State Farm Mutual Fund Trust

N-CSR 1 dncsr.htm STATE FARM MUTUAL FUND TRUST State Farm Mutual Fund Trust

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		Alan Goldberg
One State Farm Plaza		Bell, Boyd & Lloyd LLC
Bloomington, Illinois 61710-0001		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: 12/31/2005

ITEM 1.

REPORTS TO STOCKHOLDERS.

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Table of Contents


Message to Shareholders		1
State Farm Equity Fund		3
State Farm Small Cap Equity Fund		6
State Farm International Equity Fund		9
State Farm S&P 500 Index Fund		12
State Farm Small Cap Index Fund		15
State Farm International Index Fund		18
State Farm Equity and Bond Fund		21
State Farm Bond Fund		24
State Farm Tax Advantaged Bond Fund		27
State Farm Money Market Fund		30
State Farm LifePath^® Funds		31
Expense Example (unaudited)		47

Schedule of Investments
State Farm Equity Fund		55
State Farm Small Cap Equity Fund		57
State Farm International Equity Fund		60
State Farm Small Cap Index Fund		64
State Farm International Index Fund		84
State Farm Equity and Bond Fund		97
State Farm Bond Fund		98
State Farm Tax Advantaged Bond Fund		104
State Farm Money Market Fund		109


Financial Statements
Statements of Assets and Liabilities		110
Statements of Operations		114
Statements of Changes in Net Assets		116
Notes to Financial Statements		122
Financial Highlights		142
Report of Independent Registered Public Accounting Firm		172
Management Information		173
Master Investment Portfolio
Schedule of Investments
S&P 500 Index Master Portfolio		176
LifePath Retirement Master Portfolio		186
LifePath 2010 Master Portfolio		190
LifePath 2020 Master Portfolio		194
LifePath 2030 Master Portfolio		198
LifePath 2040 Master Portfolio		202
Active Stock Master Portfolio		206
CoreAlpha Bond Master Portfolio		213
Financial Statements
Statements of Assets and Liabilities		225
Statements of Operations		228
Statements of Change in Net Assets		231
Notes to Financial Statements		236
Report of Independent Registered Public Accounting Firm		247
Trustees Information		248

Investment return and principal value will fluctuate and Fund shares, when redeemed, may be worth more or less than their original cost. Recent performance may be less than the figures shown in this report. Obtain total returns for the Funds current to the most recent month-end at statefarm.com^® under the Mutual Funds tab or by calling our Securities Response Center at 1.800.447.4930. Average annual total return for the Funds reflects the reinvestment of all dividends and capital gains, and includes all applicable fees and expenses.

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.

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.

Securities Products Response Center 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^®

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Message to Shareholders of State Farm Mutual Fund Trust

Thank you for investing with State Farm Mutual Funds^®. Enclosed is the Annual Report for the 12-month period ended December 31, 2005, for the State Farm Mutual Fund Trust (the “Trust”). For each of the fifteen Funds offered by the Trust, you will find management’s discussion of investment philosophy and process, market and fund-specific factors that affected each Fund’s performance over the 12-month period, and benchmark index comparisons to put each Fund’s performance into context. This Annual Report also includes the Trust’s 2005 fiscal year-end audited financial statements and a complete list of portfolio holdings for each fund to help you further understand the Fund(s) you own. We encourage you to review this entire report.

Corporate Action

Results of the June Special Shareholder Meeting were reported in the Semi-Annual Report dated June 30, 2005, for the Trust. Subsequent to that report was the actual transfer of investment management duties for three Funds of the Trust to sub-advisers. Capital Guardian Trust Company assumed the sub-advisory investment management duties for the State Farm Equity Fund, and Northern Trust Investments, N.A. assumed the sub-advisory investment management duties for both the State Farm Small Cap Index and International Index Funds. More detailed information on these transitions and the new sub-advisers is included in the Management Discussion of Fund Performance for each respective Fund.

One of the other key elements of the Special Shareholder Meeting was the approval of what’s referred to as “Manager-of-Managers” authority for a majority of the Funds within the Trust. A Manager-of-Managers structure would allow the Trust’s Board of Trustees to appoint additional or replacement sub-advisers without obtaining shareholder approval – which is a cost savings for the Trust. Final implementation of this structure will not occur until the Securities and Exchange Commission grants an Exemptive Order.

Market Review

The U.S. stock market as represented by the S&P 500^® Index struggled for most of the reporting period with a negative trend before finishing the year with positive results. Weighing on the market at various points were external factors like the Federal Reserve raising interest rates, rapidly rising energy prices, and the economic and social disruptions of a catastrophic hurricane season. As Winston Churchill once said, “A pessimist sees difficulty in every opportunity. An optimist sees the opportunity in every difficulty.” As such, the S&P 500 Index closed out 2005 with a gain of 4.91% for the year. Performance was stronger among international equities as represented by the MSCI EAFE^® Free Index gain of 13.54% in 2005.¹

Source: Lipper Analytics. The S&P 500^® Index is a capitalization-weighted measure of common stocks of 500 large U.S. companies. The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE^® Free) Index measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East. It is not possible to invest directly in an index. Foreign securities involve risks not normally associated with investing in the U.S. including higher trading and custody costs, less stringent accounting, legal and reporting practices, potential for political and economic instability, and the fluctuation and potential regulation of currency exchange and exchange rates. Past performance does not guarantee future results.

yields over the past year, however, were not measured. The 10-year U.S. Treasury bond yield closed December 2005 at 4.39% which was 0.15% higher than where it started the year after declining to a low of 4.00% in February. The up/down swing of the 30-year U.S. Treasury bond yield went from a start of 4.82%, to a low of 4.19% in June, to a high of 4.85% in November, before settling at 4.55% at the end of the year. As a result, long maturity bonds outperformed both intermediate and short maturity bonds over the 1-year reporting period.²

Market volatility across equity and fixed income asset classes is always present. Being diversified with a portfolio designed to fit your needs can be an important part of an investment plan. Your Registered State Farm Agent is there to help you. Working with someone you know can be a comfort when making important decisions about your future.

Thank you for your continued investment and for entrusting your assets to State Farm Mutual Funds^®.

Sincerely,

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Phillip G. Hawkins

Vice President

State Farm Investment Management Corp.

Source: Bloomberg and the U.S. Department of the Treasury. U.S. Treasury securities are backed by the full faith and credit of the U.S. government and are guaranteed only as to the prompt payment of principal and interest, and are subject to market risks if sold prior to maturity. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. Past performance does not guarantee future results.

State Farm Equity Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

Based on shareholder approval at the June 17, 2005 Special Shareholder Meeting, the State Farm Equity Fund (the “Fund”) became sub-advised by Capital Guardian Trust Company (“Capital Guardian”) effective September 1, 2005. At the same time the benchmark for the Fund changed to the Russell 1000^{^®} Value Index as compared to the previous S&P 500 Index benchmark. The reason behind the need for the benchmark change was to coincide with the Fund being managed with more of a value-oriented investment style than before the September 1^st transition.

The Fund, under normal circumstances, invests at least 80% of its net assets in common stocks of U.S. companies with market capitalizations of at least $1.5 billion. Capital Guardian chooses stocks for the portfolio for their long-term potential for capital growth, which is consistent with the objective of the Fund since inception. In making investment decisions on specific securities, however, Capital Guardian looks for companies with one or more of the following characteristics: below-market price-to-earnings, below-market price-to-book value, and above market yield.

Describe the relevant market environment as it related to the Fund for the reporting period.

A second-half rally in the U.S. stock market as represented by the S&P 500 Index resulted in a gain for the year of 4.91%. This gain was supported by corporate profits that grew on average at a double-digit pace. U.S. economic growth was resilient despite higher energy prices, devastating hurricanes, and rising short-term interest rates. The Energy sector was the best performing sector of the U.S. market with a gain for the year 2005 in excess of 30%. With the United States being the largest consumer of energy in the world, escalating oil prices topped the headlines during much of the period. The Utilities sector was the second best performing sector in the U.S. market with a gain for the year in excess of 16%.

The Financial Services sector closed out 2005 with a slightly positive gain thanks to a 6% return during the fourth-quarter of the year. Insurance, real estate-related, and diversified financial services companies led the way while commercial banks declined on average in 2005. The worst performing sectors in the market were Consumer Discretionary – particularly companies in industries related to Auto and Media – and the Telecommunication Services sector.

Provide an illustration of the Fund’s investments.

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Illustrated by Sector and based on total net assets as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm Equity Fund had a total return of 6.76% (without sales charges) compared to a 4.91% return for the S&P 500^® Index and 7.05% return for the Russell 1000^® Value Index over the same timeframe. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm Equity Fund had a total return of 12.22% (without sales charges) versus the S&P 500^® Index return of 14.39% and Russell 1000^® Value Index return of 17.49%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

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Institutional shares inception date 11/01/2001. Class R-1, Class R-2 and Class R-3 shares inception date 09/13/2004. Institutional, Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Class A and Class B shares because of differing loads and expenses between the share classes.

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, a maximum sales charge of 2% for Class B shares at five years, and a maximum sales charge of 1% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 1% for Class B shares at the end of the most recent fiscal year. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. A fund may have commenced investment operations on or before 12/18/00, which is the SEC effective registration date for the State Farm Mutual Fund Trust.

S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Russell 1000^® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Unlike an investment in the Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The transition to Capital Guardian on September 1^st led to substantial turnover within the Fund’s portfolio. Positions in 72 companies were eliminated from the portfolio while 61 new companies were added to the portfolio. Further, 14 of the top 20 holdings as of December 31, 2005, were new to the portfolio after this change. This effort resulted in a capital gain distribution to shareholders on December 23 equivalent to 9% of the Fund’s closing NAV on December 22, 2005. Prior to this event the Fund had never paid a capital gain distribution and kept turnover below 5% on an annual basis since inception.

The Fund’s exposure to Energy, the top-performing sector for the year, contributed the most to overall performance. Prior to the transition to Capital Guardian, Energy was the largest sector weighting in the Fund at 15.9% of net assets as of August 31, 2005. That eight-month period was also a period of positive performance for the sector. After the September 1^st transition that weighting was reduced to 8.51% of net assets as of December 31, 2005. Reducing the Fund’s energy weighting was beneficial as the Energy sector declined over -9% the last 3 months of the year. The Fund’s largest holding in this sector was Royal Dutch Shell (3.12% of net assets for ADR Class A&B combined) which returned approximately 20% for the year. Transocean, an offshore drilling company, was the second largest holding in this sector (1.57% of net assets) and one of the best performing stocks in the Fund with a share price gain of over 70%. Other large holdings in the Energy sector that were positive contributors for the Fund include: Kinder Morgan (1.43% of net assets), Exxon Mobil (1.06% of net assets) and Chevron (0.88% of net assets).

The Financials sector made up the largest allocation of the portfolio at year end with 27.84% of net assets. Prior to the transition the Financials sector made up 11.2% of net assets. This increased exposure was beneficial as Financials were the second-best performing sector for the 4^th quarter of 2005 with a gain of almost 6% during that time. The Fund’s largest two holdings were JPMorgan Chase (3.99% of net assets) and Washington Mutual (3.30% of net assets), both of which had virtually flat stock prices for the year while the commercial banking industry overall declined during 2005. The Fund’s other large holdings in this sector, Wells Fargo (2.37% of net assets), also had a virtually flat stock price for the year while General Growth Properties (2.35% of net assets), a Real Estate Investment Trust, gained in value approximately 35% for the year.

One of the largest detractors to performance for the Fund included General Electric (2.92% of net assets) which declined -2% for the year and was held in the Fund both before and after the sub-adviser transition. International Business Machines (IBM) and Wal-Mart were both held in the Fund prior to the September transition but were subsequently liquidated. IBM declined -18% through August prior to liquidation while Wal-Mart declined -14% for the same timeframe.

Given the performance analysis above, what factors should shareholders take into consideration when reviewing the Fund’s performance?

2005’s portfolio turnover and subsequent capital gain distribution stemmed from the hiring of Capital Guardian as sub-adviser to the portfolio. In the years prior to that transition, the Fund’s annual turnover ratio had been below 5%.

Financial highlights for this Fund can be found on pages 142-143.

State Farm Small Cap Equity Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Small Cap Equity Fund (the “Fund”) seeks long-term growth of capital. In doing so, the Fund seeks to outperform the Russell 2000^® Index over the long-term by investing primarily in stocks issued by U.S. companies with market capitalizations of under $1.5 billion. An allocation to small cap stocks allows for investment exposure to companies in the early stages of development. Often, these companies will possess breakthrough products, technologies, or services, or be attractively positioned in fast-growing markets.

The Fund’s sub-advisor, Capital Guardian Trust Company (Capital Guardian), has a global network of small cap equity analysts, each specializing in specific sectors and regions, performing in-depth quantitative and qualitative research on thousands of companies worldwide. Capital Guardian believes that global research has become crucial in managing U.S. equities, as most U.S. corporations now rely on opportunities in non-U.S. markets for a substantial portion of their revenues and are increasingly challenged by non-U.S. competitors both at home and abroad. Based on the research carried out by the analysts, portfolio managers look for quality companies at attractive prices that they hope will outperform their industry-specific peers and benchmark over time. In keeping with Capital Guardian’s bottom-up research philosophy, the weighting of any given company or sector reflects the assessments and outlooks for those securities. While portfolio managers at Capital Guardian are mindful of benchmark characteristics, the benchmark is not central to their decisions.

Describe the relevant market environment as it related to the Fund for the reporting period.

With the small-cap Russell 2000^® Index down -10% through the first four months of the year, a May-July summer rally of 17.67% helped small cap stocks finish the year with a 4.55% gain. The small-cap market was supported by solid corporate profits and economic growth despite higher energy prices, devastating hurricanes and rising short-term interest rates. Small-cap stocks under-performed large-cap stocks as represented by the S&P 500 Index which gained 4.91% in 2005. Prior to 2005, small cap stocks had outperformed large cap stocks for six straight calendar year periods (1999-2004).

Economically sensitive stocks had better returns than defensive stocks during the year. While energy declined during the fourth quarter, it led the market in previous quarters and accounted for roughly half of the Russell 2000’s returns for the year. The industrial, health care, and materials sectors also had positive returns during the year. Negative returns came from the consumer discretionary, consumer staples, and information technology sectors.

Provide an illustration of the Fund’s investments.

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Illustrated by Industry and based on total net assets as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Represents 2 other industries, each of which represent less than 2% of net assets.

How did the Fund perform during the reporting period?

Class A shares of the State Farm Small Cap Equity Fund finished 2005 with a total return of 1.57% without sales charges. The Fund underperformed the 4.55% return of the Russell 2000^® Index for the same time period. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm Small Cap Equity Fund had a total return without sales charges of 14.56% versus the Russell 2000^® Index return of 22.13%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

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Institutional shares inception date 2/28/2002. Class R-1, Class R-2 and Class R-3 shares inception date 09/13/2004. Institutional, Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Class A and Class B shares because of differing loads and expenses between the share classes.

The Russell 2000^® Index tracks the common stock performance of the 2,000 smallest U.S. companies in the Russell 3000^® Index, which represents approximately 10% of the total capitalization of the Russell 3000^® Index. Unlike an investment in the Small Cap Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund ended 2005 with returns below that of the Russell 2000^® Index despite positive returns by many of the Fund’s top holdings. Overall there were several key companies that together accounted for the majority of the fund’s underperformance during the year. Within the industrial sector, and more specifically – the airline industry, our holdings in Delta Air Lines and Northwest Airlines were the top 2 detractors from results during 2005 as both of these companies filed for bankruptcy and lost nearly all their equity value. Airlines were hit particularly hard during the year on the heels of record high fuel costs, and increased competition from low cost carriers like Southwest Airlines (not owned by the Fund) and JetBlue (1.01% of total net assets). Despite efforts to cut costs and restructure their organizations, both Delta and Northwest were eliminated from the portfolio.

Stock selection within the information technology sector was also a detractor to performance, primarily in the area of computer hardware (Gateway, Inc. 0.97% of total net assets, declined -58%) and semiconductor & semiconductor equipment companies, such as LTX Corp. (0.29% of total net assets, declined -41%). Other individual names that underperformed during the year were Sapient Corp (1.73% of total net assets, declined -28%), Brocade Communications (0.33% of total net assets, declined -47%), and Overland Storage (declined -52% for the year and was liquidated from the portfolio).

While the energy sector was the top performing sector within the Index during the year, the Fund’s underweight position (5.66% vs. 6.63%) combined with poor stock selection made it one of the top detractors to overall Fund returns during the year. Exposure to poor performing energy holdings like Alpha Natural Resources (1.31% of total net assets, declined -26%) and Key Energy Services (declined -2% and was liquidated from the portfolio) hurt the relative performance of the Fund within the energy sector.

On the positive side, stock selection in the financial sector, primarily within small cap banking and real estate industries, was the top contributor to Fund results for the year. Trammell Crow (1.21% of total net assets, gained 41%), SL Green Realty (1.36% of total net assets, gained 31%), and Zenith National Insurance Corp (0.15% of total net assets, gained 42%) were the top overall contributors to performance within the sector. Performance was also helped by the consumer discretionary sector. Within the consumer discretionary sector, Beazer Homes (0.84% of total net assets, gained 50%), Orient Express Hotels (1.17% of total net assets, gained 54%), Six Flags (0.20% of total net assets, gained 44%), and California Pizza Kitchen (0.72% of total net assets, gained 39%) were the top overall contributors to performance.

Financial highlights for this Fund can be found on pages 144-145.

State Farm International Equity Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm International Equity Fund (the “Fund”) seeks long-term growth of capital. In doing so, the Fund seeks to outperform the MSCI EAFE^® Free Index over the long-term by investing primarily in large cap stocks in developed international markets.

The Fund’s sub-advisor, Capital Guardian Trust Company (Capital Guardian), has a global network of equity analysts, each specializing in specific sectors and regions, performing in-depth quantitative and qualitative research on thousands of companies worldwide. Based on the research carried out by the analysts, portfolio managers look for quality companies at attractive prices that they hope will outperform their industry-specific peers and benchmark over time. In keeping with Capital Guardian’s bottom-up research philosophy, the weighting of any given company or sector reflects the assessments and outlooks for those securities. While portfolio managers at Capital Guardian are mindful of benchmark characteristics, the benchmark is not central to their decisions.

Describe the relevant market environment as it relates to the Fund for the reporting period.

Non-U.S. stocks as represented by the MSCI EAFE^® Free Index rallied during the fourth quarter, capping off the year with a gain of 13.54%. Economically-sensitive cyclical stocks had better results than defensive stocks as economic growth in Europe and Japan showed improvement. Within the Index, the best returns came from the industrials, materials, financials and energy sectors. Negative returns came from wireless telecommunications.

Financial stocks led European markets within the Index. Insurance stocks rose on firmer premiums and a longer pricing cycle. Financial companies with capital markets operations profited from trading and investment banking.

The eurozone economy showed improvement against a political backdrop of social unrest in France and the formation of a tenuous coalition government in Germany. Japan’s Nikkei 225 index closed the year at 16,111 – its highest level since September 2000. Technology shares gained in value on better-than-expected earnings, weakness in the yen and buoyant U.S. consumer spending.

Japan was the largest country weighting in the Index at 25% as of December 31, 2005. For the year, the Japanese component of the MSCI EAFE^® Free Index gained 25.61%. The Japanese market benefited from what appeared to be a solid economic recovery as deflation concerns were abated in December with a rise in consumer prices, the first increase in five years.

Japan’s parliament approved the privatization of Japan Post, the centerpiece of Prime Minister Koizumi’s economic reforms.

Provide an illustration of the Fund’s investments.

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* Based on total net assets as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

** Represents 13 other countries each of which represent less than 2% of net assets.

How did the Fund perform during the reporting period?

Class A shares of the State Farm International Equity Fund had a total return without sales charges of 16.27% in 2005 after expenses. The Fund outperformed the MSCI EAFE^® Free Index return of 13.54% with net dividends included for the year ended December 31, 2005. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm International Equity Fund had a total return without sales charges of 20.40% versus the MSCI EAFE^® Free Index return of 23.68%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

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The Morgan Stanley Capital International Europe, Australasia and Far East Free ( EAFE^® Free) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East and takes into account local market restrictions on share ownership by foreigners. EAFE^® Free is meant to reflect actual opportunities for foreign investors in a local market. Unlike an investment in the International Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

Before the application of any sales charges, the Fund outperformed the MSCI EAFE^® Free Index during the year, primarily due to stock selection in the information technology, financial, consumer discretionary, and energy sectors. Japan was the dominant market contributing to Fund performance in 2005 when taking into consideration both the weighting and stock returns. The portfolio benefited from an overweight position to Japan relative to the Index, 32.91% versus 25.70%, respectively, in addition to providing seven of the top ten stocks that contributed to the overall Fund return.

Within technology, emphasis in the Fund was placed on industry leading companies gaining market share such as Softbank (2.90% of total net assets), Yahoo Japan (0.65% of total net assets), Nippon Electric Glass (0.52% of total net assets) and semiconductor equipment companies like Tokyo Electron (0.87% of total net assets) and Advantest (0.37% of total net assets).

Within the financial sector Japanese holdings such as Sumitomo Mitsui (2.69% of total net assets, which gained 46%), Mitsubishi Estate (1.91% of total net assets, which gained 78%), and Orix Corporation (1.26% of total net assets, which gained 88%) were the top contributors within the financial sector. Japanese financial companies benefited from the years spent cleaning up bad loans and restructuring their operations, along with improving their corporate dividend policies.

The biggest detractors came from the telecommunication service sector (specifically Vodafone stock, 2.53% of total net assets, which declined -20%) as well as the materials sector. From a country standpoint, stock selection in Switzerland (9.12% of total net assets) was the largest detractor to Fund returns with shares of Swisscom AG (0.43% of total net assets, which declined -17%) in particular, hurting returns.

The Fund increased its exposure to the information technology sector during the year. By the end of December, the Fund’s information technology weighting was 11.16% versus 6.21% for the MSCI EAFE^® Free Index. This helped performance as the Fund had better stock selection in this sector versus the Index. Unfortunately, the fund was also overweight in the telecommunication service sector with 8.53% of total net assets versus 5.62% for the Index which hurt returns, although that weighting declined over the course of the year.

From a country point of view, the Fund ended the year overweight Japan (32.91% of total net assets versus 25.65% for the Index), where market returns and economic growth improved. Within Europe’s major markets, the Fund was underweight the United Kingdom (16.17% of total net assets versus 23.99%) which was beneficial for the Fund’s performance and slightly underweight France (9.14% of total net assets versus 9.32%) and Germany (6.59% of total net assets versus 6.77%) relative to the Index. Stock selection in both France and Germany helped returns. Companies in Europe, particularly Germany, continued to restructure, becoming more profitable and more competitive.

Financial highlights for this Fund can be found on pages 146-147.

State Farm S&P 500 Index Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm S&P 500 Index Fund (the “Fund”) seeks to approximate as closely as practicable, before fees and expenses, the capitalization-weighted total rate of return of the Standard & Poor’s 500 Stock Index¹(the “Index”). The Index is composed of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The weightings of stocks in the Index are based on each stock’s relative total float-adjusted market capitalization (stock price multiplied by the number of investable shares outstanding). The percentage of the Fund’s assets, through its investment in the Master Portfolio, invested in a given stock is approximately the same as the percentage such stock represents in the Index.

The State Farm S&P 500 Index Fund is organized as a “feeder fund” in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, invests all its assets in a corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the Fund” are to the feeder fund or the Master Portfolio, as the context requires. Barclays Global Fund Advisors (“Barclays”) advises the Master Portfolio.

Describe the relevant market environment as it related to the Fund for the reporting period.

Domestic equity markets, as represented by the Index, delivered modest gains for 2005 despite increasing short-term interest rates and rising energy prices. During the reporting period, the Federal Reserve Board increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4 1/2 years. Oil prices continued to escalate during the reporting period. Already on the rise due to growing global demand, the price of oil surged to over $70 per barrel in the wake of Hurricane Katrina. By the end of 2005, oil topped $61 per barrel, an increase of 40% for the year. Consumer confidence levels rebounded in December to a level of 103.8, up from a low of 85 in October. Real economic growth of 3.5% combined with a decrease in unemployment in December to 4.9% were believed to be the catalysts behind this increase.

Provide an illustration of the Fund’s investments.

LOGO

Illustrated by Sector and based on total net assets in the Master Portfolio as of December 31, 2005. Please refer to the Schedule of Investments for the Master Portfolio later in this report for details concerning Fund holdings.

How did the Fund perform during the reporting period?

For the 12 months ended December 31, 2005, Class A shares of the State Farm S&P 500 Index Fund returned 4.08% without sales charges while the Index returned 4.91%. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm S&P 500 Index Fund had a total return without sales charges of 13.43% versus the S&P 500 Index return of 14.39%. The line graph and table below provide additional perspective on the Fund’s long term results.

“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.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the S&P 500 Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund satisfactorily tracked the Index in 2005, before fees and expenses that are not found within the Index.

The Index had negative returns for the first six months of 2005 but finished the year with a gain of 4.91%. In the end, only two of the ten sectors of the S&P 500 Index finished with a loss: Telecommunications, a 3.01% weighting in the Index, declined -5.62%, and Consumer Discretionary, a 10.37% Index weighting, declined -6.31%. Meanwhile, six sectors: Industrials (11.36% Index weighting), Technology (15.12% Index weighting), Consumer Staples (9.56% Index weighting), Materials (2.99% Index weighting), Financials (21.55% Index weighting), and Healthcare (13.35% Index weighting) had positive gains ranging from 1.0-6.5%. The remaining two sectors were more positive: Energy (9.32% Index weighting) had a gain in excess of 30% and Utilities (3.37% Index weighting) had a gain of over 16% for the year. Both sectors benefited from higher energy prices during the reporting period.

Among the Fund’s ten largest holdings as of December 31, 2005, performance was mixed for the reporting period. The strongest performer for the reporting period was the tenth-largest holding, Altria Group (1.37% of total net assets) which benefited from overturned tobacco litigation. Number two-holding, Exxon Mobil Corp. (3.08% of total net assets) also performed well with a 12% gain due largely to the rise in oil prices during the reporting period and its positive impact on corporate profitability. Number five and number eight-holdings, Procter & Gamble Co. (1.71% of total net assets) and insurer American International Group Inc. (1.56% of total net assets) delivered modest gains of 7% and 5% respectively. The share prices of pharmaceutical giant Pfizer Inc. (1.51% of total net assets) and healthcare company Johnson & Johnson (1.57% of total net assets) both declined for the reporting period by -10% and -3% respectively. General Electric Co., the Fund’s largest holding as of year-end at 3.26%, also declined for the reporting period by -2%.

Financial highlights for this Fund can be found on pages 148-149.

State Farm Small Cap Index Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Small Cap Index Fund (the “Fund”) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted total rate of return of the Russell 2000^® Index¹ (the “Index”). The Index measures the performance of the small-capitalization sector of the U.S. equity market and consists of the smallest 2,000 companies in the Russell 3000^® Index. The weightings of stocks in the Index are based on each stock’s relative total market capitalization (stock price multiplied by the number of shares outstanding).

Based on shareholder approval at the June 17, 2005 Shareholder Special Meeting, the State Farm Small Cap Index Fund became sub-advised by Northern Trust Investments, N.A. (“Northern Trust”) effective September 1, 2005. As a result of this change, the former master-feeder structure through Barclays Global Fund Advisors was dissolved and the Fund began being subadvised by Northern Trust. There was no change in the investment objective or philosophy of the Fund based upon this transition.

Describe the relevant market environment as it related to the Fund for the reporting period.

Small Capitalization stocks as represented by the Index rose 1.13% during the last quarter and finished the year 2005 with a gain of 4.55%. However, for the first year since 1998, the Index failed to outperform the large capitalization, Russell 1000^® Index. The large capitalization index returned 2.12% for the fourth quarter and 6.27% for the year.

While U.S. equity markets overall posted positive returns in 2005, oil prices, the dollar and interest rates dominated the headlines and contributed to the rather weak results. The Federal Reserve raised interest rates eight times during this year, bringing the total to thirteen 0.25% increases since this tightening cycle began in June 2004. As of the end of 2005, the Federal Funds rate stood at 4.25%. In the third quarter of 2005, supply disruptions caused by the impact of hurricanes Katrina and Rita in the U.S. were one factor that helped push crude oil prices briefly above $71 before retreating during the fourth quarter and finishing the year at $61 per barrel. After a peak at 6.3% in June 2003, the U.S. unemployment rate continued its slow decline, starting the year at 5.2% and finishing in December 2005 at 4.9%.

Provide an illustration of the Fund’s investments.

LOGO

Illustrated by Sector and based on total net assets as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

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.

How did the Fund perform during the reporting period?

For the 12 months ended December 31, 2005, Class A shares of the State Farm Small Cap Index Fund returned 3.55% without sales charges while the Russell 2000^® Index returned 4.55%. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm Small Cap Index Fund had a total return of 20.74% without sales charges versus the Russell 2000^® Index return of 22.13%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The Russell 2000^® Index tracks the common stock performance of the 2,000 smallest U.S. companies in the Russell 3000^® Index, which represents approximately 10% of the total capitalization of the Russell 3000^® Index. Unlike an investment in the Small Cap Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund satisfactorily tracked the Index in 2005, before fees and expenses that are not found within the Index.

Within the Index, economically sensitive stocks had better returns than defensive stocks during the year. Once again, the energy sector, supported by rising oil prices, was a major contributor to overall performance of the Index. Securities in this group gained 47% in 2005 after a gain of over 50% in 2004. While the return for the energy sector declined during the fourth quarter, it led the Index in previous quarters and accounted for roughly half of the Index return for the calendar year. Two of the Fund’s top-ten holdings were from the energy sector. Cimarex Energy Co., the third largest holding in the Fund with 0.27% of total net assets, gained 13% for the year, while the fourth largest holding, Cal Dive International, 0.23% of total net assets, gained 76% for the calendar year.

Both the Consumer Discretionary and Information Technology sectors declined -2% for the year. These two sectors were the largest detractors to performance given their large weighting within the Index at 15.34% and 17.32% respectively. Gateway Inc, a personal computer manufacturer, was one of the worst contributors to performance for the Fund in 2005 despite its small weighting of 0.05% of total net assets. Competition from large cap industry-leaders like Dell Computer and Hewlett Packard helped drive Gateway’s stock price down -58% in 2005.

The annual reconstitution of holdings within the Russell indices occurred on June 24, 2005. For the Russell 2000^® Index, the one-time 2005 reconstitution resulted in 17.8% turnover, slightly below 2004’s 18.8% turnover.

All of the Fund’s ten largest holdings as of December 31, 2005, delivered gains for the reporting period. In fact, two of these holdings gained in excess of 100%, medical device manufacturer Intuitive Surgical Inc. (0.34% of total net assets) gained 193%, and biotechnology company Vertex Pharmaceuticals Inc. (0.22% of total net assets) gained 162%. Also performing well was the Fund’s largest holding Amylin Pharmaceuticals Inc. (0.37% of total net assets) which gained 71% for the year.

Financial highlights for this Fund can be found on pages 150-151.

State Farm International Index Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm International Index Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morgan Stanley Capital International EAFE^® Free Index¹ (the “Index”). The Index has been developed by MSCI and includes stocks from Europe, Australia, and the Far East.

Based on shareholder approval at the June 17, 2005 Special Shareholder Meeting, the State Farm International Index Fund became sub-advised by Northern Trust Investments, N.A. (“Northern Trust”) effective September 1, 2005. As a result of this change, the former master-feeder structure through Barclays Global Fund Advisors was dissolved and the Fund began being subadvised by Northern Trust. There was no change in the investment objective or philosophy of the Fund based upon this transition.

Describe the relevant market environment as it related to the Fund for the reporting period.

The MSCI EAFE^® Free Index posted a 4.08% return for the fourth quarter of 2005, bringing the full year gain to 13.54% in U.S. dollar terms. Healthy economic growth of 3.5% in the U.S. also contributed to the positive demand for foreign goods and services from the U.S. Many countries represented in the Index also benefited from ongoing demand from China, whose economy grew at an estimated 11% rate in 2005. Oil prices, the U.S. dollar, and interest rates dominated the headlines for the fourth quarter and the year as the Federal Reserve raised interest rates twice more in the fourth quarter, bringing the total to eight 0.25% increases this year and thirteen 0.25% increases since the tightening cycle began in June 2004.

The U.S. dollar continued to strengthen relative to foreign currencies during the fourth quarter, rising 2.21% against the Euro and 3.05% against the British Pound. For the full year, the U.S. dollar posted a 15.23% rise against the Euro, an 11.83% increase against the British Pound and a 15.18% rise against the Japanese Yen.

Provide an illustration of the Fund’s investments.

LOGO

Based on total net assets as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

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

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.

How did the Fund perform during the reporting period?

For the 12 months ended December 31, 2005, Class A shares of the State Farm International Index Fund returned 12.67% without sales charges while the MSCI EAFE^® Free Index returned 13.54%. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the State Farm International Index Fund had a total return of 22.51% without sales charges versus the MSCI EAFE^® Free Index return of 23.68%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE^® Free) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East and takes into account local market restrictions on share ownership by foreigners. EAFE^® Free is meant to reflect actual opportunities for foreign investors in a local market. Unlike an investment in the International Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund satisfactorily tracked the Index in 2005, before fees and expenses that are not found within the Index. The Pacific region was the best performing region, up 8.60% during the fourth quarter in U.S. dollar terms. Japan was the best performing market of the fourth quarter, rising 11.85% on improving economic fundamentals and a belief that the long recession had finally ended. High profile Japanese companies, Softbank (0.29% of total net assets) gained 127.72%, Toyota (1.44% of total net assets) gained 13.02% and Mizuho Financial (0.74% of total net assets) gained 24.49% for the fourth quarter. For the year the Japanese component of the Index gained 25.61%.

European stocks increased modestly, rising only 1.95% in U.S. dollar terms on the back of the stronger U.S. dollar. Norway was the worst performer for the fourth quarter within the Index, with a -4.48% total return in U.S. dollar terms, but was the fourth best European market for the year on the strength of both listed energy and materials companies. Despite a positive fourth quarter, Ireland registered the worst U.S. dollar return for the year within the Index, falling -2.29%; however, with just a 0.78% weighting overall, its impact to performance of the Index was negligible.

The Financial sector, which is the largest sector by weighting in the Index, representing 27.87% at year end, rose 7.61% and for the year, up 15.33%, contributing most to the quarterly and annual performance of the Index. For the fourth quarter Fund holdings Mizuho Financial (0.74% of total net assets) gained 24.49%, UBS AG (0.96% of total net assets) gained 11.25%, and Unicredito Italiano S.p.A.(0.36% of total net assets) gained 21.41%. Meanwhile, Mizuho Financial (0.74% of total net assets) gained 57.48%, Mitsubishi UFJ Financial Group Inc. (0.96% of total net assets) gained 33.56%, and UBS AG (0.96% of total net assets) gained 13.20% for the entire calendar year period.

Lower oil prices in the fourth quarter were one element behind the energy sector’s dip into negative territory for the first time during the year, falling -7.48% during the fourth quarter and detracting most from the overall Index performance. Not surprisingly, some of the Fund’s larger energy holdings like Royal Dutch Shell PLC (CL A) (1.19% of total net assets) declined -8.34%, Total S.A.(1.36% of total net assets) declined -8.58%, and BP PLC (2.14% of total net assets) declined -10.81% and detracted most from the fourth quarter’s performance. For the year, the Fund’s holdings in the telecommunications sector (5.53% of total net assets) were the worst performers. Telefonica S.A. (0.65% of total net assets) declined -17.23%, France Telecom (0.39% of total net assets) declined -25.22%, Deutsche Telekom AG (0.44% of total net assets) declined -26.61% and Vodafone Group PLC (1.31% of total net assets) declined -20.55%.

Financial highlights for this Fund can be found on pages 152-153.

State Farm Equity and Bond Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Equity and Bond Fund (the “Fund”) is managed with a combination of stocks and bonds in the pursuit of long-term growth of principal while providing some current income.

The Fund invests all of its assets in shares of the State Farm Equity Fund (the “Equity Fund”) and the State Farm Bond Fund (the “Bond Fund”). Effort is made to maintain an investment mix of approximately 60% of assets in the Equity Fund and 40% of assets in the Bond Fund. The Fund never invests more than 75% of its net assets in either underlying fund. Although the Fund is not an asset allocation or market timing mutual fund, we do, from time to time, adjust the amount of its assets invested in each underlying fund as economic, market, and financial conditions warrant.

Based on shareholder approval at the June 17, 2005, Special Shareholder Meeting, the State Farm Equity Fund became sub-advised by Capital Guardian Trust Company (“Capital Guardian”) effective September 1, 2005. At the same time, the benchmark for the Equity Fund changed to the Russell 1000^® Value Index as compared to the previous S&P 500 Index benchmark. The reason behind the need for the benchmark change was to coincide with the Equity Fund being managed with more of a value-oriented investment style than before the September 1^st transition. Capital Guardian chooses stocks for the portfolio for their long-term potential for capital growth. In making investment decisions on specific securities, Capital Guardian looks for companies with one or more of the following characteristics: below-market price-to-earnings, below-market price-to-book value, and above market yield.

Describe the relevant market environment as it related to the Fund for the reporting period.

Because the Fund does not invest directly in individual stocks and bonds, the merits of the individual investments are evaluated separately by each underlying fund’s managers. You may wish to refer to the Management Discussion of Fund Performance for the Equity Fund and the Bond Fund in addition to the commentary provided here.

A second half rally in the U.S. stock market as represented by the S&P 500 Index resulted in a gain for the year of 4.91%. This gain was supported by corporate profits that grew on average at a double-digit pace. U.S. economic growth was resilient despite higher energy prices, devastating hurricanes, and rising short-term interest rates. The Energy sector was the best performing sector of the U.S. market with a gain for the year 2005 in excess of 30%. With the United States being the largest consumer of energy in the world, escalating oil prices topped the headlines during much of the period. The Utilities sector was the second best performing sector in the U.S. market with a gain for the year in excess of 16%.

After thirteen measured increases of 0.25% each to the short-term Fed Funds Rate beginning in 2004, the Federal Reserve appears to have reversed most of the accommodative stance it instilled since 2001. Changes to intermediate and long-term yields over the past year, however, were not measured. The 10-year U.S. Treasury bond yield closed December 2005 at 4.39% which was 0.15% higher than where it started the year after declining to a low of 4.00% in February. The up/down swing of the 30-year U.S. Treasury bond yield went from a start of 4.82% to a low of 4.19% in June, to a high of 4.85% in November, before settling at 4.55% at the end of the year.

Provide an illustration of the Fund’s investments.

LOGO

Based on total investments as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm Equity and Bond Fund had a total return of 4.70% (without sales charges). Because of the nature of the Fund (invests solely in shares of two underlying funds), a blended benchmark is used for comparison purposes. The change from the S&P 500 Index to the Russell 1000 Value Index

described above also resulted in a change to the blended benchmark. The former blended benchmark used 60% S&P 500 Index and 40% Lehman Brothers U.S. Aggregate Bond Index (rebalanced on a monthly basis). The blended benchmark used after the transition to Capital Guardian is 60% Russell 1000^® Value Index and 40% Lehman Brothers U.S. Aggregate Bond Index (rebalanced on a monthly basis). The total return of the blended benchmark after the transition was 5.27% for the 1-year period ended December 31, 2005. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the Fund had a total return of 8.47% (without sales charges) versus the blended benchmark (as revised after the transition to Capital Guardian) return of 11.88%. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

See footnotes for the Equity Fund and the Bond Fund for a description of the indices.

State Farm Investment Management Corp. computes the Blended Benchmark using 60% Russell 1000 Value Index and 40% Lehman Brothers U.S. Aggregated Bond Index. Unlike an investment in the Equity and Bond Fund, a theoretical investment in the Index or Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

The Former Blended Benchmark used prior to the portfolio transition on September 1, 2005 consisted of 60% S&P 500 Index and 40% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the Equity and Bond Fund, a theoretical investment in the Index or Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

Performance Analysis

What factors helped and hindered performance during the reporting period?

Equity portion of the Fund (approximately 60% throughout the period)

The transition to Capital Guardian on September 1^st led to substantial turnover within the Equity Fund portfolio. Positions in 72 companies were eliminated from the Equity Fund portfolio while 61 new companies were added to the portfolio. Further, 14 of the top 20 holdings as of December 31, 2005 were new to the Equity Fund portfolio after this change. The turnover resulted in a capital gain distribution to Equity Fund shareholders on December 23, equivalent to 9% of the Equity Fund’s closing NAV on December 22, 2005. Prior to this event, the Equity Fund had never paid a capital gain distribution and kept turnover below 5% on an annual basis since inception. It should be noted that the Equity and Bond Fund did not pay a capital gain distribution in 2005. However, due to IRS reporting timelines, this distribution from the Equity Fund will be incorporated in any potential 2006 capital gain distributions for the Equity and Bond Fund.

The Equity Fund’s exposure to Energy, the top-performing sector for the year, contributed the most to overall performance. Prior to the transition to Capital Guardian, Energy was the largest sector weighting in the Equity Fund at 15.9% of its net assets as of August 31, 2005. That eight-month period was also a period of positive performance for the sector. After the September 1^st transition, that weighting was reduced to 8.51% of the Equity Fund’s net assets as of December 31, 2005. Reducing the Equity Fund’s energy weighting was beneficial as the Energy sector declined over -9% the last 3 months of the year. The Equity Fund’s largest holding in this sector was Royal Dutch Shell (3.12% of the Equity Fund’s net assets for ADR Class A&B combined) which returned approximately 20% for the year. Transocean, an offshore drilling company, was the second largest holding in this sector (1.57% of the Equity Fund’s net assets) and one of the best performing stocks in the Equity Fund with a share price gain of over 70%. Other large holdings in the Energy sector that were positive contributors for the Equity Fund include: Kinder Morgan (1.43% of the Equity Fund’s net assets), Exxon Mobil (1.06% of the Equity Fund’s net assets) and Chevron (0.88% of the Equity Fund’s net assets).

The Financials sector made up the largest allocation of the portfolio at year-end with 27.84% of the Equity Fund’s net assets. Prior to the transition the Financials sector made up 11.20% of Equity Fund’s net assets. This increased exposure was beneficial as Financials were the second-best performing sector for the 4^th quarter of 2005 with a gain of almost 6% during that time. The Equity Fund’s largest two holdings were JPMorgan Chase (3.99% of the Equity Fund’s net assets) and Washington Mutual (3.30% of the Equity Fund’s net assets), both of which had virtually flat stock prices for the year while the commercial banking industry overall declined during 2005. The Equity Fund’s other large holdings in this sector, Wells Fargo (2.37% of the Equity Fund’s net assets), also had a virtually flat stock price for the year, while General Growth Properties (2.35% of the Equity Fund’s net assets), a Real Estate Investment Trust, gained in value approximately 35% for the year.

One of the largest detractors to performance for the Equity Fund included General Electric (2.92% of the Equity Fund’s net assets) which declined -2% for the year and was held in the Equity Fund both before and after the sub-adviser transition. International Business Machines (IBM) and Wal-Mart were both held in the Equity Fund prior to the September transition but were subsequently liquidated. IBM declined -18% through August prior to liquidation while Wal-Mart declined -14% for the same timeframe.

Fixed Income portion of the Fund (approximately 40% throughout the period)

The fixed income allocation slightly underperformed its benchmark for the year. As highlighted earlier, short- and intermediate-term interest rates rose over the reporting period while long-term interest rates declined. Given that the Bond Fund tends to maintain more of a short- and intermediate maturity orientation, performance over the reporting period was impacted negatively given the rising rate environment. From a maturity perspective, the Bond Fund held 36.13% of its total long term investments in bonds with maturities over 10 years. At the other end of the maturity spectrum, the Bond Fund held 33.77% of its total long term investments in bonds with maturities of 5 years or less and 30.10% in bonds maturing between 6 and 10 years.

The Bond Fund’s credit positioning also hurt relative performance over the reporting period, as the Bond Fund was underweight in the highest quality, AAA-rated bonds at 58% of its net assets versus 78% for the Lehman Brothers U.S. Aggregate Bond Index. The bulk of this difference was invested in A-rated corporate debt where yield spreads widened (increased) relative to U.S. Treasury bonds as highlighted earlier. At the end of December 2005, the Bond Fund maintained 41.94% of its net assets invested in corporate bonds versus 54.01% in U.S. Treasury and Government Agency bonds.

Given the performance analysis above, what factors should shareholders take into consideration when reviewing the Fund’s performance?

The Equity and Bond Fund is designed and managed to offer shareholders the asset allocation benefits of a stock and bond portfolio in one convenient investment. Performance for this Fund is dictated by the performance of the underlying State Farm Equity and State Farm Bond Funds.

Financial highlights for this Fund can be found on pages 154-155.

State Farm Bond Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Bond Fund (the “Fund”) seeks to achieve over a period of years the highest yield possible that is consistent with investing in high quality, investment grade bonds. In managing the Fund, we generally are buy-and-hold investors who focus primarily on U.S. Government obligations, government agencies, and high quality corporate bonds. While the Fund invests in bonds of varying maturities, it is structured with a maturity and interest rate risk (duration) profile that is consistent with its benchmark, the Lehman Brothers U.S. Aggregate Bond Index.

Describe the relevant market environment as it related to the Fund for the reporting period.

Weighing on the market at various points throughout the year were external factors like the Federal Reserve raising interest rates, rapidly rising energy prices, and the economic and social disruptions of a catastrophic hurricane season. After thirteen measured increases of 0.25% each to the short-term Fed Funds Rate beginning in 2004, the Federal Reserve appears to have reversed most of the accommodative stance it instilled since 2001. Changes to intermediate and long-term yields over the past year, however, were not measured. The 10-year U.S. Treasury bond yield closed December 2005 at 4.39% which was 0.15% higher than where it started the year after declining to a low of 4.00% in February. The up/down swing of the 30-year U.S. Treasury bond yield went from a start of 4.82%, to a low of 4.19% in June, to a high of 4.85% in November, before settling at 4.55% at the end of the year.

Corporate bond yield spreads relative to U.S. Treasuries widened as the year progressed. At the start of 2005, “A” rated intermediate maturity bonds had a yield that averaged about 0.45% above comparable U.S. Treasury securities. By the end of the year, that spread had increased to 0.70% which hurt returns of lower-credit quality bonds versus high quality bonds.

Provide an illustration of the Fund’s investments.

LOGO

Based on total investments as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm Bond Fund had a total return of 1.32% (without sales charges) compared to a return of 2.43% for the Lehman Brothers U.S. Aggregate Bond Index. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares of the Fund had a total return of 2.77% (without sales charges) versus 3.62% for the Lehman Brothers U.S. Aggregate Bond Index. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The Lehman Brothers U.S. Aggregate Bond Index represents debt securities in the U.S. investment grade fixed rate taxable bond market, including government and corporate debt securities, mortgage pass-through debt securities and asset-backed debt securities with maturities greater than one year. The Lehman Brothers U.S. Aggregate Bond Index represents an unmanaged group of debt securities that differ from the composition of the Bond Fund. Unlike an investment in the Bond Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

As highlighted earlier, short- and intermediate-term interest rates rose over the reporting period while long-term interest rates declined slightly. Therefore, long maturity bonds outperformed intermediate maturity bonds which in turn, outperformed short-maturity bonds as represented by the Lehman Brothers 20+year, 7-10 year, and 1-5 year U.S. Treasury Indices with total returns for the year 2005 of 8.57%, 2.43%, and 1.34%, respectively. Given that the Fund tends to maintain more of a short- and intermediate maturity orientation, performance over the reporting period was impacted negatively by the rising rate environment. From a maturity perspective, the Fund held 36.13% of its total long term investments in bonds with maturities over 10 years. At the other end of the maturity spectrum, the Fund held 33.77% of its total long term investments in bonds with maturities of 5 years or less and 30.10% in bonds maturing between 6 and 10 years.

The option-adjusted duration of the Fund (which attempts to incorporate prepayment possibilities into the duration calculation) stood at approximately 4.40 years at the end of the year, down slightly from 4.50 years at the start of 2005. Duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates. The slightly lower duration had a somewhat positive effect by reducing the negative impact to performance of rising interest rates in the short and intermediate part of the yield curve.

The Fund’s credit positioning also hurt relative performance to its benchmark over the reporting period as the Fund was underweight in the highest quality, AAA-rated bonds at 58% of net assets versus 78% for the Lehman Brothers U.S. Aggregate Bond Index. The bulk of this difference was invested in A-rated corporate debt where yield spreads widened (increased) relative to U.S. Treasury bonds as highlighted earlier. At the end of December 2005, the Fund maintained 41.94% of total net assets invested in corporate bonds versus 54.01% in U.S. Treasury and Government Agency bonds.

Given the performance analysis above, what factors should shareholders take into consideration when reviewing the Fund’s performance?

Given the Fund’s investment objective of high income consistent with investing in investment grade bonds, this Fund is designed to be a relatively stable, lower risk element of a diversified portfolio. As interest rates rise, bond prices decline. Further tightening efforts by the Federal Reserve to raise short term interest rates could reduce the Fund’s total return.

Financial highlights for this Fund can be found on pages 156-157.

State Farm Tax Advantaged Bond Fund Management Discussion of Fund Performance

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Tax Advantaged Bond Fund (the “Fund”) seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. In managing the Fund, we focus on high credit quality bonds with an investment philosophy that seeks to provide competitive total returns, while managing for federal income tax efficiency within the municipal bond asset class over the long run.

The municipal bond market, while relatively small in total assets compared to the taxable market, is very broad by number of issuers. As a result, we believe that fundamental research and professional management is critical to success in this asset class. While we diversify the maturity spectrum of the bonds within the portfolio, we tend to favor the intermediate maturity range for the bulk of the Fund’s assets. In doing so, we seek to maintain a fairly consistent duration and interest rate exposure relative to the Fund’s benchmark – the Lehman Brothers Municipal Bond Index (the “Index”).

Describe the relevant market environment as it related to the Fund for the reporting period.

The short-term Federal Funds rate was raised 13 times since June 2004 and stood at 4.25% at the end of December 2005. Intermediate-term interest rates ended the reporting period higher than where they started, while long-term interest rates declined for the year. At the end of December 2005 the yield on the 10-year Municipal Market Data (MMD) AAA-rated scale stood at 3.76% versus a yield of 3.52% at the end of December 2004. Conversely, the 20-year MMD AAA-rated scale ended the year with a yield of 4.18% versus 4.26% at the start of the year, and the decline in the 30-year MMD AAA-rated scale ended at 4.39% on December 31, 2005 versus 4.61% at the start of the one-year period. Based on the municipal bond market yield curve, long maturity bonds outperformed intermediate maturities, which in turn outperformed short maturity bonds over the 1-year reporting period. From a credit quality perspective, lower credit quality bonds outperformed high quality bonds over the reporting period. Yield spread differentials between high credit quality and low credit quality tightened over the course of the year. The yield spread on the 15-year MMD AAA-rated scale started the year with a 0.67% difference versus the comparable maturity MMD Baa-rated scale and finished the year with a 0.55% differential.

Overall, at current interest rate levels, the 30-year Municipal Market Data AAA-rate provides 94% of the yield available from taxable 30-year U.S. Treasuries. This comparison is used as a general gauge within the industry to determine the relative attractiveness of municipal securities. Thus, municipal bonds have recently offered yields close to those of comparable Treasury bonds but with federal income tax-free interest.

Provide an illustration of the Fund’s investments.

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Illustrated by Credit Quality. Ratings by Moody’s Investor Services. Percentages are based on total investments as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Includes Advanced Refund Bonds

***

One security was not rated by Moody’s. This security, representing 2.56% of total investments, was rated AAA by S&P.

How did the Fund perform during the reporting period?

Class A shares for the State Farm Tax Advantaged Bond Fund had a total return of 2.35% (without sales charges) for the 12-month period ended December 31, 2005. This is compared to a 3.52% return for the unmanaged Lehman Brothers Municipal Bond Index over the same timeframe. Broadening the timeframe to the 3-year period ended December 31, 2005, Class A shares for the Fund had a total return of 3.89% (without sales charges) versus 4.43% for the Lehman Brothers Municipal Bond Index. The line graph and table below provide additional perspective on the Fund’s long term results.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

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Institutional shares inception date 2/28/2002. Institutional shares performance may be greater than or less than the lines shown for Class A and Class B shares because of differing loads and expenses between the share classes.

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, a maximum sales charge of 2% for Class B shares at five years, and a maximum sales charge of 1% for Class B shares since inception (Institutional shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 1% for Class B shares at the end of the most recent fiscal year. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. A fund may have commenced investment operations on or before 12/18/00, which is the SEC effective registration date for the State Farm Mutual Fund Trust.

The Lehman Brothers Municipal Bond Index is an unmanaged index representative of the tax-exempt bond market and is made up of investment grade municipal bonds issued after 12/31/90 having a remaining maturity of at least one year. The Lehman Brothers Municipal Bond Index differs from the composition of the Tax Advantaged Bond Fund. Unlike an investment in the Tax Advantaged Bond Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund invests mainly in short- and intermediate-maturity municipal bonds. The Fund’s overall emphasis and weighting among intermediate maturities (51.61% of total net assets invested in bonds with maturities of 6- to 15-years as of December 31, 2005) was a key factor behind performance, both good and bad, for the year 2005. Intermediate-maturity bonds as represented by the Lehman Brothers Municipal 10-year Index outperformed short maturity bonds as represented by the Lehman Brothers Municipal 3-year Index 2.74% vs. 0.87% respectively as yields rose more on the short-end of the yield curve.

Despite the Fund’s 10-year average maturity structure, it still held 33% of its total net assets in bonds maturing in 5 years or less, which was an over-weight position relative to the Lehman Brothers Municipal Bond Index. For comparative purposes, the 15-year MMD AAA-rated scale rose only 0.06% for the year ending December with a yield of 3.99%. As noted earlier, intermediate maturities under-performed long maturity municipal bonds. At the end of December 2005 the Fund held 15.22% of total net assets in bonds maturing over 15 years which was an under-weight relative to the Index.

The Fund focuses on municipal bonds with high quality credit ratings. At the end of December 2005, 85.65% of total net assets were invested in bonds rated Aaa or AAA by Moody’s and/or S&P, respectively. Furthermore, nearly 45% of total net assets were invested in prerefunded municipal bonds as of December 31, 2005. Prerefunded municipal bonds are among the highest quality municipal bonds available given that the principal and interest payments are collateralized by U.S. Treasury securities. The Fund’s high quality credit orientation was an additional factor that hurt performance as lower credit quality bonds performed better in the market over the reporting period. While the broad-based Lehman Brothers Municipal Bond Index returned 3.52% for the year, subsets of the Index did better. For example, the Revenue Bond Index, which is a component within the Lehman Brothers Municipal Bond Index, returned 4.94% for the year. Revenue bonds are generally considered to have a slightly higher credit risk profile than General Obligation municipal bonds. Getting even more specific, within the Revenue Bond Index, the two highest sectors for returns were Hospital bonds which returned 5.65% for the year and the Industrial Revenue/Pollution Control (IDR/PCR) sector, which gained 12.84% for the year. Tobacco bonds, which are classified in the IDR/PCR sector, were the best performers in the sector and Index overall having benefited from overturned tobacco litigation. The Fund had no holdings in either of these sectors of the municipal market as the risk/return profile for bonds in these sectors were not consistent with the Fund’s investment objective and philosophy.

Given the performance analysis above, what factors should shareholders take into consideration when reviewing the Fund’s performance?

The Fund seeks a high level of income exempt from federal income tax through investment in a diversified portfolio of high quality bonds. We utilize a long term philosophy seeking to provide competitive total returns relative to the municipal bond asset class while managing for tax efficiency. As interest rates rise, bond prices decline. A rise in rates in a short timeframe – especially in the intermediate part of the yield curve – could have a negative impact on the net asset value of the Fund.

Financial highlights for this Fund can be found on pages 158-159.

State Farm Money Market Fund Management Discussion

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Money Market Fund (the “Fund”) seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Fund pursues this objective by investing in high quality commercial paper and other short-term debt securities. It is managed by State Farm Investment Management Corp. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Provide an illustration of the Fund’s investments.

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Based on total investments as of December 31, 2005. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

Financial highlights for this Fund can be found on pages 160-161.

State Farm LifePath^® Funds Management Discussion of Fund Performance

Overview

Describe the State Farm LifePath^® Funds investment objective and philosophy.

The State Farm LifePath Funds are organized as “feeder funds” in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, invests all its assets in a corresponding LifePath Master Portfolio. References to “the Funds” are to the feeder funds or the LifePath Master Portfolios, as the context requires, unless otherwise stated.

The LifePath Funds (through their investment in the LifePath Master Portfolios) allocate their assets among broad types of asset classes by investing in a combination of stock, bond, and money market funds (“Underlying Funds”) seeking to produce competitive returns consistent with a Fund’s investment objective. Each LifePath Fund seeks a combination of income and growth of capital consistent with the quantitatively measured risk that investors on average may be willing to accept given their investment time horizon. A LifePath Fund’s time horizon marks the point when the investors plan to start making net withdrawals. Each LifePath Fund has its own time horizon, which affects the acceptable risk level of the LifePath Fund and, in turn, its asset allocation.

Describe the relevant market environment as it related to the State Farm LifePath^® Funds for the reporting period.

The broad domestic equity markets, as represented by the S&P 1500 Index, posted gains for the 12 months ended December 31, 2005 (the “reporting period”), returning 5.66%. International equities, as represented by the MSCI EAFE^® Index, gained 13.54% for the reporting period, and bond prices, as represented by the Lehman Brothers U.S. Aggregate Bond Index, rose 2.43% for the reporting period. Cash, as represented by the Citigroup 3-Month Treasury Bill Index, returned 3.00% for the reporting period.

The large-capitalization domestic equity markets, as represented by the S&P 500 Index, delivered gains of 4.91% for 2005 despite increasing short-term interest rates, rising oil prices, and low consumer confidence levels. During the reporting period, the Federal Reserve increased the federal funds rate eight times in 2005, resulting in a rate of 4.25% at year-end, the highest level in 4¹/2 years. Oil prices continued to rise during the reporting period. Already on the rise due to growing global demand, the price of oil surged in the wake of Hurricane Katrina. By the end of 2005, oil topped $61 per barrel, an increase of 40% for the year. Consumer confidence levels rebounded in December to a level of 103.8, up from a low of 85 in October. Real economic growth of 3.5% combined with a decrease in unemployment in December to 4.9% were believed to be the catalysts behind this increase.

Despite the increase in short-term interest rates, 10-year government bond yields moved only moderately higher over the course of the year. Among Treasury securities, two-year note yields rose by 1.33%, while yields on 10-year notes rose a slight 0.20%. Yields on longer-term Treasury securities declined during the reporting period. The corporate bond component of the Lehman Brothers U.S. Aggregate Bond Index also delivered positive results, despite downgrades from investment grade to junk for two of the world’s largest issuers of corporate debt – Ford and General Motors. The mortgage-backed component of the U.S. Aggregate Bond Index had positive performance during the reporting period but underperformed the Treasury component of the U.S. Aggregate Bond Index for the first time since 2001.

International markets represented by the MSCI EAFE Index, delivered gains during the reporting period. Low interest rates around the world contributed to the economic strength of many of the constituent countries within the MSCI EAFE Index, helping spur investment and borrowing levels. Healthy economic growth of 3.5% in the U.S. also contributed to the positive demand for foreign goods and services from the U.S. Many countries represented in the MSCI EAFE Index also benefited from ongoing demand from China, whose economy grew at an estimated 11% rate in 2005. Oil prices, which rose during the year and ultimately topped $61 per barrel, generally had a dampening effect on global economic markets, although they did help the global economic markets with substantial representation in the energy industry.

What factors helped and hindered performance of the LifePath Funds during the reporting period?

The LifePath Funds are invested in a combination of the Underlying Funds for which Barclays Global Fund Advisors (“Barclays”) is the investment adviser. Each LifePath Fund invested in the same Underlying Funds but in differing proportions, depending upon the acceptable risk level of the LifePath Fund.

The LifePath Funds with longer time horizons, such as the LifePath 2040 Fund, invested a greater share of their assets in equity-oriented Underlying Funds, such as the iShares MSCI EAFE Index Fund (an exchange-traded fund) and the Active Stock Master Portfolio. The more conservative LifePath Funds, such as the LifePath Income Fund, allocated more of their assets to fixed income-oriented investments, such as the CoreAlpha Bond Master Portfolio. As a result, the LifePath 2040 Fund posted a higher return than the more conservative LifePath Funds.

iShares, LifePath, and LifePath followed by 2010, 2020, 2030 and 2040 are all registered trademarks of Barclays Global Investors, N.A. All other trademarks, service marks or registered trademarks are the property of their respective owners.

During 2005, each LifePath Fund invested a portion of its assets in three different exchange-traded funds (iShares) managed by Barclays: the iShares MSCI EAFE Index Fund, the iShares S&P MidCap 400 Index Fund and the iShares S&P SmallCap 600 Index Fund. These iShares investments contributed positively to the returns of the LifePath Funds for the reporting period.

The LifePath Funds invested a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective benchmark indices while maintaining similar risk profiles as those benchmarks by employing quantitative models that help to identify a subset of securities from the benchmark to invest in. For 2005, the Active Stock Master Portfolio invested in 221 securities of which 89% were from the benchmark S&P 500 Index. The Active Stock Master Portfolio maintained sector weights and an overall risk profile that was similar to the benchmark, however it outperformed the benchmark due to positive security selection in sectors like Energy, Utilities, and Financial Services.

The performance of the CoreAlpha Bond Master Portfolio for 2005 fell short of the return for its respective benchmark, the Lehman Brothers U.S. Aggregate Bond Index. The CoreAlpha Bond Master Portfolio held positions in Ford and General Motors which declined in value and hurt performance relative to the benchmark as the credit rating for these two companies declined below investment grade. Accordingly, the bonds issued by the auto manufacturing arm of these two companies were eliminated from the U.S. Aggregate Bond Index and the CoreAlpha Bond Master Portfolio.

State Farm LifePath Income Fund

Provide an illustration of the Fund’s investments.

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Illustrated by Security Type and based on total net assets in the Master Portfolio as of December 31, 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.

How did the State Farm LifePath^® Income Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm LifePath Income Fund had a total return without sales charge of 3.86% after expenses. The total return for comparative indices of the LifePath Funds during the same time period were as follows: Citigroup 3 Month Treasury Bill Index 3.00%, Lehman Brothers U.S. Aggregate Bond Index 2.43%, S&P 500 Index 4.91%, Russell 2000 Index 4.55%, and the MSCI EAFE Index 13.54%.

Because of the multi-asset structure of the LifePath Income Fund, a blended benchmark is also used for comparison purposes. The blended benchmark is comprised of the S&P 500 Index, the S&P MidCap 400 Index¹, the Russell 2000 Index, the MSCI EAFE Index, and the Lehman Brothers U.S. Aggregate Bond Index with weightings adjusted quarterly to correspond with each LifePath Fund’s investments. On December 31, 2005, the weightings in the LifePath Income Fund’s blended benchmark were as follows: Lehman Brothers U.S. Aggregate Bond Index 64.54%, S&P 500 Index 20.15%, MSCI EAFE Index 9.17%, S&P MidCap 400 Index 4.11%, and Russell 2000 Index 2.03%. The total return of the LifePath Income Fund’s blended benchmark was 4.26% for the 1-year period ended December 31, 2005.

Standard & Poor’s MidCap 400 Index (S&P MidCap 400) is an unmanaged group of 400 medium-capitalization (between $1 billion and $4 billion) stocks chosen for market size, liquidity, and industry group representation. The S&P MidCap 400 covers approximately 7% of the U.S. equities market. Unlike an investment in the State Farm LifePath Funds, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Two separate illustrations below provide additional perspective for the State Farm LifePath Income Fund’s long term results. The first illustration provides a performance table below a line graph that compares the State Farm LifePath Income Fund to the Citigroup 3 Month Treasury Bill Index, Lehman Brothers U.S. Aggregate Bond Index, S&P 500 Index, Russell 2000 Index, and MSCI EAFE Index. Going forward, the Citigroup 3 Month Treasury Bill Index, Russell 2000 Index and MSCI EAFE Index will no longer be used as comparative indices for the LifePath Funds. Instead, the all-equity S&P 500 Index, and the all-bond Lehman Brothers U.S. Aggregate Bond Index will be used as the indices for comparison to the two main asset classes – equity and fixed income – that comprise each LifePath Fund. The second illustration uses a line graph that compares the State Farm LifePath Income Fund to its blended benchmark.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

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Class R-1, Class R-2 and Class R-3 shares inception date 09/13/2004. Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Class A, Class B and Institutional shares because of differing loads and expenses between the share classes.

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, and a maximum sales charge of 2.75% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 162.

See footnotes for LifePath 2040 Fund on page 45 for a description of the indices.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 162.

Performance Analysis

What factors helped and hindered performance of the LifePath Income Fund during the reporting period?

The main driver to performance for the LifePath Income Fund was its allocation to the CoreAlpha Bond Master Portfolio – which made up the entire bond allocation of the LifePath Income Fund in 2005. At the end of December 2005 this weighting stood at 64.65% of the LifePath Income Fund’s net assets, which is up slightly from 64.31% at the end of 2004. As highlighted earlier, the CoreAlpha Bond Master Portfolio is benchmarked to the Lehman Brothers U.S. Aggregate Bond Index. The CoreAlpha Bond Master Portfolio was underweight in high credit quality bonds relative to the U.S. Aggregate Bond Index which hurt returns. As of December 31, 2005 the CoreAlpha Bond Master Portfolio held 49.41% in Aaa+ bonds versus 70.74% for the U.S. Aggregate Bond Index. The majority of the underweighted assets were invested in other investment grade rated bonds like A and Baa while a subset, 3.41%, was invested in below-investment grade bonds. In addition, holdings in Ford and General Motors suffered price declines as their credit ratings dropped below investment grade. As a result, the CoreAlpha Bond Master Portfolio underperformed the U.S. Aggregate Bond Index by -0.45% for the year (1.98% versus 2.43% respectively) which accounted for a majority of the LifePath Income Fund’s overall underperformance to its blended benchmark.

The LifePath Income Fund’s equity exposure helped results as the largest equity allocation was to the Active Stock Master Portfolio (19.78% of the LifePath Income Fund’s total net assets), which outperformed the S&P 500 Index by 3.88% (8.79% vs. 4.91% respectively). The LifePath Income Fund also benefited from exposure to international stocks through the iShares MSCI EAFE Index Fund (8.98% of the LifePath Income Fund’s total net assets) which returned 13.40% for the reporting period. . Positive contributions to the LifePath Income Fund’s performance also came from its remaining iShares investments: iShares S&P MidCap 400 Index Fund (12.48% return for the reporting period) made up 4.04% of the LifePath Income Fund’s net assets; iShares S&P SmallCap 600 Index Fund (7.50% return for the reporting period) made up 2.11% of the LifePath Income Fund’s net assets. The remainder of the LifePath Income Fund (0.44% of its total net assets) was invested in Cash Equivalents as of December 31, 2005.

On December 31, 2005, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 20.15% S&P 500^® Index, 4.11% S&P Midcap 400 Index, 2.03% Russell 2000^® Index, 9.17% MSCI EAFE^® Index, and 64.54% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the LifePath^® Income Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

State Farm LifePath 2010 Fund

Provide an illustration of the Fund’s investments.

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How did the State Farm LifePath^® 2010 Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm LifePath 2010 Fund had a total return without sales charge of 4.73% after expenses. The total return for comparative indices of the LifePath Funds during the same time period were as follows: Citigroup 3 Month Treasury Bill Index 3.00%, Lehman Brothers U.S. Aggregate Bond Index 2.43%, S&P 500 Index 4.91%, Russell 2000 Index 4.55%, and the MSCI EAFE Index 13.54%.

Because of the multi-asset structure of the LifePath 2010 Fund, a blended benchmark is also used for comparison purposes. The blended benchmark is comprised of the S&P 500 Index, the S&P MidCap 400 Index, the Russell 2000 Index, the MSCI EAFE Index, and the Lehman Brothers U.S. Aggregate Bond Index with weightings adjusted quarterly to correspond with each LifePath Fund’s investments. On December 31, 2005, the weightings in the LifePath 2010 Fund’s blended benchmark were as follows: Lehman Brothers U.S. Aggregate Bond Index 53.59%, S&P 500 Index 27.47%, MSCI EAFE Index 11.88%, S&P MidCap 400 Index 4.73%, and Russell 2000 Index 2.33%. The total return of the LifePath 2010 Fund’s blended benchmark was 4.78% for the 1-year period ended December 31, 2005.

Two separate illustrations below provide additional perspective for the State Farm LifePath 2010 Fund’s long term results. The first illustration provides a performance table below a line graph that compares the State Farm LifePath 2010 Fund to the Citigroup 3 Month Treasury Bill Index, Lehman Brothers U.S. Aggregate Bond Index, S&P 500 Index, Russell 2000 Index, and MSCI EAFE Index. Going forward, the Citigroup 3 Month Treasury Bill Index, Russell 2000 Index and MSCI EAFE Index will no longer be used as comparative indices for the LifePath Funds. Instead, the all-equity S&P 500 Index and the all-bond Lehman Brothers U.S. Aggregate Bond Index will be used as the indices for comparison to the two main asset classes – equity and fixed income – that comprise each LifePath Fund. The second illustration uses a line graph that compares the State Farm LifePath 2010 Fund to its blended benchmark.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, and a maximum sales charge of 2.75% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 Shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 164.

See footnotes for LifePath 2040 Fund on page 45 for a description of the indices.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

Performance Analysis

What factors helped and hindered performance of the LifePath 2010 Fund during the reporting period?

The main driver to performance for the LifePath 2010 Fund was its allocation to the CoreAlpha Bond Master Portfolio – which made up the entire bond allocation of the LifePath 2010 Fund in 2005. At the end of December 2005 this weighting stood at 53.76% of the LifePath 2010 Fund’s net assets, which is up slightly from 51.78% at the end of 2004. As highlighted earlier, the CoreAlpha Bond Master Portfolio is benchmarked to the Lehman Brothers U.S. Aggregate Bond Index. The CoreAlpha Bond Master Portfolio was underweight in high credit quality bonds relative to the U.S. Aggregate Bond Index which hurt returns. As of December 31, 2005 the CoreAlpha Bond Master Portfolio held 49.41% in Aaa+ bonds versus 70.74% for the U.S. Aggregate Bond Index. The majority of the underweighted assets were invested in other investment grade rated bonds like A and Baa while a subset, 3.41%, was invested in below-investment grade bonds. In addition, holdings in Ford and General Motors suffered price declines as their credit ratings dropped below investment grade. As a result, the CoreAlpha Bond Master Portfolio underperformed the U.S. Aggregate Bond Index by -0.45% for the year (1.98% versus 2.43% respectively) which accounted for a majority of the LifePath 2010 Fund’s overall underperformance to its blended benchmark.

The LifePath 2010 Fund’s equity exposure helped results as the largest equity allocation was to the Active Stock Master Portfolio (26.75% of the LifePath 2010 Fund’s total net assets), which outperformed the S&P 500 Index by 3.88% (8.79% vs. 4.91% respectively). The LifePath 2010 Fund also benefited from exposure to international stocks through the iShares MSCI EAFE Index Fund (11.68% of the LifePath 2010 Fund’s total net assets) which returned 13.40% for the reporting period. Positive contributions to the LifePath 2010 Fund’s performance also came from its remaining iShares investments: iShares S&P MidCap 400 Index Fund (12.48% return for the reporting period) made up 4.66% of the LifePath 2010 Fund’s net assets; iShares S&P SmallCap 600 Index Fund (7.50% return for the reporting period) made up 2.31% of the LifePath 2010 Fund’s net assets. The remainder of the LifePath 2010 Fund (0.84% of its total net assets) was invested in Cash Equivalents as of December 31, 2005.

On December 31, 2005, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 27.47% S&P 500^® Index, 4.73% S&P Midcap 400 Index, 2.33% Russell 2000^® Index, 11.88% MSCI EAFE^® Index, and 53.59% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the LifePath 2010^® Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

State Farm LifePath 2020 Fund

Provide an illustration of the Fund’s investments.

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How did the State Farm LifePath^® 2020 Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm LifePath 2020 Fund had a total return without sales charge of 6.02% after expenses. The total return for comparative indices of the LifePath Funds during the same time period were as follows: Citigroup 3 Month Treasury Bill Index 3.00%, Lehman Brothers U.S. Aggregate Bond Index 2.43%, S&P 500 Index 4.91%, Russell 2000 Index 4.55%, and the MSCI EAFE Index 13.54%.

Because of the multi-asset structure of the LifePath 2020 Fund, a blended benchmark is also used for comparison purposes. The blended benchmark is comprised of the S&P 500 Index, the S&P MidCap 400 Index, the Russell 2000 Index, the MSCI EAFE Index, and the Lehman Brothers U.S. Aggregate Bond Index with weightings adjusted quarterly to correspond with each LifePath Fund’s investments. On December 31, 2005, the weightings in the LifePath 2020 Fund’s blended benchmark were as follows: Lehman Brothers U.S. Aggregate Bond Index 35.49%, S&P 500 Index 39.56%, MSCI EAFE Index 16.35%, S&P MidCap 400 Index 5.76%, and Russell 2000 Index 2.84%. The total return of the LifePath 2020 Fund’s blended benchmark was 5.64% for the 1-year period ended December 31, 2005.

Two separate illustrations below provide additional perspective for the State Farm LifePath 2020 Fund’s long term results. The first illustration provides a performance table below a line graph that compares the State Farm LifePath 2020 Fund to the Citigroup 3 Month Treasury Bill Index, Lehman Brothers U.S. Aggregate Bond Index, S&P 500 Index, Russell 2000 Index, and MSCI EAFE Index. Going forward, the Citigroup 3 Month Treasury Bill Index, Russell 2000 Index and MSCI EAFE Index will no longer be used as comparative indices for the LifePath Funds. Instead, the all-equity S&P 500 Index and the all-bond Lehman Brothers U.S. Aggregate Bond Index will be used as the indices for comparison to the two main asset classes – equity and fixed income – that comprise each LifePath Fund. The second illustration uses a line graph that compares the State Farm LifePath 2020 Fund to its blended benchmark.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, and a maximum sales charge of 2.75% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year. Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 166.

See footnotes for LifePath 2040 Fund on page 45 for a description of the indices.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 166.

Performance Analysis

What factors helped and hindered performance of the LifePath 2020 Fund during the reporting period?

The main driver to performance for the LifePath 2020 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2020 Fund’s equity exposure. At the end of December 2005 this weighting stood at 38.44% of the LifePath 2020 Fund’s net assets, which is down from 43.90% at the end of 2004. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the S&P 500 Index. While the Active Stock Master Portfolio maintained sector weightings similar to the S&P 500 Index, it invested in only 221 stocks with 11% of those securities being invested in companies that were not part of the S&P 500 Index. Stock selection in sectors like Energy and Financials is what led the Active Stock Master Portfolio to a gain of 8.79% for the year – 3.88% above the S&P 500 Index return of 4.91%. The Active Stock Master Portfolio accounted for the majority of the LifePath 2020 Fund’s outperformance relative to its blended benchmark in 2005.

The LifePath 2020 Fund also benefited from exposure to international stocks through the 13.40% return for the iShares MSCI EAFE Index Fund (16.09% of the LifePath 2020 Fund’s total net assets). Positive contributions to the LifePath 2020 Fund’s performance also came from its remaining iShares investments: iShares S&P MidCap 400 Index Fund (12.48% return for the reporting period) made up 5.65% of the LifePath 2020 Fund’s net assets; iShares S&P SmallCap 600 Index Fund (7.50% return for the reporting period) made up 2.85% of the LifePath 2020 Fund’s net assets.

From a fixed income perspective, the LifePath 2020 Fund held 35.86% of its total net assets in the CoreAlpha Bond Master Portfolio. The CoreAlpha Bond Master Portfolio underperformed its benchmark, the Lehman Brothers U.S. Aggregate Bond Index, by -0.45% for the year (1.98% versus 2.43% respectively) due to an under-weight position in the highest credit quality ratings along with overweighted positions in the Auto Industry which suffered from financial troubles and credit rating downgrades. The remainder of the LifePath 2020 Fund (0.53% of its total net assets) was invested in Cash Equivalents as of December 31, 2005.

On December 31, 2005, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 39.56% S&P 500^® Index, 5.76% S&P Midcap 400 Index, 2.84% Russell 2000^® Index, 16.35% MSCI EAFE^® Index, and 35.49% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the LifePath 2020^® Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

State Farm LifePath 2030 Fund

Provide an illustration of the Fund’s investments.

LOGO

How did the State Farm LifePath^® 2030 Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm LifePath 2030 Fund had a total return without sales charge of 7.11% after expenses. The total return for comparative indices of the LifePath Funds during the same time period were as follows: Citigroup 3 Month Treasury Bill Index 3.00%, Lehman Brothers U.S. Aggregate Bond Index 2.43%, S&P 500 Index 4.91%, Russell 2000 Index 4.55%, and the MSCI EAFE Index 13.54%.

Because of the multi-asset structure of the LifePath 2030 Fund, a blended benchmark is also used for comparison purposes. The blended benchmark is comprised of the S&P 500 Index, the S&P MidCap 400 Index, the Russell 2000 Index, the MSCI EAFE Index, and the Lehman Brothers U.S. Aggregate Bond Index with weightings adjusted quarterly to correspond with each LifePath Fund’s investments. On December 31, 2005, the weightings in the LifePath 2030 Fund’s blended benchmark were as follows: Lehman Brothers U.S. Aggregate Bond Index 21.88%, S&P 500 Index 48.65%, MSCI EAFE Index 19.71%, S&P MidCap 400 Index 6.54%, and Russell 2000 Index 3.22%. The total return of the LifePath 2030 Fund’s blended benchmark was 6.28% for the 1-year period ended December 31, 2005.

