1,984,358
Wells Fargo & Co.
3.19%, 07/14/06 (d)		384,690		384,732
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		2,577,422		2,577,323
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		2,585,116		2,585,026
Winston Funding Ltd.
3.23%, 07/23/05 (d)		549,337		549,337
World Savings Bank
3.13%, 09/09/05		269,283		269,278

				73,964,058


MONEY MARKET FUNDS (0.96%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (a) (c) (e)		3,077,519		3,077,519


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (Cont.)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (a) (e)		5,239,466	$	5,239,466
BlackRock Temp Cash Money Market Fund, 3.04% (c) (e)		111,450		111,450
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (e)		269,711		269,711

				8,698,146

REPURCHASE AGREEMENTS (c) (2.98%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 13,068,815 and effective yields of 3.40% - 3.44%. (f)	$	13,067,570		13,067,570
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 10,002,891 and effective yields of 3.43% -3.44%. (f)		10,001,937		10,001,937
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 3,847,262 and an effective yield of 3.40%. (f)		3,846,899		3,846,899

				26,916,406

TIME DEPOSITS (c) (1.41%)
American Express Centurion Bank
3.08%, 07/01/05		577,035		577,035
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		769,380		769,380
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		1,077,132		1,077,132
Credit Suisse First Boston
3.16%, 07/13/05		384,690		384,690
Deutsche Bank AG
3.31%, 07/01/05		31,637		31,637
HBOS Treasury Services PLC
3.39%, 12/14/05		461,628		461,628
Key Bank N.A.
3.34%, 07/01/05		2,308,139		2,308,139
Natexis Banques
2.98%, 08/18/05		769,380		769,380
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		1,384,884		1,384,849

The accompanying notes are an integral part of these financial statements.

170

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05	$	615,504	$	615,500
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		538,566		538,558
US Bank N.A.
3.12%, 07/08/05		769,380		769,380
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		2,308,139		2,308,140
Wells Fargo Bank N.A.
3.04%, 07/01/05		769,380		769,380

				12,764,828


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (c) (0.13%)
Federal National Mortgage Association
2.33%, 07/22/05	$	1,154,070	$	1,152,505

				1,152,505


TOTAL SHORT-TERM INVESTMENTS
(Cost: $167,291,118)				167,291,118

TOTAL INVESTMENTS (118.25%)				1,068,895,182

Other Assets, Less Liabilities (-18.25%)				(164,955,662	)

NET ASSETS (100.00%)			$	903,939,520

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

The accompanying notes are an integral part of these financial statements.

171

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

MASTER PORTFOLIOS (71.17%)
Active Stock Master Portfolio (a)			$	270,894,983
CoreAlpha Bond Master Portfolio (a)				117,422,688


TOTAL MASTER PORTFOLIOS				388,317,671


EXCHANGE-TRADED FUNDS (28.31%)
iShares MSCI EAFE Index Fund (a) (b)		2,022,575		105,962,704
iShares S&P MidCap 400 Index Fund (a) (b)		439,178		30,083,693
iShares S&P SmallCap 600 Index Fund (a) (b)		334,350		18,395,937


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $141,376,570)				154,442,334


SHORT-TERM INVESTMENTS (9.59%)

COMMERCIAL PAPER (c) (2.45%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	70,491		70,235
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		473,617		472,660
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		1,080,856		1,078,822
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		117,484		117,053
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		447,016		446,263
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		234,969		234,765
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		90,731		90,692
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		84,603		84,514
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		234,969		234,552
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		294,209		293,750
Charta LLC
3.31%, 08/11/05 (d)		352,453		351,124
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		220,870		220,687
Dexia Delaware LLC
3.04%, 07/01/05		311,568		311,568
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		176,226		175,203


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)	$	388,749	$	387,123
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)		623,247		622,172
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		46,994		46,829
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		254,490		254,067
General Electric Capital Corp.
2.74%, 07/07/05		117,484		117,431
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		223,220		222,919
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		782,445		779,138
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		710,750		709,700
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		117,484		117,485
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		343,848		343,543
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		448,790		448,247
Nordea North America Inc.
2.74%, 07/11/05		117,484		117,395
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		467,588		466,702
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		117,578		117,578
Polonius Inc.
3.15%, 07/11/05 (d)		164,478		164,334
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		764,280		763,780
Santander Central Hispano
2.75%, 07/08/05		293,711		293,554
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		420,333		419,512
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		854,581		852,281

The accompanying notes are an integral part of these financial statements.

172

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)	$	765,055	$	764,252
Three Pillars Funding Corp.
3.30%, 07/28/05		34,167		34,082
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		458,189		458,189
UBS Finance Delaware LLC
3.03%, 07/01/05		352,453		352,453
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		204,423		203,968
Yorktown Capital LLC
3.15%, 07/13/05		136,566		136,423

				13,375,045


FLOATING RATE NOTES (c) (4.14%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		437,042		437,044
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		575,673		575,677
American Express Centurion Bank
3.29%, 06/29/06		93,987		93,987
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		669,661		669,740
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		152,730		152,730
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		152,730		152,709
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		1,207,739		1,207,728
BMW US Capital LLC
3.19%, 07/14/06 (d)		234,969		234,969
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		798,893		798,818
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		878,783		878,727
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		58,742		58,742
Credit Suisse First Boston
3.15%, 05/09/06		234,969		234,969


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05	$	704,906	$	704,867
DEPFA Bank PLC
3.42%, 03/15/06		234,969		234,969
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)		568,624		568,644
Fairway Finance LLC
3.21%, 10/20/05		93,987		93,986
Fifth Third Bancorp
3.26%, 04/21/06 (d)		469,937		469,937
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		164,478		164,483
General Electric Capital Corp.
3.28%, 07/07/06		105,736		105,850
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		33,754		33,754
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		270,214		270,215
Hartford Life Global Funding Trust
3.21%, 07/15/06		234,969		234,969
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		704,906		704,907
HSBC Bank USA N.A.
3.57%, 05/04/06		82,239		82,295
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		1,033,862		1,033,866
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		246,717		246,717
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		916,378		916,510
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		352,453		352,453
Marshall & Ilsley Bank
3.36%, 02/20/06		234,969		235,149
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		352,453		352,453
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		352,453		352,427
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		869,384		869,503

The accompanying notes are an integral part of these financial statements.

173

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Norddeutsche Landesbank
3.11%, 07/27/05	$	234,969	$	234,963
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		704,906		704,906
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		904,629		904,629
Principal Life Income Funding Trusts
3.21%, 05/10/06		176,226		176,235
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		666,723		666,536
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		129,233		129,217
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		1,341,671		1,341,708
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		234,969		234,969
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		364,201		364,120
SunTrust Bank
3.17%, 04/28/06		352,453		352,453
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		805,942		805,892
Toronto-Dominion Bank
3.81%, 06/20/06		293,711		293,739
UniCredito Italiano SpA
3.34%, 06/14/06		305,459		305,356
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		606,023		606,023
Wells Fargo & Co.
3.19%, 07/14/06 (d)		117,484		117,497
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		787,145		787,115
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		789,495		789,467
Winston Funding Ltd.
3.23%, 07/23/05 (d)		167,768		167,768
World Savings Bank
3.13%, 09/09/05		82,239		82,237

				22,588,624


MONEY MARKET FUNDS (0.72%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (a) (c) (e)		939,874		939,874


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (Cont.)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (a) (e)		2,849,186	$	2,849,186
BlackRock Temp Cash Money Market Fund, 3.04% (c) (e)		34,037		34,037
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (e)		82,370		82,370

				3,905,467

REPURCHASE AGREEMENTS (c) (1.51%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 3,991,216 and effective yields of 3.40% - 3.44%. (f)	$	3,990,836		3,990,836
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 3,054,883 and effective yields of 3.43% - 3.44%. (f)		3,054,592		3,054,592
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 1,174,954 and an effective yield of 3.40%. (f)		1,174,843		1,174,843

				8,220,271

TIME DEPOSITS (c) (0.71%)
American Express Centurion Bank
3.08%, 07/01/05		176,226		176,226
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		234,969		234,969
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		328,956		328,956
Credit Suisse First Boston
3.16%, 07/13/05		117,484		117,485
Deutsche Bank AG
3.31%, 07/01/05		9,662		9,662
HBOS Treasury Services PLC
3.39%, 12/14/05		140,981		140,981
Key Bank N.A.
3.34%, 07/01/05		704,906		704,906
Natexis Banques
2.98%, 08/18/05		234,969		234,969
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		422,944		422,933

The accompanying notes are an integral part of these financial statements.

174

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05	$	187,975	$	187,974
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		164,478		164,476
US Bank N.A.
3.12%, 07/08/05		234,969		234,969
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		704,906		704,907
Wells Fargo Bank N.A.
3.04%, 07/01/05		234,969		234,969

				3,898,382


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (c) (0.06%)
Federal National Mortgage Association
2.33%, 07/22/05	$	352,453	$	351,975

				351,975


TOTAL SHORT-TERM INVESTMENTS
(Cost: $52,339,764)				52,339,764


TOTAL INVESTMENTS (109.07%)				595,099,769

Other Assets, Less Liabilities (-9.07%)				(49,477,358	)

NET ASSETS (100.00%)			$	545,622,411

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

The accompanying notes are an integral part of these financial statements.

175

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

MASTER PORTFOLIOS (61.12%)
Active Stock Master Portfolio (a)			$	184,022,698
CoreAlpha Bond Master Portfolio (a)				32,239,032


TOTAL MASTER PORTFOLIOS				216,261,730


EXCHANGE-TRADED FUNDS (30.12%)
iShares MSCI EAFE Index Fund (a) (b)		1,349,087		70,678,668
iShares S&P MidCap 400 Index Fund (a) (b)		351,508		24,078,297
iShares S&P SmallCap 600 Index Fund (a) (b)		214,489		11,801,185


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $99,099,025)				106,558,150


SHORT-TERM INVESTMENTS (25.34%)

COMMERCIAL PAPER (c) (3.50%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	65,182		64,956
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		437,952		437,068
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		999,464		997,583
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		108,637		108,236
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		413,354		412,658
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		217,275		217,087
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		83,899		83,862
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		78,232		78,150
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		217,275		216,889
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		272,054		271,629
Charta LLC
3.31%, 08/11/05 (d)		325,912		324,684
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		204,238		204,068
Dexia Delaware LLC
3.04%, 07/01/05		288,106		288,106
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		162,956		162,010


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)	$	359,475	$	357,972
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)		576,315		575,321
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		43,455		43,302
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		235,326		234,934
General Electric Capital Corp.
2.74%, 07/07/05		108,637		108,588
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		206,411		206,133
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		723,525		720,467
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		657,228		656,258
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		108,637		108,637
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		317,956		317,673
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		414,995		414,493
Nordea North America Inc.
2.74%, 07/11/05		108,637		108,555
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		432,377		431,558
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		108,724		108,724
Polonius Inc.
3.15%, 07/11/05 (d)		152,092		151,959
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		706,728		706,266
Santander Central Hispano
2.75%, 07/08/05		271,594		271,449
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		388,681		387,922
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		790,229		788,101

The accompanying notes are an integral part of these financial statements.

176

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)	$	707,445	$	706,702
Three Pillars Funding Corp.
3.30%, 07/28/05		31,594		31,516
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		423,686		423,686
UBS Finance Delaware LLC
3.03%, 07/01/05		325,912		325,912
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		189,029		188,608
Yorktown Capital LLC
3.15%, 07/13/05		126,282		126,150

				12,367,872


FLOATING RATE NOTES (c) (5.90%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		404,131		404,134
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		532,323		532,327
American Express Centurion Bank
3.29%, 06/29/06		86,910		86,910
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		619,233		619,307
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		141,229		141,229
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		141,229		141,209
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		1,116,793		1,116,782
BMW US Capital LLC
3.19%, 07/14/06 (d)		217,275		217,275
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		738,734		738,665
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)		812,608		812,557
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		54,319		54,319
Credit Suisse First Boston
3.15%, 05/09/06		217,275		217,275


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05	$	651,824	$	651,788
DEPFA Bank PLC
3.42%, 03/15/06		217,275		217,275
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)		525,805		525,824
Fairway Finance LLC
3.21%, 10/20/05		86,910		86,909
Fifth Third Bancorp
3.26%, 04/21/06 (d)		434,550		434,550
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		152,092		152,098
General Electric Capital Corp.
3.28%, 07/07/06		97,774		97,879
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		31,212		31,212
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		249,866		249,866
Hartford Life Global Funding Trust
3.21%, 07/15/06		217,275		217,275
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		651,824		651,825
HSBC Bank USA N.A.
3.57%, 05/04/06		76,046		76,099
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		956,009		956,013
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		228,139		228,138
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		847,372		847,497
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		325,912		325,912
Marshall & Ilsley Bank
3.36%, 02/20/06		217,275		217,442
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)		325,912		325,912
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		325,912		325,888
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		803,917		804,026

The accompanying notes are an integral part of these financial statements.

177

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Norddeutsche Landesbank
3.11%, 07/27/05	$	217,275	$	217,269
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		651,824		651,825
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		836,508		836,508
Principal Life Income Funding Trusts
3.21%, 05/10/06		162,956		162,964
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		616,517		616,343
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		119,501		119,487
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		1,240,639		1,240,673
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		217,275		217,275
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		336,776		336,701
SunTrust Bank
3.17%, 04/28/06		325,912		325,912
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		745,253		745,207
Toronto-Dominion Bank
3.81%, 06/20/06		271,594		271,619
UniCredito Italiano SpA
3.34%, 06/14/06		282,457		282,362
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		560,387		560,387
Wells Fargo & Co.
3.19%, 07/14/06 (d)		108,637		108,649
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		727,871		727,842
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		730,043		730,019
Winston Funding Ltd.
3.23%, 07/23/05 (d)		155,134		155,134
World Savings Bank
3.13%, 09/09/05		76,046		76,045

				20,887,638


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (12.68%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (a) (c) (e)		869,099	$	869,099
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (a) (e)		43,874,067		43,874,067
BlackRock Temp Cash Money Market Fund, 3.04% (c) (e)		31,474		31,474
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (e)		76,168		76,168

				44,850,808


REPURCHASE AGREEMENTS (c) (2.15%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 3,690,667 and effective yields of 3.40% - 3.44%. (f)	$	3,690,315		3,690,315
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 2,824,842 and effective yields of 3.43% - 3.44%. (f)		2,824,572		2,824,572
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 1,086,477 and an effective yield of 3.40%. (f)		1,086,374		1,086,374

				7,601,261


TIME DEPOSITS (c) (1.02%)
American Express Centurion Bank
3.08%, 07/01/05		162,956		162,956
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		217,275		217,275
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		304,185		304,185
Credit Suisse First Boston
3.16%, 07/13/05		108,637		108,637
Deutsche Bank AG
3.31%, 07/01/05		8,934		8,934
HBOS Treasury Services PLC
3.39%, 12/14/05		130,365		130,365
Key Bank N.A.
3.34%, 07/01/05		651,824		651,824

The accompanying notes are an integral part of these financial statements.

178

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (Cont.)
Natexis Banques
2.98%, 08/18/05	$	217,275	$	217,275
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		391,095		391,085
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		173,820		173,819
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		152,092		152,090
US Bank N.A.
3.12%, 07/08/05		217,275		217,275
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		651,824		651,824
Wells Fargo Bank N.A.
3.04%, 07/01/05		217,275		217,275

				3,604,819


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. GOVERNMENT AGENCY NOTES (c) (0.09%)
Federal National Mortgage Association
2.33%, 07/22/05	$	325,912	$	325,470

				325,470


TOTAL SHORT-TERM INVESTMENTS
(Cost: $89,637,868)				89,637,868


TOTAL INVESTMENTS (116.58%)				412,457,748

Other Assets, Less Liabilities (-16.58%)				(58,645,742	)

NET ASSETS (100.00%)			$	353,812,006

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

The accompanying notes are an integral part of these financial statements.

179

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SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (101.72%)

AEROSPACE & DEFENSE (1.68%)
Lockheed Martin Corp. (a)	204,426	$	13,261,115
Raytheon Co.	7,504		293,556
Rockwell Collins Inc. (a)	80,173		3,822,649

			17,377,320


AGRICULTURE (1.74%)
Altria Group Inc.	31,785		2,055,218
Bunge Ltd. (a)	54,800		3,474,320
Monsanto Co. (a)	56,611		3,559,134
Reynolds American Inc. (a)	42,923		3,382,332
UST Inc. (a)	121,062		5,527,691

			17,998,695


AIRLINES (0.07%)
Southwest Airlines Co.	51,385		715,793

			715,793


APPAREL (0.02%)
Polo Ralph Lauren Corp.	3,795		163,602

			163,602


AUTO PARTS & EQUIPMENT (0.28%)
American Axle & Manufacturing Holdings Inc. (a)	37,283		942,141
Autoliv Inc.	44,782		1,961,452

			2,903,593


BANKS (5.44%)
Bank of America Corp.	619,942		28,275,555
Fifth Third Bancorp	21,432		883,213
Popular Inc.	2,292		57,735
U.S. Bancorp	232,915		6,801,118
UnionBanCal Corp.	5,121		342,697
Wachovia Corp.	220,321		10,927,922
Wells Fargo & Co.	143,063		8,809,820

			56,098,060


BEVERAGES (3.01%)
Anheuser-Busch Companies Inc.	191,328		8,753,256
Coca-Cola Co. (The)	290,261		12,118,397
Coca-Cola Enterprises Inc. (a)	83,622		1,840,520
Pepsi Bottling Group Inc. (a)	271,555		7,769,189
PepsiAmericas Inc. (a)	23,869		612,479

			31,093,841


BIOTECHNOLOGY (0.66%)
Amgen Inc. (b)	43,519		2,631,159
Celgene Corp. (b)	47,587		1,940,122
Genentech Inc. (b)	27,395		2,199,271

			6,770,552


Security	Shares	Value

COMMON STOCKS (Cont.)

CHEMICALS (0.28%)
Dow Chemical Co. (The)	6,168	$	274,661
Huntsman Corp. (b)	10,602		214,903
International Flavors & Fragrances Inc. (a)	46,305		1,677,167
Sigma-Aldrich Corp. (a)	3,068		171,931
Valspar Corp. (The) (a)	10,634		513,516

			2,852,178


COMMERCIAL SERVICES (2.06%)
Accenture Ltd. (a) (b)	289,495		6,562,852
Career Education Corp. (a) (b)	6,772		247,923
Cendant Corp.	502,348		11,237,525
Convergys Corp. (a) (b)	103,641		1,473,775
Deluxe Corp. (a)	3,844		156,066
Manpower Inc.	21,459		853,639
PHH Corp. (b)	10,764		276,850
Rent-A-Center Inc. (b)	20,091		467,919

			21,276,549


COMPUTERS (2.88%)
Apple Computer Inc. (b)	372,777		13,721,921
Computer Sciences Corp. (b)	106,802		4,667,247
Dell Inc. (b)	117,109		4,626,977
International Business Machines Corp.	13,665		1,013,943
Sun Microsystems Inc. (b)	1,010,093		3,767,647
SunGard Data Systems Inc. (b)	27,123		953,916
Synopsys Inc. (a) (b)	59,806		996,966

			29,748,617


COSMETICS & PERSONAL CARE (1.26%)
Gillette Co. (The)	95,725		4,846,557
Kimberly-Clark Corp.	83,283		5,212,683
Procter & Gamble Co.	56,210		2,965,077

			13,024,317


DISTRIBUTION & WHOLESALE (0.29%)
CDW Corp.	4,924		281,111
Grainger (W.W.) Inc. (a)	39,915		2,186,943
Ingram Micro Inc. Class A (b)	34,483		540,004

			3,008,058


DIVERSIFIED FINANCIAL SERVICES (10.51%)
CIT Group Inc.	64,280		2,762,112
Citigroup Inc.	729,529		33,726,126
Countrywide Financial Corp.	69,335		2,677,024
Federal Home Loan Mortgage Corp.	83,079		5,419,243
Federal National Mortgage Association	244,745		14,293,108
Goldman Sachs Group Inc. (The)	57,780		5,894,716
JP Morgan Chase & Co.	454,921		16,067,810
MBNA Corp.	471,654		12,338,469

The accompanying notes are an integral part of these financial statements.

180

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

DIVERSIFIED FINANCIAL SERVICES (Cont.)
Merrill Lynch & Co. Inc.	4,075	$	224,166
Morgan Stanley	287,904		15,106,323

			108,509,097


ELECTRIC (2.96%)
Alliant Energy Corp.	46,169		1,299,657
Constellation Energy Group Inc.	80,969		4,671,102
Edison International	190,701		7,732,926
Energy East Corp.	7,178		208,018
Entergy Corp. (a)	105,849		7,996,892
FirstEnergy Corp. (a)	139,741		6,722,940
NiSource Inc.	26,713		660,612
NSTAR	14,069		433,747
Pepco Holdings Inc.	5,426		129,898
Progress Energy Inc.	6,974		315,504
Puget Energy Inc. (a)	16,245		379,808

			30,551,104


ELECTRONICS (0.54%)
Agilent Technologies Inc. (a) (b)	196,925		4,533,213
Parker Hannifin Corp.	17,497		1,084,989

			5,618,202


ENTERTAINMENT (0.13%)
Regal Entertainment Group Class A (a)	68,590		1,294,979

			1,294,979


ENVIRONMENTAL CONTROL (0.02%)
Republic Services Inc.	7,012		252,502

			252,502


FOOD (1.95%)
Archer-Daniels-Midland Co.	470,779		10,065,255
Hormel Foods Corp.	8,006		234,816
Pilgrim’s Pride Corp.	22,870		780,553
Smithfield Foods Inc. (b)	44,228		1,206,098
SUPERVALU Inc.	115,916		3,780,021
Tyson Foods Inc. Class A (a)	230,855		4,109,219

			20,175,962


FOREST PRODUCTS & PAPER (0.80%)
Georgia-Pacific Corp.	197,425		6,278,115
Louisiana-Pacific Corp.	80,931		1,989,284

			8,267,399


GAS (0.17%)
Sempra Energy	36,483		1,507,113
UGI Corp.	7,360		205,344

			1,712,457


Security	Shares	Value

COMMON STOCKS (Cont.)

HAND & MACHINE TOOLS (0.45%)
Black & Decker Corp. (a)	51,311	$	4,610,293

			4,610,293


HEALTH CARE-PRODUCTS (5.47%)
Alcon Inc. (a)	5,403		590,818
Becton, Dickinson & Co.	201,312		10,562,841
Boston Scientific Corp. (b)	454,366		12,267,882
Guidant Corp.	4,924		331,385
Hillenbrand Industries Inc.	5,716		288,944
Johnson & Johnson (a)	447,154		29,065,010
Medtronic Inc.	63,784		3,303,373

			56,410,253


HEALTH CARE-SERVICES (1.79%)
Coventry Health Care Inc. (b)	66,380		4,696,385
DaVita Inc. (b)	3,020		137,350
Humana Inc. (b)	103,242		4,102,837
Lincare Holdings Inc. (b)	22,289		910,283
UnitedHealth Group Inc.	166,051		8,657,899

			18,504,754


HOME BUILDERS (0.98%)
Centex Corp.	32,667		2,308,577
M.D.C. Holdings Inc.	18,373		1,511,179
NVR Inc. (a) (b)	7,694		6,232,140
Standard-Pacific Corp.	973		85,575

			10,137,471


HOME FURNISHINGS (0.36%)
Harman International Industries Inc.	44,923		3,654,935
Whirlpool Corp. (a)	267		18,719

			3,673,654


HOUSEHOLD PRODUCTS & WARES (0.84%)
American Greetings Corp. Class A (a)	21,770		576,905
Blyth Inc.	1,891		53,043
Clorox Co. (The)	144,100		8,029,252

			8,659,200


INSURANCE (4.27%)
ACE Ltd.	118,044		5,294,273
Allstate Corp. (The) (a)	45,245		2,703,389
Ambac Financial Group Inc.	5,835		407,050
American International Group Inc.	243,352		14,138,751
Axis Capital Holdings Ltd.	55,884		1,581,517
Everest Re Group Ltd. (a)	49,296		4,584,528
Lincoln National Corp.	50,810		2,384,005
Loews Corp.	6,506		504,215
MetLife Inc.	38,250		1,718,955
Nationwide Financial Services Inc.	19,895		754,816

The accompanying notes are an integral part of these financial statements.

181

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

INSURANCE (Cont.)
PartnerRe Ltd.	34,742	$	2,238,080
Radian Group Inc.	8,009		378,185
Reinsurance Group of America Inc.	24,132		1,122,379
RenaissanceRe Holdings Ltd. (a)	42,362		2,085,905
StanCorp Financial Group Inc.	13,443		1,029,465
XL Capital Ltd. Class A (a)	41,929		3,120,356

			44,045,869


INTERNET (1.10%)
Amazon.com Inc. (a) (b)	47,787		1,580,794
Google Inc. Class A (b)	33,407		9,826,669

			11,407,463


INVESTMENT COMPANIES (0.07%)
American Capital Strategies Ltd.	19,368		699,378

			699,378


IRON & STEEL (0.26%)
Nucor Corp.	25,831		1,178,410
Steel Dynamics Inc.	43,796		1,149,645
United States Steel Corp. (a)	9,753		335,211

			2,663,266


LEISURE TIME (0.55%)
Brunswick Corp.	2,400		103,968
Polaris Industries Inc. (a)	24,878		1,343,412
Royal Caribbean Cruises Ltd. (a)	53,209		2,573,187
Sabre Holdings Corp. (a)	80,622		1,608,409

			5,628,976


LODGING (0.06%)
Choice Hotels International Inc.	9,942		653,189

			653,189


MACHINERY (0.44%)
AGCO Corp. (b)	9,816		187,682
Cummins Inc. (a)	31,317		2,336,561
Graco Inc.	45,620		1,554,273
Rockwell Automation Inc.	8,810		429,135

			4,507,651


MANUFACTURING (3.90%)
General Electric Co.	705,618		24,449,664
Ingersoll-Rand Co. Class A	13,086		933,686
3M Co.	205,927		14,888,522

			40,271,872


MEDIA (1.94%)
Comcast Corp. Class A (b)	353,284		10,845,819
Comcast Corp. Class A Special (b)	15,886		475,786


Security	Shares	Value

COMMON STOCKS (Cont.)

MEDIA (Cont.)
EchoStar Communications Corp.	11,580	$	349,137
Gannett Co. Inc.	10,731		763,296
Gemstar-TV Guide International Inc. (b)	21,257		76,313
Media General Inc. Class A (a)	1,440		93,254
Meredith Corp.	16,254		797,421
Tribune Co. (a)	55,705		1,959,702
Viacom Inc. Class B	104,249		3,338,053
Walt Disney Co. (The) (a)	24,494		616,759
Washington Post Co. (The) Class B	873		728,981

			20,044,521


MINING (1.16%)
Phelps Dodge Corp. (a)	129,780		12,004,650

			12,004,650


OIL & GAS (9.21%)
Anadarko Petroleum Corp.	104,639		8,596,094
Chevron Corp.	6,153		344,076
ConocoPhillips	328,150		18,865,343
Devon Energy Corp.	86,334		4,375,407
Exxon Mobil Corp.	431,383		24,791,581
Marathon Oil Corp.	150,984		8,058,016
Occidental Petroleum Corp. (a)	157,205		12,093,781
Patterson-UTI Energy Inc.	110,891		3,086,097
Pogo Producing Co.	52,854		2,744,180
Valero Energy Corp.	152,597		12,071,949

			95,026,524


OIL & GAS SERVICES (1.05%)
Baker Hughes Inc.	211,155		10,802,690

			10,802,690


PACKAGING & CONTAINERS (0.01%)
Pactiv Corp. (b)	6,600		142,428

			142,428


PHARMACEUTICALS (6.88%)
Allergan Inc. (a)	115,317		9,829,621
Barr Pharmaceuticals Inc. (b)	28,081		1,368,668
Cardinal Health Inc. (a)	135,275		7,789,134
Express Scripts Inc. (b)	2,467		123,301
Forest Laboratories Inc. (b)	29,179		1,133,604
Gilead Sciences Inc. (b)	272,495		11,987,055
King Pharmaceuticals Inc. (b)	20,728		215,986
Merck & Co. Inc. (a)	556,569		17,142,325
Pfizer Inc.	470,144		12,966,572
Wyeth	189,678		8,440,671

			70,996,937

The accompanying notes are an integral part of these financial statements.

182

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares	Value

COMMON STOCKS (Cont.)

REAL ESTATE INVESTMENT TRUSTS (0.12%)
Health Care REIT Inc.	10,216	$	385,041
Mack-Cali Realty Corp.	8,068		365,480
Trizec Properties Inc. (a)	23,061		474,365

			1,224,886


RETAIL (6.88%)
Aeropostale Inc. (b)	6,428		215,981
American Eagle Outfitters Inc.	49,688		1,522,937
AutoNation Inc. (a) (b)	119,209		2,446,169
Barnes & Noble Inc. (a) (b)	44,245		1,716,706
Best Buy Co. Inc.	11,042		756,929
Brinker International Inc. (b)	26,949		1,079,307
CBRL Group Inc.	39,677		1,541,848
Claire’s Stores Inc.	29,489		709,210
Costco Wholesale Corp. (a)	236,645		10,606,429
GameStop Corp. Class B (b)	14,463		432,444
Gap Inc. (The)	151,562		2,993,349
Home Depot Inc.	495,424		19,271,994
May Department Stores Co. (The)	13,253		532,240
Michaels Stores Inc.	18,673		772,502
PETCO Animal Supplies Inc. (b)	15,179		445,048
Staples Inc.	76,083		1,622,090
Wal-Mart Stores Inc.	504,550		24,319,310

			70,984,493


SAVINGS & LOANS (0.26%)
Astoria Financial Corp.	6,081		173,126
Independence Community Bank Corp.	16,104		594,721
Washington Mutual Inc.	48,086		1,956,619

			2,724,466


SEMICONDUCTORS (2.89%)
Broadcom Corp. Class A (a) (b)	58,503		2,077,442
Intel Corp. (a)	999,015		26,034,331
Lam Research Corp. (b)	8,648		250,273
QLogic Corp. (b)	46,248		1,427,676

			29,789,722


SOFTWARE (5.05%)
Adobe Systems Inc.	235,450		6,738,579
Autodesk Inc.	186,573		6,412,514
Dun & Bradstreet Corp. (b)	17,023		1,049,468
Intuit Inc. (a) (b)	72,709		3,279,903
Microsoft Corp.	1,394,514		34,639,728

			52,120,192


TELECOMMUNICATIONS (7.78%)
AT&T Corp.	73,889		1,406,847
CenturyTel Inc.	5,507		190,707
Cisco Systems Inc. (a) (b)	1,185,950		22,663,504


Security	Shares or principal		Value

COMMON STOCKS (Cont.)

TELECOMMUNICATIONS (Cont.)
Harris Corp.		11,314	$	353,110
Motorola Inc.		565,219		10,320,899
Nextel Communications Inc. Class A (b)		58,688		1,896,209
QUALCOMM Inc.		468,032		15,449,736
Scientific-Atlanta Inc.		77,961		2,593,762
Sprint Corp. (FON Group)		226,911		5,693,197
Verizon Communications Inc. (a)		572,582		19,782,708

				80,350,679


TRANSPORTATION (1.20%)
Alexander & Baldwin Inc.		10,118		468,969
Burlington Northern Santa Fe Corp.		103,460		4,870,897
Hunt (J.B.) Transport Services Inc.		85,166		1,643,704
Norfolk Southern Corp.		21,075		652,482
Overseas Shipholding Group Inc. (a)		19,093		1,138,897
Ryder System Inc. (a)		84,538		3,094,091
Teekay Shipping Corp. (a)		12,629		554,413

				12,423,453


TOTAL COMMON STOCKS
(Cost: $1,004,015,578)				1,049,921,807


SHORT-TERM INVESTMENTS (7.61%)

COMMERCIAL PAPER (c) (1.94%)
Alpine Securitization Corp.
3.29%, 08/08/05	$	105,252		104,886
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (d)		707,171		705,743
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (d)		1,613,857		1,610,820
ANZ National Bank Ltd.
2.94%, 08/15/05 (d)		175,419		174,758
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		667,453		666,327
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		350,839		350,534
Bryant Park Funding LLC
3.10%, 07/06/05 (d)		135,473		135,414
Cancara Asset Securitisation LLC
3.15%, 07/13/05 (d)		126,323		126,190
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (d)		350,839		350,217
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (d)		439,292		438,606

The accompanying notes are an integral part of these financial statements.