Two separate illustrations below provide additional perspective for the State Farm LifePath 2030 Fund’s long term results. The first illustration provides a performance table below a line graph that compares the State Farm LifePath 2030 Fund to the Citigroup 3 Month Treasury Bill Index, Lehman Brothers U.S. Aggregate Bond Index, S&P 500 Index, Russell 2000 Index, and MSCI EAFE Index. Going forward, the Citigroup 3 Month Treasury Bill Index, Russell 2000 Index and MSCI EAFE Index will no longer be used as comparative indices for the LifePath Funds. Instead, the all-equity S&P 500 Index and the all-bond Lehman Brothers U.S. Aggregate Bond Index will be used as the indices for comparison to the two main asset classes – equity and fixed income – that comprise each LifePath Fund. The second illustration uses a line graph that compares the State Farm LifePath 2030 Fund to its blended benchmark.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, and a maximum sales charge of 2.75% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 Shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 168.

See footnotes for LifePath 2040 Fund on page 45 for a description of the indices.

LOGO

Performance Analysis

What factors helped and hindered performance of the LifePath 2030 Fund during the reporting period?

The main driver to performance for the LifePath 2030 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2030 Fund’s equity exposure. At the end of December 2005 this weighting stood at 46.55% of the LifePath 2030 Fund’s net assets, which is down from 53.66% at the end of 2004. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the S&P 500 Index. While the Active Stock Master Portfolio maintained sector weightings similar to the S&P 500 Index, it invested in only 221 stocks with 11% of those securities being invested in companies that were not part of the S&P 500 Index. Stock selection in sectors like Energy and Financials is what led the Active Stock Master Portfolio to a gain of 8.79% for the year – 3.88% above the S&P 500 Index return of 4.91%. The Active Stock Master Portfolio accounted for the majority of the LifePath 2030 Fund’s outperformance relative to its blended benchmark in 2005.

The LifePath 2030 Fund also benefited from exposure to international stocks through the 13.40% return for the iShares MSCI EAFE Index Fund (19.38% of the LifePath 2030 Fund’s total net assets). Positive contributions to the LifePath 2030 Fund’s performance also came from its remaining iShares investments: iShares S&P MidCap 400 Index Fund (12.48% return for the reporting period) made up 6.50% of the LifePath 2030 Fund’s net assets; iShares S&P SmallCap 600 Index Fund (7.50% return for the reporting period) made up 3.24% of the LifePath 2030 Fund’s net assets.

From a fixed income perspective, the LifePath 2030 Fund held 21.99% of its total net assets in the CoreAlpha Bond Master Portfolio. The CoreAlpha Bond Master Portfolio underperformed its benchmark, the Lehman Brothers U.S. Aggregate Bond Index, by -0.45% for the year (1.98% versus 2.43% respectively) due to an under-weight position in the highest credit quality ratings along with overweighted positions in the Auto Industry which suffered from financial troubles and credit rating downgrades. The remainder of the LifePath 2030 Fund (2.34% of its total net assets) was invested in Cash Equivalents as of December 31, 2005.

On December 31, 2005, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 48.65% S&P 500^® Index, 6.54% S&P Midcap 400 Index, 3.22% Russell 2000^® Index, 19.71% MSCI EAFE^® Index, and 21.88% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the LifePath 2030^® Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

State Farm LifePath 2040 Fund

Provide an illustration of the Fund’s investments.

LOGO

How did the State Farm LifePath^® 2040 Fund perform during the reporting period?

For the 1-year period ended December 31, 2005, Class A shares of the State Farm LifePath 2040 Fund had a total return without sales charge of 7.71% after expenses. The total return for comparative indices of the LifePath Funds during the same time period were as follows: Citigroup 3 Month Treasury Bill Index 3.00%, Lehman Brothers U.S. Aggregate Bond Index 2.43%, S&P 500 Index 4.91%, Russell 2000 Index 4.55%, and the MSCI EAFE Index 13.54%.

Because of the multi-asset structure of the LifePath 2040 Fund, a blended benchmark is also used for comparison purposes. The blended benchmark is comprised of the S&P 500 Index, the S&P MidCap 400 Index, the Russell 2000 Index, the MSCI EAFE Index, and the Lehman Brothers U.S. Aggregate Bond Index with weightings adjusted quarterly to correspond with each LifePath Fund’s investments. On December 31, 2005, the weightings in the LifePath 2040 Fund’s blended benchmark were as follows: Lehman Brothers U.S. Aggregate Bond Index 10.82%, S&P 500 Index 57.65%, MSCI EAFE Index 20.34%, S&P MidCap 400 Index 7.50%, and Russell 2000 Index 3.69%. The total return of the LifePath 2040 Fund’s blended benchmark was 6.67% for the 1-year period ended December 31, 2005.

Two separate illustrations below provide additional perspective for the State Farm LifePath 2040 Fund’s long term results. The first illustration provides a performance table below a line graph that compares the State Farm LifePath 2040 Fund to the Citigroup 3 Month Treasury Bill Index, Lehman Brothers U.S. Aggregate Bond Index, S&P 500 Index, Russell 2000 Index, and MSCI EAFE Index. Going forward, the Citigroup 3 Month Treasury Bill Index, Russell 2000 Index and MSCI EAFE Index will no longer be used as comparative indices for the LifePath Funds. Instead, the all-equity S&P 500 Index and the all-bond Lehman Brothers U.S. Aggregate Bond Index will be used as the indices for comparison to the two main asset classes – equity and fixed income – that comprise each LifePath Fund. The second illustration uses a line graph that compares the State Farm LifePath 2040 Fund to its blended benchmark.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

The performance data quoted represents past performance and does not guarantee future results. Returns in the table reflect a maximum sales charge of 3% for Class A shares and Class B shares at one year, and a maximum sales charge of 2.75% for Class B shares since inception (Institutional, Class R-1, Class R-2 and Class R-3 Shares do not include a sales charge). Returns on the line graph reflect a maximum sales charge of 3% for Class A shares at initial investment, and a maximum sales charge of 2.75% for Class B shares at the end of the most recent fiscal year (Institutional shares do not include a sales charge). Ending net asset values on 5/9/2003 are used to calculate since inception returns for Class A, Class B, and Institutional shares. These figures do not reflect the deduction of taxes that shareholders would pay on fund distributions or the redemption of fund shares. See financial highlights beginning on page 170.

The Morgan Stanley Capital International Europe, Australasia and Far East (MSCI EAFE^®) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East and takes into account local market restrictions on share ownership by foreigners. MSCI EAFE^® is meant to reflect actual opportunities for foreign investors in a local market.

The Citigroup Salomon 3-Month Treasury Bill Index is an average of the last 3-month Treasury bill issues (excluding the current month-end bill).

⁴

The Lehman Brothers U.S. Aggregate Bond Index represents debt securities, and asset-backed debt securities with maturities greater than one year.

⁵

The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation and financial industries. In total, the S&P 500 is comprised of 500 common stocks.

The Indices represent unmanaged groups of securities that differ from the composition of the LifePath Funds. Unlike an investment in the LifePath Funds, a theoretical investment in any of the Indices does not reflect any expenses. It is not possible to invest directly in an index.

Comparison of change in value of $10,000 investment
for the periods ended December 31, including applicable sales charges

LOGO

Performance Analysis

What factors helped and hindered performance of the LifePath 2040 Fund during the reporting period?

The main driver to performance for the LifePath 2040 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2040 Fund’s equity exposure. At the end of December 2005 this weighting stood at 55.06% of the LifePath 2040 Fund’s net assets, which is down from 62.83% at the end of 2004. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the S&P 500 Index. While the Active Stock Master Portfolio maintained sector weightings similar to the S&P 500 Index, it invested in only 221 stocks with 11% of those securities being invested in companies that were not part of the S&P 500 Index. Stock selection in sectors like Energy and Financials is what led the Active Stock Master Portfolio to a gain of 8.79% for the year – 3.88% above the S&P 500 Index return of 4.91%. The Active Stock Master Portfolio accounted for the majority of the LifePath 2040 Fund’s outperformance relative to its blended benchmark in 2005.

The LifePath 2040 Fund also benefited from exposure to international stocks through the 13.40% return for the iShares MSCI EAFE Index Fund (20.04% of the LifePath 2040 Fund’s total net assets). Positive contributions to the LifePath 2040 Fund’s performance also came from its remaining iShares investments: iShares S&P MidCap 400 Index Fund (12.48% return for the reporting period) made up 7.42% of the LifePath 2040 Fund’s net assets; iShares S&P SmallCap 600 Index Fund (7.50% return for the reporting period) made up 3.67% of the LifePath 2040 Fund’s net assets.

From a fixed income perspective, the LifePath 2040 Fund held 10.95% of its total net assets in the CoreAlpha Bond Master Portfolio. The CoreAlpha Bond Master Portfolio underperformed its benchmark, the Lehman Brothers U.S. Aggregate Bond Index, by -0.45% for the year (1.98% versus 2.43% respectively) due to an under-weight position in the highest credit quality ratings along with overweighted positions in the Auto Industry which suffered from financial troubles and credit rating downgrades. The remainder of the LifePath 2040 Fund (2.86% of its total net assets) was invested in Cash Equivalents as of December 31, 2005.

On December 31, 2005, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 57.65% S&P 500^® Index, 7.5% S&P Midcap 400 Index, 3.69% Russell 2000^® Index, 20.34% MSCI EAFE^® Index, and 10.82% Lehman Brothers U.S. Aggregate Bond Index. Unlike an investment in the LifePath 2040^® Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

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 and service (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 July 1, 2005 through December 31, 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 actual return of the Class indicated. 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 July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,070.07	1.22%	$6.37
Class B Shares	$1,000.00	$1,068.00	1.62%	$8.44
Institutional Shares	$1,000.00	$1,071.50	0.97%	$5.06
Class R-1 Shares	$1,000.00	$1,067.49	1.53%	$7.97
Class R-2 Shares	$1,000.00	$1,069.19	1.33%	$6.94
Class R-3 Shares	$1,000.00	$1,071.62	1.04%	$5.43


*State Farm Equity Fund (Continued)*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.06	1.22%	$6.21
Class B Shares	$1,000.00	$1,017.04	1.62%	$8.24
Institutional Shares	$1,000.00	$1,020.32	0.97%	$4.94
Class R-1 Shares	$1,000.00	$1,017.49	1.53%	$7.78
Class R-2 Shares	$1,000.00	$1,018.50	1.33%	$6.77
Class R-3 Shares	$1,000.00	$1,019.96	1.04%	$5.30


*State Farm Small Cap Equity Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,033.46	1.40%	$7.18
Class B Shares	$1,000.00	$1,030.05	1.80%	$9.21
Institutional Shares	$1,000.00	$1,033.01	1.15%	$5.89
Class R-1 Shares	$1,000.00	$1,030.32	1.72%	$8.80
Class R-2 Shares	$1,000.00	$1,032.27	1.52%	$7.79
Class R-3 Shares	$1,000.00	$1,034.11	1.22%	$6.26
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.15	1.40%	$7.12
Class B Shares	$1,000.00	$1,016.13	1.80%	$9.15
Institutional Shares	$1,000.00	$1,019.41	1.15%	$5.85
Class R-1 Shares	$1,000.00	$1,016.53	1.72%	$8.74
Class R-2 Shares	$1,000.00	$1,017.54	1.52%	$7.73
Class R-3 Shares	$1,000.00	$1,019.06	1.22%	$6.21



*State Farm International Equity Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,192.00	1.50%	$8.29
Class B Shares	$1,000.00	$1,190.40	1.90%	$10.49
Institutional Shares	$1,000.00	$1,191.33	1.25%	$6.90
Class R-1 Shares	$1,000.00	$1,189.21	1.82%	$10.04
Class R-2 Shares	$1,000.00	$1,192.85	1.62%	$8.95
Class R-3 Shares	$1,000.00	$1,193.30	1.32%	$7.30
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,017.64	1.50%	$7.63
Class B Shares	$1,000.00	$1,015.63	1.90%	$9.65
Institutional Shares	$1,000.00	$1,018.90	1.25%	$6.36
Class R-1 Shares	$1,000.00	$1,016.03	1.82%	$9.25
Class R-2 Shares	$1,000.00	$1,017.04	1.62%	$8.24
Class R-3 Shares	$1,000.00	$1,018.55	1.32%	$6.72


*State Farm S&P 500 Index Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,053.43	0.81%	$4.19
Class B Shares	$1,000.00	$1,051.84	1.21%	$6.26
Institutional Shares	$1,000.00	$1,055.23	0.56%	$2.90
Class R-1 Shares	$1,000.00	$1,052.14	1.13%	$5.84
Class R-2 Shares	$1,000.00	$1,052.09	0.93%	$4.81
Class R-3 Shares	$1,000.00	$1,054.99	0.63%	$3.26
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.12	0.81%	$4.13
Class B Shares	$1,000.00	$1,019.11	1.21%	$6.16
Institutional Shares	$1,000.00	$1,022.38	0.56%	$2.85
Class R-1 Shares	$1,000.00	$1,019.51	1.13%	$5.75
Class R-2 Shares	$1,000.00	$1,020.52	0.93%	$4.74
Class R-3 Shares	$1,000.00	$1,022.03	0.63%	$3.21

*State Farm Small Cap Index Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,053.74	0.95%	$4.92
Class B Shares	$1,000.00	$1,052.46	1.35%	$6.98
Institutional Shares	$1,000.00	$1,055.40	0.70%	$3.63
Class R-1 Shares	$1,000.00	$1,052.39	1.27%	$6.57
Class R-2 Shares	$1,000.00	$1,053.45	1.07%	$5.54
Class R-3 Shares	$1,000.00	$1,054.76	0.77%	$3.99
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.42	0.95%	$4.84
Class B Shares	$1,000.00	$1,018.40	1.35%	$6.87
Institutional Shares	$1,000.00	$1,021.68	0.70%	$3.57
Class R-1 Shares	$1,000.00	$1,018.80	1.27%	$6.46
Class R-2 Shares	$1,000.00	$1,019.81	1.07%	$5.45
Class R-3 Shares	$1,000.00	$1,021.32	0.77%	$3.92


*State Farm International Index Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,144.48	1.15%	$6.22
Class B Shares	$1,000.00	$1,142.49	1.55%	$8.37
Institutional Shares	$1,000.00	$1,145.73	0.90%	$4.87
Class R-1 Shares	$1,000.00	$1,143.25	1.47%	$7.94
Class R-2 Shares	$1,000.00	$1,144.29	1.27%	$6.86
Class R-3 Shares	$1,000.00	$1,144.30	0.97%	$5.24
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.41	1.15%	$5.85
Class B Shares	$1,000.00	$1,017.39	1.55%	$7.88
Institutional Shares	$1,000.00	$1,020.67	0.90%	$4.58
Class R-1 Shares	$1,000.00	$1,017.80	1.47%	$7.48
Class R-2 Shares	$1,000.00	$1,018.80	1.27%	$6.46
Class R-3 Shares	$1,000.00	$1,020.32	0.97%	$4.94

*State Farm Equity and Bond Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005³	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,038.97	1.02%	$5.24
Class B Shares	$1,000.00	$1,037.93	1.42%	$7.29
Institutional Shares	$1,000.00	$1,042.27	0.77%	$3.96
Class R-1 Shares	$1,000.00	$1,038.02	1.34%	$6.88
Class R-2 Shares	$1,000.00	$1,039.19	1.14%	$5.86
Class R-3 Shares	$1,000.00	$1,040.55	0.84%	$4.32
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.06	1.02%	$5.19
Class B Shares	$1,000.00	$1,018.05	1.42%	$7.22
Institutional Shares	$1,000.00	$1,021.32	0.77%	$3.92
Class R-1 Shares	$1,000.00	$1,018.45	1.34%	$6.82
Class R-2 Shares	$1,000.00	$1,019.46	1.14%	$5.80
Class R-3 Shares	$1,000.00	$1,020.97	0.84%	$4.28


*State Farm Bond Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$993.90	0.71%	$3.57
Class B Shares	$1,000.00	$991.90	1.11%	$5.57
Institutional Shares	$1,000.00	$995.15	0.46%	$2.31
Class R-1 Shares	$1,000.00	$992.28	1.03%	$5.17
Class R-2 Shares	$1,000.00	$992.34	0.82%	$4.12
Class R-3 Shares	$1,000.00	$994.77	0.53%	$2.66
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.63	0.71%	$3.62
Class B Shares	$1,000.00	$1,019.61	1.11%	$5.65
Institutional Shares	$1,000.00	$1,022.89	0.46%	$2.35
Class R-1 Shares	$1,000.00	$1,020.01	1.03%	$5.24
Class R-2 Shares	$1,000.00	$1,021.07	0.82%	$4.18
Class R-3 Shares	$1,000.00	$1,022.53	0.53%	$2.70

*State Farm Tax Advantaged Bond Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,000.58	0.70%	$3.53
Class B Shares	$1,000.00	$997.68	1.10%	$5.54
Institutional Shares	$1,000.00	$1,000.96	0.45%	$2.27
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.68	0.70%	$3.57
Class B Shares	$1,000.00	$1,019.66	1.10%	$5.60
Institutional Shares	$1,000.00	$1,022.94	0.45%	$2.29

*State Farm Money Market Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,015.73	0.60%	$3.05
Class B Shares	$1,000.00	$1,013.61	1.00%	$5.08
Institutional Shares	$1,000.00	$1,016.54	0.45%	$2.29
Class R-1 Shares	$1,000.00	$1,014.08	0.92%	$4.67
Class R-2 Shares	$1,000.00	$1,015.10	0.72%	$3.66
Class R-3 Shares	$1,000.00	$1,016.12	0.52%	$2.64
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,022.18	0.60%	$3.06
Class B Shares	$1,000.00	$1,020.16	1.00%	$5.09
Institutional Shares	$1,000.00	$1,022.94	0.45%	$2.29
Class R-1 Shares	$1,000.00	$1,020.57	0.92%	$4.69
Class R-2 Shares	$1,000.00	$1,021.58	0.72%	$3.67
Class R-3 Shares	$1,000.00	$1,022.58	0.52%	$2.65


*State Farm LifePath Income Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,027.63	1.26%	$6.44
Class B Shares	$1,000.00	$1,024.94	1.66%	$8.47
Institutional Shares	$1,000.00	$1,028.44	1.01%	$5.16
Class R-1 Shares	$1,000.00	$1,026.04	1.58%	$8.07
Class R-2 Shares	$1,000.00	$1,026.21	1.38%	$7.05
Class R-3 Shares	$1,000.00	$1,027.72	1.08%	$5.52
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.85	1.26%	$6.41
Class B Shares	$1,000.00	$1,016.84	1.66%	$8.44
Institutional Shares	$1,000.00	$1,020.11	1.01%	$5.14
Class R-1 Shares	$1,000.00	$1,017.24	1.58%	$8.03
Class R-2 Shares	$1,000.00	$1,018.25	1.38%	$7.02
Class R-3 Shares	$1,000.00	$1,019.76	1.08%	$5.50

*State Farm LifePath 2010 Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,037.45	1.25%	$6.42
Class B Shares	$1,000.00	$1,036.45	1.65%	$8.47
Institutional Shares	$1,000.00	$1,039.82	1.00%	$5.14
Class R-1 Shares	$1,000.00	$1,035.97	1.57%	$8.06
Class R-2 Shares	$1,000.00	$1,037.38	1.37%	$7.04
Class R-3 Shares	$1,000.00	$1,038.75	1.07%	$5.50
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.90	1.25%	$6.36
Class B Shares	$1,000.00	$1,016.89	1.65%	$8.39
Institutional Shares	$1,000.00	$1,020.16	1.00%	$5.09
Class R-1 Shares	$1,000.00	$1,017.29	1.57%	$7.98
Class R-2 Shares	$1,000.00	$1,018.30	1.37%	$6.97
Class R-3 Shares	$1,000.00	$1,019.81	1.07%	$5.45


*State Farm LifePath 2020 Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,054.18	1.23%	$6.37
Class B Shares	$1,000.00	$1,052.42	1.63%	$8.43
Institutional Shares	$1,000.00	$1,056.34	0.98%	$5.08
Class R-1 Shares	$1,000.00	$1,052.83	1.55%	$8.02
Class R-2 Shares	$1,000.00	$1,053.43	1.35%	$6.99
Class R-3 Shares	$1,000.00	$1,055.21	1.05%	$5.44
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.00	1.23%	$6.26
Class B Shares	$1,000.00	$1,016.99	1.63%	$8.29
Institutional Shares	$1,000.00	$1,020.27	0.98%	$4.99
Class R-1 Shares	$1,000.00	$1,017.39	1.55%	$7.88
Class R-2 Shares	$1,000.00	$1,018.40	1.35%	$6.87
Class R-3 Shares	$1,000.00	$1,019.91	1.05%	$5.35

*State Farm LifePath 2030 Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,066.89	1.21%	$6.30
Class B Shares	$1,000.00	$1,064.65	1.61%	$8.38
Institutional Shares	$1,000.00	$1,069.01	0.96%	$5.01
Class R-1 Shares	$1,000.00	$1,065.61	1.53%	$7.97
Class R-2 Shares	$1,000.00	$1,067.23	1.33%	$6.93
Class R-3 Shares	$1,000.00	$1,067.43	1.03%	$5.37
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.11	1.21%	$6.16
Class B Shares	$1,000.00	$1,017.09	1.61%	$8.19
Institutional Shares	$1,000.00	$1,020.37	0.96%	$4.89
Class R-1 Shares	$1,000.00	$1,017.49	1.53%	$7.78
Class R-2 Shares	$1,000.00	$1,018.50	1.33%	$6.77
Class R-3 Shares	$1,000.00	$1,020.01	1.03%	$5.24


*State Farm LifePath 2040 Fund*
	Beginning Account Value July 1, 2005	Ending Account Value December 31, 2005	Annualized Expense Ratio Based on the Period July 1, 2005 to December 31, 2005²	Expenses Paid During Period July 1, 2005 to December 31, 2005¹
Actual Expenses
Class A Shares	$1,000.00	$1,075.43	1.21%	$6.33
Class B Shares	$1,000.00	$1,073.23	1.61%	$8.41
Institutional Shares	$1,000.00	$1,076.63	0.96%	$5.02
Class R-1 Shares	$1,000.00	$1,073.51	1.52%	$7.94
Class R-2 Shares	$1,000.00	$1,074.90	1.33%	$6.96
Class R-3 Shares	$1,000.00	$1,076.30	1.02%	$5.34
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.11	1.21%	$6.16
Class B Shares	$1,000.00	$1,017.09	1.61%	$8.19
Institutional Shares	$1,000.00	$1,020.37	0.96%	$4.89
Class R-1 Shares	$1,000.00	$1,017.54	1.52%	$7.73
Class R-2 Shares	$1,000.00	$1,018.50	1.33%	$6.77
Class R-3 Shares	$1,000.00	$1,020.06	1.02%	$5.19

¹	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 184/365 (to reflect the one-half year period).

²	Ratio reflects the expenses of both the Fund and its corresponding Master Portfolio.

Ratio also 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 December 31, 2005 the investment ratio was 61.33%/38.67%, based on total investments.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Common Stocks (97.37%)

Consumer Discretionary (4.27%)
AutoNation Inc. (a)	53,300	$	1,158,209
Carnival Corp.	25,500		1,363,485
Clear Channel Communications Inc.	120,100		3,777,145
Dollar Tree Stores Inc. (a)	36,900		883,386
Leggett & Platt Inc.	89,500		2,054,920
McDonald’s Corp.	29,700		1,001,484
Starwood Hotels & Resorts Worldwide Inc.	13,300		849,338
Time Warner Inc.	45,100		786,544

			11,874,511

Consumer Staples (11.31%)
Altria Group Inc.	119,000		8,891,680
Anheuser-Busch Companies Inc.	41,200		1,769,952
Avon Products Inc.	172,200		4,916,310
Campbell Soup Co.	136,400		4,060,628
General Mills Inc.	41,000		2,022,120
Kraft Foods Inc. Class A	227,500		6,401,850
Unilever NV ADR	49,300		3,384,445

			31,446,985

Energy (8.51%)
Anadarko Petroleum Corp.	13,300		1,260,175
Chevron Corp.	43,000		2,441,110
Exxon Mobil Corp.	52,500		2,948,925
Kinder Morgan Inc.	43,100		3,963,045
Royal Dutch Shell PLC ADR Class A	83,100		5,109,819
Royal Dutch Shell PLC ADR Class B	55,300		3,568,509
Transocean Inc. (a)	62,600		4,362,594

			23,654,177

Financials (27.84%)
American International Group Inc.	61,000		4,162,030
AmeriCredit Corp. (a)	123,100		3,155,053
Assurant Inc.	12,300		534,927
Berkshire Hathaway Inc. Class A (a)	30		2,658,600
Capital One Financial Corp.	38,700		3,343,680
Chubb Corp.	22,600		2,206,890
Everest Re Group Ltd.	12,300		1,234,305
Fifth Third Bancorp	108,400		4,088,848
General Growth Properties Inc.	138,900		6,526,911
Golden West Financial Corp.	6,400		422,400
Goldman Sachs Group Inc.	18,700		2,388,177
Hartford Financial Services Group Inc.	60,500		5,196,345
Hudson City Bancorp Inc.	430,300		5,215,236
IndyMac Bancorp Inc.	63,600		2,481,672
JPMorgan Chase & Co.	279,300		11,085,417
Marsh & McLennan Companies Inc.	62,600		1,988,176
RenaissancerRe Holdings Ltd.	40,900		1,804,099
St. Paul Travelers Co. Inc.	21,500		960,405
Washington Mutual Inc.	211,200		9,187,200
Wells Fargo & Co.	105,000		6,597,150
XL Capital Ltd. Class A	32,500		2,189,850

			77,427,371

Health Care (9.79%)
AmerisourceBergen Corp.	92,400		3,825,360
AstraZeneca PLC ADR	82,900		4,028,940
Eli Lilly & Co.	19,400		1,097,846
Medco Health Solutions Inc. (a)	91,300		5,094,540
Merck & Co. Inc.	138,500		4,405,685
Pfizer Inc.	50,280		1,172,530
WellPoint Inc. (a)	95,400		7,611,966

			27,236,867

Industrials (14.57%)
Allied Waste Industries Inc. (a)	213,100		1,862,494
Cooper Industries Ltd. Class A	84,900		6,197,700
Emerson Electric Co.	26,700		1,994,490
General Electric Co.	231,300		8,107,065
Goodrich Corp.	21,900		900,090
Hubbell Inc. Class B	25,600		1,155,072
Ingersoll-Rand Co. Ltd. Class A	10,300		415,811
Siemens AG ADR	29,700		2,542,023
Tyco International Ltd.	170,700		4,926,402
Union Pacific Corp.	58,700		4,725,937
United Technologies Corp.	137,500		7,687,625

			40,514,709

Materials & Processes (5.00%)
Air Products & Chemicals Inc.	41,500		2,456,385
Alcoa Inc.	88,300		2,611,031
International Paper Co.	110,800		3,723,988
Methanex Corp.	53,300		998,842
The Dow Chemical Co.	93,700		4,105,934

			13,896,180

Technology (8.01%)
Affiliated Computer Services Inc. Class A (a)	36,500		2,160,070
Arrow Electronics Inc. (a)	13,300		425,999
Fairchild Semiconductor International Inc. (a)	247,200		4,180,152
Flextronics International Ltd. (a)	416,900		4,352,436
Freescale Semiconductor Inc. Class A (a)	171,500		4,320,085
Hewlett-Packard Co.	159,900		4,577,937
International Rectifier Corp. (a)	70,500		2,248,950

			22,265,629

Telecommunication Services (5.25%)
AT&T Inc.	162,100		3,969,829

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Telecommunication Services (Cont.)
BellSouth Corp.	62,600	$	1,696,460
Sprint Nextel Corp.	222,100		5,188,256
Verizon Communications Inc.	124,200		3,740,904

			14,595,449

Utilities (2.82%)
Duke Energy Corp.	103,600		2,843,820
Equitable Resources Inc.	28,700		1,053,003
Exelon Corp.	23,800		1,264,732
MDU Resources Group Inc.	42,100		1,378,354
Pinnacle West Capital Corp.	31,800		1,314,930

			7,854,839

Total Common Stocks (cost $259,634,855)			270,766,717

Short-term Investments (2.72%)
JPMorgan 100% US Treasury Securities Money Market Fund	6,029,760		6,029,760
JPMorgan Treasury Plus Money Market Fund	1,543,845		1,543,845

Total Short-term Investments (cost $7,573,605)			7,573,605

TOTAL INVESTMENTS (100.09%) (cost $267,208,460)			278,340,322
LIABILITIES, NET OF OTHER ASSETS (-0.09%)			(254,397	)

NET ASSETS (100.00%)		$	278,085,925

(a)	Non-income producing security.

ADR - American Depository Receipt

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Common Stocks (96.96%)

Consumer Discretionary (20.79%)
Advo Inc.	41,000	$	1,155,380
Alloy Inc. (a)	69,400		200,566
Arbitron Inc.	42,900		1,629,342
Beazer Homes USA Inc.	14,300		1,041,612
Blue Nile Inc. (a)	4,300		173,333
Borders Group Inc.	8,900		192,863
California Pizza Kitchen Inc. (a)	27,900		891,963
Citadel Broadcasting Corp.	11,800		158,592
Citi Trends Inc. (a)	4,900		209,181
Delia*s Inc. (a)	34,700		288,010
Delia*s Inc. Rights (a)	4,001		4,001
Entercom Communications Corp. (a)	3,300		97,911
Fairmont Hotels & Resorts	10,900		462,269
Fossil Inc. (a)	9,200		197,892
Four Seasons Hotels Inc.	29,600		1,472,600
Franklin Covey Co. (a)	49,300		311,576
Furniture Brands International Inc.	79,900		1,784,167
Jarden Corp. (a)	54,750		1,650,712
Libbey Inc.	19,500		199,290
Lithia Motors Inc. Class A	15,200		477,888
MDU Communications Inc. (a)	650,100		955,647
Mikohn Gaming Corp. (a)	57,500		567,525
Orient Express Hotels Ltd. Class A	46,100		1,453,072
Petco Animal Supplies Inc. (a)	11,500		252,425
PF Chang’s China Bistro Inc. (a)	13,700		679,931
Prestige Brands Holdings Inc. (a)	32,500		406,250
Princeton Review Inc. (a)	84,600		435,690
Radio One Inc. Class A (a)	4,000		41,080
Radio One Inc. Class D (a)	74,200		767,970
Reader’s Digest Association Inc.	76,100		1,158,242
Restoration Hardware Inc. (a)	88,100		530,362
Ruth’s Chris Steak House (a)	25,300		457,930
Scientific Games Corp. Class A (a)	34,000		927,520
Six Flags Inc. (a)	31,900		245,949
Stage Stores Inc.	22,500		670,050
Steiner Leisure Ltd. (a)	9,300		330,708
Texas Roadhouse Inc. Class A (a)	47,400		737,070
The Sports Authority Inc. (a)	7,100		221,023
Tweeter Home Entertainment Group Inc. (a)	60,200		344,344
ValueVision Media Inc. Class A (a)	42,100		530,460
Warnaco Group Inc. (a)	54,400		1,453,568

			25,765,964

Consumer Staples (2.17%)
Fresh Del Monte Produce Inc.	11,900		270,963
Interstate Bakeries Corp. (a)	87,300		650,385
Performance Food Group Co. (a)	14,875		422,004
Reddy Ice Holdings Inc.	31,700		691,377
Tootsie Roll Industries Inc.	16,585		479,804
WD-40 Co.	6,600		173,316

			2,687,849

Energy (5.66%)
Alpha Natural Resources Inc. (a)	84,500		1,623,245
Cabot Oil & Gas Corp.	5,100		230,010
Delta Petroleum Corp. (a)	71,600		1,558,732
Energy Partners Ltd. (a)	17,800		387,862
Helmerich & Payne Inc.	17,600		1,089,616
Hydril (a)	8,000		500,800
Newpark Resources Inc. (a)	126,600		965,958
SEACOR Holdings Inc. (a)	3,200		217,920
St. Mary Land & Exploration Co.	11,900		438,039

			7,012,182

Financial Services (14.45%)
American Financial Realty Trust	10,500		126,000
AmeriCredit Corp. (a)	55,500		1,422,465
Annaly Mortgage Management Inc.	34,100		373,054
Anthracite Capital Inc.	81,200		855,036
Banner Corp.	43,500		1,357,200
Columbia Banking Systems Inc.	47,558		1,357,781
Endurance Specialty Holdings Ltd.	4,700		168,495
Federal Agricultural Mortgage Corp. Class C	35,900		1,074,487
First Community Bancorp (CA)	1,000		54,370
Franklin Bank Corp. (a)	27,800		500,122
Fulton Financial Corp.	18,718		329,437
Gramercy Capital Corp.	44,300		1,009,154
Harbor Florida Bancshares Inc.	16,000		592,800
Heritage Financial Corp.	735		17,948
LaSalle Hotel Properties	3,700		135,864
Max Re Capital Ltd.	23,900		620,683
Medallion Financial Corp.	24,000		270,240
MeriStar Hospitality Corp. (a)	42,100		395,740
MFA Mortgage Investments Inc.	52,000		296,400
Netbank Inc.	17,500		125,650
Pan Pacific Retail Properties Inc.	5,900		394,651
Placer Sierra Bancshares	24,900		689,979
ProAssurance Corp. (a)	8,900		432,896
Provident Bankshares Corp.	25,118		848,235
SL Green Realty Corp.	22,000		1,680,580
Southcoast Financial Corp. (a)	23,000		554,300
Tarragon Corp. (a)	14,000		288,680
Trammell Crow Co. (a)	58,400		1,497,960
Umpqua Holdings Corp.	8,800		251,064
Zenith National Insurance Corp.	3,900		179,868

			17,901,139

Health Care (10.08%)
Alnylam Pharmaceuticals Inc. (a)	11,700		156,312
American Healthways Inc. (a)	8,000		362,000

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Health Care (Cont.)
AMN Healthcare Services Inc. (a)	30,437	$	602,044
Atherogenics Inc. (a)	48,600		972,486
Atricure, Inc. (a)	33,700		358,905
Cytokinetics Inc. (a)	7,900		51,666
Greatbatch Inc. (a)	28,500		741,285
Human Genome Sciences Inc. (a)	196,800		1,684,608
Incyte Corp. (a)	181,329		968,297
Matria Healthcare Inc. (a)	14,000		542,640
National Medical Health Card Systems Inc. (a)	13,300		361,760
Option Care Inc.	91,400		1,221,104
Pharmacyclics Inc. (a)	107,600		381,980
Pharmion Corp. (a)	51,400		913,378
Renovis Inc. (a)	29,200		446,760
Rigel Pharmaceuticals Inc. (a)	36,000		300,960
SonoSite Inc. (a)	5,500		192,555
VistaCare Inc. Class A (a)	52,100		651,250
Wright Medical Group Inc. (a)	55,500		1,132,200
ZymoGenetics Inc. (a)	26,100		443,961

			12,486,151

Industrials (15.91%)
Actuant Corp. Class A	29,000		1,618,200
Albany International Corp. Class A	12,800		462,848
Ambassadors International Inc.	12,300		190,650
Ducommun Inc. (a)	27,000		576,720
ESCO Technologies Inc. (a)	75,800		3,372,342
Exponent Inc. (a)	28,900		820,182
G&K Services Inc. Class A	28,400		1,114,700
Griffon Corp. (a)	19,400		461,914
Jacuzzi Brands Inc. (a)	45,500		382,200
Jetblue Airways Corp. (a)	81,300		1,250,394
K&F Industries Holdings Inc. (a)	63,700		978,432
Ladish Co. Inc. (a)	65,700		1,468,395
Pinnacle Airlines Corp. (a)	176,200		1,175,254
RailAmerica Inc. (a)	119,600		1,314,404
Resources Connection Inc. (a)	53,900		1,404,634
Tennant Co.	33,900		1,762,800
Tetra Tech Inc. (a)	33,900		531,213
United Stationers Inc. (a)	7,200		349,200
West Corp. (a)	11,500		484,725

			19,719,207

Materials & Processes (5.77%)
AptarGroup Inc.	26,200		1,367,640
Georgia Gulf Corp.	42,800		1,301,976
Glatfelter	67,100		952,149
Methanex Corp.	123,200		2,308,768
Packaging Corp. of America	53,000		1,216,350

			7,146,883

Technology (20.62%)
Advanced Energy Industries Inc. (a)	115,800		1,369,914
Atheros Communications (a)	73,100		950,300
Benchmark Electronics Inc. (a)	34,900		1,173,687
Blackboard Inc. (a)	8,100		234,738
Brocade Communications Systems Inc. (a)	99,100		403,337
Credence Systems Corp. (a)	106,500		741,240
CyberSource Corp. (a)	36,400		240,240
Cymer Inc. (a)	43,800		1,555,338
Dot Hill Systems Corp. (a)	130,500		904,365
Electro Scientific Industries Inc. (a)	45,100		1,089,165
Embarcadero Technologies Inc. (a)	13,300		96,824
Fairchild Semiconductor International Inc. (a)	49,600		838,736
FEI Co. (a)	29,700		569,349
Gateway Inc. (a)	478,300		1,200,533
Intergraph Corp. (a)	6,400		318,784
Kulicke & Soffa Industries Inc. (a)	129,100		1,141,244
LTX Corp. (a)	79,600		358,200
MIPS Technologies Inc. (a)	60,400		343,072
MKS Instruments Inc. (a)	51,300		917,757
Moldflow Corp. (a)	18,200		253,708
National Instruments Corp.	27,900		894,195
Novatel Wireless Inc. (a)	64,000		775,040
ON Semiconductor Corp. (a)	227,300		1,256,969
Pixelworks Inc. (a)	39,900		202,692
Quest Software Inc. (a)	16,500		240,735
Rudolph Technologies Inc. (a)	19,500		251,160
Sapient Corp. (a)	376,800		2,143,992
SCO Group Inc. (a)	66,800		263,860
Semtech Corp. (a)	36,500		666,490
Sigmatel Inc. (a)	9,500		124,450
Silicon Laboratories Inc. (a)	14,200		520,572
Spansion Inc. Class A (a)	33,300		463,536
SunPower Corp. Class A (a)	7,100		241,329
SupportSoft Inc. (a)	61,500		259,530
SYNNEX Corp. (a)	28,600		432,146
TNS Inc. (a)	35,800		686,644
Veeco Instruments Inc. (a)	73,800		1,278,954
X-Rite Inc.	15,000		150,000

			25,552,825

Telecommunication Services (0.38%)
CallWave Inc. (a)	13,300		66,367
General Communication Inc. Class A (a)	38,800		400,804

			467,171

Utilities (1.13%)
CMS Energy Corp. (a)	18,800		272,788
Duquesne Light Holdings Inc.	30,600		499,392
SEMCO Energy Inc. (a)	68,900		387,218

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Utilities (Cont.)
Westar Energy Inc.	11,300	$	242,950

			1,402,348

Total Common Stocks (cost $110,584,534)			120,141,719

Short-term Investments (3.44%)
JPMorgan 100% US Treasury Securities Money Market Fund	1,456,916		1,456,916
JPMorgan Treasury Plus Money Market Fund	2,809,987		2,809,987

Total Short-term Investments (cost $4,266,903)			4,266,903

TOTAL INVESTMENTS (100.40%) (cost $114,851,437)			124,408,622
LIABILITIES, NET OF OTHER ASSETS (-0.40%)			(500,693	)

NET ASSETS (100.00%)		$	123,907,929

(a)	Non-income producing security.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Common Stocks (96.95%)

Australia (1.35%)
Amcor Ltd.	26,207	$	143,516
BHP Billiton Ltd.	3,812		63,577
Brambles Industries Ltd.	3,787		28,096
Insurance Australia Group Ltd.	22,834		90,729
Macquarie Bank Ltd.	2,700		134,894
Promina Group Ltd.	23,200		82,318
Rinker Group Ltd.	32,945		397,300
Wesfarmers Ltd.	4,900		132,803
Woolworths Ltd.	14,252		176,051

			1,249,284

Austria (0.54%)
Erste Bank Der Oester Spark	3,400		189,389
Raiffeisen International Bank Holding (a)	700		46,036
Telekom Austria AG	6,414		144,277
Wienerberger AG	3,100		124,049

			503,751

Belgium (0.61%)
Fortis	3,600		114,606
SES Global FDR Class A	13,000		223,165
UCB SA	4,900		230,188

			567,959

Canada (5.20%)
Abitibi Consolidated Inc.	18,500		74,162
Alcan Inc.	21,800		895,667
Barrick Gold Corp.	5,000		139,350
CAMECO Corp.	7,200		457,042
Canadian Natural Resources	7,100		351,992
Canadian Tire Corp. Class A Ltd.	200		11,964
Falconbridge Ltd.	7,593		225,350
Inco Ltd.	9,500		413,915
Loblaw Companies Ltd.	2,900		140,628
Magna International Inc. Class A	1,500		108,392
Manulife Financial Corp.	2,400		140,951
Methanex Corp.	8,000		150,441
Potash Corp. of Saskatchewan Inc.	6,700		536,599
Rogers Communications Inc. Class B	2,600		110,043
Suncor Energy Inc.	4,800		302,754
Telus Corp.	5,700		234,678
Telus Corp. Non Voting	8,400		337,243
The Toronto Dominion Bank	3,600		189,314

			4,820,485

Denmark (0.23%)
Novo Nordisk A/S	3,700		208,132

Finland (0.32%)
Stora Enso OYJ R Shares	8,800		119,186
UPM-Kymmene OYJ	9,100		178,409

			297,595

France (9.14%)
Accor SA	6,100		335,524
Air Liquide	1,473		283,381
AXA Co.	5,900		190,411
BNP Paribas	20,600		1,666,943
Bouygues	26,700		1,305,498
Carrefour SA	3,700		173,377
Essilor International	3,300		266,449
Groupe Danone	3,600		376,125
L’Oreal	3,700		275,091
Lafarge SA	4,800		431,887
Safran SA	2,600		62,179
Sanofi-Aventis	16,200		1,419,259
Schneider Electric SA	9,000		802,862
Societe Generale Class A	2,200		270,616
Total SA	700		175,857
Veolia Environnement	5,600		253,525
Vivendi Universal SA	5,900		184,823

			8,473,807

Germany (6.59%)
Allianz AG	5,100		772,488
Altana AG	3,100		168,824
Bayer AG	16,300		681,011
Bayerische Motoren Werke AG	3,800		166,681
Commerzbank AG	6,700		206,394
DaimlerChrysler AG	8,900		454,554
Deutsche Bank AG	2,800		271,492
Deutsche Boerse AG	1,633		167,347
Deutsche Post AG	10,100		244,887
E.On AG	6,200		641,458
Infineon Technologies AG (a)	22,700		207,740
SAP AG	3,700		670,907
SAP AG Sponsored	2,400		108,168
Siemens AG	11,350		972,858
Volkswagen AG	7,000		369,697

			6,104,506

Hong Kong (1.11%)
Bank of East Asia Ltd.	38,600		116,741
Hang Lung Group Ltd.	58,000		123,052
Hang Lung Properties Ltd.	75,000		117,042
Hong Kong & China Gas Co. Ltd.	72,000		153,682
Li & Fung Ltd.	124,000		239,087
PCCW Ltd.	157,000		96,687
Sun Hung Kai Properties Ltd.	19,000		185,010

			1,031,301

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Ireland (0.35%)
CRH Ltd.	8,600	$	252,909
CRH Ltd. (special placement)	2,325		68,374

			321,283

Italy (0.71%)
Banca Intesa SpA	27,500		145,694
ENI SpA	11,800		327,317
UniCredito Italiano SpA	26,500		182,593

			655,604

Japan (32.91%)
Advantest Corp.	3,400		342,782
Aeon Co. Ltd.	30,000		763,132
Aiful Corp.	2,107		175,978
Astellas Pharma Inc.	6,600		257,430
Canon Inc.	5,900		345,190
Daiichi Sanyko Co. Ltd. (a)	18,600		358,799
Fanuc Ltd.	7,700		653,555
Hankyu Holdings Inc.	16,000		104,057
Hirose Electric Co. Ltd.	2,800		373,460
Hoya Corp.	6,800		244,474
Kansai Electric Power	19,000		408,403
Kao Corp.	13,000		348,327
Keyence Corp.	600		170,687
Millea Holdings Inc.	34		585,238
Mitsubishi Corp.	29,500		652,860
Mitsubishi Estate Co. Ltd.	85,000		1,765,803
Mitsubishi Heavy Industries Ltd.	37,000		163,141
Mitsubishi UFJ Financial Group Inc.	175		2,374,189
Mitsui & Co. Ltd.	16,000		205,537
Mitsui Fudosan Co. Ltd.	10,000		203,078
Mitsui Sumitomo Insurance Co.	27,830		340,515
Mizuho Financial Group Inc.	71		563,497
Murata Manufacturing Co. Ltd.	2,700		173,078
NGK Spark Plug Co. Ltd.	12,000		259,465
Nidec Corp.	2,400		204,112
Nintendo Co. Ltd.	4,300		519,566
Nippon Electric Glass Co. Ltd.	22,000		480,349
Nippon Steel Corp.	51,000		181,625
Nippon Telegraph & Telephone Corp.	60		272,693
Nissan Motor Co. Ltd.	53,000		537,033
Nitto Denko Corp.	11,000		857,167
Obayashi Corp.	19,000		140,001
Omron Corp.	6,000		138,381
Orix Corp.	4,600		1,172,086
Ricoh Co. Ltd.	15,000		262,645
Rohm Co. Ltd.	4,200		456,913
Secom Co. Ltd.	3,500		183,109
Sekisui House Ltd.	8,000		100,666
Shimamura Co. Ltd.	1,200		166,058
Shin-Etsu Chemical Co. Ltd.	5,900		313,673
SMC Corp.	5,100		728,664
Softbank Corp.	63,600		2,685,615
Sompo Japan Insurance Inc.	26,000		351,634
Sony Corp.	5,100		208,437
Sumitomo Corp.	59,000		762,920
Sumitomo Mitsui Financial Group Inc.	235		2,490,779
Suzuki Motor Corp.	34,000		629,923
T&D Holdings Inc.	3,050		202,239
Takeda Pharmaceutical Co. Ltd.	7,700		416,552
TDK Corp.	1,800		124,085
Tokyo Electric Power Co.	7,600		184,627
Tokyo Electron Ltd.	12,800		804,240
Tokyo Gas Co. Ltd.	45,000		199,941
Tokyu Corp.	46,000		325,298
Toyota Motor Corp.	2,900		150,490
Trend Micro Inc. (a)	9,000		340,357
Uni-Charm Corp.	3,100		139,314
Ushio Inc.	8,200		191,555
Yahoo! Japan Corp.	395		599,525
Yamada Denki Co. Ltd.	4,900		613,253
Yamato Holdings Co. Ltd.	32,000		530,733

			30,498,933

Netherlands (5.52%)
ABN AMRO Holdings NV	29,560		773,064
Aegon NV	43,172		702,781
ASML Holding NV (a)	9,100		182,072
Heineken NV	25,562		810,439
ING Groep NV	21,426		743,231
Koninklijke KPN NV	126,100		1,264,484
Koninklijke Numico NV (a)	4,600		190,499
Reed Elsevier NV	13,700		191,389
TNT NV	8,300		259,416

			5,117,375

Norway (0.31%)
DNB NOR ASA	17,200		183,486
Norske Skogindustrier ASA	6,284		99,856

			283,342

Portugal (0.14%)
Portugal Telecom SGPS SA	12,700		128,554

Singapore (0.91%)
DBS Group Holdings Ltd.	17,000		168,707
Singapore Telecommunications (b)	428,000		671,867

			840,574

Spain (4.40%)
Altadis SA	4,500		204,152
Banco Bilbao Vizcaya Argentaria SA	53,100		948,005
Banco Santander Central Hispano SA	61,500		811,830
Iberdrola SA	9,500		259,694

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Spain (Cont.)
Inditex	6,800	$	221,792
Repsol YPF SA	35,600		1,039,763
Telefonica SA	39,157		589,210

			4,074,446

Sweden (1.20%)
Atlas Copco AB Class A	12,600		280,723
Ericsson LM Class B	200,500		688,986
Ericsson LM Class B ADR	4,100		141,040

			1,110,749

Switzerland (9.12%)
Adecco SA	2,880		132,817
Credit Suisse Group	9,891		504,316
Geberit AG Reg	206		163,038
Givaudan	230		155,865
Holcim Ltd.	17,146		1,167,815
Nestle SA	2,599		777,297
Novartis AG	28,770		1,511,791
Richemont AG INH A Units	25,087		1,092,026
Roche Holding AG	6,088		914,092
Swiss Reinsurance	12,523		916,793
Swisscom AG	1,264		398,953
Synthes Inc.	1,340		150,515
UBS AG	5,926		564,166

			8,449,484

United Kingdom (16.17%)
ARM Holdings PLC	35,400		73,696
AstraZeneca PLC	30,400		1,486,613
BHP Billiton PLC	12,810		209,266
Brambles Industries PLC	21,200		152,099
British Land Co. PLC	9,000		165,065
Cadbury Schweppes PLC	15,000		141,812
Carnival PLC	3,200		181,685
Centrica PLC	25,560		112,029
Diageo PLC	12,600		182,640
HBOS PLC	62,900		1,074,619
HSBC Holdings PLC	27,200		436,622
Kingfisher PLC	46,400		189,399
Lloyds TSB Group PLC	30,800		258,863
Pearson PLC	29,000		343,025
Reed Elsevier PLC	71,100		667,908
Rio Tinto PLC	4,300		196,421
Rolls Royce Group (a)	25,600		188,291
Royal Bank of Scotland Group (b)	6,700		202,305
Royal Bank of Scotland Group	59,400		1,793,570
Royal Dutch Shell PLC ADR Class A	3,600		221,364
Royal Dutch Shell PLC Class A	57,528		1,755,809
Royal Dutch Shell PLC Class B	5,804		185,536
Scottish & Southern Energy PLC	17,700		308,792
Standard Chartered PLC	25,100		559,240
Tesco PLC	26,000		148,290
Unilever PLC	69,600		690,340
Vodafone Group PLC	1,085,800		2,344,489
Wolseley PLC	8,800		185,470
Xstrata PLC	16,250		380,230
Yell Group PLC	16,300		150,457

			14,985,945

United States (0.12%)
News Corp. Inc. CDI	7,329		115,410

Total Common Stocks (cost $67,504,649)			89,838,519

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Repurchase Agreement (4.07%)
Investors Bank & Trust Co.
Repurchase Agreement, 3.020%, to be repurchased at $3,774,522 on 01/03/2006 (c)	$	3,773,256	$	3,773,256

Total Repurchase Agreement (cost $ 3,773,256)				3,773,256

TOTAL INVESTMENTS (101.02%) (cost $ 71,277,905)				93,611,775

LIABILITIES, NET OF CASH AND OTHER ASSETS (-1.02%)				(943,631	)

NET ASSETS (100.00%)			$	92,668,144

(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 December 31, 2005, the value of these securities amounted to $874,172 or 0.94% of net assets.

(c)	Repurchase agreement is fully collateralized by Government Agency Securities with a coupon rate of 4.23%, a maturity date of March 1, 2034, and a market value of $3,961,918 as of December 31, 2005.

Approximately 32.58% of the investment securities are denominated in the Japanese Yen followed by 29.80% in the Euro, 12.31% in the British Pound, 9.03% in the Swiss Franc, 5.12% in the United States Dollar, 4.56% in the Canadian Dollar and 2.62% Swedish Krone. The remaining investment securities representing 3.98% of total investments are denominated in five currencies, each of which represents less than 1.46% of total investments.

ADR - American Depository Receipt

FDR - Fiduciary Depository Receipts

INTERNATIONAL EQUITY FUND SECTOR CLASSIFICATIONS


Sector	Value			%
Financials	$	26,435,756		28.53	%
Information Technology		10,338,068		11.16
Materials		8,616,954		9.30
Industrials		8,371,017		9.03
Telecommunication Services		7,898,677		8.53
Consumer Discretionary		7,722,903		8.33
Health Care		7,388,644		7.97
Consumer Staples		5,726,915		6.18
Energy		4,817,433		5.20
Utilities		2,522,152		2.72

Total Stocks		89,838,519		96.95
Repurchase Agreement		3,773,256		4.07
Liabilities, Net of Cash and Other Assets		(943,631	)	(1.02	)

Net Assets	$	92,668,144		100.00	%

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Common Stocks (99.65%)
Consumer Discretionary (14.57%)
1-800 Contacts Inc. (a)	1,749	$	20,481
1-800-FLOWERS.COM Inc. (a)	5,115		32,838
4Kids Entertainment Inc. (a)	3,347		52,514
99 Cents Only Stores (a)	10,278		107,508
Aaron Rents Inc.	7,958		167,755
AC Moore Arts & Crafts Inc. (a)	2,955		42,995
Advo Inc.	6,951		195,879
Aeropostale Inc. (a)	11,790		310,077
AFC Enterprises (a)	6,341		95,876
Aftermarket Technology Corp. (a)	5,968		116,018
Alderwoods Group Inc. (a)	8,000		126,960
Alliance Gaming Corp. (a)	10,562		137,517
Alloy Inc. (a)	8,071		23,325
Ambassadors Group Inc.	3,372		77,185
America’s Car-Mart Inc. (a)	3,884		64,164
American Axle & Manufacturing Holdings Inc.	9,287		170,231
Ameristar Casinos Inc.	5,057		114,794
Arbitron Inc.	6,818		258,948
Arctic Cat Inc.	4,252		85,295
ArvinMeritor Inc.	15,315		220,383
Asbury Automotive Group Inc. (a)	2,952		48,590
Audible Inc. (a)	4,951		63,571
Audiovox Corp. (a)	3,404		47,179
Avatar Holdings Inc. (a)	1,448		79,524
Aztar Corp. (a)	7,500		227,925
Bandag Inc.	2,616		111,625
Bassett Furniture Industries Inc.	1,941		35,908
Big 5 Sporting Goods Corp.	4,219		92,354
Big Lots Inc. (a)	23,245		279,172
BJ’s Restaurant Inc. (a)	2,939		67,186
Blair Corp.	2,041		79,477
Blockbuster Inc.	38,709		145,159
Blount International Inc. (a)	7,794		124,158
Blue Nile Inc. (a)	3,156		127,218
Bluegreen Corp. (a)	4,223		66,723
Blyth Inc.	6,145		128,738
Bob Evans Farms Inc.	7,845		180,906
Bombay Co. Inc. (a)	7,463		22,090
Bon-Ton Stores Inc.	2,600		49,738
Bright Horizons Family Solutions Inc. (a)	6,706		248,457
Brookfield Homes Corp.	2,837		141,084
Brown Shoe Co. Inc.	4,047		171,714
Buckle Inc.	1,822		58,741
Buffalo Wild Wings Inc. (a)	2,398		79,638
Build-A-Bear Workshop Inc. (a)	2,029		60,140
Building Materials Holding Corp.	2,846		194,126
Burlington Coat Factory Warehouse Corp.	4,287		172,380
Cabela’s Inc. (a)	6,930		115,038
Cache Inc. (a)	2,557		44,287
California Coastal Communities Inc. (a)	1,554		60,963
California Pizza Kitchen Inc. (a)	4,080		130,438
Callaway Golf Co.	16,114		223,018
Carmike Cinemas Inc.	2,599		65,911
Carter’s Inc. (a)	3,904		229,750
Casual Male Retail Group Inc. (a)	5,643		34,592
Catalina Marketing Corp.	10,770		273,019
Cato Corp. Class A	6,244		133,934
CEC Entertainment Inc. (a)	7,606		258,908
Champion Enterprises Inc. (a)	16,080		219,010
Charles & Colvard Ltd.	2,553		51,571
Charlotte Russe Holding Inc. (a)	3,067		63,886
Charming Shoppes Inc. (a)	27,981		369,349
Charter Communications Inc. (a)	78,572		95,858
Cherokee Inc.	1,482		50,966
Children’s Place Retail Stores Inc. (a)	4,456		220,216
Christopher & Banks Corp.	7,542		141,639
Churchill Downs Inc.	1,561		57,336
Citadel Broadcasting Corp.	8,869		119,199
Citi Trends Inc. (a)	1,400		59,766
CKE Restaurants Inc.	11,972		161,742
Coachmen Industries Inc.	3,691		43,591
Coldwater Creek Inc. (a)	7,331		223,815
Comstock Homebuilding Companies Inc. (a)	1,034		14,590
Conn’s Inc. (a)	986		36,354
Cooper Tire & Rubber Co.	14,301		219,091
Corinthian Colleges Inc. (a)	21,478		253,011
Cost Plus Inc. (a)	4,966		85,167
Courier Corp.	2,001		68,714
Cox Radio Inc. (a)	7,763		109,303
Crown Media Holdings Inc. (a)	2,762		25,328
CSK Auto Corp. (a)	9,627		145,175
CSS Industries Inc.	1,218		37,429
Cumulus Media Inc. (a)	11,706		145,271
Dave & Buster’s Inc. (a)	4,614		81,253
Deb Shops Inc.	893		26,549
Deckers Outdoor Corp. (a)	2,053		56,704
dELiA*s Inc. (a)	4,035		33,491
dELiA*s Inc. Rights (a)	465		465
Denny’s Corp. (a)	25,553		102,979
Design Within Reach Inc. (a)	2,393		12,683
Dixie Group Inc. (a)	2,137		29,448
Domino’s Pizza Inc.	6,817		164,971
Dover Downs Gaming & Entertainment Inc.	2,068		29,262
Dover Motorsports Inc.	3,791		23,163
Dress Barn Inc. (a)	4,568		176,370
Drew Industries Inc. (a)	4,064		114,564
drugstore.com inc. (a)	13,990		39,871
DSW Inc. (a)	3,500		91,770
Earle M Jorgensen Co. (a)	3,681		33,976

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Educate Inc. (a)	3,631	$	42,846
Emmis Communications Corp. (a)	8,521		169,653
Entercom Communications Corp. (a)	7,985		236,915
Entravision Communications Corp. (a)	15,640		111,357
Escala Group Inc. (a)	1,309		26,547
Escalade Inc.	1,591		18,726
Ethan Allen Interiors Inc.	7,622		278,432
Fisher Communications Inc. (a)	1,296		53,693
Fleetwood Enterprises Inc. (a)	13,958		172,381
Fossil Inc. (a)	10,547		226,866
Fred’s Inc.	8,240		134,065
FTD Group Inc. (a)	2,609		27,108
Furniture Brands International Inc.	10,764		240,360
GameStop Corp. Class A (a)	1,962		62,431
Gamestop Corp. Class B (a)	9,674		279,579
Gaylord Entertainment Co. (a)	8,863		386,338
Gemstar-TV Guide International Inc. (a)	50,609		132,089
Genesco Inc. (a)	4,759		184,602
Goody’s Family Clothing Inc.	3,862		37,037
Gray Television Inc.	9,347		91,788
Great Wolf Resorts Inc. (a)	5,228		53,901
Group 1 Automotive Inc. (a)	4,921		154,667
GSI Commerce Inc. (a)	6,927		104,528
Guess ? Inc. (a)	3,651		129,976
Guitar Center Inc. (a)	5,533		276,705
Gymboree Corp. (a)	7,765		181,701
Handleman Co.	4,965		61,665
Harris Interactive Inc. (a)	10,463		45,096
Hartmarx Corp. (a)	5,317		41,526
Haverty Furniture Companies Inc.	4,335		55,878
Hayes Lemmerz International Inc. (a)	7,962		28,026
Hibbett Sporting Goods Inc. (a)	7,312		208,246
Hollinger International Inc.	17,413		156,020
Hooker Furniture Corp.	3,816		65,444
Hot Topic Inc. (a)	9,392		133,836
IHOP Corp.	4,575		214,613
Innovo Group Inc. (a)	5,375		5,536
Insight Enterprises Inc. (a)	10,148		199,002
Interface Inc. (a)	9,305		76,487
iRobot Corp. (a)	1,800		59,994
Isle of Capri Casinos Inc. (a)	4,209		102,531
J Jill Group Inc. (a)	7,344		139,756
Jack in the Box Inc. (a)	7,755		270,882
Jakks Pacific Inc. (a)	5,227		109,453
Jarden Corp. (a)	14,831		447,155
Jo-Ann Stores Inc. (a)	5,169		60,994
Jos. A. Bank Clothiers Inc. (a)	3,550		154,106
Journal Communications Inc. Class A	6,042		84,286
Journal Register Co.	9,209		137,675
K-Swiss Inc. Class A	6,471		209,919
K2 Inc. (a)	10,135		102,465
Kellwood Co.	7,243		172,963
Kenneth Cole Productions Inc.	2,291		58,420
Keystone Automotive Industries Inc. (a)	3,209		101,019
Kimball International Inc. Class B	4,483		47,654
Krispy Kreme Doughnuts Inc. (a)	20,706		118,852
La Quinta Corp. (a)	40,563		451,872
La-Z-Boy Inc.	11,322		153,526
Landry’s Restaurants Inc.	4,195		112,048
Leapfrog Enterprises Inc. (a)	7,420		86,443
Levitt Corp Class A	3,795		86,298
Libbey Inc.	3,627		37,068
Liberty Corp.	3,540		165,707
Life Time Fitness Inc. (a)	5,293		201,610
Lifetime Brands Inc.	2,773		57,318
Lin TV Corp. (a)	6,365		70,906
Linens ‘n Things Inc. (a)	9,596		255,254
Lithia Motors Inc. Class A	3,466		108,971
LKQ Corp. (a)	3,002		103,929
LodgeNet Entertainment Corp. (a)	3,468		48,344
Lodgian Inc. (a)	5,551		59,562
Lone Star Steakhouse & Saloon Inc.	3,880		92,111
Luby’s Inc. (a)	4,606		61,260
M/I Homes Inc.	2,500		101,550
Magna Entertainment Corp. (a)	7,377		52,672
Maidenform Brands Inc. (a)	4,200		53,172
Marcus Corp.	4,237		99,569
Marine Products Corp.	2,692		28,239
MarineMax Inc. (a)	2,915		92,027
Martha Stewart Living Omnimedia Inc. (a)	4,578		79,795
Matthews International Corp.	6,568		239,141
Maytag Corp.	17,669		332,531
McCormick & Schmick’s Seafood Restaurants Inc. (a)	1,526		34,503
Media General Inc.	4,601		233,271
Mediacom Communications Corp. Class A (a)	12,628		69,328
Midas Inc. (a)	3,884		71,310
Mikohn Gaming Corp. (a)	9,908		97,792
Modine Manufacturing Co.	7,543		245,826
Monaco Coach Corp.	5,722		76,103
Monarch Casino & Resort Inc. (a)	1,966		44,432
Monro Muffler Brake Inc.	3,090		93,689
Morningstar Inc. (a)	1,705		59,061
Movado Group Inc.	4,016		73,493
Movie Gallery Inc.	5,504		30,877
MTR Gaming Group Inc. (a)	4,861		50,603
Multimedia Games Inc. (a)	5,636		52,133
National Presto Industries Inc.	1,318		58,453
Nautilus Inc.	8,502		158,647
Navarre Corp. (a)	15,101		83,509
Netflix Inc. (a)	8,050		217,833
New York & Co. Inc. (a)	2,656		56,307
Noble International Ltd.	1,465		30,531

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Nutri/System Inc. (a)	5,049	$	181,865
O’Charley’s Inc. (a)	6,609		102,506
Oakley Inc.	5,174		76,006
Overstock.com Inc. (a)	2,399		67,532
Oxford Industries Inc.	3,047		166,671
Pacific Sunwear of California Inc. (a)	16,202		403,754
Palm Harbor Homes Inc. (a)	3,305		62,134
Pantry Inc. (a)	3,839		180,395
Papa John’s International Inc. (a)	2,640		156,578
Payless Shoesource Inc. (a)	13,778		345,828
PEP Boys-Manny Moe & Jack	11,627		173,126
Perry Ellis International Inc. (a)	1,951		37,069
Petco Animal Supplies Inc. (a)	12,511		274,616
PF Chang’s China Bistro Inc. (a)	5,591		277,481
Phillips-Van Heusen Corp.	6,442		208,721
Pier 1 Imports Inc.	17,911		156,363
Pinnacle Entertainment Inc. (a)	8,348		206,279
Playboy Enterprises Inc. (a)	4,694		65,200
Pre-Paid Legal Services Inc.	2,867		109,548
Prestige Brands Holdings Inc. (a)	6,248		78,100
Priceline.com Inc. (a)	5,862		130,840
Primedia Inc. (a)	30,321		48,817
ProQuest Co. (a)	5,778		161,264
Provide Commerce Inc. (a)	3,475		115,057
Quantum Fuel Systems Technologies Worldwide Inc. (a)	9,260		24,817
R&B Inc. (a)	2,075		19,671
Radio One Inc. Class D (a)	18,483		191,299
Rare Hospitality International Inc. (a)	7,213		219,203
RC2 Corp. (a)	3,832		136,113
RCN Corp. (a)	5,171		121,260
Reader’s Digest Association Inc.	20,639		314,126
Red Robin Gourmet Burgers Inc. (a)	3,174		161,747
Regent Comunications Inc. (a)	8,005		37,143
Regis Corp.	9,878		380,994
Rent-Way Inc. (a)	5,313		33,950
Restoration Hardware Inc. (a)	18,248		109,853
Retail Ventures Inc. (a)	3,421		42,557
Riviera Holdings Corp. (a)	1,965		32,206
Ruby Tuesday Inc.	13,911		360,156
Russ Berrie & Co. Inc.	3,376		38,554
Russell Corp.	6,633		89,280
Ruth’s Chris Steak House (a)	4,100		74,210
Ryan’s Restaurant Group Inc. (a)	8,540		102,992
Saga Communications Inc. (a)	3,508		38,132
Salem Communications Corp. (a)	2,459		43,008
Sauer-Danfoss Inc.	2,239		42,116
Scholastic Corp. (a)	7,273		207,353
Select Comfort Corp. (a)	7,680		210,048
Sharper Image Corp. (a)	2,807		27,340
Shoe Carnival Inc. (a)	1,517		33,253
Shuffle Master Inc. (a)	8,478		213,137
Sinclair Broadcast Group Inc.	12,604		115,957
Six Flags Inc. (a)	20,756		160,029
Skechers U.S.A. Inc. (a)	5,149		78,883
Skyline Corp.	1,843		67,085
Sonic Automotive Inc.	6,697		149,209
Sotheby’s Holdings Inc. (a)	9,387		172,345
Source Interlink Co. Inc. (a)	6,766		75,238
Spanish Broadcasting System Inc. (a)	7,892		40,328
Speedway Motorsports Inc.	3,554		123,217
Stage Stores Inc.	5,938		176,834
Stamps.com Inc. (a)	3,528		81,003
Standard Motor Products Inc.	3,488		32,194
Stanley Furniture Co. Inc.	2,516		58,321
Stein Mart Inc.	5,523		100,242
Steinway Musical Instruments Inc. (a)	1,899		48,443
Steven Madden Ltd. (a)	3,108		90,847
Stewart Enterprises Inc.	21,654		117,148
Strattec Security Corp. (a)	753		30,436
Strayer Education Inc.	3,250		304,525
Stride Rite Corp.	7,363		99,842
Sturm Ruger & Co. Inc.	4,384		30,732
Sunterra Corp. (a)	3,995		56,809
Superior Industries International Inc.	4,641		103,309
Talbots Inc.	5,199		144,636
Technical Olympic USA Inc.	2,983		62,911
Tenneco Inc. (a)	9,313		182,628
Texas Roadhouse Inc. Class A (a)	8,904		138,457
The Andersons Inc.	1,396		60,140
The Finish Line Inc. Class A	8,951		155,926
The Sports Authority Inc. (a)	5,423		168,818
The Steak n Shake Co. (a)	5,636		95,530
The Yankee Candle Co. Inc.	10,217		261,555
Thomas Nelson Inc.	2,328		57,385
Thor Industries Inc.	8,441		338,231
TiVo Inc. (a)	11,640		59,597
Too Inc. (a)	7,218		203,620
Tractor Supply Co. (a)	7,040		372,698
Trans World Entertainment Corp. (a)	3,980		22,686
Triarc Companies Inc. Class B	7,635		113,380
Tuesday Morning Corp.	5,489		114,830
Tupperware Brands Corp.	10,696		239,590
Under Armour Inc. Class A (a)	2,500		95,775
Unifirst Corp.	2,175		67,642
United Auto Group Inc.	6,214		237,375
Universal Electronics Inc. (a)	2,675		46,090
Universal Technical Institute Inc. (a)	4,981		154,112
Vail Resorts Inc. (a)	6,582		217,403
Valassis Communications Inc. (a)	10,890		316,572
Value Line Inc.	162		5,659
ValueVision Media Inc. Class A (a)	6,023		75,890
Vertrue Inc. (a)	1,536		54,267
Visteon Corp. (a)	27,978		175,142
Volcom Inc. (a)	1,800		61,218
Warnaco Group Inc. (a)	9,466		252,932

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
WCI Communities Inc. (a)	7,481	$	200,865
West Marine Inc. (a)	2,895		40,472
Wet Seal Inc. (a)	14,705		65,290
William Lyon Homes Inc. (a)	824		83,142
Wilsons The Leather Experts (a)	3,936		14,288
Winnebago Industries Inc.	7,219		240,248
WMS Industries Inc. (a)	4,892		122,740
Wolverine World Wide Inc.	12,221		274,484
World Wrestling Entertainment Inc.	3,869		56,797
WorldSpace Inc. (a)	3,800		55,138
WPT Enterprises Inc. (a)	1,111		6,599
Xerium Technologies Inc.	2,592		21,799
Zale Corp. (a)	10,867		273,305
Zumiez Inc. (a)	633		27,358

			39,119,896

Consumer Staples (2.82%)
Alico Inc.	785		35,474
Alliance One International Inc.	19,444		75,832
American Italian Pasta Co.	4,729		32,157
Boston Beer Co. Inc. (a)	3,180		79,500
Casey’s General Stores Inc.	12,566		311,637
Central European Distribution Corp. (a)	4,231		169,832
Central Garden & Pet Co. (a)	3,904		179,350
Chattem Inc. (a)	4,543		165,320
Chiquita Brands International Inc.	9,205		184,192
Coca-Cola Bottling Co. Consolidated	947		40,721
Corn Products International Inc.	15,433		368,694
Darling International Inc. (a)	13,725		54,488
Delta & Pine Land Co.	7,743		178,166
Diamond Foods Inc.	2,100		41,517
Elizabeth Arden Inc. (a)	5,403		108,384
Farmer Brothers Co.	1,393		26,941
Flowers Foods Inc.	10,990		302,884
Gold Kist Inc. (a)	12,569		187,907
Green Mountain Coffee Roasters Inc. (a)	959		38,935
Hain Celestial Group Inc. (a)	6,023		127,447
Hansen Natural Corp. (a)	3,238		255,187
Ingles Markets Inc.	2,105		32,943
Inter Parfums Inc.	867		15,571
J&J Snack Foods Corp.	1,321		78,481
John B. Sanfilippo & Son Inc. (a)	1,686		21,800
Lancaster Colony Corp.	5,319		197,069
Lance Inc.	6,205		115,599
Longs Drug Stores Corp.	6,512		236,972
M & F Worldwide Corp. (a)	2,264		36,949
Mannatech Inc.	3,279		45,283
Maui Land & Pineapple Co. Inc. (a)	866		29,383
Nash Finch Co.	2,712		69,102
Nature’s Sunshine Products Inc.	2,285		41,313
NBTY Inc. (a)	11,636		189,085
Nu Skin Enterprises Inc.	13,962		245,452
Parlux Fragrances Inc. (a)	1,274		38,895
Pathmark Stores Inc. (a)	9,388		93,786
Peet’s Coffee & Tea Inc. (a)	2,841		86,224
Performance Food Group Co. (a)	8,249		234,024
Perrigo Co.	20,038		298,767
Playtex Products Inc. (a)	8,110		110,864
Premium Standard Farms Inc.	3,500		52,360
Ralcorp Holdings Inc. (a)	6,562		261,889
Reddy Ice Holdings Inc.	3,600		78,516
Revlon Inc. (a)	29,111		90,244
Ruddick Corp.	6,990		148,747
Sanderson Farms Inc.	4,651		141,995
Seaboard Corp.	74		111,814
Smart & Final Inc. (a)	2,799		36,051
Spartan Stores Inc. (a)	4,352		45,348
Star Scientific Inc. (a)	7,498		17,620
The Great Atlantic & Pacific Tea Co. Inc. (a)	4,223		134,207
Tootsie Roll Industries Inc.	5,469		158,218
Topps Co. Inc.	7,276		54,061
United Natural Foods Inc. (a)	10,042		265,109
Universal Corp.	5,605		243,033
USANA Health Sciences Inc. (a)	2,174		83,395
Vector Group Ltd.	7,241		131,569
WD-40 Co.	4,744		124,577
Weis Markets Inc.	3,396		146,164
Wild Oats Markets Inc. (a)	5,981		72,251

			7,579,295

Energy (6.24%)
Alon USA Energy Inc. (a)	1,600		31,440
Alpha Natural Resources Inc. (a)	6,421		123,347
Atlas America Inc. (a)	3,221		193,969
ATP Oil & Gas Corp. (a)	4,619		170,949
Atwood Oceanics Inc. (a)	2,802		218,640
Berry Petroleum Co.	3,833		219,248
Bill Barrett Corp. (a)	3,438		132,741
Bois d’Arc Energy Inc. (a)	2,642		41,902
Brigham Exploration Co. (a)	7,349		87,159
Bronco Drilling Co. Inc. (a)	1,800		41,418
Cabot Oil & Gas Corp.	10,585		477,384
Cal Dive International Inc. (a)	17,300		620,897
Callon Petroleum Co. (a)	3,380		59,657
CARBO Ceramics Inc.	4,331		244,788
Carrizo Oil & Gas Inc. (a)	5,168		127,701
Cheniere Energy Inc. (a)	10,794		401,753
Cimarex Energy Co. (a)	17,100		735,471
Clayton Williams Energy Inc. (a)	1,449		60,481
Comstock Resources Inc. (a)	8,640		263,606
Crosstex Energy Inc.	1,519		95,788
Delta Petroleum Corp. (a)	8,827		192,164

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Energy (Cont.)
Dril-Quip Inc. (a)	1,694	$	79,957
Edge Petroleum Corp. (a)	3,471		86,463
Encore Acquisition Co. (a)	11,791		377,784
Endeavour International Corp. (a)	11,356		37,475
Energy Partners Ltd. (a)	6,803		148,237
Foundation Coal Holdings Inc.	5,245		199,310
Frontier Oil Corp.	12,530		470,251
FX Energy Inc. (a)	7,096		56,626
Gasco Energy Inc. (a)	12,984		84,786
Giant Industries Inc. (a)	2,997		155,724
Global Industries Ltd. (a)	19,859		225,400
Goodrich Petroleum Corp. (a)	2,044		51,407
Grey Wolf Inc. (a)	39,257		303,457
Gulf Island Fabrication Inc.	3,113		75,677
Gulfmark Offshore Inc. (a)	4,380		129,736
Hanover Compressor Co. (a)	19,822		279,688
Harvest Natural Resources Inc. (a)	7,632		67,772
Hercules Offshore Inc. (a)	2,000		56,820
Holly Corp.	4,966		292,348
Hornbeck Offshore Services Inc. (a)	3,134		102,482
Houston Exploration Co. (a)	5,934		313,315
Hydril (a)	4,859		304,173
Input/Output Inc. (a)	14,032		98,645
James River Coal Co. (a)	2,938		112,232
KCS Energy Inc. (a)	10,454		253,196
KFX Inc. (a)	12,451		213,037
Lone Star Technologies Inc. (a)	7,094		366,476
Lufkin Industries Inc.	3,582		178,634
Maritrans Inc.	1,792		46,628
Markwest Hydrocarbon Inc.	1,296		28,525
Maverick Tube Corp. (a)	9,152		364,799
McMoRan Exploration Co. (a)	4,748		93,868
Meridian Resource Corp. (a)	19,127		80,333
Newpark Resources Inc. (a)	17,257		131,671
NGP Capital Resources Co.	3,426		44,983
NS Group Inc. (a)	4,926		205,956
Oceaneering International Inc. (a)	5,392		268,414
Offshore Logistics Inc. (a)	4,791		139,897
Oil States International Inc. (a)	8,652		274,095
Parallel Petroleum Corp. (a)	8,696		147,919
Parker Drilling Co. (a)	19,621		212,495
Penn Virginia Corp.	4,217		242,056
PetroHawk Energy Corp. (a)	13,360		176,619
Petroleum Development Corp. (a)	4,312		143,762
Petroquest Energy Inc. (a)	8,363		69,246
Pioneer Drilling Co. (a)	4,082		73,190
Remington Oil & Gas Corp. (a)	4,732		172,718
Resource America Inc.	3,210		54,731
RPC Inc.	4,933		129,935
SEACOR Holdings Inc. (a)	4,027		274,239
St. Mary Land & Exploration Co.	12,278		451,953
Stone Energy Corp. (a)	4,987		227,058
Superior Energy Services Inc. (a)	16,264		342,357
Swift Energy Co. (a)	6,089		274,431
Syntroleum Corp. (a)	7,926		71,572
Tetra Technologies Inc. (a)	7,457		227,588
Todco (a)	9,912		377,251
Toreador Resources Corp. (a)	3,090		65,106
TransMontaigne Inc. (a)	7,334		48,404
Tri-Valley Corp. (a)	5,132		39,927
Union Drilling Inc. (a)	3,700		53,761
Universal Compression Holdings Inc. (a)	4,211		173,156
USEC Inc.	17,691		211,407
Veritas DGC Inc. (a)	7,260		257,657
W&T Offshore Inc.	2,728		80,203
W-H Energy Services Inc. (a)	6,057		200,366
Warren Resources Inc. (a)	5,946		94,066
Whiting Petroleum Corp. (a)	7,883		315,320
World Fuel Services Corp.	5,828		196,520