183

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Charta LLC
3.31%, 08/11/05 (d)	$	526,258	$	524,274
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (d)		329,788		329,514
Dexia Delaware LLC
3.04%, 07/01/05		465,212		465,212
Edison Asset Securitization LLC
3.12%, 09/06/05 (d)		263,129		261,601
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (d)		580,452		578,026
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (d)		930,589		928,982
Ford Credit Floorplan Motown
3.33%, 08/08/05 (d)		70,168		69,921
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		379,986		379,354
General Electric Capital Corp.
2.74%, 07/07/05		175,419		175,339
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		333,297		332,846
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (d)		1,168,292		1,163,354
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (d)		1,061,241		1,059,674
Liberty Street Funding Corp.
3.05%, 07/01/05 (d)		175,419		175,419
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (d)		513,410		512,954
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		670,102		669,291
Nordea North America Inc.
2.74%, 07/11/05		175,419		175,286
Park Avenue Receivables Corp.
3.25%, 07/22/05 (d)		698,169		696,847
Park Granada LLC
3.08% - 3.09%, 07/01/05 (d)		175,560		175,559
Polonius Inc.
3.15%, 07/11/05 (d)		245,587		245,372
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (d)		1,141,169		1,140,422


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (c) (Cont.)
Santander Central Hispano
2.75%, 07/08/05	$	438,548	$	438,314
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (d)		627,612		626,387
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (d)		1,276,000		1,272,565
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (d)		1,142,327		1,141,129
Three Pillars Funding Corp.
3.30%, 07/28/05		51,015		50,889
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (d)		684,135		684,135
UBS Finance Delaware LLC
3.03%, 07/01/05		526,258		526,258
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		305,230		304,549
Yorktown Capital LLC
3.15%, 07/13/05		203,911		203,697

				19,970,665


FLOATING RATE NOTES (c) (3.27%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (d)		652,560		652,564
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		859,554		859,562
American Express Centurion Bank
3.29%, 06/29/06		140,335		140,336
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		999,890		1,000,009
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (d)		228,045		228,045
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		228,045		228,013
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (d)		1,803,310		1,803,293
BMW US Capital LLC
3.19%, 07/14/06 (d)		350,839		350,839
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		1,192,851		1,192,739

The accompanying notes are an integral part of these financial statements.

184

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (d)	$	1,312,136	$	1,312,053
Commodore CDO Ltd.
3.47%, 12/12/05 (d)		87,710		87,710
Credit Suisse First Boston
3.15%, 05/09/06		350,839		350,839
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		1,052,516		1,052,456
DEPFA Bank PLC
3.42%, 03/15/06		350,839		350,839
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (d)		849,029		849,060
Fairway Finance LLC
3.21%, 10/20/05		140,335		140,333
Fifth Third Bancorp
3.26%, 04/21/06 (d)		701,677		701,677
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (d)		245,587		245,595
General Electric Capital Corp.
3.28%, 07/07/06		157,877		158,048
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		50,399		50,399
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		403,464		403,464
Hartford Life Global Funding Trust
3.21%, 07/15/06		350,839		350,839
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (d)		1,052,516		1,052,517
HSBC Bank USA N.A.
3.57%, 05/04/06		122,793		122,878
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (d)		1,543,689		1,543,697
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (d)		368,380		368,381
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (d)		1,368,270		1,368,470
Lothian Mortgages PLC
3.29%, 01/24/06 (d)		526,258		526,258
Marshall & Ilsley Bank
3.36%, 02/20/06		350,839		351,108


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Metropolitan Life Global Funding I
3.14%, 07/06/06 (d)	$	526,258	$	526,258
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		526,258		526,219
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (d)		1,298,103		1,298,280
Norddeutsche Landesbank
3.11%, 07/27/05		350,839		350,830
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (d)		1,052,516		1,052,516
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		1,350,728		1,350,728
Principal Life Income Funding Trusts
3.21%, 05/10/06		263,129		263,142
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		995,504		995,224
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (d)		192,961		192,938
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (d)		2,003,288		2,003,341
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (d)		350,839		350,839
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		543,800		543,678
SunTrust Bank
3.17%, 04/28/06		526,258		526,258
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (d)		1,203,376		1,203,303
Toronto-Dominion Bank
3.81%, 06/20/06		438,548		438,590
UniCredito Italiano SpA
3.34%, 06/14/06		456,090		455,936
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (d)		904,870		904,871
Wells Fargo & Co.
3.19%, 07/14/06 (d)		175,419		175,439
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (d)		1,175,309		1,175,264
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (d)		1,178,817		1,178,777

The accompanying notes are an integral part of these financial statements.

185

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (c) (Cont.)
Winston Funding Ltd.
3.23%, 07/23/05 (d)	$	250,499	$	250,499
World Savings Bank
3.13%, 09/09/05		122,793		122,791

				33,727,742


MONEY MARKET FUNDS (0.57%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (c) (e) (f)		1,403,354		1,403,354
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (e) (f)		4,282,808		4,282,808
BlackRock Temp Cash Money Market Fund, 3.04% (c) (f)		50,822		50,822
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (c) (f)		122,989		122,989

				5,859,973

REPURCHASE AGREEMENTS (c) (1.19%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 5,959,502 and effective yields of 3.40% - 3.44%. (g)	$	5,958,835		5,958,835
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 4,561,336 and effective yields of 3.43% - 3.44%. (g)		4,560,901		4,560,901
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 1,754,358 and an effective yield of 3.40%. (g)		1,754,193		1,754,193

				12,273,929


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (0.56%)
American Express Centurion Bank
3.08%, 07/01/05	$	263,129	$	263,129
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05		350,839		350,839
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05		491,174		491,175
Credit Suisse First Boston
3.16%, 07/13/05		175,419		175,419
Deutsche Bank AG
3.31%, 07/01/05		14,426		14,426
HBOS Treasury Services PLC
3.39%, 12/14/05		210,503		210,503
Key Bank N.A.
3.34%, 07/01/05		1,052,516		1,052,516
Natexis Banques
2.98%, 08/18/05		350,839		350,839
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05		631,509		631,494
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05		280,671		280,669
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05		245,587		245,583
US Bank N.A.
3.12%, 07/08/05		350,839		350,839
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05		1,052,516		1,052,516
Wells Fargo Bank N.A.
3.04%, 07/01/05		350,839		350,839

				5,820,786


U.S. GOVERNMENT AGENCY NOTES (c) (0.05%)
Federal National Mortgage Association
2.33%, 07/22/05		526,258		525,544

				525,544

The accompanying notes are an integral part of these financial statements.

186

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. TREASURY OBLIGATIONS (0.03%)
U.S. Treasury Bill
3.04%, 09/22/05 (h) (i)	$	340,000	$	337,642

				337,642

TOTAL SHORT-TERM INVESTMENTS
(Cost: $78,516,298)				78,516,281


TOTAL INVESTMENTS IN SECURITIES (109.33%)
(Cost: $1,082,531,876)				1,128,438,088

Other Assets, Less Liabilities (-9.33%)				(96,328,453	)

NET ASSETS (100.00%)			$	1,032,109,635

(a)	All or a portion of this security represents a security on loan. See Note 4.

(b)	Non-income earning security.

(c)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(f)	The rate quoted is the annualized seven-day yield of the fund at period end.

(g)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

(h)	The rate quoted is the yield to maturity.

(i)	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of June 30, 2005, the open futures contracts held by the Master Portfolio were as follows:


Futures contracts (expiration date)	Number of contracts	Notional contract value		Net unrealized depreciation

S&P 500 Index (09/16/05)	27	$	8,069,625	$	(42,178	)


				$	(42,178	)

The accompanying notes are an integral part of these financial statements.

187

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2005

(Unaudited)


Security	Principal		Value

CORPORATE BONDS & NOTES (34.78%)

ADVERTISING (0.13%)
Norfolk Southern Corp.
5.59%, 05/17/25	$	598,000	$	621,519
NTL Cable PLC
8.75%, 04/15/14		500,000		520,625

				1,142,144


AEROSPACE & DEFENSE (0.06%)
Armor Holdings Inc.
8.25%, 08/15/13		500,000		540,625

				540,625


AGRICULTURE (0.74%)
Monsanto Co.
7.38%, 08/15/12		1,500,000		1,755,030
RJ Reynolds Tobacco Holdings Inc.
7.30%, 07/15/15 (a)		500,000		500,000
UST Inc.
6.63%, 07/15/12		4,000,000		4,469,836

				6,724,866


AUTO MANUFACTURERS (0.43%)
DaimlerChrysler NA Holding Corp.
4.13%, 03/07/07		2,000,000		1,991,308
4.75%, 01/15/08		1,000,000		1,003,864
4.88%, 06/15/10		950,000		945,632

				3,940,804


BANKS (2.17%)
Allstate Corp. (The)
5.55%, 05/09/35		900,000		931,311
Bank of America Corp.
7.80%, 02/15/10		4,500,000		5,146,767
Cincinnati Financial Corp.
6.13%, 11/01/34		1,400,000		1,537,423
CIT Group Funding Company of Canada
4.65%, 07/01/10 (a)		3,750,000		3,771,187
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		3,122,136
Popular North America Inc.
6.13%, 10/15/06		1,750,000		1,783,855
Wachovia Corp.
7.50%, 07/15/06		2,000,000		2,064,162
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,276,380

				19,633,221


BUILDING MATERIALS (0.18%)
Masco Corp.
5.88%, 07/15/12		1,500,000		1,609,569

				1,609,569


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

CHEMICALS (0.06%)
Equistar Chemicals Funding
10.63%, 05/01/11	$	500,000	$	551,875

				551,875


COMMERCIAL SERVICES (0.59%)
Cendant Corp.
6.25%, 01/15/08		4,000,000		4,172,472
7.38%, 01/15/13		1,000,000		1,144,959

				5,317,431


DISTRIBUTION & WHOLESALE (0.05%)
Wesco Distribution Inc.
9.13%, 06/01/08		433,000		441,660

				441,660


DIVERSIFIED FINANCIAL SERVICES (9.05%)
Alamosa Delaware Inc.
8.50%, 01/31/12		500,000		524,375
Boeing Capital Corp.
6.50%, 02/15/12 (b)		1,750,000		1,957,539
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,535,789
CIT Group Inc.
5.75%, 09/25/07		5,000,000		5,156,570
Countrywide Home Loans Inc.
5.50%, 02/01/07		3,000,000		3,058,665
5.63%, 05/15/07		1,500,000		1,536,883
Ford Motor Credit Co.
5.80%, 01/12/09		7,100,000		6,740,002
6.88%, 02/01/06		2,000,000		2,019,990
General Electric Capital Corp.
2.80%, 01/15/07		6,500,000		6,385,944
3.45%, 07/16/07		6,000,000		5,921,562
General Motors Acceptance Corp.
6.13%, 09/15/06		4,500,000		4,503,222
6.75%, 01/15/06		1,000,000		1,007,890
Global Cash Access LLC
8.75%, 03/15/12		500,000		543,750
Goldman Sachs Group Inc.
3.88%, 01/15/09		3,000,000		2,959,815
5.13%, 01/15/15		3,500,000		3,564,925
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,987,158
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		1,995,410
Lehman Brothers Holdings Inc.
4.00%, 01/22/08		5,500,000		5,480,337
4.80%, 03/13/14		1,000,000		1,010,475
Meridian Funding Co. LLC
3.32%, 10/06/08 (a)		2,806,228		2,805,313

The accompanying notes are an integral part of these financial statements.

188

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

DIVERSIFIED FINANCIAL SERVICES (Cont.)
Merrill Lynch & Co. Inc.
3.28%, 10/19/07	$	8,000,000	$	8,003,016
SLM Corp.
5.63%, 04/10/07 (b)		7,500,000		7,689,375
Technical Olympic USA Inc.
9.00%, 07/01/10		500,000		514,375

				81,902,380


ELECTRIC (2.19%)
AES Corp.
8.75%, 05/15/13 (a)		500,000		558,750
Constellation Energy Group Inc.
6.35%, 04/01/07		1,500,000		1,552,188
Exelon Generation Co. LLC
5.35%, 01/15/14		1,500,000		1,555,656
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,585,494
8.63%, 04/15/31		700,000		966,431
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,330,554
TXU Energy Co.
6.13%, 03/15/08		5,750,000		5,973,882
7.00%, 03/15/13		4,750,000		5,297,352

				19,820,307


ELECTRICAL COMPONENTS & EQUIPMENT (0.06%)
Rayovac Corp.
8.50%, 10/01/13		500,000		522,500

				522,500


ENTERTAINMENT (0.11%)
Gaylord Entertainment Co.
8.00%, 11/15/13		500,000		525,625
Pinnacle Entertainment Inc.
8.25%, 03/15/12		500,000		520,000

				1,045,625


FOOD (0.25%)
Delhaize America Inc.
8.13%, 04/15/11		2,000,000		2,243,168

				2,243,168


FOREST PRODUCTS & PAPER (0.44%)
Georgia Pacific Corp.
8.13%, 05/15/11		1,500,000		1,691,250
Weyerhaeuser Co.
6.13%, 03/15/07		2,204,000		2,266,012

				3,957,262


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

HEALTH CARE-SERVICES (0.94%)
Humana Inc.
7.25%, 08/01/06	$	1,000,000	$	1,027,423
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,580,100
4.88%, 03/15/15		1,250,000		1,276,544
5.00%, 08/15/14		2,500,000		2,586,780

				8,470,847


HOME BUILDERS (0.10%)
D.R. Horton Inc.
6.88%, 05/01/13		500,000		541,053
Pulte Homes Inc.
6.00%, 02/15/35		400,000		389,180

				930,233


HOUSEHOLD PRODUCTS & WARES (0.58%)
Clorox Co. (The)
3.53%, 12/14/07		5,250,000		5,256,951

				5,256,951


INSURANCE (3.32%)
AIG SunAmerica Global Finance IX
5.10%, 01/17/07 (a)		5,000,000		5,062,115
Allstate Financial Global Funding
2.50%, 06/20/08 (a)		4,970,000		4,746,569
American International Group Inc.
2.88%, 05/15/08		2,500,000		2,402,627
ASIF Global Financing XVII
3.85%, 11/26/07 (a)		6,500,000		6,421,597
Berkshire Hathaway Finance Corp.
3.18%, 01/11/08		1,400,000		1,399,822
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,179,124
Markel Corp.
7.35%, 08/15/34		1,000,000		1,121,884
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,700,920

				30,034,658


IRON & STEEL (0.21%)
International Steel Group Inc.
6.50%, 04/15/14		2,000,000		1,920,000

				1,920,000


LODGING (1.12%)
Harrah’s Operating Co. Inc.
5.50%, 07/01/10		1,750,000		1,806,077
7.13%, 06/01/07		3,650,000		3,830,562
Marriott International Inc.
4.63%, 06/15/12		750,000		742,601
7.00%, 01/15/08		3,530,000		3,751,207

				10,130,447

The accompanying notes are an integral part of these financial statements.