			16,745,793

Financials (21.43%)
1st Source Corp.	2,298		57,795
21st Century Insurance Group	6,086		98,471
Aames Investment Corp.	8,130		52,520
Acadia Realty Trust	5,731		114,907
Accredited Home Lenders Holding Co. (a)	3,605		178,736
ACE Cash Express Inc. (a)	2,270		53,005
Advance America Cash Advance Centers Inc.	16,401		203,372
Advanta Corp.	4,026		130,603
Affirmative Insurance Holding Inc.	1,958		28,567
Affordable Residential Communities	5,715		54,464
Agree Realty Corp.	1,360		39,304
Alabama National Bancorporation	3,026		195,964
Alexander’s Inc. (a)	440		108,020
Alexandria Real Estate Equities Inc.	4,678		376,579
Alfa Corp.	6,219		100,126
Amcore Financial Inc.	5,421		164,853
American Campus Communities Inc.	4,076		101,085
American Equity Investment Life Holdings Co.	9,469		123,570
American Home Mortgage Investment Corp.	9,509		309,708
American Physicians Capital Inc. (a)	2,109		96,571
AmericanWest Bancorp (a)	3,663		86,557
Ameris Bancorp	2,230		44,243
Ames National Corp.	2,460		63,247
AMLI Residential Properties Trust	6,765		257,408
Anchor Bancorp Wisconsin Inc.	4,887		148,272
Anthracite Capital Inc.	10,355		109,038
Anworth Mortgage Asset Corp.	14,757		107,726
Apollo Investment Corp.	12,622		226,312

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Financials (Cont.)
Arbor Realty Trust Inc.	4,256	$	110,316
Archipelago Holdings Inc. (a)	6,859		341,372
Ares Capital Corp.	8,324		133,767
Argonaut Group Inc. (a)	6,843		224,245
Arrow Financial Corp.	2,007		52,483
Ashford Hospitality Trust Inc.	6,602		69,255
Asta Funding Inc.	2,147		58,699
Baldwin & Lyons Inc.	1,211		29,427
Banc Corp. (a)	2,518		28,730
BancFirst Corp.	724		57,196
BancorpSouth Inc.	15,991		352,921
BancTrust Financial Group Inc.	4,682		94,108
Bank Mutual Corp.	15,132		160,399
Bank of Granite Corp.	2,476		45,880
Bank of the Ozarks Inc.	2,518		92,914
BankAtlantic Bancorp Inc.	9,103		127,442
BankFinancial Corp. (a)	6,800		99,824
BankUnited Financial Corp.	6,085		161,678
Banner Corp.	2,323		72,478
Bedford Property Investors Inc.	4,193		91,994
Berkshire Hills Bancorp Inc.	2,196		73,566
Beverly Hills Bancorp Inc.	2,621		27,180
BFC Financial Corp. (a)	3,591		19,822
Bimini Mortgage Management Inc.	7,614		68,907
BioMed Realty Trust Inc.	11,351		276,964
BKF Capital Group Inc.	1,798		34,072
Boston Private Financial Holdings Inc.	8,851		269,247
Boykin Lodging Co. (a)	3,240		39,593
Brandywine Realty Trust	14,161		395,234
Bristol West Holdings Inc.	3,563		67,804
Brookline Bancorp Inc.	11,981		169,771
Calamos Asset Management Inc. Class A	5,051		158,854
Camden National Corp.	2,200		72,336
Capital City Bank Group Inc.	2,198		75,369
Capital Corp. of the West	1,829		59,351
Capital Crossing Bank (a)	1,043		34,836
Capital Lease Funding Inc.	8,456		89,042
Capital Southwest Corp.	532		48,146
Capital Trust Inc.	2,914		85,322
Capitol Bancorp Ltd.	2,622		98,168
Cardinal Financial Corp.	7,746		85,206
Cascade Bancorp	5,589		128,603
Cash America International Inc.	6,380		147,952
Cathay General Bancorp	10,999		395,304
Cedar Shopping Centers Inc.	4,575		64,370
Centennial Bank Holdings Inc. (a)	13,400		165,758
Center Financial Corp.	2,181		54,874
CentraCore Properties Trust	2,836		76,203
Central Coast Bancorp (a)	3,926		97,129
Central Pacific Financial Corp.	6,400		229,888
Ceres Group Inc. (a)	6,836		35,342
Charter Financial Corp.	504		17,998
CharterMac	8,293		175,646
Chemical Financial Corp.	5,407		171,726
Chittenden Corp.	10,102		280,937
Citizens & Northern Corp.	2,290		58,693
Citizens Banking Corp.	9,173		254,551
Citizens Inc. (a)	6,722		36,635
City Bank	3,236		115,105
City Holding Co.	3,671		131,972
Clark Inc.	3,990		52,868
CNA Surety Corp. (a)	2,949		42,967
Coastal Financial Corp.	6,612		85,030
CoBiz Inc.	2,804		51,117
Cohen & Steers Inc.	1,834		34,167
Collegiate Funding Services (a)	2,950		58,263
Colonial Properties Trust	9,785		410,774
Colony Bankcorp Inc.	1,057		26,404
Columbia Bancorp	1,481		61,091
Columbia Banking Systems Inc.	3,691		105,378
Commercial Bankshares Inc.	831		29,392
Commercial Capital Bancorp Inc.	9,833		168,341
Commercial Net Lease Realty Inc.	10,101		205,757
Community Bancorp NV (a)	952		30,093
Community Bank System Inc.	6,887		155,302
Community Banks Inc.	4,838		135,464
Community Trust Bancorp Inc.	2,889		88,837
CompuCredit Corp. (a)	5,481		210,909
Consolidated-Tomoka Land Co.	1,442		102,238
Corporate Office Properties Trust	7,575		269,215
Corus Bankshares Inc.	4,079		229,525
Cousins Properties Inc.	9,538		269,925
Covanta Holding Corp. (a)	25,256		380,355
Crawford & Co.	4,776		27,510
CRIIMI MAE Inc. (a)	3,319		65,716
CVB Financial Corp.	9,588		194,732
Deerfield Triarc Capital Corp.	2,700		36,990
Delphi Financial Group Inc.	6,079		279,695
Delta Financial Corp.	2,147		17,992
DiamondRock Hospitality Co.	4,655		55,674
Dime Community Bancshares	5,969		87,207
Direct General Corp.	4,424		74,766
Donegal Group Inc.	1,777		41,297
Doral Financial Corp.	17,640		186,984
EastGroup Properties Inc.	5,467		246,890
ECC Capital Corp.	11,452		25,882
Education Realty Trust Inc.	7,525		96,997
EMC Insurance Group Inc.	946		18,863
Encore Capital Group Inc. (a)	3,048		52,883
Enstar Group Inc. (a)	621		41,141
Enterprise Financial Services Corp.	1,476		33,476
Entertainment Properties Trust	5,900		240,425
Equity Inns Inc.	10,397		140,879
Equity Lifestyle Properties Inc.	4,191		186,499

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Financials (Cont.)
Equity One Inc.	7,146	$	165,216
eSpeed Inc. (a)	4,901		37,787
EuroBancshares Inc. (a)	4,785		67,803
Extra Space Storage Inc.	11,508		177,223
Farmers Capital Bank Corp.	2,617		80,447
FBL Financial Group Inc.	2,898		95,083
Federal Agricultural Mortgage Corp. Class C	2,471		73,957
FelCor Lodging Trust Inc.	11,393		196,074
Fidelity Bankshares Inc.	5,972		195,284
Fieldstone Investment Corp.	10,792		127,993
Financial Federal Corp.	4,237		188,335
Financial Institutions Inc.	1,697		33,295
First Acceptance Corp. (a)	3,695		38,022
First Bancorp (North Carolina)	2,182		43,989
First BanCorp (Puerto Rico)	15,219		188,868
First Busey Corp.	2,579		53,875
First Cash Financial Services Inc. (a)	2,607		76,020
First Charter Corp.	6,028		142,622
First Citizens Bancshares Inc.	1,155		201,455
First Commonwealth Financial Corp.	14,321		185,171
First Community Bancorp (CA)	2,946		160,174
First Community Bancshares Inc.	1,951		60,793
First Defiance Financial Corp.	1,157		31,343
First Financial Bancorp	7,623		133,555
First Financial Bankshares Inc.	3,570		125,164
First Financial Corp. Indiana	2,599		70,173
First Financial Holdings Inc.	2,795		85,862
First Indiana Corp.	2,744		94,339
First Industrial Realty Trust Inc.	8,876		341,726
First Merchants Corp.	3,806		98,956
First Midwest Bancorp Inc.	11,641		408,133
First Niagara Financial Group Inc.	28,041		405,753
First Oak Brook Bancshares Inc.	1,171		32,729
First Place Financial Corp. Ohio	2,615		62,891
First Potomac Realty Trust	4,689		124,727
First Regional Bancorp (a)	471		31,816
First Republic Bank	4,983		184,421
First South Bancorp Inc.	909		32,106
First State Bancorporation	3,227		77,416
FirstFed Financial Corp. (a)	3,782		206,195
Flagstar Bancorp Inc.	6,494		93,514
Flushing Financial Corp.	3,367		52,424
FNB Corp. (PA)	11,479		199,275
FNB Corp. (VA)	1,295		39,718
FPIC Insurance Group Inc. (a)	2,196		76,201
Franklin Bank Corp. (a)	4,485		80,685
Fremont General Corp.	15,356		356,720
Frontier Financial Corp.	4,822		154,304
GAMCO Investors Inc.	1,825		79,442
GB&T Bancshares Inc.	2,432		52,069
Getty Realty Corp.	3,794		99,744
GFI Group Inc. (a)	1,139		54,023
Glacier Bancorp Inc.	8,108		243,645
Gladstone Capital Corp.	2,211		47,271
Gladstone Investment Corp.	1,800		24,462
Glenborough Realty Trust Inc.	7,475		135,298
Glimcher Realty Trust	8,270		201,126
GMH Communities Trust	5,683		88,143
Gold Banc Corp. Inc.	10,534		191,929
Government Properties Trust Inc.	5,621		52,444
Gramercy Capital Corp.	2,835		64,581
Great American Financial Resources Inc.	1,833		36,367
Great Southern Bancorp Inc.	1,882		51,962
Greater Bay Bancorp	11,301		289,532
Greene County Bancshares Inc.	2,596		71,027
Greenhill & Co. Inc.	2,749		154,384
Hancock Holding Co.	6,926		261,872
Hanmi Financial Corp.	7,930		141,630
Harbor Florida Bancshares Inc.	4,468		165,539
Harleysville Group Inc.	5,232		138,648
Harleysville National Corp.	5,993		114,466
Harris & Harris Group Inc. (a)	5,695		79,161
Heartland Financial USA Inc.	1,943		42,163
Heritage Commerce Corp. (a)	2,304		49,536
Heritage Property Investment Trust	6,372		212,825
Hersha Hospitality Trust	3,925		35,364
Highland Hospitality Corp.	13,384		147,893
Highwoods Properties Inc.	12,169		346,208
Hilb Rogal & Hobbs Co.	7,008		269,878
Home Properties Inc.	6,783		276,746
HomeBanc Corp.	10,562		79,004
Horace Mann Educators Corp.	8,902		168,782
Horizon Financial Corp.	1,734		37,871
Hudson United Bancorp	9,833		409,839
IBERIABANK Corp.	2,035		103,805
IMPAC Mortgage Holdings Inc.	15,885		149,478
Independent Bank Corp. (MA)	3,624		103,393
Independent Bank Corp. (MI)	4,589		124,945
Infinity Property & Casualty Corp.	4,658		173,324
Inland Real Estate Corp.	14,717		217,664
Innkeepers USA Trust	8,115		129,840
Integra Bank Corp.	2,955		63,060
Interchange Financial Services Corp.	3,269		56,390
International Securities Exchange Inc. (a)	2,184		60,104
InternationalExchange Inc. (a)	4,100		149,035
Investment Technology Group Inc. (a)	9,071		321,476
Investors Bancorp Inc. (a)	11,600		127,948
Investors Real Estate Trust	8,304		76,646
Irwin Financial Corp.	4,549		97,440
ITLA Capital Corp. (a)	1,110		54,224
James River Group Inc. (a)	2,000		39,700
Jones Lang LaSalle Inc.	7,289		367,001

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Financials (Cont.)
Kansas City Life Insurance Co.	1,495	$	74,870
Kearny Financial Corp.	3,806		46,433
Kilroy Realty Corp.	6,449		399,193
Kite Realty Group Trust	5,494		84,992
KMG America Corp. (a)	4,199		38,547
KNBT Bancorp Inc.	7,197		117,239
Knight Capital Group Inc. (a)	23,708		234,472
LaBranche & Co. Inc. (a)	11,499		116,255
Lakeland Bancorp Inc.	3,463		50,906
Lakeland Financial Corp.	1,066		43,045
LandAmerica Financial Group Inc.	3,903		243,547
LaSalle Hotel Properties	8,466		310,872
Lexington Corporate Properties Trust	9,882		210,487
LTC Properties Inc.	4,327		90,997
Luminent Mortgage Capital Inc.	12,064		90,601
Macatawa Bank Corp.	2,013		73,233
MAF Bancorp Inc.	7,350		304,143
Maguire Properties Inc.	8,237		254,523
Main Street Banks Inc.	3,276		89,205
MainSource Financial Group Inc.	2,249		40,145
MarketAxess Holdings Inc. (a)	4,696		53,675
Marlin Business Services Inc. (a)	1,229		29,361
MB Financial Inc.	4,627		163,796
MBT Financial Corp.	2,782		45,068
MCG Capital Corp.	12,958		189,057
Mercantile Bank Corp.	2,511		96,674
MeriStar Hospitality Corp. (a)	17,536		164,838
MFA Mortgage Investments Inc.	22,969		130,923
Mid-America Apartment Communities Inc.	5,204		252,394
Mid-State Bancshares	4,597		122,970
Midland Co.	2,093		75,432
Midwest Banc Holdings Inc.	2,545		56,626
MoneyGram International Inc.	20,100		524,208
MortgageIT Holdings Inc.	7,069		96,563
Nara Bancorp Inc.	5,984		106,396
NASB Financial Inc.	1,546		60,851
National Financial Partners Corp.	8,063		423,711
National Health Investors Inc.	4,801		124,634
National Penn Bancshares Inc.	8,533		162,554
National Western Life Insurance Co. (a)	422		87,316
Nationwide Health Properties Inc.	15,829		338,741
Navigators Group Inc. (a)	2,646		115,392
NBC Capital Corp.	2,109		50,173
NBT Bancorp Inc.	6,775		146,272
Netbank Inc.	9,193		66,006
NewAlliance Bancshares Inc.	23,606		343,231
Newcastle Investment Corp.	9,414		233,938
Newkirk Realty Trust Inc.	3,300		51,150
Northern Empire Bancshares (a)	1,555		36,791
NorthStar Realty Finance Corp.	3,411		34,758
Northwest Bancorp Inc.	3,737		79,449
Novastar Financial Inc.	6,914		194,353
OceanFirst Financial Corp.	2,205		50,186
Ocwen Financial Corp. (a)	7,912		68,834
Odyssey Re Holdings Corp.	2,046		51,314
Ohio Casualty Corp.	12,759		361,335
Old National Bancorp	15,287		330,811
Old Second Bancorp Inc.	2,604		79,604
Omega Financial Corp.	2,412		67,222
Omega Healthcare Investors Inc.	10,057		126,618
optionsXpress Holdings Inc.	5,970		146,563
Oriental Financial Group Inc.	4,868		60,168
Pacific Capital Bancorp	11,063		393,622
Park National Corp.	2,654		272,407
Partners Trust Financial Group Inc.	9,712		117,030
Peapack Gladstone Financial Corp.	1,749		48,797
Pennfed Financial Services Inc.	2,346		43,213
Pennsylvania Commerce Bancorp Inc. (a)	826		26,308
Pennsylvania Real Estate Investment Trust	7,731		288,830
Peoples Bancorp Inc.	2,010		57,345
PFF Bancorp Inc.	4,749		144,939
Phoenix Co. Inc.	19,403		264,657
Pinnacle Financial Partners Inc. (a)	1,414		35,322
Piper Jaffray Co. (a)	5,199		210,040
Placer Sierra Bancshares	1,252		34,693
PMA Capital Corp. (a)	6,163		56,268
Post Properties Inc.	8,990		359,150
Premierwest Bancorp (a)	4,381		61,334
Prentiss Properties Trust	9,517		387,152
Presidential Life Corp.	4,357		82,957
PrivateBancorp Inc.	3,508		124,780
ProAssurance Corp. (a)	6,193		301,228
Prosperity Banchares Inc.	6,196		178,073
Provident Bankshares Corp.	6,789		229,265
Provident Financial Services Inc.	16,266		301,084
Provident New York Bancorp	8,070		88,851
PS Business Parks Inc.	4,191		206,197
R&G Financial Corp. Class B	6,599		87,107
RAIT Investment Trust	5,525		143,208
Ramco-Gershenson Properties Trust	4,218		112,410
Redwood Trust Inc.	3,834		158,191
Renasant Corp.	2,411		76,260
Republic Bancorp Inc.	15,383		183,058
Republic Bancorp Inc. (Kentucky)	1,315		28,207
Republic Companies Group Inc.	2,600		40,248
RLI Corp.	4,938		246,258
Rockville Financial Inc. (a)	457		5,964
S&T Bancorp Inc.	5,617		206,818
Safety Insurance Group Inc.	3,428		138,388
Sanders Morris Harris Group Inc.	2,475		40,565
Sandy Spring Bancorp Inc.	2,794		97,455

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Financials (Cont.)
Santander BanCorp	1,715	$	43,081
Saul Centers Inc.	2,948		106,423
Saxon Capital Inc.	11,245		127,406
SCBT Financial Corp.	1,814		60,624
Seacoast Banking Corp. of Florida	2,111		48,447
Security Bank Corp. (Georgia)	1,835		42,737
Selective Insurance Group Inc.	6,301		334,583
Senior Housing Properties Trust	11,746		198,625
Signature Bank (a)	3,041		85,361
Simmons First National Corp.	2,790		77,283
Sizeler Property Investors Inc.	3,189		40,979
Sound Federal Bancorp Inc.	1,771		33,826
Southside Bancshares Inc.	1,803		36,421
Southwest Bancorp Inc.	4,155		83,100
Sovran Self Storage Inc.	3,973		186,612
Spirit Finance Corp.	13,044		148,049
State Auto Financial Corp.	2,746		100,119
State Bancorp Inc.	2,416		40,444
Sterling Bancorp NY	4,708		92,889
Sterling Bancshares Inc. TX	8,862		136,829
Sterling Financial Corp. PA	5,009		99,178
Sterling Financial Corp. WA	8,223		205,411
Stewart Information Services Corp.	3,891		189,375
Stifel Financial Corp. (a)	1,788		67,211
Strategic Hotel Capital Inc.	10,493		215,946
Suffolk Bancorp	2,093		70,681
Summit Bancshares Inc./TX	1,885		33,892
Summit Financial Group Inc.	1,517		34,861
Sun Bancorp Inc. (New Jersey) (a)	2,379		46,985
Sun Communities Inc.	4,568		143,435
Sunstone Hotel Investors Inc.	6,512		173,024
Susquehanna Bancshares Inc.	10,183		241,133
SVB Financial Group (a)	7,802		365,446
SWS Group Inc.	3,665		76,745
SY Bancorp Inc.	2,938		73,509
Tanger Factory Outlet Centers Inc.	6,525		187,528
Tarragon Corp. (a)	2,117		43,653
Taubman Centers Inc.	11,018		382,875
Taylor Capital Group Inc.	1,789		72,276
Technology Investment Capital Corp.	1,682		25,398
Tejon Ranch Co. (a)	1,883		75,169
Texas Capital Bancshares Inc. (a)	4,480		100,397
Texas Regional Bancshares Inc.	8,551		241,993
The Bancorp Inc. (a)	1,678		28,526
The Nasdaq Stock Market Inc. (a)	10,524		370,234
TierOne Corp.	4,419		129,963
Tompkins Trustco Inc.	2,212		99,098
Tower Group Inc.	3,391		74,534
Town & Country Trust	4,799		162,254
TradeStation Group Inc. (a)	4,602		56,973
Trammell Crow Co. (a)	7,593		194,760
Triad Guaranty Inc. (a)	2,194		96,514
Trico Bancshares	2,292		53,610
Trustco Bank Corp. NY	15,010		186,424
Trustmark Corp.	9,759		268,080
Trustreet Properties Inc.	15,817		231,245
U-Store-It Trust	9,181		193,260
UCBH Holdings Inc.	21,779		389,409
UICI	7,622		270,657
UMB Financial Corp.	3,645		232,952
Umpqua Holdings Corp.	11,466		327,125
Union Bankshares Corp.	1,709		73,658
United Bankshares Inc.	7,959		280,475
United Community Banks Inc.	6,255		166,758
United Community Financial Corp.	5,193		61,329
United Fire & Casualty Co.	4,392		177,569
United PanAm Financial Corp. (a)	960		24,835
United Security Bancshares Inc.	1,632		43,754
Universal American Financial Corp. (a)	6,956		104,896
Universal Health Realty Income Trust	3,155		98,878
Univest Corp. of Pennsylvania	2,236		54,268
Unizan Financial Corp.	4,983		132,348
Urstadt Biddle Properties Inc.	4,604		74,631
USB Holding Co. Inc.	2,999		64,954
USI Holdings Corp. (a)	9,160		126,133
Vineyard National Bancorp	2,756		84,995
Virginia Commerce Bancorp (a)	1,759		51,169
Virginia Financial Group Inc.	1,345		48,460
W Holding Co. Inc.	27,243		224,210
Waddell & Reed Financial Inc.	16,418		344,285
Washington Real Estate Investment Trust	9,002		273,211
Washington Trust Bancorp Inc.	2,456		64,298
WesBanco Inc.	4,714		143,353
West Bancorporation Inc.	3,253		60,831
West Coast Bancorp (Oregon)	3,260		86,227
Westamerica Bancorporation	8,283		439,579
Western Sierra Bancorp (a)	1,441		52,438
Westfield Financial Inc.	2,003		48,092
Wilshire Bancorp Inc.	3,218		55,317
Winston Hotels Inc.	8,807		87,189
Wintrust Financial Corp.	6,086		334,121
World Acceptance Corp. (a)	4,081		116,309
WSFS Financial Corp.	1,335		81,769
Yardville National Bancorp	1,841		63,791
Zenith National Insurance Corp.	4,998		230,508

			57,521,071

Health Care (12.48%)
Aastrom Biosciences Inc. (a)	21,005		44,321
Abaxis Inc. (a)	4,121		67,914
Abgenix Inc. (a)	19,388		417,036
Abiomed Inc. (a)	3,901		36,045
Acadia Pharmaceuticals Inc. (a)	3,334		32,840

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Health Care (Cont.)
Adams Respiratory Therapeutics Inc. (a)	2,200	$	89,452
Adeza Biomedical Corp. (a)	1,900		39,995
Adolor Corp. (a)	8,563		125,020
Albany Molecular Research Inc. (a)	5,323		64,674
Alexion Pharmaceuticals Inc. (a)	7,268		147,177
Align Technology Inc. (a)	12,639		81,774
Alkermes Inc. (a)	21,249		406,281
Alliance Imaging Inc. (a)	4,642		27,620
Allied Healthcare International Inc. (a)	6,192		38,019
Allscripts Healthcare Solution Inc. (a)	7,132		95,569
Alpharma Inc.	9,181		261,750
Amedisys Inc. (a)	3,124		131,958
America Service Group Inc. (a)	5,015		79,538
American Dental Partners Inc. (a)	2,383		43,085
American Healthways Inc. (a)	7,170		324,442
American Medical Systems Holdings Inc. (a)	16,307		290,754
American Retirement Corp. (a)	5,889		147,991
AMICAS Inc. (a)	8,793		43,613
AMN Healthcare Services Inc. (a)	3,095		61,219
Amsurg Corp. (a)	7,704		176,113
Amylin Pharmaceuticals Inc. (a)	24,567		980,715
Analogic Corp.	3,706		177,332
Andrx Corp. (a)	15,467		254,741
Animas Corp. (a)	2,496		60,278
Antigenics Inc. (a)	5,738		27,313
Applera Corp. - Celera Genomics Group (a)	18,097		198,343
Apria Healthcare Group Inc. (a)	10,276		247,754
Arena Pharmaceuticals Inc. (a)	7,158		101,787
Ariad Pharmaceuticals Inc. (a)	11,644		68,117
Arqule Inc. (a)	6,573		40,227
Array Biopharma Inc. (a)	6,478		45,411
Arrow International Inc.	5,673		164,460
Arthrocare Corp. (a)	5,373		226,418
Aspect Medical Systems Inc. (a)	3,362		115,485
Atherogenics Inc. (a)	8,395		167,984
AVANIR Pharmaceuticals Class A (a)	22,336		76,836
Barrier Therapeutics Inc. (a)	3,005		24,641
Bentley Pharmaceuticals Inc. (a)	3,815		62,604
Beverly Enterprises Inc. (a)	22,782		265,866
Bio-Rad Laboratories Inc. (a)	3,596		235,322
Bio-Reference Labs Inc. (a)	2,046		38,485
Bioenvision Inc. (a)	8,333		54,414
BioMarin Pharmaceutical Inc. (a)	18,043		194,504
BioScrip Inc. (a)	7,533		56,799
Biosite Inc. (a)	3,464		194,989
Brookdale Senior Living Inc.	2,400		71,544
Bruker BioSciences Corp. (a)	7,813		37,971
Caliper Life Sciences Inc. (a)	5,617		33,028
Candela Corp. (a)	4,684		67,637
Cantel Medical Corp. (a)	2,642		47,397
Caraco Pharmaceutical Laboratories Inc. (a)	2,074		18,625
Cell Genesys Inc. (a)	9,214		54,639
Cell Therapeutics Inc. (a)	13,106		28,571
Centene Corp. (a)	9,109		239,476
Cepheid Inc. (a)	8,630		75,771
Chemed Corp.	5,312		263,900
CNS Inc.	2,918		63,933
Coley Pharmaceutical Group Inc. (a)	2,500		37,900
Computer Programs & Systems Inc.	2,284		94,626
Conmed Corp. (a)	7,529		178,136
Connetics Corp. (a)	7,433		107,407
Conor Medsystems Inc. (a)	1,863		36,049
Corvel Corp. (a)	1,270		24,117
Cotherix Inc. (a)	2,561		27,198
Cross Country Healthcare Inc. (a)	6,789		120,708
Cubist Pharmaceuticals Inc. (a)	11,766		250,027
CuraGen Corp. (a)	9,887		30,452
Curis Inc. (a)	10,493		37,355
CV Therapeutics Inc. (a)	9,502		234,984
Cyberonics Inc. (a)	4,576		147,805
Cypress Bioscience Inc. (a)	6,601		38,154
Datascope Inc.	2,437		80,543
deCODE genetics Inc. (a)	11,203		92,537
Dendreon Corp. (a)	12,155		65,880
Dendrite International Inc. (a)	9,003		129,733
Diagnostic Products Corp.	4,970		241,293
Digene Corp. (a)	3,624		105,712
Dionex Corp. (a)	4,498		220,762
Discovery Laboratories Inc. (a)	10,902		72,825
Diversa Corp. (a)	4,803		23,054
DJ Orthopedics Inc. (a)	4,702		129,681
Dov Pharmaceutical Inc. (a)	4,649		68,247
Durect Corp. (a)	7,448		37,761
DUSA Pharmaceuticals Inc. (a)	3,498		37,673
Eclipsys Corp. (a)	8,021		151,838
Emageon Inc. (a)	2,837		45,108
Encore Medical Corp. (a)	8,388		41,521
Encysive Pharmaceuticals Inc. (a)	11,958		94,349
Enzo Biochem Inc. (a)	5,661		70,310
Enzon Pharmaceuticals Inc. (a)	9,015		66,711
EPIX Pharmaceutical Inc. (a)	5,025		20,301
eResearch Technology Inc. (a)	10,937		165,149
Exelixis Inc. (a)	20,415		192,309
First Horizon Pharmaceutical Corp. (a)	5,679		97,963
Foxhollow Technologies Inc. (a)	3,121		92,975
Genesis HealthCare Corp. (a)	4,197		153,274
Genitope Corp. (a)	4,911		39,042
Gentiva Health Services Inc. (a)	6,726		99,141
Geron Corp. (a)	15,473		133,223
Greatbatch Inc. (a)	4,656		121,103

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Health Care (Cont.)
GTx Inc. (a)	1,572	$	11,884
Haemonetics Corp. (a)	4,897		239,267
HealthExtras Inc. (a)	4,591		115,234
HealthTronics Inc. (a)	6,972		53,336
Hi-Tech Pharmacal Co. Inc. (a)	1,072		47,479
Hologic Inc. (a)	9,936		376,773
Hooper Holmes Inc.	13,139		33,504
Horizon Health Corp. (a)	2,132		48,247
Human Genome Sciences Inc. (a)	31,190		266,986
I-Flow Corp. (a)	4,102		59,971
ICOS Corp. (a)	15,051		415,859
ICU Medical Inc. (a)	3,732		146,332
Idenix Pharmaceuticals Inc. (a)	2,569		43,956
IDX Systems Corp. (a)	5,440		238,925
Illumina Inc. (a)	7,436		104,848
Immucor Inc. (a)	10,757		251,284
Immunogen Inc. (a)	8,543		43,826
Incyte Corp. (a)	16,954		90,534
Inspire Pharmaceuticals Inc. (a)	8,639		43,886
Integra LifeSciences Holdings Corp. (a)	4,527		160,527
Intermagnetics General Corp. (a)	7,028		224,193
InterMune Inc. (a)	6,089		102,295
IntraLase Corp. (a)	2,658		47,392
Introgen Therapeutics Inc. (a)	3,769		19,863
Intuitive Surgical Inc. (a)	7,812		916,113
Invacare Corp.	6,904		217,407
Inverness Medical Innovations Inc. (a)	4,597		108,995
IRIS International Inc. (a)	3,416		74,674
Isis Pharmaceuticals Inc. (a)	19,202		100,618
ISTA Pharmaceuticals Inc. (a)	2,725		17,331
Kensey Nash Corp. (a)	1,900		41,857
Keryx Biopharmaceuticals Inc. (a)	5,723		83,785
Kindred Healthcare Inc. (a)	6,385		164,478
KV Pharmaceutical Co. (a)	7,980		164,388
Kyphon Inc. (a)	6,397		261,190
Laserscope (a)	4,321		97,050
LCA-Vision Inc.	4,305		204,531
Lexicon Genetics Inc. (a)	13,560		49,494
Lifecell Corp. (a)	6,730		128,341
Lifeline Systems Inc. (a)	2,482		90,742
Luminex Corp. (a)	5,338		62,028
Magellan Health Services Inc. (a)	5,953		187,222
MannKind Corp. (a)	4,655		52,415
Martek Biosciences Corp. (a)	7,037		173,181
Matria Healthcare Inc. (a)	5,178		200,699
Maxygen Inc. (a)	5,179		38,894
Medarex Inc. (a)	26,300		364,255
Medcath Corp. (a)	1,456		27,009
Medicines Co. (a)	10,810		188,634
Medicis Pharmaceutical Corp.	11,235		360,082
Mentor Corp.	7,713		355,415
Merge Technologies Inc. (a)	4,877		122,120
Meridian Bioscience Inc.	4,872		98,122
Merit Medical Systems Inc. (a)	5,497		66,734
MGI Pharma Inc. (a)	17,797		305,397
Molecular Devices Corp. (a)	3,464		100,214
Molina Healthcare Inc. (a)	2,529		67,373
Momenta Pharmaceuticals Inc. (a)	2,211		48,730
Monogram Biosciences Inc. (a)	25,043		46,830
MWI Veterinary Supply Inc. (a)	1,800		46,458
Myogen Inc. (a)	4,721		142,385
Myriad Genetics Inc. (a)	8,570		178,256
Nabi Biopharmaceuticals (a)	12,111		40,935
Nanogen Inc. (a)	11,343		29,719
Nastech Pharmaceutical Co. Inc. (a)	5,743		84,537
National Healthcare Corp.	1,573		58,799
NDCHealth Corp. (a)	7,957		153,013
Nektar Therapeutics (a)	18,299		301,202
Neopharm Inc. (a)	3,902		42,103
Neurocrine Biosciences Inc. (a)	8,138		510,497
Neurogen Corp. (a)	4,676		30,815
Neurometrix Inc. (a)	1,174		32,027
New River Pharmaceuticals Inc. (a)	1,258		65,265
NitroMed Inc. (a)	2,828		39,451
Northfield Laboratories Inc. (a)	4,852		65,017
Noven Pharmaceuticals Inc. (a)	4,841		73,244
NPS Pharmaceuticals Inc. (a)	11,621		137,593
NuVasive Inc. (a)	3,122		56,508
Nuvelo Inc. (a)	8,621		69,916
Occulogix Inc. (a)	2,338		16,834
Odyssey HealthCare Inc. (a)	7,813		145,634
Onyx Pharmaceuticals Inc. (a)	8,827		253,865
Option Care Inc.	6,670		89,111
OraSure Technologies Inc. (a)	9,275		81,806
Orchid Cellmark Inc. (a)	5,062		38,471
Owens & Minor Inc.	8,665		238,547
Pain Therapeutics Inc. (a)	5,659		38,255
PainCare Holdings Inc. (a)	8,897		29,004
Palomar Medical Technologies Inc. (a)	3,479		121,904
Par Pharmaceutical Cos Inc. (a)	7,521		235,708
Parexel International Corp. (a)	5,567		112,787
Parkway Properties Inc.	3,645		146,310
Pediatrix Medical Group Inc. (a)	5,416		479,695
Penwest Pharmaceutical Co. (a)	4,749		92,700
Per-Se Technologies Inc. (a)	5,223		122,009
Pharmion Corp. (a)	5,571		98,997
Phase Forward Inc. (a)	4,407		42,968
PolyMedica Corp.	5,688		190,377
Pozen Inc. (a)	5,499		52,735
PRA International (a)	2,733		76,934
Progenics Pharmaceuticals Inc. (a)	4,339		108,518
PSS World Medical Inc. (a)	13,233		196,378
Psychiatric Solutions Inc. (a)	6,037		354,613
Radiation Therapy Services Inc. (a)	2,242		79,165
Regeneron Pharmaceutical Inc. (a)	8,282		132,098
RehabCare Group Inc. (a)	3,594		72,599

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Health Care (Cont.)
Renovis Inc. (a)	5,970	$	91,341
Res-Care Inc. (a)	4,088		71,009
Rigel Pharmaceuticals Inc. (a)	5,499		45,972
Salix Pharmaceuticals Ltd. (a)	10,875		191,182
Savient Pharmaceuticals Inc. (a)	12,578		47,042
Seattle Genetics Inc. (a)	6,728		31,756
Senomyx Inc. (a)	4,360		52,843
Serologicals Corp. (a)	7,599		150,004
SFBC International Inc. (a)	3,995		63,960
Somanetics Corp. (a)	3,180		101,760
SonoSite Inc. (a)	3,369		117,949
Specialty Laboratories Inc. (a)	1,407		18,361
StemCells Inc. (a)	17,898		61,748
Stereotaxis Inc. (a)	2,835		24,409
STERIS Corp.	14,404		360,388
Sunrise Senior Living Inc. (a)	7,264		244,869
SuperGen Inc. (a)	11,834		59,762
SurModics Inc. (a)	4,000		147,960
Sybron Dental Specialties Inc. (a)	8,203		326,561
Symbion Inc. (a)	4,805		110,515
Symmetry Medical Inc. (a)	1,708		33,118
Tanox Inc. (a)	5,339		87,399
Telik Inc. (a)	11,423		194,077
Tercica Inc. (a)	2,209		15,839
ThermoGenesis Corp. (a)	17,548		84,757
Thoratec Corp. (a)	11,630		240,625
Trimeris Inc. (a)	3,664		42,099
TriPath Imaging Inc. (a)	6,116		36,941
TriZetto Group Inc. (a)	10,772		183,016
United Surgical Partners International Inc. (a)	10,239		329,184
United Therapeutics Corp. (a)	4,905		339,034
US Physical Therapy Inc. (a)	2,423		44,753
Varian Inc. (a)	7,335		291,860
Ventana Medical Systems Inc. (a)	7,496		317,456
Ventiv Health Inc. (a)	5,756		135,957
Vertex Pharmaceuticals Inc. (a)	21,528		595,680
Viasys Healthcare Inc. (a)	6,734		173,064
VistaCare Inc. Class A (a)	2,671		33,388
Vital Images Inc. (a)	2,690		70,344
Vital Signs Inc.	1,124		48,130
WebMD Health Corp. (a)	1,500		43,575
WellCare Health Plans Inc. (a)	3,990		162,992
West Pharmaceutical Services Inc.	6,349		158,915
Wright Medical Group Inc. (a)	6,145		125,358
Young Innovations Inc.	989		33,705
Zoll Medical Corp. (a)	2,133		53,730
ZymoGenetics Inc. (a)	6,895		117,284

			33,502,635

Industrials (15.13%)
3D Systems Corp. (a)	2,472		44,496
Aaon Inc. (a)	1,688		30,249
AAR Corp. (a)	8,103		194,067
ABM Industries Inc.	8,235		160,994
ABX Air Inc. (a)	12,011		94,046
Accuride Corp. (a)	2,167		27,954
Actuant Corp. Class A	5,850		326,430
Acuity Brands Inc.	9,762		310,432
Administaff Inc.	4,499		189,183
Advisory Board Co. (a)	4,178		199,165
AGCO Corp. (a)	19,092		316,354
Airtran Holdings Inc. (a)	17,667		283,202
Alamo Group Inc.	1,211		24,826
Alaska Air Group Inc. (a)	6,217		222,071
Albany International Corp. Class A	6,551		236,884
Amerco Inc. (a)	2,088		150,440
American Ecology Corp.	2,546		36,739
American Reprographics Co. (a)	2,621		66,600
American Science & Engineering Inc. (a)	1,681		104,844
American Superconductor Corp. (a)	6,450		50,762
American Woodwork Corp.	2,270		56,273
Ameron International Corp.	2,352		107,204
Angelica Corp.	2,279		37,695
AO Smith Corp.	3,729		130,888
Apogee Enterprises Inc.	7,736		125,478
Applied Industrial Technologies Inc.	6,233		209,990
Applied Signal Technology Inc.	2,502		56,795
ARGON ST Inc. (a)	1,763		54,618
Arkansas Best Corp.	4,490		196,123
Armor Holdings Inc. (a)	7,133		304,222
Artesyn Technologies Inc. (a)	7,609		78,373
Asset Acceptance Capital Corp. (a)	1,799		40,406
Astec Industries Inc. (a)	3,414		111,501
ASV Inc. (a)	3,574		89,279
Aviall Inc. (a)	8,189		235,843
Badger Meter Inc.	1,115		43,753
Baldor Electric Co.	6,997		179,473
Banta Corp.	5,410		269,418
Barnes Group Inc.	3,872		127,776
BE Aerospace Inc. (a)	16,394		360,668
Beacon Roofing Supply Inc. (a)	3,457		99,320
BlueLinx Holdings Inc.	1,935		21,769
Bowne & Co. Inc.	7,365		109,297
Brady Corp.	10,279		371,894
Briggs & Stratton Corp.	10,880		422,035
Bucyrus International Inc. Class A	5,014		264,238
Builders Firstsource Inc. (a)	1,300		27,781
C&D Technologies Inc.	6,089		46,398
Cascade Corp.	2,662		124,874
Casella Waste Systems Inc. (a)	3,945		50,457
CBIZ Inc. (a)	12,236		73,661
CDI Corp.	3,305		90,557

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Industrials (Cont.)
Central Parking Corp.	3,661	$	50,229
Cenveo Inc. (a)	10,071		132,534
Ceradyne Inc. (a)	5,420		237,396
CIRCOR International Inc.	3,721		95,481
Clacor Inc.	10,667		316,917
Clean Harbors Inc. (a)	4,335		124,891
Coinstar Inc. (a)	5,368		122,551
Color Kinetics Inc. (a)	2,647		38,090
Comfort Systems USA Inc.	7,873		72,432
Commercial Vehicle Group Inc. (a)	4,159		78,106
CompX International Inc.	818		13,104
COMSYS IT Partners Inc. (a)	2,545		28,122
Consolidated Graphics Inc. (a)	2,701		127,865
Continental Airlines Inc. (a)	18,620		396,606
Corrections Corp. of America (a)	8,736		392,858
CoStar Group Inc. (a)	4,288		185,113
Covenant Transport Inc. (a)	1,737		24,283
CRA International Inc. (a)	2,415		115,171
Crane Co.	11,365		400,844
Cubic Corp.	3,065		61,177
Curtiss-Wright Corp.	4,714		257,384
DeVry Inc. (a)	12,259		245,180
DHB Industries Inc. (a)	5,546		24,791
DiamondCluster International Inc. (a)	6,059		48,108
Dollar Thrifty Automotive Group Inc. (a)	5,712		206,032
DRS Technologies Inc.	5,545		285,124
Duratek Inc. (a)	2,882		43,028
Dycom Industries Inc. (a)	8,933		196,526
Dynamex Inc. (a)	5,104		97,282
Dynamic Materials Corp.	1,854		55,657
EDO Corp.	4,564		123,502
EGL Inc. (a)	7,081		266,033
Electro Rent Corp. (a)	3,606		53,765
ElkCorp	4,211		141,742
EMCOR Group Inc. (a)	3,653		246,687
Encore Wire Corp. (a)	3,295		74,994
Energy Conversion Devices Inc. (a)	4,914		200,245
EnerSys (a)	10,023		130,700
Engineered Support Systems Inc.	9,793		407,781
Ennis Inc.	7,232		131,405
EnPro Industries Inc. (a)	4,648		125,264
ESCO Technologies Inc. (a)	5,210		231,793
Essex Corp. (a)	3,532		60,221
Esterline Technologies Corp. (a)	5,548		206,330
Evergreen Solar Inc. (a)	8,070		85,946
Exponent Inc. (a)	1,563		44,358
ExpressJet Holdings Inc. (a)	11,911		96,360
Federal Signal Corp.	10,434		156,614
First Advantage Corp. Class A (a)	2,601		69,473
Flanders Corp. (a)	2,643		32,139
Florida East Coast Industries Inc.	7,066		299,386
Flowserve Corp. (a)	12,160		481,050
Forward Air Corp.	6,908		253,178
Franklin Electric Co. Inc.	5,698		225,299
Freightcar America Inc.	2,060		99,045
Frontier Airlines Inc. (a)	7,426		68,616
Frozen Food Express Industries (a)	3,207		35,373
FTI Consulting Inc. (a)	8,962		245,917
FuelCell Energy Inc. (a)	9,710		82,244
G&K Services Inc. Class A	4,280		167,990
Gardner Denver Inc. (a)	5,784		285,151
GATX Corp.	10,098		364,336
Gehl Co. (a)	3,279		86,074
GenCorp Inc. (a)	11,026		195,711
General Cable Corp. (a)	8,522		167,883
Genesee & Wyoming Inc. (a)	4,859		182,455
Genlyte Group Inc. (a)	5,044		270,207
Geo Group Inc. (a)	2,360		54,115
Global Cash Access Inc. (a)	3,500		51,065
Global Power Equipment Group Inc. (a)	7,258		32,806
GrafTech International Ltd. (a)	20,027		124,568
Granite Construction Inc.	8,405		301,824
Greenbrier Companies Inc.	1,407		39,959
Griffon Corp. (a)	6,097		145,170
Healthcare Services Group Inc.	6,994		144,846
Heartland Express Inc.	9,845		199,755
Heico Corp.	4,678		121,067
Heidrick & Struggles International Inc. (a)	4,612		147,815
Herley Industries Inc. (a)	4,580		75,616
Hexcel Corp. (a)	12,374		223,351
Hub Group Inc. (a)	4,187		148,010
Hudson Highland Group Inc. (a)	5,246		91,071
Hughes Supply Inc.	14,151		507,313
Huron Consulting Group Inc. (a)	1,336		32,051
Huttig Building Products Inc. (a)	2,741		23,024
IHS Inc. Class A (a)	3,300		67,716
II-VI Inc. (a)	4,798		85,740
IKON Office Solutions Inc.	23,789		247,643
Infrasource Services Inc. (a)	3,004		39,292
Innovative Solutions & Support Inc. (a)	2,716		34,710
Insituform Technologies Inc. (a)	6,256		121,179
Interline Brands Inc. (a)	3,239		73,687
Interpool Inc.	1,554		29,340
Ionatron Inc. (a)	4,995		50,499
Jackson Hewitt Tax Service Inc.	7,692		213,145
Jacuzzi Brands Inc. (a)	15,590		130,956
JLG Industries Inc.	10,621		484,955
John H Harland Co.	5,490		206,424
K&F Industries Holdings Inc. (a)	1,800		27,648
Kadant Inc. (a)	2,958		54,723
Kaman Corp.	5,646		111,170
Kansas City Southern (a)	17,772		434,170
Kaydon Corp.	6,432		206,724
Kelly Services Inc. Class A	4,016		105,300
Kennametal Inc.	8,169		416,946

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Industrials (Cont.)
Kforce Inc. (a)	6,526	$	72,830
Kirby Corp. (a)	4,676		243,947
Knight Transportation Inc.	11,796		244,531
Knoll Inc.	2,044		34,973
Korn/Ferry International (a)	7,533		140,792
LaBarge Inc. (a)	2,082		29,918
Labor Ready Inc. (a)	11,310		235,474
Lawson Products Inc.	881		33,249
Layne Christensen Co. (a)	1,926		48,978
Learning Tree International Inc. (a)	1,775		22,773
LECG Corp. (a)	3,328		57,841
Lennox International Inc.	12,424		350,357
Lincoln Electric Holdings Inc.	7,827		310,419
Lindsay Manufacturing Co.	2,998		57,652
LSI Industries Inc.	5,590		87,539
MAIR Holdings Inc. (a)	2,313		10,894
Manitowoc Inc.	6,496		326,229
Marten Transport Ltd. (a)	3,159		57,557
MasTec Inc. (a)	5,781		60,527
McGrath Rentcorp	4,140		115,092
Medis Technologies Ltd. (a)	2,994		44,042
Mercury Computer Systems Inc. (a)	4,370		90,153
Mesa Air Group Inc. (a)	6,085		63,649
Middleby Corp. (a)	1,217		105,270
Mine Safety Appliances Co.	5,918		214,291
Mobile Mini Inc. (a)	3,447		163,388
Moog Inc. (a)	8,043		228,260
MTC Technologies Inc. (a)	2,214		60,619
Mueller Industries Inc.	7,811		214,178
NACCO Industries Inc.	1,036		121,367
Navigant Consulting Inc. (a)	10,648		234,043
NCI Building Systems Inc. (a)	4,732		201,015
NCO Group Inc. (a)	7,213		122,044
Nordson Corp.	5,872		237,875
Nuco2 Inc. (a)	3,261		90,917
Odyssey Marine Exploration Inc. (a)	7,616		26,961
Old Dominion Freight Line Inc. (a)	6,075		163,904
Orbital Sciences Corp. (a)	11,766		151,075
Pacer International Inc.	8,005		208,610
Perini Corp. (a)	5,418		130,845
PHH Corp. (a)	11,802		330,692
PICO Holdings Inc. (a)	1,747		56,358
Pike Electric Corp. (a)	3,800		61,636
Pinnacle Airlines Corp. (a)	3,894		25,973
Plug Power Inc. (a)	9,483		48,648
Portfolio Recovery Associates Inc. (a)	3,383		157,107
Powell Industries Inc. (a)	1,335		23,977
Power-One Inc. (a)	16,208		97,572
PRG-Schultz International Inc. (a)	8,307		5,067
Quanta Services Inc. (a)	27,215		358,422
RailAmerica Inc. (a)	7,536		82,821
Raven Industries Inc.	4,192		120,939
RBC Bearings Inc. (a)	3,500		56,875
Regal-Beloit Corp.	5,522		195,479
Republic Airways Holdings Inc. (a)	4,532		68,886
Resources Connection Inc. (a)	10,483		273,187
Robbins & Myers Inc.	3,329		67,745
Rollins Inc.	5,995		118,161
Rush Enterprises Inc. Class A (a)	4,212		62,675
Schawk Inc.	2,582		53,577
School Speciality Inc. (a)	5,064		184,532
SCS Transportation Inc. (a)	4,535		96,369
Sequa Corp. (a)	1,571		108,478
Shaw Group Inc. (a)	17,811		518,122
Simpson Manufacturing Co. Inc.	8,057		292,872
SIRVA Inc. (a)	5,803		46,424
Skywest Inc.	12,221		328,256
Sourcecorp (a)	3,544		84,985
Spherion Corp. (a)	12,793		128,058
Standard Register Co.	3,596		56,853
Standex International Corp.	2,827		78,478
Stewart & Stevenson Services Inc.	6,304		133,204
Sun Hydraulics Corp.	1,359		26,269
Sypris Solutions Inc.	1,749		17,455
TAL International Group Inc. (a)	2,500		51,625
Tecumseh Products Co.	4,237		97,070
Teledyne Technologies Inc. (a)	8,059		234,517
TeleTech Holdings Inc. (a)	7,505		90,435
Tennant Co.	1,888		98,176
Tetra Tech Inc. (a)	11,551		181,004
The Gormann-Rupp Co.	1,784		39,444
The Providence Service Corp. (a)	1,899		54,672
Titan International Inc.	2,878		49,646
Tredegar Corp.	8,099		104,396
Trex Co. Inc. (a)	2,934		82,299
Trinity Industries Inc.	8,971		395,352
Triumph Group Inc. (a)	3,682		134,798
TRM Corp. (a)	2,216		16,509
TurboChef Technologies Inc. (a)	2,930		42,075
UAP Holding Corp.	6,821		139,285
Ultralife Batteries Inc. (a)	3,061		36,732
United Industrial Corp.	2,265		93,703
United Rentals Inc. (a)	14,725		344,418
United Stationers Inc. (a)	7,354		356,669
Universal Forest Products Inc.	4,010		221,552
URS Corp. (a)	8,989		338,076
US Xpress Enterprises Inc. Class A (a)	4,974		86,448
USA Truck Inc. (a)	2,206		64,261
Valence Technology Inc. (a)	26,436		40,711
Valmont Industries Inc.	3,832		128,219
Viad Corp.	5,162		151,401
Vicor Corp.	3,808		60,204
Volt Information Sciences Inc. (a)	1,869		35,548
Wabash National Corp.	6,751		128,607
Wabtec Corp.	9,741		262,033
Walter Industries Inc.	7,598		377,773

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Industrials (Cont.)
Washington Group International Inc. (a)	5,772	$	305,743
Waste Connections Inc. (a)	9,560		329,438
Waste Services Inc. (a)	13,072		43,530
Water Pik Technology Inc. (a)	2,424		52,043
Watsco Inc.	4,699		281,047
Watson Wyatt & Co. Holdings	9,233		257,601
Watts Water Technologies Inc.	5,524		167,322
Werner Enterprises Inc.	11,026		217,212
WESCO International Inc. (a)	6,928		296,033
Williams Scotsman International Inc. (a)	3,400		58,854
Woodward Governor Co.	1,985		170,730
World Air Holdings Inc. (a)	4,760		45,791

			40,604,569

Information Technology (18.50%)
3Com Corp. (a)	89,771		323,176
Actel Corp. (a)	7,437		94,673
Acxiom Corp.	20,425		469,775
Adaptec Inc. (a)	27,524		160,190
ADE Corp. (a)	2,496		60,054
Adtran Inc.	15,452		459,542
Advanced Digital Information Corp. (a)	16,086		157,482
Advanced Energy Industries Inc. (a)	5,833		69,004
Advent Software Inc. (a)	6,305		182,278
Aeroflex Inc. (a)	18,709		201,122
Agile Software Corp. (a)	14,523		86,848
Agilysys Inc.	6,260		114,057
Airspan Networks Inc. (a)	11,576		65,867
Altiris Inc. (a)	5,210		87,997
AMIS Holdings Inc. (a)	8,950		95,317
Amkor Technology Inc. (a)	20,364		114,038
Anaren Inc. (a)	3,946		61,676
Anixter International Inc. (a)	7,196		281,508
Ansoft Corp. (a)	1,492		50,803
Ansys Inc. (a)	6,583		281,028
Anteon International Corp. (a)	5,903		320,828
Applied Digital Solutions Inc. (a)	24,855		71,334
Applied Films Corp. (a)	3,245		67,399
Applied Micro Circuits Corp. (a)	74,350		191,079
aQuantive Inc. (a)	11,639		293,768
Ariba Inc. (a)	14,294		105,061
Arris Group Inc. (a)	24,893		235,737
AsiaInfo Holdings Inc. (a)	7,388		29,404
Aspen Technology Inc. (a)	8,420		66,097
Asyst Technologies Inc. (a)	9,475		54,197
Atari Inc. (a)	9,647		10,419
Atheros Communications (a)	7,023		91,299
Atmel Corp. (a)	98,221		303,503
ATMI Inc. (a)	8,488		237,409
August Technology Corp. (a)	4,290		47,147
Autobytel Inc. (a)	8,631		42,637
Avocent Corp. (a)	10,974		298,383
Axcelis Technologies Inc. (a)	20,486		97,718
Bankrate Inc. (a)	1,983		58,538
BearingPoint Inc. (a)	37,622		295,709
Bel Fuse Inc.	2,770		88,086
Belden CDT Inc.	10,131		247,500
Bell Microproducts Inc. (a)	5,897		45,112
Benchmark Electronics Inc. (a)	9,318		313,364
Black Box Corp.	3,955		187,388
Blackbaud Inc.	1,810		30,915
Blackboard Inc. (a)	4,091		118,557
Blue Coat Systems Inc. (a)	2,439		111,511
Borland Software Corp. (a)	16,101		105,140
Bottomline Technologies Inc. (a)	4,431		48,830
Brightpoint Inc. (a)	6,201		171,954
Brocade Communications Systems Inc. (a)	63,755		259,483
Brooks Automation Inc. (a)	18,649		233,672
C-COR Inc. (a)	9,769		47,477
Cabot Microelectronics Corp. (a)	5,561		163,104
Catapult Communications Corp. (a)	2,264		33,485
CCC Information Services Group Inc. (a)	2,637		69,142
Checkpoint Systems Inc. (a)	8,609		212,212
Ciber Inc. (a)	10,743		70,904
Ciena Corp. (a)	132,048		392,183
Cirrus Logic Inc. (a)	17,397		116,212
Click Commerce Inc. (a)	1,703		35,797
CMGI Inc. (a)	99,056		150,565
CNET Networks Inc. (a)	29,883		438,981
Cogent Inc. (a)	5,071		115,010
Cognex Corp.	9,161		275,654
Coherent Inc. (a)	6,850		203,308
Cohu Inc.	6,008		137,403
CommScope Inc. (a)	12,229		246,170
Comtech Telecommunications Corp. (a)	4,597		140,392
Concur Technologies Inc. (a)	5,797		74,723
Conexant Systems Inc. (a)	111,660		252,352
Covansys Corp. (a)	6,236		84,872
Credence Systems Corp. (a)	18,741		130,437
CSG Systems International Inc. (a)	12,365		275,987
CTS Corp.	7,641		84,509
Cyberguard Corp. (a)	4,292		37,898
CyberSource Corp. (a)	5,429		35,831
Cymer Inc. (a)	8,176		290,330
Cypress Semiconductor Corp. (a)	28,085		400,211
Daktronics Inc.	4,026		119,049
Digi International Inc. (a)	4,548		47,709
Digital Insight Corp. (a)	7,890		252,638
Digital River Inc. (a)	7,311		217,429
Digitas Inc. (a)	21,474		268,854
Diodes Inc. (a)	4,593		142,613
Ditech Communications Corp. (a)	6,377		53,248
Dot Hill Systems Corp. (a)	8,861		61,407

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Information Technology (Cont.)
DSP Group Inc. (a)	6,224	$	155,973
DTS Inc. (a)	3,884		57,483
Earthlink Inc. (a)	26,432		293,659
Echelon Corp. (a)	5,844		45,759
eCollege.com Inc. (a)	3,627		65,395
eFunds Corp. (a)	9,897		231,986
Electro Scientific Industries Inc. (a)	6,738		162,723
Electronics for Imaging Inc. (a)	11,808		314,211
Emcore Corp. (a)	7,481		55,509
Emulex Corp. (a)	18,088		357,961
Endwave Corp. (a)	1,377		16,221
Entegris Inc. (a)	28,493		268,404
Entrust Inc. (a)	12,536		60,674
Epicor Software Corp. (a)	11,314		159,867
EPIQ Systems Inc. (a)	2,560		47,462
Equinix Inc. (a)	3,657		149,059
Euronet Worldwide Inc. (a)	6,781		188,512
Exar Corp. (a)	8,467		106,007
Excel Technology Inc. (a)	2,546		60,544
Extreme Networks Inc. (a)	24,764		117,629
Factset Research Systems Inc.	7,571		311,622
Fairchild Semiconductor International Inc. (a)	25,912		438,172
FalconStor Software Inc. (a)	6,416		47,414
Fargo Electronics Inc. (a)	2,567		49,415
FARO Technologies Inc. (a)	2,272		45,440
FEI Co. (a)	5,286		101,333
FileNet Corp. (a)	8,973		231,952
Finisar Corp. (a)	37,775		78,572
Formfactor Inc. (a)	7,669		187,354
Forrester Research Inc. (a)	3,052		57,225
Foundry Networks Inc. (a)	28,654		395,712
Gartner Inc. (a)	12,451		160,618
Gateway Inc. (a)	52,295		131,260
Genesis Microchip Inc. (a)	7,207		130,375
Gevity HR Inc.	5,878		151,182
Glenayre Technologies Inc. (a)	13,615		44,249
Global Imaging Systems Inc. (a)	5,326		184,439
GlobeTel Communications Corp. (a)	13,028		48,073
Greenfield Online Inc. (a)	3,326		19,490
Harmonic Inc. (a)	14,854		72,042
Homestore Inc. (a)	30,208		154,061
HouseValues Inc. (a)	2,600		33,878
Hutchinson Technology Inc. (a)	5,628		160,117
Hypercom Corp. (a)	10,941		69,913
Identix Inc.	18,125		90,806
iGate Corp. (a)	6,126		29,772
Imation Corp.	7,459		343,636
Infocrossing Inc. (a)	4,111		35,396
Informatica Corp. (a)	18,108		217,296
Infospace Inc. (a)	7,635		197,136
InfoUSA Inc. (a)	6,625		72,411
Integral Systems Inc.	1,983		37,399
Integrated Device Technology Inc. (a)	41,187		542,845
Integrated Silicon Solution Inc. (a)	7,457		48,023
Inter-Tel Inc.	4,985		97,556
InterDigital Communications Corp. (a)	11,730		214,894
Intergraph Corp. (a)	7,136		355,444
International DisplayWorks Inc. (a)	6,550		38,907
Internet Capital Group Inc. (a)	10,321		84,839
Internet Security Systems Inc. (a)	8,756		183,438
Intervideo Inc. (a)	2,033		21,448
InterVoice Inc. (a)	7,577		60,313
Interwoven Inc. (a)	8,361		70,818
Intevac Inc. (a)	4,432		58,502
Intrado Inc. (a)	3,829		88,144
iPass Inc. (a)	10,928		71,688
iPayment Inc. (a)	2,858		118,664
Itron Inc. (a)	4,909		196,556
iVillage Inc. (a)	9,689		77,706
Ixia (a)	7,003		103,504
IXYS Corp. (a)	5,114		59,783
j2 Global Communications Inc. (a)	5,008		214,042
Jack Henry & Associates Inc.	17,796		339,548
JAMDAT Mobile Inc. (a)	2,390		63,526
JDA Software Group Inc. (a)	5,832		99,202
Jupitermedia Corp. (a)	4,462		65,948
Kanbay International Inc. (a)	5,280		83,899
Keane Inc. (a)	10,500		115,605
Keithley Instruments Inc.	2,871		40,137
Kemet Corp. (a)	21,996		155,512
Keynote Systems Inc. (a)	3,902		50,141
Komag Inc. (a)	6,061		210,074
Kopin Corp. (a)	14,401		77,045
Kronos Inc. (a)	7,073		296,076
Kulicke & Soffa Industries Inc. (a)	10,528		93,068
Landauer Inc.	1,980		91,258
Lattice Semiconductor Corp. (a)	23,993		103,650
Lawson Software Inc. (a)	16,084		118,217
Leadis Technology Inc. (a)	3,727		19,194
LeCroy Corp. (a)	2,459		37,598
Lexar Media Inc. (a)	16,245		133,371
Lionbridge Technologies Inc. (a)	10,492		73,654
Littelfuse Inc. (a)	5,137		139,983
LoJack Corp. (a)	3,414		82,380
LTX Corp. (a)	13,169		59,260
Macrovision Corp. (a)	11,354		189,952
Magma Design Automation Inc. (a)	7,069		59,450
Majesco Entertainment Co. (a)	3,196		3,739
Manhattan Associates Inc. (a)	6,305		129,126
ManTech International Corp. (a)	3,737		104,113
Mapinfo Corp. (a)	4,141		52,218
Marchex Inc. Class B (a)	4,072		91,579
MatrixOne Inc. (a)	10,531		52,550
Mattson Technology Inc. (a)	8,752		88,045

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Information Technology (Cont.)
MAXIMUS Inc.	4,313	$	158,244
Maxtor Corp. (a)	58,839		408,343
McDATA Corp. (a)	37,233		141,485
Measurement Specialties Inc. (a)	2,400		58,440
Mentor Graphics Corp. (a)	15,926		164,675
Methode Electronics Inc.	7,267		72,452
Metrologic Instruments Inc. (a)	2,608		50,230
Micrel Inc. (a)	13,895		161,182
Micromuse Inc. (a)	19,666		194,497
Micros Systems Inc. (a)	9,108		440,099
Microsemi Corp. (a)	13,416		371,087
MicroStrategy Inc. (a)	3,325		275,110
Microtune Inc. (a)	10,677		44,523
Midway Games Inc. (a)	4,923		93,389
MIPS Technologies Inc. (a)	8,620		48,962
MKS Instruments Inc. (a)	7,278		130,203
Mobility Electronics Inc. (a)	5,404		52,203
Monolithic Power Systems Inc. (a)	3,525		52,840
Motive Inc. (a)	4,378		13,528
MPS Group Inc. (a)	24,525		335,257
MRO Software Inc. (a)	4,098		57,536
MRV Communications Inc. (a)	21,088		43,230
MTS Systems Corp.	4,457		154,390
Multi-Fineline Electronix Inc. (a)	1,634		78,710
Ness Technologies Inc. (a)	3,805		40,980
Netgear Inc. (a)	6,848		131,824
NetIQ Corp. (a)	11,896		146,202
Netlogic Microsystems Inc. (a)	2,544		69,299
Netratings Inc. (a)	2,796		34,475
NetScout Systems Inc. (a)	4,807		26,198
Newport Corp. (a)	8,918		120,750
NIC Inc. (a)	6,806		41,925
Novatel Wireless Inc. (a)	6,780		82,106
Nuance Communications Inc. (a)	27,740		211,656
Omnivision Technologies Inc. (a)	11,680		233,133
ON Semiconductor Corp. (a)	35,437		195,967
Online Resources Corp. (a)	4,318		47,714
Open Solutions Inc. (a)	4,228		96,906
Openwave Systems Inc. (a)	19,752		345,067
Oplink Communications Inc. (a)	3,011		43,659
Opsware Inc. (a)	15,060		102,257
OSI Systems Inc. (a)	3,165		58,204
Packeteer Inc. (a)	7,394		57,451
Palm Inc. (a)	9,246		294,023
PAR Technology Corp. (a)	804		22,319
Parametric Technology Corp. (a)	62,985		384,208
Park Electrochemical Corp.	4,388		114,000
Paxar Corp. (a)	7,154		140,433
PDF Solutions Inc. (a)	3,699		60,109
Pegasus Solutions Inc. (a)	4,909		44,034
Pericom Semiconductor Corp. (a)	5,309		42,313
Perot Systems Corp. (a)	19,915		281,598
Phoenix Technologies Ltd. (a)	4,885		30,580
Photon Dynamics Inc. (a)	3,999		73,102
Photronics Inc. (a)	8,772		132,106
Pixelworks Inc. (a)	9,553		48,529
Plantronics Inc.	10,738		303,885
Plexus Corp. (a)	10,533		239,520
PLX Technology Inc. (a)	4,811		41,375
PMC-Sierra Inc. (a)	42,779		329,826
Polycom Inc. (a)	21,423		327,772
PortalPlayer Inc. (a)	3,502		99,177
Power Integrations Inc. (a)	7,753		184,599
Powerwave Technologies Inc. (a)	23,136		290,820
Presstek Inc. (a)	5,962		53,896
Progress Software Corp. (a)	7,535		213,843
QAD Inc.	2,454		18,749
Quality Systems Inc. (a)	1,584		121,588
Quantum Corp. (a)	37,040		112,972
Quest Software Inc. (a)	12,998		189,641
Rackable Systems Inc. (a)	2,000		56,960
Radiant Systems Inc. (a)	4,614		56,106
Radisys Corp. (a)	4,229		73,331
Rambus Inc. (a)	21,397		346,417
RealNetworks Inc. (a)	27,579		214,013
Redback Networks Inc. (a)	8,780		123,447
Renaissance Learning Inc.	1,792		33,887
RF Micro Devices Inc. (a)	44,020		238,148
RightNow Technologies Inc. (a)	2,194		40,501
Rimage Corp. (a)	1,881		54,511
Rofin-Sinar Technologies Inc. (a)	3,267		142,016
Rogers Corp. (a)	3,765		147,513
RSA Security Inc. (a)	15,383		172,751
Rudolph Technologies Inc. (a)	2,918		37,584
S1 Corp. (a)	14,144		61,526
SafeNet Inc. (a)	5,598		180,368
Sapient Corp. (a)	16,308		92,793
Scansource Inc. (a)	2,926		159,994
SeaChange International Inc. (a)	4,999		39,492
Secure Computing Corp. (a)	7,462		91,484
Semitool Inc. (a)	3,345		36,394
Semtech Corp. (a)	16,222		296,214
Serena Software Inc. (a)	6,108		143,172
SI International Inc. (a)	2,381		72,787
Sigmatel Inc. (a)	7,800		102,180
Silicon Image Inc. (a)	16,273		147,271
Silicon Laboratories Inc. (a)	9,547		349,993
Silicon Storage Technology Inc. (a)	19,284		97,384
SiRF Technology Holdings Inc. (a)	7,638		227,612
Skyworks Solutions Inc. (a)	32,367		164,748
Sohu.com Inc. (a)	5,404		99,109
Sonic Solutions (a)	5,309		80,219
SonicWALL Inc. (a)	11,966		94,771
Sonus Networks Inc. (a)	57,306		213,178
Spatialight Inc. (a)	11,770		40,842
Spectralink Corp.	4,202		49,878

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Information Technology (Cont.)
SPSS Inc. (a)	3,758	$	116,235
SSA Global Technologies Inc. (a)	1,665		30,286
Standard Microsystems Corp. (a)	4,832		138,630
Startek Inc.	3,807		68,526
Stellent Inc. (a)	4,795		47,614
Stratasys Inc. (a)	2,307		57,698
SunPower Corp. Class A (a)	1,700		57,783
Superior Essex Inc. (a)	5,149		103,804
Supertex Inc. (a)	2,380		105,315
SupportSoft Inc. (a)	9,803		41,369
Sycamore Networks Inc. (a)	44,474		192,128
Sykes Enterprises Inc. (a)	5,269		70,447
Symmetricom Inc. (a)	9,346		79,161
Synaptics Inc. (a)	5,116		126,468
SYNNEX Corp. (a)	1,805		27,274
Syntel Inc.	1,605		33,432
Talx Corp.	4,089		186,908
Taser International Inc. (a)	12,592		87,892
Technitrol Inc.	9,280		158,688
Tekelec (a)	12,137		168,704
Telkonet Inc. (a)	7,151		29,677
Terayon Communication Systems Inc. (a)	15,454		35,699
Terremark Worldwide Inc. (a)	7,158		33,285
Tessera Technologies Inc. (a)	9,472		244,851
THQ Inc. (a)	13,209		315,035
TIBCO Software Inc. (a)	49,720		371,408
TNS Inc. (a)	2,605		49,964
Transaction Systems Architects Inc. (a)	8,216		236,539
TranSwitch Corp. (a)	21,206		38,807
Travelzoo Inc. (a)	934		20,548
Trident Microsystems Inc. (a)	11,384		204,912
Triquint Semiconductor Inc. (a)	35,109		156,235
TTM Technologies Inc. (a)	8,460		79,524
Tyler Technologies Inc. (a)	7,590		66,640
Ulticom Inc. (a)	2,478		24,309
Ultimate Software Group Inc. (a)	6,333		120,770
Ultratech Inc. (a)	5,479		89,965
United Online Inc.	15,237		216,670
Universal Display Corp. (a)	5,433		57,101
UNOVA Inc. (a)	10,847		366,629
UTStarcom Inc. (a)	22,043		177,667
ValueClick Inc. (a)	20,240		366,546
Varian Semiconductor Equipment Associates Inc. (a)	8,184		359,523
VASCO Data Security International Inc. (a)	7,102		70,026
Veeco Instruments Inc. (a)	6,002		104,015
VeriFone Holdings Inc. (a)	6,200		156,860
Verint Systems Inc. (a)	3,095		106,685
ViaSat Inc. (a)	4,764		127,342
Vignette Corp. (a)	6,730		109,766
Viisage Technology Inc. (a)	2,608		45,927
Virage Logic Corp. (a)	2,798		27,644
Vitesse Semiconductor Corp. (a)	44,598		85,628
Volterra Semiconductor Corp. (a)	3,121		46,815
WebEx Communications Inc. (a)	7,386		159,759
webMethods Inc. (a)	10,645		82,073
Websense Inc. (a)	5,251		344,676
WebSideStory Inc. (a)	2,133		38,671
Westell Technologies Inc. (a)	10,964		49,338
Wind River Systems Inc. (a)	16,954		250,411
Witness Systems Inc. (a)	6,984		137,375
Wright Express Corp. (a)	8,583		188,826
X-Rite Inc.	4,166		41,660
Zhone Technologies Inc. (a)	29,188		61,879
Zoran Corp. (a)	9,894		160,382

			49,659,162

Materials (4.74%)
A. Schulman Inc.	8,360		179,907
AK Steel Holding Corp. (a)	22,459		178,549
Aleris International Inc. (a)	6,882		221,876
AM Castle & Co. (a)	2,189		47,808
AMCOL International Corp.	5,944		121,971
American Vanguard Corp.	2,185		51,348
Arch Chemicals Inc.	5,382		160,922
Balchem Corp.	1,597		47,607
Bowater Inc.	12,275		377,088
Brush Engineered Materials Inc. (a)	4,652		73,967
Buckeye Technologies Inc. (a)	6,074		48,896
Calgon Carbon Corp.	6,752		38,419
Cambrex Corp.	6,081		114,140
Caraustar Industries Inc. (a)	6,104		53,044
Carpenter Technology Corp.	5,258		370,531
Century Aluminum Co. (a)	5,083		133,225
CF Industries Holdings Inc.	10,600		161,650
Chaparral Steel Co. (a)	4,630		140,058
Chesapeake Corp.	4,594		78,006
Cleveland-Cliffs Inc.	5,093		451,087
Coeur d’Alene Mines Corp. (a)	57,875		231,500
Commercial Metals Co.	12,604		473,154
Compass Minerals International Inc.	4,050		99,387
Deltic Timber Corp.	2,230		115,648
Eagle Materials Inc.	3,787		463,377
Ferro Corp.	8,940		167,714
Georgia Gulf Corp.	7,311		222,401
Gibraltar Industries Inc.	5,382		123,463
Glatfelter	8,796		124,815
Graphic Packaging Corp. (a)	14,160		32,285
Greif Inc.	3,296		218,459
HB Fuller Co.	6,307		202,265
Headwaters Inc. (a)	8,601		304,819
Hecla Mining Co. (a)	23,991		97,403

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Materials (Cont.)
Hercules Inc. (a)	27,491	$	310,648
Kronos Worldwide Inc.	710		20,597
Longview Fibre Co.	10,778		224,290
MacDermid Inc.	6,598		184,084
Mercer International Inc.-SBI (a)	5,644		44,362
Metal Management Inc.	5,894		137,094
Minerals Technologies Inc.	4,309		240,830
Myers Industries Inc.	5,345		77,930
Neenah Paper Inc.	3,784		105,952
NewMarket Corp. (a)	3,493		85,439
NL Industries Inc.	1,843		25,968
NN Inc.	3,390		35,934
Octel Corp.	3,106		50,535
Olin Corp.	14,508		285,517
OM Group Inc. (a)	6,469		121,358
Oregon Steel Mills Inc. (a)	8,483		249,570
Pioneer Companies Inc. (a)	2,314		69,351
PolyOne Corp. (a)	18,748		120,550
Potlatch Corp.	6,147		313,374
Quanex Corp.	5,161		257,895
Reliance Steel & Aluminum Co.	6,471		395,508
Roanoke Electric Steel Corp.	2,349		55,436
Rock-Tenn Co.	6,618		90,336
Rockwood Holdings Inc. (a)	2,200		43,406
Royal Gold Inc.	5,131		178,200
RTI International Metals Inc. (a)	4,679		177,568
Ryerson Tull Inc.	5,736		139,500
Schnitzer Steel Industries Inc.	5,684		173,874
Schweitzer-Mauduit International Inc.	3,630		89,951
Sensient Technology Corp.	10,544		188,738
Silgan Holdings Inc.	5,086		183,706
Spartech Corp.	7,304		160,323
Steel Dynamics Inc.	8,300		294,733
Steel Technologies Inc.	2,507		70,171
Stepan Co.	1,151		30,950
Stillwater Mining Co. (a)	8,499		98,333
Symyx Technologies Inc. (a)	6,869		187,455
Terra Industries Inc. (a)	18,979		106,282
Texas Industries Inc.	4,950		246,708
Titanium Metals Corp. (a)	2,730		172,700
Tronox Inc. (a)	3,800		49,666
Wausau Paper Corp.	9,226		109,328
Wellman Inc.	6,432		43,609
Westlake Chemical Corp.	2,749		79,199
Wheeling-Pittsburgh Corp. (a)	1,927		17,382
Worthington Industries Inc.	15,267		293,279
WR Grace & Co. (a)	13,576		127,614
Zoltek Companies Inc. (a)	2,205		19,360

			12,711,382

Telecommunication Services (1.36%)
Alaska Communications Systems Group Inc.	2,479		25,187
Broadwing Corp. (a)	14,112		85,378
Centennial Communications Corp. (a)	4,528		70,275
Cincinnati Bell Inc. (a)	59,285		208,090
Commonwealth Telephone Enterprises Inc.	4,944		166,959
Consolidated Communications Holdings Inc.	3,100		40,269
CT Communications Inc.	3,875		47,043
Dobson Communications Corp. (a)	30,992		232,440
FairPoint Communications Inc.	6,340		65,682
General Communication Inc. Class A (a)	11,382		117,576
Golden Telecom Inc.	4,624		120,039
IDT Corp. Class B (a)	12,063		141,137
InPhonic Inc. (a)	3,505		30,458
Iowa Telecommunications Service Inc.	6,997		108,384
Level 3 Communications Inc. (a)	158,228		454,114
Neustar Inc. Class A (a)	6,100		185,989
North Pittsburgh Systems Inc.	3,085		58,214
Premiere Global Services Inc. (a)	14,540		118,210
Price Communications Corp. (a)	9,620		143,049
SBA Communications Corp. (a)	18,687		334,497
Shenandoah Telecommunications Co.	1,383		55,099
SureWest Communications	3,362		88,656
Syniverse Holdings Inc. (a)	3,990		83,391
Talk America Holdings Inc. (a)	5,605		48,371
Time Warner Telecom Inc. (a)	11,316		111,463
Ubiquitel Inc. (a)	18,908		187,000
USA Mobility Inc. (a)	5,949		164,906
Valor Communications Group Inc.	8,808		100,411
Wireless Facilities Inc. (a)	11,496		58,630

			3,650,917

Utilities (2.38%)
Allete Inc.	5,586		245,784
American States Water Co.	3,878		119,442
Aquila Inc. (a)	69,544		250,358
Avista Corp.	11,006		194,916
Black Hills Corp.	7,032		243,378
California Water Service Group	3,904		149,250
Cascade Natural Gas Corp.	2,369		46,219
Central Vermont Public Service Corp.	3,145		56,641
CH Energy Group Inc.	3,926		180,203
Cleco Corp.	10,484		218,591
Connecticut Water Services Inc.	1,469		36,005
Duquesne Light Holdings Inc.	15,119		246,742
El Paso Electric Co. (a)	10,232		215,281
Empire District Electric Co.	7,130		144,953
EnergySouth Inc.	1,212		32,457
Idacorp Inc.	10,155		297,542
ITC Holdings Corp.	1,400		39,326

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares or principal amount		Value
Common Stocks (Cont.)

Utilities (Cont.)
Laclede Group Inc.		4,688	$	136,937
MGE Energy Inc.		4,159		141,032
Middlesex Water Co.		2,068		35,859
New Jersey Resources Corp.		5,940		248,827
Nicor Inc.		8,524		335,078
Northwest Natural Gas Co.		5,773		197,321
NorthWestern Corp.		9,123		283,452
Otter Tail Corp.		5,966		172,895
Peoples Energy Corp.		7,745		271,617
Sierra Pacific Resources (a)		40,078		522,617
SJW Corp.		1,674		76,167
South Jersey Industries Inc.		6,450		187,953
Southwest Gas Corp.		7,724		203,914
Southwest Water Co.		6,615		94,661
UIL Holdings Corp.		3,755		172,693
Unisource Energy Corp.		7,811		243,703
WGL Holdings Inc.		11,500		345,690

				6,387,504

Total Common Stocks (cost $219,673,980)				267,482,224

Short - term Investments (0.56%)
JPMorgan Treasury Plus Money Market Fund		1,143,502		1,143,502
U.S. Treasury Bills, (b)
3.938%, 04/06/2006	$	365,000		361,234

Total Short-term Investments (cost $1,504,659)				1,504,736

TOTAL INVESTMENTS (100.21%) (cost $ 221,178,639)				268,986,960
LIABILITIES, NET OF OTHER ASSETS (-0.21%)				(559,373	)

NET ASSETS (100.00%)			$	268,427,587

(a)	Non-income producing security.

(b)	At December 31, 2005, these securities have been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Common Stocks (97.70%)

Australia (5.11%)
Alinta Ltd.	3,561	$	29,108
Alumina Ltd.	16,988		92,408
Amcor Ltd.	12,552		68,738
AMP Ltd.	27,669		155,985
Ansell Ltd.	1,967		15,934
APN News & Media Ltd.	4,395		15,465
Aristocrat Leisure Ltd.	4,438		40,083
Australia & New Zealand Banking Group Ltd.	29,821		523,590
Australian Gas & Light Co.	8,277		104,307
Australian Stock Exchange	1,448		34,500
Axa Asia Pacific Holdings	13,077		48,701
Babcock & Brown Ltd.	2,375		29,860
BHP Billiton Ltd.	57,326		956,084
Billabong International Ltd.	2,124		22,609
Bluescope Steel	10,153		51,879
Boral Ltd.	8,308		49,334
Brambles Industries Ltd.	17,824		132,236
Caltex Australian Ltd.	1,845		26,213
Centro Properties Group	11,124		51,621
CFS Gandel Retail Trust	22,899		33,575
Challenger Financial Service	5,317		15,786
Coca-Cola Amatil Ltd.	7,900		44,652
Cochlear Ltd.	842		28,228
Coles Myer Ltd.	19,291		144,392
Commonwealth Bank of Australia	20,384		638,835
Commonwealth Property Office	21,676		20,261
Computershare Ltd.	6,294		31,330
CSL Ltd.	2,930		91,289
CSR Ltd.	12,165		31,035
DB Reef Trust	47,056		47,950
DCA Group Ltd.	4,790		13,976
Downer Edi Ltd.	3,636		19,139
Foster’s Group Ltd.	36,357		148,726
Futuris Corp. Ltd.	6,965		9,906
GPT Group	32,591		97,959
Harvey Norman Holdings Ltd.	8,815		18,870
Iluka Resources Ltd.	3,350		19,254
ING Industrial Fund	11,889		19,436
Insurance Australia Group Ltd.	23,141		91,948
Investa Property Group	25,561		37,196
James Hardie Industries Ltd.	6,878		45,380
John Fairfax Holdings Ltd.	13,922		40,927
Leighton Holdings Ltd.	1,701		22,296
Lend Lease Corp. Ltd.	5,420		57,535
Lion Nathan Ltd.	4,316		24,173
Macquarie Airports	8,998		20,911
Macquarie Bank Ltd.	3,558		177,760
Macquarie Communications Infrastructure Group	4,641		19,325
Macquarie Goodman Group	18,000		63,076
Macquarie Infrastructure Grp.	32,299		84,295
Mayne Pharma Ltd. (a)	10,071		18,753
Mirvac Group	11,907		35,964
Multiplex Group	7,811		18,038
National Australia Bank Ltd.	23,286		553,099
Newcrest Mining Ltd.	5,236		93,276
Onesteel Ltd.	7,379		18,122
Orica Ltd.	4,925		73,655
Origin Energy Ltd.	11,412		62,830
Pacific Brands Ltd.	11,294		22,024
Paperlinx Ltd.	6,208		17,476
Patrick Corp. Ltd.	9,079		49,253
Perpetual Trustees Australia	548		27,318
Publishing & Broadcasting	2,191		26,471
Qantas Airways Ltd.	12,809		37,937
QBE Insurance Group Ltd.	11,674		167,741
Rinker Group Ltd.	14,050		169,436
Rio Tinto Ltd.	4,914		248,569
Santos Ltd.	8,948		80,357
SFE Corp. Ltd.	1,798		18,243
Sonic Healthcare Ltd.	3,542		38,430
Stockland	19,033		90,695
Suncorp-Metway Ltd.	8,322		122,322
Symbion Health Ltd.	10,071		26,062
Tabcorp Holding Ltd.	7,640		87,206
Telstra Corp. Ltd.	38,636		111,314
Toll Holdings Ltd.	3,390		37,030
Transurban Group	14,922		72,199
Unitab Ltd.	1,707		17,007
Wesfarmers Ltd.	5,686		154,106
Westfield Group	24,821		330,444
Westpac Banking Corp.	28,649		477,809
Woodside Petroleum Ltd.	6,923		198,899
Woolworths Ltd.	15,864		195,964

			8,306,125

Austria (0.39%)
Andritz AG	159		17,478
Boehler-Uddeholm	121		20,471
Erste Bank Der Oester Spark	1,984		110,514
Flughafen Wien AG	163		11,673
Immofinaz Immobillien Anlagen AG (a)	5,217		50,091
Mayr-Melnhof Karton AG	48		6,705
Meinl European Land Ltd. (a)	1,370		24,183
Oest Elektrizatswirts AG Class A	100		35,671
OMV AG	2,530		148,266
RHI AG (a)	493		13,307
Telekom Austria AG	5,665		127,429
VoestAlpine AG	352		35,485
Wienerberger AG	945		37,815

			639,088

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Belgium (1.16%)
Agfa Gevaert NV	1,361	$	24,830
Barco NV	165		12,404
Bekaert NV	182		17,011
Belgacom SA	2,398		78,214
Cofinimmo	103		16,304
Colruyt SA	226		31,198
Compagnie Maritime Belge	295		9,727
D’Ieteren NV	69		18,993
Delhaize Group	1,030		67,312
Dexia	8,389		193,470
Euronav SA	354		10,272
Fortis	18,638		594,666
Groupe Bruxelles Lambert SA	1,035		101,519
InBev NV	2,721		118,451
KBC Groupe	2,984		277,851
Mobistar SA	402		31,887
Omega Pharma SA	317		16,517
Solvay SA	955		105,261
Suez	1,640		51,025
Suez-Lyonnaise Strips (a)	1,640		19
UCB SA	1,326		62,292
Umicore	339		39,974

			1,879,197

Denmark (0.78%)
A P Moller-Maersk A/S	19		196,573
Bang & Olufsen Class B	178		18,303
Carlsberg A/S Class B	509		27,300
Coloplast Class B	352		21,839
Dampskibsselskabet Torm A/S	200		9,680
Danisco A/S	772		59,107
Danske Bank	7,135		251,344
DSV De Sammenslut Vogn Class B	320		39,505
FLSmidth & Co A/S	535		15,790
GN Store Nord	3,096		40,530
H. Lundbeck AS	1,015		21,018
NKT Holding A/S	343		15,729
Novo Nordisk A/S	3,812		214,433
Novozymes AS Class B	720		39,416
Ostasiatiske Kompagni	263		24,789
TDC A/S	2,977		178,327
Topdanmark A/S (a)	281		24,390
Vestas Wind Systems A/S (a)	2,501		41,075
William DeMant Holding (a)	358		19,797

			1,258,945

Finland (1.40%)
Amer Group	1,120		20,857
Cargotec Corp. (a)	526		18,240
Elisa Corp. Class A	2,046		37,908
Fortum OYJ	7,334		137,534
KCI Konecranes OYJ	208		10,249
Kesko OYJ	882		25,009
Kone Corp. OYJ Class B (a)	1,052		41,760
Metso OYJ	1,458		39,908
Neste Oil OYJ (a)	1,875		53,009
Nokia OYJ	69,643		1,273,858
Nokian Renkaat OYJ	1,599		20,161
Orion-Yhtyma Class B	1,088		20,146
Outokumpo OYJ	1,366		20,296
Rautaruukki OYJ	1,201		29,219
Sampo Insurance Co.	6,856		119,480
Stora Enso OYJ R Shares	9,391		127,190
Tietoenator Corp. OYJ	1,272		46,458
UPM-Kymmene OYJ	7,724		151,432
Uponor OYJ	962		20,500
Wartsila OYJ Class B	1,041		30,811
YIT-Yhtyma OYJ	883		37,770

			2,281,795

France (9.11%)
Accor SA	3,328		183,053
Air France	1,977		42,341
Air Liquide	1,773		341,096
Alcatel SA (a)	20,486		253,933
Alstom (a)	1,693		97,451
Arcelor	7,614		188,848
Atos Origin (a)	1,003		66,082
Autoroutes Du Sud De La France	879		52,032
AXA Co.	23,765		766,971
BIC SA	441		26,236
BNP Paribas	12,443		1,006,882
Bouygues	2,927		143,116
Business Objects SA (a)	1,061		42,947
Cap Gemini (a)	1,899		76,237
Carrefour SA	8,448		395,863
Casino Guichard Perrachon	552		36,760
CNP Assurances	510		40,212
Compagnie De Saint-Gobain	4,547		270,505
Credit Agricole SA	8,793		277,011
Dassault Systemes SA	806		45,507
Essilor International	1,717		138,634
Euronext	1,412		73,553
European Aeronautic Defense	4,173		157,599
France Telecom SA	25,703		638,721
Gecina SA	133		15,274
Groupe Danone	3,570		372,991
Hermes International SCA	312		78,049
Imerys SA	434		31,394
Klepierre	320		30,043
L’Oreal	4,815		357,990
Lafarge SA	2,545		228,990
Lagardere SCA	1,772		136,362
LVMH Moet Hennessy Louis Vuitton SA	3,759		333,994

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

France (Cont.)
Michelin Class B	2,491	$	140,023
Neopost SA	459		46,027
Pagesjuanes	2,005		52,198
Pernod-Ricard	1,037		180,964
Peugeot SA	2,384		137,452
PPR SA	1,005		113,211
Publicis Groupe SA	2,093		72,850
Renault SA	2,765		225,543
Safran SA	2,411		57,659
Sanofi-Aventis	16,459		1,441,950
Schneider Electric SA	3,688		328,995
SCOR SA	11,826		25,481
Societe des Autoroutes du Nord et de I’Est de la France (a)	308		20,857
Societe des Autoroutes Paris	489		34,967
Societe Generale Class A	5,606		689,578
Societe Television Francaise 1	1,669		46,316
Sodexho Alliance	1,368		56,361
STMicroelectronics NV	10,681		191,828
Suez SA	13,457		419,005
Technip-Coflexip SA	1,294		77,824
Thales SA	1,211		54,911
Thomson SA	3,949		82,751
Total SA	8,765		2,201,975
Unibail	675		89,822
Valeo	1,039		38,637
Veolia Environnement	5,318		240,758
Vinci SA	2,405		206,855
Vivendi Universal SA	17,192		538,556
Zodiac SA	551		35,389

			14,795,420

Germany (6.60%)
Adidas-Salomon AG	746		141,310
Allianz AG	5,924		897,297
Altana AG	1,078		58,707
BASF AG	8,394		643,066
Bayer AG	10,486		438,103
Beiersdorf AG	263		32,382
Celesio AG	543		46,710
Commerzbank AG	9,541		293,911
Continental AG	2,096		186,059
DaimlerChrysler AG	13,972		713,598
Depfa Bank PLC	5,167		76,404
Deutsche Bank AG	7,790		755,329
Deutsche Boerse AG	1,496		153,308
Deutsche Lufthansa	3,554		52,637
Deutsche Post AG	11,212		271,849
Deutsche Telekom AG	43,120		718,781
Douglas Holding AG	411		15,814
E.On AG	9,672		1,000,675
Epcos AG (a)	866		11,339
Fresenius Medical Care	489		51,524
Heidelberger Druckmaschinen	791		30,267
Hochtief AG	857		38,382
Hypo Real Estate Holding	1,908		99,346
Infineon Technologies AG (a)	9,482		86,775
IVG Immobilien AG	924		19,373
Karstadtquelle AG (a)	1,067		16,207
Linde AG	1,311		102,081
MAN AG	2,140		114,212
Merck KGaA	710		58,798
Metro AG	2,121		102,451
MLP AG	946		19,622
Muenchener Rueckvers AG	2,641		357,630
Premiere AG (a)	644		11,284
Puma AG	246		71,791
RWE AG	6,662		493,341
SAP AG	3,505		635,548
Schering AG	2,427		162,630
Siemens AG	12,608		1,080,687
Suedzucker AG	1,266		29,722
ThyssenKrupp AG	5,428		113,230
TUI AG (a)	3,277		67,118
UniCredito Italiano SpA	42,040		288,673
Volkswagen AG	2,764		145,977
Wincor Nixdorf AG	262		27,721

			10,731,669

Greece (0.59%)
Alpha Bank AE	4,760		139,194
Bank of Piraeus	2,710		58,072
Coca-Cola Hellenic Bottling	1,920		56,554
Cosmote Mobile Telecommunication	2,180		48,469
EFG Eurobank Ergasias	3,120		98,698
Emporiki Bank of Greece (a)	450		15,290
Germanos SA	650		11,004
Greek Org of Football Prognostics SA	3,890		134,016
Hellenic Petroleum SA	900		12,658
Hellenic Telecommunications Org. (a)	4,510		96,109
National Bank of Greece	4,450		189,661
Public Power Corp.	1,930		42,180
Titan Cement Co. SA	1,320		53,915

			955,820

Hong Kong (1.62%)
ASM Pacific Technology	2,000		11,285
Bank of East Asia Ltd.	19,800		59,883
BOC Hong Kong Holdings Ltd.	53,500		102,810
Cathay Pacific Airways Ltd.	15,000		26,213
Cheung Kong Holdings Ltd.	25,000		256,492
Cheung Kong Infrastructure	7,000		22,028
CLP Holdings Ltd.	30,700		178,174
Espirit Holdings Ltd.	16,500		117,254

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Hong Kong (Cont.)
Giordano International Ltd.	22,000	$	12,343
Hang Lung Properties Ltd.	25,000		39,014
Hang Seng Bank Ltd.	12,500		163,149
Henderson Land Development Co. Ltd.	10,000		47,075
Hong Kong & China Gas Co. Ltd.	53,672		114,562
Hong Kong Exchange & Clearing	16,000		66,343
Hongkong Electric	21,500		106,479
Hopewell Holdings	9,000		22,576
Hutchison Telecommunications International Ltd. (a)	21,000		30,334
Hutchison Whampoa Ltd.	34,700		330,502
Hysan Development Co.	12,062		29,869
Johnson Electric Holdings	20,000		18,959
Kerry Properties Ltd.	7,000		18,552
Kingboard Chemicals Holdings Co. Ltd.	7,000		18,959
Li & Fung Ltd.	28,000		53,987
Link REIT (a)	34,000		64,460
MTR Corp.	18,500		36,386
New World Development	31,600		43,404
Orient Overseas International Ltd.	4,400		14,925
PCCW Ltd.	57,118		35,175
SCMP Group Ltd.	14,000		5,191
Shangri-La Asia Ltd.	18,108		30,244
Sino Land Co.	24,331		29,497
SmarTone Telecommunications Holdings Ltd.	5,500		6,420
Solomon Systech International Ltd.	22,000		9,150
Sun Hung Kai Properties Ltd.	22,000		214,222
Swire Pacific Ltd. Class A	13,500		121,182
Techtronic Industries	14,500		34,503
Television Broadcasts Ltd.	4,000		21,254
Texwinca Holdings Ltd.	10,000		7,222
Wharf Holdings Ltd.	18,000		63,609
Wing Hang Bank Ltd.	3,000		21,590
Yue Yuen Industrial Holdings	7,000		19,546

			2,624,822

Ireland (0.77%)
Allied Irish Bank PLC	13,603		290,688
Bank of Ireland	15,711		247,569
C&C Group PLC	3,945		25,221
CRH PLC	8,632		253,953
DCC PLC	1,234		26,443
Eircom Group PLC (b)	4,016		9,414
Eircom Group PLC	9,639		22,595
Elan Corp. PLC (a)	6,169		83,260
Fyffes PLC	3,720		10,129
Grafton Group PLC (a)	2,970		32,349
Greencore Group PLC	1,824		7,256
Iaws Group PLC	1,628		23,418
Independent News & Media PLC	7,490		22,523
Irish Life & Permanent PLC	4,047		82,697
Kerry Group PLC Class A	1,807		40,026
Kingspan Group PLC	1,726		21,762
Paddy Power PLC	834		11,947
Ryanair Holdings PLC (a)	3,664		36,004

			1,247,254

Italy (3.54%)
Alleanza Assicurazioni	6,586		81,402
Arnoldo Mondadori Editore	1,769		16,451
Assicurazione Generali Itl	15,068		526,607
Autogrill SpA	1,491		20,423
Autostrade SpA	4,287		102,827
Banca Antonveneta SpA	1,290		40,151
Banca Fideuram SpA	4,878		26,508
Banca Intesa	14,188		70,128
Banca Intesa SpA	53,533		283,615
Banca Monte Dei Paschi Siena SpA	16,470		76,972
Banca Nazionale del Lavoro SpA (a)	19,522		64,367
Banca Popolare Di Verona SpA	5,527		111,827
Banche Popolari Unite SCRL	4,937		108,248
Banco Popolare di Milano SCRL	5,998		65,720
Benetton Group	1,018		11,594
Bulgari SpA	2,324		25,946
Capitalia SpA	20,904		121,019
Enel SpA	67,992		534,089
ENI SpA	40,728		1,129,745
Fiat SpA (a)	7,058		61,500
Fineco SpA	2,356		22,677
Finmeccanica SpA	4,383		84,841
Gruppo Editoriale L’Espresso	2,305		12,157
Italcementi SpA	1,048		19,566
Lottomatica SpA (a)	426		15,398
Luxottica Group SpA	1,976		50,133
Mediaset SpA	12,320		130,541
Mediobanca SpA	7,029		134,228
Mediolanum SpA	3,393		22,375
Pirelli & Co. SpA	43,197		39,685
SanPaolo IMI SpA	17,701		276,832
Seat Pagine Gaille (a)	55,520		25,930
Snam Rete Gas	14,606		60,047
Telecom Italia Media SpA (a)	33,055		17,493
Telecom Italia RNC SpA	88,896		220,486
Telecom Italia SpA	170,349		496,123
Terna SpA	18,917		46,695
Tiscali SpA (a)	3,509		11,113
UniCredito Italiano SpA	84,948		585,314

			5,750,773

Japan (25.09%)
77 Bank Ltd.	5,000		37,987
Acom Co. Ltd.	1,050		67,486
Aderans Co. Ltd.	600		18,010

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Japan (Cont.)
Advantest Corp.	1,100	$	110,900
Aeon Co. Ltd.	10,600		269,640
Aeon Credit Service Co. Ltd.	400		37,851
Aiful Corp.	975		81,433
Aisin Seiki Co. Ltd.	2,800		102,802
Ajinomoto Co. Inc.	9,000		92,110
Alfresa Holdings Corp.	300		14,042
All Nippon Airways Co. Ltd.	9,000		36,630
Alps Electric Co. Ltd.	3,000		41,794
Amada Co. Ltd.	5,000		44,092
Amano Corp.	1,000		19,078
Anritsu Corp.	1,000		5,690
Aoyama Trading Co. Ltd.	900		30,449
Ariake Japan Co. Ltd.	220		5,419
Asahi Breweries Ltd.	5,800		70,770
Asahi Glass Co. Ltd.	17,000		219,536
Asahi Kasei Corp.	20,000		135,329
Asatsu DK Inc.	400		12,719
Astellas Pharma Inc.	8,998		350,963
Autobacs Seven Co. Ltd.	400		20,995
Bank of Fukuoka Ltd.	8,000		68,444
Bank of Kyoto	4,000		48,332
Bank of Yokohama Ltd.	18,000		147,285
Benesse Corp.	1,000		35,019
Bridgestone Corp.	11,000		228,982
Canon Inc.	12,100		707,932
Canon Sales Co. Inc.	1,000		21,368
Casio Computer Co. Ltd.	3,000		50,214
Central Glass Co. Ltd.	3,000		16,611
Central Japan Railway Co.	27		258,702
Chiba Bank Ltd.	10,000		83,860
Chiyoda Corp.	2,000		45,958
Chubu Electric Power Co. Inc.	8,700		207,292
Chugai Pharmaceutical Co. Ltd.	4,100		87,955
Circle K Sunkus Co. Ltd.	600		15,263
Citizen Watch Co. Ltd.	4,100		34,070
Coca-Cola West Japan Co. Ltd.	500		11,680
Comsys Holdings Corp.	2,000		28,609
Credit Saison Co. Ltd.	2,300		114,868
CSK Corp.	900		44,948
Dai Nippon Printing Co. Ltd.	10,000		178,064
Daicel Chemical Industries	4,000		28,762
Daido Steel Co. Ltd.	5,000		47,781
Daiichi Sanyko Co. Ltd. (a)	9,741		187,899
Daikin Industries Ltd.	3,400		99,462
Dainippon Ink & Chemical Inc.	9,000		38,996
Dainippon Screen Manufacturing Co. Ltd.	3,000		25,107
Daito Trust Construction Co. Ltd.	1,200		62,068
Daiwa House Industry Co. Ltd.	8,000		125,086
Daiwa Securities Group Inc.	19,000		215,398
Denki Kagaku Kogyo KK	7,000		30,924
Denso Corp.	7,800		269,182
Dentsu Inc.	27		87,913
Dowa Mining Co. Ltd.	4,000		43,346
E*Trade Securities Co. Ltd.	7		54,072
eAccess Ltd.	18		12,744
East Japan Railway Co.	56		385,094
Ebara Corp.	4,000		21,605
Eisai Co. Ltd.	3,800		159,495
Electric Power Development	2,100		72,116
Elpida Memory Inc. (a)	500		14,923
Familymart Co. Ltd.	1,000		33,832
Fanuc Ltd.	3,000		254,632
Fast Retailing	1,000		97,766
Fuji Electric Holdings Co. Ltd.	7,000		37,097
Fuji Photo Film Co. Ltd.	8,400		277,780
Fuji Soft ABC Inc.	400		13,397
Fuji Television Network Inc.	8		20,147
Fujikura Ltd.	5,000		40,531
Fujitsu Ltd.	26,000		197,973
Furukawa Electric Co. Ltd. (a)	9,000		70,361
Glory Ltd.	800		13,546
Goodwill Group Inc.	6		12,210
Gunma Bank Ltd.	5,000		36,970
Gunze Ltd.	3,000		19,943
Hakuhodo DY Holdings Inc.	400		28,185
Hankyu Department Stores	2,000		17,467
Hikari Tsushin Inc.	400		37,648
Hino Motors Ltd.	4,000		25,336
Hirose Electric Co. Ltd.	500		66,689
Hitachi Cable Ltd.	2,000		9,395
Hitachi Capital Corp.	700		13,948
Hitachi Chemical Co. Ltd.	1,600		42,328
Hitachi Construction Machine	1,300		30,313
Hitachi Ltd.	53,000		357,273
Hitachi Sofware Engineering	400		8,378
Hokkaido Electric Power	2,400		48,840
Hokuhoku Financial Group Inc.	17,000		79,425
Honda Motor Co. Ltd.	12,600		719,023
House Foods Corp.	800		12,142
Hoya Corp.	6,400		230,093
Ibiden Co. Ltd.	1,700		91,101
Index Corp.	12		21,775
INPEX Corp.	6		53,419
Isetan Co. Ltd.	2,500		53,313
Ishihara Sangyo Kaisha Ltd.	4,000		7,123
Ishikawajima-Harima Heavy Industries Co. Ltd. (a)	17,000		53,767
Ito En Ltd.	400		23,945
Itochu Corp.	22,000		183,559
Itochu Techno-Science Corp.	400		19,163
JAFCO Co. Ltd.	500		44,643
Japan Airlines Corp.	9,000		24,497
Japan Prime Investment Corp.	6		16,840
Japan Real Estate Investment	5		41,209

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Japan (Cont.)
Japan Retail Fund Investment	3	$	23,301
Japan Tobacco Inc.	15		218,765
JFE Holdings Inc.	9,400		315,631
JGC Corp.	3,000		57,108
Joyo Bank Ltd.	10,000		59,524
JS Group Corp.	3,500		70,039
JSR Corp.	2,500		65,714
Kajima Corp.	14,000		80,485
Kaken Pharmaceutical Co. Ltd.	1,000		7,792
Kamigumi Co. Ltd.	4,000		35,511
Kaneka Corp.	4,000		48,332
Kansai Electric Power	12,900		277,284
Kansai Paint Co. Ltd.	3,000		25,718
Kao Corp.	9,000		241,150
Katokichi Co. Ltd.	1,800		12,256
Kawasaki Heavy Industries Ltd.	18,000		65,629
Kawasaki Kisen Kaisha Ltd.	7,000		43,923
KDDI Corp.	38		219,104
Keihin Electric Express Railway	6,000		47,314
Keio Electric Railway Co. Ltd.	9,000		53,801
Keisei Electric Co.	4,000		27,303
Keyence Corp.	450		128,015
Kikkoman Corp.	2,000		19,417
Kinden Corp.	2,000		18,061
Kintetsu Corp.	29,000		116,064
Kirin Brewery Co. Ltd.	12,000		139,908
Kobe Steel Ltd.	40,000		129,563
Kokuyo Co. Ltd.	1,300		19,268
Komatsu Ltd.	14,000		231,602
Komori Corp.	1,000		18,400
Konami Corp.	1,500		33,005
Konica Minolta Holdings Inc.	6,500		66,193
Kose Corp.	400		16,009
Koyo Seiko Co. Ltd.	2,000		37,224
Kubota Corp.	16,000		134,447
Kuraray Co. Ltd.	5,000		51,808
Kurita Water Industries Ltd.	1,800		34,265
Kyocera Corp.	2,800		204,180
Kyowa Hakko Kogyo Co. Ltd.	5,000		34,892
Kyushu Electric Power	5,600		121,558
Lawson Inc.	800		32,967
Leopalace21 Corp.	1,700		61,695
Mabuchi Motor Co. Ltd.	400		22,216
Makita Corp.	2,000		49,180
Marubeni Corp.	21,000		112,715
Marui Co. Ltd.	4,700		92,258
Matsui Securities Co. Ltd.	1,500		20,821
Matsumotokiyoshi Co. Ltd.	500		15,814
Matsushita Electric Industries	34,000		655,870
Matsushita Electric Works	5,400		50,458
Mediceo Paltac Holdings Co. Ltd.	1,800		26,053
Meiji Dairies Corp.	4,000		20,248
Meiji Seika Kaisha Ltd.	4,000		21,266
Meitec Corp.	400		12,956
Millea Holdings Inc.	22		378,683
Minebea Co. Ltd.	5,000		26,667
Mitsubishi Chemical Holdings Corp. (a)	16,500		103,951
Mitsubishi Corp.	19,400		429,338
Mitsubishi Electric Corp.	33,000		233,646
Mitsubishi Estate Co. Ltd.	18,000		373,935
Mitsubishi Gas Chem Co.	6,000		56,726
Mitsubishi Heavy Industries Ltd.	44,000		194,005
Mitsubishi Logistics Corp.	2,000		33,680
Mitsubishi Materials Corp.	13,000		66,469
Mitsubishi Rayon Co. Ltd.	8,000		52,911
Mitsubishi UFJ Financial Group	115		1,560,182
Mitsubishi UFJ Securities Co. Ltd.	4,000		50,197
Mitsui & Co. Ltd.	24,000		308,305
Mitsui Chemicals Inc.	9,000		60,516
Mitsui Engineering & Shipbuilding	9,000		29,304
Mitsui Fudosan Co. Ltd.	12,000		243,694
Mitsui Mining & Smelting Co.	8,000		50,265
Mitsui OSK Lines Ltd.	16,000		139,602
Mitsui Sumitomo Insurance Co.	20,000		244,711
Mitsui Trust Holding Inc.	8,000		96,053
Mitsukoshi Ltd.	6,000		39,174
Mitsumi Electric Co. Ltd.	900		10,180
Mizuho Financial Group Inc.	152		1,206,360
Murata Manufacturing Co. Ltd.	3,100		198,720
Namco Bandai Holdings Inc. (a)	2,800		40,931
NEC Corp.	28,000		174,266
NEC Electronics Corp.	500		16,407
Net One Systems Co. Ltd.	9		21,749
NGK Insulators Ltd.	4,000		59,490
NGK Spark Plug Co. Ltd.	3,000		64,866
NHK Spring Co. Ltd.	2,000		20,842
Nichii Gakkan Co.	250		6,359
Nichirei Corp.	3,000		12,515
Nidec Corp.	1,600		136,075
Nikko Cordial Corp.	11,500		182,151
Nikon Corp.	4,000		63,120
Nintendo Co. Ltd.	1,500		181,244
Nippon Building Fund Inc.	5		42,184
Nippon Electric Glass Co. Ltd.	3,000		65,502
Nippon Express Co. Ltd.	11,000		67,062
Nippon Kayaku Co. Ltd.	2,000		17,077
Nippon Light Metal Co. Ltd.	6,000		16,535
Nippon Meat Packers Inc.	3,000		31,492
Nippon Mining Holdings Inc.	11,000		78,255
Nippon Oil Corp.	22,000		170,687
Nippon Paper Group Inc.	14		56,031
Nippon Sheet Glass Co. Ltd.	6,000		26,201
Nippon Shokubai Co. Ltd.	2,000		22,640
Nippon Steel Corp.	97,000		345,445
Nippon Telegraph & Telephone Corp.	85		386,315
Nippon Yusen Kabushiki Kaish	15,000		102,768

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Japan (Cont.)
Nishi-Nippon City Bank Ltd.	7,000	$	41,786
Nishimatsu Construction Co.	4,000		16,416
Nissan Chemical Industries	3,000		42,685
Nissan Motor Co. Ltd.	36,800		372,883
Nisshin Seifun Group Inc.	3,300		34,865
Nisshin Steel Co. Ltd.	12,000		38,767
Nisshinbo Industries Inc.	2,000		21,860
Nissin Food Products Co. Ltd.	1,400		40,480
Nitori Co. Ltd.	250		23,318
Nitto Denko Corp.	2,900		225,980
NOK Corp.	1,600		43,414
Nomura Holdings Inc.	28,600		548,065
Nomura Real Estate Office Fund Inc.	3		21,368
Nomura Research Institute	300		36,758
NSK Ltd.	6,000		41,006
NTN Corp.	6,000		47,416
NTT Data Corp.	20		99,546
NTT DoCoMo Inc.	260		396,829
NTT Urban Development Corp.	4		26,489
OBIC Co. Ltd.	100		22,029
Odakyu Electric Railway Co.	9,000		53,572
Obayashi Corp.	9,000		66,316
Oji Paper Co. Ltd.	12,000		70,920
Oki Electric Industries Co. Ltd.	7,000		25,582
Okumura Corp.	3,000		16,865
Olympus Corp.	4,000		105,143
Omron Corp.	3,200		73,803
Onward Kashiyama Co. Ltd.	2,000		39,344
Oracle Corp.	500		24,844
Oriental Land Co. Ltd.	700		38,165
Orix Corp.	1,400		356,722
Osaka Gas Co. Ltd.	29,000		100,081
Pioneer Corp.	2,100		29,131
Promise Co. Ltd.	1,350		89,859
QP Corp.	1,200		10,694
Rakuten Inc. (a)	60		57,998
Resona Holdings Inc. (a)	68		273,880
Ricoh Co. Ltd.	10,000		175,097
Rinnai Corp.	400		9,480
Rohm Co. Ltd.	1,600		174,062
Ryohin Keikaku Co. Ltd.	300		26,175
Sanden Corp.	1,000		4,638
Sanken Electric Co. Ltd.	2,000		32,272
Sankyo Co. Ltd.	700		40,539
Santen Pharmaceutical Co. Ltd.	1,000		27,642
Sanwa Shutter Corp.	2,000		12,346
Sanyo Electric Co. Ltd. (a)	24,000		65,121
Sapporo Breweries	5,000		28,024
SBI Holdings Inc.	70		47,365
Secom Co. Ltd.	3,500		183,109
Sega Sammy Holdings Inc.	1,926		64,508
Seiko Epson Corp.	1,600		40,226
Seino Holdings Co. Ltd.	2,000		21,792
Sekisui Chemical	7,000		47,365
Sekisui House Ltd.	7,000		88,082
Seven & I Holdings Co. Ltd. (a)	12,280		525,832
SFCG Co. Ltd.	80		19,333
Sharp Corp.	14,000		212,965
Shimachu Co. Ltd.	600		18,213
Shimamura Co. Ltd.	300		41,514
Shimano Inc.	1,200		31,543
Shimizu Corp.	9,000		66,164
Shin-Etsu Chemical Co. Ltd.	6,400		340,255
Shinko Securities Co. Ltd.	7,000		35,257
Shinsei Bank Ltd.	14,000		80,960
Shionogi & Co. Ltd.	5,000		70,420
Shiseido Co. Ltd.	6,000		111,926
Shizuoka Bank Ltd.	9,000		90,202
Showa Denko K.K.	14,000		54,606
Showa Shell Sekiyu K.K.	2,500		29,847
Skylark Co. Ltd.	1,200		19,129
SMC Corp.	800		114,300
Softbank Corp.	11,100		468,716
Sojitz Holdings Corp. (a)	2,900		17,213
Sompo Japan Insurance Inc.	13,000		175,817
Sony Corp.	16,000		653,919
Stanley Electric Co. Ltd.	2,200		35,760
Sumitomo Bakelite Co. Ltd.	3,000		24,776
Sumitomo Chemical Co. Ltd.	22,000		151,100
Sumitomo Corp.	18,000		232,755
Sumitomo Electric Industries	11,000		167,050
Sumitomo Heavy Industries	8,000		67,156
Sumitomo Metal Industries	69,000		265,621
Sumitomo Metal Mining Co. Ltd.	8,000		98,970
Sumitomo Mitsui Financial Group Inc.	76		805,529
Sumitomo Osaka Cement Co. Ltd.	5,000		14,584
Sumitomo Realty & Development	6,000		130,496
Sumitomo Rubber Industries	2,000		28,490
Sumitomo Trust & Banking	19,000		194,132
Surgua Bank Ltd.	3,000		37,826
Suzuken Co. Ltd.	880		28,131
T&D Holdings Inc.	3,400		225,446
Taiheiyo Cement Corp.	12,000		48,739
Taisei Corp.	14,000		63,510
Taisho Pharmaceutical Co. Ltd.	3,000		56,217
Taiyo Nippon Sanso Corp.	4,000		26,727
Taiyo Yuden Co. Ltd.	2,000		27,558
Takara Holdings Inc.	3,000		17,806
Takashimaya Co. Ltd.	4,000		63,900
Takeda Pharmaceutical Co. Ltd.	14,200		768,186
Takefuji Corp.	1,660		112,745
Takuma Co. Ltd.	1,000		6,682
Tanabe Seiyaku Co. Ltd.	3,000		29,152
TDK Corp.	1,800		124,085
Teijin Ltd.	12,000		76,211
Teikoku Oil Co.	3,000		39,276

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Japan (Cont.)
Terumo Corp.	2,500	$	73,981
The Daimaru Inc.	3,000		43,295
THK Co. Ltd.	1,400		36,563
TIS Inc.	500		15,432
Tobu Railway Co. Ltd.	11,000		57,642
Toda Corp.	3,000		16,484
Toho Co. Ltd.	2,200		49,247
Tohoku Electric Power	6,500		132,276
Tokuyama Corp.	3,000		38,538
Tokyo Broadcasting System	700		18,994
Tokyo Electric Power Co.	18,700		454,280
Tokyo Electron Ltd.	2,400		150,795
Tokyo Gas Co. Ltd.	33,000		146,623
Tokyo Steel Mfg. Co. Ltd.	1,500		21,749
Tokyo Style Co. Ltd.	1,000		12,253
Tokyo Tatemono Co. Ltd.	3,000		29,889
Tokyu Corp.	13,000		91,932
Tokyu Land Corp.	5,000		49,985
TonenGeneral Sekiyu KK	5,000		53,758
Toppan Printing Co. Ltd.	8,000		93,475
Toray Industries Inc.	23,000		187,612
Toshiba Corp.	49,000		292,500
Tosoh Corp.	7,000		30,746
Toto Ltd.	4,000		33,815
Toyo Seikan Kaisha Ltd.	2,600		42,350
Toyo Suisan Kaisha Ltd.	2,000		32,289
Toyobo Co. Ltd.	10,000		33,493
Toyoda Gosei Co. Ltd.	900		17,552
Toyota Industries Corp.	2,800		100,666
Toyota Motor Corp.	45,000		2,335,185
Toyota Tsusho Corp.	3,000		68,173
Trend Micro Inc. (a)	1,500		56,726
UBE Industries Ltd.	14,000		37,987
Uni-Charm Corp.	600		26,964
Uniden Corp.	1,000		19,460
UNY Co. Ltd.	3,000		47,340
Ushio Inc.	2,000		46,721
USS Co. Ltd.	350		22,317
Wacoal Corp.	2,000		27,100
West Japan Railway Co.	25		104,295
Yahoo! Japan Corp.	132		200,348
Yakult Honsha Co. Ltd.	2,000		41,548
Yamada Denki Co. Ltd.	1,200		150,184
Yamaha Corp.	2,700		44,895
Yamaha Motor Co. Ltd.	2,600		67,902
Yamato Holdings Co. Ltd.	6,000		99,512
Yamazaki Baking Co. Ltd.	2,000		16,280
Yaskawa Electric Corp. (a)	3,000		30,271
Yokogawa Electric Corp.	3,000		51,130
Zeon Corp.	3,000		39,683

			40,771,443

Netherlands (3.35%)
ABN Amro Holdings NV	28,011		732,553
Aegon NV	22,421		364,983
Akzo Nobel NV	4,450		206,256
ASML Holding NV (a)	7,049		141,036
Buhrmann NV	1,538		22,633
Corio NV	662		35,974
DSM NV	2,244		91,655
Getronics NV	1,757		23,630
Hagemeyer NV (a)	7,243		23,495
Heineken NV	3,622		114,835
ING Groep NV	29,321		1,017,095
Koninklijke Ahold NV (a)	24,926		186,798
Koninklijke KPN NV	32,128		322,168
Koninklijke Numico NV (a)	2,268		93,924
OCE NV	1,230		17,751
Philips Electronics NV	20,656		641,934
Qiagen NV (a)	2,043		24,042
Randstad Holding NV (a)	699		30,363
Reed Elsevier NV	11,455		160,027
Rodamco Europe NV	645		53,682
SBM Offshore NV	500		40,401
TNT NV	6,613		206,689
Unilever NV-CVA	9,054		620,096
Vedior NV-CVA	2,456		36,404
VNU NV	3,600		119,380
Wereldhave NV	263		24,800
Wolters Kluwer-CVA	4,301		86,970

			5,439,574

New Zealand (0.17%)
Auckland International Airport	12,792		17,295
Contact Energy Ltd.	4,623		20,930
Fisher & Paykel Appliances Class H	2,401		5,689
Fisher & Paykel Healthcare Class C	6,712		17,416
Fletcher Building Ltd.	6,357		32,774
Kiwi Income Property Trust	6,353		5,509
Sky City Entertainment Group	5,666		18,146
Sky Network Television Ltd.	3,715		15,982
Telecom Corp. of New Zealand	29,393		120,627
The Warehouse Group Ltd.	2,278		5,522
Tower Ltd. (a)	4,553		6,467
Vector Ltd. (a)	3,861		6,907
Waste Management Ltd.	2,027		8,485

			281,749

Norway (0.71%)
DNB NOR ASA	11,428		121,911
Frontline Ltd.	839		32,072
Norsk Hydro ASA	2,290		235,131
Norske Skogindustrier ASA	2,662		42,301
Orkla AS Class A	2,876		119,100
Petroleum Geo-Services (a)	777		23,946

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Norway (Cont.)
Prosafe ASA	533	$	22,625
Schibsted ASA	662		19,715
Smedvig ASA Class A	613		17,892
Statoil ASA	9,691		222,557
Stolt Offshore SA (a)	2,881		33,508
Stolt-Nielsen SA	507		16,789
Storebrand ASA	3,208		27,687
Tandberg ASA	1,880		11,504
Tandberg Television ASA (a)	819		10,830
Telenor ASA	13,115		128,735
Tomra Systems ASA	3,082		22,056
Yara International ASA	3,074		44,748

			1,153,107

Portugal (0.27%)
Banco BPI SA	4,836		22,100
Banco Comercial Portugues-R	27,801		76,689
Banco Espirito Santo	2,040		32,846
Brisa-Auto Estradas de Portugal SA	4,821		40,866
Cimpor-Cimentos De Portugal	2,953		16,257
Energias De Portugal SA	26,711		82,220
Jeronimo Martins	651		9,788
Portugal Telecom SGPS SA	11,298		114,362
PT Multimedia Servicos	1,318		15,058
Sonae SGPS Rights (a) (d)	11,939		6,133
Sonae SGPS SA	11,939		16,679

			432,998

Singapore (0.81%)
Allgreen Properties Ltd.	6,000		4,691
Ascendas Real Estate Investment Trust	18,900		22,166
Capitaland Ltd.	15,000		31,035
Capitamall Trust	7,000		9,431
Chartered Semiconductor Mfg. Ltd. (a)	18,000		14,074
City Developments Ltd.	7,000		36,628
Comfortdelgro Corp. Ltd.	30,000		28,870
Cosco Corp. Singapore Ltd.	4,000		5,196
Creative Technology Ltd.	650		5,317
Datacraft Asia Ltd. (a)	4,000		4,040
DBS Group Holdings Ltd.	18,652		185,101
Fraser & Neave Ltd.	2,760		30,710
Haw Par Corp. Ltd.	2,792		8,648
Jardine Cycle & Carriage Ltd.	2,004		13,379
Keppel Corp. Ltd.	8,000		52,927
Keppel Land Ltd.	6,000		13,208
Neptune Orient Lines Ltd.	8,000		16,167
Noble Group Ltd.	12,000		9,238
Olam International Ltd.	9,000		8,174
Oversea-Chinese Banking Corp.	36,840		148,455
Parkway Holdings Ltd.	10,000		12,691
Sembcorp Industries Ltd.	12,220		20,138
Sembcorp Logistics Ltd.	4,200		4,294
Sembcorp Marine Ltd.	12,000		19,920
Singapore Petroleum Co. Ltd.	2,000		5,726
Singapore Airlines Ltd.	8,000		59,664
Singapore Exchange Ltd.	13,000		22,675
Singapore Land Ltd.	2,000		6,435
Singapore Post Ltd.	15,000		10,375
Singapore Press Holdings Ltd.	22,000		56,897
Singapore Technologies Engineering	17,000		29,242
Singapore Telecommunications	110,000		172,676
SMRT Corp. Ltd.	17,000		11,043
Stats Chippac Ltd. (a)	16,000		10,682
Suntec REIT	10,000		6,496
United Overseas Bank	19,392		170,284
United Overseas Land Ltd.	5,639		8,513
Venture Corp. Ltd.	4,000		33,200
Want Want Holdings Ltd.	4,000		3,980
Wing Tai Holdings Ltd.	8,000		7,073

			1,319,459

Spain (3.63%)
Abertis Infraestructuras SA	3,360		84,570
AC. Acerinox	2,997		43,607
Acciona SA	489		54,680
ACS Actividades de Cons Y Serv	3,859		124,313
Aguas De Barcelona	8		172
Aguas De Barcelona Class A	818		17,432
Altadis SA	4,797		217,626
Antena 3 de Television SA	1,176		28,040
Banco Bilbao Vizcaya Argentaria SA	53,763		959,842
Banco Popular Espanol	12,610		153,768
Banco Santander Central Hispano SA	93,054		1,228,358
Cintra Concesiones De Infrae (a)	2,827		32,699
Corporacion Mapfre SA	1,686		27,845
Ebro Puleva SA	1,129		18,753
Endesa SA	14,250		374,864
Fomento De Construct Y Contra	661		37,484
Gamesa Corp Technologica	1,414		20,691
Gas Natural SDG SA	2,708		75,854
Grupo Ferrovial	945		65,449
Iberdrola SA	12,868		351,763
Iberia (Lineas Aer De Espana)	5,885		15,955
Inditex	3,260		106,330
Indra Sistemas SA	1,873		36,610
Inmobiliaria Colonial SA	419		23,751
Metrovacesa SA	805		48,891
NH Hoteles SA	1,022		16,032
Promotora De Infom SA	1,117		19,043
Repsol YPF SA	14,629		427,266
Sacyr Vallehermoso SA	1,676		40,875
Sogecable (a)	549		22,008
Telefonica Publicidad e Information SA	2,123		18,021
Telefonica SA	70,598		1,062,314

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

Spain (Cont.)
Union Fenosa SA	3,186	$	118,551
Zeltia SA	3,034		21,121

			5,894,578

Sweden (2.33%)
Alfa Laval AB	1,527		33,060
ASSA Abloy AB Class B	4,542		71,465
Atlas Copco AB Class A	5,006		111,532
Atlas Copco AB Class B	3,221		64,262
Axfood AB	402		11,233
Billerud Aktiebolag	843		11,036
Capio AB (a)	1,035		18,434
Castellum AB	491		17,676
D. Carnegie & Co. AB	700		10,309
Electrolux AB Class B	4,734		123,050
Elekta AB Class B	1,455		21,611
Eniro AB	2,294		28,875
Ericsson LM Class B	236,188		811,622
Fabege AB	1,086		20,710
Gambo AB Class B	1,242		13,523
Gambro AB Class A	2,436		26,600
Getinge AB Class B	2,617		36,070
Hennes & Mauritz AB Class B	7,948		270,119
Hoganas AB Class B	301		6,517
Holmen AB Class B	780		25,773
Lundin Petroleum AB (a)	2,310		24,424
Modern Times Group (a)	727		30,336
Nordea Bank AB	31,942		331,703
OMX AB	974		13,547
Oriflame Cosmetics SA	400		11,530
Sandvik AB	2,958		137,763
SAS AB (a)	1,227		16,140
Scania AB Class B	1,444		52,256
Securitas AB Class B	4,232		70,316
Skandia Forsakrings AB	19,231		115,224
Skandinaviska Enskilda Bank Class A	7,753		159,559
Skanska AB Class B	5,698		86,784
SKF AB Class B	5,579		78,301
SSAB Svenskt AB Series A	850		30,921
SSAB Svenskt AB Series B	547		18,521
Svenska Cellulosa AB Class B	3,433		128,340
Svenska Handelsbanken	7,715		191,309
Swedish Match AB	5,142		60,517
Tele2 AB Class B	4,780		51,293
Telelogic AB (a)	3,317		8,517
TeliaSonera AB	27,977		150,370
Trelleborg AB Class B	1,248		24,899
Volvo AB Class A	1,460		66,986
Volvo AB Class B	3,770		177,716
Wihlborgs Fastigheter AB (a)	217		5,244
WM Data AB	5,077		16,232

			3,792,225

Switzerland (6.78%)
ABB Ltd. (a)	33,954		329,450
Adecco SA	1,977		91,173
Ciba Specialty Chemicals AG	1,006		65,074
Clariant AG (a)	3,593		52,909
Compagnie Financiere Richemont AG Class A	8,140		354,330
Credit Suisse Group	18,249		930,469
Geberit AG Reg	56		44,321
Givaudan	100		67,768
Holcim Ltd.	2,716		184,987
Kudelski SA Bearer (a)	497		14,769
Kuehne & Nagel International AG	82		23,120
Kuoni Reisen Holding (a)	38		15,732
Logitech International SA (a)	1,154		54,229
Lonza Group AG	532		32,550
Micronas Semiconductor (a)	502		16,618
Nestle SA	6,354		1,900,325
Nobel Biocare Holding AG	353		77,636
Novartis AG	36,868		1,937,320
Phonak Holding AG	687		29,591
PSP Swiss Property AG (a)	541		23,467
Rieter Holding AG	62		18,401
Roche Holding AG	10,812		1,623,384
Schindler Holding AG	75		29,736
Serono SA Class B	93		74,100
SGS SA	62		52,278
SIG Holding AG	93		20,312
Straumann Holding AG	119		27,575
Sulzer AG	51		27,013
Swiss Reinsurance	4,824		353,159
Swisscom AG	349		110,154
Syngenta AG (a)	1,616		201,070
Synthes Inc. (a)	675		75,819
The Swatch Group AG	1,009		30,522
The Swatch Group AG Class B	503		74,643
UBS AG	16,400		1,561,311
Unaxis Holding AG (a)	97		14,609
Valora Holding AG (a)	58		11,244
Zurich Financial Services (a)	2,204		469,632

			11,020,800

United Kingdom (23.49%)
3I Group PLC	8,495		123,868
Aegis Group PLC	15,694		32,942
Aggreko PLC	4,131		19,279
Alliance Unichem PLC	3,864		53,217
AMEC PLC	4,853		28,681
Amvescap PLC	12,875		97,909

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

United Kingdom (Cont.)
Anglo American PLC	21,768	$	741,172
ARM Holdings PLC	20,557		42,796
Arriva PLC	2,835		28,412
Associated British Ports Holdings PLC	4,120		41,609
AstraZeneca PLC	24,995		1,216,580
Aviva PLC	37,950		460,315
BAA PLC	17,807		192,094
BAE Systems PLC	51,751		339,901
Balfour Beatty PLC	6,390		39,139
Barclays PLC	101,642		1,068,487
Barratt Developments PLC	4,434		75,219
BBA Group PLC	6,899		38,992
Bellway PLC	1,627		31,604
BG Group PLC	53,948		533,237
BHP Billiton PLC	39,130		639,233
BOC Group PLC	8,371		172,540
Boots Group PLC	11,145		116,009
Bovis Homes Group PLC	1,750		23,997
BP PLC	325,789		3,469,619
Brambles Industries PLC	10,855		77,879
British Airways PLC (a)	7,855		45,139
British American Tobacco PLC	24,442		546,682
British Land Co. PLC	7,568		138,801
British Sky Broadcasting PLC	20,108		171,768
Brixton PLC	3,680		27,383
BT Group PLC	132,704		508,577
Bunzl PLC (d)	5,129		56,300
Burberry Group PLC	4,596		33,982
Cable & Wireless PLC	35,687		73,219
Cadbury Schweppes PLC	33,624		317,886
Capita Group PLC	10,131		72,641
Carnival PLC	2,548		144,667
Cattles PLC	4,859		27,525
Centrica PLC	55,023		241,164
Close Brothers Group PLC	1,821		28,432
Cobham PLC	16,230		47,331
Compass Group PLC	32,345		122,707
Cookson Group PLC (a)	2,731		19,969
Corus Group PLC	68,442		69,475
Daily Mail & General NV	4,634		62,826
De La Rue PLC	2,213		17,800
Diageo PLC	46,731		677,376
DSG International PLC	28,268		79,640
Electrocomponents PLC	6,845		33,093
EMAP PLC	3,934		58,412
EMI Group PLC	11,954		49,875
Enterprise Inns	5,892		95,087
First Choice Holidays PLC	7,204		30,986
FirstGroup PLC	5,780		39,952
FKI PLC	9,705		19,369
Friends Provident PLC	27,585		89,937
Gallaher Group PLC	9,785		147,728
GKN PLC	11,565		57,305
GlaxoSmithKline PLC	91,261		2,306,544
Great Portland Estates	2,365		17,476
Group 4 Securicor PLC	16,107		44,616
GUS PLC	13,968		248,010
Hammerson PLC	4,119		72,426
Hanson PLC	11,096		121,989
Hays PLC	25,150		54,305
HBOS PLC	59,939		1,024,032
Hilton Group PLC	23,591		147,538
HMV Group PLC	6,211		19,315
HSBC Holdings PLC	176,561		2,834,204
ICAP PLC	6,833		47,612
IMI PLC	5,051		43,712
Imperial Chemical Industries PLC	17,327		98,973
Imperial Tobacco Group PLC	11,537		344,784
Inchcape PLC	1,092		42,855
Intercontinental Hotels Group PLC	7,682		110,956
International Power PLC (a)	21,544		88,774
Intertek Group PLC	2,410		28,900
Invensys PLC (a)	76,382		24,312
iSOFT Group PLC	3,512		23,535
ITV PLC	60,438		116,982
Johnson Matthey PLC	3,433		83,399
Kelda Group PLC	5,624		74,893
Kesa Electricals PLC	7,775		34,780
Kingfisher PLC	35,221		143,768
Land Securities Group PLC	7,695		220,169
Legal and General Group PLC	106,738		224,044
Liberty International PLC	3,419		57,677
Lloyds TSB Group PLC	88,519		743,970
LogicaCMG PLC	17,725		54,054
London Stock Exchange PLC	3,964		42,284
Man Group PLC	4,422		145,314
Marconi Corp. PLC (a)	2,976		19,802
Marks & Spencer Group PLC	27,173		236,093
Meggitt PLC	7,332		45,665
MFI Furniture Group PLC	9,514		13,095
Misys PLC	7,550		31,013
Mitchells & Butler	7,660		55,088
National Express Group PLC	1,974		29,225
National Grid PLC	43,379		424,292
National Grid Transco PLC (a) (d)	45,526		8
Next PLC	3,925		103,658
Pearson PLC	11,968		141,563
Peninsular & Orient Steam Navigation Co.	10,985		88,073
Persimmon PLC	4,106		88,870
Pilkington PLC	15,883		40,717
Premier Farnell PLC	5,332		15,848
Provident Financial PLC	3,617		34,071
Prudential PLC	37,253		352,516
Punch Taverns PLC	3,930		57,406
Rank Group PLC	9,223		48,517

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Shares	Value
Common Stocks (Cont.)

United Kingdom (Cont.)
Reckitt Benckiser PLC	9,956	$	328,882
Reed Elsevier PLC	18,761		176,239
Rentokil Intial PLC	27,854		78,354
Resolution PLC	2,834		31,596
Reuters Group PLC	21,137		156,557
Rexam PLC	8,359		73,059
Rio Tinto PLC	16,893		771,660
Rolls Royce Group (a)	26,190		192,631
Royal & Sun Alliance Insurance Group PLC	43,432		93,966
Royal Bank of Scotland Group	49,160		1,484,375
Royal Dutch Shell PLC Class A	63,504		1,934,970
Royal Dutch Shell PLC Class B	43,302		1,384,230
Sabmiller PLC	13,261		242,073
Sage Group PLC	19,770		87,757
Sainsbury	20,353		110,392
Schroders PLC	1,750		28,603
Scottish & Newcastle PLC	11,093		92,851
Scottish & Southern Energy PLC	14,020		244,591
Scottish Power PLC	27,632		258,385
Serco Group PLC	6,684		36,138
Severn Trent PLC	5,272		98,324
Signet Group PLC	26,676		49,338
Slough Estates PLC	5,900		60,753
Smith & Nephew PLC	13,652		125,780
Smiths Group PLC	8,288		149,154
SSL International PLC	2,302		12,100
Stagecoach Group	11,851		23,550
Tate & Lyle PLC	6,937		67,195
Taylor Woodrow PLC	8,540		55,907
Tesco PLC	124,118		707,902
The Berkeley Group Holdings PLC (a)	1,551		29,647
The Davis Service Group PLC	2,333		19,447
TI Automotive Ltd. (a) (d)	7,024		—
Tomkins PLC	11,645		60,056
Travis Perkins PLC	1,646		39,647
Trinity Mirror PLC	4,523		44,590
Unilever PLC	44,200		438,406
United Business Media PLC	4,343		47,597
United Utilities PLC	13,187		152,238
Vodafone Group PLC	988,499		2,134,394
Whitbread PLC	3,878		63,318
William Hill PLC	5,644		52,000
Wimpey (George) PLC	5,627		46,470
Wolseley PLC	9,750		205,492
WPP Group PLC	19,719		213,398
Yell Group PLC	10,366		95,683

			38,169,181

Total Common Stocks (cost $128,626,666)			158,746,022

Preferred Stocks (0.20%)

Germany (0.20%)
Fresenius Medical Care PFD	385		35,940
Henkel KGaA	879		88,455
Porsche AG PFD	117		84,075
ProSiebenSat.1 Media AG	1,119		21,660
RWE AG-Non Vtg PFD	640		41,249
Volkswagen AG PFD	1,577		60,678

			332,057

Total Preferred Stocks (cost $232,522)			332,057

Exchange-Traded Funds (0.10%)
IShares MSCI EAFE Index Fund	2,751		163,574

Total Exchange-Traded Funds (cost $125,932)			163,574

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Repurchase Agreement (3.06%)
Investors Bank & Trust Repurchase Agreement, (e) 3.020%, to be repurchased at $4,975,115 on 01/03/2006	$	4,973,447	$	4,973,447

Total Repurchase Agreement (cost $4,973,447)				4,973,447

TOTAL INVESTMENTS (101.06%) (cost $133,958,567)				164,215,100

LIABILITIES, NET OF CASH (f) AND OTHER ASSETS (-1.06%)				(1,725,762	)


NET ASSETS (100.0%)			$	162,489,338

(a)	Non-income producing security.

(b)	These shares may only be resold to qualified institutional buyers in transactions exempt from registration.

(c)	Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2005, the value of this security amounted to $57,889 or 0.03% of net assets.

(d)	Security valued at fair value.

(e)	Repurchase agreement is fully collateralized by Government Agency Securities with a coupon rate of 4.02%, a maturity date of April 1, 2034, and a market value of $5,222,119 as of December 31, 2005.

(f)	At December 31, 2005, cash has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

Approximately 30.68% of the investment securities are denominated in the Euro, followed by 24.83% in the Japanese Yen, 23.24% in the British Pound, 6.71% in the Swiss Franc, 5.06% in the Australian Dollar, 3.13% in the United States Dollar and 2.31% in the Swedish Krone. The remaining investment securities representing 4.04% of total investments are denominated in five currencies, each of which represents less than 1.60% of total investments.

INTERNATIONAL INDEX FUND SECTOR CLASSIFICATIONS


Sector	Value			%
Financials	$	45,282,537		27.87	%
Consumer Discretionary		19,586,866		12.05
Industrials		17,027,025		10.48
Energy		12,844,594		7.90
Materials		12,750,734		7.85
Health Care		12,536,410		7.72
Consumer Staples		12,370,745		7.61
Information Technology		9,848,569		6.06
Telecommunication Services		8,981,959		5.53
Utilities		7,848,640		4.83

Total Stocks		159,078,079		97.90
Exchange-Traded Funds		163,574		0.10
Repurchase Agreement		4,973,447		3.06
Liabilities, Net of Cash and Other Assets		(1,725,762	)	(1.06	)

Net Assets	$	162,489,338		100.00	%

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Shares	Value
Registered Investment Companies (99.74%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (38.57%) (a)	6,765,306	$	70,223,877
State Farm Mutual Fund Trust Equity Fund Institutional Shares (61.17%) (a)	13,920,173		111,361,382

Total Registered Investment Companies (cost $ 179,749,961)			181,585,259

TOTAL INVESTMENTS (99.74%) (cost $ 179,749,961)			181,585,259
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.26%)			479,066

NET ASSETS (100.00%)		$	182,064,325

(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

December 31, 2005


	Principal amount		Value
Corporate Bonds (41.94%)

Aerospace/Defense (0.34%)
General Dynamics Corp.
4.250%, 05/15/2013	$	1,000,000	$	956,535

Agriculture, Foods, & Beverage (3.01%)
Coca-Cola Enterprises Inc.
2.500%, 09/15/2006		1,000,000		982,706
Bottling Group LLC
2.450%, 10/16/2006		500,000		490,374
General Mills Inc.
2.625%, 10/24/2006		500,000		489,618
Kellogg Co.
2.875%, 06/01/2008		500,000		476,384
Sara Lee Corp.
2.750%, 06/15/2008		1,000,000		945,770
Kraft Foods Inc.
4.125%, 11/12/2009		1,000,000		967,658
WM Wrigley Jr. Co.
4.300%, 07/15/2010		1,000,000		981,447
ConAgra Inc.
7.875%, 09/15/2010		500,000		550,871
Kellogg Co.
6.600%, 04/01/2011		500,000		535,295
General Mills Inc.
6.000%, 02/15/2012		500,000		523,273
Bottling Group LLC
4.625%, 11/15/2012		500,000		492,969
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		492,786
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		493,363

				8,422,514

Automotive (2.03%)
Daimler Chrysler North America
6.400%, 05/15/2006		500,000		502,479
General Motors Acceptance Corp.
6.125%, 02/01/2007		1,000,000		954,647
6.150%, 04/05/2007		500,000		472,275
Ford Motor Credit Co.
4.950%, 01/15/2008		1,000,000		895,994
Toyota Motor Credit Corp.
2.875%, 08/01/2008		1,000,000		954,432
Ford Motor Credit Co.
5.625%, 10/01/2008		500,000		438,726
Goodyear Tire & Rubber Co.
7.857%, 08/15/2011		500,000		487,500
General Motors Acceptance Corp.
6.875%, 09/15/2011		500,000		455,973
Daimler Chrysler North America
6.500%, 11/15/2013		500,000		523,524

				5,685,550

Banks (2.44%)
JPMorgan Chase & Co.
3.625%, 05/01/2008		500,000		486,320
Bank One Corp.
2.625%, 06/30/2008		1,000,000		947,574
Bank of America Corp.
3.250%, 08/15/2008		1,000,000		960,930
Wells Fargo & Co.
4.200%, 01/15/2010		1,000,000		973,531
Bank of America Corp.
4.250%, 10/01/2010		1,000,000		972,404
Bank of New York
4.950%, 01/14/2011		1,000,000		998,499
US Bank NA
4.950%, 10/30/2014		500,000		494,746
Fifth Third Bank
4.750%, 02/01/2015		500,000		485,378
Suntrust Banks Inc.
5.000%, 09/01/2015		500,000		494,277

				6,813,659

Building Materials & Construction (1.41%)
Masco Corp.
6.750%, 03/15/2006		500,000		501,765
Cooper Industries Ltd. (a)
5.250%, 11/15/2012		1,000,000		1,005,774
Hanson Australia Funding
5.250%, 03/15/2013		500,000		495,653
Leggett & Platt Inc.
4.700%, 04/01/2013		500,000		487,124
CRH America Inc.
5.300%, 10/15/2013		1,000,000		1,000,308
Masco Corp.
4.800%, 06/15/2015		500,000		466,083

				3,956,707

Chemicals (1.11%)
Air Products & Chemicals Inc.
4.125%, 12/01/2010		1,000,000		967,799
E.I. du Pont de Nemours and Co.
4.125%, 03/06/2013		500,000		471,995
4.875%, 04/30/2014		500,000		491,418
PPG Industries Inc.
7.400%, 08/15/2019		500,000		574,484
The Dow Chemical Co.
7.375%, 11/01/2029		500,000		602,410

				3,108,106

Commercial Service/Supply (1.03%)
RR Donnelley & Sons Co.
4.950%, 05/15/2010		500,000		487,543
First Data Corp.
4.500%, 06/15/2010		500,000		482,840

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Corporate Bonds (Cont.)
Commercial Service/Supply (Cont.)
Pitney Bowes Inc.
4.625%, 10/01/2012	$	500,000	$	489,486
RR Donnelley & Sons Co.
4.950%, 04/01/2014		1,000,000		933,667
Pitney Bowes Inc.
4.875%, 08/15/2014		500,000		492,211

				2,885,747

Computers (0.18%)
International Business Machines Corp.
4.250%, 09/15/2009		500,000		490,142

Consumer & Marketing (1.96%)
The Gillette Co.
2.500%, 06/01/2008		500,000		474,028
The Procter & Gamble Co.
3.500%, 12/15/2008		500,000		482,821
Clorox Co.
4.200%, 01/15/2010		500,000		484,501
Newell Rubbermaid Inc.
4.000%, 05/01/2010		500,000		473,119
Reed Elsevier Capital
4.625%, 06/15/2012		500,000		484,566
Avery Dennison Corp.
4.875%, 01/15/2013		500,000		493,088
The Procter & Gamble Co.
4.950%, 08/15/2014		1,000,000		1,002,295
Clorox Co.
5.000%, 01/15/2015		500,000		492,505
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,102,556

				5,489,479

Electronic/Electrical Mfg. (1.01%)
Raytheon Co.
6.550%, 03/15/2010		500,000		526,862
Emerson Electric Co.
7.125%, 08/15/2010		315,000		344,271
General Electric Co.
5.000%, 02/01/2013		500,000		499,740
Emerson Electric Co.
4.500%, 05/01/2013		500,000		485,690
4.750%, 10/15/2015		1,000,000		978,417

				2,834,980

Financial Services (3.71%)
Caterpillar Financial Services Corp.
5.950%, 05/01/2006		500,000		502,001
2.700%, 07/15/2008		500,000		475,014
4.500%, 06/15/2009		500,000		493,044
Household Finance Corp.
4.125%, 11/16/2009		1,000,000		965,489
Citigroup Inc.
4.125%, 02/22/2010		1,000,000		971,505
SLM Corp.
4.500%, 07/26/2010		1,000,000		979,020
John Deere Capital Corp.
4.875%, 10/15/2010		1,000,000		995,127
General Electric Capital Corp.
4.875%, 10/21/2010		1,000,000		997,784
American Express Credit
5.000%, 12/02/2010		1,000,000		1,000,687
Household Finance Corp.
5.250%, 01/14/2011		500,000		500,256
Citigroup Inc.
5.125%, 05/05/2014		500,000		500,085
Goldman Sachs Group Inc.
5.500%, 11/15/2014		500,000		507,094
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		493,124
Verizon Network Funding Corp.
4.900%, 09/15/2015		500,000		484,002
Citigroup Inc.
5.300%, 01/07/2016		500,000		504,094

				10,368,326

Forest Products & Paper (0.77%)
International Paper Co.
6.750%, 09/01/2011		500,000		531,891
MeadWestvaco Corp.
6.850%, 04/01/2012		500,000		531,784
International Paper Co.
5.250%, 04/01/2016		500,000		475,240
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		624,015

				2,162,930

Health Care (5.26%)
Abbott Laboratories
6.400%, 12/01/2006		500,000		506,532
Bristol-Myers Squibb Co.
4.000%, 08/15/2008		1,000,000		979,647
Abbott Laboratories
3.500%, 02/17/2009		500,000		481,948
Hillenbrand Industries
4.500%, 06/15/2009		1,000,000		979,876
Amgen Inc.
4.000%, 11/18/2009		500,000		484,856
Genentech Inc.
4.400%, 07/15/2010		1,000,000		982,287
Medtronic Inc. (a)
4.375%, 09/15/2010		500,000		489,898
Merck & Co. Inc.
4.375%, 02/15/2013		500,000		474,564

See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Corporate Bonds (Cont.)

Health Care (Cont.)
Wyeth
5.500%, 03/15/2013	$	500,000	$	506,884
Becton Dickinson & Co.
4.550%, 04/15/2013		500,000		488,502
Johnson & Johnson
3.800%, 05/15/2013		1,000,000		949,806
Schering-Plough Corp.
5.550%, 12/01/2013		1,000,000		1,018,765
Pfizer Inc.
4.500%, 02/15/2014		1,000,000		978,679
GlaxoSmithKline
4.375%, 04/15/2014		1,000,000		958,644
AstraZeneca PLC SP
5.400%, 06/01/2014		1,000,000		1,030,865
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		990,641
Amgen Inc.
4.850%, 11/18/2014		500,000		492,191
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		478,182
Baxter International Inc.
4.625%, 03/15/2015		1,000,000		954,805
Medtronic Inc. (a)
4.750%, 09/15/2015		500,000		485,965

				14,713,537

Machinery & Manufacturing (2.42%)
United Technologies Corp.
4.375%, 05/01/2010		500,000		491,955
Deere & Co.
7.850%, 05/15/2010		500,000		557,658
Bemis Co. Inc.
4.875%, 04/01/2012		500,000		489,963
Goodrich Corp.
7.625%, 12/15/2012		500,000		567,121
Parker Hannifin Corp.
4.875%, 02/15/2013		500,000		494,936
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		723,529
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		990,218
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		971,970
Thermo Electron Corp.
5.000%, 06/01/2015		500,000		487,172
Dover Corp.
4.875%, 10/15/2015		1,000,000		982,011

				6,756,533

Media & Broadcasting (1.02%)
The Walt Disney Co.
5.500%, 12/29/2006		500,000		502,281
Knight-Ridder Inc.
9.875%, 04/15/2009		500,000		542,409
New York Times Co.
4.500%, 03/15/2010		500,000		484,324
Knight-Ridder Inc.
4.625%, 11/01/2014		1,000,000		826,988
New York Times Co.
5.000%, 03/15/2015		500,000		483,857

				2,839,859

Mining & Metals (1.68%)
Rio Tinto Finance USA Ltd.
2.625%, 09/30/2008		1,000,000		941,948
Alcoa Inc.
7.375%, 08/01/2010		500,000		547,976
BHP Billiton Finance
5.000%, 12/15/2010		500,000		500,061
Alcoa Inc.
6.500%, 06/01/2011		250,000		266,877
BHP Billiton Finance
4.800%, 04/15/2013		500,000		493,092
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		967,956
Alcan Inc.
5.000%, 06/01/2015		1,000,000		970,034

				4,687,944

Oil & Gas (1.10%)
BP Capital Markets PLC
2.625%, 03/15/2007		1,000,000		974,867
ChevronTexaco Capital Co.
3.500%, 09/17/2007		500,000		489,814
Phillips Petroleum Co.
8.750%, 05/25/2010		500,000		575,151
Marathon Oil Corp.
6.125%, 03/15/2012		500,000		530,188
National Fuel Gas Co.
5.250%, 03/01/2013		500,000		497,412

				3,067,432

Retailers (3.31%)
Safeway Inc.
4.125%, 11/01/2008		1,000,000		968,320
May Department Stores Co.
4.800%, 07/15/2009		1,000,000		986,054
CVS Corp.
4.000%, 09/15/2009		1,000,000		961,780
Home Depot Inc.
3.750%, 09/15/2009		1,000,000		964,869
Wal-Mart Stores Inc.
4.125%, 07/01/2010		1,000,000		969,306

See accompanying notes to financial statements.

100

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Corporate Bonds (Cont.)

Retailers (Cont.)
Home Depot Inc.
4.625%, 08/15/2010	$	500,000	$	496,801
Safeway Inc.
4.950%, 08/16/2010		500,000		486,939
Albertson’s Inc.
7.500%, 02/15/2011		500,000		510,345
Wal-Mart Stores Inc.
4.550%, 05/01/2013		1,000,000		974,809
McDonald’s Corp.
4.125%, 06/01/2013		1,000,000		946,797
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		1,000,834

				9,266,854

Telecom & Telecom Equipment (1.86%)
Cingular Wireless
5.625%, 12/15/2006		500,000		503,611
GTE North Inc.
5.650%, 11/15/2008		500,000		498,697
Vodafone Group PLC
7.750%, 02/15/2010		500,000		547,633
Deutsche Telekom International Financial
8.500%, 06/15/2010		500,000		566,885
Telstra Corp. Ltd.
6.375%, 04/01/2012		500,000		529,656
Alltel Corp.
7.000%, 07/01/2012		500,000		549,722
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		994,674
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		1,006,162

				5,197,040

Utilities & Energy (6.29%)
Alabama Power Co.
7.125%, 10/01/2007		300,000		311,168
3.125%, 05/01/2008		500,000		480,540
Pacificorp
4.300%, 09/15/2008		1,000,000		984,544
Duke Energy Corp.
4.500%, 04/01/2010		500,000		490,204
Progress Energy Florida
4.500%, 06/01/2010		500,000		489,681
Commonwealth Edison
4.740%, 08/15/2010		500,000		488,711
Puget Sound Energy Inc.
7.690%, 02/01/2011		500,000		556,252
Reliant Energy
7.750%, 02/15/2011		500,000		552,839
Oncor Electric Delivery
6.375%, 05/01/2012		500,000		527,248
Tampa Electric Co.
6.875%, 06/15/2012		500,000		546,888
Northern States Power Co.
8.000%, 08/28/2012		500,000		584,655
Southern California Gas
4.800%, 10/01/2012		500,000		494,414
Georgia Power
5.125%, 11/15/2012		200,000		201,471
MidAmerican Energy Co.
5.125%, 01/15/2013		1,000,000		1,001,678
Florida Power Corp.
4.800%, 03/01/2013		500,000		489,720
Peoples Gas Lt.
4.625%, 05/01/2013		500,000		491,389
Wisconsin Electric Power
4.500%, 05/15/2013		1,000,000		966,717
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		498,559
PSI Energy
5.000%, 09/15/2013		1,000,000		982,652
Boston Edison
4.875%, 04/15/2014		1,000,000		988,470
Union Elec Co.
5.500%, 05/15/2014		500,000		510,847
Atmos Energy Corp.
4.950%, 10/15/2014		1,000,000		963,645
Union Elec Co.
4.750%, 04/01/2015		500,000		483,763
Commonwealth Edison
4.700%, 04/15/2015		500,000		478,340
Southwestern Electric Power
5.375%, 04/15/2015		500,000		499,198
San Diego Gas
5.300%, 11/15/2015		500,000		505,863
Consolidated Edison Co. NY
5.375%, 12/15/2015		1,000,000		1,014,507
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		495,690
Southern California Gas
5.450%, 04/15/2018		500,000		511,378

				17,591,031

Total Corporate Bonds (cost $118,201,600)				117,294,905

See accompanying notes to financial statements.

101

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Taxable Municipal Bonds (0.68%)
Illinois State
3.850%, 06/01/2013	$	1,000,000	$	932,450
New Jersey State Turnpike Authority
Transportation
2.840%, 01/01/2008		1,000,000		963,240

Total Taxable Municipal Bonds (cost $ 1,998,449)				1,895,690

Foreign Government Bonds (0.18%)
Province of Ontario
5.500%, 10/01/2008		500,000		509,678

Total Foreign Government Bonds (cost $ 484,453)				509,678

Government Agency Securities (32.46%) (b)

Agency Notes & Bonds (5.71%)
Federal Home Loan Mortgage Corp.
6.625%, 09/15/2009		1,000,000		1,062,442
4.500%, 07/15/2013		1,500,000		1,472,308
5.200%, 03/05/2019		2,000,000		1,951,826
5.300%, 05/12/2020		3,000,000		2,923,122
Federal National Mortgage Association
5.500%, 02/15/2006		500,000		500,466
6.625%, 10/15/2007		500,000		515,817
3.250%, 01/15/2008		3,000,000		2,914,329
3.250%, 08/15/2008		1,500,000		1,446,177
6.625%, 11/15/2010		1,000,000		1,080,659
4.375%, 09/15/2012		1,500,000		1,465,670
7.125%, 01/15/2030		500,000		652,695

				15,985,511

Mortgage-Backed Securities (26.75%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018		744,591		738,232
5.000%, 09/01/2018		694,453		688,754
5.000%, 09/01/2018		639,463		634,002
5.500%, 11/01/2018		637,075		641,110
4.500%, 11/01/2018		1,445,958		1,410,270
5.000%, 01/01/2019		697,595		691,016
5.000%, 04/01/2019		751,812		744,722
4.500%, 05/01/2019		793,469		773,300
4.000%, 05/01/2019		845,092		806,385
5.500%, 06/01/2019		1,165,111		1,172,353
5.000%, 01/01/2020		864,861		856,705
5.500%, 04/01/2020		899,954		905,413
5.500%, 07/01/2020		1,866,149		1,877,749
6.000%, 11/01/2028		95,592		96,860
6.500%, 06/01/2029		165,488		170,227
7.500%, 12/01/2030		16,372		17,185
7.000%, 07/01/2031		15,893		16,558
6.500%, 09/01/2031		30,867		31,697
6.000%, 11/01/2032		408,567		413,355
6.000%, 12/01/2032		204,597		206,995
5.500%, 05/01/2033		2,326,661		2,311,003
5.500%, 07/01/2033		1,528,545		1,518,257
5.000%, 08/01/2033		1,547,770		1,503,832
5.500%, 03/01/2034		912,160		904,680
5.000%, 04/01/2034		1,318,599		1,279,161
6.000%, 07/01/2034		2,060,645		2,081,416
5.000%, 05/01/2035		1,923,216		1,861,914
5.500%, 05/01/2035		1,903,640		1,886,587
4.500%, 08/01/2035		991,607		932,937
Federal National Mortgage Association
6.000%, 09/01/2013		344,851		352,381
5.500%, 12/01/2016		175,038		176,322
5.500%, 01/01/2017		91,010		91,677
5.500%, 01/01/2017		660,193		665,033
6.500%, 01/01/2017		84,641		87,074
5.500%, 02/01/2017		589,680		594,003
5.000%, 03/01/2017		703,612		697,206
6.000%, 04/01/2017		106,830		109,203
5.500%, 01/01/2018		431,782		434,766
5.000%, 02/01/2018		786,072		778,916
5.000%, 05/01/2018		590,466		585,526
5.000%, 05/01/2018		1,153,228		1,142,546
5.000%, 05/01/2018		1,163,353		1,152,578
4.500%, 05/01/2018		1,393,746		1,359,344
4.500%, 05/01/2018		1,402,851		1,368,225
4.500%, 03/01/2019		803,910		783,932
5.500%, 10/01/2019		1,643,074		1,653,834
5.000%, 11/01/2019		1,668,238		1,651,264
4.500%, 12/01/2019		874,126		851,896
5.000%, 06/01/2020		1,430,219		1,414,997
4.500%, 09/01/2020		1,472,792		1,433,184
7.500%, 09/01/2029		107,733		112,983
8.000%, 03/01/2030		17,565		18,763
6.500%, 05/01/2030		139,739		143,906
6.500%, 08/01/2031		39,132		40,225
7.000%, 08/01/2031		31,932		33,334
6.500%, 10/01/2031		96,117		98,802
6.000%, 11/01/2031		106,393		107,647
7.000%, 01/01/2032		115,283		120,344
6.000%, 03/01/2032		126,856		128,351
6.500%, 03/01/2032		55,106		56,644
6.500%, 04/01/2032		406,333		417,601
7.000%, 04/01/2032		128,867		134,481
6.500%, 05/01/2032		825,037		851,269
6.000%, 05/01/2032		97,593		98,687
6.500%, 06/01/2032		130,250		133,862
7.000%, 06/01/2032		200,941		209,695
7.000%, 06/01/2032		205,461		214,411
6.500%, 07/01/2032		278,460		286,182
6.000%, 08/01/2032		435,915		440,802

See accompanying notes to financial statements.