189

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

MACHINERY (0.06%)
Columbus McKinnon Corp.
10.00%, 08/01/10	$	500,000	$	542,500

				542,500


MEDIA (0.84%)
Cox Communications Inc.
7.75%, 08/15/06		1,000,000		1,032,602
Dex Media East LLC
12.13%, 11/15/12		325,000		389,188
Time Warner Inc.
7.70%, 05/01/32		3,200,000		4,048,074
Walt Disney Co. (The)
6.38%, 03/01/12		1,500,000		1,658,825
XM Satellite Radio Inc.
8.71%, 05/01/09		500,000		504,375

				7,633,064


MINING (0.07%)
Phelps Dodge Corp.
8.75%, 06/01/11		500,000		604,533

				604,533


OFFICE & BUSINESS EQUIPMENT (0.06%)
Xerox Corp.
9.75%, 01/15/09		500,000		568,125

				568,125


OIL & GAS (1.57%)
Amerada Hess Corp.
7.88%, 10/01/29		1,100,000		1,389,853
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,830,888
Chesapeake Energy Corp.
6.88%, 01/15/16		500,000		521,250
ConocoPhillips Holding Co.
6.95%, 04/15/29		1,200,000		1,507,579
Devon Financing Corp. ULC
7.88%, 09/30/31		1,250,000		1,625,878
Diamond Offshore Drilling Inc.
4.88%, 07/01/15 (a)		1,750,000		1,749,207
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,991,060
5.75%, 03/01/35 (a)		1,500,000		1,464,431
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,095,000

				14,175,146


PHARMACEUTICALS (0.20%)
Coventry Health Care Inc.
5.88%, 01/15/12		1,000,000		1,017,500
6.13%, 01/15/15		750,000		763,125

				1,780,625


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

PIPELINES (0.91%)
ANR Pipeline Co.
8.88%, 03/15/10	$	500,000	$	548,464
Kinder Morgan Energy Partners LP
6.75%, 03/15/11		4,500,000		4,948,970
7.13%, 03/15/12		1,500,000		1,698,789
Utilicorp United Inc.
7.63%, 11/15/09		500,000		516,250
Williams Companies Inc.
7.13%, 09/01/11		500,000		540,000

				8,252,473


REAL ESTATE INVESTMENT TRUSTS (1.36%)
Duke Realty LP
3.70%, 12/22/06		4,250,000		4,252,720
iStar Financial Inc.
5.13%, 04/01/11		1,500,000		1,494,131
5.15%, 03/01/12		1,000,000		988,341
Simon Property Group LP
6.38%, 11/15/07		5,341,000		5,575,977

				12,311,169


RETAIL (0.62%)
Denny’s Corp./Denny’s Holdings Inc.
10.00%, 10/01/12		500,000		520,000
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,258,744
8.88%, 04/15/11		1,550,000		1,878,014

				5,656,758


TELECOMMUNICATIONS (4.39%)
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,322,612
CenturyTel Inc.
7.88%, 08/15/12		3,750,000		4,283,490
Corning Inc.
6.05%, 06/15/15		2,000,000		2,002,500
Dobson Communications Corp.
8.88%, 10/01/13		500,000		457,500
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,743,605
Nextel Communications Inc.
5.95%, 03/15/14		2,200,000		2,285,250
Nextel Partners Inc.
8.13%, 07/01/11		500,000		542,500
Sprint Capital Corp.
6.00%, 01/15/07		9,000,000		9,222,714
6.88%, 11/15/28		1,000,000		1,147,882
TELUS Corp.
7.50%, 06/01/07		3,600,000		3,808,444
Verizon New York Inc.
7.38%, 04/01/32		1,000,000		1,174,517

The accompanying notes are an integral part of these financial statements.

190

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

TELECOMMUNICATIONS (Cont.)
Verizon New York Inc. Class A
6.88%, 04/01/12	$	7,000,000	$	7,736,211

				39,727,225


TRANSPORTATION (1.92%)
Burlington Northern Santa Fe Corp.
7.88%, 04/15/07		4,850,000		5,136,538
CNF Inc.
6.70%, 05/01/34		2,500,000		2,786,493
FedEx Corp.
2.65%, 04/01/07		8,250,000		8,035,038
Norfolk Southern Corp.
7.25%, 02/15/31		652,000		832,664
8.63%, 05/15/10		500,000		587,456

				17,378,189


TOTAL CORPORATE BONDS & NOTES
(Cost: $316,051,540)				314,766,380


COLLATERALIZED MORTGAGE OBLIGATIONS (4.07%)

MORTGAGE-BACKED SECURITIES (4.07%)
Bank of America Alternative Loan Trust, Series 2003-5, Class 2A1
5.00%, 07/25/18		4,395,286		4,323,904
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 5A1
5.00%, 08/25/19		5,583,007		5,598,712
GE Capital Commercial Mortgage Corp., Series 2003-C2, Class A2
4.17%, 07/10/37		3,200,000		3,194,868
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIC3, Class A2
6.04%, 11/15/35		2,100,000		2,201,844
Master Asset Securitization Trust, Series 2003-10, Class 3A1
5.50%, 11/25/33		9,638,842		9,710,651
Master Asset Securitization Trust, Series 2003-5, Class 4A4
5.50%, 06/25/33		3,202,264		3,202,999
MASTR Adjustable Rate Mortgages Trust, Series 2004-11, Class 2A1
3.69%, 11/25/34		739,482		741,029
Merrill Lynch Mortgage Trust, Series 2004-MKB1, Class A2
4.35%, 02/12/42		3,000,000		3,006,837
Residential Funding Mortgage Securities I, Series 2003-S15, Class A1
4.50%, 08/25/18		2,387,091		2,362,535


Security	Principal		Value

COLLATERALIZED MORTGAGE OBLIGATIONS (Cont.)

MORTGAGE-BACKED SECURITIES (Cont.)
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-10, Class A1
4.50%, 09/25/18	$	2,555,533	$	2,521,375

				36,864,754


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $36,567,027)				36,864,754


FOREIGN GOVERNMENT BONDS & NOTES (j) (0.58%)
United Mexican States
8.38%, 01/14/11		4,500,000		5,238,000


TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $5,241,718)				5,238,000


U.S. GOVERNMENT AND AGENCY OBLIGATIONS (58.07%)

MORTGAGE-BACKED SECURITIES (43.78%)
Federal Home Loan Mortgage Corp.
3.42%, 04/15/28		5,982,202		5,977,702
4.50%, 04/15/20		11,513,000		11,420,966
5.00%, 06/15/24		10,091,107		10,222,472
5.00%, 07/01/34 (c)		70,000,000		70,000,000
5.50%, 03/15/25		4,438,271		461,387
5.50%, 07/15/26 (c)		10,000,000		10,224,892
5.50%, 05/01/34		99,611		101,068
5.50%, 07/01/34 (c)		16,000,000		16,220,000
5.50%, 10/01/34		985,273		999,682
6.00%, 08/01/34		36,172,100		37,114,443
Federal National Mortgage Association
4.50%, 07/01/19 (c)		55,000,000		54,742,160
5.00%, 06/15/16		8,989,818		9,120,735
5.00%, 01/01/18		1,999,801		2,024,563
5.00%, 09/01/18		11,789,627		11,930,946
5.00%, 12/01/18		999,900		1,011,886
5.00%, 01/01/19		900,001		910,789
5.00%, 06/01/19		1,999,801		2,023,521
5.00%, 07/25/19		2,000,000		151,487
5.00%, 08/01/19		999,901		1,011,636
5.00%, 09/01/19		999,901		1,011,636
5.00%, 11/01/19		2,000,002		2,023,474
5.00%, 01/01/20		999,900		1,011,736
5.00%, 05/01/20		10,000,006		10,118,378
5.00%, 06/01/20		999,900		1,011,736
5.00%, 07/01/34 (c)		10,500,000		10,500,000
5.50%, 09/01/19		6,740,457		6,923,777
5.50%, 10/01/19		5,494,518		5,643,951
5.50%, 04/25/26 (c)		13,000,000		13,298,900
5.50%, 07/01/33		27,765,519		28,170,816
5.50%, 01/01/34		9,745,015		9,887,264
5.50%, 03/01/35		1,772,056		1,797,369
6.00%, 05/01/35		23,313,618		23,909,620
6.50%, 09/01/34		14,224,937		14,726,463
Government National Mortgage Association
5.50%, 07/01/34 (c)		20,000,000		20,418,760

				396,124,215

The accompanying notes are an integral part of these financial statements.

191

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cont.)

U.S. GOVERNMENT AGENCY OBLIGATIONS (5.35%)
Federal Home Loan Mortgage Corp.
4.00%, 01/15/19	$	3,000,000	$	2,989,357
Federal National Mortgage Association
4.50%, 12/25/12		1,528,000		1,532,602
5.00%, 05/15/22		29,500,000		29,875,703
5.00%, 01/25/25		13,800,000		14,042,263

				48,439,925


U.S. GOVERNMENT SECURITIES (8.94%)
U.S. Treasury Bonds
5.38%, 02/15/31 (b)		34,050,000		40,179,000
6.13%, 08/15/29 (b)		7,800,000		9,959,321
U.S. Treasury Notes
1.63%, 02/28/06 (d)		100,000		98,816
2.63%, 05/15/08 (d)		398,000		386,760
3.13%, 04/15/09 (d)		605,000		592,876
4.00%, 02/15/14		29,500,000		29,677,472

				80,894,245


TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $522,325,496)				525,458,385


SHORT-TERM INVESTMENTS (25.98%)

COMMERCIAL PAPER (e) (9.64%)
Alpine Securitization Corp.
3.29%, 08/08/05		65,132		64,906
Amstel Funding Corp.
2.95% - 3.18%, 07/18/05 - 08/19/05 (a)		437,615		436,731
Amsterdam Funding Corp.
3.14% - 3.24%, 07/19/05 - 07/26/05 (a)		998,694		996,814
ANZ National Bank Ltd.
2.94%, 08/15/05 (a)		108,554		108,156
Barton Capital Corp.
3.15% - 3.29%, 07/14/05 - 07/28/05		413,036		412,339
Blue Ridge Asset Funding Corp.
3.12%, 07/11/05		217,107		216,919
Bryant Park Funding LLC
3.10%, 07/06/05 (a)		83,834		83,798
Cancara Asset Securitisation LLC
3.15%, 07/13/05 - 07/14/05 (a)		40,078,172		40,032,590
Cantabric Finance LLC
3.08% - 3.12%, 07/11/05 - 07/25/05 (a)		217,107		216,722
Chariot Funding LLC
3.13% - 3.29%, 07/12/05 - 07/28/05 (a)		271,844		271,421
Charta LLC
3.31%, 08/11/05 (a)		325,661		324,433


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (e) (Cont.)
Chesham Finance LLC
3.12% - 3.17%, 07/08/05 - 07/13/05 (a)	$	204,081	$	203,912
Dexia Delaware LLC
3.04%, 07/01/05		287,884		287,884
Edison Asset Securitization LLC
3.12%, 09/06/05 (a)		162,831		161,885
Fairway Finance LLC
3.12% - 3.23%, 07/11/05 - 09/15/05 (a)		359,198		357,697
Falcon Asset Securitization Corp.
3.17% - 3.24%, 07/14/05 - 07/21/05 (a)		575,871		574,875
Ford Credit Floorplan Motown
3.33%, 08/08/05 (a)		43,421		43,269
Gemini Securitization Corp.
3.18% - 3.24%, 07/15/05 - 07/25/05		235,145		234,754
General Electric Capital Corp.
2.74%, 07/07/05		108,554		108,504
Giro Funding Corp.
3.07% - 3.30%, 07/01/05 - 07/29/05		206,252		205,973
Grampian Funding LLC
3.00% - 3.13%, 07/05/05 - 09/09/05 (a)		722,968		719,911
Jupiter Securitization Corp.
3.12% - 3.24%, 07/13/05 - 07/27/05 (a)		656,722		655,752
Liberty Street Funding Corp.
3.05%, 07/01/05 (a)		108,554		108,554
Lockhart Funding LLC
3.15% - 3.16%, 07/11/05 - 07/12/05 (a)		317,711		317,428
Mortgage Interest Networking Trust
3.12% - 3.27%, 07/05/05 - 07/25/05		414,675		414,173
Nordea North America Inc.
2.74%, 07/11/05		108,554		108,471
Park Avenue Receivables Corp.
3.25%, 07/22/05 (a)		432,044		431,226
Park Granada LLC
3.08% - 3.09%, 07/01/05 (a)		108,641		108,641
Polonius Inc.
3.15%, 07/11/05 (a)		151,975		151,842
Ranger Funding Co. LLC
3.07% - 3.13%, 07/06/05 - 07/13/05 (a)		706,183		705,721
Santander Central Hispano
2.75%, 07/08/05		271,384		271,239

The accompanying notes are an integral part of these financial statements.

192

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (e) (Cont.)
Scaldis Capital LLC
2.75% - 3.29%, 07/08/05 - 07/29/05 (a)	$	35,388,381	$	35,347,811
Sydney Capital Corp.
3.11% - 3.21%, 07/08/05 - 08/17/05 (a)		789,620		787,494
Thames Asset Global Securitization No. 1 Inc.
3.12% - 3.19%, 07/07/05 - 07/15/05 (a)		706,899		706,157
Three Pillars Funding Corp.
3.30%, 07/28/05		31,570		31,491
Tulip Funding Corp.
3.02% - 3.07%, 07/01/05 (a)		423,359		423,359
UBS Finance Delaware LLC
3.03%, 07/01/05		325,661		325,661
Windmill Funding Corp.
3.17% - 3.24%, 07/26/05		188,883		188,462
Yorktown Capital LLC
3.15%, 07/13/05		126,185		126,052

				87,273,027


FLOATING RATE NOTES (e) (2.31%)
Allstate Life Global Funding II
3.19% - 3.30%, 06/08/06 - 06/27/06 (a)		403,820		403,822
American Express Bank
3.24% - 3.29%, 10/17/05 - 06/29/06		531,913		531,918
American Express Centurion Bank
3.29%, 06/29/06		86,843		86,843
American Express Credit Corp.
3.19% - 3.32%, 08/09/05 - 10/26/05		618,756		618,831
Australia & New Zealand Banking Group Ltd.
3.28%, 06/23/06 (a)		141,120		141,120
Bank of Nova Scotia
3.06% - 3.23%, 09/26/05 - 01/03/06		141,120		141,100
Beta Finance Inc.
3.13% - 3.60%, 09/23/05 - 06/09/06 (a)		1,115,932		1,115,921
BMW US Capital LLC
3.19%, 07/14/06 (a)		217,107		217,107
Canadian Imperial Bank of Commerce
3.14% - 3.26%, 09/13/05 - 12/14/05		738,165		738,097
CC USA Inc.
3.12% - 3.27%, 07/29/05 - 06/26/06 (a)		811,982		811,930


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (e) (Cont.)
Commodore CDO Ltd.
3.47%, 12/12/05 (a)	$	54,277	$	54,277
Credit Suisse First Boston
3.15%, 05/09/06		217,107		217,107
Danske Bank
3.14% - 3.24%, 08/12/05 - 10/17/05		651,322		651,285
DEPFA Bank PLC
3.42%, 03/15/06		217,107		217,107
Dorada Finance Inc.
3.12% - 3.29%, 07/29/05 - 06/26/06 (a)		525,400		525,420
Fairway Finance LLC
3.21%, 10/20/05		86,843		86,842
Fifth Third Bancorp
3.26%, 04/21/06 (a)		434,215		434,215
Five Finance Inc.
3.27% - 3.30%, 02/27/06 - 06/26/06 (a)		151,975		151,980
General Electric Capital Corp.
3.28%, 07/07/06		97,698		97,804
General Electric Commercial Equipment Financing LLC
3.22%, 11/20/05		31,188		31,188
Greenwich Capital Holdings Inc.
3.09% - 3.15%, 09/02/05 - 02/10/06		249,673		249,674
Hartford Life Global Funding Trust
3.21%, 07/15/06		217,107		217,107
HBOS Treasury Services PLC
3.15% - 3.51%, 01/10/06 - 04/24/06 (a)		651,322		651,321
HSBC Bank USA N.A.
3.57%, 05/04/06		75,988		76,039
K2 USA LLC
3.09% - 3.24%, 07/25/05 - 06/02/06 (a)		955,272		955,277
Leafs LLC
3.26%, 01/20/06 - 02/21/06 (a)		227,963		227,963
Links Finance LLC
3.19% - 3.58%, 11/16/05 - 03/15/06 (a)		846,719		846,842
Lothian Mortgages PLC
3.29%, 01/24/06 (a)		325,661		325,661
Marshall & Ilsley Bank
3.36%, 02/20/06		217,107		217,274
Metropolitan Life Global Funding I
3.14%, 07/06/06 (a)		325,661		325,661
National City Bank (Ohio)
3.09% - 3.11%, 08/09/05 - 01/06/06		325,661		325,637

The accompanying notes are an integral part of these financial statements.

193

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

FLOATING RATE NOTES (e) (Cont.)
Nationwide Building Society
3.16% - 3.51%, 01/13/06 - 07/07/06 (a)	$	803,297	$	803,407
Norddeutsche Landesbank
3.11%, 07/27/05		217,107		217,102
Northern Rock PLC
3.15% - 3.28%, 10/25/05 - 05/03/06 (a)		651,322		651,322
Permanent Financing PLC
3.15% - 3.20%, 09/12/05 - 06/12/06		835,863		835,864
Principal Life Income Funding Trusts
3.21%, 05/10/06		162,831		162,838
Royal Bank of Scotland
3.07% - 3.26%, 04/05/06 - 06/27/06		616,042		615,869
Sedna Finance Inc.
3.19%, 01/10/06 - 01/17/06 (a)		119,409		119,395
Sigma Finance Inc.
3.10% - 3.60%, 08/17/05 - 03/20/06 (a)		1,239,683		1,239,717
Skandinav Enskilda Bank NY
3.27%, 07/18/06 (a)		217,107		217,107
Societe Generale
3.15% - 3.26%, 03/30/06 - 06/13/06		336,516		336,441
SunTrust Bank
3.17%, 04/28/06		325,661		325,661
Tango Finance Corp.
3.19% - 3.28%, 07/25/05 - 06/21/06 (a)		744,678		744,632
Toronto-Dominion Bank
3.81%, 06/20/06		271,384		271,410
UniCredito Italiano SpA
3.34%, 06/14/06		282,240		282,144
Wachovia Asset Securitization Inc.
3.30%, 07/25/05 (a)		559,956		559,956
Wells Fargo & Co.
3.19%, 07/14/06 (a)		108,554		108,566
WhistleJacket Capital LLC
3.14% - 3.24%, 07/15/05 - 06/22/06 (a)		727,310		727,282
White Pine Finance LLC
3.07% - 3.28%, 07/05/05 - 06/20/06 (a)		729,481		729,456
Winston Funding Ltd.
3.23%, 07/23/05 (a)		155,015		155,015
World Savings Bank
3.13%, 09/09/05		75,988		75,986

				20,871,540


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

MONEY MARKET FUNDS (12.75%)
Barclays Global Investors Funds Government Money Market Fund, Institutional Shares, 3.22% (e) (f) (g)		868,430	$	868,430
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 3.20% (f) (g)		114,387,882		114,387,882
BlackRock Temp Cash Money Market Fund, 3.04% (e) (g)		31,450		31,450
Short Term Investment Co. - Prime Money Market Portfolio, Institutional Shares, 3.13% (e) (g)		76,109		76,109

				115,363,871


REPURCHASE AGREEMENTS (e) (0.84%)
Bank of America N.A. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 3,687,823 and effective yields of 3.40% - 3.44%. (h)	$	3,687,472		3,687,472
Goldman Sachs Group Inc. Repurchase Agreements, dated 6/30/05, due 7/1/05, with a total maturity value of 2,822,665 and effective yields of 3.43% - 3.44%. (h)		2,822,396		2,822,396
Merrill Lynch Government Securities Inc. Repurchase Agreement, dated 6/30/05, due 7/1/05, with a maturity value of 1,085,639 and an effective yield of 3.40%. (h)		1,085,537		1,085,537

				7,595,405


TIME DEPOSITS (0.40%)
American Express Centurion Bank
3.08%, 07/01/05 (e)		162,831		162,831
Banco Bilbao Vizcaya Argentaria SA
3.18%, 09/14/05 (e)		217,107		217,107
BNP Paribas (New York)
2.78% - 3.03%, 07/11/05 - 08/23/05 (e)		303,950		303,950
Credit Suisse First Boston
3.16%, 07/13/05 (e)		108,554		108,554
Deutsche Bank AG
3.31%, 07/01/05 (e)		8,927		8,927
HBOS Treasury Services PLC
3.39%, 12/14/05 (e)		130,264		130,264
Key Bank N.A.
3.34%, 07/01/05 (e)		651,322		651,322
Lehman Brothers Inc.
3.21%, 04/01/10 (i)		50,000		50,000

The accompanying notes are an integral part of these financial statements.

194

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (Cont.)
Natexis Banques
2.98%, 08/18/05 (e)	$	217,107	$	217,107
Toronto-Dominion Bank
2.66% - 3.18%, 09/14/05 - 11/09/05 (e)		390,793		390,784
UBS AG
2.67% - 3.40%, 11/09/05 - 12/15/05 (e)		173,686		173,685
UBS Finance Delaware LLC
3.02% - 3.05%, 07/01/05 - 07/05/05 (e)		151,975		151,973
US Bank N.A.
3.12%, 07/08/05 (e)		217,107		217,107
Washington Mutual Bank
3.15% - 3.28%, 07/28/05 - 08/09/05 (e)		651,322		651,322
Wells Fargo Bank N.A.
3.04%, 07/01/05 (e)		217,107		217,107

				3,652,040


U.S. GOVERNMENT AGENCY NOTES (e) (0.04%)
Federal National Mortgage Association
2.33%, 07/22/05		325,661		325,219

				325,219


TOTAL SHORT-TERM INVESTMENTS
(Cost: $235,081,102)				235,081,102


TOTAL INVESTMENTS IN SECURITIES (123.48%)
(Cost: $1,115,266,883)				1,117,408,621


Security	Principal		Value

SECURITIES SOLD SHORT (-1.70%)

U.S. GOVERNMENT AND AGENCY OBLIGATIONS (-1.70%)
Federal National Mortgage Association
6.00%, 07/01/35 (c)	$(15,000,000	)	$	(15,375,000	)


TOTAL SECURITIES SOLD SHORT
(Proceeds: $15,392,578)				(15,375,000	)

Other Assets, Less Liabilities (-21.78%)				(197,134,097	)

NET ASSETS (100.00%)			$	904,899,524

(a)	All or a portion of this security is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	All or a portion of this security represents a security on loan. See Note 4.

(c)	To-be-announced (TBA). See Note 1.

(d)	These U.S. Treasury Notes are held in segregated accounts in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

(e)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(f)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(g)	The rate quoted is the annualized seven-day yield of the fund at period end.

(h)	Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 0.00% to 8.50% and maturity dates ranging from 1/30/06 to 10/1/43.

(i)	This security is held as collateral for open swaps contracts. See Note 1.

(j)	Investments are denominated in U.S. dollars.

As of June 30, 2005, the open futures contracts held by the Master Portfolio were as follows:


Futures contracts (expiration date)	Number of contracts		Notional contract value			Net unrealized appreciation (depreciation)

U.S. 5-Year Note (09/30/05)	129		$	14,046,891		$	(9,281	)

U.S. 10-Year Note (09/30/05)	443			50,266,656			261,803

U.S. Long Bond (09/30/05)	58			6,887,500			85,300

90-Day Euro (09/19/05)	561			134,850,375			(50,922	)

U.S. 2-Year Note (08/26/05)	(44	)		(9,138,250	)		12,919

90-Day Euro (03/13/06)	(210	)		(50,405,250	)		219,542


						$	519,361

The accompanying notes are an integral part of these financial statements.

195

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2005

(Unaudited)

As of June 30, 2005, the Master Portfolio held the following open swap contracts:


Description	Notional amount		Net unrealized appreciation (depreciation)
Credit Default Swaps

Agreement with Deutsche Bank AG dated 3/10/05 to receive 0.66% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Royal Caribbean Cruises Ltd. 8.75% due 2/2/11. Expiring 3/20/10.	$	5,000,000	$	(209,345	)

Agreement with Deutsche Bank AG dated 4/14/05 to receive 3.40% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 6/20/10.		5,850,000		6,692

Agreement with J.P. Morgan Chase & Co. dated 12/13/04 to receive 1.50% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 8.25% due 4/11/10. Expiring 3/20/10.		3,000,000		(1,012	)

Agreement with J.P. Morgan Chase & Co. dated 12/8/04 to receive 1.63% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Shaw Communications, Inc. 7.20% due 12/15/11. Expiring 3/20/10.		1,000,000		5,051

Agreement with J.P. Morgan Chase & Co. dated 3/15/04 to receive 0.22% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Deere & Co. 6.95% due 4/25/14. Expiring 3/20/07		2,000,000		2,690

Agreement with J.P. Morgan Chase & Co. dated 4/14/05 to receive 3.40% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 6/20/10.		2,925,000		3,346

Agreement with J.P. Morgan Chase & Co. dated 7/9/04 to pay 2.25% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 12/20/09.		4,500,000		(90,991	)

Agreement with J.P. Morgan Chase & Co. dated 7/9/04 to pay 3.75% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 12/20/09.		10,250,000		(128,999	)


Description	Notional amount		Net unrealized appreciation (depreciation)
Credit Default Swaps (Cont.)

Agreement with J.P. Morgan Chase & Co. dated 9/1/04 to receive 1.185% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.000% due 12/15/10. Expiring 12/20/09.	$	2,000,000	$	28,187

Agreement with Lehman Brothers, Inc. dated 4/14/05 to pay 2.10% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 6/20/10.		5,800,000		128,450

Agreement with Lehman Brothers, Inc. dated 7/9/04 to pay 3.75% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, High Yield. Expiring 12/20/09.		10,000,000		(125,853	)


			$	(381,784	)

Swaptions

Agreement with J.P. Morgan Chase & Co. dated 6/23/04. Option to enter into a ten-year interest rate swap, receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 6.4625%. Expiring 6/23/09.		18,200,000	$	235,840

The accompanying notes are an integral part of these financial statements.

196

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations

June 30, 2005

(Unaudited)

S&P 500 INDEX MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Consumer Non-Cyclical	$	504,012,139		21.39	%
Financial		467,881,428		19.86
Technology		268,675,483		11.40
Industrial		257,580,609		10.92
Communications		239,156,743		10.14
Consumer Cyclical		218,964,705		9.29
Energy		202,149,870		8.58
Utilities		79,169,079		3.36
Basic Materials		61,278,255		2.61
Futures Contracts		(578,642	)	(0.02	)
Short-Term and Other Net Assets		58,352,409		2.47

TOTAL	$	2,356,642,078		100.00	%

RUSSELL 2000 INDEX MASTER PORTFOLIO


Sector/Investment Type	Value		% of Net Assets

Financial	$	52,237,937	20.79	%
Consumer Non-Cyclical		46,764,113	18.61
Consumer Cyclical		33,380,573	13.29
Industrial		31,941,637	12.71
Technology		24,281,710	9.66
Communications		22,327,841	8.89
Energy		12,445,523	4.95
Basic Materials		8,521,320	3.39
Exchange-Traded Funds		6,817,174	2.71
Utilities		6,456,366	2.57
Diversified		421,965	0.17
Futures Contracts		115,488	0.05
Short-Term and Other Net Assets		5,574,639	2.21

TOTAL	$	251,286,286	100.00	%

INTERNATIONAL INDEX MASTER PORTFOLIO


Industry/Investment Type	Value		% of Net Assets

Banks	$	23,392,903	17.57	%
Oil & Gas		11,468,716	8.61
Telecommunications		10,940,307	8.22
Pharmaceuticals		9,647,472	7.25
Insurance		6,067,168	4.56
Food		5,648,196	4.24
Electric		5,330,021	4.00
Auto Manufacturers		3,884,995	2.92
Retail		3,313,908	2.49
Chemicals		3,272,203	2.46
Real Estate		2,829,041	2.12
Mining		2,652,592	1.99
Media		2,580,645	1.94
Diversified Financial Services		2,404,564	1.81
Transportation		2,207,371	1.66
Building Materials		2,103,680	1.58

INTERNATIONAL INDEX MASTER PORTFOLIO (Cont.)


Industry/Investment Type	Value		% of Net Assets

Manufacturing	$	2,103,114	1.58	%
Electronics		1,971,765	1.48
Beverages		1,770,225	1.33
Engineering & Construction		1,739,577	1.31
Exchange-Traded Funds		1,715,825	1.29
Commercial Services		1,578,221	1.18
Electrical Components & Equipment		1,237,600	0.93
Distribution & Wholesale		1,208,401	0.91
Home Furnishings		1,201,616	0.90
Iron & Steel		1,141,130	0.86
Agriculture		1,128,750	0.85
Holding Companies - Diversified		1,028,785	0.77
Auto Parts & Equipment		1,015,907	0.76
Health Care - Products		967,670	0.73
Software		850,058	0.64
Office & Business Equipment		842,843	0.63
Water		826,497	0.62
Semiconductors		809,830	0.61
Gas		790,115	0.59
Machinery		754,363	0.57
Aerospace & Defense		752,149	0.56
Hand & Machine Tools		692,463	0.52
Computers		679,249	0.51
Cosmetics & Personal Care		657,944	0.49
Forest Products & Paper		562,380	0.42
Entertainment		538,777	0.40
Advertising		496,604	0.37
Home Builders		464,345	0.35
Internet		454,183	0.34
Leisure Time		440,124	0.33
Household Products & Wares		382,426	0.29
Apparel		335,287	0.25
Airlines		327,061	0.25
Real Estate Investment Trusts		319,721	0.24
Lodging		279,553	0.21
Textiles		269,980	0.20
Metal Fabricate & Hardware		182,120	0.14
Food Service		173,511	0.13
Toys, Games & Hobbies		170,815	0.13
Packaging & Containers		165,934	0.12
Investment Companies		144,256	0.11
Tobacco		140,273	0.11
Venture Capital		136,313	0.10
Oil & Gas Services		129,739	0.10
Biotechnology		114,101	0.09
Health Care - Services		40,222	0.03
Environmental Control		39,992	0.03
Shipbuilding		36,329	0.03
Housewares		31,658	0.02
Futures Contracts		20,932	0.02
Storage & Warehousing		20,486	0.02
Energy - Alternate Sources		19,190	0.01
Office Furnishings		12,151	0.01
Short-Term and Other Net Assets		1,483,548	1.11

TOTAL	$	133,139,890	100.00	%

These tables are not part of the financial statements.

197

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations (Continued)

June 30, 2005

(Unaudited)

LIFEPATH RETIREMENT MASTER PORTFOLIO


Security Type	Value		% of Net Assets

Domestic Fixed Income	$	134,471,930	64.50	%
Domestic Equity		55,264,205	26.51
Foreign Equity		18,349,440	8.80
Short-Term and Other Net Assets		403,612	0.19

TOTAL	$	208,489,187	100.00	%

LIFEPATH 2010 MASTER PORTFOLIO


Security Type	Value		% of Net Assets

Domestic Fixed Income	$	304,107,465	52.53	%
Domestic Equity		203,090,655	35.08
Foreign Equity		67,603,480	11.68
Short-Term and Other Net Assets		4,128,946	0.71

TOTAL	$	578,930,546	100.00	%

LIFEPATH 2020 MASTER PORTFOLIO


Security Type	Value		% of Net Assets

Domestic Equity	$	439,706,352	48.64	%
Domestic Fixed Income		316,658,434	35.03
Foreign Equity		145,239,278	16.07
Short-Term and Other Net Assets		2,335,456	0.26

TOTAL	$	903,939,520	100.00	%

LIFEPATH 2030 MASTER PORTFOLIO


Security Type	Value		% of Net Assets

Domestic Equity	$	319,374,613	58.53	%
Domestic Fixed Income		117,422,688	21.52
Foreign Equity		105,962,704	19.42
Short-Term and Other Net Assets		2,862,406	0.53

TOTAL	$	545,622,411	100.00	%

LIFEPATH 2040 MASTER PORTFOLIO


Security Type	Value		% of Net Assets

Domestic Equity	$	219,902,180	62.15	%
Foreign Equity		70,678,668	19.98
Domestic Fixed Income		32,239,032	9.11
Short-Term and Other Net Assets		30,992,126	8.76

TOTAL	$	353,812,006	100.00	%

ACTIVE STOCK MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Consumer Non-Cyclical	$	264,911,060		25.67	%
Financial		213,301,756		20.67
Communications		111,802,663		10.83
Technology		111,658,531		10.81
Energy		105,829,214		10.25
Consumer Cyclical		99,163,808		9.61
Industrial		85,203,721		8.26
Utilities		32,263,561		3.13
Basic Materials		25,787,493		2.50
Futures Contracts		(42,178	)	(0.01	)
Short-Term and Other Net Assets		(17,769,994	)	(1.72	)

TOTAL	$	1,032,109,635		100.00	%

COREALPHA BOND MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Mortgage-Backed Securities	$	409,465,177		45.25	%
Government		158,095,962		17.47
Financial		143,881,428		15.90
Communications		48,502,433		5.36
Consumer Non-Cyclical		29,793,888		3.30
Energy		22,427,619		2.48
Consumer Cyclical		22,145,527		2.44
Industrial		20,593,383		2.28
Utilities		19,820,307		2.19
Basic Materials		7,033,670		0.78
Technology		568,125		0.06
Futures Contracts		519,361		0.06
Swap Agreements		(145,944	)	(0.02	)
Securities sold short		(15,375,000	)	(1.70	)
Short-Term and Other Net Assets		37,573,588		4.15

TOTAL	$	904,899,524		100.00	%

These tables are not part of the financial statements.