102

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


	Principal amount		Value
Government Agency Securities

Mortgage-Backed Securities (Cont.)
6.500%, 10/01/2032	$	564,333	$	579,983
5.500%, 10/01/2032		1,460,850		1,450,564
6.000%, 11/01/2032		522,865		528,727
6.000%, 01/01/2033		319,512		323,094
5.500%, 03/01/2033		501,859		498,179
5.500%, 03/01/2033		1,172,407		1,163,809
6.000%, 04/01/2033		727,627		735,224
5.000%, 05/01/2033		728,996		708,891
5.000%, 05/01/2033		1,050,992		1,022,006
5.000%, 08/01/2033		1,425,536		1,386,221
5.500%, 10/01/2033		1,093,994		1,085,972
5.000%, 03/01/2034		2,306,024		2,242,426
5.500%, 05/01/2034		1,604,742		1,590,564
6.000%, 07/01/2034		973,775		982,982
5.500%, 12/01/2034		2,260,589		2,240,616
5.500%, 04/01/2035		1,922,361		1,903,939
5.500%, 07/01/2035		2,393,312		2,370,377
5.000%, 10/01/2035		1,483,235		1,437,193
Government National Mortgage Association
6.000%, 05/15/2017		302,050		310,257
6.500%, 06/15/2028		168,923		176,887
6.000%, 11/15/2028		194,566		199,546
6.500%, 03/15/2029		190,096		198,923
7.000%, 06/15/2029		138,466		145,446
7.500%, 08/20/2030		46,156		48,319
6.500%, 11/15/2031		13,345		13,949
6.000%, 01/15/2032		110,279		113,052
5.500%, 10/15/2033		1,166,000		1,175,165
5.000%, 11/20/2033		1,442,672		1,419,928
6.000%, 12/20/2033		545,610		558,107

				74,814,917

Total Government Agency Securities (cost $ 92,124,273)				90,800,428

U.S. Treasury Obligations (21.55%)
U.S. Treasury Bonds
7.250%, 05/15/2016		3,000,000		3,683,673
7.500%, 11/15/2016		1,500,000		1,884,141
8.125%, 08/15/2019		750,000		1,017,481
6.250%, 08/15/2023		3,000,000		3,582,423
6.875%, 08/15/2025		1,000,000		1,287,812

U.S. Treasury Notes
4.625%, 05/15/2006		3,000,000		3,003,048
6.500%, 10/15/2006		3,000,000		3,045,585
4.375%, 05/15/2007		3,000,000		2,997,540
6.125%, 08/15/2007		1,750,000		1,796,347
3.000%, 11/15/2007		2,000,000		1,950,156
5.500%, 02/15/2008		2,000,000		2,044,766

	Shares or principal amount		Value
5.625%, 05/15/2008	$	3,000,000	$	3,081,798
4.750%, 11/15/2008		3,000,000		3,028,827
6.000%, 08/15/2009		4,600,000		4,847,968
6.500%, 02/15/2010		2,000,000		2,157,422
5.750%, 08/15/2010		4,000,000		4,231,720
5.000%, 08/15/2011		4,000,000		4,128,592
4.375%, 08/15/2012		4,000,000		3,999,532
4.000%, 11/15/2012		1,500,000		1,467,715
4.250%, 08/15/2013		4,000,000		3,964,220
4.750%, 05/15/2014		3,000,000		3,073,008

Total U.S. Treasury Obligations (cost $ 60,560,841)				60,273,774

Short-term Investments (2.47%)
JPMorgan Treasury Plus Money Market Fund		6,902,304		6,902,304

Total Short-term Investments (cost $ 6,902,304)				6,902,304

TOTAL INVESTMENTS (99.28%) (cost $ 280,271,920)				277,676,779

OTHER ASSETS, NET OF LIABILITIES (0.72%)				2,021,802

NET ASSETS (100.00%)			$	279,698,581

(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 December 31, 2005, the value of these securities amounted to $1,981,637 or 0.71% 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.

103

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (97.45%)

California (9.05%)
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	$	1,612,215
State of California, Economic Recovery Bonds, Series A	5.000	%	07/01/2017	Aa3		900,000		953,046
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2017	Aaa		1,395,000		1,506,028
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2018	Aaa		1,500,000		1,614,225
State of California, General Obligation Bonds	5.250	%	02/01/2019	A2		2,200,000		2,352,504
State of California, Various Purpose General Obligation Bonds	5.000	%	02/01/2019	A2		650,000		677,242
Metropolitan Water District of Southern California, Water Revenue Refunding Bonds, 1996 Series B	4.750	%	07/01/2021	Aaa		230,000		230,968
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		156,215
State of California, Various Purpose General Obligation Bonds	5.000	%	11/01/2022	A2		600,000		626,802

								9,729,245

Colorado (2.44%)
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		461,811
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		1,458,969
City of Colorado Springs, Colorado, Utilities System Subordinate Lien Improvement Revenue Bonds, Series 2005B	4.750	%	11/15/2022	Aaa		675,000		701,926

								2,622,706

Connecticut (2.01%)
Town of New Canaan, Connecticut	4.500	%	04/01/2020	Aaa		1,500,000		1,513,155
Town of Clinton, Connecticut, General Obligation Bonds (Prerefunded to 01-15-2012 @100) (b)	5.000	%	01/15/2021	Aaa		600,000		646,494

								2,159,649

Delaware (1.62%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005	5.000	%	01/01/2021	Aaa		1,625,000		1,736,556

Georgia (3.02%)
Dekalb County, Georgia, Water & Sewage Revenue Bonds, Series 2000	5.500	%	10/01/2014	Aa2		2,000,000		2,178,240
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005	5.000	%	07/01/2023	Aaa		1,000,000		1,062,070

								3,240,310

Idaho (1.48%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties, Idaho General Obligation School Bonds, Series 2002	5.125	%	07/30/2019	AA-		500,000		537,280
Nampa School District Number 131, Canyon County, Idaho, General Obligation School Bonds, Series 2003	4.875	%	08/15/2020	A		1,000,000		1,054,200

								1,591,480

Illinois (1.02%)
State of Illinois, General Obligation Bonds, First Series of December 2000	5.750	%	12/01/2017	Aaa		1,000,000		1,093,030

See accompanying notes to financial statements.

104

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


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

Indiana (1.38%)
Highland School Building Corporation, Lake County, Indiana, First Mortgage Refunding Bonds, Series 2003	5.000	%	01/10/2020	Aaa	$	1,410,000	$	1,483,884

Iowa (0.48%)
Des Moines, Iowa Urban Renewal Series D	5.000	%	06/01/2022	Aa2		500,000		519,380

Kansas (7.51%)
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		2,523,537
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		2,115,300
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 1999	4.000	%	10/01/2017	Aaa		850,000		848,376
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2019	Aaa		730,000		773,450
Kansas Development Finance Authority, Kansas Water Pollution Control Revolving Fund Revenue Bonds, Series 2001	4.800	%	11/01/2020	Aaa		1,000,000		1,037,970
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2020	Aaa		235,000		248,498
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2021	Aaa		245,000		258,397
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2022	Aaa		250,000		262,983

								8,068,511

Louisiana (0.99%)
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		1,067,860

Maryland (3.19%)
Baltimore County Maryland, General Obligation Bonds, Consolidated Public
Improvement, Series 2002	5.000	%	09/01/2014	Aaa		1,250,000		1,345,025
State of Maryland, General Obligation Bonds, State and Local Facilities Loan of 2005, Second Series	4.250	%	08/01/2020	Aaa		1,000,000		1,014,920
Washington Suburban Sanitary District, Maryland	5.000	%	06/01/2023	Aaa		1,000,000		1,067,200

								3,427,145

Massachusetts (2.04%)
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		1,103,480
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		1,092,540

								2,196,020

Michigan (4.56%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2000 School Building and Site Bonds (General Obligation—Unlimited Tax) (Prerefunded to 05-01-2010 @ 100) (b)	5.250	%	05/01/2019	Aa2		2,575,000		2,760,580
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		2,140,545

								4,901,125

See accompanying notes to financial statements.

105

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


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

Minnesota (2.53%)
Independent School District Number 181 (Brainerd), Minnesota, General Obligation School Building Bonds, Series 2002A	5.375	%	02/01/2019	Aaa	$	2,500,000	$	2,713,400

Mississippi (2.42%)
State of Mississippi, General Obligation Bonds, Capital Improvements Issue, Series 2000 (Prerefunded to 11-01-2010 @ 100) (b)	5.500	%	11/01/2015	Aaa		2,400,000		2,603,400

Missouri (6.16%)
The School District of North Kansas City, Missouri, General Obligation School Building Bonds (Missouri Direct Deposit Program) Series 2002 (Prerefunded to 03-01-2012 @ 100) (b)	5.000	%	03/01/2016	AA+		1,250,000		1,348,663
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B	5.625	%	07/01/2016	Aaa		1,155,000		1,255,473
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		1,380,519
Missouri Highways and Transportation Commission, State Road Bonds, Series A 2000	5.000	%	02/01/2017	Aaa		2,500,000		2,633,600

								6,618,255

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		329,997

Nebraska (1.58%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and Refunding Bonds, Series 2002	5.000	%	09/01/2015	Aa2		1,595,000		1,700,749

New Hampshire (3.03%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2021	Aaa		1,510,000		1,594,650
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2023	Aaa		1,580,000		1,664,230

								3,258,880

New Jersey (1.49%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F	5.000	%	12/01/2018	Aaa		1,500,000		1,601,805

New York (2.28%)
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		1,379,248
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B	5.000	%	04/01/2021	Aaa		1,000,000		1,067,460

								2,446,708

North Carolina (2.00%)
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		1,080,520
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2002B	5.000	%	07/01/2021	Aaa		1,000,000		1,062,520

								2,143,040

See accompanying notes to financial statements.

106

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


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

Ohio (7.13%)
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	$	2,636,400
City of Cleveland, Ohio, Waterworks Refunding Revenue Bonds, Series J, 2001	5.375	%	01/01/2016	Aaa		1,000,000		1,084,210
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		2,608,920
City of Cincinnati, Ohio, Water System Revenue Bonds, Series 2003	5.000	%	12/01/2020	Aa2		1,270,000		1,335,557

								7,665,087

Oklahoma (1.01%)
State of Oklahoma, General Obligation Bonds, Oklahoma Building Bonds Commission	5.000	%	07/15/2018	Aaa		1,000,000		1,086,130

Oregon (5.27%)
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		1,094,130
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		1,655,175
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		2,145,460
Emerald People’s Utility District, Lane County, Oregon	5.250	%	11/01/2021	Aaa		705,000		763,156

								5,657,921

Rhode Island (0.97%)
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2004 A (Pooled Loan Issue)	4.750	%	10/01/2022	Aaa		1,000,000		1,043,540

Tennessee (4.95%)
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		2,635,517
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		2,688,125

								5,323,642

Texas (9.87%)
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		2,611,080
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		2,604,168
Plano Independent School District, (Collin County, Texas), School Building Unlimited Tax Bonds, Series 2000 (Prerefunded to 8-15-2010 @ 100) (b)	5.125	%	02/15/2016	Aaa		2,500,000		2,674,825
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		2,718,275

								10,608,348

Utah (1.12%)
West Jordan Utah, General Obligation Bonds Series 2004	5.250	%	04/01/2022	Aaa		680,000		731,211
Payson City, Utah, Water Revenue and Refunding Bonds, Series 2005	5.000	%	10/15/2022	Aaa		440,000		467,583

								1,198,794

See accompanying notes to financial statements.

107

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


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

Virginia (2.02%)
Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 1999A (Prerefunded 08-01-2009 @ 101) (b)	5.000	%	08/01/2016	Aaa	$	1,000,000	$	1,063,970
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997	5.000	%	04/01/2021	Aaa		1,000,000		1,109,590

								2,173,560

Wisconsin (2.52%)
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		2,711,600

Total Long-term Municipal Bonds (cost $ 99,678,593)								104,721,757

Short-term Investments (1.49%)
JPMorgan Tax Free Money Market Fund						1,599,348		1,599,348

Total Short-term Investments (cost $ 1,599,348)								1,599,348

TOTAL INVESTMENTS (98.94%) (cost $ 101,277,941)								106,321,105

OTHER ASSETS, NET OF LIABILITIES (1.06%)								1,141,913

NET ASSETS (100.00%)							$	107,463,018

(a)	Ratings are not audited and 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 45.46% Advanced Refund Bonds, 28.48% General Obligation Bonds, and 26.06% Municipal Revenue Bonds.

See accompanying notes to financial statements.

108

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

December 31, 2005


	Principal amount		Value
Short-term Investments (99.66%)

Automotive (19.79%)
Toyota Motor Credit Corp.
4.030%, 01/03/2006	$	5,300,000	$	5,298,813
American Honda Finance Corp.
4.230%, 01/09/2006		5,200,000		5,195,112
FCAR Owner Trust Series I
4.300%, 02/06/2006		5,196,000		5,173,657
New Center Asset Trust
4.130%, 01/06/2006		5,000,000		4,997,132

				20,664,714

Commercial Service/Supply (4.30%)
Pitney Bowes Inc. (a)
4.180%, 01/09/2006		4,500,000		4,495,820

Consumer & Marketing (2.86%)
The Procter & Gamble Co. (a)
4.030%, 01/25/2006		3,000,000		2,991,940

Financial Services (19.47%)
Citigroup Funding
4.320%, 02/14/2006		5,200,000		5,172,544
Household Finance Corp.
4.330%, 02/23/2006		5,000,000		4,968,126
Chevron Funding Corp.
4.190%, 01/27/2006		5,225,000		5,209,189
General Electric Capital Corp.
4.270%, 02/08/2006		5,000,000		4,977,464

				20,327,323

Government Agency Securities (43.16%) (b)
Federal National Mortgage Association
4.020%, 01/09/2006		4,500,000		4,495,980
4.140%, 02/10/2006		6,000,000		5,972,400
4.220%, 02/13/2006		5,000,000		4,974,797
4.210%, 02/17/2006		3,200,000		3,182,412
4.250%, 02/27/2006		2,500,000		2,483,177
4.290%, 03/29/2006		6,000,000		5,937,795
Federal Home Loan Mortgage Corp.
3.750%, 01/17/2006		5,500,000		5,490,833
4.110%, 01/31/2006		6,000,000		5,979,450
4.240%, 02/21/2006		2,000,000		1,987,987
4.240%, 03/14/2006		4,600,000		4,560,992

				45,065,823

Health Care (4.30%)
Pfizer Investment PLC
4.110%, 01/19/2006		2,500,000		2,494,863
4.180%, 02/01/2006		2,000,000		1,992,801

				4,487,664


	Shares or principal amount		Value
Registered Investment Companies (1.01%)
JPMorgan Treasury Plus Money Market Fund		1,058,057	$	1,058,057

Telecom & Telecom Equipment (4.77%)
BellSouth Corp. 4.180%, 01/30/2006 $	$	5,000,000		4,983,164

Total Short-term Investments (cost $104,074,505)				104,074,505

TOTAL INVESTMENTS (99.66%) (cost $104,074,505)				104,074,505
OTHER ASSETS, NET OF LIABILITIES (0.34%)				352,051

NET ASSETS (100.00%)			$	104,426,556

(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 December 31, 2005, the value of these securities amounted to $7,487,760 or 7.17% 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.

109

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005


	Equity Fund		Small Cap Equity Fund	International Equity Fund
Assets
Investments in securities
At identified cost	$	267,208,460	114,851,437	71,277,905

At market value	$	278,340,322	124,408,622	93,611,775
In Master Portfolios		—	—	—
Cash		—	—	—
Foreign currencies at value (cost $3,613 and $4,172,713, respectively)		—	—	3,594
Receivable for:
Dividends and interest		581,411	153,615	111,768
Shares of the Fund sold		145,015	67,732	83,121
Securities sold		—	—	114,086
SFIMC		36,758	53,870	82,192
Variation margin		—	—	—
Unrealized gain on forward foreign currency contracts		—	—	37,291
Prepaid expenses		3,561	1,395	204

Total assets		279,107,067	124,685,234	94,044,031

Liabilities and Net Assets
Dividends to shareowners		—	—	641,181
Payable for:
Shares of the Fund redeemed		22,281	49,385	12,194
Securities purchased		185,623	208,259	242,315
Variation margin		—	—	—
Unrealized loss on forward foreign currency contracts		—	—	56,559
Distribution Fees		138,192	111,661	82,428
SFIMC		621,998	361,173	303,744
Chief Compliance Officer Expense		970	448	304
Accrued liabilities		52,078	46,379	37,162
Total Liabilities		1,021,142	777,305	1,375,887

Net assets applicable to shares outstanding of common stock	$	278,085,925	123,907,929	92,668,144

Analysis of Net Assets
Paid-in-capital	$	265,686,991	111,380,628	79,069,770
Accumulated net realized gain (loss)		1,220,722	2,970,113	(7,873,519	)
Net unrealized appreciation (depreciation)		11,131,996	9,557,188	22,310,705
Undistributed (accumulated) net investment income (loss)		46,216	—	(838,812	)

Net assets applicable to shares outstanding	$	278,085,925	123,907,929	92,668,144

Class A Shares:
Fund shares outstanding		12,064,575	6,430,756	4,162,656
Net assets applicable to shares outstanding	$	99,072,890	65,052,261	44,713,156

Net asset value	$	8.21	10.12	10.74

Maximum offering price	$	8.46	10.43	11.07

Class B Shares:
Fund shares outstanding		5,622,768	4,152,503	3,207,814
Net assets applicable to shares outstanding	$	45,868,508	41,162,614	34,253,866

Net asset value	$	8.16	9.91	10.68

Institutional Shares:
Fund shares outstanding		16,043,012	1,316,729	866,215
Net assets applicable to shares outstanding	$	128,353,253	13,502,508	9,252,804

Net asset value	$	8.00	10.25	10.68

Class R-1 Shares:
Fund shares outstanding		206,623	155,513	153,510
Net assets applicable to shares outstanding	$	1,649,482	1,579,041	1,640,133

Net asset value	$	7.98	10.15	10.68

Class R-2 Shares:
Fund shares outstanding		250,439	133,708	136,799
Net assets applicable to shares outstanding	$	2,000,221	1,361,024	1,464,990

Net asset value	$	7.99	10.18	10.71

Class R-3 Shares:
Fund shares outstanding		142,785	122,262	125,553
Net assets applicable to shares outstanding	$	1,141,571	1,250,481	1,343,195

Net asset value	$	8.00	10.23	10.70

See accompanying notes to financial statements.

110


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
—		221,178,639	133,958,567		179,749,961	280,271,920		101,277,941		104,074,505

—		268,986,960	164,215,100		181,585,259	277,676,779		106,321,105		104,074,505
540,739,848		—	—		—	—		—		—
—		—	—		313,594	—		—		—
—		—	4,110,602		—	—		—		—

—		368,747	255,555		252,409	2,841,956		1,432,846		3,975
440,117		222,240	184,101		115,368	118,232		206,408		897,263
—		46,275	1,793,905		—	—		—		—
76,175		85,093	139,316		34,839	52,614		6,400		47,371
—		—	33,397		—	—		—		—
—		—	556		—	—		—		—
15,656		3,279	1,351		2,327	3,531		1,427		1,357

541,271,796		269,712,594	170,733,883		182,303,796	280,693,112		107,968,186		105,024,471

—		—	836,791		—	256		—		—

169,622		133,418	70,500		34,289	458,007		270,098		403,233
—		358,793	6,703,581		—	—		—		—
—		16,636	—		—	—		—		—
—		—	4,709		—	—		—		—
440,043		224,789	131,862		167,375	180,224		101,406		43,048
665,751		471,463	431,597		641	297,763		106,656		119,801
1,881		936	542		—	997		390		371
115,595		78,972	64,963		37,166	57,284		26,618		31,462

1,392,892		1,285,007	8,244,545		239,471	994,531		505,168		597,915

539,878,904		268,427,587	162,489,338		182,064,325	279,698,581		107,463,018		104,426,556


492,959,059		219,118,530	132,399,970		169,864,237	282,884,633		102,525,129		104,426,556
(7,080,485	)	1,249,338	176,792		10,328,403	(590,911	)	(105,275	)	—
53,890,943		47,783,380	30,251,984		1,835,298	(2,595,141	)	5,043,164		—
109,387		276,339	(339,408	)	36,387	—		—		—

539,878,904		268,427,587	162,489,338		182,064,325	279,698,581		107,463,018		104,426,556


35,923,339		11,993,662	7,954,694		11,158,807	13,287,046		6,684,487		80,505,178
339,845,330		157,242,453	90,852,816		108,924,460	138,030,512		73,257,215		80,505,178

9.46		13.11	11.42		9.76	10.39		10.96		1.00

9.75		13.52	11.77		10.06	10.71		11.30

14,703,897		5,793,443	4,164,290		6,178,479	5,372,036		3,100,083		6,357,355
139,037,296		75,245,598	47,549,237		60,359,789	55,822,195		33,979,174		6,357,355

9.46		12.99	11.42		9.77	10.39		10.96		1.00

5,582,510		2,357,821	1,669,188		930,838	7,847,901		20,656		11,201,470
52,961,420		31,235,470	19,129,135		9,039,316	81,428,950		226,629		11,201,470

9.49		13.25	11.46		9.71	10.38		10.97		1.00

347,946		150,365	165,079		155,558	163,628				2,670,713
3,295,476		1,986,049	1,890,028		1,496,369	1,698,548				2,670,713

9.47		13.21	11.45		9.62	10.38				1.00

368,938		118,537	153,770		119,167	156,577				2,456,666
3,489,321		1,569,304	1,761,079		1,147,659	1,624,176				2,456,666

9.46		13.24	11.45		9.63	10.37				1.00

131,744		86,675	114,117		113,822	105,382				1,235,174
1,250,061		1,148,713	1,307,043		1,096,732	1,094,200				1,235,174

9.49		13.25	11.45		9.64	10.38				1.00

See accompanying notes to financial statements.

111

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2005


	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		121,750,621		284,424,098		428,313,698		285,212,720		180,116,478
Cash		—		—		—		—		—
Foreign currencies at value		—		—		—		—		—
Receivable for:
Dividends and interest		—		—		—		—		—
Shares of the Fund sold		1,086,102		400,327		1,641,254		890,088		689,578
Securities sold		—		—		—		—		—
SFIMC		25,479		57		90		30,413		62,857
Variation margin		—		—		—		—		—
Unrealized gain on forward foreign currency contracts		—		—		—		—		—
Prepaid expenses		1,184		2,438		3,504		2,023		1,462

Total assets		122,863,386		284,826,920		429,958,546		286,135,244		180,870,375

Liabilities and Net Assets
Dividends to shareowners		—		—		—		—		—
Payable for:
Shares of the Fund redeemed		22,410		151,051		188,482		45,461		—
Securities purchased		—		—		—		—		—
Variation margin		—		—		—		—		—
Unrealized loss on forward foreign currency contracts		—		—		—		—		—
Distribution Fees		79,479		197,032		300,363		196,025		122,899
SFIMC		187,720		441,042		658,113		438,107		289,043
Chief Compliance Expense		400		936		1,382		891		563
Accrued liabilities		27,857		43,829		67,538		53,996		49,586

Total Liabilities		317,866		833,890		1,215,878		734,480		462,091

Net assets applicable to shares outstanding of common stock	$	122,545,520		283,993,030		428,742,668		285,400,764		180,408,284

Analysis of Net Assets
Paid-in-capital		118,289,335		271,322,714		399,733,285		263,056,949		164,927,688
Accumulated net realized gain (loss)		1,168,933		2,532,526		6,753,897		4,750,517		3,820,158
Net unrealized appreciation (depreciation)		3,271,778		10,490,301		22,535,600		17,691,747		11,670,450
Undistributed (accumulated) net investment income (loss)		(184,526	)	(352,511	)	(280,114	)	(98,449	)	(10,012	)

Net assets applicable to shares outstanding	$	122,545,520		283,993,030		428,742,668		285,400,764		180,408,284

Class A Shares:
Fund shares outstanding		9,002,836		18,286,807		24,676,120		14,440,616		8,424,580
Net assets applicable to shares outstanding	$	101,185,608		216,504,746		313,455,334		192,344,133		116,853,928

Net asset value	$	11.24		11.84		12.70		13.32		13.87

Maximum offering price	$	11.59		12.21		13.09		13.73		14.30

Class B Shares:
Fund shares outstanding		988,436		3,497,401		5,588,907		3,976,042		2,467,020
Net assets applicable to shares outstanding	$	11,113,656		41,291,618		70,891,731		52,736,503		34,147,362

Net asset value	$	11.24		11.81		12.68		13.26		13.84

Institutional Shares:
Fund shares outstanding		762,236		1,939,600		3,031,436		2,693,537		1,832,660
Net assets applicable to shares outstanding	$	8,590,310		23,116,189		38,785,044		36,056,936		25,542,627

Net asset value	$	11.27		11.92		12.79		13.39		13.94

Class R-1 Shares:
Fund shares outstanding		77,792		145,448		238,634		185,678		150,025
Net assets applicable to shares outstanding	$	865,469		1,724,041		3,037,684		2,474,699		2,080,133

Net asset value	$	11.13		11.85		12.73		13.33		13.87

Class R-2 Shares:
Fund shares outstanding		61,165		89,457		128,065		100,325		116,108
Net assets applicable to shares outstanding	$	687,473		1,064,466		1,635,846		1,340,964		1,616,180

Net asset value	$	11.24		11.90		12.77		13.37		13.92

Class R-3 Shares:
Fund shares outstanding		9,156		24,545		73,283		33,474		12,066
Net assets applicable to shares outstanding	$	103,004		291,970		937,029		447,529		168,054

Net asset value	$	11.25		11.90		12.79		13.37		13.93

See accompanying notes to financial statements.

112

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113

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF OPERATIONS

Year ended December 31, 2005


	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	$	5,628,257		1,041,931		1,904,293		9,116,455		3,002,281		3,743,819
Interest		439,416		175,478		55,794		332,926		250,032		48,590
Securities lending - net		—		—		—		42,262		115,475		47,036
Tax-exempt interest		—		—		—		—		—		—

		6,067,673		1,217,409		1,960,087		9,491,643		3,367,788		3,839,445
Less: foreign withholding taxes		(82,751	)	(8,016	)	(164,205	)	—		(1,740	)	(169,136	)
Portfolio expenses of Master Portfolios (b)		—		—		—		(250,436	)	(166,986	)	(222,059	)

Total investment income		5,984,922		1,209,393		1,795,882		9,241,207		3,199,062		3,448,250
Expenses:
Investment advisory and management fees		1,592,345		962,998		628,474		749,775		703,807		457,998
Shareholder services fees		571,725		294,365		193,694		1,218,926		604,938		332,128
Distribution fees Class A		240,348		158,119		93,956		788,903		362,988		186,059
Distribution fees Class B		288,190		265,161		195,524		852,106		466,951		272,889
Distribution fees Class R-1		7,347		7,072		6,635		13,681		8,601		7,847
Distribution fees Class R-2		5,294		3,826		3,672		6,186		4,008		4,227
Reports to shareowners		91,994		65,213		33,415		216,976		105,113		66,707
Regulatory fees		67,960		66,448		65,748		74,469		69,026		67,060
Proxy and related expense		65,719		48,009		23,178		176,109		100,465		51,601
Professional fees		38,009		44,994		38,860		47,640		40,799		41,006
Errors & omissions insurance		13,969		6,599		4,610		23,936		12,290		6,197
Custodian fees		6,912		10,285		153,002		72		25,011		67,662
Trustees’ fees and expenses		5,878		2,707		1,628		10,607		5,587		3,102
Chief Compliance Officer Expense		4,229		1,936		1,193		8,155		3,915		2,093
ICI dues		3,485		1,488		852		5,707		2,845		1,373
Security valuation fees		2,450		3,787		15,508		—		5,424		18,952
Fidelity bond expense		1,551		741		479		2,798		1,428		838
Index license fees		—		—		—		50,951		20,018		56,426

Total expenses		3,007,405		1,943,748		1,460,428		4,246,997		2,543,214		1,644,165
Less: expense reimbursement from SFIMC		(36,765	)	(131,832	)	(181,357	)	(118,079	)	(143,123	)	(179,430	)

		2,970,640		1,811,916		1,279,071		4,128,918		2,400,091		1,464,735

Net expenses
Net investment income		3,014,282		(602,523	)	516,811		5,112,289		798,971		1,983,515
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments		32,330,102		11,881,676		1,518,625		2,734,561		6,180,584		1,112,244
Net realized gain (loss) on forward foreign currency contracts		—		—		235,401		—		—		(146,562	)
Net realized gain (loss) on foreign currency transactions		(2,202	)	(1	)	(18,223	)	—		—		(10,036	)
Net realized gain (loss) on future contracts		—		—		—		544,295		63,447		686,592
Change in net unrealized gain (loss) on open futures contracts		—		—		—		(176,736	)	(84,344	)	50,256
Change in net unrealized appreciation (depreciation) on investments and foreign currency transactions		(17,133,965	)	(9,307,605	)	10,530,090		13,213,836		3,282,011		14,284,764

Net realized and unrealized gain (loss) on investments		15,193,935		2,574,070		12,265,893		16,315,956		9,441,698		15,977,258

Net change in net assets resulting from operations	$	18,208,217		1,971,547		12,782,704		21,428,245		10,240,669		17,960,773

(a)

Components of investment income for the S&P 500 Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds reflect each Fund’s proportionate income from its Master Portfolio for the entire year. Components of investment income for the Small Cap Index and International Index Funds reflect each Fund’s proportionate income from its Master Portfolio through September 9, 2005.

(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.

114


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
4,354,450		—		—		—		658,623		2,014,249		4,122,218		3,224,204		2,278,317
—		12,305,817		—		3,200,811		2,964,975		5,485,716		5,354,378		2,107,305		665,261
—		—		—		—		25,155		61,909		101,889		56,874		33,793
—		—		4,833,567		—		—		—		—		—		—

4,354,450		12,305,817		4,833,567		3,200,811		3,648,753		7,561,874		9,578,485		5,388,383		2,977,371
—		—		—		—		108		(48	)	1,165		(120	)	(201	)
—		—		—		—		(315,051	)	(682,095	)	(937,533	)	(563,817	)	(343,701	)

4,354,450		12,305,817		4,833,567		3,200,811		3,333,810		6,879,731		8,642,117		4,824,446		2,633,469
—		268,093		105,904		99,361		358,265		805,628		1,177,643		744,812		464,191
134,324		610,951		264,599		243,524		250,812		563,391		823,332		516,418		321,235
259,449		325,740		178,311		115,670		208,654		435,101		612,732		355,731		212,897
379,186		361,300		223,379		33,889		65,835		231,681		381,629		269,004		168,295
6,396		8,023		—		9,452		2,296		3,818		6,347		6,166		5,011
3,263		4,045		—		3,596		1,774		2,419		2,650		2,398		3,670
72,832		95,365		11,925		54,990		14,597		48,158		91,250		76,560		73,479
64,670		67,862		42,541		71,357		64,975		74,331		86,291		72,656		68,490
57,607		74,827		5,231		39,853		9,494		32,093		59,470		48,730		46,314
28,291		41,638		36,813		28,733		36,377		40,403		43,062		39,596		37,335
9,147		14,027		5,797		5,124		4,603		9,238		13,231		7,955		4,867
—		7,293		966		2,208		150		145		140		145		157
3,863		5,828		2,429		2,129		2,108		4,840		7,314		4,566		2,792
2,753		4,253		1,638		1,573		1,560		3,468		5,024		3,135		1,937
3,694		3,500		1,414		1,442		948		2,457		3,367		1,980		871
—		20,767		18,224		—		—		—		—		—		—
1,030		1,575		581		573		542		1,086		1,690		1,217		744
—		—		—		—		—		—		—		—		—

1,026,505		1,915,087		899,752		713,474		1,022,990		2,258,257		3,315,172		2,151,069		1,412,285
(243,887	)	(68,841	)	(21,655	)	(108,622	)	(33,704	)	(57	)	(90	)	(45,105	)	(104,987	)

782,618		1,846,246		878,097		604,852		989,286		2,258,200		3,315,082		2,105,964		1,307,298

3,571,832		10,459,571		3,955,470		2,595,959		2,344,524		4,621,531		5,327,035		2,718,482		1,326,171
10,341,851		(92,631	)	—		—		924,237		2,736,447		6,391,883		4,887,449		3,794,473
—		—		—		—		(1	)	(5	)	—		(8	)	(24	)
—		—		—		—		1		12		1		15		24
—		—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—		—
(6,043,422	)	(6,719,779	)	(1,687,937	)	—		925,845		4,532,824		11,109,623		9,679,343		6,833,985

4,298,429		(6,812,410	)	(1,687,937	)	—		1,850,082		7,269,278		17,501,507		14,566,799		10,628,458

7,870,261		3,647,161		2,267,533		2,595,959		4,194,606		11,890,809		22,828,542		17,285,281		11,954,629

See accompanying notes to financial statements.

115

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	Equity Fund
Years ended December 31,	2005			2004
From operations:
Net investment income	$	3,014,282		2,920,343
Net realized gain (loss)		32,327,900		(341,235	)
Change in net unrealized appreciation or depreciation		(17,133,965	)	16,013,774

Net change in net assets resulting from operations		18,208,217		18,592,882
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(957,005	)	(933,313	)
Class B Shares		(289,456	)	(267,200	)
Institutional Shares		(1,694,531	)	(1,671,374	)
Class R-1 Shares		(14,273	)	(13,336	)
Class R-2 Shares		(20,709	)	(13,419	)
Class R-3 Shares		(15,125	)	(14,609	)

		(2,991,099	)	(2,913,251	)
Net realized gain:
Class A Shares		(9,016,718	)	—
Class B Shares		(4,292,686	)	—
Institutional Shares		(11,916,336	)	—
Class R-1 Shares		(164,529	)	—
Class R-2 Shares		(197,565	)	—
Class R-3 Shares		(117,327	)	—

		(25,705,161	)	—
Total distributions to shareowners		(28,696,260	)	(2,913,251	)
From Fund share transactions:
Proceeds from shares sold		35,306,109		60,766,088
Reinvestment of distributions		27,408,615		1,299,340

		62,714,724		62,065,428
Less payments for shares redeemed		(30,485,100	)	(21,555,817	)

Net increase in net assets from Fund share transactions		32,229,624		40,509,611

Total increase in net assets		21,741,581		56,189,242

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

End of period*	$	278,085,925		256,344,344

	$	46,216		25,235

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

See accompanying notes to financial statements.

116


Small Cap Equity Fund				International Equity Fund				S&P 500 Index Fund				Small Cap Index Fund
2005		2004		2005		2004		2005		2004		2005		2004
(602,523	)	(522,345	)	516,811		213,318		5,112,289		4,687,539		798,971		637,687
11,881,675		3,284,542		1,735,803		469,291		3,278,856		23,617,407		6,244,031		7,467,043
(9,307,605	)	4,158,774		10,530,090		7,152,767		13,037,100		11,259,273		3,197,667		24,620,768

1,971,547		6,920,971		12,782,704		7,835,376		21,428,245		39,564,219		10,240,669		32,725,498
—		—		(590,457	)	(237,487	)	(3,407,799	)	(3,107,990	)	(146,242	)	(251,882	)
—		—		(335,981	)	(102,478	)	(875,612	)	(878,178	)	(124	)	51
—		—		(148,998	)	(72,205	)	(687,246	)	(593,158	)	(120,534	)	(136,168	)
—		—		(18,068	)	(10,806	)	(25,032	)	(21,246	)	—		(4,996	)
—		—		(18,167	)	(10,937	)	(38,355	)	(13,805	)	(584	)	(4,534	)
—		—		(19,950	)	(11,903	)	(14,711	)	(14,770	)	(2,948	)	(5,450	)

—		—		(1,131,621	)	(445,816	)	(5,048,755	)	(4,629,147	)	(270,432	)	(402,979	)
(3,108,670	)	—		—		—		—		—		(7,654,066	)	(3,914,771	)
(2,037,190	)	—		—		—		—		—		(3,748,744	)	(2,043,326	)
(633,593	)	—		—		—		—		—		(1,493,839	)	(683,380	)
(76,284	)	—		—		—		—		—		(97,567	)	(38,067	)
(66,380	)	—		—		—		—		—		(77,680	)	(32,039	)
(60,935	)	—		—		—		—		—		(57,499	)	(32,092	)

(5,983,052	)	—		—		—		—		—		(13,129,395	)	(6,743,675	)
(5,983,052	)	—		(1,131,621	)	(445,816	)	(5,048,755	)	(4,629,147	)	(13,399,827	)	(7,146,654	)
15,511,661		26,414,801		11,375,384		12,860,563		116,046,041		174,054,598		51,461,029		73,167,283
3,465,463		—		490,440		170,932		8,929,368		1,526,087		14,980,662		668,787

18,977,124		26,414,801		11,865,824		13,031,495		124,975,409		175,580,685		66,441,691		73,836,070
(12,081,441	)	(13,533,505	)	(3,843,316	)	(6,024,605	)	(61,089,163	)	(50,040,974	)	(25,840,664	)	(22,034,647	)

6,895,683		12,881,296		8,022,508		7,006,890		63,886,246		125,539,711		40,601,027		51,801,423

2,884,178		19,802,267		19,673,591		14,396,450		80,265,736		160,474,783		37,441,869		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

123,907,929		121,023,751		92,668,144		72,994,553		539,878,904		459,613,168		268,427,587		230,985,718

—		—		(838,812	)	(471,361	)	109,387		70,371		276,339		208,039

See accompanying notes to financial statements.

117

STATE FARM MUTUAL FUND TRUST FUND

STATEMENTS OF CHANGES IN NET ASSETS


	International Index Fund
Years ended December 31,	2005			2004
From operations:
Net investment income	$	1,983,515		1,098,634
Net realized gain (loss)		1,642,238		4,789,717
Change in net unrealized appreciation or depreciation		14,335,020		11,219,144

Net change in net assets resulting from operations		17,960,773		17,107,495
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(1,454,078	)	(664,249	)
Class B Shares		(588,539	)	(284,551	)
Institutional Shares		(353,363	)	(174,286	)
Class R-1 Shares		(24,942	)	(16,391	)
Class R-2 Shares		(26,945	)	(14,884	)
Class R-3 Shares		(22,696	)	(15,886	)

		(2,470,563	)	(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		(2,470,563	)	(1,170,247	)
From Fund share transactions:
Proceeds from shares sold		42,603,951		35,650,953
Reinvestment of distributions		2,301,957		658

		44,905,908		35,651,611
Less payments for shares redeemed		(11,798,752	)	(8,769,587	)

Net increase in net assets from Fund share transactions		33,107,156		26,882,024

Total increase in net assets		48,596,144		42,819,272

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

End of period*	$	162,489,338		113,891,972

	$	(339,408	)	(16,600	)

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

See accompanying notes to financial statements.

118


Equity and Bond Fund			Bond Fund				Tax Advantaged Bond Fund				Money Market Fund
2005	2004		2005		2004		2005		2004		2005		2004
3,571,832	3,142,145		10,459,571		8,969,278		3,955,470		3,638,945		2,595,959		680,081
10,341,851	(1,144	)	(92,631	)	157,457		—		(428	)	—		—
(6,043,422)	6,249,197		(6,719,779	)	(257,454	)	(1,687,937	)	(151,290	)	—		—

7,870,261	9,390,198		3,647,161		8,869,281		2,267,533		3,487,227		2,595,959		680,081
(2,257,233)	(1,973,569	)	(5,068,378	)	(4,209,020	)	(2,755,602	)	(2,427,578	)	(2,017,807	)	(548,076	)
(1,019,568)	(918,892	)	(1,938,667	)	(1,762,045	)	(1,190,926	)	(1,203,717	)	(136,917	)	(21,039	)
(215,169)	(164,979	)	(3,301,264	)	(2,957,929	)	(8,942	)	(7,650	)	(308,014	)	(99,400	)
(28,179)	(24,897	)	(57,460	)	(12,909	)	—		—		(57,236	)	(3,245	)
(23,134)	(23,768	)	(51,029	)	(13,143	)	—		—		(45,154	)	(3,786	)
(25,249)	(24,785	)	(42,773	)	(14,232	)	—		—		(30,831	)	(4,535	)

(3,568,532)	(3,130,890	)	(10,459,571	)	(8,969,278	)	(3,955,470	)	(3,638,945	)	(2,595,959	)	(680,081	)
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—

—	—		—		—		—		—		—		—
(3,568,532)	(3,130,890	)	(10,459,571	)	(8,969,278	)	(3,955,470	)	(3,638,945	)	(2,595,959	)	(680,081	)
26,394,629	41,143,195		57,102,427		69,919,861		18,070,937		16,837,793		124,585,855		133,845,314
2,578,758	2,176,364		6,134,434		6,198,716		1,317,397		1,147,008		2,299,920		609,130

28,973,387	43,319,559		63,236,861		76,118,577		19,388,334		17,984,801		126,885,775		134,454,444
(17,095,137)	(20,464,598	)	(28,484,398	)	(36,733,310	)	(11,365,304	)	(11,705,645	)	(113,848,519	)	(120,752,588	)

11,878,250	22,854,961		34,752,463		39,385,267		8,023,030		6,279,156		13,037,256		13,701,856

16,179,979	29,114,269		27,940,053		39,285,270		6,335,093		6,127,438		13,037,256		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

182,064,325	165,884,346		279,698,581		251,758,528		107,463,018		101,127,925		104,426,556		91,389,300

36,387	33,087		—		—		—		—		—		—

See accompanying notes to financial statements.

119

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	LifePath Income Fund
Years ended December 31,	2005			2004
From operations:
Net investment income	$	2,344,524		934,852
Net realized gain (loss)		924,237		2,067,826
Change in net unrealized appreciation or depreciation		925,845		1,067,256

Net change in net assets resulting from operations		4,194,606		4,069,934
Distributions to shareowners from and in excess of:
Net investment income:
Class A Shares		(2,192,188	)	(900,466	)
Class B Shares		(199,355	)	(90,213	)
Institutional Shares		(210,355	)	(116,834	)
Class R-1 Shares		(18,721	)	(1,781	)
Class R-2 Shares		(14,338	)	(1,562	)
Class R-3 Shares		(2,396	)	(1,653	)

		(2,637,353	)	(1,112,509	)
Net realized gain:
Class A Shares		(237,167	)	(1,004,454	)
Class B Shares		(26,621	)	(131,811	)
Institutional Shares		(20,206	)	(102,986	)
Class R-1 Shares		(1,973	)	(1,795	)
Class R-2 Shares		(1,671	)	(1,545	)
Class R-3 Shares		(253	)	(1,545	)

		(287,891	)	(1,244,136	)
Total distributions to shareowners		(2,925,244	)	(2,356,645	)
From Fund share transactions:
Proceeds from shares sold		52,793,502		53,278,382
Reinvestment of distributions		4,699,236		582,658

		57,492,738		53,861,040
Less payments for shares redeemed		(17,985,482	)	(11,883,235	)

Net increase (decrease) in net assets from Fund share transactions		39,507,256		41,977,805

Total increase in net assets		40,776,618		43,691,094

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

End of period*	$	122,545,520		81,768,902

	$	(184,526	)	(69,173	)

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

See accompanying notes to financial statements.

120


LifePath 2010 Fund			LifePath 2020 Fund				LifePath 2030 Fund				LifePath 2040 Fund
2005	2004		2005		2004		2005		2004		2005		2004
4,621,531	1,659,038		5,327,035		1,987,640		2,718,482		1,035,904		1,326,171		518,411
2,736,454	5,129,876		6,391,884		8,140,122		4,887,456		5,446,904		3,794,473		3,386,772
4,532,824	3,335,354		11,109,623		7,094,458		9,679,343		5,235,643		6,833,985		3,273,164

11,890,809	10,124,268		22,828,542		17,222,220		17,285,281		11,718,451		11,954,629		7,178,347
(4,023,165)	(1,468,547	)	(4,305,474	)	(1,725,887	)	(2,051,699	)	(728,942	)	(876,302	)	(399,823	)
(613,945)	(236,668	)	(735,475	)	(303,335	)	(393,239	)	(142,219	)	(152,371	)	(85,644	)
(482,765)	(207,935	)	(627,256	)	(267,601	)	(462,216	)	(190,886	)	(248,947	)	(128,753	)
(32,429)	(1,720	)	(43,082	)	(2,178	)	(25,142	)	(1,536	)	(14,828	)	(1,619	)
(18,884)	(1,340	)	(21,493	)	(1,163	)	(13,054	)	(933	)	(10,607	)	(911	)
(6,119)	(1,381	)	(14,833	)	(1,244	)	(4,720	)	(1,018	)	(1,475	)	(1,013	)

(5,177,307)	(1,917,591	)	(5,747,613	)	(2,301,408	)	(2,950,070	)	(1,065,534	)	(1,304,530	)	(617,763	)
(1,111,713)	(2,558,555	)	(2,373,398	)	(2,972,237	)	(1,949,377	)	(1,687,539	)	(1,268,641	)	(846,697	)
(212,702)	(568,617	)	(541,040	)	(748,950	)	(538,786	)	(518,141	)	(373,866	)	(282,642	)
(117,905)	(282,700	)	(292,247	)	(349,242	)	(358,814	)	(315,925	)	(277,714	)	(196,484	)
(8,812)	(2,707	)	(22,815	)	(3,235	)	(24,901	)	(3,020	)	(22,330	)	(2,898	)
(5,439)	(2,080	)	(11,549	)	(1,766	)	(12,747	)	(1,867	)	(17,690	)	(1,689	)
(1,506)	(2,007	)	(7,085	)	(1,759	)	(3,943	)	(1,854	)	(1,860	)	(1,696	)

(1,458,077)	(3,416,666	)	(3,248,134	)	(4,077,189	)	(2,888,568	)	(2,528,346	)	(1,962,101	)	(1,332,106	)
(6,635,384)	(5,334,257	)	(8,995,747	)	(6,378,597	)	(5,838,638	)	(3,593,880	)	(3,266,631	)	(1,949,869	)
124,167,648	126,971,153		190,932,844		176,426,563		139,718,791		106,488,983		96,577,583		66,816,426
11,879,281	146,990		15,249,549		184,161		9,343,184		102,312		5,153,429		39,117

136,046,929	127,118,143		206,182,393		176,610,724		149,061,975		106,591,295		101,731,012		66,855,543
(31,189,730)	(14,500,423	)	(35,020,141	)	(16,610,093	)	(19,816,488	)	(11,331,490	)	(14,404,007	)	(7,844,098	)

104,857,199	112,617,720		171,162,252		160,000,631		129,245,487		95,259,805		87,327,005		59,011,445

110,112,624	117,407,731		184,995,047		170,844,254		140,692,130		103,384,376		96,015,003		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

283,993,030	173,880,406		428,742,668		243,747,621		285,400,764		144,708,634		180,408,284		84,393,281

(352,511)	24,195		(280,114	)	(195,125	)	(98,449	)	8,774		(10,012	)	(63,866	)

See accompanying notes to financial statements.

121

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

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 in the same range as found in the Russell 2000^® Index (the “Russell 2000”).

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”). 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^® Index (the “Russell 2000”). The Small Cap Index Fund invests primarily in a representative sample of the securities contained in the Russell 2000. The Russell 2000 tracks the common stock performance of about 2,000 small U.S. companies.

The State Farm International Index Fund (the “International Index Fund”) seeks to match the performance of the Morgan Stanley Capital International Europe, Australasia and Far East Free Index (the “EAFE^® Free”). The International Index Fund invests primarily in a representative sample of the securities contained in the EAFE Free. The EAFE Free is a capitalization-weighted index that currently includes stocks of companies in 16 European countries, Australia, New Zealand, Hong Kong, Japan and Singapore.

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 Institutional 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.

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”) 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.

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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 and exchange-traded funds (“ETFs”) 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 market value.

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 a 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, 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

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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 December 31, 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 December 31, 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 Bisys 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.

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 Fund’s 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

Through September 9, 2005, all assets of the Small Cap Index Fund and International Index Fund were invested in separate portfolios (each a “Master Portfolio”) of the Master Investment Portfolio (“MIP”). Pursuant to shareholder approval at the June 17, 2005 Special Shareholder Meeting, the Small Cap Index Fund and International Index Fund elected to withdraw all assets from their respective Master Portfolio and invest directly in individual securities. At the close of business on September 9, 2005, the Small Cap Index Fund and International Index Fund received non-taxable distributions of cash and securities from their Master Portfolios with a market value of $268,224,740 and $148,792,190, respectively.

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As a result of the withdrawal from the Master Portfolios, realized gains decreased and unrealized gains increased in the Small Cap Index Fund by $6,982,255 and realized gains increased and unrealized gains decreased in the International Index Fund by $172,859 reflecting adjustments made to the cost basis of distributed securities. The differences between capital gains distributed as shown on the Statements of Changes in Net Assets for the year ended December 31, 2005 and current year realized gains as shown on the Statements of Operations for the year ended December 31, 2005 reflect that these changes in realized gains were not recognized for federal income tax purposes.

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 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 12/31/2005
S&P 500 Index Fund	S&P 500 Index Master Portfolio	22.45	%
LifePath Income Fund	LifePath Retirement Master Portfolio	52.78	%
LifePath 2010 Fund	LifePath 2010 Master Portfolio	42.71	%
LifePath 2020 Fund	LifePath 2020 Master Portfolio	40.21	%
LifePath 2030 Fund	LifePath 2030 Master Portfolio	42.14	%
LifePath 2040 Fund	LifePath 2040 Master Portfolio	41.32	%

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 applicable to investment companies and, in the manner provided therein, to distribute substantially all of their taxable income, including 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

As of December 31, 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	$	267,196,217	$	20,155,858	$	(9,011,753	)	$	11,144,105
Small Cap Equity Fund		114,988,712		19,490,804		(10,070,894	)		9,419,910
International Equity Fund		72,531,804		23,074,394		(1,994,423	)		21,079,971
Small Cap Index Fund		220,937,982		60,906,789		(12,857,811	)		48,048,978
International Index Fund		134,768,978		32,812,168		(3,366,046	)		29,446,122
Equity and Bond Fund		179,749,961		2,147,280		(311,982	)		1,835,298
Bond Fund		280,271,920		2,563,622		(5,158,763	)		(2,595,141	)
Tax Advantaged Bond Fund		101,277,941		5,078,455		(35,291	)		5,043,164
Money Market Fund		104,074,505		—		—			—

The Master Portfolios are organized as partnerships for federal income tax purposes. Information relating to the cost of investments, gross and net unrealized appreciation (depreciation) and other tax matters for the Master Portfolios may be found in the MIP financial statements which are included in this annual report. The tax cost information noted in the LifePath Master Portfolios’ Notes to Financial Statements does not include the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios, each of which is an Underlying Fund. See the MIP Notes to Financial Statements 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 paid at least 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 treatment 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 and the International Index Fund have elected to mark-to-market their 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 $504,108 as ordinary income for federal income tax purposes during 2005. The International Index Fund recognized unrealized appreciation of $790,294 as ordinary income for federal income tax purposes during 2005. The cumulative amount of mark-to-market adjustments recognized on PFICs at December 31, 2005 was $1,143,225 for the International Equity Fund and $790,294 for the International Index Fund.

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions for all classes was as follows for the years ended December 31, 2005 and 2004 respectively:


2005	Ordinary Income
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	756,283	298,827	239,592	7,776	6,775	7,531	1,316,784
LifePath 2010 Fund		4,085,581	625,890	489,387	32,924	19,189	6,204	5,259,175
LifePath 2020 Fund		5,037,439	902,378	717,410	50,120	25,056	17,019	6,749,422
LifePath 2030 Fund		2,710,453	575,321	583,477	33,557	17,362	6,052	3,926,222
LifePath 2040 Fund		1,417,434	311,838	367,402	24,353	18,153	2,268	2,141,448

2005	Long Term Capital Gain
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	7,044,169	3,449,898	1,374,786	89,788	71,487	52,915	12,083,043
LifePath 2010 Fund		1,049,297	200,757	111,283	8,317	5,134	1,421	1,376,209
LifePath 2020 Fund		1,641,433	374,137	202,093	15,777	7,986	4,899	2,246,325
LifePath 2030 Fund		1,290,623	356,704	237,553	16,486	8,439	2,611	1,912,416
LifePath 2040 Fund		727,509	214,399	159,259	12,805	10,144	1,067	1,125,183

2005	Total Distributions
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	7,800,452	3,748,725	1,614,378	97,564	78,262	60,446	13,399,827
LifePath 2010 Fund		5,134,878	826,647	600,670	41,241	24,323	7,625	6,635,384
LifePath 2020 Fund		6,678,872	1,276,515	919,503	65,897	33,042	21,918	8,995,747
LifePath 2030 Fund		4,001,076	932,025	821,030	50,043	25,801	8,663	5,838,638
LifePath 2040 Fund		2,144,943	526,237	526,661	37,158	28,297	3,335	3,266,631

For the remaining funds, the tax distributions of ordinary income were the same as the distributions from net investment income reflected in the Statements of Changes in Net Assets for the year ended December 31, 2005.

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2004	Ordinary Income
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	2,279,189	1,058,127	490,071	24,710	21,126	22,069	3,895,292
LifePath Income Fund		1,212,830	131,204	148,861	2,339	2,043	2,134	1,499,411
LifePath 2010 Fund		2,149,975	388,103	283,224	2,441	1,894	1,915	2,827,552
LifePath 2020 Fund		2,774,333	567,528	390,797	3,319	1,786	1,865	3,739,628
LifePath 2030 Fund		1,151,422	271,935	269,978	2,292	1,400	1,482	1,698,509
LifePath 2040 Fund		854,241	237,339	234,207	3,174	1,817	1,923	1,332,701

2004	Long Term Capital Gain
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	1,887,464	985,148	329,477	18,353	15,447	15,473	3,251,362
LifePath Income Fund		692,090	90,820	70,959	1,237	1,064	1,064	857,234
LifePath 2010 Fund		1,877,127	417,182	207,411	1,986	1,526	1,473	2,506,705
LifePath 2020 Fund		1,923,791	484,757	226,046	2,094	1,143	1,138	2,638,969
LifePath 2030 Fund		1,265,059	388,425	236,833	2,264	1,400	1,390	1,895,371
LifePath 2040 Fund		392,279	130,947	91,030	1,343	783	786	617,168

2004	Total Distributions
	Class A		Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$	4,166,653	2,043,275	819,548	43,063	36,573	37,542	7,146,654
LifePath Income Fund		1,904,920	222,024	219,820	3,576	3,107	3,198	2,356,645
LifePath 2010 Fund		4,027,102	805,285	490,635	4,427	3,420	3,388	5,334,257
LifePath 2020 Fund		4,698,124	1,052,285	616,843	5,413	2,929	3,003	6,378,597
LifePath 2030 Fund		2,416,481	660,360	506,811	4,556	2,800	2,872	3,593,880
LifePath 2040 Fund		1,246,520	368,286	325,237	4,517	2,600	2,709	1,949,869

From November 1, 2005 through December 31, 2005, the S&P 500 Index Fund incurred approximately $282,029 of net realized losses. As permitted by tax regulations, the S&P 500 Index Fund elected to defer these losses and treat them as arising on January 1, 2006.

From November 1, 2005 through December 31, 2005, the International Equity Fund and International Index Fund, incurred approximately $24,542 and $45,957, in foreign exchange losses, respectively. As permitted by tax regulations, the Funds elected to defer the losses and treat them as arising on January 1, 2006.

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NOTES TO FINANCIAL STATEMENTS (continued)

At December 31, 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
	2009		2010		2011		2012		2013		Total
International Equity Fund	$	—	$	3,022,365	$	4,740,479	$	—	$	—	$	7,762,844
S&P 500 Index Fund		—		3,047,920		903,770		—		—		3,951,690
Bond Fund		—		—		498,280		—		92,631		590,911
Tax Advantaged Bond Fund		328		2,457		102,062		428		—		105,275

The following funds were able to utilize the indicated amounts of capital loss carryover to offset realized gains in 2005: Equity Fund, $4,561,449; Small Cap Equity Fund, $2,195,857; International Equity Fund, $1,443,398; S&P 500 Index Fund, $955,678; International Index Fund, $1,594,688; Equity and Bond Fund, $8,846.

As of December 31, 2005, in accordance with federal tax regulations, the components of distributable earnings on a tax basis were as follows:


Fund	Undistributed ordinary income		Undistributed long-term gain		Unrealized appreciation/depreciation			Accumulated capital and other losses			Total
Equity Fund	$	279,501	$	975,194	$	11,144,239		$	—		$	12,398,934
Small Cap Equity Fund		228,117		2,879,270		9,419,914			—			12,527,301
International Equity Fund		309,687		—		21,076,073			(7,787,386	)		13,598,374
Small Cap Index Fund		136,213		1,123,866		48,048,978			—			49,309,057
S&P 500 Index Fund		92,013		—		51,061,551			(4,233,719	)		46,919,845
International Index Fund		492,753		196,909		29,445,663			(45,957	)		30,089,368
Bond Fund		49,169		—		(2,595,141	)		(590,911	)		(3,136,883	)
Money Market Fund		7,441		—		—			—			7,441
LifePath Income Fund		59,181		265,460		3,931,544			—			4,256,185
LifePath 2010 Fund		201,667		433,876		12,034,773			—			12,670,316
LifePath 2020 Fund		502,749		746,320		27,760,314			—			29,009,383
LifePath 2030 Fund		419,956		513,455		21,410,404			—			22,343,815
LifePath 2040 Fund		371,907		404,858		14,703,831			—			15,480,596

For the remaining Funds, the undistributed net investment income in accordance with federal tax regulations at December 31, 2005 was the same as the undistributed net investment income reflected in the Statements of Assets and Liabilities as of December 31, 2005.

The difference between these amounts and the undistributed net investment income reported on the Statements of Assets and Liabilities as of December 31, 2005 relates to one or more of the following: forward foreign currency contracts, mark-to-market of PFICs, post-October loss deferrals, return of capital transactions, amortization for GAAP but not for federal income tax purposes and non deductible start-up expenses.

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 December 31, 2005. Purchases and sales of investment securities and income and expense items denominated in foreign currencies 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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.

Financial instruments

The Small Cap Index Fund, International Index Fund, and 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 Statements of Operations. Unrealized gains and losses on open futures contracts are reflected as a component of net unrealized appreciation (depreciation) in the Statements 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 foreign currency rates 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 Portfolios.


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 Equity Fund, Small Cap Equity Fund and International Equity Fund, and Northern Trust Investments, N.A. (“Northern Trust”) as the investment sub-adviser to provide day-to-day portfolio management for the Small Cap Index Fund and International Index Fund. In accordance with the overall investment objectives of each respective Fund, Capital Guardian and Northern Trust determine which securities to buy and sell for each of those Funds, select the brokers and dealers to effect the transactions, and negotiate commissions. Capital Guardian’s and Northern Trust’s sub-advisory fees for managing the respective portfolios are paid by SFIMC. No additional advisory fees are charged to the Funds. For the year

130

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NOTES TO FINANCIAL STATEMENTS (continued)

ended December 31, 2005, the following fees were earned by Capital Guardian (beginning September 1, 2005 for the Equity Fund) and Northern Trust (beginning September 9, 2005) for providing sub-advisory services (although not all amounts indicated were paid during that period):


Capital Guardian	Advisory Fees
Equity Fund	$	228,964
Small Cap Equity Fund		416,030
International Equity Fund		271,859

Total	$	916,853

Northern Trust
Small Cap Index Fund	$	94,359
International Index Fund		60,135

Total	$	154,494

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 December 31, 2005, VP Management Corp. had not been reimbursed for the following amounts:


Equity Fund	$	3,207,519
Small Cap Equity Fund		4,084,293
International Equity Fund		2,984,109
S&P 500 Index Fund		8,803,957
Small Cap Index Fund		5,638,904
International Index Fund		3,457,160
Equity and Bond Fund		5,482,113
Bond Fund		4,828,731
Tax Advantaged Bond Fund		4,615,693
Money Market Fund		2,571,963
LifePath Income Fund		845,228
LifePath 2010 Fund		1,872,193
LifePath 2020 Fund		2,756,713
LifePath 2030 Fund		1,795,128
LifePath 2040 Fund		1,100,299

TOTAL	$	54,044,003

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.

131

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NOTES TO FINANCIAL STATEMENTS (continued)

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.

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.

132

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NOTES TO FINANCIAL STATEMENTS (continued)

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 services 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:


	Year ended December 31, 2005				Year ended December 31, 2004
	Purchases		Sales		Purchases		Sales
Equity Fund	$	234,714,274	$	225,421,140	$	44,534,300	$	4,022,647
Small Cap Equity Fund		70,974,268		69,427,300		50,988,662		37,852,316
International Equity Fund		27,910,725		21,002,560		19,938,849		13,282,925
Small Cap Index Fund		15,745,009		7,090,798		—		—
International Index Fund		7,657,926		1,978,056		—		—
Equity and Bond Fund		24,910,742		1,721,414		22,104,368		1,235,563
Bond Fund		64,368,010		28,665,953		64,828,968		26,133,534
Tax Advantaged Bond Fund		8,915,875		—		7,361,835		1,739,955

133

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NOTES TO FINANCIAL STATEMENTS (continued)

Futures and foreign currency contracts

International Equity Fund and International Index Fund had the following open forward foreign currency contracts at December 31, 2005:

International Equity Fund


Foreign amount	Currency	Contracts	Settlement date	U.S. Dollar	Unrealized gain (loss)
705,480	Canadian Dollar	2	01/03/2006-01/24/2006	604,307	$	(9,005	)
698,329	Euro	2	04/07/2006	828,075		14,263
874,709	British Pound	4	01/12/2006-06/14/2006	1,501,848		(41,021	)
101,667,628	Japanese Yen	4	01/04/2006-01/10/2006	862,073		(6,533	)
1,207,460	Swiss Franc	3	01/12/2006-06/14/2006	924,981		23,028

				Total	$	(19,268	)

International Index Fund


Foreign amount	Currency	Contracts	Settlement date	U.S. Dollar	Unrealized gain (loss)
382,305	Australian Dollar	1	01/03/2006	280,440	$	440
188,925	Danish Krone	1	01/03/2006	29,877		(123	)
98,608	British Pound	1	01/03/2006	169,285		(715	)
852,841	Hong Kong Dollar	1	01/03/2006	109,994		(6	)
136,671,200	Japanese Yen	1	01/04/2006	1,157,936		(2,064	)
338,900	Norwegian Krone	1	01/03/2006	50,050		50
83,250	Singapore Dollar	1	01/03/2006	50,066		66
1,349,919	Swedish Krona	1	01/03/2006	169,617		(383	)
551,670	Swiss Franc	1	01/03/2006	418,582		(1,418	)

				Total	$	(4,153	)

The Small Cap Index and International Index Funds had the following open futures contracts at December 31, 2005:


Fund	Type	Number of contracts	Notional Value		Market Value		Position	Expiration month	Unrealized gain (loss)
Small Cap Index Fund	Russell 2000 Index	3	$	1,037,989	$	1,017,450	Long	March ‘06	$	(20,539	)
Small Cap Index Fund	Russell 2000 Mini	12		818,362		813,960	Long	March ‘06		(4,402	)

Total										(24,941	)

International Index Fund	Hang Seng Index	3		295,870		287,055	Long	January ‘06		(8,815	)
International Index Fund	DJ Euro Stoxx 50	42		1,757,287		1,777,535	Long	March ‘06		20,248
International Index Fund	FTSE 100 Index	16		1,520,414		1,542,603	Long	March ‘06		22,189
International Index Fund	Nikkei 225	5		398,750		401,250	Long	March ‘06		2,500
International Index Fund	Share Price Index	3		253,662		260,062	Long	March ‘06		6,400

Total									$	42,522

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NOTES TO FINANCIAL STATEMENTS (continued)

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:

Year ended December 31, 2005


	Class A Dollar Amounts								Class A Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	19,980,293	$	9,933,751	$	22,981,959	$	6,932,085	2,312,254	1,195,395	2,647,717	859,932
Small Cap Equity Fund		9,409,565		2,152,130		8,644,972		2,916,723	928,019	209,964	849,761	288,222
International Equity Fund		7,020,978		325,096		2,611,697		4,734,377	737,342	30,274	274,994	492,622
S&P 500 Index Fund		76,438,492		6,322,948		44,556,461		38,204,979	8,367,349	675,512	4,854,927	4,187,934
Small Cap Index Fund		33,226,692		9,667,018		18,120,101		24,773,609	2,564,977	734,641	1,389,691	1,909,927
International Index Fund		28,114,905		1,552,927		7,408,453		22,259,379	2,694,053	140,471	706,232	2,128,292
Equity and Bond Fund		17,339,553		1,776,164		12,126,141		6,989,576	1,804,978	182,628	1,262,167	725,439
Bond Fund		35,349,452		4,379,021		19,507,368		20,221,105	3,354,620	416,455	1,852,987	1,918,088
Tax Advantaged Bond Fund		17,323,957		1,185,688		10,278,343		8,231,302	1,566,019	107,211	932,296	740,934
Money Market Fund		102,028,865		1,922,749		96,537,195		7,414,419	102,028,865	1,922,749	96,537,195	7,414,419
LifePath Income Fund		45,718,297		3,897,868		15,464,203		34,151,962	4,099,270	349,317	1,388,387	3,060,200
LifePath 2010 Fund		97,647,213		9,135,010		24,558,124		82,224,099	8,352,747	779,578	2,097,547	7,034,778
LifePath 2020 Fund		141,570,492		11,311,029		27,126,406		125,755,115	11,439,911	905,383	2,188,834	10,156,460
LifePath 2030 Fund		96,754,002		6,385,632		14,955,383		88,184,251	7,510,436	488,695	1,158,867	6,840,264
LifePath 2040 Fund		64,270,418		3,382,058		10,014,719		57,637,757	4,833,702	249,215	748,594	4,334,323

135

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NOTES TO FINANCIAL STATEMENTS (continued)


	Class B Dollar Amounts									Class B Share Amounts
2005	Sales		Reinvestments		Redemptions		Net			Sales	Reinvestments	Redemptions	Net
Equity Fund	$	5,793,572	$	3,690,120	$	4,854,290	$	4,629,402		674,905	446,744	565,603	556,046
Small Cap Equity Fund		2,707,334		784,534		2,232,474		1,259,394		272,050	78,141	224,100	126,091
International Equity Fund		1,519,864		70,379		632,239		958,004		160,646	6,587	67,077	100,156
S&P 500 Index Fund		21,655,850		1,437,694		12,297,597		10,795,947		2,375,163	153,836	1,343,684	1,185,315
Small Cap Index Fund		8,195,344		3,090,101		4,408,195		6,877,250		638,859	236,738	341,488	534,109
International Index Fund		5,885,833		323,530		1,838,828		4,370,535		563,506	29,261	175,183	417,584
Equity and Bond Fund		5,911,569		580,499		4,161,005		2,331,063		616,297	59,565	433,255	242,607
Bond Fund		7,072,130		1,300,573		5,631,991		2,740,712		671,522	123,626	535,322	259,826
Tax Advantaged Bond Fund		696,632		127,403		1,076,102		(252,067	)	62,777	11,513	97,104	22,814
Money Market Fund		1,221,143		21,295		774,843		467,595		1,221,143	21,295	774,843	467,595
LifePath Income Fund		3,593,201		387,205		1,661,112		2,319,294		323,240	34,737	149,115	208,862
LifePath 2010 Fund		13,845,931		1,610,478		3,760,493		11,695,916		1,190,270	138,045	322,784	1,005,531
LifePath 2020 Fund		26,331,257		2,308,622		4,819,622		23,820,257		2,138,788	185,391	390,595	1,933,584
LifePath 2030 Fund		22,442,790		1,574,161		3,155,165		20,861,786		1,756,447	121,172	246,490	1,631,129
LifePath 2040 Fund		16,226,520		877,523		2,434,789		14,669,254		1,225,064	64,966	183,286	1,106,744


	Institutional Class Dollar Amounts								Institutional Class Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	7,831,717	$	13,610,832	$	2,502,664	$	18,939,885	937,877	1,680,350	294,384	2,323,843
Small Cap Equity Fund		2,638,739		495,850		1,098,575		2,036,014	259,870	47,724	108,338	199,256
International Equity Fund		2,269,990		88,059		505,040		1,853,009	233,994	8,263	52,799	189,458
S&P 500 Index Fund		13,101,599		1,117,024		3,331,433		10,887,190	1,436,050	118,893	362,669	1,192,274
Small Cap Index Fund		8,593,407		2,148,083		2,983,976		7,757,514	661,140	161,593	226,493	596,240
International Index Fund		7,465,052		407,395		2,313,036		5,559,411	713,924	36,808	221,072	529,660
Equity and Bond Fund		2,607,630		212,346		752,458		2,067,518	272,842	21,954	78,433	216,363
Bond Fund		12,922,117		417,335		2,866,241		10,473,211	1,227,477	39,741	272,250	994,968
Tax Advantaged Bond Fund		50,348		4,306		10,859		43,795	4,551	389	975	3,965
Money Market Fund		10,438,220		297,807		8,760,862		1,975,165	10,438,220	297,807	8,760,862	1,975,165
LifePath Income Fund		2,115,898		382,633		784,401		1,714,130	188,982	34,244	70,037	153,189
LifePath 2010 Fund		9,892,346		1,067,157		2,717,532		8,241,971	841,360	90,538	232,556	699,342
LifePath 2020 Fund		17,805,666		1,513,860		2,806,209		16,513,317	1,427,821	120,311	224,465	1,323,667
LifePath 2030 Fund		16,653,890		1,304,242		1,488,992		16,469,140	1,286,301	99,381	114,810	1,270,872
LifePath 2040 Fund		12,686,956		829,535		1,762,883		11,753,608	952,863	60,912	131,355	882,420

136

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NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-1 Dollar Amounts								Class R-1 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	661,169	$	62,414	$	127,026	$	596,557	78,493	7,724	14,766	71,451
Small Cap Equity Fund		452,048		19,400		78,481		392,967	44,300	1,885	7,513	38,672
International Equity Fund		330,106		3,885		72,885		261,106	34,603	364	7,169	27,798
S&P 500 Index Fund		2,207,692		23,773		692,810		1,538,655	241,874	2,515	73,710	170,679
Small Cap Index Fund		892,801		49,560		270,547		671,814	68,490	3,731	19,867	52,354
International Index Fund		556,501		9,800		139,309		426,992	52,639	874	12,642	40,871
Equity and Bond Fund		398,300		7,477		46,416		359,361	41,977	777	4,875	37,879
Bond Fund		849,464		21,533		314,495		556,502	80,589	2,052	30,225	52,416
Money Market Fund		5,121,354		34,001		3,606,437		1,548,918	5,121,354	34,001	3,606,437	1,548,918
LifePath Income Fund		772,253		17,970		46,228		743,995	69,577	1,614	4,148	67,043
LifePath 2010 Fund		1,642,374		39,812		104,107		1,578,079	139,019	3,351	8,831	133,539
LifePath 2020 Fund		2,923,287		65,993		193,917		2,795,363	232,942	5,177	15,394	222,725
LifePath 2030 Fund		2,373,384		49,501		197,215		2,225,670	183,377	3,710	15,173	171,914
LifePath 2040 Fund		1,945,271		36,946		183,840		1,798,377	144,877	2,665	13,610	133,932


	Class R-2 Dollar Amounts								Class R-2 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	935,900	$	99,950	$	17,184	$	1,018,666	111,104	12,355	2,053	121,406
Small Cap Equity Fund		211,509		9,497		17,017		203,989	20,688	921	1,667	19,942
International Equity Fund		183,029		2,181		21,437		163,773	18,742	204	2,340	16,606
S&P 500 Index Fund		2,462,254		26,174		172,341		2,316,087	268,689	2,727	18,488	252,928
Small Cap Index Fund		486,089		23,026		43,125		465,990	37,574	1,727	3,205	36,096
International Index Fund		540,332		7,540		96,261		451,611	51,919	658	9,062	43,515
Equity and Bond Fund		89,732		1,557		—		91,289	9,475	162	—	9,637
Bond Fund		799,918		13,185		162,807		650,296	76,564	1,257	15,497	62,324
Money Market Fund		4,703,751		19,470		3,266,822		1,456,399	4,703,751	19,470	3,266,822	1,456,399
LifePath Income Fund		593,593		13,556		29,538		577,611	53,466	1,210	2,643	52,033
LifePath 2010 Fund		957,433		21,984		49,219		930,198	82,170	1,843	4,135	79,878
LifePath 2020 Fund		1,475,260		30,688		36,377		1,469,571	119,265	2,396	2,865	118,796
LifePath 2030 Fund		1,170,154		23,503		15,415		1,178,242	91,303	1,753	1,195	91,861
LifePath 2040 Fund		1,397,915		26,282		7,684		1,416,513	106,660	1,881	573	107,968

137

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-3 Dollar Amounts								Class R-3 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	103,458	$	11,547	$	1,977	$	113,029	12,304	1,428	234	13,498
Small Cap Equity Fund		92,466		4,052		9,921		86,597	8,994	391	990	8,395
International Equity Fund		51,417		840		18		52,239	5,241	78	2	5,317
S&P 500 Index Fund		180,154		1,755		38,521		143,388	19,609	182	4,348	15,443
Small Cap Index Fund		66,696		2,874		14,719		54,851	5,076	215	1,194	4,097
International Index Fund		41,328		765		2,865		39,228	4,007	67	276	3,798
Equity and Bond Fund		47,845		715		9,117		39,443	5,040	74	965	4,149
Bond Fund		109,346		2,787		1,496		110,637	10,360	266	141	10,485
Money Market Fund		1,072,522		4,598		902,360		174,760	1,072,522	4,598	902,360	174,760
LifePath Income Fund		260		4		—		264	23	1	—	24
LifePath 2010 Fund		182,351		4,840		255		186,936	15,365	406	22	15,749
LifePath 2020 Fund		826,882		19,358		37,611		808,629	66,253	1,510	3,060	64,703
LifePath 2030 Fund		324,571		6,145		4,318		326,398	24,997	458	325	25,130
LifePath 2040 Fund		50,503		1,085		92		51,496	3,826	78	6	3,898

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


	Class A Dollar Amounts								Class A Share Amounts
2004	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

138

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class B Dollar Amounts										Class B Share Amounts
2004	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
2004	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

139

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-1 Dollar Amounts								Class R-1 Share Amounts
2004	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
2004	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

140

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-3 Dollar Amounts								Class R-3 Share Amounts
2004	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

141

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)


			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
Year ended 12/31/2005	$	8.54	$	0.09		$	0.50		$	0.59		(0.09	)	$	(0.83	)	$	(0.92	)
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	)	—			—			—
Class B Shares
Year ended 12/31/2005		8.49		0.06			0.50			0.56		(0.06	)		(0.83	)		(0.89	)
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	)	—			—			—
Institutional Shares
Year ended 12/31/2005		8.34		0.12			0.49			0.61		(0.12	)		(0.83	)		(0.95	)
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 (d)		7.54		0.02			0.34			0.36		(0.02	)		—			(0.02	)
Class R-1 Shares
Year ended 12/31/2005		8.33		0.06			0.49			0.55		(0.07	)		(0.83	)		(0.90	)
Period ended 12/31/2004 (f)		7.75		0.04			0.64			0.68		(0.10	)		—			(0.10	)
Class R-2 Shares
Year ended 12/31/2005		8.33		0.08			0.50			0.58		(0.09	)		(0.83	)		(0.92	)
Period ended 12/31/2004 (f)		7.75		0.04			0.64			0.68		(0.10	)		—			(0.10	)
Class R-3 Shares
Year ended 12/31/2005		8.33		0.10			0.51			0.61		(0.11	)		(0.83	)		(0.94	)
Period ended 12/31/2004 (f)		7.75		0.05			0.64			0.69		(0.11	)		—			(0.11	)

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

(e)	Determined on an annualized basis.

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

(g)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

142


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations				Portfolio turnover rate
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
$	8.21	6.76	%	$	99.1	1.20	%	1.05	%	1.21	%	1.04	%	90	%
	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
	8.16	6.42			45.9	1.60		0.65		1.61		0.64		90
	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
	8.00	7.15			128.4	0.88		1.38		0.89		1.37		90
	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	(g)
	7.98	6.49			1.6	1.52		0.74		1.54		0.72		90
	8.33	8.76			1.1	1.51	(e)	1.33	(e)	1.51	(e)	1.33	(e)	2	(g)
	7.99	6.79			2.0	1.32		0.95		1.34		0.93		90
	8.33	8.82			1.1	1.31	(e)	1.53	(e)	1.31	(e)	1.53	(e)	2	(g)
	8.00	7.16			1.1	1.02		1.23		1.03		1.22		90
	8.33	8.94			1.1	1.01	(e)	1.84	(e)	1.01	(e)	1.84	(e)	2	(g)

See accompanying notes to financial statements.

143

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)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (c)		Net realized gain			Total distributions
Class A Shares
Year ended 12/31/2005	$	10.45	$	(0.04	)	$	0.21		$	0.17		$	—	$	(0.50	)	$	(0.50	)
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	)
Class B Shares
Year ended 12/31/2005		10.29		(0.08	)		0.20			0.12			—		(0.50	)		(0.50	)
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	)
Institutional Shares
Year ended 12/31/2005		10.55		(0.01	)		0.21			0.20			—		(0.50	)		(0.50	)
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 (f)		9.00		0.03			(1.97	)		(1.94	)		—		—			—
Class R-1 Shares
Year ended 12/31/2005		10.52		(0.07	)		0.20			0.13			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (h)		8.79		(0.02	)		1.75			1.73			—		—			—
Class R-2 Shares
Year ended 12/31/2005		10.53		(0.05	)		0.20			0.15			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (h)		8.79		(0.01	)		1.75			1.74			—		—			—
Class R-3 Shares
Year ended 12/31/2005		10.54		(0.02	)		0.21			0.19			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (h)		8.79		—			1.75			1.75			—		—			—

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

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

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

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

(g)	Determined on an annualized basis.

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

(i)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

144


				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 (d)		Net assets, end of period (millions)		Expenses (e)		Net investment income (loss)		Expenses (e)		Net investment income (loss)		Portfolio turnover rate
$	10.12	1.57	%	$	65.1	1.40	%	(0.39	)%	1.51	%	(0.50	)%	61	%
	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
	9.91	1.10			41.2	1.80		(0.80	)	1.91		(0.91	)	61
	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
	10.25	1.83			13.5	1.07		(0.07	)	1.18		(0.18	)	61
	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	(g)	0.40	(g)	0.98	(g)	0.32	(g)	29	(i)
	10.15	1.17			1.6	1.72		(0.71	)	1.83		(0.82	)	61
	10.52	19.68			1.2	1.72	(g)	(0.47	)(g)	1.80	(g)	(0.55	)(g)	37	(i)
	10.18	1.36			1.4	1.52		(0.51	)	1.63		(0.62	)	61
	10.53	19.80			1.2	1.52	(g)	(0.28	)(g)	1.60	(g)	(0.36	)(g)	37	(i)
	10.23	1.74			1.3	1.22		(0.22	)	1.33		(0.33	)	61
	10.54	19.91			1.2	1.22	(g)	0.02	(g)	1.30	(g)	(0.06	)(g)	37	(i)

See accompanying notes to financial statements.

145

STATE FARM MUTUAL FUND TRUST INTERNATIONAL 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 (d)		Total distributions
Class A Shares
Year ended 12/31/2005	$	9.36	$	0.07		$	1.45		$	1.52		$	(0.14	)	$	—	$	(0.14	)
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	)		—			—		—
Class B Shares
Year ended 12/31/2005		9.31		0.04			1.44			1.48			(0.11	)		—		(0.11	)
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	)		—			—		—
Institutional Shares
Year ended 12/31/2005		9.31		0.10			1.44			1.54			(0.17	)		—		(0.17	)
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 (g)		7.34		0.03			(0.95	)		(0.92	)		(0.13	)		—		(0.13	)
Class R-1 Shares
Year ended 12/31/2005		9.32		0.04			1.44			1.48			(0.12	)		—		(0.12	)
Period ended 12/31/2004 (i)		8.32		(0.02	)		1.11			1.09			(0.09	)		—		(0.09	)
Class R-2 Shares
Year ended 12/31/2005		9.32		0.06			1.46			1.52			(0.13	)		—		(0.13	)
Period ended 12/31/2004 (i)		8.32		(0.01	)		1.10			1.09			(0.09	)		—		(0.09	)
Class R-3 Shares
Year ended 12/31/2005		9.32		0.09			1.45			1.54			(0.16	)		—		(0.16	)
Period ended 12/31/2004 (i)		8.32		—			1.10			1.10			(0.10	)		—		(0.10	)

(a)	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.

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

(h)	Determined on an annualized basis.

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

(j)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

146


				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 (f)		Net investment income (loss)		Expenses (f)		Net investment income (loss)		Portfolio turnover rate
$	10.74	16.27	%	$	44.7	1.50	%	0.78	%	1.73	%	0.55	%	27	%
	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
	10.68	15.84			34.3	1.90		0.40		2.13		0.17		27
	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
	10.68	16.57			9.3	1.17		1.09		1.41		0.85		27
	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	(h)	0.56	(h)	1.51	(h)	0.05	(h)	24	(j)
	10.68	15.86			1.6	1.82		0.42		2.05		0.19		27
	9.32	13.06			1.2	1.82	(h)	(0.70	)(h)	2.04	(h)	(0.92	)(h)	22	(j)
	10.71	16.34			1.5	1.62		0.67		1.85		0.44		27
	9.32	13.12			1.1	1.62	(h)	(0.49	)(h)	1.84	(h)	(0.71	)(h)	22	(j)
	10.70	16.51			1.3	1.32		0.97		1.55		0.74		27
	9.32	13.22			1.1	1.32	(h)	(0.19	)(h)	1.54	(h)	(0.41	)(h)	22	(j)

See accompanying notes to financial statements.

147

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			Net realized gain (c)		Total distributions
Class A Shares
Year ended 12/31/2005	$	9.18	$	0.10	$	0.28		$	0.38		$	(0.10	)	$	—	$	(0.10	)
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	)
Class B Shares
Year ended 12/31/2005		9.18		0.06		0.28			0.34			(0.06	)		—		(0.06	)
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	)
Institutional Shares
Year ended 12/31/2005		9.21		0.13		0.28			0.41			(0.13	)		—		(0.13	)
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 (g)		8.35		0.09		(1.72	)		(1.63	)		(0.07	)		—		(0.07	)
Class R-1 Shares
Year ended 12/31/2005		9.20		0.07		0.27			0.34			(0.07	)		—		(0.07	)
Period ended 12/31/2004 (i)		8.62		0.04		0.66			0.70			(0.12	)		—		(0.12	)
Class R-2 Shares
Year ended 12/31/2005		9.20		0.09		0.28			0.37			(0.11	)		—		(0.11	)
Period ended 12/31/2004 (i)		8.62		0.05		0.65			0.70			(0.12	)		—		(0.12	)
Class R-3 Shares
Year ended 12/31/2005		9.20		0.12		0.28			0.40			(0.11	)		—		(0.11	)
Period ended 12/31/2004 (i)		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 1.84%, respectively, for the year ended December 31, 2005.

(b)	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 2001.

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

(g)	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.

(h)	Determined on an annualized basis.

(i)	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.

148


				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 (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (a) (e)		Net investment income (loss) (a)		Portfolio turnover rate (f)
$	9.46	4.08	%	$	339.8	0.80	%	1.10	%	0.82	%	1.08	%	14	%
	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
	9.46	3.69			139.0	1.20		0.70		1.22		0.68		14
	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
	9.49	4.38			53.0	0.48		1.42		0.50		1.40		14
	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	(h)	1.48	(h)	0.35	(h)	1.43	(h)	12
	9.47	3.73			3.3	1.12		0.79		1.15		0.76		14
	9.20	8.12			1.6	1.12	(h)	1.65	(h)	1.12	(h)	1.65	(h)	14
	9.46	3.95			3.5	0.92		1.02		0.95		0.99		14
	9.20	8.11			1.1	0.92	(h)	1.93	(h)	0.92	(h)	1.93	(h)	14
	9.49	4.35			1.3	0.62		1.28		0.65		1.25		14
	9.20	8.20			1.1	0.62	(h)	2.24	(h)	0.62	(h)	2.24	(h)	14

See accompanying notes to financial statements.

149

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
Year ended 12/31/2005	$	13.31	$	0.05	$	0.43		$	0.48		$	(0.01	)	$	(0.67	)	($0.68	)
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	)
Class B Shares
Year ended 12/31/2005		13.23		—		0.43			0.43			—			(0.67	)	(0.67	)
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	)
Institutional Shares
Year ended 12/31/2005		13.44		0.10		0.43			0.53			(0.05	)		(0.67	)	(0.72	)
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 (j)		9.95		0.10		(1.83	)		(1.73	)		—			(0.05	)	(0.05	)
Class R-1 Shares
Year ended 12/31/2005		13.44		0.01		0.43			0.44			—			(0.67	)	(0.67	)
Period ended 12/31/2004 (l)		12.13		0.02		1.73			1.75			(0.05	)		(0.39	)	(0.44	)
Class R-2 Shares
Year ended 12/31/2005		13.44		0.04		0.44			0.48			(0.01	)		(0.67	)	(0.68	)
Period ended 12/31/2004 (l)		12.13		0.03		1.73			1.76			(0.06	)		(0.39	)	(0.45	)
Class R-3 Shares
Year ended 12/31/2005		13.44		0.08		0.43			0.51			(0.03	)		(0.67	)	(0.70	)
Period ended 12/31/2004 (l)		12.13		0.04		1.73			1.77			(0.07	)		(0.39	)	(0.46	)

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

(b)	Net investment income for Class B shares represent less than $0.01 per share in 2003, 2004 and 2005.

(c)	The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Portfolio through September 9, 2005.

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

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

See accompanying notes to financial statements.

150


				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)
$	13.11	3.55	%	$	157.2	0.95	%	0.41	%	1.01	%	0.35	%	3	%
	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

	12.99	3.18			75.2	1.35		0.00		1.41		(0.06	)	3
	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

	13.25	3.89			31.2	0.63		0.73		0.69		0.67		3
	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

	13.21	3.20			2.0	1.27		0.09		1.33		0.03		3
	13.44	14.42			1.3	1.27	(k)	0.57	(k)	1.31	(k)	0.53	(k)	20

	13.24	3.46			1.6	1.07		0.29		1.13		0.23		3
	13.44	14.46			1.1	1.07	(k)	0.74	(k)	1.11	(k)	0.70	(k)	20

	13.25	3.75			1.1	0.77		0.58		0.83		0.52		3
	13.44	14.55			1.1	0.77	(k)	1.04	(k)	0.81	(k)	1.00	(k)	20

(i)

The 2005 portfolio turnover rate reflects the period from September 9, 2005 to December 31, 2005. Prior to September 9, 2005, the Small Cap Index Fund invested all of its assets in its corresponding Master Portfolio. The portfolio turnover rate of the Master Portfolio for the period January 1, 2005 through September 9, 2005 was 19%. The portfolio turnover rate for all other years represents that of the Master Portfolio.

(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 February 28, 2002.

(k)	Determined on an annualized basis.

(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.

151

STATE FARM MUTUAL FUND TRUST INTERNATIONAL 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			Net realized gain (c)		Total distributions
Class A Shares
Year ended 12/31/2005	$	10.30	$	0.16	$	1.15		$	1.31		$	(0.19	)	$	—	$	(0.19	)
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	)
Class B Shares
Year ended 12/31/2005		10.29		0.12		1.15			1.27			(0.14	)		—		(0.14	)
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	)		—			—		—
Institutional Shares
Year ended 12/31/2005		10.33		0.20		1.15			1.35			(0.22	)		—		(0.22	)
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 (g)		7.48		0.08		(1.01	)		(0.93	)		(0.11	)		—		(0.11	)
Class R-1 Shares
Year ended 12/31/2005		10.32		0.13		1.15			1.28			(0.15	)		—		(0.15	)
Period ended 12/31/2004 (i)		9.07		0.01		1.37			1.38			(0.13	)		—		(0.13	)
Class R-2 Shares
Year ended 12/31/2005		10.32		0.15		1.16			1.31			(0.18	)		—		(0.18	)
Period ended 12/31/2004 (i)		9.07		0.01		1.38			1.39			(0.14	)		—		(0.14	)
Class R-3 Shares
Year ended 12/31/2005		10.32		0.19		1.14			1.33			(0.20	)		—		(0.20	)
Period ended 12/31/2004 (i)		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 the income and expenses of the Master Portfolio through September 9, 2005.

(b)	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 2001.

(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)

The 2005 portfolio turnover rate reflects the period from September 9, 2005 to December 31, 2005. Prior to September 9, 2005, the International Index Fund invested all of its assets in its corresponding Master Portfolio. The portfolio turnover rate of the Master Portfolio for the period January 1, 2005 through September 9, 2005 was 4%. The portfolio turnover rate for all other years represents that of the Master Portfolio.

(g)	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.

See accompanying notes to financial statements.

152


				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 (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (a) (e)		Net investment income (loss) (a)		Portfolio turnover rate (f)
$	11.42	12.67	%	$	90.9	1.15	%	1.54	%	1.28	%	1.41	%	1	%
	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
	11.42	12.36			47.5	1.55		1.17		1.68		1.04		1
	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
	11.46	13.02			19.1	0.83		1.86		0.96		1.73		1
	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	(h)	1.33	(h)	0.74	(h)	1.24	(h)	20
	11.45	12.44			1.9	1.47		1.23		1.60		1.10		1
	10.32	15.24			1.3	1.47	(h)	0.28	(h)	1.56	(h)	0.19	(h)	39
	11.45	12.66			1.8	1.27		1.41		1.40		1.28		1
	10.32	15.27			1.1	1.27	(h)	0.47	(h)	1.36	(h)	0.38	(h)	39
	11.45	12.88			1.3	0.97		1.75		1.10		1.62		1
	10.32	15.37			1.1	0.97	(h)	0.77	(h)	1.05	(h)	0.69	(h)	39

(h)	Determined on an annualized basis.

(i)	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.

153

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
Year ended 12/31/2005	$	9.52	$	0.21	$	0.17		$	0.38		$	(0.14	)	$	—		$	(0.14	)
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	)
Class B Shares
Year ended 12/31/2005		9.53		0.17		0.19			0.36			(0.12	)		—			(0.12	)
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	)
Institutional Shares
Year ended 12/31/2005		9.47		0.25		0.15			0.40			(0.16	)		—			(0.16	)
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 (f)		8.94		0.22		(0.94	)		(0.72	)		(0.16	)		—			(0.16	)
Class R-1 Shares
Year ended 12/31/2005		9.40		0.19		0.17			0.36			(0.14	)		—			(0.14	)
Period ended 12/31/2004 (h)		9.13		0.13		0.35			0.48			(0.21	)		—			(0.21	)
Class R-2 Shares
Year ended 12/31/2005		9.40		0.20		0.17			0.37			(0.14	)		—			(0.14	)
Period ended 12/31/2004 (h)		9.13		0.14		0.35			0.49			(0.22	)		—			(0.22	)
Class R-3 Shares
Year ended 12/31/2005		9.40		0.22		0.17			0.39			(0.15	)		—			(0.15	)
Period ended 12/31/2004 (h)		9.13		0.15		0.35			0.50			(0.23	)		—			(0.23	)

(a)	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 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)	Represents less than 0.5% in 2003.

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

(g)	Determined on an annualized basis.

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

(i)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

154


				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 (c)		Net assets, end of period (millions)		Expenses (d)		Net investment income		Expenses (d)		Net investment income		Portfolio turnover rate
$	9.76	4.70	%	$	108.9	0.33	%	2.18	%	0.47	%	2.04	%	1	%
	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	(e)
	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
	9.77	4.28			60.4	0.73		1.77		0.87		1.63		1
	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	(e)
	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
	9.71	5.14			9.0	0.00		2.59		0.14		2.45		1
	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	(e)
	8.06	(7.12	)		1.5	0.00	(g)	3.33	(g)	0.09	(g)	3.24	(g)	3	(i)
	9.62	4.36			1.5	0.64		1.97		0.78		1.83		1
	9.40	5.28			1.1	0.82	(g)	3.77	(g)	0.92	(g)	3.67	(g)	1	(i)
	9.63	4.56			1.1	0.45		2.07		0.59		1.93		1
	9.40	5.33			1.0	0.62	(g)	3.82	(g)	0.72	(g)	3.72	(g)	1	(i)
	9.64	4.96			1.1	0.15		2.36		0.29		2.22		1
	9.40	5.43			1.0	0.32	(g)	4.13	(g)	0.42	(g)	4.03	(g)	1	(i)

See accompanying notes to financial statements.

155

STATE FARM MUTUAL FUND TRUST 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		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations			Net investment income			Net realized gain			Total distributions
Class A Shares
Year ended 12/31/2005	$	10.66	$	0.41	($0.27	)	$	0.14		$	(0.41	)	$	—		$	(0.41	)
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	)
Class B Shares
Year ended 12/31/2005		10.66		0.37	(0.27	)		0.10			(0.37	)		—			(0.37	)
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	)
Institutional Shares
Year ended 12/31/2005		10.64		0.44	(0.26	)		0.18			(0.44	)		—			(0.44	)
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 (c)		10.73		0.10	(0.36	)		(0.26	)		(0.10	)		(0.04	)		(0.14	)
Class R-1 Shares
Year ended 12/31/2005		10.64		0.38	(0.26	)		0.12			(0.38	)		—			(0.38	)
Period ended 12/31/2004 (e)		10.61		0.13	0.03			0.16			(0.13	)		—			(0.13	)
Class R-2 Shares
Year ended 12/31/2005		10.65		0.40	(0.28	)		0.12			(0.40	)		—			(0.40	)
Period ended 12/31/2004 (e)		10.61		0.14	0.04			0.18			(0.14	)		—			(0.14	)
Class R-3 Shares
Year ended 12/31/2005		10.65		0.43	(0.27	)		0.16			(0.43	)		—			(0.43	)
Period ended 12/31/2004 (e)		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)	From commencement of investment operations November 1, 2001.

(d)	Determined on an annualized basis.

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

(f)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

156


				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 (a)		Net assets, end of period (millions)		Expenses (b)		Net investment income (loss)		Expenses (b)		Net investment income (loss)		Portfolio turnover rate
$	10.39	1.32	%	$	138.0	0.70	%	3.89	%	0.73	%	3.86	%	11	%
	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
	10.39	0.93			55.8	1.10		3.49		1.13		3.46		11
	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
	10.38	1.76			81.4	0.37		4.22		0.40		4.19		11
	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	(f)
	10.38	1.12			1.7	1.02		3.58		1.05		3.55		11
	10.64	1.53			1.2	1.00	(d)	3.48	(d)	1.00	(d)	3.48	(d)	12	(f)
	10.37	1.12			1.6	0.82		3.78		0.85		3.75		11
	10.65	1.70			1.0	0.80	(d)	3.68	(d)	0.80	(d)	3.68	(d)	12	(f)
	10.38	1.51			1.1	0.52		4.08		0.55		4.05		11
	10.65	1.81			1.0	0.50	(d)	3.98	(d)	0.50	(d)	3.98	(d)	12	(f)

See accompanying notes to financial statements.

157

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED 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		Net gain (loss) on investments (both realized and unrealized)		Total from investment operations		Net investment income			Net realized gain		Total distributions
Class A Shares
Year ended 12/31/2005	$	11.13	$	0.43	($0.17	)	$	0.26	$	(0.43	)	$	—	$	(0.43	)
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	)
Class B Shares
Year ended 12/31/2005		11.13		0.38	(0.17	)		0.21		(0.38	)		—		(0.38	)
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	)
Institutional Shares
Year ended 12/31/2005		11.14		0.47	(0.17	)		0.30		(0.47	)		—		(0.47	)
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 (c)		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)	From commencement of investment operations February 28, 2002.

(d)	Determined on an annualized basis.

(e)	Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

158


				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 (a)		Net assets, end of period (millions)		Expenses (b)		Net investment income		Expenses (b)		Net investment income		Portfolio turnover rate
$	10.96	2.35	%	$	73.3	0.70	%	3.86	%	0.72	%	3.84	%	0	%
	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
	10.96	1.94			34.0	1.10		3.47		1.12		3.45		0
	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
	10.97	2.69			0.2	0.38		4.19		0.40		4.17		0
	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	(e)

See accompanying notes to financial statements.

159

STATE FARM MUTUAL FUND TRUST MONEY MARKET 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)		Total from investment operations		Net investment income (a) (b)			Total distributions
Class A Shares
Year ended 12/31/2005	$	1.00	$	0.03	$	0.03	$	(0.03	)	$	(0.03	)
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	)
Class B Shares
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
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	)
Institutional Shares
Year ended 12/31/2005		1.00		0.03		0.03		(0.03	)		(0.03	)
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 (e)		1.00		0.01		0.01		(0.01	)		(0.01	)
Class R-1 Shares
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
Period ended 12/31/2004 (g)		1.00		—		—		—			—
Class R-2 Shares
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
Period ended 12/31/2004 (g)		1.00		—		—		—			—
Class R-3 Shares
Year ended 12/31/2005		1.00		0.03		0.03		(0.03	)		(0.03	)
Period ended 12/31/2004 (g)		1.00		—		—		—			—

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

(b)	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.

(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 B shares. All other classes do not have a sales charge.

(d)	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.

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

(f)	Determined on an annualized basis.

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

See accompanying notes to financial statements.

160


				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 (c)		Net assets, end of period (millions)		Expenses (d)		Net investment income		Expenses (d)		Net investment income
$	1.00	2.64	%	$	80.5	0.60	%	2.62	%	0.71	%	2.51	%
	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	2.22			6.4	1.00		2.22		1.11		2.11
	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	2.89			11.2	0.37		2.85		0.48		2.74
	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	(f)	1.47	(f)	0.27	(f)	1.40	(f)
	1.00	2.32			2.7	0.92		2.42		1.04		2.30
	1.00	0.31			1.1	0.92	(f)	0.94	(f)	0.98	(f)	0.88	(f)
	1.00	2.51			2.5	0.72		2.51		0.83		2.40
	1.00	0.38			1.0	0.72	(f)	1.14	(f)	0.78	(f)	1.08	(f)
	1.00	2.72			1.2	0.52		2.72		0.63		2.61
	1.00	0.45			1.1	0.52	(f)	1.34	(f)	0.58	(f)	1.28	(f)

See accompanying notes to financial statements.

161

STATE FARM MUTUAL FUND TRUST LIFEPATH INCOME 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
Year ended 12/31/2005	$	11.11	$	0.26	$	0.17	$	0.43	$	(0.27	)	$	(0.03	)	$	(0.30	)
Year ended 12/31/2004		10.82		0.17		0.46		0.63		(0.17	)		(0.17	)		(0.34	)
Period ended 12/31/2003 (h)		10.00		0.07		0.80		0.87		(0.05	)		—			(0.05	)
Class B Shares
Year ended 12/31/2005		11.10		0.21		0.17		0.38		(0.21	)		(0.03	)		(0.24	)
Year ended 12/31/2004		10.81		0.13		0.46		0.59		(0.13	)		(0.17	)		(0.30	)
Period ended 12/31/2003 (h)		10.00		0.05		0.79		0.84		(0.03	)		—			(0.03	)
Institutional Shares
Year ended 12/31/2005		11.13		0.29		0.17		0.46		(0.29	)		(0.03	)		(0.32	)
Year ended 12/31/2004		10.84		0.23		0.46		0.69		(0.23	)		(0.17	)		(0.40	)
Period ended 12/31/2003 (h)		10.00		0.10		0.80		0.90		(0.06	)		—			(0.06	)
Class R-1 Shares
Year ended 12/31/2005		11.08		0.22		0.17		0.39		(0.31	)		(0.03	)		(0.34	)
Period ended 12/31/2004 (j)		10.95		0.04		0.44		0.48		(0.18	)		(0.17	)		(0.35	)
Class R-2 Shares
Year ended 12/31/2005		11.09		0.25		0.17		0.42		(0.24	)		(0.03	)		(0.27	)
Period ended 12/31/2004 (j)		10.95		0.05		0.43		0.48		(0.17	)		(0.17	)		(0.34	)
Class R-3 Shares
Year ended 12/31/2005		11.09		0.28		0.17		0.45		(0.26	)		(0.03	)		(0.29	)
Period ended 12/31/2004 (j)		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 year ended December 31, 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 3.24%, respectively, for the year ended December 31, 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 year ended December 31, 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 2.90%, respectively, for the year ended December 31, 2005.

See accompanying notes to financial statements.

162


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	11.24	3.86	%	$	101.2	1.26	%	2.30	%	1.63	%	1.93	%	11	%
	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
	11.24	3.44			11.1	1.66		1.91		2.03		1.54		11
	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
	11.27	4.19			8.6	0.93		2.64		1.30		2.27		11
	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
	11.13	3.55			0.9	1.58		1.96		1.95		1.59		11
	11.08	4.44			0.1	1.56	(i)	1.30	(i)	1.86	(i)	1.00	(i)	138
	11.24	3.80			0.7	1.38		2.16		1.75		1.79		11
	11.09	4.43			0.1	1.36	(i)	1.46	(i)	1.65	(i)	1.17	(i)	138
	11.25	4.09			0.1	1.08		2.49		1.45		2.12		11
	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)	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.

(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 September 13, 2004.

See accompanying notes to financial statements.

163

STATE FARM MUTUAL FUND TRUST LIFEPATH 2010 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
Year ended 12/31/2005	$	11.58	$	0.24	$	0.31	$	0.55	$	(0.23	)	$	(0.06	)	$	(0.29	)
Year ended 12/31/2004		11.16		0.17		0.61		0.78		(0.13	)		(0.23	)		(0.36	)
Period ended 12/31/2003 (h)		10.00		0.06		1.13		1.19		(0.03	)		—			(0.03	)
Class B Shares
Year ended 12/31/2005		11.54		0.19		0.32		0.51		(0.18	)		(0.06	)		(0.24	)
Year ended 12/31/2004		11.14		0.12		0.61		0.73		(0.10	)		(0.23	)		(0.33	)
Period ended 12/31/2003 (h)		10.00		0.04		1.12		1.16		(0.02	)		—			(0.02	)
Institutional Shares
Year ended 12/31/2005		11.64		0.28		0.32		0.60		(0.26	)		(0.06	)		(0.32	)
Year ended 12/31/2004		11.21		0.23		0.60		0.83		(0.17	)		(0.23	)		(0.40	)
Period ended 12/31/2003 (h)		10.00		0.09		1.16		1.25		(0.04	)		—			(0.04	)
Class R-1 Shares
Year ended 12/31/2005		11.64		0.21		0.29		0.50		(0.23	)		(0.06	)		(0.29	)
Period ended 12/31/2004 (j)		11.37		0.04		0.61		0.65		(0.15	)		(0.23	)		(0.38	)
Class R-2 Shares
Year ended 12/31/2005		11.64		0.23		0.31		0.54		(0.22	)		(0.06	)		(0.28	)
Period ended 12/31/2004 (j)		11.37		0.05		0.60		0.65		(0.15	)		(0.23	)		(0.38	)
Class R-3 Shares
Year ended 12/31/2005		11.64		0.27		0.30		0.57		(0.25	)		(0.06	)		(0.31	)
Period ended 12/31/2004 (j)		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 year ended December 31, 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 2.96%, respectively, for the year ended December 31, 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 year ended December 31, 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 2.62%, respectively, for the year ended December 31, 2005.

See accompanying notes to financial statements.

164


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	11.84	4.73	%	$	216.5	1.24	%	2.04	%	1.58	%	1.70	%	12	%
	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
	11.81	4.45			41.3	1.64		1.64		1.98		1.30		12
	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
	11.92	5.14			23.1	0.92		2.37		1.26		2.03		12
	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
	11.85	4.31			1.7	1.56		1.81		1.90		1.47		12
	11.64	5.66			0.1	1.55	(i)	1.27	(i)	1.85	(i)	0.97	(i)	130
	11.90	4.63			1.1	1.36		1.91		1.70		1.57		12
	11.64	5.67			0.1	1.35	(i)	1.38	(i)	1.65	(i)	1.08	(i)	130
	11.90	4.95			0.3	1.06		2.28		1.40		1.94		12
	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)	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.

(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 September 13, 2004.

See accompanying notes to financial statements.

165

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
Year ended 12/31/2005	$	12.24	$	0.20	$	0.54	$	0.74	$	(0.18	)	$	(0.10	)	$	(0.28	)
Year ended 12/31/2004		11.55		0.16		0.85		1.01		(0.12	)		(0.20	)		(0.32	)
Period ended 12/31/2003 (h)		10.00		0.06		1.52		1.58		(0.03	)		—			(0.03	)
Class B Shares
Year ended 12/31/2005		12.22		0.15		0.55		0.70		(0.14	)		(0.10	)		(0.24	)
Year ended 12/31/2004		11.54		0.11		0.85		0.96		(0.08	)		(0.20	)		(0.28	)
Period ended 12/31/2003 (h)		10.00		0.04		1.52		1.56		(0.02	)		—			(0.02	)
Institutional Shares
Year ended 12/31/2005		12.31		0.24		0.55		0.79		(0.21	)		(0.10	)		(0.31	)
Year ended 12/31/2004		11.59		0.22		0.86		1.08		(0.16	)		(0.20	)		(0.36	)
Period ended 12/31/2003 (h)		10.00		0.10		1.53		1.63		(0.04	)		—			(0.04	)
Class R-1 Shares
Year ended 12/31/2005		12.31		0.18		0.53		0.71		(0.19	)		(0.10	)		(0.29	)
Period ended 12/31/2004 (j)		11.79		0.05		0.81		0.86		(0.14	)		(0.20	)		(0.34	)
Class R-2 Shares
Year ended 12/31/2005		12.32		0.19		0.54		0.73		(0.18	)		(0.10	)		(0.28	)
Period ended 12/31/2004 (j)		11.79		0.05		0.82		0.87		(0.14	)		(0.20	)		(0.34	)
Class R-3 Shares
Year ended 12/31/2005		12.32		0.23		0.55		0.78		(0.21	)		(0.10	)		(0.31	)
Period ended 12/31/2004 (j)		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 year ended December 31, 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 2.53%, respectively, for the year ended December 31, 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 year ended December 31, 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 2.19%, respectively, for the year ended December 31, 2005.

See accompanying notes to financial statements.

166


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	12.70	6.02	%	$	313.5	1.22	%	1.63	%	1.56	%	1.29	%	17	%
	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
	12.68	5.67			70.9	1.62		1.22		1.96		0.88		17
	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
	12.79	6.41	(k)		38.8	0.91		1.94		1.24		1.61		17
	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
	12.73	5.71			3.0	1.54		1.51		1.88		1.17		17
	12.31	7.32			0.2	1.55	(i)	1.46	(i)	1.86	(i)	1.15	(i)	140
	12.77	5.94			1.6	1.35		1.52		1.67		1.20		17
	12.32	7.38			0.1	1.35	(i)	1.35	(i)	1.65	(i)	1.05	(i)	140
	12.79	6.29			0.9	1.05		1.82		1.37		1.50		17
	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)	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.

(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 September 13, 2004.

(k)

Based upon net asset value of $12.79 as of December 31, 2005 (as calculated for financial reporting purposes, taking into account transactions that occurred on December 30, 2005). For shareholder purchases and redemptions on December 30, 2005, the net asset value was $12.80, which caused the total return for the year ended December 31, 2005 to be equivalent to 6.49%.

See accompanying notes to financial statements.

167

STATE FARM MUTUAL FUND TRUST LIFEPATH 2030 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
Year ended 12/31/2005	$	12.70	$	0.17	$	0.74	$	0.91	$	(0.15	)	$	(0.14	)	$	(0.29	)
Year ended 12/31/2004		11.80		0.14		1.08		1.22		(0.10	)		(0.22	)		(0.32	)
Period ended 12/31/2003 (h)		10.00		0.07		1.76		1.83		(0.03	)		—			(0.03	)
Class B Shares
Year ended 12/31/2005		12.65		0.12		0.73		0.85		(0.10	)		(0.14	)		(0.24	)
Year ended 12/31/2004		11.77		0.09		1.07		1.16		(0.06	)		(0.22	)		(0.28	)
Period ended 12/31/2003 (h)		10.00		0.04		1.75		1.79		(0.02	)		—			(0.02	)
Institutional Shares
Year ended 12/31/2005		12.74		0.21		0.76		0.97		(0.18	)		(0.14	)		(0.32	)
Year ended 12/31/2004		11.83		0.20		1.06		1.26		(0.13	)		(0.22	)		(0.35	)
Period ended 12/31/2003 (h)		10.00		0.10		1.77		1.87		(0.04	)		—			(0.04	)
Class R-1 Shares
Year ended 12/31/2005		12.74		0.15		0.72		0.87		(0.14	)		(0.14	)		(0.28	)
Period ended 12/31/2004 (j)		12.04		0.05		0.98		1.03		(0.11	)		(0.22	)		(0.33	)
Class R-2 Shares
Year ended 12/31/2005		12.75		0.16		0.74		0.90		(0.14	)		(0.14	)		(0.28	)
Period ended 12/31/2004 (j)		12.04		0.05		0.99		1.04		(0.11	)		(0.22	)		(0.33	)
Class R-3 Shares
Year ended 12/31/2005		12.75		0.19		0.74		0.93		(0.17	)		(0.14	)		(0.31	)
Period ended 12/31/2004 (j)		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 ex- penses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the year ended December 31, 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 Port- folios, 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 2.22%, respectively, for the year ended December 31, 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 year ended December 31, 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 1.88%, respectively, for the year ended December 31, 2005.

See accompanying notes to financial statements.

168


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	13.32	7.11	%	$	192.3	1.21	%	1.32	%	1.57	%	0.96	%	24	%
	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
	13.26	6.72			52.7	1.61		0.91		1.97		0.55		24
	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
	13.39	7.57			36.1	0.90		1.63		1.26		1.27		24
	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
	13.33	6.81			2.5	1.53		1.12		1.88		0.77		24
	12.74	8.60			0.2	1.53	(i)	1.46	(i)	1.87	(i)	1.12	(i)	138
	13.37	7.06			1.3	1.33		1.21		1.68		0.86		24
	12.75	8.66			0.1	1.34	(i)	1.32	(i)	1.67	(i)	0.99	(i)	138
	13.37	7.25			0.4	1.03		1.51		1.39		1.15		24
	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)	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.

(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 September 13, 2004.

See accompanying notes to financial statements.

169

STATE FARM MUTUAL FUND TRUST LIFEPATH 2040 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
Year ended 12/31/2005	$	13.12	$	0.14	$	0.88	$	1.02	$	(0.11	)	$	(0.16	)	$	(0.27	)
Year ended 12/31/2004		12.11		0.13		1.19		1.32		(0.10	)		(0.21	)		(0.31	)
Period ended 12/31/2003 (h)		10.00		0.06		2.08		2.14		(0.03	)		—			(0.03	)
Class B Shares
Year ended 12/31/2005		13.09		0.08		0.90		0.98		(0.07	)		(0.16	)		(0.23	)
Year ended 12/31/2004		12.09		0.08		1.19		1.27		(0.06	)		(0.21	)		(0.27	)
Period ended 12/31/2003 (h)		10.00		0.03		2.07		2.10		(0.01	)		—			(0.01	)
Institutional Shares
Year ended 12/31/2005		13.16		0.18		0.90		1.08		(0.14	)		(0.16	)		(0.30	)
Year ended 12/31/2004		12.13		0.19		1.19		1.38		(0.14	)		(0.21	)		(0.35	)
Period ended 12/31/2003 (h)		10.00		0.09		2.08		2.17		(0.04	)		—			(0.04	)
Class R-1 Shares
Year ended 12/31/2005		13.15		0.12		0.86		0.98		(0.10	)		(0.16	)		(0.26	)
Period ended 12/31/2004 (j)		12.30		0.05		1.13		1.18		(0.12	)		(0.21	)		(0.33	)
Class R-2 Shares
Year ended 12/31/2005		13.16		0.12		0.89		1.01		(0.09	)		(0.16	)		(0.25	)
Period ended 12/31/2004 (j)		12.30		0.05		1.13		1.18		(0.11	)		(0.21	)		(0.32	)
Class R-3 Shares
Year ended 12/31/2005		13.16		0.16		0.89		1.05		(0.12	)		(0.16	)		(0.28	)
Period ended 12/31/2004 (j)		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 ex- penses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the year ended December 31, 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 Port- folios, 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 1.96%, respectively, for the year ended December 31, 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 year ended December 31, 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 0.59% and 1.63%, respectively, for the year ended December 31, 2005.

See accompanying notes to financial statements.

170


				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		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)
$	13.87	7.71	%	$	116.9	1.21	%	1.04	%	1.62	%	0.63	%	38	%
	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
	13.84	7.41			34.1	1.61		0.63		2.02		0.22		38
	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
	13.94	8.15			25.5	0.90		1.34		1.31		0.93		38
	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
	13.87	7.43			2.1	1.52		0.90		1.94		0.48		38
	13.15	9.54			0.2	1.52	(i)	1.38	(i)	1.92	(i)	0.98	(i)	147
	13.92	7.65			1.6	1.33		0.88		1.74		0.47		38
	13.16	9.59			0.1	1.33	(i)	1.23	(i)	1.72	(i)	1.84	(i)	147
	13.93	7.96			0.2	1.03		1.20		1.44		0.79		38
	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)	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.

(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 September 13, 2004.

See accompanying notes to financial statements.

171

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and

Board of Trustees of the State Farm Mutual Fund Trust

State Farm Equity Fund

State Farm Small Cap Equity Fund

State Farm International Equity Fund

State Farm S&P 500 Index Fund

State Farm Small Cap Index Fund

State Farm International Index Fund

State Farm Equity and Bond Fund

State Farm Bond Fund

State Farm Tax Advantaged Bond Fund

State Farm Money Market Fund

State Farm LifePath Income Fund

State Farm LifePath 2010 Fund

State Farm LifePath 2020 Fund

State Farm LifePath 2030 Fund

State Farm LifePath 2040 Fund

We have audited the accompanying statements of assets and liabilities, including the schedules of investments (except for the Feeder Funds – State Farm S&P 500 Index, State Farm LifePath Income, State Farm LifePath 2010, State Farm LifePath 2020, State Farm LifePath 2030, State Farm LifePath 2040, whose portfolio of investments are not included), of the State Farm Equity Fund, State Farm Small Cap Equity Fund, State Farm International Equity Fund, State Farm S&P 500 Index Fund, State Farm Small Cap Index Fund, State Farm International Index Fund, State Farm Equity and Bond Fund, State Farm Bond Fund, State Farm Tax Advantaged Bond Fund, State Farm Money Market Fund, State Farm LifePath Income Fund, State Farm LifePath 2010 Fund, State Farm LifePath 2020 Fund, State Farm LifePath 2030 Fund, and State Farm LifePath 2040 Fund, comprising the State Farm Mutual Fund Trust (the Funds) as of December 31, 2005, the related statements of operations, the statements of changes in net assets and financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2005, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds of the State Farm Mutual Fund Trust at December 31, 2005, the results of their operations for the year then ended, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

LOGO

February 17, 2006

Chicago, Illinois

172

Management Information – State Farm Mutual Fund Trust (unaudited)

I. Information about Non-Interested (Independent) Trustees of State Farm Mutual Fund Trust


Name, Address, and Age	Position Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Thomas M. Mengler 1000 LaSalle Avenue Minneapolis, MN 55403 Age 52	Trustee	Began service in 2000 and serves until successor is elected or appointed.	DEAN and PROFESSOR OF LAW – University of St. Thomas School of Law (since 6/2002); DEAN – University of Illinois College of Law (8/1993-6/2002); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	None
James A. Shirk 103 North Robinson Bloomington, Illinois 61701 Age 61	Trustee	Began service in 2000 and serves until successor is elected or appointed.	DIRECTOR and PRESIDENT (since 6/1981) – Beer Nuts, Inc. (manufacturer of snack foods); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	None
Victor J. Boschini Office of the Chancellor Box # 297080 Fort Worth, TX 76129 Age 49	Trustee	Began service in 2000 and serves until successor is elected or appointed.	CHANCELLOR (since 2003) – Texas Christian University; PRESIDENT (1999-2003) and VICE PRESIDENT (1997-1999) – Illinois State University; TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	None
David L. Vance 100 N.E. Adams St. Peoria, Illinois 61629 Age 53	Trustee	Began service in 2000 and serves until successor is elected or appointed.	PRESIDENT (since 2000) – Caterpillar University; CHIEF ECONOMIST AND MANAGER of the Business Intelligence Group (since 1994) – Caterpillar, Inc. (manufacturer of heavy equipment and earth-moving machinery); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	None
Donald A. Altorfer 4200 Rodger Street Springfield, Illinois 62703 Age 62	Trustee	Began service in 2000 and serves until successor is elected or appointed.	CHAIRMAN (since 1/1998) – Altorfer, Inc. (dealer in heavy machinery and equipment); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	None
Alan R. Latshaw 4703 Oakwood Avenue Downers Grove, Illinois 60515 Age 54	Trustee	Began service in 2005 and serves until successor is elected or appointed.	RETIRED (since 12/2003); PARTNER – Ernst & Young LLP (public accounting firm) (6/2002-12/2003); PARTNER – Arthur Andersen LLP (public accounting firm) (before 6/2002); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	TRUSTEE – Utopia Funds (4 portfolios)

173

Management Information – State Farm Mutual Fund Trust (unaudited)

II. Information about Officers and Interested Trustees of State Farm Mutual Fund Trust


Name, Address, and Age	Position Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Edward B. Rust, Jr.* One State Farm Plaza Bloomington, Illinois 61710 Age 55	Trustee and President	Began service in 2000 and serves until successor is elected or appointed.	CHAIRMAN OF THE BOARD, CHIEF EXECUTIVE OFFICER, and DIRECTOR – State Farm Mutual Automobile Insurance Company; PRESIDENT and DIRECTOR – State Farm VP Management Corp., State Farm Investment Management Corp.; PRESIDENT and TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	DIRECTOR – McGraw-Hill Corporation; DIRECTOR – Caterpillar, Inc.; DIRECTOR – Helmerich & Payne, Inc.
Michael L. Tipsord* One State Farm Plaza Bloomington, Illinois 61710 Age 46	Trustee, Senior Vice President and Treasurer	Began service in 2002 and serves until successor is elected or appointed.	VICE CHAIRMAN (since 1/2005), CHIEF FINANCIAL OFFICER (since 9/2002), TREASURER (since 7/2001), SENIOR VICE PRESIDENT (9/2002-1/2005), VICE PRESIDENT (12/1998-9/2002) and ASSISTANT TREASURER (12/1998-7/2001) – State Farm Mutual Automobile Insurance Company; DIRECTOR, SENIOR VICE PRESIDENT and TREASURER (since 12/2002); VICE PRESIDENT and ASSISTANT SECRETARY-TREASURER (9/2001-12/2002) and ASSISTANT SECRETARY (before 9/2001) – State Farm Investment Management Corp.; DIRECTOR, SENIOR VICE PRESIDENT and TREASURER (since 12/2002), and VICE PRESIDENT and ASSISTANT SECRETARY-TREASURER (9/2001-12/2002) – State Farm VP Management Corp.; TRUSTEE, SENIOR VICE PRESIDENT and TREASURER (since 12/2002), VICE PRESIDENT and ASSISTANT SECRETARY-TREASURER (9/2001-12/2002), and ASSISTANT SECRETARY (before 9/2001) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	NONE
John W. North One State Farm Plaza Bloomington, Illinois 61710 Age 58	Senior Vice President	Began service in 2001 and serves until removed.	SENIOR EXECUTIVE VICE PRESIDENT – FINANCIAL SERVICES (since 1/2005), EXECUTIVE VICE PRESIDENT – FINANCIAL SERVICES (7/2001-1/2005) and SENIOR VICE PRESIDENT (9/1998-7/2001) – State Farm Mutual Automobile Insurance Company; SENIOR VICE PRESIDENT and DIRECTOR (since 9/2001) – State Farm Investment Management Corp., State Farm VP Management Corp.; SENIOR VICE PRESIDENT (since 9/2001) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A
Paul N. Eckley One State Farm Plaza Bloomington, Illinois 61710 Age 51	Senior Vice President	Began service in 2000 and serves until removed.	SENIOR VICE PRESIDENT – INVESTMENTS – State Farm Mutual Automobile Insurance Company; SENIOR VICE PRESIDENT – State Farm Investment Management Corp., State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A
Susan D. Waring One State Farm Plaza Bloomington, Illinois 61710 Age 56	Vice President	Began service in 2000 and serves until removed.	EXECUTIVE VICE PRESIDENT (since 2004), SENIOR VICE PRESIDENT (2001-2004) and CHIEF ADMINISTRATIVE OFFICER (since 2001) – State Farm Life Insurance Company; VICE PRESIDENT (before 2001) – State Farm Mutual Automobile Insurance Company; SENIOR VICE PRESIDENT and DIRECTOR (since 2001) and VICE PRESIDENT (before 2001) – State Farm VP Management Corp.; VICE PRESIDENT – State Farm Investment Management Corp., State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A

174

Management Information – State Farm Mutual Fund Trust (unaudited)


Name, Address, and Age	Position Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Donald E. Heltner One State Farm Plaza Bloomington, Illinois 61710 Age 58	Vice President	Began service in 2000 and serves until removed.	VICE PRESIDENT – FIXED INCOME – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT – State Farm Investment Management Corp., State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A
John S. Concklin One State Farm Plaza Bloomington, Illinois 61710 Age 59	Vice President	Began service in 2000 and serves until removed.	VICE PRESIDENT – COMMON STOCKS – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT (since 3/2002) – State Farm Investment Management Corp., VICE PRESIDENT – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A
Phillip G. Hawkins Three State Farm Plaza Bloomington, Illinois 61791 Age 45	Vice President	Began service in 2003 and serves until removed.	VICE PRESIDENT – SECURITIES PRODUCTS (since 8/2003), EXECUTIVE ASSISTANT (11/2002- 8/2003), DIRECTOR – STRATEGIC RESOURCES (before 11/2002) – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT (since 9/2003) – State Farm Investment Management Corp., State Farm VP Management Corp., State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	N/A	N/A
Dick Paul Three State Farm Plaza Bloomington, Illinois 61791 Age 46	Vice President and Secretary	Began service in 2005 and serves until removed	ASSISTANT VICE PRESIDENT – SECURITIES PRODUCTS (since 8/2005), AGENCY FIELD EXECUTIVE (5/2004-8/2005), AGENCY FIELD CONSULTANT (12/1999-5/2004) – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT – FINANCIAL AND SECRETARY (since 9/2005) – State Farm Investment Management Corp., State Farm VP Management Corp.; VICE PRESIDENT AND SECRETARY (since 9/2005) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.
David R. Grimes Three State Farm Plaza Bloomington, Illinois 61791 Age 63	Chief Compliance Officer	Began service in 2000 and serves until removed.	CHIEF COMPLIANCE OFFICER (since 7/2004) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust; ASSISTANT VICE PRESIDENT – SECURITIES PRODUCTS (6/1999-7/2004) – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT (6/2000-9/2004), SECRETARY (before 3/2005), VICE PRESIDENT – FINANCIAL (9/2004-3/2005) – State Farm Investment Management Corp.; VICE PRESIDENT – FINANCIAL (6/2000-3/2001 and 9/2001-3/2005), SECRETARY (before 3/2005), VICE PRESIDENT (3/2001-9/2001) – State Farm VP Management Corp.; VICE PRESIDENT (12/2000-3/2005) and SECRETARY (before 3/2005) – State Farm Variable Product Trust; VICE PRESIDENT and SECRETARY (12/2000-3/2005) – State Farm Associates’ Funds Trust.	N/A	N/A

Messrs. Rust and Tipsord are “interested” Trustees as defined by the Investment Company Act of 1940 because each is (i) an Officer of State Farm Mutual Fund Trust (the “Trust”), (ii) a Director of State Farm Investment Management Corp., the Trust’s investment adviser, (iii) a Director of State Farm VP Management Corp., the Trust’s distributor, (iv) an Officer of State Farm Investment Management Corp., and (v) an Officer of State Farm VP Management Corp.

The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees of the Trust, and the SAI is available without charge upon request. Call toll-free 1-800-447-4930 to request a copy of the SAI.

175

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares	Value

COMMON STOCKS (99.13%)

ADVERTISING (0.17%)
Interpublic Group of Companies Inc. (a) (b)	90,464	$	872,978
Omnicom Group Inc. (b)	38,342		3,264,054

			4,137,032


AEROSPACE & DEFENSE (1.94%)
Boeing Co. (The)	171,213		12,026,000
General Dynamics Corp.	42,588		4,857,161
Goodrich (B.F.) Co.	25,866		1,063,093
L-3 Communications Holdings Inc. (b)	25,357		1,885,293
Lockheed Martin Corp.	75,953		4,832,889
Northrop Grumman Corp. (b)	75,252		4,523,398
Raytheon Co.	94,956		3,812,483
Rockwell Collins Inc.	36,857		1,712,745
United Technologies Corp.	216,045		12,079,076

			46,792,138


AGRICULTURE (1.82%)
Altria Group Inc.	441,116		32,960,188
Archer-Daniels-Midland Co.	138,104		3,405,645
Monsanto Co.	56,792		4,403,084
Reynolds American Inc.	18,240		1,738,819
UST Inc. (b)	34,548		1,410,595

			43,918,331


AIRLINES (0.10%)
Southwest Airlines Co.	147,896		2,429,931

			2,429,931


APPAREL (0.39%)
Coach Inc. (a)	80,321		2,677,902
Jones Apparel Group Inc.	25,021		768,645
Liz Claiborne Inc. (b)	22,513		806,416
Nike Inc. Class B	40,410		3,507,184
Reebok International Ltd.	11,367		661,900
VF Corp.	19,056		1,054,559

			9,476,606


AUTO MANUFACTURERS (0.34%)
Ford Motor Co. (b)	392,715		3,031,760
General Motors Corp. (b)	119,501		2,320,709
Navistar International Corp. (a) (b)	13,503		386,456
PACCAR Inc.	36,030		2,494,357

			8,233,282


AUTO PARTS & EQUIPMENT (0.17%)
Cooper Tire & Rubber Co. (b)	13,285		203,526
Dana Corp. (b)	31,195		223,980
Goodyear Tire & Rubber Co. (The) (a)	36,965		642,452
Johnson Controls Inc. (b)	40,789		2,973,926

			4,043,884


Security	Shares	Value

COMMON STOCKS (Cont.)

BANKS (6.26%)
AmSouth Bancorp (b)	73,737	$	1,932,647
Bank of America Corp.	850,776		39,263,312
Bank of New York Co. Inc. (The)	163,568		5,209,641
BB&T Corp. (b)	115,183		4,827,320
Comerica Inc.	35,206		1,998,293
Compass Bancshares Inc.	26,244		1,267,323
Fifth Third Bancorp	117,382		4,427,649
First Horizon National Corp.	26,516		1,019,275
Huntington Bancshares Inc.	48,471		1,151,186
KeyCorp	86,202		2,838,632
M&T Bank Corp.	17,014		1,855,377
Marshall & Ilsley Corp.	44,151		1,900,259
Mellon Financial Corp.	88,384		3,027,152
National City Corp. (b)	117,128		3,931,987
North Fork Bancorp Inc. (b)	100,740		2,756,246
Northern Trust Corp.	39,527		2,048,289
PNC Financial Services Group	61,807		3,821,527
Regions Financial Corp.	96,998		3,313,452
State Street Corp.	69,682		3,863,170
SunTrust Banks Inc.	76,478		5,564,539
Synovus Financial Corp.	65,920		1,780,499
U.S. Bancorp	385,244		11,514,943
Wachovia Corp.	329,375		17,410,763
Wells Fargo & Co.	354,505		22,273,549
Zions Bancorporation	22,022		1,663,982

			150,661,012


BEVERAGES (2.11%)
Anheuser-Busch Companies Inc.	164,327		7,059,488
Brown-Forman Corp. Class B (b)	17,770		1,231,816
Coca-Cola Co. (The)	438,666		17,682,626
Coca-Cola Enterprises Inc.	64,799		1,242,197
Constellation Brands Inc. (a)	41,404		1,086,027
Molson Coors Brewing Co. Class B	12,145		813,594
Pepsi Bottling Group Inc.	29,465		842,994
PepsiCo Inc.	351,755		20,781,685

			50,740,427


BIOTECHNOLOGY (1.30%)
Amgen Inc. (a)	261,435		20,616,764
Biogen Idec Inc. (a)	71,755		3,252,654
Chiron Corp. (a)	23,446		1,042,409
Genzyme Corp. (a)	54,613		3,865,508
MedImmune Inc. (a)	51,935		1,818,764
Millipore Corp. (a)	10,926		721,553

			31,317,652


BUILDING MATERIALS (0.24%)
American Standard Companies Inc.	38,585		1,541,471
Masco Corp.	90,195		2,722,987
Vulcan Materials Co.	21,506		1,457,031

			5,721,489

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

176

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

CHEMICALS (1.41%)
Air Products & Chemicals Inc. (b)	47,193	$	2,793,354
Ashland Inc.	15,416		892,586
Dow Chemical Co. (The) (b)	204,332		8,953,828
Du Pont (E.I.) de Nemours and Co.	194,632		8,271,860
Eastman Chemical Co.	17,126		883,530
Ecolab Inc.	39,397		1,428,929
Engelhard Corp. (b)	25,165		758,725
Hercules Inc. (a)	23,272		262,974
International Flavors & Fragrances Inc.	17,485		585,747
PPG Industries Inc. (b)	35,603		2,061,414
Praxair Inc.	68,157		3,609,595
Rohm & Haas Co.	30,762		1,489,496
Sherwin-Williams Co. (The) (b)	24,062		1,092,896
Sigma-Aldrich Corp. (b)	14,283		903,971

			33,988,905


COMMERCIAL SERVICES (0.87%)
Apollo Group Inc. Class A (a)	31,013		1,875,046
Block (H & R) Inc.	69,124		1,696,994
Cendant Corp.	217,772		3,756,567
Convergys Corp. (a) (b)	29,374		465,578
Donnelley (R.R.) & Sons Co.	45,836		1,568,050
Equifax Inc.	27,323		1,038,820
McKesson Corp. (b)	65,053		3,356,084
Moody’s Corp. (b)	52,772		3,241,256
Paychex Inc.	70,944		2,704,385
Robert Half International Inc. (b)	35,903		1,360,365

			21,063,145


COMPUTERS (3.90%)
Affiliated Computer Services Inc. Class A (a)	26,401		1,562,411
Apple Computer Inc. (a)	178,467		12,829,993
Computer Sciences Corp. (a)	39,056		1,977,796
Dell Inc. (a)	499,035		14,966,060
Electronic Data Systems Corp.	110,202		2,649,256
EMC Corp. (a)	507,428		6,911,169
Gateway Inc. (a) (b)	60,571		152,033
Hewlett-Packard Co.	606,794		17,372,512
International Business Machines Corp.	334,814		27,521,711
Lexmark International Inc. (a)	24,844		1,113,757
NCR Corp. (a)	39,034		1,324,814
Network Appliance Inc. (a)	78,602		2,122,254
Sun Microsystems Inc. (a)	721,784		3,024,275
Unisys Corp. (a)	71,074		414,361

			93,942,402


COSMETICS & PERSONAL CARE (2.10%)
Alberto-Culver Co.	16,259		743,849
Avon Products Inc.	97,541		2,784,796
Colgate-Palmolive Co.	109,639		6,013,699
Procter & Gamble Co.	710,376		41,116,563

			50,658,907


Security	Shares	Value

COMMON STOCKS (Cont.)

DISTRIBUTION & WHOLESALE (0.12%)
Genuine Parts Co.	36,608	$	1,607,823
Grainger (W.W.) Inc.	16,278		1,157,366

			2,765,189


DIVERSIFIED FINANCIAL SERVICES (8.33%)
American Express Co.	262,951		13,531,458
Ameriprise Financial Inc.	52,348		2,146,268
Bear Stearns Companies Inc. (The)	23,944		2,766,250
Capital One Financial Corp.	63,376		5,475,686
CIT Group Inc.	42,563		2,203,912
Citigroup Inc.	1,072,143		52,031,100
Countrywide Financial Corp.	126,331		4,319,257
E*TRADE Financial Corp. (a) (b)	86,325		1,800,739
Federal Home Loan Mortgage Corp.	146,300		9,560,705
Federal National Mortgage Association	204,931		10,002,682
Federated Investors Inc. Class B	18,262		676,424
Franklin Resources Inc.	31,579		2,968,742
Goldman Sachs Group Inc. (The)	95,609		12,210,225
Janus Capital Group Inc. (b)	46,341		863,333
JP Morgan Chase & Co.	741,202		29,418,307
Lehman Brothers Holdings Inc.	56,858		7,287,490
MBNA Corp.	265,666		7,212,832
Merrill Lynch & Co. Inc.	194,885		13,199,561
Morgan Stanley	228,602		12,970,877
Rowe (T.) Price Group Inc.	27,595		1,987,668
Schwab (Charles) Corp. (The)	219,355		3,217,938
SLM Corp.	88,290		4,863,896

			200,715,350


ELECTRIC (3.08%)
AES Corp. (The) (a) (b)	137,955		2,183,828
Allegheny Energy Inc. (a)	34,279		1,084,930
Ameren Corp. (b)	43,145		2,210,750
American Electric Power Co. Inc. (b)	83,225		3,086,815
CenterPoint Energy Inc.	65,171		837,447
Cinergy Corp.	42,087		1,787,014
CMS Energy Corp. (a)	46,135		669,419
Consolidated Edison Inc. (b)	51,748		2,397,485
Constellation Energy Group Inc.	37,700		2,171,520
Dominion Resources Inc. (b)	73,493		5,673,660
DTE Energy Co. (b)	37,516		1,620,316
Duke Energy Corp. (b)	196,273		5,387,694
Edison International	68,880		3,003,857
Entergy Corp.	43,954		3,017,442
Exelon Corp.	141,393		7,513,624
FirstEnergy Corp.	69,740		3,416,563
FPL Group Inc.	83,496		3,470,094
PG&E Corp. (b)	72,506		2,691,423
Pinnacle West Capital Corp. (b)	20,809		860,452
PPL Corp.	80,307		2,361,026
Progress Energy Inc. (b)	53,163		2,334,919
Public Service Enterprise Group Inc.	53,009		3,443,995

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

177

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

ELECTRIC (Cont.)
Southern Co. (The) (b)	157,428	$	5,435,989
TECO Energy Inc. (b)	43,692		750,629
TXU Corp.	102,168		5,127,812
Xcel Energy Inc. (b)	84,985		1,568,823

			74,107,526


ELECTRICAL COMPONENTS & EQUIPMENT (0.34%)
American Power Conversion Corp.	36,937		812,614
Emerson Electric Co.	87,085		6,505,249
Molex Inc. (b)	30,864		800,921

			8,118,784


ELECTRONICS (0.49%)
Agilent Technologies Inc. (a)	86,903		2,893,001
Applera Corp. - Applied Biosystems Group	40,262		1,069,359
Fisher Scientific International Inc. (a)	25,871		1,600,380
Jabil Circuit Inc. (a)	37,083		1,375,408
PerkinElmer Inc.	27,412		645,827
Sanmina-SCI Corp. (a)	109,718		467,399
Solectron Corp. (a)	196,887		720,606
Symbol Technologies Inc.	52,579		674,063
Tektronix Inc.	18,107		510,798
Thermo Electron Corp. (a)	34,130		1,028,337
Waters Corp. (a)	23,757		898,015

			11,883,193


ENGINEERING & CONSTRUCTION (0.06%)
Fluor Corp.	18,302		1,414,013

			1,414,013


ENTERTAINMENT (0.09%)
International Game Technology Inc. (b)	71,766		2,208,957

			2,208,957


ENVIRONMENTAL CONTROL (0.17%)
Allied Waste Industries Inc. (a) (b)	47,565		415,718
Waste Management Inc.	117,317		3,560,571

			3,976,289


FOOD (1.47%)
Albertson’s Inc.	77,836		1,661,799
Campbell Soup Co.	39,798		1,184,786
ConAgra Foods Inc.	109,595		2,222,587
General Mills Inc.	75,518		3,724,548
Heinz (H.J.) Co.	71,259		2,402,853
Hershey Co. (The) (b)	38,580		2,131,545
Kellogg Co.	54,567		2,358,386
Kroger Co. (a)	153,213		2,892,661
McCormick & Co. Inc. NVS (b)	28,126		869,656
Safeway Inc. (b)	94,901		2,245,358


Security	Shares	Value

COMMON STOCKS (Cont.)

FOOD (Cont.)
Sara Lee Corp.	161,598	$	3,054,202
SUPERVALU Inc.	28,633		930,000
Sysco Corp.	131,802		4,092,452
Tyson Foods Inc. Class A (b)	52,902		904,624
Whole Foods Market Inc.	29,146		2,255,609
Wrigley (William Jr.) Co. (b)	38,191		2,539,320

			35,470,386


FOREST PRODUCTS & PAPER (0.46%)
International Paper Co. (b)	103,715		3,485,861
Louisiana-Pacific Corp. (b)	22,787		625,959
MeadWestvaco Corp.	38,657		1,083,556
Plum Creek Timber Co. Inc.	38,807		1,398,992
Temple-Inland Inc.	23,700		1,062,945
Weyerhaeuser Co. (b)	51,607		3,423,608

			11,080,921


GAS (0.23%)
KeySpan Corp.	36,737		1,311,144
Nicor Inc. (b)	9,189		361,220
NiSource Inc. (b)	57,433		1,198,052
Peoples Energy Corp. (b)	7,893		276,808
Sempra Energy	54,318		2,435,619

			5,582,843


HAND & MACHINE TOOLS (0.11%)
Black & Decker Corp.	16,757		1,457,189
Snap-On Inc. (b)	12,087		453,988
Stanley Works (The)	15,628		750,769

			2,661,946


HEALTH CARE-PRODUCTS (3.48%)
Bard (C.R.) Inc.	22,135		1,459,139
Bausch & Lomb Inc.	11,305		767,609
Baxter International Inc.	131,948		4,967,842
Becton, Dickinson & Co.	53,281		3,201,122
Biomet Inc.	52,586		1,923,070
Boston Scientific Corp. (a)	125,496		3,073,397
Guidant Corp.	70,194		4,545,061
Johnson & Johnson	630,210		37,875,621
Medtronic Inc.	256,163		14,747,304
Patterson Companies Inc. (a)	29,090		971,606
St. Jude Medical Inc. (a)	77,531		3,892,056
Stryker Corp.	61,762		2,744,086
Zimmer Holdings Inc. (a)	52,395		3,533,519

			83,701,432


HEALTH CARE-SERVICES (2.04%)
Aetna Inc.	60,725		5,726,975
Coventry Health Care Inc. (a) (b)	34,298		1,953,614
HCA Inc.	89,683		4,528,991

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

178

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December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE-SERVICES (Cont.)
Health Management Associates Inc. Class A	52,067	$	1,143,391
Humana Inc. (a)	34,343		1,865,855
Laboratory Corp. of America Holdings (a)	28,381		1,528,317
Manor Care Inc. (b)	16,582		659,466
Quest Diagnostics Inc.	35,342		1,819,406
Tenet Healthcare Corp. (a) (b)	98,616		755,399
UnitedHealth Group Inc.	288,821		17,947,337
WellPoint Inc. (a)	139,789		11,153,764

			49,082,515


HOME BUILDERS (0.36%)
Centex Corp. (b)	27,000		1,930,230
Horton (D.R.) Inc.	57,488		2,054,046
KB Home	16,670		1,211,242
Lennar Corp. Class A	28,984		1,768,604
Pulte Homes Inc. (b)	45,738		1,800,248

			8,764,370


HOME FURNISHINGS (0.06%)
Maytag Corp.	16,562		311,697
Whirlpool Corp. (b)	14,211		1,190,313

			1,502,010


HOUSEHOLD PRODUCTS & WARES (0.47%)
Avery Dennison Corp. (b)	23,279		1,286,630
Clorox Co. (The)	31,964		1,818,432
Fortune Brands Inc.	30,865		2,408,087
Kimberly-Clark Corp.	99,194		5,916,922

			11,430,071


HOUSEWARES (0.06%)
Newell Rubbermaid Inc.	58,078		1,381,095

			1,381,095


INSURANCE (5.15%)
ACE Ltd.	68,165		3,642,738
AFLAC Inc.	105,869		4,914,439
Allstate Corp. (The)	137,654		7,442,952
Ambac Financial Group Inc. (b)	22,443		1,729,458
American International Group Inc.	549,850		37,516,266
AON Corp.	67,609		2,430,544
Chubb Corp.	42,284		4,129,033
CIGNA Corp.	26,757		2,988,757
Cincinnati Financial Corp.	36,861		1,646,949
Genworth Financial Inc. Class A	79,594		2,752,361
Hartford Financial Services Group Inc.	63,563		5,459,426
Jefferson-Pilot Corp.	28,328		1,612,713
Lincoln National Corp. (b)	36,569		1,939,254


Security	Shares	Value

COMMON STOCKS (Cont.)

INSURANCE (Cont.)
Loews Corp.	28,847	$	2,736,138
Marsh & McLennan Companies Inc.	115,189		3,658,403
MBIA Inc. (b)	28,288		1,701,806
MetLife Inc.	160,309		7,855,141
MGIC Investment Corp. (b)	19,410		1,277,566
Principal Financial Group Inc. (b)	59,512		2,822,654
Progressive Corp. (The)	41,735		4,873,813
Prudential Financial Inc.	107,158		7,842,894
SAFECO Corp.	26,385		1,490,752
St. Paul Travelers Companies Inc.	146,558		6,546,746
Torchmark Corp. (b)	21,911		1,218,252
UNUMProvident Corp. (b)	62,820		1,429,155
XL Capital Ltd. Class A (b)	36,839		2,482,212

			124,140,422


INTERNET (1.21%)
Amazon.com Inc. (a)	64,841		3,057,253
eBay Inc. (a)	241,998		10,466,413
Monster Worldwide Inc. (a) (b)	25,908		1,057,565
Symantec Corp. (a)	228,741		4,002,967
Yahoo! Inc. (a)	267,363		10,475,282

			29,059,480


IRON & STEEL (0.17%)
Allegheny Technologies Inc.	18,373		662,898
Nucor Corp.	33,157		2,212,235
United States Steel Corp. (b)	23,984		1,152,911

			4,028,044


LEISURE TIME (0.39%)
Brunswick Corp.	20,402		829,545
Carnival Corp.	91,666		4,901,381
Harley-Davidson Inc. (b)	58,359		3,004,905
Sabre Holdings Corp.	27,509		663,242

			9,399,073


LODGING (0.41%)
Harrah’s Entertainment Inc.	38,833		2,768,405
Hilton Hotels Corp.	70,038		1,688,616
Marriott International Inc. Class A	35,057		2,347,767
Starwood Hotels & Resorts Worldwide Inc. (b)	46,341		2,959,336

			9,764,124


MACHINERY (0.62%)
Caterpillar Inc. (b)	144,001		8,318,938
Cummins Inc. (b)	9,840		882,943
Deere & Co.	51,108		3,480,966
Rockwell Automation Inc.	38,157		2,257,368

			14,940,215

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

179

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

MANUFACTURING (5.54%)
Cooper Industries Ltd.	19,465	$	1,420,945
Danaher Corp. (b)	50,476		2,815,551
Dover Corp.	42,770		1,731,757
Eastman Kodak Co. (b)	60,560		1,417,104
Eaton Corp.	31,247		2,096,361
General Electric Co.	2,238,563		78,461,633
Honeywell International Inc.	178,888		6,663,578
Illinois Tool Works Inc.	43,520		3,829,325
Ingersoll-Rand Co. Class A	70,397		2,841,927
ITT Industries Inc. (b)	19,515		2,006,532
Leggett & Platt Inc. (b)	39,481		906,484
Pall Corp.	26,133		701,932
Parker Hannifin Corp.	25,272		1,666,941
Textron Inc.	28,149		2,166,910
3M Co.	161,171		12,490,752
Tyco International Ltd. (b)	426,863		12,319,266

			133,536,998


MEDIA (3.12%)
Clear Channel Communications Inc. (b)	114,336		3,595,867
Comcast Corp. Class A (a)	460,555		11,956,008
Dow Jones & Co. Inc.	12,839		455,656
Gannett Co. Inc.	51,026		3,090,645
Knight Ridder Inc. (b)	14,592		923,674
McGraw-Hill Companies Inc. (The)	79,298		4,094,156
Meredith Corp.	9,114		477,027
New York Times Co. Class A (b)	30,489		806,434
News Corp. Class A	516,336		8,029,025
Scripps (E.W.) Co. Class A	18,018		865,224
Time Warner Inc.	988,595		17,241,097
Tribune Co.	55,864		1,690,445
Univision Communications Inc. Class A (a)	47,767		1,403,872
Viacom Inc. Class B	327,796		10,686,150
Walt Disney Co. (The)	408,061		9,781,222

			75,096,502


MINING (0.65%)
Alcoa Inc.	184,130		5,444,724
Freeport-McMoRan Copper & Gold Inc.	38,861		2,090,722
Newmont Mining Corp. (b)	94,521		5,047,421
Phelps Dodge Corp.	21,464		3,088,026

			15,670,893


OFFICE & BUSINESS EQUIPMENT (0.21%)
Pitney Bowes Inc. (b)	48,165		2,034,971
Xerox Corp. (a) (b)	203,014		2,974,155

			5,009,126


OIL & GAS (7.67%)
Amerada Hess Corp.	17,026		2,159,237
Anadarko Petroleum Corp.	50,187		4,755,218


Security	Shares	Value

COMMON STOCKS (Cont.)

OIL & GAS (Cont.)
Apache Corp.	69,673	$	4,773,994
Burlington Resources Inc.	80,239		6,916,602
Chevron Corp.	475,547		26,996,803
ConocoPhillips	293,875		17,097,647
Devon Energy Corp.	94,317		5,898,585
EOG Resources Inc.	51,098		3,749,060
Exxon Mobil Corp.	1,318,606		74,066,099
Kerr-McGee Corp. (b)	24,501		2,226,161
Marathon Oil Corp. (b)	77,538		4,727,492
Murphy Oil Corp. (b)	34,858		1,881,983
Nabors Industries Ltd. (a)	33,390		2,529,293
Noble Corp.	28,914		2,039,594
Occidental Petroleum Corp.	85,091		6,797,069
Rowan Companies Inc.	22,973		818,758
Sunoco Inc.	28,750		2,253,425
Transocean Inc. (a) (b)	69,835		4,866,801
Valero Energy Corp.	130,310		6,723,996
XTO Energy Inc. (b)	76,802		3,374,680

			184,652,497


OIL & GAS SERVICES (1.28%)
Baker Hughes Inc.	72,316		4,395,366
BJ Services Co.	68,117		2,497,850
Halliburton Co.	108,553		6,725,944
National Oilwell Varco Inc. (a)	36,821		2,308,677
Schlumberger Ltd. (b)	124,747		12,119,171
Weatherford International Ltd. (a) (b)	73,466		2,659,469

			30,706,477


PACKAGING & CONTAINERS (0.13%)
Ball Corp.	22,349		887,702
Bemis Co. Inc.	22,374		623,563
Pactiv Corp. (a)	30,929		680,438
Sealed Air Corp. (a)	17,361		975,167

			3,166,870


PHARMACEUTICALS (5.86%)
Abbott Laboratories	328,494		12,952,518
Allergan Inc.	27,819		3,003,339
AmerisourceBergen Corp.	44,006		1,821,848
Bristol-Myers Squibb Co. (b)	414,223		9,518,845
Cardinal Health Inc.	90,628		6,230,675
Caremark Rx Inc. (a)	95,163		4,928,492
Express Scripts Inc. (a)	30,993		2,597,213
Forest Laboratories Inc. (a)	71,598		2,912,607
Gilead Sciences Inc. (a)	96,887		5,099,163
Hospira Inc. (a)	33,918		1,451,012
King Pharmaceuticals Inc. (a)	50,799		859,519
Lilly (Eli) & Co.	240,701		13,621,270
Medco Health Solutions Inc. (a)	65,040		3,629,232
Merck & Co. Inc.	463,093		14,730,988
Mylan Laboratories Inc.	45,974		917,641

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

180

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

PHARMACEUTICALS (Cont.)
Pfizer Inc.	1,561,541	$	36,415,136
Schering-Plough Corp.	312,777		6,521,400
Watson Pharmaceuticals Inc. (a)	21,838		709,953
Wyeth	284,239		13,094,891

			141,015,742


PIPELINES (0.28%)
Dynegy Inc. Class A (a) (b)	65,377		316,425
El Paso Corp.	139,119		1,691,687
Kinder Morgan Inc.	22,221		2,043,221
Williams Companies Inc.	121,120		2,806,350

			6,857,683


REAL ESTATE INVESTMENT TRUSTS (0.68%)
Apartment Investment & Management Co. Class A	20,092		760,884
Archstone-Smith Trust (b)	44,750		1,874,578
Equity Office Properties Trust	86,470		2,622,635
Equity Residential (b)	60,881		2,381,665
ProLogis	51,852		2,422,525
Public Storage Inc.	17,690		1,197,967
Simon Property Group Inc.	39,415		3,020,371
Vornado Realty Trust (b)	24,931		2,080,991

			16,361,616


RETAIL (5.90%)
AutoNation Inc. (a)	38,912		845,558
AutoZone Inc. (a)	11,826		1,085,036
Bed Bath & Beyond Inc. (a)	62,729		2,267,653
Best Buy Co. Inc.	86,442		3,758,498
Big Lots Inc. (a) (b)	23,994		288,168
Circuit City Stores Inc.	33,746		762,322
Costco Wholesale Corp. (b)	100,275		4,960,604
CVS Corp. (b)	172,266		4,551,268
Darden Restaurants Inc. (b)	28,097		1,092,411
Dillard’s Inc. Class A (b)	13,546		336,212
Dollar General Corp.	67,445		1,286,176
Family Dollar Stores Inc. (b)	33,427		828,655
Federated Department Stores Inc.	57,569		3,818,552
Gap Inc. (The)	122,270		2,156,843
Home Depot Inc.	450,380		18,231,382
Kohl’s Corp. (a)	72,892		3,542,551
Limited Brands Inc. (b)	74,303		1,660,672
Lowe’s Companies Inc. (b)	165,570		11,036,896
McDonald’s Corp.	266,465		8,985,200
Nordstrom Inc. (b)	46,647		1,744,598
Office Depot Inc. (a) (b)	65,852		2,067,753
OfficeMax Inc.	14,754		374,161
Penney (J.C.) Co. Inc.	49,429		2,748,252
RadioShack Corp.	28,224		593,551
Sears Holdings Corp. (a)	21,245		2,454,435


Security	Shares	Value

COMMON STOCKS (Cont.)

RETAIL (Cont.)
Staples Inc.	154,808	$	3,515,690
Starbucks Corp. (a)	162,598		4,879,566
Target Corp.	186,504		10,252,125
Tiffany & Co.	29,961		1,147,207
TJX Companies Inc. (b)	98,064		2,278,027
Walgreen Co.	214,699		9,502,578
Wal-Mart Stores Inc.	529,153		24,764,360
Wendy’s International Inc.	24,500		1,353,870
Yum! Brands Inc.	60,074		2,816,269

			141,987,099


SAVINGS & LOANS (0.60%)
Golden West Financial Corp. (b)	54,176		3,575,616
Sovereign Bancorp Inc.	76,079		1,644,828
Washington Mutual Inc.	209,339		9,106,247

			14,326,691


SEMICONDUCTORS (3.22%)
Advanced Micro Devices Inc. (a)	85,355		2,611,863
Altera Corp. (a)	77,420		1,434,593
Analog Devices Inc. (b)	78,042		2,799,367
Applied Materials Inc.	343,397		6,160,542
Applied Micro Circuits Corp. (a)	65,253		167,700
Broadcom Corp. Class A (a) (b)	61,130		2,882,280
Freescale Semiconductor Inc. Class B (a)	86,687		2,181,912
Intel Corp.	1,277,883		31,895,960
KLA-Tencor Corp. (b)	41,691		2,056,617
Linear Technology Corp.	64,593		2,329,870
LSI Logic Corp. (a)	82,159		657,272
Maxim Integrated Products Inc.	69,271		2,510,381
Micron Technology Inc. (a)	130,412		1,735,784
National Semiconductor Corp. (b)	72,560		1,885,109
Novellus Systems Inc. (a)	28,748		693,402
NVIDIA Corp. (a)	36,076		1,318,939
PMC-Sierra Inc. (a)	37,852		291,839
QLogic Corp. (a)	16,984		552,150
Teradyne Inc. (a)	41,257		601,114
Texas Instruments Inc.	343,162		11,005,205
Xilinx Inc.	73,585		1,855,078

			77,626,977


SOFTWARE (4.00%)
Adobe Systems Inc.	127,179		4,700,536
Autodesk Inc.	48,737		2,093,254
Automatic Data Processing Inc.	122,296		5,612,163
BMC Software Inc. (a)	45,946		941,434
Citrix Systems Inc. (a)	37,101		1,067,767
Computer Associates International Inc. (b)	97,640		2,752,472
Compuware Corp. (a)	81,304		729,297
Electronic Arts Inc. (a)	63,913		3,343,289

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

181

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

SOFTWARE (Cont.)
First Data Corp.	162,166	$	6,974,760
Fiserv Inc. (a)	39,373		1,703,670
IMS Health Inc.	48,807		1,216,270
Intuit Inc. (a)	37,712		2,010,050
Mercury Interactive Corp. (a) (b)	18,123		503,638
Microsoft Corp.	1,940,090		50,733,354
Novell Inc. (a)	80,109		707,362
Oracle Corp. (a)	797,508		9,737,573
Parametric Technology Corp. (a)	56,621		345,388
Siebel Systems Inc. (b)	111,425		1,178,877

			96,351,154


TELECOMMUNICATIONS (5.66%)
ADC Telecommunications Inc. (a)	24,377		544,582
Alltel Corp.	81,022		5,112,488
Andrew Corp. (a)	33,783		362,492
AT&T Inc.	828,177		20,282,055
Avaya Inc. (a)	89,879		959,009
BellSouth Corp.	387,190		10,492,849
CenturyTel Inc. (b)	27,546		913,425
CIENA Corp. (a)	119,960		356,281
Cisco Systems Inc. (a)	1,302,172		22,293,185
Citizens Communications Co.	71,691		876,781
Comverse Technology Inc. (a)	42,545		1,131,272
Corning Inc. (a) (b)	322,561		6,341,549
JDS Uniphase Corp. (a)	347,446		819,973
Lucent Technologies Inc. (a) (b)	939,177		2,498,211
Motorola Inc.	527,436		11,914,779
QUALCOMM Inc.	348,216		15,001,145
Qwest Communications International Inc. (a)	327,938		1,852,850
Scientific-Atlanta Inc.	32,372		1,394,262
Sprint Nextel Corp.	625,708		14,616,539
Tellabs Inc. (a)	94,365		1,028,579
Verizon Communications Inc.	585,610		17,638,573

			136,430,879


TEXTILES (0.05%)
Cintas Corp.	29,466		1,213,410

			1,213,410


TOYS, GAMES & HOBBIES (0.09%)
Hasbro Inc.	37,518		757,113
Mattel Inc. (b)	85,357		1,350,348

			2,107,461


TRANSPORTATION (1.70%)
Burlington Northern Santa Fe Corp.	79,014		5,595,771
CSX Corp.	45,883		2,329,480
FedEx Corp.	64,136		6,631,021
Norfolk Southern Corp.	85,949		3,853,094


Security	Shares or principal		Value

COMMON STOCKS (Cont.)