198

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2005 (Unaudited)


	S&P 500 Index Master Portfolio		Russell 2000 Index Master Portfolio		International Index Master Portfolio

Assets
Investments, at cost:

Unaffiliated issuers	$	2,552,668,884	$	258,308,380	$	145,600,450

Affiliated issuers (a)	$	56,530,843	$	9,450,612	$	3,770,035

Foreign currencies, at cost	$	—	$	—	$	943,842

Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	2,472,268,678	$	287,658,659	$	157,665,946
Affiliated issuers (a)		56,530,843		12,467,326		3,999,407
Foreign currencies, at value (c)		—		—		931,718
Receivables:
Investment securities sold		—		134,180		804,421
Dividends and interest		2,939,718		287,108		458,009
Due from broker - variation margin		—		—		20,784

Total Assets		2,531,739,239		300,547,273		163,880,285


Liabilities
Payables:
Investment securities purchased		—		88,017		1,478,348
Due to broker - variation margin		382,738		10,040		—
Collateral for securities loaned (Note 4)		173,922,751		49,142,622		29,234,936
Due to bank		695,051		—		—
Investment advisory fees (Note 2)		96,621		16,246		16,267
Administration fees (Note 2)		—		4,062		10,844

Total Liabilities		175,097,161		49,260,987		30,740,395

Net Assets	$	2,356,642,078	$	251,286,286	$	133,139,890

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Securities on loan with market values of $169,424,024, $47,406,217 and $27,830,113, respectively. See Note 4.

(c)	Includes $147,255 of foreign currencies held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

The accompanying notes are an integral part of these financial statements.

199

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

June 30, 2005 (Unaudited)


	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio

Assets
Investments, at cost:

Unaffiliated issuers	$	13,090,193	$	30,766,942	$	158,974,133	$	48,550,704	$	44,894,702

Affiliated issuers (a)	$	29,194,009	$	100,681,695	$	205,074,598	$	145,165,630	$	143,842,191

Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	13,090,193	$	30,766,942	$	158,974,133	$	48,550,704	$	44,894,702
Affiliated issuers (a)		32,026,844		110,601,536		224,500,736		158,231,394		151,301,316
Affiliated Master Portfolios (a)		177,308,986		469,700,474		685,420,313		388,317,671		216,261,730
Receivables:
Investment securities sold		814,507		3,651,036		6,379,208		6,745,450		29,977,208
Dividends and interest		8,803		28,446		81,099		31,191		33,006
Contributions		200,000		3,600,000		450,000		1,700,000		30,300,000

Total Assets		223,449,333		618,348,434		1,075,805,489		603,576,410		472,767,962


Liabilities
Payables:
Investment securities purchased		1,615,019		8,050,647		9,805,622		8,457,217		73,187,842
Collateral for securities loaned (Note 4)		13,343,601		31,362,548		162,051,652		49,490,578		45,763,801
Investment advisory fees (Note 2)		1,526		4,693		8,695		6,204		4,313

Total Liabilities		14,960,146		39,417,888		171,865,969		57,953,999		118,955,956

Net Assets	$	208,489,187	$	578,930,546	$	903,939,520	$	545,622,411	$	353,812,006

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Securities on loan with market values of $12,948,067, $30,431,754, $157,511,772, $48,116,063 and $44,452,463, respectively. See Note 4.

The accompanying notes are an integral part of these financial statements.

200

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

June 30, 2005 (Unaudited)


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio

Assets
Investments, at cost:

Unaffiliated issuers	$	1,076,845,714	$	1,000,010,571

Affiliated issuers (a)	$	5,686,162	$	115,256,312

Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	1,122,751,926	$	1,002,152,309
Affiliated issuers (a)		5,686,162		115,256,312
Deposits with brokers for securities sold short		—		15,425,078
Receivables:
Investment securities sold		10,136,217		72,121,272
Dividends and interest		1,028,344		8,327,998
Due from broker - variation margin		—		98,296

Total Assets		1,139,602,649		1,213,381,265


Liabilities
Payables:
Investment securities purchased		33,214,750		246,718,361
Due to bank		49,647		—
Due to broker - variation margin		34,343		—
Payable for closed swap contracts		—		270,840
Collateral for securities loaned (Note 4)		73,895,832		45,728,532
Collateral for open swap contracts (Note 1)		—		100,002
Securities sold short, at value (Proceeds: $15,392,578) (Note 1)		—		15,375,000
Interest on securities sold short		—		32,925
Investment advisory fees (Note 2)		213,173		182,915
Administration fees (Note 2)		85,269		73,166

Total Liabilities		107,493,014		308,481,741

Net Assets	$	1,032,109,635	$	904,899,524

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Securities on loan with market values of $72,035,740 and $44,621,646, respectively. See Note 4.

The accompanying notes are an integral part of these financial statements.

201

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the six months ended June 30, 2005 (Unaudited)


	S&P 500 Index Master Portfolio			Russell 2000 Index Master Portfolio			International Index Master Portfolio

Net Investment Income
Dividends (a)	$	20,788,478		$	1,429,012		$	2,279,734
Dividends from affiliated issuers (b)		—			45,000			28,262
Interest		60,955			5,941			2,409
Interest from affiliated issuers (b)		1,062,156			118,988			9,552
Securities lending income (c)		100,849			80,079			38,802

Total investment income		22,012,438			1,679,020			2,358,759


Expenses (Note 2)
Investment advisory fees		589,288			92,861			92,376
Administration fees		—			23,215			61,584

Total expenses		589,288			116,076			153,960

Net investment income		21,423,150			1,562,944			2,204,799


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on sale of investments		(10,617,477	)		7,927,493			(97,558	)
Net realized gain from sale of investments of affiliated issuers (b)		—			—			160,500
Net realized gain from in-kind redemptions		37,267,403			—			—
Net realized gain on futures contracts		2,438,753			289,351			83,865
Net realized loss on foreign currency transactions		—			—			(70,990	)
Net increase from payments by affiliates (Note 2)		—			13,685			—
Net change in unrealized appreciation (depreciation) of investments		(70,480,299	)		(12,135,629	)		(3,577,686	)
Net change in unrealized appreciation (depreciation) of futures contracts		(1,139,930	)		32,394			(2,017	)
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		—			—			(39,058	)

Net realized and unrealized loss		(42,531,550	)		(3,872,706	)		(3,542,944	)

Net decrease in net assets resulting from operations	$	(21,108,400	)	$	(2,309,762	)	$	(1,338,145	)

(a)	Net of foreign withholding tax of $—, $551 and $130,052, respectively.

(b)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(c)	Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

The accompanying notes are an integral part of these financial statements.

202

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the six months ended June 30, 2005 (Unaudited)


	LifePath Retirement Master Portfolio			LifePath 2010 Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio

Net Investment Income
Dividends	$	494		$	10,570		$	12,001		$	7,001		$	12,319
Dividends from affiliated issuers (a)		59,240			182,565			339,239			233,236			145,479
Dividends allocated from Master Portfolios		364,476			1,392,662			3,045,285			2,203,874			1,462,557
Interest from affiliated issuers (a)		16,250			41,586			77,763			50,415			39,515
Interest allocated from Master Portfolios		2,701,130			5,994,248			6,157,755			2,232,490			603,829
Securities lending income (b)		16,980			67,834			151,227			75,120			44,930
Expenses allocated from Master Portfolios		(289,814	)		(758,561	)		(1,097,749	)		(615,429	)		(337,466	)

Total investment income		2,868,756			6,930,904			8,685,521			4,186,707			1,971,163


Expenses (Note 2)
Investment advisory fees		338,112			923,239			1,430,362			847,856			480,907

Total expenses		338,112			923,239			1,430,362			847,856			480,907
Less investment advisory fees waived		(329,590	)		(896,769	)		(1,381,550	)		(814,717	)		(458,216	)

Net expenses		8,522			26,470			48,812			33,139			22,691

Net investment income		2,860,234			6,904,434			8,636,709			4,153,568			1,948,472


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from sale of investments of affiliated issuers (a)		197,045			729,410			596,875			469,289			(50,517	)
Net realized gain allocated from Master Portfolios		1,183,053			4,301,596			9,018,475			6,406,900			4,203,479
Net realized gain on foreign currency transactions		—			19			4			17			—
Net change in unrealized appreciation (depreciation) of investments		(369,746	)		(1,433,259	)		(2,456,208	)		(1,764,723	)		(1,005,154	)
Net change in unrealized appreciation (depreciation) allocated from Master Portfolios		(581,496	)		(2,381,598	)		(5,034,133	)		(3,791,493	)		(2,453,841	)
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		(360	)		(1,067	)		(2,965	)		(1,142	)		(959	)

Net realized and unrealized gain		428,496			1,215,101			2,122,048			1,318,848			693,008

Net increase in net assets resulting from operations	$	3,288,730		$	8,119,535		$	10,758,757		$	5,472,416		$	2,641,480

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

The accompanying notes are an integral part of these financial statements.

203

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the six months ended June 30, 2005 (Unaudited)


	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio

Net Investment Income
Dividends (a)	$	8,468,852		$	—
Interest		5,381			15,848,368
Interest from affiliated issuers (b)		50,179			1,908,138
Securities lending income (c)		26,060			49,882

Total investment income		8,550,472			17,806,388


Expenses (Note 2)
Investment advisory fees		1,199,726			1,013,859
Administration fees		479,890			405,544

Total expenses		1,679,616			1,419,403

Net investment income		6,870,856			16,386,985


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on sale of investments		24,220,021			(1,318,338	)
Net realized gain (loss) on futures contracts		(68,922	)		2,275,368
Net realized loss on swap contracts		—			(194,824	)
Net change in unrealized appreciation (depreciation) of investments		(15,219,264	)		1,703,284
Net change in unrealized appreciation (depreciation) of futures contracts		(84,931	)		447,866
Net change in unrealized appreciation (depreciation) of securities sold short		—			22,876
Net change in unrealized appreciation (depreciation) of swap contracts		—			(1,110,742	)

Net realized and unrealized gain		8,846,904			1,825,490

Net increase in net assets resulting from operations	$	15,717,760		$	18,212,475

(a)	Net of foreign withholding tax of $828 and $—, respectively.

(b)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(c)	Includes income earned from issuers of which the Master Portfolios’ investment adviser is an affiliate. See Note 2.

The accompanying notes are an integral part of these financial statements.

204

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	S&P 500 Index Master Portfolio						Russell 2000 Index Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004			For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	21,423,150		$	53,575,520		$	1,562,944		$	2,412,137
Net realized gain		29,088,679			538,623,460			8,230,529			7,467,042
Net change in unrealized appreciation (depreciation)		(71,620,229	)		(290,833,407	)		(12,103,235	)		24,620,777

Net increase (decrease) in net assets resulting from operations		(21,108,400	)		301,365,573			(2,309,762	)		34,499,956


Interestholder transactions:
Contributions		417,875,155			820,705,368			29,860,984			72,118,119
Withdrawals		(446,927,226	)		(2,346,660,989	)		(14,703,710	)		(23,020,912	)

Net increase (decrease) in net assets resulting from interestholder transactions		(29,052,071	)		(1,525,955,621	)		15,157,274			49,097,207

Increase (decrease) in net assets		(50,160,471	)		(1,224,590,048	)		12,847,512			83,597,163

NET ASSETS:
Beginning of period		2,406,802,549			3,631,392,597			238,438,774			154,841,611

End of period	$	2,356,642,078		$	2,406,802,549		$	251,286,286		$	238,438,774



	International Index Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	2,204,799		$	2,062,047
Net realized gain		75,817			9,781,972
Net change in unrealized appreciation (depreciation)		(3,618,761	)		9,674,096

Net increase (decrease) in net assets resulting from operations		(1,338,145	)		21,518,115


Interestholder transactions:
Contributions		26,354,950			48,216,915
Withdrawals		(7,117,952	)		(105,653,374	)

Net increase (decrease) in net assets resulting from interestholder transactions		19,236,998			(57,436,459	)

Increase (decrease) in net assets		17,898,853			(35,918,344	)

NET ASSETS:
Beginning of period		115,241,037			151,159,381

End of period	$	133,139,890		$	115,241,037

The accompanying notes are an integral part of these financial statements.

205

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath Retirement Master Portfolio						LifePath 2010 Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004			For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	2,860,234		$	4,064,479		$	6,904,434		$	9,521,401
Net realized gain		1,380,098			6,723,311			5,031,025			19,706,190
Net change in unrealized appreciation (depreciation)		(951,602	)		1,295,008			(3,815,924	)		6,868,671

Net increase in net assets resulting from operations		3,288,730			12,082,798			8,119,535			36,096,262


Interestholder transactions:
Contributions		49,528,280			165,649,858			127,009,847			381,914,274
Withdrawals		(25,201,463	)		(98,229,192	)		(48,975,481	)		(163,689,096	)

Net increase in net assets resulting from interestholder transactions		24,326,817			67,420,666			78,034,366			218,225,178

Increase in net assets		27,615,547			79,503,464			86,153,901			254,321,440

NET ASSETS:
Beginning of period		180,873,640			101,370,176			492,776,645			238,455,205

End of period	$	208,489,187		$	180,873,640		$	578,930,546		$	492,776,645

The accompanying notes are an integral part of these financial statements.

206

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath 2020 Master Portfolio						LifePath 2030 Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004			For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	8,636,709		$	14,874,419		$	4,153,568		$	7,469,272
Net realized gain		9,615,354			19,502,624			6,876,206			33,016,584
Net change in unrealized appreciation (depreciation)		(7,493,306	)		37,235,104			(5,557,358	)		5,172,895

Net increase in net assets resulting from operations		10,758,757			71,612,147			5,472,416			45,658,751


Interestholder transactions:
Contributions		220,015,973			537,563,465			144,148,110			341,379,439
Withdrawals		(52,783,632	)		(354,707,063	)		(36,292,950	)		(179,195,644	)

Net increase in net assets resulting from interestholder transactions		167,232,341			182,856,402			107,855,160			162,183,795

Increase in net assets		177,991,098			254,468,549			113,327,576			207,842,546

NET ASSETS:
Beginning of period		725,948,422			471,479,873			432,294,835			224,452,289

End of period	$	903,939,520		$	725,948,422		$	545,622,411		$	432,294,835

The accompanying notes are an integral part of these financial statements.

207

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath 2040 Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	1,948,472		$	4,098,676
Net realized gain		4,152,962			4,988,726
Net change in unrealized appreciation (depreciation)		(3,459,954	)		19,707,923

Net increase in net assets resulting from operations		2,641,480			28,795,325


Interestholder transactions:
Contributions		145,183,019			196,012,271
Withdrawals		(28,623,356	)		(152,070,048	)

Net increase in net assets resulting from interestholder transactions		116,559,663			43,942,223

Increase in net assets		119,201,143			72,737,548

NET ASSETS:
Beginning of period		234,610,863			161,873,315

End of period	$	353,812,006		$	234,610,863

The accompanying notes are an integral part of these financial statements.

208

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	Active Stock Master Portfolio						CoreAlpha Bond Master Portfolio
	For the six months ended June 30, 2005 (Unaudited)			For the period March 15, 2004 (a) to December 31, 2004			For the six months ended June 30, 2005 (Unaudited)			For the period March 15, 2004 (a) to December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	6,870,856		$	10,779,499		$	16,386,985		$	16,778,720
Net realized gain (loss)		24,151,099			20,580,275			762,206			(3,269,330	)
Net change in unrealized appreciation (depreciation)		(15,304,195	)		61,168,229			1,063,284			577,649

Net increase in net assets resulting from operations		15,717,760			92,528,003			18,212,475			14,087,039


Interestholder transactions:
Contributions		198,585,000			982,486,302			166,325,000			868,565,757
Withdrawals		(36,000,000	)		(221,207,430	)		(3,545,000	)		(158,745,747	)

Net increase in net assets resulting from interestholder transactions		162,585,000			761,278,872			162,780,000			709,820,010

Increase in net assets		178,302,760			853,806,875			180,992,475			723,907,049

NET ASSETS:
Beginning of period		853,806,875			—			723,907,049			—

End of period	$	1,032,109,635		$	853,806,875		$	904,899,524		$	723,907,049

(a)	Commencement of operations.

The accompanying notes are an integral part of these financial statements.

209

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited)

1. Significant accounting policies

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company organized as a Delaware statutory trust. As of June 30, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, International Index, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Active Stock, CoreAlpha Bond, International Index, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Russell 2000 Index and S&P 500 Index Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”). The Active Stock and CoreAlpha Bond Master Portfolios each commenced operations on March 15, 2004.

The International Index Master Portfolio invests in the securities of foreign issuers which may involve certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations and exchange controls; imposition of restrictions on the expatriation of funds less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; lesser regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; greater social, economic and political uncertainties; the risk of nationalization or expropriation of assets and the risk of war.