TRANSPORTATION (Cont.)
Ryder System Inc.		13,427	$	550,776
Union Pacific Corp.		56,042		4,511,941
United Parcel Service Inc. Class B		233,726		17,564,508

				41,036,591

TOTAL COMMON STOCKS
(Cost: $2,335,276,700)				2,387,458,057


SHORT-TERM INVESTMENTS (8.41%)

CERTIFICATES OF DEPOSIT (c) (0.36%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	482,541		482,543
Credit Suisse First Boston NY
4.03%, 01/04/06		482,541		482,541
First Tennessee Bank
4.18%, 01/26/06		149,588		149,580
Fortis Bank NY
3.83% - 3.84%, 01/25/06		1,447,622		1,447,623
Toronto-Dominion Bank
3.94%, 07/10/06		482,541		482,541
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		4,149,850		4,149,842
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		1,447,622		1,447,630

				8,642,300


COMMERCIAL PAPER (c) (1.76%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		2,943,498		2,929,026
Bryant Park Funding LLC
3.92%, 02/22/06		246,260		244,919
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		2,074,925		2,067,649
CC USA Inc.
4.23%, 04/21/06		289,524		285,850
Charta LLC
4.25%, 01/26/06		723,811		721,846
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		2,946,635		2,943,123
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		3,551,499		3,539,698
Dorada Finance Inc.
3.76%, 01/26/06		96,508		96,276
Ebury Finance Ltd.
4.30%, 01/30/06		1,351,114		1,346,757

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

182

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Edison Asset Securitization LLC
4.37%, 05/08/06	$	482,541	$	475,219
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		801,018		799,702
Ford Credit Floorplan Motown
4.05%, 01/06/06		1,930,163		1,929,511
Galaxy Funding Inc.
4.23%, 04/18/06		276,978		273,561
Gemini Securitization Corp.
4.25%, 01/30/06		482,541		481,003
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		4,723,967		4,720,544
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		820,319		819,627
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		1,447,622		1,436,937
HSBC PLC
3.88%, 02/03/06		289,524		288,557
Jupiter Securitization Corp.
4.23%, 01/24/06		337,778		336,945
Liberty Street Funding Corp.
4.23%, 01/04/06		386,033		385,987
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		1,196,701		1,195,231
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		1,013,335		1,011,173
Nordea North America Inc.
4.16%, 04/04/06		1,013,335		1,002,680
Prudential Funding LLC
4.27%, 01/17/06		1,930,163		1,926,958
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		965,081		960,365
Sedna Finance Inc.
3.92%, 02/21/06		241,270		239,983
Sigma Finance Inc.
4.16%, 04/06/06		579,049		572,826
Solitaire Funding, Ltd.
4.24%, 01/23/06		2,367,634		2,362,057
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		258,816		258,785
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06		3,075,927		3,075,196
Thunder Bay Funding Inc.
4.22%, 01/13/06		96,508		96,395


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Ticonderoga Funding LLC
4.27%, 01/05/06	$	241,270	$	241,213
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		3,396,720		3,388,212

				42,453,811


LOAN PARTICIPATIONS (c) (0.02%)
Army Air Force Exchange Service
4.24%, 02/01/06		482,541		482,541

				482,541


MEDIUM-TERM NOTES (c) (0.14%)
Dorada Finance Inc.
3.93%, 07/07/06		299,175		299,160
K2 USA LLC
3.94%, 07/07/06		579,049		579,034
Marshall & Ilsley Bank
5.18%, 12/15/06		965,081		968,230
Toronto-Dominion Bank
3.81%, 06/20/06		1,206,352		1,206,406
US Bank N.A.
2.85%, 11/15/06		193,016		189,941

				3,242,771


MONEY MARKET FUNDS (0.79%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (d) (e)		19,124,728		19,124,728

				19,124,728


REPURCHASE AGREEMENTS (c) (0.84%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $4,827,750 and an effective yield of 4.37%. (f)	$	4,825,407		4,825,407
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $386,218 and an effective yield of 4.32%. (f)		386,033		386,033
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $7,724,374 and an effective yield of 4.34%. (g)		7,720,651		7,720,651
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $7,241,592 and an effective yield of 4.33%. (g)		7,238,110		7,238,110

				20,170,201

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

183

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (c) (0.32%)
UBS AG
4.06%, 01/03/06	$	5,790,488	$	5,790,488
Wells Fargo Bank N.A.
4.00%, 01/03/06		1,999,465		1,999,465

				7,789,953


U.S. TREASURY OBLIGATIONS (0.07%)
U.S. Treasury Bill
3.89%, 03/23/06 (h) (i)		1,700,000		1,685,281

				1,685,281


VARIABLE & FLOATING RATE NOTES (c) (4.11%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (j)		3,392,261		3,393,090
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		3,715,563		3,715,545
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		1,592,384		1,592,385
American Express Credit Corp.
4.39%, 11/06/07		289,524		289,816
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (j)		3,136,514		3,137,829
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (j)		627,303		627,303
Bank of America N.A.
4.31%, 08/10/06		4,825,407		4,825,407
Bank of Ireland
4.34%, 12/20/06 (j)		965,081		965,081
Bank of Nova Scotia
4.22%, 01/03/06		386,033		386,033
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (j)		2,403,053		2,402,959
BMW US Capital LLC
4.34%, 12/15/06 (j)		965,081		965,081
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (j)		2,596,069		2,596,010
Commodore CDO Ltd.
4.56%, 06/13/06 (j)		241,270		241,270
Credit Suisse First Boston NY
4.31%, 05/09/06		965,081		965,081
Credit Suisse New York
4.35%, 07/19/06		2,412,703		2,412,703
DEPFA Bank PLC
4.50%, 12/15/06		965,081		965,081


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Descartes Funding Trust (j)
4.37%, 11/15/06	$	434,287	$	434,287
Dexia Credit Local
4.33%, 08/30/06		482,541		482,478
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (j)		1,534,479		1,534,508
Eli Lilly Services Inc.
4.26%, 09/01/06 (j)		965,081		965,081
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		965,081		965,080
Fifth Third Bancorp.
4.35%, 11/22/06 (j)		1,930,163		1,930,163
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (j)		675,557		675,557
General Electric Capital Corp.
4.44%, 01/09/07		434,287		434,638
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		723,811		723,811
Hartford Life Global Funding Trusts
4.36%, 02/17/07		965,081		965,081
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		2,895,244		2,895,243
Holmes Financing PLC
4.33%, 12/15/06 (j)		2,653,974		2,653,974
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		820,319		820,509
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (j)		2,798,736		2,798,627
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (j)		1,011,869		1,011,868
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (j)		3,281,277		3,281,384
Lothian Mortgages PLC
4.37%, 01/24/06 (j)		482,541		482,541
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		1,495,876		1,496,029
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (j)		2,885,593		2,887,151
Mound Financing PLC
4.30%, 11/08/06 (j)		1,930,163		1,930,163
Natexis Banques Populaires
4.35%, 01/12/07 (j)		723,811		723,811

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

184

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
National City Bank (Ohio)
4.26%, 01/06/06	$	482,541	$	482,539
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (j)		3,570,801		3,570,925
Nordea Bank AB
4.34%, 12/11/06 (j)		1,688,892		1,688,892
Nordea Bank PLC
4.23%, 10/02/06		579,049		578,948
Northern Rock PLC
4.32%, 11/03/06 (j)		1,158,098		1,158,137
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (j)		2,625,021		2,625,022
Pfizer Investment Capital PLC
4.33%, 12/15/06 (j)		2,412,703		2,412,703
Principal Life Income Funding Trusts
4.29%, 05/10/06		723,811		723,822
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		1,447,622		1,447,461
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (j)		820,319		820,315
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (j)		2,036,322		2,036,298
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (j)		965,081		965,081
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (j)		1,495,876		1,495,811
Strips III LLC
4.43%, 07/24/06 (j) (k)		260,297		260,297
SunTrust Bank
4.19%, 04/28/06		1,447,622		1,447,622
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (j)		2,152,131		2,151,984
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		2,123,179		2,123,174
Unicredito Italiano SpA
4.43%, 06/14/06		1,254,606		1,254,408
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (j)		965,081		965,081
US Bank N.A.
4.31%, 09/29/06		434,287		434,203
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		3,136,514		3,136,514
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (j)		1,991,323		1,991,323
Wells Fargo & Co.
4.36%, 09/15/06 (j)		482,541		482,573
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (j)		1,061,590		1,061,519


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (j)	$	1,978,417	$	1,978,403
Winston Funding Ltd.
4.26%, 01/23/06 (j)		689,068		689,068
World Savings Bank
4.29%, 03/09/06		1,447,622		1,447,608

				99,002,389


TOTAL SHORT-TERM INVESTMENTS
(Cost: $202,593,572)				202,593,975


TOTAL INVESTMENTS IN SECURITIES (107.54%)
(Cost: $2,537,870,272)				2,590,052,032

Other Assets, Less Liabilities (-7.54%)				(181,526,382	)

NET ASSETS (100.00%)			$	2,408,525,650

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)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(g)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(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 index futures contracts. See Note 1.

(j)	This security or a portion of these securities 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.

(k)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 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 (03/17/06)	364	$	22,837,360	$	(377,277	)


				$	(377,277	)

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

185

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares or principal		Value

MASTER PORTFOLIOS (84.43%)
Active Stock Master Portfolio (a)			$	45,631,226
CoreAlpha Bond Master Portfolio (a)				149,115,210


TOTAL MASTER PORTFOLIOS				194,746,436


EXCHANGE-TRADED FUNDS (15.12%)
iShares MSCI EAFE Index Fund (a)		348,254		20,707,183
iShares S&P MidCap 400 Index Fund (a) (b)		126,121		9,307,730
iShares S&P SmallCap 600 Index Fund (a) (b)		84,385		4,877,453


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $29,167,436)				34,892,366


SHORT-TERM INVESTMENTS (3.15%)

CERTIFICATES OF DEPOSIT (c) (0.11%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	14,164		14,164
Credit Suisse First Boston NY
4.03%, 01/04/06		14,164		14,164
First Tennessee Bank
4.18%, 01/26/06		4,391		4,391
Fortis Bank NY
3.83% - 3.84%, 01/25/06		42,493		42,493
Toronto-Dominion Bank
3.94%, 07/10/06		14,164		14,164
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		121,813		121,813
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		42,493		42,493

				253,682


COMMERCIAL PAPER (c) (0.54%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		86,402		85,980
Bryant Park Funding LLC
3.92%, 02/22/06		7,229		7,189
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		60,906		60,693
CC USA Inc.
4.23%, 04/21/06		8,499		8,391
Charta LLC
4.25%, 01/26/06		21,246		21,189
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		86,494		86,392
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		104,249		103,903


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Dorada Finance Inc.
3.76%, 01/26/06	$	2,833	$	2,826
Ebury Finance Ltd.
4.30%, 01/30/06		39,660		39,532
Edison Asset Securitization LLC
4.37%, 05/08/06		14,164		13,949
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		23,513		23,474
Ford Credit Floorplan Motown
4.05%, 01/06/06		56,657		56,638
Galaxy Funding Inc.
4.23%, 04/18/06		8,130		8,030
Gemini Securitization Corp.
4.25%, 01/30/06		14,164		14,119
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		138,665		138,564
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		24,079		24,059
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		42,493		42,179
HSBC PLC
3.88%, 02/03/06		8,499		8,470
Jupiter Securitization Corp.
4.23%, 01/24/06		9,915		9,891
Liberty Street Funding Corp.
4.23%, 01/04/06		11,331		11,330
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		35,127		35,084
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		29,745		29,681
Nordea North America Inc.
4.16%, 04/04/06		29,745		29,432
Prudential Funding LLC
4.27%, 01/17/06		56,657		56,563
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		28,329		28,190
Sedna Finance Inc.
3.92%, 02/21/06		7,082		7,044
Sigma Finance Inc.
4.16%, 04/06/06		16,997		16,814
Solitaire Funding Ltd.
4.24%, 01/23/06		69,498		69,335
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		7,597		7,596

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

186

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06	$	90,289	$	90,267
Thunder Bay Funding Inc.
4.22%, 01/13/06		2,833		2,830
Ticonderoga Funding LLC
4.27%, 01/05/06		7,082		7,080
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		99,706		99,456

				1,246,170


LOAN PARTICIPATIONS (c) (0.01%)
Army & Air Force Exchange Service
4.24%, 02/01/06		14,164		14,164

				14,164


MEDIUM-TERM NOTES (c) (0.04%)
Dorada Finance Inc.
3.93%, 07/07/06		8,782		8,781
K2 USA LLC
3.94%, 07/07/06		16,997		16,997
Marshall & Ilsley Bank
5.18%, 12/15/06		28,329		28,421
Toronto-Dominion Bank
3.81%, 06/20/06		35,411		35,412
US Bank N.A.
2.85%, 11/15/06		5,666		5,575

				95,186


MONEY MARKET FUNDS (0.83%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (a) (d)		1,923,052		1,923,052

				1,923,052


REPURCHASE AGREEMENTS (c) (0.26%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $141,712 and an effective yield of 4.37%. (e)	$	141,643		141,643
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $11,336 and an effective yield of 4.32%. (e)		11,331		11,331
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $226,737 and an effective yield of 4.34%. (f)		226,628		226,628


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (Cont.)
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $212,566 and an effective yield of 4.33%. (f)	$	212,464	$	212,464

				592,066


TIME DEPOSITS (c) (0.10%)
UBS AG
4.06%, 01/03/06		169,971		169,972
Wells Fargo Bank N.A.
4.00%, 01/03/06		58,691		58,691

				228,663


VARIABLE & FLOATING RATE NOTES (c) (1.26%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (g)		99,575		99,600
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		109,065		109,064
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		46,742		46,742
American Express Credit Corp.
4.39%, 11/06/07		8,499		8,507
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (g)		92,068		92,106
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (g)		18,414		18,414
Bank of America N.A.
4.31%, 08/10/06		141,643		141,643
Bank of Ireland
4.34%, 12/20/06 (g)		28,329		28,329
Bank of Nova Scotia
4.22%, 01/03/06		11,331		11,331
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (g)		70,538		70,535
BMW US Capital LLC
4.34%, 12/15/06 (g)		28,329		28,329
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (g)		76,204		76,201
Commodore CDO Ltd.
4.56%, 06/13/06 (g)		7,082		7,082
Credit Suisse First Boston NY
4.31%, 05/09/06		28,329		28,329
Credit Suisse New York
4.35%, 07/19/06		70,821		70,821

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

187

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
DEPFA Bank PLC
4.50%, 12/15/06	$	28,329	$	28,329
Descartes Funding Trust
4.37%, 11/15/06 (g)		12,748		12,748
Dexia Credit Local
4.33%, 08/30/06		14,164		14,162
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (g)		45,042		45,043
Eli Lilly Services Inc.
4.26%, 09/01/06 (g)		28,329		28,329
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		28,329		28,328
Fifth Third Bancorp.
4.35%, 11/22/06 (g)		56,657		56,657
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (g)		19,830		19,830
General Electric Capital Corp.
4.44%, 01/09/07		12,748		12,758
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		21,246		21,246
Hartford Life Global Funding Trusts
4.36%, 02/17/07		28,329		28,329
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		84,986		84,987
Holmes Financing PLC
4.33%, 12/15/06 (g)		77,903		77,903
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		24,079		24,085
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (g)		82,153		82,150
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (g)		29,702		29,702
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (g)		96,317		96,320
Lothian Mortgages PLC
4.37%, 01/24/06 (g)		14,164		14,164
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		43,909		43,914
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (g)		84,702		84,748


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Mound Financing PLC
4.30%, 11/08/06 (g)	$	56,657	$	56,657
Natexis Banques Populaires
4.35%, 01/12/07 (g)		21,246		21,246
National City Bank (Ohio)
4.26%, 01/06/06		14,164		14,164
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (g)		104,816		104,820
Nordea Bank AB
4.34%, 12/11/06 (g)		49,575		49,575
Nordea Bank PLC
4.23%, 10/02/06		16,997		16,994
Northern Rock PLC
4.32%, 11/03/06 (g)		33,994		33,995
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (g)		77,054		77,053
Pfizer Investment Capital PLC
4.33%, 12/15/06 (g)		70,821		70,821
Principal Life Income Funding Trusts
4.29%, 05/10/06		21,246		21,247
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		42,493		42,488
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (g)		24,079		24,080
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (g)		59,773		59,772
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (g)		28,329		28,329
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (g)		43,909		43,907
Strips III LLC
4.43%, 07/24/06 (g) (h)		7,641		7,641
SunTrust Bank
4.19%, 04/28/06		42,493		42,493
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (g)		63,173		63,168
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		62,323		62,323
Unicredito Italiano SpA
4.43%, 06/14/06		36,827		36,821
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (g)		28,329		28,329
US Bank N.A.
4.31%, 09/29/06		12,748		12,745

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

188

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06	$	92,068	$	92,068
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (g)		58,452		58,452
Wells Fargo & Co.
4.36%, 09/15/06 (g)		14,164		14,165
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (g)		31,161		31,160
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (g)		58,073		58,072
Winston Funding Ltd.
4.26%, 01/23/06 (g)		20,227		20,227
World Savings Bank
4.29%, 03/09/06		42,493		42,492

				2,906,069


TOTAL SHORT-TERM INVESTMENTS
(Cost: $7,259,052)				7,259,052


TOTAL INVESTMENTS (102.70%)				236,897,854

Other Assets, Less Liabilities (-2.70%)				(6,232,868	)


NET ASSETS (100.00%)			$	230,664,986

(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)	The rate quoted is the annualized seven-day yield of the fund at period end.

(e)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(f)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(g)	This security or a portion of these securities 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.

(h)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

189

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares or principal		Value

MASTER PORTFOLIOS (80.51%)
Active Stock Master Portfolio (a)			$	178,144,721
CoreAlpha Bond Master Portfolio (a)				358,006,967


TOTAL MASTER PORTFOLIOS				536,151,688


EXCHANGE-TRADED FUNDS (18.65%)
iShares MSCI EAFE Index Fund (a)		1,308,729		77,817,026
iShares S&P MidCap 400 Index Fund (a) (b)		420,131		31,005,668
iShares S&P SmallCap 600 Index Fund (a) (b)		266,625		15,410,925


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $102,858,287)				124,233,619


SHORT-TERM INVESTMENTS (4.58%)

CERTIFICATES OF DEPOSIT (c) (0.18%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	68,393		68,390
Credit Suisse First Boston NY
4.03%, 01/04/06		68,393		68,393
First Tennessee Bank
4.18%, 01/26/06		21,202		21,201
Fortis Bank NY
3.83% - 3.84%, 01/25/06		205,179		205,179
Toronto-Dominion Bank
3.94%, 07/10/06		68,393		68,393
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		588,180		588,179
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		205,179		205,180

				1,224,915


COMMERCIAL PAPER (c) (0.90%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		417,198		415,146
Bryant Park Funding LLC
3.92%, 02/22/06		34,904		34,714
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		294,090		293,058
CC USA Inc.
4.23%, 04/21/06		41,036		40,515
Charta LLC
4.25%, 01/26/06		102,590		102,311
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		417,642		417,144
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		503,373		501,701


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Dorada Finance Inc.
3.76%, 01/26/06	$	13,679	$	13,646
Ebury Finance Ltd.
4.30%, 01/30/06		191,501		190,883
Edison Asset Securitization LLC
4.37%, 05/08/06		68,393		67,355
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		113,532		113,346
Ford Credit Floorplan Motown
4.05%, 01/06/06		273,572		273,480
Galaxy Funding Inc.
4.23%, 04/18/06		39,258		38,773
Gemini Securitization Corp.
4.25%, 01/30/06		68,393		68,175
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		669,553		669,068
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		116,268		116,170
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		205,179		203,665
HSBC PLC
3.88%, 02/03/06		41,036		40,899
Jupiter Securitization Corp.
4.23%, 01/24/06		47,875		47,757
Liberty Street Funding Corp.
4.23%, 01/04/06		54,714		54,708
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		169,615		169,407
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		143,625		143,320
Nordea North America Inc.
4.16%, 04/04/06		143,625		142,115
Prudential Funding LLC
4.27%, 01/17/06		273,572		273,118
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		136,786		136,118
Sedna Finance Inc.
3.92%, 02/21/06		34,197		34,014
Sigma Finance Inc.
4.16%, 04/06/06		82,072		81,190
Solitaire Funding Ltd.
4.24%, 01/23/06		335,577		334,787
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		36,683		36,679

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

190

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06	$	435,967	$	435,863
Thunder Bay Funding Inc.
4.22%, 01/13/06		13,679		13,663
Ticonderoga Funding LLC
4.27%, 01/05/06		34,197		34,188
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		481,435		480,229

				6,017,205


LOAN PARTICIPATIONS (c) (0.01%)
Army & Air Force Exchange Service
4.24%, 02/01/06		68,393		68,393

				68,393


MEDIUM-TERM NOTES (c) (0.07%)
Dorada Finance Inc.
3.93%, 07/07/06		42,404		42,402
K2 USA LLC
3.94%, 07/07/06		82,072		82,070
Marshall & Ilsley Bank
5.18%, 12/15/06		136,786		137,232
Toronto-Dominion Bank
3.81%, 06/20/06		170,983		170,990
US Bank N.A.
2.85%, 11/15/06		27,357		26,921

				459,615


MONEY MARKET FUNDS (0.71%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (a) (d)		4,735,755		4,735,755

				4,735,755


REPURCHASE AGREEMENTS (c) (0.43%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $684,262 and an effective yield of 4.37%. (e)	$	683,930		683,930
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $54,740 and an effective yield of 4.32%. (e)		54,714		54,714
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $1,094,817 and an effective yield of 4.34%. (f)		1,094,289		1,094,289


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (Cont.)
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $1,026,390 and an effective yield of 4.33%. (f)	$	1,025,896	$	1,025,896

				2,858,829


TIME DEPOSITS (c) (0.17%)
UBS AG
4.06%, 01/03/06		820,716		820,716
Wells Fargo Bank N.A.
4.00%, 01/03/06		283,395		283,395

				1,104,111


VARIABLE & FLOATING RATE NOTES (c) (2.11%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (g)		480,803		480,920
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		526,626		526,625
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		225,697		225,697
American Express Credit Corp.
4.39%, 11/06/07		41,036		41,077
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (g)		444,555		444,741
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (g)		88,911		88,911
Bank of America N.A.
4.31%, 08/10/06		683,930		683,930
Bank of Ireland
4.34%, 12/20/06 (g)		136,786		136,786
Bank of Nova Scotia
4.22%, 01/03/06		54,714		54,714
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (g)		340,597		340,583
BMW US Capital LLC
4.34%, 12/15/06 (g)		136,786		136,786
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (g)		367,955		367,946
Commodore CDO Ltd.
4.56%, 06/13/06 (g)		34,197		34,197
Credit Suisse First Boston NY
4.31%, 05/09/06		136,786		136,786
Credit Suisse New York
4.35%, 07/19/06		341,965		341,965

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

191

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
DEPFA Bank PLC
4.50%, 12/15/06	$	136,786	$	136,786
Descartes Funding Trust
4.37%, 11/15/06 (g)		61,554		61,554
Dexia Credit Local
4.33%, 08/30/06		68,393		68,384
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (g)		217,490		217,494
Eli Lilly Services Inc.
4.26%, 09/01/06 (g)		136,786		136,786
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		136,786		136,786
Fifth Third Bancorp.
4.35%, 11/22/06 (g)		273,572		273,572
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (g)		95,750		95,750
General Electric Capital Corp.
4.44%, 01/09/07		61,554		61,603
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		102,590		102,590
Hartford Life Global Funding Trusts
4.36%, 02/17/07		136,786		136,786
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		410,358		410,358
Holmes Financing PLC
4.33%, 12/15/06 (g)		376,162		376,162
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		116,268		116,295
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (g)		396,680		396,664
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (g)		143,417		143,417
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (g)		465,073		465,088
Lothian Mortgages PLC
4.37%, 01/24/06 (g)		68,393		68,393
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		212,018		212,040
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (g)		408,990		409,211


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Mound Financing PLC
4.30%, 11/08/06 (g)	$	273,572	$	273,572
Natexis Banques Populaires
4.35%, 01/12/07 (g)		102,590		102,590
National City Bank (Ohio)
4.26%, 01/06/06		68,393		68,393
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (g)		506,108		506,126
Nordea Bank AB
4.34%, 12/11/06 (g)		239,376		239,376
Nordea Bank PLC
4.23%, 10/02/06		82,072		82,057
Northern Rock PLC
4.32%, 11/03/06 (g)		164,143		164,149
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (g)		372,058		372,058
Pfizer Investment Capital PLC
4.33%, 12/15/06 (g)		341,965		341,965
Principal Life Income Funding Trusts
4.29%, 05/10/06		102,590		102,591
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		205,179		205,156
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (g)		116,268		116,268
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (g)		288,619		288,616
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (g)		136,786		136,786
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (g)		212,018		212,009
Strips III LLC
4.43%, 07/24/06 (g) (h)		36,893		36,893
SunTrust Bank
4.19%, 04/28/06		205,179		205,179
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (g)		305,033		305,011
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		300,929		300,928
Unicredito Italiano SpA
4.43%, 06/14/06		177,822		177,794
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (g)		136,786		136,786
US Bank N.A.
4.31%, 09/29/06		61,554		61,542

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

192

LIFEPATH 2010 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06	$	444,555	$	444,555
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (g)		282,241		282,241
Wells Fargo & Co.
4.36%, 09/15/06 (g)		68,393		68,398
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (g)		150,465		150,455
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (g)		280,411		280,410
Winston Funding Ltd.
4.26%, 01/23/06 (g)		97,665		97,665
World Savings Bank
4.29%, 03/09/06		205,179		205,177

				14,032,129


TOTAL SHORT-TERM INVESTMENTS
(Cost: $30,500,952)				30,500,952


TOTAL INVESTMENTS (103.74%)				690,886,259

Other Assets, Less Liabilities (-3.74)%				(24,894,497	)

NET ASSETS (100.00%)			$	665,991,762

(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)	The rate quoted is the annualized seven-day yield of the fund at period end.

(e)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(f)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(g)	This security or a portion of these securities 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.

(h)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

193

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares or principal		Value

MASTER PORTFOLIOS (74.30%)
Active Stock Master Portfolio (a)			$	409,416,336
CoreAlpha Bond Master Portfolio (a)				381,902,290


TOTAL MASTER PORTFOLIOS				791,318,626


EXCHANGE-TRADED FUNDS (24.59%)
iShares MSCI EAFE Index Fund (a)		2,881,861		171,355,455
iShares S&P MidCap 400 Index Fund (a) (b)		815,390		60,175,782
iShares S&P SmallCap 600 Index Fund (a) (b)		525,284		30,361,415


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $217,993,197)				261,892,652


SHORT-TERM INVESTMENTS (6.71%)

CERTIFICATES OF DEPOSIT (c) (0.28%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	169,363		169,364
Credit Suisse First Boston NY
4.03%, 01/04/06		169,363		169,363
First Tennessee Bank
4.18%, 01/26/06		52,502		52,500
Fortis Bank NY
3.83% - 3.84%, 01/25/06		508,088		508,088
Toronto-Dominion Bank
3.94%, 07/10/06		169,363		169,363
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		1,456,519		1,456,515
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		508,088		508,091

				3,033,284


COMMERCIAL PAPER (c) (1.40%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		1,033,112		1,028,032
Bryant Park Funding LLC
3.92%, 02/22/06		86,433		85,962
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		728,259		725,706
CC USA Inc.
4.23%, 04/21/06		101,618		100,328
Charta LLC
4.25%, 01/26/06		254,044		253,354
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		1,034,213		1,032,981
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		1,246,509		1,242,367


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Dorada Finance Inc.
3.76%, 01/26/06	$	33,873	$	33,791
Ebury Finance Ltd.
4.30%, 01/30/06		474,215		472,686
Edison Asset Securitization LLC
4.37%, 05/08/06		169,363		166,793
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		281,142		280,680
Ford Credit Floorplan Motown
4.05%, 01/06/06		677,450		677,222
Galaxy Funding Inc.
4.23%, 04/18/06		97,214		96,015
Gemini Securitization Corp.
4.25%, 01/30/06		169,363		168,823
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		1,658,023		1,656,822
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		287,916		287,674
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		508,088		504,338
HSBC PLC
3.88%, 02/03/06		101,618		101,278
Jupiter Securitization Corp.
4.23%, 01/24/06		118,554		118,261
Liberty Street Funding Corp.
4.23%, 01/04/06		135,490		135,474
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		420,019		419,503
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		355,661		354,901
Nordea North America Inc.
4.16%, 04/04/06		355,661		351,922
Prudential Funding LLC
4.27%, 01/17/06		677,450		676,326
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		338,725		337,070
Sedna Finance Inc.
3.92%, 02/21/06		84,681		84,229
Sigma Finance Inc.
4.16%, 04/06/06		203,235		201,051
Solitaire Funding Ltd.
4.24%, 01/23/06		830,995		829,037
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		90,839		90,829

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

194

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06	$	1,079,592	$	1,079,335
Thunder Bay Funding Inc.
4.22%, 01/13/06		33,873		33,833
Ticonderoga Funding LLC
4.27%, 01/05/06		84,681		84,661
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		1,192,184		1,189,199

				14,900,483


LOAN PARTICIPATIONS (c) (0.02%)
Army & Air Force Exchange Service
4.24%, 02/01/06		169,363		169,363

				169,363


MEDIUM-TERM NOTES (c) (0.11%)
Dorada Finance Inc.
3.93%, 07/07/06		105,005		104,999
K2 USA LLC
3.94%, 07/07/06		203,235		203,230
Marshall & Ilsley Bank
5.18%, 12/15/06		338,725		339,830
Toronto-Dominion Bank
3.81%, 06/20/06		423,407		423,426
US Bank N.A.
2.85%, 11/15/06		67,745		66,666

				1,138,151


MONEY MARKET FUNDS (0.72%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (a) (d)		7,668,859		7,668,859

				7,668,859


REPURCHASE AGREEMENTS (c) (0.66%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $1,694,448 and an effective yield of 4.37%. (e)	$	1,693,626		1,693,626
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $135,555 and an effective yield of 4.32%. (e)		135,490		135,490
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $2,711,109 and an effective yield of 4.34%. (f)		2,709,802		2,709,802


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (Cont.)
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $2,541,661 and an effective yield of 4.33%. (f)	$	2,540,439	$	2,540,439

				7,079,357


TIME DEPOSITS (c) (0.26%)
UBS AG
4.06%, 01/03/06		2,032,351		2,032,351
Wells Fargo Bank N.A.
4.00%, 01/03/06		701,774		701,774

				2,734,125


VARIABLE & FLOATING RATE NOTES (c) (3.26%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (g)		1,190,619		1,190,910
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		1,304,092		1,304,086
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		558,897		558,897
American Express Credit Corp.
4.39%, 11/06/07		101,618		101,720
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (g)		1,100,857		1,101,318
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (g)		220,171		220,171
Bank of America N.A.
4.31%, 08/10/06		1,693,626		1,693,626
Bank of Ireland
4.34%, 12/20/06 (g)		338,725		338,725
Bank of Nova Scotia
4.22%, 01/03/06		135,490		135,490
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (g)		843,426		843,393
BMW US Capital LLC
4.34%, 12/15/06 (g)		338,725		338,725
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (g)		911,171		911,150
Commodore CDO Ltd.
4.56%, 06/13/06 (g)		84,681		84,681
Credit Suisse First Boston NY
4.31%, 05/09/06		338,725		338,725
Credit Suisse New York
4.35%, 07/19/06		846,813		846,813

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

195

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
DEPFA Bank PLC
4.50%, 12/15/06	$	338,725	$	338,725
Descartes Funding Trust
4.37%, 11/15/06 (g)		152,426		152,426
Dexia Credit Local
4.33%, 08/30/06		169,363		169,340
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (g)		538,573		538,583
Eli Lilly Services Inc.
4.26%, 09/01/06 (g)		338,725		338,725
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		338,725		338,724
Fifth Third Bancorp.
4.35%, 11/22/06 (g)		677,450		677,450
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (g)		237,108		237,108
General Electric Capital Corp.
4.44%, 01/09/07		152,426		152,550
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		254,044		254,044
Hartford Life Global Funding Trusts
4.36%, 02/17/07		338,725		338,725
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		1,016,176		1,016,175
Holmes Financing PLC
4.33%, 12/15/06 (g)		931,494		931,494
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		287,916		287,983
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (g)		982,303		982,265
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (g)		355,147		355,146
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (g)		1,151,666		1,151,704
Lothian Mortgages PLC
4.37%, 01/24/06 (g)		169,363		169,363
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		525,024		525,078
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (g)		1,012,788		1,013,335
Mound Financing PLC
4.30%, 11/08/06 (g)		677,450		677,450


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Natexis Banques Populaires
4.35%, 01/12/07 (g)	$	254,044	$	254,044
National City Bank (Ohio)
4.26%, 01/06/06		169,363		169,362
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (g)		1,253,283		1,253,327
Nordea Bank AB
4.34%, 12/11/06 (g)		592,769		592,769
Nordea Bank PLC
4.23%, 10/02/06		203,235		203,200
Northern Rock PLC
4.32%, 11/03/06 (g)		406,470		406,484
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (g)		921,333		921,333
Pfizer Investment Capital PLC
4.33%, 12/15/06 (g)		846,813		846,813
Principal Life Income Funding Trusts
4.29%, 05/10/06		254,044		254,048
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		508,088		508,031
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (g)		287,916		287,916
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (g)		714,710		714,702
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (g)		338,725		338,725
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (g)		525,024		525,002
Strips III LLC
4.43%, 07/24/06 (g) (h)		91,359		91,359
SunTrust Bank
4.19%, 04/28/06		508,088		508,088
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (g)		755,357		755,306
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		745,196		745,194
Unicredito Italiano SpA
4.43%, 06/14/06		440,343		440,274
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (g)		338,725		338,725
US Bank N.A.
4.31%, 09/29/06		152,426		152,397
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		1,100,857		1,100,857

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

196

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (g)	$	698,917	$	698,917
Wells Fargo & Co.
4.36%, 09/15/06 (g)		169,363		169,374
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (g)		372,598		372,573
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (g)		694,387		694,381
Winston Funding Ltd.
4.26%, 01/23/06 (g)		241,850		241,850
World Savings Bank
4.29%, 03/09/06		508,088		508,083

				34,747,957


TOTAL SHORT-TERM INVESTMENTS
(Cost: $71,471,579)				71,471,579


TOTAL INVESTMENTS (105.60%)				1,124,682,857

Other Assets, Less Liabilities (-5.60%)				(59,593,236	)

NET ASSETS (100.00%)			$	1,065,089,621

(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)	The rate quoted is the annualized seven-day yield of the fund at period end.

(e)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(f)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(g)	This security or a portion of these securities 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.

(h)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

197

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares or principal		Value

MASTER PORTFOLIOS (68.54%)
Active Stock Master Portfolio (a)			$	315,001,257
CoreAlpha Bond Master Portfolio (a)				148,830,081


TOTAL MASTER PORTFOLIOS				463,831,338


EXCHANGE-TRADED FUNDS (29.12%)
iShares MSCI EAFE Index Fund (a)		2,206,118		131,175,776
iShares S&P MidCap 400 Index Fund (a) (b)		596,383		44,013,065
iShares S&P SmallCap 600 Index Fund (a) (b)		379,244		21,920,303


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $166,126,439)				197,109,144


SHORT-TERM INVESTMENTS (4.39%)

CERTIFICATES OF DEPOSIT (c) (0.16%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	60,956		60,956
Credit Suisse First Boston NY
4.03%, 01/04/06		60,961		60,961
First Tennessee Bank
4.18%, 01/26/06		18,898		18,897
Fortis Bank NY
3.83% - 3.84%, 01/25/06		182,883		182,883
Toronto-Dominion Bank
3.94%, 07/10/06		60,961		60,961
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		524,264		524,263
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		182,883		182,884

				1,091,805


COMMERCIAL PAPER (c) (0.79%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		371,862		370,034
Bryant Park Funding LLC
3.92%, 02/22/06		31,111		30,941
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		262,132		261,212
CC USA Inc.
4.23%, 04/21/06		36,577		36,112
Charta LLC
4.25%, 01/26/06		91,441		91,193
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		372,258		371,813
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		448,672		447,182


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Dorada Finance Inc.
3.76%, 01/26/06	$	12,192	$	12,163
Ebury Finance Ltd.
4.30%, 01/30/06		170,691		170,140
Edison Asset Securitization LLC
4.37%, 05/08/06		60,961		60,036
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		101,195		101,029
Ford Credit Floorplan Motown
4.05%, 01/06/06		243,844		243,761
Galaxy Funding Inc.
4.23%, 04/18/06		34,992		34,560
Gemini Securitization Corp.
4.25%, 01/30/06		60,961		60,767
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		596,794		596,362
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		103,634		103,546
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		182,883		181,533
HSBC PLC
3.88%, 02/03/06		36,577		36,454
Jupiter Securitization Corp.
4.23%, 01/24/06		42,673		42,567
Liberty Street Funding Corp.
4.23%, 01/04/06		48,769		48,763
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		151,183		150,997
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		128,018		127,745
Nordea North America Inc.
4.16%, 04/04/06		128,018		126,672
Prudential Funding LLC
4.27%, 01/17/06		243,844		243,439
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		121,922		121,326
Sedna Finance Inc.
3.92%, 02/21/06		30,480		30,318
Sigma Finance Inc.
4.16%, 04/06/06		73,153		72,367
Solitaire Funding Ltd.
4.24%, 01/23/06		299,111		298,406
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		32,697		32,693

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

198

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06	$	388,592	$	388,499
Thunder Bay Funding Inc.
4.22%, 01/13/06		12,192		12,178
Ticonderoga Funding LLC
4.27%, 01/05/06		30,480		30,473
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		429,118		428,044

				5,363,325


LOAN PARTICIPATIONS (c) (0.01%)
Army & Air Force Exchange Service
4.24%, 02/01/06		60,961		60,961

				60,961


MEDIUM-TERM NOTES (c) (0.06%)
Dorada Finance Inc.
3.93%, 07/07/06		37,796		37,794
K2 USA LLC
3.94%, 07/07/06		73,153		73,151
Marshall & Ilsley Bank
5.18%, 12/15/06		121,922		122,320
Toronto-Dominion Bank
3.81%, 06/20/06		152,402		152,409
US Bank N.A.
2.85%, 11/15/06		24,384		23,996

				409,670


MONEY MARKET FUNDS (0.99%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (a) (d)		6,724,758		6,724,758

				6,724,758


REPURCHASE AGREEMENTS (c) (0.38%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $609,905 and an effective yield of 4.37%. (e)	$	609,609		609,609
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $48,792 and an effective yield of 4.32%. (e)		48,769		48,769
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $975,845 and an effective yield of 4.34%. (f)		975,375		975,375


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (Cont.)
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $914,854 and an effective yield of 4.33%. (f)	$	914,414	$	914,414

				2,548,167


TIME DEPOSITS (c) (0.15%)
UBS AG
4.06%, 01/03/06		731,531		731,531
Wells Fargo Bank N.A.
4.00%, 01/03/06		252,599		252,599

				984,130


VARIABLE & FLOATING RATE NOTES (c) (1.85%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (g)		428,555		428,660
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		469,399		469,396
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		201,171		201,171
American Express Credit Corp.
4.39%, 11/06/07		36,577		36,613
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (g)		396,246		396,412
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (g)		79,249		79,249
Bank of America N.A.
4.31%, 08/10/06		609,609		609,609
Bank of Ireland
4.34%, 12/20/06 (g)		121,922		121,922
Bank of Nova Scotia
4.22%, 01/03/06		48,769		48,769
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (g)		303,585		303,574
BMW US Capital LLC
4.34%, 12/15/06 (g)		121,922		121,922
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (g)		327,970		327,962
Commodore CDO Ltd.
4.56%, 06/13/06 (g)		30,480		30,480
Credit Suisse First Boston NY
4.31%, 05/09/06		121,922		121,922
Credit Suisse New York
4.35%, 07/19/06		304,805		304,805

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

199

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
DEPFA Bank PLC
4.50%, 12/15/06	$	121,922	$	121,922
Descartes Funding Trust
4.37%, 11/15/06 (g)		54,865		54,865
Dexia Credit Local
4.33%, 08/30/06		60,961		60,953
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (g)		193,856		193,859
Eli Lilly Services Inc.
4.26%, 09/01/06 (g)		121,922		121,922
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		121,922		121,922
Fifth Third Bancorp.
4.35%, 11/22/06 (g)		243,844		243,844
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (g)		85,345		85,345
General Electric Capital Corp.
4.44%, 01/09/07		54,865		54,909
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		91,441		91,441
Hartford Life Global Funding Trusts
4.36%, 02/17/07		121,922		121,922
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		365,765		365,766
Holmes Financing PLC
4.33%, 12/15/06 (g)		335,285		335,285
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		103,634		103,657
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (g)		353,573		353,559
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (g)		127,833		127,833
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (g)		414,534		414,547
Lothian Mortgages PLC
4.37%, 01/24/06 (g)		60,961		60,961
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		188,979		188,998
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (g)		364,546		364,743
Mound Financing PLC
4.30%, 11/08/06 (g)		243,844		243,844


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Natexis Banques Populaires
4.35%, 01/12/07 (g)	$	91,441	$	91,441
National City Bank (Ohio)
4.26%, 01/06/06		60,961		60,961
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (g)		451,111		451,126
Nordea Bank AB
4.34%, 12/11/06 (g)		213,363		213,363
Nordea Bank PLC
4.23%, 10/02/06		73,153		73,140
Northern Rock PLC
4.32%, 11/03/06 (g)		146,306		146,311
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (g)		331,627		331,627
Pfizer Investment Capital PLC
4.33%, 12/15/06 (g)		304,805		304,805
Principal Life Income Funding Trusts
4.29%, 05/10/06		91,441		91,443
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		182,883		182,863
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (g)		103,634		103,633
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (g)		257,255		257,252
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (g)		121,922		121,922
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (g)		188,979		188,970
Strips III LLC
4.43%, 07/24/06 (g) (h)		32,884		32,884
SunTrust Bank
4.19%, 04/28/06		182,883		182,883
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (g)		271,886		271,867
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		268,228		268,228
Unicredito Italiano SpA
4.43%, 06/14/06		158,498		158,473
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (g)		121,922		121,922
US Bank N.A.
4.31%, 09/29/06		54,865		54,854
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		396,246		396,246

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

200

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (g)	$	251,570	$	251,571
Wells Fargo & Co.
4.36%, 09/15/06 (g)		60,961		60,965
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (g)		134,114		134,106
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (g)		249,940		249,937
Winston Funding Ltd.
4.26%, 01/23/06 (g)		87,052		87,052
World Savings Bank
4.29%, 03/09/06		182,883		182,881

				12,507,289


TOTAL SHORT-TERM INVESTMENTS
(Cost: $29,690,105)				29,690,105

TOTAL INVESTMENTS (102.05%)				690,630,587

Other Assets, Less Liabilities (-2.05%)				(13,886,052	)

NET ASSETS (100.00%)			$	676,744,535

(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)	The rate quoted is the annualized seven-day yield of the fund at period end.

(e)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(f)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(g)	This security or a portion of these securities 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.

(h)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

201

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares or principal		Value

MASTER PORTFOLIOS (66.01%)
Active Stock Master Portfolio (a)			$	240,018,965
CoreAlpha Bond Master Portfolio (a)				47,727,754


TOTAL MASTER PORTFOLIOS				287,746,719


EXCHANGE-TRADED FUNDS (31.13%)
iShares MSCI EAFE Index Fund (a) (b)		1,469,305		87,364,875
iShares S&P MidCap 400 Index Fund (a) (b)		438,143		32,334,953
iShares S&P SmallCap 600 Index Fund (a) (b)		277,052		16,013,606


TOTAL EXCHANGE-TRADED FUNDS
(Cost: $116,469,492)				135,713,434


SHORT-TERM INVESTMENTS (5.65%)

CERTIFICATES OF DEPOSIT (c) (0.22%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	53,526		53,531
Credit Suisse First Boston NY
4.03%, 01/04/06		53,526		53,526
First Tennessee Bank
4.18%, 01/26/06		16,593		16,592
Fortis Bank NY
3.83% - 3.84%, 01/25/06		160,577		160,577
Toronto-Dominion Bank
3.94%, 07/10/06		53,526		53,526
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		460,320		460,319
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		160,577		160,578

				958,649


COMMERCIAL PAPER (c) (1.08%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		326,506		324,901
Bryant Park Funding LLC
3.92%, 02/22/06		27,316		27,168
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		230,160		229,354
CC USA Inc.
4.23%, 04/21/06		32,115		31,708
Charta LLC
4.25%, 01/26/06		80,288		80,070
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		326,854		326,465
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		393,948		392,639


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Dorada Finance Inc.
3.76%, 01/26/06	$	10,705	$	10,679
Ebury Finance Ltd.
4.30%, 01/30/06		149,872		149,388
Edison Asset Securitization LLC
4.37%, 05/08/06		53,526		52,713
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		88,852		88,707
Ford Credit Floorplan Motown
4.05%, 01/06/06		214,102		214,030
Galaxy Funding Inc.
4.23%, 04/18/06		30,724		30,345
Gemini Securitization Corp.
4.25%, 01/30/06		53,526		53,355
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		524,004		523,624
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		90,994		90,916
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		160,577		159,391
HSBC PLC
3.88%, 02/03/06		32,115		32,008
Jupiter Securitization Corp.
4.23%, 01/24/06		37,468		37,375
Liberty Street Funding Corp.
4.23%, 01/04/06		42,820		42,815
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		132,743		132,580
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		112,404		112,164
Nordea North America Inc.
4.16%, 04/04/06		112,404		111,222
Prudential Funding LLC
4.27%, 01/17/06		214,102		213,747
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		107,051		106,528
Sedna Finance Inc.
3.92%, 02/21/06		26,763		26,620
Sigma Finance Inc.
4.16%, 04/06/06		64,231		63,540
Solitaire Funding Ltd.
4.24%, 01/23/06		262,629		262,010
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		28,709		28,706

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

202

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06	$	341,196	$	341,115
Thunder Bay Funding Inc.
4.22%, 01/13/06		10,705		10,693
Ticonderoga Funding LLC
4.27%, 01/05/06		26,763		26,756
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		376,780		375,836

				4,709,168


LOAN PARTICIPATIONS (c) (0.01%)
Army & Air Force Exchange Service
4.24%, 02/01/06		53,526		53,526

				53,526


MEDIUM-TERM NOTES (c) (0.08%)
Dorada Finance Inc.
3.93%, 07/07/06		33,186		33,184
K2 USA LLC
3.94%, 07/07/06		64,231		64,229
Marshall & Ilsley Bank
5.18%, 12/15/06		107,051		107,400
Toronto-Dominion Bank
3.81%, 06/20/06		133,814		133,820
US Bank N.A.
2.85%, 11/15/06		21,410		21,069

				359,702


MONEY MARKET FUNDS (1.03%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (a) (d)		4,478,589		4,478,589

				4,478,589


REPURCHASE AGREEMENTS (c) (0.51%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $535,516 and an effective yield of 4.37%. (e)	$	535,256		535,256
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $42,841 and an effective yield of 4.32%. (e)		42,820		42,820
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $856,823 and an effective yield of 4.34%. (f)		856,410		856,410


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

REPURCHASE AGREEMENTS (Cont.)
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $803,270 and an effective yield of 4.33%. (f)	$	802,884	$	802,884

				2,237,370


TIME DEPOSITS (c) (0.20%)
UBS AG
4.06%, 01/03/06		642,307		642,307
Wells Fargo Bank N.A.
4.00%, 01/03/06		221,790		221,790

				864,097


VARIABLE & FLOATING RATE NOTES (c) (2.52%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (g)		376,285		376,377
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		412,147		412,145
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		176,634		176,634
American Express Credit Corp.
4.39%, 11/06/07		32,115		32,148
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (g)		347,916		348,062
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (g)		69,583		69,583
Bank of America N.A.
4.31%, 08/10/06		535,256		535,256
Bank of Ireland
4.34%, 12/20/06 (g)		107,051		107,051
Bank of Nova Scotia
4.22%, 01/03/06		42,820		42,820
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (g)		266,557		266,547
BMW US Capital LLC
4.34%, 12/15/06 (g)		107,051		107,051
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (g)		287,968		287,961
Commodore CDO Ltd.
4.56%, 06/13/06 (g)		26,763		26,763
Credit Suisse First Boston NY
4.31%, 05/09/06		107,051		107,051
Credit Suisse New York
4.35%, 07/19/06		267,628		267,628

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

203

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
DEPFA Bank PLC
4.50%, 12/15/06	$	107,051	$	107,051
Descartes Funding Trust
4.37%, 11/15/06 (g)		48,173		48,173
Dexia Credit Local
4.33%, 08/30/06		53,526		53,519
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (g)		170,211		170,215
Eli Lilly Services Inc.
4.26%, 09/01/06 (g)		107,051		107,051
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		107,051		107,050
Fifth Third Bancorp.
4.35%, 11/22/06 (g)		214,102		214,102
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (g)		74,936		74,936
General Electric Capital Corp.
4.44%, 01/09/07		48,173		48,212
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		80,288		80,289
Hartford Life Global Funding Trusts
4.36%, 02/17/07		107,051		107,051
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		321,154		321,153
Holmes Financing PLC
4.33%, 12/15/06 (g)		294,391		294,391
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		90,994		91,015
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (g)		310,448		310,436
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (g)		112,241		112,241
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (g)		363,974		363,986
Lothian Mortgages PLC
4.37%, 01/24/06 (g)		53,526		53,526
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		165,929		165,946
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (g)		320,083		320,256
Mound Financing PLC
4.30%, 11/08/06 (g)		214,102		214,102


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Natexis Banques Populaires
4.35%, 01/12/07 (g)	$	80,288	$	80,288
National City Bank (Ohio)
4.26%, 01/06/06		53,526		53,525
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (g)		396,089		396,103
Nordea Bank AB
4.34%, 12/11/06 (g)		187,340		187,340
Nordea Bank PLC
4.23%, 10/02/06		64,231		64,219
Northern Rock PLC
4.32%, 11/03/06 (g)		128,461		128,466
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (g)		291,179		291,179
Pfizer Investment Capital PLC
4.33%, 12/15/06 (g)		267,628		267,628
Principal Life Income Funding Trusts
4.29%, 05/10/06		80,288		80,290
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		160,577		160,559
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (g)		90,993		90,993
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (g)		225,878		225,875
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (g)		107,051		107,051
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (g)		165,929		165,922
Strips III LLC
4.43%, 07/24/06 (g) (h)		28,873		28,873
SunTrust Bank
4.19%, 04/28/06		160,577		160,577
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (g)		238,724		238,707
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		235,513		235,512
Unicredito Italiano SpA
4.43%, 06/14/06		139,167		139,145
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (g)		107,051		107,051
US Bank N.A.
4.31%, 09/29/06		48,173		48,164
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		347,916		347,917

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

204

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (g)	$	220,887	$	220,886
Wells Fargo & Co.
4.36%, 09/15/06 (g)		53,526		53,529
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (g)		117,756		117,748
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (g)		219,455		219,453
Winston Funding Ltd.
4.26%, 01/23/06 (g)		76,435		76,435
World Savings Bank
4.29%, 03/09/06		160,577		160,575

				10,981,788


TOTAL SHORT-TERM INVESTMENTS
(Cost: $24,642,889)				24,642,889


TOTAL INVESTMENTS (102.79%)				448,103,042

Other Assets, Less Liabilities (-2.79%)				(12,173,469	)

NET ASSETS (100.00%)			$	435,929,573

(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)	The rate quoted is the annualized seven-day yield of the fund at period end.

(e)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(f)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(g)	This security or a portion of these securities 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.

(h)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

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

205

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Shares	Value

COMMON STOCKS (102.01%)

AEROSPACE & DEFENSE (1.49%)
Lockheed Martin Corp.	226,691	$	14,424,348
Rockwell Collins Inc.	71,006		3,299,649

			17,723,997


AGRICULTURE (2.50%)
Altria Group Inc.	52,009		3,886,112
Archer-Daniels-Midland Co. (a)	530,202		13,074,781
Bunge Ltd. (a)	41,352		2,340,937
Reynolds American Inc. (a)	55,832		5,322,465
UST Inc. (a)	123,852		5,056,877

			29,681,172


AIRLINES (0.08%)
Southwest Airlines Co.	54,721		899,066

			899,066


AUTO PARTS & EQUIPMENT (0.26%)
American Axle & Manufacturing Holdings Inc. (a)	31,121		570,448
Autoliv Inc.	55,375		2,515,132

			3,085,580


BANKS (5.27%)
Bank of America Corp.	706,334		32,597,314
Comerica Inc.	19,681		1,117,094
National City Corp.	15,259		512,245
TCF Financial Corp.	2,621		71,134
U.S. Bancorp	317,378		9,486,428
UnionBanCal Corp.	8,745		600,956
Wachovia Corp. (a)	344,479		18,209,160

			62,594,331


BEVERAGES (2.61%)
Anheuser-Busch Companies Inc.	217,054		9,324,640
Coca-Cola Co. (The)	291,191		11,737,909
Coca-Cola Enterprises Inc.	76,244		1,461,597
Pepsi Bottling Group Inc. (a)	275,936		7,894,529
PepsiAmericas Inc.	25,419		591,246

			31,009,921


BIOTECHNOLOGY (0.84%)
Amgen Inc. (b)	126,826		10,001,498

			10,001,498


BUILDING MATERIALS (0.30%)
Masco Corp.	117,289		3,540,955

			3,540,955


CHEMICALS (1.42%)
Dow Chemical Co. (The)	345,415		15,136,085
Eastman Chemical Co. (a)	29,287		1,510,916


Security	Shares	Value

COMMON STOCKS (Cont.)

CHEMICALS (Cont.)
Huntsman Corp. (b)	11,290	$	194,414

			16,841,415


COMMERCIAL SERVICES (2.49%)
Accenture Ltd. (a)	312,905		9,033,567
Apollo Group Inc. Class A (b)	15,679		947,952
Block (H & R) Inc.	94,641		2,323,437
Career Education Corp. (a) (b)	45,214		1,524,616
Cendant Corp.	685,537		11,825,513
Convergys Corp. (a) (b)	105,254		1,668,276
Deluxe Corp. (a)	3,844		115,858
Education Management Corp. (b)	4,168		139,670
Equifax Inc.	4,901		186,336
Manpower Inc.	26,274		1,221,741
PHH Corp. (b)	11,160		312,703
Rent-A-Center Inc. (b)	18,004		339,555

			29,639,224


COMPUTERS (2.91%)
Apple Computer Inc. (b)	268,711		19,317,634
Computer Sciences Corp. (a) (b)	132,393		6,704,382
Dell Inc. (b)	163,995		4,918,210
International Business Machines Corp.	21,929		1,802,564
Seagate Technology	91,739		1,833,863

			34,576,653


COSMETICS & PERSONAL CARE (0.75%)
Avon Products Inc.	14,982		427,736
Procter & Gamble Co.	147,219		8,521,036

			8,948,772


DISTRIBUTION & WHOLESALE (0.62%)
CDW Corp. (a)	62,088		3,574,406
Grainger (W.W.) Inc.	42,507		3,022,248
Ingram Micro Inc. Class A (b)	36,722		731,869

			7,328,523


DIVERSIFIED FINANCIAL SERVICES (11.70%)
Ameriprise Financial Inc. (a)	26,557		1,088,837
CIT Group Inc.	89,964		4,658,336
Citigroup Inc.	807,928		39,208,746
Countrywide Financial Corp. (a)	431,425		14,750,421
Federal Home Loan Mortgage Corp.	79,043		5,165,460
Federal National Mortgage Association	125,669		6,133,904
Goldman Sachs Group Inc. (The)	61,269		7,824,664
IndyMac Bancorp Inc.	43,527		1,698,424
JP Morgan Chase & Co.	699,866		27,777,682
MBNA Corp.	131,007		3,556,840
Merrill Lynch & Co. Inc.	114,904		7,782,448
Morgan Stanley	338,856		19,226,689
Student Loan Corp.	857		179,310

			139,051,761

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

206

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

ELECTRIC (2.28%)
Alliant Energy Corp.	46,169	$	1,294,579
Constellation Energy Group Inc.	67,832		3,907,123
Edison International	192,738		8,405,304
Energy East Corp.	7,318		166,850
Entergy Corp.	75,784		5,202,572
FirstEnergy Corp.	140,263		6,871,484
NSTAR	7,387		212,007
Pepco Holdings Inc.	5,779		129,276
Puget Energy Inc.	16,686		340,728
TXU Corp.	12,072		605,894

			27,135,817


ELECTRONICS (0.55%)
Agilent Technologies Inc. (b)	194,709		6,481,863

			6,481,863


ENTERTAINMENT (0.01%)
Regal Entertainment Group Class A (a)	5,991		113,949

			113,949


FOOD (0.91%)
Hormel Foods Corp.	8,526		278,630
Pilgrim’s Pride Corp. (a)	24,355		807,612
Smithfield Foods Inc. (a) (b)	51,274		1,568,984
SUPERVALU Inc. (a)	120,410		3,910,917
Tyson Foods Inc. Class A (a)	245,850		4,204,035

			10,770,178


FOREST PRODUCTS & PAPER (0.20%)
Louisiana-Pacific Corp.	86,471		2,375,358

			2,375,358


GAS (0.30%)
NiSource Inc.	28,448		593,425
ONEOK Inc.	21,202		564,609
Sempra Energy	51,267		2,298,812
UGI Corp.	7,360		151,616

			3,608,462


HAND & MACHINE TOOLS (0.31%)
Black & Decker Corp. (a)	42,050		3,656,668

			3,656,668


HEALTH CARE-PRODUCTS (5.29%)
Alcon Inc.	34,579		4,481,438
Becton, Dickinson & Co.	216,450		13,004,316
Boston Scientific Corp. (b)	550,877		13,490,978
Guidant Corp.	5,244		339,549
Hillenbrand Industries Inc.	4,266		210,783
Johnson & Johnson	521,902		31,366,310

			62,893,374


Security	Shares	Value

COMMON STOCKS (Cont.)

HEALTH CARE-SERVICES (2.09%)
HCA Inc.	135,823	$	6,859,061
Health Management Associates Inc. Class A	13,352		293,210
Health Net Inc. (b)	4,000		206,200
Humana Inc. (b)	139,957		7,603,864
Lincare Holdings Inc. (b)	29,526		1,237,435
Quest Diagnostics Inc.	10,255		527,927
Sierra Health Services Inc. (a) (b)	25,983		2,077,601
UnitedHealth Group Inc.	96,583		6,001,668

			24,806,966


HOME BUILDERS (0.51%)
M.D.C. Holdings Inc. (a)	7,838		485,799
NVR Inc. (a) (b)	7,972		5,596,344

			6,082,143


HOME FURNISHINGS (0.38%)
Harman International Industries Inc. (a)	46,196		4,520,279

			4,520,279


HOUSEHOLD PRODUCTS & WARES (1.36%)
American Greetings Corp. Class A (a)	18,033		396,185
Blyth Inc. (a)	13,345		279,578
Clorox Co. (The) (a)	138,150		7,859,354
Kimberly-Clark Corp. (a)	128,273		7,651,484

			16,186,601


INSURANCE (4.27%)
ACE Ltd. (a)	138,042		7,376,964
Allstate Corp. (The)	74,608		4,034,055
American International Group Inc.	85,263		5,817,494
Axis Capital Holdings Ltd.	72,610		2,271,241
Everest Re Group Ltd.	47,689		4,785,591
Fidelity National Financial Inc.	55,504		2,041,992
Lincoln National Corp. (a)	99,419		5,272,190
MetLife Inc.	98,626		4,832,674
MGIC Investment Corp. (a)	11,939		785,825
Nationwide Financial Services Inc. (a)	29,954		1,317,976
Protective Life Corp.	13,870		607,090
Radian Group Inc. (a)	53,178		3,115,699
Reinsurance Group of America Inc.	25,699		1,227,384
RenaissanceRe Holdings Ltd. (a)	45,114		1,989,979
St. Paul Travelers Companies Inc.	76,822		3,431,639
StanCorp Financial Group Inc.	36,087		1,802,546

			50,710,339


INTERNET (0.88%)
Amazon.com Inc. (b)	48,511		2,287,294
Google Inc. Class A (b)	19,769		8,201,367

			10,488,661

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

207

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

INVESTMENT COMPANIES (0.08%)
American Capital Strategies Ltd.	25,732	$	931,756

			931,756


IRON & STEEL (0.69%)
Nucor Corp.	98,864		6,596,206
Steel Dynamics Inc. (a)	45,883		1,629,305

			8,225,511


LEISURE TIME (1.18%)
Brunswick Corp.	46,507		1,890,975
Polaris Industries Inc. (a)	25,794		1,294,859
Royal Caribbean Cruises Ltd.	195,028		8,787,962
Sabre Holdings Corp.	85,858		2,070,036

			14,043,832


LODGING (0.07%)
Choice Hotels International Inc. (a)	21,177		884,352

			884,352


MACHINERY (0.57%)
AGCO Corp. (b)	10,453		173,206
Cummins Inc. (a)	53,395		4,791,133
Graco Inc. (a)	48,582		1,772,271

			6,736,610


MANUFACTURING (3.85%)
General Electric Co.	773,980		27,127,999
Ingersoll-Rand Co. Class A	16,670		672,968
Parker Hannifin Corp.	21,671		1,429,419
3M Co.	213,166		16,520,365

			45,750,751


MEDIA (1.66%)
Comcast Corp. Class A (b)	363,867		9,445,987
Comcast Corp. Class A Special (b)	22,390		575,199
EchoStar Communications Corp. (b)	69,088		1,877,121
Gannett Co. Inc.	17,982		1,089,170
Media General Inc. Class A	1,533		77,723
Meredith Corp.	9,515		498,015
Tribune Co.	74,548		2,255,822
Viacom Inc. Class B	120,513		3,928,724

			19,747,761


MINING (0.75%)
Phelps Dodge Corp.	61,723		8,880,088

			8,880,088


OIL & GAS (9.70%)
Anadarko Petroleum Corp.	79,884		7,569,009
Chevron Corp.	71,118		4,037,369
ConocoPhillips	363,127		21,126,729


Security	Shares	Value

COMMON STOCKS (Cont.)

OIL & GAS (Cont.)
Devon Energy Corp.	91,821	$	5,742,485
Exxon Mobil Corp.	541,942		30,440,882
Marathon Oil Corp. (a)	80,599		4,914,121
Nabors Industries Ltd. (b)	18,282		1,384,862
Occidental Petroleum Corp. (a)	194,515		15,537,858
Patterson-UTI Energy Inc. (a)	169,029		5,569,506
Pogo Producing Co. (a)	54,031		2,691,284
Valero Energy Corp. (a)	313,688		16,186,301

			115,200,406


OIL & GAS SERVICES (0.55%)
Baker Hughes Inc. (a)	107,545		6,536,585

			6,536,585


PHARMACEUTICALS (5.89%)
Abbott Laboratories	28,785		1,134,993
Allergan Inc. (a)	105,422		11,381,359
Barr Pharmaceuticals Inc. (b)	47,085		2,932,925
Forest Laboratories Inc. (b)	31,074		1,264,090
Gilead Sciences Inc. (b)	289,717		15,247,806
King Pharmaceuticals Inc. (b)	66,908		1,132,083
Merck & Co. Inc.	235,248		7,483,239
Pfizer Inc.	1,028,445		23,983,337
Wyeth	117,713		5,423,038

			69,982,870


REAL ESTATE INVESTMENT TRUSTS (0.25%)
CBL & Associates Properties Inc.	3,681		145,436
Health Care Property Investors Inc. (a)	29,006		741,393
Health Care REIT Inc.	10,880		368,832
Hospitality Properties Trust	6,750		270,675
HRPT Properties Trust	12,790		132,377
Mack-Cali Realty Corp.	5,893		254,578
Mills Corp.	10,530		441,628
Trizec Properties Inc. (a)	24,558		562,869

			2,917,788


RETAIL (6.39%)
American Eagle Outfitters Inc. (a)	265,667		6,105,028
Applebee’s International Inc.	7,266		164,139
AutoNation Inc. (a) (b)	316,471		6,876,915
Barnes & Noble Inc. (a)	8,028		342,555
Brinker International Inc.	16,353		632,207
CBRL Group Inc. (a)	41,548		1,460,412
Claire’s Stores Inc.	31,404		917,625
Costco Wholesale Corp.	248,937		12,314,913
Darden Restaurants Inc.	6,269		243,739
GameStop Corp. Class B (b)	14,463		417,981
Gap Inc. (The)	161,407		2,847,219
Home Depot Inc.	530,758		21,485,084
PETCO Animal Supplies Inc. (b)	15,179		333,179
Sonic Corp. (b)	23,606		696,377

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

208

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SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares	Value

COMMON STOCKS (Cont.)

RETAIL (Cont.)
Staples Inc.	66,014	$	1,499,178
Wal-Mart Stores Inc.	414,607		19,403,608
Yum! Brands Inc.	3,843		180,160

			75,920,319


SAVINGS & LOANS (1.10%)
Washington Mutual Inc.	301,052		13,095,762

			13,095,762


SEMICONDUCTORS (3.74%)
Intel Corp.	1,148,810		28,674,298
Lam Research Corp. (b)	95,872		3,420,713
QLogic Corp. (b)	62,736		2,039,547
Texas Instruments Inc.	322,096		10,329,619

			44,464,177


SOFTWARE (4.74%)
Adobe Systems Inc.	158,943		5,874,533
Autodesk Inc.	236,426		10,154,497
Dun & Bradstreet Corp. (b)	18,128		1,213,851
Fiserv Inc. (b)	15,504		670,858
Intuit Inc. (b)	3,751		199,928
Microsoft Corp.	1,459,651		38,169,874

			56,283,541


TELECOMMUNICATIONS (6.61%)
AT&T Inc.	69,264		1,696,275
CenturyTel Inc.	52,222		1,731,682
Cisco Systems Inc. (b)	1,396,553		23,908,987
Motorola Inc.	498,877		11,269,631
QUALCOMM Inc. (a)	415,727		17,909,519
Scientific-Atlanta Inc.	16,832		724,954
Telewest Global Inc. (b)	10,922		260,162
Verizon Communications Inc.	699,963		21,082,886

			78,584,096


TRANSPORTATION (1.61%)
Alexander & Baldwin Inc.	3,168		171,832
Burlington Northern Santa Fe Corp. (a)	141,252		10,003,467
Hunt (J.B.) Transport Services Inc. (a)	90,697		2,053,380
Landstar System Inc.	4,488		187,329
Norfolk Southern Corp.	30,927		1,386,457
Overseas Shipholding Group Inc. (a)	19,093		962,096
Ryder System Inc. (a)	85,077		3,489,859
Teekay Shipping Corp. (a)	20,841		831,556

			19,085,976


TOTAL COMMON STOCKS
(Cost: $1,120,899,530)			1,212,025,707


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (7.27%)

CERTIFICATES OF DEPOSIT (c) (0.32%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06	$	213,375	$	213,375
Credit Suisse First Boston NY
4.03%, 01/04/06		213,375		213,375
First Tennessee Bank
4.18%, 01/26/06		66,146		66,143
Fortis Bank NY
3.83% - 3.84%, 01/25/06		640,124		640,124
Toronto-Dominion Bank
3.94%, 07/10/06		213,375		213,375
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		1,835,021		1,835,017
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		640,124		640,127

				3,821,536


COMMERCIAL PAPER (c) (1.58%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		1,301,585		1,295,190
Bryant Park Funding LLC
3.92%, 02/22/06		108,894		108,301
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		917,511		914,294
CC USA Inc.
4.23%, 04/21/06		128,025		126,400
Charta LLC
4.25%, 01/26/06		320,062		319,193
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		1,302,972		1,301,419
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		1,570,437		1,565,219
Dorada Finance Inc.
3.76%, 01/26/06		42,675		42,572
Ebury Finance Ltd.
4.30%, 01/30/06		597,449		595,522
Edison Asset Securitization LLC
4.37%, 05/08/06		213,375		210,137
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		354,202		353,620
Ford Credit Floorplan Motown
4.05%, 01/06/06		853,498		853,210
Galaxy Funding Inc.
4.23%, 04/18/06		122,477		120,966
Gemini Securitization Corp.
4.25%, 01/30/06		213,375		212,694

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

209

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06	$	2,088,890	$	2,087,377
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		362,737		362,431
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		640,124		635,399
HSBC PLC
3.88%, 02/03/06		128,025		127,597
Jupiter Securitization Corp.
4.23%, 01/24/06		149,362		148,994
Liberty Street Funding Corp.
4.23%, 01/04/06		170,700		170,680
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		529,169		528,520
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		448,087		447,131
Nordea North America Inc.
4.16%, 04/04/06		448,087		443,374
Prudential Funding LLC
4.27%, 01/17/06		853,498		852,081
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		426,749		424,663
Sedna Finance Inc.
3.92%, 02/21/06		106,687		106,118
Sigma Finance Inc.
4.16%, 04/06/06		256,050		253,298
Solitaire Funding Ltd.
4.24%, 01/23/06		1,046,944		1,044,478
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		114,446		114,432
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06		1,360,144		1,359,820
Thunder Bay Funding Inc.
4.22%, 01/13/06		42,675		42,625
Ticonderoga Funding LLC
4.27%, 01/05/06		106,687		106,662
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		1,501,995		1,498,233

				18,772,650


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

LOAN PARTICIPATIONS (c) (0.02%)
Army & Air Force Exchange Service
4.24%, 02/01/06	$	213,375	$	213,375

				213,375


MEDIUM-TERM NOTES (c) (0.12%)
Dorada Finance Inc.
3.93%, 07/07/06		132,292		132,286
K2 USA LLC
3.94%, 07/07/06		256,050		256,043
Marshall & Ilsley Bank
5.18%, 12/15/06		426,749		428,141
Toronto-Dominion Bank
3.81%, 06/20/06		533,436		533,460
US Bank N.A.
2.85%, 11/15/06		85,350		83,990

				1,433,920


MONEY MARKET FUNDS (0.48%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (d) (e)		5,678,236		5,678,236

				5,678,236


REPURCHASE AGREEMENTS (c) (0.75%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,134,523 and an effective yield of 4.37%. (f)	$	2,133,746		2,133,746
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $170,761 and an effective yield of 4.32%. (f)		170,700		170,700
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,415,228 and an effective yield of 4.34%. (g)		3,413,993		3,413,993
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,201,774 and an effective yield of 4.33%. (g)		3,200,619		3,200,619

				8,919,058


TIME DEPOSITS (c) (0.29%)
UBS AG
4.06%, 01/03/06		2,560,495		2,560,495
Wells Fargo Bank N.A.
4.00%, 01/03/06		884,143		884,143

				3,444,638

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

210

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

U.S. TREASURY OBLIGATIONS (0.03%)
U.S. Treasury Bill
3.89%, 03/23/06 (h) (i)	$	350,000	$	346,970

				346,970


VARIABLE & FLOATING RATE NOTES (c) (3.68%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (j)		1,500,023		1,500,389
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		1,642,984		1,642,977
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		704,136		704,136
American Express Credit Corp.
4.39%, 11/06/07		128,025		128,154
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (j)		1,386,935		1,387,515
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (j)		277,387		277,387
Bank of America N.A.
4.31%, 08/10/06		2,133,746		2,133,746
Bank of Ireland
4.34%, 12/20/06 (j)		426,749		426,749
Bank of Nova Scotia
4.22%, 01/03/06		170,700		170,700
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (j)		1,062,605		1,062,563
BMW US Capital LLC
4.34%, 12/15/06 (j)		426,749		426,749
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (j)		1,147,955		1,147,930
Commodore CDO Ltd.
4.56%, 06/13/06 (j)		106,687		106,687
Credit Suisse First Boston NY
4.31%, 05/09/06		426,749		426,749
Credit Suisse New York
4.35%, 07/19/06		1,066,873		1,066,873
DEPFA Bank PLC
4.50%, 12/15/06		426,749		426,749
Descartes Funding Trust
4.37%, 11/15/06 (j)		192,037		192,037
Dexia Credit Local
4.33%, 08/30/06		213,375		213,347
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (j)		678,531		678,544


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Eli Lilly Services Inc.
4.26%, 09/01/06 (j)	$	426,749	$	426,749
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		426,749		426,748
Fifth Third Bancorp.
4.35%, 11/22/06 (j)		853,498		853,498
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (j)		298,724		298,725
General Electric Capital Corp.
4.44%, 01/09/07		192,037		192,192
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		320,062		320,062
Hartford Life Global Funding Trusts
4.36%, 02/17/07		426,749		426,749
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		1,280,248		1,280,247
Holmes Financing PLC
4.33%, 12/15/06 (j)		1,173,560		1,173,560
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		362,737		362,821
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (j)		1,237,573		1,237,524
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (j)		447,438		447,438
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (j)		1,450,947		1,450,995
Lothian Mortgages PLC
4.37%, 01/24/06 (j)		213,375		213,375
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		661,461		661,529
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (j)		1,275,980		1,276,669
Mound Financing PLC
4.30%, 11/08/06 (j)		853,498		853,498
Natexis Banques Populaires
4.35%, 01/12/07 (j)		320,062		320,062
National City Bank (Ohio)
4.26%, 01/06/06		213,375		213,374
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (j)		1,578,972		1,579,026
Nordea Bank AB
4.34%, 12/11/06 (j)		746,811		746,811

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

211

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Nordea Bank PLC
4.23%, 10/02/06	$	256,050	$	256,005
Northern Rock PLC
4.32%, 11/03/06 (j)		512,099		512,116
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (j)		1,160,758		1,160,758
Pfizer Investment Capital PLC
4.33%, 12/15/06 (j)		1,066,873		1,066,873
Principal Life Income Funding Trusts
4.29%, 05/10/06		320,062		320,067
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		640,124		640,052
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (j)		362,737		362,735
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (j)		900,441		900,430
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (j)		426,749		426,749
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (j)		661,461		661,432
Strips III LLC
4.43%, 07/24/06 (j)		115,101		115,101
SunTrust Bank
4.19%, 04/28/06		640,124		640,124
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (j)		951,651		951,585
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		938,848		938,845
Unicredito Italiano SpA
4.43%, 06/14/06		554,774		554,687
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (j)		426,749		426,749
US Bank N.A.
4.31%, 09/29/06		192,037		192,000
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		1,386,935		1,386,935
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (j)		880,543		880,542
Wells Fargo & Co.
4.36%, 09/15/06 (j)		213,375		213,389
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (j)		469,424		469,393
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (j)		874,836		874,829


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Winston Funding Ltd.
4.26%, 01/23/06 (j)	$	304,699	$	304,699
World Savings Bank
4.29%, 03/09/06		640,124		640,118

				43,777,846


TOTAL SHORT-TERM INVESTMENTS
(Cost: $86,408,149)				86,408,229


TOTAL INVESTMENTS IN SECURITIES (109.28%)
(Cost: $1,207,307,679)				1,298,433,936

Other Assets, Less Liabilities (-9.28%)				(110,221,439	)

NET ASSETS (100.00%)			$	1,188,212,497

(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)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(e)	The rate quoted is the annualized seven-day yield of the fund at period end.

(f)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(g)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(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.

(j)	This security or a portion of these securities 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.

(k)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 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 (03/17/06)	19	$	5,960,300	$	(109,694	)


				$	(109,694	)

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

212

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2005


Security	Principal		Value

CORPORATE BONDS & NOTES (30.96%)

ADVERTISING (0.13%)
Norfolk Southern Corp.
5.59%, 05/17/25	$	598,000	$	597,424
NTL Cable PLC
8.75%, 04/15/14		750,000		783,750

				1,381,174


AGRICULTURE (0.34%)
Monsanto Co.
5.50%, 08/15/25 (a)		1,500,000		1,456,152
5.50%, 07/30/35		1,750,000		1,671,323
RJ Reynolds Tobacco Holdings Inc.
7.30%, 07/15/15 (a)		500,000		510,000

				3,637,475


APPAREL (0.07%)
Levi Strauss & Co.
9.75%, 01/15/15		750,000		780,000

				780,000


AUTO MANUFACTURERS (0.75%)
DaimlerChrysler N.A. Holding Corp.
4.13%, 03/07/07		2,000,000		1,975,344
4.75%, 01/15/08		1,000,000		990,877
4.88%, 06/15/10		950,000		927,568
8.50%, 01/18/31		3,500,000		4,235,059

				8,128,848


BANKS (1.73%)
Bank of America Corp.
7.80%, 02/15/10		4,500,000		4,969,305
CIT Group Funding Company of Canada
4.90%, 07/01/10 (a)		3,750,000		3,671,220
HSBC Bank USA N.A.
5.88%, 11/01/34		3,000,000		3,026,832
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		3,010,347
Wachovia Corp.
5.50%, 08/01/35		3,000,000		2,922,930
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,227,880

				18,828,514


BIOTECHNOLOGY (0.13%)
Genentech Inc.
4.75%, 07/15/15		1,500,000		1,459,642

				1,459,642


BUILDING MATERIALS (0.04%)
NTK Holdings Inc.
0.00%, 03/01/14		750,000		468,750

				468,750


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

CHEMICALS (0.05%)
Equistar Chemicals Funding
10.63%, 05/01/11	$	500,000	$	550,000

				550,000


COMMERCIAL SERVICES (0.40%)
Cendant Corp.
6.25%, 01/15/08		4,000,000		4,072,136
Williams Scotsman Inc.
8.50%, 10/01/15		250,000		258,750

				4,330,886


COMPUTER SYSTEMS (0.02%)
Lucent Technologies Inc.
6.45%, 03/15/29		250,000		214,375

				214,375


DIVERSIFIED FINANCIAL SERVICES (6.73%)
Alamosa Delaware Inc.
8.50%, 01/31/12		500,000		540,625
Boeing Capital Corp.
6.50%, 02/15/12		1,750,000		1,888,990
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,404,248
CIT Group Inc.
5.75%, 09/25/07		5,000,000		5,069,560
Countrywide Home Loans Inc.
5.50%, 02/01/07		3,000,000		3,014,571
5.63%, 05/15/07		1,500,000		1,512,754
Ford Motor Credit Co.
6.88%, 02/01/06		2,000,000		1,995,700
General Electric Capital Corp.
2.80%, 01/15/07		6,500,000		6,367,289
3.45%, 07/16/07		6,000,000		5,885,160
6.75%, 03/15/32		3,000,000		3,521,553
General Motors Acceptance Corp.
6.75%, 01/15/06		1,000,000		999,340
Goldman Sachs Group Inc.
3.88%, 01/15/09		3,000,000		2,912,271
5.13%, 01/15/15		3,500,000		3,460,418
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,952,912
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		1,964,916
Kinder Morgan Finance Co. ULC
6.40%, 01/05/36 (a)		1,250,000		1,281,104
Lehman Brothers Holdings Inc.
4.80%, 03/13/14		1,000,000		976,392
5.00%, 01/14/11		3,000,000		2,993,775
Merrill Lynch & Co. Inc.
4.29%, 10/19/07		8,000,000		8,011,736
Residential Capital Corp.
6.38%, 06/30/10		4,200,000		4,267,683

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

213

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

DIVERSIFIED FINANCIAL SERVICES (Cont.)
SLM Corp.
5.63%, 04/10/07	$	7,500,000	$	7,544,902
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14		500,000		531,250

				73,097,149


ELECTRIC (2.45%)
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		956,679
5.88%, 02/01/33		3,500,000		3,508,792
Constellation Energy Group Inc.
6.35%, 04/01/07		1,500,000		1,523,709
7.60%, 04/01/32		1,250,000		1,503,791
Mirant North America LLC
7.38%, 12/31/13 (a)		250,000		252,812
Northern States Power
5.25%, 07/15/35		2,500,000		2,403,572
Pacific Gas & Electric Corp.
4.80%, 03/01/14		2,500,000		2,436,317
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,492,549
8.63%, 04/15/31		700,000		921,106
Sierra Pacific Resources
6.75%, 08/15/17 (a)		750,000		746,250
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,285,254
TXU Corp.
5.55%, 11/15/14		250,000		237,459
TXU Energy Co.
6.13%, 03/15/08 (b)		5,750,000		5,844,495
7.00%, 03/15/13		2,325,000		2,477,669

				26,590,454


ELECTRONICS (0.08%)
Midwest Generation LLC
8.75%, 05/01/34		750,000		825,937

				825,937


ENTERTAINMENT (0.13%)
Cinemark Inc.
9.75%, 03/15/14		500,000		370,000
Gaylord Entertainment Co.
8.00%, 11/15/13		500,000		523,750
Pinnacle Entertainment Inc.
8.25%, 03/15/12		500,000		516,875

				1,410,625


FOOD (0.95%)
Albertson’s Inc.
7.50%, 02/15/11		500,000		510,344
Delhaize America Inc.
8.13%, 04/15/11		1,250,000		1,362,584


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

FOOD (Cont.)
Kroger Co. (The)
8.05%, 02/01/10	$	5,000,000	$	5,428,895
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,986,965

				10,288,788


FOREST PRODUCTS & PAPER (0.21%)
Weyerhaeuser Co.
6.13%, 03/15/07		2,204,000		2,236,178

				2,236,178


GAS (0.02%)
Colorado Interstate Gas Co.
6.80%, 11/15/15 (a)		250,000		255,444

				255,444


HEALTH CARE-PRODUCTS (0.27%)
Boston Scientific Corp.
5.45%, 06/15/14		3,000,000		2,971,923

				2,971,923


HEALTH CARE-SERVICES (0.69%)
Res-Care Inc.
7.75%, 10/15/13 (a)		250,000		250,000
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,552,349
4.88%, 03/15/15		1,250,000		1,224,981
5.00%, 08/15/14		2,500,000		2,487,775

				7,515,105


HOLDING COMPANIES-DIVERSIFIED (0.03%)
Marquee Holdings Inc.
12.00%, 08/15/14		500,000		318,750

				318,750


HOME BUILDERS (0.04%)
Standard Pacific Corp.
7.00%, 08/15/15		500,000		461,250

				461,250


HOUSEHOLD PRODUCTS & WARES (0.48%)
Clorox Co. (The)
4.61%, 12/14/07		5,250,000		5,259,434

				5,259,434


INSURANCE (2.73%)
AIG SunAmerica Global Finance IX
5.10%, 01/17/07 (a)		5,000,000		5,009,350
Allstate Financial Global Funding
2.50%, 06/20/08 (a)		4,970,000		4,694,314

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

214

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

INSURANCE (Cont.)
American International Group Inc.
2.88%, 05/15/08	$	2,500,000	$	2,386,613
ASIF Global Financing XVII
3.85%, 11/26/07 (a)		6,500,000		6,374,479
Berkshire Hathaway Finance Corp.
4.17%, 01/11/08		1,400,000		1,401,427
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,079,156
Markel Corp.
7.35%, 08/15/34		1,000,000		1,076,014
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,593,641

				29,614,994


LODGING (0.89%)
Harrah’s Operating Co. Inc.
7.13%, 06/01/07		3,650,000		3,742,622
Marriott International Inc.
4.63%, 06/15/12		750,000		721,869
5.81%, 11/10/15 (a)		3,530,000		3,577,231
MGM Mirage
8.50%, 09/15/10		750,000		812,813
Starwood Hotels & Resorts Worldwide Inc.
7.88%, 05/01/12		750,000		826,875

				9,681,410


MACHINERY (0.10%)
Case Corp.
7.25%, 01/15/16		750,000		699,375
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		359,938

				1,059,313


MEDIA (0.42%)
CCH I LLC
11.00%, 10/01/15 (a)		1,000,000		840,000
Dex Media East LLC
12.13%, 11/15/12		325,000		380,250
Dex Media Inc.
8.00%, 11/15/13		500,000		510,000
DirecTV Holdings LLC
6.38%, 06/15/15		500,000		488,750
Echostar DBS Corp.
6.38%, 10/01/11		250,000		240,625
Liberty Media Corp.
8.25%, 02/01/30		250,000		244,964
Sirius Satellite Radio Inc.
9.63%, 08/01/13 (a)		250,000		246,250
Walt Disney Co. (The)
6.38%, 03/01/12		1,500,000		1,586,577

				4,537,416


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

OIL & GAS (1.46%)
Burlington Resources Finance Co.
7.20%, 08/15/31	$	2,300,000	$	2,844,610
Chesapeake Energy Corp.
6.88%, 01/15/16		500,000		512,500
Devon Financing Corp. ULC
7.88%, 09/30/31		1,250,000		1,588,374
Dexia Credit Local
4.88%, 07/01/15		1,750,000		1,710,373
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,950,676
5.75%, 03/01/35		1,500,000		1,379,172
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15 (a)		250,000		254,375
Kerr-McGee Corp.
6.95%, 07/01/24		250,000		265,171
Parker Drilling Co.
9.63%, 10/01/13		500,000		558,125
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,065,000
Pogo Producing Co.
6.63%, 03/15/15		500,000		487,500
Tesoro Corp.
6.25%, 11/01/12 (a)		250,000		251,250
6.63%, 11/01/15 (a)		250,000		252,500
Valero Energy Corp.
7.50%, 04/15/32		2,250,000		2,734,405

				15,854,031


OIL & GAS SERVICES (0.01%)
Grant Prideco Inc.
6.13%, 08/15/15 (a)		100,000		99,750

				99,750


PACKAGING & CONTAINERS (0.07%)
Crown Americas Inc.
7.63%, 11/15/13 (a)		500,000		518,750
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		246,250

				765,000


PHARMACEUTICALS (0.39%)
AmerisourceBergen Corp.
5.63%, 09/15/12 (a)		1,750,000		1,750,000
5.88%, 09/15/15 (a)		250,000		252,188
Coventry Health Care Inc.
5.88%, 01/15/12		1,000,000		1,010,000
6.13%, 01/15/15		750,000		768,750
Omnicare Inc.
6.88%, 12/15/15		250,000		253,750
Warner Chilcott Corp.
8.75%, 02/01/15 (a)		250,000		230,000

				4,264,688

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

215

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

PIPELINES (0.71%)
ANR Pipeline Co.
8.88%, 03/15/10	$	500,000	$	534,358
El Paso Corp.
7.80%, 08/01/31		250,000		249,375
Kinder Morgan Energy Partners LP
6.75%, 03/15/11		4,500,000		4,792,883
Pacific Energy Partners LP
6.25%, 09/15/15 (a)		250,000		246,250
SemGroup LP
8.75%, 11/15/15 (a)		500,000		511,250
Utilicorp United Inc.
7.63%, 11/15/09		500,000		510,000
Williams Companies Inc.
7.13%, 09/01/11		500,000		519,375
8.75%, 03/15/32		250,000		290,000

				7,653,491


REAL ESTATE INVESTMENT TRUSTS (1.37%)
Duke Realty LP
4.76%, 12/22/06		4,250,000		4,255,058
iStar Financial Inc.
5.13%, 04/01/11		4,000,000		3,897,560
5.15%, 03/01/12		1,000,000		968,453
Omega Healthcare Investors Inc.
7.00%, 01/15/16 (a)		250,000		247,813
Simon Property Group LP
6.38%, 11/15/07		5,341,000		5,457,669

				14,826,553


RETAIL (0.60%)
Asbury Automotive Group Inc.
9.00%, 06/15/12		250,000		250,000
Denny’s Corp./Denny’s Holdings Inc.
10.00%, 10/01/12		500,000		507,500
Staples Inc.
7.38%, 10/01/12		740,000		824,868
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,166,338
8.88%, 04/15/11		1,550,000		1,774,626

				6,523,332


SEMICONDUCTORS (0.05%)
Freescale Semiconductor Inc.
6.90%, 07/15/09		500,000		513,750

				513,750


TELECOMMUNICATIONS (4.85%)
American Cellular Corp.
10.00%, 08/01/11		500,000		542,500
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,288,468
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,324,818


Security	Principal		Value

CORPORATE BONDS & NOTES (Cont.)

TELECOMMUNICATIONS (Cont.)
CenturyTel Inc.
7.88%, 08/15/12	$	3,750,000	$	4,136,033
Cincinnati Bell Inc.
7.00%, 02/15/15		250,000		245,000
Citizens Communications Co.
6.25%, 01/15/13		1,000,000		967,500
Corning Inc.
6.05%, 06/15/15		2,500,000		2,481,103
Deutsche Telekom International Finance AG
8.00%, 06/15/10		5,000,000		5,668,855
Dobson Communications Corp.
8.88%, 10/01/13		500,000		498,750
France Telecom SA
7.75%, 03/01/11		2,500,000		2,792,348
IWO Holdings Inc.
10.75%, 01/15/15		750,000		541,875
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,664,386
Nextel Communications Inc.
5.95%, 03/15/14		2,200,000		2,211,524
Nextel Partners Inc.
8.13%, 07/01/11		3,000,000		3,206,250
Sprint Capital Corp.
6.00%, 01/15/07		6,000,000		6,058,674
Telecom Italia Capital SA
5.25%, 10/01/15		4,500,000		4,370,765
TELUS Corp.
7.50%, 06/01/07		3,600,000		3,717,486
UbiquiTel Operating Co.
9.88%, 03/01/11		250,000		276,875
US West Communications
6.88%, 09/15/33		250,000		235,000
Verizon New York Inc.
7.38%, 04/01/32		150,000		157,697
Verizon New York Inc. Class A
6.88%, 04/01/12		6,000,000		6,254,580

				52,640,487


TRANSPORTATION (1.57%)
Burlington Northern Santa Fe Corp.
7.88%, 04/15/07		4,850,000		5,019,706
CNF Inc.
6.70%, 05/01/34		2,500,000		2,620,815
FedEx Corp.
2.65%, 04/01/07		8,250,000		8,024,915
Norfolk Southern Corp.
7.25%, 02/15/31		652,000		790,880
8.63%, 05/15/10		500,000		566,057

				17,022,373


TOTAL CORPORATE BONDS & NOTES
(Cost: $342,038,168)				336,067,289

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

216

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Principal		Value

COLLATERALIZED MORTGAGE OBLIGATIONS (14.89%)

ASSET-BACKED SECURITIES (3.87%)
Aegis Asset Backed Securities Trust Series 2005-1N Class N1
4.25%, 03/25/35 (a) (c)	$	1,644,753	$	1,639,871
Asset Backed Funding Certificates Series 2005-AQ1 Class A2
4.30%, 06/25/35		7,700,000		7,603,819
Asset Backed Funding Corp NIM Trust Series 2004-OPT4 Class N1
4.45%, 05/26/34 (a)		745,536		742,127
Bear Stearns Asset Backed Securities NIM Series 2004-HE5N Class A2
5.00%, 07/25/34 (a)		2,513,000		2,504,136
Bear Stearns Asset Backed Securities NIM Series 2004-HE6N Class A1
5.25%, 08/25/34 (a)		1,764,979		1,757,435
Bear Stearns Asset Backed Securities NIM Series 2004-HE7N Class A1
5.25%, 08/25/34 (a) (c)		3,467,802		3,463,467
Bear Stearns Asset Backed Securities NIM Series 2005-FR1 Class A1
5.00%, 06/25/35 (a)		1,538,193		1,536,155
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1
5.50%, 10/25/35 (a)		4,508,684		4,503,234
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3
3.84%, 10/25/30		4,176,000		4,134,744
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		7,500,000		7,410,369
Long Beach Asset Holdings Corp. Series 2005-1 Class N1
4.12%, 02/25/35 (a)		1,659,873		1,653,953
Novastar NIM Trust Series 2004-N3
3.97%, 03/25/35 (a)		2,461,447		2,450,329
Sasco Net Interest Margin Trust Series 2005-WF1A Class A
4.75%, 02/27/35 (a) (c)		2,692,253		2,673,744

				42,073,383


MORTGAGE-BACKED SECURITIES (11.02%)
Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A
4.58%, 05/25/35		3,779,426		3,778,610
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18		3,968,173		3,904,932
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class A1
5.45%, 07/16/34 (a)		10,092,028		10,208,627


Security	Principal		Value

COLLATERALIZED MORTGAGE OBLIGATIONS (Cont.)

MORTGAGE-BACKED SECURITIES (Cont.)
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CK6 Class A2
6.10%, 08/15/36	$	8,733,541	$	8,915,771
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		5,040,793		4,944,705
GE Capital Commercial Mortgage Corp. Series 2003-C2 Class A2
4.17%, 07/10/37		3,200,000		3,129,858
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2001-CIC3 Class A2
6.04%, 11/15/35		2,100,000		2,147,312
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1 Class A
4.72%, 01/15/38		10,000,000		9,707,874
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.21%, 12/15/44		10,000,000		10,049,707
Master Asset Securitization Trust Series 2003-10 Class 3A1
5.50%, 11/25/33		8,886,353		8,744,287
Master Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,744,200		2,695,778
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
4.76%, 11/25/34		446,735		448,025
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
4.64%, 04/25/36		4,891,891		4,892,675
Merrill Lynch Mortgage Trust Series 2004-MKB1 Class A2
4.35%, 02/12/42		3,000,000		2,939,092
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A2
5.20%, 01/12/44		7,000,000		7,032,335
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		3,016,232
Opteum NIM Trust Series 2005-1
6.00%, 02/25/35 (a)		5,653,394		5,636,000
Option One Mortgage Loan Trust Series 2002-2 Class M2
5.53%, 06/25/32		999,466		1,000,115
Park Place Securities Inc. Series 2004-MHQ1 Class A3
4.74%, 01/25/33		1,980,236		1,982,813

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

217

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

COLLATERALIZED MORTGAGE OBLIGATIONS (Cont.)

MORTGAGE-BACKED SECURITIES (Cont.)
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18	$	2,219,772	$	2,146,298
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.13%, 12/15/44 (c)		10,000,000		10,048,620
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6
4.87%, 10/15/17 (a)		5,000,000		4,999,508
4.92%, 10/15/17 (a)		5,000,000		4,999,508
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1
4.50%, 09/25/18		2,335,299		2,259,402

				119,628,084


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $162,835,377)				161,701,467


FOREIGN GOVERNMENT BONDS & NOTES (d) (0.42%)
United Mexican States
6.63%, 03/03/15		1,500,000		1,642,500
7.50%, 04/08/33		1,000,000		1,184,000
8.38%, 01/14/11		1,500,000		1,710,000


TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $4,537,442)				4,536,500


U.S. GOVERNMENT AND AGENCY OBLIGATIONS (55.72%)

MORTGAGE-BACKED SECURITIES (44.60%)
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		7,873,589		7,679,260
4.50%, 04/15/20		11,513,000		11,068,383
4.57%, 04/15/28		5,266,944		5,263,847
5.00%, 06/15/24		9,324,482		9,315,902
5.50%, 03/15/25		4,185,642		445,968
5.50%, 07/15/26		9,558,163		9,630,644
5.50%, 05/01/34		94,105		93,334
5.50%, 10/01/34		794,367		787,853
5.50%, 06/01/35		14,616,234		14,496,378
5.50%, 01/01/36 (e)		22,000,000		21,793,750
6.00%, 08/01/34		30,373,589		30,679,757
Federal National Mortgage Association
4.50%, 05/01/18		5,436,521		5,302,330
4.50%, 07/01/18		8,334,470		8,128,749
4.50%, 11/01/18		5,630,772		5,491,787
4.50%, 04/01/19		6,838,126		6,664,216
4.50%, 06/01/19		5,643,870		5,500,333
4.57%, 06/01/35		8,596,479		8,485,794
5.00%, 06/15/16		7,735,853		7,757,698


Security	Shares or principal		Value

U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cont.)

MORTGAGE-BACKED SECURITIES (Cont.)
5.00%, 01/01/18	$	1,745,680	$	1,729,788
5.00%, 09/01/18		10,604,737		10,506,521
5.00%, 12/01/18		901,107		892,761
5.00%, 01/01/19		804,017		796,571
5.00%, 06/01/19		1,714,794		1,698,100
5.00%, 08/01/19		938,915		929,362
5.00%, 09/01/19		838,479		829,947
5.00%, 11/01/19		1,806,740		1,788,356
5.00%, 01/01/20		909,280		899,602
5.00%, 05/01/20		9,144,596		9,047,266
5.00%, 06/01/20		914,046		904,318
5.00%, 01/01/21 (e)		49,000,000		48,464,038
5.00%, 11/01/33		60,464,028		58,796,499
5.00%, 12/01/33		19,384,189		18,849,595
5.00%, 03/01/34		9,694,214		9,426,858
5.00%, 09/01/35		466,129		451,660
5.03%, 07/01/35		3,773,742		3,740,580
5.23%, 05/01/35		2,769,189		2,764,348
5.50%, 09/01/19		6,025,231		6,064,692
5.50%, 10/01/19		4,749,134		4,780,237
5.50%, 04/25/26		12,450,161		12,525,306
5.50%, 07/01/33		38,122,959		37,843,385
5.50%, 01/01/34		8,798,489		8,733,965
5.50%, 03/01/35		1,503,459		1,489,050
6.00%, 03/01/33		850,862		859,745
6.00%, 08/01/34		852,500		860,560
6.00%, 09/01/34		1,713,169		1,729,367
6.00%, 10/01/34		937,733		946,600
6.00%, 11/01/34		318,534		321,546
6.00%, 01/01/35		896,725		905,226
6.00%, 05/01/35		20,671,453		20,867,402
6.50%, 09/01/34		11,125,381		11,413,658
6.50%, 01/01/36 (e)		23,000,000		23,589,375
Government National Mortgage Association
5.50%, 01/01/36 (e)		20,000,000		20,118,760

				484,151,027


U.S. GOVERNMENT AGENCY OBLIGATIONS (3.98%)
Federal National Mortgage Association
5.00%, 05/15/22		29,500,000		29,480,262
5.00%, 01/25/25		13,800,000		13,760,235

				43,240,497


U.S. GOVERNMENT SECURITIES (7.14%)
U.S. Treasury Bonds
5.38%, 02/15/31 (b)		34,050,000		38,247,718
6.13%, 08/15/29 (b)		7,800,000		9,501,071
U.S. Treasury Notes
1.63%, 02/28/06 (f)		100,000		99,625
2.63%, 05/15/08 (f)		398,000		382,329

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

218

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cont.)

U.S. GOVERNMENT SECURITIES (Cont.)
3.13%, 04/15/09 (f)	$	605,000	$	582,029
4.00%, 02/15/14 (b)		29,500,000		28,700,284

				77,513,056


TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $611,392,664)				604,904,580


SHORT-TERM INVESTMENTS (14.56%)

CERTIFICATES OF DEPOSIT (g) (0.34%)
Banco Bilbao Vizcaya Argentaria SA
3.83%, 01/25/06		208,271		208,271
Credit Suisse First Boston NY
4.03%, 01/04/06		208,271		208,271
First Tennessee Bank
4.18%, 01/26/06		64,564		64,561
Fortis Bank NY
3.83% - 3.84%, 01/25/06		624,814		624,815
Toronto-Dominion Bank
3.94%, 07/10/06		208,271		208,271
Wells Fargo Bank N.A.
4.26% - 4.78%, 01/09/06 - 12/05/06		1,791,133		1,791,129
Wilmington Trust Corp.
4.24% - 4.30%, 01/27/06 - 01/31/06		624,814		624,817

				3,730,135


COMMERCIAL PAPER (g) (1.69%)
Amstel Funding Corp.
3.91% - 4.40%, 01/04/06 - 05/08/06		1,270,455		1,264,208
Bryant Park Funding LLC
3.92%, 02/22/06		106,289		105,710
CAFCO LLC
4.19% - 4.23%, 01/27/06 - 02/06/06		895,567		892,426
CC USA Inc.
4.23%, 04/21/06		124,963		123,377
Charta LLC
4.25%, 01/26/06		312,407		311,559
Chesham Finance LLC
4.22% - 4.30%, 01/03/06 - 01/30/06		1,271,809		1,270,293
CRC Funding LLC
4.19% - 4.25%, 01/27/06 - 02/06/06		1,532,877		1,527,783
Dorada Finance Inc.
3.76%, 01/26/06		41,654		41,554
Ebury Finance Ltd.
4.30%, 01/30/06		583,160		581,279


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Edison Asset Securitization LLC
4.37%, 05/08/06	$	208,271	$	205,111
Ford Credit Auto Receivables
4.22% - 4.23%, 01/17/06		345,730		345,163
Ford Credit Floorplan Motown
4.05%, 01/06/06		833,085		832,804
Galaxy Funding Inc.
4.23%, 04/18/06		119,548		118,073
Gemini Securitization Corp.
4.25%, 01/30/06		208,271		207,607
Georgetown Funding Co. LLC
4.23% - 4.28%, 01/05/06 - 01/19/06		2,038,930		2,037,453
Giro Funding US Corp.
4.23% - 4.24%, 01/09/06 - 01/13/06		354,061		353,762
Grampian Funding LLC
3.84% - 4.41%, 01/31/06 - 05/15/06		624,814		620,203
HSBC PLC
3.88%, 02/03/06		124,963		124,545
Jupiter Securitization Corp.
4.23%, 01/24/06		145,790		145,430
Liberty Street Funding Corp.
4.23%, 01/04/06		166,617		166,597
Lockhart Funding LLC
4.01% - 4.30%, 01/04/06 - 01/23/06		516,513		515,879
Mortgage Interest Networking Trust
4.28% - 4.34%, 01/17/06 - 01/25/06		437,370		436,436
Nordea North America Inc.
4.16%, 04/04/06		437,370		432,771
Prudential Funding LLC
4.27%, 01/17/06		833,085		831,702
Santander Central Hispano Finance Inc.
3.91%, 02/17/06		416,543		414,507
Sedna Finance Inc.
3.92%, 02/21/06		104,136		103,580
Sigma Finance Inc.
4.16%, 04/06/06		249,926		247,240
Solitaire Funding Ltd.
4.24%, 01/23/06		1,021,904		1,019,497
Thames Asset Global Securitization No. 1 Inc.
4.23%, 01/04/06		111,708		111,695
Three Pillars Funding Corp.
4.03% - 4.27%, 01/03/06 - 01/17/06		1,327,613		1,327,297
Thunder Bay Funding Inc.
4.22%, 01/13/06		41,654		41,605

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

219

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

COMMERCIAL PAPER (Cont.)
Ticonderoga Funding LLC
4.27%, 01/05/06	$	104,136	$	104,111
Tulip Funding Corp.
4.25% - 4.28%, 01/03/06 - 01/31/06		1,466,072		1,462,400

				18,323,657


LOAN PARTICIPATIONS (g) (0.02%)
Army & Air Force Exchange Service
4.24%, 02/01/06		208,271		208,271

				208,271


MEDIUM-TERM NOTES (g) (0.13%)
Dorada Finance Inc.
3.93%, 07/07/06		129,128		129,122
K2 USA LLC
3.94%, 07/07/06		249,926		249,919
Marshall & Ilsley Bank
5.18%, 12/15/06		416,543		417,901
Toronto-Dominion Bank
3.81%, 06/20/06		520,678		520,702
US Bank N.A.
2.85%, 11/15/06		83,309		81,981

				1,399,625


MONEY MARKET FUNDS (7.33%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares, 4.25% (h) (i)		79,553,299		79,553,299

				79,553,299


REPURCHASE AGREEMENTS (g) (0.80%)
Banc of America Securities LLC Repurchase Agreement, due 1/3/06, with a maturity value of $2,083,724 and an effective yield of 4.37%. (j)	$	2,082,713		2,082,713
Credit Suisse First Boston Repurchase Agreement, due 1/3/06, with a maturity value of $166,697 and an effective yield of 4.32%. (j)		166,617		166,617
Lehman Brothers Holdings Inc. Repurchase Agreement, due 1/3/06, with a maturity value of $3,333,948 and an effective yield of 4.34%. (k)		3,332,341		3,332,341
Morgan Stanley Repurchase Agreement, due 1/3/06, with a maturity value of $3,125,573 and an effective yield of 4.33%. (k)		3,124,070		3,124,070

				8,705,741


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

TIME DEPOSITS (g) (0.31%)
UBS AG
4.06%, 01/03/06	$	2,499,256	$	2,499,256
Wells Fargo Bank N.A.
4.00%, 01/03/06		862,997		862,997

				3,362,253


VARIABLE & FLOATING RATE NOTES (g) (3.94%)
Allstate Life Global Funding II
4.36% - 4.43%, 11/09/06 - 01/16/07 (a)		1,464,147		1,464,505
American Express Bank
4.33% - 4.34%, 01/24/06 - 10/25/06		1,603,689		1,603,682
American Express Centurion Bank
4.33% - 4.34%, 06/29/06 - 07/19/06		687,295		687,295
American Express Credit Corp.
4.39%, 11/06/07		124,963		125,089
ASIF Global Financing
4.34% - 4.55%, 05/30/06 - 08/11/06 (a)		1,353,764		1,354,330
Australia & New Zealand Banking Group Ltd.
4.35%, 01/23/07 (a)		270,753		270,753
Bank of America N.A.
4.31%, 08/10/06		2,082,713		2,082,713
Bank of Ireland
4.34%, 12/20/06 (a)		416,543		416,543
Bank of Nova Scotia
4.22%, 01/03/06		166,617		166,617
Beta Finance Inc.
4.29% - 4.33%, 04/25/06 - 06/09/06 (a)		1,037,191		1,037,151
BMW US Capital LLC
4.34%, 12/15/06 (a)		416,543		416,543
CC USA Inc.
4.32% - 4.35%, 03/23/06 - 07/14/06 (a)		1,120,500		1,120,475
Commodore CDO Ltd.
4.56%, 06/13/06 (a)		104,136		104,136
Credit Suisse First Boston NY
4.31%, 05/09/06		416,543		416,543
Credit Suisse New York
4.35%, 07/19/06		1,041,357		1,041,357
DEPFA Bank PLC
4.50%, 12/15/06		416,543		416,543
Descartes Funding Trust
4.37%, 11/15/06 (a)		187,444		187,444
Dexia Credit Local
4.33%, 08/30/06		208,271		208,244

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

220

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Dorada Finance Inc.
4.33% - 4.36%, 03/27/06 - 06/26/06 (a)	$	662,303	$	662,315
Eli Lilly Services Inc.
4.26%, 09/01/06 (a)		416,543		416,543
Fairway Finance Corp.
4.32% - 4.42%, 01/18/06 - 01/20/06		416,543		416,542
Fifth Third Bancorp.
4.35%, 11/22/06 (a)		833,085		833,085
Five Finance Inc.
4.34% - 4.37%, 02/27/06 - 06/26/06 (a)		291,580		291,580
General Electric Capital Corp.
4.44%, 01/09/07		187,444		187,596
Greenwich Capital Holdings Inc.
4.25% - 4.32%, 02/10/06 - 03/02/06		312,407		312,407
Hartford Life Global Funding Trusts
4.36%, 02/17/07		416,543		416,543
HBOS Treasury Services PLC
4.32% - 4.57%, 01/10/06 - 10/24/06		1,249,628		1,249,629
Holmes Financing PLC
4.33%, 12/15/06 (a)		1,145,492		1,145,492
HSBC Bank USA N.A.
4.27% - 4.39%, 05/04/06 - 08/03/06		354,061		354,143
K2 USA LLC
4.25% - 4.36%, 02/15/06 - 09/11/06 (a)		1,207,974		1,207,927
Leafs LLC
4.37%, 01/20/06 - 02/21/06 (a)		436,737		436,737
Links Finance LLC
4.32% - 4.40%, 01/20/06 - 03/15/06 (a)		1,416,245		1,416,291
Lothian Mortgages PLC
4.37%, 01/24/06 (a)		208,271		208,271
Marshall & Ilsley Bank
4.35% - 4.47%, 02/20/06 - 12/15/06		645,641		645,707
Metropolitan Life Global Funding I
4.31% - 4.55%, 08/28/06 - 01/05/07 (a)		1,245,462		1,246,135
Mound Financing PLC
4.30%, 11/08/06 (a)		833,085		833,085
Natexis Banques Populaires
4.35%, 01/12/07 (a)		312,407		312,407
National City Bank (Ohio)
4.26%, 01/06/06		208,271		208,271


Security	Shares or principal		Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
Nationwide Building Society
4.33% - 4.58%, 01/13/06 - 01/26/07 (a)	$	1,541,208	$	1,541,262
Nordea Bank AB
4.34%, 12/11/06 (a)		728,950		728,950
Nordea Bank PLC
4.23%, 10/02/06		249,926		249,882
Northern Rock PLC
4.32%, 11/03/06 (a)		499,851		499,868
Permanent Financing PLC
4.32%, 03/10/06 - 06/12/06 (a)		1,132,996		1,132,996
Pfizer Investment Capital PLC
4.33%, 12/15/06 (a)		1,041,357		1,041,357
Principal Life Income Funding Trusts
4.29%, 05/10/06		312,407		312,412
Royal Bank of Scotland
4.32% - 4.33%, 06/27/06 - 08/30/06		624,814		624,744
Sedna Finance Inc.
4.33% - 4.34%, 01/10/06 - 09/20/06 (a)		354,061		354,060
Sigma Finance Inc.
4.07% - 4.35%, 01/09/06 - 08/15/06 (a)		878,905		878,895
Skandinaviska Enskilda Bank NY
4.36%, 11/16/06 (a)		416,543		416,543
Societe Generale
4.26% - 4.32%, 03/30/06 - 01/02/07 (a)		645,641		645,613
Strips III LLC
4.43%, 07/24/06 (a) (l)		112,348		112,348
SunTrust Bank
4.19%, 04/28/06		624,814		624,814
Tango Finance Corp.
4.33% - 4.34%, 05/25/06 - 09/27/06 (a)		928,890		928,826
Toyota Motor Credit Corp.
4.23% - 4.30%, 01/09/06 - 04/10/06		916,394		916,391
Unicredito Italiano SpA
4.43%, 06/14/06		541,505		541,420
Union Hamilton Special Funding LLC
4.52%, 03/28/06 (a)		416,543		416,543
US Bank N.A.
4.31%, 09/29/06		187,444		187,408
Variable Funding Capital Corp.
4.29% - 4.32%, 02/16/06 - 03/13/06		1,353,764		1,353,764
Wachovia Asset Securitization Inc.
4.37%, 01/25/06 (a)		859,483		859,483
Wells Fargo & Co.
4.36%, 09/15/06 (a)		208,271		208,285

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

221

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005


Security	Shares or principal			Value

SHORT-TERM INVESTMENTS (Cont.)

VARIABLE & FLOATING RATE NOTES (Cont.)
WhistleJacket Capital LLC
4.33% - 4.35%, 01/17/06 - 07/28/06 (a)	$	458,197		$	458,167
White Pine Finance LLC
4.32% - 4.37%, 01/13/06 - 06/20/06 (a)		853,912			853,905
Winston Funding Ltd.
4.26%, 01/23/06 (a)		297,411			297,411
World Savings Bank
4.29%, 03/09/06		624,814			624,808

					42,730,824


TOTAL SHORT-TERM INVESTMENTS
(Cost: $158,013,805)					158,013,805


TOTAL INVESTMENTS IN SECURITIES (116.55%)
(Cost: $1,278,817,456)					1,265,223,641


SECURITIES SOLD SHORT (-6.49%)

U. S. GOVERNMENT AGENCY OBLIGATIONS (-6.49%)
Federal National Mortgage Association
4.50%, 01/01/21 (e)		(60,000,000	)		(58,368,720	)
6.00%, 01/01/36 (e)		(12,000,000	)		(12,108,744	)


TOTAL SECURITIES SOLD SHORT
(Proceeds: $70,131,484)					(70,477,464	)

Other Assets, Less Liabilities (-10.06%)					(109,163,846	)

NET ASSETS (100.00%)				$	1,085,582,331

(a)	This security or a portion of these securities 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)	Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

(d)	Investments are denominated in U.S. dollars.

(e)	To-be-announced (TBA). See Note 1.

(f)	These U.S. Treasury Notes are held in segregated accounts in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

(g)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(h)	The Master Portfolio’s investment adviser is an affiliate of the issuer. See Note 2.

(i)	The rate quoted is the annualized seven-day yield of the fund at period end.

(j)	Repurchase agreements are fully collateralized by U.S. Government securities, with interest rates ranging from 4.10% to 5.84% and maturity dates ranging from 2/1/28 to 5/1/35.

(k)	Repurchase agreements are fully collateralized by non-U.S. Government debt securities, with interest rates ranging from 1.01% to 7.96% and maturity dates ranging from 5/18/06 to 10/27/25. The credit exposure of the collateral is viewed as unsecured debt of the counterparty.

(l)	The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

As of December 31, 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 (03/31/06)	592		$	62,955,500		$	100,649

U.S. 10-Year Note (03/31/06)	194			21,224,813			54,466

U.S. 2-Year Note (03/31/06)	(100	)		(20,518,750	)		(711	)

U.S. Long Bond (03/31/06)	(5	)		(570,938	)		767

90-Day Euro (03/13/06)	(210	)		(49,993,125	)		631,669


						$	786,840

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

222

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2005

As of December 31, 2005, the Master Portfolio held the following open swap contracts:


Description	Notional amount		Net unrealized appreciation (depreciation)
Interest Rate Swaps

Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 4.98%. Expiring 12/5/10.	$	9,000,000	$	38,038

Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.10%. Expiring 12/5/15.		5,000,000		57,469

Agreement with J.P. Morgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.19%. Expiring 11/8/15.		40,000,000		753,933


			$	849,440

Credit Default Swaps

Agreement with J.P. Morgan Chase & Co. dated 11/8/05 to receive 1.80% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Knight-Ridder, Inc. 4.63% due 11/1/14. Expiring 12/20/10.		750,000		(17,279	)

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		7,457

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		7,305

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		3,807

Agreement with J.P. Morgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.		2,000,000		49,213


Description	Notional amount		Net unrealized appreciation (depreciation)
Credit Default Swaps (Cont.)

Agreement with J.P. Morgan Chase & Co. dated 9/20/05 to pay 0.85% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.	$	26,000,000	$	119,064

Agreement with Lehman Brothers, Inc. dated 9/20/05 to receive 0.85% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 12/20/10.		28,000,000		36,635


			$	206,202

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 6.46%. Expiring 6/23/09.		18,200,000	$	276,729

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

223

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations

December 31, 2005

(Unaudited)

S&P 500 INDEX MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Consumer Non-Cyclical	$	518,398,608		21.52	%
Financial		506,205,091		21.02
Industrial		273,248,526		11.34
Technology		272,929,659		11.33
Communications		244,723,893		10.16
Energy		222,216,657		9.23
Consumer Cyclical		205,276,491		8.53
Utilities		79,690,369		3.31
Basic Materials		64,768,763		2.69
Futures Contracts		(377,277	)	(0.02	)
Short-Term and Other Net Assets		21,444,870		0.89

TOTAL	$	2,408,525,650		100.00	%

LIFEPATH RETIREMENT MASTER PORTFOLIO


Security Type	Value		% of Net Assets
Domestic Fixed Income	$	149,115,210	64.65	%
Domestic Equity		59,816,409	25.93
Foreign Equity		20,707,183	8.98
Short-Term and Other Net Assets		1,026,184	0.44

TOTAL	$	230,664,986	100.00	%

LIFEPATH 2010 MASTER PORTFOLIO


Security Type	Value		% of Net Assets
Domestic Fixed Income	$	358,006,967	53.76	%
Domestic Equity		224,561,314	33.72
Foreign Equity		77,817,026	11.68
Short-Term and Other Net Assets		5,606,455	0.84

TOTAL	$	665,991,762	100.00	%

LIFEPATH 2020 MASTER PORTFOLIO


Security Type	Value		% of Net Assets
Domestic Equity	$	499,953,533	46.94	%
Domestic Fixed Income		381,902,290	35.86
Foreign Equity		171,355,455	16.09
Short-Term and Other Net Assets		11,878,343	1.11

TOTAL	$	1,065,089,621	100.00	%

LIFEPATH 2030 MASTER PORTFOLIO


Security Type	Value		% of Net Assets
Domestic Equity	$	380,934,625	56.29	%
Domestic Fixed Income		148,830,081	21.99
Foreign Equity		131,175,776	19.38
Short-Term and Other Net Assets		15,804,053	2.34

TOTAL	$	676,744,535	100.00	%

LIFEPATH 2040 MASTER PORTFOLIO


Security Type	Value		% of Net Assets
Domestic Equity	$	288,367,524	66.15	%
Foreign Equity		87,364,875	20.04
Domestic Fixed Income		47,727,754	10.95
Short-Term and Other Net Assets		12,469,420	2.86

TOTAL	$	435,929,573	100.00	%

ACTIVE STOCK MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Consumer Non-Cyclical	$	293,920,576		24.73	%
Financial		269,301,737		22.66
Communications		108,820,518		9.16
Technology		135,324,371		11.39
Energy		121,736,991		10.25
Consumer Cyclical		112,878,043		9.50
Industrial		102,976,820		8.67
Utilities		30,744,279		2.59
Basic Materials		36,322,372		3.06
Futures Contracts		(109,694	)	(0.01	)
Short-Term and Other Net Assets		(23,703,516	)	(2.00	)

TOTAL	$	1,188,212,497		100.00	%

COREALPHA BOND MASTER PORTFOLIO


Sector/Investment Type	Value			% of Net Assets

Mortgage-Backed Securities	$	603,779,111		55.62	%
Financial		136,367,210		12.56
Government		125,290,053		11.54
Communications		58,559,077		5.39
Asset-Backed Securities		42,073,383		3.88
Consumer Non-Cyclical		39,942,316		3.68
Utilities		27,671,835		2.55
Consumer Cyclical		26,985,465		2.49
Energy		23,607,272		2.17
Industrial		19,315,436		1.78
Basic Materials		2,786,178		0.26
Technology		513,750		0.05
Diversified		318,750		0.03
Futures Contracts		786,840		0.07
Swap Agreements		1,332,371		0.12
Securities sold short		(70,477,464	)	(6.49	)
Short-Term and Other Net Assets		46,730,748		4.30

TOTAL	$	1,085,582,331		100.00	%

These tables are not part of the financial statements.

224

MASTER INVESTMENT PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2005


	S&P 500 Index Master Portfolio

Assets
Investments, at cost:

Unaffiliated issuers	$	2,518,745,544

Affiliated issuers (b)	$	19,124,728

Investments in securities, at value (including securities on loan (a)) (Note 1):
Unaffiliated issuers	$	2,570,927,304
Affiliated issuers (b)		19,124,728
Receivables:
Investment securities sold		168,514
Dividends and interest		3,308,631

Total Assets		2,593,529,177


Liabilities
Payables:
Investment securities purchased		3,001,210
Due to broker - variation margin		114,653
Collateral for securities on loan (Note 4)		181,783,966
Investment advisory fees (Note 2)		103,698

Total Liabilities		185,003,527

Net Assets	$	2,408,525,650

(a)	Securities on loan with market value of $175,893,005. See Note 4.

(b)	The Master Portfolio’s investment adviser is an affiliate of the issuers. See Note 2.

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

225

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

December 31, 2005


	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	$	5,336,000	$	25,765,197	$	63,802,720	$	22,965,347	$	20,164,300

Affiliated issuers (a)	$	31,090,488	$	107,594,042	$	225,662,056	$	172,851,197	$	120,948,081

Investments, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	5,336,000	$	25,765,197	$	63,802,720	$	22,965,347	$	20,164,300
Affiliated issuers (a)		36,815,418		128,969,374		269,561,511		203,833,902		140,192,023
Affiliated Master Portfolios (a)		194,746,436		536,151,688		791,318,626		463,831,338		287,746,719
Receivables:
Investment securities sold		—		2,596,179		6,174,506		11,946,858		9,914,299
Dividends and interest		7,240		22,486		56,688		29,946		26,075
Contributions		500,000		2,900,000		6,200,000		12,000,000		10,000,000

Total Assets		237,405,094		696,404,924		1,137,114,051		714,607,391		468,043,416


Liabilities
Payables:
Investment securities purchased		1,402,114		4,641,185		8,208,199		14,886,965		11,941,502
Collateral for securities on loan (Note 4)		5,336,000		25,765,197		63,802,720		22,965,347		20,164,300
Investment advisory fees (Note 2)		1,994		6,780		13,511		10,544		8,041

Total Liabilities		6,740,108		30,413,162		72,024,430		37,862,856		32,113,843

Net Assets	$	230,664,986	$	665,991,762	$	1,065,089,621	$	676,744,535	$	435,929,573

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Securities on loan with market values of $5,146,800, $24,940,120, $62,066,220, $22,288,140 and $19,460,138, respectively. See Note 4.

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

226

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

December 31, 2005


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio

Assets
Investments, at cost:

Unaffiliated issuers	$	1,201,629,443	$	1,199,264,157

Affiliated issuers (a)	$	5,678,236	$	79,553,299

Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	1,292,755,700	$	1,185,670,342
Affiliated issuers (a)		5,678,236		79,553,299
Deposits with brokers for securities sold short		—		70,128,184
Receivables:
Investment securities sold		—		3,711,183
Dividends and interest		1,343,388		9,512,069
Open swap contracts (Note 1)		—		1,377,891

Total Assets		1,299,777,324		1,349,952,968


Liabilities
Payables:
Investment securities purchased		30,799,882		113,775,609
Due to broker - variation margin		25,175		39,926
Collateral for securities on loan (Note 4)		80,383,023		78,460,506
Collateral for open swap contracts (Note 1)		—		1,300,000
Securities sold short, at value (Proceeds: $— and $70,131,484) (Note 1)		—		70,477,464
Investment advisory fees (Note 2)		254,819		226,523
Administration fees (Note 2)		101,928		90,609

Total Liabilities		111,564,827		264,370,637

Net Assets	$	1,188,212,497	$	1,085,582,331

(a)	The Master Portfolios’ investment adviser is an affiliate of the issuers. See Note 2.

(b)	Securities on loan with market values of $78,026,181 and $76,971,543, respectively. See Note 4.

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

227

MASTER INVESTMENT PORTFOLIO

STATEMENT OF OPERATIONS

For the year ended December 31, 2005


	S&P 500 Index Master Portfolio

Net Investment Income
Dividends from unaffiliated issuers	$	43,202,282
Interest from unaffiliated issuers		103,577
Interest from affiliated issuers (a)		1,497,181
Securities lending income (b)		197,608

Total investment income		45,000,648


Expenses (Note 2)
Investment advisory fees		1,188,574

Total expenses		1,188,574

Net investment income		43,812,074


Realized and Unrealized Gain (Loss)
Net realized (loss) from sale of investments in affiliated issuers		(34,203,870	)
Net realized gain from in-kind redemptions		37,267,402
Net realized gain on futures contracts		4,340,737
Net change in unrealized appreciation (depreciation) of investments		62,101,667
Net change in unrealized appreciation (depreciation) of futures contracts		(938,565	)

Net realized and unrealized gain		68,567,371

Net increase in net assets resulting from operations	$	112,379,445

(a)	The Master Portfolio’s investment adviser is an affiliate of the issuers. See Note 2.

(b)	Includes income earned from issuers of which the Master Portfolio’s investment adviser is an affiliate. See Note 2.

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

228

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the year ended December 31, 2005


	LifePath Retirement Master Portfolio			LifePath 2010 Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio

Net Investment Income
Dividends from unaffiliated issuers	$	—		$	1,074		$	342		$	1,169		$	2,258
Dividends from affiliated issuers (a)		512,280			1,889,612			4,016,734			3,052,899			2,053,097
Dividends allocated from Master Portfolios		789,644			3,042,511			6,759,395			5,013,233			3,581,713
Interest from affiliated issuers (a)		36,146			95,882			168,482			116,802			98,880
Interest allocated from Master Portfolios		5,979,819			13,687,107			14,243,966			5,333,687			1,584,714
Securities lending income (b)		24,190			91,085			196,855			109,331			66,343
Expenses allocated from Master Portfolios		(617,232	)		(1,646,298	)		(2,396,553	)		(1,368,143	)		(801,566	)

Total investment income		6,724,847			17,160,973			22,989,221			12,258,978			6,585,439


Expenses (Note 2)
Investment advisory fees		725,245			2,019,704			3,161,333			1,918,836			1,163,948

Total expenses		725,245			2,019,704			3,161,333			1,918,836			1,163,948
Less investment advisory fees waived		(705,820	)		(1,958,427	)		(3,044,450	)		(1,835,917	)		(1,104,688	)

Net expenses		19,425			61,277			116,883			82,919			59,260

Net investment income		6,705,422			17,099,696			22,872,338			12,176,059			6,526,179


Realized and Unrealized Gain (Loss)
Net realized gain from sale of investments in unaffiliated issuers		1,850			10,261			13,853			6,612			12,242
Net realized gain from sale of investments in affiliated issuers (a)		758,064			1,477,255			1,695,224			1,283,308			898,117
Net realized gain allocated from Master Portfolios		1,305,346			5,814,636			15,873,044			11,596,547			8,561,455
Net realized gain on foreign currency transactions		—			19			4			17			—
Net change in unrealized appreciation (depreciation) of investments		2,522,349			10,022,232			22,017,109			16,152,224			10,779,663
Net change in unrealized appreciation (depreciation) allocated from Master Portfolios		(1,009,411	)		(173,395	)		5,183,113			6,584,677			5,977,225
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		(439	)		(1,291	)		(3,618	)		(1,378	)		(1,150	)

Net realized and unrealized gain		3,577,759			17,149,717			44,778,729			35,622,007			26,227,552

Net increase in net assets resulting from operations	$	10,283,181		$	34,249,413		$	67,651,067		$	47,798,066		$	32,753,731

(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.

229

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the year ended December 31, 2005


	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio

Net Investment Income
Dividends from unaffiliated issuers (a)	$	19,186,573		$	—
Interest from unaffiliated issuers		14,939			36,815,684
Interest from affiliated issuers (b)		157,842			4,053,886
Securities lending income (c)		62,217			162,324

Total investment income		19,421,571			41,031,894


Expenses
Investment advisory fees (Note 2)		2,619,386			2,259,038
Administration fees (Note 2)		1,047,754			903,616
Interest expense on short sales		—			16,989

Total expenses		3,667,140			3,179,643

Net investment income		15,754,431			37,852,251


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from sale of investments in unaffiliated issuers		49,213,750			(5,193,987	)
Net realized gain (loss) on futures contracts		204,107			(645,701	)
Net realized loss on swap contracts		—			(843,804	)
Net change in unrealized appreciation (depreciation) of investments		30,000,781			(14,032,269	)
Net change in unrealized appreciation (depreciation) of futures contracts		(152,447	)		715,345
Net change in unrealized appreciation (depreciation) of securities sold short		—			(340,682	)
Net change in unrealized appreciation (depreciation) of swap contracts		—			367,573

Net realized and unrealized gain (loss)		79,266,191			(19,973,525	)

Net increase in net assets resulting from operations	$	95,020,622		$	17,878,726

(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.

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STATEMENTS OF CHANGES IN NET ASSETS


	S&P 500 Index Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	43,812,074		$	53,575,520
Net realized gain		7,404,269			538,623,460
Net change in unrealized appreciation (depreciation)		61,163,102			(290,833,407	)

Net increase in net assets resulting from operations		112,379,445			301,365,573


Interestholder transactions:
Contributions		749,027,738			820,705,368
Withdrawals		(859,684,082	)		(2,346,660,989	)

Net decrease in net assets resulting from interestholder transactions		(110,656,344	)		(1,525,955,621	)

Increase (decrease) in net assets		1,723,101			(1,224,590,048	)

NET ASSETS:
Beginning of year		2,406,802,549			3,631,392,597

End of year	$	2,408,525,650		$	2,406,802,549

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

231

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STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath Retirement Master Portfolio						LifePath 2010 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	6,705,422		$	4,064,479		$	17,099,696		$	9,521,401
Net realized gain		2,065,260			6,723,311			7,302,171			19,706,190
Net change in unrealized appreciation (depreciation)		1,512,499			1,295,008			9,847,546			6,868,671

Net increase in net assets resulting from operations		10,283,181			12,082,798			34,249,413			36,096,262


Interestholder transactions:
Contributions		92,431,167			165,649,858			241,472,922			381,914,274
Withdrawals		(52,923,002	)		(98,229,192	)		(102,507,218	)		(163,689,096	)

Net increase in net assets resulting from interestholder transactions		39,508,165			67,420,666			138,965,704			218,225,178

Increase in net assets		49,791,346			79,503,464			173,215,117			254,321,440

NET ASSETS:
Beginning of year		180,873,640			101,370,176			492,776,645			238,455,205

End of year	$	230,664,986		$	180,873,640		$	665,991,762		$	492,776,645

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

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STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath 2020 Master Portfolio						LifePath 2030 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004			For the year ended December 31, 2005			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	22,872,338		$	14,874,419		$	12,176,059		$	7,469,272
Net realized gain		17,582,125			19,502,624			12,886,484			33,016,584
Net change in unrealized appreciation (depreciation)		27,196,604			37,235,104			22,735,523			5,172,895

Net increase in net assets resulting from operations		67,651,067			71,612,147			47,798,066			45,658,751


Interestholder transactions:
Contributions		396,332,869			537,563,465			281,688,243			341,379,439
Withdrawals		(124,842,737	)		(354,707,063	)		(85,036,609	)		(179,195,644	)

Net increase in net assets resulting from interestholder transactions		271,490,132			182,856,402			196,651,634			162,183,795

Increase in net assets		339,141,199			254,468,549			244,449,700			207,842,546

NET ASSETS:
Beginning of year		725,948,422			471,479,873			432,294,835			224,452,289

End of year	$	1,065,089,621		$	725,948,422		$	676,744,535		$	432,294,835

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

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MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath 2040 Master Portfolio
	For the year ended December 31, 2005			For the year ended December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	6,526,179		$	4,098,676
Net realized gain		9,471,814			4,988,726
Net change in unrealized appreciation (depreciation)		16,755,738			19,707,923

Net increase in net assets resulting from operations		32,753,731			28,795,325


Interestholder transactions:
Contributions		245,110,300			196,012,271
Withdrawals		(76,545,321	)		(152,070,048	)

Net increase in net assets resulting from interestholder transactions		168,564,979			43,942,223

Increase in net assets		201,318,710			72,737,548

NET ASSETS:
Beginning of year		234,610,863			161,873,315

End of year	$	435,929,573		$	234,610,863

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

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STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	Active Stock Master Portfolio						CoreAlpha Bond Master Portfolio
	For the year ended December 31, 2005			For the period March 15, 2004 (a) to December 31, 2004			For the year ended December 31, 2005			For the period March 15, 2004 (a) to December 31, 2004

Increase (decrease) in net assets

Operations:
Net investment income	$	15,754,431		$	10,779,499		$	37,852,251		$	16,778,720
Net realized gain (loss)		49,417,857			20,580,275			(6,683,492	)		(3,269,330	)
Net change in unrealized appreciation (depreciation)		29,848,334			61,168,229			(13,290,033	)		577,649

Net increase in net assets resulting from operations		95,020,622			92,528,003			17,878,726			14,087,039


Interestholder transactions:
Contributions		275,385,000			982,486,302			363,341,556			868,565,757
Withdrawals		(36,000,000	)		(221,207,430	)		(19,545,000	)		(158,745,747	)

Net increase in net assets resulting from interestholder transactions		239,385,000			761,278,872			343,796,556			709,820,010

Increase in net assets		334,405,622			853,806,875			361,675,282			723,907,049

NET ASSETS:
Beginning of period		853,806,875			—			723,907,049			—

End of period	$	1,188,212,497		$	853,806,875		$	1,085,582,331		$	723,907,049

(a)	Commencement of operations.

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

235

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS

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 December 31, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Active Stock, CoreAlpha Bond, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and S&P 500 Index Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

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 in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make certain 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 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 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”).

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 December 31, 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	3.84	%	13.74	%
LifePath 2010	14.99		32.98
LifePath 2020	34.46		35.18
LifePath 2030	26.51		13.71
LifePath 2040	20.20		4.39

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.

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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.

Each Master Portfolio does 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).

As of December 31, 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	$	2,593,214,650	$	352,850,885	$	(356,013,503	)	$	(3,162,618	)
LifePath Retirement (a)		36,431,724		5,719,694		—			5,719,694
LifePath 2010 (a)		133,373,584		21,360,987		—			21,360,987
LifePath 2020 (a)		289,467,483		43,896,748		—			43,896,748
LifePath 2030 (a)		195,844,901		30,954,348		—			30,954,348
LifePath 2040 (a)		141,122,970		19,233,353		—			19,233,353
Active Stock		1,214,209,405		119,821,656		(35,597,125	)		84,224,531
CoreAlpha Bond		1,278,826,172		3,165,099		(16,767,630	)		(13,602,531	)

(a) Tax cost information does not include investments in the underlying Master Portfolios.

Futures contracts

The Active Stock, CoreAlpha Bond 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

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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 securities 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, CoreAlpha Bond and S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury Bills or U.S. Treasury Notes with face amounts of $350,000, $1,103,000 and $1,700,000, respectively, 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.

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 the 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.

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 December 31, 2005, the Master Portfolio did not hold any index swap contracts. Details of interest-rate swaps held by the Master Portfolio as of December 31, 2005 are included in its Schedule of Investments.

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

238

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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 December 31, 2005 are included in its 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 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 December 31, 2005 are included in its 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 December 31, 2005 are included in its 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 receive 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	%
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

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NOTES TO THE FINANCIAL STATEMENTS (Continued)

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 year ended December 31, 2005, BGFA waived investment advisory fees as follows:



Master Portfolio	Waived investment advisory fees
LifePath Retirement	$	705,820
LifePath 2010		1,958,427
LifePath 2020		3,044,450
LifePath 2030		1,835,917
LifePath 2040		1,104,688

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, legal counsel and independent registered public accounting firm), to the Master Portfolios. 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 respective 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.

SEI Investment 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.

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 year ended December 31, 2005, BGI earned securities lending agent fees as follows:



Master Portfolio	Securities lending agent fees
S&P 500 Index	$	197,608
LifePath Retirement		24,190
LifePath 2010		91,085
LifePath 2020		196,855
LifePath 2030		109,331
LifePath 2040		66,343
Active Stock		62,217
CoreAlpha Bond		162,324

Barclays Global Investors Services (“BGIS”), a subsidiary of BGI, may serve as a broker-dealer for the Master Portfolios. For the year ended December 31, 2005, BGIS did not receive any brokerage commissions from the Master Portfolios.

Pursuant to Rule 17a-7 under the 1940 Act, the S&P 500 Index and Active Stock Master Portfolios executed cross trades for the year ended December 31, 2005. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

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

240

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

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 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 exchange-traded funds (“ETFs”), including shares of ETFs of which BGI is an affiliate, to obtain exposure to the bond and stock markets 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 year ended December 31, 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 year (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of year (in 000s)	Value at end of year		Dividend and interest income		Net realized gain (loss)

S&P 500 Index
IMMF	17,466	12,616,569	12,614,910	19,125	$	19,124,728	$	1,497,181	$	—

LifePath Retirement
IMMF	1,282	286,998	286,357	1,923		1,923,052		36,146		—
iShares MSCI EAFE Index Fund (a)	291	88	31	348		20,707,183		380,837		294,683
iShares Russell 2000 Index Fund (b)	66	30	96	—		—		20,584		173,452
iShares S&P 500 Index Fund	—	45	45	—		—		408		(9,576	)
iShares S&P MidCap 400 Index Fund (b)	64	72	10	126		9,307,730		82,369		116,318
iShares S&P SmallCap 600 Index Fund (a)	—	137	53	84		4,877,453		28,082		183,187

LifePath 2010
IMMF	3,359	762,891	761,514	4,736		4,735,755		95,882		—
iShares MSCI EAFE Index Fund (a)	1,080	247	18	1,309		77,817,026		1,452,287		161,840
iShares Russell 2000 Index Fund (b)	214	85	299	—		—		63,570		603,503
iShares S&P 500 Index Fund	—	231	231	—		—		16,305		18,723
iShares S&P MidCap 400 Index Fund (b)	198	243	21	420		31,005,668		265,484		265,025
iShares S&P SmallCap 600 Index Fund (a)	—	405	138	267		15,410,925		91,966		428,164

LifePath 2020
IMMF	4,950	1,366,577	1,363,858	7,669		7,668,859		168,482		—
iShares MSCI EAFE Index Fund (a)	2,133	809	60	2,882		171,355,455		3,175,506		490,634
iShares Russell 2000 Index Fund (b)	344	197	541	—		—		112,800		918,896
iShares S&P 500 Index Fund	—	722	722	—		—		51,756		(527,888	)
iShares S&P MidCap 400 Index Fund (b)	316	499	—	815		60,175,782		504,208		—
iShares S&P SmallCap 600 Index Fund (a)	—	720	195	525		30,361,415		172,464		813,582

(a) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005. (b) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005.

241

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NOTES TO THE FINANCIAL STATEMENTS (Continued)



Master Portfolio and Name of Affiliated Issuer	Number of shares held beginning of year (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of year (in 000s)	Value at end of year	Dividend and interest income	Net realized gain (loss)

LifePath 2030
IMMF	3,255	930,370	926,900	6,725	6,724,758	116,802	—
iShares MSCI EAFE Index Fund (a)	1,518	738	50	2,206	131,175,776	2,424,240	375,253
iShares Russell 2000 Index Fund (b)	222	137	359	—	—	73,732	582,191
iShares S&P 500 Index Fund	—	717	717	—	—	82,975	(211,570	)
iShares S&P MidCap 400 Index Fund (b)	206	393	3	596	44,013,065	351,128	27,735
iShares S&P SmallCap 600 Index Fund (a)	—	522	143	379	21,920,303	120,824	509,699

LifePath 2040
IMMF	1,776	727,524	724,821	4,479	4,478,589	98,880	—
iShares MSCI EAFE Index Fund (a)	876	649	56	1,469	87,364,875	1,616,525	412,422
iShares Russell 2000 Index Fund (b)	134	100	234	—	—	46,738	334,360
iShares S&P 500 Index Fund	—	809	809	—	—	58,353	(373,791	)
iShares S&P MidCap 400 Index Fund (b)	124	335	21	438	32,334,953	246,557	273,875
iShares S&P SmallCap 600 Index Fund (a)	—	347	70	277	16,013,606	84,924	251,251

Active Stock
IMMF	4,370	1,116,208	1,114,900	5,678	5,678,236	148,109	—

CoreAlpha Bond
IMMF	92,515	31,601,881	31,614,843	79,553	79,553,299	4,053,886	—

(a) Shares were adjusted to reflect a 3:1 stock split effective June 9, 2005. (b) Shares were adjusted to reflect a 2:1 stock split effective June 9, 2005.

During the year ended December 31, 2005, the 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 December 31, 2005, these officers of BGI collectively owned less than 1% of MIP’s outstanding beneficial interests.

242

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

3. Investment portfolio transactions

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the year ended December 31, 2005 were as follows:



	U.S. Government Obligations				Other Securities

Master Portfolio	Purchases		Sales		Purchases		Sales
S&P 500 Index	$	—	$	—	$	238,771,926	$	299,483,118
LifePath Retirement		—		—		62,826,920		22,137,432
LifePath 2010		—		—		210,741,466		69,720,111
LifePath 2020		—		—		424,044,391		150,645,124
LifePath 2030		—		—		330,361,150		131,596,174
LifePath 2040		—		—		295,552,120		125,708,523
Active Stock		—		—		814,789,331		565,895,884
CoreAlpha Bond		2,349,398,409		2,162,222,648		438,961,818		241,285,488

For the year ended December 31, 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 year ended December 31, 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 plus the interest accrued on such securities, if any, for securities traded on U.S. exchanges and a value of at least 105% for all other securities. 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 December 31, 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 and non-U.S. Government debt 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 December 31, 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.

243

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)

5. Financial highlights

Financial highlights for each of the Master Portfolios were as follows:



Master Portfolio	Year ended December 31, 2005		Year ended December 31, 2004		Year ended December 31, 2003		Year ended December 31, 2002		Year ended December 31, 2001
S&P 500 Index
Ratio of expenses to average net assets	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of net investment income to average net assets	1.84	%	1.91	%	1.74	%	1.57	%	1.31	%
Portfolio turnover rate (a)	10	%	14	%	8	%	12	%	9	%
Total return	4.87	%	10.82	%	28.52	%	(22.05	)%	(11.96	)%

(a) Portfolio turnover rates include in-kind transactions, if any.



Master Portfolio	Year ended December 31, 2005		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
LifePath Retirement
Ratio of expenses to average net assets (c) (d)	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (e)	0.65	%	0.60	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	3.24	%	2.46	%	2.27	%	2.98	%	3.73	%(f)	4.40	%
Ratio of net investment income to average net assets prior to waived fees (c) (e)	2.90	%	2.17	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	11	%	138	%(h)	29	%	56	%	116	%	58	%
Total return	4.82	%	6.85	%	12.45	%	(1.36	)%(i)	2.68	%	6.56	%

(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) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios. (f) 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. (g) Portfolio turnover rates include in-kind transactions, if any. (h) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (i) Not annualized.

244

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



Master Portfolio	Year ended December 31, 2005		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
LifePath 2010
Ratio of expenses to average net assets (c) (d)	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (e)	0.64	%	0.59	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.96	%	2.32	%	2.12	%	2.49	%	3.11	%(f)	3.49	%
Ratio of net investment income to average net assets prior to waived fees (c) (e)	2.62	%	2.03	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	12	%	130	%(h)	23	%	72	%	86	%	54	%
Total return	5.70	%	7.88	%	16.16	%	(6.43	)%(i)	(0.70	)%	2.13	%
LifePath 2020
Ratio of expenses to average net assets (c) (d)	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (e)	0.62	%	0.57	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.53	%	2.05	%	2.04	%	2.14	%	2.23	%(f)	2.38	%
Ratio of net investment income to average net assets prior to waived fees (c) (e)	2.19	%	1.77	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	17	%	140	%(h)	23	%	67	%	86	%	39	%
Total return	7.04	%	9.77	%	21.11	%	(10.18	)%(i)	(4.99	)%	(3.14	)%
LifePath 2030
Ratio of expenses to average net assets (c) (d)	0.26	%	0.28	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (e)	0.60	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.22	%	1.93	%	1.98	%	1.81	%	1.74	%(f)	1.72	%
Ratio of net investment income to average net assets prior to waived fees (c) (e)	1.88	%	1.65	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	24	%	138	%(h)	32	%	68	%	53	%	27	%
Total return	8.13	%	11.28	%	24.36	%	(13.05	)%(i)	(7.82	)%	(5.59	)%

(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) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios. (f) 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. (g) Portfolio turnover rates include in-kind transactions, if any. (h) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (i) Not annualized.

245

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Continued)



Master Portfolio	Year ended December 31, 2005		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
LifePath 2040
Ratio of expenses to average net assets (c) (d)	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%	0.55	%
Ratio of expenses to average net assets prior to waived fees (c) (e)	0.59	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	1.96	%	1.74	%	1.86	%	1.57	%	1.13	%(f)	0.90	%
Ratio of net investment income to average net assets prior to waived fees (c) (e)	1.63	%	1.46	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	38	%	147	%(h)	29	%	62	%	15	%	20	%
Total return	8.74	%	11.93	%	28.14	%	(15.63	)%(i)	(10.48	)%	(10.41	)%
Active Stock
Ratio of expenses to average net assets (c)	0.35	%	0.35	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c)	1.50	%	1.57	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	54	%	70	%	n/a		n/a		n/a		n/a
Total return	8.79	%	10.40	%(i)	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
Ratio of net investment income to average net assets (c)	4.19	%	3.08	%	n/a		n/a		n/a		n/a
Portfolio turnover rate (g)	270	%	313	%	n/a		n/a		n/a		n/a
Total return	1.98	%	1.30	%(i)	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) Ratio includes the LifePath Master Portfolio’s pro rata portion of the expenses of the underlying Master Portfolios. (f) 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. (g) Portfolio turnover rates include in-kind transactions, if any. (h) Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (i) Not annualized.

246

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of

Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the S&P 500 Index Master Portfolio, LifePath Retirement Master Portfolio, LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (collectively, the “Master Portfolios”), at December 31, 2005, and the results of each of their operations for the year then ended and the changes in each of their net assets and their financial highlights for each of the periods presented after February 28, 2001, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The financial highlights of the Master Portfolios as of February 28, 2001 and for the year then ended were audited by other auditors, whose report dated April 13, 2001 expressed an unqualified opinion on those financial highlights.

PricewaterhouseCoopers LLP

San Francisco, California

February 16, 2006

247

MASTER INVESTMENT PORTFOLIO

TRUSTEE INFORMATION – Unaudited

The Board of Trustees has responsibility for the overall management and operations of the Master Portfolios. Each Trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. Each Officer serves until his or her successor is chosen and qualified.

Master Investment Portfolio (“MIP”), Barclays Global Investors Funds (“BGIF”), iShares Trust and iShares, Inc. are considered to be members of the same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of MIP also serves as a Trustee for BGIF and oversees 25 portfolios within the fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees 126 portfolios within the fund complex.

Unless otherwise noted in the tables below, the address for each Trustee is 45 Fremont Street, San Francisco, California 94105. Additional information about the Master Portfolios’ Trustees may be found in Part B of the Master Portfolios’ Registration Statements, which are available without charge, upon request, by calling toll-free 1-877-244-1544.



Interested Trustees and Officers

Name, Year of Birth	Position(s), Length of Service	Principal Occupation During Past Five Years	Other Public Company and Investment Company Directorships
Lee T. Kranefuss, * 1961	Trustee (since 2001), President and Chief Executive Officer (since 2002).	Chief Executive Officer (since 2003) of the Intermediary Investor and Exchange Traded Products Business of BGI; Chief Executive Officer (1997-2003) of the Intermediary Investor Business of BGI.	Trustee (since 2001) of MIP; Trustee (since 2003) of iShares Trust; Director (since 2003) of iShares, Inc.

Michael A. Latham, 1965	Secretary, Treasurer and Chief Financial Officer (since 2003).	Chief Operating Officer (since 2004) of the Intermediary Investor Business of BGI; Director (2000-2004) of Mutual Fund Delivery of the Intermediary Investor Business of BGI.	None.

*Lee T. Kranefuss is deemed to be an “interested person” of the Trust because he serves as Chief Executive Officer of the Intermediary Investor Business of BGI, the administrator of the Master Portfolios and the parent company of BGFA, the investment adviser of the Master Portfolios.



Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation During Past Five Years	Other Public Company and Investment Company Directorships
Mary G. F. Bitterman, 1944	Trustee (since 2001).	President (since 2004) and Director (since 2002) of the Bernard Osher Foundation; Director (2003-2004) of Osher Lifelong Learning Institutes; President and Chief Executive Officer (2002-2003) of The James Irvine Foundation; President and Chief Executive Officer (1993-2002) of KQED, Inc.	Trustee (since 2001) of MIP; Director (since 1984) and Lead Independent Director (since 2000) of Bank of Hawaii.

Jack S. Euphrat, 1922	Trustee (since 1993).	Private Investor.	None.

248



Independent Trustees

Name, Year of Birth	Position(s), Length of Service	Principal Occupation During Past Five Years	Other Public Company and Investment Company Directorships
Richard K. Lyons, 1961	Trustee (since 2001).	Executive Associate Dean (since 2005), Sylvan Coleman Chair in Finance (since 2004), Acting Dean (2004-2005) and Professor (since 1993), University of California, Berkeley: Haas School of Business; Consultant for IMF, World Bank, Federal Reserve Bank, and Citibank N.A. (since 2000).	Trustee (since 2001) of MIP; Director (since 2003) of the BGI Cayman Prime Money Market Fund, Ltd.; Trustee (since 1995) and Chairman of the Matthews Asian Funds (oversees 8 portfolios); Trustee (since 2000) of iShares Trust; Director (since 2002) of iShares, Inc.

Leo Soong, 1946	Trustee (since 2000).	President (since 2002) of Trinity Products LLC; Managing Director (since 1989) of CG Roxane LLC (water company); Co-Founder of Crystal Geyser Water Co. (President through 1999).	Trustee (since 2000) of MIP; Vice Chairman (since 2005) of the California Pacific Medical Center; Director (since 1990) of the California State Automobile Association; Director (since 2002) of the American Automobile Association.

249

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 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 eight series of Master Investment Portfolio (MIP) into which certain series of the registrant invest. MIP is unaffiliated with registrant and neither registrant nor the certifying officers to this Form N-CSR, have any control over the preparation or content of the information included in MIP’s financial statements and notes to financial statements included herein.

ITEM 2.

CODE OF ETHICS.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrants’ principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (each a “covered person”). During the period covered by this Form N-CSR, no amendment was made to any provisions of such code of ethics that applies to a covered person and that relates to any element of such code set forth in paragraph (b) of Item 2 of Form N-CSR, and no waiver from such code of ethics provisions was granted. Registrant hereby undertakes to provide a copy of such code of ethics to any person upon request, without charge. To request a copy of the code of ethics, contact the registrant at 1-800-447-4930.

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

Registrant’s board of trustees has determined that Alan Latshaw, a member of the registrant’s Committee of Independent Trustees, has all of the attributes to be deemed an “audit committee financial expert,” as such term is defined in Instruction 2(b) to Item 3 of Form N-CSR. Mr. Latshaw is “independent” as such term is defined in paragraph (a)(2) of Item 3 of Form N-CSR.

Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Committee of Independent Trustees and board of trustees in the absence of such designation or identification.

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)	Audit Fees


Billed to registrant for fiscal year ending December 31, 2005:	$	323,255
Billed to registrant for fiscal year ending December 31, 2004:	$	332,308

The audit fees for December 31, 2005 include an estimated amount from the registrant’s independent registered public accountant for the out-of-pocket expenses it expects to bill to registrant for that time period.

(b)	Audit-Related Fees


Billed to registrant for fiscal year ending December 31, 2005:	$	0
Billed to registrant for fiscal year ending December 31, 2004:	$	0

The nature of the services comprising the fees disclosed under this category: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:


Billed for fiscal year ending December 31, 2005:	$	0
Billed for fiscal year ending December 31, 2004:	$	0

The nature of the services comprising the fees disclosed under this category: not applicable

(c)

Tax Fees


Billed to registrant for fiscal year ending December 31, 2005:	$	55,200
Billed to registrant for fiscal year ending December 31, 2004:	$	48,150

The nature of the services comprising the fees disclosed under this category:

Includes fees for reviewing the registrant’s compliance with tax qualification tests relating to asset diversification, gross income, and distribution requirements to maintain the registrant’s status as a Regulated Investment Company under current provisions of the Internal Revenue Code. Also includes fees for reviewing the registrant’s tax returns (federal, state, and excise).

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:


Billed for fiscal year ending December 31, 2005:	$	0
Billed for fiscal year ending December 31, 2004:	$	0

The nature of the services comprising the fees disclosed under this category: not applicable

(d)	All Other Fees


Billed to registrant for fiscal year ending December 31, 2005:	$	0
Billed to registrant for fiscal year ending December 31, 2004:	$	0

The nature of the services comprising the fees disclosed under this category include: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:


Billed for fiscal year ending December 31, 2005:	$	0
Billed for fiscal year ending December 31, 2004:	$	0

The nature of the services comprising the fees disclosed under this category: not applicable

(e)(1)

The Committee of Independent Trustees’ pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X:

The Committee of Independent Trustees (the “Committee”) will approve and recommend to the Board, the selection, retention or termination of the independent registered public accountants of the Trust, and review the independent registered public accountant’s fees to determine whether those fees appear to be appropriate for the services rendered.

Any engagement shall be pursuant to a written engagement letter approved by the Committee, which shall provide, among other things, that:

•

the Committee shall be directly responsible for the appointment, compensation and oversight of the independent registered public accountants; and

•

the independent registered public accountants shall report directly to the Committee.

Pre-approve any engagement of the independent registered public accountants to provide any services (other than the prohibited non-audit services specified in section c. below) to the Trust, or to SFIMC [State Farm Investment Management Corp.] and any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust (if the engagement relates directly to the operations and financial reporting of the Trust), including the fees and other compensation to be paid to the independent registered public accountants. The Chairman of the Committee may grant such pre-approval. Any such delegated pre-approval shall be presented to the Committee by the Chairman at the next meeting of the Committee.

(1)

Pre-approval of non-audit services for the Trust is waived, if:

the aggregate amount of all non-audit services provided to the Trust is less than 5% of the total fees paid by the Trust to its independent registered public accountants during the fiscal year in which the non-audit services are provided;

the services were not recognized by management at the time of the engagement as non-audit services; and

such services are promptly brought to the attention of the Committee by management and the Committee approves them (which may be by delegation as provided for above) prior to the completion of the audit.

(2)

Pre-approval of non-audit services for SFIMC or any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust is waived, if:

the aggregate amount of all non-audit services provided is less than 5% of the total fees paid by the Trust, SFIMC and any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust to its independent registered public accountants during the fiscal year in which the non-audit services are provided that would have to be pre-approved;

the services were not recognized by management at the time of the engagement as non-audit services; and

such services are promptly brought to the attention of the Committee by management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

The independent registered public accountants shall not perform any of the following non-audit services for the Trust:

(1)

bookkeeping or other services related to the accounting records or financial statements of the Trust;

(2)

financial information systems design and implementation;

(3)

appraisal or valuation services, fairness opinions, or contribution-in-kind reports;

(4)

actuarial services;

(5)

internal audit outsourcing services;

(6)

management functions or human resources;

(7)

broker or dealer, investment adviser, or investment banking services;

(8)

legal services and expert services unrelated to the audit; and

(9)

any other services that the Public Company Accounting Oversight Board determines are impermissible.

(e)(2)

The percentage of services described in each of paragraphs (b) through (d) of this Item that were rendered to the registrant and approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:


	Paragraph (b)	Paragraph (c)		Paragraph (d)
Fiscal year ending December 31, 2005:	not applicable	0	%	not applicable
Fiscal year ending December 31, 2004:	not applicable	0	%	not applicable

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X:


	Paragraph (b)	Paragraph (c)	Paragraph (d)
Fiscal year ending December 31, 2005:	not applicable	not applicable	not applicable
Fiscal year ending December 31, 2004:	not applicable	not applicable	not applicable

(f)	Not applicable.

(g)	Aggregate non-audit fees billed by the registrant’s accountant for services rendered to registrant:


Fiscal year ending December 31, 2005:	$	55,200
Fiscal year ending December 31, 2004:	$	48,150

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser):


Fiscal year ending December 31, 2005:	$	0
Fiscal year ending December 31, 2004:	$	0

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to an entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:


Fiscal year ending December 31, 2005:	$	0
Fiscal year ending December 31, 2004:	$	0

(h)	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 Investment Company Act of 1940 (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 Securities Exchange Act

of 1934 (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 Securities Exchange Act of 1934 (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		3/8/2006

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		3/8/2006

By		/s/ Michael L. Tipsord
		Michael L. Tipsord
		Senior Vice President and Treasurer
Date		3/8/2006