Under MIP’s organizational documents, the Master Portfolios’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolios. Additionally, in the normal course of business, the Master Portfolios enter into contracts with service providers that contain general indemnification clauses. The Master Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Portfolios that have not yet occurred.

The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements. Such policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Restructuring of the LifePath Master Portfolios

As of March 15, 2004, the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) converted to a fund-of-funds structure. Consequently, as of March 15, 2004, each LifePath Master Portfolio seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds (“ETFs”) in the iShares^® family of funds.

Security valuation

The securities and other assets of each Master Portfolio are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of other funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

210

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of June 30, 2005, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:



Master Portfolio	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	4.15	%	14.86	%
LifePath 2010	16.04		33.61
LifePath 2020	35.73		34.99
LifePath 2030	26.25		12.98
LifePath 2040	17.83		3.56

Security transactions and income recognition

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method.

Each LifePath Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Active Stock and CoreAlpha Bond Master Portfolios. In addition, each LifePath Master Portfolio accrues its own expenses.

Foreign currency translation

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

The Master Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

Federal income taxes

In general, MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that each such Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gain (if any). However, each interestholder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, each such Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualification not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

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As of June 30, 2005, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:



Master Portfolio	Tax cost		Unrealized appreciation		Unrealized depreciation			Net unrealized appreciation (depreciation)
S&P 500 Index	$	2,661,869,969	$	256,890,728	$	(389,961,176	)	$	(133,070,448	)
Russell 2000 Index		267,614,453		46,870,988		(14,359,456	)		32,511,532
International Index		154,798,447		12,813,190		(5,946,284	)		6,866,906
LifePath Retirement (a)		42,284,202		2,832,835		—			2,832,835
LifePath 2010 (a)		131,448,637		9,919,841		—			9,919,841
LifePath 2020 (a)		364,056,080		19,418,789		—			19,418,789
LifePath 2030 (a)		193,724,015		13,058,083		—			13,058,083
LifePath 2040 (a)		188,749,638		7,446,380		—			7,446,380
Active Stock		1,087,018,922		80,474,039		(39,054,873	)		41,419,166
CoreAlpha Bond		1,115,739,875		6,762,610		(5,093,864	)		1,668,746

(a) Tax cost information does not include investments in the underlying Master Portfolios.

Futures contracts

The Active Stock, CoreAlpha Bond, International Index, Russell 2000 Index and S&P 500 Index Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

The Active Stock, Russell 2000 Index and S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury Bills with a total face amount of $340,000, $675,000 and $2,800,000, respectively and the CoreAlpha Bond Master Portfolio has pledged to brokers U.S. Treasury Notes with a total face amount of $1,103,000 for initial margin requirements.

The International Index Master Portfolio has pledged to brokers foreign currencies with an aggregate market value of $147,255 as of June 30, 2005 for initial margin requirements.

When issued/TBA transactions

The CoreAlpha Bond Master Portfolio may purchase mortgage pass-through securities on a when-issued or to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio could be exposed to possible risk if there is adverse market action, expenses or delays in connection with the TBA transactions or if the counterparty fails to complete the transaction. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover, higher transaction costs and to allocate larger short-term capital gains to interestholders.

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Repurchase agreements

Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by a Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. As of June 30, 2005, a portion of the Master Portfolios’ cash collateral for securities on loan for each Master Portfolio was invested in repurchase agreements as disclosed in the Master Portfolios’ Schedules of Investments. For further information, see Note 4, below.

Forward foreign currency exchange contracts

A foreign currency or cross currency exchange contract is an agreement to pay or receive specific amounts of a currency at a future date in exchange for another currency at an agreed upon exchange rate. The International Index Master Portfolio may use foreign currency or cross currency exchange contracts to hedge certain foreign currency assets and liabilities. Contracts are recorded at market value and marked-to-market daily. The Master Portfolio could be exposed to risk if the counterparties to the contracts were unable to meet the terms of the contract or if there were unanticipated movements in the value of a foreign currency relative to the U.S. dollar and other foreign currencies. The amount at risk for such foreign currency or cross currency exchange contracts may exceed the amount reflected in the financial statements. As of June 30, 2005, the Master Portfolio held no forward foreign currency exchange contracts.

Swap agreements

The CoreAlpha Bond Master Portfolio may enter into index and interest-rate swap transactions. Index swaps involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or the other party, the risk of loss to the Master Portfolio would generally be limited to the net amount of payments that the Master Portfolio is contractually obligated to make if, after exercising in accordance with the swap agreement the rights with respect to early close-out of the swap transaction or swap transactions, it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction or swap transactions. In the event the other party to the swap transaction or swap transactions is to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. As of June 30, 2005, the Master Portfolio did not hold any index or interest-rate swap contracts.

The CoreAlpha Bond Master Portfolio may also enter into credit default swaps to protect against credit risks associated with securities issued by or loans entered into by certain companies (each, as used in this discussion, a “reference entity” in the case of a particular company and an “Obligation” in the case of a loan or security) and to sell protection to a counterparty against credit risks associated with certain reference entities. In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated Obligation that is being hedged, in the event the reference entity experiences a credit event, such as a material loan or bond default, restructuring or bankruptcy. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the credit default swap were to be physically settled, the counterparty, as seller of protection, would agree that if a specified credit event occurs, it would take delivery of an Obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for loss in the market value of the designated Obligation if the reference entity suffered a credit event and the credit default swap were to be cash-settled. In the event that the transaction were to be physically settled on the occurrence of a specified credit event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an Obligation specified at the time of the occurrence of the relevant credit event and would pay to the counterparty an amount equal to notional amount of the transaction. Details of credit default swaps held by the Master Portfolio as of June 30, 2005 are included in the Master Portfolio’s Schedule of Investments.

Options on swap agreements

The CoreAlpha Bond Master Portfolio may write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master

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Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if the Master Portfolio decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of June 30, 2005 are included in the Master Portfolio’s Schedule of Investments.

Short sales

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of June 30, 2005 are included in the Master Portfolio’s Schedule of Investments.

2. Agreements and other transactions with affiliates

Pursuant to an Investment Advisory Contract with each Master Portfolio, BGFA provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC.

For its investment advisory services to the following Master Portfolios, BGFA is entitled to an annual investment advisory fee based on the average daily net assets for each Master Portfolio as follows:



Master Portfolio	Investment advisory fee
S&P 500 Index	0.05	%
Russell 2000 Index	0.08
LifePath Retirement	0.35
LifePath 2010	0.35
LifePath 2020	0.35
LifePath 2030	0.35
LifePath 2040	0.35
Active Stock	0.25
CoreAlpha Bond	0.25

For its investment advisory services to the International Index Master Portfolio, BGFA is entitled to an annual investment advisory fee based on the Master Portfolio’s average daily net assets as follows:



Investment Advisory Fee		Average daily net assets
0.15%		First $1 billion
0.10		Over $1 billion

BGFA has agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds. For the six months ended June 30, 2005, BGFA waived investment advisory fees as follows:



Master Portfolio	Waived investment advisory fees
LifePath Retirement	$	329,590
LifePath 2010		896,769
LifePath 2020		1,381,550
LifePath 2030		814,717
LifePath 2040		458,216

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MIP has entered into an administrative services arrangement with Barclays Global Investors, N.A. (“BGI”) who has agreed to provide general administrative services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, counsel and independent registered accounting firm), to the Master Portfolios. BGI is entitled to receive a fee at an annual rate of 0.02% of the average daily net assets of the Russell 2000 Index Master Portfolio, and 0.10% of the first $1 billion, and 0.07% thereafter, of the average daily net assets of the International Index Master Portfolio. BGI is not entitled to compensation for providing administration services to the S&P 500 Index and LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to a corresponding feeder fund that invests substantially all of its assets in these Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from these Master Portfolios. BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their average daily net assets. BGI may delegate certain of its administration duties to sub-administrators.

Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from BGI for its services as sub-administrator of the Master Portfolios.

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the six months ended June 30, 2005, BGI earned securities lending agent fees as follows:



Master Portfolio	Securities lending agent fees
S&P 500 Index	$	100,849
Russell 2000 Index		80,079
International Index		38,802
LifePath Retirement		16,980
LifePath 2010		67,834
LifePath 2020		151,227
LifePath 2030		75,120
LifePath 2040		44,930
Active Stock		26,060
CoreAlpha Bond		49,882

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the six months ended June 30, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.

Because the International Index Master Portfolio seeks to match the total return performance of foreign stock markets by investing in common stocks included in its benchmark index, the Master Portfolio held shares of Barclays PLC. As a result of using an index approach to investing, the LifePath Master Portfolios held shares of Barclays PLC prior to March 15, 2004, the date the LifePath Master Portfolios converted to a fund-of-funds structure. Barclays PLC is an affiliate of BGFA, the Master Portfolios’ investment adviser.

Pursuant to Rule 17a-7 under the 1940 Act, the S&P 500 Index, Russell 2000 Index and Active Stock Master Portfolios executed cross trades for the six months ended June 30, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. The Board reviewed all such transactions executed during the first quarter of the fiscal year and concluded that they were in compliance with the requirements and restrictions set forth by Rule 17a-7. The Board is scheduled at its next meeting to review all such transactions executed during the second quarter of the fiscal year.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”) and Prime Money Market Fund (“PMMF”) of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by BGFA, the Master Portfolios’ investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. While the GMMF, IMMF and PMMF do not directly charge an investment advisory fee, the Master

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Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF and PMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments or from investment of securities lending collateral are recorded as either interest from affiliated issuers or securities lending income, respectively, in the accompanying Master Portfolios’ Statements of Operations.

The Master Portfolios may invest in the shares of ETFs, including shares of ETFs of which BGI is an affiliate, to obtain exposure to the stock market while maintaining flexibility to meet the liquidity needs of the Master Portfolios.

The following table provides information about the investment by each Master Portfolio in shares of issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the six months ended June 30, 2005, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.



Master Portfolio and Name of Affiliated Issuer	Number of shares held beginning of period (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of period (in 000s)	Value at end of period		Dividend and interest income		Net realized gain (loss)

S&P 500 Index
IMMF	17,466	9,773,121	9,737,359	53,228	$	53,227,880	$	1,062,156	$	—

Russell 2000 Index
IMMF	3,772	1,061,310	1,060,365	4,717		4,716,886		118,988		—
iShares Russell 2000 Index Fund (a)	107	—	—	107		6,817,174		45,000		—

International Index
Barclays PLC	80	15	1	94		933,375		28,262		(212	)
IMMF	856	91,602	91,663	795		795,007		9,552		—
iShares MSCI EAFE Index Fund (b)	33	15	15	33		1,715,825		—		160,712

LifePath Retirement
IMMF	1,282	152,066	152,351	997		996,847		16,250		—
iShares MSCI EAFE Index Fund (b)	291	65	6	350		18,349,440		—		13,594
iShares Russell 2000 Index Fund (a)	66	30	96	—		—		20,584		175,451
iShares S&P 500 Index Fund	—	33	33	—		—		—		(21,540	)
iShares S&P MidCap 400 Index Fund (a)	64	46	—	110		7,506,435		27,711		—
iShares S&P SmallCap 600 Index Fund (b)	—	104	15	89		4,920,714		10,945		31,540

LifePath 2010
IMMF	3,359	395,848	394,302	4,905		4,904,805		41,586		—
iShares MSCI EAFE Index Fund (b)	1,080	210	—	1,290		67,603,480		—		—
iShares Russell 2000 Index Fund (a)	214	85	299	—		—		63,570		603,503
iShares S&P 500 Index Fund	—	154	154	—		—		967		(10,231	)
iShares S&P MidCap 400 Index Fund (a)	198	137	—	335		22,924,279		83,824		—
iShares S&P SmallCap 600 Index Fund (b)	—	315	60	265		14,573,367		34,204		136,138

(a) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005. (b) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005.

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Master Portfolio and Name of Affiliated Issuer	Number of shares held beginning of period (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of period (in 000s)	Value at end of period		Dividend and interest income		Net realized gain (loss)

LifePath 2020
IMMF	4,950	754,191	753,902	5,239	$	5,239,466	$	77,763	$	—
iShares MSCI EAFE Index Fund (b)	2,133	639	—	2,772		145,239,278		—		—
iShares Russell 2000 Index Fund (a)	344	197	541	—		—		112,800		918,896
iShares S&P 500 Index Fund	—	505	505	—		—		12,110		(504,884	)
iShares S&P MidCap 400 Index Fund (a)	316	315	—	631		43,192,880		152,624		—
iShares S&P SmallCap 600 Index Fund (b)	—	588	84	504		27,751,593		61,705		182,863

LifePath 2030
IMMF	3,255	477,293	477,699	2,849		2,849,186		50,415		—
iShares MSCI EAFE Index Fund (b)	1,518	505	—	2,023		105,962,704		—		—
iShares Russell 2000 Index Fund (a)	222	137	359	—		—		73,731		582,191
iShares S&P 500 Index Fund	—	402	402	—		—		17,566		(243,072	)
iShares S&P MidCap 400 Index Fund (a)	206	233	—	439		30,083,693		100,614		—
iShares S&P SmallCap 600 Index Fund (b)	—	394	60	334		18,395,937		41,325		130,170

LifePath 2040
IMMF	1,776	399,492	357,394	43,874		43,874,067		39,515		—
iShares MSCI EAFE Index Fund (b)	876	473	—	1,349		70,678,668		—		—
iShares Russell 2000 Index Fund (a)	134	100	234	—		—		46,738		334,360
iShares S&P 500 Index Fund	—	555	555	—		—		7,411		(478,877	)
iShares S&P MidCap 400 Index Fund (a)	124	228	—	352		24,078,297		64,339		—
iShares S&P SmallCap 600 Index Fund (b)	—	257	43	214		11,801,185		26,991		94,000

Active Stock
IMMF	4,370	456,502	456,589	4,283		4,282,808		50,179		—

CoreAlpha Bond
IMMF	92,515	17,114,950	17,093,077	114,388		114,387,882		1,908,138		—
(a) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005. (b) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005.

BGFA made a reimbursement to the Russell 2000 Index Master Portfolio of $13,685 to compensate the Master Portfolio for a loss incurred in executing investment transactions.

Certain Master Portfolios invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for each Master Portfolio does not include the Master Portfolio’s holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan.

Certain officers and trustees of MIP are also officers of BGI. As of June 30, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

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3. Investment portfolio transactions

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the six months ended June 30, 2005 were as follows:



	U.S. Government Obligations				Other Securities

Master Portfolio	Purchases		Sales		Purchases		Sales
S&P 500 Index	$	—	$	—	$	157,623,776	$	199,689,231
Russell 2000 Index		—		—		57,623,492		42,156,187
International Index		—		—		25,250,191		3,503,550
LifePath Retirement		—		—		38,878,541		13,883,669
LifePath 2010		—		—		127,236,553		47,931,730
LifePath 2020		—		—		278,407,280		110,544,051
LifePath 2030		—		—		191,680,873		82,842,824
LifePath 2040		—		—		203,012,086		85,717,356
Active Stock		—		—		483,344,044		326,331,587
CoreAlpha Bond		475,744,904		402,641,784		176,207,506		130,361,165

For the six months ended June 30, 2005, the S&P 500 Index Master Portfolio paid in-kind redemption proceeds of portfolio securities in the amount of $156,000,305. In-kind redemptions are transactions in which an interestholder in the Master Portfolio redeems interests in the Master Portfolio and the Master Portfolio pays the proceeds of that redemption in the form of portfolio securities, rather than cash. Because capital gains or losses resulting from in-kind redemptions are not taxable to the Master Portfolio, and are not allocated to the other interestholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in-capital at the end of the Master Portfolio’s tax year. The net realized gains or losses from in-kind redemptions for the six months ended June 30, 2005 are disclosed in the Master Portfolio’s Statement of Operations.

4. Portfolio securities loaned

Each Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities, plus the interest accrued on such securities, if any. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan plus accrued interest, if any. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of June 30, 2005, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of June 30, 2005 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

218

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)

5. Financial highlights

Financial highlights for each of the Master Portfolios were as follows:



Master Portfolio	Six months ended June 30, 2005 (Unaudited)		Year ended December 31, 2004		Year ended December 31, 2003		Year ended December 31, 2002		Year ended December 31, 2001		Year ended December 31, 2000
S&P 500 Index
Ratio of expenses to average net assets (a)	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of net investment income to average net assets (a)	1.82	%	1.91	%	1.74	%	1.57	%	1.31	%	1.22	%
Portfolio turnover rate (b)	7	%	14	%	8	%	12	%	9	%	10	%
Total return	(0.82	)%(c)	10.82	%	28.52	%	(22.05	)%	(11.96	)%	(9.19	)%
Russell 2000 Index
Ratio of expenses to average net assets (a)	0.10	%	0.10	%	0.10	%	0.10	%	0.10	%	0.09	%(e)
Ratio of net investment income to average net assets (a)	1.35	%	1.26	%	1.26	%	1.38	%	1.45	%	3.30	%(e)
Portfolio turnover rate (b)	19	%	20	%	48	%	28	%	46	%	0	%(e)
Total return	(1.22	)%(c)(d)	18.44	%	46.53	%	(20.32	)%	2.30	%	(4.40	)%(c)(e)
International Index
Ratio of expenses to average net assets (a)	0.25	%	0.25	%	0.25	%	0.25	%	0.25	%	0.25	%
Ratio of net investment income to average net assets (a)	3.58	%	2.05	%	2.21	%	1.92	%	1.50	%	1.47	%
Portfolio turnover rate (b)	3	%	39	%	18	%	20	%	7	%	45	%
Total return	(1.22	)%(c)	20.19	%	38.67	%	(16.36	)%(d)	(21.35	)%	(14.85	)%

(a) Annualized for periods of less than one year. (b) Portfolio turnover rate includes in-kind transactions, if any. (c) Not annualized. (d) The voluntary reimbursement made by the investment adviser to compensate the Master Portfolio for a loss incurred in executing investment transactions had no material impact on the total return for the period or year indicated. (e) Period from December 19, 2000 (commencement of operations) to December 31, 2000.

219

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)



Master Portfolio	Period ended June 30, 2005 (Unaudited)		Year ended December 31, 2004 (a)		Year ended December 31, 2003		Period ended December 31, 2002 (b)		Year ended February 28, 2002		Year ended February 28, 2001		Year ended February 29, 2000
LifePath Retirement
Ratio of expenses to average net assets (c) (d)	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%	0.55	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (i)	0.65	%	0.60	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.96	%	2.46	%	2.27	%	2.98	%	3.73	%(h)	4.40	%	4.03	%
Ratio of net investment income to average net assets prior to waived fees (c) (i)	2.62	%	2.17	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	7	%	138	%(g)	29	%	56	%	116	%	58	%	55	%
Total return	1.62	%(f)	6.85	%	12.45	%	(1.36	)%(f)	2.68	%	6.56	%	5.22	%
LifePath 2010
Ratio of expenses to average net assets (c) (d)	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%	0.55	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (i)	0.64	%	0.59	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.62	%	2.32	%	2.12	%	2.49	%	3.11	%(h)	3.49	%	3.20	%
Ratio of net investment income to average net assets prior to waived fees (c) (i)	2.28	%	2.03	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	9	%	130	%(g)	23	%	72	%	86	%	54	%	49	%
Total return	1.46	%(f)	7.88	%	16.16	%	(6.43	)%(f)	(0.70	)%	2.13	%	8.32	%
LifePath 2020
Ratio of expenses to average net assets (c) (d)	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%	0.55	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (i)	0.62	%	0.57	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.12	%	2.05	%	2.04	%	2.14	%	2.23	%(h)	2.38	%	2.27	%
Ratio of net investment income to average net assets prior to waived fees (c) (i)	1.78	%	1.77	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	14	%	140	%(g)	23	%	67	%	86	%	39	%	43	%
Total return	1.05	%(f)	9.77	%	21.11	%	(10.18	)%(f)	(4.99	)%	(3.14	)%	11.24	%
(a) For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios. (b) For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31. (c) Annualized for periods of less than one year. (d) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios and reflects BGFA’s voluntary waiver of investment advisory fees charged to the LifePath Master Portfolio in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds, including the underlying Master Portfolios. (e) Portfolio turnover rates include in-kind transactions, if any. (f) Not annualized. (g) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (h) Effective March 1, 2001, the LifePath Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the LifePath Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy. (i) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios.

220

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (Continued)



Master Portfolio	Period ended June 30, 2005 (Unaudited)		Year ended December 31, 2004 (a)		Year ended December 31, 2003		Period ended December 31, 2002 (b)		Year ended February 28, 2002		Year ended February 28, 2001		Year ended February 29, 2000
LifePath 2030
Ratio of expenses to average net assets (c) (d)	0.27	%	0.28	%	0.35	%	0.35	%	0.46	%	0.55	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (i)	0.60	%	0.56	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	1.71	%	1.93	%	1.98	%	1.81	%	1.74	%(h)	1.72	%	1.72	%
Ratio of net investment income to average net assets prior to waived fees (c) (i)	1.38	%	1.65	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	17	%	138	%(g)	32	%	68	%	53	%	27	%	26	%
Total return	0.85	%(f)	11.28	%	24.36	%	(13.05	)%(f)	(7.82	)%	(5.59	)%	13.44	%
LifePath 2040
Ratio of expenses to average net assets (c) (d)	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%	0.55	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (i)	0.60	%	0.56	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	1.42	%	1.74	%	1.86	%	1.57	%	1.13	%(h)	0.90	%	0.99	%
Ratio of net investment income to average net assets prior to waived fees (c) (i)	1.08	%	1.46	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	31	%	147	%(g)	29	%	62	%	15	%	20	%	29	%
Total return	0.66	%(f)	11.93	%	28.14	%	(15.63	)%(f)	(10.48	)%	(10.41	)%	16.41	%
Active Stock
Ratio of expenses to average net assets (c)	0.35	%	0.35	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c)	1.43	%	1.57	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	34	%	70	%	n/a		n/a		n/a		n/a		n/a
Total return	1.36	%(f)	10.40	%(g)	n/a		n/a		n/a		n/a		n/a
CoreAlpha Bond
Ratio of expenses to average net assets (c)	0.35	%	0.35	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c)	4.04	%	3.08	%	n/a		n/a		n/a		n/a		n/a
Portfolio turnover rate (e)	80	%	313	%	n/a		n/a		n/a		n/a		n/a
Total return	2.17	%(f)	1.30	%(g)	n/a		n/a		n/a		n/a		n/a
(a) For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios. (b) For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31. (c) Annualized for periods of less than one year. (d) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios and reflects BGFA’s voluntary waiver of investment advisory fees charged to the LifePath Master Portfolio in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds, including the underlying Master Portfolios. (e) Portfolio turnover rates include in-kind transactions, if any. (f) Not annualized. (g) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (h) Effective March 1, 2001, the LifePath Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the LifePath Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy. (i) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios.

221

Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited)

Under Section 15(c) of the 1940 Act, MIP’s Board of Trustees, including a majority of Trustees who are not interested persons of MIP (as that term is defined in the 1940 Act), who are commonly referred to as the “Independent Trustees,” is required annually to consider each Master Portfolio’s Investment Advisory Contract with BGFA (each, an “Advisory Contract”). Pursuant to Section 15(c), the Board is required to request and evaluate, and BGFA is required to provide, such information as may be reasonably necessary to evaluate the terms of the Advisory Contracts. At a meeting held on March 2, 2005, the Board approved the selection of BGFA and the continuance of the Advisory Contracts, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contracts for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

Nature, Extent, and Quality of Services Provided by BGFA

The Board reviewed the scope of services to be provided by BGFA under the Advisory Contracts and noted that there would be no differences between the scope of services required to be provided by BGFA for the past year and the scope of services required to be provided by BGFA for the upcoming year. In reviewing the scope of services provided to the Master Portfolios by BGFA, the Board reviewed and discussed BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time to the support of those funds and accounts for which they provide investment advisory/management services, including the Master Portfolios. The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolios. The Board further noted that BGFA provides information regarding portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolios. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of other registered investment companies with substantially similar investment objectives and strategies for which BGFA provides investment advisory services, noting that BGFA generally performed in line with its various benchmarks over relevant periods. The Board also noted that during BGFA’s term as investment adviser, the LifePath Master Portfolios had met their investment objectives consistently over time and that the Active Stock and CoreAlpha Bond Master Portfolios have met their investment objectives since their more recent inception. Based on this review, the Board concluded that the nature, extent, and quality of services to be provided by BGFA to the Master Portfolios under the Advisory Contracts were appropriate and continued to support the Board’s original selection of BGFA as investment adviser to the Master Portfolios.

Master Portfolios’ Expenses and Performance of the Master Portfolios

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Master Portfolio in comparison with the same information for other funds registered under the 1940 Act objectively determined solely by Lipper, as comprising each Master Portfolio’s applicable peer group (the “Lipper Peer Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of each Master Portfolio for the one-, three-, five- and 10-year, and “since inception” periods ended December 31, 2004, as applicable, and a comparison of each Master Portfolio’s performance to that of the funds in its Lipper Peer Group for the same periods. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Peer Groups and to prepare this information. The Board noted that the LifePath Master Portfolios generally performed in line with the funds in their Lipper Peer Group over relevant periods, while the Active Stock Master Portfolio generally performed better than its Lipper Peer Group over its relatively short-term “since inception” period. The Board also noted that the CoreAlpha Bond Master Portfolio generally underperformed its Lipper Peer Group over its relatively short-term “since inception” period; however, the Board further noted that for a similar period, the CoreAlpha Bond Master Portfolio generally performed in line with its benchmark. The Board also noted that the advisory fees and overall expenses for the LifePath Master Portfolios were the lowest of the advisory fee rates and overall expenses of the funds in their Lipper Peer Group, noting BGFA’s voluntary waiver of certain advisory fee amounts based on the advisory fees and/or administrative fees charged by BGFA and/or BGI to the funds in which the LifePath Master Portfolios invest. The Board noted that the advisory fees for each of the Active Stock and CoreAlpha Bond Master Portfolios were generally lower than the advisory fee rates of the funds in their respective Lipper Peer Groups, and the overall expenses for each of the Active Stock and CoreAlpha Bond Master Portfolios were the lowest of the overall expenses of the funds in their respective Lipper Peer Groups. Based on this review, the Board concluded that the advisory fees and expense levels and the historical performance of the Master Portfolios, as managed by BGFA, as compared to the advisory fees and expense levels and performance of the funds in the Lipper Peer Groups, were satisfactory for the purposes of approving the continuance of the Advisory Contracts.

222

Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

Costs of Services Provided to Master Portfolios and Profits Realized by BGFA and Affiliates

The Board reviewed information about the profitability of the Master Portfolios to BGFA based on the fees payable under the Advisory Contracts for the last calendar year. The Board analyzed the Master Portfolios’ expenses, including the investment advisory fees paid to BGFA. The Board also reviewed information regarding direct revenue received by BGFA and ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to the Master Portfolios by BGFA (as discussed below). The Board also discussed BGFA’s profit margin as reflected in the Master Portfolios’ profitability analysis. Based on this review, the Board concluded that the profits to be realized by BGFA and its affiliates under the Advisory Contracts and from other relationships between the Master Portfolios and BGFA and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.

Economies of Scale

In connection with its review of the Master Portfolios’ profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolios’ asset levels. The Board noted that the Advisory Contracts for the Active Stock, CoreAlpha Bond, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Russell 2000, and S&P 500 Index Master Portfolios do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Active Stock, CoreAlpha Bond, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Russell 2000, and S&P 500 Index Master Portfolios. The Board also noted that the Advisory Contract for the International Index Master Portfolio provides for a breakpoint in the investment advisory fee rate as a result of increases in the International Index Master Portfolio’s asset levels; however the Board in addition noted that the International Index Master Portfolio’s asset levels do not currently meet the first breakpoint under its Advisory Contract. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ interestholders the opportunity to share in economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that with respect to each Master Portfolio, BGFA generally is providing services at a loss, and the relatively low investment advisory fee rates for the Master Portfolios, the Board determined that whether further economies of scale may be realized by the Master Portfolios or reflected in fee levels was not a significant factor in its consideration of whether to approve continuance of the Advisory Contracts.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BGFA and its Affiliates

The Board also received and considered information regarding the Master Portfolios’ annual investment advisory fee rates under the Advisory Contracts in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA or BGI, an affiliate of BGFA, provides investment advisory/management services, including other funds registered under the 1940 Act, collective funds and separate accounts. The Board noted that BGFA had provided the Board with information regarding how the level of services provided to the other funds registered under the 1940 Act, collective funds and separate accounts differed from the level of services provided to the Master Portfolios. The Board analyzed the level of the investment advisory/management fees in relation to the nature and extent of services provided to the Master Portfolios in comparison with the nature and extent of services provided to the other funds/accounts, including, among other factors, the level of complexity in managing the Master Portfolios and the other funds/accounts under differing regulatory requirements and the various client guidelines or other requirements, the nature and extent of the support services provided to the Master Portfolios and their interestholders in comparison with the nature and extent of the services provided to the other funds/accounts and their clients, and in relation to the Master Portfolios’ and the other funds’/accounts’ fee structures and asset levels. The Board noted that the investment advisory fee rates under the LifePath Master Portfolios’ Advisory Contract were lower than the investment management fee rates for the collective funds and within the range of the investment advisory fee rates for other funds registered under the 1940 Act. The Board noted that the investment advisory fee rates under the Advisory Contracts for the Active Stock, CoreAlpha Bond, International Index, S&P 500 and Russell 2000 Index Master Portfolios were the same as or within the ranges of the investment advisory/management fee rates for the funds registered under the 1940 Act, collective funds and separate accounts. The Board noted that any differences between the advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the other funds/accounts for which BGFA or BGI provides investment advisory/management services appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the funds/accounts. Based on this review, the Board determined that the investment advisory fee rates under the Advisory Contracts do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that

223

Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rates under the Advisory Contracts are fair and reasonable.

Other Benefits to BGFA and/or its Affiliates

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to the Master Portfolios by BGFA, such as the payment of securities lending revenue to BGI, MIP’s securities lending agent, and the payment of advisory fees and/or administration fees to BGFA and BGI in connection with the Master Portfolios’ investments in other funds for which BGFA provides investment advisory services and/or BGI provides administration services and the associated voluntary waivers by BGFA and/or its affiliates of those fees, if any. The Board noted that BGFA and its affiliates do not use soft dollars or consider the value of research or other services that may be provided to BGFA or its affiliates in connection with portfolio transactions for the Master Portfolios. The Board further noted that any portfolio transactions on behalf of the Master Portfolios placed through an affiliate of the Master Portfolios or BGFA are reported to the Board pursuant to Rule 17e-1 under the 1940 Act. The Board concluded that any such ancillary benefits would not be disadvantageous to the Master Portfolios’ interestholders.

Based on the above analysis, the Board determined that the Advisory Contracts, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolios and their interestholders to continue the Advisory Contracts.

224

LOGO

Pursuant to Securities and Exchange Commission Staff guidance contained in Letter to Chief Financial Officers from Lawrence A. Friend, dated November 7, 1997, “Investment Co. Accounting Guidance,” the foregoing State Farm Mutual Fund Trust semi-annual report included as Item 1 on this Form N-CSR and sent to shareholders of registrant, includes the financial statements and notes to financial statements of ten series of Master Investment Portfolio (MIP) in which certain series of the registrant invest. MIP is unaffiliated with registrant and registrant has no control over the preparation or content of the information included in MIP’s financial statements and notes to financial statements.

ITEM 2.

CODE OF ETHICS.

Not applicable.

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6.

SCHEDULE OF INVESTMENTS.

The information required by this Item 6 is included as part of the report to shareholders under Item 1 of this Form N-CSR.

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There were no material changes to the procedures by which shareholders may recommend nominees to the State Farm Mutual Fund Trust Board of Trustees.

ITEM 11.

CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer evaluated the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of this report (the “Evaluation Date”), and based on their evaluation as of the Evaluation date of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)) (as applicable), concluded that the registrant’s disclosure controls and procedures are effective.

(b) No change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12.

EXHIBITS.

(a)(1) Not applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto as EX-99.CERT.

(a)(3) Not applicable.

(b) Certification of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b))(as applicable), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350): Attached hereto as EX-99.906CERT.

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.


State Farm Mutual Fund Trust

By		/S/ EDWARD B. RUST, JR.
		Edward B. Rust, Jr.
		President

Date 9/2/2005

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/ EDWARD B. RUST, JR.
		Edward B. Rust, Jr.
		President

Date 9/2/2005



By		/S/ MICHAEL L. TIPSORD
		Michael L. Tipsord
		Senior Vice President and Treasurer

Date 9/2/2005